10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

____________________________________

FORM 10-Q

____________________________________

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

For the quarterly period ended March 31, 2016

OR

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

Commission File Number: 000-51398

FEDERAL HOME LOAN BANK OF SAN FRANCISCO

(Exact name of registrant as specified in its charter)

____________________________________

Federally chartered corporation	94-6000630
(State or other jurisdiction of incorporation or organization)	(I.R.S. employer identification number)
600 California Street San Francisco, CA	94108
(Address of principal executive offices)	(Zip code)

(415) 616-1000

(Registrant’s telephone number, including area code)

____________________________________

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 for the past 90 days.    x  Yes    o  No

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).    x  Yes    o  No

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See definition of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.

Large accelerated filer	o	Accelerated filer	o
Non-accelerated filer	x  (Do not check if a smaller reporting company)	Smaller reporting company	o

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).    o  Yes    x  No

Indicate the number of shares outstanding of each of the issuer’s classes of common stock, as of the latest practicable date.

	Shares Outstanding as of April 30, 2016
Class B Stock, par value $100	27,680,711

Federal Home Loan Bank of San Francisco

Form 10-Q

Index

PART I.	FINANCIAL INFORMATION
Item 1.	Financial Statements	3
	Statements of Condition (Unaudited)	3
	Statements of Income (Unaudited)	4
	Statements of Comprehensive Income (Unaudited)	5
	Statements of Capital Accounts (Unaudited)	6
	Statements of Cash Flows (Unaudited)	7
	Notes to Financial Statements (Unaudited)	9
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	55
	Quarterly Overview	56
	Financial Highlights	58
	Results of Operations	59
	Financial Condition	66
	Liquidity and Capital Resources	76
	Risk Management	79
	Critical Accounting Policies and Estimates	95
	Recently Issued Accounting Standards and Interpretations	96
	Recent Developments	96
	Off-Balance Sheet Arrangements and Other Commitments	97
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	98
Item 4.	Controls and Procedures	103
PART II.	OTHER INFORMATION
Item 1.	Legal Proceedings	104
Item 1A.	Risk Factors	104
Item 6.	Exhibits	105
Signatures		106

PART I. FINANCIAL INFORMATION

ITEM 1.FINANCIAL STATEMENTS

Federal Home Loan Bank of San Francisco

Statements of Condition

(Unaudited)

(In millions-except par value)	March 31, 2016			December 31, 2015
Assets:
Cash and due from banks	$	100		$	1,637
Interest-bearing deposits	450			—
Securities purchased under agreements to resell	12,500			10,000
Federal funds sold	4,599			4,626
Trading securities(a)	1,408			1,433
Available-for-sale (AFS) securities(a)	5,145			5,414
Held-to-maturity (HTM) securities (fair values were $10,372 and $10,821, respectively)(a)	10,264			10,802
Advances (includes $3,722 and $3,677 at fair value under the fair value option, respectively)	49,169			50,919
Mortgage loans held for portfolio, net of allowance for credit losses of $0 and $0, respectively	632			655
Accrued interest receivable	54			56
Premises, software, and equipment, net	32			32
Derivative assets, net	39			44
Other assets (Note 19)	347			80
Total Assets	$	84,739		$	85,698
Liabilities:
Deposits	$	214		$	127
Consolidated obligations:
Bonds (includes $3,613 and $4,233 at fair value under the fair value option, respectively)	57,207			51,827
Discount notes	21,095			27,647
Total consolidated obligations	78,302			79,474
Mandatorily redeemable capital stock	486			488
Accrued interest payable	146			80
Affordable Housing Program (AHP) payable	186			172
Derivative liabilities, net	9			6
Other liabilities	505			455
Total Liabilities	79,848			80,802
Commitments and Contingencies (Note 17)
Capital:
Capital stock—Class B—Putable ($100 par value) issued and outstanding:
21 shares and 23 shares, respectively	2,115			2,253
Unrestricted retained earnings	760			610
Restricted retained earnings	2,054			2,018
Total Retained Earnings	2,814			2,628
Accumulated other comprehensive income/(loss) (AOCI)	(38		)	15
Total Capital	4,891			4,896
Total Liabilities and Capital	$	84,739		$	85,698

(a) At March 31, 2016, and December 31, 2015, none of these securities were pledged as collateral that may be repledged.

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

3

Federal Home Loan Bank of San Francisco

Statements of Income

(Unaudited)

	Three Months Ended March 31,
(In millions)	2016			2015
Interest Income:
Advances	$	104		$	67
Prepayment fees on advances, net	2			—
Securities purchased under agreements to resell	2			—
Federal funds sold	5			2
Trading securities	2			2
AFS securities	69			67
HTM securities	64			80
Mortgage loans held for portfolio	8			9
Total Interest Income	256			227
Interest Expense:
Consolidated obligations:
Bonds	104			76
Discount notes	19			6
Mandatorily redeemable capital stock	10			15
Total Interest Expense	133			97
Net Interest Income	123			130
Provision for/(reversal of) credit losses on mortgage loans	—			—
Net Interest Income After Mortgage Loan Loss Provision	123			130
Other Income/(Loss):
Total other-than-temporary impairment (OTTI) loss	(15		)	(4		)
Net amount of OTTI loss reclassified to/(from) AOCI	8			2
Net OTTI loss, credit-related	(7		)	(2		)
Net gain/(loss) on trading securities	1			—
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option	27			(7		)
Net gain/(loss) on derivatives and hedging activities	(65		)	(21		)
Gains on litigation settlements, net	211			459
Other	4			3
Total Other Income/(Loss)	171			432
Other Expense:
Compensation and benefits	18			17
Other operating expense	15			14
Federal Housing Finance Agency	2			2
Office of Finance	1			1
Total Other Expense	36			34
Income/(Loss) Before Assessment	258			528
AHP Assessment	27			54
Net Income/(Loss)	$	231		$	474

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

4

Federal Home Loan Bank of San Francisco

Statements of Comprehensive Income

(Unaudited)

	Three Months Ended March 31,
(In millions)	2016			2015
Net Income/(Loss)	$	231		$	474
Other Comprehensive Income/(Loss):
Net change in pension and postretirement benefits	1			—
Net non-credit-related OTTI gain/(loss) on AFS securities:
Net change in fair value of other-than-temporarily impaired securities	(47		)	20
Net amount of OTTI loss reclassified to/(from) other income/(loss)	(8		)	(2		)
Total net non-credit-related OTTI gain/(loss) on AFS securities	(55		)	18
Net non-credit-related OTTI gain/(loss) on HTM securities:
Accretion of non-credit-related OTTI loss	1			2
Total net non-credit-related OTTI gain/(loss) on HTM securities	1			2
Total other comprehensive income/(loss)	(53		)	20
Total Comprehensive Income/(Loss)	$	178		$	494

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

5

Federal Home Loan Bank of San Francisco

Statements of Capital Accounts

(Unaudited)

	Capital Stock Class B—Putable					Retained Earnings											Total Capital
(In millions)	Shares		Par Value			Restricted		Unrestricted			Total			AOCI
Balance, December 31, 2014	33		$	3,278		$	2,065	$	294		$	2,359		$	56		$	5,693
Issuance of capital stock	2		234														234
Repurchase of capital stock	(4	)	(412		)												(412		)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net	—		(8		)												(8		)
Comprehensive income/(loss)						85		389			474			20			494
Cash dividends paid on capital stock (7.11%)								(59		)	(59		)				(59		)
Balance, March 31, 2015	31		$	3,092		$	2,150	$	624		$	2,774		$	76		$	5,942
Balance, December 31, 2015	23		$	2,253		$	2,018	$	610		$	2,628		$	15		$	4,896
Issuance of capital stock	1		112														112
Repurchase of capital stock	(2	)	(198		)												(198		)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net	(1	)	(52		)												(52		)
Comprehensive income/(loss)						36		195			231			(53		)	178
Cash dividends paid on capital stock (7.99%)								(45		)	(45		)				(45		)
Balance, March 31, 2016	21		$	2,115		$	2,054	$	760		$	2,814		$	(38	)	$	4,891

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

6

Federal Home Loan Bank of San Francisco

Statements of Cash Flows

(Unaudited)

	Three Months Ended March 31,
(In millions)	2016			2015
Cash Flows from Operating Activities:
Net Income /(Loss)	$	231		$	474
Adjustments to reconcile net income/(loss) to net cash provided by operating activities:
Depreciation and amortization	(26		)	(27		)
Change in net fair value of trading securities	(1		)	—
Change in net fair value adjustment on advances and consolidated obligation bonds held under the fair value option	(27		)	7
Change in net derivatives and hedging activities	(3		)	(37		)
Net OTTI loss, credit-related	7			2
Net change in:
Accrued interest receivable	2			9
Other assets	(269		)	(2		)
Accrued interest payable	66			41
Other liabilities	64			44
Total adjustments	(187		)	37
Net cash provided by/(used in) operating activities	44			511
Cash Flows from Investing Activities:
Net change in:
Interest-bearing deposits	395			(105		)
Securities purchased under agreements to resell	(2,500		)	(4,000		)
Federal funds sold	27			3,329
Premises, software, and equipment	(1		)	(1		)
Trading securities:
Proceeds from maturities of long-term	275			300
Purchases of long-term	(250		)	—
AFS securities:
Proceeds from maturities of long-term	233			222
HTM securities:
Proceeds from maturities of long-term	541			616
Advances:
Principal collected	334,188			218,081
Made to members	(332,340		)	(222,810		)
Mortgage loans held for portfolio:
Principal collected	40			44
Purchases	(17		)	(17		)
Proceeds from sales of foreclosed assets	1			1
Net cash provided by/(used in) investing activities	592			(4,340		)

7

Federal Home Loan Bank of San Francisco

Statements of Cash Flows (continued)

(Unaudited)

	Three Months Ended March 31,
(In millions)	2016			2015
Cash Flows from Financing Activities:
Net change in:
Deposits	(783		)	149
Net proceeds from issuance of consolidated obligations:
Bonds	11,064			5,027
Discount notes	15,924			31,965
Payments for matured and retired consolidated obligations:
Bonds	(5,716		)	(8,620		)
Discount notes	(22,477		)	(25,984		)
Proceeds from issuance of capital stock	112			234
Payments for repurchase/redemption of mandatorily redeemable capital stock	(54		)	(344		)
Payments for repurchase of capital stock	(198		)	(412		)
Cash dividends paid	(45		)	(59		)
Net cash provided by/(used in) financing activities	(2,173		)	1,956
Net increase/(decrease) in cash and due from banks	(1,537		)	(1,873		)
Cash and due from banks at beginning of the period	1,637			3,920
Cash and due from banks at end of the period	$	100		$	2,047
Supplemental Disclosures:
Interest paid	$	118		$	101
AHP payments	13			7
Supplemental Disclosures of Noncash Investing and Financing Activities:
Transfers of mortgage loans to real estate owned	—			1
Transfers of other-than-temporarily impaired HTM securities to AFS securities	—			4
Transfers of capital stock to mandatorily redeemable capital stock	52			8

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

8

Federal Home Loan Bank of San Francisco

Notes to Financial Statements

(Unaudited)

(Dollars in millions except per share amounts)

Note 1 — Basis of Presentation

The information about the Federal Home Loan Bank of San Francisco (Bank) included in these unaudited financial statements reflects all adjustments that, in the opinion of the Bank, are necessary for a fair statement of results for the periods presented. These adjustments are of a normal recurring nature, unless otherwise disclosed. The results of operations in these interim statements are not necessarily indicative of the results to be expected for any subsequent period or for the entire year ending December 31, 2016. These unaudited financial statements should be read in conjunction with the Bank’s Annual Report on Form 10-K for the year ended December 31, 2015 (2015 Form 10‑K).

Use of Estimates. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America (U.S. GAAP) requires management to make a number of judgments, estimates, and assumptions that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income, expenses, gains, and losses during the reporting period. The most significant of these estimates include estimating the allowance for credit losses on the advances and mortgage loan portfolios; accounting for derivatives; estimating fair values of investments classified as trading and available-for-sale, derivatives and associated hedged items carried at fair value in accordance with the accounting for derivative instruments and associated hedging activities, and financial instruments carried at fair value under the fair value option; accounting for other-than-temporary impairment (OTTI) for investment securities; and estimating the prepayment speeds on mortgage-backed securities (MBS) and mortgage loans for the accounting of amortization of premiums and accretion of discounts on MBS and mortgage loans. Actual results could differ significantly from these estimates.

Financial Instruments Meeting Netting Requirements. The Bank presents certain financial instruments, including derivative instruments and securities purchased under agreements to resell, on a net basis when they have a legal right of offset and all other requirements for netting are met (collectively referred to as the netting requirements). The Bank has elected to offset its derivative asset and liability positions, as well as cash collateral received or pledged, when the netting requirements are met. The Bank did not have any offsetting liabilities related to its securities purchased under agreements to resell for the periods presented.

The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time this collateral is received or pledged. Likewise, there may be a delay for excess collateral to be returned. For derivative instruments that meet the netting requirements, any excess cash collateral received or pledged is recognized as a derivative liability or derivative asset. Additional information regarding these agreements is provided in Note 15 – Derivatives and Hedging Activities. Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented.

Variable Interest Entities. The Bank’s investments in variable interest entities (VIEs) are limited to private-label residential mortgage-backed securities (PLRMBS). On an ongoing basis, the Bank performs a quarterly evaluation

to determine whether it is the primary beneficiary in any VIE. The Bank evaluated its investments in VIEs as of March 31, 2016, to determine whether it is a primary beneficiary of any of these investments. The primary beneficiary is required to consolidate a VIE. The Bank determined that consolidation accounting is not required because the Bank is not the primary beneficiary of these VIEs for the periods presented. The Bank does not have the power to significantly affect the economic performance of any of these investments because it does not act as a key decision maker nor does it have the unilateral ability to replace a key decision maker. In addition, the Bank does not design, sponsor, transfer, service, or provide credit or liquidity support in any of its investments in VIEs. The maximum loss exposure for these VIEs is limited to the Bank’s investment in the VIE.

9

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Interest-bearing Deposits. This investment provides short-term liquidity and is carried at cost. Interest-bearing deposits includeinterest-bearing deposits in banks not meeting the definition of a security. Interest income on interest-bearing deposits is accrued as earned and recorded in interest income on Statements of Income.

Reclassifications of Prior Period Amounts Related to Concessions on Consolidated Obligations . On January 1, 2016, the Bank retrospectively adopted the guidance, Simplifying the Presentation of Debt Issuance Costs, issued by the Financial Accounting Standards Board (FASB) on April 7, 2015. The Bank pays concessions to dealers in connection with the issuance of certain consolidated obligations for which the Bank is the primary obligor. The amount of concessions is allocated to the Bank by the Office of Finance based on the percentage of the debt issued for which the Bank is the primary obligor. Concessions paid on consolidated obligations designated under the fair value option are expensed as incurred in non-interest expense. Concessions paid on consolidated obligations not designated under the fair value option are deferred and amortized to expense using the level-yield method over the remaining contractual life or on a retrospective basis over the estimated life of the consolidated obligations. The amortization of those concessions is included in consolidated obligation interest expense. Unamortized concessions were $8 and $9 at March 31, 2016, and December 31, 2015, respectively. Prior to the adoption of the guidance unamortized concessions were included in “Other assets.” Upon adoption of the guidance, unamortized concessions were reclassified as a reduction in the balance of the corresponding consolidated obligations, consistent with the presentation of discounts on consolidated obligations.

As a result of adopting this guidance, $9 of unamortized concessions included in other assets at December 31, 2015, was reclassified as a reduction in the balance of the corresponding consolidated obligations to conform to the financial statement presentation on the Bank’s Statements of Condition as of March 31, 2016. The reclassification resulted in a decrease of $1 in consolidated obligation discount notes and of $8 in consolidated obligation bonds at December 31, 2015. Accordingly, the Bank’s total assets and total liabilities each decreased by $9 at December 31, 2015. The adoption of this guidance did not have any effect on the Bank’s results of operations and cash flows.

Descriptions of the Bank’s significant accounting policies are included in “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2015 Form 10-K. Other changes to these policies as of March 31, 2016, are discussed in Note 2 – Recently Issued and Adopted Accounting Guidance.

Note 2 — Recently Issued and Adopted Accounting Guidance

Contingent Put and Call Options in Debt Instruments. On March 14, 2016, the FASB issued amendments to clarify the requirements for assessing whether contingent call (put) options that can accelerate the payment of principal on debt instruments are clearly and closely related to their debt hosts. The guidance requires entities to apply only the four-step decision sequence when assessing whether the economic characteristics and risks of call (put) options are clearly and closely related to the economic characteristics and risks of their debt hosts. Consequently, when a call (put) option is contingently exercisable, an entity does not have to assess whether the event that triggers the ability to exercise a call (put) option is related to interest rates or credit risks. This guidance becomes effective for the Bank for the interim and annual periods beginning on January 1, 2017, and early adoption is permitted. The guidance should be applied on a modified retrospective basis to existing debt instruments as of the beginning of the period for which the amendments are effective. The Bank is in the process of evaluating this guidance, and its effect on the Bank’s financial condition, results of operations, and cash flows has not yet been determined.

Effect of Derivative Contract Novations on Existing Hedge Accounting Relationships. On March 10, 2016, the FASB issued amendments to clarify that a change in the counterparty to a derivative instrument that has been designated as the hedging instrument under GAAP does not, in and of itself, require dedesignation of that hedging relationship provided that all other hedge accounting criteria continue to be met. This guidance becomes effective for the Bank for the interim and annual periods beginning on January 1, 2017, and early adoption is permitted. The amendments provide entities with the option to apply the guidance using either a prospective approach or a

10

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

modified retrospective approach, retrospectively applied to all derivative instruments that meet the specific conditions. The Bank elected to early adopt the guidance prospectively on January 1, 2016. The adoption of this guidance had no effect on the Bank’s financial condition, results of operations, and cash flows.

Recognition of Lease Assets and Lease Liabilities. On February 25, 2016, the FASB issued guidance that requires recognition of lease assets and lease liabilities on the Statements of Condition and disclosure of key information about leasing arrangements. In particular, this guidance requires a lessee of operating or finance leases to recognize on the Statements of Condition a liability to make lease payments and a right-of-use asset representing its right to use the underlying asset for the lease term. However, for leases with a term of 12 months or less, a lessee is permitted to make an accounting policy election not to recognize lease assets and lease liabilities. Under previous GAAP, a lessee was not required to recognize lease assets and lease liabilities arising from operating leases on the Statements of Condition. While this guidance does not fundamentally change lessor accounting, some changes have been made to align that guidance with the lessee guidance and other areas within GAAP.

The guidance becomes effective for the Bank for the interim and annual periods beginning on January 1, 2019, and early application is permitted. The guidance requires lessors and lessees to recognize and measure leases at the beginning of the earliest period presented in the financial statements using a modified retrospective approach. The Bank is in the process of evaluating this guidance, and its effect on the Bank’s financial condition, results of operations, and cash flows has not yet been determined.

Recognition and Measurement of Financial Assets and Financial Liabilities. On January 5, 2016, the FASB issued amended guidance on certain aspects of recognition, measurement, presentation, and disclosure of financial instruments. This guidance includes, but is not limited to, the following:

• Requires equity investments (with certain exceptions) to be measured at fair value with changes in fair value recognized in net income;

• Requires an entity to present separately in other comprehensive income the portion of the total change in the fair value of a liability resulting from a change in the instrument-specific credit risk when the entity has elected to measure the liability at fair value in accordance with the fair value option for financial instruments;

• Requires separate presentation of financial assets and financial liabilities by measurement category and form of financial asset on the balance sheet or in the accompanying notes to the financial statements;

• Eliminates the requirement for public entities to disclose the method(s) and significant assumptions used to estimate the fair value that is required to be disclosed for financial instruments measured at amortized cost on the balance sheet.

The guidance becomes effective for the Bank for the interim and annual periods beginning on January 1, 2018, and early adoption is only permitted for certain provisions. The amendments, in general, should be applied by means of a cumulative-effect adjustment to the balance sheet as of the beginning of the period of adoption. The Bank is in the process of evaluating this guidance, and its effect on the Bank’s financial condition, results of operations, and cash flows has not yet been determined.

Customer’s Accounting for Fees Paid in a Cloud Computing Arrangement. On April 15, 2015, the FASB issued amendments to clarify a customer’s accounting for fees paid in a cloud computing arrangement. The amendments provide guidance to customers on determining whether a cloud computing arrangement includes a software license that should be accounted for as internal-use software. If the arrangement does not contain a software license, it would be accounted for as a service contract. This guidance became effective for the Bank for the interim and annual periods beginning January 1, 2016, and was adopted prospectively. The adoption of this guidance did not have an impact on the Bank’s financial condition, results of operations, or cash flows.

Simplifying the Presentation of Debt Issuance Costs. On April 7, 2015, the FASB issued guidance to simplify the presentation of debt issuance costs. This guidance requires that debt issuance costs related to a recognized debt liability be presented on the Statements of Condition as a direct deduction from the carrying amount of that debt

11

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

liability, consistent with the presentation of debt discounts. The adoption of this guidance will result in a reclassification of unamortized debt issuance costs from other assets to consolidated obligations on the Bank’s Statements of Condition. This guidance became effective for the Bank for the interim and annual periods beginning January 1, 2016, and was adopted retrospectively. See Note 1 – Basis of Presentation for discussion of the impact of reclassifications of prior period amounts.

Amendments to the Consolidation Guidance. On February 18, 2015, the FASB issued guidance intended to enhance consolidation guidance for legal entities such as limited partnerships, limited liability corporations, and securitization structures (collateralized debt obligations, collateralized loan obligations, and mortgage-backed security transactions). The new guidance primarily focuses on the following:

• Placing more emphasis on risk of loss when determining a controlling financial interest. A reporting organization may no longer have to consolidate a legal entity in certain circumstances based solely on its fee arrangement, when certain criteria are met.

• Reducing the frequency of the application of related-party guidance when determining a controlling financial interest in a VIE.

• Potentially changing consolidation conclusions for public and private companies in several industries that typically make use of limited partnerships or VIEs.

This guidance became effective for the Bank for interim and annual periods beginning January 1, 2016. The adoption of this guidance did not affect the Bank’s financial condition, results of operations, or cash flows.

Disclosure of Uncertainties about an Entity’s Ability to Continue as a Going Concern.On August 27, 2014, the FASB issued guidance about management’s responsibility to evaluate whether there is substantial doubt about an entity’s ability to continue as a going concern and to provide related footnote disclosures. This guidance requires management to perform interim and annual assessments of an entity’s ability to continue as a going concern within one year after the date the financial statements are issued or within one year after the financial statements are available to be issued, when applicable. Substantial doubt exists if it is probable that the entity will be unable to meet its obligations for the assessed period. This guidance becomes effective for the Bank for the annual period ending after December 15, 2016, and for the annual and interim periods thereafter. Early application is permitted. This guidance is not expected to affect the Bank’s financial condition, results of operations, or cash flows.

Revenue from Contracts with Customers. On May 28, 2014, the FASB issued its guidance on revenue from contracts with customers. This guidance outlines a comprehensive model for recognizing revenue arising from contracts with customers and supersedes most current revenue recognition guidance. In addition, this guidance amends the existing requirements for the recognition of a gain or loss on the transfer of non-financial assets that are not in a contract with a customer. This guidance applies to all contracts with customers except those that are within the scope of certain other standards, such as financial instruments, certain guarantees, insurance contracts, and lease contracts.

The guidance provides entities with the option of using either of the following adoption methods: a full retrospective method, applied retrospectively to each prior reporting period presented; or a modified retrospective method, with the cumulative effect of retrospectively applying this guidance recognized at the date of initial application. The Bank is in the process of evaluating this guidance and its effect on the Bank’s financial condition, results of operations, and cash flows, but it is not expected to be material.

On August 12, 2015, the FASB issued an amendment to defer the effective date of the guidance issued in May 2014 by one year. In 2016, the FASB has issued additional amendments to clarify certain aspects of the new revenue guidance. However, the amendments do not change the core principle in the new revenue standard. The guidance is effective for the Bank for interim and annual periods beginning after December 15, 2017. Early application is permitted only as of the interim and annual reporting periods beginning after December 15, 2016.

12

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Note 3 — Trading Securities

The estimated fair value of trading securities as of March 31, 2016, and December 31, 2015, was as follows:

	March 31, 2016		December 31, 2015
Government-Sponsored Enterprises (GSEs) – Federal Farm Credit Bank (FFCB) bonds	$	1,399	$	1,424
MBS – Other U.S. obligations – Ginnie Mae	9		9
Total	$	1,408	$	1,433

The net unrealized gain/(loss) on trading securities was $1 and de minimis for the three months ended March 31, 2016 and 2015, respectively. These amounts represent the changes in the fair value of the securities during the reported periods.

Note 4 — Available-for-Sale Securities

Available-for-sale (AFS) securities by major security type as of March 31, 2016, and December 31, 2015, were as follows:

March 31, 2016
	Amortized Cost(1)		OTTI Recognized in AOCI			Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value
PLRMBS:
Prime	$	470	$	(2	)	$	19	$	—		$	487
Alt-A, option ARM	938		(47		)	50		(5		)	936
Alt-A, other	3,749		(144		)	120		(3		)	3,722
Total	$	5,157	$	(193	)	$	189	$	(8	)	$	5,145

December 31, 2015
	Amortized Cost(1)		OTTI Recognized in AOCI			Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value
PLRMBS:
Prime	$	489	$	(1	)	$	23	$	—		$	511
Alt-A, option ARM	956		(37		)	64		(3		)	980
Alt-A, other	3,926		(127		)	135		(11		)	3,923
Total	$	5,371	$	(165	)	$	222	$	(14	)	$	5,414

(1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings.

Expected maturities of PLRMBS will differ from contractual maturities because borrowers generally have the right to prepay the underlying obligations without prepayment fees.

At March 31, 2016, the amortized cost of the Bank’s PLRMBS classified as AFS included credit-related OTTI of $981. At December 31, 2015, the amortized cost of the Bank’s PLRMBS classified as AFS included credit-related OTTI of $1,023.

The following table summarizes the AFS securities with unrealized losses as of March 31, 2016, and December 31, 2015. The unrealized losses are aggregated by major security type and the length of time that individual securities have been in a continuous unrealized loss position. Total unrealized losses in the following table will not agree to total gross unrealized losses in the table above. The unrealized losses in the following table also include non-credit-

13

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

related OTTI losses recognized in AOCI. For OTTI analysis of AFS securities, see Note 6 – Other-Than-Temporary Impairment Analysis.

March 31, 2016
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
PLRMBS:
Prime	$	—	$	—	$	23	$	2	$	23	$	2
Alt-A, option ARM	208		1		414		51		622		52
Alt-A, other	355		5		1,425		142		1,780		147
Total	$	563	$	6	$	1,862	$	195	$	2,425	$	201

December 31, 2015
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
PLRMBS:
Prime	$	—	$	—	$	25	$	1	$	25	$	1
Alt-A, option ARM	—		—		435		40		435		40
Alt-A, other	168		2		1,521		136		1,689		138
Total	$	168	$	2	$	1,981	$	177	$	2,149	$	179

As indicated in the tables above, as of March 31, 2016, the Bank’s investments classified as AFS had unrealized losses related to PLRMBS, which were primarily due to illiquidity in the PLRMBS market and market expectations of the credit performance of loan collateral underlying these securities, which caused these assets to be valued at discounts to their amortized cost.

Interest Rate Payment Terms. Interest rate payment terms for AFS securities at March 31, 2016, and December 31, 2015, are shown in the following table:

	March 31, 2016		December 31, 2015
Amortized cost of AFS PLRMBS:
Collateralized mortgage obligations:
Fixed rate	$	1,468	$	1,540
Adjustable rate	3,689		3,831
Total	$	5,157	$	5,371

Certain MBS classified as fixed rate collateralized mortgage obligations have an initial fixed interest rate that subsequently converts to an adjustable interest rate on a specified date as follows:

	March 31, 2016		December 31, 2015
Collateralized mortgage obligations:
Converts in 1 year or less	$	165	$	102
Converts after 1 year through 5 years	29		99
Total	$	194	$	201

See Note 6 – Other-Than-Temporary Impairment Analysis for information on the transfers of securities between the AFS portfolio and the HTM portfolio.

14

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Note 5 — Held-to-Maturity Securities

The Bank classifies the following securities as HTM because the Bank has the positive intent and ability to hold these securities to maturity:

March 31, 2016
	Amortized Cost(1)		OTTI Recognized in AOCI(1)			Carrying Value(1)		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses			Estimated Fair Value
Housing finance agency bonds:
California Housing Finance Agency (CalHFA) bonds	$	273	$	—		$	273	$	—	$	(29	)	$	244
MBS:
Other U.S. obligations – Ginnie Mae	1,177		—			1,177		25		(1		)	1,201
GSEs:
Freddie Mac	3,506		—			3,506		58		—			3,564
Fannie Mae	3,897		—			3,897		93		(3		)	3,987
Subtotal GSEs	7,403		—			7,403		151		(3		)	7,551
PLRMBS:
Prime	858		—			858		—		(32		)	826
Alt-A, other	566		(13		)	553		12		(15		)	550
Subtotal PLRMBS	1,424		(13		)	1,411		12		(47		)	1,376
Total MBS	10,004		(13		)	9,991		188		(51		)	10,128
Total	$	10,277	$	(13	)	$	10,264	$	188	$	(80	)	$	10,372

December 31, 2015
	Amortized Cost(1)		OTTI Recognized in AOCI(1)			Carrying Value(1)		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses			Estimated Fair Value
Housing finance agency bonds:
California Housing Finance Agency (CalHFA) bonds	$	275	$	—		$	275	$	—	$	(33	)	$	242
MBS:
Other U.S. obligations – Ginnie Mae	1,227		—			1,227		4		(3		)	1,228
GSEs:
Freddie Mac	3,677		—			3,677		39		(20		)	3,696
Fannie Mae	4,136		—			4,136		70		(12		)	4,194
Subtotal GSEs	7,813		—			7,813		109		(32		)	7,890
PLRMBS:
Prime	905		—			905		—		(27		)	878
Alt-A, other	596		(14		)	582		14		(13		)	583
Subtotal PLRMBS	1,501		(14		)	1,487		14		(40		)	1,461
Total MBS	10,541		(14		)	10,527		127		(75		)	10,579
Total	$	10,816	$	(14	)	$	10,802	$	127	$	(108	)	$	10,821

(1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings. The carrying value of HTM securities represents amortized cost after adjustment for non-credit-related OTTI recognized in AOCI.

At March 31, 2016, the amortized cost of the Bank’s MBS classified as HTM included premiums of $34, discounts of $37, and credit-related OTTI of $8. At December 31, 2015, the amortized cost of the Bank’s MBS classified as HTM included premiums of $39, discounts of $42, and credit-related OTTI of $8.

15

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

The following tables summarize the HTM securities with unrealized losses as of March 31, 2016, and December 31, 2015. The unrealized losses are aggregated by major security type and the length of time that individual securities have been in a continuous unrealized loss position. Total unrealized losses in the following table will not agree to the total gross unrecognized holding losses in the table above. The unrealized losses in the following table also include non-credit-related OTTI losses recognized in AOCI. For OTTI analysis of HTM securities, see Note 6 – Other-Than-Temporary Impairment Analysis.

March 31, 2016
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
Housing finance agency bonds:
CalHFA bonds	$	—	$	—	$	244	$	29	$	244	$	29
MBS:
Other U.S. obligations – Ginnie Mae	129		1		1		—		130		1
GSEs:
Freddie Mac	50		—		19		—		69		—
Fannie Mae	81		—		112		3		193		3
Subtotal GSEs	131		—		131		3		262		3
PLRMBS:
Prime	188		3		638		29		826		32
Alt-A, other	8		—		542		28		550		28
Subtotal PLRMBS	196		3		1,180		57		1,376		60
Total MBS	456		4		1,312		60		1,768		64
Total	$	456	$	4	$	1,556	$	89	$	2,012	$	93

December 31, 2015
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
Housing finance agency bonds:
CalHFA bonds	$	—	$	—	$	240	$	33	$	240	$	33
MBS:
Other U.S. obligations – Ginnie Mae	799		3		2		—		801		3
GSEs:
Freddie Mac	1,736		20		20		—		1,756		20
Fannie Mae	1,095		9		154		3		1,249		12
Subtotal GSEs	2,831		29		174		3		3,005		32
PLRMBS:
Prime	165		1		676		26		841		27
Alt-A, other	10		—		573		27		583		27
Subtotal PLRMBS	175		1		1,249		53		1,424		54
Total MBS	3,805		33		1,425		56		5,230		89
Total	$	3,805	$	33	$	1,665	$	89	$	5,470	$	122

As indicated in the tables above, the Bank’s investments classified as HTM had unrealized losses on CalHFA bonds and MBS. The unrealized losses associated with the CalHFA bonds were mainly due to an illiquid market, credit concerns regarding the underlying mortgage collateral, and credit concerns regarding the monoline insurance providers, causing these investments to be valued at a discount to their acquisition cost. For its agency MBS, the

16

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Bank expects to recover the entire amortized cost basis of these securities because the Bank determined that the strength of the issuers’ guarantees through direct obligations or support from the U.S. government is sufficient to protect the Bank from losses. The unrealized losses associated with the PLRMBS were primarily due to illiquidity in the PLRMBS market and market expectations of the credit performance of loan collateral underlying these securities, which caused these assets to be valued at discounts to their amortized cost.

Redemption Terms. The amortized cost, carrying value, and estimated fair value of non-MBS securities by contractual maturity (based on contractual final principal payment) and of MBS as of March 31, 2016, and December 31, 2015, are shown below. Expected maturities of MBS will differ from contractual maturities because borrowers generally have the right to prepay the underlying obligations without prepayment fees.

March 31, 2016
Year of Contractual Maturity	Amortized Cost(1)		Carrying Value(1)		Estimated Fair Value
HTM securities other than MBS:
Due after 5 years through 10 years	$	61	$	61	$	56
Due after 10 years	212		212		188
Subtotal	273		273		244
MBS	10,004		9,991		10,128
Total	$	10,277	$	10,264	$	10,372

December 31, 2015
Year of Contractual Maturity	Amortized Cost(1)		Carrying Value(1)		Estimated Fair Value
HTM securities other than MBS:
Due after 5 years through 10 years	$	60	$	60	$	56
Due after 10 years	215		215		186
Subtotal	275		275		242
MBS	10,541		10,527		10,579
Total	$	10,816	$	10,802	$	10,821

(1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings. The carrying value of HTM securities represents amortized cost after adjustment for non-credit-related OTTI recognized in AOCI.

Interest Rate Payment Terms. Interest rate payment terms for HTM securities at March 31, 2016, and December 31, 2015, are detailed in the following table:

	March 31, 2016		December 31, 2015
Amortized cost of HTM securities other than MBS:
Adjustable rate	$	273	$	275
Subtotal	273		275
Amortized cost of HTM MBS:
Passthrough securities:
Fixed rate	134		146
Adjustable rate	400		416
Collateralized mortgage obligations:
Fixed rate	6,842		7,224
Adjustable rate	2,628		2,755
Subtotal	10,004		10,541
Total	$	10,277	$	10,816

17

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Certain MBS classified as fixed rate passthrough securities and fixed rate collateralized mortgage obligations have an initial fixed interest rate that subsequently converts to an adjustable interest rate on a specified date as follows:

	March 31, 2016		December 31, 2015
Passthrough securities:
Converts in 1 year or less	$	21	$	22
Converts after 1 year through 5 years	107		119
Total	$	128	$	141
Collateralized mortgage obligations:
Converts in 1 year or less	$	6	$	7
Converts after 1 year through 5 years	13		13
Total	$	19	$	20

See Note 6 – Other-Than-Temporary Impairment Analysis for information on the transfers of securities between the AFS portfolio and the HTM portfolio.

Note 6 — Other-Than-Temporary Impairment Analysis

On a quarterly basis, the Bank evaluates its individual AFS and HTM investment securities in an unrealized loss position for OTTI. As part of this evaluation, the Bank considers whether it intends to sell each debt security and whether it is more likely than not that it will be required to sell the debt security before its anticipated recovery of the amortized cost basis. If either of these conditions is met, the Bank recognizes an OTTI charge to earnings equal to the entire difference between the security’s amortized cost basis and its fair value at the statement of condition date. For securities in an unrealized loss position that do not meet either of these conditions (the most common situation), the Bank considers whether it expects to recover the entire amortized cost basis of the security by comparing its best estimate of the present value of the cash flows expected to be collected from the security with the amortized cost basis of the security. If the Bank’s best estimate of the present value of the cash flows expected to be collected is less than the amortized cost basis, the difference is considered the credit loss.

PLRMBS. A significant input to the Bank’s cash flow analysis of its PLRMBS is the forecast of future housing price changes. The OTTI Governance Committee of the Federal Home Loan Banks (FHLBanks) developed a short-term housing price forecast with projected changes ranging from a decrease of 1.0% to an increase of 8.0% over the 12-month period beginning January 1, 2016. For the vast majority of markets, the projected short-term housing price changes range from an increase of 3.0% to an increase of 5.0%. Thereafter, a unique path is projected for each geographic area based on an internally developed framework derived from historical data.

18

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

For all the PLRMBS in its AFS and HTM portfolios, the Bank does not intend to sell any security and it is not more likely than not that the Bank will be required to sell any security before its anticipated recovery of the remaining amortized cost basis.

For securities determined to be other-than-temporarily impaired as of March 31, 2016 (securities for which the Bank determined that it does not expect to recover the entire amortized cost basis), the following table presents a summary of the significant inputs used in measuring the amount of credit loss recognized in earnings during the first quarter of 2016, and the related current credit enhancement for the Bank.

March 31, 2016
	Significant Inputs for Other-Than-Temporarily Impaired PLRMBS			Current
	Prepayment Rates	Default Rates	Loss Severities	Credit Enhancement
Year of Securitization	Weighted Average % (1)	Weighted Average % (1)	Weighted Average % (1)	Weighted Average % (1)
Prime
2006	14.7	17.7	34.5	—
Total Prime	14.7	17.7	34.5	—
Alt-A, option ARM
2007	7.0	30.8	39.8	22.5
Total Alt-A, option ARM	7.0	30.8	39.8	22.5
Alt-A, other
2007	10.2	28.2	37.0	2.9
2005	13.6	14.9	39.5	3.8
Total Alt-A, other	11.9	21.7	38.2	3.3
Total	10.4	24.3	38.7	8.9

(1) Weighted average percentage is based on unpaid principal balance.

Credit enhancement is defined as the percentage of subordinated tranches, excess spread, and over-collateralization, if any, in a security structure that will generally absorb losses before the Bank will experience a loss on the security. The calculated averages represent the dollar-weighted averages of all the PLRMBS investments in each category shown. The classification (Prime; Alt-A, option ARM; and Alt-A, other) is based on the model used to run the estimated cash flows for the CUSIP, which may not necessarily be the same as the classification at the time of origination.

The following table presents the credit-related OTTI, which is recognized in earnings, for the three months ended March 31, 2016 and 2015.

	Three Months Ended
	March 31, 2016			March 31, 2015
Balance, beginning of the period	$	1,255		$	1,314
Additional charges on securities for which OTTI was previously recognized(1)	7			2
Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities(2)	(23		)	(19		)
Balance, end of the period	$	1,239		$	1,297

(1) For the three months ended March 31, 2016 and 2015, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2016 and 2015, respectively.

(2) The total accretion or amortization associated with other-than-temporarily impaired PLRMBS (amount recognized in interest income) totaled $26 and $19 for the three months ended March 31, 2016 and 2015, respectively.

19

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Changes in circumstances may cause the Bank to change its intent to hold a certain security to maturity without calling into question its intent to hold other debt securities to maturity in the future. The sale or transfer of an HTM security because of certain changes in circumstances, such as evidence of significant deterioration in the issuers’ creditworthiness, is not considered to be inconsistent with its original classification. In addition, other events that are isolated, nonrecurring, or unusual for the Bank that could not have been reasonably anticipated may cause the Bank to sell or transfer an HTM security without necessarily calling into question its intent to hold other debt securities to maturity.

The Bank elected to transfer any PLRMBS that incurred a credit-related OTTI charge during the applicable period from the Bank’s held-to-maturity portfolio to its available-for-sale portfolio at their fair values. The Bank recognized an OTTI credit loss on these held-to-maturity PLRMBS, which the Bank believes is evidence of a significant decline in the issuers’ creditworthiness. The decline in the issuers’ creditworthiness is the basis for the transfers to the available-for-sale portfolio. These transfers allow the Bank the option to sell these securities prior to maturity in view of changes in interest rates, changes in prepayment risk, or other factors, while recognizing the Bank’s intent to hold these securities for an indefinite period of time. The Bank does not intend to sell its other-than-temporarily impaired securities and it is not more likely than not that the Bank will be required to sell any security before its anticipated recovery of the remaining amortized cost basis.

The following table summarizes the PLRMBS transferred from the Bank’s HTM portfolio to its AFS portfolio during the three months ended March 31, 2015. The amounts shown represent the values when the securities were transferred from the HTM portfolio to the AFS portfolio. The Bank did not transfer any PLRMBS from its HTM portfolio to its AFS portfolio during the three months ended March 31, 2016.

	Three Months Ended March 31, 2015
	Amortized Cost		OTTI Recognized in AOCI		Gross Unrecognized Holding Gains (Losses)		Estimated Fair Value
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
Prime	$	4	$	—	$	—	$	4
Total	$	4	$	—	$	—	$	4

The following tables present the Bank’s AFS and HTM PLRMBS that incurred OTTI losses anytime during the life of the securities at March 31, 2016, and December 31, 2015, by loan collateral type:

March 31, 2016
	Available-for-Sale Securities						Held-to-Maturity Securities
	Unpaid Principal Balance		Amortized Cost		Estimated Fair Value		Unpaid Principal Balance		Amortized Cost		Carrying Value		Estimated Fair Value
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
Prime	$	568	$	470	$	487	$	—	$	—	$	—	$	—
Alt-A, option ARM	1,237		938		936		—		—		—		—
Alt-A, other	4,324		3,749		3,722		107		103		90		103
Total	$	6,129	$	5,157	$	5,145	$	107	$	103	$	90	$	103

20

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

December 31, 2015
	Available-for-Sale Securities						Held-to-Maturity Securities
	Unpaid Principal Balance		Amortized Cost		Estimated Fair Value		Unpaid Principal Balance		Amortized Cost		Carrying Value		Estimated Fair Value
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
Prime	$	591	$	489	$	511	$	—	$	—	$	—	$	—
Alt-A, option ARM	1,269		956		980		—		—		—		—
Alt-A, other	4,524		3,926		3,923		111		107		93		107
Total	$	6,384	$	5,371	$	5,414	$	111	$	107	$	93	$	107

For the Bank’s PLRMBS that were not other-than-temporarily impaired as of March 31, 2016, the Bank has experienced net unrealized losses primarily because of illiquidity in the PLRMBS market and market expectations of the credit performance of loan collateral underlying these securities, which caused these assets to be valued at discounts to their amortized cost. The Bank does not intend to sell these securities, it is not more likely than not that the Bank will be required to sell these securities before its anticipated recovery of the remaining amortized cost basis, and the Bank expects to recover the entire amortized cost basis of these securities. As a result, the Bank determined that, as of March 31, 2016, all of the gross unrealized losses on these PLRMBS are temporary. These securities were included in the securities that the Bank reviewed and analyzed for OTTI as discussed above, and the analyses performed indicated that these securities were not other-than-temporarily impaired.

All Other Available-for-Sale and Held-to-Maturity Investments. For the Bank’s investments in housing finance agency bonds, which were issued by CalHFA, the gross unrealized losses were mainly due to an illiquid market, credit concerns regarding the underlying mortgage collateral, and credit concerns regarding the monoline insurance providers, causing these investments to be valued at a discount to their acquisition cost. The Bank independently modeled cash flows for the underlying collateral, using assumptions for default rates and loss severity that a market participant would deem reasonable, and concluded that the available credit support within the CalHFA structure more than offset the projected underlying collateral losses. The Bank determined that, as of March 31, 2016, all of the gross unrealized losses on the bonds are temporary because the underlying collateral and credit enhancements were sufficient to protect the Bank from losses. As a result, the Bank expects to recover the entire amortized cost basis of these securities.

For its agency MBS, the Bank expects to recover the entire amortized cost basis of these securities because the Bank determined that the strength of the issuers’ guarantees through direct obligations or support from the U.S. government is sufficient to protect the Bank from losses. As a result, the Bank determined that, as of March 31, 2016, all of the gross unrealized losses on its agency MBS are temporary.

Note 7 — Advances

The Bank offers a wide range of fixed and adjustable rate advance products with different maturities, interest rates, payment characteristics, and option features. Fixed rate advances generally have maturities ranging from one day to 30 years. Adjustable rate advances generally have maturities ranging from less than 30 days to 10 years, with the interest rates resetting periodically at a fixed spread to LIBOR or to another specified index.

Redemption Terms. The Bank had advances outstanding, excluding overdrawn demand deposit accounts, at interest rates ranging from 0.34% to 8.57% at March 31, 2016, and 0.25% to 8.57% at December 31, 2015, as summarized below.

21

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	March 31, 2016				December 31, 2015
Contractual Maturity	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding		Weighted Average Interest Rate
Within 1 year	$	22,942	0.68	%	$	24,807	0.59	%
After 1 year through 2 years	4,655		1.26		4,252		1.19
After 2 years through 3 years	8,302		1.09		6,208		1.19
After 3 years through 4 years	4,325		1.05		6,877		0.89
After 4 years through 5 years	4,157		1.00		2,022		1.11
After 5 years	4,612		1.45		6,675		1.11
Total par value	48,993		0.94	%	50,841		0.84	%
Valuation adjustments for hedging activities	91				40
Valuation adjustments under fair value option	85				38
Total	$	49,169			$	50,919

Many of the Bank’s advances are prepayable at the borrower’s option. However, when advances are prepaid, the borrower is generally charged a prepayment fee intended to make the Bank financially indifferent to the prepayment. In addition, for certain advances with partial prepayment symmetry, the Bank may charge the borrower a prepayment fee or pay the borrower a prepayment credit depending on certain circumstances, such as movements in interest rates, when the advance is prepaid. The Bank had advances with partial prepayment symmetry outstanding totaling $3,507 at March 31, 2016, and $3,510 at December 31, 2015. Some advances may be repaid on pertinent call dates without prepayment fees (callable advances). The Bank had callable advances outstanding totaling $15,891 at March 31, 2016, and $15,425 at December 31, 2015.

The Bank’s advances at March 31, 2016, and December 31, 2015, included $140 and $140 of putable advances, respectively. At the Bank’s discretion, the Bank may terminate these advances on predetermined exercise dates and offer replacement funding at prevailing market rates, subject to certain conditions. The Bank would typically exercise such termination rights when interest rates increase.

The following table summarizes advances at March 31, 2016, and December 31, 2015, by the earlier of the year of contractual maturity or next call date for callable advances and by the earlier of the year of contractual maturity or next put date for putable advances.

	Earlier of Contractual Maturity or Next Call Date				Earlier of Contractual Maturity or Next Put Date
	March 31, 2016		December 31, 2015		March 31, 2016		December 31, 2015
Within 1 year	$	24,054	$	25,983	$	23,082	$	24,947
After 1 year through 2 years	9,093		6,124		4,515		4,152
After 2 years through 3 years	5,942		8,432		8,302		6,168
After 3 years through 4 years	4,625		3,173		4,325		6,877
After 4 years through 5 years	3,842		5,706		4,157		2,022
After 5 years	1,437		1,423		4,612		6,675
Total par value	$	48,993	$	50,841	$	48,993	$	50,841

Credit and Concentration Risk. The following tables present the concentration in advances to the top five borrowers and their affiliates at March 31, 2016 and 2015. The tables also present the interest income from

these advances before the impact of interest rate exchange agreements associated with these advances for the three months ended March 31, 2016 and 2015.

22

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	March 31, 2016				Three Months Ended March 31, 2016
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
JPMorgan Chase Bank, National Association(2)(3)	$	14,812	30	%	$	24	20	%
Bank of the West	6,640		14		12		10
First Republic Bank	3,800		8		16		13
CIT Bank, National Association(4)	3,114		6		7		6
Citigroup Inc
Citibank, N.A.(2)	3,000		6		3		2
Banamex USA	—		—		—		—
Subtotal Citigroup Inc	3,000		6		3		2
Subtotal	31,366		64		62		51
Others	17,627		36		60		49
Total par value	$	48,993	100	%	$	122	100	%

	March 31, 2015				Three Months Ended March 31, 2015
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
JPMorgan Chase & Co.:
JPMorgan Bank & Trust Company, National Association(3)	$	7,700	18	%	$	11	12	%
JPMorgan Chase Bank, National Association(2)	818		2		2		2
Subtotal JPMorgan Chase & Co.	8,518		20		13		14
Bank of the West	5,187		12		6		6
First Republic Bank	4,925		11		20		21
Bank of America California, N.A.	4,000		9		2		2
Citigroup Inc
Citibank, N.A.(2)	3,000		7		1		1
Banamex USA	—		—		—		—
Subtotal Citigroup Inc	3,000		7		1		1
Subtotal	25,630		59		42		44
Others	17,928		41		54		56
Total par value	$	43,558	100	%	$	96	100	%

(1) Interest income amounts exclude the interest effect of interest rate exchange agreements with derivative counterparties; as a result, the total interest income amounts will not agree to the Statements of Income. The amount of interest income from advances can vary depending on the amount outstanding, terms to maturity, interest rates, and repricing characteristics.

(2) Nonmember institution.

(3) Effective August 31, 2015, JPMorgan Bank & Trust Company, National Association (JPMorgan B&T), merged with and into JPMorgan Chase Bank, National Association (JPMorgan Chase). As a result, JPMorgan B&T is no longer a member of the Bank. Upon the merger, all of the Bank capital stock held by JPMorgan B&T was transferred to JPMorgan Chase, a nonmember of the Bank, and reclassified as mandatorily redeemable capital stock, and all advances to JPMorgan B&T were transferred to JPMorgan Chase.

(4) Effective August 3, 2015, CIT Bank merged with and into OneWest Bank, which was renamed CIT Bank, National Association.

The Bank held a security interest in collateral from each of the top five advances borrowers and their affiliates sufficient to support their respective advances outstanding, and the Bank does not expect to incur any credit losses on these advances.

23

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

For information related to the Bank’s credit risk on advances and allowance methodology for credit losses, see Note 9 – Allowance for Credit Losses.

Interest Rate Payment Terms. Interest rate payment terms for advances at March 31, 2016, and December 31, 2015, are detailed below:

	March 31, 2016		December 31, 2015
Par value of advances:
Fixed rate:
Due within 1 year	$	13,211	$	13,073
Due after 1 year	8,847		9,381
Total fixed rate	22,058		22,454
Adjustable rate:
Due within 1 year	9,731		11,734
Due after 1 year	17,204		16,653
Total adjustable rate	26,935		28,387
Total par value	$	48,993	$	50,841

The Bank may use derivatives to adjust the repricing and options characteristics of advances to more closely match the characteristics of the Bank’s funding liabilities. In general, whenever a member executes a fixed or variable rate advance with embedded options, the Bank will simultaneously execute an interest rate exchange agreement with terms that offset the terms and embedded options in the advance. The combination of the advance and the interest rate exchange agreement effectively creates a variable rate asset. This type of hedge relationship receives fair value option accounting treatment. In addition, for certain advances for which the Bank has elected the fair value option, the Bank will simultaneously execute an interest rate exchange agreement with terms that economically offset the terms of the advance. However, this type of hedge is treated as an economic hedge because these combinations generally do not meet the requirements for fair value hedge accounting treatment. For more information, see Note 15 – Derivatives and Hedging Activities and Note 16 – Fair Value.

The Bank did not have any advances with embedded features that met the requirements to separate the embedded feature from the host contract and designate the embedded feature as a stand-alone derivative at March 31, 2016, or December 31, 2015. The Bank has generally elected to account for certain advances with embedded features under the fair value option, and these advances are carried at fair value on the Statements of Condition. For more information, see Note 16 – Fair Value.

Prepayment Fees, Net. The Bank charges borrowers prepayment fees or pays borrowers prepayment credits when the principal on certain advances is paid prior to original maturity. The Bank records prepayment fees net of any associated fair value adjustments related to prepaid advances that were hedged. The net amount of prepayment fees is reflected as interest income in the Statements of Income for the three months ended March 31, 2016 and 2015, as follows:

	Three Months Ended
	March 31, 2016		March 31, 2015
Prepayment fees received	$	—	$	14
Fair value adjustments	2		(14		)
Net	$	2	$	—
Advance principal prepaid	$	770	$	607

24

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Note 8 — Mortgage Loans Held for Portfolio

Under the Mortgage Partnership Finance® (MPF®) Program, the Bank may purchase from members, for its own portfolio, conventional conforming fixed rate mortgage loans under the MPF Original product and mortgage loans insured by the Federal Housing Administration (FHA) or guaranteed by the Department of Veterans Affairs (VA) under the MPF Government product. In addition, the Bank may facilitate the purchase of conforming fixed rate mortgage loans from members for concurrent sale to Fannie Mae under the MPF Xtra® product and of jumbo fixed rate mortgage loans for concurrent sale to Redwood Residential Acquisition Corporation, a subsidiary of Redwood Trust, Inc., a real estate investment trust, under the MPF Direct product. MPF Xtra and MPF Direct products are passed through to a third party investor and are not recorded on the Bank’s Statements of Condition. As of March 31, 2016, the Bank had approved twelve members as participating financial institutions since renewing its participation in the MPF Program in 2013.

From May 2002 through October 2006, the Bank purchased conventional conforming fixed rate mortgage loans from its participating financial institutions under the MPF Original and MPF Plus products. Participating members originated or purchased the mortgage loans, credit-enhanced them and sold them to the Bank, and generally retained the servicing of the loans.

The following table presents information as of March 31, 2016, and December 31, 2015, on mortgage loans, all of which are secured by one- to four-unit residential properties and single-unit second homes.

	March 31, 2016			December 31, 2015
Fixed rate medium-term mortgage loans	$	87		$	100
Fixed rate long-term mortgage loans	542			553
Subtotal	629			653
Unamortized premiums	9			10
Unamortized discounts	(6		)	(8		)
Mortgage loans held for portfolio	632			655
Less: Allowance for credit losses	—			—
Total mortgage loans held for portfolio, net	$	632		$	655

Medium-term loans have original contractual terms of 15 years or less, and long-term loans have contractual terms of more than 15 years.

For information related to the Bank’s credit risk on mortgage loans and allowance methodology for credit losses, see Note 9 – Allowance for Credit Losses.

Note 9 — Allowance for Credit Losses

The Bank has established an allowance methodology for each of its portfolio segments: credit products, mortgage loans held for portfolio, term securities purchased under agreements to resell, and term Federal funds sold. For more information on these portfolio segments, see “Item 8. Financial Statements and Supplementary Data – Note 10 – Allowance for Credit Losses” in the Bank’s 2015 Form 10-K.

Credit Products. The Bank manages its credit exposure related to credit products through an integrated approach that generally provides for a credit limit to be established for each borrower, includes an ongoing review of each borrower’s financial condition, and is coupled with conservative collateral and lending policies to limit the risk of loss while taking into account borrowers’ needs for a reliable funding source. At March 31, 2016, and December 31, 2015, none of the Bank’s credit products were past due, on nonaccrual status, or considered impaired. There were no troubled debt restructurings related to credit products during the three months ended March 31, 2016, or during

2015.

25

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Based on the collateral pledged as security for advances, the Bank’s credit analyses of borrowers’ financial condition, and the Bank’s credit extension and collateral policies as of March 31, 2016, the Bank expects to collect all amounts due according to the contractual terms. Therefore, no allowance for losses on credit products was deemed necessary by the Bank. The Bank has never experienced any credit losses on its credit products.

Nomember institutions were placed into receivership during the first three months of 2016 or from April 1 to April 30, 2016.

Mortgage Loans Held for Portfolio. The following table presents information on delinquent mortgage loans as of March 31, 2016, and December 31, 2015.

	March 31, 2016			December 31, 2015
	Recorded Investment(1)			Recorded Investment(1)
30 – 59 days delinquent	$	13		$	10
60 – 89 days delinquent	3			5
90 days or more delinquent	17			18
Total past due	33			33
Total current loans	602			625
Total mortgage loans	$	635		$	658
In process of foreclosure, included above(2)	$	7		$	7
Nonaccrual loans	$	17		$	18
Loans past due 90 days or more and still accruing interest	$	—		$	—
Serious delinquencies as a percentage of total mortgage loans outstanding(3)	2.69		%	2.76		%

(1) The recorded investment in a loan is the unpaid principal balance of the loan, adjusted for accrued interest, net deferred loan fees or costs, unamortized premiums or discounts, and direct write-downs. The recorded investment is not net of any valuation allowance.

(2) Includes loans for which the servicer has reported a decision to foreclose or to pursue a similar alternative, such as deed-in-lieu. Loans in process of foreclosure are included in past due or current loans depending on their delinquency status.

(3) Represents loans that are 90 days or more past due or in the process of foreclosure as a percentage of the recorded investment of total mortgage loans outstanding.

The allowance for credit losses on the mortgage loan portfolio was as follows:

	Three Months Ended
	March 31, 2016		March 31, 2015
Balance, beginning of the period	$	—	$	1
(Charge-offs) /recoveries	—		(1		)
Provision for/(reversal of) credit losses	—		—
Balance, end of the period	$	—	$	—

The allowance for credit losses and recorded investment by impairment methodology for individually and collectively evaluated impaired loans are as follows:

26

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	March 31, 2016		December 31, 2015
Allowance for credit losses, end of period:
Individually evaluated for impairment	$	—	$	—
Total allowance for credit losses	$	—	$	—
Recorded investment, end of period:
Individually evaluated for impairment	$	13	$	14
Collectively evaluated for impairment	622		644
Total recorded investment	$	635	$	658

The recorded investment, unpaid principal balance, and related allowance of impaired loans individually evaluated for impairment are as follows:

	March 31, 2016						December 31, 2015
	Recorded Investment		Unpaid Principal Balance		Related Allowance		Recorded Investment		Unpaid Principal Balance		Related Allowance
With no related allowance	$	12	$	12	$	—	$	13	$	13	$	—
With an allowance	1		1		—		1		1		—
Total	$	13	$	13	$	—	$	14	$	14	$	—

The average recorded investment on impaired loans individually evaluated for impairment is as follows:

	Three Months Ended
	March 31, 2016		March 31, 2015
With no related allowance	$	12	$	14
With an allowance	1		4
Total	$	13	$	18

The Bank and any participating financial institution share in the credit risk of the loans sold by that institution as specified in a master agreement. Loans purchased under the MPF Program generally have a credit risk exposure at the time of purchase equivalent to assets rated AA, taking into consideration the credit risk sharing structure mandated by the Finance Agency’s acquired member assets (AMA) regulation. The MPF Program structures potential credit losses on conventional MPF loans into layers with respect to each pool of loans purchased by the Bank under a single master commitment, as follows:

1. The first layer of protection against loss is the liquidation value of the real property securing the loan.

2. The next layer of protection comes from the primary mortgage insurance that is required for loans with a loan-to-value ratio greater than 80%, if still in place.

3. Losses that exceed the liquidation value of the real property and any primary mortgage insurance, up to an agreed-upon amount called the first loss account for each master commitment, are incurred by the Bank.

4. Losses in excess of the first loss account for each master commitment, up to an agreed-upon amount called the credit enhancement amount, are covered by the participating financial institution’s credit enhancement obligation at the time losses are incurred.

5. Losses in excess of the first loss account and the participating financial institution’s remaining credit enhancement for the master commitment, if any, are incurred by the Bank.

The Bank calculates its estimated allowance for credit losses on mortgage loans acquired under the MPF Original and MPF Plus products as described below. Effective January 1, 2015, the Bank implemented the accounting requirements of regulatory Advisory Bulletin 2012-02. As a result, for any mortgage loans that are more than 180 days past due and that have any outstanding balance in excess of the fair value of the property, less cost to sell, this excess is charged off as a loss by the end of the month in which the applicable time period elapses. Likewise, when

27

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

a borrower is in bankruptcy, loans are written down to the fair value of the collateral, less cost to sell, in general within 60 days of receipt of the notification of filing from the bankruptcy court, unless it can be clearly demonstrated and documented that repayment is likely to occur. As a result of these charge-offs, corresponding Allowance for Credit Losses on MPF Loans, which had previously provided for most of these expected losses, was reduced accordingly.

Allowance for Credit Losses on MPF Loans –The Bank evaluates the allowance for credit losses on MPF mortgage loans based on two components. The first component applies to each individual loan that is specifically identified as impaired. The Bank evaluates the exposure on these loans by considering the first layer of loss protection (the liquidation value of the real property securing the loan) and the availability and collectability of credit enhancements under the terms of each master commitment and records a provision for credit losses. For this component, the Bank established a de minimis allowance for credit losses for MPF Original loans as of March 31, 2016, and December 31, 2015. For MPF Plus loans, the Bank established an allowance for credit losses totaling de minimis amounts as of March 31, 2016, and December 31, 2015.

The second component applies to loans that are not specifically identified as impaired and is based on the Bank’s estimate of probable credit losses on those loans as of the financial statement date. The Bank evaluates the credit loss exposure on a loan pool basis considering various observable data, such as delinquency statistics, past performance, current performance, loan portfolio characteristics, collateral valuations, industry data, and prevailing economic conditions. The Bank also considers the availability and collectability of credit enhancements from participating financial institutions or from mortgage insurers under the terms of each master commitment. For this component, the Bank established an allowance for credit losses for MPF Original loans totaling de minimis amounts as of March 31, 2016, and December 31, 2015, and for MPF Plus loans totaling de minimis amounts as of March 31, 2016, and December 31, 2015.

Troubled Debt Restructurings –Troubled debt restructuring (TDR) is considered to have occurred when a concession is granted to the debtor for economic or legal reasons related to the debtor’s financial difficulties and that concession would not have been considered otherwise. An MPF loan considered a TDR is individually evaluated for impairment when determining its related allowance for credit losses. Credit loss is measured by factoring in expected cash flow shortfalls incurred as of the reporting date as well as the economic loss attributable to delaying the original contractual principal and interest due dates, if applicable.

The Bank’s TDRs of MPF loans primarily involve modifying the borrower’s monthly payment for a period of up to 36 months to reflect a housing expense ratio that is no more than 31% of the borrower’s qualifying monthly income. The outstanding principal balance is re-amortized to reflect a principal and interest payment for a term not to exceed 40 years from the original note date and a housing expense ratio not to exceed 31%. This would result in a balloon payment at the original maturity date of the loan because the maturity date and number of remaining monthly payments are not adjusted. If the 31% ratio is still not achieved through re-amortization, the interest rate is reduced in 0.125% increments below the original note rate, to a floor rate of 3.00%, resulting in reduced principal and interest payments, for the temporary payment modification period of up to 36 months, until the 31% housing expense ratio is met. The recorded investment of the Bank's nonperforming MPFloans classified as TDRs totaled $3 as of March 31, 2016, and $3 as of December 31, 2015.

Term Securities Purchased Under Agreements to Resell. Securities purchased under agreements to resell are considered collateralized financing arrangements and effectively represent short-term loans to counterparties that are considered by the Bank to be of investment quality, which are classified as assets in the Statements of Condition. Securities purchased under agreements to resell are held in safekeeping in the name of the Bank by third-party custodians approved by the Bank. In accordance with the terms of these loans, if the market value of the underlying securities decreases below the market value required as collateral, the counterparty must place an equivalent amount of additional securities as collateral or remit an equivalent amount of cash. If an agreement to resell is deemed to be impaired, the difference between the fair value of the collateral and the amortized cost of the

28

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

agreement is charged to earnings. The Bank did not have any term securities purchased under agreements to resell at March 31, 2016, and December 31, 2015.

Term Federal Funds Sold. The Bank invests in Federal funds sold with counterparties that are considered by the Bank to be of investment quality, and these investments are evaluated for purposes of an allowance for credit losses only if the investment is not paid when due. All investments in Federal funds sold as of March 31, 2016, and

December 31, 2015, were repaid or are expected to be repaid according to the contractual terms.

Note 10 — Deposits

The Bank maintains demand deposit accounts that are directly related to the extension of credit to members and offers short-term deposit programs to members and qualifying nonmembers. In addition, a member that services mortgage loans may deposit in the Bank funds collected in connection with the mortgage loans, pending disbursement of these funds to the owners of the mortgage loans. The Bank classifies these types of deposits as non-interest-bearing deposits.

Deposits as of March 31, 2016, and December 31, 2015, were as follows:

	March 31, 2016		December 31, 2015
Interest-bearing deposits:
Demand and overnight	$	212	$	124
Total interest-bearing deposits	212		124
Non-interest-bearing deposits	2		3
Total	$	214	$	127

Interest Rate Payment Terms. Deposits classified as demand, overnight, and other pay interest based on a daily interest rate. Term deposits pay interest based on a fixed rate determined at the issuance of the deposit. Interest rate payment terms for deposits at March 31, 2016, and December 31, 2015, are detailed in the following table:

	March 31, 2016				December 31, 2015
	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding		Weighted Average Interest Rate
Interest-bearing deposits – Adjustable rate	$	212	0.01	%	$	124	0.01	%
Non-interest-bearing deposits	2				3
Total	$	214			$	127

Note 11 — Consolidated Obligations

Consolidated obligations, consisting of consolidated obligation bonds and discount notes, are jointly issued by the FHLBanks through the Office of Finance, which serves as the FHLBanks’ agent. As provided by the FHLBank Act or by regulations governing the operations of the FHLBanks, all FHLBanks have joint and several liability for all FHLBank consolidated obligations. For a discussion of the joint and several liability regulation, see “Item 8. Financial Statement and Supplementary Data – Note 20 – Commitments and Contingencies” in the Bank’s 2015 Form 10-K. In connection with each issuance of consolidated obligations, each FHLBank specifies the type, term, and amount of debt it requests to have issued on its behalf. The Office of Finance tracks the amount of debt issued on behalf of each FHLBank. In addition, the Bank separately tracks and records as a liability its specific portion of the consolidated obligations issued and is the primary obligor for that portion of the consolidated obligations issued. The Finance Agency and the U.S. Secretary of the Treasury have oversight over the issuance of FHLBank debt through the Office of Finance.

29

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Redemption Terms. The following is a summary of the Bank’s participation in consolidated obligation bonds at March 31, 2016, and December 31, 2015.

	March 31, 2016					December 31, 2015
Contractual Maturity	Amount Outstanding			Weighted Average Interest Rate		Amount Outstanding			Weighted Average Interest Rate
Within 1 year	$	36,471		0.94	%	$	29,114		1.03	%
After 1 year through 2 years	9,170			1.15		11,264			0.91
After 2 years through 3 years	5,059			1.34		5,162			1.28
After 3 years through 4 years	1,630			1.52		1,430			1.44
After 4 years through 5 years	1,915			1.69		1,740			1.67
After 5 years	2,796			2.48		2,982			2.43
Total par value	57,041			1.13	%	51,692			1.14	%
Unamortized premiums	21					27
Unamortized discounts	(14		)			(17		)
Valuation adjustments for hedging activities	156					142
Fair value option valuation adjustments	3					(17		)
Total	$	57,207				$	51,827

The Bank’s participation in consolidated obligation bonds outstanding includes callable bonds of $8,630 at March 31, 2016, and $8,005 at December 31, 2015. When a callable bond for which the Bank is the primary obligor is issued, the Bank may simultaneously enter into an interest rate swap (in which the Bank pays a variable rate and receives a fixed rate) with a call feature that mirrors the call option embedded in the bond (a sold callable swap). The Bank had notional amounts of interest rate exchange agreements hedging callable bonds of $5,375 at March 31, 2016, and $4,835 at December 31, 2015. The combined sold callable swaps and callable bonds enable the Bank to meet its funding needs at costs not otherwise directly attainable solely through the issuance of non-callable debt, while effectively converting the Bank’s net payment to an adjustable rate.

The Bank’s participation in consolidated obligation bonds at March 31, 2016, and December 31, 2015, was as follows:  

	March 31, 2016		December 31, 2015
Par value of consolidated obligation bonds:
Non-callable	$	48,411	$	43,687
Callable	8,630		8,005
Total par value	$	57,041	$	51,692

The following is a summary of the Bank’s participation in consolidated obligation bonds outstanding at March 31, 2016, and December 31, 2015, by the earlier of the year of contractual maturity or next call date.

Earlier of Contractual Maturity or Next Call Date	March 31, 2016		December 31, 2015
Within 1 year	$	44,521	$	36,469
After 1 year through 2 years	8,695		10,914
After 2 years through 3 years	2,959		3,282
After 3 years through 4 years	515		455
After 4 years through 5 years	260		395
After 5 years	91		177
Total par value	$	57,041	$	51,692

30

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Consolidated obligation discount notes are consolidated obligations issued to raise short-term funds. These notes are issued at less than their face value and redeemed at par value when they mature. The Bank’s participation in consolidated obligation discount notes, all of which are due within one year, was as follows:

	March 31, 2016					December 31, 2015
	Amount Outstanding			Weighted Average Interest Rate (1)		Amount Outstanding			Weighted Average Interest Rate (1)
Par value	$	21,113		0.37	%	$	27,663		0.25	%
Unamortized discounts	(18		)			(16		)
Total	$	21,095				$	27,647

(1) Represents yield to maturity excluding concession fees.

Interest Rate Payment Terms. Interest rate payment terms for consolidated obligations at March 31, 2016, and December 31, 2015, are detailed in the following table. For information on the general terms and types of

consolidated obligations outstanding, see “Item 8. Financial Statements and Supplementary Data – Note 12 –

Consolidated Obligations” in the Bank’s 2015 Form 10-K.

	March 31, 2016		December 31, 2015
Par value of consolidated obligations:
Bonds:
Fixed rate	$	28,216	$	28,942
Adjustable rate	27,330		20,815
Step-up	745		1,110
Step-down	550		550
Fixed rate that converts to adjustable rate	100		175
Range bonds	100		100
Total bonds, par value	57,041		51,692
Discount notes, par value	21,113		27,663
Total consolidated obligations, par value	$	78,154	$	79,355

The Bank did not have any bonds with embedded features that met the requirements to separate the embedded feature from the host contract and designate the embedded feature as a stand-alone derivative at March 31, 2016, or December 31, 2015. The Bank has generally elected to account for certain bonds with embedded features under the fair value option, and these bonds are carried at fair value on the Statements of Condition. For more information, see Note 16 – Fair Value.

31

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Note 12 — Accumulated Other Comprehensive Income/(Loss)

The following table summarizes the changes in AOCI for the three months ended March 31, 2016 and 2015:

	Net Non-Credit-Related OTTI Loss on AFS Securities			Net Non-Credit-Related OTTI Loss on HTM Securities			Pension and Postretirement Benefits			Total AOCI
Balance, December 31, 2014	$	88		$	(20	)	$	(12	)	$	56
Other comprehensive income/(loss) before reclassifications:
Non-credit-related OTTI loss	(3		)	—						(3		)
Net change in fair value	20									20
Accretion of non-credit-related OTTI loss				2						2
Reclassification from other comprehensive income/(loss) to net income/(loss):
Non-credit-related OTTI to credit-related OTTI	1			—						1
Net current period other comprehensive income/(loss)	18			2			—			20
Balance, March 31, 2015	$	106		$	(18	)	$	(12	)	$	76
Balance, December 31, 2015	$	43		$	(14	)	$	(14	)	$	15
Other comprehensive income/(loss) before reclassifications:
Net change in pension and postretirement benefits							1			1
Non-credit-related OTTI loss	(10		)	—						(10		)
Net change in fair value	(47		)							(47		)
Accretion of non-credit-related OTTI loss				1						1
Reclassification from other comprehensive income/(loss) to net income/(loss):
Non-credit-related OTTI to credit-related OTTI	2			—						2
Net current period other comprehensive income/(loss)	(55		)	1			1			(53		)
Balance, March 31, 2016	$	(12	)	$	(13	)	$	(13	)	$	(38	)

Note 13 — Capital

Capital Requirements. Under the Housing Act, the Director of the Finance Agency is responsible for setting the risk-based capital standards for the FHLBanks. The FHLBank Act and regulations governing the operations of the FHLBanks require that the Bank’s minimum capital stock requirement for shareholders must be sufficient to enable the Bank to meet its regulatory requirements for total capital, leverage capital, and risk-based capital. The Bank must maintain: (i) total regulatory capital in an amount equal to at least 4% of its total assets, (ii) leverage capital in an amount equal to at least 5% of its total assets, and (iii) permanent capital in an amount that is greater than or equal to its risk-based capital requirement. Because the Bank issues only Class B stock, regulatory capital and permanent capital for the Bank are both composed of retained earnings and Class B stock, including mandatorily redeemable capital stock (which is classified as a liability for financial reporting purposes). Regulatory capital and permanent capital do not include AOCI. Leverage capital is defined as the sum of permanent capital, weighted by a 1.5 multiplier, plus non-permanent capital.

The risk-based capital requirement is equal to the sum of the Bank’s credit risk, market risk, and operations risk capital requirements, all of which are calculated in accordance with the rules and regulations of the Finance Agency. The Finance Agency may require an FHLBank to maintain a greater amount of permanent capital than is required by the risk-based capital requirement as defined.

32

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

As of March 31, 2016, and December 31, 2015, the Bank was in compliance with these capital rules and requirements as shown in the following table.

	March 31, 2016						December 31, 2015
	Required			Actual			Required			Actual
Risk-based capital	$	2,562		$	5,415		$	2,684		$	5,369
Total regulatory capital	$	3,390		$	5,415		$	3,428		$	5,369
Total regulatory capital ratio	4.00		%	6.39		%	4.00		%	6.26		%
Leverage capital	$	4,237		$	8,123		$	4,285		$	8,054
Leverage ratio	5.00		%	9.58		%	5.00		%	9.40		%

Mandatorily Redeemable Capital Stock. The Bank had mandatorily redeemable capital stock totaling $486 outstanding to nine institutions at March 31, 2016, and $488 outstanding to nine institutions at December 31, 2015. The change in mandatorily redeemable capital stock for the three months ended March 31, 2016 and 2015, was as follows:

	Three Months Ended
	March 31, 2016			March 31, 2015
Balance at the beginning of the period	$	488		$	719
Reclassified from/(to) capital during the period	52			8
Redemption of mandatorily redeemable capital stock	—			(6		)
Repurchase of excess mandatorily redeemable capital stock	(54		)	(338		)
Balance at the end of the period	$	486		$	383

Cash dividends on mandatorily redeemable capital stock were recorded as interest expense in the amount of $10 and $15 for the three months ended March 31, 2016 and 2015, respectively.

The Bank’s mandatorily redeemable capital stock is discussed more fully in “Item 8. Financial Statements and Supplementary Data – Note 15 – Capital” in the Bank’s 2015 Form 10-K.

The following table presents mandatorily redeemable capital stock amounts by contractual redemption period at March 31, 2016, and December 31, 2015.

Contractual Redemption Period	March 31, 2016		December 31, 2015
Within 1 year	$	81	$	82
After 1 year through 2 years	—		1
After 3 years through 4 years	2		—
After 4 years through 5 years	379		381
Past contractual redemption date because of remaining activity(1)	24		24
Total	$	486	$	488

(1) Represents mandatorily redeemable capital stock that is past the end of the contractual redemption period because of outstanding activity.

Excess Stock Repurchase, Retained Earnings, and Dividend Framework. The Bank’s Excess Stock

Repurchase, Retained Earnings, and Dividend Framework summarizes the Bank’s capital management principles

and objectives, as well as its policies and practices, with respect to retained earnings, dividend payments, and the

repurchase of excess capital stock. The Bank may be restricted from paying dividends if the Bank is not in

compliance with any of its minimum capital requirements or if payment would cause the Bank to fail to meet any of

its minimum capital requirements. In addition, the Bank may not pay dividends if any principal or interest due on

any consolidated obligations has not been paid in full or is not expected to be paid in full, or, under certain

33

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

circumstances, if the Bank fails to satisfy certain liquidity requirements under applicable Finance Agency

regulations.

The Bank’s Risk Management Policy limits the payment of dividends if the ratio of the Bank’s estimated market value of total capital to par value of capital stock falls below certain levels. If this ratio at the end of any quarter is less than 100% but greater than or equal to 70%, any dividend would be limited to an annualized rate no greater than the daily average of the three-month LIBOR for the applicable quarter (subject to certain conditions), and if this ratio is less than 70%, the Bank would be restricted from paying a dividend. The ratio of the Bank’s estimated market value of total capital to par value of capital stock was 210% as of March 31, 2016.

In addition, the Bank monitors the condition of its PLRMBS portfolio, the ratio of the Bank’s estimated market value of total capital to par value of capital stock, its overall financial performance and retained earnings, developments in the mortgage and credit markets, and other relevant information as the basis for determining the payment of dividends and the repurchase of excess capital stock each quarter.

Retained Earnings – The Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework establishes amounts to be retained in restricted retained earnings, which are not made available in the current dividend period.

The following table summarizes the activity related to retained earnings for the three months ended March 31, 2016 and 2015:

				Restricted Retained Earnings Related to:
	Unrestricted Retained Earnings			Valuation Adjustments			Buildup		Joint Capital Enhancement Agreement		Total Restricted Retained Earnings		Total Retained Earnings
Balance, December 31, 2014	$	294		$	35		$	1,800	$	230	$	2,065	$	2,359
Net income	389			(10		)	—		95		85		474
Cash dividends on capital stock	(59		)	—			—		—		—		(59		)
Balance, March 31, 2015	$	624		$	25		$	1,800	$	325	$	2,150	$	2,774
Balance, December 31, 2015	$	610		$	10		$	1,650	$	358	$	2,018	$	2,628
Net income	195			(10		)	—		46		36		231
Cash dividends on capital stock	(45		)	—			—		—		—		(45		)
Balance, March 31, 2016	$	760		$	—		$	1,650	$	404	$	2,054	$	2,814

For more information on these three categories of restricted retained earnings and the Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework, see “Item 8. Financial Statements and Supplementary Data – Note 15 – Capital” in the Bank’s 2015 Form 10-K.

Dividend Payments – Finance Agency rules state that FHLBanks may declare and pay dividends only from previously retained earnings or current net earnings, and may not declare or pay dividends based on projected or anticipated earnings. There is no requirement that the Board of Directors declare and pay any dividend. A decision by the Board of Directors to declare or not declare a dividend is a discretionary matter and is subject to the requirements and restrictions of the FHLBank Act and applicable requirements under the regulations governing the operations of the FHLBanks.

In addition, Finance Agency rules do not permit the Bank to pay dividends in the form of capital stock if its excess

capital stock exceeds 1% of its total assets. Excess capital stock is defined as the aggregate of the capital stock held by each shareholder in excess of its minimum capital stock requirement, as established by the Bank’s capital plan. As of March 31, 2016, the Bank’s excess capital stock totaled $325, or 0.38% of total assets.

34

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

In the first quarter of 2016, the Bank paid dividends at an annualized rate of 7.99%, totaling $55, including $45 in dividends on capital stock and $10 in dividends on mandatorily redeemable capital stock. In the first quarter of 2015, the Bank paid dividends at an annualized rate of 7.11%, totaling $74, including $59 in dividends on capital stock and $15 in dividends on mandatorily redeemable capital stock.

For the periods referenced above, the Bank paid dividends in cash. Dividends on capital stock are recognized as dividends on the Statements of Capital Accounts, and dividends on mandatorily redeemable capital stock are recognized as interest expense on the Statements of Income.

On April 28, 2016, the Bank’s Board of Directors declared a cash dividend on the capital stock outstanding during the first quarter of 2016 at an annualized rate of 8.90%, totaling $61, including $49 in dividends on capital stock and $12 in dividends on mandatorily redeemable capital stock. The Bank recorded the dividend on April 28, 2016. The Bank expects to pay the dividend on or about May 16, 2016. Dividends on mandatorily redeemable capital stock will be recognized as interest expense in the second quarter of 2016.

Excess Capital Stock – The Bank may repurchase some or all of a shareholder’s excess capital stock, including any excess mandatorily redeemable capital stock, at the Bank’s discretion, subject to certain statutory and regulatory requirements. The Bank must give the shareholder 15 days’ written notice; however, the shareholder may waive this notice period. The Bank may also repurchase all of a member’s excess capital stock at a member’s request, at the Bank’s discretion, subject to certain statutory and regulatory requirements. A shareholder’s excess capital stock is defined as any capital stock holdings in excess of the shareholder’s minimum capital stock requirement, as established by the Bank’s capital plan.

On a quarterly basis, the Bank determines whether it will repurchase excess capital stock. The Bank repurchased $252 and $750 in excess capital stock in the first quarter of 2016 and 2015, respectively.

The Bank is required to redeem any mandatorily redeemable capital stock that is in excess of a former member’s minimum stock requirement on or after the expiration of the five-year redemption date. During the first quarter of 2016 and 2015, the Bank redeemed a de minimis amount and $6, respectively, in mandatorily redeemable capital stock, for which the five-year redemption period had expired, at its $100 par value. The stock was redeemed on the scheduled redemption dates or, for stock that was not excess stock on its scheduled redemption date because of outstanding activity with the Bank, on the first available repurchase date after the stock was no longer required to support outstanding activity with the Bank.

On May 29, 2015, the Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework was revised to reinstate the Bank’s practice of repurchasing the surplus capital stock of all members and the excess capital stock of all nonmember shareholders on a regular quarterly basis, at the Bank’s discretion and subject to certain statutory and regulatory requirements and to the Bank’s Risk Management Policy and capital plan limitations. Surplus capital stock is defined as any stock holdings in excess of 115% of a member’s minimum stock requirement. In addition, at the Bank’s discretion, all of the excess stock held by a member may be repurchased upon request of a member, subject to the requirements and limitations mentioned above. In accordance with the revised Excess Stock Repurchase, Retained Earnings, and Dividend Framework, each quarter Bank management evaluates and determines the amount of capital stock to be repurchased in that quarter, if any, giving consideration to certain capital metrics and capital management objectives and strategies, and subject to the requirements and limitations mentioned above. At least 15 calendar days before any repurchase, the Bank will notify shareholders of its intention to repurchase capital stock and of the scheduled repurchase date. On the scheduled repurchase date, the Bank will calculate the amount of stock to be repurchased to ensure that each member and nonmember shareholder will continue to meet its minimum stock requirement after the repurchase.

On April 29, 2016, the Bank announced that it plans to repurchase the surplus capital stock of all members and the excess capital stock of all nonmember shareholders on May 17, 2016.

35

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Excess capital stock totaled $325 as of March 31, 2016, and $402 as of December 31, 2015.

For more information on excess capital stock, see “Item 8. Financial Statements and Supplementary Data – Note 15 – Capital” in the Bank’s 2015 Form 10-K.

Concentration. JPMorgan Chase Bank, National Association, a nonmember institution, held $400, or 15%, of the Bank’s outstanding capital stock, including mandatorily redeemable capital stock, as of March 31, 2016, and December 31, 2015. No other institution held more than 10% of the Bank’s outstanding capital stock as of March 31, 2016, or December 31, 2015.

Note 14 — Segment Information

The Bank uses an analysis of financial performance based on the balances and adjusted net interest income of two operating segments, the advances-related business and the mortgage-related business, as well as other financial information, to review and assess financial performance and to determine the allocation of resources to these two major business segments. For purposes of segment reporting, adjusted net interest income includes income and expense associated with net settlements from economic hedges that are recorded in “Net gain/(loss) on derivatives and hedging activities” in other income and excludes interest expense that is recorded in “Mandatorily redeemable capital stock.” Other key financial information, such as any credit-related OTTI losses on the Bank’s PLRMBS, other expenses, and assessments, is not included in the segment reporting analysis, but is incorporated into the Bank’s overall assessment of financial performance.

For more information on these operating segments, see “Item 8. Financial Statements and Supplementary Data – Note 17 – Segment Information” in the Bank’s 2015 Form 10-K.

The following table presents the Bank’s adjusted net interest income by operating segment and reconciles total adjusted net interest income to income before the AHP assessment for the three months ended March 31, 2016 and 2015.

	Advances- Related Business		Mortgage- Related Business(1)		Adjusted Net Interest Income		Amortization of Basis Adjustments(2)			Income/(Expense) on Economic Hedges(3)			Interest Expense on Mandatorily Redeemable Capital Stock(4)		Net Interest Income After Mortgage Loan Loss Provision		Other Income/ (Loss)		Other Expense		Income Before AHP Assessment
Three months ended:
March 31, 2016	$	36	$	86	$	122	$	(2	)	$	(9	)	$	10	$	123	$	171	$	36	$	258
March 31, 2015	35		93		128		(8		)	(9		)	15		130		432		34		528

(1) The mortgage-related business includes total accretion or amortization associated with other-than-temporarily impaired PLRMBS, which are recognized in interest income, and totaled $26 and $19 for the three months ended March 31, 2016 and 2015, respectively. The mortgage-related business does not include credit-related OTTI losses of $7 and $2 for the three months ended March 31, 2016 and 2015, respectively.

(2) Represents amortization of amounts deferred for adjusted net interest income purposes only, in accordance with the Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework.

(3) The Bank includes income and expense associated with net settlements from economic hedges in adjusted net interest income in its analysis of financial performance for its two operating segments. For financial reporting purposes, the Bank does not include these amounts in net interest income in the Statements of Income, but instead records them in other income in “Net gain/(loss) on derivatives and hedging activities.”

(4) The Bank excludes interest expense on mandatorily redeemable capital stock from adjusted net interest income in its analysis of financial performance for its two operating segments.

The following table presents total assets by operating segment at March 31, 2016, and December 31, 2015.

	Advances- Related Business		Mortgage- Related Business		Total Assets
March 31, 2016	$	68,917	$	15,822	$	84,739
December 31, 2015	69,047		16,651		85,698

36

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Note 15 — Derivatives and Hedging Activities

General. The Bank may enter into interest rate swaps (including callable, putable, and basis swaps); and cap and floor agreements (collectively, interest rate exchange agreements or derivatives). Most of the Bank’s interest rate exchange agreements are executed in conjunction with the origination of advances or the issuance of consolidated obligation bonds to create variable rate structures. The interest rate exchange agreements are generally executed at the same time the advances and bonds are transacted and generally have the same maturity dates as the related advances and bonds. The Bank transacts most of its derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute consolidated obligations. Over-the-counter derivatives may be either uncleared or cleared. In an uncleared derivative transaction, the Bank’s counterparty is the executing bank or broker-dealer. In a cleared derivative transaction, the Bank may execute the transaction either directly with the executing bank or broker-dealer or on a swap execution facility, but in either case, the Bank’s counterparty is a derivatives clearing organization or clearinghouse once the derivative transaction has been accepted for clearing. The Bank is not a derivative dealer and does not trade derivatives for short-term profit.

Additional uses of interest rate exchange agreements include: (i) offsetting embedded features in assets and liabilities, (ii) hedging anticipated issuance of debt, (iii) matching against consolidated obligation discount notes or bonds to create the equivalent of callable or non-callable fixed rate debt, (iv) modifying the repricing frequency of assets and liabilities, (v) matching against certain advances and consolidated obligations for which the Bank elected the fair value option, and (vi) exactly offsetting other derivatives that may be executed with members (with the Bank serving as an intermediary) or cleared at a derivatives clearing organization. The Bank’s use of interest rate exchange agreements results in one of the following classifications: (i) a fair value hedge of an underlying financial instrument, (ii) an economic hedge of assets or liabilities, or (iii) an intermediary transaction for members.

Interest Rate Swaps – An interest rate swap is an agreement between two entities to exchange cash flows in the future. The agreement sets the dates on which the cash flows will be paid and the manner in which the cash flows will be calculated. One of the simplest forms of an interest rate swap involves the promise by one party to pay cash flows equivalent to the interest on a notional principal amount at a predetermined fixed rate for a given period of time. In return for this promise, the party receives cash flows equivalent to the interest on the same notional principal amount at a variable rate for the same period of time. The variable rate received or paid by the Bank in most interest rate exchange agreements is indexed to LIBOR.

Interest Rate Caps and Floors – In a cap agreement, additional cash flow is generated if the price or interest rate of an underlying variable rate rises above a certain threshold (or cap) price. In a floor agreement, additional cash flow is generated if the price or interest rate of an underlying variable rate falls below a certain threshold (or floor) price. Caps and floors may be used in conjunction with assets or liabilities. In general, caps and floors are designed as protection against the interest rate on a variable rate asset or liability rising above or falling below a certain level.

Hedging Activities. The Bank documents all relationships between derivative hedging instruments and hedged items, its risk management objectives and strategies for undertaking various hedge transactions, and its method of assessing hedge effectiveness. Derivatives designated as fair value hedges are transacted to hedge: (i) assets and liabilities on the balance sheet, (ii) firm commitments, or (iii) forecasted transactions. The Bank also formally assesses (both at hedge inception and on an ongoing basis) whether the hedging derivatives have been effective in offsetting changes in the fair value of hedged items attributable to the hedged risk and whether those derivatives may be expected to remain effective hedges in future periods. The Bank typically uses regression analyses or other statistical analyses to assess the effectiveness of its hedges. When it is determined that a derivative has not been or is not expected to be effective as a hedge, the Bank discontinues hedge accounting prospectively.

The Bank discontinues hedge accounting prospectively when: (i) it determines that the derivative is no longer effective in offsetting changes in the fair value of a hedged item (including hedged items such as firm commitments or forecasted transactions); (ii) the derivative and/or the hedged item expires or is sold, terminated, or exercised; (iii)

37

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

it is no longer probable that the forecasted transaction will occur in the originally expected period; (iv) a hedged firm commitment no longer meets the definition of a firm commitment; (v) it determines that designating the derivative as a hedging instrument is no longer appropriate; or (vi) it decides to use the derivative to offset changes in the fair value of other derivatives or instruments carried at fair value.

Intermediation and Offsetting Derivatives– As an additional service to its members, the Bank has in the past entered into offsetting interest rate exchange agreements, acting as an intermediary between offsetting derivative transactions with members and other counterparties. This intermediation allows members indirect access to the derivatives market. The Bank also enters into derivatives to offset the economic effect of other derivatives that are no longer designated to advances, investments, or consolidated obligations. Neither type of offsetting derivatives receives hedge accounting treatment and both are separately marked to market through earnings. The net result of the accounting for these derivatives does not significantly affect the operating results of the Bank.

The Bank had no interest rate exchange agreements associated with derivatives with members or offsetting derivatives with other counterparties at March 31, 2016. The notional principal of the interest rate exchange agreements associated with derivatives with members or offsetting derivatives with other counterparties was $132 at December 31, 2015.

Investments–The Bank may invest in U.S. Treasury and agency obligations, agency MBS, and the taxable portion of highly rated state or local housing finance agency obligations. In the past, the Bank has also invested in PLRMBS rated AAA at the time of acquisition. The interest rate and prepayment risk associated with these investment securities is managed through a combination of debt issuance and derivatives. The Bank may manage prepayment risk and interest rate risk by funding investment securities with consolidated obligations that have call features or by hedging the prepayment risk with a combination of consolidated obligations and callable swaps. The Bank may execute callable swaps in conjunction with the issuance of certain liabilities to create funding that is economically equivalent to fixed rate callable debt. Although these derivatives are economic hedges against prepayment risk and are designated to individual liabilities, they do not receive either fair value or cash flow hedge accounting treatment. Investment securities may be classified as trading, AFS, or HTM.

The Bank may also manage the risk arising from changing market prices or cash flows of investment securities classified as trading by entering into interest rate exchange agreements (economic hedges) that offset the changes in fair value or cash flows of the securities. The market value changes of both the trading securities and the associated interest rate exchange agreements are included in other income in the Statements of Income.

Advances– The Bank offers a wide array of advances structures to meet members’ funding needs. These advances may have maturities up to 30 years with fixed or adjustable rates and may include early termination features or options. The Bank may use derivatives to adjust the repricing and options characteristics of advances to more closely match the characteristics of the Bank’s funding liabilities. In general, whenever a member executes a fixed or variable rate advance with embedded options, the Bank will simultaneously execute an interest rate exchange agreement with terms that offset the terms and embedded options in the advance. The combination of the advance and the interest rate exchange agreement effectively creates a variable rate asset.

In addition, for certain advances for which the Bank has elected the fair value option, the Bank will simultaneously execute an interest rate exchange agreement with terms that economically offset the terms of the advance.

Mortgage Loans–The Bank’s investment portfolio includes fixed rate mortgage loans. The prepayment options embedded in mortgage loans can result in extensions or contractions in the expected repayment of these investments, depending on changes in estimated prepayment speeds. The Bank manages the interest rate risk and prepayment risk associated with fixed rate mortgage loans through a combination of debt issuance and derivatives. The Bank uses both callable and non-callable debt to achieve cash flow patterns and market value sensitivities for liabilities similar to those expected on the mortgage loans. Net income could be reduced if the Bank replaces prepaid mortgages with lower-yielding assets and the Bank’s higher funding costs are not reduced accordingly.

38

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

The Bank executes callable swaps in conjunction with the issuance of certain consolidated obligations to create funding that is economically equivalent to fixed rate callable bonds. Although these derivatives are economic hedges against the prepayment risk of specific loan pools and are referenced to individual liabilities, they do not receive either fair value or cash flow hedge accounting treatment.

Consolidated Obligations – Consolidated obligation bonds may be structured to meet the Bank’s or the investors’ needs. Common structures include fixed rate bonds with or without call options and adjustable rate bonds with or without embedded options. In general, when bonds are issued, the Bank simultaneously executes an interest rate exchange agreement with terms that offset the terms and embedded options, if any, of the consolidated obligation bond. This combination of the consolidated obligation bond and the interest rate exchange agreement effectively creates an adjustable rate bond. The cost of this funding combination is generally lower than the cost that would be available through the issuance of an adjustable rate bond alone. These transactions generally receive fair value hedge accounting treatment.

In addition, when certain consolidated obligation bonds for which the Bank has elected the fair value option are issued, the Bank simultaneously executes an interest rate exchange agreement with terms that economically offset the terms of the consolidated obligation bond. However, this type of hedge is treated as an economic hedge because these combinations generally do not meet the requirements for fair value hedge accounting treatment.

The Bank did not have any consolidated obligations denominated in currencies other than U.S. dollars outstanding during the three months ended March 31, 2016, or the year ended December 31, 2015.

Credit Risk – The Bank is subject to credit risk as a result of the risk of potential nonperformance by counterparties to the derivative agreements. All of the Bank’s agreements governing uncleared derivative transactions contain master netting provisions to help mitigate the credit risk exposure to each counterparty. The Bank manages counterparty credit risk through credit analyses and collateral requirements and by following the requirements of the Bank’s risk management policies and credit guidelines and Finance Agency regulations. The Bank also requires credit support agreements with collateral delivery thresholds on all uncleared derivatives. Currently, all of the Bank’s active uncleared derivative counterparties have a zero threshold. In addition, collateral related to derivative transactions with member institutions includes collateral pledged to the Bank, as evidenced by the Advances and Security Agreement, which may be held by the member institution for the benefit of the Bank.

For cleared derivatives, the clearinghouse is the Bank’s counterparty. The requirement that the Bank post initial and variation margin through the clearing agent, to the clearinghouse, exposes the Bank to institutional credit risk in the event that the clearing agent or the clearinghouse fails to meet its obligations. The use of cleared derivatives, however, mitigates the Bank’s overall credit risk exposure because a central counterparty is substituted for individual counterparties and variation margin is posted daily for changes in the value of cleared derivatives through a clearing agent. The Bank has analyzed the enforceability of offsetting rights applicable to its cleared derivative transactions and determined that the exercise of those offsetting rights by a non-defaulting party under these transactions should be upheld under applicable bankruptcy law and Commodity Futures Trading Commission rules in the event of a clearinghouse or clearing agent insolvency and under applicable clearinghouse rules upon a non-insolvency-based event of default of the clearinghouse or clearing agent. Based on this analysis, the Bank presents a net derivative receivable or payable for all of its transactions through a particular clearing agent with a particular clearinghouse.

Based on the Bank’s credit analyses and the collateral requirements, the Bank does not expect to incur any credit losses on its derivative transactions.

The notional amount of an interest rate exchange agreement serves as a factor in determining periodic interest payments or cash flows received and paid. However, the notional amount of derivatives represents neither the actual amounts exchanged nor the overall exposure of the Bank to credit risk and market risk. The risks of derivatives can

39

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

be measured meaningfully on a portfolio basis by taking into account the counterparties, the types of derivatives, the items being hedged, and any offsets between the derivatives and the items being hedged.

The Bank’s agreements for uncleared derivative transactions contain provisions that link the Bank’s credit rating from Moody’s and Standard & Poor’s to various rights and obligations. Certain of these derivative agreements provide that, if the Bank’s long-term debt rating falls below a specified rating (ranging from A3/A- to Baa3/BBB-), the Bank’s counterparty would have the right, but not the obligation, to terminate all of its outstanding derivative transactions with the Bank; the Bank’s agreements with its clearing agents for cleared derivative transactions have similar provisions with respect to the debt rating of FHLBank System consolidated bonds. If this occurs, the Bank may choose to enter into replacement hedges, either by transferring the existing transactions to another counterparty or entering into new replacement transactions, based on prevailing market rates. In addition, under some of its credit support agreements for uncleared derivative transactions, the amount of collateral that the Bank is required to deliver to a counterparty depends on the Bank’s credit rating. The aggregate fair value of all uncleared derivative instruments with credit-risk-related contingent features that were in a net derivative liability position (before cash collateral and related accrued interest) at March 31, 2016, was $46, for which the Bank had posted collateral with a fair value of $38 in the ordinary course of business. If the Bank’s credit rating at March 31, 2016, had been lowered from its current rating to the next lower rating, that would have triggered additional collateral to be delivered, and the Bank would have been required to deliver up to a total of $1 of additional collateral (at fair value) to its derivative counterparties at March 31, 2016.

The following table summarizes the fair value of derivative instruments including the effect of netting adjustments and cash collateral as of March 31, 2016, and December 31, 2015. For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest.

	March 31, 2016								December 31, 2015
	Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities			Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	28,573	$	233		$	100		$	27,110	$	192		$	71
Total	28,573		233			100			27,110		192			71
Derivatives not designated as hedging instruments:
Interest rate swaps	44,358		63			118			50,444		58			71
Interest rate caps and floors	2,230		3			2			2,230		6			1
Mortgage delivery commitments	7		—			—			5		—			—
Total	46,595		66			120			52,679		64			72
Total derivatives before netting and collateral adjustments	$	75,168	299			220			$	79,789	256			143
Netting adjustments and cash collateral(1)			(260		)	(211		)			(212		)	(137		)
Total derivative assets and total derivative liabilities			$	39		$	9				$	44		$	6

(1) Amounts include the netting of derivative assets and liabilities by counterparty, including cash collateral and related accrued interest, where the netting requirements have been met. Cash collateral posted and related accrued interest was $60 and $57 at March 31, 2016, and December 31, 2015, respectively. Cash collateral received and related accrued interest was $109 and $132 at March 31, 2016, and December 31, 2015, respectively.

The following table presents the components of net gain/(loss) on derivatives and hedging activities as presented in the Statements of Income for the three months ended March 31, 2016 and 2015.

40

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	Three Months Ended
	March 31, 2016			March 31, 2015
	Gain/(Loss)			Gain/(Loss)
Derivatives designated as hedging instruments:
Interest rate swaps	$	(4	)	$	(7	)
Total net gain/(loss) related to fair value hedge ineffectiveness	(4		)	(7		)
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	(49		)	(3		)
Interest rate caps and floors	(3		)	(2		)
Net settlements	(9		)	(9		)
Total net gain/(loss) related to derivatives not designated as hedging instruments	(61		)	(14		)
Net gain/(loss) on derivatives and hedging activities	$	(65	)	$	(21	)

The following table presents, by type of hedged item, the gains and losses on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on the Bank’s net interest income for the three months ended March 31, 2016 and 2015.

	Three Months Ended
	March 31, 2016												March 31, 2015
Hedged Item Type	Gain/(Loss) on Derivatives			Gain /(Loss) on Hedged Item			Net Fair Value Hedge Ineffectiveness			Effect of Derivatives on Net Interest Income(1)			Gain/(Loss) on Derivatives			Gain /(Loss) on Hedged Item		Net Fair Value Hedge Ineffectiveness			Effect of Derivatives on Net Interest Income(1)
Advances	$	(49	)	$	49		$	—		$	(18	)	$	(38	)	$	38	$	—		$	(28	)
Consolidated obligation bonds	11			(15		)	(4		)	53			(15		)	8		(7		)	62
Total	$	(38	)	$	34		$	(4	)	$	35		$	(53	)	$	46	$	(7	)	$	34

(1) The net interest on derivatives in fair value hedge relationships is presented in the interest income/expense line item of the respective hedged item.

The Bank may present derivative instruments, related cash collateral received or pledged, and associated accrued interest by clearing agent or by counterparty when the netting requirements have been met.

The following table presents separately the fair value of derivative assets and derivative liabilities that have met the netting requirements, including the related collateral received from or pledged to counterparties as of March 31, 2016, and December 31, 2015.

41

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	March 31, 2016						December 31, 2015
	Derivative Assets			Derivative Liabilities			Derivative Assets			Derivative Liabilities
Derivative instruments meeting netting requirements
Gross recognized amount
Uncleared derivatives	$	147		$	104		$	166		$	93
Cleared derivatives	152			116			90			50
Total gross recognized amount	299			220			256			143
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives	(135		)	(95		)	(149		)	(87		)
Cleared derivatives	(125		)	(116		)	(63		)	(50		)
Total gross amount of netting adjustments and cash collateral	(260		)	(211		)	(212		)	(137		)
Total derivative assets and total derivative liabilities
Uncleared derivatives	12			9			17			6
Cleared derivatives	27			—			27			—
Total derivative assets and derivative liabilities presented in the Statements of Condition	39			9			44			6
Non-cash collateral received or pledged not offset
Can be sold or repledged - Uncleared derivatives	11			—			11			—
Net unsecured amount
Uncleared derivatives	1			9			6			6
Cleared derivatives	27			—			27			—
Total net unsecured amount	$	28		$	9		$	33		$	6

Note 16 — Fair Value

The following fair value amounts have been determined by the Bank using available market information and the Bank’s best judgment of appropriate valuation methods. These estimates are based on pertinent information available to the Bank at March 31, 2016, and December 31, 2015. Although the Bank uses its best judgment in estimating the fair value of these financial instruments, there are inherent limitations in any estimation technique or valuation methodology. For example, because an active secondary market does not exist for a portion of the Bank’s financial instruments, in certain cases fair values cannot be precisely quantified or verified and may change as economic and market factors and evaluation of those factors change. The Bank continues to refine its valuation methodologies as markets and products develop and the pricing for certain products becomes more or less transparent. While the Bank believes that its valuation methodologies are appropriate and consistent with those of other market participants, the use of different methodologies or assumptions to determine the fair value of certain financial instruments could result in a materially different estimate of fair value as of the reporting date. Therefore, the fair values are not necessarily indicative of the amounts that would be realized in current market transactions, although they do reflect the Bank’s judgment as to how a market participant would estimate the fair values. The fair value summary table does not represent an estimate of the overall market value of the Bank as a going concern, which would take into account future business opportunities and the net profitability of total assets and liabilities.

The following tables present the carrying value, the estimated fair value, and the fair value hierarchy level of the Bank’s financial instruments at March 31, 2016, and December 31, 2015.

42

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	March 31, 2016
	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments(1)
Assets
Cash and due from banks	$	100	$	100	$	100	$	—	$	—	$	—
Interest-bearing deposits	450		450		450		—		—		—
Securities purchased under agreements to resell	12,500		12,500		—		12,500		—		—
Federal funds sold	4,599		4,599		—		4,599		—		—
Trading securities	1,408		1,408		—		1,408		—		—
AFS securities	5,145		5,145		—		—		5,145		—
HTM securities	10,264		10,372		—		8,752		1,620		—
Advances	49,169		49,142		—		49,142		—		—
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	632		671		—		671		—		—
Accrued interest receivable	54		54		—		54		—		—
Derivative assets, net(1)	39		39		—		299		—		(260		)
Other assets(2)	10		10		10		—		—		—
Liabilities
Deposits	214		214		—		214		—		—
Consolidated obligations:
Bonds	57,207		57,264		—		57,264		—		—
Discount notes	21,095		21,097		—		21,097		—		—
Total consolidated obligations	78,302		78,361		—		78,361		—		—
Mandatorily redeemable capital stock	486		486		486		—		—		—
Accrued interest payable	146		146		—		146		—		—
Derivative liabilities, net(1)	9		9		—		220		—		(211		)
Other
Standby letters of credit	22		22		—		22		—		—
Commitments to fund advances(3)	—		1		—		1		—		—

43

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	December 31, 2015
	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments(1)
Assets
Cash and due from banks	$	1,637	$	1,637	$	1,637	$	—	$	—	$	—
Securities purchased under agreements to resell	10,000		10,000		—		10,000		—		—
Federal funds sold	4,626		4,626		—		4,626		—		—
Trading securities	1,433		1,433		—		1,433		—		—
AFS securities	5,414		5,414		—		—		5,414		—
HTM securities	10,802		10,821		—		9,118		1,703		—
Advances	50,919		50,844		—		50,844		—		—
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	655		694		—		694		—		—
Accrued interest receivable	56		56		—		56		—		—
Derivative assets, net(1)	44		44		—		256		—		(212		)
Other assets(2)	10		10		10		—		—		—
Liabilities
Deposits	127		127		—		127		—		—
Consolidated obligations:
Bonds	51,827		51,773		—		51,773		—		—
Discount notes	27,647		27,640		—		27,640		—		—
Total consolidated obligations	79,474		79,413		—		79,413		—		—
Mandatorily redeemable capital stock	488		488		488		—		—		—
Accrued interest payable	80		80		—		80		—		—
Derivative liabilities, net(1)	6		6		—		143		—		(137		)
Other
Standby letters of credit	18		18		—		18		—		—
Commitments to issue consolidated obligation bonds(3)	—		1		—		1		—		—

(1) Amounts include the netting of derivative assets and liabilities by counterparty, including cash collateral and related accrued interest, where the netting requirements have been met.

