10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

____________________________________

FORM 10-Q

____________________________________

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

For the quarterly period ended September 30, 2012

OR

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

Commission File Number: 000-51398

FEDERAL HOME LOAN BANK OF SAN FRANCISCO

(Exact name of registrant as specified in its charter)

____________________________________

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

(415) 616-1000

(Registrant's telephone number, including area code)

____________________________________

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing for the past 90 days.    x  Yes    o  No

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

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

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

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

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

	Shares Outstanding as of October 31, 2012
Class B Stock, par value $100	92,203,459

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 (Unaudited)	3
	Statements of Capital (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	60
	Quarterly Overview	61
	Financial Highlights	63
	Results of Operations	64
	Financial Condition	77
	Liquidity and Capital Resources	88
	Risk Management	90
	Critical Accounting Policies and Estimates	109
	Recently Issued Accounting Standards and Interpretations	109
	Recent Developments	109
	Off-Balance Sheet Arrangements, Guarantees, and Other Commitments	112
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	113
Item 4.	Controls and Procedures	119
PART II.	OTHER INFORMATION
Item 1.	Legal Proceedings	120
Item 1A.	Risk Factors	121
Item 6.	Exhibits	121
Signatures		122

i

PART I. FINANCIAL INFORMATION

ITEM 1.        FINANCIAL STATEMENTS

Federal Home Loan Bank of San Francisco

Statements of Condition

(Unaudited)

(In millions-except par value)	September 30, 2012			December 31, 2011
Assets:
Cash and due from banks	$	2		$	3,494
Securities purchased under agreements to resell	3,000			—
Federal funds sold	7,427			5,366
Trading securities(a)	3,540			2,808
Available-for-sale securities(a)	7,969			9,613
Held-to-maturity securities (fair values were $18,599 and $21,414, respectively)(b)	18,421			21,581
Advances (includes $7,385 and $8,684 at fair value under the fair value option, respectively)	51,825			68,164
Mortgage loans held for portfolio, net of allowance for credit losses of $4 and $6, respectively	1,411			1,829
Accrued interest receivable	130			180
Premises, software, and equipment, net	26			30
Derivative assets, net	345			400
Other assets	93			87
Total Assets	$	94,189		$	113,552
Liabilities:
Deposits	$	179		$	156
Consolidated obligations:
Bonds (includes $28,972 and $15,712 at fair value under the fair value option, respectively)	73,371			83,350
Discount notes	9,728			19,152
Total consolidated obligations	83,099			102,502
Mandatorily redeemable capital stock	4,770			5,578
Accrued interest payable	260			241
Affordable Housing Program payable	147			150
Derivative liabilities, net	62			73
Other liabilities	92			147
Total Liabilities	88,609			108,847
Commitments and Contingencies (Note 17)
Capital:
Capital stock—Class B—Putable ($100 par value) issued and outstanding:
45 shares and 48 shares, respectively	4,464			4,795
Unrestricted retained earnings	204			—
Restricted retained earnings	1,979			1,803
Total Retained Earnings	2,183			1,803
Accumulated other comprehensive income/(loss)	(1,067		)	(1,893		)
Total Capital	5,580			4,705
Total Liabilities and Capital	$	94,189		$	113,552

(a) At September 30, 2012, and December 31, 2011, none of these securities were pledged as collateral that may be repledged.

(b) Includes $20 at September 30, 2012, and $33 at December 31, 2011, 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)

	For the Three Months Ended September 30,						For the Nine Months Ended September 30,
(In millions)	2012			2011			2012			2011
Interest Income:
Advances	$	124		$	165		$	414		$	527
Prepayment fees on advances, net	18			2			41			12
Securities purchased under agreements to resell	2			—			3			—
Federal funds sold	3			5			9			19
Trading securities	6			7			19			19
Available-for-sale securities	77			81			243			154
Held-to-maturity securities	123			153			371			546
Mortgage loans held for portfolio	18			31			60			87
Total Interest Income	371			444			1,160			1,364
Interest Expense:
Consolidated obligations:
Bonds	141			166			445			540
Discount notes	5			8			18			28
Mandatorily redeemable capital stock	6			2			20			8
Total Interest Expense	152			176			483			576
Net Interest Income	219			268			677			788
Provision for/(reversal of) credit losses on mortgage loans	—			—			(1		)	3
Net Interest Income After Mortgage Loan Loss Provision	219			268			678			785
Other Income/(Loss):
Net gain/(loss) on trading securities	(5		)	(3		)	(10		)	(4		)
Total other-than-temporary impairment (OTTI) loss	(17		)	(138		)	(46		)	(342		)
Net amount of OTTI loss reclassified to/(from) accumulated other comprehensive income/(loss)	13			37			12			(31		)
Net OTTI loss, credit-related	(4		)	(101		)	(34		)	(373		)
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option	6			72			6			52
Net gain/(loss) on derivatives and hedging activities	(33		)	(165		)	(103		)	(236		)
Other	2			—			5			3
Total Other Income/(Loss)	(34		)	(197		)	(136		)	(558		)
Other Expense:
Compensation and benefits	16			17			48			49
Other operating expense	12			9			35			30
Federal Housing Finance Agency	3			1			10			6
Office of Finance	1			2			4			5
Other	1			2			2			3
Total Other Expense	33			31			99			93
Income/(Loss) Before Assessments	152			40			443			134
REFCORP	—			—			—			17
Affordable Housing Program	15			4			46			12
Total Assessments	15			4			46			29
Net Income/(Loss)	$	137		$	36		$	397		$	105

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

2

Federal Home Loan Bank of San Francisco

Statements of Comprehensive Income

(Unaudited)

	For the Three Months Ended September 30,						For the Nine Months Ended September 30,
(In millions)	2012			2011			2012			2011
Net Income/(Loss)	$	137		$	36		$	397		$	105
Other Comprehensive Income/(Loss):
Net unrealized gain/(loss) on available-for-sale securities	—			—			(1		)	2
Net non-credit-related OTTI loss on available-for-sale securities:
Non-credit-related OTTI loss transferred from held-to-maturity securities	(15		)	(147		)	(28		)	(2,648		)
Net change in fair value of other-than-temporarily impaired securities	512			(53		)	832			875
Reclassification of non-credit-related OTTI loss included in net income/(loss)	2			19			13			68
Total net non-credit-related OTTI loss on available-for-sale securities	499			(181		)	817			(1,705		)
Net non-credit-related OTTI loss on held-to-maturity securities:
Non-credit-related OTTI loss	(15		)	(57		)	(25		)	(193		)
Reclassification of non-credit-related OTTI loss included in net income/(loss)	—			1			—			156
Accretion of non-credit-related OTTI loss	2			10			7			263
Non-credit-related OTTI loss transferred to available-for-sale securities	15			147			28			2,648
Total net non-credit-related OTTI loss on held-to-maturity securities	2			101			10			2,874
Total other comprehensive income/(loss)	501			(80		)	826			1,171
Total Comprehensive Income/(Loss)	$	638		$	(44	)	$	1,223		$	1,276

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								Accumulated Other Comprehensive			Total Capital
(In millions)	Shares		Par Value			Restricted		Unrestricted			Total			Income/(Loss)
Balance, December 31, 2010	83		$	8,282		$	1,609	$	—		$	1,609		$	(2,943	)	$	6,948
Issuance of capital stock	2		182														182
Repurchase/redemption of capital stock	(9	)	(844		)												(844		)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net	(27	)	(2,686		)												(2,686		)
Comprehensive income/(loss)						86		19			105			1,171			1,276
Cash dividends paid on capital stock (0.29%)						—		(19		)	(19		)				(19		)
Balance, September 30, 2011	49		$	4,934		$	1,695	$	—		$	1,695		$	(1,772	)	$	4,857
Balance, December 31, 2011	48		$	4,795		$	1,803	$	—		$	1,803		$	(1,893	)	$	4,705
Issuance of capital stock	2		232														232
Repurchase/redemption of capital stock	(5	)	(555		)												(555		)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net	—		(8		)												(8		)
Comprehensive income/(loss)						176		221			397			826			1,223
Cash dividends paid on capital stock (0.49%)						—		(17		)	(17		)				(17		)
Balance, September 30, 2012	45		$	4,464		$	1,979	$	204		$	2,183		$	(1,067	)	$	5,580

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

4

Federal Home Loan Bank of San Francisco

Statements of Cash Flows

(Unaudited)

	For the Nine Months Ended September 30,
(In millions)	2012			2011
Cash Flows from Operating Activities:
Net Income/(Loss)	$	397		$	105
Adjustments to reconcile net income/(loss) to net cash provided by operating activities:
Depreciation and amortization	(19		)	(65		)
Provision for/(reversal of) credit losses on mortgage loans	(1		)	3
Change in net fair value adjustment on trading securities	10			4
Change in net fair value adjustment on advances and consolidated obligation bonds held under fair value option	(6		)	(52		)
Change in net derivatives and hedging activities	(31		)	65
Net OTTI loss, credit-related	34			373
Net change in:
Accrued interest receivable	57			96
Other assets	(4		)	29
Accrued interest payable	18			(33		)
Other liabilities	(2		)	(82		)
Total adjustments	56			338
Net cash provided by/(used in) operating activities	453			443
Cash Flows from Investing Activities:
Net change in:
Interest-bearing deposits	45			—
Securities purchased under agreements to resell	(3,000		)	—
Federal funds sold	(2,061		)	5,981
Premises, software, and equipment	(4		)	(9		)
Trading securities:
Proceeds from maturities of long-term	1,310			4
Purchases of long-term	(2,052		)	(1,033		)
Available-for-sale securities:
Proceeds from maturities of long-term	2,575			525
Held-to-maturity securities:
Net (increase)/decrease in short-term	3,631			5,737
Proceeds from maturities of long-term	3,137			3,598
Purchases of long-term	(3,821		)	(5,921		)
Advances:
Principal collected	291,699			188,884
Made to members	(275,426		)	(171,647		)
Mortgage loans held for portfolio:
Principal collected	418			394
Proceeds from sales of foreclosed assets	2			—
Net cash provided by/(used in) investing activities	16,453			26,513

5

Federal Home Loan Bank of San Francisco

Statements of Cash Flows (continued)

(Unaudited)

	For the Nine Months Ended September 30,
(In millions)	2012			2011
Cash Flows from Financing Activities:
Net change in:
Deposits	(75		)	124
Net (payments)/proceeds on derivatives contracts with financing elements	47			59
Net proceeds from issuance of consolidated obligations:
Bonds	47,680			48,439
Discount notes	30,964			44,866
Bonds transferred from another Federal Home Loan Bank	—			15
Payments for matured and retired consolidated obligations:
Bonds	(57,473		)	(70,304		)
Discount notes	(40,385		)	(47,001		)
Proceeds from issuance of capital stock	232			182
Payments for repurchase/redemption of mandatorily redeemable capital stock	(816		)	(582		)
Payments for repurchase/redemption of capital stock	(555		)	(844		)
Cash dividends paid	(17		)	(19		)
Net cash provided by/(used in) financing activities	(20,398		)	(25,065		)
Net increase/(decrease) in cash and due from banks	(3,492		)	1,891
Cash and due from banks at beginning of the period	3,494			755
Cash and due from banks at end of the period	$	2		$	2,646
Supplemental Disclosures:
Interest paid	$	471		$	591
Affordable Housing Program payments	49			31
REFCORP payments	—			54
Supplemental Disclosures of Noncash Investing Activities:
Transfers of mortgage loans to real estate owned	3			5
Transfers of OTTI held-to-maturity securities to available-for-sale securities	134			7,788

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

6

Federal Home Loan Bank of San Francisco

Notes to Financial Statements

(Unaudited)

(Dollars in millions except per share amounts)

Note 1 — Summary of 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 normal recurring nature, unless otherwise disclosed. The results of operations in these interim statements are not necessarily indicative of the results to be expected for any subsequent period or for the entire year ending December 31, 2012. 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, 2011 (2011 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 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. The most significant of these estimates include the determination of other-than-temporary impairment (OTTI) of securities and fair value of derivatives, certain advances, certain investment securities, and certain consolidated obligations that are reported at fair value in the Statements of Condition. Actual results could differ significantly from these estimates.

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

to determine whether it is the primary beneficiary in any VIE. The Bank evaluated its investments in VIEs as of September 30, 2012, to determine whether it is a primary beneficiary of any of these investments. The primary beneficiary is required to consolidate a VIE. The Bank determined that consolidation accounting is not required because the Bank is not the primary beneficiary of these VIEs as of September 30, 2012. The Bank does not have the power to significantly affect the economic performance of any of these investments because it does not act as a key decision maker nor does it have the unilateral ability to replace a key decision maker. In addition, the Bank does not design, sponsor, transfer, service, or provide credit or liquidity support in any of its investments in VIEs. The Bank's maximum loss exposure for these investments is limited to the carrying value.

Securities Purchased under Agreements to Resell. These investments provide short-term liquidity and are carried at cost. The Bank treats securities purchased under agreements to resell as collateralized financings.

Revision of Certain Items in the Statements of Cash Flows Resulting from Errors. For purposes of these unaudited financial statements, the Bank reclassified and revised certain items in the Statements of Cash Flows for the nine months ended September 30, 2011, as shown in the table below. These revisions had no effect on the net change in cash, total assets, net interest income, or net income of the Bank reported for this period. The Bank has evaluated the impact of these adjustments, on a quantitative and qualitative basis, and has concluded that these revisions were not material to any previously issued quarterly financial statements. However, the Bank has elected to revise certain line items in the Statements of Cash Flows for the nine months ended September 30, 2011, in these unaudited financial statements.

7

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	Nine Months Ended September 30, 2011
	As Reported			As Corrected
Change in net derivatives and hedging activities(1)(2)	$	109		$	65
Net change in: Other assets(3)	25			29
Net cash provided by/(used in) operating activities	483			443
Advances: Principal collected(4)	190,048			188,884
Advances: Made to members(1)(4)	(172,822		)	(171,647		)
Mortgage loans held for portfolio: Principal collected(3)	398			394
Net cash provided by/(used in) investing activities	26,506			26,513
Net (payments)/proceeds on derivative contracts with financing elements(2)	26			59
Net cash provided by/(used in) financing activities	(25,098		)	(25,065		)

(1) Misclassification of non-cash deferred basis adjustments on advances made.

(2) Understated the amount of derivatives that contained a financing element.

(3) Misclassified the amount of loans transferred to real estate owned because of the misclassification as principal collected on mortgage loans.

(4) Overstated the amount of principal collected and advances made to members because of the inclusion of modified advances as new advances made to members.

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 2011 Form 10-K. Other changes to these policies as of September 30, 2012, are discussed in Note 2 – Recently Issued and Adopted Accounting Guidance.

Note 2 — Recently Issued and Adopted Accounting Guidance

Disclosures about Offsetting Assets and Liabilities. On December 16, 2011, the Financial Accounting Standards Board (FASB) and the International Accounting Standards Board (IASB) issued common disclosure requirements intended to help investors and other financial statement users better assess the effect or potential effect of offsetting arrangements on a company's financial position, whether a company's financial statements are prepared on the basis of GAAP or International Financial Reporting Standards (IFRS). This guidance will require the Bank to disclose both gross and net information about financial instruments, including derivative instruments, which are either offset on its Statements of Condition or are subject to an enforceable master netting arrangement or similar agreement. This guidance will be effective for the Bank for interim and annual periods beginning on January 1, 2013, and will be applied retrospectively for all comparative periods presented. The adoption of this guidance will result in increased financial statement disclosures, but will not affect the Bank's financial condition, results of operations, or cash flows.

Presentation of Comprehensive Income. On June 16, 2011, the FASB issued guidance to increase the prominence of other comprehensive income in financial statements. This guidance requires an entity that reports items of other comprehensive income to present comprehensive income in either a single financial statement or in two consecutive financial statements. In a single continuous statement, an entity is required to present the components of net income and total net income, the components of other comprehensive income and a total for other comprehensive income, as well as a total for comprehensive income. In a two-statement approach, an entity is required to present the components of net income and total net income in its statement of net income. The statement of other comprehensive income should follow immediately and include the components of other comprehensive income as well as totals for both other comprehensive income and comprehensive income. This guidance eliminated the option to present other comprehensive income in the statement of changes in stockholders' equity. The Bank elected the two-statement approach for interim and annual periods beginning on January 1, 2012, and applied this guidance retrospectively for all periods presented. Early adoption was permitted. The adoption of this guidance was limited to the presentation of certain information contained in the Bank's financial statements and did not affect the Bank's financial condition, results of operations, or cash flows. (See Note 12 – Accumulated Other Comprehensive Income/ (Loss) for additional disclosures required under this amended guidance.)

8

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

On December 23, 2011, the FASB issued guidance to defer the effective date of the new requirement to present reclassifications of items out of accumulated other comprehensive income in the income statement. This deferral became effective for the Bank for interim and annual periods beginning on January 1, 2012, and did not affect the Bank's adoption of the remaining new accounting guidance for the presentation of comprehensive income.

Fair Value Measurements and Disclosures.On May 12, 2011, the FASB and the IASB issued substantially converged guidance on fair value measurement and disclosure requirements. This guidance clarifies how fair value accounting should be applied where its use is already required or permitted by other standards within GAAP or IFRS; these amendments do not require additional fair value measurements. This guidance generally represents clarifications to the application of existing fair value measurement and disclosure requirements, as well as some instances where a particular principle or requirement for measuring fair value or disclosing information about fair value measurements has changed. This guidance became effective for the Bank for interim and annual periods beginning on January 1, 2012, and was applied prospectively. The adoption of this guidance resulted in increased financial statement disclosures, but did not have a material effect on the Bank's financial condition, results of operations, or cash flows. (See Note 16 – Fair Value for additional disclosures required under this amended guidance.)

Reconsideration of Effective Control for Repurchase Agreements. On April 29, 2011, the FASB issued guidance to improve the accounting for repurchase agreements and other agreements that both entitle and obligate a transferor to repurchase or redeem financial assets before their maturity. The new guidance removes from the assessment of effective control: (i) the criterion requiring the transferor to have the ability to repurchase or redeem financial assets before their maturity on the substantially agreed-upon terms, even in the event of the transferee's default, and (ii) the collateral maintenance implementation guidance related to that criterion. The new guidance became effective for interim or annual periods beginning on or after December 15, 2011 (January 1, 2012, for the Bank) and was applied prospectively to transactions or modifications of existing transactions that occurred on or after January 1, 2012. The adoption of this guidance did not have a material effect on the Bank's financial condition, results of operations, or cash flows.

Recently Issued Regulatory Guidance

Framework for Adversely Classifying Loans, Other Real Estate Owned, and Other Assets and Listing Assets for Special Mention.On April 9, 2012, the Federal Housing Finance Agency (Finance Agency) issued Advisory Bulletin 2012-02, Framework for Adversely Classifying Loans, Other Real Estate Owned, and Other Assets and Listing Assets for Special Mention (AB 2012-02). This guidance establishes a standard and uniform methodology for classifying assets, excluding investment securities, and prescribes the timing of asset charge-offs based on these classifications. This guidance is generally consistent with the Uniform Retail Credit Classification and Account Management Policy issued by the federal banking regulators in June 2000. AB 2012-02 was effective upon issuance. The Bank is currently assessing the provisions of AB 2012-02 in coordination with the Finance Agency and therefore has not yet determined when it will implement the guidance. The adoption of the accounting guidance in AB 2012-02 is not expected to have a significant impact on the Bank's financial condition, results of operations, or cash flows.

Note 3 — Trading Securities

The estimated fair value of trading securities as of September 30, 2012, and December 31, 2011, was as follows:

9

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	September 30, 2012		December 31, 2011
Government-sponsored enterprises (GSEs) – Federal Farm Credit Bank (FFCB) bonds	$	2,961	$	1,867
Temporary Liquidity Guarantee Program (TLGP) securities(1)	563		923
Mortgage-backed securities (MBS):
Other U.S. obligations – Ginnie Mae	16		17
GSEs – Fannie Mae	—		1
Total	$	3,540	$	2,808

(1) TLGP securities represent corporate debentures of the issuing party that are guaranteed by the Federal Deposit Insurance Corporation (FDIC) and backed by the full faith and credit of the U.S. government.

Redemption Terms. The estimated fair value of non-mortgage-backed securities (non-MBS) by contractual maturity (based on contractual final principal payment) and of mortgage-backed securities (MBS) as of

September 30, 2012, and December 31, 2011, is shown below. Expected maturities of MBS will differ from contractual maturities because borrowers generally have the right to prepay the underlying obligations without prepayment fees.

Year of Contractual Maturity	September 30, 2012		December 31, 2011
Trading securities other than MBS:
Due in 1 year or less	$	1,472	$	2,556
Due after 1 year through 5 years	2,052		234
Subtotal	3,524		2,790
MBS:
Other U.S. obligations – Ginnie Mae	16		17
GSEs – Fannie Mae	—		1
Total MBS	16		18
Total	$	3,540	$	2,808

Interest Rate Payment Terms. Interest rate payment terms for trading securities at September 30, 2012, and December 31, 2011, are detailed in the following table:

	September 30, 2012		December 31, 2011
Estimated fair value of trading securities other than MBS:
Fixed rate	$	436	$	796
Adjustable rate	3,088		1,994
Subtotal	3,524		2,790
Estimated fair value of trading MBS:
Passthrough securities:
Adjustable rate	16		17
Collateralized mortgage obligations:
Fixed rate	—		1
Subtotal	16		18
Total	$	3,540	$	2,808

At September 30, 2012, and December 31, 2011, all of the fixed rate trading securities were swapped to an adjustable rate, such as the 1-month or 3-month London Interbank Offered Rate (LIBOR). At September 30, 2012, and December 31, 2011, 80% and 81% of the adjustable rate trading securities were swapped to a different adjustable rate index, such as 1-month or 3-month LIBOR.

10

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

The net unrealized gain/(loss) on trading securities was $(5) and $(3) for the three months ended September 30, 2012 and 2011, respectively. The net unrealized gain/(loss) on trading securities was $(10) and $(4) for the nine months ended September 30, 2012 and 2011, respectively. These amounts represent the changes in the fair value of the securities during the reported periods.

Note 4 — Available-for-Sale Securities

Available-for-sale securities by major security type as of September 30, 2012, and December 31, 2011, were as follows:

September 30, 2012
	Amortized Cost(1)		OTTI Recognized in Accumulated Other Comprehensive Income/(Loss)(AOCI)			Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value
TLGP securities	$	306	$	—		$	—	$	—		$	306
PLRMBS:
Prime	871		(65		)	6		(2		)	810
Alt-A, option ARM	1,270		(283		)	3		—			990
Alt-A, other	6,541		(696		)	25		(7		)	5,863
Total PLRMBS	8,682		(1,044		)	34		(9		)	7,663
Total	$	8,988	$	(1,044	)	$	34	$	(9	)	$	7,969
December 31, 2011
	Amortized Cost(1)		OTTI Recognized in AOCI			Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value
TLGP securities	$	1,924	$	—		$	2	$	—		$	1,926
PLRMBS:
Prime	977		(132		)	—		(13		)	832
Alt-A, option ARM	1,413		(410		)	2		(36		)	969
Alt-A, other	7,133		(1,117		)	—		(130		)	5,886
Total PLRMBS	9,523		(1,659		)	2		(179		)	7,687
Total	$	11,447	$	(1,659	)	$	4	$	(179	)	$	9,613

(1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous other-than-temporary impairments recognized in earnings.

Securities Transferred. Beginning in the first quarter of 2011, the Bank elected to transfer any PLRMBS that incurred a credit-related OTTI charge during the applicable period from the Bank's held-to-maturity to its available-for-sale portfolio at their fair values. These transfers allow the Bank the option to divest these securities prior to maturity in response to changes in interest rates, changes in prepayment risk, or other factors, while acknowledging its intent to hold these securities for an indefinite period of time. For additional information on the transferred securities, see Note 6 – Other-Than-Temporary Impairment Analysis.

The following table summarizes the available-for-sale securities with unrealized losses as of September 30, 2012, and December 31, 2011. The unrealized losses are aggregated by major security type and the length of time that individual securities have been in a continuous unrealized loss position. Total unrealized losses in the following table will not agree to the total gross unrealized losses in the table above. The unrealized losses in the following

11

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

table also include non-credit-related OTTI losses recognized in accumulated other comprehensive income/loss (AOCI) net of subsequent unrealized gains, up to the amount of non-credit-related OTTI in AOCI. For OTTI analysis of available-for-sale securities, see Note 6 – Other-Than-Temporary Impairment Analysis.

September 30, 2012
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
PLRMBS:
Prime	$	54	$	2	$	616	$	65	$	670	$	67
Alt-A, option ARM	—		—		956		283		956		283
Alt-A, other	43		—		4,935		703		4,978		703
Total PLRMBS	97		2		6,507		1,051		6,604		1,053
Total	$	97	$	2	$	6,507	$	1,051	$	6,604	$	1,053
December 31, 2011
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
TLGP securities	$	274	$	—	$	—	$	—	$	274	$	—
PLRMBS:
Prime	96		2		736		143		832		145
Alt-A, option ARM	—		—		950		446		950		446
Alt-A, other	240		10		5,634		1,237		5,874		1,247
Total PLRMBS	336		12		7,320		1,826		7,656		1,838
Total	$	610	$	12	$	7,320	$	1,826	$	7,930	$	1,838

As indicated in the tables above, the Bank's investments classified as available-for-sale had gross unrealized losses primarily related to PLRMBS. The gross unrealized losses associated with the PLRMBS were primarily due to illiquidity in the MBS market, uncertainty about the future condition of the housing and mortgage markets and the economy, and market expectations of the credit performance of loan collateral underlying these securities, which caused these assets to be valued at significant discounts to their acquisition cost.

Redemption Terms. The amortized cost and estimated fair value of non-MBS securities by contractual maturity (based on contractual final principal payment) and of PLRMBS as of September 30, 2012, and December 31, 2011, are shown below. Expected maturities of PLRMBS will differ from contractual maturities because borrowers generally have the right to prepay the underlying obligations without prepayment fees.

	September 30, 2012				December 31, 2011
Year of Contractual Maturity	Amortized Cost		Estimated Fair Value		Amortized Cost		Estimated Fair Value
Available-for-sale securities other than PLRMBS:
Due in 1 year or less	$	306	$	306	$	1,924	$	1,926
PLRMBS:
Prime	871		810		977		832
Alt-A, option ARM	1,270		990		1,413		969
Alt-A, other	6,541		5,863		7,133		5,886
Total PLRMBS	8,682		7,663		9,523		7,687
Total	$	8,988	$	7,969	$	11,447	$	9,613

12

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

At September 30, 2012, the amortized cost of the Bank's PLRMBS classified as available-for-sale included credit-related OTTI of $1,445 (including interest accretion adjustments of $61). At December 31, 2011, the amortized cost of the Bank's PLRMBS classified as available-for-sale included credit-related OTTI of $1,419 (including interest accretion adjustments of $50).

Interest Rate Payment Terms. Interest rate payment terms for available-for-sale securities at September 30, 2012, and December 31, 2011, are shown in the following table:

	September 30, 2012		December 31, 2011
Amortized cost of available-for-sale securities other than PLRMBS:
Adjustable rate	$	306	$	1,924
Amortized cost of available-for-sale PLRMBS:
Collateralized mortgage obligations:
Fixed rate	3,567		4,542
Adjustable rate	5,115		4,981
Subtotal	8,682		9,523
Total	$	8,988	$	11,447

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

	September 30, 2012		December 31, 2011
Collateralized mortgage obligations:
Converts in 1 year or less	$	424	$	920
Converts after 1 year through 5 years	745		748
Converts after 5 years through 10 years	—		175
Total	$	1,169	$	1,843

Note 5 — Held-to-Maturity Securities

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

13

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

September 30, 2012
	Amortized Cost(1)		OTTI Recognized in AOCI(1)			Carrying Value(1)		Gross Unrecognized Holding Gains(2)		Gross Unrecognized Holding Losses(2)			Estimated Fair Value
Interest-bearing deposits	$	1,000	$	—		$	1,000	$	—	$	—		$	1,000
Commercial paper	710		—			710		—		—			710
Housing finance agency bonds	560		—			560		—		(114		)	446
Subtotal	2,270		—			2,270		—		(114		)	2,156
MBS:
Other U.S. obligations – Ginnie Mae	183		—			183		9		—			192
GSEs:
Freddie Mac	5,061		—			5,061		165		(1		)	5,225
Fannie Mae	7,839		—			7,839		275		(4		)	8,110
Subtotal GSEs	12,900		—			12,900		440		(5		)	13,335
PLRMBS:
Prime	1,848		—			1,848		—		(85		)	1,763
Alt-A, option ARM	42		—			42		—		(11		)	31
Alt-A, other	1,214		(36		)	1,178		20		(76		)	1,122
Subtotal PLRMBS	3,104		(36		)	3,068		20		(172		)	2,916
Total MBS	16,187		(36		)	16,151		469		(177		)	16,443
Total	$	18,457	$	(36	)	$	18,421	$	469	$	(291	)	$	18,599

December 31, 2011
	Amortized Cost(1)		OTTI Recognized in AOCI(1)			Carrying Value(1)		Gross Unrecognized Holding Gains(2)		Gross Unrecognized Holding Losses(2)			Estimated Fair Value
Interest-bearing deposits	$	3,539	$	—		$	3,539	$	—	$	—		$	3,539
Commercial paper	1,800		—			1,800		—		—			1,800
Housing finance agency bonds	646		—			646		—		(136		)	510
Subtotal	5,985		—			5,985		—		(136		)	5,849
MBS:
Other U.S. obligations – Ginnie Mae	217		—			217		9		—			226
GSEs:
Freddie Mac	3,374		—			3,374		133		—			3,507
Fannie Mae	8,314		—			8,314		316		(12		)	8,618
Subtotal GSEs	11,688		—			11,688		449		(12		)	12,125
PLRMBS:
Prime	2,201		—			2,201		1		(249		)	1,953
Alt-A, option ARM	46		—			46		—		(17		)	29
Alt-A, other	1,489		(45		)	1,444		14		(226		)	1,232
Subtotal PLRMBS	3,736		(45		)	3,691		15		(492		)	3,214
Total MBS	15,641		(45		)	15,596		473		(504		)	15,565
Total	$	21,626	$	(45	)	$	21,581	$	473	$	(640	)	$	21,414

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

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

Securities Transferred. Beginning in the first quarter of 2011, the Bank elected to transfer any PLRMBS that incurred a credit-related OTTI charge during the applicable period from the Bank's held-to-maturity portfolio to its

14

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

available-for-sale portfolio at their fair values. These transfers allow the Bank the option to divest these securities prior to maturity in response to changes in interest rates, changes in prepayment risk, or other factors, while acknowledging its intent to hold these securities for an indefinite period of time. For additional information on the transferred securities, see Note 4 – Available-for-Sale Securities and Note 6 – Other-Than-Temporary Impairment Analysis.

The following tables summarize the held-to-maturity securities with unrealized losses as of September 30, 2012, and December 31, 2011. The unrealized losses are aggregated by major security type and the length of time that individual securities have been in a continuous unrealized loss position. Total unrealized losses in the following table will not agree to the total gross unrecognized losses in the table above. The unrealized losses in the following table also include non-credit-related OTTI losses recognized in AOCI. For OTTI analysis of held-to-maturity securities, see Note 6 – Other-Than-Temporary Impairment Analysis.

September 30, 2012
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
Interest-bearing deposits	$	1,000	$	—	$	—	$	—	$	1,000	$	—
Commercial paper	710		—		—		—		710		—
Housing finance agency bonds	—		—		446		114		446		114
Subtotal	1,710		—		446		114		2,156		114
MBS:
Other U.S. obligations – Ginnie Mae	—		—		3		—		3		—
GSEs:
Freddie Mac	291		1		14		—		305		1
Fannie Mae	63		—		256		4		319		4
Subtotal GSEs	354		1		270		4		624		5
PLRMBS:
Prime	90		2		1,547		83		1,637		85
Alt-A, option ARM	—		—		31		11		31		11
Alt-A, other	—		—		1,106		112		1,106		112
Subtotal PLRMBS	90		2		2,684		206		2,774		208
Total MBS	444		3		2,957		210		3,401		213
Total	$	2,154	$	3	$	3,403	$	324	$	5,557	$	327

15

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

December 31, 2011
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
Interest-bearing deposits	$	3,539	$	—	$	—	$	—	$	3,539	$	—
Commercial paper	300		—		—		—		300		—
Housing finance agency bonds	—		—		510		136		510		136
Subtotal	3,839		—		510		136		4,349		136
MBS:
Other U.S. obligations – Ginnie Mae	—		—		4		—		4		—
GSEs:
Freddie Mac	1		—		24		—		25		—
Fannie Mae	223		3		201		9		424		12
Subtotal GSEs	224		3		225		9		449		12
PLRMBS:
Prime	180		5		1,676		244		1,856		249
Alt-A, option ARM	—		—		29		17		29		17
Alt-A, other	—		—		1,206		271		1,206		271
Subtotal PLRMBS	180		5		2,911		532		3,091		537
Total MBS	404		8		3,140		541		3,544		549
Total	$	4,243	$	8	$	3,650	$	677	$	7,893	$	685

As indicated in the tables above, the Bank's investments classified as held-to-maturity had gross unrealized losses primarily related to PLRMBS. The gross unrealized losses associated with the PLRMBS were primarily due to illiquidity in the MBS market, uncertainty about the future condition of the housing and mortgage markets and the economy, and market expectations of the credit performance of the loan collateral underlying these securities, which caused these assets to be valued at significant discounts to their acquisition cost.

Redemption Terms. The amortized cost, carrying value, and estimated fair value of non-MBS securities by contractual maturity (based on contractual final principal payment) and of MBS as of September 30, 2012, and December 31, 2011, are shown below. Expected maturities of MBS will differ from contractual maturities because borrowers generally have the right to prepay the underlying obligations without prepayment fees.

16

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

September 30, 2012
Year of Contractual Maturity	Amortized Cost(1)		Carrying Value(1)		Estimated Fair Value
Held-to-maturity securities other than MBS:
Due in 1 year or less	$	1,710	$	1,710	$	1,710
Due after 1 year through 5 years	19		19		18
Due after 5 years through 10 years	47		47		41
Due after 10 years	494		494		387
Subtotal	2,270		2,270		2,156
MBS:
Other U.S. obligations – Ginnie Mae	183		183		192
GSEs:
Freddie Mac	5,061		5,061		5,225
Fannie Mae	7,839		7,839		8,110
Subtotal GSEs	12,900		12,900		13,335
PLRMBS:
Prime	1,848		1,848		1,763
Alt-A, option ARM	42		42		31
Alt-A, other	1,214		1,178		1,122
Subtotal PLRMBS	3,104		3,068		2,916
Total MBS	16,187		16,151		16,443
Total	$	18,457	$	18,421	$	18,599

December 31, 2011
Year of Contractual Maturity	Amortized Cost(1)		Carrying Value(1)		Estimated Fair Value
Held-to-maturity securities other than MBS:
Due in 1 year or less	$	5,342	$	5,342	$	5,342
Due after 5 years through 10 years	23		23		21
Due after 10 years	620		620		486
Subtotal	5,985		5,985		5,849
MBS:
Other U.S. obligations – Ginnie Mae	217		217		226
GSEs:
Freddie Mac	3,374		3,374		3,507
Fannie Mae	8,314		8,314		8,618
Subtotal GSEs	11,688		11,688		12,125
PLRMBS:
Prime	2,201		2,201		1,953
Alt-A, option ARM	46		46		29
Alt-A, other	1,489		1,444		1,232
Subtotal PLRMBS	3,736		3,691		3,214
Total MBS	15,641		15,596		15,565
Total	$	21,626	$	21,581	$	21,414

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

At September 30, 2012, the amortized cost of the Bank's MBS classified as held-to-maturity included premiums of $78, discounts of $41, and credit-related OTTI of $5 (including interest accretion adjustments of $4). At

17

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

December 31, 2011, the amortized cost of the Bank's MBS classified as held-to-maturity included premiums of $80, discounts of $39, and credit-related OTTI of $5 (including interest accretion adjustments of $4).

Interest Rate Payment Terms. Interest rate payment terms for held-to-maturity securities at September 30, 2012, and December 31, 2011, are detailed in the following table:

	September 30, 2012		December 31, 2011
Amortized cost of held-to-maturity securities other than MBS:
Fixed rate	$	1,710	$	5,339
Adjustable rate	560		646
Subtotal	2,270		5,985
Amortized cost of held-to-maturity MBS:
Passthrough securities:
Fixed rate	1,061		1,778
Adjustable rate	388		158
Collateralized mortgage obligations:
Fixed rate	10,066		8,955
Adjustable rate	4,672		4,750
Subtotal	16,187		15,641
Total	$	18,457	$	21,626

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

	September 30, 2012		December 31, 2011
Passthrough securities:
Converts in 1 year or less	$	198	$	504
Converts after 1 year through 5 years	565		712
Converts after 5 years through 10 years	282		543
Total	$	1,045	$	1,759
Collateralized mortgage obligations:
Converts in 1 year or less	$	155	$	519
Converts after 1 year through 5 years	547		804
Converts after 5 years through 10 years	29		30
Total	$	731	$	1,353

Note 6 — Other-Than-Temporary Impairment Analysis

On a quarterly basis, the Bank evaluates its individual available-for-sale and held-to-maturity investment securities in an unrealized loss position for OTTI. As part of this evaluation, the Bank considers whether it intends to sell each debt security and whether it is more likely than not that it will be required to sell the security before its anticipated recovery of the amortized cost basis. If either of these conditions is met, the Bank recognizes an OTTI charge to earnings equal to the entire difference between the security's amortized cost basis and its fair value at the balance sheet date. For securities in an unrealized loss position that meet neither of these conditions, the Bank considers whether it expects to recover the entire amortized cost basis of the security by comparing its best estimate of the present value of the cash flows expected to be collected from the security with the amortized cost basis of the security. If the Bank's best estimate of the present value of the cash flows expected to be collected is less than the amortized cost basis, the difference is considered the credit loss.

18

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

PLRMBS. To assess whether it expects to recover the entire amortized cost basis of its PLRMBS, the Bank performed a cash flow analysis for all of its PLRMBS as of September 30, 2012, using two third-party models. The first model projects prepayments, default rates, and loss severities based on borrower characteristics and the particular attributes of the loans underlying the Bank's securities, in conjunction with assumptions related primarily to future changes in home prices and interest rates. A significant input to the first model is the forecast of future housing price changes for the relevant states and core-based statistical areas (CBSAs), which are based on an assessment of the individual housing markets. CBSA refers collectively to metropolitan and micropolitan statistical areas as defined by the United States Office of Management and Budget. As currently defined, a CBSA must contain at least one urban area with a population of 10,000 or more people. The Bank's housing price forecast as of September 30, 2012, assumed current-to-trough home price declines ranging from 0% (for those housing markets that are believed to have reached their trough) to 4% over the 3- to 9-month periods beginning July 1, 2012. For the vast majority of markets where further home price declines are anticipated, the declines were projected to range from 1% to 2% over the 3-month period beginning July 1, 2012. Thereafter, home prices were projected to recover using one of five different recovery paths that vary by housing market. The table below presents the ranges of the annualized projected home price recovery rates by month at September 30, 2012.

Months	September 30, 2012
1 - 6	0.0	%	-	2.8%
7 - 18	0.0	%	-	3.0%
19 - 24	1.0	%	-	4.0%
25 - 30	2.0	%	-	4.0%
31 - 42	2.0	%	-	5.0%
43 - 66	2.0	%	-	6.0%
Thereafter	2.3	%	-	5.6%

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

At each quarter end, the Bank compares the present value of the cash flows expected to be collected on its PLRMBS to the amortized cost basis of the securities to determine whether a credit loss exists. For the Bank's variable rate and hybrid PLRMBS, the Bank uses the effective interest rate derived from a variable rate index (for example, one-month LIBOR) plus the contractual spread, plus or minus a fixed spread adjustment when there is an existing discount or premium on the security. As the implied forward curve of the index changes over time, the effective interest rates derived from that index will also change over time. The Bank then uses the effective interest rate for the security prior to impairment for determining the present value of the future estimated cash flows. For all securities, including securities previously identified as other-than-temporarily impaired, the Bank updates its estimate of future estimated cash flows on a quarterly basis.

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

For securities determined to be other-than-temporarily impaired as of September 30, 2012 (that is, securities for

19

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

which the Bank determined that it does not expect to recover the entire amortized cost basis), the following table presents a summary of the significant inputs used in measuring the amount of credit loss recognized in earnings in the third quarter of 2012.

September 30, 2012
	Significant Inputs for Other-Than-Temporarily Impaired PLRMBS												Current
	Prepayment Rates				Default Rates				Loss Severities				Credit Enhancement
Year of Securitization	Weighted Average %	Range %			Weighted Average %	Range %			Weighted Average %	Range %			Weighted Average %	Range %
Prime
2007	9.6	9.6	-	9.6	7.9	7.9	-	7.9	27.7	27.7	-	27.7	20.1	20.1	-	20.1
2006	11.9	11.0	-	12.2	24.0	22.3	-	31.4	44.0	42.8	-	49.2	2.4	0.2	-	2.9
2004 and earlier	13.8	13.8	-	13.8	14.5	14.5	-	14.5	35.6	35.6	-	35.6	5.0	5.0	-	5.0
Total Prime	11.5	9.6	-	13.8	11.6	7.9	-	31.4	32.0	27.7	-	49.2	12.7	0.2	-	20.1
Alt-A, option ARM
2007	1.9	1.9	-	1.9	85.8	85.8	-	85.8	61.1	61.1	-	61.1	35.5	35.5	-	35.5
2005	4.3	4.1	-	4.6	53.7	45.7	-	60.5	40.3	37.3	-	47.0	9.7	5.1	-	18.1
Total Alt-A, option ARM	3.3	1.9	-	4.6	66.9	45.7	-	85.8	48.9	37.3	-	61.1	20.3	5.1	-	35.5
Alt-A, other
2007	5.1	5.1	-	5.1	68.6	68.6	-	68.6	48.8	48.8	-	48.8	40.3	40.3	-	40.3
2006	8.1	7.0	-	8.4	44.8	42.3	-	56.5	48.4	46.2	-	52.2	25.7	0.0	-	33.2
2005	8.8	7.8	-	11.1	29.5	17.4	-	36.2	44.6	35.2	-	48.1	15.5	3.8	-	25.5
2004 and earlier	10.1	9.0	-	12.4	9.0	5.0	-	13.4	25.8	20.5	-	29.2	17.0	14.0	-	25.9
Total Alt-A, other	8.2	5.1	-	12.4	38.4	5.0	-	68.6	45.9	20.5	-	52.2	21.7	0.0	-	40.3
Total	7.8	1.9	-	13.8	40.8	5.0	-	85.8	45.7	20.5	-	61.1	21.2	0.0	-	40.3

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

The following tables present the Bank's credit- and non-credit-related OTTI on its other-than-temporarily impaired PLRMBS during the three and nine months ended September 30, 2012 and 2011:

	Three Months Ended September 30, 2012									Three Months Ended September 30, 2011
	Total OTTI			Non-Credit- Related OTTI			Credit- Related OTTI			Total  OTTI			Non-Credit- Related OTTI			Credit- Related OTTI
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
Prime	$	(3	)	$	2		$	(1	)	$	(11	)	$	7		$	(4	)
Alt-A, option ARM	1			(2		)	(1		)	(5		)	(7		)	(12		)
Alt-A, other	(15		)	13			(2		)	(122		)	37			(85		)
Total	$	(17	)	$	13		$	(4	)	$	(138	)	$	37		$	(101	)

20

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	Nine Months Ended September 30, 2012									Nine Months Ended September 30, 2011
	Total OTTI			Non-Credit- Related OTTI			Credit- Related OTTI			Total OTTI			Non-Credit- Related OTTI			Credit- Related OTTI
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
Prime	$	(3	)	$	2		$	(1	)	$	(24	)	$	(9	)	$	(33	)
Alt-A, option ARM	(4		)	(3		)	(7		)	(23		)	(77		)	(100		)
Alt-A, other	(39		)	13			(26		)	(295		)	55			(240		)
Total	$	(46	)	$	12		$	(34	)	$	(342	)	$	(31	)	$	(373	)

For each security classified as held-to-maturity, the estimated non-credit-related OTTI is accreted prospectively, based on the amount and timing of future estimated cash flows, over the remaining life of the security as an increase in the carrying value of the security (with no effect on earnings unless the security is subsequently sold or there are additional decreases in the cash flows expected to be collected). The Bank accreted $7 and $263 from AOCI to increase the carrying value of the respective PLRMBS classified as held-to-maturity for the nine months ended September 30, 2012 and 2011, respectively. The Bank does not intend to sell these securities and it is not more likely than not that the Bank will be required to sell these securities before its anticipated recovery of the remaining amortized cost basis.

The following table presents the credit-related OTTI, which is recognized in earnings, for the three and nine months ended September 30, 2012 and 2011.

	Three Months Ended						Nine Months Ended
	September 30, 2012			September 30, 2011			September 30, 2012			September 30, 2011
Balance, beginning of the period	$	1,387		$	1,223		$	1,362		$	952
Charges on securities for which OTTI was not previously recognized	—			1			—			12
Additional charges on securities for which OTTI was previously recognized(1)	4			100			34			361
Increases in cash flows expected to be collected, recognized over the remaining life of the securities	(1		)	(1		)	(6		)	(2		)
Balance, end of the period	$	1,390		$	1,323		$	1,390		$	1,323

(1) For the three months ended September 30, 2012, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to July 1, 2012. For the three months ended September 30, 2011, “securities for which OTTI was previously recognized” represents all securities that were also previously other-than-temporarily impaired prior to July 1, 2011. For the nine months ended September 30, 2012, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2012. For the nine months ended September 30, 2011, “securities for which OTTI was previously recognized” represents all securities that were also previously other-than-temporarily impaired prior to January 1, 2011.

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

Beginning in the first quarter of 2011, the Bank elected to transfer any PLRMBS that incurred a credit-related OTTI charge during the applicable period from the Bank's held-to-maturity portfolio to its available-for-sale portfolio at their fair values. The Bank recognized an OTTI credit loss on these held-to-maturity PLRMBS, which the Bank believes is evidence of a significant decline in the issuers' creditworthiness. The decline in the issuers' creditworthiness is the basis for the transfers to its available-for-sale portfolio. These transfers allow the Bank the

21

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

option to sell these securities prior to maturity in response to changes in interest rates, changes in prepayment risk, or other factors, while recognizing the Bank's intent to hold these securities for an indefinite period of time. The Bank does not intend to sell its other-than-temporarily impaired securities and it is not more likely than not that the Bank will be required to sell any security before its anticipated recovery of the remaining amortized cost basis.

The following tables summarize the PLRMBS transferred from the Bank's held-to-maturity portfolio to its available-for-sale portfolio during the three and nine months ended September 30, 2012. The amounts shown represent the values when the securities were transferred from the held-to-maturity portfolio to the available-for-sale portfolio.

	Three Months Ended September 30, 2012									Three Months Ended September 30, 2011
	Amortized Cost		OTTI Recognized in AOCI			Gross Unrecognized Holding Gains		Estimated Fair Value		Amortized Cost		OTTI Recognized in AOCI			Gross Unrecognized Holding Gains		Estimated Fair Value
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
PLRMBS:
Prime	$	19	$	(2	)	$	—	$	17	$	36	$	(6	)	$	—	$	30
Alt-A, option ARM	—		—			—		—		—		—			—		—
Alt-A, other	75		(13		)	—		62		685		(142		)	30		573
Total	$	94	$	(15	)	$	—	$	79	$	721	$	(148	)	$	30	$	603

	Nine Months Ended September 30, 2012									Nine Months Ended September 30, 2011
	Amortized Cost		OTTI Recognized in AOCI			Gross Unrecognized Holding Gains		Estimated Fair Value		Amortized Cost		OTTI Recognized in AOCI			Gross Unrecognized Holding Gains		Estimated Fair Value
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
PLRMBS:
Prime	$	22	$	(2	)	$	—	$	20	$	1,095	$	(300	)	$	143	$	938
Alt-A, option ARM	—		—			—		—		1,574		(520		)	79		1,133
Alt-A, other	140		(26		)	—		114		7,768		(1,829		)	665		6,604
Total	$	162	$	(28	)	$	—	$	134	$	10,437	$	(2,649	)	$	887	$	8,675

The following tables present the Bank's other-than-temporarily impaired PLRMBS that incurred OTTI charges during the three months ended September 30, 2012 and 2011, by loan collateral type:

22

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

September 30, 2012
	Available-for-Sale Securities
	Unpaid Principal Balance		Amortized Cost		Estimated Fair Value
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
Prime	$	37	$	36	$	32
Alt-A, option ARM	120		61		49
Alt-A, other	840		790		709
Total	$	997	$	887	$	790
September 30, 2011
	Available-for-Sale Securities
	Unpaid Principal Balance		Amortized Cost		Estimated Fair Value
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
Prime	$	531	$	475	$	395
Alt-A, option ARM	270		191		124
Alt-A, other	4,927		4,576		3,880
Total	$	5,728	$	5,242	$	4,399

The following tables present the Bank's other-than-temporarily impaired PLRMBS that incurred OTTI charges anytime during the life of the securities at September 30, 2012, and December 31, 2011, by loan collateral type:

September 30, 2012
	Available-for-Sale Securities						Held-to-Maturity Securities
	Unpaid Principal Balance		Amortized Cost		Estimated Fair Value		Unpaid Principal Balance		Amortized Cost		Carrying Value		Estimated Fair Value
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
Prime	$	1,019	$	871	$	810	$	5	$	5	$	5	$	5
Alt-A, option ARM	1,687		1,270		990		—		—		—		—
Alt-A, other	7,414		6,541		5,863		179		177		140		160
Total	$	10,120	$	8,682	$	7,663	$	184	$	182	$	145	$	165
December 31, 2011
	Available-for-Sale Securities						Held-to-Maturity Securities
	Unpaid Principal Balance		Amortized Cost		Estimated Fair Value		Unpaid Principal Balance		Amortized Cost		Carrying Value		Estimated Fair Value
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
Prime	$	1,125	$	977	$	832	$	27	$	27	$	26	$	27
Alt-A, option ARM	1,834		1,414		969		—		—		—		—
Alt-A, other	7,977		7,133		5,886		209		207		162		165
Total	$	10,936	$	9,524	$	7,687	$	236	$	234	$	188	$	192

For the Bank's PLRMBS that were not other-than-temporarily impaired as of September 30, 2012, the Bank has experienced net unrealized losses and a decrease in fair value primarily because of illiquidity in the MBS market,

23

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

uncertainty about the future condition of the housing and mortgage markets and the economy, and market expectations of the credit performance of loan collateral underlying these securities, which caused these assets to be valued at significant discounts to their acquisition cost. The Bank does not intend to sell these securities, it is not more likely than not that the Bank will be required to sell these securities before its anticipated recovery of the remaining amortized cost basis, and the Bank expects to recover the entire amortized cost basis of these securities. As a result, the Bank determined that, as of September 30, 2012, the gross unrealized losses on these remaining PLRMBS are temporary. These securities were included in the securities that the Bank reviewed and analyzed for OTTI as discussed above, and the analyses performed indicated that these securities were not other-than-temporarily impaired.

All Other Available-for-Sale and Held-to-Maturity Investments. The Bank determined that, as of September 30, 2012, the de minimis gross unrealized losses on its interest-bearing deposits and commercial paper were temporary because the gross unrealized losses were caused by movements in interest rates and not by the deterioration of the issuers' creditworthiness. The interest-bearing deposits and commercial paper were all with issuers that had credit ratings of at least A at September 30, 2012. As a result, the Bank expects to recover the entire amortized cost basis of these securities.

As of September 30, 2012, the Bank's investments in housing finance agency bonds, which were issued by the California Housing Finance Agency (CalHFA), had gross unrealized losses totaling $114. These gross unrealized losses were mainly due to an illiquid market, credit concerns regarding the underlying mortgage collateral, and credit concerns regarding the monoline insurance providers, causing these investments to be valued at a discount to their acquisition cost. The Bank independently modeled cash flows for the underlying collateral, using assumptions for default rates and loss severity that a market participant would deem reasonable, and concluded that the available credit support within the CalHFA structure more than offset the projected underlying collateral losses. The Bank determined that, as of September 30, 2012, all of the gross unrealized losses on the bonds are temporary because the underlying collateral and credit enhancements were sufficient to protect the Bank from losses. As a result, the Bank expects to recover the entire amortized cost basis of these securities.

For its agency MBS, the Bank expects to recover the entire amortized cost basis of these securities because the Bank determined that the strength of the issuers' guarantees through direct obligations or support from the U.S. government is sufficient to protect the Bank from losses. As a result, the Bank determined that, as of September 30, 2012, all of the gross unrealized losses on its agency MBS are temporary.

Note 7 — Advances

The Bank offers a wide range of fixed and adjustable rate advance products with different maturities, interest rates, payment characteristics, and optionality. 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, where the interest rates reset periodically at a fixed spread to LIBOR or to another specified index.

Redemption Terms. The Bank had advances outstanding, excluding overdrawn demand deposit accounts, at interest rates ranging from 0.19% to 8.57% at September 30, 2012, and 0.05% to 8.57% at December 31, 2011, as summarized below.

24

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	September 30, 2012				December 31, 2011
Contractual Maturity	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding		Weighted Average Interest Rate
Within 1 year	$	25,131	0.74	%	$	26,432	0.88	%
After 1 year through 2 years	8,131		1.44		20,608		1.03
After 2 years through 3 years	6,449		1.64		5,840		1.73
After 3 years through 4 years	2,526		2.40		5,686		2.02
After 4 years through 5 years	5,656		1.16		5,634		1.46
After 5 years	3,270		2.12		3,236		2.78
Total par amount	51,163		1.18	%	67,436		1.24	%
Valuation adjustments for hedging activities	334				302
Valuation adjustments under fair value option	328				426
Total	$	51,825			$	68,164

Many of the Bank's advances are prepayable at the member's option. However, when advances are prepaid, the member is generally charged a prepayment fee intended to make the Bank financially indifferent to the prepayment. In addition, for certain advances with partial prepayment symmetry, the Bank may charge the member a prepayment fee or pay the member a prepayment credit depending on certain circumstances, such as movements in interest rates, when the advance is prepaid. The Bank had advances with partial prepayment symmetry outstanding totaling $6,707 at September 30, 2012, and $6,875 at December 31, 2011. Some advances may be repaid on pertinent call dates without prepayment fees (callable advances). The Bank had callable advances outstanding totaling $61 at September 30, 2012, and $328 at December 31, 2011.

The Bank's advances at September 30, 2012, and December 31, 2011, included $290 and $1,461, respectively, of putable advances. At the Bank's discretion, the Bank may terminate these advances on predetermined exercise dates and offer replacement funding at prevailing market rates, subject to certain conditions. The Bank would typically exercise such termination rights when interest rates increase.

The following table summarizes advances at September 30, 2012, and December 31, 2011, by the earlier of the year of contractual maturity or next call date for callable advances and by the earlier of the year of contractual maturity or next put date for putable advances.

	Earlier of Contractual Maturity or Next Call Date				Earlier of Contractual Maturity or Next Put Date
	September 30, 2012		December 31, 2011		September 30, 2012		December 31, 2011
Within 1 year	$	25,192	$	26,755	$	25,396	$	27,566
After 1 year through 2 years	8,131		20,602		8,117		20,513
After 2 years through 3 years	6,449		5,805		6,421		5,748
After 3 years through 4 years	2,526		5,665		2,526		5,416
After 4 years through 5 years	5,646		5,583		5,481		5,559
After 5 years	3,219		3,026		3,222		2,634
Total par amount	$	51,163	$	67,436	$	51,163	$	67,436

Credit and Concentration Risk. The following tables present the concentration in advances to the top five borrowers and their affiliates at September 30, 2012, and September 30, 2011. The tables also present the interest income from these advances before the impact of interest rate exchange agreements associated with these advances for the three and nine months ended September 30, 2012 and 2011.

25

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	September 30, 2012				Three Months Ended September 30, 2012				Nine Months Ended September 30, 2012
Name of Borrower	Advances Outstanding(1)		Percentage of Total Advances Outstanding		Interest Income from Advances(2)		Percentage of Total Interest Income from Advances		Interest Income from Advances(2)		Percentage of Total Interest Income from Advances
JPMorgan Chase & Co.:
JPMorgan Bank & Trust Company, National Association	$	13,450	26	%	$	28	17	%	$	81	15	%
JPMorgan Chase Bank, National Association(3)	1,549		3		3		2		11		2
Subtotal JPMorgan Chase & Co.	14,999		29		31		19		92		17
Citibank, N.A.(3)	9,785		19		9		5		37		7
Bank of the West	4,260		8		24		15		76		14
OneWest Bank, FSB	3,851		8		12		7		43		8
First Republic Bank	3,150		6		14		9		40		7
Subtotal	36,045		70		90		55		288		53
Others	15,118		30		73		45		249		47
Total	$	51,163	100	%	$	163	100	%	$	537	100	%

	September 30, 2011				Three Months Ended September 30, 2011				Nine Months Ended September 30, 2011
Name of Borrower	Advances Outstanding(1)		Percentage of Total Advances Outstanding		Interest Income from Advances(2)		Percentage of Total Interest Income from Advances		Interest Income from Advances(2)		Percentage of Total Interest Income from Advances
JPMorgan Chase & Co.:
JPMorgan Bank & Trust Company, National Association	$	22,700	29	%	$	29	13	%	$	90	12	%
JPMorgan Chase Bank, National Association(3)	1,563		2		3		1		15		2
Subtotal JPMorgan Chase & Co.	24,263		31		32		14		105		14
Citibank, N.A. (3)	17,378		22		11		5		44		6
Bank of America California, N.A.	5,900		8		11		5		54		7
OneWest Bank, FSB	5,379		7		27		12		91		12
Bank of the West	5,051		7		27		12		84		11
Subtotal	57,971		75		108		48		378		50
Others	19,702		25		122		52		382		50
Total	$	77,673	100	%	$	230	100	%	$	760	100	%

(1) Borrower advance amounts and total advance amounts are at par value, and total advance amounts will not agree to carrying value amounts shown in the Statements of Condition. The differences between the par and carrying value amounts primarily relate to unrealized gains or losses associated with hedged advances resulting from valuation adjustments related to hedging activities and under the fair value option.

(2) Interest income amounts exclude the interest effect of interest rate exchange agreements with derivatives 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.

(3) Nonmember institution.

The Bank held a security interest in collateral from each of the top five advances borrowers and their affiliates sufficient to support their respective advances outstanding, and the Bank does not expect to incur any credit losses on these advances. As of September 30, 2012, two of the advances borrowers and their affiliates (JPMorgan Chase & Co. and Citibank, N.A.) each owned more than 10% of the Bank's outstanding capital stock, including mandatorily redeemable capital stock.

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

26

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Interest Rate Payment Terms. Interest rate payment terms for advances at September 30, 2012, and December 31, 2011, are detailed below:

	September 30, 2012		December 31, 2011
Par amount of advances:
Fixed rate:
Due within 1 year	$	6,225	$	11,606
Due after 1 year	18,250		20,577
Total fixed rate	24,475		32,183
Adjustable rate
Due within 1 year	18,906		14,826
Due after 1 year	7,782		20,427
Total adjustable rate	26,688		35,253
Total par amount	$	51,163	$	67,436

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

At September 30, 2012, and December 31, 2011, the Bank used derivatives to effectively convert 75% and 75% of the fixed rate advances to an adjustable rate, such as LIBOR, and 1% and 0% of the adjustable rate advances to a different adjustable rate index, such as 1-month or 3-month LIBOR.

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 September 30, 2012, and December 31, 2011.

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

	Three Months Ended						Nine Months Ended
	September 30, 2012			September 30, 2011			September 30, 2012			September 30, 2011
Prepayment fees received	$	53		$	16		$	158		$	71
Fair value adjustments	(35		)	(14		)	(117		)	(59		)
Net	$	18		$	2		$	41		$	12
Advance principal prepaid	$	1,309		$	751		$	2,825		$	4,046

Note 8 — Mortgage Loans Held for Portfolio

Under the Mortgage Partnership Finance^® (MPF^®) Program, the Bank purchased conventional conforming fixed rate residential mortgage loans directly from its participating members from May 2002 through October 2006.

27

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

(“Mortgage Partnership Finance” and “MPF” are registered trademarks of the Federal Home Loan Bank of Chicago.) Participating members originated or purchased the mortgage loans, credit-enhanced them and sold them to the Bank, and generally retained the servicing of the loans.

The following table presents information as of September 30, 2012, and December 31, 2011, on mortgage loans, all of which are secured by one- to four-unit residential properties and single-unit second homes.

	September 30, 2012			December 31, 2011
Fixed rate medium-term mortgage loans	$	393		$	519
Fixed rate long-term mortgage loans	1,026			1,322
Subtotal	1,419			1,841
Unamortized premiums	12			15
Unamortized discounts	(16		)	(21		)
Mortgage loans held for portfolio	1,415			1,835
Less: Allowance for credit losses	(4		)	(6		)
Total mortgage loans held for portfolio, net	$	1,411		$	1,829

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

Concentration Risk. The Bank had the following concentration in MPF loans with institutions whose outstanding total of mortgage loans sold to the Bank represented 10% or more of the Bank's total outstanding mortgage loans at September 30, 2012, and December 31, 2011.

September 30, 2012
Name of Institution	Mortgage Loan Balances Outstanding		Percentage of  Total Mortgage Loan Balances Outstanding		Number of Mortgage Loans Outstanding	Percentage of Total Number of Mortgage  Loans Outstanding
JPMorgan Chase Bank, National Association	$	1,114	79	%	10,336	70	%
OneWest Bank, FSB	188		13		3,199	22
Subtotal	1,302		92		13,535	92
Others	117		8		1,208	8
Total	$	1,419	100	%	14,743	100	%
December 31, 2011
Name of Institution	Mortgage Loan Balances Outstanding		Percentage of  Total Mortgage Loan Balances Outstanding		Number of Mortgage Loans Outstanding	Percentage of Total Number of Mortgage  Loans Outstanding
JPMorgan Chase Bank, National Association	$	1,454	79	%	12,729	72	%
OneWest Bank, FSB	238		13		3,625	20
Subtotal	1,692		92		16,354	92
Others	149		8		1,431	8
Total	$	1,841	100	%	17,785	100	%

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

28

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Note 9 — Allowance for Credit Losses

The Bank has established an allowance methodology for each of its portfolio segments: credit products, mortgage loans held for portfolio, term securities purchased under agreements to resell, and term Federal funds sold.

Credit Products. Under the Federal Home Loan Bank Act of 1932, as amended (FHLBank Act), the Bank is required to obtain sufficient collateral for credit products to protect the Bank from credit losses. Collateral eligible to secure credit products includes certain investment securities, residential mortgage loans, cash or deposits with the Bank, and other eligible real estate-related assets. The Bank may also accept secured small business, small farm, and small agribusiness loans, and securities representing a whole interest in such secured loans, as collateral from members that are community financial institutions. The Bank evaluates the creditworthiness of its members and nonmember borrowers on an ongoing basis. For more information on security terms, see “Item 8. Financial Statements and Supplementary Data – Note 10 – Allowance for Credit Losses” in the Bank's 2011 Form 10-K.

The Bank classifies as impaired any advance with respect to which the Bank believes it is probable that all principal and interest due will not be collected according to its contractual terms. Impaired advances are valued using the present value of expected future cash flows discounted at the advance's effective interest rate, the advance's observable market price or, if collateral-dependent, the fair value of the advance's underlying collateral. When an advance is classified as impaired, the accrual of interest is discontinued and unpaid accrued interest is reversed. Advances do not return to accrual status until they are brought current with respect to both principal and interest and until the Bank believes future principal payments are no longer in doubt. No advances were classified as impaired during the periods presented.

The Bank manages its credit exposure relating to credit products through an integrated approach that generally provides for a credit limit to be established for each borrower, includes an ongoing review of each borrower's financial condition, and is coupled with conservative collateral and lending policies to limit the risk of loss while taking into account borrowers' needs for a reliable funding source. At September 30, 2012, and December 31, 2011, none of the Bank's credit products were past due, on nonaccrual status, or considered impaired. There were no troubled debt restructurings related to credit products during the nine months ended September 30, 2012, or during 2011.

Based on the collateral pledged as security for advances, the Bank's credit analyses of members' financial condition, and the Bank's credit extension and collateral policies as of September 30, 2012, the Bank expects to collect all amounts due according to the contractual terms. Therefore, no allowance for losses on credit products was deemed necessary by the Bank. The Bank has never experienced any credit losses on its credit products.

During the first nine months of 2012, two member institutions were placed into receivership or liquidation. These institutions had no advances outstanding at the time they were placed into receivership or liquidation. Bank capital stock held by one of the institutions totaling $4 was classified as mandatorily redeemable capital stock (a liability). The capital stock of the other institution was transferred to another member institution.

From October 1, 2012, to October 31, 2012,nomember institutions were placed into receivership.

Mortgage Loans Held for Portfolio. A mortgage loan is considered to be impaired when it is reported 90 days or more past due (nonaccrual) or when it is probable, based on current information and events, that the Bank will be unable to collect all principal and interest amounts due according to the contractual terms of the mortgage loan agreement.

Loans that are on nonaccrual status and that are considered collateral-dependent are measured for impairment based on the fair value of the underlying property less estimated selling costs. Loans are considered collateral-dependent if repayment is expected to be provided solely by the sale of the underlying property, that is, if it is considered

29

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

likely that the borrower will default and there is no credit enhancement from a participating financial institution to offset losses under the master commitment. Collateral-dependent loans are impaired if the fair value of the underlying collateral less estimated selling costs is insufficient to recover the unpaid principal balance on the loan. Interest income on impaired loans is recognized in the same manner as interest income on nonaccrual loans, as noted below.

The Bank places a mortgage loan on nonaccrual status when the collection of the contractual principal or interest from the participating institution is reported 90 days or more past due. When a mortgage loan is placed on nonaccrual status, accrued but uncollected interest is reversed against interest income. The Bank records cash payments received on nonaccrual loans first as interest income and then as a reduction of principal as specified in the contractual agreement, unless the collection of the remaining principal amount due is considered doubtful.

The following table presents information on delinquent mortgage loans as of September 30, 2012, and December 31, 2011.

	September 30, 2012			December 31, 2011
	Recorded Investment(1)			Recorded Investment(1)
30 – 59 days delinquent	$	21		$	24
60 – 89 days delinquent	7			9
90 days or more delinquent	33			34
Total past due	61			67
Total current loans	1,360			1,777
Total mortgage loans	$	1,421		$	1,844
In process of foreclosure, included above(2)	$	24		$	21
Nonaccrual loans	$	33		$	34
Loans past due 90 days or more and still accruing interest	$	—		$	—
Serious delinquencies(3) as a percentage of total mortgage loans outstanding	2.30		%	1.83		%

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

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

(3) Represents loans that are 90 days or more past due or in the process of foreclosure.

Mortgage Loans Evaluated at the Individual Master Commitment Level. The credit risk analysis of all conventional MPF loans is performed at the individual master commitment level to determine the credit enhancements available to recover losses on MPF loans under each individual master commitment.

Individually Evaluated Mortgage Loans. Certain conventional mortgage loans, primarily impaired mortgage loans that are considered collateral-dependent, may be specifically identified for purposes of calculating the allowance for credit losses. The estimated credit losses on impaired collateral-dependent loans may be separately determined because sufficient information exists to make a reasonable estimate of the inherent loss on those loans on an individual loan basis. The Bank estimates the fair value of collateral using real estate broker price opinions based on recent market sales and current listings. The resulting incurred loss, if any, is equal to the difference between the carrying value of the loan and the estimated fair value of the collateral less estimated selling costs.

Collectively Evaluated Mortgage Loans. The credit risk analysis of conventional loans evaluated collectively for impairment considers loan pool-specific attribute data, applies estimated loss severities, and incorporates the credit enhancements of the mortgage loan programs to determine the Bank's best estimate of probable incurred losses. Migration analysis is a methodology for determining, through the Bank's experience over a historical period, the default rate on pools of similar loans.

30

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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

	Three Months Ended						Nine Months Ended
	September 30, 2012			September 30, 2011			September 30, 2012			September 30, 2011
Balance, beginning of the period	$	4		$	6		$	6		$	3
Charge-offs – transferred to real estate owned (REO)	—			(1		)	(1		)	(1		)
Provision for credit losses	—			—			(1		)	3
Balance, end of the period	$	4		$	5		$	4		$	5
Ratio of net charge-offs during the period to average loans outstanding during the period	(0.03		)%	(0.03		)%	(0.06		)%	(0.07		)%

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

	September 30, 2012		December 31, 2011
Allowance for credit losses, end of period
Individually evaluated for impairment	$	4	$	4
Collectively evaluated for impairment	—		2
Total allowance for credit losses	$	4	$	6
Recorded investment, end of period
Individually evaluated for impairment	$	32	$	40
Collectively evaluated for impairment	1,389		1,804
Total recorded investment	$	1,421	$	1,844

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

	September 30, 2012						December 31, 2011
	Recorded Investment		Unpaid Principal Balance		Related Allowance		Recorded Investment		Unpaid Principal Balance		Related Allowance
With no related allowance	$	18	$	18	$	—	$	23	$	23	$	—
With an allowance	14		14		4		17		17		4
Total	$	32	$	32	$	4	$	40	$	40	$	4

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

	Three Months Ended				Nine Months Ended
	September 30, 2012		September 30, 2011		September 30, 2012		September 30, 2011
With no related allowance	$	19	$	22	$	19	$	24
With an allowance	15		17		17		14
Total	$	34	$	39	$	36	$	38

The Bank and any participating institution share in the credit risk of the loans sold by that institution as specified in a master agreement. Loans purchased under the MPF Program generally had a credit risk exposure at the time of purchase equivalent to AA-rated assets taking into consideration the credit risk sharing structure mandated by the Finance Agency's acquired member assets (AMA) regulation. The Bank holds additional risk-based capital when it determines that purchased loans do not have a credit risk exposure equivalent to AA-rated assets. The MPF Program

31

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

structures potential credit losses on conventional MPF loans into layers with respect to each pool of loans purchased by the Bank under a single Master Commitment for the member selling the loans:

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

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

3. Losses that exceed the liquidation value of the real property and any primary mortgage insurance, up to an agreed-upon amount called the First Loss Account for each Master Commitment, are incurred by the Bank.

4. Losses in excess of the First Loss Account for each Master Commitment, up to an agreed-upon amount called the “credit enhancement amount,” are covered by the participating institution's credit enhancement obligation.

5. Losses in excess of the First Loss Account and the participating institution's remaining credit enhancement for the Master Commitment, if any, are incurred by the Bank.

The Bank calculates its estimated allowance for credit losses on mortgage loans acquired under its two MPF products, Original MPF and MPF Plus, as described below.

Allowance for Credit Losses on MPF Loans - The Bank evaluates the allowance for credit losses on MPF mortgage loans based on two components. The first component applies to each individual loan that is specifically identified as impaired. The Bank evaluates the exposure on these loans by considering the first layer of loss protection (the liquidation value of the real property securing the loan) and the availability and collectability of credit enhancements under the terms of each Master Commitment and records a provision for credit losses. For this component, the Bank established an allowance for credit losses for Original MPF loans totaling de minimis amounts as of September 30, 2012, and December 31, 2011, and for MPF Plus loans totaling $3 as of September 30, 2012, and $4 as of December 31, 2011.

The second component applies to loans that are not specifically identified as impaired and is based on the Bank's estimate of probable credit losses on those loans as of the financial statement date. The Bank evaluates the credit loss exposure on a loan pool basis considering various observable data, such as delinquency statistics, past performance, current performance, loan portfolio characteristics, collateral valuations, industry data, and prevailing economic conditions. The Bank also considers the availability and collectability of credit enhancements from institutions or from mortgage insurers under the terms of each Master Commitment. For this component, the Bank established an allowance for credit losses for Original MPF loans totaling de minimis amounts as of September 30, 2012, and December 31, 2011, and for MPF Plus loans totaling a de minimis amount as of September 30, 2012, and $2 as of December 31, 2011.

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

The Bank's MPF loan troubled debt restructurings primarily involve modifying the borrower's monthly payment for a period of up to 36 months to reflect a housing expense ratio that is no more than 31% of the borrower's monthly income. The outstanding principal balance is re-amortized to reflect a principal and interest payment for a term not to exceed 40 years from the original note date and a housing expense ratio not to exceed 31%. This would result in a balloon payment at the original maturity date of the loan as the maturity date and number of remaining monthly payments is unchanged. If the 31% ratio is still not met, the interest rate is reduced for up to 36 months in 0.125% increments below the original note rate, to a floor rate of 3.00%, resulting in reduced principal and interest payments, until the target 31% housing expense ratio is met. 

32

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

As of September 30, 2012, the Bank's nonperforming MPFloans classified as troubled debt restructurings (TDRs) totaled $0.7. During the three andnine months endedSeptember 30, 2012, the amount of the pre- and post-modification recorded investment in TDRs that occurred during these periods was equal becausethere were no write-offs resulting from either principal forgiveness or direct write-offs.None of the MPF loans classified as TDRs within the previous 12 months experienced a payment default. During the year ended December 31, 2011, a de minimis amount of the Bank's MPF loans was classified as TDRs.

Term Securities Purchased Under Agreements to Resell. Securities purchased under agreements to resell are considered collateralized financing arrangements and effectively represent short-term loans with investment-grade counterparties. The terms of these loans are structured such that if the market value of the underlying securities decreases below the market value required as collateral, the counterparty must place an equivalent amount of additional securities as collateral or remit an equivalent amount of cash, or the dollar value of the resale agreement will be decreased accordingly. If an agreement to resell is deemed to be impaired, the difference between the fair value of the collateral and the amortized cost of the agreement is charged to earnings. Based upon the collateral held as security, the Bank determined that no allowance for credit losses was needed for the securities purchased under agreements to resell at September 30, 2012. The Bank did not have any term securities purchased under agreements to resell at December 31, 2011.

Term Federal Funds Sold. The Bank invests in Federal funds sold with highly rated counterparties, and these investments are evaluated for purposes of an allowance for credit losses if the investment is not paid when due. All investments in Federal funds sold as of September 30, 2012, and December 31, 2011, were repaid or are expected to be repaid according to the contractual terms.

Note 10 — Deposits

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

Deposits as of September 30, 2012, and December 31, 2011, were as follows:

	September 30, 2012		December 31, 2011
Interest-bearing deposits:
Demand and overnight	$	175	$	151
Term	2		1
Other	—		3
Total interest-bearing deposits	177		155
Non-interest-bearing deposits	2		1
Total	$	179	$	156

Interest Rate Payment Terms. Deposits classified as demand, overnight, and other, pay interest based on a daily interest rate. Term deposits pay interest based on a fixed rate determined at the issuance of the deposit. Interest rate payment terms for deposits at September 30, 2012, and December 31, 2011, are detailed in the following table:

33

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	September 30, 2012				December 31, 2011
	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding		Weighted Average Interest Rate
Interest-bearing deposits:
Fixed rate	$	2	0.04	%	$	1	0.01	%
Adjustable rate	175		0.01		154		0.01
Total interest-bearing deposits	177		0.01		155		0.01
Non-interest-bearing deposits	2		—		1		—
Total	$	179	0.01	%	$	156	0.01	%

The aggregate amount of time deposits with a denomination of $0.1 or more was $2 at September 30, 2012, and $1 at December 31, 2011. These time deposits were scheduled to mature within six months.

Note 11 — Consolidated Obligations

Consolidated obligations, consisting of consolidated obligation bonds and discount notes, are jointly issued by the FHLBanks through the Office of Finance, which serves as the FHLBanks' agent. As provided by the FHLBank Act or by regulations governing the operations of the FHLBanks, all FHLBanks have joint and several liability for all FHLBank consolidated obligations. For a discussion of the joint and several liability regulation, see “Item 8. Financial Statements and Supplementary Data – Note 20 – Commitments and Contingencies” in the Bank's 2011 Form 10-K. In connection with each debt issuance, 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 September 30, 2012, and December 31, 2011.

	September 30, 2012					December 31, 2011
Contractual Maturity	Amount Outstanding			Weighted Average Interest Rate		Amount Outstanding			Weighted Average Interest Rate
Within 1 year	$	34,673		1.17	%	$	40,924		0.54	%
After 1 year through 2 years	18,920			1.09		19,124			2.38
After 2 years through 3 years	2,251			2.00		3,731			1.92
After 3 years through 4 years	4,156			1.68		2,955			1.96
After 4 years through 5 years	5,469			3.71		8,006			3.15
After 5 years	6,761			2.39		7,301			3.37
Index amortizing notes	4			4.61		4			4.61
Total par amount	72,234			1.51	%	82,045			1.59	%
Unamortized premiums	82					89
Unamortized discounts	(25		)			(35		)
Valuation adjustments for hedging activities	1,035					1,208
Fair value option valuation adjustments	45					43
Total	$	73,371				$	83,350

The Bank's participation in consolidated obligation bonds outstanding includes callable bonds of $9,092 at September 30, 2012, and $17,091 at December 31, 2011. Contemporaneous with the issuance of a callable bond for which the Bank is the primary obligor, the Bank routinely enters into an interest rate swap (in which the Bank pays

34

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

a variable rate and receives a fixed rate) with a call feature that mirrors the call option embedded in the bond (a sold callable swap). The Bank had notional amounts of interest rate exchange agreements hedging callable bonds of $4,346 at September 30, 2012, and $11,541 at December 31, 2011. The combined sold callable swap and callable bond enable the Bank to meet its funding needs at costs not otherwise directly attainable solely through the issuance of non-callable debt, while effectively converting the Bank's net payment to an adjustable rate.

The Bank's participation in consolidated obligation bonds was as follows:

	September 30, 2012		December 31, 2011
Par amount of consolidated obligation bonds:
Non-callable	$	63,142	$	64,954
Callable	9,092		17,091
Total par amount	$	72,234	$	82,045

The following is a summary of the Bank's participation in consolidated obligation bonds outstanding at September 30, 2012, and December 31, 2011, by the earlier of the year of contractual maturity or next call date.

Earlier of Contractual Maturity or Next Call Date	September 30, 2012		December 31, 2011
Within 1 year	$	42,819	$	51,735
After 1 year through 2 years	18,470		18,954
After 2 years through 3 years	2,231		2,661
After 3 years through 4 years	3,741		1,985
After 4 years through 5 years	4,102		5,761
After 5 years	867		945
Index amortizing notes	4		4
Total par amount	$	72,234	$	82,045

Consolidated obligation discount notes are consolidated obligations issued to raise short-term funds. These notes are issued at less than their face amount 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:

	September 30, 2012					December 31, 2011
	Amount Outstanding			Weighted Average Interest Rate		Amount Outstanding			Weighted Average Interest Rate
Par amount	$	9,731		0.15	%	$	19,159		0.11	%
Unamortized discounts	(3		)			(7		)
Total	$	9,728				$	19,152

Interest Rate Payment Terms. Interest rate payment terms for consolidated obligations at September 30, 2012, and December 31, 2011, are detailed in the following table. For information on the general terms and types of consolidated obligations outstanding, see “Item 8. Financial Statements and Supplementary Data – Note 12 – Consolidated Obligations” in the Bank's 2011 Form 10-K.

35

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	September 30, 2012		December 31, 2011
Par amount of consolidated obligations:
Bonds:
Fixed rate	$	42,653	$	59,607
Adjustable rate	27,768		19,688
Step-up	1,769		2,221
Step-down	15		115
Fixed rate that converts to adjustable rate	25		290
Adjustable rate that converts to fixed rate	—		35
Adjustable rate that converts to step-up	—		75
Range bonds	—		10
Index amortizing notes	4		4
Total bonds, par	72,234		82,045
Discount notes, par	9,731		19,159
Total consolidated obligations, par	$	81,965	$	101,204

At September 30, 2012, and December 31, 2011, the Bank used interest exchange agreements to effectively convert 72% and 80% of the fixed rate bonds to an adjustable rate, such as LIBOR, and 98% and 96% of the adjustable rate bonds to a different adjustable rate index, such as 1-month or 3-month LIBOR. At September 30, 2012, and December 31, 2011, the Bank used interest rate exchange agreements to effectively convert 35% and 61% of the fixed rate discount notes to an adjustable rate, such as LIBOR. For more information, see Note 15 – Derivatives and Hedging Activities.

