10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

____________________________________

FORM 10-Q

____________________________________

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

For the quarterly period ended March 31, 2017

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, a smaller reporting company, or an emerging growth company. See definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth 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
		Emerging growth company	o

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

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

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

	Shares Outstanding as of April 30, 2017
Class B Stock, par value $100	28,664,054

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	54
	Quarterly Overview	55
	Financial Highlights	57
	Results of Operations	58
	Financial Condition	65
	Liquidity and Capital Resources	75
	Risk Management	77
	Critical Accounting Policies and Estimates	95
	Recently Issued Accounting Standards and Interpretations	96
	Recent Developments	96
	Off-Balance Sheet Arrangements and Other Commitments	96
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	97
Item 4.	Controls and Procedures	102
PART II.	OTHER INFORMATION
Item 1.	Legal Proceedings	103
Item 1A.	Risk Factors	103
Item 6.	Exhibits	104
Signatures		105

PART I. FINANCIAL INFORMATION

ITEM 1.FINANCIAL STATEMENTS

Federal Home Loan Bank of San Francisco

Statements of Condition

(Unaudited)

(In millions-except par value)	March 31, 2017		December 31, 2016
Assets:
Cash and due from banks	$	41	$	2
Interest-bearing deposits	615		590
Securities purchased under agreements to resell	11,500		15,500
Federal funds sold	10,092		4,214
Trading securities(a)	1,466		2,066
Available-for-sale (AFS) securities(a)	4,294		4,489
Held-to-maturity (HTM) securities (fair values were $13,054 and $14,141, respectively)(a)	13,016		14,127
Advances (includes $3,816 and $3,719 at fair value under the fair value option, respectively)	49,052		49,845
Mortgage loans held for portfolio, net of allowance for credit losses of $0 and $0, respectively	966		826
Accrued interest receivable	64		79
Premises, software, and equipment, net	31		33
Derivative assets, net	65		66
Other assets	88		104
Total Assets	$	91,290	$	91,941
Liabilities:
Deposits	$	171	$	169
Consolidated obligations:
Bonds (includes $2,236 and $1,507 at fair value under the fair value option, respectively)	49,493		50,224
Discount notes	35,028		33,506
Total consolidated obligations	84,521		83,730
Mandatorily redeemable capital stock	403		457
Borrowings from other Federal Home Loan Banks (FHLBanks)	—		1,345
Accrued interest payable	92		67
Affordable Housing Program (AHP) payable	217		205
Derivative liabilities, net	1		2
Other liabilities	312		429
Total Liabilities	85,717		86,404
Commitments and Contingencies (Note 17)
Capital:
Capital stock—Class B—Putable ($100 par value) issued and outstanding:
23 shares and 24 shares, respectively	2,280		2,370
Unrestricted retained earnings	850		888
Restricted retained earnings	2,300		2,168
Total Retained Earnings	3,150		3,056
Accumulated other comprehensive income/(loss) (AOCI)	143		111
Total Capital	5,573		5,537
Total Liabilities and Capital	$	91,290	$	91,941

(a) At March 31, 2017, and December 31, 2016, none of these securities were pledged as collateral that may be repledged.

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

3

Federal Home Loan Bank of San Francisco

Statements of Income

(Unaudited)

	Three Months Ended March 31,
(In millions)	2017			2016
Interest Income:
Advances	$	153		$	104
Prepayment fees on advances, net	—			2
Interest-bearing deposits	1			—
Securities purchased under agreements to resell	1			2
Federal funds sold	19			5
Trading securities	4			2
AFS securities	61			69
HTM securities	67			64
Mortgage loans held for portfolio	9			8
Total Interest Income	315			256
Interest Expense:
Consolidated obligations:
Bonds	116			104
Discount notes	54			19
Mandatorily redeemable capital stock	11			10
Total Interest Expense	181			133
Net Interest Income	134			123
Provision for/(reversal of) credit losses on mortgage loans	—			—
Net Interest Income After Mortgage Loan Loss Provision	134			123
Other Income/(Loss):
Total other-than-temporary impairment (OTTI) loss	(1		)	(15		)
Net amount of OTTI loss reclassified to/(from) AOCI	(2		)	8
Net OTTI loss, credit-related	(3		)	(7		)
Net gain/(loss) on trading securities	1			1
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option	(1		)	27
Net gain/(loss) on derivatives and hedging activities	(9		)	(65		)
Gains on litigation settlements, net	119			211
Other	5			4
Total Other Income/(Loss)	112			171
Other Expense:
Compensation and benefits	19			18
Other operating expense	14			15
Federal Housing Finance Agency	2			2
Office of Finance	1			1
Quality Jobs Fund expense	40			—
Other	4			—
Total Other Expense	80			36
Income/(Loss) Before Assessment	166			258
AHP Assessment	18			27
Net Income/(Loss)	$	148		$	231

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

4

Federal Home Loan Bank of San Francisco

Statements of Comprehensive Income

(Unaudited)

	Three Months Ended March 31,
(In millions)	2017		2016
Net Income/(Loss)	$	148	$	231
Other Comprehensive Income/(Loss):
Net change in pension and postretirement benefits	—		1
Net non-credit-related OTTI gain/(loss) on AFS securities:
Net change in fair value of other-than-temporarily impaired securities	29		(47		)
Net amount of OTTI loss reclassified to/(from) other income/(loss)	2		(8		)
Total net non-credit-related OTTI gain/(loss) on AFS securities	31		(55		)
Net non-credit-related OTTI gain/(loss) on HTM securities:
Accretion of non-credit-related OTTI loss	1		1
Total net non-credit-related OTTI gain/(loss) on HTM securities	1		1
Total other comprehensive income/(loss)	32		(53		)
Total Comprehensive Income/(Loss)	$	180	$	178

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, 2015	23		$	2,253		$	2,018	$	610		$	2,628		$	15		$	4,896
Comprehensive income/(loss)						36		195			231			(53		)	178
Issuance of capital stock	1		112														112
Repurchase of capital stock	(2	)	(198		)												(198		)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net	(1	)	(52		)												(52		)
Cash dividends paid on capital stock (7.99%)								(45		)	(45		)				(45		)
Balance, March 31, 2016	21		$	2,115		$	2,054	$	760		$	2,814		$	(38	)	$	4,891
Balance, December 31, 2016	24		$	2,370		$	2,168	$	888		$	3,056		$	111		$	5,537
Comprehensive income/(loss)						132		16			148			32			180
Issuance of capital stock	1		83														83
Repurchase of capital stock	(2	)	(173		)												(173		)
Cash dividends paid on capital stock (9.08%)								(54		)	(54		)				(54		)
Balance, March 31, 2017	23		$	2,280		$	2,300	$	850		$	3,150		$	143		$	5,573

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

6

Federal Home Loan Bank of San Francisco

Statements of Cash Flows

(Unaudited)

	Three Months Ended March 31,
(In millions)	2017			2016
Cash Flows from Operating Activities:
Net Income /(Loss)	$	148		$	231
Adjustments to reconcile net income/(loss) to net cash provided by operating activities:
Depreciation and amortization	(17		)	(26		)
Change in net fair value of trading securities	(1		)	(1		)
Change in net fair value adjustment on advances and consolidated obligation bonds held under the fair value option	1			(27		)
Change in net derivatives and hedging activities	(13		)	(3		)
Net OTTI loss, credit-related	3			7
Net change in:
Accrued interest receivable	15			2
Other assets	10			(269		)
Accrued interest payable	26			66
Other liabilities	(5		)	64
Total adjustments	19			(187		)
Net cash provided by/(used in) operating activities	167			44
Cash Flows from Investing Activities:
Net change in:
Interest-bearing deposits	(9		)	395
Securities purchased under agreements to resell	4,000			(2,500		)
Federal funds sold	(5,878		)	27
Premises, software, and equipment	(1		)	(1		)
Trading securities:
Proceeds from maturities of long-term	601			275
Purchases of long-term	—			(250		)
AFS securities:
Proceeds from maturities of long-term	245			233
HTM securities:
Net (increase)/decrease in short-term	650			—
Proceeds from maturities of long-term	731			541
Purchases of long-term	(368		)	—
Advances:
Principal collected	332,485			334,188
Made to members	(331,705		)	(332,340		)
Mortgage loans held for portfolio:
Principal collected	30			40
Purchases	(166		)	(17		)
Proceeds from sales of foreclosed assets	2			1
Net cash provided by/(used in) investing activities	617			592

7

Federal Home Loan Bank of San Francisco

Statements of Cash Flows (continued)

(Unaudited)

	Three Months Ended March 31,
(In millions)	2017			2016
Cash Flows from Financing Activities:
Net change in:
Deposits	3			(783		)
Borrowings from other FHLBanks	(1,345		)	—
Net proceeds from issuance of consolidated obligations:
Bonds	12,320			11,064
Discount notes	41,735			15,924
Payments for matured and retired consolidated obligations:
Bonds	(13,043		)	(5,716		)
Discount notes	(40,217		)	(22,477		)
Proceeds from issuance of capital stock	83			112
Payments for repurchase/redemption of mandatorily redeemable capital stock	(54		)	(54		)
Payments for repurchase of capital stock	(173		)	(198		)
Cash dividends paid	(54		)	(45		)
Net cash provided by/(used in) financing activities	(745		)	(2,173		)
Net increase/(decrease) in cash and due from banks	39			(1,537		)
Cash and due from banks at beginning of the period	2			1,637
Cash and due from banks at end of the period	$	41		$	100
Supplemental Disclosures:
Interest paid	$	168		$	118
AHP payments	10			13
Supplemental Disclosures of Noncash Investing and Financing Activities:
Transfers of capital stock to mandatorily redeemable capital stock	—			52

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, 2017. 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, 2016 (2016 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, and accounting for other-than-temporary impairment (OTTI) for investment securities; and estimating the prepayment speeds on mortgage-backed securities (MBS) and mortgage loans for the accounting of amortization of premiums and accretion of discounts on MBS and mortgage loans. Actual results could differ significantly from these estimates.

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

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

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

to determine whether it is the primary beneficiary in any VIE. The Bank evaluated its investments in VIEs as of March 31, 2017, 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 Bank’s maximum loss exposure for these investments is limited to the carrying value.

9

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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 2016 Form 10-K. Other

changes to these policies as of March 31, 2017, are discussed in Note 2 – Recently Issued and Adopted Accounting

Guidance.

Note 2 — Recently Issued and Adopted Accounting Guidance

Premium Amortization on Purchased Callable Debt Securities. On March 30, 2017, the Financial Accounting Standards Board (FASB) issued amended guidance to shorten the amortization period for certain purchased callable debt securities held at a premium. Specifically, the amendments require the premium to be amortized to the earliest call date. The amendments do not require an accounting change for securities held at a discount; the discount continues to be amortized to maturity. This guidance affects all entities that hold investments in callable debt securities that have an amortized cost basis in excess of the amount that is repayable by the issuer at the earliest call date (that is, at a premium). This guidance is effective for the Bank for interim and annual periods beginning on January 1, 2019, and early adoption is permitted. This guidance should be applied using a modified retrospective method through a cumulative-effect adjustment directly to retained earnings as of the beginning of the period of adoption. The Bank is in the process of evaluating this guidance, and its effect on the Banks’ financial condition, results of operations, and cash flows has not yet been determined.

Improving the Presentation of Net Periodic Pension Cost and Net Periodic Postretirement Benefit Cost. On March 10, 2017, the FASB issued amended guidance to improve the presentation of net periodic pension cost and net periodic postretirement benefit cost. The amendments require that employer disaggregate the service cost component from the other components of net benefit cost. The amendments also provide explicit guidance on how to present the service cost component and the other components of net benefit cost in the Statements of Income and allow only the service cost component of net benefit cost to be eligible for capitalization. This guidance is effective for the Bank for interim and annual periods beginning on January 1, 2018, and early adoption is permitted. This guidance should be applied retrospectively for the presentation of the service cost component and the other components of net periodic pension cost and net periodic postretirement benefit cost in the Statements of Income and prospectively, on and after the effective date, for the capitalization of the service cost component of net periodic pension cost and net periodic postretirement benefit in assets. The Bank is in the process of evaluating this guidance, and its effect on the Banks’ financial condition, results of operations, and cash flows has not yet been determined.

Classification of Certain Cash Receipts and Cash Payments. On August 26, 2016, the FASB issued amendments to clarify guidance on the classification of certain cash receipts and payments in the Statements of Cash Flows. This guidance is intended to reduce existing diversity in practice in how certain cash receipts and cash payments are presented and classified on the Statements of Cash Flows. This guidance is effective for the Bank for interim and annual periods beginning on January 1, 2018, and early adoption is permitted. The guidance should be applied using a retrospective transition method to each period presented. The Bank does not intend to adopt this new guidance early. The Bank is in the process of evaluating this guidance, and its effect on the Bank’s cash flows has not yet been determined. The adoption of this guidance will have no effect on the Bank’s financial condition or results of operations.

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 over the contractual term of the financial assets. Among other things, the guidance also requires:

• The Statement of Income to reflect the measurement of credit losses for newly recognized financial assets,

10

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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 purchased financial assets with a more-than-insignificant amount of credit deterioration since origination and for debt securities for which an other-than-temporary impairment had been recognized before the effective date. The Bank does not intend to adopt the new guidance early. While the Bank is still in the process of evaluating this guidance, the Bank expects the adoption of the guidance will result in an increase in the allowance for credit losses given the requirement to assess losses for the entire estimated life of the financial asset, including an allowance for debt securities. The effect on the Bank’s financial condition, results of operations, and cash flows will depend on the composition of financial assets held by the Bank at the adoption date, as well as on economic conditions and forecasts at that time.

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 became effective for the Bank for the interim and annual periods beginning on January 1, 2017. The adoption of this guidance had no effect on the Bank’s financial condition, results of operations, and cash flows.

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 became effective for the Bank for the interim and annual periods beginning on January 1, 2017, and early adoption was 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.

11

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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 does not intend to adopt this new guidance early. Upon adoption, the Bank expects to report higher assets and liabilities as a result of recording right-of-use assets and lease liabilities for its existing leases on the Statements of Condition. The Bank is still in the process of evaluating this guidance, but its effect on the Bank’s financial condition, results of operations, and cash flows is not expected to be material.

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 Statement of Condition 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 Statement of Condition.

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 Statements of Condition as of the beginning of the period of adoption. The Bank does not intend to adopt this new guidance early. The Bank is still in the process of evaluating this guidance, but its effect on the Bank’s financial condition, results of operations, and cash flows has not yet been determined.

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.

12

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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 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. The Bank does not intend to adopt this new guidance early. Given that the majority of the Bank’s financial instruments and other contractual rights that generate revenue are covered by other accounting guidance under U.S. GAAP, the effect of this guidance on the Bank’s financial condition, results of operations, and cash flows is not expected to be material.

Note 3 — Trading Securities

The estimated fair value of trading securities as of March 31, 2017, and December 31, 2016, was as follows:

	March 31, 2017		December 31, 2016
Government-Sponsored Enterprises (GSEs) – Federal Farm Credit Bank (FFCB) bonds	$	1,459	$	2,058
MBS – Other U.S. obligations – Ginnie Mae	7		8
Total	$	1,466	$	2,066

The net unrealized gain/(loss) on trading securities was $1 and $1 for the three months ended March 31, 2017 and 2016, respectively. These amounts represent the changes in the fair value of the securities during the reported periods.

Note 4 — Available-for-Sale Securities

Available-for-sale (AFS) securities by major security type as of March 31, 2017, and December 31, 2016, were as follows:

March 31, 2017
	Amortized Cost(1)		OTTI Recognized in AOCI			Gross Unrealized Gains		Gross Unrealized Losses		Estimated Fair Value
PLRMBS:
Prime	$	398	$	(1	)	$	24	$	—	$	421
Alt-A, option ARM	820		(28		)	78		—		870
Alt-A, other	2,909		(68		)	162		—		3,003
Total	$	4,127	$	(97	)	$	264	$	—	$	4,294

December 31, 2016
	Amortized Cost(1)		OTTI Recognized in AOCI			Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value
PLRMBS:
Prime	$	413	$	(1	)	$	22	$	—		$	434
Alt-A, option ARM	853		(31		)	77		(2		)	897
Alt-A, other	3,087		(82		)	154		(1		)	3,158
Total	$	4,353	$	(114	)	$	253	$	(3	)	$	4,489

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

13

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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

At March 31, 2017, the amortized cost of the Bank’s PLRMBS classified as AFS included credit-related OTTI of $904. At December 31, 2016, the amortized cost of the Bank’s PLRMBS classified as AFS included credit-related OTTI of $941.

The following table summarizes the AFS securities with unrealized losses as of March 31, 2017, and December 31, 2016. The unrealized losses are aggregated by major security type and the length of time that individual securities have been in a continuous unrealized loss position. Total unrealized losses in the following table will not agree to total gross unrealized losses in the table above. The unrealized losses in the following table also include non-credit-related OTTI losses recognized in AOCI. For OTTI analysis of AFS securities, see Note 6 – Other-Than-Temporary Impairment Analysis.

March 31, 2017
	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	$	4	$	—	$	13	$	1	$	17	$	1
Alt-A, option ARM	53		—		244		28		297		28
Alt-A, other	85		1		960		67		1,045		68
Total	$	142	$	1	$	1,217	$	96	$	1,359	$	97

December 31, 2016
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
PLRMBS:
Prime	$	—	$	—	$	14	$	1	$	14	$	1
Alt-A, option ARM	14		—		249		33		263		33
Alt-A, other	57		—		1,048		83		1,105		83
Total	$	71	$	—	$	1,311	$	117	$	1,382	$	117

As indicated in the tables above, as of March 31, 2017, 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.

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:

14

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

March 31, 2017
	Amortized Cost(1)		OTTI Recognized in AOCI(1)			Carrying Value(1)		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses			Estimated Fair Value
Certificates of deposit	$	700	$	—		$	700	$	—	$	—		$	700
Housing finance agency bonds:
California Housing Finance Agency (CalHFA) bonds	212		—			212		—		(14		)	198
MBS:
Other U.S. obligations – single-family:
Ginnie Mae	902		—			902		5		(1		)	906
GSEs – single-family:
Freddie Mac	2,598		—			2,598		23		(12		)	2,609
Fannie Mae	4,684		—			4,684		47		(6		)	4,725
Subtotal GSEs – single-family	7,282		—			7,282		70		(18		)	7,334
GSEs – multifamily:
Freddie Mac	1,547		—			1,547		3		—			1,550
Fannie Mae	1,295		—			1,295		—		(1		)	1,294
Subtotal GSEs – multifamily	2,842		—			2,842		3		(1		)	2,844
Subtotal GSEs	10,124		—			10,124		73		(19		)	10,178
PLRMBS:
Prime	660		—			660		2		(12		)	650
Alt-A, other	426		(8		)	418		11		(7		)	422
Subtotal PLRMBS	1,086		(8		)	1,078		13		(19		)	1,072
Total MBS	12,112		(8		)	12,104		91		(39		)	12,156
Total	$	13,024	$	(8	)	$	13,016	$	91	$	(53	)	$	13,054

15

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

December 31, 2016
	Amortized Cost(1)		OTTI Recognized in AOCI(1)			Carrying Value(1)		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses			Estimated Fair Value
Certificates of deposit	$	1,350	$	—		$	1,350	$	—	$	—		$	1,350
Housing finance agency bonds:
California Housing Finance Agency (CalHFA) bonds	225		—			225		—		(18		)	207
MBS:
Other U.S. obligations – single-family:
Ginnie Mae	951		—			951		5		(1		)	955
GSEs – single-family:
Freddie Mac	2,793		—			2,793		23		(15		)	2,801
Fannie Mae	5,037		—			5,037		47		(14		)	5,070
Subtotal GSEs – single-family	7,830		—			7,830		70		(29		)	7,871
GSEs – multifamily:
Freddie Mac	1,556		—			1,556		—		(1		)	1,555
Fannie Mae	1,058		—			1,058		—		(1		)	1,057
Subtotal GSEs – multifamily	2,614		—			2,614		—		(2		)	2,612
Subtotal GSEs	10,444		—			10,444		70		(31		)	10,483
PLRMBS:
Prime	707		—			707		2		(15		)	694
Alt-A, other	459		(9		)	450		11		(9		)	452
Subtotal PLRMBS	1,166		(9		)	1,157		13		(24		)	1,146
Total MBS	12,561		(9		)	12,552		88		(56		)	12,584
Total	$	14,136	$	(9	)	$	14,127	$	88	$	(74	)	$	14,141

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

At March 31, 2017, the amortized cost of the Bank’s MBS classified as HTM included premiums of $27, discounts of $32, and credit-related OTTI of $8. At December 31, 2016, the amortized cost of the Bank’s MBS classified as HTM included premiums of $29, discounts of $34, and credit-related OTTI of $8.

The following tables summarize the HTM securities with unrealized losses as of March 31, 2017, and December 31, 2016. 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.

16

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

March 31, 2017
	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	$	—	$	—	$	198	$	14	$	198	$	14
MBS:
Other U.S. obligations – single-family:
Ginnie Mae	179		1		—		—		179		1
GSEs – single-family:
Freddie Mac	1,274		12		4		—		1,278		12
Fannie Mae	813		5		100		1		913		6
Subtotal GSEs – single-family	2,087		17		104		1		2,191		18
GSEs – multifamily:
Fannie Mae	1,008		1		—		—		1,008		1
Subtotal GSEs – multifamily	1,008		1		—		—		1,008		1
Subtotal GSEs	3,095		18		104		1		3,199		19
PLRMBS:
Prime	1		—		455		12		456		12
Alt-A, other	—		—		421		15		421		15
Subtotal PLRMBS	1		—		876		27		877		27
Total MBS	3,275		19		980		28		4,255		47
Total	$	3,275	$	19	$	1,178	$	42	$	4,453	$	61

December 31, 2016
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
Housing finance agency bonds:
CalHFA bonds	$	—	$	—	$	193	$	18	$	193	$	18
MBS:
Other U.S. obligations – single-family:
Ginnie Mae	190		1		—		—		190		1
GSEs – single-family:
Freddie Mac	1,498		15		3		—		1,501		15
Fannie Mae	2,665		12		96		2		2,761		14
Subtotal GSEs – single-family	4,163		27		99		2		4,262		29
GSEs – multifamily:
Freddie Mac	1,007		1		—		—		1,007		1
Fannie Mae	387		1		—		—		387		1
Subtotal GSEs – multifamily	1,394		2		—		—		1,394		2
Subtotal GSEs	5,557		29		99		2		5,656		31
PLRMBS:
Prime	1		—		517		15		518		15
Alt-A, other	—		—		452		18		452		18
Subtotal PLRMBS	1		—		969		33		970		33
Total MBS	5,748		30		1,068		35		6,816		65
Total	$	5,748	$	30	$	1,261	$	53	$	7,009	$	83

17

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

As indicated in the tables above, the Bank’s investments classified as HTM had unrealized losses on CalHFA bonds and MBS. The unrealized losses associated with the CalHFA bonds were mainly due to an illiquid market, credit concerns regarding the underlying mortgage collateral, and credit concerns regarding the monoline insurance providers, causing these investments to be valued at a discount to their acquisition cost. For its agency MBS, the Bank expects to recover the entire amortized cost basis of these securities because the Bank determined that the strength of the issuers’ guarantees through direct obligations or support from the U.S. government is sufficient to protect the Bank from losses. The unrealized losses associated with the PLRMBS were primarily due to illiquidity in the PLRMBS market and market expectations of the credit performance of loan collateral underlying these securities, which caused these assets to be valued at discounts to their amortized cost.

Redemption Terms. The amortized cost, carrying value, and estimated fair value of non-MBS securities by contractual maturity (based on contractual final principal payment) and of MBS as of March 31, 2017, and December 31, 2016, are shown below. Expected maturities of MBS will differ from contractual maturities because borrowers generally have the right to prepay the underlying obligations without prepayment fees.

March 31, 2017
Year of Contractual Maturity	Amortized Cost(1)		Carrying Value(1)		Estimated Fair Value
HTM securities other than MBS:
Due in 1 year or less	$	700	$	700	$	700
Due after 5 years through 10 years	35		35		35
Due after 10 years	177		177		163
Subtotal	912		912		898
MBS	12,112		12,104		12,156
Total	$	13,024	$	13,016	$	13,054

December 31, 2016
Year of Contractual Maturity	Amortized Cost(1)		Carrying Value(1)		Estimated Fair Value
HTM securities other than MBS:
Due in 1 year or less	$	1,350	$	1,350	$	1,350
Due after 5 years through 10 years	35		35		34
Due after 10 years	190		190		173
Subtotal	1,575		1,575		1,557
MBS	12,561		12,552		12,584
Total	$	14,136	$	14,127	$	14,141

(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.

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 Bank considers whether it expects to recover the entire amortized cost basis of the security by comparing its best estimate of the

18

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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 5.0% to an increase of 10.0% over the 12-month period beginning January 1, 2017. For the vast majority of markets, the projected short-term housing price changes range from 0.0% 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 March 31, 2017 (securities for which the Bank determined that it does not expect to recover the entire amortized cost basis), the following table presents a summary of the significant inputs used in measuring the amount of credit loss recognized in earnings during the first quarter of 2017, and the related current credit enhancement for the Bank.

March 31, 2017
	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)
Alt-A, other
2007	9.0	29.5	41.5	1.2
2005	14.0	10.7	34.3	0.1
2004 and earlier	14.0	1.7	31.4	9.2
Total	11.3	20.7	38.2	0.7

(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 is based on the model used to run the estimated cash flows for the CUSIP, which may not necessarily be the same as the classification at the time of origination.

The following table presents the credit-related OTTI, which is recognized in earnings, for the three months ended March 31, 2017 and 2016.

	Three Months Ended
	March 31, 2017			March 31, 2016
Balance, beginning of the period	$	1,183		$	1,255
Additional charges on securities for which OTTI was previously recognized(1)	3			7
Securities matured during the period (2)	—			—
Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities(3)	(17		)	(23		)
Balance, end of the period	$	1,169		$	1,239

19

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

(1) For the three months ended March 31, 2017 and 2016, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2017 and 2016, respectively.

(2) Represents reductions related to securities having reached final maturity during the period, which therefore are no longer held by the Bank at the end of the period.

(3) The total accretion or amortization associated with other-than-temporarily impaired PLRMBS (amount recognized in interest income) totaled $23 and $26, for the three months ended March 31, 2017 and 2016, 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 Bank did not transfer any PLRMBS from its HTM portfolio to its AFS portfolio during the three months ended March 31, 2017 and 2016.

The following tables present the Bank’s AFS and HTM PLRMBS that incurred OTTI losses anytime during the life of the securities at March 31, 2017, and December 31, 2016, by loan collateral type:

March 31, 2017
	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	$	479	$	398	$	421	$	—	$	—	$	—	$	—
Alt-A, option ARM	1,091		820		871		—		—		—		—
Alt-A, other	3,450		2,909		3,002		87		82		73		84
Total	$	5,020	$	4,127	$	4,294	$	87	$	82	$	73	$	84

20

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

December 31, 2016
	Available-for-Sale Securities						Held-to-Maturity Securities
	Unpaid Principal Balance		Amortized Cost		Estimated Fair Value		Unpaid Principal Balance		Amortized Cost		Carrying Value		Estimated Fair Value
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
Prime	$	498	$	413	$	434	$	—	$	—	$	—	$	—
Alt-A, option ARM	1,134		853		897		—		—		—		—
Alt-A, other	3,650		3,087		3,158		93		88		79		91
Total	$	5,282	$	4,353	$	4,489	$	93	$	88	$	79	$	91

For the Bank’s PLRMBS that were not other-than-temporarily impaired as of March 31, 2017, the Bank has experienced net unrealized losses primarily because of illiquidity in the PLRMBS market and market expectations of the credit performance of loan collateral underlying these securities, which caused these assets to be valued at discounts to their amortized cost. The Bank does not intend to sell these securities, it is not more likely than not that the Bank will be required to sell these securities before its anticipated recovery of the remaining amortized cost basis, and the Bank expects to recover the entire amortized cost basis of these securities. As a result, the Bank determined that, as of March 31, 2017, all of the gross unrealized losses on these PLRMBS are temporary. These securities were included in the securities that the Bank reviewed and analyzed for OTTI as discussed above, and the analyses performed indicated that these securities were not other-than-temporarily impaired.

All Other Available-for-Sale and Held-to-Maturity Investments. For the Bank’s investments in housing finance agency bonds, which were issued by CalHFA, the gross unrealized losses were mainly due to an illiquid market, credit concerns regarding the underlying mortgage collateral, and credit concerns regarding the monoline insurance providers, causing these investments to be valued at a discount to their acquisition cost. The Bank independently modeled cash flows for the underlying collateral, using assumptions for default rates and loss severity that a market participant would deem reasonable, and concluded that the available credit support within the CalHFA structure more than offset the projected underlying collateral losses. The Bank determined that, as of March 31, 2017, all of the gross unrealized losses on the bonds are temporary because the underlying collateral and credit enhancements were sufficient to protect the Bank from losses. As a result, the Bank expects to recover the entire amortized cost basis of these securities.

For its agency MBS, the Bank expects to recover the entire amortized cost basis of these securities because the Bank determined that the strength of the issuers’ guarantees through direct obligations or support from the U.S. government is sufficient to protect the Bank from losses. As a result, the Bank determined that, as of March 31, 2017, 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 0.58% to 8.57% at March 31, 2017, and 0.43% to 8.57% at December 31, 2016, as summarized below.

21

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	March 31, 2017					December 31, 2016
Contractual Maturity	Amount Outstanding			Weighted Average Interest Rate		Amount Outstanding			Weighted Average Interest Rate
Within 1 year	$	21,514		0.94	%	$	22,902		0.78	%
After 1 year through 2 years	10,919			1.39		7,608			1.36
After 2 years through 3 years	6,654			1.34		9,410			1.22
After 3 years through 4 years	4,262			1.40		2,083			1.39
After 4 years through 5 years	4,524			1.42		6,423			1.24
After 5 years	1,204			2.89		1,431			2.60
Total par value	49,077			1.22	%	49,857			1.09	%
Valuation adjustments for hedging activities	(36		)			(22		)
Valuation adjustments under fair value option	11					10
Total	$	49,052				$	49,845

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 $3,744 at March 31, 2017, and $3,647 at December 31, 2016. Some advances may be repaid on pertinent call dates without prepayment fees (callable advances). The Bank had callable advances outstanding totaling $16,053 at March 31, 2017, and $15,505 at December 31, 2016.

The Bank’s advances at March 31, 2017, and December 31, 2016, included $50 and $125 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 relative to contractual rates.

The following table summarizes advances at March 31, 2017, and December 31, 2016, by the earlier of the year of contractual maturity or next call date for callable advances and by the earlier of the year of contractual maturity or next put date for putable advances.

	Earlier of Contractual Maturity or Next Call Date				Earlier of Contractual Maturity or Next Put Date
	March 31, 2017		December 31, 2016		March 31, 2017		December 31, 2016
Within 1 year	$	26,981	$	25,784	$	21,514	$	22,927
After 1 year through 2 years	9,253		11,078		10,919		7,583
After 2 years through 3 years	6,260		4,465		6,654		9,410
After 3 years through 4 years	3,962		5,782		4,262		2,083
After 4 years through 5 years	1,518		1,421		4,524		6,423
After 5 years	1,103		1,327		1,204		1,431
Total par value	$	49,077	$	49,857	$	49,077	$	49,857

Credit and Concentration Risk. The following tables present the concentration in advances to the top five borrowers and their affiliates at March 31, 2017 and 2016. The tables also present the interest income from

these advances before the impact of interest rate exchange agreements associated with these advances for the three months ended March 31, 2017 and 2016.

22

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	March 31, 2017				Three Months Ended March 31, 2017
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
JPMorgan Chase Bank, National Association(2)	$	14,806	30	%	$	41	25	%
Bank of the West	6,655		14		14		9
First Republic Bank	5,900		12		21		13
CIT Bank, N.A.	2,411		5		7		5
Star One Credit Union(3)	2,046		4		7		4
Subtotal	31,818		65		90		56
Others	17,259		35		71		44
Total par value	$	49,077	100	%	$	161	100	%

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

(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) Officer of member bank also serves on the Board of Directors of the Bank.

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

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

Interest Rate Payment Terms. Interest rate payment terms for advances at March 31, 2017, and December 31, 2016, are detailed below:

23

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	March 31, 2017		December 31, 2016
Par value of advances:
Fixed rate:
Due within 1 year	$	12,421	$	13,486
Due after 1 year	11,504		10,845
Total fixed rate	23,925		24,331
Adjustable rate:
Due within 1 year	9,093		9,416
Due after 1 year	16,059		16,110
Total adjustable rate	25,152		25,526
Total par value	$	49,077	$	49,857

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

The Bank did not have any advances with embedded features that met the requirements to separate the embedded feature from the host contract and designate the embedded feature as a stand-alone derivative at March 31, 2017, or December 31, 2016. The Bank has generally elected to account for certain advances with embedded features under the fair value option, and these advances are carried at fair value on the Statements of Condition. For more information, see Note 16 – Fair Value.

Prepayment Fees, Net. The Bank charges borrowers prepayment fees or pays borrowers prepayment credits when the principal on certain advances is paid prior to original maturity. The Bank records prepayment fees net of any associated fair value adjustments related to prepaid advances that were hedged. The net amount of prepayment fees is reflected as interest income in the Statements of Income for the three months ended March 31, 2017 and 2016, as follows:

	Three Months Ended
	March 31, 2017		March 31, 2016
Prepayment fees received	$	—	$	—
Fair value adjustments	—		2
Net	$	—	$	2
Advance principal prepaid	$	1,245	$	770

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 fixed rate mortgage loans for concurrent sale to Redwood Residential Acquisition Corporation, a subsidiary of Redwood

24

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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 March 31, 2017, the Bank had approved 19 members as participating financial institutions since renewing its participation in the MPF Program in 2013.

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

The following table presents information as of March 31, 2017, and December 31, 2016, on mortgage loans, all of which are secured by one- to four-unit residential properties and single-unit second homes.

	March 31, 2017			December 31, 2016
Fixed rate medium-term mortgage loans	$	46		$	55
Fixed rate long-term mortgage loans	900			759
Subtotal	946			814
Unamortized premiums	26			18
Unamortized discounts	(6		)	(6		)
Mortgage loans held for portfolio	966			826
Less: Allowance for credit losses	—			—
Total mortgage loans held for portfolio, net	$	966		$	826

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: advances, letters of credit, and other extensions of credit, collectively referred to as “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 2016 Form 10-K.

Credit Products. The Bank manages its credit exposure related to credit products through an integrated approach that generally provides for a credit limit to be established for each borrower, includes an ongoing review of each borrower’s financial condition, and is coupled with conservative collateral and lending policies to limit the risk of loss while taking into account borrowers’ needs for a reliable funding source. At March 31, 2017, and December 31, 2016, none of the Bank’s credit products were past due, on nonaccrual status, or considered impaired. There were no troubled debt restructurings related to credit products during the three months ended March 31, 2017, or during 2016.

Based on the collateral pledged as security for advances, the Bank’s credit analyses of borrowers’ financial condition, and the Bank’s credit extension and collateral policies as of March 31, 2017, 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.

25

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Nomember institutions were placed into receivership during the first three months of 2017 or from April 1 to April 30, 2017.

Mortgage Loans Held for Portfolio. The following table presents information on delinquent mortgage loans as of March 31, 2017, and December 31, 2016.

	March 31, 2017			December 31, 2016
	Recorded Investment(1)			Recorded Investment(1)
30 – 59 days delinquent	$	10		$	7
60 – 89 days delinquent	2			3
90 days or more delinquent	14			15
Total past due	26			25
Total current loans	944			805
Total mortgage loans	$	970		$	830
In process of foreclosure, included above(2)	$	6		$	5
Nonaccrual loans	$	14		$	15
Loans past due 90 days or more and still accruing interest	$	—		$	—
Serious delinquencies as a percentage of total mortgage loans outstanding(3)	1.49		%	1.79		%

(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 amounts of charge-offs and recoveries of allowance for credit losses on the mortgage loan portfolio were de minimis during the three months ended March 31, 2017 and 2016.

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

	March 31, 2017		December 31, 2016
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	$	11	$	12
Collectively evaluated for impairment	959		818
Total recorded investment	$	970	$	830

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

26

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	March 31, 2017						December 31, 2016
	Recorded Investment		Unpaid Principal Balance		Related Allowance		Recorded Investment		Unpaid Principal Balance		Related Allowance
With no related allowance	$	11	$	11	$	—	$	12	$	12	$	—
With an allowance	—		—		—		—		—		—
Total	$	11	$	11	$	—	$	12	$	12	$	—

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

	Three Months Ended
	March 31, 2017		March 31, 2016
With no related allowance	$	11	$	12
With an allowance	—		1
Total	$	11	$	13

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.

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 and MPF Plus loans as of March 31, 2017, and December 31, 2016.

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 and MPF Plus loans totaling de minimis amounts as of March 31, 2017, and December 31, 2016.

27

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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 recorded investment of the Bank's nonperforming MPFloans classified as TDRs totaled $4 as of March 31, 2017, and $3 as of December 31, 2016. During the three months ended March 31, 2017 and 2016, the difference between the pre- and post-modification recorded investment in TDRs that occurred during the year was de minimis. None of the MPF loans classified as TDRs within the previous 12 months experienced a payment default.

Term Federal Funds Sold. The Bank invests in Federal funds sold with counterparties that are considered by the Bank to be of investment quality, and these investments are evaluated for purposes of an allowance for credit losses only if the investment is not paid when due. All investments in Federal funds sold as of March 31, 2017, and December 31, 2016, were repaid or are expected to be repaid according to the contractual terms.

Note 10 — Deposits

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

Deposits as of March 31, 2017, and December 31, 2016, were as follows:

	March 31, 2017		December 31, 2016
Interest-bearing deposits:
Demand and overnight	$	167	$	167
Total interest-bearing deposits	167		167
Non-interest-bearing deposits:
Other	4		2
Total non-interest-bearing deposits	4		2
Total	$	171	$	169

Interest Rate Payment Terms. Deposits classified as demand, overnight, and other pay interest based on a daily interest rate. Term deposits pay interest based on a fixed rate determined at the issuance of the deposit. Interest rate payment terms for deposits at March 31, 2017, and December 31, 2016, are detailed in the following table:

	March 31, 2017				December 31, 2016
	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding		Weighted Average Interest Rate
Interest-bearing deposit – Adjustable rate	$	167	0.60	%	$	167	0.01	%
Non-interest-bearing deposits	4				2
Total	$	171			$	169

28

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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 2016 Form 10-K. In connection with each issuance of consolidated obligations, each FHLBank specifies the type, term, and amount of debt it requests to have issued on its behalf. The Office of Finance tracks the amount of debt issued on behalf of each FHLBank. In addition, the Bank separately tracks and records as a liability its specific portion of the consolidated obligations issued and is the primary obligor for that portion of the consolidated obligations issued. The Finance Agency and the U.S. Secretary of the Treasury have oversight over the issuance of FHLBank debt through the Office of Finance.

Redemption Terms. The following is a summary of the Bank’s participation in consolidated obligation bonds at March 31, 2017, and December 31, 2016.

	March 31, 2017					December 31, 2016
Contractual Maturity	Amount Outstanding			Weighted Average Interest Rate		Amount Outstanding			Weighted Average Interest Rate
Within 1 year	$	31,694		0.94	%	$	33,879		0.82	%
After 1 year through 2 years	11,751			1.05		10,597			0.99
After 2 years through 3 years	998			1.47		1,318			1.32
After 3 years through 4 years	1,465			1.69		1,055			1.84
After 4 years through 5 years	1,630			1.66		1,350			1.59
After 5 years	1,957			2.47		2,021			2.42
Total par value	49,495			1.08	%	50,220			0.98	%
Unamortized premiums	16					15
Unamortized discounts	(9		)			(9		)
Valuation adjustments for hedging activities	(5		)			6
Fair value option valuation adjustments	(4		)			(8		)
Total	$	49,493				$	50,224

The Bank’s participation in consolidated obligation bonds outstanding includes callable bonds of $6,220 at March 31, 2017, and $4,670 at December 31, 2016. 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 $3,525 at March 31, 2017, and $2,125 at December 31, 2016. The combined sold callable swaps and callable bonds enable the Bank to meet its funding needs at costs not otherwise directly attainable solely through the issuance of non-callable debt, while effectively converting the Bank’s net payment to an adjustable rate.

The Bank’s participation in consolidated obligation bonds at March 31, 2017, and December 31, 2016, was as follows:

29

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	March 31, 2017		December 31, 2016
Par value of consolidated obligation bonds:
Non-callable	$	43,275	$	45,550
Callable	6,220		4,670
Total par value	$	49,495	$	50,220

The following is a summary of the Bank’s participation in consolidated obligation bonds outstanding at March 31, 2017, and December 31, 2016, by the earlier of the year of contractual maturity or next call date.

Earlier of Contractual Maturity or Next Call Date	March 31, 2017		December 31, 2016
Within 1 year	$	37,334	$	38,099
After 1 year through 2 years	11,136		10,747
After 2 years through 3 years	613		743
After 3 years through 4 years	320		455
After 4 years through 5 years	—		85
After 5 years	92		91
Total par value	$	49,495	$	50,220

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

	March 31, 2017					December 31, 2016
	Amount Outstanding			Weighted Average Interest Rate (1)		Amount Outstanding			Weighted Average Interest Rate (1)
Par value	$	35,069		0.62	%	$	33,529		0.46	%
Unamortized discounts	(41		)			(23		)
Total	$	35,028				$	33,506

(1) Represents yield to maturity excluding concession fees.

Interest Rate Payment Terms. Interest rate payment terms for consolidated obligations at March 31, 2017, and December 31, 2016, 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 2016 Form 10-K.

	March 31, 2017		December 31, 2016
Par value of consolidated obligations:
Bonds:
Fixed rate	$	16,870	$	15,960
Adjustable rate	31,075		33,435
Step-up	1,240		515
Step-down	200		200
Fixed rate that converts to adjustable rate	10		10
Range bonds	100		100
Total bonds, par value	49,495		50,220
Discount notes, par value	35,069		33,529
Total consolidated obligations, par value	$	84,564	$	83,749

30

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

The Bank did not have any bonds with embedded features that met the requirements to separate the embedded feature from the host contract and designate the embedded feature as a stand-alone derivative at March 31, 2017, or December 31, 2016. 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.

