10-K

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

____________________________________

FORM 10-K

____________________________________

ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES

EXCHANGE ACT OF 1934

For the fiscal year ended December 31, 2015

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)

____________________________________

Securities registered pursuant to Section 12(b) of the Act: None

Securities registered pursuant to Section 12(g) of the Act:

Class B Stock, par value $100

(Title of class)

____________________________________

Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act. o  Yes    x  No

Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or Section 15(d) of the Act. o  Yes    x  No

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 if disclosure of delinquent filers pursuant to Item 405 of Regulation S-K is not contained herein, and will not be contained, to the best of registrant's knowledge, in definitive proxy or information statements incorporated by reference in Part III of the Form 10-K or any amendment to this Form 10-K. x

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

Registrant's capital stock is not publicly traded and is only issued to members of the registrant. Such capital stock is issued and redeemed at par value, $100 per share, subject to certain regulatory and statutory limits. At June 30, 2015, the aggregate par value of the capital stock held by shareholders of the registrant was approximately $2,893 million. At February 29, 2016, the total shares of capital stock outstanding, including mandatorily redeemable capital stock, totaled 28,019,551.

DOCUMENTS INCORPORATED BY REFERENCE: None.

Federal Home Loan Bank of San Francisco

2015 Annual Report on Form 10-K

Table of Contents

PART I.
Item 1.	Business	1
Item 1A.	Risk Factors	12
Item 1B.	Unresolved Staff Comments	20
Item 2.	Properties	20
Item 3	Legal Proceedings	21
Item 4	Mine Safety Disclosures	21
PART II.
Item 5.	Market for Registrant's Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities	22
Item 6.	Selected Financial Data	23
Item 7.	Management's Discussion and Analysis of Financial Condition and Results of Operations	25
	Overview	26
	Results of Operations	27
	Financial Condition	40
	Liquidity and Capital Resources	48
	Risk Management	51
	Critical Accounting Policies and Estimates	96
	Recently Issued Accounting Guidance and Interpretations	104
	Recent Developments	104
	Off-Balance Sheet Arrangements and Aggregate Contractual Obligations	106
Item 7A.	Quantitative and Qualitative Disclosures About Market Risk	107
Item 8.	Financial Statements and Supplementary Data	108
Item 9.	Changes in and Disagreements With Accountants on Accounting and Financial Disclosure	192
Item 9A.	Controls and Procedures	192
Item 9B.	Other Information	193
PART III.
Item 10.	Directors, Executive Officers and Corporate Governance	194
Item 11.	Executive Compensation	202
Item 12.	Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters	225
Item 13.	Certain Relationships and Related Transactions, and Director Independence	225
Item 14.	Principal Accounting Fees and Services	229
PART IV.
Item 15.	Exhibits, Financial Statement Schedules	230
SIGNATURES		233

PART I. FINANCIAL INFORMATION

ITEM 1. BUSINESS

At the Federal Home Loan Bank of San Francisco (Bank), our purpose is to enhance the availability of credit for residential mortgages and economic development by providing a readily available, competitively priced source of funds for housing and community lenders. We are a wholesale bank—we link our customers to the global capital markets and seek to manage our own liquidity so that funds are available when our customers need them. By providing needed liquidity and financial risk management tools, our credit programs enhance competition in the mortgage market and benefit homebuyers and communities.

We are one of 11 regional Federal Home Loan Banks (FHLBanks) that serve the United States as part of the Federal Home Loan Bank System. Each FHLBank operates as a separate federally chartered corporation with its own board of directors, management, and employees. The FHLBanks were organized under the Federal Home Loan Bank Act of 1932, as amended (FHLBank Act), and are government-sponsored enterprises (GSEs). The FHLBanks are not government agencies and do not receive financial support from taxpayers. The U.S. government does not guarantee, directly or indirectly, the debt securities or other obligations of the Bank or the FHLBank System. The FHLBanks are regulated by the Federal Housing Finance Agency (Finance Agency), an independent federal agency.

We have a cooperative ownership structure. To access our products and services, a financial institution must be approved for membership and purchase capital stock in the Bank. The member's capital stock requirement is generally based on its use of Bank products, subject to a minimum asset-based membership requirement that is intended to reflect the value to the member of having ready access to the Bank as a reliable source of competitively priced funds. Bank capital stock is issued, transferred, redeemed, and repurchased at its par value of $100 per share, subject to certain regulatory and statutory limits. It is not publicly traded.

Our members may include federally insured and regulated financial depositories, regulated insurance companies that are engaged in residential housing finance, community development financial institutions (CDFIs) that have been certified by the CDFI Fund of the U.S. Treasury Department, and privately insured, state-chartered credit unions. Financial depositories may include commercial banks, credit unions, industrial loan companies, and savings institutions. CDFIs may include community development loan funds, community development venture capital funds, and privately insured, state-chartered credit unions. All members have a principal place of business located in Arizona, California, or Nevada, the three states that make up the Eleventh District of the FHLBank System. Our members range in size from $5.6 million to over $139 billion in assets.

Our primary business is providing competitively priced, collateralized loans, known as advances, to our members and certain qualifying housing associates. Advances may be fixed or adjustable rate, with terms ranging from one day to 30 years. We accept a wide range of collateral types, some of which cannot be readily pledged elsewhere or readily securitized. Members use their access to advances to support their mortgage loan portfolios, lower their funding costs, facilitate asset-liability management, reduce on-balance sheet liquidity, offer a wider range of mortgage products to their customers, and improve profitability.

As of December 31, 2015, we had advances and capital stock, including mandatorily redeemable capital stock, outstanding to the following types of institutions:

1

				Advances
(Dollars in millions)	Total Number of Institutions	Capital Stock Outstanding		Number of Institutions	Par Value of Advances Outstanding
Commercial banks	193	$	1,335	103	$	25,333
Savings institutions	12	154		7	1,700
Credit unions	119	725		36	5,464
Industrial loan companies	3	2		3	43
Insurance companies	7	33		2	202
Community development financial institutions	6	4		3	90
Total member institutions	340	2,253		154	32,832
Housing associates eligible to borrow	1	—		—	—
Other nonmember institutions(1)	9	488		7	18,009
Total	350	$	2,741	161	$	50,841

(1) Nonmember institutions may be former members or may have acquired the advances and capital stock of a former member. Capital stock held by nonmember shareholders is classified as mandatorily redeemable capital stock, a liability. Nonmember shareholders with advances outstanding are required to meet the Bank's applicable credit, collateral, and capital stock requirements, including requirements regarding creditworthiness and collateral borrowing capacity. Nonmembers (including former members and member successors) are not eligible to borrow new advances from the Bank or renew existing advances as they mature.

To fund their operations, the FHLBanks issue debt in the form of consolidated obligation bonds and discount notes (jointly referred to as consolidated obligations) through the FHLBanks’ Office of Finance, the fiscal agent for the issuance and servicing of consolidated obligations on behalf of the FHLBanks. Because the FHLBanks’ consolidated obligations are rated Aaa by Moody’s Investors Service (Moody’s) and AA+ by Standard & Poor’s Rating Services (Standard & Poor’s) and because of the FHLBanks' GSE status, the FHLBanks are generally able to raise funds at rates that are typically at a small to moderate spread above U.S. Treasury security yields. Our cooperative ownership structure allows us to pass along the benefit of these low funding rates to our members.

Members also benefit from our affordable housing and economic development programs, which provide grants and below-market-rate loans that support members’ involvement in creating affordable housing and revitalizing communities.

Our Business Model

Our cooperative ownership structure has led us to develop a business model that is different from that of a typical financial services firm. Our business model is based on the premise that we maintain a balance between our objective to promote housing, homeownership, and community and economic development through our activities with members and our objective to provide a return on the private capital provided by our members through their investment in the Bank's capital stock. We achieve this balance by delivering low-cost credit to help our members meet the credit needs of their communities while striving to pay members a reasonable return on their investment in the Bank's capital stock.

As a cooperatively owned wholesale bank, we require our members to purchase capital stock to support their activities with the Bank. We leverage this capital by using our GSE status to borrow funds in the capital markets at rates that are generally at a small to moderate spread above U.S. Treasury security yields. We lend these funds to our members at rates that are competitive with the cost of most wholesale borrowing alternatives available to our largest members.

We may also invest in residential mortgage-backed securities (MBS) up to the regulatory policy limit of three times capital. Our MBS investments include agency-issued MBS that are guaranteed through the direct obligation of or are supported by the U.S. government and private-label residential MBS (PLRMBS) that were AAA-rated at the time of purchase. We also have a portfolio of residential mortgage loans purchased from members. Earnings on these mortgage assets have historically provided us with the financial flexibility to continue providing cost-effective

2

credit and liquidity to our members. While the mortgage assets we hold are intended to increase our earnings, they also modestly increase our interest rate risk.

Additional information about our investments is provided in “Item 7. Management's Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Credit Risk – Investments.”

Our financial strategies are designed to enable us to safely expand and contract our assets, liabilities, and capital as our member base and our members' credit needs change. Our capital increases when members are required to purchase additional capital stock as they increase their advances borrowings, and it contracts when we repurchase excess capital stock from members as their advances decline. As a result of these strategies, we have been able to achieve our mission by meeting member credit needs and maintaining our strong regulatory capital position, while paying dividends (including dividends on mandatorily redeemable capital stock) and repurchasing and redeeming excess capital stock. Throughout 2015, the Bank continued to monitor the condition of its PLRMBS portfolio, the ratio of the Bank’s estimated market value of total capital to par value of capital stock, its overall financial performance and retained earnings, developments in the mortgage and credit markets, and other relevant information as the basis for determining the payment of dividends and the repurchase of excess capital stock. The Bank paid dividends totaling $434 million and $360 million in 2015 and 2014, respectively, repurchased $2.0 billion and $2.0 billion in excess capital stock in 2015 and 2014, respectively, and redeemed $53 million and $296 million in mandatorily redeemable capital stock during 2015 and 2014, respectively. Total excess capital stock was $0.4 billion and $1.1 billion as of December 31, 2015 and 2014, respectively.

Products and Services

Advances. We offer our members a wide array of fixed and adjustable rate loans, called advances, with maturities ranging from one day to 30 years. Our advance products are designed to help members compete effectively in their markets and meet the credit needs of their communities. For members that choose to retain the mortgage loans they originate as assets (portfolio lenders), advances serve as a funding source for a variety of conforming and nonconforming mortgage loans, including multifamily mortgage loans. As a result, advances support an array of housing market segments, including those focused on low- and moderate-income households. For members that sell or securitize mortgage loans and other assets, advances can provide interim funding.

Our credit products also help members with their asset-liability management. Members can use a wide range of advance types, with different maturities and payment characteristics, to match the characteristics of their assets and reduce their interest rate risk. We offer advances that are callable at the member's option and advances with embedded option features (such as caps and floors), which can reduce the interest rate risk associated with holding fixed rate mortgage loans and adjustable rate mortgage loans with interest rate caps in the member's portfolio.

We offer both standard and customized advance structures. Standard advances include fixed and adjustable rate advance products with different maturities, interest rates, and payment characteristics. Fixed rate advances generally have maturities ranging from one day to 30 years. Adjustable rate advances generally have maturities ranging from less than 30 days to 10 years, with the interest rates resetting periodically at a fixed spread to the London Interbank Offered Rate (LIBOR) or to another specified index. Customized advances may include:

• advances with non-standard indices;

• advances with embedded option features (such as interest rate caps, floors, and call and put options);

• amortizing advances; and

• advances with partial prepayment symmetry. (Partial prepayment symmetry is a product feature under which the Bank may charge a prepayment fee or pay a prepayment credit, depending on certain circumstances, such as movements in interest rates, if the advance is prepaid.)

For each customized advance, we typically execute a derivative to enable us to offset the customized features embedded in the advance.

3

We manage the credit risk of advances and other credit products by setting the credit and collateral terms available to individual members and housing associates based on their creditworthiness and the quality and value of the assets they pledge as collateral. We also have procedures to assess the mortgage loan quality and documentation standards of institutions that pledge mortgage loan collateral. In addition, we have collateral policies and restricted lending procedures in place to help manage our exposure to institutions that experience difficulty in meeting their capital requirements or other standards of creditworthiness. These credit and collateral policies balance our dual goals of meeting the needs of members and housing associates as a reliable source of liquidity and mitigating credit risk by adjusting credit and collateral terms in view of changes in member creditworthiness.

All advances must be fully collateralized. To secure advances, borrowers may pledge one- to four-family first lien residential mortgage loans, multifamily mortgage loans, MBS, U.S. government and agency securities, deposits in the Bank, and certain other real estate-related collateral, such as commercial real estate loans and second lien residential mortgage loans. We may also accept small business, small farm, and small agribusiness loans that are fully secured by collateral (such as real estate, equipment and vehicles, accounts receivable, and inventory) as eligible collateral from members that are community financial institutions. The Housing and Economic Recovery Act of 2008 (Housing Act) added secured loans for community development activities as a type of collateral that we may accept from community financial institutions. The Housing Act defined community financial institutions as depository institutions insured by the Federal Deposit Insurance Corporation with average total assets over the preceding three-year period of $1 billion or less, to be adjusted for inflation annually by the Finance Agency. The average total asset cap for 2015 was $1,123 million.

Pursuant to our lending agreements with our borrowers, including members, housing associates, and nonmember institutions with credit outstanding, we limit extensions of credit to a borrower to a percentage of the market value or unpaid principal balance of the borrower’s pledged collateral, known as the borrowing capacity. The borrowing capacity percentage varies according to several factors, including the charter type of the institution, the collateral type, the value assigned to the collateral, the results of our collateral field review of the borrower’s collateral, the pledging method used for loan collateral (specific identification or blanket lien), the amount of loan data provided (detailed or summary reporting), the data reporting frequency (monthly or quarterly), the borrower’s financial strength and condition, and any institution-specific collateral risks. Under the terms of our 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. We monitor each borrower’s aggregate borrowing capacity and collateral requirements on a daily basis, by comparing the institution's borrowing capacity to its obligations to us.

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

Throughout2015, we regularly reviewed and adjusted our lending parameters in light of changing market conditions, both negative and positive, and periodically adjusted the maximum borrowing capacity of certain collateral types. When necessary, we required additional collateral to fully secure advances.

Based on the collateral pledged as security for advances, our credit analyses of our borrowers' financial condition, and our credit extension and collateral policies, we expect to collect all amounts due according to the contractual terms of the advances. Therefore, no allowance for losses on advances was deemed necessary by the Bank in 2015. We have never experienced any credit losses on advances.

When a borrower prepays an advance prior to its original maturity, we may charge the borrower a prepayment fee, depending on certain circumstances, such as movements in interest rates, at the time the advance is prepaid. For an advance with partial prepayment symmetry, we may charge the borrower a prepayment fee or pay the member a prepayment credit, depending on certain circumstances at the time the advance is prepaid. Our prepayment fee policy is designed to recover at least the net economic costs, if any, associated with the reinvestment of the advance

4

prepayment proceeds or the cost to terminate the funding associated with the prepaid advance, which generally enables us to be financially indifferent to the prepayment of the advance.

Because of the funding alternatives available to our largest borrowers, we establish advances prices that take into account the cost of alternative market choices available to our largest members each day. We offer the same advances prices to all members each day, which means that all members benefit from this pricing strategy. In addition, if further price concessions are negotiated with any member to reflect market conditions on a given day, those price concessions are also made available to all members for the same product with the same terms on the same day.

Standby Letters of Credit. We issue standby letters of credit to support certain obligations of members to third parties. Members may use standby letters of credit issued by the Bank to facilitate residential housing finance and community lending, to achieve liquidity and asset-liability management goals, to secure certain state and local agency deposits, and to provide credit support to certain tax-exempt bonds. Our underwriting and collateral requirements for standby letters of credit are generally the same as our underwriting and collateral requirements for advances, but may differ in cases where member creditworthiness is impaired.

Investments. We invest in high-quality non-MBS investments to facilitate our role as a cost-effective provider of credit and liquidity to members and to enhance the Bank's earnings. We have adopted credit policies and exposure limits for investments that support liquidity and diversification of risk. These policies restrict the amounts and terms of our investments according to our own capital position as well as the capital and creditworthiness of the individual counterparties, with different unsecured credit limit policies for members and nonmembers. When we execute non-MBS investments with members, we may give consideration to their secured credit availability with the Bank and our advances price levels.

We may invest in short-term unsecured Federal funds sold, negotiable certificates of deposit, and commercial paper. We may also invest in short-term secured transactions, such as U.S. Treasury or agency securities resale agreements. Our investments also include bonds issued by the Federal Farm Credit Banks, all of which are rated Aaa by Moody’s and AA+ by Standard & Poor’s. In addition, we may invest in housing finance agency bonds issued by housing finance agencies located in Arizona, California, and Nevada, the three states that make up the Eleventh District of the FHLBank System. These bonds are mortgage revenue bonds (federally taxable), are collateralized by pools of first lien residential mortgage loans, and are credit-enhanced by bond insurance. The bonds we hold are issued by the California Housing Finance Agency.

In addition, our investments include PLRMBS, all of which were AAA-rated at the time of purchase, and agency residential MBS, which are guaranteed through the direct obligation of, or are supported by, the U.S. government. Some of these PLRMBS were issued by and/or purchased from members, former members, or their respective affiliates. We execute 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.

Additional information about our investments and OTTI charges associated with our PLRMBS is provided in “Item 7. Management's Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Credit Risk – Investments” and in “Item 8. Financial Statements and Supplementary Data – Note 7 – Other-Than-Temporary Impairment Analysis.”

Mortgage Loans. Under the Mortgage Partnership Finance® (MPF®) Program, the Bank may purchase conventional conforming fixed rate mortgage loans and mortgage loans insured by the Federal Housing Administration (FHA) or guaranteed by the Department of Veterans Affairs (VA) from members for the Bank’s own portfolio under the MPF Original and MPF Government products. In addition, the Bank may facilitate the purchase of conforming fixed rate mortgage loans from members for concurrent sale to Fannie Mae under the MPF Xtra® product and of jumbo fixed rate mortgage loans for concurrent sale to Redwood Residential Acquisition Corporation, a subsidiary of Redwood Trust, Inc., a real estate investment trust, under the MPF Direct product. (“Mortgage Partnership Finance,” “MPF,” and “MPF Xtra” are registered trademarks of the FHLBank of Chicago.)

5

The Bank has approved ten members as participating financial institutions since renewing its participation in the MPF Program in 2013. We previously purchased conventional conforming fixed rate residential mortgage loans from participating financial institutions from May 2002 to October 2006. The MPF Program allows us to further serve the needs of our members by offering them a competitive alternative secondary market channel for their mortgage originations. The MPF Government product also allows us to offer members a new tool to help low- and moderate-income homeowners and first-time homebuyers.

Affordable Housing Program. Through our Affordable Housing Program (AHP), we provide subsidies to assist in the purchase, construction, or rehabilitation of housing for households earning up to 80% of the median income for the area in which they live. Each year, to fund the AHP, we set aside 10% of the current year's net earnings (income before interest expense related to mandatorily redeemable capital stock and the assessment for the AHP), to be awarded in the following year. Since 1990, we have awarded $942 million in AHP subsidies to support the purchase, development, or rehabilitation of approximately 120,000 affordable homes.

We allocate at least 82% of our annual AHP subsidy to our competitive AHP, under which applications for specific owner-occupied and rental housing projects are submitted by members and are evaluated and scored by the Bank in an annual competitive process. All subsidies for the competitive AHP are funded to affordable housing sponsors or developers through our members in the form of direct subsidies or subsidized advances.

We allocate the remainder of our annual AHP subsidy, up to 18%, to our two homeownership set-aside programs, the Individual Development and Empowerment Account Program and the Workforce Initiative Subsidy for Homeownership Program. Under these programs, members reserve funds from the Bank to be used as matching grants for eligible first-time homebuyers.

Access to Housing and Economic Assistance for Development (AHEAD) Program. AHEAD Program grants, funded annually at the discretion of our Board of Directors, provide early-stage funding for targeted economic development projects and non-AHP-eligible affordable housing initiatives that create or preserve jobs, facilitate improvements to public or private infrastructure, or deliver social services, training or education programs, or other services and programs that benefit lower-income neighborhoods. AHEAD Program applications are submitted by members working with local community groups, and awards are based on project eligibility and evaluation of the applications. In 2015, the Bank awarded $1 million in AHEAD Program grants.

Discounted Credit Programs. We offer members two discounted credit programs available in the form of advances and standby letters of credit. Members may use the Community Investment Program to fund mortgages for low- and moderate-income households, to finance first-time homebuyer programs, to create and maintain affordable housing, and to support other eligible lending activities related to housing for low- and moderate-income families. Members may use the Advances for Community Enterprise (ACE) Program to fund projects and activities that create or retain jobs or provide services or other benefits for low- and moderate-income people and communities. Members may also use ACE Program funds to support eligible community lending and economic development, including small business, community facilities, and public works projects.

Funding Sources

We obtain most of our funds from the sale of the FHLBanks' debt instruments (consolidated obligations), which consist of consolidated obligation bonds and discount notes. The consolidated obligations are issued through the Office of Finance using authorized securities dealers and are backed only by the financial resources of the FHLBanks. As provided by the FHLBank Act or regulations governing the operations of the FHLBanks, all FHLBanks have joint and several liability for all FHLBank consolidated obligations. The joint and several liability regulation authorizes the Finance Agency to require any FHLBank to repay all or a portion of the principal or interest on consolidated obligations for which another FHLBank is the primary obligor. The 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. For more information, see “Item 8. Financial Statements and Supplementary Data – Note 20 – Commitments and Contingencies.” We have never been asked or required to repay

6

the principal or interest on any consolidated obligation on behalf of another FHLBank, and as of December 31, 2015, and through the date of this report, we do not believe that it is probable that we will be asked to do so.

The Bank’s status as a GSE is critical to maintaining its access to the capital markets. Although consolidated obligations are backed only by the financial resources of the FHLBanks and are not guaranteed by the U.S. government, the capital markets have traditionally treated the FHLBanks’ consolidated obligations as comparable to federal agency debt, providing the FHLBanks with access to funding at relatively favorable rates. As of December 31, 2015, Standard & Poor’s rated the FHLBanks’ consolidated obligations AA+, and Moody’s rated them Aaa. As of December 31, 2015, Standard & Poor’s assigned each of the FHLBanks a long-term credit rating of AA+ with a stable outlook, and Moody's assigned each of the FHLBanks a long-term credit rating of Aaa with a stable outlook. Changes in the long-term credit ratings of individual FHLBanks do not necessarily affect the credit rating of the consolidated obligations issued on behalf of the FHLBanks. Rating agencies may change or withdraw a rating from time to time because of various factors, including operating results or actions taken, business developments, or changes in their opinion regarding, among other factors, the general outlook for a particular industry or the economy.

Regulations govern the issuance of debt on behalf of the FHLBanks and related activities. All new debt is jointly issued by the FHLBanks through the Office of Finance, which serves as their fiscal agent in accordance with the FHLBank Act and applicable regulations. Pursuant to these regulations, the Office of Finance, often in conjunction with the FHLBanks, has adopted policies and procedures for consolidated obligations that may be issued by the FHLBanks. The policies and procedures relate to the frequency and timing of issuance, issue size, minimum denomination, selling concessions, underwriter qualifications and selection, currency of issuance, interest rate change or conversion features, call or put features, principal amortization features, and selection of clearing organizations and outside counsel. The Office of Finance has responsibility for facilitating and approving the issuance of the consolidated obligations in accordance with these policies and procedures. In addition, the Office of Finance has the authority to redirect, limit, or prohibit the FHLBanks' requests to issue consolidated obligations that are otherwise allowed by its policies and procedures if it determines that its action is consistent with: (i) the regulatory requirement that consolidated obligations be issued efficiently and at the lowest all-in cost over time, consistent with prudent risk management practices, prudent debt parameters, short- and long-term market conditions, and the FHLBanks' status as GSEs; (ii) maintaining reliable access to the short-term and long-term capital markets; and (iii) positioning the issuance of debt to take advantage of current and future capital markets opportunities. The authority of the Office of Finance to redirect, limit, or prohibit the Bank's requests for issuance of consolidated obligations has never adversely affected the Bank's ability to finance its operations. The Office of Finance also services all outstanding FHLBank debt, serves as a source of information for the FHLBanks on developments in the capital markets, and prepares the FHLBanks' quarterly and annual combined financial reports. In addition, it administers the Resolution Funding Corporation and the Financing Corporation, two corporations established by Congress in the 1980s to provide funding for the resolution and disposition of insolvent savings institutions.

Consolidated Obligation Bonds. Consolidated obligations are generally issued with either fixed rate payment terms or adjustable rate payment terms, which use a variety of indices for interest rate resets, including LIBOR. In addition, to meet the specific needs of certain investors, fixed rate and adjustable rate consolidated obligation bonds may contain certain embedded features, which may result in call options and complex coupon payment terms. In general, when such consolidated obligation bonds are issued for which the Bank is the primary obligor, we simultaneously enter into interest rate exchange agreements containing offsetting features to, in effect, convert the terms of the bond to the terms of a simple adjustable rate bond (tied to an index, such as those listed above). Typically, the maturities of these securities range from 6 months to 15 years, but the maturities are not subject to any statutory or regulatory limit. Consolidated obligation bonds may be issued and distributed daily through negotiated or competitively bid transactions with approved underwriters or selling group members.

We receive 100% of the net proceeds of a bond issued through direct negotiation with underwriters of debt when we are the only FHLBank involved in the negotiation. In these cases, the Bank is the sole primary obligor on the consolidated obligation bond. When the Bank and one or more other FHLBanks jointly negotiate the issuance of a

7

bond directly with underwriters, we receive the portion of the proceeds of the bond agreed upon with the other FHLBank(s); in those cases, the Bank is the primary obligor for a pro rata portion of the bond, including all customized features and terms, based on the proceeds received.