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 September 30, 2012, and December 31, 2011. In general, the Bank has elected to account for bonds with embedded features under the fair value option, and these bonds are carried at fair value on the Statements of Condition. For more information, See Note 16 – Fair Value.

Note 12 — Accumulated Other Comprehensive Income/(Loss)

The following table summarizes the changes in accumulated other comprehensive income for the nine months ended September 30, 2012 and 2011:

	Net Unrealized Gain/(Loss) on Available-for- Sale Securities			Net Non-Credit-Related OTTI Loss on Available-for-Sale Securities			Net Non-Credit-Related OTTI Loss on Held-to-Maturity Securities			Pension and Postretirement Benefits			Total Accumulated Other Comprehensive Income/(Loss)
Balance, December 31, 2010	$	(2	)	$	—		$	(2,934	)	$	(7	)	$	(2,943	)
Other comprehensive income/(loss)	2			(1,705		)	2,874			—			1,171
Balance, September 30, 2011	$	—		$	(1,705	)	$	(60	)	$	(7	)	$	(1,772	)
Balance, December 31, 2011	$	1		$	(1,836	)	$	(46	)	$	(12	)	$	(1,893	)
Other comprehensive income/(loss)	(1		)	817			10			—			826
Balance, September 30, 2012	$	—		$	(1,019	)	$	(36	)	$	(12	)	$	(1,067	)

Note 13 — Capital

Capital Requirements. Under the Housing and Economic Recovery Act of 2008 (Housing Act), the Director of the Finance Agency is responsible for setting the risk-based capital standards for the FHLBanks. The FHLBank Act and regulations governing the operations of the FHLBanks require that the Bank's minimum stock requirement for

36

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

members must be sufficient to enable the Bank to meet its regulatory requirements for total capital, leverage capital, and risk-based capital. The Bank must maintain: (i) total regulatory capital in an amount equal to at least 4% of its total assets, (ii) leverage capital in an amount equal to at least 5% of its total assets, and (iii) permanent capital in an amount at least equal to its regulatory risk-based capital requirement. Regulatory capital and permanent capital are defined as retained earnings and Class B stock, which includes mandatorily redeemable capital stock, which is classified as a liability for financial reporting purposes. Regulatory capital and permanent capital do not include AOCI. Leverage capital is defined as the sum of permanent capital, weighted by a 1.5 multiplier, plus non-permanent capital. Non-permanent capital consists of Class A capital stock, which is redeemable upon six months' notice. The Bank's capital plan does not provide for the issuance of Class A capital stock.

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

As of September 30, 2012, and December 31, 2011, the Bank was in compliance with these capital rules and requirements as shown in the following table.  

	September 30, 2012						December 31, 2011
	Required			Actual			Required			Actual
Risk-based capital	$	4,024		$	11,417		$	4,915		$	12,176
Total regulatory capital	$	3,768		$	11,417		$	4,542		$	12,176
Total regulatory capital ratio	4.00		%	12.12		%	4.00		%	10.72		%
Leverage capital	$	4,709		$	17,125		$	5,678		$	18,264
Leverage ratio	5.00		%	18.18		%	5.00		%	16.08		%

Mandatorily Redeemable Capital Stock. The Bank had mandatorily redeemable capital stock totaling $4,770 outstanding to 52 institutions at September 30, 2012, and $5,578 outstanding to 53 institutions at December 31, 2011. The change in mandatorily redeemable capital stock for the three and nine months ended September 30, 2012 and 2011, was as follows:

	Three Months Ended						Nine Months Ended
	September 30, 2012			September 30, 2011			September 30, 2012			September 30, 2011
Balance at the beginning of the period	$	5,048		$	6,144		$	5,578		$	3,749
Reclassified from/(to) capital during the period:
Merger with or acquisition by nonmember institution	1			6			1			19
Withdrawal from membership	3			—			3			—
Termination of membership(1)	—			—			4			3,167
Acquired by/transferred to members(2)	—			—			—			(500		)
Redemption of mandatorily redeemable capital stock	(22		)	(25		)	(28		)	(51		)
Repurchase of excess mandatorily redeemable capital stock	(260		)	(272		)	(788		)	(531		)
Balance at the end of the period	$	4,770		$	5,853		$	4,770		$	5,853

(1) The Bank reclassified $3,165 of capital stock to mandatorily redeemable capital stock (a liability) on June 28, 2011, as a result of the membership termination of Citibank, N.A., which became ineligible for membership in the Bank when it became a member of another Federal Home Loan Bank in connection with its planned merger with an affiliate outside of the Bank's district.

(2) During 2008, JPMorgan Chase Bank, National Association, a nonmember, assumed Washington Mutual Bank's outstanding Bank advances and acquired the associated Bank capital stock. The Bank reclassified the capital stock transferred to JPMorgan Chase Bank, National Association to mandatorily redeemable capital stock (a liability). JPMorgan Bank and Trust Company, National Association, an affiliate of JPMorgan Chase Bank, National Association, became a member of the Bank. During the first quarter of 2011, the Bank allowed the transfer of excess capital stock totaling $500 from JPMorgan Chase Bank, National Association, to JPMorgan Bank and Trust Company, National Association, to enable JPMorgan Bank and Trust Company, National Association, to satisfy its activity-based stock requirement. The capital stock transferred is no longer classified as mandatorily

37

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

redeemable capital stock (a liability). However, the capital stock remaining with JPMorgan Chase Bank, National Association, remains classified as mandatorily redeemable capital stock (a liability).

Cash dividends on mandatorily redeemable capital stock in the amount of $6 and $20 were recorded as interest expense for the three and nine months ended September 30, 2012. Cash dividends on mandatorily redeemable capital stock in the amount of $2 and $8 were recorded as interest expense for the three and nine months ended September 30, 2011.

The Bank's mandatorily redeemable capital stock is discussed more fully in “Item 8. Financial Statements and Supplementary Data – Note 15 – Capital” in the Bank's 2011 Form 10-K.

The following table presents mandatorily redeemable capital stock amounts by contractual redemption period at September 30, 2012, and December 31, 2011.

Contractual Redemption Period	September 30, 2012		December 31, 2011
Within 1 year	$	824	$	49
After 1 year through 2 years	153		1,086
After 2 years through 3 years	1,102		1,288
After 3 years through 4 years	2,682		250
After 4 years through 5 years	9		2,905
Total	$	4,770	$	5,578

Retained Earnings and Dividend Policy. The Bank's Retained Earnings and Dividend Policy establishes amounts to be retained in restricted retained earnings, which are not made available for dividends in the current dividend period.

Retained Earnings Related to Valuation Adjustments – In accordance with the Retained Earnings and Dividend Policy, the Bank retains in restricted retained earnings any cumulative net gains in earnings (net of applicable assessments) resulting from gains or losses on derivatives and associated hedged items and financial instruments carried at fair value (valuation adjustments). As the cumulative net valuation gains are reversed by periodic net losses and settlements of contractual interest cash flows, the amount of cumulative net gains decreases. The amount of retained earnings under this provision of the policy is therefore decreased, and that portion of the previously restricted retained earnings becomes unrestricted and may be made available for dividends.

Other Retained Earnings – Targeted Buildup– In addition to any cumulative net gains resulting from valuation adjustments, the Bank holds an additional amount in restricted retained earnings intended to protect paid-in capital from the effects of an extremely adverse credit event, an extremely adverse operations risk event, an extremely high level of quarterly losses related to the Bank's derivatives and associated hedged items and financial instruments carried at fair value, an extremely adverse change in the market value of the Bank's capital, and a significant amount of additional credit-related OTTI on PLRMBS, especially in periods of extremely low net income resulting from an adverse interest rate environment.

The Board of Directors has set the targeted amount of restricted retained earnings at $1,800, and the Bank reached this target as of March 31, 2012. The Bank's retained earnings target may be changed at any time. The Board of Directors will periodically review the applicable methodology and analysis to determine whether any adjustments are appropriate. As of September 30, 2012, the amount of restricted retained earnings in the Bank's targeted buildup account was $1,800.

Joint Capital Enhancement Agreement – In 2011, the 12 FHLBanks entered into a Joint Capital Enhancement Agreement (Agreement), as amended, which is intended to enhance the capital position of each FHLBank by allocating that portion of each FHLBank's earnings historically paid to satisfy its Resolution Funding Corporation (REFCORP) obligation to a separate retained earnings account at that FHLBank.

38

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

On August 5, 2011, the Finance Agency certified that the FHLBanks had fully satisfied their REFCORP obligation. In accordance with the Agreement, starting in the third quarter of 2011, each FHLBank is required to allocate 20% of its net income each quarter to a separate restricted retained earnings account until the balance of the account equals at least 1% of that FHLBank's average balance of outstanding consolidated obligations for the previous quarter. Under the Agreement, these restricted retained earnings will not be available to pay dividends.

The following table summarizes the activity related to restricted retained earnings for the three and nine months ended September 30, 2012 and 2011:

	Three Months Ended
	September 30, 2012									September 30, 2011
	Restricted Retained Earnings Related to:									Restricted Retained Earnings Related to:
	Valuation Adjustments			Targeted Buildup		Joint Capital Enhancement Agreement		Total		Valuation Adjustments			Targeted Buildup		Joint Capital Enhancement Agreement		Total
Balance at beginning of the period	$	72		$	1,800	$	82	$	1,954	$	130		$	1,535	$	—	$	1,665
Transfers to/(from) restricted retained earnings	(2		)	—		27		25		(44		)	67		7		30
Balance at end of the period	$	70		$	1,800	$	109	$	1,979	$	86		$	1,602	$	7	$	1,695

	Nine Months Ended
	September 30, 2012									September 30, 2011
	Restricted Retained Earnings Related to:									Restricted Retained Earnings Related to:
	Valuation Adjustments			Targeted Buildup		Joint Capital Enhancement Agreement		Total		Valuation Adjustments			Targeted Buildup		Joint Capital Enhancement Agreement		Total
Balance at beginning of the period	$	79		$	1,695	$	29	$	1,803	$	148		$	1,461	$	—	$	1,609
Transfers to/(from) restricted retained earnings	(9		)	105		80		176		(62		)	141		7		86
Balance at end of the period	$	70		$	1,800	$	109	$	1,979	$	86		$	1,602	$	7	$	1,695

For more information on these three categories of restricted retained earnings and the Bank's Retained Earnings and Dividend Policy, see “Item 8. Financial Statements and Supplementary Data – Note 15 – Capital” in the Bank's 2011 Form 10-K.

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

The Bank paid dividends (including dividends on mandatorily redeemable capital stock) totaling $11 at an annualized rate of 0.47% in the third quarter of 2012, and $8 at an annualized rate of 0.26%in the third quarter of 2011.

The Bank paid dividends (including dividends on mandatorily redeemable capital stock) totaling $37 at an annualized rate of 0.49% in the first nine months of 2012, and $27 at an annualized rate of 0.29% in the first nine months of 2011.

On October 26, 2012, the Bank's Board of Directors declared a cash dividend on the capital stock outstanding during the third quarter of 2012 at an annualized dividend rate of 2.51%. The Bank recorded the dividend on

39

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

October 26, 2012, the day it was declared by the Board of Directors. The Bank expects to pay the dividend (including dividends on mandatorily redeemable capital stock), which will total $60, on or about November 13, 2012.

The Bank will pay the dividend in cash rather than stock to comply with Finance Agency rules, which do not permit the Bank to pay dividends in the form of capital stock if the Bank's excess stock (defined as any stock holdings in excess of a shareholder's minimum capital stock requirement, as established by the Bank's capital plan) exceeds 1% of its total assets. As of September 30, 2012, the Bank's excess capital stock totaled $5,741, or 6.10% of total assets.

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

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

On a quarterly basis, the Bank determines whether it will repurchase excess capital stock. Because of a decision to preserve capital in view of the possibility of future OTTI charges on the Bank's PLRMBS portfolio, the Bank did not fully repurchase excess capital stock, created primarily by declining advances balances, in 2011 and in the first nine months of 2012. The Bank opted to maintain its strong regulatory capital position, while repurchasing $446, $452, and $445 in excess capital stock in the first, second and third quarters of 2012, respectively. The Bank repurchased excess capital stock totaling $445, $471, $460, and $469 in the first, second, third, and fourth quarters of 2011, respectively.

During the third quarter of 2012, the five-year redemption period for $22 in mandatorily redeemable capital stock expired, and the Bank redeemed the stock at its $100 par value on the relevant expiration dates.

On October 26, 2012, the Bank announced that it plans to repurchase up to $750 in excess capital stock on November 14, 2012. The amount of excess capital stock to be repurchased from each shareholder will be based on the total amount of capital stock (including mandatorily redeemable capital stock) outstanding to all shareholders on the repurchase date. The Bank will repurchase an equal percentage of each shareholder's total capital stock to the extent that the shareholder has sufficient excess capital stock.

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

Excess capital stock totaled $5,741 as of September 30, 2012, and $6,214 as of December 31, 2011.

For more information on excess and surplus capital stock, see “Item 8. Financial Statements and Supplementary Data – Note 15 – Capital” in the Bank's 2011 Form 10-K.

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 September 30, 2012, and December 31, 2011.

40

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	September 30, 2012				December 31, 2011
Name of Institution	Capital Stock Outstanding		Percentage of Total Capital Stock Outstanding		Capital Stock Outstanding		Percentage of Total Capital Stock Outstanding
Citigroup Inc.:
Citibank, N.A.(1)	$	2,476	27	%	$	2,884	28	%
Banamex USA	2		—		2		—
Subtotal Citigroup Inc.	2,478		27		2,886		28
JPMorgan Chase & Co.:
JPMorgan Bank & Trust Company, National Association	1,150		13		1,340		13
JPMorgan Chase Bank, National Association(1)	766		8		893		9
Subtotal JPMorgan Chase & Co.	1,916		21		2,233		22
Wells Fargo & Company:
Wells Fargo Bank, N.A.(1)	1,016		11		1,183		11
Wells Fargo Financial National Bank	4		—		4		—
Subtotal Wells Fargo & Company	1,020		11		1,187		11
Total capital stock ownership over 10%	5,414		59		6,306		61
Others	3,820		41		4,067		39
Total	$	9,234	100	%	$	10,373	100	%

(1) The capital stock held by these institutions is classified as mandatorily redeemable capital stock.

Note 14 — Segment Information

The Bank uses an analysis of financial performance based on the balances and adjusted net interest income of two operating segments, the advances-related business and the mortgage-related business, as well as other financial information, to review and assess financial performance and to determine the allocation of resources to these two major business segments. For purposes of segment reporting, adjusted net interest income includes interest income and expense associated with economic hedges that are recorded in “Net gain/loss on derivatives and hedging activities” in other income and excludes interest expense that is recorded in “Mandatorily redeemable capital stock.” Other key financial information, such as any credit-related OTTI charges on the Bank's PLRMBS, other expenses, and 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 17 – Segment Information” in the Bank's 2011 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 assessments for the three and nine months ended September 30, 2012 and 2011.

41

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	Advances- Related Business		Mortgage- Related Business(1)		Adjusted Net Interest Income		Amortization of Basis Adjustments(2)			Net Interest Expense on Economic Hedges(3)			Interest Expense on Mandatorily Redeemable Capital Stock(4)		Net Interest Income		Other Loss			Other Expense		Income Before Assessments
Three months ended:
September 30, 2012	$	74	$	128	$	202	$	(21	)	$	(2	)	$	6	$	219	$	(34	)	$	33	$	152
September 30, 2011	79		150		229		(39		)	(2		)	2		268		(197		)	31		40
Nine months ended:
September 30, 2012	206		393		599		(79		)	(20		)	20		678		(136		)	99		443
September 30, 2011	260		425		685		(89		)	(19		)	8		785		(558		)	93		134

(1) Does not include credit-related OTTI charges of $4 and $101 for the three months ended September 30, 2012 and 2011, respectively. Does not include credit-related OTTI charges of $34 and $373 for the nine months ended September 30, 2012 and 2011, respectively.

(2) Represents amortization of amounts deferred for adjusted net interest income purposes only in accordance with the Bank's Retained Earnings and Dividend Policy.

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

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

The following table presents total assets by operating segment at September 30, 2012, and December 31, 2011.

	Advances- Related Business		Mortgage- Related Business		Total Assets
September 30, 2012	$	68,832	$	25,357	$	94,189
December 31, 2011	88,302		25,250		113,552

Note 15 — Derivatives and Hedging Activities

General. The Bank may enter into interest rate swaps (including callable, putable, and basis swaps); swaptions; and cap, floor, corridor, and collar 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 and the issuance of consolidated obligation bonds to create variable rate structures. The interest rate exchange agreements are generally executed at the same time the advances and bonds are transacted and generally have the same maturity dates as the related advances and bonds.

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

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

42

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

most interest rate exchange agreements is indexed to LIBOR.

Swaptions – A swaption is an option on a swap that gives the buyer the right to enter into a specified interest rate swap at a certain time in the future. When used as a hedge, a swaption can protect the Bank against future interest rate changes when it is planning to lend or borrow funds in the future.

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

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

The Bank discontinues hedge accounting prospectively when: (i) it determines that the derivative is no longer effective in offsetting changes in the fair value or cash flows of a hedged item (including hedged items such as firm commitments or forecasted transactions); (ii) the derivative and/or the hedged item expires or is sold, terminated, or exercised; (iii) it is no longer probable that the forecasted transaction will occur in the originally expected period; (iv) a hedged firm commitment no longer meets the definition of a firm commitment; (v) it determines that designating the derivative as a hedging instrument is no longer appropriate; or (vi) it decides to use the derivative to offset changes in the fair value of other derivatives or instruments carried at fair value.

Intermediation– As an additional service to its members, the Bank has in the past entered into offsetting interest rate exchange agreements, acting as an intermediary between offsetting derivatives transactions with members and other counterparties. This intermediation allows members indirect access to the derivatives market. Derivatives in which the Bank is an intermediary may also arise when the Bank enters into derivatives to offset the economic effect of other derivatives that are no longer designated to advances, investments, or consolidated obligations. The offsetting derivatives used in intermediary activities do not receive hedge accounting treatment and are separately marked to market through earnings. The net result of the accounting for these derivatives does not significantly affect the operating results of the Bank.

The notional principal of the interest rate exchange agreements associated with derivatives with members and offsetting derivatives with other counterparties was $810 at September 30, 2012, and $810 at December 31, 2011. The Bank did not have any interest rate exchange agreements outstanding at September 30, 2012, and December 31, 2011, that were used to offset the economic effect of other derivatives that were no longer designated to advances, investments, or consolidated obligations.

Investments–The Bank may invest in U.S. Treasury and agency obligations, agency MBS, and the taxable portion of highly rated state or local housing finance agency obligations. In the past, the Bank has also invested in PLRMBS rated AAA at the time of acquisition. The interest rate and prepayment risk associated with these investment securities is managed through a combination of debt issuance and derivatives. The Bank may manage prepayment risk and interest rate risk by funding investment securities with consolidated obligations that have call features or by hedging the prepayment risk with a combination of consolidated obligations and callable swaps or

43

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

swaptions. The Bank may execute callable swaps and purchase swaptions in conjunction with the issuance of certain liabilities to create funding that is economically equivalent to fixed rate callable debt. Although these derivatives are economic hedges against prepayment risk and are designated to individual liabilities, they do not receive either fair value or cash flow hedge accounting treatment. Investment securities may be classified as trading, available-for-sale, or held-to-maturity.

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

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

In addition, for certain advances for which the Bank has elected the fair value option, the Bank will simultaneously execute an interest rate exchange agreement with terms that economically offset the terms of the advance. However, this type of hedge is treated as an economic hedge because these combinations generally do not meet the requirements for fair value hedge accounting treatment.

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

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

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

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

44

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

The Bank did not have any consolidated obligations denominated in currencies other than U.S. dollars outstanding during the nine months ended September 30, 2012, or the twelve months ended December 31, 2011.

Credit Risk – The Bank is subject to credit risk as a result of the risk of nonperformance by counterparties to the derivatives agreements. All of the Bank's derivatives agreements contain master netting provisions to help mitigate the credit risk exposure to each counterparty. The Bank manages counterparty credit risk through credit analyses and collateral requirements and by following the requirements of the Bank's risk management policies and credit guidelines. Based on the master netting provisions in each agreement, credit analyses, and the collateral requirements in place with each counterparty, the Bank does not expect to incur any credit losses on derivatives agreements.

The notional amount of an interest rate exchange agreement serves as a basis for calculating periodic interest payments or cash flows and is not a measure of the amount of credit risk from that transaction. The Bank had notional amounts outstanding of $99,553 and $129,576 at September 30, 2012, and December 31, 2011, respectively. The notional amount does not represent the exposure to credit loss. The amount potentially subject to credit loss is the estimated cost of replacing an interest rate exchange agreement that has a net favorable position if the counterparty defaults; this amount is substantially less than the notional amount.

The following table presents credit risk exposure on derivatives instruments. Collateral does not include a counterparty's pledged collateral that exceeds the Bank's net position with the counterparty.

	September 30, 2012		December 31, 2011
Total net exposure at fair value(1)	$	763	$	914
Cash collateral held	418		514
Net exposure after cash collateral	345		400
Securities collateral held	337		381
Net exposure after collateral	$	8	$	19

(1) Includes net accrued interest receivable of $155 and $86 as of September 30, 2012, and December 31, 2011, respectively.

The Bank's derivatives agreements contain provisions that link the Bank's credit rating from Moody's and Standard & Poor's to various rights and obligations. Certain of these derivatives agreements provide that, if the Bank's debt rating falls below A3/A- (and in one agreement, below A2/A), the Bank's counterparty would have the right, but not the obligation, to terminate all of its outstanding derivatives transactions with the Bank. In addition, the amount of collateral that the Bank is required to deliver to a counterparty depends on the Bank's credit rating. The aggregate fair value of all derivative instruments with credit-risk-related contingent features that were in a net derivative liability position (before cash collateral and related accrued interest) at September 30, 2012, was $59, for which the Bank had posted collateral with a fair value of $24 in the normal course of business. If the Bank's credit rating at September 30, 2012, had been Aa/AA (the next lower rating that might require an increase in collateral to be delivered by the Bank) instead of Aaa/AA+ (the Bank's current rating), then the Bank would have been required to deliver up to an additional $27 of collateral (at fair value) to its derivatives counterparties at September 30, 2012.

In the application of Standard & Poor's government-related entities criteria, the ratings of the FHLBank System and the FHLBanks are constrained by the long-term sovereign credit rating of the United States. On August 5, 2011, Standard & Poor's lowered its long-term sovereign credit rating of the United States from AAA to AA+ with a negative outlook and affirmed the A-1+ short-term rating. As a result, on August 8, 2011, Standard & Poor's lowered the long-term issuer credit ratings and related issuer ratings on select government-related entities. Specifically, Standard & Poor's lowered its long-term issuer credit ratings and related issuer ratings on 10 of the 12 FHLBanks and on the senior unsecured debt issued by the FHLBank System from AAA to AA+ with a negative outlook (the FHLBank of Chicago and the FHLBank of Seattle were already rated AA+) and removed the FHLBanks and relevant debt issues from CreditWatch. On July 31, 2012, Standard & Poor's corrected its rating on the FHLBank of Seattle by lowering its long-term rating from AA+ to AA, and stated that the new rating reflects the

45

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

FHLBank of Seattle's unchanged stand-alone credit profile, plus expected extraordinary government support if needed, according to Standard & Poor's government-related entity criteria. The outlook remains negative.

On July 13, 2011, Moody's placed the Aaa bond rating of the U. S. government, and consequently the ratings of the GSEs, including the FHLBanks, on review for possible downgrade because of the risk that the statutory debt limit would not be raised in time to prevent a default on U.S. Treasury debt obligations. On August 2, 2011, Moody's confirmed the Aaa bond rating of the U.S. government following the raising of the statutory debt limit and changed the rating outlook to negative. Also on August 2, 2011, Moody's confirmed the long-term Aaa rating on the senior unsecured debt issues of the FHLBank System, the 12 FHLBanks, and other ratings Moody's considers directly linked to the U.S. government. In conjunction with the revision of the U.S. government outlook to negative, Moody's also revised the rating outlook for the FHLBank System and the 12 FHLBanks to negative.

On November 28, 2011, Fitch Ratings (Fitch) affirmed the AAA long-term rating for the Federal Home Loan Banks of Atlanta, Boston, San Francisco, and Seattle and revised their rating outlook to negative. Fitch does not issue ratings for the other eight FHLBanks. This action followed Fitch's affirmation of the U.S. government's AAA rating and revision of its rating outlook to negative. On September 7, 2012, Fitch affirmed and withdrew the AAA long-term rating for the Federal Home Loan Banks of Boston, San Francisco, and Seattle, and stated that its ratings of the three FHLBanks were no longer considered by Fitch to be relevant to its coverage. Fitch affirmed the AAA long-term rating and negative outlook for the Federal Home Loan Bank of Atlanta on the same date.

The following table summarizes the fair value of derivatives instruments without the effect of netting arrangements or collateral as of September 30, 2012, and December 31, 2011. For purposes of this disclosure, the derivatives values include the fair value of derivatives and related accrued interest.

	September 30, 2012								December 31, 2011
	Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities			Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	34,327	$	1,118		$	334		$	56,355	$	1,241		$	309
Total	34,327		1,118			334			56,355		1,241			309
Derivatives not designated as hedging instruments:
Interest rate swaps	64,275		313			388			72,245		366			492
Interest rate caps, floors, corridors, and/or collars	951		1			7			976		4			11
Total	65,226		314			395			73,221		370			503
Total derivatives before netting and collateral adjustments	$	99,553	1,432			729			$	129,576	1,611			812
Netting adjustments by counterparty			(669		)	(669		)			(697		)	(697		)
Cash collateral and related accrued interest			(418		)	2					(514		)	(42		)
Total collateral and netting adjustments(1)			(1,087		)	(667		)			(1,211		)	(739		)
Derivative assets and derivative liabilities as reported on the Statements of Condition			$	345		$	62				$	400		$	73

(1) Amounts include the netting of derivative assets and liabilities by counterparty, including cash collateral, where the Bank has the legal right to do so under its master netting agreement with each counterparty.

The following table presents the components of net gain/(loss) on derivatives and hedging activities as presented in the Statements of Income for the three and nine months ended September 30, 2012 and 2011.

46

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	Three Months Ended						Nine Months Ended
	September 30, 2012			September 30, 2011			September 30, 2012			September 30, 2011
	Gain/(Loss)			Gain/(Loss)			Gain/(Loss)			Gain/(Loss)
Derivatives and hedged items in fair value hedging relationships – hedge ineffectiveness by derivative type:
Interest rate swaps	$	(3	)	$	(13	)	$	(18	)	$	(18	)
Total net loss related to fair value hedge ineffectiveness	(3		)	(13		)	(18		)	(18		)
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	(28		)	(149		)	(66		)	(199		)
Interest rate caps, floors, corridors, and/or collars	—			(1		)	1			—
Net interest settlements	(2		)	(2		)	(20		)	(19		)
Total net loss related to derivatives not designated as hedging instruments	(30		)	(152		)	(85		)	(218		)
Net loss on derivatives and hedging activities	$	(33	)	$	(165	)	$	(103	)	$	(236	)

The following tables present, by type of hedged item, the gains and losses on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on the Bank's net interest income for the three and nine months ended September 30, 2012 and 2011.

	Three Months Ended
	September 30, 2012											September 30, 2011
Hedged Item Type	Gain/ (Loss) on Derivatives			Gain/ (Loss) on Hedged Item		Net Fair Value Hedge Ineffectiveness			Effect of Derivatives on Net Interest Income(1)			Gain/ (Loss) on Derivatives			Gain/ (Loss) on Hedged Item			Net Fair Value Hedge Ineffectiveness			Effect of Derivatives on Net Interest Income(1)
Advances	$	(36	)	$	36	$	—		$	(35	)	$	(60	)	$	58		$	(2	)	$	(59	)
Consolidated obligation bonds	(43		)	40		(3		)	128			59			(70		)	(11		)	266
Total	$	(79	)	$	76	$	(3	)	$	93		$	(1	)	$	(12	)	$	(13	)	$	207

	Nine Months Ended
	September 30, 2012											September 30, 2011
Hedged Item Type	Gain/ (Loss) on Derivatives			Gain/ (Loss) on Hedged Item		Net Fair Value Hedge Ineffectiveness			Effect of Derivatives on Net Interest Income(1)			Gain/ (Loss) on Derivatives			Gain/ (Loss) on Hedged Item		Net Fair Value Hedge Ineffectiveness			Effect of Derivatives on Net Interest Income(1)
Advances	$	(63	)	$	64	$	1		$	(110	)	$	(19	)	$	18	$	(1	)	$	(209	)
Consolidated obligation bonds	(146		)	127		(19		)	399			(205		)	188		(17		)	913
Total	$	(209	)	$	191	$	(18	)	$	289		$	(224	)	$	206	$	(18	)	$	704

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

For the three and nine months ended September 30, 2012 and 2011, there were no reclassifications from other comprehensive income/(loss) into earnings as a result of the discontinuance of cash flow hedges because the original forecasted transactions occurred by the end of the originally specified time period or within a two-month period thereafter.

As of September 30, 2012, the amount of unrecognized net losses on derivative instruments accumulated in other comprehensive income/(loss) expected to be reclassified to earnings during the next 12 months was de minimis. The maximum length of time over which the Bank is hedging its exposure to the variability in future cash flows for forecasted transactions, excluding those forecasted transactions related to the payment of variable interest on

47

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

existing financial instruments, is less than three months.

Note 16 — Fair Value

The following fair value amounts have been determined by the Bank using available market information and the Bank's best judgment of appropriate valuation methods. These estimates are based on pertinent information available to the Bank at September 30, 2012, and December 31, 2011. 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 are not subject to precise quantification or verification and may change as economic and market factors and evaluation of those factors change. 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 of 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 on a combined basis.

The following tables present the carrying value and the estimated fair value of the Bank's financial instruments at September 30, 2012, and December 31, 2011.

	September 30, 2012
	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments(1)
Assets
Cash and due from banks	$	2	$	2	$	2	$	—	$	—	$	—
Securities purchased under agreements to resell	3,000		3,000		—		3,000		—		—
Federal funds sold	7,427		7,427		—		7,427		—		—
Trading securities	3,540		3,540		—		3,540		—		—
Available-for-sale securities	7,969		7,969		—		306		7,663		—
Held-to-maturity securities	18,421		18,599		—		15,237		3,362		—
Advances	51,825		52,031		—		52,031		—		—
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	1,411		1,558		—		1,558		—		—
Accrued interest receivable	130		130		—		130		—		—
Derivative assets, net(1)	345		345		—		1,432		—		(1,087		)
Liabilities
Deposits	179		179		—		179		—		—
Consolidated obligations:
Bonds	73,371		73,708		—		73,708		—		—
Discount notes	9,728		9,729		—		9,729		—		—
Total consolidated obligations	83,099		83,437		—		83,437		—		—
Mandatorily redeemable capital stock	4,770		4,770		4,770		—		—		—
Accrued interest payable	260		260		—		260		—		—
Derivative liabilities, net(1)	62		62		—		729		—		(667		)
Other
Standby letters of credit	11		11		—		11		—		—

48

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	December 31, 2011
	Carrying Value		Estimated Fair Value
Assets
Cash and due from banks	$	3,494	$	3,494
Federal funds sold	5,366		5,366
Trading securities	2,808		2,808
Available-for-sale securities	9,613		9,613
Held-to-maturity securities	21,581		21,414
Advances	68,164		68,584
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	1,829		1,976
Accrued interest receivable	180		180
Derivative assets, net(1)	400		400
Liabilities
Deposits	156		156
Consolidated obligations:
Bonds	83,350		83,878
Discount notes	19,152		19,155
Total consolidated obligations	102,502		103,033
Mandatorily redeemable capital stock	5,578		5,578
Accrued interest payable	241		241
Derivative liabilities, net(1)	73		73
Other
Standby letters of credit	6		6

(1) Amounts include the netting of derivative assets and liabilities by counterparty, including cash collateral, where the Bank has the legal right to do so under its master netting agreement with each counterparty.

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

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

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

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

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

A financial instrument's categorization within the valuation hierarchy is based on the lowest level of input that is

49

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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 September 30, 2012:

• Trading securities

• Available-for-sale securities

• Certain advances

• Derivative assets and liabilities

• Certain consolidated obligation bonds

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

Summary of Valuation Methodologies and Primary Inputs.

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

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

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

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

In the first quarter of 2012, the Bank conducted reviews of the four pricing vendors to update and confirm its understanding of the vendors' pricing processes, methodologies, and control procedures.

The Bank's valuation technique for estimating the fair values of its MBS first requires the establishment of a “median” price for each security. If four prices are received, the average of the middle two prices is the median price; if three prices are received, the middle price is the median price; if two prices are received, the average of the two prices is the median price; and if one price is received, it is the median price (and also the default fair value) subject to additional validation. All vendor prices that are within a specified tolerance threshold of the median price are included in the cluster of vendor prices that are averaged to establish a default fair value. All vendor prices that are outside the threshold (outliers) are subject to further analysis including, but not limited to, comparison to prices

50

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

provided by an additional third-party valuation service, prices for similar securities and/or dealer estimates, or use of internal model prices, which are deemed to be reflective of all relevant facts and circumstances that a market participant would consider. Such analysis is also applied in those limited instances where no third-party vendor price or only one third-party vendor price is available in order to arrive at an estimated fair value. If an outlier (or some other price identified in the analysis) is determined to be a better estimate of fair value, then the outlier (or the other price, as appropriate) is used as the fair value rather than the default fair value. If, instead, the analysis confirms that an outlier is (or outliers are) not representative of fair value and the default fair value is the best estimate, then the default fair value is used as the fair value.

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

As an additional step, the Bank reviewed the fair value estimates of its PLRMBS as of September 30, 2012, for reasonableness using an implied yield test. The Bank calculated an implied yield for each of its PLRMBS using the estimated fair value derived from the process described above and the security's projected cash flows from the Bank's OTTI process and compared the implied yield to the yields for comparable securities according to dealers and other third-party sources to the extent comparable market yield data was available. This analysis did not indicate that any adjustments to the fair value estimates were necessary.

As of September 30, 2012, four vendor prices were received for most of the Bank's MBS, and the fair value estimates for most of those securities were determined by averaging the four vendor prices. Based on the Bank's reviews of the pricing methods employed by the third-party pricing vendors and the relative lack of dispersion among the vendor prices (or, in those instances in which there were outliers or significant yield variances, the Bank's additional analyses), the Bank believes that its fair value estimates are reasonable and that the fair value measurements are classified appropriately in the fair value hierarchy. Based on limited market liquidity for PLRMBS, the fair value measurements for these securities were classified as level 3 within the fair value hierarchy.

Investment Securities – FFCB bonds, TLGP securities, and Housing Finance Agency Bonds –The Bank estimates the fair values of these securities using the same methodology as described above for MBS.

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

The Bank's primary inputs for measuring the fair value of advances are market-based consolidated obligation yield curve (CO Curve) inputs obtained from the Office of Finance and provided to the Bank. The CO Curve is then adjusted to reflect the rates on replacement advances with similar terms and collateral. These spread adjustments are not market-observable and are evaluated for significance in the overall fair value measurement and the fair value hierarchy level of the advance. The Bank obtains market-observable inputs from derivatives dealers for complex advances. These inputs may include volatility assumptions, which are market-based expectations of future interest rate volatility implied from current market prices for similar options (swaptions volatilities). The discount rates used in these calculations are the replacement advance rates for advances with similar terms. Pursuant to the Finance Agency's advances regulation, advances with an original term to maturity or repricing period greater than six months generally require a prepayment fee sufficient to make the Bank financially indifferent to the borrower's decision to prepay the advances. The Bank determined that no adjustment is required to the fair value measurement of advances for prepayment fees.

Mortgage Loans Held for Portfolio – The estimated fair value for mortgage loans represents modeled prices based on observable market prices for agency commitment rates adjusted for differences in coupon, average loan rate, seasoning, and cash flow remittance between the Bank's mortgage loans and the referenced mortgage loans. Market prices are highly dependent on the underlying prepayment assumptions. Changes in the prepayment speeds often

51

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

have a material effect on the fair value estimates. These underlying prepayment assumptions are susceptible to material changes in the near term because they are made at a specific point in time.

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

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

Derivative Assets and Liabilities –In general, derivative instruments held by the Bank for risk management activities are traded in over-the-counter markets where quoted market prices are not readily available. These derivatives are interest rate-related. For these derivatives, the Bank measures fair value using internally developed discounted cash flow models that use market-observable inputs, such as the LIBOR swap yield curve, option volatilities adjusted for counterparty credit risk, as necessary, and prepayment assumptions.

The Bank is subject to credit risk in derivatives transactions because of potential nonperformance by the derivatives counterparties. To mitigate this risk, the Bank only executes transactions with highly rated derivatives dealers and major banks (derivatives dealer counterparties) that meet the Bank's eligibility criteria. In addition, the Bank has entered into master netting agreements and bilateral security agreements with all active derivatives dealer counterparties that provide for delivery of collateral at specified levels to limit the Bank's net unsecured credit exposure to these counterparties. Under these policies and agreements, the amount of unsecured credit exposure to an individual derivatives dealer counterparty is limited to an absolute dollar credit exposure limit according to the counterparty's credit rating, as determined by rating agency long-term credit ratings of the counterparty's debt securities or deposits. All credit exposure from derivatives transactions entered into by the Bank with member counterparties that are not derivatives dealers must be fully secured by eligible collateral. The Bank evaluated the potential for the fair value of the instruments to be affected by counterparty credit risk and determined that no adjustments to the overall fair value measurements were required.

The fair values of the derivative assets and liabilities include accrued interest receivable/payable and cash collateral remitted to/received from counterparties. The estimated fair values of the accrued interest receivable/payable and cash collateral approximate their carrying values because of their short-term nature. The fair values of derivatives are netted by counterparty pursuant to the provisions of each master netting agreement. If these netted amounts are positive, they are classified as an asset and, if negative, they are classified as a liability.

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

Consolidated Obligations –Because quoted prices in active markets are not generally available for identical liabilities, the Bank measures fair values using internally developed models that use primarily market-observable inputs. The Bank's primary inputs for measuring the fair value of consolidated obligation bonds are market-based CO Curve inputs obtained from the Office of Finance and provided to the Bank. The Office of Finance constructs the CO Curve using the Treasury yield curve as a base curve, which may be adjusted by indicative spreads obtained from market-observable sources. These market indications are generally derived from pricing indications from dealers, historical pricing relationships, and market activity for similar liabilities such as recent GSE trades, or secondary market activity. For consolidated obligation bonds with embedded options, the Bank also obtains market-observable quotes and inputs from derivatives dealers. The Bank uses these swaption volatilities as significant inputs for measuring the fair value of consolidated obligations.

Adjustments may be necessary to reflect the Bank's credit quality or the credit quality of the FHLBank System when valuing consolidated obligation bonds measured at fair value. The Bank monitors its own creditworthiness,

52

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

the creditworthiness of the other 11 FHLBanks, and the FHLBank System to determine whether any adjustments are necessary for creditworthiness in its fair value measurement of consolidated obligation bonds. The credit ratings of the FHLBank System and any changes to the credit ratings are the basis for the Bank to determine whether the fair values of consolidated obligations have been significantly affected during the reporting period by changes in the instrument-specific credit risk.

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

Commitments – The estimated fair value of the Bank's commitments to extend credit was de minimis at September 30, 2012, and December 31, 2011. The estimated fair value of standby letters of credit is based on the present value of fees currently charged for similar agreements. The value of the Bank's standby letters of credit is recorded in other liabilities.

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 highly subjective and require judgments regarding significant matters such as the amount and timing of future cash flows, prepayment speed assumptions, expected interest rate volatility, methods to determine possible distributions of future interest rates used to value options, and the selection of discount rates that appropriately reflect market and credit risks. Changes in these judgments often have a material effect on the fair value estimates.

Fair Value Measurements. The tables below present the fair value of assets and liabilities, which are recorded on a recurring or nonrecurring basis at September 30, 2012, and December 31, 2011, by level within the fair value hierarchy.

53

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

September 30, 2012
	Fair Value Measurement Using:						Netting
	Level 1		Level 2		Level 3		Adjustments(1)			Total
Recurring fair value measurements – Assets:
Trading securities:
GSEs – FFCB bonds	$	—	$	2,961	$	—	$	—		$	2,961
TLGP securities	—		563		—		—			563
MBS:
Other U.S. obligations – Ginnie Mae	—		16		—		—			16
Total trading securities	—		3,540		—		—			3,540
Available-for-sale securities:
TLGP securities	—		306		—		—			306
PLRMBS	—		—		7,663		—			7,663
Total available-for-sale securities	—		306		7,663		—			7,969
Advances(2)	—		7,422		—		—			7,422
Derivative assets, net: interest rate-related	—		1,432		—		(1,087		)	345
Total recurring fair value measurements – Assets	$	—	$	12,700	$	7,663	$	(1,087	)	$	19,276
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	28,972	$	—	$	—		$	28,972
Derivative liabilities, net: interest rate-related	—		729		—		(667		)	62
Total recurring fair value measurements – Liabilities	$	—	$	29,701	$	—	$	(667	)	$	29,034
Nonrecurring fair value measurements – Assets:
REO	$	—	$	—	$	3

December 31, 2011
	Fair Value Measurement Using:						Netting
	Level 1		Level 2		Level 3		Adjustments(1)			Total
Recurring fair value measurements – Assets:
Trading securities:
GSEs – FFCB bonds	$	—	$	1,867	$	—	$	—		$	1,867
TLGP securities	—		923		—		—			923
MBS:
Other U.S. obligations – Ginnie Mae	—		17		—		—			17
GSEs – Fannie Mae	—		1		—					1
Total trading securities	—		2,808		—		—			2,808
Available-for-sale securities:
TLGP securities	—		1,926		—		—			1,926
PLRMBS	—		—		7,687		—			7,687
Total available-for-sale securities	—		1,926		7,687		—			9,613
Advances(2)	—		8,728		—		—			8,728
Derivative assets, net: interest rate-related	—		1,611		—		(1,211		)	400
Total recurring fair value measurements – Assets	$	—	$	15,073	$	7,687	$	(1,211	)	$	21,549
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	15,712	$	—	$	—		$	15,712
Derivative liabilities, net: interest rate-related	—		812		—		(739		)	73
Total recurring fair value measurements – Liabilities	$	—	$	16,524	$	—	$	(739	)	$	15,785
Nonrecurring fair value measurements – Assets:
REO	$	—	$	—	$	2

54

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

(1) Amounts represent the netting of derivative assets and liabilities by counterparty, including cash collateral, where the Bank has the legal right to do so under its master netting agreement with each counterparty.

(2) Includes $7,385 and $8,684 of advances recorded under the fair value option at September 30, 2012, and December 31, 2011, respectively, and $37 and $44 of advances recorded at fair value at September 30, 2012, and December 31, 2011, respectively, where the exposure to overall changes in fair value was hedged in accordance with the accounting for derivative instruments and hedging activities.

(3) Includes $28,972 and $15,712 of consolidated obligation bonds recorded under the fair value option at September 30, 2012, and December 31, 2011, respectively. There were no consolidated obligation bonds recorded at fair value at September 30, 2012, and December 31, 2011, where the exposure to overall changes in fair value was hedged in accordance with the accounting for derivative instruments and hedging activities.

The following table presents a reconciliation of the Bank's available-for-sale PLRMBS that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three and nine months ended September 30, 2012 and 2011.

	Three Months Ended
	September 30, 2012			September 30, 2011
Balance, beginning of period	$	7,409		$	7,855
Total gain/(loss) realized and unrealized included in:
Interest income	(2		)	(4		)
Net OTTI loss, credit-related	(4		)	(97		)
Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI	513			(32		)
Settlements	(332		)	(296		)
Transfers of held-to-maturity to available-for-sale securities	79			573
Balance, end of period	$	7,663		$	7,999
Total amount of gain/(loss) for the period included in earnings attributable to the change in unrealized gains/losses relating to assets and liabilities still held at the end of the period	$	(6	)	$	(101	)

	Nine Months Ended
	September 30, 2012			September 30, 2011
Balance, beginning of period	$	7,687		$	—
Total gain/(loss) realized and unrealized included in:
Interest income	(11		)	(7		)
Net OTTI loss, credit-related	(34		)	(201		)
Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI	844			944
Settlements	(957		)	(525		)
Transfers of held-to-maturity to available-for-sale securities	134			7,788
Balance, end of period	$	7,663		$	7,999
Total amount of gain/(loss) for the period included in earnings attributable to the change in unrealized gains/losses relating to assets and liabilities still held at the end of the period	$	(45	)	$	(208	)

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 carried on advances and consolidated bonds at fair value are recognized solely on the contractual amount of interest due or unpaid. Any transaction fees or costs are immediately recognized in non-interest income or non-interest expense.

55

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

For more information on the Bank's election of the fair value option, see “Item 8. Financial Statements and Supplementary Data – Note 19 – Fair Values” in the Bank's 2011 Form 10-K.

The Bank has elected the fair value option for certain financial instruments to assist in mitigating potential income statement 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 income statement volatility associated with using fair value only for the derivative is the Bank's primary reason for electing the fair value option for financial assets and liabilities that do not qualify for hedge accounting or that have not previously met or may be at risk for not meeting the hedge effectiveness requirements.

The following table summarizes the activity related to financial assets and liabilities for which the Bank elected the fair value option during the three and nine months ended September 30, 2012 and 2011:

	Three Months Ended
	September 30, 2012						September 30, 2011
	Advances			Consolidated Obligation Bonds			Advances			Consolidated Obligation Bonds
Balance, beginning of the period	$	7,749		$	20,008		$	9,227		$	18,737
New transactions elected for fair value option	173			12,980			229			7,479
Maturities and terminations	(559		)	(4,035		)	(403		)	(7,313		)
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option	24			18			116			44
Change in accrued interest	(2		)	1			(1		)	—
Balance, end of the period	$	7,385		$	28,972		$	9,168		$	18,947

	Nine Months Ended
	September 30, 2012						September 30, 2011
	Advances			Consolidated Obligation Bonds			Advances			Consolidated Obligation Bonds
Balance, beginning of the period	$	8,684		$	15,712		$	10,490		$	20,872
New transactions elected for fair value option	637			23,800			1,746			15,204
Maturities and terminations	(1,937		)	(10,541		)	(3,231		)	(17,247		)
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option	7			1			170			118
Change in accrued interest	(6		)	—			(7		)	—
Balance, end of the period	$	7,385		$	28,972		$	9,168		$	18,947

For instruments for which the fair value option has been elected, the related contractual interest income and contractual interest expense are recorded as part of net interest income on the Statements of Income. The remaining changes in fair value for instruments for which the fair value option has been elected are recorded as net gains/ (losses) on financial instruments held under the fair value option in the Statements of Income. The change in fair value does not include changes in instrument-specific credit risk. For advances and consolidated obligations recorded under the fair value option, the Bank determined that no adjustments to the fair values of these instruments for changes in credit risk were necessary for the three and nine months ended September 30, 2012 and 2011.

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 September 30, 2012, and December 31, 2011:

56

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	At September 30, 2012						At December 31, 2011
	Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance		Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance
Advances(1)	$	7,057	$	7,385	$	328	$	8,258	$	8,684	$	426
Consolidated obligation bonds	28,927		28,972		45		15,669		15,712		43

(1) At September 30, 2012, and December 31, 2011, none of these advances were 90 days or more past due or had been placed on nonaccrual status.

Note 17 — Commitments and Contingencies

As provided by the FHLBank Act or regulations governing the operations of the FHLBanks, all FHLBanks have joint and several liability for all FHLBank consolidated obligations, which are backed only by the financial resources of the FHLBanks. The joint and several liability regulation authorizes the Finance Agency to require any FHLBank to repay all or a portion of the principal or interest on consolidated obligations for which another FHLBank is the primary obligor. The regulations provide a general framework for addressing the possibility that an FHLBank may be unable to repay the consolidated obligations for which it is the primary obligor. The Bank has never been asked or required to repay the principal or interest on any consolidated obligation on behalf of another FHLBank, and as of September 30, 2012, 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 amount of the outstanding consolidated obligations of all 12 FHLBanks was $674,487 at September 30, 2012, and $691,868 at December 31, 2011. The par value of the Bank's participation in consolidated obligations was $81,965 at September 30, 2012, and $101,204 at December 31, 2011. For more information on the joint and several liability regulation, see “Item 8. Financial Statements and Supplementary Data – Note 20 – Commitments and Contingencies” in the Bank's 2011 Form 10-K.

Off-balance sheet commitments as of September 30, 2012, and December 31, 2011, were as follows:

	September 30, 2012						December 31, 2011
	Expire Within One Year		Expire After One Year		Total		Expire Within One Year		Expire After One Year		Total
Standby letters of credit outstanding	$	1,305	$	2,147	$	3,452	$	4,227	$	1,087	$	5,314
Commitments to fund additional advances(1)	19		1		20		100		2		102
Unsettled consolidated obligation bonds, par(2)	1,610		—		1,610		200		—		200
Interest rate exchange agreements, traded but not yet settled	1,321		—		1,321		705		—		705

(1) AtSeptember 30, 2012, and December 31, 2011, $16 and $100, respectively, of the commitments to fund additional advances were hedged with associated interest rate swaps.

(2) AtSeptember 30, 2012, and December 31, 2011, $1,305 and $200, respectively, of the unsettled consolidated obligation bonds were hedged with associated interest rate swaps.

Standby letters of credit are generally issued for a fee on behalf of members to support their obligations to third parties. If the Bank is required to make a payment for a beneficiary's drawing under a letter of credit, the amount is immediately due and payable by the member to the Bank and is charged to the member's demand deposit account with the Bank. The original terms of these standby letters of credit range from 88 days to 10 years, including a final expiration in 2022.

The value of the Bank's obligations related to standby letters of credit is recorded in other liabilities and amounted to $11 at September 30, 2012, and $6 at December 31, 2011. Letters of credit are fully collateralized at the time of issuance. Based on the Bank's credit analyses of members' financial condition and collateral requirements, the Bank deemed it unnecessary to record any additional liability on the letters of credit outstanding as of September 30, 2012, and December 31, 2011.

57

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Commitments to fund additional advances totaled $20 and $102 at September 30, 2012, and December 31, 2011. Advances funded under advance commitments are fully collateralized at the time of funding (see Note 9 – Allowance for Credit Losses). Based on the Bank's credit analyses of members' financial condition and collateral requirements, the Bank deemed it unnecessary to record any additional liability on the advance commitments outstanding as of September 30, 2012, and December 31, 2011. The estimated fair value of advance commitments was de minimis to the balance sheet as of September 30, 2012, and December 31, 2011.

Commitments to participate in the issuance of consolidated obligations totaled $1,610 and $200 at September 30, 2012, and December 31, 2011. The estimated fair value of the consolidated obligation commitments was de minimis to the balance sheet as of September 30, 2012, and December 31, 2011.

The Bank executes interest rate exchange agreements with major banks and derivatives entities affiliated with broker-dealers and with its members. The Bank enters into master agreements with netting provisions with all counterparties and into bilateral security agreements with all active derivatives dealer counterparties. All member counterparty master agreements, excluding those with derivatives dealers, are subject to the terms of the Bank's Advances and Security Agreement with members, and all member counterparties (except for those that are derivatives dealers) must fully collateralize the Bank's net credit exposure. As of September 30, 2012, the Bank had pledged total collateral of $24, including securities with a carrying value of $20, all of which could be sold or repledged, and cash of $4 to counterparties that had market risk exposure to the Bank related to derivatives. As of December 31, 2011, the Bank had pledged total collateral of $82, including securities with a carrying value of $33, all of which could be sold or repledged, and cash of $49 to counterparties 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 normal course of business. After consultation with legal counsel, the Bank does not anticipate that the ultimate liability, if any, arising out of these matters will have a material effect on its financial condition or results of operations.

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

Transactions with Certain Members and Certain Nonmembers. The following tables set forth information at the dates and for the periods indicated with respect to transactions with: (i) members and nonmembers holding more than 10% of the outstanding shares of the Bank's capital stock, including mandatorily redeemable capital stock, at each respective period end, (ii) members that had an officer or director serving on the Bank's Board of Directors at any time during the periods indicated, and (iii) affiliates of the foregoing members and nonmembers. All transactions with members, the nonmembers described in the preceding sentence, and their respective affiliates are entered into in the normal course of business. The tables include securities transactions where certain members, nonmembers and their affiliates (as described above) are the issuers or obligors of the securities, but do not include securities purchased, sold or issued through, or otherwise underwritten by, affiliates of certain members and nonmembers. The tables also do not include any AHP awards. Securities purchased, sold or issued through, or otherwise underwritten by, and AHP awards provided to, the affiliates of certain members and nonmembers are in the ordinary course of the Bank's business.

58

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	September 30, 2012		December 31, 2011
Assets:
Cash and due from banks	$	1	$	1
Investments(1)	2,545		1,367
Advances	28,420		36,689
Mortgage loans held for portfolio	1,177		1,454
Accrued interest receivable	30		33
Derivative assets, net	424		522
Total Assets	$	32,597	$	40,066
Liabilities:
Deposits	$	436	$	527
Mandatorily redeemable capital stock	4,259		4,960
Derivative liabilities, net	3		3
Total Liabilities	$	4,698	$	5,490
Notional amount of derivatives	$	17,653	$	31,033
Standby letters of credit	142		2,736

(1) Investments consist of securities purchased under agreements to resell, Federal funds sold, available-for-sale securities, and held-to-maturity securities issued by and/or purchased from the members or nonmembers described in this section or their affiliates.

	Three Months Ended						Nine Months Ended
	September 30, 2012			September 30, 2011			September 30, 2012			September 30, 2011
Interest Income:
Investments(1)	$	9		$	12		$	29		$	42
Advances(2)	42			42			136			138
Mortgage loans held for portfolio	16			20			50			63
Total Interest Income	$	67		$	74		$	215		$	243
Interest Expense:
Mandatorily redeemable capital stock	$	5		$	2		$	17		$	6
Consolidated obligations(2)	(53		)	(105		)	(168		)	(352		)
Total Interest Expense	$	(48	)	$	(103	)	$	(151	)	$	(346	)
Other Income/(Loss):
Net gain/(loss) on derivatives and hedging activities	$	(46	)	$	(24	)	$	(120	)	$	(167	)
Other income	—			1			1			3
Total Other Income/(Loss)	$	(46	)	$	(23	)	$	(119	)	$	(164	)

(1) Investments consist of securities purchased under agreements to resell, Federal funds sold, available-for-sale securities, and held-to-maturity securities issued by and/or purchased from the members or nonmembers described in this section or their affiliates.

(2) Reflects the effect of associated derivatives with the members or nonmembers described in this section or their affiliates.

Transactions with Other FHLBanks. Transactions with other FHLBanks are identified on the face of the Bank's financial statements.

Note 19 — Subsequent Events

The Bank evaluated events subsequent to September 30, 2012, until the time of the Form 10-Q filing with the Securities and Exchange Commission, and no material subsequent events were identified.

59

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, are “forward-looking statements.” These statements may use forward-looking terms, such as “anticipate,” “believe,” “could,” “estimate,” “expect,” “intend,” “likely,” “may,” “probable,” “project,” “should,” “will,” or their negatives or other variations on these terms, and include statements related to, among others, gains and losses on derivatives, plans to pay dividends and repurchase excess capital stock, future other-than-temporary impairment charges, future classification of securities, and reform legislation. The Bank cautions that by their nature, forward-looking statements involve risk or uncertainty that could cause actual results to differ materially from those expressed or implied in these forward-looking statements or could affect the extent to which a particular objective, projection, estimate, or prediction is realized. These risks and uncertainties include, among others, the following:

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

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

• the timing and volume of market activity;

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

• changes in the Bank's capital structure;

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

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

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

• changes in Bank members' demand for Bank advances;

• changes in the value or liquidity of collateral underlying advances to Bank members or nonmember borrowers or collateral pledged by the Bank's derivatives 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 whether or not the Bank is paying dividends or repurchasing excess capital stock;

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

• the ability of the Bank to introduce new products and services to meet market demand and to manage the risks associated with new products and services successfully;

• 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;

• designation of the Bank as a “nonbank financial company” by the Financial Stability Oversight Council;

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

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

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

60

Bank's Annual Report on Form 10-K for the year ended December 31, 2011 (2011 Form 10-K).

This Management's Discussion and Analysis of Financial Condition and Results of Operations should be read in conjunction with the Bank's interim financial statements and notes and the Bank's 2011 Form 10-K.

Quarterly Overview

Economic growth in the United States remained weak in the third quarter of 2012, prompting the Federal Reserve to institute a major policy move in September that is intended to stimulate the housing market with lower interest rates and indirectly boost sluggish employment growth. Although job growth during the quarter was higher than in the second quarter, the rate of hiring was not sufficient to support sustained growth going forward. Some favorable trends, however, were evident during the period, as low interest rates and an increase in consumer confidence supported positive retail sales during the quarter. This optimism extended into the housing market, with some stabilization seen in existing home sales and prices. New home construction and sales strengthened as well. In general, liquidity remained high for many Federal Home Loan Bank of San Francisco members, and they continued to hold sufficient low-cost deposits to support loan originations. As a result, demand for Bank advances continued to decline during the quarter.

Net income for the third quarter of 2012 was $137 million, compared to net income of $36 million for the third quarter of 2011. The increase in net income for the third quarter of 2012 primarily reflected the impact of a lower credit-related other-than-temporary impairment (OTTI) charge on certain of the Bank's private-label residential mortgage-backed securities (PLRMBS), and a lower net loss associated with derivatives, hedged items, and financial instruments carried at fair value, partially offset by a decline in net interest income.

Net interest income for the third quarter of 2012 was $219 million, down from $268 million for the third quarter of 2011. The decrease in net interest income was due, in part, to lower average balances of advances, MBS, and mortgage loans, and to a decline in earnings on invested capital because of lower capital balances and the lower interest rate environment.

Total other income/(loss) for the third quarter of 2012 was a loss of $34 million, compared to a loss of $197 million for the third quarter of 2011. The loss for the third quarter of 2012 reflected a credit-related OTTI charge of $4 million on certain PLRMBS; a net loss associated with derivatives, hedged items, and financial instruments carried at fair value of $30 million; and net interest expense on derivative instruments used in economic hedges of $2 million, which was generally offset by net interest income on the economically hedged assets and liabilities.

The $4 million credit-related OTTI charge reflected the impact of modest additional projected losses on loan collateral underlying certain of the Bank's PLRMBS, based on the Bank's OTTI analysis for the third quarter of 2012. The credit-related OTTI charge for the third quarter of 2011 was $101 million. Each quarter, the Bank updates its OTTI analysis to reflect current housing market conditions, changes in anticipated housing market conditions, observed and anticipated borrower behavior, and updated information on the loans supporting the Bank's PLRMBS.

The $30 million net loss associated with derivatives, hedged items, and financial instruments carried at fair value for the third quarter of 2012, which decreased from a $94 million net loss for the third quarter of 2011, reflected losses primarily associated with reversals of prior period gains and the effects of changes in interest rates. Net valuation gains and losses on these financial instruments will generally reverse through changes in future valuations and settlements of contractual interest cash flows over the remaining contractual terms to maturity, or by the exercised call or put dates. However, the Bank may have instances in which hedging relationships are terminated prior to maturity or prior to the call or put dates. Terminating the hedging relationship may result in a realized gain or loss. In addition, the Bank may have instances in which it may sell trading securities prior to maturity, which may also result in a realized gain or loss. In anticipation of the subsequent reversal of any net gains on these financial instruments, the Bank retains in restricted retained earnings any cumulative net gains in earnings (net of applicable assessments) resulting from valuation gains or losses on these instruments. As of September 30, 2012, the Bank's restricted retained earnings included a cumulative net gain of $70 million associated with derivatives,

61

hedged items, and financial instruments carried at fair value.

Accumulated other comprehensive loss declined $0.8 billion during the first nine months of 2012, to $1.1 billion at September 30, 2012, from $1.9 billion at December 31, 2011, primarily as a result of improvement in the fair value of PLRMBS classified as available-for-sale.

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

On October 26, 2012, the Bank's Board of Directors declared a cash dividend on the capital stock outstanding during the third quarter of 2012 at an annualized rate of 2.51%. The Bank recorded the dividend on October 26, 2012, the day it was declared by the Board of Directors. The Bank expects to pay the dividend (including dividends on mandatorily redeemable capital stock), which will total $60 million, on or about November 13, 2012. The Bank will pay the dividend in cash rather than stock to comply with the rules of the Federal Housing Finance Agency (Finance Agency), which do not permit the Bank to pay dividends in the form of capital stock if the Bank's excess capital stock exceeds 1% of its total assets. As of September 30, 2012, the Bank's excess capital stock totaled $5.7 billion, or 6.10% of total assets.

As of September 30, 2012, the Bank was in compliance with all of its regulatory capital requirements. The Bank's total regulatory capital ratio was 12.12%, exceeding the 4.00% requirement. The Bank had $11.4 billion in regulatory capital, exceeding its risk-based capital requirement of $4.0 billion. Total retained earnings were $2.2 billion as of September 30, 2012.

In light of the Bank's strong regulatory capital position, the Bank plans to repurchase up to $750 million in excess capital stock on November 14, 2012. The amount of excess capital stock to be repurchased from each shareholder will be based on the total amount of capital stock (including mandatorily redeemable capital stock) outstanding to all shareholders on the repurchase date. The Bank will repurchase an equal percentage of each shareholder's total capital stock to the extent that the shareholder has sufficient excess capital stock.

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

During the first nine months of 2012, total assets decreased$19.4 billion, or 17%, to $94.2 billion at September 30, 2012, from $113.6 billion at December 31, 2011. Total advances declined$16.4 billion, or 24%, to $51.8 billion at September 30, 2012, from $68.2 billion at December 31, 2011. The continued decrease in advances was primarily attributable to reduced use of Bank advances by the Bank's largest members, which continued to experience high levels of liquidity during the period, and to the repayment of advances by former members or their successors. In total, 112 institutions reduced their use of Bank advances during the first nine months of 2012, while 47 members increased their advances borrowings.

All advances made by the Bank are required to be fully collateralized in accordance with the Bank's credit and collateral requirements. The Bank monitors the creditworthiness of its members on an ongoing basis. In addition, the Bank has a comprehensive process for assigning values to collateral and determining how much it will lend against the collateral pledged. During the third quarter of 2012, based on the Bank's risk assessments of housing and mortgage market conditions and of individual members and their collateral, the Bank continued to adjust collateral terms for individual members.

No member institutions were placed into receivership during the third quarter of 2012 or from October 1, 2012, to October 31, 2012.

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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)	September 30, 2012			June 30, 2012			March 31, 2012			December 30, 2011			September 30, 2011
Selected Balance Sheet Items at Quarter End
Total Assets	$	94,189		$	102,662		$	110,087		$	113,552		$	128,308
Advances	51,825			56,074			62,040			68,164			78,462
Mortgage Loans Held for Portfolio, Net	1,411			1,547			1,686			1,829			1,990
Investments(1)	40,357			44,283			42,177			39,368			44,607
Consolidated Obligations:(2)
Bonds	73,371			73,528			74,579			83,350			99,118
Discount Notes	9,728			17,611			23,318			19,152			17,390
Mandatorily Redeemable Capital Stock	4,770			5,048			5,307			5,578			5,853
Capital Stock —Class B —Putable	4,464			4,643			4,717			4,795			4,934
Unrestricted Retained Earnings	204			97			3			—			—
Restricted Retained Earnings	1,979			1,954			1,963			1,803			1,695
Accumulated Other Comprehensive Income/(Loss)	(1,067		)	(1,568		)	(1,625		)	(1,893		)	(1,772		)
Total Capital	5,580			5,126			5,058			4,705			4,857
Selected Operating Results for the Quarter
Net Interest Income	$	219		$	216		$	242		$	245		$	268
Provision for Credit Losses on Mortgage Loans	—			(2		)	1			1			—
Other Income/(Loss)	(34		)	(82		)	(20		)	(87		)	(197		)
Other Expense	33			34			32			33			31
Assessments	15			11			20			13			4
Net Income/(Loss)	$	137		$	91		$	169		$	111		$	36
Selected Other Data for the Quarter
Net Interest Margin(3)	0.88		%	0.82		%	0.88		%	0.80		%	0.77		%
Operating Expenses as a Percent of Average Assets	0.11			0.11			0.10			0.09			0.07
Return on Average Assets	0.54			0.34			0.62			0.36			0.10
Return on Average Equity	10.25			7.23			13.99			9.14			2.81
Annualized Dividend Rate	0.47			0.51			0.48			0.30			0.26
Dividend Payout Ratio(4)	4.03			6.63			3.48			3.40			15.07
Average Equity to Average Assets Ratio	5.30			4.76			4.40			3.95			3.57
Selected Other Data at Quarter End
Regulatory Capital Ratio(5)	12.12			11.44			10.89			10.72			9.73
Duration Gap (in months)	(1		)	—			—			2			—

(1) Investments consist of securities purchased under agreements to resell, Federal funds sold, trading securities, available-for-sale securities, held-to-maturity securities, and loans to other Federal Home Loan Banks (FHLBanks).

(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 September 30, 2012, 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 amount of the outstanding consolidated obligations of all 12 FHLBanks at the dates indicated was as follows:

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	Par Amount (In millions)
September 30, 2012	$	674,487
June 30, 2012	685,195
March 31, 2012	658,015
December 31, 2011	691,868
September 30, 2011	696,606

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

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

(5) This ratio is calculated as regulatory capital divided by total assets. Regulatory capital includes mandatorily redeemable capital stock (which is classified as a liability), but excludes accumulated other comprehensive income.

Results of Operations

The primary source of the Bank's earnings is net interest income, which is the interest earned on advances, mortgage loans, and investments, less interest paid on consolidated obligations, deposits, mandatorily redeemable capital stock, and other borrowings. The Average Balance Sheets tables that follow present the average balances of earning asset categories and the sources that funded those earning assets (liabilities and capital) for the three and nine months ended September 30, 2012 and 2011, together with the related interest income and expense. They also present the average rates on total earning assets and the average costs of total funding sources.

64

Third Quarter of 2012 Compared to Third Quarter of 2011

Average Balance Sheets
	Three Months Ended
	September 30, 2012							September 30, 2011
(Dollars in millions)	Average Balance			Interest Income/ Expense		Average Rate		Average Balance			Interest Income/ Expense		Average Rate
Assets
Interest-earning assets:
Interest-bearing deposits	$	6		$	—	0.15	%	$	—		$	—	—	%
Securities purchased under agreements to resell	4,048			2		0.16		—			—		—
Federal funds sold	5,974			3		0.17		15,575			5		0.13
Trading securities:
MBS	16			—		1.65		21			—		2.56
Other investments	3,792			6		0.67		3,525			7		0.74
Available-for-sale securities:(1)
MBS	8,740			77		3.50		9,216			80		3.48
Other investments	305			—		0.45		1,925			1		0.24
Held-to-maturity securities:(1)
MBS	16,629			120		2.87		16,678			150		3.57
Other investments	4,454			3		0.25		8,806			3		0.16
Mortgage loans held for portfolio	1,489			18		4.76		2,049			31		5.97
Advances(2)	53,971			142		1.05		80,844			167		0.82
Loans to other FHLBanks	4			—		0.11		12			—		0.06
Total interest-earning assets	99,428			371		1.48		138,651			444		1.27
Other assets(3)(4)(5)	313			—		—		1,486			—		—
Total Assets	$	99,741		$	371	1.48	%	$	140,137		$	444	1.26	%
Liabilities and Capital
Interest-bearing liabilities:
Consolidated obligations:
Bonds(2)	$	76,046		$	141	0.74	%	$	107,712		$	166	0.61	%
Discount notes	11,988			5		0.16		18,962			8		0.16
Deposits(3)	635			—		0.02		1,098			—		—
Mandatorily redeemable capital stock	4,912			6		0.49		5,998			2		0.13
Other borrowings	6			—		0.15		26			—		0.04
Total interest-bearing liabilities	93,587			152		0.65		133,796			176		0.52
Other liabilities(3)(4)	863			—		—		1,334			—		—
Total Liabilities	94,450			152		0.64		135,130			176		0.52
Total Capital	5,291			—		—		5,007			—		—
Total Liabilities and Capital	$	99,741		$	152	0.61	%	$	140,137		$	176	0.50	%
Net Interest Income				$	219						$	268
Net Interest Spread(6)						0.83	%						0.75	%
Net Interest Margin(7)						0.88	%						0.77	%
Interest-earning Assets/Interest-bearing Liabilities	106.24		%					103.63		%

(1) The average balances of available-for-sale securities and held-to-maturity securities are reflected at amortized cost. As a result, the average rates do not reflect changes in fair value or non-credit-related OTTI charges.

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

	Three Months Ended
	September 30, 2012									September 30, 2011
(In millions)	(Amortization)/ Accretion of Hedging Activities			Net Interest Settlements			Total Net Interest Income/(Expense)			(Amortization)/ Accretion of Hedging Activities			Net Interest Settlements			Total Net Interest Income/(Expense)
Advances	$	(4	)	$	(35	)	$	(39	)	$	(7	)	$	(59	)	$	(66	)
Consolidated obligation bonds	15			128			143			21			266			287

(3) Average balances do not reflect the effect of reclassifications of cash collateral.

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

(5) Includes non-credit-related OTTI charges on available-for-sale and held-to-maturity securities.

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

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

Net interest income in the third quarter of 2012 was $219 million, an 18%decrease from $268 million in the third quarter of 2011. The following table details the changes in interest income and interest expense for the third quarter of 2012 compared to the third quarter of 2011. Changes in both volume and interest rates influence changes in net interest income, net interest spread, and net interest margin.

Change in Net Interest Income: Rate/Volume Analysis Three Months Ended September 30, 2012, Compared to Three Months Ended September 30, 2011
	Increase/ (Decrease)			Attributable to Changes in(1)
(In millions)				Average Volume			Average Rate
Interest-earning assets:
Securities purchased under agreements to resell	$	2		$	2		$	—
Federal funds sold	(2		)	(4		)	2
Trading securities:
Other investments	(1		)	—			(1		)
Available-for-sale securities:
MBS	(3		)	(4		)	1
Other investments	(1		)	(1		)	—
Held-to-maturity securities:
MBS	(30		)	—			(30		)
Other investments	—			(2		)	2
Mortgage loans held for portfolio	(13		)	(7		)	(6		)
Advances(2)	(25		)	(64		)	39
Total interest-earning assets	(73		)	(80		)	7
Interest-bearing liabilities:
Consolidated obligations:
Bonds(2)	(25		)	(55		)	30
Discount notes	(3		)	(3		)	—
Mandatorily redeemable capital stock	4			—			4
Total interest-bearing liabilities	(24		)	(58		)	34
Net interest income	$	(49	)	$	(22	)	$	(27	)

(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.

Net interest income included advance prepayment fees of $18 million in the third quarter of 2012 compared to $2 million in the third quarter of 2011.

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The net interest margin for the third quarter of 2012 was 88 basis points, 11 basis points higher than the net interest margin for the third quarter of 2011, which was 77 basis points. The net interest spread for the third quarter of 2012 was 83 basis points, 8 basis points higher than the net interest spread for the third quarter of 2011, which was 75 basis points. These increases were primarily due to a shift in the asset mix. The ratio of advances and non-MBS investments to total interest-earning assets declined, while the ratio of the combined MBS and mortgage loan portfolios to total interest-earning assets increased.

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

Other Income/(Loss)

The following table presents the components of “Other Income/(Loss)” for the three months ended September 30, 2012 and 2011.

Other Income/(Loss)
	Three Months Ended
(In millions)	September 30, 2012			September 30, 2011
Other Income/(Loss):
Net gain/(loss) on trading securities(1)	$	(5	)	$	(3	)
Total OTTI loss	(17		)	(138		)
Net amount of OTTI loss reclassified to/(from) accumulated other comprehensive income/(loss)	13			37
Net OTTI loss, credit-related	(4		)	(101		)
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option	6			72
Net gain/(loss) on derivatives and hedging activities	(33		)	(165		)
Other	2			—
Total Other Income/(Loss)	$	(34	)	$	(197	)

(1) The net gain/(loss) on trading securities that were economically hedged totaled $(5) million and $(2) million for the three months ended September 30, 2012 and 2011, respectively.

Net Other-Than-Temporary Impairment Loss, Credit-Related – Each quarter, the Bank updates its OTTI analysis to reflect current housing market conditions, changes in anticipated housing market conditions, observed and anticipated borrower behavior, and updated information on the loans supporting the Bank's PLRMBS. The $4 million credit-related OTTI charge reflected the impact of modest additional projected losses on loan collateral underlying certain of the Bank's PLRMBS, based on the Bank's OTTI analysis for the third quarter of 2012. The following table presents the net OTTI loss for the three months ended September 30, 2012 and 2011:

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Net Other-Than-Temporary Impairment Loss
	Three Months Ended
	September 30, 2012									September 30, 2011
(In millions)	Total OTTI			Non-Credit- Related OTTI			Credit- Related OTTI			Total OTTI			Non-Credit- Related OTTI			Credit- Related OTTI
Securities newly impaired during the period	$	(15	)	$	15		$	—		$	(58	)	$	57		$	(1	)
Securities previously impaired prior to current period(1)	(2		)	(2		)	(4		)	(80		)	(20		)	(100		)
Total	$	(17	)	$	13		$	(4	)	$	(138	)	$	37		$	(101	)

(1) For the three months ended September 30, 2012, “securities previously impaired prior to current period” represents all securities that were also other-than-temporarily impaired prior to July 1, 2012. For the three months ended September 30, 2011, “securities previously impaired prior to current period” represents all securities that were also other-than-temporarily impaired prior to July 1, 2011.

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

Net Gain/(Loss) on Advances and Consolidated Obligation Bonds Held Under Fair Value Option –The following table presents the net gain/(loss) on advances and consolidated obligation bonds held under the fair value option for the three months ended September 30, 2012 and 2011.

Net Gain/(Loss) on Advances and Consolidated Obligation Bonds Held Under Fair Value Option
	Three Months Ended
(In millions)	September 30, 2012			September 30, 2011
Advances	$	24		$	116
Consolidated obligation bonds	(18		)	(44		)
Total	$	6		$	72

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 derivatives that economically hedge these instruments.

For the third quarter of 2012 and 2011, the unrealized net fair value gains on advances were primarily driven by a decline in interest rates relative to the actual coupon rates on the Bank's advances. The unrealized net fair value losses on consolidated obligation bonds were primarily driven by a decline in interest rates relative to the actual coupon rates on the consolidated obligation bonds.

Net Gain/(Loss) on Derivatives and Hedging Activities – The following table shows the components of hedges and the categories of hedged items that contributed to the gains and losses on derivatives and hedged items that were recorded in “Net gain/(loss) on derivatives and hedging activities” in the third quarter of 2012 and 2011.

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Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives and Hedging Activities Three Months Ended September 30, 2012, Compared to Three Months Ended September 30, 2011
(In millions)	September 30, 2012												September 30, 2011
	Gain/(Loss)						Net Interest Income/ (Expense) on			Total			Gain/(Loss)						Net Interest Income/ (Expense) on			Total
Hedged Item	Fair Value Hedges, Net			Economic Hedges			Economic Hedges						Fair Value Hedges, Net			Economic Hedges			Economic Hedges
Advances:
Held under the fair value option	$	—		$	(18	)	$	(30	)	$	(48	)	$	—		$	(136	)	$	(53	)	$	(189	)
Not held under the fair value option	—			1			(5		)	(4		)	(2		)	(7		)	(6		)	(15		)
Consolidated obligation bonds:
Held under the fair value option	—			19			9			28			—			36			26			62
Not held under the fair value option	(3		)	(30		)	37			4			(11		)	(13		)	50			26
Consolidated obligation discount notes:
Not held under the fair value option	—			(1		)	(10		)	(11		)	—			(34		)	(16		)	(50		)
Non-mortgage-backed securities (non-MBS) investments:
Not held under the fair value option	—			1			(3		)	(2		)	—			4			(3		)	1
Total	$	(3	)	$	(28	)	$	(2	)	$	(33	)	$	(13	)	$	(150	)	$	(2	)	$	(165	)

During the third quarter of 2012, net losses on derivatives and hedging activities totaled $33 million compared to net losses of $165 million in the third quarter of 2011. These amounts included net interest expense on derivative instruments used in economic hedges, which totaled $2 million in the third quarter of 2012 and $2 million in thethird quarter of 2011. Excluding the impact of net interest expense on derivative instruments used in economic hedges, the net losses on fair value and economic hedges were primarily associated with reversals of prior period gains and the effects of changes in interest rates.

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

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

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

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Nine Months EndedSeptember 30, 2012, Compared to Nine Months EndedSeptember 30, 2011

Average Balance Sheets
	Nine Months Ended
	September 30, 2012							September 30, 2011
(Dollars in millions)	Average Balance			Interest Income/ Expense		Average Rate		Average Balance			Interest Income/ Expense		Average Rate
Assets
Interest-earning assets:
Interest-bearing deposits	$	16		$	—	0.12	%	$	—		$	—	—	%
Securities purchased under agreements to resell	2,397			3		0.16		—			—		—
Federal funds sold	8,080			9		0.15		16,386			19		0.15
Trading securities:
MBS	17			—		1.84		22			—		2.87
Other investments	3,432			19		0.73		3,373			19		0.72
Available-for-sale securities:(1)
MBS	9,054			240		3.54		5,457			150		3.69
Other investments	968			3		0.48		1,927			4		0.26
Held-to-maturity securities:(1)
MBS	15,775			363		3.07		19,982			533		3.57
Other investments	4,699			8		0.23		8,982			13		0.20
Mortgage loans held for portfolio	1,624			60		4.95		2,163			87		5.36
Advances(2)	59,102			455		1.03		87,204			539		0.83
Loans to other FHLBanks	3			—		0.12		6			—		0.08
Total interest-earning assets	105,167			1,160		1.47		145,502			1,364		1.25
Other assets(3)(4)(5)	539			—		—		875			—		—
Total Assets	$	105,706		$	1,160	1.47	%	$	146,377		$	1,364	1.25	%
Liabilities and Capital
Interest-bearing liabilities:
Consolidated obligations:
Bonds(2)	$	74,895		$	445	0.79	%	$	113,203		$	540	0.64	%
Discount notes	18,671			18		0.13		19,623			28		0.19
Deposits(3)	700			—		0.02		982			—		0.01
Mandatorily redeemable capital stock	5,204			20		0.51		4,168			8		0.24
Other borrowings	7			—		0.13		12			—		0.07
Total interest-bearing liabilities	99,477			483		0.65		137,988			576		0.56
Other liabilities(3)(4)	1,146			—		—		1,595			—		—
Total Liabilities	100,623			483		0.64		139,583			576		0.55
Total Capital	5,083			—		—		6,794			—		—
Total Liabilities and Capital	$	105,706		$	483	0.61	%	$	146,377		$	576	0.53	%
Net Interest Income				$	677						$	788
Net Interest Spread(6)						0.82	%						0.69	%
Net Interest Margin(7)						0.86	%						0.73	%
Interest-earning Assets/Interest-bearing Liabilities	105.72		%					105.45		%

(1) The average balances of available-for-sale securities and held-to-maturity securities are reflected at amortized cost. As a result, the average rates do not reflect changes in fair value or non-credit-related OTTI charges.

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

	Nine Months Ended
	September 30, 2012									September 30, 2011
(In millions)	(Amortization)/ Accretion of Hedging Activities			Net Interest Settlements			Total Net Interest Income/(Expense)			(Amortization)/ Accretion of Hedging Activities			Net Interest Settlements			Total Net Interest Income/(Expense)
Advances	$	(12	)	$	(110	)	$	(122	)	$	(24	)	$	(209	)	$	(233	)
Consolidated obligation bonds	45			399			444			65			913			978

(3) Average balances do not reflect the effect of reclassifications of cash collateral.