Note 12 — Accumulated Other Comprehensive Income/(Loss)

The following table summarizes the changes in AOCI for the three months ended March 31, 2017 and 2016:

	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, 2015	$	43		$	(14	)	$	(14	)	$	15
Other comprehensive income/(loss) before reclassifications:
Net change in pension and postretirement benefits							1			1
Non-credit-related OTTI loss	(10		)	—						(10		)
Net change in fair value	(47		)							(47		)
Accretion of non-credit-related OTTI loss				1						1
Reclassification from other comprehensive income/(loss) to net income/(loss):
Non-credit-related OTTI to credit-related OTTI	2			—						2
Net current period other comprehensive income/(loss)	(55		)	1			1			(53		)
Balance, March 31, 2016	$	(12	)	$	(13	)	$	(13	)	$	(38	)
Balance, December 31, 2016	$	136		$	(9	)	$	(16	)	$	111
Other comprehensive income/(loss) before reclassifications:
Net change in fair value	29									29
Accretion of non-credit-related OTTI loss				1						1
Reclassification from other comprehensive income/(loss) to net income/(loss):
Non-credit-related OTTI to credit-related OTTI	2			—						2
Net current period other comprehensive income/(loss)	31			1			—			32
Balance, March 31, 2017	$	167		$	(8	)	$	(16	)	$	143

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.

31

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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

As of March 31, 2017, and December 31, 2016, the Bank was in compliance with these capital rules and requirements as shown in the following table.

	March 31, 2017						December 31, 2016
	Required			Actual			Required			Actual
Risk-based capital	$	2,149		$	5,833		$	2,241		$	5,883
Total regulatory capital	$	3,652		$	5,833		$	3,678		$	5,883
Total regulatory capital ratio	4.00		%	6.39		%	4.00		%	6.40		%
Leverage capital	$	4,565		$	8,750		$	4,597		$	8,825
Leverage ratio	5.00		%	9.58		%	5.00		%	9.60		%

Mandatorily Redeemable Capital Stock. The Bank had mandatorily redeemable capital stock totaling $403 outstanding to six institutions at March 31, 2017, and $457 outstanding to six institutions at December 31, 2016. The change in mandatorily redeemable capital stock for the three months ended March 31, 2017 and 2016, as follows:

	Three Months Ended
	March 31, 2017			March 31, 2016
Balance at the beginning of the period	$	457		$	488
Reclassified from/(to) capital during the period	—			52
Redemption of mandatorily redeemable capital stock	(54		)	—
Repurchase of excess mandatorily redeemable capital stock	—			(54		)
Balance at the end of the period	$	403		$	486

Cash dividends on mandatorily redeemable capital stock were recorded as interest expense in the amount of $11 and$10 for the three months ended March 31, 2017 and 2016, 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 2016 Form 10-K.

The following table presents mandatorily redeemable capital stock amounts by contractual redemption period at March 31, 2017, and December 31, 2016.

Contractual Redemption Period	March 31, 2017		December 31, 2016
After 1 year through 2 years	$	—	$	—
After 2 years through 3 years	1		—
After 3 years through 4 years	378		379
Past contractual redemption date because of remaining activity(1)	24		78
Total	$	403	$	457

(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 (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

32

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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 Board of Directors reviews the Framework at least annually and may amend the Framework from time to time. In January 2017, the Framework was amended and approved by the Bank’s Board of Directors to include a dividend philosophy to endeavor to pay a quarterly dividend at an annualized rate between 5% and 7%, which was intended to be considered by the Bank’s Board of Directors beginning with the Bank’s second quarter 2017 dividend declaration. The decision to declare any dividend and the dividend rate are at the discretion of the Bank’s Board of Directors, which may choose to follow the dividend philosophy as guidance in the dividend declaration.

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 231% as of March 31, 2017.

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 following table summarizes the activity related to retained earnings for the three months ended March 31, 2017 and 2016:

				Restricted Retained Earnings Related to:
	Unrestricted Retained Earnings			Valuation Adjustments			Other		Joint Capital Enhancement Agreement		Total Restricted Retained Earnings		Total Retained Earnings
Balance, December 31, 2015	$	610		$	10		$	1,650	$	358	$	2,018	$	2,628
Net income	195			(10		)	—		46		36		231
Cash dividends on capital stock	(45		)										(45		)
Balance, March 31, 2016	$	760		$	—		$	1,650	$	404	$	2,054	$	2,814
Balance, December 31, 2016	888			18			1,650		500		2,168		3,056
Net income	16			2			100		30		132		148
Cash dividends on capital stock	(54		)										(54		)
Balance, March 31, 2017	$	850		$	20		$	1,750	$	530	$	2,300	$	3,150

The Bank’s Framework establishes amounts to be retained in restricted retained earnings, which are not made available in the current dividend period. The Bank’s retained earnings target may be changed at any time. The Bank’s Board of Directors periodically reviews the Bank’s retained earnings methodology and analysis to determine whether any adjustments are appropriate. In January 2017, the Bank’s Board of Directors approved the Bank maintaining total restricted retained earnings at a minimum of $2,300.

The Board of Directors previously set the required amount of restricted retained earnings for loss protection and capital compliance at $2,000. Restricted retained earnings available to meet this requirement include only amounts related to the Bank’s Joint Capital Enhancement Agreement and Other restricted retained earnings.

33

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Total restricted retained earnings were $2,300 and $2,168 as of March 31, 2017, and December 31, 2016, respectively.

For more information on restricted retained earnings and the Bank’s Framework, see “Item 8. Financial Statements and Supplementary Data – Note 15 – Capital” in the Bank’s 2016 Form 10-K.

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

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

capital stock exceeds 1% of its total assets. Excess capital stock is defined as the aggregate of the capital stock held by each shareholder in excess of its minimum capital stock requirement, as established by the Bank’s capital plan. As of March 31, 2017, the Bank’s excess capital stock totaled $340, or 0.37% of total assets.

In the first quarter of 2017, the Bank paid dividends at an annualized rate of 9.08%, totaling $65, including $54 in dividends on capital stock and $11 in dividends on mandatorily redeemable capital stock. In the first quarter of 2016, the Bank paid dividends at an annualized rate of 7.99%, totaling $55, including $45 in dividends on capital stock and $10 in dividends on mandatorily redeemable capital stock.

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

On April 27, 2017, the Bank’s Board of Directors declared a cash dividend on the capital stock outstanding during the first quarter of 2017 at an annualized rate of 7.00%, totaling $49, including $41 in dividends on capital stock and $8 in dividends on mandatorily redeemable capital stock. The Bank recorded the dividend on April 27, 2017. The Bank expects to pay the dividend on May 15, 2017. Dividends on mandatorily redeemable capital stock will be recognized as interest expense in the second quarter of 2017.

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. The Bank repurchased $173 and $252 in excess capital stock in the first quarter of 2017 and 2016, respectively.

The Bank is required to redeem any mandatorily redeemable capital stock that is in excess of a former member’s minimum stock requirement on or after the expiration of the five-year redemption date. During the first quarter of 2017 and 2016, the Bank redeemed $54 and a de minimis amount, 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.

34

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

On April 28, 2017, the Bank announced that it plans to repurchase the surplus capital stock of all members and the excess capital stock of all nonmember shareholders on May 16, 2017. Surplus capital stock is defined as any stock holdings in excess of 115% of a member’s minimum stock requirement.

Excess capital stock totaled $340 as of March 31, 2017, which included surplus capital stock of $212. Excess capital stock totaled $488 as of December 31, 2016, which included surplus capital stock of $325.

For more information on excess capital stock, see “Item 8. Financial Statements and Supplementary Data – Note 15

– Capital” in the Bank’s 2016 Form 10-K.

Concentration. JPMorgan Chase Bank, National Association, a nonmember institution, held $400, or 15%, of the Bank’s outstanding capital stock, including mandatorily redeemable capital stock, as of March 31, 2017, and $400, or 14% as of December 31, 2016. No other institution held 10% or more of the Bank’s outstanding capital stock, as of March 31, 2017, or December 31, 2016.

Note 14 — Segment Information

The Bank uses an analysis of financial results based on the financial components 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 determine financial management strategies related to the operations of these two 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 2016 Form 10-K.

The following table presents the Bank’s adjusted net interest income by operating segment and reconciles total adjusted net interest income to income before the AHP assessment for the three months ended March 31, 2017 and 2016.

	Advances- Related Business		Mortgage- Related Business(1)		Adjusted Net Interest Income		Amortization of Basis Adjustments(2)			Income/(Expense) on Economic Hedges(3)			Interest Expense on Mandatorily Redeemable Capital Stock(4)		Net Interest Income After Mortgage Loan Loss Provision		Other Income/ (Loss)		Other Expense		Income Before AHP Assessment
Three months ended:
March 31, 2017	$	48	$	83	$	131	$	(2	)	$	(12	)	$	11	$	134	$	112	$	80	$	166
March 31, 2016	36		86		122		(2		)	(9		)	10		123		171		36		258

(1) The mortgage-related business includes total accretion or amortization associated with other-than-temporarily impaired PLRMBS, which are recognized in interest income, totaled $23 and $26 for the three months ended March 31, 2017 and 2016. The mortgage-related business does not include credit-related OTTI losses of $3 and $7 for the three months ended March 31, 2017 and 2016, respectively.

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

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

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

The following table presents total assets by operating segment at March 31, 2017, and December 31, 2016.

35

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	Advances- Related Business		Mortgage- Related Business		Total Assets
March 31, 2017	$	73,875	$	17,415	$	91,290
December 31, 2016	74,018		17,923		91,941

Note 15 — Derivatives and Hedging Activities

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

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

The Bank primarily uses the following derivative instruments:

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 at inception all relationships between derivatives designated as 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 may be transacted to hedge: (i) assets and liabilities on the Statement of Condition, (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

36

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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.

The Bank may have the following types of hedged items:

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 range 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 mortgage loans 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

37

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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.

When the Bank issues consolidated obligation discount notes, it may also simultaneously enter into an interest rate exchange agreement to convert the fixed rate discount note to an adjustable rate discount note. This type of hedge is treated as an economic hedge.

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 do not meet the requirements for fair value hedge accounting treatment.

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 $64 and $89, at March 31, 2017, and December 31, 2016, respectively.

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 following table summarizes the notional amount and fair value of derivative instruments, including the effect of netting adjustments and cash collateral as of March 31, 2017, and December 31, 2016. For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest.

38

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	March 31, 2017								December 31, 2016
	Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities			Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	20,520	$	75		$	23		$	20,741	$	67		$	32
Total	20,520		75			23			20,741		67			32
Derivatives not designated as hedging instruments:
Interest rate swaps	44,534		69			50			42,135		67			49
Interest rate caps and floors	1,560		4			—			2,180		6			—
Mortgage delivery commitments	12		—			—			13		—			—
Total	46,106		73			50			44,328		73			49
Total derivatives before netting and collateral adjustments	$	66,626	148			73			$	65,069	140			81
Netting adjustments and cash collateral(1)			(83		)	(72		)			(74		)	(79		)
Total derivative assets and total derivative liabilities			$	65		$	1				$	66		$	2

(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 $5 and $22 at March 31, 2017, and December 31, 2016, respectively. Cash collateral received and related accrued interest was $16 and $16 at March 31, 2017, and December 31, 2016, respectively.

The following table presents the components of net gain/(loss) on derivatives and hedging activities as presented in the Statements of Income for the three months ended March 31, 2017 and 2016.

	Three Months Ended
	March 31, 2017			March 31, 2016
	Gain/(Loss)			Gain/(Loss)
Derivatives designated as hedging instruments:
Interest rate swaps	$	—		$	(4	)
Total net gain/(loss) related to fair value hedge ineffectiveness	—			(4		)
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	2			(49		)
Interest rate caps and floors	(2		)	(3		)
Net settlements	(12		)	(9		)
Mortgage delivery commitments	3			—
Total net gain/(loss) related to derivatives not designated as hedging instruments	(9		)	(61		)
Net gain/(loss) on derivatives and hedging activities	$	(9	)	$	(65	)

The following table presents, by type of hedged item, the gains and losses on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on the Bank’s net interest income for the three months ended March 31, 2017 and 2016.

39

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	Three Months Ended
	March 31, 2017											March 31, 2016
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	$	14		$	(14	)	$	—	$	(9	)	$	(49	)	$	49		$	—		$	(18	)
Consolidated obligation bonds	(11		)	11			—		9			11			(15		)	(4		)	53
Total	$	3		$	(3	)	$	—	$	—		$	(38	)	$	34		$	(4	)	$	35

(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.

Credit Risk – The Bank is subject to credit risk as a result of potential nonperformance by counterparties to the interest rate exchange 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 Bank’s agreements for uncleared derivative transactions contain provisions that link the Bank’s credit rating from Moody’s Investors Service and S&P Global Ratings to various rights and obligations. Certain of these derivative agreements provide that, if the Bank’s long-term debt rating falls below a specified rating (ranging from A3/A- to Baa3/BBB-), the Bank’s counterparty would have the right, but not the obligation, to terminate all of its outstanding derivative transactions with the Bank; the Bank’s agreements with its clearing agents for cleared derivative transactions have similar provisions with respect to the debt rating of FHLBank System consolidated bonds. If this occurs, the Bank may choose to enter into replacement hedges, either by transferring the existing transactions to another counterparty or entering into new replacement transactions, based on prevailing market rates. In addition, under some of its credit support agreements for uncleared derivative transactions, the amount of collateral that the Bank is required to deliver to a counterparty depends on the Bank’s credit rating. The aggregate fair value of all uncleared derivative instruments with credit-risk-related contingent features that were in a net derivative liability position (before cash collateral and related accrued interest) at March 31, 2017, was $5, for which the Bank had posted collateral with a fair value of $5 in the ordinary course of business. If the Bank’s credit rating at March 31, 2017, had been lowered from its current rating to the next lower rating, that would have triggered

40

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

additional collateral to be delivered, and the Bank would have been required to deliver up to a total of $1 of additional collateral (at fair value) to its derivative counterparties at March 31, 2017.

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

The following table presents separately the fair value of derivative assets and derivative liabilities that have met the netting requirements, including the related collateral received from or pledged to counterparties as of March 31, 2017, and December 31, 2016.

	March 31, 2017						December 31, 2016
	Derivative Assets			Derivative Liabilities			Derivative Assets			Derivative Liabilities
Derivative instruments meeting netting requirements
Gross recognized amount
Uncleared derivatives	$	40		$	28		$	41		$	37
Cleared derivatives	108			45			99			44
Total gross recognized amount	148			73			140			81
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives	(35		)	(27		)	(37		)	(35		)
Cleared derivatives	(48		)	(45		)	(37		)	(44		)
Total gross amount of netting adjustments and cash collateral	(83		)	(72		)	(74		)	(79		)
Total derivative assets and total derivative liabilities
Uncleared derivatives	5			1			4			2
Cleared derivatives	60			—			62			—
Total derivative assets and derivative liabilities presented in the Statements of Condition	65			1			66			2
Non-cash collateral received or pledged not offset
Can be sold or repledged - Uncleared derivatives	—			—			—			—
Net unsecured amount
Uncleared derivatives	5			1			4			2
Cleared derivatives	60			—			62			—
Total net unsecured amount	$	65		$	1		$	66		$	2

Note 16 — Fair Value

The following fair value amounts have been determined by the Bank using available market information and the Bank’s best judgment of appropriate valuation methods. These estimates are based on pertinent information available to the Bank at March 31, 2017, and December 31, 2016. 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.

41

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

The following tables present the carrying value, the estimated fair value, and the fair value hierarchy level of the Bank’s financial instruments at March 31, 2017, and December 31, 2016.

	March 31, 2017
	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments(1)
Assets
Cash and due from banks	$	41	$	41	$	41	$	—	$	—	$	—
Interest-bearing deposits	615		615		615		—		—		—
Securities purchased under agreements to resell	11,500		11,500		—		11,500		—		—
Federal funds sold	10,092		10,092		—		10,092		—		—
Trading securities	1,466		1,466		—		1,466		—		—
AFS securities	4,294		4,294		—		—		4,294		—
HTM securities	13,016		13,054		—		11,784		1,270		—
Advances	49,052		49,166		—		49,166		—		—
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	966		974		—		974		—		—
Accrued interest receivable	64		64		—		64		—		—
Derivative assets, net(1)	65		65		—		148		—		(83		)
Other assets(2)	12		12		12		—		—		—
Liabilities
Deposits	171		171		—		171		—		—
Consolidated obligations:
Bonds	49,493		49,456		—		49,456		—		—
Discount notes	35,028		35,019		—		35,019		—		—
Total consolidated obligations	84,521		84,475		—		84,475		—		—
Mandatorily redeemable capital stock	403		403		403		—		—		—
Accrued interest payable	92		92		—		92		—		—
Derivative liabilities, net(1)	1		1		—		73		—		(72		)
Other
Standby letters of credit	21		21		—		21		—		—

42

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	December 31, 2016
	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments(1)
Assets
Cash and due from banks	$	2	$	2	$	2	$	—	$	—	$	—
Interest-bearing deposits	590		590		590
Securities purchased under agreements to resell	15,500		15,500		—		15,500		—		—
Federal funds sold	4,214		4,214		—		4,214		—		—
Trading securities	2,066		2,066		—		2,066		—		—
AFS securities	4,489		4,489		—		—		4,489		—
HTM securities	14,127		14,141		—		12,788		1,353		—
Advances	49,845		49,921		—		49,921		—		—
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	826		845		—		845		—		—
Accrued interest receivable	79		79		—		79		—		—
Derivative assets, net(1)	66		66		—		140		—		(74		)
Other assets(2)	11		11		11		—		—		—
Liabilities
Deposits	169		169		—		169		—		—
Consolidated obligations:
Bonds	50,224		50,188		—		50,188		—		—
Discount notes	33,506		33,505		—		33,505		—		—
Total consolidated obligations	83,730		83,693		—		83,693		—		—
Mandatorily redeemable capital stock	457		457		457		—		—		—
Borrowings from other FHLBanks	1,345		1,345				1,345
Accrued interest payable	67		67		—		67		—		—
Derivative liabilities, net(1)	2		2		—		81		—		(79		)
Other
Standby letters of credit	24		24		—		24		—		—

(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.

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

43

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

the asset or liability (e.g., interest rates and yield curves that are observable at commonly quoted intervals, and implied volatilities); and (4) inputs that are derived principally from or corroborated by observable market data by correlation or other means.

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

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

The following assets and liabilities, including those for which the Bank has elected the fair value option, are carried at fair value on the Statements of Condition as of March 31, 2017:

• 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 – 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.

44

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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

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

As of March 31, 2017, 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, 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

45

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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 and from 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

46

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

yield curve as a base curve, which is adjusted by indicative consolidated obligation spreads obtained from market-observable sources. These market indications are generally derived from pricing indications from dealers, historical pricing relationships, and market activity for similar liabilities, such as recent GSE issuances or secondary market activity. For consolidated obligation bonds with embedded options, the Bank also obtains market-observable inputs, such as volatility assumptions, which are market-based expectations of future interest rate volatility implied from current market prices for similar options (swaption volatility and volatility skew).

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

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

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

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

Fair Value Measurements. The tables below present the fair value of assets and liabilities, which are recorded on a recurring or nonrecurring basis at March 31, 2017, and December 31, 2016, by level within the fair value hierarchy.

47

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

March 31, 2017
	Fair Value Measurement Using:						Netting
	Level 1		Level 2		Level 3		Adjustments(1)			Total
Recurring fair value measurements – Assets:
Trading securities:
GSEs – FFCB bonds	$	—	$	1,459	$	—	$	—		$	1,459
MBS:
Other U.S. obligations – Ginnie Mae	—		7		—		—			7
Total trading securities	—		1,466		—		—			1,466
AFS securities:
PLRMBS	—		—		4,294		—			4,294
Total AFS securities	—		—		4,294		—			4,294
Advances(2)	—		3,816		—		—			3,816
Derivative assets, net: interest rate-related	—		148		—		(83		)	65
Other assets	12		—		—		—			12
Total recurring fair value measurements – Assets	$	12	$	5,430	$	4,294	$	(83	)	$	9,653
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	2,236	$	—	$	—		$	2,236
Derivative liabilities, net: interest rate-related	—		73		—		(72		)	1
Total recurring fair value measurements – Liabilities	$	—	$	2,309	$	—	$	(72	)	$	2,237
Nonrecurring fair value measurements – Assets:(4)
Impaired mortgage loans held for portfolio	—		—		4		—			4
Total nonrecurring fair value measurements – Assets	$	—	$	—	$	4	$	—		$	4

December 31, 2016
	Fair Value Measurement Using:						Netting
	Level 1		Level 2		Level 3		Adjustments(1)			Total
Recurring fair value measurements – Assets:
Trading securities:
GSEs – FFCB bonds	$	—	$	2,058	$	—	$	—		$	2,058
MBS:
Other U.S. obligations – Ginnie Mae	—		8		—		—			8
Total trading securities	—		2,066		—		—			2,066
AFS securities:
PLRMBS	—		—		4,489		—			4,489
Total AFS securities	—		—		4,489		—			4,489
Advances(2)	—		3,719		—		—			3,719
Derivative assets, net: interest rate-related	—		140		—		(74		)	66
Other assets	11		—		—		—			11
Total recurring fair value measurements – Assets	$	11	$	5,925	$	4,489	$	(74	)	$	10,351
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	1,507	$	—	$	—		$	1,507
Derivative liabilities, net: interest rate-related	—		81		—		(79		)	2
Total recurring fair value measurements – Liabilities	$	—	$	1,588	$	—	$	(79	)	$	1,509
Nonrecurring fair value measurements – Assets:(4)
Impaired mortgage loans held for portfolio	—		—		5		—			5
Total nonrecurring fair value measurements – Assets	$	—	$	—	$	5	$	—		$	5

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

48

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

(2) Represents advances recorded under the fair value option at March 31, 2017, and December 31, 2016.

(3) Represents consolidated obligation bonds recorded under the fair value option at March 31, 2017, and December 31, 2016.

(4) The fair value information presented is as of the date the fair value adjustment was recorded during the three months ended March 31, 2017, and the year ended December 31, 2016.

The following table presents a reconciliation of the Bank’s AFS PLRMBS that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three months ended March 31, 2017 and 2016.

	Three Months Ended
	March 31, 2017			March 31, 2016
Balance, beginning of the period	$	4,489		$	5,414
Total gain/(loss) realized and unrealized included in:
Interest income	22			26
Net OTTI loss, credit-related	(3		)	(7		)
Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI	29			(47		)
Net amount of OTTI loss reclassified to/(from) other income/(loss)	2			(8		)
Settlements	(245		)	(233		)
Balance, end of the period	$	4,294		$	5,145
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	$	20		$	19

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 2016 Form 10-K.

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

The following table summarizes the activity related to financial assets and liabilities for which the Bank elected the fair value option during the three months ended March 31, 2017 and 2016:

49

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	Three Months Ended
	March 31, 2017						March 31, 2016
	Advances			Consolidated Obligation Bonds			Advances			Consolidated Obligation Bonds
Balance, beginning of the period	$	3,719		$	1,507		$	3,677		$	4,233
New transactions elected for fair value option	288			740			169			245
Maturities and terminations	(192		)	(15		)	(171		)	(885		)
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option	1			2			47			20
Change in accrued interest	—			2			—			—
Balance, end of the period	$	3,816		$	2,236		$	3,722		$	3,613

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 months ended March 31, 2017 and 2016.

The following table presents the difference between the aggregate remaining contractual principal balance outstanding and aggregate fair value of advances and consolidated obligation bonds for which the Bank elected the fair value option at March 31, 2017, and December 31, 2016:

	March 31, 2017							December 31, 2016
	Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance			Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance
Advances(1)	$	3,805	$	3,816	$	11		$	3,709	$	3,719	$	10
Consolidated obligation bonds	2,240		2,236		(4		)	1,515		1,507		(8		)

(1) At March 31, 2017, and December 31, 2016, none of these advances were 90 days or more past due or had been placed on nonaccrual status.

Note 17 — Commitments and Contingencies

As provided by the FHLBank Act or regulations governing the operations of the FHLBanks, all FHLBanks have joint and several liability for all FHLBank consolidated obligations, which are backed only by the financial resources of the FHLBanks. The joint and several liability regulation authorizes the Finance Agency to require any FHLBank to repay all or a portion of the principal or interest on consolidated obligations for which another FHLBank is the primary obligor. The regulations provide a general framework for addressing the possibility that an FHLBank may be unable to repay the consolidated obligations for which it is the primary obligor. The Bank has never been asked or required to repay the principal or interest on any consolidated obligation on behalf of another FHLBank, and as of March 31, 2017, 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 $959,280 at March 31, 2017, and $989,311 at December 31, 2016. The par value of the Bank’s participation in consolidated obligations was $84,564 at March 31, 2017, and $83,749 at December 31, 2016. 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 2016 Form 10-K.

Off-balance sheet commitments as of March 31, 2017, and December 31, 2016, were as follows:

50

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	March 31, 2017						December 31, 2016
	Expire Within One Year		Expire After One Year		Total		Expire Within One Year		Expire After One Year		Total
Standby letters of credit outstanding	$	11,228	$	4,226	$	15,454	$	11,094	$	4,066	$	15,160
Commitments to fund additional advances	5		1		6		5		1		6
Commitments to issue consolidated obligation discount notes, par	1,270		—		1,270		846		—		846
Commitments to issue consolidated obligation bonds, par	55		—		55		655		—		655
Commitments to purchase mortgage loans	12		—		12		13		—		13

Standby letters of credit are generally issued for a fee on behalf of members to support their obligations to third parties. If the Bank is required to make a payment for a beneficiary’s drawing under a letter of credit, the amount is immediately due and payable by the member to the Bank and is charged to the member’s demand deposit account with the Bank. The original terms of these standby letters of credit range from 33 days to 15 years, including a final expiration in 2031. The Bank monitors the creditworthiness of members that have standby letters of credit. The value of the Bank’s obligations related to standby letters of credit is recorded in other liabilities and amounted to $21 at March 31, 2017, and $24 at December 31, 2016. Standby letters of credit are fully collateralized at the time of issuance. Based on the Bank’s credit analyses of members’ financial condition and collateral requirements, the Bank deemed it unnecessary to record any additional liability on the letters of credit outstanding as of March 31, 2017, and December 31, 2016.

Commitments to fund advances totaled $6 at March 31, 2017, and $6 at December 31, 2016. Advances funded under advance commitments are fully collateralized at the time of funding (see Note 9 – Allowance for Credit Losses). Based on the Bank’s credit analyses of members’ financial condition and collateral requirements, the Bank deemed it unnecessary to record any additional liability on the advance commitments outstanding as of March 31, 2017, and December 31, 2016.

The Bank may enter into commitments that unconditionally obligate it to purchase mortgage loans from its members. Commitments are generally for periods not exceeding 60 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 has executed uncleared interest rate exchange agreements in the past 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.

51

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	March 31, 2017		December 31, 2016
Assets:
Advances	$	2,836	$	3,756
Mortgage loans held for portfolio	16		17
Accrued interest receivable	4		4
Liabilities:
Deposits	$	3	$	3
Capital:
Capital Stock	$	125	$	129

	Three Months Ended
	March 31, 2017		March 31, 2016
Interest Income:
Advances	$	9	$	9
Mortgage loans held for portfolio	—		—

All transactions with members, nonmembers, and their affiliates are entered into in the ordinary course of business. As of March 31, 2017, and December 31, 2016, no shareholder owned more than 10% of the total voting interests in the Bank because of the 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 2016 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. There were no overnight loans extended to other FHLBanks during the three months ended March 31, 2017 and 2016. During the three months ended March 31, 2017 and 2016, the Bank borrowed $10 and $425, 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 months ended March 31, 2017 and 2016, 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 months ended March 31, 2017, 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 months ended March 31, 2016, 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 three months ended March 31, 2017 and 2016, the Bank did not transfer any debt to other FHLBanks or assume any debt from other FHLBanks.

52

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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

There were no material subsequent events identified, subsequent to March 31, 2017, until the time of the Form 10-Q filing with the Securities and Exchange Commission.

53

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, 2016 (2016 Form 10-K).

54

Quarterly Overview

The Bank serves eligible financial institutions in Arizona, California and Nevada, the three states that make up the Eleventh District of the FHLBank System. The Bank’s primary business is providing competitively priced, collateralized loans, known as advances, to its member institutions and certain qualifying housing associates. The Bank's principal source of funds is debt issued in the capital markets. All 11 FHLBanks issue debt in the form of consolidated obligations through the Office of Finance as their agent, and all 11 FHLBanks are jointly and severally liable for the repayment of all consolidated obligations.

The Bank experienced strong earnings in the first quarter of 2017. Net income for the quarter was $148 million, compared with net income of $231 million for the first quarter of 2016. Earnings in both quarters were significantly enhanced by settlements related to the Bank’s private-label residential mortgage-backed securities (PLRMBS) litigation. Retained earnings grew to $3.2 billion at March 31, 2017, from $3.1 billion at December 31, 2016, and the Bank paid dividends at an annualized rate of 9.08%, totaling $65 million, including $54 million in dividends on capital stock and $11 million in dividends on mandatorily redeemable capital stock during the first quarter of 2017.

The $83 milliondecrease in net income for the first quarter of 2017 relative to the prior-year period primarily reflected a lower gain on settlements relating to the Bank's PLRMBS litigation. Litigation settlements in the first quarter of 2017 resulted in a gain of $119 million (after netting certain legal fees and expenses), compared with a gain of $211 million (after netting certain legal fees and expenses) in the first quarter of 2016.

The decrease in net income also reflected a voluntary charitable contribution of $40 million made by the Bank during the first quarter of 2017 for the Quality Jobs Fund, a donor-advised fund established to support quality job growth and small business expansion, as well as a voluntary contribution of $4 million to the Affordable Housing Program (AHP) to offset the impact on the AHP assessment of the expense related to the charitable contribution.

The decrease in net income caused by these factors was partially offset by a $30 million decrease in net fair value losses associated with derivatives, hedged items, and financial instruments carried at fair value, to net fair value gains of $2 million for the first quarter of 2017 from net fair value losses of $28 million for the first quarter of 2016, and by an increase in net interest income of $11 million as a result of higher average advance balances.

During the first quarter of 2017, total assets decreased $0.6 billion, to $91.3 billion at March 31, 2017, from $91.9 billion at December 31, 2016, primarily reflecting a slight decrease in period end advance balances, which decreased to $49.1 billion at March 31, 2017, from $49.8 billion at December 31, 2016.

Accumulated other comprehensive income increased by $32 million during the first quarter of 2017, to $143 million at March 31, 2017, from$111 million at December 31, 2016, primarily as a result of improvement in the fair value of PLRMBS classified as available-for-sale.

On April 27, 2017, the Bank’s Board of Directors declared a quarterly cash dividend on the capital stock outstanding during the first quarter of 2017 at an annualized rate of 7.00%. The dividend will total $49 million, including $8 million in dividends on mandatorily redeemable capital stock that will be reflected as interest expense in the second quarter of 2017. The Bank recorded the dividend on April 27, 2017, and expects to pay the dividend on or about May 15, 2017.

As of March 31, 2017, the Bank was in compliance with all of its regulatory capital requirements. The Bank’s total regulatory capital ratio was 6.4%, exceeding the 4.0% requirement. The Bank had $5.8 billion in permanent capital, exceeding its risk-based capital requirement of $2.1 billion.

The Bank plans to repurchase the surplus capital stock of all members and the excess capital stock of all nonmember shareholders on May 16, 2017. Surplus capital stock is defined as any stock holdings in excess of 115% of a member’s minimum capital stock requirement.

55

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.

56

Financial Highlights

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

Financial Highlights

(Unaudited)

(Dollars in millions)	March 31, 2017			December 31, 2016			September 30, 2016			June 30, 2016			March 31, 2016
Selected Balance Sheet Items at Quarter End
Total Assets	$	91,290		$	91,941		$	95,612		$	99,430		$	84,739
Advances	49,052			49,845			55,888			61,963			49,169
Mortgage Loans Held for Portfolio, Net	966			826			677			632			632
Investments(1)	40,983			40,986			38,773			36,578			34,366
Consolidated Obligations:(2)
Bonds	49,493			50,244			50,021			50,924			57,207
Discount Notes	35,028			33,506			38,230			41,930			21,095
Mandatorily Redeemable Capital Stock	403			457			484			486			486
Capital Stock —Class B —Putable	2,280			2,370			2,399			2,520			2,115
Unrestricted Retained Earnings	850			888			942			761			760
Restricted Retained Earnings	2,300			2,168			2,125			2,067			2,054
Accumulated Other Comprehensive Income/(Loss) (AOCI)	143			111			84			14			(38		)
Total Capital	5,573			5,537			5,550			5,362			4,891
Selected Operating Results for the Quarter
Net Interest Income	$	134		$	108		$	123		$	117		$	123
Provision for/(Reversal of) Credit Losses on Mortgage Loans	—			—			—			—			—
Other Income/(Loss)	112			82			241			(9		)	171
Other Expense	80			46			39			37			36
Affordable Housing Program Assessment	18			17			34			8			27
Net Income/(Loss)	$	148		$	127		$	291		$	63		$	231
Selected Other Data for the Quarter
Net Interest Margin(3)	0.58		%	0.46		%	0.51		%	0.51		%	0.58		%
Operating Expenses as a Percent of Average Assets	0.14			0.18			0.15			0.15			0.16
Return on Average Assets	0.63			0.54			1.20			0.28			1.08
Return on Average Equity	10.59			9.27			21.05			4.98			19.19
Annualized Dividend Rate	9.08			22.51			9.17			8.90			7.99
Dividend Payout Ratio(4)	36.45			108.38			17.99			78.04			19.47
Average Equity to Average Assets Ratio	5.97			5.83			5.71			5.53			5.65
Selected Other Data at Quarter End
Regulatory Capital Ratio(5)	6.39			6.40			6.22			5.87			6.39
Duration Gap (in months)	1			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 March 31, 2017, 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:

57

	Par Value (In millions)
March 31, 2017	$	959,280
December 31, 2016	989,311
September 30, 2016	967,728
June 30, 2016	963,810
March 31, 2016	896,827

(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

Net Interest Income. The primary source of the Bank’s earnings is net interest income, which is the interest earned on advances, mortgage loans, and investments, less interest paid on consolidated obligations, deposits, mandatorily redeemable capital stock, and other borrowings. The Average Balance Sheets table that follows presents the average balances of interest-earning asset categories and the sources that funded those interest-earning assets (liabilities and capital) for the three months ended March 31, 2017 and 2016, 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.

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First Quarter of 2017 Compared to First Quarter of 2016

Average Balance Sheets
	Three Months Ended
	March 31, 2017							March 31, 2016
(Dollars in millions)	Average Balance			Interest Income/ Expense		Average Rate		Average Balance			Interest Income/ Expense		Average Rate
Assets
Interest-earning assets:
Interest-bearing deposits	$	582		$	1	0.70	%	$	474		$	—	0.16	%
Securities purchased under agreements to resell	911			1		0.57		3,046			2		0.33
Federal funds sold	10,477			19		0.75		6,169			5		0.36
Trading securities:
Mortgage-backed securities (MBS)	8			—		2.10		9			—		1.84
Other investments	1,616			4		0.97		1,149			2		0.51
Available-for-sale (AFS) securities:(1)
MBS(2)	4,219			61		5.85		5,241			69		5.28
Held-to-maturity (HTM) securities:(1)
MBS	12,056			64		2.14		10,183			64		2.52
Other investments	1,215			3		1.03		274			—		0.76
Mortgage loans held for portfolio	898			9		4.18		641			8		5.07
Advances(3)	62,174			153		1.00		57,690			106		0.74
Total interest-earning assets	94,156			315		1.36		84,876			256		1.21
Other assets(4)(5)	795			—				617			—
Total Assets	$	94,951		$	315			$	85,493		$	256
Liabilities and Capital
Interest-bearing liabilities:
Consolidated obligations:
Bonds(3)	$	49,657		$	116	0.95	%	$	56,180		$	104	0.74	%
Discount notes	38,327			54		0.57		22,808			19		0.34
Deposits and other borrowings	224			—		0.42		584			—		0.14
Mandatorily redeemable capital stock	448			11		9.72		531			10		7.62
Borrowings from other FHLBanks	30			—		0.52		—			—		—
Total interest-bearing liabilities	88,686			181		0.83		80,103			133		0.67
Other liabilities(4)	594			—				557			—
Total Liabilities	89,280			181				80,660			133
Total Capital	5,671			—				4,833			—
Total Liabilities and Capital	$	94,951		$	181			$	85,493		$	133
Net Interest Income				$	134						$	123
Net Interest Spread(6)						0.53	%						0.54	%
Net Interest Margin(7)						0.58	%						0.58	%
Interest-earning Assets/Interest-bearing Liabilities	106.17		%					105.96		%

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

(2) Interest income on AFS securities includes accretion of yield adjustments on other-than-temporarily impaired PLRMBS (resulting from improvement in expected cash flows) totaling $17 million and $23 million in the first quarter of 2017 and 2016, respectively.

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

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	Three Months Ended
	March 31, 2017								March 31, 2016
(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	$	—	$	(9	)	$	(9	)	$	—	$	(18	)	$	(18	)
Consolidated obligation bonds	—		9			9			1		53			54

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

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

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

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

Net interest income in the first quarter of 2017 was $134 million, a 9%increase from $123 million in the first quarter of 2016. The following table details the changes in interest income and interest expense for the first quarter of 2017 compared to the first quarter of 2016. Changes in both volume and interest rates influence changes in net interest income, net interest spread, and net interest margin.

Change in Net Interest Income: Rate/Volume Analysis Three Months Ended March 31, 2017 Compared to Three Months Ended March 31, 2016
	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	(1		)	(2		)	1
Federal funds sold	14			5			9
Trading securities: Other investments	2			1			1
AFS securities:
MBS	(8		)	(15		)	7
HTM securities:
MBS	—			10			(10		)
Other investments	3			3			—
Mortgage loans held for portfolio	1			3			(2		)
Advances(2)	47			8			39
Total interest-earning assets	59			13			46
Interest-bearing liabilities:
Consolidated obligations:
Bonds(2)	12			(13		)	25
Discount notes	35			18			17
Mandatorily redeemable capital stock	1			(2		)	3
Total interest-bearing liabilities	48			3			45
Net interest income	$	11		$	10		$	1

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

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

The net interest margin was 58 basis points for the first quarter of 2017 and the first quarter of 2016. The net interest spread was 53 basis points for the first quarter of 2017, 1 basis point lower than the net interest spread for the first quarter of 2016, which was 54 basis points. The decrease in net interest spread was primarily due to a decline in spreads on mortgage-related assets, and higher dividends on mandatorily redeemable capital stock, which are classified as interest expense.

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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 March 31, 2017 and 2016.

Other Income/(Loss)
	Three Months Ended
(In millions)	March 31, 2017			March 31, 2016
Other Income/(Loss):
Total OTTI loss	$	(1	)	$	(15	)
Net amount of OTTI loss reclassified to/(from) AOCI	(2		)	8
Net OTTI loss, credit-related	(3		)	(7		)
Net gain/(loss) on trading securities(1)	1			1
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option	(1		)	27
Net gain/(loss) on derivatives and hedging activities	(9		)	(65		)
Gains on litigation settlements, net	119			211
Other	5			4
Total Other Income/(Loss)	$	112		$	171

(1) The net gain/(loss) on trading securities that were economically hedged totaled $1 million and a de minimis amount for the three months ended March 31, 2017 and 2016, 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 three months ended March 31, 2017 and 2016.

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Net Gain/(Loss) on Advances and Consolidated Obligation Bonds Held Under Fair Value Option
	Three Months Ended
(In millions)	March 31, 2017			March 31, 2016
Advances	$	1		$	47
Consolidated obligation bonds	(2		)	(20		)
Total	$	(1	)	$	27

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 quarter of 2017 and 2016.

Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives and Hedging Activities Three Months Ended March 31, 2017, Compared to Three Months Ended March 31, 2016
	Three Months Ended
(In millions)	March 31, 2017											March 31, 2016
	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	$	—	$	8		$	(7	)	$	1		$	—		$	(46	)	$	(12	)	$	(58	)
Not elected for fair value option	—		(1		)	1			—			—			6			1			7
Consolidated obligation bonds:
Elected for fair value option	—		1			1			2			—			9			6			15
Not elected for fair value option	—		—			1			1			(4		)	2			7			5
Consolidated obligation discount notes:
Not elected for fair value option	—		(6		)	(8		)	(14		)	—			(21		)	(11		)	(32		)
MBS:
Not elected for fair value option	—		(2		)	—			(2		)	—			(2		)	—			(2		)
Mortgage delivery commitment:
Not elected for fair value option	—		3			—			3			—			—			—			—
Total	$	—	$	3		$	(12	)	$	(9	)	$	(4	)	$	(52	)	$	(9	)	$	(65	)

During the first quarter of 2017, net losses on derivatives and hedging activities totaled $9 million compared to net losses of $65 million in the first quarter of 2016. These amounts included expense of $12 million and expense of $9 million resulting from net settlements on derivative instruments used in economic hedges in the first quarter of 2017

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and 2016, 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 quarters of 2017 and 2016,gains relating to settlements with certain defendants in connection with the Bank’s PLRMBS litigation (after netting certain legal fees and expenses) totaled $119 million and $211 million, respectively.

Other Expense. During the first quarter of 2017, other expenses totaled $80 million compared to $36 million in the first quarter of 2016, reflecting the voluntary charitable contributions made during the first quarter of 2017.

Quality Jobs Fund Expenseand Other– The Board of Directors approved an allocation of $100 million for the Quality Jobs Fund, a donor-advised fund established to support quality jobs growth and small business expansion. The Bank plans to fund this initiative in incremental amounts over the next two years. During the first quarter of 2017, the Bank made a voluntary charitable contribution of $40 million for the Quality Jobs Fund, as well as a voluntary contribution of $4 million to the Affordable Housing Program (AHP) to offset the impact on the AHP assessment of the expense related to the charitable contribution.

Return on Average Equity

Return on average equity (ROE) was 10.59% (annualized) for the first quarter of 2017, compared to 19.19% (annualized) for the first quarter of 2016. The decrease primarily reflected lower net income for the first quarter of 2017 resulting from a lower gain on settlements relating to the Bank’s PLRMBS litigation (after netting certain legal fees and expenses) for the first quarter of 2017 and from the voluntary charitable contributions made during the first quarter of 2017.

Dividends and Retained Earnings

The Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework (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. As required by the regulations governing the operations of the FHLBanks, the Framework is reviewed at least annually by the Bank’s Board of Directors. The Board of Directors may amend the Framework from time to time.

