10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

  ____________________________________

FORM 10-Q

  ______________________________________________________

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

For the quarterly period ended March 31, 2023

OR

☐ 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 of the United States		94-6000630
(State or other jurisdiction of incorporation or organization)		(I.R.S. employer identification number)
333 Bush Street, Suite 2700
San Francisco,	CA	94104
(Address of principal executive offices)		(Zip code)

(415) 616-1000

(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Securities Exchange Act of 1934:

Title of each class	Trading Symbol(s)	Name of each exchange on which registered
—	—	—

  ___________________________________________

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.    ☒  Yes    ☐  No

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).    ☒  Yes    ☐  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	☐	Accelerated filer	☐
Non-accelerated filer	☒	Smaller reporting company	☐
		Emerging growth company	☐

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.      ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).    ☐  Yes    ☒  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, 2023
Class B Stock, par value $100 per share	42,010,587

Federal Home Loan Bank of San Francisco

Form 10-Q

Index

PART I.	FINANCIAL INFORMATION
Item 1.	Financial Statements	1
	Statements of Condition (Unaudited)	1
	Statements of Income (Unaudited)	2
	Statements of Comprehensive Income/(Loss) (Unaudited)	3
	Statements of Capital Accounts (Unaudited)	4
	Statements of Cash Flows (Unaudited)	5
	Notes to Financial Statements (Unaudited)	7
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	42
	Quarterly Overview	44
	Financial Highlights	46
	Results of Operations	47
	Financial Condition	53
	Liquidity and Capital Resources	61
	Risk Management	62
	Critical Accounting Policies and Estimates	71
	Recently Issued Accounting Guidance and Interpretations	72
	Recent Developments	72
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	72
Item 4.	Controls and Procedures	76
PART II.	OTHER INFORMATION
Item 1.	Legal Proceedings	78
Item 1A.	Risk Factors	78
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	78
Item 3.	Defaults Upon Senior Securities	78
Item 4.	Mine Safety Disclosures	78
Item 5.	Other Information	78
Item 6.	Exhibits	80
Signatures		81

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, 2023		December 31, 2022
Assets:
Cash and due from banks	$	17	$	9
Interest-bearing deposits	3,760		3,677
Securities purchased under agreements to resell	11,100		7,000
Federal funds sold	9,427		4,719
Trading securities	1		1
Available-for-sale (AFS) securities, net of allowance for credit losses of $28 and $30, respectively (amortized cost of $13,394 and $12,757, respectively)(a)	13,320		12,713
Held-to-maturity (HTM) securities (fair values of $2,068 and $2,136, respectively)	2,104		2,181
Advances (includes $2,392 and $2,059 at fair value under the fair value option, respectively)	101,541		89,400
Mortgage loans held for portfolio, net of allowance for credit losses of $1 and $1, respectively	801		815
Accrued interest receivable	178		313
Derivative assets, net	6		26
Other assets	238		202
Total Assets	$	142,493	$	121,056
Liabilities:
Deposits	$	1,022	$	989
Consolidated obligations:
Bonds (includes $782 and $2,226 at fair value under the fair value option, respectively)	95,034		75,768
Discount notes	37,356		35,929
Total consolidated obligations	132,390		111,697
Mandatorily redeemable capital stock	95		5
Accrued interest payable	508		326
Affordable Housing Program (AHP) payable	123		111
Derivative liabilities, net	11		2
Other liabilities	272		203
Total Liabilities	134,421		113,333
Commitments and Contingencies (Note 13)
Capital:
Capital stock—Class B—Putable ($100 par value) issued and outstanding:
40 shares and 38 shares, respectively	4,007		3,758
Unrestricted retained earnings	3,356		3,262
Restricted retained earnings	770		732
Total Retained Earnings	4,126		3,994
Accumulated other comprehensive income/(loss) (AOCI)	(61)		(29)
Total Capital	8,072		7,723
Total Liabilities and Capital	$	142,493	$	121,056

(a)At March 31, 2023, and December 31, 2022, $864 million and $435 million, respectively, of these securities were pledged as collateral that may be repledged.

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

1

Federal Home Loan Bank of San Francisco

Statements of Income

(Unaudited)

	Three Months Ended March 31,
(In millions)	2023		2022
Interest Income:
Advances	$	1,163	$	39
Interest-bearing deposits	50		—
Securities purchased under agreements to resell	92		1
Federal funds sold	130		3
AFS securities	190		54
HTM securities	24		7
Mortgage loans held for portfolio	7		17
Total Interest Income	1,656		121
Interest Expense:
Consolidated obligations:
Bonds	920		12
Discount notes	435		6
Deposits	13		—
Borrowings from other Federal Home Loan Banks	1		—
Total Interest Expense	1,369		18
Net Interest Income	287		103
Provision for/(reversal of) credit losses	(1)		(3)
Net Interest Income After Provision for/(Reversal of) Credit Losses	288		106
Other Income/(Loss):
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option	1		(21)
Net gain/(loss) on derivatives	(34)		8
Private-label residential mortgage-backed securities (PLRMBS) trust settlement	—		28
Standby letters of credit fees	5		4
Other, net	2		(1)
Total Other Income/(Loss)	(26)		18
Other Expense:
Compensation and benefits	27		24
Other operating expense	14		12
Federal Housing Finance Agency	2		2
Office of Finance	2		1
Other, net	—		(1)
Total Other Expense	45		38
Income/(Loss) Before Assessment	217		86
AHP Assessment	22		8
Net Income/(Loss)	$	195	$	78

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

2

Federal Home Loan Bank of San Francisco

Statements of Comprehensive Income/(Loss)

(Unaudited)

	Three Months Ended March 31,
(In millions)	2023		2022
Net Income/(Loss)	$	195	$	78
Other Comprehensive Income/(Loss):
Net unrealized gain/(loss) on AFS securities	(32)		(149)
Total other comprehensive income/(loss)	(32)		(149)
Total Comprehensive Income/(Loss)	$	163	$	(71)

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

3

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, 2021	21	$	2,061	$	708	$	3,124	$	3,832	$	331	$	6,224
Comprehensive income/(loss)				—		78		78		(149)		(71)
Issuance of capital stock	9	875										875
Repurchase of capital stock	(8)	(807)										(807)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net	(1)	(32)										(32)
Transfers from restricted retained earnings				(16)		16		—				—
Cash dividends paid on capital stock (6.00%)						(35)		(35)				(35)
Balance, March 31, 2022	21	$	2,097	$	692	$	3,183	$	3,875	$	182	$	6,154
Balance, December 31, 2022	38	$	3,758	$	732	$	3,262	$	3,994	$	(29)	$	7,723
Comprehensive income/(loss)				38		157		195		(32)		163
Issuance of capital stock	22	2,205										2,205
Repurchase of capital stock	(18)	(1,761)										(1,761)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net	(2)	(195)										(195)
Cash dividends paid on capital stock (7.00%)						(63)		(63)				(63)
Balance, March 31, 2023	40	$	4,007	$	770	$	3,356	$	4,126	$	(61)	$	8,072

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

4

Federal Home Loan Bank of San Francisco

Statements of Cash Flows

(Unaudited)

	Three Months Ended March 31,
(In millions)	2023		2022
Cash Flows from Operating Activities:
Net Income/(Loss)	$	195	$	78
Adjustments to reconcile net income/(loss) to net cash provided by/(used in) operating activities:
Depreciation and amortization/(accretion)	59		25
Provision for/(reversal of) credit losses	(1)		(3)
Change in net fair value adjustment on advances and consolidated obligation bonds held under the fair value option	(1)		21
Change in net derivatives and hedging activities	(311)		568
PLRMBS trust settlement	—		(28)
Other adjustments, net	1		2
Net change in:
Accrued interest receivable	132		6
Other assets	(39)		7
Accrued interest payable	176		(4)
Other liabilities	40		(25)
PLRMBS contingent liability	—		(41)
Total adjustments	56		528
Net cash provided by/(used in) operating activities	251		606
Cash Flows from Investing Activities:
Net change in:
Interest-bearing deposits	27		(325)
Securities purchased under agreements to resell	(4,100)		2,000
Federal funds sold	(4,708)		(2,228)
Trading securities:
Proceeds from maturities and paydowns	—		250
AFS securities:
Proceeds from maturities and paydowns	80		345
Purchases	(439)		—
HTM securities:
Proceeds from maturities and paydowns	77		340
Advances:
Repaid	646,350		117,731
Originated	(658,252)		(121,347)
Mortgage loans held for portfolio:
Principal collected	13		74
Net cash provided by/(used in) investing activities	(20,952)		(3,160)

5

Federal Home Loan Bank of San Francisco

Statements of Cash Flows (continued)

(Unaudited)

	Three Months Ended March 31,
(In millions)	2023		2022
Cash Flows from Financing Activities:
Net change in deposits and other financing activities	10		323
Net (payments)/proceeds on derivative contracts with financing elements	3		(4)
Net proceeds from issuance of consolidated obligations:
Bonds	51,508		7,488
Discount notes	48,764		24,379
Payments for matured and retired consolidated obligations:
Bonds	(32,468)		(1,013)
Discount notes	(47,384)		(28,624)
Proceeds from issuance of capital stock	2,205		875
Payments for repurchase/redemption of mandatorily redeemable capital stock	(105)		(28)
Payments for repurchase of capital stock	(1,761)		(807)
Cash dividends paid	(63)		(35)
Net cash provided by/(used in) financing activities	20,709		2,554
Net increase/(decrease) in cash and due from banks	8		—
Cash and due from banks at beginning of the period	9		55
Cash and due from banks at end of the period	$	17	$	55
Supplemental Disclosures:
Interest paid	$	1,203	$	17
AHP payments	10		13
Supplemental Disclosures of Noncash Investing and Financing Activities:
Transfers of HTM securities to AFS securities	—		16
Transfers of capital stock to mandatorily redeemable capital stock	195		32

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

6

Federal Home Loan Bank of San Francisco

Notes to Financial Statements

Note 1 — Basis of Presentation and Significant Accounting Policies

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 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, 2023. 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, 2022 (2022 Form 10-K).

There have been no changes to the basis of presentation of the Bank’s financial instruments meeting netting requirements or of the Bank’s investments in variable interest entities disclosed in “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2022 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:

•accounting for derivatives;

•estimating fair values of investments classified as trading and available-for-sale (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; and

•estimating the prepayment speeds on mortgage-backed securities (MBS) and mortgage loans for the accounting of amortization of premiums and accretion of discounts and credit losses previously recorded before the adoption of accounting guidance related to the measurement of credit losses on MBS and mortgage loans.

Actual results could differ significantly from these estimates.

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 2022 Form 10-K. Other changes to these policies as of March 31, 2023, are discussed in Note 2 – Recently Issued and Adopted Accounting Guidance.

7

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Note 2 — Recently Issued and Adopted Accounting Guidance

The following table provides a summary of recently issued and adopted accounting standards that may have an effect on the Bank’s financial statements.

Accounting Standards Update (ASU)	Description	Effective Date	Effect on the Financial Statements or Other Significant Matters
Facilitation of the Effects of Reference Rate Reform on Financial Reporting, as amended (ASU 2020-04)	This update provides temporary optional guidance to ease the potential burden in accounting for reference rate reform. The new guidance provides optional expedients and exceptions for applying generally accepted accounting principles to transactions affected by reference rate reform if certain criteria are met. These transactions include: • contract modifications, • hedging relationships, and • sale or transfer of debt securities classified as HTM.	This guidance became effective beginning March 2020 through December 31, 2024.	The Bank has assessed the guidance and has elected some of the optional expedients and exceptions provided related to the discounting transition for uncleared derivative transactions on a prospective basis since 2021, which did not have a material effect on the Bank’s financial condition, results of operations, cash flows, and financial statement disclosures.
Troubled Debt Restructurings and Vintage Disclosures (ASU 2022-02)	This guidance eliminates the accounting guidance for troubled debt restructurings by creditors that have adopted the current expected credit losses methodology while enhancing disclosure requirements for certain loan refinancings and restructurings by creditors made to borrowers experiencing financial difficulty. Additionally, this guidance requires disclosure of current-period gross write-offs by year of origination for financing receivables and net investment in leases.	The guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2023.	The Bank adopted this guidance as of January 1, 2023. The adoption of this guidance did not have a material effect on the Bank’s financial condition, results of operations, cash flows, and financial statement disclosures.

Note 3 — Investments

The Bank makes short-term investments in interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold, and may make other investments in debt securities, which are classified as trading, AFS, or HTM.

Interest-Bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold. The Bank invests in interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold to provide short-term liquidity. These investments are generally transacted with counterparties that have received an investment grade credit rating of BBB or greater by a nationally recognized statistical rating organization (NRSRO). At March 31, 2023, and December 31, 2022, none of these investments were with counterparties rated below BBB. These may differ from any internal ratings of the investments by the Bank, if applicable.

Federal funds sold are unsecured loans that are generally transacted on an overnight term. Finance Agency regulations include a limit on the amount of unsecured credit the Bank may extend to a counterparty. At March 31,

8

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

2023, and December 31, 2022, all investments in interest-bearing deposits and Federal funds sold were repaid or expected to be repaid according to the relevant contractual terms. No allowance for credit losses was recorded for these assets at March 31, 2023, and December 31, 2022. Carrying values of interest-bearing deposits and Federal funds sold exclude accrued interest receivable of $16 million and $1 million, respectively, as of March 31, 2023, and $13 million and $1 million, respectively, as of December 31, 2022.

Based upon the collateral held as security and collateral maintenance provisions with its counterparties, the Bank determined that no allowance for credit losses was needed for its securities purchased under agreements to resell at March 31, 2023, and December 31, 2022. The carrying value of securities purchased under agreements to resell excludes $1 million and $2 million of accrued interest receivable as of March 31, 2023, and December 31, 2022, respectively.

Debt Securities

The Bank invests in debt securities, which are classified as either trading, AFS, or HTM. Within these investments, the Bank is primarily subject to credit risk related to PLRMBS that are supported by underlying mortgage loans. The Bank is prohibited by Finance Agency regulations from purchasing certain higher risk securities, such as equity securities and debt instruments that are not investment quality at the time of purchase.

Trading Securities. The estimated fair value of trading securities that were MBS - other U.S. obligations was $1 million as of March 31, 2023, and December 31, 2022. The unrealized net gain/(loss) on trading securities held at March 31, 2023 and 2022, were de minimis amounts.

Available-for-Sale Securities. AFS securities by major security type as of March 31, 2023, and December 31, 2022, were as follows:

March 31, 2023
(In millions)	Amortized Cost(1)		Allowance for Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Estimated Fair Value
U.S. obligations – Treasury notes	$	4,062	$	—	$	16	$	—	$	4,078
MBS:
Government Sponsored Enterprises (GSEs) – multifamily	8,173		—		—		(81)		8,092
PLRMBS	1,159		(28)		45		(26)		1,150
Total MBS	9,332		(28)		45		(107)		9,242
Total	$	13,394	$	(28)	$	61	$	(107)	$	13,320

9

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

December 31, 2022
(In millions)	Amortized Cost(1)		Allowance for Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Estimated Fair Value
U.S. obligations – Treasury notes	$	4,012	$	—	$	12	$	—	$	4,024
MBS:
GSEs – multifamily	7,562		—		2		(57)		7,507
PLRMBS	1,183		(30)		54		(25)		1,182
Total MBS	8,745		(30)		56		(82)		8,689
Total	$	12,757	$	(30)	$	68	$	(82)	$	12,713

(1)    Amortized cost includes unpaid principal balance, unamortized premiums and discounts, net charge-offs, and valuation adjustments for hedging activities, and excludes accrued interest receivable of $46 million at both March 31, 2023, and December 31, 2022.

At March 31, 2023, the amortized cost of the Bank’s MBS classified as AFS included premiums of $50 million, discounts of $140 million, and previous credit losses related to the prior methodology of evaluating credit losses of $341 million for PLRMBS. At December 31, 2022, the amortized cost of the Bank’s MBS classified as AFS included premiums of $52 million, discounts of $113 million, and previous credit losses related to the prior methodology of evaluating credit losses of $351 million for PLRMBS.

The following tables summarize the AFS securities with unrealized losses as of March 31, 2023, and December 31, 2022. 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.

March 31, 2023
	Less Than 12 Months				12 Months or More				Total
(In millions)	Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses
MBS – GSEs – multifamily	$	6,917	$	64	$	941	$	17	$	7,858	$	81
PLRMBS	183		7		187		19		370		26
Total	$	7,100	$	71	$	1,128	$	36	$	8,228	$	107

December 31, 2022
	Less Than 12 Months				12 Months or More				Total
(In millions)	Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses
MBS – GSEs – multifamily	$	6,635	$	57	$	—	$	—	$	6,635	$	57
PLRMBS	292		17		68		8		360		25
Total	$	6,927	$	74	$	68	$	8	$	6,995	$	82

Redemption Terms – The amortized cost and estimated fair value of U.S. Treasury securities classified as AFS by contractual maturity (based on contractual final principal payment) and of MBS classified as AFS as of March 31, 2023, and December 31, 2022, are shown below. Expected maturities of MBS classified as AFS will differ from contractual maturities because borrowers may have the right to call or prepay the underlying obligations with or without call or prepayment fees.

10

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

March 31, 2023
(In millions)
Year of Contractual Maturity	Amortized Cost		Estimated Fair Value
U.S. obligations – Treasury notes – Due after 1 year through 5 years	$	4,062	$	4,078
MBS	9,332		9,242
Total	$	13,394	$	13,320

December 31, 2022
(In millions)
Year of Contractual Maturity	Amortized Cost		Estimated Fair Value
U.S. obligations – Treasury notes – Due after 1 year through 5 years	$	4,012	$	4,024
MBS	8,745		8,689
Total	$	12,757	$	12,713

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, 2023
(In millions)	Amortized Cost(1)		Gross Unrecognized Holding Gains(2)		Gross Unrecognized Holding Losses(2)		Estimated Fair Value
MBS – Other U.S. obligations – single-family	$	67	$	—	$	(2)	$	65
MBS – GSEs:
MBS – GSEs – single-family	709		1		(18)		692
MBS – GSEs – multifamily	1,181		—		(6)		1,175
Subtotal MBS – GSEs	1,890		1		(24)		1,867
PLRMBS	147		—		(11)		136
Total	$	2,104	$	1	$	(37)	$	2,068

December 31, 2022
(In millions)	Amortized Cost(1)		Gross Unrecognized Holding Gains(2)		Gross Unrecognized Holding Losses(2)		Estimated Fair Value
MBS – Other U.S. obligations – single-family	$	72	$	—	$	(2)	$	70
MBS – GSEs:
MBS – GSEs – single-family	745		1		(22)		724
MBS – GSEs – multifamily	1,209		—		(10)		1,199
Subtotal MBS – GSEs	1,954		1		(32)		1,923
PLRMBS	155		—		(12)		143
Total	$	2,181	$	1	$	(46)	$	2,136

(1)    Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and net charge-offs, and excludes accrued interest receivable of $6 million and $5 million at March 31, 2023, and December 31, 2022, respectively.

(2)    Gross unrecognized holding gains/(losses) represent the difference between estimated fair value and net carrying value.

Expected maturities of MBS classified as HTM will differ from contractual maturities because borrowers may have the right to call or prepay the underlying obligations with or without call or prepayment fees.

At March 31, 2023, the amortized cost of the Bank’s MBS classified as HTM included premiums of $3 million, discounts of $3 million, and no previous credit losses related to the prior methodology of evaluating credit losses for

11

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

PLRMBS. At December 31, 2022, the amortized cost of the Bank’s MBS classified as HTM included premiums of $3 million, discounts of $4 million, and no previous credit losses related to the prior methodology of evaluating credit losses for PLRMBS.

Allowance for Credit Losses on AFS and HTM Securities. The following table presents a rollforward of the allowance for credit losses on investment securities associated with PLRMBS classified as AFS for the three months ended March 31, 2023 and 2022. The Bank recorded no allowance for credit losses associated with HTM securities during the three months ended March 31, 2023 and 2022.

	Three Months Ended
(In millions)	March 31, 2023		March 31, 2022
Balance, beginning of the period	$	30	$	17
(Charge-offs)/recoveries	(1)		—
Provision for/(reversal of) credit losses	(1)		(3)
Balance, end of the period	$	28	$	14

To evaluate investment securities for credit loss at March 31, 2023, and December 31, 2022, the Bank employed the following methodologies, based on the type of security.

AFS and HTM Securities (Excluding PLRMBS) – The Bank’s AFS and HTM securities are principally U.S. obligations and MBS issued by Ginnie Mae, Freddie Mac, and Fannie Mae that are backed by single-family or multifamily mortgage loans. The Bank only purchases securities considered investment quality. Excluding PLRMBS investments, at March 31, 2023, and December 31, 2022, substantially all of AFS securities and HTM securities, based on amortized cost, were rated A, or above, by an NRSRO, based on the lowest long-term credit rating for each security. These may differ from any internal ratings of the securities by the Bank, if applicable.

At March 31, 2023, and December 31, 2022, certain of the Bank’s AFS securities were in an unrealized loss position. These losses are considered temporary as the Bank expects to recover the entire amortized cost basis on these AFS investment securities and neither intends to sell these securities nor considers it more likely than not that it will be required to sell these securities before its anticipated recovery of each security's remaining amortized cost basis. Further, the Bank has not experienced any payment defaults on the instruments and substantially all of these securities are highly rated. In the case of U.S. obligations, they carry an explicit government guarantee. As a result, no allowance for credit losses was recorded on these AFS securities at March 31, 2023, and December 31, 2022.

As of March 31, 2023, and December 31, 2022, the Bank had not established an allowance for credit losses on any of its HTM securities because the securities: (i) were all highly rated or had short remaining terms to maturity and (ii) had not experienced, nor did the Bank expect, any payment default on the instruments, and (iii) in the case of U.S. Treasury, GSE, or other agency obligations, carry an implicit or explicit government guarantee such that the FHLBanks consider the risk of nonpayment to be zero.

12

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Private-Label Residential Mortgage-Backed Securities – The Bank also holds investments in PLRMBS. The Bank has not purchased any PLRMBS since the first quarter of 2008. However, many of these securities have subsequently experienced significant credit deterioration. As of March 31, 2023, and December 31, 2022, approximately 4% PLRMBS (AFS and HTM combined, based on amortized cost) were rated A, or above, by an NRSRO; and the remaining securities were either rated less than A, or were unrated. To determine whether an allowance for credit loss is necessary on these securities, the Bank uses cash flow analyses. For certain PLRMBS where underlying collateral data is not available, alternative procedures as determined by the Bank are used to assess these securities for credit loss measurement.

At each quarter end, the Bank compares the present value of the cash flows expected to be collected on its PLRMBS, using the effective interest rate, to the amortized cost basis of the securities to determine whether a credit loss exists. The expected credit losses are measured using:

•expected housing price changes;

•expected interest rate assumptions;

•the remaining payment terms for the security;

•expected default rates based on underlying loan-level borrower and loan characteristics;

•loss severities on the collateral supporting each unique PLRMBS based on underlying loan-level borrower and loan characteristics; and

•prepayment speeds based on underlying loan-level borrower and loan characteristics.

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 these assumptions and expectations. The cash flows determined reflect management’s expectations and include a base case housing price forecast for near- and long-term horizons.

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 PLRMBS with previous credit losses related to the prior methodology of evaluating credit losses (securities for which the Bank determined that it does not expect to recover the entire amortized cost basis), measurement of the fair value of PLRMBS classified as Level 3 as of March 31, 2023, uses significant inputs that include, based on unpaid principal balance, the weighted average percentage of prepayment rates of 10.1%; default rates of 5.8%; and loss severities of 56.9%. The weighted average percentage of the related current credit enhancement for these securities, based on unpaid principal balance, was 8.7% as of March 31, 2023. 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 total net accretion recognized in interest income associated with PLRMBS with previous credit losses related to the prior methodology of evaluating credit losses totaled $11 million and $14 million for the three months ended March 31, 2023 and 2022, respectively. Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities totaled $7 million and $8 million for the three months ended March 31, 2023 and 2022, respectively.

In general, the Bank elects to transfer any PLRMBS that incurred a credit loss during the applicable period from the Bank’s HTM portfolio to its AFS portfolio at their fair values. The Bank previously recognized a credit loss on these HTM PLRMBS, which the Bank believes is evidence of a significant decline in the credit quality of the underlying collateral. The decline in the credit quality of the underlying collateral is the basis for the transfers to the AFS portfolio. These transfers allow the Bank the option to sell these securities before 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 did not transfer any PLRMBS from its HTM portfolio to its AFS portfolio during the three months ended March 31, 2023. The Bank transferred PLRMBS from its HTM

13

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

portfolio to its AFS portfolio with an amortized cost of $16 million and fair value of $19 million during the three months ended March 31, 2022.

For the Bank’s PLRMBS, the Bank recorded a reversal of credit losses of $1 million and $3 million during the three months ended March 31, 2023, and March 31, 2022, respectively, largely as a result of improvements in the fair values of underlying collateral on certain securities.

Note 4 — 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 a specified index.

Redemption Terms. The Bank had advances outstanding at interest rates ranging from 0.21% to 8.57% at March 31, 2023, and 0.21% to 8.57% at December 31, 2022, as summarized below.

(Dollars in millions)	March 31, 2023				December 31, 2022
Redemption Term	Amount Outstanding(1)		Weighted Average Interest Rate		Amount Outstanding(1)		Weighted Average Interest Rate
Overdrawn demand and overnight deposit accounts	$	—	4.65	%	$	2	4.15	%
Within 1 year(2)	64,758		4.87		71,050		4.34
After 1 year through 2 years	22,750		3.99		7,634		3.30
After 2 years through 3 years	5,433		3.60		4,036		2.22
After 3 years through 4 years	4,284		2.62		3,391		2.05
After 4 years through 5 years	3,702		3.73		2,815		3.24
After 5 years	1,092		3.58		1,189		3.50
Total par value	102,019		4.45	%	90,117		4.03	%
Valuation adjustments for hedging activities	(453)				(670)
Valuation adjustments under fair value option	(25)				(47)
Total	$	101,541			$	89,400

(1)Carrying amounts exclude accrued interest receivable of $103 million and $241 million at March 31, 2023, and December 31, 2022, respectively.

(2)Advances outstanding with redemption terms within three months totaled $45.6 billion and $46.3 billion at March 31, 2023, and December 31, 2022, respectively.

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 borrower’s decision to repay the advance prior to its maturity date, which is required by Finance Agency regulations. In addition, for certain advances with full or 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. In November 2018, the Bank discontinued offering advances with partial prepayment symmetry. The Bank had advances with full prepayment symmetry outstanding totaling $39.9 billion at March 31, 2023, and $19.2 billion at December 31, 2022. The Bank had advances with partial prepayment symmetry outstanding totaling $0.7 billion at March 31, 2023, and $1.0 billion at December 31, 2022. Some advances may be repaid on pertinent call dates without prepayment fees (callable advances). The Bank had callable advances outstanding totaling $9.2 billion at March 31, 2023, and $9.8 billion at December 31, 2022.

The Bank had putable advances totaling $1.4 billion at March 31, 2023, and $0.8 billion at December 31, 2022. 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.

14

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

The following table summarizes advances at March 31, 2023, and December 31, 2022, by the earlier of the year of redemption term or next call date for callable advances and by the earlier of the year of redemption term or next put date for putable advances.

	Earlier of Redemption Term or Next Call Date				Earlier of Redemption Term or Next Put Date
(In millions)	March 31, 2023		December 31, 2022		March 31, 2023		December 31, 2022
Overdrawn demand and overnight deposit accounts	$	—	$	2	$	—	$	2
Within 1 year	65,078		71,370		65,608		71,850
After 1 year through 2 years	22,760		7,634		23,250		7,634
After 2 years through 3 years	5,433		4,046		4,983		3,836
After 3 years through 4 years	4,284		3,391		4,284		3,391
After 4 years through 5 years	3,712		2,825		2,802		2,215
After 5 years	752		849		1,092		1,189
Total par value	$	102,019	$	90,117	$	102,019	$	90,117

Concentration Risk. The following tables present the concentration in advances to the top 10 borrowers and their affiliates at March 31, 2023, and March 31, 2022. The tables also present the interest income from these advances before the impact of interest rate exchange agreements hedging these advances for the three months ended March 31, 2023 and 2022.

March 31, 2023
(In millions)
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
First Republic Bank(2)	$	28,100	28	%	$	176	18	%
MUFG Union Bank, National Association(3)	11,050		11		36		4
Western Alliance Bank	11,000		11		27		3
City National Bank	8,850		9		115		12
Pacific Western Bank	5,450		5		25		3
First Technology Federal Credit Union(4)	4,458		4		38		4
Bank of the West(5)	2,600		3		66		7
Wells Fargo National Bank West	2,000		2		24		2
First Foundation Bank	2,000		2		12		1
Luther Burbank Savings Bank(4)	1,702		2		9		1
Subtotal	77,210		77		528		55
Others	24,809		23		443		45
Total par value	$	102,019	100	%	$	971	100	%

15

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

March 31, 2022
(In millions)
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
MUFG Union Bank, National Association(3)	$	4,050	20	%	$	13	18	%
First Republic Bank(2)	3,700		18		9		13
First Technology Federal Credit Union(4)	1,800		9		8		12
Silvergate Bank	800		4		—		—
Wescom Central Credit Union	760		4		1		2
Luther Burbank Savings	752		4		3		4
Bank of Hope	700		3		1		2
Pacific Western Bank	629		3		—		—
Pacific Premier Bank	600		3		—		—
Banc of California, NA	561		3		3		4
Subtotal	14,352		71		38		55
Others	6,121		29		30		45
Total par value	$	20,473	100	%	$	68	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)    On May 1, 2023, the California Department of Financial Protection and Innovation (DFPI) closed First Republic Bank, appointed the FDIC as receiver, and the FDIC and JPMorgan Chase, National Association, a nonmember, reported that they are entering into a purchase and assumption agreement for substantially all of the assets of First Republic Bank, including $28.1 billion in advances outstanding from the Bank. These advances outstanding are fully collateralized and are not expected to result in any credit loss to the Bank.

(3)    On December 1, 2022, U.S. Bancorp, a nonmember, announced that it completed its acquisition of MUFG Union Bank, National Association.

(4)    An officer or director of the member is a Bank director.

(5)    On February 1, 2023, BMO Harris, a nonmember, announced that it completed its acquisition of Bank of the West.

On March 10, 2023, Silicon Valley Bank was closed by the California Department of Financial Protection and Innovation (DFPI) and the Federal Deposit Insurance Corporation (FDIC) was named as receiver. On March 14, 2023, the FDIC transferred all of the deposits and substantially all of the assets of Silicon Valley Bank to Silicon Valley Bridge Bank, National Association. The advances to Silicon Valley Bank were not transferred to Silicon Valley Bridge Bank, and were repaid by Silicon Valley Bank. On March 26, 2023, the FDIC entered into a purchase and assumption agreement for all the deposits and loans of Silicon Valley Bridge Bank, N.A. with First-Citizens Bank and Trust Company, a nonmember. At March 31, 2023, Silicon Valley Bank had no advances outstanding from the Bank, compared to $15.0 billion in advances outstanding to Silicon Valley Bank at yearend 2022.

Credit Risk Exposure and Security Terms. The Bank manages its credit exposure related to advances 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.

In addition, the Bank lends to member financial institutions that have their principal place of business in Arizona, California, or Nevada, in accordance with federal law and Finance Agency regulations. Specifically, the Bank is required to obtain sufficient collateral to fully secure credit products up to the member’s total credit limit. Borrowers may pledge the following eligible assets to secure advances:

•one-to-four-family first lien residential mortgage loans;

•securities issued, insured, or guaranteed by the U.S. government or any of its agencies, including without limitation MBS backed by Fannie Mae, Freddie Mac, or Ginnie Mae;

•cash or deposits in the Bank;

16

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

•certain other real estate-related collateral, such as certain privately issued MBS, multifamily loans, commercial real estate loans, and second lien residential mortgage loans or home equity loans; and

•small business, small farm, and small agribusiness loans that are fully secured by collateral (such as real estate, equipment and vehicles, accounts receivable, and inventory) from members that are community financial institutions.

The Bank has advances outstanding to former members and member successors, which are subject to the security terms above. The Bank requires each borrowing member to execute a written Advances and Security Agreement, which describes the lending relationship between the Bank and the borrower. At March 31, 2023, and December 31, 2022, the Bank had a perfected security interest in collateral pledged by each borrowing member, or by the member's affiliate on behalf of the member, and by each nonmember borrower, with an estimated value in excess of the outstanding credit products for that borrower. Based on the financial condition of the borrower, the Bank may either (i) allow the borrower or the pledging affiliate to retain physical possession of loan collateral pledged to the Bank, provided that the borrower or the pledging affiliate agrees to hold the collateral for the benefit of the Bank, or (ii) require the borrower or the pledging affiliate to deliver physical possession of loan collateral to the Bank or its custodial agent. All securities collateral is required to be delivered to the Bank’s custodial agent. All loan collateral pledged to the Bank is subject to a Uniform Commercial Code-1 financing statement.

Section 10(e) of the FHLBank Act affords any security interest granted to the Bank by a member or any affiliate of the member or any nonmember borrower priority over claims or rights of any other party, except claims or rights that (i) would be entitled to priority under otherwise applicable law and (ii) are held by bona fide purchasers for value or secured parties with perfected security interests.

At March 31, 2023, and December 31, 2022, none of the Bank’s credit products were past due or on nonaccrual status. There were no modifications to credit products related to borrowers experiencing financial difficulty during the three months ended March 31, 2023.

Based on the collateral pledged as security for advances, the Bank’s credit analyses of borrowers’ financial condition, repayment history on advances, and the Bank’s credit extension and collateral policies as of March 31, 2023, the Bank expects to collect all amounts due according to the contractual terms. Therefore, no allowance for credit losses on advances was deemed necessary by the Bank as of March 31, 2023, and December 31, 2022.

Interest Rate Payment Terms. Interest rate payment terms for advances at March 31, 2023, and December 31, 2022, are detailed below:

(In millions)	March 31, 2023		December 31, 2022
Par value of advances:
Fixed rate:
Due within 1 year	$	42,646	$	47,621
Due after 1 year	37,246		18,050
Total fixed rate	79,892		65,671
Adjustable rate:
Due within 1 year	22,112		23,431
Due after 1 year	15		1,015
Total adjustable rate	22,127		24,446
Total par value	$	102,019	$	90,117

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, 2023, or December 31, 2022. The Bank has generally elected to account for certain advances with embedded features under

17

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

the fair value option, and these advances are carried at fair value on the Statements of Condition. For more information, see Note 11 – Derivatives and Hedging Activities and Note 12 – Fair Value.

Prepayment Fees, Net. The Bank charges borrowers prepayment fees or pays borrowers prepayment credits when the principal on certain advances is paid before original maturity. The Bank records prepayment fees net of any associated fair value adjustments related to prepaid advances that were in hedging relationships. The net amount of prepayment fees received was $95 million for the three months ended March 31, 2023. The net amount of prepayment fees paid was $2 million for the three months ended March 31, 2022.

Note 5 — Mortgage Loans Held for Portfolio

The following table presents information as of March 31, 2023, and December 31, 2022, on mortgage loans held for portfolio, all of which are secured by one- to four-unit residential properties and single-unit homes.

(In millions)	March 31, 2023		December 31, 2022
Fixed rate medium-term mortgage loans	$	13	$	14
Fixed rate long-term mortgage loans	749		761
Subtotal	762		775
Unamortized premiums	42		43
Unamortized discounts	(2)		(2)
Mortgage loans held for portfolio(1)	802		816
Less: Allowance for credit losses	(1)		(1)
Total mortgage loans held for portfolio, net	$	801	$	815

(1)Excludes accrued interest receivable of $5 million and $5 million at March 31, 2023, and December 31, 2022, respectively.

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

Payment Status of Mortgage Loans. Payment status is the key credit quality indicator for conventional mortgage loans and allows the Bank to monitor the migration of past due loans. A past due loan is one where the borrower has failed to make a scheduled full payment of principal and interest within 30 days of its due date. Other delinquency statistics include nonaccrual loans and loans in process of foreclosure. The following tables present the payment status for mortgage loans and other delinquency statistics for the Bank’s mortgage loans at March 31, 2023, and December 31, 2022.

March 31, 2023
(Dollars in millions)	Origination Year
Payment Status	2019 to 2023		Prior to 2019		Amortized Cost(1)
30 – 59 days delinquent	$	2	$	6	$	8
60 – 89 days delinquent	1		1		2
90 days or more delinquent	4		14		18
Total past due	7		21		28
Total current loans	358		416		774
Total mortgage loans held for portfolio	$	365	$	437	$	802
In process of foreclosure, included above(2)					$	2
Nonaccrual loans(3)					$	18
Serious delinquencies as a percentage of total mortgage loans outstanding(4)					2.22		%

18

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

December 31, 2022
(Dollars in millions)	Origination Year
Payment Status	2018 to 2022		Prior to 2018		Amortized Cost(1)
30 – 59 days delinquent	$	4	$	5	$	9
60 – 89 days delinquent	2		1		3
90 days or more delinquent	11		8		19
Total past due	17		14		31
Total current loans	449		336		785
Total mortgage loans held for portfolio	$	466	$	350	$	816
In process of foreclosure, included above(2)					$	3
Nonaccrual loans(3)					$	19
Serious delinquencies as a percentage of total mortgage loans outstanding(4)					2.30		%

(1)    The amortized cost in a loan is the unpaid principal balance of the loan, adjusted for net deferred loan fees or costs, unamortized premiums or discounts, and direct write-downs.

(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)    At March 31, 2023, and December 31, 2022, $6 million and $7 million, respectively, of mortgage loans on nonaccrual status did not have an associated allowance for credit losses because these loans were either previously charged off to the expected recoverable value or the fair value of the underlying collateral, including any credit enhancements, is greater than the amortized cost of the loans.

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

Allowance for Credit Losses on Mortgage Loans Held for Portfolio. Mortgage loans held for portfolio are evaluated on a loan-level basis for expected credit losses, factoring in the credit enhancement structure at the master commitment level. The Bank determines its allowance for credit losses on mortgage loans held for portfolio through analyses that include consideration of various loan portfolio and collateral related characteristics, such as past performance, current conditions, and reasonable and supportable forecasts of expected economic conditions. The Bank uses models that employ a variety of methods, such as projected cash flows, to estimate expected credit losses over the life of the loans. These models rely on a number of inputs, such as current and forecasted property values and interest rates as well as historical borrower behavior experience. At March 31, 2023, the Bank’s reasonable and supportable forecast of housing prices expects, on average, for prices to depreciate 2.7% over a one-year forecast horizon before reverting to long-term housing price appreciation rates of 4.0% after five additional years in the forecast based on historical averages. At December 31, 2022, the Bank’s reasonable and supportable forecast of housing prices expects, on average, for prices to depreciate 0.7% over a one-year forecast horizon before reverting to long-term housing price appreciation rates of 4.0% after five additional years in the forecast based on historical averages. The Bank also incorporates associated credit enhancements, if any, to determine its estimate of expected credit losses.

Certain mortgage loans held for portfolio may be evaluated for credit losses by the Bank using the practical expedient for collateral-dependent assets. A mortgage loan is considered collateral-dependent if repayment is expected to be provided by the sale of the underlying property, that is, if it is considered likely that the borrower will default. The Bank may estimate the fair value of this collateral by applying an appropriate loss severity rate or using third-party estimates or property valuation models. The expected credit loss of a collateral-dependent mortgage loan is equal to the difference between the amortized cost of the loan and the estimated fair value of the collateral, less estimated selling costs. The Bank will either reserve for these estimated losses or record a direct charge-off of the loan balance, if certain triggering criteria are met. Expected recoveries of prior charge-offs, if any, are included in the allowance for credit loss.

At both March 31, 2023 and 2022, the allowance for credit losses on the mortgage loan portfolio was $1 million. The amount of charge-offs and recoveries of allowance for credit losses on the mortgage loan portfolio were de minimis for the three months ended March 31, 2023 and 2022, respectively.

19

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

For more information related to the Bank’s accounting policies for mortgage loans held for portfolio, see “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2022 Form 10-K.

Note 6 — 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 held for portfolio 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 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.

Deposits and interest rate payment terms for deposits as of March 31, 2023, and December 31, 2022, were as follows:

	March 31, 2023				December 31, 2022
(Dollars in millions)	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding		Weighted Average Interest Rate
Interest-bearing deposits:
Adjustable rate	$	1,014	4.65	%	$	983	4.15	%
Fixed rate	2		4.40		—		—
Total interest-bearing deposits	1,016				983
Non-interest-bearing deposits	6				6
Total	$	1,022			$	989

Note 7 — Consolidated Obligations

Consolidated obligations, consisting of bonds and discount notes, are jointly issued by the Federal Home Loan Banks (FHLBanks) through the Office of Finance, which serves as the FHLBanks’ agent. As provided by the Federal Home Loan Bank Act of 1932, as amended (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 Statements and Supplementary Data – Note 16 – Commitments and Contingencies” in the Bank’s 2022 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.

20

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Redemption Terms. The following is a summary of the Bank’s participation in consolidated obligation bonds at March 31, 2023, and December 31, 2022.

(Dollars in millions)	March 31, 2023				December 31, 2022
Contractual Maturity	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding		Weighted Average Interest Rate
Within 1 year	$	62,616	4.62	%	$	58,301	4.05	%
After 1 year through 2 years	23,046		4.12		8,268		2.30
After 2 years through 3 years	4,080		1.26		2,317		1.26
After 3 years through 4 years	3,888		1.11		5,473		0.99
After 4 years through 5 years	1,142		2.97		1,255		1.47
After 5 years	1,182		2.01		1,293		1.73
Total par value	95,954		4.16	%	76,907		3.47	%
Unamortized premiums	—				1
Unamortized discounts	(10)				(5)
Valuation adjustments for hedging activities	(869)				(1,083)
Fair value option valuation adjustments	(41)				(52)
Total	$	95,034			$	75,768

The Bank’s participation in consolidated obligation bonds outstanding includes callable bonds of $23.8 billion at March 31, 2023, and $19.7 billion at December 31, 2022. When a callable bond for which the Bank is the primary obligor is issued, the Bank may simultaneously enter into an interest rate swap (wherein 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 option in a swap). The Bank had notional amounts of interest rate exchange agreements hedging callable bonds of $22.2 billion at March 31, 2023, and $18.1 billion at December 31, 2022. The combined callable swaps and callable bonds enable the Bank to meet its funding needs at lower costs relative to similar tenor 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, 2023, and December 31, 2022, was as follows:

(In millions)	March 31, 2023		December 31, 2022
Par value of consolidated obligation bonds:
Non-callable	$	72,169	$	57,164
Callable	23,785		19,743
Total par value	$	95,954	$	76,907

The following is a summary of the Bank’s participation in consolidated obligation bonds outstanding at March 31, 2023, and December 31, 2022, by the earlier of the year of contractual maturity or next call date.

21

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

(In millions)
Earlier of Contractual Maturity or Next Call Date	March 31, 2023		December 31, 2022
Within 1 year	$	78,409	$	73,049
After 1 year through 2 years	17,154		3,310
After 2 years through 3 years	45		187
After 3 years through 4 years	298		313
After 4 years through 5 years	1		—
After 5 years	47		48
Total par value	$	95,954	$	76,907

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, 2023				December 31, 2022
(Dollars in millions)	Amount Outstanding		Weighted Average Interest Rate (1)		Amount Outstanding		Weighted Average Interest Rate (1)
Par value	$	37,668	4.70	%	$	36,159	4.13	%
Unamortized discounts	(312)				(230)
Total	$	37,356			$	35,929

(1)Represents yield to maturity excluding concession fees.

Interest Rate Payment Terms. Interest rate payment terms for consolidated obligations at March 31, 2023, and December 31, 2022, 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 8 – Consolidated Obligations” in the Bank’s 2022 Form 10-K.

(In millions)	March 31, 2023		December 31, 2022
Par value of consolidated obligations:
Bonds:
Fixed rate	$	34,856	$	25,632
Adjustable rate	60,275		48,997
Step-up	823		2,278
Total bonds, par value	95,954		76,907
Discount notes, par value	37,668		36,159
Total consolidated obligations, par value	$	133,622	$	113,066

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, 2023, or December 31, 2022. 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 11 – Derivatives and Hedging Activities and Note 12 – Fair Value.

22

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Note 8 — Accumulated Other Comprehensive Income/(Loss)

The following table summarizes the changes in Accumulated Other Comprehensive Income (AOCI) for the three months ended March 31, 2023 and 2022:

(In millions)	Net Unrealized Gain/(Loss) on AFS Securities		Pension and Postretirement Benefits		Total AOCI
Balance, December 31, 2021	$	340	$	(9)	$	331
Other comprehensive income/(loss):
Net change in fair value	(149)				(149)
Net current period other comprehensive income/(loss)	(149)		—		(149)
Balance, March 31, 2022	$	191	$	(9)	$	182
Balance, December 31, 2022	$	(14)	$	(15)	$	(29)
Other comprehensive income/(loss):
Net change in fair value	(32)				(32)
Net current period other comprehensive income/(loss)	(32)		—		(32)
Balance, March 31, 2023	$	(46)	$	(15)	$	(61)

Note 9 — Capital

Capital Requirements. 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. For further information related to the Bank’s capital requirements, see “Item 8. Financial Statements and Supplementary Data – Note 11 – Capital” in the Bank’s 2022 Form 10-K.

As of March 31, 2023, and December 31, 2022, the Bank complied with these capital rules and requirements as shown in the following table.

	March 31, 2023						December 31, 2022
(Dollars in millions)	Required			Actual			Required			Actual
Risk-based capital	$	1,095		$	8,228		$	898		$	7,757
Total regulatory capital	$	5,700		$	8,228		$	4,842		$	7,757
Total regulatory capital ratio	4.00		%	5.77		%	4.00		%	6.41		%
Leverage capital	$	7,125		$	12,342		$	6,053		$	11,636
Leverage ratio	5.00		%	8.66		%	5.00		%	9.61		%

The Bank’s capital plan requires each member to own capital stock in an amount equal to the greater of its membership capital stock requirement or its activity-based capital stock requirement. The Bank may adjust these requirements from time to time within ranges established in the capital plan. Any changes to the capital plan must be approved by the Bank’s board of directors and the Finance Agency. For information on the Bank’s membership capital stock requirement and activity-based capital stock requirement, see “Item 8. Financial Statements and Supplementary Data – Note 11 – Capital – Capital Requirements” in the Bank’s 2022 Form 10-K.

Mandatorily Redeemable Capital Stock. The Bank had mandatorily redeemable capital stock totaling $95 million outstanding to five institutions at March 31, 2023, and $5 million outstanding to three institutions at December 31, 2022. The change in mandatorily redeemable capital stock for the three months ended March 31, 2023 and 2022 was as follows:

23

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	Three Months Ended
(In millions)	March 31, 2023		March 31, 2022
Balance at the beginning of the period	$	5	$	3
Reclassified from/(to) capital during the period	195		32
Repurchase/redemption of mandatorily redeemable capital stock	(105)		(28)
Balance at the end of the period	$	95	$	7

Cash dividends on mandatorily redeemable capital stock were recorded as interest expense of de minimis amounts for the three months ended March 31, 2023 and 2022.

The following table presents mandatorily redeemable capital stock amounts by contractual redemption period at March 31, 2023, and December 31, 2022.

(In millions)
Contractual Redemption Period	March 31, 2023		December 31, 2022
After 3 years through 4 years	$	4	$	1
After 4 years through 5 years	90		3
Past contractual redemption date because of remaining activity(1)	1		1
Total	$	95	$	5

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

The Bank’s mandatorily redeemable capital stock is discussed more fully in “Item 8. Financial Statements and Supplementary Data – Note 11 – Capital” in the Bank’s 2022 Form 10-K.

Excess Stock Repurchase, Retained Earnings, and Dividend Framework. The Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework (Framework) assesses the level and adequacy of retained earnings and establishes amounts to be retained in restricted retained earnings, which are not made available in the current dividend period, and maintains an amount of total retained earnings at least equal to its required retained earnings as described in the Framework. The methodology may be revised from time to time, and the required level of required retained earnings under the methodology may change due to updating data and assumptions used in the methodology. In January 2023, the required level of retained earnings was increased from $2.6 billion to $2.7 billion. The Bank’s retained earnings requirement may be changed at any time. The board of directors periodically reviews the retained earnings methodology and analysis to determine whether any adjustments are appropriate.

The Bank satisfies its retained earnings requirement with both restricted retained earnings (i.e., amounts related to the Joint Capital Enhancement (JCE) Agreement) and unrestricted retained earnings. The JCE Agreement is intended to enhance the capital position of each FHLBank. In accordance with the JCE Agreement, each FHLBank is required to reclassify an amount equal to 20% of its net income each quarter to a separate restricted retained earnings account until the balance of the account, calculated as of the last day of each calendar quarter, equals at least 1% of that FHLBank's average balance of outstanding consolidated obligations for the calendar quarter. Under the JCE Agreement, these restricted retained earnings will not be available to pay dividends. The JCE Agreement also provides that amounts in restricted retained earnings in excess of 150% of the Bank’s restricted retained earnings minimum (i.e., 1% of the Bank’s total consolidated obligations calculated as of the last day of each calendar quarter) may be released from restricted retained earnings.

As a result of the Bank exceeding this threshold, the Bank reclassified $16 million from restricted retained earnings to unrestricted retained earnings during the first quarter of 2022. The Bank made no reclassifications from restricted retained earnings to unrestricted retained earnings during the first quarter of 2023. The Bank’s restricted retained earnings totaled $770 million and $732 million at March 31, 2023, and December 31, 2022, respectively. The

24

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Bank’s unrestricted retained earnings totaled $3.4 billion and $3.3 billion at March 31, 2023, and December 31, 2022, respectively.

For information on restricted retained earnings and the Bank’s Framework, see “Item 8. Financial Statements and Supplementary Data – Note 11 – Capital” in the Bank’s 2022 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. For information on dividend payments, see “Item 8. Financial Statements and Supplementary Data – Note 11 – Capital” in the Bank’s 2022 Form 10-K.

In addition, Finance Agency rules do not permit the Bank to pay dividends in the form of capital stock if its excess stock exceeds 1% of its total assets. Excess 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. Excess stock totaled $136 million, or 0.10% of total assets as of March 31, 2023. Excess stock totaled $157 million, or 0.13% of total assets as of December 31, 2022.

In the first quarter of 2023, the Bank paid dividends at an annualized rate of 7.00%, totaling $63 million, including $63 million in dividends on capital stock and a de minimis amount in dividends on mandatorily redeemable capital stock. In the first quarter of 2022, the Bank paid dividends at an annualized rate of 6.00%, totaling $35 million, including $35 million in dividends on capital stock and a de minimis amount 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, 2023, the Bank’s board of directors declared a quarterly cash dividend on the capital stock outstanding during the first quarter of 2023 at an annualized rate of 7.00%, totaling $67 million. The Bank recorded the dividend on April 27, 2023, and expects to pay the dividend on May 11, 2023.

Excess Stock – The Bank’s capital plan provides that the Bank may repurchase some or all of a shareholder’s excess stock at the Bank’s discretion, subject to certain statutory and regulatory requirements. The Bank may also repurchase all of a member’s excess stock at a member’s request, at the Bank’s discretion, subject to certain statutory and regulatory requirements. For information on excess stock, see “Item 8. Financial Statements and Supplementary Data – Note 11 – Capital” in the Bank’s 2022 Form 10-K. The Bank repurchased $1.9 billion and $0.8 billion in excess stock during the first quarter of 2023 and 2022, 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 2023 and 2022, the Bank redeemed a de minimis amount in mandatorily redeemable capital stock, for which the five-year redemption period had expired, at its $100 par value per share. 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.

Concentration. The following table presents the concentration in capital stock held by institutions whose capital stock ownership represented 10% or more of the Bank’s outstanding capital stock, including mandatorily redeemable capital stock, as of March 31, 2023, or December 31, 2022:

25

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	March 31, 2023				December 31, 2022
(Dollars in millions)	Capital Stock Outstanding		Percentage of Total Capital Stock Outstanding		Capital Stock Outstanding		Percentage of Total Capital Stock Outstanding
First Republic Bank(1)	$	759	19	%	$	379	10	%
Silicon Valley Bank(2)	—		—		418		11
Subtotal	759		19		797		21
Others	3,343		81		2,966		79
Total	$	4,102	100	%	$	3,763	100	%

(1) On May 1, 2023, the California DFPI closed First Republic Bank, appointed the FDIC as receiver, and the FDIC and JPMorgan Chase, National Association, a nonmember, reported that they are entering into a purchase and assumption agreement for substantially all of the assets of First Republic Bank, including the advances outstanding from the Bank. Upon assumption of the advances outstanding by JPMorgan Chase, National Association, the Bank will transfer $759 million of capital stock of the Bank, held by First Republic Bank, to JPMorgan Chase, National Association, and reclassify that capital stock to mandatorily redeemable as a liability in the Bank’s Statements of Condition.

(2) On March 10, 2023, the FDIC was appointed as receiver for Silicon Valley Bank. On March 14, 2023, the FDIC transferred all of the deposits and substantially all of the assets of Silicon Valley Bank to Silicon Valley Bridge Bank, National Association. The advances and capital stock held by Silicon Valley Bank were not transferred to Silicon Valley Bridge Bank and were repaid and redeemed, respectively. On March 26, 2023, the FDIC entered into a purchase and assumption agreement for all the deposits and loans of Silicon Valley Bridge Bank, N.A. with First-Citizens Bank and Trust Company, a nonmember.

Note 10 — 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” in other income/(loss), excludes interest income and expense associated with changes in fair value from fair value hedges that are recorded in the same line as the earnings effect of the hedged item, and excludes interest expense that is recorded in “Mandatorily redeemable capital stock.” AHP assessments are not included in the segment reporting analysis but are 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 10 – Segment Information” in the Bank’s 2022 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, 2023 and 2022.

26

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

(In millions)	Advances- Related Business		Mortgage- Related Business(1)		Adjusted Net Interest Income		Amortization of Basis Adjustments and (Gain)/Loss on Fair Value Hedges(2)		Income/(Expense) on Economic Hedges(3)		Interest Expense on Mandatorily Redeemable Capital Stock(4)		Net Interest Income After Provision for/(Reversal of) Credit Losses		Other Income/ (Loss)		Other Expense		Income/(Loss) Before AHP Assessment
Three Months Ended:
March 31, 2023	$	240	$	53	$	293	$	10	$	(5)	$	—	$	288	$	(26)	$	45	$	217
March 31, 2022	31		68		99		(7)		—		—		106		18		38		86

(1)    The mortgage-related business includes total accretion or amortization associated with other-than-temporarily impaired PLRMBS, which are recognized in interest income, totaling $11 million and $14 million for the three months ended March 31, 2023 and 2022, respectively. The mortgage-related business includes a provision for/(reversal of) credit losses that totaled $(1) million and $(3) million for the three months ended March 31, 2023 and 2022, respectively.