We may also request specific amounts of specific consolidated obligation bonds to be offered by the Office of Finance for sale in a competitive auction conducted with the underwriters in a bond selling group. One or more other FHLBanks may also request amounts of those same bonds to be offered for sale for their benefit in the same auction. We may receive zero to 100% of the proceeds of the bonds issued in a competitive auction depending on: (i) the amounts of and costs for the consolidated obligation bonds bid by underwriters; (ii) the maximum costs we or other FHLBanks participating in the same issue, if any, are willing to pay for the bonds; and (iii) guidelines for the allocation of bond proceeds among multiple participating FHLBanks administered by the Office of Finance.

Consolidated Obligation Discount Notes. The FHLBanks also issue consolidated obligation discount notes with maturities ranging from one day to one year, which may be offered daily through a consolidated obligation discount note selling group and through other authorized underwriters. Discount notes are issued at a discount and mature at par.

On a daily basis, we may request specific amounts of discount notes with specific maturity dates to be offered by the Office of Finance at a specific cost for sale to underwriters in the discount note selling group. One or more other FHLBanks may also request amounts of discount notes with the same maturities to be offered for sale for their benefit the same day. The Office of Finance commits to issue discount notes on behalf of the participating FHLBanks when underwriters in the selling group submit orders for the specific discount notes offered for sale. We may receive zero to 100% of the proceeds of the discount notes issued through this sales process depending on: (i) the maximum costs we or other FHLBanks participating in the same discount note issuance, if any, are willing to pay for the discount notes; (ii) the order amounts for the discount notes submitted by underwriters; and (iii) guidelines for the allocation of discount note proceeds among multiple participating FHLBanks administered by the Office of Finance.

Twice weekly, we may also request specific amounts of discount notes with fixed terms to maturity ranging from 4 to 26 weeks to be offered by the Office of Finance for sale in a competitive auction conducted with underwriters in the discount note selling group. One or more other FHLBanks may also request amounts of those same discount notes to be offered for sale for their benefit in the same auction. The discount notes offered for sale in a competitive auction are not subject to a limit on the maximum costs the FHLBanks are willing to pay. We may receive zero to 100% of the proceeds of the discount notes issued in a competitive auction depending on: (i) the amounts of and costs for the discount notes bid by underwriters and (ii) guidelines for the allocation of discount note proceeds among multiple participating FHLBanks administered by the Office of Finance.

Debt Investor Base. The FHLBanks’ consolidated obligations have traditionally had a diversified funding base of domestic and foreign investors. Purchasers of the FHLBanks' consolidated obligations include fund managers, commercial banks, pension funds, insurance companies, foreign central banks, state and local governments, and retail investors. These purchasers are also diversified geographically, with a significant portion of investors historically located in the United States, Europe, and Asia.

Segment Information

We use an analysis of the Bank’s 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 business segments. For purposes of segment reporting, adjusted net interest income includes interest income and expenses 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 our PLRMBS or other expenses and

8

assessments, is not included in the segment reporting analysis, but is incorporated into our overall assessment of financial performance.

The advances-related business consists of advances and other credit products, related financing and hedging instruments, liquidity and other non-MBS investments associated with our role as a liquidity provider, and capital stock. Adjusted net interest income for this segment is derived primarily from the difference, or spread, between the yield on all assets associated with the business activity in this segment and the cost of funding those activities, including the net settlements from associated interest rate exchange agreements, and from earnings on invested capital.

The mortgage-related business consists of MBS investments, mortgage loans acquired through the MPF Program, the consolidated obligations specifically identified as funding those assets, and the related hedging instruments. Adjusted net interest income for this segment is derived primarily from the difference, or spread, between the yield on the MBS and mortgage loans and the cost of the consolidated obligations funding those assets, including the net settlements from associated interest rate exchange agreements, less the provision for credit losses on mortgage loans.

Additional information about business segments is provided in “Item 7. Management's Discussion and Analysis of Financial Condition and Results of Operations – Financial Condition – Segment Information” and in “Item 8. Financial Statements and Supplementary Data – Note 17 – Segment Information.”

Use of Interest Rate Exchange Agreements

We use interest rate exchange agreements, also known as derivatives, as part of our interest rate risk management and funding strategies to reduce identified risks inherent in the ordinary course of business. The types of derivatives we may use include interest rate swaps (including callable, putable, and basis swaps); swaptions; and interest rate cap and floor agreements.

The regulations governing the operations of the FHLBanks and the Bank's Risk Management Policy establish guidelines for our use of derivatives. These regulations and guidelines prohibit trading in derivatives for profit and any other speculative purposes and limit the amount of credit risk allowable from derivatives.

We primarily use derivatives to manage our exposure to changes in interest rates. The goal of our interest rate risk management strategy is not to eliminate interest rate risk, but to manage it within appropriate limits that are consistent with the financial strategies approved by the Board of Directors. One key way we manage interest rate risk is to acquire and maintain a portfolio of assets and liabilities, which, together with their associated derivatives, are conservatively matched with respect to the expected maturities or repricings of the assets and the liabilities. We may also use derivatives to adjust the effective maturity, repricing frequency, or option characteristics of financial instruments (such as advances and consolidated obligations) to achieve risk management objectives.

We measure the Bank’s market risk at the enterprise level, as well as on a portfolio basis, taking into account all financial instruments. The market risk of the derivatives and the hedged items is included in the measurement of our various market risk measures, including duration gap (the difference between the expected weighted average maturities of our assets and liabilities, net of the related derivatives), which was one month at December 31, 2015. This low interest rate risk profile reflects our conservative asset-liability mix, which is supported by integrated use of derivatives in our daily financial management.

Additional information about our interest rate exchange agreements is provided in “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Market Risk – Total Bank Market Risk – Interest Rate Exchange Agreements” and in “Item 8. Financial Statements and Supplementary Data – Note 18 – Derivatives and Hedging Activities.”

9

Capital

From its enactment in 1932, the FHLBank Act provided for a subscription-based capital structure for the FHLBanks. The amount of capital stock that each FHLBank issued was determined by a statutory formula establishing how much FHLBank capital stock each member was required to purchase. With the enactment of the Gramm-Leach-Bliley Act of 1999, Congress replaced the statutory subscription-based member capital stock purchase formula with requirements for total capital, leverage capital, and risk-based capital for the FHLBanks and required the FHLBanks to develop new capital plans to replace the previous statutory structure.

We implemented our capital plan on April 1, 2004. The capital plan bases the stock purchase requirement on the level of activity a member has with the Bank, subject to a minimum membership requirement that is intended to reflect the value to the member of having access to the Bank as a funding source. With the approval of the Board of Directors, we may adjust these requirements from time to time within the ranges established in the capital plan. Any changes to our capital plan must be approved by our Board of Directors and the Finance Agency.

Bank capital stock cannot be publicly traded, and under the capital plan, may be issued, transferred, redeemed, and repurchased only at its par value of $100 per share, subject to certain regulatory and statutory limits. Under the capital plan, a member's capital stock will be redeemed by the Bank upon five years' notice from the member, subject to certain conditions. In addition, we have the discretion to repurchase excess capital stock from members.

Competition

Demand for Bank advances is affected by many factors, including the availability and cost of other sources of funding for members, including retail and brokered deposits. We compete with our members' other suppliers of wholesale funding, both secured and unsecured. These suppliers may include securities dealers, commercial banks, and other FHLBanks for members with affiliated institutions that are members of other FHLBanks.

Under the FHLBank Act and regulations governing the operations of the FHLBanks, affiliated institutions in different FHLBank districts may be members of different FHLBanks. Members may have access to alternative funding sources through sales of securities under agreements to resell. Some members, particularly larger members, may have access to many more funding alternatives, including independent access to the national and global credit markets. The availability of alternative funding sources for members can significantly influence the demand for our advances and can vary as a result of many factors, including market conditions, members' creditworthiness, members' strategic objectives, and the availability of collateral.

Our ability to compete successfully for the advances business of our members depends primarily on our advances prices, ability to fund advances through the issuance of consolidated obligations at competitive rates, credit and collateral terms, prepayment terms, product features such as embedded option features, ability to meet members' specific requests on a timely basis, capital stock requirements, retained earnings policy, excess capital stock repurchase policies, and dividends.

In addition, the FHLBanks compete with the U.S. Treasury, Fannie Mae, Freddie Mac, and other GSEs, as well as corporate, sovereign, and supranational entities, for funds raised through the issuance of unsecured debt in the national and global debt markets. Increases in the supply of competing debt products may, in the absence of increases in demand, result in higher debt costs or lower amounts of debt issued at the same cost.

Regulatory Oversight, Audits, and Examinations

The FHLBanks are supervised and regulated by the Finance Agency, an independent agency in the executive branch of the U.S. government. The Finance Agency is also responsible for supervising and regulating Fannie Mae and Freddie Mac. The Finance Agency is supported entirely by assessments from the FHLBanks, Fannie Mae, and Freddie Mac. With respect to the FHLBanks, the Finance Agency is charged with ensuring that the FHLBanks carry

10

out their housing finance mission, remain adequately capitalized and able to raise funds in the capital markets, and operate in a safe and sound manner. The Finance Agency also establishes regulations governing the operations of the FHLBanks.

The Finance Agency has broad supervisory authority over the FHLBanks, including, but not limited to, the power to suspend or remove any entity-affiliated party (including any director, officer, or employee) of an FHLBank who violates certain laws or commits certain other acts; to issue and serve a notice of charges upon an FHLBank or any entity-affiliated party; to obtain a cease and desist order, or a temporary cease and desist order, to stop or prevent any unsafe or unsound practice or violation of law, order, rule, regulation, or condition imposed in writing; to issue civil money penalties against an FHLBank or an entity-affiliated party; to require an FHLBank to take certain actions, or refrain from certain actions, under the prompt corrective action provisions that authorize or require the Finance Agency to take certain supervisory actions, including the appointment of a conservator or receiver for an FHLBank under certain conditions; and to require any one or more of the FHLBanks to repay the primary obligations of another FHLBank on outstanding consolidated obligations.

Pursuant to the Housing Act, the Finance Agency exercises prompt corrective action authority over the FHLBanks. The Capital Classification and Prompt Corrective Action rule establishes the criteria for each of the following capital classifications for the FHLBanks specified in the Housing Act: adequately capitalized, undercapitalized, significantly undercapitalized, and critically undercapitalized. Under the rule, unless the Finance Agency has reclassified an FHLBank based on factors other than its capital levels, an FHLBank is adequately capitalized if it has sufficient total and permanent capital to meet or exceed both its risk-based and minimum capital requirements; is undercapitalized if it fails to meet one or more of its risk-based or minimum capital requirements, but is not significantly undercapitalized; is significantly undercapitalized if its total or permanent capital is less than 75% of what is required to meet any of its requirements, but it is not critically undercapitalized; and is critically undercapitalized if its total capital is equal to or less than 2% of its total assets.

By letter dated December 10, 2015, the Director of the Finance Agency notified the Bank that, based on September 30, 2015, financial information, the Bank met the definition of adequately capitalized under the Finance Agency's Capital Classification and Prompt Corrective Action rule.

The Housing Act and Finance Agency regulations govern capital distributions by an FHLBank, which include cash dividends, capital stock dividends, capital stock repurchases, or any transaction in which the FHLBank purchases or retires any instrument included in its capital. Under the Housing Act and Finance Agency regulations, an FHLBank may not make a capital distribution if after doing so it would not be adequately capitalized or would be reclassified to a lower capital classification, or if such distribution violates any statutory or regulatory restriction, and, in the case of a significantly undercapitalized FHLBank, an FHLBank may not make any capital distribution without approval from the Director of the Finance Agency.

To assess the safety and soundness of the Bank, the Finance Agency conducts an annual on-site examination of the Bank and other periodic reviews of its financial operations. In addition, we are required to submit information on our financial condition and results of operations each month to the Finance Agency.

The Bank’s capital stock is registered with the Securities and Exchange Commission (SEC) under Section 12(g)(1) of the Securities Exchange Act of 1934 (1934 Act) and, as a result, we are required to comply with the disclosure and reporting requirements of the 1934 Act and to file annual, quarterly, and current reports with the SEC, as well as meet other SEC requirements.

Our Board of Directors has an audit committee, and we have an internal audit department. An independent registered public accounting firm audits our annual financial statements. The independent registered public accounting firm conducts these audits in accordance with the standards of the Public Company Accounting Oversight Board (United States).

11

Like other federally chartered corporations, the FHLBanks are subject to general congressional oversight. Each FHLBank must submit annual management reports to Congress, the President, the Office of Management and Budget, and the Comptroller General. These reports include a statement of financial condition, a statement of operations, a statement of cash flows, a statement of internal accounting and administrative control systems, and the report of the independent registered public accounting firm on the financial statements.

The U.S. Commodity Futures Trading Commission (CFTC) has been given regulatory authority over derivatives trading pursuant to the Dodd-Frank Wall Street Reform and Consumer Protection Act, and the FHLBanks are subject to the rules promulgated by the CFTC with respect to their derivatives activities. These rules affect all aspects of the Bank’s derivatives activities by establishing requirements relating to derivatives recordkeeping and reporting, clearing, execution, and margining of uncleared derivative transactions.

The Comptroller General has authority under the FHLBank Act to audit or examine the Finance Agency and the FHLBanks and to determine the extent to which they fairly and effectively fulfill the purposes of the FHLBank Act. Furthermore, the Government Corporations Control Act provides that the Comptroller General may review any audit of the financial statements conducted by an independent registered public accounting firm. If the Comptroller General conducts such a review, then he or she must report the results and provide his or her recommendations to Congress, the Office of Management and Budget, and the relevant FHLBank. The Comptroller General may also conduct his or her own audit of any financial statements of an FHLBank.

The U.S. Treasury, or a permitted designee, is authorized under the combined provisions of the Government Corporations Control Act and the FHLBank Act to prescribe: the form, denomination, maturity, interest rate, and conditions to which FHLBank debt will be subject; the way and time FHLBank debt is issued; and the price for which FHLBank debt will be sold. The U.S. Treasury may purchase FHLBank debt up to an aggregate principal amount of $4.0 billion pursuant to the standards and terms of the FHLBank Act.

All of the FHLBanks' financial institution members are subject to federal or state laws and regulations, and changes to these laws or regulations or to related policies might adversely or favorably affect the business of the FHLBanks.

Available Information

The SEC maintains a website at www.sec.gov that contains all electronically filed or furnishedSEC reports, including our annual reports on Form 10-K, our quarterly reports on Form 10-Q, and our current reports on Form 8-K, as well as any amendments. On our website at www.fhlbsf.com, we provide a link to the page on the SEC website that lists all of these reports. These reports may also be read and copied at the SEC's Public Reference Room at 100 F Street, NE, Washington, DC 20549. (Further information about the operation of the Public Reference Room may be obtained at 1-800-SEC-0330.) In addition, we provide direct links from our website to our annual report on Form 10-K and our quarterly reports on Form 10-Q on the SEC website as soon as reasonably practicable after electronically filing or furnishing the reports to the SEC. (Note: The website addresses of the SEC and the Bank have been included as inactive textual references only. Information on those websites is not part of this report.)

Employees

We had 263 employees at December 31, 2015. Our employees are not represented by a collective bargaining unit, and we consider our relationship with our employees to be satisfactory.

ITEM 1A. RISK FACTORS

The following discussion summarizes certain of the risks and uncertainties that the Federal Home Loan Bank of San Francisco (Bank) faces. The list is not exhaustive and there may be other risks and uncertainties that are not described below that may also affect our business. Any of these risks or uncertainties, if realized, could negatively

12

affect our financial condition or results of operations or limit our ability to fund advances, pay dividends, or redeem or repurchase capital stock.

Economic weakness could adversely affect the business of many of our members and our business and results of operations.

Our business and results of operations are sensitive to conditions in the housing and mortgage markets, as well as general business and economic conditions. There continue to be challenges to the ongoing economic and housing recovery because of tight credit standards and financial market volatility, which could deter potential home buyers from taking advantage of low mortgage interest rates. If these conditions remain unchanged or deteriorate, the Bank’s business and results of operations could be adversely affected.

If adverse trends reappear in the mortgage lending sector, including declines in housing prices or deterioration in loan performance trends, a reduction could occur in the value of collateral pledged to the Bank to secure member credit and in the fair value of the Bank’s mortgage-backed securities (MBS) investments.

Adverse economic conditions may contribute to deterioration in the credit quality of our MBS and mortgage loan portfolios and could have an adverse impact on our financial condition, results of operations, or ability to pay dividends or redeem or repurchase capital stock.

During 2008 and continuing through 2011, the U.S. housing market experienced significant adverse trends, including significant price depreciation in some markets and high mortgage loan delinquency and default rates, which contributed to high delinquency rates on the mortgage loans underlying our private-label residential MBS (PLRMBS) portfolio. Credit-related other-than-temporary impairment (OTTI) charges on certain of our PLRMBS adversely affected our earnings as a result of these conditions. If significant adverse trends in the housing markets reappear, there may be further adverse impacts on the performance of the Bank’s PLRMBS and mortgage loans, which may adversely affect the Bank’s financial condition, results of operations, ability to pay dividends, and ability to redeem or repurchase capital stock. Furthermore, economic deterioration, either in the U.S. as a whole or in specific regions of the country, could result in rising mortgage loan delinquencies and increased risk of credit losses, and adversely affect our financial condition, results of operations, or ability to pay dividends or redeem or repurchase capital stock.

Loan servicing and modification programs or legal actions could adversely affect the value of our MBS and mortgage loans.

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 our MBS and mortgage loans. In addition, legal actions relating to mortgage loan servicing and modifications could adversely affect the members, counterparties, and servicers of the Bank's mortgage collateral and the value of our PLRMBS.

Market uncertainty and volatility may adversely affect our business, profitability, or results of operations.

Adverse conditions in the housing and mortgage markets could result in a decrease in the availability of corporate credit and liquidity within the mortgage industry, causing disruptions in the operations of mortgage originators, including some of our borrowers. We continue to be subject to potential adverse effects on our financial condition, results of operations, ability to pay dividends, and ability to redeem or repurchase capital stock should the economic recovery stall or reverse course.

Weaknesses in the housing and mortgage markets may undermine the need for wholesale funding and have a negative impact on the demand for advances.

13

While the housing and mortgage markets continued to recover in terms of sales and financing activity in 2015, low yields on mortgages, ongoing aversion to risk, emphasis on the origination of government-sponsored enterprise (GSE) conforming products, and a focus on improving credit quality rather than expanding production may result in low levels of residential portfolio lending activity for some members, which could reduce the need for wholesale mortgage funding. A negative trend in the housing and mortgage markets could result in a decline in advance levels and adversely affect our financial condition, results of operations, or ability to pay dividends or redeem or repurchase capital stock.

Changes in or limits on our ability to access the capital markets could adversely affect our financial condition, results of operations, or ability to fund advances, pay dividends, or redeem or repurchase capital stock.

Our primary source of funds is the sale of Federal Home Loan Bank (FHLBank) System consolidated obligations in the capital markets. Our ability to obtain funds through the sale of consolidated obligations depends in part on prevailing conditions in the capital markets, such as investor demand and liquidity in the financial markets. The sale of FHLBank System consolidated obligations can also be influenced by factors other than conditions in the capital markets, including legislative and regulatory developments and government programs and policies that affect the relative attractiveness of FHLBank System consolidated obligations. In addition, the level of dealer participation and support also affect liquidity in the agency debt markets. Based on these factors, we may not be able to obtain funding on acceptable terms. If we cannot access funding on acceptable terms when needed, our ability to support and continue our operations could be adversely affected, which could negatively affect our financial condition, results of operations, or ability to fund advances, pay dividends, or redeem or repurchase capital stock.

Limitations on the payment of dividends and repurchase of excess capital stock may adversely affect the effective operation of the Bank's business model.

Our business model is based on the premise that we maintain a balance between our objective to promote housing, homeownership, and community and economic development through our activities with members and our objective to provide a return on the private capital provided by our members. We achieve this balance by delivering low-cost credit to help our members meet the credit needs of their communities while striving to pay members a reasonable return on their investment in the Bank’s capital stock. Our financial strategies are designed to enable us to safely expand and contract our assets, liabilities, and capital as our member base and our members' credit needs change. Our capital increases when members are required to purchase additional capital stock as they increase their advances, and it contracts when we repurchase excess capital stock from members as their advances decline. As a result of these strategies, we have historically been able to achieve our mission by meeting member credit needs and maintaining our strong regulatory capital position while paying dividends (including dividends on mandatorily redeemable capital stock) and repurchasing and redeeming excess capital stock. Limitations on the payment of dividends and the repurchase of excess capital stock may diminish the effectiveness of our business model and could adversely affect the value of membership from the perspective of a member.

Changes in the credit ratings on FHLBank System consolidated obligations may adversely affect the cost of consolidated obligations.

FHLBank System consolidated obligations are rated Aaa/P-1 with a stable outlook by Moody's Investors Service (Moody's) and AA+/A-1+ with a stable outlook by Standard & Poor's Rating Services (Standard & Poor's). Rating agencies may from time to time change a rating or issue negative reports. Because all of the FHLBanks have joint and several liability for all FHLBank consolidated obligations, negative developments at any FHLBank may affect these credit ratings or result in the issuance of a negative report regardless of our own financial condition and results of operations. In addition, because of the FHLBanks' GSE status, the credit ratings of the FHLBank System and the FHLBanks are generally constrained by the long-term sovereign credit rating of the United States, and any downgrade in that sovereign credit rating may result in a corresponding downgrade to the credit ratings of FHLBank System consolidated obligations. Any adverse rating change or negative report may adversely affect our cost of funds and the FHLBanks' ability to issue consolidated obligations on acceptable terms, which could also adversely

14

affect our financial condition or results of operations or restrict our ability to make advances on acceptable terms, pay dividends, or redeem or repurchase capital stock.

Changes in federal fiscal and monetary policy could adversely affect our business or results of operations.

Our business and results of operations are significantly affected by the fiscal and monetary policies of the federal government and its agencies, including the Federal Reserve Board, which regulates the supply of money and credit in the United States. The Federal Reserve Board's policies directly and indirectly influence the yield on interest-earning assets and the cost of interest-bearing liabilities, which could adversely affect our financial condition, results of operations, or ability to pay dividends or redeem or repurchase capital stock.

Changes in interest rates could adversely affect our financial condition, results of operations, or ability to fund advances on acceptable terms, pay dividends, or redeem or repurchase capital stock.

We realize income primarily from the spread between interest earned on our outstanding advances and investments and interest paid on our consolidated obligations and other liabilities. Although we use various methods and procedures to monitor and manage our exposure to changes in interest rates, we may experience instances when our interest-bearing liabilities will be more sensitive to changes in interest rates than our interest-earning assets, or vice versa. In either case, interest rate movements contrary to our position could negatively affect our financial condition, results of operations, or ability to fund advances on acceptable terms, pay dividends, or redeem or repurchase capital stock. Moreover, the impact of changes in interest rates on mortgage-related assets can be exacerbated by prepayment risks, which are the risk that the assets will be refinanced by the obligor in low interest rate environments and the risk that the assets will remain outstanding longer than expected at below-market yields when interest rates increase.

Our exposure to credit risk could adversely affect our financial condition, results of operations, or ability to pay dividends or redeem or repurchase capital stock.

We assume secured and unsecured credit risk associated with the risk that a borrower or counterparty could default, and we could suffer a loss if we were not able to fully recover amounts owed to us on a timely basis. In addition, we have exposure to credit risk because the market value of an obligation may decline as a result of deterioration in the creditworthiness of the obligor or the credit quality of a security instrument. We have a high concentration of credit risk exposure to financial institutions. Credit losses could have an adverse effect on our financial condition, results of operations, or ability to pay dividends or redeem or repurchase capital stock.

We depend on institutional counterparties to provide credit obligations that are critical to our business. Defaults by one or more of these institutional counterparties on their obligations to the Bank could adversely affect our financial condition, results of operations, or ability to pay dividends or redeem or repurchase capital stock.

We face the risk that one or more of our institutional counterparties may fail to fulfill contractual obligations to us. The primary exposures to institutional counterparty risk are with derivative counterparties, mortgage servicers that service the loans we hold as collateral for advances, and third-party providers of supplemental or primary mortgage insurance for mortgage loans purchased under the Mortgage Partnership Finance® (MPF®) Program. A default by a counterparty could result in losses to the Bank if our credit exposure to the counterparty was under-collateralized or our credit obligations to the counterparty were over-collateralized, and could also adversely affect our ability to conduct our operations efficiently and at cost-effective rates, which in turn could adversely affect our financial condition, results of operations, or ability to pay dividends or redeem or repurchase capital stock. (“Mortgage Partnership Finance” and “MPF” are registered trademarks of the FHLBank of Chicago.)

We rely on derivative transactions to reduce our interest rate risk and funding costs, and changes in our credit ratings or the credit ratings of our derivative counterparties or changes in the legislation or the regulations affecting how derivatives are transacted may adversely affect our ability to enter into derivative transactions on acceptable terms.