In accordance with the Framework, the Bank retains certain amounts in restricted retained earnings, which are not made available for dividends in the current dividend period. The Bank may be restricted from paying dividends if it is not in compliance with any of its minimum capital requirements or if payment would cause the Bank to fail to meet any of its minimum capital requirements. In addition, the Bank may not pay dividends if any principal or interest due on any consolidated obligation has not been paid in full or is not expected to be paid in full, or, under certain circumstances, if the Bank fails to satisfy certain liquidity requirements under applicable regulations.

The regulatory liquidity requirements state that each FHLBank must: (i) maintain eligible high quality assets (advances with a maturity not exceeding five years, U.S. Treasury securities investments, and deposits in banks or trust companies) in an amount equal to or greater than the deposits received from members, and (ii) hold contingent liquidity in an amount sufficient to meet its liquidity needs for at least five business days without access to the consolidated obligations markets. At March 31, 2017, advances maturing within five years totaled $47.9 billion,

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significantly in excess of the $171 million of member deposits on that date. At December 31, 2016, advances maturing within five years totaled $48.4 billion, significantly in excess of the $169 million of member deposits on that date.

As of March 31, 2017, and December 31, 2016, 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 five consecutive business days without issuing new consolidated obligations, subject to certain conditions. For more information, see “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Liquidity Risk” in the Bank’s 2016 Form 10-K.

Finance Agency rules do not permit the Bank to pay dividends in the form of capital stock if its excess capital stock exceeds 1% of its total assets. Excess capital stock is defined as the aggregate of the capital stock held by each shareholder in excess of its minimum capital stock requirement, as established by the Bank’s capital plan. As of March 31, 2017, the Bank’s excess capital stock totaled $340 million, or 0.37% of total assets.

In the first quarter of 2017, the Bank paid dividends at an annualized rate of 9.08%, totaling $65 million, including $54 million in dividends on capital stock and $11 million in dividends on mandatorily redeemable capital stock. In the first quarter of 2016, the Bank paid dividends at an annualized rate of 7.99%, totaling $55 million, including $45 million in dividends on capital stock and $10 million in dividends on mandatorily redeemable capital stock.

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.

In January 2017, the Framework was amended and approved by the Bank’s Board of Directors to include a dividend philosophy to endeavor to pay a quarterly dividend at an annualized rate between 5% and 7%, which was intended to be considered by the Bank’s Board of Directors beginning with the Bank’s second quarter 2017 dividend declaration. The decision to declare any dividend and the dividend rate are at the discretion of the Bank’s Board of Directors, which may choose to follow the dividend philosophy as guidance in the dividend declaration.

On April 27, 2017, the Bank’s Board of Directors declared a cash dividend on the capital stock outstanding during the first quarter of 2017 at an annualized rate of 7.00%, totaling $49 million, including $41 million in dividends on capital stock and $8 million in dividends on mandatorily redeemable capital stock. The Bank recorded the dividend on April 27, 2017. The Bank expects to pay the dividend on May 15, 2017. Dividends on mandatorily redeemable capital stock will be recognized as interest expense in the second quarter of 2017.

The Framework establishes amounts to be retained in restricted retained earnings, which are not made available in the current dividend period. The Bank’s retained earnings target may be changed at any time. Retained earnings related to valuation adjustments totaled $20 million and $18 million at March 31, 2017, and December 31, 2016, respectively. Retained earnings related to the Joint Capital Enhancement Agreement (JCE Agreement) totaled $530 million and $500 million at March 31, 2017, and December 31, 2016, respectively. Additional restricted retained earnings totaled $1.8 billion and $1.7 billion at March 31, 2017, and December 31, 2016, respectively. Total restricted retained earnings were $2.3 billion and $2.2 billion as of March 31, 2017, and December 31, 2016, respectively.

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.

For more information, see “Item 1. Business – Dividends and Retained Earnings” and “Item 8. Financial Statements and Supplementary Data – Note 15 – Capital – Excess Stock Repurchase, Retained Earnings, and Dividend Framework.” in the Bank’s 2016 Form 10-K.

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Financial Condition

Total assets were $91.3 billion at March 31, 2017, compared to $91.9 billion at December 31, 2016. Advances decreased by $0.7 billion, or 2%, to $49.1 billion at March 31, 2017, from $49.8 billion at December 31, 2016. Average total assets were $95.0 billion for the first quarter of 2017, an 11%increase compared to $85.5 billion for the first quarter of 2016. Average advances were $62.2 billion for the first quarter of 2017, an 8%increase from $57.7 billion for the first quarter of 2016. Average non-MBS investments were $14.8 billion for the first quarter of 2017, a 33%increase from $11.1 billion for the first quarter of 2016.

Advances outstanding at March 31, 2017, included unrealized losses of $25 million, of which $36 million represented unrealized losses on advances hedged in accordance with the accounting for derivative instruments and hedging activities and $11 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, 2016, included unrealized losses of $12 million, of which $22 million represented unrealized losses on advances hedged in accordance with the accounting for derivative instruments and hedging activities and $10 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 losses on the hedged advances and advances carried at fair value from December 31, 2016, to March 31, 2017, 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 $85.7 billion at March 31, 2017, a decrease of $0.7 billion from $86.4 billion at December 31, 2016, primarily reflecting a $1.3 billion decrease in borrowings from other FHLBanks, partially offset by a $0.8 billionincrease in consolidated obligations outstanding to $84.5 billion at March 31, 2017, from $83.7 billion at December 31, 2016. Average total liabilities were $89.3 billion for the first quarter of 2017, an 11%increase compared to $80.7 billion for the first quarter of 2016. Average consolidated obligations were $88.0 billion for the first quarter of 2017 and $79.0 billion for the first quarter of 2016.

Consolidated obligations outstanding at March 31, 2017, included unrealized gains of $5 million on consolidated obligation bonds hedged in accordance with the accounting for derivative instruments and hedging activities and unrealized gains of $4 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, 2016, included unrealized losses of $6 million on consolidated obligation bonds hedged in accordance with the accounting for derivative instruments and hedging activities and unrealized gains of $8 million on economically hedged consolidated obligation bonds that are carried at fair value in accordance with the fair value option. The increase in the unrealized gains on the hedged consolidated obligation bonds and on the consolidated obligation bonds carried at fair value from December 31, 2016, to March 31, 2017, were primarily attributable to the effects of changes in market interest rates, interest rate spreads, interest rate volatility, and other market factors relative to the actual terms on the Bank's consolidated obligation bonds during the period.

As provided by the FHLBank Act or regulations governing the operations of the FHLBanks, all FHLBanks have joint and several liability for all FHLBank consolidated obligations. The joint and several liability regulation authorizes the Finance Agency to require any FHLBank to repay all or a portion of the principal or interest on consolidated obligations for which another FHLBank is the primary obligor. The Bank has never been asked or required to repay the principal or interest on any consolidated obligation on behalf of another FHLBank, and as of March 31, 2017, 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 $959.3 billion at March 31, 2017, and $989.3 billion at December 31, 2016.

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

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changes in their opinion regarding, among other factors, the general outlook for a particular industry or the economy.

The Bank evaluated the publicly disclosed FHLBank regulatory actions and long-term credit ratings of the other FHLBanks as of March 31, 2017, 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.

Segment Information

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

Advances-Related Business. The advances-related business consists of advances and other credit products, related financing and hedging instruments, and liquidity and other non-MBS investments associated with the Bank’s role as a liquidity provider, and capital. Assets associated with this segment decreased$0.1 billion to $73.9 billion (81% of total assets) at March 31, 2017, from $74.0 billion (81% of total assets) at December 31, 2016.

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 $48 million in the first quarter of 2017, an increase of $12 million, or 33%, compared to $36 million in the first quarter of 2016. The increase was primarily due to an improvement in spreads and higher balances on advances-related assets and higher earnings from an increase in spreads on non-MBS investments, partially offset by lower earnings from advance prepayment fees.

Adjusted net interest income for this segment represented 37% and 30% of total adjusted net interest income for the first quarter of 2017, and 2016, respectively.

Members and nonmember borrowers prepaid $1.2 billion of advances in the first quarter of 2017 compared to $0.8 billion in the first quarter of 2016. Interest income was increased by net prepayment fees of a de minimis amount in the first quarter of 2017 and $2 million in the first quarter of 2016.

Advances – The par value of advances outstanding decreased by $0.7 billion, or 1%, to $49.1 billion at March 31, 2017, from $49.8 billion at December 31, 2016. Average advances outstanding were $62.2 billion in the first quarter of 2017, an 8%increase from $57.7 billion in the first quarter of 2016.

As of March 31, 2017, advances outstanding to the Bank’s top five borrowers and their affiliates decreased by $0.6 billion, and advances outstanding to the Bank’s other borrowers decreased by $0.1 billion. Advances to the top five borrowers decreased to $31.8 billion at March 31, 2017, from $32.4 billion at December 31, 2016. (See “Item 1. Financial Statements – Note 8 – Advances– Credit and Concentration Risk” for further information.)

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The $0.7 billiondecrease in advances outstanding primarily reflected a $1.0 billiondecrease in variable rate advances and a $0.4 billiondecrease in fixed rate advances, partially offset by a $0.7 billionincrease in adjustable rate advances.

The components of the advances portfolio at March 31, 2017, and December 31, 2016, are presented in the following table.

Advances Portfolio by Product Type
	March 31, 2017				December 31, 2016
(Dollar in millions)	Par Value		Percentage of Total Par Value		Par Value		Percentage of Total Par Value
Adjustable – LIBOR	$	3,282	7	%	$	3,232	6	%
Adjustable – LIBOR, callable at borrower’s option	15,945		32		15,396		31
Adjustable – LIBOR, with caps and/or floors and PPS(1)	80		—		30		—
Adjustable – Other Indices	2		—		2		—
Subtotal adjustable rate advances	19,309		39		18,660		37
Fixed	19,987		42		20,448		42
Fixed – amortizing	222		—		214		—
Fixed – with PPS(1)	3,133		6		3,060		6
Fixed – with caps and PPS(1)	425		1		375		1
Fixed – callable at borrower’s option	2		—		2		—
Fixed – callable at borrower’s option with PPS(1)	106		—		107		—
Fixed – putable at Bank’s option	50		—		50		—
Fixed – putable at Bank’s option with PPS(1)	—		—		75		—
Subtotal fixed rate advances	23,925		49		24,331		49
Daily variable rate	5,843		12		6,866		14
Total par value	$	49,077	100	%	$	49,857	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 $24.6 billion and $23.9 billion as of March 31, 2017, and December 31, 2016, respectively. The increase in the total size of the non-MBS investment portfolio reflects higher balances of Federal funds sold, partially offset by lower balances of securities purchased under agreements to resell, agency securities, and certificates of deposit.

Interest rate payment terms for non-MBS investments classified as HTM at March 31, 2017, and December 31, 2016, are detailed in the following table:

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Non-MBS Investments: Interest Rate Payment Terms
	March 31, 2017		December 31, 2016
Amortized cost of HTM securities other than MBS:
Fixed rate	$	700	$	1,350
Adjustable rate	212		225
Total	$	912	$	1,575

Cash and Due from Banks – Cash and due from banks was $41 million at March 31, 2017, a $39 millionincrease compared to December 31, 2016. Cash and due from banks increased due to the lack of other investment opportunities.

Borrowings – Total liabilities (primarily consolidated obligations) funding the advances-related business decreased to $68.3 billion at March 31, 2017, from $68.5 billion at December 31, 2016. 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 exchange agreements with features that offset the complex features of the bonds and, in effect, convert the bonds to adjustable rate instruments tied to an index, primarily LIBOR. For example, the Bank uses fixed rate callable bonds that are typically offset with interest rate exchange agreements with call features that offset the call options embedded in the callable bonds. This combined financing structure enables the Bank to meet its funding needs at costs not generally attainable solely through the issuance of comparable term non-callable debt.

At March 31, 2017, the notional amount of interest rate exchange agreements associated with the advances-related business totaled $58.1 billion, of which $20.2 billion were hedging advances, $37.1 billion were hedging consolidated obligations, $0.7 billion were economically hedging trading securities, and $0.1 billion were offsetting derivatives. At December 31, 2016, the notional amount of interest rate exchange agreements associated with the advances-related business totaled $59.4 billion, of which $18.7 billion were hedging advances, $39.9 billion were hedging consolidated obligations, $0.7 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 March 31, 2017, the target range for overnight Federal funds and rates on 3-month U.S. Treasury bills, 3-month LIBOR, and 2-year U.S. Treasury notes increased, while rates on 5-year U.S. Treasury notes decreased compared with December 31, 2016.

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Selected Market Interest Rates
Market Instrument	March 31, 2017		December 31, 2016		March 31, 2016		December 31, 2015
Federal Reserve target range for overnight Federal funds	0.75-1.00	%	0.50-0.75	%	0.25-0.50	%	0.25-0.50	%
3-month Treasury bill	0.75		0.50		0.20		0.16
3-month LIBOR	1.15		1.00		0.63		0.61
2-year Treasury note	1.26		1.19		0.72		1.05
5-year Treasury note	1.92		1.93		1.21		1.76

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 firstthree months of 2017 and 2016. The average issuance cost of consolidated obligation bonds and discount notes relative to LIBOR improved in the firstthree months of 2017 compared to 2016.

	Spread to LIBOR of Average Cost of Consolidated Obligations for the Three Months Ended
(In basis points)	March 31, 2017	March 31, 2016
Consolidated obligation bonds	–31.0	-6.8
Consolidated obligation discount notes (one month and greater)	–36.6	-21.8

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

At March 31, 2017, assets associated with this segment were $17.4 billion (19% of total assets), decrease of $0.5 billion from $17.9 billion at December 31, 2016 (19% of total assets).

Adjusted net interest income for this segment was $83 million in the first quarter of 2017, a decrease of $3 million, or 3%, from $86 million in the first quarter of 2016. The decrease in adjusted net interest income was primarily due to a decrease in accretion of yield adjustments on certain other-than-temporarily impaired PLRMBS, resulting from improvement in expected cash flows. Earnings from higher average balances were largely offset by a decline in spreads on MBS investments and mortgage loans.

Adjusted net interest income for this segment represented 63% and 70% of total adjusted net interest income for the first quarter of 2017 and 2016, respectively.

MBS Investments – The Bank’s MBS portfolio was $16.4 billion at March 31, 2017, compared with $17.0 billion at December 31, 2016. During the first quarter of 2017, the Bank’s MBS portfolio decreased primarily because of $1.0 billion in principal repayments, partially offset by $0.4 billion in new MBS investments. Average MBS investments were $16.3 billion in the first quarter of 2017, an increase of $0.9 billion from $15.4 billion in the first quarter of 2016. 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

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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.

Interest rate payment terms for MBS securities at March 31, 2017, and December 31, 2016, are shown in the following table:

MBS Investments: Interest Rate Payment Terms
	March 31, 2017		December 31, 2016
Amortized cost of MBS:
Passthrough securities:
Fixed rate	$	75	$	84
Adjustable rate	1,629		1,414
Subtotal	1,704		1,498
Collateralized mortgage obligations:
Fixed rate	5,940		6,427
Adjustable rate	8,595		8,989
Subtotal	14,535		15,416
Total	$	16,239	$	16,914

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

	March 31, 2017		December 31, 2016
Passthrough securities:
Converts in 1 year or less	$	43	$	48
Converts after 1 year through 5 years	28		32
Total	$	71	$	80
Collateralized mortgage obligations:
Converts in 1 year or less	$	36	$	91
Converts after 1 year through 5 years	—		—
Total	$	36	$	91

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 fixed rate mortgage loans for concurrent sale to Redwood Residential Acquisition Corporation, a subsidiary of Redwood Trust, Inc., a real estate investment trust, under the MPF Direct product; 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 March 31, 2017, all mortgage loans purchased by the Bank under the MPF Program were qualifying conventional conforming fixed rate, first lien mortgage loans with fully amortizing loan terms of up to 30 years. A

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conventional loan is one that is not insured by the federal government or any of its agencies. Conforming loan size, which is established annually as required by Finance Agency regulations, may not exceed the loan limits set by the Finance Agency each year. All MPF loans are secured by owner-occupied, one- to four-unit residential properties or single-unit second homes.

As of March 31, 2017, the Bank had approved 19 members as participating financial institutions since renewing its participation in the MPF Program in 2013. The Bank purchased $166 million in eligible loans under the MPF Original product during the firstthree months 2017.

Mortgage loan balances increased to $966 million at March 31, 2017, from $826 million at December 31, 2016, an increase of $140 million. Average mortgage loans were $898 million in the first quarter of 2017, an increase of $257 million from $641 million in the first quarter of 2016.

At March 31, 2017, and December 31, 2016, 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 2016 Form 10-K. Mortgage loan balances at March 31, 2017, and December 31, 2016, were as follows:

Mortgage Loan Balances by MPF Product Type
(In millions)	March 31, 2017			December 31, 2016
MPF Plus	$	330		$	354
MPF Original	616			460
Subtotal	946			814
Unamortized premiums	26			18
Unamortized discounts	(6		)	(6		)
Mortgage loans held for portfolio	966			826
Less: Allowance for credit losses	—			—
Mortgage loans held for portfolio, net	$	966		$	826

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 on 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 2016 Form 10-K.

Borrowings – Total consolidated obligations funding the mortgage-related business decreased$0.5 billion to $17.4 billion at March 31, 2017, from $17.9 billion at December 31, 2016, paralleling the decrease in MBS investments. 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 $8.5 billion at March 31, 2017, of which $7.0 billion were hedging or were associated with consolidated obligations funding the mortgage portfolio and $1.5 billion were associated with MBS. The notional amount of interest rate exchange agreements associated with the mortgage-related business totaled $5.6 billion at December 31, 2016, of which $3.4 billion were hedging or were associated with consolidated obligations funding the mortgage portfolio and $2.2 billion were associated with MBS.

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Interest Rate Exchange Agreements

A derivative transaction or interest rate exchange agreement is a financial contract whose fair value is generally derived from changes in the value of an underlying asset or liability. The Bank uses interest rate swaps; interest rate cap and floor agreements; and callable and putable interest rate swaps (collectively, interest rate exchange agreements) to manage its exposure to interest rate risks inherent in its ordinary course of business, including its lending, investment, and funding activities. For more information on the primary strategies that the Bank employs

for using interest rate exchange agreements and the associated market risks, see “Item 7. Management’s Discussion

and Analysis of Financial Condition and Results of Operations – Risk Management – Market Risk – Interest Rate

Exchange Agreements” in the Bank’s 2016 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 March 31, 2017, and December 31, 2016.

Interest Rate Exchange Agreements
(In millions)			Notional Amount
Hedging Instrument	Hedging Strategy	Accounting Designation	March 31, 2017		December 31, 2016
Hedged Item: Advances
Pay fixed, receive adjustable interest rate swap	Fixed rate advance converted to a LIBOR adjustable rate	Fair Value Hedge	$	11,627	$	11,880
Basis swap	Adjustable rate advance converted to another adjustable rate index to reduce interest rate sensitivity and repricing gaps	Economic Hedge(1)	2		2
Received fixed, pay adjustable interest rate swap	LIBOR adjustable rate advance converted to a fixed rate	Economic Hedge(1)	1,632		1,432
Pay fixed, receive adjustable interest rate swap	Fixed rate advance converted to a LIBOR adjustable rate	Economic Hedge(1)	3,148		1,681
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)	3,724		3,677
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		30
Subtotal Economic Hedges(1)			8,586		6,822
Total			20,213		18,702
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	8,273		8,371
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)	980		6,550
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)	590		590
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)	2,125		500
Subtotal Economic Hedges(1)			3,695		7,640
Total			11,968		16,011

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Interest Rate Exchange Agreements (continued)
(In millions)			Notional Amount
Hedging Instrument	Hedging Strategy	Accounting Designation	March 31, 2017		December 31, 2016
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	620		490
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)	1,255		685
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)	1,650		950
Subtotal Economic Hedges(1)			2,905		1,635
Total			3,525		2,125
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)	1,535		1,535
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)	26,629		23,244
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)	450		450
Total			28,614		25,229
Hedged Item: Trading Securities
Basis swap	Basis swap hedging adjustable rate Federal Farm Credit Bank (FFCB) bonds	Economic Hedge(1)	750		750
Interest rate cap	Stand-alone interest rate cap used to offset cap risk embedded in floating rate MBS	Economic Hedge(1)	1,480		2,150
Total			2,230		2,900
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)	64		89
Total			64		89
Stand-Alone Derivatives
Mortgage delivery commitments	N/A	N/A	12		13
Total			12		13
Total Notional Amount			$	66,626	$	65,069

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

The following tables categorize the notional amounts and estimated fair values of the Bank’s interest rate exchange agreements, unrealized gains and losses from the related hedged items, and estimated fair value gains and losses from financial instruments carried at fair value by type of accounting treatment and product as of March 31, 2017, and December 31, 2016.

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Interest Rate Exchange Agreements Notional Amounts and Estimated Fair Values
March 31, 2017
(In millions)	Notional Amount		Fair Value of Derivatives			Unrealized Gain/(Loss) on Hedged Items			Financial Instruments Carried at Fair Value			Difference
Fair value hedges:
Advances	$	11,627	$	36		$	(36	)	$	—		$	—
Non-callable bonds	8,273		(4		)	3			—			(1		)
Callable bonds	620		(1		)	2			—			1
Subtotal	20,520		31			(31		)	—			—
Not qualifying for hedge accounting:
Advances	8,586		9			—			4			13
Non-callable bonds	3,695		1			—			(2		)	(1		)
Callable bonds	2,905		(15		)	—			9			(6		)
Discount notes	28,614		22			—			—			22
FFCB bonds	750		(1		)	—			—			(1		)
MBS	1,480		3			—			—			3
Mortgage delivery commitments	12		—			—			—			—
Offsetting derivatives	64		—			—			—			—
Subtotal	46,106		19			—			11			30
Total excluding accrued interest	66,626		50			(31		)	11			30
Accrued interest	—		25			(35		)	4			(6		)
Total	$	66,626	$	75		$	(66	)	$	15		$	24

December 31, 2016
(In millions)	Notional Amount		Fair Value of Derivatives			Unrealized Gain/(Loss) on Hedged Items			Financial Instruments Carried at Fair Value			Difference
Fair value hedges:
Advances	$	11,880	$	23		$	(22	)	$	—		$	1
Non-callable bonds	8,371		7			(8		)	—			(1		)
Callable bonds	490		(1		)	2			—			1
Subtotal	20,741		29			(28		)	—			1
Not qualifying for hedge accounting:
Advances	6,822		—			—			2			2
Non-callable bonds	7,640		—			—			(1		)	(1		)
Callable bonds	1,635		(16		)	—			10			(6		)
Discount notes	25,229		29			—			—			29
FFCB bonds	750		(1		)	—			—			(1		)
MBS	2,150		6			—			—			6
Mortgage delivery commitments	13		—			—			—			—
Offsetting derivatives	89		—			—			—			—
Subtotal	44,328		18			—			11			29
Total excluding accrued interest	65,069		47			(28		)	11			30
Accrued interest	—		12			(10		)	6			8
Total	$	65,069	$	59		$	(38	)	$	17		$	38

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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.”

Concentration Risk. The following table presents the concentration in derivatives with derivative counterparties whose outstanding notional balances represented 10% or more of the Bank’s total notional amount of derivatives outstanding as of March 31, 2017, and December 31, 2016.

Concentration of Derivative Counterparties
(Dollars in millions)	March 31, 2017					December 31, 2016
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	$	10,559	16	%	At least BBB	$	10,032	15	%
Subtotal uncleared		10,559		16			10,032		15
Cleared
LCH Clearnet(2)
Credit Suisse Securities (USA) LLC	A	31,200		47		A	30,548		47
Morgan Stanley & Co. LLC	A	24,855		37		A	20,994		33
Deutsche Bank Securities Inc.	BBB	—		—		BBB	3,482		5
Subtotal cleared		56,055		84			55,024		85
Total(3)		$	66,614	100	%		$	65,056	100	%

(1) The credit ratings used by the Bank are based on the lower of Moody’s Investors Service (Moody’s) or S&P Global Ratings (S&P) 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 S&P.

(3) Total notional amount at March 31, 2017, and December 31, 2016, does not include $12 million and $13 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

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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.

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 March 31, 2017, and December 31, 2016.

Principal Financial Obligations Due and Funds Available for Selected Period
	As of March 31, 2017		As of December 31, 2016
(In millions)	5 Business Days		5 Business Days
Obligations due:
Demand deposits	$	187	$	184
Loans from other FHLBanks	—		1,345
Discount note and bond maturities and expected exercises of bond call options	3,078		2,412
Subtotal obligations due	3,265		3,941
Sources of available funds:
Maturing investments	20,412		19,175
Available cash	36		1
Proceeds from scheduled settlements of discount notes and bonds	1,270		1,346
Maturing advances and scheduled prepayments	6,031		7,121
Subtotal sources of available funds	27,749		27,643
Net funds available	$	24,484	$	23,702

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 2016 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 March 31, 2017, and December 31, 2016. The Bank’s risk-based capital requirement decreased to $2.1 billion at March 31, 2017, from $2.2 billion at December 31, 2016.  

Regulatory Capital Requirements
	March 31, 2017						December 31, 2016
(Dollars in millions)	Required			Actual			Required			Actual
Risk-based capital	$	2,149		$	5,833		$	2,241		$	5,883
Total regulatory capital	3,652			5,833			3,678			5,883
Total regulatory capital ratio	4.00		%	6.39		%	4.00		%	6.40		%
Leverage capital	$	4,565		$	8,750		$	4,597		$	8,825
Leverage ratio	5.00		%	9.58		%	5.00		%	9.60		%

The Bank repurchased $173 million in excess capital stock during the firstthree months of 2017. 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.

In accordance with its practice, the Bank plans to repurchase the surplus capital stock of all members and the excess

capital stock of all nonmember shareholders on May 16, 2017.

The Bank’s capital requirements are more fully discussed in “Item 8. Financial Statements and Supplementary Data – Note 15 – Capital.” in the Bank’s 2016 Form 10-K.

Risk Management

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

Financial Condition and Results of Operations – Risk Management” in the Bank’s 2016 Form 10-K.

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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 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

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frequency (monthly or quarterly), the borrower’s financial strength and condition, and any institution-specific collateral risks. Under the terms of the Bank’s lending agreements, the aggregate borrowing capacity of a borrower’s pledged eligible collateral must meet or exceed the total amount of the borrower’s outstanding advances, other extensions of credit, and certain other borrower obligations and liabilities. The Bank monitors each borrower’s aggregate borrowing capacity and collateral requirements on a daily basis by comparing the institution’s borrowing capacity to its obligations to the Bank.

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

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

The following tables present a summary of the status of the credit outstanding and overall collateral borrowing capacity of the Bank’s member and nonmember borrowers as of March 31, 2017, and December 31, 2016. During the three months ended March 31, 2017, 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)
March 31, 2017
	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	264	154	$	54,721	$	180,995	30	%
4-6	62	27	9,702		23,619		41
7-10	7	3	19		46		41
Subtotal	333	184	64,442		204,660		31
CDFIs	6	3	66		86		77
Housing associates	2	1	55		56		98
Total	341	188	$	64,563	$	204,802	32	%

December 31, 2016
	All Members and Nonmembers	Members and Nonmembers with Credit Outstanding
					Collateral Borrowing Capacity(2)
Member or Nonmember Credit Quality Rating	Number	Number	Credit Outstanding(1)		Total		Used
1-3	266	155	$	55,290	$	181,405	30	%
4-6	62	28	9,662		22,606		43
7-10	3	2	17		46		37
Subtotal	331	185	64,969		204,057		32
CDFIs	6	3	60		82		73
Housing associates	2	1	10		16		63
Total	339	189	$	65,039	$	204,155	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.

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

Member and Nonmember Credit Outstanding and Collateral Borrowing Capacity by Unused Borrowing Capacity
(Dollars in millions)
March 31, 2017
Unused Borrowing Capacity	Number of Members and Nonmembers with Credit Outstanding	Credit Outstanding(1)		Collateral Borrowing Capacity(2)
0% – 10%	6	$	183	$	194
11% – 25%	6	365		455
26% – 50%	25	31,467		49,213
More than 50%	151	32,548		154,940
Total	188	$	64,563	$	204,802

December 31, 2016
Unused Borrowing Capacity	Number of Members and Nonmembers with Credit Outstanding	Credit Outstanding(1)		Collateral Borrowing Capacity(2)
0% – 10%	2	$	26	$	27
11% – 25%	9	1,791		2,261
26% – 50%	30	33,096		52,503
More than 50%	148	30,126		149,364
Total	189	$	65,039	$	204,155

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

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

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

Securities pledged as collateral are assigned borrowing capacities that reflect the securities’ pricing volatility and market liquidity risks. Securities are delivered to the Bank’s custodian when they are pledged. The Bank prices securities collateral on a daily basis or twice a month, depending on the availability and reliability of external pricing sources. Securities that are normally priced twice a month may be priced more frequently in volatile market conditions. The Bank benchmarks the borrowing capacities for securities collateral to the market on a periodic basis and may review and change the borrowing capacity for any security type at any time. As of March 31, 2017, the borrowing capacities assigned to U.S. Treasury and agency securities ranged from 55% to 98% of their market value. The borrowing capacities assigned to private-label MBS, which must be rated AAA or AA when initially pledged, generally ranged from 55% to 80% of their market value, depending on the underlying collateral (residential mortgage loans, home equity loans, or commercial real estate loans), the rating, and the subordination structure of the respective securities.

The following table presents the securities collateral pledged by all members and by nonmembers with credit outstanding at March 31, 2017, and December 31, 2016.

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Composition of Securities Collateral Pledged by Members and by Nonmembers with Credit Outstanding
(In millions)	March 31, 2017				December 31, 2016
Securities Type with Current Credit Ratings	Current Par		Borrowing Capacity		Current Par		Borrowing Capacity
U.S. Treasury (bills, notes, bonds)	$	492	$	480	$	2,377	$	2,315
Agency (notes, subordinated debt, structured notes, indexed amortization notes, and Small Business Administration pools)	3,136		3,057		3,147		3,063
Agency pools and collateralized mortgage obligations	9,808		9,339		8,986		8,559
PLRMBS – publicly registered investment-grade-rated senior tranches	—		—		1		—
PLRMBS – private placement investment-grade-rated senior tranches	79		59		83		62
Municipal Bonds – investment-grade-rated	60		54		61		55
Total	$	13,575	$	12,989	$	14,655	$	14,054

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 March 31, 2017, of the loan collateral pledged to the Bank, 27% was pledged by 26 institutions by specific identification, 48% was pledged by 126 institutions under a blanket lien with detailed reporting, and 25% was pledged by 124 institutions under a blanket lien with summary reporting.

As of March 31, 2017, the Bank’s maximum borrowing capacities as a percentage of the assigned market value of mortgage loan collateral pledged under a blanket lien with detailed reporting were as follows: 92% for first lien residential mortgage loans, 91% for multifamily mortgage loans, 88% for commercial mortgage loans, and 82% for second lien residential mortgage loans. The maximum borrowing capacity for small business, small agribusiness, and small farm loans was 50% of the unpaid principal balance, although most of these loans are pledged under blanket lien with summary reporting, with a maximum borrowing capacity of 25%. The highest borrowing capacities are available to borrowers that pledge under a blanket lien with detailed reporting because the detailed loan information allows the Bank to assess the value of the collateral more precisely and because additional collateral is pledged under the blanket lien that may not receive borrowing capacity but may be liquidated to repay advances in the event of default. The Bank may review and change the maximum borrowing capacity for any type of loan collateral at any time.

The table below presents the mortgage loan collateral pledged by all members and by nonmembers with credit outstanding at March 31, 2017, and December 31, 2016.

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Composition of Loan Collateral Pledged by Members and by Nonmembers with Credit Outstanding
(In millions)	March 31, 2017				December 31, 2016
Loan Type	Unpaid Principal Balance		Borrowing Capacity		Unpaid Principal Balance		Borrowing Capacity
First lien residential mortgage loans	$	124,719	$	106,839	$	124,257	$	107,775
Second lien residential mortgage loans and home equity lines of credit	22,475		13,162		23,238		13,302
Multifamily mortgage loans	24,189		19,724		23,191		19,082
Commercial mortgage loans	65,679		47,152		62,586		44,802
Loan participations(1)	5,297		4,124		5,450		4,375
Small business, small farm, and small agribusiness loans	3,303		811		3,016		765
Other	2		1		—		—
Total	$	245,664	$	191,813	$	241,738	$	190,101

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

The Bank holds a security interest in subprime residential mortgage loans pledged as collateral. Subprime loans are defined as loans with a borrower FICO score of 660 or less at origination, or if the original FICO score is not available, as loans with a current borrower FICO score of 660 or less. At March 31, 2017, and December 31, 2016, the unpaid principal balance of these loans totaled $8 billion and $9 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.

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, S&P, or comparable Fitch Ratings (Fitch) ratings.

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Investment Credit Exposure
(In millions)
March 31, 2017
	Carrying Value
	Credit Rating(1)
Investment Type	AAA		AA		A		BBB		Below Investment Grade		Unrated		Total
Non-MBS
Certificates of deposit	$	—	$	—	$	700	$	—	$	—	$	—	$	700
Housing finance agency bonds:
CalHFA bonds	—		—		212		—		—		—		212
GSEs:
FFCB bonds	—		1,459		—		—		—		—		1,459
Total non-MBS	—		1,459		912		—		—		—		2,371
MBS:
Other U.S. obligations – single-family:
Ginnie Mae	—		909		—		—		—		—		909
GSEs – single-family:
Freddie Mac	—		2,598		—		—		—		—		2,598
Fannie Mae(2)	—		4,667		10		—		7		—		4,684
Subtotal	—		7,265		10		—		7		—		7,282
GSEs – multifamily:
Freddie Mac	—		1,547		—		—		—		—		1,547
Fannie Mae	—		1,295		—		—		—		—		1,295
Subtotal	—		2,842		—		—		—		—		2,842
Total GSEs	—		10,107		10		—		7		—		10,124
PLRMBS:
Prime	—		1		6		268		803		3		1,081
Alt-A, option ARM	—		—		—		—		871		—		871
Alt-A, other	5		13		16		120		3,263		3		3,420
Total PLRMBS	5		14		22		388		4,937		6		5,372
Total MBS	5		11,030		32		388		4,944		6		16,405
Total securities	5		12,489		944		388		4,944		6		18,776
Interest-bearing deposits	—		—		615		—		—		—		615
Securities purchased under agreements to resell	—		11,500		—		—		—		—		11,500
Federal funds sold(3)	—		4,356		5,736		—		—		—		10,092
Total investments	$	5	$	28,345	$	7,295	$	388	$	4,944	$	6	$	40,983

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(In millions)
December 31, 2016
	Carrying Value
	Credit Rating(1)
Investment Type	AAA		AA		A		BBB		Below Investment Grade		Unrated		Total
Non-MBS
Certificates of deposit	$	—	$	600	$	750	$	—	$	—	$	—	$	1,350
Housing finance agency bonds:
CalHFA bonds	—		—		225		—		—		—		225
GSEs:
FFCB bonds	—		2,058		—		—		—		—		2,058
Total non-MBS	—		2,658		975		—		—		—		3,633
MBS:
Other U.S. obligations – single-family:
Ginnie Mae	—		959		—		—		—		—		959
GSEs – single-family:
Freddie Mac	—		2,793		—		—		—		—		2,793
Fannie Mae(2)	—		5,020		10		—		7		—		5,037
Subtotal	—		7,813		10		—		7		—		7,830
GSEs – multifamily:
Freddie Mac	—		1,556		—		—		—		—		1,556
Fannie Mae	—		1,058		—		—		—		—		1,058
Subtotal	—		2,614		—		—		—		—		2,614
Total GSEs	—		10,427		10		—		7		—		10,444
PLRMBS:
Prime	—		1		1		295		842		2		1,141
Alt-A, option ARM	—		—		—		—		897		—		897
Alt-A, other	5		15		17		128		3,440		3		3,608
Total PLRMBS	5		16		18		423		5,179		5		5,646
Total MBS	5		11,402		28		423		5,186		5		17,049
Total securities	5		14,060		1,003		423		5,186		5		20,682
Interest-bearing deposits	—		—		590		—		—		—		590
Securities purchased under agreements to resell	—		15,500		—		—		—		—		15,500
Federal funds sold(3)	—		1,576		2,585		53		—		—		4,214
Total investments	$	5	$	31,136	$	4,178	$	476	$	5,186	$	5	$	40,986

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

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

(3) Includes $130 million and $130 million at March 31, 2017, and December 31, 2016, respectively, 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

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conditions and political stability when establishing limits on unsecured investments with U.S. branches and agency offices of foreign commercial banks. As a result of deteriorating financial condition or concerns about adverse economic or market developments, the Bank may reduce limits or terms on unsecured investments or suspend a counterparty.

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

The following table presents the unsecured credit exposure with counterparties by investment type at March 31, 2017, and December 31, 2016.

Unsecured Investment Credit Exposure by Investment Type
	Carrying Value(1)
(In millions)	March 31, 2017		December 31, 2016
Interest-bearing deposits	$	615	$	590
Certificates of deposit	700		1,350
Federal funds sold	10,092		4,214
Total	$	11,407	$	6,154

(1) Excludes unsecured investment credit exposure to U.S. government agencies and instrumentalities, government-sponsored enterprises, and supranational entities and does not include related accrued interest as of March 31, 2017, and December 31, 2016.

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, S&P, or comparable Fitch ratings. This table does not reflect the foreign sovereign government’s credit rating. At March 31, 2017, 38% of the carrying value of unsecured investments held by the Bank were rated AA, and 93% of the Bank’s total unsecured investments were to U.S. branches and agency offices of foreign commercial banks.

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Ratings of Unsecured Investment Credit Exposure by Domicile of Counterparty
(In millions)
March 31, 2017
	Carrying Value(1)
	Credit Rating(2)
Domicile of Counterparty	AA		A		Total
Domestic(3)	$	130	$	715	$	845
Total domestic and U.S. subsidiaries of foreign commercial banks	130		715		845
U.S. branches and agency offices of foreign commercial banks:
Australia	1,933		—		1,933
Canada	500		1,596		2,096
France	—		988		988
Japan	—		1,488		1,488
Netherlands	—		688		688
Norway	—		688		688
Sweden	1,793		688		2,481
Switzerland	—		200		200
Total U.S. branches and agency offices of foreign commercial banks	4,226		6,336		10,562
Total unsecured credit exposure	$	4,356	$	7,051	$	11,407

(1) Excludes unsecured investment credit exposure to U.S. government agencies and instrumentalities, government-sponsored enterprises, and supranational entities and does not include related accrued interest as of March 31, 2017.

(2) Does not reflect changes in ratings, outlook, or watch status occurring after March 31, 2017. These ratings represent the lowest rating available for each unsecured investment owned by the Bank, based on the ratings provided by Moody’s, S&P, or comparable Fitch ratings. The Bank’s internal rating may differ from this rating.

(3) Includes $130 million at March 31, 2017, in Federal funds sold to a member counterparty determined by the Bank to have an internal credit rating equivalent to an AA rating.

The following table presents the contractual maturity of the Bank’s unsecured investment credit exposure 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. At March 31, 2017, 78% of the carrying value of unsecured investments held by the Bank had overnight maturities.

Contractual Maturity of Unsecured Investment Credit Exposure by Domicile of Counterparty
(In millions)
March 31, 2017
Domicile of Counterparty	Overnight		Due 2 Days Through 30 Days		Due 31 Days Through 90 Days		Total
Domestic	$	845	$	—	$	—	$	845
Total domestic and U.S. subsidiaries of foreign commercial banks	845		—		—		845
U.S. branches and agency offices of foreign commercial banks:
Australia	1,283		500		150		1,933
Canada	1,596		—		500		2,096
France	638		—		350		988
Japan	688		800		—		1,488
Netherlands	688		—		—		688
Norway	688		—		—		688
Sweden	2,481		—		—		2,481
Switzerland	—		—		200		200
Total U.S. branches and agency offices of foreign commercial banks	8,062		1,300		1,200		10,562
Total unsecured credit exposure	$	8,907	$	1,300	$	1,200	$	11,407

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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 March 31, 2017.

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 federally taxable mortgage revenue bonds, collateralized by pools of first lien residential mortgage loans and credit-enhanced by bond insurance. The bonds held by the Bank are issued by the California Housing Finance Agency (CalHFA) and insured by either National Public Financial Guarantee (formerly MBIA Insurance Corporation), or Assured Guaranty Municipal Corporation (formerly Financial Security Assurance Incorporated). At March 31, 2017, all of the bonds were rated at least A by Moody’s or S&P.

For the Bank’s investments in housing finance agency bonds, which were issued by CalHFA, the gross unrealized losses were mainly due to an illiquid market, credit concerns regarding the underlying mortgage collateral, and credit concerns regarding the monoline insurance providers, causing these investments to be valued at a discount to their acquisition cost. The Bank independently modeled cash flows for the underlying collateral, using assumptions for default rates and loss severity that a market participant would deem reasonable, and concluded that the available credit support within the CalHFA structure more than offset the projected underlying collateral losses. The Bank determined that, as of March 31, 2017, all of the gross unrealized losses on the CalHFA bonds are temporary because the underlying collateral and credit enhancements were sufficient to protect the Bank from losses. As a result, the Bank expects to recover the entire amortized cost basis of these securities. If conditions in the housing and mortgage markets and general business and economic conditions deteriorate, the fair value of the CalHFA bonds may decline further and the Bank may experience OTTI in future periods.

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

agency residential MBS, which are backed by Fannie Mae, Freddie Mac, or Ginnie Mae. Some of the PLRMBS were issued by and/or purchased from members, former members, or their affiliates. The Bank has investment credit limits and terms for these investments that do not differ for members and nonmembers. Regulatory policy limits total MBS investments to three times the Bank’s capital at the time of purchase. At March 31, 2017, the Bank’s MBS portfolio was 279% of Bank capital (as determined in accordance with regulations governing the operations of the FHLBanks). The Bank has not purchased any PLRMBS since the first quarter of 2008.

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

At March 31, 2017, PLRMBS representing 26% of the amortized cost of the Bank’s MBS portfolio were labeled Alt-A by the issuer. These PLRMBS are generally collateralized by mortgage loans that are considered less risky than subprime loans but more risky than prime loans. These loans are generally made to borrowers with credit scores that are high enough to qualify for a prime mortgage loan, but the loans may not meet standard underwriting guidelines for documentation requirements, property type, or loan-to-value ratios.

As of March 31, 2017, the Bank’s investment in MBS had gross unrealized losses totaling $144 million, most of which were related to PLRMBS. These gross unrealized losses were primarily due to illiquidity in the MBS market and market expectations of the credit performance of loan collateral underlying these securities, which caused these assets to be valued at discounts to their amortized cost.