(2)    Represents amortization of amounts deferred for adjusted net interest income purposes only and changes in fair value of the derivative hedging instrument and the hedged item attributable to the hedged risk for designated fair value hedges recorded in net interest income.

(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/(loss) in “Net gain/(loss) on derivatives.”

(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, 2023, and December 31, 2022.

(In millions)	Advances- Related Business		Mortgage- Related Business		Total Assets
March 31, 2023	$	130,303	$	12,190	$	142,493
December 31, 2022	109,330		11,726		121,056

Note 11 — 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 obligations to create variable rate structures. The interest rate exchange agreements are generally executed at the same time the advances and consolidated obligations are transacted and generally have the same maturity dates as the related hedged instrument. The Bank transacts most of its derivatives with large banks and major broker-dealers.

For more information related to the Bank’s accounting policies for derivatives, see “Item 8. Financial Statements and Supplementary Data – Note 14 – Derivatives and Hedging Activities” in the Bank’s 2022 Form 10-K. For more information related to the Bank’s accounting policies for derivatives, see “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2022 Form 10-K.

27

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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, 2023, and December 31, 2022. For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest.

	March 31, 2023						December 31, 2022
(In millions)	Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities		Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	88,096	$	696	$	916	$	69,204	$	799	$	1,062
Derivatives not designated as hedging instruments:
Interest rate swaps	101,535		38		107		47,589		50		133
Total derivatives before netting and collateral adjustments	$	189,631	734		1,023		$	116,793	849		1,195
Netting adjustments and cash collateral(1)			(728)		(1,012)				(823)		(1,193)
Total derivative assets and total derivative liabilities			$	6	$	11			$	26	$	2

(1)    Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral, including accrued interest, held or placed with the same clearing agents or counterparty. Cash collateral posted, including accrued interest, was $585 million and $694 million at March 31, 2023, and December 31, 2022, respectively. Cash collateral received, including accrued interest, was $300 million and $324 million at March 31, 2023, and December 31, 2022, respectively.

The following tables present, by type of hedged item, the gains and losses on fair value hedging relationships and the impact of those derivatives on the Bank’s Statements of Income for the three months ended March 31, 2023 and 2022.

	Three Months Ended March 31, 2023
	Interest Income/(Expense)
(In millions)	Advances		AFS Securities		Consolidated Obligation Bonds
Total interest income/(expense) presented in the Statements of Income	$	1,163	$	190	$	(920)
Gain/(loss) on fair value hedging relationships
Derivatives(1)	$	(301)	$	(149)	$	84
Hedged items	189		232		(214)
Net gain/(loss) on fair value hedging relationships	(112)		83		(130)
Net amortization of basis adjustments on discontinued hedging relationships	(8)		(25)		—
Net gain/(loss) on derivatives and hedging activities recorded in net interest income	$	(120)	$	58	$	(130)

28

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	Three Months Ended March 31, 2022
	Interest Income/(Expense)
(In millions)	Advances		AFS Securities		Consolidated Obligation Bonds
Total interest income/(expense) presented in the Statements of Income	$	39	$	54	$	(12)
Gain/(loss) on fair value hedging relationships
Derivatives(1)	$	320	$	429	$	(436)
Hedged items	(340)		(439)		460
Net gain/(loss) on fair value hedging relationships	(20)		(10)		24
Net amortization of basis adjustments on discontinued hedging relationships	(7)		(27)		—
Net gain/(loss) on derivatives and hedging activities recorded in net interest income	$	(27)	$	(37)	$	24

(1)Includes net interest settlements.

The following table presents the cumulative basis adjustments on hedged items designated as fair value hedges and the related amortized cost of the hedged items as of March 31, 2023, and December 31, 2022.

	March 31, 2023						December 31, 2022
(In millions)	Advances		AFS Securities		Consolidated Obligation Bonds		Advances		AFS Securities		Consolidated Obligation Bonds
Amortized cost of hedged asset/(liability)(1)	$	44,708	$	12,234	$	(30,791)	$	34,535	$	11,574	$	(21,976)
Fair value hedging basis adjustments:
Active hedging relationships included in amortized cost	$	(526)	$	(1,164)	$	869	$	(740)	$	(1,410)	$	1,083
Discontinued hedging relationships included in amortized cost	73		705		—		70		740		—
Total amount of fair value hedging basis adjustments	$	(453)	$	(459)	$	869	$	(670)	$	(670)	$	1,083

(1)Includes only the portion of amortized cost representing the hedged items in fair value hedging relationships.

The following table presents the components of net gain/(loss) on derivatives as presented in the Statements of Income for the three months ended March 31, 2023 and 2022.

29

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	Three Months Ended
(In millions)	March 31, 2023		March 31, 2022
Derivatives not designated as hedging instruments	Gain/(Loss)		Gain/(Loss)
Economic hedges:
Interest rate swaps	$	(28)	$	8
Net interest settlements	(5)		—
Total net gain/(loss) related to derivatives not designated as hedging instruments	(33)		8
Price alignment amount(1)	(1)		—
Net gain/(loss) on derivatives	$	(34)	$	8

(1)This amount relates to derivatives for which variation margin on cleared derivatives is characterized as a daily settled contract.

Credit Risk. The Bank is subject to credit risk from 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, credit guidelines, and Finance Agency and other regulations. The Bank also requires credit support agreements on all uncleared derivatives.

For cleared derivatives, the clearing house is the Bank’s counterparty. The requirement that the Bank post initial and variation margin through a clearing agent to the clearing house exposes the Bank to institutional credit risk if the clearing agent fails to meet its obligations. The use of a clearing house, or central counterparty, lowers overall credit risk exposure because it employs standard valuation and initial and variation margin processes and is specifically designed to withstand remote but plausible counterparty default credit events. Variation margin is posted or collected for changes in the value of the portfolio, and initial margin is posted for changes in risk profile of the portfolio. The Bank 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 clearing house or clearing agent insolvency and under applicable clearing house rules upon a non-insolvency-based event of default of the clearing house 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 clearing house.

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. 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, 2023, was $555 million, for which the Bank posted cash collateral of $556 million in the ordinary course of business.

Additional information related to uncleared margin rules for uncleared derivative transactions are included in “Item 8. Financial Statements and Supplementary Data - Note 14 - Derivatives and Hedging Activities” in the Bank’s 2022 Form 10-K.

30

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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 tables present 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, 2023, and December 31, 2022.

	March 31, 2023
	Derivative Instruments Meeting Netting Requirements
(In millions)	Amount Recognized		Gross Amount of Netting Adjustments and Cash Collateral		Total Derivative Assets and Total Derivative Liabilities		Noncash Collateral Not Offset That  Can Be Sold or Repledged		Net Amount(1)
Derivative Assets
Uncleared	$	727	$	(723)	$	4	$	—	$	4
Cleared	7		(5)		2		(864)		866
Total					$	6			$	870
Derivative Liabilities
Uncleared	$	986	$	(980)	$	6	$	—	$	6
Cleared	37		(32)		5		—		5
Total					$	11			$	11

	December 31, 2022
	Derivative Instruments Meeting Netting Requirements
(In millions)	Amount Recognized		Gross Amount of Netting Adjustments and Cash Collateral		Total Derivative Assets and Total Derivative Liabilities		Noncash Collateral Not Offset That  Can Be Sold or Repledged		Net Amount(1)
Derivative Assets
Uncleared	$	834	$	(829)	$	5	$	—	$	5
Cleared	15		6		21		(435)		456
Total					$	26			$	461
Derivative Liabilities
Uncleared	$	1,188	$	(1,186)	$	2	$	—	$	2
Cleared	7		(7)		—		—		—
Total					$	2			$	2

(1) Any over-collateralization at the Bank’s individual clearing agent and/or counterparty level is not included in the determination of the net amount. At March 31, 2023, the Bank had additional net credit exposure of $6 million due to instances where non-cash collateral to a counterparty exceeded the Bank’s net derivative position. There was no such additional net credit exposure at December 31, 2022.

Note 12 — 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, 2023, and December 31, 2022. 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

31

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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. U.S. GAAP defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., an exit price). 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 net carrying value or carrying value, as applicable, the estimated fair value, and the fair value hierarchy level of the Bank’s financial instruments at March 31, 2023, and December 31, 2022. The Bank records trading securities, AFS securities, derivative assets, derivative liabilities, certain advances, certain consolidated obligations, and certain other assets at fair value on a recurring basis, and on occasion certain mortgage loans held for portfolio and certain other assets at fair value on a nonrecurring basis. The Bank records all other financial assets and liabilities at amortized cost. Refer to the following tables for further details about the financial assets and liabilities held at fair value on either a recurring or non-recurring basis.

	March 31, 2023
(In millions)	Carrying Value(1)		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral(2)
Assets
Cash and due from banks	$	17	$	17	$	17	$	—	$	—	$	—
Interest-bearing deposits	3,760		3,760		3,760		—		—		—
Securities purchased under agreements to resell	11,100		11,100		—		11,100		—		—
Federal funds sold	9,427		9,427		—		9,427		—		—
Trading securities	1		1		—		1		—		—
AFS securities	13,320		13,320		—		12,170		1,150		—
HTM securities	2,104		2,068		—		1,932		136		—
Advances	101,541		101,354		—		101,354		—		—
Mortgage loans held for portfolio	801		689		—		689		—		—
Accrued interest receivable	178		178		—		178		—		—
Derivative assets, net(2)	6		6		—		734		—		(728)
Other assets(3)	16		16		16		—		—		—
Liabilities
Deposits	1,022		1,022		—		1,022		—		—
Consolidated obligations:
Bonds	95,034		94,704		—		94,704		—		—
Discount notes	37,356		37,355		—		37,355		—		—
Total consolidated obligations	132,390		132,059		—		132,059		—		—
Mandatorily redeemable capital stock	95		95		95		—		—		—
Accrued interest payable	508		508		—		508		—		—
Derivative liabilities, net(2)	11		11		—		1,023		—		(1,012)

32

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	December 31, 2022
	Carrying Value(1)		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral(2)
Assets
Cash and due from banks	$	9	$	9	$	9	$	—	$	—	$	—
Interest-bearing deposits	3,677		3,677		3,677		—		—		—
Securities purchased under agreements to resell	7,000		7,000		—		7,000		—		—
Federal funds sold	4,719		4,719		—		4,719		—		—
Trading securities	1		1		—		1		—		—
AFS securities	12,713		12,713		—		11,531		1,182		—
HTM securities	2,181		2,136		—		1,993		143		—
Advances	89,400		89,183		—		89,183		—		—
Mortgage loans held for portfolio	815		695		—		695		—		—
Accrued interest receivable	313		313		—		313		—		—
Derivative assets, net(2)	26		26		—		849		—		(823)
Other assets(3)	15		15		15		—		—		—
Liabilities			—
Deposits	989		989		—		989		—		—
Consolidated obligations:			—
Bonds	75,768		75,396		—		75,396		—		—
Discount notes	35,929		35,916		—		35,916		—		—
Total consolidated obligations	111,697		111,312		—		111,312		—		—
Mandatorily redeemable capital stock	5		5		5		—		—		—
Accrued interest payable	326		326		—		326		—		—
Derivative liabilities, net(2)	2		2		—		1,195		—		(1,193)

(1)    For certain financial instruments, the amounts represent net carrying value, which includes an allowance for credit losses.

(2)    Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed with the same clearing agents or counterparty.

(3)    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. An active market for the asset or liability is a market in which the transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis.

•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:

33

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

(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. Valuations are derived from techniques that use significant assumptions not observable in the market, which include pricing models, discounted cash flow models, or similar techniques.

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, 2023:

•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. For the periods presented, the Bank did not have any reclassifications for transfers in or out of level 3 of the fair value hierarchy.

Summary of Valuation Methodologies and Primary Inputs. For information related to the valuation methodologies and primary inputs used to develop the measurement of fair value for assets and liabilities that are measured at fair value on a recurring or nonrecurring basis in the Statements of Condition, see “Item 8. Financial Statements and Supplementary Data – Note 15 – Fair Value” in the Bank’s 2022 Form 10-K. There have been no significant changes in these valuation methodologies and primary inputs during the three months ended March 31, 2023.

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 may have a material effect on the fair value estimates.

Fair Value Measurements. The following tables present the fair value of assets and liabilities, which are recorded on a recurring or nonrecurring basis at March 31, 2023, and December 31, 2022, by level within the fair value hierarchy.

34

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

March 31, 2023
	Fair Value Measurement Using:						Netting Adjustments  and Cash Collateral(1)
(In millions)	Level 1		Level 2		Level 3				Total
Recurring fair value measurements – Assets:
Trading securities:
MBS – Other U.S. obligations	$	—	$	1	$	—	$	—	$	1
AFS securities:
U.S. obligations – Treasury notes	—		4,078		—		—		4,078
MBS:
GSEs – multifamily	—		8,092		—		—		8,092
PLRMBS	—		—		1,150		—		1,150
Subtotal AFS MBS	—		8,092		1,150		—		9,242
Total AFS securities	—		12,170		1,150		—		13,320
Advances(2)	—		2,392		—		—		2,392
Derivative assets, net: interest rate-related	—		734		—		(728)		6
Other assets	16		—		—		—		16
Total recurring fair value measurements – Assets	$	16	$	15,297	$	1,150	$	(728)	$	15,735
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	782	$	—	$	—	$	782
Derivative liabilities, net: interest rate-related	—		1,023		—		(1,012)		11
Total recurring fair value measurements – Liabilities	$	—	$	1,805	$	—	$	(1,012)	$	793
Nonrecurring fair value measurements – Assets:(4)
Impaired mortgage loans held for portfolio	$	—	$	—	$	16	$	—	$	16
Total nonrecurring fair value measurements – Assets	$	—	$	—	$	16	$	—	$	16

35

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

December 31, 2022
	Fair Value Measurement Using:						Netting Adjustments  and Cash Collateral(1)
(In millions)	Level 1		Level 2		Level 3				Total
Recurring fair value measurements – Assets:
Trading securities:
MBS – Other U.S. obligations	$	—	$	1	$	—	$	—	$	1
AFS securities:
U.S. obligations – Treasury notes	—		4,024		—		—		4,024
MBS:
GSEs – multifamily	—		7,507		—		—		7,507
PLRMBS	—		—		1,182		—		1,182
Subtotal AFS MBS	—		7,507		1,182		—		8,689
Total AFS securities	—		11,531		1,182		—		12,713
Advances(2)	—		2,059		—		—		2,059
Derivative assets, net: interest rate-related	—		849		—		(823)		26
Other assets	15		—		—		—		15
Total recurring fair value measurements – Assets	$	15	$	14,440	$	1,182	$	(823)	$	14,814
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	2,226	$	—	$	—	$	2,226
Derivative liabilities, net: interest rate-related	—		1,195		—		(1,193)		2
Total recurring fair value measurements – Liabilities	$	—	$	3,421	$	—	$	(1,193)	$	2,228
Nonrecurring fair value measurements – Assets:(4)
Impaired mortgage loans held for portfolio	$	—	$	—	$	20	$	—	$	20
Total nonrecurring fair value measurements – Assets	$	—	$	—	$	20	$	—	$	20

(1)Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed by the Bank, with the same clearing agents or counterparty.

(2)Represents advances recorded under the fair value option at March 31, 2023, and December 31, 2022.

(3)Represents consolidated obligation bonds recorded under the fair value option at March 31, 2023. and December 31, 2022.

(4)The fair value information presented is as of the date the fair value adjustment was recorded during the three months ended March 31, 2023 and year ended December 31, 2022.

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, 2023 and 2022.

36

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	Three Months Ended
(In millions)	March 31, 2023		March 31, 2022
Balance, beginning of the period	$	1,182	$	1,608
Total gain/(loss) realized and unrealized included in:
Interest income	11		14
(Provision for)/reversal of credit losses	1		3
Other income/(loss)	—		28
Unrealized gain/(loss) included in AOCI	(11)		(33)
Settlements	(33)		(177)
Transfers of HTM securities to AFS securities	—		16
Balance, end of the period	$	1,150	$	1,459
Total amount of unrealized gain/(loss) for the period included in AOCI relating to assets held at the end of the period	$	(11)	$	(33)
Total amount of gain/(loss) for the period included in earnings attributable to the change in unrealized gains/losses relating to assets held at the end of the period	$	12	$	17

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

For more information on the Bank’s election of the fair value option, see “Item 8. Financial Statements and Supplementary Data – Note 15 – Fair Value” in the Bank’s 2022 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 recording fair value changes of only the hedging 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, 2023 and 2022:

	Three Months Ended
	March 31, 2023				March 31, 2022
(In millions)	Advances		Consolidated Obligation Bonds		Advances		Consolidated Obligation Bonds
Balance, beginning of the period	$	2,059	$	2,226	$	1,772	$	627
New transactions elected for fair value option	550		30		10		1,325
Maturities and terminations	(238)		(1,485)		(144)		—
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds from changes in fair value recognized in earnings	18		17		(49)		(28)
Change in accrued interest	3		(6)		—		—
Balance, end of the period	$	2,392	$	782	$	1,589	$	1,924

37

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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. For advances and consolidated obligations recorded under the fair value option, the Bank determined that none of the remaining changes in fair value were related to instrument-specific credit risk for the three months ended March 31, 2023, 2022, and 2021. In determining that there has been no change in instrument-specific credit risk period to period, the Bank primarily considered the following factors:

•The Bank is a federally chartered GSE, and as a result of this status, the consolidated obligations have historically received the same credit ratings as the government bond credit rating of the United States, even though they are not obligations of the United States and are not guaranteed by the United States.

•The Bank is jointly and severally liable with the other FHLBanks for the payment of principal and interest on all consolidated obligations of each of the FHLBanks.

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, 2023, and December 31, 2022:

	March 31, 2023						December 31, 2022
(In millions)	Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance		Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance
Advances(1)	$	2,417	$	2,392	$	(25)	$	2,106	$	2,059	$	(47)
Consolidated obligation bonds	823		782		(41)		2,278		2,226		(52)

(1)    At March 31, 2023, and December 31, 2022, none of these advances were 90 days or more past due or had been placed on nonaccrual status.

Note 13 — 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, 2023, 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 $1.5 trillion at March 31, 2023, and $1.2 trillion at December 31, 2022. The par value of the Bank’s participation in consolidated obligations was $133.6 billion at March 31, 2023, and $113.1 billion at December 31, 2022.

For more information on the joint and several liability regulation, see “Item 8. Financial Statements and Supplementary Data – Note 16 – Commitments and Contingencies” in the Bank’s 2022 Form 10-K.

38

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Off-balance sheet commitments as of March 31, 2023, and December 31, 2022, were as follows:

	March 31, 2023						December 31, 2022
(In millions)	Expire Within One Year		Expire After One Year		Total		Expire Within One Year		Expire After One Year		Total
Standby letters of credit outstanding	$	11,855	$	10,483	$	22,338	$	16,591	$	6,049	$	22,640
Commitments to issue consolidated obligation discount notes, par	—		—		—		300		—		300
Commitments to issue consolidated obligation bonds, par	—		—		—		2,385		—		2,385

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 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 $71 million and $34 million at March 31, 2023, and December 31, 2022. 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 for credit losses on the letters of credit outstanding or other off-balance sheet commitments as of March 31, 2023, and December 31, 2022.

There were no commitments to fund advances at March 31, 2023, and December 31, 2022. Advances funded under advance commitments are fully collateralized at the time of funding.

The Bank has pledged securities as collateral related to its cleared and uncleared derivatives. See Note 11 – Derivatives and Hedging Activities for additional information about the Bank’s pledged collateral and other credit risk-related contingent features. As of March 31, 2023, the Bank had pledged total collateral of $1.4 billion, including securities with a carrying value of $864 million, all of which may be repledged, and cash collateral, including accrued interest, of $585 million to counterparties and the clearing house that had market risk exposure to the Bank related to derivatives. As of December 31, 2022, the Bank had pledged total collateral of $1.1 billion, including securities with a carrying value of $435 million, all of which may be repledged, and cash collateral, including accrued interest, of $694 million to counterparties and the clearing house that had market risk exposure to the Bank related to derivatives.

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 14 — Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks

Transactions with Members and Nonmembers. The following tables set 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.

39

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

(In millions)	March 31, 2023		December 31, 2022
Assets:
Advances	$	8,575	$	7,269
Mortgage loans held for portfolio	79		80
Accrued interest receivable	8		9
Liabilities:
Deposits	$	18	$	11
Capital:
Capital Stock	$	260	$	215

	Three Months Ended
(In millions)	March 31, 2023		March 31, 2022
Interest Income:
Advances	$	69	$	13
Mortgage loans held for portfolio	1		—

All transactions with members, nonmembers, and their affiliates are entered into in the ordinary course of business. As of March 31, 2023 and December 31, 2022, 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 17 – Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks” in the Bank’s 2022 Form 10-K.

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

Deposits with other FHLBanks. The Bank may, from time to time, maintain deposits with other FHLBanks. Deposits with other FHLBanks totaled de minimis amounts at March 31, 2023, and December 31, 2022, and were recorded as “Interest-bearing deposits” in the Statements of Condition.

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 interest income and interest expense in the Statements of Income. Balances outstanding at period end with other FHLBanks, if any, are identified in the Bank’s financial statements. During the three months ended March 31, 2023 and 2022, the Bank extended overnight loans to other FHLBanks for $1.3 billion and $0.7 billion, respectively. During the three months ended March 31, 2023 and 2022, the Bank borrowed $3.6 billion and $20 million, respectively, from other FHLBanks. The impact to net interest income related to these transactions was $(1) million for the three months ended March 31, 2023 and was de minimis for the three months ended March 31, 2022.

MPF Mortgage Loans. The Bank pays a transaction services fee to the FHLBank Chicago that is assessed monthly based on the amount of mortgage loans in which the Bank invested and which remain outstanding on its Statements of Condition. Prior to 2022, the Bank paid a membership fee to the FHLBank of Chicago for its participation in the MPF Program. For the three months ended March 31, 2023 and 2022, the Bank recorded a de minimis amount in transaction services fee expense to the FHLBank Chicago, which was recorded in the Statements of Income as other expense.

40

Note 15 — Subsequent Events

On May 1, 2023, the California DFPI closed First Republic Bank, appointed the FDIC as receiver, and the FDIC and JPMorgan Chase, National Association, a nonmember, reported that they are entering into a purchase and assumption agreement for all the deposits and substantially all of the assets of First Republic Bank, including $28.1 billion in advances outstanding from the Bank. The May 1, 2023 advances outstanding balance is unchanged compared to the outstanding balance at March 31, 2023. Upon assumption of the advances outstanding by JPMorgan Chase, National Association, the Bank will transfer $759 million of capital stock of the Bank, held by First Republic Bank, to JPMorgan Chase, National Association, and reclassify that capital stock to mandatorily redeemable as a liability in the Bank’s Statements of Condition. Additionally, as of May 1, 2023, First Republic Bank had $179.1 million in letters of credit outstanding compared to $161.9 million outstanding as of March 31, 2023. These advances outstanding and letters of credit are fully collateralized and are not expected to result in any credit loss to the Bank.

41

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,” “plan,” “project,” “should,” “will,” “would,” “possible,” 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 redeem or repurchase excess stock, future credit 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 inflation and rising interest rates, and conditions in the mortgage, housing, and capital markets;

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

•the timing and volume of market activity;

•natural disasters, pandemics or other widespread public health emergencies, terrorist attacks, civil unrest, geopolitical instability or conflicts (including the ongoing hostilities in Russia and Ukraine), trade disruptions, economic or other sanctions, or other unanticipated or catastrophic events;

•changes to, and replacement of, the London Interbank Offered Rate (LIBOR) benchmark interest rate, and the use and acceptance of the Secured Overnight Financing Rate (SOFR) and any alternative reference rate;

•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 and composition;

•changes in the Bank’s capital stock requirements;

•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 withdrawal of one or more large 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) or the terms of interest rate exchange or similar agreements;

•the impact of any changes and developments in FHLBank System-wide debt issuance and governance practices;

•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;

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•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 (including cyber-security risks); 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, 2022 (2022 Form 10-K).

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Quarterly Overview

Net income for the first quarter of 2023 was $195 million, compared with net income of $78 million for the first quarter of 2022. The $117 million increase in net income for the first quarter of 2023, relative to the prior-year period, was primarily attributable to an increase in net interest income for the quarter of $184 million, partially offset by a decline in other income/(loss) of $44 million.

The $184 million increase in net interest income for the quarter was primarily attributable to higher yields on higher average balances of advances and investments, partially offset by higher interest costs on higher funding levels. The increase in net interest income was also attributable to the increase of $97 million in net advance prepayment fees.

The $44 million decline in other income/(loss) for the quarter was primarily attributable to an increase of $42 million in net losses from derivatives, mainly attributable to interest rate swaps economically hedging advances prepaid during the quarter, partially offset by an increase of $22 million in net fair value gains associated with financial instruments carried at fair value. The decline in other income/(loss) was also attributable to $28 million in settlement proceeds received in the first quarter of 2022 from the final resolution of putback litigation (to which the Bank was not a party). There was no similar activity during the first quarter of 2023.

At March 31, 2023, total assets were $142.5 billion, an increase of $21.4 billion from $121.1 billion at December 31, 2022. Advances increased to $101.5 billion at March 31, 2023, from $89.4 billion at December 31, 2022, an increase of $12.1 billion, as member demand for advances continued to increase. During the quarter, advance balances reached higher levels than the balance at March 31, 2023. Total investments increased by $9.4 billion to $39.7 billion at March 31, 2023, from $30.3 billion at December 31, 2022, primarily attributable to liquidity management in connection with advances growth. The increase in investments was largely the result of increases of $4.7 billion in federal funds sold, $4.1 billion in securities purchased under agreements to resell, and $0.5 billion in mortgage-backed securities.

As of March 31, 2023, the Bank complied with all regulatory capital requirements. The Bank exceeded its 4.0% regulatory requirement with a regulatory capital ratio of 5.8% at March 31, 2023. The decline in the regulatory capital ratio from 6.4% at December 31, 2022, was mainly attributable to an increase in total assets. The Bank also exceeded its risk-based capital requirement of $1.1 billion with $8.2 billion in permanent capital. Total retained earnings increased to $4.1 billion as of March 31, 2023, from $4.0 billion at yearend 2022.

On April 27, 2023, the Bank’s board of directors declared a quarterly cash dividend on the average capital stock outstanding during the first quarter of 2023 at an annualized rate of 7.00%. The quarterly dividend rate is consistent with the Bank's dividend philosophy of endeavoring to pay a quarterly dividend at a rate between 5% and 7% annualized. The quarterly dividend will total $67 million, and the Bank expects to pay the dividend on May 11, 2023.

During the first quarter, events affecting the financial services industry resulted in significant changes in the liquidity of some of the largest regional financial institutions, some of which have experienced significant deposit outflows and financial difficulties, resulting in the liquidation or receivership of two of the Bank’s larger borrowers.

On March 10, 2023, Silicon Valley Bank was closed by the California Department of Financial Protection and Innovation (DFPI) and the Federal Deposit Insurance Corporation (FDIC) was appointed as receiver. The FDIC created Silicon Valley Bridge Bank, N.A., whereby all of the deposits and substantially all assets of Silicon Valley Bank were transferred to the bridge bank. As of March 31, 2023, Silicon Valley Bank, N.A., has prepaid all outstanding advances to the Bank. On March 26, 2023, the FDIC entered into a purchase and assumption agreement for all the deposits and loans of Silicon Valley Bridge Bank, N.A. with First-Citizens Bank and Trust Company.

On March 8, 2023, Silvergate Capital Corporation, the parent company of Silvergate Bank, announced its intent to wind down the operations of and voluntarily liquidate Silvergate Bank. As of March 1, 2023, Silvergate Bank had no advances outstanding from the Bank, a reduction of $4.3 billion from yearend 2022.

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To fund the liquidity needs of FHLBank members, the FHLBanks, including the Bank, experienced a significant increase of debt issuance in the quarter. If the advances outstanding to these and other institutions are not replaced when repaid, the decrease in advances may result in a reduction of the Bank’s total assets, capital, and net income. The timing and magnitude of the impact of a decrease in the amount of advances would depend on a number of factors, including: the amount and the period over which the advances were prepaid or repaid; the amount and timing of any corresponding decreases in activity-based capital stock; the profitability of the advances; the timing and severity of declines in interest rates for comparable instruments; the extent to which consolidated obligations mature as the advances are prepaid or repaid; and the Bank’s ability to extinguish consolidated obligations or transfer them to other FHLBanks and the associated costs. A decrease in advances could also affect the rate of dividends paid to the Bank’s shareholders and the Bank’s ability to redeem or repurchase its capital stock.

On May 1, 2023, the California DFPI closed First Republic Bank, appointed the FDIC as receiver, and the FDIC and JPMorgan Chase, National Association, a nonmember, reported that they are entering into a purchase and assumption agreement for all the deposits and substantially all of the assets of First Republic Bank, including $28.1 billion in advances outstanding from the Bank. The May 1, 2023 advances outstanding balance is unchanged compared to the outstanding balance at March 31, 2023. Upon assumption of the advances outstanding by JPMorgan Chase, National Association, the Bank will transfer $759 million of capital stock of the Bank, held by First Republic Bank, to JPMorgan Chase, National Association, and reclassify that capital stock to mandatorily redeemable as a liability in the Bank’s Statements of Condition. Additionally, as of May 1, 2023, First Republic Bank had $179.1 million in letters of credit outstanding compared to $161.9 million outstanding as of March 31, 2023. These advances outstanding and letters of credit are fully collateralized and are not expected to result in any credit loss to the Bank.

Due to the recent events affecting the ownership structure of the Bank’s largest members, if the advances outstanding to these institutions are not replaced when repaid, the decrease in advances may result in a reduction of the Bank’s total assets, capital, and net income. The loss of the Bank’s largest members may also potentially reduce the opportunity for the Bank to grow advances and may impact the Bank’s long-term strategic plan and corporate goals. The timing and magnitude of the impact of a decrease in the amount of advances would depend on a number of factors, including, but not limited to: the amount and the period over which the advances were prepaid or repaid; the amount and timing of any corresponding decreases in activity-based capital stock; the profitability of the advances; the extent to which consolidated obligations mature as the advances are prepaid or repaid; and the Bank’s ability to extinguish consolidated obligations or transfer them to other FHLBanks and the associated costs. A decrease in advances could also affect the rate of dividends paid to the Bank’s shareholders. See “Management’s Discussion and Analysis of Financial Condition and Results of Operations - Financial Condition - Segment Information - Advances-Related Business” for more information on the Bank’s largest members.

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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, 2023			December 31, 2022			September 30, 2022			June 30, 2022			March 31, 2022
Selected Balance Sheet Items at Quarter End
Total Assets	$	142,493		$	121,056		$	108,507		$	87,602		$	56,129
Advances	101,541			89,400			65,658			43,221			20,246
Mortgage Loans Held for Portfolio, Net	801			815			834			863			914
Investments(1)	39,712			30,291			41,661			43,153			34,629
Consolidated Obligations:(2)
Bonds	95,034			75,768			35,446			26,076			28,702
Discount Notes	37,356			35,929			62,046			53,132			19,744
Capital Stock —Class B —Putable	4,007			3,758			3,322			2,754			2,097
Unrestricted Retained Earnings	3,356			3,262			3,222			3,198			3,183
Restricted Retained Earnings	770			732			708			692			692
Accumulated Other Comprehensive Income/(Loss) (AOCI)	(61)			(29)			12			100			182
Total Capital	8,072			7,723			7,264			6,744			6,154
Selected Operating Results for the Quarter
Net Interest Income	$	287		$	181		$	157		$	126		$	103
Provision for/(Reversal of) Credit Losses	(1)			6			9			3			(3)
Other Income/(Loss)	(26)			—			(18)			(31)			18
Other Expense	45			45			41			38			38
Affordable Housing Program Assessment	22			13			9			6			8
Net Income/(Loss)	$	195		$	117		$	80		$	48		$	78
Selected Other Data for the Quarter
Net Interest Margin(3)	0.88		%	0.62		%	0.63		%	0.67		%	0.78		%
Return on Average Assets	0.60			0.40			0.32			0.25			0.59
Return on Average Equity	10.14			6.24			4.52			2.85			4.91
Annualized Dividend Rate	7.00			7.00			6.00			6.00			6.00
Dividend Payout Ratio(4)	32.00			45.97			49.98			69.80			44.63
Average Equity to Average Assets Ratio	5.93			6.47			7.16			8.81			11.91
Selected Other Data at Quarter End
Regulatory Capital Ratio(5)	5.77			6.41			6.69			7.59			10.65
Duration Gap (in months)	0.9			0.9			1.0			0.9			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 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, 2023, 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:

	Par Value (In millions)
March 31, 2023	$	1,477,668
December 31, 2022	1,181,743
September 30, 2022	1,031,910
June 30, 2022	882,481
March 31, 2022	699,530

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

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(4)This ratio is calculated as dividends per share declared, recorded, and paid during the period 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, including net accretion of related income from improvement in expected cash flows on certain PLRMBS with previous credit losses related to the prior methodology of evaluating credit losses, 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, 2023 and 2022, together with the related interest income and expense. It also presents the average rates on total interest-earning assets and the average costs of total funding sources.

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First Quarter of 2023 Compared to First Quarter of 2022

Average Balance Sheets
	Three Months Ended
	March 31, 2023							March 31, 2022
(Dollars in millions)	Average Balance			Interest Income/ Expense		Average Rate		Average Balance			Interest Income/ Expense		Average Rate
Assets
Interest-earning assets:
Interest-bearing deposits	$	4,383		$	50	4.60	%	$	1,322		$	—	0.16	%
Securities purchased under agreements to resell	7,991			92		4.65		2,125			1		0.11
Federal funds sold	11,529			130		4.57		9,256			3		0.12
Trading securities:
Mortgage-backed securities (MBS)	1			—		2.79		2			—		1.78
Other investments	—			—		—		47			—		2.04
Available-for-sale (AFS) securities:(1)
MBS(2)(3)(4)	8,841			141		6.47		9,228			54		2.35
Other investments(3)	4,012			49		4.99		452			—		0.34
Held-to-maturity (HTM) securities:
MBS	2,134			24		4.49		2,997			7		1.03
Mortgage loans held for portfolio(5)	809			7		3.49		943			17		7.27
Advances(3)(6)	91,743			1,163		5.14		26,859			39		0.59
Loans to other FHLBanks	21			—		4.63		8			—		0.15
Total interest-earning assets	131,464			1,656		5.11		53,239			121		0.92
Other assets(7)	366			—				707			—
Total Assets	$	131,830		$	1,656			$	53,946		$	121
Liabilities and Capital
Interest-bearing liabilities:
Consolidated obligations:
Bonds(3)	$	83,204		$	920	4.48	%	$	25,170		$	12	0.20	%
Discount notes	38,692			435		4.56		20,702			6		0.12
Deposits and other borrowings	1,150			13		4.76		1,117			—		0.11
Mandatorily redeemable capital stock	113			—		0.36		4			—		6.25
Borrowings from other FHLBanks	114			1		4.65		—			—		0.08
Total interest-bearing liabilities	123,273			1,369		4.51		46,993			18		0.16
Other liabilities(7)	742			—				530			—
Total Liabilities	124,015			1,369				47,523			18
Total Capital	7,815			—				6,423			—
Total Liabilities and Capital	$	131,830		$	1,369			$	53,946		$	18
Net Interest Income				$	287						$	103
Net Interest Spread(8)						0.60	%						0.76	%
Net Interest Margin(9)						0.88	%						0.78	%
Interest-earning Assets/Interest-bearing Liabilities	106.65		%					113.29		%

(1)The average balances of AFS securities are reflected at amortized cost. As a result, the average rates do not reflect changes in fair value.

(2)Interest income on AFS securities includes accretion of yield adjustments on certain PLRMBS (resulting from improvement in expected cash flows) with previous credit losses related to the prior methodology of evaluating credit losses, totaling $7 million and $8 million for the three months ended March 31, 2023 and 2022, respectively.

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

	Three Months Ended
	March 31, 2023
(In millions)	Advances		AFS Securities		Consolidated Obligation Bonds		Total
(Amortization)/accretion of hedging activities	$	(8)	$	(25)	$	—	$	(33)
Net gain/(loss) on derivatives and hedged items	(217)		(6)		(5)		(228)
Net interest settlements on derivatives	105		89		(125)		69
Total net interest income/(expense)	$	(120)	$	58	$	(130)	$	(192)

	Three Months Ended
	March 31, 2022
(In millions)	Advances		AFS Securities		Consolidated Obligation Bonds		Total
(Amortization)/accretion of hedging activities	$	(7)	$	(27)	$	—	$	(34)
Net gain/(loss) on derivatives and hedged items	1		3		—		4
Net interest settlements on derivatives	(21)		(13)		24		(10)
Total net interest income/(expense)	$	(27)	$	(37)	$	24	$	(40)

(4)Interest income includes net prepayment fees on AFS MBS of $4 million and $4 million for the three months ended March 31, 2023 and 2022, respectively.

(5)Nonperforming mortgage loans are included in average balances used to determine average rate. Interest income from retrospective adjustment of the effective yields was $1 million and $11 million for the three months ended March 31, 2023 and 2022, respectively. Interest income includes amortization of upfront loan costs and delivery commitments of $(1) million and $(2) million for the three months ended March 31, 2023 and 2022, respectively.

(6)Interest income includes net prepayment fees on advances of $95 million and $(2) million for the three months ended March 31, 2023 and 2022, respectively.

(7)Includes forward settling transactions and valuation adjustments for certain cash items received/(paid).

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

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

Net interest income in the first quarter of 2023 was $287 million, a 179% increase from $103 million in the first quarter of 2022. The following table details the changes in interest income and interest expense for the first quarter of 2023 compared to the first quarter of 2022. Changes in both volume and interest rates influence changes in net interest income, net interest spread, and net interest margin.

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Change in Net Interest Income: Rate/Volume Analysis Three Months Ended March 31, 2023, Compared to Three Months Ended March 31, 2022
	Increase/ (Decrease)		Attributable to Changes in(1)
(In millions)			Average Volume		Average Rate
Interest-earning assets:
Interest-bearing deposits	$	50	$	4	$	46
Securities purchased under agreements to resell	91		6		85
Federal funds sold	127		1		126
AFS securities:
MBS(2)	87		(2)		89
Other investments(2)	49		18		31
HTM securities: MBS	17		(3)		20
Mortgage loans held for portfolio	(10)		(2)		(8)
Advances(2)	1,124		267		857
Total interest-earning assets	1,535		289		1,246
Interest-bearing liabilities:
Consolidated obligations:
Bonds(2)	908		88		820
Discount notes	429		9		420
Deposits and other borrowings	13		—		13
Borrowings from other FHLBanks	1		1		—
Total interest-bearing liabilities	1,351		98		1,253
Net interest income	$	184	$	191	$	(7)

(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 88 basis points for the first quarter of 2023, 10 basis points higher than the net interest margin for the first quarter of 2022, which was 78 basis points. The net interest spread was 60 basis points for the first quarter of 2023, 16 basis points lower than the net interest spread for the first quarter of 2022, which was 76 basis points. The increase in net interest margin is the result of an increase in the average rate paid on interest earning assets to 5.11% for the three months ended March 31, 2023 compared to 0.92% for the three months ended March 31, 2022. Although significantly higher interest rates were the primary factor affecting interest income, the higher average balances of advances and investments were also a contributing factor. These effects were partially offset by an increase in costs of interest-bearing liabilities from higher funding levels and costs.

For PLRMBS with previous credit losses related to the prior methodology of evaluating credit losses, the Bank updates its estimate of future estimated cash flows on a regular basis. If there is no additional credit loss on the security, the yield of the security is adjusted on a prospective basis and accreted into interest income based on the expected cash flows. As a result of improvements in the estimated cash flows of these securities, the net accretion of income may 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.

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Other Income/(Loss). The following table presents the components of “Other Income/(Loss)” for the three months ended March 31, 2023 and 2022.

Other Income/(Loss)
	Three Months Ended
(In millions)	March 31, 2023		March 31, 2022
Other Income/(Loss):
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option	$	1	$	(21)
Net gain/(loss) on derivatives	(34)		8
Private-label residential mortgage-backed securities trust settlement	—		28
Standby letters of credit fees	5		4
Other, net	2		(1)
Total Other Income/(Loss)	$	(26)	$	18

Net Gain/(Loss) on Advances and Consolidated Obligation Bonds Held Under Fair Value Option – The following table presents the net gain/(loss) recognized in earnings on advances and consolidated obligation bonds held under the fair value option for the three months ended March 31, 2023 and 2022.

Net Gain/(Loss) on Advances and Consolidated Obligations Bonds Held Under Fair Value Option
	Three Months Ended
(In millions)	March 31, 2023		March 31, 2022
Advances	$	18	$	(49)
Consolidated obligation bonds	(17)		28
Total	$	1	$	(21)

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 12 – Fair Value.”

Net Gain/(Loss) on Derivatives – Under the accounting guidance for derivative instruments and hedging activities, the Bank is required to carry all of its derivative instruments on the Statements of Condition at fair value. Certain derivatives are associated with assets or liabilities but do not qualify as fair value hedges under the accounting guidance for derivative instruments and hedging activities. These economic hedges are recorded on the Statements of Condition at fair value with the unrealized gain or loss recorded in earnings without any offsetting unrealized gain or loss from the associated asset or liability.

The following table shows the accounting classification of economic hedges and the categories of hedged items that contributed to the gains and losses on derivatives that were recorded in “Net gain/(loss) on derivatives” in the first quarter of 2023 and 2022.

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Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives Three Months Ended March 31, 2023, Compared to Three Months Ended March 31, 2022
	Three Months Ended
(In millions)	March 31, 2023						March 31, 2022
Hedged Item	Gain/(Loss) on Economic Hedges		Income/ (Expense) on Economic Hedges		Total		Gain/(Loss) on Economic Hedges		Income/ (Expense) on Economic Hedges		Total
Advances:
Elected for fair value option	$	(20)	$	10	$	(10)	$	45	$	(8)	$	37
Not elected for fair value option	(45)		8		(37)		18		5		23
Consolidated obligation bonds:
Elected for fair value option	16		(14)		2		(23)		1		(22)
Not elected for fair value option	16		(9)		7		(32)		1		(31)
Consolidated obligation discount notes:
Not elected for fair value option	5		—		5		(1)		1		—
MBS:
Not elected for fair value option	—		—		—		1		—		1
Price alignment amount(1)	(1)		—		(1)		—		—		—
Total	$	(29)	$	(5)	$	(34)	$	8	$	—	$	8

(1)This amount relates to derivatives for which variation margin on cleared derivatives is characterized as a daily settled contract.

During the first quarter of 2023, net losses on derivatives totaled $34 million compared to net gains of $8 million in the first quarter of 2022. These amounts included expense of $5 million and expense of a de minimis amount resulting from net settlements on derivative instruments used in economic hedges in the first quarter of 2023 and 2022, respectively. Excluding the impact of income or expense from net settlements on derivative instruments used in economic hedges, the net gains or losses on 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 11 – Derivatives and Hedging Activities.”

PLRMBS Trust Settlement – One of the Bank’s PLRMBS investments is held within a trust that has been the subject of litigation by the trustee since 2012. Upon final resolution of the litigation, to which the Bank was not a party, the trustee was required to transmit settlement proceeds to the trust. In the first quarter of 2022, as a result of the distribution of the settlement proceeds to the beneficial owners of the securities in the trust, including the Bank, the Bank recorded settlement proceeds of $28 million as income during the three months ended March 31, 2022. There was no similar activity during the three months ended March 31, 2023.

Other Expense. During the first quarter of 2023, other expenses totaled $45 million, compared to $38 million in the first quarter of 2022. The increase was mostly attributable to an increase in compensation and benefits throughout the Bank’s workforce as a result of a comprehensive compensation study in order to retain talent.

Return on Average Equity. Return on average equity (ROE) was 10.14% (annualized) for the first quarter of 2023, compared to 4.91% (annualized) for the first quarter of 2022. The increase reflected higher net income for the first quarter of 2023, which increased 150%, from $78 million in the first quarter of 2022 to $195 million in the first quarter of 2023, partially offset by an increase in average equity from $6.4 billion in the first quarter of 2022 to $7.8 billion in the first quarter of 2023.

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Dividends and Retained Earnings. In the first quarter of 2023, the Bank paid dividends at an annualized rate of 7.00%, totaling $63 million, including $63 million in dividends on capital stock and a de minimis amount in dividends on mandatorily redeemable capital stock. In the first quarter of 2022, the Bank paid dividends at an annualized rate of 6.00%, totaling $35 million, including $35 million in dividends on capital stock and a de minimis amount 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.

For more information, see “Item 1. Financial Statements – Note 9 – Capital” in this report and see “Item 1. Business – Dividends and Retained Earnings,” “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Liquidity Risk,” and “Item 8. Financial Statements and Supplementary Data – Note 11 – Capital – Excess Stock Repurchase, Retained Earnings, and Dividend Framework” in the Bank’s 2022 Form 10-K.

Financial Condition

Total assets were $142.5 billion at March 31, 2023, compared to $121.1 billion at December 31, 2022. Advances increased by $12.1 billion, or 14%, to $101.5 billion at March 31, 2023, from $89.4 billion at December 31, 2022. Average total assets were $131.8 billion for the first quarter of 2023, a 144% increase from $53.9 billion for the first quarter of 2022. Average advances were $91.7 billion for the first quarter of 2023, a 242% increase from $26.9 billion for the first quarter of 2022. Average MBS investments were $11.0 billion for the first quarter of 2023, a 10% decrease from $12.2 billion for the first quarter of 2022.

Advances outstanding at March 31, 2023, included net unrealized losses of $478 million, of which $453 million represented unrealized losses on advances hedged in accordance with the accounting for derivative instruments and hedging activities and $25 million represented unrealized losses on economically hedged advances that are carried at fair value in accordance with the fair value option. Advances outstanding at December 31, 2022, included net unrealized losses of $717 million, of which $670 million represented unrealized losses on advances hedged in accordance with the accounting for derivative instruments and hedging activities and $47 million represented unrealized losses on economically hedged advances that are carried at fair value in accordance with the fair value option. The change in the net unrealized losses on the hedged advances and advances carried at fair value from December 31, 2022, to March 31, 2023, 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 $134.4 billion at March 31, 2023, an increase of $21.1 billion from $113.3 billion at December 31, 2022, primarily reflecting a $20.7 billion increase in consolidated obligations outstanding to $132.4 billion at March 31, 2023, from $111.7 billion at December 31, 2022. Average total liabilities were $124.0 billion for the first quarter of 2023, a 161% increase compared to $47.5 billion for the first quarter of 2022. Average consolidated obligations were $121.9 billion for the first quarter of 2023 and $45.9 billion for the first quarter of 2022.

Accumulated other comprehensive income/(loss) decreased by $32 million during the first three months of 2023, to $(61) million at March 31, 2023, from $(29) million at December 31, 2022, mainly attributable to lower fair values of investment securities classified as AFS, which primarily reflected higher interest rate spreads during the first three months of 2023, mostly impacting the Bank’s agency MBS portfolio.

Consolidated obligations outstanding at March 31, 2023, included net unrealized gains of $869 million on consolidated obligation bonds hedged in accordance with the accounting for derivative instruments and hedging activities and unrealized gains of $41 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, 2022, included net unrealized gains of $1.1 billion on consolidated obligation bonds hedged in accordance with the

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accounting for derivative instruments and hedging activities and unrealized gains of $52 million on economically hedged consolidated obligation bonds that are carried at fair value in accordance with the fair value option. The change in the net unrealized gains on the hedged consolidated obligation bonds and on the consolidated obligation bonds carried at fair value from December 31, 2022, to March 31, 2023, 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, 2023, 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 $1.5 trillion at March 31, 2023, and $1.2 trillion at December 31, 2022.

LIBOR Transition. Certain Bank assets and derivatives are indexed to LIBOR. The Bank recognizes that the impending discontinuation of LIBOR presents risks and challenges that could have an impact on the Bank’s business. For information about the risks to the Bank from discontinuation of LIBOR, see “Item 1A. Risk Factors” in the Bank’s 2022 Form 10-K. Accordingly, the Bank has established the LIBOR Transition Working Group, led by the Chief Financial Officer, and developed a LIBOR Phase Out Transition Plan (Transition Plan). Among other things, the Transition Plan identifies key strategies to manage and mitigate the risks associated with the discontinuation of LIBOR and promotes the use of robust benchmarks, like SOFR, in the Bank’s financial activities. In addition, the Transition Plan prohibits new LIBOR transactions, consistent with the limits set by the Finance Agency’s Supervisory Letter issued on September 27, 2019. The Transition Plan states that the Bank’s Asset and Liability Management Committee has primary responsibility for driving the transition from LIBOR to SOFR and that the Bank’s Business Development Committee is responsible for advance product development to facilitate Bank members’ transition from LIBOR to an alternative index.

On October 21, 2020, the Finance Agency issued a Supervisory Letter to the FHLBanks that required each FHLBank to adhere to the Fallbacks Protocol (Protocol) by December 31, 2020, and, to the extent necessary, to amend any bilateral agreements regarding the adoption of the Protocol by December 15, 2020. On October 23, 2020, International Swaps and Derivatives Association, Inc. (ISDA) launched the Supplement to the 2006 ISDA Definitions (Supplement) and the ISDA 2020 Interbank Offered Rate (IBOR) Protocol. Both the Supplement and the Protocol took effect on January 25, 2021. As part of its LIBOR transition efforts, the Bank and all of its uncleared derivatives counterparties have adhered to the Protocol. On January 25, 2021, all of the Bank’s outstanding legacy bilateral derivative transactions that referenced a covered IBOR, including U.S. dollar LIBOR, were amended to apply the new ISDA-recommended IBOR fallbacks in the event of the relevant IBOR’s cessation.

On March 5, 2021, the United Kingdom’s Financial Conduct Authority (FCA) further announced that LIBOR will either cease to be provided by any administrator or no longer be representative immediately after June 30, 2023, in the case of the remaining U.S. dollar LIBOR settings.

The FCA’s announcements constitutes an index cessation event under the Protocol and Supplement, and as a result, the fallbacks spread adjustment for each tenor was fixed as of the date of the announcement.

On March 15, 2022, the Adjustable Interest Rate (LIBOR) Act was signed into law. On a nationwide basis, the legislation provides a statutory fallback mechanism to replace LIBOR with a benchmark rate, selected by the Federal Reserve Board and based on SOFR, including any applicable tenor spread adjustment, for certain contracts that reference LIBOR and contain no fallback provisions or insufficient fallback provisions. On December 16, 2022, the Federal Reserve Board finalized rules to implement the Adjustable Interest Rate (LIBOR) Act by identifying specific benchmark rates based on SOFR that will replace LIBOR in certain financial contracts after June 30, 2023. The final rule provides default rules for certain contracts (covered contracts) that: reference LIBOR, are governed by U.S. law, do not mature on or before the LIBOR replacement date, and lack adequate provisions to identify a

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replacement rate for LIBOR. The final rule identifies separate Board-selected replacement rates for derivatives transactions, covered GSE contracts, and all other covered contracts. The final rule became effective on February 27, 2023.

The following tables present LIBOR-indexed variable rate financial instruments for LIBOR tenors that cease or will no longer be representative immediately after June 30, 2023, by due date or termination date at March 31, 2023, and December 31, 2022.

LIBOR-Indexed Financial Instruments
March 31, 2023
(In millions)	Due/Terminates through June 30, 2023		Due/Terminates thereafter		Total
Assets indexed to LIBOR:
Unpaid principal balance of MBS by contractual maturity(1)	$	5	$	2,859	$	2,864
Notional amount of receive leg LIBOR interest rate swaps by termination date
Cleared	13		177		190
Uncleared	6		—		6
Total	$	24	$	3,036	$	3,060

    

December 31, 2022
(In millions)	Due/Terminates through June 30, 2023		Due/Terminates thereafter		Total
Assets indexed to LIBOR:
Unpaid principal balance of MBS by contractual maturity(1)	$	5	$	2,953	$	2,958
Notional amount of receive leg LIBOR interest rate swaps by termination date
Cleared	303		182		485
Uncleared	19		—		19
Total	$	327	$	3,135	$	3,462
Notional amount of pay leg LIBOR interest rate swaps by termination date - Cleared	$	50	$	5	$	55

(1)Certain MBS with multiple indices where LIBOR is the majority index are included in this amount.

All adjustable rate consolidated obligation bonds are indexed to SOFR, totaling $60.3 billion at March 31, 2023, and $49.0 billion at December 31, 2022.

For more information on LIBOR-indexed advances, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations – Financial Condition – Segment Information – Advances-Related Business.” For more information on LIBOR-indexed investments and derivatives, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management.”

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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” in other income/(loss), excludes interest income and expense associated with changes in fair value of the derivative hedging instrument and the hedged item attributable to the hedged risk for designated fair value hedges that are recorded in net interest income, and excludes interest expense that is recorded in “Mandatorily redeemable capital stock.” Affordable Housing Program (AHP) assessments are not included in the segment reporting analysis but are 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 8. Financial Statements – Note 10 – Segment Information.”

Advances-Related Business. The advances-related business consists of advances and other credit products, related financing and hedging instruments, liquidity and other non-MBS investments associated with the Bank’s role as a liquidity provider, and capital. Assets associated with this segment increased $21.0 billion to $130.3 billion (91% of total assets) at March 31, 2023, from $109.3 billion (90% of total assets) at December 31, 2022.

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 attributed to the Bank’s capital stock and retained earnings.

Adjusted net interest income for this segment was $240 million in the first quarter of 2023, an increase of $209 million, or 674%, compared to $31 million in the first quarter of 2022. This quarterly increase was primarily a result of an improvement in spreads on advances-related assets and higher balances of advances and other credit products and also included a $97 million increase in net prepayment fee income, resulting from higher advance prepayments relative to the prior year, pursuant to the contractual terms of the underlying advance agreements.

Adjusted net interest income for this segment represented 82% and 31% of total adjusted net interest income for the first quarters of 2023 and 2022, respectively.

Advances – The par value of advances outstanding increased by $11.9 billion, or 13%, to $102.0 billion at March 31, 2023, from $90.1 billion at December 31, 2022. Average advances outstanding were $91.7 billion for the first quarter of 2023, a 242% increase from $26.9 billion for the first quarter of 2022. Outstanding balances of advances may significantly increase and decrease from period to period because of a member’s liquidity and financial strategies; therefore, yearend balances may vary significantly from average balances for the year.

The Bank had a high concentration of advances and capital with certain institutions and their affiliates. Advances outstanding to the Bank’s top 10 borrowers and their affiliates increased by $13.3 billion to $77.2 billion, or 76% of total advances outstanding at March 31, 2023, from $63.9 billion, or 71% of total advances outstanding at December 31, 2022. (See “Item 1. Financial Statements – Note 5 – Advances – Concentration Risk” for further information.)

Several of the Bank’s members that were among the top 10 advance borrowers have recently been involved in voluntary liquidation or Federal Deposit Insurance Corporation (FDIC) receivership or have been acquired by nonmember institutions. The loss of advances outstanding to these members is likely to have an adverse impact on the Bank’s advance balances, and, over time, its financial performance.