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

(5) Includes non-credit-related OTTI charges on available-for-sale and held-to-maturity securities.

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

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

Net interest income in the first nine months of 2012 was $677 million, a 14%decrease from $788 million in the first nine months of 2011. The following table details the changes in interest income and interest expense for the first nine months of 2012 compared to the first nine months of 2011. Changes in both volume and interest rates influence changes in net interest income, net interest spread, and net interest margin.

Change in Net Interest Income: Rate/Volume Analysis Nine Months Ended September 30, 2012, Compared to Nine Months Ended September 30, 2011
	Increase/ (Decrease)			Attributable to Changes in(1)
(In millions)				Average Volume			Average Rate
Interest-earning assets:
Securities purchased under agreements to resell	$	3		$	3		$	—
Federal funds sold	(10		)	(9		)	(1		)
Available-for-sale securities:
MBS	90			96			(6		)
Other investments	(1		)	(3		)	2
Held-to-maturity securities:
MBS	(170		)	(102		)	(68		)
Other investments	(5		)	(7		)	2
Mortgage loans held for portfolio	(27		)	(21		)	(6		)
Advances(2)	(84		)	(198		)	114
Total interest-earning assets	(204		)	(241		)	37
Interest-bearing liabilities:
Consolidated obligations:
Bonds(2)	(95		)	(208		)	113
Discount notes	(10		)	(1		)	(9		)
Mandatorily redeemable capital stock	12			2			10
Total interest-bearing liabilities	(93		)	(207		)	114
Net interest income	$	(111	)	$	(34	)	$	(77	)

(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.

Net interest income included advance prepayment fees of $41 million in the first nine months of 2012 compared to $12 million in the first nine months of 2011.

The net interest margin was 86 basis points for the first nine months of 2012, 13 basis points higher than the net interest margin for the first nine months of 2011, which was 73 basis points. The net interest spread was 82 basis

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points for the first nine months of 2012, 13 basis points higher than the net interest spread for the first nine months of 2011, which was 69 basis points. These increases were primarily due to a shift in the asset mix. The ratio of advances and non-MBS investments to total interest-earning assets declined, while the ratio of the combined MBS and mortgage loan portfolios to total interest-earning assets increased. In addition, the increase in prepayment fees contributed to the increases in the net interest margin and spread.

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

Other Income/(Loss)

The following table presents the components of “Other Income/(Loss)” for the nine months ended September 30, 2012 and 2011.

Other Income/(Loss)
	Nine Months Ended
(In millions)	September 30, 2012			September 30, 2011
Other Income/(Loss):
Net gain/(loss) on trading securities(1)	$	(10	)	$	(4	)
Total OTTI loss	(46		)	(342		)
Net amount of OTTI loss reclassified to/(from) accumulated other comprehensive income/(loss)	12			(31		)
Net OTTI loss, credit-related	(34		)	(373		)
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option	6			52
Net gain/(loss) on derivatives and hedging activities	(103		)	(236		)
Other	5			3
Total Other Income/(Loss)	$	(136	)	$	(558	)

(1) The net gain/(loss) on trading securities that were economically hedged totaled $(10) million and $(2) million for the nine months ended September 30, 2012 and 2011, respectively.

Net Other-Than-Temporary Impairment Loss, Credit-Related – Each quarter, the Bank updates its OTTI analysis to reflect current housing market conditions, changes in anticipated housing market conditions, observed and anticipated borrower behavior, and updated information on the loans supporting the Bank's PLRMBS. The $34 million credit-related OTTI charge reflected the impact of modest additional projected losses on loan collateral underlying certain of the Bank's PLRMBS, based on the Bank's OTTI analysis for the first nine months of 2012. The following table presents the net OTTI loss for the nine months ended September 30, 2012 and 2011.

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Net Other-Than-Temporary Impairment Loss
	Nine Months Ended
	September 30, 2012									September 30, 2011
(In millions)	Total  OTTI			Non-Credit- Related OTTI			Credit- Related OTTI			Total OTTI			Non-Credit- Related OTTI			Credit- Related OTTI
Securities newly impaired during the period	$	(24	)	$	24		$	—		$	(205	)	$	193		$	(12	)
Securities previously impaired prior to current period(1)	(22		)	(12		)	(34		)	(137		)	(224		)	(361		)
Total	$	(46	)	$	12		$	(34	)	$	(342	)	$	(31	)	$	(373	)

(1) For the nine months ended September 30, 2012, “securities previously impaired prior to current period” represents all securities that were also other-than-temporarily impaired prior to January 1, 2012. For the nine months ended September 30, 2011, “securities previously impaired prior to current period” represents all securities that were also other-than-temporarily impaired prior to January 1, 2011.

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

Net Gain/(Loss) on Advances and Consolidated Obligation Bonds Held Under Fair Value Option – The following table presents the net gain/(loss) on advances and consolidated obligation bonds held under the fair value option for the nine months ended September 30, 2012 and 2011.

Net Gain/(Loss) on Advances and Consolidated Obligation Bonds Held Under Fair Value Option
	Nine Months Ended
(In millions)	September 30, 2012			September 30, 2011
Advances	$	7		$	170
Consolidated obligation bonds	(1		)	(118		)
Total	$	6		$	52

For the first nine months of 2012 and 2011, the unrealized net fair value gains on advances and losses on consolidated obligation bonds were primarily driven by a decline in interest rates relative to the actual coupon rates on the Bank's advances and the consolidated obligation bonds.

Net Gain/(Loss) on Derivatives and Hedging Activities –The following table shows the accounting classification of hedges and the categories of hedged items that contributed to the gains and losses on derivatives and hedged items that were recorded in “Net loss on derivatives and hedging activities” in the first nine months of 2012 and 2011.

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Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives and Hedging Activities Nine Months Ended September 30, 2012, Compared to Nine Months Ended September 30, 2011
(In millions)	September 30, 2012												September 30, 2011
	Gain/(Loss)						Net Interest Income/ (Expense) on						Gain/(Loss)						Net Interest Income/ (Expense) on
Hedged Item	Fair Value Hedges, Net			Economic Hedges			Economic Hedges			Total			Fair Value Hedges, Net			Economic Hedges			Economic Hedges			Total
Advances:
Elected for fair value option	$	—		$	(37	)	$	(98	)	$	(135	)	$	—		$	(170	)	$	(165	)	$	(335	)
Not elected for fair value option	1			6			(16		)	(9		)	(1		)	(3		)	(23		)	(27		)
Consolidated obligation bonds:
Elected for fair value option	—			45			24			69			—			82			77			159
Not elected for fair value option	(19		)	(85		)	113			9			(17		)	(67		)	138			54
Consolidated obligation discount notes:
Not elected for fair value option	—			—			(35		)	(35		)	—			(45		)	(37		)	(82		)
Non-MBS investments:
Not elected for fair value option	—			6			(8		)	(2		)	—			4			(9		)	(5		)
Total	$	(18	)	$	(65	)	$	(20	)	$	(103	)	$	(18	)	$	(199	)	$	(19	)	$	(236	)

During the first nine months of 2012, net losses on derivatives and hedging activities totaled $103 million compared to net losses of $236 million in the first nine months of 2011. These amounts included net interest expense on derivative instruments used in economic hedges of $20 million and $19 million in the first nine months of 2012 and 2011, respectively. Excluding the impact of net interest expense on derivative instruments used in economic hedges, the net losses on fair value and economic hedges were primarily associated with reversals of prior period gains and the effects of changes in interest rates during the period.

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

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

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

Return on Average Equity

Return on average equity (ROE) was 10.25% (annualized) for the third quarter of 2012, compared to 2.81% (annualized) for the third quarter of 2011. This increase primarily reflected the increase in net income in the third quarter of 2012, partially offset by an increase in average equity, which grew 6%, to $5.3 billion in the third quarter of 2012 from $5.0 billion in the third quarter of 2011.

ROE was 10.43% (annualized) for the first nine months of 2012, compared to 2.06% (annualized) for the first nine months of 2011. This increase reflected the increase in net income in the first nine months of 2012 and the decrease in average equity, which declined 25%, to $5.1 billion in the first nine months of 2012 from $6.8 billion in the first

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nine months of 2011.

Dividends and Retained Earnings

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

The Bank's Risk Management Policy may limit the payment of dividends based on the ratio of the Bank's estimated market value of total capital to par value of capital stock. If this ratio at the end of any quarter is less than 100% but greater than or equal to 70%, any dividend would be limited to an annualized rate no greater than the daily average of the three-month London Interbank Offered Rate (LIBOR) for the applicable quarter (subject to certain conditions), and if this ratio is less than 70%, the Bank would be restricted from paying a dividend. The ratio of the Bank's estimated market value of total capital to par value of capital stock was 114.1% as of September 30, 2012. For more information, see “Item 7. Management's Discussion and Analysis of Results of Operations and Financial Condition – Risk Management – Market Risk” in the Bank's 2011 Form 10-K.

The regulatory liquidity requirements state that each FHLBank must: (i) maintain eligible high quality assets (advances with a maturity not exceeding five years, U.S. Treasury securities investments, and deposits in banks or trust companies) in an amount equal to or greater than the deposits received from members, and (ii) hold contingent liquidity in an amount sufficient to meet its liquidity needs for at least five business days without access to the consolidated obligations markets. At September 30, 2012, advances maturing within five years totaled $47.9 billion, significantly in excess of the $179 million of member deposits on that date. At December 31, 2011, advances maturing within five years totaled $64.2 billion, also significantly in excess of the $156 million of member deposits on that date. In addition, as of September 30, 2012, and December 31, 2011, the Bank's estimated total sources of funds obtainable from liquidity investments, repurchase agreement borrowings collateralized by the Bank's marketable securities, and advance repayments would have allowed the Bank to meet its liquidity needs for more than 90 days without access to the consolidated obligations markets, subject to certain conditions.

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

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

As the cumulative net valuation gains are reversed by periodic net losses and settlements of contractual interest cash flows, the amount of the cumulative net gains decreases. The amount of retained earnings under this provision of the policy is therefore decreased, and that portion of the previously restricted retained earnings becomes unrestricted and may be made available for dividends. In this case, the potential dividend payout in a given period will be substantially the same as it would have been without the effects of valuation adjustments, provided that at the end of the period the cumulative net effect since inception remains a net gain. The purpose of the valuation

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adjustments category of restricted retained earnings is to provide sufficient retained earnings to offset future net losses that result from the reversal of cumulative net gains, so that potential dividend payouts in future periods are not necessarily affected by the reversals of these gains. Although restricting retained earnings in accordance with this provision of the policy may help preserve the Bank's ability to pay dividends, the reversal of cumulative net gains in any given period may result in a net loss if the reversal exceeds net earnings before the impact of valuation adjustments for that period. Also, if the net effect of valuation adjustments since inception results in a cumulative net loss, the Bank's other retained earnings at that time (if any) may not be sufficient to offset the net loss. As a result, the future effects of valuation adjustments may cause the Bank to reduce or temporarily suspend dividend payments.

Other Retained Earnings – Targeted Buildup –In addition to any cumulative net gains resulting from valuation adjustments, the Bank holds an additional amount in restricted retained earnings intended to protect paid-in capital from the effects of an extremely adverse credit event, an extremely adverse operations risk event, an extremely high level of quarterly losses related to the Bank's derivatives and associated hedged items and financial instruments carried at fair value, an extremely adverse change in the market value of the Bank's capital, and a significant amount of additional credit-related OTTI on PLRMBS, especially in periods of extremely low net income resulting from an adverse interest rate environment.

The Board of Directors has set the targeted amount of restricted retained earnings at $1.8 billion, and the Bank reached this target as of March 31, 2012. The Bank's retained earnings target may be changed at any time. The Board of Directors will periodically review the methodology and analysis to determine whether any adjustments are appropriate. As of September 30, 2012, the amount of restricted retained earnings in the Bank's targeted buildup account was $1.8 billion.

Joint Capital Enhancement Agreement – In 2011, the 12 FHLBanks entered into a Joint Capital Enhancement Agreement, as amended, which is intended to enhance the capital position of each FHLBank by allocating that portion of each FHLBank's earnings historically paid to satisfy its REFCORP obligation to a separate retained earnings account at that FHLBank.

The FHLBanks subsequently amended their capital plans or capital plan submissions, as applicable, to implement the provisions of the Agreement, and the Finance Agency approved the capital plan amendments on August 5, 2011. The Bank's amended capital plan became effective on September 5, 2011.

On August 5, 2011, the Finance Agency certified that the FHLBanks had fully satisfied their REFCORP obligation. In accordance with the Agreement, starting in the third quarter of 2011, each FHLBank is required to allocate 20% of its net income each quarter to a separate restricted retained earnings account until the balance of the account equals at least 1% of that FHLBank's average balance of outstanding consolidated obligations for the previous quarter. Under the Agreement, these restricted retained earnings will not be available to pay dividends.

The following table summarizes the activity related to restricted retained earnings for the three and nine months ended September 30, 2012 and 2011:

	Three Months Ended
	September 30, 2012									September 30, 2011
	Restricted Retained Earnings Related to:									Restricted Retained Earnings Related to:
(In millions)	Valuation Adjustments			Targeted Buildup		Joint Capital Enhancement Agreement		Total		Valuation Adjustments			Targeted Buildup		Joint Capital Enhancement Agreement		Total
Balance at beginning of the period	$	72		$	1,800	$	82	$	1,954	$	130		$	1,535	$	—	$	1,665
Transfers to/(from) restricted retained earnings	(2		)	—		27		25		(44		)	67		7		30
Balance at end of the period	$	70		$	1,800	$	109	$	1,979	$	86		$	1,602	$	7	$	1,695

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	Nine Months Ended
	September 30, 2012									September 30, 2011
	Restricted Retained Earnings Related to:									Restricted Retained Earnings Related to:
(In millions)	Valuation Adjustments			Targeted Buildup		Joint Capital Enhancement Agreement		Total		Valuation Adjustments			Targeted Buildup		Joint Capital Enhancement Agreement		Total
Balance at beginning of the period	$	79		$	1,695	$	29	$	1,803	$	148		$	1,461	$	—	$	1,609
Transfers to/(from) restricted retained earnings	(9		)	105		80		176		(62		)	141		7		86
Balance at end of the period	$	70		$	1,800	$	109	$	1,979	$	86		$	1,602	$	7	$	1,695

For more information on these three categories of restricted retained earnings and the Bank's Retained Earnings and Dividend Policy, see “Item 8. Financial Statements and Supplementary Data - Note 15 - Capital” in the Bank's 2011 Form 10-K.

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

The Bank paid dividends (including dividends on mandatorily redeemable capital stock) totaling $11 million at an annualized rate of 0.47% in the third quarter of 2012, and $8 million at an annualized rate of 0.26% in the third quarter of 2011.

The Bank paid dividends (including dividends on mandatorily redeemable capital stock) totaling $37 million at an annualized rate of 0.49% in the first nine months of 2012, and $27 million at an annualized rate of 0.29% in the first nine months of 2011.

On October 26, 2012, the Bank's Board of Directors declared a cash dividend on the capital stock outstanding during the third quarter of 2012 at an annualized rate of 2.51%. The Bank recorded the dividend on October 26, 2012, the day it was declared by the Board of Directors. The Bank expects to pay the dividend (including dividends on mandatorily redeemable capital stock), which will total $60 million, on or about November 13, 2012.

The Bank will pay the dividend in cash rather than stock to comply with Finance Agency rules, which do not permit the Bank to pay dividends in the form of capital stock if the Bank's excess capital stock exceeds 1% of its total assets. As of September 30, 2012, the Bank's excess capital stock totaled $5.7 billion, or 6.10% of total assets.

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

For more information on the Bank's Retained Earnings and Dividend Policy, see “Item 7. Management's Discussion and Analysis of Financial Condition and Results of Operations – Results of Operations – Comparison of 2011 to 2010 – Dividends and Retained Earnings” in the Bank's 2011 Form 10-K.

Financial Condition

Total assets were $94.2 billion at September 30, 2012, a 17%decrease from $113.6 billion at December 31, 2011. Advances decreased by $16.4 billion, or 24%, to $51.8 billion at September 30, 2012, from $68.2 billion at December 31, 2011. Average total assets were $99.7 billion for the third quarter of 2012, a 29%decrease compared to $140.1 billion for the third quarter of 2011. Average total assets were $105.7 billion for the first nine months of 2012, a 28%decrease compared to $146.4 billion for the first nine months of 2011. Average advances were $54.0

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billion for the third quarter of 2012, a 33%decrease from $80.8 billion for the third quarter of 2011. Average advances were $59.1 billion for the first nine months of 2012, a 32%decrease from $87.2 billion for the first nine months of 2011.

The continued decrease in advances was primarily attributable to reduced use of advances by the Bank's largest members, which continued to experience high levels of liquidity during the period, and to the repayment of advances by former members or their successors.

Advances outstanding at September 30, 2012, included unrealized gains of $662 million, of which $334 million represented unrealized gains on advances hedged in accordance with the accounting for derivative instruments and hedging activities and $328 million represented unrealized gains on economically hedged advances that are carried at fair value in accordance with the fair value option. Advances outstanding at December 31, 2011, included unrealized gains of $728 million, of which $302 million represented unrealized gains on advances hedged in accordance with the accounting for derivative instruments and hedging activities and $426 million represented unrealized gains on economically hedged advances that are carried at fair value in accordance with the fair value option. The overall decrease in the unrealized gains of the hedged advances and advances carried at fair value from December 31, 2011, to September 30, 2012, was primarily attributable to the reversal of prior period gains, partially offset by gains attributable to a decline in interest rates relative to the actual coupon rates on the Bank's advances.

Total liabilities were $88.6 billion at September 30, 2012, a 19%decrease from $108.8 billion at December 31, 2011, reflecting decreases in consolidated obligations outstanding from $102.5 billion at December 31, 2011, to $83.1 billion at September 30, 2012. The decrease in consolidated obligations outstanding paralleled the decrease in assets during the first nine months of 2012. Average total liabilities were $94.5 billion for the third quarter of 2012, a 30%decrease compared to $135.1 billion for the third quarter of 2011. Average total liabilities were $100.6 billion for the first nine months of 2012, a 28%decrease compared to $139.6 billion for the first nine months of 2011. The decrease in average liabilities reflected decreases in average consolidated obligations, paralleling the decline in average assets.Average consolidated obligations were $88.0 billion in the third quarter of 2012 and $126.7 billion in the third quarter of 2011. Average consolidated obligations were $93.6 billion in the first nine months of 2012 and $132.8 billion in the first nine months of 2011.

Consolidated obligations outstanding at September 30, 2012, included unrealized losses of $1.0 billion on consolidated obligation bonds hedged in accordance with the accounting for derivative instruments and hedging activities and unrealized losses of $45 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, 2011, included unrealized losses of $1.2 billion on consolidated obligation bonds hedged in accordance with the accounting for derivative instruments and hedging activities and unrealized losses of $43 million on economically hedged consolidated obligation bonds that are carried at fair value in accordance with the fair value option. The overall decrease in the unrealized losses on the hedged consolidated obligation bonds and the consolidated obligation bonds carried at fair value from December 31, 2011, to September 30, 2012, was primarily attributable to a decline in interest rates relative to the actual coupon rates on the Bank's consolidated obligation bonds.

As provided by the FHLBank Act and 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 September 30, 2012, 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 amount of the outstanding consolidated obligations of all 12 FHLBanks was $674.5 billion at September 30, 2012, and $691.9 billion at December 31, 2011.

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

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The Bank evaluated the publicly disclosed FHLBank regulatory actions and long-term credit ratings of other FHLBanks as of September 30, 2012, and as of each period end presented, and believes, as of the date of this report,

that it is unlikely that the Bank will be required to repay any principal or interest associated with consolidated obligations for which the Bank is not the primary obligor.

Financial condition is further discussed under “Segment Information.”

Segment Information

The Bank uses an analysis of financial performance based on the balances and adjusted net interest income of two operating segments, the advances-related business and the mortgage-related business, as well as other financial information, to review and assess financial performance and to determine the allocation of resources to these two major business segments. For purposes of segment reporting, adjusted net interest income includes interest income and expense associated with economic hedges that are recorded in “Net gain/(loss) on derivatives and hedging activities” in other income and excludes interest expense that is recorded in “Mandatorily redeemable capital stock.” Other key financial information, such as any OTTI loss on the Bank's available-for-sale and held-to-maturity PLRMBS, other expenses, and 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 1. Financial Statements – Note 14 – Segment Information.”

Advances-Related Business. The advances-related business consists of advances and other credit products, related financing and hedging instruments, liquidity and other non-MBS investments associated with the Bank's role as a liquidity provider, and capital stock.

Assets associated with this segment decreased to $68.8 billion (73% of total assets) at September 30, 2012, from $88.3 billion (78% of total assets) at December 31, 2011, representing a decrease of $19.5 billion, or 22%. The continued decrease in advances was primarily attributable to reduced use of advances by the Bank's largest members, which continued to experience high levels of liquidity during the period, and to the repayment of advances by former members or their successors.

Adjusted net interest income for this segment is derived primarily from the difference, or spread, between the yield on advances and non-mortgage-backed securities (non-MBS) investments and the cost of the consolidated obligations funding these assets, including the cash flows from associated interest rate exchange agreements.

Adjusted net interest income for this segment was $74 million in the third quarter of 2012, a decrease of $5 million, or 6%, compared to $79 million in the third quarter of 2011. In the first nine months of 2012, adjusted net interest income for this segment was $206 million, a decrease of $54 million, or 21%, compared to $260 million in the first nine months of 2011. These decreases were primarily due to lower balances of advances and to a decline in earnings on invested capital because of lower capital balances and the lower interest rate environment.

Members and nonmember borrowers prepaid $1.3 billion of advances in the third quarter of 2012 compared to $0.8 billion in the third quarter of 2011. Interest income was increased by net prepayment fees of $18 million in the third quarter of 2012 and $2 million in the third quarter of 2011. Members and nonmember borrowers prepaid $2.8 billion of advances in the first nine months of 2012 compared to $4.0 billion in the first nine months of 2011. Interest income was increased by net prepayment fees of $41 million in the first nine months of 2012 and $12 million in the first nine months of 2011.

Adjusted net interest income for this segment represented 37% and 34% of total adjusted net interest income for the third quarter of 2012 and 2011, respectively, and 34% and 38% of total adjusted net interest income for the first nine months of 2012 and 2011, respectively.

Advances – The par amount of advances outstanding decreased by $16.2 billion, or 24%, to $51.2 billion at

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September 30, 2012, from $67.4 billion at December 31, 2011. The decrease in advances outstanding was primarily attributable to the $12.1 billiondecline in advances outstanding to the Bank's top five borrowers and their affiliates. Advances to the top five borrowers decreased to $36.0 billion at September 30, 2012, from $48.1 billion at December 31, 2011. (See “Item 1. Financial Statements and Supplementary Data – Note 7 – Advances” for further information.) The remaining $4.2 billiondecrease in total advances outstanding was attributable to a net decrease in advances to other borrowers of varying asset sizes and charter types. In total, 112 borrowers decreased their advances during the first nine months of 2012, while 47 members increased their advances.

The $16.2 billiondecrease in advances outstanding reflects a $7.7 billiondecrease in fixed rate advances and an $8.7 billiondecrease in adjustable rate advances, partially offset by a $0.2 billionincrease in daily variable rate advances.

The components of the advances portfolio at September 30, 2012, and December 31, 2011, are presented in the following table.

Advances Portfolio by Product Type
	September 30, 2012				December 31, 2011
(Dollar in millions)	Par Amount		Percentage of Total Par Amount		Par Amount		Percentage of Total Par Amount
Adjustable – LIBOR	$	25,236	49	%	$	34,006	50	%
Adjustable – other indices	1		—		1		—
Adjustable – LIBOR, with caps and/or floors and PPS(1)	135		—		160		—
Subtotal adjustable rate advances	25,372		49		34,167		50
Fixed	17,377		34		24,004		37
Fixed – amortizing	311		1		348		—
Fixed – with PPS(1)	6,236		13		5,842		9
Fixed – with caps and PPS(1)	200		—		200		—
Fixed – callable at member's option	10		—		5		—
Fixed – callable at member's option with PPS(1)	51		—		323		—
Fixed – putable at Bank's option	205		—		1,111		2
Fixed – putable at Bank's option with PPS(1)	85		—		350		—
Subtotal fixed rate advances	24,475		48		32,183		48
Daily variable rate	1,316		3		1,086		2
Total par amount	$	51,163	100	%	$	67,436	100	%

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

For a discussion of advances credit risk, see “Management's Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – 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 $16.5 billion as of September 30, 2012, an increase of $0.4 billion, or 2%, from $16.1 billion as of December 31, 2011. The increase in the non-MBS investment portfolio was primarily due to higher balances of short-term securities purchased under agreements to resell and Federal funds sold.

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Cash and Due from Banks – Cash and due from banks was $2 million at September 30, 2012, a $3.5 billiondecrease from December 31, 2011. During 2012, the Bank began investing cash in securities purchased under agreements to resell. As a result, cash held at the Federal Reserve Bank of San Francisco declined.

Borrowings – Consistent with the decrease in advances, total liabilities (primarily consolidated obligations) funding the advances-related business decreased$20.3 billion, or 24%, from $83.6 billion at December 31, 2011, to $63.3 billion at September 30, 2012. 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 and Supplementary Data – Note 17 – Commitments and Contingencies.”

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

At September 30, 2012, the notional amount of interest rate exchange agreements associated with the advances-related business totaled $87.7 billion, of which $18.6 billion were hedging advances, $65.4 billion were hedging consolidated obligations, $2.9 billion were economically hedging trading securities, and $0.8 billion were interest rate exchange agreements that the Bank entered into as an intermediary between offsetting derivatives transactions with members and other counterparties. At December 31, 2011, the notional amount of interest rate exchange agreements associated with the advances-related business totaled $114.8 billion, of which $24.4 billion were hedging advances, $87.2 billion were hedging consolidated obligations, $2.4 billion were economically hedging trading securities, and $0.8 billion were interest rate exchange agreements that the Bank entered into as an intermediary between offsetting derivatives transactions with members and other counterparties. The hedges associated with advances and consolidated obligations were primarily used to convert the fixed rate cash flows and non-LIBOR-indexed cash flows of the advances and consolidated obligations to adjustable rate LIBOR-indexed cash flows or to manage the interest rate sensitivity and net repricing gaps of assets, liabilities, and interest rate exchange agreements.

FHLBank System consolidated obligation bonds and discount notes, along with similar debt securities issued by other GSEs such as Fannie Mae and Freddie Mac, are generally referred to as agency debt. The agency debt market is a large sector of the debt capital markets. 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. For more information, see “Item 7. Management's Discussion and Analysis of Financial Condition and Results of Operations – Liquidity and Capital Resources” in the Bank's 2011 Form 10-K.

The Federal Open Market Committee has not changed the target Federal funds rate since December 16, 2008. As of September 30, 2012, 3-month U.S. Treasury bills and 3-month LIBOR rates increased while 2-year and 5-year U.S. Treasury rates decreased compared to December 31, 2011. In general, yields on U.S. Treasury securities during the first nine months of 2012 remained at historically low levels partly as a result of expansionary monetary policy, including the Federal Reserve's announcement on September 13, 2012, of a new bond-buying program commonly referred to as QE3, and continued high financial risk in Europe.

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Selected Market Interest Rates
Market Instrument	September 30, 2012		December 31, 2011		September 30, 2011		December 31, 2010
Federal Reserve target rate for overnight Federal funds	0-0.25	%	0-0.25	%	0-0.25	%	0-0.25	%
3-month Treasury bill	0.07		0.01		0.02		0.13
3-month LIBOR	0.36		0.58		0.37		0.30
2-year Treasury note	0.23		0.24		0.25		0.60
5-year Treasury note	0.63		0.83		0.95		2.01

The following table presents a comparison of the average cost of FHLBank System consolidated obligation bonds relative to 3-month LIBOR and discount notes relative to comparable term LIBOR in the first nine months of 2012 and 2011. Higher three-month LIBOR rates in the first nine months of 2012 compared to the same period in 2011 (in part because of increased sovereign and financial risks in Europe during 2012) and continued investor demand for FHLBank debt contributed to lower borrowing costs for FHLBank System consolidated obligation bonds and discount notes relative to LIBOR.

	Spread to LIBOR of Average Cost of Consolidated Obligations for the Nine Months Ended
(In basis points)	September 30, 2012	September 30, 2011
Consolidated obligation bonds	-26.9	-17.9
Consolidated obligation discount notes (one month and greater)	-27.0	-19.0

Mortgage-Related Business. The mortgage-related business consists of mortgage-backed securities (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 and mortgage loans and the cost of the consolidated obligations funding those assets, including the cash flows from associated interest rate exchange agreements.

At September 30, 2012, assets associated with this segment were $25.4 billion (27% of total assets), an increase of $0.1 billion from $25.3 billion at December 31, 2011 (22% of total assets). The MBS portfolio increased$0.5 billion to $23.8 billion at September 30, 2012, from $23.3 billion at December 31, 2011, primarily because of purchases of $3.8 billion of agency residential MBS and a $0.8 billion improvement in the fair value of PLRMBS classified as available-for-sale, partially offset by principal repayments totaling $4.0 billion. In addition, mortgage loan balances declined by $0.4 billion to $1.4 billion at September 30, 2012, from $1.8 billion at December 31, 2011. In the third quarter of 2012, average MBS investments were $25.4 billion, a decrease of $0.5 billion from $25.9 billion in the third quarter of 2011. In the first nine months of 2012, average MBS investments decreased$0.7 billion to $24.8 billion, compared to $25.5 billion in the first nine months of 2011. Average mortgage loans were $1.5 billion in the third quarter of 2012, a decrease of $0.5 billion from $2.0 billion in the third quarter of 2011. Average mortgage loans decreased$0.6 billion to $1.6 billion in the first nine months of 2012 from $2.2 billion in the first nine months of 2011.

Adjusted net interest income for this segment was $128 million in the third quarter of 2012, a decrease of $22 million, or 15%, from $150 million in the third quarter of 2011. This decrease was primarily due to lower average unpaid principal balances of MBS and mortgage loans. In the first nine months of 2012, adjusted net interest income for this segment was $393 million, a decrease of $32 million, or 8%, from $425 million in the first nine months of 2011. This decrease was primarily due to lower average unpaid principal balances of MBS and mortgage loans.

Adjusted net interest income for this segment represented 63% and 66% of total adjusted net interest income for the third quarter of 2012 and 2011, respectively, and 66% and 62% of total adjusted net interest income for the first nine months of 2012 and 2011, respectively.

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MPF Program – At September 30, 2012, and December 31, 2011, the Bank held conventional conforming fixed rate mortgage loans purchased under one of two MPF products, MPF Plus or Original MPF, which are described in greater detail in “Item 7. Management's Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Credit Risk – MPF Program” in the Bank's 2011 Form 10-K.Mortgage loan balances at September 30, 2012, and December 31, 2011, were as follows:

Mortgage Loan Balances by MPF Product Type
(In millions)	September 30, 2012			December 31, 2011
MPF Plus	$	1,301		$	1,692
Original MPF	118			149
Subtotal	1,419			1,841
Unamortized premiums	12			15
Unamortized discounts	(16		)	(21		)
Mortgage loans held for portfolio	1,415			1,835
Less: Allowance for credit losses	(4		)	(6		)
Mortgage loans held for portfolio, net	$	1,411		$	1,829

The Bank performs periodic reviews of its mortgage loan portfolio to identify probable credit losses in the portfolio and to determine the likelihood of collection of the loans in the portfolio. For more information on how the Bank determines its estimated allowance for credit losses on mortgage loans, see “Item 7. Management's Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Credit Risk – MPF Program” and “Item 1. Financial Statements – Note 9 – Allowance for Credit Losses.”

MBS Investments – The Bank's MBS portfolio was $23.8 billion at September 30, 2012, compared to $23.3 billion at December 31, 2011. During the first nine months of 2012, the Bank's MBS portfolio increased primarily because of purchases of $3.8 billion of agency residential MBS and a $0.8 billion improvement in the fair value of PLRMBS classified as available-for-sale, partially offset by principal repayments totaling $4.0 billion. For a discussion of the composition of the Bank's MBS portfolio and the Bank's OTTI analysis of that portfolio, see “Management's Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Investments” and “Item 1. Financial Statements – Note 6 – Other-Than-Temporary Impairment Analysis.”

Borrowings – Total consolidated obligations funding the mortgage-related business increased$0.1 billion to $25.4 billion at September 30, 2012, from $25.3 billion at December 31, 2011, paralleling the increase in mortgage portfolio assets. For further information and discussion of the Bank's joint and several liability for FHLBank consolidated obligations, see “Management's Discussion and Analysis of Financial Condition and Results of Operations – Financial Condition” and “Item 1. Financial Statements and Supplementary Data – Note 17 – Commitments and Contingencies.”

The notional amount of interest rate exchange agreements associated with the mortgage-related business, almost all of which hedged or was associated with consolidated obligations funding the mortgage portfolio, totaled $11.9 billion and $14.8 billion, at September 30, 2012, and December 31, 2011, respectively.

Interest Rate Exchange Agreements

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

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market risks, see “Item 7. Management's Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Market Risk – Interest Rate Exchange Agreements” in the Bank's 2011 Form 10-K. The following table summarizes the Bank's interest rate exchange agreements by type of hedged item, hedging instrument, associated hedging strategy, accounting designation as specified under the accounting for derivative instruments and hedging activities, and notional amount as of September 30, 2012, and December 31, 2011.

Interest Rate Exchange Agreements
(In millions)			Notional Amount
Hedging Instrument	Hedging Strategy	Accounting Designation	September 30, 2012		December 31, 2011
Hedged Item: Advances
Pay fixed, receive adjustable interest rate swap	Fixed rate advance converted to a LIBOR adjustable rate	Fair Value Hedge	$	10,291	$	15,014
Basis swap	Adjustable rate advance converted to another adjustable rate index to reduce interest rate sensitivity and repricing gaps	Economic Hedge(1)	1		1
Pay fixed, receive adjustable interest rate swap	Fixed rate advance converted to a LIBOR adjustable rate	Economic Hedge(1)	1,263		1,091
Pay fixed, receive adjustable interest rate swap; swap may be callable at the Bank's option or putable at the counterparty's option	Fixed rate advance (with or without an embedded cap) converted to a LIBOR adjustable rate; advance and swap may be callable or putable; matched to advance accounted for under the fair value option	Economic Hedge(1)	6,931		8,092
Interest rate cap, floor, corridor, and/or collar	Interest rate cap, floor, corridor, and/or collar embedded in an adjustable rate advance; matched to advance accounted for under the fair value option	Economic Hedge(1)	141		166
Subtotal Economic Hedges(1)			8,336		9,350
Total			18,627		24,364
Hedged Item: Non-Callable Bonds
Receive fixed or structured, pay adjustable interest rate swap	Fixed rate or structured rate non-callable bond converted to a LIBOR adjustable rate	Fair Value Hedge	22,856		33,996
Receive fixed or structured, pay adjustable interest rate swap	Fixed rate or structured rate non-callable bond converted to a LIBOR adjustable rate	Economic Hedge(1)	4,658		4,608
Receive fixed or structured, pay adjustable interest rate swap	Fixed rate or structured rate non-callable bond converted to a LIBOR adjustable rate; matched to non-callable bond accounted for under the fair value option	Economic Hedge(1)	1,385		1,385
Basis swap	Non-LIBOR adjustable rate non-callable bond converted to a LIBOR adjustable rate; matched to non-callable bond accounted for under the fair value option	Economic Hedge(1)	27,023		11,478
Basis swap	Adjustable rate non-callable bond converted to another adjustable rate index to reduce interest rate sensitivity and repricing gaps	Economic Hedge(1)	—		6,000
Basis swap	Fixed rate or adjustable rate non-callable bond previously converted to an adjustable rate index, converted to another adjustable rate to reduce interest rate sensitivity and repricing gaps	Economic Hedge(1)	11,136		14,300
Pay fixed, receive adjustable interest rate swap	Fixed rate or adjustable rate non-callable bond, which may have been previously converted to LIBOR, converted to fixed rate debt that offsets the interest rate risk of mortgage assets	Economic Hedge(1)	600		470
Subtotal Economic Hedges(1)			44,802		38,241
Total			67,658		72,237

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Interest Rate Exchange Agreements (continued)
(In millions)			Notional Amount
Hedging Instrument	Hedging Strategy	Accounting Designation	September 30, 2012		December 31, 2011
Hedged Item: Callable Bonds
Receive fixed or structured, pay adjustable interest rate swap with an option to call at the counterparty's option	Fixed or structured rate callable bond converted to a LIBOR adjustable rate; swap is callable	Fair Value Hedge	1,180		7,345
Receive fixed or structured, pay adjustable interest rate swap with an option to call at the counterparty's option	Fixed or structured rate callable bond converted to a LIBOR adjustable rate; swap is callable	Economic Hedge(1)	1,342		1,390
Receive fixed or structured, pay adjustable interest rate swap with an option to call at the counterparty's option	Fixed or structured rate callable bond converted to a LIBOR adjustable rate; swap is callable; matched to callable bond accounted for under the fair value option	Economic Hedge(1)	1,824		2,806
Subtotal Economic Hedges(1)			3,166		4,196
Total			4,346		11,541
Hedged Item: Discount Notes
Pay fixed, receive adjustable callable interest rate swap	Discount note, which may have been previously converted to LIBOR, converted to fixed rate callable debt that offsets the prepayment risk of mortgage assets	Economic Hedge(1)	1,225		1,865
Basis swap or receive fixed, pay adjustable interest rate swap	Discount note converted to one-month LIBOR or other short-term adjustable rate to hedge repricing gaps	Economic Hedge(1)	3,380		14,760
Pay fixed, receive adjustable non-callable interest rate swap	Discount note, which may have been previously converted to LIBOR, converted to fixed rate non-callable debt that offsets the interest rate risk of mortgage assets	Economic Hedge(1)	595		1,580
Total			5,200		18,205
Hedged Item: Trading Securities
Pay MBS rate, receive adjustable interest rate swap	MBS rate converted to a LIBOR adjustable rate	Economic Hedge(1)	—		1
Basis swap	Basis swap hedging adjustable rate Federal Farm Credit Bank (FFCB) bonds	Economic Hedge(1)	2,477		1,633
Pay fixed, receive adjustable interest rate swap	Fixed rate Temporary Liquidity Guarantee Program (TLGP) securities converted to a LIBOR adjustable rate	Economic Hedge(1)	435		785
Total			2,912		2,419
Hedged Item: Intermediary Positions
Interest rate cap/floor	Stand-alone interest rate cap and/or floor executed with a member offset by executing an interest rate cap and/or floor with derivatives dealer counterparties	Economic Hedge(1)	810		810
Total			810		810
Total Notional Amount			$	99,553	$	129,576

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

At September 30, 2012, the total notional amount of interest rate exchange agreements outstanding was $99.6 billion, compared with $129.6 billion at December 31, 2011. The $30.0 billiondecrease in the notional amount of derivatives during the first nine months of 2012 was due to a net $11.8 billiondecrease in interest rate exchange agreements hedging consolidated obligation bonds, a net $5.7 billiondecrease in interest rate exchange agreements hedging advances, and a net $13.0 billiondecrease in interest rate exchange agreements hedging discount notes, partially offset by a net $0.5 billionincrease in interest rate exchange agreements hedging non-MBS securities. The notional amount serves as a basis for calculating periodic interest payments or cash flows received and paid and is

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not a measure of the amount of credit risk in that transaction.

The following tables categorize the notional amounts and estimated fair values of the Bank’s interest rate exchange agreements, unrealized gains and losses from the related hedged items, and estimated fair value gains and losses from financial instruments carried at fair value by type of accounting treatment and product as of September 30, 2012, and December 31, 2011.

Interest Rate Exchange Agreements Notional Amounts and Estimated Fair Values
September 30, 2012
(In millions)	Notional Amount		Fair Value of Derivatives			Unrealized Gain/(Loss) on Hedged Items			Financial Instruments Carried at Fair Value			Difference
Fair value hedges:
Advances	$	10,291	$	(318	)	$	317		$	—		$	(1	)
Non-callable bonds	22,856		954			(957		)	—			(3		)
Callable bonds	1,180		17			(7		)	—			10
Subtotal	34,327		653			(647		)	—			6
Not qualifying for hedge accounting (economic hedges):
Advances	8,336		(331		)	—			309			(22		)
Non-callable bonds	44,802		247			—			(34		)	213
Callable bonds	3,166		4			—			5			9
Discount notes	5,200		(26		)	—			—			(26		)
FFCB bonds and TLGP securities	2,912		(2		)	—			—			(2		)
Intermediated	810		—			—			—			—
Subtotal	65,226		(108		)	—			280			172
Total excluding accrued interest	99,553		545			(647		)	280			178
Accrued interest	—		158			(166		)	3			(5		)
Total	$	99,553	$	703		$	(813	)	$	283		$	173

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December 31, 2011
(In millions)	Notional Amount		Fair Value of Derivatives			Unrealized Gain/(Loss) on Hedged Items			Financial Instruments Carried at Fair Value			Difference
Fair value hedges:
Advances	$	15,014	$	(271	)	$	270		$	—		$	(1	)
Non-callable bonds	33,996		1,076			(1,083		)	—			(7		)
Callable bonds	7,345		32			(9		)	—			23
Subtotal	56,355		837			(822		)	—			15
Not qualifying for hedge accounting (economic hedges):
Advances	9,350		(396		)	—			401			5
Non-callable bonds	38,241		289			—			(31		)	258
Callable bonds	4,196		4			—			3			7
Discount notes	18,205		(26		)	—			—			(26		)
FFCB bonds and TLGP securities	2,418		(8		)	—			—			(8		)
MBS – trading	1		—			—			—			—
Intermediated	810		—			—			—			—
Subtotal	73,221		(137		)	—			373			236
Total excluding accrued interest	129,576		700			(822		)	373			251
Accrued interest	—		99			(105		)	9			3
Total	$	129,576	$	799		$	(927	)	$	382		$	254

The periodic and cumulative net valuation gains or losses on the Bank’s derivatives, hedged instruments, and certain assets and liabilities that are carried at fair value will generally reverse through changes in future valuations and settlements of contractual interest cash flows over the remaining contractual term to maturity, call date, or put date of the hedged financial instruments, associated interest rate exchange agreements, and financial instruments carried at fair value. However, the Bank may have instances in which the financial instruments or hedging relationships are terminated prior to maturity or prior to the call or put date. Terminating the financial instruments or hedging relationships may result in a realized gain or loss. In addition, the Bank may have instances in which it may sell trading securities prior to maturity, which may also result in a realized gain or loss.

Credit Risk. For a discussion of derivatives credit exposure, see “Management's Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Derivatives Counterparties.”

Concentration Risk. The following table presents the concentration in derivatives with derivatives counterparties whose outstanding notional balances represented 10% or more of the Bank's total notional amount of derivatives outstanding as of September 30, 2012, and December 31, 2011.

Concentration of Derivatives Counterparties
(Dollars in millions)		September 30, 2012				December 31, 2011
Derivatives Counterparty	Credit   Rating(1)	Notional Amount		Percentage of Total Notional Amount		Notional Amount		Percentage of Total Notional Amount
BNP Paribas	A	$	22,562	23	%	$	25,836	20	%
Deutsche Bank AG	A	18,020		18		24,055		19
JPMorgan Chase Bank, National Association	A	9,857		10		15,961		12
UBS AG	A	14,667		15		15,398		12
Subtotal		65,106		66		81,250		63
Others	At least BBB	34,447		34		48,326		37
Total		$	99,553	100	%	$	129,576	100	%

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

Liquidity and Capital Resources

The Bank's financial strategies are designed to enable the Bank to expand and contract its assets, liabilities, and capital in response to changes in membership composition and member credit needs. 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 capital markets through consolidated obligation issuance. The Bank's equity capital resources are governed by its capital plan.

Since the beginning of 2010, the combination of declining FHLBank funding needs and continued investor demand for FHLBank debt has enabled the FHLBanks to issue debt at reasonable costs. During the first nine months of 2012, the FHLBanks issued $45 billion in global bonds, $137 billion in callable bonds, and $647 billion in auctioned discount notes.

Liquidity

The Bank strives to maintain the liquidity necessary to meet member credit demands, repay maturing consolidated obligations for which it is the primary obligor, meet other obligations and commitments, and respond to significant changes in membership composition. The Bank monitors its financial position in an effort to ensure that it has ready access to sufficient liquid funds to meet normal transaction requirements, take advantage of appropriate investment opportunities, and cover unforeseen liquidity demands.

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

The Bank maintains a contingent liquidity plan to meet its obligations and the liquidity needs of members in the event of short-term operational disruptions at the Bank or the Office of Finance or short-term disruptions in the debt capital markets. In 2009, the Finance Agency established liquidity guidelinesthatrequire each FHLBank to maintain sufficient on-balance sheet liquidity in an amount at least equal to its anticipated cash outflows for two different scenarios, both of which assume no capital markets access and no reliance on repurchase agreements or the sale of existing held-to-maturity and available-for-sale investments. The two scenarios differ only in the treatment of maturing advances. One scenario assumes that the Bank does not renew any maturing advances; for this scenario, the Bank must have sufficient liquidity to meet its obligations for 15 calendar days. The second scenario requires the Bank to renew maturing advances for certain members based on specific criteria established by the Finance Agency. For this scenario, the Bank must have sufficient liquidity to meet its obligations for 5 calendar days.

The Bank has a regulatory contingency liquidity requirement to maintain at least five business days of liquidity to enable it to meet its obligations without issuance of new consolidated obligations. In addition to the regulatory requirement and the Finance Agency's guidelines on contingent liquidity, the Bank's asset-liability management committee has established an operational guideline for the Bank to maintain at least 90 days of liquidity to enable the Bank to meet its obligations in the event of a longer-term consolidated obligations market disruption. This operational guideline assumes that the Bank can obtain funds by using MBS as collateral in the repurchase agreement markets. Under this guideline, the Bank maintained at least 90 days of liquidity at all times during the first nine months of 2012. On a daily basis, the Bank models its cash commitments and expected cash flows for the next 90 days to determine its projected liquidity position. If a market or operational disruption occurred that prevented the issuance of new consolidated obligation bonds or discount notes through the capital markets, the

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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 financial institutions (Federal funds purchased) or other FHLBanks (inter-FHLBank borrowings).

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

The following table shows the Bank's principal financial obligations due, estimated sources of funds available to meet those obligations, and the net difference between funds available and funds needed for the 5-business-day and 90-day periods following September 30, 2012, and December 31, 2011. Also shown are additional contingent sources of funds from on-balance sheet collateral available for repurchase agreement borrowings.

Principal Financial Obligations Due and Funds Available for Selected Periods
	As of September 30, 2012				As of December 31, 2011
(In millions)	5 Business Days		90 Days		5 Business Days		90 Days
Obligations due:
Commitments for new advances	$	—	$	—	$	100	$	100
Commitments to purchase investments	—		—		—		54
Demand deposits	601		601		628		628
Maturing member term deposits	—		1		1		1
Discount note and bond maturities and expected exercises of bond call options	3,069		13,801		820		24,691
Subtotal obligations	3,670		14,403		1,549		25,474
Sources of available funds:
Maturing investments	8,604		13,683		1,250		11,879
Cash at Federal Reserve Bank of San Francisco	1		1		3,493		3,493
Proceeds from scheduled settlements of discount notes and bonds	1,340		1,610		200		200
Maturing MBS	—		—		—		1
Maturing advances and scheduled prepayments	1,904		5,099		1,463		13,126
Subtotal sources	11,849		20,393		6,406		28,699
Net funds available	8,179		5,990		4,857		3,225
Additional contingent sources of funds:(1)
Estimated borrowing capacity of securities available for repurchase agreement borrowings:
MBS	—		20,498		—		20,278
TLGP securities	842		—		2,763		2,189
FFCB bonds	2,872		2,217		1,811		1,245
Subtotal contingent sources	3,714		22,715		4,574		23,712
Total contingent funds available	$	11,893	$	28,705	$	9,431	$	26,937

(1) The estimated amount of repurchase agreement borrowings obtainable from authorized securities dealers is subject to market conditions and the ability of securities dealers to obtain financing for the securities and transactions entered into with the Bank. The estimated maximum amount of repurchase agreement borrowings obtainable is based on the current par amount and estimated market value of MBS and other investments (not included in above figures) that are not pledged at the beginning of the period and is subject to estimated collateral discounts taken by securities dealers.

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 2011 Form

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10-K.

Regulatory Capital

The FHLBank Act and Finance Agency regulations specify that each FHLBank must meet certain minimum regulatory capital standards. The Bank must maintain: (i) total regulatory capital in an amount equal to at least 4% of its total assets, (ii) leverage capital in an amount equal to at least 5% of its total assets, and (iii) permanent capital in an amount at least equal to its regulatory risk-based capital requirement. Regulatory capital and permanent capital are both defined as total capital stock outstanding, including mandatorily redeemable capital stock, and retained earnings. Regulatory capital and permanent capital do not include accumulated other comprehensive income/(loss). Leverage capital is defined as the sum of permanent capital weighted by a 1.5 multiplier plus non-permanent capital. (Non-permanent capital consists of Class A capital stock, which is redeemable upon six months' notice. The Bank's capital plan does not provide for the issuance of Class A capital stock.) The risk-based capital requirements must be met with permanent capital, which must be at least equal to the sum of the Bank's credit risk, market risk, and operations risk capital requirements, all of which are calculated in accordance with the rules of the Finance Agency.

The following table shows the Bank's compliance with the Finance Agency's capital requirements at September 30, 2012, and December 31, 2011. During the first nine months of 2012, the Bank's risk-based capital requirement decreased from $4.9 billion at December 31, 2011, to $4.0 billion at September 30, 2012. The decrease was primarily due to a lower market risk requirement as a result of the improvement in the Bank's market value of capital.  

Regulatory Capital Requirements
	September 30, 2012						December 31, 2011
(Dollars in millions)	Required			Actual			Required			Actual
Risk-based capital	$	4,024		$	11,417		$	4,915		$	12,176
Total regulatory capital	$	3,768		$	11,417		$	4,542		$	12,176
Total regulatory capital ratio	4.00		%	12.12		%	4.00		%	10.72		%
Leverage capital	$	4,709		$	17,125		$	5,678		$	18,264
Leverage ratio	5.00		%	18.18		%	5.00		%	16.08		%

In light of the Bank's strong regulatory capital position, the Bank plans to repurchase up to $750 million in excess capital stock on November 14, 2012. This repurchase, combined with the scheduled redemption of $15 million in mandatorily redeemable capital stock during the fourth quarter of 2012, will reduce the Bank's excess capital stock by up to $765 million. The amount of excess capital stock to be repurchased from each shareholder will be based on the total amount of capital stock (including mandatorily redeemable capital stock) outstanding to all shareholders on the repurchase date. The Bank will repurchase an equal percentage of each shareholder's total capital stock to the extent that the shareholder has sufficient excess capital stock.

The Bank's capital requirements are more fully discussed in “Item 8. Financial Statements and Supplementary Data – Note 15 – Capital” in the Bank's 2011 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 Management Policy and a Member Products Policy, which are reviewed regularly and reapproved at least annually. The Risk Management Policy establishes risk guidelines, limits (if applicable), and standards for credit risk, market risk, liquidity risk, operations risk, concentration risk, and business risk in accordance with Finance Agency regulations, the risk profile established by the Board of Directors, and other applicable guidelines in connection with the Bank's capital plan and overall risk management. For more detailed information, see “Item 7. Management's Discussion and Analysis of Financial Condition and Results of

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Operations – Risk Management” in the Bank's 2011 Form 10‑K.

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

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

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

The Bank determines the maximum amount and maximum term of the advances it will make to a CDFI based on a separate risk assessment system that considers information from the CDFI's audited annual financial statements, supplemented by additional information deemed relevant by the Bank. Approved terms are designed to meet the needs of the individual member while mitigating the unique credit and collateral risks of CDFIs, which do not file quarterly regulatory financial reports and are not subject to the same inspection and regulation requirements as other types of members.

Pursuant to the Bank's lending agreements with its borrowers, the Bank limits extensions of credit to individual borrowers to a percentage of the market value or unpaid principal balance of the borrower's pledged collateral, known as the borrowing capacity. The borrowing capacity percentage varies according to several factors, including the 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 the concentration of collateral type. Under the terms of the Bank's lending agreements, the aggregate borrowing capacity of a borrower's pledged eligible collateral must meet or exceed the total amount of the borrower's outstanding advances, other extensions of credit, and certain other borrower obligations and liabilities. The Bank monitors each borrower's aggregate borrowing capacity and collateral requirements on a daily basis by comparing the borrower's borrowing capacity to its obligations to the Bank.

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

The following tables present a summary of the status of the credit outstanding and overall collateral borrowing capacity of the Bank's member and nonmember borrowers as of September 30, 2012, and December 31, 2011.

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Member and Nonmember Credit Outstanding and Collateral Borrowing Capacity by Credit Quality Rating
(Dollars in millions)
September 30, 2012
	All Members and Nonmembers	Members and Nonmembers with Credit Outstanding
					Collateral Borrowing Capacity(2)
Member or Nonmember Credit Quality Rating	Number	Number	Credit Outstanding(1)		Total		Used
1-3	171	97	$	38,098	$	123,990	31	%
4-6	172	91	15,879		37,211		43
7-10	32	18	616		1,132		54
Subtotal	375	206	54,593		162,333		34
CDFIs	3	2	35		38		92
Total	378	208	$	54,628	$	162,371	34	%
December 31, 2011
	All Members and Nonmembers	Members and Nonmembers with Credit Outstanding
					Collateral Borrowing Capacity(2)
Member or Nonmember Credit Quality Rating	Number	Number	Credit Outstanding(1)		Total		Used
1-3	120	78	$	41,276	$	117,959	35	%
4-6	204	112	30,302		53,120		57
7-10	60	31	1,158		3,147		37
Total	384	221	$	72,736	$	174,226	42
CDFIs	2	2	21		28		75
Total	386	223	$	72,757	$	174,254	42	%

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

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

Member and Nonmember Credit Outstanding and Collateral Borrowing Capacity by Unused Borrowing Capacity
(Dollars in millions)
September 30, 2012
Unused Borrowing Capacity	Number of Members and Nonmembers with Credit Outstanding	Credit Outstanding(1)		Collateral Borrowing Capacity(2)
0% – 10%	9	$	238	$	257
11% – 25%	9	14,504		17,891
26% – 50%	28	5,657		9,922
More than 50%	162	34,229		134,301
Total	208	$	54,628	$	162,371
December 31, 2011
Unused Borrowing Capacity	Number of Members and Nonmembers with Credit Outstanding	Credit Outstanding(1)		Collateral Borrowing Capacity(2)
0% – 10%	9	$	238	$	247
11% – 25%	10	19,404		22,512
26% – 50%	32	19,791		32,519
More than 50%	172	33,324		118,976
Total	223	$	72,757	$	174,254

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

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MPF loans.

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

Securities pledged as collateral are assigned borrowing capacities that reflect the securities' pricing volatility and market liquidity risks. Securities are delivered to the Bank's custodian when they are pledged. The Bank prices securities collateral on a daily basis or twice a month, depending on the availability and reliability of external pricing sources. Securities that are normally priced twice a month may be priced more frequently in volatile market conditions. The Bank benchmarks the borrowing capacities for securities collateral to the market on a periodic basis and may review and change the borrowing capacity for any security type at any time. As of September 30, 2012, the borrowing capacities assigned to U.S. Treasury securities and most agency securities ranged from 90% to 99% of their market value. The borrowing capacities assigned to private-label MBS, which must be rated AAA or AA when initially pledged, generally ranged from 50% to 75% of their market value, depending on the underlying collateral (residential mortgage loans, home equity loans, or commercial real estate loans), the rating, and the subordination structure of the respective securities.

The following table presents the securities collateral pledged by all members and by nonmembers with credit outstanding at September 30, 2012, and December 31, 2011.

Composition of Securities Collateral Pledged by Members and by Nonmembers with Credit Outstanding
(In millions)	September 30, 2012				December 31, 2011
Securities Type with Current Credit Ratings	Current Par		Borrowing Capacity		Current Par		Borrowing Capacity
U.S. Treasury (bills, notes, bonds)	$	215	$	212	$	251	$	248
Agency (notes, subordinate debt, structured notes, indexed amortization notes, and Small Business Administration pools)	4,225		4,235		5,132		5,047
Agency pools and collateralized mortgage obligations	13,614		13,388		12,697		12,469
PLRMBS – publicly registered AAA-rated senior tranches	5		4		49		33
PLRMBS – publicly registered AA-rated senior tranches	1		1		10		6
PLRMBS – publicly registered A-rated senior tranches	2		1		9		2
PLRMBS – publicly registered BBB-rated senior tranches	2		—		54		12
Private-label commercial MBS – publicly registered AAA-rated subordinate tranches	4		3		8		6
Term deposits with the Bank	2		2		1		1
Total	$	18,070	$	17,846	$	18,211	$	17,824

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

The Bank may require certain borrowers to deliver pledged loan collateral to the Bank for one or more reasons, including the following: the borrower is a de novo institution (chartered within the last three years), 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. Borrowers required to deliver loan collateral must pledge those loans under the blanket lien method with detailed reporting. The Bank's largest borrowers are required to report detailed data on a monthly basis and may pledge loan collateral using either the specific identification method or the blanket lien method with detailed reporting.

As of September 30, 2012, 53% of the loan collateral pledged to the Bank was pledged by 34 institutions under

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specific identification, 37% was pledged by 172 institutions under blanket lien with detailed reporting, and 11% was pledged by 102 institutions under blanket lien with summary reporting.

As of September 30, 2012, the Bank's maximum borrowing capacities as a percentage of the assigned market value of mortgage loan collateral pledged under blanket lien with detailed reporting were as follows: 90% for first lien residential mortgage loans, 88% for multifamily mortgage loans, 84% for commercial mortgage loans, and 81% for second lien residential mortgage loans. The maximum borrowing capacity of small business, small agribusiness, and small farm loans was 50% of the unpaid principal balance. The highest borrowing capacities are available to borrowers that pledge under blanket lien with detailed reporting because the detailed loan information allows the Bank to assess the value of the collateral more precisely and because additional collateral is pledged under the blanket lien that may not receive borrowing capacity but may be liquidated to repay advances in the event of default. The Bank may review and change the maximum borrowing capacity for any type of loan collateral at any time.

The table below presents the mortgage loan collateral pledged by all members and by nonmembers with credit outstanding at September 30, 2012, and December 31, 2011.

Composition of Loan Collateral Pledged by Members and by Nonmembers with Credit Outstanding
(In millions)	September 30, 2012				December 31, 2011
Loan Type	Unpaid Principal Balance		Borrowing Capacity		Unpaid Principal Balance		Borrowing Capacity
First lien residential mortgage loans	$	102,869	$	74,170	$	119,089	$	78,938
Second lien residential mortgage loans and home equity lines of credit	35,854		9,104		40,154		9,668
Multifamily mortgage loans	29,981		25,144		36,865		28,953
Commercial mortgage loans	44,298		28,961		47,582		29,417
Loan participations(1)	9,600		6,348		13,138		8,637
Small business, small farm, and small agribusiness loans	2,817		661		3,046		710
Other	687		137		764		107
Total	$	226,106	$	144,525	$	260,638	$	156,430

(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 September 30, 2012, and December 31, 2011, the unpaid principal balance of these loans totaled $16 billion and $19 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. In addition, borrowers with concentrations in nontraditional and subprime mortgage loans are subject to more frequent analysis to assess the credit quality and value of the loans. All advances, including those made to borrowers pledging subprime mortgage loans, are required to be fully collateralized. The Bank limits the amount of borrowing capacity that may be supported by subprime collateral.

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

The Bank monitors its investments for substantive changes in relevant market conditions and any declines in fair value. For securities in an unrealized loss position because of factors other than movements in interest rates, such as

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widening of mortgage asset spreads, the Bank considers whether it expects to recover the entire amortized cost basis of the security by comparing the best estimate of the present value of the cash flows expected to be collected from the security with the amortized cost basis of the security. If the Bank's best estimate of the present value of the cash flows expected to be collected is less than the amortized cost basis, the difference is considered the credit loss.

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

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

Investment Credit Exposure
(In millions)
September 30, 2012
	Carrying Value
	Credit Rating(1)
Investment Type	AAA		AA		A		BBB		BB		B		CCC		CC		C		D		Unrated		Total
Non-MBS
Interest-bearing deposits	$	—	$	—	$	1,000	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	1,000
Commercial paper(2)	—		—		710		—		—		—		—		—		—		—		—		710
Housing finance agency bonds	—		152		—		408		—		—		—		—		—		—		—		560
GSEs:
FFCB bonds	—		2,961		—		—		—		—		—		—		—		—		—		2,961
TLGP securities(3)	—		869		—		—		—		—		—		—		—		—		—		869
Total non-MBS	—		3,982		1,710		408		—		—		—		—		—		—		—		6,100
MBS:
Other U.S. obligations:
Ginnie Mae	—		199		—		—		—		—		—		—		—		—		—		199
GSEs:
Freddie Mac	—		5,061		—		—		—		—		—		—		—		—		—		5,061
Fannie Mae	—		7,755		52		—		32		—		—		—		—		—		—		7,839
Total GSEs	—		12,816		52		—		32		—		—		—		—		—		—		12,900
PLRMBS:
Prime	22		143		247		425		677		403		360		100		219		61		1		2,658
Alt-A, option ARM	—		—		—		—		—		19		943		48		22		—		—		1,032
Alt-A, other	26		91		66		477		605		761		3,219		612		953		230		1		7,041
Total PLRMBS	48		234		313		902		1,282		1,183		4,522		760		1,194		291		2		10,731
Total MBS	48		13,249		365		902		1,314		1,183		4,522		760		1,194		291		2		23,830
Total securities	48		17,231		2,075		1,310		1,314		1,183		4,522		760		1,194		291		2		29,930
Securities purchased under agreements to resell	—		—		3,000		—		—		—		—		—		—		—		—		3,000
Federal funds sold(4)	—		5,810		1,617		—		—		—		—		—		—		—		—		7,427
Total investments	$	48	$	23,041	$	6,692	$	1,310	$	1,314	$	1,183	$	4,522	$	760	$	1,194	$	291	$	2	$	40,357

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Investment Credit Exposure
(In millions)
December 31, 2011
	Carrying Value
	Credit Rating(1)
Investment Type	AAA		AA		A		BBB		BB		B		CCC		CC		C		Total
Non-MBS
Interest-bearing deposits	$	—	$	—	$	3,539	$	—	$	—	$	—	$	—	$	—	$	—	$	3,539
Commercial paper(2)	—		1,500		300		—		—		—		—		—		—		1,800
Housing finance agency bonds	—		187		—		459		—		—		—		—		—		646
GSEs:
FFCB bonds	—		1,867		—		—		—		—		—		—		—		1,867
TLGP securities(3)	—		2,849		—		—		—		—		—		—		—		2,849
Total non-MBS	—		6,403		3,839		459		—		—		—		—		—		10,701
MBS
Other U.S. obligations:
Ginnie Mae	—		234		—		—		—		—		—		—		—		234
GSEs:
Freddie Mac	—		3,374		—		—		—		—		—		—		—		3,374
Fannie Mae	—		8,315		—		—		—		—		—		—		—		8,315
Total GSEs	—		11,689		—		—		—		—		—		—		—		11,689
PLRMBS:
Prime	72		306		387		700		529		330		413		178		118		3,033
Alt-A, option ARM	—		—		—		—		—		—		936		53		26		1,015
Alt-A, other	36		137		196		667		434		771		3,412		719		958		7,330
Total PLRMBS	108		443		583		1,367		963		1,101		4,761		950		1,102		11,378
Total MBS	108		12,366		583		1,367		963		1,101		4,761		950		1,102		23,301
Total securities	108		18,769		4,422		1,826		963		1,101		4,761		950		1,102		34,002
Federal funds sold(4)	—		5,366		—		—		—		—		—		—		—		5,366
Total investments	$	108	$	24,135	$	4,422	$	1,826	$	963	$	1,101	$	4,761	$	950	$	1,102	$	39,368

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

(2) The Bank's investment in commercial paper also had a short-term credit rating of A-1/P-1.

(3) TLGP securities represent corporate debentures of the issuing party that are guaranteed by the Federal Deposit Insurance Corporation (FDIC) and backed by the full faith and credit of the U.S. government.

(4) Includes $100 million in Federal funds sold to a member counterparty determined by the Bank to have an internal credit rating equivalent to AA.

For all the securities in its available-for-sale and held-to-maturity 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 Federal funds sold, securities purchased under agreements to resell, negotiable certificates of deposit (interest-bearing deposits), and commercial paper with member and nonmember counterparties, all of which are highly rated.

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

Finance Agency regulations include limits on the amount of unsecured credit an individual FHLBank may extend to a counterparty or to a group of affiliated counterparties. This limit is based on a percentage of eligible regulatory capital and the counterparty's overall credit rating. Under these regulations, the level of eligible regulatory capital is determined as the lesser of an individual FHLBank's total regulatory capital or the eligible amount of regulatory

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capital of the counterparty. The eligible amount of regulatory capital is then multiplied by a stated percentage. The percentage that an FHLBank may offer for term extensions of unsecured credit ranges from 1% to 15% based on the counterparty's credit rating. The calculation of term extensions of unsecured credit includes on-balance sheet transactions, off-balance sheet commitments, and derivative transactions. (See Credit Risk - Derivatives and Counterparty Ratings for additional information related to derivatives exposure).

Finance Agency regulations also permit the FHLBanks to extend additional unsecured credit for overnight extensions of credit and for sales of Federal funds subject to continuing contracts that renew automatically. An FHLBank's total unsecured exposure to a counterparty may not exceed twice the regulatory limit for term exposures, or a total of 2% to 30% of the eligible amount of regulatory capital, based on the counterparty's credit rating. In addition, the FHLBanks are prohibited by Finance Agency regulation from investing in financial instruments issued by non-U.S. entities other than those issued by U.S. branches and agency offices of foreign commercial banks.

As of September 30, 2012, the Bank's unsecured investment credit exposure to U.S. branches and agency offices of foreign commercial banks was limited to Federal funds sold and interest-bearing deposits, which represented 66.1% and 100.0%, respectively, of the Bank's total unsecured investment credit exposure in Federal funds sold and interest-bearing deposits.

The following table presents the credit ratings of the unsecured investment credit exposures presented by the domicile of the counterparty or the domicile of the counterparty's parent for U.S. branches and agency offices of foreign commercial banks, based on the lowest of the credit ratings provided by Moody's, Standard & Poor's, or comparable Fitch ratings. This table does not reflect the foreign sovereign government's credit rating. At September 30, 2012, 63.6% of the carrying value of unsecured investments held by the Bank were rated AA.

Ratings of Unsecured Investment Credit Exposure by Domicile of Counterparty
(In millions)
September 30, 2012
	Carrying Value(1)
	Credit Rating(2)
Domicile of Counterparty	AA		A		Total
Domestic(3)	$	900	$	1,202	$	2,102
U.S. subsidiaries of foreign commercial banks	—		1,125		1,125
Total domestic and U.S. subsidiaries of foreign commercial banks	900		2,327		3,227
U.S. branches and agency offices of foreign commercial banks:
Canada	3,910		1,000		4,910
Australia	1,000		—		1,000
Total U.S. branches and agency offices of foreign commercial banks	4,910		1,000		5,910
Total unsecured credit exposure	$	5,810	$	3,327	$	9,137

(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 September 30, 2012.

(2) Does not reflect changes in ratings, outlook, or watch status occurring after September 30, 2012. These ratings represent the lowest rating available for each security owned by the Bank, based on the ratings provided by Moody's, Standard & Poor's, or comparable Fitch ratings. The Bank's internal rating may differ from this rating.

(3) Includes $100 million in Federal funds sold to a member counterparty determined by the Bank to have an internal credit rating equivalent to AA.

The following table presents the contractual maturity of the Bank's unsecured investment credit exposure by the domicile of the counterparty or the domicile of the counterparty's parent for U.S. branches and agency offices of foreign commercial banks.

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Contractual Maturity of Unsecured Investment Credit Exposure by Domicile of Counterparty
(In millions)
September 30, 2012
	Carrying Value(1)
Domicile of Counterparty	Overnight		Due 2 Days Through 30 Days		Due 31 Days Through 90 Days		Total
Domestic	$	900	$	1,202	$	—	$	2,102
U.S. subsidiaries of foreign commercial banks	1,000		125		—		1,125
Total domestic and U.S. subsidiaries of foreign commercial banks	1,900		1,327		—		3,227
U.S. branches and agency offices of foreign commercial banks:
Canada	2,440		2,120		350		4,910
Australia	—		700		300		1,000
Total U.S. branches and agency offices of foreign commercial banks	2,440		2,820		650		5,910
Total unsecured credit exposure	$	4,340	$	4,147	$	650	$	9,137

(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 September 30, 2012.

The Bank determined that, as of September 30, 2012, all of the gross unrealized losses on its interest-bearing deposits and commercial paper were temporary because the gross unrealized losses were caused by movements in interest rates and not by the deterioration of the issuers' creditworthiness. The interest-bearing deposits and commercial paper were all with issuers that had credit ratings of at least A at September 30, 2012. As a result, the Bank expects to recover the entire amortized cost basis of these securities.

The Bank's investments may also include housing finance agency bonds issued by housing finance agencies located in Arizona, California, and Nevada, the three states that make up the Bank's district. These bonds are mortgage revenue bonds (federally taxable) and are collateralized by pools of first lien residential mortgage loans and credit-enhanced by bond insurance. The bonds held by the Bank are issued by the California Housing Finance Agency (CalHFA) and insured by either Ambac Assurance Corporation (Ambac), MBIA Insurance Corporation (MBIA), or Assured Guaranty Municipal Corporation (formerly Financial Security Assurance Incorporated). At September 30, 2012, all of the bonds were rated at least BBB by Moody's or Standard & Poor's.

At September 30, 2012, the Bank's investments in housing finance agency bonds had gross unrealized losses totaling $114 million. These gross unrealized losses were due to an illiquid market, credit concerns regarding the underlying mortgage collateral, and credit concerns regarding the monoline insurance providers, causing these investments to be valued at a discount to their acquisition cost. The Bank independently modeled cash flows for the underlying collateral, using assumptions for default rates and loss severity that a market participant would deem reasonable, and concluded that the available credit support within the CalHFA structure more than offset the projected underlying collateral losses. The Bank determined that, as of September 30, 2012, all of the gross unrealized losses on the agency bonds are temporary because the underlying collateral and credit enhancements were sufficient to protect the Bank from losses. As a result, the Bank expects to recover the entire amortized cost basis of these securities. If conditions in the housing and mortgage markets and general business and economic conditions remain stressed or deteriorate further, the fair value of the CalHFA bonds may decline further and the Bank may experience OTTI in future periods.

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

agency residential MBS, which are backed by Fannie Mae, Freddie Mac, or Ginnie Mae. Some of the PLRMBS were issued by and/or purchased from members, former members, or their affiliates. The Bank does not have investment credit limits and terms for these investments that differ for members and nonmembers. Bank policy limits total MBS investments to three times the Bank's capital. At September 30, 2012, the Bank's MBS portfolio was 218% of Bank capital (as determined in accordance with regulations governing the operations of the FHLBanks).

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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.

All of the MBS purchased by the Bank are backed by pools of first lien residential mortgage loans, which include residential mortgage loans labeled by the issuer as Alt-A. Bank policy prohibits the purchase of MBS backed by pools of mortgage loans labeled by the issuer as subprime or having certain Bank-defined subprime characteristics.

The Bank has not purchased any PLRMBS since the first quarter of 2008, and current Bank policy prohibits the purchase of PLRMBS.

At September 30, 2012, PLRMBS representing 36% 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 that have sufficient credit ratings to qualify for a conforming mortgage loan, but the loans may not meet all standard guidelines for documentation requirements, property type, or loan-to-value ratios.

As of September 30, 2012, the Bank's investment in MBS had gross unrealized losses totaling $1.3 billion, most of which were related to PLRMBS. These gross unrealized losses were primarily due to illiquidity in the MBS market, uncertainty about the future condition of the housing and mortgage markets and the economy, and market expectations of the credit performance of loan collateral underlying these securities, causing these assets to be valued at significant discounts to their acquisition cost.

For its agency MBS, the Bank expects to recover the entire amortized cost basis of these securities because it 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 September 30, 2012, all of the gross unrealized losses on its agency MBS are temporary.

To assess whether it expects to recover the entire amortized cost basis of its PLRMBS, the Bank performed a cash flow analysis for all of its PLRMBS as of September 30, 2012, using two third-party models. The first model projects prepayments, default rates, and loss severities based on borrower characteristics and the particular attributes of the loans underlying the Bank's securities, in conjunction with assumptions related primarily to future changes in home prices and interest rates. A significant input to the first model is the forecast of future housing price changes for the relevant states and core-based statistical areas (CBSAs), which are based on an assessment of the individual housing markets. CBSA refers collectively to metropolitan and micropolitan statistical areas as defined by the United States Office of Management and Budget. As currently defined, a CBSA must contain at least one urban area with a population of 10,000 or more people.

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

The Bank's housing price forecast as of September 30, 2012, assumed current-to-trough home price declines ranging from 0% (for those housing markets that are believed to have reached their trough) to 4% over the 3- to 9-month periods beginning July 1, 2012. For the vast majority of markets where further home price declines are anticipated, the declines were projected to range from 1% to 2% over the 3-month period beginning July 1, 2012.

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Thereafter, home prices were projected to recover using one of five different recovery paths that vary by housing market. In addition to evaluating its PLRMBS under a base case (or best estimate) scenario, the Bank performed a cash flow analysis for each of these securities under a more adverse housing price scenario. This more adverse scenario was based on a housing price forecast that was 5 percentage points lower at the trough than the base case scenario, followed by a flatter recovery path. Under this scenario, current-to-trough home price declines were projected to range from 5% to 9% over the 3- to 9-month periods beginning July 1, 2012. For most of the housing markets, the declines were projected to occur over the 3-month period beginning July 1, 2012. The following table shows the base case scenario and what the ranges of the annualized projected home price recovery rates by month would have been under the more adverse housing price scenario at September 30, 2012:

Recovery in Terms of Annualized Rates of Housing Price Change Under Base Case and Adverse Case Scenarios
	Housing Price Scenario
Months	Base Case				Adverse Case
1 - 6	0.0	%	-	2.8%	0.0	%	-	1.9%
7 - 18	0.0	%	-	3.0%	0.0	%	-	2.0%
19 - 24	1.0	%	-	4.0%	0.7	%	-	2.7%
25 - 30	2.0	%	-	4.0%	1.3	%	-	2.7%
31 - 42	2.0	%	-	5.0%	1.3	%	-	3.4%
43 - 66	2.0	%	-	6.0%	1.3	%	-	4.0%
Thereafter	2.3	%	-	5.6%	1.5	%	-	3.8%

The following table shows the base case scenario and what the OTTI charge would have been under the more adverse housing price scenario at September 30, 2012:

OTTI Analysis Under Base Case and Adverse Case Scenarios
	Housing Price Scenario
	Base Case						Adverse Case
(Dollars in millions)	Number of Securities	Unpaid Principal Balance		Credit- Related OTTI(1)			Number of Securities	Unpaid Principal Balance		Credit- Related OTTI(1)
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
Prime	4	$	37	$	(1	)	5	$	208	$	(1	)
Alt-A, option ARM	4	120		(1		)	10	883		(33		)
Alt-A, other	15	840		(2		)	91	4,723		(91		)
Total	23	$	997	$	(4	)	106	$	5,814	$	(125	)

(1) Amounts are for the three months ended September 30, 2012.

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

The following table presents the ratings of the Bank's PLRMBS as of September 30, 2012, by year of securitization and by collateral type at origination.

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Unpaid Principal Balance of PLRMBS by Year of Securitization and Credit Rating
(In millions)
September 30, 2012
	Unpaid Principal Balance
	Credit Rating(1)
Collateral Type at Origination and Year of Securitization	AAA		AA		A		BBB		BB		B		CCC		CC		C		D		Unrated		Total
Prime
2008	$	—	$	—	$	—	$	—	$	—	$	29	$	229	$	—	$	—	$	—	$	—	$	258
2007	—		—		—		—		—		102		65		138		247		90		—		642
2006	18		—		—		5		—		93		20		2		51		—		—		189
2005	—		—		—		49		—		18		83		—		—		—		—		150
2004 and earlier	4		142		245		370		678		170		15		—		—		—		1		1,625
Total Prime	22		142		245		424		678		412		412		140		298		90		1		2,864
Alt-A, option ARM
2007	—		—		—		—		—		—		1,232		—		—		—		—		1,232
2006	—		—		—		—		—		—		213		—		—		—		—		213
2005	—		—		—		—		—		19		23		151		91		—		—		284
Total Alt-A, option ARM	—		—		—		—		—		19		1,468		151		91		—		—		1,729
Alt-A, other
2008	—		—		—		—		—		175		—		—		—		—		—		175
2007	—		—		—		—		135		—		1,339		—		762		—		—		2,236
2006	—		65		—		—		—		20		412		35		304		231		—		1,067
2005	4		—		11		18		21		546		2,155		753		279		144		—		3,931
2004 and earlier	21		26		59		458		454		104		88		—		—		—		1		1,211
Total Alt-A, other	25		91		70		476		610		845		3,994		788		1,345		375		1		8,620
Total par amount	$	47	$	233	$	315	$	900	$	1,288	$	1,276	$	5,874	$	1,079	$	1,734	$	465	$	2	$	13,213

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

The following table presents the ratings of the Bank's other-than-temporarily impaired PLRMBS at September 30, 2012, by year of securitization and by collateral type at origination.

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Unpaid Principal Balance of Other-Than-Temporarily Impaired PLRMBS by Year of Securitization and Credit Rating
(In millions)
September 30, 2012
	Unpaid Principal Balance
	Credit Rating(1)
Collateral Type at Origination and Year of Securitization	AA		A		BBB		BB		B		CCC		CC		C		D		Total
Prime
2008	$	—	$	—	$	—	$	—	$	—	$	229	$	—	$	—	$	—	$	229
2007	—		—		—		—		19		65		138		247		90		559
2006	—		—		5		—		—		20		2		51		—		78
2005	—		—		—		—		18		31		—		—		—		49
2004 and earlier	—		—		—		21		73		15		—		—		—		109
Total Prime	—		—		5		21		110		360		140		298		90		1,024
Alt-A, option ARM
2007	—		—		—		—		—		1,232		—		—		—		1,232
2006	—		—		—		—		—		213		—		—		—		213
2005	—		—		—		—		—		—		151		91		—		242
Total Alt-A, option ARM	—		—		—		—		—		1,445		151		91		—		1,687
Alt-A, other
2008	—		—		—		—		175		—		—		—		—		175
2007	—		—		—		—		—		1,339		—		762		—		2,101
2006	65		—		—		—		20		412		35		304		231		1,067
2005	—		—		—		—		546		2,155		753		279		144		3,877
2004 and earlier	—		30		68		127		60		88		—		—		—		373
Total Alt-A, other	65		30		68		127		801		3,994		788		1,345		375		7,593
Total par amount	$	65	$	30	$	73	$	148	$	911	$	5,799	$	1,079	$	1,734	465		$	10,304

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

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

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PLRMBS Credit Characteristics
(Dollars in millions)
September 30, 2012
							For the Nine Months Ended September 30, 2012									Underlying Collateral Performance and Credit Enhancement Statistics
Collateral Type at Origination and Year of Securitization	Amortized Cost		Gross Unrealized Losses		Estimated Fair Value		Total OTTI			Non- Credit- Related OTTI			Credit- Related OTTI			Weighted- Average 60+ Days Collateral Delinquency Rate		Original Weighted Average Credit Support		Current Weighted Average Credit Support
Prime
2008	$	225	$	8	$	217	$	—		$	—		$	—		23.57	%	30.00	%	21.87	%
2007	541		63		477		(2		)	2			—			21.40		22.51		10.35
2006	177		2		179		(1		)	—			(1		)	13.01		11.43		7.53
2005	148		11		139		—			—			—			13.67		11.61		14.81
2004 and earlier	1,628		68		1,561		—			—			—			8.45		4.40		10.25
Total Prime	2,719		152		2,573		(3		)	2			(1		)	13.29		11.60		11.38
Alt-A, option ARM
2007	1,031		240		792		(2		)	—			(2		)	42.91		44.14		33.36
2006	153		25		127		(1		)	(1		)	(2		)	40.90		44.85		26.80
2005	128		29		102		(1		)	(2		)	(3		)	33.58		22.81		15.91
Total Alt-A, option ARM	1,312		294		1,021		(4		)	(3		)	(7		)	41.13		40.72		29.69
Alt-A, other
2008	172		21		151		—			—			—			18.29		31.80		28.12
2007	1,948		227		1,744		(10		)	3			(7		)	30.03		26.78		17.28
2006	813		31		797		(2		)	(4		)	(6		)	28.57		18.45		5.51
2005	3,608		455		3,155		(22		)	10			(12		)	19.19		13.77		10.65
2004 and earlier	1,214		81		1,138		(5		)	4			(1		)	13.05		7.98		16.04
Total Alt-A, other	7,755		815		6,985		(39		)	13			(26		)	22.28		17.28		12.85
Total	$	11,786	$	1,261	$	10,579	$	(46	)	$	12		$	(34	)	22.80	%	19.11	%	14.73	%

The following table presents a summary of the significant inputs used to determine potential OTTI credit losses in the Bank's PLRMBS portfolio for the nine months ended September 30, 2012.

