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 June 30, 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 July 31, 2016
Class B Stock, par value $100	30,165,229

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	57
	Quarterly Overview	58
	Financial Highlights	58
	Results of Operations	60
	Financial Condition	73
	Liquidity and Capital Resources	83
	Risk Management	86
	Critical Accounting Policies and Estimates	102
	Recently Issued Accounting Standards and Interpretations	103
	Recent Developments	103
	Off-Balance Sheet Arrangements and Other Commitments	104
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	105
Item 4.	Controls and Procedures	110
PART II.	OTHER INFORMATION
Item 1.	Legal Proceedings	111
Item 1A.	Risk Factors	111
Item 6.	Exhibits	112
Signatures		113

PART I. FINANCIAL INFORMATION

ITEM 1.FINANCIAL STATEMENTS

Federal Home Loan Bank of San Francisco

Statements of Condition

(Unaudited)

(In millions-except par value)	June 30, 2016		December 31, 2015
Assets:
Cash and due from banks	$	15	$	1,637
Interest-bearing deposits	575		—
Securities purchased under agreements to resell	13,000		10,000
Federal funds sold	5,557		4,626
Trading securities(a)	1,409		1,433
Available-for-sale (AFS) securities(a)	4,864		5,414
Held-to-maturity (HTM) securities (fair values were $11,320 and $10,821, respectively)(a)	11,173		10,802
Advances (includes $3,752 and $3,677 at fair value under the fair value option, respectively)	61,963		50,919
Mortgage loans held for portfolio, net of allowance for credit losses of $0 and $0, respectively	632		655
Accrued interest receivable	55		56
Premises, software, and equipment, net	31		32
Derivative assets, net	64		44
Other assets	92		80
Total Assets	$	99,430	$	85,698
Liabilities:
Deposits	$	219	$	127
Consolidated obligations:
Bonds (includes $2,925 and $4,233 at fair value under the fair value option, respectively)	50,924		51,827
Discount notes	41,930		27,647
Total consolidated obligations	92,854		79,474
Mandatorily redeemable capital stock	486		488
Accrued interest payable	78		80
Affordable Housing Program (AHP) payable	186		172
Derivative liabilities, net	7		6
Other liabilities	238		455
Total Liabilities	94,068		80,802
Commitments and Contingencies (Note 17)
Capital:
Capital stock—Class B—Putable ($100 par value) issued and outstanding:
25 shares and 23 shares, respectively	2,520		2,253
Unrestricted retained earnings	761		610
Restricted retained earnings	2,067		2,018
Total Retained Earnings	2,828		2,628
Accumulated other comprehensive income/(loss) (AOCI)	14		15
Total Capital	5,362		4,896
Total Liabilities and Capital	$	99,430	$	85,698

(a) At June 30, 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 June 30,						Six Months Ended June 30,
(In millions)	2016			2015			2016			2015
Interest Income:
Advances	$	117		$	73		$	221		$	140
Prepayment fees on advances, net	—			8			2			8
Interest-bearing deposits	1			—			1			—
Securities purchased under agreements to resell	3			1			5			1
Federal funds sold	7			2			12			4
Trading securities	1			1			3			3
AFS securities	67			67			136			134
HTM securities	62			76			126			156
Mortgage loans held for portfolio	7			8			15			17
Total Interest Income	265			236			521			463
Interest Expense:
Consolidated obligations:
Bonds	104			80			208			156
Discount notes	32			10			51			16
Mandatorily redeemable capital stock	12			38			22			53
Total Interest Expense	148			128			281			225
Net Interest Income	117			108			240			238
Provision for/(reversal of) credit losses on mortgage loans	—			—			—			—
Net Interest Income After Mortgage Loan Loss Provision	117			108			240			238
Other Income/(Loss):
Total other-than-temporary impairment (OTTI) loss	(3		)	(15		)	(18		)	(19		)
Net amount of OTTI loss reclassified to/(from) AOCI	(1		)	9			7			11
Net OTTI loss, credit-related	(4		)	(6		)	(11		)	(8		)
Net gain/(loss) on trading securities	1			—			2			—
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option	13			(26		)	40			(33		)
Net gain/(loss) on derivatives and hedging activities	(23		)	27			(88		)	6
Gains on litigation settlements, net	—			—			211			459
Other	4			3			8			6
Total Other Income/(Loss)	(9		)	(2		)	162			430
Other Expense:
Compensation and benefits	18			17			36			34
Other operating expense	17			15			32			29
Federal Housing Finance Agency	1			1			3			3
Office of Finance	1			1			2			2
Total Other Expense	37			34			73			68
Income/(Loss) Before Assessment	71			72			329			600
AHP Assessment	8			11			35			65
Net Income/(Loss)	$	63		$	61		$	294		$	535

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 June 30,					Six Months Ended June 30,
(In millions)	2016		2015			2016			2015
Net Income/(Loss)	$	63	$	61		$	294		$	535
Other Comprehensive Income/(Loss):
Net change in pension and postretirement benefits	—		1			1			1
Net non-credit-related OTTI gain/(loss) on AFS securities:
Net change in fair value of other-than-temporarily impaired securities	50		(2		)	3			18
Net amount of OTTI loss reclassified to/(from) other income/(loss)	1		(9		)	(7		)	(11		)
Total net non-credit-related OTTI gain/(loss) on AFS securities	51		(11		)	(4		)	7
Net non-credit-related OTTI gain/(loss) on HTM securities:
Accretion of non-credit-related OTTI loss	1		2			2			4
Total net non-credit-related OTTI gain/(loss) on HTM securities	1		2			2			4
Total other comprehensive income/(loss)	52		(8		)	(1		)	12
Total Comprehensive Income/(Loss)	$	115	$	53		$	293		$	547

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	5		527														527
Repurchase of capital stock	(10	)	(1,042		)												(1,042		)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net	—		(12		)												(12		)
Comprehensive income/(loss)						105		430			535			12			547
Cash dividends paid on capital stock (14.58%)								(241		)	(241		)				(241		)
Balance, June 30, 2015	28		$	2,751		$	2,170	$	483		$	2,653		$	68		$	5,472
Balance, December 31, 2015	23		$	2,253		$	2,018	$	610		$	2,628		$	15		$	4,896
Issuance of capital stock	6		653														653
Repurchase of capital stock	(3	)	(334		)												(334		)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net	(1	)	(52		)												(52		)
Comprehensive income/(loss)						49		245			294			(1		)	293
Cash dividends paid on capital stock (8.46%)								(94		)	(94		)				(94		)
Balance, June 30, 2016	25		$	2,520		$	2,067	$	761		$	2,828		$	14		$	5,362

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

6

Federal Home Loan Bank of San Francisco

Statements of Cash Flows

(Unaudited)

	Six Months Ended June 30,
(In millions)	2016			2015
Cash Flows from Operating Activities:
Net Income /(Loss)	$	294		$	535
Adjustments to reconcile net income/(loss) to net cash provided by operating activities:
Depreciation and amortization	(44		)	(46		)
Change in net fair value of trading securities	(2		)	—
Change in net fair value adjustment on advances and consolidated obligation bonds held under the fair value option	(40		)	33
Change in net derivatives and hedging activities	74			(30		)
Net OTTI loss, credit-related	11			8
Net change in:
Accrued interest receivable	1			5
Other assets	(11		)	(6		)
Accrued interest payable	(3		)	(6		)
Other liabilities	46			39
Total adjustments	32			(3		)
Net cash provided by/(used in) operating activities	326			532
Cash Flows from Investing Activities:
Net change in:
Interest-bearing deposits	208			(226		)
Securities purchased under agreements to resell	(3,000		)	(6,250		)
Federal funds sold	(931		)	2,315
Premises, software, and equipment	(5		)	(4		)
Loans to other Federal Home Loan Banks	—			(125		)
Trading securities:
Proceeds from maturities of long-term	276			601
Purchases of long-term	(500		)	—
AFS securities:
Proceeds from maturities of long-term	587			465
HTM securities:
Proceeds from maturities of long-term	1,225			1,387
Purchases of long-term	(1,597		)	—
Advances:
Principal collected	790,003			470,851
Made to members	(800,917		)	(482,082		)
Mortgage loans held for portfolio:
Principal collected	83			94
Purchases	(59		)	(57		)
Proceeds from sales of foreclosed assets	2			2
Net cash provided by/(used in) investing activities	(14,625		)	(13,029		)

7

Federal Home Loan Bank of San Francisco

Statements of Cash Flows (continued)

(Unaudited)

	Six Months Ended June 30,
(In millions)	2016			2015
Cash Flows from Financing Activities:
Net change in:
Deposits	(872		)	501
Net (payments)/proceeds on derivative contracts with financing elements	8			9
Net proceeds from issuance of consolidated obligations:
Bonds	19,692			15,658
Discount notes	65,703			65,159
Payments for matured and retired consolidated obligations:
Bonds	(20,599		)	(17,048		)
Discount notes	(51,426		)	(53,118		)
Proceeds from issuance of capital stock	653			527
Payments for repurchase/redemption of mandatorily redeemable capital stock	(54		)	(589		)
Payments for repurchase of capital stock	(334		)	(1,042		)
Cash dividends paid	(94		)	(241		)
Net cash provided by/(used in) financing activities	12,677			9,816
Net increase/(decrease) in cash and due from banks	(1,622		)	(2,681		)
Cash and due from banks at beginning of the period	1,637			3,920
Cash and due from banks at end of the period	$	15		$	1,239
Supplemental Disclosures:
Interest paid	$	260		$	215
AHP payments	21			24
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			12

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 June 30, 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 June 30, 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 June 30, 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 June 30, 2016, are discussed in Note 2 – Recently Issued and Adopted Accounting Guidance.

Note 2 — Recently Issued and Adopted Accounting Guidance

Measurement of Credit Losses on Financial Instruments

On June 16, 2016, the FASB issued amended guidance for the accounting for credit losses on financial instruments. The amendments require entities to measure expected credit losses based on relevant information about past events, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectability of the reported amount. An entity must use judgment in determining the relevant information and estimation methods that are appropriate under the circumstances. In addition, under the new guidance, a financial asset, or a group of financial assets, is required to be measured at its amortized cost to be presented at the net amount expected to be collected. Among other things, the guidance also requires:

• The statement of income to reflect the measurement of credit losses for newly recognized financial assets, as well as the expected increases or decreases of expected credit losses that have taken place during the period.

• The entities to determine the allowance for credit losses for purchased financial assets with a more-than-insignificant amount of credit deterioration since origination that are measured at amortized cost basis in a similar manner to other financial assets measured at amortized cost basis. The initial allowance for credit losses is required to be added to the purchase price.

• Credit losses relating to available-for-sale debt securities to be recorded through an allowance for credit losses. The amendments limit the allowance for credit losses to the amount by which fair value is below

10

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

amortized cost.

• Public entities to further disaggregate the current disclosure of credit quality indicators in relation to the amortized cost of financing receivables by the year of origination (i.e., vintage).

The guidance is effective for the Bank for interim and annual periods beginning on January 1, 2020. Early application is permitted as of the interim and annual reporting periods beginning after December 15, 2018. The guidance should be applied using a modified-retrospective approach, through a cumulative-effect adjustment to retained earnings as of the beginning of the first reporting period in which the guidance is effective. In addition, the entities are required to use a prospective transition approach for debt securities for which an other-than-temporary impairment had been recognized before the effective date. 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.

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 U.S. 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 U.S. 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 U.S. 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.

11

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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 resulted 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.

12

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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.

Note 3 — Trading Securities

The estimated fair value of trading securities as of June 30, 2016, and December 31, 2015, was as follows:

	June 30, 2016		December 31, 2015
Government-Sponsored Enterprises (GSEs) – Federal Farm Credit Bank (FFCB) bonds	$	1,400	$	1,424
MBS – Other U.S. obligations – Ginnie Mae	9		9
Total	$	1,409	$	1,433

The net unrealized gain/(loss) on trading securities was $1 and de minimis for the three months ended June 30, 2016 and 2015, respectively. The net unrealized gain/(loss) on trading securities was $2 and de minimis for the six

months ended June 30, 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 June 30, 2016, and December 31, 2015, were as follows:

13

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

June 30, 2016
	Amortized Cost(1)		OTTI Recognized in AOCI			Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value
PLRMBS:
Prime	$	452	$	(1	)	$	18	$	—		$	469
Alt-A, option ARM	907		(45		)	58		(4		)	916
Alt-A, other	3,466		(123		)	138		(2		)	3,479
Total	$	4,825	$	(169	)	$	214	$	(6	)	$	4,864

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 June 30, 2016, the amortized cost of the Bank’s PLRMBS classified as AFS included credit-related OTTI of $1,012. 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 June 30, 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.

June 30, 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	$	1	$	—	$	23	$	1	$	24	$	1
Alt-A, option ARM	71		—		403		49		474		49
Alt-A, other	149		2		1,410		123		1,559		125
Total	$	221	$	2	$	1,836	$	173	$	2,057	$	175

14

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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 June 30, 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 June 30, 2016, and December 31, 2015, are shown in the following table:

	June 30, 2016		December 31, 2015
Amortized cost of AFS PLRMBS:
Collateralized mortgage obligations:
Fixed rate	$	1,340	$	1,540
Adjustable rate	3,485		3,831
Total	$	4,825	$	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:

	June 30, 2016		December 31, 2015
Collateralized mortgage obligations:
Converts in 1 year or less	$	153	$	102
Converts after 1 year through 5 years	28		99
Total	$	181	$	201

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

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:

15

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

June 30, 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	$	254	$	—		$	254	$	—	$	(24	)	$	230
MBS:
Other U.S. obligations – Ginnie Mae	1,104		—			1,104		32		—			1,136
GSEs:
Freddie Mac	3,295		—			3,295		71		—			3,366
Fannie Mae	5,200		—			5,200		104		(5		)	5,299
Subtotal GSEs	8,495		—			8,495		175		(5		)	8,665
PLRMBS:
Prime	805		—			805		—		(29		)	776
Alt-A, other	527		(12		)	515		12		(14		)	513
Subtotal PLRMBS	1,332		(12		)	1,320		12		(43		)	1,289
Total MBS	10,931		(12		)	10,919		219		(48		)	11,090
Total	$	11,185	$	(12	)	$	11,173	$	219	$	(72	)	$	11,320

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 June 30, 2016, the amortized cost of the Bank’s MBS classified as HTM included premiums of $30, discounts of $35, 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 June 30, 2016, and December 31, 2015. The unrealized losses are aggregated by major security type and the length of time that individual securities

16

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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.

June 30, 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	$	—	$	—	$	224	$	24	$	224	$	24
MBS:
Other U.S. obligations – Ginnie Mae	63		—		—		—		63		—
GSEs:
Freddie Mac	3		—		3		—		6		—
Fannie Mae	489		3		107		2		596		5
Subtotal GSEs	492		3		110		2		602		5
PLRMBS:
Prime	127		2		649		27		776		29
Alt-A, other	5		—		508		26		513		26
Subtotal PLRMBS	132		2		1,157		53		1,289		55
Total MBS	687		5		1,267		55		1,954		60
Total	$	687	$	5	$	1,491	$	79	$	2,178	$	84

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

17

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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 June 30, 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.

June 30, 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	$	42	$	42	$	40
Due after 10 years	212		212		190
Subtotal	254		254		230
MBS	10,931		10,919		11,090
Total	$	11,185	$	11,173	$	11,320

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 June 30, 2016, and December 31, 2015, are detailed in the following table:

	June 30, 2016		December 31, 2015
Amortized cost of HTM securities other than MBS:
Adjustable rate	$	254	$	275
Subtotal	254		275
Amortized cost of HTM MBS:
Passthrough securities:
Fixed rate	121		146
Adjustable rate	382		416
Collateralized mortgage obligations:
Fixed rate	6,365		7,224
Adjustable rate	4,063		2,755
Subtotal	10,931		10,541
Total	$	11,185	$	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:

18

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	June 30, 2016		December 31, 2015
Passthrough securities:
Converts in 1 year or less	$	26	$	22
Converts after 1 year through 5 years	90		119
Total	$	116	$	141
Collateralized mortgage obligations:
Converts in 1 year or less	$	6	$	7
Converts after 1 year through 5 years	12		13
Total	$	18	$	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 2.0% to an increase of 10.0% over the 12-month period beginning April 1, 2016. For the vast majority of markets, the projected short-term housing price changes range from an increase of 2.0% to an increase of 6.0%. 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 June 30, 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 second quarter of 2016, and the related current credit enhancement for the Bank.

19

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

June 30, 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	12.1	17.3	30.9	—
Total Prime	12.1	17.3	30.9	—
Alt-A, option ARM
2007	6.5	40.9	37.8	9.7
Total Alt-A, option ARM	6.5	40.9	37.8	9.7
Alt-A, other
2007	11.1	27.4	38.4	0.8
2005	13.8	13.7	37.8	6.4
Total Alt-A, other	12.8	18.5	38.0	4.4
Total	11.7	22.7	38.0	5.4

(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 and six months ended June 30, 2016 and 2015.

	Three Months Ended June 30,						Six Months Ended June 30,
	2016			2015			2016			2015
Balance, beginning of the period	$	1,239		$	1,297		$	1,255		$	1,314
Additional charges on securities for which OTTI was previously recognized(1)	4			6			11			8
Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities(2)	(19		)	(19		)	(42		)	(38		)
Balance, end of the period	$	1,224		$	1,284		$	1,224		$	1,284

(1) For the three months ended June 30, 2016 and 2015, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to April 1, 2016 and 2015, respectively. For the six months ended June 30, 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 $22 for the three months ended June 30, 2016 and 2015, respectively. The total accretion or amortization associated with other-than-temporarily impaired PLRMBS (amount recognized in interest income) totaled $52 and $41 for the six months ended June 30, 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.

20

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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 and six months ended June 30, 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 and six months ended June 30, 2016.

	Three Months Ended June 30, 2015								Six Months Ended June 30, 2015
	Amortized Cost		OTTI Recognized in AOCI		Gross Unrecognized Holding Gains (Losses)		Estimated Fair Value		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 June 30, 2016, and December 31, 2015, by loan collateral type:

June 30, 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	$	546	$	452	$	469	$	—	$	—	$	—	$	—
Alt-A, option ARM	1,211		907		916		—		—		—		—
Alt-A, other	4,070		3,466		3,479		102		97		86		98
Total	$	5,827	$	4,825	$	4,864	$	102	$	97	$	86	$	98

21

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 June 30, 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 June 30, 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 June 30, 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 June 30, 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 0.36% to 8.57% at June 30, 2016, and 0.25% to 8.57% at December 31, 2015, as summarized below.

22

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	June 30, 2016				December 31, 2015
Contractual Maturity	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding		Weighted Average Interest Rate
Within 1 year	$	34,995	0.63	%	$	24,807	0.59	%
After 1 year through 2 years	4,582		1.18		4,252		1.19
After 2 years through 3 years	10,167		1.07		6,208		1.19
After 3 years through 4 years	4,048		1.10		6,877		0.89
After 4 years through 5 years	3,412		1.19		2,022		1.11
After 5 years	4,551		1.44		6,675		1.11
Total par value	61,755		0.87	%	50,841		0.84	%
Valuation adjustments for hedging activities	107				40
Valuation adjustments under fair value option	101				38
Total	$	61,963			$	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 $3,537 at June 30, 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 $15,554 at June 30, 2016, and $15,425 at December 31, 2015.

The Bank’s advances at June 30, 2016, and December 31, 2015, included $125 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 June 30, 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
	June 30, 2016		December 31, 2015		June 30, 2016		December 31, 2015
Within 1 year	$	36,077	$	25,983	$	35,045	$	24,947
After 1 year through 2 years	10,613		6,124		4,532		4,152
After 2 years through 3 years	5,762		8,432		10,167		6,168
After 3 years through 4 years	3,498		3,173		4,048		6,877
After 4 years through 5 years	4,405		5,706		3,412		2,022
After 5 years	1,400		1,423		4,551		6,675
Total par value	$	61,755	$	50,841	$	61,755	$	50,841

Credit and Concentration Risk. The following tables present the concentration in advances to the top five borrowers and their affiliates at June 30, 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 and six months ended June 30, 2016 and 2015.

23

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	June 30, 2016				Three Months Ended June 30, 2016				Six Months Ended June 30, 2016
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
JPMorgan Chase Bank, National Association(2)(3)	$	14,811	24	%	$	28	21	%	$	52	21	%
Bank of the West	7,467		12		12		9		24		9
First Republic Bank	5,900		9		18		13		34		13
Charles Schwab Bank	5,000		8		2		2		3		1
MUFG Union Bank, National Association	4,050		7		2		2		4		2
Subtotal	37,228		60		62		47		117		46
Others	24,527		40		70		53		137		54
Total par value	$	61,755	100	%	$	132	100	%	$	254	100	%

	June 30, 2015				Three Months Ended June 30, 2015				Six Months Ended June 30, 2015
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
JPMorgan Chase & Co.:
JPMorgan Bank & Trust Company, National Association(3)	$	13,000	26	%	$	16	16	%	$	27	14	%
JPMorgan Chase Bank, National Association(2)	817		2		1		1		3		1
Subtotal JPMorgan Chase & Co.	13,817		28		17		17		30		15
Bank of the West	6,602		13		6		6		12		6
First Republic Bank	4,725		9		20		20		40		20
Bank of America California, N.A.	4,000		8		3		3		5		3
Citigroup Inc
Citibank, N.A.(2)	3,000		6		1		1		2		1
Banamex USA	—		—		—		—		—		—
Subtotal Citigroup Inc	3,000		6		1		1		2		1
Subtotal	32,144		64		47		47		89		45
Others	17,917		36		53		53		107		55
Total par value	$	50,061	100	%	$	100	100	%	$	196	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.

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.

24

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Interest Rate Payment Terms. Interest rate payment terms for advances at June 30, 2016, and December 31, 2015, are detailed below:

	June 30, 2016		December 31, 2015
Par value of advances:
Fixed rate:
Due within 1 year	$	23,629	$	13,073
Due after 1 year	9,860		9,381
Total fixed rate	33,489		22,454
Adjustable rate:
Due within 1 year	11,367		11,734
Due after 1 year	16,899		16,653
Total adjustable rate	28,266		28,387
Total par value	$	61,755	$	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 June 30, 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, as follows:

	Three Months Ended						Six Months Ended
	June 30, 2016			June 30, 2015			June 30, 2016		June 30, 2015
Prepayment fees received	$	1		$	12		$	1	$	26
Fair value adjustments	(1		)	(4		)	1		(18		)
Net	$	—		$	8		$	2	$	8
Advance principal prepaid	$	1,089		$	638		$	1,859	$	1,245

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; of jumbo mortgage

25

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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; and of government-insured or government-guaranteed mortgage loans that will be packaged into securities backed by the mortgage loans and guaranteed by Ginnie Mae under the MPF Government MBS product. When members sell mortgage loans under the MPF Xtra, MPF Direct, and MPF Government MBS products, the loans are sold to a third-party investor and are not recorded on the Bank’s Statements of Condition. As of June 30, 2016, the Bank had approved 14 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 June 30, 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.

	June 30, 2016			December 31, 2015
Fixed rate medium-term mortgage loans	$	75		$	100
Fixed rate long-term mortgage loans	552			553
Subtotal	627			653
Unamortized premiums	10			10
Unamortized discounts	(5		)	(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 June 30, 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 six months ended June 30, 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 June 30, 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 six months of 2016 or from July 1 to July 31, 2016.

Mortgage Loans Held for Portfolio. The following table presents information on delinquent mortgage loans as of June 30, 2016, and December 31, 2015.

26

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	June 30, 2016			December 31, 2015
	Recorded Investment(1)			Recorded Investment(1)
30 – 59 days delinquent	$	9		$	10
60 – 89 days delinquent	3			5
90 days or more delinquent	16			18
Total past due	28			33
Total current loans	607			625
Total mortgage loans	$	635		$	658
In process of foreclosure, included above(2)	$	6		$	7
Nonaccrual loans	$	16		$	18
Loans past due 90 days or more and still accruing interest	$	—		$	—
Serious delinquencies as a percentage of total mortgage loans outstanding(3)	2.51		%	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				Six Months Ended
	June 30, 2016		June 30, 2015		June 30, 2016		June 30, 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:

	June 30, 2016		December 31, 2015
Allowance for credit losses, end of period:
Individually evaluated for impairment	$	—	$	—
Collectively 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:

27

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	June 30, 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		—
Total	$	12	$	12	$	—	$	14	$	14	$	—

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

	Three Months Ended				Six Months Ended
	June 30, 2016		June 30, 2015		June 30, 2016		June 30, 2015
With no related allowance	$	12	$	15	$	12	$	14
With an allowance	—		—		1		2
Total	$	12	$	15	$	13	$	16

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 June 30,

28

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

2016, and December 31, 2015. For MPF Plus loans, the Bank established an allowance for credit losses totaling de minimis amounts as of June 30, 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 June 30, 2016, and December 31, 2015, and for MPF Plus loans totaling de minimis amounts as of June 30, 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 $4 as of June 30, 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 June 30, 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. The Bank did not have any term Federal funds sold as of June 30, 2016. All investments in Federal funds sold as of 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 June 30, 2016, and December 31, 2015, were as follows:

	June 30, 2016		December 31, 2015
Interest-bearing deposits:
Demand and overnight	$	218	$	124
Total interest-bearing deposits	218		124
Non-interest-bearing deposits	1		3
Total	$	219	$	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 June 30, 2016, and December 31, 2015, are detailed in the following table:

	June 30, 2016				December 31, 2015
	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding		Weighted Average Interest Rate
Interest-bearing deposits – Adjustable rate	$	218	0.01	%	$	124	0.01	%
Non-interest-bearing deposits	1				3
Total	$	219			$	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.

Redemption Terms. The following is a summary of the Bank’s participation in consolidated obligation bonds at June 30, 2016, and December 31, 2015.

29

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	June 30, 2016					December 31, 2015
Contractual Maturity	Amount Outstanding			Weighted Average Interest Rate		Amount Outstanding			Weighted Average Interest Rate
Within 1 year	$	35,797		1.04	%	$	29,114		1.03	%
After 1 year through 2 years	8,135			1.13		11,264			0.91
After 2 years through 3 years	2,204			1.34		5,162			1.28
After 3 years through 4 years	1,120			1.64		1,430			1.44
After 4 years through 5 years	1,545			1.66		1,740			1.67
After 5 years	1,986			2.39		2,982			2.43
Total par value	50,787			1.15	%	51,692			1.14	%
Unamortized premiums	18					27
Unamortized discounts	(12		)			(17		)
Valuation adjustments for hedging activities	126					142
Fair value option valuation adjustments	5					(17		)
Total	$	50,924				$	51,827

The Bank’s participation in consolidated obligation bonds outstanding includes callable bonds of $5,965 at June 30, 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 $2,875 at June 30, 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 June 30, 2016, and December 31, 2015, was as follows:  

	June 30, 2016		December 31, 2015
Par value of consolidated obligation bonds:
Non-callable	$	44,822	$	43,687
Callable	5,965		8,005
Total par value	$	50,787	$	51,692

The following is a summary of the Bank’s participation in consolidated obligation bonds outstanding at June 30, 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	June 30, 2016		December 31, 2015
Within 1 year	$	40,752	$	36,469
After 1 year through 2 years	8,075		10,914
After 2 years through 3 years	1,314		3,282
After 3 years through 4 years	420		455
After 4 years through 5 years	135		395
After 5 years	91		177
Total par value	$	50,787	$	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:

30

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	June 30, 2016					December 31, 2015
	Amount Outstanding			Weighted Average Interest Rate (1)		Amount Outstanding			Weighted Average Interest Rate (1)
Par value	$	41,970		0.41	%	$	27,663		0.25	%
Unamortized discounts	(40		)			(16		)
Total	$	41,930				$	27,647

(1) Represents yield to maturity excluding concession fees.

Interest Rate Payment Terms. Interest rate payment terms for consolidated obligations at June 30, 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.

	June 30, 2016		December 31, 2015
Par value of consolidated obligations:
Bonds:
Fixed rate	$	22,818	$	28,942
Adjustable rate	26,764		20,815
Step-up	485		1,110
Step-down	550		550
Fixed rate that converts to adjustable rate	70		175
Range bonds	100		100
Total bonds, par value	50,787		51,692
Discount notes, par value	41,970		27,663
Total consolidated obligations, par value	$	92,757	$	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 June 30, 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 June 30, 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, March 31, 2015	$	106		$	(18	)	$	(12	)	$	76
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	(2		)							(2		)
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)	(11		)	2			1			(8		)
Balance, June 30, 2015	$	95		$	(16	)	$	(11	)	$	68
Balance, March 31, 2016	$	(12	)	$	(13	)	$	(13	)	$	(38	)
Other comprehensive income/(loss) before reclassifications:
Non-credit-related OTTI loss	(2		)	—						(2		)
Net change in fair value	50									50
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	3			—						3
Net current period other comprehensive income/(loss)	51			1			—			52
Balance, June 30, 2016	$	39		$	(12	)	$	(13	)	$	14

32

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

The following table summarizes the changes in AOCI for the six months ended June 30, 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:
Net change in pension and postretirement benefits							1			1
Non-credit-related OTTI loss	(13		)	—						(13		)
Net change in fair value	18									18
Accretion of non-credit-related OTTI loss				4						4
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)	7			4			1			12
Balance, June 30, 2015	$	95		$	(16	)	$	(11	)	$	68
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	(12		)	—						(12		)
Net change in fair value	3									3
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	5			—						5
Net current period other comprehensive income/(loss)	(4		)	2			1			(1		)
Balance, June 30, 2016	$	39		$	(12	)	$	(13	)	$	14

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.

33

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

As of June 30, 2016, and December 31, 2015, the Bank was in compliance with these capital rules and requirements as shown in the following table.

	June 30, 2016						December 31, 2015
	Required			Actual			Required			Actual
Risk-based capital	$	2,468		$	5,834		$	2,684		$	5,369
Total regulatory capital	$	3,977		$	5,834		$	3,428		$	5,369
Total regulatory capital ratio	4.00		%	5.87		%	4.00		%	6.26		%
Leverage capital	$	4,972		$	8,751		$	4,285		$	8,054
Leverage ratio	5.00		%	8.80		%	5.00		%	9.40		%

Mandatorily Redeemable Capital Stock. The Bank had mandatorily redeemable capital stock totaling $486 outstanding to eight institutions at June 30, 2016, and $488 outstanding to nine institutions at December 31, 2015. The change in mandatorily redeemable capital stock for the three and six months ended June 30, 2016 and 2015, was as follows:

	Three Months Ended					Six Months Ended
	June 30, 2016		June 30, 2015			June 30, 2016			June 30, 2015
Balance at the beginning of the period	$	486	$	383		$	488		$	719
Reclassified from/(to) capital during the period	—		4			52			12
Redemption of mandatorily redeemable capital stock	—		(28		)	—			(34		)
Repurchase of excess mandatorily redeemable capital stock	—		(217		)	(54		)	(555		)
Balance at the end of the period	$	486	$	142		$	486		$	142

Cash dividends on mandatorily redeemable capital stock were recorded as interest expense in the amount of $12 and $22 for the three and six months ended June 30, 2016, respectively, and in the amount of $38 and $53 for the three and six months ended June 30, 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 June 30, 2016, and December 31, 2015.

Contractual Redemption Period	June 30, 2016		December 31, 2015
Within 1 year	$	—	$	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)	105		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

34

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 198% as of June 30, 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 and six months ended June 30, 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, March 31, 2015	$	624		$	25	$	1,800	$	325	$	2,150	$	2,774
Net income	41			8		—		12		20		61
Cash dividends on capital stock	(182		)									(182		)
Balance, June 30, 2015	$	483		$	33	$	1,800	$	337	$	2,170	$	2,653
Balance, March 31, 2016	$	760		$	—	$	1,650	$	404	$	2,054	$	2,814
Net income	50			—		—		13		13		$	63
Cash dividends on capital stock	(49		)									(49		)
Balance, June 30, 2016	$	761		$	—	$	1,650	$	417	$	2,067	$	2,828

				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	430			(2		)	—		107		105		535
Cash dividends on capital stock	(241		)										(241		)
Balance, June 30, 2015	$	483		$	33		$	1,800	$	337	$	2,170	$	2,653
Balance, December 31, 2015	$	610		$	10		$	1,650	$	358	$	2,018	$	2,628
Net income	245			(10		)	—		59		49		294
Cash dividends on capital stock	(94		)										(94		)
Balance, June 30, 2016	$	761		$	—		$	1,650	$	417	$	2,067	$	2,828

35

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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 June 30, 2016, the Bank’s excess capital stock totaled $366, or 0.37% of total assets.

In the second quarter of 2016, the Bank paid dividends 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. In the second quarter of 2015, the Bank paid dividends at an annualized rate of 22.65%, totaling $220, including $182 in dividends on capital stock and $38 in dividends on mandatorily redeemable capital stock. The dividends included a special dividend in the amount of $145, including $120 in dividends on capital stock and $25 in dividends on mandatorily redeemable capital stock.

In the first six months of 2016, the Bank paid dividends at an annualized rate of 8.46%, totaling $116, including $94 in dividends on capital stock and $22 in dividends on mandatorily redeemable capital stock. In the first six months of 2015, the Bank paid dividends at an annualized rate of 14.58%, totaling $294, of which $145 was related to the special dividend. The total dividends paid included $241 in dividends on capital stock and $53 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 July 28, 2016, the Bank’s Board of Directors declared a cash dividend on the capital stock outstanding during the second quarter of 2016 at an annualized rate of 9.17%, totaling $63, including $52 in dividends on capital stock and $11 in dividends on mandatorily redeemable capital stock. The Bank recorded the dividend on July 28, 2016. The Bank expects to pay the dividend on or about August 15, 2016. Dividends on mandatorily redeemable capital stock will be recognized as interest expense in the third 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 $136 in excess capital stock in the first and second quarters of 2016, respectively, and $750 and $847 in excess capital stock in the first and second quarters of 2015, respectively.

36

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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 second quarter of 2016 and 2015, the Bank redeemed a de minimis amount and $28, 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 July 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 August 16, 2016.

Excess capital stock totaled $366 as of June 30, 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 13%, of the Bank’s outstanding capital stock, including mandatorily redeemable capital stock, as of June 30, 2016, and $400, or 15% as of December 31, 2015. No other institution held more than 10% of the Bank’s outstanding capital stock as of June 30, 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.

37

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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 and six months ended June 30, 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:
June 30, 2016	$	37	$	84	$	121	$	(2	)	$	(6	)	$	12	$	117	$	(9	)	$	37	$	71
June 30, 2015	47		90		137		(5		)	(4		)	38		108		(2		)	34		72
Six months ended:
June 30, 2016	73		170		243		(4		)	(15		)	22		240		162			73		329
June 30, 2015	82		183		265		(13		)	(13		)	53		238		430			68		600

(1) The mortgage-related business includes total accretion or amortization associated with other-than-temporarily impaired PLRMBS, which are recognized in interest income, totaled $26 and $22 for the three months ended June 30, 2016 and 2015; and totaled $52 and $41 for the six months ended June 30, 2016 and 2015, respectively. The mortgage-related business does not include credit-related OTTI losses of $4 and $6 for the three months ended June 30, 2016 and 2015; $11 and $8 for the six months ended June 30, 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 June 30, 2016, and December 31, 2015.

	Advances- Related Business		Mortgage- Related Business		Total Assets
June 30, 2016	$	82,958	$	16,472	$	99,430
December 31, 2015	69,047		16,651		85,698

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

38

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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 notional principal of the interest rate exchange agreements associated with derivatives with members or offsetting derivatives with other counterparties was $120 and $132, at June 30, 2016 and December 31, 2015, respectively.

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

39

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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 six months ended June 30, 2016, or the year ended December 31, 2015.

40

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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 June 30, 2016, was $54, for which the Bank had posted collateral with a fair value of $49 in the ordinary course of business. If the Bank’s credit rating at June 30, 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 a de minimis amount of additional collateral (at fair value) to its derivative counterparties at June 30, 2016.

The following table summarizes the fair value of derivative instruments including the effect of netting adjustments and cash collateral as of June 30, 2016, and December 31, 2015. For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest.

41

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	June 30, 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	$	24,453	$	151		$	116		$	27,110	$	192		$	71
Total	24,453		151			116			27,110		192			71
Derivatives not designated as hedging instruments:
Interest rate swaps	49,389		52			136			50,444		58			71
Interest rate caps and floors	2,230		1			2			2,230		6			1
Mortgage delivery commitments	14		—			—			5		—			—
Total	51,633		53			138			52,679		64			72
Total derivatives before netting and collateral adjustments	$	76,086	204			254			$	79,789	256			143
Netting adjustments and cash collateral(1)			(140		)	(247		)			(212		)	(137		)
Total derivative assets and total derivative liabilities			$	64		$	7				$	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 $123 and $57 at June 30, 2016, and December 31, 2015, respectively. Cash collateral received and related accrued interest was $16 and $132 at June 30, 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 and six months ended June 30, 2016 and 2015.

	Three Months Ended						Six Months Ended
	June 30, 2016			June 30, 2015			June 30, 2016			June 30, 2015
	Gain/(Loss)			Gain/(Loss)			Gain/(Loss)			Gain/(Loss)
Derivatives designated as hedging instruments:
Interest rate swaps	$	—		$	(3	)	$	(4	)	$	(10	)
Total net gain/(loss) related to fair value hedge ineffectiveness	—			(3		)	(4		)	(10		)
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	(15		)	33			(64		)	30
Interest rate caps and floors	(3		)	—			(6		)	(2		)
Net settlements	(6		)	(4		)	(15		)	(13		)
Mortgage delivery commitments	1			1			1			1
Total net gain/(loss) related to derivatives not designated as hedging instruments	(23		)	30			(84		)	16
Net gain/(loss) on derivatives and hedging activities	$	(23	)	$	27		$	(88	)	$	6

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 and six months ended June 30, 2016 and 2015.

42

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	Three Months Ended
	June 30, 2016											June 30, 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	$	(18	)	$	17	$	(1	)	$	(15	)	$	32		$	(32	)	$	—		$	(27	)
Consolidated obligation bonds	(28		)	29		1			50			(49		)	46			(3		)	67
Total	$	(46	)	$	46	$	—		$	35		$	(17	)	$	14		$	(3	)	$	40

	Six Months Ended
	June 30, 2016											June 30, 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	$	(67	)	$	66	$	(1	)	$	(33	)	$	(6	)	$	6	$	—		$	(55	)
Consolidated obligation bonds	(17		)	14		(3		)	103			(64		)	54		(10		)	129
Total	$	(84	)	$	80	$	(4	)	$	70		$	(70	)	$	60	$	(10	)	$	74

(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 June 30, 2016, and December 31, 2015.

43

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	June 30, 2016						December 31, 2015
	Derivative Assets			Derivative Liabilities			Derivative Assets			Derivative Liabilities
Derivative instruments meeting netting requirements
Gross recognized amount
Uncleared derivatives	$	79		$	111		$	166		$	93
Cleared derivatives	125			143			90			50
Total gross recognized amount	204			254			256			143
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives	(71		)	(104		)	(149		)	(87		)
Cleared derivatives	(69		)	(143		)	(63		)	(50		)
Total gross amount of netting adjustments and cash collateral	(140		)	(247		)	(212		)	(137		)
Total derivative assets and total derivative liabilities
Uncleared derivatives	8			7			17			6
Cleared derivatives	56			—			27			—
Total derivative assets and derivative liabilities presented in the Statements of Condition	64			7			44			6
Non-cash collateral received or pledged not offset
Can be sold or repledged - Uncleared derivatives	3			—			11			—
Net unsecured amount
Uncleared derivatives	5			7			6			6
Cleared derivatives	56			—			27			—
Total net unsecured amount	$	61		$	7		$	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 June 30, 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 June 30, 2016, and December 31, 2015.

44

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	June 30, 2016
	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments(1)
Assets
Cash and due from banks	$	15	$	15	$	15	$	—	$	—	$	—
Interest-bearing deposits	575		575		575		—		—		—
Securities purchased under agreements to resell	13,000		13,000		—		13,000		—		—
Federal funds sold	5,557		5,557		—		5,557		—		—
Trading securities	1,409		1,409		—		1,409		—		—
AFS securities	4,864		4,864		—		—		4,864		—
HTM securities	11,173		11,320		—		9,801		1,519		—
Advances	61,963		61,956		—		61,956		—		—
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	632		671		—		671		—		—
Accrued interest receivable	55		55		—		55		—		—
Derivative assets, net(1)	64		64		—		204		—		(140		)
Other assets(2)	11		11		11		—		—		—
Liabilities
Deposits	219		219		—		219		—		—
Consolidated obligations:
Bonds	50,924		51,014		—		51,014		—		—
Discount notes	41,930		41,938		—		41,938		—		—
Total consolidated obligations	92,854		92,952		—		92,952		—		—
Mandatorily redeemable capital stock	486		486		486		—		—		—
Accrued interest payable	78		78		—		78		—		—
Derivative liabilities, net(1)	7		7		—		254		—		(247		)
Other
Standby letters of credit	27		27		—		27		—		—
Commitments to fund advances(3)	—		1		—		1		—		—
Commitments to issue consolidated obligation bonds(3)	—		1		—		1		—		—

45

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

46

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 June 30, 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

47

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 June 30, 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

48

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

49

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 June 30, 2016, and December 31, 2015, by level within the fair value hierarchy.