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On May 1, 2023, the California DFPI closed First Republic Bank, appointed the FDIC as receiver, and the FDIC and JPMorgan Chase, National Association, a nonmember, reported that they are entering into a purchase and assumption agreement for all the deposits and substantially all of the assets of First Republic Bank, including $28.1 billion in advances outstanding from the Bank. The May 1, 2023 advances outstanding balance is unchanged compared to the outstanding balance at March 31, 2023.

On March 10, 2023, Silicon Valley Bank was closed by the California DFPI and FDIC was named as receiver. On March 14, 2023, the FDIC transferred all of the deposits and substantially all of the assets of Silicon Valley Bank to Silicon Valley Bridge Bank, N.A. The advances to Silicon Valley Bank were not transferred to Silicon Valley Bridge Bank, and were repaid by Silicon Valley Bank. On March 26, 2023, the FDIC entered into a purchase and assumption agreement for all the deposits and loans of Silicon Valley Bridge Bank, N.A. with First-Citizens Bank and Trust Company, a nonmember. At March 31, 2023, Silicon Valley Bank had no advances outstanding from the Bank, compared to $15.0 billion in advances outstanding to Silicon Valley Bank at yearend 2022.

On March 8, 2023, Silvergate Capital Corporation, the parent company of Silvergate Bank, announced its intent to wind down the operations of and voluntarily liquidate Silvergate Bank. At March 31, 2023, Silvergate Bank had no advances outstanding from the Bank, a reduction of $4.3 billion from yearend 2022.

On February 1, 2023, BMO Harris, a nonmember, announced that it completed the acquisition of Bank of the West. Bank of the West held $2.6 billion and $4.3 billion of the Bank’s total advances at March 31, 2023 and December 31, 2022, respectively. As of March 31, 2023, Bank of the West was no longer a member of the Bank.

On December 1, 2022, U.S. Bancorp, a nonmember, announced that it completed its acquisition of Union Bank and expects to complete the systems integration of Union Bank in the first half of 2023. Union Bank held $11.1 billion and $4.3 billion of the Bank’s advances at March 31, 2023, and December 31, 2022, respectively. If Union Bank is no longer a member of the Bank or U.S. Bancorp does not become a member of the Bank, the Bank’s total advances may be reduced.

The Bank has a significant long-term funding arrangement with a borrower that had advances outstanding as of March 31, 2023, and December 31, 2022, and the borrower may further contribute to the level of outstanding advances in the future.

The following table presents the advances portfolio at March 31, 2023, and December 31, 2022.

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Advances Portfolio by Product Type
	March 31, 2023				December 31, 2022
(Dollars in millions)	Par Value		Percentage of Total Par Value		Par Value		Percentage of Total Par Value
Adjustable – SOFR	$	5,090	5	%	2,690		3	%
Adjustable – SOFR, callable at borrower’s option	8,850		9		9,500		11
Subtotal adjustable rate advances	13,940		14		12,190		14
Fixed	39,228		39		45,471		50
Fixed – amortizing	56		—		60		—
Fixed – with PPS(1)	727		1		965		1
Fixed – with FPS(1)	38,191		37		18,035		20
Fixed – callable at borrower’s option with FPS(1)	340		—		340		—
Fixed – putable at Bank’s option with FPS(1)	1,350		1		800		1
Subtotal fixed rate advances	79,892		78		65,671		72
Daily variable rate	8,187		8		12,256		14
Total par value	$	102,019	100	%	$	90,117	100	%

(1)Partial prepayment symmetry (PPS) and full prepayment symmetry (FPS) are product features 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. In November 2018, the Bank discontinued offering advances with PPS, and 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 $28.4 billion and $19.4 billion as of March 31, 2023, and December 31, 2022, respectively.

As of March 31, 2023, and December 31, 2022, the Bank had $4.1 billion and $4.0 billion, respectively, of non-MBS investments classified as AFS with fixed rates of interest. No such investments had variable rates of interest at either March 31, 2023, or December 31, 2022.

Borrowings – Total liabilities (primarily consolidated obligations) funding the advances-related business increased to $122.2 billion at March 31, 2023, from $101.6 billion at December 31, 2022. 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 13 – 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 types of consolidated obligation bonds are issued on behalf of the Bank, the Bank typically enters into interest rate exchange agreements with features that offset the complex features of the bonds to convert the bonds to adjustable rate instruments. For example, the Bank may issue fixed rate callable bonds and simultaneously execute an interest rate exchange agreement with call features to offset the call options embedded in the callable bonds.

At March 31, 2023, the notional amount of interest rate exchange agreements associated with the advances-related business totaled $172.9 billion, of which $55.4 billion were hedging advances, $57.7 billion were hedging consolidated obligations, $4.3 billion were hedging non-MBS investments, and $55.5 billion were offsetting derivatives. At December 31, 2022, the notional amount of interest rate exchange agreements associated with the advances-related business totaled $100.3 billion, of which $48.0 billion were hedging advances, $46.7 billion were

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hedging consolidated obligations, $4.3 billion were hedging non-MBS investments, and $1.3 billion were offsetting derivatives. The hedges associated with advances and consolidated obligations were primarily used to convert the fixed rate cash flows of the advances and consolidated obligations to adjustable rate 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.

The current range of the Federal funds rate, established by the Federal Open Market Committee (FOMC), is 4.75% to 5.00%. At its March 2023 meeting, the FOMC raised the target range of the Federal funds rate by 0.25%, anticipating that ongoing increases in the target range will be appropriate to return inflation to 2% over time. Interest rate changes have and are expected to continue to increase the volatility of reported earnings. In addition, the FOMC is expected to continue reducing its holdings of U.S. Treasury securities, agency debt, and agency MBS to reduce the size of the Federal Reserve’s balance sheet. The following table presents a comparison of selected market interest rates as of the selected dates.

Selected Market Interest Rates
Market Instrument	March 31, 2023		December 31, 2022		March 31, 2022		December 31, 2021
Federal Reserve target range for overnight Federal funds	4.75-5.00	%	4.25-4.50	%	0.25-0.50	%	0.00-0.25	%
Secured Overnight Financing Rate	4.87		4.30		0.29		0.05
3-month Treasury bill	4.76		4.34		0.50		0.04
2-year Treasury note	4.06		4.43		2.34		0.73
5-year Treasury note	3.61		4.01		2.46		1.26

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. (“Mortgage Partnership Finance” and “MPF” are registered trademarks of the FHLBank of Chicago.) Adjusted net interest income for this segment is derived primarily from the difference, or spread, between the yield on the MBS investments and mortgage loans and the cost of the consolidated obligations funding those assets, including the net settlements from associated interest rate exchange agreements. Assets associated with this segment were $12.2 billion (9% of total assets) at March 31, 2023, and $11.7 billion at December 31, 2022 (10% of total assets).

Adjusted net interest income for this segment was $53 million in the first quarter of 2023, a decrease of $15 million, or 22%, from $68 million in the first quarter of 2022. This quarterly decrease was primarily a result of lower earnings on mortgage-related products, a decline in retrospective adjustment of the effective yields on mortgage loans, and current expected credit loss reversals.

Adjusted net interest income for this segment represented 18% and 69% of total adjusted net interest income for the first quarter of 2023 and 2022, respectively.

MBS Investments – The Bank’s MBS portfolio was $11.3 billion at March 31, 2023, compared with $10.9 billion at December 31, 2022. During the first quarter of 2023, the Bank’s MBS portfolio increased as a result of $439 million in purchases and a $207 million increase in basis adjustments, partially offset by $159 million in principal repayments and $36 million of fair value losses. Average MBS investments were $11.0 billion in the first quarter of 2023, a decrease of $1.2 billion from $12.2 billion in the first quarter of 2022. For a discussion of the composition of the Bank’s MBS portfolio, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Credit Risk – Investments.”

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Interest rate payment terms for MBS classified as trading, AFS, and held-to-maturity (HTM) at March 31, 2023, and December 31, 2022, are shown in the following table:

MBS: Interest Rate Payment Terms
(In millions)	March 31, 2023		December 31, 2022
Fair value of trading securities:
Adjustable rate	$	1	$	1
Total trading securities	$	1	$	1
Amortized cost of AFS securities:
Fixed rate	$	8,486	$	7,881
Adjustable rate	846		864
Total AFS securities	$	9,332	$	8,745
Amortized cost of HTM securities:
Fixed rate	$	248	$	265
Adjustable rate	1,856		1,916
Total HTM securities	$	2,104	$	2,181

Mortgage Loans – Mortgage loan balances decreased to $801 million at March 31, 2023, from $815 million at December 31, 2022, a decrease of $14 million. Average mortgage loans were $809 million in the first quarter of 2023, a decrease of $134 million from $943 million in the first quarter of 2022.

At March 31, 2023, and December 31, 2022, 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 “Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Credit Risk – MPF Program.” Mortgage loan balances at March 31, 2023, and December 31, 2022, were as follows:

Mortgage Loan Balances by MPF Product Type
(In millions)	March 31, 2023		December 31, 2022
MPF Plus	$	82	$	85
MPF Original	680		690
Subtotal	762		775
Unamortized premiums	42		43
Unamortized discounts	(2)		(2)
Mortgage loans held for portfolio	802		816
Less: Allowance for credit losses	(1)		(1)
Mortgage loans held for portfolio, net	$	801	$	815

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 1. Financial Statements – Note 5 – Mortgage Loans Held for Portfolio” in this report as well as “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Credit Risk – MPF Program” and “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2022 Form 10-K.

Borrowings – Total consolidated obligations funding the mortgage-related business increased $0.5 billion to $12.2 billion at March 31, 2023, from $11.7 billion at December 31, 2022. 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 13 – Commitments and Contingencies.”

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The notional amount of derivative instruments associated with the mortgage-related business totaled $16.7 billion at March 31, 2023, of which $8.6 billion were associated with MBS, $8.1 billion were hedging or were associated with consolidated obligations funding the mortgage portfolio, and $24 million were offsetting derivatives. The notional amount of derivative instruments associated with the mortgage-related business totaled $16.5 billion at December 31, 2022, of which $8.2 billion were associated with MBS and $8.3 billion were hedging or were associated with consolidated obligations funding the mortgage portfolio, and $36 million were offsetting derivatives.

For information on the Bank’s management of interest rate risk and market risk related to the mortgage-related business segment, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Market Risk.”

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 is governed by its capital plan.

Liquidity

The Bank seeks 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 to maintain ready access to available funds to meet normal transaction requirements, take advantage of appropriate investment opportunities, and manage unforeseen liquidity demands.

The Bank generally manages operational, contingent, and refinancing 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 Finance Agency has established base case liquidity guidelines that each FHLBank maintain sufficient liquidity at least equal to its anticipated cash outflows, assuming no new consolidated obligation issuance, renewal of all maturing advances, a specified percentage drawdown on letters of credit balances, and certain Treasury investments as a source of funds. The Finance Agency’s guidance provides that base case liquidity should generally be maintained for 10 to 30 days. The Bank actively monitors and manages refinancing risk. Finance Agency guidance specifies tolerance levels related to the size of each FHLBank’s funding gaps to measure refinancing risk as the difference between assets and liabilities that are scheduled to mature during a specified period, expressed as a percentage of total assets. The guidance limits three-month and one-year funding gaps generally between the range of –10% to –20% and –25% to –35%, respectively. Funding gaps are measured at monthend, using the average ratio for the three most recent monthends. The Bank is also required to perform an annual liquidity stress test and report the results to the Finance Agency.

In addition to 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).

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As of March 31, 2023, and December 31, 2022, the Bank held total sources of funds in an amount that would have allowed the Bank to meet its liquidity needs without issuing new consolidated obligations for over 10 days, in accordance with the Finance Agency guidance. The Bank met all expected and unexpected member demand using its liquidity in a safe and sound manner. In addition, the Bank’s funding gap positions as of March 31, 2023, and December 31, 2022, were within the tolerance levels provided by the Finance Agency guidance. At March 31, 2023, the Bank had no commitments to issue consolidated obligations. The Bank had committed to the issuance of $2.7 billion in consolidated obligations at December 31, 2022.

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 2022 Form 10-K.

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 Statements of Condition or may be recorded on the Bank’s Statements 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, 2023, the Bank had no advance commitments and $22.3 billion in standby letters of credit outstanding. At December 31, 2022, the Bank had no advance commitments and $22.6 billion in standby letters of credit outstanding.

For additional information, see “Item 8. Financial Statements and Supplementary Data – Note 16 – Commitments and Contingencies.”

Regulatory Capital Requirements

The Bank’s capital requirements are discussed in “Item 1, Financial Statements – Note 9 – Capital” in this report and “Item 8. Financial Statements and Supplementary Data – Note 11 – Capital” in the Bank’s 2022 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, and corporate governance. The policy also 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 2022 Form 10-K.

Advances. The Bank manages the credit risk of advances and other credit products by setting the credit and collateral terms available to individual members and housing associates based on their creditworthiness and on the quality and value of the assets they pledge as collateral. 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, which the Bank can change from time to time. The borrowing capacity percentage varies according to several factors, including the charter type of the institution, the collateral type, the value assigned to the collateral, the results of the Bank’s collateral field review of the borrower’s collateral, the pledging method used for loan collateral (specific identification or blanket lien), the amount of loan data provided (detailed or summary reporting), the data reporting frequency (monthly or quarterly), the borrower’s financial strength and condition, and any institution-specific collateral risks. Under the terms of the Bank’s lending agreements, the aggregate borrowing capacity of a

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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.

For more information on the Bank’s management of credit risk on its advances, see “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Credit Risk – Advances” in the Bank’s 2022 Form 10-K.

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, 2023, and December 31, 2022.

Member and Nonmember Credit Outstanding and Collateral Borrowing Capacity by Credit Quality Rating
March 31, 2023
	All Members and Nonmembers	Members and Nonmembers with Credit Outstanding
(Dollars in millions)					Collateral Borrowing Capacity(2)
Member or Nonmember Credit Quality Rating	Number	Number	Credit Outstanding(1)		Total		Used
1-3	244	159	$	49,883	$	162,011	31	%
4-6	74	47	74,223		110,967		67
7-10	6	3	86		287		30
Subtotal	324	209	124,192		273,265		45
Community development financial institutions (CDFIs)	7	6	102		154		66
Housing associates	2	1	102		148		69
Total	333	216	$	124,396	$	273,567	45	%

December 31, 2022
	All Members and Nonmembers	Members and Nonmembers with Credit Outstanding
(Dollars in millions)					Collateral Borrowing Capacity(2)
Member or Nonmember Credit Quality Rating		Number	Credit Outstanding(1)		Total		Used
1-3	257	172	$	98,702	$	323,212	31	%
4-6	65	33	13,891		31,536		44
7-10	4	3	8		51		16
Subtotal	326	208	112,601		354,799		32
CDFIs	7	6	100		151		66
Housing associates	2	1	95		102		93
Total	335	215	$	112,796	$	355,052	32	%

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

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

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Member and Nonmember Credit Outstanding and Collateral Borrowing Capacity by Unused Borrowing Capacity
March 31, 2023
(Dollars in millions) Unused Borrowing Capacity	Number of Members and Nonmembers with Credit Outstanding	Credit Outstanding(1)		Collateral Borrowing Capacity(2)
0% – 10%	13	$	53,614	$	56,534
11% – 25%	11	6,412		8,061
26% – 50%	28	24,451		36,276
More than 50%	164	39,919		172,696
Total	216	$	124,396	$	273,567

December 31, 2022
(Dollars in millions) Unused Borrowing Capacity	Number of Members and Nonmembers with Credit Outstanding	Credit Outstanding(1)		Collateral Borrowing Capacity(2)
0% – 10%	11	$	6,637	$	7,319
11% – 25%	11	5,644		7,380
26% – 50%	22	15,509		24,465
More than 50%	171	85,006		315,888
Total	215	$	112,796	$	355,052

(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’ market valuations and market liquidation risks. The following table presents the securities collateral pledged by all members and by nonmembers with credit outstanding at March 31, 2023, and December 31, 2022.

Composition of Securities Collateral Pledged by Members and by Nonmembers with Credit Outstanding
(In millions)	March 31, 2023				December 31, 2022
Securities Type with Current Credit Ratings	Current Par		Borrowing Capacity		Current Par		Borrowing Capacity
U.S. Treasury (bills, notes, bonds)	$	3,176	$	2,934	$	3,004	$	2,688
Agency (notes, subordinated debt, structured notes, indexed amortization notes, and Small Business Administration pools)	5,841		5,167		8,617		7,622
Agency pools and collateralized mortgage obligations	32,538		26,855		79,360		64,153
Private-label commercial MBS – publicly registered investment-grade-rated senior tranches	18		13		392		244
PLRMBS – private label investment-grade-rated senior tranches	749		403		762		409
Municipal Bonds – investment-grade-rated	17		12		17		12
Term deposits with the Bank	3		3		—		—
Total	$	42,342	$	35,387	$	92,152	$	75,128

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

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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.

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.

As of March 31, 2023, of the loan collateral pledged to the Bank, 14% was pledged by 20 institutions by specific identification, 55% was pledged by 112 institutions under a blanket lien with detailed reporting, and 31% was pledged by 134 institutions under a blanket lien with summary reporting. For each borrower that pledges loan collateral, the Bank conducts loan collateral field reviews once every six months or every one, two, or three years, depending on the risk profile of the borrower and the types of collateral pledged by the borrower.

As of March 31, 2023, 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: 84% for first lien residential mortgage loans, 81% for multifamily mortgage loans, 81% for commercial mortgage loans, and 69% 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 following table presents the mortgage loan collateral pledged by all members and by nonmembers with credit outstanding at March 31, 2023, and December 31, 2022.

Composition of Loan Collateral Pledged by Members and by Nonmembers with Credit Outstanding
(In millions)	March 31, 2023				December 31, 2022
Loan Type	Unpaid Principal Balance		Borrowing Capacity		Unpaid Principal Balance		Borrowing Capacity
First lien residential mortgage loans	$	267,745	$	152,276	$	265,972	$	180,564
Second lien residential mortgage loans and home equity lines of credit	14,064		5,721		15,423		7,381
Multifamily mortgage loans	61,912		28,375		60,989		36,809
Commercial mortgage loans	84,601		50,846		92,413		54,341
Loan participations(1)	837		312		871		306
Small business, small farm, and small agribusiness loans	2,675		650		2,180		523
Other	—		—		2		—
Total	$	431,834	$	238,180	$	437,850	$	279,924

(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, 2023, and December 31, 2022, the unpaid principal balance of these loans totaled $5.0 billion and $5.2 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

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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.

For more information on the Bank’s management of credit risk on its investments, see “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Credit Risk – Investments” in the Bank’s 2022 Form 10-K.

The following table presents the Bank’s investment credit exposure at March 31, 2023, based on the lowest of the long-term credit ratings provided by Moody’s, S&P, or Fitch Ratings (Fitch) ratings.

Investment Credit Exposure
(In millions)
March 31, 2023
	Carrying Value
	Credit Rating(1)
Investment Type	AAA		AA		A		BBB		Below Investment Grade		Unrated		Total
U.S. obligations – Treasury securities	$	—	$	4,078	$	—	$	—	$	—	$	—	$	4,078
MBS:
Other U.S. obligations – single-family	—		68		—		—		—		—		68
MBS – GSEs:
GSEs – single-family(2)	4		702		2		—		1		—		709
GSEs – multifamily	—		9,273		—		—		—		—		9,273
Total MBS – GSEs	4		9,975		2		—		1		—		9,982
PLRMBS	—		20		34		51		696		496		1,297
Total MBS	4		10,063		36		51		697		496		11,347
Total securities	4		14,141		36		51		697		496		15,425
Interest-bearing deposits	—		823		2,937		—		—		—		3,760
Securities purchased under agreements to resell(3)	—		9,200		—		—		—		1,900		11,100
Federal funds sold	—		2,839		6,188		400		—		—		9,427
Total investments	$	4	$	27,003	$	9,161	$	451	$	697	$	2,396	$	39,712

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

(2)The Bank has one security guaranteed by Fannie Mae but rated BB at March 31, 2023, by S&P because of extraordinary expenses incurred during bankruptcy of the security's sponsor.

(3)Unrated counterparties for these investments were broker-dealers approved by the Office of Finance, qualifying for limited trading programs authorized by the Bank. The securities purchased under agreements to resell with the broker-dealers were fully guaranteed by the U.S. government.

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, and securities purchased under agreements to resell with member and nonmember counterparties, all of which are highly rated.

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The following table presents the unsecured credit exposure with counterparties by investment type at March 31, 2023, and December 31, 2022.

Unsecured Investment Credit Exposure by Investment Type
	Carrying Value(1)
(In millions)	March 31, 2023		December 31, 2022
Interest-bearing deposits	$	3,760	$	3,677
Federal funds sold	9,427		4,719
Total	$	13,187	$	8,396

(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, 2023, and December 31, 2022.

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 Fitch ratings. This table does not reflect the foreign sovereign government’s credit rating. At March 31, 2023, 68% of the Bank’s total unsecured investments were to U.S. branches and agency offices of foreign commercial banks. At March 31, 2023, all of the unsecured investments held by the Bank had overnight maturities.

Ratings of Unsecured Investment Credit Exposure by Domicile of Counterparty
(In millions)
March 31, 2023
	Carrying Value(1)
	Credit Rating(2)
Domicile of Counterparty	AA		A		BBB		Total
Domestic	$	898	$	2,587	$	400	$	3,885
U.S. subsidiaries of foreign commercial banks	—		350		—		350
Total domestic and U.S. subsidiaries of foreign commercial banks	898		2,937		400		4,235
U.S. branches and agency offices of foreign commercial banks:
Australia	—		1,646		—		1,646
Canada	2,064		—		—		2,064
Finland	700		—		—		700
France	—		250		—		250
Germany	—		1,646		—		1,646
Netherlands	—		1,646		—		1,646
United Kingdom	—		1,000		—		1,000
Total U.S. branches and agency offices of foreign commercial banks	2,764		6,188		—		8,952
Total unsecured credit exposure	$	3,662	$	9,125	$	400	$	13,187

(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, 2023.

(2)Does not reflect changes in ratings, outlook, or watch status occurring after March 31, 2023. These ratings represent the lowest rating available for each unsecured investment owned by the Bank, based on the ratings provided by Fitch, Moody’s, or S&P. The Bank’s internal rating may differ from this rating.

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 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, including unpaid principal balance, unamortized premiums and discounts, and net charge-offs, to three times the Bank’s regulatory capital at the time of purchase. At March 31, 2023, the Bank’s MBS portfolio was

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143% of Bank regulatory 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, 2023, PLRMBS representing 10% 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, 2023, the Bank’s investment in MBS had gross unrealized losses totaling $144 million, $37 million 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, 2023, all of the gross unrealized losses on its agency MBS are temporary.

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 additional credit losses on PLRMBS in future periods. Additional credit 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 an allowance for credit losses on its PLRMBS in the future.

The Bank has exposure to MBS with interest rates indexed to LIBOR. The following tables present the unpaid principal balance of adjustable rate MBS by interest rate index and the unpaid principal balance of LIBOR-indexed MBS for LIBOR tenors that cease or will no longer be representative immediately after June 30, 2023, by redemption term at March 31, 2023, and December 31, 2022. See “Management’s Discussion and Analysis of Financial Condition and Results of Operations – Financial Condition” for more information on the LIBOR transition and on SOFR as an alternative market benchmark.

Adjustable Rate MBS by Interest Rate Index
(In millions)
Interest Rate Index	March 31, 2023		December 31, 2022
LIBOR(1)	$	2,864	$	2,958
Constant maturity Treasury	55		51
Total adjustable rate investment securities(2)	$	2,919	$	3,009

LIBOR-Indexed MBS by Redemption Term
(In millions)
Redemption Term	March 31, 2023		December 31, 2022
Due through June 30, 2023	$	5	$	5
Due thereafter(2)	2,859		2,953
Total LIBOR-Indexed investment securities	$	2,864	$	2,958

(1)Certain MBS with multiple indices where LIBOR is the majority index are included in this amount.

(2)For more information on the Bank’s Transition Plan, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations – Financial Condition.”

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Derivative Counterparties. The Bank has adopted credit policies and exposure limits for uncleared derivatives counterparty credit exposure. Interest rate exchange agreements may be either uncleared or cleared at a clearing house.

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, for all uncleared derivative transactions, the Bank has entered into master netting agreements and bilateral credit support agreements with all its derivative dealer counterparties that provide for delivery of margin 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 set at zero (subject to a minimum transfer amount).

Additional information related to uncleared margin rules for uncleared derivative transactions are included in “Item 8. Financial Statements and Supplementary Data - Note 14 - Derivatives and Hedging Activities” in the Bank’s 2022 Form 10-K.

The Bank is subject to the risk of potential nonperformance by its counterparty in a derivative transaction. A counterparty generally must deliver or return margin to the Bank if the total unsecured exposure to that counterparty exceeds the minimum transfer amount.

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, 2023.

Cleared Derivatives – In a cleared derivatives transaction, the Bank is subject to nonperformance by the clearing house and its futures commission merchant or clearing agent. The requirement that the Bank post initial and variation margin through a clearing agent to the clearing house exposes the Bank to institutional credit risk if the clearing agent fails to meet its obligations. The use of a clearing house, or central counterparty, lowers overall credit risk exposure because it employs standard valuation and initial and variation margin processes and is specifically designed to withstand remote but plausible counterparty default credit events. Variation margin is posted or collected for changes in the value of the portfolio, and initial margin is posted for changes in risk profile of the portfolio. The Bank does not anticipate any credit losses on its cleared derivatives as of March 31, 2023.

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 interest rates, 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.

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

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Credit Exposure to Derivative Dealer Counterparties
(In millions)
March 31, 2023
Counterparty Credit Rating(1)	Notional Amount		Net Fair Value of Derivatives Before Collateral		Cash Collateral Pledged to/ (from) Counterparty		Noncash Collateral Pledged to/ (from) Counterparty		Net Credit Exposure to Counterparties
Asset positions with credit exposure:
Uncleared derivatives
A	$	2,490	$	17	$	(17)	$	—	$	—
Liability positions with credit exposure:
Uncleared derivatives
A	1,035		(48)		48		—		—
BBB	8,535		(274)		277		—		3
Cleared derivatives(2)	158,777		(30)		27		864		861
Total derivative positions with credit exposure to nonmember counterparties	170,837		$	(335)	$	335	$	864	$	864
Derivative positions without credit exposure	18,794
Total notional	$	189,631

December 31, 2022
(In millions) 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	$	6,115	$	38	$	(35)	$	—	$	3
Cleared derivatives(2)	89,148		7		14		435		456
Liability positions with credit exposure:
Uncleared derivatives
A	11,246		(356)		358		—		2
Total derivative positions with credit exposure to nonmember counterparties	106,509		$	(311)	$	337	$	435	$	461
Derivative positions without credit exposure	10,284
Total notional	$	116,793

(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 Ltd, the Bank’s clearing house, which was rated AA- with a Stable CreditWatch by S&P at March 31, 2023, and December 31, 2022.

The Bank primarily executes overnight index swap derivatives based on SOFR to manage interest rate risk. The following table presents the notional amount of interest rate swaps by interest rate index broken out by the pay or receive leg at March 31, 2023, and December 31, 2022.

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LIBOR-Indexed Interest Rate Swaps by Interest Rate Index
(In millions)	March 31, 2023				December 31, 2022
Interest Rate Index	Pay Leg		Receive Leg		Pay Leg		Receive Leg
Fixed	$	94,047	$	95,584	$	58,910	$	57,883
LIBOR	—		196		55		504
SOFR	95,499		93,074		57,577		57,523
Overnight Index Swap – Effective Federal Funds Rate	85		777		251		883
Total notional amount	$	189,631	$	189,631	$	116,793	$	116,793

The following tables present the notional amount of interest rate swaps with LIBOR exposure for LIBOR tenors that cease or will no longer be representative immediately after June 30, 2023, by termination date broken out by the pay or receive leg and further bifurcated by cleared and uncleared derivative transactions at March 31, 2023, and December 31, 2022. See “Management’s Discussion and Analysis of Financial Condition and Results of Operations – Financial Condition” for more information on the LIBOR transition and on SOFR as an alternative market benchmark.

LIBOR-Indexed Interest Rate Swaps by Termination Date
March 31, 2023
(In millions)	Receive Leg
Termination Date	Cleared		Uncleared
Terminates through June 30, 2023	$	13	$	6
Terminates thereafter(1)	177		—
Total Notional Amount	$	190	$	6

December 31, 2022
(In millions)	Pay Leg		Receive Leg
Termination Date	Cleared		Cleared		Uncleared
Terminates through June 30, 2023	$	50	$	303	$	19
Terminates thereafter(1)	5		182		—
Total Notional Amount	$	55	$	485	$	19

(1)For more information on the Bank’s Transition Plan, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations – Financial Condition.”

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 2022 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: 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; and estimating the prepayment speeds on MBS and

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mortgage loans for the accounting of amortization of premiums and accretion of discounts and credit losses previously recorded before the adoption of accounting guidance related to the measurement of credit losses on MBS and mortgage loans.

There have been no significant changes in the judgments and assumptions made during the first three months of 2023 in applying the Bank’s critical accounting policies. These policies and the judgments, estimates, and assumptions are also described in “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Critical Accounting Policies and Estimates” and “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2022 Form 10-K and in “Item 8. Financial Statements and Supplementary Data – Note 12 – 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

Federal Reserve Bank Term Funding Program. On March 12, 2023, in response to prevailing concerns about the ability of banks to meet the needs of all their depositors, the Federal Reserve Board (Federal Reserve) announced the implementation of a Bank Term Funding Program (BTFP) as an additional source of liquidity for eligible borrowers, including any U.S. federally insured depository institution or U.S. branch or agency of a foreign bank that is eligible for primary credit with the Federal Reserve. The BTFP offers loans with terms of up to one year secured by eligible collateral owned by eligible borrowers as of March 12, 2023. Eligible borrowers can request loans under the BTFP until at least March 11, 2024. The BTFP is subject to $25 billion in credit protection by the U.S. Department of Treasury. Given the BTFP’s recent implementation and lingering market uncertainty resulting from recent insolvencies of certain regional depository institutions, it is difficult to predict the impact of this new program on the Bank’s business, financial condition and results of operations. However, the BTFP is likely to provide an alternative funding source with favorable terms for the Bank’s depository institution members and could reduce their demand for the Bank’s advances during the term of the BTFP, which, in turn, could have a negative impact on the Bank’s advances balances.

Finance Agency Proposed Rule on Fair Lending, Fair Housing, and Equitable Housing Finance Plans. On April 26, 2023, the Finance Agency published a proposed rule that would require the FHLBanks to comply with fair housing and fair lending laws and prohibitions on unfair or deceptive acts or practices. The fair housing and fair lending laws would be the Fair Housing Act, the Equal Credit Opportunity Act, and those acts’ implementing regulations. Further, the proposed rule would give the Finance Agency enforcement authority. The proposal is open for public comment through June 26, 2023, and the Bank is evaluating the potential impact of the proposed rule on the Bank and its operations.

ITEM 3.    QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

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.

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The Bank’s Risk Appetite Framework 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 net interest income as a percent of the capital sensitivity analyses. The Risk Appetite Framework approved by the Bank’s board of directors establishes market risk 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 Risk Appetite Framework. Market risk is managed for each business segment on a daily basis, as discussed below in “Segment Market Risk.” Compliance with Bank limits 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 risk limits for 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) is no worse than a 3.0% change in the estimated market value of capital. In addition, the risk limits for 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 is no worse than 4.0% 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 limits as of March 31, 2023.

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 following table 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 as of March 31, 2023, and December 31, 2022.

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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, 2023		December 31, 2022
+200 basis-point change above current rates	–2.8	%	–2.8	%
+100 basis-point change above current rates	–1.4		–1.4
–100 basis-point change below current rates(2)	+1.2		+1.3
–200 basis-point change below current rates(2)	+2.1		+2.3

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

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

The Bank’s estimates of the sensitivity of the market value of capital to changes in interest rates as of March 31, 2023, are comparable with the estimates as of December 31, 2022. The increase in interest rates from yearend resulted in a larger absolute downward rate shocks for all term points. Compared to yearend, interest rates as of March 31, 2023 have increased 68 basis points for the one-month Treasury bill, decreased 35 basis points for the five-year Treasury note, and decreased 34 basis points for the 10-year Treasury note.

The Bank’s Risk Management Policy provides guidelines for the payment of dividends and the repurchase of excess 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 Federal funds effective rate for the applicable quarter (subject to certain conditions), and any excess 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 stock repurchases would be subject to the same limitations and conditions as in (i) above, except that any excess 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 stock (but continue to redeem excess 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 stock is a discretionary matter and is subject to the requirements and restrictions of the FHLBank Act and applicable requirements under the regulations governing the operations of the FHLBanks. The ratio of the Bank’s estimated market value of total capital to par value of capital stock was 198% as of March 31, 2023.

Net Interest Income as a Percent of Capital – The adjusted net interest income as a percent of capital is a non-GAAP measure used by the Bank to assess financial performance. The measurement 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.

The Bank’s Risk Appetite Framework incorporates a limit on the adverse sensitivity of projected net interest income as a percent of capital. The Bank’s net interest income on capital sensitivity limit to 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 a –210 basis points change from the base-case projected net interest income on capital. With the indicated interest rate shifts, the net interest income on capital for the 12-month horizon is projected to remain within the limit of –210 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 risk limit.

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Total Bank Duration Gap Analysis
	2023			2022
(Dollars in millions)	Amount (In millions)		Duration Gap(1) (In months)	Amount (In millions)		Duration Gap(1) (In months)
Assets	$	142,493	1.5	$	121,056	1.8
Liabilities	134,421		0.6	113,333		0.9
Net	$	8,072	0.9	$	7,723	0.9

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

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 to offset the advance. The interest rate swap or option generally is maintained as a hedge for the life of the advance. These hedged advances effectively create a pool of variable rate assets, which, in combination with the strategy of raising debt swapped to variable rate liabilities, creates an advances portfolio with low net interest rate risk.

Money market investments used for liquidity management generally have maturities of one month or less. In addition, to increase the Bank’s liquidity position, the Bank invests in Treasury securities, generally with terms up to four years. These fixed rate investments are swapped to variable rate investments.

Mortgage-Related Business – The Bank’s mortgage assets include MBS, most of which are classified as HTM or 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 effect of mortgage prepayments and the existence of interest rate caps on certain adjustable rate MBS.

The Bank manages the interest rate risk and market risk of the mortgage-related segment through selected funding and hedging strategies. The total carrying value of MBS and mortgage loans at March 31, 2023, was $12.1 billion, including $11.3 billion in MBS and $802 million in mortgage loans. The total carrying value of MBS and mortgage loans at December 31, 2022, was $11.7 billion, including $10.9 billion in MBS and $816 million in mortgage loans. Floating rate securities, and fixed rate multifamily securities that have been converted to floating rate through the use of interest rate swaps, were $10.8 billion, or 89%, of MBS and mortgage loans at March 31, 2023, and $10.3 billion, or 88%, of MBS and mortgage loans at December 31, 2022. Intermediate and long-term fixed rate assets, whose interest rate and market risks have been partially offset through the use of fixed rate callable debt, fixed rate non-callable debt, and certain interest rate swaps, were $1.3 billion, or 11%, of MBS and mortgage loans, at March 31, 2023, and $1.4 billion, or 12%, of MBS and mortgage loans at December 31, 2022.

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 limits 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, 2023, and December 31, 2022.

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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, 2023		December 31, 2022
+200 basis-point change	–0.4	%	–0.5	%
+100 basis-point change	–0.2		–0.2
–100 basis-point change(2)	+0.1		+0.1
–200 basis-point change(2)	–0.1		+0.1

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

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

The explanations for the changes in Bank’s estimates of the sensitivity of the market value of capital to changes in interest rates attributable to the mortgage-related business from December 31, 2022, to March 31, 2023, are the same as the explanations for the sensitivity of the market value of capital attributable to all of the Bank’s assets, liabilities, and associated interest rate exchange agreements.

For more information on quantitative and qualitative disclosures about the Bank’s market risk, see “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Market Risk” in the Bank’s 2022 Form 10-K.

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 and executive 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 and executive 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, 2023, 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.

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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.

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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.

After consultation with legal counsel, the Bank is not aware of any 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

The Bank is subject to a number of risks as set forth in “Part I. Item 1A. Risk Factors” in the Bank’s 2022 Form 10-K. Below is a revised risk factor previously disclosed in the Bank’s 2022 Form 10-K. In addition, reference is made to “Quarterly Overview”, as well as other sections, of Item 2. Management Discussion and Analysis of Financial Condition and Results of Operations of this Form 10-Q regarding other potential risks and uncertainties facing the Bank.

We have a high concentration of advances and capital with certain institutions and their affiliates, and a loss or change of business activities with any of these institutions could adversely affect our results of operations, financial condition, or ability to pay dividends or redeem or repurchase capital stock.

We have a high concentration of advances and capital with certain institutions and their affiliates. All of the institutions may prepay or repay advances as they come due. If no other advances or investments are made to replace the prepaid and repaid advances of these institutions, it would result in a significant reduction of our total assets. Mergers and acquisitions have been announced involving certain of the Bank’s members, including some of the Bank’s larger borrowers. Events affecting the financial services industry have resulted in significant changes in the liquidity of some of the industry’s largest regional financial institutions, some of which have experienced significant deposit outflows and financial difficulties, resulting in the liquidation or receivership of some of the Bank’s larger borrowers. If other advances are not made to replace the advances of these members, the Bank’s total advances may be significantly reduced. The reduction in advances could result in a reduction of capital as the Bank repurchases the resulting excess stock, at our discretion, or redeems the excess stock after the expiration of the relevant five-year redemption period. Such a reduction in assets and capital could reduce our net income.

Additional information regarding concentration risk is set forth in “Item 2. Management Discussion and Analysis of Financial Condition and Results of Operations – Segment Information – Advances-Related Business” and “Item 1. Financial Statements – Note 4 – Advances – Concentration Risk.”

ITEM 2.    UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS

Not applicable.

ITEM 3.    DEFAULTS UPON SENIOR SECURITIES

None.

ITEM 4.    MINE SAFETY DISCLOSURES

Not applicable.

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ITEM 5.    OTHER INFORMATION

Allocation of Net Income to Fund Discretionary Community Investment Programs. Each year, the Bank is required by the FHLBank Act to dedicate a minimum of 10% of the previous year’s net income to its Affordable Housing Program (AHP). In 2023, the board of directors of the Bank voted to voluntarily allocate up to an additional 5% (15% total) of its annual net income to funding economic development and homeownership grant programs and special purpose credit programs that enrich people’s lives and revitalize communities. Recently, the Bank announced an increase of $2.5 million to its annual AHEAD economic development grant program, which will enable it to award a total of $4 million in grants for the 2023 program. The Bank is currently evaluating other programs meeting community needs in affordable housing as well as business and community development, including allocating up to $10.0 million to a newly-created middle-income down-payment assistance grant program.

Executive Incentive Plan for 2022. Recently, the Federal Housing Finance Agency (Finance Agency) informed the Bank of its non-objection to the board of directors previously-approved 2023 performance goals, qualifiers, and award scales under the Bank's Executive Incentive Plan (EIP). The EIP is an incentive plan established by the board of directors for senior executive officers (excluding the chief audit executive) under which participants are eligible to receive an annual total incentive award (Annual Award) for the achievement of performance goals for designated performance periods.

Under the EIP, any Annual Award for the 2023 performance period would vest in two parts: 50% of the Annual Award (Year-End Award) would vest on the last day of 2023 subject to, among other things, the achievement of the 2023 performance goals and 2023 qualifiers and the participant receiving a satisfactory performance rating for the 2023 performance period; and the remaining 50% of the Annual Award would vest at the end of a 3-year deferral period (Deferred Award) subject to, among other things, the satisfaction of the 2023 qualifiers and the participant receiving a satisfactory performance rating for the 3-year deferral period.

Performance goals and qualifiers are the factors established annually by the board of directors for each performance period and taken into consideration in determining the amount of an Annual Award. Under the EIP, the 2023 performance period goals for the Year-End Award and Deferred Award are as follows: Business and Financial; Risk Management; Community Investment; and Diversity, Equity, and Inclusion and People.

The 2023 qualifiers under the EIP are: (i) no submission of material information to a regulatory or a reporting agency is significantly past due; (ii) the Bank makes sufficient progress, as determined by the Board, in the timely remediation of significant examination, monitoring, and other supervisory findings; (iii) no material risk management deficiency exists at the Bank; (iv) no operational errors or omissions result in material revisions to the financial results, information submitted to the Finance Agency, or data used to determine incentive payouts; and (v) the Bank has sufficient capital to pay dividends and the ability to repurchase member stock.

For 2023, the achievement levels are: Minimum (the minimum level of performance that must be achieved for any awards to be paid); Meets (performance that is expected under the Bank’s EIP); and Maximum (a most optimistic level of performance that substantially exceeds expected performance). If the total weighted achievement level of the Bank’s performance goals and individual goals is between Minimum and Maximum, the range of Annual Awards for the participants (other than the chief executive officer) as a percentage of base salary would be 40% to 85%, and for the chief executive officer, 50% to 100%.

First Republic Bank Receivership. On May 1, 2023, the California DFPI closed First Republic Bank, appointed the FDIC as receiver, and the FDIC and JPMorgan Chase, National Association, a nonmember, reported that they are entering into a purchase and assumption agreement for all the deposits and substantially all of the assets of First Republic Bank, including $28.1 billion in advances outstanding from the Bank. The May 1, 2023 advances outstanding balance is unchanged compared to the outstanding balance at March 31, 2023. Upon assumption of the advances outstanding by JPMorgan Chase, National Association, the Bank will transfer $759 million of capital stock of the Bank, held by First Republic Bank, to JPMorgan Chase, National Association, and reclassify that

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capital stock to mandatorily redeemable as a liability in the Bank’s Statements of Condition. See “Management’s Discussion and Analysis – Overview” for more information on the receivership of First Republic Bank.

ITEM 6.    EXHIBITS

Exhibit No.	Description
10.1	Executive Incentive Plan, as amended and restated May 28, 2021; Appendices I-III, as approved December 23, 2016; Appendix IV, as approved December 1, 2017; Appendix V, as approved December 7, 2018; Appendix VI, as approved January 31, 2020; Appendix VII, as approved May 28, 2021; Appendix VIII, as approved December 10, 2021; and Appendix IX, as approved March 31, 2023.
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.INS	Inline XBRL Instance Document - The instance document does not appear in the interactive data file because its XBRL tags are embedded within the inline XBRL document.
101.SCH	Inline XBRL Taxonomy Extension Schema Document
101.CAL	Inline XBRL Taxonomy Extension Calculation Linkbase Document
101.DEF	Inline XBRL Taxonomy Extension Definition Linkbase Document
101.LAB	Inline XBRL Taxonomy Extension Label Linkbase Document
101.PRE	Inline XBRL Taxonomy Extension Presentation Linkbase Document
104	Cover Page Interactive Data File - The cover page interactive data file does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document.

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized, on May 5, 2023.

Federal Home Loan Bank of San Francisco

/S/ TERESA B. BAZEMORE

Teresa B. Bazemore
President and Chief Executive Officer
(Principal executive officer)

/S/ JOSEPH E. AMATO

Joseph E. Amato
Executive Vice President and Chief Financial Officer
(Principal financial officer)

/S/ KITTY PAYNE

Kitty Payne
Senior Vice President and Controller
(Principal accounting officer)

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EX-10.1

EXHIBIT 10.1

FHLBANK SAN FRANCISCO

EXECUTIVE INCENTIVE PLAN

as Amended and Restated May 28, 2021

Approved 5/28/21

FEDERAL HOME LOAN BANK OF SAN FRANCISCO

EXECUTIVE INCENTIVE PLAN

TABLE OF CONTENTS

		PAGE
ARTICLE I	INTRODUCTION	1
Section 1.1	Purpose	1
Section 1.2	Effective Date	1
Section 1.3	Supplements	1
ARTICLE II	ELIGIBILITY AND PARTICIPATION	1
Section 2.1	Eligibility	1
Section 2.2	Participation	1
ARTICLE III	AWARDS	2
Section 3.1	Awards	2
Section 3.2	Performance Goals and Qualifiers	3
Section 3.3	Vesting of Awards for Participants	4
Section 3.4	Gap Year Awards for Participants	5
Section 3.5	Effect of Termination of Employment	5
Section 3.6	Effect of Change in Control	8
Section 3.7	Payment of Awards	9
Section 3.8	Reduction or Forfeiture of Awards	10
ARTICLE IV	ADMINISTRATION	11
Section 4.1	Appointment of the President and CEO	11
Section 4.2	Powers and Responsibilities of the Administrator	11
Section 4.3	Income and Employment Tax Withholding	12
Section 4.4	Plan Expenses	12
ARTICLE V	BENEFIT CLAIMS	12
ARTICLE VI	AMENDMENT & TERMINATION OF THE PLAN	12
Section 6.1	Amendment of the Plan	12
Section 6.2	Termination of the Plan	12
ARTICLE VII	MISCELLANEOUS	12

Approved 5/28/21 i

Section 7.1	Governing Law	12
Section 7.2	Headings and Gender	13
Section 7.3	Spendthrift Clause	13
Section 7.4	Counterparts	13
Section 7.5	No Enlargement of Employment Rights	13
Section 7.6	Limitations on Liability	13
Section 7.7	Incapacity of Participant	13
Section 7.8	Evidence	14
Section 7.9	Action by Bank	14
Section 7.10	Severability	14
Section 7.11	Information to be Furnished by a Participant	14
Section 7.12	Attorneys’ Fees	14
Section 7.13	Binding on Successors	14
APPENDIX I: 2017 Performance Period Goals & Qualifiers & Awards Scale/Awards
APPENDIX II: Awards and Goals Applicable to 2020 Gap Year (2017-2019 LTIP)
APPENDIX III: Form of Non-Solicitation and Non-Disclosure Agreement
APPENDIX IV: 2018 Performance Period Goals, Qualifiers, and Awards Scale
APPENDIX V: 2019 Performance Period Goals, Qualifiers & Awards Scale
APPENDIX VI: 2020 Performance Period Goals, Qualifiers & Awards Scale
APPENDIX VII: 2021 Performance Period Goals, Qualifiers & Awards Scale
APPENDIX VIII: 2022 Performance Period Goals, Qualifiers & Awards Scale
APPENDIX IX: 2023 Performance Period Goals, Qualifiers & Awards Scale

Approved 5/28/2021 ii

ARTICLE I

INTRODUCTION

Section 1.1Purpose. The purpose of the Federal Home Loan Bank of San Francisco Executive Incentive Plan (the “Plan”) is to attract and retain key executives of the Federal Home Loan Bank of San Francisco (the “Bank”) and to motivate and focus their efforts on achieving the Bank’s business plan and accomplish its goals and objectives while maintaining the safety and soundness of the Bank. The Plan is a cash-based incentive plan that provides award opportunities based on achievement of performance goals.

Section 1.2Effective Date. The “Effective Date” of the Plan is January 1, 2017.

Section 1.3Supplements. The provisions of the Plan may be modified by supplements to the Plan that are approved by the Board or a committee delegated by the Board. The terms and provisions of each supplement are a part of the Plan and supersede any other provisions of the Plan to the extent necessary to eliminate any inconsistencies between the supplement and any other Plan provisions.

ARTICLE II

ELIGIBILITY AND PARTICIPATION

Section 2.1Eligibility. Any senior executive officer (specifically, the President and CEO, eachExecutive Vice President as of April 15, 2019, and any Senior Vice President who was eligible as of December 31, 2018,) of the Bank, hired/employed as a regular full-time employee before October 1st of the calendar year, will become a “Participant” in the Plan on a prorated basis for that calendar year, excluding the Executive Vice President and Director of Internal Audit, who, subject to approval of the Board, participates in the Federal Home Loan Bank of San Francisco Executive Internal Audit Incentive Plan. Participants must have an executed agreement on file with the Bank containing non-disclosure, non-disparagement, and non-solicitation provisions in a form similar to the form provided in Appendix III to the Plan (“Non-Solicitation Agreement”).

Section 2.2Participation. A senior executive officer will become a Participant as of the later of the Effective Date, the senior executive officer’s date of hire/employment, or the date on or after the Effective Date the senior executive officer

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satisfies the automatic eligibility provisions described in Section 2.1. Any Participant may be removed as an active Participant by the Board effective as of any date.

ARTICLE III

AWARDS

Section 3.1Awards. No later than the beginning of each Performance Period, the Board will establish Award Levels (as defined in Section 3.1(b) for eligible Participants. For each Performance Period, the Award Levels established by the Board will be set forth in Appendices to the Plan, each of which shall be incorporated into the Plan. As described in this Article, Awards may be Annual Awards (as defined in subsection 3.3(a)), Deferred Awards (as defined in subsection 3.1(b)), or Gap Year Awards (as defined in subsection 3.4(a)). Each Award will be equal to a percentage of the Participant’s annual Compensation. “Compensation” means the Participant’s average annual base salary for the Performance Period; provided, however, for the Performance Period commencing January 1, 2019, the average will be based on the eleven month-period commencing February 1, 2019.

(a)Performance Periods. A “Performance Period” is the one-calendar year period over which an Annual Award can be earned and vested pursuant to subsection 3.3(a). A “Deferral Performance Period” is the three-calendar year period over which a Deferred Award can be vested pursuant to subsection 3.3(b). A Deferral Performance Period begins on the January 1st immediately following the applicable Performance Period.

(b)Award Levels. The “Award Level” shall be set forth as a percentage of the Participant’s base salary in the applicable Appendix to the Plan. Participants are eligible to receive an Annual Award for each Performance Period, subject to deferral of fifty percent (50%) of the Annual Award (the “Deferred Award”) over the Deferral Performance Period.The amount of the Annual Award may be modified at the Board’s discretion to account for individual performance that is not captured in the Participant’s individual goals, whether positive or negative, by applying an award multiplier to an Award Level (100% being no modification), but in no event shall this result in an Award Level that is less than the Minimum Achievement Level (as defined in Section 3.2(b)(i)) nor an Award Level that is greater than the Maximum Achievement Level (as defined in Section 3.2(b)(iii)).

(c)Final Award. The “Final Award” is the amount of an earned and vested Annual Award, Deferred Award, and Gap Year Award, as may be adjusted based upon the level at which the Performance Goals and Qualifiers have been achieved, that is ultimately paid to a Participant under the Plan. The amount of a Final Award may be modified at the Board’s discretion to account for performance that is not captured in the relevant Performance Goals and Qualifiers for the applicable Award. The Board, in its discretion, may also consider Extraordinary Occurrences when assessing performance results and determining Final Awards. “Extraordinary Occurrences” mean those events that, in the opinion and discretion of the Board,

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are outside the significant influence of the Participant or the Bank and are likely to have a significant unanticipated effect, whether positive or negative, on the Bank’s operating and/or financial results.

Section 3.2Performance Goals and Qualifiers. “Performance Goals and Qualifiers” are the factors established by the Board for each Performance Period, Deferral Performance Period and Gap Year Performance Period, as set forth in the applicable Appendices to the Plan, which are taken into consideration in determining the amount of an Annual Award, Deferred Award or Gap Year Award. The Board may adjust the Performance Goals and Qualifiers for a Performance Period, Deferral Performance Period or Gap Year Performance Period to ensure the purposes of the Plan are served.

(a)Establishment of Performance Goals and Qualifiers. Performance Goals and Qualifiers for Performance Periods, Deferral Performance Periods and the Gap Year Performance Period commencing on and after January 1, 2017, will be communicated to Participants following approval by the Board.

(b)Achievement Levels. Three achievement levels ("Achievement Levels") will be defined for each Performance Goal in determining how much of an Award is earned.

(i)    Minimum. Minimum level of performance that must be achieved for any awards to be paid.

(ii)Meets. Performance that is expected under the Bank’s Plan.

(iii)Maximum. A most optimistic level of performance that substantially exceeds expected performance.

(c)Interpolation. Achievement Levels between the defined percentages for Minimum, Meets and, Maximum will be interpolated in a manner as determined at the sole discretion of the Board.

(d)Considerations in Establishing Performance Goals and Qualifiers. In determining appropriate Performance Goals and Qualifiers and the relative weight of each Performance Goal, the Board will:

(i)Balance risk and financial results in a manner that does not encourage Participants to expose the Bank to imprudent risks;

(ii)Make such determination in a manner designed to ensure that a Participant’s overall compensation is balanced and not excessive in amount and that the Annual Awards, Deferred Awards and Gap Year Awards are consistent with the Bank’s policies regarding such compensation arrangements; and

(iii)Monitor the success of the Performance Goals and Qualifiers and weighting established in prior years, alone and in combination with other incentive compensation awarded to the same Participants, and make appropriate adjustments in future calendar years as needed so that payments appropriately incentivize Participants, appropriately reflect risk and align with regulatory guidance.

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Section 3.3Vesting of Awards for Participants.

(a)Vesting of Annual Awards. An "Annual Award" is defined as an Award earned for service during a Performance Period. For each Performance Period, except the Gap Performance Period, fifty percent (50%) of an Annual Award to a Participant will become vested on the last day of the Performance Period, provided the Board determines the following requirements are met (“Year-End Award”):

(i)The applicable Performance Goals and Qualifiers for the Performance Period are achieved;

(ii)The Participant received a satisfactory (at least meets expectations) performance rating for the Performance Period; and,

(iii)The Participant is actively employed on the last day of the Performance Period, except as otherwise provided in subsection 3.5(b) or 3.5(c) or Section 3.6.

(b)Vesting of Deferred Awards. The remaining fifty percent (50%) of an Annual Award (i.e. Deferred Award) to a Participant will become vested on the last day of the Deferral Performance Period, provided the Board determines that the following requirements are met:

(i)The applicable Qualifiers for the Deferral Performance Period are satisfied;

(ii)The Participant received a satisfactory (at least meets expectations) performance rating for the Deferral Performance Period, and

(iii)The Participant is actively employed on the last day of the Deferral Performance Period, unless otherwise provided in subsection 3.5(b) or 3.5(c) or Section 3.6.

(c)Calculation of Awards. The amount of Final Awards to Participants will be determined at the sole discretion of the Board in accordance with the applicable Appendix to the Plan. If the Qualifiers are achieved, then an annual compounding interest rate of 6% is applied to Deferred Awards; provided, however, the amount of the Final Awards payable in a particular calendar year shall not exceed the Participant’s base salary as of the end of the applicable Performance Period and Deferral Performance Period for the Final Awards payable (“Plan Year Base Salary”). For the avoidance of doubt, the amount of the Final Awards payable shall mean the amount of: (a) the Year-End Award earned and vested in a particular calendar year; and (b) the Deferred Award that is vested in the same calendar year plus the interest credited to the Deferred Award. If the amount of the Final Awards payable in a particular calendar year exceeds the Participant’s Plan Year Base Salary, then the amount of the Final Award payable in that particular calendar year shall be reduced so that the amount of the Final Awards payable does not exceed the Participant’s

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Plan Year Base Salary. For example, if a Participant (1) vests at the end of 2021 in both the Year-End Award for the 2021 Performance Period and the Deferred Award for the 2018 Deferral Performance Period, (2) earns the 6% annual compounding interest applicable to the Deferred Award (all together such Year-End Award, Deferred Award and interest are the “2021 Final Awards” payable in the aggregate in March 2022) and (3) the 2021 Final Awards exceed the Participant’s 2021 Plan Year Base Salary, then the amount payable shall be reduced so that the 2021 Final Awards do not exceed the Participant’s 2021 Plan Year Base Salary.