15

Our financial strategies are highly dependent on our ability to enter into derivative transactions on acceptable terms to reduce our interest rate risk and funding costs. We currently have a long-term credit rating of Aaa with a stable outlook from Moody's and AA+ with a stable outlook from Standard & Poor's. All of our derivative counterparties or guarantors currently have investment grade long-term credit ratings from Moody's and Standard & Poor's. Rating agencies may from time to time change a rating or issue negative reports, or other factors may raise questions regarding the creditworthiness of a counterparty, which may adversely affect our ability to enter into derivative transactions with acceptable counterparties on satisfactory terms in the quantities necessary to manage our interest rate risk and funding costs effectively. Changes in legislation or regulations affecting how derivatives are transacted may also adversely affect our ability to enter into derivative transactions with acceptable counterparties on satisfactory terms. Any of these changes could negatively affect our financial condition, results of operations, or ability to make advances on acceptable terms, pay dividends, or redeem or repurchase capital stock.

Insufficient collateral protection could adversely affect our financial condition, results of operations, or ability to pay dividends or redeem or repurchase capital stock.

We require that all outstanding advances be fully collateralized. In addition, for mortgage loans that we purchase under the MPF Program, we require that the participating financial institutions fully collateralize the outstanding credit enhancement obligations not covered through the purchase of supplemental mortgage insurance. We evaluate the types of collateral pledged by borrowers and participating financial institutions and assign borrowing capacities to the collateral based on the risks associated with each type of collateral. If we have insufficient collateral before or after an event of payment default by the borrower, or we are unable to liquidate the collateral for the value we assigned to it in the event of a payment default by a borrower, we could experience a credit loss on advances, which could adversely affect our financial condition, results of operations, or ability to pay dividends or redeem or repurchase capital stock.

We may not be able to meet our obligations as they come due or meet the credit and liquidity needs of our members in a timely and cost-effective manner.

We seek to be in a position to meet our members' credit and liquidity needs and pay our obligations without maintaining excessive holdings of low-yielding liquid investments or having to incur unnecessarily high borrowing costs. In addition, we maintain a contingency liquidity plan designed to enable us to meet our obligations and the credit and liquidity needs of members in the event of operational disruptions or short-term disruptions in the capital markets. Our efforts to manage our liquidity position, including our contingency liquidity plan, may not enable us to meet our obligations and the credit and liquidity needs of our members, which could have an adverse effect on our financial condition, results of operations, or ability to pay dividends or redeem or repurchase capital stock.

We face competition for advances and access to funding, which could adversely affect our business.

Our primary business is making advances to our members. We compete with other suppliers of wholesale funding, both secured and unsecured, including investment banks, commercial banks, the Federal Reserve Banks, and, in certain circumstances, other FHLBanks. Our members may have access to alternative funding sources, including independent access to the national and global credit markets. These alternative funding sources may offer more favorable terms than we do on our advances, including more flexible credit or collateral standards. In addition, many of our competitors are not subject to the same regulations as the FHLBanks, which may enable those competitors to offer products and terms that we are not able to offer.

The FHLBanks also compete with the U.S. Treasury, Fannie Mae, Freddie Mac, and other GSEs, as well as corporate, sovereign, and supranational entities, for funds raised through the issuance of unsecured debt in the national and global debt markets. Increases in the supply of competing debt products may, in the absence of increases in demand, result in higher debt costs or lower amounts of debt issued at the same cost. Increased competition could adversely affect our ability to access funding, reduce the amount of funding available to us, or

16

increase the cost of funding available to us. Any of these results could adversely affect our financial condition, results of operations, or ability to pay dividends or redeem or repurchase capital stock.

Our efforts to make advances pricing attractive to our members may affect earnings.

A decision to lower advances prices to maintain or gain volume or increase the benefits to borrowing members could result in lower earnings, which could adversely affect the amount of dividends on our capital stock.

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

We have a high concentration of advances and capital with five institutions and their affiliates. Two of the five institutions had increased borrowings from the Bank during 2015, including JPMorgan Chase Bank, National Association (JPMorgan Chase), whose advances and capital stock exceeded 10% of the Bank’s total advances and capital stock, respectively, as of December 31, 2015. The remaining three institutions decreased their borrowings from the Bank during 2015. All of the institutions may prepay or repay advances as they come due. If no other advances or investments are made to replace the prepaid and repaid advances of these institutions, it would result in a significant reduction of our total assets. In addition, because JPMorgan Chase is not a member of the Bank, it is not able to borrow new advances from the Bank or replace outstanding advances as they are repaid or prepaid, so a decrease in advances outstanding to JPMorgan Chase, if they are not replaced with advances to other members or other assets or investments, will result in lower total assets and may result in lower net income for the Bank. The reduction in advances could result in a reduction of capital as the Bank repurchases the resulting excess capital stock, at the Bank’s discretion, or redeems the excess capital stock after the expiration of the relevant five-year redemption period. The reduction in assets and capital could reduce the Bank’s net income.

The timing and magnitude of the impact of a reduction in the amount of advances to these institutions would depend on a number of factors, including:

• the amount and period of time over which the advances are prepaid or repaid,

• the amount and timing of any corresponding decreases in activity-based capital stock,

• the profitability of the advances,

• the amount and profitability of our investments,

• the extent to which consolidated obligations mature as the advances are prepaid or repaid, and

• our ability to extinguish consolidated obligations or transfer them to other FHLBanks and the associated costs of extinguishing or transferring the consolidated obligations.

The prepayment or repayment of a large amount of advances could also affect our ability to pay dividends or our ability to redeem or repurchase capital stock.

A material and prolonged decline in advances could adversely affect our results of operations, financial condition, or ability to pay dividends or redeem or repurchase capital stock.

If members continue to experience high levels of liquidity, we could experience decreases in members’ use of Bank advances. Also, nonmembers (including former members and member successors) are not eligible to borrow new advances from the Bank or renew existing advances as they mature. Although the Bank’s business model is designed to enable us to safely expand and contract our assets, liabilities, and capital as our members’ credit needs change, a prolonged material decline in advances could affect our results of operations, financial condition, or ability to pay dividends or redeem or repurchase capital stock.

Deteriorating and volatile market conditions increase the risk that our financial models will produce unreliable results.

17

We use market-based information as inputs to our financial models, which we use to inform our operational decisions and to derive estimates for use in our financial reporting processes. While we regularly adjust our models in view of changes in economic conditions and expectations, sudden significant changes in these conditions may increase the risk that our models could produce unreliable results or estimates that vary widely or prove to be inaccurate.

We may become liable for all or a portion of the consolidated obligations for which other FHLBanks are the primary obligors.

As provided by the Federal Home Loan Bank Act of 1932, as amended (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 Federal Housing Finance Agency (Finance Agency) to require any FHLBank to repay all or any portion of the principal or interest on consolidated obligations for which another FHLBank is the primary obligor, whether or not the other FHLBank has defaulted in the payment of those obligations and even though the FHLBank making the repayment received none of the proceeds from the issuance of the obligations. The likelihood of triggering the Bank's joint and several liability obligation depends on many factors, including the financial condition and financial performance of the other FHLBanks. If we are required by the Finance Agency to repay the principal or interest on consolidated obligations for which another FHLBank is the primary obligor, our financial condition, results of operations, or ability to pay dividends or redeem or repurchase capital stock could be adversely affected.

If the Bank or any other FHLBank has not paid the principal or interest due on all consolidated obligations, we may not be able to pay dividends or redeem or repurchase any shares of our capital stock.

If the principal or interest due on any consolidated obligations has not been paid in full or is not expected to be paid in full, we may not be able to pay dividends on our capital stock or redeem or repurchase any shares of our capital stock. If another FHLBank defaults on its obligation to pay principal or interest on any consolidated obligations, the regulations governing the operations of the FHLBanks provide that the Finance Agency may allocate outstanding principal and interest payments among one or more of the remaining FHLBanks on a pro rata basis or any other basis the Finance Agency may determine. Our ability to pay dividends or redeem or repurchase capital stock could be affected not only by our own financial condition, but also by the financial condition of one or more of the other FHLBanks.

We are affected by federal laws and regulations, which could change or be applied in a manner detrimental to our operations.

The FHLBanks are GSEs, organized under the authority of and governed by the FHLBank Act, and, as such, are also governed by the Federal Housing Enterprises Financial Safety and Soundness Act of 1992 and other federal laws and regulations. Effective July 30, 2008, the Finance Agency, an independent agency in the executive branch of the federal government, became the federal regulator of the FHLBanks, Fannie Mae, and Freddie Mac. From time to time, Congress has amended the FHLBank Act and adopted other legislation in ways that have significantly affected the FHLBanks and the manner in which the FHLBanks carry out their housing finance mission and business operations. New or modified legislation enacted by Congress or regulations or policies of the Finance Agency could have a negative effect on our ability to conduct business or on our cost of doing business. In addition, new or modified legislation or regulations governing our members may affect our ability to conduct business or our cost of doing business with our members.

Changes in statutory or regulatory requirements or policies or in their application could result in changes in, among other things, the FHLBanks' cost of funds, retained earnings and capital requirements, accounting policies, debt issuance, dividend payment limits, form of dividend payments, capital redemption and repurchase limits, permissible business activities, and the size, scope, and nature of the FHLBanks' lending, investment, and mortgage purchase program activities. These changes could negatively affect our financial condition, results of operations,

18

ability to pay dividends, or ability to redeem or repurchase capital stock. In addition, given the Bank's relationship with other FHLBanks, we could be affected by events other than another FHLBank's default on a consolidated obligation. Events that affect other FHLBanks, such as member failures, capital deficiencies, and OTTI charges, could lead the Finance Agency to require or request that an FHLBank provide capital or other assistance to another FHLBank, purchase assets from another FHLBank, or impose other forms of resolution affecting one or more of the other FHLBanks. If the Bank were called upon by the Finance Agency to take any of these steps, it could affect our financial condition, results of operations, or ability to pay dividends or redeem or repurchase capital stock.

We could change our policies, programs, and agreements affecting our members.

We may change our policies, programs, and agreements affecting our members from time to time, including, without limitation, policies, programs, and agreements affecting the availability of and conditions for access to our advances and other credit products, the Affordable Housing Program (AHP), and other programs, products, and services. These changes could cause our members to obtain financing from alternative sources, which could adversely affect our financial condition, results of operations, or ability to pay dividends or redeem or repurchase capital stock. In addition, changes to our policies, programs, and agreements affecting our members could adversely affect the value of membership from the perspective of a member.

The failure of the FHLBanks to set aside, in the aggregate, at least $100 million annually for the AHP could result in an increase in our AHP contribution, which could adversely affect our results of operations or ability to pay dividends or redeem or repurchase capital stock.

The FHLBank Act requires each FHLBank to establish and fund an AHP. Annually, the FHLBanks are required to set aside, in the aggregate, the greater of $100 million or 10% of their current year's net earnings (income before interest expense related to mandatorily redeemable capital stock and the assessment for the AHP) for their AHPs. If the FHLBanks do not make the minimum $100 million annual AHP contribution in a given year, we could be required to contribute more than 10% of our current year’s net earnings to the AHP. An increase in our AHP contribution could adversely affect our results of operations or ability to pay dividends or redeem or repurchase capital stock.

Our members are governed by federal and state laws and regulations, which could change in a manner detrimental to their ability or motivation to invest in the Bank or to use our products and services.

Most of our members are highly regulated financial institutions, and the regulatory environment affecting members could change in a manner that would negatively affect their ability or motivation to acquire or own our capital stock or use our products and services. Statutory or regulatory changes that make it less attractive to hold our capital stock or use our products and services could negatively affect our financial condition, results of operations, or ability to pay dividends or redeem or repurchase capital stock.

Changes in the status, regulation, and perception of the housing GSEs or in policies and programs relating to the housing GSEs may adversely affect our business activities, future advances balances, the cost of debt issuance, or future dividend payments.

Changes in the status of Fannie Mae and Freddie Mac during the next phases of their conservatorships may result in higher funding costs for the FHLBanks, which could negatively affect our business and financial condition. In addition, negative news articles, industry reports, and other announcements pertaining to GSEs, including Fannie Mae, Freddie Mac, and any of the FHLBanks, could create pressure on all GSE debt pricing, as investors may perceive their debt instruments as bearing increased risk.

As a result of these factors, the FHLBank System may have to pay higher rates on consolidated obligations to make them attractive to investors. If we maintain our current approach to pricing advances, an increase in the cost of issuing consolidated obligations could reduce our net interest spread (the difference between the interest rate received on advances and the interest rate paid on consolidated obligations) and cause our advances to be less

19

profitable. If we increase the price of our advances to avoid a decrease in the net interest spread, the advances may be less attractive to our members, and our outstanding advances balances may decrease. In addition, an increase in the cost of issuing consolidated obligations could reduce our net interest spread on other interest-earning assets. As a result, an increase in the cost of issuing consolidated obligations could negatively affect our financial condition, results of operations, or ability to pay dividends or redeem or repurchase capital stock.

We rely heavily on information systems and other technology. A failure, interruption, or security breach, including events caused by cyber attacks, of our information systems or those of critical vendors and third parties could disrupt the Bank’s business or adversely affect our financial condition, results of operations, or reputation.

We rely heavily on our information systems and other technology to conduct and manage our business, and we rely on vendors and other third parties to perform certain critical services. If we or one of our critical vendors experiences a failure, interruption, or security breach in any information systems or other technology, including events caused by cyber attacks, we may be unable to conduct and manage our business effectively. In addition, such failure or breach could result in significant losses, a loss of personal and confidential information, or reputational damage. In addition, significant initiatives undertaken by the Bank to replace information systems or other technology infrastructures may subject the Bank to a similar risk of failure or interruption in implementing these new systems or technology infrastructures. Although we have implemented a business continuity plan, we may not be able to prevent, timely and adequately address, or mitigate the negative effects of any failure or interruption. Any failure or interruption could adversely affect our member business, member relations, risk management, reputation, or profitability, which could negatively affect our financial condition, results of operations, or ability to pay dividends or redeem or repurchase capital stock.

Restrictions on the redemption, repurchase, or transfer of the Bank's capital stock could result in an illiquid investment for the holder.

Under the Gramm-Leach-Bliley Act of 1999, Finance Agency regulations, and our capital plan, our capital stock must be redeemed upon the expiration of the relevant five-year redemption period, subject to certain conditions. Capital stock may become subject to redemption following a five-year redemption period after a member provides a written redemption notice to the Bank; gives notice of intention to withdraw from membership; attains nonmember status by merger or acquisition, charter termination, or other involuntary membership termination; or after a receiver or other liquidating agent for a member transfers the member's Bank capital stock to a nonmember entity. Only capital stock that is not required to meet a member's membership capital stock requirement or to support a member or nonmember shareholder's outstanding activity with the Bank (excess capital stock) may be redeemed at the end of the redemption period. In addition, we may elect to repurchase some or all of the excess capital stock of a shareholder at any time at our sole discretion.

There is no guarantee, however, that we will be able to redeem capital stock held by a shareholder even at the end of the redemption period or to repurchase excess capital stock. If the redemption or repurchase of the capital stock would cause us to fail to meet our minimum regulatory capital requirements or cause the shareholder to fail to maintain its minimum investment requirement, then the redemption or repurchase is prohibited by Finance Agency regulations and our capital plan. In addition, since our capital stock may only be owned by our members (or, under certain circumstances, former members and certain successor institutions), and our capital plan requires our approval before a member or nonmember shareholder may transfer any of its capital stock to another member or nonmember shareholder, we cannot provide assurance that a member or nonmember shareholder would be allowed to transfer any excess capital stock to another member or nonmember shareholder at any time.

ITEM 1B. UNRESOLVED STAFF COMMENTS

Not applicable.

20

ITEM 2. PROPERTIES

The Federal Home Loan Bank of San Francisco (Bank) maintains its principal offices in leased premises totaling 108,147 square feet of space at 600 California Street in San Francisco, California, and 580 California Street in San Francisco, California. The Bank also leases other offices totaling 9,858 square feet of space at 1155 15^th Street NW in Washington, D.C., as well as off-site business continuity facilities located in Rancho Cordova, California. The Bank believes these facilities are adequate for the purposes for which they are currently used and are well maintained.

ITEM 3. LEGAL PROCEEDINGS

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

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

The current defendants in the first complaint are: J.P. Morgan Securities, Inc. (formerly known as Bear, Stearns & Co. Inc., and referred to as Bear Stearns) involving certificates sold by Bear Stearns to the Bank in an amount paid of approximately $609 million; Credit Suisse Securities (USA) LLC (formerly known as Credit Suisse First Boston LLC, and referred to as Credit Suisse) involving certificates sold by Credit Suisse to the Bank in an amount paid of approximately $1.1 billion; RBS Securities, Inc. (formerly known as Greenwich Capital Markets, Inc., and referred to as Greenwich Capital) involving certificates sold by Greenwich Capital to the Bank in an amount paid of approximately $482 million; Morgan Stanley & Co. Incorporated (Morgan Stanley) involving certificates sold by Morgan Stanley to the Bank in an amount paid of approximately $276 million; UBS Securities, LLC (UBS) involving certificates sold by UBS to the Bank in an amount paid of approximately $1.7 billion; and WaMu Capital Corp. (WaMu) involving certificates sold by WaMu to the Bank in the amount paid of approximately $637 million.

The current defendants in the second complaint are: Credit Suisse involving certificates sold by Credit Suisse to the Bank in an amount paid of approximately $664 million; Deutsche Bank Securities Inc. (Deutsche) involving certificates sold by Deutsche to the Bank in an amount paid of approximately $1.2 billion; Bear Stearns involving certificates that Bear Stearns sold to the Bank in an amount paid of approximately $1.9 billion; Greenwich Capital involving certificates sold by Greenwich Capital to the Bank in an amount paid of approximately $153 million; and UBS involving certificates sold by UBS to the Bank in an amount paid of approximately $770 million.

JPMorgan Chase Bank, National Association, a nonmember borrower of the Bank, is not a defendant in these actions, but is affiliated with the Bear Stearns and WaMu defendants.

The San Francisco Superior Court has scheduled a series of trials for certain claims beginning in 2016.

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

ITEM 4. MINE SAFETY DISCLOSURES

Not applicable.

21

PART II. OTHER INFORMATION

ITEM 5. MARKET FOR REGISTRANT’S COMMON EQUITY, RELATED STOCKHOLDER MATTERS AND ISSUER PURCHASES OF EQUITY SECURITIES

The Federal Home Loan Bank of San Francisco (Bank) has a cooperative ownership structure. The members and certain nonmembers own all the capital stock of the Bank, the majority of the directors of the Bank are officers or directors of members, and the directors are elected by members (or selected by the Board of Directors to fill mid-term vacancies). There is no established marketplace for the Bank's capital stock. The Bank’s capital stock is not publicly traded. The Bank issues only one class of capital stock, Class B stock, which, under the Bank’s capital plan, may be redeemed at par value, $100 per share, upon five years’ notice from the member to the Bank, subject to certain statutory and regulatory requirements and to the satisfaction of any ongoing capital stock investment requirements applying to the member. At the Bank’s discretion and at any time, the Bank may repurchase shares held by a member in excess of the member’s required capital stock holdings. The information regarding the Bank’s capital requirements is set forth in “Item 8. Financial Statements and Supplementary Data – Note 15 – Capital.” At February 29, 2016, the Bank had 22,618,100 shares of Class B stock held by 336 members and 5,401,451 shares of Class B stock held by 13 nonmembers. Class B stock held by nonmembers is classified as mandatorily redeemable capital stock.

The Bank’s dividend rates declared (annualized) and amounts paid during the respective periods indicated are listed in the table below.

	2015						2014
	Amount of Cash Dividends						Amount of Cash Dividends
(Dollars in millions)	Capital Stock – Class B – Putable		Mandatorily Redeemable Capital Stock		Annualized Rate(1)		Capital Stock – Class B – Putable		Mandatorily Redeemable Capital Stock		Annualized Rate(1)
First quarter	$	59	$	15	7.11	%	$	58	$	39	6.67	%
Second quarter(2)	182		38		22.65		59		34		6.80
Third quarter	72		7		10.01		61		26		7.35
Fourth quarter	56		5		8.79		62		21		7.40

(1) Reflects the annualized rate paid on all of the Bank's average capital stock outstanding regardless of its classification for reporting purposes as either capital stock or mandatorily redeemable capital stock (a liability), based on the par value of $100 per share.

(2) In the second quarter of 2015, the amount includes a special dividend at an annualized rate of 14.98%, totaling $145 million, including $120 million in dividends on capital stock and $25 million in dividends on mandatorily redeemable capital stock.

Additional information regarding the Bank’s dividends is set forth in “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Results of Operations – Comparison of 2015 to 2014 – Dividends and Retained Earnings” and in “Item 8. Financial Statements and Supplementary Data – Note 15 – Capital.”

22

ITEM 6. SELECTED FINANCIAL DATA

The following selected financial data of the Federal Home Loan Bank of San Francisco (Bank) should be read in conjunction with the financial statements and notes thereto and “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations” included elsewhere herein.

(Dollars in millions)	2015			2014			2013			2012			2011
Selected Balance Sheet Items at Yearend
Total Assets	$	85,707		$	75,807		$	85,774		$	86,421		$	113,552
Advances	50,919			38,986			44,395			43,750			68,164
Mortgage Loans Held for Portfolio, Net	655			708			905			1,289			1,829
Investments(1)	32,275			31,949			35,260			40,528			39,368
Consolidated Obligations:(2)
Bonds	51,835			47,045			53,207			70,310			83,350
Discount Notes	27,648			21,811			24,194			5,209			19,152
Mandatorily Redeemable Capital Stock	488			719			2,071			4,343			5,578
Capital Stock —Class B —Putable	2,253			3,278			3,460			4,160			4,795
Unrestricted Retained Earnings	610			294			317			246			—
Restricted Retained Earnings	2,018			2,065			2,077			2,001			1,803
Accumulated Other Comprehensive Income/(Loss) (AOCI)	15			56			(145		)	(794		)	(1,893		)
Total Capital	4,896			5,693			5,709			5,613			4,705
Selected Operating Results for the Year
Net Interest Income	$	477		$	539		$	482		$	848		$	1,033
Provision for/(Reversal of) Credit Losses on Mortgage Loans	1			—			(1		)	(1		)	4
Other Income/(Loss)	388			(154		)	5			(164		)	(645		)
Other Expense	148			144			128			134			126
Assessments	78			36			52			60			42
Net Income/(Loss)	$	638		$	205		$	308		$	491		$	216
Selected Other Data for the Year
Net Interest Margin(3)	0.57		%	0.64		%	0.56		%	0.84		%	0.74		%
Operating Expenses as a Percent of Average Assets	0.16			0.16			0.13			0.11			0.08
Return on Average Assets	0.76			0.24			0.35			0.48			0.15
Return on Average Equity	11.68			3.58			5.36			9.44			3.43
Annualized Dividend Rate	12.39			7.02			3.99			0.97			0.29
Dividend Payout Ratio(4)	57.81			117.29			52.29			9.41			10.16
Average Equity to Average Assets Ratio	6.52			6.75			6.55			5.09			4.49
Selected Other Data at Yearend
Regulatory Capital Ratio(5)	6.26			8.38			9.24			12.44			10.72
Duration Gap (in months)	1			—			1			(1		)	2

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

(2) As provided by the Federal Home Loan Bank Act of 1932, as amended, or regulations governing the operations of the FHLBanks, all of the FHLBanks have joint and several liability for FHLBank consolidated obligations, which are backed only by the financial resources of the FHLBanks. The joint and several liability regulation authorizes the Federal Housing Finance Agency (Finance Agency) to require any FHLBank to repay all or a portion of the principal or interest on consolidated obligations for which another FHLBank is the primary obligor. The Bank has never been asked or required to repay the principal or interest on any consolidated obligation on behalf of another FHLBank, and as of December 31, 2015, and through the filing date of this report, does not believe that it is probable that it will be asked to do so. The par value of the outstanding consolidated obligations of all FHLBanks at the dates indicated was as follows:

23

Yearend	Par Value (In millions)
2015	$	905,202
2014	847,175
2013	766,837
2012	687,902
2011	691,868

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

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

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

24

ITEM 7. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

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

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

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

• the timing and volume of market activity;

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

• changes in the Bank’s capital structure;

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

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

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

• changes in Bank members’ demand for Bank advances;

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

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

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

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

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

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

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

• designation of the Bank for Federal Reserve Board supervision by the Financial Stability Oversight Council;

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

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

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

25

Overview

Net income for 2015 was $638 million, compared with net income of $205 million for 2014. The $433 million increase in net income for 2015 relative to the prior-year period primarily reflected a $459 million gain (after netting certain legal fees and expenses) relating to settlements with certain defendants in connection with the Bank’s private-label residential mortgage-backed securities (PLRMBS) litigation, partially offset by a decline in net interest income.

Net interest income for 2015 was $477 million, down from $539 million for 2014. The decrease was primarily due to a decline in earnings on MBS, mortgage loans, and invested capital because of lower average balances, partially offset by lower dividends paid on mandatorily redeemable capital stock (which are classified as interest expense).

Other income/(loss) for 2015, excluding the gain from the litigation settlement, was a loss of $71 million, compared with a loss of $154 million for 2014. The change reflected reduced net fair value losses associated with derivatives, hedged items, and financial instruments carried at fair value of $50 million, compared with net fair value losses of $94 million for 2014. The change in net fair value losses was primarily due to the effects of changes in market interest rates, interest rate spreads, interest rate volatility, and other market factors during the period. The change in other income/(loss) also reflected expense on derivative instruments used in economic hedges of $18 million, compared with expense of $64 million for 2014. Income/expense on derivative instruments used in economic hedges is generally offset by interest expense/income on the economically hedged assets and liabilities.

During 2015, total assets increased $9.9 billion, to $85.7 billion at December 31, 2015, from $75.8 billion at December 31, 2014. Advances increased $11.9 billion, or 31%, to $50.9 billion at December 31, 2015, from $39.0 billion at December 31, 2014.