50

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

June 30, 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	$	—	$	1,400	$	—	$	—		$	1,400
MBS:
Other U.S. obligations – Ginnie Mae	—		9		—		—			9
Total trading securities	—		1,409		—		—			1,409
AFS securities:
PLRMBS	—		—		4,864		—			4,864
Total AFS securities	—		—		4,864		—			4,864
Advances(2)	—		3,752		—		—			3,752
Derivative assets, net: interest rate-related	—		204		—		(140		)	64
Other assets	11		—		—		—			11
Total recurring fair value measurements – Assets	$	11	$	5,365	$	4,864	$	(140	)	$	10,100
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	2,925	$	—	$	—		$	2,925
Derivative liabilities, net: interest rate-related	—		254		—		(247		)	7
Total recurring fair value measurements – Liabilities	$	—	$	3,179	$	—	$	(247	)	$	2,932
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

51

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 June 30, 2016, and December 31, 2015.

(3) Represents consolidated obligation bonds recorded under the fair value option at June 30, 2016, and December 31, 2015.

(4) The fair value information presented is as of the date the fair value adjustment was recorded during the six months ended June 30, 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 and six months ended June 30, 2016, and 2015.

	Three Months Ended
	June 30, 2016			June 30, 2015
Balance, beginning of the period	$	5,145		$	6,188
Total gain/(loss) realized and unrealized included in:
Interest income	26			22
Net OTTI loss, credit-related	(4		)	(6		)
Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI	50			(2		)
Net amount of OTTI loss reclassified to/(from) other income/(loss)	1			(9		)
Settlements	(354		)	(243		)
Balance, end of the period	$	4,864		$	5,950
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	$	22		$	16

	Six Months Ended
	June 30, 2016			June 30, 2015
Balance, beginning of the period	$	5,414		$	6,371
Total gain/(loss) realized and unrealized included in:
Interest income	52			41
Net OTTI loss, credit-related	(11		)	(8		)
Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI	3			18
Net amount of OTTI loss reclassified to/(from) other income/(loss)	(7		)	(11		)
Settlements	(587		)	(465		)
Transfers of HTM securities to AFS securities	—			4
Balance, end of the period	$	4,864		$	5,950
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	$	41		$	33

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.

52

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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 and six months ended June 30, 2016 and 2015:

	Three Months Ended
	June 30, 2016						June 30, 2015
	Advances			Consolidated Obligation Bonds			Advances			Consolidated Obligation Bonds
Balance, beginning of the period	$	3,722		$	3,613		$	4,978		$	6,375
New transactions elected for fair value option	262			205			200			1,150
Maturities and terminations	(248		)	(895		)	(164		)	(1,308		)
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option	16			3			(36		)	(10		)
Change in accrued interest	—			(1		)	—			(4		)
Balance, end of the period	$	3,752		$	2,925		$	4,978		$	6,203

	Six Months Ended
	June 30, 2016						June 30, 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	431			450			446			1,805
Maturities and terminations	(419		)	(1,780		)	(588		)	(2,333		)
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option	63			23			(16		)	17
Change in accrued interest	—			(1		)	(1		)	(3		)
Balance, end of the period	$	3,752		$	2,925		$	4,978		$	6,203

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 three and six months ended June 30, 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 June 30, 2016, and December 31, 2015:

53

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	At June 30, 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)	$	3,651	$	3,752	$	101	$	3,639	$	3,677	$	38
Consolidated obligation bonds	2,920		2,925		5		4,250		4,233		(17		)

(1) At June 30, 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 June 30, 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 $963,810 at June 30, 2016, and $905,202 at December 31, 2015. The par value of the Bank’s participation in consolidated obligations was $92,757 at June 30, 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 June 30, 2016, and December 31, 2015, were as follows:

	June 30, 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	$	11,575	$	4,367	$	15,942	$	9,072	$	3,237	$	12,309
Commitments to fund additional advances(1)	27		1		28		5		5		10
Commitments to issue consolidated obligation discount notes, par(2)	748		—		748		300		—		300
Commitments to issue consolidated obligation bonds, par(3)	120		—		120		110		—		110
Commitments to purchase mortgage loans	14		—		14		5		—		5

(1) AtJune 30, 2016, $20 of the commitments to fund additional advances were hedged with associated interest rate swaps. At December 31, 2015, none of the commitments to fund additional advances were hedged with associated interest rate swaps.

(2) AtJune 30, 2016, and at December 31, 2015, none of the commitments to issue consolidated obligation discount notes were hedged with associated interest rate swaps.

(3) AtJune 30, 2016, none of the commitments to issue consolidated obligation bonds were hedged with associated interest rate swaps. 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 14 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 $27 at June 30, 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

54

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

deemed it unnecessary to record any additional liability on the letters of credit outstanding as of June 30, 2016, and December 31, 2015.

Commitments to fund advances totaled $28 at June 30, 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 June 30, 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.

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.

	June 30, 2016		December 31, 2015
Assets:
Advances	$	3,333	$	3,297
Mortgage loans held for portfolio	20		24
Accrued interest receivable	4		5
Liabilities:
Deposits	$	3	$	4
Capital:
Capital Stock	$	132	$	119

	Three Months Ended				Six Months Ended
	June 30, 2016		June 30, 2015		June 30, 2016	June 30, 2015
Interest Income:
Advances	$	8	$	9	17	$	18
Mortgage loans held for portfolio	1		1		1	1

55

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

All transactions with members, nonmembers, and their affiliates are entered into in the ordinary course of business. As of June 30, 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. Balances outstanding at period end with other FHLBanks, if any, are identified in the Bank’s financial statements. During the six months ended June 30, 2016 and 2015, the Bank extended overnight loans to other FHLBanks for $205 and $435, respectively. During the six months ended June 30, 2016 and 2015, the Bank borrowed $1,025 and $4,487, respectively, from other FHLBanks. The impact to net interest income related to these transactions was de minimis in any period in this report.

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 and six months ended June 30, 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. In addition, the Bank receives a counterparty fee from the FHLBank of Chicago for facilitating the sale of loans under the MPF program. For the three and six months ended June 30, 2016, the Bank recorded a de minimis amount in MPF counterparty fee income from the FHLBank of Chicago, which was recorded in the Statements of Income as other income. For the three and six months ended June 30, 2015, the Bank had no MPF counterparty fee income from the FHLBank of Chicago.

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 six months ended June 30, 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.

Note 19 — Subsequent Events

In July 2016, the Bank recognized $240 in gains on litigation settlements, net, in connection with the Bank’s private-label mortgage-backed securities litigation and settlement agreements with certain defendants.

There were no other material subsequent events identified, subsequent to June 30, 2016, until the time of the Form 10-Q filing with the Securities and Exchange Commission.

56

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).

57

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 second quarter of 2016 was $63 million, compared with net income of $61 million for the second quarter of 2015. The $2 millionincrease in net income for the second quarter of 2016relative to the prior-year period primarily reflected higher net interest income, partially offset by net fair value losses associated with derivatives, hedged items, and financial instruments carried at fair value.

Net interest income for the second quarter of 2016 was $117 million, up from $108 million for the second quarter of 2015. The increasewas primarily due to an increase in earnings because of higher average advance balances and to a reduction in dividends on mandatorily redeemable capital stock, which are classified as interest expense.

Other income/(loss) for the second quarter of 2016, was a loss of $9 million, compared with a loss of $2 million for the second quarter of 2015. The change in other income/(loss) reflected net fair value lossesassociated with derivatives, hedged items, and financial instruments carried at fair value of$3 million for the second quarter of 2016, compared with net fair value gains of $5 million for the second quarter of 2015. The change in net fair value gains or 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 expense of $6 million on derivative instruments used in economic hedges, compared with expense of $4 million for the second quarter of 2015. Income/expense on derivative instruments used in economic hedges is generally offset by interest expense/income on the economically hedged assets and liabilities.

During the first six months of 2016, total assets increased $13.7 billion, to $99.4 billion at June 30, 2016, from $85.7 billion at December 31, 2015. Advances increased $11.1 billion, or 22%, to $62.0 billion at June 30, 2016, from $50.9 billion at December 31, 2015. In addition, investments increased$4.3 billion, to $36.6 billion at June 30, 2016, from $32.3 billion at December 31, 2015, primarily reflecting an increase in securities purchased under agreements to resell. These increases were partially offset by a $1.6 billiondecrease in cash and due from banks.

On July 28, 2016, the Bank’s Board of Directors declared a cash dividend on the capital stock outstanding during the second quarter of 2016 at an annualized rate of 9.17%. The dividend will total $63 million, including $11 million in dividends on mandatorily redeemable capital stock that will be reflected as interest expense in the third quarter of 2016. The Bank recorded the dividend on July 28, 2016, and expects to pay the dividend on or about August 15, 2016.

As of June 30, 2016, the Bank was in compliance with all of its regulatory capital requirements. The Bank’s total regulatory capital ratio was 5.9%, exceeding the 4.0% requirement. The Bank had $5.8 billion in permanent capital, exceeding its risk-based capital requirement of $2.5 billion. Total retained earnings as of June 30, 2016, were $2.8 billion.

The Bank plans to repurchase the surplus capital stock of all members and the excess capital stock of all nonmember shareholders on August 16, 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.

58

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)	June 30, 2016			March 31, 2016			December 31, 2015			September 30, 2015			June 30, 2015
Selected Balance Sheet Items at Quarter End
Total Assets	$	99,430		$	84,739		$	85,698		$	85,899		$	85,962
Advances	61,963			49,169			50,919			50,793			50,188
Mortgage Loans Held for Portfolio, Net	632			632			655			668			671
Investments(1)	36,578			34,366			32,275			32,009			33,480
Consolidated Obligations:(2)
Bonds	50,924			57,207			51,827			49,815			45,597
Discount Notes	41,930			21,095			27,647			30,042			33,859
Mandatorily Redeemable Capital Stock	486			486			488			514			142
Capital Stock —Class B —Putable	2,520			2,115			2,253			2,246			2,751
Unrestricted Retained Earnings	761			760			610			618			483
Restricted Retained Earnings	2,067			2,054			2,018			2,009			2,170
Accumulated Other Comprehensive Income/(Loss) (AOCI)	14			(38		)	15			41			68
Total Capital	5,362			4,891			4,896			4,914			5,472
Selected Operating Results for the Quarter
Net Interest Income	$	117		$	123		$	120		$	119		$	108
Provision for/(Reversal of) Credit Losses on Mortgage Loans	—			—			1			—			—
Other Income/(Loss)	(9		)	171			(9		)	(33		)	(2		)
Other Expense	37			36			46			34			34
Affordable Housing Program Assessment	8			27			7			6			11
Net Income/(Loss)	$	63		$	231		$	57		$	46		$	61
Selected Other Data for the Quarter
Net Interest Margin(3)	0.51		%	0.58		%	0.55		%	0.54		%	0.53		%
Operating Expenses as a Percent of Average Assets	0.15			0.16			0.19			0.15			0.15
Return on Average Assets	0.28			1.08			0.26			0.21			0.29
Return on Average Equity	4.98			19.19			4.66			3.47			4.27
Annualized Dividend Rate	8.90			7.99			8.79			10.01			22.65
Dividend Payout Ratio(4)	78.04			19.47			99.15			155.62			299.30
Average Equity to Average Assets Ratio	5.53			5.65			5.54			6.01			6.86
Selected Other Data at Quarter End
Regulatory Capital Ratio(5)	5.87			6.39			6.26			6.27			6.45
Duration Gap (in months)	1			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 June 30, 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:

59

	Par Value (In millions)
June 30, 2016	$	963,810
March 31, 2016	896,827
December 31, 2015	905,202
September 30, 2015	856,511
June 30, 2015	852,783

(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 tables that follow present the average balances of interest-earning asset categories and the sources that funded those interest-earning assets (liabilities and capital) for the three and six months ended June 30, 2016 and 2015, together with the related interest income and expense. They also present the average rates on total interest-earning assets and the average costs of total funding sources.

60

Second Quarter of 2016 Compared to Second Quarter of 2015

Average Balance Sheets
	Three Months Ended
	June 30, 2016							June 30, 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	$	605		$	1	0.43	%	$	667		$	—	0.01	%
Securities purchased under agreements to resell	2,930			3		0.36		2,345			1		0.09
Federal funds sold	6,663			7		0.37		6,123			2		0.12
Trading securities:
Mortgage-backed securities (MBS)	9			—		1.88		11			—		1.66
Other investments	1,392			1		0.55		3,160			1		0.21
Available-for-sale (AFS) securities:(1)
MBS(2)	5,002			67		5.40		5,949			67		4.51
Held-to-maturity (HTM) securities:(1)
MBS	9,964			61		2.46		12,140			75		2.49
Other investments	260			1		0.87		303			1		0.50
Mortgage loans held for portfolio	624			7		4.50		675			8		4.70
Advances(3)	64,032			117		0.74		50,856			81		0.63
Loans to other FHLBanks	2			—		0.38		3			—		0.07
Total interest-earning assets	91,483			265		1.16		82,232			236		1.15
Other assets(4)(5)	599			—				792			—
Total Assets	$	92,082		$	265			$	83,024		$	236
Liabilities and Capital
Interest-bearing liabilities:
Consolidated obligations:
Bonds(3)	$	54,365		$	104	0.77	%	$	44,852		$	80	0.71	%
Discount notes	31,179			32		0.40		30,588			10		0.13
Deposits and other borrowings	278			—		0.25		1,108			—		0.04
Mandatorily redeemable capital stock	486			12		9.74		257			38		58.77
Borrowings from other FHLBanks	13			—		0.38		37			—		0.10
Total interest-bearing liabilities	86,321			148		0.69		76,842			128		0.67
Other liabilities(4)	669			—				489			—
Total Liabilities	86,990			148				77,331			128
Total Capital	5,092			—				5,693			—
Total Liabilities and Capital	$	92,082		$	148			$	83,024		$	128
Net Interest Income				$	117						$	108
Net Interest Spread(6)						0.47	%						0.48	%
Net Interest Margin(7)						0.51	%						0.53	%
Interest-earning Assets/Interest-bearing Liabilities	105.98		%					107.01		%

(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 $19 million and $19 million in the second quarter of 2016 and 2015, respectively.

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

61

	Three Months Ended
	June 30, 2016								June 30, 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	$	—	$	(15	)	$	(15	)	$	(1	)	$	(27	)	$	(28	)
Consolidated obligation bonds	2		50			52			2			67			69

(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 second quarter of 2016 was $117 million, an 8%increase from $108 million in the second quarter of 2015. The following table details the changes in interest income and interest expense for the second quarter of 2016 compared to the second 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 June 30, 2016 Compared to Three Months Ended June 30, 2015
	Increase/ (Decrease)			Attributable to Changes in(1)
(In millions)				Average Volume			Average Rate
Interest-earning assets:
Interest-bearing deposits	$	1		$	—		$	1
Securities purchased under agreements to resell	2			—			2
Federal funds sold	5			—			5
Trading securities: Other investments	—			(1		)	1
AFS securities:
MBS	—			(12		)	12
HTM securities:
MBS	(14		)	(13		)	(1		)
Mortgage loans held for portfolio	(1		)	(1		)	—
Advances(2)	36			22			14
Total interest-earning assets	29			(5		)	34
Interest-bearing liabilities:
Consolidated obligations:
Bonds(2)	24			17			7
Discount notes	22			—			22
Mandatorily redeemable capital stock	(26		)	19			(45		)
Total interest-bearing liabilities	20			36			(16		)
Net interest income	$	9		$	(41	)	$	50

(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 51 basis points for the second quarter of 2016, 2 basis points lower than the net interest margin for the second quarter of 2015, which was 53 basis points. The net interest spread was 47 basis points for the second quarter of 2016, 1 basis point lower than the net interest spread for the second quarter of 2015, which was 48 basis points. These decreases were primarily due to a decline in spreads on advances-related assets and lower average balances of mortgage-related assets, partially offset by lower dividends on mandatorily redeemable capital stock, which are classified as interest expense.

62

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

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 June 30, 2016 and 2015.

Other Income/(Loss)
	Three Months Ended
(In millions)	June 30, 2016			June 30, 2015
Other Income/(Loss):
Total OTTI loss	$	(3	)	$	(15	)
Net amount of OTTI loss reclassified to/(from) AOCI	(1		)	9
Net OTTI loss, credit-related	(4		)	(6		)
Net gain/(loss) on trading securities(1)	1			—
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option	13			(26		)
Net gain/(loss) on derivatives and hedging activities	(23		)	27
Other	4			3
Total Other Income/(Loss)	$	(9	)	$	(2	)

(1) The net gain/(loss) on trading securities that were economically hedged totaled $1 million for the three months ended June 30, 2016, and a de minimis amount for the three months ended June 30, 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 June 30, 2016 and 2015.

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Net Gain/(Loss) on Advances and Consolidated Obligation Bonds Held Under Fair Value Option
	Three Months Ended
(In millions)	June 30, 2016			June 30, 2015
Advances	$	16		$	(36	)
Consolidated obligation bonds	(3		)	10
Total	$	13		$	(26	)

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 net gains/(losses) on advances and consolidated obligation bonds held under the fair value option 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 second quarter of 2016 and 2015.

Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives and Hedging Activities Three Months Ended June 30, 2016, Compared to Three Months Ended June 30, 2015
	Three Months Ended
(In millions)	June 30, 2016												June 30, 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	$	—		$	(14	)	$	(12	)	$	(26	)	$	—		$	33		$	(20	)	$	13
Not elected for fair value option	(1		)	4			—			3			—			2			—			2
Consolidated obligation bonds:
Elected for fair value option	—			—			5			5			—			(8		)	14			6
Not elected for fair value option	1			(4		)	7			4			(3		)	(8		)	10			(1		)
Consolidated obligation discount notes:
Not elected for fair value option	—			(2		)	(6		)	(8		)	—			15			(8		)	7
MBS:
Not elected for fair value option	—			(2		)	—			(2		)	—			(1		)	—			(1		)
Mortgage delivery commitment:
Not elected for fair value option	—			1			—			1			—			1			—			1
Total	$	—		$	(17	)	$	(6	)	$	(23	)	$	(3	)	$	34		$	(4	)	$	27

64

During the second quarter of 2016, net losses on derivatives and hedging activities totaled $23 million compared to net gains of $27 million in the second quarter of 2015. These amounts included expense of $6 million and expense of $4 million resulting from net settlements on derivative instruments used in economic hedges in the second 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 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.”

65

Six Months Ended June 30, 2016, Compared to Six Months Ended June 30, 2015

Average Balance Sheets
	Six Months Ended
	June 30, 2016							June 30, 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	$	539		$	1	0.31	%	$	615		$	—	0.01	%
Securities purchased under agreements to resell	2,988			5		0.34		2,019			1		0.08
Federal funds sold	6,416			12		0.36		6,662			4		0.12
Trading securities:
Mortgage-backed securities (MBS)	9			—		1.86		11			—		1.66
Other investments	1,271			3		0.53		3,296			3		0.20
Available-for-sale (AFS) securities:(1)
MBS(2)	5,122			136		5.34		6,051			134		4.47
Held-to-maturity (HTM) securities:(1)
MBS	10,073			125		2.49		12,493			155		2.51
Other investments	267			1		0.81		311			1		0.49
Mortgage loans held for portfolio	633			15		4.79		684			17		5.02
Advances(3)	60,861			223		0.74		46,781			148		0.64
Loans to other FHLBanks	1			—		0.38		3			—		0.09
Total interest-earning assets	88,180			521		1.19		78,926			463		1.18
Other assets(4)(5)	608			—				864			—
Total Assets	$	88,788		$	521			$	79,790		$	463
Liabilities and Capital
Interest-bearing liabilities:
Consolidated obligations:
Bonds(3)	$	55,272		$	208	0.76	%	$	44,904		$	156	0.70	%
Discount notes	26,994			51		0.38		26,996			16		0.12
Deposits and other borrowings	428			—		0.17		1,051			—		0.04
Mandatorily redeemable capital stock	509			22		8.63		465			53		23.06
Borrowings from other FHLBanks	10			—		0.37		28			—		0.10
Total interest-bearing liabilities	83,213			281		0.68		73,444			225		0.62
Other liabilities(4)	613			—				484			—
Total Liabilities	83,826			281				73,928			225
Total Capital	4,962			—				5,862			—
Total Liabilities and Capital	$	88,788		$	281			$	79,790		$	225
Net Interest Income				$	240						$	238
Net Interest Spread(6)						0.51	%						0.56	%
Net Interest Margin(7)						0.55	%						0.61	%
Interest-earning Assets/Interest-bearing Liabilities	105.97		%					107.46		%

(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 $42 million and $38 million for the six months ended June 30, 2016 and 2015, respectively.

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

66

	Six Months Ended
	June 30, 2016								June 30, 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	$	—	$	(33	)	$	(33	)	$	(1	)	$	(55	)	$	(56	)
Consolidated obligation bonds	3		103			106			3			129			132

(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 six months of 2016 was $240 million, a 1%increase from $238 million in the first six months of 2015. The following table details the changes in interest income and interest expense for the first six months of 2016 compared to first six months 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 Six Months Ended June 30, 2016, Compared to Six Months Ended June 30, 2015
	Increase/ (Decrease)			Attributable to Changes in(1)
(In millions)				Average Volume			Average Rate
Interest-earning assets:
Interest-bearing deposits	$	1		$	—		$	1
Securities purchased under agreements to resell	4			1			3
Federal funds sold	8			—			8
Trading securities: Other investments	—			(3		)	3
AFS securities:
MBS	2			(22		)	24
HTM securities:
MBS	(30		)	(29		)	(1		)
Other investments	—			—			—
Mortgage loans held for portfolio	(2		)	(1		)	(1		)
Advances(2)	75			49			26
Total interest-earning assets	58			(5		)	63
Interest-bearing liabilities:
Consolidated obligations:
Bonds(2)	52			38			14
Discount notes	35			—			35
Mandatorily redeemable capital stock	(31		)	5			(36		)
Total interest-bearing liabilities	56			43			13
Net interest income	$	2		$	(48	)	$	50

(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 55 basis points for the first six months of 2016, 6 basis points lower than the net interest margin for the first six months of 2015, which was 61 basis points. The net interest spread was 51 basis points for the first six months of 2016, 5 basis points lower than the net interest spread for the first six months of 2015, which was 56 basis points. These decreases were primarily due to a decline in spreads on advances-related assets and lower average balances of mortgage-related assets, partially offset by lower dividends on mandatorily redeemable capital stock, which are classified as interest expense.

67

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

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 six months ended June 30, 2016 and 2015.

Other Income/(Loss)
	Six Months Ended
(In millions)	June 30, 2016			June 30, 2015
Other Income/(Loss):
Total OTTI loss	$	(18	)	$	(19	)
Net amount of OTTI loss reclassified to/(from) AOCI	7			11
Net OTTI loss, credit-related	(11		)	(8		)
Net gain/(loss) on trading securities(1)	2			—
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option	40			(33		)
Net gain/(loss) on derivatives and hedging activities	(88		)	6
Gains on litigation settlements, net	211			459
Other	8			6
Total Other Income/(Loss)	$	162		$	430

(1) The net gain/(loss) on trading securities that were economically hedged totaled $1 million and a de minimis amount for the six months ended June 30, 2016 and 2015, respectively.

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 six months ended June 30, 2016 and 2015.

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Net Gain/(Loss) on Advances and Consolidated Obligation Bonds Held Under Fair Value Option
	Six Months Ended
(In millions)	June 30, 2016			June 30, 2015
Advances	$	63		$	(16	)
Consolidated obligation bonds	(23		)	(17		)
Total	$	40		$	(33	)

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 net gains/(losses) on advances and consolidated obligation bonds held under the fair value option 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 six months of 2016 and 2015.

Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives and Hedging Activities Six Months Ended June 30, 2016, Compared to Six Months Ended June 30, 2015
	Six Months Ended
(In millions)	June 30, 2016												June 30, 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	$	—		$	(60	)	$	(24	)	$	(84	)	$	—		$	17		$	(41	)	$	(24	)
Not elected for fair value option	(1		)	10			1			10			—			—			—			—
Consolidated obligation bonds:
Elected for fair value option	—			9			11			20			—			6			28			34
Not elected for fair value option	(3		)	(2		)	14			9			(10		)	(6		)	19			3
Consolidated obligation discount notes:
Not elected for fair value option	—			(23		)	(17		)	(40		)	—			14			(19		)	(5		)
MBS:
Not elected for fair value option	—			(4		)	—			(4		)	—			(3		)	—			(3		)
Non-MBS investments:
Not elected for fair value option	—			—			—			—			—			—			—			—
Mortgage delivery commitment:
Not elected for fair value option	—			1			—			1			—			1			—			1
Total	$	(4	)	$	(69	)	$	(15	)	$	(88	)	$	(10	)	$	29		$	(13	)	$	6

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During the first six months of 2016, net losses on derivatives and hedging activities totaled $88 million compared to net gains of $6 million in the first six months of 2015. These amounts included expense of $15 million and expense of $13 million resulting from net settlements on derivative instruments used in economic hedges in the first six months 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 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 six months 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 4.98% (annualized) for the second quarter of 2016, compared to 4.27% (annualized) for the second quarter of 2015. This increase primarily reflected the decrease in average equity in the second quarter of 2016, which decreased 12%, from $5.7 billion in the second quarter of 2015 to $5.1 billion in the second quarter of 2016.

ROE was 11.90% (annualized) for the first six months of 2016, compared to 18.39% (annualized) for the first six months of 2015. The decrease primarily reflected lower net income for the first six months of 2016 resulting from a decrease of $248 million in 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

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consolidated obligations markets. At June 30, 2016, advances maturing within five years totaled $57.2 billion, significantly in excess of the $219 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 June 30, 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.

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 198% as of June 30, 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 June 30, 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

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exclude retained earnings related to valuation adjustments. Restricted retained earnings for loss protection and capital compliance were $2.1 billion as of June 30, 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.

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 $417 million and $358 million at June 30, 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 June 30, 2016, the Bank’s excess capital stock totaled $366 million, or 0.37% of total assets.

In the second quarter of 2016, the Bank paid dividends 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. In the second quarter of 2015, the Bank paid dividends at an annualized rate of 22.65%, totaling $220 million, including $182 million in dividends on capital stock and $38 million in dividends on mandatorily redeemable capital stock. The dividends included a special dividend in the amount of $145 million, including $120 million in dividends on capital stock and $25 million in dividends on mandatorily redeemable capital stock.

In the first six months of 2016, the Bank paid dividends at an annualized rate of 8.46%, totaling $116 million, including $94 million in dividends on capital stock and $22 million in dividends on mandatorily redeemable capital stock. In the first six months of 2015, the Bank paid dividends at an annualized rate of 14.58%, totaling $294 million, of which $145 million was related to the special dividend. The total dividend paid included $241 million in dividends on capital stock and $53 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 July 28, 2016, the Bank’s Board of Directors declared a cash dividend on the capital stock outstanding during the second quarter of 2016 at an annualized rate of 9.17% totaling $63 million, including $52 million in dividends on capital stock and $11 million in dividends on mandatorily redeemable capital stock. The Bank recorded the

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dividend on July 28, 2016. The Bank expects to pay the dividend on or about August 15, 2016. Dividends on mandatorily redeemable capital stock will be recognized as interest expense in the third 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 $99.4 billion at June 30, 2016, compared to $85.7 billion at December 31, 2015. Advances increased by $11.1 billion, or 22%, to $62.0 billion at June 30, 2016, from $50.9 billion at December 31, 2015. MBS decreased by $0.2 billion, or 1%, to $15.8 billion at June 30, 2016, from $16.0 billion at December 31, 2015. Average total assets were $92.1 billion for the second quarter of 2016, an 11%increase compared to $83.0 billion for the second quarter of 2015. Average total assets were $88.8 billion for the first six months of 2016, an 11%increase compared to $79.8 billion for the first six months of 2015. Average advances were $64.0 billion for the second quarter of 2016, a 26%increase from $50.9 billion for the second quarter of 2015. Average advances were $60.9 billion for the first six months of 2016, a 30%increase from $46.8 billion for the first six months of 2015. Average MBS were $15.0 billion for the second quarter of 2016, a 17%decrease from $18.1 billion for the second quarter of 2015. Average MBS were $15.2 billion for the first six months of 2016, an 18%decrease from $18.6 billion for the first six months of 2015

Advances outstanding at June 30, 2016, included unrealized gains of $208 million, of which $107 million represented unrealized gains on advances hedged in accordance with the accounting for derivative instruments and hedging activities and $101 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 June 30, 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 $94.1 billion at June 30, 2016, an increase of $13.3 billion from $80.8 billion at December 31, 2015, primarily reflecting an increase in consolidated obligations outstanding from $79.5 billion at December 31, 2015, to $92.9 billion at June 30, 2016. The increase in consolidated obligations outstanding paralleled the increase in assets during the first six months of 2016. Average total liabilities were $87.0 billion for the second quarter of 2016, a 13%increase compared to $77.3 billion for the second quarter of 2015. Average total liabilities were $83.8 billion for the first six months of 2016, a 13%increase compared to $73.9 billion for the first six months of 2015. Average consolidated obligations were $85.5 billion for the second quarter of 2016 and $75.4 billion for the second quarter of 2015. Average consolidated obligations were $82.3 billion for the first six months of 2016 and $71.9 billion for the first six months of 2015.

Consolidated obligations outstanding at June 30, 2016, included unrealized losses of $126 million on consolidated obligation bonds hedged in accordance with the accounting for derivative instruments and hedging activities and unrealized losses of $5 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 decrease 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 June 30, 2016, were primarily attributable to the effects of changes in

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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 June 30, 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 $963.8 billion at June 30, 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 June 30, 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.”

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 increased$13.9 billion to $82.9 billion (83% of total assets) at June 30, 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 $37 million in the second quarter of 2016, a decrease of $10 million, or 21%, compared with $47 million in the second quarter of 2015. In the first six months of 2016, adjusted net interest income for this segment was $73 million, a decrease of $9 million, or 11%, compared to $82 million in the first six months of 2015. The decrease was primarily due to a decline in spreads on advances-related assets and

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lower earnings from advance prepayment fees, partially offset by an increase in earnings because of higher advance balances.

Adjusted net interest income for this segment represented 31% and 34% of total adjusted net interest income for the second quarter of 2016 and 2015, and 30% and 31% of total adjusted net interest income for the first six months of 2016 and 2015, respectively.

Members and nonmember borrowers prepaid $1.1 billion of advances in the second quarter of 2016 compared to $638 million in the second quarter of 2015. Interest income was increased by net prepayment fees of a de minimis amount in the second quarter of 2016 and $8.0 million in the second quarter of 2015. Members and nonmember borrowers prepaid $1.9 billion of advances in the first six months of 2016 compared to $1.2 billion in the first six months of 2015. Interest income was increased by net prepayment fees of $2.0 million in the first six months of 2016 and $8.0 million in the first six months of 2015.

Advances – The par value of advances outstanding increased by $11.0 billion, or 22%, to $61.8 billion at June 30, 2016, from $50.8 billion at December 31, 2015. Average advances outstanding were $64.0 billion in the second quarter of 2016, a 26%increase from $50.9 billion in the second quarter of 2015. Average advances outstanding were $60.9 billion in the first six months of 2016, a 30%increase from $46.8 billion in the first six months of 2015.

As of June 30, 2016, advances outstanding to the Bank’s top five borrowers and their affiliates increased by $5.5 billion, and advances outstanding to the Bank’s other borrowers increased by $5.5 billion. Advances to the top five borrowers increased to $37.2 billion at June 30, 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 top five borrowers included JPMorgan Chase Bank, National Association, whose advances and capital stock exceeded 10% of the Bank’s total advances and capital stock, respectively, as of June 30, 2016, and as of December 31, 2015.

The $11.0 billionincrease in advances outstanding primarily reflected an $11.0 billionincrease in fixed rate advances. The components of the advances portfolio at June 30, 2016, and December 31, 2015, are presented in the following table.

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Advances Portfolio by Product Type
	June 30, 2016				December 31, 2015
(Dollar in millions)	Par Value		Percentage of Total Par Value		Par Value		Percentage of Total Par Value
Adjustable – LIBOR	$	5,902	10	%	$	5,912	12	%
Adjustable – LIBOR, callable at borrower’s option	15,395		25		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	21,379		35		21,144		42
Fixed	29,708		48		18,674		37
Fixed – amortizing	220		—		231		—
Fixed – with PPS(1)	2,902		5		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)	155		—		271		1
Fixed – putable at Bank’s option	50		—		65		—
Fixed – putable at Bank’s option with PPS(1)	75		—		75		—
Subtotal fixed rate advances	33,489		54		22,454		44
Daily variable rate	6,887		11		7,243		14
Total par value	$	61,755	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 $20.8 billion and $16.3 billion as of June 30, 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 federal funds sold.

Cash and Due from Banks – Cash and due from banks was $15.0 million at June 30, 2016, a $1.6 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 increased to $77.6 billion at June 30, 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.”

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

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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 June 30, 2016, the notional amount of interest rate exchange agreements associated with the advances-related business totaled $68.4 billion, of which $17.1 billion were hedging advances, $50.9 billion were hedging consolidated obligations, $0.3 billion were economically hedging trading securities, and $0.1 billion were offsetting derivatives. 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.

As of June 30, 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	June 30, 2016		December 31, 2015		June 30, 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	0.26		0.16		0.01		0.03
3-month LIBOR	0.65		0.61		0.28		0.26
2-year Treasury note	0.58		1.05		0.65		0.67
5-year Treasury note	1.00		1.76		1.65		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 six months of 2016 and 2015. The average issuance cost of consolidated obligation bonds relative to LIBOR was more expensive in the first six 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 Six Months Ended
(In basis points)	June 30, 2016	June 30, 2015
Consolidated obligation bonds	–8.0	–14.0
Consolidated obligation discount notes (one month and greater)	–21.8	–16.6

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.

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At June 30, 2016, assets associated with this segment were $16.5 billion (17% of total assets), decrease of $0.2 billion from $16.7 billion at December 31, 2015 (19% of total assets).

Adjusted net interest income for this segment was $84 million in the second quarter of 2016, a decrease of $6 million, or 7%, from $90 million in the second quarter of 2015. In the first six months of 2016, adjusted net interest income for this segment was $170 million, decrease of $13 million, or 7%, from $183 million in the first six months of 2015. The decrease was primarily due to lower average balances of MBS investments and mortgage loans, partially offset by an increase in accretion of yield adjustments on certain other-than-temporarily impaired PLRMBS resulting from improvement in expected cash flows and higher spreads on mortgage-related assets.

Adjusted net interest income for this segment represented 69% and 66% of total adjusted net interest income for the second quarter of 2016 and 2015, and 70% and 69% of total adjusted net interest income for the first six months of 2016 and 2015, respectively.

MBS Investments – The Bank’s MBS portfolio was $15.8 billion at June 30, 2016, compared with $16.0 billion at December 31, 2015. During the first six months of 2016, the Bank’s MBS portfolio decreased primarily because of principal repayments totaling $1.8 billion, partially offset by $1.6 billion in new MBS investments. In the second quarter of 2016, average MBS investments were $15.0 billion, a decrease of $3.1 billion from $18.1 billion in the second quarter of 2015. Average MBS investments were $15.2 billion in the first six months of 2016, a decrease of $3.4 billion from $18.6 billion in the first six months 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; of jumbo 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; and of government-insured or government-guaranteed mortgage loans that will be packaged into securities backed by the mortgage loans and guaranteed by Ginnie Mae under the MPF Government MBS product. When members sell mortgage loans under the MPF Xtra, MPF Direct, and MPF Government MBS products, the loans are sold to a third-party investor and are not recorded on the Bank’s Statements of Condition.

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.

As of June 30, 2016, the Bank had approved 14 members as participating financial institutions since renewing its participation in the MPF Program in 2013. The Bank purchased $59 million in eligible loans under the MPF Original product during the first six months of 2016.

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Mortgage loan balances decreased to $632 million at June 30, 2016, from $655 million at December 31, 2015, a decrease of $23 million. Average mortgage loans were $624 million in the second quarter of 2016, a decrease of $51 million from $675 million in the second quarter of 2015. Average mortgage loans were $633 million in the first six months of 2016, a decrease of $51 million from $684 million in the first six months of 2015.

At June 30, 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. Mortgage loan balances at June 30, 2016, and December 31, 2015, were as follows:

Mortgage Loan Balances by MPF Product Type
(In millions)	June 30, 2016			December 31, 2015
MPF Plus	$	417		$	486
MPF Original	210			167
Subtotal	627			653
Unamortized premiums	10			10
Unamortized discounts	(5		)	(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$0.2 billion to $16.5 billion at June 30, 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 $7.7 billion at June 30, 2016, of which $5.5 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

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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.

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 June 30, 2016, and December 31, 2015.

Interest Rate Exchange Agreements
(In millions)			Notional Amount
Hedging Instrument	Hedging Strategy	Accounting Designation	June 30, 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	$	10,883	$	10,758
Basis swap	Adjustable rate advance converted to another adjustable rate index to reduce interest rate sensitivity and repricing gaps	Economic Hedge(1)	2		1
Received fixed, pay adjustable interest rate swap	LIBOR adjustable rate advance converted to a fixed rate	Economic Hedge(1)	1,032		672
Pay fixed, receive adjustable interest rate swap	Fixed rate advance converted to a LIBOR adjustable rate	Economic Hedge(1)	1,572		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)	3,577		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)			6,263		6,675
Total			17,146		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	13,015		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)	4,466		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)	1,515		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)	6,500		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)			12,581		19,205
Total			25,596		35,062

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Interest Rate Exchange Agreements (continued)
(In millions)			Notional Amount
Hedging Instrument	Hedging Strategy	Accounting Designation	June 30, 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	555		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)	1,015		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)	1,305		2,270
Subtotal Economic Hedges(1)			2,320		4,340
Total			2,875		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)	25,770		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			27,935		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)	120		132
Total			120		132
Stand-Alone Derivatives
Mortgage delivery commitments	To offset the fair value risk associated with fixed rate mortgage purchase commitments.	N/A	14		5
Total			14		5
Total Notional Amount			$	76,086	$	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 June 30, 2016, and December 31, 2015.

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Interest Rate Exchange Agreements Notional Amounts and Estimated Fair Values
June 30, 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	$	10,883	$	(107	)	$	106		$	—		$	(1	)
Non-callable bonds	13,015		122			(123		)	—			(1		)
Callable bonds	555		2			(1		)	—			1
Subtotal	24,453		17			(18		)	—			(1		)
Not qualifying for hedge accounting (economic hedges):
Advances	6,263		(87		)	—			93			6
Non-callable bonds	12,581		8			—			(1		)	7
Callable bonds	2,320		2			—			1			3
Discount notes	27,935		(17		)	—			—			(17		)
FFCB bonds	250		—			—			—			—
MBS	2,150		1			—			—			1
Mortgage delivery commitments	14		—			—			—			—
Offsetting derivatives	120		—			—			—			—
Subtotal	51,633		(93		)	—			93			—
Total excluding accrued interest	76,086		(76		)	(18		)	93			(1		)
Accrued interest	—		26			(38		)	3			(9		)
Total	$	76,086	$	(50	)	$	(56	)	$	96		$	(10	)

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.”

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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 June 30, 2016, and December 31, 2015.

Concentration of Derivative Counterparties
(Dollars in millions)	June 30, 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	$	16,094	21	%	At least BBB	$	22,921	29	%
Subtotal uncleared		16,094		21			22,921		29
Cleared
LCH Clearnet(2)
Credit Suisse Securities (USA) LLC	A	30,052		39		A	46,086		58
Morgan Stanley & Co. LLC	A	24,164		32		A	2,055		2
Deutsche Bank Securities Inc.	BBB	5,762		8		BBB	8,722		11
Subtotal cleared		59,978		79			56,863		71
Total(3)		$	76,072	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 June 30, 2016, and December 31, 2015, does not include $14 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 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.

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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 scenarios 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 June 30, 2016, and December 31, 2015.