Section 3.4Gap Year Awards for Participants.

(a)Background. The Board has determined it is appropriate to establish a Gap Year Award for Participants for long-term performance during the calendar years 2017 through 2019 (a “Gap Year Award”) to address a gap in payment of deferred incentive compensation during calendar year 2020 which arises as a result of the discontinuation in 2017 of the Executive Performance Unit Plan (the “Long-Term Incentive Plan”) and the implementation of this Plan.

(b)Vesting of Gap Year Award. A Gap Year Award will become vested over a three-year period beginning on January 1, 2017 and ending on December 31, 2019 (the “Gap Year Performance Period”) to the extent the Board determines that:

(i)The Performance Goals and Qualifiers for the Gap Year Performance Period, as set forth in the applicable Appendix to the Plan, are satisfied;

(ii)The Participant received a satisfactory (meets expectations) performance rating for the Gap Year Performance Period, and

(iii)The Participant is actively employed on the last day of the Gap Year Performance Period, except as otherwise provided in subsection 3.5(b) or 3.5(c) or Section 3.6.

(c)Calculation of Awards. The amount of Gap Year Awards will be calculated in the sole discretion of the Board in accordance with the applicable Appendix to the Plan.

Section 3.5Effect of Termination of Employment.

(a)In General. If a Participant incurs a Termination of Employment for any reason other than a reason set forth in subsection 3.5(b) or 3.5(c) or Section 3.6, the Participant’s unvested Awards will be forfeited effective as of the date of such Termination of Employment and the Bank will have no obligation to pay the Participant any portion of such forfeited, unvested Award amounts.

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(b)Termination Due to Death or Disability.

(i)Notwithstanding the provisions of Sections 3.3 and 3.4 and subsection 3.5(a), if a Participant incurs a Termination of Employment due to death or Disability during a Deferral Performance Period, then the Participant’s Deferred Awards will be treated as vested and shall be paid pursuant to Section 3.7(a)(i).

(ii)Notwithstanding the provisions of Sections 3.3 and 3.4 and subsection 3.5(a), if a Participant incurs a Termination of Employment during a Performance Period or Gap Year Performance Period due to death or Disability, any Annual Award or Gap Year Award which has not been vested for the year of the Participant’s Termination of Employment due to death or Disability, will be treated as vested for the portion of the Performance Period or Gap Year Performance Period during which the Participant was employed based on the assumption the Bank would have achieved the Performance Goals and Qualifiers at the Meets (Target) Achievement Level for the Performance Period or Gap Year Performance Period.

(c)Termination Due to Other Events.

(i)Subject to Section 3.7(a)(ii), but notwithstanding the provisions of Sections 3.3 and 3.4 and subsection 3.5(a), if a Participant incurs a Termination of Employment during a Performance Period, Deferral Performance Period or Gap Year Performance Period due to:

(A)Retirement;

(B)a termination by Participant for Good Reason;

(C)a termination by the Bank without Cause due to the elimination of an individual job or position;

(D)the elimination of one or more jobs or positions as a result of a reduction in force or department reorganization; or

(E)a substantial job modification resulting in the incumbent being, in the judgment of the Bank, unqualified for or unable to perform the revised job;

then the relevant pro rata portion of an Annual Award or Gap Year Award will be treated as vested for the portion of the Performance Period or Gap Year Performance Period during which the Participant was employed to the extent determined by the Board that the Performance Goals and Qualifiers for the Performance Period or Gap Year Performance Period are satisfied and a Deferred Award will be treated as fully vested as of the date of Termination of Employment. Any payment of any Award pursuant to this Section 3.5(c) will be made according to the normal scheduled date under Section 3.7(b).

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(d)Definitions.

(i)“Cause” means (A) continued failure of a Participant to perform his or her duties with the Bank (other than any such failure resulting from Disability), (B) personal dishonesty, incompetence, willful misconduct, breach of fiduciary duty involving personal profit, intentional failure to perform stated duties, or willful violation of any law, rule or regulation (other than -traffic infractions or similar non-violent infractions), or (C) removal of the Participant for cause by the Federal Housing Finance Agency (“FHFA”) or at the direction of the FHFA pursuant to 12 U.S.C. 1422b(a)(2), or by any successor agency to the FHFA pursuant to a similar statute.

(ii)“Disability” means the Participant is: (A) unable to engage in any substantial gainful activity by reason of any medically determinable physical or mental impairment which can be expected to result in death or can be expected to last for a continuous period of not less than twelve (12) months; or (B) is, by reason of any medically determinable physical or mental impairment which can be expected to result in death or can be expected to last for a continuous period of not less than twelve (12) months, receiving income replacement benefits for a period of not less than three (3) months under the Bank’s long-term disability plan. Medical determination of Disability under (A) shall be made by the Social Security Administration. The Participants may be required to submit proof of the determination by the Social Security Administration or the Bank’s insurer, as applicable, upon the request of the Bank.

(iii)“Good Reason” means a Termination of Employment by a Participant under any of the following circumstances:

(A)a material change in the Participant’s status, position and job title or principal duties and responsibilities as a key employee of the Bank which does not represent a promotion from the Participant’s status and position as in effect as of the date hereof (“Position”);

(B)the assignment to the Participant of any duties or responsibilities (or removal of any duties or responsibilities), which assignment or removal is materially inconsistent with such Position;

(C)any removal of the Participant from such Position (including, without limitation, all demotions), except in connection with the termination of the Participant’s employment for Cause or Disability, or as a result of the Participant’s death; or

(D)any material breach by the Bank of any provisions of this Plan or any agreement under which the Participant provides services to the Bank.

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Notwithstanding the foregoing in this Section 3.5(d)(iii), a Participant shall not be considered to have a Termination of Employment for Good Reason unless the Participant provides the Bank with written notice no later than 90 days after the first occurrence of an event listed above and the Bank has a period of 30 days to cure such event.

(iv)    “Reduction in Force” means an involuntary Termination of Employment of a Participant by the Bank in connection with a financial and/or strategic decision by the Bank to reduce the number of Bank employees and not due to the Participant’s performance.

(v)“Retirement” means the Participant’s planned and voluntary termination of employment on or after the Participant has either: (A) attained age 55 with 10 years of service or (B) attained age 65 with 5 years of service.

(vi)“Termination of Employment or Terminates Employment” Participant’s separation from service within the meaning of Treasury Regulation Section 1.409A-1(h). Whether a Termination of Employment has occurred is based on whether the facts and circumstances indicate that the Participant and the Bank reasonably anticipated that no further services would be performed after a certain date. A Termination of Employment will not be deemed to have occurred if a Participant continues to provide services to the Bank as an employee, independent contractor or otherwise, and if the Participant is providing such services at an annual rate that is fifty percent (50%) or more of the services rendered, on average, during the immediate preceding 36 months with the Bank (or if less, such lesser period); provided, however, that a Termination of Employment will be deemed to have occurred if a Participant’s service with the Bank is reduced to an annual rate that is equal to or less than twenty percent (20%) of the services rendered, on average, during the immediately preceding 36 months with the Bank (or if less, such lesser period). In addition to the foregoing, the employment of a Participant shall not be deemed to be terminated while the Participant is on military leave, sick leave or other bona fide leave of absence if the period of such leave does not exceed six (6) months, or if longer, so long as the Participant’s right to reemployment with the Bank is provided by either statute or contract. If the period of leave exceeds six (6) months and the Participant’s right to reemployment is not provided by either statute or contract, then the Participant is deemed to have a Termination of Employment on the first day immediately following such six-month period.

Section 3.6Effect of Change in Control.

(a)Notwithstanding the provisions of Sections 3.3 and 3.5, if a Change in Control of the Bank occurs prior to the date of vesting of an Award, then an Annual Award or Gap Year Award will be paid on a pro-rated basis based on the assumption the Bank would have achieved the Performance Goals and Qualifiers at the Meets (Target) Achievement Level for the Performance Period and/or the Gap Year Performance Period, while any Deferred Award which has not otherwise become vested as of the date of the Change in Control will be treated as one hundred percent (100%) vested effective as of the date of the Change in Control. Any interest accrued on the Deferred Award through the Change in Control date will be added to the Final Award.

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(b)“Change in Control” of the Bank will mean the occurrence at any time of any of the following events:

(i)The merger, reorganization, or consolidation of the Bank with or into another Federal Home Loan Bank or other entity;

(ii)The sale or transfer of all or substantially all of the business or assets of the Bank to another Federal Home Loan Bank or other entity;

(iii)The purchase by the Bank or transfer to the Bank of all or substantially all of the business or assets of another Federal Home Loan Bank; or

(iv)The liquidation of the Bank.

The term “reorganization” shall not include any reorganization that is mandated by federal statute, rule, regulation, or directive, including 12 U.S.C. § 1421, et seq., as amended, and 12 U.S.C. § 4501 et seq., as amended, and which the Director of the FHFA (or successor agency) has determined should not be a basis for making payment under this Plan, by reason of the capital condition of the Bank or because of unsafe or unsound acts, practices, or condition ascertained in the course of the Agency's supervision of the Bank or because any of the conditions identified in 12 U.S.C. § 4617(a)(3) are met with respect to the Bank (which conditions do not result solely from the mandated reorganization itself, or from action that the Agency has required the Bank to take under 12 U.S.C. § 1431(d)).

Section 3.7Payment of Awards.

(a)Payments Related to Termination of Employment. The following provisions apply to Final Awards payable as a result of a Termination of Employment.

(i)In the event of a Termination of Employment due to death or Disability, one hundred percent (100%) of a Final Award will be paid in a single sum within 74 days of the date of Termination of Employment.

(ii)In the event of a Termination of Employment Due to Other Events, payment of a Final Award will be made in a single sum within 74 days following the end of the Performance Period, Deferral Performance Period or Gap Year Performance Period, as applicable. Notwithstanding the foregoing, in the event of an elimination of an individual job or position, a reduction in force or department reorganization, or a substantial job modification resulting in the incumbent being unqualified for or unable to perform the revised job, a Participant must execute the severance agreement offered by the Bank in order to be eligible to receive payment.

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(b)Payments Not Related to a Termination of Employment. Final Awards which become vested for reasons other than a Termination of Employment will be paid in a single sum within 74 days following the end of the Performance Period, Deferral Performance Period or Gap Year Performance Period, as applicable.

(c)Notwithstanding the foregoing provisions of this Section, Final Awards will be paid upon approval by the Board. However, in the event of a Change in Control, payment of a Final Award will be made in a single sum on the date on which the Change in Control occurs; provided however, if a Participant is eligible for Retirement as of the date of a Change in Control, then the Final Award of such Participant shall be made no sooner than the earliest to occur of (i) a change in the ownership or effective control of the Bank, or in the ownership of a substantial portion of the assets of the Bank, as defined under Treasury Regulation Section 1.409A-3(i)(5); (ii) the Participant’s Termination of Employment; or (iii) the payment date under Section 3.7(b) of this Plan.

Section 3.8Reduction or Forfeiture of Awards.

(a)By resolution, the Board may reduce or eliminate any Award not yet paid, if the Board finds that a serious, material safety-soundness problem, or a serious, material risk-management deficiency exists at the Bank, or if: (i) errors or omissions result in material revisions to the Bank’s financial results, information submitted to a regulatory or a reporting agency, or information used to determine incentive compensation payouts; (ii) information submitted to a regulatory or a reporting agency is untimely; or, (iii) the Bank does not make appropriate progress, as determined by the Board, in the timely remediation of examination, monitoring, or other supervisory findings and matters requiring attention.

(b)If during the Deferral Performance Period actual losses or other measures or aspects of performance related to the Performance Period or Deferral Performance Period are realized which would have caused a reduction in amount of the Final Award calculated for the Performance Period or Deferral Performance Period, then the remaining amount of the Final Award to be paid at the end of the applicable Deferral Performance Period may be reduced to reflect this additional information.

(c)Notwithstanding any other provision of the Plan, if a Participant breaches the terms of a Non-Solicitation Agreement, all of his/her unpaid vested and unvested Awards may be forfeited as of the effective date of the Board’s determination that such breach has occurred, which effective date shall be no sooner than the expiration of the cure period under Section 3.8(e) below. Any future payments for a vested Award will cease and the Bank will have no further obligation to make such payments.

(d)Notwithstanding any other provision of the Plan, if during the most recent examination of the Bank by the FHFA, the FHFA identified an unsafe or unsound practice or condition that is material to the financial operation of the Bank within the Participant’s area(s) of responsibility and such unsafe or unsound practice or condition is not subsequently resolved to the satisfaction of the Board, then upon expiration of the cure period under Section 3.8(e) below all or a portion of a

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Participant’s vested and unvested Awards may be forfeited as determined in the sole discretion of the Board. Any future payments for a vested Award will cease and the Bank will have no further obligation to make such payments.

(e)Notwithstanding any provision of this Section 3.8 to the contrary, prior to any reduction, elimination or forfeiture of any Participant Award, the applicable Participant shall be given notice of the determination under this Section 3.8 to reduce, eliminate or forfeit the Award and such Participant shall have a period of no less than 30 days to present information contrary to such decision or information showing that the issue or event causing the reduction, elimination or forfeiture has been cured to the satisfaction of the Board.

ARTICLE IV

ADMINISTRATION

Section 4.1Appointment of the President and CEO. Except for those powers expressly reserved to the Board, including determinations regarding eligibility and the amount of all Awards, under the Plan, the President and CEO, or a duly authorized officer of the Bank delegated by the President and CEO to act on his or her behalf, is hereby appointed to administer the Plan (the “Administrator”), and the President and the Administrator will be charged with the full power and the responsibility for administering the Plan in all its details.

Section 4.2Powers and Responsibilities of the Administrator. The Administrator will have all powers necessary to administer the Plan, including the power to construe and interpret the Plan document; to determine the manner and timing of any distribution of benefits under the Plan; to resolve any claim for benefits in accordance with Article V, and to appoint or engage advisors, including legal counsel, to render advice with respect to any of the Administrator’s responsibilities under the Plan. Any construction, interpretation, or application of the Plan by the Administrator will be final, conclusive and binding.

(a)Records and Reports. The Bank will be responsible for maintaining sufficient records to determine each Participant’s eligibility to participate in the Plan.

(b)Rules and Decisions. The Bank may adopt such rules as it deems necessary, desirable, or appropriate in the administration of the Plan. All rules and decisions of the Bank will be applied uniformly and consistently to all Participants in similar circumstances. When making a determination or calculation, the Board and the Bank will be entitled to rely upon information furnished by a Participant, the Bank or the legal counsel of the Bank.

(c)Application for Benefits. The Bank may require a Participant to complete and file with it an application for a benefit, and to furnish all pertinent information requested by it. The Bank may rely upon all such information so furnished to it, including the Participant’s current mailing address. Any notice or document required to be given or filed with the Bank will

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be properly given or filed if delivered to or mailed by registered mail, postage paid, to the Director of Human Resources, Federal Home Loan Bank of San Francisco, P.O. Box 7948, San Francisco, CA 94108.

Section 4.3Income and Employment Tax Withholding. The Bank will withhold from payments to Participants of their Awards, to the extent required by law, all applicable federal, state, city and local taxes.

Section 4.4Plan Expenses. The expenses incurred for the administration and maintenance of the Plan will be paid by the Bank.

ARTICLE V

BENEFIT CLAIMS

While a Participant need not file a claim to receive his or her Award under the Plan, if he/she wishes to do so, a claim must be made in writing and filed with the Administrator (a claim by the President and CEO shall be filed with the Board). If a claim is denied, the Administrator will furnish the claimant with written notice of its decision. A claimant may request a full and fair review of the denial of a claim for awards by filing a written request with the Administrator.

ARTICLE VI

AMENDMENT AND TERMINATION OF THE PLAN

Section 6.1Amendment of the Plan. The Bank, acting through the Board, may amend the Plan at any time in its sole discretion. Notwithstanding the foregoing, the Bank may not amend the Plan to reduce a Participant’s vested Award as determined on the day preceding the effective date of the amendment or to otherwise retroactively impair or adversely affect the rights of a Participant.

Section 6.2Termination of the Plan. The Bank, acting through the Board, may terminate the Plan at any time in its sole discretion. Absent an amendment to the contrary, Plan benefits that were earned and vested prior to the termination will be paid at the times and in the manner provided for by the Plan at the time of the termination.

ARTICLE VII

MISCELLANEOUS

Section 7.1Governing Law. Except to the extent superseded by laws of the United States, the laws of California will be controlling in all matters relating to the Plan without regard to the choice of law principles therein. The Plan shall be construed in a manner that is consistent and compliant with, or exempt from, Section 409A of the Internal Revenue Code of 1986, as amended (the “Code”) and any regulations promulgated thereunder. Any provision that is noncompliant with Section 409A

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of the Code is void or deemed amended to comply with Section 409A of the Code. The Plan is to be construed as a totally discretionary plan. This Plan shall be administered and interpreted to maximize the short-term deferral exemption to Code Section 409A, and a Participant shall not, directly or indirectly, designate the taxable year of an award payment under this Plan. The portion of any payment under this Plan that is paid within the short-term deferral period (within the meaning of Code Section 409A) shall be treated as a short-term deferral and not aggregated with other payments. To the extent applicable, any payment dates or events provided for in this Plan shall be deemed to incorporate any “grace periods” within the meaning of Code Section 409A. The Bank does not guarantee or warrant the tax consequences of the Plan, and the Participants shall in all cases be liable for any taxes due with respect to the Plan.

Section 7.2Headings and Gender. The headings and subheadings in the Plan have been inserted for convenience of reference only and will not affect the construction of the Plan provisions. In any necessary construction, the masculine will include the feminine and the singular the plural, and vice versa.

Section 7.3Spendthrift Clause. No benefit or interest available under the Plan will be subject in any manner to anticipation, alienation, sale, transfer, assignment, pledge, encumbrance or attachment by creditors of a Participant, either voluntarily or involuntarily.

Section 7.4Counterparts. This Plan may be executed in any number of counterparts, each one constituting but one and the same instrument, and may be sufficiently evidenced by any one counterpart.

Section 7.5No Enlargement of Employment Rights. Nothing contained in the Plan is intended to alter a Participant’s “at will” employment and is not to be construed as a contract of employment between the Bank and any person, nor may the Plan be deemed to give any person the right to be retained in the employ of the Bank or limit the right of the Bank to employ or discharge any person with or without cause.

Section 7.6Limitations on Liability. The individual members of the Board will, in accordance with the Bank’s by-laws, be indemnified and held harmless by the Bank with respect to any alleged breach of responsibilities performed or to be performed hereunder. In addition, notwithstanding any other provision of the Plan, neither the Bank nor any individual acting as an employee or agent of the Bank will be liable to a Participant for any claim, loss, liability or expense incurred in connection with the Plan, except when the same has been affirmatively determined by a court order or by the affirmative and binding determination of an arbitrator, to be due to the gross negligence or willful misconduct of that person.

Section 7.7Incapacity of Participant. If any person entitled to receive a distribution under the Plan is physically or mentally incapable of personally receiving and giving a valid receipt for any payment due (unless a prior claim for the distribution has been made by a duly qualified guardian or other legal representative), then, unless and until a claim for the distribution has been made by a duly appointed guardian or other legal representative of the person, the distribution may be made to any other individual or institution then contributing toward or providing for the care and maintenance of the person.

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Any payment made for the benefit of the person under this Section will be a payment for the account of such person and a complete discharge of any liability of the Bank and the Plan.

Section 7.8Evidence. Evidence required of anyone under the Plan may be by certificate, affidavit, document or other information which the person relying on the evidence considers pertinent and reliable, and signed, made or presented by the proper party or parties.

Section 7.9Action by Bank. Any action required of or permitted by the Bank under the Plan will be by resolution of the Board or by a person or persons authorized by resolution of the Board.

Section 7.10Severability. In the event any provisions of the Plan are held to be illegal or invalid for any reason, the illegality or invalidity will not affect the remaining parts of the Plan, and the Plan will be construed and endorsed as if the illegal or invalid provisions had never been contained in the Plan.

Section 7.11Information to be Furnished by a Participant. A Participant, or any other person entitled to benefits under the Plan, must furnish the Bank with any and all documents, evidence, data or other information the Bank considers necessary or desirable for the purpose of overseeing and administering the Plan. Benefit payments under the Plan are conditioned on a Participant (or other person who is entitled to benefits) furnishing full, true and complete data, evidence or other information to the Bank, and on the prompt execution of any document reasonably related to the administration of the Plan requested by the Bank.

Section 7.12Attorneys’ Fees. If any action is commenced to enforce the provisions of the Plan, payment of attorneys’ fees will be governed by the terms set forth in the “Agreement to Arbitrate” entered into between the Bank and the Participant.

Section 7.13Binding on Successors. The Plan will be binding upon and inure to the benefit of the Bank and its successors and assigns, and the successors, assigns, designees and estates of a Participant. The Plan will also be binding upon and inure to the benefit of any successor organization succeeding to substantially all of the assets and business of the Bank, but nothing in the Plan will preclude the Bank from merging or consolidating into or with, or transferring all or substantially all of its assets to, another organization which assumes the Plan and all obligations of the Bank hereunder. The Bank agrees that it will make appropriate provision for the preservation of a Participant’s rights under the Plan in any agreement or plan which it may enter into to effect any merger, consolidation, reorganization or transfer of assets. Upon such a merger, consolidation, reorganization or transfer of assets and assumption of Plan obligations of the Bank, the term “Bank” will refer to such other organization and the Plan will continue in full force and effect.

Approved 5/28/2021 14

APPENDIX I 2017 PERFORMANCE PERIOD GOALS & QUALIFIERS & AWARDS SCALE/AWARDS
2017 Goals	2017 Goal Components	Goal Weight	Goal Component Weight	2017 Goal Measures
1) RISK MANAGEMENT		20%		In the event of a Significant Deficiency or Material Weakness in internal control over financial reporting, a significant operations loss, or a significant noncompliance with Bank policy as described in the Bank’s Risk Management Policy, the Board of Directors will assess the impact and appropriate adjustment to the Risk Management goal achievement level, if any.
	A) Technology Resiliency		50%	75%: Complete the End User Computing Modernization initiative, which moves             Microsoft Windows and Office platforms to the cloud (Office 365) to increase             resiliency as well as productivity 100%: Certify that the build of the data center infrastructure servicing the Bank has been              completed 125%: Migrate 50% of the Bank’s environment to the new data center 150%: Migrate 100% of the Bank’s environment to the new data center
	B) Business Continuity /      Crisis Management		50%	75%: 1 Crisis Mgmt. Team Tabletop (1 external threat scenario) 100%: 2 Crisis Mgmt. Team Tabletops (1 Cyber & 1 external threat scenario) 125%: 3 Crisis Mgmt. Team Tabletops (1 Cyber & 2 external threats) and 1 Cyber             Incident Response Team Tabletop scenario 150%: 3 Crisis Mgmt. Team Tabletops (1 Cyber & 2 external threats) and 2 Cyber             Incident Response Team Tabletop scenarios
2) FRANCHISE ENHANCEMENT		40%
	A) Financial Performance		25%	Adjusted Return on Capital Spread (AROC)
				75%	100%	125%	150%
				2.81%	3.06%	3.31%	3.56%
				[Achievement level targets and measured performance exclude OTTI charges]
	B) Operating Cost      Efficiency Initiative		25%	75%: 100%: 125%: 150%:	} Subjective assessment by the Board of Directors
	C) Member Business		25%	Member Advances and Letters of Credit (LC) Volume
				Average Outstanding Daily Balance ($Bils.)
				75%	100%	125%	150%
				$53.7	$60.0	$62.0	$64.0
			25%	Member Engagement
				75%	100%	125%	150%
				40%	45%	50%	55%
3) COMMUNITY INVESTMENT		20%
	A) CIP/ACE/HPA      Advances, Letters of      Credit & AHEAD       (# of Members)		100%	(# of Members)
				75%	100%	125%	150%
				38	41	44	47
4) ORG. HEALTH / DIVERSITY & INCLUSION		20%
	A) Diversity &      Inclusion		100%	75%: Provide two (semi-annual) Bank-wide D&I training events [e.g., workplace,             supplier/contracting diversity] 100%: Develop and implement a formal supplier diversity program 125%: Present Leadership Series for key groups of women and minorities in Bank leadership              positions •Women in Leadership Series and Minorities in Leadership Series            Provide 2 events in each series for a total of 4 events 150%: Develop and implement a formal MWD internship program

Approved 12/23/16 1

2017 Performance Period Goals, Qualifiers & Awards Scale (cont'd)

Incentive Award Opportunities

	Total Incentive Award as % of Compensation (Base Salary)				Year-End Incentive Award as % of Compensation (Base Salary)				Deferred Incentive Award as % of Compensation (Base Salary)
	Threshold	Meets (Target)	Exceeds	Far Exceeds	Threshold	Meets (Target)	Exceeds	Far Exceeds	Threshold	Meets (Target)	Exceeds	Far Exceeds
CEO/EVP/SVPs	40%	80%	96%	100%	20%	40%	48%	50%	20%	40%	48%	50%

Goal Weights

	CEO/EVP/SVPs		SVP, Chief Risk Officer
	Corporate Goal Weights	Goal Weight (includes individual goals)	Corporate Goal Weights	Goal Weight (includes individual goals)
Individual	N/A	10.0%	N/A	10.0%
Risk Management	20.0%	18.0%	50.0%	45.0%
Franchise Enhancement	40.0%	36.0%	30.0%	27.0%
Community Investment	20.0%	18.0%	10.0%	9.0%
Organizational Health / Diversity and Inclusion	20.0%	18.0%	10.0%	9.0%
Total	100.0%	100.0%	100.0%	100.0%

Qualifiers

The following are the performance qualifiers for any Award: (i) no submission of material information to a regulatory or a reporting agency is significantly past due; (ii) the Bank makes sufficient progress, as determined by the Board, in the timely remediation of significant examination, monitoring and other supervisory findings; (iii) no material risk-management deficiency exists at the Bank; (iv) no operational errors or omissions result in material revisions to the financial results, information submitted to the FHFA, or data used to determine incentive payouts; (v) the Bank has sufficient capital to pay dividends and the ability to repurchase member stock.

Approved 12/23/16 2

APPENDIX IIAWARDS AND GOALS APPLICABLE TO 2020 GAP YEAR (2017-2019 LTIP)

Incentive Award Opportunities

	Long-Term Incentive Award as a % of Compensation (Base Salary effective February 1, 2017)
Position	Threshold	Meets (Target)	Exceeds	Far Exceeds
CEO/EVP/SVPs	20%	40%	48%	50%

Awards are based on the level at which the following three-year performance goals and metrics have been achieved.

Goals

1.3-Year Average Adjusted Return on Capital Spread: Adjusted Return on Capital Spread (AROCS) is the primary measure the Bank uses to determine total rate of return to shareholders. The Meets (Target) AROCS achievement level has been set at 2.43% and represents the projected average for the performance period (January 1, 2017 through December 31, 2019) and is consistent with the Bank’s Strategic Plan forecast. Threshold AROCS has been set at 2.18%, Exceeds achievement level has been set at 2.68% and Far Exceeds achievement level has been set at 2.93%.

2.3-Year Average Risk Management: Risk Management is based on the 3-year average of the actual Risk Management goal achievement levels for 2017, 2018, and 2019, and will be set at the end of the performance period.

Goals / Weights / Measures

Goals	Goal Weight	Threshold	Meets (Target)	Exceeds	Far Exceeds
AROCS Goal (3-Year Average Spread Over Benchmark	30%	2.18%	2.43%	2.68%	2.93%
Risk Management	70%	Based on the 3-year average of the actual Risk Management goal achievement levels for 2017, 2018, and 2019

Approved 12/23/16 3

APPENDIX III

FORM OF NON-SOLICITATION AND NON-DISCLOSURE AGREEMENT

This Agreement is entered into as of the ____ day of _____________, 201_, by and between the FEDERAL HOME LOAN BANK OF SAN FRANCISCO, a corporation organized under the laws of the United States (the “Bank”) and ____________________ (the “Executive”).

WHEREAS, the Bank sponsors the Federal Home Loan Bank of San Francisco Executive Incentive Plan (the “Plan”); and

WHEREAS, as a condition of participation in the Plan, the Bank requires that the Executive agree to the terms and conditions found within this Agreement;

NOW, THEREFORE, in consideration of the premises and of the mutual promises and agreements contained herein and other good and valuable consideration, the receipt, legal adequacy and sufficiency of which are hereby acknowledged, the parties agree as follows:

1.    Non-Disclosure; Return of Confidential Information and Other Property.

(a)Access to Confidential Information. The Executive understands, acknowledges and agrees that during the course of his or her employment with the Bank he or she has gained or will gain information regarding, knowledge of, and familiarity with, the Confidential Information of the Bank (as defined in subsection (c)) that would cause irreparable damage and harm to the Bank if it was disclosed. The Executive understands, acknowledges and agrees that the Confidential Information has substantial economic value because it is not known or readily ascertainable by proper means by others who could obtain economic value from it. The Executive also acknowledges and agrees that the Bank uses reasonable means to maintain the secrecy and confidentiality of the Confidential Information.

(b)Non-Disclosure. At all times while the Executive is employed by the Bank, and at all times thereafter, the Executive will not (i) directly or indirectly disclose, provide or discuss any Confidential Information with or to any Person (as defined in subsection (d)) other than those directors, officers, employees, representatives and agents of the Bank who need to know such Confidential Information for a proper corporate purpose, and (ii) directly or indirectly use any Confidential Information (A) to compete against the Bank, or (B) for the Executive’s own benefit, or for the benefit of any Person other than the Bank.

(c)Confidential Information Defined. For purposes of this Agreement, the term “Confidential Information” means any and all:

(i)materials, records, data, documents, lists, writings and information (in each case, whether in writing, printed, verbal, electronic, computerized or otherwise) (A) relating or referring in any manner to the business, operations, affairs, financial condition, results of operation, cash flow, assets, liabilities, sales, revenues, income, estimates, projections, policies, strategies, techniques, methods, products, developments, suppliers, regulators, members, relationships and/or customers of the Bank that are confidential, proprietary or not otherwise publicly available, in any event not without a breach of this Agreement, or (B) that the Bank has

Approved 12/23/16 1

deemed confidential, proprietary, nonpublic or not otherwise publicly available without breaching this Agreement;

(ii)trade secrets of the Bank, as defined in California Civil Code Section 3426.1(d), as amended, or any successor statute; and

(iii)any and all copies, summaries, analyses and extracts which relate or refer to or reflect any of the items set forth in (i) or (ii) above. The Executive agrees that all Confidential Information is confidential and is and at all times will remain the property of the Bank.

(d)Person Defined. For purposes of this Agreement, the term “Person” will mean any natural person, proprietorship, partnership, corporation, limited liability company, bank, organization, firm, business, joint venture, association, trust or other entity and any government agency, body or authority.

(e)Return of Confidential Information and Other Property. The Executive covenants and agrees:

(i)to keep all Confidential Information subject to the Bank’s custody and control and to promptly return to the Bank all Confidential Information that is still in the Executive’s possession or control at the termination of the Executive’s employment with the Bank; and

(ii)promptly upon termination of the Executive’s employment with the Bank, to return to the Bank, at the Bank’s principal office, all vehicles, equipment, computers, credit cards and other property of the Bank and to cease using any of the foregoing.

(f)Exceptions from Confidentiality Obligations. Section 1 shall not be deemed to prevent the Executive from making disclosures required or made permissible by applicable statute or regulation. Section 1 shall also not be deemed to prevent the Executive from making disclosure required by agency or court order, to the extent that prior to disclosure, the Executive provides the Bank with timely written notice of order , to the extent such prior notice is not prohibited, so as to allow the Bank to contest the order.

2.Non-Disparagement. The Executive agrees to not communicate disparaging remarks to third parties about the Bank, its directors, officers or employees. Likewise, the Bank agrees not to disparage the Executive or his or her skills or job performance to third parties. However, nothing in this paragraph shall prohibit the Bank or the Executive from testifying truthfully under oath. In addition, Section 2 shall not be deemed to prevent the Executive from making disclosures required or made permissible by applicable statute or regulation. Section 2 shall also not be deemed to prevent the Executive from making disclosure required by agency or court order, to the extent that prior to disclosure, the Executive provides the Bank with timely written notice of order, to the extent such prior notice is not prohibited, so as to allow the Bank to contest the order.

3.Non-Solicitation. The Executive hereby understands, acknowledges and agrees that, by virtue of his or her position with the Bank, the Executive has and will have advantageous familiarity and personal contacts with the employees of the Bank and has and will have advantageous familiarity with the business, operations and affairs of the Bank. In addition, the Executive understands, acknowledges and agrees that the business of the Bank is highly competitive. Accordingly, at all times while the Executive is employed by the Bank and for a twelve-month period following termination of employment, the Executive will not, directly or indirectly, or individually or together with any other Person, as owner, shareholder, investor, member, partner,

Approved 12/23/16 2

proprietor, principal, director, officer, Executive, manager, agent, representative, independent contractor, consultant or otherwise induce, request or attempt to influence any Bank employee who was employed by the Bank during the twelve-month period prior to termination of employment, to terminate his or her employment with the Bank.

4.Periods of Noncompliance and Reasonableness of Periods. The restrictions and covenants contained in Section 3 will not run during all periods of noncompliance and will apply during the Term of this Agreement and for the full periods specified in Section 3. The Bank and the Executive understand, acknowledge and agree that the restrictions and covenants contained in Section 3 are reasonable in view of the nature of the business in which the Bank is engaged, the Executive’s position with the Bank and the Executive’s advantageous knowledge and familiarity with, the Bank’s employees, business, operations, affairs and customers.

The Bank’s obligation to pay an award to the Executive pursuant to the Federal Home Loan Bank of San Francisco Incentive Plan will immediately terminate in the event the Executive breaches any of the provisions of Section 1 or 3 and all outstanding awards will be forfeited. Notwithstanding the foregoing:

(a)the Executive’s covenants set forth in Sections 1 or 3 will continue in full force and effect and be binding upon the Executive;

(b)the Bank will be entitled to the remedies specified in Section 6; and

(c)the Bank will be entitled to its damages, costs and expenses (including, without limitation, reasonable attorneys’ fees and expenses) resulting from or relating to the successful prosecution of the Executive’s breach of any of the provisions of Section 1 or 3.

5.Survival of Certain Provisions. Upon any termination of the Executive’s employment with the Bank, the Executive and the Bank hereby expressly agree that the provisions of Sections 1, 3, 4 and 6 will continue to be in full force and effect and binding upon the Executive and the Bank in accordance with the applicable respective provisions of such Sections.

6.Remedies. The Executive agrees that the Bank will suffer irreparable damage and injury and will not have an adequate remedy at law in the event of any actual, threatened or attempted breach by the Executive of any provision of Section 1 or 3. Accordingly, in the event of a threatened, attempted or actual breach by the Executive of any provision of Section 1 or 3, in addition to all other remedies to which the Bank is entitled at law, in equity or otherwise, the Bank may be entitled to a temporary restraining order and a permanent injunction or a decree of specific performance of any provision of Section 1 or 3. The foregoing remedies will not be deemed to be the exclusive rights or remedies of the Bank for any breach of or noncompliance with this Agreement by the Executive but will be in addition to all other rights and remedies available to the Bank at law, in equity or otherwise.

7.Severability. In case any one or more of the provisions (or any portion thereof) contained herein will, for any reason, be held to be invalid, illegal or unenforceable in any respect, such invalidity, illegality or unenforceability will not affect any other provision of this Agreement, but this Agreement will be construed as if such invalid, illegal or unenforceable provision or provisions (or portion thereof) had never been contained herein. If any provision of this Agreement will be determined by a court of competent jurisdiction to be unenforceable because of the provision’s scope, duration or other factor, then such provision will be considered

Approved 12/23/16 3

divisible and the court making such determination will have the power to reduce or limit (but not increase or make greater) such scope, duration or other factor or to reform (but not increase or make greater) such provision to make it enforceable to the maximum extent permitted by law, and such provision will then be enforceable against the appropriate party hereto in its reformed, reduced or limited form; provided, however, that a provision will be enforceable in its reformed, reduced or limited form only in the particular jurisdiction in which a court of competent jurisdiction makes such determination.

8.Entire Agreement. This Agreement sets forth the entire understanding of the parties hereto with respect to its subject matter, merges and supersedes all prior and contemporaneous understandings with respect to its subject matter, and may not be waived or modified, in whole or in part, except in writing signed by each of the parties hereto. No waiver of any provision of this Agreement in any instance will be deemed to be a waiver of the same or any other provision in any other instance. The recitals set forth above are incorporated herein by this reference.

9.Effect and Modification. No statement or promise, except as set forth herein, has been made with respect to the subject matter of this Agreement. No modification or amendment will be effective unless in writing and signed by the Executive and an officer of the Bank (other than the Executive).

10.Non-Waiver. The Bank’s or the Executive’s failure or refusal to enforce all or any part of, or the Bank’s or the Executive’s waiver of any breach of this Agreement, will not be a waiver of the Bank’s or the Executive’s continuing or subsequent rights under this Agreement, nor will such failure or refusal or waiver have any effect on the subsequent enforceability of this Agreement.

11.Non-Assignability. This Agreement contemplates that the Executive will personally provide the services described herein, and accordingly, the Executive may not assign the Executive’s rights or obligations hereunder, whether by operation of law or otherwise, in whole or in part, without the prior written consent of the Bank.

12.Notice. Any notice, request, instruction or other document to be given hereunder to any party will be in writing and delivered by hand, telegram, registered or certified United States mail return receipt requested, or other form of receipted delivery, with all expenses of delivery prepaid, as follows:

If to the Executive
If to the Bank
	Federal Home Loan Bank of San Francisco
	c/o General Counsel and Corporate Secretary
	P.O. Box 7948
	San Francisco, CA 94120

13.Governing Law. This Agreement is being delivered in and will be governed by the laws of the State of California without regard to the choice of law principles thereof. Any dispute regarding this Agreement

Approved 12/23/16 4

will be brought in any California state or federal court having jurisdiction in the matter and the Executive expressly consents to the jurisdiction of such courts.

14.Prior Agreements. The Executive represents and warrants to the Bank that the Executive is not a party to or otherwise bound by any agreement that would restrict in any way the performance by the Executive of the Executive’s duties, services and obligations under this Agreement, that the Executive has disclosed to the Bank all employment type agreements to which the Executive has been bound, including without limitation employment agreements, consulting agreements, non-compete agreements or covenants, confidentiality or non-disclosure agreements or covenants, and intellectual property assignment agreements, and that the Bank will not have any liability to any third party arising out of the Executive entering into this Agreement or performing hereunder.

15.Effect of Headings. The descriptive headings of the Sections and, where applicable, subsections, of this Agreement are inserted for convenience and identification only and do not constitute a part of this Agreement for purposes of interpretation.

16.Counterparts. This Agreement may be executed in two or more counterparts, each of which will be deemed an original, but all of which collectively will constitute one and the same instrument.

17.Miscellaneous. Capitalized terms not otherwise defined herein shall have the meanings ascribed to them in the Plan.

IN WITNESS WHEREOF, the Bank, by its officer thereunder duly authorized, and the Executive, have caused this Non-Solicitation and Non-Disclosure Agreement to be executed as of the day and year first above written.

FEDERAL HOME LOAN BANK
OF SAN FRANCISCO	EXECUTIVE
By:
Its:
By:
Its:

Approved 12/23/16 5

APPENDIX IV 2018 Performance Period Goals, Qualifiers, and Awards Scale
2018 Goals	2018 Goal Components	Goal Weight	Goal Component Weight	2018 Goal Measures
1) Risk Management		20%		In the event of a significant deficiency or material weakness in internal control over financial reporting, a significant operational loss, or a significant noncompliance with Bank policy as described in the Bank’s Risk Management Policy, the Board of Directors will assess the impact and will make appropriate adjustments to the Risk Management goal achievement level.
	Cyber-security Threat Management		100%	75%: Enhance cyber-security threat metrics 100%: Threshold plus conduct one internal and one external cyber-security threat table top exercise 125%: Meets plus operationalize system hardening 150%: Exceeds plus meet SLA for critical vulnerabilities with public exploits, and reduce backlog of critical vulnerabilities by 80%
2) Franchise Enhancement		40%
	A) Financial Performance		25%	Adjusted Return on Capital Spread
				75%	100%	125%	150%
				2.13%	2.43%	2.73%	3.03%
	B) Operating Expense Efficiency		25%	Actual 2018 Core Operating Expenses ($Mils.)
				75%	100%	125%	150%
				$128.4	$127.4	$126.4	$125.4
	C) Advances and Letters of Credit		25%	Member Advances and Letters of Credit (Average Daily Balance ($Bils.)
				75%	100%	125%	150%
				$69.1	$77.5	$80.0	$82.5
	D) Member Engagement (RMS and Specialists - Total)		12.5%	Count
				75%	100%	125%	150%
				132	149	165	182
	(Specialists-15% of Total)		12.5%	20	22	25	27
3) Community Investment		20%
	CIP/ACE/HPA Advances, Letters of Credit, & AHEAD		100%	Number of Members
				75%	100%	125%	150%
				39	47	50	55
4) Diversity & Inclusion		20%
	Diversity and Inclusion Strategic Plan		100%	75%: Develop 2018-2020 Diversity and Inclusion (D&I Strategic Plan) 100%: Threshold plus target (100%) level of achievement against D&I initiatives 125%: Meets plus Exceed level of achievement against D&I initiatives 150%:  Exceeds plus deliver Capital markets hosted outreach seminar for diverse broker/dealers and complete one diverse supplier incubator partnership

Approved 12/1/17 1

2018 Performance Period Goals, Qualifiers & Awards Scale (cont'd)

Incentive Award Opportunities

	Total Incentive Award as % of Compensation (Base Salary)				Year-End Incentive Award as % of Compensation (Base Salary)				Deferred Incentive Award as % of Compensation (Base Salary)
	Threshold	Meets (Target)	Exceeds	Far Exceeds	Threshold	Meets (Target)	Exceeds	Far Exceeds	Threshold	Meets (Target)	Exceeds	Far Exceeds
CEO/EVP/SVPs	40%	80%	96%	100%	20%	40%	48%	50%	20%	40%	48%	50%

Goal Weights

	CEO/SVPs		SVP, Chief Risk Officer
	Corporate Goal Weights	Goal Weight (includes individual goals)	Corporate Goal Weights	Goal Weight (includes individual goals)
Individual	N/A	20.0%*	N/A	20.0%*
Risk Management	20.0%	16.0%	50.0%	40.0%
Franchise Enhancement	40.0%	32.0%	25.0%	20.0%
Community Investment	20.0%	16.0%	10.0%	8.0%
Diversity and Inclusion	20.0%	16.0%	15.0%	12.0%
Total	100.0%	100.0%	100.0%	100.0%

Qualifiers

The following are the performance qualifiers for any Award: (i) no submission of material information to a regulatory or a reporting agency is significantly past due; (ii) the Bank makes sufficient progress, as determined by the Board, in the timely remediation of significant examination, monitoring and other supervisory findings; (iii) no material risk-management deficiency exists at the Bank; (iv) no operational errors or omissions result in material revisions to the financial results, information submitted to the FHFA, or data used to determine incentive payouts; (v) the Bank has sufficient capital to pay dividends and the ability to repurchase member stock.

* In support of the 20 percent goal weights, management is developing individual goal descriptions and quantifying measures for EIP participants, which will be presented to the Board for review and approval in January 2018, subject to Finance Agency review.

Approved 12/1/17 2

APPENDIX V

2019 Performance Period Goals, Qualifiers & Awards Scale

2019 Goals	2019 Goal Components	Goal Weight	Goal Component Weight	2019 Goal Measures (Revised and Approved 1/25/19)
1) Risk Management		20%		In the event of a significant deficiency or material weakness in internal control over financial reporting, a significant operational loss, or a significant noncompliance with Bank policy as described in the Bank’s Risk Management Policy, the Board of Directors will assess the impact and will make appropriate adjustments to the Risk Management goal achievement level.
	A) Cyber-Security Threat Management (Revised and Approved 1/25/19)			Threshold (75%): Enhance standard cyber security awareness program to include at least four (4) topical sessions for users that address current security trends and threats.
			50%	Meets (100%): Threshold Plus Define/implement methodology for identifying/documenting negative operational trends that require escalation and remediation. Further mature security posture, establish an all IT standard, adopt innovative techniques of machine learning, and advance incident response plan.
				Exceeds (125%): Meets Plus Operational security compliance management enhancements. Disposition of all outstanding compliance gaps (as of 1/1/19) such that each item has a documented action plan with a reasonable target date, a risk acceptance request, or a waiver.
				Far Exceeds (150%): Exceeds Plus Business Continuity. After completion of refresh of the bank-wide Business Impact Analysis and Business Continuity Plan, the next level of enhancement is to design and implement integrated testing of applications and servers.
	B) Risk Management Practices and Credit Underwriting		50%	Threshold: Expand the Governance-Risk-Control ("GRC") tool to manage bank-wide policies.
				Meets: Threshold Plus Implement prepay/default model (QRM) for market risk analytics.
				Exceeds: Meets Plus Transition the OTTI PLRMBS model validation to in-house.
				Far Exceeds: Exceeds plus Refresh credit and collateral framework.
2) Franchise Enhancement		40%
	A) Financial Performance		40%	Adjusted Return on Capital Spread
				75%	100%	125%	150%
				1.70%	2.00%	2.30%	2.60%
	B) Bank-wide Prioritization and Process Improvement		10%	Threshold: Bank-wide prioritization process implemented, voting members meet a minimum of six times and lean change agents trained on the pitch process.
				Meets: Threshold Plus Lean change agents trained in Lean Foundations. One cross-bank end to end process analyzed, mapped, and evaluated under lean framework. Corresponding cross team brainstorming and problem-solving event held to deliver improvements.
				Exceeds: Meets Plus Additional set of Bank team members trained (Pitch or Lean Foundations) and a second brainstorming and problem-solving event held to deliver improvements.
				Far Exceeds: Exceeds Plus Each business unit (defined by ELT level) delivers on quantifiable process improvement.
	C) Advances and Letters of Credit		25%	Member Advances and Letters of Credit (Average Daily Balance ($Bils.)
				75%	100%	125%	150%
				$76.5	$85.0	$87.5	$90.0
	D) Member Engagement  - RMS and Specialists - Total		12.5%	Number of Engagements
				75%	100%	125%	150%
				99	110	116	122
	- Member Engagement Events		12.5%	10	12	14	16

Approved 12/7/18 Page 1

2019 Performance Period Goals, Qualifiers & Awards Scale (cont'd)

2019 Goals	2019 Goal Components	Goal Weight	Goal Component Weight	2019 Goal Measures (Revised and Approved 1/25/19)
3) Community Investment		20%
	CIP/ACE Advances, Letters of Credit, & AHEAD		100%	Number of Members
				75%	100%	125%	150%
				42	47	50	55
4) Diversity & Inclusion		20%
	Implement: 2019 D&I Strategic Initiatives, Supplier Diversity Training and Program Enhancement, Value Differences Training, and Increase Diverse Dealer Utilization.		100%	Threshold: Implement 2019 D&I Strategic Initiatives as approved by the Board of Directors within the 2018-2020 D&I Strategic Plan.
				Meets: Threshold plus the Supplier Diversity program to conduct business unit level training, develop diverse supplier scorecards and set quarterly diverse spend targets, resulting in 15%-20% diverse spend.
				Exceeds: Target plus Human Resources to provide leadership competency training, includes Values Differences competency, for at least 75% of employees.
				Far Exceeds: Exceeds plus Capital Markets to increase diverse dealer utilization to 75% with the Bank's current sixteen (16) approved MWI firms.

Incentive Award Opportunities

	Total Incentive Award as % of Compensation (Base Salary)				Year-End Incentive Award as % of Compensation (Base Salary)				Deferred Incentive Award as % of Compensation (Base Salary)
Title	Threshold	Meets (Target)	Exceeds	Far Exceeds	Threshold	Meets (Target)	Exceeds	Far Exceeds	Threshold	Meets (Target)	Exceeds	Far Exceeds
CEO/ EVP/ SVP	40%	80%	96%	100%	20%	40%	48%	50%	20%	40%	48%	50%

Goal Weights

	CEO/EVP/SVP		SVP, Chief Risk Officer
	Corporate Goal Weights	Goal Weight (incl. individual goals)	Corporate Goal Weights	Goal Weight (incl. individual goals)
Individual	N/A	20.0%	N/A	20.0%
Risk Management	20.0%	16.0%	50.0%	40.0%
Franchise Enhancement	40.0%	32.0%	25.0%	20.0%
Community Investment	20.0%	16.0%	10.0%	8.0%
Diversity and Inclusion	20.0%	16.0%	15.0%	12.0%
Total	100.0%	100.0%	100.0%	100.0%

Qualifiers

The following are the performance qualifiers for any Award: (i) no submission of material information to a regulatory or a reporting agency is significantly past due; (ii) the Bank makes sufficient progress, as determined by the Board, in the timely remediation of significant examination, monitoring and other supervisory findings; (iii) no material risk-management deficiency exists at the Bank; (iv) no operational errors or omissions result in material revisions to the financial results, information submitted to the FHFA, or data used to determine incentive payouts; (v) the Bank has sufficient capital to pay dividends and the ability to repurchase member stock.

Approved 12/7/18 2

APPENDIX VI

2020 Performance Period Goals, Qualifiers & Awards Scale

Goals	Goal Components	Goal Weight	Goal Component Weight	Goal Measures
Risk Management		30%
	A) Cybersecurity - Strengthen Access Management to Bank Information		30%	Threshold (75%): Replace the requirement for Bank team members to enter a shared secret identifier (user ID and complex password) to access the Bank’s computing environment with alternative user validation processes and technology. The replacement must meet or exceed authentication controls standards defined by NIST, be easier for team members to recall than a traditional password and integrate with the Bank’s existing identity and access management controls.
				Meets (100%): Onboard all High and Medium Inherent-Risk enterprise applications that have been risk ranked in 2019 to SailPoint, the Bank’s centralized access management tool.
				Exceeds (125%): Strengthen the Access Control Review process by partnering with application owners to clearly define and document application entitlements for all High Inherent-Risk enterprise applications.
				Far Exceeds (150%): Partner with application owners to define and document application entitlements of 25% of the Medium Inherent-Risk enterprise applications.
	B) Credit Risk Management - Improve Efficiency and Quality of Underwriting		25%	Threshold (75%): Strengthen counterparty underwriting with focus on internal ratings methodology and adoption of formal benchmark ratings to assure compliance with the new regulation on extension of unsecured credit which removes reliance on NRSRO ratings.
				Meets (100%): Re-design the member credit underwriting process to allow for increased automation and resource allocation commensurate to a member’s risk profile, underwriting complexity, and/or strategic importance.
				Exceeds (125%): Enhance member credit underwriting methodologies and quantitative/credit model support for insurance companies.
				Far Exceeds (150%): Be production ready with a credit underwriting platform including automated workflows, data-driven analytics, approval process management, and document administration to: (1) boost underwriting effectiveness and efficiency, (2) foster an end-to-end member-focused approach, and (3) enhance risk governance.
	C) Compliance Risk Management - Strengthen Enterprise-Wide Compliance Framework		25%	Threshold (75%): Complete the Bank’s inventory of regulatory requirements and enter the population into the Logic Manager GRC Platform to allow for follow-up process automation.
				Meets (100%): Define and implement a Compliance/Regulatory-related risk rating matrix (“Compliance Risk Taxonomy”) for assessing the risk of non-compliance with regulatory requirements (as “High, Medium, or Low”)
				Exceeds (125%): Based on the Taxonomy identified in the “Meets” goal, compile a listing of all Bank process and control activities applicable to those regulatory requirements assessed as “high-risk.”
				Far Exceeds (150%): Based on the Taxonomy identified in the “Meets” goal, compile a listing of all Bank process and control activities applicable to at least 25% of those regulatory requirements assessed as “medium risk.”
	D) Execute the Bank’s LIBOR Transition Plan		20%	Threshold (75%): Adhere to new ISDA benchmark fallbacks protocol to amend legacy derivatives contracts with improved standard LIBOR fallback provisions.
				Meets (100%): Implement certification process from members regarding the amount of pledged LIBOR-indexed collateral, request information about the successor index from members providing loan level data and determine collateral discount methodology for LIBOR-indexed collateral.
				Exceeds (125%): Provide an update of the LIBOR transition financial risk assessment reported to the Board and include balance sheet and income statement exposure, as well as renewed PLMBS analysis.
				Far Exceeds (150%): Enhance processes to support funding, hedging, and member products that require non-LIBOR derivatives with embedded options.

Approved 1/31/20 1

2020 Performance Period Goals, Qualifiers & Awards Scale (con’t)

Goals	Goal Components	Goal Weight	Goal Component Weight	Goal Measures
Franchise Enhancement		40%
	A) Financial Performance - Adjusted Return on Capital Spread		30%	Adjusted Return on Capital Spread
				75%	100%	125%	150%
				1.90%	2.20%	2.50%	2.80%
	B) Talent - Talent Development		20%	Threshold (75%): Develop and implement a talent management framework and all Extended Leadership Team (ELT) members complete the Competency Workshops.
				Meets (100%): All Leadership Team (LT) members complete a 360-review process and create a development plan based on the 360-review feedback.
				Exceeds (125%): All ELT members complete a 360-review process and create a development plan based on the 360-review feedback.
				Far Exceeds (150%): All ELT members complete a Workday Talent Profile and 80% of Bank team members complete the Competency Workshops.
	C) Member Business - Advances and Letters of Credit Volume		15%	Member Advances and Letters of Credit (Average Daily Balance ($Bils.)
				75%	100%	125%	150%
				$70.0	$78.0	$83.0	$85.5
	D) Member Business - Member Engagement		15%	Number of Engagements
				75%	100%	125%	150%
				110	125	135	145
	E) Prioritization - Bank-Wide Prioritization and Process Improvement		20%	Threshold (75%): Broaden the Banks prioritization framework to include small efforts (1-2 months of work effort), RPA, and process improvement to ensure the highest value items are being allocated resources.
				Meets (100%): Host one or more idea generation event(s) to solicit ideas from across the Bank. Voters and Lean Change Agents champion ideas and ready them for inclusion into the bank-wide prioritization process.
				Exceeds (125%): Deliver one measurable cross-process improvement across one business unit.
				Far Exceeds (150%): Deliver one additional measurable cross-process improvement based on output from an idea generation event.
3) Community Investment		15%
	CIP/ACE Advances, Letters of Credit, and AHEAD		100%	Number of Members
				75%	100%	125%	150%
				42	47	50	55
4) Diversity & Inclusion		15%
	Diversity & Inclusion		100%	Threshold (75%): Expand internal internship program to a minimum of five (5) departments.
				Meets (100%): Deliver a training workshop focused on ensuring accountability and valuing differences to 80% of managers.
				Exceeds (125%): Host external event for diverse dealers with an educational element.
				Far Exceeds (150%): Design/develop diverse supplier incubator initiative with two (2) diverse suppliers.