(2) Represents publicly traded mutual funds held in a grantor trust.

(3) Estimated fair values of these commitments are presented as a net gain or (loss). For more information regarding these commitments, see Note 17 – Commitments and Contingencies.

Fair Value Hierarchy. The fair value hierarchy is used to prioritize the fair value methodologies and valuation techniques as well as the inputs to the valuation techniques used to measure fair value for assets and liabilities carried at fair value on the Statements of Condition. The inputs are evaluated and an overall level for the fair value measurement is determined. This overall level is an indication of market observability of the fair value measurement for the asset or liability. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). An entity must disclose the level within the fair value hierarchy in which the measurements are classified for all financial assets and liabilities measured on a recurring or non-recurring basis.

The application of the fair value hierarchy to the Bank’s financial assets and financial liabilities that are carried at fair value either on a recurring or non-recurring basis is as follows:

• Level 1 – Quoted prices (unadjusted) for identical assets or liabilities in an active market that the reporting entity can access on the measurement date.

• Level 2 – Inputs other than quoted prices within Level 1 that are observable inputs for the asset or liability, either directly or indirectly. If the asset or liability has a specified (contractual) term, a Level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include the following: (1) quoted prices for similar assets or liabilities in active markets; (2) quoted prices for identical or similar

44

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

assets or liabilities in markets that are not active; (3) inputs other than quoted prices that are observable for the asset or liability (e.g., interest rates and yield curves that are observable at commonly quoted intervals, and implied volatilities); and (4) inputs that are derived principally from or corroborated by observable market data by correlation or other means.

• Level 3 – Unobservable inputs for the asset or liability.

A financial instrument’s categorization within the valuation hierarchy is based on the lowest level of input that is significant to the fair value measurement.

The following assets and liabilities, including those for which the Bank has elected the fair value option, are carried at fair value on the Statements of Condition as of March 31, 2016:

• Trading securities

• AFS securities

• Certain advances

• Derivative assets and liabilities

• Certain consolidated obligation bonds

• Certain other assets

For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities. Such reclassifications are reported as transfers in or out as of the beginning of the quarter in which the changes occur. For the periods presented, the Bank did not have any reclassifications for transfers in or out of the fair value hierarchy levels.

Summary of Valuation Methodologies and Primary Inputs.

Cash and Due from Banks–The estimated fair value equals the carrying value.

Federal Funds Sold and Securities Purchased Under Agreements to Resell – The estimated fair value of overnight Federal funds sold and securities purchased under agreements to resell approximates the carrying value. The estimated fair value of term Federal funds sold and term securities purchased under agreements to resell has been determined by calculating the present value of expected cash flows for the instruments and reducing the amount for accrued interest receivable. The discount rates used in these calculations are the replacement rates for comparable instruments with similar terms.

Interest-Bearing Deposits –The fair value of deposits is generally equal to the carrying value of the deposits because the deposits are primarily overnight deposits or due on demand. The Bank determines the fair values of term deposits by calculating the present value of expected future cash flows from the deposits and reducing the amount for accrued interest receivable. The discount rates used in these calculations are the cost of deposits with similar terms.

Investment Securities – Certificates of Deposit –The estimated fair values of these investments are determined by calculating the present value of expected cash flows and reducing the amount for accrued interest receivable, using market-observable inputs as of the last business day of the period or using industry standard analytical models and certain actual and estimated market information. The discount rates used in these calculations are the replacement rates for comparable instruments with similar terms.

Investment Securities – MBS – To value its MBS, the Bank obtains prices from four designated third-party pricing vendors when available. The pricing vendors use various proprietary models to price these securities. The inputs to those models are derived from various sources including, but not limited to: benchmark yields, reported trades, dealer estimates, issuer spreads, prices on benchmark securities, bids, offers, and other market-related data. Since many securities do not trade on a daily basis, the pricing vendors use available information as applicable, such as

45

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

benchmark yield curves, benchmarking of like securities, sector groupings, and matrix pricing, to determine the prices for individual securities. Each pricing vendor has an established challenge process in place for all security valuations, which facilitates resolution of price discrepancies identified by the Bank.

At least annually, the Bank conducts reviews of the four pricing vendors to update and confirm its understanding of the vendors’ pricing processes, methodologies, and control procedures.

The Bank’s valuation technique for estimating the fair values of its MBS first requires the establishment of a median vendor price for each security. If four vendor prices are received, the average of the middle two prices is the median price; if three prices are received, the middle price is the median price; if two prices are received, the average of the two prices is the median price; and if one price is received, it is the median price (and also the default fair value) subject to additional validation. All vendor prices that are within a specified tolerance threshold of the median price are included in the cluster of vendor prices that are averaged to establish a default fair value. All vendor prices that are outside the threshold (outliers) are subject to further analysis including, but not limited to, comparison to prices provided by an additional third-party valuation service, prices for similar securities and/or dealer estimates, or use of internal model prices, which are deemed to be reflective of all relevant facts and circumstances that a market participant would consider. Such analysis is also applied in those limited instances where no third-party vendor price or only one third-party vendor price is available in order to arrive at an estimated fair value. If an outlier (or some other price identified in the analysis) is determined to be a better estimate of fair value, then the outlier (or the other price, as appropriate) is used as the fair value rather than the default fair value. If, instead, the analysis confirms that an outlier is (or outliers are) not representative of fair value and the default fair value is the best estimate, then the default fair value is used as the fair value.

If all vendor prices received for a security are outside the tolerance threshold level of the median price, then there is no default fair value, and the fair value is determined by an evaluation of all outlier prices (or the other prices, as appropriate) as described above.

As of March 31, 2016, four vendor prices were received for most of the Bank’s MBS, and the fair value estimates for most of those securities were determined by averaging the four vendor prices. Based on the Bank’s reviews of the pricing methods employed by the third-party pricing vendors and the relative lack of dispersion among the vendor prices (or, in those instances in which there were outliers or significant yield variances, the Bank’s additional analyses), the Bank believes that its fair value estimates are reasonable and that the fair value measurements are classified appropriately in the fair value hierarchy. Based on limited market liquidity for PLRMBS, the fair value measurements for these securities were classified as Level 3 within the fair value hierarchy.

Investment Securities – FFCB Bonds and CalHFA Bonds –The Bank estimates the fair values of these securities using the methodology described above for Investment Securities – MBS.

Advances –Because quoted prices are not available for advances, the fair values are measured using model-based valuation techniques (such as calculating the present value of future cash flows and reducing the amount for accrued interest receivable).

The Bank’s primary inputs for measuring the fair value of advances are market-based consolidated obligation yield curve (CO Curve) inputs obtained from the Office of Finance. The CO Curve is then adjusted to reflect the rates on replacement advances with similar terms and collateral. These spread adjustments are not market-observable and are evaluated for significance in the overall fair value measurement and the fair value hierarchy level of the advance. The Bank obtains market-observable inputs for complex advances. These inputs may include volatility assumptions, which are market-based expectations of future interest rate volatility implied from current market prices for similar options (swaption volatility and volatility skew). The discount rates used in these calculations are the replacement advance rates for advances with similar terms. Pursuant to the Finance Agency’s advances regulation, advances with an original term to maturity or repricing period greater than six months generally require a prepayment fee sufficient to make the Bank financially indifferent to the borrower’s decision to prepay the advances. The Bank determined

46

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

that no adjustment is required to the fair value measurement of advances for prepayment fees. In addition, the Bank did not adjust its fair value measurement of advances for creditworthiness primarily because advances were fully collateralized.

Mortgage Loans Held for Portfolio – The estimated fair value for seasoned mortgage loans represents modeled prices based on observable market prices for seasoned agency mortgage-backed passthrough securities adjusted for differences in coupon, average loan rate, credit, and cash flow remittance between the Bank’s mortgage loans and the referenced instruments, while the estimated fair value for newly originated mortgage loans represents modeled prices based on MPF commitment rates. Market prices are highly dependent on the underlying prepayment assumptions. Changes in the prepayment speeds often have a material effect on the fair value estimates. These underlying prepayment assumptions are susceptible to material changes in the near term because they are made at a specific point in time.

Loans to Other FHLBanks –Because these are overnight transactions, the estimated fair value approximates the recorded carrying value.

Accrued Interest Receivable and Payable – The estimated fair value approximates the carrying value of accrued interest receivable and accrued interest payable.

Other Assets – The estimated fair value of grantor trust assets is based on quoted market prices.

Derivative Assets and Liabilities –In general, derivative instruments transacted and held by the Bank for risk management activities are traded in over-the-counter markets where quoted market prices are not readily available. These derivatives are interest rate-related. For these derivatives, the Bank measures fair value using internally developed discounted cash flow models that use market-observable inputs, such as the overnight index swap (OIS) curve and volatility assumptions, which are market-based expectations of future interest rate volatility implied from current market prices for similar options (swaption volatility and volatility skew), adjusted for counterparty credit risk, as necessary.

The Bank is subject to credit risk because of the risk of potential nonperformance by its derivative counterparties. To mitigate this risk, the Bank executes uncleared derivative transactions only with highly rated derivative dealers and major banks (derivative dealer counterparties) that meet the Bank’s eligibility criteria. In addition, the Bank has entered into master netting agreements and bilateral credit support agreements with all active derivative dealer counterparties that provide for delivery of collateral at specified levels to limit the Bank’s net unsecured credit exposure to these counterparties. Under these policies and agreements, the amount of unsecured credit exposure to an individual derivative dealer counterparty is either (i) limited to an absolute dollar credit exposure limit according to the counterparty’s long-term debt or deposit credit rating, as determined by rating agencies or (ii) set at zero (subject to a minimum transfer amount). The Bank clears its cleared derivative transactions only through clearing agents that meet the Bank’s eligibility requirements, and the Bank’s credit exposure to the clearinghouse is secured by variation margin received from the clearinghouse. All credit exposure from derivative transactions entered into by the Bank with member counterparties that are not derivative dealers must be fully secured by eligible collateral. The Bank evaluated the potential for the fair value of the instruments to be affected by counterparty credit risk and determined that no adjustments to the overall fair value measurements were required.

The fair values of the derivative assets and liabilities include accrued interest receivable/payable and cash collateral remitted to/received from counterparties. The estimated fair values of the accrued interest receivable/payable and cash collateral approximate their carrying values because of their short-term nature. The fair values of derivatives that met the netting requirements are presented on a net basis. If these netted amounts are positive, they are classified as an asset and, if negative, they are classified as a liability.

Deposits –The fair value of deposits is generally equal to the carrying value of the deposits because the deposits are primarily overnight deposits or due on demand. The Bank determines the fair values of term deposits by calculating

47

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

the present value of expected future cash flows from the deposits and reducing the amount for accrued interest payable. The discount rates used in these calculations are the cost of deposits with similar terms.

Consolidated Obligations –Because quoted prices in active markets are not generally available for identical liabilities, the Bank measures fair values using internally developed models that use primarily market-observable inputs. The Bank’s primary input for measuring the fair value of consolidated obligation bonds is a market-based CO Curve obtained from the Office of Finance. The Office of Finance constructs the CO Curve using the Treasury yield curve as a base curve, which is adjusted by indicative consolidated obligation spreads obtained from market-observable sources. These market indications are generally derived from pricing indications from dealers, historical pricing relationships, and market activity for similar liabilities, such as recent GSE issuances or secondary market activity. For consolidated obligation bonds with embedded options, the Bank also obtains market-observable inputs, such as volatility assumptions, which are market-based expectations of future interest rate volatility implied from current market prices for similar options (swaption volatility and volatility skew).

Adjustments may be necessary to reflect the Bank’s credit quality or the credit quality of the FHLBank System when valuing consolidated obligation bonds measured at fair value. The Bank monitors its own creditworthiness and the creditworthiness of the other FHLBanks and the FHLBank System to determine whether any adjustments are necessary for creditworthiness in its fair value measurement of consolidated obligation bonds. The credit ratings of the FHLBank System and any changes to the credit ratings are the basis for the Bank to determine whether the fair values of consolidated obligations have been significantly affected during the reporting period by changes in the instrument-specific credit risk.

Mandatorily Redeemable Capital Stock –The estimated fair value of capital stock subject to mandatory redemption is generally at par value as indicated by contemporaneous purchases, redemptions, and repurchases at par value. Fair value includes estimated dividends earned at the time of reclassification from capital to liabilities, until such amount is paid, and any subsequently declared capital stock dividend. The Bank’s capital stock can only be acquired by members at par value and redeemed or repurchased at par value, subject to statutory and regulatory requirements. The Bank’s capital stock is not traded, and no market mechanism exists for the exchange of Bank capital stock outside the cooperative ownership structure.

Commitments – The estimated fair value of standby letters of credit is based on the present value of fees currently charged for similar agreements and is recorded in other liabilities. The estimated fair value of off-balance sheet fixed rate commitments to fund advances and commitments to issue consolidated obligations takes into account the difference between current and committed interest rates.

Subjectivity of Estimates Related to Fair Values of Financial Instruments. Estimates of the fair value of financial assets and liabilities using the methodologies described above are subjective and require judgments regarding significant matters, such as the amount and timing of future cash flows, prepayment speed assumptions, expected interest rate volatility, methods to determine possible distributions of future interest rates used to value options, and the selection of discount rates that appropriately reflect market and credit risks. Changes in these judgments often have a material effect on the fair value estimates.

Fair Value Measurements. The tables below present the fair value of assets and liabilities, which are recorded on a recurring or nonrecurring basis at March 31, 2016, and December 31, 2015, by level within the fair value hierarchy.

48

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

March 31, 2016
	Fair Value Measurement Using:						Netting
	Level 1		Level 2		Level 3		Adjustments(1)			Total
Recurring fair value measurements – Assets:
Trading securities:
GSEs – FFCB bonds	$	—	$	1,399	$	—	$	—		$	1,399
MBS:
Other U.S. obligations – Ginnie Mae	—		9		—		—			9
Total trading securities	—		1,408		—		—			1,408
AFS securities:
PLRMBS	—		—		5,145		—			5,145
Total AFS securities	—		—		5,145		—			5,145
Advances(2)	—		3,722		—		—			3,722
Derivative assets, net: interest rate-related	—		299		—		(260		)	39
Other assets	10		—		—		—			10
Total recurring fair value measurements – Assets	$	10	$	5,429	$	5,145	$	(260	)	$	10,324
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	3,613	$	—	$	—		$	3,613
Derivative liabilities, net: interest rate-related	—		220		—		(211		)	9
Total recurring fair value measurements – Liabilities	$	—	$	3,833	$	—	$	(211	)	$	3,622
Nonrecurring fair value measurements – Assets:(4)
Impaired mortgage loans held for portfolio	$	—	$	—	$	4	$	—		$	4
Total nonrecurring fair value measurements – Assets	$	—	$	—	$	4	$	—		$	4

December 31, 2015
	Fair Value Measurement Using:						Netting
	Level 1		Level 2		Level 3		Adjustments(1)			Total
Recurring fair value measurements – Assets:
Trading securities:
GSEs – FFCB bonds	$	—	$	1,424	$	—	$	—		$	1,424
MBS:
Other U.S. obligations – Ginnie Mae	—		9		—		—			9
Total trading securities	—		1,433		—		—			1,433
AFS securities:
PLRMBS	—		—		5,414		—			5,414
Total AFS securities	—		—		5,414		—			5,414
Advances(2)	—		3,677		—		—			3,677
Derivative assets, net: interest rate-related	—		256		—		(212		)	44
Other assets	10		—		—		—			10
Total recurring fair value measurements – Assets	$	10	$	5,366	$	5,414	$	(212	)	$	10,578
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	4,233	$	—	$	—		$	4,233
Derivative liabilities, net: interest rate-related	—		143		—		(137		)	6
Total recurring fair value measurements – Liabilities	$	—	$	4,376	$	—	$	(137	)	$	4,239
Nonrecurring fair value measurements – Assets:(4)
REO	$	—	$	—	$	1	$	—		$	1
Impaired mortgage loans held for portfolio	—		—		5		—			5
Total nonrecurring fair value measurements – Assets	$	—	$	—	$	6	$	—		$	6

49

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

(1) Amounts represent the netting of derivative assets and liabilities by counterparty, including cash collateral, where the netting requirements have been met.

(2) Represents advances recorded under the fair value option at March 31, 2016, and December 31, 2015.

(3) Represents consolidated obligation bonds recorded under the fair value option at March 31, 2016, and December 31, 2015.

(4) The fair value information presented is as of the date the fair value adjustment was recorded during the three months ended March 31, 2016, and the year ended December 31, 2015.

The following table presents a reconciliation of the Bank’s AFS PLRMBS that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three months ended March 31, 2016, and 2015.

	Three Months Ended
	March 31, 2016			March 31, 2015
Balance, beginning of the period	$	5,414		$	6,371
Total gain/(loss) realized and unrealized included in:
Interest income	26			19
Net OTTI loss, credit-related	(7		)	(2		)
Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI	(47		)	20
Net amount of OTTI loss reclassified to/(from) other income/(loss)	(8		)	(2		)
Settlements	(233		)	(222		)
Transfers of HTM securities to AFS securities	—			4
Balance, end of the period	$	5,145		$	6,188
Total amount of gain/(loss) for the period included in earnings attributable to the change in unrealized gains/losses relating to assets and liabilities still held at the end of the period	$	19		$	17

Fair Value Option. The fair value option provides an entity with an irrevocable option to elect fair value as an alternative measurement for selected financial assets, financial liabilities, unrecognized firm commitments, and written loan commitments not previously carried at fair value. It requires an entity to display the fair value of those assets and liabilities for which the entity has chosen to use fair value on the face of the Statements of Condition. Fair value is used for both the initial and subsequent measurement of the designated assets, liabilities, and commitments, with the changes in fair value recognized in net income. Interest income and interest expense on advances and consolidated bonds carried at fair value are recognized solely on the contractual amount of interest due or unpaid. Any transaction fees or costs are immediately recognized in non-interest income or non-interest expense.

For more information on the Bank’s election of the fair value option, see “Item 8. Financial Statements and Supplementary Data – Note 19 – Fair Values” in the Bank’s 2015 Form 10-K.

The Bank has elected the fair value option for certain financial instruments to assist in mitigating potential earnings volatility that can arise from economic hedging relationships in which the carrying value of the hedged item is not adjusted for changes in fair value. The potential earnings volatility associated with using fair value only for the derivative is the Bank’s primary reason for electing the fair value option for financial assets and liabilities that do not qualify for hedge accounting or that have not previously met or may be at risk for not meeting the hedge effectiveness requirements.

The following table summarizes the activity related to financial assets and liabilities for which the Bank elected the fair value option during the three months ended March 31, 2016 and 2015:

50

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	Three Months Ended
	March 31, 2016						March 31, 2015
	Advances			Consolidated Obligation Bonds			Advances			Consolidated Obligation Bonds
Balance, beginning of the period	$	3,677		$	4,233		$	5,137		$	6,717
New transactions elected for fair value option	169			245			246			655
Maturities and terminations	(171		)	(885		)	(424		)	(1,025		)
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option	47			20			20			27
Change in accrued interest	—			—			(1		)	1
Balance, end of the period	$	3,722		$	3,613		$	4,978		$	6,375

For instruments for which the fair value option has been elected, the related contractual interest income and contractual interest expense are recorded as part of net interest income on the Statements of Income. The remaining changes in fair value for instruments for which the fair value option has been elected are recorded as net gains/ (losses) on financial instruments held under the fair value option in the Statements of Income. The change in fair value does not include changes in instrument-specific credit risk. For advances and consolidated obligations recorded under the fair value option, the Bank determined that no adjustments to the fair values of these instruments for instrument-specific credit risk were necessary for the years ended March 31, 2016 and 2015.

The following table presents the difference between the aggregate remaining contractual principal balance outstanding and aggregate fair value of advances and consolidated obligation bonds for which the Bank elected the fair value option at March 31, 2016, and December 31, 2015:

	At March 31, 2016						At December 31, 2015
	Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance		Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance
Advances(1)	$	3,637	$	3,722	$	85	$	3,639	$	3,677	$	38
Consolidated obligation bonds	3,610		3,613		3		4,250		4,233		(17		)

(1) At March 31, 2016, and December 31, 2015, none of these advances were 90 days or more past due or had been placed on nonaccrual status.

Note 17 — Commitments and Contingencies

As provided by the FHLBank Act or regulations governing the operations of the FHLBanks, all FHLBanks have joint and several liability for all FHLBank consolidated obligations, which are backed only by the financial resources of the FHLBanks. The joint and several liability regulation authorizes the Finance Agency to require any FHLBank to repay all or a portion of the principal or interest on consolidated obligations for which another FHLBank is the primary obligor. The regulations provide a general framework for addressing the possibility that an FHLBank may be unable to repay the consolidated obligations for which it is the primary obligor. The Bank has never been asked or required to repay the principal or interest on any consolidated obligation on behalf of another FHLBank, and as of March 31, 2016, and through the filing date of this report, does not believe that it is probable that it will be asked to do so. The par value of the outstanding consolidated obligations of the FHLBanks was $896,827 at March 31, 2016, and $905,202 at December 31, 2015. The par value of the Bank’s participation in consolidated obligations was $78,154 at March 31, 2016, and $79,355 at December 31, 2015. For more information on the joint and several liability regulation, see “Item 8. Financial Statements and Supplementary Data – Note 20 – Commitments and Contingencies” in the Bank’s 2015 Form 10-K.

Off-balance sheet commitments as of March 31, 2016, and December 31, 2015, were as follows:

51

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	March 31, 2016						December 31, 2015
	Expire Within One Year		Expire After One Year		Total		Expire Within One Year		Expire After One Year		Total
Standby letters of credit outstanding	$	10,634	$	3,782	$	14,416	$	9,072	$	3,237	$	12,309
Commitments to fund additional advances(1)	110		5		115		5		5		10
Commitments to issue consolidated obligation discount notes, par(2)	143		—		143		300		—		300
Commitments to issue consolidated obligation bonds, par(3)	15		—		15		110		—		110
Commitments to purchase mortgage loans	7		—		7		5		—		5

(1) AtMarch 31, 2016, and at December 31, 2015, none of the commitments to fund additional advances were hedged with associated interest rate swaps.

(2) AtMarch 31, 2016, $133 of the commitments to issue consolidated obligation discount notes were hedged with associated interest rate swaps. At December 31, 2015, none of the commitments to issue consolidated obligation discount notes were hedged with associated interest rate swaps.

(3) AtMarch 31, 2016, and at December 31, 2015, all of the commitments to issue consolidated obligation bonds were hedged with associated interest rate swaps.

Standby letters of credit are generally issued for a fee on behalf of members to support their obligations to third parties. If the Bank is required to make a payment for a beneficiary’s drawing under a letter of credit, the amount is immediately due and payable by the member to the Bank and is charged to the member’s demand deposit account with the Bank. The original terms of these standby letters of credit range from 33 days to 15 years, including a final expiration in 2031. The Bank monitors the creditworthiness of members that have standby letters of credit. The value of the Bank’s obligations related to standby letters of credit is recorded in other liabilities and amounted to $22 at March 31, 2016, and $18 at December 31, 2015. Letters of credit are fully collateralized at the time of issuance. Based on the Bank’s credit analyses of members’ financial condition and collateral requirements, the Bank deemed it unnecessary to record any additional liability on the letters of credit outstanding as of March 31, 2016, and December 31, 2015.

Commitments to fund advances totaled $115 at March 31, 2016, and $10 at December 31, 2015. Advances funded under advance commitments are fully collateralized at the time of funding (see Note 9 – Allowance for Credit Losses). Based on the Bank’s credit analyses of members’ financial condition and collateral requirements, the Bank deemed it unnecessary to record any additional liability on the advance commitments outstanding as of March 31, 2016, and December 31, 2015.

The Bank may enter into commitments that unconditionally obligate it to purchase mortgage loans from its members. Commitments are generally for periods not exceeding 45 days. Delivery commitments are recorded at fair value as derivative assets or derivative liabilities in the Statements of Condition.

The Bank executes over-the-counter uncleared interest rate exchange agreements with major banks and derivative entities affiliated with broker-dealers and with the Bank’s members. The Bank enters into master agreements with netting provisions and into bilateral credit support agreements with all active derivative dealer counterparties. All member counterparty master agreements, excluding those with derivative dealers, are subject to the terms of the Bank’s Advances and Security Agreement with members, and all member counterparties (except for those that are derivative dealers) must fully collateralize the Bank’s net credit exposure. For cleared derivatives, the clearinghouse is the Bank’s counterparty, and the Bank has clearing agreements with clearing agents that provide for delivery of initial margin to, and exchange of variation margin with, the clearinghouse. See Note 15 – Derivatives and Hedging Activities for additional information about the Bank’s pledged collateral and other credit-risk-related contingent features.

The Bank may be subject to various pending legal proceedings that may arise in the ordinary course of business. After consultation with legal counsel, the Bank does not anticipate that the ultimate liability, if any, arising out of these matters will have a material effect on its financial condition or results of operations.

52

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Note 18 — Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks

Transactions with Members and Nonmembers. The following table sets forth information at the dates and for the periods indicated with respect to transactions with members that have an officer or director serving on the Bank’s Board of Directors.

	March 31, 2016		December 31, 2015
Assets:
Advances	$	2,541	$	3,297
Mortgage loans held for portfolio	22		24
Accrued interest receivable	5		5
Liabilities:
Deposits	$	4	$	4
Capital:
Capital Stock	$	120	$	119

	Three Months Ended
	March 31, 2016		March 31, 2015
Interest Income:
Advances	$	9	$	9
Mortgage loans held for portfolio	—		—

All transactions with members, nonmembers, and their affiliates are entered into in the ordinary course of business. As of March 31, 2016, and December 31, 2015, no shareholder owned more than 10% of the total voting interests in the Bank because of this statutory limit on members' voting rights. For more information on transactions with members and nonmembers, see “Item 8. Financial Statements and Supplementary Data – Note 21 – Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks” in the Bank’s 2015 Form 10-K.

Transactions with Other FHLBanks. The Bank may occasionally enter into transactions with other FHLBanks. These transactions are summarized below.

Overnight Funds. The Bank may borrow or lend unsecured overnight funds from or to other FHLBanks. All such transactions are at current market rates. Interest income and interest expense related to these transactions with other FHLBanks are included in other interest income and interest expense from other borrowings in the Statements of Income. Transactions with other FHLBanks, if any, are identified in the Bank’s financial statements.

MPF Mortgage Loans. The Bank pays a transaction services fee to the FHLBank of Chicago for its participation in the MPF program. This fee is assessed monthly and is based on the amount of mortgage loans in which the Bank invested and which remain outstanding on its Statements of Condition. For the three months ended March 31, 2016 and 2015, the Bank recorded a de minimis amount in MPF transaction services fee expense to the FHLBank of Chicago, which was recorded in the Statements of Income as other expense.

Consolidated Obligations. The Bank may, from time to time, transfer to or assume from another FHLBank the outstanding primary liability for FHLBank consolidated obligations. During the three months ended March 31, 2016 and 2015, the Bank did not transfer any debt to other FHLBanks or assume any debt from other FHLBanks.

Transactions with the Office of Finance. The Bank’s proportionate share of the cost of operating the Office of Finance is identified in the Statements of Income.

53

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Note 19 — Subsequent Events

At March 31, 2016, the Bank’s other assets included $265 related to settlements with certain defendants in connection with the Bank’s PLRMBS. Payments for that amount were received in April 2016.

There were no other material subsequent events identified, subsequent to March 31, 2016, until the time of the Form 10-Q filing with the Securities and Exchange Commission.

54

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

Statements contained in this quarterly report on Form 10-Q, including statements describing the objectives, projections, estimates, or predictions of the future of the Federal Home Loan Bank of San Francisco (Bank) or the Federal Home Loan Bank System (FHLBank System), are “forward-looking statements.” These statements may use forward-looking terms, such as “anticipate,” “believe,” “could,” “estimate,” “expect,” “intend,” “likely,” “may,” “probable,” “project,” “should,” “will,” or their negatives or other variations on these terms, and include statements related to, among others, gains and losses on derivatives, plans to pay dividends and repurchase excess capital stock, future other-than-temporary impairment losses, future classification of securities, and reform legislation. The Bank cautions that by their nature, forward-looking statements involve risk or uncertainty that could cause actual results to 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. These risks and uncertainties include, among others, the following:

• changes in economic and market conditions, including conditions in the mortgage, housing, and capital markets;

• the volatility of market prices, rates, and indices;

• the timing and volume of market activity;

• political events, including legislative, regulatory, judicial, or other developments that affect the Bank, its members, counterparties, or investors in the consolidated obligations of the Federal Home Loan Banks (FHLBanks), such as the impact of any government-sponsored enterprises (GSE) legislative reforms, changes in the Federal Home Loan Bank Act of 1932, as amended (FHLBank Act), changes in applicable sections of the Federal Housing Enterprises Financial Safety and Soundness Act of 1992, or changes in other statutes or regulations applicable to the FHLBanks;

• changes in the Bank’s capital structure;

• the ability of the Bank to pay dividends or redeem or repurchase capital stock;

• membership changes, including changes resulting from mergers or changes in the principal place of business of Bank members;

• the soundness of other financial institutions, including Bank members, nonmember borrowers, other counterparties, and the other FHLBanks;

• changes in Bank members’ demand for Bank advances;

• changes in the value or liquidity of collateral underlying advances to Bank members or nonmember borrowers or collateral pledged by the Bank’s derivative counterparties;

• changes in the fair value and economic value of, impairments of, and risks associated with the Bank’s investments in mortgage loans and mortgage-backed securities (MBS) or other assets and the related credit enhancement protections;

• changes in the Bank’s ability or intent to hold MBS and mortgage loans to maturity;

• competitive forces, including the availability of other sources of funding for Bank members;

• the willingness of the Bank’s members to do business with the Bank;

• changes in investor demand for consolidated obligations (including the terms of consolidated obligations) and/or the terms of interest rate exchange or similar agreements;

• the ability of each of the other FHLBanks to repay the principal and interest on consolidated obligations for which it is the primary obligor and with respect to which the Bank has joint and several liability;

• changes in key Bank personnel;

• technology changes and enhancements, and the Bank’s ability to develop and support technology and information systems sufficient to manage the risks of the Bank’s business effectively; and

• changes in the FHLBanks’ long-term credit ratings.

Readers of this report should not rely solely on the forward-looking statements and should consider all risks and uncertainties addressed throughout this report, as well as those discussed under “Item 1A. Risk Factors” in the

Bank’s Annual Report on Form 10-K for the year ended December 31, 2015 (2015 Form 10-K).

55

This Management’s Discussion and Analysis of Financial Condition and Results of Operations should be read in

conjunction with the Bank’s interim financial statements and notes and the Bank’s 2015 Form 10-K.

Quarterly Overview

Net income for the first quarter of 2016 was $231 million, compared with net income of $474 million for the first quarter of 2015. The $243 million decrease in net income for the first quarter of 2016 relative to the prior-year period primarily reflected a lower gain on settlements relating to the Bank’s private-label residential mortgage-backed securities (PLRMBS) litigation. Litigation settlements in the first quarter of 2016 resulted in a gain of $211 million (after netting certain legal fees and expenses), compared with a gain of $459 million (after netting certain legal fees and expenses) in the first quarter of 2015.

Net interest income for the first quarter of 2016 was $123 million, down from $130 million for the first quarter of 2015. The decrease was primarily due to a decrease in earnings because of lower MBS balances, partially offset by a reduction in dividends on mandatorily redeemable capital stock, which are classified as interest expense.

Excluding the $211 million gain from the litigation settlements in the first quarter of 2016, other income/(loss) for the first quarter of 2016, was a loss of $40 million, compared with a loss of $27 million for the first quarter of 2015 after excluding the $459 million gain from litigation settlements reported in that quarter. The change in other income/(loss) after excluding the gains from litigation settlements in each period reflected higher net fair value losses associated with derivatives, hedged items, and financial instruments carried at fair value of $28 million for the first quarter of 2016, compared with net fair value losses of $19 million for the first quarter of 2015. The change in net fair value losses was primarily due to the effects of changes in market interest rates, interest rate spreads, interest rate volatility, and other market factors during the period. The change in other income/(loss) also reflected higher credit-related other-than-temporary impairment (OTTI) charges on certain of the Bank’s PLRMBS. The credit-related OTTI charges for the first quarter of 2016 were $7 million, compared with credit-related OTTI charges of $2 million for the first quarter of 2015.

During the first quarter of 2016, total assets decreased $1.0 billion, to $84.7 billion at March 31, 2016, from $85.7 billion at December 31, 2015. Advances decreased $1.7 billion, or 3%, to $49.2 billion at March 31, 2016, from $50.9 billion at December 31, 2015. In addition, cash and due from banks decreased $1.5 billion during the period. These decreases were partially offset by a $2.1 billionincrease in investments, to $34.4 billion at March 31, 2016, from $32.3 billion at December 31, 2015.

Accumulated other comprehensive income/(loss) decreased by $53 million during the first quarter of 2016, to a loss of $38 million at March 31, 2016, from a gain of $15 millionatDecember 31, 2015, primarily as a result of a decline in the fair value of PLRMBS classified as available-for-sale (AFS).

Additional information about investments and OTTI losses associated with the Bank’s PLRMBS is provided in “Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Investments” and in “Item 1. Financial Statements – Note 6 – Other-Than-Temporary Impairment Analysis” Additional information about the Bank’s PLRMBS is also provided in “Part II. Item 1. Legal Proceedings.”

On April 28, 2016, the Bank’s Board of Directors declared a cash dividend on the capital stock outstanding during the first quarter of 2016 at an annualized rate of 8.90%. The dividend will total $61 million, including $12 million in dividends on mandatorily redeemable capital stock that will be reflected as interest expense in the second quarter of 2016. The Bank recorded the dividend on April 28, 2016, and expects to pay the dividend on or about May 16, 2016.

As of March 31, 2016, the Bank was in compliance with all of its regulatory capital requirements. The Bank’s total regulatory capital ratio was 6.4%, exceeding the 4.0% requirement. The Bank had $5.4 billion in permanent capital, exceeding its risk-based capital requirement of $2.6 billion. Total retained earnings as of March 31, 2016, were $2.8 billion.

56

The Bank plans to repurchase the surplus capital stock of all members and the excess capital stock of all nonmember shareholders on May 17, 2016. Surplus capital stock is defined as any stock holdings in excess of 115% of a member’s minimum capital stock requirement.

The Bank will continue to monitor the condition of its PLRMBS portfolio, the ratio of the Bank’s estimated market value of total capital to par value of capital stock, its overall financial performance and retained earnings, developments in the mortgage and credit markets, and other relevant information as the basis for determining the payment of dividends and the repurchase of excess capital stock in future quarters.

57

Financial Highlights

The following table presents a summary of certain financial information for the Bank for the periods indicated.

Financial Highlights

(Unaudited)

(Dollars in millions)	March 31, 2016			December 31, 2015			September 30, 2015			June 30, 2015			March 31, 2015
Selected Balance Sheet Items at Quarter End
Total Assets	$	84,739		$	85,698		$	85,899		$	85,962		$	78,235
Advances	49,169			50,919			50,793			50,188			43,757
Mortgage Loans Held for Portfolio, Net	632			655			668			671			680
Investments(1)	34,366			32,275			32,009			33,480			31,522
Consolidated Obligations:(2)
Bonds	57,207			51,827			49,815			45,597			43,459
Discount Notes	21,095			27,647			30,042			33,859			27,794
Mandatorily Redeemable Capital Stock	486			488			514			142			383
Capital Stock —Class B —Putable	2,115			2,253			2,246			2,751			3,092
Unrestricted Retained Earnings	760			610			618			483			624
Restricted Retained Earnings	2,054			2,018			2,009			2,170			2,150
Accumulated Other Comprehensive Income/(Loss) (AOCI)	(38		)	15			41			68			76
Total Capital	4,891			4,896			4,914			5,472			5,942
Selected Operating Results for the Quarter
Net Interest Income	$	123		$	120		$	119		$	108		$	130
Provision for/(Reversal of) Credit Losses on Mortgage Loans	—			1			—			—			—
Other Income/(Loss)	171			(9		)	(33		)	(2		)	432
Other Expense	36			46			34			34			34
Affordable Housing Program Assessment	27			7			6			11			54
Net Income/(Loss)	$	231		$	57		$	46		$	61		$	474
Selected Other Data for the Quarter
Net Interest Margin(3)	0.58		%	0.55		%	0.54		%	0.53		%	0.70		%
Operating Expenses as a Percent of Average Assets	0.16			0.19			0.15			0.15			0.17
Return on Average Assets	1.08			0.26			0.21			0.29			2.51
Return on Average Equity	19.19			4.66			3.47			4.27			31.87
Annualized Dividend Rate	7.99			8.79			10.01			22.65			7.11
Dividend Payout Ratio(4)	19.47			99.15			155.62			299.30			12.43
Average Equity to Average Assets Ratio	5.65			5.54			6.01			6.86			7.88
Selected Other Data at Quarter End
Regulatory Capital Ratio(5)	6.39			6.26			6.27			6.45			7.99
Duration Gap (in months)	1			1			1			—			—

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

(2) As provided by the FHLBank Act or regulations governing the operations of the FHLBanks, all of the FHLBanks have joint and several liability for FHLBank consolidated obligations, which are backed only by the financial resources of the FHLBanks. The joint and several liability regulation authorizes the Federal Housing Finance Agency (Finance Agency) to require any FHLBank to repay all or a portion of the principal or interest on consolidated obligations for which another FHLBank is the primary obligor. The Bank has never been asked or required to repay the principal or interest on any consolidated obligation on behalf of another FHLBank, and as of March 31, 2016, and through the filing date of this report, does not believe that it is probable that it will be asked to do so. The par value of the outstanding consolidated obligations of all FHLBanks at the dates indicated was as follows:

58

	Par Value (In millions)
March 31, 2016	$	896,827
December 31, 2015	905,202
September 30, 2015	856,511
June 30, 2015	852,783
March 31, 2015	812,197

(3) Net interest margin is net interest income (annualized) divided by average interest-earning assets.

(4) This ratio is calculated as dividends per share divided by net income per share.

(5) This ratio is calculated as regulatory capital divided by total assets. Regulatory capital includes retained earnings, Class B capital stock, and mandatorily redeemable capital stock (which is classified as a liability), but excludes AOCI.

Results of Operations

The primary source of the Bank’s earnings is net interest income, which is the interest earned on advances,

mortgage loans, and investments, less interest paid on consolidated obligations, deposits, mandatorily redeemable

capital stock, and other borrowings. The Average Balance Sheets table that follows presents the average balances of

interest-earning asset categories and the sources that funded those interest-earning assets (liabilities and capital) for

the three months ended March 31, 2016 and 2015, together with the related interest income and expense. It also

presents the average rates on total interest-earning assets and the average costs of total funding sources.

59

First Quarter of 2016 Compared to First Quarter of 2015

Average Balance Sheets
	Three Months Ended
	March 31, 2016							March 31, 2015
(Dollars in millions)	Average Balance			Interest Income/ Expense		Average Rate		Average Balance			Interest Income/ Expense		Average Rate
Assets
Interest-earning assets:
Interest-bearing deposits	$	474		$	—	0.16	%	$	563		$	—	0.01	%
Securities purchased under agreements to resell	3,046			2		0.33		1,690			—		0.08
Federal funds sold	6,169			5		0.36		7,206			2		0.12
Trading securities:
Mortgage-backed securities (MBS)	9			—		1.84		11			—		1.66
Other investments	1,149			2		0.51		3,433			2		0.20
Available-for-sale (AFS) securities:(1)
MBS(2)	5,241			69		5.28		6,154			67		4.42
Held-to-maturity (HTM) securities:(1)
MBS	10,183			64		2.52		12,850			80		2.52
Other investments	274			—		0.76		320			—		0.48
Mortgage loans held for portfolio	641			8		5.07		693			9		5.33
Advances(3)	57,690			106		0.74		42,661			67		0.64
Loans to other FHLBanks	—			—		—		2			—		0.11
Total interest-earning assets	84,876			256		1.21		75,583			227		1.22
Other assets(4)(5)	617			—		—		937			—		—
Total Assets	$	85,493		$	256	1.21	%	$	76,520		$	227	1.21	%
Liabilities and Capital
Interest-bearing liabilities:
Consolidated obligations:
Bonds(3)	$	56,180		$	104	0.74	%	$	44,956		$	76	0.68	%
Discount notes	22,808			19		0.34		23,364			6		0.11
Deposits and other borrowings	584			—		0.14		1,014			—		0.04
Mandatorily redeemable capital stock	531			10		7.62		674			15		9.27
Total interest-bearing liabilities	80,103			133		0.67		70,008			97		0.57
Other liabilities(4)	557			—		—		479			—		—
Total Liabilities	80,660			133		0.66		70,487			97		0.56
Total Capital	4,833			—		—		6,033			—		—
Total Liabilities and Capital	$	85,493		$	133	0.63	%	$	76,520		$	97	0.52	%
Net Interest Income				$	123						$	130
Net Interest Spread(6)						0.54	%						0.65	%
Net Interest Margin(7)						0.58	%						0.70	%
Interest-earning Assets/Interest-bearing Liabilities	105.96		%					107.96		%

(1) The average balances of AFS securities and HTM securities are reflected at amortized cost. As a result, the average rates do not reflect changes in fair value or non-credit-related OTTI losses.

(2) Interest income on AFS securities includes accretion of yield adjustments on other-than-temporarily impaired PLRMBS (resulting from improvement in expected cash flows) totaling $23 million and $19 million in the first quarter of 2016 and 2015, respectively.

(3) Interest income/expense and average rates include the effect of associated interest rate exchange agreements, as follows:

60

	Three Months Ended
	March 31, 2016								March 31, 2015
(In millions)	(Amortization)/ Accretion of Hedging Activities		Net Interest Settlements			Total Net Interest Income/(Expense)			(Amortization)/ Accretion of Hedging Activities		Net Interest Settlements			Total Net Interest Income/(Expense)
Advances	$	—	$	(18	)	$	(18	)	$	—	$	(28	)	$	(28	)
Consolidated obligation bonds	1		53			54			1		62			63

(4) Includes forward settling transactions and valuation adjustments for certain cash items.

(5) Includes non-credit-related OTTI losses on AFS and HTM securities.

(6) Net interest spread is the difference between the average rate earned on interest-earning assets and the average rate paid on interest-bearing liabilities.

(7) Net interest margin is net interest income (annualized) divided by average interest-earning assets.

Net interest income in the first quarter of 2016 was $123 million, a 5%decrease from $130 million in the first quarter of 2015. The following table details the changes in interest income and interest expense for the first quarter of 2016 compared to the first quarter of 2015. Changes in both volume and interest rates influence changes in net interest income, net interest spread, and net interest margin.

Change in Net Interest Income: Rate/Volume Analysis Three Months Ended March 31, 2016 Compared to Three Months Ended March 31, 2015
	Increase/ (Decrease)			Attributable to Changes in(1)
(In millions)				Average Volume			Average Rate
Interest-earning assets:
Securities purchased under agreements to resell	$	2		$	—		$	2
Federal funds sold	3			—			3
Trading securities: Other investments	—			(2		)	2
AFS securities:
MBS	2			(10		)	12
HTM securities:
MBS	(16		)	(16		)	—
Mortgage loans held for portfolio	(1		)	(1		)	—
Advances(2)	39			27			12
Total interest-earning assets	29			(2		)	31
Interest-bearing liabilities:
Consolidated obligations:
Bonds(2)	28			21			7
Discount notes	13			—			13
Mandatorily redeemable capital stock	(5		)	(3		)	(2		)
Total interest-bearing liabilities	36			18			18
Net interest income	$	(7	)	$	(20	)	$	13

(1) Combined rate/volume variances, a third element of the calculation, are allocated to the rate and volume variances based on their relative sizes.

(2) Interest income/expense and average rates include the interest effect of associated interest rate exchange agreements.

The net interest margin was 58 basis points for the first quarter of 2016, 12 basis points lower than the net interest margin for the first quarter of 2015, which was 70 basis points. The net interest spread was 54 basis points for the first quarter of 2016, 11 basis points lower than the net interest spread for the first quarter of 2015, which was 65 basis points. These decreases were primarily due to the decline in earnings because of lower MBS balances, partially offset by lower dividends on mandatorily redeemable capital stock, which are classified as interest expense.

For securities previously identified as other-than-temporarily impaired, the Bank updates its estimate of future

61

estimated cash flows on a regular basis. If there is no additional impairment on the security, the yield of the security

is adjusted upward on a prospective basis and accreted into interest income when there is a significant increase in

the expected cash flows. As a result of improvements in the estimated cash flows of securities previously

identified as other-than-temporarily impaired, the accretion of yield adjustments is likely to continue to be a

positive source of net interest income in future periods.

Member demand for wholesale funding from the Bank can vary greatly depending on a number of factors, including economic and market conditions, competition from other wholesale funding sources, member deposit inflows and outflows, the activity level of the primary and secondary mortgage markets, and strategic decisions made by individual member institutions. As a result, Bank asset levels and operating results may vary significantly from period to period.

Other Income/(Loss). The following table presents the components of “Other Income/(Loss)” for the three months ended March 31, 2016 and 2015.

Other Income/(Loss)
	Three Months Ended
(In millions)	March 31, 2016			March 31, 2015
Other Income/(Loss):
Total OTTI loss	$	(15	)	$	(4	)
Net amount of OTTI loss reclassified to/(from) AOCI	8			2
Net OTTI loss, credit-related	(7		)	(2		)
Net gain/(loss) on trading securities(1)	1			—
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option	27			(7		)
Net gain/(loss) on derivatives and hedging activities	(65		)	(21		)
Gains on litigation settlements, net	211			459
Other	4			3
Total Other Income/(Loss)	$	171		$	432

(1) The net gain/(loss) on trading securities that were economically hedged totaled de minimis amounts for the three months ended March 31, 2016 and 2015.

Net Other-Than-Temporary Impairment Loss, Credit-Related – Each quarter, the Bank updates its OTTI analysis to reflect current housing market conditions, changes in anticipated housing market conditions, observed and anticipated borrower behavior, and updated information on the loans supporting the Bank’s PLRMBS.

Additional information about the OTTI loss is provided in “Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Investments” and in “Item 1. Financial Statements – Note 6 – Other-Than-Temporary Impairment Analysis.”

Net Gain/(Loss) on Advances and Consolidated Obligation Bonds Held Under Fair Value Option – The following table presents the net gain/(loss) on advances and consolidated obligation bonds held under the fair value option for the three months ended March 31, 2016 and 2015.

62

Net Gain/(Loss) on Advances and Consolidated Obligation Bonds Held Under Fair Value Option
	Three Months Ended
(In millions)	March 31, 2016			March 31, 2015
Advances	$	47		$	20
Consolidated obligation bonds	(20		)	(27		)
Total	$	27		$	(7	)

Under the fair value option, the Bank elected to carry certain assets and liabilities at fair value. In general, transactions elected for the fair value option are in economic hedge relationships. Gains or losses on these transactions are generally offset by losses or gains on the derivatives that economically hedge these instruments.

The unrealized net fair value gains/(losses) on advances and consolidated obligation bonds were primarily driven by the effects of changes in market interest rates, interest rate spreads, interest rate volatility, and other market factors relative to the actual terms on the advances and consolidated obligation bonds during the period.

Additional information about advances and consolidated obligation bonds held under the fair value option is provided in “Item 1. Financial Statements – Note 16 – Fair Value.”

Net Gain/(Loss) on Derivatives and Hedging Activities – The following table shows the accounting classification of hedges and the categories of hedged items that contributed to the gains and losses on derivatives and hedged items that were recorded in “Net gain/(loss) on derivatives and hedging activities” in the first quarter of 2016 and 2015.

Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives and Hedging Activities Three Months Ended March 31, 2016, Compared to Three Months Ended March 31, 2015
	Three Months Ended
(In millions)	March 31, 2016												March 31, 2015
	Gain/(Loss)						Income/ (Expense) on						Gain/(Loss)						Income/ (Expense) on
Hedged Item	Fair Value Hedges, Net			Economic Hedges			Economic Hedges			Total			Fair Value Hedges, Net			Economic Hedges			Economic Hedges			Total
Advances:
Elected for fair value option	$	—		$	(46	)	$	(12	)	$	(58	)	$	—		$	(16	)	$	(21	)	$	(37	)
Not elected for fair value option	—			6			1			7			—			(2		)	—			(2		)
Consolidated obligation bonds:
Elected for fair value option	—			9			6			15			—			14			14			28
Not elected for fair value option	(4		)	2			7			5			(7		)	2			9			4
Consolidated obligation discount notes:
Not elected for fair value option	—			(21		)	(11		)	(32		)	—			(1		)	(11		)	(12		)
MBS:
Not elected for fair value option	—			(2		)	—			(2		)	—			(2		)	—			(2		)
Total	$	(4	)	$	(52	)	$	(9	)	$	(65	)	$	(7	)	$	(5	)	$	(9	)	$	(21	)

During the first quarter of 2016, net losses on derivatives and hedging activities totaled $65 million compared to net losses of $21 million in the first quarter of 2015. These amounts included expense of $9 million and expense of $9 million resulting from net settlements on derivative instruments used in economic hedges in the first quarter of 2016 and 2015, respectively. Excluding the impact of income or expense from net settlements on derivative instruments used in economic hedges, the net gains or losses on fair value and economic hedges were primarily associated with

63

the effects of changes in market interest rates, interest rate spreads, interest rate volatility, and other market factors during the period.

The ongoing impact of these valuation adjustments on the Bank cannot be predicted and the effects of these valuation adjustments may lead to significant volatility in future earnings, including earnings available for dividends.

Additional information about derivatives and hedging activities is provided in “Item 1. Financial Statements – Note 15 – Derivatives and Hedging Activities.”

Gains on Litigation Settlements, Net – During the first quarters of 2016 and 2015,gains relating to settlements with certain defendants in connection with the Bank’s PLRMBS litigation (after netting certain legal fees and expenses) totaled $211 million and $459 million, respectively.

Return on Average Equity

Return on average equity (ROE) was 19.19% (annualized) for the first quarter of 2016, compared to 31.87% (annualized) for the first quarter of 2015. The decrease primarily reflected lower net income for the first quarter of 2016 resulting from a decrease of $248 million of gains relating to settlements with certain defendants in connection with the Bank’s PLRMBS litigation (after netting certain legal fees and expenses).

Dividends and Retained Earnings

The Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework summarizes the Bank’s capital management principles and objectives, as well as its policies and practices with respect to restricted retained earnings, dividend payments, and the repurchase of excess capital stock.

Under regulations governing the operations of the FHLBanks, dividends may be paid only out of current net earnings or previously retained earnings. As required by the regulations, the Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework is reviewed at least annually by the Bank’s Board of Directors. The Board of Directors may amend the Excess Stock Repurchase, Retained Earnings, and Dividend Framework from time to time. In accordance with the Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework, the Bank retains certain amounts in restricted retained earnings, which are not made available for dividends in the current dividend period. The Bank may be restricted from paying dividends if it is not in compliance with any of its minimum capital requirements or if payment would cause the Bank to fail to meet any of its minimum capital requirements. In addition, the Bank may not pay dividends if any principal or interest due on any consolidated obligation has not been paid in full or is not expected to be paid in full, or, under certain circumstances, if the Bank fails to satisfy certain liquidity requirements under applicable regulations.

The regulatory liquidity requirements state that each FHLBank must: (i) maintain eligible high quality assets (advances with a maturity not exceeding five years, U.S. Treasury securities investments, and deposits in banks or trust companies) in an amount equal to or greater than the deposits received from members, and (ii) hold contingent liquidity in an amount sufficient to meet its liquidity needs for at least five business days without access to the consolidated obligations markets. At March 31, 2016, advances maturing within five years totaled $44.4 billion, significantly in excess of the $214 million of member deposits on that date. At December 31, 2015, advances maturing within five years totaled $44.2 billion, also significantly in excess of the $127 million of member deposits on that date. In addition, as of March 31, 2016, and December 31, 2015, the Bank held estimated total sources of funds in an amount that would have allowed the Bank to meet its liquidity needs for more than 5 consecutive business days without issuing new consolidated obligations, subject to certain conditions. For more information, see “Item 7. Management’s Discussion and Analysis of Results of Operations and Financial Condition – Risk Management – Liquidity Risk” in the Bank’s 2015 Form 10-K.

64

The Bank’s Risk Management Policy limits the payment of dividends based on the ratio of the Bank’s estimated market value of total capital to par value of capital stock. If this ratio at the end of any quarter is less than 100% but greater than or equal to 70%, any dividend would be limited to an annualized rate no greater than the daily average of the three-month London Interbank Offered Rate (LIBOR) for the applicable quarter (subject to certain conditions), and if this ratio is less than 70%, the Bank would be restricted from paying a dividend. The ratio of the Bank’s estimated market value of total capital to par value of capital stock was 210% as of March 31, 2016. For more information, see “Item 7. Management’s Discussion and Analysis of Results of Operations and Financial Condition – Risk Management – Market Risk” in the Bank’s 2015 Form 10-K.

Retained Earnings Related to Valuation Adjustments – In accordance with the Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework, the Bank retains in restricted retained earnings any cumulative net gains in earnings (net of applicable assessments) resulting from valuation adjustments.

In general, the Bank’s derivatives and hedged instruments, as well as certain assets and liabilities that are carried at fair value, are held to the maturity, call, or put date. For these financial instruments, net valuation gains or losses are primarily a matter of timing and will generally reverse through changes in future valuations and settlements of contractual interest cash flows over the remaining contractual terms to maturity, or by the exercised call or put dates. However, the Bank may have instances in which hedging relationships are terminated prior to maturity or prior to the call or put dates. Terminating the hedging relationship may result in a realized gain or loss. In addition, the Bank may have instances in which it may sell trading securities prior to maturity, which may also result in a realized gain or loss.

The purpose of retaining cumulative net gains in earnings resulting from valuation adjustments as restricted retained earnings is to provide sufficient retained earnings to offset future net losses that result from the reversal of cumulative net gains, so that potential dividend payouts in future periods are not necessarily affected by the reversals of these gains. Although restricting retained earnings in this way may preserve the Bank’s ability to pay dividends, the reversal of cumulative net gains in any given period may result in a net loss if the reversal exceeds net earnings before the impact of valuation adjustments for that period.

The Bank did not have any retained earnings related to valuation adjustments at March 31, 2016. Retained earnings related to valuation adjustments totaled $10 million at December 31, 2015.

Retained Earnings Related to Loss Protection and Capital Compliance – In addition to any cumulative net gains resulting from valuation adjustments, the Bank holds an additional amount in restricted retained earnings intended to protect paid-in capital from the effects of an extremely adverse credit event, an extremely adverse operations risk event, a cumulative net loss related to the Bank’s derivatives and associated hedged items and financial instruments carried at fair value, an extremely adverse change in the market value of the Bank’s capital, a significant amount of additional credit-related OTTI on PLRMBS, or some combination of these effects, especially in periods of extremely low net income resulting from an adverse interest rate environment, and to maintain capital compliance.

On July 31, 2015, the Board of Directors set the required amount of restricted retained earnings for loss protection and capital compliance at $2.0 billion. Restricted retained earnings available to meet this requirement include amounts related to the Bank’s buildup of retained earnings and to the Joint Capital Enhancement Agreement, but exclude retained earnings related to valuation adjustments. Restricted retained earnings for loss protection and capital compliance were $2.1 billion as of March 31, 2016.

This restricted retained earnings requirement may be changed at any time. The Board of Directors periodically reviews the retained earnings methodology and analysis to determine whether any adjustments are appropriate.

Buildup of Retained Earnings – As of March 31, 2012, the Bank reached the $1.8 billion target for the buildup of retained earnings that had previously been set by the Board of Directors. On July 31, 2015, the Board of Directors lowered the requirement to $1.65 billion and transferred $150 million to unrestricted retained earnings.

65

Joint Capital Enhancement Agreement – In 2011, the FHLBanks entered into a Joint Capital Enhancement Agreement, as amended (JCE Agreement), intended to enhance the capital position of each FHLBank by allocating a portion of each FHLBank’s earnings to a separate retained earnings account at that FHLBank. In accordance with the JCE Agreement, each FHLBank is required to allocate 20% of its net income each quarter to a separate restricted retained earnings account until the balance of the account equals at least 1% of that FHLBank’s average balance of outstanding consolidated obligations for the previous quarter. Under the JCE Agreement, these restricted retained earnings will not be available to pay dividends.

Retained earnings related to the JCE Agreement totaled $404 million and $358 million at March 31, 2016, and December 31, 2015, respectively.

Dividend Payments – Federal Housing Finance Agency (Finance Agency) rules state that FHLBanks may declare and pay dividends only from previously retained earnings or current net earnings, and may not declare or pay dividends based on projected or anticipated earnings. There is no requirement that the Board of Directors declare and pay any dividend. A decision by the Board of Directors to declare or not declare a dividend is a discretionary matter and is subject to the requirements and restrictions of the FHLBank Act and applicable requirements under the regulations governing the operations of the FHLBanks.

In addition, Finance Agency rules do not permit the Bank to pay dividends in the form of capital stock if its excess

capital stock exceeds 1% of its total assets. Excess capital stock is defined as the aggregate of the capital stock held by each shareholder in excess of its minimum capital stock requirement, as established by the Bank’s capital plan. As of March 31, 2016, the Bank’s excess capital stock totaled $325 million, or 0.38% of total assets.

In the first quarter of 2016, the Bank paid dividends at an annualized rate of 7.99%, totaling $55 million, including $45 million in dividends on capital stock and $10 million in dividends on mandatorily redeemable capital stock. In the first quarter of 2015, the Bank paid dividends at an annualized rate of 7.11%, totaling $74 million, including $59 million in dividends on capital stock and $15 million in dividends on mandatorily redeemable capital stock.

The Bank paid these dividends in cash. Dividends on capital stock are recognized as dividends on the Statements of Capital Accounts, and dividends on mandatorily redeemable capital stock are recognized as interest expense on the Statements of Income.

On April 28, 2016, the Bank’s Board of Directors declared a cash dividend on the capital stock outstanding during the first quarter of 2016 at an annualized rate of 8.90% totaling $61 million, including $49 million in dividends on capital stock and $12 million in dividends on mandatorily redeemable capital stock. The Bank recorded the dividend on April 28, 2016. The Bank expects to pay the dividend on or about May 16, 2016. Dividends on mandatorily redeemable capital stock will be recognized as interest expense in the second quarter of 2016.

The Bank will continue to monitor the condition of its PLRMBS portfolio, the ratio of the Bank’s estimated market value of total capital to par value of capital stock, its overall financial performance and retained earnings, developments in the mortgage and credit markets, and other relevant information as the basis for determining the payment of dividends in future quarters.

Financial Condition

Total assets were $84.7 billion at March 31, 2016, compared to $85.7 billion at December 31, 2015. Advances decreased by $1.7 billion, or 3%, to $49.2 billion at March 31, 2016, from $50.9 billion at December 31, 2015. MBS decreased by $0.8 billion, or 5%, to $15.2 billion at March 31, 2016, from $16.0 billion at December 31, 2015. Average total assets were $85.5 billion for the first quarter of 2016, a 12%increase compared to $76.5 billion for the first quarter of 2015. Average advances were $57.7 billion for the first quarter of 2016, a 35%increase from $42.7 billion for the first quarter of 2015. Average MBS were $15.4 billion for the first quarter of 2016, a 19%decrease from $19.0 billion for the first quarter of 2015.

66

Advances outstanding at March 31, 2016, included unrealized gains of $176 million, of which $91 million represented unrealized gains on advances hedged in accordance with the accounting for derivative instruments and hedging activities and $85 million represented unrealized gains on economically hedged advances that are carried at fair value in accordance with the fair value option. Advances outstanding at December 31, 2015, included unrealized gains of $78 million, of which $40 million represented unrealized gains on advances hedged in accordance with the accounting for derivative instruments and hedging activities and $38 million represented unrealized gains on economically hedged advances that are carried at fair value in accordance with the fair value option. The overall increase in the unrealized gains on the hedged advances and advances carried at fair value from December 31, 2015, to March 31, 2016, was primarily attributable to the effects of changes in market interest rates, interest rate spreads, interest rate volatility, and other market factors relative to the terms on the Bank’s advances during the period.

Total liabilities were $79.8 billion at March 31, 2016, a decrease of $1.0 billion from $80.8 billion at December 31, 2015, primarily reflecting a decrease in consolidated obligations outstanding from $79.5 billion at December 31, 2015, to $78.3 billion at March 31, 2016. The decrease in consolidated obligations outstanding paralleled the decrease in assets during the first quarter of 2016. Average total liabilities were $80.7 billion for the first quarter of 2016, a 14%increase compared to $70.5 billion for the first quarter of 2015. Average consolidated obligations were $79.0 billion for the first quarter of 2016 and $68.3 billion for the first quarter of 2015.

Consolidated obligations outstanding at March 31, 2016, included unrealized losses of $156 million on consolidated obligation bonds hedged in accordance with the accounting for derivative instruments and hedging activities and unrealized losses of $3 million on economically hedged consolidated obligation bonds that are carried at fair value in accordance with the fair value option. Consolidated obligations outstanding at December 31, 2015, included unrealized losses of $142 million on consolidated obligation bonds hedged in accordance with the accounting for derivative instruments and hedging activities and unrealized gains of $17 million on economically hedged consolidated obligation bonds that are carried at fair value in accordance with the fair value option. The increase in the unrealized losses on the hedged consolidated obligation bonds and on the consolidated obligation bonds carried at fair value from December 31, 2015, to March 31, 2016, were primarily attributable to the effects of changes in market interest rates, interest rate spreads, interest rate volatility, and other market factors relative to the actual terms on the Bank's consolidated obligation bonds during the period.

As provided by the FHLBank Act or regulations governing the operations of the FHLBanks, all FHLBanks have joint and several liability for all FHLBank consolidated obligations. The joint and several liability regulation authorizes the Finance Agency to require any FHLBank to repay all or a portion of the principal or interest on consolidated obligations for which another FHLBank is the primary obligor. The Bank has never been asked or required to repay the principal or interest on any consolidated obligation on behalf of another FHLBank, and as of March 31, 2016, and through the filing date of this report, does not believe that it is probable that it will be asked to do so. The par value of the outstanding consolidated obligations of the FHLBanks was $896.8 billion at March 31, 2016, and $905.2 billion at December 31, 2015.

Changes in the long-term credit ratings of individual FHLBanks do not necessarily affect the credit rating of the consolidated obligations issued on behalf of the FHLBanks. Rating agencies may change or withdraw a rating from time to time because of various factors, including operating results or actions taken, business developments, or changes in their opinion regarding, among other factors, the general outlook for a particular industry or the economy.

The Bank evaluated the publicly disclosed FHLBank regulatory actions and long-term credit ratings of the other FHLBanks as of March 31, 2016, and as of each period end presented, and does not believe, as of the date of this report, that it is probable that the Bank will be required to repay any principal or interest associated with consolidated obligations for which the Bank is not the primary obligor.

The Bank’s financial condition is further discussed under “Segment Information.”

67

Segment Information

The Bank uses an analysis of financial performance based on the balances and adjusted net interest income of two operating segments, the advances-related business and the mortgage-related business, as well as other financial information, to review and assess financial performance and to determine the allocation of resources to these two major business segments. For purposes of segment reporting, adjusted net interest income includes income and expense associated with net settlements from economic hedges that are recorded in “Net gain/(loss) on derivatives and hedging activities” in other income and excludes interest expense that is recorded in “Mandatorily redeemable capital stock.” Other key financial information, such as any credit-related OTTI losses on the Bank’s PLRMBS, other expenses, and assessments, is not included in the segment reporting analysis, but is incorporated into the Bank’s overall assessment of financial performance. For a reconciliation of the Bank’s operating segment adjusted net interest income to the Bank’s total net interest income, see “Item 1. Financial Statements – Note 14 – Segment Information.”

Advances-Related Business. The advances-related business consists of advances and other credit products, related financing and hedging instruments, and liquidity and other non-MBS investments associated with the Bank’s role as a liquidity provider, and capital. Assets associated with this segment decreased$0.1 billion to $68.9 billion (81% of total assets) at March 31, 2016, from $69.0 billion (81% of total assets) at December 31, 2015.

Adjusted net interest income for this segment is derived primarily from the difference, or spread, between the yield on advances and non-MBS investments and the cost of the consolidated obligations funding these assets, including the net settlements from associated interest rate exchange agreements, and from earnings on capital.

Adjusted net interest income for this segment was $36 million in the first quarter of 2016, an increase of $1 million, or 3%, compared with $35 million in the first quarter of 2015. The increase was primarily due to a decline in spreads on advances-related assets and a decline in earnings on invested capital because of lower average capital balances, partially offset by an increase in earnings because of higher advances balances.

Adjusted net interest income for this segment represented 30% and 27% of total adjusted net interest income for the first quarter of 2016 and 2015, respectively.

Members and nonmember borrowers prepaid $0.8 billion of advances in the first quarter of 2016 compared to $0.6 billion in the first quarter of 2015. Interest income was increased by net prepayment fees of $2 million in the first quarter of 2016 and a de minimis amount in the first quarter of 2015.

Advances – The par value of advances outstanding decreased by $1.8 billion, or 4%, to $49.0 billion at March 31, 2016, from $50.8 billion at December 31, 2015. Average advances outstanding were $57.7 billion in the first quarter of 2016, a 35%increase from $42.7 billion in the first quarter of 2015.

As of March 31, 2016, advances outstanding to the Bank’s top five borrowers and their affiliates decreased by $0.3 billion, while advances outstanding to the Bank’s other borrowers decreased by $1.5 billion. In total, 54 members decreased their use of advances during the first quarter of 2016, while 46 members increased their advances borrowings. Advances to the top five borrowers, including JPMorgan Chase Bank, National Association, whose advances and capital stock exceeded 10% of the Bank’s total advances and capital stock, respectively, as of March 31, 2016, decreased to $31.4 billion at March 31, 2016, from $31.7 billion at December 31, 2015. (See “Item 1. Financial Statements – Note 7 – Advances– Credit and Concentration Risk” and “Item 1. Financial Statements – Note 13 – Capital – Concentration” for further information.)

The $1.8 billiondecrease in advances outstanding primarily reflected a $1.6 billiondecrease in variable rate advances and a $0.4 billiondecrease in fixed rate advances, partially offset by a $0.2 billionincrease in adjustable rate advances.

68

The components of the advances portfolio at March 31, 2016, and December 31, 2015, are presented in the following table.

Advances Portfolio by Product Type
	March 31, 2016				December 31, 2015
(Dollar in millions)	Par Value		Percentage of Total Par Value		Par Value		Percentage of Total Par Value
Adjustable – LIBOR	$	5,582	12	%	$	5,912	12	%
Adjustable – LIBOR, callable at borrower’s option	15,701		32		15,150		30
Adjustable – LIBOR, with caps and/or floors	50		—		50		—
Adjustable – LIBOR, with caps and/or floors and PPS(1)	30		—		30		—
Adjustable – Other Indices	2		—		2		—
Subtotal adjustable rate advances	21,365		44		21,144		42
Fixed	18,286		37		18,674		37
Fixed – amortizing	225		1		231		—
Fixed – with PPS(1)	2,841		6		2,859		5
Fixed – with caps and PPS(1)	375		1		275		1
Fixed – callable at borrower’s option	4		—		4		—
Fixed – callable at borrower’s option with PPS(1)	186		—		271		1
Fixed – putable at Bank’s option	65		—		65		—
Fixed – putable at Bank’s option with PPS(1)	75		—		75		—
Subtotal fixed rate advances	22,057		45		22,454		44
Daily variable rate	5,571		11		7,243		14
Total par value	$	48,993	100	%	$	50,841	100	%

(1) Partial prepayment symmetry (PPS) is a product feature under which the Bank may charge the borrower a prepayment fee or pay the borrower a prepayment credit, depending on certain circumstances, such as movements in interest rates, when the advance is prepaid. Any prepayment credit on an advance with PPS would be limited to the lesser of 10% of the par value of the advance or the gain recognized on the termination of the associated interest rate swap, which may also include a similar contractual gain limitation.

For a discussion of advances credit risk, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Credit Risk – Advances.”

Non-MBS Investments –The Bank’s non-MBS investment portfolio consists of financial instruments that are used primarily to facilitate the Bank’s role as a cost-effective provider of credit and liquidity to members and to support the operations of the Bank. The Bank’s total non-MBS investment portfolio was $19.2 billion and $16.3 billion as of March 31, 2016, and December 31, 2015, respectively. The increase in the total size of the non-MBS investment portfolio reflects higher balances of short-term securities purchased under agreements to resell and interest-bearing deposits.

Cash and Due from Banks – Cash and due from banks was $0.1 billion at March 31, 2016, a $1.5 billiondecrease compared to December 31, 2015. Cash and due from banks declined due to the availability of other investment opportunities.

Borrowings – Total liabilities (primarily consolidated obligations) funding the advances-related business decreased to $64.0 billion at March 31, 2016, from $64.1 billion at December 31, 2015. For further information and discussion of the Bank’s joint and several liability for FHLBank consolidated obligations, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations – Financial Condition” and “Item 1. Financial Statements – Note 17 – Commitments and Contingencies.”

69

To meet the specific needs of certain investors, fixed and adjustable rate consolidated obligation bonds may contain embedded call options or other features that result in complex coupon payment terms. When these consolidated obligation bonds are issued on behalf of the Bank, typically the Bank simultaneously enters into interest rate exchange agreements with features that offset the complex features of the bonds and, in effect, convert the bonds to adjustable rate instruments tied to an index, primarily LIBOR. For example, the Bank uses fixed rate callable bonds that are typically offset with interest rate exchange agreements with call features that offset the call options embedded in the callable bonds. This combined financing structure enables the Bank to meet its funding needs at costs not generally attainable solely through the issuance of comparable term non-callable debt.

At March 31, 2016, the notional amount of interest rate exchange agreements associated with the advances-related business totaled $68.0 billion, of which $17.0 billion were hedging advances, $50.8 billion were hedging consolidated obligations, $0.2 billion were economically hedging trading securities. At December 31, 2015, the notional amount of interest rate exchange agreements associated with the advances-related business totaled $72.6 billion, of which $17.4 billion were hedging advances, $54.6 billion were hedging consolidated obligations, and $0.5 billion were economically hedging trading securities, and $0.1 billion were offsetting derivatives. The hedges associated with advances and consolidated obligations were primarily used to convert the fixed rate cash flows and non-LIBOR-indexed cash flows of the advances and consolidated obligations to adjustable rate LIBOR-indexed cash flows or to manage the interest rate sensitivity and net repricing gaps of assets, liabilities, and interest rate exchange agreements.

FHLBank System consolidated obligation bonds and discount notes, along with similar debt securities issued by other GSEs such as Fannie Mae and Freddie Mac, are generally referred to as agency debt. The costs of debt issued by the FHLBanks and the other GSEs generally rise and fall with increases and decreases in general market interest rates.

On December 16, 2015, the Federal Open Market Committee (FOMC) changed the target Federal funds rate for the first time since 2008. The new target range for the Federal funds rate was set to 0.25% to 0.50% in response to a continued moderate increase in economic activity and improvement in labor market conditions. As of March 31, 2016, rates on 3-month U.S. Treasury bills and 3-month LIBOR increased, while rates on 2-year and 5-year U.S. Treasury notes decreased compared with December 31, 2015.

Selected Market Interest Rates
Market Instrument	March 31, 2016		December 31, 2015		March 31, 2015		December 31, 2014
Federal Reserve target range for overnight Federal funds	0.25-0.50	%	0.25-0.50	%	0-0.25	%	0-0.25	%
3-month Treasury bill	0.20		0.16		0.02		0.03
3-month LIBOR	0.63		0.61		0.27		0.26
2-year Treasury note	0.72		1.05		0.56		0.67
5-year Treasury note	1.21		1.76		1.37		1.65

The following table presents a comparison of the average issuance cost of FHLBank System consolidated obligation bonds and discount notes converted to LIBOR-indexed liabilities through interest rate swaps in the first three months of 2016 and 2015. The average issuance cost of consolidated obligation bonds relative to LIBOR was more expensive in the first three months of 2016 compared to the same period in 2015, while the average cost of consolidated obligation discount notes improved over the same period.

	Spread to LIBOR of Average Cost of Consolidated Obligations for the Three Months Ended
(In basis points)	March 31, 2016	March 31, 2015
Consolidated obligation bonds	–6.8	–13.7
Consolidated obligation discount notes (one month and greater)	–21.8	–15.7

70

Mortgage-Related Business. The mortgage-related business consists of MBS investments, mortgage loans acquired through the Mortgage Partnership Finance (MPF) Program, and the related financing and hedging instruments. Adjusted net interest income for this segment is derived primarily from the difference, or spread, between the yield on the MBS and mortgage loans and the cost of the consolidated obligations funding those assets, including the net settlements from associated interest rate exchange agreements.

At March 31, 2016, assets associated with this segment were $15.8 billion (19% of total assets), a decrease of $0.9 billion from $16.7 billion at December 31, 2015 (19% of total assets).

Adjusted net interest income for this segment was $86 million in the first quarter of 2016, a decrease of $7 million, or 8%, from $93 million in the first quarter of 2015. The decrease was primarily due to lower average unpaid principal balances of MBS and mortgage loans and reduced spreads on mortgage-related assets, partially offset by the net accretion, which includes yield adjustments on certain other-than-temporarily impaired PLRMBS resulting from improvement in expected cash flows.

Adjusted net interest income for this segment represented 70% and 73% of total adjusted net interest income for the first quarter of 2016 and 2015, respectively.

MBS Investments – The Bank’s MBS portfolio was $15.2 billion at March 31, 2016, compared with $16.0 billion at December 31, 2015. During the first quarter of 2016, the Bank’s MBS portfolio decreased primarily because of principal repayments totaling $0.8 billion. In the first quarter of 2016, average MBS investments were $15.4 billion, a decrease of $3.6 billion from $19.0 billion in the first quarter of 2015. For a discussion of the composition of the Bank’s MBS portfolio and the Bank’s OTTI analysis of that portfolio, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Investments” and “Item 1. Financial Statements – Note 6 – Other-Than-Temporary Impairment Analysis.”

Intermediate-term and long-term fixed rate MBS investments are subject to prepayment risk, and intermediate-term and long-term adjustable rate MBS investments are also subject to interest rate cap risk. The Bank has managed these risks predominately by purchasing intermediate-term fixed rate MBS (rather than long-term fixed rate MBS), funding the fixed rate MBS with a mix of non-callable and callable debt, and using interest rate exchange agreements with interest rate risk characteristics similar to callable debt. The Bank has purchased interest rate caps to hedge some of the interest rate cap risk associated with the long-term adjustable rate MBS investments.

MPF Program – Under the MPF Program, the Bank may purchase from members, for its own portfolio, conventional conforming fixed rate mortgage loans under the MPF Original product and mortgage loans insured by the Federal Housing Administration (FHA) or guaranteed by the Department of Veterans Affairs (VA) under the MPF Government product. In addition, the Bank may facilitate the purchase of conforming fixed rate mortgage loans from members for concurrent sale to Fannie Mae under the MPF Xtra product and of jumbo fixed rate mortgage loans for concurrent sale to Redwood Residential Acquisition Corporation, a subsidiary of Redwood Trust, Inc., a real estate investment trust, under the MPF Direct product. MPF Xtra and MPF Direct products are passed through to a third party investor and are not recorded on the Bank’s Statements of Condition. As of March 31, 2016, the Bank had approved twelve members as participating financial institutions since renewing its participation in the MPF Program in 2013.

From May 2002 through October 2006, the Bank purchased conventional conforming fixed rate mortgage loans from its participating financial institutions under the MPF Original and MPF Plus products. Participating members originated or purchased the mortgage loans, credit-enhanced them and sold them to the Bank, and generally retained the servicing of the loans.

Mortgage loan balances decreased to $632 million at March 31, 2016, from $655 million at December 31, 2015, a decrease of $23 million. Average mortgage loans were $641 million in the first quarter of 2016, a decrease of $52 million from $693 million in the first quarter of 2015.

71

At March 31, 2016, and December 31, 2015, the Bank held conventional conforming fixed rate mortgage loans purchased under one of two MPF products, MPF Plus or MPF Original, which are described in greater detail in “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Credit Risk – MPF Program.” in the Bank’s 2015 Form 10-K. The Bank purchased $17 million in eligible loans under the MPF Original product during the first quarter of 2016. Mortgage loan balances at March 31, 2016, and December 31, 2015, were as follows:

Mortgage Loan Balances by MPF Product Type
(In millions)	March 31, 2016			December 31, 2015
MPF Plus	$	451		$	486
MPF Original	178			167
Subtotal	629			653
Unamortized premiums	9			10
Unamortized discounts	(6		)	(8		)
Mortgage loans held for portfolio	632			655
Less: Allowance for credit losses	—			—
Mortgage loans held for portfolio, net	$	632		$	655

The Bank performs periodic reviews of its mortgage loan portfolio to identify probable credit losses in the portfolio and to determine the likelihood of collection of the loans in the portfolio. For more information on the Bank’s mortgage loan portfolio, see “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Credit Risk – MPF Program” and “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Critical Accounting Policies and Estimates – Allowance for Credit Losses – Mortgage Loans Acquired Under the MPF Program” in the Bank’s 2015 Form 10-K.

Borrowings – Total consolidated obligations funding the mortgage-related business decreased$0.9 billion to $15.8 billion at March 31, 2016, from $16.7 billion at December 31, 2015, paralleling the decrease in mortgage portfolio assets. For further information and discussion of the Bank’s joint and several liability for FHLBank consolidated obligations, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations – Financial Condition” and “Item 1. Financial Statements – Note 17 – Commitments and Contingencies.”

The notional amount of interest rate exchange agreements associated with the mortgage-related business totaled $7.2 billion at March 31, 2016, of which $5.0 billion were hedging or were associated with consolidated obligations funding the mortgage portfolio and $2.2 billion were associated with MBS. The notional amount of interest rate exchange agreements associated with the mortgage-related business totaled $7.2 billion at December 31, 2015, of which $5.0 billion were hedging or were associated with consolidated obligations funding the mortgage portfolio and $2.2 billion were associated with MBS.

Interest Rate Exchange Agreements

A derivative transaction or interest rate exchange agreement is a financial contract whose fair value is generally derived from changes in the value of an underlying asset or liability. The Bank uses interest rate swaps; interest rate cap and floor agreements; and callable and putable interest rate swaps (collectively, interest rate exchange agreements) to manage its exposure to interest rate risks inherent in its ordinary course of business, including its lending, investment, and funding activities. For more information on the primary strategies that the Bank employs for using interest rate exchange agreements and the associated market risks, see “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Market Risk – Interest Rate Exchange Agreements” in the Bank’s 2015 Form 10-K.

72

The following table summarizes the Bank’s interest rate exchange agreements by type of hedged item, hedging instrument, associated hedging strategy, accounting designation as specified under the accounting for derivative instruments and hedging activities, and notional amount as of March 31, 2016, and December 31, 2015.

Interest Rate Exchange Agreements
(In millions)			Notional Amount
Hedging Instrument	Hedging Strategy	Accounting Designation	March 31, 2016		December 31, 2015
Hedged Item: Advances
Pay fixed, receive adjustable interest rate swap	Fixed rate advance converted to a LIBOR adjustable rate	Fair Value Hedge	$	11,885	$	10,758
Basis swap	Adjustable rate advance converted to another adjustable rate index to reduce interest rate sensitivity and repricing gaps	Economic Hedge(1)	1		1
Received fixed, pay adjustable interest rate swap	LIBOR adjustable rate advance converted to a fixed rate	Economic Hedge(1)	832		672
Pay fixed, receive adjustable interest rate swap	Fixed rate advance converted to a LIBOR adjustable rate	Economic Hedge(1)	665		2,365
Pay fixed, receive adjustable interest rate swap; swap may be callable at the Bank’s option or putable at the counterparty’s option	Fixed rate advance (with or without an embedded cap) converted to a LIBOR adjustable rate; advance and swap may be callable or putable; matched to advance accounted for under the fair value option	Economic Hedge(1)	3,554		3,557
Interest rate cap or floor	Interest rate cap or floor embedded in an adjustable rate advance; matched to advance accounted for under the fair value option	Economic Hedge(1)	80		80
Subtotal Economic Hedges(1)			5,132		6,675
Total			17,017		17,433
Hedged Item: Non-Callable Bonds
Receive fixed or structured, pay adjustable interest rate swap	Fixed rate or structured rate non-callable bond converted to a LIBOR adjustable rate	Fair Value Hedge	15,433		15,857
Receive fixed or structured, pay adjustable interest rate swap	Fixed rate or structured rate non-callable bond converted to a LIBOR adjustable rate	Economic Hedge(1)	8,168		2,034
Receive fixed or structured, pay adjustable interest rate swap	Fixed rate or structured rate non-callable bond converted to a LIBOR adjustable rate; matched to non-callable bond accounted for under the fair value option	Economic Hedge(1)	1,915		1,915
Basis swap	Non-LIBOR adjustable rate non-callable bond converted to a LIBOR adjustable rate; matched to non-callable bond accounted for under the fair value option	Economic Hedge(1)	100		100
Basis swap	Fixed rate or adjustable rate non-callable bond previously converted to an adjustable rate index, converted to another adjustable rate to reduce interest rate sensitivity and repricing gaps	Economic Hedge(1)	10,120		14,986
Pay fixed, receive adjustable interest rate swap	Fixed rate or adjustable rate non-callable bond, which may have been previously converted to LIBOR, converted to fixed rate debt that offsets the interest rate risk of mortgage assets	Economic Hedge(1)	—		170
Subtotal Economic Hedges(1)			20,303		19,205
Total			35,736		35,062

73

Interest Rate Exchange Agreements (continued)
(In millions)			Notional Amount
Hedging Instrument	Hedging Strategy	Accounting Designation	March 31, 2016		December 31, 2015
Hedged Item: Callable Bonds
Receive fixed or structured, pay adjustable interest rate swap with an option to call at the counterparty’s option	Fixed or structured rate callable bond converted to a LIBOR adjustable rate; swap is callable	Fair Value Hedge	1,255		495
Receive fixed or structured, pay adjustable interest rate swap with an option to call at the counterparty’s option	Fixed or structured rate callable bond converted to a LIBOR adjustable rate; swap is callable	Economic Hedge(1)	2,510		2,070
Receive fixed or structured, pay adjustable interest rate swap with an option to call at the counterparty’s option	Fixed or structured rate callable bond converted to a LIBOR adjustable rate; swap is callable; matched to callable bond accounted for under the fair value option	Economic Hedge(1)	1,610		2,270
Subtotal Economic Hedges(1)			4,120		4,340
Total			5,375		4,835
Hedged Item: Discount Notes
Pay fixed, receive adjustable callable interest rate swap	Discount note, which may have been previously converted to LIBOR, converted to fixed rate callable debt that offsets the prepayment risk of mortgage assets	Economic Hedge(1)	1,445		1,355
Basis swap or receive fixed, pay adjustable interest rate swap	Discount note converted to one-month LIBOR or other short-term adjustable rate to hedge repricing gaps	Economic Hedge(1)	12,468		17,572
Pay fixed, receive adjustable non-callable interest rate swap	Discount note, which may have been previously converted to LIBOR, converted to fixed rate non-callable debt that offsets the interest rate risk of mortgage assets	Economic Hedge(1)	720		720
Total			14,633		19,647
Hedged Item: Trading Securities
Basis swap	Basis swap hedging adjustable rate Federal Farm Credit Bank (FFCB) bonds	Economic Hedge(1)	250		525
Interest rate cap	Stand-alone interest rate cap used to offset cap risk embedded in floating rate MBS	Economic Hedge(1)	2,150		2,150
Total			2,400		2,675
Hedged Item: Intermediary Positions and Offsetting Derivatives
Pay fixed, receive adjustable interest rate swap and receive fixed, pay adjustable interest rate swap	Interest rate swap used to offset the economic effect of interest rate swap that is no longer designated to advances, investments, or consolidated obligations	Economic Hedge(1)	—		132
Total			—		132
Stand-Alone Derivatives
Mortgage delivery commitments	To offset the fair value risk associated with fixed rate mortgage purchase commitments.	N/A	7		5
Total			7		5
Total Notional Amount			$	75,168	$	79,789

(1) Economic hedges are derivatives that are matched to balance sheet instruments or other derivatives that do not meet the requirements for hedge accounting under the accounting for derivative instruments and hedging activities.

The following tables categorize the notional amounts and estimated fair values of the Bank’s interest rate exchange agreements, unrealized gains and losses from the related hedged items, and estimated fair value gains and losses from financial instruments carried at fair value by type of accounting treatment and product as of March 31, 2016, and December 31, 2015.

74

Interest Rate Exchange Agreements Notional Amounts and Estimated Fair Values
March 31, 2016
(In millions)	Notional Amount		Fair Value of Derivatives			Unrealized Gain/(Loss) on Hedged Items			Financial Instruments Carried at Fair Value			Difference
Fair value hedges:
Advances	$	11,885	$	(90	)	$	90		$	—		$	—
Non-callable bonds	15,433		150			(152		)	—			(2		)
Callable bonds	1,255		3			(1		)	—			2
Subtotal	28,573		63			(63		)	—			—
Not qualifying for hedge accounting (economic hedges):
Advances	5,132		(78		)	—			78			—
Non-callable bonds	20,303		13			—			(3		)	10
Callable bonds	4,120		—			—			6			6
Discount notes	14,633		(16		)	—			—			(16		)
FFCB bonds	250		—			—			—			—
MBS	2,150		3			—			—			3
Mortgage delivery commitments	7		—			—			—			—
Subtotal	46,595		(78		)	—			81			3
Total excluding accrued interest	75,168		(15		)	(63		)	81			3
Accrued interest	—		93			(98		)	2			(3		)
Total	$	75,168	$	78		$	(161	)	$	83		$	—

December 31, 2015
(In millions)	Notional Amount		Fair Value of Derivatives			Unrealized Gain/(Loss) on Hedged Items			Financial Instruments Carried at Fair Value			Difference
Fair value hedges:
Advances	$	10,758	$	(40	)	$	39		$	—		$	(1	)
Non-callable bonds	15,857		140			(140		)	—			—
Callable bonds	495		2			1			—			3
Subtotal	27,110		102			(100		)	—			2
Not qualifying for hedge accounting (economic hedges):
Advances	6,675		(38		)	—			31			(7		)
Non-callable bonds	19,205		16			—			(2		)	14
Callable bonds	4,340		(14		)	—			25			11
Discount notes	19,647		6			—			—			6
FFCB bonds	525		—			—			—			—
MBS	2,150		6			—			—			6
Mortgage delivery commitments	5		—			—			—			—
Offsetting derivatives	132		—			—			—			—
Subtotal	52,679		(24		)	—			54			30
Total excluding accrued interest	79,789		78			(100		)	54			32
Accrued interest	—		35			(28		)	2			9
Total	$	79,789	$	113		$	(128	)	$	56		$	41

Credit Risk. For a discussion of derivatives credit exposure, see “Management’s Discussion and Analysis of

Financial Condition and Results of Operations – Risk Management – Derivative Counterparties.”

75

Concentration Risk. The following table presents the concentration in derivatives with derivative counterparties whose outstanding notional balances represented 10% or more of the Bank’s total notional amount of derivatives outstanding as of March 31, 2016, and December 31, 2015.

Concentration of Derivative Counterparties
(Dollars in millions)	March 31, 2016					December 31, 2015
Derivative Counterparty	Credit   Rating(1)	Notional Amount		Percentage of Total Notional Amount		Credit   Rating(1)	Notional Amount		Percentage of Total Notional Amount
Uncleared
Others	At least BBB	$	19,937	27	%	At least BBB	$	22,921	29	%
Subtotal uncleared		19,937		27			22,921		29
Cleared
LCH Clearnet(2)
Credit Suisse Securities (USA) LLC	A	28,602		38		A	46,086		58
Deutsche Bank Securities Inc.	BBB	7,042		9		BBB	8,722		11
Morgan Stanley & Co. LLC	A	19,580		26		A	2,055		2
Subtotal cleared		55,224		73			56,863		71
Total(3)		$	75,161	100	%		$	79,784	100	%

(1) The credit ratings used by the Bank are based on the lower of Moody's or Standard & Poor's ratings.

(2) London Clearing House (LCH) Clearnet is the Bank’s counterparty for all of its cleared swaps. Credit Suisse Securities (USA) LLC, Deutsche Bank Securities Incorporated, and Morgan Stanley & Co. LLC are the Bank’s clearing agents for purposes of clearing swaps with LCH Clearnet. LCH Clearnet’s parent, LCH Clearnet Group, Ltd., is rated A+ by Standard &Poor’s.

(3) Total notional amount at March 31, 2016, and December 31, 2015, does not include $7 million and $5 million of mortgage delivery commitments with members, respectively.

Liquidity and Capital Resources

The Bank’s financial strategies are designed to enable the Bank to expand and contract its assets, liabilities, and capital as membership composition and member credit needs change. The Bank’s liquidity and capital resources are designed to support its financial strategies. The Bank’s primary source of liquidity is its access to the debt capital markets through consolidated obligation issuance. The maintenance of the Bank’s capital resources are governed by its capital plan.

Liquidity

The Bank strives to maintain the liquidity necessary to repay maturing consolidated obligations for which it is the primary obligor, meet other obligations and commitments, and meet expected and unexpected member credit demands. The Bank monitors its financial position in order to maintain ready access to sufficient liquid funds to meet normal transaction requirements, take advantage of appropriate investment opportunities, and cover unforeseen liquidity demands.

The Bank generally manages operational, contingent, and structural liquidity risks using a portfolio of cash and short-term investments—which may include commercial paper, certificates of deposit, securities purchased under agreements to resell, and Federal funds sold to highly rated counterparties—and access to the debt capital markets. In addition, the Bank maintains alternate sources of funds, detailed in its contingent liquidity plan, which also includes an explanation of how sources of funds may be allocated under stressed market conditions, such as short-term operational disruptions at the Bank or the Office of Finance or short-term disruptions in the debt capital markets. The Bank maintains short-term, high-quality money market investments and government and agency securities in amounts that may average up to three times the Bank’s capital as a primary source of funds to satisfy these requirements and objectives.

76

The Bank has a regulatory contingent liquidity requirement to maintain at least 5 business days of liquidity to enable it to meet its obligations without issuance of new consolidated obligations. In addition, the Finance Agency has established liquidity guidelinesthatrequire each FHLBank to maintain sufficient on-balance sheet liquidity in an amount at least equal to its anticipated cash outflows for two different scenarios, both of which assume no new consolidated obligation issuance and no reliance on repurchase agreements and permit the sale of certain existing investments as determined by the Finance Agency. The two scenarios differ only in the treatment of maturing advances. One scenario assumes that the Bank does not renew any maturing advances. For this scenario, the Bank must have sufficient liquidity to meet its obligations for 15 calendar days. The second scenario requires the Bank to renew maturing advances for certain members based on specific criteria established by the Finance Agency. For this scenario, the Bank must have sufficient liquidity to meet its obligations for 5 calendar days.

In addition to the regulatory contingent liquidity requirement and the Finance Agency’s guidelines on contingent liquidity, the Bank models its cash commitments and expected cash flows on a daily basis to determine its projected liquidity position. If a market or operational disruption occurred that prevented the issuance of new consolidated obligations, the Bank could meet its obligations by: (i) allowing short-term liquid investments to mature, (ii) using eligible securities as collateral for repurchase agreement borrowings, and (iii) if necessary, allowing advances to mature without renewal. In addition, the Bank may be able to borrow on a short-term unsecured basis from other financial institutions (Federal funds purchased) or other FHLBanks (inter-FHLBank borrowings).

The Bank actively monitors and manages structural liquidity risks, which the Bank defines as maturity mismatches greater than 90 days for sources and uses of funds, of the advances business segment. Structural liquidity maturity mismatches are identified using maturity gap analysis and valuation sensitivity metrics that quantify the risk associated with the Bank’s structural liquidity position.

The following table shows the Bank’s principal financial obligations due, estimated sources of funds available to meet those obligations, and the net difference between funds available and funds needed for the 5-business-day period following March 31, 2016, and December 31, 2015.

Principal Financial Obligations Due and Funds Available for Selected Period
	As of March 31, 2016		As of December 31, 2015
(In millions)	5 Business Days		5 Business Days
Obligations due:
Commitments for new advances	$	105	$	—
Commitments to purchase investments	250		250
Demand deposits	323		1,107
Discount note and bond maturities and expected exercises of bond call options	1,600		3,165
Subtotal obligations due	2,278		4,522
Sources of available funds:
Maturing investments	17,609		15,807
Available cash	97		1,634
Proceeds from scheduled settlements of discount notes and bonds	143		300
Maturing advances and scheduled prepayments	6,611		6,943
Subtotal sources of available funds	24,460		24,684
Net funds available	$	22,182	$	20,162

For more information, see “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of

Operations – Liquidity and Capital Resources – Liquidity” and “Item 7. Management’s Discussion and Analysis of

Financial Condition and Results of Operations – Risk Management – Liquidity Risk” in the Bank’s 2015 Form

10-K.

77

Regulatory Capital Requirements

The FHLBank Act and Finance Agency regulations specify that each FHLBank must meet certain minimum regulatory capital standards. The Bank must maintain: (i) total regulatory capital in an amount equal to at least 4% of its total assets, (ii) leverage capital in an amount equal to at least 5% of its total assets, and (iii) permanent capital in an amount that is greater than or equal to its risk-based capital requirement. Because the Bank issues only Class B stock, regulatory capital and permanent capital for the Bank are both composed of retained earnings and Class B stock, including mandatorily redeemable capital stock (which is classified as a liability for financial reporting purposes). Regulatory capital and permanent capital do not include AOCI. Leverage capital is defined as the sum of permanent capital weighted by a 1.5 multiplier plus non-permanent capital. The risk-based capital requirement is equal to the sum of the Bank’s credit risk, market risk, and operations risk capital requirements, all of which are calculated in accordance with the rules and regulations of the Finance Agency.

The following table shows the Bank’s compliance with the Finance Agency’s capital requirements at March 31, 2016, and December 31, 2015. The Bank’s risk-based capital requirement decreased to $2.6 billion at March 31, 2016, from $2.7 billion at December 31, 2015.  

Regulatory Capital Requirements
	March 31, 2016						December 31, 2015
(Dollars in millions)	Required			Actual			Required			Actual
Risk-based capital	$	2,562		$	5,415		$	2,684		$	5,369
Total regulatory capital	$	3,390		$	5,415		$	3,428		$	5,369
Total regulatory capital ratio	4.00		%	6.39		%	4.00		%	6.26		%
Leverage capital	$	4,237		$	8,123		$	4,285		$	8,054
Leverage ratio	5.00		%	9.58		%	5.00		%	9.40		%

The Bank repurchased $252 million in excess capital stock in the first quarter of 2016. As a result of recent changes in the Bank’s capital plan, both capital stock and retained earnings are required to support regulatory capital compliance.

On May 29, 2015, the Bank's Excess Stock Repurchase, Retained Earnings, and Dividend Framework was revised to reinstate the Bank’s practice of repurchasing the surplus capital stock of all members and the excess capital stock of all nonmember shareholders on a regular quarterly basis, at the Bank’s discretion and subject to certain statutory and regulatory requirements and to the Bank’s Risk Management Policy and capital plan limitations. Surplus capital stock is defined as any stock holdings in excess of 115% of a member’s minimum stock requirement, and excess capital stock is defined as any stock holdings in excess of a shareholder’s minimum stock requirement. In addition, at the Bank’s discretion, all of the excess stock held by a member may be repurchased upon request of the member, subject to the requirements and limitations mentioned above. In accordance with the revised Excess Stock Repurchase, Retained Earnings, and Dividend Framework, each quarter Bank management evaluates and determines the amount of capital stock to be repurchased in that quarter, if any, giving consideration to certain capital metrics and capital management objectives and strategies, and subject to the requirements and limitations listed above. At least 15 calendar days before any repurchase, the Bank will notify shareholders of its intention to repurchase capital stock and of the scheduled repurchase date. On the scheduled repurchase date, the Bank will calculate the amount of stock to be repurchased to ensure that each member and former nonmember shareholder will continue to meet its minimum stock requirement after the repurchase.

In accordance with its practice, the Bank plans to repurchase the surplus capital stock of all members and the excess capital stock of all nonmember shareholders on May 17, 2016.

78

The Bank’s capital requirements are more fully discussed in “Item 8. Financial Statements and Supplementary Data – Note 15 – Capital.” in the Bank’s 2015 Form 10-K.

Risk Management

The Bank has an integrated corporate governance and internal control framework designed to support effective management of the Bank’s business activities and the risks inherent in these activities. As part of this framework, the Bank’s Board of Directors has adopted a Risk Governance Policy that outlines the key roles and responsibilities of the Board of Directors and management and sets forth how the Bank is organized to achieve its risk management objectives, including the implementation of the Bank’s strategic objectives, risk management strategies, corporate governance, and standards of conduct. The policy also establishes the Bank’s risk governance organizational structure and identifies the general roles and responsibilities of the Board of Directors and management in establishing risk management policies, procedures, and guidelines; in overseeing the enterprise risk profile; and in implementing enterprise risk management processes and business strategies. The policy establishes an independent risk oversight function to identify, assess, measure, monitor, and report on the enterprise risk profile and risk management capabilities of the Bank. For more information, see “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management” in the Bank’s 2015 Form 10-K.

Advances. The Bank manages the credit risk of advances and other credit products by setting the credit and collateral terms available to individual members and housing associates based on their creditworthiness and on the quality and value of the assets they pledge as collateral. The Bank also has procedures to assess the mortgage loan quality and documentation standards of institutions that pledge mortgage loan collateral. In addition, the Bank has collateral policies and restricted lending procedures in place to help manage its exposure to institutions that experience difficulty in meeting their capital requirements or other standards of creditworthiness. These credit and collateral policies balance the Bank’s dual goals of meeting the needs of members and housing associates as a reliable source of liquidity and mitigating credit risk by adjusting credit and collateral terms in view of deterioration in creditworthiness. The Bank has never experienced a credit loss on an advance.

The Bank determines the maximum amount and maximum term of the advances it will make to a member or housing associate based on the institution’s creditworthiness and eligible collateral pledged in accordance with the Bank’s credit and collateral policies and regulatory requirements. The Bank may review and change the maximum amount and maximum term at any time. The maximum amount a member or housing associate may borrow is also limited by the amount and type of collateral pledged because all advances must be fully collateralized.

To identify the credit strength of each borrower and potential borrower, other than insurance companies, community development financial institutions (CDFIs), and housing associates, the Bank assigns each member and each nonmember borrower an internal credit quality rating from one to ten, with one as the highest credit quality rating. These ratings are based on results from the Bank’s credit model, which considers financial, regulatory, and other qualitative information, including regulatory examination reports. The internal ratings are reviewed on an ongoing basis using current available information and are revised, if necessary, to reflect the institution’s current financial position. Credit and collateral terms may be adjusted based on the results of this credit analysis.

The Bank determines the maximum amount and maximum term of the advances it will make to an insurance company based on an ongoing risk assessment that considers the member's financial and regulatory standing and other qualitative information deemed relevant by the Bank. This evaluation results in the assignment of an internal credit quality rating from one to ten, with one as the highest credit quality rating. Approved terms are designed to meet the needs of the individual member while mitigating the unique credit and collateral risks associated with insurance companies, including risks related to the resolution process for insurance companies, which is significantly different from the resolution processes established for the Bank’s insured depository members.

The Bank determines the maximum amount and maximum term of the advances it will make to a CDFI based on an ongoing risk assessment that considers information from the CDFI’s audited annual financial statements, supplemented by additional information deemed relevant by the Bank. Approved terms are designed to meet the

79

needs of the individual member while mitigating the unique credit and collateral risks of CDFIs, which do not file quarterly regulatory financial reports and are not subject to the same inspection and regulation requirements as the Bank’s insured depository members.

The Bank determines the maximum amount and maximum term of the advances it will make to a housing associate based on an ongoing risk assessment that considers the housing associate’s financial and regulatory standing and other qualitative information deemed relevant by the Bank. Approved terms are designed to meet the needs of the individual housing associate while mitigating the unique credit and collateral risks of housing associates, which do not file quarterly regulatory financial reports and are not subject to the same inspection and regulation requirements as the Bank’s insured depository members.

Pursuant to the Bank’s lending agreements with its borrowers, the Bank limits extensions of credit to individual borrowers to a percentage of the market value or unpaid principal balance of the borrower’s pledged collateral, known as the borrowing capacity. The borrowing capacity percentage varies according to several factors, including the charter type of the institution, the collateral type, the value assigned to the collateral, the results of the Bank’s collateral field review of the borrower’s collateral, the pledging method used for loan collateral (specific identification or blanket lien), the amount of loan data provided (detailed or summary reporting), the data reporting frequency (monthly or quarterly), the borrower’s financial strength and condition, and any institution-specific collateral risks. Under the terms of the Bank’s lending agreements, the aggregate borrowing capacity of a borrower’s pledged eligible collateral must meet or exceed the total amount of the borrower’s outstanding advances, other extensions of credit, and certain other borrower obligations and liabilities. The Bank monitors each borrower’s aggregate borrowing capacity and collateral requirements on a daily basis by comparing the institution’s borrowing capacity to its obligations to the Bank.

In addition, the total amount of advances made available to each member or housing associate may be limited by the financing availability assigned by the Bank, which is generally expressed as a percentage of the member’s or housing associate’s assets. The amount of financing availability is generally determined by the creditworthiness of the member or housing associate.

When a nonmember financial institution acquires some or all of the assets and liabilities of a member, including outstanding advances and Bank capital stock, the Bank may allow the advances to remain outstanding, at its discretion. The nonmember borrower is required to meet the Bank’s applicable credit, collateral, and capital stock requirements, including requirements regarding creditworthiness and collateral borrowing capacity.

The following tables present a summary of the status of the credit outstanding and overall collateral borrowing capacity of the Bank’s member and nonmember borrowers as of March 31, 2016 and December 31, 2015. During the three months ended March 31, 2016, the Bank’s internal credit ratings stayed the same or improved for the majority of members and nonmember borrowers.

80

Member and Nonmember Credit Outstanding and Collateral Borrowing Capacity by Credit Quality Rating
(Dollars in millions)
March 31, 2016
	All Members and Nonmembers	Members and Nonmembers with Credit Outstanding
					Collateral Borrowing Capacity(2)
Member or Nonmember Credit Quality Rating	Number	Number	Credit Outstanding(1)		Total		Used
1-3	276	155	$	58,554	$	185,204	32	%
4-6	58	25	4,762		16,434		29
7-10	3	2	17		58		29
Subtotal	337	182	63,333		201,696		31
CDFIs	7	3	85		94		90
Total	344	185	$	63,418	$	201,790	31	%

December 31, 2015
	All Members and Nonmembers	Members and Nonmembers with Credit Outstanding
					Collateral Borrowing Capacity(2)
Member or Nonmember Credit Quality Rating	Number	Number	Credit Outstanding(1)		Total		Used
1-3	273	158	$	59,898	$	180,851	33	%
4-6	61	26	3,138		14,287		22
7-10	6	4	32		89		36
Subtotal	340	188	63,068		195,227		32
CDFIs	7	3	90		96		94
Total	347	191	$	63,158	$	195,323	32	%

(1) Includes advances, letters of credit, the market value of swaps, estimated prepayment fees for certain borrowers, and the credit enhancement obligation on MPF loans.

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

Member and Nonmember Credit Outstanding and Collateral Borrowing Capacity by Unused Borrowing Capacity
(Dollars in millions)
March 31, 2016
Unused Borrowing Capacity	Number of Members and Nonmembers with Credit Outstanding	Credit Outstanding(1)		Collateral Borrowing Capacity(2)
0% – 10%	7	$	207	$	227
11% – 25%	9	3,543		4,289
26% – 50%	26	31,748		51,325
More than 50%	143	27,920		145,949
Total	185	$	63,418	$	201,790

December 31, 2015
Unused Borrowing Capacity	Number of Members and Nonmembers with Credit Outstanding	Credit Outstanding(1)		Collateral Borrowing Capacity(2)
0% – 10%	7	$	3,200	$	3,407
11% – 25%	5	1,054		1,289
26% – 50%	21	29,265		46,966
More than 50%	158	29,639		143,661
Total	191	$	63,158	$	195,323

81

(1) Includes advances, letters of credit, the market value of swaps, estimated prepayment fees for certain borrowers, and the credit enhancement obligation on MPF loans.

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

Based on the collateral pledged as security for advances, the Bank’s credit analyses of borrowers’ financial condition, and the Bank’s credit extension and collateral policies, the Bank expects to collect all amounts due according to the contractual terms of the advances. Therefore, no allowance for credit losses on advances is deemed necessary by the Bank. The Bank has never experienced any credit losses on advances.

Securities pledged as collateral are assigned borrowing capacities that reflect the securities’ pricing volatility and market liquidity risks. Securities are delivered to the Bank’s custodian when they are pledged. The Bank prices securities collateral on a daily basis or twice a month, depending on the availability and reliability of external pricing sources. Securities that are normally priced twice a month may be priced more frequently in volatile market conditions. The Bank benchmarks the borrowing capacities for securities collateral to the market on a periodic basis and may review and change the borrowing capacity for any security type at any time. As of March 31, 2016, the borrowing capacities assigned to U.S. Treasury and agency securities ranged from 55% to 98% of their market value. The borrowing capacities assigned to private-label MBS, which must be rated AAA or AA when initially pledged, generally ranged from 55% to 80% of their market value, depending on the underlying collateral (residential mortgage loans, home equity loans, or commercial real estate loans), the rating, and the subordination structure of the respective securities.