Principal Financial Obligations Due and Funds Available for Selected Period
	As of June 30, 2016		As of December 31, 2015
(In millions)	5 Business Days		5 Business Days
Obligations due:
Commitments to purchase investments	$	—	$	250
Demand deposits	235		1,107
Discount note and bond maturities and expected exercises of bond call options	3,857		3,165
Subtotal obligations due	4,092		4,522
Sources of available funds:
Maturing investments	19,255		15,807
Available cash	11		1,634
Proceeds from scheduled settlements of discount notes and bonds	748		300
Maturing advances and scheduled prepayments	7,809		6,943
Subtotal sources of available funds	27,823		24,684
Net funds available	$	23,731	$	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.

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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 June 30, 2016, and December 31, 2015. The Bank’s risk-based capital requirement decreased to $2.5 billion at June 30, 2016, from $2.7 billion at December 31, 2015.  

Regulatory Capital Requirements
	June 30, 2016						December 31, 2015
(Dollars in millions)	Required			Actual			Required			Actual
Risk-based capital	$	2,468		$	5,834		$	2,684		$	5,369
Total regulatory capital	$	3,977		$	5,834		$	3,428		$	5,369
Total regulatory capital ratio	4.00		%	5.87		%	4.00		%	6.26		%
Leverage capital	$	4,972		$	8,751		$	4,285		$	8,054
Leverage ratio	5.00		%	8.80		%	5.00		%	9.40		%

The Bank repurchased $388 million in excess capital stock during the first six months 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 August 16, 2016.

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.

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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 needs of the individual member while mitigating the unique credit and collateral risks of CDFIs, which do not file

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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 June 30, 2016 and December 31, 2015. During the six months ended June 30, 2016, the Bank’s internal credit ratings stayed the same or improved for the majority of members and nonmember borrowers.

Member and Nonmember Credit Outstanding and Collateral Borrowing Capacity by Credit Quality Rating
(Dollars in millions)
June 30, 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	274	154	$	68,055	$	183,015	37	%
4-6	58	29	9,560		26,945		35
7-10	3	2	17		51		33
Subtotal	335	185	77,632		210,011		37
CDFIs	7	3	74		81		91
Total	342	188	$	77,706	$	210,092	37	%

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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)
June 30, 2016
Unused Borrowing Capacity	Number of Members and Nonmembers with Credit Outstanding	Credit Outstanding(1)		Collateral Borrowing Capacity(2)
0% – 10%	2	$	55	$	57
11% – 25%	11	4,398		5,408
26% – 50%	34	38,960		62,599
More than 50%	141	34,293		142,028
Total	188	$	77,706	$	210,092

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

(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 June 30, 2016, the

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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 June 30, 2016, and December 31, 2015.

Composition of Securities Collateral Pledged by Members and by Nonmembers with Credit Outstanding
(In millions)	June 30, 2016				December 31, 2015
Securities Type with Current Credit Ratings	Current Par		Borrowing Capacity		Current Par		Borrowing Capacity
U.S. Treasury (bills, notes, bonds)	$	2,456	$	2,438	$	1,538	$	1,489
Agency (notes, subordinated debt, structured notes, indexed amortization notes, and Small Business Administration pools)	3,232		3,181		3,567		3,478
Agency pools and collateralized mortgage obligations	8,257		8,066		6,765		6,516
PLRMBS – publicly registered investment-grade-rated senior tranches	1		—		1		1
PLRMBS – private placement investment-grade-rated senior trances	110		$	84	$	—	$	—
Total	$	14,056	$	13,769	$	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 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 June 30, 2016, of the loan collateral pledged to the Bank, 29% was pledged by 28 institutions by specific identification, 49% was pledged by 127 institutions under a blanket lien with detailed reporting, and 22% was pledged by 121 institutions under a blanket lien with summary reporting.

As of June 30, 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

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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 June 30, 2016, and December 31, 2015.

Composition of Loan Collateral Pledged by Members and by Nonmembers with Credit Outstanding
(In millions)	June 30, 2016				December 31, 2015
Loan Type	Unpaid Principal Balance		Borrowing Capacity		Unpaid Principal Balance		Borrowing Capacity
First lien residential mortgage loans	$	128,237	$	112,131	$	116,745	$	100,667
Second lien residential mortgage loans and home equity lines of credit	26,244		15,514		25,543		14,328
Multifamily mortgage loans	24,167		19,979		22,716		18,971
Commercial mortgage loans	59,876		43,283		59,347		43,405
Loan participations(1)	5,827		4,666		7,155		5,710
Small business, small farm, and small agribusiness loans	2,944		747		3,063		756
Other	5		3		3		2
Total	$	247,300	$	196,323	$	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 June 30, 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.

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.

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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)
June 30, 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	$	—	$	—	$	254	$	—	$	—	$	—	$	254
GSEs:
FFCB bonds	—		1,400		—		—		—		—		1,400
Total non-MBS	—		1,400		254		—		—		—		1,654
MBS:
Other U.S. obligations:
Ginnie Mae	—		1,113		—		—		—		—		1,113
GSEs:
Freddie Mac	—		3,295		—		—		—		—		3,295
Fannie Mae(2)	—		5,180		12		—		8		—		5,200
Total GSEs	—		8,475		12		—		8		—		8,495
PLRMBS:
Prime	—		1		1		339		931		2		1,274
Alt-A, option ARM	—		—		—		—		916		—		916
Alt-A, other	8		20		24		138		3,801		3		3,994
Total PLRMBS	8		21		25		477		5,648		5		6,184
Total MBS	8		9,609		37		477		5,656		5		15,792
Total securities	8		11,009		291		477		5,656		5		17,446
Interest-bearing deposits	—		—		575		—		—		—		575
Securities purchased under agreements to resell	—		13,000		—		—		—		—		13,000
Federal funds sold(3)	—		2,712		2,845		—		—		—		5,557
Total investments	$	8	$	26,721	$	3,711	$	477	$	5,656	$	5	$	36,578

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(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.

(3) Includes $90 million at June 30, 2016, in Federal funds sold to a member counterparty determined by the Bank to have an internal credit rating equivalent to an AA+ rating.

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

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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 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 June 30, 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 82% 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 June 30, 2016, 44% 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)
June 30, 2016
	Carrying Value(1)
	Credit Rating(2)
Domicile of Counterparty	AA		A		Total
Domestic(3)	$	90	$	575	$	665
U.S. subsidiaries of foreign commercial banks	—		412		412
Total domestic and U.S. subsidiaries of foreign commercial banks	90		987		1,077
U.S. branches and agency offices of foreign commercial banks:
Australia	1,661		—		1,661
Canada	—		740		740
Finland	961		—		961
France	—		343		343
Netherlands	—		640		640
Sweden	—		100		100
United Kingdom	—		610		610
Total U.S. branches and agency offices of foreign commercial banks	2,622		2,433		5,055
Total unsecured credit exposure	$	2,712	$	3,420	$	6,132

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(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 June 30, 2016.

(2) Does not reflect changes in ratings, outlook, or watch status occurring after June 30, 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.

(3) Includes $90 million at June 30, 2016, in Federal funds sold to a member counterparty determined by the Bank to have an internal credit rating equivalent to an AA+ rating.

As of June 30, 2016, all of the Bank’s unsecured investment 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 June 30, 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 June 30, 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 June 30, 2016, the Bank’s MBS portfolio was 270% 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 June 30, 2016, PLRMBS representing 31% 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 June 30, 2016, the Bank’s investment in MBS had gross unrealized losses totaling $235 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.

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government is sufficient to protect the Bank from losses. As a result, the Bank determined that, as of June 30, 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 June 30, 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 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 2.0% to an increase of 10.0% over the 12-month period beginning April 1, 2016. For the vast majority of markets, the projected short-term housing price changes range from an increase of 2.0% to an increase of 6.0%. 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 June 30, 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	$	73	$	—		2	$	73	$	—
Alt-A, option ARM	1	103		(1		)	2	128		(1		)
Alt-A, other	14	377		(3		)	19	536		(7		)
Total	17	$	553	$	(4	)	23	$	737	$	(8	)

(1) Amounts are for the three months ended June 30, 2016.

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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 June 30, 2016, by collateral type at origination and by year of securitization.

Unpaid Principal Balance of PLRMBS by Year of Securitization and Credit Rating
(In millions)
June 30, 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	$	—	$	—	$	—	$	—	$	147	$	—	$	147
2007	—		—		—		—		369		—		369
2006	—		—		—		—		46		—		46
2005	—		—		—		18		46		—		64
2004 and earlier	—		1		1		319		400		2		723
Total Prime	—		1		1		337		1,008		2		1,349
Alt-A, option ARM
2007	—		—		—		—		875		—		875
2006	—		—		—		—		156		—		156
2005	—		—		—		—		180		—		180
Total Alt-A, option ARM	—		—		—		—		1,211		—		1,211
Alt-A, other
2008	—		—		—		—		105		—		105
2007	—		—		—		—		1,277		—		1,277
2006	—		—		6		—		525		—		531
2005	—		8		—		—		2,078		—		2,086
2004 and earlier	7		13		18		138		419		3		598
Total Alt-A, other	7		21		24		138		4,404		3		4,597
Total par value	$	7	$	22	$	25	$	475	$	6,623	$	5	$	7,157

(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 June 30, 2016, by collateral type at origination and by year of securitization.

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Unpaid Principal Balance of Other-Than-Temporarily Impaired PLRMBS by Year of Securitization and Credit Rating
(In millions)
June 30, 2016
			Unpaid Principal Balance
			Credit Rating(1)
Collateral Type at Origination and Year of Securitization	AA		A		BBB		Below Investment Grade		Total
Prime
2008	$	—	$	—	$	—	$	134	$	134
2007	—		—		—		320		320
2006	—		—		—		20		20
2005	—		—		—		21		21
2004 and earlier	—		—		—		51		51
Total Prime	—		—		—		546		546
Alt-A, option ARM
2007	—		—		—		875		875
2006	—		—		—		156		156
2005	—		—		—		180		180
Total Alt-A, option ARM	—		—		—		1,211		1,211
Alt-A, other
2008	—		—		—		105		105
2007	—		—		—		1,236		1,236
2006	—		6		—		524		530
2005	—		—		—		2,073		2,073
2004 and earlier	6		—		18		204		228
Total Alt-A, other	6		6		18		4,142		4,172
Total par value	$	6	$	6	$	18	$	5,899	$	5,929

(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.

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PLRMBS Credit Characteristics
(Dollars in millions)
June 30, 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	$	127	$	(1	)	$	135	$	—		$	—		$	—		12.04	%	30.00	%	12.30	%
2007	305		(6		)	303		(2		)	—			(2		)	10.65		22.57		2.91
2006	39		—			42		—			—			—			14.86		12.62		4.00
2005	64		(2		)	64		—			—			—			9.58		11.91		14.97
2004 and earlier	722		(21		)	701		—			—			—			6.57		4.44		12.98
Total Prime	1,257		(30		)	1,245		(2		)	—			(2		)	8.70		12.81		9.95
Alt-A, option ARM
2007	720		(38		)	697		(6		)	6			—			21.63		44.19		14.41
2006	114		(8		)	119		—			—			—			19.52		44.90		5.17
2005	73		(3		)	100		—			—			—			16.46		22.80		6.59
Total Alt-A, option ARM	907		(49		)	916		(6		)	6			—			20.59		41.11		12.06
Alt-A, other
2008	102		(7		)	95		—			—			—			8.19		31.80		22.39
2007	1,098		(45		)	1,093		(4		)	(1		)	(5		)	17.14		26.98		10.99
2006	380		—			431		—			—			—			19.25		18.40		0.98
2005	1,821		(79		)	1,793		(6		)	2			(4		)	13.80		14.33		5.44
2004 and earlier	592		(20		)	580		—			—			—			10.04		8.14		18.03
Total Alt-A, other	3,993		(151		)	3,992		(10		)	1			(9		)	14.74		17.91		8.49
Total	$	6,157	$	(230	)	$	6,153	$	(18	)	$	7		$	(11	)	14.59	%	20.87	%	9.37	%

(1) Amounts are for the six months ended June 30, 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 $829 million, $619 million, and $2.4 billion, respectively, at June 30, 2016, and the amortized cost of Prime, Alt-A, option ARM, and Alt-A, other in a gross unrealized loss position was $830 million, $524 million, and $2.2 billion, respectively, at June 30, 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 June 30, 2016.

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Significant Inputs to OTTI Credit Analysis for All PLRMBS
June 30, 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	14.0	10.2	28.4	17.2
2007	10.7	5.2	22.8	9.9
2006	11.6	5.1	24.8	9.7
2005	17.4	4.2	21.1	12.0
2004 and earlier	17.8	3.5	21.3	12.1
Total Prime	16.3	5.3	23.3	13.1
Alt-A, option ARM
2007	7.0	30.5	39.8	14.7
2006	6.4	32.6	37.8	5.4
2005	7.4	21.6	36.7	4.5
Total Alt-A, option ARM	7.0	29.4	39.1	12.0
Alt-A, other
2007	11.7	22.4	36.9	5.9
2006	11.0	21.3	39.9	7.8
2005	13.8	14.8	36.3	5.2
2004 and earlier	15.6	11.0	31.5	18.0
Total Alt-A, other	13.0	17.3	36.5	7.5
Total	12.5	17.7	35.0	9.1

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.

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Fair Value of PLRMBS as a Percentage of Unpaid Principal Balance by Year of Securitization
Collateral Type at Origination and Year of Securitization	June 30, 2016		March 31, 2016		December 31, 2015		September 30, 2015		June 30, 2015
Prime
2008	91.75	%	91.96	%	92.09	%	93.00	%	93.09	%
2007	82.33		82.24		82.96		83.03		83.73
2006	90.80		91.38		91.36		92.03		92.65
2005	97.38		96.44		97.28		97.61		96.90
2004 and earlier	97.00		96.91		97.70		97.74		98.18
Weighted average of all Prime	92.23		92.24		92.96		93.21		93.68
Alt-A, option ARM
2007	79.63		79.34		80.96		81.13		82.19
2006	76.13		74.29		76.70		77.49		78.54
2005	55.40		58.04		58.93		59.24		60.14
Weighted average of all Alt-A, option ARM	75.58		75.65		77.17		77.37		78.30
Alt-A, other
2008	90.36		89.44		88.74		88.74		89.64
2007	85.60		85.12		85.54		85.94		86.12
2006	81.25		83.70		84.18		84.23		84.75
2005	85.96		86.77		87.65		88.09		88.35
2004 and earlier	97.07		97.07		97.87		97.98		98.34
Weighted average of all Alt-A, other	86.86		87.36		88.02		88.36		88.67
Weighted average of all PLRMBS	85.96	%	86.36	%	87.21	%	87.54	%	88.02	%

The Bank determined that, as of June 30, 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 June 30, 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 June 30, 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

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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 June 30, 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 June 30, 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)
June 30, 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
A	4,547		14			(11		)	—		3
Cleared derivatives(2)	5,761		12			5			—		17
Liability positions with credit exposure:
Uncleared derivatives
AA	112		(2		)	2			—		—
A	6,700		(40		)	42			—		2
Cleared derivatives(2)	54,216		(30		)	69			—		39
Total derivative positions with credit exposure to nonmember counterparties	71,336		(46		)	107			—		61
Member institutions(3)	14		—			—			—		—
Total	71,350		$	(46	)	$	107		$	—	$	61
Derivative positions without credit exposure	4,736
Total notional	$	76,086

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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.

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There have been no significant changes in the judgments and assumptions made during the first six 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

Annual Designation of Member Director and Independent Director Positions. On June 8, 2016, the Finance Agency designated one member director position for Arizona, six for California, and one for Nevada, effective January 1, 2017, the same as for 2016. In addition, the Finance Agency designated seven independent director positions for the Bank for 2017, which is one position more than for 2016. Two of the California member director positions and two of the independent director positions, all with current terms ending December 31, 2016, and the additional independent director seat will be filled through an election of the members located in California (for the California member director positions), and an election of all members of the Bank (for the independent director positions). The elections will be held in the fourth quarter of 2016. The California member director positions, the independent director position that is designated as a public interest director position, and one other independent director position will each have a four-year term that begins on January 1, 2017, and the remaining independent director position will have a three-year term that begins on January 1, 2017.

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.

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 and “long-term” incentive based compensation payments for senior executive officers and significant risk takers, respectively, over no less than 3 years for annual incentive-based compensation and 1 year for compensation awarded under a long-term incentive plan;

• risk of downward adjustment and forfeiture of awards;

• clawbacks of vested compensation; and

• limits on the maximum incentive-based compensation opportunity.

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The Bank provided comments on the proposed rule on July 22, 2016. The proposed rule would affect the design and operation of the Bank’s compensation policies and practices, including the Bank’s incentive compensation policies and practices, if adopted as proposed.

Joint Proposed Rule Regarding Net Stable Funding Ratio. On May 3, 2016, the Federal Reserve Board, the U.S. Department of the Treasury, and the Federal Deposit Insurance Corporation jointly issued a proposed rule that would implement a stable funding requirement, the net stable funding ratio (NSFR), for large and internationally active banking organizations. The NSFR will require institutions to maintain liquidity to match their assets over a one-year time horizon. The FRB is proposing a modified NSFR requirement for bank holding companies and certain savings and loan holding companies that, in each case, have more than $50 billion, but less than $250 billion, in total consolidated assets and less than $10 billion in total on-balance sheet foreign exposure. If adopted in its current form, the proposed rule would provide that secured funding with maturities between six months and one year, including FHLBank advances, would be assigned 50% liquidity credit for purposes of calculating compliance with the NSFR, which could affect demand for the Bank’s advances.

Comments are due on the proposed rule by August 5, 2016.

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 $963.8 billion at June 30, 2016, and $905.2 billion at December 31, 2015. The par value of the Bank’s participation in consolidated obligations was $92.8 billion at June 30, 2016, and $79.4 billion at December 31, 2015. The Bank had committed to the issuance of $868 million and $410 million in consolidated obligations at June 30, 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 June 30, 2016, the Bank had $28 million in advance commitments and $15.9 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.”

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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 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.

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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 June 30, 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)	June 30, 2016		December 31, 2015
+200 basis-point change above current rates	–3.8	%	–5.0	%
+100 basis-point change above current rates	–1.9		–2.3
–100 basis-point change below current rates(2)	+4.3		+2.8
–200 basis-point change below current rates(2)	+8.1		+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 June 30, 2016, show lower adverse sensitivity in rising rate scenarios and lower favorable sensitivity in the declining 200 basis- point rate change scenario as compared to the estimates as of December 31, 2015. The factors contributing to the change in sensitivity in the rising rate scenarios are the decline in the Bank’s assets-to-capital leverage, improvement in the projected house price index (HPI), and the impact associated with lower intermediate- and long-term interest rates. In 2016, market value sensitivity, which is expressed as a percentage of capital, decreased because of an increase in capital balances resulting from capital stock purchases by members and from increased retained earnings. The change in sensitivity in the declining rate scenarios is primarily related to the impact of lower leverage. LIBOR interest rates as of June 30, 2016, were 18 basis points lower for the 1-year term, 74 basis points lower for the 5-year term, and 81 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.

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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 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 198% as of June 30, 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 June 30, 2016, and one month at December 31, 2015.

Total Bank Duration Gap Analysis
	June 30, 2016			December 31, 2015
	Amount (In millions)		Duration Gap(1)(2) (In months)	Amount (In millions)		Duration Gap(1)(2) (In months)
Assets	$	99,430	5	$	85,698	7
Liabilities	94,068		4	80,802		6
Net	$	5,362	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.

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

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.

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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-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 June 30, 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)	June 30, 2016		December 31, 2015
+200 basis-point change	–1.9	%	–3.0	%
+100 basis-point change	–0.9		–1.4
–100 basis-point change(2)	+1.8		+2.0
–200 basis-point change(2)	+2.9		+4.8

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

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

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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 June 30, 2016, show lower adverse sensitivity in rising rate scenarios and lower favorable sensitivity in declining rate scenarios as compared to the estimates as of December 31, 2015. The factors contributing to the change in sensitivity in the rising rate scenarios are the decline in the Bank’s assets-to-capital leverage, improvement in the projected HPI, and the impact associated with lower intermediate- and long-term interest rates. In 2016, market value sensitivity, which is expressed as a percentage of capital, decreased because of an increase in capital balances resulting from capital stock purchases by members and from increased retained earnings. The change in sensitivity in the declining rate scenarios is primarily related to the impact of lower intermediate and long-term interest rates and lower leverage. LIBOR interest rates as of June 30, 2016, were 18 basis points lower for the 1-year term, 74 basis points lower for the 5-year term, and 81 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 June 30, 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

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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 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 July 2016, the Bank entered into a settlement agreement with certain defendants in connection with the Bank’s PLRMBS litigation for the amount of $236 million (after netting certain legal fees and expenses). 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, and “Part II. Item 1. Legal Proceedings” in the Bank’s Quarterly Report on Form 10-Q for the quarterly period ended March 31, 2016.

The current defendants in the first complaint are: 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 and Morgan Stanley & Co. Incorporated (Morgan Stanley) involving certificates sold by Morgan Stanley to the Bank in an amount paid of approximately $276 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 and Deutsche Bank Securities Inc. (Deutsche) involving certificates sold by Deutsche to the Bank in an amount paid of approximately $1.2 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.

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ITEM 6.    EXHIBITS

Exhibit No.	Description
10.1	Retention Payment Agreement between the Federal Home Loan Bank of San Francisco and Dean Schultz, effective May 12, 2016
10.2	Independent Contractor Consulting Agreement between the Federal Home Loan Bank of San Francisco and Dean Schultz, effective June 1, 2016
10.3	Form of Director Indemnification Agreement
10.4	Form of Senior Officer Indemnification Agreement
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 June 30, 2016, is formatted in XBRL interactive data files: (i) Statements of Condition at June 30, 2016, and December 31, 2015; (ii) Statements of Income for the Three and Six Months Ended June 30, 2016 and 2015; (iii) Statements of Comprehensive Income for the Three and Six Months Ended June 30, 2016 and 2015; (iv) Statements of Capital Accounts for the Six Months Ended June 30, 2016 and 2015; (v) Statements of Cash Flows for the Six Months Ended June 30, 2016 and 2015; and (vi) Notes to Financial Statements.

.

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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 August 5, 2016.

Federal Home Loan Bank of San Francisco

/S/ J. GREGORY SEIBLY

J. Gregory Seibly 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)

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EX-10.1

Exhibit 10.1

RETENTION PAYMENT AGREEMENT

This RETENTION PAYMENT AGREEMENT (“Agreement”), effective as of May 12, 2016 (“Effective Date”), is entered into by and among the Federal Home Loan Bank of San Francisco (the “Bank”) and Dean Schultz (“Mr. Schultz”).

WHEREAS, Mr. Schultz has served as President and Chief Executive Officer (“CEO”) of the Bank since 1991 and plans to retire on May 31, 2016 (“Retirement Date”);

WHEREAS, Mr. Schultz’s successor will commence employment with the Bank as President and CEO on May 12, 2016, prior to Mr. Schultz’s retirement;

WHEREAS, in recognition of the importance of Mr. Schultz’s leadership and guidance of the Bank during a lengthy search for and transition to his successor, the Bank’s Board of Directors desires to continue to employ Mr. Schultz as a non-executive employee during the Bank’s transition to a successor President and CEO and to enter into an agreement embodying the terms of such employment;

WHEREAS, Mr. Schultz desires to assist in the transition, subject to the terms and conditions of this Agreement;

NOW, THEREFORE, IT IS HEREBY AGREED AS FOLLOWS:

1.    Position and Duties. As of the Effective Date, Mr. Schultz will be employed as a non-executive employee of the Bank with the responsibility to assist in the transition of President and CEO duties to his successor. Mr. Schultz shall report to the Board of Directors (“Board”) and shall perform such duties as the Board or the successor President and CEO reasonably direct. Mr. Schultz will devote his best efforts and substantially all his business time and attention to the performance of his duties with the Bank under this Agreement.

2.Term. Mr. Schultz’s appointment and service as President and CEO will end on May 12, 2016, the date the successor President and CEO of the Bank commences employment with the Bank. From May 12, 2016 until his retirement on May 31, 2016, Mr. Schultz will be employed as a non-executive employee of the Bank. Notwithstanding the foregoing, Mr. Schultz’ employment is “at will” by law and may be terminated at any time, including at any time, 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 Mr. Schultz and the Bank, specifically amending this Agreement with respect to the issue of the “at-will” employment relationship.

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3.Terms of Employment

A.Compensation.

(i)Base Salary. Nothing herein shall alter Mr. Schultz’s base salary, which shall continue at its current rate of $852,800.00 per annum (“Base Salary”), through his Retirement Date. 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.

(ii)Retention Payment. The Bank shall provide Mr. Schultz with a retention payment in the amount of $150,000.00 (“Retention Payment”), which will be paid to Mr. Schultz on the Retirement Date. The Retention Payment shall be in lieu of any and all severance, retention and other similar payments and benefits, including any that might have been available under the Bank’s Corporate Senior Officer Severance Policy, the Change in Control Severance Agreement between the Bank and Mr. Schultz dated June 1, 2011, and any other similar plans, policies, programs and agreements. For the avoidance of doubt, except for the Retention Payment, due to his voluntarily retirement Mr. Schultz shall not be eligible to receive any severance, retention or other similar payments or benefits.

(iii)Taxes and Withholdings. The Bank may withhold from any amounts payable under this Agreement, including the Retention Payment, 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 Mr. Schultz.

B.Benefit Programs. Mr. Schultz 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. Details of such benefits are included in the Bank’s policies, benefit summaries and plan descriptions.

C.Incentive Plans. Mr. Schultz acknowledges and agrees that he will not be eligible to receive any payment under the Bank’s 2016 President’s Incentive Plan because his employment with the Bank will terminate prior to January 1, 2017. Mr. Schultz may receive prorated payments under the Bank’s 2014, 2015 and 2016 Executive Performance Unit Plans, as a result of his voluntary normal retirement, subject to and in accordance with all of the terms, conditions and limitations of such plans, including without limit the prior review and non-objection of the Federal Housing Finance Agency.

4.Expense Reimbursement. Mr. Schultz 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.

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5.Covenants.

A.Cooperation. Mr. Schultz hereby covenants that at any time after his Retirement Date, or any earlier Termination of his employment with the Bank, he 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 Mr. Schultz was involved during his employment. The Bank will reimburse Mr. Schultz for reasonable expenses, if any, incurred in providing such assistance.

B.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 Mr. Schultz by Section 409A or damages for failing to comply with Section 409A.

(ii)Termination of Mr. Schultz’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 Mr. Schultz, (B) no such reimbursement or expenses eligible for reimbursement in any taxable year shall in any way affect his right to reimbursement of any other expenses eligible for reimbursement in any other taxable year, and (C) Mr. Schultz’s right to reimbursement shall not be subject to liquidation in exchange for any other benefit.

(iv)For purposes of Section 409A, Mr. Schultz’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 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 Mr. Schultz’s

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“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 Mr. Schultz’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 Mr. Schultz unless otherwise permitted by Section 409A.

(viii)Mr. Schultz 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 him 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. Mr. Schultz hereby acknowledges and agrees that no representations have been made to him 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.

6.Regulatory Approval. Notwithstanding any other provision of this Agreement to the contrary, any payments made to Mr. Schultz 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.

7.Choice of Law. This Agreement shall be governed and construed by the laws of the United States, and to the extent state law may be 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.

8.Arbitration and Waiver of Jury Trial, Attorneys’ Fees. Any and all disputes which may arise from or relate to this Agreement or Mr. Schultz’s employment with the Bank or his Termination, whether initiated by Mr. Schultz or the Bank, shall be subject to final and binding arbitration pursuant to the Bank’s Dispute Resolution and Binding Arbitration Procedure (“Arbitration Procedure”). The arbitrator 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. Mr. Schultz 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 consistent with the Arbitration Procedure and applicable law.

9.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

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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:

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 Mr. Schultz:

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.

10.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.

11.No Waiver. Mr. Schultz’s or the Bank’s failure to insist upon strict compliance with any provision of this Agreement or the failure to assert any right Mr. Schultz 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.

12.Assignment; Assumption by Successor. The rights of the Bank under this Agreement may, without the consent of Mr. Schultz, be assigned by the Bank, in its sole and unfettered discretion, to any person, firm, 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.

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13.Entire Agreement. As of the Effective Date, this Agreement constitutes the final, complete and exclusive agreement between Mr. Schultz 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 Mr. Schultz by the Bank. Nobody at the Bank has been authorized to enter into any other agreement with Mr. Schultz or make any promises or representations to him with respect to retention pay that are not a part of this Agreement.

14.Consultation With Counsel. Mr. Schultz 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 him 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	DEAN SCHULTZ
By:               /s/ Lisa B. MacMillen	By:               /s/ Dean Schultz
Lisa B. MacMillen Executive Vice President and    Chief Operating Officer May 20, 2016	May 20, 2016

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EX-10.2

Exhibit 10.2

Independent Contractor Consulting Agreement

FEDERAL HOME LOAN BANK OF SAN FRANCISCO, 600 California Street, San Francisco, California ("the Bank"), hereby retains Dean Schultz, ################## ("Mr. Schultz") to furnish the services hereinafter described upon the following terms and conditions:

1.    Term

This Independent Contractor Consulting Agreement (“Agreement”) shall be effective as of June 1, 2016 (“Effective Date”) and shall continue in effect until December 31, 2016, unless extended by mutual written agreement of the parties or terminated before December 31, 2016, in accordance with Section 10 of this Agreement.

2.Services Provided by Mr. Schultz

2.1 Mr. Schultz shall perform the services described in each Statement of Work attached hereto as Exhibit A and incorporated herein by reference. Each Statement of Work which comprises Exhibit A and is included herein shall be identified by reference to this Agreement and shall be sequentially numbered beginning with Schedule 1. Each and every Statement of Work included in Exhibit A shall be subject to the terms and conditions of this Agreement and shall hereafter be referred to, collectively and individually, as the “Statement of Work” or “Exhibit A”. Any changes or additions to the scope of services as described in the Statement of Work shall be in writing and subject to the prior written consent of the Bank.

2.2 Mr. Schultz agrees to perform all services hereunder on a best efforts basis, in a workmanlike manner in accordance with the highest industry standards and otherwise to the Bank's reasonable satisfaction.

3.Fees and Expenses

3.1 In consideration for the above-described services, the Bank shall pay Mr. Schultz fees for his services as set forth in each Statement of Work attached hereto as Exhibit A and incorporated herein by reference, unless changed by mutual written agreement.

3.2 In addition, Mr. Schultz will be reimbursed on a monthly basis for all reimbursable expenses incurred and paid by him during the preceding month. Mr. Schultz shall provide the Bank with all receipts for such expenses. Travel expenses will be paid or reimbursed within thirty (30) days after Bank receipt of the travel receipts for expenses and only to the extent provided in the travel and reimbursement policy for contractors attached hereto as Exhibit B and incorporated herein by reference, unless changed by mutual agreement.

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3.3 A separate itemized invoice for each Statement of Work shall be submitted to the Bank by Mr. Schultz on the last day of each month for the work performed during that month. The invoice shall reflect this Agreement and applicable Statement of Work, and provide a brief description of the services rendered by Mr. Schultz during the preceding payment period.

3.4 The Bank claims exemption from payment of any taxes which might arise under this Agreement, pursuant to 12 U.S.C. § 1433 or any other applicable statute or regulation. Mr. Schultz's invoices shall reflect such claimed exemption, and Mr. Schultz shall not charge the Bank for any sales taxes with respect to which the Bank is exempt.

4.Ownership

All Work Product (as defined below) shall become and remain the sole and exclusive property of the Bank and shall be considered “works made for hire.” As used in this Agreement, “Work Product” means all materials and information (whether written, recorded, or otherwise stored), prepared for the Bank pursuant to this Agreement by Mr. Schultz. Mr. Schultz warrants that he has the right to use and to incorporate in the Work Product any materials, concepts, processes or information so used or incorporated without violation of any right of any third party and without creating any obligation on the part of the Bank to pay any fee, license, penalty or other expense, other than the payment to Mr. Schultz set forth above. Mr. Schultz covenants that the Work Product shall be delivered to the Bank free and clear of all liens, encumbrances or claims of any third party.

5.Confidentiality

Mr. Schultz acknowledges and agrees that the Bank’s engagement of Mr. Schultz to furnish the services described herein creates a relationship of confidence and trust between the Bank and Mr. Schultz with respect to all Confidential Information (as defined below) which Mr. Schultz gains access to or knowledge of in the performance of this Agreement.

As used herein, Confidential Information is broadly defined to include all information (whether or not marked or identified orally or in writing as trade secrets, sensitive confidential or proprietary) of the Bank which either: (i) is not generally known or is useful in the conduct of the business of the Bank; (ii) confers or tends to confer on the Bank a competitive advantage over one who does not possess such information; or (iii) derives independent economic value, actual or potential, from not being generally known to, and not being readily ascertainable by proper means by, competitors, customers, vendors and/or other persons who can obtain economic value from its disclosure or use. As used herein, Confidential Information also includes all Work Product. Without limitation to the foregoing, Confidential Information includes, but is not limited to, the Bank’s information systems, software programs and licenses, trading platforms, technology, vendor names and relationships and the extent and adequacy of the Bank’s systems security, customer and vendor lists, vendor intellectual property, marketing information, strategies, forecasts and methodology, business plans, financial information, budgets and projections, technical information and know-how, computer and security systems, forms, transaction documents and personnel data about the Bank’s employees or vendors, including nonpublic personal information, hourly rates or fees paid under this Agreement, and all materials and

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information of the Bank’s shareholders and customers, the Federal Housing Finance Agency or any other applicable regulatory agency. Mr. Schultz agrees to keep all Confidential Information confidential and to use it solely for the performance of services under this Agreement. Mr. Schultz further agrees not to disclose the Confidential Information to any third party without the prior written consent of the Bank.

Mr. Schultz further agrees to take all reasonable precautions to guard the confidentiality of the Confidential Information and to limit access to same to those of his authorized agents as are necessary to perform the services under this Agreement and to report to the Bank and take appropriate remediation actions if security or confidentiality is breached. Mr. Schultz agrees that he will sign a Trade Secrets and Confidentiality Agreement and comply with the Information Security Policy and Enterprise Information Security and Technical Standards (“Information Security Policy and Standards”), incorporated herein by reference. To the extent that Mr. Schultz is given, or has access to, nonpublic personal information (referenced above) during the course of this agreement, Mr. Schultz agrees to comply with all applicable local, state and federal laws, including, without limitation, all applicable privacy and data protection laws, and to maintain such nonpublic personal information that he receives or accesses in accordance with applicable federal and state privacy laws. Mr. Schultz shall notify the Bank promptly following discovery of any breach or compromise of the security, confidentiality, or integrity of any such nonpublic personal information. Mr. Schultz's obligations under this Section 4 shall survive the termination or expiration of this Agreement and, to the extent stricter standards and/or any additional confidentiality obligations are set forth in any Trade Secrets and Confidentiality Agreement or any other non-disclosure agreement executed by Mr. Schultz and the Bank, such stricter standards and/or such additional obligations shall govern.

6.Warranties of Mr. Schultz

Mr. Schultz warrants that he will not directly or indirectly, reverse engineer, decompile, disassemble or otherwise attempt to discover the source or underlying ideas or algorithms of any information systems or software used by the Bank or any information systems or software provided by a third party (“Information Systems”); modify, translate, or create derivate works based on any Information Systems used by the Bank; use any Information Systems for timesharing or service bureau purposes or otherwise for the benefit of a third party, obfuscate, remove or alter any of the logos, trademarks, internet links, patent or copyright notices, confidentiality or proprietary legends or other notices or markings that are on or in any Information Systems or the related documentation; or send or store material containing software viruses, worms, Trojan horses or other harmful computer code, files, scripts, agents or programs.

7.Contractor Status

It is expressly agreed and understood that Mr. Schultz is performing services under this Agreement as a contractor for the Bank and that Mr. Schultz is not an employee or agent of the Bank. Accordingly, Mr. Schultz has no authority to make any contract or representation or to create any obligation or liability whatsoever on behalf of the Bank. Nothing herein contained shall be construed as reserving to the Bank any right to control Mr. Schultz with respect to Mr. Schultz's conduct in the performance

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of this Agreement or the manner in which the services provided for herein are performed. All materials and equipment required by Mr. Schultz to perform the services under this Agreement shall be furnished by Mr. Schultz at his expense, unless otherwise provided by the Bank. Mr. Schultz shall make no representations to any persons contrary to the foregoing limitations on the scope of his relationship with the Bank, and will indemnify, defend and hold harmless the Bank from and against all loss, damage, or liability resulting from any claims made by any person that Mr. Schultz is an employee or agent of the Bank, as well as any costs or expenses arising therefrom (including, but not limited to, attorneys' fees and expenses). All liability to persons actually providing services under this Agreement or related to the provision of such services, including, but not limited to, payment of wages or other compensation, including overtime, withholding of federal, state, and social security taxes, insurance, unemployment benefit assessments, workers' compensation, and similar charges related to wages or other compensation, shall be the sole responsibility of Mr. Schultz. The Bank shall not provide benefits of any kind, including, but not limited to, health insurance, life insurance, educational reimbursements, credit, savings plans, sick pay benefits pursuant to the San Francisco sick leave ordinance or vacation to Mr. Schultz.

8.Indemnification

Mr. Schultz agrees to indemnify and hold the Bank harmless from and against all loss, liability, damage, cost, or expense (including reasonable attorney fees and costs) (“Losses”) to the extent those Losses are determined by a final, non-appealable order or arbitral award to have resulted from Mr. Schultz’s gross negligence or willful misconduct in the performance of the services by Mr. Schultz under this Agreement. The Bank agrees to indemnify and hold Mr. Schultz harmless from any Losses relating to the services performed by Mr. Schultz under this Agreement (including any Losses asserted by the Bank, its agents or representatives, or third parties and any Losses sustained by Mr. Schultz when participating in any legal, regulatory, or administrative proceeding relating to the services), except to the extent those Losses are determined by a final, non-appealable order or arbitral award to have resulted from Mr. Schultz’s gross negligence or willful misconduct in the performance of the services. Neither party will be liable for any lost profits or other indirect, consequential, incidental, punitive or special damages. In no event shall either party’s liability to the other party for Losses incurred in connection with the services under this Agreement exceed the fees received by Mr. Schultz from the Bank.

9.Taxes

Mr. Schultz agrees to pay all applicable taxes which may arise as a result of this Agreement, including, but not limited to, federal, state, and local personal income and other payroll taxes payable with respect to his compensation.. Mr. Schultz shall indemnify, defend, and hold harmless the Bank, its agents, directors, officers and employees from and against any and all loss, damage, or liability resulting from Mr. Schultz's failure to comply with the provisions of this Section 9.

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10.Termination

10.1 This Agreement may be terminated immediately by the Bank in the event of a breach of the Agreement by Mr. Schultz.

10.2 Either party may terminate this Agreement or any Statement of Work at any time by giving the other party written notice of termination. Termination or expiration of this Agreement or any Statement of Work shall not relieve the parties of any amounts owing between them, or unavoidably contracted for or incurred, as of the date of termination. Termination or expiration of this Agreement or any Statement of Work shall not terminate any rights or obligations arising prior to or upon termination or expiration, including, but not limited to, the obligations of Mr. Schultz described in Sections 5, 8 and 9 of this Agreement.

11.Assignment

Mr. Schultz may not voluntarily or involuntarily assign or otherwise transfer, in whole or in part, this Agreement or any rights hereunder, nor may Mr. Schultz voluntarily or involuntarily delegate, subcontract, or otherwise transfer, in whole or in part, any duties or performance or obligations owed under this Agreement without the prior written consent of the Bank. Any and all attempted assignments, delegations, subcontracts, or other transfers without the Bank's prior written consent shall be void.

12.Bank Property

Mr. Schultz will take every reasonable precaution to safeguard the Bank's property that is entrusted to his custody and control. Material developed for the Bank will not be released or used by Mr. Schultz for his own purposes or in any other way without the Bank's prior written approval.

13.Entire Agreement

This Agreement, the exhibits, schedules and documents referred to herein, as well as any Trade Secrets and Confidentiality Agreement or Information Security Policy and Standards as are signed or acknowledged by Mr. Schultz at the request of the Bank, constitute the entire agreement between the parties relating to the subject matter hereof and supersede all prior written and oral agreements, representations, and understandings of the parties with respect to the subject matter hereof. There are no other agreements, representations, or warranties not set forth herein; provided, however, that nothing herein shall affect any continuing obligations of Mr. Schultz to the Bank arising from any prior agreements with the Bank. No supplement, change order, modification, or amendment of this Agreement shall be binding unless executed in writing by both of the parties. No waiver of any provisions of this Agreement shall be deemed, or shall constitute, a waiver of any other provision, whether or not similar, nor shall any waiver constitute a continuing waiver. No waiver shall be binding unless executed in writing by the party making the waiver.