Approved 1/31/20 2

2020 Performance Period Goals, Qualifiers & Awards Scale (con’t)

Incentive Award Opportunities

	Total Incentive Award as % of Compensation (Base Salary)				Year-End Incentive Award as % of Compensation (Base Salary)				Deferred Incentive Award as % of Compensation (Base Salary)
Title	Threshold	Meets (Target)	Exceeds	Far Exceeds	Threshold	Meets (Target)	Exceeds	Far Exceeds	Threshold	Meets (Target)	Exceeds	Far Exceeds
CEO/ EVP	40%	80%	96%	100%	20%	40%	48%	50%	20%	40%	48%	50%

Goal Weights

	CEO/EVP		EVP, Chief Risk Officer
	Corporate Goal Weights	Goal Weight (incl. individual goals)	Corporate Goal Weights	Goal Weight (incl. individual goals)
Individual	N/A	20.0%	N/A	20.0%
Risk Management	30.0%	24.0%	50.0%	40.0%
Franchise Enhancement	40.0%	32.0%	25.0%	20.0%
Community Investment	15.0%	12.0%	10.0%	8.0%
Diversity and Inclusion	15.0%	12.0%	15.0%	12.0%
Total	100.0%	100.0%	100.0%	100.0%

Qualifiers

The following are the performance qualifiers for any Award: (i) no submission of material information to a regulatory or a reporting agency is significantly past due; (ii) the Bank makes sufficient progress, as determined by the Board, in the timely remediation of significant examination, monitoring and other supervisory findings; (iii) no material risk-management deficiency exists at the Bank; (iv) no operational errors or omissions result in material revisions to the financial results, information submitted to the FHFA, or data used to determine incentive payouts; (v) the Bank has sufficient capital to pay dividends and the ability to repurchase member stock.

Approved 1/31/20 3

FEDERAL HOME LOAN BANK OF SAN FRANCISCO

Executive Incentive Plan

APPENDIX VII

2021 Performance Period Goals, Qualifiers & Awards Scale

Goal Category	Goal Component Description	Goal Category Weight	Goal Component Weight	Goal Measures
Risk Management		30%
	Credit and Collateral Risk Management – Improve Underwriting Efficiency, Quality, and Frameworks		40%	Goal Target 1: Develop risk management framework to manage and mitigate the risks associated with expanding eligible collateral types for CDFIs, specifically to include residential loans-held-for-sale, within the defined risk appetite of the Bank.
				Goal Target 2: Design and develop for production in 2022 a new depository member credit model to improve model accuracy and predictability of failure in response to the downturn in credit cycle.
				Goal Target 3: Enhance and expand the Bank’s insurance company member credit and collateral framework in consideration of available statutory protections for FHLBs in certain insurance states.
				Goal Target 4: Complete within CreditLens the implementation of the Bank’s credit risk rating processes for both members and counterparties and perform at least one end to end credit approval workflow process in the new credit underwriting platform.
	Operational Risk Management – Enhance Framework and Coverage		40%	Goal Target 1: Define and implement an Operational Risk Management framework, which at a minimum would include, revised policies and procedures, and more formalized governance structures (e.g., management and Board reporting, control issue follow-ups).
				Goal Target 2: Establish and begin executing an IT Risk Management Framework to meet industry leading practices (e.g., NIST), inclusive of new procedures, and increased risk monitoring and testing.
				Goal Target 3: Complete risk assessment and taxonomy re-alignment for three more Bank programs (e.g., EUC, BCM, and Compliance/Fraud), and surpass delivery of the Operational Risk Assessment Plan for 2021.
				Goal Target 4: Define and complete a comprehensive Data Management Maturity Model assessment and identify areas of improvement, according to leading practices (e.g., Enterprise Data Management Council’s Data Capability Assessment Model (DCAM)).
	LIBOR – Execute LIBOR Transition Plan		20%	Goal Target 1: By no later than June 30, 2021, be prepared to implement any margin or valuation changes for post-2021 LIBOR collateral (including necessary system, EUC, and model changes).
				Goal Target 2: Present updated financial forecast for potential changes in fallback language and changes in LIBOR exposure related to changes in balance sheet LIBOR exposure.
				Goal Target 3: Perform cost/benefit analysis of proactively terminating LIBOR derivatives before 12/31/2021 versus relying on the ISDA Fallback Rates and implement the management approved alternative.
				Goal Target 4: Modify Calypso, QRM, and VS2 systems to implement U.S. Treasury standard terms and conditions for SOFR floating-rate notes.

Approved 5/28/21 1

2021 Performance Period Goals, Qualifiers & Awards Scale (Continued)

Goal Category	Goal Component Description	Goal Category Weight	Goal Component Weight	Goal Measures
Franchise Enhancement		40%
	Financial Performance – Adjusted Return on Capital Spread			Adjusted Return on Capital Spread
			25%	Minimum (75%)	Meets (100%)	Exceeds  (125%)	Far Exceeds (150%)
				1.75%	2.40%	2.48%	2.78%
	Operating Efficiency – Operating Expense Management			Operating Expenses (Millions)
			25%	Minimum  (75%)	Meets (100%)	Exceeds  (125%)	Far Exceeds (150%)
				$153.5 (2021 Budget + 1%)	$152.0 (2021 Budget)	$150.5 (2021 Budget - 1%)	$147.4 (2021 Budget - 3%)
	Member Business – Advances and Letters of Credit Volume			Advances and Letters of Credit Volume Average Daily Balance (Billions)
			25%	Minimum  (75%)	Meets (100%)	Exceeds  (125%)	Far Exceeds (150%)
				$35.4	$45.3	$52.1	$62.1
	Talent – Talent Development And Return to Office Strategy			Goal Target 1: Enhance succession planning review for all EVP and SVP roles ensuring actionable development plans in place for each identified EVP successor, inclusive of milestone efforts.
				Goal Target 2: Build talent pipeline in support of succession planning by implementing Bank-wide Mentor Program, including at least 10 mentors/mentees and ensuring each mentee completes a development plan in partnership with their mentor and manager by year end.
			25%	Goal Target 3: By April 30, 2021, establish the Bank’s Return to Office (RTO) Strategy, Framework, and Communications Plan, including deliverables and semiannual measurements. Delineate clear criteria for stage progression / reversal. Starting in Q3 2021, provide at least quarterly report-outs of current and upcoming deliverables and semiannual measurements.
				Goal Target 4: Create and communicate to all team members the Bank’s 2021 flexible work arrangement policy. Using available benchmark data and/or other evidence of evolving best practices for Bay Area companies, design a framework for the Bank’s longer-term “Future of Work” strategy, beyond RTO planning to address culture, flexibility, and employee engagement.

Approved 5/28/21 2

2021 Performance Period Goals, Qualifiers & Awards Scale (Continued)

Goal Category	Goal Component Description	Goal Category Weight	Goal Component Weight		Goal Measures
Community Investment		15%
	CIP/ACE Advances, Letters of Credit, and AHEAD		100	%	Number of Members
					Minimum  (75%)	Meets (100%)	Exceeds  (125%)	Far Exceeds (150%)
					30	40	50	60
Diversity, Equity, and Inclusion		15%
	Diversity, Equity, and Inclusion		100%		Goal Target 1: Provide additional opportunities to increase spend with suppliers from underrepresented communities by ensuring that 15% of bid opportunities for the 2021 calendar year include a diverse supplier in the comparative / competitive process. Given the volume of the Bank’s existing large, long term contracts it will take significant effort by the Bank to provide sufficient bid opportunities for well positioned diverse suppliers to participate and earn high-value business on merit. Currently the Bank includes suppliers from underrepresented communities in about 5% of bid opportunities.
					Goal Target 2: Increase employee volunteering by employees to 10% by the end of 2021. In 2020, only 3% of employees submitted volunteer hours. This increase will be facilitated by supporting or sponsoring Bank-wide physical or virtual financial literacy (homeownership and wealth management) volunteering opportunities in minority or underrepresented communities. Volunteer opportunities may be aligned with Community Investment program recipients and/or Public Affairs activities.
					Goal Target 3: By September 30, 2021, develop a strategic plan for the Bank to address the Black homeownership gap which will include measurable goals and an implementation timeline
					Goal Target 4: Increase the Bank’s diverse, non-exempt spend by 7% in 2021, which would represent an increase in spend of more than $500,000 with diverse suppliers or diverse equity partners/owners of non-diverse suppliers when compared with 2020 calendar year spend.

Award Levels

	Total Annual Award as % of Base Salary			Year-End Award as % of Base Salary			Deferred Award as % of Base Salary
Title	Minimum	Meets	Maximum	Minimum	Meets	Maximum	Minimum	Meets	Maximum
CEO	50%	80%	100%	25%	40%	50%	25%	40%	50%
EVP/SVP	40%	65%	85%	20%	32.5%	42.5%	20%	32.5%	42.5%

Approved 5/28/21 3

2021 Performance Period Goals, Qualifiers & Awards Scale (Continued)

Goal Weights

	CEO/EVP/SVP		EVP, Chief Risk Officer
	Corporate Goal Weights	Goal Weight (incl. individual goals)	Corporate Goal Weights	Goal Weight (incl. individual goals)
Individual	N/A	20%	N/A	20%
Risk Management	30%	24%	50%	40%
Franchise Enhancement	40%	32%	25%	20%
Community Investment	15%	12%	10%	8%
Diversity and Inclusion	15%	12%	15%	12%
Total	100%	100%	100%	100%

Qualifiers

The following are the performance qualifiers for any Award: (i) no submission of material information to a regulatory or a reporting agency is significantly past due; (ii) the Bank makes sufficient progress, as determined by the Board, in the timely remediation of significant examination, monitoring and other supervisory findings; (iii) no material risk-management deficiency exists at the Bank; (iv) no operational errors or omissions result in material revisions to the financial results, information submitted to the FHFA, or data used to determine incentive payouts; (v) the Bank has sufficient capital to pay dividends and the ability to repurchase member stock.

Approved 5/28/21 4

FEDERAL HOME LOAN BANK OF SAN FRANCISCO

Executive Incentive Plan

APPENDIX VIII

2022 Performance Period Goals, Qualifiers & Awards Scale

Goal Category (Weight)	Goal Component Description	Goal Component Weight	Goal Measures
Business and Financial (40%)
	Financial Performance: Adjusted Return on Capital Spread	33%	Adjusted Return on Capital Spread
			Minimum (75%)	Target (100%)	Maximum (150%)
			Plan: Pessimistic 0.56%	Plan: Base 1.29%	Plan: Optimistic + 0.30% 1.66%
	Operating Efficiency: Operating Expense Management	33%	Operating Expenses (millions)
			Minimum (75%)	Target (100%)	Maximum (150%)
			Budget + 2% $160.3	Budget $157.2	Budget - 3% $152.5
	Member Business: Advances and Letters of Credit Volume	33%	Advances and Letters of Credit Volume Average Daily Balance (billions)
			Minimum (75%)	Target (100%)	Maximum (150%)
			Plan: Pessimistic $23.9	Plan: Base $27.8	Plan: Optimistic + $4 bln $35.4

Approved 12/10/21    Page 1

2022 Performance Period Goals, Qualifiers & Awards Scale (Continued)

Goal Category (Weight)	Goal Component Description	Goal Component Weight	Goal Measures
Risk Management (20%)
	Operational Risk Management	50%	Goal Target 1: ORM Harmonization: ORM and Information Technology Risk Management (ITRM) will surpass delivery of fifteen (15) Operational Risk Assessments for 2022 (inclusive of Integrated IT assessments).
			Goal Target 2: Centralized Risk Control Taxonomy: Collaborate with other assurance groups (e.g., EUC Risk Management, Model Risk Management, Internal Audit, Supplier Risk Management) to create a risk-based inventory of critical Bank processes that will be mapped to the organizational taxonomy. The cataloguing will include all Business Units rated as “Critical” and “High” as deemed by ERM’s Inherent Risk Assessment. Additionally, IT and InfoSec critical processes, risks, and controls will be mapped to industry leading standards (e.g., NIST) and be included in a centralized repository.
			Goal Target 3: GRC enablement: Development of a roadmap for maximizing the operational synergies for several GRC systems that are used by various business units. This effort includes, but is not limited to, aggregation of business requirements for GRC functionality across the Bank, optimization of data accessibility, and identification of possible GRC-related solutions.
	Information Security Risk Management	50%	Goal Target 1: TSS and IS partner to develop a secure configuration baseline for the Bank’s Active Directory. The new secure configuration baseline will utilize industry leading practices, where available.
			Goal Target 2: TSS and IS partner to implement a secure configuration baseline for the Bank’s Active Directory.
			Goal Target 3: TSS and IS partner to implement monitoring to ensure that the Bank’s Active Directory configuration remains secure and in alignment with the defined secure configuration baseline.

Approved 12/10/21    Page 2

2022 Performance Period Goals, Qualifiers & Awards Scale (Continued)

Goal Category (Weight)		Goal Component Description	Goal Component Weight			Goal Measures
Community Investment (20%)
	Nevada Targeted Programs			50%	Goal Target 1: Complete and execute agreement with the Nevada Housing Coalition (NHC) to administer new Voluntary Capacity Building Program, which will include details on securing partnerships with other organizations operating in Nevada, as well as providing financial literacy and other housing-related training to housing and economic development sponsors to facilitate access to the Bank’s affordable housing and community investment programs. Training will support the creation of a pipeline of Nevada project sponsors and members to apply to the AHP General Fund or Targeted Fund.
					Goal Target 2: Establish framework for new Nevada AHP Targeted Funding including technology, governance, and programmatic components.
					Goal Target 3: Obtain Board approval to offer the Targeted Fund in 2023.
	CIP/ACE Advances, Letters of Credit, and AHEAD			25%	Number of Members
					Minimum (75%)		Target (100%)	Maximum (150%)
					40		55	70
	Homeownership Counseling Program			25%	Number of Members
					Minimum (75%)		Target (100%)	Maximum (150%)
					5		8	13

Approved 12/10/21    Page 3

2022 Performance Period Goals, Qualifiers & Awards Scale (Continued)

Goal Category (Weight)	Goal Component Description	Goal Component Weight	Goal Measures
DEI and Talent (20%)
	Supplier Diversity: Create additional opportunities with people of color and diverse suppliers	33%	Percentage of diverse suppliers included in bid opportunities
			Minimum (75%)	Target (100%)	Maximum (150%)
			50%	53%	58%
	Workplace Diversity: Expand participation in diverse employee development programs	33%	Employee participation percentage
			Minimum (75%)	Target (100%)	Maximum (150%)
			22%	25%	30%
	Talent: Talent review and succession planning	33%	Goal Target 1: Conduct talent review and succession planning for all EVP and SVP roles (~10% of employees).
			Goal Target 2: Conduct talent review and succession planning for all MD roles (~14% of employees).
			Goal Target 3: Conduct talent review for all Senior Directors and Directors (~35% of employees).

Approved 12/10/21    Page 4

2022 Performance Period Goals, Qualifiers & Awards Scale (Continued)

Award Levels

	Total Annual Award as % of Base Salary			Year-End Award as % of Base Salary			Deferred Award as % of Base Salary
Title	Minimum	Meets	Maximum	Minimum	Meets	Maximum	Minimum	Meets	Maximum
CEO	50%	80%	100%	25%	40%	50%	25%	40%	50%
EVP/SVP	40%	65%	85%	20%	32.5%	42.5%	20%	32.5%	42.5%

Goal Weights

	CEO/EVP/SVP		EVP, Chief Risk Officer
	Corporate Goal Weights	Goal Weight (incl. individual goals)	Corporate Goal Weights	Goal Weight (incl. individual goals)
Individual	N/A	20%	N/A	20%
Business and Financial	40%	32%	20%	16%
Risk Management	20%	16%	50%	40%
Community Investment	20%	16%	10%	8%
DE&I and People	20%	16%	20%	16%
Total	100%	100%	100%	100%

Qualifiers

The following are the performance qualifiers for any Award: (i) no submission of material information to a regulatory or a reporting agency is significantly past due; (ii) the Bank makes sufficient progress, as determined by the Board, in the timely remediation of significant examination, monitoring and other supervisory findings; (iii) no material risk-management deficiency exists at the Bank; (iv) no operational errors or omissions result in material revisions to the financial results, information submitted to the FHFA, or data used to determine incentive payouts; (v) the Bank has sufficient capital to pay dividends and the ability to repurchase member stock.

Approved 12/10/21    Page 5

FEDERAL HOME LOAN BANK OF SAN FRANCISCO

Executive Incentive Plan

APPENDIX IX

2023 Performance Period Goals, Qualifiers & Awards Scale

Named Executive Officers (NEOs)

Goal Category (Weight)	Goal Component Description	Goal Component Weight	Goal Measures
Business and Financial (45%)	Financial Performance Adjusted Return on Capital Spread (Pre-JCEA)	25%	Adjusted Return on Capital Spread (Pre-JCEA)
			Minimum (75%)	Target (100%)	Maximum (150%)
			2023 Plan: Pessimistic + 0.19% 1.50%	2023 Plan: Base + 0.14% 3.50% t0 4.25%	2023 Plan: Optimistic + 0.29% 5.00%
	Operating Efficiency Operating Expense Management	25%	Operating Expenses (In millions)
			Minimum (75%)	Target (100%)	Maximum (150%)
			Budget + 2% $170.9	Budget $162.5 to $167.5	Budget - 4% $157.5
	Member Business Volume Advances and Letters of Credit Average Daily Balance Volume	25%	Advances and Letters of Credit Average Daily Balance (In billions) ($10 billion stretch added to Maximum)
			Minimum (75%)	Target (100%)	Maximum (150%)
			2023 Plan: Pessimistic $55.3	2023 Plan: Base $90.0 to $100.0	2023 Plan: Optimistic + $10 $125.0
	Member Business Product Utilization Advances and Letters of Credit Utilization by Inactive Members	25%	Conversion Rate of Inactive Members to Active Members (# of members that did not use products in 2022 and used products in 2023 / # of members that did not use products in 2022)
			Minimum (75%)	Target (100%)	Maximum (150%)
			30%	40%	60%

Approved 3/31/23    Page 1

2023 Performance Period Goals, Qualifiers & Awards Scale - NEOs (Continued)

Goal Category (Weight)	Goal Component Description	Goal Component Weight	Goal Measures
Risk Management (20%)	Climate Risk Management	50%	Goal Target 1: Develop and implement a Climate Change Risk Framework at the Bank that outlines principles for governance, identification, monitoring, and treatment of potential climate risk exposures.
			Goal Target 2: Establish an inventory of the Bank’s current climate risk controls and conduct a gap assessment of existing practices versus optimal operating model. Develop a heatmap of associated risks based on these qualitative assessments.
			Goal Target 3: Use available dataset(s) (e.g., FEMA) to produce initial quantitative measures of the Bank’s climate risk exposure.
	Consolidated Supplier Cyber Risk Management	25%	Goal Target 1: Complete delivery of consolidated cyber risk scores for Supplier Relationship Manager Supplier Risk Dashboard.
			Goal Target 2: New or updated Supplier Risk Dashboard or score that represents all areas of supplier risk that is presented to management committees and supplier relationship managers.
			Goal Target 3: Capture supplier relationship manager disposition of issues, and the associated reduction of risk, if required, based on Supplier Risk Dashboard information.
	Information Security Risk Management	25%	Achieve Security Champion Status in the Voluntary Information Security Champions Program
			Minimum (75%)	Target (100%)	Maximum (150%)
			30%	40%	60%

Approved 3/31/23    Page 2

2023 Performance Period Goals, Qualifiers & Awards Scale - NEOs (Continued)

Goal Category (Weight) Goal Component Description Goal Component Weight Goal Measures

Community Investment (15%)	Nevada Targeted Programs	50%	Goal Target 1: Conduct at least one webinar for stakeholders, provide technical assistance to Nevada members and developers, and implement technology solution to launch Targeted Fund along with the General Fund.
			Goal Target 2: Obtain a minimum of 6 applications for the Targeted Fund.
			Goal Target 3: Obtain a minimum of 10 applications for the Targeted Fund.
	Community Investment Product Utilization CIP/ACE Advances, CIP/ACE Letters of Credit, and AHEAD	50%	Percent of Members
			Minimum (75%)	Target (100%)	Maximum (150%)
			12.2%	16.8%	21.3%
DEI and People (20%)	DEI & Talent DEI Training Program DEI Data Management Improve Retention and Reduce Talent Acquisition Costs	100%	Goal Target 1: Enhance the Diversity Champions Program, which offers voluntary, curated DEI training, activities, and rewards to staff, to achieve at least 40% Diversity Champion Status in the Voluntary Diversity Champions Program.
			Goal Target 2: Implement automated DEI data validation and quality assurance for all regulated pillars (Workforce, Procurement, Capital Markets) that addresses known errors caused by manual manipulation of data.
			Goal Target 3: Voluntary turnover rate (excluding retirements) below 10%.

Approved 3/31/23    Page 3

2023 Performance Period Goals, Qualifiers & Awards Scale

Non-Named Executive Officers (Non-NEOs)

Goal Category (Weight)	Goal Component Description	Goal Component Weight	Goal Measures
Business and Financial (45%)	Financial Performance Adjusted Return on Capital Spread (Pre-JCEA)	25%	Adjusted Return on Capital Spread (Pre-JCEA)
			Minimum (75%)	Target (100%)	Maximum (150%)
			2023 Plan: Pessimistic + 0.19% 1.50%	2023 Plan: Base + 0.14% 2.40%	2023 Plan: Optimistic + 0.29% 2.80%
	Operating Efficiency Operating Expense Management	25%	Operating Expenses (In millions)
			Minimum (75%)	Target (100%)	Maximum (150%)
			Budget + 2% $171.8	Budget $168.4	Budget - 4% $161.7
	Member Business Volume Advances and Letters of Credit Average Daily Balance Volume	25%	Advances and Letters of Credit Average Daily Balance (In billions) ($10 billion stretch added to Maximum)
			Minimum (75%)	Target (100%)	Maximum (150%)
			2023 Plan: Pessimistic $55.3	2023 Plan: Base $80.9	2023 Plan: Optimistic + $10 $110.7
	Member Business Product Utilization Advances and Letters of Credit Utilization by Inactive Members	25%	Conversion Rate of Inactive Members to Active Members (# of members that did not use products in 2022 and used products in 2023 / # of members that did not use products in 2022)
			Minimum (75%)	Target (100%)	Maximum (150%)
			30%	40%	60%

Approved 3/31/23    Page 4

2023 Performance Period Goals, Qualifiers & Awards Scale – Non-NEOs (Continued)

Goal Category (Weight)	Goal Component Description	Goal Component Weight	Goal Measures
Risk Management (20%)	Climate Risk Management	50%	Goal Target 1: Develop and implement a Climate Change Risk Framework at the Bank that outlines principles for governance, identification, monitoring, and treatment of potential climate risk exposures.
			Goal Target 2: Establish an inventory of the Bank’s current climate risk controls and conduct a gap assessment of existing practices versus optimal operating model. Develop a heatmap of associated risks based on these qualitative assessments.
			Goal Target 3: Use available dataset(s) (e.g., FEMA) to produce initial quantitative measures of the Bank’s climate risk exposure.
	Consolidated Supplier Cyber Risk Management	25%	Goal Target 1: Complete delivery of consolidated cyber risk scores for Supplier Relationship Manager Supplier Risk Dashboard.
			Goal Target 2: New or updated Supplier Risk Dashboard or score that represents all areas of supplier risk that is presented to management committees and supplier relationship managers.
			Goal Target 3: Capture supplier relationship manager disposition of issues, and the associated reduction of risk, if required, based on Supplier Risk Dashboard information.
	Information Security Risk Management	25%	Achieve Security Champion Status in the Voluntary Information Security Champions Program
			Minimum (75%)	Target (100%)	Maximum (150%)
			30%	40%	60%

Approved 3/31/23    Page 5

2023 Performance Period Goals, Qualifiers & Awards Scale – Non-NEOs (Continued)

Goal Category (Weight) Goal Component Description Goal Component Weight Goal Measures

Community Investment (15%)	Nevada Targeted Programs	50%	Goal Target 1: Conduct at least one webinar for stakeholders, provide technical assistance to Nevada members and developers, and implement technology solution to launch Targeted Fund along with the General Fund.
			Goal Target 2: Obtain a minimum of 6 applications for the Targeted Fund.
			Goal Target 3: Obtain a minimum of 10 applications for the Targeted Fund.
	Community Investment Product Utilization CIP/ACE Advances, CIP/ACE Letters of Credit, and AHEAD	50%	Percent of Members
			Minimum (75%)	Target (100%)	Maximum (150%)
			12.2%	16.8%	21.3%
DEI and People (20%)	DEI & Talent DEI Training Program DEI Data Management Improve Retention and Reduce Talent Acquisition Costs	100%	Goal Target 1: Enhance the Diversity Champions Program, which offers voluntary, curated DEI training, activities, and rewards to staff, to achieve at least 40% Diversity Champion Status in the Voluntary Diversity Champions Program.
			Goal Target 2: Implement automated DEI data validation and quality assurance for all regulated pillars (Workforce, Procurement, Capital Markets) that addresses known errors caused by manual manipulation of data.
			Goal Target 3: Voluntary turnover rate (excluding retirements) below 10%.

Approved 3/31/23    Page 6

2023 Performance Period Goals, Qualifiers & Awards Scale (Continued)

Award Levels

(NEO & Non-NEO)

	Total Annual Award as % of Base Salary			Year-End Award as % of Base Salary			Deferred Award as % of Base Salary
Title	Minimum	Meets	Maximum	Minimum	Meets	Maximum	Minimum	Meets	Maximum
CEO	50%	80%	100%	25%	40%	50%	25%	40%	50%
EVP/SVP	40%	65%	85%	20%	32.5%	42.5%	20%	32.5%	42.5%

Goal Weights

(NEO & Non-NEO)

	CEO/EVP/SVP		EVP, Chief Risk Officer
	Corporate Goal Weights	Goal Weight (incl. individual goals)	Corporate Goal Weights	Goal Weight (incl. individual goals)
Individual	N/A	20%	N/A	20%
Business and Financial	45%	36%	28%	22%
Risk Management	20%	16%	50%	40%
Community Investment	15%	12%	9%	8%
DEI and People	20%	16%	13%	10%
Total	100%	100%	100%	100%

Qualifiers

(NEO & Non-NEO)

The following are the performance qualifiers for any Award: (i) no submission of material information to a regulatory or a reporting agency is significantly past due; (ii) the Bank makes sufficient progress, as determined by the Board, in the timely remediation of significant examination, monitoring and other supervisory findings; (iii) no material risk-management deficiency exists at the Bank; (iv) no operational errors or omissions result in material revisions to the financial results, information submitted to the FHFA, or data used to determine incentive payouts; (v) the Bank has sufficient capital to pay dividends and the ability to repurchase member stock.

Approved 3/31/23    Page 7

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, Teresa B. Bazemore, certify that:

1.I have reviewed this quarterly report on Form 10-Q for the period ended March 31, 2023, 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.

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.

May 5, 2023	/S/ TERESA B. BAZEMORE
	Teresa B. Bazemore 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, Joseph E. Amato, certify that:

1.I have reviewed this quarterly report on Form 10-Q for the period ended March 31, 2023, 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.

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.

May 5, 2023	/S/ JOSEPH E. AMATO
	Joseph E Amato Executive 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, Teresa B. Bazemore, 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, 2023, (“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.

May 5, 2023	/S/ TERESA B. BAZEMORE
	Teresa B. Bazemore 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, Joseph E. Amato, Executive 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, 2023, (“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.

May 5, 2023	/S/ JOSEPH E. AMATO
	Joseph E. Amato Executive 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, 2023	Apr. 30, 2023
Entity Information
Document Type	10-Q
Document Quarterly Report	true
Document Period End Date	Mar. 31, 2023
Document Transition Report	false
Entity File Number	000-51398
Entity Registrant Name	FEDERAL HOME LOAN BANK OF SAN FRANCISCO
Entity Incorporation, State or Country Code	X1
Entity Central Index Key	0001316944
Entity Tax Identification Number	94-6000630
Entity Address, Address Line One	333 Bush Street, Suite 2700
Entity Address, City or Town	San Francisco,
Entity Address, State or Province	CA
Entity Address, Postal Zip Code	94104
City Area Code	415
Local Phone Number	616-1000
Amendment Flag	false
Document Fiscal Year Focus	2023
Document Fiscal Period Focus	Q1
Current Fiscal Year End Date	--12-31
Entity Emerging Growth Company	false
Entity Small Business	false
Entity Current Reporting Status	Yes
Entity Filer Category	Non-accelerated Filer
Entity Interactive Data Current	Yes
Entity Shell Company	false
Common Stock, Shares, Outstanding		42,010,587

XML

Statements of Condition - USD ($) $ in Millions		Mar. 31, 2023	Dec. 31, 2022
Assets:
Cash and due from banks		$ 17	$ 9
Interest-bearing deposits		3,760	3,677
Securities purchased under agreements to resell		11,100	7,000
Federal funds sold		9,427	4,719
Trading securities		1	1
Available-for-sale (AFS) securities, net of allowance for credit losses of $28 and $30, respectively (amortized cost of $13,394 and $12,757, respectively)(a)	[1]	13,320	12,713
Held-to-maturity (HTM) securities (fair values of $2,068 and $2,136, respectively)	[2]	2,104	2,181
Advances (includes $2,392 and $2,059 at fair value under the fair value option, respectively)		101,541	89,400
Mortgage loans held for portfolio, net of allowance for credit losses of $1 and $1, respectively		801	815
Accrued interest receivable		178	313
Derivative assets, net		6	26
Other assets		238	202
Total Assets		142,493	121,056
Liabilities:
Deposits		1,022	989
Consolidated obligations:
Bonds (includes $782 and $2,226 at fair value under the fair value option, respectively)		95,034	75,768
Discount notes		37,356	35,929
Total consolidated obligations		132,390	111,697
Mandatorily redeemable capital stock		95	5
Accrued interest payable		508	326
Affordable Housing Program (AHP) payable		123	111
Derivative liabilities, net		11	2
Other liabilities		272	203
Total Liabilities		134,421	113,333
Commitments and Contingencies (Note 13)
Capital:
Capital stock-Class B-Putable ($100 par value) issued and outstanding: 33 shares and 21 shares, respectively		4,007	3,758
Unrestricted retained earnings		3,356	3,262
Restricted retained earnings		770	732
Total Retained Earnings		4,126	3,994
Accumulated other comprehensive income/(loss) (AOCI)		(61)	(29)
Total Capital		8,072	7,723
Total Liabilities and Capital		$ 142,493	$ 121,056

[1] At March 31, 2023, and December 31, 2022, $864 million and $435 million, respectively, of these securities were pledged as collateral that may be repledged.

[2] Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and net charge-offs, and excludes accrued interest receivable of $6 million and $5 million at March 31, 2023, and December 31, 2022, respectively.

XML

Statements of Condition (Parenthetical) - USD ($) shares in Millions, $ in Millions		Mar. 31, 2023	Dec. 31, 2022
Debt securities, available-for-sale, amortized cost, allowance for credit loss, excluding accrued interest		$ 28	$ 30
Amortized cost of AFS	[1]	13,394	12,757
HTM securities, fair value		2,068	2,136
Fair value of advances under the fair value option	[2]	2,392	2,059
Allowance for credit losses on mortgage loans		$ 1	1
Common stock, par value		$ 100
Available-for-sale securities pledged as collateral that may be repledged		$ 864	435
Portion at Fair Value Measurement
Fair value of advances under the fair value option		2,392	2,059
Fair value of bonds under the fair value option		$ 782	$ 2,226
Common Class B [Member]
Common stock, par value		$ 100	$ 100
Common Stock, Shares, Outstanding		40	38
Common Stock, Shares, Issued		40	38

[1] Amortized cost includes unpaid principal balance, unamortized premiums and discounts, net charge-offs, and valuation adjustments for hedging activities, and excludes accrued interest receivable of $46 million at both March 31, 2023, and December 31, 2022.

[2] At March 31, 2023, and December 31, 2022, 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, 2023	Mar. 31, 2022
Interest Income:
Advances	$ 1,163	$ 39
Interest-bearing deposits	50	0
Securities purchased under agreements to resell	92	1
Federal funds sold	130	3
AFS securities	190	54
HTM securities	24	7
Mortgage loans held for portfolio	7	17
Total Interest Income	1,656	121
Interest Expense:
Bonds	920	12
Discount notes	435	6
Deposits	13	0
Borrowings from other Federal Home Loan Banks	1	0
Total Interest Expense	1,369	18
Net Interest Income	287	103
Provision for/(reversal of) credit losses	(1)	(3)
Net Interest Income After Provision for/(Reversal of) Credit Losses	288	106
Other Income/(Loss):
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option	1	(21)
Net gain/(loss) on derivatives	(34)	8
Private-Label Residential Mortgage-Backed Securities (PLRMBS) Trust Settlement	0	28
Standby letters of credit fees	5	4
Other, net	2	(1)
Total Other Income/(Loss)	(26)	18
Other Expense:
Compensation and benefits	27	24
Other operating expense	14	12
Federal Housing Finance Agency	2	2
Office of Finance	2	1
Other, net	0	(1)
Total Other Expense	45	38
Income/(Loss) Before AHP Assessment	217	86
AHP Assessment	22	8
Net Income/(Loss)	$ 195	$ 78

XML

Statements of Comprehensive Income - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2023	Mar. 31, 2022
Statement of Comprehensive Income [Abstract]
Net Income/(Loss)	$ 195	$ 78
Other Comprehensive Income/(Loss):
Net unrealized gain/(loss) on AFS securities	(32)	(149)
Total other comprehensive income/(loss)	(32)	(149)
Total Comprehensive Income/(Loss)	$ 163	$ (71)

XML

Statements of Capital Accounts - USD ($) shares in Millions, $ in Millions	Total	Total Retained Earnings	Total Restricted Retained Earnings	Unrestricted Retained Earnings	Accumulated Other Comprehensive Income/(Loss)	Common Class B - Putable Common Stock
Balance, Shares at Dec. 31, 2021						21
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Issuance of capital stock, shares						9
Repurchase of capital stock, shares						(8)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net shares						(1)
Balance, Shares at Mar. 31, 2022						21
Balance at Dec. 31, 2021	$ 6,224	$ 3,832	$ 708	$ 3,124	$ 331	$ 2,061
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Comprehensive Income (Loss)	(71)	78	0	78	(149)
Issuance of capital stock, value	875					875
Repurchase of capital stock, value	(807)					(807)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net	(32)					(32)
Transfers from restricted retained earnings	0	0	(16)	(16)
Cash dividends on capital stock	(35)	(35)		(35)
Balance at Mar. 31, 2022	$ 6,154	3,875	692	3,183	182	$ 2,097
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Dividends, Cash, Annualized Rate	6.00%
Balance, Shares at Dec. 31, 2022						38
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Issuance of capital stock, shares						22
Repurchase of capital stock, shares						(18)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net shares						(2)
Balance, Shares at Mar. 31, 2023						40
Balance at Dec. 31, 2022	$ 7,723	3,994	732	3,262	(29)	$ 3,758
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Comprehensive Income (Loss)	163	195	38	157	(32)
Issuance of capital stock, value	2,205					2,205
Repurchase of capital stock, value	(1,761)					(1,761)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net	(195)					(195)
Transfers from restricted retained earnings			0
Cash dividends on capital stock	(63)	(63)		(63)
Balance at Mar. 31, 2023	$ 8,072	$ 4,126	$ 770	$ 3,356	$ (61)	$ 4,007
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Dividends, Cash, Annualized Rate	7.00%

XML

Statements of Cash Flows - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2023	Mar. 31, 2022
Net Cash Provided by (Used in) Operating Activities
Net Income/(Loss)	$ 195	$ 78
Adjustments to reconcile net income/(loss) to net cash provided by/(used in) operating activities:
Depreciation and amortization/(accretion)	59	25
Provision for/(reversal of) credit losses	(1)	(3)
Change in net fair value adjustment on advances and consolidated obligation bonds held under the fair value option	(1)	21
Change in net derivatives and hedging activities	(311)	568
PLRMBS trust settlement	0	28
Other adjustments, net	1	2
Net change in:
Accrued interest receivable	132	6
Other assets	(39)	7
Accrued interest payable	176	(4)
Other liabilities	40	(25)
PLRMBS contingent liability	0	(41)
Total adjustments	56	528
Net cash provided by/(used in) operating activities	251	606
Net Cash Provided by (Used in) Investing Activities
Interest-bearing deposits	27	(325)
Securities purchased under agreements to resell	(4,100)	2,000
Federal funds sold	(4,708)	(2,228)
Trading securities:
Proceeds	0	250
AFS securities:
Proceeds	80	345
Purchases	(439)	0
HTM securities:
Proceeds	77	340
Advances:
Repaid	646,350	117,731
Originated	(658,252)	(121,347)
Mortgage loans held for portfolio:
Principal collected	13	74
Net cash provided by/(used in) investing activities	(20,952)	(3,160)
Net Cash Provided by (Used in) Financing Activities
Net change in deposits and other financing activities	10	323
Net (payments)/proceeds on derivative contracts with financing elements	3	(4)
Net proceeds from issuance of consolidated obligations:
Bonds	51,508	7,488
Discount notes	48,764	24,379
Payments for matured and retired consolidated obligations:
Bonds	(32,468)	(1,013)
Discount notes	(47,384)	(28,624)
Proceeds from issuance of capital stock	2,205	875
Repurchase/redemption of mandatorily redeemable capital stock	(105)	(28)
Payments for repurchase of capital stock	(1,761)	(807)
Cash dividends paid	(63)	(35)
Net cash provided by/(used in) financing activities	20,709	2,554
Net increase/(decrease) in cash and due from banks	8	0
Cash and due from banks beginning of period	9	55
Cash and due from banks end of period	17	55
Supplemental Disclosures:
Interest paid	1,203	17
AHP payments	10	13
Transfers of HTM securities to AFS securities	0	16
Transfers of capital stock to mandatorily redeemable capital stock	$ 195	$ 32

XML

Basis of Presentation and Significant Accounting Policies (Notes)

3 Months Ended

Mar. 31, 2023

Accounting Policies [Abstract]

Basis of Presentation and Significant Accounting Policies

Note 1 — Basis of Presentation and Significant Accounting Policies

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 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, 2023. 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, 2022 (2022 Form 10-K).

There have been no changes to the basis of presentation of the Bank’s financial instruments meeting netting requirements or of the Bank’s investments in variable interest entities disclosed in “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2022 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:

•accounting for derivatives;

•estimating fair values of investments classified as trading and available-for-sale (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; and

•estimating the prepayment speeds on mortgage-backed securities (MBS) and mortgage loans for the accounting of amortization of premiums and accretion of discounts and credit losses previously recorded before the adoption of accounting guidance related to the measurement of credit losses on MBS and mortgage loans.

Actual results could differ significantly from these estimates.

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 2022 Form 10-K. Other changes to these policies as of March 31, 2023, 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, 2023

Accounting Standards Update and Change in Accounting Principle [Abstract]

Recently Issued Accounting Guidance

Note 2 — Recently Issued and Adopted Accounting Guidance

The following table provides a summary of recently issued and adopted accounting standards that may have an effect on the Bank’s financial statements.

Accounting Standards Update (ASU)	Description	Effective Date	Effect on the Financial Statements or Other Significant Matters
Facilitation of the Effects of Reference Rate Reform on Financial Reporting, as amended (ASU 2020-04)	This update provides temporary optional guidance to ease the potential burden in accounting for reference rate reform. The new guidance provides optional expedients and exceptions for applying generally accepted accounting principles to transactions affected by reference rate reform if certain criteria are met. These transactions include: • contract modifications, • hedging relationships, and • sale or transfer of debt securities classified as HTM.	This guidance became effective beginning March 2020 through December 31, 2024.	The Bank has assessed the guidance and has elected some of the optional expedients and exceptions provided related to the discounting transition for uncleared derivative transactions on a prospective basis since 2021, which did not have a material effect on the Bank’s financial condition, results of operations, cash flows, and financial statement disclosures.
Troubled Debt Restructurings and Vintage Disclosures (ASU 2022-02)	This guidance eliminates the accounting guidance for troubled debt restructurings by creditors that have adopted the current expected credit losses methodology while enhancing disclosure requirements for certain loan refinancings and restructurings by creditors made to borrowers experiencing financial difficulty. Additionally, this guidance requires disclosure of current-period gross write-offs by year of origination for financing receivables and net investment in leases.	The guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2023.	The Bank adopted this guidance as of January 1, 2023. The adoption of this guidance did not have a material effect on the Bank’s financial condition, results of operations, cash flows, and financial statement disclosures.

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Investments (Notes)

3 Months Ended

Mar. 31, 2023

Investments, Debt and Equity Securities [Abstract]

Available-for-Sale Securities

Note 3 — Investments

The Bank makes short-term investments in interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold, and may make other investments in debt securities, which are classified as trading, AFS, or HTM.

Interest-Bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold. The Bank invests in interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold to provide short-term liquidity. These investments are generally transacted with counterparties that have received an investment grade credit rating of BBB or greater by a nationally recognized statistical rating organization (NRSRO). At March 31, 2023, and December 31, 2022, none of these investments were with counterparties rated below BBB. These may differ from any internal ratings of the investments by the Bank, if applicable.

Federal funds sold are unsecured loans that are generally transacted on an overnight term. Finance Agency regulations include a limit on the amount of unsecured credit the Bank may extend to a counterparty. At March 31,

2023, and December 31, 2022, all investments in interest-bearing deposits and Federal funds sold were repaid or expected to be repaid according to the relevant contractual terms. No allowance for credit losses was recorded for these assets at March 31, 2023, and December 31, 2022. Carrying values of interest-bearing deposits and Federal funds sold exclude accrued interest receivable of $16 million and $1 million, respectively, as of March 31, 2023, and $13 million and $1 million, respectively, as of December 31, 2022.

Based upon the collateral held as security and collateral maintenance provisions with its counterparties, the Bank determined that no allowance for credit losses was needed for its securities purchased under agreements to resell at March 31, 2023, and December 31, 2022. The carrying value of securities purchased under agreements to resell excludes $1 million and $2 million of accrued interest receivable as of March 31, 2023, and December 31, 2022, respectively.

Debt Securities

The Bank invests in debt securities, which are classified as either trading, AFS, or HTM. Within these investments, the Bank is primarily subject to credit risk related to PLRMBS that are supported by underlying mortgage loans. The Bank is prohibited by Finance Agency regulations from purchasing certain higher risk securities, such as equity securities and debt instruments that are not investment quality at the time of purchase.

Trading Securities. The estimated fair value of trading securities that were MBS - other U.S. obligations was $1 million as of March 31, 2023, and December 31, 2022. The unrealized net gain/(loss) on trading securities held at March 31, 2023 and 2022, were de minimis amounts.

Available-for-Sale Securities. AFS securities by major security type as of March 31, 2023, and December 31, 2022, were as follows:

March 31, 2023
(In millions)	Amortized Cost(1)		Allowance for Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Estimated Fair Value
U.S. obligations – Treasury notes	$	4,062	$	—	$	16	$	—	$	4,078
MBS:
Government Sponsored Enterprises (GSEs) – multifamily	8,173		—		—		(81)		8,092
PLRMBS	1,159		(28)		45		(26)		1,150
Total MBS	9,332		(28)		45		(107)		9,242
Total	$	13,394	$	(28)	$	61	$	(107)	$	13,320

December 31, 2022
(In millions)	Amortized Cost(1)		Allowance for Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Estimated Fair Value
U.S. obligations – Treasury notes	$	4,012	$	—	$	12	$	—	$	4,024
MBS:
GSEs – multifamily	7,562		—		2		(57)		7,507
PLRMBS	1,183		(30)		54		(25)		1,182
Total MBS	8,745		(30)		56		(82)		8,689
Total	$	12,757	$	(30)	$	68	$	(82)	$	12,713

(1)    Amortized cost includes unpaid principal balance, unamortized premiums and discounts, net charge-offs, and valuation adjustments for hedging activities, and excludes accrued interest receivable of $46 million at both March 31, 2023, and December 31, 2022.

At March 31, 2023, the amortized cost of the Bank’s MBS classified as AFS included premiums of $50 million, discounts of $140 million, and previous credit losses related to the prior methodology of evaluating credit losses of $341 million for PLRMBS. At December 31, 2022, the amortized cost of the Bank’s MBS classified as AFS included premiums of $52 million, discounts of $113 million, and previous credit losses related to the prior methodology of evaluating credit losses of $351 million for PLRMBS.

The following tables summarize the AFS securities with unrealized losses as of March 31, 2023, and December 31, 2022. 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.

March 31, 2023
	Less Than 12 Months				12 Months or More				Total
(In millions)	Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses
MBS – GSEs – multifamily	$	6,917	$	64	$	941	$	17	$	7,858	$	81
PLRMBS	183		7		187		19		370		26
Total	$	7,100	$	71	$	1,128	$	36	$	8,228	$	107

December 31, 2022
	Less Than 12 Months				12 Months or More				Total
(In millions)	Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses
MBS – GSEs – multifamily	$	6,635	$	57	$	—	$	—	$	6,635	$	57
PLRMBS	292		17		68		8		360		25
Total	$	6,927	$	74	$	68	$	8	$	6,995	$	82

Redemption Terms – The amortized cost and estimated fair value of U.S. Treasury securities classified as AFS by contractual maturity (based on contractual final principal payment) and of MBS classified as AFS as of March 31, 2023, and December 31, 2022, are shown below. Expected maturities of MBS classified as AFS will differ from contractual maturities because borrowers may have the right to call or prepay the underlying obligations with or without call or prepayment fees.

March 31, 2023
(In millions)
Year of Contractual Maturity	Amortized Cost		Estimated Fair Value
U.S. obligations – Treasury notes – Due after 1 year through 5 years	$	4,062	$	4,078
MBS	9,332		9,242
Total	$	13,394	$	13,320

December 31, 2022
(In millions)
Year of Contractual Maturity	Amortized Cost		Estimated Fair Value
U.S. obligations – Treasury notes – Due after 1 year through 5 years	$	4,012	$	4,024
MBS	8,745		8,689
Total	$	12,757	$	12,713

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, 2023
(In millions)	Amortized Cost(1)		Gross Unrecognized Holding Gains(2)		Gross Unrecognized Holding Losses(2)		Estimated Fair Value
MBS – Other U.S. obligations – single-family	$	67	$	—	$	(2)	$	65
MBS – GSEs:
MBS – GSEs – single-family	709		1		(18)		692
MBS – GSEs – multifamily	1,181		—		(6)		1,175
Subtotal MBS – GSEs	1,890		1		(24)		1,867
PLRMBS	147		—		(11)		136
Total	$	2,104	$	1	$	(37)	$	2,068

December 31, 2022
(In millions)	Amortized Cost(1)		Gross Unrecognized Holding Gains(2)		Gross Unrecognized Holding Losses(2)		Estimated Fair Value
MBS – Other U.S. obligations – single-family	$	72	$	—	$	(2)	$	70
MBS – GSEs:
MBS – GSEs – single-family	745		1		(22)		724
MBS – GSEs – multifamily	1,209		—		(10)		1,199
Subtotal MBS – GSEs	1,954		1		(32)		1,923
PLRMBS	155		—		(12)		143
Total	$	2,181	$	1	$	(46)	$	2,136

(1)    Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and net charge-offs, and excludes accrued interest receivable of $6 million and $5 million at March 31, 2023, and December 31, 2022, respectively.

(2)    Gross unrecognized holding gains/(losses) represent the difference between estimated fair value and net carrying value.

Expected maturities of MBS classified as HTM will differ from contractual maturities because borrowers may have the right to call or prepay the underlying obligations with or without call or prepayment fees.

At March 31, 2023, the amortized cost of the Bank’s MBS classified as HTM included premiums of $3 million, discounts of $3 million, and no previous credit losses related to the prior methodology of evaluating credit losses for

PLRMBS. At December 31, 2022, the amortized cost of the Bank’s MBS classified as HTM included premiums of $3 million, discounts of $4 million, and no previous credit losses related to the prior methodology of evaluating credit losses for PLRMBS.

Allowance for Credit Losses on AFS and HTM Securities. The following table presents a rollforward of the allowance for credit losses on investment securities associated with PLRMBS classified as AFS for the three months ended March 31, 2023 and 2022. The Bank recorded no allowance for credit losses associated with HTM securities during the three months ended March 31, 2023 and 2022.

	Three Months Ended
(In millions)	March 31, 2023		March 31, 2022
Balance, beginning of the period	$	30	$	17
(Charge-offs)/recoveries	(1)		—
Provision for/(reversal of) credit losses	(1)		(3)
Balance, end of the period	$	28	$	14

To evaluate investment securities for credit loss at March 31, 2023, and December 31, 2022, the Bank employed the following methodologies, based on the type of security.

AFS and HTM Securities (Excluding PLRMBS) – The Bank’s AFS and HTM securities are principally U.S. obligations and MBS issued by Ginnie Mae, Freddie Mac, and Fannie Mae that are backed by single-family or multifamily mortgage loans. The Bank only purchases securities considered investment quality. Excluding PLRMBS investments, at March 31, 2023, and December 31, 2022, substantially all of AFS securities and HTM securities, based on amortized cost, were rated A, or above, by an NRSRO, based on the lowest long-term credit rating for each security. These may differ from any internal ratings of the securities by the Bank, if applicable.

At March 31, 2023, and December 31, 2022, certain of the Bank’s AFS securities were in an unrealized loss position. These losses are considered temporary as the Bank expects to recover the entire amortized cost basis on these AFS investment securities and neither intends to sell these securities nor considers it more likely than not that it will be required to sell these securities before its anticipated recovery of each security's remaining amortized cost basis. Further, the Bank has not experienced any payment defaults on the instruments and substantially all of these securities are highly rated. In the case of U.S. obligations, they carry an explicit government guarantee. As a result, no allowance for credit losses was recorded on these AFS securities at March 31, 2023, and December 31, 2022.

As of March 31, 2023, and December 31, 2022, the Bank had not established an allowance for credit losses on any of its HTM securities because the securities: (i) were all highly rated or had short remaining terms to maturity and (ii) had not experienced, nor did the Bank expect, any payment default on the instruments, and (iii) in the case of U.S. Treasury, GSE, or other agency obligations, carry an implicit or explicit government guarantee such that the FHLBanks consider the risk of nonpayment to be zero.

Private-Label Residential Mortgage-Backed Securities – The Bank also holds investments in PLRMBS. The Bank has not purchased any PLRMBS since the first quarter of 2008. However, many of these securities have subsequently experienced significant credit deterioration. As of March 31, 2023, and December 31, 2022, approximately 4% PLRMBS (AFS and HTM combined, based on amortized cost) were rated A, or above, by an NRSRO; and the remaining securities were either rated less than A, or were unrated. To determine whether an allowance for credit loss is necessary on these securities, the Bank uses cash flow analyses. For certain PLRMBS where underlying collateral data is not available, alternative procedures as determined by the Bank are used to assess these securities for credit loss measurement.

At each quarter end, the Bank compares the present value of the cash flows expected to be collected on its PLRMBS, using the effective interest rate, to the amortized cost basis of the securities to determine whether a credit loss exists. The expected credit losses are measured using:

•expected housing price changes;

•expected interest rate assumptions;

•the remaining payment terms for the security;

•expected default rates based on underlying loan-level borrower and loan characteristics;

•loss severities on the collateral supporting each unique PLRMBS based on underlying loan-level borrower and loan characteristics; and

•prepayment speeds based on underlying loan-level borrower and loan characteristics.

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 these assumptions and expectations. The cash flows determined reflect management’s expectations and include a base case housing price forecast for near- and long-term horizons.

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 PLRMBS with previous credit losses related to the prior methodology of evaluating credit losses (securities for which the Bank determined that it does not expect to recover the entire amortized cost basis), measurement of the fair value of PLRMBS classified as Level 3 as of March 31, 2023, uses significant inputs that include, based on unpaid principal balance, the weighted average percentage of prepayment rates of 10.1%; default rates of 5.8%; and loss severities of 56.9%. The weighted average percentage of the related current credit enhancement for these securities, based on unpaid principal balance, was 8.7% as of March 31, 2023. 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 total net accretion recognized in interest income associated with PLRMBS with previous credit losses related to the prior methodology of evaluating credit losses totaled $11 million and $14 million for the three months ended March 31, 2023 and 2022, respectively. Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities totaled $7 million and $8 million for the three months ended March 31, 2023 and 2022, respectively.

In general, the Bank elects to transfer any PLRMBS that incurred a credit loss during the applicable period from the Bank’s HTM portfolio to its AFS portfolio at their fair values. The Bank previously recognized a credit loss on these HTM PLRMBS, which the Bank believes is evidence of a significant decline in the credit quality of the underlying collateral. The decline in the credit quality of the underlying collateral is the basis for the transfers to the AFS portfolio. These transfers allow the Bank the option to sell these securities before 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 did not transfer any PLRMBS from its HTM portfolio to its AFS portfolio during the three months ended March 31, 2023. The Bank transferred PLRMBS from its HTM

portfolio to its AFS portfolio with an amortized cost of $16 million and fair value of $19 million during the three months ended March 31, 2022.For the Bank’s PLRMBS, the Bank recorded a reversal of credit losses of $1 million and $3 million during the three months ended March 31, 2023, and March 31, 2022, respectively, largely as a result of improvements in the fair values of underlying collateral on certain securities.

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Advances

3 Months Ended

Mar. 31, 2023

Federal Home Loan Banks [Abstract]

Advances

Note 4 — 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 a specified index.

Redemption Terms. The Bank had advances outstanding at interest rates ranging from 0.21% to 8.57% at March 31, 2023, and 0.21% to 8.57% at December 31, 2022, as summarized below.

(Dollars in millions)	March 31, 2023				December 31, 2022
Redemption Term	Amount Outstanding(1)		Weighted Average Interest Rate		Amount Outstanding(1)		Weighted Average Interest Rate
Overdrawn demand and overnight deposit accounts	$	—	4.65	%	$	2	4.15	%
Within 1 year(2)	64,758		4.87		71,050		4.34
After 1 year through 2 years	22,750		3.99		7,634		3.30
After 2 years through 3 years	5,433		3.60		4,036		2.22
After 3 years through 4 years	4,284		2.62		3,391		2.05
After 4 years through 5 years	3,702		3.73		2,815		3.24
After 5 years	1,092		3.58		1,189		3.50
Total par value	102,019		4.45	%	90,117		4.03	%
Valuation adjustments for hedging activities	(453)				(670)
Valuation adjustments under fair value option	(25)				(47)
Total	$	101,541			$	89,400

(1)Carrying amounts exclude accrued interest receivable of $103 million and $241 million at March 31, 2023, and December 31, 2022, respectively.

(2)Advances outstanding with redemption terms within three months totaled $45.6 billion and $46.3 billion at March 31, 2023, and December 31, 2022, respectively.