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Significant Inputs to OTTI Credit Analysis for All PLRMBS
September 30, 2012
	Significant Inputs												Current
	Prepayment Rates				Default Rates				Loss Severities				Credit Enhancement
Year of Securitization	Weighted Average %	Range %			Weighted Average %	Range %			Weighted Average %	Range %			Weighted Average %	Range %
Prime
2008	9.3	8.8	-	10.5	31.1	26.3	-	33.0	40.7	36.6	-	47.5	24.4	20.5	-	28.1
2007	8.3	8.1	-	9.6	6.5	6.1	-	7.9	28.9	27.7	-	29.2	10.0	7.6	-	20.1
2006	9.9	7.0	-	15.1	27.2	11.2	-	44.9	37.0	32.9	-	49.2	11.9	0.2	-	19.5
2005	12.2	8.1	-	13.1	12.4	9.3	-	26.7	32.6	31.9	-	35.6	12.1	12.0	-	12.8
2004 and earlier	13.8	6.5	-	43.8	9.4	0.0	-	23.8	29.4	19.7	-	53.9	9.8	4.1	-	59.5
Total Prime	12.3	6.5	-	43.8	15.0	0.0	-	44.9	32.3	19.7	-	53.9	12.8	0.2	-	59.5
Alt-A, option ARM
2007	3.0	1.9	-	4.4	74.8	61.5	-	86.3	51.1	43.7	-	61.1	33.4	25.9	-	44.9
2006	2.7	2.1	-	3.4	76.5	69.1	-	82.4	53.4	42.5	-	62.0	26.8	20.4	-	31.9
2005	4.1	3.2	-	5.1	56.0	25.6	-	70.9	41.8	34.9	-	47.8	15.9	5.1	-	31.8
Total Alt-A, option ARM	3.2	1.9	-	5.1	71.9	25.6	-	86.3	49.9	34.9	-	62.0	29.7	5.1	-	44.9
Alt-A, other
2007	7.8	4.6	-	10.5	49.5	26.7	-	74.1	45.7	31.6	-	54.6	12.7	0.0	-	51.6
2006	7.5	4.8	-	9.6	47.9	30.5	-	67.3	50.2	44.6	-	56.9	13.1	0.0	-	33.2
2005	9.1	6.1	-	14.5	31.7	14.7	-	51.7	44.9	30.4	-	57.9	10.8	0.0	-	89.9
2004 and earlier	10.6	6.8	-	21.5	22.2	0.7	-	45.1	32.5	18.7	-	53.5	15.9	6.8	-	69.3
Total Alt-A, other	8.7	4.6	-	21.5	37.3	0.7	-	74.1	44.2	18.7	-	57.9	12.4	0.0	-	89.9
Total	8.6	1.9	-	43.8	38.0	0.0	-	86.3	42.9	18.7	-	62.0	14.7	0.0	-	89.9

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

The following table presents the unpaid principal balance of PLRMBS by collateral type at the time of origination at September 30, 2012, and December 31, 2011.

Unpaid Principal Balance of PLRMBS by Collateral Type at Origination
	September 30, 2012						December 31, 2011
(In millions)	Fixed Rate		Adjustable Rate		Total		Fixed Rate		Adjustable Rate		Total
PLRMBS:
Prime	$	635	$	2,229	$	2,864	$	999	$	2,327	$	3,326
Alt-A, option ARM	—		1,729		1,729		—		1,880		1,880
Alt-A, other	3,796		4,824		8,620		4,899		4,556		9,455
Total	4,431		8,782		13,213		$	5,898	$	8,763	$	14,661

The following table presents credit ratings as of October 31, 2012, on PLRMBS in a loss position at September 30, 2012.

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PLRMBS in a Loss Position at September 30, 2012, and Credit Ratings as of October 31, 2012
(Dollars in millions)
	September 30, 2012												October 31, 2012
Collateral Type at Origination:	Unpaid Principal Balance		Amortized Cost		Carrying Value		Gross Unrealized Losses		Weighted- Average 60+ Days Collateral Delinquency Rate		% Rated AAA		% Rated AAA		% Rated AA to BBB		% Rated Below Investment Grade(1)		% on Watchlist
Prime	$	2,586	$	2,460	$	2,392	$	152	13.12	%	0.03	%	0.03	%	27.13	%	72.84	%	1.69	%
Alt-A, option ARM	1,614		1,281		998		294		40.93		—		—		—		100.00		—
Alt-A, other	7,552		6,879		6,140		815		21.67		0.31		0.29		7.40		92.31		5.20
Total	$	11,752	$	10,620	$	9,530	$	1,261	22.43	%	0.20	%	0.19	%	10.72	%	89.09	%	3.72	%

(1) PLRMBS rated below investment grade includes 0.06% of Prime and 0.03% of Alt-A, other that are unrated.

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

Fair Value of PLRMBS as a Percentage of Unpaid Principal Balance by Year of Securitization
Collateral Type at Origination and Year of Securitization	September 30, 2012		June 30, 2012		March 31, 2012		December 31, 2011		September 30, 2011
Prime
2008	84.49	%	80.97	%	82.03	%	80.21	%	83.30	%
2007	74.39		69.73		68.71		68.69		71.65
2006	94.76		93.94		95.18		94.17		94.40
2005	92.84		89.12		89.16		86.25		87.07
2004 and earlier	95.92		91.77		91.47		88.18		89.90
Weighted average of all Prime	89.83		85.92		85.82		83.74		85.81
Alt-A, option ARM
2007	64.29		57.47		58.95		56.84		58.86
2006	59.91		54.25		56.11		55.72		55.38
2005	35.79		34.29		35.66		34.88		36.80
Weighted average of all Alt-A, option ARM	59.07		53.27		54.77		53.09		54.83
Alt-A, other
2008	86.58		83.81		83.94		80.26		81.21
2007	78.02		74.88		74.97		73.82		75.62
2006	74.74		70.52		71.23		69.01		72.49
2005	80.25		75.81		76.16		74.23		76.36
2004 and earlier	93.88		89.06		89.00		86.18		87.28
Weighted average of all Alt-A, other	81.04		76.95		77.21		75.28		77.32
Weighted average of all PLRMBS	80.07	%	75.85	%	76.24	%	74.36	%	76.43	%

The following table summarizes rating agency downgrade actions on investments that occurred from October 1, 2012, to October 31, 2012. The credit ratings used by the Bank are based on the lowest of Moody's, Standard & Poor's, or comparable Fitch ratings.

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Investments Downgraded from October 1, 2012, to October 31, 2012 Dollar Amounts as of September 30, 2012
(In millions)
Investment Ratings
At September 30, 2012	At October 31, 2012	PLRMBS
From	To	Carrying Value		Fair Value
AA	A	$	15	$	14
AA	BBB	24		23
A	BBB	61		61
BBB	BB	6		6
BB	B	62		59
B	CCC	43		43
CCC	CC	42		42
CC	C	2		2
C	D	136		136
Total		$	391	$	386

The PLRMBS that were downgraded from October 1, 2012, to October 31, 2012, were included in the Bank's OTTI analysis performed as of September 30, 2012, and no additional OTTI charge was required as a result of these downgrades.

The Bank believes that, as of September 30, 2012, the gross unrealized losses on the remaining PLRMBS that did not have an OTTI charge are primarily due to illiquidity in the MBS market, uncertainty about the future condition of the housing and mortgage markets and the economy, and market expectations of the credit performance of loan collateral underlying these securities, which caused these assets to be valued at significant discounts to their acquisition cost. The Bank does not intend to sell these securities, it is not more likely than not that the Bank will be required to sell these securities before its anticipated recovery of the remaining amortized cost basis, and the Bank expects to recover the entire amortized cost basis of these securities. As a result, the Bank determined that, as of September 30, 2012, all of the gross unrealized losses on these securities are temporary. The Bank will continue to monitor and analyze the performance of these securities to assess the likelihood of the recovery of the entire amortized cost basis of these securities as of each balance sheet date.

The following table summarizes rating agency actions for investments on negative watch as of October 31, 2012. The credit ratings used by the Bank are based on the lowest of Moody's, Standard & Poor's, or comparable Fitch ratings.

Investments on Negative Watch as of to October 31, 2012 Dollar Amounts as of September 30, 2012
(In millions)	Housing Finance Agency Bonds				PLRMBS				Federal Funds Sold
Investment Ratings	Carrying Value		Fair Value		Carrying Value		Fair Value		Carrying Value		Fair Value
AAA	$	—	$	—	$	42	$	42	$	—	$	—
AA	61		54		53		53		350		350
A	—		—		6		5		—		—
BBB	—		—		88		86		—		—
BB	—		—		119		114		—		—
CCC	—		—		146		146		—		—
CC	—		—		14		14		—		—
Total	$	61	$	54	$	468	$	460	$	350	$	350

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The housing finance agency bonds, PLRMBS, and Federal funds sold that were on negative watch as of October 31, 2012, were included in the Bank's OTTI analysis performed as of September 30, 2012. These investments were determined not to be other-than-temporarily impaired and no OTTI charge was required.

If conditions in the housing and mortgage markets and general business and economic conditions remain stressed or deteriorate further, the fair value of MBS may decline further and the Bank may experience OTTI of additional PLRMBS in future periods, as well as further impairment of PLRMBS that were identified as other-than-temporarily impaired as of September 30, 2012. Additional future credit-related OTTI charges could adversely affect the Bank's earnings and retained earnings and its ability to pay dividends and repurchase capital stock. The Bank cannot predict whether it will be required to record additional OTTI charges on its PLRMBS in the future.

Federal and state government authorities, as well as private entities, such as financial institutions and the servicers of residential mortgage loans, have begun or promoted implementation of programs designed to provide homeowners with assistance in avoiding residential mortgage loan foreclosures. These loan modification programs, as well as future legislative, regulatory, or other actions, including amendments to the bankruptcy laws, that result in the modification of outstanding mortgage loans, may adversely affect the value of, and the returns on, these mortgage loans or MBS related to these mortgage loans.

Derivatives Counterparties. The Bank has also adopted credit policies and exposure limits for derivatives credit exposure. All credit exposure from derivatives transactions entered into by the Bank with member counterparties that are not derivatives dealers (including interest rate swaps, caps, floors, corridors, and collars), for which the Bank serves as an intermediary, must be fully secured by eligible collateral, and all such derivatives transactions are subject to both the Bank's Advances and Security Agreement and a master netting agreement.

The Bank selects only highly rated derivatives dealers and major banks (derivatives dealer counterparties) that meet the Bank's eligibility criteria to act as counterparties for its derivatives activities. In addition, the Bank has entered into master netting agreements and bilateral security agreements with all active derivatives dealer counterparties that provide for delivery of collateral at specified levels to limit the Bank's net unsecured credit exposure to these counterparties. Under these policies and agreements, the amount of unsecured credit exposure to an individual derivatives dealer counterparty is limited to an absolute dollar credit exposure limit according to the counterparty's credit rating, as determined by rating agency long-term credit ratings of the counterparty's debt securities or deposits. The following table presents the Bank's credit exposure to its derivatives dealer counterparties at the dates indicated.

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Credit Exposure to Derivatives Dealer Counterparties
(In millions)
September 30, 2012
Counterparty Credit Rating(1)	Notional Balance		Credit Exposure Net of Cash Collateral		Securities Collateral Held		Net Credit Exposure
AA	$	1,827	$	6	$	3	$	3
A	89,577		339		334		5
BBB	7,744		—		—		—
Subtotal	99,148		345		337		8
Member institutions(2)	405		—		—		—
Total derivatives	$	99,553	$	345	$	337	$	8
December 31, 2011
Counterparty Credit Rating(1)	Notional Balance		Credit Exposure Net of Cash Collateral		Securities Collateral Held		Net Credit Exposure
AA	$	3,366	$	9	$	6	$	3
A	125,805		391		375		16
Subtotal	129,171		400		381		19
Member institutions(2)	405		—		—		—
Total derivatives	$	129,576	$	400	$	381	$	19

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

(2) Collateral held with respect to interest rate exchange agreements with members represents either collateral physically held by or on behalf of the Bank or collateral assigned to the Bank, as evidenced by an Advances and Security Agreement, and held by the members for the benefit of the Bank. These amounts do not include those related to Citibank, N.A., which are included in the A-rated derivatives dealer counterparty amounts above at December 31, 2011.

At September 30, 2012, the Bank had a total of $99.6 billion in notional amounts of derivatives contracts outstanding. Of this total:

• $99.1 billion represented notional amounts of derivatives contracts outstanding with 15 derivatives dealer counterparties. Eight of these counterparties made up 91% of the total notional amount outstanding with these derivatives dealer counterparties, individually ranging from 5% to 23% of the total. The remaining counterparties each represented less than 5% of the total. Four of these counterparties, with $40.0 billion of derivatives outstanding at September 30, 2012, were affiliates of members.

• $405 million represented notional amounts of derivatives contracts with two member counterparties that are not derivatives dealers. The Bank entered into these derivatives contracts as an intermediary and entered into the same amount of exactly offsetting transactions with derivatives dealer counterparties. The Bank's intermediation in this manner allows members indirect access to the derivatives market.

Credit exposure net of cash collateral on derivatives contracts at September 30, 2012, was $345 million with seven derivatives dealer counterparties. After consideration of collateral held by the Bank, the amount of net unsecured exposure from these contracts totaled $8 million.

At December 31, 2011, the Bank had a total of $129.6 billion in notional amounts of derivatives contracts outstanding. Of this total:

• $129.2 billion represented notional amounts of derivatives contracts outstanding with 15 derivatives dealer counterparties. Eight of these counterparties made up 89% of the total notional amount outstanding with these derivatives dealer counterparties, individually ranging from 5% to 20% of the total. The remaining counterparties each represented less than 5% of the total. Four of these counterparties, with $52.4 billion of derivatives outstanding at December 31, 2011, were affiliates of members.

• $405 million represented notional amounts of derivatives contracts with two member counterparties that are not derivatives dealers. The Bank entered into these derivatives contracts as an intermediary and entered

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into the same amount of exactly offsetting transactions with derivatives dealer counterparties. The Bank's intermediation in this manner allows members indirect access to the derivatives market.

Credit exposure net of cash collateral on derivatives contracts at December 31, 2011, was $400 million with eight derivatives dealer counterparties. After consideration of collateral held by the Bank, the amount of net unsecured exposure from these contracts totaled $19 million.

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

For more information, see “Item 7. Management's Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Credit Risk – Derivatives Counterparties” in the Bank's 2011 Form 10-K.

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 2011 Form 10-K, the following accounting policies and estimates were identified as critical because they require the Bank to make subjective or complex judgments about matters that are inherently uncertain and because of the likelihood that materially different amounts would be reported under different conditions or using different assumptions. These policies and estimates are: estimating the allowance for credit losses on the advances and mortgage loan portfolios; accounting for derivatives; estimating fair values of investments classified as trading and available-for-sale, derivatives and associated hedged items carried at fair value in accordance with the accounting for derivative instruments and associated hedging activities, and financial instruments carried at fair value under the fair value option, and accounting for other-than-temporary impairment for investment securities; and estimating the prepayment speeds on MBS and mortgage loans for the accounting of amortization of premiums and accretion of discounts on MBS and mortgage loans.

There have been no significant changes in the judgments and assumptions made during the first nine months of 2012 in applying the Bank's critical accounting policies. These policies and the judgments, estimates, and assumptions are described in greater detail 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 2011 Form 10-K and in “Item 1. Financial Statements – Note 16 – Fair Value.”

Recently Issued Accounting Guidance and Interpretations

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

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Recent Developments

Dodd-Frank Act's Impact on the Bank's Derivatives Transactions.

Definitions of Certain Terms under New Derivatives Requirements. The Dodd-Frank Act will require swap dealers and certain other large users of derivatives to register as “swap dealers” or “major swap participants,” as the case may be, with the U.S. Commodity Futures Trading Commission (CFTC) and/or the SEC. Based on the definitions in the final rules jointly issued by the CFTC and SEC in April 2012, the Bank will not be required to register as either a major swap participant or as a swap dealer with respect to the derivatives transactions that the Bank enters into for the purposes of hedging and managing its interest rate risk or the derivatives transactions that the Bank may intermediate for its member institutions.

Based on the final rules and accompanying interpretive guidance jointly issued by the CFTC and SEC in July 2012, call and put optionality in certain advances to the Bank's member institutions will not be treated as “swaps” as long as the optionality relates solely to the interest rate on the advance and does not result in enhanced or inverse performance or other risks unrelated to the interest rate. Accordingly, the Bank's ability to offer these advance products to members should not be affected by the new derivatives regulation.

Mandatory Clearing of Derivatives Transactions. The Dodd-Frank Act provides for new statutory and regulatory requirements for derivatives transactions, including those used by the Bank to hedge its interest rate risk and other risks. As a result of these requirements, certain derivatives transactions will be required to be cleared through a third-party central clearinghouse and traded on regulated exchanges or through new swap execution facilities. As further discussed in the 2011 Form 10-K, cleared swaps will be subject to new requirements, including mandatory reporting, recordkeeping, and documentation requirements established by applicable regulators and initial and variation margin requirements established by the clearinghouse and its clearing members. On July 24, 2012, the CFTC issued proposed determinations regarding which swaps will be subject to mandatory clearing and the compliance schedules for mandatory clearing requirements. The CFTC is expected to finalize these determinations sometime in November 2012, and the Bank will have to clear eligible interest rate swaps within 180 days after publication of the final determinations; the Bank estimates that it will be required to begin clearing eligible swaps sometime in late April or early May 2013.

On October 23, 2012, the CFTC approved for public comment proposed new regulations and amendments to existing regulations to enhance protections for customers and to strengthen the safeguards surrounding the holding of customer funds deposited with futures commission merchants and clearinghouses. The proposals will be open for public comment for 60 days after publication in the Federal Register.

The CFTC recently finalized an end-user exception to mandatory clearing that would apply to the derivatives transactions that the Bank may intermediate for any of its member institutions that have $10 billion or less in assets, but only if the member uses the swaps to hedge or mitigate its commercial risk and the reporting counterparty for such swaps complies with certain additional reporting requirements. As a result, these intermediated derivatives transactions would not be subject to mandatory clearing, but would be subject to all applicable requirements for derivatives transactions that are not subject to mandatory clearing requirements (uncleared derivatives transactions).

Uncleared Derivatives Transactions. The Dodd-Frank Act will also change the regulatory landscape for uncleared derivatives transactions. While the Bank expects to continue to enter into uncleared derivatives transactions on a bilateral basis, such transactions will be subject to new requirements, including mandatory reporting, recordkeeping, documentation, and minimum margin and capital requirements established by applicable regulators. These requirements are discussed in the Bank's 2011 Form 10-K.

Certain of the CFTC's final rules, once effective, will require the Bank to amend its existing bilateral swap documentation with swap dealers. To facilitate amendment of the agreements, the International Swap and Derivatives Association (ISDA) has announced the first of what are expected to be several protocols, which allow adherents to amend existing bilateral documentation with other adhering counterparties without having to negotiate

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changes to individual agreements. The Bank has adhered to the first of these protocols, the August 2012 Dodd-Frank Protocol, which amends its agreements to address changes necessitated by the final external business conduct rules for swap dealers and major swap participants, and several other final rules. ISDA has also announced a second proposed protocol to address changes necessitated by final rules regarding portfolio valuation and reconciliation and dispute resolution, and the Bank is currently evaluating the protocol's provisions.

The Dodd-Frank Act also imposes new margin requirements for uncleared derivatives transactions, which are discussed in the Bank's 2011 Form 10-K. The CFTC, the FHFA, and other bank regulators proposed margin requirements in 2011, and the CFTC has since re-opened the comment period for such requirements on two occasions. The FHFA and other bank regulators recently re-opened the comment period for their proposed margin requirements until November 26, 2012. As a result, the Bank does not expect that margin and capital requirements will be finalized until sometime in early 2013 and applicable to the Bank until later in 2013 at the earliest.

Recordkeeping and Reporting. Compliance dates for the new recordkeeping and reporting requirements for all of the Bank's cleared and uncleared derivatives transactions have now been established, based on the effective date for the final rule further defining the term “swap,” issued jointly by the CFTC and the SEC, which became effective on October 12, 2012. The Bank currently complies with recordkeeping requirements for its swaps transacted on or after July 21, 2010, and, beginning on April 10, 2013, it will also have to comply with new recordkeeping requirements for swaps entered into on or after April 10, 2013. Swap dealers with which the Bank enters into interest rate swaps must comply with certain new reporting requirements, including real-time reporting requirements, as of the date on which they register with the CFTC as swap dealers, which must be no later than December 31, 2012. The Bank will be required to comply with reporting requirements, including real-time reporting requirements, for any swaps that it intermediates for a member institution beginning on April 10, 2013.

Together with the other FHLBanks, the Bank will continue to monitor and assess the impact of these rulemakings and the overall regulatory process and to implement the derivatives reforms required by the Dodd-Frank Act. The Bank will also continue to negotiate documentation with clearing houses and clearing members necessary to comply with mandatory clearing requirements.

Advance Notice of Proposed Rulemaking on Stress-Testing Requirements. On October 5, 2012, the FHFA issued a notice of proposed rulemaking that would implement a provision in the Dodd-Frank Act that requires all financial companies with assets over $10 billion to conduct annual stress tests, which will be used to evaluate an institution's capital adequacy under various economic conditions and financial conditions. The FHFA proposes to issue annual guidance to describe the baseline, adverse, and severely adverse scenarios and methodologies that the FHLBanks must follow in conducting their stress tests, which, as required by the Dodd-Frank Act, would be generally consistent and comparable to those established by the Federal Reserve. An FHLBank would be required to provide a report on the results of the stress tests annually to the FHFA and the Federal Reserve and to publicly disclose a summary of the report within 90 days. Comments are due by December 4, 2012.

Proposed Guidance on Collateralization of Advances and Other Credit Products Provided to Insurance Company Members. On October 5, 2012, the FHFA published a notice requesting comments on a proposed Advisory Bulletin which would set forth standards to guide the FHFA in its supervision of secured lending to insurance company members by the FHLBanks. The FHFA's notice states that lending to insurance company members exposes FHLBanks to risks that are not associated with advances to insured depository institution members, arising from different statutory and regulatory regimes and different statutory accounting principles and reporting practices. The proposed standards include consideration of, among other things:

• the level of an FHLBank's exposure to insurance companies in relation to its capital structure and retained earnings;

• an FHLBank's control of pledged securities collateral and ability to ensure it has a first-priority perfected security interest;

• the use of funding agreements between an FHLBank and an insurance company member to document advances and whether an FHLBank would be recognized as a secured creditor with a first priority security interest in the collateral; and

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• the FHLBank's documented framework, procedures, methodologies, and standards to evaluate an insurance company member's creditworthiness and financial condition; the FHLBank's valuation of the pledged collateral; and whether an FHLBank has a written plan for the liquidation of member insurance company collateral.

Comments are due by December 4, 2012.

National Credit Union Administration Proposed Rule on Access to Emergency Liquidity. On July 30, 2012, the National Credit Union Administration (NCUA) published a proposed rule requiring, among other things, that federally insured credit unions of $100 million or larger must maintain access to at least one federal liquidity source for use in times of financial emergency and distressed circumstances. This access must be demonstrated through direct or indirect membership in the Central Liquidity Facility (a U.S. government corporation created to improve the general financial stability of credit unions by serving as a liquidity lender to credit unions) or by establishing access to the Federal Reserve's discount window. The proposed rule does not include FHLBank membership as an emergency liquidity source. If the rule is issued as proposed, it may adversely affect the Bank's results of operations if it causes the Bank's federally insured credit union members to favor these federal liquidity sources over FHLBank membership or advances. Comments were due by September 28, 2012.

Housing Finance and GSE Reform.Recently, the U.S. Treasury Department (Treasury Department) announced a set of modifications to the preferred stock purchase agreements between the Treasury Department and the FHFA as conservator of Fannie Mae and Freddie Mac (together, the Enterprises) to help expedite the wind down of the Enterprises. The changes require all future earnings from the Enterprises to be turned over to the Treasury Department and require the accelerated wind down of their retained mortgage portfolios. By not allowing the Enterprises to retain any profits, these changes effectively ensure that the Enterprises will never be allowed to recapitalize themselves and return to the market in their previous structure. In addition, the FHFA recently solicited comments on its proposal to create a new framework for the secondary mortgage market. The FHFA has indicated that the framework is intended to create a more efficient and flexible securitization platform for the Enterprises that also would be available to all market participants and interested parties.

As the Enterprises are being wound down, Congress and the Administration have been considering various proposals to reform the U.S. housing finance system and the secondary mortgage market. A number of bills have been introduced in Congress in the past several years, although none have proposed specific changes to the FHLBanks. No further legislative action in this area is expected until the next Congress convenes in 2013. It is impossible to determine at this time whether or when Congress will act in this area. The ultimate effects of housing finance and GSE reform on the FHLBanks are unknown and will depend on the legislation or other changes, if any, that ultimately are implemented.

Off-Balance Sheet Arrangements, Guarantees, and Other Commitments

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

The Bank's joint and several contingent liability is a guarantee, but is excluded from initial recognition and measurement provisions because the joint and several obligations are mandated by the FHLBank Act or Finance Agency regulation and are not the result of arms-length transactions among the FHLBanks. The Bank has no control over the amount of the guarantee or the determination of how each FHLBank would perform under the joint and several obligations. The valuation of this contingent liability is therefore not recorded on the balance sheet of the Bank. The par amount of the outstanding consolidated obligations of all 12 FHLBanks was $674.5 billion at September 30, 2012, and $691.9 billion at December 31, 2011. The par value of the Bank's participation in consolidated obligations was $82.0 billion at September 30, 2012, and $101.2 billion at December 31, 2011. At September 30, 2012, the Bank had committed to the issuance of $1.6 billion in consolidated obligation bonds, $1.3

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billion of which were hedged with associated interest rate swaps. At December 31, 2011, the Bank had committed to the issuance of $200 million in consolidated obligation bonds, of which $200 million were hedged with associated interest rate swaps. For additional information on the Bank's joint and several contingent liability obligation, see “Item 8. Financial Statements and Supplementary Data – Note 20 – Commitments and Contingencies” in the Bank's 2011 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 balance sheet or may be recorded on the Bank's balance sheet in amounts that are different from the full contract or notional amount of the transactions. For example, the Bank routinely enters into commitments to extend advances and issues standby letters of credit. These commitments and standby letters of credit may represent future cash requirements of the Bank, although the standby letters of credit usually expire without being drawn upon. Standby letters of credit are subject to the same underwriting and collateral requirements as advances made by the Bank. At September 30, 2012, the Bank had $20 million in advance commitments and $3.5 billion in standby letters of credit outstanding. At December 31, 2011, the Bank had $102 million in advance commitments and $5.3 billion in standby letters of credit outstanding. The estimated fair value of the advance commitments was de minimis to the balance sheet at September 30, 2012, and December 31, 2011. The estimated fair value of the letters of credit was $11 million at September 30, 2012, and $6 million at December 31, 2011.

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

The Federal Home Loan Bank of San Francisco's (Bank) market risk management objective is to maintain a relatively low exposure of the 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 interest rates. 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 interest rate risk.

The Bank's Risk Management Policy includes a market risk management objective aimed at maintaining a relatively low exposure of the net portfolio 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 interest rates. See “Total Bank Market Risk” below.

Market risk identification and measurement are primarily accomplished through market value of capital sensitivity analyses, net portfolio value of capital sensitivity analyses, and projected earnings and return on capital sensitivity analyses. The Risk Management Policy approved by the Bank's Board of Directors establishes market risk policy limits and market risk measurement standards at the total Bank level as well as at the business segment level. Additional guidelines approved by the Bank's Enterprise Risk Committee (ERC) apply to the Bank's two business segments, the advances-related business and the mortgage-related business. These guidelines provide limits that are monitored at the segment level and are consistent with the Bank's policy limits. Interest rate risk is managed for each business segment on a daily basis, as discussed below in “Segment Market Risk.” At least monthly, compliance with Bank policies and guidelines is presented to the ERC, the asset-liability management committee (ALCO), and the Board of Directors, along with a corrective action plan if applicable.

Total Bank Market Risk

Market Value of Capital Sensitivity and Net Portfolio Value of Capital Sensitivity

The Bank uses market value of capital sensitivity (the interest rate sensitivity of the net fair value of all assets, liabilities, and interest rate exchange agreements) as an important measure of the Bank's exposure to changes in interest rates. As explained below, the Bank measures, monitors, and reports on market value of capital sensitivity but does not have a policy limit for this measure.

Since 2008, the Bank has used net portfolio value of capital sensitivity as the primary market value metric for

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measuring the Bank's exposure to changes in interest rates and has established a policy limit on net portfolio value of capital sensitivity. This approach uses valuation methods that estimate the value of mortgage-backed securities (MBS) and mortgage loans in alternative interest rate environments based on valuation spreads that existed at the time the Bank acquired the MBS and mortgage loans (acquisition spreads), rather than valuation spreads implied by the current market prices of MBS and mortgage loans (market spreads). Risk metrics based on spreads existing at the time of acquisition of mortgage assets better reflect the interest rate risk of the Bank because the Bank does not intend to sell its mortgage assets and the use of market spreads calculated from estimates of current market prices (which include large embedded liquidity spreads) would not reflect the actual risks faced by the Bank.

Beginning in the third quarter of 2009, in the case of specific PLRMBS for which the Bank expects loss of principal in future periods, the par amount of the other-than-temporarily impaired security is reduced by the amount of the projected principal shortfall and the asset price is calculated based on the acquisition spread. This approach directly takes into consideration the impact of projected principal (credit) losses from PLRMBS on the net portfolio value of capital, but eliminates the impact of large liquidity spreads inherent in the prior treatment of other-than-temporarily impaired securities.

The Bank's net portfolio value of capital sensitivity policy limits the potential adverse impact of an instantaneous parallel shift of a plus or minus 100-basis-point change in interest rates from current rates (base case) to no worse than –3% of the estimated net portfolio value of capital. In addition, the policy limits the potential adverse impact of an instantaneous plus or minus 100-basis-point change in interest rates measured from interest rates that are 200 basis points above or below the base case to no worse than –4% of the estimated net portfolio 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 net portfolio value of capital sensitivity was within the policy limits as of September 30, 2012.

To determine the Bank's estimated risk sensitivities to interest rates for both the market value of capital sensitivity and the net portfolio value of capital sensitivity, the Bank uses a third-party proprietary asset and liability system to calculate estimated net portfolio 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 prepayment assumptions. The Bank also compares the prepayment assumptions in the third-party model to other sources, including actual prepayment history.

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

Market Value of Capital Sensitivity Estimated Percentage Change in Market Value of Bank Capital for Various Changes in Interest Rates
Interest Rate Scenario(1)	September 30, 2012		December 31, 2011
+200 basis-point change above current rates	–0.4	%	–3.6	%
+100 basis-point change above current rates	+0.1		–2.0
–100 basis-point change below current rates(2)	+3.8		+5.0
–200 basis-point change below current rates(2)	+6.0		+9.3

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

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

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The Bank's estimates of the sensitivity of the market value of capital to changes in interest rates as of September 30, 2012, show a decline in sensitivity in both the rising rate and declining rate scenarios compared to the estimates as of December 31, 2011. LIBOR interest rates as of September 30, 2012, were 32 basis points lower for the 1-year term, 47 basis points lower for the 5-year term, and 34 basis points lower for the 10-year term. Because interest rates in the declining rate scenarios are limited to non-negative interest rates and the current interest rate environment is so low, the interest rates in the declining rate scenarios cannot decrease to the same extent that the interest rates in the rising rate scenarios can increase.

Embedded in the market value of capital sensitivity table are risk projections for mortgage assets. In general, as interest rates increase, mortgage assets, including MBS, are expected to remain outstanding for a longer period of time because prepayment speeds decline as a result of reduced incentives to refinance. Because most of the Bank's MBS were purchased when mortgage asset spreads to pricing benchmarks were significantly lower than what is currently required by investors, the adverse spread difference causes an embedded negative impact on the market value of MBS, which directly reduces the estimated market value of Bank capital. If interest rates increase and MBS consequently remain outstanding for a longer period of time, the adverse spread difference will exist for a longer period of time, causing an even larger embedded negative market value impact than at current interest rate levels. This creates additional downward pressure on the measured market value of capital. As a result, the Bank's measured market value of capital sensitivity to changes in interest rates is generally higher than it would be if it were measured based on the fundamental underlying repricing and option risks (a greater decline in the market value of capital when rates increase and a greater increase in the market value of capital when rates decrease). Based on the liquidity premium investors require for these assets and the Bank's intent and ability to hold the assets to maturity, the Bank determined that the market value of capital sensitivity is not the best indication of risk, and the Bank now uses estimates of the sensitivity of the net portfolio value of capital to measure that risk, as explained above.

The Net Portfolio Value of Capital Sensitivity table below presents the sensitivity of the net portfolio value of capital (the net value of the Bank's assets, liabilities, and hedges, with mortgage assets valued using acquisition valuation spreads) to changes in interest rates. The table presents the estimated percentage change in the Bank's net portfolio value of capital that would be expected to result from changes in interest rates under different interest rate scenarios based on pricing mortgage assets at spreads that existed at the time of purchase rather than current market spreads. The Bank's estimates of the net portfolio value of capital sensitivity to changes in interest rates as of September 30, 2012, show a decline in sensitivity in both rising rate and declining rate scenarios compared to the estimates as of December 31, 2011.

Net Portfolio Value of Capital Sensitivity Estimated Percentage Change in Net Portfolio Value of Bank Capital for Various Changes in Interest Rates Based on Acquisition Spreads
Interest Rate Scenario(1)	September 30, 2012		December 31, 2011
+200 basis-point change above current rates	–0.1	%	–3.3	%
+100 basis-point change above current rates	+0.6		–1.5
–100 basis-point change below current rates(2)	+0.5		+2.0
–200 basis-point change below current rates(2)	+0.4		+1.8

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

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

Return on Capital

The return on capital is a measure used by the Bank to assess financial performance. The return on capital is based on current period economic earnings that exclude the effects of unrealized net gains or losses resulting from the Bank's derivatives and associated hedged items and from financial instruments carried at fair value, which will

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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 exclude the interest expense on mandatorily redeemable capital stock. Economic earnings also exclude the 20% of net income allocated to the Bank's restricted retained earnings account in accordance with the FHLBanks' Joint Capital Enhancement Agreement. Economic earnings exclude these amounts in order to more accurately reflect the amount of earnings that may be available to be paid as dividends to shareholders.

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

Duration Gap

Duration gap is the difference between the estimated durations (market value sensitivity) of assets and liabilities (including the impact of interest rate exchange agreements) and reflects the extent to which estimated maturity and repricing cash flows for assets and liabilities are matched. The Bank monitors duration gap analysis at the total Bank level and does not have a policy limit. The Bank's duration gap was negative one month at September 30, 2012, and two months at December 31, 2011.

Total Bank Duration Gap Analysis
	September 30, 2012				December 31, 2011
	Amount (In millions)		Duration Gap(1)(2) (In months)		Amount (In millions)		Duration Gap(1)(2) (In months)
Assets	$	94,189	8		$	113,552	8
Liabilities	88,609		9		108,847		6
Net	$	5,580	(1	)	$	4,705	2

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

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

The duration gap as of September 30, 2012, declined relative to the duration gap as of December 31, 2011. Since duration gap is a measure of market value sensitivity, the impact of the extraordinarily wide mortgage asset spreads on duration gap is the same as described in the analysis in “Market Value of Capital Sensitivity” above. As a result of the liquidity premium investors require for these assets and the Bank's intent and ability to hold its mortgage assets to maturity, the Bank does not believe that market value-based sensitivity risk measures provide a fundamental indication of risk.

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 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 hedged contemporaneously with an interest rate swap or option

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

Non-MBS investments used for liquidity management generally have maturities of less than three months or are variable rate investments. These investments effectively match the interest rate risk of the Bank's variable rate funding. To leverage the Bank's capital stock, the Bank also invests in agency or TLGP securities, generally with terms of less than two years. These investments may be variable rate or fixed rate, and the interest rate risk resulting from the fixed rate coupon is hedged with an interest rate swap or fixed rate debt.

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

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

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

Mortgage-Related Business

The Bank's mortgage assets include MBS, most of which are classified as held-to-maturity or as available-for-sale, 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 uncertainty of mortgage prepayments and the existence of interest rate caps on certain adjustable rate MBS.

The Bank purchases a mix of intermediate-term fixed rate and adjustable rate MBS. Generally, purchases of long-term fixed rate MBS have been relatively small; any MPF loans that have been acquired are medium- or long-term fixed rate mortgage assets. This results in a mortgage portfolio that has a diversified set of interest rate risk attributes.

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

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

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

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

In addition, the Bank continues to use 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 measures, monitors, and reports on the market value of capital sensitivity attributable to 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 September 30, 2012, and December 31, 2011.

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)	September 30, 2012		December 31, 2011
+200 basis-point change	+1.5	%	–1.2	%
+100 basis-point change	+0.9		–0.8
–100 basis-point change(2)	+2.0		+3.2
–200 basis-point change(2)	+3.9		+7.0

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

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

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The Bank's estimates of the sensitivity of the market value of capital to changes in interest rates as of September 30, 2012, show a decline in sensitivity in both the rising and declining rate scenarios compared to the estimates as of December 31, 2011. LIBOR interest rates as of September 30, 2012, were 32 basis points lower for the 1-year term, 47 basis points lower for the 5-year term, and 34 basis points lower for the 10-year term relative to December 31, 2011. Because interest rates in the declining rate scenarios are limited to non-negative interest rates and the current interest rate environment is so low, the interest rates in the declining rate scenarios cannot decrease to the same extent that the interest rates in the rising rate scenarios can increase.

The following table presents results of the estimated net portfolio value of capital sensitivity analysis attributable to the mortgage-related business as of September 30, 2012, and December 31, 2011. The table presents the estimated percentage change in the value of Bank capital attributable to the mortgage-related business that would be expected to result from changes in interest rates under different interest rate scenarios based on pricing mortgage assets at spreads that existed at the time of purchase rather than current market spreads. The Bank's estimates of the net portfolio value of capital sensitivity to changes in interest rates as of September 30, 2012, show a change in the direction of the sensitivity in both the rising rate and declining rate scenarios compared to the estimates as of December 31, 2011.

Net Portfolio Value of Capital Sensitivity Estimated Percentage Change in Net Portfolio Value of Bank Capital Attributable to the Mortgage-Related Business for Various Changes in Interest Rates Based on Acquisition Spreads
Interest Rate Scenario(1)	September 30, 2012		December 31, 2011
+200 basis-point change above current rates	+1.5	%	–1.4	%
+100 basis-point change above current rates	+1.3		–0.6
–100 basis-point change below current rates(2)	–1.0		+0.6
–200 basis-point change below current rates(2)	–1.4		+0.1

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

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

ITEM 4. CONTROLS AND PROCEDURES

Disclosure Controls and Procedures

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

Management of the Bank has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with the participation of the president and chief executive officer, executive vice president and chief operating officer, and senior vice president and chief financial officer as of the end of the period covered by this report. Based on that evaluation, the Bank's president and chief executive officer, executive vice president and chief

119

operating officer, and senior vice president and chief financial officer have concluded that the Bank's disclosure controls and procedures were effective at a reasonable assurance level as of the end of the period covered by this report.

Internal Control Over Financial Reporting

During the three months ended September 30, 2012, there were no changes in the Bank's internal control over financial reporting that have materially affected, or are reasonably likely to materially affect, the Bank's internal control over financial reporting.

Consolidated Obligations

The Bank's disclosure controls and procedures include controls and procedures for accumulating and communicating information in compliance with the Bank's disclosure and financial reporting requirements relating to the joint and several liability for the consolidated obligations of other 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, which is located in Section 1270.10 of Title 12 of the Code of Federal Regulations. The joint and several liability regulation requires that each FHLBank file with the Finance Agency a quarterly certification that it will remain capable of making full and timely payment of all of its current obligations, including direct obligations, coming due during the next quarter. In addition, if an FHLBank cannot make such a certification or if it projects that it may be unable to meet its current obligations during the next quarter on a timely basis, it must file a notice with the Finance Agency. Under the joint and several liability regulation, the Finance Agency may order any FHLBank to make principal and interest payments on any consolidated obligations of any other FHLBank, or allocate the outstanding liability of an FHLBank among all remaining FHLBanks on a pro rata basis in proportion to each FHLBank's participation in all consolidated obligations outstanding or on any other basis.

PART II. OTHER INFORMATION

ITEM 1. LEGAL PROCEEDINGS

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

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

The Bank's PLRMBS litigation is now in the discovery phase.

In 2010, the Bank also filed a complaint in San Francisco Superior Court against Bank of America Corporation (BAC) seeking a determination that BAC or its subsidiaries are successors to the liabilities of Countrywide Financial Corporation (CFC) and other Countrywide entities that are defendants in the Bank's PLRMBS litigation. In 2011, the Bank filed an amended complaint that also alleges a claim for control person liability against CFC under the California Corporate Securities Act.CFC filed a demurrer (also referred to as a motion to dismiss in other jurisdictions) to the amended complaint with respect only to the control person liability claim against CFC. At a hearing on March 27, 2012, the Court sustained CFC's demurrer, effectively dismissing from the amended complaint the control person liability claim against CFC. The Bank is appealing the Court's decision.

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For a discussion of this litigation, see “Part I. Item 3. Legal Proceedings” in the Bank's Annual Report on Form

10-K for the year ended December 31, 2011.

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

ITEM 1A. RISK FACTORS

For a discussion of risk factors, see “Part I. Item 1A. Risk Factors” in the Federal Home Loan Bank of San Francisco's (Bank's) Annual Report on Form 10-K for the year ended December 31, 2011 (2011 Form 10-K). There have been no material changes from the risk factors disclosed in the “Part I. Item 1A. Risk Factors” section of the Bank's 2011 Form 10-K.

ITEM 6. EXHIBITS

10.1	2012 President's Incentive Plan
10.2	2012 Executive Incentive Plan
10.3	2012 Executive Performance Unit Plan
10.4	2011 Executive Performance Unit Plan (revised)
31.1	Certification of the President and Chief Executive Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
31.2	Certification of the Chief Operating Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
31.3	Certification of the Chief Financial Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
32.1	Certification of the President and Chief Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
32.2	Certification of the Chief Operating Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
32.3	Certification of the Chief Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
101	Pursuant to Rule 405 of Regulation S-T, the following financial information from the Bank's quarterly report on Form 10-Q for the period ended September 30, 2012, is formatted in XBRL interactive data files: (i) Statements of Condition at September 30, 2012, and December 31, 2011; (ii) Statements of Income for the Three and Nine Months Ended September 30, 2012 and 2011; (iii) Statements of Comprehensive Income for the Three and Nine Months Ended September 30, 2012 and 2011; (iv) Statements of Capital for the Nine Months Ended September 30, 2012 and 2011; (v) Statements of Cash Flows for the Nine Months Ended September 30, 2012 and 2011; and (vi) Notes to Financial Statements. Pursuant to Rule 406T of Regulation S-T, the interactive data files contained in Exhibit 101 are deemed not “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, as amended, and are otherwise not subject to the liability of that section.

121

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 November 9, 2012.

Federal Home Loan Bank of San Francisco

/S/ DEAN SCHULTZ

Dean Schultz
President and Chief Executive Officer

/S/ LISA B. MACMILLEN

Lisa B. MacMillen

Executive Vice President and Chief Operating Officer

/S/ KENNETH C. MILLER

Kenneth C. Miller Senior Vice President and Chief Financial Officer

(Principal Financial Officer)

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EX-10.1

EXHIBIT 10.1

FHLBank San Francisco

2012 PRESIDENT’S INCENTIVE PLAN

PLAN PURPOSE

To optimize individual and Bank performance in accomplishing Board-approved goals and objectives.

PLAN OBJECTIVES

To motivate the Bank President to exceed individual and Bank goals that support the Bank's mission and strategic plan. To attract and retain an outstanding executive by providing a competitive total compensation program, including an annual incentive award opportunity.

ELIGIBILITY

The 2012 participant is the Bank President.

The Bank President must be employed by the Bank through December 31, 2012 to be eligible for an incentive award under the 2012 plan. A Bank President hired, promoted, or who takes a leave of absence during the plan year is eligible to participate on a pro-rata basis. A Bank President hired or promoted on or after October 1^st may be eligible to participate during the current plan year at the discretion of the Board.

INCENTIVE GOALS AND MEASURES

Incentive Goals

For the Bank President there are individual and Bank goals, which are weighted. The individual goal(s) support the Bank-wide goals (See 2012 Short-Term Incentive Plan Goals and Measures) and objectives.

The three Bank goals for 2012 are:

1. 2012 Risk Management Goal: Complete the 2012 Enterprise Risk Management Governance Program Deliverables.

2. 2012 Franchise Enhancement Goal: Position the Bank and the FHLBank System to remain an integral component of the changing housing and financial services markets. Continue to meet the Bank's mission objectives within these markets as they are currently structured, but also influence and adapt to structural changes in those markets.

3. 2012 Community Investment Goal: Support and promote the Bank's Affordable Housing Program and Community Investment Programs.

Incentive Goal Achievement Measures

The plan rewards levels of goal achievement are as follows:

Achievement Level	Measure Definition
Far Exceeds	The most optimistic achievement level that far exceeds expected performance.
Exceeds	An optimistic achievement level that exceeds expected performance.
Meets	Performance that is expected under the Bank's Plan.
Threshold	Minimum level of performance that must be achieved for awards to be paid.

Actual achievement of Bank goals is subject to adjustment for changes resulting from changes in financial strategies or policies, any significant change in Bank membership, as well as other factors determined by the Board. Impacts of OTTI credit charges are excluded from the Meets achievement level and measurement of performance for the Adjusted Return on Capital Spread component of the Franchise Enhancement Goal. Impacts of dividend benchmark variances to plan are also excluded from the measurement of Adjusted Return on Capital Spread performance.

1

2

AWARD DETERMINATION AND OPPORTUNITY

Any award will be based on success in achieving the individual and Bank goals, and on the overall performance. At yearend, accomplishments will be assessed and a percentage of achievement will be determined for each goal and any award determination will be at the discretion of the Board.

Percentage of Achievement Scale	Aggregate Goal Achievement	Award Range (Percentage of 2012 Base Salary)
0% - 150%	150% = Far Exceeds	50%
	125% = Exceeds	48%
	100% = Meets	40%
	75% = Threshold	20%

For each goal, the percentage of achievement will be multiplied by the applicable weights. Each weighted achievement will then be added to determine the total weighted achievement. The basis for any award opportunity for the participant is total weighted achievement. Total weighted achievement from Threshold achievement level (75-99%) is below the Meets achievement level and, therefore, results in an award less than one granted for achieving the Meets achievement level. Total weighted achievement below the Threshold achievement level normally will not result in an incentive award. The Board of Directors has full discretion to modify any and all incentive payments. Incentive compensation reductions may be made, but are not limited to the following circumstances: (i) if errors or omissions result in material revisions to the Bank's financial results, information submitted to a regulatory or a reporting agency, or information used to determine incentive compensation payouts; (ii) if information submitted to a regulatory or a reporting agency is untimely; or, (iii) if the Bank does not make appropriate progress in the timely remediation of examination, monitoring, or other supervisory findings and matters requiring attention.

APPROVAL OF INCENTIVE AWARDS

The incentive award is approved by the Board of Directors prior to payment. The Board of Directors has full discretion to approve any award, including an award for achievement below Threshold. Awards will be considered by the Board of Directors at the January 2013 Board meeting or as soon thereafter as reasonably practicable.

PLAN ADMINISTRATION AND IMPLEMENTATION

The Board of Directors oversees the administration and interpretation of the Plan.

President and CEO Goal Weights
	Corporate Goal Weights	Goal Weight (includes individual goals)
Individual	N/A	10.0%
Risk Management	30.0%	20.0%
Franchise Enhancement	50.0%	45.0%
Community Investment	20.0%	18.0%
Total	100.0%	100.0%

Payments under this plan are subject to approval by the Board of Directors. Any awards will be distributed as soon as administratively possible following the effective date of Board approval. All compensation and incentive plans are subject to review and revision at the Bank's discretion. Such plans are reviewed regularly to ensure they are competitive and equitable. Executive Officer compensation and benefit programs are subject to Federal Housing Finance Agency review and oversight, and payments made under such programs may be subject to the Agency's approval under applicable laws and regulations in effect from time to time.

3

EX-10.2

EXHIBIT 10.2

FHLBank San Francisco

2012 EXECUTIVE INCENTIVE PLAN

PLAN PURPOSE

To optimize individual and Bank performance in accomplishing Board-approved goals and objectives.

PLAN OBJECTIVES

To motivate Bank executives to exceed individual and Bank goals that support the Bank's mission and strategic plan. To attract and retain outstanding executives by providing a competitive total compensation program, including an annual incentive award opportunity.

ELIGIBILITY

Participants are Bank executive officers whose performance has a major impact on the Bank's success. The 2012 participants are the incumbents in the Bank's senior officer positions, including:

Executive Vice President

Senior Vice President, Chief Risk Officer and Senior Vice President, Chief Credit and Collateral Risk Management Officer

Senior Vice Presidents (excluding the Senior Vice President, Director of Internal Audit - participates in the Audit Executive Incentive Plan)

Participants must be employed by the Bank through December 31, 2012 to be eligible for an incentive award under the 2012 plan. Participants hired, promoted, or who have a leave of absence during the plan year are eligible to participate on a pro-rata basis. Participants hired or promoted on or after October 1^st may be eligible to participate during the current plan year at the discretion of the Board.

INCENTIVE GOALS AND MEASURES

Incentive Goals

For each participant there are individual goals and Bank goals, which are weighted for each participant. The individual goals support the Bank-wide goals (See 2012 Short-Term Incentive Plan Goals and Measures) and objectives.

The three Bank goals for 2012 are:

1. 2012 Risk Management Goal: Complete the 2012 Enterprise Risk Management Governance Program Deliverables.

2. 2012 Franchise Enhancement Goal: Position the Bank and the FHLBank System to remain an integral component of the changing housing and financial services markets. Continue to meet the Bank's mission objectives within these markets as they are currently structured, but also influence and adapt to structural changes in those markets.

3. 2012 Community Investment Goal: Support and promote the Bank's Affordable Housing Program and Community Investment Programs.

Incentive Goal Achievement Measures

The plan rewards levels of goal achievement are as follows:

Achievement Level	Measure Definition
Far Exceeds	The most optimistic achievement level that far exceeds expected performance.
Exceeds	An optimistic achievement level that exceeds expected performance.
Meets	Performance that is expected under the Bank's Plan.
Threshold	Minimum level of performance that must be achieved for awards to be paid.

Actual achievement of Bank goals is subject to adjustment for changes resulting from changes in financial strategies or policies, any significant change in Bank membership, as well as other factors determined by the Board. Impacts of OTTI credit charges are excluded from the Meets achievement level and measurement of performance for the Adjusted Return on Capital Spread component of the Franchise Enhancement Goal. Impacts of dividend benchmark variances to plan are excluded from the measurement of Adjusted Return on Capital Spread performance.

1

AWARD DETERMINATION AND OPPORTUNITY

All plan participant awards will be based on success in achieving individual and Bank goals, and on overall performance. In the case of the Bank goals, the same achievement levels apply to all participants. At yearend, accomplishments will be assessed and a percentage of achievement will be determined for each goal and any award determination will be at the discretion of the Board.

			Award Range (Percentage of 2012 Base Salary)
Percentage of Goal Achievement Scale	Achievement Levels		EVP/SVP
0% - 150%	150%	= Far Exceeds	50.0%
	125%	= Exceeds	48.0%
	100%	= Meets	40.0%
	75%	= Threshold	20.0%

For each goal, the percentage of achievement will be multiplied by the applicable goal weights. Each weighted achievement will then be added to determine the total weighted achievement. The basis for each participant's award opportunity is total weighted achievement. Total weighted achievement from Threshold achievement level (75-99%) is below the Meets achievement level and, therefore, results in an award less than one granted for achieving the Meets achievement level. Total weighted achievement below the Threshold achievement level normally will not result in an incentive award. The Board of Directors has full discretion to modify any and all incentive payments. Incentive compensation reductions may be made, but are not limited to the following circumstances: (i) if errors or omissions result in material revisions to the Bank's financial results, information submitted to a regulatory or a reporting agency, or information used to determine incentive compensation payouts; (ii) if information submitted to a regulatory or a reporting agency is untimely; or, (iii) if the Bank does not make appropriate progress in the timely remediation of examination, monitoring, or other supervisory findings and matters requiring attention.

APPROVAL OF INCENTIVE AWARDS

All incentive awards must be approved by the President and the Board of Directors prior to payment. The Board of Directors has the discretion to approve any award, including an award for achievement below Threshold. Awards will be considered by the Board of Directors at the January 2013 Board meeting, or as soon thereafter as reasonably practicable.

PLAN ADMINISTRATION AND IMPLEMENTATION

The President is responsible for overseeing the administration and interpretation of the Plan.

2012 Executive Officer Goal Weights
	Executive Vice President		Senior Vice Presidents, Chief Risk Officer & Chief Credit and Collateral Risk Management Officer		Senior Vice Presidents
	Corporate Goal Weights	Goal Weight (includes individual goals)	Corporate Goal Weights	Goal Weight (includes individual goals)	Corporate Goal Weights	Goal Weight (includes individual goals)
Individual	N/A	20.0%	N/A	30.0%	N/A	30.0%
Risk Management	30.0%	24.0%	60.0%	42.0%	30.0%	21.0%
Franchise Enhancement	50.0%	40.0%	26.0%	18.2%	50.0%	35.0%
Community Investment	20.0%	16.0%	14.0%	9.8%	20.0%	14.0%
Total	100.0%	100.0%	100.0%	100.0%	100.0%	100.0%

Payments under this plan are subject to approval by the Board of Directors. Any awards will be distributed as soon as administratively possible following the effective date of Board approval. All compensation and incentive plans are subject to review and revision at the Bank's discretion. Such plans are reviewed regularly to ensure they are competitive and equitable.Executive Officer compensation and benefit programs are subject to Federal Housing Finance Agency review and oversight, and payments made under such programs may be subject to the Agency's approval under applicable laws and regulations in effect from time to time.

2

EX-10.3

EXHIBIT 10.3

FHLBANK San Francisco

2012 Executive Performance Unit Plan

Summary Description

PLAN PURPOSE

To optimize the Bank's performance in accomplishing Board-approved goals.

PLAN OBJECTIVES

To motivate key executives to position the Bank to exceed specified long-term Bank goals that directly support the Bank's mission and strategic plan. To attract and retain outstanding executives by providing a competitive total compensation program, including a cash-based long-term incentive reward opportunity tied to the performance of the Bank against specified performance measures.

PARTICIPANTS

Participants are key executives whose performance has a major impact on the Bank's success. Participants are the incumbents in the Bank's senior officer positions, including:

President

Executive Vice President

Senior Vice Presidents (excluding the Senior Vice President, Director of Internal Audit - participates in the Audit Performance Unit Plan)

PERFORMANCE PERIOD

The Executive Performance Unit Plan (EPUP) pays incentive awards related to the achievement of Bank performance over a three-year performance period. The 2012 EPUP is effective January 1, 2012, and is based on performance from January 1, 2012 through December 31, 2014.

PERFORMANCE METRICS

Performance metrics balance financial and risk management objectives, focusing on achievement of Adjusted Return on Capital Spread and Risk Management goals. Adjusted Return on Capital Spread will be weighted 30% and Risk Management will be weighted 70%. The Meets performance level reflects long-term performance expectations. Unlike the President's Incentive Plan (PIP) and Executive Incentive Plan (EIP), participants do not have an individual goal under the EPUP.

1. 3-Year Average Adjusted Return on Capital Spread: Adjusted Return on Capital Spread (AROCS) is the primary measure the Bank uses to determine total rate of return to shareholders. The Meets AROCS achievement level has been set at 2.11% and represents the projected average for the performance period (January 1, 2012 through December 31, 2014). The Meets AROCS achievement level is consistent with the Bank's Strategic Plan forecast and reflects the Bank's continued mission-consistent focus on member's mortgage finance business. Threshold AROCS has been set at 1.86%, Exceeds achievement level has been set at 2.36% and Far Exceeds achievement level has been set at 2.61%.

2. 3-Year Average Risk Management: Risk Management is based on the 3-year average of the actual Risk Management goal achievement levels under the 2012, 2013, and 2014 annual incentive plans, and will be set at the end of the performance period.

Actual achievement of Bank goals is subject to adjustment for changes resulting from changes in financial strategies or policies, any significant change in Bank membership, as well as other factors determined by the Board. Impacts of OTTI credit charges are excluded from the Adjusted Return on Capital Spread Meets achievement level, but are included in the measurement of Adjusted Return on Capital Spread performance. Impacts of dividend benchmark variances to plan are excluded from the measurement of Adjusted Return on Capital Spread performance.

1

EPUP ACHIEVEMENT MEASURES

The Executive Performance Unit Plan rewards four levels of performance achievement, as follows:

Achievement Level	Measure Definition
Far Exceeds	The most optimistic achievement level that far exceeds expected performance.
Exceeds	An optimistic achievement level that exceeds expected performance.
Meets	Performance that is expected under the Bank's Plan.
Threshold	Minimum level of performance that must be achieved for awards to be paid.

AWARD DETERMINATION

An award is calculated and paid in whole or part at the end of the 2012 plan term (during the first quarter of 2015). Awards earned are based on the level at which the 3-year performance goals have been achieved. Final awards may be prorated for participants promoted or hired into an eligible position during the performance period, and for participants who take a leave of absence during the performance period. Achievement levels for the performance period are presented on the following page. Note that the percentages of award opportunity provided below are not the award percentages of base salary. See the next page for award opportunities and ranges.

Adjusted Return on Capital Spread Goal (3-Year Average)1			Risk Management Goal (3-Year Average)2
		% of Award Opportunity			% of Award Opportunity
Threshold	1.86%	22.5%	Threshold	Average of 3-Year Achievement	52.5%
Meets	2.11%	30.0%	Meets		70.0%
Exceeds	2.36%	37.5%	Exceeds		87.5%
Far Exceeds	2.61%	45.0%	Far Exceeds		105.0%
1 Meets excludes OTTI impact, while measured performance includes OTTI impact
2 Measured by 3-year achievement levels of Risk Management goal under the respective STIPs.

Performance below the threshold achievement level for either measure normally will not result in an incentive award.

The Board of Directors has full discretion to modify any and all incentive payments. Incentive compensation reductions may be made, but are not limited to the following circumstances: (i) if errors or omissions result in material revisions to the Bank's financial results, information submitted to a regulatory or a reporting agency, or information used to determine incentive compensation payouts; (ii) if information submitted to a regulatory or a reporting agency is untimely; or, (iii) if the Bank does not make appropriate progress in the timely remediation of examination, monitoring, or other supervisory findings and matters requiring attention.

2

AWARD DETERMINATION AND OPPORTUNITY

Achievement award levels are stated below as a percentage of the February 1^st base salary at the beginning of the performance period.

2012-2014 EPUP Plan Period

Percentage of Goal Achievement Scale	Aggregate Goal Achievement		Award Range (Percentage of 2012 Base Salary)
0% - 150%	150%1	= Far Exceeds	50.0%
	125%2	= Exceeds	48.0%
	100%3	= Meets	40.0%
	75%4	= Threshold	20.0%

Notes:

1 - 150% of Meets payout; based on achieving 2.61% AROCS and the 3-year average of the actual risk management achievement levels during the period.

2 - 125% of Meets payout; based on achieving 2.36% AROCS and the 3-year average of the actual risk management achievement levels during the period.

3 - 100% of Meets payout; based on achieving 2.11% AROCS and the 3-year average of the actual risk management achievement levels during the period.

4 - 75% of Meets payout; based on achieving 1.86% AROCS and the 3-year average of the actual risk management achievement levels during the period.

Awards will be considered by the Board of Directors at the end of the 3-year performance period (during the first quarter of 2015).

Payments under this plan are subject to approval by the Board of Directors. To be eligible for the Executive Performance Unit Plan payment, participants must be employed with the Bank through the end of the 3-year performance period, except in the case of a voluntary normal retirement, a qualified long-term disability, or death. EPUP awards will be prorated for participants in position less than a full plan term, including participants who have a leave of absence greater than one month during the plan term. Any awards will be distributed as soon as administratively possible following the effective date of Board approval. All compensation and incentive plans are subject to review and revision at the Bank's discretion. Such plans are reviewed regularly to ensure they are competitive and equitable. Executive Officer compensation and benefit programs are subject to Federal Housing Finance Agency review and oversight, and payments made under such programs may be subject to the Agency's approval under applicable laws and regulations in effect from time to time.

3

EX-10.4

EXHIBIT 10.4

FHLBANK San Francisco

Amended 2011 Executive Performance Unit Plan

Summary Description

PLAN PURPOSE

To optimize the Bank’s performance in accomplishing Board-approved goals.

PLAN OBJECTIVES

To motivate key executives to position the Bank to exceed specified long-term Bank goals that directly support the business plan and long-term strategic plan. To attract and retain outstanding executives by providing a competitive total compensation program, including a cash-based long-term incentive reward opportunity tied to the performance of the Bank against specified performance measures.

PARTICIPANTS

Participants are key executives whose performance has a major impact on the Bank’s success. Participants are the incumbents in the Bank’s senior officer positions, including:

President

Executive Vice President

Senior Vice Presidents (excluding the Senior Vice President, Director of Internal Audit – participates in the Audit Performance Unit Plan)

PERFORMANCE PERIOD

The Executive Performance Unit Plan (EPUP) pays incentive awards related to the achievement of Bank performance over a three-year performance period. The 2011 EPUP is effective January 1, 2011, and is based on performance from January 1, 2011 through December 31, 2013.

PERFORMANCE METRICS

Performance metrics balance financial, member, and risk management objectives, focusing on achievement of Adjusted Return on Capital Spread and Risk Management goals. Adjusted Return on Capital Spread will be weighted 30% and Risk Management will be weighted 70%. Target performance levels reflect long-term performance expectations. Unlike the President’s Incentive Plan (PIP) and Executive Incentive Plan (EIP), participants do not have an individual goal under the EPUP.

1. 3-Year Average Adjusted Return on Capital Spread: Adjusted Return on Capital Spread is the primary measure the Bank uses to determine total rate of return to shareholders. The target Adjusted Return on Capital Spread has been set at 1.74% and represents the projected average for the performance period (January 1, 2011 through December 31, 2013). The target Adjusted Return on Capital Spread is consistent with the Bank’s Strategic Plan forecast and reflects the Bank’s continued mission-consistent focus on member’s mortgage finance business. Threshold (75% of plan) Adjusted Return on Capital Spread has been set at 1.49%, 150% of target has been set at 2.24% and 200% of target has been set at 2.74%.

2. 3-Year Average Risk Management: Risk Management is based on the 3-year average of the actual Risk Management goal achievement levels under the 2011, 2012, and 2013 annual incentive plans, and will be set at the end of the performance period.

Actual achievement of Bank goals is subject to adjustment for changes resulting from movements in interest rates, changes in financial strategies or policies, any significant change in Bank membership, as well as other factors determined by the Board. Impacts of OTTI credit charges are excluded from the Adjusted Return on Capital Spread target, but are included in the measurement of Adjusted Return on Capital Spread performance. Impacts of dividend benchmark variances to plan are excluded from the measurement of Adjusted Return on Capital Spread performance.

1

EPUP ACHIEVEMENT MEASURES

The Executive Performance Unit Plan rewards four levels of performance achievement, as follows:

Achievement Level	Measure Definition
Threshold (75%)	Minimum level of performance that must be achieved for awards to be paid.
Target (100%)	Performance that is expected under the Bank’s Plan.
150% of Target	An optimistic achievement level that exceeds levels forecasted from expected business.
200% of Target	The most optimistic achievement level that far exceeds levels forecasted from expected business.

AWARD DETERMINATION

An award is calculated and paid in whole or part at the end of the 2011 plan term (during the first quarter of 2014). Awards earned are based on the level at which the 3-year performance goals have been achieved. Final awards may be prorated for participants promoted or hired into an eligible position during the performance period, and for participants who take a leave of absence during the performance period. Target payouts for the January 1, 2011 through December 31, 2013, performance period are presented on the following page. Note that the percentages of award opportunity provided below are not the award percentages of base salary. See the formula on the next page for payout percentages.

Adjusted Return on Capital Spread Goal (3-Year Average)1			Risk Management Goal (3-Year Average)2
		% of Award Opportunity			% of Award Opportunity
Threshold	1.49%	15.0%	Threshold	Average of 3-Year Achievement	35.0%
Target	1.74%	30.0%	Target		70.0%
150% of Target	2.24%	45.0%	150% of Target		105.0%
200% of Target	2.74%	60.0%	200% of Target		140.0%
1Target excludes OTTI impact, while measured performance includes OTTI impact.
2 Measured by 3-year achievement levels of Risk Management Goal under the respective STIPs.

Performance below the threshold achievement level for either measure normally will not result in an incentive award.

The Board of Directors has full discretion to modify any and all incentive payments. Modifications may be made, but are not limited to the following circumstances, if errors or omissions result in material revisions to the Bank’s financial results, if information submitted to a regulatory or a reporting agency is untimely, or if the Bank does not make appropriate progress in the timely remediation of examination, monitoring, or other supervisory findings and matters requiring attention.

2

AWARD OPPORTUNITY

Individual EPUP targets for each plan year are established annually for each participant at the beginning of each calendar year. Target award levels are stated below as a percentage of the February 1^st base salary at the beginning of the performance period.

Award Range Scale (some % rounded)

2011 Plan Year – EPUP Payout as % of 2011 Base Salary (as of February 1st)

Position Level	Threshold1	Target2	150% of Target3	200% of Target4
President	25%	50%	75.0%	100%
Executive Vice President	20%	40%	60.0%	80%
Senior Vice Presidents	18%	35%	52.5%	70%

Notes:

1 – 50% of target payout; based on achieving 1.49% Adjusted Return on Capital Spread and the 3-year average of the actual risk management achievement levels during the period.

2 – 100% of target payout; based on achieving 1.74% Adjusted Return on Capital Spread and the 3-year average of the actual risk management achievement levels during the period.

3 – 150% of target payout; based on achieving 2.24% Adjusted Return on Capital Spread and the 3-year average of the actual risk management achievement levels during the period.

4 – 200% of target payout; based on achieving 2.74% Adjusted Return on Capital Spread and the 3-year average of the actual risk management achievement levels during the period.

Awards will be considered by the Board of Directors at the end of the 3-year performance period (during the first quarter of 2014) and are to be paid to participants in cash.

Example of how award would be calculated for a Senior Vice President for 2011 EPUP

(70% weight) 3-yr. Average Risk Management Level Achieved: (200% of Target)		Percent of Target Payout: 170%	2011 Base Salary	Target EPUP Payout (% of Base Salary)	Payout % Based on Performance	EPUP Payment paid Q1 2014
(30% weight) 3-yr. Average Adjusted Return on Capital Spread Achieved: (Maximum or 100%)			$330,000 X	35% X	170% =	$196,350

Payments under this plan are subject to approval by the Board of Directors. To be eligible for the Executive Performance Unit Plan payment, participants must be employed with the Bank through the end of the 3-year performance period, except in the case of a voluntary normal retirement, a qualified long-term disability, or death. EPUP awards will be prorated for participants in position less than a full plan term, including participants who have a leave of absence greater than one month during the plan term. Any awards will be distributed as soon as administratively possible following the effective date of Board approval. All compensation and incentive plans are subject to review and revision at the Bank’s discretion. Such plans are reviewed regularly to ensure they are competitive and equitable. Executive Officer compensation and benefit programs are subject to Federal Housing Finance Agency review and oversight, and payments made under such programs may be subject to the Agency's approval under applicable laws and regulations in effect from time to time.

3

EX-31.1

EXHIBIT 31.1

Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

for the President and Chief Executive Officer

I, Dean Schultz, certify that:

1. I have reviewed this quarterly report on Form 10-Q of the Federal Home Loan Bank of San Francisco;

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

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

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

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

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

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

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

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

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

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

Date: November 9, 2012	/S/ DEAN SCHULTZ
	Dean Schultz President and Chief Executive Officer

EX-31.2

EXHIBIT 31.2

Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

for the Chief Operating Officer

I, Lisa B. MacMillen, certify that:

1. I have reviewed this quarterly report on Form 10-Q of the Federal Home Loan Bank of San Francisco;

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

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

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

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

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

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

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

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

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

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

Date: November 9, 2012	/S/ LISA B. MACMILLEN
	Lisa B. MacMillen Executive Vice President and Chief Operating Officer

EX-31.3

EXHIBIT 31.3

Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

for the Chief Financial Officer

I, Kenneth C. Miller, certify that:

1. I have reviewed this quarterly report on Form 10-Q of the Federal Home Loan Bank of San Francisco;

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

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

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

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

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

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

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

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

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

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

Date: November 9, 2012	/S/ KENNETH C. MILLER
	Kenneth C. Miller Senior Vice President and Chief Financial Officer

EX-32.1

EXHIBIT 32.1

Certification by the President and Chief Executive Officer

Pursuant to 18 U.S.C. Section 1350,

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

I, Dean Schultz, President and Chief Executive Officer of the Federal Home Loan Bank of San Francisco (“Registrant”), certify that, to the best of my knowledge:

1. The Registrant's Quarterly Report on Form 10-Q for the period ended September 30, 2012, (“Report”) fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

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

Date: November 9, 2012	/S/ DEAN SCHULTZ
	Dean Schultz President and Chief Executive Officer

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

EX-32.2

EXHIBIT 32.2

Certification by the Chief Operating Officer

Pursuant to 18 U.S.C. Section 1350,

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

I, Lisa B. MacMillen, Executive Vice President and Chief Operating Officer of the Federal Home Loan Bank of San Francisco (“Registrant”), certify that, to the best of my knowledge:

1. The Registrant's Quarterly Report on Form 10-Q for the period ended September 30, 2012, (“Report”) fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

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

Date: November 9, 2012	/S/ LISA B. MACMILLEN
	Lisa B. MacMillen Executive Vice President and Chief Operating Officer

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

EX-32.3

EXHIBIT 32.3

Certification by the Chief Financial Officer

Pursuant to 18 U.S.C. Section 1350,

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

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

1. The Registrant's Quarterly Report on Form 10-Q for the period ended September 30, 2012, (“Report”) fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

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

Date: November 9, 2012	/S/ KENNETH C. MILLER
	Kenneth C. Miller Senior Vice President and Chief Financial Officer

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

XML

Accumulated Other Comprehensive Income (Loss) (Tables)

9 Months Ended

Sep. 30, 2012

Accumulated Other Comprehensive Income (Loss) [Abstract]

Schedule of Accumulated Other Comprehensive Income (Loss) [Table Text Block]

Accumulated Other Comprehensive Income/(Loss)

The following table summarizes the changes in accumulated other comprehensive income for the nine months ended September 30, 2012 and 2011:

	Net Unrealized Gain/(Loss) on Available-for- Sale Securities			Net Non-Credit-Related OTTI Loss on Available-for-Sale Securities			Net Non-Credit-Related OTTI Loss on Held-to-Maturity Securities			Pension and Postretirement Benefits			Total Accumulated Other Comprehensive Income/(Loss)
Balance, December 31, 2010	$	(2	)	$	—		$	(2,934	)	$	(7	)	$	(2,943	)
Other comprehensive income/(loss)	2			(1,705		)	2,874			—			1,171
Balance, September 30, 2011	$	—		$	(1,705	)	$	(60	)	$	(7	)	$	(1,772	)
Balance, December 31, 2011	$	1		$	(1,836	)	$	(46	)	$	(12	)	$	(1,893	)
Other comprehensive income/(loss)	(1		)	817			10			—			826
Balance, September 30, 2012	$	—		$	(1,019	)	$	(36	)	$	(12	)	$	(1,067	)

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Held-to-Maturity Securities (Securities with Unrealized Losses) (Details) (USD $) In Millions, unless otherwise specified	Sep. 30, 2012	Dec. 31, 2011
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	$ 2,154	$ 4,243
Less Than 12 Months, Unrealized Losses	3	8
12 Months or More, Estimated Fair Value	3,403	3,650
12 Months or More, Unrealized Losses	324	677
Total, Estimated Fair Value	5,557	7,893
Total, Unrealized Losses	327	685
Held-to-maturity securities other than MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	1,710	3,839
Less Than 12 Months, Unrealized Losses	0	0
12 Months or More, Estimated Fair Value	446	510
12 Months or More, Unrealized Losses	114	136
Total, Estimated Fair Value	2,156	4,349
Total, Unrealized Losses	114	136
Interest-bearing deposits [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	1,000	3,539
Less Than 12 Months, Unrealized Losses	0	0
12 Months or More, Estimated Fair Value	0	0
12 Months or More, Unrealized Losses	0	0
Total, Estimated Fair Value	1,000	3,539
Total, Unrealized Losses	0	0
Commercial paper [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	710	300
Less Than 12 Months, Unrealized Losses	0	0
12 Months or More, Estimated Fair Value	0	0
12 Months or More, Unrealized Losses	0	0
Total, Estimated Fair Value	710	300
Total, Unrealized Losses	0	0
Housing finance agency bonds [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	0	0
Less Than 12 Months, Unrealized Losses	0	0
12 Months or More, Estimated Fair Value	446	510
12 Months or More, Unrealized Losses	114	136
Total, Estimated Fair Value	446	510
Total, Unrealized Losses	114	136
MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	444	404
Less Than 12 Months, Unrealized Losses	3	8
12 Months or More, Estimated Fair Value	2,957	3,140
12 Months or More, Unrealized Losses	210	541
Total, Estimated Fair Value	3,401	3,544
Total, Unrealized Losses	213	549
Other U.S. obligations – Ginnie Mae [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	0	0
Less Than 12 Months, Unrealized Losses	0	0
12 Months or More, Estimated Fair Value	3	4
12 Months or More, Unrealized Losses	0	0
Total, Estimated Fair Value	3	4
Total, Unrealized Losses	0	0
Subtotal GSEs [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	354	224
Less Than 12 Months, Unrealized Losses	1	3
12 Months or More, Estimated Fair Value	270	225
12 Months or More, Unrealized Losses	4	9
Total, Estimated Fair Value	624	449
Total, Unrealized Losses	5	12
Freddie Mac [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	291	1
Less Than 12 Months, Unrealized Losses	1	0
12 Months or More, Estimated Fair Value	14	24
12 Months or More, Unrealized Losses	0	0
Total, Estimated Fair Value	305	25
Total, Unrealized Losses	1	0
Fannie Mae [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	63	223
Less Than 12 Months, Unrealized Losses	0	3
12 Months or More, Estimated Fair Value	256	201
12 Months or More, Unrealized Losses	4	9
Total, Estimated Fair Value	319	424
Total, Unrealized Losses	4	12
PLRMBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	90	180
Less Than 12 Months, Unrealized Losses	2	5
12 Months or More, Estimated Fair Value	2,684	2,911
12 Months or More, Unrealized Losses	206	532
Total, Estimated Fair Value	2,774	3,091
Total, Unrealized Losses	208	537
PLRMBS [Member] | Prime [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	90	180
Less Than 12 Months, Unrealized Losses	2	5
12 Months or More, Estimated Fair Value	1,547	1,676
12 Months or More, Unrealized Losses	83	244
Total, Estimated Fair Value	1,637	1,856
Total, Unrealized Losses	85	249
PLRMBS [Member] | Alt-A, option ARM [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	0	0
Less Than 12 Months, Unrealized Losses	0	0
12 Months or More, Estimated Fair Value	31	29
12 Months or More, Unrealized Losses	11	17
Total, Estimated Fair Value	31	29
Total, Unrealized Losses	11	17
PLRMBS [Member] | Alt-A, other [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	0	0
Less Than 12 Months, Unrealized Losses	0	0
12 Months or More, Estimated Fair Value	1,106	1,206
12 Months or More, Unrealized Losses	112	271
Total, Estimated Fair Value	1,106	1,206
Total, Unrealized Losses	$ 112	$ 271

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Available-for-Sale Securities (AFS Securities by Major Security Type) (Details) (USD $) In Millions, unless otherwise specified	Sep. 30, 2012		Dec. 31, 2011
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost Basis	$ 8,988	[1]	$ 11,447	[1]
OTTI Recognized in Accumulated Other Comprehensive Income/(Loss) (AOCI)	(1,044)		(1,659)
Gross Unrealized Gains	34		4
Gross Unrealized Losses	(9)		(179)
Estimated Fair Value	7,969		9,613
TLGP securities [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost Basis	306	[1]	1,924	[1]
OTTI Recognized in Accumulated Other Comprehensive Income/(Loss) (AOCI)	0		0
Gross Unrealized Gains	0		2
Gross Unrealized Losses	0		0
Estimated Fair Value	306		1,926
PLRMBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost Basis	8,682	[1]	9,523	[1]
OTTI Recognized in Accumulated Other Comprehensive Income/(Loss) (AOCI)	(1,044)		(1,659)
Gross Unrealized Gains	34		2
Gross Unrealized Losses	(9)		(179)
Estimated Fair Value	7,663		7,687
PLRMBS [Member] | Prime [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost Basis	871	[1]	977	[1]
OTTI Recognized in Accumulated Other Comprehensive Income/(Loss) (AOCI)	(65)		(132)
Gross Unrealized Gains	6		0
Gross Unrealized Losses	(2)		(13)
Estimated Fair Value	810		832
PLRMBS [Member] | Alt-A, option ARM [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost Basis	1,270	[1]	1,413	[1]
OTTI Recognized in Accumulated Other Comprehensive Income/(Loss) (AOCI)	(283)		(410)
Gross Unrealized Gains	3		2
Gross Unrealized Losses	0		(36)
Estimated Fair Value	990		969
PLRMBS [Member] | Alt-A, other [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost Basis	6,541	[1]	7,133	[1]
OTTI Recognized in Accumulated Other Comprehensive Income/(Loss) (AOCI)	(696)		(1,117)
Gross Unrealized Gains	25		0
Gross Unrealized Losses	(7)		(130)
Estimated Fair Value	$ 5,863		$ 5,886

[1] Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous other-than-temporary impairments recognized in earnings.