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14.Effective Headings

The subject headings of the sections of this Agreement are included for purposes of convenience only, and shall not affect the construction or interpretation of any of its provisions.

15.Governing Law

This Agreement shall be governed by, and construed in accordance with the federal law and to the extent not inconsistent therewith, applicable California law (regardless of the laws that might otherwise govern under applicable principles of conflicts of laws).

16.Jurisdiction

Each party hereby irrevocably submits to the jurisdiction and venue of any state or federal court in the city and county of San Francisco, California, in any action or proceeding brought to enforce or otherwise arising out of or related to this Agreement and irrevocably waives to the fullest extent permitted by law any objection which such party may now or hereafter have to the resting of such jurisdiction and venue in such forum, and any claim that such forum is an inconvenient forum.

17.Notices

All notices or other communications regarding this Agreement shall be delivered by mail, email, fax or in person. Any notice of termination of the Agreement will also include a follow-up notice by mail. Contact information is as follows:

To the Bank: Federal Home Loan Bank of San Francisco
600 California Street, Suite 300San Francisco, California 94108
Attention:    Greg Seibly

President and Chief Executive Officer

Email: ########

Phone:     ########

Fax:    ########

To Mr. Schultz:            Dean Schultz

############

############

Email:     #########

Phone:    #########

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18.Attorneys' Fees and Expenses

The prevailing party in any action or proceeding to enforce or interpret this Agreement or otherwise arising out of or in connection with the subject matter hereof (including, but not limited to, any suit, arbitration, entry of judgment, post-judgment motion or enforcement, appeal, bankruptcy litigation, attachment or levy) shall be entitled to recover its costs and expenses, including, but not limited to, reasonable attorneys’, experts’ and consultants’ fees and costs.

19.Equal Employment Opportunity and Non-discrimination

As required by 12 C.F.R. Section 1207.21(b)(6), during the performance of this contract, Mr. Schultz agrees as follows:

1. Mr. Schultz shall practice the principles of equal employment opportunity and non-discrimination in all his business activities.

2. Mr. Schultz shall include the provisions of paragraph (1) above, in each subcontract he enters for services or goods provided to the Bank.

IN WITNESS WHEREOF, the parties have executed the Agreement as of the Effective Date.

FEDERAL HOME LOAN BANK OF SAN FRANCISCO			Dean Schultz
Signature:	/s/ J. Gregory Seibly	Signature:	/s/ Dean Schultz
Name:	J. Gregory Seibly	Name:	Dean Schultz
Title:	President & CEO	Title:	Consultant
Date:	June 30, 2016	Date:	June 30, 2016

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Exhibit A
Schedule 1

Independent Contractor

Consulting Agreement
between Dean Schultz and Federal Home Loan Bank of San Francisco
dated June 1, 2016
Statement of Work

June 1, 2016

This Statement of Work between Dean Schultz (“Mr. Schultz”) and the Federal Home Loan Bank of San Francisco (“the Bank”) is a part of, and except as otherwise stated herein, is subject to and governed by all of the terms and conditions of, the above-referenced Independent Contractor Consulting Agreement between Mr. Schultz and the Bank (“Agreement”).

Mr. Schultz shall serve as a consultant to the Bank, performing general project advisory functions and providing knowledge and information based on his role as the Bank’s former President and Chief Executive Officer, at such times and places as the Bank’s President and Chief Executive Officer may reasonably request. During the term of this Agreement, Mr. Schultz will provide periodic reports of work progress and deliverables to the Bank’s President and Chief Executive Officer, as needed.

Such services shall be provided at 600 California, San Francisco, California, or other locations, as appropriate.

Mr. Schultz will be paid $25,000 a month (or a pro rata amount through the date of termination, if the Agreement is terminated prior to the last day of the month) following the end of a month when services were provided, in accordance with the process outlined in Section 3.3 of this Agreement. He will report to the Bank’s President and Chief Executive Officer.

This Statement of Work shall be effective as of June 1, 2016, and shall continue in effect until December 31, 2016, unless extended by mutual written agreement of the parties or terminated before December 31, 2016, in accordance with Section 10 of the Agreement.

The terms and conditions of this Exhibit A-Schedule 1 control the Agreement to the extent they are inconsistent. In all other respects the Agreement shall continue in full force and effect notwithstanding the provisions of this Exhibit A-Schedule 1.

FEDERAL HOME LOAN BANK OF SAN FRANCISCO			Dean Schultz
Signature:	/s/ J. Gregory Seibly	Signature:	/s/ Dean Schultz
Name:	J. Gregory Seibly	Name:	Dean Schultz
Title:	President & CEO	Title:	Consultant
Date:	June 30, 2016	Date:	June 30, 2016

Exhibit B

Vendor Expense and Reimbursement Policy

Invoices with vendor out-of-pocket expenses must be supported by documentation as required below. The responsibility center must attach the supporting documentation to the invoice before forwarding to Accounts Payable for payment.

Requirements as outlined in the Bank’s Reimbursement and Travel Expense Policy for vendor out-of-pocket expenses include, but are not limited to, the following:

Receipts:

• In general, original receipts for expenses exceeding $50.00 per occurrence must be submitted with the invoice. However, it is recognized that some vendors may not be able to provide original receipts (for example, if a vendor needs to retain original receipts for tax reporting purposes); such instances require a written explanation from the vendor as to why original receipts are not being submitted with the invoice.

Airfare:

1. Documentation requirements for airfare reimbursement:

• Airfare expenses must be supported by original passenger ticket receipts or confirmations/receipts issued by the airlines for e-ticket purchases and documentation showing proof of payment for the flight taken.

2. General guidelines to keep in mind for arranging the least costly air travel:

• Travelers should purchase coach or economy class seats at the lowest available fare. Travelers are also strongly encouraged to use such low-cost carriers as Jet Blue, Southwest, etc. whenever possible.

• Travelers may not fly by first class, business class, charter or private plane without prior approval.

• Travelers should complete their travel arrangements at the earliest possible time to avoid the limited, and often costly, alternative accommodations available on short notice. For example, flights arranged one month in advance are generally far less costly than those arranged one week in advance.

• Note: Accounts Payable has the sole discretion of determining whether airfare expenses appear excessive. Such expenses require exception processing before reimbursement can be issued to the vendor. See “Exceptions” section below for details on exception processing requirements.

3. Non-refundable airline tickets that have been cancelled:

• The cost of non-refundable airline tickets (for which the traveler cancels the flights) will be reimbursed if the vendor provides (1) the original non-refundable tickets to Accounts Payable and (2) an explanation as to why the flights were not taken.

Lodging:

The Bank will reimburse vendors for the actual cost of lodging. Moderately priced single accommodations should generally be used. Costs are limited to $350.00 per night (before taxes).

If a traveler shares a hotel room with someone not traveling on official Bank business, reimbursement will be made on the basis of single-rate accommodations.

• All lodging expenses must be documented by original receipts and submitted with the invoice.

•

• Lodging costs that occur one day before the traveler is required to be at the destination will be reimbursed. For example, if the traveler is required to be at the destination on Monday, then the Bank will reimburse lodging on Sunday night.

•

• The Bank will generally not reimburse lodging costs on Saturday night if the traveler is not required to be at the destination until Monday, unless the traveler can show a savings to the Bank by taking a Saturday flight instead of a Sunday flight. The traveler must attach a quote for the comparable flight on Sunday, and show that the savings between the airfare costs for the Saturday flight and the Sunday flight exceed the Saturday night lodging costs.

•

• Lodging costs incurred the day the traveler is no longer required to be at the destination will be reimbursed only if the return flight from the destination is longer than three hours.

• In-room movie rental costs are not reimbursable by the Bank.

•

• Spa fees incurred are not reimbursable by the Bank.

•

• Resort fees assessed to all guests are eligible for reimbursement. The resort fee is considered part of the cost of the room, and is added to the lodging cost in calculating the per night lodging limit of $350.00.

Meal Expenses:

The Bank will reimburse vendors for the actual cost of meals (including tips and drinks) incurred during non-local travel to a maximum of $60 per day.

EX-10.3

Exhibit 10.3

INDEMNIFICATION AGREEMENT

THIS INDEMNIFICATION AGREEMENT, made and entered into as of this ____ day of _________ ("Agreement"), by and between the FEDERAL HOME LOAN BANK OF SAN FRANCISCO, a body corporate existing by and under the laws of the United States ("Bank"), and NAME ("Director"),

W I T N E S S E T H:

Whereas the Board of Directors of the Bank ("Board") believes that it is reasonable, prudent and necessary for the Bank contractually to obligate itself to indemnify the directors of the Bank to the fullest extent permitted by applicable law in order to induce persons of the highest quality to serve the Bank free from undue concern that they will not be so indemnified; and

Whereas the Bank’s bylaws provide that the Bank will follow Delaware law for the Bank’s corporate governance and indemnification practices and procedures; and

Whereas the Director is willing to serve as a director of the Bank on the condition that he or she be so indemnified as more fully set forth herein:

Now Therefore, in consideration of the promises and the covenants in this Agreement, and intending to be legally bound, the Bank and the Director do hereby covenant and agree as follows:

SECTION 1. Definitions. For purposes of this Agreement:

(a)    "Agent" shall mean any person who (i) is or was a director, officer, employee or agent of the Bank; or (ii) is or was a director, officer, employee, member, manager, trustee or agent of another corporation, partnership, limited liability company, joint venture, trust, agency, instrumentality or other enterprise (including any employee benefit plan) who is or was serving in such capacity at the request of, for the convenience of, or to represent the interest of the Bank (including, without limitation, any joint office, 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).

(b)    "Disinterested Director" shall mean a director of the Bank who is not and was not a party to the Proceeding in respect of which indemnification is being sought by the Director.

(c)    "Expenses" shall be broadly construed and shall include all direct and indirect costs (including, without limitation, attorneys' fees and retainers, court costs, transcription costs, fees of experts, witness fees, travel expenses, food and lodging expenses while traveling, duplicating costs, printing and binding costs, telephone charges, postage, delivery service, freight or other transportation fees and expenses, and reasonable compensation for time spent by the Director for which he or she is otherwise not compensated by the Bank or any third party) actually and reasonably incurred, in connection with the investigation, defense, settlement or appeal of a Proceeding or the establishment or enforcement of a right to indemnification under this Agreement, applicable law or otherwise; provided, however, that "Expenses" shall not include any judgments, fines, Employee Retirement Income Security

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Act ("ERISA") excise taxes or penalties, or amounts paid in settlement to the extent any amounts paid in respect of any thereof are prohibited to be indemnified against by applicable law.

(d)    "Independent Counsel" shall mean a law firm or a member of a law firm that neither is presently nor in the past three years has been retained to represent: (i) the Bank or the Director in any matter material to either party, or (ii) any other party to the Proceeding giving rise to a claim for indemnification under this Agreement. Notwithstanding the foregoing, the term "Independent Counsel" shall not include any person who, under the applicable standards of professional conduct then prevailing, would have a conflict of interest in representing either the Bank or the Director in an action to determine the Director's right to indemnification under this Agreement.

(e)    "Liabilities" shall mean liabilities of any type whatsoever, including, but not limited to, judgments, fines, ERISA excise taxes and penalties, and amounts paid in settlement (including all interest, assessments or other charges paid or payable in connection with any of the foregoing).

(f)    "Proceeding" shall mean any threatened, pending or completed action, hearing, claim, suit, arbitration, alternate dispute resolution mechanism, investigation, administrative hearing or any other proceeding, whether civil, criminal, administrative or investigative and whether formal or informal, arising by reason of the fact that the Director is or was an Agent or by reason of anything done or not done by the Director in his or her capacity as an Agent.

SECTION 2. Service as a Director. The Director agrees to serve as a director of the Bank so long as he or she is duly appointed or elected and qualified in accordance with the applicable provisions of the charter and bylaws of the Bank and the Federal Home Loan Bank Act and the rules and regulations promulgated thereunder and until such time as the Director’s term ends or the Director resigns or is removed from his or her position or is disqualified to continue in such position (subject to any other contractual obligation or other obligation imposed by operation of law), in which event the Bank shall have no obligation under this Agreement to continue the Director in any position.

SECTION 3. Indemnification. The Bank shall indemnify the Director to the fullest extent permitted by applicable law and regulations and the charter and bylaws of the Bank in effect on the date hereof or as such laws, regulations, or charter and bylaws may from time to time be amended (but, in the case of any such amendment, only to the extent such amendment permits the Bank to provide broader indemnification rights than applicable laws and regulations or the charter or bylaws of the Bank permitted the Bank to provide immediately prior to such amendment). The right to indemnification conferred in the charter and bylaws of the Bank shall be presumed to have been relied upon by the Director in serving or continuing to serve the Bank and shall be enforceable hereunder as a contract right. In addition to any other rights of indemnification that the Director may have, the Bank hereby agrees to indemnify and hold harmless the Director whenever he or she is or was a party or is threatened to be made a party to any Proceeding, including without limitation any Proceeding brought by or in the right of the Bank, against Expenses and Liabilities actually and reasonably incurred by the Director or on his or her behalf in connection with such Proceeding if such Director acted in good faith and in a manner the Director 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 the Director’s conduct was unlawful; and additionally, with respect to any Proceeding brought by or in the right of the Bank as to which such Director shall have been adjudged to be liable to the Bank, unless and only to the extent that the court in which such Proceeding was brought shall determine upon application that, despite the adjudication of liability but in view of all the circumstances of the case, such Director is fairly and reasonably entitled to indemnity for such expenses which such court shall deem proper; provided, however, that any amounts paid in settlement shall have been first approved by the Bank in writing (with such approval not to be

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unreasonably withheld), with any disagreements between the parties hereto as to the reasonableness thereof to be resolved pursuant to Section 5 hereof. No initial finding by the Board, its counsel, Independent Counsel, arbitrators or the members of the Bank shall be effective to deprive the Director of the protection of this indemnity, nor shall a court to which the Director may apply for enforcement of this indemnity give any weight to any such adverse finding in deciding any issue before it, as it is intended that the Director shall be paid promptly by the Bank all amounts necessary to effectuate the foregoing indemnity in full. The rights of indemnification of the Director provided under this Agreement shall include, without limitation, those rights set forth in Sections 4, 7 and 8 below.

SECTION 4. Advancement of Expenses. All reasonable Expenses (including attorneys' fees and expenses) incurred by or on behalf of the Director shall be advanced by the Bank to the Director within 30 days after the receipt by the Bank of the Director’s written request for an advance of Expenses from time to time, whether prior to or after final disposition of a Proceeding (including without limitation any Proceeding brought by or in the right of the Bank), unless there has been a final determination that the Director is not entitled to be indemnified for such Expenses. The Director's entitlement to advancement of Expenses shall include Expenses incurred in connection with any Proceeding by the Director seeking a determination, an adjudication or award in arbitration pursuant to this Agreement. The requests shall reasonably evidence the Expenses incurred by the Director in connection therewith. The Director hereby undertakes to repay the amounts advanced if it shall ultimately be determined that the Director is not entitled to be indemnified pursuant to the terms of this Agreement. Notwithstanding any other provision in this Agreement, to the extent that the Director has been successful on the merits or otherwise in defense of any Proceeding, the Director shall be indemnified against all Expenses actually and reasonably incurred by the Director in connection therewith.

SECTION 5. Procedure for Determination of Entitlement to Indemnification.

(a)    Whenever the Director believes that he or she is entitled to indemnification pursuant to this Agreement, the Director shall submit a written request for indemnification to the Bank, to the attention of the President, with a copy to the General Counsel. The request shall include all documentation or information necessary for the determination of entitlement to indemnification that is reasonably available to the Director. Determination of the Director's entitlement to indemnification shall be made not later than 60 days after any judgment, order, settlement, dismissal, arbitration award, conviction, acceptance of a plea of nolocontendere or its equivalent, or other disposition or partial disposition of any Proceeding or any other event that could enable the Bank to determine the Director's entitlement to indemnification. The President or the General Counsel shall, promptly upon receipt of the Director's request for indemnification, advise the Board in writing that the Director has made such a request for indemnification.

(b)    The Bank shall be entitled to select the forum in which the Director's entitlement to indemnification will be heard. The Bank shall notify the Director in writing as to the forum selected, which selection shall be one of the following:

(i)    A majority vote of all the directors who are Disinterested Directors, even though less than a quorum;

(ii)    A committee of Disinterested Directors designated by a majority of such directors, even though less than a quorum; or

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(iii)    Independent Counsel selected by the Board, which Independent Counsel shall make the required determination in a written opinion, a copy of which shall be furnished to the Bank, the Director and each other member of the Board.

The Bank agrees to bear all Expenses actually and reasonably incurred by the Director and all Expenses actually incurred by the Bank in connection with the determination of the Director’s entitlement to indemnification in any of the above forums.

SECTION 6. Presumption and Effect of Certain Proceedings. Upon making a request for indemnification, the Director shall be presumed to be entitled to indemnification under this Agreement and the Bank shall have the burden of proof to overcome that presumption in reaching any contrary determination. No initial finding by the Board or by Independent Counsel shall be effective to deprive the Director of the protection of this indemnity nor shall a court or other forum to which the Director may apply for enforcement of this indemnification give any weight to any such adverse finding in deciding any issue before it. If the person or persons empowered to make the determination shall have failed to make the requested determination within 60 days after any judgment, order, settlement, dismissal, arbitration award, conviction, acceptance of a plea of nolocontendere or its equivalent, or other disposition or partial disposition of any Proceeding or any other event that could enable the Bank to determine the Director's entitlement to indemnification, the required determination of entitlement to indemnification shall be deemed to have been made and the Director shall be absolutely entitled to indemnification under this Agreement, absent (i) misrepresentation by the Director of a material fact in the request for indemnification or (ii) a specific finding that all or any part of such indemnification is expressly prohibited by law or this Agreement. The termination of any Proceeding by judgment, order, settlement, arbitration award or conviction, or upon a plea of nolocontendere or its equivalent, shall not, of itself, (a) adversely affect the rights of the Director to indemnification except as may be expressly provided herein, (b) create a presumption that the Director did not act in good faith and in a manner that he or she reasonably believed to be in or not opposed to the best interests of the Bank, or (c) with respect to any criminal action or proceeding, create a presumption that the Director had reasonable cause to believe that his or her conduct was unlawful.

SECTION 7. Remedies of Director in Cases of Determination Not To Indemnify or To Advance Expenses.

(a)    In the event that (i) an initial determination is made that the Director is not entitled to indemnification, (ii) advancement of Expenses is not made pursuant to this Agreement, (iii) payment has not been timely made following a determination of entitlement to indemnification pursuant to this Agreement, or (iv) the Director otherwise seeks enforcement of this Agreement, the Director shall be entitled to a final adjudication in an appropriate court of competent jurisdiction of his or her entitlement to such indemnification or advancement.

(b)    In the event an initial determination has been made, in whole or in part, that the Director is not entitled to indemnification, the decision in the judicial proceeding provided in paragraph (a) of this Section 7 shall be made denovo and the Director shall not be prejudiced by reason of a determination that he or she is not entitled to indemnification.

(c)    If an initial determination is made or deemed to have been made pursuant to the terms of this Agreement that the Director is entitled to indemnification, the Bank shall be bound by such determination in the absence of (i) a misrepresentation of a material fact by the Director or (ii) a specific finding (which has become final) that all or any part of such indemnification is expressly prohibited by law.

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(d)    The Bank shall be precluded from asserting that the procedures and presumptions of this Agreement are not valid, binding and enforceable. The Bank shall stipulate in any such court or before any arbitrator that the Bank is bound by all the provisions of this Agreement.

(e)    All Expenses actually and reasonably incurred by the Director in connection with his or her request for indemnification under, seeking enforcement of, or recovery of damages for breach of this Agreement shall be borne and advanced by the Bank.

(f)    The Bank and the Director agree herein that a monetary remedy for breach of this Agreement, at some later date, will be inadequate, impracticable and difficult of proof, and further agree that such breach would cause the Director irreparable harm. Accordingly, the Bank and the Director agree that the Director shall be entitled to temporary and permanent injunctive relief to enforce this Agreement without the necessity of proving actual damages or irreparable harm. The Bank and the Director further agree that the Director shall be entitled to such injunctive relief, including temporary restraining orders, preliminary injunctions and permanent injunctions, without the necessity of posting bond or other undertaking in connection therewith. Any such requirement of bond or undertaking is hereby waived by the Bank, and the Bank acknowledges that in the absence of such a waiver, a bond or undertaking may be required by the court.

SECTION 8. Other Rights to Indemnification. The Director's rights of indemnification and advancement of Expenses provided by this Agreement shall not be deemed exclusive of any other rights to which the Director may now or in the future be entitled under applicable law, the charter or bylaws of the Bank, agreement, vote of directors or members, insurance or other financial arrangements, or otherwise.

SECTION 9. Limitations on Indemnity. The Bank shall not be liable under this Agreement to make any payment to the Director to the extent that the Director has already been reimbursed pursuant to such liability insurance as the Bank may maintain for the Director's benefit. Notwithstanding the availability of such insurance, the Director also may claim indemnification from the Bank pursuant to this Agreement by assigning to the Bank any claims under such insurance to the extent the Director is paid by the Bank. The Director shall reimburse the Bank for any sums he or she receives as indemnification from other sources to the extent of any amount paid to the Director for that purpose by the Bank. In addition to the foregoing limitation, except as otherwise expressly provided in this Agreement, in connection with all or any part of a Proceeding that is initiated or maintained by or on behalf of the Director, or any Proceeding by the Director against the Bank or any of its Agents, the Bank shall not be liable under this Agreement to make any payment to the Director in connection with any such Proceeding, unless such Proceeding is expressly required to be made under applicable law, was authorized by a majority of the Disinterested Directors or is provided by the Bank, in its sole discretion, pursuant to the powers vested in the Bank under applicable law.

SECTION 10. Duration and Scope of Agreement; Binding Effect. This Agreement shall continue so long as the Director shall be subject to any possible Proceeding by reason of the fact that he or she is or was an Agent and shall be applicable to Proceedings commenced or continued after execution of the Agreement, except that the Agreement may be terminated or withdrawn by the Bank upon 90 days’ prior written notice to the Director, but then only as to Proceedings arising out of acts taken or failed to be taken by the Director more than 90 days after such notice is actually received by the Director. If this Agreement is terminated or withdrawn, the Director shall nevertheless be fully entitled to the indemnification provided by this Agreement as to all actions taken or failed to be taken by the Director prior to the expiration of such 90 days. This Agreement shall be binding upon the Bank and its successors

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and assigns and shall inure to the benefit of the Director and his or her spouse, assigns, heirs, devisees, executors, administrators and other legal representatives whether or not the Director has ceased to be a director of the Bank. The Bank shall require and cause any successor (whether direct or indirect by purchase, merger, consolidation or otherwise) to all or substantially all of the Bank’s business or assets expressly to assume and agree to perform this Agreement in the same manner and to the same extent that the Bank would be required to perform if no such succession had taken place.

SECTION 11. Severability. If any provision of this Agreement (or any portion thereof) shall be held to be invalid, illegal or unenforceable for any reason whatsoever: (a) the validity, legality and enforceability of the remaining provisions of this Agreement shall not in any way be affected or impaired thereby; and (b) to the fullest extent possible, the provisions of this Agreement shall be construed so as to give effect to the intent manifested by the provision held invalid, illegal or unenforceable.

SECTION 12. Identical Counterparts. This Agreement may be executed in one or more counterparts, each of which shall for all purposes be deemed to be an original but all of which together shall constitute one and the same Agreement. Only one such counterpart signed by the party against which enforceability is sought need be produced to evidence the existence of this Agreement.

SECTION 13. Interpretation of Agreement. It is understood that the parties hereto intend this Agreement to be interpreted and enforced so as to provide indemnification to the Director to the fullest extent now or hereafter permitted by law.

SECTION 14. Headings. The headings of the sections and paragraphs of this Agreement are inserted for convenience only and shall not be deemed to constitute part of this Agreement or to affect its construction.

SECTION 15. Modification and Waiver. No supplement, modification or amendment of this Agreement shall be binding unless executed in writing by both of the parties to this Agreement. No waiver of any provision of this Agreement shall be deemed to constitute a waiver of any other provision hereof (whether or not similar), nor shall such waiver constitute a continuing waiver.

SECTION 16. Notice by Director and Defense of Claims. The Director agrees to notify the Bank promptly in writing upon being notified of any matter that may be subject to indemnification hereunder or upon being served with any summons, citation, subpoena, complaint, indictment, information or other document relating to any matter which may be subject to indemnification hereunder, whether civil, criminal, administrative or investigative; but the omission to notify the Bank will not relieve the Bank from any obligation it may have to indemnify the Director if such omission does not prejudice the Bank's rights, and, if such omission does prejudice the Bank's rights, it will relieve the Bank from any obligation to indemnify the Director only to the extent of such prejudice; nor will such omission relieve the Bank from any obligation it may have to the Director other than under this Agreement. With respect to any Proceeding about which the Director notifies the Bank:

(a)    The Bank will be entitled to participate in the Proceeding at its own expense.

(b)    Except as otherwise provided below, the Bank jointly with any other indemnifying party similarly notified will be entitled to assume the defense of any or all of the Proceeding, with counsel reasonably satisfactory to the Director. After notice from the Bank to the Director of its election to assume the defense of any or all of the Proceeding, the Bank will not be liable to the Director under this Agreement for any Expenses subsequently incurred by the Director in connection with the defense of the Proceeding other than reasonable costs of investigation or as otherwise provided below. The Director

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shall have the right to employ his or her own counsel in any Proceeding, but the fees and expenses of such counsel incurred after notice from the Bank of its assumption of the defense in such Proceeding shall be at the expense of the Director unless (i) the employment of counsel by the Director has been authorized by the Bank, (ii) the Director shall have reasonably concluded that there is a conflict of interest between the Bank and the Director in the conduct of the defense of the Proceeding or that counsel is not adequately representing the Director or (iii) the Bank shall not in fact have employed counsel to assume the defense in such Proceeding, in each of which cases the fees and expenses of the Director's counsel shall be at the expense of the Bank. The Bank shall not be entitled to assume the defense of any Proceeding as to which the Director shall have reasonably made the conclusion provided for in clause (ii) of the immediately preceding sentence.

(c)    The Bank shall not be liable to indemnify the Director under this Agreement for any amounts paid in settlement of any action or claim effected without the Bank's written consent. The Bank shall not settle any action or claim in any manner that would impose any penalty or limitation on the Director without the Director's written consent. Neither the Bank nor the Director will unreasonably withhold consent to any proposed settlement.

SECTION 17. Contribution. In order to provide for just and equitable contribution in circumstances in which the indemnification provided for in this Agreement is held by a court of competent jurisdiction to be unavailable to the Director in whole or part, the Bank shall, in such an event, after taking into account, among other things, contributions by other directors and officers of the Bank pursuant to indemnification agreements or otherwise, and, in the absence of personal enrichment, acts of intentional fraud or dishonesty or criminal conduct on the part of the Director, contribute to the payment of the Director’s Expenses and Liabilities to the extent that, after other contributions are taken into account, such Expenses and Liabilities exceed the amount of fees paid to the Director for serving as director during the 12 months preceding the commencement of the Proceeding.

SECTION 18. Notices. All notices, requests, demands and other communications hereunder shall be in writing and shall be deemed to have been duly given if (i) delivered by hand and receipted for by the party to which said notice or other communication shall have been directed or (ii) mailed by certified or registered mail with postage prepaid, on the third business day after the date on which it is so mailed:

(a)    If to the Director, to:

[Director Mailing Address]

(b)    If to the Bank, to:

Federal Home Loan Bank of San Francisco

600 California Street

San Francisco, California 94108

Attn: General Counsel

or to such other address as may have been furnished to either party by the other.

SECTION 19. Subrogation. The Bank shall be subrogated to the rights of the Director against third parties in respect of which (and to the extent) payments of Expenses are made by the Bank hereunder for the benefit of the Director.

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SECTION 20. Prohibited Payments. The Bank shall not make any indemnification payments to the Director under this Agreement if such payment is prohibited by regulation or an order issued by the director of the Federal Housing Finance Agency ("Finance Agency") in accordance with 12 U.S.C. 4518(e) with regard to any administrative proceeding or civil action instituted by the Finance Agency.

SECTION 21. Governing Law. The parties agree that this Agreement shall be governed by, and construed and enforced in accordance with, the laws of the United States and, to the extent state law may be applicable, the laws of the State of Delaware.

[Signature Page to Follow]

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IN WITNESS WHEREOF, the parties hereto have executed this Agreement as of the day and year first above written.

FEDERAL HOME LOAN BANK OF SAN FRANCISCO	NAME
By: _____________________________    J. Gregory Seibly    President and      Chief Executive Officer	Signature: _______________________

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EX-10.4

Exhibit 10.4

INDEMNIFICATION AGREEMENT

THIS INDEMNIFICATION AGREEMENT, made and entered into as of this _____ day of _____________ ("Agreement"), by and between the FEDERAL HOME LOAN BANK OF SAN FRANCISCO, a body corporate existing by and under the laws of the United States ("Bank"), and NAME ("Officer"),

W I T N E S S E T H:

Whereas the Board of Directors of the Bank ("Board") believes that it is reasonable, prudent and necessary for the Bank contractually to obligate itself to indemnify the officers of the Bank to the fullest extent permitted by applicable law in order to induce persons of the highest quality to serve the Bank free from undue concern that they will not be so indemnified; and

Whereas the Bank’s bylaws provide that the Bank will follow Delaware law for the Bank’s corporate governance and indemnification practices and procedures; and

Whereas the Officer is willing to serve as an officer of the Bank on the condition that he or she be so indemnified as more fully set forth herein:

Now Therefore, in consideration of the promises and the covenants in this Agreement, and intending to be legally bound, the Bank and the Officer do hereby covenant and agree as follows:

SECTION 1. Definitions. For purposes of this Agreement:

(a)    "Agent" shall mean any person who (i) is or was a director, officer, employee or agent of the Bank; or (ii) is or was a director, officer, employee, member, manager, trustee or agent of another corporation, partnership, limited liability company, joint venture, trust, agency, instrumentality or other enterprise (including any employee benefit plan) who is or was serving in such capacity at the request of, for the convenience of, or to represent the interest of the Bank (including, without limitation, any joint office, 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).

(b)    "Disinterested Director" shall mean a director of the Bank who is not and was not a party to the Proceeding in respect of which indemnification is being sought by the Director.

(c)    "Expenses" shall be broadly construed and shall include all direct and indirect costs (including, without limitation, attorneys' fees and retainers, court costs, transcription costs, fees of experts, witness fees, travel expenses, food and lodging expenses while traveling, duplicating costs, printing and binding costs, telephone charges, postage, delivery service, freight or other transportation fees and expenses, and reasonable compensation for time spent by the Officer for which he or she is otherwise not compensated by the Bank or any third party) actually and reasonably incurred, in connection with the investigation, defense, settlement or appeal of a Proceeding or the establishment or enforcement of a right to indemnification under this Agreement, applicable law or otherwise; provided, however, that "Expenses" shall not include any judgments, fines, Employee Retirement Income Security

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Act ("ERISA") excise taxes or penalties, or amounts paid in settlement to the extent any amounts paid in respect of any thereof are prohibited to be indemnified against by applicable law.

(d)    "Independent Counsel" shall mean a law firm or a member of a law firm that neither is presently nor in the past three years has been retained to represent: (i) the Bank or the Officer in any matter material to either party, or (ii) any other party to the Proceeding giving rise to a claim for indemnification under this Agreement. Notwithstanding the foregoing, the term "Independent Counsel" shall not include any person who, under the applicable standards of professional conduct then prevailing, would have a conflict of interest in representing either the Bank or the Officer in an action to determine the Officer's right to indemnification under this Agreement.

(e)    "Liabilities" shall mean liabilities of any type whatsoever, including, but not limited to, judgments, fines, ERISA excise taxes and penalties, and amounts paid in settlement (including all interest, assessments or other charges paid or payable in connection with any of the foregoing).

(f)    "Proceeding" shall mean any threatened, pending or completed action, hearing, claim, suit, arbitration, alternate dispute resolution mechanism, investigation, administrative hearing or any other proceeding, whether civil, criminal, administrative or investigative and whether formal or informal, arising by reason of the fact that the Officer is or was an Agent or by reason of anything done or not done by the Officer in his or her capacity as an Agent.

SECTION 2. Service as an Officer. The Officer agrees to serve as an officer of the Bank so long as he or she is duly appointed or elected and qualified in accordance with the applicable provisions of the charter and bylaws of the Bank and the Federal Home Loan Bank Act and the rules and regulations promulgated thereunder and until such time as the Officer’s term ends or the Officer resigns or is removed from his or her position or is disqualified to continue in such position (subject to any other contractual obligation or other obligation imposed by operation of law), in which event the Bank shall have no obligation under this Agreement to continue the Officer in any position.

SECTION 3. Indemnification. The Bank shall indemnify the Officer to the fullest extent permitted by applicable law and regulations and the charter and bylaws of the Bank in effect on the date hereof or as such laws, regulations, or charter and bylaws may from time to time be amended (but, in the case of any such amendment, only to the extent such amendment permits the Bank to provide broader indemnification rights than applicable laws and regulations or the charter or bylaws of the Bank permitted the Bank to provide immediately prior to such amendment). The right to indemnification conferred in the charter and bylaws of the Bank shall be presumed to have been relied upon by the Officer in serving or continuing to serve the Bank and shall be enforceable hereunder as a contract right. In addition to any other rights of indemnification that the Officer may have, the Bank hereby agrees to indemnify and hold harmless the Officer whenever he or she is or was a party or is threatened to be made a party to any Proceeding, including without limitation any Proceeding brought by or in the right of the Bank, against Expenses and Liabilities actually and reasonably incurred by the Officer or on his or her behalf in connection with such Proceeding if such Officer acted in good faith and in a manner the Officer 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 the Officer’s conduct was unlawful; and additionally, with respect to any Proceeding brought by or in the right of the Bank as to which such Officer shall have been adjudged to be liable to the Bank, unless and only to the extent that the court in which such Proceeding was brought shall determine upon application that, despite the adjudication of liability but in view of all the circumstances of the case, such Officer is fairly and reasonably entitled to indemnity for such expenses which such court shall deem proper; provided, however, that any amounts paid in settlement shall have been first approved by the Bank in writing (with such approval not to be

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unreasonably withheld), with any disagreements between the parties hereto as to the reasonableness thereof to be resolved pursuant to Section 5 hereof. No initial finding by the Board, its counsel, Independent Counsel, arbitrators or the members of the Bank shall be effective to deprive the Officer of the protection of this indemnity, nor shall a court to which the Officer may apply for enforcement of this indemnity give any weight to any such adverse finding in deciding any issue before it, as it is intended that the Officer shall be paid promptly by the Bank all amounts necessary to effectuate the foregoing indemnity in full. The rights of indemnification of the Officer provided under this Agreement shall include, without limitation, those rights set forth in Sections 4, 7 and 8 below.

SECTION 4. Advancement of Expenses. All reasonable Expenses (including attorneys' fees and expenses) incurred by or on behalf of the Officer shall be advanced by the Bank to the Officer within 30 days after the receipt by the Bank of the Officer’s written request for an advance of Expenses from time to time, whether prior to or after final disposition of a Proceeding (including without limitation any Proceeding brought by or in the right of the Bank), unless there has been a final determination that the Officer is not entitled to be indemnified for such Expenses. The Officer's entitlement to advancement of Expenses shall include Expenses incurred in connection with any Proceeding by the Officer seeking a determination, an adjudication or award in arbitration pursuant to this Agreement. The requests shall reasonably evidence the Expenses incurred by the Officer in connection therewith. The Officer hereby undertakes to repay the amounts advanced if it shall ultimately be determined that the Officer is not entitled to be indemnified pursuant to the terms of this Agreement. Notwithstanding any other provision in this Agreement, to the extent that the Officer has been successful on the merits or otherwise in defense of any Proceeding, the Officer shall be indemnified against all Expenses actually and reasonably incurred by the Officer in connection therewith.

SECTION 5. Procedure for Determination of Entitlement to Indemnification.

(a)    Whenever the Officer believes that he or she is entitled to indemnification pursuant to this Agreement, the Officer shall submit a written request for indemnification to the Bank, to the attention of the President, with a copy to the General Counsel. The request shall include all documentation or information necessary for the determination of entitlement to indemnification that is reasonably available to the Officer. Determination of the Officer's entitlement to indemnification shall be made not later than 60 days after any judgment, order, settlement, dismissal, arbitration award, conviction, acceptance of a plea of nolocontendere or its equivalent, or other disposition or partial disposition of any Proceeding or any other event that could enable the Bank to determine the Officer's entitlement to indemnification. The President or the General Counsel shall, promptly upon receipt of the Officer's request for indemnification, advise the Board in writing that the Officer has made such a request for indemnification.

(b)    The Bank shall be entitled to select the forum in which the Officer's entitlement to indemnification will be heard. The Bank shall notify the Officer in writing as to the forum selected, which selection shall be one of the following:

(i)    A majority vote of all the directors who are Disinterested Directors, even though less than a quorum;

(ii)    A committee of Disinterested Directors designated by a majority of such directors, even though less than a quorum; or

(iii)    Independent Counsel selected by the Board, which Independent Counsel shall make the required determination in a written opinion, a copy of which shall be furnished to the Bank, the Officer and each other member of the Board.

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The Bank agrees to bear all Expenses actually and reasonably incurred by the Officer and all Expenses actually incurred by the Bank in connection with the determination of the Officer’s entitlement to indemnification in any of the above forums.

SECTION 6. Presumption and Effect of Certain Proceedings. Upon making a request for indemnification, the Officer shall be presumed to be entitled to indemnification under this Agreement and the Bank shall have the burden of proof to overcome that presumption in reaching any contrary determination. No initial finding by the Board or by Independent Counsel shall be effective to deprive the Officer of the protection of this indemnity nor shall a court or other forum to which the Officer may apply for enforcement of this indemnification give any weight to any such adverse finding in deciding any issue before it. If the person or persons empowered to make the determination shall have failed to make the requested determination within 60 days after any judgment, order, settlement, dismissal, arbitration award, conviction, acceptance of a plea of nolocontendere or its equivalent, or other disposition or partial disposition of any Proceeding or any other event that could enable the Bank to determine the Officer's entitlement to indemnification, the required determination of entitlement to indemnification shall be deemed to have been made and the Officer shall be absolutely entitled to indemnification under this Agreement, absent (i) misrepresentation by the Officer of a material fact in the request for indemnification or (ii) a specific finding that all or any part of such indemnification is expressly prohibited by law or this Agreement. The termination of any Proceeding by judgment, order, settlement, arbitration award or conviction, or upon a plea of nolocontendere or its equivalent, shall not, of itself, (a) adversely affect the rights of the Officer to indemnification except as may be expressly provided herein, (b) create a presumption that the Officer did not act in good faith and in a manner that he or she reasonably believed to be in or not opposed to the best interests of the Bank, or (c) with respect to any criminal action or proceeding, create a presumption that the Officer had reasonable cause to believe that his or her conduct was unlawful.

SECTION 7. Remedies of Officer in Cases of Determination Not To Indemnify or To Advance Expenses.

(a)    In the event that (i) an initial determination is made that the Officer is not entitled to indemnification, (ii) advancement of Expenses is not made pursuant to this Agreement, (iii) payment has not been timely made following a determination of entitlement to indemnification pursuant to this Agreement, or (iv) the Officer otherwise seeks enforcement of this Agreement, the Officer shall be entitled to a final adjudication in an appropriate court of competent jurisdiction of his or her entitlement to such indemnification or advancement.

(b)    In the event an initial determination has been made, in whole or in part, that the Officer is not entitled to indemnification, the decision in the judicial proceeding provided in paragraph (a) of this Section 7 shall be made denovo and the Officer shall not be prejudiced by reason of a determination that he or she is not entitled to indemnification.

(c)    If an initial determination is made or deemed to have been made pursuant to the terms of this Agreement that the Officer is entitled to indemnification, the Bank shall be bound by such determination in the absence of (i) a misrepresentation of a material fact by the Officer or (ii) a specific finding (which has become final) that all or any part of such indemnification is expressly prohibited by law.

‑ 4 ‑

(d)    The Bank shall be precluded from asserting that the procedures and presumptions of this Agreement are not valid, binding and enforceable. The Bank shall stipulate in any such court or before any arbitrator that the Bank is bound by all the provisions of this Agreement.

(e)    All Expenses actually and reasonably incurred by the Officer in connection with his or her request for indemnification under, seeking enforcement of, or recovery of damages for breach of this Agreement shall be borne and advanced by the Bank.