For its agency MBS, the Bank expects to recover the entire amortized cost basis of these securities because the Bank determined that the strength of the issuers’ guarantees through direct obligations or support from the U.S. government is sufficient to protect the Bank from losses. As a result, the Bank determined that, as of March 31, 2017, all of the gross unrealized losses on its agency MBS are temporary.

To assess whether it expects to recover the entire amortized cost basis of its PLRMBS, the Bank performed a cash flow analysis for all of its PLRMBS as of March 31, 2017, using two third-party models. The first model projects

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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 5.0% to an increase of 10.0% over the 12-month period beginning January 1, 2017. For the vast majority of markets, the projected short-term housing price changes range from 0.0% 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 March 31, 2017:

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	—	$	—	$	—		—	$	—	$	—
Alt-A, option ARM	—	—		—			—	—		—
Alt-A, other	13	276		(3		)	17	401		(6		)
Total	13	$	276	$	(3	)	17	$	401	$	(6	)

(1) Amounts are for the three months ended March 31, 2017.

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

The following table presents the ratings of the Bank’s PLRMBS as of March 31, 2017, by collateral type at origination and by year of securitization.

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Unpaid Principal Balance of PLRMBS by Year of Securitization and Credit Rating
(In millions)
March 31, 2017
	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	$	—	$	—	$	—	$	—	$	130	$	—	$	130
2007	—		—		—		—		324		—		324
2006	—		—		—		—		35		—		35
2005	—		—		—		15		41		—		56
2004 and earlier	—		1		6		251		332		3		593
Total Prime	—		1		6		266		862		3		1,138
Alt-A, option ARM
2007	—		—		—		—		789		—		789
2006	—		—		—		—		143		—		143
2005	—		—		—		—		158		—		158
Total Alt-A, option ARM	—		—		—		—		1,090		—		1,090
Alt-A, other
2008	—		—		—		—		91		—		91
2007	—		—		—		—		1,101		—		1,101
2006	—		—		—		—		442		—		442
2005	—		3		—		2		1,738		—		1,743
2004 and earlier	5		10		16		117		349		3		500
Total Alt-A, other	5		13		16		119		3,721		3		3,877
Total par value	$	5	$	14	$	22	$	385	$	5,673	$	6	$	6,105

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

The following table presents the ratings of the Bank’s other-than-temporarily impaired PLRMBS at March 31, 2017, 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)
March 31, 2017
	Unpaid Principal Balance
	Credit Rating(1)
Collateral Type at Origination and Year of Securitization	AA		BBB		Below Investment Grade		Total
Prime
2008	$	—	$	—	$	121	$	121
2007	—		—		283		283
2006	—		—		15		15
2005	—		—		19		19
2004 and earlier	—		—		41		41
Total Prime	—		—		479		479
Alt-A, option ARM
2007	—		—		790		790
2006	—		—		143		143
2005	—		—		158		158
Total Alt-A, option ARM	—		—		1,091		1,091
Alt-A, other
2008	—		—		91		91
2007	—		—		1,078		1,078
2006	—		—		442		442
2005	—		—		1,738		1,738
2004 and earlier	5		16		167		188
Total Alt-A, other	5		16		3,516		3,537
Total par value	$	5	$	16	$	5,086	$	5,107

(1) The credit ratings used by the Bank are based on the lowest of Moody’s, S&P, 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)
March 31, 2017
																	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	$	113	$	—		$	121	$	—		$	—		$	—		12.48	%	30.00	%	11.49	%
2007	269		(4		)	275		—			—			—			11.63		22.73		2.76
2006	30		—			32		—			—			—			14.44		12.52		4.11
2005	55		(1		)	56		—			—			—			10.14		11.96		15.05
2004 and earlier	591		(8		)	587		—			—			—			6.37		4.46		13.40
Total Prime	1,058		(13		)	1,071		—			—			—			9.00		13.20		9.95
Alt-A, option ARM
2007	654		(22		)	660		—			—			—			19.78		44.18		14.09
2006	105		(4		)	119		—			—			—			18.73		44.90		4.45
2005	61		(2		)	91		—			—			—			15.82		22.80		5.53
Total Alt-A, option ARM	820		(28		)	870		—			—			—			19.07		41.17		11.58
Alt-A, other
2008	88		(3		)	85		—			—			—			6.27		31.80		22.03
2007	941		(30		)	953		(1		)	(2		)	(3		)	18.64		26.95		10.08
2006	311		—			369		—			—			—			18.79		18.42		0.66
2005	1,501		(43		)	1,522		—			—			—			12.54		14.42		4.57
2004 and earlier	494		(8		)	496		—			—			—			9.72		8.13		18.62
Total Alt-A, other	3,335		(84		)	3,425		(1		)	(2		)	(3		)	14.47		18.03		7.91
Total	$	5,213	$	(125	)	$	5,366	$	(1	)	$	(2	)	$	(3	)	14.27	%	21.26	%	8.95	%

(1) Amounts are for the three months ended March 31, 2017.

(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 $485 million, $374 million, and $1.7 billion, respectively, at March 31, 2017, and the amortized cost of Prime, Alt-A, option ARM, and Alt-A, other in a gross unrealized loss position was $487 million, $325 million, and $1.5 billion, respectively, at March 31, 2017.

The following table presents a summary of the significant inputs used to determine potential OTTI credit losses in the Bank’s PLRMBS portfolio at March 31, 2017.

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Significant Inputs to OTTI Credit Analysis for All PLRMBS
March 31, 2017
	Significant Inputs			Current
	Prepayment Rates	Default Rates	Loss Severities	Credit Enhancement
Year of Securitization	Weighted Average %	Weighted Average %	Weighted Average %	Weighted Average %
Prime
2008	14.5	9.7	30.6	15.9
2007	10.9	3.8	21.9	9.6
2006	12.2	3.0	21.5	6.8
2005	17.6	3.0	19.7	12.5
2004 and earlier	17.8	3.2	21.8	12.6
Total Prime	16.4	4.9	24.0	13.1
Alt-A, option ARM
2007	7.2	28.5	40.8	14.2
2006	6.6	31.3	37.6	4.4
2005	7.7	19.9	35.6	5.7
Total Alt-A, option ARM	7.2	27.6	39.6	11.7
Alt-A, other
2007	11.6	21.0	38.7	5.4
2006	10.5	20.1	37.6	8.0
2005	13.8	13.2	35.1	4.8
2004 and earlier	16.2	10.7	31.0	18.9
Total Alt-A, other	13.0	16.1	35.9	7.4
Total	12.4	16.6	34.9	9.0

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	March 31, 2017		December 31, 2016		September 30, 2016		June 30, 2016		March 31, 2016
Prime
2008	92.93	%	92.87	%	92.11	%	91.75	%	91.96	%
2007	84.87		83.93		82.68		82.33		82.24
2006	92.25		92.38		91.84		90.80		91.38
2005	99.44		98.97		98.37		97.38		96.44
2004 and earlier	99.09		98.68		97.75		97.00		96.91
Weighted average of all Prime	94.15		93.71		92.80		92.23		92.24
Alt-A, option ARM
2007	83.66		83.05		81.85		79.63		79.34
2006	83.04		80.76		80.08		76.13		74.29
2005	57.79		57.58		56.73		55.40		58.04
Weighted average of all Alt-A, option ARM	79.82		79.05		77.92		75.58		75.65
Alt-A, other
2008	93.62		93.31		91.83		90.36		89.44
2007	86.49		85.88		86.23		85.60		85.12
2006	83.63		82.57		82.78		81.25		83.70
2005	87.31		87.11		86.71		85.96		86.77
2004 and earlier	99.10		98.51		97.90		97.07		97.07
Weighted average of all Alt-A, other	88.33		87.86		87.69		86.86		87.36
Weighted average of all PLRMBS	87.89	%	87.40	%	86.96	%	85.96	%	86.36	%

The Bank determined that, as of March 31, 2017, the gross unrealized losses on the PLRMBS that have not had an OTTI loss are primarily due to illiquidity in the PLRMBS market and market expectations of the credit performance of loan collateral underlying these securities, which caused these assets to be valued at discounts to their amortized cost. The Bank does not intend to sell these securities, it is not more likely than not that the Bank will be required to sell these securities before its anticipated recovery of the remaining amortized cost basis, and the Bank expects to recover the entire amortized cost basis of these securities. As a result, the Bank determined that, as of March 31, 2017, all of the gross unrealized losses on these securities are temporary. The Bank will continue to monitor and analyze the performance of these securities to assess the likelihood of the recovery of the entire amortized cost basis of these securities as of each balance sheet date.

If conditions in the housing and mortgage markets and general business and economic conditions deteriorate, the fair value of MBS may decline further and the Bank may experience OTTI of additional PLRMBS in future periods, as well as further impairment of PLRMBS that were identified as other-than-temporarily impaired as of March 31, 2017. 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 March 31, 2017.

Cleared Derivatives. The Bank is subject to nonperformance by the derivatives clearing organizations (clearinghouses) and clearing agents. The requirement that the Bank post initial and variation margin through the clearing agent, to the clearinghouse, exposes the Bank to institutional credit risk in the event that the clearing agent or the clearinghouse fails to meet its obligations. However, the use of cleared derivatives mitigates the Bank’s overall credit risk exposure because a central counterparty is substituted for individual counterparties and variation margin is posted daily for changes in the value of cleared derivatives through a clearing agent. The Bank does not anticipate any credit losses on its cleared derivatives as of March 31, 2017.

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

Credit Exposure to Derivative Dealer Counterparties
(In millions)
March 31, 2017
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	$	4,228	$	10		$	(5	)	$	—	$	5
Cleared derivatives(2)	56,055		63			(3		)	—		60
Liability positions with credit exposure:
Uncleared derivatives
AA	237		—			—			—		—
A	724		(3		)	3			—		—
Total derivative positions with credit exposure to nonmember counterparties	61,244		70			(5		)	—		65
Member institutions(3)	12		—			—			—		—
Total	61,256		$	70		$	(5	)	$	—	$	65
Derivative positions without credit exposure	5,370
Total notional	$	66,626

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December 31, 2016
Counterparty Credit Rating(1)	Notional Amount		Net Fair Value of Derivatives Before Collateral		Cash Collateral Pledged to/ (from) Counterparty			Non-cash Collateral Pledged to/ (from) Counterparty		Net Credit Exposure to Counterparties
Asset positions with credit exposure:
Uncleared derivatives
A	$	2,872	$	9	$	(6	)	$	—	$	3
BBB	826		2		(1		)	—		1
Cleared derivatives(2)	55,024		54		8			—		62
Total derivative positions with credit exposure to nonmember counterparties	58,722		65		1			—		66
Member institutions(3)	13		—		—			—		—
Total	58,735		$	65	$	1		$	—	$	66
Derivative positions without credit exposure	6,334
Total notional	$	65,069

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

(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 2016 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.

There have been no significant changes in the judgments and assumptions made during the first three months of 2017 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

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Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2016 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

Acquired Member Assets. On December 19, 2016, the Finance Agency issued the final Acquired Member Assets (AMA) rule, which governs an FHLBank’s ability to purchase and hold certain types of mortgage loans from its members. The final rule, effective January 18, 2017, has, among other things:

• expanded the types of assets that qualify as AMA to include (i) mortgage loans insured or guaranteed by a department or agency of the U.S. government that exceed the conforming loan limits and (ii) certificates representing interests in whole loans under certain conditions;

• enhanced the credit risk sharing requirement by allowing an FHLBank to use its own model to determine the credit enhancement for eligible AMA loan assets and pool loans in lieu of a nationally recognized statistical ratings organization (NRSRO) ratings model. The assets delivered must now be credit enhanced by the member to “AMA investment grade” as determined by the FHLBank instead of to a specific NRSRO rating; and

• retained the option to allow a member to meet its credit enhancement obligation by purchasing loan level supplemental mortgage insurance (SMI) or pool level insurance once an FHLBank has established standards for qualified insurers.

The Bank does not anticipate that the final rule will materially affect the Bank.

New Business Activities. On December 19, 2016, the Finance Agency issued a final rule effective January 18, 2017, that, among other things, limits the type of new business activities (NBAs) for which an FHLBank must seek approval from the Finance Agency. In addition, the final rule establishes certain timelines for Finance Agency review and approval of NBA notices. The final rule also clarifies the process for Finance Agency review of NBA notices. Under the final rule, acceptance of new types of legally permissible collateral by an FHLBank would not constitute a new business activity or require prior approval from the Finance Agency prior to acceptance. Instead, the Finance Agency would review new collateral types as part of its annual examination of the FHLBank.

The Bank does not anticipate that the final rule will materially affect the Bank.

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

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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 $959.3 billion at March 31, 2017, and $989.3 billion at December 31, 2016. The par value of the Bank’s participation in consolidated obligations was $84.6 billion at March 31, 2017, and $83.7 billion at December 31, 2016. The Bank had committed to the issuance of $1.3 billion and $1.5 billion in consolidated obligations at March 31, 2017, and December 31, 2016, 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 Statement of Condition or may be recorded on the Bank’s Statement of Condition in amounts that are different from the full contract or notional amount of the transactions. For example, the Bank routinely enters into commitments to extend advances and issues standby letters of credit. These commitments and standby letters of credit may represent future cash requirements of the Bank, although the standby letters of credit usually expire without being drawn upon. Standby letters of credit are subject to the same underwriting and collateral requirements as advances made by the Bank. At March 31, 2017, the Bank had $6 million in advance commitments and $15.5 billion in standby letters of credit outstanding. At December 31, 2016, the Bank had $6 million in advance commitments and $15.2 billion in standby letters of credit outstanding.

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

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

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

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

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

Total Bank Market Risk

Market Value of Capital Sensitivity

The Bank uses market value of capital sensitivity (the interest rate sensitivity of the net fair value of all assets, liabilities, and interest rate exchange agreements) as an important measure of the Bank’s exposure to changes in interest rates.

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

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–4.0% of the estimated market value of capital. In addition, the policy limits the potential adverse impact of an instantaneous plus or minus 100-basis-point change in interest rates measured from interest rates that are 200 basis points above or below the base case to no worse than –6.0% of the estimated market value of capital. In the case where a market risk sensitivity compliance metric cannot be estimated with a parallel shift in interest rates because of prevailing low interest rates, the sensitivity metric is not reported. The Bank’s measured market value of capital sensitivity was within the policy limits as of March 31, 2017.

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

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

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

Market Value of Capital Sensitivity Estimated Percentage Change in Market Value of Bank Capital for Various Changes in Interest Rates
Interest Rate Scenario(1)	March 31, 2017		December 31, 2016
+200 basis-point change above current rates	–3.8	%	–4.3	%
+100 basis-point change above current rates	–1.8		–2.0
–100 basis-point change below current rates(2)	+2.6		+2.5
–200 basis-point change below current rates(2)	+5.9		+6.3

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

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

The Bank’s estimates of the sensitivity of the market value of capital to changes in interest rates as of March 31, 2017, are comparable to the estimates as of December 31, 2016. LIBOR interest rates as of March 31, 2017, were 20 basis points higher for the 1-year term, 9 basis points higher for the 5-year term, and 6 basis points higher for the 10-year term. Because interest rates in the declining rate scenarios are limited to non-negative interest rates and the current interest rate environment is so low, the interest rates in the declining rate scenarios cannot decrease to the same extent that the interest rates in the rising rate scenarios can increase.

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

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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 231% as of March 31, 2017.

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. With the indicated interest rate shifts, the adjusted return on capital for the projected 12-month horizon would be expected to decrease by 15 basis points, well within the policy limit of –120 basis points.

Duration Gap – Duration gap is the difference between the estimated durations (market value sensitivity) of assets and liabilities (including the impact of interest rate exchange agreements) and reflects the extent to which estimated maturity and repricing cash flows for assets and liabilities are matched. The Bank monitors duration gap analysis at the total Bank level and does not have a policy limit. The Bank’s duration gap was one month at March 31, 2017, and one month at December 31, 2016.

Total Bank Duration Gap Analysis
	March 31, 2017			December 31, 2016
	Amount (In millions)		Duration Gap(1)(2) (In months)	Amount (In millions)		Duration Gap(1)(2) (In months)
Assets	$	91,290	6	$	91,941	6
Liabilities	85,717		5	86,404		5
Net	$	5,573	1	$	5,537	1

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

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

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

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

99

pool of variable rate assets, which, in combination with the strategy of raising debt swapped to variable rate liabilities, creates an advances portfolio with low net interest rate risk.

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

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

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

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

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

The Bank generally purchases a mix of intermediate-term fixed rate and adjustable rate MBS. Purchases of long-term fixed rate MBS have been relatively limited. In 2016 and during the three months ended March 31, 2017, all MBS purchases were agency adjustable rate MBS. 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

100

the estimated mortgage prepayment sensitivity of the mortgage assets and anticipated funding and hedging activities under various interest rate scenarios. The related funding and hedging transactions are executed at or close to the time of purchase of a mortgage asset.

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

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

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

The following table presents results of the estimated market value of capital sensitivity analysis attributable to the mortgage-related business as of March 31, 2017, and December 31, 2016.

Market Value of Capital Sensitivity Estimated Percentage Change in Market Value of Bank Capital Attributable to the Mortgage-Related Business for Various Changes in Interest Rates
Interest Rate Scenario(1)	March 31, 2017		December 31, 2016
+200 basis-point change	–1.8	%	–2.2	%
+100 basis-point change	–0.8		–1.0
–100 basis-point change(2)	+1.3		+1.3
–200 basis-point change(2)	+3.9		+3.8

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

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

For the mortgage-related business, the Bank’s estimates of the sensitivity of the market value of capital to changes in interest rates as of March 31, 2017, are comparable to the estimates as of December 31, 2016. LIBOR interest rates as of March 31, 2017, were 20 basis points higher for the 1-year term, 9 basis points higher for the 5-year term, and 6 basis points higher 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.

101

ITEM 4. CONTROLS AND PROCEDURES

Disclosure Controls and Procedures

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

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

Internal Control Over Financial Reporting

During the three months ended March 31, 2017, there were no changes in the Bank’s internal control over financial reporting that have materially affected, or are reasonably likely to materially affect, the Bank’s internal control over financial reporting.

Consolidated Obligations

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

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

102

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 sought rescission and asserted claims for and violations of the California Corporate Securities Act and common law rescission of contract. In January 2017, the Bank entered into a settlement agreement with a defendant for an amount of $119 million (after netting certain legal fees and expenses). The Bank has settled or entered into settlement agreements with all the defendants in connection with the Bank’s PLRMBS litigation.

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, 2016.

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 2016 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 2016 Form 10-K.

103

ITEM 6.    EXHIBITS

Exhibit No.	Description
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 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 Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
101	Pursuant to Rule 405 of Regulation S-T, the following financial information from the Bank's quarterly report on Form 10-Q for the period ended March 31, 2017, is formatted in XBRL interactive data files: (i) Statements of Condition at March 31, 2017, and December 31, 2016; (ii) Statements of Income for the Three Months Ended March 31, 2017 and 2016; (iii) Statements of Comprehensive Income for the Three Months Ended March 31, 2017 and 2016; (iv) Statements of Capital Accounts for the Three Months Ended March 31, 2017 and 2016; (v) Statements of Cash Flows for the Three Months Ended March 31, 2017 and 2016; and (vi) Notes to Financial Statements.

.

104

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized, on May 5, 2017.

Federal Home Loan Bank of San Francisco

/S/ J. GREGORY SEIBLY

J. Gregory Seibly President and Chief Executive Officer

/S/ KENNETH C. MILLER

Kenneth C. Miller Senior Vice President and Chief Financial Officer

(Principal Financial Officer)

105

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 March 31, 2017, of the Federal Home Loan Bank of San Francisco;

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

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

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

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

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

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

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

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

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

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

Date: May 5, 2017	/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 Financial Officer

I, Kenneth C. Miller, certify that:

1. I have reviewed this quarterly report on Form 10-Q for the period ended March 31, 2017, of the Federal Home Loan Bank of San Francisco;

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

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

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

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

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

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

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

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

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

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

Date: May 5, 2017	/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 March 31, 2017, (“Report”) fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

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

Date: May 5, 2017	/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 Financial Officer

Pursuant to 18 U.S.C. Section 1350,

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

I, Kenneth C. Miller, Senior Vice President and Chief Financial Officer of the Federal Home Loan Bank of San Francisco (“Registrant”), certify that, to the best of my knowledge:

1. The Registrant's Quarterly Report on Form 10-Q for the period ended March 31, 2017, (“Report”) fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

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

Date: May 5, 2017	/S/ KENNETH C. MILLER
	Kenneth C. Miller Senior Vice President and Chief Financial Officer

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

XML

Document and Entity Information Document - shares	3 Months Ended
	Mar. 31, 2017	Apr. 30, 2017
Document and Entity Information [Line Items]
Entity Registrant Name	FEDERAL HOME LOAN BANK OF SAN FRANCISCO
Entity Central Index Key	0001316944
Document Type	10-Q
Document Period End Date	Mar. 31, 2017
Amendment Flag	false
Document Fiscal Year Focus	2017
Document Fiscal Period Focus	Q1
Current Fiscal Year End Date	--12-31
Entity Well-known Seasoned Issuer	No
Entity Voluntary Filers	No
Entity Current Reporting Status	Yes
Entity Filer Category	Non-accelerated Filer
Entity Common Stock, Shares Outstanding		28,664,054

XML

Statements of Condition - USD ($) $ in Millions		Mar. 31, 2017	Dec. 31, 2016
Assets:
Cash and due from banks		$ 41	$ 2
Interest-bearing deposits		615	590
Securities purchased under agreements to resell		11,500	15,500
Federal funds sold		10,092	4,214
Trading securities	[1]	1,466	2,066
Available-for-sale (AFS) securities	[1]	4,294	4,489
Held-to-maturity (HTM) securities (fair values were $13,054 and $14,141, respectively)	[1],[2]	13,016	14,127
Advances (includes $3,816 and $3,719 at fair value under the fair value option, respectively)		49,052	49,845
Mortgage loans held for portfolio, net of allowance for credit losses of $0 and $0, respectively		966	826
Accrued interest receivable		64	79
Premises, software, and equipment, net		31	33
Derivative assets, Net		65	66
Other assets		88	104
Total Assets		91,290	91,941
Liabilities:
Deposits		171	169
Consolidated obligations:
Bonds (includes $2,236 and $1,507 at fair value under the fair value option, respectively)		49,493	50,224
Discount Notes		35,028	33,506
Total consolidated obligations		84,521	83,730
Mandatorily redeemable capital stock		403	457
Borrowings from other Federal Home Loan Banks		0	1,345
Accrued interest payable		92	67
Affordable Housing Program (AHP) payable		217	205
Derivative liabilities, Net		1	2
Other liabilities		312	429
Total Liabilities		85,717	86,404
Commitments and Contingencies (Note 17)
Capital:
Capital stock-Class B-Putable ($100 par value) issued and outstanding: 23 shares and 24 shares, respectively		2,280	2,370
Unrestricted retained earnings		850	888
Restricted retained earnings		2,300	2,168
Total Retained Earnings		3,150	3,056
Accumulated Other Comprehensive Income (Loss) (AOCI)		143	111
Total Capital		5,573	5,537
Total Liabilities and Capital		$ 91,290	$ 91,941

[1] At March 31, 2017, and December 31, 2016, none of these securities were pledged as collateral that may be repledged.

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

XML

Statements of Condition (Parenthetical) - USD ($) shares in Millions, $ in Millions		Mar. 31, 2017	Dec. 31, 2016
Trading securities pledged as collateral that may be repledged		$ 0	$ 0
Available-for-sale securities pledged as collateral that may be repledged		0	0
Held-to-maturity securities pledged as collateral that may be repledged		0	0
Assets:
Fair Value of Held-to-maturity securities		13,054	14,141
Fair Value of Advances Under the Fair Value Option	[1]	3,816	3,719
Allowance for credit losses on mortgage loans		$ 0	$ 0
Capital:
Common stock, par value		$ 100
Common Class B [Member]
Capital:
Common stock, par value		$ 100	$ 100
Common stock, shares issued		23	24
Common stock, shares outstanding		23	24
Consolidated obligation bonds [Member]
Liabilities:
Fair Value of Bonds Under the Fair Value Option		$ 2,236	$ 1,507

[1] At March 31, 2017, and December 31, 2016, none of these advances were 90 days or more past due or had been placed on nonaccrual status.

XML

Statements of Income - USD ($) $ in Millions		3 Months Ended
		Mar. 31, 2017	Mar. 31, 2016
Interest Income:
Advances		$ 153	$ 104
Prepayment fees on advances, net		0	2
Interest bearing deposits		1	0
Securities purchased under agreements to resell		1	2
Federal funds sold		19	5
Trading securities		4	2
AFS securities		61	69
HTM securities		67	64
Mortgage loans held for portfolio		9	8
Total Interest Income		315	256
Interest Expense:
Consolidated Obligations: Bonds		116	104
Consolidated Obligations: Discount notes		54	19
Mandatorily redeemable capital stock	[1]	11	10
Total Interest Expense		181	133
Net Interest Income		134	123
Provision for/(reversal of) credit losses on mortgage loans		0	0
Net Interest Income After Mortgage Loan Loss Provision		134	123
Other Income/(Loss):
Total other-than-temporary impairment (OTTI) loss		(1)	(15)
Net amount of OTTI loss reclassified to/(from) AOCI		(2)	8
Net OTTI loss, credit-related		(3)	(7)
Net gain/(loss) on trading securities		1	1
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option		(1)	27
Net gain/(loss) on derivatives and hedging activities		(9)	(65)
Gains on litigation settlements, net		119	211
Other		5	4
Total Other Income/(Loss)		112	171
Other Expense:
Compensation and benefits		19	18
Other operating expense		14	15
Federal Housing Finance Agency		2	2
Office of Finance		1	1
Quality Jobs Fund expense		40	0
Other		4	0
Total Other Expense		80	36
Income/(Loss) Before Assessments		166	258
AHP Assessment		18	27
Net Income/(Loss)		$ 148	$ 231

[1] The Bank excludes interest expense on mandatorily redeemable capital stock from adjusted net interest income in its analysis of financial performance for its two operating segments

XML

Statements of Comprehensive Income - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2017	Mar. 31, 2016
Net Income/(Loss)	$ 148	$ 231
Other Comprehensive Income/(Loss):
Net change in pension and postretirement benefits	0	1
Net non-credit-related OTTI gain/(loss) on AFS securities:
Net change in fair value of other-than-temporarily impaired securities	29	(47)
Net amount of OTTI loss reclassified to/(from) other income/(loss)	2	(8)
Total net non-credit-related OTTI gain/(loss) on AFS securities	31	(55)
Net non-credit-related OTTI gain/(loss) on HTM securities:
Accretion of Noncredit Related OTTI Loss	1	1
Total net non-credit-related OTTI gain/(loss) on HTM securities	1	1
Total other comprehensive income/(loss)	32	(53)
Total Comprehensive Income (Loss)	$ 180	$ 178

XML

Statements of Capital Accounts - USD ($) shares in Millions, $ in Millions	Total	Retained Earnings [Member]	Restricted [Member]	Unrestricted [Member]	Accumulated Other Comprehensive Income/(Loss) [Member]	Common Class B - Putable [Member] Common Stock [Member]
Balance, Shares at Dec. 31, 2015						23
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Issuance of capital stock, shares						1
Repurchase of capital stock, shares						(2)
Net Shares Reclassified from/(to) Mandatorily Redeemable Capital Stock, Shares						(1)
Balance, Shares at Mar. 31, 2016						21
Balance at Dec. 31, 2015	$ 4,896	$ 2,628	$ 2,018	$ 610	$ 15	$ 2,253
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Comprehensive Income (Loss)	178	231	36	195	(53)
Issuance of capital stock, value	112					112
Repurchase of capital stock, value	(198)					(198)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net, value	(52)					(52)
Cash dividends paid on capital stock	(45)	(45)		(45)
Balance at Mar. 31, 2016	4,891	2,814	2,054	760	(38)	$ 2,115
Balance, Shares at Dec. 31, 2016						24
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Issuance of capital stock, shares						1
Repurchase of capital stock, shares						(2)
Balance, Shares at Mar. 31, 2017						23
Balance at Dec. 31, 2016	5,537	3,056	2,168	888	111	$ 2,370
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Comprehensive Income (Loss)	180	148	132	16	32
Issuance of capital stock, value	83					83
Repurchase of capital stock, value	(173)					(173)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net, value	0
Cash dividends paid on capital stock	(54)	(54)		(54)
Balance at Mar. 31, 2017	$ 5,573	$ 3,150	$ 2,300	$ 850	$ 143	$ 2,280

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Statements of Capital Accounts (Parenthetical)	3 Months Ended
	Mar. 31, 2017	Mar. 31, 2016
Annualized Dividend Rate on Capital Stock	9.08%	7.99%

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Statements of Cash Flows - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2017	Mar. 31, 2016
Cash Flows from Operating Activities:
Net Income/(Loss)	$ 148	$ 231
Adjustments to reconcile net income/(loss) to net cash provided by operating activities:
Depreciation and amortization	(17)	(26)
Change in net fair value of trading securities	(1)	(1)
Change in net fair value adjustment on advances and consolidated obligation bonds held under fair value option	1	(27)
Change in net derivatives and hedging activities	(13)	(3)
Net OTTI loss, credit-related	3	7
Net change in:
Accrued interest receivable	15	2
Other assets	10	(269)
Accrued interest payable	26	66
Other liabilities	(5)	64
Total adjustments	19	(187)
Net cash provided by/(used in) operating activities	167	44
Cash Flows from Investing Activities:
Interest-bearing deposits	(9)	395
Securities purchased under agreements to resell	4,000	(2,500)
Federal funds sold	(5,878)	27
Premises, software, and equipment	(1)	(1)
Trading securities:
Proceeds from maturities of long-term	601	275
Purchases of long-term	0	(250)
AFS securities:
Proceeds from maturities of long-term	245	233
HTM securities:
Net (increase)/decrease in short-term	650	0
Proceeds from maturities of long-term	731	541
Purchases of long-term	(368)	0
Advances:
Principal collected	332,485	334,188
Made to members	(331,705)	(332,340)
Mortgage loans held for portfolio:
Principal collected	30	40
Purchases	(166)	(17)
Proceeds from sale of foreclosed assets	2	1
Net cash provided by/(used in) investing activities	617	592
Cash Flows from Financing Activities:
Net change in Deposits	3	(783)
Borrowings from Federal Home Loan Banks	(1,345)	0
Net proceeds from issuance of consolidated obligations:
Bonds	12,320	11,064
Discount notes	41,735	15,924
Payments for matured and retired consolidated obligations:
Bonds	(13,043)	(5,716)
Discount notes	(40,217)	(22,477)
Proceeds from issuance of capital stock	83	112
Payments for repurchase/redemption of mandatorily redeemable capital stock	(54)	(54)
Payments for repurchase of capital stock	(173)	(198)
Cash dividends paid	(54)	(45)
Net cash provided by/(used in) financing activities	(745)	(2,173)
Net increase/(decrease) in cash and due from banks	39	(1,537)
Cash and due from banks at beginning of the period	2	1,637
Cash and due from banks at end of period	41	100
Supplemental Disclosures:
Interest paid	168	118
AHP payments	10	13
Supplemental Disclosures of Noncash Investing and Financing Activities:
Transfers of Capital to Mandatorily Redeemable Capital Stock	$ 0	$ 52

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Basis of Presentation (Notes)

3 Months Ended

Mar. 31, 2017

Accounting Policies [Abstract]

Basis of Presentation and Significant Accounting Policies [Text Block]

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, 2017. 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, 2016 (2016 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, and accounting for other-than-temporary impairment (OTTI) for investment securities; and estimating the prepayment speeds on mortgage-backed securities (MBS) and mortgage loans for the accounting of amortization of premiums and accretion of discounts on MBS and mortgage loans. Actual results could differ significantly from these estimates.

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

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

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

to determine whether it is the primary beneficiary in any VIE. The Bank evaluated its investments in VIEs as of March 31, 2017, 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 Bank’s maximum loss exposure for these investments is limited to the carrying value.

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 2016 Form 10-K. Other

changes to these policies as of March 31, 2017, are discussed in Note 2 – Recently Issued and Adopted Accounting

Guidance.

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Recently Issued and Adopted Accounting Guidance

3 Months Ended

Mar. 31, 2017

New Accounting Pronouncements and Changes in Accounting Principles [Abstract]

Recently Issued and Adopted Accounting Guidance

Recently Issued and Adopted Accounting Guidance

Premium Amortization on Purchased Callable Debt Securities. On March 30, 2017, the Financial Accounting Standards Board (FASB) issued amended guidance to shorten the amortization period for certain purchased callable debt securities held at a premium. Specifically, the amendments require the premium to be amortized to the earliest call date. The amendments do not require an accounting change for securities held at a discount; the discount continues to be amortized to maturity. This guidance affects all entities that hold investments in callable debt securities that have an amortized cost basis in excess of the amount that is repayable by the issuer at the earliest call date (that is, at a premium). This guidance is effective for the Bank for interim and annual periods beginning on January 1, 2019, and early adoption is permitted. This guidance should be applied using a modified retrospective method through a cumulative-effect adjustment directly to retained earnings as of the beginning of the period of adoption. The Bank is in the process of evaluating this guidance, and its effect on the Banks’ financial condition, results of operations, and cash flows has not yet been determined.

Improving the Presentation of Net Periodic Pension Cost and Net Periodic Postretirement Benefit Cost. On March 10, 2017, the FASB issued amended guidance to improve the presentation of net periodic pension cost and net periodic postretirement benefit cost. The amendments require that employer disaggregate the service cost component from the other components of net benefit cost. The amendments also provide explicit guidance on how to present the service cost component and the other components of net benefit cost in the Statements of Income and allow only the service cost component of net benefit cost to be eligible for capitalization. This guidance is effective for the Bank for interim and annual periods beginning on January 1, 2018, and early adoption is permitted. This guidance should be applied retrospectively for the presentation of the service cost component and the other components of net periodic pension cost and net periodic postretirement benefit cost in the Statements of Income and prospectively, on and after the effective date, for the capitalization of the service cost component of net periodic pension cost and net periodic postretirement benefit in assets. The Bank is in the process of evaluating this guidance, and its effect on the Banks’ financial condition, results of operations, and cash flows has not yet been determined.

Classification of Certain Cash Receipts and Cash Payments. On August 26, 2016, the FASB issued amendments to clarify guidance on the classification of certain cash receipts and payments in the Statements of Cash Flows. This guidance is intended to reduce existing diversity in practice in how certain cash receipts and cash payments are presented and classified on the Statements of Cash Flows. This guidance is effective for the Bank for interim and annual periods beginning on January 1, 2018, and early adoption is permitted. The guidance should be applied using a retrospective transition method to each period presented. The Bank does not intend to adopt this new guidance early. The Bank is in the process of evaluating this guidance, and its effect on the Bank’s cash flows has not yet been determined. The adoption of this guidance will have no effect on the Bank’s financial condition or results of operations.

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 over the contractual term of the financial assets. 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 purchased financial assets with a more-than-insignificant amount of credit deterioration since origination and for debt securities for which an other-than-temporary impairment had been recognized before the effective date. The Bank does not intend to adopt the new guidance early. While the Bank is still in the process of evaluating this guidance, the Bank expects the adoption of the guidance will result in an increase in the allowance for credit losses given the requirement to assess losses for the entire estimated life of the financial asset, including an allowance for debt securities. The effect on the Bank’s financial condition, results of operations, and cash flows will depend on the composition of financial assets held by the Bank at the adoption date, as well as on economic conditions and forecasts at that time.

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 became effective for the Bank for the interim and annual periods beginning on January 1, 2017. The adoption of this guidance had no effect on the Bank’s financial condition, results of operations, and cash flows.

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 became effective for the Bank for the interim and annual periods beginning on January 1, 2017, and early adoption was 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 does not intend to adopt this new guidance early. Upon adoption, the Bank expects to report higher assets and liabilities as a result of recording right-of-use assets and lease liabilities for its existing leases on the Statements of Condition. The Bank is still in the process of evaluating this guidance, but its effect on the Bank’s financial condition, results of operations, and cash flows is not expected to be material.

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 Statement of Condition 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 Statement of Condition.

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 Statements of Condition as of the beginning of the period of adoption. The Bank does not intend to adopt this new guidance early. The Bank is still in the process of evaluating this guidance, but its effect on the Bank’s financial condition, results of operations, and cash flows has not yet been determined.

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.

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 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. The Bank does not intend to adopt this new guidance early. Given that the majority of the Bank’s financial instruments and other contractual rights that generate revenue are covered by other accounting guidance under U.S. GAAP, the effect of this guidance on the Bank’s financial condition, results of operations, and cash flows is not expected to be material.

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Trading Securities

3 Months Ended

Mar. 31, 2017

Trading Securities [Abstract]

Trading Securities

Trading Securities

The estimated fair value of trading securities as of March 31, 2017, and December 31, 2016, was as follows:

	March 31, 2017		December 31, 2016
Government-Sponsored Enterprises (GSEs) – Federal Farm Credit Bank (FFCB) bonds	$	1,459	$	2,058
MBS – Other U.S. obligations – Ginnie Mae	7		8
Total	$	1,466	$	2,066

The net unrealized gain/(loss) on trading securities was $1 and $1 for the three months ended March 31, 2017 and 2016, 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

3 Months Ended

Mar. 31, 2017

Available-for-sale Securities [Abstract]

Available-for-Sale Securities

Available-for-Sale Securities

Available-for-sale (AFS) securities by major security type as of March 31, 2017, and December 31, 2016, were as follows:

March 31, 2017
	Amortized Cost(1)		OTTI Recognized in AOCI			Gross Unrealized Gains		Gross Unrealized Losses		Estimated Fair Value
PLRMBS:
Prime	$	398	$	(1	)	$	24	$	—	$	421
Alt-A, option ARM	820		(28		)	78		—		870
Alt-A, other	2,909		(68		)	162		—		3,003
Total	$	4,127	$	(97	)	$	264	$	—	$	4,294

December 31, 2016
	Amortized Cost(1)		OTTI Recognized in AOCI			Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value
PLRMBS:
Prime	$	413	$	(1	)	$	22	$	—		$	434
Alt-A, option ARM	853		(31		)	77		(2		)	897
Alt-A, other	3,087		(82		)	154		(1		)	3,158
Total	$	4,353	$	(114	)	$	253	$	(3	)	$	4,489

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

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

At March 31, 2017, the amortized cost of the Bank’s PLRMBS classified as AFS included credit-related OTTI of $904. At December 31, 2016, the amortized cost of the Bank’s PLRMBS classified as AFS included credit-related OTTI of $941.

The following table summarizes the AFS securities with unrealized losses as of March 31, 2017, and December 31, 2016. The unrealized losses are aggregated by major security type and the length of time that individual securities have been in a continuous unrealized loss position. Total unrealized losses in the following table will not agree to total gross unrealized losses in the table above. The unrealized losses in the following table also include non-credit-related OTTI losses recognized in AOCI. For OTTI analysis of AFS securities, see Note 6 – Other-Than-Temporary Impairment Analysis.

March 31, 2017
	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	$	4	$	—	$	13	$	1	$	17	$	1
Alt-A, option ARM	53		—		244		28		297		28
Alt-A, other	85		1		960		67		1,045		68
Total	$	142	$	1	$	1,217	$	96	$	1,359	$	97

December 31, 2016
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
PLRMBS:
Prime	$	—	$	—	$	14	$	1	$	14	$	1
Alt-A, option ARM	14		—		249		33		263		33
Alt-A, other	57		—		1,048		83		1,105		83
Total	$	71	$	—	$	1,311	$	117	$	1,382	$	117

As indicated in the tables above, as of March 31, 2017, 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.

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

3 Months Ended

Mar. 31, 2017

Held-to-maturity Securities, Unclassified [Abstract]

Held-to-maturity Securities

Held-to-Maturity Securities

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

March 31, 2017
	Amortized Cost(1)		OTTI Recognized in AOCI(1)			Carrying Value(1)		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses			Estimated Fair Value
Certificates of deposit	$	700	$	—		$	700	$	—	$	—		$	700
Housing finance agency bonds:
California Housing Finance Agency (CalHFA) bonds	212		—			212		—		(14		)	198
MBS:
Other U.S. obligations – single-family:
Ginnie Mae	902		—			902		5		(1		)	906
GSEs – single-family:
Freddie Mac	2,598		—			2,598		23		(12		)	2,609
Fannie Mae	4,684		—			4,684		47		(6		)	4,725
Subtotal GSEs – single-family	7,282		—			7,282		70		(18		)	7,334
GSEs – multifamily:
Freddie Mac	1,547		—			1,547		3		—			1,550
Fannie Mae	1,295		—			1,295		—		(1		)	1,294
Subtotal GSEs – multifamily	2,842		—			2,842		3		(1		)	2,844
Subtotal GSEs	10,124		—			10,124		73		(19		)	10,178
PLRMBS:
Prime	660		—			660		2		(12		)	650
Alt-A, other	426		(8		)	418		11		(7		)	422
Subtotal PLRMBS	1,086		(8		)	1,078		13		(19		)	1,072
Total MBS	12,112		(8		)	12,104		91		(39		)	12,156
Total	$	13,024	$	(8	)	$	13,016	$	91	$	(53	)	$	13,054

December 31, 2016
	Amortized Cost(1)		OTTI Recognized in AOCI(1)			Carrying Value(1)		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses			Estimated Fair Value
Certificates of deposit	$	1,350	$	—		$	1,350	$	—	$	—		$	1,350
Housing finance agency bonds:
California Housing Finance Agency (CalHFA) bonds	225		—			225		—		(18		)	207
MBS:
Other U.S. obligations – single-family:
Ginnie Mae	951		—			951		5		(1		)	955
GSEs – single-family:
Freddie Mac	2,793		—			2,793		23		(15		)	2,801
Fannie Mae	5,037		—			5,037		47		(14		)	5,070
Subtotal GSEs – single-family	7,830		—			7,830		70		(29		)	7,871
GSEs – multifamily:
Freddie Mac	1,556		—			1,556		—		(1		)	1,555
Fannie Mae	1,058		—			1,058		—		(1		)	1,057
Subtotal GSEs – multifamily	2,614		—			2,614		—		(2		)	2,612
Subtotal GSEs	10,444		—			10,444		70		(31		)	10,483
PLRMBS:
Prime	707		—			707		2		(15		)	694
Alt-A, other	459		(9		)	450		11		(9		)	452
Subtotal PLRMBS	1,166		(9		)	1,157		13		(24		)	1,146
Total MBS	12,561		(9		)	12,552		88		(56		)	12,584
Total	$	14,136	$	(9	)	$	14,127	$	88	$	(74	)	$	14,141

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

At March 31, 2017, the amortized cost of the Bank’s MBS classified as HTM included premiums of $27, discounts of $32, and credit-related OTTI of $8. At December 31, 2016, the amortized cost of the Bank’s MBS classified as HTM included premiums of $29, discounts of $34, and credit-related OTTI of $8.