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Allowance for Credit Losses (Delinquent Mortgage Loans) (Details) (USD $) In Millions, unless otherwise specified	Sep. 30, 2012		Dec. 31, 2011
Allowance for Credit Losses [Abstract]
30 – 59 days delinquent	$ 21	[1]	$ 24	[1]
60 – 89 days delinquent	7	[1]	9	[1]
90 days or more delinquent	33	[1]	34	[1]
Total past due	61	[1]	67	[1]
Total current loans	1,360	[1]	1,777	[1]
Financing Receivable, Gross	1,421	[1]	1,844	[1]
In process of foreclosure, included above	24	[1],[2]	21	[1],[2]
Nonaccrual loans	33	[1]	34	[1]
Loans past due 90 days or more and still accruing interest	$ 0	[1]	$ 0	[1]
Serious delinquencies as a percentage of total mortgage loans outstanding	2.30%	[1],[3]	1.83%	[1],[3]

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

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

[3] Represents loans that are 90 days or more past due or in the process of foreclosure.

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Held-to-Maturity Securities (Redemption Terms) (Details) (USD $) In Millions, unless otherwise specified	Sep. 30, 2012		Jun. 30, 2012	Dec. 31, 2011		Sep. 30, 2011	Jun. 30, 2011	Dec. 31, 2010
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	$ 18,457	[1]		$ 21,626	[1]
Carrying Value	18,421	[1],[2]		21,581	[1],[2]
Estimated Fair Value	18,599			21,414
Credit-related OTTI	(1,390)		(1,387)	(1,362)		(1,323)	(1,223)	(952)
Held-to-maturity securities other than MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Due in 1 year or less, Amortized Cost	1,710	[1]		5,342	[1]
Due in 1 year or less, Carrying Value	1,710	[1]		5,342	[1]
Due in 1 year or less, Estimated Fair Value	1,710			5,342
Due after 1 year through 5 years, Amortized Cost	19	[1]
Due after 1 year through 5 years, Carrying Value	19	[1]
Due after 1 year through 5 years, Estimated Fair Value	18
Due after 5 years through 10 years, Amortized Cost	47	[1]		23	[1]
Due after 5 years through 10 years, Carrying Value	47	[1]		23	[1]
Due after 5 years through 10 years, Estimated Fair Value	41			21
Due after 10 years, Amortized Cost	494	[1]		620	[1]
Due after 10 years, Carrying Value	494	[1]		620	[1]
Due after 10 years, Estimated Fair Value	387			486
Amortized Cost	2,270	[1]		5,985	[1]
Carrying Value	2,270	[1]		5,985	[1]
Estimated Fair Value	2,156			5,849
Amortized Cost	2,270	[1]		5,985	[1]
Carrying Value	2,270	[1]		5,985	[1]
Estimated Fair Value	2,156			5,849
MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	16,187	[1]		15,641	[1]
Carrying Value	16,151	[1]		15,596	[1]
Estimated Fair Value	16,443			15,565
Held To Maturity Securities Premium	78			80
Held-to-maturity Securities, Discounts	(41)			(39)
MBS [Member] | Held-to-maturity Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Credit-related OTTI	(5)			(5)
Interest accretion adjustments	(4)			(4)
Other U.S. obligations – Ginnie Mae [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	183	[1]		217	[1]
Carrying Value	183	[1]		217	[1]
Estimated Fair Value	192			226
Subtotal GSEs [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	12,900	[1]		11,688	[1]
Carrying Value	12,900	[1]		11,688	[1]
Estimated Fair Value	13,335			12,125
Freddie Mac [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	5,061	[1]		3,374	[1]
Carrying Value	5,061	[1]		3,374	[1]
Estimated Fair Value	5,225			3,507
Fannie Mae [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	7,839	[1]		8,314	[1]
Carrying Value	7,839	[1]		8,314	[1]
Estimated Fair Value	$ 8,110			$ 8,618

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

[2] Includes $20 at September 30, 2012, and $33 at December 31, 2011, pledged as collateral that may be repledged.

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Consolidated Obligations (Consolidated Obligation Bonds by Earlier of Contractual Maturity or Next Call Date) (Details) (USD $) In Millions, unless otherwise specified	Sep. 30, 2012	Dec. 31, 2011
Schedule of Short-term and Long-term Debt [Line Items]
Total par amount	$ 81,965	$ 101,204
Consolidated obligation bonds [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Within 1 year	34,673	40,924
After 1 year through 2 years	18,920	19,124
After 2 years through 3 years	2,251	3,731
After 3 years through 4 years	4,156	2,955
After 4 years through 5 years	5,469	8,006
After 5 years	6,761	7,301
Index amortizing notes	4	4
Total par amount	72,234	82,045
Consolidated obligation bonds [Member] | Earlier of Contractual Maturity or Next Call Date [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Within 1 year	42,819	51,735
After 1 year through 2 years	18,470	18,954
After 2 years through 3 years	2,231	2,661
After 3 years through 4 years	3,741	1,985
After 4 years through 5 years	4,102	5,761
After 5 years	867	945
Index amortizing notes	$ 4	$ 4

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Summary of Significant Accounting Policies (Details) (USD $) In Millions, unless otherwise specified	9 Months Ended
	Sep. 30, 2012	Sep. 30, 2011
Change in net derivatives and hedging activities	$ (31)	$ 65	[1],[2]
Net change in: Other assets	(4)	29	[3]
Net cash provided by/(used in) operating activities	453	443
Advances: Principal collected	291,699	188,884	[4]
Advances: Made to members	(275,426)	(171,647)	[2],[4]
Mortgage loans held for portfolio: Principal collected	418	394	[3]
Net cash provided by/(used in) investing activities	16,453	26,513
Net (payments)/proceeds on derivatives contracts with financing elements	47	59	[1]
Net cash provided by/(used in) financing activities	(20,398)	(25,065)
Scenario, Previously Reported [Member]
Change in net derivatives and hedging activities		109	[1],[2]
Net change in: Other assets		25	[3]
Net cash provided by/(used in) operating activities		483
Advances: Principal collected		190,048	[4]
Advances: Made to members		(172,822)	[2],[4]
Mortgage loans held for portfolio: Principal collected		398	[3]
Net cash provided by/(used in) investing activities		26,506
Net (payments)/proceeds on derivatives contracts with financing elements		26	[1]
Net cash provided by/(used in) financing activities		$ (25,098)

[1] Understated the amount of derivatives that contained a financing element.

[2] Misclassification of non-cash deferred basis adjustments on advances made.

[3] Misclassified the amount of loans transferred to real estate owned because of the misclassification as principal collected on mortgage loans.

[4] Overstated the amount of principal collected and advances made to members because of the inclusion of modified advances as new advances made to members.

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Other-Than-Temporary Impairment Analysis (Tables)

9 Months Ended

Sep. 30, 2012

Other-Than-Temporary Impairment Analysis [Abstract]

Schedule of Projected Home Price Recovery [Table Text Block]

The table below presents the ranges of the annualized projected home price recovery rates by month at September 30, 2012.

Months	September 30, 2012
1 - 6	0.0	%	-	2.8%
7 - 18	0.0	%	-	3.0%
19 - 24	1.0	%	-	4.0%
25 - 30	2.0	%	-	4.0%
31 - 42	2.0	%	-	5.0%
43 - 66	2.0	%	-	6.0%
Thereafter	2.3	%	-	5.6%

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

For securities determined to be other-than-temporarily impaired as of September 30, 2012 (that is, securities for which the Bank determined that it does not expect to recover the entire amortized cost basis), the following table presents a summary of the significant inputs used in measuring the amount of credit loss recognized in earnings in the third quarter of 2012.

September 30, 2012
	Significant Inputs for Other-Than-Temporarily Impaired PLRMBS												Current
	Prepayment Rates				Default Rates				Loss Severities				Credit Enhancement
Year of Securitization	Weighted Average %	Range %			Weighted Average %	Range %			Weighted Average %	Range %			Weighted Average %	Range %
Prime
2007	9.6	9.6	-	9.6	7.9	7.9	-	7.9	27.7	27.7	-	27.7	20.1	20.1	-	20.1
2006	11.9	11.0	-	12.2	24.0	22.3	-	31.4	44.0	42.8	-	49.2	2.4	0.2	-	2.9
2004 and earlier	13.8	13.8	-	13.8	14.5	14.5	-	14.5	35.6	35.6	-	35.6	5.0	5.0	-	5.0
Total Prime	11.5	9.6	-	13.8	11.6	7.9	-	31.4	32.0	27.7	-	49.2	12.7	0.2	-	20.1
Alt-A, option ARM
2007	1.9	1.9	-	1.9	85.8	85.8	-	85.8	61.1	61.1	-	61.1	35.5	35.5	-	35.5
2005	4.3	4.1	-	4.6	53.7	45.7	-	60.5	40.3	37.3	-	47.0	9.7	5.1	-	18.1
Total Alt-A, option ARM	3.3	1.9	-	4.6	66.9	45.7	-	85.8	48.9	37.3	-	61.1	20.3	5.1	-	35.5
Alt-A, other
2007	5.1	5.1	-	5.1	68.6	68.6	-	68.6	48.8	48.8	-	48.8	40.3	40.3	-	40.3
2006	8.1	7.0	-	8.4	44.8	42.3	-	56.5	48.4	46.2	-	52.2	25.7	0.0	-	33.2
2005	8.8	7.8	-	11.1	29.5	17.4	-	36.2	44.6	35.2	-	48.1	15.5	3.8	-	25.5
2004 and earlier	10.1	9.0	-	12.4	9.0	5.0	-	13.4	25.8	20.5	-	29.2	17.0	14.0	-	25.9
Total Alt-A, other	8.2	5.1	-	12.4	38.4	5.0	-	68.6	45.9	20.5	-	52.2	21.7	0.0	-	40.3
Total	7.8	1.9	-	13.8	40.8	5.0	-	85.8	45.7	20.5	-	61.1	21.2	0.0	-	40.3

Schedule of Credit and Non-credit Related Other Than Temporary Impairment [Table Text Block]

The following tables present the Bank's credit- and non-credit-related OTTI on its other-than-temporarily impaired PLRMBS during the three and nine months ended September 30, 2012 and 2011:

	Three Months Ended September 30, 2012									Three Months Ended September 30, 2011
	Total OTTI			Non-Credit- Related OTTI			Credit- Related OTTI			Total  OTTI			Non-Credit- Related OTTI			Credit- Related OTTI
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
Prime	$	(3	)	$	2		$	(1	)	$	(11	)	$	7		$	(4	)
Alt-A, option ARM	1			(2		)	(1		)	(5		)	(7		)	(12		)
Alt-A, other	(15		)	13			(2		)	(122		)	37			(85		)
Total	$	(17	)	$	13		$	(4	)	$	(138	)	$	37		$	(101	)

	Nine Months Ended September 30, 2012									Nine Months Ended September 30, 2011
	Total OTTI			Non-Credit- Related OTTI			Credit- Related OTTI			Total OTTI			Non-Credit- Related OTTI			Credit- Related OTTI
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
Prime	$	(3	)	$	2		$	(1	)	$	(24	)	$	(9	)	$	(33	)
Alt-A, option ARM	(4		)	(3		)	(7		)	(23		)	(77		)	(100		)
Alt-A, other	(39		)	13			(26		)	(295		)	55			(240		)
Total	$	(46	)	$	12		$	(34	)	$	(342	)	$	(31	)	$	(373	)

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

The following table presents the credit-related OTTI, which is recognized in earnings, for the three and nine months ended September 30, 2012 and 2011.

	Three Months Ended						Nine Months Ended
	September 30, 2012			September 30, 2011			September 30, 2012			September 30, 2011
Balance, beginning of the period	$	1,387		$	1,223		$	1,362		$	952
Charges on securities for which OTTI was not previously recognized	—			1			—			12
Additional charges on securities for which OTTI was previously recognized(1)	4			100			34			361
Increases in cash flows expected to be collected, recognized over the remaining life of the securities	(1		)	(1		)	(6		)	(2		)
Balance, end of the period	$	1,390		$	1,323		$	1,390		$	1,323

(1) For the three months ended September 30, 2012, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to July 1, 2012. For the three months ended September 30, 2011, “securities for which OTTI was previously recognized” represents all securities that were also previously other-than-temporarily impaired prior to July 1, 2011. For the nine months ended September 30, 2012, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2012. For the nine months ended September 30, 2011, “securities for which OTTI was previously recognized” represents all securities that were also previously other-than-temporarily impaired prior to January 1, 2011.

Schedule of Transfers From Held to Maturity to Available for Sale [Table Text Block]

The following tables summarize the PLRMBS transferred from the Bank's held-to-maturity portfolio to its available-for-sale portfolio during the three and nine months ended September 30, 2012. The amounts shown represent the values when the securities were transferred from the held-to-maturity portfolio to the available-for-sale portfolio.

	Three Months Ended September 30, 2012									Three Months Ended September 30, 2011
	Amortized Cost		OTTI Recognized in AOCI			Gross Unrecognized Holding Gains		Estimated Fair Value		Amortized Cost		OTTI Recognized in AOCI			Gross Unrecognized Holding Gains		Estimated Fair Value
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
PLRMBS:
Prime	$	19	$	(2	)	$	—	$	17	$	36	$	(6	)	$	—	$	30
Alt-A, option ARM	—		—			—		—		—		—			—		—
Alt-A, other	75		(13		)	—		62		685		(142		)	30		573
Total	$	94	$	(15	)	$	—	$	79	$	721	$	(148	)	$	30	$	603

	Nine Months Ended September 30, 2012									Nine Months Ended September 30, 2011
	Amortized Cost		OTTI Recognized in AOCI			Gross Unrecognized Holding Gains		Estimated Fair Value		Amortized Cost		OTTI Recognized in AOCI			Gross Unrecognized Holding Gains		Estimated Fair Value
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
PLRMBS:
Prime	$	22	$	(2	)	$	—	$	20	$	1,095	$	(300	)	$	143	$	938
Alt-A, option ARM	—		—			—		—		1,574		(520		)	79		1,133
Alt-A, other	140		(26		)	—		114		7,768		(1,829		)	665		6,604
Total	$	162	$	(28	)	$	—	$	134	$	10,437	$	(2,649	)	$	887	$	8,675

Schedule of Other Than Temporarily Impaired Charges During the Period [Table Text Block]

The following tables present the Bank's other-than-temporarily impaired PLRMBS that incurred OTTI charges during the three months ended September 30, 2012 and 2011, by loan collateral type:

September 30, 2012
	Available-for-Sale Securities
	Unpaid Principal Balance		Amortized Cost		Estimated Fair Value
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
Prime	$	37	$	36	$	32
Alt-A, option ARM	120		61		49
Alt-A, other	840		790		709
Total	$	997	$	887	$	790
September 30, 2011
	Available-for-Sale Securities
	Unpaid Principal Balance		Amortized Cost		Estimated Fair Value
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
Prime	$	531	$	475	$	395
Alt-A, option ARM	270		191		124
Alt-A, other	4,927		4,576		3,880
Total	$	5,728	$	5,242	$	4,399

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

The following tables present the Bank's other-than-temporarily impaired PLRMBS that incurred OTTI charges anytime during the life of the securities at September 30, 2012, and December 31, 2011, by loan collateral type:

September 30, 2012
	Available-for-Sale Securities						Held-to-Maturity Securities
	Unpaid Principal Balance		Amortized Cost		Estimated Fair Value		Unpaid Principal Balance		Amortized Cost		Carrying Value		Estimated Fair Value
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
Prime	$	1,019	$	871	$	810	$	5	$	5	$	5	$	5
Alt-A, option ARM	1,687		1,270		990		—		—		—		—
Alt-A, other	7,414		6,541		5,863		179		177		140		160
Total	$	10,120	$	8,682	$	7,663	$	184	$	182	$	145	$	165
December 31, 2011
	Available-for-Sale Securities						Held-to-Maturity Securities
	Unpaid Principal Balance		Amortized Cost		Estimated Fair Value		Unpaid Principal Balance		Amortized Cost		Carrying Value		Estimated Fair Value
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
Prime	$	1,125	$	977	$	832	$	27	$	27	$	26	$	27
Alt-A, option ARM	1,834		1,414		969		—		—		—		—
Alt-A, other	7,977		7,133		5,886		209		207		162		165
Total	$	10,936	$	9,524	$	7,687	$	236	$	234	$	188	$	192

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Consolidated Obligations (Consolidated Obligation Discount Notes) (Details) (USD $) In Millions, unless otherwise specified	Sep. 30, 2012	Dec. 31, 2011
Short-term Debt [Line Items]
Discount notes	$ 9,728	$ 19,152
Discount Notes [Member]
Short-term Debt [Line Items]
Par amount, Amount Outstanding	9,731	19,159
Unamortized discounts	$ (3)	$ (7)
Par amount, Weighted Average Interest Rate	0.15%	0.11%

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Allowance for Credit Losses (Recorded Investment, Average Recorded Investment, Unpaid Principal Balance and Related Allowance of Impaired Loans) (Details) (USD $) In Millions, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2012	Sep. 30, 2011	Sep. 30, 2012	Sep. 30, 2011	Dec. 31, 2011
Recorded Investment
Impaired Financing Receivable, with No Related Allowance, Recorded Investment	$ 18		$ 18		$ 23
Impaired Financing Receivable, with Related Allowance, Recorded Investment	14		14		17
Impaired Financing Receivable, Recorded Investment	32		32		40
Unpaid Principal Balance
Impaired Financing Receivable, with No Related Allowance, Unpaid Principal Balance	18		18		23
Impaired Financing Receivable, with Related Allowance, Unpaid Principal Balance	14		14		17
Impaired Financing Receivable, Unpaid Principal Balance	32		32		40
Impaired Financing Receivable, Related Allowance	4		4		4
Average Recorded Investment
Impaired Financing Receivable, with No Related Allowance, Average Recorded Investment	19	22	19	24
Impaired Financing Receivable, with Related Allowance, Average Recorded Investment	15	17	17	14
Impaired Financing Receivable, Average Recorded Investment	$ 34	$ 39	$ 36	$ 38

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Derivatives and Hedging Activities (Credit Risk Exposure) (Details) (USD $) In Millions, unless otherwise specified	Sep. 30, 2012		Dec. 31, 2011
Derivative [Line Items]
Total net exposure at fair value	$ 763	[1]	$ 914	[1]
Derivative assets as reported on the Statements of Condition	345		400
Securities collateral held	337		381
Net exposure after collateral	8		19
Interest Receivable	130		180
Derivative Financial Instruments, Assets [Member]
Derivative [Line Items]
Interest Receivable	155		86
Cash collateral and related accrued interest [Member]
Derivative [Line Items]
Cash collateral held	$ 418		$ 514

[1] Includes net accrued interest receivable of $155 and $86 as of September 30, 2012, and December 31, 2011, respectively.

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Other-Than-Temporary Impairment Analysis (Home Price Recovery) (Details)	Sep. 30, 2012
Minimum [Member]
Home Price Recovery [Abstract]
1 - 6	0.00%
7 -18	0.00%
19 - 24	1.00%
25 - 30	2.00%
31 - 42	2.00%
43 - 66	2.00%
Thereafter	2.30%
Maximum [Member]
Home Price Recovery [Abstract]
1 - 6	2.80%
7 -18	3.00%
19 - 24	4.00%
25 - 30	4.00%
31 - 42	5.00%
43 - 66	6.00%
Thereafter	5.60%

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Consolidated Obligations (Redemption Terms) (Details) (USD $) In Millions, unless otherwise specified	Sep. 30, 2012	Dec. 31, 2011
Schedule of Short-term and Long-term Debt [Line Items]
Total par amount	$ 81,965	$ 101,204
Unsecured Debt	73,371	83,350
Consolidated obligation bonds [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Within 1 year	34,673	40,924
After 1 year through 2 years	18,920	19,124
After 2 years through 3 years	2,251	3,731
After 3 years through 4 years	4,156	2,955
After 4 years through 5 years	5,469	8,006
After 5 years	6,761	7,301
Index amortizing notes	4	4
Total par amount	72,234	82,045
Unamortized premiums	82	89
Unamortized discounts	(25)	(35)
Valuation adjustments for hedging activities	1,035	1,208
Fair value option valuation adjustments	$ 45	$ 43
Debt, Maturities, Repayments of Principal in Next Twelve Months, Weighted Average Interest Rate	1.17%	0.54%
Long-term Debt, Maturities, Repayments of Principal in Year Two, Weighted Average Interest Rate	1.09%	2.38%
Long-term Debt, Maturities, Repayments of Principal in Year Three, Weighted Average Interest Rate	2.00%	1.92%
Long-term Debt, Maturities, Repayments of Principal in Year Four, Weighted Average Interest Rate	1.68%	1.96%
Long-term Debt, Maturities, Repayments of Principal in Year Five, Weighted Average Interest Rate	3.71%	3.15%
Long-term Debt, Maturities, Repayments of Principal After Year Five, Weighted Average Interest Rate	2.39%	3.37%
Long-term Debt, Maturities, Repayments Index Amortizing Weighted Average Interest Rate	4.61%	4.61%
Total par amount, Weighted Average Interest Rate	1.51%	1.59%

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Capital (Concentration) (Details) (USD $) In Millions, unless otherwise specified	Sep. 30, 2012		Dec. 31, 2011
Concentration Risk [Line Items]
Capital Stock Outstanding	$ 9,234		$ 10,373
Capital Stock Ownership By Third Party [Member]
Concentration Risk [Line Items]
Concentration Risk Benchmark, Percent	10.00%
Concentration of total capital stock outstanding	100.00%		100.00%
Capital Stock Ownership By Third Party [Member] | Citibank N.A. [Member]
Concentration Risk [Line Items]
Capital Stock Outstanding	2,476	[1]	2,884	[1]
Concentration of total capital stock outstanding	27.00%		28.00%
Capital Stock Ownership By Third Party [Member] | Banamex USA [Member]
Concentration Risk [Line Items]
Capital Stock Outstanding	2		2
Concentration of total capital stock outstanding	0.00%		0.00%
Capital Stock Ownership By Third Party [Member] | Citigroup Inc. [Member]
Concentration Risk [Line Items]
Capital Stock Outstanding	2,478		2,886
Concentration of total capital stock outstanding	27.00%		28.00%
Capital Stock Ownership By Third Party [Member] | JPMorgan Bank And Trust Company National Association [Member]
Concentration Risk [Line Items]
Capital Stock Outstanding	1,150		1,340
Concentration of total capital stock outstanding	13.00%		13.00%
Capital Stock Ownership By Third Party [Member] | JPMorgan Chase Bank National Association [Member]
Concentration Risk [Line Items]
Capital Stock Outstanding	766		893
Concentration of total capital stock outstanding	8.00%		9.00%
Capital Stock Ownership By Third Party [Member] | JPMorgan Chase And Co [Member]
Concentration Risk [Line Items]
Capital Stock Outstanding	1,916		2,233
Concentration of total capital stock outstanding	21.00%		22.00%
Capital Stock Ownership By Third Party [Member] | Wells Fargo Bank N A [Member]
Concentration Risk [Line Items]
Capital Stock Outstanding	1,016		1,183
Concentration of total capital stock outstanding	11.00%		11.00%
Capital Stock Ownership By Third Party [Member] | Wells Fargo Financial National Bank [Member]
Concentration Risk [Line Items]
Capital Stock Outstanding	4		4
Concentration of total capital stock outstanding	0.00%		0.00%
Capital Stock Ownership By Third Party [Member] | Wells Fargo and Company [Member]
Concentration Risk [Line Items]
Capital Stock Outstanding	1,020		1,187
Concentration of total capital stock outstanding	11.00%		11.00%
Capital Stock Ownership By Third Party [Member] | Third Party With Greater Than Ten Percent Ownership [Member]
Concentration Risk [Line Items]
Capital Stock Outstanding	5,414		6,306
Concentration of total capital stock outstanding	59.00%		61.00%
Capital Stock Ownership By Third Party [Member] | Third Party, All Others [Member]
Concentration Risk [Line Items]
Capital Stock Outstanding	$ 3,820		$ 4,067
Concentration of total capital stock outstanding	41.00%		39.00%

[1] (1)The capital stock held by these institutions is classified as mandatorily redeemable capital stock.

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Accumulated Other Comprehensive Income (Loss) (Details) (USD $) In Millions, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2012	Sep. 30, 2011	Sep. 30, 2012	Sep. 30, 2011
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI Beginning Balance			$ (1,893)
Other comprehensive income/ (loss)	501	(80)	826	1,171
AOCI Ending Balance	(1,067)		(1,067)
Total accumulated other comprehensive income/(loss) [Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI Beginning Balance			(1,893)	(2,943)
Other comprehensive income/ (loss)			826	1,171
AOCI Ending Balance	(1,067)	(1,772)	(1,067)	(1,772)
Pension and postretirement benefits [Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI Beginning Balance			(12)	(7)
Other comprehensive income/ (loss)			0	0
AOCI Ending Balance	(12)	(7)	(12)	(7)
Available-for-sale Securities [Member] | Net unrealized gain/(loss) [Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI Beginning Balance			1	(2)
Other comprehensive income/ (loss)			(1)	2
AOCI Ending Balance	0	0	0	0
Available-for-sale Securities [Member] | Net non-credit-related OTTI loss [Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI Beginning Balance			(1,836)	0
Other comprehensive income/ (loss)			817	(1,705)
AOCI Ending Balance	(1,019)	(1,705)	(1,019)	(1,705)
Held-to-maturity Securities [Member] | Net non-credit-related OTTI loss [Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI Beginning Balance			(46)	(2,934)
Other comprehensive income/ (loss)			10	2,874
AOCI Ending Balance	$ (36)	$ (60)	$ (36)	$ (60)

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Segment Information (Details) (USD $) In Millions, unless otherwise specified	3 Months Ended				9 Months Ended
	Sep. 30, 2012		Sep. 30, 2011		Sep. 30, 2012 segment		Sep. 30, 2011		Dec. 31, 2011
Segment Reporting Information [Line Items]
Number of Operating Segments					2
Adjusted net interest income	$ 202		$ 229		$ 599		$ 685
Amortization of Basis Adjustments	(21)	[1]	(39)	[1]	(79)	[1]	(89)	[1]
Net Interest Expense on Economic Hedges	(2)	[2]	(2)	[2]	(20)	[2]	(19)	[2]
Interest Expense on Mandatorily Redeemable Capital Stock	6	[3]	2	[3]	20	[3]	8	[3]
Net Interest Income	219		268		678		785
Other Loss	(34)		(197)		(136)		(558)
Other Expense	33		31		99		93
Income/(Loss) Before Assessments	152		40		443		134
Net OTTI loss, credit-related	(4)		(101)		(34)		(373)
Assets	94,189				94,189				113,552
Advances-Related Business [Member]
Segment Reporting Information [Line Items]
Adjusted net interest income	74		79		206		260
Assets	68,832				68,832				88,302
Mortgage-Related Business [Member]
Segment Reporting Information [Line Items]
Adjusted net interest income	128	[4]	150	[4]	393	[4]	425	[4]
Assets	$ 25,357				$ 25,357				$ 25,250

[1] Represents amortization of amounts deferred for adjusted net interest income purposes only in accordance with the Bank's Retained Earnings and Dividend Policy.

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

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

[4] Does not include credit-related OTTI charges of $4 and $101 for the three months ended September 30, 2012 and 2011, respectively. Does not include credit-related OTTI charges of $34 and $373 for the nine months ended September 30, 2012 and 2011, respectively.

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Consolidated Obligations (Consolidated Obligation Bonds Noncallable and Callable) (Details) (USD $) In Millions, unless otherwise specified	Sep. 30, 2012	Dec. 31, 2011
Schedule of Short-term and Long-term Debt [Line Items]
Total par amount	$ 81,965	$ 101,204
Notional Amount of Interest Rate Derivatives	99,553	129,576
Consolidated obligation bonds [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Total par amount	72,234	82,045
Consolidated obligation bonds [Member] | Non-callable [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Total par amount	63,142	64,954
Consolidated obligation bonds [Member] | Callable [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Total par amount	9,092	17,091
Notional Amount of Interest Rate Derivatives	$ 4,346	$ 11,541

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Allowance for Credit Losses (Rollforward) (Details) (USD $) In Millions, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2012	Sep. 30, 2011	Sep. 30, 2012	Sep. 30, 2011
Allowance for Credit Losses [Abstract]
Balance, beginning of the period	$ 4	$ 6	$ 6	$ 3
Charge-offs – transferred to real estate owned (REO)	0	(1)	(1)	(1)
Provision for credit losses	0	0	1	(3)
Balance, end of the period	$ 4	$ 5	$ 4	$ 5
Ratio of net charge-offs during the period to average loans outstanding during the period	(0.03%)	(0.03%)	(0.06%)	(0.07%)

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Commitments and Contingencies

9 Months Ended

Sep. 30, 2012

Commitments and Contingencies Disclosure [Abstract]

Commitments and Contingencies

Commitments and Contingencies

As provided by the FHLBank Act or regulations governing the operations of the FHLBanks, all FHLBanks have joint and several liability for all FHLBank consolidated obligations, which are backed only by the financial resources of the FHLBanks. The joint and several liability regulation authorizes the Finance Agency to require any FHLBank to repay all or a portion of the principal or interest on consolidated obligations for which another FHLBank is the primary obligor. The regulations provide a general framework for addressing the possibility that an FHLBank may be unable to repay the consolidated obligations for which it is the primary obligor. The Bank has never been asked or required to repay the principal or interest on any consolidated obligation on behalf of another FHLBank, and as of September 30, 2012, 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 amount of the outstanding consolidated obligations of all 12 FHLBanks was $674,487 at September 30, 2012, and $691,868 at December 31, 2011. The par value of the Bank's participation in consolidated obligations was $81,965 at September 30, 2012, and $101,204 at December 31, 2011. For more information on the joint and several liability regulation, see “Item 8. Financial Statements and Supplementary Data – Note 20 – Commitments and Contingencies” in the Bank's 2011 Form 10-K.

Off-balance sheet commitments as of September 30, 2012, and December 31, 2011, were as follows:

	September 30, 2012						December 31, 2011
	Expire Within One Year		Expire After One Year		Total		Expire Within One Year		Expire After One Year		Total
Standby letters of credit outstanding	$	1,305	$	2,147	$	3,452	$	4,227	$	1,087	$	5,314
Commitments to fund additional advances(1)	19		1		20		100		2		102
Unsettled consolidated obligation bonds, par(2)	1,610		—		1,610		200		—		200
Interest rate exchange agreements, traded but not yet settled	1,321		—		1,321		705		—		705

(1) AtSeptember 30, 2012, and December 31, 2011, $16 and $100, respectively, of the commitments to fund additional advances were hedged with associated interest rate swaps.

(2) AtSeptember 30, 2012, and December 31, 2011, $1,305 and $200, respectively, of the unsettled consolidated obligation bonds were hedged with associated interest rate swaps.

Standby letters of credit are generally issued for a fee on behalf of members to support their obligations to third parties. If the Bank is required to make a payment for a beneficiary's drawing under a letter of credit, the amount is immediately due and payable by the member to the Bank and is charged to the member's demand deposit account with the Bank. The original terms of these standby letters of credit range from 88 days to 10 years, including a final expiration in 2022.

The value of the Bank's obligations related to standby letters of credit is recorded in other liabilities and amounted to $11 at September 30, 2012, and $6 at December 31, 2011. Letters of credit are fully collateralized at the time of issuance. Based on the Bank's credit analyses of members' financial condition and collateral requirements, the Bank deemed it unnecessary to record any additional liability on the letters of credit outstanding as of September 30, 2012, and December 31, 2011.

Commitments to fund additional advances totaled $20 and $102 at September 30, 2012, and December 31, 2011. Advances funded under advance commitments are fully collateralized at the time of funding (see Note 9 – Allowance for Credit Losses). Based on the Bank's credit analyses of members' financial condition and collateral requirements, the Bank deemed it unnecessary to record any additional liability on the advance commitments outstanding as of September 30, 2012, and December 31, 2011. The estimated fair value of advance commitments was de minimis to the balance sheet as of September 30, 2012, and December 31, 2011.

Commitments to participate in the issuance of consolidated obligations totaled $1,610 and $200 at September 30, 2012, and December 31, 2011. The estimated fair value of the consolidated obligation commitments was de minimis to the balance sheet as of September 30, 2012, and December 31, 2011.

The Bank executes interest rate exchange agreements with major banks and derivatives entities affiliated with broker-dealers and with its members. The Bank enters into master agreements with netting provisions with all counterparties and into bilateral security agreements with all active derivatives dealer counterparties. All member counterparty master agreements, excluding those with derivatives dealers, are subject to the terms of the Bank's Advances and Security Agreement with members, and all member counterparties (except for those that are derivatives dealers) must fully collateralize the Bank's net credit exposure. As of September 30, 2012, the Bank had pledged total collateral of $24, including securities with a carrying value of $20, all of which could be sold or repledged, and cash of $4 to counterparties that had market risk exposure to the Bank related to derivatives. As of December 31, 2011, the Bank had pledged total collateral of $82, including securities with a carrying value of $33, all of which could be sold or repledged, and cash of $49 to counterparties 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 normal 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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Available-for-Sale Securities (Narrative) (Details) (USD $) In Millions, unless otherwise specified	Sep. 30, 2012	Jun. 30, 2012	Dec. 31, 2011	Sep. 30, 2011	Jun. 30, 2011	Dec. 31, 2010
Schedule of Available-for-sale Securities [Line Items]
Credit-related OTTI	$ (1,390)	$ (1,387)	$ (1,362)	$ (1,323)	$ (1,223)	$ (952)
Available-for-sale Securities [Member] | PLRMBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Credit-related OTTI	(1,445)		(1,419)
Interest accretion adjustments	$ (61)		$ (50)

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Derivatives and Hedging Activities (Tables)

9 Months Ended

Sep. 30, 2012

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Credit Risk Exposure on Derivative Instruments [Table Text Block]

The following table presents credit risk exposure on derivatives instruments. Collateral does not include a counterparty's pledged collateral that exceeds the Bank's net position with the counterparty.

	September 30, 2012		December 31, 2011
Total net exposure at fair value(1)	$	763	$	914
Cash collateral held	418		514
Net exposure after cash collateral	345		400
Securities collateral held	337		381
Net exposure after collateral	$	8	$	19

(1) Includes net accrued interest receivable of $155 and $86 as of September 30, 2012, and December 31, 2011, respectively.

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block]

The following table summarizes the fair value of derivatives instruments without the effect of netting arrangements or collateral as of September 30, 2012, and December 31, 2011. For purposes of this disclosure, the derivatives values include the fair value of derivatives and related accrued interest.

	September 30, 2012								December 31, 2011
	Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities			Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	34,327	$	1,118		$	334		$	56,355	$	1,241		$	309
Total	34,327		1,118			334			56,355		1,241			309
Derivatives not designated as hedging instruments:
Interest rate swaps	64,275		313			388			72,245		366			492
Interest rate caps, floors, corridors, and/or collars	951		1			7			976		4			11
Total	65,226		314			395			73,221		370			503
Total derivatives before netting and collateral adjustments	$	99,553	1,432			729			$	129,576	1,611			812
Netting adjustments by counterparty			(669		)	(669		)			(697		)	(697		)
Cash collateral and related accrued interest			(418		)	2					(514		)	(42		)
Total collateral and netting adjustments(1)			(1,087		)	(667		)			(1,211		)	(739		)
Derivative assets and derivative liabilities as reported on the Statements of Condition			$	345		$	62				$	400		$	73

(1) Amounts include the netting of derivative assets and liabilities by counterparty, including cash collateral, where the Bank has the legal right to do so under its master netting agreement with each counterparty.

Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance [Table Text Block]

The following table presents the components of net gain/(loss) on derivatives and hedging activities as presented in the Statements of Income for the three and nine months ended September 30, 2012 and 2011.

	Three Months Ended						Nine Months Ended
	September 30, 2012			September 30, 2011			September 30, 2012			September 30, 2011
	Gain/(Loss)			Gain/(Loss)			Gain/(Loss)			Gain/(Loss)
Derivatives and hedged items in fair value hedging relationships – hedge ineffectiveness by derivative type:
Interest rate swaps	$	(3	)	$	(13	)	$	(18	)	$	(18	)
Total net loss related to fair value hedge ineffectiveness	(3		)	(13		)	(18		)	(18		)
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	(28		)	(149		)	(66		)	(199		)
Interest rate caps, floors, corridors, and/or collars	—			(1		)	1			—
Net interest settlements	(2		)	(2		)	(20		)	(19		)
Total net loss related to derivatives not designated as hedging instruments	(30		)	(152		)	(85		)	(218		)
Net loss on derivatives and hedging activities	$	(33	)	$	(165	)	$	(103	)	$	(236	)

Schedule of Derivative Instruments By Type, Gain (Loss) in Statement of Financial Performance [Table Text Block]

The following tables present, by type of hedged item, the gains and losses on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on the Bank's net interest income for the three and nine months ended September 30, 2012 and 2011.

	Three Months Ended
	September 30, 2012											September 30, 2011
Hedged Item Type	Gain/ (Loss) on Derivatives			Gain/ (Loss) on Hedged Item		Net Fair Value Hedge Ineffectiveness			Effect of Derivatives on Net Interest Income(1)			Gain/ (Loss) on Derivatives			Gain/ (Loss) on Hedged Item			Net Fair Value Hedge Ineffectiveness			Effect of Derivatives on Net Interest Income(1)
Advances	$	(36	)	$	36	$	—		$	(35	)	$	(60	)	$	58		$	(2	)	$	(59	)
Consolidated obligation bonds	(43		)	40		(3		)	128			59			(70		)	(11		)	266
Total	$	(79	)	$	76	$	(3	)	$	93		$	(1	)	$	(12	)	$	(13	)	$	207

	Nine Months Ended
	September 30, 2012											September 30, 2011
Hedged Item Type	Gain/ (Loss) on Derivatives			Gain/ (Loss) on Hedged Item		Net Fair Value Hedge Ineffectiveness			Effect of Derivatives on Net Interest Income(1)			Gain/ (Loss) on Derivatives			Gain/ (Loss) on Hedged Item		Net Fair Value Hedge Ineffectiveness			Effect of Derivatives on Net Interest Income(1)
Advances	$	(63	)	$	64	$	1		$	(110	)	$	(19	)	$	18	$	(1	)	$	(209	)
Consolidated obligation bonds	(146		)	127		(19		)	399			(205		)	188		(17		)	913
Total	$	(209	)	$	191	$	(18	)	$	289		$	(224	)	$	206	$	(18	)	$	704

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

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Deposits (Details) (USD $) In Millions, unless otherwise specified	9 Months Ended
	Sep. 30, 2012	Dec. 31, 2011
Interest-bearing deposits:
Demand and overnight	$ 175	$ 151
Term	2	1
Other	0	3
Total interest-bearing deposits	177	155
Weighted Average Rate Deposit, Time Deposits	0.01%	0.01%
Non-interest-bearing deposits	2	1
Deposits	179	156
Aggregate amount of time deposits with a denomination of $100,000 or more	2	1
Time Deposits, $100,000 or More, Maturity Term	6 months
Interest-bearing deposits [Member]
Interest-bearing deposits:
Weighted Average Rate Deposit, Time Deposits	0.01%	0.01%
Non-interest-bearing deposits [Member] [Member]
Interest-bearing deposits:
Weighted Average Rate Deposit, Time Deposits	0.00%	0.00%
Fixed rate [Member]
Interest-bearing deposits:
Total interest-bearing deposits	2	1
Fixed rate [Member] | Interest-bearing deposits [Member]
Interest-bearing deposits:
Weighted Average Rate Deposit, Time Deposits	0.04%	0.01%
Adjustable rate [Member]
Interest-bearing deposits:
Total interest-bearing deposits	$ 175	$ 154
Adjustable rate [Member] | Interest-bearing deposits [Member]
Interest-bearing deposits:
Weighted Average Rate Deposit, Time Deposits	0.01%	0.01%

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Fair Value (Fair Value Option) (Details) (USD $) In Millions, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2012	Sep. 30, 2011	Sep. 30, 2012	Sep. 30, 2011
Fair Value, Option, Quantitative Disclosures [Line Items]
Net gain/(loss) on advances and consolidated obligation bonds held at fair value option	$ (6)	$ (72)	$ (6)	$ (52)
Advances [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Balance, beginning of the period	7,749	9,227	8,684	10,490
New transactions elected for fair value option	173	229	637	1,746
Maturities and terminations	(559)	(403)	(1,937)	(3,231)
Net gain/(loss) on advances and consolidated obligation bonds held at fair value option	24	116	7	170
Change in accrued interest	(2)	(1)	(6)	(7)
Balance, end of the period	7,385	9,168	7,385	9,168
Consolidated obligation bonds [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Net gain/(loss) on advances and consolidated obligation bonds held at fair value option	18	44	1	118
Balance, beginning of the period	20,008	18,737	15,712	20,872
New transactions elected for fair value option	12,980	7,479	23,800	15,204
Maturities and terminations	(4,035)	(7,313)	(10,541)	(17,247)
Change in accrued interest	1	0	0	0
Balance, end of the period	$ 28,972	$ 18,947	$ 28,972	$ 18,947

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Deposits (Tables)

9 Months Ended

Sep. 30, 2012

Deposits [Abstract]

Schedule of Deposit Liabilities by Component [Table Text Block]

Deposits as of September 30, 2012, and December 31, 2011, were as follows:

	September 30, 2012		December 31, 2011
Interest-bearing deposits:
Demand and overnight	$	175	$	151
Term	2		1
Other	—		3
Total interest-bearing deposits	177		155
Non-interest-bearing deposits	2		1
Total	$	179	$	156

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

Interest rate payment terms for deposits at September 30, 2012, and December 31, 2011, are detailed in the following table:

	September 30, 2012				December 31, 2011
	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding		Weighted Average Interest Rate
Interest-bearing deposits:
Fixed rate	$	2	0.04	%	$	1	0.01	%
Adjustable rate	175		0.01		154		0.01
Total interest-bearing deposits	177		0.01		155		0.01
Non-interest-bearing deposits	2		—		1		—
Total	$	179	0.01	%	$	156	0.01	%

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Available-for-Sale Securities (Interest Rate Payment Terms) (Details) (USD $) In Millions, unless otherwise specified	Sep. 30, 2012		Dec. 31, 2011
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost Basis	$ 8,988	[1]	$ 11,447	[1]
PLRMBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost Basis	8,682	[1]	9,523	[1]
Fixed rate [Member] | Collateralized mortgage obligations [Member]
Schedule of Available-for-sale Securities [Line Items]
Converts in 1 year or less	424		920
Converts after 1 year through 5 years	745		748
Converts after 5 years through 10 years	0		175
Available-for-sale Securities, Amortized Cost Basis	1,169		1,843
Fixed rate [Member] | PLRMBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost Basis	3,567		4,542
Adjustable rate [Member] | Available-for-sale securities other than PLRMBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost Basis	306		1,924
Adjustable rate [Member] | PLRMBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost Basis	$ 5,115		$ 4,981

[1] Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous other-than-temporary impairments recognized in earnings.

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Advances (Credit and Concentration Risk) (Details) (USD $) In Millions, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2012	Sep. 30, 2011	Sep. 30, 2012	Sep. 30, 2011	Dec. 31, 2011
Advances [Line Items]
Advances Outstanding	$ 51,163	$ 77,673	$ 51,163	$ 77,673	$ 67,436
Percentage of Total Advances Outstanding	100.00%	100.00%	100.00%	100.00%
Interest Income from Advances	163	230	537	760
Percentage of Total Interest Income from Advances	100.00%	100.00%	100.00%	100.00%
JPMorgan Bank And Trust Company National Association [Member]
Advances [Line Items]
Advances Outstanding	13,450	22,700	13,450	22,700
Percentage of Total Advances Outstanding	26.00%	29.00%	26.00%	29.00%
Interest Income from Advances	28	29	81	90
Percentage of Total Interest Income from Advances	17.00%	13.00%	15.00%	12.00%
JPMorgan Chase Bank National Association [Member]
Advances [Line Items]
Advances Outstanding	1,549	1,563	1,549	1,563
Percentage of Total Advances Outstanding	3.00%	2.00%	3.00%	2.00%
Interest Income from Advances	3	3	11	15
Percentage of Total Interest Income from Advances	2.00%	1.00%	2.00%	2.00%
JPMorgan Chase And Co [Member]
Advances [Line Items]
Advances Outstanding	14,999	24,263	14,999	24,263
Percentage of Total Advances Outstanding	29.00%	31.00%	29.00%	31.00%
Interest Income from Advances	31	32	92	105
Percentage of Total Interest Income from Advances	19.00%	14.00%	17.00%	14.00%
Citibank N A [Member]
Advances [Line Items]
Advances Outstanding	9,785	17,378	9,785	17,378
Percentage of Total Advances Outstanding	19.00%	22.00%	19.00%	22.00%
Interest Income from Advances	9	11	37	44
Percentage of Total Interest Income from Advances	5.00%	5.00%	7.00%	6.00%
Bank of America California N A [Member]
Advances [Line Items]
Advances Outstanding		5,900		5,900
Percentage of Total Advances Outstanding		8.00%		8.00%
Interest Income from Advances		11		54
Percentage of Total Interest Income from Advances		5.00%		7.00%
OneWest Bank FSB [Member]
Advances [Line Items]
Advances Outstanding	3,851	5,379	3,851	5,379
Percentage of Total Advances Outstanding	8.00%	7.00%	8.00%	7.00%
Interest Income from Advances	12	27	43	91
Percentage of Total Interest Income from Advances	7.00%	12.00%	8.00%	12.00%
First Republic Bank [Member]
Advances [Line Items]
Advances Outstanding	3,150		3,150
Percentage of Total Advances Outstanding	6.00%		6.00%
Interest Income from Advances	14		40
Percentage of Total Interest Income from Advances	9.00%		7.00%
Citibank N.A. Bank of the West OneWest Bank, FSB First Republic Bank [Member]
Advances [Line Items]
Advances Outstanding	36,045		36,045
Percentage of Total Advances Outstanding	70.00%		70.00%
Interest Income from Advances	90		288
Percentage of Total Interest Income from Advances	55.00%		53.00%
Bank of the West [Member]
Advances [Line Items]
Advances Outstanding	4,260	5,051	4,260	5,051
Percentage of Total Advances Outstanding	8.00%	7.00%	8.00%	7.00%
Interest Income from Advances	24	27	76	84
Percentage of Total Interest Income from Advances	15.00%	12.00%	14.00%	11.00%
Citibank N.A. Bank of America California N.A. OneWest Bank, FSB Bank of the West [Member]
Advances [Line Items]
Advances Outstanding		57,971		57,971
Percentage of Total Advances Outstanding		75.00%		75.00%
Interest Income from Advances		108		378
Percentage of Total Interest Income from Advances		48.00%		50.00%
Other Borrowers [Member]
Advances [Line Items]
Advances Outstanding	15,118	19,702	15,118	19,702
Percentage of Total Advances Outstanding	30.00%	25.00%	30.00%	25.00%
Interest Income from Advances	$ 73	$ 122	$ 249	$ 382
Percentage of Total Interest Income from Advances	45.00%	52.00%	47.00%	50.00%

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Other-Than-Temporary Impairment Analysis (Transfers) (Details) (PLRMBS [Member], USD $) In Millions, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2012	Sep. 30, 2011	Sep. 30, 2012	Sep. 30, 2011
Significant Inputs for Credit Loss Measurement [Line Items]
Amortized Cost	$ 94	$ 721	$ 162	$ 10,437
OTTI Recognized in AOCI	(15)	(148)	(28)	(2,649)
Gross Unrecognized Holding Gains	0	30	0	887
Estimated Fair Value	79	603	134	8,675
Prime [Member]
Significant Inputs for Credit Loss Measurement [Line Items]
Amortized Cost	19	36	22	1,095
OTTI Recognized in AOCI	(2)	(6)	(2)	(300)
Gross Unrecognized Holding Gains	0	0	0	143
Estimated Fair Value	17	30	20	938
Alt-A, option ARM [Member]
Significant Inputs for Credit Loss Measurement [Line Items]
Amortized Cost	0	0	0	1,574
OTTI Recognized in AOCI	0	0	0	(520)
Gross Unrecognized Holding Gains	0	0	0	79
Estimated Fair Value	0	0	0	1,133
Alt-A, other [Member]
Significant Inputs for Credit Loss Measurement [Line Items]
Amortized Cost	75	685	140	7,768
OTTI Recognized in AOCI	(13)	(142)	(26)	(1,829)
Gross Unrecognized Holding Gains	0	30	0	665
Estimated Fair Value	$ 62	$ 573	$ 114	$ 6,604

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Trading Securities (Details) (USD $) In Millions, unless otherwise specified	3 Months Ended			9 Months Ended
	Sep. 30, 2012		Sep. 30, 2011	Sep. 30, 2012		Sep. 30, 2011	Dec. 31, 2011
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading Securities	$ 3,540	[1]		$ 3,540	[1]		$ 2,808	[1]
Percent of fixed rate trading securities swapped to adjustable rate							100.00%
Percent of adjustable rate trading securities swapped to different adjustable rate index	80.00%			80.00%			81.00%
Net gain/(loss) on trading securities	(5)		(3)	(10)		(4)
Trading securities other than MBS [Member]
Schedule of Trading Securities and Other Trading Assets [Line Items]
Due in 1 year or less	1,472			1,472			2,556
Due after 1 year through 5 years	2,052			2,052			234
Trading Securities	3,524			3,524			2,790
Trading securities other than MBS [Member] | Fixed rate [Member]
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading Securities	436			436			796
Trading securities other than MBS [Member] | Adjustable rate [Member]
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading Securities	3,088			3,088			1,994
Government-sponsored enterprises (GSEs) – Federal Farm Credit Bank (FFCB) bonds [Member]
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading Securities	2,961			2,961			1,867
Temporary Liquidity Guarantee Program (TLGP) securities [Member]
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading Securities	563	[2]		563	[2]		923	[2]
MBS [Member]
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading Securities	16			16			18
Other U.S. obligations – Ginnie Mae [Member]
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading Securities	16			16			17
GSEs – Fannie Mae [Member]
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading Securities	0			0			1
Passthrough securities [Member] | Adjustable rate [Member]
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading Securities	16			16			17
Collateralized mortgage obligations [Member] | Fixed rate [Member]
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading Securities	$ 0			$ 0			$ 1

[1] At September 30, 2012, and December 31, 2011, none of these securities were pledged as collateral that may be repledged.

[2] TLGP securities represent corporate debentures of the issuing party that are guaranteed by the Federal Deposit Insurance Corporation (FDIC) and backed by the full faith and credit of the U.S. government.

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Summary of Significant Accounting Policies

9 Months Ended

Sep. 30, 2012

Accounting Policies [Abstract]

Summary of Significant Accounting Policies

Summary of 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 normal recurring nature, unless otherwise disclosed. The results of operations in these interim statements are not necessarily indicative of the results to be expected for any subsequent period or for the entire year ending December 31, 2012. 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, 2011 (2011 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 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. The most significant of these estimates include the determination of other-than-temporary impairment (OTTI) of securities and fair value of derivatives, certain advances, certain investment securities, and certain consolidated obligations that are reported at fair value in the Statements of Condition. Actual results could differ significantly from these estimates.

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

to determine whether it is the primary beneficiary in any VIE. The Bank evaluated its investments in VIEs as of September 30, 2012, to determine whether it is a primary beneficiary of any of these investments. The primary beneficiary is required to consolidate a VIE. The Bank determined that consolidation accounting is not required because the Bank is not the primary beneficiary of these VIEs as of September 30, 2012. The Bank does not have the power to significantly affect the economic performance of any of these investments because it does not act as a key decision maker nor does it have the unilateral ability to replace a key decision maker. In addition, the Bank does not design, sponsor, transfer, service, or provide credit or liquidity support in any of its investments in VIEs. The Bank's maximum loss exposure for these investments is limited to the carrying value.

Securities Purchased under Agreements to Resell. These investments provide short-term liquidity and are carried at cost. The Bank treats securities purchased under agreements to resell as collateralized financings.

Revision of Certain Items in the Statements of Cash Flows Resulting from Errors. For purposes of these unaudited financial statements, the Bank reclassified and revised certain items in the Statements of Cash Flows for the nine months ended September 30, 2011, as shown in the table below. These revisions had no effect on the net change in cash, total assets, net interest income, or net income of the Bank reported for this period. The Bank has evaluated the impact of these adjustments, on a quantitative and qualitative basis, and has concluded that these revisions were not material to any previously issued quarterly financial statements. However, the Bank has elected to revise certain line items in the Statements of Cash Flows for the nine months ended September 30, 2011, in these unaudited financial statements.

	Nine Months Ended September 30, 2011
	As Reported			As Corrected
Change in net derivatives and hedging activities(1)(2)	$	109		$	65
Net change in: Other assets(3)	25			29
Net cash provided by/(used in) operating activities	483			443
Advances: Principal collected(4)	190,048			188,884
Advances: Made to members(1)(4)	(172,822		)	(171,647		)
Mortgage loans held for portfolio: Principal collected(3)	398			394
Net cash provided by/(used in) investing activities	26,506			26,513
Net (payments)/proceeds on derivative contracts with financing elements(2)	26			59
Net cash provided by/(used in) financing activities	(25,098		)	(25,065		)

(1) Misclassification of non-cash deferred basis adjustments on advances made.

(2) Understated the amount of derivatives that contained a financing element.

(3) Misclassified the amount of loans transferred to real estate owned because of the misclassification as principal collected on mortgage loans.

(4) Overstated the amount of principal collected and advances made to members because of the inclusion of modified advances as new advances made to members.

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 2011 Form 10-K. Other changes to these policies as of September 30, 2012, are discussed in Note 2 – Recently Issued and Adopted Accounting Guidance.

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Other-Than-Temporary Impairment Analysis (OTTI Impaired PLRMBS) (Details) (PLRMBS [Member], USD $) In Millions, unless otherwise specified	Sep. 30, 2012	Dec. 31, 2011	Sep. 30, 2011
Available-for-sale Securities [Member]
Securities that Incurred an Other Than Temporary Impairment Charge During Period [Abstract]
Unpaid Principal Balance	$ 997		$ 5,728
Amortized Cost	887		5,242
Estimated Fair Value	790		4,399
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract]
Unpaid Principal Balance	10,120	10,936
Amortized Cost	8,682	9,524
Estimated Fair Value	7,663	7,687
Available-for-sale Securities [Member] | Prime [Member]
Securities that Incurred an Other Than Temporary Impairment Charge During Period [Abstract]
Unpaid Principal Balance	37		531
Amortized Cost	36		475
Estimated Fair Value	32		395
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract]
Unpaid Principal Balance	1,019	1,125
Amortized Cost	871	977
Estimated Fair Value	810	832
Available-for-sale Securities [Member] | Alt-A, option ARM [Member]
Securities that Incurred an Other Than Temporary Impairment Charge During Period [Abstract]
Unpaid Principal Balance	120		270
Amortized Cost	61		191
Estimated Fair Value	49		124
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract]
Unpaid Principal Balance	1,687	1,834
Amortized Cost	1,270	1,414
Estimated Fair Value	990	969
Available-for-sale Securities [Member] | Alt-A, other [Member]
Securities that Incurred an Other Than Temporary Impairment Charge During Period [Abstract]
Unpaid Principal Balance	840		4,927
Amortized Cost	790		4,576
Estimated Fair Value	709		3,880
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract]
Unpaid Principal Balance	7,414	7,977
Amortized Cost	6,541	7,133
Estimated Fair Value	5,863	5,886
Held-to-maturity Securities [Member]
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract]
Unpaid Principal Balance	184	236
Amortized Cost	182	234
Carrying Value	145	188
Estimated Fair Value	165	192
Held-to-maturity Securities [Member] | Prime [Member]
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract]
Unpaid Principal Balance	5	27
Amortized Cost	5	27
Carrying Value	5	26
Estimated Fair Value	5	27
Held-to-maturity Securities [Member] | Alt-A, option ARM [Member]
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract]
Unpaid Principal Balance	0	0
Amortized Cost	0	0
Carrying Value	0	0
Estimated Fair Value	0	0
Held-to-maturity Securities [Member] | Alt-A, other [Member]
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract]
Unpaid Principal Balance	179	209
Amortized Cost	177	207
Carrying Value	140	162
Estimated Fair Value	$ 160	$ 165

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Fair Value (Tables)

9 Months Ended

Sep. 30, 2012

Fair Value Disclosures [Abstract]

Fair Value, by Balance Sheet Grouping [Table Text Block]

The following tables present the carrying value and the estimated fair value of the Bank's financial instruments at September 30, 2012, and December 31, 2011.

	September 30, 2012
	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments(1)
Assets
Cash and due from banks	$	2	$	2	$	2	$	—	$	—	$	—
Securities purchased under agreements to resell	3,000		3,000		—		3,000		—		—
Federal funds sold	7,427		7,427		—		7,427		—		—
Trading securities	3,540		3,540		—		3,540		—		—
Available-for-sale securities	7,969		7,969		—		306		7,663		—
Held-to-maturity securities	18,421		18,599		—		15,237		3,362		—
Advances	51,825		52,031		—		52,031		—		—
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	1,411		1,558		—		1,558		—		—
Accrued interest receivable	130		130		—		130		—		—
Derivative assets, net(1)	345		345		—		1,432		—		(1,087		)
Liabilities
Deposits	179		179		—		179		—		—
Consolidated obligations:
Bonds	73,371		73,708		—		73,708		—		—
Discount notes	9,728		9,729		—		9,729		—		—
Total consolidated obligations	83,099		83,437		—		83,437		—		—
Mandatorily redeemable capital stock	4,770		4,770		4,770		—		—		—
Accrued interest payable	260		260		—		260		—		—
Derivative liabilities, net(1)	62		62		—		729		—		(667		)
Other
Standby letters of credit	11		11		—		11		—		—

	December 31, 2011
	Carrying Value		Estimated Fair Value
Assets
Cash and due from banks	$	3,494	$	3,494
Federal funds sold	5,366		5,366
Trading securities	2,808		2,808
Available-for-sale securities	9,613		9,613
Held-to-maturity securities	21,581		21,414
Advances	68,164		68,584
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	1,829		1,976
Accrued interest receivable	180		180
Derivative assets, net(1)	400		400
Liabilities
Deposits	156		156
Consolidated obligations:
Bonds	83,350		83,878
Discount notes	19,152		19,155
Total consolidated obligations	102,502		103,033
Mandatorily redeemable capital stock	5,578		5,578
Accrued interest payable	241		241
Derivative liabilities, net(1)	73		73
Other
Standby letters of credit	6		6

(1) Amounts include the netting of derivative assets and liabilities by counterparty, including cash collateral, where the Bank has the legal right to do so under its master netting agreement with each counterparty.

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Table Text Block]

The tables below present the fair value of assets and liabilities, which are recorded on a recurring or nonrecurring basis at September 30, 2012, and December 31, 2011, by level within the fair value hierarchy.

September 30, 2012
	Fair Value Measurement Using:						Netting
	Level 1		Level 2		Level 3		Adjustments(1)			Total
Recurring fair value measurements – Assets:
Trading securities:
GSEs – FFCB bonds	$	—	$	2,961	$	—	$	—		$	2,961
TLGP securities	—		563		—		—			563
MBS:
Other U.S. obligations – Ginnie Mae	—		16		—		—			16
Total trading securities	—		3,540		—		—			3,540
Available-for-sale securities:
TLGP securities	—		306		—		—			306
PLRMBS	—		—		7,663		—			7,663
Total available-for-sale securities	—		306		7,663		—			7,969
Advances(2)	—		7,422		—		—			7,422
Derivative assets, net: interest rate-related	—		1,432		—		(1,087		)	345
Total recurring fair value measurements – Assets	$	—	$	12,700	$	7,663	$	(1,087	)	$	19,276
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	28,972	$	—	$	—		$	28,972
Derivative liabilities, net: interest rate-related	—		729		—		(667		)	62
Total recurring fair value measurements – Liabilities	$	—	$	29,701	$	—	$	(667	)	$	29,034
Nonrecurring fair value measurements – Assets:
REO	$	—	$	—	$	3

December 31, 2011
	Fair Value Measurement Using:						Netting
	Level 1		Level 2		Level 3		Adjustments(1)			Total
Recurring fair value measurements – Assets:
Trading securities:
GSEs – FFCB bonds	$	—	$	1,867	$	—	$	—		$	1,867
TLGP securities	—		923		—		—			923
MBS:
Other U.S. obligations – Ginnie Mae	—		17		—		—			17
GSEs – Fannie Mae	—		1		—					1
Total trading securities	—		2,808		—		—			2,808
Available-for-sale securities:
TLGP securities	—		1,926		—		—			1,926
PLRMBS	—		—		7,687		—			7,687
Total available-for-sale securities	—		1,926		7,687		—			9,613
Advances(2)	—		8,728		—		—			8,728
Derivative assets, net: interest rate-related	—		1,611		—		(1,211		)	400
Total recurring fair value measurements – Assets	$	—	$	15,073	$	7,687	$	(1,211	)	$	21,549
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	15,712	$	—	$	—		$	15,712
Derivative liabilities, net: interest rate-related	—		812		—		(739		)	73
Total recurring fair value measurements – Liabilities	$	—	$	16,524	$	—	$	(739	)	$	15,785
Nonrecurring fair value measurements – Assets:
REO	$	—	$	—	$	2

(1) Amounts represent the netting of derivative assets and liabilities by counterparty, including cash collateral, where the Bank has the legal right to do so under its master netting agreement with each counterparty.

(2) Includes $7,385 and $8,684 of advances recorded under the fair value option at September 30, 2012, and December 31, 2011, respectively, and $37 and $44 of advances recorded at fair value at September 30, 2012, and December 31, 2011, respectively, where the exposure to overall changes in fair value was hedged in accordance with the accounting for derivative instruments and hedging activities.

(3) Includes $28,972 and $15,712 of consolidated obligation bonds recorded under the fair value option at September 30, 2012, and December 31, 2011, respectively. There were no consolidated obligation bonds recorded at fair value at September 30, 2012, and December 31, 2011, where the exposure to overall changes in fair value was hedged in accordance with the accounting for derivative instruments and hedging activities.

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block]

The following table presents a reconciliation of the Bank's available-for-sale PLRMBS that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three and nine months ended September 30, 2012 and 2011.

	Three Months Ended
	September 30, 2012			September 30, 2011
Balance, beginning of period	$	7,409		$	7,855
Total gain/(loss) realized and unrealized included in:
Interest income	(2		)	(4		)
Net OTTI loss, credit-related	(4		)	(97		)
Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI	513			(32		)
Settlements	(332		)	(296		)
Transfers of held-to-maturity to available-for-sale securities	79			573
Balance, end of period	$	7,663		$	7,999
Total amount of gain/(loss) for the period included in earnings attributable to the change in unrealized gains/losses relating to assets and liabilities still held at the end of the period	$	(6	)	$	(101	)

	Nine Months Ended
	September 30, 2012			September 30, 2011
Balance, beginning of period	$	7,687		$	—
Total gain/(loss) realized and unrealized included in:
Interest income	(11		)	(7		)
Net OTTI loss, credit-related	(34		)	(201		)
Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI	844			944
Settlements	(957		)	(525		)
Transfers of held-to-maturity to available-for-sale securities	134			7,788
Balance, end of period	$	7,663		$	7,999
Total amount of gain/(loss) for the period included in earnings attributable to the change in unrealized gains/losses relating to assets and liabilities still held at the end of the period	$	(45	)	$	(208	)

Fair Value, Option, Quantitative Disclosures [Table Text Block]

The following table summarizes the activity related to financial assets and liabilities for which the Bank elected the fair value option during the three and nine months ended September 30, 2012 and 2011:

	Three Months Ended
	September 30, 2012						September 30, 2011
	Advances			Consolidated Obligation Bonds			Advances			Consolidated Obligation Bonds
Balance, beginning of the period	$	7,749		$	20,008		$	9,227		$	18,737
New transactions elected for fair value option	173			12,980			229			7,479
Maturities and terminations	(559		)	(4,035		)	(403		)	(7,313		)
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option	24			18			116			44
Change in accrued interest	(2		)	1			(1		)	—
Balance, end of the period	$	7,385		$	28,972		$	9,168		$	18,947

	Nine Months Ended
	September 30, 2012						September 30, 2011
	Advances			Consolidated Obligation Bonds			Advances			Consolidated Obligation Bonds
Balance, beginning of the period	$	8,684		$	15,712		$	10,490		$	20,872
New transactions elected for fair value option	637			23,800			1,746			15,204
Maturities and terminations	(1,937		)	(10,541		)	(3,231		)	(17,247		)
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option	7			1			170			118
Change in accrued interest	(6		)	—			(7		)	—
Balance, end of the period	$	7,385		$	28,972		$	9,168		$	18,947

Fair Value Option, Quantitative Disclosure, Difference Between Aggregate Fair Value and Aggregate Remaining Contractual Principal Balance Outstanding [Table Text Block]

The following table presents the difference between the aggregate remaining contractual principal balance outstanding and aggregate fair value of advances and consolidated obligation bonds for which the Bank elected the fair value option at September 30, 2012, and December 31, 2011:

	At September 30, 2012						At December 31, 2011
	Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance		Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance
Advances(1)	$	7,057	$	7,385	$	328	$	8,258	$	8,684	$	426
Consolidated obligation bonds	28,927		28,972		45		15,669		15,712		43

(1) At September 30, 2012, and December 31, 2011, none of these advances were 90 days or more past due or had been placed on nonaccrual status.

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Summary of Significant Accounting Policies (Tables)

9 Months Ended

Sep. 30, 2012

Accounting Policies [Abstract]

Schedule of Error Corrections and Prior Period Adjustments [Table Text Block]

However, the Bank has elected to revise certain line items in the Statements of Cash Flows for the nine months ended September 30, 2011, in these unaudited financial statements.

	Nine Months Ended September 30, 2011
	As Reported			As Corrected
Change in net derivatives and hedging activities(1)(2)	$	109		$	65
Net change in: Other assets(3)	25			29
Net cash provided by/(used in) operating activities	483			443
Advances: Principal collected(4)	190,048			188,884
Advances: Made to members(1)(4)	(172,822		)	(171,647		)
Mortgage loans held for portfolio: Principal collected(3)	398			394
Net cash provided by/(used in) investing activities	26,506			26,513
Net (payments)/proceeds on derivative contracts with financing elements(2)	26			59
Net cash provided by/(used in) financing activities	(25,098		)	(25,065		)

(1) Misclassification of non-cash deferred basis adjustments on advances made.

(2) Understated the amount of derivatives that contained a financing element.

(3) Misclassified the amount of loans transferred to real estate owned because of the misclassification as principal collected on mortgage loans.

(4) Overstated the amount of principal collected and advances made to members because of the inclusion of modified advances as new advances made to members.

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Summary of Significant Accounting Policies (Policies)

9 Months Ended

Sep. 30, 2012

Accounting Policies [Line Items]

Derivatives, Policy [Policy Text Block]

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

Although these derivatives are economic hedges against prepayment risk and are designated to individual liabilities, they do not receive either fair value or cash flow hedge accounting treatment. Investment securities may be classified as trading, available-for-sale, or held-to-maturity.

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

In addition, for certain advances for which the Bank has elected the fair value option, the Bank will simultaneously execute an interest rate exchange agreement with terms that economically offset the terms of the advance. However, this type of hedge is treated as an economic hedge because these combinations generally do not meet the requirements for fair value hedge accounting treatment.

The offsetting derivatives used in intermediary activities do not receive hedge accounting treatment and are separately marked to market through earnings. The net result of the accounting for these derivatives does not significantly affect the operating results of the Bank.

Investment, Policy [Policy Text Block]

On a quarterly basis, the Bank evaluates its individual available-for-sale and held-to-maturity investment securities in an unrealized loss position for OTTI. As part of this evaluation, the Bank considers whether it intends to sell each debt security and whether it is more likely than not that it will be required to sell the security before its anticipated recovery of the amortized cost basis. If either of these conditions is met, the Bank recognizes an OTTI charge to earnings equal to the entire difference between the security's amortized cost basis and its fair value at the balance sheet date. For securities in an unrealized loss position that meet neither of these conditions, the Bank considers whether it expects to recover the entire amortized cost basis of the security by comparing its best estimate of the present value of the cash flows expected to be collected from the security with the amortized cost basis of the security. If the Bank's best estimate of the present value of the cash flows expected to be collected is less than the amortized cost basis, the difference is considered the credit loss.

For each security classified as held-to-maturity, the estimated non-credit-related OTTI is accreted prospectively, based on the amount and timing of future estimated cash flows, over the remaining life of the security as an increase in the carrying value of the security (with no effect on earnings unless the security is subsequently sold or there are additional decreases in the cash flows expected to be collected).

Derivatives, Embedded Derivatives [Policy Text Block]

Contemporaneous with the issuance of a callable bond for which the Bank is the primary obligor, the Bank routinely enters into an interest rate swap (in which the Bank pays a variable rate and receives a fixed rate) with a call feature that mirrors the call option embedded in the bond (a sold callable swap).

Loans and Leases Receivable, Allowance for Loan Losses Policy [Policy Text Block]

The second component applies to loans that are not specifically identified as impaired and is based on the Bank's estimate of probable credit losses on those loans as of the financial statement date. The Bank evaluates the credit loss exposure on a loan pool basis considering various observable data, such as delinquency statistics, past performance, current performance, loan portfolio characteristics, collateral valuations, industry data, and prevailing economic conditions. The Bank also considers the availability and collectability of credit enhancements from institutions or from mortgage insurers under the terms of each Master Commitment.

The Bank has established an allowance methodology for each of its portfolio segments: credit products, mortgage loans held for portfolio, term securities purchased under agreements to resell, and term Federal funds sold.

The Bank evaluates the allowance for credit losses on MPF mortgage loans based on two components. The first component applies to each individual loan that is specifically identified as impaired. The Bank evaluates the exposure on these loans by considering the first layer of loss protection (the liquidation value of the real property securing the loan) and the availability and collectability of credit enhancements under the terms of each Master Commitment and records a provision for credit losses.

Federal Home Loan Bank Advances, Prepayment Fees, Policy [Policy Text Block]

The Bank charges borrowers prepayment fees or pays borrowers prepayment credits when the principal on certain advances is paid prior to original maturity. The Bank records prepayment fees net of any associated fair value adjustments related to prepaid advances that were hedged.

Use of Estimates, Policy [Policy Text Block]

The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America (U.S. GAAP) requires management to make a number of judgments, estimates, and assumptions that 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. The most significant of these estimates include the determination of other-than-temporary impairment (OTTI) of securities and fair value of derivatives, certain advances, certain investment securities, and certain consolidated obligations that are reported at fair value in the Statements of Condition. Actual results could differ significantly from these estimates.

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

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

to determine whether it is the primary beneficiary in any VIE. The Bank evaluated its investments in VIEs as of September 30, 2012, to determine whether it is a primary beneficiary of any of these investments. The primary beneficiary is required to consolidate a VIE. The Bank determined that consolidation accounting is not required because the Bank is not the primary beneficiary of these VIEs as of September 30, 2012. The Bank does not have the power to significantly affect the economic performance of any of these investments because it does not act as a key decision maker nor does it have the unilateral ability to replace a key decision maker. In addition, the Bank does not design, sponsor, transfer, service, or provide credit or liquidity support in any of its investments in VIEs. The Bank's maximum loss exposure for these investments is limited to the carrying value.

Repurchase and Resale Agreements Policy [Policy Text Block]

These investments provide short-term liquidity and are carried at cost. The Bank treats securities purchased under agreements to resell as collateralized financings.

Reclassification, Policy [Policy Text Block]

For purposes of these unaudited financial statements, the Bank reclassified and revised certain items in the Statements of Cash Flows for the nine months ended September 30, 2011, as shown in the table below. These revisions had no effect on the net change in cash, total assets, net interest income, or net income of the Bank reported for this period. The Bank has evaluated the impact of these adjustments, on a quantitative and qualitative basis, and has concluded that these revisions were not material to any previously issued quarterly financial statements. However, the Bank has elected to revise certain line items in the Statements of Cash Flows for the nine months ended September 30, 2011, in these unaudited financial statements.

	Nine Months Ended September 30, 2011
	As Reported			As Corrected
Change in net derivatives and hedging activities(1)(2)	$	109		$	65
Net change in: Other assets(3)	25			29
Net cash provided by/(used in) operating activities	483			443
Advances: Principal collected(4)	190,048			188,884
Advances: Made to members(1)(4)	(172,822		)	(171,647		)
Mortgage loans held for portfolio: Principal collected(3)	398			394
Net cash provided by/(used in) investing activities	26,506			26,513
Net (payments)/proceeds on derivative contracts with financing elements(2)	26			59
Net cash provided by/(used in) financing activities	(25,098		)	(25,065		)

(1) Misclassification of non-cash deferred basis adjustments on advances made.

(2) Understated the amount of derivatives that contained a financing element.

(3) Misclassified the amount of loans transferred to real estate owned because of the misclassification as principal collected on mortgage loans.

(4) Overstated the amount of principal collected and advances made to members because of the inclusion of modified advances as new advances made to members.

Marketable Securities, Available-for-sale Securities, Policy [Policy Text Block]

These transfers allow the Bank the option to divest these securities prior to maturity in response to changes in interest rates, changes in prepayment risk, or other factors, while acknowledging its intent to hold these securities for an indefinite period of time.

Marketable Securities, Held-to-maturity Securities, Policy [Policy Text Block]

These transfers allow the Bank the option to divest these securities prior to maturity in response to changes in interest rates, changes in prepayment risk, or other factors, while acknowledging its intent to hold these securities for an indefinite period of time.

Loans and Leases Receivable, Valuation, Policy [Policy Text Block]

Mortgage Loans Evaluated at the Individual Master Commitment Level. The credit risk analysis of all conventional MPF loans is performed at the individual master commitment level to determine the credit enhancements available to recover losses on MPF loans under each individual master commitment.

Individually Evaluated Mortgage Loans. Certain conventional mortgage loans, primarily impaired mortgage loans that are considered collateral-dependent, may be specifically identified for purposes of calculating the allowance for credit losses. The estimated credit losses on impaired collateral-dependent loans may be separately determined because sufficient information exists to make a reasonable estimate of the inherent loss on those loans on an individual loan basis. The Bank estimates the fair value of collateral using real estate broker price opinions based on recent market sales and current listings. The resulting incurred loss, if any, is equal to the difference between the carrying value of the loan and the estimated fair value of the collateral less estimated selling costs.

Collectively Evaluated Mortgage Loans. The credit risk analysis of conventional loans evaluated collectively for impairment considers loan pool-specific attribute data, applies estimated loss severities, and incorporates the credit enhancements of the mortgage loan programs to determine the Bank's best estimate of probable incurred losses. Migration analysis is a methodology for determining, through the Bank's experience over a historical period, the default rate on pools of similar loans.

Loans and Leases Receivable, Troubled Debt Restructuring Policy [Policy Text Block]

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

Deposits, Policy [Policy Text Block]

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

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

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

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

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

Derivatives, Hedge Discontinuances [Policy Text Block]

The Bank discontinues hedge accounting prospectively when: (i) it determines that the derivative is no longer effective in offsetting changes in the fair value or cash flows of a hedged item (including hedged items such as firm commitments or forecasted transactions); (ii) the derivative and/or the hedged item expires or is sold, terminated, or exercised; (iii) it is no longer probable that the forecasted transaction will occur in the originally expected period; (iv) a hedged firm commitment no longer meets the definition of a firm commitment; (v) it determines that designating the derivative as a hedging instrument is no longer appropriate; or (vi) it decides to use the derivative to offset changes in the fair value of other derivatives or instruments carried at fair value.

Fair Value Measurement, Policy [Policy Text Block]

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

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

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

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

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

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

The following assets and liabilities, including those for which the Bank has elected the fair value option, are carried at fair value on the Statements of Condition as of September 30, 2012:

• Trading securities

• Available-for-sale securities

• Certain advances

• Derivative assets and liabilities

• Certain consolidated obligation bonds

For instruments for which the fair value option has been elected, the related contractual interest income and contractual interest expense are recorded as part of net interest income on the Statements of Income. The remaining changes in fair value for instruments for which the fair value option has been elected are recorded as net gains/ (losses) on financial instruments held under the fair value option in the Statements of Income. The change in fair value does not include changes in instrument-specific credit risk.

The fair value 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 carried on advances and consolidated bonds at fair value are recognized solely on the contractual amount of interest due or unpaid. Any transaction fees or costs are immediately recognized in non-interest income or non-interest expense.

Fair Value Transfer, Policy [Policy Text Block]

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

Loans and Leases Receivable, Nonperforming Loan and Lease, Policy [Policy Text Block]

The Bank classifies as impaired any advance with respect to which the Bank believes it is probable that all principal and interest due will not be collected according to its contractual terms. Impaired advances are valued using the present value of expected future cash flows discounted at the advance's effective interest rate, the advance's observable market price or, if collateral-dependent, the fair value of the advance's underlying collateral. When an advance is classified as impaired, the accrual of interest is discontinued and unpaid accrued interest is reversed. Advances do not return to accrual status until they are brought current with respect to both principal and interest and until the Bank believes future principal payments are no longer in doubt. No advances were classified as impaired during the periods presented.

Loans and Leases Receivable, Nonaccrual Loan and Lease Status, Policy [Policy Text Block]

A mortgage loan is considered to be impaired when it is reported 90 days or more past due (nonaccrual) or when it is probable, based on current information and events, that the Bank will be unable to collect all principal and interest amounts due according to the contractual terms of the mortgage loan agreement.

Loans that are on nonaccrual status and that are considered collateral-dependent are measured for impairment based on the fair value of the underlying property less estimated selling costs. Loans are considered collateral-dependent if repayment is expected to be provided solely by the sale of the underlying property, that is, if it is considered likely that the borrower will default and there is no credit enhancement from a participating financial institution to offset losses under the master commitment. Collateral-dependent loans are impaired if the fair value of the underlying collateral less estimated selling costs is insufficient to recover the unpaid principal balance on the loan. Interest income on impaired loans is recognized in the same manner as interest income on nonaccrual loans, as noted below.

The Bank places a mortgage loan on nonaccrual status when the collection of the contractual principal or interest from the participating institution is reported 90 days or more past due. When a mortgage loan is placed on nonaccrual status, accrued but uncollected interest is reversed against interest income. The Bank records cash payments received on nonaccrual loans first as interest income and then as a reduction of principal as specified in the contractual agreement, unless the collection of the remaining principal amount due is considered doubtful.

Term Federal Funds Sold [Member]

Accounting Policies [Line Items]

Loans and Leases Receivable, Allowance for Loan Losses Policy [Policy Text Block]

The Bank invests in Federal funds sold with highly rated counterparties, and these investments are evaluated for purposes of an allowance for credit losses if the investment is not paid when due.

Term Securities Purchased Under Agreements To Resell [Member]

Accounting Policies [Line Items]

Loans and Leases Receivable, Allowance for Loan Losses Policy [Policy Text Block]

If an agreement to resell is deemed to be impaired, the difference between the fair value of the collateral and the amortized cost of the agreement is charged to earnings.

PLRMBS [Member]

Accounting Policies [Line Items]

Investment, Policy [Policy Text Block]

To assess whether it expects to recover the entire amortized cost basis of its PLRMBS, the Bank performed a cash flow analysis for all of its PLRMBS as of September 30, 2012, using two third-party models. The first model projects prepayments, default rates, and loss severities based on borrower characteristics and the particular attributes of the loans underlying the Bank's securities, in conjunction with assumptions related primarily to future changes in home prices and interest rates.

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

Beginning in the first quarter of 2011, the Bank elected to transfer any PLRMBS that incurred a credit-related OTTI charge during the applicable period from the Bank's held-to-maturity portfolio to its available-for-sale portfolio at their fair values. The Bank recognized an OTTI credit loss on these held-to-maturity PLRMBS, which the Bank believes is evidence of a significant decline in the issuers' creditworthiness. The decline in the issuers' creditworthiness is the basis for the transfers to its available-for-sale portfolio. These transfers allow the Bank the option to sell these securities prior to maturity in response to changes in interest rates, changes in prepayment risk, or other factors, while recognizing the Bank's intent to hold these securities for an indefinite period of time. The Bank does not intend to sell its other-than-temporarily impaired securities and it is not more likely than not that the Bank will be required to sell any security before its anticipated recovery of the remaining amortized cost basis.