The following table presents the securities collateral pledged by all members and by nonmembers with credit outstanding at March 31, 2016, and December 31, 2015.

Composition of Securities Collateral Pledged by Members and by Nonmembers with Credit Outstanding
(In millions)	March 31, 2016				December 31, 2015
Securities Type with Current Credit Ratings	Current Par		Borrowing Capacity		Current Par		Borrowing Capacity
U.S. Treasury (bills, notes, bonds)	$	885	$	882	$	1,538	$	1,489
Agency (notes, subordinated debt, structured notes, indexed amortization notes, and Small Business Administration pools)	3,489		3,420		3,567		3,478
Agency pools and collateralized mortgage obligations	8,292		8,071		6,765		6,516
PLRMBS – publicly registered investment-grade-rated senior tranches	1		—		1		1
Total	$	12,667	$	12,373	$	11,871	$	11,484

With respect to loan collateral, most borrowers may choose to pledge loan collateral by specific identification or under a blanket lien. Insurance companies, CDFIs, and housing associates are required to pledge loan collateral by specific identification with monthly reporting. All other borrowers pledging by specific identification must provide a detailed listing of all the loans pledged to the Bank on a monthly basis. With a blanket lien, a borrower generally pledges the following loan types, whether or not the individual loans are eligible to receive borrowing capacity: all loans secured by real estate; all loans made for commercial, corporate, or business purposes; and all participations in these loans. Borrowers pledging under a blanket lien may provide a detailed listing of loans or may use a summary reporting method.

The Bank may require certain borrowers to deliver pledged loan collateral to the Bank for one or more reasons, including the following: the borrower is a de novo institution (chartered within the last three years), an insurance company, a CDFI, or a housing associate; the Bank is concerned about the borrower’s creditworthiness; or the Bank is concerned about the maintenance of its collateral or the priority of its security interest. With the exception of

82

insurance companies, CDFIs, and housing associates, borrowers required to deliver loan collateral must pledge those loans under a blanket lien with detailed reporting.

As of March 31, 2016, of the loan collateral pledged to the Bank, 29% was pledged by 28 institutions by specific identification, 48% was pledged by 129 institutions under a blanket lien with detailed reporting, and 23% was pledged by 119 institutions under a blanket lien with summary reporting.

As of March 31, 2016, the Bank’s maximum borrowing capacities as a percentage of the assigned market value of mortgage loan collateral pledged under a blanket lien with detailed reporting were as follows: 92% for first lien residential mortgage loans, 91% for multifamily mortgage loans, 88% for commercial mortgage loans, and 82% for second lien residential mortgage loans. The maximum borrowing capacity for small business, small agribusiness, and small farm loans was 50% of the unpaid principal balance, although most of these loans are pledged under blanket lien with summary reporting, with a maximum borrowing capacity of 25%. The highest borrowing capacities are available to borrowers that pledge under a blanket lien with detailed reporting because the detailed loan information allows the Bank to assess the value of the collateral more precisely and because additional collateral is pledged under the blanket lien that may not receive borrowing capacity but may be liquidated to repay advances in the event of default. The Bank may review and change the maximum borrowing capacity for any type of loan collateral at any time.

The table below presents the mortgage loan collateral pledged by all members and by nonmembers with credit outstanding at March 31, 2016, and December 31, 2015.

Composition of Loan Collateral Pledged by Members and by Nonmembers with Credit Outstanding
(In millions)	March 31, 2016				December 31, 2015
Loan Type	Unpaid Principal Balance		Borrowing Capacity		Unpaid Principal Balance		Borrowing Capacity
First lien residential mortgage loans	$	124,910	$	107,747	$	116,745	$	100,667
Second lien residential mortgage loans and home equity lines of credit	26,979		15,769		25,543		14,328
Multifamily mortgage loans	22,408		18,397		22,716		18,971
Commercial mortgage loans	57,471		41,562		59,347		43,405
Loan participations(1)	6,369		5,169		7,155		5,710
Small business, small farm, and small agribusiness loans	3,124		772		3,063		756
Other	2		1		3		2
Total	$	241,263	$	189,417	$	234,572	$	183,839

(1) The unpaid principal balance for loan participations is 100% of the outstanding loan amount. The borrowing capacity for loan participations is based on the participated amount pledged to the Bank.

The Bank holds a security interest in subprime residential mortgage loans pledged as collateral. Subprime loans are defined as loans with a borrower FICO score of 660 or less at origination, or if the original FICO score is not available, as loans with a current borrower FICO score of 660 or less. At March 31, 2016, and December 31, 2015, the unpaid principal balance of these loans totaled $9 billion and $13 billion, respectively. The Bank reviews and assigns borrowing capacities to subprime mortgage loans as it does for all other types of loan collateral, taking into account the known credit attributes in the pricing of the loans. All advances, including those made to borrowers pledging subprime mortgage loans, are required to be fully collateralized. The Bank limits the amount of borrowing capacity that may be supported by subprime collateral.

Investments. The Bank has adopted credit policies and exposure limits for investments that promote risk limitation, diversification, and liquidity. These policies determine eligible counterparties and restrict the amounts and terms of the Bank’s investments with any given counterparty according to the Bank’s own capital position as well as the capital and creditworthiness of the counterparty.

83

The Bank monitors its investments for substantive changes in relevant market conditions and any declines in fair value. For securities in an unrealized loss position because of factors other than movements in interest rates, such as widening of mortgage asset spreads, the Bank considers whether it expects to recover the entire amortized cost basis of the security by comparing the best estimate of the present value of the cash flows expected to be collected from the security with the amortized cost basis of the security. If the Bank’s best estimate of the present value of the cash flows expected to be collected is less than the amortized cost basis, the difference is considered the credit loss.

When the fair value of an individual investment security falls below its amortized cost, the Bank evaluates whether the decline is other than temporary. The Bank recognizes an OTTI when it determines that it will be unable to recover the entire amortized cost basis of the security and the fair value of the investment security is less than its amortized cost. The Bank considers its intent to hold the security and whether it is more likely than not that the Bank will be required to sell the security before its anticipated recovery of the remaining cost basis, and other factors. The Bank generally views changes in the fair value of the securities caused by movements in interest rates to be temporary.

The following tables present the Bank’s investment credit exposure at the dates indicated, based on the lowest of the long-term credit ratings provided by Moody’s, Standard & Poor’s, or comparable Fitch Ratings (Fitch) ratings.

Investment Credit Exposure
(In millions)
March 31, 2016
	Carrying Value
	Credit Rating(1)
Investment Type	AAA		AA		A		BBB		Below Investment Grade		Unrated		Total
Non-MBS
Housing finance agency bonds:
CalHFA bonds	$	—	$	—	$	273	$	—	$	—	$	—	$	273
GSEs:
FFCB bonds	—		1,399		—		—		—		—		1,399
Total non-MBS	—		1,399		273		—		—		—		1,672
MBS:
Other U.S. obligations:
Ginnie Mae	—		1,186		—		—		—		—		1,186
GSEs:
Freddie Mac	—		3,506		—		—		—		—		3,506
Fannie Mae(2)	—		3,875		13		—		9		—		3,897
Total GSEs	—		7,381		13		—		9		—		7,403
PLRMBS:
Prime	—		—		2		357		984		2		1,345
Alt-A, option ARM	—		—		—		—		936		—		936
Alt-A, other	8		11		37		146		4,070		3		4,275
Total PLRMBS	8		11		39		503		5,990		5		6,556
Total MBS	8		8,578		52		503		5,999		5		15,145
Total securities	8		9,977		325		503		5,999		5		16,817
Interest-bearing deposits	—		—		450		—		—		—		450
Securities purchased under agreements to resell	—		12,500		—		—		—		—		12,500
Federal funds sold	—		2,158		2,441		—		—		—		4,599
Total investments	$	8	$	24,635	$	3,216	$	503	$	5,999	$	5	$	34,366

84

(In millions)
December 31, 2015
	Carrying Value
	Credit Rating(1)
Investment Type	AAA		AA		A		BBB		Below Investment Grade		Unrated		Total
Non-MBS
Housing finance agency bonds:
CalHFA bonds	$	—	$	—	$	275	$	—	$	—	$	—	$	275
GSEs:
FFCB bonds	—		1,424		—		—		—		—		1,424
Total non-MBS	—		1,424		275		—		—		—		1,699
MBS:
Other U.S. obligations:
Ginnie Mae	—		1,236		—		—		—		—		1,236
GSEs:
Freddie Mac	—		3,677		—		—		—		—		3,677
Fannie Mae(2)	—		4,112		15		—		9		—		4,136
Total GSEs	—		7,789		15		—		9		—		7,813
PLRMBS:
Prime	—		—		2		368		1,044		2		1,416
Alt-A, option ARM	—		—		—		—		980		—		980
Alt-A, other	8		10		44		151		4,288		4		4,505
Total PLRMBS	8		10		46		519		6,312		6		6,901
Total MBS	8		9,035		61		519		6,321		6		15,950
Total securities	8		10,459		336		519		6,321		6		17,649
Securities purchased under agreements to resell	—		10,000		—		—		—		—		10,000
Federal funds sold	—		2,992		1,588		46		—		—		4,626
Total investments	$	8	$	23,451	$	1,924	$	565	$	6,321	$	6	$	32,275

(1) Credit ratings of BB and lower are below investment grade.

(2) The Bank has one security guaranteed by Fannie Mae but rated BB by Moody's because of extraordinary expenses incurred during bankruptcy of the security's sponsor.

For all securities in its AFS and HTM portfolios, for Federal funds sold, and for securities purchased under agreements to resell, the Bank does not intend to sell any security and it is not more likely than not that the Bank will be required to sell any security before its anticipated recovery of the remaining amortized cost basis.

The Bank invests in short-term unsecured interest-bearing deposits, short-term unsecured Federal funds sold, securities purchased under agreements to resell, and negotiable certificates of deposit with member and nonmember counterparties, all of which are highly rated.

The Bank actively monitors its credit exposures and the credit quality of its counterparties, including an assessment of each counterparty’s financial performance, capital adequacy, likelihood of parental or sovereign support, and the current market perceptions of the counterparties. The Bank may also consider general macroeconomic and market conditions and political stability when establishing limits on unsecured investments with U.S. branches and agency offices of foreign commercial banks. As a result of deteriorating financial condition or concerns about adverse economic or market developments, the Bank may reduce limits or terms on unsecured investments or suspend a counterparty.

Finance Agency regulations limit the amount of unsecured credit that an individual FHLBank may extend to a single counterparty. This limit is calculated with reference to a percentage of either the FHLBank’s or the counterparty’s capital and to the counterparty’s overall credit rating. Under these regulations, the lesser of the FHLBank’s total regulatory capital or the counterparty’s Tier 1 capital is multiplied by a percentage specified in the regulation. The percentages used to determine the maximum amount of term extensions of unsecured credit range

85

from 1% to 15%, depending on the counterparty’s overall credit rating. Term extensions of unsecured credit include on-balance sheet transactions, off-balance sheet commitments, and derivative transactions, but exclude overnight Federal funds sales, even if subject to a continuing contract. (See “Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Derivative Counterparties” for additional information related to derivatives exposure.)

Finance Agency regulations also permit the FHLBanks to extend additional unsecured credit to the same single counterparty for overnight sales of Federal funds, even if subject to a continuing contract. However, an FHLBank’s total unsecured credit to a single counterparty (total term plus additional overnight Federal funds unsecured credit) may not exceed twice the regulatory limit for term exposures (2% to 30% of the lesser of the FHLBank’s total capital or the counterparty’s Tier 1 capital, based on the counterparty’s overall credit rating). In addition, the FHLBanks are prohibited by Finance Agency regulation from investing in financial instruments issued by non-U.S. entities other than those issued by U.S. branches and agency offices of foreign commercial banks.

Under Finance Agency regulations, the total amount of unsecured credit that an FHLBank may extend to a group of affiliated counterparties for term extensions of unsecured credit and overnight Federal funds sales, combined, may not exceed 30% of the FHLBank’s total capital. These limits on affiliated counterparty groups are in addition to the limits on extensions of unsecured credit applicable to any single counterparty within the affiliated group.

As of March 31, 2016, the Bank’s unsecured investment credit exposure to U.S. branches and agency offices of foreign commercial banks was limited to Federal funds sold, which represented 60% of the Bank’s total unsecured investment credit exposure in Federal funds sold and interest-bearing deposits.

The following table presents the credit ratings of the unsecured investment credit exposures presented by the domicile of the counterparty or the domicile of the counterparty’s parent for U.S. branches and agency offices of foreign commercial banks, based on the lowest of the credit ratings provided by Moody’s, Standard & Poor’s, or comparable Fitch ratings. This table does not reflect the foreign sovereign government’s credit rating. At March 31, 2016, 43% of the carrying value of unsecured investments held by the Bank were rated AA.

Ratings of Unsecured Investment Credit Exposure by Domicile of Counterparty
(In millions)
March 31, 2016
	Carrying Value(1)
	Credit Rating(2)
Domicile of Counterparty	AA		A		Total
Domestic	$	924	$	1,072	$	1,996
U.S. subsidiaries of foreign commercial banks	—		—		—
Total domestic and U.S. subsidiaries of foreign commercial banks	924		1,072		1,996
U.S. branches and agency offices of foreign commercial banks:
Australia	300		—		300
Canada	—		922		922
Finland	934		—		934
France	—		332		332
Netherlands	—		565		565
Total U.S. branches and agency offices of foreign commercial banks	1,234		1,819		3,053
Total unsecured credit exposure	$	2,158	$	2,891	$	5,049

(1) Excludes unsecured investment credit exposure to U.S. government agencies and instrumentalities, government-sponsored enterprises, and supranational entities and does not include related accrued interest as of March 31, 2016.

(2) Does not reflect changes in ratings, outlook, or watch status occurring after March 31, 2016. These ratings represent the lowest rating available for each unsecured investment owned by the Bank, based on the ratings provided by Moody’s, Standard & Poor’s, or comparable Fitch ratings. The Bank’s internal rating may differ from this rating.

86

As of March 31, 2016, all of the Bank’s unsecured investments had overnight maturities.

The Bank’s investments may also include housing finance agency bonds issued by housing finance agencies located in Arizona, California, and Nevada, the three states that make up the Bank’s district. These bonds are mortgage revenue bonds (federally taxable), are collateralized by pools of first lien residential mortgage loans, and are credit-enhanced by bond insurance. The bonds held by the Bank are issued by the California Housing Finance Agency (CalHFA) and insured by either Ambac Assurance Corporation (Ambac), National Public Financial Guarantee (formerly MBIA Insurance Corporation), or Assured Guaranty Municipal Corporation (formerly Financial Security Assurance Incorporated). At March 31, 2016, all of the bonds were rated at least A by Moody’s or Standard & Poor’s.

For the Bank’s investments in housing finance agency bonds, which were issued by CalHFA, the gross unrealized losses were mainly due to an illiquid market, credit concerns regarding the underlying mortgage collateral, and credit concerns regarding the monoline insurance providers, causing these investments to be valued at a discount to their acquisition cost. The Bank independently modeled cash flows for the underlying collateral, using assumptions for default rates and loss severity that a market participant would deem reasonable, and concluded that the available credit support within the CalHFA structure more than offset the projected underlying collateral losses. The Bank determined that, as of March 31, 2016, all of the gross unrealized losses on the CalHFA bonds are temporary because the underlying collateral and credit enhancements were sufficient to protect the Bank from losses. As a result, the Bank expects to recover the entire amortized cost basis of these securities. If conditions in the housing and mortgage markets and general business and economic conditions deteriorate, the fair value of the CalHFA bonds may decline further and the Bank may experience OTTI in future periods.

The Bank’s MBS investments include PLRMBS, all of which were AAA-rated at the time of purchase, and

agency residential MBS, which are backed by Fannie Mae, Freddie Mac, or Ginnie Mae. Some of the PLRMBS were issued by and/or purchased from members, former members, or their affiliates. The Bank has investment credit limits and terms for these investments that do not differ for members and nonmembers. Regulatory policy limits total MBS investments to three times the Bank’s capital at the time of purchase. At March 31, 2016, the Bank’s MBS portfolio was 280% of Bank capital (as determined in accordance with regulations governing the operations of the FHLBanks). The Bank has not purchased any PLRMBS since the first quarter of 2008.

The Bank executes all MBS investments without preference to the status of the counterparty or the issuer of the investment as a nonmember, member, or affiliate of a member. When the Bank executes non-MBS investments with members, the Bank may give consideration to their secured credit availability and the Bank’s advances price levels.

At March 31, 2016, PLRMBS representing 35% of the amortized cost of the Bank’s MBS portfolio were labeled Alt-A by the issuer. These PLRMBS are generally collateralized by mortgage loans that are considered less risky than subprime loans but more risky than prime loans. These loans are generally made to borrowers with credit scores that are high enough to qualify for a prime mortgage loan, but the loans may not meet standard underwriting guidelines for documentation requirements, property type, or loan-to-value ratios.

As of March 31, 2016, the Bank’s investment in MBS had gross unrealized losses totaling $265 million, most of which were related to PLRMBS. These gross unrealized losses were primarily due to illiquidity in the MBS market and market expectations of the credit performance of loan collateral underlying these securities, which caused these assets to be valued at discounts to their amortized cost.

For its agency MBS, the Bank expects to recover the entire amortized cost basis of these securities because the Bank determined that the strength of the issuers’ guarantees through direct obligations or support from the U.S. government is sufficient to protect the Bank from losses. As a result, the Bank determined that, as of March 31, 2016, all of the gross unrealized losses on its agency MBS are temporary.

To assess whether it expects to recover the entire amortized cost basis of its PLRMBS, the Bank performed a cash flow analysis for all of its PLRMBS as of March 31, 2016, using two third-party models. The first model projects prepayments, default rates, and loss severities on the underlying collateral based on borrower characteristics and the

87

particular attributes of the loans underlying the Bank’s securities, in conjunction with assumptions related primarily to future changes in housing prices and interest rates. A significant input to the first model is the forecast of future housing price changes for the relevant states and core-based statistical areas (CBSAs), which are based on an assessment of the regional housing markets. CBSA refers collectively to metropolitan and micropolitan statistical areas as defined by the U.S. Office of Management and Budget. As currently defined, a CBSA must contain at least one urban area with a population of 10,000 or more people.

The month-by-month projections of future loan performance derived from the first model, which reflect projected prepayments, default rates, and loss severities, are then input into a second model that allocates the projected loan level cash flows and losses to the various security classes in each securitization structure in accordance with the structure’s prescribed cash flow and loss allocation rules. When the credit enhancement for the senior securities in a securitization is derived from the presence of subordinated securities, losses are generally allocated first to the subordinated securities until their principal balance is reduced to zero. The projected cash flows are based on a number of assumptions and expectations, and the results of these models can vary significantly with changes in assumptions and expectations. The scenario of cash flows determined based on the model approach described above reflects a best-estimate scenario and includes a base case housing price forecast that reflects the expectations for near- and long-term housing price behavior.

The FHLBanks’ OTTI Committee developed a short-term housing price forecast with projected changes ranging from a decrease of 1.0% to an increase of 8.0% over the 12-month period beginning January 1, 2016. For the vast majority of markets, the projected short-term housing price changes range from an increase of 3.0% to an increase of 5.0%. Thereafter, a unique path is projected for each geographic area based on an internally developed framework derived from historical data.

In addition to evaluating its PLRMBS under a base case (or best estimate) scenario, the Bank performed a cash flow analysis for each of these securities under a more adverse housing price scenario. This more adverse scenario was primarily based on a short-term housing price forecast that was five percentage points below the base case forecast, followed by a recovery path with annual rates of housing price growth that were 33.0% lower than the base case.

The following table shows the base case scenario and what the credit-related OTTI loss would have been under the more adverse housing price scenario at March 31, 2016:

OTTI Analysis Under Base Case and Adverse Case Scenarios
	Housing Price Scenario
	Base Case						Adverse Case
(Dollars in millions)	Number of Securities	Unpaid Principal Balance		Credit- Related OTTI(1)			Number of Securities	Unpaid Principal Balance		Credit- Related OTTI(1)
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
Prime	2	$	76	$	(1	)	2	$	76	$	(1	)
Alt-A, option ARM	2	263		—			3	288		(1		)
Alt-A, other	16	572		(6		)	22	819		(11		)
Total	20	$	911	$	(7	)	27	$	1,183	$	(13	)

(1) Amounts are for the three months ended March 31, 2016.

For more information on the Bank’s OTTI analysis and reviews, see “Item 1. Financial Statements – Note 6 – Other-Than-Temporary Impairment Analysis.”

The following table presents the ratings of the Bank’s PLRMBS as of March 31, 2016, by collateral type at origination and by year of securitization.

88

Unpaid Principal Balance of PLRMBS by Year of Securitization and Credit Rating
(In millions)
March 31, 2016
	Unpaid Principal Balance
	Credit Rating(1)
Collateral Type at Origination and Year of Securitization	AAA		AA		A		BBB		Below Investment Grade		Unrated		Total
Prime
2008	$	—	$	—	$	—	$	—	$	155	$	—	$	155
2007	—		—		—		—		381		—		381
2006	—		—		—		—		49		—		49
2005	—		—		—		19		50		—		69
2004 and earlier	—		—		2		337		431		2		772
Total Prime	—		—		2		356		1,066		2		1,426
Alt-A, option ARM
2007	—		—		—		—		901		—		901
2006	—		—		—		—		160		—		160
2005	—		—		—		—		177		—		177
Total Alt-A, option ARM	—		—		—		—		1,238		—		1,238
Alt-A, other
2008	—		—		—		—		111		—		111
2007	—		—		—		—		1,358		—		1,358
2006	—		—		10		—		549		—		559
2005	—		9		—		—		2,213		—		2,222
2004 and earlier	8		2		27		145		452		3		637
Total Alt-A, other	8		11		37		145		4,683		3		4,887
Total par value	$	8	$	11	$	39	$	501	$	6,987	$	5	$	7,551

(1) The credit ratings used by the Bank are based on the lowest of Moody’s, Standard & Poor’s, or comparable Fitch ratings. Credit ratings of BB and lower are below investment grade.

The following table presents the ratings of the Bank’s other-than-temporarily impaired PLRMBS at March 31, 2016, by collateral type at origination and by year of securitization.

89

Unpaid Principal Balance of Other-Than-Temporarily Impaired PLRMBS by Year of Securitization and Credit Rating
(In millions)
March 31, 2016
			Unpaid Principal Balance
			Credit Rating(1)
Collateral Type at Origination and Year of Securitization	AA		A		BBB		Below Investment Grade		Total
Prime
2008	$	—	$	—	$	—	$	142	$	142
2007	—		—		—		328		328
2006	—		—		—		22		22
2005	—		—		—		22		22
2004 and earlier	—		—		—		54		54
Total Prime	—		—		—		568		568
Alt-A, option ARM
2007	—		—		—		900		900
2006	—		—		—		160		160
2005	—		—		—		177		177
Total Alt-A, option ARM	—		—		—		1,237		1,237
Alt-A, other
2008	—		—		—		111		111
2007	—		—		—		1,312		1,312
2006	—		10		—		549		559
2005	—		—		—		2,208		2,208
2004 and earlier	1		2		19		219		241
Total Alt-A, other	1		12		19		4,399		4,431
Total par value	$	1	$	12	$	19	$	6,204	$	6,236

(1) The credit ratings used by the Bank are based on the lowest of Moody’s, Standard & Poor’s, or comparable Fitch ratings. Credit ratings of BB and lower are below investment grade.

For the Bank’s PLRMBS, the following table shows the amortized cost, estimated fair value, credit- and non-credit-related OTTI, performance of the underlying collateral based on the classification at the time of origination, and credit enhancement statistics by type of collateral and year of securitization. Credit enhancement is defined as the percentage of subordinated tranches and over-collateralization, if any, in a security structure that will absorb losses before the Bank will experience a loss on the security, expressed as a percentage of the underlying collateral balance. The credit enhancement figures include the additional credit enhancement required by the Bank (above the amounts required for an AAA rating by the credit rating agencies) for selected securities starting in late 2004, and for all securities starting in late 2005. The calculated weighted averages represent the dollar-weighted averages of all the PLRMBS in each category shown. The classification (prime or Alt-A) is based on the model used to run the estimated cash flows for the security, which may not necessarily be the same as the classification at the time of origination.

90

PLRMBS Credit Characteristics
(Dollars in millions)
March 31, 2016
																Underlying Collateral Performance and Credit Enhancement Statistics
Collateral Type at Origination and Year of Securitization	Amortized Cost		Gross Unrealized Losses(2)			Estimated Fair Value		Total OTTI(1)			Non- Credit- Related OTTI(1)		Credit- Related OTTI(1)			Weighted Average 60+ Days Collateral Delinquency Rate		Original Weighted Average Credit Support		Current Weighted Average Credit Support
Prime
2008	$	134	$	(1	)	$	142	$	—		$	—	$	—		12.93	%	30.00	%	12.96	%
2007	313		(7		)	313		(1		)	—		(1		)	12.89		22.50		3.08
2006	42		—			44		—			—		—			14.20		12.68		3.93
2005	67		(2		)	66		—			—		—			9.88		11.92		14.98
2004 and earlier	772		(24		)	748		—			—		—			6.64		4.44		12.71
Total Prime	1,328		(34		)	1,313		(1		)	—		(1		)	9.40		12.67		9.98
Alt-A, option ARM
2007	739		(39		)	714		(5		)	5		—			22.16		44.20		14.74
2006	116		(9		)	119		—			—		—			19.99		44.90		5.84
2005	83		(4		)	103		—			—		—			17.17		22.69		4.82
Total Alt-A, option ARM	938		(52		)	936		(5		)	5		—			21.17		41.22		12.17
Alt-A, other
2008	109		(9		)	100		—			—		—			8.82		31.80		23.29
2007	1,180		(53		)	1,157		(4		)	—		(4		)	18.89		27.10		10.75
2006	420		—			467		—			—		—			19.67		18.40		1.28
2005	1,974		(91		)	1,929		(5		)	3		(2		)	14.57		14.28		5.07
2004 and earlier	632		(22		)	619		—			—		—			10.54		8.14		17.54
Total Alt-A, other	4,315		(175		)	4,272		(9		)	3		(6		)	15.70		17.91		8.25
Total	$	6,581	$	(261	)	$	6,521	$	(15	)	$	8	$	(7	)	15.41	%	20.74	%	9.22	%

(1) Amounts are for the three months ended March 31, 2016.

(2) Represents total gross unrealized losses, including non-credit-related other-than-temporary impairment recognized in AOCI. The unpaid principal

balance of Prime, Alt-A, option ARM, and Alt-A, other in a gross unrealized loss position was $882 million, $793 million, and $2.7 billion, respectively, at March 31, 2016, and the amortized cost of Prime, Alt-A, option ARM, and Alt-A, other in a gross unrealized loss position was $883 million, $674 million, and $2.5 billion, respectively, at March 31, 2016.

The following table presents a summary of the significant inputs used to determine potential OTTI credit losses in the Bank’s PLRMBS portfolio at March 31, 2016.

91

Significant Inputs to OTTI Credit Analysis for All PLRMBS
March 31, 2016
	Significant Inputs			Current
	Prepayment Rates	Default Rates	Loss Severities	Credit Enhancement
Year of Securitization	Weighted Average %	Weighted Average %	Weighted Average %	Weighted Average %
Prime
2008	12.9	11.6	26.6	17.3
2007	9.7	4.9	22.1	9.7
2006	10.8	8.0	24.6	10.9
2005	16.5	4.6	21.6	12.3
2004 and earlier	17.8	3.9	21.0	12.0
Total Prime	15.9	6.0	22.6	13.1
Alt-A, option ARM
2007	6.8	31.3	39.3	14.9
2006	6.2	33.4	39.4	6.2
2005	7.2	21.8	35.8	4.8
Total Alt-A, option ARM	6.8	30.2	38.8	12.3
Alt-A, other
2007	11.4	22.7	36.9	6.2
2006	10.9	21.5	39.5	8.2
2005	13.6	14.9	36.5	5.4
2004 and earlier	14.9	11.2	31.4	17.7
Total Alt-A, other	12.8	17.5	36.4	7.8
Total	12.2	17.9	34.8	9.3

Credit enhancement is defined as the subordinated tranches and over-collateralization, if any, in a security structure that will generally absorb losses before the Bank will experience a loss on the security, expressed as a percentage of the underlying collateral balance. The calculated averages represent the dollar-weighted averages of all the PLRMBS investments in each category shown. The classification (prime or Alt-A) is based on the model used to run the estimated cash flows for the security, which may not necessarily be the same as the classification at the time of origination.

The following table presents the fair value of the Bank’s PLRMBS as a percentage of the unpaid principal balance by collateral type at origination and year of securitization.

92

Fair Value of PLRMBS as a Percentage of Unpaid Principal Balance by Year of Securitization
Collateral Type at Origination and Year of Securitization	March 31, 2016		December 31, 2015		September 30, 2015		June 30, 2015		March 31, 2015
Prime
2008	91.96	%	92.09	%	93.00	%	93.09	%	93.52	%
2007	82.24		82.96		83.03		83.73		83.70
2006	91.38		91.36		92.03		92.65		92.10
2005	96.44		97.28		97.61		96.90		97.64
2004 and earlier	96.91		97.70		97.74		98.18		98.25
Weighted average of all Prime	92.24		92.96		93.21		93.68		93.85
Alt-A, option ARM
2007	79.34		80.96		81.13		82.19		81.63
2006	74.29		76.70		77.49		78.54		79.33
2005	58.04		58.93		59.24		60.14		58.98
Weighted average of all Alt-A, option ARM	75.65		77.17		77.37		78.30		77.73
Alt-A, other
2008	89.44		88.74		88.74		89.64		92.47
2007	85.12		85.54		85.94		86.12		87.12
2006	83.70		84.18		84.23		84.75		84.85
2005	86.77		87.65		88.09		88.35		88.24
2004 and earlier	97.07		97.87		97.98		98.34		98.52
Weighted average of all Alt-A, other	87.36		88.02		88.36		88.67		88.99
Weighted average of all PLRMBS	86.36	%	87.21	%	87.54	%	88.02	%	88.21	%

The Bank determined that, as of March 31, 2016, the gross unrealized losses on the PLRMBS that have not had an OTTI loss are primarily due to illiquidity in the PLRMBS market and market expectations of the credit performance of loan collateral underlying these securities, which caused these assets to be valued at discounts to their amortized cost. The Bank does not intend to sell these securities, it is not more likely than not that the Bank will be required to sell these securities before its anticipated recovery of the remaining amortized cost basis, and the Bank expects to recover the entire amortized cost basis of these securities. As a result, the Bank determined that, as of March 31, 2016, all of the gross unrealized losses on these securities are temporary. The Bank will continue to monitor and analyze the performance of these securities to assess the likelihood of the recovery of the entire amortized cost basis of these securities as of each balance sheet date.

If conditions in the housing and mortgage markets and general business and economic conditions deteriorate, the fair value of MBS may decline further and the Bank may experience OTTI of additional PLRMBS in future periods, as well as further impairment of PLRMBS that were identified as other-than-temporarily impaired as of March 31, 2016. Additional future credit-related OTTI losses could adversely affect the Bank’s earnings and retained earnings and its ability to pay dividends and repurchase capital stock. The Bank cannot predict whether it will be required to record additional credit-related OTTI losses on its PLRMBS in the future.

Derivative Counterparties. The Bank has also adopted credit policies and exposure limits for uncleared derivatives credit exposure. Over-the-counter derivatives may be either entered into directly with a counterparty (uncleared derivatives) or executed either with an executing dealer or on a swap execution facility and then cleared through a futures commission merchant (clearing agent) with a derivatives clearing organization (cleared derivatives).

Uncleared Derivatives. The Bank selects only highly rated derivative dealers and major banks (derivative dealer counterparties) that meet the Bank’s eligibility criteria to act as counterparties for its uncleared derivative activities. In addition, the Bank has entered into master netting agreements and bilateral credit support agreements with all active derivative dealer counterparties that provide for delivery of collateral at specified levels to limit the Bank’s

93

net unsecured credit exposure to these counterparties. Under these policies and agreements, the amount of unsecured credit exposure to an individual derivative dealer counterparty is either (i) limited to an absolute dollar credit exposure according to the counterparty’s long-term debt or deposit credit rating, as determined by the rating agencies, or (ii) set at zero (subject to a minimum transfer amount). All credit exposure from derivative transactions entered into by the Bank with member counterparties that are not derivative dealers (including interest rate swaps, caps, and floors), for which the Bank serves as an intermediary, must be fully secured by eligible collateral, and all such derivative transactions are subject to both the Bank’s Advances and Security Agreement and a master netting agreement.

The Bank is subject to the risk of potential nonperformance by the counterparties to derivative agreements. Unless the collateral delivery threshold is set at zero, the amount of net unsecured credit exposure that is permissible with respect to each counterparty depends on the credit rating of that counterparty. A counterparty generally must deliver collateral to the Bank if the total market value of the Bank’s exposure to that counterparty rises above a specific trigger point. Currently, all of the Bank’s active uncleared derivative counterparties have a zero threshold. As a result of these risk mitigation initiatives, the Bank does not anticipate any credit losses on its uncleared derivative transactions with counterparties as of March 31, 2016.

Cleared Derivatives. The Bank is subject to nonperformance by the derivatives clearing organizations (clearinghouses) and clearing agents. The requirement that the Bank post initial and variation margin through the clearing agent, to the clearinghouse, exposes the Bank to institutional credit risk in the event that the clearing agent or the clearinghouse fails to meet its obligations. However, the use of cleared derivatives mitigates the Bank’s overall credit risk exposure because a central counterparty is substituted for individual counterparties and variation margin is posted daily for changes in the value of cleared derivatives through a clearing agent. The Bank does not anticipate any credit losses on its cleared derivatives as of March 31, 2016.

The following table presents the Bank’s credit exposure to its derivative dealer counterparties at the dates indicated.

Credit Exposure to Derivative Dealer Counterparties
(In millions)
March 31, 2016
Counterparty Credit Rating(1)	Notional Amount		Net Fair Value of Derivatives Before Collateral			Cash Collateral Pledged to/ (from) Counterparty			Non-cash Collateral Pledged to/ (from) Counterparty		Net Credit Exposure to Counterparties
Asset positions with credit exposure:
Uncleared derivatives
AA	$	100	$	—		$	—		$	—	$	—
A	4,589		72			(71		)	—		1
Cleared derivatives(2)	26,622		45			(31		)	—		14
Liability positions with credit exposure:
Uncleared derivatives
BBB	25		(1		)	1			—		—
Cleared derivatives(2)	28,602		(9		)	22			—		13
Total derivative positions with credit exposure to nonmember counterparties	59,938		107			(79		)	—		28
Member institutions(3)	7		—			—			—		—
Total	59,945		$	107		$	(79	)	$	—	$	28
Derivative positions without credit exposure	15,223
Total notional	$	75,168

94

December 31, 2015
Counterparty Credit Rating(1)	Notional Amount		Net Fair Value of Derivatives Before Collateral			Cash Collateral Pledged to/ (from) Counterparty			Non-cash Collateral Pledged to/ (from) Counterparty		Net Credit Exposure to Counterparties
Asset positions with credit exposure:
Uncleared derivatives
A	$	4,858	$	89		$	(84	)	$	—	$	5
Cleared derivatives(2)	8,722		47			(39		)	—		8
Liability positions with credit exposure:
Uncleared derivatives
AA	777		(1		)	1			—		—
A	3,951		(12		)	13			—		1
BBB	25		(1		)	1			—		—
Cleared derivatives(2)	48,141		(7		)	26			—		19
Total derivative positions with credit exposure to nonmember counterparties	66,474		115			(82		)	—		33
Member institutions(3)	5		—			—			—		—
Total	66,479		$	115		$	(82	)	$	—	$	33
Derivative positions without credit exposure	13,310
Total notional	$	79,789

(1) The credit ratings used by the Bank are based on the lower of Moody's or Standard & Poor's ratings.

(2) Represents derivative transactions cleared with LCH Clearnet, the Bank’s clearinghouse, which is not rated. LCH Clearnet’s parent, LCH Clearnet Group, Ltd., is rated A+ by Standard & Poor’s.

(3) Member institutions include mortgage delivery commitments with members.

The increase or decrease in the credit exposure net of cash collateral, from one period to the next, may be affected by changes in several variables, such as the size and composition of the portfolio, market values of derivatives, and accrued interest.

Based on the master netting arrangements, its credit analyses, and the collateral requirements in place with each counterparty, the Bank does not expect to incur any credit losses on its derivative agreements.

Critical Accounting Policies and Estimates

The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America (U.S. GAAP) requires management to make a number of judgments, estimates, and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, if applicable, and the reported amounts of income, expenses, gains, and losses during the reporting period. Changes in these judgments, estimates, and assumptions could potentially affect the Bank’s financial position and results of operations significantly. Although the Bank believes these judgments, estimates, and assumptions to be reasonably accurate, actual results may differ.

In the Bank’s 2015 Form 10-K, the following accounting policies and estimates were identified as critical because they require the Bank to make subjective or complex judgments about matters that are inherently uncertain and because of the likelihood that materially different amounts would be reported under different conditions or using different assumptions. These policies and estimates are: estimating the allowance for credit losses on the advances and mortgage loan portfolios; accounting for derivatives; estimating fair values of investments classified as trading and AFS, derivatives and associated hedged items carried at fair value in accordance with the accounting for derivative instruments and associated hedging activities, and financial instruments carried at fair value under the fair value option; accounting for OTTI for investment securities; and estimating the prepayment speeds on MBS and mortgage loans for the accounting of amortization of premiums and accretion of discounts on MBS and mortgage loans.

95

There have been no significant changes in the judgments and assumptions made during the first three months of 2016 in applying the Bank’s critical accounting policies. These policies and the judgments, estimates, and assumptions are also described in “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Critical Accounting Policies and Estimates” and “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2015 Form 10-K and in “Item 1. Financial Statements – Note 16 – Fair Value.”

Recently Issued Accounting Guidance and Interpretations

See “Item 1. Financial Statements – Note 2 – Recently Issued and Adopted Accounting Guidance” for a discussion of recently issued accounting standards and interpretations.

Recent Developments

Finance Agency’s Final Rule on FHLBank Membership. On January 20, 2016, the Finance Agency issued a final rule, effective on February 19, 2016, that, among other things:

• defines the “principal place of business” of an institution eligible for FHLBank membership to be the state in which it maintains its home office and from which the institution conducts business operations;

• defines “insurance company” as an entity that holds an insurance license or charter under the laws of a state and whose primary business is the underwriting of insurance for persons or entities that are not its affiliates;

• defines “captive” as an entity that holds an insurance license or charter under the laws of a state, but that does not meet the definition of “insurance company” set forth in the rule or fall within any other category of institution that may be eligible for membership; and

• makes captive insurance companies ineligible for FHLBank membership.

Captive insurance company members that were admitted as FHLBank members prior to September 12, 2014 (the date the Finance Agency proposed this rule) shall have their memberships terminated no later than February 19, 2021. There are restrictions on the level and maturity of advances that FHLBanks can make to these members during this “wind down” period. Captive insurance company members that were admitted as FHLBank members after September 12, 2014, shall have their memberships terminated no later than February 19, 2017, and the respective FHLBanks shall not make or renew any advances to these captives.

The Bank does not expect the rule to have a material impact on its financial condition or results of operations.

Joint Proposed Rule on Incentive-Based Compensation Arrangements. On April 26, 2016, the Finance Agency, jointly with five other federal regulators, issued the rule contemplated by Section 956 of the Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act), which requires implementation of regulations or guidelines to (1) prohibit incentive-based payment arrangements that these regulators determine encourage inappropriate risks by certain financial institutions by providing excessive compensation or that could lead to material financial loss; and (2) require those financial institutions to disclose information concerning incentive-based compensation arrangements to the appropriate federal regulator. The proposed rule identifies three categories of institutions that would be covered by these regulations based on average total consolidated assets, applying less prescriptive incentive-based compensation program requirements to the smallest covered institutions (Level 3) and progressively more rigorous requirements to the larger covered institutions (Level 1). The proposed rule specifies that the FHLBanks would fall into the middle category, Level 2. The proposed rule would supplement existing Finance Agency executive compensation rules. The proposed rule would prohibit the Bank from establishing or maintaining incentive-based compensation arrangements that encourage inappropriate risks by “senior executive officers” and “significant risk-takers” (each as defined in the proposed rule, together “covered persons”) that could lead to a material financial loss.

96

If adopted in its current form, the proposed rule would, among other things, impose requirements related to the Bank’s incentive-based compensation arrangements for covered persons, related to:

• mandatory deferrals of 50 percent and 40 percent of annual incentive based compensation payments for senior executive officers and significant risk takers, respectively, over no less than 3 years;

• risk of downward adjustment and forfeiture of awards;

• clawbacks of vested compensation; and

• limits on the maximum incentive-based compensation opportunity.

Comments are due on the proposed rule by July 22, 2016. The Bank is currently assessing the effect of the proposed rule.

President and Chief Executive Officer of the Bank. On April 27, 2016, the Bank announced the appointment of J. Gregory Seibly as President and Chief Executive Officer of the Bank, effective May 12, 2016. Mr. Seibly, age 52, has served as President of Consumer Banking at Umpqua Bank since its April 2014 merger with Sterling Financial Corporation (Sterling). From October 2009 to April 2014 he served as the President and Chief Executive Officer of Sterling and was also a member of the board of directors. Before joining Sterling in 2007, Mr. Seibly was President of U.S. Bank-California. He has also held executive-level positions in commercial banking at Wells Fargo Bank and in healthcare finance at Bank of America. Bank President and Chief Executive Officer Dean Schultz’s previously announced retirement will become effective May 31, 2016. From May 12, 2016, the effective date of Mr. Seibly’s appointment as President and Chief Executive Officer, Mr. Schultz will serve as a non-executive employee of the Bank until his retirement.

Off-Balance Sheet Arrangements, Guarantees, and Other Commitments

In accordance with regulations governing the operations of the FHLBanks, each FHLBank, including the Bank, is jointly and severally liable for the FHLBank System’s consolidated obligations issued under Section 11(a) of the FHLBank Act, and in accordance with the FHLBank Act, each FHLBank, including the Bank, is jointly and severally liable for consolidated obligations issued under Section 11(c) of the FHLBank Act. The joint and several liability regulation authorizes the Finance Agency to require any FHLBank to repay all or a portion of the principal or interest on consolidated obligations for which another FHLBank is the primary obligor.

The Bank determined that it was not necessary to recognize a liability for the fair value of the Bank's joint and

several liability for all consolidated obligations. The joint and several obligations are mandated by the FHLBank

Act or regulations governing the operations of the FHLBanks and are not the result of arms-length transactions

among the FHLBanks. The FHLBanks have no control over the amount of the guarantee or the determination of

how each FHLBank would perform under the joint and several obligations. Because the FHLBanks are subject to

the authority of the Finance Agency as it relates to decisions involving the allocation of the joint and several

liability for the FHLBanks' consolidated obligations, the FHLBanks' joint and several obligations are excluded from

the initial recognition and measurement provisions. Accordingly, the Bank has not recognized a liability for its joint

and several obligations related to other FHLBanks' participations in the consolidated obligations. The par value of the outstanding consolidated obligations of the FHLBanks was $896.8 billion at March 31, 2016, and $905.2 billion at December 31, 2015. The par value of the Bank’s participation in consolidated obligations was $78.2 billion at March 31, 2016, and $79.4 billion at December 31, 2015. The Bank had committed to the issuance of $158 million and $410 million in consolidated obligations at March 31, 2016, and December 31, 2015, respectively.

In addition, in the ordinary course of business, the Bank engages in financial transactions that, in accordance with U.S. GAAP, are not recorded on the Bank’s balance sheet or may be recorded on the Bank’s balance sheet in amounts that are different from the full contract or notional amount of the transactions. For example, the Bank routinely enters into commitments to extend advances and issues standby letters of credit. These commitments and standby letters of credit may represent future cash requirements of the Bank, although the standby letters of credit usually expire without being drawn upon. Standby letters of credit are subject to the same underwriting and collateral requirements as advances made by the Bank. At March 31, 2016, the Bank had $115 million in advance

97

commitments and $14.4 billion in standby letters of credit outstanding. At December 31, 2015, the Bank had $10 million in advance commitments and $12.3 billion in standby letters of credit outstanding.

For additional information, see “Item 1. Financial Statements – Note 17 – Commitments and Contingencies.”

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Market risk is defined as the risk to the Bank's market value of capital and future earnings (excluding the impact of any cumulative net gains or losses on derivatives and associated hedged items and on financial instruments carried at fair value) as a result of movements in market interest rates, interest rate spreads, interest rate volatility, and other market factors (market rate factors). This profile reflects the Bank’s objective of maintaining a conservative asset-liability mix and its commitment to providing value to its members through products and dividends without subjecting their investments in Bank capital stock to significant market risk.

The Bank’s Risk Management Policy includes a market risk management objective aimed at maintaining a relatively low adverse exposure of the market value of capital and future earnings (excluding the impact of any cumulative net gains or losses on derivatives and associated hedged items and on financial instruments carried at fair value) to changes in market rate factors. See “Total Bank Market Risk” below.

Market risk identification and measurement are primarily accomplished through market value of capital sensitivity analyses and projected earnings and adjusted return on capital sensitivity analyses. The Risk Management Policy approved by the Bank’s Board of Directors establishes market risk policy limits and market risk measurement standards at the total Bank level as well as at the business segment level. Additional guidelines approved by the Bank’s Enterprise Risk Committee apply to the Bank’s two business segments, the advances-related business and the mortgage-related business. These guidelines provide limits that are monitored at the segment level and are consistent with the Bank’s policy limits. Market risk is managed for each business segment on a daily basis, as discussed below in “Segment Market Risk.” Compliance with Bank policies and guidelines is reviewed by the Bank’s Board of Directors on a regular basis, along with a corrective action plan if applicable.

Total Bank Market Risk

Market Value of Capital Sensitivity

The Bank uses market value of capital sensitivity (the interest rate sensitivity of the net fair value of all assets, liabilities, and interest rate exchange agreements) as an important measure of the Bank’s exposure to changes in interest rates. As presented below, the Bank no longer measures, monitors, or reports on the net portfolio value of capital sensitivity analysis.

In March 2016, the Board of Directors approved a modification to the Bank’s Risk Management Policy to discontinue the use of the net portfolio value of capital sensitivity as the primary metric for measuring the Bank’s exposure to changes in interest rates and to eliminate the policy limit on the net portfolio value of capital sensitivity. Effective with the March 31, 2016, measurement, the Bank has reverted to the market value of capital sensitivity as the Bank’s market risk metric of record. The Bank adopted the net portfolio value of capital sensitivity as the market risk metric in early 2008 because of the large valuation spreads implied by the market prices (which included large liquidity discounts) on the Bank’s private-label residential mortgage-backed securities (PLRMBS). The large valuation spreads resulted in a disconnect between the measured and the actual market sensitivity risks faced by the Bank as a buy and hold investor. The net portfolio value methodology used valuation methods that estimated the value of mortgage-backed securities (MBS) and mortgage loans in alternative interest rate environments based on valuation spreads that existed at the time the Bank acquired the MBS and mortgage loans (acquisition spreads), rather than valuation spreads implied by the current market prices of MBS and mortgage loans. During periods of depressed mortgage asset prices, risk metrics based on spreads existing at the time of acquisition of mortgage assets better reflect the sensitivities in the level and timing of cash flows the Bank faces. Improved liquidity in the MBS markets and the resulting improvement in prices have resulted in the convergence of risk measurements based on

98

the two methodologies. Risk metrics based on acquisition spreads are no longer required. Measuring market value risk based on current market prices rather than valuation spreads at time of acquisition is a more straightforward way of measuring market risk and is appropriate given current and anticipated MBS and mortgage market conditions.

The Bank’s market value of capital sensitivity policy limits the potential adverse impact of an instantaneous parallel shift of a plus or minus 100-basis-point change in interest rates from current rates (base case) to no worse than –4.0% of the estimated market value of capital. In addition, the policy limits the potential adverse impact of an instantaneous plus or minus 100-basis-point change in interest rates measured from interest rates that are 200 basis points above or below the base case to no worse than –6.0% of the estimated market value of capital. In the case where a market risk sensitivity compliance metric cannot be estimated with a parallel shift in interest rates because of prevailing low interest rates, the sensitivity metric is not reported. The Bank’s measured market value of capital sensitivity was within the policy limits as of March 31, 2016.

To determine the Bank’s estimated risk sensitivities to interest rates for the market value of capital sensitivity, the Bank uses a third-party proprietary asset and liability system to calculate estimated market values under alternative interest rate scenarios. The system analyzes all of the Bank’s financial instruments, including derivatives, on a transaction-level basis using sophisticated valuation models with consistent and appropriate behavioral assumptions and current position data. The system also includes a third-party mortgage prepayment model.

At least annually, the Bank reexamines the major assumptions and methodologies used in the model, including interest rate curves, spreads for discounting, and mortgage prepayment assumptions. The Bank also compares the mortgage prepayment assumptions in the third-party model to other sources, including actual mortgage prepayment history.

The table below presents the sensitivity of the market value of capital (the market value of all of the Bank’s assets, liabilities, and associated interest rate exchange agreements, with mortgage assets valued using market spreads implied by current market prices) to changes in interest rates. The table presents the estimated percentage change in the Bank’s market value of capital that would be expected to result from changes in interest rates under different interest rate scenarios, using market spread assumptions. 

Market Value of Capital Sensitivity Estimated Percentage Change in Market Value of Bank Capital for Various Changes in Interest Rates
Interest Rate Scenario(1)	March 31, 2016		December 31, 2015
+200 basis-point change above current rates	–4.2	%	–5.0	%
+100 basis-point change above current rates	–2.0		–2.3
–100 basis-point change below current rates(2)	+3.6		+2.8
–200 basis-point change below current rates(2)	+9.2		+9.0

(1) Instantaneous change from actual rates at dates indicated.

(2) Interest rates for each maturity are limited to non-negative interest rates.

The Bank’s estimates of the sensitivity of the market value of capital to changes in interest rates as of March 31, 2016, are comparable to the estimates as of December 31, 2015. LIBOR interest rates as of March 31, 2016, were 12 basis points lower for the 1-year term, 54 basis points lower for the 5-year term, and 54 basis points lower for the 10-year term. Because interest rates in the declining rate scenarios are limited to non-negative interest rates and the current interest rate environment is so low, the interest rates in the declining rate scenarios cannot decrease to the same extent that the interest rates in the rising rate scenarios can increase.

The Bank's Risk Management Policy provides guidelines for the payment of dividends and the repurchase of excess capital stock based on the ratio of the Bank's estimated market value of total capital to par value of capital stock. If

99

this ratio at the end of any quarter is: (i) less than 100% but greater than or equal to 90%, any dividend would be limited to an annualized rate no greater than the daily average of the three-month LIBOR for the applicable quarter (subject to certain conditions), and any excess capital stock repurchases would not exceed $500 million (subject to certain conditions); (ii) less than 90% but greater than or equal to 70%, any dividend and any excess capital stock repurchases would be subject to the same limitations and conditions as in (i) above, except that any excess capital stock repurchases would not exceed 4% of the Bank's outstanding capital stock as of the repurchase date; and (iii) less than 70%, the Bank would not pay a dividend, not repurchase excess capital stock (but continue to redeem excess capital stock as provided in the Bank's Capital Plan), limit the acquisition of certain assets, and review the Bank's risk policies. A decision by the Board of Directors to declare or not declare any dividend or repurchase any excess capital stock is a discretionary matter and is subject to the requirements and restrictions of the FHLBank Act and applicable requirements under the regulations governing the operations of the FHLBanks. The ratio of the Bank's estimated market value of total capital to par value of capital stock was 210% as of March 31, 2016.

Adjusted Return on Capital – The adjusted return on capital is a measure used by the Bank to assess financial performance. The adjusted return on capital is based on current period economic earnings that exclude the effects of unrealized net gains or losses resulting from the Bank’s derivatives and associated hedged items and from financial instruments carried at fair value, which will generally reverse through changes in future valuations and settlements of contractual interest cash flows over the remaining contractual terms to maturity or by the call or put date of the assets and liabilities held under the fair value option, hedged assets and liabilities, and derivatives.Economic earnings also exclude the interest expense on mandatorily redeemable capital stock and the 20% of net income allocated to the Bank’s restricted retained earnings account in accordance with the FHLBanks’ JCE Agreement. Economic earnings exclude these amounts in order to more accurately reflect the amount of earnings that may be available to be paid as dividends to shareholders.

The Bank limits the sensitivity of projected financial performance through a Board of Directors policy limit on projected adverse changes in the adjusted return on capital. The Bank’s adjusted return on capital sensitivity policy limits the potential adverse impact of an instantaneous parallel shift of a plus or minus 200-basis-point change in interest rates from current rates (base case) to no worse than –120 basis points from the base case projected adjusted return on capital. In both the upward and downward shift scenarios, the adjusted return on capital for the projected 12-month horizon is not expected to deteriorate relative to the base case environment.

Duration Gap – Duration gap is the difference between the estimated durations (market value sensitivity) of assets and liabilities (including the impact of interest rate exchange agreements) and reflects the extent to which estimated maturity and repricing cash flows for assets and liabilities are matched. The Bank monitors duration gap analysis at the total Bank level and does not have a policy limit. The Bank’s duration gap was one month at March 31, 2016, and one month at December 31, 2015.

Total Bank Duration Gap Analysis
	March 31, 2016			December 31, 2015
	Amount (In millions)		Duration Gap(1)(2) (In months)	Amount (In millions)		Duration Gap(1)(2) (In months)
Assets	$	84,739	7	$	85,698	7
Liabilities	79,848		6	80,802		6
Net	$	4,891	1	$	4,896	1

(1) Duration gap values include the impact of interest rate exchange agreements.

(2) Because of the current low interest rate environment, the duration gap is estimated using an instantaneous, one-sided parallel change upward of 100 basis points from base case interest rates.

Segment Market Risk. The financial performance and interest rate risks of each business segment are managed within prescribed guidelines and policy limits.

100

Advances-Related Business – Interest rate risk arises from the advances-related business primarily through the use of shareholder-contributed capital and retained earnings to fund fixed rate investments of targeted amounts and maturities. In general, advances result in very little net interest rate risk for the Bank because most fixed rate advances with original maturities greater than three months and all advances with embedded options are simultaneously hedged with an interest rate swap or option with terms offsetting the advance. The interest rate swap or option generally is maintained as a hedge for the life of the advance. These hedged advances effectively create a pool of variable rate assets, which, in combination with the strategy of raising debt swapped to variable rate liabilities, creates an advances portfolio with low net interest rate risk.

Money market investments used for liquidity management generally have maturities of one month or less. In addition, the Bank invests in non-MBS agency securities, generally with terms of less than three years. These investments may be variable rate or fixed rate, and the interest rate risk resulting from the fixed rate coupon is hedged with an interest rate swap or fixed rate debt.

The interest rate risk in the advances-related business is primarily associated with the Bank’s strategy for investing capital (capital stock, including mandatorily redeemable capital stock, and retained earnings). The Bank’s strategy is generally to invest 50% of capital in short-term investments (maturities of three months or less) and 50% in intermediate-term investments (a laddered portfolio of investments with maturities of up to four years). However, this strategy may be altered from time to time depending on market conditions. The strategy to invest 50% of capital in short-term assets is intended to mitigate the market value of capital risks associated with the potential repurchase or redemption of excess capital stock. Excess capital stock usually results from a decline in a borrower’s outstanding advances or by a membership termination. Under the Bank’s capital plan, capital stock, when repurchased or redeemed, is required to be repurchased or redeemed at its par value of $100 per share, subject to certain regulatory and statutory limits. The strategy to invest 50% of capital in a laddered portfolio of investments with short to intermediate maturities is intended to take advantage of the higher earnings available from a generally positively sloped yield curve, when intermediate-term investments generally have higher yields than short-term investments.

The Bank updates the repricing and maturity gaps for actual asset, liability, and derivative transactions that occur in the advances-related segment each day. The Bank regularly compares the targeted repricing and maturity gaps to the actual repricing and maturity gaps to identify rebalancing needs for the targeted gaps. On a weekly basis, the Bank evaluates the projected impact of expected maturities and scheduled repricings of assets, liabilities, and interest rate exchange agreements on the interest rate risk of the advances-related segment. The analyses are prepared under base case and alternate interest rate scenarios to assess the effect of options embedded in the advances, related financing, and hedges. These analyses are also used to measure and manage potential reinvestment risk (when the remaining term of advances is shorter than the remaining term of the financing) and potential refinancing risk (when the remaining term of advances is longer than the remaining term of the financing).

Because of the short-term and variable rate nature of the assets, liabilities, and derivatives of the advances-related business, the Bank’s interest rate risk guidelines address the amounts of net assets that are expected to mature or reprice in a given period. The market value sensitivity analyses and net interest income simulations are also used to identify and measure risk and variances to the target interest rate risk exposure in the advances-related segment.

Mortgage-Related Business– The Bank’s mortgage assets include MBS, most of which are classified as held-to-maturity (HTM) or available-for-sale (AFS), with a small amount classified as trading, and mortgage loans held for portfolio purchased under the MPF Program. The Bank is exposed to interest rate risk from the mortgage-related business because the principal cash flows of the mortgage assets and the liabilities that fund them are not exactly matched through time and across all possible interest rate scenarios, given the impact of mortgage prepayments and the existence of interest rate caps on certain adjustable rate MBS.

The Bank purchases a mix of intermediate-term fixed rate and adjustable rate MBS. Generally, purchases of long-term fixed rate MBS have been relatively limited. Any MPF loans that have been acquired are medium- or long-

101

term fixed rate mortgage assets. This results in a mortgage portfolio that has a diversified set of interest rate risk attributes.

The estimated market risk of the mortgage-related business is managed both at the time an asset is purchased and on an ongoing basis for the total portfolio. At the time of purchase (for all significant mortgage asset acquisitions), the Bank analyzes the estimated earnings sensitivity and estimated market value sensitivity, taking into consideration the estimated mortgage prepayment sensitivity of the mortgage assets and anticipated funding and hedging activities under various interest rate scenarios. The related funding and hedging transactions are executed at or close to the time of purchase of a mortgage asset.

At least monthly, the Bank reviews the estimated market risk profile of the entire portfolio of mortgage assets and related funding and hedging transactions. The Bank then considers rebalancing strategies to modify the estimated mortgage portfolio market risk profile. Periodically, the Bank performs more in-depth analyses, which include an analysis of the impacts of non-parallel shifts in the yield curve and assessments of the impacts of unanticipated mortgage prepayment behavior. Based on these analyses, the Bank may take actions to rebalance the mortgage portfolio’s market risk profile. These rebalancing strategies may include entering into new funding and hedging transactions, forgoing or modifying certain funding or hedging transactions normally executed with new mortgage purchases, or terminating certain funding and hedging transactions for the mortgage asset portfolio.

The Bank manages the estimated interest rate risk associated with mortgage assets, including mortgage prepayment risk, through a combination of debt issuance and derivatives. The Bank may obtain funding through callable and non-callable FHLBank System debt and may execute derivative transactions to achieve principal cash flow patterns and market value sensitivities for the liabilities and derivatives that provide a significant offset to the interest rate and mortgage prepayment risks associated with the mortgage assets. Debt issued to finance mortgage assets may be fixed rate debt, callable fixed rate debt, or adjustable rate debt. Derivatives may be used as temporary hedges of anticipated debt issuance or long-term hedges of debt used to finance the mortgage assets. The derivatives used to hedge the interest rate risk of fixed rate mortgage assets generally may be callable and non-callable pay-fixed interest rate swaps. Derivatives may also be used to offset the interest rate cap risk embedded in adjustable rate MBS.

As discussed above in “Total Bank Market Risk – Market Value of Capital Sensitivity” the Bank uses market value of capital sensitivity as a primary market value metric for measuring the Bank’s exposure to interest rates. The Bank’s interest rate risk policies and guidelines for the mortgage-related business address the market value of capital sensitivity of the assets, liabilities, and derivatives of the mortgage-related business.

The following table presents results of the estimated market value of capital sensitivity analysis attributable to the mortgage-related business as of March 31, 2016, and December 31, 2015.

Market Value of Capital Sensitivity Estimated Percentage Change in Market Value of Bank Capital Attributable to the Mortgage-Related Business for Various Changes in Interest Rates
Interest Rate Scenario(1)	March 31, 2016		December 31, 2015
+200 basis-point change	–2.3	%	–3.0	%
+100 basis-point change	–1.1		–1.4
–100 basis-point change(2)	+2.2		+2.0
–200 basis-point change(2)	+4.1		+4.8

(1) Instantaneous change from actual rates at dates indicated.

(2) Interest rates for each maturity are limited to non-negative interest rates.

For the mortgage-related business, the Bank’s estimates of the sensitivity of the market value of capital to changes in interest rates as of March 31, 2016, are comparable to the estimates as of December 31, 2015. LIBOR interest

102

rates as of March 31, 2016, were 12 basis points lower for the 1-year term, 54 basis points lower for the 5-year term, and 54 basis points lower for the 10-year term. Because interest rates in the declining rate scenarios are limited to non-negative interest rates and the current interest rate environment is so low, the interest rates in the declining rate scenarios cannot decrease to the same extent that the interest rates in the rising rate scenarios can increase.

ITEM 4. CONTROLS AND PROCEDURES

Disclosure Controls and Procedures

The senior management of the Federal Home Loan Bank of San Francisco (Bank) is responsible for establishing and maintaining a system of disclosure controls and procedures designed to ensure that information required to be disclosed by the Bank in the reports filed or submitted under the Securities Exchange Act of 1934 (1934 Act) is recorded, processed, summarized, and reported within the time periods specified in the rules and forms of the Securities and Exchange Commission. The Bank’s disclosure controls and procedures include, without limitation, controls and procedures designed to ensure that information required to be disclosed by the Bank in the reports that it files or submits under the 1934 Act is accumulated and communicated to the Bank’s management, including its principal executive officer or officers and principal financial officer or officers, or persons performing similar functions, as appropriate to allow timely decisions regarding required disclosure. In designing and evaluating the Bank’s disclosure controls and procedures, the Bank’s management recognizes that any controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives, and the Bank’s management necessarily is required to apply its judgment in evaluating the cost-benefit relationship of controls and procedures.

Management of the Bank has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with the participation of the president and chief executive officer, executive vice president and chief operating officer, and senior vice president and chief financial officer as of the end of the period covered by this report. Based on that evaluation, the Bank’s president and chief executive officer, executive vice president and chief operating officer, and senior vice president and chief financial officer have concluded that the Bank’s disclosure controls and procedures were effective at a reasonable assurance level as of the end of the period covered by this report.

Internal Control Over Financial Reporting

During the three months ended March 31, 2016, there were no changes in the Bank’s internal control over financial reporting that have materially affected, or are reasonably likely to materially affect, the Bank’s internal control over financial reporting.

Consolidated Obligations

The Bank’s disclosure controls and procedures include controls and procedures for accumulating and communicating information in compliance with the Bank’s disclosure and financial reporting requirements relating to the joint and several liability for the consolidated obligations of the Federal Home Loan Banks (FHLBanks). Because the FHLBanks are independently managed and operated, the Bank’s management relies on information that is provided or disseminated by the Federal Housing Finance Agency (Finance Agency), the Office of Finance, and the other FHLBanks, as well as on published FHLBank credit ratings, in determining whether the joint and several liability regulation is reasonably likely to result in a direct obligation for the Bank or whether it is reasonably possible that the Bank will accrue a direct liability.

The Bank’s management also relies on the operation of the joint and several liability regulation. The joint and several liability regulation requires that each FHLBank file with the Finance Agency a quarterly certification that it will remain capable of making full and timely payment of all of its current obligations, including direct obligations, coming due during the next quarter. In addition, if an FHLBank cannot make such a certification or if it projects that it may be unable to meet its current obligations during the next quarter on a timely basis, it must file a notice with

103

the Finance Agency. Under the joint and several liability regulation, the Finance Agency may order any FHLBank to make principal and interest payments on any consolidated obligations of any other FHLBank, or allocate the outstanding liability of an FHLBank among all remaining FHLBanks on a pro rata basis in proportion to each FHLBank’s participation in all consolidated obligations outstanding or on any other basis.

PART II. OTHER INFORMATION

ITEM 1. LEGAL PROCEEDINGS

The Federal Home Loan Bank of San Francisco (Bank) may be subject to various legal proceedings arising in the normal course of business.

In 2010, the Bank filed two complaints in the Superior Court of the State of California, County of San Francisco (San Francisco Superior Court), relating to the purchase of private-label residential mortgage-backed securities (PLRMBS). The Bank seeks rescission and asserts claims for and violations of the California Corporate Securities Act and common law rescission of contract.

In March 2016, the Bank entered into settlement agreements with certain defendants in connection with the Bank’s PLRMBS litigation for the gross aggregate amount of $265 million, resulting in a gain of $211 million (after netting certain legal fees and expenses and, with respect to certain claims, excluding an additional amount that is subject to the outcome of potential future events). The Bank’s litigation continues against various dealers and underwriters. For a further discussion of this litigation, see “Part I. Item 3. Legal Proceedings” in the Bank’s Annual Report on Form 10-K for the year ended December 31, 2015.

The current defendants in the first complaint are: J.P. Morgan Securities, Inc. (formerly known as Bear, Stearns & Co. Inc., and referred to as Bear Stearns) involving certificates sold by Bear Stearns to the Bank in an amount paid of approximately $609 million; Credit Suisse Securities (USA) LLC (formerly known as Credit Suisse First Boston LLC, and referred to as Credit Suisse) involving certificates sold by Credit Suisse to the Bank in an amount paid of approximately $1.1 billion; Morgan Stanley & Co. Incorporated (Morgan Stanley) involving certificates sold by Morgan Stanley to the Bank in an amount paid of approximately $276 million; and WaMu Capital Corp. (WaMu) involving certificates sold by WaMu to the Bank in the amount paid of approximately $637 million.

The current defendants in the second complaint are: Credit Suisse involving certificates sold by Credit Suisse to the Bank in an amount paid of approximately $664 million; Deutsche Bank Securities Inc. (Deutsche) involving certificates sold by Deutsche to the Bank in an amount paid of approximately $1.2 billion; and Bear Stearns involving certificates that Bear Stearns sold to the Bank in an amount paid of approximately $1.9 billion.

The San Francisco Superior Court has scheduled a series of trials for the remaining claims in 2016 and 2017.

After consultation with legal counsel, the Bank is not aware of any other legal proceedings that are expected to have a material effect on its financial condition or results of operations or that are otherwise material to the Bank.

ITEM 1A. RISK FACTORS

For a discussion of risk factors, see “Part I. Item 1A. Risk Factors” in the Bank’s 2015 Form 10-K. There have been no material changes from the risk factors disclosed in the “Part I. Item 1A. Risk Factors” section of the Bank’s 2015 Form 10-K.

104

ITEM 6.    EXHIBITS

Exhibit No.	Description
3.1	Bylaws of the Federal Home Loan Bank of San Francisco, as amended and restated on March 16, 2016
10.1	Employment Agreement by and among the Federal Home Loan Bank of San Francisco and John Gregory Seibly, dated April 26, 2016
10.2	Supplemental Executive Retirement Plan, as amended and restated on July 1, 2013 (including 2016 Amendment)
31.1	Certification of the President and Chief Executive Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
31.2	Certification of the Chief Operating Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
31.3	Certification of the Chief Financial Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
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
32.2	Certification of the Chief Operating Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
32.3	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
101	Pursuant to Rule 405 of Regulation S-T, the following financial information from the Bank's quarterly report on Form 10-Q for the period ended March 31, 2016, is formatted in XBRL interactive data files: (i) Statements of Condition at March 31, 2016, and December 31, 2015; (ii) Statements of Income for the Three Months Ended March 31, 2016 and 2015; (iii) Statements of Comprehensive Income for the Three Months Ended March 31, 2016 and 2015; (iv) Statements of Capital Accounts for the Three Months Ended March 31, 2016 and 2015; (v) Statements of Cash Flows for the Three Months Ended March 31, 2016 and 2015; and (vi) Notes to Financial Statements.

.

105

SIGNATURES

Pursuant to the requirements 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, on May 6, 2016.

Federal Home Loan Bank of San Francisco

/S/ DEAN SCHULTZ

Dean Schultz
President and Chief Executive Officer

/S/ LISA B. MACMILLEN

Lisa B. MacMillen

Executive Vice President and Chief Operating Officer

/S/ KENNETH C. MILLER

Kenneth C. Miller Senior Vice President and Chief Financial Officer

(Principal Financial Officer)

106

EX-3.1

Exhibit 3.1

BYLAWS

of the

FEDERAL HOME LOAN BANK OF SAN FRANCISCO

As Amended and Restated on March 16, 2016

Approved 3/16/16    

CONTENTS

Article I	OFFICES
	Sec. 1	Principal Office
	Sec. 2	Other Offices
Article II	MEMBER MEETINGS
	Sec. 1	Meetings
	Sec. 2	Member Voting
Article III	BOARD OF DIRECTORS
	Sec. 1	Board Composition and Director Elections
	Sec. 2	Regular Meetings
	Sec. 3	Special Meetings
	Sec. 4	Quorum; Voting
	Sec. 5	Officers of the Board of Directors
	Sec. 6	Presiding Officers; Acting Officers
	Sec. 7	Removal of Officers of the Board of Directors
	Sec. 8	Order of Business; Minutes
	Sec. 9	Bank Policies and Plans
	Sec. 10	Action by Written Consent
	Sec. 11	Vacancies
	Sec. 12	Director Compensation
Article IV	COMMITTEES OF THE BOARD OF DIRECTORS
	Sec. 1	General Provisions
	Sec. 2	Audit Committee
	Sec. 3	Risk Committee
	Sec. 4	Meetings
Article V	OFFICERS AND EMPLOYEES
	Sec. 1	Officers
	Sec. 2	Employees
	Sec. 3	Compensation
	Sec. 4	Acting President
Article VI	CAPITAL STOCK
	Sec. 1	Manner of Executing
	Sec. 2	Transfers
	Sec. 3	Dividends
Article VII	GENERAL PROVISIONS
	Sec. 1	Budgets
	Sec. 2	Bonds and Insurance
	Sec. 3	Indemnification
	Sec. 4	Limitation of Liability
	Sec. 5	Signing of Papers
	Sec. 6	Operations; Federal Housing Finance Agency Approval
	Sec. 7	Fiscal Year
	Sec. 8	Amendment and Construction of Bylaws
	Sec. 9	Corporate Seal
	Sec. 10	Designation of Law for Corporate Governance and Indemnification Practices and Procedures
Article VIII	EMERGENCY BYLAWS
	Sec. 1	Emergency
	Sec. 2	Meetings
	Sec. 3	Quorum
	Sec. 4	Bylaws
	Sec. 5	Liability
	Sec. 6	Repeal or Change

Approved 3/16/16 Page i

FEDERAL HOME LOAN BANK OF SAN FRANCISCO

BYLAWS

ARTICLE I

Offices

Section 1.    Principal Office: The principal office of the Federal Home Loan Bank of San Francisco (Bank) is to be located in the City and County of San Francisco, State of California.

Section 2.    Other Offices: In addition to its principal office, the Bank may maintain offices at any other place or places, as may be designated from time to time by the Board of Directors.

ARTICLE II

Member Meetings

Section 1.    Meetings: Meetings of the members of the Bank shall be called upon the written request of the chief executive officer of the Bank or any eight members of the Board of Directors. The Board of Directors shall designate the time and place for such meeting, to be held not less than fifteen days nor more than sixty days after such request. Should the Board of Directors fail to act for a period of thirty days after the request for such meeting, the Secretary of the Bank shall designate a time and place. The Secretary of the Bank shall mail a notice of such meeting to each member of the Bank at its last known address as shown on the records of the Bank. Such notice shall be sent at least ten days before such meeting and shall contain a statement of the purpose and the time and place of the meeting.

The chairman of the Board of Directors, or in his or her absence the vice chairman, or in the absence of both of these officers, the President of the Bank, shall preside at each meeting of the members. Minutes of each meeting of the members shall be prepared by the Secretary of the Bank and shall be approved by the Board of Directors.

Section 2.Member Voting: The members shall be entitled to vote in connection with the election of directors in accordance with the provisions of the Federal Home Loan Bank Act, as amended, the Federal Housing Enterprises Financial Safety and Soundness Act of 1992, as amended, (together, the Acts) and the rules and regulations of the Federal Housing Finance Agency as in effect from time to time (Rules and Regulations), and the director election procedures as established by the Board of Directors in accordance with the requirements of the Acts and the Rules and Regulations. The members shall also be entitled to vote on such other matters as expressly provided for in the Acts and the Rules and Regulations, in accordance with the requirements of the Acts and the Rules and Regulations.

Approved 3/16/16 Page 1

ARTICLE III

Board of Directors

Section 1.    Board Composition and Director Elections

(a)    Number, Qualifications, and Eligibility: The Board of Directors shall consist of thirteen members or such other number of members as established by the Federal Housing Finance Agency, from time to time, each of whom shall at all times meet the standards for eligibility set forth in the Acts and the Rules and Regulations. The directors shall be nominated and elected in such manner and for such terms of office as provided by the Acts and the Rules and Regulations. Directors are divided into two classes: (1) those who are officers or directors of a member of the Bank (“member directors”); and (2) those who are not member directors, but are elected by a plurality of the votes of the members of the Bank from among eligible persons nominated by the Board of Directors after consultation with the Affordable Housing Advisory Council of the Bank (“independent directors”). Member directors must constitute at least a majority, but no more than sixty percent, of the members of the Board of Directors, and independent directors must constitute at least forty percent of the members of the Board of Directors. At least two independent directors must also qualify as public interest directors. Annually, the Board shall determine how many, if any, of the independent director positions with terms beginning the following January 1 shall be public interest director positions, provided the Bank at all times has at least two public interest director positions. Independent directors shall be elected in an at-large election by a plurality of the members entitled to vote, with each member having the same number of votes as it has with respect to the election of member directors, determined as specified in the Acts and the Rules and Regulations. Member directors shall be elected as representing members located in a particular State, in the manner and with the number of votes specified in the Acts and the Rules and Regulations.

(b)    Nominations for Independent Director Positions: The committee of the Board of Directors responsible for corporate governance (“Governance Committee”) shall make recommendations to the Board of Directors regarding nominations for independent director positions. The Bank may solicit potential nominees for independent director positions from members; trade groups; organizations representing affordable housing, economic development, consumer or community interests; or other interested parties. The Governance Committee shall review applications and other information submitted by potential nominees, and shall consider for nomination only those individuals who meet the eligibility requirements and knowledge or experience qualifications for the independent director positions as set forth in the Acts and Rules and Regulations. Before recommending for nomination any individual for an independent director position, the Governance Committee shall review the potential nominees with the Affordable Housing Advisory Council and shall consider the Council’s comments in making a recommendation to the Board of Directors. The Board of Directors, by a majority vote of the Directors present at a meeting, a quorum being present (excluding any Director who is not disinterested), shall nominate at least as many qualified individuals as there are independent director positions to be filled in that election.

Section 2.    Regular Meetings: Regular meetings of the Board of Directors may be held at such time and place as shall be determined from time to time by resolution of the Board of Directors; provided, however, that regular meetings shall be held at least six times a year. Regular meetings

Approved 3/16/16 Page 2

may be held without notice thereof, or the Board of Directors by resolution may direct the Secretary of the Bank to give three days' notice of each regular meeting to each director.

Section 3.    Special Meetings: Special meetings of the Board of Directors may be called by the chairman of the Board of Directors or the chief executive officer of the Bank on at least forty-eight hours’ written notice (which may be by facsimile or email) to each director, and shall be called upon like notice by the Secretary of the Bank on the written request of four members of the Board of Directors (or the written request of two members of the Board of Directors, in the case of a special meeting to be held by telephone conference call) stating the reasons therefor. The notice of such special meeting shall designate the time and place of such meeting and shall contain a statement of the purpose or purposes of such meeting. Special meetings may be held without previous notice if all of the directors are actually present, or notice may be waived by any director before or after any such meeting. For any meeting held by telephone conference call, all members of the Board of Directors participating in the meeting must be able to hear and be heard by all other persons participating in the meeting.

Section 4.    Quorum; Voting: At any regular or special meeting of the Board of Directors, a majority of those authorized to act as directors shall constitute a quorum for the transaction of business. The majority of the directors present at any meeting, a quorum being present, shall conduct the business of the Board of Directors.

Section 5.    Officers of the Board of Directors: The officers of the Board of Directors shall be a chairman and a vice chairman, each of whom shall be elected for a two-year term by a majority of the directors from among the directors. The officers shall have such duties as are usually incident to their respective offices and such as may be assigned to them by the Board of Directors.

Section 6.    Presiding Officers; Acting Officers: At all meetings of the Board of Directors, the chairman, or in his or her absence the vice chairman, or in the absence of both of these officers, a chairman pro tempore selected by vote of a majority of the directors present at the meeting, shall preside. If the position of chairman is vacant or if a majority of the directors determines by action of the Board of Directors that the chairman is more than temporarily unable to carry out the duties of office, the vice chairman shall act as chairman until the next regular or special meeting of the Board of Directors, at which meeting the Board of Directors shall by majority vote elect a new chairman to complete the chairman’s term. If the position of vice chairman is vacant or if a majority of the directors determines by action of the Board of Directors that the vice chairman is more than temporarily unable to carry out the duties of office, the chairman of the Finance Committee of the Board of Directors shall serve as the acting vice chairman until the next regular or special meeting of the Board of Directors, at which meeting the Board of Directors shall by majority vote elect a new vice chairman to complete the vice chairman’s term. An acting officer of the Board of Directors shall have all the powers of the incumbent office.

Section 7.    Removal of Officers of the Board of Directors: A chairman, vice chairman, or acting chairman or vice chairman of the Board of Directors may be removed from his or her position as an officer of the Board of Directors for good cause by vote of a majority of the directors. A successor to the officer being removed shall then be elected by a majority of the directors from among the directors to complete the officer’s remaining term.

Section 8.    Order of Business; Minutes: At meetings of the Board of Directors, business shall be transacted in such order as,from time to time, the Board of Directors may determine. Minutes

Approved 3/16/16 Page 3

of each meeting of the Board of Directors shall be prepared by the Secretary of the Bank and shall be approved by the Board of Directors.

Section 9.    Bank Policies and Plans: In accordance with the Acts and the Rules and Regulations, the Board of Directors shall adopt and review from time to time such Bank policies and plans as may be required by the Acts and the Rules and Regulations to be approved by the Board of Directors.

Section 10.    Action by Written Consent: Any action required or permitted to be taken at any meeting of the Board of Directors may be taken without a meeting if all members of the Board of Directors consent thereto in writing (which may be by facsimile or email) and the writing is maintained as a record of the Bank with the minutes of the proceedings of the Board of Directors.

Section 11.    Vacancies: When any vacancy in a director position occurs, including as a result of a determination by the Bank or the Federal Housing Finance Agency that any director of the Bank no longer satisfies the eligibility requirements set forth in the Acts and the Rules and Regulations, or that a director has failed to comply with the reporting requirements of the Acts and the Rules and Regulations, the Board of Directors of the Bank shall select, by a majority vote of the remaining Bank directors sitting as a board, an individual to fill the unexpired term of vacant director position, regardless of whether the remaining Bank directors constitute a quorum of the Bank’s Board of Directors. The Board of Directors of the Bank shall select to a vacant director position an individual who satisfies all of the eligibility requirements and any of the qualification requirements set forth in the Acts and the Rules and Regulations, except that if the vacant director position is a public interest director position and the Bank has at least two other public interest director positions that are not vacant, the Board of Directors may select any individual who is eligible and qualified for any independent director position. Prior to the Board of Director’s selection of any individual to fill a vacancy on the Board of Directors, the Bank must verify an individual’s eligibility to serve in the manner required by the Federal Housing Finance Agency before allowing such individual to assume the director position.

Section 12.    Director Compensation: The Board of Directors shall annually adopt a written policy to provide for payment of compensation and expenses to the directors in accordance with the Acts and the Rules and Regulations.

ARTICLE IV

Committees of the Board of Directors

Section 1.     General Provisions: The Board of Directors shall establish such committees of the Board as are required by the Acts and the Rules and Regulations, and may establish such other committees, including an executive committee, as the Board of Directors deems necessary or appropriate, each committee to consist of three or more directors. The Board of Directors shall designate the chair, vice chair and other members of each committee. Each committee shall have and may exercise such power and authority as may be established by the Board of Directors and, if applicable, specified in the Acts and the Rules and Regulations. For each committee, the Board of Directors shall adopt a charter that sets forth the purpose and operations of the committee and meets such other criteria as may be specified in the Acts and the Rules and Regulations.

Section 2.    Audit Committee: The Board of Directors shall establish an Audit Committee, which shall consist of at least five directors meeting the criteria established by the Acts and the Rules and

Approved 3/16/16 Page 4

Regulations. The Board of Directors may by resolution from time to time change the members of the Audit Committee. The Audit Committee shall have and may exercise such power and authority as may be established by the Board of Directors and as specified in the Acts and the Rules and Regulations.

Section 3.     Risk Committee: The Board of Directors shall establish a Risk Committee, which shall consist of three or more directors meeting the criteria established by the Acts and the Rules and Regulations. The Board of Directors may by resolution from time to time change the members of the Risk Committee. The Risk Committee shall have and may exercise such power and authority as may be established by the Board of Directors and as specified in the Acts and the Rules and Regulations.

Section 4.    Meetings: The business of each committee of the Board of Directors shall be conducted in all material respects in the same manner as provided in these Bylaws for the conduct of business by the Board of Directors. Regular meetings of a committee may be held at such time and place as shall be determined by the Board of Directors or the committee upon at least forty-eight hours’ written notice (which may be by facsimile or email) to each member of the committee. Special meetings of a committee may be called by the Board of Directors or the chairman of the committee or the chief executive officer of the Bank on at least forty-eight hours’ written notice (which may be by facsimile or email) to each member of the committee, such notice designating the time and place of such meeting and containing a statement of the purpose of the meeting. Special meetings of a committee may be held without previous notice if all of the members of the committee are actually present, or notice may be waived by any committee member before or after any such meeting. Any regular or special committee meeting may be held by telephone conference call during which all members of the committee participating in the meeting are able to hear and be heard by all other persons participating in the meeting. For any committee meeting, a majority of directors who are members of the committee shall constitute a quorum for the transaction of business; the majority of the committee members present at any meeting, a quorum being present, shall conduct the business of the committee. Any action required or permitted to be taken at any meeting of a committee may be taken without a meeting if all members of the committee consent thereto in writing(which may be by facsimile or email), and the writing is maintained as a record of the Bank with the minutes of the proceedings of the committee. Minutes of each committee meeting shall be prepared by the Secretary of the Bank and shall be approved by the Board of Directors.

ARTICLE V

Officers and Employees

Section 1.    Officers: The corporate officers of the Bank shall be a President, one or more Vice Presidents (including any Executive Vice President, Senior Vice President or Vice President, but not including any Assistant Vice President), and a Secretary, and such other corporate officers, who shall have such authority and shall perform such duties as are usually incident to their respective offices and as the Board of Directors shall prescribe. The President shall be the chief executive officer of the Bank and shall be primarily responsible for the operation and management of the Bank. To the extent not inconsistent with the Acts and the Rules and Regulations, one person may hold any two offices. The Board of Directors shall elect corporate officers at the level of Senior Vice President and above each calendar year. The President may appoint any Vice President (but not any Executive Vice President or Senior Vice President) as a corporate officer, and may also appoint additional officers, including any Assistant Vice President, as functional officers. Functional officers shall hold

Approved 3/16/16 Page 5

management positions that report directly to a corporate officer and shall have such powers and duties as are usually incident to their respective offices and as may be assigned to them by the President or by the corporate officers. Each officer of the Bank shall serve at the pleasure of the Bank and shall devote his or her time, skill and energy to the business of the Bank, unless the contrary is expressly approved by the Board of Directors. The corporate officers of the Bank may extend or deny credit and take such other action as is in conformity with the policies of the Bank, the Acts and the Rules and Regulations.

Section 2.    Employees: The Bank shall also have such other employees as the Board of Directors may authorize or whose appointment the Board of Directors may ratify. Employees of the Bank shall serve at the pleasure of the Bank and shall have such duties as are usually incident to their respective positions and as may be assigned to them by the President or other officers of the Bank.

Section 3.    Compensation: The Board of Directors shall fix the compensation of the President and other officers at the level of Senior Vice President and above. The compensation of all other officers and employees of the Bank shall be fixed by the President and shall be within the annual operating expense budgets approved for the Bank by the Board of Directors.

Section 4.    Acting President: The Board of Directors may from time to time designate an individual to act as President in the event of the resignation, removal, death or incapacity of the elected President. Such acting President shall have all of the powers conferred upon the President under these Bylaws, by resolution of the Board of Directors or any committee or by applicable law, and shall hold such position until such time as the elected President shall no longer be incapacitated or until such time as the Board of Directors shall elect a successor President.

ARTICLE VI

Capital Stock

Section 1.    Manner of Executing: The Bank may issue or cause to be issued to each member a certificate or written verification in such form as the Bank may determine certifying the number of shares of Bank stock owned by the member.

Section 2.    Transfers: Subject to the provisions of the Acts, the Rules and Regulations, and the Bank’s Capital Plan, Bank stock shall be transferable only upon the records of the Bank upon the request of a duly authorized representative of the holder. Each transfer shall be recorded and a record of each transfer shall be maintained as a record of the Bank.

Section 3.    Dividends: Dividends may be declared by the Board of Directors at its discretion, provided that such dividends shall be declared and paid in the manner prescribed by the Acts, the Rules and Regulations, and the Bank’s Capital Plan.

ARTICLE VII

General Provisions

Section 1.    Budgets: The Board of Directors shall annually adopt an operating expense budget and a capital expenditures budget (subject to amendment from time to time, as determined by the

Approved 3/16/16 Page 6

Board of Directors) and shall take such actions with respect to such budgets as are required by the Acts and the Rules and Regulations.

Section 2.    Bonds and Insurance: The Bank shall maintain adequate financial institution crime or fidelity bonds or similar bonds or insurance covering all officers, employees, attorneys, or agents having control over or access to monies or securities owned by the Bank or in its possession.

Section 3.    Indemnification:

(a)    Actions Other than By or in the Right of the Bank. The Bank shall have power to indemnify any person who was or is a party or is threatened to be made a party to any threatened, pending or completed action, suit or proceeding, whether civil, criminal, administrative or investigative and whether formal or informal (other than an action by or in the right of the Bank) by reason of the fact that he or she is or was a director, officer, employee, manager, trustee or agent of the Bank, or is or was serving at the request of the Bank as a director, officer, employee, manager, trustee or agent of another corporation, partnership, limited liability company, joint venture, trust or other enterprise, or any joint office (including the Office of Finance), committee or council of the Federal Home Loan Banks, the Financing Corporation, the Resolution Funding Corporation or any other instrumentality or agency of the United States government, against expenses (including costs and attorneys' fees), judgments, fines and amounts paid in settlement actually and reasonably incurred by him or her in connection with such action, suit or proceeding if he or she acted in good faith and in a manner he or she reasonably believed to be in or not opposed to the best interests of the Bank,and, with respect to any criminal action or proceeding, had no reasonable cause to believe his or herconduct was unlawful. The termination of any action, suit or proceeding by judgment, order, settlement, conviction, or upon a plea of nolo contendere or its equivalent, shall not, of itself, create a presumption that the person did not act in good faith and in a manner which he or she reasonably believed to be in or not opposed to the best interests of the Bank, and, with respect to any criminal action or proceeding, had reasonable cause to believe that his or her conduct was unlawful.

(b)    Actions By or in the Right of the Bank. The Bank shall have power to indemnify any person who was or is a party or is threatened to be made a party to any threatened, pending or completed action or suit by or in the right of the Bank to procure a judgment in its favor by reason of the fact that he or she is or was a director, officer, employee, manager, trustee or agent of the Bank, or is or was serving at the request of the Bank as a director, officer, employee, manager, trustee or agent of another corporation, partnership, limited liability company, joint venture, trust or other enterprise, or any joint office (including the Office of Finance), committee or council of the Federal Home Loan Banks, the Financing Corporation, the Resolution Funding Corporation or any other instrumentality or agency of the United States government, against expenses (including costs andattorneys' fees) actually and reasonably incurred by him or her or in connection with the defense or settlement of such action or suit if he or she acted in good faith and in a manner he or she reasonably believed to be in or not opposed to the best interests of the Bank, except that no indemnification shall be made in respect of any claim, issue or matter as to which such person shall have been adjudged to be liable to the Bank, unless and only to the extent that the court in which such action or suit was brought shall determine upon application that, despite the adjudication of liability but in view of all the circumstances of the case, such person is fairly and reasonably entitled to indemnity for such expenses which such court shall deem proper. As used in this paragraph, the term "expenses" includes, without limitation, attorneys' fees and any expenses of successfully establishing a right to indemnification under this section.

Approved 3/16/16 Page 7

(c)    Entitlement to Indemnification. To the extent that a current or former director, officer, employee, manager, trustee or agent of the Bank has been successful on the merits or otherwise in defense of any action, suit or proceeding referred to in subsections (a) and (b) of this section, or in defense of any claim, issue or matter therein, such person shall be indemnified against expenses (including costs and attorneys’ fees) actually and reasonably incurred by such person in connection therewith.

(d)    Authorization of Indemnification under paragraphs (a) and (b). Except as provided in paragraph (c), any indemnification under paragraphs (a) and (b) (unless ordered by a court) shall be made by the Bank only as authorized in the specific case upon a determination that indemnification of the current or former director, officer, employee, manager, trustee or agent is proper in the circumstances because such person has met the applicable standard of conduct set forth in paragraphs (a) and (b). Such determination shall be made (1) by a majority vote of the directors who are not parties to such action, suit or proceeding, even though less than a quorum, (2) by a committee of such directors designated by majority vote of such directors, even though less than a quorum, or (3)if there are no such directors, or if such directors so direct, by independent legal counsel in a written opinion.

(e)    Right of Indemnitees to Bring Suit. In the event any indemnification provided by paragraphs (a) and (b) of this section is not made in full within ninety days after a written claim therefor has been received by the Bank from a director, officer, employee, manager, trustee or agent entitled to indemnification pursuant to paragraph (c) of this section or as to whom indemnification has been authorized pursuant to paragraph (d) of this section, the claimant may at any time thereafter, subject to any arbitration or other agreement between the claimant and the Bank, bring suit against the Bank to recover the unpaid amount of the claim for indemnification and, if successful in whole or in part, the claimant shall be entitled to recover also the expense of prosecuting such claim for indemnification.

(f)    Advance Payment of Expenses. Expenses (including costs and attorneys’ fees) incurred by a director, officer, employee, manager, trustee or agent in defending any civil, criminal, administrative or investigative action, suit or proceeding may be paid by the Bank in advance of the final disposition of such action, suit or proceeding upon receipt of an undertaking by or on behalf of such person to repay such amount if it shall ultimately be determined that such person is not entitled to be indemnified by the Bank as authorized in this section. Such expenses (including costs and attorneys’ fees) incurred by former directors and officers or other employees and agents and trustees may be so paid upon such terms and conditions, if any, as the Bank deems appropriate. Without limiting the foregoing, an unsecured undertaking to repay the Bank in the event such person is ultimately determined not to be entitled to indemnification shall be considered a reasonable condition upon which to advance such costs and expenses.

(g)    Rights Not Exclusive. The indemnification and advancement of expenses provided by this section shall not be deemed exclusive of any other rights to which anyone seeking indemnification or advancement of expenses may be entitled under any other provisions of these Bylaws, any agreement providing for indemnification or advancement of expenses, any vote of disinterested directors or otherwise, both as to action in his or her official capacity and as to action in another capacity while holding such office. A right to indemnification or to advancement of expenses arising under these Bylaws shall not be eliminated or impaired by an amendment to these Bylaws after the occurrence of the act or omission that is the subject of the action, suit or proceeding,

Approved 3/16/16 Page 8

whether civil, criminal, administrative or investigative and whether formal or informal, for which indemnification or advancement of expenses is sought.

(h)    Insurance. The Bank shall have power to purchase and maintain insurance on behalf of any person who is or was a director, officer, employee, manager, trustee or agent of the Bank, or is or was serving at the request of the Bank as a director, officer, employee, manager, trustee or agent of another corporation, partnership, limited liability company, joint venture, trust or other enterprise, or any joint office (including the Office of Finance), committee or council of the Federal Home Loan Banks, the Financing Corporation, the Resolution Funding Corporation or any other instrumentality or agency of the United States government, against any liability asserted against and incurred by such person in any such capacity or arising out of his or her status as such, whether or not the Bank would have the power to indemnify such person against such liability under the provisions of this section.

(i)    Certain Definitions. For purposes of this section, references to: (1) "other enterprises" shall include employee benefit plans; (2) "fines" shall include any excise taxes assessed on a person with respect to an employee benefit plan; and (3) "serving at the request of the Bank" shall include any service as a director, officer, employee, manager, trustee or agent of the Bank which imposes duties on, or involves services by, such director, officer, employee, manager, trustee or agent with respect to an employee benefit plan, its participants or beneficiaries. A person who acted in good faith and in a manner he or she reasonably believed to be in the interest of the participants and beneficiaries of an employee benefit plan shall be deemed to have acted in a manner "not opposed to the best interests of the Bank" as set forth in this section. References to "action," "suit" or "proceeding" shall include any appeal or other proceeding for review.

(j)    Successors to Indemnitees. The indemnification and advancement of expenses provided by this section or otherwise granted by the Bank shall, unless otherwise provided when authorized or ratified, continue as to a person who has ceased to be a director, officer, employee, manager, trustee or agent and shall inure to the benefit of the heirs, executors, administrators and other legal representatives of such aperson.

(k)Prohibited Payments. The Bank shall not make any indemnification payments to any person under paragraphs (a), (b) or (c) of this section if such payment is prohibited by an order issued by the Director of the Federal Housing Finance Agency.

Section 4.    Limitation of Liability. To the fullest extent permitted by Delaware statutory and decisional law, as amended or interpreted, no current or former director shall be personally liable to the Bank or its shareholders for monetary damages for breach of fiduciary duty as a director of the Bank.

Section 5.    Signing of Papers: All agreements, instruments, and other documents binding the Bank, except checks and agreements relating to real property leases, shall be signed in the name of the Bank by the President or any Executive Vice President or Senior Vice President, or by any two employees authorized for that purpose by the President, at least one of whom shall be an officer or a manager, administrator or other employee of equal or greater rank. Checks, orders for payment, notes or other evidences of indebtedness issued in the name of the Bank shall be signed in the name of the Bank as determined by the Board of Directors from time to time. Real property leases, real property lease extensions, and other lease amendments shall be signed by the President, the Chief Operating Officer, or the Chief Financial Officer.

Approved 3/16/16 Page 9

Section 6.    Operations; Federal Housing Finance Agency Approval: The Bank shall operate and do business within the provisions of the Acts, the Rules and Regulations, its certificate of organization, and these Bylaws. Where these Bylaws require or permit an action to be taken by the Bank, the Board of Directors or any of the Bank’s officers or employees, which action requires the prior approval or notice without objection of the Federal Housing Finance Agency under the provisions of the Acts, the Rules and Regulations or the policies of the Federal Housing Finance Agency, such approval or notice without objection of the Federal Housing Finance Agency shall be obtained or given, as appropriate, prior to such action taking effect.

Section 7.    Fiscal Year: The fiscal year of the Bank shall begin on the first day of January.

Section 8.    Amendment and Construction of Bylaws: These Bylaws may be amended by the affirmative vote of a majority of the Board of Directors at any regular or special meeting of the Board of Directors, provided that each director shall have been given notice of the proposed amendment and of the form of such amendment at least five days preceding any meeting called for such purpose. The Bylaws may be amended by the affirmative vote of a majority of the Board of Directors at any regular meeting without written notice of the proposed amendment and of the form of the amendment being given to each director, provided that the form of the proposed amendment has been submitted to the Board for consideration at the previous regular meeting of the Board of Directors and has been incorporated in the minutes of said meeting.

Section 9.    Corporate Seal: The seal of the Bank shall be in the charge of the Secretary of the Bank and may be used, as needed, by the Secretary and such Bank officer(s) as may be designated in writing by the Secretary.

Section 10.    Designation of Law for Corporate Governance and Indemnification Practices and Procedures:To the extent not inconsistent with applicable federal law, including, but not limited to, the Acts and the Rules and Regulations, and pursuant and subject to 12 C.F.R. Part 1239 (or applicable successor provisions), the Bank has elected to follow the corporate governance and indemnification practices and procedures of the Delaware General Corporation Law and as provided by Delaware decisional law, as the same may be amended or interpreted. The rights of Bank members and shareholders are conferred by the Acts and the Rules and Regulations, not by any provision of state law. Nothing in these Bylaws shall create or be deemed to create any rights under the laws of Delaware or otherwise, in any third party, including any member or shareholder of the Bank, including without limitation, rights with respect to shareholder procedures, shareholder actions, dividends, stock, assets, liabilities, business combinations, stock ownership, director nominations, elections, removals and vacancies, liquidations, derivative actions, Bylaw amendments, voting, inspection, meeting mechanics, or other shareholder procedural provisions, nor shall anything in these Bylaws cause or be deemed to cause the Bank, or its directors, officers or employees to become subject to the jurisdiction of any state court.

ARTICLE VIII

Emergency Bylaws

Section 1.    Emergency: This Article VIII shall be operative if a meeting or action of the Board of Directors is requested or required during the existence of any catastrophe or other similar emergency conditionas a result of which a meeting consisting of a quorum of the Board of Directors

Approved 3/16/16 Page 10

cannot be readily convened as provided in Article III of these Bylaws (an “emergency”), notwithstanding any different or conflicting provision in the preceding Articles of these Bylaws. An emergency may be declared by any director, the President, or any Executive Vice President calling a meeting under Section 2 of this Article VIII, and such declaration shall be ratified by the act of a majority of the directors, present at such meeting at which a quorum, pursuant to Section 3 of this Article VIII, is present. Such emergency shall terminate by the act of a majority of the directors present at any meeting at which a quorum, pursuant to Section 3 of this Article VIII, or pursuant to Article III of these Bylaws, is present. To the extent not inconsistent with the provisions of this Article VIII, the Bylaws provided in the preceding Articles shall remain in effect during such emergency, and upon termination of such emergency, the provisions of this Article VIII shall cease to be operative.

Section 2.    Meetings: During any emergency, a meeting of the Board of Directors may be called by any director, the President, or any Executive Vice President with notice of the time and place of the meeting attempted to all directors, by any available means of communication, by the person calling the meeting at such time in advance of the meeting as circumstances permit, in the judgment of the person calling the meeting.

Section 3.    Quorum:At any meeting of the Board of Directors called in accordance with Section 2 of this Article VIII, the presence or participation of five directors shall constitute a quorum for the transaction of business.

Section 4.    Bylaws: At any meeting called in accordance with Section 2 of this Article, the Board of Directors may modify, amend or add to the provisions of this Article VIII so as to make any provision that may be practical or necessary under the circumstances of the emergency.

Section 5.    Liability: No director, officer, employee, or agent of the Bank acting in accordance with the provisions of this Article VIII shall be liable except for willful misconduct.

Section 6.    Repeal or Change: The provisions of this Article VIII shall be subject to repeal or change by further action of the Board of Directors, but no such repeal or change shall modify the provisions of Section 5 of this Article with regard to action taken prior to the time of such repeal or change.

Approved 3/16/16 Page 11

EX-10.1

EXHIBIT 10.1

EMPLOYMENT AGREEMENT

THIS EMPLOYMENT AGREEMENT (“Agreement”), effective as of the Effective Date (as defined below), is entered into by and among the Federal Home Loan Bank of San Francisco (the “Bank”) and John Gregory Seibly (“Executive”).

WHEREAS, the Bank desires to employ Executive as President and Chief Executive Officer (“CEO”) and to enter into an agreement embodying the terms of such employment;

WHEREAS, Executive desires to accept employment as President and CEO, subject to the terms and conditions of this Agreement;

NOW, THEREFORE, IT IS HEREBY AGREED AS FOLLOWS:

1.Position and Duties. The Executive has been retained by the Bank as its President and CEO with overall charge and responsibility for the business and affairs of the Bank. The Executive shall report directly to the Board of Directors (“Board”) and shall perform such duties as the Executive shall reasonably be directed to perform by the Board. The Executive shall devote his best efforts to the performance of his duties of his position with the Bank and shall devote substantially all his business time and attention to the performance of his duties under this Agreement, excluding any periods of vacation and sick leave to which the Executive is entitled. The Executive may: (a) serve on civic or charitable boards or committees; (b) serve on no more than two (2) for-profit company boards or committees; and (c) deliver lectures and fulfill speaking engagements, so long as such activities do not in the view of the Board interfere, in any substantive respect, with Executive’s responsibilities hereunder or conflict in any material way with the business of the Bank or the Bank’s codes of conduct.

2.    Term. Subject to the provisions for early termination hereinafter provided, Executive’s employment hereunder shall be for an initial term commencing on May 12, 2016 (the “Effective Date”), and ending three (3) years from the Effective Date (the “Initial Term”); provided, however, that the Term of the Agreement shall be automatically extended by one (1) year effective on the three-year anniversary of the Effective Date, and each year thereafter until such date as either the Bank or the Executive shall have terminated this automatic extension provision by giving written notice to the other party at least one (1) month prior to the end of the Initial Term of the Agreement or any extension thereof (any term after the Initial Term is referred to herein as “Term”). Notwithstanding the foregoing, this employment agreement is “at will” by law and may be terminated at any time, including at any time during or following the Initial Term or any Term, without cause by either party on written notice (“Termination”). No other prior or subsequent oral representations, writings, or course of conduct by anybody at the Bank may alter the “at-will” nature of the employment relationship, and nothing in this Agreement should be construed to create any relationship other than “at-will” employment as specified herein. The “at-will” nature of the employment relationship at all times may be modified only when permitted by applicable law and by a writing signed by both Executive and the Bank, specifically amending this Agreement with respect to the issue of the “at-will” employment relationship.

316862493.2 1

3.    Terms of Employment

A.    Position. Executive shall serve as President and CEO for the Bank. Executive shall independently perform such duties as are usual and customary for the position of President and CEO and such other work as the Board shall assign.

B.    Compensation.

(i)    Base Salary. Executive’s base salary during the Initial Term of Employment shall be $800,000.00 per annum (“Base Salary”). The Base Salary shall be subject to all applicable state and federal tax withholdings, payable in semi-monthly installments consistent with the Bank’s normal payroll process. The Base Salary is subject to review at the Board’s discretion and subject to prior review and non-objection by the Federal Housing Finance Agency or any successor agency (“Finance Agency”).

(ii)    Sign-On Payment. The Bank shall provide Executive with a sign-on payment in the amount of $600,000.00 (“Sign-On Payment”), subject to prior review and non-objection by the Finance Agency. The Sign-On Payment shall be subject to all applicable state and federal tax withholdings and payable as follows in two equal payments: $300,000 within thirty (30) days of the first anniversary of the Effective Date (“First Installment Date”) and $300,000 within thirty (30) days of the second anniversary of the Effective Date (“Second Installment Date”). In the event Executive’s employment terminates for Cause or Without Good Reason, as defined in Section 7, below (the “Termination Date”), and prior to the Second Installment Date, Executive agrees to pay the Bank within five (5) business days following the Termination Date the following amount: The Sign-On Payment paid as of the Termination Date multiplied by a fraction of which the numerator is the number of days between the Termination Date and the Second Installment Date, and the denominator is 365 In the event Executive’s employment terminates for Cause or Without Good Reason, as defined in Section 7, below, after the Second Installment Date and prior to the three year anniversary of the Effective Date (the “Repayment Date”), Executive agrees to pay the Bank within five (5) business days following the Termination Date the following amount: The Sign-On Payment paid as of the Termination Date multiplied by a fraction of which the numerator is the number of days between the Termination Date and the Repayment Date, and the denominator is 1,095.

(iii)    Supplemental SERP Contribution Credit. Executive shall be eligible to participate in the Bank’s Supplemental Executive Retirement Program (“SERP”), attached hereto as Exhibit A, based on the Effective Date. No Contribution Credit shall be made under the Supplemental Three Year Contribution Credit schedule set forth in Exhibit A on any date set forth therein if the Participant has a Termination prior to such date; provided, however, if the Participant has a Termination prior to the second anniversary of the Participant’s employment commencement date with the Bank solely by reason of the Participant’s death, Disability, or involuntary termination by the Bank without Cause or termination by Executive for Good Reason, then on the Participant’s date of Termination of Employment, the Participant’s Account will be credited with any unpaid Contribution Credit. Together, the Sign-On Payment and the Supplemental Three Year Contribution Credit set forth in the SERP are referred to together as the “Sign-On Benefits”.