The following tables summarize the HTM securities with unrealized losses as of March 31, 2017, and December 31, 2016. The unrealized losses are aggregated by major security type and the length of time that individual securities have been in a continuous unrealized loss position. Total unrealized losses in the following table will not agree to the total gross unrecognized holding losses in the table above. The unrealized losses in the following table also include non-credit-related OTTI losses recognized in AOCI. For OTTI analysis of HTM securities, see Note 6 – Other-Than-Temporary Impairment Analysis.

March 31, 2017
	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	$	—	$	—	$	198	$	14	$	198	$	14
MBS:
Other U.S. obligations – single-family:
Ginnie Mae	179		1		—		—		179		1
GSEs – single-family:
Freddie Mac	1,274		12		4		—		1,278		12
Fannie Mae	813		5		100		1		913		6
Subtotal GSEs – single-family	2,087		17		104		1		2,191		18
GSEs – multifamily:
Fannie Mae	1,008		1		—		—		1,008		1
Subtotal GSEs – multifamily	1,008		1		—		—		1,008		1
Subtotal GSEs	3,095		18		104		1		3,199		19
PLRMBS:
Prime	1		—		455		12		456		12
Alt-A, other	—		—		421		15		421		15
Subtotal PLRMBS	1		—		876		27		877		27
Total MBS	3,275		19		980		28		4,255		47
Total	$	3,275	$	19	$	1,178	$	42	$	4,453	$	61

December 31, 2016
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
Housing finance agency bonds:
CalHFA bonds	$	—	$	—	$	193	$	18	$	193	$	18
MBS:
Other U.S. obligations – single-family:
Ginnie Mae	190		1		—		—		190		1
GSEs – single-family:
Freddie Mac	1,498		15		3		—		1,501		15
Fannie Mae	2,665		12		96		2		2,761		14
Subtotal GSEs – single-family	4,163		27		99		2		4,262		29
GSEs – multifamily:
Freddie Mac	1,007		1		—		—		1,007		1
Fannie Mae	387		1		—		—		387		1
Subtotal GSEs – multifamily	1,394		2		—		—		1,394		2
Subtotal GSEs	5,557		29		99		2		5,656		31
PLRMBS:
Prime	1		—		517		15		518		15
Alt-A, other	—		—		452		18		452		18
Subtotal PLRMBS	1		—		969		33		970		33
Total MBS	5,748		30		1,068		35		6,816		65
Total	$	5,748	$	30	$	1,261	$	53	$	7,009	$	83

As indicated in the tables above, the Bank’s investments classified as HTM had unrealized losses on CalHFA bonds and MBS. The unrealized losses associated with the CalHFA bonds were mainly due to an illiquid market, credit concerns regarding the underlying mortgage collateral, and credit concerns regarding the monoline insurance providers, causing these investments to be valued at a discount to their acquisition cost. For its agency MBS, the Bank expects to recover the entire amortized cost basis of these securities because the Bank determined that the strength of the issuers’ guarantees through direct obligations or support from the U.S. government is sufficient to protect the Bank from losses. The unrealized losses associated with the PLRMBS were primarily due to illiquidity in the PLRMBS market and market expectations of the credit performance of loan collateral underlying these securities, which caused these assets to be valued at discounts to their amortized cost.

Redemption Terms. The amortized cost, carrying value, and estimated fair value of non-MBS securities by contractual maturity (based on contractual final principal payment) and of MBS as of March 31, 2017, and December 31, 2016, are shown below. Expected maturities of MBS will differ from contractual maturities because borrowers generally have the right to prepay the underlying obligations without prepayment fees.

March 31, 2017
Year of Contractual Maturity	Amortized Cost(1)		Carrying Value(1)		Estimated Fair Value
HTM securities other than MBS:
Due in 1 year or less	$	700	$	700	$	700
Due after 5 years through 10 years	35		35		35
Due after 10 years	177		177		163
Subtotal	912		912		898
MBS	12,112		12,104		12,156
Total	$	13,024	$	13,016	$	13,054

December 31, 2016
Year of Contractual Maturity	Amortized Cost(1)		Carrying Value(1)		Estimated Fair Value
HTM securities other than MBS:
Due in 1 year or less	$	1,350	$	1,350	$	1,350
Due after 5 years through 10 years	35		35		34
Due after 10 years	190		190		173
Subtotal	1,575		1,575		1,557
MBS	12,561		12,552		12,584
Total	$	14,136	$	14,127	$	14,141

(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.

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

3 Months Ended

Mar. 31, 2017

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 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 5.0% to an increase of 10.0% over the 12-month period beginning January 1, 2017. For the vast majority of markets, the projected short-term housing price changes range from 0.0% 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 March 31, 2017 (securities for which the Bank determined that it does not expect to recover the entire amortized cost basis), the following table presents a summary of the significant inputs used in measuring the amount of credit loss recognized in earnings during the first quarter of 2017, and the related current credit enhancement for the Bank.

March 31, 2017
	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)
Alt-A, other
2007	9.0	29.5	41.5	1.2
2005	14.0	10.7	34.3	0.1
2004 and earlier	14.0	1.7	31.4	9.2
Total	11.3	20.7	38.2	0.7

(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 is based on the model used to run the estimated cash flows for the CUSIP, which may not necessarily be the same as the classification at the time of origination.

The following table presents the credit-related OTTI, which is recognized in earnings, for the three months ended March 31, 2017 and 2016.

	Three Months Ended
	March 31, 2017			March 31, 2016
Balance, beginning of the period	$	1,183		$	1,255
Additional charges on securities for which OTTI was previously recognized(1)	3			7
Securities matured during the period (2)	—			—
Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities(3)	(17		)	(23		)
Balance, end of the period	$	1,169		$	1,239

(1) For the three months ended March 31, 2017 and 2016, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2017 and 2016, respectively.

(2) Represents reductions related to securities having reached final maturity during the period, which therefore are no longer held by the Bank at the end of the period.

(3) The total accretion or amortization associated with other-than-temporarily impaired PLRMBS (amount recognized in interest income) totaled $23 and $26, for the three months ended March 31, 2017 and 2016, 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 Bank did not transfer any PLRMBS from its HTM portfolio to its AFS portfolio during the three months ended March 31, 2017 and 2016.

The following tables present the Bank’s AFS and HTM PLRMBS that incurred OTTI losses anytime during the life of the securities at March 31, 2017, and December 31, 2016, by loan collateral type:

March 31, 2017
	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	$	479	$	398	$	421	$	—	$	—	$	—	$	—
Alt-A, option ARM	1,091		820		871		—		—		—		—
Alt-A, other	3,450		2,909		3,002		87		82		73		84
Total	$	5,020	$	4,127	$	4,294	$	87	$	82	$	73	$	84

December 31, 2016
	Available-for-Sale Securities						Held-to-Maturity Securities
	Unpaid Principal Balance		Amortized Cost		Estimated Fair Value		Unpaid Principal Balance		Amortized Cost		Carrying Value		Estimated Fair Value
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
Prime	$	498	$	413	$	434	$	—	$	—	$	—	$	—
Alt-A, option ARM	1,134		853		897		—		—		—		—
Alt-A, other	3,650		3,087		3,158		93		88		79		91
Total	$	5,282	$	4,353	$	4,489	$	93	$	88	$	79	$	91

For the Bank’s PLRMBS that were not other-than-temporarily impaired as of March 31, 2017, the Bank has experienced net unrealized losses primarily because of illiquidity in the PLRMBS market and market expectations of the credit performance of loan collateral underlying these securities, which caused these assets to be valued at discounts to their amortized cost. The Bank does not intend to sell these securities, it is not more likely than not that the Bank will be required to sell these securities before its anticipated recovery of the remaining amortized cost basis, and the Bank expects to recover the entire amortized cost basis of these securities. As a result, the Bank determined that, as of March 31, 2017, all of the gross unrealized losses on these PLRMBS are temporary. These securities were included in the securities that the Bank reviewed and analyzed for OTTI as discussed above, and the analyses performed indicated that these securities were not other-than-temporarily impaired.

All Other Available-for-Sale and Held-to-Maturity Investments. For the Bank’s investments in housing finance agency bonds, which were issued by CalHFA, the gross unrealized losses were mainly due to an illiquid market, credit concerns regarding the underlying mortgage collateral, and credit concerns regarding the monoline insurance providers, causing these investments to be valued at a discount to their acquisition cost. The Bank independently modeled cash flows for the underlying collateral, using assumptions for default rates and loss severity that a market participant would deem reasonable, and concluded that the available credit support within the CalHFA structure more than offset the projected underlying collateral losses. The Bank determined that, as of March 31, 2017, all of the gross unrealized losses on the bonds are temporary because the underlying collateral and credit enhancements were sufficient to protect the Bank from losses. As a result, the Bank expects to recover the entire amortized cost basis of these securities.

For its agency MBS, the Bank expects to recover the entire amortized cost basis of these securities because the Bank determined that the strength of the issuers’ guarantees through direct obligations or support from the U.S. government is sufficient to protect the Bank from losses. As a result, the Bank determined that, as of March 31, 2017, all of the gross unrealized losses on its agency MBS are temporary.

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Advances

3 Months Ended

Mar. 31, 2017

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 0.58% to 8.57% at March 31, 2017, and 0.43% to 8.57% at December 31, 2016, as summarized below.

	March 31, 2017					December 31, 2016
Contractual Maturity	Amount Outstanding			Weighted Average Interest Rate		Amount Outstanding			Weighted Average Interest Rate
Within 1 year	$	21,514		0.94	%	$	22,902		0.78	%
After 1 year through 2 years	10,919			1.39		7,608			1.36
After 2 years through 3 years	6,654			1.34		9,410			1.22
After 3 years through 4 years	4,262			1.40		2,083			1.39
After 4 years through 5 years	4,524			1.42		6,423			1.24
After 5 years	1,204			2.89		1,431			2.60
Total par value	49,077			1.22	%	49,857			1.09	%
Valuation adjustments for hedging activities	(36		)			(22		)
Valuation adjustments under fair value option	11					10
Total	$	49,052				$	49,845

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 $3,744 at March 31, 2017, and $3,647 at December 31, 2016. Some advances may be repaid on pertinent call dates without prepayment fees (callable advances). The Bank had callable advances outstanding totaling $16,053 at March 31, 2017, and $15,505 at December 31, 2016.

The Bank’s advances at March 31, 2017, and December 31, 2016, included $50 and $125 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 relative to contractual rates.

The following table summarizes advances at March 31, 2017, and December 31, 2016, by the earlier of the year of contractual maturity or next call date for callable advances and by the earlier of the year of contractual maturity or next put date for putable advances.

	Earlier of Contractual Maturity or Next Call Date				Earlier of Contractual Maturity or Next Put Date
	March 31, 2017		December 31, 2016		March 31, 2017		December 31, 2016
Within 1 year	$	26,981	$	25,784	$	21,514	$	22,927
After 1 year through 2 years	9,253		11,078		10,919		7,583
After 2 years through 3 years	6,260		4,465		6,654		9,410
After 3 years through 4 years	3,962		5,782		4,262		2,083
After 4 years through 5 years	1,518		1,421		4,524		6,423
After 5 years	1,103		1,327		1,204		1,431
Total par value	$	49,077	$	49,857	$	49,077	$	49,857

Credit and Concentration Risk. The following tables present the concentration in advances to the top five borrowers and their affiliates at March 31, 2017 and 2016. The tables also present the interest income from

these advances before the impact of interest rate exchange agreements associated with these advances for the three months ended March 31, 2017 and 2016.

	March 31, 2017				Three Months Ended March 31, 2017
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
JPMorgan Chase Bank, National Association(2)	$	14,806	30	%	$	41	25	%
Bank of the West	6,655		14		14		9
First Republic Bank	5,900		12		21		13
CIT Bank, N.A.	2,411		5		7		5
Star One Credit Union(3)	2,046		4		7		4
Subtotal	31,818		65		90		56
Others	17,259		35		71		44
Total par value	$	49,077	100	%	$	161	100	%

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

(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) Officer of member bank also serves on the Board of Directors of the Bank.

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

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

Interest Rate Payment Terms. Interest rate payment terms for advances at March 31, 2017, and December 31, 2016, are detailed below:

	March 31, 2017		December 31, 2016
Par value of advances:
Fixed rate:
Due within 1 year	$	12,421	$	13,486
Due after 1 year	11,504		10,845
Total fixed rate	23,925		24,331
Adjustable rate:
Due within 1 year	9,093		9,416
Due after 1 year	16,059		16,110
Total adjustable rate	25,152		25,526
Total par value	$	49,077	$	49,857

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

The Bank did not have any advances with embedded features that met the requirements to separate the embedded feature from the host contract and designate the embedded feature as a stand-alone derivative at March 31, 2017, or December 31, 2016. The Bank has generally elected to account for certain advances with embedded features under the fair value option, and these advances are carried at fair value on the Statements of Condition. For more information, see Note 16 – Fair Value.

Prepayment Fees, Net. The Bank charges borrowers prepayment fees or pays borrowers prepayment credits when the principal on certain advances is paid prior to original maturity. The Bank records prepayment fees net of any associated fair value adjustments related to prepaid advances that were hedged. The net amount of prepayment fees is reflected as interest income in the Statements of Income for the three months ended March 31, 2017 and 2016, as follows:

	Three Months Ended
	March 31, 2017		March 31, 2016
Prepayment fees received	$	—	$	—
Fair value adjustments	—		2
Net	$	—	$	2
Advance principal prepaid	$	1,245	$	770

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Mortgage Loans Held for Portfolio

3 Months Ended

Mar. 31, 2017

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 fixed rate mortgage loans for concurrent sale to Redwood Residential Acquisition Corporation, a subsidiary of Redwood Trust, Inc., a real estate investment trust, under the MPF Direct product; 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 March 31, 2017, the Bank had approved 19 members as participating financial institutions since renewing its participation in the MPF Program in 2013.

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

The following table presents information as of March 31, 2017, and December 31, 2016, on mortgage loans, all of which are secured by one- to four-unit residential properties and single-unit second homes.

	March 31, 2017			December 31, 2016
Fixed rate medium-term mortgage loans	$	46		$	55
Fixed rate long-term mortgage loans	900			759
Subtotal	946			814
Unamortized premiums	26			18
Unamortized discounts	(6		)	(6		)
Mortgage loans held for portfolio	966			826
Less: Allowance for credit losses	—			—
Total mortgage loans held for portfolio, net	$	966		$	826

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

3 Months Ended

Mar. 31, 2017

Loans and Leases Receivable Disclosure [Abstract]

Allowance for Credit Losses

Allowance for Credit Losses

The Bank has established an allowance methodology for each of its portfolio segments: advances, letters of credit, and other extensions of credit, collectively referred to as “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 2016 Form 10-K.

Credit Products. The Bank manages its credit exposure related to credit products through an integrated approach that generally provides for a credit limit to be established for each borrower, includes an ongoing review of each borrower’s financial condition, and is coupled with conservative collateral and lending policies to limit the risk of loss while taking into account borrowers’ needs for a reliable funding source. At March 31, 2017, and December 31, 2016, none of the Bank’s credit products were past due, on nonaccrual status, or considered impaired. There were no troubled debt restructurings related to credit products during the three months ended March 31, 2017, or during 2016.

Based on the collateral pledged as security for advances, the Bank’s credit analyses of borrowers’ financial condition, and the Bank’s credit extension and collateral policies as of March 31, 2017, the Bank expects to collect all amounts due according to the contractual terms. Therefore, no allowance for losses on credit products was deemed necessary by the Bank. The Bank has never experienced any credit losses on its credit products.

Nomember institutions were placed into receivership during the first three months of 2017 or from April 1 to April 30, 2017.

Mortgage Loans Held for Portfolio. The following table presents information on delinquent mortgage loans as of March 31, 2017, and December 31, 2016.

	March 31, 2017			December 31, 2016
	Recorded Investment(1)			Recorded Investment(1)
30 – 59 days delinquent	$	10		$	7
60 – 89 days delinquent	2			3
90 days or more delinquent	14			15
Total past due	26			25
Total current loans	944			805
Total mortgage loans	$	970		$	830
In process of foreclosure, included above(2)	$	6		$	5
Nonaccrual loans	$	14		$	15
Loans past due 90 days or more and still accruing interest	$	—		$	—
Serious delinquencies as a percentage of total mortgage loans outstanding(3)	1.49		%	1.79		%

(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 amounts of charge-offs and recoveries of allowance for credit losses on the mortgage loan portfolio were de minimis during the three months ended March 31, 2017 and 2016.

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

	March 31, 2017		December 31, 2016
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	$	11	$	12
Collectively evaluated for impairment	959		818
Total recorded investment	$	970	$	830

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

	March 31, 2017						December 31, 2016
	Recorded Investment		Unpaid Principal Balance		Related Allowance		Recorded Investment		Unpaid Principal Balance		Related Allowance
With no related allowance	$	11	$	11	$	—	$	12	$	12	$	—
With an allowance	—		—		—		—		—		—
Total	$	11	$	11	$	—	$	12	$	12	$	—

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

	Three Months Ended
	March 31, 2017		March 31, 2016
With no related allowance	$	11	$	12
With an allowance	—		1
Total	$	11	$	13

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.

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 and MPF Plus loans as of March 31, 2017, and December 31, 2016.

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 and MPF Plus loans totaling de minimis amounts as of March 31, 2017, and December 31, 2016.

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 recorded investment of the Bank's nonperforming MPFloans classified as TDRs totaled $4 as of March 31, 2017, and $3 as of December 31, 2016. During the three months ended March 31, 2017 and 2016, the difference between the pre- and post-modification recorded investment in TDRs that occurred during the year was de minimis. None of the MPF loans classified as TDRs within the previous 12 months experienced a payment default.

Term Federal Funds Sold. The Bank invests in Federal funds sold with counterparties that are considered by the Bank to be of investment quality, and these investments are evaluated for purposes of an allowance for credit losses only if the investment is not paid when due. All investments in Federal funds sold as of March 31, 2017, and December 31, 2016, were repaid or are expected to be repaid according to the contractual terms.

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Deposits

3 Months Ended

Mar. 31, 2017

Deposits [Abstract]

Deposits

Deposits

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

Deposits as of March 31, 2017, and December 31, 2016, were as follows:

	March 31, 2017		December 31, 2016
Interest-bearing deposits:
Demand and overnight	$	167	$	167
Total interest-bearing deposits	167		167
Non-interest-bearing deposits:
Other	4		2
Total non-interest-bearing deposits	4		2
Total	$	171	$	169

Interest Rate Payment Terms. Deposits classified as demand, overnight, and other pay interest based on a daily interest rate. Term deposits pay interest based on a fixed rate determined at the issuance of the deposit. Interest rate payment terms for deposits at March 31, 2017, and December 31, 2016, are detailed in the following table:

	March 31, 2017				December 31, 2016
	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding		Weighted Average Interest Rate
Interest-bearing deposit – Adjustable rate	$	167	0.60	%	$	167	0.01	%
Non-interest-bearing deposits	4				2
Total	$	171			$	169

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Consolidated Obligations

3 Months Ended

Mar. 31, 2017

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 2016 Form 10-K. In connection with each issuance of consolidated obligations, each FHLBank specifies the type, term, and amount of debt it requests to have issued on its behalf. The Office of Finance tracks the amount of debt issued on behalf of each FHLBank. In addition, the Bank separately tracks and records as a liability its specific portion of the consolidated obligations issued and is the primary obligor for that portion of the consolidated obligations issued. The Finance Agency and the U.S. Secretary of the Treasury have oversight over the issuance of FHLBank debt through the Office of Finance.

Redemption Terms. The following is a summary of the Bank’s participation in consolidated obligation bonds at March 31, 2017, and December 31, 2016.

	March 31, 2017					December 31, 2016
Contractual Maturity	Amount Outstanding			Weighted Average Interest Rate		Amount Outstanding			Weighted Average Interest Rate
Within 1 year	$	31,694		0.94	%	$	33,879		0.82	%
After 1 year through 2 years	11,751			1.05		10,597			0.99
After 2 years through 3 years	998			1.47		1,318			1.32
After 3 years through 4 years	1,465			1.69		1,055			1.84
After 4 years through 5 years	1,630			1.66		1,350			1.59
After 5 years	1,957			2.47		2,021			2.42
Total par value	49,495			1.08	%	50,220			0.98	%
Unamortized premiums	16					15
Unamortized discounts	(9		)			(9		)
Valuation adjustments for hedging activities	(5		)			6
Fair value option valuation adjustments	(4		)			(8		)
Total	$	49,493				$	50,224

The Bank’s participation in consolidated obligation bonds outstanding includes callable bonds of $6,220 at March 31, 2017, and $4,670 at December 31, 2016. 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 $3,525 at March 31, 2017, and $2,125 at December 31, 2016. The combined sold callable swaps and callable bonds enable the Bank to meet its funding needs at costs not otherwise directly attainable solely through the issuance of non-callable debt, while effectively converting the Bank’s net payment to an adjustable rate.

The Bank’s participation in consolidated obligation bonds at March 31, 2017, and December 31, 2016, was as follows:  

	March 31, 2017		December 31, 2016
Par value of consolidated obligation bonds:
Non-callable	$	43,275	$	45,550
Callable	6,220		4,670
Total par value	$	49,495	$	50,220

The following is a summary of the Bank’s participation in consolidated obligation bonds outstanding at March 31, 2017, and December 31, 2016, by the earlier of the year of contractual maturity or next call date.

Earlier of Contractual Maturity or Next Call Date	March 31, 2017		December 31, 2016
Within 1 year	$	37,334	$	38,099
After 1 year through 2 years	11,136		10,747
After 2 years through 3 years	613		743
After 3 years through 4 years	320		455
After 4 years through 5 years	—		85
After 5 years	92		91
Total par value	$	49,495	$	50,220

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

	March 31, 2017					December 31, 2016
	Amount Outstanding			Weighted Average Interest Rate (1)		Amount Outstanding			Weighted Average Interest Rate (1)
Par value	$	35,069		0.62	%	$	33,529		0.46	%
Unamortized discounts	(41		)			(23		)
Total	$	35,028				$	33,506

(1) Represents yield to maturity excluding concession fees.

Interest Rate Payment Terms. Interest rate payment terms for consolidated obligations at March 31, 2017, and December 31, 2016, 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 2016 Form 10-K.

	March 31, 2017		December 31, 2016
Par value of consolidated obligations:
Bonds:
Fixed rate	$	16,870	$	15,960
Adjustable rate	31,075		33,435
Step-up	1,240		515
Step-down	200		200
Fixed rate that converts to adjustable rate	10		10
Range bonds	100		100
Total bonds, par value	49,495		50,220
Discount notes, par value	35,069		33,529
Total consolidated obligations, par value	$	84,564	$	83,749

The Bank did not have any bonds with embedded features that met the requirements to separate the embedded feature from the host contract and designate the embedded feature as a stand-alone derivative at March 31, 2017, or December 31, 2016. 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)

3 Months Ended

Mar. 31, 2017

Accumulated Other Comprehensive Income (Loss), Net of Tax [Abstract]

Accumulated Other Comprehensive Income/(Loss)

Accumulated Other Comprehensive Income/(Loss)

The following table summarizes the changes in AOCI for the three months ended March 31, 2017 and 2016:

	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, 2015	$	43		$	(14	)	$	(14	)	$	15
Other comprehensive income/(loss) before reclassifications:
Net change in pension and postretirement benefits							1			1
Non-credit-related OTTI loss	(10		)	—						(10		)
Net change in fair value	(47		)							(47		)
Accretion of non-credit-related OTTI loss				1						1
Reclassification from other comprehensive income/(loss) to net income/(loss):
Non-credit-related OTTI to credit-related OTTI	2			—						2
Net current period other comprehensive income/(loss)	(55		)	1			1			(53		)
Balance, March 31, 2016	$	(12	)	$	(13	)	$	(13	)	$	(38	)
Balance, December 31, 2016	$	136		$	(9	)	$	(16	)	$	111
Other comprehensive income/(loss) before reclassifications:
Net change in fair value	29									29
Accretion of non-credit-related OTTI loss				1						1
Reclassification from other comprehensive income/(loss) to net income/(loss):
Non-credit-related OTTI to credit-related OTTI	2			—						2
Net current period other comprehensive income/(loss)	31			1			—			32
Balance, March 31, 2017	$	167		$	(8	)	$	(16	)	$	143

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Capital

3 Months Ended

Mar. 31, 2017

Capital [Abstract]

Capital

Capital

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

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

As of March 31, 2017, and December 31, 2016, the Bank was in compliance with these capital rules and requirements as shown in the following table.

	March 31, 2017						December 31, 2016
	Required			Actual			Required			Actual
Risk-based capital	$	2,149		$	5,833		$	2,241		$	5,883
Total regulatory capital	$	3,652		$	5,833		$	3,678		$	5,883
Total regulatory capital ratio	4.00		%	6.39		%	4.00		%	6.40		%
Leverage capital	$	4,565		$	8,750		$	4,597		$	8,825
Leverage ratio	5.00		%	9.58		%	5.00		%	9.60		%

Mandatorily Redeemable Capital Stock. The Bank had mandatorily redeemable capital stock totaling $403 outstanding to six institutions at March 31, 2017, and $457 outstanding to six institutions at December 31, 2016. The change in mandatorily redeemable capital stock for the three months ended March 31, 2017 and 2016, as follows:

	Three Months Ended
	March 31, 2017			March 31, 2016
Balance at the beginning of the period	$	457		$	488
Reclassified from/(to) capital during the period	—			52
Redemption of mandatorily redeemable capital stock	(54		)	—
Repurchase of excess mandatorily redeemable capital stock	—			(54		)
Balance at the end of the period	$	403		$	486

Cash dividends on mandatorily redeemable capital stock were recorded as interest expense in the amount of $11 and$10 for the three months ended March 31, 2017 and 2016, 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 2016 Form 10-K.

The following table presents mandatorily redeemable capital stock amounts by contractual redemption period at March 31, 2017, and December 31, 2016.

Contractual Redemption Period	March 31, 2017		December 31, 2016
After 1 year through 2 years	$	—	$	—
After 2 years through 3 years	1		—
After 3 years through 4 years	378		379
Past contractual redemption date because of remaining activity(1)	24		78
Total	$	403	$	457

(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 (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 Board of Directors reviews the Framework at least annually and may amend the Framework from time to time. In January 2017, the Framework was amended and approved by the Bank’s Board of Directors to include a dividend philosophy to endeavor to pay a quarterly dividend at an annualized rate between 5% and 7%, which was intended to be considered by the Bank’s Board of Directors beginning with the Bank’s second quarter 2017 dividend declaration. The decision to declare any dividend and the dividend rate are at the discretion of the Bank’s Board of Directors, which may choose to follow the dividend philosophy as guidance in the dividend declaration.

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 231% as of March 31, 2017.

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 following table summarizes the activity related to retained earnings for the three months ended March 31, 2017 and 2016:

				Restricted Retained Earnings Related to:
	Unrestricted Retained Earnings			Valuation Adjustments			Other		Joint Capital Enhancement Agreement		Total Restricted Retained Earnings		Total Retained Earnings
Balance, December 31, 2015	$	610		$	10		$	1,650	$	358	$	2,018	$	2,628
Net income	195			(10		)	—		46		36		231
Cash dividends on capital stock	(45		)										(45		)
Balance, March 31, 2016	$	760		$	—		$	1,650	$	404	$	2,054	$	2,814
Balance, December 31, 2016	888			18			1,650		500		2,168		3,056
Net income	16			2			100		30		132		148
Cash dividends on capital stock	(54		)										(54		)
Balance, March 31, 2017	$	850		$	20		$	1,750	$	530	$	2,300	$	3,150

The Bank’s Framework establishes amounts to be retained in restricted retained earnings, which are not made available in the current dividend period. The Bank’s retained earnings target may be changed at any time. The Bank’s Board of Directors periodically reviews the Bank’s retained earnings methodology and analysis to determine whether any adjustments are appropriate. In January 2017, the Bank’s Board of Directors approved the Bank maintaining total restricted retained earnings at a minimum of $2,300.

The Board of Directors previously set the required amount of restricted retained earnings for loss protection and capital compliance at $2,000. Restricted retained earnings available to meet this requirement include only amounts related to the Bank’s Joint Capital Enhancement Agreement and Other restricted retained earnings.

Total restricted retained earnings were $2,300 and $2,168 as of March 31, 2017, and December 31, 2016, respectively.

For more information on restricted retained earnings and the Bank’s Framework, see “Item 8. Financial Statements and Supplementary Data – Note 15 – Capital” in the Bank’s 2016 Form 10-K.

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

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

capital stock exceeds 1% of its total assets. Excess capital stock is defined as the aggregate of the capital stock held by each shareholder in excess of its minimum capital stock requirement, as established by the Bank’s capital plan. As of March 31, 2017, the Bank’s excess capital stock totaled $340, or 0.37% of total assets.

In the first quarter of 2017, the Bank paid dividends at an annualized rate of 9.08%, totaling $65, including $54 in dividends on capital stock and $11 in dividends on mandatorily redeemable capital stock. In the first quarter of 2016, the Bank paid dividends at an annualized rate of 7.99%, totaling $55, including $45 in dividends on capital stock and $10 in dividends on mandatorily redeemable capital stock.

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

On April 27, 2017, the Bank’s Board of Directors declared a cash dividend on the capital stock outstanding during the first quarter of 2017 at an annualized rate of 7.00%, totaling $49, including $41 in dividends on capital stock and $8 in dividends on mandatorily redeemable capital stock. The Bank recorded the dividend on April 27, 2017. The Bank expects to pay the dividend on May 15, 2017. Dividends on mandatorily redeemable capital stock will be recognized as interest expense in the second quarter of 2017.

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. The Bank repurchased $173 and $252 in excess capital stock in the first quarter of 2017 and 2016, respectively.

The Bank is required to redeem any mandatorily redeemable capital stock that is in excess of a former member’s minimum stock requirement on or after the expiration of the five-year redemption date. During the first quarter of 2017 and 2016, the Bank redeemed $54 and a de minimis amount, 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 April 28, 2017, the Bank announced that it plans to repurchase the surplus capital stock of all members and the excess capital stock of all nonmember shareholders on May 16, 2017. Surplus capital stock is defined as any stock holdings in excess of 115% of a member’s minimum stock requirement.

Excess capital stock totaled $340 as of March 31, 2017, which included surplus capital stock of $212. Excess capital stock totaled $488 as of December 31, 2016, which included surplus capital stock of $325.

For more information on excess capital stock, see “Item 8. Financial Statements and Supplementary Data – Note 15

– Capital” in the Bank’s 2016 Form 10-K.

Concentration. JPMorgan Chase Bank, National Association, a nonmember institution, held $400, or 15%, of the Bank’s outstanding capital stock, including mandatorily redeemable capital stock, as of March 31, 2017, and $400, or 14% as of December 31, 2016. No other institution held 10% or more of the Bank’s outstanding capital stock, as of March 31, 2017, or December 31, 2016.

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Segment Information

3 Months Ended

Mar. 31, 2017

Segment Reporting [Abstract]

Segment Information

Segment Information

The Bank uses an analysis of financial results based on the financial components 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 determine financial management strategies related to the operations of these two 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 2016 Form 10-K.

The following table presents the Bank’s adjusted net interest income by operating segment and reconciles total adjusted net interest income to income before the AHP assessment for the three months ended March 31, 2017 and 2016.

	Advances- Related Business		Mortgage- Related Business(1)		Adjusted Net Interest Income		Amortization of Basis Adjustments(2)			Income/(Expense) on Economic Hedges(3)			Interest Expense on Mandatorily Redeemable Capital Stock(4)		Net Interest Income After Mortgage Loan Loss Provision		Other Income/ (Loss)		Other Expense		Income Before AHP Assessment
Three months ended:
March 31, 2017	$	48	$	83	$	131	$	(2	)	$	(12	)	$	11	$	134	$	112	$	80	$	166
March 31, 2016	36		86		122		(2		)	(9		)	10		123		171		36		258

(1) The mortgage-related business includes total accretion or amortization associated with other-than-temporarily impaired PLRMBS, which are recognized in interest income, totaled $23 and $26 for the three months ended March 31, 2017 and 2016. The mortgage-related business does not include credit-related OTTI losses of $3 and $7 for the three months ended March 31, 2017 and 2016, respectively.

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

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

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

The following table presents total assets by operating segment at March 31, 2017, and December 31, 2016.

	Advances- Related Business		Mortgage- Related Business		Total Assets
March 31, 2017	$	73,875	$	17,415	$	91,290
December 31, 2016	74,018		17,923		91,941

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Derivatives and Hedging Activities

3 Months Ended

Mar. 31, 2017

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.

The Bank primarily uses the following derivative instruments:

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 at inception all relationships between derivatives designated as 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 may be transacted to hedge: (i) assets and liabilities on the Statement of Condition, (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.

The Bank may have the following types of hedged items:

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 range 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 mortgage loans 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.

When the Bank issues consolidated obligation discount notes, it may also simultaneously enter into an interest rate exchange agreement to convert the fixed rate discount note to an adjustable rate discount note. This type of hedge is treated as an economic hedge.

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 do not meet the requirements for fair value hedge accounting treatment.

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 $64 and $89, at March 31, 2017, and December 31, 2016, respectively.

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 following table summarizes the notional amount and fair value of derivative instruments, including the effect of netting adjustments and cash collateral as of March 31, 2017, and December 31, 2016. For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest.

	March 31, 2017								December 31, 2016
	Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities			Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	20,520	$	75		$	23		$	20,741	$	67		$	32
Total	20,520		75			23			20,741		67			32
Derivatives not designated as hedging instruments:
Interest rate swaps	44,534		69			50			42,135		67			49
Interest rate caps and floors	1,560		4			—			2,180		6			—
Mortgage delivery commitments	12		—			—			13		—			—
Total	46,106		73			50			44,328		73			49
Total derivatives before netting and collateral adjustments	$	66,626	148			73			$	65,069	140			81
Netting adjustments and cash collateral(1)			(83		)	(72		)			(74		)	(79		)
Total derivative assets and total derivative liabilities			$	65		$	1				$	66		$	2

(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 $5 and $22 at March 31, 2017, and December 31, 2016, respectively. Cash collateral received and related accrued interest was $16 and $16 at March 31, 2017, and December 31, 2016, respectively.

The following table presents the components of net gain/(loss) on derivatives and hedging activities as presented in the Statements of Income for the three months ended March 31, 2017 and 2016.

	Three Months Ended
	March 31, 2017			March 31, 2016
	Gain/(Loss)			Gain/(Loss)
Derivatives designated as hedging instruments:
Interest rate swaps	$	—		$	(4	)
Total net gain/(loss) related to fair value hedge ineffectiveness	—			(4		)
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	2			(49		)
Interest rate caps and floors	(2		)	(3		)
Net settlements	(12		)	(9		)
Mortgage delivery commitments	3			—
Total net gain/(loss) related to derivatives not designated as hedging instruments	(9		)	(61		)
Net gain/(loss) on derivatives and hedging activities	$	(9	)	$	(65	)

The following table presents, by type of hedged item, the gains and losses on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on the Bank’s net interest income for the three months ended March 31, 2017 and 2016.

	Three Months Ended
	March 31, 2017											March 31, 2016
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	$	14		$	(14	)	$	—	$	(9	)	$	(49	)	$	49		$	—		$	(18	)
Consolidated obligation bonds	(11		)	11			—		9			11			(15		)	(4		)	53
Total	$	3		$	(3	)	$	—	$	—		$	(38	)	$	34		$	(4	)	$	35

(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.

Credit Risk – The Bank is subject to credit risk as a result of potential nonperformance by counterparties to the interest rate exchange 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 Bank’s agreements for uncleared derivative transactions contain provisions that link the Bank’s credit rating from Moody’s Investors Service and S&P Global Ratings to various rights and obligations. Certain of these derivative agreements provide that, if the Bank’s long-term debt rating falls below a specified rating (ranging from A3/A- to Baa3/BBB-), the Bank’s counterparty would have the right, but not the obligation, to terminate all of its outstanding derivative transactions with the Bank; the Bank’s agreements with its clearing agents for cleared derivative transactions have similar provisions with respect to the debt rating of FHLBank System consolidated bonds. If this occurs, the Bank may choose to enter into replacement hedges, either by transferring the existing transactions to another counterparty or entering into new replacement transactions, based on prevailing market rates. In addition, under some of its credit support agreements for uncleared derivative transactions, the amount of collateral that the Bank is required to deliver to a counterparty depends on the Bank’s credit rating. The aggregate fair value of all uncleared derivative instruments with credit-risk-related contingent features that were in a net derivative liability position (before cash collateral and related accrued interest) at March 31, 2017, was $5, for which the Bank had posted collateral with a fair value of $5 in the ordinary course of business. If the Bank’s credit rating at March 31, 2017, had been lowered from its current rating to the next lower rating, that would have triggered additional collateral to be delivered, and the Bank would have been required to deliver up to a total of $1 of additional collateral (at fair value) to its derivative counterparties at March 31, 2017.

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

The following table presents separately the fair value of derivative assets and derivative liabilities that have met the netting requirements, including the related collateral received from or pledged to counterparties as of March 31, 2017, and December 31, 2016.

	March 31, 2017						December 31, 2016
	Derivative Assets			Derivative Liabilities			Derivative Assets			Derivative Liabilities
Derivative instruments meeting netting requirements
Gross recognized amount
Uncleared derivatives	$	40		$	28		$	41		$	37
Cleared derivatives	108			45			99			44
Total gross recognized amount	148			73			140			81
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives	(35		)	(27		)	(37		)	(35		)
Cleared derivatives	(48		)	(45		)	(37		)	(44		)
Total gross amount of netting adjustments and cash collateral	(83		)	(72		)	(74		)	(79		)
Total derivative assets and total derivative liabilities
Uncleared derivatives	5			1			4			2
Cleared derivatives	60			—			62			—
Total derivative assets and derivative liabilities presented in the Statements of Condition	65			1			66			2
Non-cash collateral received or pledged not offset
Can be sold or repledged - Uncleared derivatives	—			—			—			—
Net unsecured amount
Uncleared derivatives	5			1			4			2
Cleared derivatives	60			—			62			—
Total net unsecured amount	$	65		$	1		$	66		$	2

XML

Fair Value

3 Months Ended

Mar. 31, 2017

Fair Value Disclosures [Abstract]

Fair Value

Fair Value

The following fair value amounts have been determined by the Bank using available market information and the Bank’s best judgment of appropriate valuation methods. These estimates are based on pertinent information available to the Bank at March 31, 2017, and December 31, 2016. Although the Bank uses its best judgment in estimating the fair value of these financial instruments, there are inherent limitations in any estimation technique or valuation methodology. For example, because an active secondary market does not exist for a portion of the Bank’s financial instruments, in certain cases fair values cannot be precisely quantified or verified and may change as economic and market factors and evaluation of those factors change. The Bank continues to refine its valuation methodologies as markets and products develop and the pricing for certain products becomes more or less transparent. While the Bank believes that its valuation methodologies are appropriate and consistent with those of other market participants, the use of different methodologies or assumptions to determine the fair value of certain financial instruments could result in a materially different estimate of fair value as of the reporting date. Therefore, the fair values are not necessarily indicative of the amounts that would be realized in current market transactions, although they do reflect the Bank’s judgment as to how a market participant would estimate the fair values. The fair value summary table does not represent an estimate of the overall market value of the Bank as a going concern, which would take into account future business opportunities and the net profitability of total assets and liabilities.

The following tables present the carrying value, the estimated fair value, and the fair value hierarchy level of the Bank’s financial instruments at March 31, 2017, and December 31, 2016.

	March 31, 2017
	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments(1)
Assets
Cash and due from banks	$	41	$	41	$	41	$	—	$	—	$	—
Interest-bearing deposits	615		615		615		—		—		—
Securities purchased under agreements to resell	11,500		11,500		—		11,500		—		—
Federal funds sold	10,092		10,092		—		10,092		—		—
Trading securities	1,466		1,466		—		1,466		—		—
AFS securities	4,294		4,294		—		—		4,294		—
HTM securities	13,016		13,054		—		11,784		1,270		—
Advances	49,052		49,166		—		49,166		—		—
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	966		974		—		974		—		—
Accrued interest receivable	64		64		—		64		—		—
Derivative assets, net(1)	65		65		—		148		—		(83		)
Other assets(2)	12		12		12		—		—		—
Liabilities
Deposits	171		171		—		171		—		—
Consolidated obligations:
Bonds	49,493		49,456		—		49,456		—		—
Discount notes	35,028		35,019		—		35,019		—		—
Total consolidated obligations	84,521		84,475		—		84,475		—		—
Mandatorily redeemable capital stock	403		403		403		—		—		—
Accrued interest payable	92		92		—		92		—		—
Derivative liabilities, net(1)	1		1		—		73		—		(72		)
Other
Standby letters of credit	21		21		—		21		—		—

	December 31, 2016
	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments(1)
Assets
Cash and due from banks	$	2	$	2	$	2	$	—	$	—	$	—
Interest-bearing deposits	590		590		590
Securities purchased under agreements to resell	15,500		15,500		—		15,500		—		—
Federal funds sold	4,214		4,214		—		4,214		—		—
Trading securities	2,066		2,066		—		2,066		—		—
AFS securities	4,489		4,489		—		—		4,489		—
HTM securities	14,127		14,141		—		12,788		1,353		—
Advances	49,845		49,921		—		49,921		—		—
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	826		845		—		845		—		—
Accrued interest receivable	79		79		—		79		—		—
Derivative assets, net(1)	66		66		—		140		—		(74		)
Other assets(2)	11		11		11		—		—		—
Liabilities
Deposits	169		169		—		169		—		—
Consolidated obligations:
Bonds	50,224		50,188		—		50,188		—		—
Discount notes	33,506		33,505		—		33,505		—		—
Total consolidated obligations	83,730		83,693		—		83,693		—		—
Mandatorily redeemable capital stock	457		457		457		—		—		—
Borrowings from other FHLBanks	1,345		1,345				1,345
Accrued interest payable	67		67		—		67		—		—
Derivative liabilities, net(1)	2		2		—		81		—		(79		)
Other
Standby letters of credit	24		24		—		24		—		—

(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.