Accumulated other comprehensive income/(loss) decreased by $41 million during 2015, to $15 million at December 31, 2015, from $56 millionatDecember 31, 2014, primarily as a result of a decline in the fair value of PLRMBS classified as available-for-sale (AFS).

Additional information about investments and other-than-temporary impairment (OTTI) losses associated with the Bank’s PLRMBS is provided in “Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Investments” and in “Item 8. Financial Statements and Supplementary Data – Note 7 – Other-Than-Temporary Impairment Analysis” Additional information about the Bank’s PLRMBS is also provided in “Part I. Item 3. Legal Proceedings.”

On February 18, 2016, the Bank’s Board of Directors declared a cash dividend on the capital stock outstanding during the fourth quarter of 2015 at an annualized rate of 7.99%. The dividend will total $55 million, including $10 million in dividends on mandatorily redeemable capital stock that will be reflected as interest expense in the first quarter of 2016. The Bank recorded the dividend on February 18, 2016, and expects to pay the dividend on or about March 17, 2016.

As of December 31, 2015, the Bank was in compliance with all of its regulatory capital requirements. The Bank’s total regulatory capital ratio was 6.3%, exceeding the 4.0% requirement. The Bank had $5.4 billion in permanent capital, exceeding its risk-based capital requirement of $2.7 billion. Total retained earnings as of December 31, 2015, were $2.6 billion.

The Bank amended its capital plan, effective April 1, 2015, to lower the cap on the membership stock requirement to $15 million from $25 million, lower the activity-based stock requirement to 3.0% from 4.7% for outstanding advances and to 3.0% from 5.0% for mortgage loans purchased and held by the Bank, and change the authorized ranges for the activity-based stock requirement to a range of 2.0% to 5.0% from a range of 4.4% to 5.0% for advances and to a range of 0.0% to 5.0% from a range of 5.0% to 5.7% for mortgage loans purchased and held by the Bank. Effective August 3, 2015, the Bank reduced its activity-based stock requirements within the ranges authorized by the Bank’s capital plan. The activity-based stock requirement for advances was reduced from 3.0% to

26

2.7%, and the activity-based stock requirement for mortgage loans purchased from the member and held by the Bank was reduced from 3.0% to 0.0%.

The Bank plans to repurchase the surplus capital stock of all members and the excess capital stock of all nonmember shareholders on March 18, 2016. Surplus capital stock is defined as any stock holdings in excess of 115% of a member’s minimum capital stock requirement.

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

As previously disclosed, effective August 31, 2015, JPMorgan Bank & Trust Company, National Association (JPMorgan B&T), merged with and into JPMorgan Chase Bank, National Association (JPMorgan Chase). As a result, JPMorgan B&T is no longer a member of the Bank. Upon the merger, $403 million of the Bank’s capital stock held by JPMorgan B&T was transferred to JPMorgan Chase, a nonmember of the Bank, and reclassified as mandatorily redeemable capital stock. In addition, all advances to JPMorgan B&T were transferred to JPMorgan Chase, and, as a result, JPMorgan Chase will be one of the Bank’s largest borrowers and shareholders. Because it is not a member of the Bank, JPMorgan Chase is not able to take out new advances from the Bank or replace outstanding advances as they are repaid or prepaid, so a decrease in advances outstanding to JPMorgan Chase, if they are not replaced with advances to other members or other assets, will result in lower total assets and may result in lower net income for the Bank.

Results of Operations

Comparison of 2015 and 2014

Net Interest Income. The primary source of the Bank’s earnings is net interest income, which is the interest earned on advances, mortgage loans, and investments, less interest paid on consolidated obligations, deposits, mandatorily redeemable capital stock, and other borrowings. The Average Balance Sheets tables that follow present the average balances of interest-earning asset categories and the sources that funded those interest-earning assets (liabilities and capital) for the years ended December 31, 2015 and 2014, together with the related interest income and expense. They also present the average rates on total interest-earning assets and the average costs of total funding sources.

27

Average Balance Sheets
	2015							2014
(Dollars in millions)	Average Balance			Interest Income/ Expense		Average Rate		Average Balance			Interest Income/ Expense		Average Rate
Assets
Interest-earning assets:
Interest-bearing deposits	$	719		$	—	0.01	%	$	325		$	—	0.01	%
Securities purchased under agreements to resell	2,513			3		0.10		1,436			1		0.06
Federal funds sold	6,847			9		0.13		9,602			11		0.12
Trading securities:
Mortgage-backed securities (MBS)	10			—		1.68		12			—		1.63
Other investments	2,439			5		0.21		3,432			6		0.18
Available-for-sale (AFS) securities:(1)
MBS(2)	5,809			264		4.54		6,700			278		4.15
Held-to-maturity (HTM) securities:(1)
MBS	11,783			292		2.48		14,338			358		2.49
Other investments	297			1		0.51		2,111			4		0.20
Mortgage loans held for portfolio	675			33		4.91		806			42		5.16
Advances(3)	51,899			299		0.58		45,104			305		0.68
Loans to other FHLBanks	5			—		0.11		3			—		0.07
Total interest-earning assets	82,996			906		1.09		83,869			1,005		1.20
Other assets(4)(5)	829			—		—		929			—		—
Total Assets	$	83,825		$	906	1.08	%	$	84,798		$	1,005	1.19	%
Liabilities and Capital
Interest-bearing liabilities:
Consolidated obligations:
Bonds(3)	$	47,481		$	317	0.67	%	$	52,805		$	326	0.62	%
Discount notes	28,853			46		0.16		23,582			20		0.09
Deposits and other borrowings	1,122			1		0.05		835			—		0.05
Mandatorily redeemable capital stock	421			65		15.49		1,348			120		8.88
Total interest-bearing liabilities	77,877			429		0.55		78,570			466		0.59
Other liabilities(4)	485			—		—		501			—		—
Total Liabilities	78,362			429		0.55		79,071			466		0.59
Total Capital	5,463			—		—		5,727			—		—
Total Liabilities and Capital	$	83,825		$	429	0.51	%	$	84,798		$	466	0.55	%
Net Interest Income				$	477						$	539
Net Interest Spread(6)						0.54	%						0.61	%
Net Interest Margin(7)						0.57	%						0.64	%
Interest-earning Assets/Interest-bearing Liabilities	106.57		%					106.74		%

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

(2) Interest income on AFS securities includes accretion of yield adjustments on other-than-temporarily impaired PLRMBS (resulting from improvement in expected cash flows) totaling $74 million and $68 million in 2015 and 2014, respectively.

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

28

	2015									2014
(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	$	(2	)	$	(106	)	$	(108	)	$	(4	)	$	(128	)	$	(132	)
Consolidated obligation bonds	5			257			262			5			260			265

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

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

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

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

Net interest income in 2015 was $477 million, a 12%decrease from $539 million in 2014. The following table details the changes in interest income and interest expense for 2015 compared to 2014. 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 2015 Compared to 2014
	Increase/ (Decrease)			Attributable to Changes in(1)
(In millions)				Average Volume			Average Rate
Interest-earning assets:
Securities purchased under agreements to resell	$	2		$	1		$	1
Federal funds sold	(2		)	(3		)	$	1
Trading securities: Other investments	(1		)	(2		)	1
AFS securities:
MBS	(14		)	(39		)	25
HTM securities:
MBS	(66		)	(63		)	(3		)
Other investments	(3		)	(6		)	3
Mortgage loans held for portfolio	(9		)	(7		)	(2		)
Advances(2)	(6		)	43			(49		)
Total interest-earning assets	(99		)	(76		)	(23		)
Interest-bearing liabilities:
Consolidated obligations:
Bonds(2)	(9		)	(35		)	26
Discount notes	26			5			21
Deposits and other borrowings	1			1			—
Mandatorily redeemable capital stock	(55		)	(112		)	57
Total interest-bearing liabilities	(37		)	(141		)	104
Net interest income	$	(62	)	$	65		$	(127	)

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

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

The net interest margin was 57 basis points for 2015, 7 basis points lower than the net interest margin for 2014, which was 64 basis points. The net interest spread was 54 basis points for 2015, 7 basis points lower than the net interest spread for 2014, which was 61 basis points. These decreases were primarily due to the decline in earnings on interest-earning assets and a decrease in earnings on invested capital because of lower average capital balances, partially offset by lower dividends on mandatorily redeemable capital stock, which are classified as interest expense. This decrease in interest expense was partially offset by the accretion of yield adjustments on certain other-than-temporarily impaired PLRMBS resulting from improvement in expected cash flows.

29

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

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

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

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

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

positive source of net interest income in future periods.

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

Other Income/(Loss). The following table presents the components of “Other Income/(Loss)” for the years ended December 31, 2015 and 2014.

Other Income/(Loss)
(In millions)	2015			2014
Other Income/(Loss):
Total OTTI loss	$	(31	)	$	(14	)
Net amount of OTTI loss reclassified to/(from) AOCI	16			10
Net OTTI loss, credit-related	(15		)	(4		)
Net gain/(loss) on trading securities(1)	(2		)	(1		)
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option	(50		)	(93		)
Net gain/(loss) on derivatives and hedging activities	(16		)	(64		)
Gains on litigation settlements, net	459			—
Other	12			8
Total Other Income/(Loss)	$	388		$	(154	)

(1) The net gain/(loss) on trading securities that were economically hedged totaled a de minimis amount and $(1) million in 2015 and 2014, respectively.

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

Additional information about the OTTI loss is provided in “Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Investments” and in “Item 8. Financial Statements and Supplementary Data – Note 7 – 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 years ended December 31, 2015 and 2014.

Net Gain/(Loss) on Advances and Consolidated Obligation Bonds Held Under Fair Value Option
(In millions)	2015			2014
Advances	$	(31	)	$	(11	)
Consolidated obligation bonds	(19		)	(82		)
Total	$	(50	)	$	(93	)

30

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

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

Additional information about advances and consolidated obligation bonds held under the fair value option is provided in “Item 8. Financial Statements and Supplementary Data – Note 19 – Fair Value.”

Net Gain/(Loss) on Derivatives and Hedging Activities – Under the accounting for derivative instruments and hedging activities, the Bank is required to carry all of its derivative instruments on the balance sheet at fair value. If derivatives meet the hedging criteria, including effectiveness measures, the carrying value of the underlying hedged instruments may also be adjusted to reflect changes in the fair value attributable to the risk being hedged so that some or all of the unrealized gain or loss recognized on the derivative is offset by a corresponding unrealized loss or gain on the underlying hedged instrument. The unrealized gain or loss on the “ineffective” portion of all hedges, which represents the amount by which the change in the fair value of the derivative differs from the change in the fair value of the hedged item or the variability in the cash flows of the forecasted transaction, is recognized in current period earnings. In addition, certain derivatives are associated with assets or liabilities but do not qualify as fair value hedges under the accounting for derivative instruments and hedging activities. These economic hedges are recorded on the balance sheet at fair value with the unrealized gain or loss recorded in earnings without any offsetting unrealized loss or gain from the associated asset or liability.

The following table shows the accounting classification of hedges and the categories of hedged items that contributed to the gains and losses on derivatives and hedged items that were recorded in “Net gain/(loss) on derivatives and hedging activities” in 2015 and 2014.

Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives and Hedging Activities 2015 Compared to 2014
(In millions)	2015												2014
	Gain/(Loss)						Income/ (Expense) on						Gain/(Loss)						Income/ (Expense) on
Hedged Item	Fair Value Hedges, Net			Economic Hedges			Economic Hedges			Total			Fair Value Hedges, Net			Economic Hedges			Economic Hedges			Total
Advances:
Elected for fair value option	$	—		$	19		$	(73	)	$	(54	)	$	—		$	21		$	(100	)	$	(79	)
Not elected for fair value option	(1		)	1			1			1			—			5			(7		)	(2		)
Consolidated obligation bonds:
Elected for fair value option	—			8			49			57			—			36			59			95
Not elected for fair value option	(9		)	(19		)	35			7			(12		)	(24		)	24			(12		)
Consolidated obligation discount notes:
Not elected for fair value option	—			4			(30		)	(26		)	—			(12		)	(39		)	(51		)
MBS:
Not elected for fair value option	—			(3		)	—			(3		)	—			(15		)	—			(15		)
Non-MBS investments:
Not elected for fair value option	—			—			—			—			—			1			(1		)	—
Mortgage delivery commitment:
Not elected for fair value option	—			2			—			2			—			—			—			—
Total	$	(10	)	$	12		$	(18	)	$	(16	)	$	(12	)	$	12		$	(64	)	$	(64	)

31

During 2015, net losses on derivatives and hedging activities totaled $16 million compared to net losses of $64 million in 2014. These amounts included expense of $18 million and expense of $64 million resulting from net settlements on derivative instruments used in economic hedges in 2015 and 2014, respectively. Excluding the impact of income or expense from net settlements on derivative instruments used in economic hedges, the net gains or losses on fair value and economic hedges were primarily associated with the effects of changes in market interest rates, interest rate spreads, interest rate volatility, and other market factors during the period.

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

Additional information about derivatives and hedging activities is provided in “Item 8. Financial Statements and Supplementary Data – Note 18 – Derivatives and Hedging Activities.”

Gains on litigation settlements, net – During 2015,gains relating to settlements with certain defendants in connection with the Bank’s PLRMBS litigation totaled $459 million (after netting certain legal fees and expenses).

Other Expense. Other expenses were $148 million in 2015 compared to $144 million in 2014, reflecting higher compensation and benefits and operating expenses in 2015.

Affordable Housing Program. The FHLBank Act requires each FHLBank to establish and fund an Affordable Housing Program (AHP). Each FHLBank’s AHP provides subsidies to members, which use the funds to assist in the purchase, construction, or rehabilitation of housing for very low-, low-, and moderate-income households. Subsidies may be in the form of direct grants or below-market interest rate advances.

To fund the AHP, the FHLBanks must set aside, in the aggregate, the greater of $100 million or 10% of the current year's net earnings (income before interest expense related to mandatorily redeemable capital stock and the assessment for the AHP). To the extent that the aggregate 10% calculation is less than $100 million, the FHLBank Act requires that each FHLBank contribute such prorated sums as may be required to ensure that the aggregate contribution of the FHLBanks equals $100 million. The proration would be made on the basis of the income of the FHLBanks for the previous year. In the aggregate, the FHLBanks set aside $332 million, $269 million, and $293 million for their AHPs in 2015, 2014, and 2013, respectively, and there was no AHP shortfall in any of those years.

The Bank’s total AHP assessments equaled $78 million in 2015, compared to $36 million in 2014. The increase in the AHP assessments reflected higher earnings in 2015.

Return on Average Equity. Return on average equity (ROE) was 11.68% in 2015, compared to 3.58% in 2014. The increase reflected the increase in net incomein 2015 resulting from a $459 million gain (after netting certain legal fees and expenses) relating to settlements with certain defendants in connection with Bank’s PLRMBS litigation in the first quarter of 2015.

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

Under regulations governing the operations of the FHLBanks, dividends may be paid only out of current net earnings or previously retained earnings. As required by the regulations, the Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework is reviewed at least annually by the Bank’s Board of Directors. The Board of Directors may amend the Excess Stock Repurchase, Retained Earnings, and Dividend Framework from time to time. In accordance with the Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework, the Bank retains certain amounts in restricted retained earnings, which are not made available for dividends in the current dividend period. The Bank may be restricted from paying dividends if it is not in

32

compliance with any of its minimum capital requirements or if payment would cause the Bank to fail to meet any of its minimum capital requirements. In addition, the Bank may not pay dividends if any principal or interest due on any consolidated obligation has not been paid in full or is not expected to be paid in full, or, under certain circumstances, if the Bank fails to satisfy certain liquidity requirements under applicable regulations.

The regulatory liquidity requirements state that each FHLBank must: (i) maintain eligible high quality assets (advances with a maturity not exceeding five years, U.S. Treasury securities investments, and deposits in banks or trust companies) in an amount equal to or greater than the deposits received from members, and (ii) hold contingent liquidity in an amount sufficient to meet its liquidity needs for at least five business days without access to the consolidated obligations markets. At December 31, 2015, advances maturing within five years totaled $44.2 billion, significantly in excess of the $127 million of member deposits on that date. At December 31, 2014, advances maturing within five years totaled $37.0 billion, also significantly in excess of the $160 million of member deposits on that date. In addition, as of December 31, 2015 and 2014, the Bank held estimated total sources of funds in an amount that would have allowed the Bank to meet its liquidity needs for more than 5 consecutive business days without issuing new consolidated obligations, subject to certain conditions. For more information, see “Management’s Discussion and Analysis of Results of Operations and Financial Condition – Risk Management – Liquidity Risk”.

The Bank’s Risk Management Policy limits the payment of dividends based on the ratio of the Bank’s estimated market value of total capital to par value of capital stock. If this ratio at the end of any quarter is less than 100% but greater than or equal to 70%, any dividend would be limited to an annualized rate no greater than the daily average of the three-month London Interbank Offered Rate (LIBOR) for the applicable quarter (subject to certain conditions), and if this ratio is less than 70%, the Bank would be restricted from paying a dividend. The ratio of the Bank’s estimated market value of total capital to par value of capital stock was 200% as of December 31, 2015. For more information, see “Management’s Discussion and Analysis of Results of Operations and Financial Condition – Risk Management – Market Risk”.

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

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

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

Retained earnings related to valuation adjustments totaled $10 million and $35 million at December 31, 2015 and 2014, respectively.

Retained Earnings Related to Loss Protection and Capital Compliance – In addition to any cumulative net gains resulting from valuation adjustments, the Bank holds an additional amount in restricted retained earnings intended to protect paid-in capital from the effects of an extremely adverse credit event, an extremely adverse operations risk

33

event, a cumulative net loss related to the Bank’s derivatives and associated hedged items and financial instruments carried at fair value, an extremely adverse change in the market value of the Bank’s capital, a significant amount of additional credit-related OTTI on PLRMBS, or some combination of these effects, especially in periods of extremely low net income resulting from an adverse interest rate environment, and to maintain capital compliance.

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

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

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

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

Retained earnings related to the JCE Agreement totaled $358 million and $230 million at December 31, 2015 and 2014, respectively.

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

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

capital stock exceeds 1% of its total assets. Excess capital stock is defined as the aggregate of the capital stock held by each shareholder in excess of its minimum capital stock requirement, as established by the Bank’s capital plan. As of December 31, 2015, the Bank’s excess capital stock totaled $402 million, or 0.47% of total assets.

In 2015, the Bank paid dividends at an annualized rate of 12.39%, totaling $434 million, including $369 million in dividends on capital stock and $65 million in dividends on mandatorily redeemable capital stock. The dividends included four quarterly dividends and a special dividend in the amount of $145 million, including $120 million in dividends on capital stock and $25 million in dividends on mandatorily redeemable capital stock. In 2014, the Bank paid dividends at an annualized rate of 7.02%, totaling $360 million, including $240 million in dividends on capital stock and $120 million in dividends on mandatorily redeemable capital stock.

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

34

On February 18, 2016, the Bank’s Board of Directors declared a cash dividend on the capital stock outstanding during the fourth quarter of 2015 at an annualized rate of 7.99% totaling $55 million, including $45 million in dividends on capital stock and $10 million in dividends on mandatorily redeemable capital stock. The Bank recorded the dividend on February 18, 2016. The Bank expects to pay the dividend on or about March 17, 2016. Dividends on mandatorily redeemable capital stock will be recognized as interest expense in the first quarter of 2016.

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

Comparison of 2014 to 2013

Net Interest Income. The Average Balance Sheets table that follows presents the average balances of interest-earning asset categories and the sources that funded those interest-earning assets (liabilities and capital) for the years ended December 31, 2014 and 2013, together with the related interest income and expense. It also presents the average rates on total interest-earning assets and the average costs of total funding sources.

35

Average Balance Sheets
	2014							2013
(Dollars in millions)	Average Balance			Interest Income/ Expense		Average Rate		Average Balance			Interest Income/ Expense		Average Rate
Assets
Interest-earning assets:
Interest-bearing deposits	$	325		$	—	0.01	%	$	54		$	—	0.04	%
Securities purchased under agreements to resell	1,436			1		0.06		1,315			1		0.10
Federal funds sold	9,602			11		0.12		10,146			15		0.15
Trading securities:
Mortgage-backed securities (MBS)	12			—		1.63		14			—		1.66
Other investments	3,432			6		0.18		3,284			7		0.21
Available-for-sale (AFS) securities:(1)
MBS(2)	6,700			278		4.15		7,692			276		3.59
Held-to-maturity (HTM) securities:(1)
MBS	14,338			358		2.49		14,818			386		2.60
Other investments	2,111			4		0.20		2,462			6		0.22
Mortgage loans held for portfolio	806			42		5.16		1,080			50		4.63
Advances(3)	45,104			305		0.68		45,854			345		0.75
Loans to other FHLBanks	3			—		0.07		8			—		0.07
Total interest-earning assets	83,869			1,005		1.20		86,727			1,086		1.25
Other assets(4)(5)	929			—		—		1,050			—		—
Total Assets	$	84,798		$	1,005	1.19	%	$	87,777		$	1,086	1.24	%
Liabilities and Capital
Interest-bearing liabilities:
Consolidated obligations:
Bonds(3)	$	52,805		$	326	0.62	%	$	60,913		$	432	0.71	%
Discount notes	23,582			20		0.09		16,325			17		0.10
Deposits and other borrowings	835			—		0.05		288			—		0.13
Mandatorily redeemable capital stock	1,348			120		8.88		3,376			155		4.59
Total interest-bearing liabilities	78,570			466		0.59		80,902			604		0.75
Other liabilities(4)	501			—		—		1,122			—		—
Total Liabilities	79,071			466		0.59		82,024			604		0.74
Total Capital	5,727			—		—		5,753			—		—
Total Liabilities and Capital	$	84,798		$	466	0.55	%	$	87,777		$	604	0.69	%
Net Interest Income				$	539						$	482
Net Interest Spread(6)						0.61	%						0.50	%
Net Interest Margin(7)						0.64	%						0.56	%
Interest-earning Assets/Interest-bearing Liabilities	106.74		%					107.20		%

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

(2) Interest income on AFS securities includes accretion of yield adjustments on other-than-temporarily impaired PLRMBS (resulting from improvement in expected cash flows) totaling $68 million and $26 million in 2014 and 2013, respectively.

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

36

	2014									2013
(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	)	$	(128	)	$	(132	)	$	(7	)	$	(126	)	$	(133	)
Consolidated obligation bonds	5			260			265			47			366			413

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

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

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

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

Net interest income in 2014 was $539 million, a 12% increase from $482 million in 2013. The following table details the changes in interest income and interest expense for 2014 compared to 2013. 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 2014 Compared to 2013
	Increase/ (Decrease)			Attributable to Changes in(1)
(In millions)				Average Volume			Average Rate
Interest-earning assets:
Federal funds sold	(4		)	(1		)	(3		)
Trading securities: Other investments	(1		)	—			(1		)
AFS securities:
MBS	2			(38		)	40
HTM securities:
MBS	(28		)	(12		)	(16		)
Other investments	(2		)	(1		)	(1		)
Mortgage loans held for portfolio	(8		)	(13		)	5
Advances(2)	(40		)	(6		)	(34		)
Total interest-earning assets	(81		)	(71		)	(10		)
Interest-bearing liabilities:
Consolidated obligations:
Bonds(2)	(106		)	(54		)	(52		)
Discount notes	3			6			(3		)
Mandatorily redeemable capital stock	(35		)	(127		)	92
Total interest-bearing liabilities	(138		)	(175		)	37
Net interest income	$	57		$	104		$	(47	)

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

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

The net interest margin was 64 basis points for 2014, 8 basis points higher than the net interest margin for 2013, which was 56 basis points. The net interest spread was 61 basis points for 2014, 11 basis points higher than the net interest spread for 2013, which was 50 basis points. These increases were primarily due to improved spreads on interest-earning assets, including the accretion of yield adjustments on certain other-than-temporarily impaired PLRMBS resulting from improvement in expected cash flows, partially offset by a decrease in earnings on invested capital because of lower average capital balances and the lower interest rate environment.

For securities previously identified as other-than-temporarily impaired, the Bank updates its estimate of future estimated cash flows on a regular basis. If there is no additional impairment on the security, the yield of the security

37

is adjusted upward on a prospective basis and accreted into interest income when there is a significant increase in the expected cash flows. If there continue to be improvements in the estimated cash flows of securities previously identified as other-than-temporarily impaired, the accretion of yield adjustments is likely to continue to be a positive source of net interest income in future periods.

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

Other Income/(Loss). The following table presents the components of “Other Income/(Loss)” for the years ended December 31, 2014 and 2013.

Other Income/(Loss)
(In millions)	2014			2013
Other Income/(Loss):
Net gain/(loss) on trading securities(1)	$	(1	)	$	2
Total OTTI loss	(14		)	(14		)
Net amount of OTTI loss reclassified to/(from) AOCI	10			7
Net OTTI loss, credit-related	(4		)	(7		)
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option	(93		)	(23		)
Net gain/(loss) on derivatives and hedging activities	(64		)	26
Other	8			7
Total Other Income/(Loss)	$	(154	)	$	5

(1) The net gain/(loss) on trading securities that were economically hedged totaled $(1) million and $2 million in 2014 and 2013, respectively.

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

Additional information about the OTTI loss is provided in “Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Investments” and in “Item 8. Financial Statements and Supplementary Data – Note 7 – 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 years ended December 31, 2014 and 2013.

Net Gain/(Loss) on Advances and Consolidated Obligation Bonds Held Under Fair Value Option
(In millions)	2014			2013
Advances	$	(11	)	$	(169	)
Consolidated obligation bonds	(82		)	146
Total	$	(93	)	$	(23	)

38

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

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

Additional information about advances and consolidated obligation bonds held under the fair value option is provided in “Item 8. Financial Statements and Supplementary Data – Note 19 – Fair Value.”