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

At each quarter end, the Bank compares the present value of the cash flows expected to be collected on its PLRMBS to the amortized cost basis of the securities to determine whether a credit loss exists. For the Bank's variable rate and hybrid PLRMBS, the Bank uses the effective interest rate derived from a variable rate index (for example, one-month LIBOR) plus the contractual spread, plus or minus a fixed spread adjustment when there is an existing discount or premium on the security. As the implied forward curve of the index changes over time, the effective interest rates derived from that index will also change over time. The Bank then uses the effective interest rate for the security prior to impairment for determining the present value of the future estimated cash flows. For all securities, including securities previously identified as other-than-temporarily impaired, the Bank updates its estimate of future estimated cash flows on a quarterly basis.

For all the PLRMBS in its available-for-sale and held-to-maturity 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.

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Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks (Details) (USD $) In Millions, unless otherwise specified	3 Months Ended				9 Months Ended
	Sep. 30, 2012		Sep. 30, 2011		Sep. 30, 2012		Sep. 30, 2011		Jun. 30, 2012	Dec. 31, 2011		Jun. 30, 2011	Dec. 31, 2010
Assets:
Cash and due from banks	$ 2				$ 2					$ 3,494
Advances	51,825				51,825					68,164
Mortgage loans held for portfolio	1,411				1,411					1,829
Accrued interest receivable	130				130					180
Derivative assets, net	345				345					400
Liabilities:
Deposits	179				179					156
Mandatorily redeemable capital stock	4,770		5,853		4,770		5,853		5,048	5,578		6,144	3,749
Derivative liabilities, net	62				62					73
Notional amount of derivatives	99,553				99,553					129,576
Interest Income:
Advances	124		165		414		527
Mortgage loans held for portfolio	18		31		60		87
Interest Expense:
Mandatorily redeemable capital stock	6	[1]	2	[1]	20	[1]	8	[1]
Other Income/(Loss):
Net gain/(loss) on derivatives and hedging activities	(33)		(165)		(103)		(236)
Other income	2		0		5		3
Certain Members And Certain Nonmembers [Member]
Assets:
Cash and due from banks	1				1					1
Investments	2,545	[2]			2,545	[2]				1,367	[2]
Advances	28,420				28,420					36,689
Mortgage loans held for portfolio	1,177				1,177					1,454
Accrued interest receivable	30				30					33
Derivative assets, net	424				424					522
Total	32,597				32,597					40,066
Liabilities:
Deposits	436				436					527
Mandatorily redeemable capital stock	4,259				4,259					4,960
Derivative liabilities, net	3				3					3
Total	4,698				4,698					5,490
Notional amount of derivatives	17,653				17,653					31,033
Standby letters of credit	142				142					2,736
Interest Income:
Investments	9	[2]	12	[2]	29	[2]	42	[2]
Advances	42	[3]	42	[3]	136	[3]	138	[3]
Mortgage loans held for portfolio	16		20		50		63
Total	67		74		215		243
Interest Expense:
Mandatorily redeemable capital stock	5		2		17		6
Consolidated obligations	(53)	[3]	(105)	[3]	(168)	[3]	(352)	[3]
Total	(48)		(103)		(151)		(346)
Other Income/(Loss):
Net gain/(loss) on derivatives and hedging activities	(46)		(24)		(120)		(167)
Other income	0		1		1		3
Total Other Income/(Loss)	$ (46)		$ (23)		$ (119)		$ (164)
Minimum [Member]
Related Party Transaction [Line Items]
Related Party Transaction, Definition Of Related Party, Capital Stock, Percent	10.00%				10.00%

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

[2] Investments consist of securities purchased under agreements to resell, Federal funds sold, available-for-sale securities, and held-to-maturity securities issued by and/or purchased from the members or nonmembers described in this section or their affiliates.

[3] Reflects the effect of associated derivatives with the members or nonmembers described in this section or their affiliates.

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Held-to-Maturity Securities (Interest Rate Payment Terms) (Details) (USD $) In Millions, unless otherwise specified	Sep. 30, 2012		Dec. 31, 2011
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	$ 18,457	[1]	$ 21,626	[1]
Held-to-maturity securities other than MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	2,270	[1]	5,985	[1]
MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	16,187	[1]	15,641	[1]
Fixed rate [Member] | Held-to-maturity securities other than MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	1,710		5,339
Fixed rate [Member] | Passthrough securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	1,061		1,778
Converts in 1 year or less	198		504
Converts after 1 year through 5 years	565		712
Converts after 5 years through 10 years	282		543
Total	1,045		1,759
Fixed rate [Member] | Collateralized mortgage obligations [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	10,066		8,955
Converts in 1 year or less	155		519
Converts after 1 year through 5 years	547		804
Converts after 5 years through 10 years	29		30
Total	731		1,353
Adjustable rate [Member] | Held-to-maturity securities other than MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	560		646
Adjustable rate [Member] | Passthrough securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	388		158
Adjustable rate [Member] | Collateralized mortgage obligations [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	$ 4,672		$ 4,750

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

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Commitments and Contingencies (Tables)

9 Months Ended

Sep. 30, 2012

Commitments and Contingencies Disclosure [Abstract]

Off-Balance Sheet Commitments [Table Text Block]

Off-balance sheet commitments as of September 30, 2012, and December 31, 2011, were as follows:

	September 30, 2012						December 31, 2011
	Expire Within One Year		Expire After One Year		Total		Expire Within One Year		Expire After One Year		Total
Standby letters of credit outstanding	$	1,305	$	2,147	$	3,452	$	4,227	$	1,087	$	5,314
Commitments to fund additional advances(1)	19		1		20		100		2		102
Unsettled consolidated obligation bonds, par(2)	1,610		—		1,610		200		—		200
Interest rate exchange agreements, traded but not yet settled	1,321		—		1,321		705		—		705

(1) AtSeptember 30, 2012, and December 31, 2011, $16 and $100, respectively, of the commitments to fund additional advances were hedged with associated interest rate swaps.

(2) AtSeptember 30, 2012, and December 31, 2011, $1,305 and $200, respectively, of the unsettled consolidated obligation bonds were hedged with associated interest rate swaps.

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Trading Securities (Tables)

9 Months Ended

Sep. 30, 2012

Schedule of Trading Securities and Other Trading Assets [Line Items]

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

The estimated fair value of trading securities as of September 30, 2012, and December 31, 2011, was as follows:

	September 30, 2012		December 31, 2011
Government-sponsored enterprises (GSEs) – Federal Farm Credit Bank (FFCB) bonds	$	2,961	$	1,867
Temporary Liquidity Guarantee Program (TLGP) securities(1)	563		923
Mortgage-backed securities (MBS):
Other U.S. obligations – Ginnie Mae	16		17
GSEs – Fannie Mae	—		1
Total	$	3,540	$	2,808

(1) TLGP securities represent corporate debentures of the issuing party that are guaranteed by the Federal Deposit Insurance Corporation (FDIC) and backed by the full faith and credit of the U.S. government.

Categories of Investments, Marketable Securities, Trading Securities [Member]

Schedule of Trading Securities and Other Trading Assets [Line Items]

Investments Classified by Contractual Maturity Date [Table Text Block]

The estimated fair value of non-mortgage-backed securities (non-MBS) by contractual maturity (based on contractual final principal payment) and of mortgage-backed securities (MBS) as of

September 30, 2012, and December 31, 2011, is shown below. Expected maturities of MBS will differ from contractual maturities because borrowers generally have the right to prepay the underlying obligations without prepayment fees.

Year of Contractual Maturity	September 30, 2012		December 31, 2011
Trading securities other than MBS:
Due in 1 year or less	$	1,472	$	2,556
Due after 1 year through 5 years	2,052		234
Subtotal	3,524		2,790
MBS:
Other U.S. obligations – Ginnie Mae	16		17
GSEs – Fannie Mae	—		1
Total MBS	16		18
Total	$	3,540	$	2,808

Schedule of Interest Rate Payment Terms For Investments [Table Text Block]

Interest rate payment terms for trading securities at September 30, 2012, and December 31, 2011, are detailed in the following table:

	September 30, 2012		December 31, 2011
Estimated fair value of trading securities other than MBS:
Fixed rate	$	436	$	796
Adjustable rate	3,088		1,994
Subtotal	3,524		2,790
Estimated fair value of trading MBS:
Passthrough securities:
Adjustable rate	16		17
Collateralized mortgage obligations:
Fixed rate	—		1
Subtotal	16		18
Total	$	3,540	$	2,808

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Available-for-Sale Securities (Tables)

9 Months Ended

Sep. 30, 2012

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

Available-for-sale Securities [Table Text Block]

Available-for-sale securities by major security type as of September 30, 2012, and December 31, 2011, were as follows:

September 30, 2012
	Amortized Cost(1)		OTTI Recognized in Accumulated Other Comprehensive Income/(Loss)(AOCI)			Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value
TLGP securities	$	306	$	—		$	—	$	—		$	306
PLRMBS:
Prime	871		(65		)	6		(2		)	810
Alt-A, option ARM	1,270		(283		)	3		—			990
Alt-A, other	6,541		(696		)	25		(7		)	5,863
Total PLRMBS	8,682		(1,044		)	34		(9		)	7,663
Total	$	8,988	$	(1,044	)	$	34	$	(9	)	$	7,969
December 31, 2011
	Amortized Cost(1)		OTTI Recognized in AOCI			Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value
TLGP securities	$	1,924	$	—		$	2	$	—		$	1,926
PLRMBS:
Prime	977		(132		)	—		(13		)	832
Alt-A, option ARM	1,413		(410		)	2		(36		)	969
Alt-A, other	7,133		(1,117		)	—		(130		)	5,886
Total PLRMBS	9,523		(1,659		)	2		(179		)	7,687
Total	$	11,447	$	(1,659	)	$	4	$	(179	)	$	9,613

(1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous other-than-temporary impairments recognized in earnings.

Categories of Investments, Marketable Securities, Available-for-sale Securities [Member]

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

Schedule of Unrealized Loss on Investments [Table Text Block]

The following table summarizes the available-for-sale securities with unrealized losses as of September 30, 2012, and December 31, 2011. The unrealized losses are aggregated by major security type and the length of time that individual securities have been in a continuous unrealized loss position. Total unrealized losses in the following table will not agree to the total gross unrealized losses in the table above. The unrealized losses in the following table also include non-credit-related OTTI losses recognized in accumulated other comprehensive income/loss (AOCI) net of subsequent unrealized gains, up to the amount of non-credit-related OTTI in AOCI. For OTTI analysis of available-for-sale securities, see Note 6 – Other-Than-Temporary Impairment Analysis.

September 30, 2012
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
PLRMBS:
Prime	$	54	$	2	$	616	$	65	$	670	$	67
Alt-A, option ARM	—		—		956		283		956		283
Alt-A, other	43		—		4,935		703		4,978		703
Total PLRMBS	97		2		6,507		1,051		6,604		1,053
Total	$	97	$	2	$	6,507	$	1,051	$	6,604	$	1,053
December 31, 2011
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
TLGP securities	$	274	$	—	$	—	$	—	$	274	$	—
PLRMBS:
Prime	96		2		736		143		832		145
Alt-A, option ARM	—		—		950		446		950		446
Alt-A, other	240		10		5,634		1,237		5,874		1,247
Total PLRMBS	336		12		7,320		1,826		7,656		1,838
Total	$	610	$	12	$	7,320	$	1,826	$	7,930	$	1,838

Investments Classified by Contractual Maturity Date [Table Text Block]

The amortized cost and estimated fair value of non-MBS securities by contractual maturity (based on contractual final principal payment) and of PLRMBS as of September 30, 2012, and December 31, 2011, are shown below. Expected maturities of PLRMBS will differ from contractual maturities because borrowers generally have the right to prepay the underlying obligations without prepayment fees.

	September 30, 2012				December 31, 2011
Year of Contractual Maturity	Amortized Cost		Estimated Fair Value		Amortized Cost		Estimated Fair Value
Available-for-sale securities other than PLRMBS:
Due in 1 year or less	$	306	$	306	$	1,924	$	1,926
PLRMBS:
Prime	871		810		977		832
Alt-A, option ARM	1,270		990		1,413		969
Alt-A, other	6,541		5,863		7,133		5,886
Total PLRMBS	8,682		7,663		9,523		7,687
Total	$	8,988	$	7,969	$	11,447	$	9,613

Schedule of Interest Rate Payment Terms For Investments [Table Text Block]

Interest rate payment terms for available-for-sale securities at September 30, 2012, and December 31, 2011, are shown in the following table:

	September 30, 2012		December 31, 2011
Amortized cost of available-for-sale securities other than PLRMBS:
Adjustable rate	$	306	$	1,924
Amortized cost of available-for-sale PLRMBS:
Collateralized mortgage obligations:
Fixed rate	3,567		4,542
Adjustable rate	5,115		4,981
Subtotal	8,682		9,523
Total	$	8,988	$	11,447

Schedule of Investments With Converted Interest Rate [Table Text Block]

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

	September 30, 2012		December 31, 2011
Collateralized mortgage obligations:
Converts in 1 year or less	$	424	$	920
Converts after 1 year through 5 years	745		748
Converts after 5 years through 10 years	—		175
Total	$	1,169	$	1,843

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Statements of Cash Flows (USD $) In Millions, unless otherwise specified	9 Months Ended
	Sep. 30, 2012	Sep. 30, 2011
Cash Flows from Operating Activities:
Net Income/(Loss)	$ 397	$ 105
Adjustments to reconcile net income/(loss) to net cash provided by operating activities:
Depreciation and amortization	(19)	(65)
Provision for/(reversal of) credit losses on mortgage loans	1	(3)
Change in net fair value adjustment on trading securities	10	4
Change in net fair value adjustment on advances and consolidated obligation bonds held under fair value option	(6)	(52)
Change in net derivatives and hedging activities	(31)	65	[1],[2]
Net OTTI loss, credit-related	34	373
Net change in:
Accrued interest receivable	57	96
Other assets	(4)	29	[3]
Accrued interest payable	18	(33)
Other liabilities	(2)	(82)
Total adjustments	56	338
Net cash provided by/(used in) operating activities	453	443
Net change in:
Interest-bearing deposits	45	0
Securities purchased under agreements to resell	(3,000)	0
Federal funds sold	(2,061)	5,981
Premises, software, and equipment	(4)	(9)
Trading securities:
Proceeds from maturities of long-term	1,310	4
Purchases of long-term	(2,052)	(1,033)
Available-for-sale securities:
Proceeds from maturities of long-term	2,575	525
Held-to-maturity securities:
Net (increase)/decrease in short-term	3,631	5,737
Proceeds from maturities of long-term	3,137	3,598
Purchases of long-term	(3,821)	(5,921)
Advances:
Principal collected	291,699	188,884	[4]
Made to members	(275,426)	(171,647)	[2],[4]
Mortgage loans held for portfolio:
Principal collected	418	394	[3]
Proceeds from sales of foreclosed assets	2	0
Net cash provided by/(used in) investing activities	16,453	26,513
Cash Flows from Financing Activities:
Deposits	(75)	124
Net (payments)/proceeds on derivatives contracts with financing elements	47	59	[1]
Net proceeds from issuance of consolidated obligations:
Bonds	47,680	48,439
Discount notes	30,964	44,866
Bonds transferred from another Federal Home Loan Bank	0	15
Payments for matured and retired consolidated obligations:
Bonds	(57,473)	(70,304)
Discount notes	(40,385)	(47,001)
Proceeds from issuance of capital stock	232	182
Payments for repurchase/redemption of mandatorily redeemable capital stock	(816)	(582)
Payments for repurchase/redemption of capital stock	(555)	(844)
Cash dividends paid	(17)	(19)
Net cash provided by/(used in) financing activities	(20,398)	(25,065)
Net increase/(decrease) in cash and due from banks	(3,492)	1,891
Cash and due from banks at beginning of the period	3,494	755
Cash and due from banks at end of period	2	2,646
Supplemental Disclosures:
Interest paid	471	591
Affordable Housing Program payments	49	31
REFCORP payments	0	54
Supplemental Disclosures of Noncash Investing Activities:
Transfers of mortgage loans to real estate owned	3	5
Transfers of OTTI held-to-maturity securities to available-for-sale securities	$ 134	$ 7,788

[1] Understated the amount of derivatives that contained a financing element.

[2] Misclassification of non-cash deferred basis adjustments on advances made.

[3] Misclassified the amount of loans transferred to real estate owned because of the misclassification as principal collected on mortgage loans.

[4] Overstated the amount of principal collected and advances made to members because of the inclusion of modified advances as new advances made to members.

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Held-to-Maturity Securities (Tables)

9 Months Ended

Sep. 30, 2012

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

Held-to-maturity Securities [Table Text Block]

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

September 30, 2012
	Amortized Cost(1)		OTTI Recognized in AOCI(1)			Carrying Value(1)		Gross Unrecognized Holding Gains(2)		Gross Unrecognized Holding Losses(2)			Estimated Fair Value
Interest-bearing deposits	$	1,000	$	—		$	1,000	$	—	$	—		$	1,000
Commercial paper	710		—			710		—		—			710
Housing finance agency bonds	560		—			560		—		(114		)	446
Subtotal	2,270		—			2,270		—		(114		)	2,156
MBS:
Other U.S. obligations – Ginnie Mae	183		—			183		9		—			192
GSEs:
Freddie Mac	5,061		—			5,061		165		(1		)	5,225
Fannie Mae	7,839		—			7,839		275		(4		)	8,110
Subtotal GSEs	12,900		—			12,900		440		(5		)	13,335
PLRMBS:
Prime	1,848		—			1,848		—		(85		)	1,763
Alt-A, option ARM	42		—			42		—		(11		)	31
Alt-A, other	1,214		(36		)	1,178		20		(76		)	1,122
Subtotal PLRMBS	3,104		(36		)	3,068		20		(172		)	2,916
Total MBS	16,187		(36		)	16,151		469		(177		)	16,443
Total	$	18,457	$	(36	)	$	18,421	$	469	$	(291	)	$	18,599

December 31, 2011
	Amortized Cost(1)		OTTI Recognized in AOCI(1)			Carrying Value(1)		Gross Unrecognized Holding Gains(2)		Gross Unrecognized Holding Losses(2)			Estimated Fair Value
Interest-bearing deposits	$	3,539	$	—		$	3,539	$	—	$	—		$	3,539
Commercial paper	1,800		—			1,800		—		—			1,800
Housing finance agency bonds	646		—			646		—		(136		)	510
Subtotal	5,985		—			5,985		—		(136		)	5,849
MBS:
Other U.S. obligations – Ginnie Mae	217		—			217		9		—			226
GSEs:
Freddie Mac	3,374		—			3,374		133		—			3,507
Fannie Mae	8,314		—			8,314		316		(12		)	8,618
Subtotal GSEs	11,688		—			11,688		449		(12		)	12,125
PLRMBS:
Prime	2,201		—			2,201		1		(249		)	1,953
Alt-A, option ARM	46		—			46		—		(17		)	29
Alt-A, other	1,489		(45		)	1,444		14		(226		)	1,232
Subtotal PLRMBS	3,736		(45		)	3,691		15		(492		)	3,214
Total MBS	15,641		(45		)	15,596		473		(504		)	15,565
Total	$	21,626	$	(45	)	$	21,581	$	473	$	(640	)	$	21,414

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

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

Categories of Investments, Marketable Securities, Held-to-maturity Securities [Member]

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

Schedule of Unrealized Loss on Investments [Table Text Block]

The following tables summarize the held-to-maturity securities with unrealized losses as of September 30, 2012, and December 31, 2011. The unrealized losses are aggregated by major security type and the length of time that individual securities have been in a continuous unrealized loss position. Total unrealized losses in the following table will not agree to the total gross unrecognized losses in the table above. The unrealized losses in the following table also include non-credit-related OTTI losses recognized in AOCI. For OTTI analysis of held-to-maturity securities, see Note 6 – Other-Than-Temporary Impairment Analysis.

September 30, 2012
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
Interest-bearing deposits	$	1,000	$	—	$	—	$	—	$	1,000	$	—
Commercial paper	710		—		—		—		710		—
Housing finance agency bonds	—		—		446		114		446		114
Subtotal	1,710		—		446		114		2,156		114
MBS:
Other U.S. obligations – Ginnie Mae	—		—		3		—		3		—
GSEs:
Freddie Mac	291		1		14		—		305		1
Fannie Mae	63		—		256		4		319		4
Subtotal GSEs	354		1		270		4		624		5
PLRMBS:
Prime	90		2		1,547		83		1,637		85
Alt-A, option ARM	—		—		31		11		31		11
Alt-A, other	—		—		1,106		112		1,106		112
Subtotal PLRMBS	90		2		2,684		206		2,774		208
Total MBS	444		3		2,957		210		3,401		213
Total	$	2,154	$	3	$	3,403	$	324	$	5,557	$	327

December 31, 2011
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
Interest-bearing deposits	$	3,539	$	—	$	—	$	—	$	3,539	$	—
Commercial paper	300		—		—		—		300		—
Housing finance agency bonds	—		—		510		136		510		136
Subtotal	3,839		—		510		136		4,349		136
MBS:
Other U.S. obligations – Ginnie Mae	—		—		4		—		4		—
GSEs:
Freddie Mac	1		—		24		—		25		—
Fannie Mae	223		3		201		9		424		12
Subtotal GSEs	224		3		225		9		449		12
PLRMBS:
Prime	180		5		1,676		244		1,856		249
Alt-A, option ARM	—		—		29		17		29		17
Alt-A, other	—		—		1,206		271		1,206		271
Subtotal PLRMBS	180		5		2,911		532		3,091		537
Total MBS	404		8		3,140		541		3,544		549
Total	$	4,243	$	8	$	3,650	$	677	$	7,893	$	685

Investments Classified by Contractual Maturity Date [Table Text Block]

The amortized cost, carrying value, and estimated fair value of non-MBS securities by contractual maturity (based on contractual final principal payment) and of MBS as of September 30, 2012, and December 31, 2011, are shown below. Expected maturities of MBS will differ from contractual maturities because borrowers generally have the right to prepay the underlying obligations without prepayment fees.

September 30, 2012
Year of Contractual Maturity	Amortized Cost(1)		Carrying Value(1)		Estimated Fair Value
Held-to-maturity securities other than MBS:
Due in 1 year or less	$	1,710	$	1,710	$	1,710
Due after 1 year through 5 years	19		19		18
Due after 5 years through 10 years	47		47		41
Due after 10 years	494		494		387
Subtotal	2,270		2,270		2,156
MBS:
Other U.S. obligations – Ginnie Mae	183		183		192
GSEs:
Freddie Mac	5,061		5,061		5,225
Fannie Mae	7,839		7,839		8,110
Subtotal GSEs	12,900		12,900		13,335
PLRMBS:
Prime	1,848		1,848		1,763
Alt-A, option ARM	42		42		31
Alt-A, other	1,214		1,178		1,122
Subtotal PLRMBS	3,104		3,068		2,916
Total MBS	16,187		16,151		16,443
Total	$	18,457	$	18,421	$	18,599

December 31, 2011
Year of Contractual Maturity	Amortized Cost(1)		Carrying Value(1)		Estimated Fair Value
Held-to-maturity securities other than MBS:
Due in 1 year or less	$	5,342	$	5,342	$	5,342
Due after 5 years through 10 years	23		23		21
Due after 10 years	620		620		486
Subtotal	5,985		5,985		5,849
MBS:
Other U.S. obligations – Ginnie Mae	217		217		226
GSEs:
Freddie Mac	3,374		3,374		3,507
Fannie Mae	8,314		8,314		8,618
Subtotal GSEs	11,688		11,688		12,125
PLRMBS:
Prime	2,201		2,201		1,953
Alt-A, option ARM	46		46		29
Alt-A, other	1,489		1,444		1,232
Subtotal PLRMBS	3,736		3,691		3,214
Total MBS	15,641		15,596		15,565
Total	$	21,626	$	21,581	$	21,414

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

Schedule of Interest Rate Payment Terms For Investments [Table Text Block]

Interest rate payment terms for held-to-maturity securities at September 30, 2012, and December 31, 2011, are detailed in the following table:

	September 30, 2012		December 31, 2011
Amortized cost of held-to-maturity securities other than MBS:
Fixed rate	$	1,710	$	5,339
Adjustable rate	560		646
Subtotal	2,270		5,985
Amortized cost of held-to-maturity MBS:
Passthrough securities:
Fixed rate	1,061		1,778
Adjustable rate	388		158
Collateralized mortgage obligations:
Fixed rate	10,066		8,955
Adjustable rate	4,672		4,750
Subtotal	16,187		15,641
Total	$	18,457	$	21,626

Schedule of Investments With Converted Interest Rate [Table Text Block]

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

	September 30, 2012		December 31, 2011
Passthrough securities:
Converts in 1 year or less	$	198	$	504
Converts after 1 year through 5 years	565		712
Converts after 5 years through 10 years	282		543
Total	$	1,045	$	1,759
Collateralized mortgage obligations:
Converts in 1 year or less	$	155	$	519
Converts after 1 year through 5 years	547		804
Converts after 5 years through 10 years	29		30
Total	$	731	$	1,353

XML

Capital (Mandatorily Redeemable Capital Stock) (Details) (USD $) In Millions, unless otherwise specified	3 Months Ended				9 Months Ended					0 Months Ended		3 Months Ended
	Sep. 30, 2012 Institutions		Sep. 30, 2011		Sep. 30, 2012 Institutions		Sep. 30, 2011		Dec. 31, 2011 Institutions	Jun. 28, 2011 Citibank N.A. [Member]		Mar. 31, 2011 JPMorgan Bank And Trust Company National Association [Member]
Capital [Line Items]
Financial Instruments Subject to Mandatory Redemption, Number of Institutions	52				52				53
Mandatorily Redeemable Capital Stock [Roll Forward]
Balance at the beginning of the period	$ 5,048		$ 6,144		$ 5,578		$ 3,749
Merger with or acquisition by nonmember institution	1		6		1		19
Financial Instruments Subject to Mandatory Redemption, Reclassification, Withdrawal From Membership	3		0		3		0
Termination of membership	0		0		4		3,167			3,165	[1]
Acquired by/transferred to members	0		0		0		500					(500)	[2]
Redemption of mandatorily redeemable capital stock	22		25		28		51
Repurchase of excess mandatorily redeemable capital stock	260		272		788		531
Balance at the end of the period	4,770		5,853		4,770		5,853
Mandatorily redeemable capital stock	6	[3]	2	[3]	20	[3]	8	[3]
Within 1 year	824				824				49
After 1 year through 2 years	153				153				1,086
After 2 years through 3 years	1,102				1,102				1,288
After 3 years through 4 years	2,682				2,682				250
After 4 years through 5 years	9				9				2,905
Total	$ 4,770		$ 5,853		$ 4,770		$ 5,853

[1] The Bank reclassified $3,165 of capital stock to mandatorily redeemable capital stock (a liability) on June 28, 2011, as a result of the membership termination of Citibank, N.A., which became ineligible for membership in the Bank when it became a member of another Federal Home Loan Bank in connection with its planned merger with an affiliate outside of the Bank's district.

[2] During 2008, JPMorgan Chase Bank, National Association, a nonmember, assumed Washington Mutual Bank's outstanding Bank advances and acquired the associated Bank capital stock. The Bank reclassified the capital stock transferred to JPMorgan Chase Bank, National Association to mandatorily redeemable capital stock (a liability). JPMorgan Bank and Trust Company, National Association, an affiliate of JPMorgan Chase Bank, National Association, became a member of the Bank. During the first quarter of 2011, the Bank allowed the transfer of excess capital stock totaling $500 from JPMorgan Chase Bank, National Association, to JPMorgan Bank and Trust Company, National Association, to enable JPMorgan Bank and Trust Company, National Association, to satisfy its activity-based stock requirement. The capital stock transferred is no longer classified as mandatorily redeemable capital stock (a liability). However, the capital stock remaining with JPMorgan Chase Bank, National Association, remains classified as mandatorily redeemable capital stock (a liability).

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

XML

Capital (Tables)

9 Months Ended

Sep. 30, 2012

Capital [Abstract]

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

As of September 30, 2012, and December 31, 2011, the Bank was in compliance with these capital rules and requirements as shown in the following table.  

	September 30, 2012						December 31, 2011
	Required			Actual			Required			Actual
Risk-based capital	$	4,024		$	11,417		$	4,915		$	12,176
Total regulatory capital	$	3,768		$	11,417		$	4,542		$	12,176
Total regulatory capital ratio	4.00		%	12.12		%	4.00		%	10.72		%
Leverage capital	$	4,709		$	17,125		$	5,678		$	18,264
Leverage ratio	5.00		%	18.18		%	5.00		%	16.08		%

Schedule of Mandatorily Redeemable Capital Stock [Table Text Block]

The change in mandatorily redeemable capital stock for the three and nine months ended September 30, 2012 and 2011, was as follows:

	Three Months Ended						Nine Months Ended
	September 30, 2012			September 30, 2011			September 30, 2012			September 30, 2011
Balance at the beginning of the period	$	5,048		$	6,144		$	5,578		$	3,749
Reclassified from/(to) capital during the period:
Merger with or acquisition by nonmember institution	1			6			1			19
Withdrawal from membership	3			—			3			—
Termination of membership(1)	—			—			4			3,167
Acquired by/transferred to members(2)	—			—			—			(500		)
Redemption of mandatorily redeemable capital stock	(22		)	(25		)	(28		)	(51		)
Repurchase of excess mandatorily redeemable capital stock	(260		)	(272		)	(788		)	(531		)
Balance at the end of the period	$	4,770		$	5,853		$	4,770		$	5,853

(1) The Bank reclassified $3,165 of capital stock to mandatorily redeemable capital stock (a liability) on June 28, 2011, as a result of the membership termination of Citibank, N.A., which became ineligible for membership in the Bank when it became a member of another Federal Home Loan Bank in connection with its planned merger with an affiliate outside of the Bank's district.

(2) During 2008, JPMorgan Chase Bank, National Association, a nonmember, assumed Washington Mutual Bank's outstanding Bank advances and acquired the associated Bank capital stock. The Bank reclassified the capital stock transferred to JPMorgan Chase Bank, National Association to mandatorily redeemable capital stock (a liability). JPMorgan Bank and Trust Company, National Association, an affiliate of JPMorgan Chase Bank, National Association, became a member of the Bank. During the first quarter of 2011, the Bank allowed the transfer of excess capital stock totaling $500 from JPMorgan Chase Bank, National Association, to JPMorgan Bank and Trust Company, National Association, to enable JPMorgan Bank and Trust Company, National Association, to satisfy its activity-based stock requirement. The capital stock transferred is no longer classified as mandatorily redeemable capital stock (a liability). However, the capital stock remaining with JPMorgan Chase Bank, National Association, remains classified as mandatorily redeemable capital stock (a liability).

Schedule of Mandatorily Redeemable Capital Stock by Maturity Date [Table Text Block]

The following table presents mandatorily redeemable capital stock amounts by contractual redemption period at September 30, 2012, and December 31, 2011.

Contractual Redemption Period	September 30, 2012		December 31, 2011
Within 1 year	$	824	$	49
After 1 year through 2 years	153		1,086
After 2 years through 3 years	1,102		1,288
After 3 years through 4 years	2,682		250
After 4 years through 5 years	9		2,905
Total	$	4,770	$	5,578

Schedule of Restricted Retained Earnings [Table Text Block]

The following table summarizes the activity related to restricted retained earnings for the three and nine months ended September 30, 2012 and 2011:

	Three Months Ended
	September 30, 2012									September 30, 2011
	Restricted Retained Earnings Related to:									Restricted Retained Earnings Related to:
	Valuation Adjustments			Targeted Buildup		Joint Capital Enhancement Agreement		Total		Valuation Adjustments			Targeted Buildup		Joint Capital Enhancement Agreement		Total
Balance at beginning of the period	$	72		$	1,800	$	82	$	1,954	$	130		$	1,535	$	—	$	1,665
Transfers to/(from) restricted retained earnings	(2		)	—		27		25		(44		)	67		7		30
Balance at end of the period	$	70		$	1,800	$	109	$	1,979	$	86		$	1,602	$	7	$	1,695

	Nine Months Ended
	September 30, 2012									September 30, 2011
	Restricted Retained Earnings Related to:									Restricted Retained Earnings Related to:
	Valuation Adjustments			Targeted Buildup		Joint Capital Enhancement Agreement		Total		Valuation Adjustments			Targeted Buildup		Joint Capital Enhancement Agreement		Total
Balance at beginning of the period	$	79		$	1,695	$	29	$	1,803	$	148		$	1,461	$	—	$	1,609
Transfers to/(from) restricted retained earnings	(9		)	105		80		176		(62		)	141		7		86
Balance at end of the period	$	70		$	1,800	$	109	$	1,979	$	86		$	1,602	$	7	$	1,695

Schedule of Concentration in Capital Stock Held [Table Text Block]

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 September 30, 2012, and December 31, 2011.

	September 30, 2012				December 31, 2011
Name of Institution	Capital Stock Outstanding		Percentage of Total Capital Stock Outstanding		Capital Stock Outstanding		Percentage of Total Capital Stock Outstanding
Citigroup Inc.:
Citibank, N.A.(1)	$	2,476	27	%	$	2,884	28	%
Banamex USA	2		—		2		—
Subtotal Citigroup Inc.	2,478		27		2,886		28
JPMorgan Chase & Co.:
JPMorgan Bank & Trust Company, National Association	1,150		13		1,340		13
JPMorgan Chase Bank, National Association(1)	766		8		893		9
Subtotal JPMorgan Chase & Co.	1,916		21		2,233		22
Wells Fargo & Company:
Wells Fargo Bank, N.A.(1)	1,016		11		1,183		11
Wells Fargo Financial National Bank	4		—		4		—
Subtotal Wells Fargo & Company	1,020		11		1,187		11
Total capital stock ownership over 10%	5,414		59		6,306		61
Others	3,820		41		4,067		39
Total	$	9,234	100	%	$	10,373	100	%

(1) The capital stock held by these institutions is classified as mandatorily redeemable capital stock.

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Held-to-Maturity Securities (Classification of Held-to-Maturity Securities) (Details) (USD $) In Millions, unless otherwise specified	Sep. 30, 2012		Dec. 31, 2011
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	$ 18,457	[1]	$ 21,626	[1]
OTTI Recognized in AOCI	(36)	[1]	(45)	[1]
Carrying Value	18,421	[1],[2]	21,581	[1],[2]
Gross Unrecognized Holding Gains	469	[3]	473	[3]
Gross Unrecognized Holding Losses	(291)	[3]	(640)	[3]
Estimated Fair Value	18,599		21,414
Held-to-maturity securities other than MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	2,270	[1]	5,985	[1]
OTTI Recognized in AOCI	0	[1]	0	[1]
Carrying Value	2,270	[1]	5,985	[1]
Gross Unrecognized Holding Gains	0	[3]	0	[3]
Gross Unrecognized Holding Losses	(114)	[3]	(136)	[3]
Estimated Fair Value	2,156		5,849
Interest-bearing deposits [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	1,000	[1]	3,539	[1]
OTTI Recognized in AOCI	0	[1]	0	[1]
Carrying Value	1,000	[1]	3,539	[1]
Gross Unrecognized Holding Gains	0	[3]	0	[3]
Gross Unrecognized Holding Losses	0	[3]	0	[3]
Estimated Fair Value	1,000		3,539
Commercial paper [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	710	[1]	1,800	[1]
OTTI Recognized in AOCI	0	[1]	0	[1]
Carrying Value	710	[1]	1,800	[1]
Gross Unrecognized Holding Gains	0	[3]	0	[3]
Gross Unrecognized Holding Losses	0	[3]	0	[3]
Estimated Fair Value	710		1,800
Housing finance agency bonds [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	560	[1]	646	[1]
OTTI Recognized in AOCI	0	[1]	0	[1]
Carrying Value	560	[1]	646	[1]
Gross Unrecognized Holding Gains	0	[3]	0	[3]
Gross Unrecognized Holding Losses	(114)	[3]	(136)	[3]
Estimated Fair Value	446		510
MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	16,187	[1]	15,641	[1]
OTTI Recognized in AOCI	(36)	[1]	(45)	[1]
Carrying Value	16,151	[1]	15,596	[1]
Gross Unrecognized Holding Gains	469	[3]	473	[3]
Gross Unrecognized Holding Losses	(177)	[3]	(504)	[3]
Estimated Fair Value	16,443		15,565
Other U.S. obligations – Ginnie Mae [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	183	[1]	217	[1]
OTTI Recognized in AOCI	0	[1]	0	[1]
Carrying Value	183	[1]	217	[1]
Gross Unrecognized Holding Gains	9	[3]	9	[3]
Gross Unrecognized Holding Losses	0	[3]	0	[3]
Estimated Fair Value	192		226
Subtotal GSEs [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	12,900	[1]	11,688	[1]
OTTI Recognized in AOCI	0	[1]	0	[1]
Carrying Value	12,900	[1]	11,688	[1]
Gross Unrecognized Holding Gains	440	[3]	449	[3]
Gross Unrecognized Holding Losses	(5)	[3]	(12)	[3]
Estimated Fair Value	13,335		12,125
Freddie Mac [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	5,061	[1]	3,374	[1]
OTTI Recognized in AOCI	0	[1]	0	[1]
Carrying Value	5,061	[1]	3,374	[1]
Gross Unrecognized Holding Gains	165	[3]	133	[3]
Gross Unrecognized Holding Losses	(1)	[3]	0	[3]
Estimated Fair Value	5,225		3,507
Fannie Mae [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	7,839	[1]	8,314	[1]
OTTI Recognized in AOCI	0	[1]	0	[1]
Carrying Value	7,839	[1]	8,314	[1]
Gross Unrecognized Holding Gains	275	[3]	316	[3]
Gross Unrecognized Holding Losses	(4)	[3]	(12)	[3]
Estimated Fair Value	8,110		8,618
PLRMBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	3,104	[1]	3,736	[1]
OTTI Recognized in AOCI	(36)	[1]	(45)	[1]
Carrying Value	3,068	[1]	3,691	[1]
Gross Unrecognized Holding Gains	20	[3]	15	[3]
Gross Unrecognized Holding Losses	(172)	[3]	(492)	[3]
Estimated Fair Value	2,916		3,214
PLRMBS [Member] | Prime [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	1,848	[1]	2,201	[1]
OTTI Recognized in AOCI	0	[1]	0	[1]
Carrying Value	1,848	[1]	2,201	[1]
Gross Unrecognized Holding Gains	0	[3]	1	[3]
Gross Unrecognized Holding Losses	(85)	[3]	(249)	[3]
Estimated Fair Value	1,763		1,953
PLRMBS [Member] | Alt-A, option ARM [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	42	[1]	46	[1]
OTTI Recognized in AOCI	0	[1]	0	[1]
Carrying Value	42	[1]	46	[1]
Gross Unrecognized Holding Gains	0	[3]	0	[3]
Gross Unrecognized Holding Losses	(11)	[3]	(17)	[3]
Estimated Fair Value	31		29
PLRMBS [Member] | Alt-A, other [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	1,214	[1]	1,489	[1]
OTTI Recognized in AOCI	(36)	[1]	(45)	[1]
Carrying Value	1,178	[1]	1,444	[1]
Gross Unrecognized Holding Gains	20	[3]	14	[3]
Gross Unrecognized Holding Losses	(76)	[3]	(226)	[3]
Estimated Fair Value	$ 1,122		$ 1,232

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

[2] Includes $20 at September 30, 2012, and $33 at December 31, 2011, pledged as collateral that may be repledged.

[3] Gross unrecognized holding gains/(losses) represent the difference between estimated fair value and carrying value.

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Allowance for Credit Losses (By Impairment Methodology) (Details) (USD $) In Millions, unless otherwise specified	Sep. 30, 2012		Jun. 30, 2012	Dec. 31, 2011		Sep. 30, 2011	Jun. 30, 2011	Dec. 31, 2010
Allowance for Credit Losses [Abstract]
Individually evaluated for impairment	$ 4			$ 4
Collectively evaluated for impairment	0			2
Allowance for credit losses on mortgage loans	4		4	6		5	6	3
Individually evaluated for impairment	32			40
Collectively evaluated for impairment	1,389			1,804
Financing Receivable, Gross	$ 1,421	[1]		$ 1,844	[1]

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

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Statements of Condition (USD $) In Millions, unless otherwise specified	Sep. 30, 2012		Dec. 31, 2011
Assets:
Cash and due from banks	$ 2		$ 3,494
Securities purchased under agreements to resell	3,000		0
Federal funds sold	7,427		5,366
Trading securities	3,540	[1]	2,808	[1]
Available-for-sale securities	7,969	[1]	9,613	[1]
Held-to-maturity securities (fair values were $18,599 and $21,414, respectively)	18,421	[2],[3]	21,581	[2],[3]
Advances (includes $7,385 and $8,684 at fair value under the fair value option, respectively)	51,825		68,164
Mortgage loans held for portfolio, net of allowance for credit losses of $4 and $6, respectively	1,411		1,829
Accrued interest receivable	130		180
Premises, software, and equipment, net	26		30
Derivative assets, net	345		400
Other assets	93		87
Total Assets	94,189		113,552
Liabilities:
Deposits	179		156
Consolidated obligations:
Bonds (includes $28,972 and $15,712 at fair value under the fair value option, respectively)	73,371		83,350
Discount notes	9,728		19,152
Total consolidated obligations	83,099		102,502
Mandatorily redeemable capital stock	4,770		5,578
Accrued interest payable	260		241
Affordable Housing Program payable	147		150
Derivative liabilities, net	62		73
Other liabilities	92		147
Total Liabilities	88,609		108,847
Commitments and Contingencies (Note 17)
Capital:
Capital stock-Class B-Putable ($100 par value) issued and outstanding: 45 shares and 48 shares, respectively	4,464		4,795
Unrestricted retained earnings	204		0
Restricted retained earnings	1,979		1,803
Total Retained Earnings	2,183		1,803
Accumulated other comprehensive income/(loss)	(1,067)		(1,893)
Total Capital	5,580		4,705
Total Liabilities and Capital	$ 94,189		$ 113,552

[1] At September 30, 2012, and December 31, 2011, none of these securities were pledged as collateral that may be repledged.

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

[3] Includes $20 at September 30, 2012, and $33 at December 31, 2011, pledged as collateral that may be repledged.

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

9 Months Ended

Sep. 30, 2012

Related Party Transactions [Abstract]

Related Party Transactions, by Balance Sheet Grouping [Table Text Block]

The following tables set forth information at the dates and for the periods indicated with respect to transactions with: (i) members and nonmembers holding more than 10% of the outstanding shares of the Bank's capital stock, including mandatorily redeemable capital stock, at each respective period end, (ii) members that had an officer or director serving on the Bank's Board of Directors at any time during the periods indicated, and (iii) affiliates of the foregoing members and nonmembers. All transactions with members, the nonmembers described in the preceding sentence, and their respective affiliates are entered into in the normal course of business. The tables include securities transactions where certain members, nonmembers and their affiliates (as described above) are the issuers or obligors of the securities, but do not include securities purchased, sold or issued through, or otherwise underwritten by, affiliates of certain members and nonmembers. The tables also do not include any AHP awards. Securities purchased, sold or issued through, or otherwise underwritten by, and AHP awards provided to, the affiliates of certain members and nonmembers are in the ordinary course of the Bank's business.

	September 30, 2012		December 31, 2011
Assets:
Cash and due from banks	$	1	$	1
Investments(1)	2,545		1,367
Advances	28,420		36,689
Mortgage loans held for portfolio	1,177		1,454
Accrued interest receivable	30		33
Derivative assets, net	424		522
Total Assets	$	32,597	$	40,066
Liabilities:
Deposits	$	436	$	527
Mandatorily redeemable capital stock	4,259		4,960
Derivative liabilities, net	3		3
Total Liabilities	$	4,698	$	5,490
Notional amount of derivatives	$	17,653	$	31,033
Standby letters of credit	142		2,736

(1) Investments consist of securities purchased under agreements to resell, Federal funds sold, available-for-sale securities, and held-to-maturity securities issued by and/or purchased from the members or nonmembers described in this section or their affiliates.

Related Party Transactions, Income Statement [Table Text Block]

	Three Months Ended						Nine Months Ended
	September 30, 2012			September 30, 2011			September 30, 2012			September 30, 2011
Interest Income:
Investments(1)	$	9		$	12		$	29		$	42
Advances(2)	42			42			136			138
Mortgage loans held for portfolio	16			20			50			63
Total Interest Income	$	67		$	74		$	215		$	243
Interest Expense:
Mandatorily redeemable capital stock	$	5		$	2		$	17		$	6
Consolidated obligations(2)	(53		)	(105		)	(168		)	(352		)
Total Interest Expense	$	(48	)	$	(103	)	$	(151	)	$	(346	)
Other Income/(Loss):
Net gain/(loss) on derivatives and hedging activities	$	(46	)	$	(24	)	$	(120	)	$	(167	)
Other income	—			1			1			3
Total Other Income/(Loss)	$	(46	)	$	(23	)	$	(119	)	$	(164	)

(1) Investments consist of securities purchased under agreements to resell, Federal funds sold, available-for-sale securities, and held-to-maturity securities issued by and/or purchased from the members or nonmembers described in this section or their affiliates.

(2) Reflects the effect of associated derivatives with the members or nonmembers described in this section or their affiliates.

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Fair Value (Level 3) (Details) (USD $) In Millions, unless otherwise specified	3 Months Ended				9 Months Ended
	Sep. 30, 2012		Sep. 30, 2011		Sep. 30, 2012		Sep. 30, 2011
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Net OTTI loss, credit-related	$ (4)	[1]	$ (100)	[1]	$ (34)	[1]	$ (361)	[1]
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | PLRMBS [Member]
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Balance, beginning of period	7,409		7,855		7,687		0
Interest income	(2)		(4)		(11)		(7)
Net OTTI loss, credit-related	(4)		(97)		(34)		(201)
Unrealized gain/(loss) of other-than temporarily impaired securities included in AOCI	513		(32)		844		944
Settlements	(332)		(296)		(957)		(525)
Transfers of held-to-maturity to available-for-sale securities	79		573		134		7,788
Balance, end of period	7,663		7,999		7,663		7,999
Total amount of gain/(loss) for the period included in earnings attributable to the change in unrealized gains/losses relating to assets and liabilities still held at the end of the period	$ (6)		$ (101)		$ (45)		$ (208)

[1] For the three months ended September 30, 2012, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to July 1, 2012. For the three months ended September 30, 2011, “securities for which OTTI was previously recognized” represents all securities that were also previously other-than-temporarily impaired prior to July 1, 2011. For the nine months ended September 30, 2012, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2012. For the nine months ended September 30, 2011, “securities for which OTTI was previously recognized” represents all securities that were also previously other-than-temporarily impaired prior to January 1, 2011.

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Statements of Capital Accounts (USD $) In Millions	Total	Common Stock [Member]	Retained Earnings [Member]	Restricted [Member]	Unrestricted [Member]	Accumulated Other Comprehensive Income/(Loss) [Member]
Balance at Dec. 31, 2010	$ 6,948	$ 8,282	$ 1,609	$ 1,609	$ 0	$ (2,943)
Balance, Shares at Dec. 31, 2010	83
Issuance of capital stock, shares	2
Issuance of capital stock, value	182	182
Repurchase/redemption of capital stock, shares	(9)
Repurchase/redemption of capital stock, value	(844)	(844)
Capital stock reclassfied from/(to) mandatorily redeemable capital stock, net, shares	(27)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net, value	(2,686)	(2,686)
Comprehensive income/(loss)	1,276		105	86	19	1,171
Cash dividends paid on capital stock	(19)		(19)	0	(19)
Balance at Sep. 30, 2011	4,857	4,934	1,695	1,695	0	(1,772)
Balance, Shares at Sep. 30, 2011	49
Balance at Dec. 31, 2011	4,705	4,795	1,803	1,803	0	(1,893)
Balance, Shares at Dec. 31, 2011	48
Issuance of capital stock, shares	2
Issuance of capital stock, value	232	232
Repurchase/redemption of capital stock, shares	(5)
Repurchase/redemption of capital stock, value	(555)	(555)
Capital stock reclassfied from/(to) mandatorily redeemable capital stock, net, shares	0
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net, value	(8)	(8)
Comprehensive income/(loss)	1,223		397	176	221	826
Cash dividends paid on capital stock	(17)		(17)	0	(17)
Balance at Sep. 30, 2012	$ 5,580	$ 4,464	$ 2,183	$ 1,979	$ 204	$ (1,067)
Balance, Shares at Sep. 30, 2012	45

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Fair Value (Summary of Valuation Methodologies and Primary Inputs) (Details)	Sep. 30, 2012 price
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items]
Number of third-party vendor prices received	4
MBS [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items]
Number of designated third-party pricing vendors	4
Four vendor prices received [Member] | MBS [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items]
Number of third-party vendor prices received	4
Median price, number of prices	2
Three vendor prices received [Member] | MBS [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items]
Number of third-party vendor prices received	3
Two vendor prices received [Member] | MBS [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items]
Number of third-party vendor prices received	2
Median price, number of prices	2
One vendor price received [Member] | MBS [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items]
Number of third-party vendor prices received	1

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Other-Than-Temporary Impairment Analysis (Credit- and Non-Credit-Related OTTI) (Details) (USD $) In Millions, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2012	Sep. 30, 2011	Sep. 30, 2012	Sep. 30, 2011
Other than Temporary Impairment, Disclosure [Line Items]
Net OTTI loss, credit-related	$ (4)	$ (101)	$ (34)	$ (373)
Non-Credit-Related OTTI	13	37	12	(31)
Total other-than-temporary impairment (OTTI) loss	(17)	(138)	(46)	(342)
Accretion of non-credit-related OTTI loss	2	10	7	263
PLRMBS [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Net OTTI loss, credit-related	(4)	(101)	(34)	(373)
Non-Credit-Related OTTI	13	37	12	(31)
Total other-than-temporary impairment (OTTI) loss	(17)	(138)	(46)	(342)
Accretion of non-credit-related OTTI loss			7	263
PLRMBS [Member] | Prime [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Net OTTI loss, credit-related	(1)	(4)	(1)	(33)
Non-Credit-Related OTTI	2	7	2	(9)
Total other-than-temporary impairment (OTTI) loss	(3)	(11)	(3)	(24)
PLRMBS [Member] | Alt-A, option ARM [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Net OTTI loss, credit-related	(1)	(12)	(7)	(100)
Non-Credit-Related OTTI	(2)	(7)	(3)	(77)
Total other-than-temporary impairment (OTTI) loss	1	(5)	(4)	(23)
PLRMBS [Member] | Alt-A, other [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Net OTTI loss, credit-related	(2)	(85)	(26)	(240)
Non-Credit-Related OTTI	13	37	13	55
Total other-than-temporary impairment (OTTI) loss	$ (15)	$ (122)	$ (39)	$ (295)

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Commitments and Contingencies (Details) (USD $) In Millions, unless otherwise specified	9 Months Ended
	Sep. 30, 2012 bank		Dec. 31, 2011
Loss Contingencies [Line Items]
Number of FHLBanks	12
Total consolidated obligations, par	$ 81,965		$ 101,204
Standby Letters Of Credit, Final Expiration	2022
Standby letters of credit	92		147
Assets Pledged as Collateral	24		82
Held-to-maturity securities pledged as collateral that may be repledged	20		33
Cash Collateral Held	4		49
FHLBanks [Member]
Loss Contingencies [Line Items]
Total consolidated obligations, par	674,487		691,868
Standby letters of credit outstanding [Member]
Loss Contingencies [Line Items]
Expire Within One Year	1,305		4,227
Expire AfterOne Year	2,147		1,087
Total	3,452		5,314
Standby letters of credit	11		6
Commitments to fund additional advances [Member]
Loss Contingencies [Line Items]
Expire Within One Year	19		100
Expire AfterOne Year	1		2
Total	20	[1]	102	[1]
Unsettled consolidated obligation bonds, par [Member]
Loss Contingencies [Line Items]
Expire Within One Year	1,610		200
Expire AfterOne Year	0		0
Total	1,610	[2]	200	[2]
Interest rate exchange agreements, traded but not yet settled [Member]
Loss Contingencies [Line Items]
Expire Within One Year	1,321		705
Expire AfterOne Year	0		0
Total	1,321		705
Interest rate swaps [Member] | Commitments to fund additional advances [Member]
Loss Contingencies [Line Items]
Total	16		100
Interest rate swaps [Member] | Unsettled consolidated obligation bonds, par [Member]
Loss Contingencies [Line Items]
Total	$ 1,305		$ 200
Minimum [Member]
Loss Contingencies [Line Items]
Standby Letters Of Credit, Original Terms	88 days
Maximum [Member]
Loss Contingencies [Line Items]
Standby Letters Of Credit, Original Terms	10 years

[1] At September 30, 2012, and December 31, 2011, $16 and $100, respectively, of the commitments to fund additional advances were hedged with associated interest rate swaps.

[2] At September 30, 2012, and December 31, 2011, $1,305 and $200, respectively, of the unsettled consolidated obligation bonds were hedged with associated interest rate swaps.

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Mortgage Loans Held for Portfolio (Tables)

9 Months Ended

Sep. 30, 2012

Mortgage Loans on Real Estate [Abstract]

Schedule of Participating Mortgage Loans [Table Text Block]

The following table presents information as of September 30, 2012, and December 31, 2011, on mortgage loans, all of which are secured by one- to four-unit residential properties and single-unit second homes.

	September 30, 2012			December 31, 2011
Fixed rate medium-term mortgage loans	$	393		$	519
Fixed rate long-term mortgage loans	1,026			1,322
Subtotal	1,419			1,841
Unamortized premiums	12			15
Unamortized discounts	(16		)	(21		)
Mortgage loans held for portfolio	1,415			1,835
Less: Allowance for credit losses	(4		)	(6		)
Total mortgage loans held for portfolio, net	$	1,411		$	1,829

Schedule of Mortgage Loan Concentration of Risk [Table Text Block]

The Bank had the following concentration in MPF loans with institutions whose outstanding total of mortgage loans sold to the Bank represented 10% or more of the Bank's total outstanding mortgage loans at September 30, 2012, and December 31, 2011.

September 30, 2012
Name of Institution	Mortgage Loan Balances Outstanding		Percentage of  Total Mortgage Loan Balances Outstanding		Number of Mortgage Loans Outstanding	Percentage of Total Number of Mortgage  Loans Outstanding
JPMorgan Chase Bank, National Association	$	1,114	79	%	10,336	70	%
OneWest Bank, FSB	188		13		3,199	22
Subtotal	1,302		92		13,535	92
Others	117		8		1,208	8
Total	$	1,419	100	%	14,743	100	%
December 31, 2011
Name of Institution	Mortgage Loan Balances Outstanding		Percentage of  Total Mortgage Loan Balances Outstanding		Number of Mortgage Loans Outstanding	Percentage of Total Number of Mortgage  Loans Outstanding
JPMorgan Chase Bank, National Association	$	1,454	79	%	12,729	72	%
OneWest Bank, FSB	238		13		3,625	20
Subtotal	1,692		92		16,354	92
Others	149		8		1,431	8
Total	$	1,841	100	%	17,785	100	%

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Advances (Redemption Terms) (Details) (USD $) In Millions, unless otherwise specified	Sep. 30, 2012	Dec. 31, 2011	Sep. 30, 2011
Advances [Abstract]
Federal Home Loan Bank Advances, Maturities, Due in Next Rolling Twelve Months	$ 25,131	$ 26,432
Federal Home Loan Bank Advances, Maturities [Abstract]
Total par amount	51,163	67,436	77,673
Valuation adjustments for hedging activities	334	302
Valuation adjustments under fair value option	328	426
Advances	51,825	68,164
Federal Home Loan Bank Advances, Weighted Average Interest Rate [Abstract]
Within 1 year	0.74%	0.88%
Federal Home Loan Bank Advances, Maturities, Due In Rolling Year Two	8,131	20,608
After 1 year through 2 years	1.44%	1.03%
Federal Home Loan Bank Advaces, Maturities, Due in Rolling Year Three	6,449	5,840
After 2 years through 3 years	1.64%	1.73%
Federal Home Loan Bank Advances, Maturities, Due in Rolling Year Four	2,526	5,686
After 3 years through 4 years	2.40%	2.02%
Federal Home Loan Bank Advances, Maturities, Due in Rolling Year Five	5,656	5,634
After 4 years through 5 years	1.16%	1.46%
Federal Home Loan Bank Advances, Maturities, Due after Rolling Year Five	$ 3,270	$ 3,236
After 5 years	2.12%	2.78%
Federal Home Loan Bank Advances at Par, Weighted Average Interest Rate	1.18%	1.24%

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Segment Information

9 Months Ended

Sep. 30, 2012

Segment Reporting [Abstract]

Segment Information

Segment Information

The Bank uses an analysis of financial performance based on the balances and adjusted net interest income of two operating segments, the advances-related business and the mortgage-related business, as well as other financial information, to review and assess financial performance and to determine the allocation of resources to these two major business segments. For purposes of segment reporting, adjusted net interest income includes interest income and expense associated with economic hedges that are recorded in “Net gain/loss on derivatives and hedging activities” in other income and excludes interest expense that is recorded in “Mandatorily redeemable capital stock.” Other key financial information, such as any credit-related OTTI charges on the Bank's PLRMBS, other expenses, and 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 17 – Segment Information” in the Bank's 2011 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 assessments for the three and nine months ended September 30, 2012 and 2011.

	Advances- Related Business		Mortgage- Related Business(1)		Adjusted Net Interest Income		Amortization of Basis Adjustments(2)			Net Interest Expense on Economic Hedges(3)			Interest Expense on Mandatorily Redeemable Capital Stock(4)		Net Interest Income		Other Loss			Other Expense		Income Before Assessments
Three months ended:
September 30, 2012	$	74	$	128	$	202	$	(21	)	$	(2	)	$	6	$	219	$	(34	)	$	33	$	152
September 30, 2011	79		150		229		(39		)	(2		)	2		268		(197		)	31		40
Nine months ended:
September 30, 2012	206		393		599		(79		)	(20		)	20		678		(136		)	99		443
September 30, 2011	260		425		685		(89		)	(19		)	8		785		(558		)	93		134

(1) Does not include credit-related OTTI charges of $4 and $101 for the three months ended September 30, 2012 and 2011, respectively. Does not include credit-related OTTI charges of $34 and $373 for the nine months ended September 30, 2012 and 2011, respectively.

(2) Represents amortization of amounts deferred for adjusted net interest income purposes only in accordance with the Bank's Retained Earnings and Dividend Policy.

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

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

The following table presents total assets by operating segment at September 30, 2012, and December 31, 2011.

	Advances- Related Business		Mortgage- Related Business		Total Assets
September 30, 2012	$	68,832	$	25,357	$	94,189
December 31, 2011	88,302		25,250		113,552

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Allowance for Credit Losses (Tables)

9 Months Ended

Sep. 30, 2012

Allowance for Credit Losses [Abstract]

Past Due Financing Receivables [Table Text Block]

The following table presents information on delinquent mortgage loans as of September 30, 2012, and December 31, 2011.

	September 30, 2012			December 31, 2011
	Recorded Investment(1)			Recorded Investment(1)
30 – 59 days delinquent	$	21		$	24
60 – 89 days delinquent	7			9
90 days or more delinquent	33			34
Total past due	61			67
Total current loans	1,360			1,777
Total mortgage loans	$	1,421		$	1,844
In process of foreclosure, included above(2)	$	24		$	21
Nonaccrual loans	$	33		$	34
Loans past due 90 days or more and still accruing interest	$	—		$	—
Serious delinquencies(3) as a percentage of total mortgage loans outstanding	2.30		%	1.83		%

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

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

(3) Represents loans that are 90 days or more past due or in the process of foreclosure.

Allowance for Credit Losses on Financing Receivables [Table Text Block]

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

	Three Months Ended						Nine Months Ended
	September 30, 2012			September 30, 2011			September 30, 2012			September 30, 2011
Balance, beginning of the period	$	4		$	6		$	6		$	3
Charge-offs – transferred to real estate owned (REO)	—			(1		)	(1		)	(1		)
Provision for credit losses	—			—			(1		)	3
Balance, end of the period	$	4		$	5		$	4		$	5
Ratio of net charge-offs during the period to average loans outstanding during the period	(0.03		)%	(0.03		)%	(0.06		)%	(0.07		)%

Schedule of Allowance for Credit Losses and Recorded Investment by Impairment Methodology [Table Text Block]

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

	September 30, 2012		December 31, 2011
Allowance for credit losses, end of period
Individually evaluated for impairment	$	4	$	4
Collectively evaluated for impairment	—		2
Total allowance for credit losses	$	4	$	6
Recorded investment, end of period
Individually evaluated for impairment	$	32	$	40
Collectively evaluated for impairment	1,389		1,804
Total recorded investment	$	1,421	$	1,844

Schedule of Recorded Investment, Unpaid Principal Balance and Related Allowance of Impaired Loans [Table Text Block]

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

	September 30, 2012						December 31, 2011
	Recorded Investment		Unpaid Principal Balance		Related Allowance		Recorded Investment		Unpaid Principal Balance		Related Allowance
With no related allowance	$	18	$	18	$	—	$	23	$	23	$	—
With an allowance	14		14		4		17		17		4
Total	$	32	$	32	$	4	$	40	$	40	$	4

Schedule of Average Recorded Investment on Impaired Loans [Table Text Block]

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

	Three Months Ended				Nine Months Ended
	September 30, 2012		September 30, 2011		September 30, 2012		September 30, 2011
With no related allowance	$	19	$	22	$	19	$	24
With an allowance	15		17		17		14
Total	$	34	$	39	$	36	$	38

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Fair Value (Fair Value Difference Between Fair Value and Remaining Contractual Principal Balance Outstanding) (Details) (USD $) In Millions, unless otherwise specified	Sep. 30, 2012		Dec. 31, 2011
Fair Value, Option, Quantitative Disclosures [Line Items]
Fair Value	$ 7,385		$ 8,684
Advances [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Principal Balance	7,057	[1]	8,258	[1]
Fair Value	7,385	[1]	8,684	[1]
Fair Value Over/(Under) Principal Balance	328	[1]	426	[1]
Consolidated obligation bonds [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Principal Balance	28,927		15,669
Consolidated obligation bonds	28,972		15,712
Fair Value Over/(Under) Principal Balance	$ 45		$ 43

[1] At September 30, 2012, and December 31, 2011, none of these advances were 90 days or more past due or had been placed on nonaccrual status.

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Fair Value

9 Months Ended

Sep. 30, 2012

Fair Value Disclosures [Abstract]

Fair Value

Fair Value

The following fair value amounts have been determined by the Bank using available market information and the Bank's best judgment of appropriate valuation methods. These estimates are based on pertinent information available to the Bank at September 30, 2012, and December 31, 2011. 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 are not subject to precise quantification or verification and may change as economic and market factors and evaluation of those factors change. 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 of 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 on a combined basis.

The following tables present the carrying value and the estimated fair value of the Bank's financial instruments at September 30, 2012, and December 31, 2011.

	September 30, 2012
	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments(1)
Assets
Cash and due from banks	$	2	$	2	$	2	$	—	$	—	$	—
Securities purchased under agreements to resell	3,000		3,000		—		3,000		—		—
Federal funds sold	7,427		7,427		—		7,427		—		—
Trading securities	3,540		3,540		—		3,540		—		—
Available-for-sale securities	7,969		7,969		—		306		7,663		—
Held-to-maturity securities	18,421		18,599		—		15,237		3,362		—
Advances	51,825		52,031		—		52,031		—		—
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	1,411		1,558		—		1,558		—		—
Accrued interest receivable	130		130		—		130		—		—
Derivative assets, net(1)	345		345		—		1,432		—		(1,087		)
Liabilities
Deposits	179		179		—		179		—		—
Consolidated obligations:
Bonds	73,371		73,708		—		73,708		—		—
Discount notes	9,728		9,729		—		9,729		—		—
Total consolidated obligations	83,099		83,437		—		83,437		—		—
Mandatorily redeemable capital stock	4,770		4,770		4,770		—		—		—
Accrued interest payable	260		260		—		260		—		—
Derivative liabilities, net(1)	62		62		—		729		—		(667		)
Other
Standby letters of credit	11		11		—		11		—		—

	December 31, 2011
	Carrying Value		Estimated Fair Value
Assets
Cash and due from banks	$	3,494	$	3,494
Federal funds sold	5,366		5,366
Trading securities	2,808		2,808
Available-for-sale securities	9,613		9,613
Held-to-maturity securities	21,581		21,414
Advances	68,164		68,584
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	1,829		1,976
Accrued interest receivable	180		180
Derivative assets, net(1)	400		400
Liabilities
Deposits	156		156
Consolidated obligations:
Bonds	83,350		83,878
Discount notes	19,152		19,155
Total consolidated obligations	102,502		103,033
Mandatorily redeemable capital stock	5,578		5,578
Accrued interest payable	241		241
Derivative liabilities, net(1)	73		73
Other
Standby letters of credit	6		6

(1) Amounts include the netting of derivative assets and liabilities by counterparty, including cash collateral, where the Bank has the legal right to do so under its master netting agreement with each counterparty.

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

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

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

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

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

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

The following assets and liabilities, including those for which the Bank has elected the fair value option, are carried at fair value on the Statements of Condition as of September 30, 2012:

• Trading securities

• Available-for-sale securities

• Certain advances

• Derivative assets and liabilities

• Certain consolidated obligation bonds

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

Summary of Valuation Methodologies and Primary Inputs.

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

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

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

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

In the first quarter of 2012, the Bank conducted reviews of the four pricing vendors to update and confirm its understanding of the vendors' pricing processes, methodologies, and control procedures.

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

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

As an additional step, the Bank reviewed the fair value estimates of its PLRMBS as of September 30, 2012, for reasonableness using an implied yield test. The Bank calculated an implied yield for each of its PLRMBS using the estimated fair value derived from the process described above and the security's projected cash flows from the Bank's OTTI process and compared the implied yield to the yields for comparable securities according to dealers and other third-party sources to the extent comparable market yield data was available. This analysis did not indicate that any adjustments to the fair value estimates were necessary.

As of September 30, 2012, four vendor prices were received for most of the Bank's MBS, and the fair value estimates for most of those securities were determined by averaging the four vendor prices. Based on the Bank's reviews of the pricing methods employed by the third-party pricing vendors and the relative lack of dispersion among the vendor prices (or, in those instances in which there were outliers or significant yield variances, the Bank's additional analyses), the Bank believes that its fair value estimates are reasonable and that the fair value measurements are classified appropriately in the fair value hierarchy. Based on limited market liquidity for PLRMBS, the fair value measurements for these securities were classified as level 3 within the fair value hierarchy.

Investment Securities – FFCB bonds, TLGP securities, and Housing Finance Agency Bonds –The Bank estimates the fair values of these securities using the same methodology as described above for MBS.

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

The Bank's primary inputs for measuring the fair value of advances are market-based consolidated obligation yield curve (CO Curve) inputs obtained from the Office of Finance and provided to the Bank. The CO Curve is then adjusted to reflect the rates on replacement advances with similar terms and collateral. These spread adjustments are not market-observable and are evaluated for significance in the overall fair value measurement and the fair value hierarchy level of the advance. The Bank obtains market-observable inputs from derivatives dealers for complex advances. These inputs may include volatility assumptions, which are market-based expectations of future interest rate volatility implied from current market prices for similar options (swaptions volatilities). The discount rates used in these calculations are the replacement advance rates for advances with similar terms. Pursuant to the Finance Agency's advances regulation, advances with an original term to maturity or repricing period greater than six months generally require a prepayment fee sufficient to make the Bank financially indifferent to the borrower's decision to prepay the advances. The Bank determined that no adjustment is required to the fair value measurement of advances for prepayment fees.

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

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

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

Derivative Assets and Liabilities –In general, derivative instruments held by the Bank for risk management activities are traded in over-the-counter markets where quoted market prices are not readily available. These derivatives are interest rate-related. For these derivatives, the Bank measures fair value using internally developed discounted cash flow models that use market-observable inputs, such as the LIBOR swap yield curve, option volatilities adjusted for counterparty credit risk, as necessary, and prepayment assumptions.

The Bank is subject to credit risk in derivatives transactions because of potential nonperformance by the derivatives counterparties. To mitigate this risk, the Bank only executes transactions with highly rated derivatives dealers and major banks (derivatives dealer counterparties) that meet the Bank's eligibility criteria. In addition, the Bank has entered into master netting agreements and bilateral security agreements with all active derivatives dealer counterparties that provide for delivery of collateral at specified levels to limit the Bank's net unsecured credit exposure to these counterparties. Under these policies and agreements, the amount of unsecured credit exposure to an individual derivatives dealer counterparty is limited to an absolute dollar credit exposure limit according to the counterparty's credit rating, as determined by rating agency long-term credit ratings of the counterparty's debt securities or deposits. All credit exposure from derivatives transactions entered into by the Bank with member counterparties that are not derivatives dealers must be fully secured by eligible collateral. The Bank evaluated the potential for the fair value of the instruments to be affected by counterparty credit risk and determined that no adjustments to the overall fair value measurements were required.

The fair values of the derivative assets and liabilities include accrued interest receivable/payable and cash collateral remitted to/received from counterparties. The estimated fair values of the accrued interest receivable/payable and cash collateral approximate their carrying values because of their short-term nature. The fair values of derivatives are netted by counterparty pursuant to the provisions of each master netting agreement. If these netted amounts are positive, they are classified as an asset and, if negative, they are classified as a liability.

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

Consolidated Obligations –Because quoted prices in active markets are not generally available for identical liabilities, the Bank measures fair values using internally developed models that use primarily market-observable inputs. The Bank's primary inputs for measuring the fair value of consolidated obligation bonds are market-based CO Curve inputs obtained from the Office of Finance and provided to the Bank. The Office of Finance constructs the CO Curve using the Treasury yield curve as a base curve, which may be adjusted by indicative spreads obtained from market-observable sources. These market indications are generally derived from pricing indications from dealers, historical pricing relationships, and market activity for similar liabilities such as recent GSE trades, or secondary market activity. For consolidated obligation bonds with embedded options, the Bank also obtains market-observable quotes and inputs from derivatives dealers. The Bank uses these swaption volatilities as significant inputs for measuring the fair value of consolidated obligations.

Adjustments may be necessary to reflect the Bank's credit quality or the credit quality of the FHLBank System when valuing consolidated obligation bonds measured at fair value. The Bank monitors its own creditworthiness, the creditworthiness of the other 11 FHLBanks, and the FHLBank System to determine whether any adjustments are necessary for creditworthiness in its fair value measurement of consolidated obligation bonds. The credit ratings of the FHLBank System and any changes to the credit ratings are the basis for the Bank to determine whether the fair values of consolidated obligations have been significantly affected during the reporting period by changes in the instrument-specific credit risk.

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

Commitments – The estimated fair value of the Bank's commitments to extend credit was de minimis at September 30, 2012, and December 31, 2011. The estimated fair value of standby letters of credit is based on the present value of fees currently charged for similar agreements. The value of the Bank's standby letters of credit is recorded in other liabilities.

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 highly subjective and require judgments regarding significant matters such as the amount and timing of future cash flows, prepayment speed assumptions, expected interest rate volatility, methods to determine possible distributions of future interest rates used to value options, and the selection of discount rates that appropriately reflect market and credit risks. Changes in these judgments often have a material effect on the fair value estimates.

Fair Value Measurements. The tables below present the fair value of assets and liabilities, which are recorded on a recurring or nonrecurring basis at September 30, 2012, and December 31, 2011, by level within the fair value hierarchy.

September 30, 2012
	Fair Value Measurement Using:						Netting
	Level 1		Level 2		Level 3		Adjustments(1)			Total
Recurring fair value measurements – Assets:
Trading securities:
GSEs – FFCB bonds	$	—	$	2,961	$	—	$	—		$	2,961
TLGP securities	—		563		—		—			563
MBS:
Other U.S. obligations – Ginnie Mae	—		16		—		—			16
Total trading securities	—		3,540		—		—			3,540
Available-for-sale securities:
TLGP securities	—		306		—		—			306
PLRMBS	—		—		7,663		—			7,663
Total available-for-sale securities	—		306		7,663		—			7,969
Advances(2)	—		7,422		—		—			7,422
Derivative assets, net: interest rate-related	—		1,432		—		(1,087		)	345
Total recurring fair value measurements – Assets	$	—	$	12,700	$	7,663	$	(1,087	)	$	19,276
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	28,972	$	—	$	—		$	28,972
Derivative liabilities, net: interest rate-related	—		729		—		(667		)	62
Total recurring fair value measurements – Liabilities	$	—	$	29,701	$	—	$	(667	)	$	29,034
Nonrecurring fair value measurements – Assets:
REO	$	—	$	—	$	3

December 31, 2011
	Fair Value Measurement Using:						Netting
	Level 1		Level 2		Level 3		Adjustments(1)			Total
Recurring fair value measurements – Assets:
Trading securities:
GSEs – FFCB bonds	$	—	$	1,867	$	—	$	—		$	1,867
TLGP securities	—		923		—		—			923
MBS:
Other U.S. obligations – Ginnie Mae	—		17		—		—			17
GSEs – Fannie Mae	—		1		—					1
Total trading securities	—		2,808		—		—			2,808
Available-for-sale securities:
TLGP securities	—		1,926		—		—			1,926
PLRMBS	—		—		7,687		—			7,687
Total available-for-sale securities	—		1,926		7,687		—			9,613
Advances(2)	—		8,728		—		—			8,728
Derivative assets, net: interest rate-related	—		1,611		—		(1,211		)	400
Total recurring fair value measurements – Assets	$	—	$	15,073	$	7,687	$	(1,211	)	$	21,549
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	15,712	$	—	$	—		$	15,712
Derivative liabilities, net: interest rate-related	—		812		—		(739		)	73
Total recurring fair value measurements – Liabilities	$	—	$	16,524	$	—	$	(739	)	$	15,785
Nonrecurring fair value measurements – Assets:
REO	$	—	$	—	$	2

(1) Amounts represent the netting of derivative assets and liabilities by counterparty, including cash collateral, where the Bank has the legal right to do so under its master netting agreement with each counterparty.

(2) Includes $7,385 and $8,684 of advances recorded under the fair value option at September 30, 2012, and December 31, 2011, respectively, and $37 and $44 of advances recorded at fair value at September 30, 2012, and December 31, 2011, respectively, where the exposure to overall changes in fair value was hedged in accordance with the accounting for derivative instruments and hedging activities.

(3) Includes $28,972 and $15,712 of consolidated obligation bonds recorded under the fair value option at September 30, 2012, and December 31, 2011, respectively. There were no consolidated obligation bonds recorded at fair value at September 30, 2012, and December 31, 2011, where the exposure to overall changes in fair value was hedged in accordance with the accounting for derivative instruments and hedging activities.

The following table presents a reconciliation of the Bank's available-for-sale PLRMBS that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three and nine months ended September 30, 2012 and 2011.

	Three Months Ended
	September 30, 2012			September 30, 2011
Balance, beginning of period	$	7,409		$	7,855
Total gain/(loss) realized and unrealized included in:
Interest income	(2		)	(4		)
Net OTTI loss, credit-related	(4		)	(97		)
Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI	513			(32		)
Settlements	(332		)	(296		)
Transfers of held-to-maturity to available-for-sale securities	79			573
Balance, end of period	$	7,663		$	7,999
Total amount of gain/(loss) for the period included in earnings attributable to the change in unrealized gains/losses relating to assets and liabilities still held at the end of the period	$	(6	)	$	(101	)

	Nine Months Ended
	September 30, 2012			September 30, 2011
Balance, beginning of period	$	7,687		$	—
Total gain/(loss) realized and unrealized included in:
Interest income	(11		)	(7		)
Net OTTI loss, credit-related	(34		)	(201		)
Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI	844			944
Settlements	(957		)	(525		)
Transfers of held-to-maturity to available-for-sale securities	134			7,788
Balance, end of period	$	7,663		$	7,999
Total amount of gain/(loss) for the period included in earnings attributable to the change in unrealized gains/losses relating to assets and liabilities still held at the end of the period	$	(45	)	$	(208	)

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 carried on advances and consolidated bonds at fair value are recognized solely on the contractual amount of interest due or unpaid. Any transaction fees or costs are immediately recognized in non-interest income or non-interest expense. For more information on the Bank's election of the fair value option, see “Item 8. Financial Statements and Supplementary Data – Note 19 – Fair Values” in the Bank's 2011 Form 10-K.

The Bank has elected the fair value option for certain financial instruments to assist in mitigating potential income statement 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 income statement volatility associated with using fair value only for the derivative is the Bank's primary reason for electing the fair value option for financial assets and liabilities that do not qualify for hedge accounting or that have not previously met or may be at risk for not meeting the hedge effectiveness requirements.

The following table summarizes the activity related to financial assets and liabilities for which the Bank elected the fair value option during the three and nine months ended September 30, 2012 and 2011:

	Three Months Ended
	September 30, 2012						September 30, 2011
	Advances			Consolidated Obligation Bonds			Advances			Consolidated Obligation Bonds
Balance, beginning of the period	$	7,749		$	20,008		$	9,227		$	18,737
New transactions elected for fair value option	173			12,980			229			7,479
Maturities and terminations	(559		)	(4,035		)	(403		)	(7,313		)
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option	24			18			116			44
Change in accrued interest	(2		)	1			(1		)	—
Balance, end of the period	$	7,385		$	28,972		$	9,168		$	18,947

	Nine Months Ended
	September 30, 2012						September 30, 2011
	Advances			Consolidated Obligation Bonds			Advances			Consolidated Obligation Bonds
Balance, beginning of the period	$	8,684		$	15,712		$	10,490		$	20,872
New transactions elected for fair value option	637			23,800			1,746			15,204
Maturities and terminations	(1,937		)	(10,541		)	(3,231		)	(17,247		)
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option	7			1			170			118
Change in accrued interest	(6		)	—			(7		)	—
Balance, end of the period	$	7,385		$	28,972		$	9,168		$	18,947

For instruments for which the fair value option has been elected, the related contractual interest income and contractual interest expense are recorded as part of net interest income on the Statements of Income. The remaining changes in fair value for instruments for which the fair value option has been elected are recorded as net gains/ (losses) on financial instruments held under the fair value option in the Statements of Income. The change in fair value does not include changes in instrument-specific credit risk. For advances and consolidated obligations recorded under the fair value option, the Bank determined that no adjustments to the fair values of these instruments for changes in credit risk were necessary for the three and nine months ended September 30, 2012 and 2011.

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 September 30, 2012, and December 31, 2011:

	At September 30, 2012						At December 31, 2011
	Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance		Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance
Advances(1)	$	7,057	$	7,385	$	328	$	8,258	$	8,684	$	426
Consolidated obligation bonds	28,927		28,972		45		15,669		15,712		43

(1) At September 30, 2012, and December 31, 2011, none of these advances were 90 days or more past due or had been placed on nonaccrual status.