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

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

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

• Level 2 – Inputs other than quoted prices within Level 1 that are observable inputs for the asset or liability, either directly or indirectly. If the asset or liability has a specified (contractual) term, a Level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include the following: (1) quoted prices for similar assets or liabilities in active markets; (2) quoted prices for identical or similar assets or liabilities in markets that are not active; (3) inputs other than quoted prices that are observable for the asset or liability (e.g., interest rates and yield curves that are observable at commonly quoted intervals, and implied volatilities); and (4) inputs that are derived principally from or corroborated by observable market data by correlation or other means.

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

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

The following assets and liabilities, including those for which the Bank has elected the fair value option, are carried at fair value on the Statements of Condition as of March 31, 2017:

• 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 – MBS – To value its MBS, the Bank obtains prices from four designated third-party pricing vendors when available. The pricing vendors use various proprietary models to price these securities. The inputs to those models are derived from various sources including, but not limited to: benchmark yields, reported trades, dealer estimates, issuer spreads, prices on benchmark securities, bids, offers, and other market-related data. Since many securities do not trade on a daily basis, the pricing vendors use available information as applicable, such as benchmark yield curves, benchmarking of like securities, sector groupings, and matrix pricing, to determine the prices for individual securities. Each pricing vendor has an established challenge process in place for all security valuations, which facilitates resolution of price discrepancies identified by the Bank.

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

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

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

As of March 31, 2017, 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, 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 and from Other FHLBanks –Because these are overnight transactions, the estimated fair value approximates the recorded carrying value.

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

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

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

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

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

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

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

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

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

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

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

Fair Value Measurements. The tables below present the fair value of assets and liabilities, which are recorded on a recurring or nonrecurring basis at March 31, 2017, and December 31, 2016, by level within the fair value hierarchy.

March 31, 2017
	Fair Value Measurement Using:						Netting
	Level 1		Level 2		Level 3		Adjustments(1)			Total
Recurring fair value measurements – Assets:
Trading securities:
GSEs – FFCB bonds	$	—	$	1,459	$	—	$	—		$	1,459
MBS:
Other U.S. obligations – Ginnie Mae	—		7		—		—			7
Total trading securities	—		1,466		—		—			1,466
AFS securities:
PLRMBS	—		—		4,294		—			4,294
Total AFS securities	—		—		4,294		—			4,294
Advances(2)	—		3,816		—		—			3,816
Derivative assets, net: interest rate-related	—		148		—		(83		)	65
Other assets	12		—		—		—			12
Total recurring fair value measurements – Assets	$	12	$	5,430	$	4,294	$	(83	)	$	9,653
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	2,236	$	—	$	—		$	2,236
Derivative liabilities, net: interest rate-related	—		73		—		(72		)	1
Total recurring fair value measurements – Liabilities	$	—	$	2,309	$	—	$	(72	)	$	2,237
Nonrecurring fair value measurements – Assets:(4)
Impaired mortgage loans held for portfolio	—		—		4		—			4
Total nonrecurring fair value measurements – Assets	$	—	$	—	$	4	$	—		$	4

December 31, 2016
	Fair Value Measurement Using:						Netting
	Level 1		Level 2		Level 3		Adjustments(1)			Total
Recurring fair value measurements – Assets:
Trading securities:
GSEs – FFCB bonds	$	—	$	2,058	$	—	$	—		$	2,058
MBS:
Other U.S. obligations – Ginnie Mae	—		8		—		—			8
Total trading securities	—		2,066		—		—			2,066
AFS securities:
PLRMBS	—		—		4,489		—			4,489
Total AFS securities	—		—		4,489		—			4,489
Advances(2)	—		3,719		—		—			3,719
Derivative assets, net: interest rate-related	—		140		—		(74		)	66
Other assets	11		—		—		—			11
Total recurring fair value measurements – Assets	$	11	$	5,925	$	4,489	$	(74	)	$	10,351
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	1,507	$	—	$	—		$	1,507
Derivative liabilities, net: interest rate-related	—		81		—		(79		)	2
Total recurring fair value measurements – Liabilities	$	—	$	1,588	$	—	$	(79	)	$	1,509
Nonrecurring fair value measurements – Assets:(4)
Impaired mortgage loans held for portfolio	—		—		5		—			5
Total nonrecurring fair value measurements – Assets	$	—	$	—	$	5	$	—		$	5

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

(2) Represents advances recorded under the fair value option at March 31, 2017, and December 31, 2016.

(3) Represents consolidated obligation bonds recorded under the fair value option at March 31, 2017, and December 31, 2016.

(4) The fair value information presented is as of the date the fair value adjustment was recorded during the three months ended March 31, 2017, and the year ended December 31, 2016.

The following table presents a reconciliation of the Bank’s AFS PLRMBS that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three months ended March 31, 2017 and 2016.

	Three Months Ended
	March 31, 2017			March 31, 2016
Balance, beginning of the period	$	4,489		$	5,414
Total gain/(loss) realized and unrealized included in:
Interest income	22			26
Net OTTI loss, credit-related	(3		)	(7		)
Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI	29			(47		)
Net amount of OTTI loss reclassified to/(from) other income/(loss)	2			(8		)
Settlements	(245		)	(233		)
Balance, end of the period	$	4,294		$	5,145
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	$	20		$	19

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 2016 Form 10-K.

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

The following table summarizes the activity related to financial assets and liabilities for which the Bank elected the fair value option during the three months ended March 31, 2017 and 2016:

	Three Months Ended
	March 31, 2017						March 31, 2016
	Advances			Consolidated Obligation Bonds			Advances			Consolidated Obligation Bonds
Balance, beginning of the period	$	3,719		$	1,507		$	3,677		$	4,233
New transactions elected for fair value option	288			740			169			245
Maturities and terminations	(192		)	(15		)	(171		)	(885		)
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option	1			2			47			20
Change in accrued interest	—			2			—			—
Balance, end of the period	$	3,816		$	2,236		$	3,722		$	3,613

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 months ended March 31, 2017 and 2016.

The following table presents the difference between the aggregate remaining contractual principal balance outstanding and aggregate fair value of advances and consolidated obligation bonds for which the Bank elected the fair value option at March 31, 2017, and December 31, 2016:

	March 31, 2017							December 31, 2016
	Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance			Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance
Advances(1)	$	3,805	$	3,816	$	11		$	3,709	$	3,719	$	10
Consolidated obligation bonds	2,240		2,236		(4		)	1,515		1,507		(8		)

(1) At March 31, 2017, and December 31, 2016, 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

3 Months Ended

Mar. 31, 2017

Commitments and Contingencies Disclosure [Abstract]

Commitments and Contingencies

Commitments and Contingencies

As provided by the FHLBank Act or regulations governing the operations of the FHLBanks, all FHLBanks have joint and several liability for all FHLBank consolidated obligations, which are backed only by the financial resources of the FHLBanks. The joint and several liability regulation authorizes the Finance Agency to require any FHLBank to repay all or a portion of the principal or interest on consolidated obligations for which another FHLBank is the primary obligor. The regulations provide a general framework for addressing the possibility that an FHLBank may be unable to repay the consolidated obligations for which it is the primary obligor. The Bank has never been asked or required to repay the principal or interest on any consolidated obligation on behalf of another FHLBank, and as of March 31, 2017, 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 $959,280 at March 31, 2017, and $989,311 at December 31, 2016. The par value of the Bank’s participation in consolidated obligations was $84,564 at March 31, 2017, and $83,749 at December 31, 2016. 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 2016 Form 10-K.

Off-balance sheet commitments as of March 31, 2017, and December 31, 2016, were as follows:

	March 31, 2017						December 31, 2016
	Expire Within One Year		Expire After One Year		Total		Expire Within One Year		Expire After One Year		Total
Standby letters of credit outstanding	$	11,228	$	4,226	$	15,454	$	11,094	$	4,066	$	15,160
Commitments to fund additional advances	5		1		6		5		1		6
Commitments to issue consolidated obligation discount notes, par	1,270		—		1,270		846		—		846
Commitments to issue consolidated obligation bonds, par	55		—		55		655		—		655
Commitments to purchase mortgage loans	12		—		12		13		—		13

Standby letters of credit are generally issued for a fee on behalf of members to support their obligations to third parties. If the Bank is required to make a payment for a beneficiary’s drawing under a letter of credit, the amount is immediately due and payable by the member to the Bank and is charged to the member’s demand deposit account with the Bank. The original terms of these standby letters of credit range from 33 days to 15 years, including a final expiration in 2031. The Bank monitors the creditworthiness of members that have standby letters of credit. The value of the Bank’s obligations related to standby letters of credit is recorded in other liabilities and amounted to $21 at March 31, 2017, and $24 at December 31, 2016. Standby letters of credit are fully collateralized at the time of issuance. Based on the Bank’s credit analyses of members’ financial condition and collateral requirements, the Bank deemed it unnecessary to record any additional liability on the letters of credit outstanding as of March 31, 2017, and December 31, 2016.

Commitments to fund advances totaled $6 at March 31, 2017, and $6 at December 31, 2016. Advances funded under advance commitments are fully collateralized at the time of funding (see Note 9 – Allowance for Credit Losses). Based on the Bank’s credit analyses of members’ financial condition and collateral requirements, the Bank deemed it unnecessary to record any additional liability on the advance commitments outstanding as of March 31, 2017, and December 31, 2016.

The Bank may enter into commitments that unconditionally obligate it to purchase mortgage loans from its members. Commitments are generally for periods not exceeding 60 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 has executed uncleared interest rate exchange agreements in the past 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

3 Months Ended

Mar. 31, 2017

Related Party Transactions [Abstract]

Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks

Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks

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

	March 31, 2017		December 31, 2016
Assets:
Advances	$	2,836	$	3,756
Mortgage loans held for portfolio	16		17
Accrued interest receivable	4		4
Liabilities:
Deposits	$	3	$	3
Capital:
Capital Stock	$	125	$	129

	Three Months Ended
	March 31, 2017		March 31, 2016
Interest Income:
Advances	$	9	$	9
Mortgage loans held for portfolio	—		—

All transactions with members, nonmembers, and their affiliates are entered into in the ordinary course of business. As of March 31, 2017, and December 31, 2016, no shareholder owned more than 10% of the total voting interests in the Bank because of the 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 2016 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. There were no overnight loans extended to other FHLBanks during the three months ended March 31, 2017 and 2016. During the three months ended March 31, 2017 and 2016, the Bank borrowed $10 and $425, 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 months ended March 31, 2017 and 2016, 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 months ended March 31, 2017, 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 months ended March 31, 2016, 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 three months ended March 31, 2017 and 2016, 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

3 Months Ended

Mar. 31, 2017

Subsequent Events [Abstract]

Subsequent Events

Subsequent Events

There were no material subsequent events identified, subsequent to March 31, 2017, until the time of the Form 10-Q filing with the Securities and Exchange Commission.

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Basis of Presentation (Policies)

3 Months Ended

Mar. 31, 2017

Accounting Policies [Abstract]

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, and 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.

Derivatives, Offsetting Fair Value Amounts, Policy [Policy Text Block]

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

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

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

Consolidation, Variable Interest Entity, Policy [Policy Text Block]

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

to determine whether it is the primary beneficiary in any VIE. The Bank evaluated its investments in VIEs as of March 31, 2017, 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 Bank’s maximum loss exposure for these investments is limited to the carrying value.

Investment, Policy [Policy Text Block]

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.

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 5.0% to an increase of 10.0% over the 12-month period beginning January 1, 2017. For the vast majority of markets, the projected short-term housing price changes range from 0.0% 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.

Federal Home Loan Bank, Advances, Receivables 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

Loans and Leases Receivable, Mortgage Banking Activities, Policy [Policy Text Block]

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 fixed rate mortgage loans for concurrent sale to Redwood Residential Acquisition Corporation, a subsidiary of Redwood Trust, Inc., a real estate investment trust, under the MPF Direct product; 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.

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

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.

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.

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.

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.

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.

Stockholders' Equity, Policy [Policy Text Block]

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.

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 results based on the financial components 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 determine financial management strategies related to the operations of these two 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 2016 Form 10-K.

Derivatives, Embedded Derivatives [Policy Text Block]

The Bank did not have any bonds with embedded features that met the requirements to separate the embedded feature from the host contract and designate the embedded feature as a stand-alone derivative at March 31, 2017, or December 31, 2016. 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.

hen 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, Policy [Policy Text Block]

The Bank is subject to credit risk as a result of potential nonperformance by counterparties to the interest rate exchange 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.

Derivatives, Methods of Accounting, Hedging Derivatives [Policy Text Block]

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

The Bank may have the following types of hedged items:

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 range 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 mortgage loans 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.

When the Bank issues consolidated obligation discount notes, it may also simultaneously enter into an interest rate exchange agreement to convert the fixed rate discount note to an adjustable rate discount note. This type of hedge is treated as an economic hedge.

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 do not meet the requirements for fair value hedge accounting treatment.

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

The Bank 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.

The Bank primarily uses the following derivative instruments:

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 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 documents at inception all relationships between derivatives designated as 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 may be transacted to hedge: (i) assets and liabilities on the Statement of Condition, (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.

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.

Fair Value of Financial Instruments, Policy [Policy Text Block]

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.

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.

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

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

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

• Level 2 – Inputs other than quoted prices within Level 1 that are observable inputs for the asset or liability, either directly or indirectly. If the asset or liability has a specified (contractual) term, a Level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include the following: (1) quoted prices for similar assets or liabilities in active markets; (2) quoted prices for identical or similar assets or liabilities in markets that are not active; (3) inputs other than quoted prices that are observable for the asset or liability (e.g., interest rates and yield curves that are observable at commonly quoted intervals, and implied volatilities); and (4) inputs that are derived principally from or corroborated by observable market data by correlation or other means.

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

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

The following assets and liabilities, including those for which the Bank has elected the fair value option, are carried at fair value on the Statements of Condition as of March 31, 2017:

• Trading securities

• AFS securities

• Certain advances

• Derivative assets and liabilities

• Certain consolidated obligation bonds

• Certain other assets

Loans to and from 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.

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.

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.

Investment Securities – MBS – To value its MBS, the Bank obtains prices from four designated third-party pricing vendors when available. The pricing vendors use various proprietary models to price these securities. The inputs to those models are derived from various sources including, but not limited to: benchmark yields, reported trades, dealer estimates, issuer spreads, prices on benchmark securities, bids, offers, and other market-related data. Since many securities do not trade on a daily basis, the pricing vendors use available information as applicable, such as benchmark yield curves, benchmarking of like securities, sector groupings, and matrix pricing, to determine the prices for individual securities. Each pricing vendor has an established challenge process in place for all security valuations, which facilitates resolution of price discrepancies identified by the Bank.

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

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

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

As of March 31, 2017, 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, 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.

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.

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.

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 2016 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.

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.

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.

Commitments and Contingencies, Policy [Policy Text Block]

Delivery commitments are recorded at fair value as derivative assets or derivative liabilities in the Statements of Condition.

New Accounting Pronouncements, Policy [Policy Text Block]

Premium Amortization on Purchased Callable Debt Securities. On March 30, 2017, the Financial Accounting Standards Board (FASB) issued amended guidance to shorten the amortization period for certain purchased callable debt securities held at a premium. Specifically, the amendments require the premium to be amortized to the earliest call date. The amendments do not require an accounting change for securities held at a discount; the discount continues to be amortized to maturity. This guidance affects all entities that hold investments in callable debt securities that have an amortized cost basis in excess of the amount that is repayable by the issuer at the earliest call date (that is, at a premium). This guidance is effective for the Bank for interim and annual periods beginning on January 1, 2019, and early adoption is permitted. This guidance should be applied using a modified retrospective method through a cumulative-effect adjustment directly to retained earnings as of the beginning of the period of adoption. The Bank is in the process of evaluating this guidance, and its effect on the Banks’ financial condition, results of operations, and cash flows has not yet been determined.

Improving the Presentation of Net Periodic Pension Cost and Net Periodic Postretirement Benefit Cost. On March 10, 2017, the FASB issued amended guidance to improve the presentation of net periodic pension cost and net periodic postretirement benefit cost. The amendments require that employer disaggregate the service cost component from the other components of net benefit cost. The amendments also provide explicit guidance on how to present the service cost component and the other components of net benefit cost in the Statements of Income and allow only the service cost component of net benefit cost to be eligible for capitalization. This guidance is effective for the Bank for interim and annual periods beginning on January 1, 2018, and early adoption is permitted. This guidance should be applied retrospectively for the presentation of the service cost component and the other components of net periodic pension cost and net periodic postretirement benefit cost in the Statements of Income and prospectively, on and after the effective date, for the capitalization of the service cost component of net periodic pension cost and net periodic postretirement benefit in assets. The Bank is in the process of evaluating this guidance, and its effect on the Banks’ financial condition, results of operations, and cash flows has not yet been determined.

Classification of Certain Cash Receipts and Cash Payments. On August 26, 2016, the FASB issued amendments to clarify guidance on the classification of certain cash receipts and payments in the Statements of Cash Flows. This guidance is intended to reduce existing diversity in practice in how certain cash receipts and cash payments are presented and classified on the Statements of Cash Flows. This guidance is effective for the Bank for interim and annual periods beginning on January 1, 2018, and early adoption is permitted. The guidance should be applied using a retrospective transition method to each period presented. The Bank does not intend to adopt this new guidance early. The Bank is in the process of evaluating this guidance, and its effect on the Bank’s cash flows has not yet been determined. The adoption of this guidance will have no effect on the Bank’s financial condition or results of operations.

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 over the contractual term of the financial assets. 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 purchased financial assets with a more-than-insignificant amount of credit deterioration since origination and for debt securities for which an other-than-temporary impairment had been recognized before the effective date. The Bank does not intend to adopt the new guidance early. While the Bank is still in the process of evaluating this guidance, the Bank expects the adoption of the guidance will result in an increase in the allowance for credit losses given the requirement to assess losses for the entire estimated life of the financial asset, including an allowance for debt securities. The effect on the Bank’s financial condition, results of operations, and cash flows will depend on the composition of financial assets held by the Bank at the adoption date, as well as on economic conditions and forecasts at that time.

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 became effective for the Bank for the interim and annual periods beginning on January 1, 2017. The adoption of this guidance had no effect on the Bank’s financial condition, results of operations, and cash flows.

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 became effective for the Bank for the interim and annual periods beginning on January 1, 2017, and early adoption was 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 does not intend to adopt this new guidance early. Upon adoption, the Bank expects to report higher assets and liabilities as a result of recording right-of-use assets and lease liabilities for its existing leases on the Statements of Condition. The Bank is still in the process of evaluating this guidance, but its effect on the Bank’s financial condition, results of operations, and cash flows is not expected to be material.

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 Statement of Condition 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 Statement of Condition.

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 Statements of Condition as of the beginning of the period of adoption. The Bank does not intend to adopt this new guidance early. The Bank is still in the process of evaluating this guidance, but its effect on the Bank’s financial condition, results of operations, and cash flows has not yet been determined.

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.

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 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. The Bank does not intend to adopt this new guidance early. Given that the majority of the Bank’s financial instruments and other contractual rights that generate revenue are covered by other accounting guidance under U.S. GAAP, the effect of this guidance on the Bank’s financial condition, results of operations, and cash flows is not expected to be material

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Trading Securities (Tables)

3 Months Ended

Mar. 31, 2017

Trading Securities [Abstract]

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

The estimated fair value of trading securities as of March 31, 2017, and December 31, 2016, was as follows:

	March 31, 2017		December 31, 2016
Government-Sponsored Enterprises (GSEs) – Federal Farm Credit Bank (FFCB) bonds	$	1,459	$	2,058
MBS – Other U.S. obligations – Ginnie Mae	7		8
Total	$	1,466	$	2,066

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Available-for-Sale Securities (Tables)

3 Months Ended

Mar. 31, 2017

Schedule of Available-for-sale Securities [Line Items]

Available-for-sale Securities [Table Text Block]

Available-for-sale (AFS) securities by major security type as of March 31, 2017, and December 31, 2016, were as follows:

March 31, 2017
	Amortized Cost(1)		OTTI Recognized in AOCI			Gross Unrealized Gains		Gross Unrealized Losses		Estimated Fair Value
PLRMBS:
Prime	$	398	$	(1	)	$	24	$	—	$	421
Alt-A, option ARM	820		(28		)	78		—		870
Alt-A, other	2,909		(68		)	162		—		3,003
Total	$	4,127	$	(97	)	$	264	$	—	$	4,294

December 31, 2016
	Amortized Cost(1)		OTTI Recognized in AOCI			Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value
PLRMBS:
Prime	$	413	$	(1	)	$	22	$	—		$	434
Alt-A, option ARM	853		(31		)	77		(2		)	897
Alt-A, other	3,087		(82		)	154		(1		)	3,158
Total	$	4,353	$	(114	)	$	253	$	(3	)	$	4,489

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

Available-for-sale Securities [Member]

Schedule of Available-for-sale Securities [Line Items]

Schedule of Unrealized Loss on Investments [Table Text Block]

The following table summarizes the AFS securities with unrealized losses as of March 31, 2017, and December 31, 2016. The unrealized losses are aggregated by major security type and the length of time that individual securities have been in a continuous unrealized loss position. Total unrealized losses in the following table will not agree to total gross unrealized losses in the table above. The unrealized losses in the following table also include non-credit-related OTTI losses recognized in AOCI. For OTTI analysis of AFS securities, see Note 6 – Other-Than-Temporary Impairment Analysis.

March 31, 2017
	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	$	4	$	—	$	13	$	1	$	17	$	1
Alt-A, option ARM	53		—		244		28		297		28
Alt-A, other	85		1		960		67		1,045		68
Total	$	142	$	1	$	1,217	$	96	$	1,359	$	97

December 31, 2016
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
PLRMBS:
Prime	$	—	$	—	$	14	$	1	$	14	$	1
Alt-A, option ARM	14		—		249		33		263		33
Alt-A, other	57		—		1,048		83		1,105		83
Total	$	71	$	—	$	1,311	$	117	$	1,382	$	117

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Held-to-Maturity Securities (Tables)

3 Months Ended

Mar. 31, 2017

Schedule of Held-to-maturity Securities [Line Items]

Held-to-maturity Securities [Table Text Block]

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

March 31, 2017
	Amortized Cost(1)		OTTI Recognized in AOCI(1)			Carrying Value(1)		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses			Estimated Fair Value
Certificates of deposit	$	700	$	—		$	700	$	—	$	—		$	700
Housing finance agency bonds:
California Housing Finance Agency (CalHFA) bonds	212		—			212		—		(14		)	198
MBS:
Other U.S. obligations – single-family:
Ginnie Mae	902		—			902		5		(1		)	906
GSEs – single-family:
Freddie Mac	2,598		—			2,598		23		(12		)	2,609
Fannie Mae	4,684		—			4,684		47		(6		)	4,725
Subtotal GSEs – single-family	7,282		—			7,282		70		(18		)	7,334
GSEs – multifamily:
Freddie Mac	1,547		—			1,547		3		—			1,550
Fannie Mae	1,295		—			1,295		—		(1		)	1,294
Subtotal GSEs – multifamily	2,842		—			2,842		3		(1		)	2,844
Subtotal GSEs	10,124		—			10,124		73		(19		)	10,178
PLRMBS:
Prime	660		—			660		2		(12		)	650
Alt-A, other	426		(8		)	418		11		(7		)	422
Subtotal PLRMBS	1,086		(8		)	1,078		13		(19		)	1,072
Total MBS	12,112		(8		)	12,104		91		(39		)	12,156
Total	$	13,024	$	(8	)	$	13,016	$	91	$	(53	)	$	13,054

December 31, 2016
	Amortized Cost(1)		OTTI Recognized in AOCI(1)			Carrying Value(1)		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses			Estimated Fair Value
Certificates of deposit	$	1,350	$	—		$	1,350	$	—	$	—		$	1,350
Housing finance agency bonds:
California Housing Finance Agency (CalHFA) bonds	225		—			225		—		(18		)	207
MBS:
Other U.S. obligations – single-family:
Ginnie Mae	951		—			951		5		(1		)	955
GSEs – single-family:
Freddie Mac	2,793		—			2,793		23		(15		)	2,801
Fannie Mae	5,037		—			5,037		47		(14		)	5,070
Subtotal GSEs – single-family	7,830		—			7,830		70		(29		)	7,871
GSEs – multifamily:
Freddie Mac	1,556		—			1,556		—		(1		)	1,555
Fannie Mae	1,058		—			1,058		—		(1		)	1,057
Subtotal GSEs – multifamily	2,614		—			2,614		—		(2		)	2,612
Subtotal GSEs	10,444		—			10,444		70		(31		)	10,483
PLRMBS:
Prime	707		—			707		2		(15		)	694
Alt-A, other	459		(9		)	450		11		(9		)	452
Subtotal PLRMBS	1,166		(9		)	1,157		13		(24		)	1,146
Total MBS	12,561		(9		)	12,552		88		(56		)	12,584
Total	$	14,136	$	(9	)	$	14,127	$	88	$	(74	)	$	14,141

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

Held-to-maturity Securities [Member]

Schedule of Held-to-maturity Securities [Line Items]

Schedule of Unrealized Loss on Investments [Table Text Block]

The following tables summarize the HTM securities with unrealized losses as of March 31, 2017, and December 31, 2016. The unrealized losses are aggregated by major security type and the length of time that individual securities have been in a continuous unrealized loss position. Total unrealized losses in the following table will not agree to the total gross unrecognized holding losses in the table above. The unrealized losses in the following table also include non-credit-related OTTI losses recognized in AOCI. For OTTI analysis of HTM securities, see Note 6 – Other-Than-Temporary Impairment Analysis.

March 31, 2017
	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	$	—	$	—	$	198	$	14	$	198	$	14
MBS:
Other U.S. obligations – single-family:
Ginnie Mae	179		1		—		—		179		1
GSEs – single-family:
Freddie Mac	1,274		12		4		—		1,278		12
Fannie Mae	813		5		100		1		913		6
Subtotal GSEs – single-family	2,087		17		104		1		2,191		18
GSEs – multifamily:
Fannie Mae	1,008		1		—		—		1,008		1
Subtotal GSEs – multifamily	1,008		1		—		—		1,008		1
Subtotal GSEs	3,095		18		104		1		3,199		19
PLRMBS:
Prime	1		—		455		12		456		12
Alt-A, other	—		—		421		15		421		15
Subtotal PLRMBS	1		—		876		27		877		27
Total MBS	3,275		19		980		28		4,255		47
Total	$	3,275	$	19	$	1,178	$	42	$	4,453	$	61

December 31, 2016
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
Housing finance agency bonds:
CalHFA bonds	$	—	$	—	$	193	$	18	$	193	$	18
MBS:
Other U.S. obligations – single-family:
Ginnie Mae	190		1		—		—		190		1
GSEs – single-family:
Freddie Mac	1,498		15		3		—		1,501		15
Fannie Mae	2,665		12		96		2		2,761		14
Subtotal GSEs – single-family	4,163		27		99		2		4,262		29
GSEs – multifamily:
Freddie Mac	1,007		1		—		—		1,007		1
Fannie Mae	387		1		—		—		387		1
Subtotal GSEs – multifamily	1,394		2		—		—		1,394		2
Subtotal GSEs	5,557		29		99		2		5,656		31
PLRMBS:
Prime	1		—		517		15		518		15
Alt-A, other	—		—		452		18		452		18
Subtotal PLRMBS	1		—		969		33		970		33
Total MBS	5,748		30		1,068		35		6,816		65
Total	$	5,748	$	30	$	1,261	$	53	$	7,009	$	83

Investments Classified by Contractual Maturity Date [Table Text Block]

The amortized cost, carrying value, and estimated fair value of non-MBS securities by contractual maturity (based on contractual final principal payment) and of MBS as of March 31, 2017, and December 31, 2016, are shown below. Expected maturities of MBS will differ from contractual maturities because borrowers generally have the right to prepay the underlying obligations without prepayment fees.

March 31, 2017
Year of Contractual Maturity	Amortized Cost(1)		Carrying Value(1)		Estimated Fair Value
HTM securities other than MBS:
Due in 1 year or less	$	700	$	700	$	700
Due after 5 years through 10 years	35		35		35
Due after 10 years	177		177		163
Subtotal	912		912		898
MBS	12,112		12,104		12,156
Total	$	13,024	$	13,016	$	13,054

December 31, 2016
Year of Contractual Maturity	Amortized Cost(1)		Carrying Value(1)		Estimated Fair Value
HTM securities other than MBS:
Due in 1 year or less	$	1,350	$	1,350	$	1,350
Due after 5 years through 10 years	35		35		34
Due after 10 years	190		190		173
Subtotal	1,575		1,575		1,557
MBS	12,561		12,552		12,584
Total	$	14,136	$	14,127	$	14,141

(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 (Tables)

3 Months Ended

Mar. 31, 2017

Other than Temporary Impairment Losses, Investments [Abstract]

Schedule of Significant Inputs In Measuring Other Than Temporary Impairments Recognized In Earnings [Table Text Block]

For securities determined to be other-than-temporarily impaired as of March 31, 2017 (securities for which the Bank determined that it does not expect to recover the entire amortized cost basis), the following table presents a summary of the significant inputs used in measuring the amount of credit loss recognized in earnings during the first quarter of 2017, and the related current credit enhancement for the Bank.

March 31, 2017
	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)
Alt-A, other
2007	9.0	29.5	41.5	1.2
2005	14.0	10.7	34.3	0.1
2004 and earlier	14.0	1.7	31.4	9.2
Total	11.3	20.7	38.2	0.7

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

Other than Temporary Impairment, Credit Losses Recognized in Earnings [Table Text Block]

The following table presents the credit-related OTTI, which is recognized in earnings, for the three months ended March 31, 2017 and 2016.

	Three Months Ended
	March 31, 2017			March 31, 2016
Balance, beginning of the period	$	1,183		$	1,255
Additional charges on securities for which OTTI was previously recognized(1)	3			7
Securities matured during the period (2)	—			—
Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities(3)	(17		)	(23		)
Balance, end of the period	$	1,169		$	1,239

(1) For the three months ended March 31, 2017 and 2016, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2017 and 2016, respectively.

(2) Represents reductions related to securities having reached final maturity during the period, which therefore are no longer held by the Bank at the end of the period.

(3) The total accretion or amortization associated with other-than-temporarily impaired PLRMBS (amount recognized in interest income) totaled $23 and $26, for the three months ended March 31, 2017 and 2016, respectively.

Schedule of Other Than Temporarily Impaired Charges Incurred During Life of the Securities [Table Text Block]

The following tables present the Bank’s AFS and HTM PLRMBS that incurred OTTI losses anytime during the life of the securities at March 31, 2017, and December 31, 2016, by loan collateral type:

March 31, 2017
	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	$	479	$	398	$	421	$	—	$	—	$	—	$	—
Alt-A, option ARM	1,091		820		871		—		—		—		—
Alt-A, other	3,450		2,909		3,002		87		82		73		84
Total	$	5,020	$	4,127	$	4,294	$	87	$	82	$	73	$	84

December 31, 2016
	Available-for-Sale Securities						Held-to-Maturity Securities
	Unpaid Principal Balance		Amortized Cost		Estimated Fair Value		Unpaid Principal Balance		Amortized Cost		Carrying Value		Estimated Fair Value
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
Prime	$	498	$	413	$	434	$	—	$	—	$	—	$	—
Alt-A, option ARM	1,134		853		897		—		—		—		—
Alt-A, other	3,650		3,087		3,158		93		88		79		91
Total	$	5,282	$	4,353	$	4,489	$	93	$	88	$	79	$	91

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Advances (Tables)

3 Months Ended

Mar. 31, 2017

Federal Home Loan Banks [Abstract]

Federal Home Loan Bank, Advances [Table Text Block]

Interest rate payment terms for advances at March 31, 2017, and December 31, 2016, are detailed below:

	March 31, 2017		December 31, 2016
Par value of advances:
Fixed rate:
Due within 1 year	$	12,421	$	13,486
Due after 1 year	11,504		10,845
Total fixed rate	23,925		24,331
Adjustable rate:
Due within 1 year	9,093		9,416
Due after 1 year	16,059		16,110
Total adjustable rate	25,152		25,526
Total par value	$	49,077	$	49,857

The following table summarizes advances at March 31, 2017, and December 31, 2016, by the earlier of the year of contractual maturity or next call date for callable advances and by the earlier of the year of contractual maturity or next put date for putable advances.

	Earlier of Contractual Maturity or Next Call Date				Earlier of Contractual Maturity or Next Put Date
	March 31, 2017		December 31, 2016		March 31, 2017		December 31, 2016
Within 1 year	$	26,981	$	25,784	$	21,514	$	22,927
After 1 year through 2 years	9,253		11,078		10,919		7,583
After 2 years through 3 years	6,260		4,465		6,654		9,410
After 3 years through 4 years	3,962		5,782		4,262		2,083
After 4 years through 5 years	1,518		1,421		4,524		6,423
After 5 years	1,103		1,327		1,204		1,431
Total par value	$	49,077	$	49,857	$	49,077	$	49,857

The following tables present the concentration in advances to the top five borrowers and their affiliates at March 31, 2017 and 2016. The tables also present the interest income from

these advances before the impact of interest rate exchange agreements associated with these advances for the three months ended March 31, 2017 and 2016.

	March 31, 2017				Three Months Ended March 31, 2017
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
JPMorgan Chase Bank, National Association(2)	$	14,806	30	%	$	41	25	%
Bank of the West	6,655		14		14		9
First Republic Bank	5,900		12		21		13
CIT Bank, N.A.	2,411		5		7		5
Star One Credit Union(3)	2,046		4		7		4
Subtotal	31,818		65		90		56
Others	17,259		35		71		44
Total par value	$	49,077	100	%	$	161	100	%

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

(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) Officer of member bank also serves on the Board of Directors of the Bank.

The Bank had advances outstanding, excluding overdrawn demand deposit accounts, at interest rates ranging from 0.58% to 8.57% at March 31, 2017, and 0.43% to 8.57% at December 31, 2016, as summarized below.

	March 31, 2017					December 31, 2016
Contractual Maturity	Amount Outstanding			Weighted Average Interest Rate		Amount Outstanding			Weighted Average Interest Rate
Within 1 year	$	21,514		0.94	%	$	22,902		0.78	%
After 1 year through 2 years	10,919			1.39		7,608			1.36
After 2 years through 3 years	6,654			1.34		9,410			1.22
After 3 years through 4 years	4,262			1.40		2,083			1.39
After 4 years through 5 years	4,524			1.42		6,423			1.24
After 5 years	1,204			2.89		1,431			2.60
Total par value	49,077			1.22	%	49,857			1.09	%
Valuation adjustments for hedging activities	(36		)			(22		)
Valuation adjustments under fair value option	11					10
Total	$	49,052				$	49,845

The net amount of prepayment fees is reflected as interest income in the Statements of Income for the three months ended March 31, 2017 and 2016, as follows:

	Three Months Ended
	March 31, 2017		March 31, 2016
Prepayment fees received	$	—	$	—
Fair value adjustments	—		2
Net	$	—	$	2
Advance principal prepaid	$	1,245	$	770

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Mortgage Loans Held for Portfolio (Tables)

3 Months Ended

Mar. 31, 2017

Mortgage Loans on Real Estate [Abstract]

Schedule of Participating Mortgage Loans [Table Text Block]

The following table presents information as of March 31, 2017, and December 31, 2016, on mortgage loans, all of which are secured by one- to four-unit residential properties and single-unit second homes.

	March 31, 2017			December 31, 2016
Fixed rate medium-term mortgage loans	$	46		$	55
Fixed rate long-term mortgage loans	900			759
Subtotal	946			814
Unamortized premiums	26			18
Unamortized discounts	(6		)	(6		)
Mortgage loans held for portfolio	966			826
Less: Allowance for credit losses	—			—
Total mortgage loans held for portfolio, net	$	966		$	826

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Allowance for Credit Losses (Tables)

3 Months Ended

Mar. 31, 2017

Loans and Leases Receivable Disclosure [Abstract]

Past Due Financing Receivables [Table Text Block]

The following table presents information on delinquent mortgage loans as of March 31, 2017, and December 31, 2016.

	March 31, 2017			December 31, 2016
	Recorded Investment(1)			Recorded Investment(1)
30 – 59 days delinquent	$	10		$	7
60 – 89 days delinquent	2			3
90 days or more delinquent	14			15
Total past due	26			25
Total current loans	944			805
Total mortgage loans	$	970		$	830
In process of foreclosure, included above(2)	$	6		$	5
Nonaccrual loans	$	14		$	15
Loans past due 90 days or more and still accruing interest	$	—		$	—
Serious delinquencies as a percentage of total mortgage loans outstanding(3)	1.49		%	1.79		%

(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.

Schedule of Allowance for Credit Losses and Recorded Investment by Impairment Methodology [Table Text Block]

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

	March 31, 2017		December 31, 2016
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	$	11	$	12
Collectively evaluated for impairment	959		818
Total recorded investment	$	970	$	830

Schedule of Recorded Investment, Unpaid Principal Balance and Related Allowance of Impaired Loans [Table Text Block]

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

	March 31, 2017						December 31, 2016
	Recorded Investment		Unpaid Principal Balance		Related Allowance		Recorded Investment		Unpaid Principal Balance		Related Allowance
With no related allowance	$	11	$	11	$	—	$	12	$	12	$	—
With an allowance	—		—		—		—		—		—
Total	$	11	$	11	$	—	$	12	$	12	$	—

Schedule of Average Recorded Investment on Impaired Loans [Table Text Block]

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

	Three Months Ended
	March 31, 2017		March 31, 2016
With no related allowance	$	11	$	12
With an allowance	—		1
Total	$	11	$	13

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Deposits (Tables)

3 Months Ended

Mar. 31, 2017

Deposits [Abstract]

Schedule of Deposit Liabilities by Component [Table Text Block]

Deposits as of March 31, 2017, and December 31, 2016, were as follows:

	March 31, 2017		December 31, 2016
Interest-bearing deposits:
Demand and overnight	$	167	$	167
Total interest-bearing deposits	167		167
Non-interest-bearing deposits:
Other	4		2
Total non-interest-bearing deposits	4		2
Total	$	171	$	169

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

Deposits classified as demand, overnight, and other pay interest based on a daily interest rate. Term deposits pay interest based on a fixed rate determined at the issuance of the deposit. Interest rate payment terms for deposits at March 31, 2017, and December 31, 2016, are detailed in the following table:

	March 31, 2017				December 31, 2016
	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding		Weighted Average Interest Rate
Interest-bearing deposit – Adjustable rate	$	167	0.60	%	$	167	0.01	%
Non-interest-bearing deposits	4				2
Total	$	171			$	169

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Consolidated Obligations (Tables)

3 Months Ended

Mar. 31, 2017

Debt Disclosure [Abstract]

Schedule of Maturities of Long-term Debt [Table Text Block]

The following is a summary of the Bank’s participation in consolidated obligation bonds at March 31, 2017, and December 31, 2016.

	March 31, 2017					December 31, 2016
Contractual Maturity	Amount Outstanding			Weighted Average Interest Rate		Amount Outstanding			Weighted Average Interest Rate
Within 1 year	$	31,694		0.94	%	$	33,879		0.82	%
After 1 year through 2 years	11,751			1.05		10,597			0.99
After 2 years through 3 years	998			1.47		1,318			1.32
After 3 years through 4 years	1,465			1.69		1,055			1.84
After 4 years through 5 years	1,630			1.66		1,350			1.59
After 5 years	1,957			2.47		2,021			2.42
Total par value	49,495			1.08	%	50,220			0.98	%
Unamortized premiums	16					15
Unamortized discounts	(9		)			(9		)
Valuation adjustments for hedging activities	(5		)			6
Fair value option valuation adjustments	(4		)			(8		)
Total	$	49,493				$	50,224

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

The Bank’s participation in consolidated obligation bonds at March 31, 2017, and December 31, 2016, was as follows:  

	March 31, 2017		December 31, 2016
Par value of consolidated obligation bonds:
Non-callable	$	43,275	$	45,550
Callable	6,220		4,670
Total par value	$	49,495	$	50,220

Schedule of Maturities of Long-term Debt by Contractual or Next Call Date [Table Text Block]

The following is a summary of the Bank’s participation in consolidated obligation bonds outstanding at March 31, 2017, and December 31, 2016, by the earlier of the year of contractual maturity or next call date.

Earlier of Contractual Maturity or Next Call Date	March 31, 2017		December 31, 2016
Within 1 year	$	37,334	$	38,099
After 1 year through 2 years	11,136		10,747
After 2 years through 3 years	613		743
After 3 years through 4 years	320		455
After 4 years through 5 years	—		85
After 5 years	92		91
Total par value	$	49,495	$	50,220

Schedule of Short-term Debt [Table Text Block]

The Bank’s participation in consolidated obligation discount notes, all of which are due within one year, was as follows:

	March 31, 2017					December 31, 2016
	Amount Outstanding			Weighted Average Interest Rate (1)		Amount Outstanding			Weighted Average Interest Rate (1)
Par value	$	35,069		0.62	%	$	33,529		0.46	%
Unamortized discounts	(41		)			(23		)
Total	$	35,028				$	33,506

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

Interest rate payment terms for consolidated obligations at March 31, 2017, and December 31, 2016, 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 2016 Form 10-K.

	March 31, 2017		December 31, 2016
Par value of consolidated obligations:
Bonds:
Fixed rate	$	16,870	$	15,960
Adjustable rate	31,075		33,435
Step-up	1,240		515
Step-down	200		200
Fixed rate that converts to adjustable rate	10		10
Range bonds	100		100
Total bonds, par value	49,495		50,220
Discount notes, par value	35,069		33,529
Total consolidated obligations, par value	$	84,564	$	83,749

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Accumulated Other Comprehensive Income (Loss) (Tables)

3 Months Ended

Mar. 31, 2017

Accumulated Other Comprehensive Income (Loss), Net of Tax [Abstract]

Schedule of Accumulated Other Comprehensive Income (Loss) [Table Text Block]

The following table summarizes the changes in AOCI for the three months ended March 31, 2017 and 2016:

	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, 2015	$	43		$	(14	)	$	(14	)	$	15
Other comprehensive income/(loss) before reclassifications:
Net change in pension and postretirement benefits							1			1
Non-credit-related OTTI loss	(10		)	—						(10		)
Net change in fair value	(47		)							(47		)
Accretion of non-credit-related OTTI loss				1						1
Reclassification from other comprehensive income/(loss) to net income/(loss):
Non-credit-related OTTI to credit-related OTTI	2			—						2
Net current period other comprehensive income/(loss)	(55		)	1			1			(53		)
Balance, March 31, 2016	$	(12	)	$	(13	)	$	(13	)	$	(38	)
Balance, December 31, 2016	$	136		$	(9	)	$	(16	)	$	111
Other comprehensive income/(loss) before reclassifications:
Net change in fair value	29									29
Accretion of non-credit-related OTTI loss				1						1
Reclassification from other comprehensive income/(loss) to net income/(loss):
Non-credit-related OTTI to credit-related OTTI	2			—						2
Net current period other comprehensive income/(loss)	31			1			—			32
Balance, March 31, 2017	$	167		$	(8	)	$	(16	)	$	143

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Capital (Tables)

3 Months Ended

Mar. 31, 2017

Capital [Abstract]

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

As of March 31, 2017, and December 31, 2016, the Bank was in compliance with these capital rules and requirements as shown in the following table.