316862493.2 2

(iv)    Incentive Compensation. In addition to Base Salary, Executive shall be eligible to participate in incentive compensation plans (“Incentive Compensation”) as provided below.

a.    Executive shall be eligible to participate in the Bank’s short-term cash incentive plan (“President’s Incentive Plan”), established annually as determined and approved by the Board and subject to prior review and non-objection by the Finance Agency. The President’s Incentive Plan is amended by the Board from year-to-year and is subject to the prior review and non-objection by the Finance Agency. Executive is eligible to participate on a pro-rata basis in the 2016 President’s Incentive Plan, attached hereto as Exhibit B, based on the Effective Date. If Executive commences employment prior to June 30, 2016, the pro-rata calculation will be determined as if the Effective Date were April 1, 2016 (“Supplemental PIP Participation”), subject to prior review and non-objection by the Finance Agency. In the event the pro-rata amount allowed is less than the Supplemental PIP Participation, the difference between the permitted amount and the Supplemental PIP Participation shall be credited to Executive’s SERP account as an Additional Discretionary Contribution Credit as referred to in Exhibit A, subject to prior review and non-objection by the Finance Agency and subject to the three year vesting schedule in the SERP.

b.    Executive shall be eligible to participate in the Bank’s long-term cash incentive plans for the Bank’s President (“Executive Performance Unit Plans” or “EPUP”), established annually as determined and approved by the Board and subject to prior review and non-objection by the Finance Agency. Executive is eligible to participate on a pro-rata basis in the 2014-2016, 2015-2017, and 2016-2018 EPUPs, attached hereto as Exhibit C, based on the Effective Date. If Executive commences employment prior to June 30, 2016, the pro-rata calculation will be determined as if the Effective Date were April 1, 2016 (“Supplemental EPUP Participation”), subject to prior review and non-objection by the Finance Agency. In the event the pro-rata amount allowed is less than the Supplemental EPUP Participation, the difference between the permitted amount and the Supplemental EPUP Participation shall be credited to Executive’s SERP account Additional Discretionary Contribution Credit as referred to in Exhibit A, subject to prior review and non-objection by the Finance Agency.

(v)    Taxes and Withholdings. The Bank may withhold from any amounts payable under this Agreement, including any Incentive Compensation, such federal, state or local taxes as may be required to be withheld pursuant to applicable law or regulations, which amounts shall be deemed to have been paid to Executive.

C.    Benefit Programs. Executive is entitled to participate in relevant benefit plans, including currently the Bank’s health benefit plans, Savings 401(k) Plan, Cash Balance Plan, Deferred Compensation Plan, Benefit Equalization Plan and Supplemental Executive Retirement Plan, provided he meets certain eligibility requirements and shares a portion of the costs, as applicable, in accordance with each such plan, as they may be in effect from time to time. Details of such benefits are included in the Bank’s policies, benefit summaries and plan descriptions.

316862493.2 3

D.    Relocation. The Bank will reimburse Executive for reasonable temporary housing costs (up to 180 days), moving costs and non-recurring transactions costs related to the sale of his house in the Portland, OR area and the purchase of a home in the San Francisco Bay area, as provided herein (“Relocation Costs”). The Bank expects that Executive will move permanently to the San Francisco Bay area within a reasonable period, but in no event later than the first anniversary of the Effective Date. The Bank will reimburse Executive up to $250,000.00 for actual Relocation Costs supported by adequate receipts and documentation sufficient to satisfy taxing authorities and as required by Bank policy (“Reimbursement Allowance”). Executive’s submission(s) for reimbursement from the Reimbursement Allowance must be completed by no later than the first anniversary of the Effective Date, at which time any unused portion of the Reimbursement Allowance shall be forfeited. Any funds Executive receives from the Reimbursement Allowance that are not excludable, non-taxable benefits under applicable tax guidelines will be reported to taxing authorities on Executive’s annual W-2 for the applicable tax year. Executive shall be fully responsible for all employee tax consequences of any portion of the Relocation Allowance that constitutes a taxable benefit for income and/or employment tax purposes pursuant to Internal Revenue Service and any state tax guidelines.

4.    Expense Reimbursement. Executive may submit reasonable, out-of-pocket, work-related expenses to the Bank for reimbursement, including without limitation mobile phone monthly service and usage, consistent with any policies that the Bank may then have in place regarding expense reimbursements.

5.    Vacation Time. Executive shall be entitled to four (4) weeks’ vacation per year (including 2016), which shall be scheduled and taken consistent with any applicable policy of the Bank. Executive shall coordinate his vacation so that it will not provide an undue disruption.

6.    Executive Covenants.

A.    Confidentiality. During employment with the Bank, Executive may have access to various trade secrets and confidential, proprietary, or sensitive information. This may include, without limitation, financial information; information about the Bank’s systems, processes, or security; information about internal Bank discussions and deliberations concerning issues of importance either to the Bank or to its member institutions; information about the Bank’s consultants, customers, or information about the Finance Agency; or information about the Bank’s member institutions and other Federal Home Loan Banks or other, third-party financial information that is not generally known to the public and could not be discovered by someone reasonably familiar with the industry. Executive may also have access to customer files, the Bank’s personnel files, information about Bank employee compensation, or other information that is personal confidential information as described below. In addition, the Bank has a proprietary interest in maintaining sole control of its inventions, discoveries, trade secrets and improvements, software and computer models, financial information, any other information having present or potential commercial value to the Bank, and confidential information of any kind belonging to others but licensed or disclosed to the Bank for use in its business. All of this information is deemed to be “Confidential Information.” Executive agrees as a condition of employment to protect Confidential Information, to sign further agreements designed to protect Confidential Information, to abide by confidentiality requirements in the Bank’s Employee Handbook, and to comply with the Bank’s Information Security Policy and Enterprise

316862493.2 4

Information Security and Technology Standards collectively, the “Information Security Policy and Standards.”

Notwithstanding anything to the contrary contained in the foregoing limitations, Executive will not be required to keep confidential any confidential or proprietary information that: (i) is known or available through other lawful sources, not bound by a confidentiality agreement with the Bank or Finance Agency regulation, (ii) is or becomes publicly known or generally known in the industry through no fault of Executive or his agents, (iii) is required to be disclosed pursuant to any laws, regulations, subpoenas, judgment and/or orders of any governmental body (provided where applicable the Bank is provided reasonable prior written notice before Executive makes any such disclosure as set forth in (iii)), or (iv) that was known to or by Executive without restriction from a source which, to Executive’s knowledge, is free of any obligation of confidentiality prior to the execution date of this Agreement. Nothing herein shall be construed to prevent compliance with, or the exercise of, Executive’s rights under applicable laws.

B.    Nonsolicitation. While Executive is employed by the Bank and for a period of one (1) year thereafter, Executive shall not, without the prior written consent of the Bank, directly or indirectly, on Executive’s own account or on behalf of or with any other person, as an employee, agent, consultant, partner, joint venturer, owner, officer, director, member of any other firm, partnership, corporation or other entity, or in any other capacity, personally or through others: (a) use Confidential Information to solicit, induce (or attempt to induce) or cause any client or customer that has transactions or assignments pending with the Bank to discontinue or reduce their transactions or assignments with the Bank, or otherwise breach or materially disrupt a contractual relationship between the Bank and any client, customer or vendor of the Bank; or (b) solicit, induce or encourage or attempt to solicit, induce or encourage (on Executive’s own behalf or on behalf of others) any individual who at the time is an employee or consultant of the Bank to leave his or her employment or service relationship with the Bank or to commence employment or a service relationship with any other party. It is not a violation of this Agreement for Executive, following Termination, to seek from a Bank client or customer transactions or assignments that are not pending with the Bank at the time of Termination. For purposes of this paragraph, (a) the use of general non-targeted employment advertising shall not be deemed to be solicitation and (b) the foregoing restrictions on solicitation shall only apply to employees of the Bank at the time of such solicitation.

C.    Noncompetition. Executive hereby covenants that he will not, during his employment with the Bank, directly or indirectly, in any capacity, engage or participate in, or become employed by or render advisory or consulting or other services that might create a conflict of interest with the Bank (it being acknowledged that service on civic or charitable boards or committees, service on no more than two (2) for-profit company boards, and delivering lectures and fulfilling speaking engagements, as set forth in Section 1, shall not be deemed to violate this section).

D.    Work Product. Any client or customer lists, prospective client or customer lists, plans, strategies, methodologies, secrets, processes, forecasts, ideas, developments, writings, designs, documents, papers, notes, notebooks, memoranda, computer files, software and other written or electronic records or confidential proprietary information of

316862493.2 5

any kind made or developed in whole or in part by Executive during his employment with the Bank (the “Work Product”) are, and shall remain, the exclusive property of the Bank. To the extent that any of the Work Product is capable of protection by copyright, Executive acknowledges that it is created within the scope of his employment hereunder and is a “work made for hire.” Previously held knowledge, plans, contacts or other intellectual property by Executive that pre-date him rendering services to the Bank are excluded from this provision and shall be disclosed in writing to the Bank on or prior to the Effective Date.

E.    Non-Disparagement. Executive hereby covenants that during his employment and for three (3) years after Termination, he will not make any remarks disparaging the conduct or character of the Bank, its members or employees, except as required by law. Nothing in this Agreement prohibits Executive from reporting possible violations of federal law or regulation to any governmental agency, or making other disclosures that are protected under the whistleblower provisions of federal law or regulation. Nothing herein shall be construed to prevent compliance with, or the exercise of, Executive’s rights under applicable laws.

F.    Cooperation. Executive hereby covenants that at any time after Termination of his employment with the Bank, Executive will cooperate with the Bank to the extent reasonably necessary to assist in the transition of his responsibilities and in any litigation or administrative proceedings involving any matters with which Executive was involved during his employment. The Bank will reimburse Executive for reasonable expenses, if any, incurred in providing such assistance.

G.    Provisional and Equitable Remedies. If Executive should default in any of his obligations under this Section 6, Executive acknowledges that the Bank may be irreparably damaged and that it would be extremely difficult and impractical to measure such damage. Accordingly, Executive acknowledges that the Bank, in addition to any other available rights or remedies, shall be entitled to specific performance, injunctive relief and any other equitable remedy, without the obligation to post any bond or other security. Employee hereby waives the defense that a remedy at law or damages is adequate.

H.    Survival of Covenants. The provisions of Sections 6.A, 6.B, 6.C, 6.D, 6.E, 6.F and 6.G shall survive Termination of Executive’s employment with the Bank, irrespective of the reasons therefor.

7.    Termination. Executive’s employment hereunder shall commence on the Effective Date and continue until the earlier of (i) the expiration of the Initial Term or Term, as applicable, pursuant to Section 2, or (ii) the occurrence of any of the following:

A.    Death or Disability. Executive’s employment shall terminate immediately upon his death or, subject to applicable law, in the event of his Disability (as defined herein), such termination to be effective upon ninety (90) days’ written notice following delivery of the medical certification described in the next sentence. Executive shall be deemed to have a “Disability” if a medical doctor (selected by the mutual consent of Executive and the Company) certifies that Executive has for one hundred twenty (120) consecutive days or one hundred eighty (180) non-consecutive days in any twelve (12) month period been disabled in a manner which has rendered him unable to perform the essential functions of his job duties with or without

316862493.2 6

reasonable accommodation. Executive will cooperate in submitting to a medical examination for the purpose of certifying disability under this Section 7.A, if requested by the Bank. Executive shall be entitled to have his personal physician in attendance at any such medical examination.

B.    For Cause. The Board may terminate Executive’s employment for “Cause” immediately upon written notice by the Bank to Executive. For purposes of this Agreement, “Cause” shall mean any of the following:

(i)    The commission of an act involving dishonesty, disloyalty, fraud or embezzlement by Executive that has a material adverse impact on the Bank or any successor or affiliate thereof;

(ii)    conviction of, or plea of ‘guilty” or ‘no contest” to, a felony, a crime of moral turpitude or a misdemeanor involving theft, fraud or forgery by Executive;

(iii)    Executive’s ongoing and repeated failure or refusal to perform or neglect Executive’s duties to the Bank in a material respect, which failure, refusal or neglect continues for fifteen (15) calendar days following Executive’s receipt of written notice from the Board stating with specificity the nature of such failure, refusal or neglect, or

(iv)     Executive engaging in conduct which has resulted in Executive being barred from employment by the Bank by operation of any law or regulation or by any final order of any court or regulatory authority or any agreement with any regulatory authority, including, without limitation, any removal or barring of employment of Executive pursuant to 12 USC §§ 4615, 4616, 4617 or 4636, or any of their successor sections or provisions.

(v)    The Bank shall make the determination that "Cause" exists in good faith and only if and when such determination has been approved in good faith by the Board; provided, however, that prior to a final determination that "Cause" under this Section 7.B exists, the Bank shall (y) provide to Executive in writing, in reasonable detail, the reasons for the determination that such "Cause" exists, and (z) provide the Executive with an opportunity to discuss the determination that "Cause" exists with the Board prior to the final decision to terminate the Executive's employment hereunder for such "Cause."

C.    Termination without Cause. The Board may terminate Executive’s employment without Cause at any time; provided, however, that such termination shall not be effective until written notice of such termination is provided to Executive by the Board.

D.    Termination by Executive for Good Reason or Resignation Without Good Reason. Executive may terminate his employment for Good Reason or resign Without Good Reason at any time upon thirty (30) days’ prior written notice to the Board. “Good Reason” shall mean, any of the following:

(i)    the relocation of Executive’s principal place of employment by the Bank to a location more than fifty (50) miles from Executive’s principal place of employment as of the Effective Date that also results in an increase in Executive's commute from the Executive's principal residence to Executive’s principal place of employment by the Bank of more than fifty (50) miles;

316862493.2 7

(ii)    a change in Executive’s position that materially reduces his duties or responsibilities; or

(iii)    a material reduction in the aggregate value of Executive's base salary, benefits and short-term and long-term incentive payment opportunities as an employee of the Bank taken as a whole, other than pursuant to a Bank-wide reduction of base salaries and target incentive payment opportunities for employees of the Bank generally and Executive’s reduction is not disproportionate to such Bank-wide reduction.

However, none of the foregoing events or conditions will constitute Good Reason unless: (x) Executive provides the Bank with written objection to the event or condition within ninety (90) calendar days following the occurrence thereof, (y) the Bank does not reverse or otherwise fully cure the event or condition within thirty (30) calendar days of receiving such written objection, and (z) Executive resigns his or her employment within thirty (30) calendar days following the expiration of such cure period.

8.    Rights and Remedies on Termination.

A.    Expiration. Upon the termination of this Agreement at the end of the Initial Term or Term, as applicable, in accordance with Section 2, above, Executive shall be entitled to payment for (i) any unpaid Base Salary due for the period prior and through that Term provided that Executive completes service through that Term, (ii) all other amounts and benefits earned by and owing to Executive under any applicable plans prior to and through the date of Termination, and (iii) following submission of proper expense reports by Executive, reimbursement for all expenses incurred in accordance with Section 4 of this Agreement, prior to the date of Termination (the items set forth in the foregoing clauses (i), (ii) and (iii) collectively, the “Accrued Benefits”). If Executive’s employment hereunder is terminated due to expiration of the Initial Term and the Board in its discretion decides not to extend it for any additional Term, Executive shall be entitled to receive a severance payment equal to twelve (12) months of Base Salary and a pro-rata portion of the President’s Incentive Plan, determined as follows: The actual amount as determined under the President’s Incentive Plan, multiplied by a fraction of which the numerator is the number of days worked in the calendar year when Termination occurs and the denominator is 365 or 366, if it occurs on a leap year, paid out as and when due, as provided in Section 3.B.iv.a “(Severance Payment”), paid in a lump sum as soon as administratively practicable but in any event no later than sixty (60) calendar days following the Termination, except as to the President’s Incentive Plan, which may be paid later. Any award of payment under the President’s Incentive Plan shall be determined by the Board in the year after the Termination occurs. The Bank shall also pay for and provide Executive and his dependents with healthcare and life insurance benefits which are substantially the same as the benefits provided to Executive immediately prior to the date of termination for a period of twelve (12) months thereafter (“Severance Period”); provided that Executive's right to continued healthcare and life insurance benefits following his Termination will terminate on the date on which Executive accepts employment with another employer that provides comparable benefits in terms of cost and scope of coverage. Executive acknowledges that such healthcare benefit continuation is intended, and shall be deemed, to satisfy any applicable obligations of the Bank under Section 4980B of the Internal Revenue Code of 1986, as amended, and any corresponding provisions of any applicable state law for such period and that the Bank may satisfy such

316862493.2 8

obligation by paying any applicable premiums. Notwithstanding anything to the contrary under this Agreement, if at any time the Bank cannot provide the healthcare benefits contemplated by this Section 8.A, Section 8.E or Section 8.F(ii)(b) of this Agreement without violating applicable law (including Section 2716 of the Public Health Service Act), such obligation shall be revised by the Bank to provide Executive and his family with such benefits and/or such payments in lieu thereof as may be permitted by law.

B.    Death. If Executive’s employment hereunder is terminated prior to the end of the Initial Term of this Agreement as a result of Executive’s death pursuant to Section 7.A above, Executive’s estate shall be entitled to receive an amount equal to the then remaining Base Salary through the end of the Initial Term, paid in a lump sum as soon as administratively practicable but in any event no later than sixty (60) calendar days following the Termination, as well as all Accrued Benefits and any unpaid portion of the Sign-On Benefits. If Executive’s employment hereunder is terminated by death pursuant to Section 7.A, above, after the end of the Initial Term, then Executive shall not be entitled to any severance pay and the Bank shall be required to pay only the Accrued Benefits and the unpaid Sign-On Benefits.

C.    Disability. If Executive’s employment hereunder is terminated prior to the end of the Initial Term of this Agreement based on Executive’s disability pursuant to Section 7.A above, Executive shall be entitled to receive an amount equal to the then remaining Base Salary through the end of the Initial Term, paid in a lump sum as soon as administratively practicable but in any event no later than sixty (60) calendar days following the Termination, as well as all Accrued Benefits and any unpaid portion of the Sign-On Benefits. If Executive’s employment hereunder is terminated by disability pursuant to Section 7.A, above, after the end of the Initial Term, then Executive shall not be entitled to any severance pay and the Bank shall be required to pay only the Accrued Benefits and the unpaid Sign-On Benefits.

D.    For Cause or Without Good Reason. If Executive’s employment hereunder is terminated for Cause pursuant to Section 7.B,or he resigns Without Good Reason, as defined in Section 7.D, then Executive shall not be entitled to any severance pay and the Bank shall be required to pay only the Accrued Benefits.

E.    Without Cause or For Good Reason. If Executive’s employment hereunder is terminated at any time by the Bank without Cause during the Initial Term pursuant to Section 7.C above, or if during the Initial Term Executive terminates his employment hereunder for Good Reason as defined in Section 7.D above, then Executive shall be entitled to receive (a) all Accrued Benefits, (b) all unpaid Sign-On Benefits and (c) the Severance Payment, paid in a lump sum as soon as administratively practicable but in any event no later than sixty (60) calendar days following the Termination. The Bank shall also pay for and provide Executive and his dependents with healthcare and life insurance benefits which are substantially the same as the benefits provided to Executive immediately prior to the date of termination for the Severance Period; provided that Executive's right to continued healthcare and life insurance benefits following his Termination will terminate on the date on which Executive accepts employment with another employer that provides comparable benefits in terms of cost and scope of coverage. Executive acknowledges that such healthcare benefit continuation is intended, and shall be deemed, to satisfy any applicable obligations of the Bank to provide continuation of benefits under Section 4980B of the Internal Revenue Code of 1986, as amended, and any

316862493.2 9

corresponding provisions of any applicable state law for such period and that the Bank may satisfy such obligation by paying any applicable premiums. If Executive’s employment hereunder is terminated after the Initial Term expires pursuant to Sections 7.C or Executive terminates his employment hereunder for Good Reason as defined in Section 7.D, above, then Executive shall not be entitled to any severance pay except as provided in the Senior Officer’s Severance Policy, attached hereto as Exhibit D, and the Bank shall be required to pay the Accrued Benefits.

F.    Change in Control. For purposes of this Agreement, "Change in Control" means (i) the merger, reorganization or consolidation of the Bank with or into another Federal Home Loan Bank or other entity, (ii) the sale or transfer of all or substantially all of the business or assets of the Bank to another Federal Home Loan Bank or other entity, (iii) the purchase by the Bank or transfer to the Bank of all or substantially all of the business or assets of another Federal Home Loan Bank, (iv) as a result of one or a series of related transactions, the number of directors of the Bank elected by members of the Bank located in California, Arizona and Nevada cease to constitute majority of the directors of the Bank that are elected by members of the Bank (excluding, for purposes of this clause (iv), non-member independent directors), or (v) the liquidation of the Bank. Provided that the term "reorganization" contained in subparagraph (i) of the this definition shall not include any reorganization that is mandated by federal statute, rule, regulation, or directive, including 12 U.S.C. § 1421, et seq., as amended, and 12 U.S.C. § 4501 et seq., as amended, and which the Director of the Finance Agency has determined should not be a basis for making payment under this Agreement, by reason of the capital condition of the Bank or because of unsafe or unsound acts, practices, or condition ascertained in the course of the Agency's supervision of the Bank or because any of the conditions identified in 12 U.S.C. § 4617(a)(3) are met with respect to the Bank (which conditions do not result solely from the mandated reorganization itself, or from action that the Agency has required the Bank to take under 12 U.S.C. § 143l(d)).

If Executive's employment is terminated by the Bank without Cause, or by Executive for Good Reason, during the period commencing on the ninetieth (90th) calendar day prior to the earlier of (a) announcement of, (b) entry into definitive agreement for or (c) consummation of a Change in Control and ending on the first anniversary of consummation of the Change in Control, and such termination constitutes a "separation from service" with the Bank (as such term is defined in the regulations issued under Section 409A of the Code) (a "CICA Severance Termination"), Executive shall be entitled to receive, in lieu of any severance benefits to which Executive may otherwise be entitled under this Agreement and any severance plan or program of the Bank, the following:

(i)    Executive's Accrued Benefits;

(ii)    Severance pay in an amount equal to the sum of:

a.    two (2) times Executive's Base Salary, without giving effect to any reductions thereto which constitute Good Reason, paid in a lump sum as soon as administratively practicable but in any event no later than sixty (60) calendar days following CICA Severance Termination (or, in the event the CICA Severance Termination precedes the consummation of a Change in Control and payment is not administratively practicable by the

316862493.2 10

foregoing date because it is not yet known whether the Change in Control will occur within ninety (90) calendar days following the date of termination, such amount shall be paid as soon as administratively practicable but in any event no later than sixty (60) calendar days following the consummation of the Change in Control); plus

b.    an amount equal to two (2) times the Annual Incentive Amount, defined below, payable in a lump sum as soon as administratively practicable but in any event no later than sixty (60) calendar days following the CICA Severance Termination (or, if the CICA Severance Termination precedes the consummation of a Change in Control and payment is not administratively practicable by the foregoing date because it is not yet known whether a Change in Control will occur within ninety (90) calendar days following the date of termination, such amounts shall be paid as soon as administratively practicable but in any event no later than sixty (60) calendar days following the consummation of the Change in Control). For purposes of this Agreement, “Annual Incentive Amount” is defined as (i) an amount equal to the average of the aggregate annual short-term incentive amounts earned by Executive pursuant to the President’s Incentive Plan in respect of the three (3) consecutive calendar years ending on the December 31 last preceding the date of the CICA Severance Termination, or such lesser number of consecutive calendar years as Executive has been employed by the Bank following the Effective Date and (ii) an amount equal to the average of the aggregate long-term incentive amounts earned by Executive pursuant to the EPUP in respect of the three (3) consecutive calendar years ending on the December 31 last preceding the date of the CICA Severance Termination, or such lesser number of consecutive calendar years as Executive has be employed by the Bank following the Effective Date. For purposes of determining Executive’s Annual Incentive Amount, (i) if Executive received no annual short-term incentive amounts in respect of a calendar year due to a failure to meet applicable performance objectives, such calendar year will nevertheless be taken into account (using Zero (0) as the applicable amount) in calculating Executive’s Annual Incentive Amount, and (ii) if Executive was employed during a portion of a calendar year only and received a prorated short-term annual incentive amount taking into account his or her employment for only a portion of the year, the amount so received shall be annualized for purposes of calculating Executive’s Annual Incentive Amount. If any portion of the short-term annual incentive amount or long-term incentive amount earned by Executive consisted of securities or other property, the value of that portion of the incentive for purposes of this Agreement shall be the fair market value thereof determined in good faith by the Board. For the period beginning on the date of CICA Severance Termination and ending on the one hundred eightieth (180th) calendar day following the first anniversary of the date of termination (or, if earlier, the date on which Executive accepts employment with another employer that provides comparable benefits in terms of cost and scope of coverage), the Bank shall pay for and provide Executive and his or her dependents with healthcare and life insurance benefits which are substantially the same as the benefits provided to Executive immediately prior to the date of termination; provided that Executive's right to continued healthcare and life insurance benefits following his Termination will terminate on the date on which Executive accepts employment with another employer that provides comparable benefits in terms of cost and scope of coverage. Executive acknowledges that such healthcare benefit continuation is intended, and shall be deemed, to satisfy any applicable obligations of the Bank under Section 4980B of the Internal Revenue Code of 1986, as amended, and any corresponding provisions of any applicable state law for such period and that the Bank may satisfy such obligation by paying any applicable premiums; and

316862493.2 11

(iii)    executive-level outplacement services at the Bank's expense, not to exceed $25,000 provided by a firm selected by Executive from a list compiled by the Bank.

In the event of a CICA Severance Termination, Executive’s sole remedy shall be to receive the payments and benefits described in this Section 8.F, and except as otherwise expressly required by law or as specifically provided herein, all of the Executive’s other rights to salary, severance, benefits, bonuses and other amounts (if any) accruing on account of the termination of Executive's employment shall cease upon the CICA Severance Termination.

G.    Parachute Payments.

(i)    Notwithstanding any other provision of this Agreement, to the extent Executive would be subject to the excise tax under Section 4999 of the Code on the payment made under Section 8.F hereof and any other payments or benefits Executive would receive from the Bank and its affiliates required to be included in the calculation of parachute payments for purposes of Sections 280G and 4999 of the Code, the amount payable under this Agreement shall be automatically reduced to an amount ten dollars ($10.00) less than the lowest amount which, when combined with such other amounts and benefits required to be so included, would subject Executive to the excise tax under Section 4999 of the Code; provided, however, that payments made under this Agreement shall be so reduced only if the reduced amount received by Executive would be greater than the unreduced amount to be received by Executive less the excise tax payable under Section 4999 of the Code on such amount and the other amounts and benefits received by Executive and required to be included in the calculation of a parachute payment for purposes of Sections 280G and 4999 of the Code. In addition, Executive acknowledges and agrees that Executive is not entitled to any reimbursement by the Bank for any taxes payable by Executive as a result of the payments and benefits received by Executive pursuant to this Agreement, including, without limitation, any excise tax imposed by Section 4999 of the Code.

Notwithstanding any other provision of this Agreement to the contrary, any payments made to Executive pursuant to this Agreement, or otherwise, are subject to and conditioned upon their compliance with 12 U.S.C. § 4518(e) and any regulations promulgated thereunder, including 12 C.F.R. Part 1231.

H.    No Mitigation. Executive shall not be required to mitigate the amount of any payment provided for in Sections 8.E or 8.F by seeking other employment or otherwise, nor shall the amount of any payment or benefit provided for in this Section 8 be reduced by any compensation earned by Executive as the result of employment by another employer or self-employment or by retirement benefits; provided, however, that loans, advances or other amounts owed by Executive to the Bank may be offset by the Bank against amounts payable to Executive under this Section 8.

I.    Senior Corporate Officer Severance Policy. Notwithstanding anything contained in this Agreement to the contrary, in the event Executive receives any severance benefits pursuant to the Bank's Senior Corporate Officer Severance Policy, or any other

316862493.2 12

severance policy or plan now or hereafter maintained by the Bank, the amount of the severance benefits payable pursuant to Section 8 of this Agreement shall be automatically reduced by the benefits and payments received by Executive pursuant to such Senior Corporate Officer Severance Policy or other plan or policy.

J.    Release. As a condition to the Executive's receipt of any post-termination benefits described in Section 8, Executive shall execute a Release (the "Release") in a form reasonably acceptable to the Bank within fifty (50) calendar days following the Termination and shall not subsequently revoke such Release within the time as may be specified therein as required by law. Such Release shall be provided to Executive within five (5) calendar days following Termination and shall specifically relate to all of Executive’s rights and claims in existence at the time of such execution, including any claims related to Executive's employment by the Bank and his or her termination of employment, and shall exclude any obligations the Bank may have to Executive under this Agreement or any other agreement providing for obligations that survive Executive's termination of employment.

K.    Section 409A Compliance.

(i)    Notwithstanding anything herein to the contrary, the intent of the parties is that payments and benefits under this Agreement comply with or be exempt from Section 409A of the Internal Revenue Code of 1986, as amended, and the regulations and guidance promulgated thereunder (“Section 409A”) and, accordingly, to the maximum extent permitted this Agreement shall be interpreted to be in compliance therewith or exempt therefrom. The Bank shall not be liable for any additional tax, interest or penalty that may be imposed on Executive by Section 409A or damages for failing to comply with Section 409A.

(ii)    Termination of Executive’s employment shall not be deemed to have occurred for purposes of any provision of this Agreement providing for the payment of any amounts or benefits upon or following a termination of employment unless such termination is also a “separation from service” within the meaning of Section 409A and, for purposes of any such provision of this Agreement, references to a “termination,” “termination of employment” or like terms shall mean “separation from service.”

(iii)    All expenses or other reimbursements under this Agreement that would constitute nonqualified deferred compensation subject to Section 409A, (A) shall be paid on or prior to the last day of the taxable year following the taxable year in which such expenses were incurred by Executive, (B) no such reimbursement or expenses eligible for reimbursement in any taxable year shall in any way affect Executive’s right to reimbursement of any other expenses eligible for reimbursement in any other taxable year, and (C) Executive’s right to reimbursement shall not be subject to liquidation in exchange for any other benefit.

(iv)    For purposes of Section 409A, Executive’s right to receive any installment payment pursuant to this Agreement shall be treated as a right to receive a series of separate and distinct payments.

(v)    Whenever a payment under this Agreement specifies a payment period with reference to a number of days (e.g., “payment shall be made within thirty (30) days

316862493.2 13

following the date of termination”), the actual date of payment within the specified period shall be within the sole discretion of the Bank in order to comply with Section 409A.

(vi)    Notwithstanding any other provision under this Agreement, solely to the extent that a delay in payment is required in order to avoid the imposition of any tax under Section 409A, if a payment obligation under this Agreement arises on account of Executive’s “separation from service” (within the meaning of Section 409A) in good faith by the Bank’s Board, then payment of any amount or benefit provided under this Agreement that is considered to be non-qualified deferred compensation for purposes of Section 409A and that is scheduled to be paid within six (6) months after such separation from service shall be paid without interest on the first business day after the date that is six (6) months following Executive’s separation from service.

(vii)    Notwithstanding any other provision of this Agreement to the contrary, in no event shall any payment under this Agreement that constitutes “nonqualified deferred compensation” subject to Section 409A be subject to offset, counterclaim or recoupment by any other amount payable to Executive unless otherwise permitted by Section 409A.

(viii)    Executive hereby acknowledges that he has been advised to seek and has sought the advice of a tax advisor with respect to the tax consequences to Executive of all payments pursuant to this Agreement, including any adverse tax consequences or penalty taxes under Section 409A and corresponding provisions of applicable state tax law. Executive hereby acknowledges and agrees that no representations have been made to Executive relating to the tax treatment of any payment pursuant to this Agreement under Section 409A and the corresponding provisions of any applicable state income tax laws.

9.    Outside Employment. In addition to being prohibited from being employed or serving as an officer, investor or board member for any entity that will potentially create a conflict of interest, Executive shall not be employed in any paid position because the compensation paid to Executive envisions his exclusive services. In addition, except as required to fulfill the requirements of Executive’s position, Executive shall not serve on any board, participate as an active owner in any entity, or serve in any other capacity for another entity or business if such participation will in any way impinge or potentially adversely affect Executive’s ability to provide the quality and quantity of services envisioned by this Agreement, it being acknowledged that service on civic or charitable boards or committees, service on no more than two (2) for-profit company boards, and delivering lectures and fulfilling speaking engagements, as set forth in Section 1, shall not be deemed to violate this section.

10.    Regulatory Approval. Notwithstanding any other provision of this Agreement to the contrary, any payments made to Executive pursuant to this Agreement or otherwise, are subject to prior review and non-objection by the Finance Agency, and are subject to and conditioned upon compliance with 12 U.S. C. section 4518(e), and any applicable laws and regulations, including 12 C.F.R. Part 1231.

11.    Representations. As a distinct and separate representation and warranty, Executive hereby represents and warrants to the Bank that (a) the execution, delivery and

316862493.2 14

performance of this Agreement by Executive does not and will not conflict with, breach, violate or cause a default under any contract, agreement (including any confidentiality agreement), restrictive covenant, instrument, court order, judgment or decree to which Executive is a party or by which Executive is bound, (b) Executive has no obligations or commitments of any kind that would prevent, restrict, hinder or interfere with his acceptance of full-time employment or the performance of all duties and services contemplated under the Agreement to the fullest extent of his ability, and (c) that Executive has not used, and will not use, confidential or proprietary information of any past employer in connection with service provided pursuant to this Agreement.

12.    Choice of Law. This Agreement shall be governed and construed by the laws of the United States, and to the extent state law maybe applicable, by the laws of the State of California applicable to contracts made and to be performed wholly within California without regard to the conflicts of laws principles thereof.

13.    Entire Agreement. This Agreement constitutes Executive’s entire offer of employment. Nobody at the Bank has been authorized to enter into any other agreement with Executive or make any promises or representations to Executive that are not a part of this Agreement.

14.    Arbitration and Waiver of Jury Trial, Attorneys’ Fees. Any and all disputes which may arise from or relate to this Agreement or Executive’s employment with the Bank or his Termination, whether initiated by Executive or the Bank, shall be subject to final and binding arbitration. Claims for workers’ compensation or unemployment compensation benefits are not covered by this Section 13. Also not covered are claims by Executive or the Bank for provisional remedies, including temporary restraining orders or preliminary injunctions (“Temporary Equitable Relief”) in situations in which such Temporary Equitable Relief would be otherwise authorized by Federal law or state law, where applicable, including California Code of Civil Procedure section 1281.8 or other applicable state or federal laws. Except as provided herein, all disputes shall be arbitrated under JAMS located in the County of San Francisco, before an arbitrator with that organization with expertise and arbitration experience in executive employment agreements and executive compensation and benefit plans. Discovery shall be adequate and limited by the arbitrator consistent with JAMS Employment Arbitration Rules and Procedures Rules effective at that time, available at http://www.jamsadr.com/rules-employment-arbitration/ and attached hereto as Exhibit E. The arbitrator(s) shall have the authority only to enforce the legal and contractual rights of the parties and shall not add to, modify, disregard or refuse to enforce any contractual provision. Executive and the Bank each recognize and agree that by entering into this agreement, they each are waiving any and all rights to a trial by jury. The prevailing party shall be entitled to recover reasonable attorneys’ fees and costs in accordance with applicable law. The parties agree the Bank shall bear arbitration fees and arbitrator compensation and expenses pursuant to JAMS rules and consistent with applicable law.

15.    Notices. All notices, requests and other communications hereunder shall be in writing and shall be delivered by courier or other means of personal service (including by means of a nationally recognized courier service or professional messenger service), or mailed first class, postage prepaid, by certified mail, return receipt requested, in all cases, addressed to:

316862493.2 15

If to the Bank or the Board:

Federal Home Loan Bank of San Francisco
600 California Streets
San Francisco, CA 94108
Attention: Legal Department

If to Executive:

At the residence address on file with the Bank

All notices, requests and other communications shall be deemed given on the date of actual receipt or delivery as evidenced by written receipt, acknowledgement or other evidence of actual receipt or delivery to the address. In case of service by telecopy, a copy of such notice shall be personally delivered or sent by registered or certified mail, in the manner set forth above, within three business days thereafter. Any party hereto may from time to time by notice in writing served as set forth above designate a different address or a different or additional person to which all such notices or communications thereafter are to be given.

16.    Severability. The invalidity or unenforceability of any provision of this Agreement shall not affect the validity or enforceability of any other provision of this Agreement. In the event any provision or term hereof is deemed to have exceeded applicable legal authority or shall be in conflict with applicable legal limitations, such provision shall be reformed and rewritten as necessary to achieve consistency and compliance with such applicable law.

17.    No Waiver. Executive’s or the Bank’s failure to insist upon strict compliance with any provision of this Agreement or the failure to assert any right Executive or the Bank may have hereunder, shall not be deemed to be a waiver of such provision or right or any other provision or right of this Agreement.

18.    Assignment; Assumption by Successor. The rights of the Bank under this Agreement may, without the consent of Executive, be assigned by the Bank, in its sole and unfettered discretion, to any person, fin, corporation or other business entity which at any time, whether by purchase, merger, consolidation or otherwise, directly or indirectly, acquires all or substantially all of the assets or business of the Bank. The Bank will require any successor (whether direct or indirect, by purchase, merger, consolidation or otherwise) to all or substantially all of the business or assets of the Bank expressly to assume and to agree to perform this Agreement in the same manner and to the same extent that the Bank would be required to perform it if no such succession had taken place; provided, however, that no such “Bank" shall mean the Bank as hereinbefore defined and any successor to its business or assets as aforesaid which assumes and agrees to perform this Agreement by operation of law or otherwise.

19.    Entire Agreement. As of the Effective Date, this Agreement constitutes the final, complete and exclusive agreement between Executive and the Bank with respect to the subject matter hereof and replaces and supersedes any and all other agreements, offers or promises, whether oral or written, made to Executive by the Bank. In the event that the Effective Date

316862493.2 16

does not occur, this Agreement (including, without limitation, the immediately preceding sentence) shall have no force or effect.

20.    Consultation With Counsel. Executive acknowledges that he has had a full and complete opportunity to consult with counsel and other advisors of his own choosing concerning the terms, enforceability and implications of this Agreement, and the Bank has not made any representations or warranties to Executive concerning the terms, enforceability or implications of this Agreement other than as reflected in this Agreement.

WITNESS WHEREOF, the parties have executed this Agreement as of the date last set forth below.

FEDERAL HOME LOAN BANK OF SAN FRANCISCO	JOHN GREGORY SEIBLY
By: /s/ Douglas H. Lowrey	Signature: /s/ John Gregory Seibly
Douglas H. Lowrey, Chairman of the Board	Executive
April 26, 2016	April 25, 2016
FEDERAL HOME LOAN BANK OF SAN FRANCISCO
By: /s/ Dean Schultz
Dean Schultz President and Chief Executive Officer
April 26, 2016

316862493.2 17

Exhbit A

FEDERAL HOME LOAN BANK OF SAN FRANCISCO
SUPPLEMENTAL EXECUTIVE RETIREMENT PLAN

Amended and Restated Effective July 1, 2013

TABLE OF CONTENTS
ARTICLE 1. INTRODUCTION		1
1.1	Establishment of Plan	1
1.2	Purpose of the Plan	1
ARTICLE 2. DEFINITIONS		2
2.1	Definitions	2
2.2	Number and Gender	8
ARTICLE 3. PARTICIPATION AND SERVICE		8
3.1	General	8
3.2	Date of Participation	8
3.3	Duration; Rehire	8
3.4	Contribution Credit Service	9
3.5	Vesting Service	9
ARTICLE 4. RETIREMENT BENEFITS		10
4.1	Account	10
4.2	Contribution Credits	11
4.3	Annual Indexation Credits	12
4.4	Special Rules For Determining Balance of Accounts and for Crediting Contribution Credits and Annual Indexation Credits	13
4.5	Vesting	15
4.6	Forfeiture	15
ARTICLE 5. PAYMENT OF BENEFITS; DEATH BENEFITS		16
5.1	Amount of Benefit	16
5.2	Automatic Form of Benefit Payment	16
5.3	Optional Forms of Benefit Payments	16
5.4	Automatic Time of Benefit Payment	17
5.5	Optional Time of Benefit Payment	17
5.6	Manner and Time of Elections	18
5.7	Death Benefits	19
5.8	Beneficiary Designation	20
ARTICLE 6. SOURCE OF PAYMENTS		21
ARTICLE 7. ADMINISTRATION		22
7.1	Committee	22
7.2	Procedures for Requesting Benefit Payments	23
ARTICLE 8. AMENDMENT AND TERMINATION		24
8.1	Amendment of the Plan	24
8.2	Termination of the Plan	24
8.3	Change in Control	25

	i
#135506

ARTICLE 9. MISCELLANEOUS PROVISIONS		26
9.1	Employment Rights	26
9.2	No Examination or Accounting	26
9.3	Records Conclusive	27
9.4	Severability	27
9.5	Counterparts	27
9.6	Taxes	27
9.7	Binding Effect	27
9.8	Assignment	28
9.9	Incapacity	29
9.10	Unsecured Creditor	29
9.11	Notice	29
9.12	Benefits Not Salary	30
9.13	Captions	30
9.14	Governing Law	30
9.15	Addresses	31
FEDERAL HOME LOAN BANK OF SAN FRANCISCO SUPPLEMENTAL EXECUTIVE RETIREMENT PLAN Schedule A		1
FEDERAL HOME LOAN BANK OF SAN FRANCISCO SUPPLEMENTAL EXECUTIVE RETIREMENT PLAN Schedule B		1

	ii
#135506

ARTICLE I.  INTRODUCTION

1.1    Establishment of Plan

Federal Home Loan Bank of San Francisco, incorporated under the laws of the United States, first established the Federal Home Loan Bank of San Francisco Supplemental Executive Retirement Plan effective January 1, 2003, then amended and restated the Plan effective January 1, 2005 and January 1, 2009. This is an amendment and restatement of the Plan effective July 1, 2013.

1.2    Purpose of the Plan

The purpose of this Plan is to provide supplemental retirement benefits for a select group of management or highly compensated employees of the Bank. Payments under the Plan shall be made from the general assets of the Bank or from the assets of the trust, if any, established as part of the Plan. It is intended that the Plan remain at all times a nonqualified plan and that the trust, if any, shall constitute a grantor trust under Sections 671 through 679 of the Code. Until paid, any and all assets of any vehicle used for payment of benefits under this Plan shall remain owned by the Bank, subject to the claims of its general creditors in the event of the Bank’s insolvency.

This Plan, as amended and restated, is intended to meet the requirements of Code Section 409A and the Treasury Regulations issued thereunder.

	1
#135506

ARTICLE 2.  DEFINITIONS

2.1    Definitions

Whenever used in this Plan, the following words and phrases shall have the meanings set forth below unless a different meaning is expressly provided or plainly required by the context:

(a)    “Account” means the account established for a Participant pursuant to Section 4.1 of the Plan.

(b)    “Actuarial Equivalent” means a benefit having the same value as the benefit for which it is substituted. The determination of the Actuarial Equivalent of any benefit as provided for under this Plan shall be made based on the factors specified in the definition of Actuarial Equivalent in the Cash Balance Plan.

(c)    “Annual Indexation Credit” means the credit to an Account described in Section 4.3.

(d)    “Bank” means Federal Home Loan Bank of San Francisco and any successor thereto that agrees to assume the duties and obligations of the Bank hereunder.

(e)    “Beneficiary” means the person or entity designated by a Participant or Former Participant pursuant to Section 5.8 to receive any death benefit payable under this Plan. If no Beneficiary is properly designated at the time of the Participant’s or Former Participant’s death, or if no person so designated shall have survived the Participant or Former Participant, the Beneficiary shall be the surviving spouse, or if there is no surviving spouse, the Participant’s or Former Participant’s estate. A Beneficiary designation will not become effective unless it is made on the form designated by the Bank and it is received by the Bank prior to the Participant’s death.

	2
#135506

(f)    “Benefit Equalization Plan” means the Federal Home Loan Bank of San Francisco Benefit Equalization Plan, as amended from time to time.

(g)    “Board of Directors” means the Board of Directors of the Bank.

(h)    “Cash Balance Plan” means the Federal Home Loan Bank of San Francisco Cash Balance Plan, as amended from time to time.

(i)    “Cause” means any of the following:

(1)    Criminal or other willful misconduct of the Participant or Former Participant that materially violates any laws, regulations or orders of any government agency, including without limitation any laws, regulations or orders applicable to the Bank; or

(2)    Deliberate material failures of the Participant or Former Participant to comply with the Bank’s policies and procedures or with any directive of the Board of Directors.

(j)    “Code” means the Internal Revenue Code of 1986, as amended from time to time.

(k)    “Change in Control” means a transaction described in 12 United States Code Section 1446(26), so long as that transaction also qualifies as a change in ownership or effective control or a change in ownership of a substantial portion of assets under Code Section 409A and the regulations promulgated thereunder.

(l)    “Committee” means the committee appointed by the Board of Directors in accordance with Section 7.1 of this Plan.

(m)    “Compensation” means the base salary and other wages, bonuses, commissions, and other taxable remuneration payable to a Participant by the Bank for a Plan Year or other period taken into account in making the determination. In applying this definition, Compensation shall also include any salary reduction elected by the Participant under Code Sections 125,

	3
#135506

401(k) and 132(f)(4), and any deferrals or contributions made by the Participant under any nonqualified deferred compensation or excess benefit plans maintained by the Bank, including, without limitation, the Deferred Compensation Plan and the Benefit Equalization Plan. The foregoing notwithstanding, in determining a Participant’s Compensation, all long-term incentive payments, reimbursements and expense allowances, moving expenses, fringe benefits, income attributable to group-term life insurance, long-term disability payments, meals and lodging, contributions made by the Bank on behalf of the Participant to, and all distributions from, qualified plans, nonqualified deferred compensation plans, and excess benefit plans (including, without limitation, the Cash Balance Plan, the Savings Plan, the Deferred Compensation Plan and the Benefit Equalization Plan) shall be excluded.

(n)    “Contribution Credit” means the credit to an Account described in Section 4.2.

(o)    “Contribution Credit Service” means the service described in Section 3.4.

(p)    “Deferred Compensation Plan” means the Federal Home Loan Bank of San Francisco Deferred Compensation Plan, as amended from time to time.

(q)    “Disability” means that a Participant:

(1)    is unable to engage in any substantial gainful activity by reason of any medically determinable physical or mental impairment which can be expected to result in death or can be expected to last for a continuous period of not less than twelve (12) months; or

(2)    is, by reason of any medically determinable physical or mental impairment which can be expected to result in death or can be expected to last for a continuous period of not less than twelve (12) months, receiving income replacement benefits for a period of not less than

	4
#135506

three (3) months under any accident and health plan covering employees of the Participant’s employer.

The determination of the existence of a Disability shall be made by the Bank in accordance with Code Section 409A.

(r)    “Final Average Pay” means the highest average annual Compensation of a Participant during any three (3) consecutive calendar years completed during which an individual is a Participant in the period preceding the determination date. If the Participant received Compensation for fewer than three (3) consecutive complete calendar years while a Participant, Final Average Pay shall be determined taking into account either the Participant’s last three (3) completed calendar years as a Participant, or, if fewer than three (3) calendar years have been completed as a Participant, the Participant’s entire completed service with the Bank.

(s)    “Former Participant” means either:

(1)    Any former employee of the Bank who has a vested Account under the Plan; or

(2)    Any current employee of the Bank who was a Participant under the Plan irregardless of whether such individual’s Account is vested or nonvested.

(t)    “Participant” means an employee who becomes a Participant as provided in Article 3.

(u)    “Plan” means the Federal Home Loan Bank of San Francisco Supplemental Executive Retirement Plan, as established by this document and as amended from time to time.

(v)    “Plan Year” means the calendar year.

(w)    “Savings Plan” means the Federal Home Loan Bank of San Francisco Savings Plan, as amended from time to time.

	5
#135506

(x)    “Spouse” means:

(a) The person to whom a Participant is legally married under the laws of any state or other jurisdiction; or

(b) A person of the same gender as the Participant with whom the Participant has entered into a valid domestic partnership pursuant to the laws of the State of California.

All uses of the word “spouse” (including a surviving spouse) in this Plan document are deemed to be capitalized and to refer to this defined term “Spouse.”

(y)    “Termination of Employment” means the Participant (or Former Participant) ceasing to be employed in any capacity by the Bank for any reason whatsoever, voluntary or involuntary, including by reason of death. Whether a Termination of Employment has occurred is based on whether the facts and circumstances indicate that the Member and the Bank reasonably anticipated that no further services would be performed after a certain date. A Termination of Employment will not be deemed to have occurred if a Participant (or Former Participant) continues to provide services to the Bank as an employee, independent contractor or otherwise, at an annual rate that is fifty percent (50%) or more of the services rendered, on average, during the immediate preceding 36 months with the Bank (or if less, such lesser period); provided, however, that a Termination of Employment will be deemed to have occurred if the Participant’s (or Former Participant’s) service with the Bank, as an employee, independent contractor or otherwise, is reduced to an annual rate that is less than twenty percent (20%) of the services rendered, on average, during the immediately preceding 36 months with the Bank (or if less, such lesser period).

	6
#135506

In addition to the foregoing, the employment of a Participant (or Former Participant) shall not be deemed to be terminated while the Participant (or Former Participant) is on military leave, sick leave or other bona fide leave of absence if the period of such leave does not exceed six (6) months or, if longer, so long as the Participant’s (or Former Participant’s) right to reemployment with the Bank is provided by either statute or contract. If the period of leave exceeds six (6) months and the Participant’s (or Former Participant’s) right to reemployment is not provided by either statute or contract, then the employee is deemed to have a Termination of Employment on the first day immediately following such six (6) month period.

For the purposes of this definition only, the term Bank includes Federal Home Loan Bank of San Francisco and its entire controlled group within the meaning of Code Section 414(b) and 414(c), using the 80% standard instead of the 50% standard outlined in Treasury Regulations interpreting Code Section 409A.

(z)    “Total Retirement Income” means the amount determined under (1) and (2) below projected using the assumptions, and in the manner, set forth in Section 4.4 below, determined as the Actuarial Equivalent of a single life annuity commencing at the later of the Participant’s Normal Retirement Date (as defined in the Cash Balance Plan) and the date of Termination of Employment with the Bank.

(1)    all benefits accrued by a Participant or Former Participant under the Cash Balance Plan, the Financial Institutions Retirement Fund and this Plan, plus

(2)    all benefits contributed by the Bank on behalf of a Participant or Former Participant under the Deferred Compensation Plan and the Benefit Equalization Plan with the exception of any matching contributions contributed by the Bank on behalf of a Participant or

	7
#135506

Former Participant and any deferrals or contributions made at the direction of the Participant or Former Participant.

(aa)    “Vesting Service” means the service described in Section 3.5.

2.2    Number and Gender

Except when otherwise indicated by the context, any use of any term in the singular or plural shall also include the opposite number. As used in the Plan, the masculine gender shall be deemed to refer to the feminine whenever appropriate.

ARTICLE 3.  PARTICIPATION AND SERVICE

3.1    General

Participation in the Plan is limited solely to a select group of management or highly compensated employees who hold positions that are designated by the Board of Directors as covered under the Plan.

3.2    Date of Participation

An individual shall automatically become a Participant on the later of:

(a)    January 1, 2003, or

(b)    the date that the individual first begins service in a position that the Board of Directors has designated as covered under the Plan.

3.3    Duration; Rehire

(a)    Participant. An employee who becomes a Participant shall continue to be a Participant until the employee has a Termination of Employment with the Bank or until the employee no

	8
#135506

longer serves in a position which the Board of Directors has designated as covered under the Plan.

(b)    Former Participant. An individual shall continue to be a Former Participant until payment of his or her Account is made in full, begins, is forfeited pursuant to Section 4.6, or unless he or she once again becomes a Participant pursuant to Section 3.3(c).

(c)    Rehire. A former employee who was a Participant in the Plan and is subsequently rehired by the Bank shall once again become a Participant on the date he or she begins service in a position that the Board of Directors has designated as covered under the Plan. Such individual’s Contribution Credit Service and Vesting Service shall be determined in accordance with the provisions of Sections 3.4 and 3.5.

3.4    Contribution Credit Service

Except as otherwise provided in this Section, Contribution Credit Service shall include the Participant’s aggregate periods of employment (including years and fractions thereof) with the Bank or with an entity covered by the Financial Institutions Retirement Fund on and after January 1, 1996. Notwithstanding the foregoing, all employment with the Bank necessary to complete six (6) months of Vesting Service as defined in, and required for participation under, the Cash Balance Plan shall be excluded from Contribution Credit Service for purposes of this Plan.

3.5    Vesting Service

Vesting Service with respect to a particular Contribution Credit and the Annual Indexation Credits associated therewith shall include a Participant’s aggregate periods of

	9
#135506

employment (including years and fractions thereof) with the Bank from the date such Contribution Credit is credited to the Participant’s Account.

ARTICLE 4.  RETIREMENT BENEFITS

4.1    Account

(a)    The Bank shall establish and maintain an Account on its books for each Participant (and Former Participant) in the Plan. The balance of a Participant’s (or Former Participant’s) Account as of any date shall be equal to the sum of the Participant’s (or Former Participant’s) Contribution Credits and Annual Indexation Credits, if any, as of that date, as adjusted pursuant to Sections 4.4(b) and 4.4(c) below and, if applicable, Sections 4.1(b) and (c). As of the date payment of benefits is made or commences under this Plan, the Participant’s or Former Participant’s Account shall be reduced to zero (0), such individual shall cease to be a Participant or Former Participant, and, subject to other applicable provisions of the Plan, benefits shall be paid under the automatic form of benefit payment provided under Section 5.2 or, if applicable, the optional form of benefit payment elected by the Participant or Former Participant under Section 5.3.

(b)    Rehired Individuals. If an individual, in accordance with the provisions of Section 3.3(c), once again becomes a Participant, then such individual’s Account shall be determined as follows: upon the date such individual once again becomes a Participant such individual’s Account shall be redetermined (without regard to any distribution previously made or scheduled to be made) and shall be credited only with those amounts which were unvested at the time of the earlier termination and which were not a part of any distribution or scheduled

	10
#135506

distribution. Any such unvested amounts shall be subject to the vesting requirements set forth in Section 4.5.

4.2    Contribution Credits

(a)    Crediting Accounts. A Contribution Credit shall be credited to the Account of each Participant as follows:

(1)    The Contribution Credit for a Plan Year shall be credited to the Account of each Participant as of the last day of each Plan Year, beginning in 2003. No Contribution Credit shall be credited to the Account of any Participant for, or with respect to, any year prior to 2003.

(2)    A Contribution Credit shall be credited to a Participant who has a Termination of Employment or who ceases to be a Participant but otherwise remains employed by the Bank during the course of a Plan Year solely for that portion of Plan Year during which the individual was a Participant. The Contribution Credit for a Participant who has a Termination of Employment shall be credited as of the date of termination. The Contribution Credit for a Participant who ceases to be a Participant but otherwise remains employed by the Bank shall be credited as of December 31 of the applicable Plan Year.

(3)    Subject to Section 4.4 and other applicable provisions of the Plan, the amount of the Contribution Credit credited to the Account of Participants shall be determined in accordance with Schedule A attached hereto unless the Board of Directors specifically provides that the amount of the Contribution Credit to a particular Participant’s Account shall be determined in accordance with Schedule B attached hereto. Additionally, the Board of Directors may, in its discretion and from time to time, designate that the amount of the Contribution Credit credited to the Account of a particular Participant or Participants for a Plan Year shall be determined in

	11
#135506

accordance with a separate Schedule, which Schedule shall be attached hereto. In no circumstances, however, shall the Account of a Participant be credited with Contribution Credits for a Plan Year under more than one Schedule. The Board of Directors must designate any such alternative schedule (other than Schedule A) on or before December 31 of the Plan Year to which the schedule will apply to any Participant or group of Participants.

(b)    Former Participants. No Contribution Credits shall be credited to the Account of any Former Participant with respect to any period of time such individual was not a Participant.

4.3    Annual Indexation Credits

(a)    Crediting Accounts. Annual Indexation Credits shall be credited to the Accounts of Participants and Former Participants as follows:

(1)    The Annual Indexation Credit for a Plan Year shall be credited to the Account of Participants and Former Participants as of the last day of each Plan Year beginning in 2004. No Annual Indexation Credit shall be credited to the Account of any Participant or Former Participant or with respect to any year prior to 2004.

(2)    Subject to Section 4.4 and other applicable provisions of the Plan, the amount of the Annual Indexation Credit credited to the Account of Participants and Former Participants shall be six percent (6%) of the balance of the Account determined as of the first day of the applicable Plan Year.

(b)    Proration; Cessation of Annual Indexation Credits. The Annual Indexation Credit for the Plan Year in which a Participant or Former Participant receives, or begins receiving, payment of his or her benefit under this Plan shall be prorated as provided in Section 4.4(a)

	12
#135506

below and no further Annual Indexation Credits shall be credited to such Participant or Former Participant.

4.4    Special Rules For Determining Balance of Accounts and for Crediting Contribution Credits and Annual Indexation Credits

(a)    Proration. If the Account of a Participant or Former Participant is determined as of a date during the Plan Year, the rules set forth in Section 4.2 and 4.3 shall be applied by treating the date of determination as the end of a short Plan Year. In such a case, the Participant’s Compensation for the Plan Year to the calculation date shall be used in determining Compensation and the Contribution Credit, and the Annual Indexation Credit shall be prorated to reflect the portion of the year that has been completed as of the date of determination.

(b)    Total Retirement Income – Current Limitation. Notwithstanding anything in this Plan to the contrary, the Total Retirement Income of a Participant or Former Participant shall be limited to fifty percent (50%) of the Participant’s or Former Participant’s Final Average Pay, and a Participant’s or Former Participant’s Contribution Credits and/or Annual Indexation Credits, as applicable, under this Plan shall be adjusted as set forth in Section 4.4(d) below in order to ensure that such limit is observed. For this purpose Total Retirement Income shall be determined as of the earlier of the last day of the current Plan Year and the date payments begin, and Final Average Pay shall be determined as of the earliest of the last day of the current Plan Year, Termination of Employment (if any), and the date the Participant ceases to be a Participant (if any).

(c)    Total Retirement Income – Projected Limitation. Notwithstanding anything in this Plan to the contrary, the projected Total Retirement Income of a Participant shall be limited to fifty percent (50%) of the Participant’s projected Final Average Pay, and a Participant’s

	13
#135506

Contribution Credits and/or Annual Indexation Credits, as applicable, under this Plan shall be adjusted as set forth in Section 4.4(d) below in order to ensure that such limit is observed. For this purpose, in the case of a Participant who has not yet attained age 65, Total Retirement Income and Final Average Pay shall be projected from the last day of the current Plan Year to the date the Participant attains age 65 by assuming four percent (4%) annual pay increases and that the Participant remains a Participant until such projected date. The projected limitation under this Section 4.4(c) shall not apply unless the Participant remains a Participant until the last day of the Plan Year.

(d)    If, pursuant to Section 4.4(b), a Participant’s or Former Participant’s Total Retirement Income exceeds the fifty percent (50%) limits set forth in Sections 4.4(b), then Contribution Credits and/or Annual Indexation Credits, as applicable, for the current and, if necessary, prior Plan Years shall be reduced as necessary to limit Total Retirement Income accordingly. If such Participant’s or Former Participant’s Total Retirement Income subsequently falls below the fifty percent (50%) limits set forth in Section 4.4(b), then any Contribution Credits and/or Annual Indexation Credits previously reduced shall be restored as necessary.

(e)    If, pursuant to Section 4.4(c), a Participant’s or Former Participant’s Total Retirement Income is projected to exceed the fifty percent (50%) limits set forth in Section 4.4(c), then the projected future Contribution Credits and/or Annual Indexation Credits, as applicable, shall be reduced, and, if necessary, Contribution Credits and/or Annual Indexation Credits for the current Plan Year, and then any prior Plan Years, shall be reduced to the extent required to limit the projected Total Retirement Income accordingly. If such Participant’s or Former Participant’s Total Retirement Income subsequently is projected to fall below the fifty percent (50%) limits set forth in 4.4(c), then any Contribution Credits and/or Annual Indexation

	14
#135506

Credits previously reduced shall be restored as necessary, first with respect to any prior Plan Years in order of the most recently reduced, and second with respect to projected Plan Years.

4.5Vesting

The interest of each Participant in his or her Account shall vest as follows:

(a)    Vesting of Contribution Credits. Each Participant shall become fully vested in a particular Contribution Credit upon the completion of three (3) years of Vesting Service following the beginning of the Plan Year (or portion thereof) with respect to which such Contribution Credit is credited to the Participant’s Account.

(b)    Vesting of Annual Indexation Credits. Each Participant shall become fully vested in that portion of each Annual Indexation Credit which has been credited to his or her Account with respect to a particular Contribution Credit at the time such Participant becomes fully vested in such Contribution Credit and all further Annual Indexation Credits with respect to that vested Contribution Credit shall be fully vested.

(c)    Attainment of Age 62. Notwithstanding any other provision of this Plan to the contrary, each Participant shall become fully vested in his or her Account on the date such Participant attains age 62 and all further Contribution Credits and Annual Indexation Credits to such Participant’s Account shall be fully vested.

4.6    Forfeiture

(a)    Termination for Cause. Notwithstanding any other provision of this Plan to the contrary, each Participant shall forfeit his or her entire Account (whether vested or nonvested) if the Participant has a Termination of Employment for Cause. For purposes of the Plan, Cause

	15
#135506

shall be determined by the Bank in its sole discretion using the definition set forth in Section

2.1(i).

(b)    Termination Prior to Attaining Age 62. Subject to the provisions of Section 4.1(b) and pursuant to the provisions of Section 4.5, each Participant whose Termination of Employment prior to the date the Participant attains age 62 shall forfeit the unvested final three (3) years of Contribution Credits credited to his or her Account under the Plan.

ARTICLE 5.  PAYMENT OF BENEFITS; DEATH BENEFITS

5.1    Amount of Benefit

The benefit payable under this Plan to a Participant or Former Participant shall be equal to such individual’s vested Account balance at the time payment is made or commences.

5.2    Automatic Form of Benefit Payment

Unless a Participant or Former Participant elects, in the manner prescribed in Section 5.6, an optional form of benefit payment set forth in Section 5.3 within 30 days of first becoming a Participant, the automatic form of benefit payment under the Plan shall be a single lump sum.

5.3    Optional Forms of Benefit Payments

A Participant or Former Participant may elect in accordance with Section 5.6 to receive his or her benefits in one of the following optional forms of payment (which shall be the Actuarial Equivalent of the automatic form provided in Section 5.2) to the extent applicable:

(a)    A Life Annuity Option. A life annuity payable to the Participant or Former Participant as of the first day of each month until (and including) the month in which the Participant or Former Participant dies.

	16
#135506

(b)    A Contingent fifty Percent (50%) Annuitant Option. An annuity payable as of the first day of each month to the Participant or Former Participant, for life, with a continuing annuity to the Beneficiary if the Beneficiary survives the Participant or Former Participant, in an amount which is fifty percent (50%) of the monthly annuity payable to the Participant or Former Participant, beginning with the first day of the month following the Participant’s or Former Participant’s death and continuing for the Beneficiary’s lifetime.

5.4    Automatic Time of Benefit Payment

(a)    Automatic Time. Unless a Participant or Former Participant elects, in the manner prescribed in Section 5.6, an optional time of benefit payment within 30 days of first becoming a Participant, the automatic time of payment of a benefit under the Plan shall be the earlier of the Participant’s Termination of Employment, death or Disability.

(b)    Date Payment is Made. Payment of a benefit under the Plan shall begin as soon as administratively practicable, but not later than 90 days, following Termination of Employment, death or Disability. The Bank shall decide, in its sole discretion, the exact date payment shall begin within such 90-day period.

5.5    Optional Time of Benefit Payment

Notwithstanding Section 5.4(b) above, if a Participant has a Termination of Employment at age 45 or older he may elect to defer payment of benefits under the Plan beyond such Termination of Employment, provided such election is made in accordance with Section 5.6 and the distribution is to be made on a specified date, death or Disability.No payment of benefits may be made under this Plan prior to Termination of Employment, death or Disability. Notwithstanding the foregoing, distributions shall commence no later than the April 1 following

	17
#135506

the end of the calendar year in which the later of the two following events occur: (1) the Participant reaches age 70 ½, or (2) the Participant has a Termination of Employment.

5.6    Manner and Time of Elections

(a)    The election of an optional form or time of benefit payment shall be made on such forms as may be prescribed by the Bank. Except as provided in Section 5.6(b), a Participant must make an election regarding the optional form of benefit and the optional time of benefit payment within 30 days of first becoming a Participant and such election shall be irrevocable on the beginning of the 31st day after becoming a Participant. If no election is made within such 30 days, the automatic form of benefit payment and automatic time of benefit payment rules will apply. A Participant (or Former Participant) may modify his election or the automatic form and time of benefit but the date the modification is submitted to the administrator must be at least twelve (12) months prior to the Participant’s (or Former Participant’s) scheduled distribution date, the modification shall not be effective for twelve (12) months after it becomes irrevocable and the first payment under the modified distribution date must occur at least five (5) years after the date such payment would have been made absent the modification; provided, however, that the additional five (5) years shall not apply to payments elected to be made upon death or to any change in the form of payment between annuities that are Actuarial Equivalents. The election to modify in the preceding sentence shall be irrevocable twelve (12) months prior to the scheduled distribution date absent the modification.

(b)    The rules regarding elections apply to rehired employees described in Section 4.1(b), in the same way it applies to newly eligible employees.

	18
#135506

(c)    Notwithstanding any other provision in the Plan to the contrary, during 2008 a Participant may modify the form of distribution and the distribution date elected under Section 5.6(a), provided that the election is made not later than December 31, 2008. No election under this Section shall: (1) change the payment date of any distribution otherwise scheduled to be paid in 2008 or cause a payment to be paid in 2008, or (2) be permitted after December 31, 2008.

(d)    Notwithstanding any other provision of the Plan to the contrary, no distribution shall be made from the Plan that would constitute an impermissible acceleration of payment as defined in Section 409A(a)(3) of the Code and the regulations promulgated thereunder.

(e)    The Committee may delay any payment to a Participant or Former Participant upon the Committee’s reasonable anticipation of one or more of the following: (i) making such payment would jeopardize the Bank’s ability to continue as a going concern and the payment is made to the Participant during the first taxable year in which making the payment would not have such effect on the Bank; or (ii) making such payment would violate Federal securities laws or other applicable law.

5.7    Death Benefits

(a)    In the case of a Participant or Former Participant:

(1)    who has a vested interest in his or her Account balance; and

(2)    who dies before benefit payment has been made in the case of the lump sum automatic form of payment pursuant to Section 5.2, or who has elected the life annuity form of payment pursuant to Section 5.3(a) and dies before payment has begun, the amount of the vested Account balance shall be paid in a lump sum to the Participant’s or Former Participant’s

	19
#135506

Beneficiary eighteen (18) months after the death of the Participant or Former Participant. In order to change the form or the time of the payment, the Beneficiary must make an election within six (6) months after the Participant’s or Former Participant’s death to receive a distribution in a form that is available to Beneficiaries under Section 5.3, such election shall be irrevocable on the six (6) month anniversary of the Participant’s death and shall not be effective for twelve (12) months after the date such election becomes irrevocable. If the Beneficiary fails to make a timely election, the Beneficiary will receive the benefit in the form of a lump sum at the end of the eighteen (18) month period. The Beneficiary cannot elect to receive: (1) payment past the date that is the April 1 following the end of the calendar year in which the Participant would have attained age 70 ½, (2) benefits in a form not allowed under the Cash Balance Plan and (3) benefits before the end of the eighteen (18) month period.

(b)    In the case of a Participant or Former Participant:

(1)    who has a vested interest in his or her Account balance; and

(2)    who has elected the contingent fifty percent (50%) annuitant option pursuant to Section 5.3(b) and who dies either before or after benefit payment has begun, the amount of the vested Account balance shall be paid or continue to be paid in the form of the contingent fifty percent (50%) annuitant option described in Section 5.3(b).

(c)    In no other case shall any amount be paid to a Participant’s or Former Participant’s Beneficiary.

5.8    Beneficiary Designation

A Participant or Former Participant may designate a person or other entity as the Beneficiary to receive any death benefit payable under the Plan. Each Beneficiary designation

	20
#135506

shall be in the form prescribed by the Bank, shall be effective only when properly filed in writing with the Bank before the earlier of the Participant’s or Former Participant’s death or the time payment is made or commences, and shall revoke all prior designations by the Participant or Former Participant.

ARTICLE 6.  SOURCE OF PAYMENTS

All benefits payable under the Plan shall be paid as they become due and payable by the Bank out of its general assets. Nothing contained in this Plan shall be deemed to create a trust of any kind for the benefit of Participants, Former Participants or their Beneficiaries or create a fiduciary relationship between the Bank and the Participants, Former Participants or their Beneficiaries. To the extent that any person acquires a right to receive benefits under the Plan, such rights shall be no greater than the right of any unsecured general creditors of the Bank. Notwithstanding the foregoing, the Bank may, in its sole discretion, execute a trust agreement with a trustee, or enter into one or more contracts with an insurance company or companies, or adopt a combination of both methods of funding. Any such trust so established shall be a “rabbi” grantor trust under Sections 671 through 679.

	21
#135506

ARTICLE 7.  ADMINISTRATION

7.1    Committee

(a)    General. The Committee, subject to those powers which the Board of Directors has reserved as described in Article 8 below, shall have general authority over, and responsibility for, the administration and interpretation of the Plan. The Committee shall have full power, authority and discretion to interpret and construe the Plan, to make all determinations considered necessary or advisable for the administration of the Plan and the trust, if any, the calculation of the amount of benefits payable under the Plan, and to review claims for benefits under the Plan. The Committee’s interpretations and constructions of the Plan and its decisions or actions thereunder shall be binding and conclusive on all persons for all purposes.

(b)    Composition. The Committee shall consist of at least three individuals, each of whom shall be appointed by the Board of Directors. Any Committee member may resign by delivering his or her written resignation to the Committee no later than fifteen (15) days before the effective date of the resignation. The Board of Directors may remove any member of the Committee at any time and for any reason with or without advance written notice. Vacancies in the Committee arising by resignation, death, removal or otherwise shall be filled by the Board of Directors.

(c)    Committee Procedures. The Committee shall elect or designate one of its own members as Chair, establish its own procedures and the time and place for its meetings and provide for the keeping of minutes of all meetings. A majority of the members of the Committee shall constitute a quorum for the transaction of business by the Committee. Any action of the Committee may be taken upon the affirmative vote of a majority of the members at a meeting or, at the direction of its Chair, without a meeting by mail or telephone, provided

	22
#135506

that all of the Committee members are informed in writing of the matter to be voted upon. The Committee may establish procedures pursuant to which a Committee member may elect not to participate in a Committee proceeding in which such member has an interest. No Committee member shall be entitled to act on or decide any matters relating solely to such Committee member as a Participant or any of his or her rights or benefits under the Plan.

(d)    Expenses. All expenses incurred by the Committee in its administration of the Plan shall be paid by the Bank. The Committee members shall not receive any special compensation for serving in such capacity but shall be reimbursed for any reasonable expenses actually incurred in connection therewith. No bond or other security is required of the Committee or any member thereof in any jurisdiction.

(e)    Liability; Indemnification. No Committee member shall be personally liable by reason of any instrument executed by such Committee member, or action taken by the member in his or her capacity as a Committee member, acting in good faith and exercising reasonable care, nor for any mistake of judgment made in good faith. Committee members may be entitled to indemnification for certain costs, expenses and liabilities to the fullest extent permitted by applicable law and regulations and the charter and bylaws of the Bank, and subject to the terms and conditions set forth in such bylaws.

7.2    Procedures for Requesting Benefit Payments

To obtain Plan benefits, a Participant, Former Participant or Beneficiary must file a written application with the Bank. Procedures for filing a claim in the event that Plan benefits are denied in whole or in part may be obtained from the Bank.

	23
#135506

ARTICLE 8.   AMENDMENT AND TERMINATION

8.1    Amendment of the Plan

The Bank reserves the right to amend the Plan at any time and in any respect whatsoever by action of its Board of Directors or by such other means as may be prescribed by the Board of Directors. The President of the Bank shall have authority to make administrative and other amendments to the Plan as may be necessary or appropriate to facilitate the administration, management, and interpretation of the Plan or to conform the Plan thereto (including any such amendments as necessary or appropriate from time to time to conform the Plan to changes in applicable laws), provided that any such amendment or action does not have a material effect on the then currently estimated cost to the Bank of maintaining the Plan. All amendments to the Plan that have a material effect on the then currently estimated cost to the Bank of maintaining the Plan must be approved by the Board of Directors. Retroactive Plan amendments may not decrease the Account balance of any Participant or Former Participant determined as of the time the amendment is adopted, unless the Participant or Former Participant consents in writing.

8.2    Termination of the Plan

While it is the intent of the Bank to maintain the Plan indefinitely, it reserves the right to terminate the Plan in whole or in part by action of the Board of Directors (or by such other means as may be prescribed by the Board of Directors) at any time.

Upon termination of the Plan, no further benefits shall accrue under the Plan to any Participant or Former Participant. In the event of a termination of the Plan, the Bank may determine that the Accounts will be distributed. If the Board of Directors determines that the Plan is to be terminated and distributions are to be made, the Accounts will be distributed within

	24
#135506

the period beginning twelve (12) months after the date the Plan was terminated and ending twenty-four (24) months after the date the Plan was terminated, or pursuant to Article 5 of the Plan, if earlier, and otherwise in accordance with Treasury Regulation § 1.409A-3(j)(4)(ix)(C). Any liquidation and termination of the Plan will not occur proximate to a downturn in the financial health of the Bank, as prohibited by Code Section 409A. If the Plan is terminated and Accounts are distributed, the Bank shall: (1) terminate all arrangements for Participants that are required to be aggregated with the Plan under Code Section 409A and (2) not adopt a new plan for Participants that would be aggregated with the Plan under Code Section 409A, at any time within three (3) years following the date of the termination of the Plan.

8.3    Change in Control

The Bank may terminate the Plan within 30 days prior to or twelve (12) months following a Change in Control and distribute the Accounts of the Participants or Former Participants within the twelve (12) month period following a termination of the Plan and otherwise in accordance with Treasury Regulation § 1.409A-3(j)(4)(ix)(B). If the Plan is terminated and Accounts are distributed in connection with a Change in Control, the Bank shall: (1) terminate all arrangements for Participants that are required to be aggregated with the Plan under Code Section 409A and (2) not adopt a new plan for Participants that would be aggregated with the Plan under Code Section 409A, at any time within three years following the date of the termination of the Plan.

8.4    Dissolution or Bankruptcy

The Plan shall automatically terminate upon a corporate dissolution or bankruptcy provided that Participants’ (or Former Participant’s) Accounts are distributed and included in the gross income of the Participants (or Former Participants) by the latest of: (i) the Plan Year in

	25
#135506

which the Plan termination, (ii) the first Plan Year in which payment of the Accounts is administratively practicable, or (iii) the calendar year in which the amount is no longer subject to a substantial risk of forfeiture and otherwise in accordance with Treasury Regulation § 1.409A-3(j)(4)(ix)(C). A corporate dissolution or bankruptcy will have occurred only if the transaction qualifies as both a liquidation or reorganization under 12 United States Code Section 1446(26) and a dissolution or bankruptcy under Code Section 409A and the regulations promulgated thereunder.

ARTICLE 9.  MISCELLANEOUS PROVISIONS

9.1    Employment Rights

Nothing contained in this Plan or any modification of the Plan or act done in pursuance of this Plan shall be construed as giving any Participant or Former Participant any legal or equitable right with respect to his or her employment against the Bank (or any director, officer or employee thereof), unless specifically provided in this Plan or under applicable law, or as giving any person a right to be retained in the employ of the Bank. All employees shall remain subject to assignment, reassignment, promotion, transfer, layoff, reduction, suspension, and discharge to the same extent as if this Plan had never been established.

9.2    No Examination or Accounting

Neither this Plan nor any action taken under it shall be construed as giving any person the right to an accounting or to examine the books or affairs of the Bank, the Plan, or the Committee, except to the extent required by law.

	26
#135506

9.3    Records Conclusive

The records of the Bank and the Committee shall be conclusive in respect to all matters involved in the administration of the Plan to the extent permitted by applicable law.

9.4    Severability

In the event any provision of this Plan shall be held illegal or invalid for any reason, such illegality or invalidity shall not affect the remaining parts of this Plan, and it shall be construed and enforced as if such illegal or invalid provision had never been included.

9.5    Counterparts

This Plan may be executed in any number of counterparts, each of which shall be deemed to be an original. All the counter parts shall constitute but one and the same instrument and may be sufficiently evidenced by any one counterpart.

9.6    Taxes

The Bank shall withhold, or cause to be withheld, from all benefits payable under the Plan all federal, state, local or other taxes required by applicable law be withheld with respect to such payment.

9.7    Binding Effect

The Plan shall be binding upon and inure to the benefit of the Bank and its successors and assigns and the Participants, Former Participants, their Beneficiaries and estates. The Plan shall also be binding upon and inure to the benefit of any successor organization succeeding to substantially all of the assets and business of the Bank, but nothing in the Plan shall preclude the Bank from merging or consolidating into or with, or transferring all or substantially all of its

	27
#135506

assets to, another organization which assumes the Plan and all obligations of the Bank thereunder.

In any agreement or plan which the Bank may enter into to effect any merger, consolidation, reorganization, or transfer of assets, except as provided in Section 8.3, the Bank agrees that it shall make appropriate provision for the preservation of the Participants’ and Former Participants’ benefits accrued under the Plan prior to such merger, consolidation, reorganization or transfer of assets. Upon such a merger, consolidation, reorganization, or transfer of assets and assumption of the Plan obligations of the Bank, the term “Bank” shall refer to such other organization and the Plan shall continue in full force and effect.

9.8    Assignment

No Participant or Former Participant or Beneficiary shall have the right to assign, transfer, hypothecate, encumber or anticipate his or her benefits under the Plan, nor shall the benefits under this Plan be subject to any legal process to levy upon or attach the benefits for payment of any claim against the Participant or Former Participant or his or her Beneficiary. In the event of any attempted assignment or transfer, the Bank shall have no further liability hereunder. The foregoing notwithstanding, in accordance with procedures that are established by the Committee (including procedures requiring prompt notification to the affected Participant or Former Participant and each alternate payee of the receipt by the Plan or the Bank of a domestic relations order and its procedures for determining the qualified status of such order) and subject to Code Section 409A, a judicial order for purposes of or pertaining to domestic relations (which orders do not alter the amount, timing, or form of benefit other than to have it commence at the earliest permissible date) shall be honored by the Plan and the Bank if the Committee or its designee determines that such order would constitute a qualified domestic relations order (within

	28
#135506

the meaning of Section 414(p)(1)(B) of the Code) if the Plan were a qualified retirement plan under Section 401(a) of the Code.

9.9    Incapacity

If the Committee is presented with credible evidence that any person to whom any amount is or was payable under the Plan is unable to care for his or her affairs because of illness or accident, or is a minor, or has died, then any payment, or any part thereof, due to such person or his or her estate (unless a prior claim therefor has been made by a duly appointed legal representative), may, if the Committee is so inclined, be paid to such person’s spouse, child, or other relative, an institution maintaining or having custody of such person, or any other person deemed by the Committee to be a proper recipient on behalf of such person otherwise entitled to payment. In making such a finding the Committee may rely on the advice of experts chosen by the Committee in its sole discretion. Any payment consequent on such finding shall be in complete discharge of the liability of the Plan and the Bank therefor.

9.10    Unsecured Creditor

To the extent that any person acquires a right to receive payments from the Bank under the Plan, such right shall be no greater than the right of an unsecured general creditor of the Bank.

9.11    Notice

Any election, application, claim, designation, request, notice, instruction or other communication required or permitted to be made by a Participant, Former Participant, Beneficiary, or other person to the Committee shall be made in writing and in such form as is prescribed from time to time by the Committee and shall be mailed by first-class mail, postage

	29
#135506

pre-paid or delivered to such location as shall be specified by the Committee and shall be deemed to have been given and delivered only upon receipt thereof at such location.

9.12    Benefits Not Salary

The benefits payable under the Plan shall be independent of, and in addition to, any other benefits provided by the Bank and shall not be deemed salary or other remuneration by the Bank for the purpose of computing benefits to which any Participant or Former Participant may be entitled under any other plan or arrangement of the Bank.

9.13    Captions

The captions preceding the sections of the Plan have been inserted solely as a matter of convenience and shall not in any manner define or limit the scope or intent of any provisions of the Plan.

9.14    Governing Law

The Plan is intended to constitute an unfunded Plan for a select group of employees and rights thereunder shall be construed according to the laws of the State of California, without giving effect to the choice of law principles thereof, and the laws of the United States, as applicable. The Plan shall be construed in a manner that is consistent and compliant with Section 409A of the Code, and any regulations promulgated thereunder. Any provision that is noncompliant with Section 409A of the Code is void or deemed amended to comply with Section 409A of the Code. The Bank does not guarantee or warrant the tax consequences of the Plan, and the Participants shall in all cases be liable for any taxes due with respect to the Plan.

	30
#135506

9.15    Addresses

Each Participant or Former Participant must file with the Bank from time to time in writing his or her post office address and each change of post office address. The communication, statement or notice addressed to a Participant or Former Participant at the last post office address filed with the Bank, or if no address is filed with the Bank, then at the last post office address as shown on the records of the Bank, shall be binding on the Participant or Former Participant and his or her Beneficiaries for all purposes of the Plan. The Bank shall not be required to search for or locate a Participant, Former Participant or his or her Beneficiary.

IN WITNESS WHEREOF, the Federal Home Loan Bank of San Francisco has caused this amendment and restatement to the Federal Home Loan Bank of San Francisco Supplemental Executive Retirement Plan, effective July 1, 2013, to be executed by its duly authorized officers, this 26th day of December, 2013.

FEDERAL HOME LOAN BANK OF SAN FRANCISCO
Signature:	/s/ Dean Schultz
Name:	Dean Schultz
Title:	President and Chief Executive Officer
Signature:	/s/Gregory P. Fontenot
Name:	Gregory P. Fontenot
Title:	Senior Vice President, Director of Human Resources

	31
#135506

FEDERAL HOME LOAN BANK OF SAN FRANCISCO
SUPPLEMENTAL EXECUTIVE RETIREMENT PLANSchedule A

Subject to Sections 3.4, 4.2 and other applicable provisions of the Plan, for the Plan Year beginning in 2003 and for subsequent Plan Years, Contribution Credits shall be credited to the Account of each Participant as follows unless the Board of Directors specifically designates that a different Schedule is applicable to such Participant.

A.1 8% of Compensation for Contribution Credit Service less than 10 years.

A.2 12% of Compensation for Contribution Credit Service of 10 or more but less than 15 years.

A.3 16% of Compensation for Contribution Credit Service of 15 years or more.

For purposes of this Schedule, Compensation shall include only Compensation earned by the Participant during the applicable Plan Year while a Participant in the Plan. Additionally, for purposes of this Schedule, Contribution Credit Service shall be determined as of the first day of the applicable Plan Year. No Contribution Credits shall be credited to the Account of any Participant under this Schedule A for, or with respect to, any year prior to 2003.

	A-1
#881286

FEDERAL HOME LOAN BANK OF SAN FRANCISCO
SUPPLEMENTAL EXECUTIVE RETIREMENT PLANSchedule B

Subject to Sections 3.4, 4.2 and other applicable provisions of the Plan, for the Plan Year beginning in 2003 and for subsequent Plan Years, the Account of each Participant to whom the Board of Directors has specifically designated this Schedule B applies shall be credited with Contribution Credits as follows:

B.1 10% of Compensation for Contribution Credit Service less than 10 years.

B.2 15% of Compensation for Contribution Credit Service of 10 or more but less than 15 years.

B.3 20% of Compensation for Contribution Credit Service of 15 years or more.

For purposes of this Schedule, Compensation shall include only Compensation earned by the Participant during the applicable Plan Year while a Participant in the Plan. Additionally, for purposes of this Schedule, Contribution Credit Service shall be determined as of the first day of the applicable Plan Year. No Contribution Credits shall be credited to the Account of any Participant under this Schedule B for or with respect to any year prior to 2003.

	B-1
#881286

2016 AMENDMENT TO

FEDERAL HOME LOAN BANK OF SAN FRANCISCO

SUPPLEMENTAL EXECUTIVE RETIREMENT PLAN

Pursuant to Section 8.1 of the Federal Home Loan Bank of San Francisco Supplemental Executive Retirement Plan, as Amended and Restated Effective July 1, 2013 (the “Plan”), and the action of the Board of Directors, the Plan is hereby amended, effective May 12, 2016, by the addition of a new Schedule C to the Plan, which Schedule C is attached hereto.

FEDERAL HOME LOAN BANK OF SAN FRANCISCO

SUPPLEMENTAL EXECUTIVE RETIREMENT PLAN

Schedule C

Subject to Sections 3.4, 4.2 and other applicable provisions of the Plan, for the Plan Year beginning in 2016 and for subsequent Plan Years, the Account of each Participant to whom the Board of Directors has specifically designated this Schedule C applies shall be credited with Contribution Credits as follows:

C.l10% of Compensation for Contribution Credit Service less than 4 years.

C.215% of Compensation for Contribution Credit Service of 4 or more but less than 9 years.

C.320% of Compensation for Contribution Credit Service of 9 years or more.

For purposes of this Schedule, Compensation shall include only Compensation earned by the Participant during the applicable Plan Year while a Participant in the Plan. No Contribution Credits shall be credited to the Account of any Participant under this Schedule C for or with respect to any year prior to 2016.

Additional Discretionary Contribution Credit

Subject to applicable provisions of the Plan and subject to prior review and non-objection by the Federal Housing Finance Agency, if the Participant’s first Plan Year of participation is less than the full Plan Year, then, at the discretion and specific determination of the Board of Directors, an additional Contribution Credit may be credited to the Participant’s Account as of the last day of such Plan Year.

Supplemental Three Year Contribution Credit

Subject to applicable provisions of the Plan and subject to prior review and non-objection by the Federal Housing Finance Agency, the Account of a Participant to whom the Board of Directors has specifically designated that the Supplemental Three Year Contribution Credit set forth on this Schedule C applies shall be credited with additional Contribution Credits as follows:

$200,000 Contribution Credit on the thirtieth (30^th) day following the Participant’s employment commencement date with the Bank.

$200,000 Contribution Credit on the first anniversary of the Participant’s employment commencement date with the Bank.

$200,000 Contribution Credit on the second anniversary of the Participant’s employment commencement date with the Bank.

No Contribution Credit shall be made under this Supplemental Three Year Contribution Credit schedule on any date set forth herein if the Participant has a Termination of Employment prior to such date; provided, however, if the Participant has a Termination of Employment prior to the second anniversary of the Participant’s employment commencement date with the Bank solely by reason of the Participant’s death, Disability, or involuntary termination by the Bank without Cause, then on the Participant’s date of Termination of Employment the Participant’s Account will be credited with a pro rata portion of the next scheduled $200,000 Contribution Credit only, with such proration based on the ratio of (i) the number of days of the Participant’s employment with the Bank following the then most recent anniversary of the Participant’s employment commencement date with the Bank (or the employment commencement date itself if the Participant has not reached the Participant’s first anniversary) to (ii) 365 days.

Notwithstanding Section 4.5 of the Plan, each Contribution Credit under this Supplemental Three Year Contribution Credit schedule only shall be fully vested immediately upon its crediting date.

Exhbit B

Exhibit Page 1 of 6

EX-10.7 4 ex 1072016presidentsincenti.htm 2016 PRESIDENT'S INCENTIVE PLAN

EXHIBIT 10.7

FHLBank San Francisco

2016 PRESIDENT’S INCENTIVE PLAN

PLAN PURPOSE

To optimize individual and Bank performance in accomplishing Board-approved goals and objectives.

PLAN OBJECTIVES

To motivate the Bank President to exceed individual and Bank goals that support the Bank’s mission and strategic plan. To attract and retain an outstanding executive by providing a competitive total compensation program, including an annual incentive award opportunity.

ELIGIBILITY

The 2016 participant is the Bank President.

The Bank President must be employed by the Bank through January 1, 2017 to be eligible for an incentive award under the 2016 plan. A Bank President hired, promoted, or who takes a leave of absence during the plan year is eligible to participate on a pro-rata basis. A Bank President hired or promoted on or after October 1^st may be eligible to participate during the current plan year at the discretion of the Board.

INCENTIVE GOALS AND MEASURES

Incentive Goals

For the Bank President there are individual and Bank goals, which are weighted. The individual goal(s) support the Bank-wide goals (See 2016 Short-Term Incentive Plan Goals and Measures) and objectives.

The three Bank goals for 2016 are:

1. 2016 Risk Management Goal: Continue to enhance and advance the function and approaches to the Bank’s risk management.

2. 2016 Franchise Enhancement Goal: Position the Bank and the FHLBank System to remain an integral component of the changing housing and financial services markets. Continue to meet the Bank's mission objectives within these markets as they are currently structured, but also influence and adapt to structural changes in those markets.

3. 2016 Community Investment Goal: Support and promote the Bank’s Affordable Housing Program and Community Investment Programs.

Incentive Goal Achievement Measures

The plan levels of goal achievement are as follows:

Achievement Level	Measure Definition
Far Exceeds	The most optimistic achievement level that far exceeds expected performance.
Exceeds	An optimistic achievement level that exceeds expected performance.
Meets	Performance that is expected under the Bank's Plan.
Threshold	Minimum level of performance that must be achieved for awards to be paid.

Actual achievement of Bank goals is subject to adjustment for changes resulting from changes in financial strategies or policies, any significant change in Bank membership, as well as other factors determined by the Board. Impacts of OTTI credit charges are excluded from the achievement levels and

www.sec.gov/Archives/edgar/data/1316944/000131694416000282/ex1072016presidentsincenti.htm 4/21/2016

Exhibit Page 2 of 6

measurement of performance for the Adjusted Return on Capital Spread component of the Franchise Enhancement Goal. Impacts of dividend benchmark variances to plan are also excluded from the measurement of Adjusted Return on Capital Spread performance.

January 2016

www.sec.gov/Archives/edgar/data/1316944/000131694416000282/ex1072016presidentsincenti.htm 4/21/2016

Exhibit Page 3 of 6

AWARD DETERMINATION AND OPPORTUNITY

Any award will be based on success in achieving the individual and Bank goals, and on the overall performance. At yearend, accomplishments will be assessed and a percentage of achievement will be determined for each goal and any award determination shall be approved by the Board.

Percentage of Goal Achievement Scale	Aggregate Goal Achievement	Award Range (Percentage of 2016 Base Salary)
0% - 150%	150% = Far Exceeds	50%
	125% = Exceeds	48%
	100% = Meets	40%
	75% = Threshold	20%

For each goal, the percentage of achievement will be multiplied by the applicable weights. Each weighted achievement will then be added to determine the total weighted achievement. The basis for any award opportunity for the participant is total weighted achievement. Total weighted achievement from Threshold achievement level (75-99%) is below the Meets achievement level and, therefore, results in an award less than one granted for achieving the Meets achievement level. Total weighted achievement below the Threshold achievement level normally will not result in an incentive award. The Board of Directors has full discretion to modify any and all goals, achievement levels, and incentive payments to account for matters not specifically addressed in the plan, subject to review by the Federal Housing Finance Agency, as required. Incentive compensation reductions may be made, but are not limited to the following circumstances: (i) if errors or omissions result in material revisions to the Bank’s financial results, information submitted to a regulatory or a reporting agency, or information used to determine incentive compensation payouts; (ii) if information submitted to a regulatory or a reporting agency is untimely; or, (iii) if the Bank does not make appropriate progress in the timely remediation of examination, monitoring, or other supervisory findings and matters requiring attention.

APPROVAL OF INCENTIVE AWARDS

The amount of the incentive award, if any, under this plan shall be approved by the Board of Directors, including any award for achievement below Threshold. Awards will be considered by the Board of Directors at the January 2017 Board meeting, or as soon thereafter as reasonably practicable.

TIMING OF PAYMENT OF FINAL INCENTIVE AWARDS

Payment of the incentive award, if any, will be paid in the taxable year immediately following the end of the performance period and no later than 60 days after the date that the Board of Directors’ approval of such award becomes effective.

PLAN ADMINISTRATION AND IMPLEMENTATION

The Board of Directors oversees the administration and interpretation of the plan.

The plan is intended to be exempt from Section 409A of the Internal Revenue Code and the provisions of the plan shall be construed and interpreted consistent with such intent.

2016 President and CEO Goal Weights
	Corporate Goal Weights	Goal Weight (includes individual goals)
Individual	N/A	10.0%
Risk Management	30.0%	27.0%
Franchise Enhancement	50.0%	45.0%
Community Investment	20.0%	18.0%
Total	100.0%	100.0%

All compensation and incentive plans are subject to review and revision at the Bank’s discretion. Such plans are reviewed regularly to ensure they are competitive and equitable. Executive Officer compensation and benefit programs are subject to Federal Housing Finance Agency review and oversight, and payments made under such programs may not become effective until after the Agency’s non-objection under applicable laws and regulations in effect from time to time.

www.sec.gov/Archives/edgar/data/1316944/000131694416000282/ex1072016presidentsincenti.htm 4/21/2016

Exhibit Page 4 of 6

January 2016

www.sec.gov/Archives/edgar/data/1316944/000131694416000282/ex1072016presidentsincenti.htm 4/21/2016

Exhibit Page 5 of 6

2016 Short-Term Incentive Plan Goals and Measures

2016 Goals	2016 Goal Components	Goal Weight	Goal Component Weight	2016 Short-Term Incentive Plan Goal Measures
1)  RISK MANAGEMENT		30%		In the event of a Significant Deficiency or Material Weakness in internal control over financial reporting, a significant operations loss, or a significant noncompliance with Bank policy as described in the Bank’s Risk Management Policy, the Board of Directors will assess the impact and appropriate adjustment to the Risk Management goal achievement level, if any.
	A) Strategic Sourcing and Vendor Management		50%	75%:	threshold
				•	Strategic Sourcing: Adopt new Bank Purchasing Policy
				•	Vendor Management: Adopt Risk Management Tool for assessment and diligence of the Bank's Strategic vendors
				100%:	75% achievement, plus:
				•	Strategic Sourcing: Attain 40% spend under management (SUM)
				•	Vendor Management: Rationalize vendor base into Strategic, Preferred, and Tactical vendor categories
				125%:	100% achievement, plus:
				•	Strategic Sourcing: Attain 50% SUM
				•	Vendor Management: Adopt Risk Management Tool for assessment and diligence of Preferred vendors
				150%:	125% achievement, plus:
				•	Strategic Sourcing: Attain 60% SUM
				•	Vendor Management: Adopt Risk Management Tool for assessment and diligence of Tactical vendors
	B) Business Continuity		50%	75%:	Develop and establish Business Continuity Management (BCM) Program Standards
				100%:	Achieve 50% of targets in the BCM Program Planning and Exercise Standards
				125%:	Achieve 50% of targets in the BCM Program Threat Analysis and Crisis Management Standards
				150%:	Achieve 75% of targets in the BCM Program Education, Awareness and Training, and BCM Program Governance and Reporting Standards
2)FRANCHISE ENHANCEMENT		50%
	A) Financial Performance		35%	Adjusted Return on Capital Spread
					75%	100%	125%	150%
					3.27%	3.52%	3.77%	4.02%
				Achievement level targets and measured performance exclude OTTI credit charges.
	B) Technology		25%	75%:	Complete 2 strategic technology initiatives: [Technology Resiliency-Phase I and Vendor/Procurement Management]
				100%:	75% achievement, plus: complete 2 additional (total of 4) strategic technology initiatives
				125%:	100% achievement, plus: complete 2 additional (total of 6) strategic technology initiatives
				150%:	125% achievement, plus: complete 2 additional (total of 8) strategic technology initiatives
				Calypso Upgrade not included in the total, given dependency on the vendor to release the product before the upgrade can begin.
	C) Member Business		20%		Advances and Letters of Credit (LC) Volume Average Outstanding Daily Balance ($Bils)
					75%	100%	125%	150%
					$[*]	$[*]	$[*]	$[*]
			5%		Mortgage Partnership Finance (MPF) Volume ($Mils)
					75%	100%	125%	150%
					$[*]	$[*]	$[*]	$[*]
			5%		Mortgage Partnership Finance (MPF) (Conversions of New/Non-Selling PFIs)
					75%	100%	125%	150%
					[*]	[*]	[*]	[*]
				Measured by existing non-sellers or new PFIs that sell loans.
			10%		Recruitment (# of New Members)
					75%	100%	125%	150%

www.sec.gov/Archives/edgar/data/1316944/000131694416000282/ex1072016presidentsincenti.htm 4/21/2016

Exhibit Page 6 of 6

					7	9	11	13
3)  COMMUNITY INVESTMENT		20%
	CIP/ACE Advances, Letters of Credit and AHEAD (# of Members)		100%	(# of Members)
					75%	100%	125%	150%
					38	41	44	47

[*]  Certain information on this page has been omitted and filed separately with the Securities and Exchange Commission. Confidential treatment has been requested with respect to the omitted portion

January 2016

www.sec.gov/Archives/edgar/data/1316944/000131694416000282/ex1072016presidentsincenti.htm 4/21/2016

Exhbit C

EX 10.3 2014 Executive Performance Unit Plan Page 1 of 4

EX-10.3 ex1032014executiveperforma.htm 2014 EXECUTIVE PERFORMANCE UNIT PLAN

Exhibit 10.3

FHLBank San Francisco2014 Executive Performance Unit PlanSummary Description

PLAN PURPOSE

To optimize the Bank’s performance in accomplishing Board-approved goals.

PLAN OBJECTIVES

To motivate key executives to position the Bank to exceed specified long-term Bank goals that directly support the Bank’s mission and strategic plan. To attract and retain outstanding executives by providing a competitive total compensation program, including a cash-based long-term incentive reward opportunity tied to the performance of the Bank against specified performance measures.

PARTICIPANTS

Participants are key executives whose performance has a major impact on the Bank’s success. Participants are the incumbents in the Bank’s senior officer positions, including:

President

Executive Vice President

Senior Vice Presidents (excluding the Senior Vice President, Director of Internal Audit – participates in the Audit Performance Unit Plan)

PERFORMANCE PERIOD

The Executive Performance Unit Plan (EPUP) pays incentive awards related to the achievement of Bank performance over a three-year performance period. The 2014 EPUP is effective January 1, 2014, and is based on performance from January 1, 2014 through December 31, 2016.

PERFORMANCE METRICS

Performance metrics balance financial and risk management objectives, focusing on achievement of Adjusted Return on Capital Spread and Risk Management goals. Adjusted Return on Capital Spread will be weighted 30% and Risk Management will be weighted 70%. The Meets performance level reflects long-term performance expectations. Unlike the President’s Incentive Plan (PIP) and Executive Incentive Plan (EIP), participants do not have an individual goal under the EPUP.

1. 3-Year Average Adjusted Return on Capital Spread: Adjusted Return on Capital Spread (AROCS) is the primary measure the Bank uses to determine total rate of return to shareholders. The Meets AROCS achievement level has been set at 3.27% and represents the projected average for the performance period (January 1, 2014 through December 31, 2016). The Meets AROCS achievement level is consistent with the Bank’s Strategic Plan forecast and reflects the Bank’s continued mission-consistent focus on member’s mortgage finance business. Threshold AROCS has been set at 3.02%, Exceeds achievement level has been set at 3.52% and Far Exceeds achievement level has been set at 3.77%.

2. 3-Year Average Risk Management: Risk Management is based on the 3-year average of the actual Risk Management goal achievement levels under the 2014, 2015, and 2016 annual incentive plans, and will be set at the end of the performance period.

Actual achievement of Bank goals is subject to adjustment for changes resulting from changes in financial strategies or policies, any significant change in Bank membership, as well as other factors determined by the Board. Impacts of OTTI credit charges are excluded from the Adjusted Return on Capital Spread achievement levels, but are included in the measurement of actual Adjusted

http://www.sec.gov/Archives/edgar/data/1316944/000131694414000013/ex1032014executiveperforma.htm 4/21/2016

EX 10.3 2014 Executive Performance Unit Plan Page 2 of 4

Return on Capital Spread performance. Impacts of dividend benchmark variances to plan are excluded from the measurement of Adjusted Return on Capital Spread performance.

Page 1

http://www.sec.gov/Archives/edgar/data/1316944/000131694414000013/ex1032014executiveperforma.htm 4/21/2016

EX 10.3 2014 Executive Performance Unit Plan Page 3 of 4

EPUP ACHIEVEMENT MEASURES

The Executive Performance Unit Plan rewards four levels of performance achievement, as follows:

Achievement Level	Measure Definition
Far Exceeds	The most optimistic achievement level that far exceeds expected performance.
Exceeds	An optimistic achievement level that exceeds expected performance.
Meets	Performance that is expected under the Bank's Plan.
Threshold	Minimum level of performance that must be achieved for awards to be paid.

AWARD DETERMINATION

An award is calculated and paid in whole or part at the end of the 2014 plan term (during the first quarter of 2017). Awards earned are based on the level at which the 3-year performance goals have been achieved. Final awards may be prorated for participants promoted or hired into an eligible position during the performance period, and for participants who take a leave of absence during the performance period. Note that the percentages of award opportunity provided below are not the award percentages of base salary. See below for award opportunities and ranges.

Adjusted Return on Capital Spread Goal (3-Year Average)1			Risk Management Goal (3-Year Average)2
30% goal weight		% of Award Opportunity	70% goal weight		% of Award Opportunity
Threshold (75%)	3.02%	22.5%	Threshold (75%)	Average of 3- Year Achievement	52.5%
Meets (100%)	3.27%	30.0%	Meets (100%)		70.0%
Exceeds (125%)	3.52%	37.5%	Exceeds (125%)		87.5%
Far Exceeds (150%)	3.77%	45.0%	Far Exceeds (150%)		105%
1 Meets excludes OTTI impact, while measured performance includes OTTI impact.
2 Measured by 3-year achievement levels of Risk Management goal under the respective STIPs.

Performance below the Threshold achievement level for either measure normally will not result in an incentive award. The Board of Directors has full discretion to modify any and all goals, achievement levels, and incentive payments to account for matters not specifically addressed in the plan, subject to review by the Federal Housing Finance Agency, as required. Incentive compensation reductions may be made, but are not limited to the following circumstances: (i) if errors or omissions result in material revisions to the Bank’s financial results, information submitted to a regulatory or a reporting agency, or information used to determine incentive compensation payouts; (ii) if information submitted to a regulatory or a reporting agency is untimely; or, (iii) if the Bank does not make appropriate progress in the timely remediation of examination, monitoring, or other supervisory findings and matters requiring attention.

AWARD DETERMINATION AND OPPORTUNITY

Achievement award levels are stated below as a percentage of the February 1^st base salary at the beginning of the performance period.

2014-2016 EPUP Plan Period

Percentage of Goal Achievement Scale	Aggregate Goal Achievement		Award Range (Percentage of 2014 Base Salary)
0% - 150%	150%	= Far Exceeds	50.0%
	125%	= Exceeds	48.0%
	100%	= Meets	40.0%
	75%	= Threshold	20.0%

Awards will be considered by the Board of Directors at the end of the 3-year performance period (during the first quarter of 2017).The amount of an award, if any, shall be approved by the Board of Directors.

http://www.sec.gov/Archives/edgar/data/1316944/000131694414000013/ex1032014executiveperforma.htm 4/21/2016

EX 10.3 2014 Executive Performance Unit Plan Page 4 of 4

All incentive awards are governed by the terms and conditions of the 2014 Executive Performance Unit Plan. In the event there is any conflict between the terms of this summary description and the terms of the plan document, the plan document shall govern.

To be eligible for the Executive Performance Unit Plan payment, participants must be employed with the Bank through the end of the 3-year performance period, except in the case of a voluntary normal retirement, a qualified long-term disability, or death. EPUP awards will be prorated for participants in position less than a full plan term, including participants who have a leave of absence greater than one month during the plan term. Any awards will be distributed as soon as administratively possible following the effective date of Board approval. All compensation and incentive plans are subject to review and revision at the Bank’s discretion. Such plans are reviewed regularly to ensure they are competitive and equitable. Executive Officer compensation and benefit programs are subject to Federal Housing Finance Agency review and oversight, and payments made under such programs may not become effective until after the Agency's non-objection under applicable laws and regulations in effect from time to time.

Page 2

http://www.sec.gov/Archives/edgar/data/1316944/000131694414000013/ex1032014executiveperforma.htm 4/21/2016

EX 10.3 2015 Executive Performance Unit Plan 1 of 4

EX-10.3 4 ex 1032015executiveperforma.htm 2015 EXECUTIVE PERFORMANCE UNIT PLAN

Exhibit 10.3

FHLBank San Francisco2015 Executive Performance Unit PlanSummary Description

PLAN PURPOSE

To optimize the Bank’s performance in accomplishing Board-approved goals.

PLAN OBJECTIVES

To motivate key executives to position the Bank to exceed specified long-term Bank goals that directly support the Bank’s mission and strategic plan. To attract and retain outstanding executives by providing a competitive total compensation program, including a cash-based long-term incentive reward opportunity tied to the performance of the Bank against specified performance measures.

PARTICIPANTS

Participants are key executives whose performance has a major impact on the Bank’s success. Participants are the incumbents in the Bank’s senior officer positions, including:

President

Executive Vice President

Senior Vice Presidents (excluding the Senior Vice President, Director of Internal Audit – participates in the Audit Performance Unit Plan)

PERFORMANCE PERIOD

The Executive Performance Unit Plan (EPUP) pays incentive awards related to the achievement of Bank performance over a three-year performance period. The 2015 EPUP is effective January 1, 2015, and is based on performance from January 1, 2015 through December 31, 2017.

PERFORMANCE METRICS

Performance metrics balance financial and risk management objectives, focusing on achievement of Adjusted Return on Capital Spread and Risk Management goals. Adjusted Return on Capital Spread will be weighted 30% and Risk Management will be weighted 70%. The Meets performance level reflects long-term performance expectations. Unlike the President’s Incentive Plan (PIP) and Executive Incentive Plan (EIP), participants do not have an individual goal under the EPUP.

1. 3-Year Average Adjusted Return on Capital Spread: Adjusted Return on Capital Spread (AROCS) is the primary measure the Bank uses to determine total rate of return to shareholders. The Meets AROCS achievement level has been set at 2.84% and represents the projected average for the performance period (January 1, 2015 through December 31, 2017). The Meets AROCS achievement level is consistent with the Bank’s Strategic Plan forecast and reflects the Bank’s continued mission-consistent focus on member’s mortgage finance business. Threshold AROCS has been set at 2.59%, Exceeds achievement level has been set at 3.09% and Far Exceeds achievement level has been set at 3.34%.