Net Gain/(Loss) on Derivatives and Hedging Activities – The following table shows the accounting classification of hedges and the categories of hedged items that contributed to the gains and losses on derivatives and hedged items that were recorded in “Net gain/(loss) on derivatives and hedging activities” in 2014 and 2013.

Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives and Hedging Activities 2014 Compared to 2013
(In millions)	2014												2013
	Gain/(Loss)						Income/ (Expense) on						Gain/(Loss)						Income/ (Expense) on
Hedged Item	Fair Value Hedges, Net			Economic Hedges			Economic Hedges			Total			Fair Value Hedges, Net			Economic Hedges			Economic Hedges			Total
Advances:
Elected for fair value option	$	—		$	21		$	(100	)	$	(79	)	$	—		$	156		$	(114	)	$	42
Not elected for fair value option	—			5			(7		)	(2		)	3			17			(16		)	4
Consolidated obligation bonds:
Elected for fair value option	—			36			59			95			—			(100		)	66			(34		)
Not elected for fair value option	(12		)	(24		)	24			(12		)	(5		)	(113		)	120			2
Consolidated obligation discount notes:
Not elected for fair value option	—			(12		)	(39		)	(51		)	—			34			(21		)	13
MBS:
Not elected for fair value option	—			(15		)	—			(15		)	—			—			—			—
Non-MBS investments:
Not elected for fair value option	—			1			(1		)	—			—			—			(1		)	(1		)
Total	$	(12	)	$	12		$	(64	)	$	(64	)	$	(2	)	$	(6	)	$	34		$	26

During 2014, net losses on derivatives and hedging activities totaled $64 million compared to net gains of $26 million in 2013. These amounts included expense of $64 million and income of $34 million resulting from net settlements on derivative instruments used in economic hedges in 2014 and 2013, respectively. Excluding the impact of income or expense from net settlements on derivative instruments used in economic hedges, the net gains or losses on fair value and economic hedges were primarily associated with the effects of changes in market interest rates, interest rate spreads, interest rate volatility, and other market factors during the period.

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

Additional information about derivatives and hedging activities is provided in “Item 8. Financial Statements and Supplementary Data – Note 18 – Derivatives and Hedging Activities.”

39

Other Expense. Other expenses were $144 million in 2014 compared to $128 million in 2013, primarily reflecting higher operating expenses in 2014.

Return on Average Equity. Return on average equity (ROE) was 3.58% in 2014, compared to 5.36% in 2013. The decrease reflected the decrease in net income in 2014.

Dividends and Retained Earnings.In 2014, the Bank paid dividends at an annualized rate of 7.02%, totaling $360 million, including $240 million in dividends on capital stock and $120 million in dividends on mandatorily redeemable capital stock. In 2013, the Bank paid dividends at an annualized rate of 3.99%, totaling $316 million, including $161 million in dividends on capital stock and $155 million in dividends on mandatorily redeemable capital stock.

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

Retained earnings related to the JCE Agreement totaled $230 million and $189 million at December 31, 2014 and 2013, respectively.

For more information, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations – Results of Operations – Comparison of 2015 to 2014 – Dividends and Retained Earnings.”

Financial Condition

Total assets were $85.7 billion at December 31, 2015, compared to $75.8 billion at December 31, 2014. Advances increased by $11.9 billion, or 31%, to $50.9 billion at December 31, 2015, from $39.0 billion at December 31, 2014. MBS decreased by $3.6 billion, or 18%, to $16.0 billion at December 31, 2015, from $19.6 billion at December 31, 2014. Average total assets were $83.8 billion for 2015, a 1%decrease compared to $84.8 billion for 2014. Average advances were $51.9 billion for 2015, a 15%increase from $45.1 billion for 2014. Average MBS were $17.6 billion for 2015, a 17%decrease from $21.1 billion for 2014.

Advances outstanding at December 31, 2015, included unrealized gains of $78 million, of which $40 million represented unrealized gains on advances hedged in accordance with the accounting for derivative instruments and hedging activities and $38 million represented unrealized gains on economically hedged advances that are carried at fair value in accordance with the fair value option. Advances outstanding at December 31, 2014, included unrealized gains of $156 million, of which $67 million represented unrealized gains on advances hedged in accordance with the accounting for derivative instruments and hedging activities and $89 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 on the hedged advances and advances carried at fair value from December 31, 2014, to December 31, 2015, was primarily attributable to the effects of changes in market interest rates, interest rate spreads, interest rate volatility, and other market factors relative to the terms on the Bank’s advances during the period.

Total liabilities were $80.8 billion at December 31, 2015, an increase of $10.7 billion from $70.1 billion at December 31, 2014, reflecting an increase in consolidated obligations outstanding from $68.9 billion at December 31, 2014, to $79.5 billion at December 31, 2015, partially offset by a decrease in mandatorily redeemable capital stock from $0.7 billion at December 31, 2014, to $0.5 billion at December 31, 2015. The decrease in mandatorily redeemable capital stock was primarily attributable to the Bank’s repurchase of excess capital stock during 2015. Average total liabilities were $78.4 billion for 2015, a 1%decrease compared to $79.1 billion for 2014. Average consolidated obligations were $76.3 billion for 2015 and $76.4 billion for 2014. Average mandatorily redeemable capital stock was $0.4 billion for 2015, and $1.3 billion for 2014.

40

Consolidated obligations outstanding at December 31, 2015, included unrealized losses of $142 million on consolidated obligation bonds hedged in accordance with the accounting for derivative instruments and hedging activities and unrealized gains of $17 million on economically hedged consolidated obligation bonds that are carried at fair value in accordance with the fair value option. Consolidated obligations outstanding at December 31, 2014, included unrealized losses of $308 million on consolidated obligation bonds hedged in accordance with the accounting for derivative instruments and hedging activities and unrealized gains of $31 million on economically hedged consolidated obligation bonds that are carried at fair value in accordance with the fair value option. The decrease in the unrealized losses on the hedged consolidated obligation bonds and the decrease in the unrealized gains on the consolidated obligation bonds carried at fair value from December 31, 2014, to December 31, 2015, were primarily attributable to the effects of changes in market interest rates, interest rate spreads, interest rate volatility, and other market factors relative to the actual terms on the Bank's consolidated obligation bonds during the period.

As provided by the FHLBank Act or regulations governing the operations of the FHLBanks, all FHLBanks have joint and several liability for all FHLBank consolidated obligations. The joint and several liability regulation authorizes the Finance Agency to require any FHLBank to repay all or a portion of the principal or interest on consolidated obligations for which another FHLBank is the primary obligor. The Bank has never been asked or required to repay the principal or interest on any consolidated obligation on behalf of another FHLBank, and as of December 31, 2015, and through the filing date of this report, does not believe that it is probable that it will be asked to do so. The par value of the outstanding consolidated obligations of the FHLBanks was $905.2 billion at December 31, 2015, and $847.2 billion at December 31, 2014.

On October 2, 2015, Standard & Poor’s Rating Services (Standard & Poor’s) affirmed the long-term issuer credit ratings on all of the FHLBanks at AA+. The outlook for all ratings remained stable.

On December 21, 2015, Moody’s Investors Service (Moody’s) affirmed the Aaa long-term ratings of the FHLBank System. The outlook for all ratings remained stable.

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

The Bank evaluated the publicly disclosed FHLBank regulatory actions and long-term credit ratings of the other FHLBanks as of December 31, 2015, and as of each period end presented, and does not believe, as of the date of this report, that it is probable that the Bank will be required to repay any principal or interest associated with consolidated obligations for which the Bank is not the primary obligor.

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

Segment Information

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

41

net interest income to the Bank’s total net interest income, see “Item 8. Financial Statements and Supplementary Data – Note 17 – Segment Information.”

Advances-Related Business. The advances-related business consists of advances and other credit products, related financing and hedging instruments, and liquidity and other non-MBS investments associated with the Bank’s role as a liquidity provider, and capital. Assets associated with this segment increased$13.6 billion, or 25%, to $69.0 billion (81% of total assets) at December 31, 2015, from $55.4 billion (73% of total assets) at December 31, 2014.

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

Adjusted net interest income for this segment was $155 million in 2015, a decrease of $11 million, or 7%, compared with $166 million in 2014. The decrease was primarily due to a decline in spreads on advances-related assets and a decline in earnings on invested capital because of lower average capital balances, partially offset by an increase in earnings because of higher advances balances.

Adjusted net interest income for this segment was $166 million in 2014, a decrease of $9 million, or 5%, compared

with $175 million in 2013. The decrease was primarily due to a decline in earnings on invested capital because of

lower average capital balances and the lower interest rate environment, as well as lower earnings on non-MBS

investments, partially offset by improved spreads on advances-related assets.

Adjusted net interest income for this segment represented 31%, 29% and 28% of total adjusted net interest income for 2015, 2014, and 2013, respectively.

Members and nonmember borrowers prepaid $2.2 billion of advances in 2015 compared to $1.7 billion in 2014. Interest income was increased by net prepayment fees of $8 million in 2015 and $6 million in 2014.

Advances – The par value of advances outstanding increased by $12.0 billion, or 31%, to $50.8 billion at December 31, 2015, from $38.8 billion at December 31, 2014. Average advances outstanding were $51.9 billion in 2015, a 15%increase from $45.1 billion in 2014.

The increase in advances outstanding was primarily attributable to a $10.3 billion net increase in advances outstanding to the Bank’s top five borrowers and their affiliates, including JPMorgan Chase, whose advances and capital stock exceeded 10% of the Bank’s total advances and capital stock, respectively, as of December 31, 2015. (See “Item 8. Financial Statements and Supplementary Data – Note 8 – Advances– Credit and Concentration Risk” and “Item 8. Financial Statements and Supplementary Data – Note 15 – Capital – Concentration” for further information.) Advances to the top five borrowers increased to $31.7 billion at December 31, 2015, from $21.4 billion at December 31, 2014. Two of the top five borrowers increased their borrowings from the Bank during 2015, while the remaining three borrowers decreased their borrowings from the Bank. The increase was also attributable to a $1.7 billionincrease in total advances outstanding to the Bank’s other borrowers of varying asset sizes and charter types. (See “Item 8. Financial Statements and Supplementary Data – Note 8 – Advances” for further information.)

The $12.0 billionincrease in advances outstanding primarily reflected a $13.9 billionincrease in adjustable rate advances and a $3.4 billionincrease in variable rate advances, partially offset by a $5.3 billiondecrease in fixed rate advances.

The components of the advances portfolio at December 31, 2015 and 2014, are presented in the following table.

42

Advances Portfolio by Product Type
	2015				2014
(Dollar in millions)	Par Value		Percentage of Total Par Value		Par Value		Percentage of Total Par Value
Adjustable – LIBOR	$	5,912	12	%	$	7,068	19	%
Adjustable – LIBOR, callable at borrower’s option	15,150		30		—		—
Adjustable – LIBOR, with caps and/or floors	50		—		56		—
Adjustable – LIBOR, with caps and/or floors and PPS(1)	30		—		100		—
Adjustable – Other Indices	2		—		—		—
Subtotal adjustable rate advances	21,144		42		7,224		19
Fixed	18,674		37		22,626		58
Fixed – amortizing	231		—		242		1
Fixed – with PPS(1)	2,859		5		3,991		10
Fixed – with caps and PPS(1)	275		1		425		1
Fixed – callable at borrower’s option	4		—		4		—
Fixed – callable at borrower’s option with PPS(1)	271		1		324		1
Fixed – putable at Bank’s option	65		—		65		—
Fixed – putable at Bank’s option with PPS(1)	75		—		75		—
Subtotal fixed rate advances	22,454		44		27,752		71
Daily variable rate	7,243		14		3,854		10
Total par value	$	50,841	100	%	$	38,830	100	%

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

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

Non-MBS Investments –The Bank’s non-MBS investment portfolio consists of financial instruments that are used primarily to facilitate the Bank’s role as a cost-effective provider of credit and liquidity to members and to support the operations of the Bank. The Bank’s total non-MBS investment portfolio was $16.3 billion and $12.3 billion as of December 31, 2015 and 2014, respectively. The increase in the total size of the non-MBS investment portfolio reflects higher balances of short-term securities purchased under agreements to resell, partially offset by lower balances of Federal funds sold and agency debentures.

Cash and Due from Banks – Cash and due from banks was $1.6 billion at December 31, 2015, a $2.3 billiondecrease compared to December 31, 2014. Cash and due from banks is largely composed of cash held at the Federal Reserve Bank of San Francisco and can increase or decrease depending on the availability of other investment opportunities.

Borrowings – Total liabilities (primarily consolidated obligations) funding the advances-related business increased to $64.1 billion at December 31, 2015, from $49.7 billion at December 31, 2014. 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 8. Financial Statements and Supplementary Data – Note 20 – Commitments and Contingencies.”

43

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 December 31, 2015, the notional amount of interest rate exchange agreements associated with the advances-related business totaled $72.6 billion, of which $17.4 billion were hedging advances, $54.6 billion were hedging consolidated obligations, $0.5 billion were economically hedging trading securities, and $0.1 billion were offsetting derivatives. At December 31, 2014, the notional amount of interest rate exchange agreements associated with the advances-related business totaled $55.2 billion, of which $17.8 billion were hedging advances, $35.0 billion were hedging consolidated obligations, and $2.4 billion were economically hedging trading securities. The hedges associated with advances and consolidated obligations were primarily used to convert the fixed rate cash flows and non-LIBOR-indexed cash flows of the advances and consolidated obligations to adjustable rate LIBOR-indexed cash flows or to manage the interest rate sensitivity and net repricing gaps of assets, liabilities, and interest rate exchange agreements.

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

On December 16, 2015, the Federal Open Market Committee (FOMC) changed the target Federal funds rate for the first time since 2008. The new target range for the Federal funds rate was set to 0.25% to 0.50% in response to a continued moderate increase in economic activity and improvement in labor market conditions. As of December 31, 2015, rates on 3-month U.S. Treasury bills, 3-month LIBOR, and 2-year and 5-year U.S. Treasury notes increased compared with December 31, 2014.

Selected Market Interest Rates
Market Instrument	December 31, 2015		December 31, 2014
Federal Reserve target range for overnight Federal funds	0.25-0.50	%	0-0.25	%
3-month Treasury bill	0.16		0.03
3-month LIBOR	0.61		0.26
2-year Treasury note	1.05		0.67
5-year Treasury note	1.76		1.65

The following table presents a comparison of the average issuance cost of FHLBank System consolidated obligation bonds and discount notes converted to LIBOR-indexed liabilities through interest rate swaps in 2015 and 2014. The average issuance cost of consolidated obligation bonds relative to LIBOR was slightly more expensive in 2015 compared to 2014, while the average cost of consolidated obligation discount notes improved over the same period.

	Spread to LIBOR of Average Cost of Consolidated Obligations for the Twelve Months Ended
(In basis points)	December 31, 2015	December 31, 2014
Consolidated obligation bonds	–11.8	–12.4
Consolidated obligation discount notes (one month and greater)	–15.8	–14.7

44

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

At December 31, 2015, assets associated with this segment were $16.7 billion (19% of total assets), a decrease of $3.7 billion from $20.4 billion at December 31, 2014 (27% of total assets).

Adjusted net interest income for this segment was $351 million in 2015, a decrease of $59 million, or 14%, from $410 million in 2014. The decrease was primarily due to lower average unpaid principal balances of MBS and mortgage loans and reduced spreads on mortgage-related assets, partially offset by the net accretion, which includes yield adjustments on certain other-than-temporarily impaired PLRMBS resulting from improvement in expected cash flows.

Adjusted net interest income for this segment represented 69%, 71%, and 72% of total adjusted net interest income for 2015, 2014, and 2013, respectively.

MBS Investments – The Bank’s MBS portfolio was $16.0 billion at December 31, 2015, compared with $19.6 billion at December 31, 2014. During 2015, the Bank’s MBS portfolio decreased primarily because of principal repayments totaling $3.7 billion. In 2015, average MBS investments were $17.6 billion, a decrease of $3.5 billion from $21.1 billion in 2014. 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 8. Financial Statements and Supplementary Data – Note 7 – Other-Than-Temporary Impairment Analysis.”

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

MPF Program – Under the MPF Program, the Bank may purchase from members, for its own portfolio, conventional conforming fixed rate mortgage loans under the MPF Original product and mortgage loans insured by the Federal Housing Administration (FHA) or guaranteed by the Department of Veterans Affairs (VA) under the MPF Government product. In addition, the Bank may facilitate the purchase of conforming fixed rate mortgage loans from members for concurrent sale to Fannie Mae under the MPF Xtra product and of jumbo fixed rate mortgage loans for concurrent sale to Redwood Residential Acquisition Corporation, a subsidiary of Redwood Trust, Inc., a real estate investment trust, under the MPF Direct product. As of December 31, 2015, the Bank had approved ten members as participating financial institutions since renewing its participation in the MPF Program in 2013.

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

As of December 31, 2015, all mortgage loans purchased by the Bank under the MPF Program were qualifying conventional conforming fixed rate, first lien mortgage loans with fully amortizing loan terms of up to 30 years. A conventional loan is one that is not insured by the federal government or any of its agencies. Conforming loan size, which is established annually as required by Finance Agency regulations, may not exceed the loan limits set by the

45

Finance Agency each year. All MPF loans are secured by owner-occupied, one- to four-unit residential properties or single-unit second homes.

The MPF Servicing Guide establishes the MPF Program requirements for loan servicing and servicer eligibility. At the time the Bank purchases loans under the MPF Program, the member selling the loans makes representations that all mortgage loans it delivers to the Bank have the characteristics of an investment quality mortgage. An investment quality mortgage is a loan that is made to a borrower from whom repayment of the debt can be expected, is adequately secured by real property, and was originated and is being serviced in accordance with the MPF Origination Guide and MPF Servicing Guide or an approved waiver.

The FHLBank of Chicago, which developed the MPF Program, establishes the minimum eligibility standards for members to participate in the program, the structure of the MPF products, and the standard eligibility criteria for the loans; establishes pricing and manages the delivery mechanism for the loans; publishes and maintains the MPF Origination Guide and the MPF Servicing Guide; and provides operational support for the program. In addition, the FHLBank of Chicago acts as master servicer and as master custodian for the MPF loans held by the Bank and is compensated for these services through fees paid by the Bank. The FHLBank of Chicago is obligated to provide operational support to the Bank for all loans purchased until those loans are fully repaid.

Mortgage loan balances decreased to $655 million at December 31, 2015, from $708 million at December 31, 2014, a decrease of $53 million. Average mortgage loans were $675 million in 2015, a decrease of $131 million from $806 million in 2014.

At December 31, 2015, and 2014, the Bank held conventional conforming fixed rate mortgage loans purchased under one of two MPF products, MPF Plus or MPF Original, which are described in greater detail in “Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Credit Risk – MPF Program.” The Bank purchased $131 million in eligible loans under the MPF Original product during 2015. Mortgage loan balances at December 31, 2015 and 2014, were as follows:

Mortgage Loan Balances by MPF Product Type
(In millions)	2015			2014
MPF Plus	$	486		$	653
MPF Original	167			60
Subtotal	653			713
Unamortized premiums	10			6
Unamortized discounts	(8		)	(10		)
Mortgage loans held for portfolio	655			709
Less: Allowance for credit losses	—			(1		)
Mortgage loans held for portfolio, net	$	655		$	708

The following table presents the balances of loans wholly owned by the Bank and loans with allocated participation interests that were outstanding as of December 31, 2015 and 2014. Only the FHLBank of Chicago owned participation interests in any of the Bank’s MPF loans.

46

Balances Outstanding on Mortgage Loans
(Dollars in millions)	2015		2014
Outstanding amounts wholly owned by the Bank	$	472	$	462
Outstanding amounts with participation interests by FHLBank:
San Francisco	181		251
Chicago	116		156
Total	$	769	$	869
Number of loans outstanding:
Number of outstanding loans wholly owned by the Bank	3,624		4,111
Number of outstanding loans participated	4,104		5,013
Total number of loans outstanding	7,728		9,124

Under the Bank’s agreement with the FHLBank of Chicago, the credit risk is shared pro rata between the two FHLBanks according to: (i) their respective ownership of the loans in each master commitment for MPF Plus and (ii) their respective participation shares of the first loss account for the master commitment for MPF Original.

The Bank is responsible for credit oversight of the participating financial institution, which consists of monitoring the financial condition of the participating financial institution on a quarterly basis and holding collateral to secure the participating financial institution’s outstanding credit enhancement obligations. Monitoring of the participating financial institution’s financial condition includes an evaluation of its capital, assets, management, earnings, and liquidity.

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

The Bank manages the interest rate risk and prepayment risk of the mortgage loans by funding these assets with callable and non-callable debt, by entering into certain interest rate swaps, and by limiting the size of the fixed rate mortgage loan portfolio.

Borrowings – Total consolidated obligations funding the mortgage-related business decreased$3.7 billion to $16.7 billion at December 31, 2015, from $20.4 billion at December 31, 2014, paralleling the decrease in mortgage portfolio assets. For further information and discussion of the Bank’s joint and several liability for FHLBank consolidated obligations, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations – Financial Condition” and “Item 8. Financial Statements and Supplementary Data – Note 20 – Commitments and Contingencies.”

The notional amount of interest rate exchange agreements associated with the mortgage-related business totaled $7.2 billion at December 31, 2015, of which $5.0 billion were hedging or were associated with consolidated obligations funding the mortgage portfolio and $2.2 billion were associated with MBS. The notional amount of interest rate exchange agreements associated with the mortgage-related business totaled $7.1 billion at December 31, 2014, of which $4.9 billion were hedging or were associated with consolidated obligations funding the mortgage portfolio and $2.2 billion were associated with MBS.

47

Liquidity and Capital Resources

The Bank’s financial strategies are designed to enable the Bank to expand and contract its assets, liabilities, and capital as membership composition and member credit needs change. The Bank’s liquidity and capital resources are designed to support its financial strategies. The Bank’s primary source of liquidity is its access to the debt capital markets through consolidated obligation issuance, which is described in “Item 1. Business – Funding Sources.” The Bank’s status as a GSE is critical to maintaining its access to the capital markets. Although consolidated obligations are backed only by the financial resources of the FHLBanks and are not guaranteed by the U.S. government, the capital markets have traditionally treated the FHLBanks’ consolidated obligations as comparable to federal agency debt, providing the FHLBanks with access to funding at relatively favorable rates. The maintenance of the Bank’s capital resources are governed by its capital plan.

Liquidity

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

The Bank’s ability to expand as member credit needs increase is based, in part, on the capital stock requirements for advances. A member is required to maintain sufficient capital stock to support its advances activity and loan sale activity with the Bank. Unless a member already has sufficient excess capital stock, it must increase its capital stock investment in the Bank as its balance of outstanding advances increases and as it sells mortgage loans to the Bank. The activity-based capital stock requirement is currently 2.7% for outstanding advances and 0.0% for mortgage loans purchased and held by the Bank, while the Bank’s minimum regulatory capital-to-assets ratio requirement is currently 4.0%. Because the Bank’s capital plan does not provide for the issuance of Class A stock (non-permanent capital that is redeemable upon six months’ notice), regulatory capital for the Bank is composed of retained earnings and Class B stock, including mandatorily redeemable capital stock (which is classified as a liability for financial reporting purposes), and excludes AOCI.

The Bank is also able to contract its balance sheet as borrowers’ credit needs decrease. As changing borrower credit

needs result in reduced advances, borrowers will have capital stock in excess of the amount required by the Bank’s

capital plan. The Bank’s capital plan allows the Bank to repurchase a borrower’s excess capital stock, at the Bank’s

discretion. On May 29, 2015, the Bank reinstated its practice of repurchasing the surplus capital stock of all members and the excess capital stock of all nonmember shareholders on a regular quarterly basis, at the Bank’s discretion and subject to certain statutory and regulatory requirements and to the Bank’s Risk Management Policy and capital plan limitations. Surplus capital stock is defined as any stock holdings in excess of 115% of a member’s minimum stock requirement.

The Bank may also allow its consolidated obligations to mature without replacement or repurchase and retire outstanding consolidated obligations, allowing its balance sheet to contract.

The Bank amended its capital plan, effective April 1, 2015, to lower the cap on the membership stock requirement to $15 million from $25 million, lower the activity-based stock requirement to 3.0% from 4.7% for outstanding advances and to 3.0% from 5.0% for mortgage loans purchased and held by the Bank, and change the authorized ranges for the activity-based stock requirement to a range of 2.0% to 5.0% from a range of 4.4% to 5.0% for advances and to a range of 0.0% to 5.0% from a range of 5.0% to 5.7% for mortgage loans purchased and held by the Bank. Effective August 3, 2015, the Bank reduced its activity-based stock requirements within the ranges authorized by the Bank’s capital plan. The activity-based stock requirement for advances was reduced from 3.0% to 2.7%, and the activity-based stock requirement for mortgage loans purchased from the member and held by the Bank was reduced from 3.0% to 0.0%.

48

The Bank maintained its strong regulatory capital position while repurchasing $2.0 billion and $2.0 billion in excess capital stock during 2014 and 2015, respectively, and redeeming $296 million and $53 million in mandatorily redeemable capital stock in 2014 and 2015, respectively. Total excess capital stock was $0.4 billion as of December 31, 2015, compared to $1.1 billion as of December 31, 2014.

The Bank is not able to predict future trends in member credit needs since they are driven by complex interactions among a number of factors, including members’ mortgage loan growth, other asset portfolio growth, deposit growth, and the attractiveness of advances compared to other wholesale borrowing alternatives. The Bank regularly monitors current trends and anticipates future debt issuance needs with the objective of being prepared to fund its members’ credit needs and appropriate investment opportunities.