	March 31, 2017						December 31, 2016
	Required			Actual			Required			Actual
Risk-based capital	$	2,149		$	5,833		$	2,241		$	5,883
Total regulatory capital	$	3,652		$	5,833		$	3,678		$	5,883
Total regulatory capital ratio	4.00		%	6.39		%	4.00		%	6.40		%
Leverage capital	$	4,565		$	8,750		$	4,597		$	8,825
Leverage ratio	5.00		%	9.58		%	5.00		%	9.60		%

Schedule of Mandatorily Redeemable Capital Stock [Table Text Block]

The Bank had mandatorily redeemable capital stock totaling $403 outstanding to six institutions at March 31, 2017, and $457 outstanding to six institutions at December 31, 2016. The change in mandatorily redeemable capital stock for the three months ended March 31, 2017 and 2016, as follows:

	Three Months Ended
	March 31, 2017			March 31, 2016
Balance at the beginning of the period	$	457		$	488
Reclassified from/(to) capital during the period	—			52
Redemption of mandatorily redeemable capital stock	(54		)	—
Repurchase of excess mandatorily redeemable capital stock	—			(54		)
Balance at the end of the period	$	403		$	486

Schedule of Mandatorily Redeemable Capital Stock by Maturity Date [Table Text Block]

The following table presents mandatorily redeemable capital stock amounts by contractual redemption period at March 31, 2017, and December 31, 2016.

Contractual Redemption Period	March 31, 2017		December 31, 2016
After 1 year through 2 years	$	—	$	—
After 2 years through 3 years	1		—
After 3 years through 4 years	378		379
Past contractual redemption date because of remaining activity(1)	24		78
Total	$	403	$	457

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

Schedule of Restricted Retained Earnings [Table Text Block]

The following table summarizes the activity related to retained earnings for the three months ended March 31, 2017 and 2016:

				Restricted Retained Earnings Related to:
	Unrestricted Retained Earnings			Valuation Adjustments			Other		Joint Capital Enhancement Agreement		Total Restricted Retained Earnings		Total Retained Earnings
Balance, December 31, 2015	$	610		$	10		$	1,650	$	358	$	2,018	$	2,628
Net income	195			(10		)	—		46		36		231
Cash dividends on capital stock	(45		)										(45		)
Balance, March 31, 2016	$	760		$	—		$	1,650	$	404	$	2,054	$	2,814
Balance, December 31, 2016	888			18			1,650		500		2,168		3,056
Net income	16			2			100		30		132		148
Cash dividends on capital stock	(54		)										(54		)
Balance, March 31, 2017	$	850		$	20		$	1,750	$	530	$	2,300	$	3,150

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Segment Information (Tables)

3 Months Ended

Mar. 31, 2017

Segment Reporting [Abstract]

Reconciliation of Operating Profit (Loss) from Segments to Consolidated [Table Text Block]

The following table presents the Bank’s adjusted net interest income by operating segment and reconciles total adjusted net interest income to income before the AHP assessment for the three months ended March 31, 2017 and 2016.

	Advances- Related Business		Mortgage- Related Business(1)		Adjusted Net Interest Income		Amortization of Basis Adjustments(2)			Income/(Expense) on Economic Hedges(3)			Interest Expense on Mandatorily Redeemable Capital Stock(4)		Net Interest Income After Mortgage Loan Loss Provision		Other Income/ (Loss)		Other Expense		Income Before AHP Assessment
Three months ended:
March 31, 2017	$	48	$	83	$	131	$	(2	)	$	(12	)	$	11	$	134	$	112	$	80	$	166
March 31, 2016	36		86		122		(2		)	(9		)	10		123		171		36		258

(1) The mortgage-related business includes total accretion or amortization associated with other-than-temporarily impaired PLRMBS, which are recognized in interest income, totaled $23 and $26 for the three months ended March 31, 2017 and 2016. The mortgage-related business does not include credit-related OTTI losses of $3 and $7 for the three months ended March 31, 2017 and 2016, respectively.

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

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

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

Schedule of Segment Assets by Segment [Table Text Block]

The following table presents total assets by operating segment at March 31, 2017, and December 31, 2016.

	Advances- Related Business		Mortgage- Related Business		Total Assets
March 31, 2017	$	73,875	$	17,415	$	91,290
December 31, 2016	74,018		17,923		91,941

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Derivatives and Hedging Activities (Tables)

3 Months Ended

Mar. 31, 2017

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 notional amount and fair value of derivative instruments, including the effect of netting adjustments and cash collateral as of March 31, 2017, and December 31, 2016. For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest.

	March 31, 2017								December 31, 2016
	Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities			Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	20,520	$	75		$	23		$	20,741	$	67		$	32
Total	20,520		75			23			20,741		67			32
Derivatives not designated as hedging instruments:
Interest rate swaps	44,534		69			50			42,135		67			49
Interest rate caps and floors	1,560		4			—			2,180		6			—
Mortgage delivery commitments	12		—			—			13		—			—
Total	46,106		73			50			44,328		73			49
Total derivatives before netting and collateral adjustments	$	66,626	148			73			$	65,069	140			81
Netting adjustments and cash collateral(1)			(83		)	(72		)			(74		)	(79		)
Total derivative assets and total derivative liabilities			$	65		$	1				$	66		$	2

(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 $5 and $22 at March 31, 2017, and December 31, 2016, respectively. Cash collateral received and related accrued interest was $16 and $16 at March 31, 2017, and December 31, 2016, respectively.

Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance [Table Text Block]

The following table presents the components of net gain/(loss) on derivatives and hedging activities as presented in the Statements of Income for the three months ended March 31, 2017 and 2016.

	Three Months Ended
	March 31, 2017			March 31, 2016
	Gain/(Loss)			Gain/(Loss)
Derivatives designated as hedging instruments:
Interest rate swaps	$	—		$	(4	)
Total net gain/(loss) related to fair value hedge ineffectiveness	—			(4		)
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	2			(49		)
Interest rate caps and floors	(2		)	(3		)
Net settlements	(12		)	(9		)
Mortgage delivery commitments	3			—
Total net gain/(loss) related to derivatives not designated as hedging instruments	(9		)	(61		)
Net gain/(loss) on derivatives and hedging activities	$	(9	)	$	(65	)

Schedule of Derivative Instruments By Type, Gain (Loss) in Statement of Financial Performance [Table Text Block]

The following table presents, by type of hedged item, the gains and losses on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on the Bank’s net interest income for the three months ended March 31, 2017 and 2016.

	Three Months Ended
	March 31, 2017											March 31, 2016
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	$	14		$	(14	)	$	—	$	(9	)	$	(49	)	$	49		$	—		$	(18	)
Consolidated obligation bonds	(11		)	11			—		9			11			(15		)	(4		)	53
Total	$	3		$	(3	)	$	—	$	—		$	(38	)	$	34		$	(4	)	$	35

(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 [Table Text Block]

The following table presents separately the fair value of derivative assets and derivative liabilities that have met the netting requirements, including the related collateral received from or pledged to counterparties as of March 31, 2017, and December 31, 2016.

	March 31, 2017						December 31, 2016
	Derivative Assets			Derivative Liabilities			Derivative Assets			Derivative Liabilities
Derivative instruments meeting netting requirements
Gross recognized amount
Uncleared derivatives	$	40		$	28		$	41		$	37
Cleared derivatives	108			45			99			44
Total gross recognized amount	148			73			140			81
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives	(35		)	(27		)	(37		)	(35		)
Cleared derivatives	(48		)	(45		)	(37		)	(44		)
Total gross amount of netting adjustments and cash collateral	(83		)	(72		)	(74		)	(79		)
Total derivative assets and total derivative liabilities
Uncleared derivatives	5			1			4			2
Cleared derivatives	60			—			62			—
Total derivative assets and derivative liabilities presented in the Statements of Condition	65			1			66			2
Non-cash collateral received or pledged not offset
Can be sold or repledged - Uncleared derivatives	—			—			—			—
Net unsecured amount
Uncleared derivatives	5			1			4			2
Cleared derivatives	60			—			62			—
Total net unsecured amount	$	65		$	1		$	66		$	2

Schedule of Derivative Instruments, Offsetting Derivative Liabilities [Table Text Block]

The following table presents separately the fair value of derivative assets and derivative liabilities that have met the netting requirements, including the related collateral received from or pledged to counterparties as of March 31, 2017, and December 31, 2016.

	March 31, 2017						December 31, 2016
	Derivative Assets			Derivative Liabilities			Derivative Assets			Derivative Liabilities
Derivative instruments meeting netting requirements
Gross recognized amount
Uncleared derivatives	$	40		$	28		$	41		$	37
Cleared derivatives	108			45			99			44
Total gross recognized amount	148			73			140			81
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives	(35		)	(27		)	(37		)	(35		)
Cleared derivatives	(48		)	(45		)	(37		)	(44		)
Total gross amount of netting adjustments and cash collateral	(83		)	(72		)	(74		)	(79		)
Total derivative assets and total derivative liabilities
Uncleared derivatives	5			1			4			2
Cleared derivatives	60			—			62			—
Total derivative assets and derivative liabilities presented in the Statements of Condition	65			1			66			2
Non-cash collateral received or pledged not offset
Can be sold or repledged - Uncleared derivatives	—			—			—			—
Net unsecured amount
Uncleared derivatives	5			1			4			2
Cleared derivatives	60			—			62			—
Total net unsecured amount	$	65		$	1		$	66		$	2

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Fair Value (Tables)

3 Months Ended

Mar. 31, 2017

Fair Value Disclosures [Abstract]

Fair Value, by Balance Sheet Grouping [Table Text Block]

The following tables present the carrying value, the estimated fair value, and the fair value hierarchy level of the Bank’s financial instruments at March 31, 2017, and December 31, 2016.

	March 31, 2017
	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments(1)
Assets
Cash and due from banks	$	41	$	41	$	41	$	—	$	—	$	—
Interest-bearing deposits	615		615		615		—		—		—
Securities purchased under agreements to resell	11,500		11,500		—		11,500		—		—
Federal funds sold	10,092		10,092		—		10,092		—		—
Trading securities	1,466		1,466		—		1,466		—		—
AFS securities	4,294		4,294		—		—		4,294		—
HTM securities	13,016		13,054		—		11,784		1,270		—
Advances	49,052		49,166		—		49,166		—		—
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	966		974		—		974		—		—
Accrued interest receivable	64		64		—		64		—		—
Derivative assets, net(1)	65		65		—		148		—		(83		)
Other assets(2)	12		12		12		—		—		—
Liabilities
Deposits	171		171		—		171		—		—
Consolidated obligations:
Bonds	49,493		49,456		—		49,456		—		—
Discount notes	35,028		35,019		—		35,019		—		—
Total consolidated obligations	84,521		84,475		—		84,475		—		—
Mandatorily redeemable capital stock	403		403		403		—		—		—
Accrued interest payable	92		92		—		92		—		—
Derivative liabilities, net(1)	1		1		—		73		—		(72		)
Other
Standby letters of credit	21		21		—		21		—		—

	December 31, 2016
	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments(1)
Assets
Cash and due from banks	$	2	$	2	$	2	$	—	$	—	$	—
Interest-bearing deposits	590		590		590
Securities purchased under agreements to resell	15,500		15,500		—		15,500		—		—
Federal funds sold	4,214		4,214		—		4,214		—		—
Trading securities	2,066		2,066		—		2,066		—		—
AFS securities	4,489		4,489		—		—		4,489		—
HTM securities	14,127		14,141		—		12,788		1,353		—
Advances	49,845		49,921		—		49,921		—		—
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	826		845		—		845		—		—
Accrued interest receivable	79		79		—		79		—		—
Derivative assets, net(1)	66		66		—		140		—		(74		)
Other assets(2)	11		11		11		—		—		—
Liabilities
Deposits	169		169		—		169		—		—
Consolidated obligations:
Bonds	50,224		50,188		—		50,188		—		—
Discount notes	33,506		33,505		—		33,505		—		—
Total consolidated obligations	83,730		83,693		—		83,693		—		—
Mandatorily redeemable capital stock	457		457		457		—		—		—
Borrowings from other FHLBanks	1,345		1,345				1,345
Accrued interest payable	67		67		—		67		—		—
Derivative liabilities, net(1)	2		2		—		81		—		(79		)
Other
Standby letters of credit	24		24		—		24		—		—

(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.

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Table Text Block]

The tables below present the fair value of assets and liabilities, which are recorded on a recurring or nonrecurring basis at March 31, 2017, and December 31, 2016, by level within the fair value hierarchy.

March 31, 2017
	Fair Value Measurement Using:						Netting
	Level 1		Level 2		Level 3		Adjustments(1)			Total
Recurring fair value measurements – Assets:
Trading securities:
GSEs – FFCB bonds	$	—	$	1,459	$	—	$	—		$	1,459
MBS:
Other U.S. obligations – Ginnie Mae	—		7		—		—			7
Total trading securities	—		1,466		—		—			1,466
AFS securities:
PLRMBS	—		—		4,294		—			4,294
Total AFS securities	—		—		4,294		—			4,294
Advances(2)	—		3,816		—		—			3,816
Derivative assets, net: interest rate-related	—		148		—		(83		)	65
Other assets	12		—		—		—			12
Total recurring fair value measurements – Assets	$	12	$	5,430	$	4,294	$	(83	)	$	9,653
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	2,236	$	—	$	—		$	2,236
Derivative liabilities, net: interest rate-related	—		73		—		(72		)	1
Total recurring fair value measurements – Liabilities	$	—	$	2,309	$	—	$	(72	)	$	2,237
Nonrecurring fair value measurements – Assets:(4)
Impaired mortgage loans held for portfolio	—		—		4		—			4
Total nonrecurring fair value measurements – Assets	$	—	$	—	$	4	$	—		$	4

December 31, 2016
	Fair Value Measurement Using:						Netting
	Level 1		Level 2		Level 3		Adjustments(1)			Total
Recurring fair value measurements – Assets:
Trading securities:
GSEs – FFCB bonds	$	—	$	2,058	$	—	$	—		$	2,058
MBS:
Other U.S. obligations – Ginnie Mae	—		8		—		—			8
Total trading securities	—		2,066		—		—			2,066
AFS securities:
PLRMBS	—		—		4,489		—			4,489
Total AFS securities	—		—		4,489		—			4,489
Advances(2)	—		3,719		—		—			3,719
Derivative assets, net: interest rate-related	—		140		—		(74		)	66
Other assets	11		—		—		—			11
Total recurring fair value measurements – Assets	$	11	$	5,925	$	4,489	$	(74	)	$	10,351
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	1,507	$	—	$	—		$	1,507
Derivative liabilities, net: interest rate-related	—		81		—		(79		)	2
Total recurring fair value measurements – Liabilities	$	—	$	1,588	$	—	$	(79	)	$	1,509
Nonrecurring fair value measurements – Assets:(4)
Impaired mortgage loans held for portfolio	—		—		5		—			5
Total nonrecurring fair value measurements – Assets	$	—	$	—	$	5	$	—		$	5

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

(2) Represents advances recorded under the fair value option at March 31, 2017, and December 31, 2016.

(3) Represents consolidated obligation bonds recorded under the fair value option at March 31, 2017, and December 31, 2016.

(4) The fair value information presented is as of the date the fair value adjustment was recorded during the three months ended March 31, 2017, and the year ended December 31, 2016.

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block]

The following table presents a reconciliation of the Bank’s AFS PLRMBS that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three months ended March 31, 2017 and 2016.

	Three Months Ended
	March 31, 2017			March 31, 2016
Balance, beginning of the period	$	4,489		$	5,414
Total gain/(loss) realized and unrealized included in:
Interest income	22			26
Net OTTI loss, credit-related	(3		)	(7		)
Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI	29			(47		)
Net amount of OTTI loss reclassified to/(from) other income/(loss)	2			(8		)
Settlements	(245		)	(233		)
Balance, end of the period	$	4,294		$	5,145
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	$	20		$	19

Fair Value, Option, Quantitative Disclosures [Table Text Block]

The following table summarizes the activity related to financial assets and liabilities for which the Bank elected the fair value option during the three months ended March 31, 2017 and 2016:

	Three Months Ended
	March 31, 2017						March 31, 2016
	Advances			Consolidated Obligation Bonds			Advances			Consolidated Obligation Bonds
Balance, beginning of the period	$	3,719		$	1,507		$	3,677		$	4,233
New transactions elected for fair value option	288			740			169			245
Maturities and terminations	(192		)	(15		)	(171		)	(885		)
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option	1			2			47			20
Change in accrued interest	—			2			—			—
Balance, end of the period	$	3,816		$	2,236		$	3,722		$	3,613

Fair Value Option, Quantitative Disclosure, Difference Between Aggregate Fair Value and Aggregate Remaining Contractual Principal Balance Outstanding [Table Text Block]

The following table presents the difference between the aggregate remaining contractual principal balance outstanding and aggregate fair value of advances and consolidated obligation bonds for which the Bank elected the fair value option at March 31, 2017, and December 31, 2016:

	March 31, 2017							December 31, 2016
	Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance			Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance
Advances(1)	$	3,805	$	3,816	$	11		$	3,709	$	3,719	$	10
Consolidated obligation bonds	2,240		2,236		(4		)	1,515		1,507		(8		)

(1) At March 31, 2017, and December 31, 2016, 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)

3 Months Ended

Mar. 31, 2017

Commitments and Contingencies Disclosure [Abstract]

Off-Balance Sheet Commitments [Table Text Block]

Off-balance sheet commitments as of March 31, 2017, and December 31, 2016, were as follows:

	March 31, 2017						December 31, 2016
	Expire Within One Year		Expire After One Year		Total		Expire Within One Year		Expire After One Year		Total
Standby letters of credit outstanding	$	11,228	$	4,226	$	15,454	$	11,094	$	4,066	$	15,160
Commitments to fund additional advances	5		1		6		5		1		6
Commitments to issue consolidated obligation discount notes, par	1,270		—		1,270		846		—		846
Commitments to issue consolidated obligation bonds, par	55		—		55		655		—		655
Commitments to purchase mortgage loans	12		—		12		13		—		13

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

3 Months Ended

Mar. 31, 2017

Related Party Transactions [Abstract]

Transactions with Certain Members and Nonmembers [Table Text Block]

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

	March 31, 2017		December 31, 2016
Assets:
Advances	$	2,836	$	3,756
Mortgage loans held for portfolio	16		17
Accrued interest receivable	4		4
Liabilities:
Deposits	$	3	$	3
Capital:
Capital Stock	$	125	$	129

	Three Months Ended
	March 31, 2017		March 31, 2016
Interest Income:
Advances	$	9	$	9
Mortgage loans held for portfolio	—		—

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Trading Securities (Details) - USD ($) $ in Millions		3 Months Ended
		Mar. 31, 2017	Mar. 31, 2016	Dec. 31, 2016
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading securities	[1]	$ 1,466		$ 2,066
Net unrealized gain/(loss) on trading securities		1	$ 1
Non-MBS - GSE - FFCB bonds [Member]
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading securities		1,459		2,058
MBS - Other US Obligations - Ginnie Mae [Member]
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading securities		$ 7		$ 8

[1] At March 31, 2017, and December 31, 2016, 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	Mar. 31, 2017	Dec. 31, 2016	Mar. 31, 2016	Dec. 31, 2015
Schedule of Available-for-sale Securities [Line Items]
Credit-related OTTI	$ 1,169	$ 1,183	$ 1,239	$ 1,255
Available-for-sale Securities [Member] | Collateralized Mortgage Backed Securities [Member]
Schedule of Available-for-sale Securities [Line Items]
Credit-related OTTI	$ 904	$ 941

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Available-for-Sale Securities (AFS Securities by Major Security Type) (Details) - USD ($) $ in Millions		Mar. 31, 2017	Dec. 31, 2016
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	[1]	$ 4,127	$ 4,353
OTTI Recognized in AOCI		(97)	(114)
Gross Unrealized Gains		264	253
Gross Unrealized Losses		0	(3)
Estimated Fair Value	[2]	4,294	4,489
PLRMBS [Member] | Prime [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost		398	413
OTTI Recognized in AOCI		(1)	(1)
Gross Unrealized Gains		24	22
Gross Unrealized Losses		0	0
Estimated Fair Value		421	434
PLRMBS [Member] | Alt-A, Option ARM [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost		820	853
OTTI Recognized in AOCI		(28)	(31)
Gross Unrealized Gains		78	77
Gross Unrealized Losses		0	(2)
Estimated Fair Value		870	897
PLRMBS [Member] | Alt-A, other [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost		2,909	3,087
OTTI Recognized in AOCI		(68)	(82)
Gross Unrealized Gains		162	154
Gross Unrealized Losses		0	(1)
Estimated Fair Value		$ 3,003	$ 3,158

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

[2] At March 31, 2017, and December 31, 2016, 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	Mar. 31, 2017	Dec. 31, 2016
Schedule of Available-for-sale Securities [Line Items]
Less Than 12 Months: Estimated Fair Value	$ 142	$ 71
Less Than 12 Months: Unrealized Losses	1	0
12 Months or More: Estimated Fair Value	1,217	1,311
12 Months or More: Unrealized Losses	96	117
Estimated Fair Value	1,359	1,382
Unrealized Losses	97	117
Prime [Member] | PLRMBS [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Available-for-sale Securities [Line Items]
Less Than 12 Months: Estimated Fair Value	4	0
Less Than 12 Months: Unrealized Losses	0	0
12 Months or More: Estimated Fair Value	13	14
12 Months or More: Unrealized Losses	1	1
Estimated Fair Value	17	14
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	53	14
Less Than 12 Months: Unrealized Losses	0	0
12 Months or More: Estimated Fair Value	244	249
12 Months or More: Unrealized Losses	28	33
Estimated Fair Value	297	263
Unrealized Losses	28	33
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	85	57
Less Than 12 Months: Unrealized Losses	1	0
12 Months or More: Estimated Fair Value	960	1,048
12 Months or More: Unrealized Losses	67	83
Estimated Fair Value	1,045	1,105
Unrealized Losses	$ 68	$ 83

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Held-to-Maturity Securities (Classification of Held-to-Maturity Securities) (Details) - USD ($) $ in Millions		Mar. 31, 2017		Dec. 31, 2016		Mar. 31, 2016	Dec. 31, 2015
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	$ 13,024		$ 14,136
OTTI Recognized in AOCI	[1]	(8)		(9)
HTM securities, Carrying Value	[1],[2]	13,016		14,127
Gross Unrecognized Holding Gain		91		88
Gross Unrecognized Holding Loss		(53)		(74)
HTM Securities, Fair Value		13,054		14,141
Credit-related OTTI		1,169		1,183		$ 1,239	$ 1,255
Certificates of Deposit [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	700		1,350
OTTI Recognized in AOCI	[1]	0		0
HTM securities, Carrying Value	[1]	700		1,350
Gross Unrecognized Holding Gain		0		0
Gross Unrecognized Holding Loss		0		0
HTM Securities, Fair Value		700		1,350
Housing finance agency bonds [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	212		225
OTTI Recognized in AOCI	[1]	0		0
HTM securities, Carrying Value	[1]	212		225
Gross Unrecognized Holding Gain		0		0
Gross Unrecognized Holding Loss		(14)		(18)
HTM Securities, Fair Value		198		207
MBS - Other US Obligations - Ginnie Mae [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	902		951
OTTI Recognized in AOCI	[1]	0		0
HTM securities, Carrying Value		902	[3]	951	[1]
Gross Unrecognized Holding Gain		5		5
Gross Unrecognized Holding Loss		(1)		(1)
HTM Securities, Fair Value		906		955
GSEs [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	10,124		10,444
OTTI Recognized in AOCI	[1]	0		0
HTM securities, Carrying Value	[1]	10,124		10,444
Gross Unrecognized Holding Gain		73		70
Gross Unrecognized Holding Loss		(19)		(31)
HTM Securities, Fair Value		10,178		10,483
PLRMBS [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	1,086		1,166
OTTI Recognized in AOCI	[1]	(8)		(9)
HTM securities, Carrying Value	[1]	1,078		1,157
Gross Unrecognized Holding Gain		13		13
Gross Unrecognized Holding Loss		(19)		(24)
HTM Securities, Fair Value		1,072		1,146
MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	12,112		12,561
OTTI Recognized in AOCI	[1]	(8)		(9)
HTM securities, Carrying Value	[1]	12,104		12,552
Gross Unrecognized Holding Gain		91		88
Gross Unrecognized Holding Loss		(39)		(56)
HTM Securities, Fair Value		12,156		12,584
Held-to-maturity Securities, Premiums		27		29
Held-to-maturity Securities, Discounts		32		34
MBS [Member] | Held-to-maturity Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Credit-related OTTI		8		8
Single Family [Member] | GSEs [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	7,282		7,830
OTTI Recognized in AOCI	[1]	0		0
HTM securities, Carrying Value	[1]	7,282		7,830
Gross Unrecognized Holding Gain		70		70	[1]
Gross Unrecognized Holding Loss		(18)		(29)	[1]
HTM Securities, Fair Value		7,334		7,871	[1]
Single Family [Member] | Freddie Mac [Member] | GSEs [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	2,598		2,793
OTTI Recognized in AOCI	[1]	0		0
HTM securities, Carrying Value	[1]	2,598		2,793
Gross Unrecognized Holding Gain		23		23
Gross Unrecognized Holding Loss		(12)		(15)
HTM Securities, Fair Value		2,609		2,801
Single Family [Member] | Fannie Mae [Member] | GSEs [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	4,684		5,037
OTTI Recognized in AOCI	[1]	0		0
HTM securities, Carrying Value	[1]	4,684		5,037
Gross Unrecognized Holding Gain		47		47
Gross Unrecognized Holding Loss		(6)		(14)
HTM Securities, Fair Value		4,725		5,070
Multifamily [Member] | GSEs [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	2,842		2,614
OTTI Recognized in AOCI	[1]	0		0
HTM securities, Carrying Value	[1]	2,842		2,614
Gross Unrecognized Holding Gain		3		0
Gross Unrecognized Holding Loss		(1)		(2)
HTM Securities, Fair Value		2,844		2,612
Multifamily [Member] | Freddie Mac [Member] | GSEs [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	1,547		1,556
OTTI Recognized in AOCI	[1]	0		0
HTM securities, Carrying Value	[1]	1,547		1,556
Gross Unrecognized Holding Gain		3		0
Gross Unrecognized Holding Loss		0		(1)
HTM Securities, Fair Value		1,550		1,555
Multifamily [Member] | Fannie Mae [Member] | GSEs [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	1,295		1,058
OTTI Recognized in AOCI	[1]	0		0
HTM securities, Carrying Value	[1]	1,295		1,058
Gross Unrecognized Holding Gain		0		0
Gross Unrecognized Holding Loss		(1)		(1)
HTM Securities, Fair Value		1,294		1,057
Prime [Member] | PLRMBS [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	660		707
OTTI Recognized in AOCI	[1]	0		0
HTM securities, Carrying Value	[1]	660		707
Gross Unrecognized Holding Gain		2		2
Gross Unrecognized Holding Loss		(12)		(15)
HTM Securities, Fair Value		650		694
Alt-A, other [Member] | PLRMBS [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	426		459
OTTI Recognized in AOCI	[1]	(8)		(9)
HTM securities, Carrying Value	[1]	418		450
Gross Unrecognized Holding Gain		11		11
Gross Unrecognized Holding Loss		(7)		(9)
HTM Securities, Fair Value		$ 422		$ 452

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

[2] At March 31, 2017, and December 31, 2016, 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	Mar. 31, 2017	Dec. 31, 2016
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	$ 3,275	$ 5,748
Less Than 12 Months, Unrealized losses	19	30
12 Months or More, Estimated Fair Value	1,178	1,261
12 Months Or More, Unrealized losses	42	53
Total, Estimated Fair Value	4,453	7,009
Total, Unrealized Losses	61	83
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	198	193
12 Months Or More, Unrealized losses	14	18
Total, Estimated Fair Value	198	193
Total, Unrealized Losses	14	18
MBS - Other US Obligations - Ginnie Mae [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	179	190
Less Than 12 Months, Unrealized losses	1	1
12 Months or More, Estimated Fair Value	0	0
12 Months Or More, Unrealized losses	0	0
Total, Estimated Fair Value	179	190
Total, Unrealized Losses	1	1
GSEs [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	3,095	5,557
Less Than 12 Months, Unrealized losses	18	29
12 Months or More, Estimated Fair Value	104	99
12 Months Or More, Unrealized losses	1	2
Total, Estimated Fair Value	3,199	5,656
Total, Unrealized Losses	19	31
PLRMBS [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	1	1
Less Than 12 Months, Unrealized losses	0	0
12 Months or More, Estimated Fair Value	876	969
12 Months Or More, Unrealized losses	27	33
Total, Estimated Fair Value	877	970
Total, Unrealized Losses	27	33
MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	3,275	5,748
Less Than 12 Months, Unrealized losses	19	30
12 Months or More, Estimated Fair Value	980	1,068
12 Months Or More, Unrealized losses	28	35
Total, Estimated Fair Value	4,255	6,816
Total, Unrealized Losses	47	65
Single Family [Member] | GSEs [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	2,087	4,163
Less Than 12 Months, Unrealized losses	17	27
12 Months or More, Estimated Fair Value	104	99
12 Months Or More, Unrealized losses	1	2
Total, Estimated Fair Value	2,191	4,262
Total, Unrealized Losses	18	29
Single Family [Member] | Freddie Mac [Member] | GSEs [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	1,274	1,498
Less Than 12 Months, Unrealized losses	12	15
12 Months or More, Estimated Fair Value	4	3
12 Months Or More, Unrealized losses	0	0
Total, Estimated Fair Value	1,278	1,501
Total, Unrealized Losses	12	15
Single Family [Member] | Fannie Mae [Member] | GSEs [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	813	2,665
Less Than 12 Months, Unrealized losses	5	12
12 Months or More, Estimated Fair Value	100	96
12 Months Or More, Unrealized losses	1	2
Total, Estimated Fair Value	913	2,761
Total, Unrealized Losses	6	14
Multifamily [Member] | GSEs [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	1,008	1,394
Less Than 12 Months, Unrealized losses	1	2
12 Months or More, Estimated Fair Value	0	0
12 Months Or More, Unrealized losses	0	0
Total, Estimated Fair Value	1,008	1,394
Total, Unrealized Losses	1	2
Multifamily [Member] | Freddie Mac [Member] | GSEs [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value		1,007
Less Than 12 Months, Unrealized losses		1
12 Months or More, Estimated Fair Value		0
12 Months Or More, Unrealized losses		0
Total, Estimated Fair Value		1,007
Total, Unrealized Losses		1
Multifamily [Member] | Fannie Mae [Member] | GSEs [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	1,008	387
Less Than 12 Months, Unrealized losses	1	1
12 Months or More, Estimated Fair Value	0	0
12 Months Or More, Unrealized losses	0	0
Total, Estimated Fair Value	1,008	387
Total, Unrealized Losses	1	1
Prime [Member] | PLRMBS [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	1	1
Less Than 12 Months, Unrealized losses	0	0
12 Months or More, Estimated Fair Value	455	517
12 Months Or More, Unrealized losses	12	15
Total, Estimated Fair Value	456	518
Total, Unrealized Losses	12	15
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	0	0
Less Than 12 Months, Unrealized losses	0	0
12 Months or More, Estimated Fair Value	421	452
12 Months Or More, Unrealized losses	15	18
Total, Estimated Fair Value	421	452
Total, Unrealized Losses	$ 15	$ 18

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Held-to-Maturity Securities (Redemption Terms) (Details) - USD ($) $ in Millions		Mar. 31, 2017	Dec. 31, 2016
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	$ 13,024	$ 14,136
HTM securities, Carrying Value	[1],[2]	13,016	14,127
HTM Securities, Fair Value		13,054	14,141
Other Than Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Due in 1 year or less, Amortized Cost	[3]	700	1,350
Due in 1 year or less, Carrying Value	[3]	700	1,350
Due in 1 year or less, Fair Value		700	1,350
Due after 5 years through 10 years, Amortized Cost	[3]	35	35
Due after 5 years through 10 years, Carrying Value	[3]	35	35
Due after 5 years through 10 years, Estimated Fair Value		35	34
Due after 10 years, Amortized Cost	[3]	177	190
Due after 10 years, Carrying Value	[3]	177	190
Due after 10 years, Estimated Fair Value		163	173
Amortized Cost		912	1,575
HTM securities, Carrying Value		912	1,575
HTM Securities, Fair Value		898	1,557
Collateralized Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	12,112	12,561
HTM securities, Carrying Value	[1]	12,104	12,552
HTM Securities, Fair Value		$ 12,156	$ 12,584

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

[2] At March 31, 2017, and December 31, 2016, 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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Other-Than-Temporary Impairment Analysis (Narrative) (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2017	Mar. 31, 2016
Other than Temporary Impairment Losses, Investments [Abstract]
Period Assumed For Housing Markets That Have Reached Trough	12 months
Projected Change In The Twelve Month Housing Price Percentage Rate, Maximum Decrease	5.00%
Projected Change In The Twelve Month Housing Price Percentage Rate, Maximum Increase	10.00%
Projected Change In The Short-term Housing Price Percentage Rate, Minimum Increase In Vast Majority Of Markets	0.00%
Projected Change In The Short-term Housing Price Percentage Rate, Maximum Increase In Vast Majority Of Markets	6.00%
HTM Transferred to AFS, Amortized Cost	$ 0	$ 0

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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]	3 Months Ended
	Mar. 31, 2017	[1]
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items]
Prepayment Weighted Average	11.30%
Default Rate Weighted Average	20.70%
Loss Severity Weighted Average	38.20%
Credit Enhancements Weighted Average	0.70%
Securitization in 2007 [Member] | Alt-A, other [Member]
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items]
Prepayment Weighted Average	9.00%
Default Rate Weighted Average	29.50%
Loss Severity Weighted Average	41.50%
Credit Enhancements Weighted Average	1.20%
Securitization in 2005 [Member] | Alt-A, other [Member]
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items]
Prepayment Weighted Average	14.00%
Default Rate Weighted Average	10.70%
Loss Severity Weighted Average	34.30%
Credit Enhancements Weighted Average	0.10%
Securitization in 2004 and Earlier [Member] | Alt-A, other [Member]
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items]
Prepayment Weighted Average	14.00%
Default Rate Weighted Average	1.70%
Loss Severity Weighted Average	31.40%
Credit Enhancements Weighted Average	9.20%

[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
		Mar. 31, 2017	Mar. 31, 2016
Other than Temporary Impairment Losses, Investments [Abstract]
OTTI PLRMBS, Total accretion or amortization recognized in interest income		$ 23	$ 26
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward]
Balance, beginning of the period		1,183	1,255
Additional charges on securities for which OTTI was previously recognized	[1]	3	7
Securities matured during the period	[2]	0	0
Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities	[3]	(17)	(23)
Balance, end of the period		$ 1,169	$ 1,239

[1] For the three months ended March 31, 2017 and 2016, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2017 and 2016, respectively.

[2] Represents reductions related to securities having reached final maturity during the period, which therefore are no longer held by the Bank at the end of the period.

[3] The total accretion or amortization associated with other-than-temporarily impaired PLRMBS (amount recognized in interest income) totaled $23 and $26, for the three months ended March 31, 2017 and 2016, respectively

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Other-Than-Temporary Impairment Analysis (Transfers) (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2017	Mar. 31, 2016
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items]
HTM Transferred to AFS, Amortized Cost	$ 0	$ 0

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Other-Than-Temporary Impairment Analysis (OTTI Impaired PLRMBS) (Details) - PLRMBS [Member] - USD ($) $ in Millions	Mar. 31, 2017	Dec. 31, 2016
Available-for-sale Securities [Member]
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items]
OTTI Securities, Unpaid Principal Balance	$ 5,020	$ 5,282
OTTI Securities, Amortized Cost	4,127	4,353
OTTI Securities, Fair Value	4,294	4,489
Held-to-maturity Securities [Member]
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items]
OTTI Securities, Unpaid Principal Balance	87	93
OTTI Securities, Amortized Cost	82	88
OTTI Securities, Fair Value	84	91
OTTI Securities, Carrying Value	73	79
Prime [Member] | Available-for-sale Securities [Member]
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items]
OTTI Securities, Unpaid Principal Balance	479	498
OTTI Securities, Amortized Cost	398	413
OTTI Securities, Fair Value	421	434
Prime [Member] | Held-to-maturity Securities [Member]
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items]
OTTI Securities, Unpaid Principal Balance	0	0
OTTI Securities, Amortized Cost	0	0
OTTI Securities, Fair Value	0	0
OTTI Securities, Carrying Value	0	0
Alt-A, Option ARM [Member] | Available-for-sale Securities [Member]
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items]
OTTI Securities, Unpaid Principal Balance	1,091	1,134
OTTI Securities, Amortized Cost	820	853
OTTI Securities, Fair Value	871	897
Alt-A, Option ARM [Member] | Held-to-maturity Securities [Member]
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items]
OTTI Securities, Unpaid Principal Balance	0	0
OTTI Securities, Amortized Cost	0	0
OTTI Securities, Fair Value	0	0
OTTI Securities, Carrying Value	0	0
Alt-A, other [Member] | Available-for-sale Securities [Member]
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items]
OTTI Securities, Unpaid Principal Balance	3,450	3,650
OTTI Securities, Amortized Cost	2,909	3,087
OTTI Securities, Fair Value	3,002	3,158
Alt-A, other [Member] | Held-to-maturity Securities [Member]
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items]
OTTI Securities, Unpaid Principal Balance	87	93
OTTI Securities, Amortized Cost	82	88
OTTI Securities, Fair Value	84	91
OTTI Securities, Carrying Value	$ 73	$ 79

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Advances (Narrative) (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2017	Dec. 31, 2016	Mar. 31, 2016
Advances [Line Items]
Advances, Par Value	$ 49,077	$ 49,857	$ 48,993
Advances With Partial Prepayment Symmetry Outstanding	$ 3,744	$ 3,647
Minimum [Member]
Advances [Line Items]
Advances, Maturity Period, Fixed Rate	1 day
Advances, Maturity Period, Variable Rate	30 days
Advances, Interest Rate	0.58%	0.43%
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	$ 16,053	$ 15,505
Advances, Putable Option [Member]
Advances [Line Items]
Advances, Par Value	$ 50	$ 125

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Advances (Redemption Terms) (Details) - USD ($) $ in Millions		Mar. 31, 2017	Dec. 31, 2016	Mar. 31, 2016
Federal Home Loan Bank Advances, Maturities [Abstract]
Within 1 year		$ 21,514	$ 22,902
After 1 year through 2 years		10,919	7,608
After 2 years through 3 years		6,654	9,410
After 3 years through 4 years		4,262	2,083
After 4 years through 5 years		4,524	6,423
After 5 years		1,204	1,431
Total par amount		49,077	49,857	$ 48,993
Valuation adjustments for hedging activities		(36)	(22)
Valuation adjustments under fair value option	[1]	11	10
Advances		$ 49,052	$ 49,845
Federal Home Loan Bank Advances, Weighted Average Interest Rate [Abstract]
Within 1 year		0.94%	0.78%
After 1 year through 2 years		1.39%	1.36%
After 2 years through 3 years		1.34%	1.22%
After 3 years through 4 years		1.40%	1.39%
After 4 years through 5 years		1.42%	1.24%
After 5 years		2.89%	2.60%
Total par value		1.22%	1.09%

[1] At March 31, 2017, and December 31, 2016, none of these advances were 90 days or more past due or had been placed on nonaccrual status.

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Advances (Earlier of Contractual Maturity or Next Call/Put Date) (Details) - USD ($) $ in Millions	Mar. 31, 2017	Dec. 31, 2016	Mar. 31, 2016
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, Rolling Year, Par Value [Abstract]
Within 1 year	$ 26,981	$ 25,784
After 1 year through 2 years	9,253	11,078
After 2 years through 3 years	6,260	4,465
After 3 years through 4 years	3,962	5,782
After 4 years through 5 years	1,518	1,421
After 5 years	1,103	1,327
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, Rolling Year, Par Value [Abstract]
Within 1 year	21,514	22,927
After 1 year through 2 years	10,919	7,583
After 2 years through 3 years	6,654	9,410
After 3 years through 4 years	4,262	2,083
After 4 years through 5 years	4,524	6,423
After 5 years	1,204	1,431
Total par amount	$ 49,077	$ 49,857	$ 48,993

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Advances (Credit and Concentration Risk) (Details) - USD ($) $ in Millions		3 Months Ended
		Mar. 31, 2017		Mar. 31, 2016	Dec. 31, 2016
Advances [Line Items]
Advances Outstanding		$ 49,077		$ 48,993	$ 49,857
Interest Income from Advances	[1]	$ 161		$ 122
Advances [Member]
Advances [Line Items]
Concentration Risk, Percentage		100.00%		100.00%
Interest Income [Member]
Advances [Line Items]
Concentration Risk, Percentage		100.00%		100.00%
JPMorgan Chase Bank National Association [Member]
Advances [Line Items]
Advances Outstanding	[2]	$ 14,806		$ 14,812
Interest Income from Advances	[2]	41	[1]	24
Bank of the West [Member]
Advances [Line Items]
Advances Outstanding		6,655		6,640
Interest Income from Advances	[1]	14		12
First Republic Bank [Member]
Advances [Line Items]
Advances Outstanding		5,900		3,800
Interest Income from Advances	[1]	21		16
CIT Bank N.A. [Member]
Advances [Line Items]
Advances Outstanding		2,411		3,114
Interest Income from Advances	[1]	7		7
Star One Credit Union [Member]
Advances [Line Items]
Advances Outstanding	[3]	2,046
Interest Income from Advances	[1],[3]	7
Citibank N.A. [Member]
Advances [Line Items]
Advances Outstanding	[2]			3,000
Interest Income from Advances	[1],[2]			3
Top five borrowers [Member]
Advances [Line Items]
Advances Outstanding		31,818		31,366
Interest Income from Advances	[1]	$ 90		$ 62
Top five borrowers [Member] | Advances [Member]
Advances [Line Items]
Concentration Risk, Percentage		65.00%		64.00%
Top five borrowers [Member] | Interest Income [Member]
Advances [Line Items]
Concentration Risk, Percentage		56.00%		51.00%
Top five borrowers [Member] | JPMorgan Chase Bank National Association [Member] | Advances [Member]
Advances [Line Items]
Concentration Risk, Percentage	[2]	30.00%		30.00%
Top five borrowers [Member] | JPMorgan Chase Bank National Association [Member] | Interest Income [Member]
Advances [Line Items]
Concentration Risk, Percentage	[2]	25.00%		20.00%
Top five borrowers [Member] | Bank of the West [Member] | Advances [Member]
Advances [Line Items]
Concentration Risk, Percentage		14.00%		14.00%
Top five borrowers [Member] | Bank of the West [Member] | Interest Income [Member]
Advances [Line Items]
Concentration Risk, Percentage		9.00%		10.00%
Top five borrowers [Member] | First Republic Bank [Member] | Advances [Member]
Advances [Line Items]
Concentration Risk, Percentage		12.00%		8.00%
Top five borrowers [Member] | First Republic Bank [Member] | Interest Income [Member]
Advances [Line Items]
Concentration Risk, Percentage		13.00%		13.00%
Top five borrowers [Member] | CIT Bank N.A. [Member] | Advances [Member]
Advances [Line Items]
Concentration Risk, Percentage		5.00%		6.00%
Top five borrowers [Member] | CIT Bank N.A. [Member] | Interest Income [Member]
Advances [Line Items]
Concentration Risk, Percentage		5.00%		6.00%
Top five borrowers [Member] | Star One Credit Union [Member] | Advances [Member]
Advances [Line Items]
Concentration Risk, Percentage	[3]	4.00%
Top five borrowers [Member] | Star One Credit Union [Member] | Interest Income [Member]
Advances [Line Items]
Concentration Risk, Percentage	[3]	4.00%
Top five borrowers [Member] | Citibank N.A. [Member] | Advances [Member]
Advances [Line Items]
Concentration Risk, Percentage	[2]			6.00%
Top five borrowers [Member] | Citibank N.A. [Member] | Interest Income [Member]
Advances [Line Items]
Concentration Risk, Percentage	[2]			2.00%
Other Borrowers [Member]
Advances [Line Items]
Advances Outstanding		$ 17,259		$ 17,627
Interest Income from Advances	[1]	$ 71		$ 60
Other Borrowers [Member] | Advances [Member]
Advances [Line Items]
Concentration Risk, Percentage		35.00%		36.00%
Other Borrowers [Member] | Interest Income [Member]
Advances [Line Items]
Concentration Risk, Percentage		44.00%		49.00%

[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] Nonmember institution.