2. 3-Year Average Risk Management: Risk Management is based on the 3-year average of the actual Risk Management goal achievement levels under the 2015, 2016, and 2017 annual incentive plans, and will be set at the end of the performance period.

http://www.sec.gov/Archives/edgar/data/1316944/000131694415000095/ex1032015executiveperforma.htm 4/21/2016

EX 10.3 2015 Executive Performance Unit Plan 2 of 4

Actual achievement of Bank goals is subject to adjustment for changes resulting from changes in financial strategies or policies, any significant change in Bank membership, as well as other factors determined by the Board. Impacts of OTTI credit charges are excluded from the Adjusted Return on Capital Spread achievement levels, but are included in the measurement of actual Adjusted Return on Capital Spread performance. Impacts of dividend benchmark variances to plan are excluded from the measurement of Adjusted Return on Capital Spread performance.

January 2015

http://www.sec.gov/Archives/edgar/data/1316944/000131694415000095/ex1032015executiveperforma.htm 4/21/2016

EX 10.3 2015 Executive Performance Unit Plan 3 of 4

EPUP ACHIEVEMENT MEASURES

The Executive Performance Unit Plan rewards four levels of performance achievement, as follows:

Achievement Level	Measure Definition
Far Exceeds	The most optimistic achievement level that far exceeds expected performance.
Exceeds	An optimistic achievement level that exceeds expected performance.
Meets	Performance that is expected under the Bank's Plan.
Threshold	Minimum level of performance that must be achieved for awards to be paid.

AWARD DETERMINATION

An award is calculated and paid in whole or part at the end of the 2015 plan term (during the first quarter of 2018). Awards earned are based on the level at which the 3-year performance goals have been achieved. Final awards may be prorated for participants promoted or hired into an eligible position during the performance period, and for participants who take a leave of absence during the performance period. Note that the percentages of award opportunity provided below are not the award percentages of base salary. See below for award opportunities and ranges.

Adjusted Return on Capital Spread Goal(3-Year Average) 1			Risk Management Goal(3-Year Average) 2
30% goal weight		% of Award Opportunity	70% goal weight		% of Award Opportunity
Threshold (75%)	2.59%	22.5%	Threshold (75%)	Average of 3- Year Achievement	52.5%
Meets (100%)	2.84%	30.0%	Meets (100%)		70.0%
Exceeds (125%)	3.09%	37.5%	Exceeds (125%)		87.5%
Far Exceeds (150%)	3.34%	45.0%	Far Exceeds (150%)		105.0%
1 Meets excludes OTTI impact, while measured performance includes OTTI impact.
2Measured by 3-year achievement levels of Risk Management goal under the respective STIPs.

Performance below the Threshold achievement level for either measure normally will not result in an incentive award. The Board of Directors has full discretion to modify any and all goals, achievement levels, and incentive payments to account for matters not specifically addressed in the plan, subject to review by the Federal Housing Finance Agency, as required. Incentive compensation reductions may be made, but are not limited to the following circumstances: (i) if errors or omissions result in material revisions to the Bank’s financial results, information submitted to a regulatory or a reporting agency, or information used to determine incentive compensation payouts; (ii) if information submitted to a regulatory or a reporting agency is untimely; or, (iii) if the Bank does not make appropriate progress in the timely remediation of examination, monitoring, or other supervisory findings and matters requiring attention.

AWARD DETERMINATION AND OPPORTUNITY

Achievement award levels are stated below as a percentage of the February 1^st base salary at the beginning of the performance period.

2015-2017 EPUP Plan Period

Percentage of Goal Achievement Scale	Aggregate Goal Achievement		Award Range (Percentage of 2015 Base Salary)
0% - 150%	150%	= Far Exceeds	50.0%
	125%	= Exceeds	48.0%
	100%	= Meets	40.0%
	75%	= Threshold	20.0%

Awards will be considered by the Board of Directors at the end of the 3-year performance period (during the first quarter of 2018). The amount of an award, if any, shall be approved by the Board of Directors. All incentive awards are governed

http://www.sec.gov/Archives/edgar/data/1316944/000131694415000095/ex1032015executiveperforma.htm 4/21/2016

EX 10.3 2015 Executive Performance Unit Plan 4 of 4

by the terms and conditions of the 2015 Executive Performance Unit Plan. In the event there is any conflict between the terms of this summary description and the terms of the plan document, the plan document shall govern.

To be eligible for the Executive Performance Unit Plan payment, participants must be employed with the Bank through the end of the 3-year performance period, except in the case of a voluntary normal retirement, a qualified long-term disability, or death. EPUP awards will be prorated for participants in position less than a full plan term, including participants who have a leave of absence greater than one month during the plan term. Any awards will be distributed as soon as administratively possible following the effective date of Board approval. All compensation and incentive plans are subject to review and revision at the Bank’s discretion. Such plans are reviewed regularly to ensure they are competitive and equitable. Executive Officer compensation and benefit programs are subject to Federal Housing Finance Agency review and oversight, and payments made under such programs may not become effective until after the Agency's non-objection under applicable laws and regulations in effect from time to time.

January 2015

http://www.sec.gov/Archives/edgar/data/1316944/000131694415000095/ex1032015executiveperforma.htm 4/21/2016

Exhibit 1 of 4

EX-10.11 6 ex10112016executiveperfrom.htm 2016 EXECUTIVE PERFORMANCE UNIT PLAN

EXHIBIT 10.11

FHLBank San Francisco

2016 Executive Performance Unit Plan [the Long-Term Incentive Plan]

Summary Description

PLAN PURPOSE

To optimize the Bank’s performance in accomplishing Board-approved goals.

PLAN OBJECTIVES

To motivate key executives to position the Bank to exceed specified long-term Bank goals that directly support the Bank’s mission and strategic plan. To attract and retain outstanding executives by providing a competitive total compensation program, including a cash-based long-term incentive reward opportunity tied to the performance of the Bank against specified performance measures.

PARTICIPANTS

Participants are key executives whose performance has a major impact on the Bank’s success. Participants are the incumbents in the Bank’s senior officer positions, including:

President

Executive Vice President

Senior Vice Presidents (excluding the Senior Vice President, Director of Internal Audit – participates in the Audit Performance Unit Plan)

PERFORMANCE PERIOD

The Executive Performance Unit Plan (EPUP) pays incentive awards related to the achievement of Bank performance over a three-year performance period. The 2016 EPUP is effective January 1, 2016, and is based on performance from January 1, 2016 through December 31, 2018.

PERFORMANCE METRICS

Performance metrics balance financial and risk management objectives, focusing on achievement of Adjusted Return on Capital Spread and Risk Management goals. Adjusted Return on Capital Spread will be weighted 30% and Risk Management will be weighted 70%. The Meets performance level reflects long-term performance expectations. Unlike the President’s Incentive Plan (PIP) and Executive Incentive Plan (EIP), participants do not have an individual goal under the EPUP.

1.3-Year Average Adjusted Return on Capital Spread: Adjusted Return on Capital Spread (AROCS) is the primary measure the Bank uses to determine total rate of return to shareholders. The Meets AROCS achievement level has been set at 2.69% and represents the projected average for the performance period (January 1, 2016 through December 31, 2018). The Meets AROCS achievement level is consistent with the Bank’s Strategic Plan forecast and reflects the Bank’s continued mission-consistent focus on member’s mortgage finance business. Threshold AROCS has been set at 2.44%, Exceeds achievement level has been set at 2.94% and Far Exceeds achievement level has been set at 3.19%.

2.3-Year Average Risk Management: Risk Management is based on the 3-year average of the actual Risk Management goal achievement levels under the 2016, 2017, and 2018 annual incentive plans, and will be set at the end of the performance period.

http://www.sec.gov/Archives/edgar/data/1316944/000131694416000282/ex10112016executiveperform.htm 4/21/2016

Exhibit 2 of 4

Actual achievement of Bank goals is subject to adjustment for changes resulting from changes in financial strategies or policies, any significant change in Bank membership, as well as other factors determined by the Board. Impacts of OTTI credit charges are excluded from the Adjusted Return on Capital Spread achievement levels, but are included in the measurement of actual Adjusted Return on Capital Spread performance. Impacts of dividend benchmark variances to plan are excluded from the measurement of Adjusted Return on Capital Spread performance.

January 2016

http://www.sec.gov/Archives/edgar/data/1316944/000131694416000282/ex10112016executiveperform.htm 4/21/2016

Exhibit 3 of 4

EPUP ACHIEVEMENT MEASURES

The Executive Performance Unit Plan rewards four levels of performance achievement, as follows:

Achievement Level	Measure Definition
Far Exceeds	The most optimistic achievement level that far exceeds expected performance.
Exceeds	An optimistic achievement level that exceeds expected performance.
Meets	Performance that is expected under the Bank's plan.
Threshold	Minimum level of performance that must be achieved for awards to be paid.

AWARD DETERMINATION

An award is calculated and paid in whole or part at the end of the 2016 plan term (during the first quarter of 2019). Awards earned are based on the level at which the 3-year performance goals have been achieved. Final awards may be prorated for participants promoted or hired into an eligible position during the performance period, and for participants who take a leave of absence during the performance period. Note that the percentages of award opportunity provided below are not the award percentages of base salary. See below for award opportunities and ranges.

Adjusted Return on Capital Spread Goal(3-Year Average) 1				Risk Management Goal(3-Year Average) 2
30% goal weight			% of Award Opportunity	70% goal weight			% of Award Opportunity
Threshold	(75%)	2.44%	22.5%	Threshold	(75%)	Average of 3- Year Achievement	52.5%
Meets	(100%)	2.69%	30.0%	Meets	(100%)		70.0%
Exceeds	(125%)	2.94%	37.5%	Exceeds	(125%)		87.5%
Far Exceeds	(150%)	3.19%	45.0%	Far Exceeds	(150%)		105.0%
1 Meets excludes OTTI impact, while measured performance includes OTTI impact.
2Measured by 3-year achievement levels of Risk Management goal under the respective STIPs.

Performance below the Threshold achievement level for either measure normally will not result in an incentive award. The Board of Directors has full discretion to modify any and all goals, achievement levels, and incentive payments to account for matters not specifically addressed in the plan, subject to review by the Federal Housing Finance Agency, as required. Incentive compensation reductions may be made, but are not limited to the following circumstances: (i) if errors or omissions result in material revisions to the Bank’s financial results, information submitted to a regulatory or a reporting agency, or information used to determine incentive compensation payouts; (ii) if information submitted to a regulatory or a reporting agency is untimely; or, (iii) if the Bank does not make appropriate progress in the timely remediation of examination, monitoring, or other supervisory findings and matters requiring attention.

AWARD DETERMINATION AND OPPORTUNITY

Achievement award levels are stated below as a percentage of the February 1^st base salary at the beginning of the performance period.

2016-2018 EPUP Plan Period

Percentage of Goal Achievement Scale	Aggregate Goal Achievement	Award Range (Percentage of 2016 Base Salary)
0% - 150%	150% = Far Exceeds	50.0%
	125% = Exceeds	48.0%
	100% = Meets	40.0%
	75% = Threshold	20.0%

Awards will be considered by the Board of Directors at the end of the 3-year performance period (during the first quarter of 2019). The amount of an award, if any, shall be approved by the Board of Directors. All incentive awards are governed by the terms and conditions of the 2016 Executive Performance Unit Plan. In the event there is any conflict between the terms of this summary description and the terms of the plan document, the plan document shall govern.

http://www.sec.gov/Archives/edgar/data/1316944/000131694416000282/ex10112016executiveperform.htm 4/21/2016

Exhibit 4 of 4

To be eligible for the Executive Performance Unit Plan payment, participants must be employed with the Bank through the end of the 3-year performance period, except in the case of a voluntary normal retirement, a qualified long-term disability, or death. EPUP awards will be prorated for participants in position less than a full plan term, including participants who have a leave of absence greater than one month during the plan term. Any awards will be distributed as soon as administratively possible following the effective date of Board approval. All compensation and incentive plans are subject to review and revision at the Bank’s discretion. Such plans are reviewed regularly to ensure they are competitive and equitable. Executive Officer compensation and benefit programs are subject to Federal Housing Finance Agency review and oversight, and payments made under such programs may not become effective until after the Agency's non-objection under applicable laws and regulations in effect from time to time.

January 2016

http://www.sec.gov/Archives/edgar/data/1316944/000131694416000282/ex10112016executiveperform.htm 4/21/2016

Exhbit D

EX 10.16 Corporate Senior Officer Severance Policy Amended and Restated August 14, 2013 Page 1 of 20

EX-10.16 ex10116corporatesenioroffic.htm CORPORATE SENIOR OFFICER SEVERANCE POLICY

EXHIBIT 10.16

FEDERAL HOME LOAN BANK OF SAN FRANCISCO

CORPORATE SENIOR OFFICER SEVERANCE POLICY

PRESIDENT

EXECUTIVE VICE PRESIDENT

SENIOR VICE PRESIDENT

Effective: June 1, 2011

Amended and Restated: August 14, 2013

http:/www.sec.gov/Archives/edgar/data/1316944/000131694414000007/ex1016corporatesenioroffic.htm 4/21/2016

EX 10.16 Corporate Senior Officer Severance Policy Amended and Restated August 14, 2013 Page 2 of 20

CORPORATE SENIOR OFFICER SEVERANCE POLICY¹ 

For the President, Executive Vice President and Senior Vice Presidents

ESTABLISHMENT

The Federal Home Loan Bank of San Francisco (the “Bank”), pursuant to the powers granted it under 12 U.S.C. Section 1432, established on January 25, 1996, a severance policy, which has subsequently been restated from time to time, for eligible Corporate Senior Officers (the “Corporate Senior Officer Severance Policy” or “Policy”). The Policy is effective June 1, 2011, as provided herein.

AMENDMENT AND TERMINATION

The Bank reserves the right to amend, add, modify, or terminate the Policy, in whole or in part, at any time it deems appropriate, provided, however, that, following a merger, reorganization, or consolidation of the Bank; sale of all or substantially all the business or assets of the Bank; or other similar transaction, no such amendment will impair the then-existing rights of an eligible Corporate Senior Officer under the Policy. Notwithstanding the foregoing, any amendments, additions, modifications or terminations of this Policy will be effective only to the extent such amendments, additions, modifications, or terminations are permitted by Applicable Laws.

Adoption of this Policy by the Bank is not to be construed as a contract between the Bank and any of its Corporate Senior Officers nor is it intended to create any absolute right, vested or otherwise, to any severance benefit for any Corporate Senior Officer.

POLICY

The purpose of the Policy is to help provide protection from loss of income because of unemployment while an eligible Corporate Senior Officer seeks other employment and to ensure that the Bank will have the continued dedication and objectivity of each eligible Corporate Senior Officer, notwithstanding the possibility, threat, or occurrence of a termination of employment or potential transaction involving the Bank. Because of changing economic and business conditions, most organizations must continually evaluate their operations and be prepared to make changes in the structure of their workforces. Similarly, the Bank’s changing business environment may require it to consider strategic alternatives; restructure, modify, or eliminate jobs; and reduce staff from time to time. Should an eligible Corporate Senior Officer be affected by one of these events, he or she will be notified and, if eligible under the guidelines listed below, receive severance benefits upon signing a Severance Agreement and Release.

____________________________________

¹For purposes of this Corporate Senior Officer Severance Policy, a “Corporate Senior Officer” is defined as an officer at or above the level of Senior Vice President.

1

http:/www.sec.gov/Archives/edgar/data/1316944/000131694414000007/ex1016corporatesenioroffic.htm 4/21/2016

EX 10.16 Corporate Senior Officer Severance Policy Amended and Restated August 14, 2013 Page 3 of 20

This Policy sets forth and describes the options, benefits, and severance pay that may be provided to eligible Corporate Senior Officers. The application of the provisions contained in this Policy will be made on a nondiscriminatory basis in accordance with the Bank’s equal employment opportunity policy, or any other basis prohibited by law.

This Policy is not intended for application in any situations in which the Bank continues to offer employment to affected Corporate Senior Officers on substantially the same terms, or in any situation in which the Corporate Senior Officer does not suffer loss of employment.

ELIGIBILITY

A full-time or part-time Corporate Senior Officer may be eligible for severance benefits under the Policy provided that the Corporate Senior Officer is on the official payroll of the Bank on the Effective Date of Separation (as defined below).

A Corporate Senior Officer will be eligible to receive severance pay and benefits upon certain involuntary Separation from Service (as defined below) from the Bank resulting from a “Qualifying Termination”:

(a) elimination of an individual job or position;

(b) elimination of one or more jobs or positions as a result of a reduction in staff or department reorganization;

(c) substantial job modification resulting in the incumbent Corporate Senior Officer being, in the judgment of the Bank, unqualified for or unable to perform the revised job; or

(d) certain involuntary Separations from Service (as defined below) from the Bank made in connection with a Change in Control of the Bank (as described in Exhibit A).

In all situations in which the Bank gives the Corporate Senior Officer more than one week notice of eligibility, the Bank may condition that Corporate Senior Officer’s eligibility upon his/her remaining on the job until the date the Separation from Service (as defined below) becomes effective, as specified by the Bank.

A Corporate Senior Officer is not eligible for severance pay under this Policy in any event other than (a) through (d), above, and in particular if he or she:

(a) voluntarily terminates employment with the Bank for any reason prior to the Effective Date of Separation (as defined below) set by the Bank (other than for certain limited reasons in connection with a Change in Control, as described in Exhibit A);

(b) is terminated by the Bank for any reason other than job elimination, reduction in staff, department reorganization, or job modification as described above;

2

http:/www.sec.gov/Archives/edgar/data/1316944/000131694414000007/ex1016corporatesenioroffic.htm 4/21/2016

EX 10.16 Corporate Senior Officer Severance Policy Amended and Restated August 14, 2013 Page 4 of 20

(c) is terminated because of the Corporate Senior Officer’s death or for cause (including, without limitation, gross misconduct or dereliction of duty) or for failure to meet performance goals or objectives as determined by the Bank;

(d) retires from the Bank under conditions not involving job elimination, reduction in staff, department reorganization, or job modification as described above;

(e) accepts any job with another employer that acquired any of the assets or operations of the Bank or with an outsourcing supplier (an outsourcing supplier is defined as an entity to which the Bank outsources a function performed by the Corporate Senior Officer where the Bank agrees with the entity in the outsourcing agreement that it will offer jobs to current Corporate Senior Officers performing that function for the Bank);

(f) is on a leave of absence at the time of the job elimination/staff reduction and does not return to work at the end of the approved leave period; or

(g) refuses an equivalent job offer, either within the Bank or with another employer that acquired any of the assets or operations of the Bank (an equivalent job offer is defined as a job offer for a position with a comparable level of responsibility, skill and knowledge requirements, and pay).

For purposes of this Policy, a “Separation from Service” means a “separation from service” within the meaning of Section 409A of the Internal Revenue Code of 1986, as amended (the “Code”), and U.S. Department of Treasury regulations and other interpretive guidance thereunder (“Section 409A”), and will generally occur upon the termination of a Corporate Senior Officer’s employment as a common-law employee of the Bank.

A Separation from Service will not be deemed to have occurred if a Corporate Senior Officer continues to provide services to the Bank at an annual rate that is fifty percent or more of the services rendered, on average, during the immediately preceding three full years of employment with the Bank (or if employed by the Bank less than three years, such lesser period); provided, however, that a Separation from Service will be deemed to have occurred if a Corporate Senior Officer’s service with the Bank is reduced to an annual rate that is equal to or less than twenty percent of the services rendered, on average, during the immediately preceding three full years of employment with the Bank (or if employed by the Bank less than three years, such lesser period).

In addition to the foregoing, a Separation from Service will not be deemed to have occurred while a Corporate Senior Officer is on military leave, sick leave, or other bona fide leave of absence if the period of such leave does not exceed six months, or if longer, provided that the Corporate Senior Officer’s right to reemployment with the Bank is provided either by statute or contract. If the period of leave exceeds six months and the Corporate Senior Officer’s right to reemployment is not provided either by statute or contract, then the Corporate Senior Officer is deemed to have Separated from Service on the first day immediately following such six-month period.

3

http:/www.sec.gov/Archives/edgar/data/1316944/000131694414000007/ex1016corporatesenioroffic.htm 4/21/2016

EX 10.16 Corporate Senior Officer Severance Policy Amended and Restated August 14, 2013 Page 5 of 20

The effective date of the Separation from Service is typically the Corporate Senior Officer’s last day of employment as a common-law employee with the Bank as described in this section and will be determined in accordance with Section 409A (the “Effective Date of Separation”). Any payments received after the Effective Date of Separation are considered severance pay and not salary.

SEVERANCE PAY AND BENEFIT

At the Bank’s discretion, the Bank may either give the Corporate Senior Officer one week’s notice of a Separation from Service and eligibility for severance, or pay the Corporate Senior Officer one week of base salary in lieu of notice. Upon any termination, the Corporate Senior Officer will be paid his/her fully earned but unpaid base salary, paid by the Bank when due, through the date of termination at the rate then in effect, together with all other amounts and benefits to which the Corporate Senior Officer is entitled under any compensation, retirement or benefit plan or practice of the Bank at the time of termination, plus, if applicable, one week of base salary in lieu of notice on the Effective Date of Separation. In the event an eligible Corporate Senior Officer experiences a Qualifying Termination, the Corporate Senior Officer will be eligible to receive additional severance benefits as described in Exhibit A.

Any severance paid under this Policy is subject to federal and state tax deductions and any other withholdings required by law.

Notwithstanding any other provision of this Policy to the contrary, any severance and benefits payments made to the Corporate Senior Officer pursuant to this Policy, or otherwise, are subject to and conditioned upon their compliance with 12 U.S.C. §§ 4518(a) and 4518(e) and any regulations promulgated thereunder, including 12 C.F.R. Parts 1230 and 1231.

Notwithstanding any other provision of this Policy to the contrary, if the Bank is not in compliance with applicable regulatory capital or regulatory leverage requirements or if any of the payments to be made pursuant to this Policy would cause the Bank to fall below the applicable regulatory requirements, the payment will be delayed until the Bank achieves compliance with such regulatory capital requirement.

RETENTION PAY

Retention pay may be provided at the Bank’s discretion to specified Corporate Senior Officers for specific assignments. The time at which the retention payment is made will be governed by the individual agreement between the specified Corporate Senior Officer and the Bank (the “Retention Agreement”). Any retention pay provided by the Bank generally will not exceed 30% of the Corporate Senior Officer’s regular earnings during the specified retention period, and will be payable at the time and in the form set forth in the Retention Agreement.

If the Corporate Senior Officer is eligible to receive retention pay under this Policy, he/she will receive payment from the Bank upon the Bank’s receipt of a Severance Agreement and Release (as defined below) that has become irrevocable in accordance with its terms, applicable law, and the Retention Agreement.

4

http:/www.sec.gov/Archives/edgar/data/1316944/000131694414000007/ex1016corporatesenioroffic.htm 4/21/2016

EX 10.16 Corporate Senior Officer Severance Policy Amended and Restated August 14, 2013 Page 6 of 20

http:/www.sec.gov/Archives/edgar/data/1316944/000131694414000007/ex1016corporatesenioroffic.htm 4/21/2016

EX 10.16 Corporate Senior Officer Severance Policy Amended and Restated August 14, 2013 Page 7 of 20

Retention pay is subject to federal and state tax deductions and any other withholdings required by law. Notwithstanding any other provision of this Policy to the contrary, any retention payments made to the Corporate Senior Officer pursuant to this Policy, or otherwise, are subject to and conditioned upon their compliance with 12 U.S.C. §§ 4518(a) and 4518(e) and any regulations promulgated thereunder, including 12 C.F.R. Parts 1230 and 1231.

SEVERANCE AGREEMENT AND RELEASE

Upon a Separation from Service, the Corporate Senior Officer must execute an agreement acknowledging the Separation from Service with the Bank that includes an outline of the severance pay, retention pay (if applicable), and benefits package available to the Corporate Senior Officer, and a general waiver by the Corporate Senior Officer of any claims against the Bank in order to be eligible to receive any benefits or payments under this Policy (the “Severance Agreement and Release”). The Corporate Senior Officer will have a specified period of time of at least one week (the “Specified Period”) within which to sign and return an executed version of the Severance Agreement and Release, with the Severance Agreement and Release becoming irrevocable.

If a Corporate Senior Officer signs the Severance Agreement and Release after the Specified Period has expired, the Corporate Senior Officer will receive two weeks of base salary for each full year of service, not to exceed twelve months of base salary, upon signing the Severance Agreement and Release.

If a Corporate Senior Officer is unwilling to sign the Severance Agreement and Release within the time period stated in the Severance Agreement and Release, the Corporate Senior Officer will not receive any severance pay or benefits pursuant to the Policy. In such a case, the Human Resources Department of the Bank should be notified so that any problem the Corporate Senior Officer perceives can be discussed and, if possible, resolved.

BENEFITS

Health and life insurance benefits will continue as described in Exhibit A. Under the terms of the Bank’s group health and life insurance benefit plans, the Corporate Senior Officer may request a continuation of coverage through conversion to an individual policy (i.e., health, life, and dependent life insurance). Voluntary accident insurance coverage terminates at the end of the month in which the termination date occurred. Except as otherwise set forth in Exhibit A, all other benefits that the Corporate Senior Officer received from the Bank during his/her employment will cease according to the terms, conditions, and policies governing such benefit plans.

Payment for accrued and unused vacation and holiday balances will be paid in a lump sum payment on the Effective Date of Separation and is subject to federal and state tax deductions and any other withholdings required by law.

Tuition assistance approved and paid by the Bank prior to the Effective Date of Separation need not be repaid to the Bank in the event the Corporate Senior Officer receives severance pay under this Policy.

5

http:/www.sec.gov/Archives/edgar/data/1316944/000131694414000007/ex1016corporatesenioroffic.htm 4/21/2016

EX 10.16 Corporate Senior Officer Severance Policy Amended and Restated August 14, 2013 Page 8 of 20

OUTPLACEMENT ASSISTANCE

Upon a Separation from Service, the Bank may, in its sole discretion, provide to former Corporate Senior Officers outplacement assistance, which may include job search assistance and counseling services (Outplacement Assistance). Corporate Senior Officers may elect not to accept these services, if offered, but the Bank will not pay cash in lieu of Outplacement Assistance. In the event the Corporate Senior Officer is receiving Outplacement Assistance, such benefit will terminate on the earlier of (a) the one-year anniversary of the Effective Date of Separation, or (b) the Corporate Senior Officer’s acceptance of an equivalent job offer for a position that has a comparable level of responsibility, skill and knowledge requirements, and salary.

ADMINISTRATION

This Policy will be administered by the Senior Vice President, Director of Human Resources, of the Bank (the “Administrator”). Interpretation and construction by the Bank of any provisions of the Policy will be final. Except as described above, the Bank may amend or rescind all or any part or parts of this Policy at any time and will make, at its sole discretion, any and all determinations necessary for its administration. Without limiting the generality of the foregoing, the Bank will have the authority to determine eligibility for benefits and severance amounts.

Any exception to this Policy must be approved by the Bank President.

EMPLOYMENT RIGHTS

Nothing in this Policy is to be construed as a promise, implied or otherwise, of continued employment with the Bank, or any right to continue in any position or duties. Bank management reserves the right to make any employment decision, at any time, deemed to be in the best interest of the Bank, and employment with the Bank may be terminated at any time and for any reason by the Bank or by the Corporate Senior Officer.

CLAIMS PROCEDURES

The Corporate Senior Officer may make a request for any Policy payments or benefits to which the Corporate Senior Officer believes he/she is entitled. Any such request should be in writing and should be made to the Administrator at the address below:

Senior Vice President, Director of Human Resources

Federal Home Loan Bank of San Francisco

600 California Street, Suite 300

San Francisco, CA 94108

A Corporate Senior Officer’s request for Policy payments or benefits will be considered a claim for Policy payments or benefits, and it will be subject to a full and fair review. If the claim is wholly or partially denied, the Administrator will furnish the Corporate Senior Officer with a written notice of such denial. This written notice must be provided to the Corporate Senior Officer within a

6

http:/www.sec.gov/Archives/edgar/data/1316944/000131694414000007/ex1016corporatesenioroffic.htm 4/21/2016

EX 10.16 Corporate Senior Officer Severance Policy Amended and Restated August 14, 2013 Page 9 of 20

http:/www.sec.gov/Archives/edgar/data/1316944/000131694414000007/ex1016corporatesenioroffic.htm 4/21/2016

EX 10.16 Corporate Senior Officer Severance Policy Amended and Restated August 14, 2013 Page 10 of 20

reasonable period of time (generally 90 calendar days) after the receipt of the claim by the Administrator. The written notice must contain the following information:

(1)the specific reason or reasons for the denial;

(2)specific reference to the Policy provisions on which the denial is based;

(3)a description of any additional information or material necessary to correct the claim and an explanation of why the material or information is necessary; and,

(4)appropriate information regarding the steps to be taken if the Corporate Senior Officer wishes to submit the claim for review.

If notice of the denial of a claim is not furnished to the Corporate Senior Officer in accordance with the above procedures within a reasonable period of time, the claim will be deemed denied. The Corporate Senior Officer will then be permitted to proceed to the review stage.

If the claim has been denied or deemed denied, and the Corporate Senior Officer desires to submit the claim for review, the Corporate Senior Officer must follow the Claims Review Procedure below.

A Corporate Senior Officer may file a claim in writing with the Administrator upon a denial of a claim for payments or benefits.

THE CORPORATE SENIOR OFFICER MUST FILE THE CLAIM FOR REVIEW NO LATER THAN 60 CALENDAR DAYS AFTER HE/SHE HAS RECEIVED WRITTEN NOTIFICATION OF THE DENIAL OF HIS/HER CLAIM FOR PAYMENTS OR BENEFITS, OR IF NO WRITTEN DENIAL OF THE CLAIM WAS PROVIDED, NO LATER THAN 60 CALENDAR DAYS AFTER THE DEEMED DENIAL OF THE CLAIM.

The Corporate Senior Officer may review all pertinent documents relating to the denial of the claim and submit any issues and comments, in writing, to the Administrator, using the same address as listed above.

The Corporate Senior Officer’s claim for review must be given a full and fair review by the Bank. If the claim for review is denied, the Administrator must provide the Corporate Senior Officer with written notice of this denial within 60 calendar days after the Administrator’s receipt of the written claim for review. The 60-day period may be extended when there are special circumstances that are communicated to the Corporate Senior Officer in writing prior to the end of the 60-day period. If there is an extension, a decision will be made as soon as possible, but not later than 120 calendar days after receipt by the Administrator of the claim for review.

The Bank’s decision on the claim for review will be communicated to the Corporate Senior Officer in writing and will include specific references to the pertinent Policy provisions on which the decision was based.

If the Bank’s decision on review is not furnished to the Corporate Senior Officer within the time limitations described above, the claim will be deemed denied on review.

http:/www.sec.gov/Archives/edgar/data/1316944/000131694414000007/ex1016corporatesenioroffic.htm 4/21/2016

EX 10.16 Corporate Senior Officer Severance Policy Amended and Restated August 14, 2013 Page 11 of 20

7

http:/www.sec.gov/Archives/edgar/data/1316944/000131694414000007/ex1016corporatesenioroffic.htm 4/21/2016

EX 10.16 Corporate Senior Officer Severance Policy Amended and Restated August 14, 2013 Page 12 of 20

If payments or benefits are provided or administered by an insurance company, insurance service, or other similar organization that is subject to regulation under the insurance laws, the claims procedure relating to those benefits may provide for review. If so, that company, service, or organization will be the entity to which claims are addressed. The Corporate Senior Officer may contact the Administrator with respect to any questions regarding the proper person or entity to whom the Corporate Senior Officer should address claims.

Any claim or controversy arising from a claim for payments or benefits that is denied or ignored will be settled by arbitration in San Francisco, California, in accordance with the Commercial Arbitration Rules of the American Arbitration Association, and judgment on the award rendered by the arbitrator may be entered in any court having jurisdiction. Each party will pay the fees of its own attorneys, the expenses of its witnesses, and all other expenses connected with presenting its case; provided, however, that, except as may be prohibited by law, the arbitrator may, in his or her discretion, award reasonable attorneys’ fees to the prevailing party. Other costs of the arbitration, including the cost of any record or transcripts of the arbitration, administrative fees, the fee of the sole arbitrator, and all other fees and costs, will be borne by the Bank.

APPLICABLE LAWS

The Policy will be governed by and construed in accordance with the laws of the United States and, to the extent state law may be applicable, the laws of the State of California, without regard to the conflicts of laws principles thereof.

CODE SECTION 409A

Payments and benefits provided under this Policy are intended to be exempt from Section 409A of the Code, provided that, if any payment provided at any time hereunder involves non-qualified deferred compensation within the meaning of Section 409A of the Code, the Policy is intended to comply with Section 409A of Code, and the Department of Treasury Regulations and other interpretive guidance issued thereunder (“Section 409A”) and the Policy shall be interpreted and construed as necessary to comply with such intent. To the maximum extent permitted by law, payments under the Policy shall be treated as payments under the short-term deferral rule under Treasury Regulation Section 1.409A-1(b)(4), then as payments or benefits provided as separation pay under Treasury Regulation Section 1.409A-1(b)(9)(iii) or as nontaxable benefits. For purposes of Section 409A of the Code, any right under this Policy to receive any installment payments shall be treated as a right to receive a series of separate and distinct payments. To the extent applicable, if a Corporate Senior Officer is a “specified employee” within the meaning of that term under Code Section 409A(a)(2)(B) on his or her date of termination of employment, then with regard to any payment that is considered non-qualified deferred compensation under Code Section 409A payable on account of a Separation from Service, such payment or benefit shall be made or commence at the date which is the earlier of (A) the first day of the seventh month after the date of the Corporate Senior Officer’s Separation from Service or (B) the date of the Corporate Senior Officer’s death. Notwithstanding any provision of this Policy to the contrary, in the event that the Bank determines that any compensation or benefits payable or provided hereunder may be subject to Section 409A, the Bank reserves the right (without any obligation to do so or to indemnify the Corporate Senior

http:/www.sec.gov/Archives/edgar/data/1316944/000131694414000007/ex1016corporatesenioroffic.htm 4/21/2016

EX 10.16 Corporate Senior Officer Severance Policy Amended and Restated August 14, 2013 Page 13 of 20

8

http:/www.sec.gov/Archives/edgar/data/1316944/000131694414000007/ex1016corporatesenioroffic.htm 4/21/2016

EX 10.16 Corporate Senior Officer Severance Policy Amended and Restated August 14, 2013 Page 14 of 20

Officer for failure to do so) to adopt such limited amendments to this Policy and appropriate policies and procedures, including amendments and policies with retroactive effect, that the Bank reasonably determines are necessary or appropriate to (a) exempt the compensation and benefits payable under this Policy from Section 409A and/or preserve the intended tax treatment of the compensation and benefits provided with respect to this Policy or (b) comply with the requirements of Section 409A. In no event may a Corporate Senior Officer, directly or indirectly, designate the calendar year of any payment to be made under this Policy that is considered non-qualified deferred compensation. In the event the time period for both considering any general release and the general release becoming irrevocable as a condition to receiving a severance payment or taxable benefit will overlap two calendar years, then no amount of such severance payment or taxable benefit shall be paid or provided in the earlier calendar year. The Bank does not guarantee the tax treatment of any payment or benefits made under this Policy, and the Corporate Senior Officer shall be responsible in any event for any taxes or penalties due under federal or state tax laws due to payments or benefits provided hereunder.

9

http:/www.sec.gov/Archives/edgar/data/1316944/000131694414000007/ex1016corporatesenioroffic.htm 4/21/2016

EX 10.16 Corporate Senior Officer Severance Policy Amended and Restated August 14, 2013 Page 15 of 20

Exhibit A

BENEFITS PROVIDED TO A CORPORATE SENIOR OFFICER WHO IS A SENIOR VICE PRESIDENT

Severance Benefits upon Involuntary Termination Not In Connection with a Change in Control.

In the event an eligible Senior Vice President experiences a Qualifying Termination other than in connection with a Change in Control, as provided for below, upon the Bank’s receipt of an executed Severance Agreement and Release that has become irrevocable in accordance with its terms and Applicable Laws (but in any event not earlier than the Effective Date of Separation), the Senior Vice President will be entitled to receive a lump sum severance payment in an amount equal to the greater of: (a) twelve weeks of his/her base salary, or (b) the sum of (i) three weeks of his/her base salary, plus (ii) three weeks of his/her base salary for each full year of service at the Bank, and (iii) three weeks of his/her base salary prorated for each partial year of service. Notwithstanding the foregoing, the total severance pay for any Senior Vice President (excluding the one week notice pay or pay in lieu of notice, if applicable) will not exceed twelve months base salary; provided, however, that the severance pay will in no event be paid later than 2-1/2 months after the end of the calendar year in which the Effective Date of Separation occurs.

To the extent permitted by the insurance carrier that provides life insurance to the Bank’s employees, the Bank will continue life insurance coverage for the Senior Vice President for one month after the end of the month in which the Effective Date of Separation occurs. The value of the life insurance benefits provided may be taxable income to the Senior Vice President.

In addition, the Senior Vice President will be entitled to continued health insurance coverage under the Bank’s health insurance policies for the first month immediately following the Effective Date of Separation, with the Bank paying one month’s premium directly to the health insurance company.

Severance Benefits upon Involuntary Termination In Connection with a Change in Control.

In the event an eligible Senior Vice President is involuntarily terminated without “Cause” or voluntarily terminates employment with “Good Reason” within ninety (90) calendar days prior to a “Change in Control” or during a one-year period following a Change in Control, upon the Bank’s timely receipt of an executed Severance Agreement and Release that has become irrevocable in accordance with its terms and Applicable Laws (but in any event not earlier than the Effective Date of Separation or the Change in Control event), the Senior Vice President will receive severance pay in a lump sum equal to one year of base salary. Notwithstanding the foregoing, the severance pay will not be paid later than 2-1/2 months after the end of the calendar year in which the Effective Date of Separation occurs.

Exhibit A - Page 1

http:/www.sec.gov/Archives/edgar/data/1316944/000131694414000007/ex1016corporatesenioroffic.htm 4/21/2016

EX 10.16 Corporate Senior Officer Severance Policy Amended and Restated August 14, 2013 Page 16 of 20

To the extent permitted by the insurance carrier that provides life insurance to the Bank’s employees, the Bank will continue life insurance coverage for the Senior Vice President for 12 months after the end of the month in which the Effective Date of Separation occurs. However, the Bank will immediately cease paying such premiums prior to the end of the 12-month period if the Senior Vice President accepts employment with another employer that provides a comparable benefit in terms of cost and scope of coverage during the 12-month period.

In addition, the Senior Vice President will be entitled to continued health insurance coverage under the Bank’s health insurance policies at the Bank’s expense for a period of 12 months beginning the first month immediately following the Effective Date of Separation, with the Bank paying premiums directly to the health insurance company. However, the Bank will immediately cease paying such premiums prior to the end of the 12-month period if the Senior Vice President accepts employment with another employer that provides comparable benefits in terms of cost and scope of coverage during the 12-month period. Notwithstanding the foregoing, in the event that providing such health insurance coverage would be discriminatory pursuant to Section 105(h) of the Code or Section 2716 to the Public Health Service Act, then the Bank will provide such healthcare benefits, or a payment in lieu of such healthcare benefits, in a manner as determined in the Bank’s sole discretion that would comply with applicable laws.

The value of the monthly health and life insurance benefits provided may be taxable income to the Senior Vice President.

The Bank has no obligation to pay any severance payments or benefits if the Senior Vice President’s employment is terminated by the Bank with Cause or by the Senior Vice President without Good Reason or the Senior Vice President’s termination is due to death or Disability. If the Change in Control severance payments or benefits are made to a Senior Vice President, he or she will not be eligible for the regular termination severance payments or benefits described above.

If a Senior Vice President becomes entitled to receive any severance payments or benefits pursuant to a Change in Control Agreement entered into by and between the Bank and such Senior Vice President, such Senior Vice President will not be eligible to receive any severance payments or benefits pursuant to the Policy. No provisions of any such Change in Control Agreements will be superseded by this Policy, and any such Change in Control Agreements will otherwise remain in full force and effect.

Notwithstanding the foregoing, in the event the Senior Vice President receives regular termination severance payments or benefits with respect to a Qualifying Termination, and subsequently becomes entitled to receive severance payments or benefits as a result of the occurrence of a Change in Control or pursuant to a Change in Control Agreement, the amount of the severance payments or benefits payable as a result of the termination occurring in connection with a Change in Control will be automatically reduced by the benefits and payments already received by the Senior Vice President as severance pursuant to this Policy.

Exhibit A - Page 2

http:/www.sec.gov/Archives/edgar/data/1316944/000131694414000007/ex1016corporatesenioroffic.htm 4/21/2016

EX 10.16 Corporate Senior Officer Severance Policy Amended and Restated August 14, 2013 Page 17 of 20

Definitions.

“Cause” means (i) the commission of an act of fraud or embezzlement by the Senior Vice President that has a material adverse impact on the Bank or any successor or affiliate thereof, (ii) a conviction of, or plea of “guilty” or “no contest” to, a felony by the Senior Vice President, (iii) the Senior Vice President’s ongoing and repeated failure or refusal to perform or neglect of his or her duties to the Bank in a material respect, which failure, refusal, or neglect continues for fifteen (15) calendar days following the Senior Vice President’s receipt of written notice from the Bank’s Board of Directors stating with specificity the nature of such failure, refusal, or neglect, or (iv) the Senior Vice President engaging in conduct that has resulted in the Senior Vice President being barred from employment by the Bank by operation of any law or regulation, or by any final order of any court or regulatory authority or any agreement with any regulatory authority, including, without limitation, any removal or barring of employment of the Senior Vice President pursuant to 12 USC §§ 4615, 4616, 4617 or 4636a, or any of their successor sections or provisions. The Bank shall make the determination that “Cause” exists in good faith and only if and when the determination has been approved in good faith by the Bank’s Board of Directors; provided, however, that prior to a final determination that Cause exists, the Bank will (y) provide to the Senior Vice President in writing, in reasonable detail, the reasons for the determination that such “Cause” exists, and (z) provide the Senior Vice President with an opportunity to discuss the determination that “Cause” exists with the Board prior to the final decision to terminate the Senior Vice President’s employment hereunder for such “Cause.”

“Change in Control” means (i) the merger, reorganization, or consolidation of the Bank with or into another Federal Home Loan Bank or other entity, (ii) the sale or transfer of all or substantially all of the business or assets of the Bank to another Federal Home Loan Bank or other entity, (iii) the purchase by the Bank or transfer to the Bank of all or substantially all of the business or assets of another Federal Home Loan Bank, (iv) a change in the composition of the Board of Directors, as a result of one or a series of related transactions, that causes the number of directors of the Bank elected by members of the Bank located in California, Arizona, and Nevada to cease to constitute a majority of the directors of the Bank that are elected by members of the Bank (excluding, for purposes of this clause (iv), non-member independent directors), or (v) the liquidation of the Bank. Provided that the term "reorganization" contained in this definition shall not include any reorganization that is mandated by federal statute, rule, regulation, or directive, including 12 U.S.C. § 1421, et seq., as amended, and 12 U.S.C. § 4501 et seq., as amended, and which the Director of the Federal Housing Finance Agency (or successor agency, “Agency”) has determined should not be a basis for making payment under this Policy, by reason of the capital condition of the Bank or because of unsafe or unsound acts, practices, or condition ascertained in the course of the Agency's supervision of the Bank or because any of the conditions identified in 12 U.S.C. § 4617(a)(3) are met with respect to the Bank (which conditions do not result solely from the mandated reorganization itself, or from action that the Agency has required the Bank to take under 12 U.S. C. § 1431(d)).

Exhibit A - Page 3

http:/www.sec.gov/Archives/edgar/data/1316944/000131694414000007/ex1016corporatesenioroffic.htm 4/21/2016

EX 10.16 Corporate Senior Officer Severance Policy Amended and Restated August 14, 2013 Page 18 of 20

“Disability” is defined as the Senior Vice President being unable to engage in any substantial gainful activity by reason of any medically determinable physical or mental impairment that can be expected to result in death or can be expected to last for a continuous period of not less than 12 months; or is, by reason of any medically determinable physical or mental impairment that can be expected to result in death or can be expected to last for a continuous period of not less than 12 months, receiving income replacement benefits for a period of not less than three months under any accident and health plan covering employees of the Bank.

“Good Reason” means: (i) the relocation of the Senior Vice President’s principal place of employment by the Bank to a location more than fifty (50) miles from the Senior Vice President’s principal place of employment as of the Effective Date of Separation that also results in an increase in the commute from his or her principal residence to the Senior Vice President’s principal place of employment of more than fifty (50) miles, (ii) a change in the Senior Vice President’s position that materially reduces his or her duties or responsibilities, or (iii) a material reduction in the aggregate value of the Senior Vice President’s base salary, benefits, and short-term and long-term incentive payment opportunities as an employee of the Bank taken as a whole, other than pursuant to a Bank-wide reduction of base salaries and target incentive payment opportunities for employees of the Bank generally. However, none of the foregoing events or conditions will constitute Good Reason unless: (x) the Senior Vice President provides the Bank with written objection to the event or condition within ninety (90) calendar days following the occurrence thereof, (y) the Bank does not reverse or otherwise fully cure the event or condition within thirty (30) calendar days of receiving that written objection, and (z) the Senior Vice President resigns his or her employment within thirty (30) calendar days following the expiration of that cure period.

Exhibit A - Page 4

http:/www.sec.gov/Archives/edgar/data/1316944/000131694414000007/ex1016corporatesenioroffic.htm 4/21/2016

EX 10.16 Corporate Senior Officer Severance Policy Amended and Restated August 14, 2013 Page 19 of 20

BENEFITS PROVIDED TO A CORPORATE SENIOR OFFICER WHO IS THEPRESIDENT OR THE EXECUTIVE VICE PRESIDENT

Severance Benefits upon Involuntary Termination Not In Connection with a Change in Control.

In the event the President or Executive Vice President experiences a Qualifying Termination other than in connection with a Change in Control, as provided for below, upon the Bank’s receipt of an executed Severance Agreement and Release that has become irrevocable in accordance with its terms and Applicable Laws (but in any event not earlier than the Effective Date of Separation), the President or the Executive Vice President will be entitled to receive a lump sum severance payment in an amount equal to the greater of: (a) twelve weeks of his/her base salary, or (b) the sum of (i) three weeks of his/her base salary, plus (ii) three weeks of his/her base salary for each full year of service at the Bank, and (iii) three weeks of his/her base salary prorated for each partial year of service. Notwithstanding the foregoing, the total severance pay for the President or the Executive Vice President (excluding the one week notice pay or pay in lieu of notice, if applicable) will not exceed twelve months base salary; provided, however, that the severance pay will in no event be paid later than 2-1/2 months after the end of the calendar year in which the Effective Date of Separation occurs.

To the extent permitted by the insurance carrier that provides life insurance to the Bank’s employees, the Bank will continue life insurance coverage for the President or the Executive Vice President for one month after the end of the month in which the Effective Date of Separation occurs. The value of the life insurance benefits provided may be taxable income to the President or the Executive Vice President.

In addition, the President or the Executive Vice President will be entitled to continued health insurance coverage under the Bank’s health insurance policies for the first month immediately following the Effective Date of Separation, with the Bank paying one month’s premium directly to the health insurance company.

Severance Benefits upon Involuntary Termination In Connection with a Change in Control.

In the event the President or the Executive Vice President experiences a termination of employment within the period commencing on the ninetieth (90th) calendar day prior to a Change in Control and ending on the first anniversary of the Change in Control, severance and benefits will be payable pursuant to the Change in Control Agreement entered into by and between the Bank and each of the President and the Executive Vice President. No provisions of the Change in Control Agreement are superseded by this Policy, and the Change in Control Agreement will otherwise remain in full force and effect.

If the President or the Executive Vice President becomes entitled to receive any severance benefits pursuant to the Change in Control Agreement, they will not be eligible to receive any severance benefits pursuant to the Policy.

Exhibit A - Page 5

http:/www.sec.gov/Archives/edgar/data/1316944/000131694414000007/ex1016corporatesenioroffic.htm 4/21/2016

EX 10.16 Corporate Senior Officer Severance Policy Amended and Restated August 14, 2013 Page 20 of 20

Notwithstanding the foregoing, in the event the President or the Executive Vice President receives regular termination severance payments or benefits with respect to a Qualifying Termination, and subsequently becomes entitled to receive severance payments or benefits as a result of the occurrence of a Change in Control or pursuant to a Change in Control Agreement, the amount of the severance payments or benefits payable as a result of the termination occurring in connection with a Change in Control will be automatically reduced by the benefits and payments already received by the President or the Executive Vice President as severance pursuant to this Policy.

Exhibit A - Page 6

http:/www.sec.gov/Archives/edgar/data/1316944/000131694414000007/ex1016corporatesenioroffic.htm 4/21/2016

Exhbit E

[JAMS Employment Arbitration Rules and Procedures Rules intentionally omitted from filed copy of the Agreement]

EX-10.2

EXHIBIT 10.2

FEDERAL HOME LOAN BANK OF SAN FRANCISCO
SUPPLEMENTAL EXECUTIVE RETIREMENT PLAN

Amended and Restated Effective July 1, 2013

TABLE OF CONTENTS
ARTICLE 1. INTRODUCTION		1
1.1	Establishment of Plan	1
1.2	Purpose of the Plan	1
ARTICLE 2. DEFINITIONS		2
2.1	Definitions	2
2.2	Number and Gender	8
ARTICLE 3. PARTICIPATION AND SERVICE		8
3.1	General	8
3.2	Date of Participation	8
3.3	Duration; Rehire	8
3.4	Contribution Credit Service	9
3.5	Vesting Service	9
ARTICLE 4. RETIREMENT BENEFITS		10
4.1	Account	10
4.2	Contribution Credits	11
4.3	Annual Indexation Credits	12
4.4	Special Rules For Determining Balance of Accounts and for Crediting Contribution Credits and Annual Indexation Credits	13
4.5	Vesting	15
4.6	Forfeiture	15
ARTICLE 5. PAYMENT OF BENEFITS; DEATH BENEFITS		16
5.1	Amount of Benefit	16
5.2	Automatic Form of Benefit Payment	16
5.3	Optional Forms of Benefit Payments	16
5.4	Automatic Time of Benefit Payment	17
5.5	Optional Time of Benefit Payment	17
5.6	Manner and Time of Elections	18
5.7	Death Benefits	19
5.8	Beneficiary Designation	20
ARTICLE 6. SOURCE OF PAYMENTS		21
ARTICLE 7. ADMINISTRATION		22
7.1	Committee	22
7.2	Procedures for Requesting Benefit Payments	23
ARTICLE 8. AMENDMENT AND TERMINATION		24
8.1	Amendment of the Plan	24
8.2	Termination of the Plan	24
8.3	Change in Control	25

i

ARTICLE 9. MISCELLANEOUS PROVISIONS		26
9.1	Employment Rights	26
9.2	No Examination or Accounting	26
9.3	Records Conclusive	27
9.4	Severability	27
9.5	Counterparts	27
9.6	Taxes	27
9.7	Binding Effect	27
9.8	Assignment	28
9.9	Incapacity	29
9.10	Unsecured Creditor	29
9.11	Notice	29
9.12	Benefits Not Salary	30
9.13	Captions	30
9.14	Governing Law	30
9.15	Addresses	31
FEDERAL HOME LOAN BANK OF SAN FRANCISCO SUPPLEMENTAL EXECUTIVE RETIREMENT PLAN Schedule A		1
FEDERAL HOME LOAN BANK OF SAN FRANCISCO SUPPLEMENTAL EXECUTIVE RETIREMENT PLAN Schedule B		1

ii

ARTICLE I.  INTRODUCTION

1.1    Establishment of Plan

Federal Home Loan Bank of San Francisco, incorporated under the laws of the United States, first established the Federal Home Loan Bank of San Francisco Supplemental Executive Retirement Plan effective January 1, 2003, then amended and restated the Plan effective January 1, 2005 and January 1, 2009. This is an amendment and restatement of the Plan effective July 1, 2013.

1.2    Purpose of the Plan

The purpose of this Plan is to provide supplemental retirement benefits for a select group of management or highly compensated employees of the Bank. Payments under the Plan shall be made from the general assets of the Bank or from the assets of the trust, if any, established as part of the Plan. It is intended that the Plan remain at all times a nonqualified plan and that the trust, if any, shall constitute a grantor trust under Sections 671 through 679 of the Code. Until paid, any and all assets of any vehicle used for payment of benefits under this Plan shall remain owned by the Bank, subject to the claims of its general creditors in the event of the Bank’s insolvency.

This Plan, as amended and restated, is intended to meet the requirements of Code Section 409A and the Treasury Regulations issued thereunder.

1

ARTICLE 2.  DEFINITIONS

2.1    Definitions

Whenever used in this Plan, the following words and phrases shall have the meanings set forth below unless a different meaning is expressly provided or plainly required by the context:

(a)    “Account” means the account established for a Participant pursuant to Section 4.1 of the Plan.

(b)    “Actuarial Equivalent” means a benefit having the same value as the benefit for which it is substituted. The determination of the Actuarial Equivalent of any benefit as provided for under this Plan shall be made based on the factors specified in the definition of Actuarial Equivalent in the Cash Balance Plan.

(c)    “Annual Indexation Credit” means the credit to an Account described in Section 4.3.

(d)    “Bank” means Federal Home Loan Bank of San Francisco and any successor thereto that agrees to assume the duties and obligations of the Bank hereunder.

(e)    “Beneficiary” means the person or entity designated by a Participant or Former Participant pursuant to Section 5.8 to receive any death benefit payable under this Plan. If no Beneficiary is properly designated at the time of the Participant’s or Former Participant’s death, or if no person so designated shall have survived the Participant or Former Participant, the Beneficiary shall be the surviving spouse, or if there is no surviving spouse, the Participant’s or Former Participant’s estate. A Beneficiary designation will not become effective unless it is made on the form designated by the Bank and it is received by the Bank prior to the Participant’s death.

2

(f)    “Benefit Equalization Plan” means the Federal Home Loan Bank of San Francisco Benefit Equalization Plan, as amended from time to time.

(g)    “Board of Directors” means the Board of Directors of the Bank.

(h)    “Cash Balance Plan” means the Federal Home Loan Bank of San Francisco Cash Balance Plan, as amended from time to time.

(i)    “Cause” means any of the following:

(1)    Criminal or other willful misconduct of the Participant or Former Participant that materially violates any laws, regulations or orders of any government agency, including without limitation any laws, regulations or orders applicable to the Bank; or

(2)    Deliberate material failures of the Participant or Former Participant to comply with the Bank’s policies and procedures or with any directive of the Board of Directors.

(j)    “Code” means the Internal Revenue Code of 1986, as amended from time to time.

(k)    “Change in Control” means a transaction described in 12 United States Code Section 1446(26), so long as that transaction also qualifies as a change in ownership or effective control or a change in ownership of a substantial portion of assets under Code Section 409A and the regulations promulgated thereunder.

(l)    “Committee” means the committee appointed by the Board of Directors in accordance with Section 7.1 of this Plan.

(m)    “Compensation” means the base salary and other wages, bonuses, commissions, and other taxable remuneration payable to a Participant by the Bank for a Plan Year or other period taken into account in making the determination. In applying this definition, Compensation shall also include any salary reduction elected by the Participant under Code Sections 125,

3

401(k) and 132(f)(4), and any deferrals or contributions made by the Participant under any nonqualified deferred compensation or excess benefit plans maintained by the Bank, including, without limitation, the Deferred Compensation Plan and the Benefit Equalization Plan. The foregoing notwithstanding, in determining a Participant’s Compensation, all long-term incentive payments, reimbursements and expense allowances, moving expenses, fringe benefits, income attributable to group-term life insurance, long-term disability payments, meals and lodging, contributions made by the Bank on behalf of the Participant to, and all distributions from, qualified plans, nonqualified deferred compensation plans, and excess benefit plans (including, without limitation, the Cash Balance Plan, the Savings Plan, the Deferred Compensation Plan and the Benefit Equalization Plan) shall be excluded.

(n)    “Contribution Credit” means the credit to an Account described in Section 4.2.

(o)    “Contribution Credit Service” means the service described in Section 3.4.

(p)    “Deferred Compensation Plan” means the Federal Home Loan Bank of San Francisco Deferred Compensation Plan, as amended from time to time.

(q)    “Disability” means that a Participant:

(1)    is unable to engage in any substantial gainful activity by reason of any medically determinable physical or mental impairment which can be expected to result in death or can be expected to last for a continuous period of not less than twelve (12) months; or

(2)    is, by reason of any medically determinable physical or mental impairment which can be expected to result in death or can be expected to last for a continuous period of not less than twelve (12) months, receiving income replacement benefits for a period of not less than

4

three (3) months under any accident and health plan covering employees of the Participant’s employer.

The determination of the existence of a Disability shall be made by the Bank in accordance with Code Section 409A.

(r)    “Final Average Pay” means the highest average annual Compensation of a Participant during any three (3) consecutive calendar years completed during which an individual is a Participant in the period preceding the determination date. If the Participant received Compensation for fewer than three (3) consecutive complete calendar years while a Participant, Final Average Pay shall be determined taking into account either the Participant’s last three (3) completed calendar years as a Participant, or, if fewer than three (3) calendar years have been completed as a Participant, the Participant’s entire completed service with the Bank.

(s)    “Former Participant” means either:

(1)    Any former employee of the Bank who has a vested Account under the Plan; or

(2)    Any current employee of the Bank who was a Participant under the Plan irregardless of whether such individual’s Account is vested or nonvested.

(t)    “Participant” means an employee who becomes a Participant as provided in Article 3.

(u)    “Plan” means the Federal Home Loan Bank of San Francisco Supplemental Executive Retirement Plan, as established by this document and as amended from time to time.

(v)    “Plan Year” means the calendar year.

(w)    “Savings Plan” means the Federal Home Loan Bank of San Francisco Savings Plan, as amended from time to time.

5

(x)    “Spouse” means:

(a) The person to whom a Participant is legally married under the laws of any state or other jurisdiction; or

(b) A person of the same gender as the Participant with whom the Participant has entered into a valid domestic partnership pursuant to the laws of the State of California.

All uses of the word “spouse” (including a surviving spouse) in this Plan document are deemed to be capitalized and to refer to this defined term “Spouse.”

(y)    “Termination of Employment” means the Participant (or Former Participant) ceasing to be employed in any capacity by the Bank for any reason whatsoever, voluntary or involuntary, including by reason of death. Whether a Termination of Employment has occurred is based on whether the facts and circumstances indicate that the Member and the Bank reasonably anticipated that no further services would be performed after a certain date. A Termination of Employment will not be deemed to have occurred if a Participant (or Former Participant) continues to provide services to the Bank as an employee, independent contractor or otherwise, at an annual rate that is fifty percent (50%) or more of the services rendered, on average, during the immediate preceding 36 months with the Bank (or if less, such lesser period); provided, however, that a Termination of Employment will be deemed to have occurred if the Participant’s (or Former Participant’s) service with the Bank, as an employee, independent contractor or otherwise, is reduced to an annual rate that is less than twenty percent (20%) of the services rendered, on average, during the immediately preceding 36 months with the Bank (or if less, such lesser period).

6

In addition to the foregoing, the employment of a Participant (or Former Participant) shall not be deemed to be terminated while the Participant (or Former Participant) is on military leave, sick leave or other bona fide leave of absence if the period of such leave does not exceed six (6) months or, if longer, so long as the Participant’s (or Former Participant’s) right to reemployment with the Bank is provided by either statute or contract. If the period of leave exceeds six (6) months and the Participant’s (or Former Participant’s) right to reemployment is not provided by either statute or contract, then the employee is deemed to have a Termination of Employment on the first day immediately following such six (6) month period.

For the purposes of this definition only, the term Bank includes Federal Home Loan Bank of San Francisco and its entire controlled group within the meaning of Code Section 414(b) and 414(c), using the 80% standard instead of the 50% standard outlined in Treasury Regulations interpreting Code Section 409A.

(z)    “Total Retirement Income” means the amount determined under (1) and (2) below projected using the assumptions, and in the manner, set forth in Section 4.4 below, determined as the Actuarial Equivalent of a single life annuity commencing at the later of the Participant’s Normal Retirement Date (as defined in the Cash Balance Plan) and the date of Termination of Employment with the Bank.

(1)    all benefits accrued by a Participant or Former Participant under the Cash Balance Plan, the Financial Institutions Retirement Fund and this Plan, plus

(2)    all benefits contributed by the Bank on behalf of a Participant or Former Participant under the Deferred Compensation Plan and the Benefit Equalization Plan with the exception of any matching contributions contributed by the Bank on behalf of a Participant or

Former Participant and any deferrals or contributions made at the direction of the Participant or Former Participant.

(aa)    “Vesting Service” means the service described in Section 3.5.

2.2    Number and Gender

7

Except when otherwise indicated by the context, any use of any term in the singular or plural shall also include the opposite number. As used in the Plan, the masculine gender shall be deemed to refer to the feminine whenever appropriate.

ARTICLE 3.  PARTICIPATION AND SERVICE

3.1    General

Participation in the Plan is limited solely to a select group of management or highly compensated employees who hold positions that are designated by the Board of Directors as covered under the Plan.

3.2    Date of Participation

An individual shall automatically become a Participant on the later of:

(a)    January 1, 2003, or

(b)    the date that the individual first begins service in a position that the Board of Directors has designated as covered under the Plan.

3.3    Duration; Rehire

(a)    Participant. An employee who becomes a Participant shall continue to be a Participant until the employee has a Termination of Employment with the Bank or until the employee no

8

longer serves in a position which the Board of Directors has designated as covered under the Plan.

(b)    Former Participant. An individual shall continue to be a Former Participant until payment of his or her Account is made in full, begins, is forfeited pursuant to Section 4.6, or unless he or she once again becomes a Participant pursuant to Section 3.3(c).

(c)    Rehire. A former employee who was a Participant in the Plan and is subsequently rehired by the Bank shall once again become a Participant on the date he or she begins service in a position that the Board of Directors has designated as covered under the Plan. Such individual’s Contribution Credit Service and Vesting Service shall be determined in accordance with the provisions of Sections 3.4 and 3.5.

3.4    Contribution Credit Service

Except as otherwise provided in this Section, Contribution Credit Service shall include the Participant’s aggregate periods of employment (including years and fractions thereof) with the Bank or with an entity covered by the Financial Institutions Retirement Fund on and after January 1, 1996. Notwithstanding the foregoing, all employment with the Bank necessary to complete six (6) months of Vesting Service as defined in, and required for participation under, the Cash Balance Plan shall be excluded from Contribution Credit Service for purposes of this Plan.

3.5    Vesting Service

Vesting Service with respect to a particular Contribution Credit and the Annual Indexation Credits associated therewith shall include a Participant’s aggregate periods of

9

employment (including years and fractions thereof) with the Bank from the date such Contribution Credit is credited to the Participant’s Account.

ARTICLE 4.  RETIREMENT BENEFITS

4.1    Account

(a)    The Bank shall establish and maintain an Account on its books for each Participant (and Former Participant) in the Plan. The balance of a Participant’s (or Former Participant’s) Account as of any date shall be equal to the sum of the Participant’s (or Former Participant’s) Contribution Credits and Annual Indexation Credits, if any, as of that date, as adjusted pursuant to Sections 4.4(b) and 4.4(c) below and, if applicable, Sections 4.1(b) and (c). As of the date payment of benefits is made or commences under this Plan, the Participant’s or Former Participant’s Account shall be reduced to zero (0), such individual shall cease to be a Participant or Former Participant, and, subject to other applicable provisions of the Plan, benefits shall be paid under the automatic form of benefit payment provided under Section 5.2 or, if applicable, the optional form of benefit payment elected by the Participant or Former Participant under Section 5.3.

(b)    Rehired Individuals. If an individual, in accordance with the provisions of Section 3.3(c), once again becomes a Participant, then such individual’s Account shall be determined as follows: upon the date such individual once again becomes a Participant such individual’s Account shall be redetermined (without regard to any distribution previously made or scheduled to be made) and shall be credited only with those amounts which were unvested at the time of the earlier termination and which were not a part of any distribution or scheduled

10

distribution. Any such unvested amounts shall be subject to the vesting requirements set forth in Section 4.5.

4.2    Contribution Credits

(a)    Crediting Accounts. A Contribution Credit shall be credited to the Account of each Participant as follows:

(1)    The Contribution Credit for a Plan Year shall be credited to the Account of each Participant as of the last day of each Plan Year, beginning in 2003. No Contribution Credit shall be credited to the Account of any Participant for, or with respect to, any year prior to 2003.

(2)    A Contribution Credit shall be credited to a Participant who has a Termination of Employment or who ceases to be a Participant but otherwise remains employed by the Bank during the course of a Plan Year solely for that portion of Plan Year during which the individual was a Participant. The Contribution Credit for a Participant who has a Termination of Employment shall be credited as of the date of termination. The Contribution Credit for a Participant who ceases to be a Participant but otherwise remains employed by the Bank shall be credited as of December 31 of the applicable Plan Year.

(3)    Subject to Section 4.4 and other applicable provisions of the Plan, the amount of the Contribution Credit credited to the Account of Participants shall be determined in accordance with Schedule A attached hereto unless the Board of Directors specifically provides that the amount of the Contribution Credit to a particular Participant’s Account shall be determined in accordance with Schedule B attached hereto. Additionally, the Board of Directors may, in its discretion and from time to time, designate that the amount of the Contribution Credit credited to the Account of a particular Participant or Participants for a Plan Year shall be determined in

11

accordance with a separate Schedule, which Schedule shall be attached hereto. In no circumstances, however, shall the Account of a Participant be credited with Contribution Credits for a Plan Year under more than one Schedule. The Board of Directors must designate any such alternative schedule (other than Schedule A) on or before December 31 of the Plan Year to which the schedule will apply to any Participant or group of Participants.

(b)    Former Participants. No Contribution Credits shall be credited to the Account of any Former Participant with respect to any period of time such individual was not a Participant.

4.3    Annual Indexation Credits

(a)    Crediting Accounts. Annual Indexation Credits shall be credited to the Accounts of Participants and Former Participants as follows:

(1)    The Annual Indexation Credit for a Plan Year shall be credited to the Account of Participants and Former Participants as of the last day of each Plan Year beginning in 2004. No Annual Indexation Credit shall be credited to the Account of any Participant or Former Participant or with respect to any year prior to 2004.

(2)    Subject to Section 4.4 and other applicable provisions of the Plan, the amount of the Annual Indexation Credit credited to the Account of Participants and Former Participants shall be six percent (6%) of the balance of the Account determined as of the first day of the applicable Plan Year.

(b)    Proration; Cessation of Annual Indexation Credits. The Annual Indexation Credit for the Plan Year in which a Participant or Former Participant receives, or begins receiving, payment of his or her benefit under this Plan shall be prorated as provided in Section 4.4(a)

12

below and no further Annual Indexation Credits shall be credited to such Participant or Former Participant.

4.4    Special Rules For Determining Balance of Accounts and for Crediting Contribution Credits and Annual Indexation Credits

(a)    Proration. If the Account of a Participant or Former Participant is determined as of a date during the Plan Year, the rules set forth in Section 4.2 and 4.3 shall be applied by treating the date of determination as the end of a short Plan Year. In such a case, the Participant’s Compensation for the Plan Year to the calculation date shall be used in determining Compensation and the Contribution Credit, and the Annual Indexation Credit shall be prorated to reflect the portion of the year that has been completed as of the date of determination.

(b)    Total Retirement Income – Current Limitation. Notwithstanding anything in this Plan to the contrary, the Total Retirement Income of a Participant or Former Participant shall be limited to fifty percent (50%) of the Participant’s or Former Participant’s Final Average Pay, and a Participant’s or Former Participant’s Contribution Credits and/or Annual Indexation Credits, as applicable, under this Plan shall be adjusted as set forth in Section 4.4(d) below in order to ensure that such limit is observed. For this purpose Total Retirement Income shall be determined as of the earlier of the last day of the current Plan Year and the date payments begin, and Final Average Pay shall be determined as of the earliest of the last day of the current Plan Year, Termination of Employment (if any), and the date the Participant ceases to be a Participant (if any).

(c)    Total Retirement Income – Projected Limitation. Notwithstanding anything in this Plan to the contrary, the projected Total Retirement Income of a Participant shall be limited to fifty percent (50%) of the Participant’s projected Final Average Pay, and a Participant’s

13

Contribution Credits and/or Annual Indexation Credits, as applicable, under this Plan shall be adjusted as set forth in Section 4.4(d) below in order to ensure that such limit is observed. For this purpose, in the case of a Participant who has not yet attained age 65, Total Retirement Income and Final Average Pay shall be projected from the last day of the current Plan Year to the date the Participant attains age 65 by assuming four percent (4%) annual pay increases and that the Participant remains a Participant until such projected date. The projected limitation under this Section 4.4(c) shall not apply unless the Participant remains a Participant until the last day of the Plan Year.

(d)    If, pursuant to Section 4.4(b), a Participant’s or Former Participant’s Total Retirement Income exceeds the fifty percent (50%) limits set forth in Sections 4.4(b), then Contribution Credits and/or Annual Indexation Credits, as applicable, for the current and, if necessary, prior Plan Years shall be reduced as necessary to limit Total Retirement Income accordingly. If such Participant’s or Former Participant’s Total Retirement Income subsequently falls below the fifty percent (50%) limits set forth in Section 4.4(b), then any Contribution Credits and/or Annual Indexation Credits previously reduced shall be restored as necessary.

(e)    If, pursuant to Section 4.4(c), a Participant’s or Former Participant’s Total Retirement Income is projected to exceed the fifty percent (50%) limits set forth in Section 4.4(c), then the projected future Contribution Credits and/or Annual Indexation Credits, as applicable, shall be reduced, and, if necessary, Contribution Credits and/or Annual Indexation Credits for the current Plan Year, and then any prior Plan Years, shall be reduced to the extent required to limit the projected Total Retirement Income accordingly. If such Participant’s or Former Participant’s Total Retirement Income subsequently is projected to fall below the fifty percent (50%) limits set forth in 4.4(c), then any Contribution Credits and/or Annual Indexation

14

Credits previously reduced shall be restored as necessary, first with respect to any prior Plan Years in order of the most recently reduced, and second with respect to projected Plan Years.

4.5Vesting

The interest of each Participant in his or her Account shall vest as follows:

(a)    Vesting of Contribution Credits. Each Participant shall become fully vested in a particular Contribution Credit upon the completion of three (3) years of Vesting Service following the beginning of the Plan Year (or portion thereof) with respect to which such Contribution Credit is credited to the Participant’s Account.

(b)    Vesting of Annual Indexation Credits. Each Participant shall become fully vested in that portion of each Annual Indexation Credit which has been credited to his or her Account with respect to a particular Contribution Credit at the time such Participant becomes fully vested in such Contribution Credit and all further Annual Indexation Credits with respect to that vested Contribution Credit shall be fully vested.

(c)    Attainment of Age 62. Notwithstanding any other provision of this Plan to the contrary, each Participant shall become fully vested in his or her Account on the date such Participant attains age 62 and all further Contribution Credits and Annual Indexation Credits to such Participant’s Account shall be fully vested.

4.6    Forfeiture

(a)    Termination for Cause. Notwithstanding any other provision of this Plan to the contrary, each Participant shall forfeit his or her entire Account (whether vested or nonvested) if the Participant has a Termination of Employment for Cause. For purposes of the Plan, Cause

15

shall be determined by the Bank in its sole discretion using the definition set forth in Section 2.1(i).

(b)    Termination Prior to Attaining Age 62. Subject to the provisions of Section 4.1(b) and pursuant to the provisions of Section 4.5, each Participant whose Termination of Employment prior to the date the Participant attains age 62 shall forfeit the unvested final three (3) years of Contribution Credits credited to his or her Account under the Plan.

ARTICLE 5.  PAYMENT OF BENEFITS; DEATH BENEFITS

5.1    Amount of Benefit

The benefit payable under this Plan to a Participant or Former Participant shall be equal to such individual’s vested Account balance at the time payment is made or commences.

5.2    Automatic Form of Benefit Payment

Unless a Participant or Former Participant elects, in the manner prescribed in Section 5.6, an optional form of benefit payment set forth in Section 5.3 within 30 days of first becoming a Participant, the automatic form of benefit payment under the Plan shall be a single lump sum.

5.3    Optional Forms of Benefit Payments

A Participant or Former Participant may elect in accordance with Section 5.6 to receive his or her benefits in one of the following optional forms of payment (which shall be the Actuarial Equivalent of the automatic form provided in Section 5.2) to the extent applicable:

(a)    A Life Annuity Option. A life annuity payable to the Participant or Former Participant as of the first day of each month until (and including) the month in which the Participant or Former Participant dies.

16

(b)    A Contingent fifty Percent (50%) Annuitant Option. An annuity payable as of the first day of each month to the Participant or Former Participant, for life, with a continuing annuity to the Beneficiary if the Beneficiary survives the Participant or Former Participant, in an amount which is fifty percent (50%) of the monthly annuity payable to the Participant or Former Participant, beginning with the first day of the month following the Participant’s or Former Participant’s death and continuing for the Beneficiary’s lifetime.

5.4    Automatic Time of Benefit Payment

(a)    Automatic Time. Unless a Participant or Former Participant elects, in the manner prescribed in Section 5.6, an optional time of benefit payment within 30 days of first becoming a Participant, the automatic time of payment of a benefit under the Plan shall be the earlier of the Participant’s Termination of Employment, death or Disability.

(b)    Date Payment is Made. Payment of a benefit under the Plan shall begin as soon as administratively practicable, but not later than 90 days, following Termination of Employment, death or Disability. The Bank shall decide, in its sole discretion, the exact date payment shall begin within such 90-day period.

5.5    Optional Time of Benefit Payment

Notwithstanding Section 5.4(b) above, if a Participant has a Termination of Employment at age 45 or older he may elect to defer payment of benefits under the Plan beyond such Termination of Employment, provided such election is made in accordance with Section 5.6 and the distribution is to be made on a specified date, death or Disability.No payment of benefits may be made under this Plan prior to Termination of Employment, death or Disability. Notwithstanding the foregoing, distributions shall commence no later than the April 1 following

17

the end of the calendar year in which the later of the two following events occur: (1) the Participant reaches age 70 ½, or (2) the Participant has a Termination of Employment.

5.6    Manner and Time of Elections

(a)    The election of an optional form or time of benefit payment shall be made on such forms as may be prescribed by the Bank. Except as provided in Section 5.6(b), a Participant must make an election regarding the optional form of benefit and the optional time of benefit payment within 30 days of first becoming a Participant and such election shall be irrevocable on the beginning of the 31st day after becoming a Participant. If no election is made within such 30 days, the automatic form of benefit payment and automatic time of benefit payment rules will apply. A Participant (or Former Participant) may modify his election or the automatic form and time of benefit but the date the modification is submitted to the administrator must be at least twelve (12) months prior to the Participant’s (or Former Participant’s) scheduled distribution date, the modification shall not be effective for twelve (12) months after it becomes irrevocable and the first payment under the modified distribution date must occur at least five (5) years after the date such payment would have been made absent the modification; provided, however, that the additional five (5) years shall not apply to payments elected to be made upon death or to any change in the form of payment between annuities that are Actuarial Equivalents. The election to modify in the preceding sentence shall be irrevocable twelve (12) months prior to the scheduled distribution date absent the modification.

(b)    The rules regarding elections apply to rehired employees described in Section 4.1(b), in the same way it applies to newly eligible employees.

18

(c)    Notwithstanding any other provision in the Plan to the contrary, during 2008 a Participant may modify the form of distribution and the distribution date elected under Section 5.6(a), provided that the election is made not later than December 31, 2008. No election under this Section shall: (1) change the payment date of any distribution otherwise scheduled to be paid in 2008 or cause a payment to be paid in 2008, or (2) be permitted after December 31, 2008.

(d)    Notwithstanding any other provision of the Plan to the contrary, no distribution shall be made from the Plan that would constitute an impermissible acceleration of payment as defined in Section 409A(a)(3) of the Code and the regulations promulgated thereunder.

(e)    The Committee may delay any payment to a Participant or Former Participant upon the Committee’s reasonable anticipation of one or more of the following: (i) making such payment would jeopardize the Bank’s ability to continue as a going concern and the payment is made to the Participant during the first taxable year in which making the payment would not have such effect on the Bank; or (ii) making such payment would violate Federal securities laws or other applicable law.

5.7    Death Benefits

(a)    In the case of a Participant or Former Participant:

(1)    who has a vested interest in his or her Account balance; and

(2)    who dies before benefit payment has been made in the case of the lump sum automatic form of payment pursuant to Section 5.2, or who has elected the life annuity form of payment pursuant to Section 5.3(a) and dies before payment has begun, the amount of the vested Account balance shall be paid in a lump sum to the Participant’s or Former Participant’s

19

Beneficiary eighteen (18) months after the death of the Participant or Former Participant. In order to change the form or the time of the payment, the Beneficiary must make an election within six (6) months after the Participant’s or Former Participant’s death to receive a distribution in a form that is available to Beneficiaries under Section 5.3, such election shall be irrevocable on the six (6) month anniversary of the Participant’s death and shall not be effective for twelve (12) months after the date such election becomes irrevocable. If the Beneficiary fails to make a timely election, the Beneficiary will receive the benefit in the form of a lump sum at the end of the eighteen (18) month period. The Beneficiary cannot elect to receive: (1) payment past the date that is the April 1 following the end of the calendar year in which the Participant would have attained age 70 ½, (2) benefits in a form not allowed under the Cash Balance Plan and (3) benefits before the end of the eighteen (18) month period.

(b)    In the case of a Participant or Former Participant:

(1)    who has a vested interest in his or her Account balance; and

(2)    who has elected the contingent fifty percent (50%) annuitant option pursuant to Section 5.3(b) and who dies either before or after benefit payment has begun, the amount of the vested Account balance shall be paid or continue to be paid in the form of the contingent fifty percent (50%) annuitant option described in Section 5.3(b).

(c)    In no other case shall any amount be paid to a Participant’s or Former Participant’s Beneficiary.

5.8    Beneficiary Designation

A Participant or Former Participant may designate a person or other entity as the Beneficiary to receive any death benefit payable under the Plan. Each Beneficiary designation

20

shall be in the form prescribed by the Bank, shall be effective only when properly filed in writing with the Bank before the earlier of the Participant’s or Former Participant’s death or the time payment is made or commences, and shall revoke all prior designations by the Participant or Former Participant.

ARTICLE 6.  SOURCE OF PAYMENTS

All benefits payable under the Plan shall be paid as they become due and payable by the Bank out of its general assets. Nothing contained in this Plan shall be deemed to create a trust of any kind for the benefit of Participants, Former Participants or their Beneficiaries or create a fiduciary relationship between the Bank and the Participants, Former Participants or their Beneficiaries. To the extent that any person acquires a right to receive benefits under the Plan, such rights shall be no greater than the right of any unsecured general creditors of the Bank. Notwithstanding the foregoing, the Bank may, in its sole discretion, execute a trust agreement with a trustee, or enter into one or more contracts with an insurance company or companies, or adopt a combination of both methods of funding. Any such trust so established shall be a “rabbi” grantor trust under Sections 671 through 679.

21

ARTICLE 7.  ADMINISTRATION

7.1    Committee

(a)    General. The Committee, subject to those powers which the Board of Directors has reserved as described in Article 8 below, shall have general authority over, and responsibility for, the administration and interpretation of the Plan. The Committee shall have full power, authority and discretion to interpret and construe the Plan, to make all determinations considered necessary or advisable for the administration of the Plan and the trust, if any, the calculation of the amount of benefits payable under the Plan, and to review claims for benefits under the Plan. The Committee’s interpretations and constructions of the Plan and its decisions or actions thereunder shall be binding and conclusive on all persons for all purposes.

(b)    Composition. The Committee shall consist of at least three individuals, each of whom shall be appointed by the Board of Directors. Any Committee member may resign by delivering his or her written resignation to the Committee no later than fifteen (15) days before the effective date of the resignation. The Board of Directors may remove any member of the Committee at any time and for any reason with or without advance written notice. Vacancies in the Committee arising by resignation, death, removal or otherwise shall be filled by the Board of Directors.

(c)    Committee Procedures. The Committee shall elect or designate one of its own members as Chair, establish its own procedures and the time and place for its meetings and provide for the keeping of minutes of all meetings. A majority of the members of the Committee shall constitute a quorum for the transaction of business by the Committee. Any action of the Committee may be taken upon the affirmative vote of a majority of the members at a meeting or, at the direction of its Chair, without a meeting by mail or telephone, provided

22

that all of the Committee members are informed in writing of the matter to be voted upon. The Committee may establish procedures pursuant to which a Committee member may elect not to participate in a Committee proceeding in which such member has an interest. No Committee member shall be entitled to act on or decide any matters relating solely to such Committee member as a Participant or any of his or her rights or benefits under the Plan.

(d)    Expenses. All expenses incurred by the Committee in its administration of the Plan shall be paid by the Bank. The Committee members shall not receive any special compensation for serving in such capacity but shall be reimbursed for any reasonable expenses actually incurred in connection therewith. No bond or other security is required of the Committee or any member thereof in any jurisdiction.

(e)    Liability; Indemnification. No Committee member shall be personally liable by reason of any instrument executed by such Committee member, or action taken by the member in his or her capacity as a Committee member, acting in good faith and exercising reasonable care, nor for any mistake of judgment made in good faith. Committee members may be entitled to indemnification for certain costs, expenses and liabilities to the fullest extent permitted by applicable law and regulations and the charter and bylaws of the Bank, and subject to the terms and conditions set forth in such bylaws.

7.2    Procedures for Requesting Benefit Payments

To obtain Plan benefits, a Participant, Former Participant or Beneficiary must file a written application with the Bank. Procedures for filing a claim in the event that Plan benefits are denied in whole or in part may be obtained from the Bank.

ARTICLE 8.   AMENDMENT AND TERMINATION

8.1    Amendment of the Plan

The Bank reserves the right to amend the Plan at any time and in any respect whatsoever by action of its Board of Directors or by such other means as may be prescribed by the Board of Directors. The President

23

of the Bank shall have authority to make administrative and other amendments to the Plan as may be necessary or appropriate to facilitate the administration, management, and interpretation of the Plan or to conform the Plan thereto (including any such amendments as necessary or appropriate from time to time to conform the Plan to changes in applicable laws), provided that any such amendment or action does not have a material effect on the then currently estimated cost to the Bank of maintaining the Plan. All amendments to the Plan that have a material effect on the then currently estimated cost to the Bank of maintaining the Plan must be approved by the Board of Directors. Retroactive Plan amendments may not decrease the Account balance of any Participant or Former Participant determined as of the time the amendment is adopted, unless the Participant or Former Participant consents in writing.

8.2    Termination of the Plan

While it is the intent of the Bank to maintain the Plan indefinitely, it reserves the right to terminate the Plan in whole or in part by action of the Board of Directors (or by such other means as may be prescribed by the Board of Directors) at any time.

Upon termination of the Plan, no further benefits shall accrue under the Plan to any Participant or Former Participant. In the event of a termination of the Plan, the Bank may determine that the Accounts will be distributed. If the Board of Directors determines that the Plan is to be terminated and distributions are to be made, the Accounts will be distributed within

24

the period beginning twelve (12) months after the date the Plan was terminated and ending twenty-four (24) months after the date the Plan was terminated, or pursuant to Article 5 of the Plan, if earlier, and otherwise in accordance with Treasury Regulation § 1.409A-3(j)(4)(ix)(C). Any liquidation and termination of the Plan will not occur proximate to a downturn in the financial health of the Bank, as prohibited by Code Section 409A. If the Plan is terminated and Accounts are distributed, the Bank shall: (1) terminate all arrangements for Participants that are required to be aggregated with the Plan under Code Section 409A and (2) not adopt a new plan for Participants that would be aggregated with the Plan under Code Section 409A, at any time within three (3) years following the date of the termination of the Plan.

8.3    Change in Control

The Bank may terminate the Plan within 30 days prior to or twelve (12) months following a Change in Control and distribute the Accounts of the Participants or Former Participants within the twelve (12) month period following a termination of the Plan and otherwise in accordance with Treasury Regulation § 1.409A-3(j)(4)(ix)(B). If the Plan is terminated and Accounts are distributed in connection with a Change in Control, the Bank shall: (1) terminate all arrangements for Participants that are required to be aggregated with the Plan under Code Section 409A and (2) not adopt a new plan for Participants that would be aggregated with the Plan under Code Section 409A, at any time within three years following the date of the termination of the Plan.

8.4    Dissolution or Bankruptcy

The Plan shall automatically terminate upon a corporate dissolution or bankruptcy provided that Participants’ (or Former Participant’s) Accounts are distributed and included in the gross income of the Participants (or Former Participants) by the latest of: (i) the Plan Year in

25

which the Plan termination, (ii) the first Plan Year in which payment of the Accounts is administratively practicable, or (iii) the calendar year in which the amount is no longer subject to a substantial risk of forfeiture and otherwise in accordance with Treasury Regulation § 1.409A-3(j)(4)(ix)(C). A corporate dissolution or bankruptcy will have occurred only if the transaction qualifies as both a liquidation or reorganization under 12 United States Code Section 1446(26) and a dissolution or bankruptcy under Code Section 409A and the regulations promulgated thereunder.

ARTICLE 9.  MISCELLANEOUS PROVISIONS

9.1    Employment Rights

Nothing contained in this Plan or any modification of the Plan or act done in pursuance of this Plan shall be construed as giving any Participant or Former Participant any legal or equitable right with respect to his or her employment against the Bank (or any director, officer or employee thereof), unless specifically provided in this Plan or under applicable law, or as giving any person a right to be retained in the employ of the Bank. All employees shall remain subject to assignment, reassignment, promotion, transfer, layoff, reduction, suspension, and discharge to the same extent as if this Plan had never been established.

9.2    No Examination or Accounting

Neither this Plan nor any action taken under it shall be construed as giving any person the right to an accounting or to examine the books or affairs of the Bank, the Plan, or the Committee, except to the extent required by law.

26

9.3    Records Conclusive

The records of the Bank and the Committee shall be conclusive in respect to all matters involved in the administration of the Plan to the extent permitted by applicable law.

9.4    Severability

In the event any provision of this Plan shall be held illegal or invalid for any reason, such illegality or invalidity shall not affect the remaining parts of this Plan, and it shall be construed and enforced as if such illegal or invalid provision had never been included.

9.5    Counterparts

This Plan may be executed in any number of counterparts, each of which shall be deemed to be an original. All the counter parts shall constitute but one and the same instrument and may be sufficiently evidenced by any one counterpart.

9.6    Taxes

The Bank shall withhold, or cause to be withheld, from all benefits payable under the Plan all federal, state, local or other taxes required by applicable law be withheld with respect to such payment.

9.7    Binding Effect

The Plan shall be binding upon and inure to the benefit of the Bank and its successors and assigns and the Participants, Former Participants, their Beneficiaries and estates. The Plan shall also be binding upon and inure to the benefit of any successor organization succeeding to substantially all of the assets and business of the Bank, but nothing in the Plan shall preclude the Bank from merging or consolidating into or with, or transferring all or substantially all of its

27

assets to, another organization which assumes the Plan and all obligations of the Bank thereunder.

In any agreement or plan which the Bank may enter into to effect any merger, consolidation, reorganization, or transfer of assets, except as provided in Section 8.3, the Bank agrees that it shall make appropriate provision for the preservation of the Participants’ and Former Participants’ benefits accrued under the Plan prior to such merger, consolidation, reorganization or transfer of assets. Upon such a merger, consolidation, reorganization, or transfer of assets and assumption of the Plan obligations of the Bank, the term “Bank” shall refer to such other organization and the Plan shall continue in full force and effect.

9.8    Assignment

No Participant or Former Participant or Beneficiary shall have the right to assign, transfer, hypothecate, encumber or anticipate his or her benefits under the Plan, nor shall the benefits under this Plan be subject to any legal process to levy upon or attach the benefits for payment of any claim against the Participant or Former Participant or his or her Beneficiary. In the event of any attempted assignment or transfer, the Bank shall have no further liability hereunder. The foregoing notwithstanding, in accordance with procedures that are established by the Committee (including procedures requiring prompt notification to the affected Participant or Former Participant and each alternate payee of the receipt by the Plan or the Bank of a domestic relations order and its procedures for determining the qualified status of such order) and subject to Code Section 409A, a judicial order for purposes of or pertaining to domestic relations (which orders do not alter the amount, timing, or form of benefit other than to have it commence at the earliest permissible date) shall be honored by the Plan and the Bank if the Committee or its designee determines that such order would constitute a qualified domestic relations order (within

28

the meaning of Section 414(p)(1)(B) of the Code) if the Plan were a qualified retirement plan under Section 401(a) of the Code.

9.9    Incapacity

If the Committee is presented with credible evidence that any person to whom any amount is or was payable under the Plan is unable to care for his or her affairs because of illness or accident, or is a minor, or has died, then any payment, or any part thereof, due to such person or his or her estate (unless a prior claim therefor has been made by a duly appointed legal representative), may, if the Committee is so inclined, be paid to such person’s spouse, child, or other relative, an institution maintaining or having custody of such person, or any other person deemed by the Committee to be a proper recipient on behalf of such person otherwise entitled to payment. In making such a finding the Committee may rely on the advice of experts chosen by the Committee in its sole discretion. Any payment consequent on such finding shall be in complete discharge of the liability of the Plan and the Bank therefor.

9.10    Unsecured Creditor

To the extent that any person acquires a right to receive payments from the Bank under the Plan, such right shall be no greater than the right of an unsecured general creditor of the Bank.

9.11    Notice

Any election, application, claim, designation, request, notice, instruction or other communication required or permitted to be made by a Participant, Former Participant, Beneficiary, or other person to the Committee shall be made in writing and in such form as is prescribed from time to time by the Committee and shall be mailed by first-class mail, postage

29

pre-paid or delivered to such location as shall be specified by the Committee and shall be deemed to have been given and delivered only upon receipt thereof at such location.

9.12    Benefits Not Salary

The benefits payable under the Plan shall be independent of, and in addition to, any other benefits provided by the Bank and shall not be deemed salary or other remuneration by the Bank for the purpose of computing benefits to which any Participant or Former Participant may be entitled under any other plan or arrangement of the Bank.

9.13    Captions

The captions preceding the sections of the Plan have been inserted solely as a matter of convenience and shall not in any manner define or limit the scope or intent of any provisions of the Plan.

9.14    Governing Law

The Plan is intended to constitute an unfunded Plan for a select group of employees and rights thereunder shall be construed according to the laws of the State of California, without giving effect to the choice of law principles thereof, and the laws of the United States, as applicable. The Plan shall be construed in a manner that is consistent and compliant with Section 409A of the Code, and any regulations promulgated thereunder. Any provision that is noncompliant with Section 409A of the Code is void or deemed amended to comply with Section 409A of the Code. The Bank does not guarantee or warrant the tax consequences of the Plan, and the Participants shall in all cases be liable for any taxes due with respect to the Plan.

30

9.15    Addresses

Each Participant or Former Participant must file with the Bank from time to time in writing his or her post office address and each change of post office address. The communication, statement or notice addressed to a Participant or Former Participant at the last post office address filed with the Bank, or if no address is filed with the Bank, then at the last post office address as shown on the records of the Bank, shall be binding on the Participant or Former Participant and his or her Beneficiaries for all purposes of the Plan. The Bank shall not be required to search for or locate a Participant, Former Participant or his or her Beneficiary.

IN WITNESS WHEREOF, the Federal Home Loan Bank of San Francisco has caused this amendment and restatement to the Federal Home Loan Bank of San Francisco Supplemental Executive Retirement Plan, effective July 1, 2013, to be executed by its duly authorized officers, this 26th day of December, 2013.

FEDERAL HOME LOAN BANK OF SAN FRANCISCO
Signature:	/s/ Dean Schultz
Name:	Dean Schultz
Title:	President and Chief Executive Officer
Signature:	/s/Gregory P. Fontenot
Name:	Gregory P. Fontenot
Title:	Senior Vice President, Director of Human Resources

31

FEDERAL HOME LOAN BANK OF SAN FRANCISCO
SUPPLEMENTAL EXECUTIVE RETIREMENT PLANSchedule A

Subject to Sections 3.4, 4.2 and other applicable provisions of the Plan, for the Plan Year beginning in 2003 and for subsequent Plan Years, Contribution Credits shall be credited to the Account of each Participant as follows unless the Board of Directors specifically designates that a different Schedule is applicable to such Participant.

A.1 8% of Compensation for Contribution Credit Service less than 10 years.

A.2 12% of Compensation for Contribution Credit Service of 10 or more but less than 15 years.

A.3 16% of Compensation for Contribution Credit Service of 15 years or more.

For purposes of this Schedule, Compensation shall include only Compensation earned by the Participant during the applicable Plan Year while a Participant in the Plan. Additionally, for purposes of this Schedule, Contribution Credit Service shall be determined as of the first day of the applicable Plan Year. No Contribution Credits shall be credited to the Account of any Participant under this Schedule A for, or with respect to, any year prior to 2003.

A-1

FEDERAL HOME LOAN BANK OF SAN FRANCISCO
SUPPLEMENTAL EXECUTIVE RETIREMENT PLANSchedule B

Subject to Sections 3.4, 4.2 and other applicable provisions of the Plan, for the Plan Year beginning in 2003 and for subsequent Plan Years, the Account of each Participant to whom the Board of Directors has specifically designated this Schedule B applies shall be credited with Contribution Credits as follows:

B.1 10% of Compensation for Contribution Credit Service less than 10 years.

B.2 15% of Compensation for Contribution Credit Service of 10 or more but less than 15 years.

B.3 20% of Compensation for Contribution Credit Service of 15 years or more..

For purposes of this Schedule, Compensation shall include only Compensation earned by the Participant during the applicable Plan Year while a Participant in the Plan. Additionally, for purposes of this Schedule, Contribution Credit Service shall be determined as of the first day of the applicable Plan Year. No Contribution Credits shall be credited to the Account of any Participant under this Schedule B for or with respect to any year prior to 2003.

B-1

2016 AMENDMENT TO

FEDERAL HOME LOAN BANK OF SAN FRANCISCO

SUPPLEMENTAL EXECUTIVE RETIREMENT PLAN

Pursuant to Section 8.1 of the Federal Home Loan Bank of San Francisco Supplemental Executive Retirement Plan, as Amended and Restated Effective July 1, 2013 (the “Plan”), and the action of the Board of Directors, the Plan is hereby amended, effective May 12, 2016, by the addition of a new Schedule C to the Plan, which Schedule C is attached hereto.

FEDERAL HOME LOAN BANK OF SAN FRANCISCO

SUPPLEMENTAL EXECUTIVE RETIREMENT PLAN

Schedule C

Subject to Sections 3.4, 4.2 and other applicable provisions of the Plan, for the Plan Year beginning in 2016 and for subsequent Plan Years, the Account of each Participant to whom the Board of Directors has specifically designated this Schedule C applies shall be credited with Contribution Credits as follows:

C.l10% of Compensation for Contribution Credit Service less than 4 years.

C.215% of Compensation for Contribution Credit Service of 4 or more but less than 9 years.

C.320% of Compensation for Contribution Credit Service of 9 years or more.

For purposes of this Schedule, Compensation shall include only Compensation earned by the Participant during the applicable Plan Year while a Participant in the Plan. No Contribution Credits shall be credited to the Account of any Participant under this Schedule C for or with respect to any year prior to 2016.

Additional Discretionary Contribution Credit

Subject to applicable provisions of the Plan and subject to prior review and non-objection by the Federal Housing Finance Agency, if the Participant’s first Plan Year of participation is less than the full Plan Year, then, at the discretion and specific determination of the Board of Directors, an additional Contribution Credit may be credited to the Participant’s Account as of the last day of such Plan Year.

Supplemental Three Year Contribution Credit

Subject to applicable provisions of the Plan and subject to prior review and non-objection by the Federal Housing Finance Agency, the Account of a Participant to whom the Board of Directors has specifically designated that the Supplemental Three Year Contribution Credit set forth on this Schedule C applies shall be credited with additional Contribution Credits as follows:

$200,000 Contribution Credit on the thirtieth (30^th) day following the Participant’s employment commencement date with the Bank.

$200,000 Contribution Credit on the first anniversary of the Participant’s employment commencement date with the Bank.

$200,000 Contribution Credit on the second anniversary of the Participant’s employment commencement date with the Bank.

No Contribution Credit shall be made under this Supplemental Three Year Contribution Credit schedule on any date set forth herein if the Participant has a Termination of Employment prior to such date; provided, however, if the Participant has a Termination of Employment prior to the second anniversary of the Participant’s employment commencement date with the Bank solely by reason of the Participant’s death, Disability, or involuntary termination by the Bank without Cause, then on the Participant’s date of Termination of Employment the Participant’s Account will be credited with a pro rata portion of the next scheduled $200,000 Contribution Credit only, with such proration based on the ratio of (i) the number of days of the Participant’s employment with the Bank following the then most recent anniversary of the Participant’s employment commencement date with the Bank (or the employment commencement date itself if the Participant has not reached the Participant’s first anniversary) to (ii) 365 days.

Notwithstanding Section 4.5 of the Plan, each Contribution Credit under this Supplemental Three Year Contribution Credit schedule only shall be fully vested immediately upon its crediting date.

EX-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, Dean Schultz, certify that:

1. I have reviewed this quarterly report on Form 10-Q for the period ended March 31, 2016, of the Federal Home Loan Bank of San Francisco;

2. 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. 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. The registrant's other certifying officer(s) 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-15(f)) for the registrant and have:

a. 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;

b. 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;

c. 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

d. 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; and

5. The registrant's other certifying officer(s) 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):

a. 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

b. 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 6, 2016	/S/ DEAN SCHULTZ
	Dean Schultz President and Chief Executive Officer

EX-31.2

EXHIBIT 31.2

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

for the Chief Operating Officer

I, Lisa B. MacMillen, certify that:

1. I have reviewed this quarterly report on Form 10-Q for the period ended March 31, 2016, of the Federal Home Loan Bank of San Francisco;

2. 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. 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. The registrant's other certifying officer(s) 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-15(f)) for the registrant and have:

a. 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;

b. 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;

c. 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

d. 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; and

5. The registrant's other certifying officer(s) 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):

a. 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

b. 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 6, 2016	/S/ LISA B. MACMILLEN
	Lisa B. MacMillen Executive Vice President and Chief Operating Officer

EX-31.3

EXHIBIT 31.3

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

for the Chief Financial Officer

I, Kenneth C. Miller, certify that:

1. I have reviewed this quarterly report on Form 10-Q for the period ended March 31, 2016, of the Federal Home Loan Bank of San Francisco;

2. 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. 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. The registrant's other certifying officer(s) 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-15(f)) for the registrant and have:

a. 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;

b. 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;

c. 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

d. 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; and

5. The registrant's other certifying officer(s) 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):

a. 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

b. 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 6, 2016	/S/ KENNETH C. MILLER
	Kenneth C. Miller Senior Vice President and Chief Financial Officer

EX-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, Dean Schultz, President and Chief Executive Officer of the Federal Home Loan Bank of San Francisco (“Registrant”), certify that, to the best of my knowledge:

1. The Registrant's Quarterly Report on Form 10-Q for the period ended March 31, 2016, (“Report”) fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

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

Date: May 6, 2016	/S/ DEAN SCHULTZ
	Dean Schultz 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 San Francisco and will be retained by the Federal Home Loan Bank of San Francisco and furnished to the Securities and Exchange Commission or its staff upon request.

EX-32.2

EXHIBIT 32.2

Certification by the Chief Operating Officer

Pursuant to 18 U.S.C. Section 1350,

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

I, Lisa B. MacMillen, Executive Vice President and Chief Operating Officer of the Federal Home Loan Bank of San Francisco (“Registrant”), certify that, to the best of my knowledge:

1. The Registrant's Quarterly Report on Form 10-Q for the period ended March 31, 2016, (“Report”) fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

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

Date: May 6, 2016	/S/ LISA B. MACMILLEN
	Lisa B. MacMillen Executive Vice President and Chief Operating Officer

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

EX-32.3

EXHIBIT 32.3

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, Kenneth C. Miller, Senior Vice President and Chief Financial Officer of the Federal Home Loan Bank of San Francisco (“Registrant”), certify that, to the best of my knowledge:

1. The Registrant's Quarterly Report on Form 10-Q for the period ended March 31, 2016, (“Report”) fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

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

Date: May 6, 2016	/S/ KENNETH C. MILLER
	Kenneth C. Miller Senior Vice President 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 San Francisco and will be retained by the Federal Home Loan Bank of San Francisco and furnished to the Securities and Exchange Commission or its staff upon request.

XML

Document and Entity Information Document - shares	3 Months Ended
	Mar. 31, 2016	Apr. 30, 2016
Document and Entity Information [Line Items]
Entity Registrant Name	FEDERAL HOME LOAN BANK OF SAN FRANCISCO
Entity Central Index Key	0001316944
Document Type	10-Q
Document Period End Date	Mar. 31, 2016
Amendment Flag	false
Document Fiscal Year Focus	2016
Document Fiscal Period Focus	Q1
Current Fiscal Year End Date	--12-31
Entity Well-known Seasoned Issuer	No
Entity Voluntary Filers	No
Entity Current Reporting Status	Yes
Entity Filer Category	Non-accelerated Filer
Entity Common Stock, Shares Outstanding		27,680,711

XML

Statements of Condition - USD ($) $ in Millions		Mar. 31, 2016	Dec. 31, 2015
Assets:
Cash and due from banks		$ 100	$ 1,637
Interest-bearing deposits		450	0
Securities purchased under agreements to resell		12,500	10,000
Federal funds sold		4,599	4,626
Trading securities	[1]	1,408	1,433
Available-for-sale (AFS) securities	[1]	5,145	5,414
Held-to-maturity (HTM) securities (fair values were $10,372 and $10,821, respectively)	[1],[2]	10,264	10,802
Advances (includes $3,722 and $3,677 at fair value under the fair value option, respectively)		49,169	50,919
Mortgage loans held for portfolio, net of allowance for credit losses of $0 and $0, respectively		632	655
Accrued interest receivable		54	56
Premises, software, and equipment, net		32	32
Derivative assets, Net		39	44
Other assets		347	80
Total Assets		84,739	85,698
Liabilities:
Deposits		214	127
Consolidated obligations:
Bonds (includes $3,613 and $4,233 at fair value under the fair value option, respectively)		57,207	51,827
Discount Notes		21,095	27,647
Total consolidated obligations		78,302	79,474
Mandatorily redeemable capital stock		486	488
Accrued interest payable		146	80
Affordable Housing Program (AHP) payable		186	172
Derivative liabilities, Net		9	6
Other liabilities		505	455
Total Liabilities		$ 79,848	$ 80,802
Commitments and Contingencies (Note 17)
Capital:
Capital stock-Class B-Putable ($100 par value) issued and outstanding: 21 shares and 23 shares, respectively		$ 2,115	$ 2,253
Unrestricted retained earnings		760	610
Restricted retained earnings		2,054	2,018
Total Retained Earnings		2,814	2,628
Accumulated Other Comprehensive Income (Loss) (AOCI)		(38)	15
Total Capital		4,891	4,896
Total Liabilities and Capital		$ 84,739	$ 85,698

[1] At March 31, 2016, and December 31, 2015, none of these securities were pledged as collateral that may be repledged.

[2] Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings. The carrying value of HTM securities represents amortized cost after adjustment for non-credit-related OTTI recognized in AOCI.