Short-term liquidity management practices are described in “Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Liquidity Risk.” The Bank manages its liquidity needs to enable it to meet all of its contractual obligations on a timely basis, to support its members’ daily liquidity needs, and to pay operating expenditures as they come due. The Bank maintains contingency liquidity plans 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 of the capital markets. For further information and discussion of the Bank’s guarantees and other commitments, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations – Off-Balance Sheet Arrangements and Aggregate Contractual Obligations.” 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 8. Financial Statements and Supplementary Data – Note 20 – Commitments and Contingencies.”

Capital

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

A member may schedule redemption of its excess capital stock following a five-year redemption period, subject to certain conditions, by providing a written redemption notice to the Bank. Capital stock may also become subject to redemption following a five-year redemption period after a member gives notice of intention to withdraw from membership or attains nonmember status by merger or acquisition, charter termination, or other involuntary membership termination, or after a receiver or other liquidating agent for a member transfers the member’s Bank capital stock to a nonmember entity. Capital stock required to meet a withdrawing member’s membership capital stock requirement may only be redeemed at the end of the five-year redemption period, subject to statutory and regulatory limits and other conditions.

On a quarterly basis, the Bank determines whether it will repurchase excess capital stock. The Bank maintained its strong regulatory capital position while repurchasing $2.0 billion and $2.0 billion in excess capital stock during 2015 and 2014, respectively.

On May 29, 2015, the Bank's Excess Stock Repurchase, Retained Earnings, and Dividend Framework was revised to reinstate the Bank’s practice of repurchasing the surplus capital stock of all members and the excess capital stock of all nonmember shareholders on a regular quarterly basis, at the Bank’s discretion and subject to certain statutory and regulatory requirements and to the Bank’s Risk Management Policy and capital plan limitations. Surplus capital stock is defined as any stock holdings in excess of 115% of a member’s minimum stock requirement, and excess capital stock is defined as any stock holdings in excess of a shareholder’s minimum stock requirement. In addition, at the Bank’s discretion, all of the excess stock held by a member may be repurchased upon request of the member, subject to the requirements and limitations mentioned above. In accordance with the revised Excess Stock

49

Repurchase, Retained Earnings, and Dividend Framework, each quarter Bank management evaluates and determines the amount of capital stock to be repurchased in that quarter, if any, giving consideration to certain capital metrics and capital management objectives and strategies, and subject to the requirements and limitations listed above. At least 15 calendar days before any repurchase, the Bank will notify shareholders of its intention to repurchase capital stock and of the scheduled repurchase date. On the scheduled repurchase date, the Bank will calculate the amount of stock to be repurchased to ensure that each member and former nonmember shareholder will continue to meet its minimum stock requirement after the repurchase.

In accordance with its practice, the Bank plans to repurchase the surplus capital stock of all members and the excess capital stock of all nonmember shareholders on March 18, 2016.

The Bank is required to redeem any mandatorily redeemable capital stock that is in excess of a former member’s minimum stock requirement on or after the expiration of the five-year redemption date. During 2015 and 2014, the Bank redeemed $53 million and $296 million, respectively, in mandatorily redeemable capital stock, for which the five-year redemption period had expired, at its $100 par value. The stock was redeemed on the scheduled redemption dates or, for stock that was not excess stock on its scheduled redemption date because of outstanding activity with the Bank, on the first available repurchase date after the stock was no longer required to support outstanding activity with the Bank.

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

Excess capital stock totaled $0.4 billion as of December 31, 2015, and $1.1 billion as of December 31, 2014.

Provisions of the Bank’s capital plan are more fully discussed in “Item 8. Financial Statements and Supplementary Data – Note 15 – Capital.”

Regulatory Capital Requirements

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

The following table shows the Bank’s compliance with the Finance Agency’s capital requirements at December 31, 2015 and 2014. The Bank’s risk-based capital requirement decreased to $2.7 billion at December 31, 2015, from $3.2 billion at December 31, 2014.

50

Regulatory Capital Requirements
	2015						2014
(Dollars in millions)	Required			Actual			Required			Actual
Risk-based capital	$	2,684		$	5,369		$	3,231		$	6,356
Total regulatory capital	$	3,428		$	5,369		$	3,032		$	6,356
Total regulatory capital ratio	4.00		%	6.26		%	4.00		%	8.38		%
Leverage capital	$	4,285		$	8,054		$	3,790		$	9,534
Leverage ratio	5.00		%	9.40		%	5.00		%	12.58		%

The Bank’s total regulatory capital ratio decreased to 6.26% at December 31, 2015, from 8.38% at December 31, 2014, primarily because of the decrease in regulatory capital resulting from the Bank’s excess capital stock repurchase activity. The Bank repurchased $2.0 billion in excess capital stock in 2015.

As a result of recent changes in the Bank’s capital plan, both capital stock and retained earnings are required to support regulatory capital compliance.

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

Risk Management

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

The Bank’s risk management framework includes a risk appetite statement, the risk policies, and related procedures and guidelines established by the Board of Directors and management to address and manage risk. These include both enterprise-wide risk policies and related procedures and guidelines.

The Risk Management Policy establishes risk limits, guidelines, and standards for credit risk, market risk, liquidity risk, operations 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 overall risk management. The Member Products Policy, which applies to products offered to members and housing associates (nonmember mortgagees approved under Title II of the National Housing Act, to which the Bank is permitted to make advances under the FHLBank Act), addresses the credit risk of secured credit by establishing credit underwriting criteria, appropriate collateralization levels, and collateral valuation methodologies. The Bank also establishes polices for capital management and compliance risk management.

Business Risk

Business risk is defined as the possibility of an adverse impact on the Bank’s ability to fulfill its mission and to meet ongoing business and profitability objectives resulting from external factors that may occur in both the short

51

and long term. Such factors may include, but are not limited to, continued financial services industry consolidation; changes in the membership base and in member demand for Bank products; the concentration of borrowing among members; the introduction of new competing products and services; increased inter-FHLBank and non-FHLBank competition; and significant adverse changes to the effectiveness and competitiveness of the Bank’s products, services, or business model associated with regulatory and legislative changes.

The identification of business risks is an integral part of the Bank’s annual planning process, and the Bank’s strategic plan identifies initiatives and plans to address these risks.

Operations Risk

Operations risk is defined as the risk of loss to the Bank resulting from inadequate or failed internal processes, resources, and systems and from external events. The Bank’s operations risk is controlled through a system of internal controls designed to minimize the risk of operational losses. Also, the Bank has established and annually tests its business continuity plan under various business disruption scenarios involving offsite recovery and the testing of the Bank’s operations and information systems. In addition, an ongoing internal audit function audits significant risk areas to evaluate the Bank’s internal controls.

Concentration Risk

Concentration risk for the Bank is defined as the exposure to loss arising from a disproportionately large number of financial transactions with a limited number of individual customers or counterparties.

Advances. The following tables present the concentration in advances and the interest income (before the impact of interest rate exchange agreements associated with advances) from the advances to the Bank’s top five borrowers and their affiliates at December 31, 2015 and 2014.

Concentration of Advances and Interest Income from Advances Top Five Borrowers and Their Affiliates
(Dollars in millions)
December 31, 2015
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
JPMorgan Chase Bank, National Association(2)(3)	$	14,813	29	%	$	65	16	%
Bank of the West	6,791		13		27		7
First Republic Bank	4,000		8		75		19
CIT Bank, National Association(4)	3,113		6		19		5
Citigroup Inc
Citibank, N.A.(2)	3,000		6		5		1
Banamex USA	—		—		—		—
Subtotal Citigroup Inc	3,000		6		5		1
Subtotal	31,717		62		191		48
Others	19,124		38		207		52
Total par value	$	50,841	100	%	$	398	100	%

52

December 31, 2014
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
Bank of the West	$	5,484	14	%	$	29	7	%
First Republic Bank	5,275		13		86		20
JPMorgan Chase & Co.:
JPMorgan Bank & Trust Company, National Association(3)	3,000		8		54		13
JPMorgan Chase Bank, National Association(2)	819		2		7		2
Subtotal JPMorgan Chase & Co.	3,819		10		61		15
Bank of America California, N.A.	3,500		9		18		4
OneWest Bank, N.A.(4)	3,364		9		28		6
Subtotal	21,442		55		222		52
Others	17,388		45		209		48
Total par value	$	38,830	100	%	$	431	100	%

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

(2) Nonmember institution.

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

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

Because of this concentration in advances, the Bank may perform more frequent credit and collateral reviews for some of these institutions, including more frequent analysis of detailed data on pledged loan collateral to assess the credit quality and risk-based valuation of the loans. The Bank also analyzes the implications for its financial management and profitability if it were to lose the advances business of one or more of these institutions or if the advances outstanding to one or more of these institutions were not replaced when repaid.

If these institutions were to prepay the advances (subject to the Bank’s limitations on the amount of advances prepayments from a single borrower in a day or a month) or repay the advances as they came due and no other advances were made to replace them, the Bank’s assets would decrease significantly and income could be adversely affected. In addition, because JPMorgan Chase is not a member of the Bank, it is not able to borrow new advances from the Bank or replace outstanding advances as they are repaid or prepaid, so a decrease in advances outstanding to JPMorgan Chase, if they are not replaced with advances to other members or other assets, will result in lower total assets and may result in lower net income for the Bank. The loss of a significant amount of advances could have a material adverse impact on the Bank’s financial performance and dividend rate. The timing and magnitude of the impact would depend on a number of factors, including: (i) the amount of advances prepaid or repaid and the period over which the advances were prepaid or repaid, (ii) the amount and timing of any decreases in capital, (iii) the profitability of the advances, (iv) the size and profitability of the Bank’s investments, (v) the extent to which debt matured as the advances were prepaid or repaid, and (vi) the ability of the Bank to extinguish debt or transfer it to other FHLBanks and the costs to extinguish or transfer the debt. As discussed in “Item 1. Business – Our Business Model,” the Bank’s financial strategies are designed to enable it to expand and contract its assets, liabilities, and capital in view of changes in membership composition and member credit needs while striving to pay members a reasonable return on their investment in the Bank’s capital stock. Under the Bank’s capital plan, the Bank may repurchase all of a shareholder’s excess capital stock, including any excess mandatorily redeemable capital stock, at the Bank’s discretion, subject to certain statutory and regulatory requirements.

MPF Program. 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 December 31, 2015 and 2014.

53

Concentration of Mortgage Loans
(Dollars in millions)
December 31, 2015
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)	$	432	66	%	5,095	66	%
Wilshire Bank	65		10		174	2
Subtotal	497		76		5,269	68
Others	156		24		2,459	32
Total	$	653	100	%	7,728	100	%

December 31, 2014
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)	$	570	80	%	6,269	69	%
OneWest Bank, N.A.(2)	84		12		2,124	23
Subtotal	654		92		8,393	92
Others	59		8		731	8
Total	$	713	100	%	9,124	100	%

(1) Nonmember institution.

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

Members that sell mortgage loans to the Bank through the MPF Program make representations and warranties that the loans comply with the MPF underwriting guidelines. In the event a mortgage loan does not comply with the MPF underwriting guidelines, the Bank’s agreement with the participating financial institution provides that the institution is required to repurchase the loan as a result of the breach of the institution’s representations and warranties. The Bank may, at its discretion, choose to retain the loan if the Bank determines that the noncompliance can be cured or mitigated through additional contract assurances from the institution or any successor. In addition, all participating financial institutions have retained the servicing on the mortgage loans purchased by the Bank, and the servicing obligation of any former participating financial institution is held by the successor or another Bank-approved financial institution. The FHLBank of Chicago (the MPF Provider and master servicer) has contracted with Wells Fargo Bank, N.A., to monitor the servicing performed by all participating financial institutions and successors, including JPMorgan Chase, Wilshire Bank, and CIT Bank, National Association. The Bank obtains a Type II Statement on Standards for Attestation Engagements (SSAE) No. 16 service auditor's report to confirm the effectiveness of the MPF Provider's controls over the services it provides to the Bank, including its monitoring of the participating financial institutions’ servicing. The FHLBank of Chicago outsourced a portion of its infrastructure controls to a third party, and as a result, the Bank receives an additional report addressing the effectiveness of controls performed by the third party. The Bank has the right to transfer the servicing at any time, without paying the participating financial institution or any successor a servicing termination fee, in the event a participating financial institution or any successor does not meet the MPF servicing requirements. The Bank may also transfer servicing without cause subject to a servicing transfer fee payable to the participating financial institution or any successor.

Investments. The following table presents the portfolio concentration in the Bank’s investment portfolios at December 31, 2015 and 2014, with U.S. government corporation and GSE issuers and other issuers (at the time of purchase), whose aggregate carrying values represented 10% or more of the Bank’s capital (including mandatorily redeemable capital stock). The amounts include securities issued by the issuer’s holding company, along with its affiliated companies. The Bank’s investment portfolio includes securities classified as trading, AFS, and HTM, and other assets such as securities purchased under agreements to resell and Federal funds sold.

54

Investments: Portfolio Concentration
	2015				2014
(In millions)	Carrying Value		Estimated Fair Value		Carrying Value		Estimated Fair Value
Non-MBS:
Housing finance agency bonds:
California Housing Finance Agency (CalHFA) bonds	$	275	$	242	$	328	$	283
GSEs:
Federal Farm Credit Bank (FFCB) bonds	1,424		1,424		3,513		3,513
Total non-MBS	1,699		1,666		3,841		3,796
MBS:
Other U.S. obligations:
Ginnie Mae	1,236		1,237		1,524		1,537
GSEs:
Freddie Mac	3,677		3,696		4,517		4,566
Fannie Mae	4,136		4,194		5,313		5,428
Total GSEs	7,813		7,890		9,830		9,994
PLRMBS:
Bank of America Corporation	677		673		824		820
Bear Stearns Companies Inc.	592		590		667		666
Countrywide Financial Corporation	1,050		1,048		1,283		1,282
IndyMac Bank, F.S.B.	961		971		1,121		1,134
Lehman Brothers Inc.	1,127		1,122		1,376		1,370
UBS AG	634		630		741		736
Other(1)	1,860		1,841		2,239		2,217
Total PLRMBS	6,901		6,875		8,251		8,225
Total MBS	15,950		16,002		19,605		19,756
Total securities	17,649		17,668		23,446		23,552
Securities purchased under agreements to resell:
Federal Reserve Bank of New York	9,000		9,000		—		—
Nomura Securities International, Inc.	1,000		1,000		1,000		1,000
Total Securities purchased under agreements to resell	10,000		10,000		1,000		1,000
Federal funds sold:
Australia & New Zealand Bank Group	934		934		—		—
The Bank of New York Mellon	924		924		—		—
Bank of Nova Scotia	622		622		744		744
Bank of Tokyo-Mitsubishi UFJ	—		—		744		744
Nordea Bank Finland	934		934		1,116		1,116
Rabobank Nederland	622		622		744		744
Royal Bank of Canada	—		—		744		744
Toronto Dominion Bank	—		—		868		868
Other Federal funds sold(1)	590		590		2,543		2,543
Total Federal funds sold	4,626		4,626		7,503		7,503
Total investments	$	32,275	$	32,294	$	31,949	$	32,055

(1) Includes issuers of securities that have a carrying value that is less than 10% of total Bank capital (including mandatorily redeemable capital stock).

55

Many of the Bank’s members and their affiliates are extensively involved in residential mortgage finance. Accordingly, members or their affiliates may be involved in the sale of MBS to the Bank or in the origination or securitization of the mortgage loans backing the MBS purchased by the Bank.

Capital Stock. 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 December 31, 2015 or 2014.

Concentration of Capital Stock Including Mandatorily Redeemable Capital Stock
(Dollars in millions)	2015				2014
Name of Institution	Capital Stock Outstanding		Percentage of Total Capital Stock Outstanding		Capital Stock Outstanding		Percentage of Total Capital Stock Outstanding
JPMorgan Chase & Co.:
JPMorgan Bank & Trust Company, National Association	$	—	—	%	$	268	7	%
JPMorgan Chase Bank, National Association(1)(2)	400		15		68		2
Subtotal JPMorgan Chase & Co.	400		15		336		9
Citigroup Inc.:
Citibank, N.A.(1)	81		3		577		14
Banamex USA	4		—		2		—
Subtotal Citigroup Inc.	85		3		579		14
Subtotal	485		18		915		23
Others	2,256		82		3,082		77
Total	$	2,741	100	%	$	3,997	100	%

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

(2) The Bank reclassified $403 million of capital stock to mandatorily redeemable capital stock (a liability) on September 1, 2015, as a result of the merger of JPMorgan B&T with and into JPMorgan Chase, a nonmember of the Bank.

Derivative Counterparties. The following table presents the concentration in derivatives with derivative counterparties whose outstanding notional balances represented 10% or more of the Bank’s total notional amount of derivatives outstanding as of December 31, 2015 and 2014.

56

Concentration of Derivative Counterparties
(Dollars in millions)	2015					2014
Derivative Counterparty	Credit   Rating(1)	Notional Amount		Percentage of Total Notional Amount		Credit   Rating(1)	Notional Amount		Percentage of Total Notional Amount
Uncleared
JPMorgan Chase Bank, National Association	A	$	4,858	6	%	A	$	7,439	12	%
Morgan Stanley Capital Services	BBB	2,876		4		BBB	6,957		11
Subtotal		7,734		10			14,396		23
Others	At least BBB	15,187		19		At least BBB	22,982		37
Subtotal uncleared		22,921		29			37,378		60
Cleared
LCH Clearnet(2)
Credit Suisse Securities (USA) LLC	A	46,086		58		A	14,290		23
Deutsche Bank Securities Inc.	BBB	8,722		11		A	10,629		17
Subtotal		54,808		69			24,919		40
Morgan Stanley & Co. LLC	A	2,055		2		—	—		—
Subtotal cleared		56,863		71			24,919		40
Total(3)		$	79,784	100	%		$	62,297	100	%

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

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

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

Liquidity Risk

Liquidity risk is defined as the risk that the Bank will be unable to meet its obligations as they come due or meet the credit needs of its members and eligible nonmember borrowers in a timely and cost-effective manner. The Bank is required to maintain liquidity for operating needs and for contingency purposes in accordance with Finance Agency regulations and guidelines and with the Bank's own Risk Management Policy. The Bank strives to maintain the liquidity necessary to repay maturing consolidated obligations for which it is the primary obligor, meet other obligations and commitments, and meet expected and unexpected member credit demands. The Bank monitors its financial position in order to maintain ready access to sufficient liquid funds to meet normal transaction requirements, take advantage of appropriate investment opportunities, and cover unforeseen liquidity demands.

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

The Bank has a regulatory contingent liquidity requirement to maintain at least 5 business days of liquidity to enable it to meet its obligations without issuance of new consolidated obligations. In addition, the Finance Agency has established liquidity guidelinesthatrequire each FHLBank to maintain sufficient on-balance sheet liquidity in

57

an amount at least equal to its anticipated cash outflows for two different scenarios, both of which assume no new consolidated obligation issuance and no reliance on repurchase agreements and permit the sale of certain existing investments as determined by the Finance Agency. The two scenarios differ only in the treatment of maturing advances. One scenario assumes that the Bank does not renew any maturing advances. For this scenario, the Bank must have sufficient liquidity to meet its obligations for 15 calendar days. The second scenario requires the Bank to renew maturing advances for certain members based on specific criteria established by the Finance Agency. For this scenario, the Bank must have sufficient liquidity to meet its obligations for 5 calendar days.

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

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

The following table shows the Bank’s principal financial obligations due, estimated sources of funds available to meet those obligations, and the net difference between funds available and funds needed for the 5-business-day period following December 31, 2015 and 2014.

Principal Financial Obligations Due and Funds Available for Selected Period
	As of December 31, 2015		As of December 31, 2014
(In millions)	5 Business Days		5 Business Days
Obligations due:
Commitments to purchase investments	$	250	$	—
Demand deposits	1,107		845
Discount note and bond maturities and expected exercises of bond call options	3,165		2,420
Subtotal obligations due	4,522		3,265
Sources of available funds:
Maturing investments	15,807		8,155
Available cash	1,634		3,919
Proceeds from scheduled settlements of discount notes and bonds	300		3
Maturing advances and scheduled prepayments	6,943		4,837
Subtotal sources of available funds	24,684		16,914
Net funds available	$	20,162	$	13,649

In addition, Section 11(i) of the FHLBank Act authorizes the U.S. Treasury to purchase certain obligations issued by the FHLBanks aggregating not more than $4.0 billion under certain conditions. There were no such purchases by the U.S. Treasury during the two-year period endedDecember 31, 2015.

Credit Risk

Credit risk is defined as the risk that the market value, or estimated fair value if market value is not available, of an obligation will decline as a result of deterioration in the creditworthiness of the obligor. The Bank further refines the

58

definition of credit risk as the risk that a secured or unsecured borrower is unable to meet its financial obligations and the Bank is inadequately protected by the liquidation value of collateral, if any, which could result in a credit loss to the Bank.

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

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

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

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

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

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

The Bank underwrites and actively monitors the financial condition and performance of all borrowers to determine and periodically assess creditworthiness. The Bank uses, to the extent available, financial information provided by the borrower, quarterly financial reports filed by borrowers with their primary regulators, regulatory examination

59

reports and known regulatory enforcement actions, and public information. In determining creditworthiness, the Bank considers available examination findings, performance trends and forward-looking information, the borrower's business model, changes in risk profile, capital adequacy, asset quality, profitability, interest rate risk, supervisory history, the results of periodic collateral field reviews conducted by the Bank, the risk profile of the collateral, and the amount of eligible collateral on the borrower's balance sheet.

In accordance with the FHLBank Act, borrowers may pledge the following eligible assets to secure advances: one- to four-family first lien residential mortgage loans; multifamily mortgage loans; MBS; securities issued, insured, or guaranteed by the U.S. government or any of its agencies, including without limitation MBS backed by Fannie Mae, Freddie Mac, or Ginnie Mae; cash or deposits in the Bank; and certain other real estate-related collateral, such as commercial real estate loans and second lien residential mortgage loans or home equity loans. The Bank may also accept small business, small farm, and small agribusiness loans that are fully secured by collateral (such as real estate, equipment and vehicles, accounts receivable, and inventory) from members that are community financial institutions. The Housing and Economic Recovery Act of 2008 (Housing Act) added secured loans for community development activities as collateral that the Bank may accept from community financial institutions. The Housing Act defined community financial institutions as depository institutions insured by the Federal Deposit Insurance Corporation with average total assets over the preceding three-year period of $1 billion or less, to be adjusted for inflation annually by the Finance Agency. The average total asset cap for 2015 was $1,123 million.

Under the Bank’s written lending agreements with its borrowers, its credit and collateral policies, and applicable statutory and regulatory provisions, the Bank has the right to take a variety of actions to address credit and collateral concerns, including calling for the borrower to pledge additional or substitute collateral (including ineligible collateral) at any time that advances are outstanding to the borrower, and requiring the delivery of all pledged collateral. In addition, if a borrower fails to repay any advance or is otherwise in default on its obligations to the Bank, the Bank may foreclose on and liquidate the borrower’s collateral and apply the proceeds toward repayment of the borrower’s obligations to the Bank. The Bank’s collateral policies are designed to address changes in the value of collateral and the risks and costs relating to foreclosure and liquidation of collateral, and the Bank periodically adjusts the amount it is willing to lend against various types of collateral to reflect these factors. Market conditions, the volume and condition of the borrower’s collateral at the time of liquidation, and other factors could affect the amount of proceeds the Bank is able to realize from liquidating a borrower’s collateral. In addition, the Bank could sell collateral over an extended period of time, rather than liquidating it immediately, and the Bank would have the right to receive principal and interest payments made on the collateral it continued to hold and apply those proceeds toward repayment of the borrower’s obligations to the Bank.

The Bank perfects its security interest in securities collateral by taking delivery of all securities at the time they are pledged. The Bank perfects its security interest in loan collateral by filing a UCC-1 financing statement for each borrower that pledges loans. The Bank may also require delivery of loan collateral under certain conditions (for example, from a newly formed institution or when a borrower's creditworthiness deteriorates below a certain level). In addition, the FHLBank Act provides that any security interest granted to the Bank by any member or member affiliate has priority over the claims and rights of any other party, including any receiver, conservator, trustee, or similar entity that has the rights of a lien creditor, unless these claims and rights would be entitled to priority under otherwise applicable law or are held by bona fide purchasers for value or by parties that have actual perfected security interests.

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

60

other extensions of credit, and certain other borrower obligations and liabilities. The Bank monitors each borrower’s aggregate borrowing capacity and collateral requirements on a daily basis by comparing the institution’s borrowing capacity to its obligations to the Bank.

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

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

The following tables present a summary of the status of the credit outstanding and overall collateral borrowing capacity of the Bank’s member and nonmember borrowers as of December 31, 2015 and 2014. During 2015, the Bank’s internal credit ratings stayed the same or improved for the majority of members and nonmember borrowers.

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

December 31, 2014
	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	254	157	$	38,375	$	166,407	23	%
4-6	85	38	5,746		19,753		29
7-10	10	4	46		71		65
Subtotal	349	199	44,167		186,231		24
CDFIs	5	3	77		92		84
Total	354	202	$	44,244	$	186,323	24	%

(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.