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 borrower’s decision to repay the advance prior to its maturity date, which is required by Finance Agency regulations. In addition, for certain advances with full or 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. In November 2018, the Bank discontinued offering advances with partial prepayment symmetry. The Bank had advances with full prepayment symmetry outstanding totaling $39.9 billion at March 31, 2023, and $19.2 billion at December 31, 2022. The Bank had advances with partial prepayment symmetry outstanding totaling $0.7 billion at March 31, 2023, and $1.0 billion at December 31, 2022. Some advances may be repaid on pertinent call dates without prepayment fees (callable advances). The Bank had callable advances outstanding totaling $9.2 billion at March 31, 2023, and $9.8 billion at December 31, 2022.

The Bank had putable advances totaling $1.4 billion at March 31, 2023, and $0.8 billion at December 31, 2022. 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, 2023, and December 31, 2022, by the earlier of the year of redemption term or next call date for callable advances and by the earlier of the year of redemption term or next put date for putable advances.

	Earlier of Redemption Term or Next Call Date				Earlier of Redemption Term or Next Put Date
(In millions)	March 31, 2023		December 31, 2022		March 31, 2023		December 31, 2022
Overdrawn demand and overnight deposit accounts	$	—	$	2	$	—	$	2
Within 1 year	65,078		71,370		65,608		71,850
After 1 year through 2 years	22,760		7,634		23,250		7,634
After 2 years through 3 years	5,433		4,046		4,983		3,836
After 3 years through 4 years	4,284		3,391		4,284		3,391
After 4 years through 5 years	3,712		2,825		2,802		2,215
After 5 years	752		849		1,092		1,189
Total par value	$	102,019	$	90,117	$	102,019	$	90,117

Concentration Risk. The following tables present the concentration in advances to the top 10 borrowers and their affiliates at March 31, 2023, and March 31, 2022. The tables also present the interest income from these advances before the impact of interest rate exchange agreements hedging these advances for the three months ended March 31, 2023 and 2022.

March 31, 2023
(In millions)
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
First Republic Bank(2)	$	28,100	28	%	$	176	18	%
MUFG Union Bank, National Association(3)	11,050		11		36		4
Western Alliance Bank	11,000		11		27		3
City National Bank	8,850		9		115		12
Pacific Western Bank	5,450		5		25		3
First Technology Federal Credit Union(4)	4,458		4		38		4
Bank of the West(5)	2,600		3		66		7
Wells Fargo National Bank West	2,000		2		24		2
First Foundation Bank	2,000		2		12		1
Luther Burbank Savings Bank(4)	1,702		2		9		1
Subtotal	77,210		77		528		55
Others	24,809		23		443		45
Total par value	$	102,019	100	%	$	971	100	%

March 31, 2022
(In millions)
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
MUFG Union Bank, National Association(3)	$	4,050	20	%	$	13	18	%
First Republic Bank(2)	3,700		18		9		13
First Technology Federal Credit Union(4)	1,800		9		8		12
Silvergate Bank	800		4		—		—
Wescom Central Credit Union	760		4		1		2
Luther Burbank Savings	752		4		3		4
Bank of Hope	700		3		1		2
Pacific Western Bank	629		3		—		—
Pacific Premier Bank	600		3		—		—
Banc of California, NA	561		3		3		4
Subtotal	14,352		71		38		55
Others	6,121		29		30		45
Total par value	$	20,473	100	%	$	68	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)    On May 1, 2023, the California Department of Financial Protection and Innovation (DFPI) closed First Republic Bank, appointed the FDIC as receiver, and the FDIC and JPMorgan Chase, National Association, a nonmember, reported that they are entering into a purchase and assumption agreement for substantially all of the assets of First Republic Bank, including $28.1 billion in advances outstanding from the Bank. These advances outstanding are fully collateralized and are not expected to result in any credit loss to the Bank.

(3)    On December 1, 2022, U.S. Bancorp, a nonmember, announced that it completed its acquisition of MUFG Union Bank, National Association.

(4)    An officer or director of the member is a Bank director.

(5)    On February 1, 2023, BMO Harris, a nonmember, announced that it completed its acquisition of Bank of the West.

On March 10, 2023, Silicon Valley Bank was closed by the California Department of Financial Protection and Innovation (DFPI) and the Federal Deposit Insurance Corporation (FDIC) was named as receiver. On March 14, 2023, the FDIC transferred all of the deposits and substantially all of the assets of Silicon Valley Bank to Silicon Valley Bridge Bank, National Association. The advances to Silicon Valley Bank were not transferred to Silicon Valley Bridge Bank, and were repaid by Silicon Valley Bank. On March 26, 2023, the FDIC entered into a purchase and assumption agreement for all the deposits and loans of Silicon Valley Bridge Bank, N.A. with First-Citizens Bank and Trust Company, a nonmember. At March 31, 2023, Silicon Valley Bank had no advances outstanding from the Bank, compared to $15.0 billion in advances outstanding to Silicon Valley Bank at yearend 2022.

Credit Risk Exposure and Security Terms. The Bank manages its credit exposure related to advances 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.

In addition, the Bank lends to member financial institutions that have their principal place of business in Arizona, California, or Nevada, in accordance with federal law and Finance Agency regulations. Specifically, the Bank is required to obtain sufficient collateral to fully secure credit products up to the member’s total credit limit. Borrowers may pledge the following eligible assets to secure advances:

•one-to-four-family first lien residential mortgage loans;

•securities issued, insured, or guaranteed by the U.S. government or any of its agencies, including without limitation MBS backed by Fannie Mae, Freddie Mac, or Ginnie Mae;

•cash or deposits in the Bank;

•certain other real estate-related collateral, such as certain privately issued MBS, multifamily loans, commercial real estate loans, and second lien residential mortgage loans or home equity loans; and

•small business, small farm, and small agribusiness loans that are fully secured by collateral (such as real estate, equipment and vehicles, accounts receivable, and inventory) from members that are community financial institutions.

The Bank has advances outstanding to former members and member successors, which are subject to the security terms above. The Bank requires each borrowing member to execute a written Advances and Security Agreement, which describes the lending relationship between the Bank and the borrower. At March 31, 2023, and December 31, 2022, the Bank had a perfected security interest in collateral pledged by each borrowing member, or by the member's affiliate on behalf of the member, and by each nonmember borrower, with an estimated value in excess of the outstanding credit products for that borrower. Based on the financial condition of the borrower, the Bank may either (i) allow the borrower or the pledging affiliate to retain physical possession of loan collateral pledged to the Bank, provided that the borrower or the pledging affiliate agrees to hold the collateral for the benefit of the Bank, or (ii) require the borrower or the pledging affiliate to deliver physical possession of loan collateral to the Bank or its custodial agent. All securities collateral is required to be delivered to the Bank’s custodial agent. All loan collateral pledged to the Bank is subject to a Uniform Commercial Code-1 financing statement.

Section 10(e) of the FHLBank Act affords any security interest granted to the Bank by a member or any affiliate of the member or any nonmember borrower priority over claims or rights of any other party, except claims or rights that (i) would be entitled to priority under otherwise applicable law and (ii) are held by bona fide purchasers for value or secured parties with perfected security interests.

At March 31, 2023, and December 31, 2022, none of the Bank’s credit products were past due or on nonaccrual status. There were no modifications to credit products related to borrowers experiencing financial difficulty during the three months ended March 31, 2023.

Based on the collateral pledged as security for advances, the Bank’s credit analyses of borrowers’ financial condition, repayment history on advances, and the Bank’s credit extension and collateral policies as of March 31, 2023, the Bank expects to collect all amounts due according to the contractual terms. Therefore, no allowance for credit losses on advances was deemed necessary by the Bank as of March 31, 2023, and December 31, 2022.

Interest Rate Payment Terms. Interest rate payment terms for advances at March 31, 2023, and December 31, 2022, are detailed below:

(In millions)	March 31, 2023		December 31, 2022
Par value of advances:
Fixed rate:
Due within 1 year	$	42,646	$	47,621
Due after 1 year	37,246		18,050
Total fixed rate	79,892		65,671
Adjustable rate:
Due within 1 year	22,112		23,431
Due after 1 year	15		1,015
Total adjustable rate	22,127		24,446
Total par value	$	102,019	$	90,117

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, 2023, or December 31, 2022. 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 11 – Derivatives and Hedging Activities and Note 12 – Fair Value.Prepayment Fees, Net. The Bank charges borrowers prepayment fees or pays borrowers prepayment credits when the principal on certain advances is paid before original maturity. The Bank records prepayment fees net of any associated fair value adjustments related to prepaid advances that were in hedging relationships. The net amount of prepayment fees received was $95 million for the three months ended March 31, 2023. The net amount of prepayment fees paid was $2 million for the three months ended March 31, 2022.

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Mortgage Loans Held for Portfolio

3 Months Ended

Mar. 31, 2023

Receivables [Abstract]

Mortgage Loans Held for Portfolio

Note 5 — Mortgage Loans Held for Portfolio

The following table presents information as of March 31, 2023, and December 31, 2022, on mortgage loans held for portfolio, all of which are secured by one- to four-unit residential properties and single-unit homes.

(In millions)	March 31, 2023		December 31, 2022
Fixed rate medium-term mortgage loans	$	13	$	14
Fixed rate long-term mortgage loans	749		761
Subtotal	762		775
Unamortized premiums	42		43
Unamortized discounts	(2)		(2)
Mortgage loans held for portfolio(1)	802		816
Less: Allowance for credit losses	(1)		(1)
Total mortgage loans held for portfolio, net	$	801	$	815

(1)Excludes accrued interest receivable of $5 million and $5 million at March 31, 2023, and December 31, 2022, respectively.

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

Payment Status of Mortgage Loans. Payment status is the key credit quality indicator for conventional mortgage loans and allows the Bank to monitor the migration of past due loans. A past due loan is one where the borrower has failed to make a scheduled full payment of principal and interest within 30 days of its due date. Other delinquency statistics include nonaccrual loans and loans in process of foreclosure. The following tables present the payment status for mortgage loans and other delinquency statistics for the Bank’s mortgage loans at March 31, 2023, and December 31, 2022.

March 31, 2023
(Dollars in millions)	Origination Year
Payment Status	2019 to 2023		Prior to 2019		Amortized Cost(1)
30 – 59 days delinquent	$	2	$	6	$	8
60 – 89 days delinquent	1		1		2
90 days or more delinquent	4		14		18
Total past due	7		21		28
Total current loans	358		416		774
Total mortgage loans held for portfolio	$	365	$	437	$	802
In process of foreclosure, included above(2)					$	2
Nonaccrual loans(3)					$	18
Serious delinquencies as a percentage of total mortgage loans outstanding(4)					2.22		%

December 31, 2022
(Dollars in millions)	Origination Year
Payment Status	2018 to 2022		Prior to 2018		Amortized Cost(1)
30 – 59 days delinquent	$	4	$	5	$	9
60 – 89 days delinquent	2		1		3
90 days or more delinquent	11		8		19
Total past due	17		14		31
Total current loans	449		336		785
Total mortgage loans held for portfolio	$	466	$	350	$	816
In process of foreclosure, included above(2)					$	3
Nonaccrual loans(3)					$	19
Serious delinquencies as a percentage of total mortgage loans outstanding(4)					2.30		%

(1)    The amortized cost in a loan is the unpaid principal balance of the loan, adjusted for net deferred loan fees or costs, unamortized premiums or discounts, and direct write-downs.

(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)    At March 31, 2023, and December 31, 2022, $6 million and $7 million, respectively, of mortgage loans on nonaccrual status did not have an associated allowance for credit losses because these loans were either previously charged off to the expected recoverable value or the fair value of the underlying collateral, including any credit enhancements, is greater than the amortized cost of the loans.

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

Allowance for Credit Losses on Mortgage Loans Held for Portfolio. Mortgage loans held for portfolio are evaluated on a loan-level basis for expected credit losses, factoring in the credit enhancement structure at the master commitment level. The Bank determines its allowance for credit losses on mortgage loans held for portfolio through analyses that include consideration of various loan portfolio and collateral related characteristics, such as past performance, current conditions, and reasonable and supportable forecasts of expected economic conditions. The Bank uses models that employ a variety of methods, such as projected cash flows, to estimate expected credit losses over the life of the loans. These models rely on a number of inputs, such as current and forecasted property values and interest rates as well as historical borrower behavior experience. At March 31, 2023, the Bank’s reasonable and supportable forecast of housing prices expects, on average, for prices to depreciate 2.7% over a one-year forecast horizon before reverting to long-term housing price appreciation rates of 4.0% after five additional years in the forecast based on historical averages. At December 31, 2022, the Bank’s reasonable and supportable forecast of housing prices expects, on average, for prices to depreciate 0.7% over a one-year forecast horizon before reverting to long-term housing price appreciation rates of 4.0% after five additional years in the forecast based on historical averages. The Bank also incorporates associated credit enhancements, if any, to determine its estimate of expected credit losses.

Certain mortgage loans held for portfolio may be evaluated for credit losses by the Bank using the practical expedient for collateral-dependent assets. A mortgage loan is considered collateral-dependent if repayment is expected to be provided by the sale of the underlying property, that is, if it is considered likely that the borrower will default. The Bank may estimate the fair value of this collateral by applying an appropriate loss severity rate or using third-party estimates or property valuation models. The expected credit loss of a collateral-dependent mortgage loan is equal to the difference between the amortized cost of the loan and the estimated fair value of the collateral, less estimated selling costs. The Bank will either reserve for these estimated losses or record a direct charge-off of the loan balance, if certain triggering criteria are met. Expected recoveries of prior charge-offs, if any, are included in the allowance for credit loss.

At both March 31, 2023 and 2022, the allowance for credit losses on the mortgage loan portfolio was $1 million. The amount of charge-offs and recoveries of allowance for credit losses on the mortgage loan portfolio were de minimis for the three months ended March 31, 2023 and 2022, respectively.

For more information related to the Bank’s accounting policies for mortgage loans held for portfolio, see “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2022 Form 10-K.

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Deposits

3 Months Ended

Mar. 31, 2023

Deposits [Abstract]

Deposits

Note 6 — 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 held for portfolio 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 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.

Deposits and interest rate payment terms for deposits as of March 31, 2023, and December 31, 2022, were as follows:

	March 31, 2023				December 31, 2022
(Dollars in millions)	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding		Weighted Average Interest Rate
Interest-bearing deposits:
Adjustable rate	$	1,014	4.65	%	$	983	4.15	%
Fixed rate	2		4.40		—		—
Total interest-bearing deposits	1,016				983
Non-interest-bearing deposits	6				6
Total	$	1,022			$	989

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Consolidated Obligations

3 Months Ended

Mar. 31, 2023

Debt Disclosure [Abstract]

Consolidated Obligations

Note 7 — Consolidated Obligations

Consolidated obligations, consisting of bonds and discount notes, are jointly issued by the Federal Home Loan Banks (FHLBanks) through the Office of Finance, which serves as the FHLBanks’ agent. As provided by the Federal Home Loan Bank Act of 1932, as amended (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 Statements and Supplementary Data – Note 16 – Commitments and Contingencies” in the Bank’s 2022 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, 2023, and December 31, 2022.

(Dollars in millions)	March 31, 2023				December 31, 2022
Contractual Maturity	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding		Weighted Average Interest Rate
Within 1 year	$	62,616	4.62	%	$	58,301	4.05	%
After 1 year through 2 years	23,046		4.12		8,268		2.30
After 2 years through 3 years	4,080		1.26		2,317		1.26
After 3 years through 4 years	3,888		1.11		5,473		0.99
After 4 years through 5 years	1,142		2.97		1,255		1.47
After 5 years	1,182		2.01		1,293		1.73
Total par value	95,954		4.16	%	76,907		3.47	%
Unamortized premiums	—				1
Unamortized discounts	(10)				(5)
Valuation adjustments for hedging activities	(869)				(1,083)
Fair value option valuation adjustments	(41)				(52)
Total	$	95,034			$	75,768

The Bank’s participation in consolidated obligation bonds outstanding includes callable bonds of $23.8 billion at March 31, 2023, and $19.7 billion at December 31, 2022. When a callable bond for which the Bank is the primary obligor is issued, the Bank may simultaneously enter into an interest rate swap (wherein 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 option in a swap). The Bank had notional amounts of interest rate exchange agreements hedging callable bonds of $22.2 billion at March 31, 2023, and $18.1 billion at December 31, 2022. The combined callable swaps and callable bonds enable the Bank to meet its funding needs at lower costs relative to similar tenor 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, 2023, and December 31, 2022, was as follows:

(In millions)	March 31, 2023		December 31, 2022
Par value of consolidated obligation bonds:
Non-callable	$	72,169	$	57,164
Callable	23,785		19,743
Total par value	$	95,954	$	76,907

The following is a summary of the Bank’s participation in consolidated obligation bonds outstanding at March 31, 2023, and December 31, 2022, by the earlier of the year of contractual maturity or next call date.

(In millions)
Earlier of Contractual Maturity or Next Call Date	March 31, 2023		December 31, 2022
Within 1 year	$	78,409	$	73,049
After 1 year through 2 years	17,154		3,310
After 2 years through 3 years	45		187
After 3 years through 4 years	298		313
After 4 years through 5 years	1		—
After 5 years	47		48
Total par value	$	95,954	$	76,907

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, 2023				December 31, 2022
(Dollars in millions)	Amount Outstanding		Weighted Average Interest Rate (1)		Amount Outstanding		Weighted Average Interest Rate (1)
Par value	$	37,668	4.70	%	$	36,159	4.13	%
Unamortized discounts	(312)				(230)
Total	$	37,356			$	35,929

(1)Represents yield to maturity excluding concession fees.

Interest Rate Payment Terms. Interest rate payment terms for consolidated obligations at March 31, 2023, and December 31, 2022, 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 8 – Consolidated Obligations” in the Bank’s 2022 Form 10-K.

(In millions)	March 31, 2023		December 31, 2022
Par value of consolidated obligations:
Bonds:
Fixed rate	$	34,856	$	25,632
Adjustable rate	60,275		48,997
Step-up	823		2,278
Total bonds, par value	95,954		76,907
Discount notes, par value	37,668		36,159
Total consolidated obligations, par value	$	133,622	$	113,066

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, 2023, or December 31, 2022. 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 11 – Derivatives and Hedging Activities and Note 12 – Fair Value.

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Capital

3 Months Ended

Mar. 31, 2023

Banking Regulation, Total Capital [Abstract]

Capital

Note 9 — Capital

Capital Requirements. 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. For further information related to the Bank’s capital requirements, see “Item 8. Financial Statements and Supplementary Data – Note 11 – Capital” in the Bank’s 2022 Form 10-K.

As of March 31, 2023, and December 31, 2022, the Bank complied with these capital rules and requirements as shown in the following table.

	March 31, 2023						December 31, 2022
(Dollars in millions)	Required			Actual			Required			Actual
Risk-based capital	$	1,095		$	8,228		$	898		$	7,757
Total regulatory capital	$	5,700		$	8,228		$	4,842		$	7,757
Total regulatory capital ratio	4.00		%	5.77		%	4.00		%	6.41		%
Leverage capital	$	7,125		$	12,342		$	6,053		$	11,636
Leverage ratio	5.00		%	8.66		%	5.00		%	9.61		%

The Bank’s capital plan requires each member to own capital stock in an amount equal to the greater of its membership capital stock requirement or its activity-based capital stock requirement. The Bank may adjust these requirements from time to time within ranges established in the capital plan. Any changes to the capital plan must be approved by the Bank’s board of directors and the Finance Agency. For information on the Bank’s membership capital stock requirement and activity-based capital stock requirement, see “Item 8. Financial Statements and Supplementary Data – Note 11 – Capital – Capital Requirements” in the Bank’s 2022 Form 10-K.

Mandatorily Redeemable Capital Stock. The Bank had mandatorily redeemable capital stock totaling $95 million outstanding to five institutions at March 31, 2023, and $5 million outstanding to three institutions at December 31, 2022. The change in mandatorily redeemable capital stock for the three months ended March 31, 2023 and 2022 was as follows:

	Three Months Ended
(In millions)	March 31, 2023		March 31, 2022
Balance at the beginning of the period	$	5	$	3
Reclassified from/(to) capital during the period	195		32
Repurchase/redemption of mandatorily redeemable capital stock	(105)		(28)
Balance at the end of the period	$	95	$	7

Cash dividends on mandatorily redeemable capital stock were recorded as interest expense of de minimis amounts for the three months ended March 31, 2023 and 2022.

The following table presents mandatorily redeemable capital stock amounts by contractual redemption period at March 31, 2023, and December 31, 2022.

(In millions)
Contractual Redemption Period	March 31, 2023		December 31, 2022
After 3 years through 4 years	$	4	$	1
After 4 years through 5 years	90		3
Past contractual redemption date because of remaining activity(1)	1		1
Total	$	95	$	5

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

The Bank’s mandatorily redeemable capital stock is discussed more fully in “Item 8. Financial Statements and Supplementary Data – Note 11 – Capital” in the Bank’s 2022 Form 10-K.

Excess Stock Repurchase, Retained Earnings, and Dividend Framework. The Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework (Framework) assesses the level and adequacy of retained earnings and establishes amounts to be retained in restricted retained earnings, which are not made available in the current dividend period, and maintains an amount of total retained earnings at least equal to its required retained earnings as described in the Framework. The methodology may be revised from time to time, and the required level of required retained earnings under the methodology may change due to updating data and assumptions used in the methodology. In January 2023, the required level of retained earnings was increased from $2.6 billion to $2.7 billion. The Bank’s retained earnings requirement may be changed at any time. The board of directors periodically reviews the retained earnings methodology and analysis to determine whether any adjustments are appropriate.

The Bank satisfies its retained earnings requirement with both restricted retained earnings (i.e., amounts related to the Joint Capital Enhancement (JCE) Agreement) and unrestricted retained earnings. The JCE Agreement is intended to enhance the capital position of each FHLBank. In accordance with the JCE Agreement, each FHLBank is required to reclassify an amount equal to 20% of its net income each quarter to a separate restricted retained earnings account until the balance of the account, calculated as of the last day of each calendar quarter, equals at least 1% of that FHLBank's average balance of outstanding consolidated obligations for the calendar quarter. Under the JCE Agreement, these restricted retained earnings will not be available to pay dividends. The JCE Agreement also provides that amounts in restricted retained earnings in excess of 150% of the Bank’s restricted retained earnings minimum (i.e., 1% of the Bank’s total consolidated obligations calculated as of the last day of each calendar quarter) may be released from restricted retained earnings.

As a result of the Bank exceeding this threshold, the Bank reclassified $16 million from restricted retained earnings to unrestricted retained earnings during the first quarter of 2022. The Bank made no reclassifications from restricted retained earnings to unrestricted retained earnings during the first quarter of 2023. The Bank’s restricted retained earnings totaled $770 million and $732 million at March 31, 2023, and December 31, 2022, respectively. The

Bank’s unrestricted retained earnings totaled $3.4 billion and $3.3 billion at March 31, 2023, and December 31, 2022, respectively.

For information on restricted retained earnings and the Bank’s Framework, see “Item 8. Financial Statements and Supplementary Data – Note 11 – Capital” in the Bank’s 2022 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. For information on dividend payments, see “Item 8. Financial Statements and Supplementary Data – Note 11 – Capital” in the Bank’s 2022 Form 10-K.

In addition, Finance Agency rules do not permit the Bank to pay dividends in the form of capital stock if its excess stock exceeds 1% of its total assets. Excess 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. Excess stock totaled $136 million, or 0.10% of total assets as of March 31, 2023. Excess stock totaled $157 million, or 0.13% of total assets as of December 31, 2022.

In the first quarter of 2023, the Bank paid dividends at an annualized rate of 7.00%, totaling $63 million, including $63 million in dividends on capital stock and a de minimis amount in dividends on mandatorily redeemable capital stock. In the first quarter of 2022, the Bank paid dividends at an annualized rate of 6.00%, totaling $35 million, including $35 million in dividends on capital stock and a de minimis amount 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, 2023, the Bank’s board of directors declared a quarterly cash dividend on the capital stock outstanding during the first quarter of 2023 at an annualized rate of 7.00%, totaling $67 million. The Bank recorded the dividend on April 27, 2023, and expects to pay the dividend on May 11, 2023.

Excess Stock – The Bank’s capital plan provides that the Bank may repurchase some or all of a shareholder’s excess stock at the Bank’s discretion, subject to certain statutory and regulatory requirements. The Bank may also repurchase all of a member’s excess stock at a member’s request, at the Bank’s discretion, subject to certain statutory and regulatory requirements. For information on excess stock, see “Item 8. Financial Statements and Supplementary Data – Note 11 – Capital” in the Bank’s 2022 Form 10-K. The Bank repurchased $1.9 billion and $0.8 billion in excess stock during the first quarter of 2023 and 2022, 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 2023 and 2022, the Bank redeemed a de minimis amount in mandatorily redeemable capital stock, for which the five-year redemption period had expired, at its $100 par value per share. 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.

Concentration. The following table presents the concentration in capital stock held by institutions whose capital stock ownership represented 10% or more of the Bank’s outstanding capital stock, including mandatorily redeemable capital stock, as of March 31, 2023, or December 31, 2022:

	March 31, 2023				December 31, 2022
(Dollars in millions)	Capital Stock Outstanding		Percentage of Total Capital Stock Outstanding		Capital Stock Outstanding		Percentage of Total Capital Stock Outstanding
First Republic Bank(1)	$	759	19	%	$	379	10	%
Silicon Valley Bank(2)	—		—		418		11
Subtotal	759		19		797		21
Others	3,343		81		2,966		79
Total	$	4,102	100	%	$	3,763	100	%

(1) On May 1, 2023, the California DFPI closed First Republic Bank, appointed the FDIC as receiver, and the FDIC and JPMorgan Chase, National Association, a nonmember, reported that they are entering into a purchase and assumption agreement for substantially all of the assets of First Republic Bank, including the advances outstanding from the Bank. Upon assumption of the advances outstanding by JPMorgan Chase, National Association, the Bank will transfer $759 million of capital stock of the Bank, held by First Republic Bank, to JPMorgan Chase, National Association, and reclassify that capital stock to mandatorily redeemable as a liability in the Bank’s Statements of Condition.

(2) On March 10, 2023, the FDIC was appointed as receiver for Silicon Valley Bank. On March 14, 2023, the FDIC transferred all of the deposits and substantially all of the assets of Silicon Valley Bank to Silicon Valley Bridge Bank, National Association. The advances and capital stock held by Silicon Valley Bank were not transferred to Silicon Valley Bridge Bank and were repaid and redeemed, respectively. On March 26, 2023, the FDIC entered into a purchase and assumption agreement for all the deposits and loans of Silicon Valley Bridge Bank, N.A. with First-Citizens Bank and Trust Company, a nonmember.

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Segment Information

3 Months Ended

Mar. 31, 2023

Segment Reporting [Abstract]

Segment Information

Note 10 — 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” in other income/(loss), excludes interest income and expense associated with changes in fair value from fair value hedges that are recorded in the same line as the earnings effect of the hedged item, and excludes interest expense that is recorded in “Mandatorily redeemable capital stock.” AHP assessments are not included in the segment reporting analysis but are 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 10 – Segment Information” in the Bank’s 2022 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, 2023 and 2022.

(In millions)	Advances- Related Business		Mortgage- Related Business(1)		Adjusted Net Interest Income		Amortization of Basis Adjustments and (Gain)/Loss on Fair Value Hedges(2)		Income/(Expense) on Economic Hedges(3)		Interest Expense on Mandatorily Redeemable Capital Stock(4)		Net Interest Income After Provision for/(Reversal of) Credit Losses		Other Income/ (Loss)		Other Expense		Income/(Loss) Before AHP Assessment
Three Months Ended:
March 31, 2023	$	240	$	53	$	293	$	10	$	(5)	$	—	$	288	$	(26)	$	45	$	217
March 31, 2022	31		68		99		(7)		—		—		106		18		38		86

(1)    The mortgage-related business includes total accretion or amortization associated with other-than-temporarily impaired PLRMBS, which are recognized in interest income, totaling $11 million and $14 million for the three months ended March 31, 2023 and 2022, respectively. The mortgage-related business includes a provision for/(reversal of) credit losses that totaled $(1) million and $(3) million for the three months ended March 31, 2023 and 2022, respectively.

(2)    Represents amortization of amounts deferred for adjusted net interest income purposes only and changes in fair value of the derivative hedging instrument and the hedged item attributable to the hedged risk for designated fair value hedges recorded in net interest income.

(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/(loss) in “Net gain/(loss) on derivatives.”

(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, 2023, and December 31, 2022.

(In millions)	Advances- Related Business		Mortgage- Related Business		Total Assets
March 31, 2023	$	130,303	$	12,190	$	142,493
December 31, 2022	109,330		11,726		121,056

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Derivatives and Hedging Activities

3 Months Ended

Mar. 31, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivatives and Hedging Activities

Note 11 — 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 obligations to create variable rate structures. The interest rate exchange agreements are generally executed at the same time the advances and consolidated obligations are transacted and generally have the same maturity dates as the related hedged instrument. The Bank transacts most of its derivatives with large banks and major broker-dealers.

For more information related to the Bank’s accounting policies for derivatives, see “Item 8. Financial Statements and Supplementary Data – Note 14 – Derivatives and Hedging Activities” in the Bank’s 2022 Form 10-K. For more information related to the Bank’s accounting policies for derivatives, see “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2022 Form 10-K.

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, 2023, and December 31, 2022. For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest.

	March 31, 2023						December 31, 2022
(In millions)	Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities		Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	88,096	$	696	$	916	$	69,204	$	799	$	1,062
Derivatives not designated as hedging instruments:
Interest rate swaps	101,535		38		107		47,589		50		133
Total derivatives before netting and collateral adjustments	$	189,631	734		1,023		$	116,793	849		1,195
Netting adjustments and cash collateral(1)			(728)		(1,012)				(823)		(1,193)
Total derivative assets and total derivative liabilities			$	6	$	11			$	26	$	2

(1)    Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral, including accrued interest, held or placed with the same clearing agents or counterparty. Cash collateral posted, including accrued interest, was $585 million and $694 million at March 31, 2023, and December 31, 2022, respectively. Cash collateral received, including accrued interest, was $300 million and $324 million at March 31, 2023, and December 31, 2022, respectively.

The following tables present, by type of hedged item, the gains and losses on fair value hedging relationships and the impact of those derivatives on the Bank’s Statements of Income for the three months ended March 31, 2023 and 2022.

	Three Months Ended March 31, 2023
	Interest Income/(Expense)
(In millions)	Advances		AFS Securities		Consolidated Obligation Bonds
Total interest income/(expense) presented in the Statements of Income	$	1,163	$	190	$	(920)
Gain/(loss) on fair value hedging relationships
Derivatives(1)	$	(301)	$	(149)	$	84
Hedged items	189		232		(214)
Net gain/(loss) on fair value hedging relationships	(112)		83		(130)
Net amortization of basis adjustments on discontinued hedging relationships	(8)		(25)		—
Net gain/(loss) on derivatives and hedging activities recorded in net interest income	$	(120)	$	58	$	(130)

	Three Months Ended March 31, 2022
	Interest Income/(Expense)
(In millions)	Advances		AFS Securities		Consolidated Obligation Bonds
Total interest income/(expense) presented in the Statements of Income	$	39	$	54	$	(12)
Gain/(loss) on fair value hedging relationships
Derivatives(1)	$	320	$	429	$	(436)
Hedged items	(340)		(439)		460
Net gain/(loss) on fair value hedging relationships	(20)		(10)		24
Net amortization of basis adjustments on discontinued hedging relationships	(7)		(27)		—
Net gain/(loss) on derivatives and hedging activities recorded in net interest income	$	(27)	$	(37)	$	24

(1)Includes net interest settlements.

The following table presents the cumulative basis adjustments on hedged items designated as fair value hedges and the related amortized cost of the hedged items as of March 31, 2023, and December 31, 2022.

	March 31, 2023						December 31, 2022
(In millions)	Advances		AFS Securities		Consolidated Obligation Bonds		Advances		AFS Securities		Consolidated Obligation Bonds
Amortized cost of hedged asset/(liability)(1)	$	44,708	$	12,234	$	(30,791)	$	34,535	$	11,574	$	(21,976)
Fair value hedging basis adjustments:
Active hedging relationships included in amortized cost	$	(526)	$	(1,164)	$	869	$	(740)	$	(1,410)	$	1,083
Discontinued hedging relationships included in amortized cost	73		705		—		70		740		—
Total amount of fair value hedging basis adjustments	$	(453)	$	(459)	$	869	$	(670)	$	(670)	$	1,083

(1)Includes only the portion of amortized cost representing the hedged items in fair value hedging relationships.

The following table presents the components of net gain/(loss) on derivatives as presented in the Statements of Income for the three months ended March 31, 2023 and 2022.

	Three Months Ended
(In millions)	March 31, 2023		March 31, 2022
Derivatives not designated as hedging instruments	Gain/(Loss)		Gain/(Loss)
Economic hedges:
Interest rate swaps	$	(28)	$	8
Net interest settlements	(5)		—
Total net gain/(loss) related to derivatives not designated as hedging instruments	(33)		8
Price alignment amount(1)	(1)		—
Net gain/(loss) on derivatives	$	(34)	$	8

(1)This amount relates to derivatives for which variation margin on cleared derivatives is characterized as a daily settled contract.

Credit Risk. The Bank is subject to credit risk from 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, credit guidelines, and Finance Agency and other regulations. The Bank also requires credit support agreements on all uncleared derivatives.

For cleared derivatives, the clearing house is the Bank’s counterparty. The requirement that the Bank post initial and variation margin through a clearing agent to the clearing house exposes the Bank to institutional credit risk if the clearing agent fails to meet its obligations. The use of a clearing house, or central counterparty, lowers overall credit risk exposure because it employs standard valuation and initial and variation margin processes and is specifically designed to withstand remote but plausible counterparty default credit events. Variation margin is posted or collected for changes in the value of the portfolio, and initial margin is posted for changes in risk profile of the portfolio. The Bank 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 clearing house or clearing agent insolvency and under applicable clearing house rules upon a non-insolvency-based event of default of the clearing house 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 clearing house.

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. 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, 2023, was $555 million, for which the Bank posted cash collateral of $556 million in the ordinary course of business.

Additional information related to uncleared margin rules for uncleared derivative transactions are included in “Item 8. Financial Statements and Supplementary Data - Note 14 - Derivatives and Hedging Activities” in the Bank’s 2022 Form 10-K.

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 tables present 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, 2023, and December 31, 2022.

	March 31, 2023
	Derivative Instruments Meeting Netting Requirements
(In millions)	Amount Recognized		Gross Amount of Netting Adjustments and Cash Collateral		Total Derivative Assets and Total Derivative Liabilities		Noncash Collateral Not Offset That  Can Be Sold or Repledged		Net Amount(1)
Derivative Assets
Uncleared	$	727	$	(723)	$	4	$	—	$	4
Cleared	7		(5)		2		(864)		866
Total					$	6			$	870
Derivative Liabilities
Uncleared	$	986	$	(980)	$	6	$	—	$	6
Cleared	37		(32)		5		—		5
Total					$	11			$	11

	December 31, 2022
	Derivative Instruments Meeting Netting Requirements
(In millions)	Amount Recognized		Gross Amount of Netting Adjustments and Cash Collateral		Total Derivative Assets and Total Derivative Liabilities		Noncash Collateral Not Offset That  Can Be Sold or Repledged		Net Amount(1)
Derivative Assets
Uncleared	$	834	$	(829)	$	5	$	—	$	5
Cleared	15		6		21		(435)		456
Total					$	26			$	461
Derivative Liabilities
Uncleared	$	1,188	$	(1,186)	$	2	$	—	$	2
Cleared	7		(7)		—		—		—
Total					$	2			$	2

(1) Any over-collateralization at the Bank’s individual clearing agent and/or counterparty level is not included in the determination of the net amount. At March 31, 2023, the Bank had additional net credit exposure of $6 million due to instances where non-cash collateral to a counterparty exceeded the Bank’s net derivative position. There was no such additional net credit exposure at December 31, 2022.

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Fair Value

3 Months Ended

Mar. 31, 2023

Fair Value Disclosures [Abstract]

Fair Value

Note 12 — 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, 2023, and December 31, 2022. 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. U.S. GAAP defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., an exit price). 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 net carrying value or carrying value, as applicable, the estimated fair value, and the fair value hierarchy level of the Bank’s financial instruments at March 31, 2023, and December 31, 2022. The Bank records trading securities, AFS securities, derivative assets, derivative liabilities, certain advances, certain consolidated obligations, and certain other assets at fair value on a recurring basis, and on occasion certain mortgage loans held for portfolio and certain other assets at fair value on a nonrecurring basis. The Bank records all other financial assets and liabilities at amortized cost. Refer to the following tables for further details about the financial assets and liabilities held at fair value on either a recurring or non-recurring basis.

	March 31, 2023
(In millions)	Carrying Value(1)		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral(2)
Assets
Cash and due from banks	$	17	$	17	$	17	$	—	$	—	$	—
Interest-bearing deposits	3,760		3,760		3,760		—		—		—
Securities purchased under agreements to resell	11,100		11,100		—		11,100		—		—
Federal funds sold	9,427		9,427		—		9,427		—		—
Trading securities	1		1		—		1		—		—
AFS securities	13,320		13,320		—		12,170		1,150		—
HTM securities	2,104		2,068		—		1,932		136		—
Advances	101,541		101,354		—		101,354		—		—
Mortgage loans held for portfolio	801		689		—		689		—		—
Accrued interest receivable	178		178		—		178		—		—
Derivative assets, net(2)	6		6		—		734		—		(728)
Other assets(3)	16		16		16		—		—		—
Liabilities
Deposits	1,022		1,022		—		1,022		—		—
Consolidated obligations:
Bonds	95,034		94,704		—		94,704		—		—
Discount notes	37,356		37,355		—		37,355		—		—
Total consolidated obligations	132,390		132,059		—		132,059		—		—
Mandatorily redeemable capital stock	95		95		95		—		—		—
Accrued interest payable	508		508		—		508		—		—
Derivative liabilities, net(2)	11		11		—		1,023		—		(1,012)

	December 31, 2022
	Carrying Value(1)		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral(2)
Assets
Cash and due from banks	$	9	$	9	$	9	$	—	$	—	$	—
Interest-bearing deposits	3,677		3,677		3,677		—		—		—
Securities purchased under agreements to resell	7,000		7,000		—		7,000		—		—
Federal funds sold	4,719		4,719		—		4,719		—		—
Trading securities	1		1		—		1		—		—
AFS securities	12,713		12,713		—		11,531		1,182		—
HTM securities	2,181		2,136		—		1,993		143		—
Advances	89,400		89,183		—		89,183		—		—
Mortgage loans held for portfolio	815		695		—		695		—		—
Accrued interest receivable	313		313		—		313		—		—
Derivative assets, net(2)	26		26		—		849		—		(823)
Other assets(3)	15		15		15		—		—		—
Liabilities			—
Deposits	989		989		—		989		—		—
Consolidated obligations:			—
Bonds	75,768		75,396		—		75,396		—		—
Discount notes	35,929		35,916		—		35,916		—		—
Total consolidated obligations	111,697		111,312		—		111,312		—		—
Mandatorily redeemable capital stock	5		5		5		—		—		—
Accrued interest payable	326		326		—		326		—		—
Derivative liabilities, net(2)	2		2		—		1,195		—		(1,193)

(1)    For certain financial instruments, the amounts represent net carrying value, which includes an allowance for credit losses.

(2)    Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed with the same clearing agents or counterparty.

(3)    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. An active market for the asset or liability is a market in which the transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis.

•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. Valuations are derived from techniques that use significant assumptions not observable in the market, which include pricing models, discounted cash flow models, or similar techniques.

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, 2023:

•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. For the periods presented, the Bank did not have any reclassifications for transfers in or out of level 3 of the fair value hierarchy.

Summary of Valuation Methodologies and Primary Inputs. For information related to the valuation methodologies and primary inputs used to develop the measurement of fair value for assets and liabilities that are measured at fair value on a recurring or nonrecurring basis in the Statements of Condition, see “Item 8. Financial Statements and Supplementary Data – Note 15 – Fair Value” in the Bank’s 2022 Form 10-K. There have been no significant changes in these valuation methodologies and primary inputs during the three months ended March 31, 2023.

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 may have a material effect on the fair value estimates.

Fair Value Measurements. The following tables present the fair value of assets and liabilities, which are recorded on a recurring or nonrecurring basis at March 31, 2023, and December 31, 2022, by level within the fair value hierarchy.

March 31, 2023
	Fair Value Measurement Using:						Netting Adjustments  and Cash Collateral(1)
(In millions)	Level 1		Level 2		Level 3				Total
Recurring fair value measurements – Assets:
Trading securities:
MBS – Other U.S. obligations	$	—	$	1	$	—	$	—	$	1
AFS securities:
U.S. obligations – Treasury notes	—		4,078		—		—		4,078
MBS:
GSEs – multifamily	—		8,092		—		—		8,092
PLRMBS	—		—		1,150		—		1,150
Subtotal AFS MBS	—		8,092		1,150		—		9,242
Total AFS securities	—		12,170		1,150		—		13,320
Advances(2)	—		2,392		—		—		2,392
Derivative assets, net: interest rate-related	—		734		—		(728)		6
Other assets	16		—		—		—		16
Total recurring fair value measurements – Assets	$	16	$	15,297	$	1,150	$	(728)	$	15,735
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	782	$	—	$	—	$	782
Derivative liabilities, net: interest rate-related	—		1,023		—		(1,012)		11
Total recurring fair value measurements – Liabilities	$	—	$	1,805	$	—	$	(1,012)	$	793
Nonrecurring fair value measurements – Assets:(4)
Impaired mortgage loans held for portfolio	$	—	$	—	$	16	$	—	$	16
Total nonrecurring fair value measurements – Assets	$	—	$	—	$	16	$	—	$	16

December 31, 2022
	Fair Value Measurement Using:						Netting Adjustments  and Cash Collateral(1)
(In millions)	Level 1		Level 2		Level 3				Total
Recurring fair value measurements – Assets:
Trading securities:
MBS – Other U.S. obligations	$	—	$	1	$	—	$	—	$	1
AFS securities:
U.S. obligations – Treasury notes	—		4,024		—		—		4,024
MBS:
GSEs – multifamily	—		7,507		—		—		7,507
PLRMBS	—		—		1,182		—		1,182
Subtotal AFS MBS	—		7,507		1,182		—		8,689
Total AFS securities	—		11,531		1,182		—		12,713
Advances(2)	—		2,059		—		—		2,059
Derivative assets, net: interest rate-related	—		849		—		(823)		26
Other assets	15		—		—		—		15
Total recurring fair value measurements – Assets	$	15	$	14,440	$	1,182	$	(823)	$	14,814
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	2,226	$	—	$	—	$	2,226
Derivative liabilities, net: interest rate-related	—		1,195		—		(1,193)		2
Total recurring fair value measurements – Liabilities	$	—	$	3,421	$	—	$	(1,193)	$	2,228
Nonrecurring fair value measurements – Assets:(4)
Impaired mortgage loans held for portfolio	$	—	$	—	$	20	$	—	$	20
Total nonrecurring fair value measurements – Assets	$	—	$	—	$	20	$	—	$	20

(1)Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed by the Bank, with the same clearing agents or counterparty.

(2)Represents advances recorded under the fair value option at March 31, 2023, and December 31, 2022.

(3)Represents consolidated obligation bonds recorded under the fair value option at March 31, 2023. and December 31, 2022.

(4)The fair value information presented is as of the date the fair value adjustment was recorded during the three months ended March 31, 2023 and year ended December 31, 2022.

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, 2023 and 2022.

	Three Months Ended
(In millions)	March 31, 2023		March 31, 2022
Balance, beginning of the period	$	1,182	$	1,608
Total gain/(loss) realized and unrealized included in:
Interest income	11		14
(Provision for)/reversal of credit losses	1		3
Other income/(loss)	—		28
Unrealized gain/(loss) included in AOCI	(11)		(33)
Settlements	(33)		(177)
Transfers of HTM securities to AFS securities	—		16
Balance, end of the period	$	1,150	$	1,459
Total amount of unrealized gain/(loss) for the period included in AOCI relating to assets held at the end of the period	$	(11)	$	(33)
Total amount of gain/(loss) for the period included in earnings attributable to the change in unrealized gains/losses relating to assets held at the end of the period	$	12	$	17

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

For more information on the Bank’s election of the fair value option, see “Item 8. Financial Statements and Supplementary Data – Note 15 – Fair Value” in the Bank’s 2022 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 recording fair value changes of only the hedging 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, 2023 and 2022:

	Three Months Ended
	March 31, 2023				March 31, 2022
(In millions)	Advances		Consolidated Obligation Bonds		Advances		Consolidated Obligation Bonds
Balance, beginning of the period	$	2,059	$	2,226	$	1,772	$	627
New transactions elected for fair value option	550		30		10		1,325
Maturities and terminations	(238)		(1,485)		(144)		—
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds from changes in fair value recognized in earnings	18		17		(49)		(28)
Change in accrued interest	3		(6)		—		—
Balance, end of the period	$	2,392	$	782	$	1,589	$	1,924

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. For advances and consolidated obligations recorded under the fair value option, the Bank determined that none of the remaining changes in fair value were related to instrument-specific credit risk for the three months ended March 31, 2023, 2022, and 2021. In determining that there has been no change in instrument-specific credit risk period to period, the Bank primarily considered the following factors:

•The Bank is a federally chartered GSE, and as a result of this status, the consolidated obligations have historically received the same credit ratings as the government bond credit rating of the United States, even though they are not obligations of the United States and are not guaranteed by the United States.

•The Bank is jointly and severally liable with the other FHLBanks for the payment of principal and interest on all consolidated obligations of each of the FHLBanks.

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, 2023, and December 31, 2022:

	March 31, 2023						December 31, 2022
(In millions)	Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance		Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance
Advances(1)	$	2,417	$	2,392	$	(25)	$	2,106	$	2,059	$	(47)
Consolidated obligation bonds	823		782		(41)		2,278		2,226		(52)

(1)    At March 31, 2023, and December 31, 2022, 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, 2023

Commitments and Contingencies Disclosure [Abstract]

Commitments and Contingencies

Note 13 — 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, 2023, 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 $1.5 trillion at March 31, 2023, and $1.2 trillion at December 31, 2022. The par value of the Bank’s participation in consolidated obligations was $133.6 billion at March 31, 2023, and $113.1 billion at December 31, 2022.

For more information on the joint and several liability regulation, see “Item 8. Financial Statements and Supplementary Data – Note 16 – Commitments and Contingencies” in the Bank’s 2022 Form 10-K.

Off-balance sheet commitments as of March 31, 2023, and December 31, 2022, were as follows:

	March 31, 2023						December 31, 2022
(In millions)	Expire Within One Year		Expire After One Year		Total		Expire Within One Year		Expire After One Year		Total
Standby letters of credit outstanding	$	11,855	$	10,483	$	22,338	$	16,591	$	6,049	$	22,640
Commitments to issue consolidated obligation discount notes, par	—		—		—		300		—		300
Commitments to issue consolidated obligation bonds, par	—		—		—		2,385		—		2,385

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 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 $71 million and $34 million at March 31, 2023, and December 31, 2022. 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 for credit losses on the letters of credit outstanding or other off-balance sheet commitments as of March 31, 2023, and December 31, 2022.

There were no commitments to fund advances at March 31, 2023, and December 31, 2022. Advances funded under advance commitments are fully collateralized at the time of funding.

The Bank has pledged securities as collateral related to its cleared and uncleared derivatives. See Note 11 – Derivatives and Hedging Activities for additional information about the Bank’s pledged collateral and other credit risk-related contingent features. As of March 31, 2023, the Bank had pledged total collateral of $1.4 billion, including securities with a carrying value of $864 million, all of which may be repledged, and cash collateral, including accrued interest, of $585 million to counterparties and the clearing house that had market risk exposure to the Bank related to derivatives. As of December 31, 2022, the Bank had pledged total collateral of $1.1 billion, including securities with a carrying value of $435 million, all of which may be repledged, and cash collateral, including accrued interest, of $694 million to counterparties and the clearing house that had market risk exposure to the Bank related to derivatives.

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, 2023

Related Party Transactions [Abstract]

Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks

Note 14 — Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks

Transactions with Members and Nonmembers. The following tables set 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.

(In millions)	March 31, 2023		December 31, 2022
Assets:
Advances	$	8,575	$	7,269
Mortgage loans held for portfolio	79		80
Accrued interest receivable	8		9
Liabilities:
Deposits	$	18	$	11
Capital:
Capital Stock	$	260	$	215

	Three Months Ended
(In millions)	March 31, 2023		March 31, 2022
Interest Income:
Advances	$	69	$	13
Mortgage loans held for portfolio	1		—

All transactions with members, nonmembers, and their affiliates are entered into in the ordinary course of business. As of March 31, 2023 and December 31, 2022, 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 17 – Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks” in the Bank’s 2022 Form 10-K.

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

Deposits with other FHLBanks. The Bank may, from time to time, maintain deposits with other FHLBanks. Deposits with other FHLBanks totaled de minimis amounts at March 31, 2023, and December 31, 2022, and were recorded as “Interest-bearing deposits” in the Statements of Condition.

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 interest income and interest expense in the Statements of Income. Balances outstanding at period end with other FHLBanks, if any, are identified in the Bank’s financial statements. During the three months ended March 31, 2023 and 2022, the Bank extended overnight loans to other FHLBanks for $1.3 billion and $0.7 billion, respectively. During the three months ended March 31, 2023 and 2022, the Bank borrowed $3.6 billion and $20 million, respectively, from other FHLBanks. The impact to net interest income related to these transactions was $(1) million for the three months ended March 31, 2023 and was de minimis for the three months ended March 31, 2022.

MPF Mortgage Loans. The Bank pays a transaction services fee to the FHLBank Chicago that is assessed monthly based on the amount of mortgage loans in which the Bank invested and which remain outstanding on its Statements of Condition. Prior to 2022, the Bank paid a membership fee to the FHLBank of Chicago for its participation in the MPF Program. For the three months ended March 31, 2023 and 2022, the Bank recorded a de minimis amount in transaction services fee expense to the FHLBank Chicago, which was recorded in the Statements of Income as other expense.

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Subsequent Events

3 Months Ended

Mar. 31, 2023

Subsequent Events [Abstract]

Subsequent Events

Note 15 — Subsequent Events

On May 1, 2023, the California DFPI closed First Republic Bank, appointed the FDIC as receiver, and the FDIC and JPMorgan Chase, National Association, a nonmember, reported that they are entering into a purchase and assumption agreement for all the deposits and substantially all of the assets of First Republic Bank, including $28.1 billion in advances outstanding from the Bank. The May 1, 2023 advances outstanding balance is unchanged compared to the outstanding balance at March 31, 2023. Upon assumption of the advances outstanding by JPMorgan Chase, National Association, the Bank will transfer $759 million of capital stock of the Bank, held by First Republic Bank, to JPMorgan Chase, National Association, and reclassify that capital stock to mandatorily redeemable as a liability in the Bank’s Statements of Condition. Additionally, as of May 1, 2023, First Republic Bank had $179.1 million in letters of credit outstanding compared to $161.9 million outstanding as of March 31, 2023. These advances outstanding and letters of credit are fully collateralized and are not expected to result in any credit loss to the Bank.

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Basis of Presentation and Significant Accounting Policies (Policies)

3 Months Ended

Mar. 31, 2023

Accounting Policies [Abstract]

Use of Estimates

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:

•accounting for derivatives;

•estimating fair values of investments classified as trading and available-for-sale (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; and

•estimating the prepayment speeds on mortgage-backed securities (MBS) and mortgage loans for the accounting of amortization of premiums and accretion of discounts and credit losses previously recorded before the adoption of accounting guidance related to the measurement of credit losses on MBS and mortgage loans.

Actual results could differ significantly from these estimates.

Derivatives, Embedded Derivatives

When a callable bond for which the Bank is the primary obligor is issued, the Bank may simultaneously enter into an interest rate swap (wherein 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 option in a swap). 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, 2023, or December 31, 2022. 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.

Derivatives, Methods of Accounting, Hedging Derivatives

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 obligations to create variable rate structures. The interest rate exchange agreements are generally executed at the same time the advances and consolidated obligations are transacted and generally have the same maturity dates as the related hedged instrument. The Bank transacts most of its derivatives with large banks and major broker-dealers.

For more information related to the Bank’s accounting policies for derivatives, see “Item 8. Financial Statements and Supplementary Data – Note 14 – Derivatives and Hedging Activities” in the Bank’s 2022 Form 10-K. For more information related to the Bank’s accounting policies for derivatives, see “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2022 Form 10-K.

Derivatives, Policy

Credit Risk. The Bank is subject to credit risk from 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, credit guidelines, and Finance Agency and other regulations. The Bank also requires credit support agreements on all uncleared derivatives.

For cleared derivatives, the clearing house is the Bank’s counterparty. The requirement that the Bank post initial and variation margin through a clearing agent to the clearing house exposes the Bank to institutional credit risk if the clearing agent fails to meet its obligations. The use of a clearing house, or central counterparty, lowers overall credit risk exposure because it employs standard valuation and initial and variation margin processes and is specifically designed to withstand remote but plausible counterparty default credit events. Variation margin is posted or collected for changes in the value of the portfolio, and initial margin is posted for changes in risk profile of the portfolio. The Bank 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 clearing house or clearing agent insolvency and under applicable clearing house rules upon a non-insolvency-based event of default of the clearing house 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 clearing house.

Fair Value of Financial Instruments, Policy

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. An active market for the asset or liability is a market in which the transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis.

•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. Valuations are derived from techniques that use significant assumptions not observable in the market, which include pricing models, discounted cash flow models, or similar techniques.

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, 2023:

•Trading securities

•AFS securities

•Certain advances

•Derivative assets and liabilities

•Certain consolidated obligation bonds

•Certain other assets

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 other income/(loss) or other expense.

For more information on the Bank’s election of the fair value option, see “Item 8. Financial Statements and Supplementary Data – Note 15 – Fair Value” in the Bank’s 2022 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 recording fair value changes of only the hedging 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.

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.

Fair Value Transfer, Policy

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. For the periods presented, the Bank did not have any reclassifications for transfers in or out of level 3 of the fair value hierarchy.

Stockholders' Equity, Policy

Capital Requirements. 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. For further information related to the Bank’s capital requirements, see “Item 8. Financial Statements and Supplementary Data – Note 11 – Capital” in the Bank’s 2022 Form 10-K.