(f)    The Bank and the Officer agree herein that a monetary remedy for breach of this Agreement, at some later date, will be inadequate, impracticable and difficult of proof, and further agree that such breach would cause the Officer irreparable harm. Accordingly, the Bank and the Officer agree that the Officer shall be entitled to temporary and permanent injunctive relief to enforce this Agreement without the necessity of proving actual damages or irreparable harm. The Bank and the Officer further agree that the Officer shall be entitled to such injunctive relief, including temporary restraining orders, preliminary injunctions and permanent injunctions, without the necessity of posting bond or other undertaking in connection therewith. Any such requirement of bond or undertaking is hereby waived by the Bank, and the Bank acknowledges that in the absence of such a waiver, a bond or undertaking may be required by the court.

SECTION 8. Other Rights to Indemnification. The Officer's rights of indemnification and advancement of Expenses provided by this Agreement shall not be deemed exclusive of any other rights to which the Officer may now or in the future be entitled under applicable law, the charter or bylaws of the Bank, agreement, vote of directors or members, insurance or other financial arrangements, or otherwise.

SECTION 9. Limitations on Indemnity. The Bank shall not be liable under this Agreement to make any payment to the Officer to the extent that the Officer has already been reimbursed pursuant to such liability insurance as the Bank may maintain for the Officer's benefit. Notwithstanding the availability of such insurance, the Officer also may claim indemnification from the Bank pursuant to this Agreement by assigning to the Bank any claims under such insurance to the extent the Officer is paid by the Bank. The Officer shall reimburse the Bank for any sums he or she receives as indemnification from other sources to the extent of any amount paid to the Officer for that purpose by the Bank. In addition to the foregoing limitation, except as otherwise expressly provided in this Agreement, in connection with all or any part of a Proceeding that is initiated or maintained by or on behalf of the Officer, or any Proceeding by the Officer against the Bank or any of its Agents, the Bank shall not be liable under this Agreement to make any payment to the Officer in connection with any such Proceeding, unless such Proceeding is expressly required to be made under applicable law, was authorized by a majority of the Disinterested Directors or is provided by the Bank, in its sole discretion, pursuant to the powers vested in the Bank under applicable law.

SECTION 10. Duration and Scope of Agreement; Binding Effect. This Agreement shall continue so long as the Officer shall be subject to any possible Proceeding by reason of the fact that he or she is or was an Agent and shall be applicable to Proceedings commenced or continued after execution of the Agreement, except that the Agreement may be terminated or withdrawn by the Bank upon 90 days’ prior written notice to the Officer, but then only as to Proceedings arising out of acts taken or failed to be taken by the Officer more than 90 days after such notice is actually received by the Officer. If this Agreement is terminated or withdrawn, the Officer shall nevertheless be fully entitled to the indemnification provided by this Agreement as to all actions taken or failed to be taken by the Officer prior to the expiration of such 90 days. This Agreement shall be binding upon the Bank and its successors and assigns and shall inure to the benefit of the Officer and his or her spouse, assigns, heirs, devisees,

‑ 5 ‑

executors, administrators and other legal representatives whether or not the Officer has ceased to be a officer of the Bank. The Bank shall require and cause any successor (whether direct or indirect by purchase, merger, consolidation or otherwise) to all or substantially all of the Bank’s business or assets expressly to assume and agree to perform this Agreement in the same manner and to the same extent that the Bank would be required to perform if no such succession had taken place.

SECTION 11. Severability. If any provision of this Agreement (or any portion thereof) shall be held to be invalid, illegal or unenforceable for any reason whatsoever: (a) the validity, legality and enforceability of the remaining provisions of this Agreement shall not in any way be affected or impaired thereby; and (b) to the fullest extent possible, the provisions of this Agreement shall be construed so as to give effect to the intent manifested by the provision held invalid, illegal or unenforceable.

SECTION 12. Identical Counterparts. This Agreement may be executed in one or more counterparts, each of which shall for all purposes be deemed to be an original but all of which together shall constitute one and the same Agreement. Only one such counterpart signed by the party against which enforceability is sought need be produced to evidence the existence of this Agreement.

SECTION 13. Interpretation of Agreement. It is understood that the parties hereto intend this Agreement to be interpreted and enforced so as to provide indemnification to the Officer to the fullest extent now or hereafter permitted by law.

SECTION 14. Headings. The headings of the sections and paragraphs of this Agreement are inserted for convenience only and shall not be deemed to constitute part of this Agreement or to affect its construction.

SECTION 15. Modification and Waiver. No supplement, modification or amendment of this Agreement shall be binding unless executed in writing by both of the parties to this Agreement. No waiver of any provision of this Agreement shall be deemed to constitute a waiver of any other provision hereof (whether or not similar), nor shall such waiver constitute a continuing waiver.

SECTION 16. Notice by Officer and Defense of Claims. The Officer agrees to notify the Bank promptly in writing upon being notified of any matter that may be subject to indemnification hereunder or upon being served with any summons, citation, subpoena, complaint, indictment, information or other document relating to any matter which may be subject to indemnification hereunder, whether civil, criminal, administrative or investigative; but the omission to notify the Bank will not relieve the Bank from any obligation it may have to indemnify the Officer if such omission does not prejudice the Bank's rights, and, if such omission does prejudice the Bank's rights, it will relieve the Bank from any obligation to indemnify the Officer only to the extent of such prejudice; nor will such omission relieve the Bank from any obligation it may have to the Officer other than under this Agreement. With respect to any Proceeding about which the Officer notifies the Bank:

(a)    The Bank will be entitled to participate in the Proceeding at its own expense.

(b)    Except as otherwise provided below, the Bank jointly with any other indemnifying party similarly notified will be entitled to assume the defense of any or all of the Proceeding, with counsel reasonably satisfactory to the Officer. After notice from the Bank to the Officer of its election to assume the defense of any or all of the Proceeding, the Bank will not be liable to the Officer under this Agreement for any Expenses subsequently incurred by the Officer in connection with the defense of the Proceeding other than reasonable costs of investigation or as otherwise provided below. The Officer shall have the right to employ his or her own counsel in any Proceeding, but the fees and expenses of such counsel

‑ 6 ‑

incurred after notice from the Bank of its assumption of the defense in such Proceeding shall be at the expense of the Officer unless (i) the employment of counsel by the Officer has been authorized by the Bank, (ii) the Officer shall have reasonably concluded that there is a conflict of interest between the Bank and the Officer in the conduct of the defense of the Proceeding or that counsel is not adequately representing the Officer or (iii) the Bank shall not in fact have employed counsel to assume the defense in such Proceeding, in each of which cases the fees and expenses of the Officer's counsel shall be at the expense of the Bank. The Bank shall not be entitled to assume the defense of any Proceeding as to which the Officer shall have reasonably made the conclusion provided for in clause (ii) of the immediately preceding sentence.

(c)    The Bank shall not be liable to indemnify the Officer under this Agreement for any amounts paid in settlement of any action or claim effected without the Bank's written consent. The Bank shall not settle any action or claim in any manner that would impose any penalty or limitation on the Officer without the Officer's written consent. Neither the Bank nor the Officer will unreasonably withhold consent to any proposed settlement.

SECTION 17. Contribution. In order to provide for just and equitable contribution in circumstances in which the indemnification provided for in this Agreement is held by a court of competent jurisdiction to be unavailable to the Officer in whole or part, the Bank shall, in such an event, after taking into account, among other things, contributions by other directors and officers of the Bank pursuant to indemnification agreements or otherwise, and, in the absence of personal enrichment, acts of intentional fraud or dishonesty or criminal conduct on the part of the Officer, contribute to the payment of the Officer’s Expenses and Liabilities to the extent that, after other contributions are taken into account, such Expenses and Liabilities exceed the amount of fees paid to the Officer for serving as officer during the 12 months preceding the commencement of the Proceeding.

SECTION 18. Notices. All notices, requests, demands and other communications hereunder shall be in writing and shall be deemed to have been duly given if (i) delivered by hand and receipted for by the party to which said notice or other communication shall have been directed or (ii) mailed by certified or registered mail with postage prepaid, on the third business day after the date on which it is so mailed:

(a)    If to the Officer, to:

Federal Home Loan Bank of San Francisco

600 California Street, 3^rd Floor

San Francisco, California 94108

Attention: Officer Name

(b)    If to the Bank, to:

Federal Home Loan Bank of San Francisco

600 California Street

San Francisco, California 94108

Attn: General Counsel

or to such other address as may have been furnished to either party by the other.

‑ 7 ‑

SECTION 19. Subrogation. The Bank shall be subrogated to the rights of the Officer against third parties in respect of which (and to the extent) payments of Expenses are made by the Bank hereunder for the benefit of the Officer.

SECTION 20. Prohibited Payments. The Bank shall not make any indemnification payments to the Officer under this Agreement if such payment is prohibited by regulation or an order issued by the director of the Federal Housing Finance Agency ("Finance Agency") in accordance with 12 U.S.C. 4518(e) with regard to any administrative proceeding or civil action instituted by the Finance Agency.

SECTION 21. Governing Law. The parties agree that this Agreement shall be governed by, and construed and enforced in accordance with, the laws of the United States and, to the extent state law may be applicable, the laws of the State of Delaware.

[Signature Page to Follow]

‑ 8 ‑

IN WITNESS WHEREOF, the parties hereto have executed this Agreement as of the day and year first above written.

FEDERAL HOME LOAN BANK OF SAN FRANCISCO	NAME
By: _____________________________  J. Gregory Seibly  President and    Chief Executive Officer	Signature: _______________________

‑ 9 ‑

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, J. Gregory Seibly, certify that:

1. I have reviewed this quarterly report on Form 10-Q for the period ended June 30, 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: August 5, 2016	/S/ J. GREGORY SEIBLY
	J. Gregory Seibly 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 June 30, 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: August 5, 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 June 30, 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: August 5, 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, J. Gregory Seibly, 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 June 30, 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: August 5, 2016	/S/ J. GREGORY SEIBLY
	J. Gregory Seibly 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 June 30, 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: August 5, 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 June 30, 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: August 5, 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	6 Months Ended
	Jun. 30, 2016	Jul. 31, 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	Jun. 30, 2016
Amendment Flag	false
Document Fiscal Year Focus	2016
Document Fiscal Period Focus	Q2
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		30,165,229

XML

Statements of Condition - USD ($) $ in Millions		Jun. 30, 2016	Dec. 31, 2015
Assets:
Cash and due from banks		$ 15	$ 1,637
Interest-bearing deposits		575	0
Securities purchased under agreements to resell		13,000	10,000
Federal funds sold		5,557	4,626
Trading securities	[1]	1,409	1,433
Available-for-sale (AFS) securities	[1]	4,864	5,414
Held-to-maturity (HTM) securities (fair values were $11,320 and $10,821, respectively)	[1],[2]	11,173	10,802
Advances (includes $3,752 and $3,677 at fair value under the fair value option, respectively)		61,963	50,919
Mortgage loans held for portfolio, net of allowance for credit losses of $0 and $0, respectively		632	655
Accrued interest receivable		55	56
Premises, software, and equipment, net		31	32
Derivative assets, Net		64	44
Other assets		92	80
Total Assets		99,430	85,698
Liabilities:
Deposits		219	127
Consolidated obligations:
Bonds (includes $2,925 and $4,233 at fair value under the fair value option, respectively)		50,924	51,827
Discount Notes		41,930	27,647
Total consolidated obligations		92,854	79,474
Mandatorily redeemable capital stock		486	488
Accrued interest payable		78	80
Affordable Housing Program (AHP) payable		186	172
Derivative liabilities, Net		7	6
Other liabilities		238	455
Total Liabilities		94,068	80,802
Commitments and Contingencies (Note 17)
Capital:
Capital stock-Class B-Putable ($100 par value) issued and outstanding: 25 shares and 23 shares, respectively		2,520	2,253
Unrestricted retained earnings		761	610
Restricted retained earnings		2,067	2,018
Total Retained Earnings		2,828	2,628
Accumulated Other Comprehensive Income (Loss) (AOCI)		14	15
Total Capital		5,362	4,896
Total Liabilities and Capital		$ 99,430	$ 85,698

[1] At June 30, 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	Jun. 30, 2016	Dec. 31, 2015
Assets:
Fair Value of Held-to-maturity securities	$ 11,320	$ 10,821
Fair Value of Advances Under the Fair Value Option	3,752	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	25	23
Common stock, shares outstanding	25	23
Consolidated obligation bonds [Member]
Liabilities:
Fair Value of Bonds Under the Fair Value Option	$ 2,925	$ 4,233

XML

Statements of Income - USD ($) $ in Millions		3 Months Ended		6 Months Ended
		Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015
Interest Income:
Advances		$ 117	$ 73	$ 221	$ 140
Prepayment fees on advances, net		0	8	2	8
Interest bearing deposits		1	0	1	0
Securities purchased under agreements to resell		3	1	5	1
Federal funds sold		7	2	12	4
Trading securities		1	1	3	3
AFS securities		67	67	136	134
HTM securities		62	76	126	156
Mortgage loans held for portfolio		7	8	15	17
Total Interest Income		265	236	521	463
Interest Expense:
Consolidated Obligations: Bonds		104	80	208	156
Consolidated Obligations: Discount notes		32	10	51	16
Mandatorily redeemable capital stock	[1]	12	38	22	53
Total Interest Expense		148	128	281	225
Net Interest Income		117	108	240	238
Provision for/(reversal of) credit losses on mortgage loans		0	0	0	0
Net Interest Income After Mortgage Loan Loss Provision		117	108	240	238
Other Income/(Loss):
Total other-than-temporary impairment (OTTI) loss		(3)	(15)	(18)	(19)
Net amount of OTTI loss reclassified to/(from) AOCI		(1)	9	7	11
Net OTTI loss, credit-related		(4)	(6)	(11)	(8)
Net gain/(loss) on trading securities		1	0	2	0
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option		13	(26)	40	(33)
Net gain/(loss) on derivatives and hedging activities		(23)	27	(88)	6
Gains on litigation settlements, net		0	0	211	459
Other		4	3	8	6
Total Other Income/(Loss)		(9)	(2)	162	430
Other Expense:
Compensation and benefits		18	17	36	34
Other operating expense		17	15	32	29
Federal Housing Finance Agency		1	1	3	3
Office of Finance		1	1	2	2
Total Other Expense		37	34	73	68
Income/(Loss) Before Assessments		71	72	329	600
AHP Assessment		8	11	35	65
Net Income/(Loss)		$ 63	$ 61	$ 294	$ 535

[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

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Statements of Comprehensive Income - USD ($) $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015
Net Income/(Loss)	$ 63	$ 61	$ 294	$ 535
Other Comprehensive Income/(Loss):
Net change in pension and postretirement benefits	0	1	1	1
Net non-credit-related OTTI gain/(loss) on AFS securities:
Net change in fair value of other-than-temporarily impaired securities	50	(2)	3	18
Net amount of OTTI loss reclassified to/(from) other income/(loss)	1	(9)	(7)	(11)
Total net non-credit-related OTTI gain/(loss) on AFS securities	51	(11)	(4)	7
Net non-credit-related OTTI gain/(loss) on HTM securities:
Accretion of Noncredit Related OTTI Loss	1	2	2	4
Total net non-credit-related OTTI gain/(loss) on HTM securities	1	2	2	4
Total other comprehensive income/(loss)	52	(8)	(1)	12
Total Comprehensive Income (Loss)	$ 115	$ 53	$ 293	$ 547

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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						5
Issuance of capital stock, value	527					$ 527
Repurchase of capital stock, shares						(10)
Repurchase of capital stock, value	(1,042)					$ (1,042)
Net Shares Reclassified from/(to) Mandatorily Redeemable Capital Stock, Shares						0
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net, value	(12)					$ (12)
Comprehensive Income (Loss)	547	535	105	430	12
Cash dividends paid on capital stock	(241)	(241)		(241)
Balance, Shares at Jun. 30, 2015						28
Balance at Jun. 30, 2015	5,472	2,653	2,170	483	68	$ 2,751
Balance at Mar. 31, 2015		2,774		624
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net, value	(4)
Comprehensive Income (Loss)	53
Cash dividends paid on capital stock		(182)		(182)
Balance, Shares at Jun. 30, 2015						28
Balance at Jun. 30, 2015	5,472	2,653	2,170	483	68	$ 2,751
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						6
Issuance of capital stock, value	653					$ 653
Repurchase of capital stock, shares						(3)
Repurchase of capital stock, value	(334)					$ (334)
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)	293	294	49	245	(1)
Cash dividends paid on capital stock	(94)	(94)		(94)
Balance, Shares at Jun. 30, 2016						25
Balance at Jun. 30, 2016	5,362	2,828	2,067	761	14	$ 2,520
Balance at Mar. 31, 2016		2,814		760
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net, value	0
Comprehensive Income (Loss)	115
Cash dividends paid on capital stock		(49)		(49)
Balance, Shares at Jun. 30, 2016						25
Balance at Jun. 30, 2016	$ 5,362	$ 2,828	$ 2,067	$ 761	$ 14	$ 2,520

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Statements of Capital Accounts (Parenthetical)	3 Months Ended		6 Months Ended
	Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015
Annualized Dividend Rate on Capital Stock	8.90%	22.65%	8.46%	14.58%

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Statements of Cash Flows - USD ($) $ in Millions	6 Months Ended
	Jun. 30, 2016	Jun. 30, 2015
Cash Flows from Operating Activities:
Net Income/(Loss)	$ 294	$ 535
Adjustments to reconcile net income/(loss) to net cash provided by operating activities:
Depreciation and amortization	(44)	(46)
Change in net fair value of trading securities	(2)	0
Change in net fair value adjustment on advances and consolidated obligation bonds held under fair value option	(40)	33
Change in net derivatives and hedging activities	74	(30)
Net OTTI loss, credit-related	11	8
Net change in:
Accrued interest receivable	1	5
Other assets	(11)	(6)
Accrued interest payable	(3)	(6)
Other liabilities	46	39
Total adjustments	32	(3)
Net cash provided by/(used in) operating activities	326	532
Cash Flows from Investing Activities:
Interest-bearing deposits	208	(226)
Securities purchased under agreements to resell	(3,000)	(6,250)
Federal funds sold	(931)	2,315
Premises, software, and equipment	(5)	(4)
Loans to Federal Home Loan Banks	0	(125)
Trading securities:
Proceeds from maturities of long-term	276	601
Purchases of long-term	(500)	0
AFS securities:
Proceeds from maturities of long-term	587	465
HTM securities:
Proceeds from maturities of long-term	1,225	1,387
Purchases of long-term	(1,597)	0
Advances:
Principal collected	790,003	470,851
Made to members	(800,917)	(482,082)
Mortgage loans held for portfolio:
Principal collected	83	94
Purchases	(59)	(57)
Proceeds from sale of foreclosed assets	2	2
Net cash provided by/(used in) investing activities	(14,625)	(13,029)
Cash Flows from Financing Activities:
Net change in Deposits	(872)	501
Net (payments)/proceeds on derivative contracts with financing elements	8	9
Net proceeds from issuance of consolidated obligations:
Bonds	19,692	15,658
Discount notes	65,703	65,159
Payments for matured and retired consolidated obligations:
Bonds	(20,599)	(17,048)
Discount notes	(51,426)	(53,118)
Proceeds from issuance of capital stock	653	527
Payments for repurchase/redemption of mandatorily redeemable capital stock	(54)	(589)
Payments for repurchase of capital stock	(334)	(1,042)
Cash dividends paid	(94)	(241)
Net cash provided by/(used in) financing activities	12,677	9,816
Net increase/(decrease) in cash and due from banks	(1,622)	(2,681)
Cash and due from banks at beginning of the period	1,637	3,920
Cash and due from banks at end of period	15	1,239
Supplemental Disclosures:
Interest paid	260	215
AHP payments	21	24
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	$ 12

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Basis of Presentation

6 Months Ended

Jun. 30, 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 June 30, 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 June 30, 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 June 30, 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 June 30, 2016, are discussed in Note 2 – Recently Issued and Adopted Accounting Guidance.

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Recently Issued and Adopted Accounting Guidance

6 Months Ended

Jun. 30, 2016

New Accounting Pronouncements and Changes in Accounting Principles [Abstract]

Recently Issued and Adopted Accounting Guidance

Recently Issued and Adopted Accounting Guidance

Measurement of Credit Losses on Financial Instruments

On June 16, 2016, the FASB issued amended guidance for the accounting for credit losses on financial instruments. The amendments require entities to measure expected credit losses based on relevant information about past events, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectability of the reported amount. An entity must use judgment in determining the relevant information and estimation methods that are appropriate under the circumstances. In addition, under the new guidance, a financial asset, or a group of financial assets, is required to be measured at its amortized cost to be presented at the net amount expected to be collected. Among other things, the guidance also requires:

• The statement of income to reflect the measurement of credit losses for newly recognized financial assets, as well as the expected increases or decreases of expected credit losses that have taken place during the period.

• The entities to determine the allowance for credit losses for purchased financial assets with a more-than-insignificant amount of credit deterioration since origination that are measured at amortized cost basis in a similar manner to other financial assets measured at amortized cost basis. The initial allowance for credit losses is required to be added to the purchase price.

• Credit losses relating to available-for-sale debt securities to be recorded through an allowance for credit losses. The amendments limit the allowance for credit losses to the amount by which fair value is below amortized cost.

• Public entities to further disaggregate the current disclosure of credit quality indicators in relation to the amortized cost of financing receivables by the year of origination (i.e., vintage).

The guidance is effective for the Bank for interim and annual periods beginning on January 1, 2020. Early application is permitted as of the interim and annual reporting periods beginning after December 15, 2018. The guidance should be applied using a modified-retrospective approach, through a cumulative-effect adjustment to retained earnings as of the beginning of the first reporting period in which the guidance is effective. In addition, the entities are required to use a prospective transition approach for debt securities for which an other-than-temporary impairment had been recognized before the effective date. 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.

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 U.S. 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 U.S. 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 U.S. 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 resulted 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.

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Trading Securities

6 Months Ended

Jun. 30, 2016

Trading Securities [Abstract]

Trading Securities

Trading Securities

The estimated fair value of trading securities as of June 30, 2016, and December 31, 2015, was as follows:

	June 30, 2016		December 31, 2015
Government-Sponsored Enterprises (GSEs) – Federal Farm Credit Bank (FFCB) bonds	$	1,400	$	1,424
MBS – Other U.S. obligations – Ginnie Mae	9		9
Total	$	1,409	$	1,433

The net unrealized gain/(loss) on trading securities was $1 and de minimis for the three months ended June 30, 2016 and 2015, respectively. The net unrealized gain/(loss) on trading securities was $2 and de minimis for the six

months ended June 30, 2016 and 2015, respectively. These amounts represent the changes in the fair value of the securities during the reported periods.

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Available-for-Sale Securities

6 Months Ended

Jun. 30, 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 June 30, 2016, and December 31, 2015, were as follows:

June 30, 2016
	Amortized Cost(1)		OTTI Recognized in AOCI			Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value
PLRMBS:
Prime	$	452	$	(1	)	$	18	$	—		$	469
Alt-A, option ARM	907		(45		)	58		(4		)	916
Alt-A, other	3,466		(123		)	138		(2		)	3,479
Total	$	4,825	$	(169	)	$	214	$	(6	)	$	4,864

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 June 30, 2016, the amortized cost of the Bank’s PLRMBS classified as AFS included credit-related OTTI of $1,012. 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 June 30, 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.

June 30, 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	$	1	$	—	$	23	$	1	$	24	$	1
Alt-A, option ARM	71		—		403		49		474		49
Alt-A, other	149		2		1,410		123		1,559		125
Total	$	221	$	2	$	1,836	$	173	$	2,057	$	175

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 June 30, 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 June 30, 2016, and December 31, 2015, are shown in the following table:

	June 30, 2016		December 31, 2015
Amortized cost of AFS PLRMBS:
Collateralized mortgage obligations:
Fixed rate	$	1,340	$	1,540
Adjustable rate	3,485		3,831
Total	$	4,825	$	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:

	June 30, 2016		December 31, 2015
Collateralized mortgage obligations:
Converts in 1 year or less	$	153	$	102
Converts after 1 year through 5 years	28		99
Total	$	181	$	201

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

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Held-to-Maturity Securities

6 Months Ended

Jun. 30, 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:

June 30, 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	$	254	$	—		$	254	$	—	$	(24	)	$	230
MBS:
Other U.S. obligations – Ginnie Mae	1,104		—			1,104		32		—			1,136
GSEs:
Freddie Mac	3,295		—			3,295		71		—			3,366
Fannie Mae	5,200		—			5,200		104		(5		)	5,299
Subtotal GSEs	8,495		—			8,495		175		(5		)	8,665
PLRMBS:
Prime	805		—			805		—		(29		)	776
Alt-A, other	527		(12		)	515		12		(14		)	513
Subtotal PLRMBS	1,332		(12		)	1,320		12		(43		)	1,289
Total MBS	10,931		(12		)	10,919		219		(48		)	11,090
Total	$	11,185	$	(12	)	$	11,173	$	219	$	(72	)	$	11,320

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 June 30, 2016, the amortized cost of the Bank’s MBS classified as HTM included premiums of $30, discounts of $35, 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 June 30, 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.

June 30, 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	$	—	$	—	$	224	$	24	$	224	$	24
MBS:
Other U.S. obligations – Ginnie Mae	63		—		—		—		63		—
GSEs:
Freddie Mac	3		—		3		—		6		—
Fannie Mae	489		3		107		2		596		5
Subtotal GSEs	492		3		110		2		602		5
PLRMBS:
Prime	127		2		649		27		776		29
Alt-A, other	5		—		508		26		513		26
Subtotal PLRMBS	132		2		1,157		53		1,289		55
Total MBS	687		5		1,267		55		1,954		60
Total	$	687	$	5	$	1,491	$	79	$	2,178	$	84

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 June 30, 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.

June 30, 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	$	42	$	42	$	40
Due after 10 years	212		212		190
Subtotal	254		254		230
MBS	10,931		10,919		11,090
Total	$	11,185	$	11,173	$	11,320

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 June 30, 2016, and December 31, 2015, are detailed in the following table:

	June 30, 2016		December 31, 2015
Amortized cost of HTM securities other than MBS:
Adjustable rate	$	254	$	275
Subtotal	254		275
Amortized cost of HTM MBS:
Passthrough securities:
Fixed rate	121		146
Adjustable rate	382		416
Collateralized mortgage obligations:
Fixed rate	6,365		7,224
Adjustable rate	4,063		2,755
Subtotal	10,931		10,541
Total	$	11,185	$	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:

	June 30, 2016		December 31, 2015
Passthrough securities:
Converts in 1 year or less	$	26	$	22
Converts after 1 year through 5 years	90		119
Total	$	116	$	141
Collateralized mortgage obligations:
Converts in 1 year or less	$	6	$	7
Converts after 1 year through 5 years	12		13
Total	$	18	$	20

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

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Other-Than-Temporary Impairment Analysis

6 Months Ended

Jun. 30, 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 2.0% to an increase of 10.0% over the 12-month period beginning April 1, 2016. For the vast majority of markets, the projected short-term housing price changes range from an increase of 2.0% to an increase of 6.0%. 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 June 30, 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 second quarter of 2016, and the related current credit enhancement for the Bank.

June 30, 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	12.1	17.3	30.9	—
Total Prime	12.1	17.3	30.9	—
Alt-A, option ARM
2007	6.5	40.9	37.8	9.7
Total Alt-A, option ARM	6.5	40.9	37.8	9.7
Alt-A, other
2007	11.1	27.4	38.4	0.8
2005	13.8	13.7	37.8	6.4
Total Alt-A, other	12.8	18.5	38.0	4.4
Total	11.7	22.7	38.0	5.4

(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 and six months ended June 30, 2016 and 2015.

	Three Months Ended June 30,						Six Months Ended June 30,
	2016			2015			2016			2015
Balance, beginning of the period	$	1,239		$	1,297		$	1,255		$	1,314
Additional charges on securities for which OTTI was previously recognized(1)	4			6			11			8
Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities(2)	(19		)	(19		)	(42		)	(38		)
Balance, end of the period	$	1,224		$	1,284		$	1,224		$	1,284

(1) For the three months ended June 30, 2016 and 2015, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to April 1, 2016 and 2015, respectively. For the six months ended June 30, 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 $22 for the three months ended June 30, 2016 and 2015, respectively. The total accretion or amortization associated with other-than-temporarily impaired PLRMBS (amount recognized in interest income) totaled $52 and $41 for the six months ended June 30, 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 and six months ended June 30, 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 and six months ended June 30, 2016.

	Three Months Ended June 30, 2015								Six Months Ended June 30, 2015
	Amortized Cost		OTTI Recognized in AOCI		Gross Unrecognized Holding Gains (Losses)		Estimated Fair Value		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 June 30, 2016, and December 31, 2015, by loan collateral type:

June 30, 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	$	546	$	452	$	469	$	—	$	—	$	—	$	—
Alt-A, option ARM	1,211		907		916		—		—		—		—
Alt-A, other	4,070		3,466		3,479		102		97		86		98
Total	$	5,827	$	4,825	$	4,864	$	102	$	97	$	86	$	98

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 June 30, 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 June 30, 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 June 30, 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 June 30, 2016, all of the gross unrealized losses on its agency MBS are temporary.

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Advances

6 Months Ended

Jun. 30, 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 0.36% to 8.57% at June 30, 2016, and 0.25% to 8.57% at December 31, 2015, as summarized below.

	June 30, 2016				December 31, 2015
Contractual Maturity	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding		Weighted Average Interest Rate
Within 1 year	$	34,995	0.63	%	$	24,807	0.59	%
After 1 year through 2 years	4,582		1.18		4,252		1.19
After 2 years through 3 years	10,167		1.07		6,208		1.19
After 3 years through 4 years	4,048		1.10		6,877		0.89
After 4 years through 5 years	3,412		1.19		2,022		1.11
After 5 years	4,551		1.44		6,675		1.11
Total par value	61,755		0.87	%	50,841		0.84	%
Valuation adjustments for hedging activities	107				40
Valuation adjustments under fair value option	101				38
Total	$	61,963			$	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 $3,537 at June 30, 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 $15,554 at June 30, 2016, and $15,425 at December 31, 2015.

The Bank’s advances at June 30, 2016, and December 31, 2015, included $125 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 June 30, 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
	June 30, 2016		December 31, 2015		June 30, 2016		December 31, 2015
Within 1 year	$	36,077	$	25,983	$	35,045	$	24,947
After 1 year through 2 years	10,613		6,124		4,532		4,152
After 2 years through 3 years	5,762		8,432		10,167		6,168
After 3 years through 4 years	3,498		3,173		4,048		6,877
After 4 years through 5 years	4,405		5,706		3,412		2,022
After 5 years	1,400		1,423		4,551		6,675
Total par value	$	61,755	$	50,841	$	61,755	$	50,841

Credit and Concentration Risk. The following tables present the concentration in advances to the top five borrowers and their affiliates at June 30, 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 and six months ended June 30, 2016 and 2015.

	June 30, 2016				Three Months Ended June 30, 2016				Six Months Ended June 30, 2016
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
JPMorgan Chase Bank, National Association(2)(3)	$	14,811	24	%	$	28	21	%	$	52	21	%
Bank of the West	7,467		12		12		9		24		9
First Republic Bank	5,900		9		18		13		34		13
Charles Schwab Bank	5,000		8		2		2		3		1
MUFG Union Bank, National Association	4,050		7		2		2		4		2
Subtotal	37,228		60		62		47		117		46
Others	24,527		40		70		53		137		54
Total par value	$	61,755	100	%	$	132	100	%	$	254	100	%

	June 30, 2015				Three Months Ended June 30, 2015				Six Months Ended June 30, 2015
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
JPMorgan Chase & Co.:
JPMorgan Bank & Trust Company, National Association(3)	$	13,000	26	%	$	16	16	%	$	27	14	%
JPMorgan Chase Bank, National Association(2)	817		2		1		1		3		1
Subtotal JPMorgan Chase & Co.	13,817		28		17		17		30		15
Bank of the West	6,602		13		6		6		12		6
First Republic Bank	4,725		9		20		20		40		20
Bank of America California, N.A.	4,000		8		3		3		5		3
Citigroup Inc
Citibank, N.A.(2)	3,000		6		1		1		2		1
Banamex USA	—		—		—		—		—		—
Subtotal Citigroup Inc	3,000		6		1		1		2		1
Subtotal	32,144		64		47		47		89		45
Others	17,917		36		53		53		107		55
Total par value	$	50,061	100	%	$	100	100	%	$	196	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.

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 June 30, 2016, and December 31, 2015, are detailed below:

	June 30, 2016		December 31, 2015
Par value of advances:
Fixed rate:
Due within 1 year	$	23,629	$	13,073
Due after 1 year	9,860		9,381
Total fixed rate	33,489		22,454
Adjustable rate:
Due within 1 year	11,367		11,734
Due after 1 year	16,899		16,653
Total adjustable rate	28,266		28,387
Total par value	$	61,755	$	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 June 30, 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, as follows:

	Three Months Ended						Six Months Ended
	June 30, 2016			June 30, 2015			June 30, 2016		June 30, 2015
Prepayment fees received	$	1		$	12		$	1	$	26
Fair value adjustments	(1		)	(4		)	1		(18		)
Net	$	—		$	8		$	2	$	8
Advance principal prepaid	$	1,089		$	638		$	1,859	$	1,245

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Mortgage Loans Held for Portfolio

6 Months Ended

Jun. 30, 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; of jumbo 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; and of government-insured or government-guaranteed mortgage loans that will be packaged into securities backed by the mortgage loans and guaranteed by Ginnie Mae under the MPF Government MBS product. When members sell mortgage loans under the MPF Xtra, MPF Direct, and MPF Government MBS products, the loans are sold to a third-party investor and are not recorded on the Bank’s Statements of Condition. As of June 30, 2016, the Bank had approved 14 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 June 30, 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.

	June 30, 2016			December 31, 2015
Fixed rate medium-term mortgage loans	$	75		$	100
Fixed rate long-term mortgage loans	552			553
Subtotal	627			653
Unamortized premiums	10			10
Unamortized discounts	(5		)	(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.

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Allowance for Credit Losses

6 Months Ended

Jun. 30, 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 June 30, 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 six months ended June 30, 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 June 30, 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 six months of 2016 or from July 1 to July 31, 2016.

Mortgage Loans Held for Portfolio. The following table presents information on delinquent mortgage loans as of June 30, 2016, and December 31, 2015.

	June 30, 2016			December 31, 2015
	Recorded Investment(1)			Recorded Investment(1)
30 – 59 days delinquent	$	9		$	10
60 – 89 days delinquent	3			5
90 days or more delinquent	16			18
Total past due	28			33
Total current loans	607			625
Total mortgage loans	$	635		$	658
In process of foreclosure, included above(2)	$	6		$	7
Nonaccrual loans	$	16		$	18
Loans past due 90 days or more and still accruing interest	$	—		$	—
Serious delinquencies as a percentage of total mortgage loans outstanding(3)	2.51		%	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				Six Months Ended
	June 30, 2016		June 30, 2015		June 30, 2016		June 30, 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:

	June 30, 2016		December 31, 2015
Allowance for credit losses, end of period:
Individually evaluated for impairment	$	—	$	—
Collectively 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:

	June 30, 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		—
Total	$	12	$	12	$	—	$	14	$	14	$	—

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

	Three Months Ended				Six Months Ended
	June 30, 2016		June 30, 2015		June 30, 2016		June 30, 2015
With no related allowance	$	12	$	15	$	12	$	14
With an allowance	—		—		1		2
Total	$	12	$	15	$	13	$	16

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 June 30, 2016, and December 31, 2015. For MPF Plus loans, the Bank established an allowance for credit losses totaling de minimis amounts as of June 30, 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 June 30, 2016, and December 31, 2015, and for MPF Plus loans totaling de minimis amounts as of June 30, 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 $4 as of June 30, 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 June 30, 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. The Bank did not have any term Federal funds sold as of June 30, 2016. All investments in Federal funds sold as of December 31, 2015, were repaid or are expected to be repaid according to the contractual terms.

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Deposits

6 Months Ended

Jun. 30, 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 June 30, 2016, and December 31, 2015, were as follows:

	June 30, 2016		December 31, 2015
Interest-bearing deposits:
Demand and overnight	$	218	$	124
Total interest-bearing deposits	218		124
Non-interest-bearing deposits	1		3
Total	$	219	$	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 June 30, 2016, and December 31, 2015, are detailed in the following table:

	June 30, 2016				December 31, 2015
	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding		Weighted Average Interest Rate
Interest-bearing deposits – Adjustable rate	$	218	0.01	%	$	124	0.01	%
Non-interest-bearing deposits	1				3
Total	$	219			$	127

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Consolidated Obligations

6 Months Ended

Jun. 30, 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 June 30, 2016, and December 31, 2015.

	June 30, 2016					December 31, 2015
Contractual Maturity	Amount Outstanding			Weighted Average Interest Rate		Amount Outstanding			Weighted Average Interest Rate
Within 1 year	$	35,797		1.04	%	$	29,114		1.03	%
After 1 year through 2 years	8,135			1.13		11,264			0.91
After 2 years through 3 years	2,204			1.34		5,162			1.28
After 3 years through 4 years	1,120			1.64		1,430			1.44
After 4 years through 5 years	1,545			1.66		1,740			1.67
After 5 years	1,986			2.39		2,982			2.43
Total par value	50,787			1.15	%	51,692			1.14	%
Unamortized premiums	18					27
Unamortized discounts	(12		)			(17		)
Valuation adjustments for hedging activities	126					142
Fair value option valuation adjustments	5					(17		)
Total	$	50,924				$	51,827

The Bank’s participation in consolidated obligation bonds outstanding includes callable bonds of $5,965 at June 30, 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 $2,875 at June 30, 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 June 30, 2016, and December 31, 2015, was as follows:  

	June 30, 2016		December 31, 2015
Par value of consolidated obligation bonds:
Non-callable	$	44,822	$	43,687
Callable	5,965		8,005
Total par value	$	50,787	$	51,692

The following is a summary of the Bank’s participation in consolidated obligation bonds outstanding at June 30, 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	June 30, 2016		December 31, 2015
Within 1 year	$	40,752	$	36,469
After 1 year through 2 years	8,075		10,914
After 2 years through 3 years	1,314		3,282
After 3 years through 4 years	420		455
After 4 years through 5 years	135		395
After 5 years	91		177
Total par value	$	50,787	$	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:

	June 30, 2016					December 31, 2015
	Amount Outstanding			Weighted Average Interest Rate (1)		Amount Outstanding			Weighted Average Interest Rate (1)
Par value	$	41,970		0.41	%	$	27,663		0.25	%
Unamortized discounts	(40		)			(16		)
Total	$	41,930				$	27,647

(1) Represents yield to maturity excluding concession fees.

Interest Rate Payment Terms. Interest rate payment terms for consolidated obligations at June 30, 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.

	June 30, 2016		December 31, 2015
Par value of consolidated obligations:
Bonds:
Fixed rate	$	22,818	$	28,942
Adjustable rate	26,764		20,815
Step-up	485		1,110
Step-down	550		550
Fixed rate that converts to adjustable rate	70		175
Range bonds	100		100
Total bonds, par value	50,787		51,692
Discount notes, par value	41,970		27,663
Total consolidated obligations, par value	$	92,757	$	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 June 30, 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.

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Accumulated Other Comprehensive Income (Loss)

6 Months Ended

Jun. 30, 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 June 30, 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, March 31, 2015	$	106		$	(18	)	$	(12	)	$	76
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	(2		)							(2		)
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)	(11		)	2			1			(8		)
Balance, June 30, 2015	$	95		$	(16	)	$	(11	)	$	68
Balance, March 31, 2016	$	(12	)	$	(13	)	$	(13	)	$	(38	)
Other comprehensive income/(loss) before reclassifications:
Non-credit-related OTTI loss	(2		)	—						(2		)
Net change in fair value	50									50
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	3			—						3
Net current period other comprehensive income/(loss)	51			1			—			52
Balance, June 30, 2016	$	39		$	(12	)	$	(13	)	$	14

The following table summarizes the changes in AOCI for the six months ended June 30, 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:
Net change in pension and postretirement benefits							1			1
Non-credit-related OTTI loss	(13		)	—						(13		)
Net change in fair value	18									18
Accretion of non-credit-related OTTI loss				4						4
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)	7			4			1			12
Balance, June 30, 2015	$	95		$	(16	)	$	(11	)	$	68
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	(12		)	—						(12		)
Net change in fair value	3									3
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	5			—						5
Net current period other comprehensive income/(loss)	(4		)	2			1			(1		)
Balance, June 30, 2016	$	39		$	(12	)	$	(13	)	$	14

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Capital

6 Months Ended

Jun. 30, 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 June 30, 2016, and December 31, 2015, the Bank was in compliance with these capital rules and requirements as shown in the following table.