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Advances (Interest Rate Payment Terms and Prepayment Fees) (Details) (USD $) In Millions, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2012	Sep. 30, 2011	Sep. 30, 2012	Sep. 30, 2011	Dec. 31, 2011
Interest Rate Payment Terms [Abstract]
Due within 1 year	$ 6,225		$ 6,225		$ 11,606
Due after 1 year	18,250		18,250		20,577
Total fixed rate	24,475		24,475		32,183
Due within 1 year	18,906		18,906		14,826
Due after 1 year	7,782		7,782		20,427
Total adjustable rate	26,688		26,688		35,253
Total par amount	51,163	77,673	51,163	77,673	67,436
Prepayment Fees, Net [Abstract]
Prepayment fees received	53	16	158	71
Fair value adjustments	(35)	(14)	(117)	(59)
Net	18	2	41	12
Advance principal prepaid	$ 1,309	$ 751	$ 2,825	$ 4,046

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Statements of Capital Accounts (Parenthetical)	9 Months Ended
	Sep. 30, 2012	Sep. 30, 2011
Annualized Dividend Rate On Capital Stock	0.49%	0.29%

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Statements of Condition (Parenthetical) (USD $) In Millions, except Per Share data, unless otherwise specified	Sep. 30, 2012	Dec. 31, 2011
Assets:
Fair Value of Held-to-maturity securities	$ 18,599	$ 21,414
Fair Value of Advances Under the Fair Value Option	7,385	8,684
Allowance for credit losses on mortgage loans	4	6
Capital:
Common stock, par value	$ 100	$ 100
Common stock, shares issued	45	48
Common stock, shares outstanding	45	48
Statement of Condition Footnotes:
Available-for-sale securities pledged as collateral that may be repledged	0	0
Trading securities pledged as collateral that may be repledged	0	0
Held-to-maturity securities pledged as collateral that may be repledged	20	33
Consolidated obligation bonds [Member] | Portion at Fair Value, Fair Value Disclosure [Member]
Liabilities:
Fair Value of Bonds Under the Fair Value Option	$ 28,972	$ 15,712

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Allowance for Credit Losses

9 Months Ended

Sep. 30, 2012

Allowance for Credit Losses [Abstract]

Allowance for Credit Losses

Allowance for Credit Losses

The Bank has established an allowance methodology for each of its portfolio segments: credit products, mortgage loans held for portfolio, term securities purchased under agreements to resell, and term Federal funds sold.

Credit Products. Under the Federal Home Loan Bank Act of 1932, as amended (FHLBank Act), the Bank is required to obtain sufficient collateral for credit products to protect the Bank from credit losses. Collateral eligible to secure credit products includes certain investment securities, residential mortgage loans, cash or deposits with the Bank, and other eligible real estate-related assets. The Bank may also accept secured small business, small farm, and small agribusiness loans, and securities representing a whole interest in such secured loans, as collateral from members that are community financial institutions. The Bank evaluates the creditworthiness of its members and nonmember borrowers on an ongoing basis. For more information on security terms, see “Item 8. Financial Statements and Supplementary Data – Note 10 – Allowance for Credit Losses” in the Bank's 2011 Form 10-K.

The Bank classifies as impaired any advance with respect to which the Bank believes it is probable that all principal and interest due will not be collected according to its contractual terms. Impaired advances are valued using the present value of expected future cash flows discounted at the advance's effective interest rate, the advance's observable market price or, if collateral-dependent, the fair value of the advance's underlying collateral. When an advance is classified as impaired, the accrual of interest is discontinued and unpaid accrued interest is reversed. Advances do not return to accrual status until they are brought current with respect to both principal and interest and until the Bank believes future principal payments are no longer in doubt. No advances were classified as impaired during the periods presented.

The Bank manages its credit exposure relating to credit products through an integrated approach that generally provides for a credit limit to be established for each borrower, includes an ongoing review of each borrower's financial condition, and is coupled with conservative collateral and lending policies to limit the risk of loss while taking into account borrowers' needs for a reliable funding source. At September 30, 2012, and December 31, 2011, none of the Bank's credit products were past due, on nonaccrual status, or considered impaired. There were no troubled debt restructurings related to credit products during the nine months ended September 30, 2012, or during 2011.

Based on the collateral pledged as security for advances, the Bank's credit analyses of members' financial condition, and the Bank's credit extension and collateral policies as of September 30, 2012, the Bank expects to collect all amounts due according to the contractual terms. Therefore, no allowance for losses on credit products was deemed necessary by the Bank. The Bank has never experienced any credit losses on its credit products.

During the first nine months of 2012, two member institutions were placed into receivership or liquidation. These institutions had no advances outstanding at the time they were placed into receivership or liquidation. Bank capital stock held by one of the institutions totaling $4 was classified as mandatorily redeemable capital stock (a liability). The capital stock of the other institution was transferred to another member institution.

From October 1, 2012, to October 31, 2012,nomember institutions were placed into receivership.

Mortgage Loans Held for Portfolio. A mortgage loan is considered to be impaired when it is reported 90 days or more past due (nonaccrual) or when it is probable, based on current information and events, that the Bank will be unable to collect all principal and interest amounts due according to the contractual terms of the mortgage loan agreement.

Loans that are on nonaccrual status and that are considered collateral-dependent are measured for impairment based on the fair value of the underlying property less estimated selling costs. Loans are considered collateral-dependent if repayment is expected to be provided solely by the sale of the underlying property, that is, if it is considered likely that the borrower will default and there is no credit enhancement from a participating financial institution to offset losses under the master commitment. Collateral-dependent loans are impaired if the fair value of the underlying collateral less estimated selling costs is insufficient to recover the unpaid principal balance on the loan. Interest income on impaired loans is recognized in the same manner as interest income on nonaccrual loans, as noted below.

The Bank places a mortgage loan on nonaccrual status when the collection of the contractual principal or interest from the participating institution is reported 90 days or more past due. When a mortgage loan is placed on nonaccrual status, accrued but uncollected interest is reversed against interest income. The Bank records cash payments received on nonaccrual loans first as interest income and then as a reduction of principal as specified in the contractual agreement, unless the collection of the remaining principal amount due is considered doubtful.

The following table presents information on delinquent mortgage loans as of September 30, 2012, and December 31, 2011.

	September 30, 2012			December 31, 2011
	Recorded Investment(1)			Recorded Investment(1)
30 – 59 days delinquent	$	21		$	24
60 – 89 days delinquent	7			9
90 days or more delinquent	33			34
Total past due	61			67
Total current loans	1,360			1,777
Total mortgage loans	$	1,421		$	1,844
In process of foreclosure, included above(2)	$	24		$	21
Nonaccrual loans	$	33		$	34
Loans past due 90 days or more and still accruing interest	$	—		$	—
Serious delinquencies(3) as a percentage of total mortgage loans outstanding	2.30		%	1.83		%

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

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

(3) Represents loans that are 90 days or more past due or in the process of foreclosure.

Mortgage Loans Evaluated at the Individual Master Commitment Level. The credit risk analysis of all conventional MPF loans is performed at the individual master commitment level to determine the credit enhancements available to recover losses on MPF loans under each individual master commitment.

Individually Evaluated Mortgage Loans. Certain conventional mortgage loans, primarily impaired mortgage loans that are considered collateral-dependent, may be specifically identified for purposes of calculating the allowance for credit losses. The estimated credit losses on impaired collateral-dependent loans may be separately determined because sufficient information exists to make a reasonable estimate of the inherent loss on those loans on an individual loan basis. The Bank estimates the fair value of collateral using real estate broker price opinions based on recent market sales and current listings. The resulting incurred loss, if any, is equal to the difference between the carrying value of the loan and the estimated fair value of the collateral less estimated selling costs.

Collectively Evaluated Mortgage Loans. The credit risk analysis of conventional loans evaluated collectively for impairment considers loan pool-specific attribute data, applies estimated loss severities, and incorporates the credit enhancements of the mortgage loan programs to determine the Bank's best estimate of probable incurred losses. Migration analysis is a methodology for determining, through the Bank's experience over a historical period, the default rate on pools of similar loans.

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

	Three Months Ended						Nine Months Ended
	September 30, 2012			September 30, 2011			September 30, 2012			September 30, 2011
Balance, beginning of the period	$	4		$	6		$	6		$	3
Charge-offs – transferred to real estate owned (REO)	—			(1		)	(1		)	(1		)
Provision for credit losses	—			—			(1		)	3
Balance, end of the period	$	4		$	5		$	4		$	5
Ratio of net charge-offs during the period to average loans outstanding during the period	(0.03		)%	(0.03		)%	(0.06		)%	(0.07		)%

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

	September 30, 2012		December 31, 2011
Allowance for credit losses, end of period
Individually evaluated for impairment	$	4	$	4
Collectively evaluated for impairment	—		2
Total allowance for credit losses	$	4	$	6
Recorded investment, end of period
Individually evaluated for impairment	$	32	$	40
Collectively evaluated for impairment	1,389		1,804
Total recorded investment	$	1,421	$	1,844

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

	September 30, 2012						December 31, 2011
	Recorded Investment		Unpaid Principal Balance		Related Allowance		Recorded Investment		Unpaid Principal Balance		Related Allowance
With no related allowance	$	18	$	18	$	—	$	23	$	23	$	—
With an allowance	14		14		4		17		17		4
Total	$	32	$	32	$	4	$	40	$	40	$	4

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

	Three Months Ended				Nine Months Ended
	September 30, 2012		September 30, 2011		September 30, 2012		September 30, 2011
With no related allowance	$	19	$	22	$	19	$	24
With an allowance	15		17		17		14
Total	$	34	$	39	$	36	$	38

The Bank and any participating institution share in the credit risk of the loans sold by that institution as specified in a master agreement. Loans purchased under the MPF Program generally had a credit risk exposure at the time of purchase equivalent to AA-rated assets taking into consideration the credit risk sharing structure mandated by the Finance Agency's acquired member assets (AMA) regulation. The Bank holds additional risk-based capital when it determines that purchased loans do not have a credit risk exposure equivalent to AA-rated assets. The MPF Program structures potential credit losses on conventional MPF loans into layers with respect to each pool of loans purchased by the Bank under a single Master Commitment for the member selling the loans:

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

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

3. Losses that exceed the liquidation value of the real property and any primary mortgage insurance, up to an agreed-upon amount called the First Loss Account for each Master Commitment, are incurred by the Bank.

4. Losses in excess of the First Loss Account for each Master Commitment, up to an agreed-upon amount called the “credit enhancement amount,” are covered by the participating institution's credit enhancement obligation.

5. Losses in excess of the First Loss Account and the participating institution's remaining credit enhancement for the Master Commitment, if any, are incurred by the Bank.

The Bank calculates its estimated allowance for credit losses on mortgage loans acquired under its two MPF products, Original MPF and MPF Plus, as described below.

Allowance for Credit Losses on MPF Loans - The Bank evaluates the allowance for credit losses on MPF mortgage loans based on two components. The first component applies to each individual loan that is specifically identified as impaired. The Bank evaluates the exposure on these loans by considering the first layer of loss protection (the liquidation value of the real property securing the loan) and the availability and collectability of credit enhancements under the terms of each Master Commitment and records a provision for credit losses. For this component, the Bank established an allowance for credit losses for Original MPF loans totaling de minimis amounts as of September 30, 2012, and December 31, 2011, and for MPF Plus loans totaling $3 as of September 30, 2012, and $4 as of December 31, 2011.

The second component applies to loans that are not specifically identified as impaired and is based on the Bank's estimate of probable credit losses on those loans as of the financial statement date. The Bank evaluates the credit loss exposure on a loan pool basis considering various observable data, such as delinquency statistics, past performance, current performance, loan portfolio characteristics, collateral valuations, industry data, and prevailing economic conditions. The Bank also considers the availability and collectability of credit enhancements from institutions or from mortgage insurers under the terms of each Master Commitment. For this component, the Bank established an allowance for credit losses for Original MPF loans totaling de minimis amounts as of September 30, 2012, and December 31, 2011, and for MPF Plus loans totaling a de minimis amount as of September 30, 2012, and $2 as of December 31, 2011.

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

The Bank's MPF loan troubled debt restructurings primarily involve modifying the borrower's monthly payment for a period of up to 36 months to reflect a housing expense ratio that is no more than 31% of the borrower's monthly income. The outstanding principal balance is re-amortized to reflect a principal and interest payment for a term not to exceed 40 years from the original note date and a housing expense ratio not to exceed 31%. This would result in a balloon payment at the original maturity date of the loan as the maturity date and number of remaining monthly payments is unchanged. If the 31% ratio is still not met, the interest rate is reduced for up to 36 months in 0.125% increments below the original note rate, to a floor rate of 3.00%, resulting in reduced principal and interest payments, until the target 31% housing expense ratio is met. 

As of September 30, 2012, the Bank's nonperforming MPFloans classified as troubled debt restructurings (TDRs) totaled $0.7. During the three andnine months endedSeptember 30, 2012, the amount of the pre- and post-modification recorded investment in TDRs that occurred during these periods was equal becausethere were no write-offs resulting from either principal forgiveness or direct write-offs.None of the MPF loans classified as TDRs within the previous 12 months experienced a payment default. During the year ended December 31, 2011, a de minimis amount of the Bank's MPF loans was classified as TDRs.

Term Securities Purchased Under Agreements to Resell. Securities purchased under agreements to resell are considered collateralized financing arrangements and effectively represent short-term loans with investment-grade counterparties. The terms of these loans are structured such that if the market value of the underlying securities decreases below the market value required as collateral, the counterparty must place an equivalent amount of additional securities as collateral or remit an equivalent amount of cash, or the dollar value of the resale agreement will be decreased accordingly. If an agreement to resell is deemed to be impaired, the difference between the fair value of the collateral and the amortized cost of the agreement is charged to earnings. Based upon the collateral held as security, the Bank determined that no allowance for credit losses was needed for the securities purchased under agreements to resell at September 30, 2012. The Bank did not have any term securities purchased under agreements to resell at December 31, 2011.

Term Federal Funds Sold. The Bank invests in Federal funds sold with highly rated counterparties, and these investments are evaluated for purposes of an allowance for credit losses if the investment is not paid when due. All investments in Federal funds sold as of September 30, 2012, and December 31, 2011, were repaid or are expected to be repaid according to the contractual terms.

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Fair Value (Carrying Value and Fair Value of Financial Instruments) (Details) (USD $) In Millions, unless otherwise specified	Sep. 30, 2012		Jun. 30, 2012	Dec. 31, 2011		Sep. 30, 2011	Jun. 30, 2011	Dec. 31, 2010
Assets
Derivative assets, net	$ 345			$ 400
Liabilities
Mandatorily redeemable capital stock	4,770		5,048	5,578		5,853	6,144	3,749
Carrying (Reported) Amount, Fair Value Disclosure [Member]
Assets
Cash and due from banks	2			3,494
Securities purchased under agreements to resell	3,000
Federal funds sold	7,427			5,366
Trading securities	3,540			2,808
Available-for-sale securities	7,969			9,613
Held-to-maturity securities	18,421			21,581
Advances	51,825			68,164
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	1,411			1,829
Accrued interest receivable	130			180
Derivative assets, net	345	[1]		400	[1]
Liabilities
Deposits	179			156
Consolidated obligation bonds	83,099			102,502
Mandatorily redeemable capital stock	4,770			5,578
Accrued interest payable	260			241
Derivative liabilities, net	62	[1]		73	[1]
Estimate of Fair Value, Fair Value Disclosure [Member]
Assets
Cash and due from banks	2			3,494
Securities purchased under agreements to resell	3,000
Federal funds sold	7,427			5,366
Trading securities	3,540			2,808
Available-for-sale securities	7,969			9,613
Held-to-maturity securities	18,599			21,414
Advances	52,031			68,584
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	1,558			1,976
Accrued interest receivable	130			180
Derivative assets, net	345	[1]		400	[1]
Liabilities
Deposits	179			156
Consolidated obligation bonds	83,437			103,033
Mandatorily redeemable capital stock	4,770			5,578
Accrued interest payable	260			241
Derivative liabilities, net	62	[1]		73	[1]
Consolidated obligation bonds [Member] | Carrying (Reported) Amount, Fair Value Disclosure [Member]
Liabilities
Consolidated obligation bonds	73,371			83,350
Consolidated obligation bonds [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Liabilities
Consolidated obligation bonds	73,708			83,878
Fair Value, Inputs, Level 1 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Assets
Cash and due from banks	2
Securities purchased under agreements to resell	0
Federal funds sold	0
Trading securities	0
Available-for-sale securities	0
Held-to-maturity securities	0
Advances	0
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	0
Accrued interest receivable	0
Derivative assets, net	0	[1]
Liabilities
Deposits	0
Consolidated obligation bonds	0
Mandatorily redeemable capital stock	4,770
Accrued interest payable	0
Derivative liabilities, net	0	[1]
Fair Value, Inputs, Level 1 [Member] | Consolidated obligation bonds [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Liabilities
Consolidated obligation bonds	0
Fair Value, Inputs, Level 2 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Assets
Cash and due from banks	0
Securities purchased under agreements to resell	3,000
Federal funds sold	7,427
Trading securities	3,540
Available-for-sale securities	306
Held-to-maturity securities	15,237
Advances	52,031
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	1,558
Accrued interest receivable	130
Derivative assets, net	1,432	[1]
Liabilities
Deposits	179
Consolidated obligation bonds	83,437
Mandatorily redeemable capital stock	0
Accrued interest payable	260
Derivative liabilities, net	729	[1]
Fair Value, Inputs, Level 2 [Member] | Consolidated obligation bonds [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Liabilities
Consolidated obligation bonds	73,708
Fair Value, Inputs, Level 3 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Assets
Cash and due from banks	0
Securities purchased under agreements to resell	0
Federal funds sold	0
Trading securities	0
Available-for-sale securities	7,663
Held-to-maturity securities	3,362
Advances	0
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	0
Accrued interest receivable	0
Derivative assets, net	0	[1]
Liabilities
Deposits	0
Consolidated obligation bonds	0
Mandatorily redeemable capital stock	0
Accrued interest payable	0
Derivative liabilities, net	0	[1]
Fair Value, Inputs, Level 3 [Member] | Consolidated obligation bonds [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Liabilities
Consolidated obligation bonds	0
Netting and Collateral [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Assets
Cash and due from banks	0
Securities purchased under agreements to resell	0
Federal funds sold	0
Trading securities	0
Available-for-sale securities	0
Held-to-maturity securities	0
Advances	0
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	0
Accrued interest receivable	0
Derivative assets, net	(1,087)	[1]
Liabilities
Deposits	0
Consolidated obligation bonds	0
Mandatorily redeemable capital stock	0
Accrued interest payable	0
Derivative liabilities, net	(667)	[1]
Netting and Collateral [Member] | Consolidated obligation bonds [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Liabilities
Consolidated obligation bonds	0
Discount Notes [Member] | Carrying (Reported) Amount, Fair Value Disclosure [Member]
Liabilities
Discount notes	9,728			19,152
Discount Notes [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Liabilities
Discount notes	9,729			19,155
Discount Notes [Member] | Fair Value, Inputs, Level 1 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Liabilities
Discount notes	0
Discount Notes [Member] | Fair Value, Inputs, Level 2 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Liabilities
Discount notes	9,729
Discount Notes [Member] | Fair Value, Inputs, Level 3 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Liabilities
Discount notes	0
Discount Notes [Member] | Netting and Collateral [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Liabilities
Discount notes	0
Standby letters of credit [Member] | Carrying (Reported) Amount, Fair Value Disclosure [Member]
Other
Standby letters of credit	11			6
Standby letters of credit [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Other
Standby letters of credit	11			6
Standby letters of credit [Member] | Fair Value, Inputs, Level 1 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Other
Standby letters of credit	0
Standby letters of credit [Member] | Fair Value, Inputs, Level 2 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Other
Standby letters of credit	11
Standby letters of credit [Member] | Fair Value, Inputs, Level 3 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Other
Standby letters of credit	0
Standby letters of credit [Member] | Netting and Collateral [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Other
Standby letters of credit	$ 0

[1] Amounts include the netting of derivative assets and liabilities by counterparty, including cash collateral, where the Bank has the legal right to do so under its master netting agreement with each counterparty.

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Derivatives and Hedging Activities (Derivatives in Statement of Income) (Details) (USD $) In Millions, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2012	Sep. 30, 2011	Sep. 30, 2012	Sep. 30, 2011
Derivative Instruments, Gain (Loss) [Line Items]
Total net loss related to fair value hedge ineffectiveness	$ (3)	$ (13)	$ (18)	$ (18)
Total net loss related to derivatives not designated as hedging instruments	(30)	(152)	(85)	(218)
Net loss on derivatives and hedging activities	(33)	(165)	(103)	(236)
Interest rate swaps [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Total net loss related to fair value hedge ineffectiveness	(3)	(13)	(18)	(18)
Total net loss related to derivatives not designated as hedging instruments	(28)	(149)	(66)	(199)
IInterest rate caps, floors, corridors, and/or collars [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Total net loss related to derivatives not designated as hedging instruments	0	(1)	1	0
Net interest settlements [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Total net loss related to derivatives not designated as hedging instruments	$ (2)	$ (2)	$ (20)	$ (19)

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Document and Entity Information Document	9 Months Ended
	Sep. 30, 2012	Oct. 31, 2012
Document and Entity Information [Line Items]
Entity Registrant Name	FEDERAL HOME LOAN BANK OF SAN FRANCISCO
Entity Central Index Key	0001316944
Document Type	10-Q
Document Period End Date	Sep. 30, 2012
Amendment Flag	false
Document Fiscal Year Focus	2012
Document Fiscal Period Focus	Q3
Current Fiscal Year End Date	--12-31
Entity Well-known Seasoned Issuer	No
Entity Voluntary Filers	No
Entity Current Reporting Status	Yes
Entity Filer Category	Non-accelerated Filer
Entity Common Stock, Shares Outstanding		92,203,459

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Deposits

9 Months Ended

Sep. 30, 2012

Deposits [Abstract]

Deposits

Deposits

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

Deposits as of September 30, 2012, and December 31, 2011, were as follows:

	September 30, 2012		December 31, 2011
Interest-bearing deposits:
Demand and overnight	$	175	$	151
Term	2		1
Other	—		3
Total interest-bearing deposits	177		155
Non-interest-bearing deposits	2		1
Total	$	179	$	156

Interest Rate Payment Terms. Deposits classified as demand, overnight, and other, pay interest based on a daily interest rate. Term deposits pay interest based on a fixed rate determined at the issuance of the deposit. Interest rate payment terms for deposits at September 30, 2012, and December 31, 2011, are detailed in the following table:

	September 30, 2012				December 31, 2011
	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding		Weighted Average Interest Rate
Interest-bearing deposits:
Fixed rate	$	2	0.04	%	$	1	0.01	%
Adjustable rate	175		0.01		154		0.01
Total interest-bearing deposits	177		0.01		155		0.01
Non-interest-bearing deposits	2		—		1		—
Total	$	179	0.01	%	$	156	0.01	%

The aggregate amount of time deposits with a denomination of $0.1 or more was $2 at September 30, 2012, and $1 at December 31, 2011. These time deposits were scheduled to mature within six months.

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Consolidated Obligations (Interest Rate Payment Terms) (Details) (USD $) In Millions, unless otherwise specified	Sep. 30, 2012	Dec. 31, 2011
Schedule of Short-term and Long-term Debt [Line Items]
Total consolidated obligations, par	$ 81,965	$ 101,204
Percent of Fixed Rate Consolidated Obligation Bonds Swapped to An Adjustable Rate	72.00%	80.00%
Percent of Adjustable Rate Consolidated Obligation Bonds Swapped to Fixed Rate	98.00%	96.00%
Percent of Fixed Rate Discount Notes Swapped to An Adjustable Rate	35.00%	61.00%
Consolidated obligation bonds [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Total consolidated obligations, par	72,234	82,045
Index amortizing notes	4	4
Discount Notes [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Debt Instrument, Face Amount	9,731	19,159
Fixed rate [Member] | Consolidated obligation bonds [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Total consolidated obligations, par	42,653	59,607
Adjustable rate [Member] | Consolidated obligation bonds [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Total consolidated obligations, par	27,768	19,688
Step-up [Member] | Consolidated obligation bonds [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Total consolidated obligations, par	1,769	2,221
Step-down [Member] | Consolidated obligation bonds [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Total consolidated obligations, par	15	115
Fixed rate that converts to adjustable rate [Member] | Consolidated obligation bonds [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Total consolidated obligations, par	25	290
Adjustable rate that converts to fixed rate [Member] | Consolidated obligation bonds [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Total consolidated obligations, par	0	35
Adjustable rate that converts to step-up [Member] | Consolidated obligation bonds [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Total consolidated obligations, par	0	75
Range bonds [Member] | Consolidated obligation bonds [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Total consolidated obligations, par	$ 0	$ 10

XML

Derivatives and Hedging Activities (Derivatives in Statement of Condition) (Details) (USD $) In Millions, unless otherwise specified	Sep. 30, 2012		Dec. 31, 2011
Derivatives, Fair Value [Line Items]
Derivatives designated as hedging instruments: Notional Amount of Derivatives	$ 34,327		$ 56,355
Derivatives designated as hedging instruments: Derivative Assets	1,118		1,241
Derivatives designated as hedging instruments: Derivative Liabilities	334		309
Derivatives not designated as hedging instruments: Notional Amount of Derivatives	65,226		73,221
Derivatives not designated as hedging instruments: Derivative Assets	314		370
Derivatives not designated as hedging instruments: Derivative Liabilities	395		503
Total derivatives before netting and collateral adjustments: Notional Amount of Derivatives	99,553		129,576
Total derivatives before netting and collateral adjustments: Derivative Assets	1,432		1,611
Total derivatives before netting and collateral adjustments: Derivative Liabilities	729		812
Derivative assets as reported on the Statements of Condition	345		400
Derivative liabilities as reported on the Statements of Condition	62		73
Securities Collateral Held	337		381
Maximum Credit Exposure On Derivatives	8		19
Interest rate swaps [Member]
Derivatives, Fair Value [Line Items]
Derivatives designated as hedging instruments: Notional Amount of Derivatives	34,327		56,355
Derivatives designated as hedging instruments: Derivative Assets	1,118		1,241
Derivatives designated as hedging instruments: Derivative Liabilities	334		309
Derivatives not designated as hedging instruments: Notional Amount of Derivatives	64,275		72,245
Derivatives not designated as hedging instruments: Derivative Assets	313		366
Derivatives not designated as hedging instruments: Derivative Liabilities	388		492
IInterest rate caps, floors, corridors, and/or collars [Member]
Derivatives, Fair Value [Line Items]
Derivatives not designated as hedging instruments: Notional Amount of Derivatives	951		976
Derivatives not designated as hedging instruments: Derivative Assets	1		4
Derivatives not designated as hedging instruments: Derivative Liabilities	7		11
Netting and Collateral [Member]
Derivatives, Fair Value [Line Items]
Collateral and netting adjustments: Derivative Assets	(1,087)	[1]	(1,211)	[1]
Collateral and netting adjustments: Derivative Liabilities	(667)	[1]	(739)	[1]
Cash collateral and related accrued interest [Member]
Derivatives, Fair Value [Line Items]
Collateral and netting adjustments: Derivative Assets	(418)		(514)
Collateral and netting adjustments: Derivative Liabilities	2		(42)
Netting adjustments by counterparty [Member]
Derivatives, Fair Value [Line Items]
Collateral and netting adjustments: Derivative Assets	(669)		(697)
Collateral and netting adjustments: Derivative Liabilities	$ (669)		$ (697)

[1] Amounts include the netting of derivative assets and liabilities by counterparty, including cash collateral, where the Bank has the legal right to do so under its master netting agreement with each counterparty.

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Statements of Income (USD $) In Millions, unless otherwise specified	3 Months Ended				9 Months Ended
	Sep. 30, 2012		Sep. 30, 2011		Sep. 30, 2012		Sep. 30, 2011
Interest Income:
Advances	$ 124		$ 165		$ 414		$ 527
Prepayment fees on advances, net	18		2		41		12
Securities purchased under agreements to resell	2		0		3		0
Federal funds sold	3		5		9		19
Trading securities	6		7		19		19
Available-for-sale securities	77		81		243		154
Held-to-maturity securities	123		153		371		546
Mortgage loans held for portfolio	18		31		60		87
Total Interest Income	371		444		1,160		1,364
Consolidated obligations:
Bonds	141		166		445		540
Discount notes	5		8		18		28
Mandatorily redeemable capital stock	6	[1]	2	[1]	20	[1]	8	[1]
Total Interest Expense	152		176		483		576
Net Interest Income	219		268		677		788
Provision for/(reversal of) credit losses on mortgage loans	0		0		(1)		3
Net Interest Income After Mortgage Loan Loss Provision	219		268		678		785
Other Income/(Loss):
Net gain/(loss) on trading securities	(5)		(3)		(10)		(4)
Total other-than-temporary impairment (OTTI) loss	(17)		(138)		(46)		(342)
Net amount of OTTI loss reclassified to/(from) accumulated other comprehensive income/(loss)	13		37		12		(31)
Net OTTI loss, credit-related	(4)		(101)		(34)		(373)
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option	6		72		6		52
Net gain/(loss) on derivatives and hedging activities	(33)		(165)		(103)		(236)
Other	2		0		5		3
Total Other Income/(Loss)	(34)		(197)		(136)		(558)
Other Expense:
Compensation and benefits	16		17		48		49
Other operating expense	12		9		35		30
Federal Housing Finance Agency	3		1		10		6
Office of Finance	1		2		4		5
Other	1		2		2		3
Total Other Expense	33		31		99		93
Income/(Loss) Before Assessments	152		40		443		134
REFCORP	0		0		0		17
Affordable Housing Program	15		4		46		12
Total Assessments	15		4		46		29
Net Income/(Loss)	$ 137		$ 36		$ 397		$ 105

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

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Available-for-Sale Securities

9 Months Ended

Sep. 30, 2012

Available-for-sale Securities [Abstract]

Available-for-Sale Securities

Available-for-Sale Securities

Available-for-sale securities by major security type as of September 30, 2012, and December 31, 2011, were as follows:

September 30, 2012
	Amortized Cost(1)		OTTI Recognized in Accumulated Other Comprehensive Income/(Loss)(AOCI)			Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value
TLGP securities	$	306	$	—		$	—	$	—		$	306
PLRMBS:
Prime	871		(65		)	6		(2		)	810
Alt-A, option ARM	1,270		(283		)	3		—			990
Alt-A, other	6,541		(696		)	25		(7		)	5,863
Total PLRMBS	8,682		(1,044		)	34		(9		)	7,663
Total	$	8,988	$	(1,044	)	$	34	$	(9	)	$	7,969
December 31, 2011
	Amortized Cost(1)		OTTI Recognized in AOCI			Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value
TLGP securities	$	1,924	$	—		$	2	$	—		$	1,926
PLRMBS:
Prime	977		(132		)	—		(13		)	832
Alt-A, option ARM	1,413		(410		)	2		(36		)	969
Alt-A, other	7,133		(1,117		)	—		(130		)	5,886
Total PLRMBS	9,523		(1,659		)	2		(179		)	7,687
Total	$	11,447	$	(1,659	)	$	4	$	(179	)	$	9,613

(1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous other-than-temporary impairments recognized in earnings.

Securities Transferred. Beginning in the first quarter of 2011, the Bank elected to transfer any PLRMBS that incurred a credit-related OTTI charge during the applicable period from the Bank's held-to-maturity to its available-for-sale portfolio at their fair values. These transfers allow the Bank the option to divest these securities prior to maturity in response to changes in interest rates, changes in prepayment risk, or other factors, while acknowledging its intent to hold these securities for an indefinite period of time. For additional information on the transferred securities, see Note 6 – Other-Than-Temporary Impairment Analysis.

The following table summarizes the available-for-sale securities with unrealized losses as of September 30, 2012, and December 31, 2011. The unrealized losses are aggregated by major security type and the length of time that individual securities have been in a continuous unrealized loss position. Total unrealized losses in the following table will not agree to the total gross unrealized losses in the table above. The unrealized losses in the following table also include non-credit-related OTTI losses recognized in accumulated other comprehensive income/loss (AOCI) net of subsequent unrealized gains, up to the amount of non-credit-related OTTI in AOCI. For OTTI analysis of available-for-sale securities, see Note 6 – Other-Than-Temporary Impairment Analysis.

September 30, 2012
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
PLRMBS:
Prime	$	54	$	2	$	616	$	65	$	670	$	67
Alt-A, option ARM	—		—		956		283		956		283
Alt-A, other	43		—		4,935		703		4,978		703
Total PLRMBS	97		2		6,507		1,051		6,604		1,053
Total	$	97	$	2	$	6,507	$	1,051	$	6,604	$	1,053
December 31, 2011
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
TLGP securities	$	274	$	—	$	—	$	—	$	274	$	—
PLRMBS:
Prime	96		2		736		143		832		145
Alt-A, option ARM	—		—		950		446		950		446
Alt-A, other	240		10		5,634		1,237		5,874		1,247
Total PLRMBS	336		12		7,320		1,826		7,656		1,838
Total	$	610	$	12	$	7,320	$	1,826	$	7,930	$	1,838

As indicated in the tables above, the Bank's investments classified as available-for-sale had gross unrealized losses primarily related to PLRMBS. The gross unrealized losses associated with the PLRMBS were primarily due to illiquidity in the MBS market, uncertainty about the future condition of the housing and mortgage markets and the economy, and market expectations of the credit performance of loan collateral underlying these securities, which caused these assets to be valued at significant discounts to their acquisition cost.

Redemption Terms. The amortized cost and estimated fair value of non-MBS securities by contractual maturity (based on contractual final principal payment) and of PLRMBS as of September 30, 2012, and December 31, 2011, are shown below. Expected maturities of PLRMBS will differ from contractual maturities because borrowers generally have the right to prepay the underlying obligations without prepayment fees.

	September 30, 2012				December 31, 2011
Year of Contractual Maturity	Amortized Cost		Estimated Fair Value		Amortized Cost		Estimated Fair Value
Available-for-sale securities other than PLRMBS:
Due in 1 year or less	$	306	$	306	$	1,924	$	1,926
PLRMBS:
Prime	871		810		977		832
Alt-A, option ARM	1,270		990		1,413		969
Alt-A, other	6,541		5,863		7,133		5,886
Total PLRMBS	8,682		7,663		9,523		7,687
Total	$	8,988	$	7,969	$	11,447	$	9,613

At September 30, 2012, the amortized cost of the Bank's PLRMBS classified as available-for-sale included credit-related OTTI of $1,445 (including interest accretion adjustments of $61). At December 31, 2011, the amortized cost of the Bank's PLRMBS classified as available-for-sale included credit-related OTTI of $1,419 (including interest accretion adjustments of $50).

Interest Rate Payment Terms. Interest rate payment terms for available-for-sale securities at September 30, 2012, and December 31, 2011, are shown in the following table:

	September 30, 2012		December 31, 2011
Amortized cost of available-for-sale securities other than PLRMBS:
Adjustable rate	$	306	$	1,924
Amortized cost of available-for-sale PLRMBS:
Collateralized mortgage obligations:
Fixed rate	3,567		4,542
Adjustable rate	5,115		4,981
Subtotal	8,682		9,523
Total	$	8,988	$	11,447

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

	September 30, 2012		December 31, 2011
Collateralized mortgage obligations:
Converts in 1 year or less	$	424	$	920
Converts after 1 year through 5 years	745		748
Converts after 5 years through 10 years	—		175
Total	$	1,169	$	1,843

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Trading Securities

9 Months Ended

Sep. 30, 2012

Trading Securities [Abstract]

Trading Securities

Trading Securities

The estimated fair value of trading securities as of September 30, 2012, and December 31, 2011, was as follows:

	September 30, 2012		December 31, 2011
Government-sponsored enterprises (GSEs) – Federal Farm Credit Bank (FFCB) bonds	$	2,961	$	1,867
Temporary Liquidity Guarantee Program (TLGP) securities(1)	563		923
Mortgage-backed securities (MBS):
Other U.S. obligations – Ginnie Mae	16		17
GSEs – Fannie Mae	—		1
Total	$	3,540	$	2,808

(1) TLGP securities represent corporate debentures of the issuing party that are guaranteed by the Federal Deposit Insurance Corporation (FDIC) and backed by the full faith and credit of the U.S. government.

Redemption Terms. The estimated fair value of non-mortgage-backed securities (non-MBS) by contractual maturity (based on contractual final principal payment) and of mortgage-backed securities (MBS) as of

September 30, 2012, and December 31, 2011, is shown below. Expected maturities of MBS will differ from contractual maturities because borrowers generally have the right to prepay the underlying obligations without prepayment fees.

Year of Contractual Maturity	September 30, 2012		December 31, 2011
Trading securities other than MBS:
Due in 1 year or less	$	1,472	$	2,556
Due after 1 year through 5 years	2,052		234
Subtotal	3,524		2,790
MBS:
Other U.S. obligations – Ginnie Mae	16		17
GSEs – Fannie Mae	—		1
Total MBS	16		18
Total	$	3,540	$	2,808

Interest Rate Payment Terms. Interest rate payment terms for trading securities at September 30, 2012, and December 31, 2011, are detailed in the following table:

	September 30, 2012		December 31, 2011
Estimated fair value of trading securities other than MBS:
Fixed rate	$	436	$	796
Adjustable rate	3,088		1,994
Subtotal	3,524		2,790
Estimated fair value of trading MBS:
Passthrough securities:
Adjustable rate	16		17
Collateralized mortgage obligations:
Fixed rate	—		1
Subtotal	16		18
Total	$	3,540	$	2,808

At September 30, 2012, and December 31, 2011, all of the fixed rate trading securities were swapped to an adjustable rate, such as the 1-month or 3-month London Interbank Offered Rate (LIBOR). At September 30, 2012, and December 31, 2011, 80% and 81% of the adjustable rate trading securities were swapped to a different adjustable rate index, such as 1-month or 3-month LIBOR.

The net unrealized gain/(loss) on trading securities was $(5) and $(3) for the three months ended September 30, 2012 and 2011, respectively. The net unrealized gain/(loss) on trading securities was $(10) and $(4) for the nine months ended September 30, 2012 and 2011, respectively. These amounts represent the changes in the fair value of the securities during the reported periods.

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Derivatives and Hedging Activities

9 Months Ended

Sep. 30, 2012

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivatives and Hedging Activities

Derivatives and Hedging Activities

General. The Bank may enter into interest rate swaps (including callable, putable, and basis swaps); swaptions; and cap, floor, corridor, and collar 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 and the issuance of consolidated obligation bonds to create variable rate structures. The interest rate exchange agreements are generally executed at the same time the advances and bonds are transacted and generally have the same maturity dates as the related advances and bonds.

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

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

Swaptions – A swaption is an option on a swap that gives the buyer the right to enter into a specified interest rate swap at a certain time in the future. When used as a hedge, a swaption can protect the Bank against future interest rate changes when it is planning to lend or borrow funds in the future.

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

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

The Bank discontinues hedge accounting prospectively when: (i) it determines that the derivative is no longer effective in offsetting changes in the fair value or cash flows of a hedged item (including hedged items such as firm commitments or forecasted transactions); (ii) the derivative and/or the hedged item expires or is sold, terminated, or exercised; (iii) it is no longer probable that the forecasted transaction will occur in the originally expected period; (iv) a hedged firm commitment no longer meets the definition of a firm commitment; (v) it determines that designating the derivative as a hedging instrument is no longer appropriate; or (vi) it decides to use the derivative to offset changes in the fair value of other derivatives or instruments carried at fair value.

Intermediation– As an additional service to its members, the Bank has in the past entered into offsetting interest rate exchange agreements, acting as an intermediary between offsetting derivatives transactions with members and other counterparties. This intermediation allows members indirect access to the derivatives market. Derivatives in which the Bank is an intermediary may also arise when the Bank enters into derivatives to offset the economic effect of other derivatives that are no longer designated to advances, investments, or consolidated obligations. The offsetting derivatives used in intermediary activities do not receive hedge accounting treatment and are separately marked to market through earnings. The net result of the accounting for these derivatives does not significantly affect the operating results of the Bank.

The notional principal of the interest rate exchange agreements associated with derivatives with members and offsetting derivatives with other counterparties was $810 at September 30, 2012, and $810 at December 31, 2011. The Bank did not have any interest rate exchange agreements outstanding at September 30, 2012, and December 31, 2011, that were used to offset the economic effect of other derivatives that were no longer designated to advances, investments, or consolidated obligations.

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

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

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

In addition, for certain advances for which the Bank has elected the fair value option, the Bank will simultaneously execute an interest rate exchange agreement with terms that economically offset the terms of the advance. However, this type of hedge is treated as an economic hedge because these combinations generally do not meet the requirements for fair value hedge accounting treatment.

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

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

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

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

The Bank did not have any consolidated obligations denominated in currencies other than U.S. dollars outstanding during the nine months ended September 30, 2012, or the twelve months ended December 31, 2011.

Credit Risk – The Bank is subject to credit risk as a result of the risk of nonperformance by counterparties to the derivatives agreements. All of the Bank's derivatives agreements contain master netting provisions to help mitigate the credit risk exposure to each counterparty. The Bank manages counterparty credit risk through credit analyses and collateral requirements and by following the requirements of the Bank's risk management policies and credit guidelines. Based on the master netting provisions in each agreement, credit analyses, and the collateral requirements in place with each counterparty, the Bank does not expect to incur any credit losses on derivatives agreements.

The notional amount of an interest rate exchange agreement serves as a basis for calculating periodic interest payments or cash flows and is not a measure of the amount of credit risk from that transaction. The Bank had notional amounts outstanding of $99,553 and $129,576 at September 30, 2012, and December 31, 2011, respectively. The notional amount does not represent the exposure to credit loss. The amount potentially subject to credit loss is the estimated cost of replacing an interest rate exchange agreement that has a net favorable position if the counterparty defaults; this amount is substantially less than the notional amount.

The following table presents credit risk exposure on derivatives instruments. Collateral does not include a counterparty's pledged collateral that exceeds the Bank's net position with the counterparty.

	September 30, 2012		December 31, 2011
Total net exposure at fair value(1)	$	763	$	914
Cash collateral held	418		514
Net exposure after cash collateral	345		400
Securities collateral held	337		381
Net exposure after collateral	$	8	$	19

(1) Includes net accrued interest receivable of $155 and $86 as of September 30, 2012, and December 31, 2011, respectively.

The Bank's derivatives agreements contain provisions that link the Bank's credit rating from Moody's and Standard & Poor's to various rights and obligations. Certain of these derivatives agreements provide that, if the Bank's debt rating falls below A3/A- (and in one agreement, below A2/A), the Bank's counterparty would have the right, but not the obligation, to terminate all of its outstanding derivatives transactions with the Bank. In addition, the amount of collateral that the Bank is required to deliver to a counterparty depends on the Bank's credit rating. The aggregate fair value of all derivative instruments with credit-risk-related contingent features that were in a net derivative liability position (before cash collateral and related accrued interest) at September 30, 2012, was $59, for which the Bank had posted collateral with a fair value of $24 in the normal course of business. If the Bank's credit rating at September 30, 2012, had been Aa/AA (the next lower rating that might require an increase in collateral to be delivered by the Bank) instead of Aaa/AA+ (the Bank's current rating), then the Bank would have been required to deliver up to an additional $27 of collateral (at fair value) to its derivatives counterparties at September 30, 2012.

In the application of Standard & Poor's government-related entities criteria, the ratings of the FHLBank System and the FHLBanks are constrained by the long-term sovereign credit rating of the United States. On August 5, 2011, Standard & Poor's lowered its long-term sovereign credit rating of the United States from AAA to AA+ with a negative outlook and affirmed the A-1+ short-term rating. As a result, on August 8, 2011, Standard & Poor's lowered the long-term issuer credit ratings and related issuer ratings on select government-related entities. Specifically, Standard & Poor's lowered its long-term issuer credit ratings and related issuer ratings on 10 of the 12 FHLBanks and on the senior unsecured debt issued by the FHLBank System from AAA to AA+ with a negative outlook (the FHLBank of Chicago and the FHLBank of Seattle were already rated AA+) and removed the FHLBanks and relevant debt issues from CreditWatch. On July 31, 2012, Standard & Poor's corrected its rating on the FHLBank of Seattle by lowering its long-term rating from AA+ to AA, and stated that the new rating reflects the FHLBank of Seattle's unchanged stand-alone credit profile, plus expected extraordinary government support if needed, according to Standard & Poor's government-related entity criteria. The outlook remains negative.

On July 13, 2011, Moody's placed the Aaa bond rating of the U. S. government, and consequently the ratings of the GSEs, including the FHLBanks, on review for possible downgrade because of the risk that the statutory debt limit would not be raised in time to prevent a default on U.S. Treasury debt obligations. On August 2, 2011, Moody's confirmed the Aaa bond rating of the U.S. government following the raising of the statutory debt limit and changed the rating outlook to negative. Also on August 2, 2011, Moody's confirmed the long-term Aaa rating on the senior unsecured debt issues of the FHLBank System, the 12 FHLBanks, and other ratings Moody's considers directly linked to the U.S. government. In conjunction with the revision of the U.S. government outlook to negative, Moody's also revised the rating outlook for the FHLBank System and the 12 FHLBanks to negative.

On November 28, 2011, Fitch Ratings (Fitch) affirmed the AAA long-term rating for the Federal Home Loan Banks of Atlanta, Boston, San Francisco, and Seattle and revised their rating outlook to negative. Fitch does not issue ratings for the other eight FHLBanks. This action followed Fitch's affirmation of the U.S. government's AAA rating and revision of its rating outlook to negative. On September 7, 2012, Fitch affirmed and withdrew the AAA long-term rating for the Federal Home Loan Banks of Boston, San Francisco, and Seattle, and stated that its ratings of the three FHLBanks were no longer considered by Fitch to be relevant to its coverage. Fitch affirmed the AAA long-term rating and negative outlook for the Federal Home Loan Bank of Atlanta on the same date.

The following table summarizes the fair value of derivatives instruments without the effect of netting arrangements or collateral as of September 30, 2012, and December 31, 2011. For purposes of this disclosure, the derivatives values include the fair value of derivatives and related accrued interest.

	September 30, 2012								December 31, 2011
	Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities			Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	34,327	$	1,118		$	334		$	56,355	$	1,241		$	309
Total	34,327		1,118			334			56,355		1,241			309
Derivatives not designated as hedging instruments:
Interest rate swaps	64,275		313			388			72,245		366			492
Interest rate caps, floors, corridors, and/or collars	951		1			7			976		4			11
Total	65,226		314			395			73,221		370			503
Total derivatives before netting and collateral adjustments	$	99,553	1,432			729			$	129,576	1,611			812
Netting adjustments by counterparty			(669		)	(669		)			(697		)	(697		)
Cash collateral and related accrued interest			(418		)	2					(514		)	(42		)
Total collateral and netting adjustments(1)			(1,087		)	(667		)			(1,211		)	(739		)
Derivative assets and derivative liabilities as reported on the Statements of Condition			$	345		$	62				$	400		$	73

(1) Amounts include the netting of derivative assets and liabilities by counterparty, including cash collateral, where the Bank has the legal right to do so under its master netting agreement with each counterparty.

The following table presents the components of net gain/(loss) on derivatives and hedging activities as presented in the Statements of Income for the three and nine months ended September 30, 2012 and 2011.

	Three Months Ended						Nine Months Ended
	September 30, 2012			September 30, 2011			September 30, 2012			September 30, 2011
	Gain/(Loss)			Gain/(Loss)			Gain/(Loss)			Gain/(Loss)
Derivatives and hedged items in fair value hedging relationships – hedge ineffectiveness by derivative type:
Interest rate swaps	$	(3	)	$	(13	)	$	(18	)	$	(18	)
Total net loss related to fair value hedge ineffectiveness	(3		)	(13		)	(18		)	(18		)
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	(28		)	(149		)	(66		)	(199		)
Interest rate caps, floors, corridors, and/or collars	—			(1		)	1			—
Net interest settlements	(2		)	(2		)	(20		)	(19		)
Total net loss related to derivatives not designated as hedging instruments	(30		)	(152		)	(85		)	(218		)
Net loss on derivatives and hedging activities	$	(33	)	$	(165	)	$	(103	)	$	(236	)

The following tables present, by type of hedged item, the gains and losses on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on the Bank's net interest income for the three and nine months ended September 30, 2012 and 2011.

	Three Months Ended
	September 30, 2012											September 30, 2011
Hedged Item Type	Gain/ (Loss) on Derivatives			Gain/ (Loss) on Hedged Item		Net Fair Value Hedge Ineffectiveness			Effect of Derivatives on Net Interest Income(1)			Gain/ (Loss) on Derivatives			Gain/ (Loss) on Hedged Item			Net Fair Value Hedge Ineffectiveness			Effect of Derivatives on Net Interest Income(1)
Advances	$	(36	)	$	36	$	—		$	(35	)	$	(60	)	$	58		$	(2	)	$	(59	)
Consolidated obligation bonds	(43		)	40		(3		)	128			59			(70		)	(11		)	266
Total	$	(79	)	$	76	$	(3	)	$	93		$	(1	)	$	(12	)	$	(13	)	$	207

	Nine Months Ended
	September 30, 2012											September 30, 2011
Hedged Item Type	Gain/ (Loss) on Derivatives			Gain/ (Loss) on Hedged Item		Net Fair Value Hedge Ineffectiveness			Effect of Derivatives on Net Interest Income(1)			Gain/ (Loss) on Derivatives			Gain/ (Loss) on Hedged Item		Net Fair Value Hedge Ineffectiveness			Effect of Derivatives on Net Interest Income(1)
Advances	$	(63	)	$	64	$	1		$	(110	)	$	(19	)	$	18	$	(1	)	$	(209	)
Consolidated obligation bonds	(146		)	127		(19		)	399			(205		)	188		(17		)	913
Total	$	(209	)	$	191	$	(18	)	$	289		$	(224	)	$	206	$	(18	)	$	704

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

For the three and nine months ended September 30, 2012 and 2011, there were no reclassifications from other comprehensive income/(loss) into earnings as a result of the discontinuance of cash flow hedges because the original forecasted transactions occurred by the end of the originally specified time period or within a two-month period thereafter.

As of September 30, 2012, the amount of unrecognized net losses on derivative instruments accumulated in other comprehensive income/(loss) expected to be reclassified to earnings during the next 12 months was de minimis. The maximum length of time over which the Bank is hedging its exposure to the variability in future cash flows for forecasted transactions, excluding those forecasted transactions related to the payment of variable interest on existing financial instruments, is less than three months.

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Consolidated Obligations

9 Months Ended

Sep. 30, 2012

Debt Disclosure [Abstract]

Consolidated Obligations

Consolidated Obligations

Consolidated obligations, consisting of consolidated obligation bonds and discount notes, are jointly issued by the FHLBanks through the Office of Finance, which serves as the FHLBanks' agent. As provided by the FHLBank Act or by regulations governing the operations of the FHLBanks, all FHLBanks have joint and several liability for all FHLBank consolidated obligations. For a discussion of the joint and several liability regulation, see “Item 8. Financial Statements and Supplementary Data – Note 20 – Commitments and Contingencies” in the Bank's 2011 Form 10-K. In connection with each debt issuance, 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 September 30, 2012, and December 31, 2011.

	September 30, 2012					December 31, 2011
Contractual Maturity	Amount Outstanding			Weighted Average Interest Rate		Amount Outstanding			Weighted Average Interest Rate
Within 1 year	$	34,673		1.17	%	$	40,924		0.54	%
After 1 year through 2 years	18,920			1.09		19,124			2.38
After 2 years through 3 years	2,251			2.00		3,731			1.92
After 3 years through 4 years	4,156			1.68		2,955			1.96
After 4 years through 5 years	5,469			3.71		8,006			3.15
After 5 years	6,761			2.39		7,301			3.37
Index amortizing notes	4			4.61		4			4.61
Total par amount	72,234			1.51	%	82,045			1.59	%
Unamortized premiums	82					89
Unamortized discounts	(25		)			(35		)
Valuation adjustments for hedging activities	1,035					1,208
Fair value option valuation adjustments	45					43
Total	$	73,371				$	83,350

The Bank's participation in consolidated obligation bonds outstanding includes callable bonds of $9,092 at September 30, 2012, and $17,091 at December 31, 2011. Contemporaneous with the issuance of a callable bond for which the Bank is the primary obligor, the Bank routinely enters into an interest rate swap (in which the Bank pays a variable rate and receives a fixed rate) with a call feature that mirrors the call option embedded in the bond (a sold callable swap). The Bank had notional amounts of interest rate exchange agreements hedging callable bonds of $4,346 at September 30, 2012, and $11,541 at December 31, 2011. The combined sold callable swap and callable bond enable the Bank to meet its funding needs at costs not otherwise directly attainable solely through the issuance of non-callable debt, while effectively converting the Bank's net payment to an adjustable rate.

The Bank's participation in consolidated obligation bonds was as follows:

	September 30, 2012		December 31, 2011
Par amount of consolidated obligation bonds:
Non-callable	$	63,142	$	64,954
Callable	9,092		17,091
Total par amount	$	72,234	$	82,045

The following is a summary of the Bank's participation in consolidated obligation bonds outstanding at September 30, 2012, and December 31, 2011, by the earlier of the year of contractual maturity or next call date.

Earlier of Contractual Maturity or Next Call Date	September 30, 2012		December 31, 2011
Within 1 year	$	42,819	$	51,735
After 1 year through 2 years	18,470		18,954
After 2 years through 3 years	2,231		2,661
After 3 years through 4 years	3,741		1,985
After 4 years through 5 years	4,102		5,761
After 5 years	867		945
Index amortizing notes	4		4
Total par amount	$	72,234	$	82,045

Consolidated obligation discount notes are consolidated obligations issued to raise short-term funds. These notes are issued at less than their face amount 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:

	September 30, 2012					December 31, 2011
	Amount Outstanding			Weighted Average Interest Rate		Amount Outstanding			Weighted Average Interest Rate
Par amount	$	9,731		0.15	%	$	19,159		0.11	%
Unamortized discounts	(3		)			(7		)
Total	$	9,728				$	19,152

Interest Rate Payment Terms. Interest rate payment terms for consolidated obligations at September 30, 2012, and December 31, 2011, are detailed in the following table. For information on the general terms and types of consolidated obligations outstanding, see “Item 8. Financial Statements and Supplementary Data – Note 12 – Consolidated Obligations” in the Bank's 2011 Form 10-K.

	September 30, 2012		December 31, 2011
Par amount of consolidated obligations:
Bonds:
Fixed rate	$	42,653	$	59,607
Adjustable rate	27,768		19,688
Step-up	1,769		2,221
Step-down	15		115
Fixed rate that converts to adjustable rate	25		290
Adjustable rate that converts to fixed rate	—		35
Adjustable rate that converts to step-up	—		75
Range bonds	—		10
Index amortizing notes	4		4
Total bonds, par	72,234		82,045
Discount notes, par	9,731		19,159
Total consolidated obligations, par	$	81,965	$	101,204

At September 30, 2012, and December 31, 2011, the Bank used interest exchange agreements to effectively convert 72% and 80% of the fixed rate bonds to an adjustable rate, such as LIBOR, and 98% and 96% of the adjustable rate bonds to a different adjustable rate index, such as 1-month or 3-month LIBOR. At September 30, 2012, and December 31, 2011, the Bank used interest rate exchange agreements to effectively convert 35% and 61% of the fixed rate discount notes to an adjustable rate, such as LIBOR. For more information, see Note 15 – Derivatives and Hedging Activities.

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 September 30, 2012, and December 31, 2011. In general, the Bank has elected to account for bonds with embedded features under the fair value option, and these bonds are carried at fair value on the Statements of Condition. For more information, See Note 16 – Fair Value.

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Capital (Retained Earnings and Dividend Policy) (Details) (USD $) In Millions, unless otherwise specified	3 Months Ended		9 Months Ended			3 Months Ended		9 Months Ended		3 Months Ended		9 Months Ended		3 Months Ended		9 Months Ended		3 Months Ended		9 Months Ended
	Sep. 30, 2012 bank	Sep. 30, 2011	Sep. 30, 2012 bank	Sep. 30, 2011	Dec. 31, 2011	Sep. 30, 2012 Restricted [Member]	Sep. 30, 2011 Restricted [Member]	Sep. 30, 2012 Restricted [Member]	Sep. 30, 2011 Restricted [Member]	Sep. 30, 2012 Retained Earnings, Appropriated, Valuation Adjustments [Member]	Sep. 30, 2011 Retained Earnings, Appropriated, Valuation Adjustments [Member]	Sep. 30, 2012 Retained Earnings, Appropriated, Valuation Adjustments [Member]	Sep. 30, 2011 Retained Earnings, Appropriated, Valuation Adjustments [Member]	Sep. 30, 2012 Retained Earnings, Appropriated, Targeted Buildup [Member]	Sep. 30, 2011 Retained Earnings, Appropriated, Targeted Buildup [Member]	Sep. 30, 2012 Retained Earnings, Appropriated, Targeted Buildup [Member]	Sep. 30, 2011 Retained Earnings, Appropriated, Targeted Buildup [Member]	Sep. 30, 2012 Retained Earnings, Appropriated, Joint Capital Enhancement Agreement [Member]	Sep. 30, 2011 Retained Earnings, Appropriated, Joint Capital Enhancement Agreement [Member]	Sep. 30, 2012 Retained Earnings, Appropriated, Joint Capital Enhancement Agreement [Member]	Sep. 30, 2011 Retained Earnings, Appropriated, Joint Capital Enhancement Agreement [Member]	Sep. 30, 2012 Minimum [Member]	Sep. 30, 2011 Minimum [Member]	Jul. 26, 2012 Dividend Declared [Member]
Capital [Line Items]
Targeted Retained Earnings, Appropriated	$ 1,800		$ 1,800
Number of FHLBanks	12		12
Joint Capital Enhancement Agreement Percentage		20.00%		20.00%
Percent of Average Balance of Outstanding Consolidated Obligations Required per the Joint Capital Enhancement Agreement For Each Previous Quarter																							1.00%
Balance at beginning of the period			1,803			1,954	1,665	1,803	1,609	72	130	79	148	1,800	1,535	1,695	1,461	82	0	29	0
Transfers to/(from) restricted retained earnings						25	30	176	86	(2)	(44)	(9)	(62)	0	67	105	141	27	7	80	7
Balance at end of the period	1,979		1,979			1,979	1,695	1,979	1,695	70	86	70	86	1,800	1,602	1,800	1,602	109	7	109	7
Dividends, Per Share, Cash, Annualized Rate	0.47%	0.26%	0.49%	0.29%
Payments of Dividends	11	8	37	27
Dividends, Per Share, Cash Declared, Annualized Rate																								2.51%
Dividends Payable, Amount																								60
Regulatory Restrictions on Payment of Capital Stock Dividends, Excess Stock to Assets, Percent																						1.00%
Excess Capital	$ 5,741		$ 5,741		$ 6,214
Excess Capital to Assets	6.10%		6.10%

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Advances

9 Months Ended

Sep. 30, 2012

Advances [Abstract]

Advances

Advances

The Bank offers a wide range of fixed and adjustable rate advance products with different maturities, interest rates, payment characteristics, and optionality. 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, where the interest rates reset periodically at a fixed spread to LIBOR or to another specified index.

Redemption Terms. The Bank had advances outstanding, excluding overdrawn demand deposit accounts, at interest rates ranging from 0.19% to 8.57% at September 30, 2012, and 0.05% to 8.57% at December 31, 2011, as summarized below.

	September 30, 2012				December 31, 2011
Contractual Maturity	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding		Weighted Average Interest Rate
Within 1 year	$	25,131	0.74	%	$	26,432	0.88	%
After 1 year through 2 years	8,131		1.44		20,608		1.03
After 2 years through 3 years	6,449		1.64		5,840		1.73
After 3 years through 4 years	2,526		2.40		5,686		2.02
After 4 years through 5 years	5,656		1.16		5,634		1.46
After 5 years	3,270		2.12		3,236		2.78
Total par amount	51,163		1.18	%	67,436		1.24	%
Valuation adjustments for hedging activities	334				302
Valuation adjustments under fair value option	328				426
Total	$	51,825			$	68,164

Many of the Bank's advances are prepayable at the member's option. However, when advances are prepaid, the member is generally charged a prepayment fee intended to make the Bank financially indifferent to the prepayment. In addition, for certain advances with partial prepayment symmetry, the Bank may charge the member a prepayment fee or pay the member a prepayment credit depending on certain circumstances, such as movements in interest rates, when the advance is prepaid. The Bank had advances with partial prepayment symmetry outstanding totaling $6,707 at September 30, 2012, and $6,875 at December 31, 2011. Some advances may be repaid on pertinent call dates without prepayment fees (callable advances). The Bank had callable advances outstanding totaling $61 at September 30, 2012, and $328 at December 31, 2011.

The Bank's advances at September 30, 2012, and December 31, 2011, included $290 and $1,461, respectively, of putable advances. At the Bank's discretion, the Bank may terminate these advances on predetermined exercise dates and offer replacement funding at prevailing market rates, subject to certain conditions. The Bank would typically exercise such termination rights when interest rates increase.

The following table summarizes advances at September 30, 2012, and December 31, 2011, by the earlier of the year of contractual maturity or next call date for callable advances and by the earlier of the year of contractual maturity or next put date for putable advances.

	Earlier of Contractual Maturity or Next Call Date				Earlier of Contractual Maturity or Next Put Date
	September 30, 2012		December 31, 2011		September 30, 2012		December 31, 2011
Within 1 year	$	25,192	$	26,755	$	25,396	$	27,566
After 1 year through 2 years	8,131		20,602		8,117		20,513
After 2 years through 3 years	6,449		5,805		6,421		5,748
After 3 years through 4 years	2,526		5,665		2,526		5,416
After 4 years through 5 years	5,646		5,583		5,481		5,559
After 5 years	3,219		3,026		3,222		2,634
Total par amount	$	51,163	$	67,436	$	51,163	$	67,436

Credit and Concentration Risk. The following tables present the concentration in advances to the top five borrowers and their affiliates at September 30, 2012, and September 30, 2011. The tables also present the interest income from these advances before the impact of interest rate exchange agreements associated with these advances for the three and nine months ended September 30, 2012 and 2011.

	September 30, 2012				Three Months Ended September 30, 2012				Nine Months Ended September 30, 2012
Name of Borrower	Advances Outstanding(1)		Percentage of Total Advances Outstanding		Interest Income from Advances(2)		Percentage of Total Interest Income from Advances		Interest Income from Advances(2)		Percentage of Total Interest Income from Advances
JPMorgan Chase & Co.:
JPMorgan Bank & Trust Company, National Association	$	13,450	26	%	$	28	17	%	$	81	15	%
JPMorgan Chase Bank, National Association(3)	1,549		3		3		2		11		2
Subtotal JPMorgan Chase & Co.	14,999		29		31		19		92		17
Citibank, N.A.(3)	9,785		19		9		5		37		7
Bank of the West	4,260		8		24		15		76		14
OneWest Bank, FSB	3,851		8		12		7		43		8
First Republic Bank	3,150		6		14		9		40		7
Subtotal	36,045		70		90		55		288		53
Others	15,118		30		73		45		249		47
Total	$	51,163	100	%	$	163	100	%	$	537	100	%

	September 30, 2011				Three Months Ended September 30, 2011				Nine Months Ended September 30, 2011
Name of Borrower	Advances Outstanding(1)		Percentage of Total Advances Outstanding		Interest Income from Advances(2)		Percentage of Total Interest Income from Advances		Interest Income from Advances(2)		Percentage of Total Interest Income from Advances
JPMorgan Chase & Co.:
JPMorgan Bank & Trust Company, National Association	$	22,700	29	%	$	29	13	%	$	90	12	%
JPMorgan Chase Bank, National Association(3)	1,563		2		3		1		15		2
Subtotal JPMorgan Chase & Co.	24,263		31		32		14		105		14
Citibank, N.A. (3)	17,378		22		11		5		44		6
Bank of America California, N.A.	5,900		8		11		5		54		7
OneWest Bank, FSB	5,379		7		27		12		91		12
Bank of the West	5,051		7		27		12		84		11
Subtotal	57,971		75		108		48		378		50
Others	19,702		25		122		52		382		50
Total	$	77,673	100	%	$	230	100	%	$	760	100	%

(1) Borrower advance amounts and total advance amounts are at par value, and total advance amounts will not agree to carrying value amounts shown in the Statements of Condition. The differences between the par and carrying value amounts primarily relate to unrealized gains or losses associated with hedged advances resulting from valuation adjustments related to hedging activities and under the fair value option.

(2) Interest income amounts exclude the interest effect of interest rate exchange agreements with derivatives 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.

(3) Nonmember institution.

The Bank held a security interest in collateral from each of the top five advances borrowers and their affiliates sufficient to support their respective advances outstanding, and the Bank does not expect to incur any credit losses on these advances. As of September 30, 2012, two of the advances borrowers and their affiliates (JPMorgan Chase & Co. and Citibank, N.A.) each owned more than 10% of the Bank's outstanding capital stock, including mandatorily redeemable capital stock.

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

Interest Rate Payment Terms. Interest rate payment terms for advances at September 30, 2012, and December 31, 2011, are detailed below:

	September 30, 2012		December 31, 2011
Par amount of advances:
Fixed rate:
Due within 1 year	$	6,225	$	11,606
Due after 1 year	18,250		20,577
Total fixed rate	24,475		32,183
Adjustable rate
Due within 1 year	18,906		14,826
Due after 1 year	7,782		20,427
Total adjustable rate	26,688		35,253
Total par amount	$	51,163	$	67,436

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

At September 30, 2012, and December 31, 2011, the Bank used derivatives to effectively convert 75% and 75% of the fixed rate advances to an adjustable rate, such as LIBOR, and 1% and 0% of the adjustable rate advances to a different adjustable rate index, such as 1-month or 3-month LIBOR.

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 September 30, 2012, and December 31, 2011.

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

	Three Months Ended						Nine Months Ended
	September 30, 2012			September 30, 2011			September 30, 2012			September 30, 2011
Prepayment fees received	$	53		$	16		$	158		$	71
Fair value adjustments	(35		)	(14		)	(117		)	(59		)
Net	$	18		$	2		$	41		$	12
Advance principal prepaid	$	1,309		$	751		$	2,825		$	4,046

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Other-Than-Temporary Impairment Analysis (OTTI Rollforward) (Details) (USD $) In Millions, unless otherwise specified	3 Months Ended				9 Months Ended
	Sep. 30, 2012		Sep. 30, 2011		Sep. 30, 2012		Sep. 30, 2011
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward]
Balance, beginning of the period	$ 1,387		$ 1,223		$ 1,362		$ 952
Charges on securities for which OTTI was not previously recognized	0		1		0		12
Additional charges on securities for which OTTI was previously recognized	4	[1]	100	[1]	34	[1]	361	[1]
Increases in cash flows expected to be collected, recognized over the remaining life of the securities	(1)		(1)		(6)		(2)
Balance, end of the period	$ 1,390		$ 1,323		$ 1,390		$ 1,323

[1] For the three months ended September 30, 2012, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to July 1, 2012. For the three months ended September 30, 2011, “securities for which OTTI was previously recognized” represents all securities that were also previously other-than-temporarily impaired prior to July 1, 2011. For the nine months ended September 30, 2012, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2012. For the nine months ended September 30, 2011, “securities for which OTTI was previously recognized” represents all securities that were also previously other-than-temporarily impaired prior to January 1, 2011.

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Held-to-Maturity Securities

9 Months Ended

Sep. 30, 2012

Held to Maturity Securities [Abstract]

Held-to-maturity Securities

Held-to-Maturity Securities

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

September 30, 2012
	Amortized Cost(1)		OTTI Recognized in AOCI(1)			Carrying Value(1)		Gross Unrecognized Holding Gains(2)		Gross Unrecognized Holding Losses(2)			Estimated Fair Value
Interest-bearing deposits	$	1,000	$	—		$	1,000	$	—	$	—		$	1,000
Commercial paper	710		—			710		—		—			710
Housing finance agency bonds	560		—			560		—		(114		)	446
Subtotal	2,270		—			2,270		—		(114		)	2,156
MBS:
Other U.S. obligations – Ginnie Mae	183		—			183		9		—			192
GSEs:
Freddie Mac	5,061		—			5,061		165		(1		)	5,225
Fannie Mae	7,839		—			7,839		275		(4		)	8,110
Subtotal GSEs	12,900		—			12,900		440		(5		)	13,335
PLRMBS:
Prime	1,848		—			1,848		—		(85		)	1,763
Alt-A, option ARM	42		—			42		—		(11		)	31
Alt-A, other	1,214		(36		)	1,178		20		(76		)	1,122
Subtotal PLRMBS	3,104		(36		)	3,068		20		(172		)	2,916
Total MBS	16,187		(36		)	16,151		469		(177		)	16,443
Total	$	18,457	$	(36	)	$	18,421	$	469	$	(291	)	$	18,599

December 31, 2011
	Amortized Cost(1)		OTTI Recognized in AOCI(1)			Carrying Value(1)		Gross Unrecognized Holding Gains(2)		Gross Unrecognized Holding Losses(2)			Estimated Fair Value
Interest-bearing deposits	$	3,539	$	—		$	3,539	$	—	$	—		$	3,539
Commercial paper	1,800		—			1,800		—		—			1,800
Housing finance agency bonds	646		—			646		—		(136		)	510
Subtotal	5,985		—			5,985		—		(136		)	5,849
MBS:
Other U.S. obligations – Ginnie Mae	217		—			217		9		—			226
GSEs:
Freddie Mac	3,374		—			3,374		133		—			3,507
Fannie Mae	8,314		—			8,314		316		(12		)	8,618
Subtotal GSEs	11,688		—			11,688		449		(12		)	12,125
PLRMBS:
Prime	2,201		—			2,201		1		(249		)	1,953
Alt-A, option ARM	46		—			46		—		(17		)	29
Alt-A, other	1,489		(45		)	1,444		14		(226		)	1,232
Subtotal PLRMBS	3,736		(45		)	3,691		15		(492		)	3,214
Total MBS	15,641		(45		)	15,596		473		(504		)	15,565
Total	$	21,626	$	(45	)	$	21,581	$	473	$	(640	)	$	21,414

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

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

Securities Transferred. Beginning in the first quarter of 2011, the Bank elected to transfer any PLRMBS that incurred a credit-related OTTI charge during the applicable period from the Bank's held-to-maturity portfolio to its available-for-sale portfolio at their fair values. These transfers allow the Bank the option to divest these securities prior to maturity in response to changes in interest rates, changes in prepayment risk, or other factors, while acknowledging its intent to hold these securities for an indefinite period of time. For additional information on the transferred securities, see Note 4 – Available-for-Sale Securities and Note 6 – Other-Than-Temporary Impairment Analysis.

The following tables summarize the held-to-maturity securities with unrealized losses as of September 30, 2012, and December 31, 2011. The unrealized losses are aggregated by major security type and the length of time that individual securities have been in a continuous unrealized loss position. Total unrealized losses in the following table will not agree to the total gross unrecognized losses in the table above. The unrealized losses in the following table also include non-credit-related OTTI losses recognized in AOCI. For OTTI analysis of held-to-maturity securities, see Note 6 – Other-Than-Temporary Impairment Analysis.

September 30, 2012
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
Interest-bearing deposits	$	1,000	$	—	$	—	$	—	$	1,000	$	—
Commercial paper	710		—		—		—		710		—
Housing finance agency bonds	—		—		446		114		446		114
Subtotal	1,710		—		446		114		2,156		114
MBS:
Other U.S. obligations – Ginnie Mae	—		—		3		—		3		—
GSEs:
Freddie Mac	291		1		14		—		305		1
Fannie Mae	63		—		256		4		319		4
Subtotal GSEs	354		1		270		4		624		5
PLRMBS:
Prime	90		2		1,547		83		1,637		85
Alt-A, option ARM	—		—		31		11		31		11
Alt-A, other	—		—		1,106		112		1,106		112
Subtotal PLRMBS	90		2		2,684		206		2,774		208
Total MBS	444		3		2,957		210		3,401		213
Total	$	2,154	$	3	$	3,403	$	324	$	5,557	$	327

December 31, 2011
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
Interest-bearing deposits	$	3,539	$	—	$	—	$	—	$	3,539	$	—
Commercial paper	300		—		—		—		300		—
Housing finance agency bonds	—		—		510		136		510		136
Subtotal	3,839		—		510		136		4,349		136
MBS:
Other U.S. obligations – Ginnie Mae	—		—		4		—		4		—
GSEs:
Freddie Mac	1		—		24		—		25		—
Fannie Mae	223		3		201		9		424		12
Subtotal GSEs	224		3		225		9		449		12
PLRMBS:
Prime	180		5		1,676		244		1,856		249
Alt-A, option ARM	—		—		29		17		29		17
Alt-A, other	—		—		1,206		271		1,206		271
Subtotal PLRMBS	180		5		2,911		532		3,091		537
Total MBS	404		8		3,140		541		3,544		549
Total	$	4,243	$	8	$	3,650	$	677	$	7,893	$	685

As indicated in the tables above, the Bank's investments classified as held-to-maturity had gross unrealized losses primarily related to PLRMBS. The gross unrealized losses associated with the PLRMBS were primarily due to illiquidity in the MBS market, uncertainty about the future condition of the housing and mortgage markets and the economy, and market expectations of the credit performance of the loan collateral underlying these securities, which caused these assets to be valued at significant discounts to their acquisition cost.

Redemption Terms. The amortized cost, carrying value, and estimated fair value of non-MBS securities by contractual maturity (based on contractual final principal payment) and of MBS as of September 30, 2012, and December 31, 2011, are shown below. Expected maturities of MBS will differ from contractual maturities because borrowers generally have the right to prepay the underlying obligations without prepayment fees.

September 30, 2012
Year of Contractual Maturity	Amortized Cost(1)		Carrying Value(1)		Estimated Fair Value
Held-to-maturity securities other than MBS:
Due in 1 year or less	$	1,710	$	1,710	$	1,710
Due after 1 year through 5 years	19		19		18
Due after 5 years through 10 years	47		47		41
Due after 10 years	494		494		387
Subtotal	2,270		2,270		2,156
MBS:
Other U.S. obligations – Ginnie Mae	183		183		192
GSEs:
Freddie Mac	5,061		5,061		5,225
Fannie Mae	7,839		7,839		8,110
Subtotal GSEs	12,900		12,900		13,335
PLRMBS:
Prime	1,848		1,848		1,763
Alt-A, option ARM	42		42		31
Alt-A, other	1,214		1,178		1,122
Subtotal PLRMBS	3,104		3,068		2,916
Total MBS	16,187		16,151		16,443
Total	$	18,457	$	18,421	$	18,599

December 31, 2011
Year of Contractual Maturity	Amortized Cost(1)		Carrying Value(1)		Estimated Fair Value
Held-to-maturity securities other than MBS:
Due in 1 year or less	$	5,342	$	5,342	$	5,342
Due after 5 years through 10 years	23		23		21
Due after 10 years	620		620		486
Subtotal	5,985		5,985		5,849
MBS:
Other U.S. obligations – Ginnie Mae	217		217		226
GSEs:
Freddie Mac	3,374		3,374		3,507
Fannie Mae	8,314		8,314		8,618
Subtotal GSEs	11,688		11,688		12,125
PLRMBS:
Prime	2,201		2,201		1,953
Alt-A, option ARM	46		46		29
Alt-A, other	1,489		1,444		1,232
Subtotal PLRMBS	3,736		3,691		3,214
Total MBS	15,641		15,596		15,565
Total	$	21,626	$	21,581	$	21,414

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

At September 30, 2012, the amortized cost of the Bank's MBS classified as held-to-maturity included premiums of $78, discounts of $41, and credit-related OTTI of $5 (including interest accretion adjustments of $4). At December 31, 2011, the amortized cost of the Bank's MBS classified as held-to-maturity included premiums of $80, discounts of $39, and credit-related OTTI of $5 (including interest accretion adjustments of $4).

Interest Rate Payment Terms. Interest rate payment terms for held-to-maturity securities at September 30, 2012, and December 31, 2011, are detailed in the following table:

	September 30, 2012		December 31, 2011
Amortized cost of held-to-maturity securities other than MBS:
Fixed rate	$	1,710	$	5,339
Adjustable rate	560		646
Subtotal	2,270		5,985
Amortized cost of held-to-maturity MBS:
Passthrough securities:
Fixed rate	1,061		1,778
Adjustable rate	388		158
Collateralized mortgage obligations:
Fixed rate	10,066		8,955
Adjustable rate	4,672		4,750
Subtotal	16,187		15,641
Total	$	18,457	$	21,626

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

	September 30, 2012		December 31, 2011
Passthrough securities:
Converts in 1 year or less	$	198	$	504
Converts after 1 year through 5 years	565		712
Converts after 5 years through 10 years	282		543
Total	$	1,045	$	1,759
Collateralized mortgage obligations:
Converts in 1 year or less	$	155	$	519
Converts after 1 year through 5 years	547		804
Converts after 5 years through 10 years	29		30
Total	$	731	$	1,353

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Other-Than-Temporary Impairment Analysis

9 Months Ended

Sep. 30, 2012

Other-Than-Temporary Impairment Analysis [Abstract]

Other-than-Temporary Impairment Analysis

Other-Than-Temporary Impairment Analysis

On a quarterly basis, the Bank evaluates its individual available-for-sale and held-to-maturity investment securities in an unrealized loss position for OTTI. As part of this evaluation, the Bank considers whether it intends to sell each debt security and whether it is more likely than not that it will be required to sell the security before its anticipated recovery of the amortized cost basis. If either of these conditions is met, the Bank recognizes an OTTI charge to earnings equal to the entire difference between the security's amortized cost basis and its fair value at the balance sheet date. For securities in an unrealized loss position that meet neither of these conditions, the Bank considers whether it expects to recover the entire amortized cost basis of the security by comparing its best estimate of the present value of the cash flows expected to be collected from the security with the amortized cost basis of the security. If the Bank's best estimate of the present value of the cash flows expected to be collected is less than the amortized cost basis, the difference is considered the credit loss.

PLRMBS. To assess whether it expects to recover the entire amortized cost basis of its PLRMBS, the Bank performed a cash flow analysis for all of its PLRMBS as of September 30, 2012, using two third-party models. The first model projects prepayments, default rates, and loss severities based on borrower characteristics and the particular attributes of the loans underlying the Bank's securities, in conjunction with assumptions related primarily to future changes in home prices and interest rates. A significant input to the first model is the forecast of future housing price changes for the relevant states and core-based statistical areas (CBSAs), which are based on an assessment of the individual housing markets. CBSA refers collectively to metropolitan and micropolitan statistical areas as defined by the United States Office of Management and Budget. As currently defined, a CBSA must contain at least one urban area with a population of 10,000 or more people. The Bank's housing price forecast as of September 30, 2012, assumed current-to-trough home price declines ranging from 0% (for those housing markets that are believed to have reached their trough) to 4% over the 3- to 9-month periods beginning July 1, 2012. For the vast majority of markets where further home price declines are anticipated, the declines were projected to range from 1% to 2% over the 3-month period beginning July 1, 2012. Thereafter, home prices were projected to recover using one of five different recovery paths that vary by housing market. The table below presents the ranges of the annualized projected home price recovery rates by month at September 30, 2012.

Months	September 30, 2012
1 - 6	0.0	%	-	2.8%
7 - 18	0.0	%	-	3.0%
19 - 24	1.0	%	-	4.0%
25 - 30	2.0	%	-	4.0%
31 - 42	2.0	%	-	5.0%
43 - 66	2.0	%	-	6.0%
Thereafter	2.3	%	-	5.6%

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

At each quarter end, the Bank compares the present value of the cash flows expected to be collected on its PLRMBS to the amortized cost basis of the securities to determine whether a credit loss exists. For the Bank's variable rate and hybrid PLRMBS, the Bank uses the effective interest rate derived from a variable rate index (for example, one-month LIBOR) plus the contractual spread, plus or minus a fixed spread adjustment when there is an existing discount or premium on the security. As the implied forward curve of the index changes over time, the effective interest rates derived from that index will also change over time. The Bank then uses the effective interest rate for the security prior to impairment for determining the present value of the future estimated cash flows. For all securities, including securities previously identified as other-than-temporarily impaired, the Bank updates its estimate of future estimated cash flows on a quarterly basis.

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

For securities determined to be other-than-temporarily impaired as of September 30, 2012 (that is, securities for which the Bank determined that it does not expect to recover the entire amortized cost basis), the following table presents a summary of the significant inputs used in measuring the amount of credit loss recognized in earnings in the third quarter of 2012.