[3] Officer of member bank also serves on the Board of Directors of the Bank.

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Advances (Interest Rate Payment Terms and Prepayment Fees) (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2017	Mar. 31, 2016	Dec. 31, 2016
Federal Home Loan Bank, Advances, Fixed Rate [Abstract]
Fixed Rate, due within 1 year	$ 12,421		$ 13,486
Fixed Rate, due after 1 year	11,504		10,845
Advances, Total Fixed Rate	23,925		24,331
Federal Home Loan Bank, Advances, Floating Rate [Abstract]
Adjustable Rate, due within 1 year	9,093		9,416
Adjustable Rate, due after 1 year	16,059		16,110
Advances, Total Adjustable Rate	25,152		25,526
Total par amount	49,077	$ 48,993	$ 49,857
Prepayment Fees [Abstract]
Prepayment Fees on Advances Received	0	0
Fair Value Gain (Loss) Adjustments	0	2
Prepayment Fees on Advances, Net	0	2
Prepayments on Advances Principal	$ 1,245	$ 770

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Mortgage Loans Held for Portfolio (Details) $ in Millions	3 Months Ended
	Mar. 31, 2017 USD ($) Institutions	Dec. 31, 2016 USD ($)
Mortgage Loans on Real Estate [Line Items]
Number of Institutions Participating in Renewed MPF Program | Institutions	19
Unpaid principal balance	$ 946	$ 814
Unamortized premiums	26	18
Unamortized discounts	(6)	(6)
Mortgage loans held for portfolio	966	826
Less: Allowance for credit losses	0	0
Total mortgage loans held for portfolio, net	$ 966	826
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	$ 946	814
Single Family [Member] | Fixed rate medium-term mortgage loans [Member]
Mortgage Loans on Real Estate [Line Items]
Unpaid principal balance	46	55
Single Family [Member] | Fixed rate long-term mortgage loans [Member]
Mortgage Loans on Real Estate [Line Items]
Unpaid principal balance	$ 900	$ 759

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Allowance for Credit Losses (Narrative) (Details) $ in Millions	1 Months Ended	3 Months Ended
	Apr. 30, 2017 Institutions	Mar. 31, 2017 USD ($) Institutions	Dec. 31, 2016 USD ($)
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
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
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
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		Mar. 31, 2017	Dec. 31, 2016
Financing Receivable, Allowance for Credit Losses [Line Items]
Past due	[1]	$ 26	$ 25
Total current loans	[1]	944	805
Total mortgage loans, gross	[1]	970	830
In process of foreclosure, included above	[1],[2]	6	5
Nonaccrual loans	[1]	14	15
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]	1.49%	1.79%
30 to 59 Days delinquent [Member]
Financing Receivable, Allowance for Credit Losses [Line Items]
Past due	[1]	$ 10	$ 7
60 to 89 Days delinquent [Member]
Financing Receivable, Allowance for Credit Losses [Line Items]
Past due	[1]	2	3
90 Days ore more delinquent [Member]
Financing Receivable, Allowance for Credit Losses [Line Items]
Past due	[1]	$ 14	$ 15

[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 (By Impairment Methodology) (Details) - USD ($) $ in Millions		Mar. 31, 2017	Dec. 31, 2016
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
Individually evaluated for impairment, Recorded investment		11	12
Collectively evaluated for impairment, Recorded investment		959	818
Total mortgage loans, gross	[1]	$ 970	$ 830

[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
	Mar. 31, 2017	Mar. 31, 2016	Dec. 31, 2016
Impaired Financing Receivable, Recorded Investment [Abstract]
Impaired Financing Receivable, with No Related Allowance, Recorded Investment	$ 11		$ 12
Impaired Financing Receivable, with Related Allowance, Recorded Investment	0		0
Impaired Financing Receivable, Recorded Investment	11		12
Impaired Financing Receivable, Unpaid Principal Balance [Abstract]
Impaired Financing Receivable, with No Related Allowance, Unpaid Principal Balance	11		12
Impaired Financing Receivable, with Related Allowance, Unpaid Principal Balance	0		0
Impaired Financing Receivable, Unpaid Principal Balance	11		12
Impaired Financing Receivable, Related Allowance	0		$ 0
Impaired Financing Receivable, Average Recorded Investment [Abstract]
Impaired Financing Receivable, with No Related Allowance, Average Recorded Investment	11	$ 12
Impaired Financing Receivable, with Related Allowance, Average Recorded Investment	0	1
Impaired Financing Receivable, Average Recorded Investment	$ 11	$ 13

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Deposits (Details) - USD ($) $ in Millions	Mar. 31, 2017	Dec. 31, 2016
Demand Deposits [Line Items]
Interest-bearing Deposit Liabilities, Domestic	$ 167	$ 167
Noninterest-bearing Domestic Deposit, Other		2
Noninterest-bearing Deposits	4	2
Deposits	171	169
Adjustable rate [Member]
Demand Deposits [Line Items]
Interest-bearing Deposit, Demand and Overnight	$ 167	$ 167
Weighted Average Rate Domestic Deposit	0.60%	0.01%

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Consolidated Obligations (Redemption Terms) (Details) - USD ($) $ in Millions	Mar. 31, 2017	Dec. 31, 2016
Debt Instrument [Line Items]
Consolidated Obligations, Bonds, Par	$ 49,495	$ 50,220
Consolidated Obligations, Bonds	$ 49,493	$ 50,224
Weighted Average Interest Rate [Abstract]
Weighted Average Interest Rate, Maturing In Next Twelve Rolling Months	0.94%	0.82%
Weighted Average Interest Rate, Maturing In Rolling Year Two	1.05%	0.99%
Weighted Average Interest Rate, Maturing In Rolling Year Three	1.47%	1.32%
Weighted Average Interest Rate, Maturing In Rolling Year Four	1.69%	1.84%
Weighted Average Interest Rate, Maturing In Rolling Year Five	1.66%	1.59%
Weighted Average Interest Rate, Maturing After Rolling Year Five	2.47%	2.42%
Consolidated obligation bonds [Member]
Debt Instrument [Line Items]
Within 1 year	$ 31,694	$ 33,879
After 1 year through 2 years	11,751	10,597
After 2 years through 3 years	998	1,318
After 3 years through 4 years	1,465	1,055
After 4 years through 5 years	1,630	1,350
After 5 years	1,957	2,021
Unamortized premiums	16	15
Unamortized discounts	(9)	(9)
Valuation adjustments for hedging activities	(5)	6
Fair value option valuation adjustments	$ (4)	$ (8)
Weighted Average Interest Rate [Abstract]
Total par amount, Weighted Average Interest Rate	1.08%	0.98%

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Consolidated Obligations (Consolidated Obligation Bonds Noncallable and Callable) (Details) - USD ($) $ in Millions	Mar. 31, 2017	Dec. 31, 2016
Debt Instrument [Line Items]
Consolidated Obligations, Bonds, Par	$ 49,495	$ 50,220
Derivative, Notional Amount	66,626	65,069
Non-callable [Member]
Debt Instrument [Line Items]
Consolidated Obligations, Bonds, Par	43,275	45,550
Callable [Member]
Debt Instrument [Line Items]
Consolidated Obligations, Bonds, Par	6,220	4,670
Consolidated obligation bonds [Member] | Callable [Member]
Debt Instrument [Line Items]
Derivative, Notional Amount	$ 3,525	$ 2,125

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Consolidated Obligations (Consolidated Obligation Bonds by Earlier of Contractual Maturity or Next Call Date) (Details) - USD ($) $ in Millions	Mar. 31, 2017	Dec. 31, 2016
Debt Instrument [Line Items]
Consolidated Obligations, Bonds, Par	$ 49,495	$ 50,220
Earlier of Contractual Maturity or Next Call Date [Member]
Debt Instrument [Line Items]
Within 1 year	37,334	38,099
After 1 year through 2 years	11,136	10,747
After 2 years through 3 years	613	743
After 3 years through 4 years	320	455
After 4 years through 5 years	0	85
After 5 years	$ 92	$ 91

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Consolidated Obligations (Consolidated Obligation Discount Notes) (Details) - USD ($) $ in Millions		Mar. 31, 2017	Dec. 31, 2016
Short-term Debt [Line Items]
Consolidated Obligations, Discount Notes, Par		$ 35,069	$ 33,529
Consolidated Obligations, Discount Notes		$ 35,028	$ 33,506
Par amount, Weighted Average Interest Rate	[1]	0.62%	0.46%
Consolidated Obligation, Discount Notes [Member]
Short-term Debt [Line Items]
Unamortized discounts		$ (41)	$ (23)

[1] Represents yield to maturity excluding concession fees.

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Consolidated Obligations (Interest Rate Payment Terms) (Details) - USD ($) $ in Millions	Mar. 31, 2017	Dec. 31, 2016
Debt Disclosure [Abstract]
Fixed Rate	$ 16,870	$ 15,960
Adjustable Rate	31,075	33,435
Step-Up	1,240	515
Step-Down	200	200
Fixed Interest Rate That Converts to Adjustable Rate	10	10
Range Bonds	100	100
Consolidated Obligations, Bonds, Par	49,495	50,220
Consolidated Obligations, Discount Notes, Par	35,069	33,529
Total consolidated obligations, par	$ 84,564	$ 83,749

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Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2017	Mar. 31, 2016
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI Balance, beginning of period	$ 111
Net change in pension and postretirement benefits	0	$ 1
Net change in fair value	29	(47)
Accretion of Noncredit Related OTTI Loss	1	1
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract]
AOCI Balance, end of period	143
Accumulated Other-than-Temporary Impairment [Member] | Available-for-sale Securities [Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI Balance, beginning of period	136	43
Non-credit-related OTTI loss, Available-for-sale Securities		(10)
Net change in fair value	29	(47)
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract]
Non-credit-related OTTI to credit-related OTTI, AFS	2	2
Net current period other comprehensive income/(loss)	31	(55)
AOCI Balance, end of period	167	(12)
Accumulated Other-than-Temporary Impairment [Member] | Held-to-maturity Securities [Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI Balance, beginning of period	(9)	(14)
Non-credit-related OTTI loss, Held-to-maturity Securities		0
Accretion of Noncredit Related OTTI Loss	1	1
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract]
Non-credit-related OTTI to credit-related OTTI, HTM	0	0
Net current period other comprehensive income/(loss)	1	1
AOCI Balance, end of period	(8)	(13)
Accumulated Defined Benefit Plans Adjustment [Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI Balance, beginning of period	(16)	(14)
Net change in pension and postretirement benefits		1
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract]
Net current period other comprehensive income/(loss)	0	1
AOCI Balance, end of period	(16)	(13)
Accumulated Other Comprehensive Income/(Loss) [Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI Balance, beginning of period	111	15
Net change in pension and postretirement benefits		1
Non-credit related OTTI loss, Total		(10)
Net change in fair value	29	(47)
Accretion of Noncredit Related OTTI Loss	1	1
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract]
Non-credit-related OTTI to credit-related OTTI, AFS	2	2
Net current period other comprehensive income/(loss)	32	(53)
AOCI Balance, end of period	$ 143	$ (38)

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Capital (Capital Requirements) (Details) - USD ($) $ in Millions	Mar. 31, 2017	Dec. 31, 2016
Capital [Abstract]
Risk-Based Capital, Required	$ 2,149	$ 2,241
Risk-Based Capital, Actual	5,833	5,883
Regulatory Capital, Required	3,652	3,678
Regulatory Capital, Actual	$ 5,833	$ 5,883
Regulatory Capital Ratio, Required	4.00%	4.00%
Regulatory Capital Ratio, Actual	6.39%	6.40%
Leverage Capital, Required	$ 4,565	$ 4,597
Leverage Capital, Actual	$ 8,750	$ 8,825
Leverage ratio - Required	5.00%	5.00%
Leverage Ratio, Actual	9.58%	9.60%
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
		Mar. 31, 2017 USD ($) Institutions	Mar. 31, 2016 USD ($)	Dec. 31, 2016 Institutions
Capital [Line Items]
Financial Instruments Subject to Mandatory Redemption, Number of Stockholders | Institutions		6		6
Interest Expense on Mandatorily Redeemable Capital Stock	[1]	$ 11	$ 10
Mandatorily Redeemable Capital Stock [Roll Forward]
Balance at the beginning of the period		457	488
Reclassified from/(to) capital during the period		0	52
Redemption of mandatorily redeemable capital stock		(54)	0
Repurchase of excess mandatorily redeemable capital stock		0	(54)
Balance at the end of the period		$ 403	$ 486

[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		Mar. 31, 2017	Dec. 31, 2016	Mar. 31, 2016	Dec. 31, 2015
Financial Instruments Subject to Mandatory Redemption, Settlement Terms, Share Value, Amount [Abstract]
After 1 year through 2 years		$ 0	$ 0
After 2 years through 3 years		1	0
After 3 years through 4 years		378	379
Past Contractual Redemption Date Because of Remaining Activity	[1]	24	78
Total		$ 403	$ 457	$ 486	$ 488

[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
		May 16, 2017	Mar. 31, 2017	Mar. 31, 2016	Apr. 27, 2017	Dec. 31, 2016
Capital [Line Items]
Restriction on Dividend Payment, Ratio of Market Value of Capital to Par Value of Capital Less than 70%			70.00%
Ratio of Market Value of Capital to Par Value of Capital Stock			231.00%
Restricted Retained Earnings, set by the Board			$ 2,300	$ 2,000
Excess Capital			$ 340			$ 488
Excess Capital to Assets			0.37%
Dividends [Abstract]
Dividends, Cash, Annualized Rate			9.08%	7.99%
Total dividends			$ 65	$ 55
Interest Expense on Mandatorily Redeemable Capital Stock	[1]		11	10
Retained Earnings Activity [Roll Forward]
Balance			5,537	4,896
Balance at beginning of the period			2,168
Net Income/(Loss)			148	231
Comprehensive Income (Loss)			180	178
Cash dividends paid on capital stock			(54)	(45)
Balance at end of the period			2,300
Balance			$ 5,573	4,891
Subsequent Event [Member]
Subsequent Events [Abstract]
Dividends, Cash Declared, Annualized Rate					7.00%
Interest and Dividends Payable, Current					$ 49
Dividends Payable					41
Interest Payable, Current					$ 8
Dividends Payable, Date to be Paid		May 15, 2017
Minimum [Member]
Capital [Line Items]
Regulatory Restrictions on Payment of Capital Stock Dividends, Excess Stock to Assets, Percent			1.00%
Limit on Dividend Payment, Ratio of Market Value of Capital to Par Value of Capital			70.00%
Maximum [Member]
Capital [Line Items]
Limit on Dividend Payment, Ratio of Market Value of Capital to Par Value of Capital			100.00%
Retained Earnings, Unrestricted [Member]
Retained Earnings Activity [Roll Forward]
Balance			$ 888	610
Net Income/(Loss)				195
Comprehensive Income (Loss)			16	195
Cash dividends paid on capital stock			(54)	(45)
Balance			850	760
Restricted [Member]
Retained Earnings Activity [Roll Forward]
Balance			2,168	2,018
Balance at beginning of the period			2,168	2,018
Net Income/(Loss)			132	36
Comprehensive Income (Loss)			132	36
Balance at end of the period			2,300	2,054
Balance			2,300	2,054
Retained Earnings, Restricted, Valuation Adjustments [Member]
Retained Earnings Activity [Roll Forward]
Balance at beginning of the period			18	10
Net Income/(Loss)			2	(10)
Balance at end of the period			20	0
Retained Earnings, Restricted, Other [Member]
Retained Earnings Activity [Roll Forward]
Balance at beginning of the period			1,650	1,650
Net Income/(Loss)			100	0
Balance at end of the period			1,750	1,650
Retained Earnings, Restricted, Joint Capital Enhancement Agreement [Member]
Retained Earnings Activity [Roll Forward]
Balance at beginning of the period			500	358
Net Income/(Loss)			30	46
Balance at end of the period			530	404
Retained Earnings [Member]
Retained Earnings Activity [Roll Forward]
Balance			3,056	2,628
Net Income/(Loss)			148	231
Comprehensive Income (Loss)			148	231
Cash dividends paid on capital stock			(54)	(45)
Balance			$ 3,150	$ 2,814

[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
	Mar. 31, 2017	Mar. 31, 2016	Dec. 31, 2016
Capital [Line Items]
Amount of Excess Stock Repurchased During Period	$ 173	$ 252
Financial Instruments Subject to Mandatory Redemption, Redeemed	$ 54	$ 0
Common stock, par value	$ 100
Excess Capital	$ 340		$ 488
Surplus capital stock	$ 212		$ 325
Excess Capital Stock and Excess Mandatorily Redeemable Capital Stock, Redemption, Period of Written Notice	15 days
Mandatorily Redeemable Capital Stock, Redemption Period	5 years

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Capital (Concentration) (Details) - JPMorgan Chase Bank National Association [Member] - USD ($) $ in Millions	3 Months Ended	12 Months Ended
	Mar. 31, 2017	Dec. 31, 2016
Concentration Risk [Line Items]
Capital Stock Outstanding	$ 400	$ 400
Total Capital Stock, 10% or more [Member]
Concentration Risk [Line Items]
Concentration Risk, Percentage	15.00%	14.00%

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Segment Information (Details) $ in Millions		3 Months Ended
		Mar. 31, 2017 USD ($) segment	Mar. 31, 2016 USD ($)	Dec. 31, 2016 USD ($)
Segment Reporting Information [Line Items]
Number of Operating Segments | segment		2
Adjusted Net Interest Income		$ 131	$ 122
Amortization of Basis Adjustments	[1]	(2)	(2)
Income/ (Expense) on Economic Hedges	[2]	(12)	(9)
Interest Expense on Mandatorily Redeemable Capital Stock	[3]	11	10
Net Interest Income After Mortgage Loan Loss Provision		134	123
Other Income/(Loss)		112	171
Other Expense		80	36
Income Before AHP Assessments		166	258
OTTI PLRMBS, Total accretion or amortization recognized in interest income		23	26
Net OTTI loss, credit-related		(3)	(7)
Assets		91,290		$ 91,941
Advances-Related Business [Member]
Segment Reporting Information [Line Items]
Adjusted Net Interest Income		48	36
Assets		73,875		74,018
Mortgage-Related Business [Member]
Segment Reporting Information [Line Items]
Adjusted Net Interest Income	[4]	83	$ 86
Assets		$ 17,415		$ 17,923

[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 $23 and $26 for the three months ended March 31, 2017 and 2016. The mortgage-related business does not include credit-related OTTI losses of $3 and $7 for the three months ended March 31, 2017 and 2016, respectively.

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Derivatives and Hedging Activities (Narrative) (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2017	Dec. 31, 2016
Derivative [Line Items]
Derivative, Notional Amount	$ 66,626	$ 65,069
Derivative, Net Liability Position, Aggregate Fair Value	5
Collateral Already Posted, Aggregate Fair Value	5
Additional Collateral, Aggregate Fair Value	1
Derivatives With Intermediary Transactions and Offsetting Derivatives [Member]
Derivative [Line Items]
Derivative, Notional Amount	$ 64	$ 89
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		Mar. 31, 2017	Dec. 31, 2016
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		$ 66,626	$ 65,069
Derivative Asset, Fair Value, Gross Asset		148	140
Derivative Asset, Total collateral and netting adjustments	[1]	(83)	(74)
Derivative Assets as reported on the Statements of Condition		65	66
Derivative Liability, Fair Value, Gross Liability		73	81
Derivative Liability, Total collateral and netting adjustments	[1]	(72)	(79)
Derivative Liabilities as reported on the Statements of Condition		1	2
Cash collateral received and related accrued interest		16	16
Cash collateral posted and related accrued interest		5	22
Designated as Hedging Instrument [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		20,520	20,741
Derivative Asset, Fair Value, Gross Asset		75	67
Derivative Liability, Fair Value, Gross Liability		23	32
Designated as Hedging Instrument [Member] | Interest rate swaps [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		20,520	20,741
Derivative Asset, Fair Value, Gross Asset		75	67
Derivative Liability, Fair Value, Gross Liability		23	32
Not Designated as Hedging Instrument [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		46,106	44,328
Derivative Asset, Fair Value, Gross Asset		73	73
Derivative Liability, Fair Value, Gross Liability		50	49
Not Designated as Hedging Instrument [Member] | Interest rate swaps [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		44,534	42,135
Derivative Asset, Fair Value, Gross Asset		69	67
Derivative Liability, Fair Value, Gross Liability		50	49
Not Designated as Hedging Instrument [Member] | Interest rate caps and floors [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		1,560	2,180
Derivative Asset, Fair Value, Gross Asset		4	6
Derivative Liability, Fair Value, Gross Liability		0	0
Mortgages [Member] | Not Designated as Hedging Instrument [Member] | Mortgage delivery commitments [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		12	13
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 $5 and $22 at March 31, 2017, and December 31, 2016, respectively. Cash collateral received and related accrued interest was $16 and $16 at March 31, 2017, and December 31, 2016, respectively.

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Derivatives and Hedging Activities (Derivatives in Statement of Income) (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2017	Mar. 31, 2016
Derivative Instruments, Gain (Loss) [Line Items]
Total net gain (loss) related to fair value hedge ineffectiveness	$ 0	$ (4)
Total net gain/(loss) related to derivatives not designated as hedging instruments	(9)	(61)
Net gain/(loss) on derivatives and hedging activities	(9)	(65)
Interest rate swaps [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Total net gain (loss) related to fair value hedge ineffectiveness	0	(4)
Total net gain/(loss) related to derivatives not designated as hedging instruments	2	(49)
Interest rate caps and floors [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Total net gain/(loss) related to derivatives not designated as hedging instruments	(2)	(3)
Net settlements [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Total net gain/(loss) related to derivatives not designated as hedging instruments	(12)	(9)
Mortgages [Member] | Mortgage delivery commitments [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Total net gain/(loss) related to derivatives not designated as hedging instruments	$ 3	$ 0

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Derivatives and Hedging Activities (Derivatives in Statement of Income and Impact on Interest) (Details) - USD ($) $ in Millions		3 Months Ended
		Mar. 31, 2017	Mar. 31, 2016
Derivative Instruments, Gain (Loss) [Line Items]
Gain/(Loss) on Derivatives		$ 3	$ (38)
Gain/(Loss) on Hedged Item		(3)	34
Net Fair Value Hedge Ineffectiveness		0	(4)
Effect of Derivatives on Net Interest Income	[1]	0	35
Advances [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gain/(Loss) on Derivatives		14	(49)
Gain/(Loss) on Hedged Item		(14)	49
Net Fair Value Hedge Ineffectiveness		0	0
Effect of Derivatives on Net Interest Income	[1]	(9)	(18)
Consolidated obligation bonds [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gain/(Loss) on Derivatives		(11)	11
Gain/(Loss) on Hedged Item		11	(15)
Net Fair Value Hedge Ineffectiveness		0	(4)
Effect of Derivatives on Net Interest Income	[1]	$ 9	$ 53

[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		Mar. 31, 2017	Dec. 31, 2016
Derivative [Line Items]
Derivative Asset, Fair Value, Gross Recognized Amount		$ 148	$ 140
Derivative Asset, Total collateral and netting adjustments	[1]	(83)	(74)
Derivative Assets as reported on the Statements of Condition		65	66
Derivative Asset, Fair Value, Net Unsecured Amount		65	66
Derivative Liability, Fair Value, Gross Recognized Amount		73	81
Derivative Liability, Total collateral and netting adjustments	[1]	(72)	(79)
Derivative Liabilities as reported on the Statements of Condition		1	2
Derivative Liability, Fair Value, Net Unsecured Amount		1	2
Uncleared derivatives [Member]
Derivative [Line Items]
Derivative Asset, Fair Value, Gross Recognized Amount		40	41
Derivative Asset, Total collateral and netting adjustments		(35)	(37)
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment		5	4
Derivative Asset, Collateral Received or Pledged not offset, Can Be Sold or Repledged		0	0
Derivative Asset, Fair Value, Net Unsecured Amount		5	4
Derivative Liability, Fair Value, Gross Recognized Amount		28	37
Derivative Liability, Total collateral and netting adjustments		(27)	(35)
Derivative Liability, Net Fair Value Amount, After Offsetting Adjustment		1	2
Derivative Liability, Collateral Received or Pledged not offset, Can be sold or repledged		0	0
Derivative Liability, Fair Value, Net Unsecured Amount		1	2
Cleared derivatives [Member]
Derivative [Line Items]
Derivative Asset, Fair Value, Gross Recognized Amount		108	99
Derivative Asset, Total collateral and netting adjustments		(48)	(37)
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment		60	62
Derivative Asset, Fair Value, Net Unsecured Amount		60	62
Derivative Liability, Fair Value, Gross Recognized Amount		45	44
Derivative Liability, Total collateral and netting adjustments		(45)	(44)
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 $5 and $22 at March 31, 2017, and December 31, 2016, respectively. Cash collateral received and related accrued interest was $16 and $16 at March 31, 2017, and December 31, 2016, respectively.

XML

Fair Value (Carrying Value and Fair Value of Financial Instruments) (Details) - USD ($) $ in Millions		Mar. 31, 2017	Dec. 31, 2016	Mar. 31, 2016	Dec. 31, 2015
Assets
Cash and due from banks		$ 41	$ 2
Interest-bearing deposits		615	590
Securities purchased under agreements to resell		11,500	15,500
Federal funds sold		10,092	4,214
Trading securities	[1]	1,466	2,066
Available-for-sale (AFS) securities	[1]	4,294	4,489
HTM securities, Carrying Value	[1],[2]	13,016	14,127
HTM Securities, Fair Value		13,054	14,141
Accrued interest receivable		64	79
Derivative assets, Net		65	66
Derivative Asset, Fair Value, Gross Asset		148	140
Derivative Asset, Netting adjustments	[3]	(83)	(74)
Liabilities
Total Consolidated Obligations		84,521	83,730
Mandatorily redeemable capital stock		403	457	$ 486	$ 488
Borrowings from other Federal Home Loan Banks		0	1,345
Accrued interest payable		92	67
Derivative liabilities, Net		1	2
Derivative Liability, Fair Value, Gross Liability		73	81
Derivative Liability, Netting adjustments	[3]	(72)	(79)
Carrying (Reported) Amount, Fair Value Disclosure [Member]
Assets
Cash and due from banks		41	2
Interest-bearing deposits		615	590
Securities purchased under agreements to resell		11,500	15,500
Federal funds sold		10,092	4,214
Trading securities		1,466	2,066
Available-for-sale (AFS) securities		4,294	4,489
HTM securities, Carrying Value		13,016	14,127
Advances		49,052	49,845
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans		966	826
Accrued interest receivable		64	79
Derivative assets, Net	[4]	65	66
Other Assets	[5]	12	11
Liabilities
Deposits		171	169
Total Consolidated Obligations		84,521	83,730
Mandatorily redeemable capital stock		403	457
Borrowings from other Federal Home Loan Banks			1,345
Accrued interest payable		92	67
Derivative liabilities, Net	[4]	1	2
Estimate of Fair Value, Fair Value Disclosure [Member]
Assets
Cash and due from banks		41	2
Interest-bearing deposits		615	590
Securities purchased under agreements to resell		11,500	15,500
Federal funds sold		10,092	4,214
Trading securities		1,466	2,066
Available-for-sale (AFS) securities		4,294	4,489
HTM Securities, Fair Value		13,054	14,141
Advances		49,166	49,921
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans		974	845
Accrued interest receivable		64	79
Derivative assets, Net	[4]	65	66
Other Assets	[5]	12	11
Liabilities
Deposits		171	169
Total Consolidated Obligations		84,475	83,693
Mandatorily redeemable capital stock		403	457
Borrowings from other Federal Home Loan Banks			1,345
Accrued interest payable		92	67
Derivative liabilities, Net	[4]	1	2
Fair Value, Inputs, Level 1 [Member]
Assets
Cash and due from banks		41	2
Interest-bearing deposits		615	590
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]	12	11
Liabilities
Deposits		0	0
Total Consolidated Obligations		0	0
Mandatorily redeemable capital stock		403	457
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		11,500	15,500
Federal funds sold		10,092	4,214
Trading securities		1,466	2,066
Available-for-sale (AFS) securities		0	0
HTM Securities, Fair Value		11,784	12,788
Advances		49,166	49,921
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans		974	845
Accrued interest receivable		64	79
Derivative Asset, Fair Value, Gross Asset	[4]	148	140
Derivative Asset, Netting adjustments	[4]	(83)	(74)
Other Assets	[5]	0	0
Liabilities
Deposits		171	169
Total Consolidated Obligations		84,475	83,693
Mandatorily redeemable capital stock		0	0
Borrowings from other Federal Home Loan Banks			1,345
Accrued interest payable		92	67
Derivative Liability, Fair Value, Gross Liability	[4]	73	81
Derivative Liability, Netting adjustments	[4]	(72)	(79)
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		4,294	4,489
HTM Securities, Fair Value		1,270	1,353
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		35,028	33,506
Consolidated Obligation, Discount Notes [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Liabilities
Discount notes		35,019	33,505
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		35,019	33,505
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		21	24
Standby Letters of Credit [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Other
Other commitments		21	24
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		21	24
Standby Letters of Credit [Member] | Fair Value, Inputs, Level 3 [Member]
Other
Other commitments		0	0
Consolidated obligation bonds [Member]
Liabilities
Consolidated obligation bonds		2,236	1,507
Consolidated obligation bonds [Member] | Carrying (Reported) Amount, Fair Value Disclosure [Member]
Liabilities
Consolidated obligation bonds		49,493	50,224
Consolidated obligation bonds [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Liabilities
Consolidated obligation bonds		49,456	50,188
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		49,456	50,188
Consolidated obligation bonds [Member] | Fair Value, Inputs, Level 3 [Member]
Liabilities
Consolidated obligation bonds		$ 0	$ 0

[1] At March 31, 2017, and December 31, 2016, 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 $5 and $22 at March 31, 2017, and December 31, 2016, respectively. Cash collateral received and related accrued interest was $16 and $16 at March 31, 2017, and December 31, 2016, 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.

XML

Fair Value (Summary of Valuation Methodologies and Primary Inputs) (Details)	Mar. 31, 2017 vendor price
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items]
Number of third-party vendor prices received	4
MBS [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items]
Number of designated third-party pricing vendors | vendor	4
Four vendor prices received [Member] | MBS [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items]
Number of third-party vendor prices received	4
Median price, number of prices	2
Three vendor prices received [Member] | MBS [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items]
Number of third-party vendor prices received	3
Two vendor prices received [Member] | MBS [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items]
Number of third-party vendor prices received	2
Median price, number of prices	2
One vendor price received [Member] | MBS [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items]
Number of third-party vendor prices received	1

XML

Fair Value (Fair Value Measured on Recurring and Nonrecurring Basis) (Details) - USD ($) $ in Millions		Mar. 31, 2017	Dec. 31, 2016
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	[1]	$ 1,466	$ 2,066
Available-for-sale (AFS) securities	[1]	4,294	4,489
Advances, Fair Value Disclosure	[2]	3,816	3,719
Derivative Asset, Netting adjustments	[3]	(83)	(74)
Derivative assets, Net		65	66
Derivative Liability, Netting adjustments	[3]	(72)	(79)
Derivative liabilities, Net		1	2
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	[4]	12	11
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		1,466	2,066
Available-for-sale (AFS) securities		0	0
Derivative Asset, Netting adjustments	[5]	(83)	(74)
Other Assets	[4]	0	0
Derivative Liability, Netting adjustments	[5]	(72)	(79)
Mortgage loans held for portfolio		974	845
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		4,294	4,489
Other Assets	[4]	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	[6]	3,816	3,719
Derivative Asset, Netting adjustments	[7]	(83)	(74)
Derivative Liability, Netting adjustments	[7]	(72)	(79)
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	[6]	0	0
Other Assets		12	11
Total fair value measurements – Assets		12	11
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		1,466	2,066
Available-for-sale (AFS) securities		0	0
Advances, Fair Value Disclosure	[6]	3,816	3,719
Other Assets		0	0
Total fair value measurements – Assets		5,430	5,925
Total recurring fair value measurements – Liabilities		2,309	1,588
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		4,294	4,489
Advances, Fair Value Disclosure	[6]	0	0
Other Assets		0	0
Total fair value measurements – Assets		4,294	4,489
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	[8]	0	0
Mortgage loans held for portfolio	[8]	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	[8]	0	0
Mortgage loans held for portfolio	[8]	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	[8]	4	5
Mortgage loans held for portfolio	[8]	4	5
FFCB bonds [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		1,459	2,058
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		1,459	2,058
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		7	8
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		7	8
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		2,236	1,507
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		49,456	50,188
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	[9]	2,236	1,507
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	[9]	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	[9]	2,236	1,507
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	[9]	0	0
Estimate of Fair Value Measurement [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		1,466	2,066
Available-for-sale (AFS) securities		4,294	4,489
Derivative assets, Net	[5]	65	66
Other Assets	[4]	12	11
Derivative liabilities, Net	[5]	1	2
Mortgage loans held for portfolio		974	845
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		1,466	2,066
Available-for-sale (AFS) securities		4,294	4,489
Other Assets		12	11
Total fair value measurements – Assets		9,653	10,351
Total recurring fair value measurements – Liabilities		2,237	1,509
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	[8]	4	5
Mortgage loans held for portfolio	[8]	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		1,459	2,058
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		7	8
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		49,456	50,188
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		4,294	4,489
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		4,294	4,489
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	[7]	(83)	(74)
Derivative Liability, Netting adjustments	[7]	(72)	(79)
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		148	140
Derivative liabilities, Net		73	81
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		65	66
Derivative liabilities, Net		$ 1	$ 2

[1] At March 31, 2017, and December 31, 2016, none of these securities were pledged as collateral that may be repledged.

[2] At March 31, 2017, and December 31, 2016, none of these advances were 90 days or more past due or had been placed on nonaccrual status.

[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 $5 and $22 at March 31, 2017, and December 31, 2016, respectively. Cash collateral received and related accrued interest was $16 and $16 at March 31, 2017, and December 31, 2016, respectively.

[4] Represents publicly traded mutual funds held in a grantor trust.

[5] 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.

[6] Represents advances recorded under the fair value option at March 31, 2017, and December 31, 2016.

[7] Amounts represent the netting of derivative assets and liabilities by counterparty, including cash collateral, where the netting requirements have been met.

[8] The fair value information presented is as of the date the fair value adjustment was recorded during the three months ended March 31, 2017

[9] Represents consolidated obligation bonds recorded under the fair value option at March 31, 2017, and December 31, 2016

XML

Fair Value (Level 3) (Details) - USD ($) $ in Millions		3 Months Ended
		Mar. 31, 2017	Mar. 31, 2016
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Net OTTI loss, credit-related	[1]	$ (3)	$ (7)
Net amount of OTTI loss reclassified to/(from) other income/(loss)		2	(8)
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		4,489	5,414
Interest Income		22	26
Net OTTI loss, credit-related		(3)	(7)
Unrealized gain/(loss) of other-than temporarily impaired securities included in AOCI		29	(47)
Net amount of OTTI loss reclassified to/(from) other income/(loss)		2	(8)
Settlements		(245)	(233)
Balance, end of the period		4,294	5,145
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		$ 20	$ 19

[1] For the three months ended March 31, 2017 and 2016, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2017 and 2016, respectively.

XML

Fair Value (Fair Value Option) (Details) - USD ($) $ in Millions		3 Months Ended
		Mar. 31, 2017	Mar. 31, 2016
Fair Value, Option, Quantitative Disclosures [Line Items]
Balance, beginning of the period	[1]	$ 3,719
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option		(1)	$ 27
Balance, end of the period	[1]	3,816
Advances [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Balance, beginning of the period		3,719	3,677
New transactions elected for fair value option		288	169
Maturities and terminations		(192)	(171)
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option		1	47
Change in accrued interest		0	0
Balance, end of the period		3,816	3,722
Consolidated obligation bonds [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option		2	20
Balance, beginning of the period		1,507	4,233
New transactions elected for fair value option		740	245
Maturities and terminations		(15)	(885)
Change in accrued interest		2	0
Balance, end of the period		$ 2,236	$ 3,613

[1] At March 31, 2017, and December 31, 2016, none of these advances were 90 days or more past due or had been placed on nonaccrual status.

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Fair Value (Fair Value Difference Between Fair Value and Remaining Contractual Principal Balance Outstanding) (Details) - USD ($) $ in Millions		Mar. 31, 2017	Dec. 31, 2016
Fair Value, Option, Quantitative Disclosures [Line Items]
Fair Value Option, Principal Balance, Advances	[1]	$ 3,805	$ 3,709
Fair Value of Advances Under the Fair Value Option	[1]	3,816	3,719
Fair Value Over/(Under) Principal Balance, Advances	[1]	11	10
Consolidated obligation bonds [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Fair Value Option, Principal Balance, CO Bonds		2,240	1,515
Fair Value of Bonds Under the Fair Value Option		2,236	1,507
Fair Value Over/(Under) Principal Balance, CO Bonds		$ (4)	$ (8)

[1] At March 31, 2017, and December 31, 2016, 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 Off-Balance Sheet Commitments (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2017	Dec. 31, 2016
Loss Contingencies [Line Items]
Obligation with Joint and Several Liability Arrangement, Amount Outstanding	$ 959,280	$ 989,311
Standby Letters Of Credit, Final Expiration	2031
Other Liabilities	$ 312	429
Commitments to purchase mortgage loans, maximum term	60 days
Total consolidated obligations, par	$ 84,564	83,749
Standby letters of credit outstanding [Member]
Loss Contingencies [Line Items]
Expire Within One Year	11,228	11,094
Expire After One Year	4,226	4,066
Total	15,454	15,160
Other Liabilities	21	24
Commitments to fund advances [Member]
Loss Contingencies [Line Items]
Expire Within One Year	5	5
Expire After One Year	1	1
Total	6	6
Commitments to Issue consolidated obligations, discount notes [Member]
Loss Contingencies [Line Items]
Expire Within One Year	1,270	846
Expire After One Year	0	0
Total	1,270	846
Commitments to issue consolidated obligation bonds, par
Loss Contingencies [Line Items]
Expire Within One Year	55	655
Expire After One Year	0	0
Total	$ 55	655
Minimum [Member]
Loss Contingencies [Line Items]
Standby Letters Of Credit, Original Terms	33 days
Maximum [Member]
Loss Contingencies [Line Items]
Standby Letters Of Credit, Original Terms	15 years
Guarantee of Indebtedness of Others [Member]
Loss Contingencies [Line Items]
Total consolidated obligations, par	$ 84,564	83,749
Mortgages [Member] | Commitments to purchase mortgage loans [Member]
Loss Contingencies [Line Items]
Expire Within One Year	12	13
Expire After One Year	0	0
Total	$ 12	$ 13

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Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2017	Mar. 31, 2016	Dec. 31, 2016
Related Party Transaction [Line Items]
Proceeds from Other FHLBank Borrowings	$ 10	$ 425
Repayments of Other FHLBank Borrowings	(1,355)	(425)
Assets:
Advances	49,052		$ 49,845
Mortgage loans held for portfolio	966		826
Accrued interest receivable	64		79
Liabilities:
Deposits	171		169
Capital [Abstract]
Capital stock	2,280		2,370
Interest Income:
Advances	153	104
Mortgage loans held for portfolio	$ 9	8
Minimum [Member]
Related Party Transaction [Line Items]
Transactions with Certain Members and Nonmembers, Voting Interest, Percent	10.00%
FHLBanks [Member]
Related Party Transaction [Line Items]
Payments to Extend Overnight Loans to Other FHLBanks	$ 0	0
Proceeds from Collection of Loans to Other FHLBanks	0	0
Transaction with Member Officer or Director [Member]
Assets:
Advances	2,836		3,756
Mortgage loans held for portfolio	16		17
Accrued interest receivable	4		4
Liabilities:
Deposits	3		3
Capital [Abstract]
Capital stock	125		$ 129
Interest Income:
Advances	9	9
Mortgage loans held for portfolio	0	$ 0
Federal Home Loan Bank of Chicago [Member]
Related Party Transaction [Line Items]
MPF Service Fee Expense to FHLB Chicago	$ 0