	June 30, 2016						December 31, 2015
	Required			Actual			Required			Actual
Risk-based capital	$	2,468		$	5,834		$	2,684		$	5,369
Total regulatory capital	$	3,977		$	5,834		$	3,428		$	5,369
Total regulatory capital ratio	4.00		%	5.87		%	4.00		%	6.26		%
Leverage capital	$	4,972		$	8,751		$	4,285		$	8,054
Leverage ratio	5.00		%	8.80		%	5.00		%	9.40		%

Mandatorily Redeemable Capital Stock. The Bank had mandatorily redeemable capital stock totaling $486 outstanding to eight institutions at June 30, 2016, and $488 outstanding to nine institutions at December 31, 2015. The change in mandatorily redeemable capital stock for the three and six months ended June 30, 2016 and 2015, was as follows:

	Three Months Ended					Six Months Ended
	June 30, 2016		June 30, 2015			June 30, 2016			June 30, 2015
Balance at the beginning of the period	$	486	$	383		$	488		$	719
Reclassified from/(to) capital during the period	—		4			52			12
Redemption of mandatorily redeemable capital stock	—		(28		)	—			(34		)
Repurchase of excess mandatorily redeemable capital stock	—		(217		)	(54		)	(555		)
Balance at the end of the period	$	486	$	142		$	486		$	142

Cash dividends on mandatorily redeemable capital stock were recorded as interest expense in the amount of $12 and $22 for the three and six months ended June 30, 2016, respectively, and in the amount of $38 and $53 for the three and six months ended June 30, 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 June 30, 2016, and December 31, 2015.

Contractual Redemption Period	June 30, 2016		December 31, 2015
Within 1 year	$	—	$	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)	105		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 198% as of June 30, 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 and six months ended June 30, 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, March 31, 2015	$	624		$	25	$	1,800	$	325	$	2,150	$	2,774
Net income	41			8		—		12		20		61
Cash dividends on capital stock	(182		)									(182		)
Balance, June 30, 2015	$	483		$	33	$	1,800	$	337	$	2,170	$	2,653
Balance, March 31, 2016	$	760		$	—	$	1,650	$	404	$	2,054	$	2,814
Net income	50			—		—		13		13		$	63
Cash dividends on capital stock	(49		)									(49		)
Balance, June 30, 2016	$	761		$	—	$	1,650	$	417	$	2,067	$	2,828

				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	430			(2		)	—		107		105		535
Cash dividends on capital stock	(241		)										(241		)
Balance, June 30, 2015	$	483		$	33		$	1,800	$	337	$	2,170	$	2,653
Balance, December 31, 2015	$	610		$	10		$	1,650	$	358	$	2,018	$	2,628
Net income	245			(10		)	—		59		49		294
Cash dividends on capital stock	(94		)										(94		)
Balance, June 30, 2016	$	761		$	—		$	1,650	$	417	$	2,067	$	2,828

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 June 30, 2016, the Bank’s excess capital stock totaled $366, or 0.37% of total assets.

In the second quarter of 2016, the Bank paid dividends 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. In the second quarter of 2015, the Bank paid dividends at an annualized rate of 22.65%, totaling $220, including $182 in dividends on capital stock and $38 in dividends on mandatorily redeemable capital stock. The dividends included a special dividend in the amount of $145, including $120 in dividends on capital stock and $25 in dividends on mandatorily redeemable capital stock.

In the first six months of 2016, the Bank paid dividends at an annualized rate of 8.46%, totaling $116, including $94 in dividends on capital stock and $22 in dividends on mandatorily redeemable capital stock. In the first six months of 2015, the Bank paid dividends at an annualized rate of 14.58%, totaling $294, of which $145 was related to the special dividend. The total dividends paid included $241 in dividends on capital stock and $53 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 July 28, 2016, the Bank’s Board of Directors declared a cash dividend on the capital stock outstanding during the second quarter of 2016 at an annualized rate of 9.17%, totaling $63, including $52 in dividends on capital stock and $11 in dividends on mandatorily redeemable capital stock. The Bank recorded the dividend on July 28, 2016. The Bank expects to pay the dividend on or about August 15, 2016. Dividends on mandatorily redeemable capital stock will be recognized as interest expense in the third 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 $136 in excess capital stock in the first and second quarters of 2016, respectively, and $750 and $847 in excess capital stock in the first and second quarters of 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 second quarter of 2016 and 2015, the Bank redeemed a de minimis amount and $28, 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 July 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 August 16, 2016.

Excess capital stock totaled $366 as of June 30, 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 13%, of the Bank’s outstanding capital stock, including mandatorily redeemable capital stock, as of June 30, 2016, and $400, or 15% as of December 31, 2015. No other institution held more than 10% of the Bank’s outstanding capital stock as of June 30, 2016, or December 31, 2015.

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Segment Information

6 Months Ended

Jun. 30, 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 and six months ended June 30, 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:
June 30, 2016	$	37	$	84	$	121	$	(2	)	$	(6	)	$	12	$	117	$	(9	)	$	37	$	71
June 30, 2015	47		90		137		(5		)	(4		)	38		108		(2		)	34		72
Six months ended:
June 30, 2016	73		170		243		(4		)	(15		)	22		240		162			73		329
June 30, 2015	82		183		265		(13		)	(13		)	53		238		430			68		600

(1) The mortgage-related business includes total accretion or amortization associated with other-than-temporarily impaired PLRMBS, which are recognized in interest income, totaled $26 and $22 for the three months ended June 30, 2016 and 2015; and totaled $52 and $41 for the six months ended June 30, 2016 and 2015, respectively. The mortgage-related business does not include credit-related OTTI losses of $4 and $6 for the three months ended June 30, 2016 and 2015; $11 and $8 for the six months ended June 30, 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 June 30, 2016, and December 31, 2015.

	Advances- Related Business		Mortgage- Related Business		Total Assets
June 30, 2016	$	82,958	$	16,472	$	99,430
December 31, 2015	69,047		16,651		85,698

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Derivatives and Hedging Activities

6 Months Ended

Jun. 30, 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 notional principal of the interest rate exchange agreements associated with derivatives with members or offsetting derivatives with other counterparties was $120 and $132, at June 30, 2016 and December 31, 2015, respectively.

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 six months ended June 30, 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 June 30, 2016, was $54, for which the Bank had posted collateral with a fair value of $49 in the ordinary course of business. If the Bank’s credit rating at June 30, 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 a de minimis amount of additional collateral (at fair value) to its derivative counterparties at June 30, 2016.

The following table summarizes the fair value of derivative instruments including the effect of netting adjustments and cash collateral as of June 30, 2016, and December 31, 2015. For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest.

	June 30, 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	$	24,453	$	151		$	116		$	27,110	$	192		$	71
Total	24,453		151			116			27,110		192			71
Derivatives not designated as hedging instruments:
Interest rate swaps	49,389		52			136			50,444		58			71
Interest rate caps and floors	2,230		1			2			2,230		6			1
Mortgage delivery commitments	14		—			—			5		—			—
Total	51,633		53			138			52,679		64			72
Total derivatives before netting and collateral adjustments	$	76,086	204			254			$	79,789	256			143
Netting adjustments and cash collateral(1)			(140		)	(247		)			(212		)	(137		)
Total derivative assets and total derivative liabilities			$	64		$	7				$	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 $123 and $57 at June 30, 2016, and December 31, 2015, respectively. Cash collateral received and related accrued interest was $16 and $132 at June 30, 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 and six months ended June 30, 2016 and 2015.

	Three Months Ended						Six Months Ended
	June 30, 2016			June 30, 2015			June 30, 2016			June 30, 2015
	Gain/(Loss)			Gain/(Loss)			Gain/(Loss)			Gain/(Loss)
Derivatives designated as hedging instruments:
Interest rate swaps	$	—		$	(3	)	$	(4	)	$	(10	)
Total net gain/(loss) related to fair value hedge ineffectiveness	—			(3		)	(4		)	(10		)
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	(15		)	33			(64		)	30
Interest rate caps and floors	(3		)	—			(6		)	(2		)
Net settlements	(6		)	(4		)	(15		)	(13		)
Mortgage delivery commitments	1			1			1			1
Total net gain/(loss) related to derivatives not designated as hedging instruments	(23		)	30			(84		)	16
Net gain/(loss) on derivatives and hedging activities	$	(23	)	$	27		$	(88	)	$	6

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 and six months ended June 30, 2016 and 2015.

	Three Months Ended
	June 30, 2016											June 30, 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	$	(18	)	$	17	$	(1	)	$	(15	)	$	32		$	(32	)	$	—		$	(27	)
Consolidated obligation bonds	(28		)	29		1			50			(49		)	46			(3		)	67
Total	$	(46	)	$	46	$	—		$	35		$	(17	)	$	14		$	(3	)	$	40

	Six Months Ended
	June 30, 2016											June 30, 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	$	(67	)	$	66	$	(1	)	$	(33	)	$	(6	)	$	6	$	—		$	(55	)
Consolidated obligation bonds	(17		)	14		(3		)	103			(64		)	54		(10		)	129
Total	$	(84	)	$	80	$	(4	)	$	70		$	(70	)	$	60	$	(10	)	$	74

(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 June 30, 2016, and December 31, 2015.

	June 30, 2016						December 31, 2015
	Derivative Assets			Derivative Liabilities			Derivative Assets			Derivative Liabilities
Derivative instruments meeting netting requirements
Gross recognized amount
Uncleared derivatives	$	79		$	111		$	166		$	93
Cleared derivatives	125			143			90			50
Total gross recognized amount	204			254			256			143
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives	(71		)	(104		)	(149		)	(87		)
Cleared derivatives	(69		)	(143		)	(63		)	(50		)
Total gross amount of netting adjustments and cash collateral	(140		)	(247		)	(212		)	(137		)
Total derivative assets and total derivative liabilities
Uncleared derivatives	8			7			17			6
Cleared derivatives	56			—			27			—
Total derivative assets and derivative liabilities presented in the Statements of Condition	64			7			44			6
Non-cash collateral received or pledged not offset
Can be sold or repledged - Uncleared derivatives	3			—			11			—
Net unsecured amount
Uncleared derivatives	5			7			6			6
Cleared derivatives	56			—			27			—
Total net unsecured amount	$	61		$	7		$	33		$	6

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Fair Value

6 Months Ended

Jun. 30, 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 June 30, 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 June 30, 2016, and December 31, 2015.

	June 30, 2016
	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments(1)
Assets
Cash and due from banks	$	15	$	15	$	15	$	—	$	—	$	—
Interest-bearing deposits	575		575		575		—		—		—
Securities purchased under agreements to resell	13,000		13,000		—		13,000		—		—
Federal funds sold	5,557		5,557		—		5,557		—		—
Trading securities	1,409		1,409		—		1,409		—		—
AFS securities	4,864		4,864		—		—		4,864		—
HTM securities	11,173		11,320		—		9,801		1,519		—
Advances	61,963		61,956		—		61,956		—		—
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	632		671		—		671		—		—
Accrued interest receivable	55		55		—		55		—		—
Derivative assets, net(1)	64		64		—		204		—		(140		)
Other assets(2)	11		11		11		—		—		—
Liabilities
Deposits	219		219		—		219		—		—
Consolidated obligations:
Bonds	50,924		51,014		—		51,014		—		—
Discount notes	41,930		41,938		—		41,938		—		—
Total consolidated obligations	92,854		92,952		—		92,952		—		—
Mandatorily redeemable capital stock	486		486		486		—		—		—
Accrued interest payable	78		78		—		78		—		—
Derivative liabilities, net(1)	7		7		—		254		—		(247		)
Other
Standby letters of credit	27		27		—		27		—		—
Commitments to fund advances(3)	—		1		—		1		—		—
Commitments to issue consolidated obligation bonds(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 June 30, 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 June 30, 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 June 30, 2016, and December 31, 2015, by level within the fair value hierarchy.

June 30, 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	$	—	$	1,400	$	—	$	—		$	1,400
MBS:
Other U.S. obligations – Ginnie Mae	—		9		—		—			9
Total trading securities	—		1,409		—		—			1,409
AFS securities:
PLRMBS	—		—		4,864		—			4,864
Total AFS securities	—		—		4,864		—			4,864
Advances(2)	—		3,752		—		—			3,752
Derivative assets, net: interest rate-related	—		204		—		(140		)	64
Other assets	11		—		—		—			11
Total recurring fair value measurements – Assets	$	11	$	5,365	$	4,864	$	(140	)	$	10,100
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	2,925	$	—	$	—		$	2,925
Derivative liabilities, net: interest rate-related	—		254		—		(247		)	7
Total recurring fair value measurements – Liabilities	$	—	$	3,179	$	—	$	(247	)	$	2,932
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 June 30, 2016, and December 31, 2015.

(3) Represents consolidated obligation bonds recorded under the fair value option at June 30, 2016, and December 31, 2015.

(4) The fair value information presented is as of the date the fair value adjustment was recorded during the six months ended June 30, 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 and six months ended June 30, 2016, and 2015.

	Three Months Ended
	June 30, 2016			June 30, 2015
Balance, beginning of the period	$	5,145		$	6,188
Total gain/(loss) realized and unrealized included in:
Interest income	26			22
Net OTTI loss, credit-related	(4		)	(6		)
Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI	50			(2		)
Net amount of OTTI loss reclassified to/(from) other income/(loss)	1			(9		)
Settlements	(354		)	(243		)
Balance, end of the period	$	4,864		$	5,950
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	$	22		$	16

	Six Months Ended
	June 30, 2016			June 30, 2015
Balance, beginning of the period	$	5,414		$	6,371
Total gain/(loss) realized and unrealized included in:
Interest income	52			41
Net OTTI loss, credit-related	(11		)	(8		)
Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI	3			18
Net amount of OTTI loss reclassified to/(from) other income/(loss)	(7		)	(11		)
Settlements	(587		)	(465		)
Transfers of HTM securities to AFS securities	—			4
Balance, end of the period	$	4,864		$	5,950
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	$	41		$	33

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 and six months ended June 30, 2016 and 2015:

	Three Months Ended
	June 30, 2016						June 30, 2015
	Advances			Consolidated Obligation Bonds			Advances			Consolidated Obligation Bonds
Balance, beginning of the period	$	3,722		$	3,613		$	4,978		$	6,375
New transactions elected for fair value option	262			205			200			1,150
Maturities and terminations	(248		)	(895		)	(164		)	(1,308		)
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option	16			3			(36		)	(10		)
Change in accrued interest	—			(1		)	—			(4		)
Balance, end of the period	$	3,752		$	2,925		$	4,978		$	6,203

	Six Months Ended
	June 30, 2016						June 30, 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	431			450			446			1,805
Maturities and terminations	(419		)	(1,780		)	(588		)	(2,333		)
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option	63			23			(16		)	17
Change in accrued interest	—			(1		)	(1		)	(3		)
Balance, end of the period	$	3,752		$	2,925		$	4,978		$	6,203

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 three and six months ended June 30, 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 June 30, 2016, and December 31, 2015:

	At June 30, 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)	$	3,651	$	3,752	$	101	$	3,639	$	3,677	$	38
Consolidated obligation bonds	2,920		2,925		5		4,250		4,233		(17		)

(1) At June 30, 2016, and December 31, 2015, none of these advances were 90 days or more past due or had been placed on nonaccrual status.

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Commitments and Contingencies

6 Months Ended

Jun. 30, 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 June 30, 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 $963,810 at June 30, 2016, and $905,202 at December 31, 2015. The par value of the Bank’s participation in consolidated obligations was $92,757 at June 30, 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 June 30, 2016, and December 31, 2015, were as follows:

	June 30, 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	$	11,575	$	4,367	$	15,942	$	9,072	$	3,237	$	12,309
Commitments to fund additional advances(1)	27		1		28		5		5		10
Commitments to issue consolidated obligation discount notes, par(2)	748		—		748		300		—		300
Commitments to issue consolidated obligation bonds, par(3)	120		—		120		110		—		110
Commitments to purchase mortgage loans	14		—		14		5		—		5

(1) AtJune 30, 2016, $20 of the commitments to fund additional advances were hedged with associated interest rate swaps. At December 31, 2015, none of the commitments to fund additional advances were hedged with associated interest rate swaps.

(2) AtJune 30, 2016, and at December 31, 2015, none of the commitments to issue consolidated obligation discount notes were hedged with associated interest rate swaps.

(3) AtJune 30, 2016, none of the commitments to issue consolidated obligation bonds were hedged with associated interest rate swaps. 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 14 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 $27 at June 30, 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 June 30, 2016, and December 31, 2015.

Commitments to fund advances totaled $28 at June 30, 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 June 30, 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.

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Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks

6 Months Ended

Jun. 30, 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.

	June 30, 2016		December 31, 2015
Assets:
Advances	$	3,333	$	3,297
Mortgage loans held for portfolio	20		24
Accrued interest receivable	4		5
Liabilities:
Deposits	$	3	$	4
Capital:
Capital Stock	$	132	$	119

	Three Months Ended				Six Months Ended
	June 30, 2016		June 30, 2015		June 30, 2016	June 30, 2015
Interest Income:
Advances	$	8	$	9	17	$	18
Mortgage loans held for portfolio	1		1		1	1

All transactions with members, nonmembers, and their affiliates are entered into in the ordinary course of business. As of June 30, 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. Balances outstanding at period end with other FHLBanks, if any, are identified in the Bank’s financial statements. During the six months ended June 30, 2016 and 2015, the Bank extended overnight loans to other FHLBanks for $205 and $435, respectively. During the six months ended June 30, 2016 and 2015, the Bank borrowed $1,025 and $4,487, respectively, from other FHLBanks. The impact to net interest income related to these transactions was de minimis in any period in this report.

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 and six months ended June 30, 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. In addition, the Bank receives a counterparty fee from the FHLBank of Chicago for facilitating the sale of loans under the MPF program. For the three and six months ended June 30, 2016, the Bank recorded a de minimis amount in MPF counterparty fee income from the FHLBank of Chicago, which was recorded in the Statements of Income as other income. For the three and six months ended June 30, 2015, the Bank had no MPF counterparty fee income from the FHLBank of Chicago.

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 six months ended June 30, 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.

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Subsequent Events

6 Months Ended

Jun. 30, 2016

Subsequent Events [Abstract]

Subsequent Events

Subsequent Events

In July 2016, the Bank recognized $240 in gains on litigation settlements, net, in connection with the Bank’s private-label mortgage-backed securities litigation and settlement agreements with certain defendants.

There were no other material subsequent events identified, subsequent to June 30, 2016, until the time of the Form 10-Q filing with the Securities and Exchange Commission.

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Basis of Presentation / Summary of Significant Accounting Policies (Policies)

6 Months Ended

Jun. 30, 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 June 30, 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 June 30, 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 2.0% to an increase of 10.0% over the 12-month period beginning April 1, 2016. For the vast majority of markets, the projected short-term housing price changes range from an increase of 2.0% to an increase of 6.0%. 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 June 30, 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 June 30, 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 six months ended June 30, 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 June 30, 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]

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.

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.

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 June 30, 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.

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.

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.

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]

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 198% as of June 30, 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.

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.

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]

In July 2016, the Bank recognized $240 in gains on litigation settlements, net, in connection with the Bank’s private-label mortgage-backed securities litigation and settlement agreements with certain defendants.

There were no other material subsequent events identified, subsequent to June 30, 2016, until the time of the Form 10-Q filing with the Securities and Exchange Commission.

New Accounting Pronouncements, Policy [Policy Text Block]

Measurement of Credit Losses on Financial Instruments

On June 16, 2016, the FASB issued amended guidance for the accounting for credit losses on financial instruments. The amendments require entities to measure expected credit losses based on relevant information about past events, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectability of the reported amount. An entity must use judgment in determining the relevant information and estimation methods that are appropriate under the circumstances. In addition, under the new guidance, a financial asset, or a group of financial assets, is required to be measured at its amortized cost to be presented at the net amount expected to be collected. Among other things, the guidance also requires:

• The statement of income to reflect the measurement of credit losses for newly recognized financial assets, as well as the expected increases or decreases of expected credit losses that have taken place during the period.

• The entities to determine the allowance for credit losses for purchased financial assets with a more-than-insignificant amount of credit deterioration since origination that are measured at amortized cost basis in a similar manner to other financial assets measured at amortized cost basis. The initial allowance for credit losses is required to be added to the purchase price.

• Credit losses relating to available-for-sale debt securities to be recorded through an allowance for credit losses. The amendments limit the allowance for credit losses to the amount by which fair value is below amortized cost.

• Public entities to further disaggregate the current disclosure of credit quality indicators in relation to the amortized cost of financing receivables by the year of origination (i.e., vintage).

The guidance is effective for the Bank for interim and annual periods beginning on January 1, 2020. Early application is permitted as of the interim and annual reporting periods beginning after December 15, 2018. The guidance should be applied using a modified-retrospective approach, through a cumulative-effect adjustment to retained earnings as of the beginning of the first reporting period in which the guidance is effective. In addition, the entities are required to use a prospective transition approach for debt securities for which an other-than-temporary impairment had been recognized before the effective date. 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.

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 U.S. 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 U.S. 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 U.S. 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 resulted 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 June 30, 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 June 30, 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.

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Trading Securities (Tables)

6 Months Ended

Jun. 30, 2016

Trading Securities [Abstract]

Trading Securities (and Certain Trading Assets) [Table Text Block]

The estimated fair value of trading securities as of June 30, 2016, and December 31, 2015, was as follows:

	June 30, 2016		December 31, 2015
Government-Sponsored Enterprises (GSEs) – Federal Farm Credit Bank (FFCB) bonds	$	1,400	$	1,424
MBS – Other U.S. obligations – Ginnie Mae	9		9
Total	$	1,409	$	1,433

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Available-for-Sale Securities (Tables)

6 Months Ended

Jun. 30, 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 June 30, 2016, and December 31, 2015, were as follows:

June 30, 2016
	Amortized Cost(1)		OTTI Recognized in AOCI			Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value
PLRMBS:
Prime	$	452	$	(1	)	$	18	$	—		$	469
Alt-A, option ARM	907		(45		)	58		(4		)	916
Alt-A, other	3,466		(123		)	138		(2		)	3,479
Total	$	4,825	$	(169	)	$	214	$	(6	)	$	4,864

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 June 30, 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.

June 30, 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	$	1	$	—	$	23	$	1	$	24	$	1
Alt-A, option ARM	71		—		403		49		474		49
Alt-A, other	149		2		1,410		123		1,559		125
Total	$	221	$	2	$	1,836	$	173	$	2,057	$	175

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 June 30, 2016, and December 31, 2015, are shown in the following table:

	June 30, 2016		December 31, 2015
Amortized cost of AFS PLRMBS:
Collateralized mortgage obligations:
Fixed rate	$	1,340	$	1,540
Adjustable rate	3,485		3,831
Total	$	4,825	$	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:

	June 30, 2016		December 31, 2015
Collateralized mortgage obligations:
Converts in 1 year or less	$	153	$	102
Converts after 1 year through 5 years	28		99
Total	$	181	$	201

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Held-to-Maturity Securities (Tables)

6 Months Ended

Jun. 30, 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:

June 30, 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	$	254	$	—		$	254	$	—	$	(24	)	$	230
MBS:
Other U.S. obligations – Ginnie Mae	1,104		—			1,104		32		—			1,136
GSEs:
Freddie Mac	3,295		—			3,295		71		—			3,366
Fannie Mae	5,200		—			5,200		104		(5		)	5,299
Subtotal GSEs	8,495		—			8,495		175		(5		)	8,665
PLRMBS:
Prime	805		—			805		—		(29		)	776
Alt-A, other	527		(12		)	515		12		(14		)	513
Subtotal PLRMBS	1,332		(12		)	1,320		12		(43		)	1,289
Total MBS	10,931		(12		)	10,919		219		(48		)	11,090
Total	$	11,185	$	(12	)	$	11,173	$	219	$	(72	)	$	11,320

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 June 30, 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.

June 30, 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	$	—	$	—	$	224	$	24	$	224	$	24
MBS:
Other U.S. obligations – Ginnie Mae	63		—		—		—		63		—
GSEs:
Freddie Mac	3		—		3		—		6		—
Fannie Mae	489		3		107		2		596		5
Subtotal GSEs	492		3		110		2		602		5
PLRMBS:
Prime	127		2		649		27		776		29
Alt-A, other	5		—		508		26		513		26
Subtotal PLRMBS	132		2		1,157		53		1,289		55
Total MBS	687		5		1,267		55		1,954		60
Total	$	687	$	5	$	1,491	$	79	$	2,178	$	84

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 June 30, 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.

June 30, 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	$	42	$	42	$	40
Due after 10 years	212		212		190
Subtotal	254		254		230
MBS	10,931		10,919		11,090
Total	$	11,185	$	11,173	$	11,320

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 June 30, 2016, and December 31, 2015, are detailed in the following table:

	June 30, 2016		December 31, 2015
Amortized cost of HTM securities other than MBS:
Adjustable rate	$	254	$	275
Subtotal	254		275
Amortized cost of HTM MBS:
Passthrough securities:
Fixed rate	121		146
Adjustable rate	382		416
Collateralized mortgage obligations:
Fixed rate	6,365		7,224
Adjustable rate	4,063		2,755
Subtotal	10,931		10,541
Total	$	11,185	$	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:

	June 30, 2016		December 31, 2015
Passthrough securities:
Converts in 1 year or less	$	26	$	22
Converts after 1 year through 5 years	90		119
Total	$	116	$	141
Collateralized mortgage obligations:
Converts in 1 year or less	$	6	$	7
Converts after 1 year through 5 years	12		13
Total	$	18	$	20

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Other-Than-Temporary Impairment Analysis (Tables)

6 Months Ended

Jun. 30, 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 June 30, 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 second quarter of 2016, and the related current credit enhancement for the Bank.

June 30, 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	12.1	17.3	30.9	—
Total Prime	12.1	17.3	30.9	—
Alt-A, option ARM
2007	6.5	40.9	37.8	9.7
Total Alt-A, option ARM	6.5	40.9	37.8	9.7
Alt-A, other
2007	11.1	27.4	38.4	0.8
2005	13.8	13.7	37.8	6.4
Total Alt-A, other	12.8	18.5	38.0	4.4
Total	11.7	22.7	38.0	5.4

(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 and six months ended June 30, 2016 and 2015.

	Three Months Ended June 30,						Six Months Ended June 30,
	2016			2015			2016			2015
Balance, beginning of the period	$	1,239		$	1,297		$	1,255		$	1,314
Additional charges on securities for which OTTI was previously recognized(1)	4			6			11			8
Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities(2)	(19		)	(19		)	(42		)	(38		)
Balance, end of the period	$	1,224		$	1,284		$	1,224		$	1,284

(1) For the three months ended June 30, 2016 and 2015, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to April 1, 2016 and 2015, respectively. For the six months ended June 30, 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 $22 for the three months ended June 30, 2016 and 2015, respectively. The total accretion or amortization associated with other-than-temporarily impaired PLRMBS (amount recognized in interest income) totaled $52 and $41 for the six months ended June 30, 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 and six months ended June 30, 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 and six months ended June 30, 2016.

	Three Months Ended June 30, 2015								Six Months Ended June 30, 2015
	Amortized Cost		OTTI Recognized in AOCI		Gross Unrecognized Holding Gains (Losses)		Estimated Fair Value		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 June 30, 2016, and December 31, 2015, by loan collateral type:

June 30, 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	$	546	$	452	$	469	$	—	$	—	$	—	$	—
Alt-A, option ARM	1,211		907		916		—		—		—		—
Alt-A, other	4,070		3,466		3,479		102		97		86		98
Total	$	5,827	$	4,825	$	4,864	$	102	$	97	$	86	$	98

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

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Advances (Tables)

6 Months Ended

Jun. 30, 2016

Federal Home Loan Banks [Abstract]

Federal Home Loan Bank, Advances [Table Text Block]

The following table summarizes advances at June 30, 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
	June 30, 2016		December 31, 2015		June 30, 2016		December 31, 2015
Within 1 year	$	36,077	$	25,983	$	35,045	$	24,947
After 1 year through 2 years	10,613		6,124		4,532		4,152
After 2 years through 3 years	5,762		8,432		10,167		6,168
After 3 years through 4 years	3,498		3,173		4,048		6,877
After 4 years through 5 years	4,405		5,706		3,412		2,022
After 5 years	1,400		1,423		4,551		6,675
Total par value	$	61,755	$	50,841	$	61,755	$	50,841

Interest rate payment terms for advances at June 30, 2016, and December 31, 2015, are detailed below:

	June 30, 2016		December 31, 2015
Par value of advances:
Fixed rate:
Due within 1 year	$	23,629	$	13,073
Due after 1 year	9,860		9,381
Total fixed rate	33,489		22,454
Adjustable rate:
Due within 1 year	11,367		11,734
Due after 1 year	16,899		16,653
Total adjustable rate	28,266		28,387
Total par value	$	61,755	$	50,841

The net amount of prepayment fees is reflected as interest income in the Statements of Income, as follows:

	Three Months Ended						Six Months Ended
	June 30, 2016			June 30, 2015			June 30, 2016		June 30, 2015
Prepayment fees received	$	1		$	12		$	1	$	26
Fair value adjustments	(1		)	(4		)	1		(18		)
Net	$	—		$	8		$	2	$	8
Advance principal prepaid	$	1,089		$	638		$	1,859	$	1,245

The Bank had advances outstanding, excluding overdrawn demand deposit accounts, at interest rates ranging from 0.36% to 8.57% at June 30, 2016, and 0.25% to 8.57% at December 31, 2015, as summarized below.

	June 30, 2016				December 31, 2015
Contractual Maturity	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding		Weighted Average Interest Rate
Within 1 year	$	34,995	0.63	%	$	24,807	0.59	%
After 1 year through 2 years	4,582		1.18		4,252		1.19
After 2 years through 3 years	10,167		1.07		6,208		1.19
After 3 years through 4 years	4,048		1.10		6,877		0.89
After 4 years through 5 years	3,412		1.19		2,022		1.11
After 5 years	4,551		1.44		6,675		1.11
Total par value	61,755		0.87	%	50,841		0.84	%
Valuation adjustments for hedging activities	107				40
Valuation adjustments under fair value option	101				38
Total	$	61,963			$	50,919

The following tables present the concentration in advances to the top five borrowers and their affiliates at June 30, 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 and six months ended June 30, 2016 and 2015.

	June 30, 2016				Three Months Ended June 30, 2016				Six Months Ended June 30, 2016
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
JPMorgan Chase Bank, National Association(2)(3)	$	14,811	24	%	$	28	21	%	$	52	21	%
Bank of the West	7,467		12		12		9		24		9
First Republic Bank	5,900		9		18		13		34		13
Charles Schwab Bank	5,000		8		2		2		3		1
MUFG Union Bank, National Association	4,050		7		2		2		4		2
Subtotal	37,228		60		62		47		117		46
Others	24,527		40		70		53		137		54
Total par value	$	61,755	100	%	$	132	100	%	$	254	100	%

	June 30, 2015				Three Months Ended June 30, 2015				Six Months Ended June 30, 2015
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
JPMorgan Chase & Co.:
JPMorgan Bank & Trust Company, National Association(3)	$	13,000	26	%	$	16	16	%	$	27	14	%
JPMorgan Chase Bank, National Association(2)	817		2		1		1		3		1
Subtotal JPMorgan Chase & Co.	13,817		28		17		17		30		15
Bank of the West	6,602		13		6		6		12		6
First Republic Bank	4,725		9		20		20		40		20
Bank of America California, N.A.	4,000		8		3		3		5		3
Citigroup Inc
Citibank, N.A.(2)	3,000		6		1		1		2		1
Banamex USA	—		—		—		—		—		—
Subtotal Citigroup Inc	3,000		6		1		1		2		1
Subtotal	32,144		64		47		47		89		45
Others	17,917		36		53		53		107		55
Total par value	$	50,061	100	%	$	100	100	%	$	196	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.

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Mortgage Loans Held for Portfolio (Tables)

6 Months Ended

Jun. 30, 2016

Mortgage Loans on Real Estate [Abstract]

Schedule of Participating Mortgage Loans [Table Text Block]

The following table presents information as of June 30, 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.

	June 30, 2016			December 31, 2015
Fixed rate medium-term mortgage loans	$	75		$	100
Fixed rate long-term mortgage loans	552			553
Subtotal	627			653
Unamortized premiums	10			10
Unamortized discounts	(5		)	(8		)
Mortgage loans held for portfolio	632			655
Less: Allowance for credit losses	—			—
Total mortgage loans held for portfolio, net	$	632		$	655

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Allowance for Credit Losses (Tables)

6 Months Ended

Jun. 30, 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 June 30, 2016, and December 31, 2015.

	June 30, 2016			December 31, 2015
	Recorded Investment(1)			Recorded Investment(1)
30 – 59 days delinquent	$	9		$	10
60 – 89 days delinquent	3			5
90 days or more delinquent	16			18
Total past due	28			33
Total current loans	607			625
Total mortgage loans	$	635		$	658
In process of foreclosure, included above(2)	$	6		$	7
Nonaccrual loans	$	16		$	18
Loans past due 90 days or more and still accruing interest	$	—		$	—
Serious delinquencies as a percentage of total mortgage loans outstanding(3)	2.51		%	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				Six Months Ended
	June 30, 2016		June 30, 2015		June 30, 2016		June 30, 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:

	June 30, 2016		December 31, 2015
Allowance for credit losses, end of period:
Individually evaluated for impairment	$	—	$	—
Collectively 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:

	June 30, 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		—
Total	$	12	$	12	$	—	$	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				Six Months Ended
	June 30, 2016		June 30, 2015		June 30, 2016		June 30, 2015
With no related allowance	$	12	$	15	$	12	$	14
With an allowance	—		—		1		2
Total	$	12	$	15	$	13	$	16

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Deposits (Tables)

6 Months Ended

Jun. 30, 2016

Deposits [Abstract]

Schedule of Deposit Liabilities by Component [Table Text Block]

Deposits as of June 30, 2016, and December 31, 2015, were as follows:

	June 30, 2016		December 31, 2015
Interest-bearing deposits:
Demand and overnight	$	218	$	124
Total interest-bearing deposits	218		124
Non-interest-bearing deposits	1		3
Total	$	219	$	127

Schedule of Interest Rate Payment Terms On Deposit Liabilities [Table Text Block]

Interest rate payment terms for deposits at June 30, 2016, and December 31, 2015, are detailed in the following table:

	June 30, 2016				December 31, 2015
	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding		Weighted Average Interest Rate
Interest-bearing deposits – Adjustable rate	$	218	0.01	%	$	124	0.01	%
Non-interest-bearing deposits	1				3
Total	$	219			$	127

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Consolidated Obligations (Tables)

6 Months Ended

Jun. 30, 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 June 30, 2016, and December 31, 2015.

	June 30, 2016					December 31, 2015
Contractual Maturity	Amount Outstanding			Weighted Average Interest Rate		Amount Outstanding			Weighted Average Interest Rate
Within 1 year	$	35,797		1.04	%	$	29,114		1.03	%
After 1 year through 2 years	8,135			1.13		11,264			0.91
After 2 years through 3 years	2,204			1.34		5,162			1.28
After 3 years through 4 years	1,120			1.64		1,430			1.44
After 4 years through 5 years	1,545			1.66		1,740			1.67
After 5 years	1,986			2.39		2,982			2.43
Total par value	50,787			1.15	%	51,692			1.14	%
Unamortized premiums	18					27
Unamortized discounts	(12		)			(17		)
Valuation adjustments for hedging activities	126					142
Fair value option valuation adjustments	5					(17		)
Total	$	50,924				$	51,827

Schedule of Long-term Debt by Call Feature [Table Text Block]

The Bank’s participation in consolidated obligation bonds at June 30, 2016, and December 31, 2015, was as follows:  

	June 30, 2016		December 31, 2015
Par value of consolidated obligation bonds:
Non-callable	$	44,822	$	43,687
Callable	5,965		8,005
Total par value	$	50,787	$	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 June 30, 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	June 30, 2016		December 31, 2015
Within 1 year	$	40,752	$	36,469
After 1 year through 2 years	8,075		10,914
After 2 years through 3 years	1,314		3,282
After 3 years through 4 years	420		455
After 4 years through 5 years	135		395
After 5 years	91		177
Total par value	$	50,787	$	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:

	June 30, 2016					December 31, 2015
	Amount Outstanding			Weighted Average Interest Rate (1)		Amount Outstanding			Weighted Average Interest Rate (1)
Par value	$	41,970		0.41	%	$	27,663		0.25	%
Unamortized discounts	(40		)			(16		)
Total	$	41,930				$	27,647

Schedule of Interest Rate Payment Terms for Debt [Table Text Block]

Interest rate payment terms for consolidated obligations at June 30, 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.

	June 30, 2016		December 31, 2015
Par value of consolidated obligations:
Bonds:
Fixed rate	$	22,818	$	28,942
Adjustable rate	26,764		20,815
Step-up	485		1,110
Step-down	550		550
Fixed rate that converts to adjustable rate	70		175
Range bonds	100		100
Total bonds, par value	50,787		51,692
Discount notes, par value	41,970		27,663
Total consolidated obligations, par value	$	92,757	$	79,355

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Accumulated Other Comprehensive Income (Loss) (Tables)

6 Months Ended

Jun. 30, 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 June 30, 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, March 31, 2015	$	106		$	(18	)	$	(12	)	$	76
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	(2		)							(2		)
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)	(11		)	2			1			(8		)
Balance, June 30, 2015	$	95		$	(16	)	$	(11	)	$	68
Balance, March 31, 2016	$	(12	)	$	(13	)	$	(13	)	$	(38	)
Other comprehensive income/(loss) before reclassifications:
Non-credit-related OTTI loss	(2		)	—						(2		)
Net change in fair value	50									50
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	3			—						3
Net current period other comprehensive income/(loss)	51			1			—			52
Balance, June 30, 2016	$	39		$	(12	)	$	(13	)	$	14

The following table summarizes the changes in AOCI for the six months ended June 30, 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:
Net change in pension and postretirement benefits							1			1
Non-credit-related OTTI loss	(13		)	—						(13		)
Net change in fair value	18									18
Accretion of non-credit-related OTTI loss				4						4
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)	7			4			1			12
Balance, June 30, 2015	$	95		$	(16	)	$	(11	)	$	68
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	(12		)	—						(12		)
Net change in fair value	3									3
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	5			—						5
Net current period other comprehensive income/(loss)	(4		)	2			1			(1		)
Balance, June 30, 2016	$	39		$	(12	)	$	(13	)	$	14

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Capital (Tables)

6 Months Ended

Jun. 30, 2016

Capital [Abstract]

Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations [Table Text Block]

As of June 30, 2016, and December 31, 2015, the Bank was in compliance with these capital rules and requirements as shown in the following table.

	June 30, 2016						December 31, 2015
	Required			Actual			Required			Actual
Risk-based capital	$	2,468		$	5,834		$	2,684		$	5,369
Total regulatory capital	$	3,977		$	5,834		$	3,428		$	5,369
Total regulatory capital ratio	4.00		%	5.87		%	4.00		%	6.26		%
Leverage capital	$	4,972		$	8,751		$	4,285		$	8,054
Leverage ratio	5.00		%	8.80		%	5.00		%	9.40		%

Schedule of Mandatorily Redeemable Capital Stock [Table Text Block]

The Bank had mandatorily redeemable capital stock totaling $486 outstanding to eight institutions at June 30, 2016, and $488 outstanding to nine institutions at December 31, 2015. The change in mandatorily redeemable capital stock for the three and six months ended June 30, 2016 and 2015, was as follows:

	Three Months Ended					Six Months Ended
	June 30, 2016		June 30, 2015			June 30, 2016			June 30, 2015
Balance at the beginning of the period	$	486	$	383		$	488		$	719
Reclassified from/(to) capital during the period	—		4			52			12
Redemption of mandatorily redeemable capital stock	—		(28		)	—			(34		)
Repurchase of excess mandatorily redeemable capital stock	—		(217		)	(54		)	(555		)
Balance at the end of the period	$	486	$	142		$	486		$	142

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 June 30, 2016, and December 31, 2015.