New Accounting Pronouncements

Accounting Standards Update (ASU)	Description	Effective Date	Effect on the Financial Statements or Other Significant Matters
Facilitation of the Effects of Reference Rate Reform on Financial Reporting, as amended (ASU 2020-04)	This update provides temporary optional guidance to ease the potential burden in accounting for reference rate reform. The new guidance provides optional expedients and exceptions for applying generally accepted accounting principles to transactions affected by reference rate reform if certain criteria are met. These transactions include: • contract modifications, • hedging relationships, and • sale or transfer of debt securities classified as HTM.	This guidance became effective beginning March 2020 through December 31, 2024.	The Bank has assessed the guidance and has elected some of the optional expedients and exceptions provided related to the discounting transition for uncleared derivative transactions on a prospective basis since 2021, which did not have a material effect on the Bank’s financial condition, results of operations, cash flows, and financial statement disclosures.
Troubled Debt Restructurings and Vintage Disclosures (ASU 2022-02)	This guidance eliminates the accounting guidance for troubled debt restructurings by creditors that have adopted the current expected credit losses methodology while enhancing disclosure requirements for certain loan refinancings and restructurings by creditors made to borrowers experiencing financial difficulty. Additionally, this guidance requires disclosure of current-period gross write-offs by year of origination for financing receivables and net investment in leases.	The guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2023.	The Bank adopted this guidance as of January 1, 2023. The adoption of this guidance did not have a material effect on the Bank’s financial condition, results of operations, cash flows, and financial statement disclosures.

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Investments (Tables)

3 Months Ended

Mar. 31, 2023

Debt Instrument [Line Items]

Trading Securities (and Certain Trading Assets)

The estimated fair value of trading securities that were MBS - other U.S. obligations was $1 million as of March 31, 2023, and December 31, 2022.

Available-for-sale Securities

AFS securities by major security type as of March 31, 2023, and December 31, 2022, were as follows:

March 31, 2023
(In millions)	Amortized Cost(1)		Allowance for Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Estimated Fair Value
U.S. obligations – Treasury notes	$	4,062	$	—	$	16	$	—	$	4,078
MBS:
Government Sponsored Enterprises (GSEs) – multifamily	8,173		—		—		(81)		8,092
PLRMBS	1,159		(28)		45		(26)		1,150
Total MBS	9,332		(28)		45		(107)		9,242
Total	$	13,394	$	(28)	$	61	$	(107)	$	13,320

December 31, 2022
(In millions)	Amortized Cost(1)		Allowance for Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Estimated Fair Value
U.S. obligations – Treasury notes	$	4,012	$	—	$	12	$	—	$	4,024
MBS:
GSEs – multifamily	7,562		—		2		(57)		7,507
PLRMBS	1,183		(30)		54		(25)		1,182
Total MBS	8,745		(30)		56		(82)		8,689
Total	$	12,757	$	(30)	$	68	$	(82)	$	12,713

(1)    Amortized cost includes unpaid principal balance, unamortized premiums and discounts, net charge-offs, and valuation adjustments for hedging activities, and excludes accrued interest receivable of $46 million at both March 31, 2023, and December 31, 2022.

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, 2023
(In millions)	Amortized Cost(1)		Gross Unrecognized Holding Gains(2)		Gross Unrecognized Holding Losses(2)		Estimated Fair Value
MBS – Other U.S. obligations – single-family	$	67	$	—	$	(2)	$	65
MBS – GSEs:
MBS – GSEs – single-family	709		1		(18)		692
MBS – GSEs – multifamily	1,181		—		(6)		1,175
Subtotal MBS – GSEs	1,890		1		(24)		1,867
PLRMBS	147		—		(11)		136
Total	$	2,104	$	1	$	(37)	$	2,068

December 31, 2022
(In millions)	Amortized Cost(1)		Gross Unrecognized Holding Gains(2)		Gross Unrecognized Holding Losses(2)		Estimated Fair Value
MBS – Other U.S. obligations – single-family	$	72	$	—	$	(2)	$	70
MBS – GSEs:
MBS – GSEs – single-family	745		1		(22)		724
MBS – GSEs – multifamily	1,209		—		(10)		1,199
Subtotal MBS – GSEs	1,954		1		(32)		1,923
PLRMBS	155		—		(12)		143
Total	$	2,181	$	1	$	(46)	$	2,136

(1)    Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and net charge-offs, and excludes accrued interest receivable of $6 million and $5 million at March 31, 2023, and December 31, 2022, respectively.

(2)    Gross unrecognized holding gains/(losses) represent the difference between estimated fair value and net carrying value.

Debt Securities, Available-for-sale, Allowance for Credit Loss

Allowance for Credit Losses on AFS and HTM Securities. The following table presents a rollforward of the allowance for credit losses on investment securities associated with PLRMBS classified as AFS for the three months ended March 31, 2023 and 2022. The Bank recorded no allowance for credit losses associated with HTM securities during the three months ended March 31, 2023 and 2022.

	Three Months Ended
(In millions)	March 31, 2023		March 31, 2022
Balance, beginning of the period	$	30	$	17
(Charge-offs)/recoveries	(1)		—
Provision for/(reversal of) credit losses	(1)		(3)
Balance, end of the period	$	28	$	14

Available-for-sale Securities

Debt Instrument [Line Items]

Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value

March 31, 2023
	Less Than 12 Months				12 Months or More				Total
(In millions)	Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses
MBS – GSEs – multifamily	$	6,917	$	64	$	941	$	17	$	7,858	$	81
PLRMBS	183		7		187		19		370		26
Total	$	7,100	$	71	$	1,128	$	36	$	8,228	$	107

December 31, 2022
	Less Than 12 Months				12 Months or More				Total
(In millions)	Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses
MBS – GSEs – multifamily	$	6,635	$	57	$	—	$	—	$	6,635	$	57
PLRMBS	292		17		68		8		360		25
Total	$	6,927	$	74	$	68	$	8	$	6,995	$	82

Investments Classified by Contractual Maturity Date and Prepayment Fees

The amortized cost and estimated fair value of U.S. Treasury securities classified as AFS by contractual maturity (based on contractual final principal payment) and of MBS classified as AFS as of March 31, 2023, and December 31, 2022, are shown below. Expected maturities of MBS classified as AFS will differ from contractual maturities because borrowers may have the right to call or prepay the underlying obligations with or without call or prepayment fees.

March 31, 2023
(In millions)
Year of Contractual Maturity	Amortized Cost		Estimated Fair Value
U.S. obligations – Treasury notes – Due after 1 year through 5 years	$	4,062	$	4,078
MBS	9,332		9,242
Total	$	13,394	$	13,320

December 31, 2022
(In millions)
Year of Contractual Maturity	Amortized Cost		Estimated Fair Value
U.S. obligations – Treasury notes – Due after 1 year through 5 years	$	4,012	$	4,024
MBS	8,745		8,689
Total	$	12,757	$	12,713

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Advances (Tables)

3 Months Ended

Mar. 31, 2023

Federal Home Loan Banks [Abstract]

Federal Home Loan Bank, Advances

Redemption Terms. The Bank had advances outstanding at interest rates ranging from 0.21% to 8.57% at March 31, 2023, and 0.21% to 8.57% at December 31, 2022, as summarized below.

(Dollars in millions)	March 31, 2023				December 31, 2022
Redemption Term	Amount Outstanding(1)		Weighted Average Interest Rate		Amount Outstanding(1)		Weighted Average Interest Rate
Overdrawn demand and overnight deposit accounts	$	—	4.65	%	$	2	4.15	%
Within 1 year(2)	64,758		4.87		71,050		4.34
After 1 year through 2 years	22,750		3.99		7,634		3.30
After 2 years through 3 years	5,433		3.60		4,036		2.22
After 3 years through 4 years	4,284		2.62		3,391		2.05
After 4 years through 5 years	3,702		3.73		2,815		3.24
After 5 years	1,092		3.58		1,189		3.50
Total par value	102,019		4.45	%	90,117		4.03	%
Valuation adjustments for hedging activities	(453)				(670)
Valuation adjustments under fair value option	(25)				(47)
Total	$	101,541			$	89,400

(1)Carrying amounts exclude accrued interest receivable of $103 million and $241 million at March 31, 2023, and December 31, 2022, respectively.

(2)Advances outstanding with redemption terms within three months totaled $45.6 billion and $46.3 billion at March 31, 2023, and December 31, 2022, respectively.

The following table summarizes advances at March 31, 2023, and December 31, 2022, by the earlier of the year of redemption term or next call date for callable advances and by the earlier of the year of redemption term or next put date for putable advances.

	Earlier of Redemption Term or Next Call Date				Earlier of Redemption Term or Next Put Date
(In millions)	March 31, 2023		December 31, 2022		March 31, 2023		December 31, 2022
Overdrawn demand and overnight deposit accounts	$	—	$	2	$	—	$	2
Within 1 year	65,078		71,370		65,608		71,850
After 1 year through 2 years	22,760		7,634		23,250		7,634
After 2 years through 3 years	5,433		4,046		4,983		3,836
After 3 years through 4 years	4,284		3,391		4,284		3,391
After 4 years through 5 years	3,712		2,825		2,802		2,215
After 5 years	752		849		1,092		1,189
Total par value	$	102,019	$	90,117	$	102,019	$	90,117

Concentration Risk. The following tables present the concentration in advances to the top 10 borrowers and their affiliates at March 31, 2023, and March 31, 2022. The tables also present the interest income from these advances before the impact of interest rate exchange agreements hedging these advances for the three months ended March 31, 2023 and 2022.

March 31, 2023
(In millions)
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
First Republic Bank(2)	$	28,100	28	%	$	176	18	%
MUFG Union Bank, National Association(3)	11,050		11		36		4
Western Alliance Bank	11,000		11		27		3
City National Bank	8,850		9		115		12
Pacific Western Bank	5,450		5		25		3
First Technology Federal Credit Union(4)	4,458		4		38		4
Bank of the West(5)	2,600		3		66		7
Wells Fargo National Bank West	2,000		2		24		2
First Foundation Bank	2,000		2		12		1
Luther Burbank Savings Bank(4)	1,702		2		9		1
Subtotal	77,210		77		528		55
Others	24,809		23		443		45
Total par value	$	102,019	100	%	$	971	100	%

March 31, 2022
(In millions)
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
MUFG Union Bank, National Association(3)	$	4,050	20	%	$	13	18	%
First Republic Bank(2)	3,700		18		9		13
First Technology Federal Credit Union(4)	1,800		9		8		12
Silvergate Bank	800		4		—		—
Wescom Central Credit Union	760		4		1		2
Luther Burbank Savings	752		4		3		4
Bank of Hope	700		3		1		2
Pacific Western Bank	629		3		—		—
Pacific Premier Bank	600		3		—		—
Banc of California, NA	561		3		3		4
Subtotal	14,352		71		38		55
Others	6,121		29		30		45
Total par value	$	20,473	100	%	$	68	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)    On May 1, 2023, the California Department of Financial Protection and Innovation (DFPI) closed First Republic Bank, appointed the FDIC as receiver, and the FDIC and JPMorgan Chase, National Association, a nonmember, reported that they are entering into a purchase and assumption agreement for substantially all of the assets of First Republic Bank, including $28.1 billion in advances outstanding from the Bank. These advances outstanding are fully collateralized and are not expected to result in any credit loss to the Bank.

(3)    On December 1, 2022, U.S. Bancorp, a nonmember, announced that it completed its acquisition of MUFG Union Bank, National Association.

(4)    An officer or director of the member is a Bank director.

(5)    On February 1, 2023, BMO Harris, a nonmember, announced that it completed its acquisition of Bank of the West.

Interest Rate Payment Terms. Interest rate payment terms for advances at March 31, 2023, and December 31, 2022, are detailed below:

(In millions)	March 31, 2023		December 31, 2022
Par value of advances:
Fixed rate:
Due within 1 year	$	42,646	$	47,621
Due after 1 year	37,246		18,050
Total fixed rate	79,892		65,671
Adjustable rate:
Due within 1 year	22,112		23,431
Due after 1 year	15		1,015
Total adjustable rate	22,127		24,446
Total par value	$	102,019	$	90,117

Prepayment Fees, Net. The Bank charges borrowers prepayment fees or pays borrowers prepayment credits when the principal on certain advances is paid before original maturity. The Bank records prepayment fees net of any associated fair value adjustments related to prepaid advances that were in hedging relationships. The net amount of prepayment fees received was $95 million for the three months ended March 31, 2023. The net amount of prepayment fees paid was $2 million for the three months ended March 31, 2022.

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Mortgage Loans Held for Portfolio (Tables)

3 Months Ended

Mar. 31, 2023

Receivables [Abstract]

Schedule of Accounts, Notes, Loans and Financing Receivable

The following table presents information as of March 31, 2023, and December 31, 2022, on mortgage loans held for portfolio, all of which are secured by one- to four-unit residential properties and single-unit homes.

(In millions)	March 31, 2023		December 31, 2022
Fixed rate medium-term mortgage loans	$	13	$	14
Fixed rate long-term mortgage loans	749		761
Subtotal	762		775
Unamortized premiums	42		43
Unamortized discounts	(2)		(2)
Mortgage loans held for portfolio(1)	802		816
Less: Allowance for credit losses	(1)		(1)
Total mortgage loans held for portfolio, net	$	801	$	815

Financing Receivable Credit Quality Indicators

The following tables present the payment status for mortgage loans and other delinquency statistics for the Bank’s mortgage loans at March 31, 2023, and December 31, 2022.

March 31, 2023
(Dollars in millions)	Origination Year
Payment Status	2019 to 2023		Prior to 2019		Amortized Cost(1)
30 – 59 days delinquent	$	2	$	6	$	8
60 – 89 days delinquent	1		1		2
90 days or more delinquent	4		14		18
Total past due	7		21		28
Total current loans	358		416		774
Total mortgage loans held for portfolio	$	365	$	437	$	802
In process of foreclosure, included above(2)					$	2
Nonaccrual loans(3)					$	18
Serious delinquencies as a percentage of total mortgage loans outstanding(4)					2.22		%

December 31, 2022
(Dollars in millions)	Origination Year
Payment Status	2018 to 2022		Prior to 2018		Amortized Cost(1)
30 – 59 days delinquent	$	4	$	5	$	9
60 – 89 days delinquent	2		1		3
90 days or more delinquent	11		8		19
Total past due	17		14		31
Total current loans	449		336		785
Total mortgage loans held for portfolio	$	466	$	350	$	816
In process of foreclosure, included above(2)					$	3
Nonaccrual loans(3)					$	19
Serious delinquencies as a percentage of total mortgage loans outstanding(4)					2.30		%

(1)    The amortized cost in a loan is the unpaid principal balance of the loan, adjusted for net deferred loan fees or costs, unamortized premiums or discounts, and direct write-downs.

(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)    At March 31, 2023, and December 31, 2022, $6 million and $7 million, respectively, of mortgage loans on nonaccrual status did not have an associated allowance for credit losses because these loans were either previously charged off to the expected recoverable value or the fair value of the underlying collateral, including any credit enhancements, is greater than the amortized cost of the loans.

(4)    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.

Financing Receivable, Allowance for Credit Loss

The amount of charge-offs and recoveries of allowance for credit losses on the mortgage loan portfolio were de minimis for the three months ended March 31, 2023 and 2022, respectively.

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Deposits (Tables)

3 Months Ended

Mar. 31, 2023

Deposits [Abstract]

Schedule of Deposit Liabilities by Component

Deposits and interest rate payment terms for deposits as of March 31, 2023, and December 31, 2022, were as follows:

Schedule of Interest Rate Payment Terms On Deposit Liabilities

	March 31, 2023				December 31, 2022
(Dollars in millions)	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding		Weighted Average Interest Rate
Interest-bearing deposits:
Adjustable rate	$	1,014	4.65	%	$	983	4.15	%
Fixed rate	2		4.40		—		—
Total interest-bearing deposits	1,016				983
Non-interest-bearing deposits	6				6
Total	$	1,022			$	989

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Consolidated Obligations (Tables)

3 Months Ended

Mar. 31, 2023

Debt Disclosure [Abstract]

Schedule of Maturities of Long-term Debt

The following is a summary of the Bank’s participation in consolidated obligation bonds at March 31, 2023, and December 31, 2022.

(Dollars in millions)	March 31, 2023				December 31, 2022
Contractual Maturity	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding		Weighted Average Interest Rate
Within 1 year	$	62,616	4.62	%	$	58,301	4.05	%
After 1 year through 2 years	23,046		4.12		8,268		2.30
After 2 years through 3 years	4,080		1.26		2,317		1.26
After 3 years through 4 years	3,888		1.11		5,473		0.99
After 4 years through 5 years	1,142		2.97		1,255		1.47
After 5 years	1,182		2.01		1,293		1.73
Total par value	95,954		4.16	%	76,907		3.47	%
Unamortized premiums	—				1
Unamortized discounts	(10)				(5)
Valuation adjustments for hedging activities	(869)				(1,083)
Fair value option valuation adjustments	(41)				(52)
Total	$	95,034			$	75,768

Schedule of Long-term Debt by Call Feature

The Bank’s participation in consolidated obligation bonds at March 31, 2023, and December 31, 2022, was as follows:

(In millions)	March 31, 2023		December 31, 2022
Par value of consolidated obligation bonds:
Non-callable	$	72,169	$	57,164
Callable	23,785		19,743
Total par value	$	95,954	$	76,907

Schedule of Maturities of Long-term Debt by Contractual or Next Call Date

The following is a summary of the Bank’s participation in consolidated obligation bonds outstanding at March 31, 2023, and December 31, 2022, by the earlier of the year of contractual maturity or next call date.

(In millions)
Earlier of Contractual Maturity or Next Call Date	March 31, 2023		December 31, 2022
Within 1 year	$	78,409	$	73,049
After 1 year through 2 years	17,154		3,310
After 2 years through 3 years	45		187
After 3 years through 4 years	298		313
After 4 years through 5 years	1		—
After 5 years	47		48
Total par value	$	95,954	$	76,907

Schedule of Short-term Debt

The Bank’s participation in consolidated obligation discount notes, all of which are due within one year, was as follows:

	March 31, 2023				December 31, 2022
(Dollars in millions)	Amount Outstanding		Weighted Average Interest Rate (1)		Amount Outstanding		Weighted Average Interest Rate (1)
Par value	$	37,668	4.70	%	$	36,159	4.13	%
Unamortized discounts	(312)				(230)
Total	$	37,356			$	35,929

Schedule of Interest Rate Payment Terms for Debt

Interest rate payment terms for consolidated obligations at March 31, 2023, and December 31, 2022, 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 8 – Consolidated Obligations” in the Bank’s 2022 Form 10-K.

(In millions)	March 31, 2023		December 31, 2022
Par value of consolidated obligations:
Bonds:
Fixed rate	$	34,856	$	25,632
Adjustable rate	60,275		48,997
Step-up	823		2,278
Total bonds, par value	95,954		76,907
Discount notes, par value	37,668		36,159
Total consolidated obligations, par value	$	133,622	$	113,066

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Accumulated Other Comprehensive Income (Loss) (Tables)

3 Months Ended

Mar. 31, 2023

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

Schedule of Accumulated Other Comprehensive Income (Loss)

The following table summarizes the changes in Accumulated Other Comprehensive Income (AOCI) for the three months ended March 31, 2023 and 2022:

(In millions)	Net Unrealized Gain/(Loss) on AFS Securities		Pension and Postretirement Benefits		Total AOCI
Balance, December 31, 2021	$	340	$	(9)	$	331
Other comprehensive income/(loss):
Net change in fair value	(149)				(149)
Net current period other comprehensive income/(loss)	(149)		—		(149)
Balance, March 31, 2022	$	191	$	(9)	$	182
Balance, December 31, 2022	$	(14)	$	(15)	$	(29)
Other comprehensive income/(loss):
Net change in fair value	(32)				(32)
Net current period other comprehensive income/(loss)	(32)		—		(32)
Balance, March 31, 2023	$	(46)	$	(15)	$	(61)

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Capital (Tables)

3 Months Ended

Mar. 31, 2023

Banking Regulation, Total Capital [Abstract]

Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations

As of March 31, 2023, and December 31, 2022, the Bank complied with these capital rules and requirements as shown in the following table.

	March 31, 2023						December 31, 2022
(Dollars in millions)	Required			Actual			Required			Actual
Risk-based capital	$	1,095		$	8,228		$	898		$	7,757
Total regulatory capital	$	5,700		$	8,228		$	4,842		$	7,757
Total regulatory capital ratio	4.00		%	5.77		%	4.00		%	6.41		%
Leverage capital	$	7,125		$	12,342		$	6,053		$	11,636
Leverage ratio	5.00		%	8.66		%	5.00		%	9.61		%

The Bank’s capital plan requires each member to own capital stock in an amount equal to the greater of its membership capital stock requirement or its activity-based capital stock requirement. The Bank may adjust these requirements from time to time within ranges established in the capital plan. Any changes to the capital plan must be approved by the Bank’s board of directors and the Finance Agency. For information on the Bank’s membership capital stock requirement and activity-based capital stock requirement, see “Item 8. Financial Statements and Supplementary Data – Note 11 – Capital – Capital Requirements” in the Bank’s 2022 Form 10-K.

Schedule of Mandatorily Redeemable Capital Stock

The Bank had mandatorily redeemable capital stock totaling $95 million outstanding to five institutions at March 31, 2023, and $5 million outstanding to three institutions at December 31, 2022. The change in mandatorily redeemable capital stock for the three months ended March 31, 2023 and 2022 was as follows:

	Three Months Ended
(In millions)	March 31, 2023		March 31, 2022
Balance at the beginning of the period	$	5	$	3
Reclassified from/(to) capital during the period	195		32
Repurchase/redemption of mandatorily redeemable capital stock	(105)		(28)
Balance at the end of the period	$	95	$	7

Schedule of Mandatorily Redeemable Capital Stock by Maturity Date

The following table presents mandatorily redeemable capital stock amounts by contractual redemption period at March 31, 2023, and December 31, 2022.

(In millions)
Contractual Redemption Period	March 31, 2023		December 31, 2022
After 3 years through 4 years	$	4	$	1
After 4 years through 5 years	90		3
Past contractual redemption date because of remaining activity(1)	1		1
Total	$	95	$	5

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

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Segment Information (Tables)

3 Months Ended

Mar. 31, 2023

Segment Reporting [Abstract]

Reconciliation of Operating Profit (Loss) from Segments to Consolidated

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, 2023 and 2022.

(In millions)	Advances- Related Business		Mortgage- Related Business(1)		Adjusted Net Interest Income		Amortization of Basis Adjustments and (Gain)/Loss on Fair Value Hedges(2)		Income/(Expense) on Economic Hedges(3)		Interest Expense on Mandatorily Redeemable Capital Stock(4)		Net Interest Income After Provision for/(Reversal of) Credit Losses		Other Income/ (Loss)		Other Expense		Income/(Loss) Before AHP Assessment
Three Months Ended:
March 31, 2023	$	240	$	53	$	293	$	10	$	(5)	$	—	$	288	$	(26)	$	45	$	217
March 31, 2022	31		68		99		(7)		—		—		106		18		38		86

Schedule of Segment Assets by Segment

The following table presents total assets by operating segment at March 31, 2023, and December 31, 2022.

(In millions)	Advances- Related Business		Mortgage- Related Business		Total Assets
March 31, 2023	$	130,303	$	12,190	$	142,493
December 31, 2022	109,330		11,726		121,056

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Derivatives and Hedging Activities (Tables)

3 Months Ended

Mar. 31, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value

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, 2023, and December 31, 2022. For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest.

	March 31, 2023						December 31, 2022
(In millions)	Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities		Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	88,096	$	696	$	916	$	69,204	$	799	$	1,062
Derivatives not designated as hedging instruments:
Interest rate swaps	101,535		38		107		47,589		50		133
Total derivatives before netting and collateral adjustments	$	189,631	734		1,023		$	116,793	849		1,195
Netting adjustments and cash collateral(1)			(728)		(1,012)				(823)		(1,193)
Total derivative assets and total derivative liabilities			$	6	$	11			$	26	$	2

(1)    Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral, including accrued interest, held or placed with the same clearing agents or counterparty. Cash collateral posted, including accrued interest, was $585 million and $694 million at March 31, 2023, and December 31, 2022, respectively. Cash collateral received, including accrued interest, was $300 million and $324 million at March 31, 2023, and December 31, 2022, respectively.

Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance

The following table presents the components of net gain/(loss) on derivatives as presented in the Statements of Income for the three months ended March 31, 2023 and 2022.

	Three Months Ended
(In millions)	March 31, 2023		March 31, 2022
Derivatives not designated as hedging instruments	Gain/(Loss)		Gain/(Loss)
Economic hedges:
Interest rate swaps	$	(28)	$	8
Net interest settlements	(5)		—
Total net gain/(loss) related to derivatives not designated as hedging instruments	(33)		8
Price alignment amount(1)	(1)		—
Net gain/(loss) on derivatives	$	(34)	$	8

Derivative Instruments, Gain (Loss) [Table Text Block]

The following tables present, by type of hedged item, the gains and losses on fair value hedging relationships and the impact of those derivatives on the Bank’s Statements of Income for the three months ended March 31, 2023 and 2022.

	Three Months Ended March 31, 2023
	Interest Income/(Expense)
(In millions)	Advances		AFS Securities		Consolidated Obligation Bonds
Total interest income/(expense) presented in the Statements of Income	$	1,163	$	190	$	(920)
Gain/(loss) on fair value hedging relationships
Derivatives(1)	$	(301)	$	(149)	$	84
Hedged items	189		232		(214)
Net gain/(loss) on fair value hedging relationships	(112)		83		(130)
Net amortization of basis adjustments on discontinued hedging relationships	(8)		(25)		—
Net gain/(loss) on derivatives and hedging activities recorded in net interest income	$	(120)	$	58	$	(130)

	Three Months Ended March 31, 2022
	Interest Income/(Expense)
(In millions)	Advances		AFS Securities		Consolidated Obligation Bonds
Total interest income/(expense) presented in the Statements of Income	$	39	$	54	$	(12)
Gain/(loss) on fair value hedging relationships
Derivatives(1)	$	320	$	429	$	(436)
Hedged items	(340)		(439)		460
Net gain/(loss) on fair value hedging relationships	(20)		(10)		24
Net amortization of basis adjustments on discontinued hedging relationships	(7)		(27)		—
Net gain/(loss) on derivatives and hedging activities recorded in net interest income	$	(27)	$	(37)	$	24

Schedule of Derivative Instruments By Type, Gain (Loss) in Statement of Financial Performance

The following table presents the cumulative basis adjustments on hedged items designated as fair value hedges and the related amortized cost of the hedged items as of March 31, 2023, and December 31, 2022.

	March 31, 2023						December 31, 2022
(In millions)	Advances		AFS Securities		Consolidated Obligation Bonds		Advances		AFS Securities		Consolidated Obligation Bonds
Amortized cost of hedged asset/(liability)(1)	$	44,708	$	12,234	$	(30,791)	$	34,535	$	11,574	$	(21,976)
Fair value hedging basis adjustments:
Active hedging relationships included in amortized cost	$	(526)	$	(1,164)	$	869	$	(740)	$	(1,410)	$	1,083
Discontinued hedging relationships included in amortized cost	73		705		—		70		740		—
Total amount of fair value hedging basis adjustments	$	(453)	$	(459)	$	869	$	(670)	$	(670)	$	1,083

(1)Includes only the portion of amortized cost representing the hedged items in fair value hedging relationships.

Schedule of Derivative Instruments, Offsetting Derivative Assets

The following tables present 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, 2023, and December 31, 2022.

	March 31, 2023
	Derivative Instruments Meeting Netting Requirements
(In millions)	Amount Recognized		Gross Amount of Netting Adjustments and Cash Collateral		Total Derivative Assets and Total Derivative Liabilities		Noncash Collateral Not Offset That  Can Be Sold or Repledged		Net Amount(1)
Derivative Assets
Uncleared	$	727	$	(723)	$	4	$	—	$	4
Cleared	7		(5)		2		(864)		866
Total					$	6			$	870
Derivative Liabilities
Uncleared	$	986	$	(980)	$	6	$	—	$	6
Cleared	37		(32)		5		—		5
Total					$	11			$	11

	December 31, 2022
	Derivative Instruments Meeting Netting Requirements
(In millions)	Amount Recognized		Gross Amount of Netting Adjustments and Cash Collateral		Total Derivative Assets and Total Derivative Liabilities		Noncash Collateral Not Offset That  Can Be Sold or Repledged		Net Amount(1)
Derivative Assets
Uncleared	$	834	$	(829)	$	5	$	—	$	5
Cleared	15		6		21		(435)		456
Total					$	26			$	461
Derivative Liabilities
Uncleared	$	1,188	$	(1,186)	$	2	$	—	$	2
Cleared	7		(7)		—		—		—
Total					$	2			$	2

(1) Any over-collateralization at the Bank’s individual clearing agent and/or counterparty level is not included in the determination of the net amount. At March 31, 2023, the Bank had additional net credit exposure of $6 million due to instances where non-cash collateral to a counterparty exceeded the Bank’s net derivative position. There was no such additional net credit exposure at December 31, 2022.

Schedule of Derivative Instruments, Offsetting Derivative Liabilities

The following tables present 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, 2023, and December 31, 2022.

	March 31, 2023
	Derivative Instruments Meeting Netting Requirements
(In millions)	Amount Recognized		Gross Amount of Netting Adjustments and Cash Collateral		Total Derivative Assets and Total Derivative Liabilities		Noncash Collateral Not Offset That  Can Be Sold or Repledged		Net Amount(1)
Derivative Assets
Uncleared	$	727	$	(723)	$	4	$	—	$	4
Cleared	7		(5)		2		(864)		866
Total					$	6			$	870
Derivative Liabilities
Uncleared	$	986	$	(980)	$	6	$	—	$	6
Cleared	37		(32)		5		—		5
Total					$	11			$	11

	December 31, 2022
	Derivative Instruments Meeting Netting Requirements
(In millions)	Amount Recognized		Gross Amount of Netting Adjustments and Cash Collateral		Total Derivative Assets and Total Derivative Liabilities		Noncash Collateral Not Offset That  Can Be Sold or Repledged		Net Amount(1)
Derivative Assets
Uncleared	$	834	$	(829)	$	5	$	—	$	5
Cleared	15		6		21		(435)		456
Total					$	26			$	461
Derivative Liabilities
Uncleared	$	1,188	$	(1,186)	$	2	$	—	$	2
Cleared	7		(7)		—		—		—
Total					$	2			$	2

(1) Any over-collateralization at the Bank’s individual clearing agent and/or counterparty level is not included in the determination of the net amount. At March 31, 2023, the Bank had additional net credit exposure of $6 million due to instances where non-cash collateral to a counterparty exceeded the Bank’s net derivative position. There was no such additional net credit exposure at December 31, 2022.

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Fair Value (Tables)

3 Months Ended

Mar. 31, 2023

Fair Value Disclosures [Abstract]

Fair Value, by Balance Sheet Grouping

The following tables present the net carrying value or carrying value, as applicable, the estimated fair value, and the fair value hierarchy level of the Bank’s financial instruments at March 31, 2023, and December 31, 2022. The Bank records trading securities, AFS securities, derivative assets, derivative liabilities, certain advances, certain consolidated obligations, and certain other assets at fair value on a recurring basis, and on occasion certain mortgage loans held for portfolio and certain other assets at fair value on a nonrecurring basis. The Bank records all other financial assets and liabilities at amortized cost. Refer to the following tables for further details about the financial assets and liabilities held at fair value on either a recurring or non-recurring basis.

	March 31, 2023
(In millions)	Carrying Value(1)		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral(2)
Assets
Cash and due from banks	$	17	$	17	$	17	$	—	$	—	$	—
Interest-bearing deposits	3,760		3,760		3,760		—		—		—
Securities purchased under agreements to resell	11,100		11,100		—		11,100		—		—
Federal funds sold	9,427		9,427		—		9,427		—		—
Trading securities	1		1		—		1		—		—
AFS securities	13,320		13,320		—		12,170		1,150		—
HTM securities	2,104		2,068		—		1,932		136		—
Advances	101,541		101,354		—		101,354		—		—
Mortgage loans held for portfolio	801		689		—		689		—		—
Accrued interest receivable	178		178		—		178		—		—
Derivative assets, net(2)	6		6		—		734		—		(728)
Other assets(3)	16		16		16		—		—		—
Liabilities
Deposits	1,022		1,022		—		1,022		—		—
Consolidated obligations:
Bonds	95,034		94,704		—		94,704		—		—
Discount notes	37,356		37,355		—		37,355		—		—
Total consolidated obligations	132,390		132,059		—		132,059		—		—
Mandatorily redeemable capital stock	95		95		95		—		—		—
Accrued interest payable	508		508		—		508		—		—
Derivative liabilities, net(2)	11		11		—		1,023		—		(1,012)

	December 31, 2022
	Carrying Value(1)		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral(2)
Assets
Cash and due from banks	$	9	$	9	$	9	$	—	$	—	$	—
Interest-bearing deposits	3,677		3,677		3,677		—		—		—
Securities purchased under agreements to resell	7,000		7,000		—		7,000		—		—
Federal funds sold	4,719		4,719		—		4,719		—		—
Trading securities	1		1		—		1		—		—
AFS securities	12,713		12,713		—		11,531		1,182		—
HTM securities	2,181		2,136		—		1,993		143		—
Advances	89,400		89,183		—		89,183		—		—
Mortgage loans held for portfolio	815		695		—		695		—		—
Accrued interest receivable	313		313		—		313		—		—
Derivative assets, net(2)	26		26		—		849		—		(823)
Other assets(3)	15		15		15		—		—		—
Liabilities			—
Deposits	989		989		—		989		—		—
Consolidated obligations:			—
Bonds	75,768		75,396		—		75,396		—		—
Discount notes	35,929		35,916		—		35,916		—		—
Total consolidated obligations	111,697		111,312		—		111,312		—		—
Mandatorily redeemable capital stock	5		5		5		—		—		—
Accrued interest payable	326		326		—		326		—		—
Derivative liabilities, net(2)	2		2		—		1,195		—		(1,193)

(1)    For certain financial instruments, the amounts represent net carrying value, which includes an allowance for credit losses.

(2)    Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed with the same clearing agents or counterparty.

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

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques

The following tables present the fair value of assets and liabilities, which are recorded on a recurring or nonrecurring basis at March 31, 2023, and December 31, 2022, by level within the fair value hierarchy.

March 31, 2023
	Fair Value Measurement Using:						Netting Adjustments  and Cash Collateral(1)
(In millions)	Level 1		Level 2		Level 3				Total
Recurring fair value measurements – Assets:
Trading securities:
MBS – Other U.S. obligations	$	—	$	1	$	—	$	—	$	1
AFS securities:
U.S. obligations – Treasury notes	—		4,078		—		—		4,078
MBS:
GSEs – multifamily	—		8,092		—		—		8,092
PLRMBS	—		—		1,150		—		1,150
Subtotal AFS MBS	—		8,092		1,150		—		9,242
Total AFS securities	—		12,170		1,150		—		13,320
Advances(2)	—		2,392		—		—		2,392
Derivative assets, net: interest rate-related	—		734		—		(728)		6
Other assets	16		—		—		—		16
Total recurring fair value measurements – Assets	$	16	$	15,297	$	1,150	$	(728)	$	15,735
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	782	$	—	$	—	$	782
Derivative liabilities, net: interest rate-related	—		1,023		—		(1,012)		11
Total recurring fair value measurements – Liabilities	$	—	$	1,805	$	—	$	(1,012)	$	793
Nonrecurring fair value measurements – Assets:(4)
Impaired mortgage loans held for portfolio	$	—	$	—	$	16	$	—	$	16
Total nonrecurring fair value measurements – Assets	$	—	$	—	$	16	$	—	$	16

December 31, 2022
	Fair Value Measurement Using:						Netting Adjustments  and Cash Collateral(1)
(In millions)	Level 1		Level 2		Level 3				Total
Recurring fair value measurements – Assets:
Trading securities:
MBS – Other U.S. obligations	$	—	$	1	$	—	$	—	$	1
AFS securities:
U.S. obligations – Treasury notes	—		4,024		—		—		4,024
MBS:
GSEs – multifamily	—		7,507		—		—		7,507
PLRMBS	—		—		1,182		—		1,182
Subtotal AFS MBS	—		7,507		1,182		—		8,689
Total AFS securities	—		11,531		1,182		—		12,713
Advances(2)	—		2,059		—		—		2,059
Derivative assets, net: interest rate-related	—		849		—		(823)		26
Other assets	15		—		—		—		15
Total recurring fair value measurements – Assets	$	15	$	14,440	$	1,182	$	(823)	$	14,814
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	2,226	$	—	$	—	$	2,226
Derivative liabilities, net: interest rate-related	—		1,195		—		(1,193)		2
Total recurring fair value measurements – Liabilities	$	—	$	3,421	$	—	$	(1,193)	$	2,228
Nonrecurring fair value measurements – Assets:(4)
Impaired mortgage loans held for portfolio	$	—	$	—	$	20	$	—	$	20
Total nonrecurring fair value measurements – Assets	$	—	$	—	$	20	$	—	$	20

(1)Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed by the Bank, with the same clearing agents or counterparty.

(2)Represents advances recorded under the fair value option at March 31, 2023, and December 31, 2022.

(3)Represents consolidated obligation bonds recorded under the fair value option at March 31, 2023. and December 31, 2022.

(4)The fair value information presented is as of the date the fair value adjustment was recorded during the three months ended March 31, 2023 and year ended December 31, 2022.

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation

	Three Months Ended
(In millions)	March 31, 2023		March 31, 2022
Balance, beginning of the period	$	1,182	$	1,608
Total gain/(loss) realized and unrealized included in:
Interest income	11		14
(Provision for)/reversal of credit losses	1		3
Other income/(loss)	—		28
Unrealized gain/(loss) included in AOCI	(11)		(33)
Settlements	(33)		(177)
Transfers of HTM securities to AFS securities	—		16
Balance, end of the period	$	1,150	$	1,459
Total amount of unrealized gain/(loss) for the period included in AOCI relating to assets held at the end of the period	$	(11)	$	(33)
Total amount of gain/(loss) for the period included in earnings attributable to the change in unrealized gains/losses relating to assets held at the end of the period	$	12	$	17

Fair Value, Option, Quantitative Disclosures

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, 2023 and 2022:

	Three Months Ended
	March 31, 2023				March 31, 2022
(In millions)	Advances		Consolidated Obligation Bonds		Advances		Consolidated Obligation Bonds
Balance, beginning of the period	$	2,059	$	2,226	$	1,772	$	627
New transactions elected for fair value option	550		30		10		1,325
Maturities and terminations	(238)		(1,485)		(144)		—
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds from changes in fair value recognized in earnings	18		17		(49)		(28)
Change in accrued interest	3		(6)		—		—
Balance, end of the period	$	2,392	$	782	$	1,589	$	1,924

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, 2023, and December 31, 2022:

	March 31, 2023						December 31, 2022
(In millions)	Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance		Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance
Advances(1)	$	2,417	$	2,392	$	(25)	$	2,106	$	2,059	$	(47)
Consolidated obligation bonds	823		782		(41)		2,278		2,226		(52)

(1)    At March 31, 2023, and December 31, 2022, 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, 2023

Commitments and Contingencies Disclosure [Abstract]

Off-Balance Sheet Commitments

Off-balance sheet commitments as of March 31, 2023, and December 31, 2022, were as follows:

	March 31, 2023						December 31, 2022
(In millions)	Expire Within One Year		Expire After One Year		Total		Expire Within One Year		Expire After One Year		Total
Standby letters of credit outstanding	$	11,855	$	10,483	$	22,338	$	16,591	$	6,049	$	22,640
Commitments to issue consolidated obligation discount notes, par	—		—		—		300		—		300
Commitments to issue consolidated obligation bonds, par	—		—		—		2,385		—		2,385

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

3 Months Ended

Mar. 31, 2023

Related Party Transactions [Abstract]

Transactions with Certain Members and Nonmembers

(In millions)	March 31, 2023		December 31, 2022
Assets:
Advances	$	8,575	$	7,269
Mortgage loans held for portfolio	79		80
Accrued interest receivable	8		9
Liabilities:
Deposits	$	18	$	11
Capital:
Capital Stock	$	260	$	215

	Three Months Ended
(In millions)	March 31, 2023		March 31, 2022
Interest Income:
Advances	$	69	$	13
Mortgage loans held for portfolio	1		—

All transactions with members, nonmembers, and their affiliates are entered into in the ordinary course of business. As of March 31, 2023 and December 31, 2022, 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 17 – Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks” in the Bank’s 2022 Form 10-K.

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Basis of Presentation and Significant Accounting Policies (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2023	Mar. 31, 2022
Accounting Policies [Abstract]
PLRMBS trust settlement	$ 0	$ 28

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Investments Narrative (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2023	Mar. 31, 2022	Dec. 31, 2022	Dec. 31, 2021
Investments [Line Items]
Interest-Bearing Deposits, Securities Purchased Under Agreements to Resell, and Federal Funds Sold, Percentage Unrated	0.00%		0.00%
Interest-Bearing Deposits, Securities Purchased Under Agreements to Resell, and Federal Funds Sold, Percentage Rated Below Triple-B	0.00%		0.00%
Available-for-sale Securities, Premiums	$ 50		$ 52
Available for sale Securities Discounts	(140)		(113)
Debt securities, available-for-sale, amortized cost, allowance for credit loss, excluding accrued interest	$ 28	$ 14	30	$ 17
Available-for-Sale Debt Securities and Held-to-Maturity Debt Securities Private Label Mortgage Back Securities Amortized Cost, Percentage Rated Single-A Or Above	4.00%
Provision for/(reversal of) credit losses	$ (1)	(3)
Total net accretion or amortization recognized in interest income associated with PLRMBS with previous credit losses to the prior methodology	11	14
Fair Value Of Held to maturity Securities Transferred To Available For Sale Securities	0	19
Amortized Cost Of Held to maturity Securities Transferred To Available For Sale Securities	0	16
Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities	7	$ 8
Interest-bearing deposits
Investments [Line Items]
Allowance for Credit Loss	0		0
Accrued Interest, after Allowance for Credit Loss	16		13
Fed Funds Sold
Investments [Line Items]
Allowance for Credit Loss	0		0
Accrued Interest, after Allowance for Credit Loss	1		1
Securities borrowed or purchased under agreements to resell
Investments [Line Items]
Allowance for Credit Loss	0		0
Accrued Interest, after Allowance for Credit Loss	1		2
Mortgage Backed Securities
Investments [Line Items]
Held-to-maturity Securities, Premiums	3		3
Held-to-maturity Securities, Discounts	(3)		(4)
Debt securities, available-for-sale, amortized cost, allowance for credit loss, excluding accrued interest	28		30
Available-for-sale Securities | Mortgage Backed Securities
Investments [Line Items]
Credit-related OTTI	341		351
Available-for-sale Securities | Other Than Mortgage Backed Securities
Investments [Line Items]
Debt securities, available-for-sale, amortized cost, allowance for credit loss, excluding accrued interest	$ 0		0
Held-to-maturity Securities | Mortgage Backed Securities
Investments [Line Items]
Credit-related OTTI			$ 0

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Investments Trading Securities by Major Type (Details) - USD ($) $ in Millions	Mar. 31, 2023	Dec. 31, 2022
MBS – Other U.S. obligations
Trading Securities
Trading securities	$ 1	$ 1

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Investments AFS Securities by Major Type (Details) - USD ($) $ in Millions		Mar. 31, 2023	Dec. 31, 2022	Mar. 31, 2022	Dec. 31, 2021
Debt Securities, Available-for-sale [Line Items]
Amortized cost of AFS	[1]	$ 13,394	$ 12,757
Allowance for Credit Losses		(28)	(30)	$ (14)	$ (17)
Gross Unrealized Gains		61	68
Gross Unrealized Losses		(107)	(82)
Fair Value of AFS Securities	[2]	13,320	12,713
Available-for-Sale, Accrued Interest, after Allowance for Credit Loss		$ 46
Debt Securities, Available-for-Sale, Accrued Interest, after Allowance for Credit Loss, Statement of Financial Position [Extensible Enumeration]		Interest Receivable
US Treasury Notes
Debt Securities, Available-for-sale [Line Items]
Amortized cost of AFS		$ 4,062	4,012
Allowance for Credit Losses		0	0
Gross Unrealized Gains		16	12
Gross Unrealized Losses		0	0
Fair Value of AFS Securities		4,078	4,024
PLRMBS
Debt Securities, Available-for-sale [Line Items]
Amortized cost of AFS		1,159	1,183
Allowance for Credit Losses		(28)	(30)
Gross Unrealized Gains		45	54
Gross Unrealized Losses		(26)	(25)
Fair Value of AFS Securities		1,150	1,182
Mortgage Backed Securities
Debt Securities, Available-for-sale [Line Items]
Amortized cost of AFS	[1]	9,332	8,745
Allowance for Credit Losses		(28)	(30)
Gross Unrealized Gains		45	56
Gross Unrealized Losses		(107)	(82)
Fair Value of AFS Securities		9,242	8,689
Multifamily [Member] | MBS - GSEs
Debt Securities, Available-for-sale [Line Items]
Amortized cost of AFS		8,173	7,562
Allowance for Credit Losses		0	0
Gross Unrealized Gains		0	2
Gross Unrealized Losses		(81)	(57)
Fair Value of AFS Securities		$ 8,092	$ 7,507

[1] Amortized cost includes unpaid principal balance, unamortized premiums and discounts, net charge-offs, and valuation adjustments for hedging activities, and excludes accrued interest receivable of $46 million at both March 31, 2023, and December 31, 2022.

[2] At March 31, 2023, and December 31, 2022, $864 million and $435 million, respectively, of these securities were pledged as collateral that may be repledged.

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Investments Summary of AFS Securities with Unrealized Losses (Details) - USD ($) $ in Millions	Mar. 31, 2023	Dec. 31, 2022
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items]
Less Than 12 Months: Estimated Fair Value	$ 7,100	$ 6,927
Less Than 12 Months: Unrealized Losses	71	74
12 Months or More: Estimated Fair Value	1,128	68
12 Months or More: Unrealized Losses	36	8
Unrealized Loss Position, Total Fair Value	8,228	6,995
Unrealized Loss Position, Total Accumulated Loss	107	82
Multifamily [Member] | MBS - GSEs
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items]
Less Than 12 Months: Estimated Fair Value	6,917
Less Than 12 Months: Unrealized Losses	64
12 Months or More: Estimated Fair Value	941
12 Months or More: Unrealized Losses	17
Unrealized Loss Position, Total Fair Value	7,858
Unrealized Loss Position, Total Accumulated Loss	81
Multifamily [Member] | MBS - GSEs | Fannie Mae
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items]
Less Than 12 Months: Estimated Fair Value		6,635
Less Than 12 Months: Unrealized Losses		57
12 Months or More: Estimated Fair Value		0
12 Months or More: Unrealized Losses		0
Unrealized Loss Position, Total Fair Value		6,635
Unrealized Loss Position, Total Accumulated Loss		57
PLRMBS | Residential Mortgage Backed Securities
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items]
Less Than 12 Months: Estimated Fair Value	183	292
Less Than 12 Months: Unrealized Losses	7	17
12 Months or More: Estimated Fair Value	187	68
12 Months or More: Unrealized Losses	19	8
Unrealized Loss Position, Total Fair Value	370	360
Unrealized Loss Position, Total Accumulated Loss	$ 26	$ 25

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Investments AFS by Contractual Maturity and Prepayment Fees (Details) - USD ($) $ in Millions		Mar. 31, 2023	Dec. 31, 2022
Debt Securities, Available-for-sale [Line Items]
Amortized cost of AFS	[1]	$ 13,394	$ 12,757
Available-for-sale (AFS) securities, net of allowance for credit losses of $28 and $30, respectively (amortized cost of $13,394 and $12,757, respectively)(a)	[2]	13,320	12,713
Other Than Mortgage Backed Securities
Debt Securities, Available-for-sale [Line Items]
Amortized cost of AFS		4,062	4,012
Available-for-sale (AFS) securities, net of allowance for credit losses of $28 and $30, respectively (amortized cost of $13,394 and $12,757, respectively)(a)		4,078	4,024
Mortgage Backed Securities
Debt Securities, Available-for-sale [Line Items]
Amortized cost of AFS	[1]	9,332	8,745
Available-for-sale (AFS) securities, net of allowance for credit losses of $28 and $30, respectively (amortized cost of $13,394 and $12,757, respectively)(a)		$ 9,242	$ 8,689

[1] Amortized cost includes unpaid principal balance, unamortized premiums and discounts, net charge-offs, and valuation adjustments for hedging activities, and excludes accrued interest receivable of $46 million at both March 31, 2023, and December 31, 2022.

[2] At March 31, 2023, and December 31, 2022, $864 million and $435 million, respectively, of these securities were pledged as collateral that may be repledged.

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Investments Classification of Held-to-Maturity Securities (Details) - USD ($) $ in Millions		Mar. 31, 2023	Dec. 31, 2022
Schedule of Held-to-maturity Securities [Line Items]
Held-to-maturity (HTM) securities (fair values of $2,068 and $2,136, respectively)	[1]	$ 2,104	$ 2,181
Gross Unrecognized Holding Gain	[2]	1	1
Gross Unrecognized Holding Loss	[2]	(37)	(46)
Fair value of held-to-maturity securities		2,068	2,136
HTM accrued interest, after allowance for credit loss		6	5
Other US Obligations
Schedule of Held-to-maturity Securities [Line Items]
Held-to-maturity (HTM) securities (fair values of $2,068 and $2,136, respectively)		67	72
Gross Unrecognized Holding Gain		0	0
Gross Unrecognized Holding Loss		(2)	(2)
Fair value of held-to-maturity securities		65	70
MBS - GSEs
Schedule of Held-to-maturity Securities [Line Items]
Held-to-maturity (HTM) securities (fair values of $2,068 and $2,136, respectively)	[1]	1,890	1,954
Gross Unrecognized Holding Gain	[2]	1	1
Gross Unrecognized Holding Loss	[2]	(24)	(32)
Fair value of held-to-maturity securities		1,867	1,923
Single Family [Member] | MBS - GSEs
Schedule of Held-to-maturity Securities [Line Items]
Held-to-maturity (HTM) securities (fair values of $2,068 and $2,136, respectively)	[1]	709	745
Gross Unrecognized Holding Gain	[2]	1	1
Gross Unrecognized Holding Loss	[2]	(18)	(22)
Fair value of held-to-maturity securities		692	724
Multifamily [Member] | MBS - GSEs
Schedule of Held-to-maturity Securities [Line Items]
Held-to-maturity (HTM) securities (fair values of $2,068 and $2,136, respectively)	[1]	1,181	1,209
Gross Unrecognized Holding Gain	[2]	0	0
Gross Unrecognized Holding Loss	[2]	(6)	(10)
Fair value of held-to-maturity securities		1,175	1,199
Residential Mortgage Backed Securities | PLRMBS
Schedule of Held-to-maturity Securities [Line Items]
Held-to-maturity (HTM) securities (fair values of $2,068 and $2,136, respectively)	[1]	147	155
Gross Unrecognized Holding Gain	[2]	0	0
Gross Unrecognized Holding Loss	[2]	(11)	(12)
Fair value of held-to-maturity securities		$ 136	$ 143

[1] Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and net charge-offs, and excludes accrued interest receivable of $6 million and $5 million at March 31, 2023, and December 31, 2022, respectively.