61

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

December 31, 2014
Unused Borrowing Capacity	Number of Members and Nonmembers with Credit Outstanding	Credit Outstanding(1)		Collateral Borrowing Capacity(2)
0% – 10%	10	$	3,178	$	3,331
11% – 25%	7	181		226
26% – 50%	18	11,693		21,584
More than 50%	167	29,192		161,182
Total	202	$	44,244	$	186,323

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

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

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

Securities pledged as collateral are assigned borrowing capacities that reflect the securities’ pricing volatility and market liquidity risks. Securities are delivered to the Bank’s custodian when they are pledged. The Bank prices securities collateral on a daily basis or twice a month, depending on the availability and reliability of external pricing sources. Securities that are normally priced twice a month may be priced more frequently in volatile market conditions. The Bank benchmarks the borrowing capacities for securities collateral to the market on a periodic basis and may review and change the borrowing capacity for any security type at any time. As of December 31, 2015, the borrowing capacities assigned to U.S. Treasury and agency securities ranged from 55% to 98% of their market value. The borrowing capacities assigned to private-label MBS, which must be rated AAA or AA when initially pledged, generally ranged from 55% to 80% of their market value, depending on the underlying collateral (residential mortgage loans, home equity loans, or commercial real estate loans), the rating, and the subordination structure of the respective securities.

The following table presents the securities collateral pledged by all members and by nonmembers with credit outstanding at December 31, 2015 and 2014.

62

Composition of Securities Collateral Pledged by Members and by Nonmembers with Credit Outstanding
(In millions)	2015				2014
Securities Type with Current Credit Ratings	Current Par		Borrowing Capacity		Current Par		Borrowing Capacity
U.S. Treasury (bills, notes, bonds)	$	1,538	$	1,489	$	461	$	472
Agency (notes, subordinated debt, structured notes, indexed amortization notes, and Small Business Administration pools)	3,567		3,478		3,541		3,474
Agency pools and collateralized mortgage obligations	6,765		6,516		8,696		8,379
PLRMBS – publicly registered investment-grade-rated senior tranches	1		1		2		1
Total	$	11,871	$	11,484	$	12,700	$	12,326

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

The Bank may require certain borrowers to deliver pledged loan collateral to the Bank for one or more reasons, including the following: the borrower is a de novo institution (chartered within the last three years), an insurance company, a CDFI, or a housing associate; the Bank is concerned about the borrower’s creditworthiness; or the Bank is concerned about the maintenance of its collateral or the priority of its security interest. With the exception of insurance companies, CDFIs, and housing associates, borrowers required to deliver loan collateral must pledge those loans under a blanket lien with detailed reporting.

As of December 31, 2015, of the loan collateral pledged to the Bank, 34% was pledged by 30 institutions by specific identification, 45% was pledged by 133 institutions under a blanket lien with detailed reporting, and 21% was pledged by 124 institutions under a blanket lien with summary reporting.

The Bank monitors each borrower’s borrowing capacity and collateral requirements on a daily basis. The borrowing capacities for loan collateral reflect the assignedvalue of the collateral and a margin for the costs and risks of liquidation. The Bank reviews the margins for loan collateral regularly and may adjust them at any time as market conditions change.

The Bank assigns a value to loan collateral using one of two methods. For mortgage loans that are reported to the Bank with detailed information on the individual loans, the Bank uses third-party pricing vendors to price all the loans on a quarterly basis. The third-party vendors use proprietary analytical tools to calculate the value of each loan. The vendors model the future performance of each individual loan and generate the monthly cash flows given the current loan characteristics and applying specific market assumptions. The value of each loan is determined based on the present value of those cash flows after being discounted by the current market yields commonly used by buyers of these types of loans. The current market yields are derived by the third-party pricing vendors from prevailing conditions in the secondary market. For mortgage loans pledged under a blanket lien with summary reporting, the Bank establishes a standard market value for each collateral type based on quarterly pricing results.

For each borrower that pledges loan collateral, the Bank conducts loan collateral field reviews once every six months or every one, two, or three years, depending on the risk profile of the borrower and the types of collateral pledged by the borrower. During the borrower's collateral field review, the Bank examines a statistical sample of the

63

borrower's pledged loans to validate loan ownership, confirm the existence of the critical legal documents, identify documentation and servicing deficiencies, and verify eligibility. Based on any loan defects identified in the pool of sample loans, the Bank determines the applicable non-credit secondary market discounts. The Bank also sends the sample loans to a third-party pricing vendor for valuation of the financial and credit-related attributes of the loans. The Bank adjusts the borrower's borrowing capacity for each collateral type in its pledged portfolio based on the pricing of the field review sample loans and the non-credit secondary market discounts identified in the field review.

As of December 31, 2015, the Bank’s maximum borrowing capacities as a percentage of the assigned market value of mortgage loan collateral pledged under a blanket lien with detailed reporting were as follows: 92% for first lien residential mortgage loans, 91% for multifamily mortgage loans, 88% for commercial mortgage loans, and 82% for second lien residential mortgage loans. The maximum borrowing capacity for small business, small agribusiness, and small farm loans was 50% of the unpaid principal balance, although most of these loans are pledged under blanket lien with summary reporting, with a maximum borrowing capacity of 25%. The highest borrowing capacities are available to borrowers that pledge under a blanket lien with detailed reporting because the detailed loan information allows the Bank to assess the value of the collateral more precisely and because additional collateral is pledged under the blanket lien that may not receive borrowing capacity but may be liquidated to repay advances in the event of default. The Bank may review and change the maximum borrowing capacity for any type of loan collateral at any time.

The table below presents the mortgage loan collateral pledged by all members and by nonmembers with credit outstanding at December 31, 2015 and 2014.

Composition of Loan Collateral Pledged by Members and by Nonmembers with Credit Outstanding
(In millions)	2015				2014
Loan Type	Unpaid Principal Balance		Borrowing Capacity		Unpaid Principal Balance		Borrowing Capacity
First lien residential mortgage loans	$	116,745	$	100,667	$	106,467	$	90,942
Second lien residential mortgage loans and home equity lines of credit	25,543		14,328		29,133		14,997
Multifamily mortgage loans	22,716		18,971		20,820		17,366
Commercial mortgage loans	59,347		43,405		54,707		39,144
Loan participations(1)	7,155		5,710		13,141		10,698
Small business, small farm, and small agribusiness loans	3,063		756		3,123		776
Other	3		2		106		74
Total	$	234,572	$	183,839	$	227,497	$	173,997

(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 December 31, 2015 and 2014, the unpaid principal balance of these loans totaled $13 billion and $14 billion, respectively. The Bank reviews and assigns borrowing capacities to subprime mortgage loans as it does for all other types of loan collateral, taking into account the known credit attributes in the pricing of the loans. All advances, including those made to borrowers pledging subprime mortgage loans, are required to be fully collateralized. The Bank limits the amount of borrowing capacity that may be supported by subprime collateral.

MPF Program. Under the MPF Program, the Bank may purchase from members, for its own portfolio, conventional conforming fixed rate mortgage loans under the MPF Original product and FHA-insured or VA-guaranteed mortgage loans under the MPF Government product. In addition, the Bank may facilitate the purchase of

64

conforming fixed rate mortgage loans from members for concurrent sale to Fannie Mae under the MPF Xtra product and of jumbo fixed rate mortgage loans for concurrent sale to Redwood Residential Acquisition Corporation, a subsidiary of Redwood Trust, Inc., a real estate investment trust, under the MPF Direct product. As of December 31, 2015, the Bank had approved ten members as participating financial institutions since renewing its participation in the MPF Program in 2013.

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

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

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

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

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

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

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

The first loss account provided by the Bank is a memorandum account, a record-keeping mechanism the Bank uses to track the amount of potential expected losses for which it is liable on each master commitment (before the participating financial institution's credit enhancement is used to cover losses).

The credit enhancement amount for each master commitment, together with any primary mortgage insurance coverage, is sized to limit the Bank’s credit losses in excess of the first loss account to those that would be expected on an equivalent investment with a long-term credit rating of AA at the time of purchase, as determined by the MPF Program methodology. As required by the AMA regulation, a nationally recognized statistical rating organization (NRSRO) confirms that the MPF Program methodology would provide an analysis of each master commitment that was “comparable to a methodology that the NRSRO would use in determining credit enhancement levels when conducting a rating review of the asset or pool of assets in a securitization transaction.” By requiring credit enhancement in the amount determined by the MPF Program methodology, the Bank expects to have the same probability of incurring credit losses in excess of the first loss account and the participating financial institution's credit enhancement obligation on mortgage loans purchased under any master commitment as an investor would have of incurring credit losses on an equivalent investment with a long-term credit rating of AA.

Before delivering loans for purchase under the MPF Program, each participating financial institution submits data on the individual loans to the FHLBank of Chicago, which calculates the loan level credit enhancement needed. The rating agency model used considers many characteristics, such as loan-to-value ratio, property type, loan purpose, borrower credit scores, level of loan documentation, and loan term, to determine the loan level credit enhancement. The resulting credit enhancement amount for each loan purchased is accumulated under a master commitment to establish a pool level credit enhancement amount for the master commitment.

65

The Bank’s mortgage loan portfolio currently consists of mortgage loans purchased under two MPF products: MPF Original and MPF Plus, which differ from each other in the way the amount of the first loss account is determined, the options available for covering the participating financial institution's credit enhancement obligation, and the fee structure for the credit enhancement fees.

Under MPF Original, the first loss account accumulates over the life of the master commitment. Each month, the outstanding aggregate principal balance of the loans at monthend is multiplied by an agreed-upon percentage (typically 4 basis points per annum), and that amount is added to the first loss account. As credit and special hazard losses are realized that are not covered by the liquidation value of the real property or primary mortgage insurance, they are first charged to the Bank, with a corresponding reduction of the first loss account for that master commitment up to the amount accumulated in the first loss account at that time. Over time, the first loss account may cover the expected credit losses on a master commitment, although losses that are greater than expected or that occur early in the life of the master commitment could exceed the amount accumulated in the first loss account. In that case, the excess losses would be charged next to the member's credit enhancement to the extent available. For each master commitment, the Bank considers the credit performance, credit enhancement levels, and the NRSRO rating equivalent in the determination of its risk-based capital requirements, and the credit performance, collateral protection, and availability of credit enhancement in the evaluation of appropriate loan loss allowances.

The aggregate first loss account for all participating financial institutions for MPF Original totaled $1 million for the years ended December 31, 2015, 2014, and 2013.

The participating financial institution’s credit enhancement obligation under MPF Original must be collateralized by the participating financial institution in the same way that advances from the Bank are collateralized, as described under “Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Credit Risk – Advances.”For taking on the credit enhancement obligation, the Bank pays the participating financial institution a monthly credit enhancement fee, typically 10 basis points per annum, calculated on the unpaid principal balance of the loans in the master commitment. The Bank charges this amount to interest income, effectively reducing the overall yield earned on the loans purchased by the Bank. The Bank reduced net interest income for credit enhancement fees totaling $0.1 million in 2015, $0.1 million in 2014, and $0.1 million in 2013 for MPF Original loans.

Under MPF Plus, the first loss account is equal to a specified percentage of the scheduled principal balance of loans in the pool as of the sale date of each loan. The percentage of the first loss account was negotiated for each master commitment. The participating financial institution provides credit enhancement for loans sold to the Bank under MPF Plus by maintaining a supplemental mortgage insurance (SMI) policy that equals its credit enhancement obligation. The amount of required credit enhancement is recalculated annually. Because the MPF Plus product provides that the requirement may only be reduced (and not increased), the SMI coverage could be reduced as a result of the annual recalculation of the required credit enhancement.

Typically, the amount of the first loss account is equal to the deductible on the SMI policy. However, the SMI policy does not cover special hazard losses or credit losses on loans with a loan-to-value ratio below a certain percentage (usually 50%). As a result, credit losses on loans not covered by the SMI policy and special hazard losses may reduce the amount of the first loss account without reducing the deductible on the SMI policy. If the deductible on the SMI policy has not been met and the pool incurs credit losses that exceed the amount of the first loss account, those losses will be allocated to the Bank until the SMI policy deductible has been met. Once the deductible has been met, the SMI policy will cover credit losses on loans covered by the policy up to the maximum loss coverage provided by the policy. If the SMI provider's claims-paying ability rating falls below a specified level, the participating financial institution has six months to either replace the SMI policy or assume the credit enhancement obligation and fully collateralize the obligation; otherwise the Bank may choose not to pay the participating financial institution its performance-based credit enhancement fee. Finally, the Bank will absorb credit losses that exceed the maximum loss coverage of the SMI policy (or the substitute credit enhancement provided by the participating financial institution), all credit losses on loans not covered by the policy, and all special hazard losses, if any.

66

Three of the six master commitments (totaling $0.5 billion) continue to rely on SMI coverage for a portion of their credit enhancement obligation, which is provided by two SMI companies and totals $11.6 million. The claims-paying ability ratings of these two SMI companies are below the AA rating required for the program; both are rated BB+. The participating financial institutions associated with the relevant master commitments have chosen to forego their performance-based credit enhancement fees rather than assume the credit enhancement obligation. The largest of the commitments (totaling$0.4 billion) did not achieve AA credit equivalency solely because the SMI company was rated BB+.

At December 31, 2015, the deductibles under the SMI policies totaled approximately 32% of the participating financial institutions’ credit enhancement obligation on MPF Plus loans. At December 31, 2014, the deductibles under the SMI policies totaled approximately 28% of the participating financial institutions’ credit enhancement obligation on MPF Plus loans. None of the SMI was provided by participating financial institutions or their affiliates at December 31, 2015 and 2014.

The first loss account for MPF Plus for the years ended December 31, 2015, 2014, and 2013 was as follows:

First Loss Account for MPF Plus
(In millions)	2015			2014		2013
Balance, beginning of the period	$	10		$	10	$	11
Losses incurred in excess of liquidation value of the real property securing the loan and primary mortgage insurance	(1		)	—		(1		)
Balance, end of the period	$	9		$	10	$	10

Under MPF Plus, the Bank pays the participating financial institution a credit enhancement fee that is divided into a fixed credit enhancement fee and a performance-based credit enhancement fee. The fixed credit enhancement fee is paid each month beginning with the month after each loan delivery. The performance-based credit enhancement fee accrues monthly beginning with the month after each loan delivery and is paid to the member beginning 12 months later. Performance-based credit enhancement fees payable to the member are reduced by an amount equal to loan losses, up to the full amount of the first loss account established for each master commitment. If losses up to the full amount of the first loss account, net of previously withheld performance-based credit enhancement fees, exceed the credit enhancement fee payable in any period, the excess will be carried forward and applied against future performance-based credit enhancement fees. Because loans in the MPF Plus program have experienced a high rate of voluntary prepayments, causing the current balance of each respective master commitment to be significantly reduced since purchase, it is possible that the remaining loans will not generate enough performance-based credit enhancement fees over the remaining life of each master commitment to enable the Bank to collect performance-based credit enhancement fees equal to the full amount of the first loss account established for each MPF Plus master commitment. The amount of performance-based credit enhancement fees expected to be accrued in the future is uncertain and highly dependent on the future rate of principal prepayments of the underlying mortgage loans. The Bank reduced net interest income for credit enhancement fees totaling $0.3 million in 2015, $0.4 million in 2014, and $0.6 million in 2013 for MPF Plus loans. The Bank’s liability for performance-based credit enhancement fees for MPF Plus was $0.1 million and $0.1 million at December 31, 2015 and 2014, respectively.

The Bank provides for a loss allowance, net of the credit enhancement, for any impaired loans and for the estimates of other probable losses, and the Bank has policies and procedures in place to monitor the credit risk. The Bank bases the allowance for credit losses for the Bank’s mortgage loan portfolio on its estimate of probable credit losses in the portfolio as of the Statements of Condition date.

Effective January 1, 2015, the Bank implemented the accounting requirements of regulatory Advisory Bulletin 2012-02. As a result, for any mortgage loans that are more than 180 days past due and that have any outstanding balance in excess of the fair value of the property, less cost to sell, this excess is charged off as a loss by the end of

67

the month in which the applicable time period elapses. Likewise, when a borrower is in bankruptcy, loans are written down to the fair value of the collateral, less cost to sell, in general within 60 days of receipt of the notification of filing from the bankruptcy court, unless it can be clearly demonstrated and documented that repayment is likely to occur. As a result of these charge-offs during 2015, the corresponding Allowance for Credit Losses on MPF Loans, which had previously provided for most of these expected losses, was reduced accordingly.

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 or automated valuation models based on property characteristics as well as 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 collectively evaluated for impairment considers loan pool-specific attribute data, applies estimated loss severities, and considers the associated credit enhancements to determine the Bank's best estimate of probable incurred losses. The analysis includes estimating projected cash flows that the Bank is likely to collect based on an assessment of all available information, including prepayment speeds, default rates, and loss severity of the mortgage loans based on underlying loan-level borrower and loan characteristics; expected housing price changes; and interest rate assumptions. In performing a detailed cash flow analysis, the Bank develops its best estimate of the cash flows expected to be collected using a third-party model to project prepayments, default rates, and loss severities based on borrower characteristics and the particular attributes of the mortgage loans, in conjunction with assumptions related primarily to future changes in housing prices and interest rates. The assumptions used as inputs to the model, including the forecast of future housing price changes, are consistent with assumptions used for the Bank's evaluation of its PLRMBS for OTTI.

The Bank performs periodic reviews of its mortgage loan portfolio to identify the probable credit losses in the portfolio and to determine the likelihood of collection of the loans in the portfolio. The overall allowance is determined by an analysis that includes consideration of observable data such as delinquency statistics, past performance, current performance, loan portfolio characteristics, collateral valuations, industry data, collectability of credit enhancements from members or from mortgage insurers, and prevailing economic conditions, taking into account the credit enhancement provided by the member under the terms of each master commitment. The allowance for credit losses on the mortgage loan portfolio for the years ended December 31, 2015, 2014, and 2013, was as follows:

Allowance for Credit Losses on Mortgage Loan Portfolio
(Dollars in millions)	2015			2014			2013
Balance, beginning of the period	$	1		$	2		$	3
(Charge-offs)/recoveries	(2		)	(1		)	—
Provision for/(reversal of) credit losses	1			—			(1		)
Balance, end of the period	$	—		$	1		$	2
Ratio of net charge-offs during the period to average loans outstanding during the period	(0.24		)%	(0.05		)%	(0.07		)%

68

The decline in the estimated allowance for credit losses during 2015 is primarily due to higher charge-offs resulting from the Bank’s implementation of the charge-off provisions of Advisory Bulletin 2012-02. (See “Item 8. Financial Statements and Supplementary Data – Note 2 – Recently Issued and Adopted Accounting Guidance” for further information.)

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

(In millions)	2015		2014
Allowance for credit losses, end of the period:
Individually evaluated for impairment	$	—	$	1
Total allowance for credit losses	$	—	$	1
Recorded investment, end of the period:
Individually evaluated for impairment	$	14	$	20
Collectively evaluated for impairment	644		692
Total recorded investment	$	658	$	712

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

	2015						2014
(In millions)	Recorded Investment		Unpaid Principal Balance		Related Allowance		Recorded Investment		Unpaid Principal Balance		Related Allowance
With no related allowance	$	13	$	13	$	—	$	14	$	14	$	—
With an allowance	1		1		—		6		6		1
Total	$	14	$	14	$	—	$	20	$	20	$	1

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

(In millions)	2015		2014
With no related allowance	$	15	$	17
With an allowance	1		7
Total	$	16	$	24

For the three MPF Plus master commitments that still rely on SMI for a portion of their credit enhancement obligation, the external ratings of the SMI providers have declined since the loans were purchased. Because the relevant participating financial institutions have elected not to assume the credit enhancement obligations as their own, the Bank has discontinued paying the associated performance-based credit enhancement fees, in accordance with the terms of the applicable agreements. Formerly, upon a realized loss, the Bank would have withheld credit enhancement fees up to the amount of the SMI deductible to offset the loss. Because these fees are no longer owed to the participating financial institutions, they cannot be withheld to offset a loss. Instead, the Bank is accounting for the performance-based credit enhancement fees as income and has now begun to directly recognize the potential loan losses in the related loan loss allowance account.

For more information on how the Bank determines its estimated allowance for credit losses on mortgage loans, see “Management's Discussion and Analysis of Financial Condition and Results of Operations – Critical Accounting Policies and Estimates – Allowance for Credit Losses – Mortgage Loans Acquired Under the MPF Program” and “Item 8. Financial Statements and Supplementary Data – Note 10 – Allowance for Credit Losses.”

69

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.

The following table presents information on delinquent mortgage loans as of December 31, 2015 and 2014.

Mortgage Loan Delinquencies
	2015			2014
(Dollars in millions)	Recorded Investment(1)			Recorded Investment(1)
30 – 59 days delinquent	$	10		$	12
60 – 89 days delinquent	5			5
90 days or more delinquent	18			22
Total past due	33			39
Total current loans	625			673
Total mortgage loans	$	658		$	712
In process of foreclosure, included above(2)	$	7		$	11
Nonaccrual loans	$	18		$	22
Loans past due 90 days or more and still accruing interest	$	—		$	—
Serious delinquencies as a percentage of total mortgage loans outstanding(3)	2.76		%	3.12		%

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

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

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

For 2015, 2014, and 2013, the interest on nonaccrual loans that was contractually due and recognized in income was as follows:

Interest on Nonaccrual Loans
(In millions)	2015		2014		2013
Interest contractually due on nonaccrual loans during the period	$	1	$	1	$	1
Interest recognized in income for nonaccrual loans during the period	—		—		—
Shortfall	$	1	$	1	$	1

Delinquencies amounted to 5.05% of the total loans in the Bank’s portfolio as of December 31, 2015, and 5.54% of the total loans in the Bank’s portfolio as of December 31, 2014. The decline in the delinquency percentage was due to the purchase of new loans in 2015 as well as declining delinquencies during 2015. The weighted average age of the Bank’s MPF portfolio was 126 months as of December 31, 2015, and 135 months as of December 31, 2014.

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

70

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

The recorded investment of the Bank’s nonperforming MPFloans classified as TDRs totaled $3.3 million as of December 31, 2015, and $2.3 million as of December 31, 2014.

At December 31, 2015, the Bank’s other assets included $2.0 million of REO resulting from the foreclosure of 21 mortgage loans held by the Bank. At December 31, 2014, the Bank’s other assets included $2.5 million of REO resulting from the foreclosure of 23 mortgage loans held by the Bank.

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

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

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

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

71

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

72

(In millions)
December 31, 2014
	Carrying Value
	Credit Rating(1)
Investment Type	AAA		AA		A		BBB		Below Investment Grade		Unrated		Total
Non-MBS
Housing finance agency bonds:
CalHFA bonds	$	—	$	—	$	303	$	25	$	—	$	—	$	328
GSEs:
FFCB bonds	—		3,513		—		—		—		—		3,513
Total non-MBS	—		3,513		303		25		—		—		3,841
MBS:
Other U.S. obligations:
Ginnie Mae	—		1,524		—		—		—		—		1,524
GSEs:
Freddie Mac	—		4,517		—		—		—		—		4,517
Fannie Mae(2)	—		5,282		19		—		12		—		5,313
Total GSEs	—		9,799		19		—		12		—		9,830
PLRMBS:
Prime	—		—		3		384		1,336		2		1,725
Alt-A, option ARM	—		—		—		—		1,079		—		1,079
Alt-A, other	10		1		76		187		5,171		2		5,447
Total PLRMBS	10		1		79		571		7,586		4		8,251
Total MBS	10		11,324		98		571		7,598		4		19,605
Total securities	10		14,837		401		596		7,598		4		23,446
Securities purchased under agreements to resell	—		1,000		—		—		—		—		1,000
Federal funds sold(3)	—		3,528		3,929		46		—		—		7,503
Total investments	$	10	$	19,365	$	4,330	$	642	$	7,598	$	4	$	31,949

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

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

(3) Includes $300 million at December 31, 2014, in Federal funds sold to a member counterparty determined by the Bank to have an internal credit rating equivalent to an AA+ rating.

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

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

Bank policies set forth the capital and creditworthiness requirements for member and nonmember counterparties for unsecured credit. All Federal funds counterparties (members and nonmembers) must be federally insured financial institutions or domestic branches of foreign commercial banks. In addition, for any unsecured credit line, a member counterparty must have at least $100 million in Tier 1 capital (as defined by the applicable regulatory agency) or tangible capital and a nonmember must have at least $250 million in Tier 1 capital (as defined by the applicable regulatory agency) or tangible capital. The general unsecured credit policy limits are as follows:

73

Unsecured Credit Policy Limits
		Unsecured Credit Limit Amount (Lower of Percentage of Bank Capital or Percentage of Counterparty Capital)
	Long-Term Credit Rating(1)	Maximum Percentage Limit for Outstanding Term(2)		Maximum Percentage Limit for Total Outstanding		Maximum Investment Term (Months)
Member counterparty	AAA	15	%	30	%	3
	AA	14		28		3
	A	9		18		3
	BBB	—		6		Overnight
Nonmember counterparty	AAA	15		20		3
	AA	14		18		3
	A	9		12		3

(1) Long-term credit ratings are based on the lowest of Moody’s, Standard & Poor's, or comparable Fitch ratings. The Bank also uses other similar standards, such as the Bank’s internal credit quality rating, to determine maximum limits to members and nonmembers. If a member is not rated by an NRSRO, the Bank will determine the applicable credit rating by using the Bank’s credit quality rating and may provide overnight unsecured credit to that member.

(2) Term limit applies to unsecured extensions of credit excluding Federal funds transactions with a maturity of one day or less and Federal funds subject to a continuing contract.

The Bank’s unsecured investment credit limits and terms for member counterparties may be less restrictive than for nonmember counterparties because the Bank has access to more information about members to assist in evaluating the member counterparty credit risk.