XML

Statements of Condition (Parenthetical) - USD ($) shares in Millions, $ in Millions	Mar. 31, 2016	Dec. 31, 2015
Assets:
Fair Value of Held-to-maturity securities	$ 10,372	$ 10,821
Fair Value of Advances Under the Fair Value Option	3,722	3,677
Allowance for credit losses on mortgage loans	$ 0	0
Capital:
Common stock, par value	$ 100
Statement of Condition Footnotes:
Available-for-sale securities pledged as collateral that may be repledged	$ 0	0
Trading securities pledged as collateral that may be repledged	0	0
Held-to-maturity securities pledged as collateral that may be repledged	$ 0	$ 0
Common Class B [Member]
Capital:
Common stock, par value	$ 100	$ 100
Common stock, shares issued	21	23
Common stock, shares outstanding	21	23
Consolidated obligation bonds [Member]
Liabilities:
Fair Value of Bonds Under the Fair Value Option	$ 3,613	$ 4,233

XML

Statements of Income - USD ($) $ in Millions		3 Months Ended
		Mar. 31, 2016	Mar. 31, 2015
Interest Income:
Advances		$ 104	$ 67
Prepayment fees on advances, net		2	0
Securities purchased under agreements to resell		2	0
Federal funds sold		5	2
Trading securities		2	2
AFS securities		69	67
HTM securities		64	80
Mortgage loans held for portfolio		8	9
Total Interest Income		256	227
Interest Expense:
Consolidated Obligations: Bonds		104	76
Consolidated Obligations: Discount notes		19	6
Mandatorily redeemable capital stock	[1]	10	15
Total Interest Expense		133	97
Net Interest Income		123	130
Provision for/(reversal of) credit losses on mortgage loans		0	0
Net Interest Income After Mortgage Loan Loss Provision		123	130
Other Income/(Loss):
Total other-than-temporary impairment (OTTI) loss		(15)	(4)
Net amount of OTTI loss reclassified to/(from) AOCI		8	2
Net OTTI loss, credit-related		(7)	(2)
Net gain/(loss) on trading securities		1	0
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option		27	(7)
Net gain/(loss) on derivatives and hedging activities		(65)	(21)
Gains on litigation settlements, net		211	459
Other		4	3
Total Other Income/(Loss)		171	432
Other Expense:
Compensation and benefits		18	17
Other operating expense		15	14
Federal Housing Finance Agency		2	2
Office of Finance		1	1
Total Other Expense		36	34
Income/(Loss) Before Assessments		258	528
AHP Assessment		27	54
Net Income/(Loss)		$ 231	$ 474

[1] The Bank excludes interest expense on mandatorily redeemable capital stock from adjusted net interest income in its analysis of financial performance for its two operating segments

XML

Statements of Comprehensive Income - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2016	Mar. 31, 2015
Net Income/(Loss)	$ 231	$ 474
Other Comprehensive Income/(Loss):
Net change in pension and postretirement benefits	1	0
Net non-credit-related OTTI gain/(loss) on AFS securities:
Net change in fair value of other-than-temporarily impaired securities	(47)	20
Net amount of OTTI loss reclassified to/(from) other income/(loss)	(8)	(2)
Total net non-credit-related OTTI gain/(loss) on AFS securities	(55)	18
Net non-credit-related OTTI gain/(loss) on HTM securities:
Accretion of Noncredit Related OTTI Loss	1	2
Total net non-credit-related OTTI gain/(loss) on HTM securities	1	2
Total other comprehensive income/(loss)	(53)	20
Total Comprehensive Income (Loss)	$ 178	$ 494

XML

Statements of Capital Accounts - USD ($) shares in Millions, $ in Millions	Total	Retained Earnings [Member]	Restricted [Member]	Unrestricted [Member]	Accumulated Other Comprehensive Income/(Loss) [Member]	Common Class B - Putable [Member] Common Stock [Member]
Balance, Shares at Dec. 31, 2014						33
Balance at Dec. 31, 2014	$ 5,693	$ 2,359	$ 2,065	$ 294	$ 56	$ 3,278
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Issuance of capital stock, shares						2
Issuance of capital stock, value	234					$ 234
Repurchase of capital stock, shares						(4)
Repurchase of capital stock, value	(412)					$ (412)
Net Shares Reclassified from/(to) Mandatorily Redeemable Capital Stock, Shares						0
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net, value	(8)					$ (8)
Comprehensive Income (Loss)	494	474	85	389	20
Cash dividends paid on capital stock	(59)	(59)	0	(59)
Balance, Shares at Mar. 31, 2015						31
Balance at Mar. 31, 2015	5,942	2,774	2,150	624	76	$ 3,092
Balance, Shares at Dec. 31, 2015						23
Balance at Dec. 31, 2015	4,896	2,628	2,018	610	15	$ 2,253
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Issuance of capital stock, shares						1
Issuance of capital stock, value	112					$ 112
Repurchase of capital stock, shares						(2)
Repurchase of capital stock, value	(198)					$ (198)
Net Shares Reclassified from/(to) Mandatorily Redeemable Capital Stock, Shares						(1)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net, value	(52)					$ (52)
Comprehensive Income (Loss)	178	231	36	195	(53)
Cash dividends paid on capital stock	(45)	(45)	0	(45)
Balance, Shares at Mar. 31, 2016						21
Balance at Mar. 31, 2016	$ 4,891	$ 2,814	$ 2,054	$ 760	$ (38)	$ 2,115

XML

Statements of Capital Accounts (Parenthetical)	3 Months Ended
	Mar. 31, 2016	Mar. 31, 2015
Annualized Dividend Rate on Capital Stock	7.99%	7.11%

XML

Statements of Cash Flows - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2016	Mar. 31, 2015
Cash Flows from Operating Activities:
Net Income/(Loss)	$ 231	$ 474
Adjustments to reconcile net income/(loss) to net cash provided by operating activities:
Depreciation and amortization	(26)	(27)
Change in net fair value of trading securities	(1)	0
Change in net fair value adjustment on advances and consolidated obligation bonds held under fair value option	(27)	7
Change in net derivatives and hedging activities	(3)	(37)
Net OTTI loss, credit-related	7	2
Net change in:
Accrued interest receivable	2	9
Other assets	(269)	(2)
Accrued interest payable	66	41
Other liabilities	64	44
Total adjustments	(187)	37
Net cash provided by/(used in) operating activities	44	511
Cash Flows from Investing Activities:
Interest-bearing deposits	395	(105)
Securities purchased under agreements to resell	(2,500)	(4,000)
Federal funds sold	27	3,329
Premises, software, and equipment	(1)	(1)
Trading securities:
Proceeds from maturities of long-term	275	300
Purchases of long-term	(250)	0
AFS securities:
Proceeds from maturities of long-term	233	222
HTM securities:
Proceeds from maturities of long-term	541	616
Advances:
Principal collected	334,188	218,081
Made to members	(332,340)	(222,810)
Mortgage loans held for portfolio:
Principal collected	40	44
Purchases	(17)	(17)
Proceeds from sale of foreclosed assets	1	1
Net cash provided by/(used in) investing activities	592	(4,340)
Cash Flows from Financing Activities:
Net change in Deposits	(783)	149
Net proceeds from issuance of consolidated obligations:
Bonds	11,064	5,027
Discount notes	15,924	31,965
Payments for matured and retired consolidated obligations:
Bonds	(5,716)	(8,620)
Discount notes	(22,477)	(25,984)
Proceeds from issuance of capital stock	112	234
Payments for repurchase/redemption of mandatorily redeemable capital stock	(54)	(344)
Payments for repurchase of capital stock	(198)	(412)
Cash dividends paid	(45)	(59)
Net cash provided by/(used in) financing activities	(2,173)	1,956
Net increase/(decrease) in cash and due from banks	(1,537)	(1,873)
Cash and due from banks at beginning of the period	1,637	3,920
Cash and due from banks at end of period	100	2,047
Supplemental Disclosures:
Interest paid	118	101
AHP payments	13	7
Supplemental Disclosures of Noncash Investing and Financing Activities:
Transfers of mortgage loans to real estate owned	0	1
Transfers of other-than-temporarily impaired HTM securities to AFS securities	0	4
Transfers of Capital to Mandatorily Redeemable Capital Stock	$ 52	$ 8

XML

Basis of Presentation

3 Months Ended

Mar. 31, 2016

Accounting Policies [Abstract]

Basis of Presentation

Basis of Presentation

The information about the Federal Home Loan Bank of San Francisco (Bank) included in these unaudited financial statements reflects all adjustments that, in the opinion of the Bank, are necessary for a fair statement of results for the periods presented. These adjustments are of a normal recurring nature, unless otherwise disclosed. The results of operations in these interim statements are not necessarily indicative of the results to be expected for any subsequent period or for the entire year ending December 31, 2016. These unaudited financial statements should be read in conjunction with the Bank’s Annual Report on Form 10-K for the year ended December 31, 2015 (2015 Form 10‑K).

Use of Estimates. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America (U.S. GAAP) requires management to make a number of judgments, estimates, and assumptions that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income, expenses, gains, and losses during the reporting period. The most significant of these estimates include estimating the allowance for credit losses on the advances and mortgage loan portfolios; accounting for derivatives; estimating fair values of investments classified as trading and available-for-sale, derivatives and associated hedged items carried at fair value in accordance with the accounting for derivative instruments and associated hedging activities, and financial instruments carried at fair value under the fair value option; accounting for other-than-temporary impairment (OTTI) for investment securities; and estimating the prepayment speeds on mortgage-backed securities (MBS) and mortgage loans for the accounting of amortization of premiums and accretion of discounts on MBS and mortgage loans. Actual results could differ significantly from these estimates.

Financial Instruments Meeting Netting Requirements. The Bank presents certain financial instruments, including derivative instruments and securities purchased under agreements to resell, on a net basis when they have a legal right of offset and all other requirements for netting are met (collectively referred to as the netting requirements). The Bank has elected to offset its derivative asset and liability positions, as well as cash collateral received or pledged, when the netting requirements are met. The Bank did not have any offsetting liabilities related to its securities purchased under agreements to resell for the periods presented.

The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time this collateral is received or pledged. Likewise, there may be a delay for excess collateral to be returned. For derivative instruments that meet the netting requirements, any excess cash collateral received or pledged is recognized as a derivative liability or derivative asset. Additional information regarding these agreements is provided in Note 15 – Derivatives and Hedging Activities. Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented.

Variable Interest Entities. The Bank’s investments in variable interest entities (VIEs) are limited to private-label residential mortgage-backed securities (PLRMBS). On an ongoing basis, the Bank performs a quarterly evaluation

to determine whether it is the primary beneficiary in any VIE. The Bank evaluated its investments in VIEs as of March 31, 2016, to determine whether it is a primary beneficiary of any of these investments. The primary beneficiary is required to consolidate a VIE. The Bank determined that consolidation accounting is not required because the Bank is not the primary beneficiary of these VIEs for the periods presented. The Bank does not have the power to significantly affect the economic performance of any of these investments because it does not act as a key decision maker nor does it have the unilateral ability to replace a key decision maker. In addition, the Bank does not design, sponsor, transfer, service, or provide credit or liquidity support in any of its investments in VIEs. The maximum loss exposure for these VIEs is limited to the Bank’s investment in the VIE.

Interest-bearing Deposits. This investment provides short-term liquidity and is carried at cost. Interest-bearing deposits includeinterest-bearing deposits in banks not meeting the definition of a security. Interest income on interest-bearing deposits is accrued as earned and recorded in interest income on Statements of Income.

Reclassifications of Prior Period Amounts Related to Concessions on Consolidated Obligations . On January 1, 2016, the Bank retrospectively adopted the guidance, Simplifying the Presentation of Debt Issuance Costs, issued by the Financial Accounting Standards Board (FASB) on April 7, 2015. The Bank pays concessions to dealers in connection with the issuance of certain consolidated obligations for which the Bank is the primary obligor. The amount of concessions is allocated to the Bank by the Office of Finance based on the percentage of the debt issued for which the Bank is the primary obligor. Concessions paid on consolidated obligations designated under the fair value option are expensed as incurred in non-interest expense. Concessions paid on consolidated obligations not designated under the fair value option are deferred and amortized to expense using the level-yield method over the remaining contractual life or on a retrospective basis over the estimated life of the consolidated obligations. The amortization of those concessions is included in consolidated obligation interest expense. Unamortized concessions were $8 and $9 at March 31, 2016, and December 31, 2015, respectively. Prior to the adoption of the guidance unamortized concessions were included in “Other assets.” Upon adoption of the guidance, unamortized concessions were reclassified as a reduction in the balance of the corresponding consolidated obligations, consistent with the presentation of discounts on consolidated obligations.

As a result of adopting this guidance, $9 of unamortized concessions included in other assets at December 31, 2015, was reclassified as a reduction in the balance of the corresponding consolidated obligations to conform to the financial statement presentation on the Bank’s Statements of Condition as of March 31, 2016. The reclassification resulted in a decrease of $1 in consolidated obligation discount notes and of $8 in consolidated obligation bonds at December 31, 2015. Accordingly, the Bank’s total assets and total liabilities each decreased by $9 at December 31, 2015. The adoption of this guidance did not have any effect on the Bank’s results of operations and cash flows.

Descriptions of the Bank’s significant accounting policies are included in “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2015 Form 10-K. Other changes to these policies as of March 31, 2016, are discussed in Note 2 – Recently Issued and Adopted Accounting Guidance.

XML

Recently Issued and Adopted Accounting Guidance

3 Months Ended

Mar. 31, 2016

New Accounting Pronouncements and Changes in Accounting Principles [Abstract]

Recently Issued and Adopted Accounting Guidance

Recently Issued and Adopted Accounting Guidance

Contingent Put and Call Options in Debt Instruments. On March 14, 2016, the FASB issued amendments to clarify the requirements for assessing whether contingent call (put) options that can accelerate the payment of principal on debt instruments are clearly and closely related to their debt hosts. The guidance requires entities to apply only the four-step decision sequence when assessing whether the economic characteristics and risks of call (put) options are clearly and closely related to the economic characteristics and risks of their debt hosts. Consequently, when a call (put) option is contingently exercisable, an entity does not have to assess whether the event that triggers the ability to exercise a call (put) option is related to interest rates or credit risks. This guidance becomes effective for the Bank for the interim and annual periods beginning on January 1, 2017, and early adoption is permitted. The guidance should be applied on a modified retrospective basis to existing debt instruments as of the beginning of the period for which the amendments are effective. The Bank is in the process of evaluating this guidance, and its effect on the Bank’s financial condition, results of operations, and cash flows has not yet been determined.

Effect of Derivative Contract Novations on Existing Hedge Accounting Relationships. On March 10, 2016, the FASB issued amendments to clarify that a change in the counterparty to a derivative instrument that has been designated as the hedging instrument under GAAP does not, in and of itself, require dedesignation of that hedging relationship provided that all other hedge accounting criteria continue to be met. This guidance becomes effective for the Bank for the interim and annual periods beginning on January 1, 2017, and early adoption is permitted. The amendments provide entities with the option to apply the guidance using either a prospective approach or a modified retrospective approach, retrospectively applied to all derivative instruments that meet the specific conditions. The Bank elected to early adopt the guidance prospectively on January 1, 2016. The adoption of this guidance had no effect on the Bank’s financial condition, results of operations, and cash flows.

Recognition of Lease Assets and Lease Liabilities. On February 25, 2016, the FASB issued guidance that requires recognition of lease assets and lease liabilities on the Statements of Condition and disclosure of key information about leasing arrangements. In particular, this guidance requires a lessee of operating or finance leases to recognize on the Statements of Condition a liability to make lease payments and a right-of-use asset representing its right to use the underlying asset for the lease term. However, for leases with a term of 12 months or less, a lessee is permitted to make an accounting policy election not to recognize lease assets and lease liabilities. Under previous GAAP, a lessee was not required to recognize lease assets and lease liabilities arising from operating leases on the Statements of Condition. While this guidance does not fundamentally change lessor accounting, some changes have been made to align that guidance with the lessee guidance and other areas within GAAP.

The guidance becomes effective for the Bank for the interim and annual periods beginning on January 1, 2019, and early application is permitted. The guidance requires lessors and lessees to recognize and measure leases at the beginning of the earliest period presented in the financial statements using a modified retrospective approach. The Bank is in the process of evaluating this guidance, and its effect on the Bank’s financial condition, results of operations, and cash flows has not yet been determined.

Recognition and Measurement of Financial Assets and Financial Liabilities. On January 5, 2016, the FASB issued amended guidance on certain aspects of recognition, measurement, presentation, and disclosure of financial instruments. This guidance includes, but is not limited to, the following:

• Requires equity investments (with certain exceptions) to be measured at fair value with changes in fair value recognized in net income;

• Requires an entity to present separately in other comprehensive income the portion of the total change in the fair value of a liability resulting from a change in the instrument-specific credit risk when the entity has elected to measure the liability at fair value in accordance with the fair value option for financial instruments;

• Requires separate presentation of financial assets and financial liabilities by measurement category and form of financial asset on the balance sheet or in the accompanying notes to the financial statements;

• Eliminates the requirement for public entities to disclose the method(s) and significant assumptions used to estimate the fair value that is required to be disclosed for financial instruments measured at amortized cost on the balance sheet.

The guidance becomes effective for the Bank for the interim and annual periods beginning on January 1, 2018, and early adoption is only permitted for certain provisions. The amendments, in general, should be applied by means of a cumulative-effect adjustment to the balance sheet as of the beginning of the period of adoption. The Bank is in the process of evaluating this guidance, and its effect on the Bank’s financial condition, results of operations, and cash flows has not yet been determined.

Customer’s Accounting for Fees Paid in a Cloud Computing Arrangement. On April 15, 2015, the FASB issued amendments to clarify a customer’s accounting for fees paid in a cloud computing arrangement. The amendments provide guidance to customers on determining whether a cloud computing arrangement includes a software license that should be accounted for as internal-use software. If the arrangement does not contain a software license, it would be accounted for as a service contract. This guidance became effective for the Bank for the interim and annual periods beginning January 1, 2016, and was adopted prospectively. The adoption of this guidance did not have an impact on the Bank’s financial condition, results of operations, or cash flows.

Simplifying the Presentation of Debt Issuance Costs. On April 7, 2015, the FASB issued guidance to simplify the presentation of debt issuance costs. This guidance requires that debt issuance costs related to a recognized debt liability be presented on the Statements of Condition as a direct deduction from the carrying amount of that debt liability, consistent with the presentation of debt discounts. The adoption of this guidance will result in a reclassification of unamortized debt issuance costs from other assets to consolidated obligations on the Bank’s Statements of Condition. This guidance became effective for the Bank for the interim and annual periods beginning January 1, 2016, and was adopted retrospectively. See Note 1 – Basis of Presentation for discussion of the impact of reclassifications of prior period amounts.

Amendments to the Consolidation Guidance. On February 18, 2015, the FASB issued guidance intended to enhance consolidation guidance for legal entities such as limited partnerships, limited liability corporations, and securitization structures (collateralized debt obligations, collateralized loan obligations, and mortgage-backed security transactions). The new guidance primarily focuses on the following:

• Placing more emphasis on risk of loss when determining a controlling financial interest. A reporting organization may no longer have to consolidate a legal entity in certain circumstances based solely on its fee arrangement, when certain criteria are met.

• Reducing the frequency of the application of related-party guidance when determining a controlling financial interest in a VIE.

• Potentially changing consolidation conclusions for public and private companies in several industries that typically make use of limited partnerships or VIEs.

This guidance became effective for the Bank for interim and annual periods beginning January 1, 2016. The adoption of this guidance did not affect the Bank’s financial condition, results of operations, or cash flows.

Disclosure of Uncertainties about an Entity’s Ability to Continue as a Going Concern.On August 27, 2014, the FASB issued guidance about management’s responsibility to evaluate whether there is substantial doubt about an entity’s ability to continue as a going concern and to provide related footnote disclosures. This guidance requires management to perform interim and annual assessments of an entity’s ability to continue as a going concern within one year after the date the financial statements are issued or within one year after the financial statements are available to be issued, when applicable. Substantial doubt exists if it is probable that the entity will be unable to meet its obligations for the assessed period. This guidance becomes effective for the Bank for the annual period ending after December 15, 2016, and for the annual and interim periods thereafter. Early application is permitted. This guidance is not expected to affect the Bank’s financial condition, results of operations, or cash flows.

Revenue from Contracts with Customers. On May 28, 2014, the FASB issued its guidance on revenue from contracts with customers. This guidance outlines a comprehensive model for recognizing revenue arising from contracts with customers and supersedes most current revenue recognition guidance. In addition, this guidance amends the existing requirements for the recognition of a gain or loss on the transfer of non-financial assets that are not in a contract with a customer. This guidance applies to all contracts with customers except those that are within the scope of certain other standards, such as financial instruments, certain guarantees, insurance contracts, and lease contracts.

The guidance provides entities with the option of using either of the following adoption methods: a full retrospective method, applied retrospectively to each prior reporting period presented; or a modified retrospective method, with the cumulative effect of retrospectively applying this guidance recognized at the date of initial application. The Bank is in the process of evaluating this guidance and its effect on the Bank’s financial condition, results of operations, and cash flows, but it is not expected to be material.

On August 12, 2015, the FASB issued an amendment to defer the effective date of the guidance issued in May 2014 by one year. In 2016, the FASB has issued additional amendments to clarify certain aspects of the new revenue guidance. However, the amendments do not change the core principle in the new revenue standard. The guidance is effective for the Bank for interim and annual periods beginning after December 15, 2017. Early application is permitted only as of the interim and annual reporting periods beginning after December 15, 2016.

XML

Trading Securities

3 Months Ended

Mar. 31, 2016

Trading Securities [Abstract]

Trading Securities

Trading Securities

The estimated fair value of trading securities as of March 31, 2016, and December 31, 2015, was as follows:

	March 31, 2016		December 31, 2015
Government-Sponsored Enterprises (GSEs) – Federal Farm Credit Bank (FFCB) bonds	$	1,399	$	1,424
MBS – Other U.S. obligations – Ginnie Mae	9		9
Total	$	1,408	$	1,433

The net unrealized gain/(loss) on trading securities was $1 and de minimis for the three months ended March 31, 2016 and 2015, respectively. These amounts represent the changes in the fair value of the securities during the reported periods.

XML

Available-for-Sale Securities

3 Months Ended

Mar. 31, 2016

Available-for-sale Securities [Abstract]

Available-for-Sale Securities

Available-for-Sale Securities

Available-for-sale (AFS) securities by major security type as of March 31, 2016, and December 31, 2015, were as follows:

March 31, 2016
	Amortized Cost(1)		OTTI Recognized in AOCI			Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value
PLRMBS:
Prime	$	470	$	(2	)	$	19	$	—		$	487
Alt-A, option ARM	938		(47		)	50		(5		)	936
Alt-A, other	3,749		(144		)	120		(3		)	3,722
Total	$	5,157	$	(193	)	$	189	$	(8	)	$	5,145

December 31, 2015
	Amortized Cost(1)		OTTI Recognized in AOCI			Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value
PLRMBS:
Prime	$	489	$	(1	)	$	23	$	—		$	511
Alt-A, option ARM	956		(37		)	64		(3		)	980
Alt-A, other	3,926		(127		)	135		(11		)	3,923
Total	$	5,371	$	(165	)	$	222	$	(14	)	$	5,414

(1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings.

Expected maturities of PLRMBS will differ from contractual maturities because borrowers generally have the right to prepay the underlying obligations without prepayment fees.

At March 31, 2016, the amortized cost of the Bank’s PLRMBS classified as AFS included credit-related OTTI of $981. At December 31, 2015, the amortized cost of the Bank’s PLRMBS classified as AFS included credit-related OTTI of $1,023.

The following table summarizes the AFS securities with unrealized losses as of March 31, 2016, and December 31, 2015. The unrealized losses are aggregated by major security type and the length of time that individual securities have been in a continuous unrealized loss position. Total unrealized losses in the following table will not agree to total gross unrealized losses in the table above. The unrealized losses in the following table also include non-credit-related OTTI losses recognized in AOCI. For OTTI analysis of AFS securities, see Note 6 – Other-Than-Temporary Impairment Analysis.

March 31, 2016
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
PLRMBS:
Prime	$	—	$	—	$	23	$	2	$	23	$	2
Alt-A, option ARM	208		1		414		51		622		52
Alt-A, other	355		5		1,425		142		1,780		147
Total	$	563	$	6	$	1,862	$	195	$	2,425	$	201

December 31, 2015
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
PLRMBS:
Prime	$	—	$	—	$	25	$	1	$	25	$	1
Alt-A, option ARM	—		—		435		40		435		40
Alt-A, other	168		2		1,521		136		1,689		138
Total	$	168	$	2	$	1,981	$	177	$	2,149	$	179

As indicated in the tables above, as of March 31, 2016, the Bank’s investments classified as AFS had unrealized losses related to PLRMBS, which were primarily due to illiquidity in the PLRMBS market and market expectations of the credit performance of loan collateral underlying these securities, which caused these assets to be valued at discounts to their amortized cost.

Interest Rate Payment Terms. Interest rate payment terms for AFS securities at March 31, 2016, and December 31, 2015, are shown in the following table:

	March 31, 2016		December 31, 2015
Amortized cost of AFS PLRMBS:
Collateralized mortgage obligations:
Fixed rate	$	1,468	$	1,540
Adjustable rate	3,689		3,831
Total	$	5,157	$	5,371

Certain MBS classified as fixed rate collateralized mortgage obligations have an initial fixed interest rate that subsequently converts to an adjustable interest rate on a specified date as follows:

	March 31, 2016		December 31, 2015
Collateralized mortgage obligations:
Converts in 1 year or less	$	165	$	102
Converts after 1 year through 5 years	29		99
Total	$	194	$	201

See Note 6 – Other-Than-Temporary Impairment Analysis for information on the transfers of securities between the AFS portfolio and the HTM portfolio.

XML

Held-to-Maturity Securities

3 Months Ended

Mar. 31, 2016

Held-to-maturity Securities, Unclassified [Abstract]

Held-to-maturity Securities

Held-to-Maturity Securities

The Bank classifies the following securities as HTM because the Bank has the positive intent and ability to hold these securities to maturity:

March 31, 2016
	Amortized Cost(1)		OTTI Recognized in AOCI(1)			Carrying Value(1)		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses			Estimated Fair Value
Housing finance agency bonds:
California Housing Finance Agency (CalHFA) bonds	$	273	$	—		$	273	$	—	$	(29	)	$	244
MBS:
Other U.S. obligations – Ginnie Mae	1,177		—			1,177		25		(1		)	1,201
GSEs:
Freddie Mac	3,506		—			3,506		58		—			3,564
Fannie Mae	3,897		—			3,897		93		(3		)	3,987
Subtotal GSEs	7,403		—			7,403		151		(3		)	7,551
PLRMBS:
Prime	858		—			858		—		(32		)	826
Alt-A, other	566		(13		)	553		12		(15		)	550
Subtotal PLRMBS	1,424		(13		)	1,411		12		(47		)	1,376
Total MBS	10,004		(13		)	9,991		188		(51		)	10,128
Total	$	10,277	$	(13	)	$	10,264	$	188	$	(80	)	$	10,372

December 31, 2015
	Amortized Cost(1)		OTTI Recognized in AOCI(1)			Carrying Value(1)		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses			Estimated Fair Value
Housing finance agency bonds:
California Housing Finance Agency (CalHFA) bonds	$	275	$	—		$	275	$	—	$	(33	)	$	242
MBS:
Other U.S. obligations – Ginnie Mae	1,227		—			1,227		4		(3		)	1,228
GSEs:
Freddie Mac	3,677		—			3,677		39		(20		)	3,696
Fannie Mae	4,136		—			4,136		70		(12		)	4,194
Subtotal GSEs	7,813		—			7,813		109		(32		)	7,890
PLRMBS:
Prime	905		—			905		—		(27		)	878
Alt-A, other	596		(14		)	582		14		(13		)	583
Subtotal PLRMBS	1,501		(14		)	1,487		14		(40		)	1,461
Total MBS	10,541		(14		)	10,527		127		(75		)	10,579
Total	$	10,816	$	(14	)	$	10,802	$	127	$	(108	)	$	10,821

(1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings. The carrying value of HTM securities represents amortized cost after adjustment for non-credit-related OTTI recognized in AOCI.

At March 31, 2016, the amortized cost of the Bank’s MBS classified as HTM included premiums of $34, discounts of $37, and credit-related OTTI of $8. At December 31, 2015, the amortized cost of the Bank’s MBS classified as HTM included premiums of $39, discounts of $42, and credit-related OTTI of $8.

The following tables summarize the HTM securities with unrealized losses as of March 31, 2016, and December 31, 2015. The unrealized losses are aggregated by major security type and the length of time that individual securities have been in a continuous unrealized loss position. Total unrealized losses in the following table will not agree to the total gross unrecognized holding losses in the table above. The unrealized losses in the following table also include non-credit-related OTTI losses recognized in AOCI. For OTTI analysis of HTM securities, see Note 6 – Other-Than-Temporary Impairment Analysis.

March 31, 2016
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
Housing finance agency bonds:
CalHFA bonds	$	—	$	—	$	244	$	29	$	244	$	29
MBS:
Other U.S. obligations – Ginnie Mae	129		1		1		—		130		1
GSEs:
Freddie Mac	50		—		19		—		69		—
Fannie Mae	81		—		112		3		193		3
Subtotal GSEs	131		—		131		3		262		3
PLRMBS:
Prime	188		3		638		29		826		32
Alt-A, other	8		—		542		28		550		28
Subtotal PLRMBS	196		3		1,180		57		1,376		60
Total MBS	456		4		1,312		60		1,768		64
Total	$	456	$	4	$	1,556	$	89	$	2,012	$	93

December 31, 2015
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
Housing finance agency bonds:
CalHFA bonds	$	—	$	—	$	240	$	33	$	240	$	33
MBS:
Other U.S. obligations – Ginnie Mae	799		3		2		—		801		3
GSEs:
Freddie Mac	1,736		20		20		—		1,756		20
Fannie Mae	1,095		9		154		3		1,249		12
Subtotal GSEs	2,831		29		174		3		3,005		32
PLRMBS:
Prime	165		1		676		26		841		27
Alt-A, other	10		—		573		27		583		27
Subtotal PLRMBS	175		1		1,249		53		1,424		54
Total MBS	3,805		33		1,425		56		5,230		89
Total	$	3,805	$	33	$	1,665	$	89	$	5,470	$	122

As indicated in the tables above, the Bank’s investments classified as HTM had unrealized losses on CalHFA bonds and MBS. The unrealized losses associated with the CalHFA bonds were mainly due to an illiquid market, credit concerns regarding the underlying mortgage collateral, and credit concerns regarding the monoline insurance providers, causing these investments to be valued at a discount to their acquisition cost. For its agency MBS, the Bank expects to recover the entire amortized cost basis of these securities because the Bank determined that the strength of the issuers’ guarantees through direct obligations or support from the U.S. government is sufficient to protect the Bank from losses. The unrealized losses associated with the PLRMBS were primarily due to illiquidity in the PLRMBS market and market expectations of the credit performance of loan collateral underlying these securities, which caused these assets to be valued at discounts to their amortized cost.

Redemption Terms. The amortized cost, carrying value, and estimated fair value of non-MBS securities by contractual maturity (based on contractual final principal payment) and of MBS as of March 31, 2016, and December 31, 2015, are shown below. Expected maturities of MBS will differ from contractual maturities because borrowers generally have the right to prepay the underlying obligations without prepayment fees.

March 31, 2016
Year of Contractual Maturity	Amortized Cost(1)		Carrying Value(1)		Estimated Fair Value
HTM securities other than MBS:
Due after 5 years through 10 years	$	61	$	61	$	56
Due after 10 years	212		212		188
Subtotal	273		273		244
MBS	10,004		9,991		10,128
Total	$	10,277	$	10,264	$	10,372

December 31, 2015
Year of Contractual Maturity	Amortized Cost(1)		Carrying Value(1)		Estimated Fair Value
HTM securities other than MBS:
Due after 5 years through 10 years	$	60	$	60	$	56
Due after 10 years	215		215		186
Subtotal	275		275		242
MBS	10,541		10,527		10,579
Total	$	10,816	$	10,802	$	10,821

(1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings. The carrying value of HTM securities represents amortized cost after adjustment for non-credit-related OTTI recognized in AOCI.

Interest Rate Payment Terms. Interest rate payment terms for HTM securities at March 31, 2016, and December 31, 2015, are detailed in the following table:

	March 31, 2016		December 31, 2015
Amortized cost of HTM securities other than MBS:
Adjustable rate	$	273	$	275
Subtotal	273		275
Amortized cost of HTM MBS:
Passthrough securities:
Fixed rate	134		146
Adjustable rate	400		416
Collateralized mortgage obligations:
Fixed rate	6,842		7,224
Adjustable rate	2,628		2,755
Subtotal	10,004		10,541
Total	$	10,277	$	10,816

Certain MBS classified as fixed rate passthrough securities and fixed rate collateralized mortgage obligations have an initial fixed interest rate that subsequently converts to an adjustable interest rate on a specified date as follows:

	March 31, 2016		December 31, 2015
Passthrough securities:
Converts in 1 year or less	$	21	$	22
Converts after 1 year through 5 years	107		119
Total	$	128	$	141
Collateralized mortgage obligations:
Converts in 1 year or less	$	6	$	7
Converts after 1 year through 5 years	13		13
Total	$	19	$	20

See Note 6 – Other-Than-Temporary Impairment Analysis for information on the transfers of securities between the AFS portfolio and the HTM portfolio.

XML

Other-Than-Temporary Impairment Analysis

3 Months Ended

Mar. 31, 2016

Other than Temporary Impairment Losses, Investments [Abstract]

Other-than-Temporary Impairment Analysis

Other-Than-Temporary Impairment Analysis

On a quarterly basis, the Bank evaluates its individual AFS and HTM investment securities in an unrealized loss position for OTTI. As part of this evaluation, the Bank considers whether it intends to sell each debt security and whether it is more likely than not that it will be required to sell the debt security before its anticipated recovery of the amortized cost basis. If either of these conditions is met, the Bank recognizes an OTTI charge to earnings equal to the entire difference between the security’s amortized cost basis and its fair value at the statement of condition date. For securities in an unrealized loss position that do not meet either of these conditions (the most common situation), the Bank considers whether it expects to recover the entire amortized cost basis of the security by comparing its best estimate of the present value of the cash flows expected to be collected from the security with the amortized cost basis of the security. If the Bank’s best estimate of the present value of the cash flows expected to be collected is less than the amortized cost basis, the difference is considered the credit loss.

PLRMBS. A significant input to the Bank’s cash flow analysis of its PLRMBS is the forecast of future housing price changes. The OTTI Governance Committee of the Federal Home Loan Banks (FHLBanks) developed a short-term housing price forecast with projected changes ranging from a decrease of 1.0% to an increase of 8.0% over the 12-month period beginning January 1, 2016. For the vast majority of markets, the projected short-term housing price changes range from an increase of 3.0% to an increase of 5.0%. Thereafter, a unique path is projected for each geographic area based on an internally developed framework derived from historical data.

For all the PLRMBS in its AFS and HTM portfolios, the Bank does not intend to sell any security and it is not more likely than not that the Bank will be required to sell any security before its anticipated recovery of the remaining amortized cost basis.

For securities determined to be other-than-temporarily impaired as of March 31, 2016 (securities for which the Bank determined that it does not expect to recover the entire amortized cost basis), the following table presents a summary of the significant inputs used in measuring the amount of credit loss recognized in earnings during the first quarter of 2016, and the related current credit enhancement for the Bank.

March 31, 2016
	Significant Inputs for Other-Than-Temporarily Impaired PLRMBS			Current
	Prepayment Rates	Default Rates	Loss Severities	Credit Enhancement
Year of Securitization	Weighted Average % (1)	Weighted Average % (1)	Weighted Average % (1)	Weighted Average % (1)
Prime
2006	14.7	17.7	34.5	—
Total Prime	14.7	17.7	34.5	—
Alt-A, option ARM
2007	7.0	30.8	39.8	22.5
Total Alt-A, option ARM	7.0	30.8	39.8	22.5
Alt-A, other
2007	10.2	28.2	37.0	2.9
2005	13.6	14.9	39.5	3.8
Total Alt-A, other	11.9	21.7	38.2	3.3
Total	10.4	24.3	38.7	8.9

(1) Weighted average percentage is based on unpaid principal balance.

Credit enhancement is defined as the percentage of subordinated tranches, excess spread, and over-collateralization, if any, in a security structure that will generally absorb losses before the Bank will experience a loss on the security. The calculated averages represent the dollar-weighted averages of all the PLRMBS investments in each category shown. The classification (Prime; Alt-A, option ARM; and Alt-A, other) is based on the model used to run the estimated cash flows for the CUSIP, which may not necessarily be the same as the classification at the time of origination.

The following table presents the credit-related OTTI, which is recognized in earnings, for the three months ended March 31, 2016 and 2015.

	Three Months Ended
	March 31, 2016			March 31, 2015
Balance, beginning of the period	$	1,255		$	1,314
Additional charges on securities for which OTTI was previously recognized(1)	7			2
Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities(2)	(23		)	(19		)
Balance, end of the period	$	1,239		$	1,297

(1) For the three months ended March 31, 2016 and 2015, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2016 and 2015, respectively.

(2) The total accretion or amortization associated with other-than-temporarily impaired PLRMBS (amount recognized in interest income) totaled $26 and $19 for the three months ended March 31, 2016 and 2015, respectively.

Changes in circumstances may cause the Bank to change its intent to hold a certain security to maturity without calling into question its intent to hold other debt securities to maturity in the future. The sale or transfer of an HTM security because of certain changes in circumstances, such as evidence of significant deterioration in the issuers’ creditworthiness, is not considered to be inconsistent with its original classification. In addition, other events that are isolated, nonrecurring, or unusual for the Bank that could not have been reasonably anticipated may cause the Bank to sell or transfer an HTM security without necessarily calling into question its intent to hold other debt securities to maturity.

The Bank elected to transfer any PLRMBS that incurred a credit-related OTTI charge during the applicable period from the Bank’s held-to-maturity portfolio to its available-for-sale portfolio at their fair values. The Bank recognized an OTTI credit loss on these held-to-maturity PLRMBS, which the Bank believes is evidence of a significant decline in the issuers’ creditworthiness. The decline in the issuers’ creditworthiness is the basis for the transfers to the available-for-sale portfolio. These transfers allow the Bank the option to sell these securities prior to maturity in view of changes in interest rates, changes in prepayment risk, or other factors, while recognizing the Bank’s intent to hold these securities for an indefinite period of time. The Bank does not intend to sell its other-than-temporarily impaired securities and it is not more likely than not that the Bank will be required to sell any security before its anticipated recovery of the remaining amortized cost basis.

The following table summarizes the PLRMBS transferred from the Bank’s HTM portfolio to its AFS portfolio during the three months ended March 31, 2015. The amounts shown represent the values when the securities were transferred from the HTM portfolio to the AFS portfolio. The Bank did not transfer any PLRMBS from its HTM portfolio to its AFS portfolio during the three months ended March 31, 2016.

	Three Months Ended March 31, 2015
	Amortized Cost		OTTI Recognized in AOCI		Gross Unrecognized Holding Gains (Losses)		Estimated Fair Value
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
Prime	$	4	$	—	$	—	$	4
Total	$	4	$	—	$	—	$	4

The following tables present the Bank’s AFS and HTM PLRMBS that incurred OTTI losses anytime during the life of the securities at March 31, 2016, and December 31, 2015, by loan collateral type:

March 31, 2016
	Available-for-Sale Securities						Held-to-Maturity Securities
	Unpaid Principal Balance		Amortized Cost		Estimated Fair Value		Unpaid Principal Balance		Amortized Cost		Carrying Value		Estimated Fair Value
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
Prime	$	568	$	470	$	487	$	—	$	—	$	—	$	—
Alt-A, option ARM	1,237		938		936		—		—		—		—
Alt-A, other	4,324		3,749		3,722		107		103		90		103
Total	$	6,129	$	5,157	$	5,145	$	107	$	103	$	90	$	103

December 31, 2015
	Available-for-Sale Securities						Held-to-Maturity Securities
	Unpaid Principal Balance		Amortized Cost		Estimated Fair Value		Unpaid Principal Balance		Amortized Cost		Carrying Value		Estimated Fair Value
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
Prime	$	591	$	489	$	511	$	—	$	—	$	—	$	—
Alt-A, option ARM	1,269		956		980		—		—		—		—
Alt-A, other	4,524		3,926		3,923		111		107		93		107
Total	$	6,384	$	5,371	$	5,414	$	111	$	107	$	93	$	107

For the Bank’s PLRMBS that were not other-than-temporarily impaired as of March 31, 2016, the Bank has experienced net unrealized losses primarily because of illiquidity in the PLRMBS market and market expectations of the credit performance of loan collateral underlying these securities, which caused these assets to be valued at discounts to their amortized cost. The Bank does not intend to sell these securities, it is not more likely than not that the Bank will be required to sell these securities before its anticipated recovery of the remaining amortized cost basis, and the Bank expects to recover the entire amortized cost basis of these securities. As a result, the Bank determined that, as of March 31, 2016, all of the gross unrealized losses on these PLRMBS are temporary. These securities were included in the securities that the Bank reviewed and analyzed for OTTI as discussed above, and the analyses performed indicated that these securities were not other-than-temporarily impaired.

All Other Available-for-Sale and Held-to-Maturity Investments. For the Bank’s investments in housing finance agency bonds, which were issued by CalHFA, the gross unrealized losses were mainly due to an illiquid market, credit concerns regarding the underlying mortgage collateral, and credit concerns regarding the monoline insurance providers, causing these investments to be valued at a discount to their acquisition cost. The Bank independently modeled cash flows for the underlying collateral, using assumptions for default rates and loss severity that a market participant would deem reasonable, and concluded that the available credit support within the CalHFA structure more than offset the projected underlying collateral losses. The Bank determined that, as of March 31, 2016, all of the gross unrealized losses on the bonds are temporary because the underlying collateral and credit enhancements were sufficient to protect the Bank from losses. As a result, the Bank expects to recover the entire amortized cost basis of these securities.

For its agency MBS, the Bank expects to recover the entire amortized cost basis of these securities because the Bank determined that the strength of the issuers’ guarantees through direct obligations or support from the U.S. government is sufficient to protect the Bank from losses. As a result, the Bank determined that, as of March 31, 2016, all of the gross unrealized losses on its agency MBS are temporary.

XML

Advances

3 Months Ended

Mar. 31, 2016

Federal Home Loan Banks [Abstract]

Advances

Advances

The Bank offers a wide range of fixed and adjustable rate advance products with different maturities, interest rates, payment characteristics, and option features. Fixed rate advances generally have maturities ranging from one day to 30 years. Adjustable rate advances generally have maturities ranging from less than 30 days to 10 years, with the interest rates resetting periodically at a fixed spread to LIBOR or to another specified index.

Redemption Terms. The Bank had advances outstanding, excluding overdrawn demand deposit accounts, at interest rates ranging from 0.34% to 8.57% at March 31, 2016, and 0.25% to 8.57% at December 31, 2015, as summarized below.

	March 31, 2016				December 31, 2015
Contractual Maturity	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding		Weighted Average Interest Rate
Within 1 year	$	22,942	0.68	%	$	24,807	0.59	%
After 1 year through 2 years	4,655		1.26		4,252		1.19
After 2 years through 3 years	8,302		1.09		6,208		1.19
After 3 years through 4 years	4,325		1.05		6,877		0.89
After 4 years through 5 years	4,157		1.00		2,022		1.11
After 5 years	4,612		1.45		6,675		1.11
Total par value	48,993		0.94	%	50,841		0.84	%
Valuation adjustments for hedging activities	91				40
Valuation adjustments under fair value option	85				38
Total	$	49,169			$	50,919

Many of the Bank’s advances are prepayable at the borrower’s option. However, when advances are prepaid, the borrower is generally charged a prepayment fee intended to make the Bank financially indifferent to the prepayment. In addition, for certain advances with partial prepayment symmetry, the Bank may charge the borrower a prepayment fee or pay the borrower a prepayment credit depending on certain circumstances, such as movements in interest rates, when the advance is prepaid. The Bank had advances with partial prepayment symmetry outstanding totaling $3,507 at March 31, 2016, and $3,510 at December 31, 2015. Some advances may be repaid on pertinent call dates without prepayment fees (callable advances). The Bank had callable advances outstanding totaling $15,891 at March 31, 2016, and $15,425 at December 31, 2015.

The Bank’s advances at March 31, 2016, and December 31, 2015, included $140 and $140 of putable advances, respectively. At the Bank’s discretion, the Bank may terminate these advances on predetermined exercise dates and offer replacement funding at prevailing market rates, subject to certain conditions. The Bank would typically exercise such termination rights when interest rates increase.

The following table summarizes advances at March 31, 2016, and December 31, 2015, by the earlier of the year of contractual maturity or next call date for callable advances and by the earlier of the year of contractual maturity or next put date for putable advances.

	Earlier of Contractual Maturity or Next Call Date				Earlier of Contractual Maturity or Next Put Date
	March 31, 2016		December 31, 2015		March 31, 2016		December 31, 2015
Within 1 year	$	24,054	$	25,983	$	23,082	$	24,947
After 1 year through 2 years	9,093		6,124		4,515		4,152
After 2 years through 3 years	5,942		8,432		8,302		6,168
After 3 years through 4 years	4,625		3,173		4,325		6,877
After 4 years through 5 years	3,842		5,706		4,157		2,022
After 5 years	1,437		1,423		4,612		6,675
Total par value	$	48,993	$	50,841	$	48,993	$	50,841

Credit and Concentration Risk. The following tables present the concentration in advances to the top five borrowers and their affiliates at March 31, 2016 and 2015. The tables also present the interest income from

these advances before the impact of interest rate exchange agreements associated with these advances for the three months ended March 31, 2016 and 2015.

	March 31, 2016				Three Months Ended March 31, 2016
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
JPMorgan Chase Bank, National Association(2)(3)	$	14,812	30	%	$	24	20	%
Bank of the West	6,640		14		12		10
First Republic Bank	3,800		8		16		13
CIT Bank, National Association(4)	3,114		6		7		6
Citigroup Inc
Citibank, N.A.(2)	3,000		6		3		2
Banamex USA	—		—		—		—
Subtotal Citigroup Inc	3,000		6		3		2
Subtotal	31,366		64		62		51
Others	17,627		36		60		49
Total par value	$	48,993	100	%	$	122	100	%

	March 31, 2015				Three Months Ended March 31, 2015
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
JPMorgan Chase & Co.:
JPMorgan Bank & Trust Company, National Association(3)	$	7,700	18	%	$	11	12	%
JPMorgan Chase Bank, National Association(2)	818		2		2		2
Subtotal JPMorgan Chase & Co.	8,518		20		13		14
Bank of the West	5,187		12		6		6
First Republic Bank	4,925		11		20		21
Bank of America California, N.A.	4,000		9		2		2
Citigroup Inc
Citibank, N.A.(2)	3,000		7		1		1
Banamex USA	—		—		—		—
Subtotal Citigroup Inc	3,000		7		1		1
Subtotal	25,630		59		42		44
Others	17,928		41		54		56
Total par value	$	43,558	100	%	$	96	100	%

(1) Interest income amounts exclude the interest effect of interest rate exchange agreements with derivative counterparties; as a result, the total interest income amounts will not agree to the Statements of Income. The amount of interest income from advances can vary depending on the amount outstanding, terms to maturity, interest rates, and repricing characteristics.

(2) Nonmember institution.

(3) Effective August 31, 2015, JPMorgan Bank & Trust Company, National Association (JPMorgan B&T), merged with and into JPMorgan Chase Bank, National Association (JPMorgan Chase). As a result, JPMorgan B&T is no longer a member of the Bank. Upon the merger, all of the Bank capital stock held by JPMorgan B&T was transferred to JPMorgan Chase, a nonmember of the Bank, and reclassified as mandatorily redeemable capital stock, and all advances to JPMorgan B&T were transferred to JPMorgan Chase.

(4) Effective August 3, 2015, CIT Bank merged with and into OneWest Bank, which was renamed CIT Bank, National Association.

The Bank held a security interest in collateral from each of the top five advances borrowers and their affiliates sufficient to support their respective advances outstanding, and the Bank does not expect to incur any credit losses on these advances.

For information related to the Bank’s credit risk on advances and allowance methodology for credit losses, see Note 9 – Allowance for Credit Losses.

Interest Rate Payment Terms. Interest rate payment terms for advances at March 31, 2016, and December 31, 2015, are detailed below:

	March 31, 2016		December 31, 2015
Par value of advances:
Fixed rate:
Due within 1 year	$	13,211	$	13,073
Due after 1 year	8,847		9,381
Total fixed rate	22,058		22,454
Adjustable rate:
Due within 1 year	9,731		11,734
Due after 1 year	17,204		16,653
Total adjustable rate	26,935		28,387
Total par value	$	48,993	$	50,841

The Bank may use derivatives to adjust the repricing and options characteristics of advances to more closely match the characteristics of the Bank’s funding liabilities. In general, whenever a member executes a fixed or variable rate advance with embedded options, the Bank will simultaneously execute an interest rate exchange agreement with terms that offset the terms and embedded options in the advance. The combination of the advance and the interest rate exchange agreement effectively creates a variable rate asset. This type of hedge relationship receives fair value option accounting treatment. In addition, for certain advances for which the Bank has elected the fair value option, the Bank will simultaneously execute an interest rate exchange agreement with terms that economically offset the terms of the advance. However, this type of hedge is treated as an economic hedge because these combinations generally do not meet the requirements for fair value hedge accounting treatment. For more information, see Note 15 – Derivatives and Hedging Activities and Note 16 – Fair Value.

The Bank did not have any advances with embedded features that met the requirements to separate the embedded feature from the host contract and designate the embedded feature as a stand-alone derivative at March 31, 2016, or December 31, 2015. The Bank has generally elected to account for certain advances with embedded features under the fair value option, and these advances are carried at fair value on the Statements of Condition. For more information, see Note 16 – Fair Value.

Prepayment Fees, Net. The Bank charges borrowers prepayment fees or pays borrowers prepayment credits when the principal on certain advances is paid prior to original maturity. The Bank records prepayment fees net of any associated fair value adjustments related to prepaid advances that were hedged. The net amount of prepayment fees is reflected as interest income in the Statements of Income for the three months ended March 31, 2016 and 2015, as follows:

	Three Months Ended
	March 31, 2016		March 31, 2015
Prepayment fees received	$	—	$	14
Fair value adjustments	2		(14		)
Net	$	2	$	—
Advance principal prepaid	$	770	$	607

XML

Mortgage Loans Held for Portfolio

3 Months Ended

Mar. 31, 2016

Mortgage Loans on Real Estate [Abstract]

Mortgage Loans Held for Portfolio

Mortgage Loans Held for Portfolio

Under the Mortgage Partnership Finance® (MPF®) Program, the Bank may purchase from members, for its own portfolio, conventional conforming fixed rate mortgage loans under the MPF Original product and mortgage loans insured by the Federal Housing Administration (FHA) or guaranteed by the Department of Veterans Affairs (VA) under the MPF Government product. In addition, the Bank may facilitate the purchase of conforming fixed rate mortgage loans from members for concurrent sale to Fannie Mae under the MPF Xtra® product and of jumbo fixed rate mortgage loans for concurrent sale to Redwood Residential Acquisition Corporation, a subsidiary of Redwood Trust, Inc., a real estate investment trust, under the MPF Direct product. MPF Xtra and MPF Direct products are passed through to a third party investor and are not recorded on the Bank’s Statements of Condition. As of March 31, 2016, the Bank had approved twelve members as participating financial institutions since renewing its participation in the MPF Program in 2013.

From May 2002 through October 2006, the Bank purchased conventional conforming fixed rate mortgage loans from its participating financial institutions under the MPF Original and MPF Plus products. Participating members originated or purchased the mortgage loans, credit-enhanced them and sold them to the Bank, and generally retained the servicing of the loans.

The following table presents information as of March 31, 2016, and December 31, 2015, on mortgage loans, all of which are secured by one- to four-unit residential properties and single-unit second homes.

	March 31, 2016			December 31, 2015
Fixed rate medium-term mortgage loans	$	87		$	100
Fixed rate long-term mortgage loans	542			553
Subtotal	629			653
Unamortized premiums	9			10
Unamortized discounts	(6		)	(8		)
Mortgage loans held for portfolio	632			655
Less: Allowance for credit losses	—			—
Total mortgage loans held for portfolio, net	$	632		$	655

Medium-term loans have original contractual terms of 15 years or less, and long-term loans have contractual terms of more than 15 years.

For information related to the Bank’s credit risk on mortgage loans and allowance methodology for credit losses, see Note 9 – Allowance for Credit Losses.

XML

Allowance for Credit Losses

3 Months Ended

Mar. 31, 2016

Loans and Leases Receivable, Allowance [Abstract]

Allowance for Credit Losses

Allowance for Credit Losses

The Bank has established an allowance methodology for each of its portfolio segments: credit products, mortgage loans held for portfolio, term securities purchased under agreements to resell, and term Federal funds sold. For more information on these portfolio segments, see “Item 8. Financial Statements and Supplementary Data – Note 10 – Allowance for Credit Losses” in the Bank’s 2015 Form 10-K.

Credit Products. The Bank manages its credit exposure related to credit products through an integrated approach that generally provides for a credit limit to be established for each borrower, includes an ongoing review of each borrower’s financial condition, and is coupled with conservative collateral and lending policies to limit the risk of loss while taking into account borrowers’ needs for a reliable funding source. At March 31, 2016, and December 31, 2015, none of the Bank’s credit products were past due, on nonaccrual status, or considered impaired. There were no troubled debt restructurings related to credit products during the three months ended March 31, 2016, or during

2015.

Based on the collateral pledged as security for advances, the Bank’s credit analyses of borrowers’ financial condition, and the Bank’s credit extension and collateral policies as of March 31, 2016, the Bank expects to collect all amounts due according to the contractual terms. Therefore, no allowance for losses on credit products was deemed necessary by the Bank. The Bank has never experienced any credit losses on its credit products.

Nomember institutions were placed into receivership during the first three months of 2016 or from April 1 to April 30, 2016.

Mortgage Loans Held for Portfolio. The following table presents information on delinquent mortgage loans as of March 31, 2016, and December 31, 2015.

	March 31, 2016			December 31, 2015
	Recorded Investment(1)			Recorded Investment(1)
30 – 59 days delinquent	$	13		$	10
60 – 89 days delinquent	3			5
90 days or more delinquent	17			18
Total past due	33			33
Total current loans	602			625
Total mortgage loans	$	635		$	658
In process of foreclosure, included above(2)	$	7		$	7
Nonaccrual loans	$	17		$	18
Loans past due 90 days or more and still accruing interest	$	—		$	—
Serious delinquencies as a percentage of total mortgage loans outstanding(3)	2.69		%	2.76		%

(1) The recorded investment in a loan is the unpaid principal balance of the loan, adjusted for accrued interest, net deferred loan fees or costs, unamortized premiums or discounts, and direct write-downs. The recorded investment is not net of any valuation allowance.

(2) Includes loans for which the servicer has reported a decision to foreclose or to pursue a similar alternative, such as deed-in-lieu. Loans in process of foreclosure are included in past due or current loans depending on their delinquency status.

(3) Represents loans that are 90 days or more past due or in the process of foreclosure as a percentage of the recorded investment of total mortgage loans outstanding.

The allowance for credit losses on the mortgage loan portfolio was as follows:

	Three Months Ended
	March 31, 2016		March 31, 2015
Balance, beginning of the period	$	—	$	1
(Charge-offs) /recoveries	—		(1		)
Provision for/(reversal of) credit losses	—		—
Balance, end of the period	$	—	$	—

The allowance for credit losses and recorded investment by impairment methodology for individually and collectively evaluated impaired loans are as follows:

	March 31, 2016		December 31, 2015
Allowance for credit losses, end of period:
Individually evaluated for impairment	$	—	$	—
Total allowance for credit losses	$	—	$	—
Recorded investment, end of period:
Individually evaluated for impairment	$	13	$	14
Collectively evaluated for impairment	622		644
Total recorded investment	$	635	$	658

The recorded investment, unpaid principal balance, and related allowance of impaired loans individually evaluated for impairment are as follows:

	March 31, 2016						December 31, 2015
	Recorded Investment		Unpaid Principal Balance		Related Allowance		Recorded Investment		Unpaid Principal Balance		Related Allowance
With no related allowance	$	12	$	12	$	—	$	13	$	13	$	—
With an allowance	1		1		—		1		1		—
Total	$	13	$	13	$	—	$	14	$	14	$	—

The average recorded investment on impaired loans individually evaluated for impairment is as follows:

	Three Months Ended
	March 31, 2016		March 31, 2015
With no related allowance	$	12	$	14
With an allowance	1		4
Total	$	13	$	18

The Bank and any participating financial institution share in the credit risk of the loans sold by that institution as specified in a master agreement. Loans purchased under the MPF Program generally have a credit risk exposure at the time of purchase equivalent to assets rated AA, taking into consideration the credit risk sharing structure mandated by the Finance Agency’s acquired member assets (AMA) regulation. The MPF Program structures potential credit losses on conventional MPF loans into layers with respect to each pool of loans purchased by the Bank under a single master commitment, as follows:

1. The first layer of protection against loss is the liquidation value of the real property securing the loan.

2. The next layer of protection comes from the primary mortgage insurance that is required for loans with a loan-to-value ratio greater than 80%, if still in place.

3. Losses that exceed the liquidation value of the real property and any primary mortgage insurance, up to an agreed-upon amount called the first loss account for each master commitment, are incurred by the Bank.

4. Losses in excess of the first loss account for each master commitment, up to an agreed-upon amount called the credit enhancement amount, are covered by the participating financial institution’s credit enhancement obligation at the time losses are incurred.

5. Losses in excess of the first loss account and the participating financial institution’s remaining credit enhancement for the master commitment, if any, are incurred by the Bank.

The Bank calculates its estimated allowance for credit losses on mortgage loans acquired under the MPF Original and MPF Plus products as described below. Effective January 1, 2015, the Bank implemented the accounting requirements of regulatory Advisory Bulletin 2012-02. As a result, for any mortgage loans that are more than 180 days past due and that have any outstanding balance in excess of the fair value of the property, less cost to sell, this excess is charged off as a loss by the end of the month in which the applicable time period elapses. Likewise, when a borrower is in bankruptcy, loans are written down to the fair value of the collateral, less cost to sell, in general within 60 days of receipt of the notification of filing from the bankruptcy court, unless it can be clearly demonstrated and documented that repayment is likely to occur. As a result of these charge-offs, corresponding Allowance for Credit Losses on MPF Loans, which had previously provided for most of these expected losses, was reduced accordingly.

Allowance for Credit Losses on MPF Loans –The Bank evaluates the allowance for credit losses on MPF mortgage loans based on two components. The first component applies to each individual loan that is specifically identified as impaired. The Bank evaluates the exposure on these loans by considering the first layer of loss protection (the liquidation value of the real property securing the loan) and the availability and collectability of credit enhancements under the terms of each master commitment and records a provision for credit losses. For this component, the Bank established a de minimis allowance for credit losses for MPF Original loans as of March 31, 2016, and December 31, 2015. For MPF Plus loans, the Bank established an allowance for credit losses totaling de minimis amounts as of March 31, 2016, and December 31, 2015.

The second component applies to loans that are not specifically identified as impaired and is based on the Bank’s estimate of probable credit losses on those loans as of the financial statement date. The Bank evaluates the credit loss exposure on a loan pool basis considering various observable data, such as delinquency statistics, past performance, current performance, loan portfolio characteristics, collateral valuations, industry data, and prevailing economic conditions. The Bank also considers the availability and collectability of credit enhancements from participating financial institutions or from mortgage insurers under the terms of each master commitment. For this component, the Bank established an allowance for credit losses for MPF Original loans totaling de minimis amounts as of March 31, 2016, and December 31, 2015, and for MPF Plus loans totaling de minimis amounts as of March 31, 2016, and December 31, 2015.

Troubled Debt Restructurings –Troubled debt restructuring (TDR) is considered to have occurred when a concession is granted to the debtor for economic or legal reasons related to the debtor’s financial difficulties and that concession would not have been considered otherwise. An MPF loan considered a TDR is individually evaluated for impairment when determining its related allowance for credit losses. Credit loss is measured by factoring in expected cash flow shortfalls incurred as of the reporting date as well as the economic loss attributable to delaying the original contractual principal and interest due dates, if applicable.

The Bank’s TDRs of MPF loans primarily involve modifying the borrower’s monthly payment for a period of up to 36 months to reflect a housing expense ratio that is no more than 31% of the borrower’s qualifying monthly income. The outstanding principal balance is re-amortized to reflect a principal and interest payment for a term not to exceed 40 years from the original note date and a housing expense ratio not to exceed 31%. This would result in a balloon payment at the original maturity date of the loan because the maturity date and number of remaining monthly payments are not adjusted. If the 31% ratio is still not achieved through re-amortization, the interest rate is reduced in 0.125% increments below the original note rate, to a floor rate of 3.00%, resulting in reduced principal and interest payments, for the temporary payment modification period of up to 36 months, until the 31% housing expense ratio is met. The recorded investment of the Bank's nonperforming MPFloans classified as TDRs totaled $3 as of March 31, 2016, and $3 as of December 31, 2015.

Term Securities Purchased Under Agreements to Resell. Securities purchased under agreements to resell are considered collateralized financing arrangements and effectively represent short-term loans to counterparties that are considered by the Bank to be of investment quality, which are classified as assets in the Statements of Condition. Securities purchased under agreements to resell are held in safekeeping in the name of the Bank by third-party custodians approved by the Bank. In accordance with the terms of these loans, if the market value of the underlying securities decreases below the market value required as collateral, the counterparty must place an equivalent amount of additional securities as collateral or remit an equivalent amount of cash. If an agreement to resell is deemed to be impaired, the difference between the fair value of the collateral and the amortized cost of the agreement is charged to earnings. The Bank did not have any term securities purchased under agreements to resell at March 31, 2016, and December 31, 2015.

Term Federal Funds Sold. The Bank invests in Federal funds sold with counterparties that are considered by the Bank to be of investment quality, and these investments are evaluated for purposes of an allowance for credit losses only if the investment is not paid when due. All investments in Federal funds sold as of March 31, 2016, and

December 31, 2015, were repaid or are expected to be repaid according to the contractual terms.

XML

Deposits

3 Months Ended

Mar. 31, 2016

Deposits [Abstract]

Deposits

Deposits

The Bank maintains demand deposit accounts that are directly related to the extension of credit to members and offers short-term deposit programs to members and qualifying nonmembers. In addition, a member that services mortgage loans may deposit in the Bank funds collected in connection with the mortgage loans, pending disbursement of these funds to the owners of the mortgage loans. The Bank classifies these types of deposits as non-interest-bearing deposits.

Deposits as of March 31, 2016, and December 31, 2015, were as follows:

	March 31, 2016		December 31, 2015
Interest-bearing deposits:
Demand and overnight	$	212	$	124
Total interest-bearing deposits	212		124
Non-interest-bearing deposits	2		3
Total	$	214	$	127

Interest Rate Payment Terms. Deposits classified as demand, overnight, and other pay interest based on a daily interest rate. Term deposits pay interest based on a fixed rate determined at the issuance of the deposit. Interest rate payment terms for deposits at March 31, 2016, and December 31, 2015, are detailed in the following table:

	March 31, 2016				December 31, 2015
	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding		Weighted Average Interest Rate
Interest-bearing deposits – Adjustable rate	$	212	0.01	%	$	124	0.01	%
Non-interest-bearing deposits	2				3
Total	$	214			$	127

XML

Consolidated Obligations

3 Months Ended

Mar. 31, 2016

Debt Disclosure [Abstract]

Consolidated Obligations

Consolidated Obligations

Consolidated obligations, consisting of consolidated obligation bonds and discount notes, are jointly issued by the FHLBanks through the Office of Finance, which serves as the FHLBanks’ agent. As provided by the FHLBank Act or by regulations governing the operations of the FHLBanks, all FHLBanks have joint and several liability for all FHLBank consolidated obligations. For a discussion of the joint and several liability regulation, see “Item 8. Financial Statement and Supplementary Data – Note 20 – Commitments and Contingencies” in the Bank’s 2015 Form 10-K. In connection with each issuance of consolidated obligations, each FHLBank specifies the type, term, and amount of debt it requests to have issued on its behalf. The Office of Finance tracks the amount of debt issued on behalf of each FHLBank. In addition, the Bank separately tracks and records as a liability its specific portion of the consolidated obligations issued and is the primary obligor for that portion of the consolidated obligations issued. The Finance Agency and the U.S. Secretary of the Treasury have oversight over the issuance of FHLBank debt through the Office of Finance.

Redemption Terms. The following is a summary of the Bank’s participation in consolidated obligation bonds at March 31, 2016, and December 31, 2015.

	March 31, 2016					December 31, 2015
Contractual Maturity	Amount Outstanding			Weighted Average Interest Rate		Amount Outstanding			Weighted Average Interest Rate
Within 1 year	$	36,471		0.94	%	$	29,114		1.03	%
After 1 year through 2 years	9,170			1.15		11,264			0.91
After 2 years through 3 years	5,059			1.34		5,162			1.28
After 3 years through 4 years	1,630			1.52		1,430			1.44
After 4 years through 5 years	1,915			1.69		1,740			1.67
After 5 years	2,796			2.48		2,982			2.43
Total par value	57,041			1.13	%	51,692			1.14	%
Unamortized premiums	21					27
Unamortized discounts	(14		)			(17		)
Valuation adjustments for hedging activities	156					142
Fair value option valuation adjustments	3					(17		)
Total	$	57,207				$	51,827

The Bank’s participation in consolidated obligation bonds outstanding includes callable bonds of $8,630 at March 31, 2016, and $8,005 at December 31, 2015. When a callable bond for which the Bank is the primary obligor is issued, the Bank may simultaneously enter into an interest rate swap (in which the Bank pays a variable rate and receives a fixed rate) with a call feature that mirrors the call option embedded in the bond (a sold callable swap). The Bank had notional amounts of interest rate exchange agreements hedging callable bonds of $5,375 at March 31, 2016, and $4,835 at December 31, 2015. The combined sold callable swaps and callable bonds enable the Bank to meet its funding needs at costs not otherwise directly attainable solely through the issuance of non-callable debt, while effectively converting the Bank’s net payment to an adjustable rate.

The Bank’s participation in consolidated obligation bonds at March 31, 2016, and December 31, 2015, was as follows:  

	March 31, 2016		December 31, 2015
Par value of consolidated obligation bonds:
Non-callable	$	48,411	$	43,687
Callable	8,630		8,005
Total par value	$	57,041	$	51,692

The following is a summary of the Bank’s participation in consolidated obligation bonds outstanding at March 31, 2016, and December 31, 2015, by the earlier of the year of contractual maturity or next call date.

Earlier of Contractual Maturity or Next Call Date	March 31, 2016		December 31, 2015
Within 1 year	$	44,521	$	36,469
After 1 year through 2 years	8,695		10,914
After 2 years through 3 years	2,959		3,282
After 3 years through 4 years	515		455
After 4 years through 5 years	260		395
After 5 years	91		177
Total par value	$	57,041	$	51,692

Consolidated obligation discount notes are consolidated obligations issued to raise short-term funds. These notes are issued at less than their face value and redeemed at par value when they mature. The Bank’s participation in consolidated obligation discount notes, all of which are due within one year, was as follows:

	March 31, 2016					December 31, 2015
	Amount Outstanding			Weighted Average Interest Rate (1)		Amount Outstanding			Weighted Average Interest Rate (1)
Par value	$	21,113		0.37	%	$	27,663		0.25	%
Unamortized discounts	(18		)			(16		)
Total	$	21,095				$	27,647

(1) Represents yield to maturity excluding concession fees.

Interest Rate Payment Terms. Interest rate payment terms for consolidated obligations at March 31, 2016, and December 31, 2015, are detailed in the following table. For information on the general terms and types of

consolidated obligations outstanding, see “Item 8. Financial Statements and Supplementary Data – Note 12 –

Consolidated Obligations” in the Bank’s 2015 Form 10-K.

	March 31, 2016		December 31, 2015
Par value of consolidated obligations:
Bonds:
Fixed rate	$	28,216	$	28,942
Adjustable rate	27,330		20,815
Step-up	745		1,110
Step-down	550		550
Fixed rate that converts to adjustable rate	100		175
Range bonds	100		100
Total bonds, par value	57,041		51,692
Discount notes, par value	21,113		27,663
Total consolidated obligations, par value	$	78,154	$	79,355

The Bank did not have any bonds with embedded features that met the requirements to separate the embedded feature from the host contract and designate the embedded feature as a stand-alone derivative at March 31, 2016, or December 31, 2015. The Bank has generally elected to account for certain bonds with embedded features under the fair value option, and these bonds are carried at fair value on the Statements of Condition. For more information, see Note 16 – Fair Value.

XML

Accumulated Other Comprehensive Income (Loss)

3 Months Ended

Mar. 31, 2016

Accumulated Other Comprehensive Income (Loss), Net of Tax [Abstract]

Accumulated Other Comprehensive Income/(Loss)

Accumulated Other Comprehensive Income/(Loss)

The following table summarizes the changes in AOCI for the three months ended March 31, 2016 and 2015:

	Net Non-Credit-Related OTTI Loss on AFS Securities			Net Non-Credit-Related OTTI Loss on HTM Securities			Pension and Postretirement Benefits			Total AOCI
Balance, December 31, 2014	$	88		$	(20	)	$	(12	)	$	56
Other comprehensive income/(loss) before reclassifications:
Non-credit-related OTTI loss	(3		)	—						(3		)
Net change in fair value	20									20
Accretion of non-credit-related OTTI loss				2						2
Reclassification from other comprehensive income/(loss) to net income/(loss):
Non-credit-related OTTI to credit-related OTTI	1			—						1
Net current period other comprehensive income/(loss)	18			2			—			20
Balance, March 31, 2015	$	106		$	(18	)	$	(12	)	$	76
Balance, December 31, 2015	$	43		$	(14	)	$	(14	)	$	15
Other comprehensive income/(loss) before reclassifications:
Net change in pension and postretirement benefits							1			1
Non-credit-related OTTI loss	(10		)	—						(10		)
Net change in fair value	(47		)							(47		)
Accretion of non-credit-related OTTI loss				1						1
Reclassification from other comprehensive income/(loss) to net income/(loss):
Non-credit-related OTTI to credit-related OTTI	2			—						2
Net current period other comprehensive income/(loss)	(55		)	1			1			(53		)
Balance, March 31, 2016	$	(12	)	$	(13	)	$	(13	)	$	(38	)

XML

Capital

3 Months Ended

Mar. 31, 2016

Capital [Abstract]

Capital

Capital

Capital Requirements. Under the Housing Act, the Director of the Finance Agency is responsible for setting the risk-based capital standards for the FHLBanks. The FHLBank Act and regulations governing the operations of the FHLBanks require that the Bank’s minimum capital stock requirement for shareholders must be sufficient to enable the Bank to meet its regulatory requirements for total capital, leverage capital, and risk-based capital. The Bank must maintain: (i) total regulatory capital in an amount equal to at least 4% of its total assets, (ii) leverage capital in an amount equal to at least 5% of its total assets, and (iii) permanent capital in an amount that is greater than or equal to its risk-based capital requirement. Because the Bank issues only Class B stock, regulatory capital and permanent capital for the Bank are both composed of retained earnings and Class B stock, including mandatorily redeemable capital stock (which is classified as a liability for financial reporting purposes). Regulatory capital and permanent capital do not include AOCI. Leverage capital is defined as the sum of permanent capital, weighted by a 1.5 multiplier, plus non-permanent capital.

The risk-based capital requirement is equal to the sum of the Bank’s credit risk, market risk, and operations risk capital requirements, all of which are calculated in accordance with the rules and regulations of the Finance Agency. The Finance Agency may require an FHLBank to maintain a greater amount of permanent capital than is required by the risk-based capital requirement as defined.

As of March 31, 2016, and December 31, 2015, the Bank was in compliance with these capital rules and requirements as shown in the following table.

	March 31, 2016						December 31, 2015
	Required			Actual			Required			Actual
Risk-based capital	$	2,562		$	5,415		$	2,684		$	5,369
Total regulatory capital	$	3,390		$	5,415		$	3,428		$	5,369
Total regulatory capital ratio	4.00		%	6.39		%	4.00		%	6.26		%
Leverage capital	$	4,237		$	8,123		$	4,285		$	8,054
Leverage ratio	5.00		%	9.58		%	5.00		%	9.40		%

Mandatorily Redeemable Capital Stock. The Bank had mandatorily redeemable capital stock totaling $486 outstanding to nine institutions at March 31, 2016, and $488 outstanding to nine institutions at December 31, 2015. The change in mandatorily redeemable capital stock for the three months ended March 31, 2016 and 2015, was as follows:

	Three Months Ended
	March 31, 2016			March 31, 2015
Balance at the beginning of the period	$	488		$	719
Reclassified from/(to) capital during the period	52			8
Redemption of mandatorily redeemable capital stock	—			(6		)
Repurchase of excess mandatorily redeemable capital stock	(54		)	(338		)
Balance at the end of the period	$	486		$	383

Cash dividends on mandatorily redeemable capital stock were recorded as interest expense in the amount of $10 and $15 for the three months ended March 31, 2016 and 2015, respectively.

The Bank’s mandatorily redeemable capital stock is discussed more fully in “Item 8. Financial Statements and Supplementary Data – Note 15 – Capital” in the Bank’s 2015 Form 10-K.

The following table presents mandatorily redeemable capital stock amounts by contractual redemption period at March 31, 2016, and December 31, 2015.

Contractual Redemption Period	March 31, 2016		December 31, 2015
Within 1 year	$	81	$	82
After 1 year through 2 years	—		1
After 3 years through 4 years	2		—
After 4 years through 5 years	379		381
Past contractual redemption date because of remaining activity(1)	24		24
Total	$	486	$	488

(1) Represents mandatorily redeemable capital stock that is past the end of the contractual redemption period because of outstanding activity.

Excess Stock Repurchase, Retained Earnings, and Dividend Framework. The Bank’s Excess Stock

Repurchase, Retained Earnings, and Dividend Framework summarizes the Bank’s capital management principles

and objectives, as well as its policies and practices, with respect to retained earnings, dividend payments, and the

repurchase of excess capital stock. The Bank may be restricted from paying dividends if the Bank is not in

compliance with any of its minimum capital requirements or if payment would cause the Bank to fail to meet any of

its minimum capital requirements. In addition, the Bank may not pay dividends if any principal or interest due on

any consolidated obligations has not been paid in full or is not expected to be paid in full, or, under certain

circumstances, if the Bank fails to satisfy certain liquidity requirements under applicable Finance Agency

regulations.

The Bank’s Risk Management Policy limits the payment of dividends if the ratio of the Bank’s estimated market value of total capital to par value of capital stock falls below certain levels. If this ratio at the end of any quarter is less than 100% but greater than or equal to 70%, any dividend would be limited to an annualized rate no greater than the daily average of the three-month LIBOR for the applicable quarter (subject to certain conditions), and if this ratio is less than 70%, the Bank would be restricted from paying a dividend. The ratio of the Bank’s estimated market value of total capital to par value of capital stock was 210% as of March 31, 2016.

In addition, the Bank monitors the condition of its PLRMBS portfolio, the ratio of the Bank’s estimated market value of total capital to par value of capital stock, its overall financial performance and retained earnings, developments in the mortgage and credit markets, and other relevant information as the basis for determining the payment of dividends and the repurchase of excess capital stock each quarter.

Retained Earnings – The Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework establishes amounts to be retained in restricted retained earnings, which are not made available in the current dividend period.

The following table summarizes the activity related to retained earnings for the three months ended March 31, 2016 and 2015:

				Restricted Retained Earnings Related to:
	Unrestricted Retained Earnings			Valuation Adjustments			Buildup		Joint Capital Enhancement Agreement		Total Restricted Retained Earnings		Total Retained Earnings
Balance, December 31, 2014	$	294		$	35		$	1,800	$	230	$	2,065	$	2,359
Net income	389			(10		)	—		95		85		474
Cash dividends on capital stock	(59		)	—			—		—		—		(59		)
Balance, March 31, 2015	$	624		$	25		$	1,800	$	325	$	2,150	$	2,774
Balance, December 31, 2015	$	610		$	10		$	1,650	$	358	$	2,018	$	2,628
Net income	195			(10		)	—		46		36		231
Cash dividends on capital stock	(45		)	—			—		—		—		(45		)
Balance, March 31, 2016	$	760		$	—		$	1,650	$	404	$	2,054	$	2,814

For more information on these three categories of restricted retained earnings and the Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework, see “Item 8. Financial Statements and Supplementary Data – Note 15 – Capital” in the Bank’s 2015 Form 10-K.

Dividend Payments – Finance Agency rules state that FHLBanks may declare and pay dividends only from previously retained earnings or current net earnings, and may not declare or pay dividends based on projected or anticipated earnings. There is no requirement that the Board of Directors declare and pay any dividend. A decision by the Board of Directors to declare or not declare a dividend is a discretionary matter and is subject to the requirements and restrictions of the FHLBank Act and applicable requirements under the regulations governing the operations of the FHLBanks.

In addition, Finance Agency rules do not permit the Bank to pay dividends in the form of capital stock if its excess

capital stock exceeds 1% of its total assets. Excess capital stock is defined as the aggregate of the capital stock held by each shareholder in excess of its minimum capital stock requirement, as established by the Bank’s capital plan. As of March 31, 2016, the Bank’s excess capital stock totaled $325, or 0.38% of total assets.

In the first quarter of 2016, the Bank paid dividends at an annualized rate of 7.99%, totaling $55, including $45 in dividends on capital stock and $10 in dividends on mandatorily redeemable capital stock. In the first quarter of 2015, the Bank paid dividends at an annualized rate of 7.11%, totaling $74, including $59 in dividends on capital stock and $15 in dividends on mandatorily redeemable capital stock.

For the periods referenced above, the Bank paid dividends in cash. Dividends on capital stock are recognized as dividends on the Statements of Capital Accounts, and dividends on mandatorily redeemable capital stock are recognized as interest expense on the Statements of Income.

On April 28, 2016, the Bank’s Board of Directors declared a cash dividend on the capital stock outstanding during the first quarter of 2016 at an annualized rate of 8.90%, totaling $61, including $49 in dividends on capital stock and $12 in dividends on mandatorily redeemable capital stock. The Bank recorded the dividend on April 28, 2016. The Bank expects to pay the dividend on or about May 16, 2016. Dividends on mandatorily redeemable capital stock will be recognized as interest expense in the second quarter of 2016.

Excess Capital Stock – The Bank may repurchase some or all of a shareholder’s excess capital stock, including any excess mandatorily redeemable capital stock, at the Bank’s discretion, subject to certain statutory and regulatory requirements. The Bank must give the shareholder 15 days’ written notice; however, the shareholder may waive this notice period. The Bank may also repurchase all of a member’s excess capital stock at a member’s request, at the Bank’s discretion, subject to certain statutory and regulatory requirements. A shareholder’s excess capital stock is defined as any capital stock holdings in excess of the shareholder’s minimum capital stock requirement, as established by the Bank’s capital plan.

On a quarterly basis, the Bank determines whether it will repurchase excess capital stock. The Bank repurchased $252 and $750 in excess capital stock in the first quarter of 2016 and 2015, respectively.

The Bank is required to redeem any mandatorily redeemable capital stock that is in excess of a former member’s minimum stock requirement on or after the expiration of the five-year redemption date. During the first quarter of 2016 and 2015, the Bank redeemed a de minimis amount and $6, respectively, in mandatorily redeemable capital stock, for which the five-year redemption period had expired, at its $100 par value. The stock was redeemed on the scheduled redemption dates or, for stock that was not excess stock on its scheduled redemption date because of outstanding activity with the Bank, on the first available repurchase date after the stock was no longer required to support outstanding activity with the Bank.

On May 29, 2015, the Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework was revised to reinstate the Bank’s practice of repurchasing the surplus capital stock of all members and the excess capital stock of all nonmember shareholders on a regular quarterly basis, at the Bank’s discretion and subject to certain statutory and regulatory requirements and to the Bank’s Risk Management Policy and capital plan limitations. Surplus capital stock is defined as any stock holdings in excess of 115% of a member’s minimum stock requirement. In addition, at the Bank’s discretion, all of the excess stock held by a member may be repurchased upon request of a member, subject to the requirements and limitations mentioned above. In accordance with the revised Excess Stock Repurchase, Retained Earnings, and Dividend Framework, each quarter Bank management evaluates and determines the amount of capital stock to be repurchased in that quarter, if any, giving consideration to certain capital metrics and capital management objectives and strategies, and subject to the requirements and limitations mentioned above. At least 15 calendar days before any repurchase, the Bank will notify shareholders of its intention to repurchase capital stock and of the scheduled repurchase date. On the scheduled repurchase date, the Bank will calculate the amount of stock to be repurchased to ensure that each member and nonmember shareholder will continue to meet its minimum stock requirement after the repurchase.

On April 29, 2016, the Bank announced that it plans to repurchase the surplus capital stock of all members and the excess capital stock of all nonmember shareholders on May 17, 2016.

Excess capital stock totaled $325 as of March 31, 2016, and $402 as of December 31, 2015.

For more information on excess capital stock, see “Item 8. Financial Statements and Supplementary Data – Note 15 – Capital” in the Bank’s 2015 Form 10-K.

Concentration. JPMorgan Chase Bank, National Association, a nonmember institution, held $400, or 15%, of the Bank’s outstanding capital stock, including mandatorily redeemable capital stock, as of March 31, 2016, and December 31, 2015. No other institution held more than 10% of the Bank’s outstanding capital stock as of March 31, 2016, or December 31, 2015.

XML

Segment Information

3 Months Ended

Mar. 31, 2016

Segment Reporting [Abstract]

Segment Information

Segment Information

The Bank uses an analysis of financial performance based on the balances and adjusted net interest income of two operating segments, the advances-related business and the mortgage-related business, as well as other financial information, to review and assess financial performance and to determine the allocation of resources to these two major business segments. For purposes of segment reporting, adjusted net interest income includes income and expense associated with net settlements from economic hedges that are recorded in “Net gain/(loss) on derivatives and hedging activities” in other income and excludes interest expense that is recorded in “Mandatorily redeemable capital stock.” Other key financial information, such as any credit-related OTTI losses on the Bank’s PLRMBS, other expenses, and assessments, is not included in the segment reporting analysis, but is incorporated into the Bank’s overall assessment of financial performance.

For more information on these operating segments, see “Item 8. Financial Statements and Supplementary Data – Note 17 – Segment Information” in the Bank’s 2015 Form 10-K.

The following table presents the Bank’s adjusted net interest income by operating segment and reconciles total adjusted net interest income to income before the AHP assessment for the three months ended March 31, 2016 and 2015.

	Advances- Related Business		Mortgage- Related Business(1)		Adjusted Net Interest Income		Amortization of Basis Adjustments(2)			Income/(Expense) on Economic Hedges(3)			Interest Expense on Mandatorily Redeemable Capital Stock(4)		Net Interest Income After Mortgage Loan Loss Provision		Other Income/ (Loss)		Other Expense		Income Before AHP Assessment
Three months ended:
March 31, 2016	$	36	$	86	$	122	$	(2	)	$	(9	)	$	10	$	123	$	171	$	36	$	258
March 31, 2015	35		93		128		(8		)	(9		)	15		130		432		34		528

(1) The mortgage-related business includes total accretion or amortization associated with other-than-temporarily impaired PLRMBS, which are recognized in interest income, and totaled $26 and $19 for the three months ended March 31, 2016 and 2015, respectively. The mortgage-related business does not include credit-related OTTI losses of $7 and $2 for the three months ended March 31, 2016 and 2015, respectively.

(2) Represents amortization of amounts deferred for adjusted net interest income purposes only, in accordance with the Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework.

(3) The Bank includes income and expense associated with net settlements from economic hedges in adjusted net interest income in its analysis of financial performance for its two operating segments. For financial reporting purposes, the Bank does not include these amounts in net interest income in the Statements of Income, but instead records them in other income in “Net gain/(loss) on derivatives and hedging activities.”

(4) The Bank excludes interest expense on mandatorily redeemable capital stock from adjusted net interest income in its analysis of financial performance for its two operating segments.

The following table presents total assets by operating segment at March 31, 2016, and December 31, 2015.

	Advances- Related Business		Mortgage- Related Business		Total Assets
March 31, 2016	$	68,917	$	15,822	$	84,739
December 31, 2015	69,047		16,651		85,698

XML

Derivatives and Hedging Activities

3 Months Ended

Mar. 31, 2016

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivatives and Hedging Activities

Derivatives and Hedging Activities

General. The Bank may enter into interest rate swaps (including callable, putable, and basis swaps); and cap and floor agreements (collectively, interest rate exchange agreements or derivatives). Most of the Bank’s interest rate exchange agreements are executed in conjunction with the origination of advances or the issuance of consolidated obligation bonds to create variable rate structures. The interest rate exchange agreements are generally executed at the same time the advances and bonds are transacted and generally have the same maturity dates as the related advances and bonds. The Bank transacts most of its derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute consolidated obligations. Over-the-counter derivatives may be either uncleared or cleared. In an uncleared derivative transaction, the Bank’s counterparty is the executing bank or broker-dealer. In a cleared derivative transaction, the Bank may execute the transaction either directly with the executing bank or broker-dealer or on a swap execution facility, but in either case, the Bank’s counterparty is a derivatives clearing organization or clearinghouse once the derivative transaction has been accepted for clearing. The Bank is not a derivative dealer and does not trade derivatives for short-term profit.

Additional uses of interest rate exchange agreements include: (i) offsetting embedded features in assets and liabilities, (ii) hedging anticipated issuance of debt, (iii) matching against consolidated obligation discount notes or bonds to create the equivalent of callable or non-callable fixed rate debt, (iv) modifying the repricing frequency of assets and liabilities, (v) matching against certain advances and consolidated obligations for which the Bank elected the fair value option, and (vi) exactly offsetting other derivatives that may be executed with members (with the Bank serving as an intermediary) or cleared at a derivatives clearing organization. The Bank’s use of interest rate exchange agreements results in one of the following classifications: (i) a fair value hedge of an underlying financial instrument, (ii) an economic hedge of assets or liabilities, or (iii) an intermediary transaction for members.

Interest Rate Swaps – An interest rate swap is an agreement between two entities to exchange cash flows in the future. The agreement sets the dates on which the cash flows will be paid and the manner in which the cash flows will be calculated. One of the simplest forms of an interest rate swap involves the promise by one party to pay cash flows equivalent to the interest on a notional principal amount at a predetermined fixed rate for a given period of time. In return for this promise, the party receives cash flows equivalent to the interest on the same notional principal amount at a variable rate for the same period of time. The variable rate received or paid by the Bank in most interest rate exchange agreements is indexed to LIBOR.

Interest Rate Caps and Floors – In a cap agreement, additional cash flow is generated if the price or interest rate of an underlying variable rate rises above a certain threshold (or cap) price. In a floor agreement, additional cash flow is generated if the price or interest rate of an underlying variable rate falls below a certain threshold (or floor) price. Caps and floors may be used in conjunction with assets or liabilities. In general, caps and floors are designed as protection against the interest rate on a variable rate asset or liability rising above or falling below a certain level.

Hedging Activities. The Bank documents all relationships between derivative hedging instruments and hedged items, its risk management objectives and strategies for undertaking various hedge transactions, and its method of assessing hedge effectiveness. Derivatives designated as fair value hedges are transacted to hedge: (i) assets and liabilities on the balance sheet, (ii) firm commitments, or (iii) forecasted transactions. The Bank also formally assesses (both at hedge inception and on an ongoing basis) whether the hedging derivatives have been effective in offsetting changes in the fair value of hedged items attributable to the hedged risk and whether those derivatives may be expected to remain effective hedges in future periods. The Bank typically uses regression analyses or other statistical analyses to assess the effectiveness of its hedges. When it is determined that a derivative has not been or is not expected to be effective as a hedge, the Bank discontinues hedge accounting prospectively.

The Bank discontinues hedge accounting prospectively when: (i) it determines that the derivative is no longer effective in offsetting changes in the fair value of a hedged item (including hedged items such as firm commitments or forecasted transactions); (ii) the derivative and/or the hedged item expires or is sold, terminated, or exercised; (iii) it is no longer probable that the forecasted transaction will occur in the originally expected period; (iv) a hedged firm commitment no longer meets the definition of a firm commitment; (v) it determines that designating the derivative as a hedging instrument is no longer appropriate; or (vi) it decides to use the derivative to offset changes in the fair value of other derivatives or instruments carried at fair value.

Intermediation and Offsetting Derivatives– As an additional service to its members, the Bank has in the past entered into offsetting interest rate exchange agreements, acting as an intermediary between offsetting derivative transactions with members and other counterparties. This intermediation allows members indirect access to the derivatives market. The Bank also enters into derivatives to offset the economic effect of other derivatives that are no longer designated to advances, investments, or consolidated obligations. Neither type of offsetting derivatives receives hedge accounting treatment and both are separately marked to market through earnings. The net result of the accounting for these derivatives does not significantly affect the operating results of the Bank.

The Bank had no interest rate exchange agreements associated with derivatives with members or offsetting derivatives with other counterparties at March 31, 2016. The notional principal of the interest rate exchange agreements associated with derivatives with members or offsetting derivatives with other counterparties was $132 at December 31, 2015.

Investments–The Bank may invest in U.S. Treasury and agency obligations, agency MBS, and the taxable portion of highly rated state or local housing finance agency obligations. In the past, the Bank has also invested in PLRMBS rated AAA at the time of acquisition. The interest rate and prepayment risk associated with these investment securities is managed through a combination of debt issuance and derivatives. The Bank may manage prepayment risk and interest rate risk by funding investment securities with consolidated obligations that have call features or by hedging the prepayment risk with a combination of consolidated obligations and callable swaps. The Bank may execute callable swaps in conjunction with the issuance of certain liabilities to create funding that is economically equivalent to fixed rate callable debt. Although these derivatives are economic hedges against prepayment risk and are designated to individual liabilities, they do not receive either fair value or cash flow hedge accounting treatment. Investment securities may be classified as trading, AFS, or HTM.

The Bank may also manage the risk arising from changing market prices or cash flows of investment securities classified as trading by entering into interest rate exchange agreements (economic hedges) that offset the changes in fair value or cash flows of the securities. The market value changes of both the trading securities and the associated interest rate exchange agreements are included in other income in the Statements of Income.

Advances– The Bank offers a wide array of advances structures to meet members’ funding needs. These advances may have maturities up to 30 years with fixed or adjustable rates and may include early termination features or options. The Bank may use derivatives to adjust the repricing and options characteristics of advances to more closely match the characteristics of the Bank’s funding liabilities. In general, whenever a member executes a fixed or variable rate advance with embedded options, the Bank will simultaneously execute an interest rate exchange agreement with terms that offset the terms and embedded options in the advance. The combination of the advance and the interest rate exchange agreement effectively creates a variable rate asset.

In addition, for certain advances for which the Bank has elected the fair value option, the Bank will simultaneously execute an interest rate exchange agreement with terms that economically offset the terms of the advance.

Mortgage Loans–The Bank’s investment portfolio includes fixed rate mortgage loans. The prepayment options embedded in mortgage loans can result in extensions or contractions in the expected repayment of these investments, depending on changes in estimated prepayment speeds. The Bank manages the interest rate risk and prepayment risk associated with fixed rate mortgage loans through a combination of debt issuance and derivatives. The Bank uses both callable and non-callable debt to achieve cash flow patterns and market value sensitivities for liabilities similar to those expected on the mortgage loans. Net income could be reduced if the Bank replaces prepaid mortgages with lower-yielding assets and the Bank’s higher funding costs are not reduced accordingly.

The Bank executes callable swaps in conjunction with the issuance of certain consolidated obligations to create funding that is economically equivalent to fixed rate callable bonds. Although these derivatives are economic hedges against the prepayment risk of specific loan pools and are referenced to individual liabilities, they do not receive either fair value or cash flow hedge accounting treatment.

Consolidated Obligations – Consolidated obligation bonds may be structured to meet the Bank’s or the investors’ needs. Common structures include fixed rate bonds with or without call options and adjustable rate bonds with or without embedded options. In general, when bonds are issued, the Bank simultaneously executes an interest rate exchange agreement with terms that offset the terms and embedded options, if any, of the consolidated obligation bond. This combination of the consolidated obligation bond and the interest rate exchange agreement effectively creates an adjustable rate bond. The cost of this funding combination is generally lower than the cost that would be available through the issuance of an adjustable rate bond alone. These transactions generally receive fair value hedge accounting treatment.

In addition, when certain consolidated obligation bonds for which the Bank has elected the fair value option are issued, the Bank simultaneously executes an interest rate exchange agreement with terms that economically offset the terms of the consolidated obligation bond. However, this type of hedge is treated as an economic hedge because these combinations generally do not meet the requirements for fair value hedge accounting treatment.

The Bank did not have any consolidated obligations denominated in currencies other than U.S. dollars outstanding during the three months ended March 31, 2016, or the year ended December 31, 2015.

Credit Risk – The Bank is subject to credit risk as a result of the risk of potential nonperformance by counterparties to the derivative agreements. All of the Bank’s agreements governing uncleared derivative transactions contain master netting provisions to help mitigate the credit risk exposure to each counterparty. The Bank manages counterparty credit risk through credit analyses and collateral requirements and by following the requirements of the Bank’s risk management policies and credit guidelines and Finance Agency regulations. The Bank also requires credit support agreements with collateral delivery thresholds on all uncleared derivatives. Currently, all of the Bank’s active uncleared derivative counterparties have a zero threshold. In addition, collateral related to derivative transactions with member institutions includes collateral pledged to the Bank, as evidenced by the Advances and Security Agreement, which may be held by the member institution for the benefit of the Bank.

For cleared derivatives, the clearinghouse is the Bank’s counterparty. The requirement that the Bank post initial and variation margin through the clearing agent, to the clearinghouse, exposes the Bank to institutional credit risk in the event that the clearing agent or the clearinghouse fails to meet its obligations. The use of cleared derivatives, however, mitigates the Bank’s overall credit risk exposure because a central counterparty is substituted for individual counterparties and variation margin is posted daily for changes in the value of cleared derivatives through a clearing agent. The Bank has analyzed the enforceability of offsetting rights applicable to its cleared derivative transactions and determined that the exercise of those offsetting rights by a non-defaulting party under these transactions should be upheld under applicable bankruptcy law and Commodity Futures Trading Commission rules in the event of a clearinghouse or clearing agent insolvency and under applicable clearinghouse rules upon a non-insolvency-based event of default of the clearinghouse or clearing agent. Based on this analysis, the Bank presents a net derivative receivable or payable for all of its transactions through a particular clearing agent with a particular clearinghouse.

Based on the Bank’s credit analyses and the collateral requirements, the Bank does not expect to incur any credit losses on its derivative transactions.

The notional amount of an interest rate exchange agreement serves as a factor in determining periodic interest payments or cash flows received and paid. However, the notional amount of derivatives represents neither the actual amounts exchanged nor the overall exposure of the Bank to credit risk and market risk. The risks of derivatives can be measured meaningfully on a portfolio basis by taking into account the counterparties, the types of derivatives, the items being hedged, and any offsets between the derivatives and the items being hedged.

The Bank’s agreements for uncleared derivative transactions contain provisions that link the Bank’s credit rating from Moody’s and Standard & Poor’s to various rights and obligations. Certain of these derivative agreements provide that, if the Bank’s long-term debt rating falls below a specified rating (ranging from A3/A- to Baa3/BBB-), the Bank’s counterparty would have the right, but not the obligation, to terminate all of its outstanding derivative transactions with the Bank; the Bank’s agreements with its clearing agents for cleared derivative transactions have similar provisions with respect to the debt rating of FHLBank System consolidated bonds. If this occurs, the Bank may choose to enter into replacement hedges, either by transferring the existing transactions to another counterparty or entering into new replacement transactions, based on prevailing market rates. In addition, under some of its credit support agreements for uncleared derivative transactions, the amount of collateral that the Bank is required to deliver to a counterparty depends on the Bank’s credit rating. The aggregate fair value of all uncleared derivative instruments with credit-risk-related contingent features that were in a net derivative liability position (before cash collateral and related accrued interest) at March 31, 2016, was $46, for which the Bank had posted collateral with a fair value of $38 in the ordinary course of business. If the Bank’s credit rating at March 31, 2016, had been lowered from its current rating to the next lower rating, that would have triggered additional collateral to be delivered, and the Bank would have been required to deliver up to a total of $1 of additional collateral (at fair value) to its derivative counterparties at March 31, 2016.

The following table summarizes the fair value of derivative instruments including the effect of netting adjustments and cash collateral as of March 31, 2016, and December 31, 2015. For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest.

	March 31, 2016								December 31, 2015
	Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities			Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	28,573	$	233		$	100		$	27,110	$	192		$	71
Total	28,573		233			100			27,110		192			71
Derivatives not designated as hedging instruments:
Interest rate swaps	44,358		63			118			50,444		58			71
Interest rate caps and floors	2,230		3			2			2,230		6			1
Mortgage delivery commitments	7		—			—			5		—			—
Total	46,595		66			120			52,679		64			72
Total derivatives before netting and collateral adjustments	$	75,168	299			220			$	79,789	256			143
Netting adjustments and cash collateral(1)			(260		)	(211		)			(212		)	(137		)
Total derivative assets and total derivative liabilities			$	39		$	9				$	44		$	6

(1) Amounts include the netting of derivative assets and liabilities by counterparty, including cash collateral and related accrued interest, where the netting requirements have been met. Cash collateral posted and related accrued interest was $60 and $57 at March 31, 2016, and December 31, 2015, respectively. Cash collateral received and related accrued interest was $109 and $132 at March 31, 2016, and December 31, 2015, respectively.

The following table presents the components of net gain/(loss) on derivatives and hedging activities as presented in the Statements of Income for the three months ended March 31, 2016 and 2015.

	Three Months Ended
	March 31, 2016			March 31, 2015
	Gain/(Loss)			Gain/(Loss)
Derivatives designated as hedging instruments:
Interest rate swaps	$	(4	)	$	(7	)
Total net gain/(loss) related to fair value hedge ineffectiveness	(4		)	(7		)
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	(49		)	(3		)
Interest rate caps and floors	(3		)	(2		)
Net settlements	(9		)	(9		)
Total net gain/(loss) related to derivatives not designated as hedging instruments	(61		)	(14		)
Net gain/(loss) on derivatives and hedging activities	$	(65	)	$	(21	)

The following table presents, by type of hedged item, the gains and losses on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on the Bank’s net interest income for the three months ended March 31, 2016 and 2015.

	Three Months Ended
	March 31, 2016												March 31, 2015
Hedged Item Type	Gain/(Loss) on Derivatives			Gain /(Loss) on Hedged Item			Net Fair Value Hedge Ineffectiveness			Effect of Derivatives on Net Interest Income(1)			Gain/(Loss) on Derivatives			Gain /(Loss) on Hedged Item		Net Fair Value Hedge Ineffectiveness			Effect of Derivatives on Net Interest Income(1)
Advances	$	(49	)	$	49		$	—		$	(18	)	$	(38	)	$	38	$	—		$	(28	)
Consolidated obligation bonds	11			(15		)	(4		)	53			(15		)	8		(7		)	62
Total	$	(38	)	$	34		$	(4	)	$	35		$	(53	)	$	46	$	(7	)	$	34

(1) The net interest on derivatives in fair value hedge relationships is presented in the interest income/expense line item of the respective hedged item.

The Bank may present derivative instruments, related cash collateral received or pledged, and associated accrued interest by clearing agent or by counterparty when the netting requirements have been met.

The following table presents separately the fair value of derivative assets and derivative liabilities that have met the netting requirements, including the related collateral received from or pledged to counterparties as of March 31, 2016, and December 31, 2015.

	March 31, 2016						December 31, 2015
	Derivative Assets			Derivative Liabilities			Derivative Assets			Derivative Liabilities
Derivative instruments meeting netting requirements
Gross recognized amount
Uncleared derivatives	$	147		$	104		$	166		$	93
Cleared derivatives	152			116			90			50
Total gross recognized amount	299			220			256			143
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives	(135		)	(95		)	(149		)	(87		)
Cleared derivatives	(125		)	(116		)	(63		)	(50		)
Total gross amount of netting adjustments and cash collateral	(260		)	(211		)	(212		)	(137		)
Total derivative assets and total derivative liabilities
Uncleared derivatives	12			9			17			6
Cleared derivatives	27			—			27			—
Total derivative assets and derivative liabilities presented in the Statements of Condition	39			9			44			6
Non-cash collateral received or pledged not offset
Can be sold or repledged - Uncleared derivatives	11			—			11			—
Net unsecured amount
Uncleared derivatives	1			9			6			6
Cleared derivatives	27			—			27			—
Total net unsecured amount	$	28		$	9		$	33		$	6

XML

Fair Value

3 Months Ended

Mar. 31, 2016

Fair Value Disclosures [Abstract]

Fair Value

Fair Value

The following fair value amounts have been determined by the Bank using available market information and the Bank’s best judgment of appropriate valuation methods. These estimates are based on pertinent information available to the Bank at March 31, 2016, and December 31, 2015. Although the Bank uses its best judgment in estimating the fair value of these financial instruments, there are inherent limitations in any estimation technique or valuation methodology. For example, because an active secondary market does not exist for a portion of the Bank’s financial instruments, in certain cases fair values cannot be precisely quantified or verified and may change as economic and market factors and evaluation of those factors change. The Bank continues to refine its valuation methodologies as markets and products develop and the pricing for certain products becomes more or less transparent. While the Bank believes that its valuation methodologies are appropriate and consistent with those of other market participants, the use of different methodologies or assumptions to determine the fair value of certain financial instruments could result in a materially different estimate of fair value as of the reporting date. Therefore, the fair values are not necessarily indicative of the amounts that would be realized in current market transactions, although they do reflect the Bank’s judgment as to how a market participant would estimate the fair values. The fair value summary table does not represent an estimate of the overall market value of the Bank as a going concern, which would take into account future business opportunities and the net profitability of total assets and liabilities.

The following tables present the carrying value, the estimated fair value, and the fair value hierarchy level of the Bank’s financial instruments at March 31, 2016, and December 31, 2015.

	March 31, 2016
	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments(1)
Assets
Cash and due from banks	$	100	$	100	$	100	$	—	$	—	$	—
Interest-bearing deposits	450		450		450		—		—		—
Securities purchased under agreements to resell	12,500		12,500		—		12,500		—		—
Federal funds sold	4,599		4,599		—		4,599		—		—
Trading securities	1,408		1,408		—		1,408		—		—
AFS securities	5,145		5,145		—		—		5,145		—
HTM securities	10,264		10,372		—		8,752		1,620		—
Advances	49,169		49,142		—		49,142		—		—
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	632		671		—		671		—		—
Accrued interest receivable	54		54		—		54		—		—
Derivative assets, net(1)	39		39		—		299		—		(260		)
Other assets(2)	10		10		10		—		—		—
Liabilities
Deposits	214		214		—		214		—		—
Consolidated obligations:
Bonds	57,207		57,264		—		57,264		—		—
Discount notes	21,095		21,097		—		21,097		—		—
Total consolidated obligations	78,302		78,361		—		78,361		—		—
Mandatorily redeemable capital stock	486		486		486		—		—		—
Accrued interest payable	146		146		—		146		—		—
Derivative liabilities, net(1)	9		9		—		220		—		(211		)
Other
Standby letters of credit	22		22		—		22		—		—
Commitments to fund advances(3)	—		1		—		1		—		—

	December 31, 2015
	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments(1)
Assets
Cash and due from banks	$	1,637	$	1,637	$	1,637	$	—	$	—	$	—
Securities purchased under agreements to resell	10,000		10,000		—		10,000		—		—
Federal funds sold	4,626		4,626		—		4,626		—		—
Trading securities	1,433		1,433		—		1,433		—		—
AFS securities	5,414		5,414		—		—		5,414		—
HTM securities	10,802		10,821		—		9,118		1,703		—
Advances	50,919		50,844		—		50,844		—		—
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	655		694		—		694		—		—
Accrued interest receivable	56		56		—		56		—		—
Derivative assets, net(1)	44		44		—		256		—		(212		)
Other assets(2)	10		10		10		—		—		—
Liabilities
Deposits	127		127		—		127		—		—
Consolidated obligations:
Bonds	51,827		51,773		—		51,773		—		—
Discount notes	27,647		27,640		—		27,640		—		—
Total consolidated obligations	79,474		79,413		—		79,413		—		—
Mandatorily redeemable capital stock	488		488		488		—		—		—
Accrued interest payable	80		80		—		80		—		—
Derivative liabilities, net(1)	6		6		—		143		—		(137		)
Other
Standby letters of credit	18		18		—		18		—		—
Commitments to issue consolidated obligation bonds(3)	—		1		—		1		—		—

(1) Amounts include the netting of derivative assets and liabilities by counterparty, including cash collateral and related accrued interest, where the netting requirements have been met.

(2) Represents publicly traded mutual funds held in a grantor trust.

(3) Estimated fair values of these commitments are presented as a net gain or (loss). For more information regarding these commitments, see Note 17 – Commitments and Contingencies.

Fair Value Hierarchy. The fair value hierarchy is used to prioritize the fair value methodologies and valuation techniques as well as the inputs to the valuation techniques used to measure fair value for assets and liabilities carried at fair value on the Statements of Condition. The inputs are evaluated and an overall level for the fair value measurement is determined. This overall level is an indication of market observability of the fair value measurement for the asset or liability. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). An entity must disclose the level within the fair value hierarchy in which the measurements are classified for all financial assets and liabilities measured on a recurring or non-recurring basis.

The application of the fair value hierarchy to the Bank’s financial assets and financial liabilities that are carried at fair value either on a recurring or non-recurring basis is as follows:

• Level 1 – Quoted prices (unadjusted) for identical assets or liabilities in an active market that the reporting entity can access on the measurement date.

• Level 2 – Inputs other than quoted prices within Level 1 that are observable inputs for the asset or liability, either directly or indirectly. If the asset or liability has a specified (contractual) term, a Level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include the following: (1) quoted prices for similar assets or liabilities in active markets; (2) quoted prices for identical or similar assets or liabilities in markets that are not active; (3) inputs other than quoted prices that are observable for the asset or liability (e.g., interest rates and yield curves that are observable at commonly quoted intervals, and implied volatilities); and (4) inputs that are derived principally from or corroborated by observable market data by correlation or other means.

• Level 3 – Unobservable inputs for the asset or liability.

A financial instrument’s categorization within the valuation hierarchy is based on the lowest level of input that is significant to the fair value measurement.

The following assets and liabilities, including those for which the Bank has elected the fair value option, are carried at fair value on the Statements of Condition as of March 31, 2016:

• Trading securities

• AFS securities

• Certain advances

• Derivative assets and liabilities

• Certain consolidated obligation bonds

• Certain other assets

For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities. Such reclassifications are reported as transfers in or out as of the beginning of the quarter in which the changes occur. For the periods presented, the Bank did not have any reclassifications for transfers in or out of the fair value hierarchy levels.

Summary of Valuation Methodologies and Primary Inputs.

Cash and Due from Banks–The estimated fair value equals the carrying value.

Federal Funds Sold and Securities Purchased Under Agreements to Resell – The estimated fair value of overnight Federal funds sold and securities purchased under agreements to resell approximates the carrying value. The estimated fair value of term Federal funds sold and term securities purchased under agreements to resell has been determined by calculating the present value of expected cash flows for the instruments and reducing the amount for accrued interest receivable. The discount rates used in these calculations are the replacement rates for comparable instruments with similar terms.