September 30, 2012
	Significant Inputs for Other-Than-Temporarily Impaired PLRMBS												Current
	Prepayment Rates				Default Rates				Loss Severities				Credit Enhancement
Year of Securitization	Weighted Average %	Range %			Weighted Average %	Range %			Weighted Average %	Range %			Weighted Average %	Range %
Prime
2007	9.6	9.6	-	9.6	7.9	7.9	-	7.9	27.7	27.7	-	27.7	20.1	20.1	-	20.1
2006	11.9	11.0	-	12.2	24.0	22.3	-	31.4	44.0	42.8	-	49.2	2.4	0.2	-	2.9
2004 and earlier	13.8	13.8	-	13.8	14.5	14.5	-	14.5	35.6	35.6	-	35.6	5.0	5.0	-	5.0
Total Prime	11.5	9.6	-	13.8	11.6	7.9	-	31.4	32.0	27.7	-	49.2	12.7	0.2	-	20.1
Alt-A, option ARM
2007	1.9	1.9	-	1.9	85.8	85.8	-	85.8	61.1	61.1	-	61.1	35.5	35.5	-	35.5
2005	4.3	4.1	-	4.6	53.7	45.7	-	60.5	40.3	37.3	-	47.0	9.7	5.1	-	18.1
Total Alt-A, option ARM	3.3	1.9	-	4.6	66.9	45.7	-	85.8	48.9	37.3	-	61.1	20.3	5.1	-	35.5
Alt-A, other
2007	5.1	5.1	-	5.1	68.6	68.6	-	68.6	48.8	48.8	-	48.8	40.3	40.3	-	40.3
2006	8.1	7.0	-	8.4	44.8	42.3	-	56.5	48.4	46.2	-	52.2	25.7	0.0	-	33.2
2005	8.8	7.8	-	11.1	29.5	17.4	-	36.2	44.6	35.2	-	48.1	15.5	3.8	-	25.5
2004 and earlier	10.1	9.0	-	12.4	9.0	5.0	-	13.4	25.8	20.5	-	29.2	17.0	14.0	-	25.9
Total Alt-A, other	8.2	5.1	-	12.4	38.4	5.0	-	68.6	45.9	20.5	-	52.2	21.7	0.0	-	40.3
Total	7.8	1.9	-	13.8	40.8	5.0	-	85.8	45.7	20.5	-	61.1	21.2	0.0	-	40.3

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

The following tables present the Bank's credit- and non-credit-related OTTI on its other-than-temporarily impaired PLRMBS during the three and nine months ended September 30, 2012 and 2011:

	Three Months Ended September 30, 2012									Three Months Ended September 30, 2011
	Total OTTI			Non-Credit- Related OTTI			Credit- Related OTTI			Total  OTTI			Non-Credit- Related OTTI			Credit- Related OTTI
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
Prime	$	(3	)	$	2		$	(1	)	$	(11	)	$	7		$	(4	)
Alt-A, option ARM	1			(2		)	(1		)	(5		)	(7		)	(12		)
Alt-A, other	(15		)	13			(2		)	(122		)	37			(85		)
Total	$	(17	)	$	13		$	(4	)	$	(138	)	$	37		$	(101	)

	Nine Months Ended September 30, 2012									Nine Months Ended September 30, 2011
	Total OTTI			Non-Credit- Related OTTI			Credit- Related OTTI			Total OTTI			Non-Credit- Related OTTI			Credit- Related OTTI
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
Prime	$	(3	)	$	2		$	(1	)	$	(24	)	$	(9	)	$	(33	)
Alt-A, option ARM	(4		)	(3		)	(7		)	(23		)	(77		)	(100		)
Alt-A, other	(39		)	13			(26		)	(295		)	55			(240		)
Total	$	(46	)	$	12		$	(34	)	$	(342	)	$	(31	)	$	(373	)

For each security classified as held-to-maturity, the estimated non-credit-related OTTI is accreted prospectively, based on the amount and timing of future estimated cash flows, over the remaining life of the security as an increase in the carrying value of the security (with no effect on earnings unless the security is subsequently sold or there are additional decreases in the cash flows expected to be collected). The Bank accreted $7 and $263 from AOCI to increase the carrying value of the respective PLRMBS classified as held-to-maturity for the nine months ended September 30, 2012 and 2011, respectively. The Bank does not intend to sell these securities and it is not more likely than not that the Bank will be required to sell these securities before its anticipated recovery of the remaining amortized cost basis.

The following table presents the credit-related OTTI, which is recognized in earnings, for the three and nine months ended September 30, 2012 and 2011.

	Three Months Ended						Nine Months Ended
	September 30, 2012			September 30, 2011			September 30, 2012			September 30, 2011
Balance, beginning of the period	$	1,387		$	1,223		$	1,362		$	952
Charges on securities for which OTTI was not previously recognized	—			1			—			12
Additional charges on securities for which OTTI was previously recognized(1)	4			100			34			361
Increases in cash flows expected to be collected, recognized over the remaining life of the securities	(1		)	(1		)	(6		)	(2		)
Balance, end of the period	$	1,390		$	1,323		$	1,390		$	1,323

(1) For the three months ended September 30, 2012, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to July 1, 2012. For the three months ended September 30, 2011, “securities for which OTTI was previously recognized” represents all securities that were also previously other-than-temporarily impaired prior to July 1, 2011. For the nine months ended September 30, 2012, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2012. For the nine months ended September 30, 2011, “securities for which OTTI was previously recognized” represents all securities that were also previously other-than-temporarily impaired prior to January 1, 2011.

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

Beginning in the first quarter of 2011, the Bank elected to transfer any PLRMBS that incurred a credit-related OTTI charge during the applicable period from the Bank's held-to-maturity portfolio to its available-for-sale portfolio at their fair values. The Bank recognized an OTTI credit loss on these held-to-maturity PLRMBS, which the Bank believes is evidence of a significant decline in the issuers' creditworthiness. The decline in the issuers' creditworthiness is the basis for the transfers to its available-for-sale portfolio. These transfers allow the Bank the option to sell these securities prior to maturity in response to changes in interest rates, changes in prepayment risk, or other factors, while recognizing the Bank's intent to hold these securities for an indefinite period of time. The Bank does not intend to sell its other-than-temporarily impaired securities and it is not more likely than not that the Bank will be required to sell any security before its anticipated recovery of the remaining amortized cost basis.

The following tables summarize the PLRMBS transferred from the Bank's held-to-maturity portfolio to its available-for-sale portfolio during the three and nine months ended September 30, 2012. The amounts shown represent the values when the securities were transferred from the held-to-maturity portfolio to the available-for-sale portfolio.

	Three Months Ended September 30, 2012									Three Months Ended September 30, 2011
	Amortized Cost		OTTI Recognized in AOCI			Gross Unrecognized Holding Gains		Estimated Fair Value		Amortized Cost		OTTI Recognized in AOCI			Gross Unrecognized Holding Gains		Estimated Fair Value
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
PLRMBS:
Prime	$	19	$	(2	)	$	—	$	17	$	36	$	(6	)	$	—	$	30
Alt-A, option ARM	—		—			—		—		—		—			—		—
Alt-A, other	75		(13		)	—		62		685		(142		)	30		573
Total	$	94	$	(15	)	$	—	$	79	$	721	$	(148	)	$	30	$	603

	Nine Months Ended September 30, 2012									Nine Months Ended September 30, 2011
	Amortized Cost		OTTI Recognized in AOCI			Gross Unrecognized Holding Gains		Estimated Fair Value		Amortized Cost		OTTI Recognized in AOCI			Gross Unrecognized Holding Gains		Estimated Fair Value
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
PLRMBS:
Prime	$	22	$	(2	)	$	—	$	20	$	1,095	$	(300	)	$	143	$	938
Alt-A, option ARM	—		—			—		—		1,574		(520		)	79		1,133
Alt-A, other	140		(26		)	—		114		7,768		(1,829		)	665		6,604
Total	$	162	$	(28	)	$	—	$	134	$	10,437	$	(2,649	)	$	887	$	8,675

The following tables present the Bank's other-than-temporarily impaired PLRMBS that incurred OTTI charges during the three months ended September 30, 2012 and 2011, by loan collateral type:

September 30, 2012
	Available-for-Sale Securities
	Unpaid Principal Balance		Amortized Cost		Estimated Fair Value
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
Prime	$	37	$	36	$	32
Alt-A, option ARM	120		61		49
Alt-A, other	840		790		709
Total	$	997	$	887	$	790
September 30, 2011
	Available-for-Sale Securities
	Unpaid Principal Balance		Amortized Cost		Estimated Fair Value
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
Prime	$	531	$	475	$	395
Alt-A, option ARM	270		191		124
Alt-A, other	4,927		4,576		3,880
Total	$	5,728	$	5,242	$	4,399

The following tables present the Bank's other-than-temporarily impaired PLRMBS that incurred OTTI charges anytime during the life of the securities at September 30, 2012, and December 31, 2011, by loan collateral type:

September 30, 2012
	Available-for-Sale Securities						Held-to-Maturity Securities
	Unpaid Principal Balance		Amortized Cost		Estimated Fair Value		Unpaid Principal Balance		Amortized Cost		Carrying Value		Estimated Fair Value
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
Prime	$	1,019	$	871	$	810	$	5	$	5	$	5	$	5
Alt-A, option ARM	1,687		1,270		990		—		—		—		—
Alt-A, other	7,414		6,541		5,863		179		177		140		160
Total	$	10,120	$	8,682	$	7,663	$	184	$	182	$	145	$	165
December 31, 2011
	Available-for-Sale Securities						Held-to-Maturity Securities
	Unpaid Principal Balance		Amortized Cost		Estimated Fair Value		Unpaid Principal Balance		Amortized Cost		Carrying Value		Estimated Fair Value
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
Prime	$	1,125	$	977	$	832	$	27	$	27	$	26	$	27
Alt-A, option ARM	1,834		1,414		969		—		—		—		—
Alt-A, other	7,977		7,133		5,886		209		207		162		165
Total	$	10,936	$	9,524	$	7,687	$	236	$	234	$	188	$	192

For the Bank's PLRMBS that were not other-than-temporarily impaired as of September 30, 2012, the Bank has experienced net unrealized losses and a decrease in fair value primarily because of illiquidity in the MBS market, uncertainty about the future condition of the housing and mortgage markets and the economy, and market expectations of the credit performance of loan collateral underlying these securities, which caused these assets to be valued at significant discounts to their acquisition cost. The Bank does not intend to sell these securities, it is not more likely than not that the Bank will be required to sell these securities before its anticipated recovery of the remaining amortized cost basis, and the Bank expects to recover the entire amortized cost basis of these securities. As a result, the Bank determined that, as of September 30, 2012, the gross unrealized losses on these remaining PLRMBS are temporary. These securities were included in the securities that the Bank reviewed and analyzed for OTTI as discussed above, and the analyses performed indicated that these securities were not other-than-temporarily impaired.

All Other Available-for-Sale and Held-to-Maturity Investments. The Bank determined that, as of September 30, 2012, the de minimis gross unrealized losses on its interest-bearing deposits and commercial paper were temporary because the gross unrealized losses were caused by movements in interest rates and not by the deterioration of the issuers' creditworthiness. The interest-bearing deposits and commercial paper were all with issuers that had credit ratings of at least A at September 30, 2012. As a result, the Bank expects to recover the entire amortized cost basis of these securities.

As of September 30, 2012, the Bank's investments in housing finance agency bonds, which were issued by the California Housing Finance Agency (CalHFA), had gross unrealized losses totaling $114. These gross unrealized losses were mainly due to an illiquid market, credit concerns regarding the underlying mortgage collateral, and credit concerns regarding the monoline insurance providers, causing these investments to be valued at a discount to their acquisition cost. The Bank independently modeled cash flows for the underlying collateral, using assumptions for default rates and loss severity that a market participant would deem reasonable, and concluded that the available credit support within the CalHFA structure more than offset the projected underlying collateral losses. The Bank determined that, as of September 30, 2012, all of the gross unrealized losses on the bonds are temporary because the underlying collateral and credit enhancements were sufficient to protect the Bank from losses. As a result, the Bank expects to recover the entire amortized cost basis of these securities.

For its agency MBS, the Bank expects to recover the entire amortized cost basis of these securities because the Bank determined that the strength of the issuers' guarantees through direct obligations or support from the U.S. government is sufficient to protect the Bank from losses. As a result, the Bank determined that, as of September 30, 2012, all of the gross unrealized losses on its agency MBS are temporary.

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Mortgage Loans Held for Portfolio

9 Months Ended

Sep. 30, 2012

Mortgage Loans on Real Estate [Abstract]

Mortgage Loans Held for Portfolio

Mortgage Loans Held for Portfolio

Under the Mortgage Partnership Finance^® (MPF^®) Program, the Bank purchased conventional conforming fixed rate residential mortgage loans directly from its participating members from May 2002 through October 2006. (“Mortgage Partnership Finance” and “MPF” are registered trademarks of the Federal Home Loan Bank of Chicago.) Participating members originated or purchased the mortgage loans, credit-enhanced them and sold them to the Bank, and generally retained the servicing of the loans.

The following table presents information as of September 30, 2012, and December 31, 2011, on mortgage loans, all of which are secured by one- to four-unit residential properties and single-unit second homes.

	September 30, 2012			December 31, 2011
Fixed rate medium-term mortgage loans	$	393		$	519
Fixed rate long-term mortgage loans	1,026			1,322
Subtotal	1,419			1,841
Unamortized premiums	12			15
Unamortized discounts	(16		)	(21		)
Mortgage loans held for portfolio	1,415			1,835
Less: Allowance for credit losses	(4		)	(6		)
Total mortgage loans held for portfolio, net	$	1,411		$	1,829

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

Concentration Risk. The Bank had the following concentration in MPF loans with institutions whose outstanding total of mortgage loans sold to the Bank represented 10% or more of the Bank's total outstanding mortgage loans at September 30, 2012, and December 31, 2011.

September 30, 2012
Name of Institution	Mortgage Loan Balances Outstanding		Percentage of  Total Mortgage Loan Balances Outstanding		Number of Mortgage Loans Outstanding	Percentage of Total Number of Mortgage  Loans Outstanding
JPMorgan Chase Bank, National Association	$	1,114	79	%	10,336	70	%
OneWest Bank, FSB	188		13		3,199	22
Subtotal	1,302		92		13,535	92
Others	117		8		1,208	8
Total	$	1,419	100	%	14,743	100	%
December 31, 2011
Name of Institution	Mortgage Loan Balances Outstanding		Percentage of  Total Mortgage Loan Balances Outstanding		Number of Mortgage Loans Outstanding	Percentage of Total Number of Mortgage  Loans Outstanding
JPMorgan Chase Bank, National Association	$	1,454	79	%	12,729	72	%
OneWest Bank, FSB	238		13		3,625	20
Subtotal	1,692		92		16,354	92
Others	149		8		1,431	8
Total	$	1,841	100	%	17,785	100	%

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

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Advances (Narrative) (Details) (USD $) In Millions, unless otherwise specified	9 Months Ended
	Sep. 30, 2012	Dec. 31, 2011
Advances [Line Items]
Federal Home Loan Bank Advances With Partial Prepayment Symmetry Outstanding	6,707	6,875
Callable Federal Home Loan Bank Advances	61	328
Putable Federal Home Loan Bank Advances	290	1,461
Number Of Top Advances Borrowers	5
Number Of Top Advances Borrowers With More Than Ten Percent Of Banks Outstanding Capital Stock	2
Percent Of Fixed Rate Advances Swapped To Adjustable Rate	75.00%	75.00%
Percent Of Adjustable Rate Advances Swapped To Different Adjustable Rate Index	1.00%	0.00%
Minimum [Member]
Advances [Line Items]
Federal Home Loan Bank Advances, Fixed Rate, Maturity Period	1 day
Federal Home Loan Bank Advances, Floating Rate, Maturity Period	30 days
Advances Interest Rate Range	0.187%	0.05%
Maximum [Member]
Advances [Line Items]
Federal Home Loan Bank Advances, Fixed Rate, Maturity Period	30 years
Federal Home Loan Bank Advances, Floating Rate, Maturity Period	10 years
Advances Interest Rate Range	8.57%	8.57%
Capital Stock Ownership By Third Party [Member]
Advances [Line Items]
Concentration of total capital stock outstanding	100.00%	100.00%
JPMorgan Chase And Co [Member] | Capital Stock Ownership By Third Party [Member] | Minimum [Member]
Advances [Line Items]
Concentration of total capital stock outstanding	10.00%
Citibank N.A. [Member] | Capital Stock Ownership By Third Party [Member] | Minimum [Member]
Advances [Line Items]
Concentration of total capital stock outstanding	10.00%

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Capital (Excess Capital Stock) (Details) (USD $) In Millions, except Per Share data, unless otherwise specified	3 Months Ended							9 Months Ended		0 Months Ended
	Sep. 30, 2012	Jun. 30, 2012	Mar. 31, 2012	Dec. 31, 2011	Sep. 30, 2011	Jun. 30, 2011	Mar. 31, 2011	Sep. 30, 2012	Sep. 30, 2011	Oct. 26, 2012 Repurchase of Equity [Member]
Capital [Line Items]
Excess Capital Stock and Excess Mandatorily Redeemable Capital Stock, Redemption, Period of Written Notice								15 days
Repurchase/redemption of capital stock, value	$ 445	$ 452	$ 446	$ 469	$ 460	$ 471	$ 445	$ 555	$ 844
Mandatorily Redeemable Capital Stock, Redemption Period								5 years
Financial Instruments Subject to Mandatory Redemption, Redemption	(22)				(25)			(28)	(51)
Common stock, par value	$ 100			$ 100				$ 100
Stock Repurchase Program, Authorized Amount										750
Excess Capital	$ 5,741			$ 6,214				$ 5,741

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Advances (Earlier of Contractual Maturity or Next Call/Put Date) (Details) (USD $) In Millions, unless otherwise specified	Sep. 30, 2012	Dec. 31, 2011	Sep. 30, 2011
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date [Abstract]
Within 1 year	$ 25,192	$ 26,755
After 1 year through 2 years	8,131	20,602
After 2 years through 3 years	6,449	5,805
After 3 years through 4 years	2,526	5,665
After 4 years through 5 years	5,646	5,583
After 5 years	3,219	3,026
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put Date [Abstract]
Within 1 year	25,396	27,566
After 1 year through 2 years	8,117	20,513
After 2 years through 3 years	6,421	5,748
After 3 years through 4 years	2,526	5,416
After 4 years through 5 years	5,481	5,559
After 5 years	3,222	2,634
Total par amount	$ 51,163	$ 67,436	$ 77,673

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Other-Than-Temporary Impairment Analysis (Narrative) (Details) (USD $) In Millions, unless otherwise specified	0 Months Ended	3 Months Ended			9 Months Ended
	Jun. 30, 2012	Sep. 30, 2012		Sep. 30, 2011	Sep. 30, 2012		Sep. 30, 2011	Dec. 31, 2011
Other than Temporary Impairment, Disclosure [Line Items]
Projected House Price Decline Rate, Period	3 months
Accretion Of Noncredit Portion Of Impairment Losses On HTM Securities		$ (2)		$ (10)	$ (7)		$ (263)
Gross Unrecognized Holding Losses		291	[1]		291	[1]		640	[1]
PLRMBS [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Accretion Of Noncredit Portion Of Impairment Losses On HTM Securities					(7)		(263)
Gross Unrecognized Holding Losses		172	[1]		172	[1]		492	[1]
Housing finance agency bonds [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Gross Unrecognized Holding Losses		$ 114	[1]		$ 114	[1]		$ 136	[1]
Minimum [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Core-Based Statistical Areas, Current Requirements, Number of Urban Areas		1			1
Core-Based Statistical Areas, Current Requirements, Urban Area, Population		10,000			10,000
Period Assumed For Housing Markets That Have Reached Trough					3 months
Projected House Price Decline Rate		1.00%			1.00%
Minimum [Member] | PLRMBS [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Assumed Current to Trough Home Price Decline Rate		0.00%			0.00%
Maximum [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Period Assumed For Housing Markets That Have Reached Trough					9 months
Projected House Price Decline Rate		2.00%			2.00%
Maximum [Member] | PLRMBS [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Assumed Current to Trough Home Price Decline Rate		4.00%			4.00%

[1] Gross unrecognized holding gains/(losses) represent the difference between estimated fair value and carrying value.

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Derivatives and Hedging Activities (Derivatives in Statement of Income and Impact on Interest) (Details) (USD $) In Millions, unless otherwise specified	3 Months Ended				9 Months Ended
	Sep. 30, 2012		Sep. 30, 2011		Sep. 30, 2012		Sep. 30, 2011
Derivative Instruments, Gain (Loss) [Line Items]
Gain/(Loss) on Derivatives	$ (79)		$ (1)		$ (209)		$ (224)
Gain/(Loss) on Hedged Item	76		(12)		191		206
Net Fair Value Hedge Ineffectiveness	(3)		(13)		(18)		(18)
Effect of Derivativeson Net Interest Income	93	[1]	207	[1]	289	[1]	704	[1]
Advances [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gain/(Loss) on Derivatives	(36)		(60)		(63)		(19)
Gain/(Loss) on Hedged Item	36		58		64		18
Net Fair Value Hedge Ineffectiveness	0		(2)		1		(1)
Effect of Derivativeson Net Interest Income	(35)	[1]	(59)	[1]	(110)	[1]	(209)	[1]
Consolidated obligation bonds [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gain/(Loss) on Derivatives	(43)		59		(146)		(205)
Gain/(Loss) on Hedged Item	40		(70)		127		188
Net Fair Value Hedge Ineffectiveness	(3)		(11)		(19)		(17)
Effect of Derivativeson Net Interest Income	$ 128	[1]	$ 266	[1]	$ 399	[1]	$ 913	[1]

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

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Advances (Tables)

9 Months Ended

Sep. 30, 2012

Advances [Abstract]

Schedule of Advances Classified by Contractual Maturity Date [Table Text Block]

The Bank had advances outstanding, excluding overdrawn demand deposit accounts, at interest rates ranging from 0.19% to 8.57% at September 30, 2012, and 0.05% to 8.57% at December 31, 2011, as summarized below.

	September 30, 2012				December 31, 2011
Contractual Maturity	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding		Weighted Average Interest Rate
Within 1 year	$	25,131	0.74	%	$	26,432	0.88	%
After 1 year through 2 years	8,131		1.44		20,608		1.03
After 2 years through 3 years	6,449		1.64		5,840		1.73
After 3 years through 4 years	2,526		2.40		5,686		2.02
After 4 years through 5 years	5,656		1.16		5,634		1.46
After 5 years	3,270		2.12		3,236		2.78
Total par amount	51,163		1.18	%	67,436		1.24	%
Valuation adjustments for hedging activities	334				302
Valuation adjustments under fair value option	328				426
Total	$	51,825			$	68,164

Schedule of Advances Classified by Contractual Maturity Date or Next Call Date or Next Put Date [Table Text Block]

The following table summarizes advances at September 30, 2012, and December 31, 2011, by the earlier of the year of contractual maturity or next call date for callable advances and by the earlier of the year of contractual maturity or next put date for putable advances.

	Earlier of Contractual Maturity or Next Call Date				Earlier of Contractual Maturity or Next Put Date
	September 30, 2012		December 31, 2011		September 30, 2012		December 31, 2011
Within 1 year	$	25,192	$	26,755	$	25,396	$	27,566
After 1 year through 2 years	8,131		20,602		8,117		20,513
After 2 years through 3 years	6,449		5,805		6,421		5,748
After 3 years through 4 years	2,526		5,665		2,526		5,416
After 4 years through 5 years	5,646		5,583		5,481		5,559
After 5 years	3,219		3,026		3,222		2,634
Total par amount	$	51,163	$	67,436	$	51,163	$	67,436

Schedule of Interest Income From Advances Before the Impact of Interest Rate Exchange Agreements [Table Text Block]

The following tables present the concentration in advances to the top five borrowers and their affiliates at September 30, 2012, and September 30, 2011. The tables also present the interest income from these advances before the impact of interest rate exchange agreements associated with these advances for the three and nine months ended September 30, 2012 and 2011.

	September 30, 2012				Three Months Ended September 30, 2012				Nine Months Ended September 30, 2012
Name of Borrower	Advances Outstanding(1)		Percentage of Total Advances Outstanding		Interest Income from Advances(2)		Percentage of Total Interest Income from Advances		Interest Income from Advances(2)		Percentage of Total Interest Income from Advances
JPMorgan Chase & Co.:
JPMorgan Bank & Trust Company, National Association	$	13,450	26	%	$	28	17	%	$	81	15	%
JPMorgan Chase Bank, National Association(3)	1,549		3		3		2		11		2
Subtotal JPMorgan Chase & Co.	14,999		29		31		19		92		17
Citibank, N.A.(3)	9,785		19		9		5		37		7
Bank of the West	4,260		8		24		15		76		14
OneWest Bank, FSB	3,851		8		12		7		43		8
First Republic Bank	3,150		6		14		9		40		7
Subtotal	36,045		70		90		55		288		53
Others	15,118		30		73		45		249		47
Total	$	51,163	100	%	$	163	100	%	$	537	100	%

	September 30, 2011				Three Months Ended September 30, 2011				Nine Months Ended September 30, 2011
Name of Borrower	Advances Outstanding(1)		Percentage of Total Advances Outstanding		Interest Income from Advances(2)		Percentage of Total Interest Income from Advances		Interest Income from Advances(2)		Percentage of Total Interest Income from Advances
JPMorgan Chase & Co.:
JPMorgan Bank & Trust Company, National Association	$	22,700	29	%	$	29	13	%	$	90	12	%
JPMorgan Chase Bank, National Association(3)	1,563		2		3		1		15		2
Subtotal JPMorgan Chase & Co.	24,263		31		32		14		105		14
Citibank, N.A. (3)	17,378		22		11		5		44		6
Bank of America California, N.A.	5,900		8		11		5		54		7
OneWest Bank, FSB	5,379		7		27		12		91		12
Bank of the West	5,051		7		27		12		84		11
Subtotal	57,971		75		108		48		378		50
Others	19,702		25		122		52		382		50
Total	$	77,673	100	%	$	230	100	%	$	760	100	%

(1) Borrower advance amounts and total advance amounts are at par value, and total advance amounts will not agree to carrying value amounts shown in the Statements of Condition. The differences between the par and carrying value amounts primarily relate to unrealized gains or losses associated with hedged advances resulting from valuation adjustments related to hedging activities and under the fair value option.

(2) Interest income amounts exclude the interest effect of interest rate exchange agreements with derivatives 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.

(3) Nonmember institution.

Schedule of Advances Classified by Contractual Interest Payment Terms [Table Text Block]

Interest rate payment terms for advances at September 30, 2012, and December 31, 2011, are detailed below:

	September 30, 2012		December 31, 2011
Par amount of advances:
Fixed rate:
Due within 1 year	$	6,225	$	11,606
Due after 1 year	18,250		20,577
Total fixed rate	24,475		32,183
Adjustable rate
Due within 1 year	18,906		14,826
Due after 1 year	7,782		20,427
Total adjustable rate	26,688		35,253
Total par amount	$	51,163	$	67,436

Schedule of Prepayment Fees on Advances [Table Text Block]

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

	Three Months Ended						Nine Months Ended
	September 30, 2012			September 30, 2011			September 30, 2012			September 30, 2011
Prepayment fees received	$	53		$	16		$	158		$	71
Fair value adjustments	(35		)	(14		)	(117		)	(59		)
Net	$	18		$	2		$	41		$	12
Advance principal prepaid	$	1,309		$	751		$	2,825		$	4,046

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Available-for-Sale Securities (Redemption Terms) (Details) (USD $) In Millions, unless otherwise specified	Sep. 30, 2012	Dec. 31, 2011
Amortized Cost:
Amortized Cost	$ 8,988	$ 11,447
Estimated Fair Value:
Estimated Fair Value	7,969	9,613
Available-for-sale securities other than PLRMBS [Member]
Amortized Cost:
Due in 1 year or less	306	1,924
Estimated Fair Value:
Due in 1 year or less	306	1,926
PLRMBS [Member]
Amortized Cost:
Amortized Cost	8,682	9,523
Estimated Fair Value:
Estimated Fair Value	7,663	7,687
Prime [Member] | PLRMBS [Member]
Amortized Cost:
Amortized Cost	871	977
Estimated Fair Value:
Estimated Fair Value	810	832
Alt-A, option ARM [Member] | PLRMBS [Member]
Amortized Cost:
Amortized Cost	1,270	1,413
Estimated Fair Value:
Estimated Fair Value	990	969
Alt-A, other [Member] | PLRMBS [Member]
Amortized Cost:
Amortized Cost	6,541	7,133
Estimated Fair Value:
Estimated Fair Value	$ 5,863	$ 5,886

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Capital

9 Months Ended

Sep. 30, 2012

Capital [Abstract]

Capital

Capital

Capital Requirements. Under the Housing and Economic Recovery Act of 2008 (Housing Act), the Director of the Finance Agency is responsible for setting the risk-based capital standards for the FHLBanks. The FHLBank Act and regulations governing the operations of the FHLBanks require that the Bank's minimum stock requirement for members must be sufficient to enable the Bank to meet its regulatory requirements for total capital, leverage capital, and risk-based capital. The Bank must maintain: (i) total regulatory capital in an amount equal to at least 4% of its total assets, (ii) leverage capital in an amount equal to at least 5% of its total assets, and (iii) permanent capital in an amount at least equal to its regulatory risk-based capital requirement. Regulatory capital and permanent capital are defined as retained earnings and Class B stock, which includes mandatorily redeemable capital stock, which is classified as a liability for financial reporting purposes. Regulatory capital and permanent capital do not include AOCI. Leverage capital is defined as the sum of permanent capital, weighted by a 1.5 multiplier, plus non-permanent capital. Non-permanent capital consists of Class A capital stock, which is redeemable upon six months' notice. The Bank's capital plan does not provide for the issuance of Class A capital stock.

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

As of September 30, 2012, and December 31, 2011, the Bank was in compliance with these capital rules and requirements as shown in the following table.  

	September 30, 2012						December 31, 2011
	Required			Actual			Required			Actual
Risk-based capital	$	4,024		$	11,417		$	4,915		$	12,176
Total regulatory capital	$	3,768		$	11,417		$	4,542		$	12,176
Total regulatory capital ratio	4.00		%	12.12		%	4.00		%	10.72		%
Leverage capital	$	4,709		$	17,125		$	5,678		$	18,264
Leverage ratio	5.00		%	18.18		%	5.00		%	16.08		%

Mandatorily Redeemable Capital Stock. The Bank had mandatorily redeemable capital stock totaling $4,770 outstanding to 52 institutions at September 30, 2012, and $5,578 outstanding to 53 institutions at December 31, 2011. The change in mandatorily redeemable capital stock for the three and nine months ended September 30, 2012 and 2011, was as follows:

	Three Months Ended						Nine Months Ended
	September 30, 2012			September 30, 2011			September 30, 2012			September 30, 2011
Balance at the beginning of the period	$	5,048		$	6,144		$	5,578		$	3,749
Reclassified from/(to) capital during the period:
Merger with or acquisition by nonmember institution	1			6			1			19
Withdrawal from membership	3			—			3			—
Termination of membership(1)	—			—			4			3,167
Acquired by/transferred to members(2)	—			—			—			(500		)
Redemption of mandatorily redeemable capital stock	(22		)	(25		)	(28		)	(51		)
Repurchase of excess mandatorily redeemable capital stock	(260		)	(272		)	(788		)	(531		)
Balance at the end of the period	$	4,770		$	5,853		$	4,770		$	5,853

(1) The Bank reclassified $3,165 of capital stock to mandatorily redeemable capital stock (a liability) on June 28, 2011, as a result of the membership termination of Citibank, N.A., which became ineligible for membership in the Bank when it became a member of another Federal Home Loan Bank in connection with its planned merger with an affiliate outside of the Bank's district.

(2) During 2008, JPMorgan Chase Bank, National Association, a nonmember, assumed Washington Mutual Bank's outstanding Bank advances and acquired the associated Bank capital stock. The Bank reclassified the capital stock transferred to JPMorgan Chase Bank, National Association to mandatorily redeemable capital stock (a liability). JPMorgan Bank and Trust Company, National Association, an affiliate of JPMorgan Chase Bank, National Association, became a member of the Bank. During the first quarter of 2011, the Bank allowed the transfer of excess capital stock totaling $500 from JPMorgan Chase Bank, National Association, to JPMorgan Bank and Trust Company, National Association, to enable JPMorgan Bank and Trust Company, National Association, to satisfy its activity-based stock requirement. The capital stock transferred is no longer classified as mandatorily redeemable capital stock (a liability). However, the capital stock remaining with JPMorgan Chase Bank, National Association, remains classified as mandatorily redeemable capital stock (a liability).

Cash dividends on mandatorily redeemable capital stock in the amount of $6 and $20 were recorded as interest expense for the three and nine months ended September 30, 2012. Cash dividends on mandatorily redeemable capital stock in the amount of $2 and $8 were recorded as interest expense for the three and nine months ended September 30, 2011.

The Bank's mandatorily redeemable capital stock is discussed more fully in “Item 8. Financial Statements and Supplementary Data – Note 15 – Capital” in the Bank's 2011 Form 10-K.

The following table presents mandatorily redeemable capital stock amounts by contractual redemption period at September 30, 2012, and December 31, 2011.

Contractual Redemption Period	September 30, 2012		December 31, 2011
Within 1 year	$	824	$	49
After 1 year through 2 years	153		1,086
After 2 years through 3 years	1,102		1,288
After 3 years through 4 years	2,682		250
After 4 years through 5 years	9		2,905
Total	$	4,770	$	5,578

Retained Earnings and Dividend Policy. The Bank's Retained Earnings and Dividend Policy establishes amounts to be retained in restricted retained earnings, which are not made available for dividends in the current dividend period.

Retained Earnings Related to Valuation Adjustments – In accordance with the Retained Earnings and Dividend Policy, the Bank retains in restricted retained earnings any cumulative net gains in earnings (net of applicable assessments) resulting from gains or losses on derivatives and associated hedged items and financial instruments carried at fair value (valuation adjustments). As the cumulative net valuation gains are reversed by periodic net losses and settlements of contractual interest cash flows, the amount of cumulative net gains decreases. The amount of retained earnings under this provision of the policy is therefore decreased, and that portion of the previously restricted retained earnings becomes unrestricted and may be made available for dividends.

Other Retained Earnings – Targeted Buildup– In addition to any cumulative net gains resulting from valuation adjustments, the Bank holds an additional amount in restricted retained earnings intended to protect paid-in capital from the effects of an extremely adverse credit event, an extremely adverse operations risk event, an extremely high level of quarterly losses related to the Bank's derivatives and associated hedged items and financial instruments carried at fair value, an extremely adverse change in the market value of the Bank's capital, and a significant amount of additional credit-related OTTI on PLRMBS, especially in periods of extremely low net income resulting from an adverse interest rate environment.

The Board of Directors has set the targeted amount of restricted retained earnings at $1,800, and the Bank reached this target as of March 31, 2012. The Bank's retained earnings target may be changed at any time. The Board of Directors will periodically review the applicable methodology and analysis to determine whether any adjustments are appropriate. As of September 30, 2012, the amount of restricted retained earnings in the Bank's targeted buildup account was $1,800.

Joint Capital Enhancement Agreement – In 2011, the 12 FHLBanks entered into a Joint Capital Enhancement Agreement (Agreement), as amended, which is intended to enhance the capital position of each FHLBank by allocating that portion of each FHLBank's earnings historically paid to satisfy its Resolution Funding Corporation (REFCORP) obligation to a separate retained earnings account at that FHLBank.

On August 5, 2011, the Finance Agency certified that the FHLBanks had fully satisfied their REFCORP obligation. In accordance with the Agreement, starting in the third quarter of 2011, each FHLBank is required to allocate 20% of its net income each quarter to a separate restricted retained earnings account until the balance of the account equals at least 1% of that FHLBank's average balance of outstanding consolidated obligations for the previous quarter. Under the Agreement, these restricted retained earnings will not be available to pay dividends.

The following table summarizes the activity related to restricted retained earnings for the three and nine months ended September 30, 2012 and 2011:

	Three Months Ended
	September 30, 2012									September 30, 2011
	Restricted Retained Earnings Related to:									Restricted Retained Earnings Related to:
	Valuation Adjustments			Targeted Buildup		Joint Capital Enhancement Agreement		Total		Valuation Adjustments			Targeted Buildup		Joint Capital Enhancement Agreement		Total
Balance at beginning of the period	$	72		$	1,800	$	82	$	1,954	$	130		$	1,535	$	—	$	1,665
Transfers to/(from) restricted retained earnings	(2		)	—		27		25		(44		)	67		7		30
Balance at end of the period	$	70		$	1,800	$	109	$	1,979	$	86		$	1,602	$	7	$	1,695

	Nine Months Ended
	September 30, 2012									September 30, 2011
	Restricted Retained Earnings Related to:									Restricted Retained Earnings Related to:
	Valuation Adjustments			Targeted Buildup		Joint Capital Enhancement Agreement		Total		Valuation Adjustments			Targeted Buildup		Joint Capital Enhancement Agreement		Total
Balance at beginning of the period	$	79		$	1,695	$	29	$	1,803	$	148		$	1,461	$	—	$	1,609
Transfers to/(from) restricted retained earnings	(9		)	105		80		176		(62		)	141		7		86
Balance at end of the period	$	70		$	1,800	$	109	$	1,979	$	86		$	1,602	$	7	$	1,695

For more information on these three categories of restricted retained earnings and the Bank's Retained Earnings and Dividend Policy, see “Item 8. Financial Statements and Supplementary Data – Note 15 – Capital” in the Bank's 2011 Form 10-K.

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

The Bank paid dividends (including dividends on mandatorily redeemable capital stock) totaling $11 at an annualized rate of 0.47% in the third quarter of 2012, and $8 at an annualized rate of 0.26%in the third quarter of 2011.

The Bank paid dividends (including dividends on mandatorily redeemable capital stock) totaling $37 at an annualized rate of 0.49% in the first nine months of 2012, and $27 at an annualized rate of 0.29% in the first nine months of 2011.

On October 26, 2012, the Bank's Board of Directors declared a cash dividend on the capital stock outstanding during the third quarter of 2012 at an annualized dividend rate of 2.51%. The Bank recorded the dividend on October 26, 2012, the day it was declared by the Board of Directors. The Bank expects to pay the dividend (including dividends on mandatorily redeemable capital stock), which will total $60, on or about November 13, 2012.

The Bank will pay the dividend in cash rather than stock to comply with Finance Agency rules, which do not permit the Bank to pay dividends in the form of capital stock if the Bank's excess stock (defined as any stock holdings in excess of a shareholder's minimum capital stock requirement, as established by the Bank's capital plan) exceeds 1% of its total assets. As of September 30, 2012, the Bank's excess capital stock totaled $5,741, or 6.10% of total assets.

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

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

On a quarterly basis, the Bank determines whether it will repurchase excess capital stock. Because of a decision to preserve capital in view of the possibility of future OTTI charges on the Bank's PLRMBS portfolio, the Bank did not fully repurchase excess capital stock, created primarily by declining advances balances, in 2011 and in the first nine months of 2012. The Bank opted to maintain its strong regulatory capital position, while repurchasing $446, $452, and $445 in excess capital stock in the first, second and third quarters of 2012, respectively. The Bank repurchased excess capital stock totaling $445, $471, $460, and $469 in the first, second, third, and fourth quarters of 2011, respectively.

During the third quarter of 2012, the five-year redemption period for $22 in mandatorily redeemable capital stock expired, and the Bank redeemed the stock at its $100 par value on the relevant expiration dates.

On October 26, 2012, the Bank announced that it plans to repurchase up to $750 in excess capital stock on November 14, 2012. The amount of excess capital stock to be repurchased from each shareholder will be based on the total amount of capital stock (including mandatorily redeemable capital stock) outstanding to all shareholders on the repurchase date. The Bank will repurchase an equal percentage of each shareholder's total capital stock to the extent that the shareholder has sufficient excess capital stock.

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

Excess capital stock totaled $5,741 as of September 30, 2012, and $6,214 as of December 31, 2011.

For more information on excess and surplus capital stock, see “Item 8. Financial Statements and Supplementary Data – Note 15 – Capital” in the Bank's 2011 Form 10-K.

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 September 30, 2012, and December 31, 2011.

	September 30, 2012				December 31, 2011
Name of Institution	Capital Stock Outstanding		Percentage of Total Capital Stock Outstanding		Capital Stock Outstanding		Percentage of Total Capital Stock Outstanding
Citigroup Inc.:
Citibank, N.A.(1)	$	2,476	27	%	$	2,884	28	%
Banamex USA	2		—		2		—
Subtotal Citigroup Inc.	2,478		27		2,886		28
JPMorgan Chase & Co.:
JPMorgan Bank & Trust Company, National Association	1,150		13		1,340		13
JPMorgan Chase Bank, National Association(1)	766		8		893		9
Subtotal JPMorgan Chase & Co.	1,916		21		2,233		22
Wells Fargo & Company:
Wells Fargo Bank, N.A.(1)	1,016		11		1,183		11
Wells Fargo Financial National Bank	4		—		4		—
Subtotal Wells Fargo & Company	1,020		11		1,187		11
Total capital stock ownership over 10%	5,414		59		6,306		61
Others	3,820		41		4,067		39
Total	$	9,234	100	%	$	10,373	100	%

(1) The capital stock held by these institutions is classified as mandatorily redeemable capital stock.

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Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks

9 Months Ended

Sep. 30, 2012

Related Party Transactions [Abstract]

Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks

Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks

Transactions with Certain Members and Certain Nonmembers. The following tables set forth information at the dates and for the periods indicated with respect to transactions with: (i) members and nonmembers holding more than 10% of the outstanding shares of the Bank's capital stock, including mandatorily redeemable capital stock, at each respective period end, (ii) members that had an officer or director serving on the Bank's Board of Directors at any time during the periods indicated, and (iii) affiliates of the foregoing members and nonmembers. All transactions with members, the nonmembers described in the preceding sentence, and their respective affiliates are entered into in the normal course of business. The tables include securities transactions where certain members, nonmembers and their affiliates (as described above) are the issuers or obligors of the securities, but do not include securities purchased, sold or issued through, or otherwise underwritten by, affiliates of certain members and nonmembers. The tables also do not include any AHP awards. Securities purchased, sold or issued through, or otherwise underwritten by, and AHP awards provided to, the affiliates of certain members and nonmembers are in the ordinary course of the Bank's business.

	September 30, 2012		December 31, 2011
Assets:
Cash and due from banks	$	1	$	1
Investments(1)	2,545		1,367
Advances	28,420		36,689
Mortgage loans held for portfolio	1,177		1,454
Accrued interest receivable	30		33
Derivative assets, net	424		522
Total Assets	$	32,597	$	40,066
Liabilities:
Deposits	$	436	$	527
Mandatorily redeemable capital stock	4,259		4,960
Derivative liabilities, net	3		3
Total Liabilities	$	4,698	$	5,490
Notional amount of derivatives	$	17,653	$	31,033
Standby letters of credit	142		2,736

(1) Investments consist of securities purchased under agreements to resell, Federal funds sold, available-for-sale securities, and held-to-maturity securities issued by and/or purchased from the members or nonmembers described in this section or their affiliates.

	Three Months Ended						Nine Months Ended
	September 30, 2012			September 30, 2011			September 30, 2012			September 30, 2011
Interest Income:
Investments(1)	$	9		$	12		$	29		$	42
Advances(2)	42			42			136			138
Mortgage loans held for portfolio	16			20			50			63
Total Interest Income	$	67		$	74		$	215		$	243
Interest Expense:
Mandatorily redeemable capital stock	$	5		$	2		$	17		$	6
Consolidated obligations(2)	(53		)	(105		)	(168		)	(352		)
Total Interest Expense	$	(48	)	$	(103	)	$	(151	)	$	(346	)
Other Income/(Loss):
Net gain/(loss) on derivatives and hedging activities	$	(46	)	$	(24	)	$	(120	)	$	(167	)
Other income	—			1			1			3
Total Other Income/(Loss)	$	(46	)	$	(23	)	$	(119	)	$	(164	)

(1) Investments consist of securities purchased under agreements to resell, Federal funds sold, available-for-sale securities, and held-to-maturity securities issued by and/or purchased from the members or nonmembers described in this section or their affiliates.

(2) Reflects the effect of associated derivatives with the members or nonmembers described in this section or their affiliates.

Transactions with Other FHLBanks. Transactions with other FHLBanks are identified on the face of the Bank's financial statements.

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Fair Value (Fair Value Measured on Recurring and Nonrecurring Basis) (Details) (USD $) In Millions, unless otherwise specified	Sep. 30, 2012		Dec. 31, 2011
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair Value of Advances Under the Fair Value Option	$ 7,385		$ 8,684
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	0		0
Available-for-sale securities	0		0
Advances	0	[1]	0	[1]
Derivative assets, net: interest rate-related	0		0
Total recurring fair value measurements – Assets	0		0
Derivative liabilities, net: interest rate-related	0		0
Total recurring fair value measurements – Liabilities	0		0
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	3,540		2,808
Available-for-sale securities	306		1,926
Advances	7,422	[1]	8,728	[1]
Derivative assets, net: interest rate-related	1,432		1,611
Total recurring fair value measurements – Assets	12,700		15,073
Derivative liabilities, net: interest rate-related	729		812
Total recurring fair value measurements – Liabilities	29,701		16,524
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	0		0
Available-for-sale securities	7,663		7,687
Advances	0	[1]	0	[1]
Derivative assets, net: interest rate-related	0		0
Total recurring fair value measurements – Assets	7,663		7,687
Derivative liabilities, net: interest rate-related	0		0
Total recurring fair value measurements – Liabilities	0		0
Fair Value, Measurements, Recurring [Member] | Netting and Collateral [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	0	[2]	0	[2]
Available-for-sale securities	0	[2]	0	[2]
Advances	0	[1],[2]	0	[1],[2]
Derivative assets, net: interest rate-related	(1,087)	[2]	(1,211)	[2]
Total recurring fair value measurements – Assets	(1,087)	[2]	(1,211)	[2]
Derivative liabilities, net: interest rate-related	(667)	[2]	(739)	[2]
Total recurring fair value measurements – Liabilities	(667)	[2]	(739)	[2]
Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	3,540		2,808
Available-for-sale securities	7,969		9,613
Advances	7,422	[1]	8,728	[1]
Derivative assets, net: interest rate-related	345		400
Total recurring fair value measurements – Assets	19,276		21,549
Derivative liabilities, net: interest rate-related	62		73
Total recurring fair value measurements – Liabilities	29,034		15,785
Fair Value, Measurements, Nonrecurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
REO	0		0
Fair Value, Measurements, Nonrecurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
REO	0		0
Fair Value, Measurements, Nonrecurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
REO	3		2
Federal Farm Credit Bank [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	0		0
Federal Farm Credit Bank [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	2,961		1,867
Federal Farm Credit Bank [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	0		0
Federal Farm Credit Bank [Member] | Fair Value, Measurements, Recurring [Member] | Netting and Collateral [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	0	[2]	0	[2]
Federal Farm Credit Bank [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	2,961		1,867
Fannie Mae [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities			0
Fannie Mae [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities			1
Fannie Mae [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities			0
Fannie Mae [Member] | Fair Value, Measurements, Recurring [Member] | Netting and Collateral [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities				[2]
Fannie Mae [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities			1
TLGP securities [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	0		0
Available-for-sale securities	0		0
TLGP securities [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	563		923
Available-for-sale securities	306		1,926
TLGP securities [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	0		0
Available-for-sale securities	0		0
TLGP securities [Member] | Fair Value, Measurements, Recurring [Member] | Netting and Collateral [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	0	[2]	0	[2]
Available-for-sale securities	0	[2]	0	[2]
TLGP securities [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	563		923
Available-for-sale securities	306		1,926
Government National Mortgage Association Certificates and Obligations (GNMA) [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	0		0
Government National Mortgage Association Certificates and Obligations (GNMA) [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	16		17
Government National Mortgage Association Certificates and Obligations (GNMA) [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	0		0
Government National Mortgage Association Certificates and Obligations (GNMA) [Member] | Fair Value, Measurements, Recurring [Member] | Netting and Collateral [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	0	[2]	0	[2]
Government National Mortgage Association Certificates and Obligations (GNMA) [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	16		17
PLRMBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Available-for-sale securities	0		0
PLRMBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Available-for-sale securities	0		0
PLRMBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Available-for-sale securities	7,663		7,687
PLRMBS [Member] | Fair Value, Measurements, Recurring [Member] | Netting and Collateral [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Available-for-sale securities	0	[2]	0	[2]
PLRMBS [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Available-for-sale securities	7,663		7,687
Consolidated obligation bonds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Consolidated obligation bonds	0	[3]	0	[3]
Consolidated obligation bonds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Consolidated obligation bonds	28,972	[3]	15,712	[3]
Consolidated obligation bonds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Consolidated obligation bonds	0	[3]	0	[3]
Consolidated obligation bonds [Member] | Fair Value, Measurements, Recurring [Member] | Netting and Collateral [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Consolidated obligation bonds	0	[2],[3]	0	[2],[3]
Consolidated obligation bonds [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Consolidated obligation bonds	28,972	[3]	15,712	[3]
Portion at Fair Value, Fair Value Disclosure [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Advances	37		44
Portion at Fair Value, Fair Value Disclosure [Member] | Consolidated obligation bonds [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Consolidated obligation bonds	$ 28,972		$ 15,712

[1] Includes $7,385 and $8,684 of advances recorded under the fair value option at September 30, 2012, and December 31, 2011, respectively, and $37 and $44 of advances recorded at fair value at September 30, 2012, and December 31, 2011, respectively, where the exposure to overall changes in fair value was hedged in accordance with the accounting for derivative instruments and hedging activities.

[2] Amounts represent the netting of derivative assets and liabilities by counterparty, including cash collateral, where the Bank has the legal right to do so under its master netting agreement with each counterparty.

[3] Includes $28,972 and $15,712 of consolidated obligation bonds recorded under the fair value option at September 30, 2012, and December 31, 2011, respectively. There were no consolidated obligation bonds recorded at fair value at September 30, 2012, and December 31, 2011, where the exposure to overall changes in fair value was hedged in accordance with the accounting for derivative instruments and hedging activities.

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Available-for-Sale Securities (Summary of Securities with Unrealized Losses) (Details) (USD $) In Millions, unless otherwise specified	Sep. 30, 2012	Dec. 31, 2011
Schedule of Available-for-sale Securities [Line Items]
Less Than 12 Months: Estimated Fair Value	$ 97	$ 610
Less Than 12 Months: Unrealized Losses	(2)	(12)
12 Months or More: Estimated Fair Value	6,507	7,320
12 Months or More: Unrealized Losses	(1,051)	(1,826)
Estimated Fair Value	6,604	7,930
Unrealized Losses	(1,053)	(1,838)
TLGP securities [Member]
Schedule of Available-for-sale Securities [Line Items]
Less Than 12 Months: Estimated Fair Value		274
Less Than 12 Months: Unrealized Losses		0
12 Months or More: Estimated Fair Value		0
12 Months or More: Unrealized Losses		0
Estimated Fair Value		274
Unrealized Losses		0
PLRMBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Less Than 12 Months: Estimated Fair Value	97	336
Less Than 12 Months: Unrealized Losses	(2)	(12)
12 Months or More: Estimated Fair Value	6,507	7,320
12 Months or More: Unrealized Losses	(1,051)	(1,826)
Estimated Fair Value	6,604	7,656
Unrealized Losses	(1,053)	(1,838)
Prime [Member] | PLRMBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Less Than 12 Months: Estimated Fair Value	54	96
Less Than 12 Months: Unrealized Losses	(2)	(2)
12 Months or More: Estimated Fair Value	616	736
12 Months or More: Unrealized Losses	(65)	(143)
Estimated Fair Value	670	832
Unrealized Losses	(67)	(145)
Alt-A, option ARM [Member] | PLRMBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Less Than 12 Months: Estimated Fair Value	0	0
Less Than 12 Months: Unrealized Losses	0	0
12 Months or More: Estimated Fair Value	956	950
12 Months or More: Unrealized Losses	(283)	(446)
Estimated Fair Value	956	950
Unrealized Losses	(283)	(446)
Alt-A, other [Member] | PLRMBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Less Than 12 Months: Estimated Fair Value	43	240
Less Than 12 Months: Unrealized Losses	0	(10)
12 Months or More: Estimated Fair Value	4,935	5,634
12 Months or More: Unrealized Losses	(703)	(1,237)
Estimated Fair Value	4,978	5,874
Unrealized Losses	$ (703)	$ (1,247)

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Segment Information (Tables)

9 Months Ended

Sep. 30, 2012

Segment Reporting [Abstract]

Reconciliation of Operating Profit (Loss) from Segments to Consolidated [Table Text Block]

The following table presents the Bank's adjusted net interest income by operating segment and reconciles total adjusted net interest income to income before assessments for the three and nine months ended September 30, 2012 and 2011.

	Advances- Related Business		Mortgage- Related Business(1)		Adjusted Net Interest Income		Amortization of Basis Adjustments(2)			Net Interest Expense on Economic Hedges(3)			Interest Expense on Mandatorily Redeemable Capital Stock(4)		Net Interest Income		Other Loss			Other Expense		Income Before Assessments
Three months ended:
September 30, 2012	$	74	$	128	$	202	$	(21	)	$	(2	)	$	6	$	219	$	(34	)	$	33	$	152
September 30, 2011	79		150		229		(39		)	(2		)	2		268		(197		)	31		40
Nine months ended:
September 30, 2012	206		393		599		(79		)	(20		)	20		678		(136		)	99		443
September 30, 2011	260		425		685		(89		)	(19		)	8		785		(558		)	93		134

(1) Does not include credit-related OTTI charges of $4 and $101 for the three months ended September 30, 2012 and 2011, respectively. Does not include credit-related OTTI charges of $34 and $373 for the nine months ended September 30, 2012 and 2011, respectively.

(2) Represents amortization of amounts deferred for adjusted net interest income purposes only in accordance with the Bank's Retained Earnings and Dividend Policy.

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

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

Schedule of Segment Assets by Segment [Table Text Block]

The following table presents total assets by operating segment at September 30, 2012, and December 31, 2011.

	Advances- Related Business		Mortgage- Related Business		Total Assets
September 30, 2012	$	68,832	$	25,357	$	94,189
December 31, 2011	88,302		25,250		113,552

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Statements of Comprehensive Income (USD $) In Millions, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2012	Sep. 30, 2011	Sep. 30, 2012	Sep. 30, 2011
Net Income/(Loss)	$ 137	$ 36	$ 397	$ 105
Net unrealized gain/(loss) on available-for-sale securities	0	0	(1)	2
Non-credit-related OTTI loss transferred from held-to-maturity securities	(15)	(147)	(28)	(2,648)
Net change in fair value of other-than-temporarily impaired securities	512	(53)	832	875
Reclassifiction of non-credit-related OTTI loss included in net income/(loss)	2	19	13	68
Total net non-credit-related OTTI loss on available-for-sale securities	499	(181)	817	(1,705)
Non-credit-related OTTI loss	(15)	(57)	(25)	(193)
Reclassification of non-credit-related OTTI loss included in net income/(loss)	0	1	0	156
Accretion of non-credit-related OTTI loss	2	10	7	263
Non-credit-related OTTI loss transferred to available-for-sale securities	15	147	28	2,648
Total net non-credit-related OTTI loss on held-to-maturity securities	2	101	10	2,874
Total other comprehensive income/(loss)	501	(80)	826	1,171
Total Comprehensive Income/(loss)	$ 638	$ (44)	$ 1,223	$ 1,276

XML

Derivatives and Hedging Activities (Narrative) (Details) (USD $) In Millions, unless otherwise specified	9 Months Ended
	Sep. 30, 2012 bank	Dec. 31, 2011
Derivative [Line Items]
Notional Amount of Interest Rate Derivatives	$ 99,553	$ 129,576
Derivative, Net Liability Position, Aggregate Fair Value	59
Collateral Already Posted, Aggregate Fair Value	24
Additional Collateral, Aggregate Fair Value	27
Number of FHLBanks	12
Maximum Hedging Period For Forecasted Cash Flows For Transactions, Excluding Payment of Variable Interest on Existing Financial Instruments	3 months
Derivatives With Members and Offsetting Derivatives With Other Counterparties [Member]
Derivative [Line Items]
Notional Amount of Interest Rate Derivatives	$ 810	$ 810
Maximum [Member]
Derivative [Line Items]
Advances, Maturity Term	30 years

XML

Recently Issued and Adopted Accounting Guidance

9 Months Ended

Sep. 30, 2012

New Accounting Pronouncements and Changes in Accounting Principles [Abstract]

Recently Issued and Adopted Accounting Guidance

Recently Issued and Adopted Accounting Guidance

Disclosures about Offsetting Assets and Liabilities. On December 16, 2011, the Financial Accounting Standards Board (FASB) and the International Accounting Standards Board (IASB) issued common disclosure requirements intended to help investors and other financial statement users better assess the effect or potential effect of offsetting arrangements on a company's financial position, whether a company's financial statements are prepared on the basis of GAAP or International Financial Reporting Standards (IFRS). This guidance will require the Bank to disclose both gross and net information about financial instruments, including derivative instruments, which are either offset on its Statements of Condition or are subject to an enforceable master netting arrangement or similar agreement. This guidance will be effective for the Bank for interim and annual periods beginning on January 1, 2013, and will be applied retrospectively for all comparative periods presented. The adoption of this guidance will result in increased financial statement disclosures, but will not affect the Bank's financial condition, results of operations, or cash flows.

Presentation of Comprehensive Income. On June 16, 2011, the FASB issued guidance to increase the prominence of other comprehensive income in financial statements. This guidance requires an entity that reports items of other comprehensive income to present comprehensive income in either a single financial statement or in two consecutive financial statements. In a single continuous statement, an entity is required to present the components of net income and total net income, the components of other comprehensive income and a total for other comprehensive income, as well as a total for comprehensive income. In a two-statement approach, an entity is required to present the components of net income and total net income in its statement of net income. The statement of other comprehensive income should follow immediately and include the components of other comprehensive income as well as totals for both other comprehensive income and comprehensive income. This guidance eliminated the option to present other comprehensive income in the statement of changes in stockholders' equity. The Bank elected the two-statement approach for interim and annual periods beginning on January 1, 2012, and applied this guidance retrospectively for all periods presented. Early adoption was permitted. The adoption of this guidance was limited to the presentation of certain information contained in the Bank's financial statements and did not affect the Bank's financial condition, results of operations, or cash flows. (See Note 12 – Accumulated Other Comprehensive Income/ (Loss) for additional disclosures required under this amended guidance.)

On December 23, 2011, the FASB issued guidance to defer the effective date of the new requirement to present reclassifications of items out of accumulated other comprehensive income in the income statement. This deferral became effective for the Bank for interim and annual periods beginning on January 1, 2012, and did not affect the Bank's adoption of the remaining new accounting guidance for the presentation of comprehensive income.

Fair Value Measurements and Disclosures.On May 12, 2011, the FASB and the IASB issued substantially converged guidance on fair value measurement and disclosure requirements. This guidance clarifies how fair value accounting should be applied where its use is already required or permitted by other standards within GAAP or IFRS; these amendments do not require additional fair value measurements. This guidance generally represents clarifications to the application of existing fair value measurement and disclosure requirements, as well as some instances where a particular principle or requirement for measuring fair value or disclosing information about fair value measurements has changed. This guidance became effective for the Bank for interim and annual periods beginning on January 1, 2012, and was applied prospectively. The adoption of this guidance resulted in increased financial statement disclosures, but did not have a material effect on the Bank's financial condition, results of operations, or cash flows. (See Note 16 – Fair Value for additional disclosures required under this amended guidance.)

Reconsideration of Effective Control for Repurchase Agreements. On April 29, 2011, the FASB issued guidance to improve the accounting for repurchase agreements and other agreements that both entitle and obligate a transferor to repurchase or redeem financial assets before their maturity. The new guidance removes from the assessment of effective control: (i) the criterion requiring the transferor to have the ability to repurchase or redeem financial assets before their maturity on the substantially agreed-upon terms, even in the event of the transferee's default, and (ii) the collateral maintenance implementation guidance related to that criterion. The new guidance became effective for interim or annual periods beginning on or after December 15, 2011 (January 1, 2012, for the Bank) and was applied prospectively to transactions or modifications of existing transactions that occurred on or after January 1, 2012. The adoption of this guidance did not have a material effect on the Bank's financial condition, results of operations, or cash flows.

Recently Issued Regulatory Guidance

Framework for Adversely Classifying Loans, Other Real Estate Owned, and Other Assets and Listing Assets for Special Mention.On April 9, 2012, the Federal Housing Finance Agency (Finance Agency) issued Advisory Bulletin 2012-02, Framework for Adversely Classifying Loans, Other Real Estate Owned, and Other Assets and Listing Assets for Special Mention (AB 2012-02). This guidance establishes a standard and uniform methodology for classifying assets, excluding investment securities, and prescribes the timing of asset charge-offs based on these classifications. This guidance is generally consistent with the Uniform Retail Credit Classification and Account Management Policy issued by the federal banking regulators in June 2000. AB 2012-02 was effective upon issuance. The Bank is currently assessing the provisions of AB 2012-02 in coordination with the Finance Agency and therefore has not yet determined when it will implement the guidance. The adoption of the accounting guidance in AB 2012-02 is not expected to have a significant impact on the Bank's financial condition, results of operations, or cash flows.

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Other-Than-Temporary Impairment Analysis (Significant Inputs for Other-Than-Temporarily Impaired PLRMBS) (Details) (PLRMBS [Member])	3 Months Ended
	Sep. 30, 2012
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Average	7.80%
Default Rates, Weighted Average	40.80%
Loss Severities, Weighted Average	45.70%
Current Credit Enhancement, Weighted Average	21.20%
Prime [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Average	11.50%
Default Rates, Weighted Average	11.60%
Loss Severities, Weighted Average	32.00%
Current Credit Enhancement, Weighted Average	12.70%
Alt-A, option ARM [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Average	3.30%
Default Rates, Weighted Average	66.90%
Loss Severities, Weighted Average	48.90%
Current Credit Enhancement, Weighted Average	20.30%
Alt-A, other [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Average	8.20%
Default Rates, Weighted Average	38.40%
Loss Severities, Weighted Average	45.90%
Current Credit Enhancement, Weighted Average	21.70%
Securitization in 2007 [Member] | Prime [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Average	9.60%
Default Rates, Weighted Average	7.90%
Loss Severities, Weighted Average	27.70%
Current Credit Enhancement, Weighted Average	20.10%
Securitization in 2007 [Member] | Alt-A, option ARM [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Average	1.90%
Default Rates, Weighted Average	85.80%
Loss Severities, Weighted Average	61.10%
Current Credit Enhancement, Weighted Average	35.50%
Securitization in 2007 [Member] | Alt-A, other [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Average	5.10%
Default Rates, Weighted Average	68.60%
Loss Severities, Weighted Average	48.80%
Current Credit Enhancement, Weighted Average	40.30%
Securitization in 2006 [Member] | Prime [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Average	11.90%
Default Rates, Weighted Average	24.00%
Loss Severities, Weighted Average	44.00%
Current Credit Enhancement, Weighted Average	2.40%
Securitization in 2006 [Member] | Alt-A, other [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Average	8.10%
Default Rates, Weighted Average	44.80%
Loss Severities, Weighted Average	48.40%
Current Credit Enhancement, Weighted Average	25.70%
Securitization in 2005 [Member] | Alt-A, option ARM [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Average	4.30%
Default Rates, Weighted Average	53.70%
Loss Severities, Weighted Average	40.30%
Current Credit Enhancement, Weighted Average	9.70%
Securitization in 2005 [Member] | Alt-A, other [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Average	8.80%
Default Rates, Weighted Average	29.50%
Loss Severities, Weighted Average	44.60%
Current Credit Enhancement, Weighted Average	15.50%
Securitization in 2004 and Earlier [Member] | Prime [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Average	13.80%
Default Rates, Weighted Average	14.50%
Loss Severities, Weighted Average	35.60%
Current Credit Enhancement, Weighted Average	5.00%
Securitization in 2004 and Earlier [Member] | Alt-A, other [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Average	10.10%
Default Rates, Weighted Average	9.00%
Loss Severities, Weighted Average	25.80%
Current Credit Enhancement, Weighted Average	17.00%
Minimum [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Range	1.90%
Default Rates, Range	5.00%
Loss Severities, Range	20.50%
Current Credit Enhancement, Range	0.00%
Minimum [Member] | Prime [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Range	9.60%
Default Rates, Range	7.90%
Loss Severities, Range	27.70%
Current Credit Enhancement, Range	0.20%
Minimum [Member] | Alt-A, option ARM [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Range	1.90%
Default Rates, Range	45.70%
Loss Severities, Range	37.30%
Current Credit Enhancement, Range	5.10%
Minimum [Member] | Alt-A, other [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Range	5.10%
Default Rates, Range	5.00%
Loss Severities, Range	20.50%
Current Credit Enhancement, Range	0.00%
Minimum [Member] | Securitization in 2007 [Member] | Prime [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Range	9.60%
Default Rates, Range	7.90%
Loss Severities, Range	27.70%
Current Credit Enhancement, Range	20.10%
Minimum [Member] | Securitization in 2007 [Member] | Alt-A, option ARM [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Range	1.90%
Default Rates, Range	85.80%
Loss Severities, Range	61.10%
Current Credit Enhancement, Range	35.50%
Minimum [Member] | Securitization in 2007 [Member] | Alt-A, other [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Range	5.10%
Default Rates, Range	68.60%
Loss Severities, Range	48.80%
Current Credit Enhancement, Range	40.30%
Minimum [Member] | Securitization in 2006 [Member] | Prime [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Range	11.00%
Default Rates, Range	22.30%
Loss Severities, Range	42.80%
Current Credit Enhancement, Range	0.20%
Minimum [Member] | Securitization in 2006 [Member] | Alt-A, other [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Range	7.00%
Default Rates, Range	42.30%
Loss Severities, Range	46.20%
Current Credit Enhancement, Range	0.00%
Minimum [Member] | Securitization in 2005 [Member] | Alt-A, option ARM [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Range	4.10%
Default Rates, Range	45.70%
Loss Severities, Range	37.30%
Current Credit Enhancement, Range	5.10%
Minimum [Member] | Securitization in 2005 [Member] | Alt-A, other [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Range	7.80%
Default Rates, Range	17.40%
Loss Severities, Range	35.20%
Current Credit Enhancement, Range	3.80%
Minimum [Member] | Securitization in 2004 and Earlier [Member] | Prime [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Range	13.80%
Default Rates, Range	14.50%
Loss Severities, Range	35.60%
Current Credit Enhancement, Range	5.00%
Minimum [Member] | Securitization in 2004 and Earlier [Member] | Alt-A, other [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Range	9.00%
Default Rates, Range	5.00%
Loss Severities, Range	20.50%
Current Credit Enhancement, Range	14.00%
Maximum [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Range	13.80%
Default Rates, Range	85.80%
Loss Severities, Range	61.10%
Current Credit Enhancement, Range	40.30%
Maximum [Member] | Prime [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Range	13.80%
Default Rates, Range	31.40%
Loss Severities, Range	49.20%
Current Credit Enhancement, Range	20.10%
Maximum [Member] | Alt-A, option ARM [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Range	4.60%
Default Rates, Range	85.80%
Loss Severities, Range	61.10%
Current Credit Enhancement, Range	35.50%
Maximum [Member] | Alt-A, other [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Range	12.40%
Default Rates, Range	68.60%
Loss Severities, Range	52.20%
Current Credit Enhancement, Range	40.30%
Maximum [Member] | Securitization in 2007 [Member] | Prime [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Range	9.60%
Default Rates, Range	7.90%
Loss Severities, Range	27.70%
Current Credit Enhancement, Range	20.10%
Maximum [Member] | Securitization in 2007 [Member] | Alt-A, option ARM [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Range	1.90%
Default Rates, Range	85.80%
Loss Severities, Range	61.10%
Current Credit Enhancement, Range	35.50%
Maximum [Member] | Securitization in 2007 [Member] | Alt-A, other [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Range	5.10%
Default Rates, Range	68.60%
Loss Severities, Range	48.80%
Current Credit Enhancement, Range	40.30%
Maximum [Member] | Securitization in 2006 [Member] | Prime [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Range	12.20%
Default Rates, Range	31.40%
Loss Severities, Range	49.20%
Current Credit Enhancement, Range	2.90%
Maximum [Member] | Securitization in 2006 [Member] | Alt-A, other [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Range	8.40%
Default Rates, Range	56.50%
Loss Severities, Range	52.20%
Current Credit Enhancement, Range	33.20%
Maximum [Member] | Securitization in 2005 [Member] | Alt-A, option ARM [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Range	4.60%
Default Rates, Range	60.50%
Loss Severities, Range	47.00%
Current Credit Enhancement, Range	18.10%
Maximum [Member] | Securitization in 2005 [Member] | Alt-A, other [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Range	11.10%
Default Rates, Range	36.20%
Loss Severities, Range	48.10%
Current Credit Enhancement, Range	25.50%
Maximum [Member] | Securitization in 2004 and Earlier [Member] | Prime [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Range	13.80%
Default Rates, Range	14.50%
Loss Severities, Range	35.60%
Current Credit Enhancement, Range	5.00%
Maximum [Member] | Securitization in 2004 and Earlier [Member] | Alt-A, other [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Range	12.40%
Default Rates, Range	13.40%
Loss Severities, Range	29.20%
Current Credit Enhancement, Range	25.90%

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Capital (Capital Requirements) (Details) (USD $) In Millions, unless otherwise specified	Sep. 30, 2012	Dec. 31, 2011
Capital [Abstract]
Multiplier for Determining Permanent Capital in Leverage Capital Calculation	1.5
Risk-based capital - Required	$ 4,024	$ 4,915
Risk-based capital - Actual	11,417	12,176
Total regulatory capital - Required	3,768	4,542
Total regulatory capital - Actual	11,417	12,176
Total regulatory capital ratio - Required	4.00%	4.00%
Total regulatory capital ratio - Actual	12.12%	10.72%
Leverage capital - Required	4,709	5,678
Leverage capital - Actual	$ 17,125	$ 18,264
Leverage ratio - Required	5.00%	5.00%
Leverage ratio - Actual	18.18%	16.08%

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Mortgage Loans Held for Portfolio (Details) (USD $) In Millions, unless otherwise specified	9 Months Ended	12 Months Ended
	Sep. 30, 2012	Dec. 31, 2011 loan	Jun. 30, 2012	Sep. 30, 2011	Jun. 30, 2011	Dec. 31, 2010
Mortgage Loans on Real Estate [Line Items]
Unpaid principal balance	$ 1,419	$ 1,841
Unamortized premiums	12	15
Unamortized discounts	(16)	(21)
Mortgage loans held for portfolio	1,415	1,835
Less: Allowance for credit losses	(4)	(6)	(4)	(5)	(6)	(3)
Total mortgage loans held for portfolio, net	1,411	1,829
Percentage of Total Mortgage Loan Balances Outstanding	100.00%	100.00%
Number of Mortgage Loans Outstanding	14,743	17,785
Percentage of Total Number of Mortgage Loans Outstanding	100.00%	100.00%
JPMorgan Chase Bank National Association [Member]
Mortgage Loans on Real Estate [Line Items]
Unpaid principal balance	1,114	1,454
Percentage of Total Mortgage Loan Balances Outstanding	79.00%	79.00%
Number of Mortgage Loans Outstanding	10,336	12,729
Percentage of Total Number of Mortgage Loans Outstanding	70.00%	72.00%
OneWest Bank FSB [Member]
Mortgage Loans on Real Estate [Line Items]
Unpaid principal balance	188	238
Percentage of Total Mortgage Loan Balances Outstanding	13.00%	13.00%
Number of Mortgage Loans Outstanding	3,199	3,625
Percentage of Total Number of Mortgage Loans Outstanding	22.00%	20.00%
JP Morgan Chase Bank National Association And OneWest Bank FSB [Member]
Mortgage Loans on Real Estate [Line Items]
Unpaid principal balance	1,302	1,692
Percentage of Total Mortgage Loan Balances Outstanding	92.00%	92.00%
Number of Mortgage Loans Outstanding	13,535	16,354
Percentage of Total Number of Mortgage Loans Outstanding	92.00%	92.00%
Other Borrowers [Member]
Mortgage Loans on Real Estate [Line Items]
Unpaid principal balance	117	149
Percentage of Total Mortgage Loan Balances Outstanding	8.00%	8.00%
Number of Mortgage Loans Outstanding	1,208	1,431
Percentage of Total Number of Mortgage Loans Outstanding	8.00%	8.00%
Fixed rate medium-term mortgage loans [Member]
Mortgage Loans on Real Estate [Line Items]
Unpaid principal balance	393	519
Fixed rate medium-term mortgage loans [Member] | Maximum [Member]
Mortgage Loans on Real Estate [Line Items]
Mortgage Loans on Real Estate, Original Contractual Terms	15 years
Fixed rate long-term mortgage loans [Member]
Mortgage Loans on Real Estate [Line Items]
Unpaid principal balance	$ 1,026	$ 1,322
Fixed rate long-term mortgage loans [Member] | Minimum [Member]
Mortgage Loans on Real Estate [Line Items]
Mortgage Loans on Real Estate, Original Contractual Terms	15 years
Mortgage Loans [Member] | Credit Concentration Risk [Member]
Mortgage Loans on Real Estate [Line Items]
Concentration Risk Benchmark, Percent	10.00%	10.00%

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Subsequent Events

9 Months Ended

Sep. 30, 2012

Subsequent Events [Abstract]

Subsequent Events

Subsequent Events

The Bank evaluated events subsequent to September 30, 2012, until the time of the Form 10-Q filing with the Securities and Exchange Commission, and no material subsequent events were identified.

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Allowance for Credit Losses (Narrative) (Details) (USD $) In Millions, unless otherwise specified	9 Months Ended									1 Months Ended
	Sep. 30, 2012 Institutions	Jun. 30, 2012	Dec. 31, 2011	Sep. 30, 2011	Jun. 30, 2011	Dec. 31, 2010	Sep. 30, 2012 MPF Plus Loans, Specifically Identified As Impaired [Member]	Dec. 31, 2011 MPF Plus Loans, Specifically Identified As Impaired [Member]	Dec. 31, 2011 MPF Plus Loans, Not Specifically Identified As Impaired [Member]	Oct. 31, 2012 Subsequent Event [Member]
Financing Receivable, Allowance for Credit Losses [Line Items]
Number of Member Institutions Placed Into Receivership or Liquidation	2									0
Number of Member Institutions Placed Into Receivership or Liquidation Without Outstanding Advances	0
Number of Member Institutions Placed Into Receivership or Liquidation Whose Capital Stock was Classified as Mandatorily Redeemable	1
Value Of Capital Stock Of Member Institutions Placed Into Receivership Or Liquidation Whose Capital Stock Was Classified As Mandatorily Redeemable	$ 4
Period Loan Receivable Becomes Nonaccrual Status	90 days
Loan to Value Ratio Above Which a Borrower is Required to Obtain Primary Mortgage Insurance	80.00%
Allowance for credit losses on mortgage loans	4	4	6	5	6	3	3	4	2
Troubled Debt Restructuring Modification Period	36 months
Troubled Debt Restructuring Modification, Housing Expense Ratio, Maximum	31.00%
Troubled Debt Restructuring Loan Modification for Principal and Interest Payment Term, Maximum	40 years
Troubled Debt Restructuring Loan Modification Interest Rate Reduction Period if Expense Ratio is Not Met	36 months
Troubled Debt Restructuring Modification Incremental Interest Decrease Percent	0.125%
Troubled Debt Restructuring Modification Interest Decrease Floor, Percent	3.00%
Financing Receivable, Modifications, Recorded Investment	$ 0.7

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Consolidated Obligations (Tables)

9 Months Ended

Sep. 30, 2012

Debt Disclosure [Abstract]

Schedule of Maturities of Long-term Debt [Table Text Block]

The following is a summary of the Bank's participation in consolidated obligation bonds at September 30, 2012, and December 31, 2011.

	September 30, 2012					December 31, 2011
Contractual Maturity	Amount Outstanding			Weighted Average Interest Rate		Amount Outstanding			Weighted Average Interest Rate
Within 1 year	$	34,673		1.17	%	$	40,924		0.54	%
After 1 year through 2 years	18,920			1.09		19,124			2.38
After 2 years through 3 years	2,251			2.00		3,731			1.92
After 3 years through 4 years	4,156			1.68		2,955			1.96
After 4 years through 5 years	5,469			3.71		8,006			3.15
After 5 years	6,761			2.39		7,301			3.37
Index amortizing notes	4			4.61		4			4.61
Total par amount	72,234			1.51	%	82,045			1.59	%
Unamortized premiums	82					89
Unamortized discounts	(25		)			(35		)
Valuation adjustments for hedging activities	1,035					1,208
Fair value option valuation adjustments	45					43
Total	$	73,371				$	83,350

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

The Bank's participation in consolidated obligation bonds was as follows:

	September 30, 2012		December 31, 2011
Par amount of consolidated obligation bonds:
Non-callable	$	63,142	$	64,954
Callable	9,092		17,091
Total par amount	$	72,234	$	82,045

Schedule of Maturities of Long-term Debt by Contractual or Next Call Date [Table Text Block]

The following is a summary of the Bank's participation in consolidated obligation bonds outstanding at September 30, 2012, and December 31, 2011, by the earlier of the year of contractual maturity or next call date.

Earlier of Contractual Maturity or Next Call Date	September 30, 2012		December 31, 2011
Within 1 year	$	42,819	$	51,735
After 1 year through 2 years	18,470		18,954
After 2 years through 3 years	2,231		2,661
After 3 years through 4 years	3,741		1,985
After 4 years through 5 years	4,102		5,761
After 5 years	867		945
Index amortizing notes	4		4
Total par amount	$	72,234	$	82,045

Schedule of Short-term Debt [Table Text Block]

The Bank's participation in consolidated obligation discount notes, all of which are due within one year, was as follows:

	September 30, 2012					December 31, 2011
	Amount Outstanding			Weighted Average Interest Rate		Amount Outstanding			Weighted Average Interest Rate
Par amount	$	9,731		0.15	%	$	19,159		0.11	%
Unamortized discounts	(3		)			(7		)
Total	$	9,728				$	19,152

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

Interest rate payment terms for consolidated obligations at September 30, 2012, and December 31, 2011, are detailed in the following table. For information on the general terms and types of consolidated obligations outstanding, see “Item 8. Financial Statements and Supplementary Data – Note 12 – Consolidated Obligations” in the Bank's 2011 Form 10-K.

	September 30, 2012		December 31, 2011
Par amount of consolidated obligations:
Bonds:
Fixed rate	$	42,653	$	59,607
Adjustable rate	27,768		19,688
Step-up	1,769		2,221
Step-down	15		115
Fixed rate that converts to adjustable rate	25		290
Adjustable rate that converts to fixed rate	—		35
Adjustable rate that converts to step-up	—		75
Range bonds	—		10
Index amortizing notes	4		4
Total bonds, par	72,234		82,045
Discount notes, par	9,731		19,159
Total consolidated obligations, par	$	81,965	$	101,204

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Accumulated Other Comprehensive Income (Loss)

9 Months Ended

Sep. 30, 2012

Accumulated Other Comprehensive Income (Loss) [Abstract]

Accumulated Other Comprehensive Income/(Loss)

Accumulated Other Comprehensive Income/(Loss)

The following table summarizes the changes in accumulated other comprehensive income for the nine months ended September 30, 2012 and 2011:

	Net Unrealized Gain/(Loss) on Available-for- Sale Securities			Net Non-Credit-Related OTTI Loss on Available-for-Sale Securities			Net Non-Credit-Related OTTI Loss on Held-to-Maturity Securities			Pension and Postretirement Benefits			Total Accumulated Other Comprehensive Income/(Loss)
Balance, December 31, 2010	$	(2	)	$	—		$	(2,934	)	$	(7	)	$	(2,943	)
Other comprehensive income/(loss)	2			(1,705		)	2,874			—			1,171
Balance, September 30, 2011	$	—		$	(1,705	)	$	(60	)	$	(7	)	$	(1,772	)
Balance, December 31, 2011	$	1		$	(1,836	)	$	(46	)	$	(12	)	$	(1,893	)
Other comprehensive income/(loss)	(1		)	817			10			—			826
Balance, September 30, 2012	$	—		$	(1,019	)	$	(36	)	$	(12	)	$	(1,067	)