Contractual Redemption Period	June 30, 2016		December 31, 2015
Within 1 year	$	—	$	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)	105		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 and six months ended June 30, 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, March 31, 2015	$	624		$	25	$	1,800	$	325	$	2,150	$	2,774
Net income	41			8		—		12		20		61
Cash dividends on capital stock	(182		)									(182		)
Balance, June 30, 2015	$	483		$	33	$	1,800	$	337	$	2,170	$	2,653
Balance, March 31, 2016	$	760		$	—	$	1,650	$	404	$	2,054	$	2,814
Net income	50			—		—		13		13		$	63
Cash dividends on capital stock	(49		)									(49		)
Balance, June 30, 2016	$	761		$	—	$	1,650	$	417	$	2,067	$	2,828

				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	430			(2		)	—		107		105		535
Cash dividends on capital stock	(241		)										(241		)
Balance, June 30, 2015	$	483		$	33		$	1,800	$	337	$	2,170	$	2,653
Balance, December 31, 2015	$	610		$	10		$	1,650	$	358	$	2,018	$	2,628
Net income	245			(10		)	—		59		49		294
Cash dividends on capital stock	(94		)										(94		)
Balance, June 30, 2016	$	761		$	—		$	1,650	$	417	$	2,067	$	2,828

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Segment Information (Tables)

6 Months Ended

Jun. 30, 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 and six months ended June 30, 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:
June 30, 2016	$	37	$	84	$	121	$	(2	)	$	(6	)	$	12	$	117	$	(9	)	$	37	$	71
June 30, 2015	47		90		137		(5		)	(4		)	38		108		(2		)	34		72
Six months ended:
June 30, 2016	73		170		243		(4		)	(15		)	22		240		162			73		329
June 30, 2015	82		183		265		(13		)	(13		)	53		238		430			68		600

(1) The mortgage-related business includes total accretion or amortization associated with other-than-temporarily impaired PLRMBS, which are recognized in interest income, totaled $26 and $22 for the three months ended June 30, 2016 and 2015; and totaled $52 and $41 for the six months ended June 30, 2016 and 2015, respectively. The mortgage-related business does not include credit-related OTTI losses of $4 and $6 for the three months ended June 30, 2016 and 2015; $11 and $8 for the six months ended June 30, 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 June 30, 2016, and December 31, 2015.

	Advances- Related Business		Mortgage- Related Business		Total Assets
June 30, 2016	$	82,958	$	16,472	$	99,430
December 31, 2015	69,047		16,651		85,698

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Derivatives and Hedging Activities (Tables)

6 Months Ended

Jun. 30, 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 June 30, 2016, and December 31, 2015. For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest.

	June 30, 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	$	24,453	$	151		$	116		$	27,110	$	192		$	71
Total	24,453		151			116			27,110		192			71
Derivatives not designated as hedging instruments:
Interest rate swaps	49,389		52			136			50,444		58			71
Interest rate caps and floors	2,230		1			2			2,230		6			1
Mortgage delivery commitments	14		—			—			5		—			—
Total	51,633		53			138			52,679		64			72
Total derivatives before netting and collateral adjustments	$	76,086	204			254			$	79,789	256			143
Netting adjustments and cash collateral(1)			(140		)	(247		)			(212		)	(137		)
Total derivative assets and total derivative liabilities			$	64		$	7				$	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 $123 and $57 at June 30, 2016, and December 31, 2015, respectively. Cash collateral received and related accrued interest was $16 and $132 at June 30, 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 and six months ended June 30, 2016 and 2015.

	Three Months Ended						Six Months Ended
	June 30, 2016			June 30, 2015			June 30, 2016			June 30, 2015
	Gain/(Loss)			Gain/(Loss)			Gain/(Loss)			Gain/(Loss)
Derivatives designated as hedging instruments:
Interest rate swaps	$	—		$	(3	)	$	(4	)	$	(10	)
Total net gain/(loss) related to fair value hedge ineffectiveness	—			(3		)	(4		)	(10		)
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	(15		)	33			(64		)	30
Interest rate caps and floors	(3		)	—			(6		)	(2		)
Net settlements	(6		)	(4		)	(15		)	(13		)
Mortgage delivery commitments	1			1			1			1
Total net gain/(loss) related to derivatives not designated as hedging instruments	(23		)	30			(84		)	16
Net gain/(loss) on derivatives and hedging activities	$	(23	)	$	27		$	(88	)	$	6

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 and six months ended June 30, 2016 and 2015.

	Three Months Ended
	June 30, 2016											June 30, 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	$	(18	)	$	17	$	(1	)	$	(15	)	$	32		$	(32	)	$	—		$	(27	)
Consolidated obligation bonds	(28		)	29		1			50			(49		)	46			(3		)	67
Total	$	(46	)	$	46	$	—		$	35		$	(17	)	$	14		$	(3	)	$	40

	Six Months Ended
	June 30, 2016											June 30, 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	$	(67	)	$	66	$	(1	)	$	(33	)	$	(6	)	$	6	$	—		$	(55	)
Consolidated obligation bonds	(17		)	14		(3		)	103			(64		)	54		(10		)	129
Total	$	(84	)	$	80	$	(4	)	$	70		$	(70	)	$	60	$	(10	)	$	74

(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 June 30, 2016, and December 31, 2015.

	June 30, 2016						December 31, 2015
	Derivative Assets			Derivative Liabilities			Derivative Assets			Derivative Liabilities
Derivative instruments meeting netting requirements
Gross recognized amount
Uncleared derivatives	$	79		$	111		$	166		$	93
Cleared derivatives	125			143			90			50
Total gross recognized amount	204			254			256			143
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives	(71		)	(104		)	(149		)	(87		)
Cleared derivatives	(69		)	(143		)	(63		)	(50		)
Total gross amount of netting adjustments and cash collateral	(140		)	(247		)	(212		)	(137		)
Total derivative assets and total derivative liabilities
Uncleared derivatives	8			7			17			6
Cleared derivatives	56			—			27			—
Total derivative assets and derivative liabilities presented in the Statements of Condition	64			7			44			6
Non-cash collateral received or pledged not offset
Can be sold or repledged - Uncleared derivatives	3			—			11			—
Net unsecured amount
Uncleared derivatives	5			7			6			6
Cleared derivatives	56			—			27			—
Total net unsecured amount	$	61		$	7		$	33		$	6

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Fair Value (Tables)

6 Months Ended

Jun. 30, 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 June 30, 2016, and December 31, 2015.

	June 30, 2016
	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments(1)
Assets
Cash and due from banks	$	15	$	15	$	15	$	—	$	—	$	—
Interest-bearing deposits	575		575		575		—		—		—
Securities purchased under agreements to resell	13,000		13,000		—		13,000		—		—
Federal funds sold	5,557		5,557		—		5,557		—		—
Trading securities	1,409		1,409		—		1,409		—		—
AFS securities	4,864		4,864		—		—		4,864		—
HTM securities	11,173		11,320		—		9,801		1,519		—
Advances	61,963		61,956		—		61,956		—		—
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	632		671		—		671		—		—
Accrued interest receivable	55		55		—		55		—		—
Derivative assets, net(1)	64		64		—		204		—		(140		)
Other assets(2)	11		11		11		—		—		—
Liabilities
Deposits	219		219		—		219		—		—
Consolidated obligations:
Bonds	50,924		51,014		—		51,014		—		—
Discount notes	41,930		41,938		—		41,938		—		—
Total consolidated obligations	92,854		92,952		—		92,952		—		—
Mandatorily redeemable capital stock	486		486		486		—		—		—
Accrued interest payable	78		78		—		78		—		—
Derivative liabilities, net(1)	7		7		—		254		—		(247		)
Other
Standby letters of credit	27		27		—		27		—		—
Commitments to fund advances(3)	—		1		—		1		—		—
Commitments to issue consolidated obligation bonds(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 June 30, 2016, and December 31, 2015, by level within the fair value hierarchy.

June 30, 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	$	—	$	1,400	$	—	$	—		$	1,400
MBS:
Other U.S. obligations – Ginnie Mae	—		9		—		—			9
Total trading securities	—		1,409		—		—			1,409
AFS securities:
PLRMBS	—		—		4,864		—			4,864
Total AFS securities	—		—		4,864		—			4,864
Advances(2)	—		3,752		—		—			3,752
Derivative assets, net: interest rate-related	—		204		—		(140		)	64
Other assets	11		—		—		—			11
Total recurring fair value measurements – Assets	$	11	$	5,365	$	4,864	$	(140	)	$	10,100
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	2,925	$	—	$	—		$	2,925
Derivative liabilities, net: interest rate-related	—		254		—		(247		)	7
Total recurring fair value measurements – Liabilities	$	—	$	3,179	$	—	$	(247	)	$	2,932
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 June 30, 2016, and December 31, 2015.

(3) Represents consolidated obligation bonds recorded under the fair value option at June 30, 2016, and December 31, 2015.

(4) The fair value information presented is as of the date the fair value adjustment was recorded during the six months ended June 30, 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 and six months ended June 30, 2016, and 2015.

	Three Months Ended
	June 30, 2016			June 30, 2015
Balance, beginning of the period	$	5,145		$	6,188
Total gain/(loss) realized and unrealized included in:
Interest income	26			22
Net OTTI loss, credit-related	(4		)	(6		)
Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI	50			(2		)
Net amount of OTTI loss reclassified to/(from) other income/(loss)	1			(9		)
Settlements	(354		)	(243		)
Balance, end of the period	$	4,864		$	5,950
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	$	22		$	16

	Six Months Ended
	June 30, 2016			June 30, 2015
Balance, beginning of the period	$	5,414		$	6,371
Total gain/(loss) realized and unrealized included in:
Interest income	52			41
Net OTTI loss, credit-related	(11		)	(8		)
Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI	3			18
Net amount of OTTI loss reclassified to/(from) other income/(loss)	(7		)	(11		)
Settlements	(587		)	(465		)
Transfers of HTM securities to AFS securities	—			4
Balance, end of the period	$	4,864		$	5,950
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	$	41		$	33

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 and six months ended June 30, 2016 and 2015:

	Three Months Ended
	June 30, 2016						June 30, 2015
	Advances			Consolidated Obligation Bonds			Advances			Consolidated Obligation Bonds
Balance, beginning of the period	$	3,722		$	3,613		$	4,978		$	6,375
New transactions elected for fair value option	262			205			200			1,150
Maturities and terminations	(248		)	(895		)	(164		)	(1,308		)
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option	16			3			(36		)	(10		)
Change in accrued interest	—			(1		)	—			(4		)
Balance, end of the period	$	3,752		$	2,925		$	4,978		$	6,203

	Six Months Ended
	June 30, 2016						June 30, 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	431			450			446			1,805
Maturities and terminations	(419		)	(1,780		)	(588		)	(2,333		)
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option	63			23			(16		)	17
Change in accrued interest	—			(1		)	(1		)	(3		)
Balance, end of the period	$	3,752		$	2,925		$	4,978		$	6,203

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 June 30, 2016, and December 31, 2015:

	At June 30, 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)	$	3,651	$	3,752	$	101	$	3,639	$	3,677	$	38
Consolidated obligation bonds	2,920		2,925		5		4,250		4,233		(17		)

(1) At June 30, 2016, and December 31, 2015, none of these advances were 90 days or more past due or had been placed on nonaccrual status.

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Commitments and Contingencies (Tables)

6 Months Ended

Jun. 30, 2016

Commitments and Contingencies Disclosure [Abstract]

Off-Balance Sheet Commitments [Table Text Block]

Off-balance sheet commitments as of June 30, 2016, and December 31, 2015, were as follows:

	June 30, 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	$	11,575	$	4,367	$	15,942	$	9,072	$	3,237	$	12,309
Commitments to fund additional advances(1)	27		1		28		5		5		10
Commitments to issue consolidated obligation discount notes, par(2)	748		—		748		300		—		300
Commitments to issue consolidated obligation bonds, par(3)	120		—		120		110		—		110
Commitments to purchase mortgage loans	14		—		14		5		—		5

(1) AtJune 30, 2016, $20 of the commitments to fund additional advances were hedged with associated interest rate swaps. At December 31, 2015, none of the commitments to fund additional advances were hedged with associated interest rate swaps.

(2) AtJune 30, 2016, and at December 31, 2015, none of the commitments to issue consolidated obligation discount notes were hedged with associated interest rate swaps.

(3) AtJune 30, 2016, none of the commitments to issue consolidated obligation bonds were hedged with associated interest rate swaps. At December 31, 2015, all of the commitments to issue consolidated obligation bonds were hedged with associated interest rate swaps.

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Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks (Tables)

6 Months Ended

Jun. 30, 2016

Related Party Transactions [Abstract]

Transactions with Certain Members and Nonmembers and Other FHLBanks, by Balance Sheet Grouping [Table Text Block]

	June 30, 2016		December 31, 2015
Assets:
Advances	$	3,333	$	3,297
Mortgage loans held for portfolio	20		24
Accrued interest receivable	4		5
Liabilities:
Deposits	$	3	$	4
Capital:
Capital Stock	$	132	$	119

	Three Months Ended				Six Months Ended
	June 30, 2016		June 30, 2015		June 30, 2016	June 30, 2015
Interest Income:
Advances	$	8	$	9	17	$	18
Mortgage loans held for portfolio	1		1		1	1

Transactions with Certain Members and Nonmembers and Other FHLBanks, Income Statement [Table Text Block]

	Three Months Ended				Six Months Ended
	June 30, 2016		June 30, 2015		June 30, 2016	June 30, 2015
Interest Income:
Advances	$	8	$	9	17	$	18
Mortgage loans held for portfolio	1		1		1	1

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Basis of Presentation Narrative (Details) - USD ($) $ in Millions	Jun. 30, 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

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Trading Securities (Details) - USD ($) $ in Millions		3 Months Ended		6 Months Ended
		Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015	Dec. 31, 2015
Schedule of Trading Securities and Other Trading Assets [Line Items]
Net unrealized gain/(loss) on trading securities		$ 1	$ 0	$ 2	$ 0
Trading securities	[1]	1,409		1,409		$ 1,433
Non-MBS - GSE - FFCB bonds [Member]
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading securities		1,400		1,400		1,424
MBS - Other US Obligations - Ginnie Mae [Member]
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading securities		$ 9		$ 9		$ 9

[1] At June 30, 2016, and December 31, 2015, none of these securities were pledged as collateral that may be repledged.

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Available-for-Sale Securities (Narrative) (Details) - USD ($) $ in Millions	Jun. 30, 2016	Mar. 31, 2016	Dec. 31, 2015	Jun. 30, 2015	Mar. 31, 2015	Dec. 31, 2014
Schedule of Available-for-sale Securities [Line Items]
Credit-related OTTI	$ 1,224	$ 1,239	$ 1,255	$ 1,284	$ 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	$ 1,012		$ 1,023

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Available-for-Sale Securities (AFS Securities by Major Security Type) (Details) - USD ($) $ in Millions		Jun. 30, 2016	Dec. 31, 2015
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	[1]	$ 4,825	$ 5,371
OTTI Recognized in AOCI		(169)	(165)
Gross Unrealized Gains		214	222
Gross Unrealized Losses		(6)	(14)
Estimated Fair Value	[2]	4,864	5,414
PLRMBS [Member] | Prime [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost		452	489
OTTI Recognized in AOCI		(1)	(1)
Gross Unrealized Gains		18	23
Gross Unrealized Losses		0	0
Estimated Fair Value		469	511
PLRMBS [Member] | Alt-A, Option ARM [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost		907	956
OTTI Recognized in AOCI		(45)	(37)
Gross Unrealized Gains		58	64
Gross Unrealized Losses		(4)	(3)
Estimated Fair Value		916	980
PLRMBS [Member] | Alt-A, other [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost		3,466	3,926
OTTI Recognized in AOCI		(123)	(127)
Gross Unrealized Gains		138	135
Gross Unrealized Losses		(2)	(11)
Estimated Fair Value		$ 3,479	$ 3,923

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

[2] At June 30, 2016, and December 31, 2015, none of these securities were pledged as collateral that may be repledged.

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Available-for-Sale Securities (Summary of Securities with Unrealized Losses) (Details) - USD ($) $ in Millions	Jun. 30, 2016	Dec. 31, 2015
Schedule of Available-for-sale Securities [Line Items]
Less Than 12 Months: Estimated Fair Value	$ 221	$ 168
Less Than 12 Months: Unrealized Losses	2	2
12 Months or More: Estimated Fair Value	1,836	1,981
12 Months or More: Unrealized Losses	173	177
Estimated Fair Value	2,057	2,149
Unrealized Losses	175	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	1	0
Less Than 12 Months: Unrealized Losses	0	0
12 Months or More: Estimated Fair Value	23	25
12 Months or More: Unrealized Losses	1	1
Estimated Fair Value	24	25
Unrealized Losses	1	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	71	0
Less Than 12 Months: Unrealized Losses	0	0
12 Months or More: Estimated Fair Value	403	435
12 Months or More: Unrealized Losses	49	40
Estimated Fair Value	474	435
Unrealized Losses	49	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	149	168
Less Than 12 Months: Unrealized Losses	2	2
12 Months or More: Estimated Fair Value	1,410	1,521
12 Months or More: Unrealized Losses	123	136
Estimated Fair Value	1,559	1,689
Unrealized Losses	$ 125	$ 138

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Available-for-Sale Securities (Interest Rate Payment Terms) (Details) - USD ($) $ in Millions		Jun. 30, 2016	Dec. 31, 2015
Schedule of Available-for-sale Securities [Line Items]
AFS Securities, Amortized Cost	[1]	$ 4,825	$ 5,371
Fixed Interest Rate [Member] | Collateralized Mortgage Backed Securities [Member]
Schedule of Available-for-sale Securities [Line Items]
AFS Securities, Amortized Cost		1,340	1,540
Fixed Interest Rate [Member] | Collateralized mortgage obligations [Member]
Schedule of Available-for-sale Securities [Line Items]
AFS Securities, Amortized Cost		181	201
Converts in 1 year or less		153	102
Converts after 1 year through 5 years		28	99
Variable Interest Rate [Member] | Collateralized Mortgage Backed Securities [Member]
Schedule of Available-for-sale Securities [Line Items]
AFS Securities, Amortized Cost		$ 3,485	$ 3,831

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

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Held-to-Maturity Securities (Classification of Held-to-Maturity Securities) (Details) - USD ($) $ in Millions		Jun. 30, 2016		Mar. 31, 2016	Dec. 31, 2015		Jun. 30, 2015	Mar. 31, 2015	Dec. 31, 2014
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	$ 11,185			$ 10,816
OTTI Recognized in AOCI	[1]	(12)			(14)
HTM securities, Carrying Value	[1],[2]	11,173			10,802
Gross Unrecognized Holding Gain		219			127
Gross Unrecognized Holding Loss		(72)			(108)
HTM Securities, Fair Value		11,320			10,821
Credit-related OTTI		1,224		$ 1,239	1,255		$ 1,284	$ 1,297	$ 1,314
Housing finance agency bonds [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	254			275
OTTI Recognized in AOCI	[1]	0			0
HTM securities, Carrying Value	[1]	254			275
Gross Unrecognized Holding Gain		0			0
Gross Unrecognized Holding Loss		(24)			(33)
HTM Securities, Fair Value		230			242
MBS - Other US Obligations - Ginnie Mae [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	1,104			1,227
OTTI Recognized in AOCI	[1]	0			0
HTM securities, Carrying Value		1,104	[3]		1,227	[1]
Gross Unrecognized Holding Gain		32			4
Gross Unrecognized Holding Loss		0			(3)
HTM Securities, Fair Value		1,136			1,228
PLRMBS [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	1,332			1,501
OTTI Recognized in AOCI	[1]	(12)			(14)
HTM securities, Carrying Value	[1]	1,320			1,487
Gross Unrecognized Holding Gain		12			14
Gross Unrecognized Holding Loss		(43)			(40)
HTM Securities, Fair Value		1,289			1,461
MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	10,931			10,541
OTTI Recognized in AOCI	[1]	(12)			(14)
HTM securities, Carrying Value	[1]	10,919			10,527
Gross Unrecognized Holding Gain		219			127
Gross Unrecognized Holding Loss		(48)			(75)
HTM Securities, Fair Value		11,090			10,579
Held-to-maturity Securities, Premiums		30			39
Held-to-maturity Securities, Discounts		35			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]	8,495			7,813
OTTI Recognized in AOCI	[1]	0			0
HTM securities, Carrying Value	[1]	8,495			7,813
Gross Unrecognized Holding Gain		175			109
Gross Unrecognized Holding Loss		(5)			(32)
HTM Securities, Fair Value		8,665			7,890
Single Family [Member] | Freddie Mac [Member] | GSEs [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	3,295			3,677
OTTI Recognized in AOCI	[1]	0			0
HTM securities, Carrying Value	[1]	3,295			3,677
Gross Unrecognized Holding Gain		71			39
Gross Unrecognized Holding Loss		0			(20)
HTM Securities, Fair Value		3,366			3,696
Single Family [Member] | Fannie Mae [Member] | GSEs [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	5,200			4,136
OTTI Recognized in AOCI	[1]	0			0
HTM securities, Carrying Value	[1]	5,200			4,136
Gross Unrecognized Holding Gain		104			70
Gross Unrecognized Holding Loss		(5)			(12)
HTM Securities, Fair Value		5,299			4,194
Prime [Member] | PLRMBS [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	805			905
OTTI Recognized in AOCI	[1]	0			0
HTM securities, Carrying Value	[1]	805			905
Gross Unrecognized Holding Gain		0			0
Gross Unrecognized Holding Loss		(29)			(27)
HTM Securities, Fair Value		776			878
Alt-A, other [Member] | PLRMBS [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	527			596
OTTI Recognized in AOCI	[1]	(12)			(14)
HTM securities, Carrying Value	[1]	515			582
Gross Unrecognized Holding Gain		12			14
Gross Unrecognized Holding Loss		(14)			(13)
HTM Securities, Fair Value		$ 513			$ 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 June 30, 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.

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Held-to-Maturity Securities (Securities with Unrealized Losses) (Details) - USD ($) $ in Millions	Jun. 30, 2016	Dec. 31, 2015
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	$ 687	$ 3,805
Less Than 12 Months, Unrealized losses	5	33
12 Months or More, Estimated Fair Value	1,491	1,665
12 Months Or More, Unrealized losses	79	89
Total, Estimated Fair Value	2,178	5,470
Total, Unrealized Losses	84	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	224	240
12 Months Or More, Unrealized losses	24	33
Total, Estimated Fair Value	224	240
Total, Unrealized Losses	24	33
MBS - Other US Obligations - Ginnie Mae [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	63	799
Less Than 12 Months, Unrealized losses	0	3
12 Months or More, Estimated Fair Value	0	2
12 Months Or More, Unrealized losses	0	0
Total, Estimated Fair Value	63	801
Total, Unrealized Losses	0	3
PLRMBS [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	132	175
Less Than 12 Months, Unrealized losses	2	1
12 Months or More, Estimated Fair Value	1,157	1,249
12 Months Or More, Unrealized losses	53	53
Total, Estimated Fair Value	1,289	1,424
Total, Unrealized Losses	55	54
MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	687	3,805
Less Than 12 Months, Unrealized losses	5	33
12 Months or More, Estimated Fair Value	1,267	1,425
12 Months Or More, Unrealized losses	55	56
Total, Estimated Fair Value	1,954	5,230
Total, Unrealized Losses	60	89
Single Family [Member] | GSEs [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	492	2,831
Less Than 12 Months, Unrealized losses	3	29
12 Months or More, Estimated Fair Value	110	174
12 Months Or More, Unrealized losses	2	3
Total, Estimated Fair Value	602	3,005
Total, Unrealized Losses	5	32
Single Family [Member] | Freddie Mac [Member] | GSEs [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	3	1,736
Less Than 12 Months, Unrealized losses	0	20
12 Months or More, Estimated Fair Value	3	20
12 Months Or More, Unrealized losses	0	0
Total, Estimated Fair Value	6	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	489	1,095
Less Than 12 Months, Unrealized losses	3	9
12 Months or More, Estimated Fair Value	107	154
12 Months Or More, Unrealized losses	2	3
Total, Estimated Fair Value	596	1,249
Total, Unrealized Losses	5	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	127	165
Less Than 12 Months, Unrealized losses	2	1
12 Months or More, Estimated Fair Value	649	676
12 Months Or More, Unrealized losses	27	26
Total, Estimated Fair Value	776	841
Total, Unrealized Losses	29	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	5	10
Less Than 12 Months, Unrealized losses	0	0
12 Months or More, Estimated Fair Value	508	573
12 Months Or More, Unrealized losses	26	27
Total, Estimated Fair Value	513	583
Total, Unrealized Losses	$ 26	$ 27

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Held-to-Maturity Securities (Redemption Terms) (Details) - USD ($) $ in Millions		Jun. 30, 2016	Dec. 31, 2015
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	$ 11,185	$ 10,816
HTM securities, Carrying Value	[1],[2]	11,173	10,802
HTM Securities, Fair Value		11,320	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]	42	60
Due after 5 years through 10 years, Carrying Value	[3]	42	60
Due after 5 years through 10 years, Estimated Fair Value		40	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		190	186
Amortized Cost		254	275
HTM securities, Carrying Value		254	275
HTM Securities, Fair Value		230	242
Collateralized Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	10,931	10,541
HTM securities, Carrying Value	[1]	10,919	10,527
HTM Securities, Fair Value		$ 11,090	$ 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 June 30, 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.

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Held-to-Maturity Securities (Interest Rate Payment Terms) (Details) - USD ($) $ in Millions		Jun. 30, 2016	Dec. 31, 2015
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	$ 11,185	$ 10,816
Other Than Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost		254	275
Other Than Mortgage Backed Securities [Member] | Variable Interest Rate [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost		254	275
Mortgage Passthrough Securities [Member] | Fixed Interest Rate [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost		121	146
Converts in 1 year or less		26	22
Converts after 1 year through 5 years		90	119
Total		116	141
Mortgage Passthrough Securities [Member] | Variable Interest Rate [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost		382	416
Collateralized Mortgage Obligations [Member] | Fixed Interest Rate [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost		6,365	7,224
Converts in 1 year or less		6	7
Converts after 1 year through 5 years		12	13
Total		18	20
Collateralized Mortgage Obligations [Member] | Variable Interest Rate [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost		4,063	2,755
Collateralized Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	$ 10,931	$ 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.

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Other-Than-Temporary Impairment Analysis (Narrative) (Details)	6 Months Ended
	Jun. 30, 2016
Other than Temporary Impairment, Disclosure [Line Items]
Projected change in the twelve month housing price percentage rate, maximum decrease	2.00%
Projected change in the twelve month housing price percentage rate, maximum increase	10.00%
Projected House Price Rate, minimum increase in vast majority of markets	2.00%
Projected House Price Rate, maximum increase in vast majority of markets	6.00%
Period Assumed For Housing Markets That Have Reached Trough	12 months

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Other-Than-Temporary Impairment Analysis (Significant Inputs for Other-Than-Temporarily Impaired PLRMBS) (Details) - Residential Mortgage Backed Securities [Member] - PLRMBS [Member]	6 Months Ended
	Jun. 30, 2016	[1]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Average	11.70%
Default Rates, Weighted Average	22.70%
Loss Severities, Weighted Average	38.00%
Current Credit Enhancement, Weighted Average	5.40%
Prime [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Average	12.10%
Default Rates, Weighted Average	17.30%
Loss Severities, Weighted Average	30.90%
Current Credit Enhancement, Weighted Average	0.00%
Prime [Member] | Securitization in 2006 [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Average	12.10%
Default Rates, Weighted Average	17.30%
Loss Severities, Weighted Average	30.90%
Current Credit Enhancement, Weighted Average	0.00%
Alt-A, Option ARM [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Average	6.50%
Default Rates, Weighted Average	40.90%
Loss Severities, Weighted Average	37.80%
Current Credit Enhancement, Weighted Average	9.70%
Alt-A, Option ARM [Member] | Securitization in 2007 [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Average	6.50%
Default Rates, Weighted Average	40.90%
Loss Severities, Weighted Average	37.80%
Current Credit Enhancement, Weighted Average	9.70%
Alt-A, other [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Average	12.80%
Default Rates, Weighted Average	18.50%
Loss Severities, Weighted Average	38.00%
Current Credit Enhancement, Weighted Average	4.40%
Alt-A, other [Member] | Securitization in 2007 [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Average	11.10%
Default Rates, Weighted Average	27.40%
Loss Severities, Weighted Average	38.40%
Current Credit Enhancement, Weighted Average	0.80%
Alt-A, other [Member] | Securitization in 2005 [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Average	13.80%
Default Rates, Weighted Average	13.70%
Loss Severities, Weighted Average	37.80%
Current Credit Enhancement, Weighted Average	6.40%

[1] Weighted average percentage is based on unpaid principal balance.

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Other-Than-Temporary Impairment Analysis (OTTI Rollforward) (Details) - USD ($) $ in Millions		3 Months Ended		6 Months Ended
		Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015
Other than Temporary Impairment Losses, Investments [Abstract]
OTTI PLRMBS, Total accretion or amortization recognized in interest income		$ 26	$ 22	$ 52	$ 41
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward]
Balance, beginning of the period		1,239	1,297	1,255	1,314
Additional charges on securities for which OTTI was previously recognized	[1]	4	6	11	8
Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities	[2]	(19)	(19)	(42)	(38)
Balance, end of the period		$ 1,224	$ 1,284	$ 1,224	$ 1,284

[1] For the three months ended June 30, 2016 and 2015, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to April 1, 2016 and 2015, respectively. For the six months ended June 30, 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 $22 for the three months ended June 30, 2016 and 2015, respectively. The total accretion or amortization associated with other-than-temporarily impaired PLRMBS (amount recognized in interest income) totaled $52 and $41 for the six months ended June 30, 2016 and 2015, respectively

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Other-Than-Temporary Impairment Analysis (Transfers) (Details) - PLRMBS [Member] - USD ($) $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015
Significant Inputs for Credit Loss Measurement [Line Items]
Amortized Cost	$ 0	$ 0	$ 0	$ 4
OTTI Recognized in AOCI	0	0	0	0
Gross Unrecognized Holding Gains (Losses)	0	0	0	0
Estimated Fair Value	$ 0	0	$ 0	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

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Other-Than-Temporary Impairment Analysis (OTTI Impaired PLRMBS) (Details) - PLRMBS [Member] - USD ($) $ in Millions	Jun. 30, 2016	Dec. 31, 2015
Available-for-sale Securities [Member]
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract]
Unpaid Principal Balance	$ 5,827	$ 6,384
Amortized Cost	4,825	5,371
Estimated Fair Value	4,864	5,414
Held-to-maturity Securities [Member]
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract]
Unpaid Principal Balance	102	111
Amortized Cost	97	107
Carrying Value	86	93
Estimated Fair Value	98	107
Prime [Member] | Available-for-sale Securities [Member]
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract]
Unpaid Principal Balance	546	591
Amortized Cost	452	489
Estimated Fair Value	469	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	1,211	1,269
Amortized Cost	907	956
Estimated Fair Value	916	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	4,070	4,524
Amortized Cost	3,466	3,926
Estimated Fair Value	3,479	3,923
Alt-A, other [Member] | Held-to-maturity Securities [Member]
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract]
Unpaid Principal Balance	102	111
Amortized Cost	97	107
Carrying Value	86	93
Estimated Fair Value	$ 98	$ 107

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Advances (Narrative) (Details) - USD ($) $ in Millions	6 Months Ended
	Jun. 30, 2016	Dec. 31, 2015	Jun. 30, 2015
Advances [Line Items]
Advances, Par Value	$ 61,755	$ 50,841	$ 50,061
Advances With Partial Prepayment Symmetry Outstanding	$ 3,537	$ 3,510
Minimum [Member]
Advances [Line Items]
Advances, Maturity Period, Fixed Rate	1 day
Advances, Maturity Period, Variable Rate	30 days
Advances, Interest Rate	0.36%	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	$ 15,554	$ 15,425
Advances, Putable Option [Member]
Advances [Line Items]
Advances, Par Value	$ 125	$ 140

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Advances (Redemption Terms) (Details) - USD ($) $ in Millions	Jun. 30, 2016	Dec. 31, 2015	Jun. 30, 2015
Federal Home Loan Bank Advances, Maturities [Abstract]
Within 1 year	$ 34,995	$ 24,807
After 1 year through 2 years	4,582	4,252
After 2 years through 3 years	10,167	6,208
After 3 years through 4 years	4,048	6,877
After 4 years through 5 years	3,412	2,022
After 5 years	4,551	6,675
Total par amount	61,755	50,841	$ 50,061
Valuation adjustments for hedging activities	107	40
Valuation adjustments under fair value option	101	38
Advances	$ 61,963	$ 50,919
Federal Home Loan Bank Advances, Weighted Average Interest Rate [Abstract]
Within 1 year	0.63%	0.59%
After 1 year through 2 years	1.18%	1.19%
After 2 years through 3 years	1.07%	1.19%
After 3 years through 4 years	1.10%	0.89%
After 4 years through 5 years	1.19%	1.11%
After 5 years	1.44%	1.11%
Total par value	0.87%	0.84%

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Advances (Earlier of Contractual Maturity or Next Call/Put Date) (Details) - USD ($) $ in Millions	Jun. 30, 2016	Dec. 31, 2015	Jun. 30, 2015
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, Rolling Year, Par Value [Abstract]
Within 1 year	$ 36,077	$ 25,983
After 1 year through 2 years	10,613	6,124
After 2 years through 3 years	5,762	8,432
After 3 years through 4 years	3,498	3,173
After 4 years through 5 years	4,405	5,706
After 5 years	1,400	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	35,045	24,947
After 1 year through 2 years	4,532	4,152
After 2 years through 3 years	10,167	6,168
After 3 years through 4 years	4,048	6,877
After 4 years through 5 years	3,412	2,022
After 5 years	4,551	6,675
Total par amount	$ 61,755	$ 50,841	$ 50,061

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Advances (Credit and Concentration Risk) (Details) $ in Millions		3 Months Ended			6 Months Ended
		Jun. 30, 2016 USD ($) bank		Jun. 30, 2015 USD ($)	Jun. 30, 2016 USD ($) bank		Jun. 30, 2015 USD ($)		Dec. 31, 2015 USD ($)
Advances [Line Items]
Number Of Top Advances Borrowers | bank		5			5
Advances Outstanding		$ 61,755		$ 50,061	$ 61,755		$ 50,061		$ 50,841
Percentage of Total Advances Outstanding		100.00%		100.00%	100.00%		100.00%
Interest Income from Advances	[1]	$ 132		$ 100	$ 254		$ 196
Percentage of Total Interest Income from Advances		100.00%		100.00%	100.00%		100.00%
JPMorgan Chase Bank National Association [Member]
Advances [Line Items]
Advances Outstanding	[3]	$ 14,811	[2]	$ 817	$ 14,811	[2]	$ 817
Percentage of Total Advances Outstanding	[3]	24.00%	[2]	2.00%	24.00%	[2]	2.00%
Interest Income from Advances	[1],[3]	$ 28	[2]	$ 1	$ 52	[2]	$ 3
Percentage of Total Interest Income from Advances	[3]	21.00%	[2]	1.00%	21.00%	[2]	1.00%
JPMorgan Bank And Trust Company National Association [Member]
Advances [Line Items]
Advances Outstanding	[2]			$ 13,000			$ 13,000
Percentage of Total Advances Outstanding	[2]			26.00%			26.00%
Interest Income from Advances	[1]			$ 16			$ 27	[2]
Percentage of Total Interest Income from Advances				16.00%			14.00%	[2]
JPMorgan Chase And Co [Member]
Advances [Line Items]
Advances Outstanding				$ 13,817			$ 13,817
Percentage of Total Advances Outstanding				28.00%			28.00%
Interest Income from Advances	[1]			$ 17			$ 30
Percentage of Total Interest Income from Advances				17.00%			15.00%
Bank of the West [Member]
Advances [Line Items]
Advances Outstanding		$ 7,467		$ 6,602	$ 7,467		$ 6,602
Percentage of Total Advances Outstanding		12.00%		13.00%	12.00%		13.00%
Interest Income from Advances	[1]	$ 12		$ 6	$ 24		$ 12
Percentage of Total Interest Income from Advances		9.00%		6.00%	9.00%		6.00%
First Republic Bank [Member]
Advances [Line Items]
Advances Outstanding		$ 5,900		$ 4,725	$ 5,900		$ 4,725
Percentage of Total Advances Outstanding		9.00%		9.00%	9.00%		9.00%
Interest Income from Advances	[1]	$ 18		$ 20	$ 34		$ 40
Percentage of Total Interest Income from Advances		13.00%		20.00%	13.00%		20.00%
Charles Schwab Bank [Member]
Advances [Line Items]
Advances Outstanding		$ 5,000			$ 5,000
Percentage of Total Advances Outstanding		8.00%			8.00%
Interest Income from Advances	[1]	$ 2			$ 3
Percentage of Total Interest Income from Advances		2.00%			1.00%
MUFG Union Bank, NA [Member]
Advances [Line Items]
Advances Outstanding		$ 4,050			$ 4,050
Percentage of Total Advances Outstanding		7.00%			7.00%
Interest Income from Advances	[1]	$ 2			$ 4
Percentage of Total Interest Income from Advances		2.00%			2.00%
Bank of America California N A [Member]
Advances [Line Items]
Advances Outstanding				$ 4,000			$ 4,000
Percentage of Total Advances Outstanding				8.00%			8.00%
Interest Income from Advances				$ 3			$ 5	[1]
Percentage of Total Interest Income from Advances				3.00%			3.00%
Citibank N.A. [Member]
Advances [Line Items]
Advances Outstanding	[3]			$ 3,000			$ 3,000
Percentage of Total Advances Outstanding	[3]			6.00%			6.00%
Interest Income from Advances	[1],[3]			$ 1			$ 2
Percentage of Total Interest Income from Advances	[3]			1.00%			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%			6.00%
Interest Income from Advances	[1]			$ 1			$ 2
Percentage of Total Interest Income from Advances				1.00%			1.00%
Subtotal of top five borrowers [Member]
Advances [Line Items]
Advances Outstanding		$ 37,228		$ 32,144	$ 37,228		$ 32,144
Percentage of Total Advances Outstanding		60.00%		64.00%	60.00%		64.00%
Interest Income from Advances	[1]	$ 62		$ 47	$ 117		$ 89
Percentage of Total Interest Income from Advances		47.00%		47.00%	46.00%		45.00%
Other Borrowers [Member]
Advances [Line Items]
Advances Outstanding		$ 24,527		$ 17,917	$ 24,527		$ 17,917
Percentage of Total Advances Outstanding		40.00%		36.00%	40.00%		36.00%
Interest Income from Advances	[1]	$ 70		$ 53	$ 137		$ 107
Percentage of Total Interest Income from Advances		53.00%		53.00%	54.00%		55.00%

[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.

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Advances (Interest Rate Payment Terms and Prepayment Fees) (Details) - USD ($) $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015	Dec. 31, 2015
Prepayment Fees, Net [Abstract]
Prepayment Fees Received	$ 1	$ 12	$ 1	$ 26
Fair Value Adjustments	(1)	(4)	1	(18)
Net	0	8	2	8
Advance Principal Prepaid	1,089	638	1,859	1,245
Federal Home Loan Bank, Advances, Fixed Rate [Abstract]
Fixed Rate, due within 1 year	23,629		23,629		$ 13,073
Fixed Rate, due after 1 year	9,860		9,860		9,381
Advances, Total Fixed Rate	33,489		33,489		22,454
Federal Home Loan Bank, Advances, Floating Rate [Abstract]
Adjustable Rate, due within 1 year	11,367		11,367		11,734
Adjustable Rate, due after 1 year	16,899		16,899		16,653
Advances, Total Adjustable Rate	28,266		28,266		28,387
Total par amount	$ 61,755	$ 50,061	$ 61,755	$ 50,061	$ 50,841

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Mortgage Loans Held for Portfolio (Details) $ in Millions	6 Months Ended
	Jun. 30, 2016 USD ($) Institutions	Dec. 31, 2015 USD ($)
Mortgage Loans on Real Estate [Line Items]
Number of Institutions Participating in Renewed MPF Program | Institutions	14
Unpaid principal balance	$ 627	$ 653
Unamortized premiums	10	10
Unamortized discounts	(5)	(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	$ 627	653
Single Family [Member] | Fixed rate medium-term mortgage loans [Member]
Mortgage Loans on Real Estate [Line Items]
Unpaid principal balance	75	100
Single Family [Member] | Fixed rate long-term mortgage loans [Member]
Mortgage Loans on Real Estate [Line Items]
Unpaid principal balance	$ 552	$ 553

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Allowance for Credit Losses (Narrative) (Details) $ in Millions	1 Months Ended	6 Months Ended
	Jul. 31, 2016 Institutions	Jun. 30, 2016 USD ($) Institutions	Mar. 31, 2016 USD ($)	Dec. 31, 2015 USD ($)	Jun. 30, 2015 USD ($)	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	$ 0	$ 0	$ 1
Nonperforming TDR [Member] | Conventional Mortgage Loan [Member]
Financing Receivable, Allowance for Credit Losses [Line Items]
Troubled Debt Restructuring, Modifications, Recorded Investment		$ 4		$ 3

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Allowance for Credit Losses (Delinquent Mortgage Loans) (Details) - Conventional Mortgage Loan [Member] - USD ($) $ in Millions		Jun. 30, 2016	Dec. 31, 2015
Financing Receivable, Allowance for Credit Losses [Line Items]
Past due	[1]	$ 28	$ 33
Total current loans	[1]	607	625
Total mortgage loans, gross	[1]	635	658
In process of foreclosure, included above	[1],[2]	6	7
Nonaccrual loans	[1]	16	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]	2.51%	2.76%
30 to 59 Days delinquent [Member]
Financing Receivable, Allowance for Credit Losses [Line Items]
Past due	[1]	$ 9	$ 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]	$ 16	$ 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

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Allowance for Credit Losses (Rollforward) (Details) - USD ($) $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 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	0	$ 0
Balance, end of the period	0		0
Conventional Mortgage Loan [Member]
Financing Receivable, Allowance for Credit Losses [Roll Forward]
Balance, beginning of the period	0	0	0	1
(Charge-offs)/recoveries	0	0	0	(1)
Provision for/(reversal of) credit losses on mortgage loans	0	0	0	0
Balance, end of the period	$ 0	$ 0	$ 0	$ 0

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Allowance for Credit Losses (By Impairment Methodology) (Details) - USD ($) $ in Millions		Jun. 30, 2016	Mar. 31, 2016	Dec. 31, 2015	Jun. 30, 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
Collectively Evaluated for Impairment, Allowance for credit losses		0		0
Total Allowance for Credit Losses		0	$ 0	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.