Interest-Bearing Deposits –The fair value of deposits is generally equal to the carrying value of the deposits because the deposits are primarily overnight deposits or due on demand. The Bank determines the fair values of term deposits by calculating the present value of expected future cash flows from the deposits and reducing the amount for accrued interest receivable. The discount rates used in these calculations are the cost of deposits with similar terms.

Investment Securities – Certificates of Deposit –The estimated fair values of these investments are determined by calculating the present value of expected cash flows and reducing the amount for accrued interest receivable, using market-observable inputs as of the last business day of the period or using industry standard analytical models and certain actual and estimated market information. The discount rates used in these calculations are the replacement rates for comparable instruments with similar terms.

Investment Securities – MBS – To value its MBS, the Bank obtains prices from four designated third-party pricing vendors when available. The pricing vendors use various proprietary models to price these securities. The inputs to those models are derived from various sources including, but not limited to: benchmark yields, reported trades, dealer estimates, issuer spreads, prices on benchmark securities, bids, offers, and other market-related data. Since many securities do not trade on a daily basis, the pricing vendors use available information as applicable, such as benchmark yield curves, benchmarking of like securities, sector groupings, and matrix pricing, to determine the prices for individual securities. Each pricing vendor has an established challenge process in place for all security valuations, which facilitates resolution of price discrepancies identified by the Bank.

At least annually, the Bank conducts reviews of the four pricing vendors to update and confirm its understanding of the vendors’ pricing processes, methodologies, and control procedures.

The Bank’s valuation technique for estimating the fair values of its MBS first requires the establishment of a median vendor price for each security. If four vendor prices are received, the average of the middle two prices is the median price; if three prices are received, the middle price is the median price; if two prices are received, the average of the two prices is the median price; and if one price is received, it is the median price (and also the default fair value) subject to additional validation. All vendor prices that are within a specified tolerance threshold of the median price are included in the cluster of vendor prices that are averaged to establish a default fair value. All vendor prices that are outside the threshold (outliers) are subject to further analysis including, but not limited to, comparison to prices provided by an additional third-party valuation service, prices for similar securities and/or dealer estimates, or use of internal model prices, which are deemed to be reflective of all relevant facts and circumstances that a market participant would consider. Such analysis is also applied in those limited instances where no third-party vendor price or only one third-party vendor price is available in order to arrive at an estimated fair value. If an outlier (or some other price identified in the analysis) is determined to be a better estimate of fair value, then the outlier (or the other price, as appropriate) is used as the fair value rather than the default fair value. If, instead, the analysis confirms that an outlier is (or outliers are) not representative of fair value and the default fair value is the best estimate, then the default fair value is used as the fair value.

If all vendor prices received for a security are outside the tolerance threshold level of the median price, then there is no default fair value, and the fair value is determined by an evaluation of all outlier prices (or the other prices, as appropriate) as described above.

As of March 31, 2016, four vendor prices were received for most of the Bank’s MBS, and the fair value estimates for most of those securities were determined by averaging the four vendor prices. Based on the Bank’s reviews of the pricing methods employed by the third-party pricing vendors and the relative lack of dispersion among the vendor prices (or, in those instances in which there were outliers or significant yield variances, the Bank’s additional analyses), the Bank believes that its fair value estimates are reasonable and that the fair value measurements are classified appropriately in the fair value hierarchy. Based on limited market liquidity for PLRMBS, the fair value measurements for these securities were classified as Level 3 within the fair value hierarchy.

Investment Securities – FFCB Bonds and CalHFA Bonds –The Bank estimates the fair values of these securities using the methodology described above for Investment Securities – MBS.

Advances –Because quoted prices are not available for advances, the fair values are measured using model-based valuation techniques (such as calculating the present value of future cash flows and reducing the amount for accrued interest receivable).

The Bank’s primary inputs for measuring the fair value of advances are market-based consolidated obligation yield curve (CO Curve) inputs obtained from the Office of Finance. The CO Curve is then adjusted to reflect the rates on replacement advances with similar terms and collateral. These spread adjustments are not market-observable and are evaluated for significance in the overall fair value measurement and the fair value hierarchy level of the advance. The Bank obtains market-observable inputs for complex advances. These inputs may include volatility assumptions, which are market-based expectations of future interest rate volatility implied from current market prices for similar options (swaption volatility and volatility skew). The discount rates used in these calculations are the replacement advance rates for advances with similar terms. Pursuant to the Finance Agency’s advances regulation, advances with an original term to maturity or repricing period greater than six months generally require a prepayment fee sufficient to make the Bank financially indifferent to the borrower’s decision to prepay the advances. The Bank determined that no adjustment is required to the fair value measurement of advances for prepayment fees. In addition, the Bank did not adjust its fair value measurement of advances for creditworthiness primarily because advances were fully collateralized.

Mortgage Loans Held for Portfolio – The estimated fair value for seasoned mortgage loans represents modeled prices based on observable market prices for seasoned agency mortgage-backed passthrough securities adjusted for differences in coupon, average loan rate, credit, and cash flow remittance between the Bank’s mortgage loans and the referenced instruments, while the estimated fair value for newly originated mortgage loans represents modeled prices based on MPF commitment rates. Market prices are highly dependent on the underlying prepayment assumptions. Changes in the prepayment speeds often have a material effect on the fair value estimates. These underlying prepayment assumptions are susceptible to material changes in the near term because they are made at a specific point in time.

Loans to Other FHLBanks –Because these are overnight transactions, the estimated fair value approximates the recorded carrying value.

Accrued Interest Receivable and Payable – The estimated fair value approximates the carrying value of accrued interest receivable and accrued interest payable.

Other Assets – The estimated fair value of grantor trust assets is based on quoted market prices.

Derivative Assets and Liabilities –In general, derivative instruments transacted and held by the Bank for risk management activities are traded in over-the-counter markets where quoted market prices are not readily available. These derivatives are interest rate-related. For these derivatives, the Bank measures fair value using internally developed discounted cash flow models that use market-observable inputs, such as the overnight index swap (OIS) curve and volatility assumptions, which are market-based expectations of future interest rate volatility implied from current market prices for similar options (swaption volatility and volatility skew), adjusted for counterparty credit risk, as necessary.

The Bank is subject to credit risk because of the risk of potential nonperformance by its derivative counterparties. To mitigate this risk, the Bank executes uncleared derivative transactions only with highly rated derivative dealers and major banks (derivative dealer counterparties) that meet the Bank’s eligibility criteria. In addition, the Bank has entered into master netting agreements and bilateral credit support agreements with all active derivative dealer counterparties that provide for delivery of collateral at specified levels to limit the Bank’s net unsecured credit exposure to these counterparties. Under these policies and agreements, the amount of unsecured credit exposure to an individual derivative dealer counterparty is either (i) limited to an absolute dollar credit exposure limit according to the counterparty’s long-term debt or deposit credit rating, as determined by rating agencies or (ii) set at zero (subject to a minimum transfer amount). The Bank clears its cleared derivative transactions only through clearing agents that meet the Bank’s eligibility requirements, and the Bank’s credit exposure to the clearinghouse is secured by variation margin received from the clearinghouse. All credit exposure from derivative transactions entered into by the Bank with member counterparties that are not derivative dealers must be fully secured by eligible collateral. The Bank evaluated the potential for the fair value of the instruments to be affected by counterparty credit risk and determined that no adjustments to the overall fair value measurements were required.

The fair values of the derivative assets and liabilities include accrued interest receivable/payable and cash collateral remitted to/received from counterparties. The estimated fair values of the accrued interest receivable/payable and cash collateral approximate their carrying values because of their short-term nature. The fair values of derivatives that met the netting requirements are presented on a net basis. If these netted amounts are positive, they are classified as an asset and, if negative, they are classified as a liability.

Deposits –The fair value of deposits is generally equal to the carrying value of the deposits because the deposits are primarily overnight deposits or due on demand. The Bank determines the fair values of term deposits by calculating the present value of expected future cash flows from the deposits and reducing the amount for accrued interest payable. The discount rates used in these calculations are the cost of deposits with similar terms.

Consolidated Obligations –Because quoted prices in active markets are not generally available for identical liabilities, the Bank measures fair values using internally developed models that use primarily market-observable inputs. The Bank’s primary input for measuring the fair value of consolidated obligation bonds is a market-based CO Curve obtained from the Office of Finance. The Office of Finance constructs the CO Curve using the Treasury yield curve as a base curve, which is adjusted by indicative consolidated obligation spreads obtained from market-observable sources. These market indications are generally derived from pricing indications from dealers, historical pricing relationships, and market activity for similar liabilities, such as recent GSE issuances or secondary market activity. For consolidated obligation bonds with embedded options, the Bank also obtains market-observable inputs, such as volatility assumptions, which are market-based expectations of future interest rate volatility implied from current market prices for similar options (swaption volatility and volatility skew).

Adjustments may be necessary to reflect the Bank’s credit quality or the credit quality of the FHLBank System when valuing consolidated obligation bonds measured at fair value. The Bank monitors its own creditworthiness and the creditworthiness of the other FHLBanks and the FHLBank System to determine whether any adjustments are necessary for creditworthiness in its fair value measurement of consolidated obligation bonds. The credit ratings of the FHLBank System and any changes to the credit ratings are the basis for the Bank to determine whether the fair values of consolidated obligations have been significantly affected during the reporting period by changes in the instrument-specific credit risk.

Mandatorily Redeemable Capital Stock –The estimated fair value of capital stock subject to mandatory redemption is generally at par value as indicated by contemporaneous purchases, redemptions, and repurchases at par value. Fair value includes estimated dividends earned at the time of reclassification from capital to liabilities, until such amount is paid, and any subsequently declared capital stock dividend. The Bank’s capital stock can only be acquired by members at par value and redeemed or repurchased at par value, subject to statutory and regulatory requirements. The Bank’s capital stock is not traded, and no market mechanism exists for the exchange of Bank capital stock outside the cooperative ownership structure.

Commitments – The estimated fair value of standby letters of credit is based on the present value of fees currently charged for similar agreements and is recorded in other liabilities. The estimated fair value of off-balance sheet fixed rate commitments to fund advances and commitments to issue consolidated obligations takes into account the difference between current and committed interest rates.

Subjectivity of Estimates Related to Fair Values of Financial Instruments. Estimates of the fair value of financial assets and liabilities using the methodologies described above are subjective and require judgments regarding significant matters, such as the amount and timing of future cash flows, prepayment speed assumptions, expected interest rate volatility, methods to determine possible distributions of future interest rates used to value options, and the selection of discount rates that appropriately reflect market and credit risks. Changes in these judgments often have a material effect on the fair value estimates.

Fair Value Measurements. The tables below present the fair value of assets and liabilities, which are recorded on a recurring or nonrecurring basis at March 31, 2016, and December 31, 2015, by level within the fair value hierarchy.

March 31, 2016
	Fair Value Measurement Using:						Netting
	Level 1		Level 2		Level 3		Adjustments(1)			Total
Recurring fair value measurements – Assets:
Trading securities:
GSEs – FFCB bonds	$	—	$	1,399	$	—	$	—		$	1,399
MBS:
Other U.S. obligations – Ginnie Mae	—		9		—		—			9
Total trading securities	—		1,408		—		—			1,408
AFS securities:
PLRMBS	—		—		5,145		—			5,145
Total AFS securities	—		—		5,145		—			5,145
Advances(2)	—		3,722		—		—			3,722
Derivative assets, net: interest rate-related	—		299		—		(260		)	39
Other assets	10		—		—		—			10
Total recurring fair value measurements – Assets	$	10	$	5,429	$	5,145	$	(260	)	$	10,324
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	3,613	$	—	$	—		$	3,613
Derivative liabilities, net: interest rate-related	—		220		—		(211		)	9
Total recurring fair value measurements – Liabilities	$	—	$	3,833	$	—	$	(211	)	$	3,622
Nonrecurring fair value measurements – Assets:(4)
Impaired mortgage loans held for portfolio	$	—	$	—	$	4	$	—		$	4
Total nonrecurring fair value measurements – Assets	$	—	$	—	$	4	$	—		$	4

December 31, 2015
	Fair Value Measurement Using:						Netting
	Level 1		Level 2		Level 3		Adjustments(1)			Total
Recurring fair value measurements – Assets:
Trading securities:
GSEs – FFCB bonds	$	—	$	1,424	$	—	$	—		$	1,424
MBS:
Other U.S. obligations – Ginnie Mae	—		9		—		—			9
Total trading securities	—		1,433		—		—			1,433
AFS securities:
PLRMBS	—		—		5,414		—			5,414
Total AFS securities	—		—		5,414		—			5,414
Advances(2)	—		3,677		—		—			3,677
Derivative assets, net: interest rate-related	—		256		—		(212		)	44
Other assets	10		—		—		—			10
Total recurring fair value measurements – Assets	$	10	$	5,366	$	5,414	$	(212	)	$	10,578
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	4,233	$	—	$	—		$	4,233
Derivative liabilities, net: interest rate-related	—		143		—		(137		)	6
Total recurring fair value measurements – Liabilities	$	—	$	4,376	$	—	$	(137	)	$	4,239
Nonrecurring fair value measurements – Assets:(4)
REO	$	—	$	—	$	1	$	—		$	1
Impaired mortgage loans held for portfolio	—		—		5		—			5
Total nonrecurring fair value measurements – Assets	$	—	$	—	$	6	$	—		$	6

(1) Amounts represent the netting of derivative assets and liabilities by counterparty, including cash collateral, where the netting requirements have been met.

(2) Represents advances recorded under the fair value option at March 31, 2016, and December 31, 2015.

(3) Represents consolidated obligation bonds recorded under the fair value option at March 31, 2016, and December 31, 2015.

(4) The fair value information presented is as of the date the fair value adjustment was recorded during the three months ended March 31, 2016, and the year ended December 31, 2015.

The following table presents a reconciliation of the Bank’s AFS PLRMBS that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three months ended March 31, 2016, and 2015.

	Three Months Ended
	March 31, 2016			March 31, 2015
Balance, beginning of the period	$	5,414		$	6,371
Total gain/(loss) realized and unrealized included in:
Interest income	26			19
Net OTTI loss, credit-related	(7		)	(2		)
Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI	(47		)	20
Net amount of OTTI loss reclassified to/(from) other income/(loss)	(8		)	(2		)
Settlements	(233		)	(222		)
Transfers of HTM securities to AFS securities	—			4
Balance, end of the period	$	5,145		$	6,188
Total amount of gain/(loss) for the period included in earnings attributable to the change in unrealized gains/losses relating to assets and liabilities still held at the end of the period	$	19		$	17

Fair Value Option. The fair value option provides an entity with an irrevocable option to elect fair value as an alternative measurement for selected financial assets, financial liabilities, unrecognized firm commitments, and written loan commitments not previously carried at fair value. It requires an entity to display the fair value of those assets and liabilities for which the entity has chosen to use fair value on the face of the Statements of Condition. Fair value is used for both the initial and subsequent measurement of the designated assets, liabilities, and commitments, with the changes in fair value recognized in net income. Interest income and interest expense on advances and consolidated bonds carried at fair value are recognized solely on the contractual amount of interest due or unpaid. Any transaction fees or costs are immediately recognized in non-interest income or non-interest expense.

For more information on the Bank’s election of the fair value option, see “Item 8. Financial Statements and Supplementary Data – Note 19 – Fair Values” in the Bank’s 2015 Form 10-K.

The Bank has elected the fair value option for certain financial instruments to assist in mitigating potential earnings volatility that can arise from economic hedging relationships in which the carrying value of the hedged item is not adjusted for changes in fair value. The potential earnings volatility associated with using fair value only for the derivative is the Bank’s primary reason for electing the fair value option for financial assets and liabilities that do not qualify for hedge accounting or that have not previously met or may be at risk for not meeting the hedge effectiveness requirements.

The following table summarizes the activity related to financial assets and liabilities for which the Bank elected the fair value option during the three months ended March 31, 2016 and 2015:

	Three Months Ended
	March 31, 2016						March 31, 2015
	Advances			Consolidated Obligation Bonds			Advances			Consolidated Obligation Bonds
Balance, beginning of the period	$	3,677		$	4,233		$	5,137		$	6,717
New transactions elected for fair value option	169			245			246			655
Maturities and terminations	(171		)	(885		)	(424		)	(1,025		)
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option	47			20			20			27
Change in accrued interest	—			—			(1		)	1
Balance, end of the period	$	3,722		$	3,613		$	4,978		$	6,375

For instruments for which the fair value option has been elected, the related contractual interest income and contractual interest expense are recorded as part of net interest income on the Statements of Income. The remaining changes in fair value for instruments for which the fair value option has been elected are recorded as net gains/ (losses) on financial instruments held under the fair value option in the Statements of Income. The change in fair value does not include changes in instrument-specific credit risk. For advances and consolidated obligations recorded under the fair value option, the Bank determined that no adjustments to the fair values of these instruments for instrument-specific credit risk were necessary for the years ended March 31, 2016 and 2015.

The following table presents the difference between the aggregate remaining contractual principal balance outstanding and aggregate fair value of advances and consolidated obligation bonds for which the Bank elected the fair value option at March 31, 2016, and December 31, 2015:

	At March 31, 2016						At December 31, 2015
	Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance		Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance
Advances(1)	$	3,637	$	3,722	$	85	$	3,639	$	3,677	$	38
Consolidated obligation bonds	3,610		3,613		3		4,250		4,233		(17		)

(1) At March 31, 2016, and December 31, 2015, none of these advances were 90 days or more past due or had been placed on nonaccrual status.

XML

Commitments and Contingencies

3 Months Ended

Mar. 31, 2016

Commitments and Contingencies Disclosure [Abstract]

Commitments and Contingencies

Commitments and Contingencies

As provided by the FHLBank Act or regulations governing the operations of the FHLBanks, all FHLBanks have joint and several liability for all FHLBank consolidated obligations, which are backed only by the financial resources of the FHLBanks. The joint and several liability regulation authorizes the Finance Agency to require any FHLBank to repay all or a portion of the principal or interest on consolidated obligations for which another FHLBank is the primary obligor. The regulations provide a general framework for addressing the possibility that an FHLBank may be unable to repay the consolidated obligations for which it is the primary obligor. The Bank has never been asked or required to repay the principal or interest on any consolidated obligation on behalf of another FHLBank, and as of March 31, 2016, and through the filing date of this report, does not believe that it is probable that it will be asked to do so. The par value of the outstanding consolidated obligations of the FHLBanks was $896,827 at March 31, 2016, and $905,202 at December 31, 2015. The par value of the Bank’s participation in consolidated obligations was $78,154 at March 31, 2016, and $79,355 at December 31, 2015. For more information on the joint and several liability regulation, see “Item 8. Financial Statements and Supplementary Data – Note 20 – Commitments and Contingencies” in the Bank’s 2015 Form 10-K.

Off-balance sheet commitments as of March 31, 2016, and December 31, 2015, were as follows:

	March 31, 2016						December 31, 2015
	Expire Within One Year		Expire After One Year		Total		Expire Within One Year		Expire After One Year		Total
Standby letters of credit outstanding	$	10,634	$	3,782	$	14,416	$	9,072	$	3,237	$	12,309
Commitments to fund additional advances(1)	110		5		115		5		5		10
Commitments to issue consolidated obligation discount notes, par(2)	143		—		143		300		—		300
Commitments to issue consolidated obligation bonds, par(3)	15		—		15		110		—		110
Commitments to purchase mortgage loans	7		—		7		5		—		5

(1) AtMarch 31, 2016, and at December 31, 2015, none of the commitments to fund additional advances were hedged with associated interest rate swaps.

(2) AtMarch 31, 2016, $133 of the commitments to issue consolidated obligation discount notes were hedged with associated interest rate swaps. At December 31, 2015, none of the commitments to issue consolidated obligation discount notes were hedged with associated interest rate swaps.

(3) AtMarch 31, 2016, and at December 31, 2015, all of the commitments to issue consolidated obligation bonds were hedged with associated interest rate swaps.

Standby letters of credit are generally issued for a fee on behalf of members to support their obligations to third parties. If the Bank is required to make a payment for a beneficiary’s drawing under a letter of credit, the amount is immediately due and payable by the member to the Bank and is charged to the member’s demand deposit account with the Bank. The original terms of these standby letters of credit range from 33 days to 15 years, including a final expiration in 2031. The Bank monitors the creditworthiness of members that have standby letters of credit. The value of the Bank’s obligations related to standby letters of credit is recorded in other liabilities and amounted to $22 at March 31, 2016, and $18 at December 31, 2015. Letters of credit are fully collateralized at the time of issuance. Based on the Bank’s credit analyses of members’ financial condition and collateral requirements, the Bank deemed it unnecessary to record any additional liability on the letters of credit outstanding as of March 31, 2016, and December 31, 2015.

Commitments to fund advances totaled $115 at March 31, 2016, and $10 at December 31, 2015. Advances funded under advance commitments are fully collateralized at the time of funding (see Note 9 – Allowance for Credit Losses). Based on the Bank’s credit analyses of members’ financial condition and collateral requirements, the Bank deemed it unnecessary to record any additional liability on the advance commitments outstanding as of March 31, 2016, and December 31, 2015.

The Bank may enter into commitments that unconditionally obligate it to purchase mortgage loans from its members. Commitments are generally for periods not exceeding 45 days. Delivery commitments are recorded at fair value as derivative assets or derivative liabilities in the Statements of Condition.

The Bank executes over-the-counter uncleared interest rate exchange agreements with major banks and derivative entities affiliated with broker-dealers and with the Bank’s members. The Bank enters into master agreements with netting provisions and into bilateral credit support agreements with all active derivative dealer counterparties. All member counterparty master agreements, excluding those with derivative dealers, are subject to the terms of the Bank’s Advances and Security Agreement with members, and all member counterparties (except for those that are derivative dealers) must fully collateralize the Bank’s net credit exposure. For cleared derivatives, the clearinghouse is the Bank’s counterparty, and the Bank has clearing agreements with clearing agents that provide for delivery of initial margin to, and exchange of variation margin with, the clearinghouse. See Note 15 – Derivatives and Hedging Activities for additional information about the Bank’s pledged collateral and other credit-risk-related contingent features.

The Bank may be subject to various pending legal proceedings that may arise in the ordinary course of business. After consultation with legal counsel, the Bank does not anticipate that the ultimate liability, if any, arising out of these matters will have a material effect on its financial condition or results of operations.

XML

Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks

3 Months Ended

Mar. 31, 2016

Related Party Transactions [Abstract]

Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks

Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks

Transactions with Members and Nonmembers. The following table sets forth information at the dates and for the periods indicated with respect to transactions with members that have an officer or director serving on the Bank’s Board of Directors.

	March 31, 2016		December 31, 2015
Assets:
Advances	$	2,541	$	3,297
Mortgage loans held for portfolio	22		24
Accrued interest receivable	5		5
Liabilities:
Deposits	$	4	$	4
Capital:
Capital Stock	$	120	$	119

	Three Months Ended
	March 31, 2016		March 31, 2015
Interest Income:
Advances	$	9	$	9
Mortgage loans held for portfolio	—		—

All transactions with members, nonmembers, and their affiliates are entered into in the ordinary course of business. As of March 31, 2016, and December 31, 2015, no shareholder owned more than 10% of the total voting interests in the Bank because of this statutory limit on members' voting rights. For more information on transactions with members and nonmembers, see “Item 8. Financial Statements and Supplementary Data – Note 21 – Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks” in the Bank’s 2015 Form 10-K.

Transactions with Other FHLBanks. The Bank may occasionally enter into transactions with other FHLBanks. These transactions are summarized below.

Overnight Funds. The Bank may borrow or lend unsecured overnight funds from or to other FHLBanks. All such transactions are at current market rates. Interest income and interest expense related to these transactions with other FHLBanks are included in other interest income and interest expense from other borrowings in the Statements of Income. Transactions with other FHLBanks, if any, are identified in the Bank’s financial statements.

MPF Mortgage Loans. The Bank pays a transaction services fee to the FHLBank of Chicago for its participation in the MPF program. This fee is assessed monthly and is based on the amount of mortgage loans in which the Bank invested and which remain outstanding on its Statements of Condition. For the three months ended March 31, 2016 and 2015, the Bank recorded a de minimis amount in MPF transaction services fee expense to the FHLBank of Chicago, which was recorded in the Statements of Income as other expense.

Consolidated Obligations. The Bank may, from time to time, transfer to or assume from another FHLBank the outstanding primary liability for FHLBank consolidated obligations. During the three months ended March 31, 2016 and 2015, the Bank did not transfer any debt to other FHLBanks or assume any debt from other FHLBanks.

Transactions with the Office of Finance. The Bank’s proportionate share of the cost of operating the Office of Finance is identified in the Statements of Income.

XML

Subsequent Events

3 Months Ended

Mar. 31, 2016

Subsequent Events [Abstract]

Subsequent Events

Subsequent Events

At March 31, 2016, the Bank’s other assets included $265 related to settlements with certain defendants in connection with the Bank’s PLRMBS. Payments for that amount were received in April 2016.

There were no other material subsequent events identified, subsequent to March 31, 2016, until the time of the Form 10-Q filing with the Securities and Exchange Commission.

XML

Basis of Presentation / Summary of Significant Accounting Policies (Policies)

3 Months Ended

Mar. 31, 2016

Accounting Policies [Line Items]

Use of Estimates, Policy [Policy Text Block]

The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America (U.S. GAAP) requires management to make a number of judgments, estimates, and assumptions that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income, expenses, gains, and losses during the reporting period. The most significant of these estimates include estimating the allowance for credit losses on the advances and mortgage loan portfolios; accounting for derivatives; estimating fair values of investments classified as trading and available-for-sale, derivatives and associated hedged items carried at fair value in accordance with the accounting for derivative instruments and associated hedging activities, and financial instruments carried at fair value under the fair value option; accounting for other-than-temporary impairment (OTTI) for investment securities; and estimating the prepayment speeds on mortgage-backed securities (MBS) and mortgage loans for the accounting of amortization of premiums and accretion of discounts on MBS and mortgage loans. Actual results could differ significantly from these estimates.

Fair Value of Financial Instruments, Policy [Policy Text Block]

Commitments – The estimated fair value of standby letters of credit is based on the present value of fees currently charged for similar agreements and is recorded in other liabilities. The estimated fair value of off-balance sheet fixed rate commitments to fund advances and commitments to issue consolidated obligations takes into account the difference between current and committed interest rates.

Investment Securities – FFCB Bonds and CalHFA Bonds –The Bank estimates the fair values of these securities using the methodology described above for Investment Securities – MBS.

Advances –Because quoted prices are not available for advances, the fair values are measured using model-based valuation techniques (such as calculating the present value of future cash flows and reducing the amount for accrued interest receivable).

The Bank’s primary inputs for measuring the fair value of advances are market-based consolidated obligation yield curve (CO Curve) inputs obtained from the Office of Finance. The CO Curve is then adjusted to reflect the rates on replacement advances with similar terms and collateral. These spread adjustments are not market-observable and are evaluated for significance in the overall fair value measurement and the fair value hierarchy level of the advance. The Bank obtains market-observable inputs for complex advances. These inputs may include volatility assumptions, which are market-based expectations of future interest rate volatility implied from current market prices for similar options (swaption volatility and volatility skew). The discount rates used in these calculations are the replacement advance rates for advances with similar terms. Pursuant to the Finance Agency’s advances regulation, advances with an original term to maturity or repricing period greater than six months generally require a prepayment fee sufficient to make the Bank financially indifferent to the borrower’s decision to prepay the advances. The Bank determined that no adjustment is required to the fair value measurement of advances for prepayment fees. In addition, the Bank did not adjust its fair value measurement of advances for creditworthiness primarily because advances were fully collateralized.

Cash and Due from Banks–The estimated fair value equals the carrying value.

Federal Funds Sold and Securities Purchased Under Agreements to Resell – The estimated fair value of overnight Federal funds sold and securities purchased under agreements to resell approximates the carrying value. The estimated fair value of term Federal funds sold and term securities purchased under agreements to resell has been determined by calculating the present value of expected cash flows for the instruments and reducing the amount for accrued interest receivable. The discount rates used in these calculations are the replacement rates for comparable instruments with similar terms.

Interest-Bearing Deposits –The fair value of deposits is generally equal to the carrying value of the deposits because the deposits are primarily overnight deposits or due on demand. The Bank determines the fair values of term deposits by calculating the present value of expected future cash flows from the deposits and reducing the amount for accrued interest receivable. The discount rates used in these calculations are the cost of deposits with similar terms.

Investment Securities – Certificates of Deposit –The estimated fair values of these investments are determined by calculating the present value of expected cash flows and reducing the amount for accrued interest receivable, using market-observable inputs as of the last business day of the period or using industry standard analytical models and certain actual and estimated market information. The discount rates used in these calculations are the replacement rates for comparable instruments with similar terms.

The Bank is subject to credit risk because of the risk of potential nonperformance by its derivative counterparties. To mitigate this risk, the Bank executes uncleared derivative transactions only with highly rated derivative dealers and major banks (derivative dealer counterparties) that meet the Bank’s eligibility criteria. In addition, the Bank has entered into master netting agreements and bilateral credit support agreements with all active derivative dealer counterparties that provide for delivery of collateral at specified levels to limit the Bank’s net unsecured credit exposure to these counterparties. Under these policies and agreements, the amount of unsecured credit exposure to an individual derivative dealer counterparty is either (i) limited to an absolute dollar credit exposure limit according to the counterparty’s long-term debt or deposit credit rating, as determined by rating agencies or (ii) set at zero (subject to a minimum transfer amount). The Bank clears its cleared derivative transactions only through clearing agents that meet the Bank’s eligibility requirements, and the Bank’s credit exposure to the clearinghouse is secured by variation margin received from the clearinghouse. All credit exposure from derivative transactions entered into by the Bank with member counterparties that are not derivative dealers must be fully secured by eligible collateral. The Bank evaluated the potential for the fair value of the instruments to be affected by counterparty credit risk and determined that no adjustments to the overall fair value measurements were required.

The fair values of the derivative assets and liabilities include accrued interest receivable/payable and cash collateral remitted to/received from counterparties. The estimated fair values of the accrued interest receivable/payable and cash collateral approximate their carrying values because of their short-term nature. The fair values of derivatives that met the netting requirements are presented on a net basis. If these netted amounts are positive, they are classified as an asset and, if negative, they are classified as a liability.

Derivative Assets and Liabilities –In general, derivative instruments transacted and held by the Bank for risk management activities are traded in over-the-counter markets where quoted market prices are not readily available. These derivatives are interest rate-related. For these derivatives, the Bank measures fair value using internally developed discounted cash flow models that use market-observable inputs, such as the overnight index swap (OIS) curve and volatility assumptions, which are market-based expectations of future interest rate volatility implied from current market prices for similar options (swaption volatility and volatility skew), adjusted for counterparty credit risk, as necessary.

Loans to Other FHLBanks –Because these are overnight transactions, the estimated fair value approximates the recorded carrying value.

Accrued Interest Receivable and Payable – The estimated fair value approximates the carrying value of accrued interest receivable and accrued interest payable.

Other Assets – The estimated fair value of grantor trust assets is based on quoted market prices.

Consolidated Obligations –Because quoted prices in active markets are not generally available for identical liabilities, the Bank measures fair values using internally developed models that use primarily market-observable inputs. The Bank’s primary input for measuring the fair value of consolidated obligation bonds is a market-based CO Curve obtained from the Office of Finance. The Office of Finance constructs the CO Curve using the Treasury yield curve as a base curve, which is adjusted by indicative consolidated obligation spreads obtained from market-observable sources. These market indications are generally derived from pricing indications from dealers, historical pricing relationships, and market activity for similar liabilities, such as recent GSE issuances or secondary market activity. For consolidated obligation bonds with embedded options, the Bank also obtains market-observable inputs, such as volatility assumptions, which are market-based expectations of future interest rate volatility implied from current market prices for similar options (swaption volatility and volatility skew).

Adjustments may be necessary to reflect the Bank’s credit quality or the credit quality of the FHLBank System when valuing consolidated obligation bonds measured at fair value. The Bank monitors its own creditworthiness and the creditworthiness of the other FHLBanks and the FHLBank System to determine whether any adjustments are necessary for creditworthiness in its fair value measurement of consolidated obligation bonds. The credit ratings of the FHLBank System and any changes to the credit ratings are the basis for the Bank to determine whether the fair values of consolidated obligations have been significantly affected during the reporting period by changes in the instrument-specific credit risk.

Deposits –The fair value of deposits is generally equal to the carrying value of the deposits because the deposits are primarily overnight deposits or due on demand. The Bank determines the fair values of term deposits by calculating the present value of expected future cash flows from the deposits and reducing the amount for accrued interest payable. The discount rates used in these calculations are the cost of deposits with similar terms.

The fair value option provides an entity with an irrevocable option to elect fair value as an alternative measurement for selected financial assets, financial liabilities, unrecognized firm commitments, and written loan commitments not previously carried at fair value. It requires an entity to display the fair value of those assets and liabilities for which the entity has chosen to use fair value on the face of the Statements of Condition. Fair value is used for both the initial and subsequent measurement of the designated assets, liabilities, and commitments, with the changes in fair value recognized in net income. Interest income and interest expense on advances and consolidated bonds carried at fair value are recognized solely on the contractual amount of interest due or unpaid. Any transaction fees or costs are immediately recognized in non-interest income or non-interest expense.

For more information on the Bank’s election of the fair value option, see “Item 8. Financial Statements and Supplementary Data – Note 19 – Fair Values” in the Bank’s 2015 Form 10-K.

The Bank has elected the fair value option for certain financial instruments to assist in mitigating potential earnings volatility that can arise from economic hedging relationships in which the carrying value of the hedged item is not adjusted for changes in fair value. The potential earnings volatility associated with using fair value only for the derivative is the Bank’s primary reason for electing the fair value option for financial assets and liabilities that do not qualify for hedge accounting or that have not previously met or may be at risk for not meeting the hedge effectiveness requirements.

Investment Securities – MBS – To value its MBS, the Bank obtains prices from four designated third-party pricing vendors when available. The pricing vendors use various proprietary models to price these securities. The inputs to those models are derived from various sources including, but not limited to: benchmark yields, reported trades, dealer estimates, issuer spreads, prices on benchmark securities, bids, offers, and other market-related data. Since many securities do not trade on a daily basis, the pricing vendors use available information as applicable, such as benchmark yield curves, benchmarking of like securities, sector groupings, and matrix pricing, to determine the prices for individual securities. Each pricing vendor has an established challenge process in place for all security valuations, which facilitates resolution of price discrepancies identified by the Bank.

At least annually, the Bank conducts reviews of the four pricing vendors to update and confirm its understanding of the vendors’ pricing processes, methodologies, and control procedures.

The Bank’s valuation technique for estimating the fair values of its MBS first requires the establishment of a median vendor price for each security. If four vendor prices are received, the average of the middle two prices is the median price; if three prices are received, the middle price is the median price; if two prices are received, the average of the two prices is the median price; and if one price is received, it is the median price (and also the default fair value) subject to additional validation. All vendor prices that are within a specified tolerance threshold of the median price are included in the cluster of vendor prices that are averaged to establish a default fair value. All vendor prices that are outside the threshold (outliers) are subject to further analysis including, but not limited to, comparison to prices provided by an additional third-party valuation service, prices for similar securities and/or dealer estimates, or use of internal model prices, which are deemed to be reflective of all relevant facts and circumstances that a market participant would consider. Such analysis is also applied in those limited instances where no third-party vendor price or only one third-party vendor price is available in order to arrive at an estimated fair value. If an outlier (or some other price identified in the analysis) is determined to be a better estimate of fair value, then the outlier (or the other price, as appropriate) is used as the fair value rather than the default fair value. If, instead, the analysis confirms that an outlier is (or outliers are) not representative of fair value and the default fair value is the best estimate, then the default fair value is used as the fair value.

If all vendor prices received for a security are outside the tolerance threshold level of the median price, then there is no default fair value, and the fair value is determined by an evaluation of all outlier prices (or the other prices, as appropriate) as described above.

As of March 31, 2016, four vendor prices were received for most of the Bank’s MBS, and the fair value estimates for most of those securities were determined by averaging the four vendor prices. Based on the Bank’s reviews of the pricing methods employed by the third-party pricing vendors and the relative lack of dispersion among the vendor prices (or, in those instances in which there were outliers or significant yield variances, the Bank’s additional analyses), the Bank believes that its fair value estimates are reasonable and that the fair value measurements are classified appropriately in the fair value hierarchy. Based on limited market liquidity for PLRMBS, the fair value measurements for these securities were classified as Level 3 within the fair value hierarchy.

For instruments for which the fair value option has been elected, the related contractual interest income and contractual interest expense are recorded as part of net interest income on the Statements of Income. The remaining changes in fair value for instruments for which the fair value option has been elected are recorded as net gains/ (losses) on financial instruments held under the fair value option in the Statements of Income. The change in fair value does not include changes in instrument-specific credit risk.

Mortgage Loans Held for Portfolio – The estimated fair value for seasoned mortgage loans represents modeled prices based on observable market prices for seasoned agency mortgage-backed passthrough securities adjusted for differences in coupon, average loan rate, credit, and cash flow remittance between the Bank’s mortgage loans and the referenced instruments, while the estimated fair value for newly originated mortgage loans represents modeled prices based on MPF commitment rates. Market prices are highly dependent on the underlying prepayment assumptions. Changes in the prepayment speeds often have a material effect on the fair value estimates. These underlying prepayment assumptions are susceptible to material changes in the near term because they are made at a specific point in time.

Mandatorily Redeemable Capital Stock –The estimated fair value of capital stock subject to mandatory redemption is generally at par value as indicated by contemporaneous purchases, redemptions, and repurchases at par value. Fair value includes estimated dividends earned at the time of reclassification from capital to liabilities, until such amount is paid, and any subsequently declared capital stock dividend. The Bank’s capital stock can only be acquired by members at par value and redeemed or repurchased at par value, subject to statutory and regulatory requirements. The Bank’s capital stock is not traded, and no market mechanism exists for the exchange of Bank capital stock outside the cooperative ownership structure.

The fair value hierarchy is used to prioritize the fair value methodologies and valuation techniques as well as the inputs to the valuation techniques used to measure fair value for assets and liabilities carried at fair value on the Statements of Condition. The inputs are evaluated and an overall level for the fair value measurement is determined. This overall level is an indication of market observability of the fair value measurement for the asset or liability. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). An entity must disclose the level within the fair value hierarchy in which the measurements are classified for all financial assets and liabilities measured on a recurring or non-recurring basis.

The application of the fair value hierarchy to the Bank’s financial assets and financial liabilities that are carried at fair value either on a recurring or non-recurring basis is as follows:

• Level 1 – Quoted prices (unadjusted) for identical assets or liabilities in an active market that the reporting entity can access on the measurement date.

• Level 2 – Inputs other than quoted prices within Level 1 that are observable inputs for the asset or liability, either directly or indirectly. If the asset or liability has a specified (contractual) term, a Level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include the following: (1) quoted prices for similar assets or liabilities in active markets; (2) quoted prices for identical or similar assets or liabilities in markets that are not active; (3) inputs other than quoted prices that are observable for the asset or liability (e.g., interest rates and yield curves that are observable at commonly quoted intervals, and implied volatilities); and (4) inputs that are derived principally from or corroborated by observable market data by correlation or other means.

• Level 3 – Unobservable inputs for the asset or liability.

A financial instrument’s categorization within the valuation hierarchy is based on the lowest level of input that is significant to the fair value measurement.

The following assets and liabilities, including those for which the Bank has elected the fair value option, are carried at fair value on the Statements of Condition as of March 31, 2016:

• Trading securities

• AFS securities

• Certain advances

• Derivative assets and liabilities

• Certain consolidated obligation bonds

• Certain other assets

Repurchase and Resale Agreements Policy [Policy Text Block]

Securities purchased under agreements to resell are considered collateralized financing arrangements and effectively represent short-term loans to counterparties that are considered by the Bank to be of investment quality, which are classified as assets in the Statements of Condition. Securities purchased under agreements to resell are held in safekeeping in the name of the Bank by third-party custodians approved by the Bank. In accordance with the terms of these loans, if the market value of the underlying securities decreases below the market value required as collateral, the counterparty must place an equivalent amount of additional securities as collateral or remit an equivalent amount of cash. If an agreement to resell is deemed to be impaired, the difference between the fair value of the collateral and the amortized cost of the agreement is charged to earnings.

Investment, Policy [Policy Text Block]

This investment provides short-term liquidity and is carried at cost. Interest-bearing deposits includeinterest-bearing deposits in banks not meeting the definition of a security. Interest income on interest-bearing deposits is accrued as earned and recorded in interest income on Statements of Income.

On a quarterly basis, the Bank evaluates its individual AFS and HTM investment securities in an unrealized loss position for OTTI. As part of this evaluation, the Bank considers whether it intends to sell each debt security and whether it is more likely than not that it will be required to sell the debt security before its anticipated recovery of the amortized cost basis. If either of these conditions is met, the Bank recognizes an OTTI charge to earnings equal to the entire difference between the security’s amortized cost basis and its fair value at the statement of condition date. For securities in an unrealized loss position that do not meet either of these conditions (the most common situation), the Bank considers whether it expects to recover the entire amortized cost basis of the security by comparing its best estimate of the present value of the cash flows expected to be collected from the security with the amortized cost basis of the security. If the Bank’s best estimate of the present value of the cash flows expected to be collected is less than the amortized cost basis, the difference is considered the credit loss.

PLRMBS. A significant input to the Bank’s cash flow analysis of its PLRMBS is the forecast of future housing price changes. The OTTI Governance Committee of the Federal Home Loan Banks (FHLBanks) developed a short-term housing price forecast with projected changes ranging from a decrease of 1.0% to an increase of 8.0% over the 12-month period beginning January 1, 2016. For the vast majority of markets, the projected short-term housing price changes range from an increase of 3.0% to an increase of 5.0%. Thereafter, a unique path is projected for each geographic area based on an internally developed framework derived from historical data.

For all the PLRMBS in its AFS and HTM portfolios, the Bank does not intend to sell any security and it is not more likely than not that the Bank will be required to sell any security before its anticipated recovery of the remaining amortized cost basis.

Derivatives, Offsetting Fair Value Amounts, Policy [Policy Text Block]

The Bank presents certain financial instruments, including derivative instruments and securities purchased under agreements to resell, on a net basis when they have a legal right of offset and all other requirements for netting are met (collectively referred to as the netting requirements). The Bank has elected to offset its derivative asset and liability positions, as well as cash collateral received or pledged, when the netting requirements are met. The Bank did not have any offsetting liabilities related to its securities purchased under agreements to resell for the periods presented.

The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time this collateral is received or pledged. Likewise, there may be a delay for excess collateral to be returned. For derivative instruments that meet the netting requirements, any excess cash collateral received or pledged is recognized as a derivative liability or derivative asset. Additional information regarding these agreements is provided in Note 15 – Derivatives and Hedging Activities. Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented.

The Bank may present derivative instruments, related cash collateral received or pledged, and associated accrued interest by clearing agent or by counterparty when the netting requirements have been met.

Consolidation, Variable Interest Entity, Policy [Policy Text Block]

The Bank’s investments in variable interest entities (VIEs) are limited to private-label residential mortgage-backed securities (PLRMBS). On an ongoing basis, the Bank performs a quarterly evaluation

to determine whether it is the primary beneficiary in any VIE. The Bank evaluated its investments in VIEs as of March 31, 2016, to determine whether it is a primary beneficiary of any of these investments. The primary beneficiary is required to consolidate a VIE. The Bank determined that consolidation accounting is not required because the Bank is not the primary beneficiary of these VIEs for the periods presented. The Bank does not have the power to significantly affect the economic performance of any of these investments because it does not act as a key decision maker nor does it have the unilateral ability to replace a key decision maker. In addition, the Bank does not design, sponsor, transfer, service, or provide credit or liquidity support in any of its investments in VIEs. The maximum loss exposure for these VIEs is limited to the Bank’s investment in the VIE.

Loans and Leases Receivable, Allowance for Loan Losses Policy [Policy Text Block]

The Bank and any participating financial institution share in the credit risk of the loans sold by that institution as specified in a master agreement. Loans purchased under the MPF Program generally have a credit risk exposure at the time of purchase equivalent to assets rated AA, taking into consideration the credit risk sharing structure mandated by the Finance Agency’s acquired member assets (AMA) regulation. The MPF Program structures potential credit losses on conventional MPF loans into layers with respect to each pool of loans purchased by the Bank under a single master commitment, as follows:

1. The first layer of protection against loss is the liquidation value of the real property securing the loan.

2. The next layer of protection comes from the primary mortgage insurance that is required for loans with a loan-to-value ratio greater than 80%, if still in place.

3. Losses that exceed the liquidation value of the real property and any primary mortgage insurance, up to an agreed-upon amount called the first loss account for each master commitment, are incurred by the Bank.

4. Losses in excess of the first loss account for each master commitment, up to an agreed-upon amount called the credit enhancement amount, are covered by the participating financial institution’s credit enhancement obligation at the time losses are incurred.

5. Losses in excess of the first loss account and the participating financial institution’s remaining credit enhancement for the master commitment, if any, are incurred by the Bank.

The Bank calculates its estimated allowance for credit losses on mortgage loans acquired under the MPF Original and MPF Plus products as described below. Effective January 1, 2015, the Bank implemented the accounting requirements of regulatory Advisory Bulletin 2012-02. As a result, for any mortgage loans that are more than 180 days past due and that have any outstanding balance in excess of the fair value of the property, less cost to sell, this excess is charged off as a loss by the end of the month in which the applicable time period elapses. Likewise, when a borrower is in bankruptcy, loans are written down to the fair value of the collateral, less cost to sell, in general within 60 days of receipt of the notification of filing from the bankruptcy court, unless it can be clearly demonstrated and documented that repayment is likely to occur. As a result of these charge-offs, corresponding Allowance for Credit Losses on MPF Loans, which had previously provided for most of these expected losses, was reduced accordingly.

Allowance for Credit Losses on MPF Loans –The Bank evaluates the allowance for credit losses on MPF mortgage loans based on two components. The first component applies to each individual loan that is specifically identified as impaired. The Bank evaluates the exposure on these loans by considering the first layer of loss protection (the liquidation value of the real property securing the loan) and the availability and collectability of credit enhancements under the terms of each master commitment and records a provision for credit losses.

The second component applies to loans that are not specifically identified as impaired and is based on the Bank’s estimate of probable credit losses on those loans as of the financial statement date. The Bank evaluates the credit loss exposure on a loan pool basis considering various observable data, such as delinquency statistics, past performance, current performance, loan portfolio characteristics, collateral valuations, industry data, and prevailing economic conditions. The Bank also considers the availability and collectability of credit enhancements from participating financial institutions or from mortgage insurers under the terms of each master commitment.

Loans and Leases Receivable, Troubled Debt Restructuring Policy [Policy Text Block]

Troubled debt restructuring (TDR) is considered to have occurred when a concession is granted to the debtor for economic or legal reasons related to the debtor’s financial difficulties and that concession would not have been considered otherwise. An MPF loan considered a TDR is individually evaluated for impairment when determining its related allowance for credit losses. Credit loss is measured by factoring in expected cash flow shortfalls incurred as of the reporting date as well as the economic loss attributable to delaying the original contractual principal and interest due dates, if applicable.

The Bank’s TDRs of MPF loans primarily involve modifying the borrower’s monthly payment for a period of up to 36 months to reflect a housing expense ratio that is no more than 31% of the borrower’s qualifying monthly income. The outstanding principal balance is re-amortized to reflect a principal and interest payment for a term not to exceed 40 years from the original note date and a housing expense ratio not to exceed 31%. This would result in a balloon payment at the original maturity date of the loan because the maturity date and number of remaining monthly payments are not adjusted. If the 31% ratio is still not achieved through re-amortization, the interest rate is reduced in 0.125% increments below the original note rate, to a floor rate of 3.00%, resulting in reduced principal and interest payments, for the temporary payment modification period of up to 36 months, until the 31% housing expense ratio is met. 

Finance, Loan and Lease Receivables, Held-for-investment, Allowance and Nonperforming Loans, Allowance Policy [Policy Text Block]

Credit Products. The Bank manages its credit exposure related to credit products through an integrated approach that generally provides for a credit limit to be established for each borrower, includes an ongoing review of each borrower’s financial condition, and is coupled with conservative collateral and lending policies to limit the risk of loss while taking into account borrowers’ needs for a reliable funding source. At March 31, 2016, and December 31, 2015, none of the Bank’s credit products were past due, on nonaccrual status, or considered impaired. There were no troubled debt restructurings related to credit products during the three months ended March 31, 2016, or during

2015.

Based on the collateral pledged as security for advances, the Bank’s credit analyses of borrowers’ financial condition, and the Bank’s credit extension and collateral policies as of March 31, 2016, the Bank expects to collect all amounts due according to the contractual terms. Therefore, no allowance for losses on credit products was deemed necessary by the Bank. The Bank has never experienced any credit losses on its credit products.

Derivatives, Policy [Policy Text Block]

The Bank may invest in U.S. Treasury and agency obligations, agency MBS, and the taxable portion of highly rated state or local housing finance agency obligations. In the past, the Bank has also invested in PLRMBS rated AAA at the time of acquisition. The interest rate and prepayment risk associated with these investment securities is managed through a combination of debt issuance and derivatives. The Bank may manage prepayment risk and interest rate risk by funding investment securities with consolidated obligations that have call features or by hedging the prepayment risk with a combination of consolidated obligations and callable swaps. The Bank may execute callable swaps in conjunction with the issuance of certain liabilities to create funding that is economically equivalent to fixed rate callable debt. Although these derivatives are economic hedges against prepayment risk and are designated to individual liabilities, they do not receive either fair value or cash flow hedge accounting treatment. Investment securities may be classified as trading, AFS, or HTM.

In addition, for certain advances for which the Bank has elected the fair value option, the Bank will simultaneously execute an interest rate exchange agreement with terms that economically offset the terms of the advance.

As an additional service to its members, the Bank has in the past entered into offsetting interest rate exchange agreements, acting as an intermediary between offsetting derivative transactions with members and other counterparties. This intermediation allows members indirect access to the derivatives market. The Bank also enters into derivatives to offset the economic effect of other derivatives that are no longer designated to advances, investments, or consolidated obligations. Neither type of offsetting derivatives receives hedge accounting treatment and both are separately marked to market through earnings. The net result of the accounting for these derivatives does not significantly affect the operating results of the Bank.

The Bank executes callable swaps in conjunction with the issuance of certain consolidated obligations to create funding that is economically equivalent to fixed rate callable bonds. Although these derivatives are economic hedges against the prepayment risk of specific loan pools and are referenced to individual liabilities, they do not receive either fair value or cash flow hedge accounting treatment.

Derivatives, Hedge Discontinuances [Policy Text Block]

The Bank discontinues hedge accounting prospectively when: (i) it determines that the derivative is no longer effective in offsetting changes in the fair value of a hedged item (including hedged items such as firm commitments or forecasted transactions); (ii) the derivative and/or the hedged item expires or is sold, terminated, or exercised; (iii) it is no longer probable that the forecasted transaction will occur in the originally expected period; (iv) a hedged firm commitment no longer meets the definition of a firm commitment; (v) it determines that designating the derivative as a hedging instrument is no longer appropriate; or (vi) it decides to use the derivative to offset changes in the fair value of other derivatives or instruments carried at fair value.

Derivatives, Embedded Derivatives [Policy Text Block]

The Bank did not have any bonds with embedded features that met the requirements to separate the embedded feature from the host contract and designate the embedded feature as a stand-alone derivative at March 31, 2016, or December 31, 2015. The Bank has generally elected to account for certain bonds with embedded features under the fair value option, and these bonds are carried at fair value on the Statements of Condition.

When a callable bond for which the Bank is the primary obligor is issued, the Bank may simultaneously enter into an interest rate swap (in which the Bank pays a variable rate and receives a fixed rate) with a call feature that mirrors the call option embedded in the bond (a sold callable swap).

Derivatives, Methods of Accounting, Hedging Derivatives [Policy Text Block]

The Bank may use derivatives to adjust the repricing and options characteristics of advances to more closely match the characteristics of the Bank’s funding liabilities. In general, whenever a member executes a fixed or variable rate advance with embedded options, the Bank will simultaneously execute an interest rate exchange agreement with terms that offset the terms and embedded options in the advance. The combination of the advance and the interest rate exchange agreement effectively creates a variable rate asset. This type of hedge relationship receives fair value option accounting treatment. In addition, for certain advances for which the Bank has elected the fair value option, the Bank will simultaneously execute an interest rate exchange agreement with terms that economically offset the terms of the advance. However, this type of hedge is treated as an economic hedge because these combinations generally do not meet the requirements for fair value hedge accounting treatment.

The Bank offers a wide array of advances structures to meet members’ funding needs. These advances may have maturities up to 30 years with fixed or adjustable rates and may include early termination features or options. The Bank may use derivatives to adjust the repricing and options characteristics of advances to more closely match the characteristics of the Bank’s funding liabilities. In general, whenever a member executes a fixed or variable rate advance with embedded options, the Bank will simultaneously execute an interest rate exchange agreement with terms that offset the terms and embedded options in the advance. The combination of the advance and the interest rate exchange agreement effectively creates a variable rate asset.

Consolidated obligation bonds may be structured to meet the Bank’s or the investors’ needs. Common structures include fixed rate bonds with or without call options and adjustable rate bonds with or without embedded options. In general, when bonds are issued, the Bank simultaneously executes an interest rate exchange agreement with terms that offset the terms and embedded options, if any, of the consolidated obligation bond. This combination of the consolidated obligation bond and the interest rate exchange agreement effectively creates an adjustable rate bond. The cost of this funding combination is generally lower than the cost that would be available through the issuance of an adjustable rate bond alone. These transactions generally receive fair value hedge accounting treatment.

In addition, when certain consolidated obligation bonds for which the Bank has elected the fair value option are issued, the Bank simultaneously executes an interest rate exchange agreement with terms that economically offset the terms of the consolidated obligation bond. However, this type of hedge is treated as an economic hedge because these combinations generally do not meet the requirements for fair value hedge accounting treatment.

The Bank documents all relationships between derivative hedging instruments and hedged items, its risk management objectives and strategies for undertaking various hedge transactions, and its method of assessing hedge effectiveness. Derivatives designated as fair value hedges are transacted to hedge: (i) assets and liabilities on the balance sheet, (ii) firm commitments, or (iii) forecasted transactions. The Bank also formally assesses (both at hedge inception and on an ongoing basis) whether the hedging derivatives have been effective in offsetting changes in the fair value of hedged items attributable to the hedged risk and whether those derivatives may be expected to remain effective hedges in future periods. The Bank typically uses regression analyses or other statistical analyses to assess the effectiveness of its hedges. When it is determined that a derivative has not been or is not expected to be effective as a hedge, the Bank discontinues hedge accounting prospectively.

The Bank may enter into interest rate swaps (including callable, putable, and basis swaps); and cap and floor agreements (collectively, interest rate exchange agreements or derivatives). Most of the Bank’s interest rate exchange agreements are executed in conjunction with the origination of advances or the issuance of consolidated obligation bonds to create variable rate structures. The interest rate exchange agreements are generally executed at the same time the advances and bonds are transacted and generally have the same maturity dates as the related advances and bonds. The Bank transacts most of its derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute consolidated obligations. Over-the-counter derivatives may be either uncleared or cleared. In an uncleared derivative transaction, the Bank’s counterparty is the executing bank or broker-dealer. In a cleared derivative transaction, the Bank may execute the transaction either directly with the executing bank or broker-dealer or on a swap execution facility, but in either case, the Bank’s counterparty is a derivatives clearing organization or clearinghouse once the derivative transaction has been accepted for clearing. The Bank is not a derivative dealer and does not trade derivatives for short-term profit.

Additional uses of interest rate exchange agreements include: (i) offsetting embedded features in assets and liabilities, (ii) hedging anticipated issuance of debt, (iii) matching against consolidated obligation discount notes or bonds to create the equivalent of callable or non-callable fixed rate debt, (iv) modifying the repricing frequency of assets and liabilities, (v) matching against certain advances and consolidated obligations for which the Bank elected the fair value option, and (vi) exactly offsetting other derivatives that may be executed with members (with the Bank serving as an intermediary) or cleared at a derivatives clearing organization. The Bank’s use of interest rate exchange agreements results in one of the following classifications: (i) a fair value hedge of an underlying financial instrument, (ii) an economic hedge of assets or liabilities, or (iii) an intermediary transaction for members.

Interest Rate Swaps – An interest rate swap is an agreement between two entities to exchange cash flows in the future. The agreement sets the dates on which the cash flows will be paid and the manner in which the cash flows will be calculated. One of the simplest forms of an interest rate swap involves the promise by one party to pay cash flows equivalent to the interest on a notional principal amount at a predetermined fixed rate for a given period of time. In return for this promise, the party receives cash flows equivalent to the interest on the same notional principal amount at a variable rate for the same period of time. The variable rate received or paid by the Bank in most interest rate exchange agreements is indexed to LIBOR.

Interest Rate Caps and Floors – In a cap agreement, additional cash flow is generated if the price or interest rate of an underlying variable rate rises above a certain threshold (or cap) price. In a floor agreement, additional cash flow is generated if the price or interest rate of an underlying variable rate falls below a certain threshold (or floor) price. Caps and floors may be used in conjunction with assets or liabilities. In general, caps and floors are designed as protection against the interest rate on a variable rate asset or liability rising above or falling below a certain level.

The Bank may also manage the risk arising from changing market prices or cash flows of investment securities classified as trading by entering into interest rate exchange agreements (economic hedges) that offset the changes in fair value or cash flows of the securities. The market value changes of both the trading securities and the associated interest rate exchange agreements are included in other income in the Statements of Income.

The Bank’s investment portfolio includes fixed rate mortgage loans. The prepayment options embedded in mortgage loans can result in extensions or contractions in the expected repayment of these investments, depending on changes in estimated prepayment speeds. The Bank manages the interest rate risk and prepayment risk associated with fixed rate mortgage loans through a combination of debt issuance and derivatives. The Bank uses both callable and non-callable debt to achieve cash flow patterns and market value sensitivities for liabilities similar to those expected on the mortgage loans. Net income could be reduced if the Bank replaces prepaid mortgages with lower-yielding assets and the Bank’s higher funding costs are not reduced accordingly.

The Bank is subject to credit risk as a result of the risk of potential nonperformance by counterparties to the derivative agreements. All of the Bank’s agreements governing uncleared derivative transactions contain master netting provisions to help mitigate the credit risk exposure to each counterparty. The Bank manages counterparty credit risk through credit analyses and collateral requirements and by following the requirements of the Bank’s risk management policies and credit guidelines and Finance Agency regulations. The Bank also requires credit support agreements with collateral delivery thresholds on all uncleared derivatives. Currently, all of the Bank’s active uncleared derivative counterparties have a zero threshold. In addition, collateral related to derivative transactions with member institutions includes collateral pledged to the Bank, as evidenced by the Advances and Security Agreement, which may be held by the member institution for the benefit of the Bank.

For cleared derivatives, the clearinghouse is the Bank’s counterparty. The requirement that the Bank post initial and variation margin through the clearing agent, to the clearinghouse, exposes the Bank to institutional credit risk in the event that the clearing agent or the clearinghouse fails to meet its obligations. The use of cleared derivatives, however, mitigates the Bank’s overall credit risk exposure because a central counterparty is substituted for individual counterparties and variation margin is posted daily for changes in the value of cleared derivatives through a clearing agent. The Bank has analyzed the enforceability of offsetting rights applicable to its cleared derivative transactions and determined that the exercise of those offsetting rights by a non-defaulting party under these transactions should be upheld under applicable bankruptcy law and Commodity Futures Trading Commission rules in the event of a clearinghouse or clearing agent insolvency and under applicable clearinghouse rules upon a non-insolvency-based event of default of the clearinghouse or clearing agent. Based on this analysis, the Bank presents a net derivative receivable or payable for all of its transactions through a particular clearing agent with a particular clearinghouse.

Based on the Bank’s credit analyses and the collateral requirements, the Bank does not expect to incur any credit losses on its derivative transactions.

The notional amount of an interest rate exchange agreement serves as a factor in determining periodic interest payments or cash flows received and paid. However, the notional amount of derivatives represents neither the actual amounts exchanged nor the overall exposure of the Bank to credit risk and market risk. The risks of derivatives can be measured meaningfully on a portfolio basis by taking into account the counterparties, the types of derivatives, the items being hedged, and any offsets between the derivatives and the items being hedged.

The Bank’s agreements for uncleared derivative transactions contain provisions that link the Bank’s credit rating from Moody’s and Standard & Poor’s to various rights and obligations. Certain of these derivative agreements provide that, if the Bank’s long-term debt rating falls below a specified rating (ranging from A3/A- to Baa3/BBB-), the Bank’s counterparty would have the right, but not the obligation, to terminate all of its outstanding derivative transactions with the Bank; the Bank’s agreements with its clearing agents for cleared derivative transactions have similar provisions with respect to the debt rating of FHLBank System consolidated bonds. If this occurs, the Bank may choose to enter into replacement hedges, either by transferring the existing transactions to another counterparty or entering into new replacement transactions, based on prevailing market rates. In addition, under some of its credit support agreements for uncleared derivative transactions, the amount of collateral that the Bank is required to deliver to a counterparty depends on the Bank’s credit rating.

Deposits, Policy [Policy Text Block]

The Bank maintains demand deposit accounts that are directly related to the extension of credit to members and offers short-term deposit programs to members and qualifying nonmembers. In addition, a member that services mortgage loans may deposit in the Bank funds collected in connection with the mortgage loans, pending disbursement of these funds to the owners of the mortgage loans. The Bank classifies these types of deposits as non-interest-bearing deposits.

Stockholders' Equity, Policy [Policy Text Block]

Under the Housing Act, the Director of the Finance Agency is responsible for setting the risk-based capital standards for the FHLBanks. The FHLBank Act and regulations governing the operations of the FHLBanks require that the Bank’s minimum capital stock requirement for shareholders must be sufficient to enable the Bank to meet its regulatory requirements for total capital, leverage capital, and risk-based capital. The Bank must maintain: (i) total regulatory capital in an amount equal to at least 4% of its total assets, (ii) leverage capital in an amount equal to at least 5% of its total assets, and (iii) permanent capital in an amount that is greater than or equal to its risk-based capital requirement. Because the Bank issues only Class B stock, regulatory capital and permanent capital for the Bank are both composed of retained earnings and Class B stock, including mandatorily redeemable capital stock (which is classified as a liability for financial reporting purposes). Regulatory capital and permanent capital do not include AOCI. Leverage capital is defined as the sum of permanent capital, weighted by a 1.5 multiplier, plus non-permanent capital.

The risk-based capital requirement is equal to the sum of the Bank’s credit risk, market risk, and operations risk capital requirements, all of which are calculated in accordance with the rules and regulations of the Finance Agency. The Finance Agency may require an FHLBank to maintain a greater amount of permanent capital than is required by the risk-based capital requirement as defined.

The Bank’s Risk Management Policy limits the payment of dividends if the ratio of the Bank’s estimated market value of total capital to par value of capital stock falls below certain levels. If this ratio at the end of any quarter is less than 100% but greater than or equal to 70%, any dividend would be limited to an annualized rate no greater than the daily average of the three-month LIBOR for the applicable quarter (subject to certain conditions), and if this ratio is less than 70%, the Bank would be restricted from paying a dividend. The ratio of the Bank’s estimated market value of total capital to par value of capital stock was 210% as of March 31, 2016.

In addition, the Bank monitors the condition of its PLRMBS portfolio, the ratio of the Bank’s estimated market value of total capital to par value of capital stock, its overall financial performance and retained earnings, developments in the mortgage and credit markets, and other relevant information as the basis for determining the payment of dividends and the repurchase of excess capital stock each quarter.

Segment Reporting, Policy [Policy Text Block]

The Bank uses an analysis of financial performance based on the balances and adjusted net interest income of two operating segments, the advances-related business and the mortgage-related business, as well as other financial information, to review and assess financial performance and to determine the allocation of resources to these two major business segments. For purposes of segment reporting, adjusted net interest income includes income and expense associated with net settlements from economic hedges that are recorded in “Net gain/(loss) on derivatives and hedging activities” in other income and excludes interest expense that is recorded in “Mandatorily redeemable capital stock.” Other key financial information, such as any credit-related OTTI losses on the Bank’s PLRMBS, other expenses, and assessments, is not included in the segment reporting analysis, but is incorporated into the Bank’s overall assessment of financial performance.

For more information on these operating segments, see “Item 8. Financial Statements and Supplementary Data – Note 17 – Segment Information” in the Bank’s 2015 Form 10-K.

Fair Value Transfer, Policy [Policy Text Block]

For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities. Such reclassifications are reported as transfers in or out as of the beginning of the quarter in which the changes occur. For the periods presented, the Bank did not have any reclassifications for transfers in or out of the fair value hierarchy levels.

Subsequent Events, Policy [Policy Text Block]

There were no other material subsequent events identified, subsequent to March 31, 2016, until the time of the Form 10-Q filing with the Securities and Exchange Commission.

New Accounting Pronouncements, Policy [Policy Text Block]

Contingent Put and Call Options in Debt Instruments. On March 14, 2016, the FASB issued amendments to clarify the requirements for assessing whether contingent call (put) options that can accelerate the payment of principal on debt instruments are clearly and closely related to their debt hosts. The guidance requires entities to apply only the four-step decision sequence when assessing whether the economic characteristics and risks of call (put) options are clearly and closely related to the economic characteristics and risks of their debt hosts. Consequently, when a call (put) option is contingently exercisable, an entity does not have to assess whether the event that triggers the ability to exercise a call (put) option is related to interest rates or credit risks. This guidance becomes effective for the Bank for the interim and annual periods beginning on January 1, 2017, and early adoption is permitted. The guidance should be applied on a modified retrospective basis to existing debt instruments as of the beginning of the period for which the amendments are effective. The Bank is in the process of evaluating this guidance, and its effect on the Bank’s financial condition, results of operations, and cash flows has not yet been determined.

Effect of Derivative Contract Novations on Existing Hedge Accounting Relationships. On March 10, 2016, the FASB issued amendments to clarify that a change in the counterparty to a derivative instrument that has been designated as the hedging instrument under GAAP does not, in and of itself, require dedesignation of that hedging relationship provided that all other hedge accounting criteria continue to be met. This guidance becomes effective for the Bank for the interim and annual periods beginning on January 1, 2017, and early adoption is permitted. The amendments provide entities with the option to apply the guidance using either a prospective approach or a modified retrospective approach, retrospectively applied to all derivative instruments that meet the specific conditions. The Bank elected to early adopt the guidance prospectively on January 1, 2016. The adoption of this guidance had no effect on the Bank’s financial condition, results of operations, and cash flows.

Recognition of Lease Assets and Lease Liabilities. On February 25, 2016, the FASB issued guidance that requires recognition of lease assets and lease liabilities on the Statements of Condition and disclosure of key information about leasing arrangements. In particular, this guidance requires a lessee of operating or finance leases to recognize on the Statements of Condition a liability to make lease payments and a right-of-use asset representing its right to use the underlying asset for the lease term. However, for leases with a term of 12 months or less, a lessee is permitted to make an accounting policy election not to recognize lease assets and lease liabilities. Under previous GAAP, a lessee was not required to recognize lease assets and lease liabilities arising from operating leases on the Statements of Condition. While this guidance does not fundamentally change lessor accounting, some changes have been made to align that guidance with the lessee guidance and other areas within GAAP.

The guidance becomes effective for the Bank for the interim and annual periods beginning on January 1, 2019, and early application is permitted. The guidance requires lessors and lessees to recognize and measure leases at the beginning of the earliest period presented in the financial statements using a modified retrospective approach. The Bank is in the process of evaluating this guidance, and its effect on the Bank’s financial condition, results of operations, and cash flows has not yet been determined.

Recognition and Measurement of Financial Assets and Financial Liabilities. On January 5, 2016, the FASB issued amended guidance on certain aspects of recognition, measurement, presentation, and disclosure of financial instruments. This guidance includes, but is not limited to, the following:

• Requires equity investments (with certain exceptions) to be measured at fair value with changes in fair value recognized in net income;

• Requires an entity to present separately in other comprehensive income the portion of the total change in the fair value of a liability resulting from a change in the instrument-specific credit risk when the entity has elected to measure the liability at fair value in accordance with the fair value option for financial instruments;

• Requires separate presentation of financial assets and financial liabilities by measurement category and form of financial asset on the balance sheet or in the accompanying notes to the financial statements;

• Eliminates the requirement for public entities to disclose the method(s) and significant assumptions used to estimate the fair value that is required to be disclosed for financial instruments measured at amortized cost on the balance sheet.

The guidance becomes effective for the Bank for the interim and annual periods beginning on January 1, 2018, and early adoption is only permitted for certain provisions. The amendments, in general, should be applied by means of a cumulative-effect adjustment to the balance sheet as of the beginning of the period of adoption. The Bank is in the process of evaluating this guidance, and its effect on the Bank’s financial condition, results of operations, and cash flows has not yet been determined.

Customer’s Accounting for Fees Paid in a Cloud Computing Arrangement. On April 15, 2015, the FASB issued amendments to clarify a customer’s accounting for fees paid in a cloud computing arrangement. The amendments provide guidance to customers on determining whether a cloud computing arrangement includes a software license that should be accounted for as internal-use software. If the arrangement does not contain a software license, it would be accounted for as a service contract. This guidance became effective for the Bank for the interim and annual periods beginning January 1, 2016, and was adopted prospectively. The adoption of this guidance did not have an impact on the Bank’s financial condition, results of operations, or cash flows.

Simplifying the Presentation of Debt Issuance Costs. On April 7, 2015, the FASB issued guidance to simplify the presentation of debt issuance costs. This guidance requires that debt issuance costs related to a recognized debt liability be presented on the Statements of Condition as a direct deduction from the carrying amount of that debt liability, consistent with the presentation of debt discounts. The adoption of this guidance will result in a reclassification of unamortized debt issuance costs from other assets to consolidated obligations on the Bank’s Statements of Condition. This guidance became effective for the Bank for the interim and annual periods beginning January 1, 2016, and was adopted retrospectively. See Note 1 – Basis of Presentation for discussion of the impact of reclassifications of prior period amounts.

Amendments to the Consolidation Guidance. On February 18, 2015, the FASB issued guidance intended to enhance consolidation guidance for legal entities such as limited partnerships, limited liability corporations, and securitization structures (collateralized debt obligations, collateralized loan obligations, and mortgage-backed security transactions). The new guidance primarily focuses on the following:

• Placing more emphasis on risk of loss when determining a controlling financial interest. A reporting organization may no longer have to consolidate a legal entity in certain circumstances based solely on its fee arrangement, when certain criteria are met.

• Reducing the frequency of the application of related-party guidance when determining a controlling financial interest in a VIE.

• Potentially changing consolidation conclusions for public and private companies in several industries that typically make use of limited partnerships or VIEs.

This guidance became effective for the Bank for interim and annual periods beginning January 1, 2016. The adoption of this guidance did not affect the Bank’s financial condition, results of operations, or cash flows.

Disclosure of Uncertainties about an Entity’s Ability to Continue as a Going Concern.On August 27, 2014, the FASB issued guidance about management’s responsibility to evaluate whether there is substantial doubt about an entity’s ability to continue as a going concern and to provide related footnote disclosures. This guidance requires management to perform interim and annual assessments of an entity’s ability to continue as a going concern within one year after the date the financial statements are issued or within one year after the financial statements are available to be issued, when applicable. Substantial doubt exists if it is probable that the entity will be unable to meet its obligations for the assessed period. This guidance becomes effective for the Bank for the annual period ending after December 15, 2016, and for the annual and interim periods thereafter. Early application is permitted. This guidance is not expected to affect the Bank’s financial condition, results of operations, or cash flows.

Revenue from Contracts with Customers. On May 28, 2014, the FASB issued its guidance on revenue from contracts with customers. This guidance outlines a comprehensive model for recognizing revenue arising from contracts with customers and supersedes most current revenue recognition guidance. In addition, this guidance amends the existing requirements for the recognition of a gain or loss on the transfer of non-financial assets that are not in a contract with a customer. This guidance applies to all contracts with customers except those that are within the scope of certain other standards, such as financial instruments, certain guarantees, insurance contracts, and lease contracts.

The guidance provides entities with the option of using either of the following adoption methods: a full retrospective method, applied retrospectively to each prior reporting period presented; or a modified retrospective method, with the cumulative effect of retrospectively applying this guidance recognized at the date of initial application. The Bank is in the process of evaluating this guidance and its effect on the Bank’s financial condition, results of operations, and cash flows, but it is not expected to be material.

On August 12, 2015, the FASB issued an amendment to defer the effective date of the guidance issued in May 2014 by one year. In 2016, the FASB has issued additional amendments to clarify certain aspects of the new revenue guidance. However, the amendments do not change the core principle in the new revenue standard. The guidance is effective for the Bank for interim and annual periods beginning after December 15, 2017. Early application is permitted only as of the interim and annual reporting periods beginning after December 15, 2016

Federal Home Loan Bank Advances, Prepayment Fees, Policy [Policy Text Block]

The Bank charges borrowers prepayment fees or pays borrowers prepayment credits when the principal on certain advances is paid prior to original maturity. The Bank records prepayment fees net of any associated fair value adjustments related to prepaid advances that were hedged. The net amount of prepayment fees is reflected as interest income in the Statements of Income

Reclassification, Policy [Policy Text Block]

On January 1, 2016, the Bank retrospectively adopted the guidance, Simplifying the Presentation of Debt Issuance Costs, issued by the Financial Accounting Standards Board (FASB) on April 7, 2015. The Bank pays concessions to dealers in connection with the issuance of certain consolidated obligations for which the Bank is the primary obligor. The amount of concessions is allocated to the Bank by the Office of Finance based on the percentage of the debt issued for which the Bank is the primary obligor. Concessions paid on consolidated obligations designated under the fair value option are expensed as incurred in non-interest expense. Concessions paid on consolidated obligations not designated under the fair value option are deferred and amortized to expense using the level-yield method over the remaining contractual life or on a retrospective basis over the estimated life of the consolidated obligations. The amortization of those concessions is included in consolidated obligation interest expense. Unamortized concessions were $8 and $9 at March 31, 2016, and December 31, 2015, respectively. Prior to the adoption of the guidance unamortized concessions were included in “Other assets.” Upon adoption of the guidance, unamortized concessions were reclassified as a reduction in the balance of the corresponding consolidated obligations, consistent with the presentation of discounts on consolidated obligations.

As a result of adopting this guidance, $9 of unamortized concessions included in other assets at December 31, 2015, was reclassified as a reduction in the balance of the corresponding consolidated obligations to conform to the financial statement presentation on the Bank’s Statements of Condition as of March 31, 2016. The reclassification resulted in a decrease of $1 in consolidated obligation discount notes and of $8 in consolidated obligation bonds at December 31, 2015. Accordingly, the Bank’s total assets and total liabilities each decreased by $9 at December 31, 2015. The adoption of this guidance did not have any effect on the Bank’s results of operations and cash flows.

Term Federal Funds Sold [Member]

Accounting Policies [Line Items]

Loans and Leases Receivable, Allowance for Loan Losses Policy [Policy Text Block]

The Bank invests in Federal funds sold with counterparties that are considered by the Bank to be of investment quality, and these investments are evaluated for purposes of an allowance for credit losses only if the investment is not paid when due

PLRMBS [Member]

Accounting Policies [Line Items]

Investment, Policy [Policy Text Block]

For all the PLRMBS in its AFS and HTM portfolios, the Bank does not intend to sell any security and it is not more likely than not that the Bank will be required to sell any security before its anticipated recovery of the remaining amortized cost basis.

Changes in circumstances may cause the Bank to change its intent to hold a certain security to maturity without calling into question its intent to hold other debt securities to maturity in the future. The sale or transfer of an HTM security because of certain changes in circumstances, such as evidence of significant deterioration in the issuers’ creditworthiness, is not considered to be inconsistent with its original classification. In addition, other events that are isolated, nonrecurring, or unusual for the Bank that could not have been reasonably anticipated may cause the Bank to sell or transfer an HTM security without necessarily calling into question its intent to hold other debt securities to maturity.

XML

Trading Securities (Tables)

3 Months Ended

Mar. 31, 2016

Trading Securities [Abstract]

Trading Securities (and Certain Trading Assets) [Table Text Block]

The estimated fair value of trading securities as of March 31, 2016, and December 31, 2015, was as follows:

	March 31, 2016		December 31, 2015
Government-Sponsored Enterprises (GSEs) – Federal Farm Credit Bank (FFCB) bonds	$	1,399	$	1,424
MBS – Other U.S. obligations – Ginnie Mae	9		9
Total	$	1,408	$	1,433

XML

Available-for-Sale Securities (Tables)

3 Months Ended

Mar. 31, 2016

Schedule of Available-for-sale Securities [Line Items]

Available-for-sale Securities [Table Text Block]

Available-for-sale (AFS) securities by major security type as of March 31, 2016, and December 31, 2015, were as follows:

March 31, 2016
	Amortized Cost(1)		OTTI Recognized in AOCI			Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value
PLRMBS:
Prime	$	470	$	(2	)	$	19	$	—		$	487
Alt-A, option ARM	938		(47		)	50		(5		)	936
Alt-A, other	3,749		(144		)	120		(3		)	3,722
Total	$	5,157	$	(193	)	$	189	$	(8	)	$	5,145

December 31, 2015
	Amortized Cost(1)		OTTI Recognized in AOCI			Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value
PLRMBS:
Prime	$	489	$	(1	)	$	23	$	—		$	511
Alt-A, option ARM	956		(37		)	64		(3		)	980
Alt-A, other	3,926		(127		)	135		(11		)	3,923
Total	$	5,371	$	(165	)	$	222	$	(14	)	$	5,414

(1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings.

Available-for-sale Securities [Member]

Schedule of Available-for-sale Securities [Line Items]

Schedule of Unrealized Loss on Investments [Table Text Block]

The following table summarizes the AFS securities with unrealized losses as of March 31, 2016, and December 31, 2015. The unrealized losses are aggregated by major security type and the length of time that individual securities have been in a continuous unrealized loss position. Total unrealized losses in the following table will not agree to total gross unrealized losses in the table above. The unrealized losses in the following table also include non-credit-related OTTI losses recognized in AOCI. For OTTI analysis of AFS securities, see Note 6 – Other-Than-Temporary Impairment Analysis.

March 31, 2016
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
PLRMBS:
Prime	$	—	$	—	$	23	$	2	$	23	$	2
Alt-A, option ARM	208		1		414		51		622		52
Alt-A, other	355		5		1,425		142		1,780		147
Total	$	563	$	6	$	1,862	$	195	$	2,425	$	201

December 31, 2015
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
PLRMBS:
Prime	$	—	$	—	$	25	$	1	$	25	$	1
Alt-A, option ARM	—		—		435		40		435		40
Alt-A, other	168		2		1,521		136		1,689		138
Total	$	168	$	2	$	1,981	$	177	$	2,149	$	179

Schedule of Interest Rate Payment Terms For Investments [Table Text Block]

Interest rate payment terms for AFS securities at March 31, 2016, and December 31, 2015, are shown in the following table:

	March 31, 2016		December 31, 2015
Amortized cost of AFS PLRMBS:
Collateralized mortgage obligations:
Fixed rate	$	1,468	$	1,540
Adjustable rate	3,689		3,831
Total	$	5,157	$	5,371

Schedule of Investments With Converted Interest Rate [Table Text Block]

Certain MBS classified as fixed rate collateralized mortgage obligations have an initial fixed interest rate that subsequently converts to an adjustable interest rate on a specified date as follows:

	March 31, 2016		December 31, 2015
Collateralized mortgage obligations:
Converts in 1 year or less	$	165	$	102
Converts after 1 year through 5 years	29		99
Total	$	194	$	201

XML

Held-to-Maturity Securities (Tables)

3 Months Ended

Mar. 31, 2016

Schedule of Held-to-maturity Securities [Line Items]

Held-to-maturity Securities [Table Text Block]

The Bank classifies the following securities as HTM because the Bank has the positive intent and ability to hold these securities to maturity:

March 31, 2016
	Amortized Cost(1)		OTTI Recognized in AOCI(1)			Carrying Value(1)		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses			Estimated Fair Value
Housing finance agency bonds:
California Housing Finance Agency (CalHFA) bonds	$	273	$	—		$	273	$	—	$	(29	)	$	244
MBS:
Other U.S. obligations – Ginnie Mae	1,177		—			1,177		25		(1		)	1,201
GSEs:
Freddie Mac	3,506		—			3,506		58		—			3,564
Fannie Mae	3,897		—			3,897		93		(3		)	3,987
Subtotal GSEs	7,403		—			7,403		151		(3		)	7,551
PLRMBS:
Prime	858		—			858		—		(32		)	826
Alt-A, other	566		(13		)	553		12		(15		)	550
Subtotal PLRMBS	1,424		(13		)	1,411		12		(47		)	1,376
Total MBS	10,004		(13		)	9,991		188		(51		)	10,128
Total	$	10,277	$	(13	)	$	10,264	$	188	$	(80	)	$	10,372

December 31, 2015
	Amortized Cost(1)		OTTI Recognized in AOCI(1)			Carrying Value(1)		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses			Estimated Fair Value
Housing finance agency bonds:
California Housing Finance Agency (CalHFA) bonds	$	275	$	—		$	275	$	—	$	(33	)	$	242
MBS:
Other U.S. obligations – Ginnie Mae	1,227		—			1,227		4		(3		)	1,228
GSEs:
Freddie Mac	3,677		—			3,677		39		(20		)	3,696
Fannie Mae	4,136		—			4,136		70		(12		)	4,194
Subtotal GSEs	7,813		—			7,813		109		(32		)	7,890
PLRMBS:
Prime	905		—			905		—		(27		)	878
Alt-A, other	596		(14		)	582		14		(13		)	583
Subtotal PLRMBS	1,501		(14		)	1,487		14		(40		)	1,461
Total MBS	10,541		(14		)	10,527		127		(75		)	10,579
Total	$	10,816	$	(14	)	$	10,802	$	127	$	(108	)	$	10,821

(1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings. The carrying value of HTM securities represents amortized cost after adjustment for non-credit-related OTTI recognized in AOCI.

Held-to-maturity Securities [Member]

Schedule of Held-to-maturity Securities [Line Items]

Schedule of Unrealized Loss on Investments [Table Text Block]

The following tables summarize the HTM securities with unrealized losses as of March 31, 2016, and December 31, 2015. The unrealized losses are aggregated by major security type and the length of time that individual securities have been in a continuous unrealized loss position. Total unrealized losses in the following table will not agree to the total gross unrecognized holding losses in the table above. The unrealized losses in the following table also include non-credit-related OTTI losses recognized in AOCI. For OTTI analysis of HTM securities, see Note 6 – Other-Than-Temporary Impairment Analysis.

March 31, 2016
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
Housing finance agency bonds:
CalHFA bonds	$	—	$	—	$	244	$	29	$	244	$	29
MBS:
Other U.S. obligations – Ginnie Mae	129		1		1		—		130		1
GSEs:
Freddie Mac	50		—		19		—		69		—
Fannie Mae	81		—		112		3		193		3
Subtotal GSEs	131		—		131		3		262		3
PLRMBS:
Prime	188		3		638		29		826		32
Alt-A, other	8		—		542		28		550		28
Subtotal PLRMBS	196		3		1,180		57		1,376		60
Total MBS	456		4		1,312		60		1,768		64
Total	$	456	$	4	$	1,556	$	89	$	2,012	$	93

December 31, 2015
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
Housing finance agency bonds:
CalHFA bonds	$	—	$	—	$	240	$	33	$	240	$	33
MBS:
Other U.S. obligations – Ginnie Mae	799		3		2		—		801		3
GSEs:
Freddie Mac	1,736		20		20		—		1,756		20
Fannie Mae	1,095		9		154		3		1,249		12
Subtotal GSEs	2,831		29		174		3		3,005		32
PLRMBS:
Prime	165		1		676		26		841		27
Alt-A, other	10		—		573		27		583		27
Subtotal PLRMBS	175		1		1,249		53		1,424		54
Total MBS	3,805		33		1,425		56		5,230		89
Total	$	3,805	$	33	$	1,665	$	89	$	5,470	$	122

Investments Classified by Contractual Maturity Date [Table Text Block]

The amortized cost, carrying value, and estimated fair value of non-MBS securities by contractual maturity (based on contractual final principal payment) and of MBS as of March 31, 2016, and December 31, 2015, are shown below. Expected maturities of MBS will differ from contractual maturities because borrowers generally have the right to prepay the underlying obligations without prepayment fees.

March 31, 2016
Year of Contractual Maturity	Amortized Cost(1)		Carrying Value(1)		Estimated Fair Value
HTM securities other than MBS:
Due after 5 years through 10 years	$	61	$	61	$	56
Due after 10 years	212		212		188
Subtotal	273		273		244
MBS	10,004		9,991		10,128
Total	$	10,277	$	10,264	$	10,372

December 31, 2015
Year of Contractual Maturity	Amortized Cost(1)		Carrying Value(1)		Estimated Fair Value
HTM securities other than MBS:
Due after 5 years through 10 years	$	60	$	60	$	56
Due after 10 years	215		215		186
Subtotal	275		275		242
MBS	10,541		10,527		10,579
Total	$	10,816	$	10,802	$	10,821

(1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings. The carrying value of HTM securities represents amortized cost after adjustment for non-credit-related OTTI recognized in AOCI.

Schedule of Interest Rate Payment Terms For Investments [Table Text Block]

Interest rate payment terms for HTM securities at March 31, 2016, and December 31, 2015, are detailed in the following table:

	March 31, 2016		December 31, 2015
Amortized cost of HTM securities other than MBS:
Adjustable rate	$	273	$	275
Subtotal	273		275
Amortized cost of HTM MBS:
Passthrough securities:
Fixed rate	134		146
Adjustable rate	400		416
Collateralized mortgage obligations:
Fixed rate	6,842		7,224
Adjustable rate	2,628		2,755
Subtotal	10,004		10,541
Total	$	10,277	$	10,816

Schedule of Investments With Converted Interest Rate [Table Text Block]

Certain MBS classified as fixed rate passthrough securities and fixed rate collateralized mortgage obligations have an initial fixed interest rate that subsequently converts to an adjustable interest rate on a specified date as follows:

	March 31, 2016		December 31, 2015
Passthrough securities:
Converts in 1 year or less	$	21	$	22
Converts after 1 year through 5 years	107		119
Total	$	128	$	141
Collateralized mortgage obligations:
Converts in 1 year or less	$	6	$	7
Converts after 1 year through 5 years	13		13
Total	$	19	$	20

XML

Other-Than-Temporary Impairment Analysis (Tables)

3 Months Ended

Mar. 31, 2016

Other than Temporary Impairment Losses, Investments [Abstract]

Schedule of Significant Inputs In Measuring Other Than Temporary Impairments Recognized In Earnings [Table Text Block]

For securities determined to be other-than-temporarily impaired as of March 31, 2016 (securities for which the Bank determined that it does not expect to recover the entire amortized cost basis), the following table presents a summary of the significant inputs used in measuring the amount of credit loss recognized in earnings during the first quarter of 2016, and the related current credit enhancement for the Bank.

March 31, 2016
	Significant Inputs for Other-Than-Temporarily Impaired PLRMBS			Current
	Prepayment Rates	Default Rates	Loss Severities	Credit Enhancement
Year of Securitization	Weighted Average % (1)	Weighted Average % (1)	Weighted Average % (1)	Weighted Average % (1)
Prime
2006	14.7	17.7	34.5	—
Total Prime	14.7	17.7	34.5	—
Alt-A, option ARM
2007	7.0	30.8	39.8	22.5
Total Alt-A, option ARM	7.0	30.8	39.8	22.5
Alt-A, other
2007	10.2	28.2	37.0	2.9
2005	13.6	14.9	39.5	3.8
Total Alt-A, other	11.9	21.7	38.2	3.3
Total	10.4	24.3	38.7	8.9

(1) Weighted average percentage is based on unpaid principal balance.

Other than Temporary Impairment, Credit Losses Recognized in Earnings [Table Text Block]

The following table presents the credit-related OTTI, which is recognized in earnings, for the three months ended March 31, 2016 and 2015.

	Three Months Ended
	March 31, 2016			March 31, 2015
Balance, beginning of the period	$	1,255		$	1,314
Additional charges on securities for which OTTI was previously recognized(1)	7			2
Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities(2)	(23		)	(19		)
Balance, end of the period	$	1,239		$	1,297

(1) For the three months ended March 31, 2016 and 2015, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2016 and 2015, respectively.

(2) The total accretion or amortization associated with other-than-temporarily impaired PLRMBS (amount recognized in interest income) totaled $26 and $19 for the three months ended March 31, 2016 and 2015, respectively.

Schedule of Transfers From Held to Maturity to Available for Sale [Table Text Block]

The following table summarizes the PLRMBS transferred from the Bank’s HTM portfolio to its AFS portfolio during the three months ended March 31, 2015. The amounts shown represent the values when the securities were transferred from the HTM portfolio to the AFS portfolio. The Bank did not transfer any PLRMBS from its HTM portfolio to its AFS portfolio during the three months ended March 31, 2016.

	Three Months Ended March 31, 2015
	Amortized Cost		OTTI Recognized in AOCI		Gross Unrecognized Holding Gains (Losses)		Estimated Fair Value
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
Prime	$	4	$	—	$	—	$	4
Total	$	4	$	—	$	—	$	4

Schedule of Other Than Temporarily Impaired Charges Incurred During Life of the Securities [Table Text Block]

The following tables present the Bank’s AFS and HTM PLRMBS that incurred OTTI losses anytime during the life of the securities at March 31, 2016, and December 31, 2015, by loan collateral type:

March 31, 2016
	Available-for-Sale Securities						Held-to-Maturity Securities
	Unpaid Principal Balance		Amortized Cost		Estimated Fair Value		Unpaid Principal Balance		Amortized Cost		Carrying Value		Estimated Fair Value
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
Prime	$	568	$	470	$	487	$	—	$	—	$	—	$	—
Alt-A, option ARM	1,237		938		936		—		—		—		—
Alt-A, other	4,324		3,749		3,722		107		103		90		103
Total	$	6,129	$	5,157	$	5,145	$	107	$	103	$	90	$	103

December 31, 2015
	Available-for-Sale Securities						Held-to-Maturity Securities
	Unpaid Principal Balance		Amortized Cost		Estimated Fair Value		Unpaid Principal Balance		Amortized Cost		Carrying Value		Estimated Fair Value
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
Prime	$	591	$	489	$	511	$	—	$	—	$	—	$	—
Alt-A, option ARM	1,269		956		980		—		—		—		—
Alt-A, other	4,524		3,926		3,923		111		107		93		107
Total	$	6,384	$	5,371	$	5,414	$	111	$	107	$	93	$	107

XML

Advances (Tables)

3 Months Ended

Mar. 31, 2016

Federal Home Loan Banks [Abstract]

Federal Home Loan Bank, Advances [Table Text Block]

The following table summarizes advances at March 31, 2016, and December 31, 2015, by the earlier of the year of contractual maturity or next call date for callable advances and by the earlier of the year of contractual maturity or next put date for putable advances.

	Earlier of Contractual Maturity or Next Call Date				Earlier of Contractual Maturity or Next Put Date
	March 31, 2016		December 31, 2015		March 31, 2016		December 31, 2015
Within 1 year	$	24,054	$	25,983	$	23,082	$	24,947
After 1 year through 2 years	9,093		6,124		4,515		4,152
After 2 years through 3 years	5,942		8,432		8,302		6,168
After 3 years through 4 years	4,625		3,173		4,325		6,877
After 4 years through 5 years	3,842		5,706		4,157		2,022
After 5 years	1,437		1,423		4,612		6,675
Total par value	$	48,993	$	50,841	$	48,993	$	50,841

The following tables present the concentration in advances to the top five borrowers and their affiliates at March 31, 2016 and 2015. The tables also present the interest income from

these advances before the impact of interest rate exchange agreements associated with these advances for the three months ended March 31, 2016 and 2015.

	March 31, 2016				Three Months Ended March 31, 2016
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
JPMorgan Chase Bank, National Association(2)(3)	$	14,812	30	%	$	24	20	%
Bank of the West	6,640		14		12		10
First Republic Bank	3,800		8		16		13
CIT Bank, National Association(4)	3,114		6		7		6
Citigroup Inc
Citibank, N.A.(2)	3,000		6		3		2
Banamex USA	—		—		—		—
Subtotal Citigroup Inc	3,000		6		3		2
Subtotal	31,366		64		62		51
Others	17,627		36		60		49
Total par value	$	48,993	100	%	$	122	100	%

	March 31, 2015				Three Months Ended March 31, 2015
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
JPMorgan Chase & Co.:
JPMorgan Bank & Trust Company, National Association(3)	$	7,700	18	%	$	11	12	%
JPMorgan Chase Bank, National Association(2)	818		2		2		2
Subtotal JPMorgan Chase & Co.	8,518		20		13		14
Bank of the West	5,187		12		6		6
First Republic Bank	4,925		11		20		21
Bank of America California, N.A.	4,000		9		2		2
Citigroup Inc
Citibank, N.A.(2)	3,000		7		1		1
Banamex USA	—		—		—		—
Subtotal Citigroup Inc	3,000		7		1		1
Subtotal	25,630		59		42		44
Others	17,928		41		54		56
Total par value	$	43,558	100	%	$	96	100	%

(1) Interest income amounts exclude the interest effect of interest rate exchange agreements with derivative counterparties; as a result, the total interest income amounts will not agree to the Statements of Income. The amount of interest income from advances can vary depending on the amount outstanding, terms to maturity, interest rates, and repricing characteristics.

(2) Nonmember institution.

(3) Effective August 31, 2015, JPMorgan Bank & Trust Company, National Association (JPMorgan B&T), merged with and into JPMorgan Chase Bank, National Association (JPMorgan Chase). As a result, JPMorgan B&T is no longer a member of the Bank. Upon the merger, all of the Bank capital stock held by JPMorgan B&T was transferred to JPMorgan Chase, a nonmember of the Bank, and reclassified as mandatorily redeemable capital stock, and all advances to JPMorgan B&T were transferred to JPMorgan Chase.

(4) Effective August 3, 2015, CIT Bank merged with and into OneWest Bank, which was renamed CIT Bank, National Association.

The net amount of prepayment fees is reflected as interest income in the Statements of Income for the three months ended March 31, 2016 and 2015, as follows:

	Three Months Ended
	March 31, 2016		March 31, 2015
Prepayment fees received	$	—	$	14
Fair value adjustments	2		(14		)
Net	$	2	$	—
Advance principal prepaid	$	770	$	607

Interest rate payment terms for advances at March 31, 2016, and December 31, 2015, are detailed below:

	March 31, 2016		December 31, 2015
Par value of advances:
Fixed rate:
Due within 1 year	$	13,211	$	13,073
Due after 1 year	8,847		9,381
Total fixed rate	22,058		22,454
Adjustable rate:
Due within 1 year	9,731		11,734
Due after 1 year	17,204		16,653
Total adjustable rate	26,935		28,387
Total par value	$	48,993	$	50,841

The Bank had advances outstanding, excluding overdrawn demand deposit accounts, at interest rates ranging from 0.34% to 8.57% at March 31, 2016, and 0.25% to 8.57% at December 31, 2015, as summarized below.

	March 31, 2016				December 31, 2015
Contractual Maturity	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding		Weighted Average Interest Rate
Within 1 year	$	22,942	0.68	%	$	24,807	0.59	%
After 1 year through 2 years	4,655		1.26		4,252		1.19
After 2 years through 3 years	8,302		1.09		6,208		1.19
After 3 years through 4 years	4,325		1.05		6,877		0.89
After 4 years through 5 years	4,157		1.00		2,022		1.11
After 5 years	4,612		1.45		6,675		1.11
Total par value	48,993		0.94	%	50,841		0.84	%
Valuation adjustments for hedging activities	91				40
Valuation adjustments under fair value option	85				38
Total	$	49,169			$	50,919

XML

Mortgage Loans Held for Portfolio (Tables)

3 Months Ended

Mar. 31, 2016

Mortgage Loans on Real Estate [Abstract]

Schedule of Participating Mortgage Loans [Table Text Block]

The following table presents information as of March 31, 2016, and December 31, 2015, on mortgage loans, all of which are secured by one- to four-unit residential properties and single-unit second homes.

	March 31, 2016			December 31, 2015
Fixed rate medium-term mortgage loans	$	87		$	100
Fixed rate long-term mortgage loans	542			553
Subtotal	629			653
Unamortized premiums	9			10
Unamortized discounts	(6		)	(8		)
Mortgage loans held for portfolio	632			655
Less: Allowance for credit losses	—			—
Total mortgage loans held for portfolio, net	$	632		$	655

XML

Allowance for Credit Losses (Tables)

3 Months Ended

Mar. 31, 2016

Loans and Leases Receivable, Allowance [Abstract]

Past Due Financing Receivables [Table Text Block]

The following table presents information on delinquent mortgage loans as of March 31, 2016, and December 31, 2015.

	March 31, 2016			December 31, 2015
	Recorded Investment(1)			Recorded Investment(1)
30 – 59 days delinquent	$	13		$	10
60 – 89 days delinquent	3			5
90 days or more delinquent	17			18
Total past due	33			33
Total current loans	602			625
Total mortgage loans	$	635		$	658
In process of foreclosure, included above(2)	$	7		$	7
Nonaccrual loans	$	17		$	18
Loans past due 90 days or more and still accruing interest	$	—		$	—
Serious delinquencies as a percentage of total mortgage loans outstanding(3)	2.69		%	2.76		%

(1) The recorded investment in a loan is the unpaid principal balance of the loan, adjusted for accrued interest, net deferred loan fees or costs, unamortized premiums or discounts, and direct write-downs. The recorded investment is not net of any valuation allowance.

(2) Includes loans for which the servicer has reported a decision to foreclose or to pursue a similar alternative, such as deed-in-lieu. Loans in process of foreclosure are included in past due or current loans depending on their delinquency status.

(3) Represents loans that are 90 days or more past due or in the process of foreclosure as a percentage of the recorded investment of total mortgage loans outstanding.

Allowance for Credit Losses on Financing Receivables [Table Text Block]

The allowance for credit losses on the mortgage loan portfolio was as follows:

	Three Months Ended
	March 31, 2016		March 31, 2015
Balance, beginning of the period	$	—	$	1
(Charge-offs) /recoveries	—		(1		)
Provision for/(reversal of) credit losses	—		—
Balance, end of the period	$	—	$	—

Schedule of Allowance for Credit Losses and Recorded Investment by Impairment Methodology [Table Text Block]

The allowance for credit losses and recorded investment by impairment methodology for individually and collectively evaluated impaired loans are as follows:

	March 31, 2016		December 31, 2015
Allowance for credit losses, end of period:
Individually evaluated for impairment	$	—	$	—
Total allowance for credit losses	$	—	$	—
Recorded investment, end of period:
Individually evaluated for impairment	$	13	$	14
Collectively evaluated for impairment	622		644
Total recorded investment	$	635	$	658

Schedule of Recorded Investment, Unpaid Principal Balance and Related Allowance of Impaired Loans [Table Text Block]

The recorded investment, unpaid principal balance, and related allowance of impaired loans individually evaluated for impairment are as follows:

	March 31, 2016						December 31, 2015
	Recorded Investment		Unpaid Principal Balance		Related Allowance		Recorded Investment		Unpaid Principal Balance		Related Allowance
With no related allowance	$	12	$	12	$	—	$	13	$	13	$	—
With an allowance	1		1		—		1		1		—
Total	$	13	$	13	$	—	$	14	$	14	$	—

Schedule of Average Recorded Investment on Impaired Loans [Table Text Block]

The average recorded investment on impaired loans individually evaluated for impairment is as follows:

	Three Months Ended
	March 31, 2016		March 31, 2015
With no related allowance	$	12	$	14
With an allowance	1		4
Total	$	13	$	18

XML

Deposits (Tables)

3 Months Ended

Mar. 31, 2016

Deposits [Abstract]

Schedule of Deposit Liabilities by Component [Table Text Block]

Deposits as of March 31, 2016, and December 31, 2015, were as follows:

	March 31, 2016		December 31, 2015
Interest-bearing deposits:
Demand and overnight	$	212	$	124
Total interest-bearing deposits	212		124
Non-interest-bearing deposits	2		3
Total	$	214	$	127

Schedule of Interest Rate Payment Terms On Deposit Liabilities [Table Text Block]

Interest rate payment terms for deposits at March 31, 2016, and December 31, 2015, are detailed in the following table:

	March 31, 2016				December 31, 2015
	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding		Weighted Average Interest Rate
Interest-bearing deposits – Adjustable rate	$	212	0.01	%	$	124	0.01	%
Non-interest-bearing deposits	2				3
Total	$	214			$	127

XML

Consolidated Obligations (Tables)

3 Months Ended

Mar. 31, 2016

Debt Disclosure [Abstract]

Schedule of Maturities of Long-term Debt [Table Text Block]

The following is a summary of the Bank’s participation in consolidated obligation bonds at March 31, 2016, and December 31, 2015.

	March 31, 2016					December 31, 2015
Contractual Maturity	Amount Outstanding			Weighted Average Interest Rate		Amount Outstanding			Weighted Average Interest Rate
Within 1 year	$	36,471		0.94	%	$	29,114		1.03	%
After 1 year through 2 years	9,170			1.15		11,264			0.91
After 2 years through 3 years	5,059			1.34		5,162			1.28
After 3 years through 4 years	1,630			1.52		1,430			1.44
After 4 years through 5 years	1,915			1.69		1,740			1.67
After 5 years	2,796			2.48		2,982			2.43
Total par value	57,041			1.13	%	51,692			1.14	%
Unamortized premiums	21					27
Unamortized discounts	(14		)			(17		)
Valuation adjustments for hedging activities	156					142
Fair value option valuation adjustments	3					(17		)
Total	$	57,207				$	51,827

Schedule of Long-term Debt by Call Feature [Table Text Block]

The Bank’s participation in consolidated obligation bonds at March 31, 2016, and December 31, 2015, was as follows:  

	March 31, 2016		December 31, 2015
Par value of consolidated obligation bonds:
Non-callable	$	48,411	$	43,687
Callable	8,630		8,005
Total par value	$	57,041	$	51,692

Schedule of Maturities of Long-term Debt by Contractual or Next Call Date [Table Text Block]

The following is a summary of the Bank’s participation in consolidated obligation bonds outstanding at March 31, 2016, and December 31, 2015, by the earlier of the year of contractual maturity or next call date.

Earlier of Contractual Maturity or Next Call Date	March 31, 2016		December 31, 2015
Within 1 year	$	44,521	$	36,469
After 1 year through 2 years	8,695		10,914
After 2 years through 3 years	2,959		3,282
After 3 years through 4 years	515		455
After 4 years through 5 years	260		395
After 5 years	91		177
Total par value	$	57,041	$	51,692

Schedule of Short-term Debt [Table Text Block]

The Bank’s participation in consolidated obligation discount notes, all of which are due within one year, was as follows:

	March 31, 2016					December 31, 2015
	Amount Outstanding			Weighted Average Interest Rate (1)		Amount Outstanding			Weighted Average Interest Rate (1)
Par value	$	21,113		0.37	%	$	27,663		0.25	%
Unamortized discounts	(18		)			(16		)
Total	$	21,095				$	27,647

Schedule of Interest Rate Payment Terms for Debt [Table Text Block]

Interest rate payment terms for consolidated obligations at March 31, 2016, and December 31, 2015, are detailed in the following table. For information on the general terms and types of

consolidated obligations outstanding, see “Item 8. Financial Statements and Supplementary Data – Note 12 –

Consolidated Obligations” in the Bank’s 2015 Form 10-K.

	March 31, 2016		December 31, 2015
Par value of consolidated obligations:
Bonds:
Fixed rate	$	28,216	$	28,942
Adjustable rate	27,330		20,815
Step-up	745		1,110
Step-down	550		550
Fixed rate that converts to adjustable rate	100		175
Range bonds	100		100
Total bonds, par value	57,041		51,692
Discount notes, par value	21,113		27,663
Total consolidated obligations, par value	$	78,154	$	79,355

XML

Accumulated Other Comprehensive Income (Loss) (Tables)

3 Months Ended

Mar. 31, 2016

Accumulated Other Comprehensive Income (Loss), Net of Tax [Abstract]

Schedule of Accumulated Other Comprehensive Income (Loss) [Table Text Block]

The following table summarizes the changes in AOCI for the three months ended March 31, 2016 and 2015:

	Net Non-Credit-Related OTTI Loss on AFS Securities			Net Non-Credit-Related OTTI Loss on HTM Securities			Pension and Postretirement Benefits			Total AOCI
Balance, December 31, 2014	$	88		$	(20	)	$	(12	)	$	56
Other comprehensive income/(loss) before reclassifications:
Non-credit-related OTTI loss	(3		)	—						(3		)
Net change in fair value	20									20
Accretion of non-credit-related OTTI loss				2						2
Reclassification from other comprehensive income/(loss) to net income/(loss):
Non-credit-related OTTI to credit-related OTTI	1			—						1
Net current period other comprehensive income/(loss)	18			2			—			20
Balance, March 31, 2015	$	106		$	(18	)	$	(12	)	$	76
Balance, December 31, 2015	$	43		$	(14	)	$	(14	)	$	15
Other comprehensive income/(loss) before reclassifications:
Net change in pension and postretirement benefits							1			1
Non-credit-related OTTI loss	(10		)	—						(10		)
Net change in fair value	(47		)							(47		)
Accretion of non-credit-related OTTI loss				1						1
Reclassification from other comprehensive income/(loss) to net income/(loss):
Non-credit-related OTTI to credit-related OTTI	2			—						2
Net current period other comprehensive income/(loss)	(55		)	1			1			(53		)
Balance, March 31, 2016	$	(12	)	$	(13	)	$	(13	)	$	(38	)

XML

Capital (Tables)

3 Months Ended

Mar. 31, 2016

Capital [Abstract]

Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations [Table Text Block]

As of March 31, 2016, and December 31, 2015, the Bank was in compliance with these capital rules and requirements as shown in the following table.