[2] Gross unrecognized holding gains/(losses) represent the difference between estimated fair value and net carrying value

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Investments Allowance for Credit Losses (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2023	Mar. 31, 2022	Dec. 31, 2022	Dec. 31, 2021
Allowance for Credit Loss [Abstract]
(Charge-offs)/recoveries	$ (1)	$ 0
Provision for/(reversal of) credit losses	(1)	(3)
Debt securities, available-for-sale, amortized cost, allowance for credit loss, excluding accrued interest	$ 28	$ 14	$ 30	$ 17

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Investments Significant Inputs on PLRMBS (Details)	3 Months Ended
	Mar. 31, 2023
Significant Inputs on PLRMBS [Line Items]
Prepayment Weighted Average	10.10%
Default Rate Weighted Average	5.80%
Loss Severity Weighted Average	56.90%
Credit Enhancements Weighted Average	8.70%

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Investments with previous credit losses rollforward (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2023	Mar. 31, 2022
Investments, Debt and Equity Securities [Abstract]
Total net accretion or amortization recognized in interest income associated with PLRMBS with previous credit losses to the prior methodology	$ 11	$ 14
Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities	$ (7)	$ (8)

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Transfers from HTM to AFS (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2023	Mar. 31, 2022
Investments, Debt and Equity Securities [Abstract]
Amortized Cost Of Held to maturity Securities Transferred To Available For Sale Securities	$ 0	$ 16
Fair Value Of Held to maturity Securities Transferred To Available For Sale Securities	$ 0	$ 19

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Advances (Narrative) (Details) - USD ($) $ in Millions	Mar. 31, 2023	Dec. 31, 2022
Advances [Line Items]
Advances, Par Value	$ 102,019	$ 90,117
Advances with Full prepayment Symmetry Outstanding	39,900	19,200
Advances With Partial Prepayment Symmetry Outstanding	700	1,000
Federal Home Loan Bank Advances
Advances [Line Items]
Accrued Interest Receivable	$ 103	$ 241
Minimum
Advances [Line Items]
Advances, Interest Rate	0.21%	0.21%
Maximum
Advances [Line Items]
Advances, Interest Rate	8.57%	8.57%
Advances, Callable Option
Advances [Line Items]
Advances, Par Value	$ 9,200	$ 9,800
Advances, Putable Option
Advances [Line Items]
Advances, Par Value	$ 1,400	$ 800

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Advances (Redemption Terms) (Details) - USD ($) $ in Millions		Mar. 31, 2023	Dec. 31, 2022
Federal Home Loan Bank, Advances [Line Items]
Advances (includes $2,392 and $2,059 at fair value under the fair value option, respectively)		$ 101,541	$ 89,400
Federal Home Loan Bank Advances, Maturities [Abstract]
Overdrawn demand and overnight deposit accounts		0	2
Within 1 year(2)		64,758	71,050
After 1 year through 2 years		22,750	7,634
After 2 years through 3 years		5,433	4,036
After 3 years through 4 years		4,284	3,391
After 4 years through 5 years		3,702	2,815
After 5 years		1,092	1,189
Total par value		102,019	90,117
Valuation adjustments for hedging activities		(453)	(670)
Valuation adjustments under fair value option	[1]	(25)	(47)
Total		$ 101,541	$ 89,400
Federal Home Loan Bank Advances, Weighted Average Interest Rate [Abstract]
Overdrawn Demand Deposit		4.65%	4.15%
Within 1 year		4.87%	4.34%
After 1 year through 2 years		3.99%	3.30%
After 2 years through 3 years		3.60%	2.22%
After 3 years through 4 years		2.62%	2.05%
After 4 years through 5 years		3.73%	3.24%
After 5 years		3.58%	3.50%
Total par value		4.45%	4.03%
Silicon Valley Bank
Federal Home Loan Bank, Advances [Line Items]
Advances (includes $2,392 and $2,059 at fair value under the fair value option, respectively)		$ 0	$ 15,000
Federal Home Loan Bank Advances, Maturities [Abstract]
Total		0	15,000
Advances
Federal Home Loan Bank, Advances [Line Items]
Advances Outstanding, Redemption Terms Within Three Months		45,600	46,300
Federal Home Loan Bank Advances
Federal Home Loan Bank, Advances [Line Items]
Accrued Interest Receivable		$ 103	$ 241

[1] At March 31, 2023, and December 31, 2022, 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, 2023	Dec. 31, 2022
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, Rolling Year, Par Value [Abstract]
Overdrawn demand and overnight deposit accounts	$ 0	$ 2
Within 1 year	65,078	71,370
After 1 year through 2 years	22,760	7,634
After 2 years through 3 years	5,433	4,046
After 3 years through 4 years	4,284	3,391
After 4 years through 5 years	3,712	2,825
After 5 years	752	849
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, Rolling Year, Par Value [Abstract]
Within 1 year	65,608	71,850
After 1 year through 2 years	23,250	7,634
After 2 years through 3 years	4,983	3,836
After 3 years through 4 years	4,284	3,391
After 4 years through 5 years	2,802	2,215
After 5 years	1,092	1,189
Total par value	$ 102,019	$ 90,117

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Advances (Credit and Concentration Risk) (Details) - USD ($) $ in Millions		3 Months Ended
		Mar. 31, 2023	Mar. 31, 2022		Dec. 31, 2022
Advances [Line Items]
Advances Outstanding		$ 102,019			$ 90,117
Total Members
Advances [Line Items]
Advances Outstanding		102,019	$ 20,473
Interest Income from Advances	[1]	$ 971	$ 68
Total Members | Percentage of Total Advances Outstanding
Advances [Line Items]
Concentration Risk, Percentage		100.00%	100.00%
Total Members | Percentage of Total Interest Income from Advances
Advances [Line Items]
Concentration Risk, Percentage		100.00%	100.00%
Top ten borrowers | First Republic Bank
Advances [Line Items]
Advances Outstanding		$ 28,100	$ 3,700
Interest Income from Advances	[1]	$ 176	$ 9
Top ten borrowers | First Republic Bank | Percentage of Total Advances Outstanding
Advances [Line Items]
Concentration Risk, Percentage		28.00%	18.00%
Top ten borrowers | First Republic Bank | Percentage of Total Interest Income from Advances
Advances [Line Items]
Concentration Risk, Percentage		18.00%	13.00%
Top ten borrowers | MUFG Union Bank, NA
Advances [Line Items]
Advances Outstanding		$ 11,050	$ 4,050
Interest Income from Advances	[1]	$ 36	$ 13
Top ten borrowers | MUFG Union Bank, NA | Percentage of Total Advances Outstanding
Advances [Line Items]
Concentration Risk, Percentage		11.00%	20.00%
Top ten borrowers | MUFG Union Bank, NA | Percentage of Total Interest Income from Advances
Advances [Line Items]
Concentration Risk, Percentage		4.00%	18.00%
Top ten borrowers | Western Alliance Bank
Advances [Line Items]
Advances Outstanding		$ 11,000
Interest Income from Advances	[1]	$ 27
Top ten borrowers | Western Alliance Bank | Percentage of Total Advances Outstanding
Advances [Line Items]
Concentration Risk, Percentage		11.00%
Top ten borrowers | Western Alliance Bank | Percentage of Total Interest Income from Advances
Advances [Line Items]
Concentration Risk, Percentage		3.00%
Top ten borrowers | City National Bank
Advances [Line Items]
Advances Outstanding		$ 8,850
Interest Income from Advances	[1]	$ 115
Top ten borrowers | City National Bank | Percentage of Total Advances Outstanding
Advances [Line Items]
Concentration Risk, Percentage		9.00%
Top ten borrowers | City National Bank | Percentage of Total Interest Income from Advances
Advances [Line Items]
Concentration Risk, Percentage		12.00%
Top ten borrowers | Pacific Western Bank
Advances [Line Items]
Advances Outstanding		$ 5,450			629
Interest Income from Advances		$ 25	$ 0
Top ten borrowers | Pacific Western Bank | Percentage of Total Advances Outstanding
Advances [Line Items]
Concentration Risk, Percentage		5.00%	3.00%
Top ten borrowers | Pacific Western Bank | Percentage of Total Interest Income from Advances
Advances [Line Items]
Concentration Risk, Percentage		3.00%	0.00%
Top ten borrowers | First Technology Federal Credit Union
Advances [Line Items]
Advances Outstanding		$ 4,458	$ 1,800
Interest Income from Advances		$ 38	$ 8	[1]
Top ten borrowers | First Technology Federal Credit Union | Percentage of Total Advances Outstanding
Advances [Line Items]
Concentration Risk, Percentage		4.00%	9.00%
Top ten borrowers | First Technology Federal Credit Union | Percentage of Total Interest Income from Advances
Advances [Line Items]
Concentration Risk, Percentage		4.00%	12.00%
Top ten borrowers | Bank of the West
Advances [Line Items]
Advances Outstanding		$ 2,600
Interest Income from Advances		$ 66
Top ten borrowers | Bank of the West | Percentage of Total Advances Outstanding
Advances [Line Items]
Concentration Risk, Percentage		3.00%
Top ten borrowers | Bank of the West | Percentage of Total Interest Income from Advances
Advances [Line Items]
Concentration Risk, Percentage		7.00%
Top ten borrowers | Wells Fargo National Bank West
Advances [Line Items]
Advances Outstanding		$ 2,000
Interest Income from Advances		$ 24
Top ten borrowers | Wells Fargo National Bank West | Percentage of Total Advances Outstanding
Advances [Line Items]
Concentration Risk, Percentage		2.00%
Top ten borrowers | Wells Fargo National Bank West | Percentage of Total Interest Income from Advances
Advances [Line Items]
Concentration Risk, Percentage		2.00%
Top ten borrowers | First Foundation Bank
Advances [Line Items]
Advances Outstanding		$ 2,000
Interest Income from Advances		$ 12
Top ten borrowers | First Foundation Bank | Percentage of Total Advances Outstanding
Advances [Line Items]
Concentration Risk, Percentage		2.00%
Top ten borrowers | First Foundation Bank | Percentage of Total Interest Income from Advances
Advances [Line Items]
Concentration Risk, Percentage		1.00%
Top ten borrowers | Luther Burbank Savings
Advances [Line Items]
Advances Outstanding		$ 1,702			752
Interest Income from Advances		$ 9	$ 3
Top ten borrowers | Luther Burbank Savings | Percentage of Total Advances Outstanding
Advances [Line Items]
Concentration Risk, Percentage		2.00%	4.00%
Top ten borrowers | Luther Burbank Savings | Percentage of Total Interest Income from Advances
Advances [Line Items]
Concentration Risk, Percentage		1.00%	4.00%
Top ten borrowers | Subtotal Members
Advances [Line Items]
Advances Outstanding		$ 77,210	$ 14,352
Interest Income from Advances	[1]	$ 528	$ 38
Top ten borrowers | Subtotal Members | Percentage of Total Advances Outstanding
Advances [Line Items]
Concentration Risk, Percentage		77.00%	71.00%
Top ten borrowers | Subtotal Members | Percentage of Total Interest Income from Advances
Advances [Line Items]
Concentration Risk, Percentage		55.00%	55.00%
Top ten borrowers | Pacific Premier Bank
Advances [Line Items]
Advances Outstanding					600
Interest Income from Advances			$ 0
Top ten borrowers | Pacific Premier Bank | Percentage of Total Advances Outstanding
Advances [Line Items]
Concentration Risk, Percentage			3.00%
Top ten borrowers | Pacific Premier Bank | Percentage of Total Interest Income from Advances
Advances [Line Items]
Concentration Risk, Percentage			0.00%
Top ten borrowers | Banc of California, NA
Advances [Line Items]
Advances Outstanding					561
Interest Income from Advances			$ 3
Top ten borrowers | Banc of California, NA | Percentage of Total Advances Outstanding
Advances [Line Items]
Concentration Risk, Percentage			3.00%
Top ten borrowers | Banc of California, NA | Percentage of Total Interest Income from Advances
Advances [Line Items]
Concentration Risk, Percentage			4.00%
Top ten borrowers | Bank of Hope
Advances [Line Items]
Advances Outstanding					$ 700
Interest Income from Advances			$ 1
Top ten borrowers | Bank of Hope | Percentage of Total Advances Outstanding
Advances [Line Items]
Concentration Risk, Percentage			3.00%
Top ten borrowers | Bank of Hope | Percentage of Total Interest Income from Advances
Advances [Line Items]
Concentration Risk, Percentage			2.00%
Top ten borrowers | Silvergate Bank
Advances [Line Items]
Advances Outstanding			$ 800
Interest Income from Advances	[1]		$ 0
Top ten borrowers | Silvergate Bank | Percentage of Total Advances Outstanding
Advances [Line Items]
Concentration Risk, Percentage			4.00%
Top ten borrowers | Silvergate Bank | Percentage of Total Interest Income from Advances
Advances [Line Items]
Concentration Risk, Percentage			0.00%
Top ten borrowers | Wescom Central Credit Union
Advances [Line Items]
Advances Outstanding			$ 760
Interest Income from Advances	[1]		$ 1
Top ten borrowers | Wescom Central Credit Union | Percentage of Total Advances Outstanding
Advances [Line Items]
Concentration Risk, Percentage			4.00%
Top ten borrowers | Wescom Central Credit Union | Percentage of Total Interest Income from Advances
Advances [Line Items]
Concentration Risk, Percentage			2.00%
Other Borrowers
Advances [Line Items]
Advances Outstanding		$ 24,809	$ 6,121
Interest Income from Advances	[1]	$ 443	$ 30
Other Borrowers | Other Borrowers | Percentage of Total Advances Outstanding
Advances [Line Items]
Concentration Risk, Percentage		23.00%	29.00%
Other Borrowers | Other Borrowers | Percentage of Total Interest Income from Advances
Advances [Line Items]
Concentration Risk, Percentage		45.00%	45.00%

[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)    On May 1, 2023, the California Department of Financial Protection and Innovation (DFPI) closed First Republic Bank, appointed the FDIC as receiver, and the FDIC and JPMorgan Chase, National Association, a nonmember, reported that they are entering into a purchase and assumption agreement for substantially all of the assets of First Republic Bank, including $28.1 billion in advances outstanding from the Bank. These advances outstanding are fully collateralized and are not expected to result in any credit loss to the Bank. (3)    On December 1, 2022, U.S. Bancorp, a nonmember, announced that it completed its acquisition of MUFG Union Bank, National Association. (4)    An officer or director of the member is a Bank director. (5)    On February 1, 2023, BMO Harris, a nonmember, announced that it completed its acquisition of Bank of the West.

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Advances (Interest Rate Payment Terms and Prepayment Fees) (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2023	Mar. 31, 2022	Dec. 31, 2022
Federal Home Loan Bank, Advances, Fixed Rate [Abstract]
Fixed Rate, due within 1 year	$ 42,646		$ 47,621
Fixed Rate, due after 1 year	37,246		18,050
Advances, Total Fixed Rate	79,892		65,671
Federal Home Loan Bank, Advances, Floating Rate [Abstract]
Adjustable Rate, due within 1 year	22,112		23,431
Adjustable Rate, due after 1 year	15		1,015
Advances, Total Fixed Rate	22,127		24,446
Total par value	102,019		$ 90,117
Prepayment fees on advances, net	$ 95	$ (2)

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Mortgage Loans Held for Portfolio (Details) - USD ($) $ in Millions	Mar. 31, 2023	Dec. 31, 2022
Fixed rate medium-term mortgage loans
Loans and Leases Receivable Disclosure [Line Items]
Unpaid principal balance	$ 13	$ 14
Fixed Rate Long Term mortgage loans
Loans and Leases Receivable Disclosure [Line Items]
Unpaid principal balance	749	761
Residential Portfolio Segment
Loans and Leases Receivable Disclosure [Line Items]
Unpaid principal balance	762	775
Unamortized premiums	42	43
Unamortized discounts	(2)	(2)
Mortgage Loans Held For Portfolio	802	816
Financing Receivable, Allowance for Credit Loss, Excluding Accrued Interest	1	1
Total mortgage loans held for portfolio, net	801	815
Accrued Interest Receivable	5	$ 5
Conventional Mortgage Loan | Residential Portfolio Segment
Loans and Leases Receivable Disclosure [Line Items]
Financing Receivable, Allowance for Credit Loss, Excluding Accrued Interest	$ 1

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Mortgage Loans Held for Portfolio Delinquency Statistics (Details) - Conventional Mortgage Loan - USD ($) $ in Millions	Mar. 31, 2023	Dec. 31, 2022
Mortgage Loan Delinquency Statistics
Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years	$ 365	$ 466
Originated Five or More Years before Latest Fiscal Year	437	350
Total Amortized Cost	802	816
In process of foreclosure, included above	2	3
Financing Receivable, Nonaccrual	$ 18	$ 19
Serious delinquencies as a percentage of total mortgage loans outstanding	2.22%	2.30%
Mortgage loans on nonaccrual status, with no allowance	$ 6	$ 7
30 to 59 Days Past Due
Mortgage Loan Delinquency Statistics
Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years	2	4
Originated Five or More Years before Latest Fiscal Year	6	5
Total Amortized Cost	8	9
60 to 89 Days Past Due
Mortgage Loan Delinquency Statistics
Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years	1	2
Originated Five or More Years before Latest Fiscal Year	1	1
Total Amortized Cost	2	3
Equal to or Greater than 90 Days Past Due
Mortgage Loan Delinquency Statistics
Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years	4	11
Originated Five or More Years before Latest Fiscal Year	14	8
Total Amortized Cost	18	19
Financial Asset, Past Due
Mortgage Loan Delinquency Statistics
Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years	7	17
Originated Five or More Years before Latest Fiscal Year	21	14
Total Amortized Cost	28	31
Financial Asset, Not Past Due
Mortgage Loan Delinquency Statistics
Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years	358	449
Originated Five or More Years before Latest Fiscal Year	416	336
Total Amortized Cost	$ 774	$ 785

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Mortgage Loans Held for Portfolio Allowance (Details) - USD ($) $ in Millions	Mar. 31, 2023	Dec. 31, 2022
Loans and Leases Receivable Disclosure [Line Items]
Housing price forecast appreciation over one year horizon	(2.70%)	(0.70%)
Housing price forecast appreciation over five-years plus horizon	4.00%	4.00%
Residential Portfolio Segment
Loans and Leases Receivable Disclosure [Line Items]
Financing Receivable, Allowance for Credit Loss, Excluding Accrued Interest	$ 1	$ 1
Residential Portfolio Segment | Conventional Mortgage Loan
Loans and Leases Receivable Disclosure [Line Items]
Financing Receivable, Allowance for Credit Loss, Excluding Accrued Interest	$ 1

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Deposits (Details) - USD ($) $ in Millions	Mar. 31, 2023	Dec. 31, 2022
Deposits [Line Items]
Interest-bearing Deposits	$ 1,016	$ 983
Noninterest-bearing Deposits	6	6
Deposits	1,022	989
Interest-bearing deposits | Adjustable rate
Deposits [Line Items]
Interest-bearing Deposits	$ 1,014	$ 983
Weighted Average Rate	4.65%	4.15%
Interest-bearing deposits | Fixed Interest Rate
Deposits [Line Items]
Interest-bearing Deposits	$ 2	$ 0
Weighted Average Rate	4.40%	0.00%

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Consolidated Obligations Narrative (Details) - USD ($) $ in Millions	Mar. 31, 2023	Dec. 31, 2022
Debt Instrument [Line Items]
Federal Home Loan Bank, Consolidated Obligations	$ 132,390	$ 111,697
Obligation with Joint and Several Liability Arrangement, Amount Outstanding	$ 1,500,000	$ 1,200,000

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Consolidated Obligations (Redemption Terms) (Details) - USD ($) $ in Millions	Mar. 31, 2023	Dec. 31, 2022
Debt Instrument [Line Items]
Total par value	$ 95,954	$ 76,907
Total CO Bonds	$ 95,034	$ 75,768
Weighted Average Interest Rate [Abstract]
Within 1 year	4.62%	4.05%
After 1 year through 2 years	4.12%	2.30%
After 2 years through 3 years	1.26%	1.26%
After 3 years through 4 years	1.11%	0.99%
After 4 years through 5 years	2.97%	1.47%
After 5 years	2.01%	1.73%
Consolidated obligation bonds
Debt Instrument [Line Items]
Within 1 year	$ 62,616	$ 58,301
After 1 year through 2 years	23,046	8,268
After 2 years through 3 years	4,080	2,317
After 3 years through 4 years	3,888	5,473
After 4 years through 5 years	1,142	1,255
After 5 years	1,182	1,293
Unamortized premiums	0	1
Unamortized discounts	(10)	(5)
Valuation adjustments for hedging activities	(869)	(1,083)
Fair value option valuation adjustments	$ (41)	$ (52)
Weighted Average Interest Rate [Abstract]
Total par amount	4.16%	3.47%

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Consolidated Obligations (Consolidated Obligation Bonds Noncallable and Callable) (Details) - USD ($) $ in Millions	Mar. 31, 2023	Dec. 31, 2022
Debt Instrument [Line Items]
Derivatives, Notional Amount	$ 189,631	$ 116,793
CO Bonds Par	95,954	76,907
Non-callable
Debt Instrument [Line Items]
CO Bonds Par	72,169	57,164
Callable
Debt Instrument [Line Items]
CO Bonds Par	23,785	19,743
Consolidated obligation bonds | Consolidated Obligations, Callable Option [Member]
Debt Instrument [Line Items]
Derivatives, Notional Amount	$ 22,200	$ 18,100

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Consolidated Obligations (Consolidated Obligation Bonds by Earlier of Contractual Maturity or Next Call Date) (Details) - USD ($) $ in Millions	Mar. 31, 2023	Dec. 31, 2022
Debt Instrument [Line Items]
Total bonds, par value	$ 95,954	$ 76,907
Earlier of Contractual Maturity or Next Call Date [Member]
Debt Instrument [Line Items]
Within 1 year	78,409	73,049
After 1 year through 2 years	17,154	3,310
After 2 years through 3 years	45	187
After 3 years through 4 years	298	313
After 4 years through 5 years	1	0
After 5 years	$ 47	$ 48

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Consolidated Obligations (Consolidated Obligation Discount Notes) (Details) - USD ($) $ in Millions		Mar. 31, 2023	Dec. 31, 2022
Short-term Debt [Line Items]
Discount notes, par value		$ 37,668	$ 36,159
Short-term Debt, Weighted Average Interest Rate, at Point in Time	[1]	4.70%	4.13%
Total		$ 37,356	$ 35,929
Discount notes
Short-term Debt [Line Items]
Unamortized discounts		$ (312)	$ (230)

[1] Represents yield to maturity excluding concession fees.

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Consolidated Obligations (Interest Rate Payment Terms) (Details) - USD ($) $ in Millions	Mar. 31, 2023	Dec. 31, 2022
Debt Instrument [Line Items]
CO Bonds Par	$ 95,954	$ 76,907
Discount notes, par value	37,668	36,159
Total consolidated obligations, par value	133,622	113,066
Fixed Interest Rate
Debt Instrument [Line Items]
CO Bonds Par	34,856	25,632
Adjustable Interest Rate [Member]
Debt Instrument [Line Items]
CO Bonds Par	60,275	48,997
Step-up Interest Rate [Member]
Debt Instrument [Line Items]
CO Bonds Par	$ 823	$ 2,278

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Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2023	Mar. 31, 2022	Dec. 31, 2022	Dec. 31, 2021
Accumulated Other Comprehensive Income (Loss) [Line Items]
Stockholders' Equity Attributable to Parent	$ 8,072	$ 6,154	$ 7,723	$ 6,224
Accumulated Defined Benefit Plans Adjustment
Accumulated Other Comprehensive Income (Loss) [Line Items]
Stockholders' Equity Attributable to Parent	(15)	(9)	(15)	(9)
Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Parent	0	0
Accumulated Other Comprehensive Income/(Loss)
Accumulated Other Comprehensive Income (Loss) [Line Items]
Stockholders' Equity Attributable to Parent	(61)	182	(29)	331
Net change in fair value	(32)	(149)
Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Parent	(32)	(149)
Available-for-sale Securities | AOCI Unrealized gain/loss, Available-for-sale
Accumulated Other Comprehensive Income (Loss) [Line Items]
Stockholders' Equity Attributable to Parent	(46)	191	$ (14)	$ 340
AFS Unrealized Gain/(Loss) on AFS Securities	(32)	(149)
Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Parent	$ (32)	$ (149)

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Capital (Capital Requirements) (Details) - USD ($) $ in Millions	Mar. 31, 2023	Dec. 31, 2022
Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items]
Risk-Based Capital, Required	$ 1,095	$ 898
Risk-Based Capital, Actual	8,228	7,757
Regulatory Capital, Required	5,700	4,842
Regulatory Capital, Actual	$ 8,228	$ 7,757
Regulatory Capital Ratio, Required	4.00%	4.00%
Regulatory Capital Ratio, Actual	5.77%	6.41%
Leverage Capital, Required	$ 7,125	$ 6,053
Leverage Capital, Actual	$ 12,342	$ 11,636
Leverage ratio - Required	5.00%	5.00%
Leverage Ratio, Actual	8.66%	9.61%

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Capital (Mandatorily Redeemable Capital Stock) (Details) $ in Millions	3 Months Ended
	Mar. 31, 2023 USD ($) Institutions	Mar. 31, 2022 USD ($)	Dec. 31, 2022 Institutions
Capital [Line Items]
Financial Instruments Subject to Mandatory Redemption, Number of Stockholders | Institutions	5		3
Interest Expense on Mandatorily Redeemable Capital Stock	$ 0	$ 0
Mandatorily Redeemable Capital Stock [Roll Forward]
Balance at the beginning of the period	5	3
Reclassified from/(to) capital during the period	195	32
Repurchase/redemption of mandatorily redeemable capital stock	(105)	(28)
Balance at the end of the period	$ 95	$ 7

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Capital (By Redemption Period) (Details) - USD ($) $ in Millions	Mar. 31, 2023	Dec. 31, 2022	Mar. 31, 2022	Dec. 31, 2021
Financial Instruments Subject to Mandatory Redemption, Settlement Terms, Share Value, Amount [Abstract]
Financial Instrument Subject to Mandatory Redemption, Maturity, Year Four	$ 4	$ 1
Financial Instrument Subject to Mandatory Redemption, Maturity, Year Five	90	3
Past contractual redemption date because of remaining activity	1	1
Financial Instruments Subject to Mandatory Redemption, Settlement Terms, Share Value, Amount, Total	$ 95	$ 5	$ 7	$ 3

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Capital (Retained Earnings and Dividend Policy) (Details) - USD ($) $ in Millions		3 Months Ended
	May 11, 2023	Mar. 31, 2023	Mar. 31, 2022	Apr. 27, 2023	Jan. 31, 2023	Dec. 31, 2022	Dec. 31, 2021
Capital [Line Items]
Retained Earnings, Set by the Board inc JCEA					$ 2,700	$ 2,600
Excess Capital		$ 136				$ 157
Excess Capital to Assets		0.10%				0.13%
Amount of Excess Stock and Financial Instruments Subject to Mandatory Redemption, Repurchased During Period		$ 1,900	$ 800
Percent Of Average Balance Of Outstanding Consolidated Obligations Required Per Joint Capital Enhancement Agreement For Each Previous Quarter		1.00%
JCE Agreement Amounts in excess of 150% of Restricted Retained Earnings Minimum May Be Releasted		150.00%
Dividends [Abstract]
Dividends, Cash, Annualized Rate		7.00%	6.00%
Total dividends		$ 63	$ 35
Interest Expense on Mandatorily Redeemable Capital Stock		0	0
Retained Earnings [Abstract]
Total Capital		8,072	6,154			$ 7,723	$ 6,224
Transfers from restricted retained earnings			0
Subsequent Events [Abstract]
Dividends, Common Stock, Cash		$ 63	35
Subsequent Event
Subsequent Events [Abstract]
Dividends, Cash Declared, Annualized Rate				7.00%
Interest and Dividends Payable, Current				$ 67
Dividends Payable, Date to be Paid	May 11, 2023
Minimum
Capital [Line Items]
Regulatory Restrictions on Payment of Capital Stock Dividends, Excess Stock to Assets, Percent		1.00%
Unrestricted Retained Earnings
Retained Earnings [Abstract]
Total Capital		$ 3,356	3,183			3,262	3,124
Transfers from restricted retained earnings			(16)
Subsequent Events [Abstract]
Dividends, Common Stock, Cash		63	35
Total Restricted Retained Earnings
Retained Earnings [Abstract]
Total Capital		770	692			$ 732	$ 708
Transfers from restricted retained earnings		$ 0	$ (16)

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Capital (Excess Capital Stock) (Details) - USD ($) $ / shares in Units, $ in Millions	3 Months Ended
	Mar. 31, 2023	Mar. 31, 2022	Dec. 31, 2022
Capital [Line Items]
Amount of Excess Stock Repurchased During Period	$ 1,900	$ 800
Common stock, par value	$ 100
Excess Capital	$ 136		$ 157

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Capital (Concentration) (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2023	Mar. 31, 2022	Dec. 31, 2022
Concentration Risk [Line Items]
Capital Stock Outstanding	$ 4,102		$ 3,763
Silicon Valley Bank
Concentration Risk [Line Items]
Capital Stock Outstanding	0		418
First Republic Bank
Concentration Risk [Line Items]
Capital Stock Outstanding	759		379
Borrowers Holding Capital Stock Of 10% Or More
Concentration Risk [Line Items]
Capital Stock Outstanding	759		797
Other Borrowers
Concentration Risk [Line Items]
Capital Stock Outstanding	$ 3,343		$ 2,966
Other Borrowers | Other Borrowers | Other Borrowers
Concentration Risk [Line Items]
Percentage of Total Capital Stock Outstanding	81.00%	79.00%
Total Capital Stock, 10% or more | Silicon Valley Bank | Silicon Valley Bank
Concentration Risk [Line Items]
Percentage of Total Capital Stock Outstanding	0.00%	11.00%
Total Capital Stock, 10% or more | First Republic Bank | First Republic Bank
Concentration Risk [Line Items]
Percentage of Total Capital Stock Outstanding	19.00%	10.00%
Total Capital Stock, 10% or more | Borrowers Holding Capital Stock Of 10% Or More | Borrowers Holding Capital Stock Of 10% Or More
Concentration Risk [Line Items]
Percentage of Total Capital Stock Outstanding	19.00%	21.00%
Total Members | Total Members
Concentration Risk [Line Items]
Percentage of Total Capital Stock Outstanding	100.00%	100.00%

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Segment Information (Details) $ in Millions	3 Months Ended
	Mar. 31, 2023 USD ($) segment	Mar. 31, 2022 USD ($)	Dec. 31, 2022 USD ($)
Segment Reporting Information [Line Items]
Number of Operating Segments | segment	2
Interest revenue (expense), net	$ 293	$ 99
Amortization of Basis Adjustments and Gain/Loss on Fair Value Hedges	10	(7)
Income/(Expense) on Economic Hedges	(5)	0
Interest Expense on Mandatorily Redeemable Capital Stock	0	0
Net Interest Income After Provision for/(Reversal of) Credit Losses	288	106
Other Income/ (Loss)	(26)	18
Other Expense	45	38
Income/(Loss) Before AHP Assessment	217	86
Total net accretion or amortization recognized in interest income associated with PLRMBS with previous credit losses to the prior methodology	11	14
Provision for/(reversal of) credit losses	(1)	(3)
Assets	142,493		$ 121,056
Advances- Related Business
Segment Reporting Information [Line Items]
Interest revenue (expense), net	240	31
Assets	130,303		109,330
Mortgage- Related Business
Segment Reporting Information [Line Items]
Interest revenue (expense), net	53	$ 68
Assets	$ 12,190		$ 11,726

XML

Derivatives and Hedging Activities (Narrative) (Details) $ in Millions	Mar. 31, 2023 USD ($)
Derivative [Line Items]
Aggregate fair value of uncleared derivative instruments with credit risk-related contingent features in a net derivative liability position (before cash collateral and related accrued interest)	$ 555
Collateral Already Posted, Aggregate Fair Value	556
Derivatives, Additional Net Credit Exposure	$ 6

XML

Derivatives and Hedging Activities (Derivatives in Statement of Condition) (Details) - USD ($) $ in Millions		Mar. 31, 2023	Dec. 31, 2022
Derivatives, Fair Value [Line Items]
Derivatives, Notional Amount		$ 189,631	$ 116,793
Derivative Assets		734	849
Netting adjustments and cash collateral	[1]	(728)	(823)
Total Derivative Assets and Derivative Liabilities		6	26
Derivative Liabilities		1,023	1,195
Netting Adjustments and Cash Collateral-Derivative Liability	[1]	(1,012)	(1,193)
Derivative liabilities, net		11	2
Cash collateral posted, including accrued interest		585	694
Cash collateral received, including accrued interest		300	324
Designated as Hedging Instrument | Interest rate swaps
Derivatives, Fair Value [Line Items]
Derivatives, Notional Amount		88,096	69,204
Derivative Assets		696	799
Derivative Liabilities		916	1,062
Not Designated as Hedging Instrument, Economic Hedge | Interest rate swaps
Derivatives, Fair Value [Line Items]
Derivatives, Notional Amount		101,535	47,589
Derivative Assets		38	50
Derivative Liabilities		$ 107	$ 133

[1] Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral, including accrued interest, held or placed with the same clearing agents or counterparty. Cash collateral posted, including accrued interest, was $585 million and $694 million at March 31, 2023, and December 31, 2022, respectively. Cash collateral received, including accrued interest, was $300 million and $324 million at March 31, 2023, and December 31, 2022, respectively.

XML

Derivatives and Hedging Activities (Derivatives in Statement of Income) (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2023	Mar. 31, 2022
Derivative Instruments, Gain (Loss) [Line Items]
Advances	$ 1,163	$ 39
AFS securities	190	54
Bonds	(920)	(12)
Net gain/(loss) on derivatives	(34)	8
Advances | Interest Income [Member] | Interest Rate Contract [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments	(301)	320
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge	189	(340)
Net Gains Losses On Qualifying Active Fair Value Hedging Relationships	(112)	(20)
Amortization Accretion of Discontinued Fair Value Hedging Relationships	(8)	(7)
Gain (loss) on Fair Value Hedges Recognized in Net Interest Income	(120)	(27)
Available-for-sale Securities | Interest Income [Member] | Interest Rate Contract [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments	(149)	429
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge	232	(439)
Net Gains Losses On Qualifying Active Fair Value Hedging Relationships	83	(10)
Amortization Accretion of Discontinued Fair Value Hedging Relationships	(25)	(27)
Gain (loss) on Fair Value Hedges Recognized in Net Interest Income	58	(37)
Consolidated Obligations, Bonds | Interest Expense [Member] | Interest Rate Contract [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments	84	(436)
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge	(214)	460
Net Gains Losses On Qualifying Active Fair Value Hedging Relationships	(130)	24
Amortization Accretion of Discontinued Fair Value Hedging Relationships	0	0
Gain (loss) on Fair Value Hedges Recognized in Net Interest Income	$ (130)	$ 24

XML

Derivatives and Hedging Activities Cumulative adjustments table (Details) - USD ($) $ in Millions	Mar. 31, 2023	Dec. 31, 2022
Advances
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Amortized Cost of Hedged Asset, Fair Value Hedge	$ 44,708	$ 34,535
Basis Adjustment for Active Fair Value Hedged Asset Cumulative Increase Decrease	(526)	(740)
Hedged Asset, Fair Value Hedge, Cumulative Increase (Decrease)	(453)	(670)
Available-for-sale Securities
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Amortized Cost of Hedged Asset, Fair Value Hedge	12,234	11,574
Basis Adjustment for Active Fair Value Hedged Asset Cumulative Increase Decrease	(1,164)	(1,410)
Hedged Asset, Fair Value Hedge, Cumulative Increase (Decrease)	(459)	(670)
Consolidated Obligations, Bonds
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Amortized Cost of Hedged Liability, Fair Value Hedge	(30,791)	(21,976)
Basis Adjustment for Active Fair Value Hedged Liability Cumulative Increase Decrease	869	1,083
Hedged Liability, Fair Value Hedge, Cumulative Increase (Decrease)	869	1,083
Advances
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Basis Adjustment for Hedged Asset, Discontinued Fair Value Hedge, Cumulative Increase (Decrease)	73	70
Available-for-sale Securities
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Basis Adjustment for Hedged Asset, Discontinued Fair Value Hedge, Cumulative Increase (Decrease)	705	740
Consolidated Obligations, Bonds
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Basis Adjustment for Hedged Liability, Discontinued Fair Value Hedge, Cumulative Increase (Decrease)	$ 0	$ 0

XML

Derivatives and Hedging Activities (Derivatives in Statement of Income and Impact on Interest) (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2023	Mar. 31, 2022
Derivative Instruments, Gain (Loss) [Line Items]
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net	$ (34)	$ 8
Net Income/(Loss)	195	78
Derivatives Not Designated As Hedging Before Price Alignment
Derivative Instruments, Gain (Loss) [Line Items]
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net	(33)	8
Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest rate swaps
Derivative Instruments, Gain (Loss) [Line Items]
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net	(28)	8
Not Designated as Hedging Instrument, Economic Hedge [Member] | Net Settlements [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net	(5)	0
Not Designated as Hedging Instrument [Member] | Price Alignment Amount
Derivative Instruments, Gain (Loss) [Line Items]
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net	$ (1)	$ 0

XML

Derivatives and Hedging Activities (Offsetting of Derivative Assets and Derivative Liabilities) (Details) - USD ($) $ in Millions		Mar. 31, 2023	Dec. 31, 2022
Derivative [Line Items]
Total Derivative Assets and Derivative Liabilities		$ 6	$ 26
Derivative Asset, Fair Value, Amount Offset Against Collateral		870	461
Netting Adjustments and Cash Collateral-Derivative Liability	[1]	(1,012)	(1,193)
Derivative Assets and Derivative Liabilities		11	2
Derivative Liability, Fair Value, Amount Offset Against Collateral		11	2
Uncleared derivatives
Derivative [Line Items]
Derivative Asset, Fair Value, Gross Recognized Amount		727	834
Derivative Asset Fair Value Gross Liability and Right To Reclaim Cash Offset		(723)	(829)
Total Derivative Assets and Derivative Liabilities		4	5
Derivative Asset, Noncash collateral not offset that can be sold or repledged		0	0
Derivative Asset, Fair Value, Amount Offset Against Collateral		4	5
Derivative Liability, Fair Value, Gross Recognized Amount		986	1,188
Netting Adjustments and Cash Collateral-Derivative Liability		(980)	(1,186)
Derivative Assets and Derivative Liabilities		6	2
Derivative Liability, Noncash collateral not offset that can be sold or repledged		0	0
Derivative Liability, Fair Value, Amount Offset Against Collateral		6	2
Cleared derivatives
Derivative [Line Items]
Derivative Asset, Fair Value, Gross Recognized Amount		7	15
Derivative Asset Fair Value Gross Liability and Right To Reclaim Cash Offset		(5)	6
Total Derivative Assets and Derivative Liabilities		2	21
Derivative Asset, Noncash collateral not offset that can be sold or repledged		(864)	(435)
Derivative Asset, Fair Value, Amount Offset Against Collateral		866	456
Derivative Liability, Fair Value, Gross Recognized Amount		37	7
Netting Adjustments and Cash Collateral-Derivative Liability		(32)	(7)
Derivative Assets and Derivative Liabilities		5	0
Derivative Liability, Noncash collateral not offset that can be sold or repledged		0	0
Derivative Liability, Fair Value, Amount Offset Against Collateral		$ 5	$ 0

[1] Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral, including accrued interest, held or placed with the same clearing agents or counterparty. Cash collateral posted, including accrued interest, was $585 million and $694 million at March 31, 2023, and December 31, 2022, respectively. Cash collateral received, including accrued interest, was $300 million and $324 million at March 31, 2023, and December 31, 2022, respectively.

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Fair Value (Carrying Value and Fair Value of Financial Instruments) (Details) - USD ($) $ in Millions		Mar. 31, 2023	Dec. 31, 2022		Mar. 31, 2022	Dec. 31, 2021
Assets
Cash and due from banks		$ 17	$ 9
Available-for-sale (AFS) securities, net of allowance for credit losses of $28 and $30, respectively (amortized cost of $13,394 and $12,757, respectively)(a)	[1]	13,320	12,713
HTM Securities, Fair Value	[2]	2,104	2,181
HTM securities, fair value		2,068	2,136
Interest Receivable		178	313
Derivative assets, net		6	26
Derivative Assets		734	849
Derivative Asset, Netting adjustments	[3]	728	823
Liabilities
Mandatorily redeemable capital stock		95	5		$ 7	$ 3
Accrued interest payable		508	326
Derivative liabilities, net		11	2
Derivative Liabilities		1,023	1,195
Derivative Liability, Netting adjustments	[3]	(1,012)	(1,193)
Carrying Value(1)
Assets
Cash and due from banks		17	9
Interest-bearing deposits		3,760	3,677
Securities purchased under agreements to resell		11,100	7,000
Federal funds sold		9,427	4,719
Trading securities		1	1
Available-for-sale (AFS) securities, net of allowance for credit losses of $28 and $30, respectively (amortized cost of $13,394 and $12,757, respectively)(a)		13,320	12,713
HTM securities, Carrying Value		(2,104)
HTM Securities, Fair Value			2,181
Advances		101,541	89,400
Mortgage loans held for portfolio		801	815
Interest Receivable		178	313
Derivative assets, net	[4]	6	26
Other assets	[5]	16	15
Liabilities
Deposits		1,022	989
Total consolidated obligations		132,390	111,697
Mandatorily redeemable capital stock		95	5
Accrued interest payable		508	326
Derivative liabilities, net	[4]	11	2
Estimated Fair Value
Assets
Cash and due from banks		17	9
Interest-bearing deposits		3,760	3,677
Securities purchased under agreements to resell		11,100	7,000
Federal funds sold		9,427	4,719
Trading securities		1	1
Available-for-sale (AFS) securities, net of allowance for credit losses of $28 and $30, respectively (amortized cost of $13,394 and $12,757, respectively)(a)		13,320	12,713
HTM securities, fair value		2,068	2,136
Advances		101,354	89,183
Mortgage loans held for portfolio		689	695
Interest Receivable		178	313
Derivative assets, net	[4]	6	26
Other assets	[5]	16	15
Liabilities
Deposits		1,022	989
Total consolidated obligations		132,059	111,312
Mandatorily redeemable capital stock		95	5
Accrued interest payable		508	326
Derivative liabilities, net	[4]	11	2
Level 1
Assets
Cash and due from banks		17	9
Interest-bearing deposits		3,760	3,677
Securities purchased under agreements to resell		0	0
Federal funds sold		0	0
Trading securities		0	0
Available-for-sale (AFS) securities, net of allowance for credit losses of $28 and $30, respectively (amortized cost of $13,394 and $12,757, respectively)(a)		0	0
HTM securities, fair value		0	0
Advances		0	0
Mortgage loans held for portfolio		0	0
Interest Receivable		0	0
Derivative Assets		0	0	[4]
Other assets	[5]	16	15
Liabilities
Deposits		0	0
Total consolidated obligations		0	0
Mandatorily redeemable capital stock		95	5
Accrued interest payable		0	0
Derivative Liabilities		0	0	[4]
Level 2
Assets
Cash and due from banks		0	0
Interest-bearing deposits		0	0
Securities purchased under agreements to resell		11,100	7,000
Federal funds sold		9,427	4,719
Trading securities		1	1
Available-for-sale (AFS) securities, net of allowance for credit losses of $28 and $30, respectively (amortized cost of $13,394 and $12,757, respectively)(a)		12,170	11,531
HTM securities, fair value		1,932	1,993
Advances		101,354	89,183
Mortgage loans held for portfolio		689	695
Interest Receivable		178	313
Derivative Assets	[4]	734	849
Derivative Asset, Netting adjustments	[4]	(728)	(823)
Other assets	[5]	0	0
Liabilities
Deposits		1,022	989
Total consolidated obligations		132,059	111,312
Mandatorily redeemable capital stock		0	0
Accrued interest payable		508	326
Derivative Liabilities	[4]	1,023	1,195
Derivative Liability, Netting adjustments	[4]	(1,012)	(1,193)
Level 3
Assets
Cash and due from banks		0	0
Interest-bearing deposits		0	0
Securities purchased under agreements to resell		0	0
Federal funds sold		0	0
Trading securities		0	0
Available-for-sale (AFS) securities, net of allowance for credit losses of $28 and $30, respectively (amortized cost of $13,394 and $12,757, respectively)(a)		1,150	1,182
HTM securities, fair value		136	143
Advances		0	0
Mortgage loans held for portfolio		0	0
Interest Receivable		0	0
Derivative Assets		0	0	[4]
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 Liabilities		0	0	[4]
Discount notes | Carrying Value(1)
Liabilities
Discount notes		37,356	35,929
Discount notes | Estimated Fair Value
Liabilities
Discount notes		37,355	35,916
Discount notes | Level 1
Liabilities
Discount notes		0	0
Discount notes | Level 2
Liabilities
Discount notes		37,355	35,916
Discount notes | Level 3
Liabilities
Discount notes		0	0
Bonds
Liabilities
Bonds		782	2,226
Bonds | Carrying Value(1)
Liabilities
Bonds		95,034	75,768
Bonds | Estimated Fair Value
Liabilities
Bonds		94,704	75,396
Bonds | Level 1
Liabilities
Bonds		0	0
Bonds | Level 2
Liabilities
Bonds		94,704	75,396
Bonds | Level 3
Liabilities
Bonds		$ 0	$ 0

[1] At March 31, 2023, and December 31, 2022, $864 million and $435 million, respectively, of these securities were pledged as collateral that may be repledged.

[2] Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and net charge-offs, and excludes accrued interest receivable of $6 million and $5 million at March 31, 2023, and December 31, 2022, respectively.

[3] Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral, including accrued interest, held or placed with the same clearing agents or counterparty. Cash collateral posted, including accrued interest, was $585 million and $694 million at March 31, 2023, and December 31, 2022, respectively. Cash collateral received, including accrued interest, was $300 million and $324 million at March 31, 2023, and December 31, 2022, respectively.

[4] Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed with the same clearing agents or counterparty.

[5] Represents publicly traded mutual funds held in a grantor trust.

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Fair Value (Fair Value Measured on Recurring and Nonrecurring Basis) (Details) - USD ($) $ in Millions		Mar. 31, 2023	Dec. 31, 2022
MBS – Other U.S. obligations | Fair Value, Measurements, Recurring | Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		$ 0	$ 0
MBS – Other U.S. obligations | Fair Value, Measurements, Recurring | Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		1	1
MBS – Other U.S. obligations | Fair Value, Measurements, Recurring | Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0	0
MBS – Other U.S. obligations | Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		1	1
US Treasury Securities | Fair Value, Measurements, Recurring | Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair Value of AFS Securities		0	0
US Treasury Securities | Fair Value, Measurements, Recurring | Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair Value of AFS Securities		4,078	4,024
US Treasury Securities | Fair Value, Measurements, Recurring | Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair Value of AFS Securities		0	0
US Treasury Securities | Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair Value of AFS Securities		4,078	4,024
MBS - GSEs
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		1	1
Residential Mortgage Backed Securities | Fair Value, Measurements, Recurring | Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair Value of AFS Securities		0	0
Residential Mortgage Backed Securities | Fair Value, Measurements, Recurring | Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair Value of AFS Securities		8,092	7,507
Residential Mortgage Backed Securities | Fair Value, Measurements, Recurring | Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair Value of AFS Securities		1,150	1,182
Residential Mortgage Backed Securities | Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair Value of AFS Securities		9,242	8,689
Subtotal PLRMBS | Fair Value, Measurements, Recurring | Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair Value of AFS Securities		0	0
Subtotal PLRMBS | Fair Value, Measurements, Recurring | Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair Value of AFS Securities		0	0
Subtotal PLRMBS | Fair Value, Measurements, Recurring | Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair Value of AFS Securities		1,150	1,182
Subtotal PLRMBS | Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair Value of AFS Securities		1,150	1,182
Fair value of advances under the fair value option	[1]	2,392	2,059
Derivative Asset, Netting adjustments	[2]	728	823
Derivative assets, net		6	26
Derivative Liability, Netting adjustments	[2]	(1,012)	(1,193)
Derivative liabilities, net		11	2
Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0	0
Other assets	[3]	16	15
Mortgage loans held for portfolio		0	0
Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		1	1
Derivative Asset, Netting adjustments	[4]	(728)	(823)
Other assets	[3]	0	0
Derivative Liability, Netting adjustments	[4]	(1,012)	(1,193)
Mortgage loans held for portfolio		689	695
Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0	0
Other assets	[3]	0	0
Mortgage loans held for portfolio		0	0
Fair Value, Measurements, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair value of advances under the fair value option	[5]	2,392	2,059
Derivative Asset, Netting adjustments	[6]	(728)	(823)
Derivative Liability, Netting adjustments	[6]	(1,012)	(1,193)
Fair Value, Measurements, Recurring | Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair Value of AFS Securities		0	0
Fair value of advances under the fair value option	[5]	0	0
Other assets		16	15
Total fair value measurements – Assets		16	15
Total recurring fair value measurements – Liabilities		0	0
Fair Value, Measurements, Recurring | Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair Value of AFS Securities		12,170	11,531
Fair value of advances under the fair value option	[5]	2,392	2,059
Other assets		0	0
Total fair value measurements – Assets		15,297	14,440
Total recurring fair value measurements – Liabilities		1,805	3,421
Fair Value, Measurements, Recurring | Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair Value of AFS Securities		1,150	1,182
Fair value of advances under the fair value option	[5]	0	0
Other assets		0	0
Total fair value measurements – Assets		1,150	1,182
Total recurring fair value measurements – Liabilities		0	0
Fair Value, Measurements, Nonrecurring | Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Total fair value measurements – Assets	[7]	0	0
Mortgage loans held for portfolio		0	0	[7]
Fair Value, Measurements, Nonrecurring | Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Total fair value measurements – Assets	[7]	0	0
Mortgage loans held for portfolio		0	0	[7]
Fair Value, Measurements, Nonrecurring | Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Total fair value measurements – Assets	[7]	16	20
Mortgage loans held for portfolio	[7]	16	20
Consolidated obligation bonds
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Bonds		782	2,226
Consolidated obligation bonds | Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Bonds		0	0
Consolidated obligation bonds | Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Bonds		94,704	75,396
Consolidated obligation bonds | Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Bonds		0	0
Consolidated obligation bonds | Fair Value, Measurements, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Bonds	[8]	782	2,226
Consolidated obligation bonds | Fair Value, Measurements, Recurring | Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Bonds	[8]	0	0
Consolidated obligation bonds | Fair Value, Measurements, Recurring | Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Bonds	[8]	782	2,226
Consolidated obligation bonds | Fair Value, Measurements, Recurring | Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Bonds	[8]	0	0
Estimate of Fair Value Measurement
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		1	1
Derivative assets, net	[4]	6	26
Other assets	[3]	16	15
Derivative liabilities, net	[4]	11	2
Mortgage loans held for portfolio		689	695
Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair Value of AFS Securities		13,320	12,713
Other assets		16	15
Total fair value measurements – Assets		15,735	14,814
Total recurring fair value measurements – Liabilities		793	2,228
Estimate of Fair Value Measurement | Fair Value, Measurements, Nonrecurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Total fair value measurements – Assets	[7]	16	20
Mortgage loans held for portfolio	[7]	16	20
Estimate of Fair Value Measurement | Consolidated obligation bonds
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Bonds		94,704	75,396
Interest rate swaps | Fair Value, Measurements, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative Asset, Netting adjustments	[6]	(728)	(823)
Derivative Liability, Netting adjustments	[6]	(1,012)	(1,193)
Interest rate swaps | Fair Value, Measurements, Recurring | Level 1
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 | Fair Value, Measurements, Recurring | Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets, net		734	849
Derivative liabilities, net		1,023	1,195
Interest rate swaps | Fair Value, Measurements, Recurring | Level 3
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 | Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets, net		6	26
Derivative liabilities, net		11	2
Multifamily [Member] | MBS - GSEs | Fair Value, Measurements, Recurring | Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair Value of AFS Securities		0	0
Multifamily [Member] | MBS - GSEs | Fair Value, Measurements, Recurring | Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair Value of AFS Securities		8,092	7,507
Multifamily [Member] | MBS - GSEs | Fair Value, Measurements, Recurring | Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair Value of AFS Securities		0	0
Multifamily [Member] | MBS - GSEs | Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair Value of AFS Securities		$ 8,092	$ 7,507

[1] At March 31, 2023, and December 31, 2022, none of these advances were 90 days or more past due or had been placed on nonaccrual status.

[2] Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral, including accrued interest, held or placed with the same clearing agents or counterparty. Cash collateral posted, including accrued interest, was $585 million and $694 million at March 31, 2023, and December 31, 2022, respectively. Cash collateral received, including accrued interest, was $300 million and $324 million at March 31, 2023, and December 31, 2022, respectively.

[3] Represents publicly traded mutual funds held in a grantor trust.

[4] Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed with the same clearing agents or counterparty.

[5] Represents advances recorded under the fair value option at March 31, 2023, and December 31, 2022.

[6] Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed by the Bank, with the same clearing agents or counterparty

[7] The fair value information presented is as of the date the fair value adjustment was recorded during the three months ended March 31, 2023

[8] Represents consolidated obligation bonds recorded under the fair value option at March 31, 2023. and December 31, 2022

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Fair Value (Level 3) (Details) - Subtotal PLRMBS - Fair Value, Measurements, Recurring - Level 3 - Available-for-sale Securities - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2023	Mar. 31, 2022
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Balance, beginning of the period	$ 1,182	$ 1,608
Interest income	11	14
Provision for Credit Losses	1	3
Other income/(loss)	0	28
Unrealized gain/(loss) included in AOCI	(11)	(33)
Settlements	(33)	(177)
Transfers of HTM to AFS	0	16
Balance, end of the period	1,150	1,459
Total amount of gain/(loss) for the period included in earnings attributable to the change in unrealized gains/losses relating to assets held at the end of the period	12	17
Fair Value, Asset, Recurring Basis, Still Held, Unrealized Gain (Loss), OCI	$ (11)	$ (33)

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Fair Value (Fair Value Option) (Details) - USD ($) $ in Millions		3 Months Ended
		Mar. 31, 2023	Mar. 31, 2022
Fair Value, Option, Quantitative Disclosures [Line Items]
Balance, beginning of the period	[1]	$ 2,059
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option		1	$ (21)
Balance, end of the period	[1]	2,392
Advances
Fair Value, Option, Quantitative Disclosures [Line Items]
Balance, beginning of the period		2,059	1,772
New transactions elected for fair value option		550	10
Maturities and terminations		(238)	(144)
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option		18	(49)
Change in accrued interest		3	0
Balance, end of the period		2,392	1,589
Consolidated obligation bonds
Fair Value, Option, Quantitative Disclosures [Line Items]
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option		17	(28)
Balance, beginning of the period		2,226	627
New transactions elected for fair value option		30	1,325
Maturities and terminations		(1,485)	0
Change in accrued interest		(6)	0
Balance, end of the period		$ 782	$ 1,924

[1] At March 31, 2023, and December 31, 2022, 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, 2023	Dec. 31, 2022	Mar. 31, 2022	Dec. 31, 2021
Fair Value, Option, Quantitative Disclosures [Line Items]
Fair Value Option, Principal Balance, Advances	[1]	$ 2,417	$ 2,106
Fair Value of advances under the fair value option	[1]	2,392	2,059
Fair Value Over/(Under) Principal Balance, Advances	[1]	(25)	(47)
Consolidated obligation bonds
Fair Value, Option, Quantitative Disclosures [Line Items]
Fair Value Option, Principal Balance, CO Bonds		823	2,278
Fair value of bonds under the fair value option		782	2,226
Fair Value Over/(Under) Principal Balance, CO Bonds		(41)	(52)
Advances
Fair Value, Option, Quantitative Disclosures [Line Items]
Fair Value of advances under the fair value option		2,392	2,059	$ 1,589	$ 1,772
Consolidated obligation bonds
Fair Value, Option, Quantitative Disclosures [Line Items]
Fair value of bonds under the fair value option		$ 782	$ 2,226	$ 1,924	$ 627

[1] At March 31, 2023, and December 31, 2022, 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	Mar. 31, 2023	Dec. 31, 2022
Loss Contingencies [Line Items]
Obligation with Joint and Several Liability Arrangement, Amount Outstanding	$ 1,500,000	$ 1,200,000
Other Liabilities	272	203
Total consolidated obligations, par value	133,622	113,066
Assets Pledged As Collateral	1,400	1,100
Derivative, Collateral, Right to Reclaim Cash	585	694
Available-for-sale securities pledged as collateral that may be repledged	864	435
Standby letters of credit outstanding | Carrying Value(1)
Loss Contingencies [Line Items]
Other commitments	71
Standby letters of credit outstanding
Loss Contingencies [Line Items]
Expire Within One Year	11,855	16,591
Expire After One Year	10,483	6,049
Total	22,338	22,640
Other Liabilities		34
Commitments to issue consolidated obligation discount notes, par
Loss Contingencies [Line Items]
Expire Within One Year	0	300
Expire After One Year	0	0
Total	0	300
Commitments to issue consolidated obligation bonds, par
Loss Contingencies [Line Items]
Expire Within One Year	0	2,385
Expire After One Year	0	0
Total	0	2,385
Guarantee of Indebtedness of Others
Loss Contingencies [Line Items]
Total consolidated obligations, par value	$ 133,600	$ 113,100

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Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2023	Mar. 31, 2022	Dec. 31, 2022
Related Party Transaction [Line Items]
Payments to Extend Overnight Loans to Other FHLBanks	$ 1,300	$ 700
Proceeds from Other FHLBank Borrowings	3,600	20
Interest Expense, Loans from Other Federal Home Loan Banks	(1)
Assets:
Advances	101,541		$ 89,400
Mortgage loans held for portfolio	801		815
Accrued interest receivable	178		313
Liabilities:
Deposits	1,022		989
Capital [Abstract]
Capital Stock	4,007		3,758
Interest Income:
Advances	1,163	39
Mortgage loans held for portfolio	7	17
Transaction with Member Officer or Director
Assets:
Advances	8,575		7,269
Mortgage loans held for portfolio	79		80
Accrued interest receivable	8		9
Liabilities:
Deposits	18		11
Capital [Abstract]
Capital Stock	260		$ 215
Interest Income:
Advances	69	13
Mortgage loans held for portfolio	$ 1	$ 0

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Subsequent Events Narrative (Details) - USD ($) $ in Millions	May 01, 2023	Mar. 31, 2023	Dec. 31, 2022
Subsequent Event [Line Items]
Advances		$ 101,541.0	$ 89,400.0
Capital Stock Outstanding		4,102.0	3,763.0
First Republic Bank
Subsequent Event [Line Items]
Capital Stock Outstanding		759.0	$ 379.0
Federal Home Loan Bank, Letters of Credit Outstanding		$ 161.9
Subsequent Event | First Republic Bank
Subsequent Event [Line Items]
Federal Home Loan Bank, Letters of Credit Outstanding	$ 179.1
Subsequent Event | First Republic Bank | JPMorgan Chase
Subsequent Event [Line Items]
Advances	28,100.0
Capital Stock Outstanding	$ 759.0