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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		6 Months Ended
	Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015	Dec. 31, 2015
Impaired Financing Receivable, Recorded Investment [Abstract]
Impaired Financing Receivable, with No Related Allowance, Recorded Investment	$ 12		$ 12		$ 13
Impaired Financing Receivable, with Related Allowance, Recorded Investment	0		0		1
Impaired Financing Receivable, Recorded Investment	12		12		14
Impaired Financing Receivable, Unpaid Principal Balance [Abstract]
Impaired Financing Receivable, with No Related Allowance, Unpaid Principal Balance	12		12		13
Impaired Financing Receivable, with Related Allowance, Unpaid Principal Balance	0		0		1
Impaired Financing Receivable, Unpaid Principal Balance	12		12		14
Impaired Financing Receivable, Related Allowance	0		0		$ 0
Impaired Financing Receivable, Average Recorded Investment [Abstract]
Impaired Financing Receivable, with No Related Allowance, Average Recorded Investment	12	$ 15	12	$ 14
Impaired Financing Receivable, with Related Allowance, Average Recorded Investment	0	0	1	2
Impaired Financing Receivable, Average Recorded Investment	$ 12	$ 15	$ 13	$ 16

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Deposits (Details) - USD ($) $ in Millions	Jun. 30, 2016	Dec. 31, 2015
Deposits [Line Items]
Interest-bearing Deposit Liabilities, Domestic	$ 218	$ 124
Noninterest-bearing Deposits	1	3
Deposits	219	127
Adjustable rate [Member]
Deposits [Line Items]
Interest-bearing Deposit, Demand and Overnight	$ 218	$ 124
Weighted Average Rate Domestic Deposit	0.01%	0.01%

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Consolidated Obligations Narrative (Details) - USD ($) $ in Millions	Jun. 30, 2016	Dec. 31, 2015
Schedule of Short-term and Long-term Debt [Line Items]
Consolidated Obligations, Bonds, Par	$ 50,787	$ 51,692
Total consolidated obligations, par	92,757	79,355
Derivative, Notional Amount	76,086	79,789
Callable [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Consolidated Obligations, Bonds, Par	5,965	8,005
Consolidated obligation bonds [Member] | Callable [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Derivative, Notional Amount	$ 2,875	$ 4,835

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Consolidated Obligations (Redemption Terms) (Details) - USD ($) $ in Millions	Jun. 30, 2016	Dec. 31, 2015
Schedule of Short-term and Long-term Debt [Line Items]
Consolidated Obligations, Bonds, Par	$ 50,787	$ 51,692
Consolidated Obligations, Bonds	$ 50,924	$ 51,827
Weighted Average Interest Rate, Maturing In Next Twelve Rolling Months	1.04%	1.03%
Weighted Average Interest Rate, Maturing In Rolling Year Two	1.13%	0.91%
Weighted Average Interest Rate, Maturing In Rolling Year Three	1.34%	1.28%
Weighted Average Interest Rate, Maturing In Rolling Year Four	1.64%	1.44%
Weighted Average Interest Rate, Maturing In Rolling Year Five	1.66%	1.67%
Weighted Average Interest Rate, Maturing After Rolling Year Five	2.39%	2.43%
Consolidated obligation bonds [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Within 1 year	$ 35,797	$ 29,114
After 1 year through 2 years	8,135	11,264
After 2 years through 3 years	2,204	5,162
After 3 years through 4 years	1,120	1,430
After 4 years through 5 years	1,545	1,740
After 5 years	1,986	2,982
Unamortized premiums	18	27
Unamortized discounts	(12)	(17)
Valuation adjustments for hedging activities	126	142
Fair value option valuation adjustments	$ 5	$ (17)
Total par amount, Weighted Average Interest Rate	1.15%	1.14%

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Consolidated Obligations (Consolidated Obligation Bonds Noncallable and Callable) (Details) - USD ($) $ in Millions	Jun. 30, 2016	Dec. 31, 2015
Schedule of Short-term and Long-term Debt [Line Items]
Consolidated Obligations, Bonds, Par	$ 50,787	$ 51,692
Non-callable [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Consolidated Obligations, Bonds, Par	44,822	43,687
Callable [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Consolidated Obligations, Bonds, Par	$ 5,965	$ 8,005

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Consolidated Obligations (Consolidated Obligation Bonds by Earlier of Contractual Maturity or Next Call Date) (Details) - USD ($) $ in Millions	Jun. 30, 2016	Dec. 31, 2015
Schedule of Short-term and Long-term Debt [Line Items]
Consolidated Obligations, Bonds, Par	$ 50,787	$ 51,692
Consolidated obligation bonds [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Within 1 year	35,797	29,114
After 1 year through 2 years	8,135	11,264
After 2 years through 3 years	2,204	5,162
After 3 years through 4 years	1,120	1,430
After 4 years through 5 years	1,545	1,740
After 5 years	1,986	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	40,752	36,469
After 1 year through 2 years	8,075	10,914
After 2 years through 3 years	1,314	3,282
After 3 years through 4 years	420	455
After 4 years through 5 years	135	395
After 5 years	$ 91	$ 177

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Consolidated Obligations (Consolidated Obligation Discount Notes) (Details) - USD ($) $ in Millions		Jun. 30, 2016	Dec. 31, 2015
Short-term Debt [Line Items]
Consolidated Obligations, Discount Notes, Par		$ 41,970	$ 27,663
Consolidated Obligations, Discount Notes		$ 41,930	$ 27,647
Par amount, Weighted Average Interest Rate	[1]	0.41%	0.25%
Consolidated Obligation, Discount Notes [Member]
Short-term Debt [Line Items]
Unamortized discounts		$ (40)	$ (16)

[1] Represents yield to maturity excluding concession fees.

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Consolidated Obligations (Interest Rate Payment Terms) (Details) - USD ($) $ in Millions	Jun. 30, 2016	Dec. 31, 2015
Schedule of Short-term and Long-term Debt [Line Items]
Consolidated Obligations, Bonds, Par	$ 50,787	$ 51,692
Consolidated Obligations, Discount Notes, Par	41,970	27,663
Total consolidated obligations, par	92,757	79,355
Fixed rate [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Consolidated Obligations, Bonds, Par	22,818	28,942
Adjustable rate [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Consolidated Obligations, Bonds, Par	26,764	20,815
Step-up [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Consolidated Obligations, Bonds, Par	485	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	70	175
Range Bonds [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Consolidated Obligations, Bonds, Par	$ 100	$ 100

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Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI Balance, beginning of period			$ 15
Net change in pension and postretirement benefits	$ 0	$ 1	1	$ 1
Non-credit related OTTI loss, Total	1	(9)	(7)	(11)
Net change in fair value	50	(2)	3	18
Accretion of Noncredit Related OTTI Loss	1	2	2	4
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract]
AOCI Balance, end of period	14		14
Accumulated Other-than-Temporary Impairment [Member] | Available-for-sale Securities [Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI Balance, beginning of period	(12)	106	43	88
Non-credit-related OTTI loss, Available-for-sale Securities	(2)	(10)	(12)	(13)
Net change in fair value	50	(2)	3	18
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract]
Non-credit-related OTTI to credit-related OTTI, AFS	3	1	5	2
Net current period other comprehensive income/(loss)	51	(11)	(4)	7
AOCI Balance, end of period	39	95	39	95
Accumulated Other-than-Temporary Impairment [Member] | Held-to-maturity Securities [Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI Balance, beginning of period	(13)	(18)	(14)	(20)
Non-credit-related OTTI loss, Held-to-maturity Securities	0	0	0	0
Accretion of Noncredit Related OTTI Loss	1	2	2	4
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract]
Non-credit-related OTTI to credit-related OTTI, HTM	0	0	0	0
Net current period other comprehensive income/(loss)	1	2	2	4
AOCI Balance, end of period	(12)	(16)	(12)	(16)
Accumulated Defined Benefit Plans Adjustment [Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI Balance, beginning of period	(13)	(12)	(14)	(12)
Net change in pension and postretirement benefits		1	1	1
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract]
Net current period other comprehensive income/(loss)	0	1	1	1
AOCI Balance, end of period	(13)	(11)	(13)	(11)
Accumulated Other Comprehensive Income/(Loss) [Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI Balance, beginning of period	(38)	76	15	56
Net change in pension and postretirement benefits		1	1	1
Non-credit related OTTI loss, Total	(2)	(10)	(12)	(13)
Net change in fair value	50	(2)	3	18
Accretion of Noncredit Related OTTI Loss	1	2	2	4
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract]
Non-credit-related OTTI to credit-related OTTI, AFS	3	1	5	2
Net current period other comprehensive income/(loss)	52	(8)	(1)	12
AOCI Balance, end of period	$ 14	$ 68	$ 14	$ 68

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Capital (Capital Requirements) (Details) - USD ($) $ in Millions	6 Months Ended	12 Months Ended
	Jun. 30, 2016	Dec. 31, 2015
Capital [Line Items]
Risk-Based Capital, Required	$ 2,468	$ 2,684
Risk-Based Capital, Actual	5,834	5,369
Regulatory Capital, Required	3,977	3,428
Regulatory Capital, Actual	$ 5,834	$ 5,369
Regulatory Capital Ratio, Required	4.00%	4.00%
Regulatory Capital Ratio, Actual	5.87%	6.26%
Leverage Capital, Required	$ 4,972	$ 4,285
Leverage Capital, Actual	$ 8,751	$ 8,054
Leverage ratio - Required	5.00%	5.00%
Leverage Ratio, Actual	8.80%	9.40%
Multiplier for Determining Permanent Capital in Leverage Capital Calculation	1.5

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Capital (Mandatorily Redeemable Capital Stock) (Details) $ in Millions		3 Months Ended		6 Months Ended
		Jun. 30, 2016 USD ($)	Jun. 30, 2015 USD ($)	Jun. 30, 2016 USD ($) Institutions	Jun. 30, 2015 USD ($) Institutions
Capital [Line Items]
Financial Instruments Subject to Mandatory Redemption, Number of Stockholders | Institutions				8	9
Interest Expense on Mandatorily Redeemable Capital Stock	[1]	$ 12	$ 38	$ 22	$ 53
Mandatorily Redeemable Capital Stock [Roll Forward]
Balance at the beginning of the period		486	383	488	719
Reclassified from/(to) capital during the period		0	4	52	12
Redemption of mandatorily redeemable capital stock		0	(28)	0	(34)
Repurchase of excess mandatorily redeemable capital stock		0	(217)	(54)	(555)
Balance at the end of the period		$ 486	$ 142	$ 486	$ 142

[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

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Capital (By Redemption Period) (Details) - USD ($) $ in Millions		Jun. 30, 2016	Mar. 31, 2016	Dec. 31, 2015	Jun. 30, 2015	Mar. 31, 2015	Dec. 31, 2014
Financial Instruments Subject to Mandatory Redemption, Settlement Terms, Share Value, Amount [Abstract]
Within 1 year		$ 0		$ 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]	105		24
Total		$ 486	$ 486	$ 488	$ 142	$ 383	$ 719

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

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Capital (Retained Earnings and Dividend Policy) (Details) - USD ($) $ in Millions			3 Months Ended		6 Months Ended
		Aug. 11, 2016	Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015	Jul. 28, 2016	Mar. 31, 2016	Dec. 31, 2015	Mar. 31, 2015	Dec. 31, 2014
Capital [Line Items]
Balance			$ 5,362	$ 5,472	$ 5,362	$ 5,472			$ 4,896		$ 5,693
Restriction on Dividend Payment, Ratio of Market Value of Capital to Par Value of Capital Less than 70%			70.00%		70.00%
Ratio of Market Value of Capital to Par Value of Capital Stock			198.00%		198.00%
Dividends, Cash, Annualized Rate			8.90%	22.65%	8.46%	14.58%
Payments of Dividends			$ 61	$ 220	$ 116	$ 294
Mandatorily redeemable capital stock	[1]		12	38	22	53
Restricted Retained Earnings Activity [Roll Forward]
Balance at beginning of the period					2,018
Net Income/(Loss)			63	61	294	535
Cash dividends paid on capital stock					(94)	(241)
Balance at end of the period			2,067		2,067
Retained Earnings, Unrestricted [Member]
Capital [Line Items]
Balance			761	483	761	483		$ 760	610	$ 624	294
Restricted Retained Earnings Activity [Roll Forward]
Net Income/(Loss)			50	41	245	430
Cash dividends paid on capital stock			(49)	(182)	(94)	(241)
Restricted [Member]
Capital [Line Items]
Balance			2,067	2,170	2,067	2,170			2,018		2,065
Restricted Retained Earnings Activity [Roll Forward]
Balance at beginning of the period			2,054	2,150	2,018	2,065
Net Income/(Loss)			13	20	49	105
Cash dividends paid on capital stock
Balance at end of the period			2,067	2,170	2,067	2,170
Retained Earnings [Member]
Capital [Line Items]
Balance			2,828	2,653	2,828	2,653		$ 2,814	$ 2,628	$ 2,774	$ 2,359
Restricted Retained Earnings Activity [Roll Forward]
Net Income/(Loss)			63	61	294	535
Cash dividends paid on capital stock			(49)	(182)	(94)	(241)
Retained Earnings, Restricted, Valuation Adjustments [Member]
Restricted Retained Earnings Activity [Roll Forward]
Balance at beginning of the period			0	25	10	35
Net Income/(Loss)			0	8	(10)	(2)
Cash dividends paid on capital stock
Balance at end of the period			0	33	0	33
Retained Earnings, Restricted, Buildup [Member]
Restricted Retained Earnings Activity [Roll Forward]
Balance at beginning of the period			1,650	1,800	1,650	1,800
Net Income/(Loss)			0	0	0	0
Cash dividends paid on capital stock
Balance at end of the period			1,650	1,800	1,650	1,800
Retained Earnings, Restricted, Joint Capital Enhancement Agreement [Member]
Restricted Retained Earnings Activity [Roll Forward]
Balance at beginning of the period			404	325	358	230
Net Income/(Loss)			13	12	59	107
Cash dividends paid on capital stock
Balance at end of the period			$ 417	337	$ 417	337
Minimum [Member]
Capital [Line Items]
Limit on Dividend Payment, Ratio of Market Value of Capital to Par Value of Capital			70.00%		70.00%
Maximum [Member]
Capital [Line Items]
Limit on Dividend Payment, Ratio of Market Value of Capital to Par Value of Capital			100.00%		100.00%
Subsequent Event [Member]
Subsequent Events [Abstract]
Dividends, Cash Declared, Annualized Rate							9.17%
Interest and Dividends Payable, Current							$ 63
Dividends Payable, Amount							52
Interest Payable, Current							$ 11
Dividends Payable, Date to be Paid		Aug. 15, 2016
Special Dividend in Cash [Member]
Capital [Line Items]
Payments of Dividends				145		$ 145
Special Dividend in Cash [Member] | Retained Earnings, Unrestricted [Member]
Capital [Line Items]
Mandatorily redeemable capital stock				25
Restricted Retained Earnings Activity [Roll Forward]
Cash dividends paid on capital stock				$ (120)

[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

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Capital (Excess Capital Stock) (Details) - USD ($) $ / shares in Units, $ in Millions	3 Months Ended				6 Months Ended
	Jun. 30, 2016	Mar. 31, 2016	Jun. 30, 2015	Mar. 31, 2015	Jun. 30, 2016	Jun. 30, 2015	Jul. 28, 2016	Dec. 31, 2015
Capital [Line Items]
Amount of Excess Stock and Financial Instruments Subject to Mandatory Redemption, Repurchased During Period	$ 136	$ 252	$ 847	$ 750
Surplus Capital Stock Threshold Percentage, Amount Over Minimum Capital Stock Requirement	115.00%				115.00%
Financial Instruments Subject to Mandatory Redemption, Redemption	$ 0		$ 28		$ 0	$ 34
Common stock, par value	$ 100				$ 100
Excess Capital	$ 366				$ 366			$ 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	0.37%				0.37%
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%				1.00%

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Capital (Concentration) (Details) - Capital Stock Ownership By Third Party [Member] - USD ($) $ in Millions	Jun. 30, 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	13.00%	15.00%

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Segment Information (Details) $ in Millions		3 Months Ended		6 Months Ended
		Jun. 30, 2016 USD ($)	Jun. 30, 2015 USD ($)	Jun. 30, 2016 USD ($) segment	Jun. 30, 2015 USD ($)	Dec. 31, 2015 USD ($)
Segment Reporting Information [Line Items]
Number of Operating Segments | segment				2
Adjusted Net Interest Income		$ 121	$ 137	$ 243	$ 265
Amortization of Basis Adjustments	[1]	(2)	(5)	(4)	(13)
Income/ (Expense) on Economic Hedges	[2]	(6)	(4)	(15)	(13)
Interest Expense on Mandatorily Redeemable Capital Stock	[3]	12	38	22	53
Net Interest Income After Mortgage Loan Loss Provision		117	108	240	238
Other Income/(Loss)		(9)	(2)	162	430
Other Expense		37	34	73	68
Income Before AHP Assessments		71	72	329	600
OTTI PLRMBS, Total accretion or amortization recognized in interest income		26	22	52	41
Net OTTI loss, credit-related		(4)	(6)	(11)	(8)
Assets		99,430		99,430		$ 85,698
Advances-Related Business [Member]
Segment Reporting Information [Line Items]
Adjusted Net Interest Income		37	47	73	82
Assets		82,958		82,958		69,047
Mortgage-Related Business [Member]
Segment Reporting Information [Line Items]
Adjusted Net Interest Income	[4]	84	$ 90	170	$ 183
Assets		$ 16,472		$ 16,472		$ 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, totaled $26 and $22 for the three months ended June 30, 2016 and 2015; and totaled $52 and $41 for the six months ended June 30, 2016 and 2015, respectively. The mortgage-related business does not include credit-related OTTI losses of $4 and $6 for the three months ended June 30, 2016 and 2015; $11 and $8 for the six months ended June 30, 2016 and 2015, respectively.

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Derivatives and Hedging Activities (Narrative) (Details) - USD ($) $ in Millions	6 Months Ended
	Jun. 30, 2016	Dec. 31, 2015
Derivative [Line Items]
Derivative, Notional Amount	$ 76,086	$ 79,789
Derivative, Net Liability Position, Aggregate Fair Value	54
Collateral Already Posted, Aggregate Fair Value	49
Derivatives With Intermediary Transactions and Offsetting Derivatives [Member]
Derivative [Line Items]
Derivative, Notional Amount	$ 120	$ 132
Maximum [Member]
Derivative [Line Items]
Advances, Maturity Term	30 years

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Derivatives and Hedging Activities (Derivatives in Statement of Condition) (Details) - USD ($) $ in Millions		Jun. 30, 2016	Dec. 31, 2015
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		$ 76,086	$ 79,789
Derivative Asset, Fair Value, Gross Asset		204	256
Derivative Asset, Total collateral and netting adjustments	[1]	(140)	(212)
Derivative Assets as reported on the Statements of Condition		64	44
Derivative Liability, Fair Value, Gross Liability		254	143
Derivative Liability, Total collateral and netting adjustments	[1]	(247)	(137)
Derivative Liabilities as reported on the Statements of Condition		7	6
Cash collateral received and related accrued interest		16	132
Cash collateral posted and related accrued interest		123	57
Designated as Hedging Instrument [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		24,453	27,110
Derivative Asset, Fair Value, Gross Asset		151	192
Derivative Liability, Fair Value, Gross Liability		116	71
Designated as Hedging Instrument [Member] | Interest rate swaps [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		24,453	27,110
Derivative Asset, Fair Value, Gross Asset		151	192
Derivative Liability, Fair Value, Gross Liability		116	71
Not Designated as Hedging Instrument [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		51,633	52,679
Derivative Asset, Fair Value, Gross Asset		53	64
Derivative Liability, Fair Value, Gross Liability		138	72
Not Designated as Hedging Instrument [Member] | Interest rate swaps [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		49,389	50,444
Derivative Asset, Fair Value, Gross Asset		52	58
Derivative Liability, Fair Value, Gross Liability		136	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		1	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		14	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 $123 and $57 at June 30, 2016, and December 31, 2015, respectively. Cash collateral received and related accrued interest was $16 and $132 at June 30, 2016, and December 31, 2015, respectively.

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Derivatives and Hedging Activities (Derivatives in Statement of Income) (Details) - USD ($) $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015
Derivative Instruments, Gain (Loss) [Line Items]
Total net gain (loss) related to fair value hedge ineffectiveness	$ 0	$ (3)	$ (4)	$ (10)
Total net gain/(loss) related to derivatives not designated as hedging instruments	(23)	30	(84)	16
Net gain/(loss) on derivatives and hedging activities	(23)	27	(88)	6
Interest rate swaps [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Total net gain (loss) related to fair value hedge ineffectiveness	0	(3)	(4)	(10)
Total net gain/(loss) related to derivatives not designated as hedging instruments	(15)	33	(64)	30
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)	0	(6)	(2)
Net settlements [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Total net gain/(loss) related to derivatives not designated as hedging instruments	(6)	(4)	(15)	(13)
Mortgages [Member] | Mortgage delivery commitments [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Total net gain/(loss) related to derivatives not designated as hedging instruments	$ 1	$ 1	$ 1	$ 1

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Derivatives and Hedging Activities (Derivatives in Statement of Income and Impact on Interest) (Details) - USD ($) $ in Millions		3 Months Ended		6 Months Ended
		Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015
Derivative Instruments, Gain (Loss) [Line Items]
Gain/(Loss) on Derivatives		$ (46)	$ (17)	$ (84)	$ (70)
Gain/(Loss) on Hedged Item		46	14	80	60
Net Fair Value Hedge Ineffectiveness		0	(3)	(4)	(10)
Effect of Derivatives on Net Interest Income	[1]	35	40	70	74
Advances [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gain/(Loss) on Derivatives		(18)	32	(67)	(6)
Gain/(Loss) on Hedged Item		17	(32)	66	6
Net Fair Value Hedge Ineffectiveness		(1)	0	(1)	0
Effect of Derivatives on Net Interest Income	[1]	(15)	(27)	(33)	(55)
Consolidated obligation bonds [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gain/(Loss) on Derivatives		(28)	(49)	(17)	(64)
Gain/(Loss) on Hedged Item		29	46	14	54
Net Fair Value Hedge Ineffectiveness		1	(3)	(3)	(10)
Effect of Derivatives on Net Interest Income	[1]	$ 50	$ 67	$ 103	$ 129

[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.

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Derivatives and Hedging Activities (Offsetting of Derivative Assets and Derivative Liabilities) (Details) - USD ($) $ in Millions		Jun. 30, 2016	Dec. 31, 2015
Derivative [Line Items]
Derivative Asset, Fair Value, Gross Recognized Amount		$ 204	$ 256
Derivative Asset, Total collateral and netting adjustments	[1]	(140)	(212)
Derivative Assets as reported on the Statements of Condition		64	44
Derivative Asset, Fair Value, Net Unsecured Amount		61	33
Derivative Liability, Fair Value, Gross Recognized Amount		254	143
Derivative Liability, Total collateral and netting adjustments	[1]	(247)	(137)
Derivative Liabilities as reported on the Statements of Condition		7	6
Derivative Liability, Fair Value, Net Unsecured Amount		7	6
Uncleared derivatives [Member]
Derivative [Line Items]
Derivative Asset, Fair Value, Gross Recognized Amount		79	166
Derivative Asset, Total collateral and netting adjustments		(71)	(149)
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment		8	17
Derivative Asset, Collateral Received or Pledged not offset, Can Be Sold or Repledged		3	11
Derivative Asset, Fair Value, Net Unsecured Amount		5	6
Derivative Liability, Fair Value, Gross Recognized Amount		111	93
Derivative Liability, Total collateral and netting adjustments		(104)	(87)
Derivative Liability, Net Fair Value Amount, After Offsetting Adjustment		7	6
Derivative Liability, Collateral Received or Pledged not offset, Can be sold or repledged		0	0
Derivative Liability, Fair Value, Net Unsecured Amount		7	6
Cleared derivatives [Member]
Derivative [Line Items]
Derivative Asset, Fair Value, Gross Recognized Amount		125	90
Derivative Asset, Total collateral and netting adjustments		(69)	(63)
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment		56	27
Derivative Asset, Fair Value, Net Unsecured Amount		56	27
Derivative Liability, Fair Value, Gross Recognized Amount		143	50
Derivative Liability, Total collateral and netting adjustments		(143)	(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 $123 and $57 at June 30, 2016, and December 31, 2015, respectively. Cash collateral received and related accrued interest was $16 and $132 at June 30, 2016, and December 31, 2015, respectively.

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Fair Value (Carrying Value and Fair Value of Financial Instruments) (Details) - USD ($) $ in Millions		Jun. 30, 2016		Mar. 31, 2016	Dec. 31, 2015		Jun. 30, 2015	Mar. 31, 2015	Dec. 31, 2014
Assets
Cash and due from banks		$ 15			$ 1,637
Interest-bearing deposits		575			0
Securities purchased under agreements to resell		13,000			10,000
Federal funds sold		5,557			4,626
Trading securities	[1]	1,409			1,433
Available-for-sale (AFS) securities	[1]	4,864			5,414
HTM securities, Carrying Value	[1],[2]	11,173			10,802
HTM Securities, Fair Value		11,320			10,821
Accrued interest receivable		55			56
Derivative assets, Net		64			44
Derivative Asset, Fair Value, Gross Asset		204			256
Derivative Asset, Netting adjustments	[3]	(140)			(212)
Liabilities
Total Consolidated Obligations		92,854			79,474
Mandatorily redeemable capital stock		486		$ 486	488		$ 142	$ 383	$ 719
Accrued interest payable		78			80
Derivative liabilities, Net		7			6
Derivative Liability, Fair Value, Gross Liability		254			143
Derivative Liability, Netting adjustments	[3]	(247)			(137)
Carrying (Reported) Amount, Fair Value Disclosure [Member]
Assets
Cash and due from banks		15			1,637
Interest-bearing deposits		575
Securities purchased under agreements to resell		13,000			10,000
Federal funds sold		5,557			4,626
Trading securities		1,409			1,433
Available-for-sale (AFS) securities		4,864			5,414
HTM securities, Carrying Value		11,173			10,802
Advances		61,963			50,919
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans		632			655
Accrued interest receivable		55			56
Derivative assets, Net	[4]	64			44
Other Assets	[5]	11			10
Liabilities
Deposits		219			127
Total Consolidated Obligations		92,854			79,474
Mandatorily redeemable capital stock		486			488
Accrued interest payable		78			80
Derivative liabilities, Net	[4]	7			6
Estimate of Fair Value, Fair Value Disclosure [Member]
Assets
Cash and due from banks		15			1,637
Interest-bearing deposits		575
Securities purchased under agreements to resell		13,000			10,000
Federal funds sold		5,557			4,626
Trading securities		1,409			1,433
Available-for-sale (AFS) securities		4,864			5,414
HTM Securities, Fair Value		11,320			10,821
Advances		61,956			50,844
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans		671			694
Accrued interest receivable		55			56
Derivative assets, Net	[4]	64			44
Other Assets	[5]	11			10
Liabilities
Deposits		219			127
Total Consolidated Obligations		92,952			79,413
Mandatorily redeemable capital stock		486			488
Accrued interest payable		78			80
Derivative liabilities, Net	[4]	7			6
Fair Value, Inputs, Level 1 [Member]
Assets
Cash and due from banks		15			1,637
Interest-bearing deposits		575
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]	11			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		13,000			10,000
Federal funds sold		5,557			4,626
Trading securities		1,409			1,433
Available-for-sale (AFS) securities		0			0
HTM Securities, Fair Value		9,801			9,118
Advances		61,956			50,844
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans		671			694
Accrued interest receivable		55			56
Derivative Asset, Fair Value, Gross Asset	[4]	204			256
Derivative Asset, Netting adjustments	[4]	(140)			(212)
Other Assets	[5]	0			0
Liabilities
Deposits		219			127
Total Consolidated Obligations		92,952			79,413
Mandatorily redeemable capital stock		0			0
Accrued interest payable		78			80
Derivative Liability, Fair Value, Gross Liability	[4]	254			143
Derivative Liability, Netting adjustments	[4]	(247)			(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		4,864			5,414
HTM Securities, Fair Value		1,519			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		41,930			27,647
Consolidated Obligation, Discount Notes [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Liabilities
Discount notes		41,938			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		41,938			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		27			18
Standby Letters of Credit [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Other
Other commitments		27			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		27			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		0	[6]		0	[5]
Consolidated Obligations, Bonds [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Other
Other commitments		1	[6]		1	[5]
Consolidated Obligations, Bonds [Member] | Fair Value, Inputs, Level 1 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Other
Other commitments		0	[6]		0	[5]
Consolidated Obligations, Bonds [Member] | Fair Value, Inputs, Level 2 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Other
Other commitments		1	[6]		1	[5]
Consolidated Obligations, Bonds [Member] | Fair Value, Inputs, Level 3 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Other
Other commitments		0	[6]		0	[5]
Consolidated obligation bonds [Member]
Liabilities
Consolidated obligation bonds		2,925			4,233
Consolidated obligation bonds [Member] | Carrying (Reported) Amount, Fair Value Disclosure [Member]
Liabilities
Consolidated obligation bonds		50,924			51,827
Consolidated obligation bonds [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Liabilities
Consolidated obligation bonds		51,014			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		51,014			51,773
Consolidated obligation bonds [Member] | Fair Value, Inputs, Level 3 [Member]
Liabilities
Consolidated obligation bonds		$ 0			$ 0

[1] At June 30, 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 $123 and $57 at June 30, 2016, and December 31, 2015, respectively. Cash collateral received and related accrued interest was $16 and $132 at June 30, 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)	Jun. 30, 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		Jun. 30, 2016	Dec. 31, 2015
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	[1]	$ 1,409	$ 1,433
Available-for-sale (AFS) securities	[1]	4,864	5,414
Advances, Fair Value Disclosure		3,752	3,677
Derivative Asset, Netting adjustments	[2]	(140)	(212)
Derivative assets, Net		64	44
Derivative Liability, Netting adjustments	[2]	(247)	(137)
Derivative liabilities, Net		7	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]	11	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		1,409	1,433
Available-for-sale (AFS) securities		0	0
Derivative Asset, Netting adjustments	[4]	(140)	(212)
Other Assets	[3]	0	0
Derivative Liability, Netting adjustments	[4]	(247)	(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		4,864	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]	3,752	3,677
Derivative Asset, Netting adjustments	[6]	(140)	(212)
Derivative Liability, Netting adjustments	[6]	(247)	(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		11	10
Total fair value measurements – Assets		11	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		1,409	1,433
Available-for-sale (AFS) securities		0	0
Advances, Fair Value Disclosure	[5]	3,752	3,677
Other Assets		0	0
Total fair value measurements – Assets		5,365	5,366
Total recurring fair value measurements – Liabilities		3,179	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		4,864	5,414
Advances, Fair Value Disclosure	[5]	0	0
Other Assets		0	0
Total fair value measurements – Assets		4,864	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	[7]		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	[7]		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	[7]		1
Mortgage loans held for portfolio	[7]	4	5
FFCB bonds [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		1,400	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		1,400	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		2,925	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		51,014	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]	2,925	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]	2,925	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		1,409	1,433
Available-for-sale (AFS) securities		4,864	5,414
Derivative assets, Net	[4]	64	44
Other Assets	[3]	11	10
Derivative liabilities, Net	[4]	7	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		1,409	1,433
Available-for-sale (AFS) securities		4,864	5,414
Other Assets		11	10
Total fair value measurements – Assets		10,100	10,578
Total recurring fair value measurements – Liabilities		2,932	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	[7]		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		1,400	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		51,014	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		4,864	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		4,864	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]	(140)	(212)
Derivative Liability, Netting adjustments	[6]	(247)	(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		204	256
Derivative liabilities, Net		254	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		64	44
Derivative liabilities, Net		$ 7	$ 6

[1] At June 30, 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 $123 and $57 at June 30, 2016, and December 31, 2015, respectively. Cash collateral received and related accrued interest was $16 and $132 at June 30, 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 June 30, 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 six months ended June 30, 2016, and the year ended December 31, 2015

[8] Represents consolidated obligation bonds recorded under the fair value option at June 30, 2016, and December 31, 2015

XML

Fair Value (Level 3) (Details) - USD ($) $ in Millions		3 Months Ended		6 Months Ended
		Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Net OTTI loss, credit-related	[1]	$ (4)	$ (6)	$ (11)	$ (8)
Net amount of OTTI loss reclassified to/(from) other income/(loss)		1	(9)	(7)	(11)
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		5,145	6,188	5,414	6,371
Interest Income		26	22	52	41
Net OTTI loss, credit-related		(4)	(6)	(11)	(8)
Unrealized gain/(loss) of other-than temporarily impaired securities included in AOCI		50	(2)	3	18
Net amount of OTTI loss reclassified to/(from) other income/(loss)		1	(9)	(7)	(11)
Settlements		(354)	(243)	(587)	(465)
Transfers of HTM securities to AFS securities				0	4
Balance, end of the period		4,864	5,950	4,864	5,950
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		$ 22	$ 16	$ 41	$ 33

[1] For the three months ended June 30, 2016 and 2015, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to April 1, 2016 and 2015, respectively. For the six months ended June 30, 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			6 Months Ended
	Jun. 30, 2016		Jun. 30, 2015	Jun. 30, 2016		Jun. 30, 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	$ 13		$ (26)	40		$ (33)
Balance, end of the period	3,752			3,752
Advances [Member]
Advances and Consolidated Obligation Bonds, Fair Value Option [Roll Forward]
Balance, beginning of the period	3,722		4,978	3,677	[1]	5,137
New transactions elected for fair value option	262		200	431		446
Maturities and terminations	(248)		(164)	(419)		(588)
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option	16		(36)	63		(16)
Change in accrued interest	0		0	0		(1)
Balance, end of the period	3,752	[1]	4,978	3,752	[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	3		(10)	23		17
Balance, beginning of the period	3,613		6,375	4,233		6,717
New transactions elected for fair value option	205		1,150	450		1,805
Maturities and terminations	(895)		(1,308)	(1,780)		(2,333)
Change in accrued interest	(1)		(4)	(1)		(3)
Balance, end of the period	$ 2,925		$ 6,203	$ 2,925		$ 6,203

[1] At June 30, 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		Jun. 30, 2016		Mar. 31, 2016	Dec. 31, 2015		Jun. 30, 2015	Mar. 31, 2015	Dec. 31, 2014
Fair Value, Option, Quantitative Disclosures [Line Items]
Fair Value of Advances Under the Fair Value Option		$ 3,752			$ 3,677
Fair Value Over/(Under) Principal Balance		101			38
Advances [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Principal Balance	[1]	3,651			3,639
Fair Value of Advances Under the Fair Value Option		3,752	[1]	$ 3,722	3,677	[1]	$ 4,978	$ 4,978	$ 5,137
Fair Value Over/(Under) Principal Balance	[1]	101			38
Consolidated obligation bonds [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Principal Balance		2,920			4,250
Fair Value of Bonds Under the Fair Value Option		2,925		$ 3,613	4,233		$ 6,203	$ 6,375	$ 6,717
Fair Value Over/(Under) Principal Balance		$ 5			$ (17)

[1] At June 30, 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		6 Months Ended
		Jun. 30, 2016	Dec. 31, 2015
Loss Contingencies [Line Items]
Total consolidated obligations, par		$ 92,757	$ 79,355
Standby Letters Of Credit, Final Expiration		2031
Other Liabilities		$ 238	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		$ 963,810	905,202
Standby letters of credit outstanding [Member]
Loss Contingencies [Line Items]
Expire Within One Year		11,575	9,072
Expire After One Year		4,367	3,237
Total		15,942	12,309
Other Liabilities		27	18
Commitments to fund advances [Member]
Loss Contingencies [Line Items]
Expire Within One Year	[1]	27	5
Expire After One Year	[1]	1	5
Total	[1]	28	10
Commitments to Issue consolidated obligations, discount notes [Member]
Loss Contingencies [Line Items]
Expire Within One Year	[2]	748	300
Expire After One Year	[2]	0	0
Total	[2]	748	300
Commitments to issue consolidated obligation bonds, par
Loss Contingencies [Line Items]
Expire Within One Year	[3]	120	110
Expire After One Year	[3]	0	0
Total	[3]	120	110
Interest rate swaps [Member] | Commitments to fund advances [Member]
Loss Contingencies [Line Items]
Total		20	0
Interest rate swaps [Member] | Commitments to Issue consolidated obligations, discount notes [Member]
Loss Contingencies [Line Items]
Total		0	0
Interest rate swaps [Member] | Commitments to issue consolidated obligation bonds, par
Loss Contingencies [Line Items]
Total		$ 0	110
Minimum [Member]
Loss Contingencies [Line Items]
Standby Letters Of Credit, Original Terms		14 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		$ 92,757	79,355
Mortgages [Member] | Commitments to purchase mortgage loans [Member]
Loss Contingencies [Line Items]
Expire Within One Year		14	5
Expire After One Year		0	0
Total		$ 14	$ 5

[1] At June 30, 2016, $20 of the commitments to fund additional advances were hedged with associated interest rate swaps.

[2] At June 30, 2016, and at December 31, 2015, none of the commitments to issue consolidated obligation discount notes were hedged with associated interest rate swaps.

[3] At June 30, 2016, none of the commitments to issue consolidated obligation bonds were hedged with associated interest rate swaps. At December 31, 2015, all of the commitments to issue consolidated obligation bonds were hedged with associated interest rate swaps.

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Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks (Details) - USD ($) $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015	Dec. 31, 2015
Related Party Transaction [Line Items]
Proceeds from Other FHLBank Borrowings			$ 1,025	$ 4,487
Repayments of Other FHLBank Borrowings			(1,025)	(4,487)
Assets:
Advances	$ 61,963		61,963		$ 50,919
Mortgage loans held for portfolio	632		632		655
Accrued interest receivable	55		55		56
Liabilities:
Deposits	219		219		127
Capital [Abstract]
Capital stock	2,520		2,520		2,253
Interest Income:
Advances	117	$ 73	221	140
Mortgage loans held for portfolio	7	8	15	17
Transaction with Member Officer or Director [Member]
Assets:
Advances	3,333		3,333		3,297
Mortgage loans held for portfolio	20		20		24
Accrued interest receivable	4		4		5
Liabilities:
Deposits	3		3		4
Capital [Abstract]
Capital stock	132		132		$ 119
Interest Income:
Advances	8	9	17	18
Mortgage loans held for portfolio	$ 1	$ 1	$ 1	1
Minimum [Member]
Related Party Transaction [Line Items]
Transactions with Certain Members and Nonmembers, Voting Interest, Percent	10.00%		10.00%
FHLBanks [Member]
Related Party Transaction [Line Items]
Payments to Extend Loans to Other FHLBanks			$ (205)	(435)
Proceeds from Collection of Loans to Other FHLBanks			$ 205	$ 435

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Subsequent Events Narrative (Details) - USD ($) $ in Millions	1 Months Ended	3 Months Ended		6 Months Ended
	Jul. 31, 2016	Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015
Subsequent Event [Line Items]
Gain on PLRMBS litigation settlements, net		$ 0	$ 0	$ 211	$ 459
Subsequent Event [Member]
Subsequent Event [Line Items]
Gain on PLRMBS litigation settlements, net	$ 240