	March 31, 2016						December 31, 2015
	Required			Actual			Required			Actual
Risk-based capital	$	2,562		$	5,415		$	2,684		$	5,369
Total regulatory capital	$	3,390		$	5,415		$	3,428		$	5,369
Total regulatory capital ratio	4.00		%	6.39		%	4.00		%	6.26		%
Leverage capital	$	4,237		$	8,123		$	4,285		$	8,054
Leverage ratio	5.00		%	9.58		%	5.00		%	9.40		%

Schedule of Mandatorily Redeemable Capital Stock [Table Text Block]

The Bank had mandatorily redeemable capital stock totaling $486 outstanding to nine institutions at March 31, 2016, and $488 outstanding to nine institutions at December 31, 2015. The change in mandatorily redeemable capital stock for the three months ended March 31, 2016 and 2015, was as follows:

	Three Months Ended
	March 31, 2016			March 31, 2015
Balance at the beginning of the period	$	488		$	719
Reclassified from/(to) capital during the period	52			8
Redemption of mandatorily redeemable capital stock	—			(6		)
Repurchase of excess mandatorily redeemable capital stock	(54		)	(338		)
Balance at the end of the period	$	486		$	383

Schedule of Mandatorily Redeemable Capital Stock by Maturity Date [Table Text Block]

The following table presents mandatorily redeemable capital stock amounts by contractual redemption period at March 31, 2016, and December 31, 2015.

Contractual Redemption Period	March 31, 2016		December 31, 2015
Within 1 year	$	81	$	82
After 1 year through 2 years	—		1
After 3 years through 4 years	2		—
After 4 years through 5 years	379		381
Past contractual redemption date because of remaining activity(1)	24		24
Total	$	486	$	488

(1) Represents mandatorily redeemable capital stock that is past the end of the contractual redemption period because of outstanding activity.

Schedule of Restricted Retained Earnings [Table Text Block]

The following table summarizes the activity related to retained earnings for the three months ended March 31, 2016 and 2015:

				Restricted Retained Earnings Related to:
	Unrestricted Retained Earnings			Valuation Adjustments			Buildup		Joint Capital Enhancement Agreement		Total Restricted Retained Earnings		Total Retained Earnings
Balance, December 31, 2014	$	294		$	35		$	1,800	$	230	$	2,065	$	2,359
Net income	389			(10		)	—		95		85		474
Cash dividends on capital stock	(59		)	—			—		—		—		(59		)
Balance, March 31, 2015	$	624		$	25		$	1,800	$	325	$	2,150	$	2,774
Balance, December 31, 2015	$	610		$	10		$	1,650	$	358	$	2,018	$	2,628
Net income	195			(10		)	—		46		36		231
Cash dividends on capital stock	(45		)	—			—		—		—		(45		)
Balance, March 31, 2016	$	760		$	—		$	1,650	$	404	$	2,054	$	2,814

XML

Segment Information (Tables)

3 Months Ended

Mar. 31, 2016

Segment Reporting [Abstract]

Reconciliation of Operating Profit (Loss) from Segments to Consolidated [Table Text Block]

The following table presents the Bank’s adjusted net interest income by operating segment and reconciles total adjusted net interest income to income before the AHP assessment for the three months ended March 31, 2016 and 2015.

	Advances- Related Business		Mortgage- Related Business(1)		Adjusted Net Interest Income		Amortization of Basis Adjustments(2)			Income/(Expense) on Economic Hedges(3)			Interest Expense on Mandatorily Redeemable Capital Stock(4)		Net Interest Income After Mortgage Loan Loss Provision		Other Income/ (Loss)		Other Expense		Income Before AHP Assessment
Three months ended:
March 31, 2016	$	36	$	86	$	122	$	(2	)	$	(9	)	$	10	$	123	$	171	$	36	$	258
March 31, 2015	35		93		128		(8		)	(9		)	15		130		432		34		528

(1) The mortgage-related business includes total accretion or amortization associated with other-than-temporarily impaired PLRMBS, which are recognized in interest income, and totaled $26 and $19 for the three months ended March 31, 2016 and 2015, respectively. The mortgage-related business does not include credit-related OTTI losses of $7 and $2 for the three months ended March 31, 2016 and 2015, respectively.

(2) Represents amortization of amounts deferred for adjusted net interest income purposes only, in accordance with the Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework.

(3) The Bank includes income and expense associated with net settlements from economic hedges in adjusted net interest income in its analysis of financial performance for its two operating segments. For financial reporting purposes, the Bank does not include these amounts in net interest income in the Statements of Income, but instead records them in other income in “Net gain/(loss) on derivatives and hedging activities.”

(4) The Bank excludes interest expense on mandatorily redeemable capital stock from adjusted net interest income in its analysis of financial performance for its two operating segments.

Schedule of Segment Assets by Segment [Table Text Block]

The following table presents total assets by operating segment at March 31, 2016, and December 31, 2015.

	Advances- Related Business		Mortgage- Related Business		Total Assets
March 31, 2016	$	68,917	$	15,822	$	84,739
December 31, 2015	69,047		16,651		85,698

XML

Derivatives and Hedging Activities (Tables)

3 Months Ended

Mar. 31, 2016

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block]

The following table summarizes the fair value of derivative instruments including the effect of netting adjustments and cash collateral as of March 31, 2016, and December 31, 2015. For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest.

	March 31, 2016								December 31, 2015
	Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities			Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	28,573	$	233		$	100		$	27,110	$	192		$	71
Total	28,573		233			100			27,110		192			71
Derivatives not designated as hedging instruments:
Interest rate swaps	44,358		63			118			50,444		58			71
Interest rate caps and floors	2,230		3			2			2,230		6			1
Mortgage delivery commitments	7		—			—			5		—			—
Total	46,595		66			120			52,679		64			72
Total derivatives before netting and collateral adjustments	$	75,168	299			220			$	79,789	256			143
Netting adjustments and cash collateral(1)			(260		)	(211		)			(212		)	(137		)
Total derivative assets and total derivative liabilities			$	39		$	9				$	44		$	6

(1) Amounts include the netting of derivative assets and liabilities by counterparty, including cash collateral and related accrued interest, where the netting requirements have been met. Cash collateral posted and related accrued interest was $60 and $57 at March 31, 2016, and December 31, 2015, respectively. Cash collateral received and related accrued interest was $109 and $132 at March 31, 2016, and December 31, 2015, respectively.

Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance [Table Text Block]

The following table presents the components of net gain/(loss) on derivatives and hedging activities as presented in the Statements of Income for the three months ended March 31, 2016 and 2015.

	Three Months Ended
	March 31, 2016			March 31, 2015
	Gain/(Loss)			Gain/(Loss)
Derivatives designated as hedging instruments:
Interest rate swaps	$	(4	)	$	(7	)
Total net gain/(loss) related to fair value hedge ineffectiveness	(4		)	(7		)
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	(49		)	(3		)
Interest rate caps and floors	(3		)	(2		)
Net settlements	(9		)	(9		)
Total net gain/(loss) related to derivatives not designated as hedging instruments	(61		)	(14		)
Net gain/(loss) on derivatives and hedging activities	$	(65	)	$	(21	)

Schedule of Derivative Instruments By Type, Gain (Loss) in Statement of Financial Performance [Table Text Block]

The following table presents, by type of hedged item, the gains and losses on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on the Bank’s net interest income for the three months ended March 31, 2016 and 2015.

	Three Months Ended
	March 31, 2016												March 31, 2015
Hedged Item Type	Gain/(Loss) on Derivatives			Gain /(Loss) on Hedged Item			Net Fair Value Hedge Ineffectiveness			Effect of Derivatives on Net Interest Income(1)			Gain/(Loss) on Derivatives			Gain /(Loss) on Hedged Item		Net Fair Value Hedge Ineffectiveness			Effect of Derivatives on Net Interest Income(1)
Advances	$	(49	)	$	49		$	—		$	(18	)	$	(38	)	$	38	$	—		$	(28	)
Consolidated obligation bonds	11			(15		)	(4		)	53			(15		)	8		(7		)	62
Total	$	(38	)	$	34		$	(4	)	$	35		$	(53	)	$	46	$	(7	)	$	34

(1) The net interest on derivatives in fair value hedge relationships is presented in the interest income/expense line item of the respective hedged item.

Schedule of Derivative Instruments, Offsetting Derivative Assets and Liabilities [Table Text Block]

The following table presents separately the fair value of derivative assets and derivative liabilities that have met the netting requirements, including the related collateral received from or pledged to counterparties as of March 31, 2016, and December 31, 2015.

	March 31, 2016						December 31, 2015
	Derivative Assets			Derivative Liabilities			Derivative Assets			Derivative Liabilities
Derivative instruments meeting netting requirements
Gross recognized amount
Uncleared derivatives	$	147		$	104		$	166		$	93
Cleared derivatives	152			116			90			50
Total gross recognized amount	299			220			256			143
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives	(135		)	(95		)	(149		)	(87		)
Cleared derivatives	(125		)	(116		)	(63		)	(50		)
Total gross amount of netting adjustments and cash collateral	(260		)	(211		)	(212		)	(137		)
Total derivative assets and total derivative liabilities
Uncleared derivatives	12			9			17			6
Cleared derivatives	27			—			27			—
Total derivative assets and derivative liabilities presented in the Statements of Condition	39			9			44			6
Non-cash collateral received or pledged not offset
Can be sold or repledged - Uncleared derivatives	11			—			11			—
Net unsecured amount
Uncleared derivatives	1			9			6			6
Cleared derivatives	27			—			27			—
Total net unsecured amount	$	28		$	9		$	33		$	6

XML

Fair Value (Tables)

3 Months Ended

Mar. 31, 2016

Fair Value Disclosures [Abstract]

Fair Value, by Balance Sheet Grouping [Table Text Block]

The following tables present the carrying value, the estimated fair value, and the fair value hierarchy level of the Bank’s financial instruments at March 31, 2016, and December 31, 2015.

	March 31, 2016
	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments(1)
Assets
Cash and due from banks	$	100	$	100	$	100	$	—	$	—	$	—
Interest-bearing deposits	450		450		450		—		—		—
Securities purchased under agreements to resell	12,500		12,500		—		12,500		—		—
Federal funds sold	4,599		4,599		—		4,599		—		—
Trading securities	1,408		1,408		—		1,408		—		—
AFS securities	5,145		5,145		—		—		5,145		—
HTM securities	10,264		10,372		—		8,752		1,620		—
Advances	49,169		49,142		—		49,142		—		—
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	632		671		—		671		—		—
Accrued interest receivable	54		54		—		54		—		—
Derivative assets, net(1)	39		39		—		299		—		(260		)
Other assets(2)	10		10		10		—		—		—
Liabilities
Deposits	214		214		—		214		—		—
Consolidated obligations:
Bonds	57,207		57,264		—		57,264		—		—
Discount notes	21,095		21,097		—		21,097		—		—
Total consolidated obligations	78,302		78,361		—		78,361		—		—
Mandatorily redeemable capital stock	486		486		486		—		—		—
Accrued interest payable	146		146		—		146		—		—
Derivative liabilities, net(1)	9		9		—		220		—		(211		)
Other
Standby letters of credit	22		22		—		22		—		—
Commitments to fund advances(3)	—		1		—		1		—		—

	December 31, 2015
	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments(1)
Assets
Cash and due from banks	$	1,637	$	1,637	$	1,637	$	—	$	—	$	—
Securities purchased under agreements to resell	10,000		10,000		—		10,000		—		—
Federal funds sold	4,626		4,626		—		4,626		—		—
Trading securities	1,433		1,433		—		1,433		—		—
AFS securities	5,414		5,414		—		—		5,414		—
HTM securities	10,802		10,821		—		9,118		1,703		—
Advances	50,919		50,844		—		50,844		—		—
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	655		694		—		694		—		—
Accrued interest receivable	56		56		—		56		—		—
Derivative assets, net(1)	44		44		—		256		—		(212		)
Other assets(2)	10		10		10		—		—		—
Liabilities
Deposits	127		127		—		127		—		—
Consolidated obligations:
Bonds	51,827		51,773		—		51,773		—		—
Discount notes	27,647		27,640		—		27,640		—		—
Total consolidated obligations	79,474		79,413		—		79,413		—		—
Mandatorily redeemable capital stock	488		488		488		—		—		—
Accrued interest payable	80		80		—		80		—		—
Derivative liabilities, net(1)	6		6		—		143		—		(137		)
Other
Standby letters of credit	18		18		—		18		—		—
Commitments to issue consolidated obligation bonds(3)	—		1		—		1		—		—

(1) Amounts include the netting of derivative assets and liabilities by counterparty, including cash collateral and related accrued interest, where the netting requirements have been met.

(2) Represents publicly traded mutual funds held in a grantor trust.

(3) Estimated fair values of these commitments are presented as a net gain or (loss). For more information regarding these commitments, see Note 17 – Commitments and Contingencies.

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Table Text Block]

The tables below present the fair value of assets and liabilities, which are recorded on a recurring or nonrecurring basis at March 31, 2016, and December 31, 2015, by level within the fair value hierarchy.

March 31, 2016
	Fair Value Measurement Using:						Netting
	Level 1		Level 2		Level 3		Adjustments(1)			Total
Recurring fair value measurements – Assets:
Trading securities:
GSEs – FFCB bonds	$	—	$	1,399	$	—	$	—		$	1,399
MBS:
Other U.S. obligations – Ginnie Mae	—		9		—		—			9
Total trading securities	—		1,408		—		—			1,408
AFS securities:
PLRMBS	—		—		5,145		—			5,145
Total AFS securities	—		—		5,145		—			5,145
Advances(2)	—		3,722		—		—			3,722
Derivative assets, net: interest rate-related	—		299		—		(260		)	39
Other assets	10		—		—		—			10
Total recurring fair value measurements – Assets	$	10	$	5,429	$	5,145	$	(260	)	$	10,324
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	3,613	$	—	$	—		$	3,613
Derivative liabilities, net: interest rate-related	—		220		—		(211		)	9
Total recurring fair value measurements – Liabilities	$	—	$	3,833	$	—	$	(211	)	$	3,622
Nonrecurring fair value measurements – Assets:(4)
Impaired mortgage loans held for portfolio	$	—	$	—	$	4	$	—		$	4
Total nonrecurring fair value measurements – Assets	$	—	$	—	$	4	$	—		$	4

December 31, 2015
	Fair Value Measurement Using:						Netting
	Level 1		Level 2		Level 3		Adjustments(1)			Total
Recurring fair value measurements – Assets:
Trading securities:
GSEs – FFCB bonds	$	—	$	1,424	$	—	$	—		$	1,424
MBS:
Other U.S. obligations – Ginnie Mae	—		9		—		—			9
Total trading securities	—		1,433		—		—			1,433
AFS securities:
PLRMBS	—		—		5,414		—			5,414
Total AFS securities	—		—		5,414		—			5,414
Advances(2)	—		3,677		—		—			3,677
Derivative assets, net: interest rate-related	—		256		—		(212		)	44
Other assets	10		—		—		—			10
Total recurring fair value measurements – Assets	$	10	$	5,366	$	5,414	$	(212	)	$	10,578
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	4,233	$	—	$	—		$	4,233
Derivative liabilities, net: interest rate-related	—		143		—		(137		)	6
Total recurring fair value measurements – Liabilities	$	—	$	4,376	$	—	$	(137	)	$	4,239
Nonrecurring fair value measurements – Assets:(4)
REO	$	—	$	—	$	1	$	—		$	1
Impaired mortgage loans held for portfolio	—		—		5		—			5
Total nonrecurring fair value measurements – Assets	$	—	$	—	$	6	$	—		$	6

(1) Amounts represent the netting of derivative assets and liabilities by counterparty, including cash collateral, where the netting requirements have been met.

(2) Represents advances recorded under the fair value option at March 31, 2016, and December 31, 2015.

(3) Represents consolidated obligation bonds recorded under the fair value option at March 31, 2016, and December 31, 2015.

(4) The fair value information presented is as of the date the fair value adjustment was recorded during the three months ended March 31, 2016, and the year ended December 31, 2015.

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block]

The following table presents a reconciliation of the Bank’s AFS PLRMBS that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three months ended March 31, 2016, and 2015.

	Three Months Ended
	March 31, 2016			March 31, 2015
Balance, beginning of the period	$	5,414		$	6,371
Total gain/(loss) realized and unrealized included in:
Interest income	26			19
Net OTTI loss, credit-related	(7		)	(2		)
Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI	(47		)	20
Net amount of OTTI loss reclassified to/(from) other income/(loss)	(8		)	(2		)
Settlements	(233		)	(222		)
Transfers of HTM securities to AFS securities	—			4
Balance, end of the period	$	5,145		$	6,188
Total amount of gain/(loss) for the period included in earnings attributable to the change in unrealized gains/losses relating to assets and liabilities still held at the end of the period	$	19		$	17

Fair Value, Option, Quantitative Disclosures [Table Text Block]

The following table summarizes the activity related to financial assets and liabilities for which the Bank elected the fair value option during the three months ended March 31, 2016 and 2015:

	Three Months Ended
	March 31, 2016						March 31, 2015
	Advances			Consolidated Obligation Bonds			Advances			Consolidated Obligation Bonds
Balance, beginning of the period	$	3,677		$	4,233		$	5,137		$	6,717
New transactions elected for fair value option	169			245			246			655
Maturities and terminations	(171		)	(885		)	(424		)	(1,025		)
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option	47			20			20			27
Change in accrued interest	—			—			(1		)	1
Balance, end of the period	$	3,722		$	3,613		$	4,978		$	6,375

Fair Value Option, Quantitative Disclosure, Difference Between Aggregate Fair Value and Aggregate Remaining Contractual Principal Balance Outstanding [Table Text Block]

The following table presents the difference between the aggregate remaining contractual principal balance outstanding and aggregate fair value of advances and consolidated obligation bonds for which the Bank elected the fair value option at March 31, 2016, and December 31, 2015:

	At March 31, 2016						At December 31, 2015
	Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance		Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance
Advances(1)	$	3,637	$	3,722	$	85	$	3,639	$	3,677	$	38
Consolidated obligation bonds	3,610		3,613		3		4,250		4,233		(17		)

(1) At March 31, 2016, and December 31, 2015, none of these advances were 90 days or more past due or had been placed on nonaccrual status.

XML

Commitments and Contingencies (Tables)

3 Months Ended

Mar. 31, 2016

Commitments and Contingencies Disclosure [Abstract]

Off-Balance Sheet Commitments [Table Text Block]

Off-balance sheet commitments as of March 31, 2016, and December 31, 2015, were as follows:

	March 31, 2016						December 31, 2015
	Expire Within One Year		Expire After One Year		Total		Expire Within One Year		Expire After One Year		Total
Standby letters of credit outstanding	$	10,634	$	3,782	$	14,416	$	9,072	$	3,237	$	12,309
Commitments to fund additional advances(1)	110		5		115		5		5		10
Commitments to issue consolidated obligation discount notes, par(2)	143		—		143		300		—		300
Commitments to issue consolidated obligation bonds, par(3)	15		—		15		110		—		110
Commitments to purchase mortgage loans	7		—		7		5		—		5

(1) AtMarch 31, 2016, and at December 31, 2015, none of the commitments to fund additional advances were hedged with associated interest rate swaps.

(2) AtMarch 31, 2016, $133 of the commitments to issue consolidated obligation discount notes were hedged with associated interest rate swaps. At December 31, 2015, none of the commitments to issue consolidated obligation discount notes were hedged with associated interest rate swaps.

(3) AtMarch 31, 2016, and at December 31, 2015, all of the commitments to issue consolidated obligation bonds were hedged with associated interest rate swaps.

XML

Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks (Tables)

3 Months Ended

Mar. 31, 2016

Related Party Transactions [Abstract]

Transactions with Certain Members and Nonmembers and Other FHLBanks, by Balance Sheet Grouping [Table Text Block]

	March 31, 2016		December 31, 2015
Assets:
Advances	$	2,541	$	3,297
Mortgage loans held for portfolio	22		24
Accrued interest receivable	5		5
Liabilities:
Deposits	$	4	$	4
Capital:
Capital Stock	$	120	$	119

	Three Months Ended
	March 31, 2016		March 31, 2015
Interest Income:
Advances	$	9	$	9
Mortgage loans held for portfolio	—		—

Transactions with Certain Members and Nonmembers and Other FHLBanks, Income Statement [Table Text Block]

	Three Months Ended
	March 31, 2016		March 31, 2015
Interest Income:
Advances	$	9	$	9
Mortgage loans held for portfolio	—		—

XML

Basis of Presentation Narrative (Details) - USD ($) $ in Millions	Mar. 31, 2016	Dec. 31, 2015
Accounting Policies [Line Items]
Unamortized Concessions, Impact of Debt Issuance Cost Guidance Effective 2016	$ 8	$ 9
Consolidated Obligation, Discount Notes [Member]
Accounting Policies [Line Items]
Unamortized Concessions, Impact of Debt Issuance Cost Guidance Effective 2016		1
Consolidated Obligations, Bonds [Member]
Accounting Policies [Line Items]
Unamortized Concessions, Impact of Debt Issuance Cost Guidance Effective 2016		$ 8

XML

Trading Securities (Details) - USD ($) $ in Millions		3 Months Ended
		Mar. 31, 2016	Mar. 31, 2015	Dec. 31, 2015
Schedule of Trading Securities and Other Trading Assets [Line Items]
Net unrealized gain/(loss) on trading securities		$ 1	$ 0
Trading securities	[1]	1,408		$ 1,433
Non-MBS - GSE - FFCB bonds [Member]
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading securities		1,399		1,424
MBS - Other US Obligations - Ginnie Mae [Member]
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading securities		$ 9		$ 9

[1] At March 31, 2016, and December 31, 2015, none of these securities were pledged as collateral that may be repledged.

XML

Available-for-Sale Securities (Narrative) (Details) - USD ($) $ in Millions	Mar. 31, 2016	Dec. 31, 2015	Mar. 31, 2015	Dec. 31, 2014
Schedule of Available-for-sale Securities [Line Items]
Credit-related OTTI	$ 1,239	$ 1,255	$ 1,297	$ 1,314
Available-for-sale Securities [Member] | Collateralized Mortgage Backed Securities [Member]
Schedule of Available-for-sale Securities [Line Items]
Credit-related OTTI	$ 981	$ 1,023

XML

Available-for-Sale Securities (AFS Securities by Major Security Type) (Details) - USD ($) $ in Millions		Mar. 31, 2016	Dec. 31, 2015
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	[1]	$ 5,157	$ 5,371
OTTI Recognized in AOCI		(193)	(165)
Gross Unrealized Gains		189	222
Gross Unrealized Losses		(8)	(14)
Estimated Fair Value	[2]	5,145	5,414
PLRMBS [Member] | Prime [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost		470	489
OTTI Recognized in AOCI		(2)	(1)
Gross Unrealized Gains		19	23
Gross Unrealized Losses		0	0
Estimated Fair Value		487	511
PLRMBS [Member] | Alt-A, Option ARM [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost		938	956
OTTI Recognized in AOCI		(47)	(37)
Gross Unrealized Gains		50	64
Gross Unrealized Losses		(5)	(3)
Estimated Fair Value		936	980
PLRMBS [Member] | Alt-A, other [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost		3,749	3,926
OTTI Recognized in AOCI		(144)	(127)
Gross Unrealized Gains		120	135
Gross Unrealized Losses		(3)	(11)
Estimated Fair Value		$ 3,722	$ 3,923

[1] Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings.

[2] At March 31, 2016, and December 31, 2015, none of these securities were pledged as collateral that may be repledged.

XML

Available-for-Sale Securities (Summary of Securities with Unrealized Losses) (Details) - USD ($) $ in Millions	Mar. 31, 2016	Dec. 31, 2015
Schedule of Available-for-sale Securities [Line Items]
Less Than 12 Months: Estimated Fair Value	$ 563	$ 168
Less Than 12 Months: Unrealized Losses	6	2
12 Months or More: Estimated Fair Value	1,862	1,981
12 Months or More: Unrealized Losses	195	177
Estimated Fair Value	2,425	2,149
Unrealized Losses	201	179
Prime [Member] | PLRMBS [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Available-for-sale Securities [Line Items]
Less Than 12 Months: Estimated Fair Value	0	0
Less Than 12 Months: Unrealized Losses	0	0
12 Months or More: Estimated Fair Value	23	25
12 Months or More: Unrealized Losses	2	1
Estimated Fair Value	23	25
Unrealized Losses	2	1
Alt-A, Option ARM [Member] | PLRMBS [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Available-for-sale Securities [Line Items]
Less Than 12 Months: Estimated Fair Value	208	0
Less Than 12 Months: Unrealized Losses	1	0
12 Months or More: Estimated Fair Value	414	435
12 Months or More: Unrealized Losses	51	40
Estimated Fair Value	622	435
Unrealized Losses	52	40
Alt-A, other [Member] | PLRMBS [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Available-for-sale Securities [Line Items]
Less Than 12 Months: Estimated Fair Value	355	168
Less Than 12 Months: Unrealized Losses	5	2
12 Months or More: Estimated Fair Value	1,425	1,521
12 Months or More: Unrealized Losses	142	136
Estimated Fair Value	1,780	1,689
Unrealized Losses	$ 147	$ 138

XML

Available-for-Sale Securities (Interest Rate Payment Terms) (Details) - USD ($) $ in Millions		Mar. 31, 2016	Dec. 31, 2015
Schedule of Available-for-sale Securities [Line Items]
AFS Securities, Amortized Cost	[1]	$ 5,157	$ 5,371
Fixed Interest Rate [Member] | Collateralized Mortgage Backed Securities [Member]
Schedule of Available-for-sale Securities [Line Items]
AFS Securities, Amortized Cost		1,468	1,540
Fixed Interest Rate [Member] | Collateralized mortgage obligations [Member]
Schedule of Available-for-sale Securities [Line Items]
AFS Securities, Amortized Cost		194	201
Converts in 1 year or less		165	102
Converts after 1 year through 5 years		29	99
Variable Interest Rate [Member] | Collateralized Mortgage Backed Securities [Member]
Schedule of Available-for-sale Securities [Line Items]
AFS Securities, Amortized Cost		$ 3,689	$ 3,831

[1] Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings.

XML

Held-to-Maturity Securities (Classification of Held-to-Maturity Securities) (Details) - USD ($) $ in Millions		Mar. 31, 2016		Dec. 31, 2015		Mar. 31, 2015	Dec. 31, 2014
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	$ 10,277		$ 10,816
OTTI Recognized in AOCI	[1]	(13)		(14)
HTM securities, Carrying Value	[1],[2]	10,264		10,802
Gross Unrecognized Holding Gain		188		127
Gross Unrecognized Holding Loss		(80)		(108)
HTM Securities, Fair Value		10,372		10,821
Credit-related OTTI		1,239		1,255		$ 1,297	$ 1,314
Housing finance agency bonds [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	273		275
OTTI Recognized in AOCI	[1]	0		0
HTM securities, Carrying Value	[1]	273		275
Gross Unrecognized Holding Gain		0		0
Gross Unrecognized Holding Loss		(29)		(33)
HTM Securities, Fair Value		244		242
MBS - Other US Obligations - Ginnie Mae [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	1,177		1,227
OTTI Recognized in AOCI	[1]	0		0
HTM securities, Carrying Value		1,177	[3]	1,227	[1]
Gross Unrecognized Holding Gain		25		4
Gross Unrecognized Holding Loss		(1)		(3)
HTM Securities, Fair Value		1,201		1,228
PLRMBS [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	1,424		1,501
OTTI Recognized in AOCI	[1]	(13)		(14)
HTM securities, Carrying Value	[1]	1,411		1,487
Gross Unrecognized Holding Gain		12		14
Gross Unrecognized Holding Loss		(47)		(40)
HTM Securities, Fair Value		1,376		1,461
MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	10,004		10,541
OTTI Recognized in AOCI	[1]	(13)		(14)
HTM securities, Carrying Value	[1]	9,991		10,527
Gross Unrecognized Holding Gain		188		127
Gross Unrecognized Holding Loss		(51)		(75)
HTM Securities, Fair Value		10,128		10,579
Held-to-maturity Securities, Premiums		34		39
Held-to-maturity Securities, Discounts		37		42
MBS [Member] | Held-to-maturity Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Credit-related OTTI		8		8
Single Family [Member] | GSEs [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	7,403		7,813
OTTI Recognized in AOCI	[1]	0		0
HTM securities, Carrying Value	[1]	7,403		7,813
Gross Unrecognized Holding Gain		151		109
Gross Unrecognized Holding Loss		(3)		(32)
HTM Securities, Fair Value		7,551		7,890
Single Family [Member] | Freddie Mac [Member] | GSEs [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	3,506		3,677
OTTI Recognized in AOCI	[1]	0		0
HTM securities, Carrying Value	[1]	3,506		3,677
Gross Unrecognized Holding Gain		58		39
Gross Unrecognized Holding Loss		0		(20)
HTM Securities, Fair Value		3,564		3,696
Single Family [Member] | Fannie Mae [Member] | GSEs [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	3,897		4,136
OTTI Recognized in AOCI	[1]	0		0
HTM securities, Carrying Value	[1]	3,897		4,136
Gross Unrecognized Holding Gain		93		70
Gross Unrecognized Holding Loss		(3)		(12)
HTM Securities, Fair Value		3,987		4,194
Prime [Member] | PLRMBS [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	858		905
OTTI Recognized in AOCI	[1]	0		0
HTM securities, Carrying Value	[1]	858		905
Gross Unrecognized Holding Gain		0		0
Gross Unrecognized Holding Loss		(32)		(27)
HTM Securities, Fair Value		826		878
Alt-A, other [Member] | PLRMBS [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	566		596
OTTI Recognized in AOCI	[1]	(13)		(14)
HTM securities, Carrying Value	[1]	553		582
Gross Unrecognized Holding Gain		12		14
Gross Unrecognized Holding Loss		(15)		(13)
HTM Securities, Fair Value		$ 550		$ 583

[1] Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings. The carrying value of HTM securities represents amortized cost after adjustment for non-credit-related OTTI recognized in AOCI.

[2] At March 31, 2016, and December 31, 2015, none of these securities were pledged as collateral that may be repledged.

[3] Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings. The carrying value of HTM securities represents amortized cost after adjustment for non-credit-related OTTI recognized in AOCI.

XML

Held-to-Maturity Securities (Securities with Unrealized Losses) (Details) - USD ($) $ in Millions	Mar. 31, 2016	Dec. 31, 2015
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	$ 456	$ 3,805
Less Than 12 Months, Unrealized losses	4	33
12 Months or More, Estimated Fair Value	1,556	1,665
12 Months Or More, Unrealized losses	89	89
Total, Estimated Fair Value	2,012	5,470
Total, Unrealized Losses	93	122
CalHFA bonds [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	0	0
Less Than 12 Months, Unrealized losses	0	0
12 Months or More, Estimated Fair Value	244	240
12 Months Or More, Unrealized losses	29	33
Total, Estimated Fair Value	244	240
Total, Unrealized Losses	29	33
MBS - Other US Obligations - Ginnie Mae [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	129	799
Less Than 12 Months, Unrealized losses	1	3
12 Months or More, Estimated Fair Value	1	2
12 Months Or More, Unrealized losses	0	0
Total, Estimated Fair Value	130	801
Total, Unrealized Losses	1	3
PLRMBS [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	196	175
Less Than 12 Months, Unrealized losses	3	1
12 Months or More, Estimated Fair Value	1,180	1,249
12 Months Or More, Unrealized losses	57	53
Total, Estimated Fair Value	1,376	1,424
Total, Unrealized Losses	60	54
MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	456	3,805
Less Than 12 Months, Unrealized losses	4	33
12 Months or More, Estimated Fair Value	1,312	1,425
12 Months Or More, Unrealized losses	60	56
Total, Estimated Fair Value	1,768	5,230
Total, Unrealized Losses	64	89
Single Family [Member] | GSEs [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	131	2,831
Less Than 12 Months, Unrealized losses	0	29
12 Months or More, Estimated Fair Value	131	174
12 Months Or More, Unrealized losses	3	3
Total, Estimated Fair Value	262	3,005
Total, Unrealized Losses	3	32
Single Family [Member] | Freddie Mac [Member] | GSEs [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	50	1,736
Less Than 12 Months, Unrealized losses	0	20
12 Months or More, Estimated Fair Value	19	20
12 Months Or More, Unrealized losses	0	0
Total, Estimated Fair Value	69	1,756
Total, Unrealized Losses	0	20
Single Family [Member] | Fannie Mae [Member] | GSEs [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	81	1,095
Less Than 12 Months, Unrealized losses	0	9
12 Months or More, Estimated Fair Value	112	154
12 Months Or More, Unrealized losses	3	3
Total, Estimated Fair Value	193	1,249
Total, Unrealized Losses	3	12
Prime [Member] | PLRMBS [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	188	165
Less Than 12 Months, Unrealized losses	3	1
12 Months or More, Estimated Fair Value	638	676
12 Months Or More, Unrealized losses	29	26
Total, Estimated Fair Value	826	841
Total, Unrealized Losses	32	27
Alt-A, other [Member] | PLRMBS [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	8	10
Less Than 12 Months, Unrealized losses	0	0
12 Months or More, Estimated Fair Value	542	573
12 Months Or More, Unrealized losses	28	27
Total, Estimated Fair Value	550	583
Total, Unrealized Losses	$ 28	$ 27

XML

Held-to-Maturity Securities (Redemption Terms) (Details) - USD ($) $ in Millions		Mar. 31, 2016	Dec. 31, 2015
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	$ 10,277	$ 10,816
HTM securities, Carrying Value	[1],[2]	10,264	10,802
HTM Securities, Fair Value		10,372	10,821
Other Than Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Due after 5 years through 10 years, Amortized Cost	[3]	61	60
Due after 5 years through 10 years, Carrying Value	[3]	61	60
Due after 5 years through 10 years, Estimated Fair Value		56	56
Due after 10 years, Amortized Cost	[3]	212	215
Due after 10 years, Carrying Value	[3]	212	215
Due after 10 years, Estimated Fair Value		188	186
Amortized Cost		273	275
HTM securities, Carrying Value		273	275
HTM Securities, Fair Value		244	242
Collateralized Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	10,004	10,541
HTM securities, Carrying Value	[1]	9,991	10,527
HTM Securities, Fair Value		$ 10,128	$ 10,579

[1] Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings. The carrying value of HTM securities represents amortized cost after adjustment for non-credit-related OTTI recognized in AOCI.

[2] At March 31, 2016, and December 31, 2015, none of these securities were pledged as collateral that may be repledged.

[3] Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings. The carrying value of HTM securities represents amortized cost after adjustment for non-credit-related OTTI recognized in AOCI.

XML

Held-to-Maturity Securities (Interest Rate Payment Terms) (Details) - USD ($) $ in Millions		Mar. 31, 2016	Dec. 31, 2015
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	$ 10,277	$ 10,816
Other Than Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost		273	275
Other Than Mortgage Backed Securities [Member] | Variable Interest Rate [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost		273	275
Mortgage Passthrough Securities [Member] | Fixed Interest Rate [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost		134	146
Converts in 1 year or less		21	22
Converts after 1 year through 5 years		107	119
Total		128	141
Mortgage Passthrough Securities [Member] | Variable Interest Rate [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost		400	416
Collateralized Mortgage Obligations [Member] | Fixed Interest Rate [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost		6,842	7,224
Converts in 1 year or less		6	7
Converts after 1 year through 5 years		13	13
Total		19	20
Collateralized Mortgage Obligations [Member] | Variable Interest Rate [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost		2,628	2,755
Collateralized Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	$ 10,004	$ 10,541

[1] Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings. The carrying value of HTM securities represents amortized cost after adjustment for non-credit-related OTTI recognized in AOCI.

XML

Other-Than-Temporary Impairment Analysis (Narrative) (Details)	3 Months Ended
	Mar. 31, 2016
Other than Temporary Impairment, Disclosure [Line Items]
Projected change in the twelve month housing price percentage rate, maximum decrease	1.00%
Projected change in the twelve month housing price percentage rate, maximum increase	8.00%
Projected House Price Rate, minimum increase in vast majority of markets	3.00%
Projected House Price Rate, maximum increase in vast majority of markets	5.00%
Period Assumed For Housing Markets That Have Reached Trough	12 months

XML

Other-Than-Temporary Impairment Analysis (Significant Inputs for Other-Than-Temporarily Impaired PLRMBS) (Details) - Residential Mortgage Backed Securities [Member] - PLRMBS [Member]	3 Months Ended
	Mar. 31, 2016	[1]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Average	10.40%
Default Rates, Weighted Average	24.30%
Loss Severities, Weighted Average	38.70%
Current Credit Enhancement, Weighted Average	8.90%
Prime [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Average	14.70%
Default Rates, Weighted Average	17.70%
Loss Severities, Weighted Average	34.50%
Current Credit Enhancement, Weighted Average	0.00%
Prime [Member] | Securitization in 2006 [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Average	14.70%
Default Rates, Weighted Average	17.70%
Loss Severities, Weighted Average	34.50%
Current Credit Enhancement, Weighted Average	0.00%
Alt-A, Option ARM [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Average	7.00%
Default Rates, Weighted Average	30.80%
Loss Severities, Weighted Average	39.80%
Current Credit Enhancement, Weighted Average	22.50%
Alt-A, Option ARM [Member] | Securitization in 2007 [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Average	7.00%
Default Rates, Weighted Average	30.80%
Loss Severities, Weighted Average	39.80%
Current Credit Enhancement, Weighted Average	22.50%
Alt-A, other [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Average	11.90%
Default Rates, Weighted Average	21.70%
Loss Severities, Weighted Average	38.20%
Current Credit Enhancement, Weighted Average	3.30%
Alt-A, other [Member] | Securitization in 2007 [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Average	10.20%
Default Rates, Weighted Average	28.20%
Loss Severities, Weighted Average	37.00%
Current Credit Enhancement, Weighted Average	2.90%
Alt-A, other [Member] | Securitization in 2005 [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Average	13.60%
Default Rates, Weighted Average	14.90%
Loss Severities, Weighted Average	39.50%
Current Credit Enhancement, Weighted Average	3.80%

[1] Weighted average percentage is based on unpaid principal balance.

XML

Other-Than-Temporary Impairment Analysis (OTTI Rollforward) (Details) - USD ($) $ in Millions		3 Months Ended
		Mar. 31, 2016	Mar. 31, 2015
Other than Temporary Impairment Losses, Investments [Abstract]
OTTI PLRMBS, Total accretion or amortization recognized in interest income		$ 26	$ 19
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward]
Balance, beginning of the period		1,255	1,314
Additional charges on securities for which OTTI was previously recognized	[1]	7	2
Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities	[2]	(23)	(19)
Balance, end of the period		$ 1,239	$ 1,297

[1] For the three months ended March 31, 2016 and 2015, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2016 and 2015, respectively.

[2] The total accretion or amortization associated with other-than-temporarily impaired PLRMBS (amount recognized in interest income) totaled $26 and $19 for the three months ended March 31, 2016 and 2015, respectively.

XML

Other-Than-Temporary Impairment Analysis (Transfers) (Details) - PLRMBS [Member] - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2016	Mar. 31, 2015
Significant Inputs for Credit Loss Measurement [Line Items]
Amortized Cost		$ 4
OTTI Recognized in AOCI		0
Gross Unrecognized Holding Gains (Losses)		0
Estimated Fair Value		4
Prime [Member]
Significant Inputs for Credit Loss Measurement [Line Items]
Amortized Cost	$ 0	4
OTTI Recognized in AOCI	0	0
Gross Unrecognized Holding Gains (Losses)	0	0
Estimated Fair Value	$ 0	$ 4

XML

Other-Than-Temporary Impairment Analysis (OTTI Impaired PLRMBS) (Details) - PLRMBS [Member] - USD ($) $ in Millions	Mar. 31, 2016	Dec. 31, 2015
Available-for-sale Securities [Member]
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract]
Unpaid Principal Balance	$ 6,129	$ 6,384
Amortized Cost	5,157	5,371
Estimated Fair Value	5,145	5,414
Held-to-maturity Securities [Member]
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract]
Unpaid Principal Balance	107	111
Amortized Cost	103	107
Carrying Value	90	93
Estimated Fair Value	103	107
Prime [Member] | Available-for-sale Securities [Member]
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract]
Unpaid Principal Balance	568	591
Amortized Cost	470	489
Estimated Fair Value	487	511
Prime [Member] | Held-to-maturity Securities [Member]
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract]
Unpaid Principal Balance	0	0
Amortized Cost	0	0
Carrying Value	0	0
Estimated Fair Value	0	0
Alt-A, Option ARM [Member] | Available-for-sale Securities [Member]
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract]
Unpaid Principal Balance	1,237	1,269
Amortized Cost	938	956
Estimated Fair Value	936	980
Alt-A, Option ARM [Member] | Held-to-maturity Securities [Member]
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract]
Unpaid Principal Balance	0	0
Amortized Cost	0	0
Carrying Value	0	0
Estimated Fair Value	0	0
Alt-A, other [Member] | Available-for-sale Securities [Member]
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract]
Unpaid Principal Balance	4,324	4,524
Amortized Cost	3,749	3,926
Estimated Fair Value	3,722	3,923
Alt-A, other [Member] | Held-to-maturity Securities [Member]
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract]
Unpaid Principal Balance	107	111
Amortized Cost	103	107
Carrying Value	90	93
Estimated Fair Value	$ 103	$ 107

XML

Advances (Narrative) (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2016	Dec. 31, 2015	Mar. 31, 2015
Advances [Line Items]
Advances, Par Value	$ 48,993	$ 50,841	$ 43,558
Advances With Partial Prepayment Symmetry Outstanding	$ 3,507	$ 3,510
Minimum [Member]
Advances [Line Items]
Advances, Maturity Period, Fixed Rate	1 day
Advances, Maturity Period, Variable Rate	30 days
Advances, Interest Rate	0.34%	0.25%
Maximum [Member]
Advances [Line Items]
Advances, Maturity Period, Fixed Rate	30 years
Advances, Maturity Period, Variable Rate	10 years
Advances, Interest Rate	8.57%	8.57%
Advances, Callable Option [Member]
Advances [Line Items]
Advances, Par Value	$ 15,891	$ 15,425
Advances, Putable Option [Member]
Advances [Line Items]
Advances, Par Value	$ 140	$ 140

XML

Advances (Redemption Terms) (Details) - USD ($) $ in Millions	Mar. 31, 2016	Dec. 31, 2015	Mar. 31, 2015
Federal Home Loan Bank Advances, Maturities [Abstract]
Within 1 year	$ 22,942	$ 24,807
After 1 year through 2 years	4,655	4,252
After 2 years through 3 years	8,302	6,208
After 3 years through 4 years	4,325	6,877
After 4 years through 5 years	4,157	2,022
After 5 years	4,612	6,675
Total par amount	48,993	50,841	$ 43,558
Valuation adjustments for hedging activities	91	40
Valuation adjustments under fair value option	85	38
Advances	$ 49,169	$ 50,919
Federal Home Loan Bank Advances, Weighted Average Interest Rate [Abstract]
Within 1 year	0.68%	0.59%
After 1 year through 2 years	1.26%	1.19%
After 2 years through 3 years	1.09%	1.19%
After 3 years through 4 years	1.05%	0.89%
After 4 years through 5 years	1.00%	1.11%
After 5 years	1.45%	1.11%
Total par value	0.94%	0.84%

XML

Advances (Earlier of Contractual Maturity or Next Call/Put Date) (Details) - USD ($) $ in Millions	Mar. 31, 2016	Dec. 31, 2015	Mar. 31, 2015
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, Rolling Year, Par Value [Abstract]
Within 1 year	$ 24,054	$ 25,983
After 1 year through 2 years	9,093	6,124
After 2 years through 3 years	5,942	8,432
After 3 years through 4 years	4,625	3,173
After 4 years through 5 years	3,842	5,706
After 5 years	1,437	1,423
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, Rolling Year, Par Value [Abstract]
Within 1 year	23,082	24,947
After 1 year through 2 years	4,515	4,152
After 2 years through 3 years	8,302	6,168
After 3 years through 4 years	4,325	6,877
After 4 years through 5 years	4,157	2,022
After 5 years	4,612	6,675
Total par amount	$ 48,993	$ 50,841	$ 43,558

XML

Advances (Credit and Concentration Risk) (Details) $ in Millions		3 Months Ended
		Mar. 31, 2016 USD ($) bank		Mar. 31, 2015 USD ($)	Dec. 31, 2015 USD ($)
Advances [Line Items]
Number Of Top Advances Borrowers | bank		5
Advances Outstanding		$ 48,993		$ 43,558	$ 50,841
Percentage of Total Advances Outstanding		100.00%		100.00%
Interest Income from Advances	[1]	$ 122		$ 96
Percentage of Total Interest Income from Advances		100.00%		100.00%
JPMorgan Chase Bank National Association [Member]
Advances [Line Items]
Advances Outstanding	[3]	$ 14,812	[2]	$ 818
Percentage of Total Advances Outstanding	[3]	30.00%	[2]	2.00%
Interest Income from Advances	[1],[3]	$ 24	[2]	$ 2
Percentage of Total Interest Income from Advances	[3]	20.00%	[2]	2.00%
JPMorgan Bank And Trust Company National Association [Member]
Advances [Line Items]
Advances Outstanding	[2]			$ 7,700
Percentage of Total Advances Outstanding	[2]			18.00%
Interest Income from Advances	[1],[2]			$ 11
Percentage of Total Interest Income from Advances	[2]			12.00%
JPMorgan Chase And Co [Member]
Advances [Line Items]
Advances Outstanding				$ 8,518
Percentage of Total Advances Outstanding				20.00%
Interest Income from Advances	[1]			$ 13
Percentage of Total Interest Income from Advances				14.00%
Bank of the West [Member]
Advances [Line Items]
Advances Outstanding		$ 6,640		$ 5,187
Percentage of Total Advances Outstanding		14.00%		12.00%
Interest Income from Advances	[1]	$ 12		$ 6
Percentage of Total Interest Income from Advances		10.00%		6.00%
First Republic Bank [Member]
Advances [Line Items]
Advances Outstanding		$ 3,800		$ 4,925
Percentage of Total Advances Outstanding		8.00%		11.00%
Interest Income from Advances	[1]	$ 16		$ 20
Percentage of Total Interest Income from Advances		13.00%		21.00%
CIT Bank, N.A. [Member]
Advances [Line Items]
Advances Outstanding	[4]	$ 3,114
Percentage of Total Advances Outstanding	[4]	6.00%
Interest Income from Advances	[1],[4]	$ 7
Percentage of Total Interest Income from Advances	[4]	6.00%
Citibank N.A. [Member]
Advances [Line Items]
Advances Outstanding	[3]	$ 3,000		$ 3,000
Percentage of Total Advances Outstanding	[3]	6.00%		7.00%
Interest Income from Advances	[1],[3]	$ 3		$ 1
Percentage of Total Interest Income from Advances	[3]	2.00%		1.00%
Banamex USA [Member]
Advances [Line Items]
Advances Outstanding		$ 0		$ 0
Percentage of Total Advances Outstanding		0.00%		0.00%
Interest Income from Advances	[1]	$ 0		$ 0
Percentage of Total Interest Income from Advances		0.00%		0.00%
Citigroup Inc. [Member]
Advances [Line Items]
Advances Outstanding		$ 3,000		$ 3,000
Percentage of Total Advances Outstanding		6.00%		7.00%
Interest Income from Advances	[1]	$ 3		$ 1
Percentage of Total Interest Income from Advances		2.00%		1.00%
Subtotal of top five borrowers [Member]
Advances [Line Items]
Advances Outstanding		$ 31,366		$ 25,630
Percentage of Total Advances Outstanding		64.00%		59.00%
Interest Income from Advances	[1]	$ 62		$ 42
Percentage of Total Interest Income from Advances		51.00%		44.00%
Bank of America California N A [Member]
Advances [Line Items]
Advances Outstanding				$ 4,000
Percentage of Total Advances Outstanding				9.00%
Interest Income from Advances	[1]			$ 2
Percentage of Total Interest Income from Advances				2.00%
Other Borrowers [Member]
Advances [Line Items]
Advances Outstanding		$ 17,627		$ 17,928
Percentage of Total Advances Outstanding		36.00%		41.00%
Interest Income from Advances	[1]	$ 60		$ 54
Percentage of Total Interest Income from Advances		49.00%		56.00%

[1] Interest income amounts exclude the interest effect of interest rate exchange agreements with derivative counterparties; as a result, the total interest income amounts will not agree to the Statements of Income. The amount of interest income from advances can vary depending on the amount outstanding, terms to maturity, interest rates, and repricing characteristics.

[2] Effective August 31, 2015, JPMorgan Bank & Trust Company, National Association (JPMorgan B&T), merged with and into JPMorgan Chase Bank, National Association (JPMorgan Chase). As a result, JPMorgan B&T is no longer a member of the Bank. Upon the merger, all of the Bank capital stock held by JPMorgan B&T was transferred to JPMorgan Chase, a nonmember of the Bank, and reclassified as mandatorily redeemable capital stock, and all advances to JPMorgan B&T were transferred to JPMorgan Chase.

[3] Nonmember institution.

[4] Effective August 3, 2015, CIT Bank merged with and into OneWest Bank, which was renamed CIT Bank, National Association.

XML

Advances (Interest Rate Payment Terms and Prepayment Fees) (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2016	Mar. 31, 2015	Dec. 31, 2015
Prepayment Fees, Net [Abstract]
Prepayment Fees Received	$ 0	$ 14
Fair Value Adjustments	2	(14)
Net	2	0
Advance Principal Prepaid	770	607
Federal Home Loan Bank, Advances, Fixed Rate [Abstract]
Fixed Rate, due within 1 year	13,211		$ 13,073
Fixed Rate, due after 1 year	8,847		9,381
Advances, Total Fixed Rate	22,058		22,454
Federal Home Loan Bank, Advances, Floating Rate [Abstract]
Adjustable Rate, due within 1 year	9,731		11,734
Adjustable Rate, due after 1 year	17,204		16,653
Advances, Total Adjustable Rate	26,935		28,387
Total par amount	$ 48,993	$ 43,558	$ 50,841

XML

Mortgage Loans Held for Portfolio (Details) $ in Millions	3 Months Ended
	Mar. 31, 2016 USD ($) Institutions	Dec. 31, 2015 USD ($)
Mortgage Loans on Real Estate [Line Items]
Number of Institutions Participating in Renewed MPF Program | Institutions	12
Unpaid principal balance	$ 629	$ 653
Unamortized premiums	9	10
Unamortized discounts	(6)	(8)
Mortgage loans held for portfolio	632	655
Less: Allowance for credit losses	0	0
Total mortgage loans held for portfolio, net	$ 632	655
Fixed rate medium-term mortgage loans [Member] | Maximum [Member]
Mortgage Loans on Real Estate [Line Items]
Mortgage Loans on Real Estate, Original Contractual Terms	15 years
Fixed rate long-term mortgage loans [Member] | Minimum [Member]
Mortgage Loans on Real Estate [Line Items]
Mortgage Loans on Real Estate, Original Contractual Terms	15 years
Conventional Mortgage Loan [Member]
Mortgage Loans on Real Estate [Line Items]
Unpaid principal balance	$ 629	653
Single Family [Member] | Fixed rate medium-term mortgage loans [Member]
Mortgage Loans on Real Estate [Line Items]
Unpaid principal balance	87	100
Single Family [Member] | Fixed rate long-term mortgage loans [Member]
Mortgage Loans on Real Estate [Line Items]
Unpaid principal balance	$ 542	$ 553

XML

Allowance for Credit Losses (Narrative) (Details) $ in Millions	1 Months Ended	3 Months Ended
	Apr. 30, 2016 Institutions	Mar. 31, 2016 USD ($) Institutions	Dec. 31, 2015 USD ($)	Mar. 31, 2015 USD ($)	Dec. 31, 2014 USD ($)
Financing Receivable, Allowance for Credit Losses [Line Items]
Number of Member Institutions Placed Into Receivership or Liquidation | Institutions		0
Period Loan Receivable Becomes Nonaccrual Status		90 days
Period Loan Receivable Evaluated for Charge-Off		180 days
Loan to Value Ratio Above Which a Borrower is Required to Obtain Primary Mortgage Insurance		80.00%
Allowance for credit losses on mortgage loans		$ 0	$ 0
Troubled Debt Restructuring Modification Period		36 months
Troubled Debt Restructuring Modification, Housing Expense Ratio, Maximum		31.00%
Troubled Debt Restructuring Loan Modification for Principal and Interest Payment Term, Maximum		40 years
Troubled Debt Restructuring Loan Modification Interest Rate Reduction Period if Expense Ratio is Not Met		36 months
Troubled Debt Restructuring Modification Incremental Interest Decrease Percent		0.125%
Troubled Debt Restructuring Modification Interest Decrease Floor, Percent		3.00%
Subsequent Event [Member]
Financing Receivable, Allowance for Credit Losses [Line Items]
Number of Member Institutions Placed Into Receivership or Liquidation | Institutions	0
Conventional Mortgage Loan [Member]
Financing Receivable, Allowance for Credit Losses [Line Items]
Allowance for credit losses on mortgage loans		$ 0	0	$ 0	$ 1
Nonperforming TDR [Member] | Conventional Mortgage Loan [Member]
Financing Receivable, Allowance for Credit Losses [Line Items]
Troubled Debt Restructuring, Modifications, Recorded Investment		$ 3	$ 3

XML

Allowance for Credit Losses (Delinquent Mortgage Loans) (Details) - Conventional Mortgage Loan [Member] - USD ($) $ in Millions		Mar. 31, 2016	Dec. 31, 2015
Financing Receivable, Allowance for Credit Losses [Line Items]
Past due	[1]	$ 33	$ 33
Total current loans	[1]	602	625
Total mortgage loans, gross	[1]	635	658
In process of foreclosure, included above	[1],[2]	7	7
Nonaccrual loans	[1]	17	18
Loans Past Due 90 days or more and still accruing interest	[1]	$ 0	$ 0
Serious delinquencies as a percentage of total mortgage loans outstanding	[1],[3]	2.69%	2.76%
30 to 59 Days delinquent [Member]
Financing Receivable, Allowance for Credit Losses [Line Items]
Past due	[1]	$ 13	$ 10
60 to 89 Days delinquent [Member]
Financing Receivable, Allowance for Credit Losses [Line Items]
Past due	[1]	3	5
90 Days ore more delinquent [Member]
Financing Receivable, Allowance for Credit Losses [Line Items]
Past due	[1]	$ 17	$ 18

[1] The recorded investment in a loan is the unpaid principal balance of the loan, adjusted for accrued interest, net deferred loan fees or costs, unamortized premiums or discounts, and direct write-downs. The recorded investment is not net of any valuation allowance.

[2] Includes loans for which the servicer has reported a decision to foreclose or to pursue a similar alternative, such as deed-in-lieu. Loans in process of foreclosure are included in past due or current loans depending on their delinquency status.

[3] Represents loans that are 90 days or more past due or in the process of foreclosure as a percentage of the recorded investment of total mortgage loans outstanding

XML

Allowance for Credit Losses (Rollforward) (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2016	Mar. 31, 2015
Financing Receivable, Allowance for Credit Losses [Roll Forward]
Balance, beginning of the period	$ 0
Provision for/(reversal of) credit losses on mortgage loans	0	$ 0
Balance, end of the period	0
Conventional Mortgage Loan [Member]
Financing Receivable, Allowance for Credit Losses [Roll Forward]
Balance, beginning of the period	0	1
(Charge-offs)/recoveries	0	(1)
Provision for/(reversal of) credit losses on mortgage loans	0	0
Balance, end of the period	$ 0	$ 0

XML

Allowance for Credit Losses (By Impairment Methodology) (Details) - USD ($) $ in Millions		Mar. 31, 2016	Dec. 31, 2015	Mar. 31, 2015	Dec. 31, 2014
Financing Receivable, Allowance for Credit Losses [Line Items]
Total Allowance for Credit Losses		$ 0	$ 0
Conventional Mortgage Loan [Member]
Financing Receivable, Allowance for Credit Losses [Line Items]
Individually evaluated for impairment, Allowance for credit losses		0	0
Total Allowance for Credit Losses		0	0	$ 0	$ 1
Individually evaluated for impairment, Recorded investment		13	14
Collectively evaluated for impairment, Recorded investment		622	644
Total mortgage loans, gross	[1]	$ 635	$ 658

[1] The recorded investment in a loan is the unpaid principal balance of the loan, adjusted for accrued interest, net deferred loan fees or costs, unamortized premiums or discounts, and direct write-downs. The recorded investment is not net of any valuation allowance.

XML

Allowance for Credit Losses (Recorded Investment, Average Recorded Investment, Unpaid Principal Balance and Related Allowance of Impaired Loans) (Details) - Conventional Mortgage Loan [Member] - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2016	Mar. 31, 2015	Dec. 31, 2015
Impaired Financing Receivable, Recorded Investment [Abstract]
Impaired Financing Receivable, with No Related Allowance, Recorded Investment	$ 12		$ 13
Impaired Financing Receivable, with Related Allowance, Recorded Investment	1		1
Impaired Financing Receivable, Recorded Investment	13		14
Impaired Financing Receivable, Unpaid Principal Balance [Abstract]
Impaired Financing Receivable, with No Related Allowance, Unpaid Principal Balance	12		13
Impaired Financing Receivable, with Related Allowance, Unpaid Principal Balance	1		1
Impaired Financing Receivable, Unpaid Principal Balance	13		14
Impaired Financing Receivable, Related Allowance	0		$ 0
Impaired Financing Receivable, Average Recorded Investment [Abstract]
Impaired Financing Receivable, with No Related Allowance, Average Recorded Investment	12	$ 14
Impaired Financing Receivable, with Related Allowance, Average Recorded Investment	1	4
Impaired Financing Receivable, Average Recorded Investment	$ 13	$ 18

XML

Deposits (Details) - USD ($) $ in Millions	Mar. 31, 2016	Dec. 31, 2015
Deposits [Line Items]
Interest-bearing Deposit Liabilities, Domestic	$ 212	$ 124
Noninterest-bearing Deposits	2	3
Deposits	214	127
Adjustable rate [Member]
Deposits [Line Items]
Interest-bearing Deposit, Demand and Overnight	$ 212	$ 124
Weighted Average Rate Domestic Deposit	0.01%	0.01%

XML

Consolidated Obligations Narrative (Details) - USD ($) $ in Millions	Mar. 31, 2016	Dec. 31, 2015
Schedule of Short-term and Long-term Debt [Line Items]
Consolidated Obligations, Bonds, Par	$ 57,041	$ 51,692
Total consolidated obligations, par	78,154	79,355
Derivative, Notional Amount	75,168	79,789
Callable [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Consolidated Obligations, Bonds, Par	8,630	8,005
Consolidated obligation bonds [Member] | Callable [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Derivative, Notional Amount	$ 5,375	$ 4,835

XML

Consolidated Obligations (Redemption Terms) (Details) - USD ($) $ in Millions	Mar. 31, 2016	Dec. 31, 2015
Schedule of Short-term and Long-term Debt [Line Items]
Consolidated Obligations, Bonds, Par	$ 57,041	$ 51,692
Consolidated Obligations, Bonds	57,207	51,827
Consolidated obligation bonds [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Within 1 year	36,471	29,114
After 1 year through 2 years	9,170	11,264
After 2 years through 3 years	5,059	5,162
After 3 years through 4 years	1,630	1,430
After 4 years through 5 years	1,915	1,740
After 5 years	2,796	2,982
Unamortized premiums	21	27
Unamortized discounts	(14)	(17)
Valuation adjustments for hedging activities	156	142
Fair value option valuation adjustments	$ 3	$ (17)
Within 1 year, Weighted Average Interest Rate	0.94%	1.03%
After 1 year through 2 years, Weighted Average Interest Rate	1.15%	0.91%
After 2 years through 3 years, Weighted Average Interest Rate	1.34%	1.28%
After 3 years through 4 years, Weighted Average Interest Rate	1.52%	1.44%
After 4 years through 5 years, Weighted Average Interest Rate	1.69%	1.67%
After 5 years, Weighted Average Interest Rate	2.48%	2.43%
Total par amount, Weighted Average Interest Rate	1.13%	1.14%

XML

Consolidated Obligations (Consolidated Obligation Bonds Noncallable and Callable) (Details) - USD ($) $ in Millions	Mar. 31, 2016	Dec. 31, 2015
Schedule of Short-term and Long-term Debt [Line Items]
Consolidated Obligations, Bonds, Par	$ 57,041	$ 51,692
Non-callable [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Consolidated Obligations, Bonds, Par	48,411	43,687
Callable [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Consolidated Obligations, Bonds, Par	$ 8,630	$ 8,005

XML

Consolidated Obligations (Consolidated Obligation Bonds by Earlier of Contractual Maturity or Next Call Date) (Details) - USD ($) $ in Millions	Mar. 31, 2016	Dec. 31, 2015
Schedule of Short-term and Long-term Debt [Line Items]
Consolidated Obligations, Bonds, Par	$ 57,041	$ 51,692
Consolidated obligation bonds [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Within 1 year	36,471	29,114
After 1 year through 2 years	9,170	11,264
After 2 years through 3 years	5,059	5,162
After 3 years through 4 years	1,630	1,430
After 4 years through 5 years	1,915	1,740
After 5 years	2,796	2,982
Consolidated obligation bonds [Member] | Earlier of Contractual Maturity or Next Call Date [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Within 1 year	44,521	36,469
After 1 year through 2 years	8,695	10,914
After 2 years through 3 years	2,959	3,282
After 3 years through 4 years	515	455
After 4 years through 5 years	260	395
After 5 years	$ 91	$ 177

XML

Consolidated Obligations (Consolidated Obligation Discount Notes) (Details) - USD ($) $ in Millions		Mar. 31, 2016	Dec. 31, 2015
Short-term Debt [Line Items]
Consolidated Obligations, Discount Notes, Par		$ 21,113	$ 27,663
Consolidated Obligations, Discount Notes		21,095	27,647
Consolidated Obligation, Discount Notes [Member]
Short-term Debt [Line Items]
Unamortized discounts		$ (18)	$ (16)
Par amount, Weighted Average Interest Rate	[1]	0.37%	0.25%

[1] Represents yield to maturity excluding concession fees.

XML

Consolidated Obligations (Interest Rate Payment Terms) (Details) - USD ($) $ in Millions	Mar. 31, 2016	Dec. 31, 2015
Schedule of Short-term and Long-term Debt [Line Items]
Consolidated Obligations, Bonds, Par	$ 57,041	$ 51,692
Consolidated Obligations, Discount Notes, Par	21,113	27,663
Total consolidated obligations, par	78,154	79,355
Fixed rate [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Consolidated Obligations, Bonds, Par	28,216	28,942
Adjustable rate [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Consolidated Obligations, Bonds, Par	27,330	20,815
Step-up [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Consolidated Obligations, Bonds, Par	745	1,110
Step-down [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Consolidated Obligations, Bonds, Par	550	550
Fixed rate that converts to adjustable rate [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Consolidated Obligations, Bonds, Par	100	175
Range Bonds [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Consolidated Obligations, Bonds, Par	$ 100	$ 100

XML

Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2016	Mar. 31, 2015
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI Balance, beginning of period	$ 15
Net change in pension and postretirement benefits	1	$ 0
Non-credit related OTTI loss, Total	(8)	(2)
Net change in fair value	(47)	20
Accretion of Noncredit Related OTTI Loss	1	2
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract]
AOCI Balance, end of period	(38)
Accumulated Other-than-Temporary Impairment [Member] | Available-for-sale Securities [Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI Balance, beginning of period	43	88
Non-credit-related OTTI loss, Available-for-sale Securities	(10)	(3)
Net change in fair value	(47)	20
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract]
Non-credit-related OTTI to credit-related OTTI, AFS	2	1
Net current period other comprehensive income/(loss)	(55)	18
AOCI Balance, end of period	(12)	106
Accumulated Other-than-Temporary Impairment [Member] | Held-to-maturity Securities [Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI Balance, beginning of period	(14)	(20)
Non-credit-related OTTI loss, Held-to-maturity Securities	0	0
Accretion of Noncredit Related OTTI Loss	1	2
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract]
Non-credit-related OTTI to credit-related OTTI, HTM	0	0
Net current period other comprehensive income/(loss)	1	2
AOCI Balance, end of period	(13)	(18)
Accumulated Defined Benefit Plans Adjustment [Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI Balance, beginning of period	(14)	(12)
Net change in pension and postretirement benefits	1
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract]
Net current period other comprehensive income/(loss)	1	0
AOCI Balance, end of period	(13)	(12)
Accumulated Other Comprehensive Income/(Loss) [Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI Balance, beginning of period	15	56
Net change in pension and postretirement benefits	1
Non-credit related OTTI loss, Total	(10)	(3)
Net change in fair value	(47)	20
Accretion of Noncredit Related OTTI Loss	1	2
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract]
Non-credit-related OTTI to credit-related OTTI, AFS	2	1
Net current period other comprehensive income/(loss)	(53)	20
AOCI Balance, end of period	$ (38)	$ 76

XML

Capital (Capital Requirements) (Details) - USD ($) $ in Millions	3 Months Ended	12 Months Ended
	Mar. 31, 2016	Dec. 31, 2015
Capital [Line Items]
Risk-Based Capital, Required	$ 2,562	$ 2,684
Risk-Based Capital, Actual	5,415	5,369
Regulatory Capital, Required	3,390	3,428
Regulatory Capital, Actual	$ 5,415	$ 5,369
Regulatory Capital Ratio, Required	4.00%	4.00%
Regulatory Capital Ratio, Actual	6.39%	6.26%
Leverage Capital, Required	$ 4,237	$ 4,285
Leverage Capital, Actual	$ 8,123	$ 8,054
Leverage ratio - Required	5.00%	5.00%
Leverage Ratio, Actual	9.58%	9.40%
Multiplier for Determining Permanent Capital in Leverage Capital Calculation	1.5

XML

Capital (Mandatorily Redeemable Capital Stock) (Details) $ in Millions		3 Months Ended
		Mar. 31, 2016 USD ($) Institutions	Mar. 31, 2015 USD ($) Institutions
Capital [Line Items]
Financial Instruments Subject to Mandatory Redemption, Number of Stockholders | Institutions		9	9
Interest Expense on Mandatorily Redeemable Capital Stock	[1]	$ 10	$ 15
Mandatorily Redeemable Capital Stock [Roll Forward]
Balance at the beginning of the period		488	719
Reclassified from/(to) capital during the period		52	8
Redemption of mandatorily redeemable capital stock		0	(6)
Repurchase of excess mandatorily redeemable capital stock		(54)	(338)
Balance at the end of the period		$ 486	$ 383

[1] The Bank excludes interest expense on mandatorily redeemable capital stock from adjusted net interest income in its analysis of financial performance for its two operating segments

XML

Capital (By Redemption Period) (Details) - USD ($) $ in Millions		Mar. 31, 2016	Dec. 31, 2015	Mar. 31, 2015	Dec. 31, 2014
Financial Instruments Subject to Mandatory Redemption, Settlement Terms, Share Value, Amount [Abstract]
Within 1 year		$ 81	$ 82
After 1 year through 2 years		0	1
After 3 years through 4 years		2	0
After 4 years through 5 years		379	381
Past Contractual Redemption Date Because of Remaining Activity	[1]	24	24
Total		$ 486	$ 488	$ 383	$ 719

[1] Represents mandatorily redeemable capital stock that is past the end of the contractual redemption period because of outstanding activity.

XML

Capital (Retained Earnings and Dividend Policy) (Details) - USD ($) $ in Millions			3 Months Ended
		May. 16, 2016	Mar. 31, 2016	Mar. 31, 2015	Apr. 28, 2016	Dec. 31, 2015	Dec. 31, 2014
Capital [Line Items]
Retained Earnings Balance			$ 4,891	$ 5,942		$ 4,896	$ 5,693
Restriction on Dividend Payment, Ratio of Market Value of Capital to Par Value of Capital Less than 70%			70.00%
Ratio of Market Value of Capital to Par Value of Capital Stock			210.00%
Dividends, Cash, Annualized Rate			7.99%	7.11%
Payments of Dividends			$ 55	$ 74
Mandatorily redeemable capital stock	[1]		10	15
Restricted Retained Earnings Activity [Roll Forward]
Balance at beginning of the period			2,018
Net Income/(Loss)			231	474
Cash dividends paid on capital stock			(45)	(59)
Balance at end of the period			2,054
Retained Earnings, Unrestricted [Member]
Capital [Line Items]
Retained Earnings Balance			760	624		610	294
Restricted Retained Earnings Activity [Roll Forward]
Net Income/(Loss)			195	389
Cash dividends paid on capital stock			(45)	(59)
Restricted [Member]
Capital [Line Items]
Retained Earnings Balance			2,054	2,150		2,018	2,065
Restricted Retained Earnings Activity [Roll Forward]
Balance at beginning of the period			2,018	2,065
Net Income/(Loss)			36	85
Cash dividends paid on capital stock			0	0
Balance at end of the period			2,054	2,150
Retained Earnings [Member]
Capital [Line Items]
Retained Earnings Balance			2,814	2,774		$ 2,628	$ 2,359
Restricted Retained Earnings Activity [Roll Forward]
Net Income/(Loss)			231	474
Cash dividends paid on capital stock			(45)	(59)
Retained Earnings, Restricted, Valuation Adjustments [Member]
Restricted Retained Earnings Activity [Roll Forward]
Balance at beginning of the period			10	35
Net Income/(Loss)			(10)	(10)
Cash dividends paid on capital stock			0	0
Balance at end of the period			0	25
Retained Earnings, Restricted, Buildup [Member]
Restricted Retained Earnings Activity [Roll Forward]
Balance at beginning of the period			1,650	1,800
Net Income/(Loss)			0	0
Cash dividends paid on capital stock			0	0
Balance at end of the period			1,650	1,800
Retained Earnings, Restricted, Joint Capital Enhancement Agreement [Member]
Restricted Retained Earnings Activity [Roll Forward]
Balance at beginning of the period			358	230
Net Income/(Loss)			46	95
Cash dividends paid on capital stock			0	0
Balance at end of the period			$ 404	$ 325
Minimum [Member]
Capital [Line Items]
Limit on Dividend Payment, Ratio of Market Value of Capital to Par Value of Capital			70.00%
Maximum [Member]
Capital [Line Items]
Limit on Dividend Payment, Ratio of Market Value of Capital to Par Value of Capital			100.00%
Subsequent Event [Member]
Subsequent Events [Abstract]
Dividends, Cash Declared, Annualized Rate					8.90%
Interest and Dividends Payable, Current					$ 61
Dividends Payable, Amount					49
Interest Payable, Current					$ 12
Dividends Payable, Date to be Paid		May 16, 2016

[1] The Bank excludes interest expense on mandatorily redeemable capital stock from adjusted net interest income in its analysis of financial performance for its two operating segments

XML

Capital (Excess Capital Stock) (Details) - USD ($) $ / shares in Units, $ in Millions	3 Months Ended
	Mar. 31, 2016	Mar. 31, 2015	Apr. 28, 2016	Dec. 31, 2015
Capital [Line Items]
Amount of Excess Stock and Financial Instruments Subject to Mandatory Redemption, Repurchased During Period	$ 252	$ 750
Surplus Capital Stock Threshold Percentage, Amount Over Minimum Capital Stock Requirement	115.00%
Financial Instruments Subject to Mandatory Redemption, Redemption	$ 0	$ 6
Common stock, par value	$ 100
Excess Capital	$ 325			$ 402
Excess Capital Stock and Excess Mandatorily Redeemable Capital Stock, Redemption, Period of Written Notice	15 days
Mandatorily Redeemable Capital Stock, Redemption Period	5 years
Excess Capital to Assets	0.38%
Subsequent Event [Member]
Subsequent Events [Abstract]
Surplus and Excess Capital Stock Repurchased, Percentage			100.00%
Minimum [Member]
Capital [Line Items]
Regulatory Restrictions on Payment of Capital Stock Dividends, Excess Stock to Assets, Percent	1.00%

XML

Capital (Concentration) (Details) - Capital Stock Ownership By Third Party [Member] - USD ($) $ in Millions	Mar. 31, 2016	Dec. 31, 2015
Concentration Risk [Line Items]
Concentration Risk Benchmark, Percent	10.00%
JPMorgan Chase Bank National Association [Member]
Concentration Risk [Line Items]
Capital Stock Outstanding	$ 400	$ 400
Concentration of total capital stock outstanding	15.00%	15.00%

XML

Segment Information (Details) $ in Millions		3 Months Ended
		Mar. 31, 2016 USD ($) segment	Mar. 31, 2015 USD ($)	Dec. 31, 2015 USD ($)
Segment Reporting Information [Line Items]
Number of Operating Segments | segment		2
Adjusted Net Interest Income		$ 122	$ 128
Amortization of Basis Adjustments	[1]	(2)	(8)
Income/ (Expense) on Economic Hedges	[2]	(9)	(9)
Interest Expense on Mandatorily Redeemable Capital Stock	[3]	10	15
Net Interest Income After Mortgage Loan Loss Provision		123	130
Other Income/(Loss)		171	432
Other Expense		36	34
Income Before AHP Assessments		258	528
OTTI PLRMBS, Total accretion or amortization recognized in interest income		26	19
Net OTTI loss, credit-related		(7)	(2)
Assets		84,739		$ 85,698
Advances-Related Business [Member]
Segment Reporting Information [Line Items]
Adjusted Net Interest Income		36	35
Assets		68,917		69,047
Mortgage-Related Business [Member]
Segment Reporting Information [Line Items]
Adjusted Net Interest Income	[4]	86	$ 93
Assets		$ 15,822		$ 16,651

[1] Represents amortization of amounts deferred for adjusted net interest income purposes only, in accordance with the Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework.

[2] The Bank includes income and expense associated with net settlements from economic hedges in adjusted net interest income in its analysis of financial performance for its two operating segments. For financial reporting purposes, the Bank does not include these amounts in net interest income in the Statements of Income, but instead records them in other income in “Net gain/(loss) on derivatives and hedging activities.”

[3] The Bank excludes interest expense on mandatorily redeemable capital stock from adjusted net interest income in its analysis of financial performance for its two operating segments

[4] The mortgage-related business includes total accretion or amortization associated with other-than-temporarily impaired PLRMBS, which are recognized in interest income, and totaled $26 and $19 for the three months ended March 31, 2016 and 2015, respectively. The mortgage-related business does not include credit-related OTTI losses of $7 and $2 for the three months ended March 31, 2016 and 2015, respectively.

XML

Derivatives and Hedging Activities (Narrative) (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2016	Dec. 31, 2015
Derivative [Line Items]
Derivative, Notional Amount	$ 75,168	$ 79,789
Derivative, Net Liability Position, Aggregate Fair Value	46
Collateral Already Posted, Aggregate Fair Value	38
Additional Collateral, Aggregate Fair Value	1
Derivatives With Intermediary Transactions and Offsetting Derivatives [Member]
Derivative [Line Items]
Derivative, Notional Amount	$ 0	$ 132
Maximum [Member]
Derivative [Line Items]
Advances, Maturity Term	30 years

XML

Derivatives and Hedging Activities (Derivatives in Statement of Condition) (Details) - USD ($) $ in Millions		Mar. 31, 2016	Dec. 31, 2015
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		$ 75,168	$ 79,789
Derivative Asset, Fair Value, Gross Asset		299	256
Derivative Asset, Total collateral and netting adjustments	[1]	(260)	(212)
Derivative Assets as reported on the Statements of Condition		39	44
Derivative Liability, Fair Value, Gross Liability		220	143
Derivative Liability, Total collateral and netting adjustments	[1]	(211)	(137)
Derivative Liabilities as reported on the Statements of Condition		9	6
Cash collateral received and related accrued interest		109	132
Cash collateral posted and related accrued interest		60	57
Designated as Hedging Instrument [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		28,573	27,110
Derivative Asset, Fair Value, Gross Asset		233	192
Derivative Liability, Fair Value, Gross Liability		100	71
Designated as Hedging Instrument [Member] | Interest rate swaps [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		28,573	27,110
Derivative Asset, Fair Value, Gross Asset		233	192
Derivative Liability, Fair Value, Gross Liability		100	71
Not Designated as Hedging Instrument [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		46,595	52,679
Derivative Asset, Fair Value, Gross Asset		66	64
Derivative Liability, Fair Value, Gross Liability		120	72
Not Designated as Hedging Instrument [Member] | Interest rate swaps [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		44,358	50,444
Derivative Asset, Fair Value, Gross Asset		63	58
Derivative Liability, Fair Value, Gross Liability		118	71
Not Designated as Hedging Instrument [Member] | Interest rate caps and floors [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		2,230	2,230
Derivative Asset, Fair Value, Gross Asset		3	6
Derivative Liability, Fair Value, Gross Liability		2	1
Mortgages [Member] | Not Designated as Hedging Instrument [Member] | Mortgage delivery commitments [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		7	5
Derivative Asset, Fair Value, Gross Asset		0	0
Derivative Liability, Fair Value, Gross Liability		$ 0	$ 0

[1] Amounts include the netting of derivative assets and liabilities by counterparty, including cash collateral and related accrued interest, where the netting requirements have been met. Cash collateral posted and related accrued interest was $60 and $57 at March 31, 2016, and December 31, 2015, respectively. Cash collateral received and related accrued interest was $109 and $132 at March 31, 2016, and December 31, 2015, respectively.

XML

Derivatives and Hedging Activities (Derivatives in Statement of Income) (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2016	Mar. 31, 2015
Derivative Instruments, Gain (Loss) [Line Items]
Total net gain (loss) related to fair value hedge ineffectiveness	$ (4)	$ (7)
Total net gain/(loss) related to derivatives not designated as hedging instruments	(61)	(14)
Net gain/(loss) on derivatives and hedging activities	(65)	(21)
Interest rate swaps [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Total net gain (loss) related to fair value hedge ineffectiveness	(4)	(7)
Total net gain/(loss) related to derivatives not designated as hedging instruments	(49)	(3)
Interest rate caps and floors [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Total net gain/(loss) related to derivatives not designated as hedging instruments	(3)	(2)
Net settlements [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Total net gain/(loss) related to derivatives not designated as hedging instruments	$ (9)	$ (9)

XML

Derivatives and Hedging Activities (Derivatives in Statement of Income and Impact on Interest) (Details) - USD ($) $ in Millions		3 Months Ended
		Mar. 31, 2016	Mar. 31, 2015
Derivative Instruments, Gain (Loss) [Line Items]
Gain/(Loss) on Derivatives		$ (38)	$ (53)
Gain/(Loss) on Hedged Item		34	46
Net Fair Value Hedge Ineffectiveness		(4)	(7)
Effect of Derivatives on Net Interest Income	[1]	35	34
Advances [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gain/(Loss) on Derivatives		(49)	(38)
Gain/(Loss) on Hedged Item		49	38
Net Fair Value Hedge Ineffectiveness		0	0
Effect of Derivatives on Net Interest Income	[1]	(18)	(28)
Consolidated obligation bonds [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gain/(Loss) on Derivatives		11	(15)
Gain/(Loss) on Hedged Item		(15)	8
Net Fair Value Hedge Ineffectiveness		(4)	(7)
Effect of Derivatives on Net Interest Income	[1]	$ 53	$ 62

[1] The net interest on derivatives in fair value hedge relationships is presented in the interest income/expense line item of the respective hedged item.

XML

Derivatives and Hedging Activities (Offsetting of Derivative Assets and Derivative Liabilities) (Details) - USD ($) $ in Millions		Mar. 31, 2016	Dec. 31, 2015
Derivative [Line Items]
Derivative Asset, Fair Value, Gross Recognized Amount		$ 299	$ 256
Derivative Asset, Total collateral and netting adjustments	[1]	(260)	(212)
Derivative Assets as reported on the Statements of Condition		39	44
Derivative Asset, Fair Value, Net Unsecured Amount		28	33
Derivative Liability, Fair Value, Gross Recognized Amount		220	143
Derivative Liability, Total collateral and netting adjustments	[1]	(211)	(137)
Derivative Liabilities as reported on the Statements of Condition		9	6
Derivative Liability, Fair Value, Net Unsecured Amount		9	6
Uncleared derivatives [Member]
Derivative [Line Items]
Derivative Asset, Fair Value, Gross Recognized Amount		147	166
Derivative Asset, Total collateral and netting adjustments		(135)	(149)
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment		12	17
Derivative Asset, Collateral Received or Pledged not offset, Can Be Sold or Repledged		11	11
Derivative Asset, Fair Value, Net Unsecured Amount		1	6
Derivative Liability, Fair Value, Gross Recognized Amount		104	93
Derivative Liability, Total collateral and netting adjustments		(95)	(87)
Derivative Liability, Net Fair Value Amount, After Offsetting Adjustment		9	6
Derivative Liability, Collateral Received or Pledged not offset, Can be sold or repledged		0	0
Derivative Liability, Fair Value, Net Unsecured Amount		9	6
Cleared derivatives [Member]
Derivative [Line Items]
Derivative Asset, Fair Value, Gross Recognized Amount		152	90
Derivative Asset, Total collateral and netting adjustments		(125)	(63)
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment		27	27
Derivative Asset, Fair Value, Net Unsecured Amount		27	27
Derivative Liability, Fair Value, Gross Recognized Amount		116	50
Derivative Liability, Total collateral and netting adjustments		(116)	(50)
Derivative Liability, Net Fair Value Amount, After Offsetting Adjustment		0	0
Derivative Liability, Fair Value, Net Unsecured Amount		$ 0	$ 0

[1] Amounts include the netting of derivative assets and liabilities by counterparty, including cash collateral and related accrued interest, where the netting requirements have been met. Cash collateral posted and related accrued interest was $60 and $57 at March 31, 2016, and December 31, 2015, respectively. Cash collateral received and related accrued interest was $109 and $132 at March 31, 2016, and December 31, 2015, respectively.

XML

Fair Value (Carrying Value and Fair Value of Financial Instruments) (Details) - USD ($) $ in Millions		Mar. 31, 2016	Dec. 31, 2015	Mar. 31, 2015	Dec. 31, 2014
Assets
Cash and due from banks		$ 100	$ 1,637
Interest-bearing deposits		450	0
Securities purchased under agreements to resell		12,500	10,000
Federal funds sold		4,599	4,626
Trading securities	[1]	1,408	1,433
Available-for-sale (AFS) securities	[1]	5,145	5,414
HTM securities, Carrying Value	[1],[2]	10,264	10,802
HTM Securities, Fair Value		10,372	10,821
Accrued interest receivable		54	56
Derivative assets, Net		39	44
Derivative Asset, Fair Value, Gross Asset		299	256
Derivative Asset, Netting adjustments	[3]	(260)	(212)
Liabilities
Total Consolidated Obligations		78,302	79,474
Mandatorily redeemable capital stock		486	488	$ 383	$ 719
Accrued interest payable		146	80
Derivative liabilities, Net		9	6
Derivative Liability, Fair Value, Gross Liability		220	143
Derivative Liability, Netting adjustments	[3]	(211)	(137)
Carrying (Reported) Amount, Fair Value Disclosure [Member]
Assets
Cash and due from banks		100	1,637
Interest-bearing deposits		450
Securities purchased under agreements to resell		12,500	10,000
Federal funds sold		4,599	4,626
Trading securities		1,408	1,433
Available-for-sale (AFS) securities		5,145	5,414
HTM securities, Carrying Value		10,264	10,802
Advances		49,169	50,919
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans		632	655
Accrued interest receivable		54	56
Derivative assets, Net	[4]	39	44
Other Assets	[5]	10	10
Liabilities
Deposits		214	127
Total Consolidated Obligations		78,302	79,474
Mandatorily redeemable capital stock		486	488
Accrued interest payable		146	80
Derivative liabilities, Net	[4]	9	6
Estimate of Fair Value, Fair Value Disclosure [Member]
Assets
Cash and due from banks		100	1,637
Interest-bearing deposits		450
Securities purchased under agreements to resell		12,500	10,000
Federal funds sold		4,599	4,626
Trading securities		1,408	1,433
Available-for-sale (AFS) securities		5,145	5,414
HTM Securities, Fair Value		10,372	10,821
Advances		49,142	50,844
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans		671	694
Accrued interest receivable		54	56
Derivative assets, Net	[4]	39	44
Other Assets	[5]	10	10
Liabilities
Deposits		214	127
Total Consolidated Obligations		78,361	79,413
Mandatorily redeemable capital stock		486	488
Accrued interest payable		146	80
Derivative liabilities, Net	[4]	9	6
Fair Value, Inputs, Level 1 [Member]
Assets
Cash and due from banks		100	1,637
Interest-bearing deposits		450
Securities purchased under agreements to resell		0	0
Federal funds sold		0	0
Trading securities		0	0
Available-for-sale (AFS) securities		0	0
HTM Securities, Fair Value		0	0
Advances		0	0
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans		0	0
Accrued interest receivable		0	0
Derivative Asset, Fair Value, Gross Asset	[4]	0	0
Other Assets	[5]	10	10
Liabilities
Deposits		0	0
Total Consolidated Obligations		0	0
Mandatorily redeemable capital stock		486	488
Accrued interest payable		0	0
Derivative Liability, Fair Value, Gross Liability	[4]	0	0
Fair Value, Inputs, Level 2 [Member]
Assets
Cash and due from banks		0	0
Interest-bearing deposits		0
Securities purchased under agreements to resell		12,500	10,000
Federal funds sold		4,599	4,626
Trading securities		1,408	1,433
Available-for-sale (AFS) securities		0	0
HTM Securities, Fair Value		8,752	9,118
Advances		49,142	50,844
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans		671	694
Accrued interest receivable		54	56
Derivative Asset, Fair Value, Gross Asset	[4]	299	256
Derivative Asset, Netting adjustments	[4]	(260)	(212)
Other Assets	[5]	0	0
Liabilities
Deposits		214	127
Total Consolidated Obligations		78,361	79,413
Mandatorily redeemable capital stock		0	0
Accrued interest payable		146	80
Derivative Liability, Fair Value, Gross Liability	[4]	220	143
Derivative Liability, Netting adjustments	[4]	(211)	(137)
Fair Value, Inputs, Level 3 [Member]
Assets
Cash and due from banks		0	0
Interest-bearing deposits		0
Securities purchased under agreements to resell		0	0
Federal funds sold		0	0
Trading securities		0	0
Available-for-sale (AFS) securities		5,145	5,414
HTM Securities, Fair Value		1,620	1,703
Advances		0	0
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans		0	0
Accrued interest receivable		0	0
Derivative Asset, Fair Value, Gross Asset	[4]	0	0
Other Assets	[5]	0	0
Liabilities
Deposits		0	0
Total Consolidated Obligations		0	0
Mandatorily redeemable capital stock		0	0
Accrued interest payable		0	0
Derivative Liability, Fair Value, Gross Liability	[4]	0	0
Consolidated Obligation, Discount Notes [Member] | Carrying (Reported) Amount, Fair Value Disclosure [Member]
Liabilities
Discount notes		21,095	27,647
Consolidated Obligation, Discount Notes [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Liabilities
Discount notes		21,097	27,640
Consolidated Obligation, Discount Notes [Member] | Fair Value, Inputs, Level 1 [Member]
Liabilities
Discount notes		0	0
Consolidated Obligation, Discount Notes [Member] | Fair Value, Inputs, Level 2 [Member]
Liabilities
Discount notes		21,097	27,640
Consolidated Obligation, Discount Notes [Member] | Fair Value, Inputs, Level 3 [Member]
Liabilities
Discount notes		0	0
Standby Letters of Credit [Member] | Carrying (Reported) Amount, Fair Value Disclosure [Member]
Other
Other commitments		22	18
Standby Letters of Credit [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Other
Other commitments		22	18
Standby Letters of Credit [Member] | Fair Value, Inputs, Level 1 [Member]
Other
Other commitments		0	0
Standby Letters of Credit [Member] | Fair Value, Inputs, Level 2 [Member]
Other
Other commitments		22	18
Standby Letters of Credit [Member] | Fair Value, Inputs, Level 3 [Member]
Other
Other commitments		0	0
Commitments to fund advances [Member] | Carrying (Reported) Amount, Fair Value Disclosure [Member]
Other
Other commitments	[6]	0
Commitments to fund advances [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Other
Other commitments	[6]	1
Commitments to fund advances [Member] | Fair Value, Inputs, Level 1 [Member]
Other
Other commitments	[6]	0
Commitments to fund advances [Member] | Fair Value, Inputs, Level 2 [Member]
Other
Other commitments	[6]	1
Commitments to fund advances [Member] | Fair Value, Inputs, Level 3 [Member]
Other
Other commitments	[6]	0
Consolidated Obligations, Bonds [Member] | Carrying (Reported) Amount, Fair Value Disclosure [Member]
Other
Other commitments	[5]		0
Consolidated Obligations, Bonds [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Other
Other commitments	[5]		1
Consolidated Obligations, Bonds [Member] | Fair Value, Inputs, Level 1 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Other
Other commitments	[5]		0
Consolidated Obligations, Bonds [Member] | Fair Value, Inputs, Level 2 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Other
Other commitments	[5]		1
Consolidated Obligations, Bonds [Member] | Fair Value, Inputs, Level 3 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Other
Other commitments	[5]		0
Consolidated obligation bonds [Member]
Liabilities
Consolidated obligation bonds		3,613	4,233
Consolidated obligation bonds [Member] | Carrying (Reported) Amount, Fair Value Disclosure [Member]
Liabilities
Consolidated obligation bonds		57,207	51,827
Consolidated obligation bonds [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Liabilities
Consolidated obligation bonds		57,264	51,773
Consolidated obligation bonds [Member] | Fair Value, Inputs, Level 1 [Member]
Liabilities
Consolidated obligation bonds		0	0
Consolidated obligation bonds [Member] | Fair Value, Inputs, Level 2 [Member]
Liabilities
Consolidated obligation bonds		57,264	51,773
Consolidated obligation bonds [Member] | Fair Value, Inputs, Level 3 [Member]
Liabilities
Consolidated obligation bonds		$ 0	$ 0

[1] At March 31, 2016, and December 31, 2015, none of these securities were pledged as collateral that may be repledged.

[2] Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings. The carrying value of HTM securities represents amortized cost after adjustment for non-credit-related OTTI recognized in AOCI.

[3] Amounts include the netting of derivative assets and liabilities by counterparty, including cash collateral and related accrued interest, where the netting requirements have been met. Cash collateral posted and related accrued interest was $60 and $57 at March 31, 2016, and December 31, 2015, respectively. Cash collateral received and related accrued interest was $109 and $132 at March 31, 2016, and December 31, 2015, respectively.

[4] Amounts include the netting of derivative assets and liabilities by counterparty, including cash collateral and related accrued interest, where the netting requirements have been met.

[5] Represents publicly traded mutual funds held in a grantor trust.

[6] Estimated fair values of these commitments are presented as a net gain or (loss). For more information regarding these commitments, see Note 17 – Commitments and Contingencies

XML

Fair Value (Summary of Valuation Methodologies and Primary Inputs) (Details)	Mar. 31, 2016 vendor price
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items]
Number of third-party vendor prices received	4
MBS [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items]
Number of designated third-party pricing vendors | vendor	4
Four vendor prices received [Member] | MBS [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items]
Number of third-party vendor prices received	4
Median price, number of prices	2
Three vendor prices received [Member] | MBS [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items]
Number of third-party vendor prices received	3
Two vendor prices received [Member] | MBS [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items]
Number of third-party vendor prices received	2
Median price, number of prices	2
One vendor price received [Member] | MBS [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items]
Number of third-party vendor prices received	1

XML

Fair Value (Fair Value Measured on Recurring and Nonrecurring Basis) (Details) - USD ($) $ in Millions		Mar. 31, 2016	Dec. 31, 2015
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	[1]	$ 1,408	$ 1,433
Available-for-sale (AFS) securities	[1]	5,145	5,414
Advances, Fair Value Disclosure		3,722	3,677
Derivative Asset, Netting adjustments	[2]	(260)	(212)
Derivative assets, Net		39	44
Derivative Liability, Netting adjustments	[2]	(211)	(137)
Derivative liabilities, Net		9	6
Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0	0
Available-for-sale (AFS) securities		0	0
Other Assets	[3]	10	10
Mortgage loans held for portfolio		0	0
Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		1,408	1,433
Available-for-sale (AFS) securities		0	0
Derivative Asset, Netting adjustments	[4]	(260)	(212)
Other Assets	[3]	0	0
Derivative Liability, Netting adjustments	[4]	(211)	(137)
Mortgage loans held for portfolio		671	694
Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0	0
Available-for-sale (AFS) securities		5,145	5,414
Other Assets	[3]	0	0
Mortgage loans held for portfolio		0	0
Fair Value, Measurements, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Advances, Fair Value Disclosure	[5]	3,722	3,677
Derivative Asset, Netting adjustments	[6]	(260)	(212)
Derivative Liability, Netting adjustments	[6]	(211)	(137)
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0	0
Available-for-sale (AFS) securities		0	0
Advances, Fair Value Disclosure	[5]	0	0
Other Assets		10	10
Total fair value measurements – Assets		10	10
Total recurring fair value measurements – Liabilities		0	0
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		1,408	1,433
Available-for-sale (AFS) securities		0	0
Advances, Fair Value Disclosure	[5]	3,722	3,677
Other Assets		0	0
Total fair value measurements – Assets		5,429	5,366
Total recurring fair value measurements – Liabilities		3,833	4,376
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0	0
Available-for-sale (AFS) securities		5,145	5,414
Advances, Fair Value Disclosure	[5]	0	0
Other Assets		0	0
Total fair value measurements – Assets		5,145	5,414
Total recurring fair value measurements – Liabilities		0	0
Fair Value, Measurements, Nonrecurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Total fair value measurements – Assets	[7]	0	0
REO			0
Mortgage loans held for portfolio	[7]	0	0
Fair Value, Measurements, Nonrecurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Total fair value measurements – Assets	[7]	0	0
REO			0
Mortgage loans held for portfolio	[7]	0	0
Fair Value, Measurements, Nonrecurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Total fair value measurements – Assets	[7]	4	6
REO			1
Mortgage loans held for portfolio		4	5	[7]
FFCB bonds [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		1,399	1,424
FFCB bonds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0	0
FFCB bonds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		1,399	1,424
FFCB bonds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0	0
Ginnie Mae
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		9	9
Ginnie Mae | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0	0
Ginnie Mae | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		9	9
Ginnie Mae | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0	0
Consolidated obligation bonds [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Consolidated obligation bonds		3,613	4,233
Consolidated obligation bonds [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Consolidated obligation bonds		0	0
Consolidated obligation bonds [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Consolidated obligation bonds		57,264	51,773
Consolidated obligation bonds [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Consolidated obligation bonds		0	0
Consolidated obligation bonds [Member] | Fair Value, Measurements, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Consolidated obligation bonds	[8]	3,613	4,233
Consolidated obligation bonds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Consolidated obligation bonds	[8]	0	0
Consolidated obligation bonds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Consolidated obligation bonds	[8]	3,613	4,233
Consolidated obligation bonds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Consolidated obligation bonds	[8]	0	0
Estimate of Fair Value Measurement [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		1,408	1,433
Available-for-sale (AFS) securities		5,145	5,414
Derivative assets, Net	[4]	39	44
Other Assets	[3]	10	10
Derivative liabilities, Net	[4]	9	6
Mortgage loans held for portfolio		671	694
Estimate of Fair Value Measurement [Member] | Fair Value, Measurements, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		1,408	1,433
Available-for-sale (AFS) securities		5,145	5,414
Other Assets		10	10
Total fair value measurements – Assets		10,324	10,578
Total recurring fair value measurements – Liabilities		3,622	4,239
Estimate of Fair Value Measurement [Member] | Fair Value, Measurements, Nonrecurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Total fair value measurements – Assets	[7]	4	6
REO			1
Mortgage loans held for portfolio	[7]	4	5
Estimate of Fair Value Measurement [Member] | FFCB bonds [Member] | Fair Value, Measurements, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		1,399	1,424
Estimate of Fair Value Measurement [Member] | Ginnie Mae | Fair Value, Measurements, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		9	9
Estimate of Fair Value Measurement [Member] | Consolidated obligation bonds [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Consolidated obligation bonds		57,264	51,773
Residential Mortgage Backed Securities [Member] | PLRMBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Available-for-sale (AFS) securities		0	0
Residential Mortgage Backed Securities [Member] | PLRMBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Available-for-sale (AFS) securities		0	0
Residential Mortgage Backed Securities [Member] | PLRMBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Available-for-sale (AFS) securities		5,145	5,414
Residential Mortgage Backed Securities [Member] | Estimate of Fair Value Measurement [Member] | PLRMBS [Member] | Fair Value, Measurements, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Available-for-sale (AFS) securities		5,145	5,414
Interest rate swaps [Member] | Fair Value, Measurements, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative Asset, Netting adjustments	[6]	(260)	(212)
Derivative Liability, Netting adjustments	[6]	(211)	(137)
Interest rate swaps [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets, Net		0	0
Derivative liabilities, Net		0	0
Interest rate swaps [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets, Net		299	256
Derivative liabilities, Net		220	143
Interest rate swaps [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets, Net		0	0
Derivative liabilities, Net		0	0
Interest rate swaps [Member] | Estimate of Fair Value Measurement [Member] | Fair Value, Measurements, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets, Net		39	44
Derivative liabilities, Net		$ 9	$ 6

[1] At March 31, 2016, and December 31, 2015, none of these securities were pledged as collateral that may be repledged.

[2] Amounts include the netting of derivative assets and liabilities by counterparty, including cash collateral and related accrued interest, where the netting requirements have been met. Cash collateral posted and related accrued interest was $60 and $57 at March 31, 2016, and December 31, 2015, respectively. Cash collateral received and related accrued interest was $109 and $132 at March 31, 2016, and December 31, 2015, respectively.

[3] Represents publicly traded mutual funds held in a grantor trust.

[4] Amounts include the netting of derivative assets and liabilities by counterparty, including cash collateral and related accrued interest, where the netting requirements have been met.

[5] Represents advances recorded under the fair value option at March 31, 2016, and December 31, 2015.

[6] Amounts represent the netting of derivative assets and liabilities by counterparty, including cash collateral, where the netting requirements have been met.

[7] The fair value information presented is as of the date the fair value adjustment was recorded during the three months ended March 31, 2016, and the year ended December 31, 2015

[8] Represents consolidated obligation bonds recorded under the fair value option at March 31, 2016, and December 31, 2015

XML

Fair Value (Level 3) (Details) - USD ($) $ in Millions		3 Months Ended
		Mar. 31, 2016	Mar. 31, 2015
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Net OTTI loss, credit-related	[1]	$ (7)	$ (2)
Net amount of OTTI loss reclassified to/(from) other income/(loss)		(8)	(2)
Residential Mortgage Backed Securities [Member] | PLRMBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | Available-for-sale Securities [Member]
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Balance, beginning of the period		5,414	6,371
Interest Income		26	19
Net OTTI loss, credit-related		(7)	(2)
Unrealized gain/(loss) of other-than temporarily impaired securities included in AOCI		(47)	20
Net amount of OTTI loss reclassified to/(from) other income/(loss)		(8)	(2)
Settlements		(233)	(222)
Transfers of HTM securities to AFS securities		0	4
Balance, end of the period		5,145	6,188
Total amount of gain/(loss) for the period included in earnings attributable to the change in unrealized gains/losses relating to assets and liabilities still held at the end of the period		$ 19	$ 17

[1] For the three months ended March 31, 2016 and 2015, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2016 and 2015, respectively.

XML

Fair Value (Fair Value Option) (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2016		Mar. 31, 2015
Advances and Consolidated Obligation Bonds, Fair Value Option [Roll Forward]
Balance, beginning of the period	$ 3,677
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option	27		$ (7)
Balance, end of the period	3,722
Advances [Member]
Advances and Consolidated Obligation Bonds, Fair Value Option [Roll Forward]
Balance, beginning of the period	3,677	[1]	5,137
New transactions elected for fair value option	169		246
Maturities and terminations	(171)		(424)
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option	47		20
Change in accrued interest	0		(1)
Balance, end of the period	3,722	[1]	4,978
Consolidated obligation bonds [Member]
Advances and Consolidated Obligation Bonds, Fair Value Option [Roll Forward]
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option	20		27
Balance, beginning of the period	4,233		6,717
New transactions elected for fair value option	245		655
Maturities and terminations	(885)		(1,025)
Change in accrued interest	0		1
Balance, end of the period	$ 3,613		$ 6,375

[1] At March 31, 2016, and December 31, 2015, none of these advances were 90 days or more past due or had been placed on nonaccrual status.

XML

Fair Value (Fair Value Difference Between Fair Value and Remaining Contractual Principal Balance Outstanding) (Details) - USD ($) $ in Millions		Mar. 31, 2016		Dec. 31, 2015		Mar. 31, 2015	Dec. 31, 2014
Fair Value, Option, Quantitative Disclosures [Line Items]
Fair Value of Advances Under the Fair Value Option		$ 3,722		$ 3,677
Fair Value Over/(Under) Principal Balance		85		38
Advances [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Principal Balance	[1]	3,637		3,639
Fair Value of Advances Under the Fair Value Option		3,722	[1]	3,677	[1]	$ 4,978	$ 5,137
Fair Value Over/(Under) Principal Balance	[1]	85		38
Consolidated obligation bonds [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Principal Balance		3,610		4,250
Fair Value of Bonds Under the Fair Value Option		3,613		4,233		$ 6,375	$ 6,717
Fair Value Over/(Under) Principal Balance		$ 3		$ (17)

[1] At March 31, 2016, and December 31, 2015, none of these advances were 90 days or more past due or had been placed on nonaccrual status.

XML

Commitments and Contingencies Off-Balance Sheet Commitments (Details) - USD ($) $ in Millions		3 Months Ended
		Mar. 31, 2016	Dec. 31, 2015
Loss Contingencies [Line Items]
Total consolidated obligations, par		$ 78,154	$ 79,355
Standby Letters Of Credit, Final Expiration		2031
Other Liabilities		$ 505	455
Commitments to purchase mortgage loans, maximum term		45 days
FHLBanks [Member]
Loss Contingencies [Line Items]
Obligation with Joint and Several Liability Arrangement, Amount Outstanding		$ 896,827	905,202
Standby letters of credit outstanding [Member]
Loss Contingencies [Line Items]
Expire Within One Year		10,634	9,072
Expire After One Year		3,782	3,237
Total		14,416	12,309
Other Liabilities		22	18
Commitments to fund advances [Member]
Loss Contingencies [Line Items]
Expire Within One Year	[1]	110	5
Expire After One Year	[1]	5	5
Total	[1]	115	10
Commitments to Issue consolidated obligations, discount notes [Member]
Loss Contingencies [Line Items]
Expire Within One Year	[2]	143	300
Expire After One Year	[2]	0	0
Total	[2]	143	300
Commitments to issue consolidated obligation bonds, par
Loss Contingencies [Line Items]
Expire Within One Year	[3]	15	110
Expire After One Year	[3]	0	0
Total	[3]	15	110
Interest rate swaps [Member] | Commitments to fund advances [Member]
Loss Contingencies [Line Items]
Total		0	0
Interest rate swaps [Member] | Commitments to Issue consolidated obligations, discount notes [Member]
Loss Contingencies [Line Items]
Total		133	0
Interest rate swaps [Member] | Commitments to issue consolidated obligation bonds, par
Loss Contingencies [Line Items]
Total		$ 15	110
Minimum [Member]
Loss Contingencies [Line Items]
Standby Letters Of Credit, Original Terms		33 days
Maximum [Member]
Loss Contingencies [Line Items]
Standby Letters Of Credit, Original Terms		15 years
Guarantee of Indebtedness of Others [Member]
Loss Contingencies [Line Items]
Total consolidated obligations, par		$ 78,154	79,355
Mortgages [Member] | Commitments to purchase mortgage loans [Member]
Loss Contingencies [Line Items]
Expire Within One Year		7	5
Expire After One Year		0	0
Total		$ 7	$ 5

[1] At March 31, 2016, and at December 31, 2015, none of the commitments to fund additional advances were hedged with associated interest rate swaps.

[2] At March 31, 2016, $133 of the commitments to issue consolidated obligation discount notes were hedged with associated interest rate swaps. At December 31, 2015, none of the commitments to issue consolidated obligation discount notes were hedged with associated interest rate swaps.

[3] At March 31, 2016, and at December 31, 2015, all of the commitments to issue consolidated obligation bonds were hedged with associated interest rate swaps.

XML

Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2016	Mar. 31, 2015	Dec. 31, 2015
Assets:
Advances	$ 49,169		$ 50,919
Mortgage loans held for portfolio	632		655
Accrued interest receivable	54		56
Capital [Abstract]
Capital stock	2,115		2,253
Interest Income:
Advances	104	$ 67
Mortgage loans held for portfolio	8	9
Transaction with Member Officer or Director [Member]
Assets:
Advances	2,541		3,297
Mortgage loans held for portfolio	22		24
Accrued interest receivable	5		5
Liabilities:
Deposits	4		4
Capital [Abstract]
Capital stock	120		$ 119
Interest Income:
Advances	9	9
Mortgage loans held for portfolio	$ 0	$ 0
Minimum [Member]
Related Party Transaction [Line Items]
Transactions with Certain Members and Nonmembers, Voting Interest, Percent	10.00%

XML

Subsequent Events Narrative (Details) $ in Millions	1 Months Ended
	Apr. 30, 2016 USD ($)
Other Assets [Member] | Subsequent Event [Member]
Subsequent Event [Line Items]
Payments subsequently received relating to gain in PLRMBS legal settlements	$ 265