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

Finance Agency regulations limit the amount of unsecured credit that an individual FHLBank may extend to a single counterparty. This limit is calculated with reference to a percentage of either the FHLBank’s or the counterparty’s capital and to the counterparty’s overall credit rating. Under these regulations, the lesser of the FHLBank’s total regulatory capital or the counterparty’s Tier 1 capital is multiplied by a percentage specified in the regulation. The percentages used to determine the maximum amount of term extensions of unsecured credit range from 1% to 15%, depending on the counterparty’s overall credit rating. Term extensions of unsecured credit include on-balance sheet transactions, off-balance sheet commitments, and derivative transactions, but exclude overnight Federal funds sales, even if subject to a continuing contract. (See “Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Derivative Counterparties” for additional information related to derivatives exposure.)

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

Under Finance Agency regulations, the total amount of unsecured credit that an FHLBank may extend to a group of affiliated counterparties for term extensions of unsecured credit and overnight Federal funds sales, combined, may

74

not exceed 30% of the FHLBank’s total capital. These limits on affiliated counterparty groups are in addition to the limits on extensions of unsecured credit applicable to any single counterparty within the affiliated group.

As of December 31, 2015, the Bank’s unsecured investment credit exposure to U.S. branches and agency offices of foreign commercial banks was limited to Federal funds sold, which represented 72% of the Bank’s total unsecured investment credit exposure in Federal funds sold.

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 December 31, 2015, 65% 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)
December 31, 2015
	Carrying Value(1)
	Credit Rating(2)
Domicile of Counterparty	AA		A		BBB		Total
Domestic	$	924	$	—	$	46	$	970
U.S. subsidiaries of foreign commercial banks	—		344		—		344
Total domestic and U.S. subsidiaries of foreign commercial banks	924		344		46		1,314
U.S. branches and agency offices of foreign commercial banks:
Australia	1,134		—		—		1,134
Canada	—		622		—		622
Finland	934		—		—		934
Netherlands	—		622		—		622
Total U.S. branches and agency offices of foreign commercial banks	2,068		1,244		—		3,312
Total unsecured credit exposure	$	2,992	$	1,588	$	46	$	4,626

(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 December 31, 2015.

(2) Does not reflect changes in ratings, outlook, or watch status occurring after December 31, 2015. These ratings represent the lowest rating available for each unsecured investment owned by the Bank, based on the ratings provided by Moody’s, Standard & Poor’s, or comparable Fitch ratings. The Bank’s internal rating may differ from this rating.

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.

75

Contractual Maturity of Unsecured Investment Credit Exposure by Domicile of Counterparty
(In millions)
December 31, 2015
	Carrying Value(1)
Domicile of Counterparty	Overnight		Due 2 Days Through 30 Days		Total
Domestic	$	970	$	—	$	970
U.S. subsidiaries of foreign commercial banks	344		—		344
Total domestic and U.S. subsidiaries of foreign commercial banks	1,314		—		1,314
U.S. branches and agency offices of foreign commercial banks:
Australia	408		726		1,134
Canada	156		466		622
Finland	208		726		934
Netherlands	156		466		622
Total U.S. branches and agency offices of foreign commercial banks	928		2,384		3,312
Total unsecured credit exposure	$	2,242	$	2,384	$	4,626

(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 December 31, 2015.

The Bank’s investments may also include housing finance agency bonds issued by housing finance agencies located in Arizona, California, and Nevada, the three states that make up the Bank’s district. These bonds are mortgage revenue bonds (federally taxable), are collateralized by pools of first lien residential mortgage loans, and are credit-enhanced by bond insurance. The bonds held by the Bank are issued by the California Housing Finance Agency (CalHFA) and insured by either Ambac Assurance Corporation (Ambac), National Public Financial Guarantee (formerly MBIA Insurance Corporation), or Assured Guaranty Municipal Corporation (formerly Financial Security Assurance Incorporated). At December 31, 2015, all of the bonds were rated at least A by Moody’s or Standard & Poor’s.

For the Bank’s investments in housing finance agency bonds, which were issued by CalHFA, the gross unrealized losses were mainly due to an illiquid market, credit concerns regarding the underlying mortgage collateral, and credit concerns regarding the monoline insurance providers, causing these investments to be valued at a discount to their acquisition cost. The Bank independently modeled cash flows for the underlying collateral, using assumptions for default rates and loss severity that a market participant would deem reasonable, and concluded that the available credit support within the CalHFA structure more than offset the projected underlying collateral losses. The Bank determined that, as of December 31, 2015, all of the gross unrealized losses on the CalHFA bonds are temporary because the underlying collateral and credit enhancements were sufficient to protect the Bank from losses. As a result, the Bank expects to recover the entire amortized cost basis of these securities. If conditions in the housing and mortgage markets and general business and economic conditions deteriorate, the fair value of the CalHFA bonds may decline further and the Bank may experience OTTI in future periods.

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

agency residential MBS, which are backed by Fannie Mae, Freddie Mac, or Ginnie Mae. Some of the PLRMBS were issued by and/or purchased from members, former members, or their affiliates. The Bank has investment credit limits and terms for these investments that do not differ for members and nonmembers. Regulatory policy limits total MBS investments to three times the Bank’s capital at the time of purchase. At December 31, 2015, the Bank’s MBS portfolio was 297% of Bank capital (as determined in accordance with regulations governing the operations of the FHLBanks). The Bank has not purchased any PLRMBS since the first quarter of 2008.

76

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

At December 31, 2015, PLRMBS representing 34% of the amortized cost of the Bank’s MBS portfolio were labeled Alt-A by the issuer. These PLRMBS are generally collateralized by mortgage loans that are considered less risky than subprime loans but more risky than prime loans. These loans are generally made to borrowers with credit scores that are high enough to qualify for a prime mortgage loan, but the loans may not meet standard underwriting guidelines for documentation requirements, property type, or loan-to-value ratios.

As of December 31, 2015, the Bank’s investment in MBS had gross unrealized losses totaling $268 million, 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 discounts to their acquisition cost.

For its agency MBS, the Bank expects to recover the entire amortized cost basis of these securities because the Bank determined that the strength of the issuers’ guarantees through direct obligations or support from the U.S. government is sufficient to protect the Bank from losses. As a result, the Bank determined that, as of December 31, 2015, all of the gross unrealized losses on its agency MBS are temporary.

In 2009, the FHLBanks formed the OTTI Governance Committee (OTTI Committee), which consists of one representative from each FHLBank. The OTTI Committee is responsible for reviewing and approving the key modeling assumptions, inputs, and methodologies to be used by the FHLBanks to generate the cash flow projections used in analyzing credit losses and determining OTTI for all PLRMBS and for certain home equity loan investments, including home equity asset-backed securities. Certain private-label MBS backed by multifamily and commercial real estate loans, home equity lines of credit, and manufactured housing loans are outside the scope of the FHLBanks' OTTI Committee and are analyzed for OTTI by each individual FHLBank owning securities backed by such collateral. The Bank does not have any home equity loan investments or any private-label MBS backed by multifamily or commercial real estate loans, home equity lines of credit, or manufactured housing loans.

The Bank’s evaluation of its PLRMBS for OTTI includes estimating projected cash flows that the Bank is likely to collect based on an assessment of all available information about each security on an individual basis, the structure of the security, and certain assumptions approved by the FHLBanks' OTTI Committee and by the Bank. These assumptions may include the remaining payment terms for the security, prepayment speeds, default rates, loss severity on the collateral supporting the security based on underlying loan-level borrower and loan characteristics, expected housing price changes, and interest rate assumptions. In performing a detailed cash flow analysis, the Bank develops its best estimate of the cash flows expected to be collected. If this estimate results in a present value of expected cash flows (discounted at the security's effective yield) that is less than the amortized cost basis of the security, the security is considered to have incurred a credit-related OTTI.

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 December 31, 2015, using two third-party models. The first model projects prepayments, default rates, and loss severities on the underlying collateral based on borrower characteristics and the particular attributes of the loans underlying the Bank’s securities, in conjunction with assumptions related primarily to future changes in housing prices and interest rates. A significant input to the first model is the forecast of future housing price changes for the relevant states and core-based statistical areas (CBSAs), which are based on an assessment of the regional housing markets. CBSA refers collectively to metropolitan and micropolitan statistical areas as defined by the U.S. Office of Management and Budget. As currently defined, a CBSA must contain at least one urban area with a population of 10,000 or more people.

The month-by-month projections of future loan performance derived from the first model, which reflect projected prepayments, default rates, and loss severities, are then input into a second model that allocates the projected loan

77

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

The FHLBanks’ OTTI Committee developed a short-term housing price forecast with projected changes ranging from a decrease of 3.0% to an increase of 8.0% over the 12-month period beginning October 1, 2015. For the vast majority of markets, the projected short-term housing price changes range from an increase of 2.0% to an increase of 5.0%. Thereafter, a unique path is projected for each geographic area based on an internally developed framework derived from historical data.

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

The following table shows the base case scenario and what the credit-related OTTI loss would have been under the more adverse housing price scenario at December 31, 2015:

OTTI Analysis Under Base Case and Adverse Case Scenarios
	Housing Price Scenario
	Base Case						Adverse Case
(Dollars in millions)	Number of Securities	Unpaid Principal Balance		Credit- Related OTTI(1)			Number of Securities	Unpaid Principal Balance		Credit- Related OTTI(1)
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
Prime	2	$	80	$	(1	)	2	$	80	$	(1	)
Alt-A, option ARM	1	12		—			2	120		—
Alt-A, other	12	364		(2		)	21	741		(5		)
Total	15	$	456	$	(3	)	25	$	941	$	(6	)

(1) Amounts are for the three months ended December 31, 2015.

For more information on the Bank’s OTTI analysis and reviews, see “Item 8. Financial Statements and Supplementary Data – Note 7 – Other-Than-Temporary Impairment Analysis.”

The following table presents the ratings of the Bank’s PLRMBS as of December 31, 2015, by collateral type at origination and by year of securitization.

78

Unpaid Principal Balance of PLRMBS by Year of Securitization and Credit Rating
(In millions)
December 31, 2015
	Unpaid Principal Balance
	Credit Rating(1)
Collateral Type at Origination and Year of Securitization	AAA		AA		A		BBB		Below Investment Grade		Unrated		Total
Prime
2008	$	—	$	—	$	—	$	—	$	160	$	—	$	160
2007	—		—		—		—		394		—		394
2006	—		—		—		—		54		—		54
2005	—		—		—		21		51		—		72
2004 and earlier	—		—		2		345		466		2		815
Total Prime	—		—		2		366		1,125		2		1,495
Alt-A, option ARM
2007	—		—		—		—		920		—		920
2006	—		—		—		—		163		—		163
2005	—		—		—		—		187		—		187
Total Alt-A, option ARM	—		—		—		—		1,270		—		1,270
Alt-A, other
2008	—		—		—		—		113		—		113
2007	—		—		—		—		1,417		—		1,417
2006	—		—		12		—		577		—		589
2005	—		8		2		—		2,322		—		2,332
2004 and earlier	8		2		30		151		473		3		667
Total Alt-A, other	8		10		44		151		4,902		3		5,118
Total par value	$	8	$	10	$	46	$	517	$	7,297	$	5	$	7,883

(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 December 31, 2015, by collateral type at origination and by year of securitization.

79

Unpaid Principal Balance of Other-Than-Temporarily Impaired PLRMBS by Year of Securitization and Credit Rating
(In millions)
December 31, 2015
			Unpaid Principal Balance
			Credit Rating(1)
Collateral Type at Origination and Year of Securitization	AA		A		BBB		Below Investment Grade		Total
Prime
2008	$	—	$	—	$	—	$	147	$	147
2007	—		—		—		340		340
2006	—		—		—		24		24
2005	—		—		—		22		22
2004 and earlier	—		—		—		58		58
Total Prime	—		—		—		591		591
Alt-A, option ARM
2007	—		—		—		920		920
2006	—		—		—		163		163
2005	—		—		—		186		186
Total Alt-A, option ARM	—		—		—		1,269		1,269
Alt-A, other
2008	—		—		—		113		113
2007	—		—		—		1,366		1,366
2006	—		12		—		577		589
2005	—		—		—		2,315		2,315
2004 and earlier	1		2		20		229		252
Total Alt-A, other	1		14		20		4,600		4,635
Total par value	$	1	$	14	$	20	$	6,460	$	6,495

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

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

80

PLRMBS Credit Characteristics
(Dollars in millions)
December 31, 2015
																Underlying Collateral Performance and Credit Enhancement Statistics
Collateral Type at Origination and Year of Securitization	Amortized Cost		Gross Unrealized Losses(2)			Estimated Fair Value		Total OTTI(1)			Non- Credit- Related OTTI(1)		Credit- Related OTTI(1)			Weighted Average 60+ Days Collateral Delinquency Rate		Original Weighted Average Credit Support		Current Weighted Average Credit Support
Prime
2008	$	138	$	—		$	147	$	—		$	—	$	—		12.48	%	30.00	%	13.07	%
2007	325		(6		)	327		(5		)	—		(5		)	12.58		22.47		3.11
2006	47		—			49		(1		)	—		(1		)	14.78		12.75		3.87
2005	70		(2		)	70		—			—		—			10.19		11.86		15.10
2004 and earlier	814		(20		)	796		—			—		—			6.74		4.44		12.57
Total Prime	1,394		(28		)	1,389		(6		)	—		(6		)	9.35		12.59		9.94
Alt-A, option ARM
2007	754		(29		)	745		—			—		—			23.61		44.18		15.24
2006	118		(8		)	125		(1		)	—		(1		)	22.65		44.90		6.61
2005	84		(3		)	110		(1		)	1		—			18.44		22.74		4.85
Total Alt-A, option ARM	956		(40		)	980		(2		)	1		(1		)	22.72		41.12		12.60
Alt-A, other
2008	110		(10		)	100		—			—		—			8.80		31.80		23.41
2007	1,230		(53		)	1,213		(12		)	8		(4		)	18.05		27.12		11.01
2006	443		(1		)	496		(3		)	2		(1		)	18.60		18.42		1.42
2005	2,076		(83		)	2,044		(8		)	5		(3		)	14.78		14.25		5.36
2004 and earlier	663		(18		)	653		—			—		—			10.97		8.13		17.47
Total Alt-A, other	4,522		(165		)	4,506		(23		)	15		(8		)	15.50		17.88		8.45
Total	$	6,872	$	(233	)	$	6,875	$	(31	)	$	16	$	(15	)	15.50	%	20.62	%	9.40	%

(1) Amounts are for the twelve months ended December 31, 2015.

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

balance of Prime, Alt-A, option ARM, and Alt-A, other in a gross unrealized loss position was $893 million, $550 million, and $2.6 billion, respectively, at December 31, 2015, and the amortized cost of Prime, Alt-A, option ARM, and Alt-A, other in a gross unrealized loss position was $895 million, $474 million, and $2.4 billion, respectively, at December 31, 2015.

The following table presents a summary of the significant inputs used to determine potential OTTI credit losses in the Bank’s PLRMBS portfolio at December 31, 2015.

81

Significant Inputs to OTTI Credit Analysis for All PLRMBS
December 31, 2015
	Significant Inputs			Current
	Prepayment Rates	Default Rates	Loss Severities	Credit Enhancement
Year of Securitization	Weighted Average %	Weighted Average %	Weighted Average %	Weighted Average %
Prime
2008	12.7	11.5	26.1	17.4
2007	9.5	4.7	21.4	9.7
2006	10.8	9.0	25.4	11.3
2005	15.7	5.6	24.8	12.6
2004 and earlier	16.9	4.0	21.0	11.9
Total Prime	15.2	6.1	22.5	13.1
Alt-A, option ARM
2007	6.5	32.9	38.5	15.2
2006	5.9	35.5	38.7	6.6
2005	7.1	22.9	34.8	4.9
Total Alt-A, option ARM	6.5	31.8	38.0	12.6
Alt-A, other
2007	11.0	24.0	36.0	6.3
2006	10.7	22.1	38.8	8.4
2005	13.3	15.3	35.8	5.6
2004 and earlier	14.5	11.3	31.1	17.7
Total Alt-A, other	12.4	18.1	35.7	7.9
Total	11.9	18.6	34.2	9.4

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

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

82

Fair Value of PLRMBS as a Percentage of Unpaid Principal Balance by Year of Securitization
Collateral Type at Origination and Year of Securitization	December 31, 2015		September 30, 2015		June 30, 2015		March 31, 2015		December 31, 2014
Prime
2008	92.09	%	93.00	%	93.09	%	93.52	%	92.36	%
2007	82.96		83.03		83.73		83.70		83.38
2006	91.36		92.03		92.65		92.10		91.51
2005	97.28		97.61		96.90		97.64		97.78
2004 and earlier	97.70		97.74		98.18		98.25		98.24
Weighted average of all Prime	92.96		93.21		93.68		93.85		93.70
Alt-A, option ARM
2007	80.96		81.13		82.19		81.63		80.82
2006	76.70		77.49		78.54		79.33		79.83
2005	58.93		59.24		60.14		58.98		56.16
Weighted average of all Alt-A, option ARM	77.17		77.37		78.30		77.73		76.72
Alt-A, other
2008	88.74		88.74		89.64		92.47		96.33
2007	85.54		85.94		86.12		87.12		86.85
2006	84.18		84.23		84.75		84.85		84.45
2005	87.65		88.09		88.35		88.24		88.29
2004 and earlier	97.87		97.98		98.34		98.52		98.31
Weighted average of all Alt-A, other	88.02		88.36		88.67		88.99		88.95
Weighted average of all PLRMBS	87.21	%	87.54	%	88.02	%	88.21	%	88.03	%

The Bank determined that, as of December 31, 2015, the gross unrealized losses on the PLRMBS that have not had an OTTI loss are primarily due to illiquidity in the PLRMBS 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 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 December 31, 2015, all of the gross unrealized losses on these securities are temporary. The Bank will continue to monitor and analyze the performance of these securities to assess the likelihood of the recovery of the entire amortized cost basis of these securities as of each balance sheet date.

If conditions in the housing and mortgage markets and general business and economic conditions deteriorate, the fair value of MBS may decline further and the Bank may experience OTTI of additional PLRMBS in future periods, as well as further impairment of PLRMBS that were identified as other-than-temporarily impaired as of December 31, 2015. Additional future credit-related OTTI losses could adversely affect the Bank’s earnings and retained earnings and its ability to pay dividends and repurchase capital stock. The Bank cannot predict whether it will be required to record additional credit-related OTTI losses on its PLRMBS in the future.

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

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

83

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

The Bank is subject to the risk of potential nonperformance by the counterparties to derivative agreements. Unless the collateral delivery threshold is set at zero, the amount of net unsecured credit exposure that is permissible with respect to each counterparty depends on the credit rating of that counterparty. A counterparty generally must deliver collateral to the Bank if the total market value of the Bank’s exposure to that counterparty rises above a specific trigger point. Currently, all of the Bank’s active uncleared derivative counterparties have a zero threshold. As a result of these risk mitigation initiatives, the Bank does not anticipate any credit losses on its uncleared derivative transactions with counterparties as of December 31, 2015.

Cleared Derivatives. The Bank is subject to nonperformance by the derivatives clearing organizations (clearinghouses) and clearing agents. The requirement that the Bank post initial and variation margin through the clearing agent, to the clearinghouse, exposes the Bank to institutional credit risk in the event that the clearing agent or the clearinghouse fails to meet its obligations. However, the use of cleared derivatives mitigates the Bank’s overall credit risk exposure because a central counterparty is substituted for individual counterparties and variation margin is posted daily for changes in the value of cleared derivatives through a clearing agent. The Bank does not anticipate any credit losses on its cleared derivatives as of December 31, 2015.

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

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

84

December 31, 2014
Counterparty Credit Rating(1)	Notional Amount		Net Fair Value of Derivatives Before Collateral			Cash Collateral Pledged to/ (from) Counterparty			Non-cash Collateral Pledged to/ (from) Counterparty		Net Credit Exposure to Counterparties
Asset positions with credit exposure:
Uncleared derivatives
AA	$	148	$	1		$	—		$	—	$	1
A	7,439		166			(164		)	—		2
Cleared derivatives(2)	10,629		79			(65		)	—		14
Liability positions with credit exposure:
Uncleared derivatives
A	50		—			—			—		—
Cleared derivatives(2)	14,290		(10		)	27			—		17
Total derivative positions with credit exposure to nonmember counterparties	32,556		$	236		$	(202	)	$	—	$	34
Derivative positions without credit exposure	29,741
Total notional	$	62,297

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

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

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

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

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

Market Risk

Market risk is defined as the risk to the Bank's market value and 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) as a result of movements in market interest rates, interest rate spreads, interest rate volatility, and other market factors (market rate factors). This profile reflects the Bank’s objective of maintaining a conservative asset-liability mix and its commitment to providing value to its members through products and dividends without subjecting their investments in Bank capital stock to significant market risk.

The Bank’s Risk Management Policy includes a market risk management objective aimed at maintaining a relatively low adverse exposure of the 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 market rate factors. 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 adjusted return on capital sensitivity analyses. The Risk Management Policy approved by the Bank’s Board of Directors establishes market risk policy limits and market risk measurement standards at the total Bank level as well as at the business segment level. Additional guidelines approved by the Bank’s Enterprise Risk Committee apply to the Bank’s two business segments, the advances-related business and the mortgage-related business. These guidelines provide limits that are monitored at the segment level and are consistent with the Bank’s policy limits. Market risk is managed for each business segment on a daily basis, as discussed below in “Segment Market Risk.” Compliance with Bank policies

85

and guidelines is reviewed by the Bank’s Board of Directors on a regular basis, along with a corrective action plan if applicable.

Total Bank Market Risk

Market Value of Capital Sensitivity 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 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 market 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 may 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 private-label residential mortgage-backed securities (PLRMBS) for which the Bank expects loss of principal in future periods, the par value 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 –4.0% 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 –6.0% 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 December 31, 2015.

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 mortgage prepayment assumptions. The Bank also compares the mortgage prepayment assumptions in the third-party model to other sources, including actual mortgage prepayment history.

The table below presents the sensitivity of the market value of capital (the market value of all of the Bank’s assets, liabilities, and associated interest rate exchange agreements, with mortgage assets valued using market spreads implied by current market prices) to changes in interest rates. The table presents the estimated percentage change in

86

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)	December 31, 2015		December 31, 2014
+200 basis-point change above current rates	–5.0	%	–2.7	%
+100 basis-point change above current rates	–2.3		–1.2
–100 basis-point change below current rates(2)	+2.8		+2.6
–200 basis-point change below current rates(2)	+9.0		+6.4

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

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

The Bank’s estimates of the sensitivity of the market value of capital to changes in interest rates as of December 31, 2015, show greater adverse sensitivity in rising rate scenarios and greater favorable sensitivity in declining rate scenarios compared to the estimates as of December 31, 2014. The factors contributing to the change in sensitivity in the rising rate scenarios are the impact of higher volatility, the increase in the Bank’s assets-to-capital leverage, and impacts associated with enhancements to models incorporating additional data for modified loans. The higher volatility affects the sensitivity for interest rate caps in the Bank’s floating-rate MBS portfolio. In 2015, the Bank repurchased additional excess capital stock, which reduced the Bank’s capital stock outstanding and further increased sensitivity, which is presented as a percentage of capital. The change in sensitivity in the declining rate scenarios is primarily related to the current low interest rate environment, in which interest rates in declining rate scenarios cannot decrease to the same extent as interest rates in rising rate scenarios can increase. As of December 31, 2015, interest rates could decrease more in a declining rate scenario relative to the measurements as of December 31, 2014. LIBOR interest rates as of December 31, 2015, were 42 basis points higher for the 1-year term, 5 basis points lower for the 5-year term, and 11 basis points lower for the 10-year term.

The 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 at current market spreads. The Bank’s estimates of the sensitivity of the net portfolio value of capital to changes in interest rates as of December 31, 2015, show greater adverse sensitivity in rising rate scenarios and greater favorable sensitivity in declining rate scenarios compared to the estimates as of December 31, 2014. The factors contributing to the change in sensitivity in the rising rate scenarios are the impact of higher volatility, the increase in the Bank’s assets-to-capital leverage, and impacts associated with enhancements to models incorporating additional data for modified loans. The higher volatility affects the sensitivity for interest rate caps in the Bank’s floating-rate MBS portfolio. In 2015, the Bank repurchased additional excess capital stock, which reduced the Bank’s capital stock outstanding and further increased sensitivity, which is presented as a percentage of capital. The change in sensitivity in the declining rate scenarios is primarily related to the current low interest rate environment, in which interest rates in declining rate scenarios cannot decrease to the same extent as interest rates in rising rate scenarios can increase. As of December 31, 2015, interest rates could decrease more in a declining rate scenario relative to the measurements as of December 31, 2014. LIBOR interest rates as of December 31, 2015, were 42 basis points higher for the 1-year term, 5 basis points lower for the 5-year term, and 11 basis points lower for the 10-year term.

87

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)	December 31, 2015		December 31, 2014
+200 basis-point change above current rates	–4.5	%	–2.7	%
+100 basis-point change above current rates	–2.0		–1.1
–100 basis-point change below current rates(2)	+1.8		+1.9
–200 basis-point change below current rates(2)	+6.2		+4.3

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

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

The Bank's Risk Management Policy provides guidelines for the payment of dividends and the repurchase of excess capital stock based on the ratio of the Bank's estimated market value of total capital to par value of capital stock. If this ratio at the end of any quarter is: (i) less than 100% but greater than or equal to 90%, any dividend would be limited to an annualized rate no greater than the daily average of the three-month LIBOR for the applicable quarter (subject to certain conditions), and any excess capital stock repurchases would not exceed $500 million (subject to certain conditions); (ii) less than 90% but greater than or equal to 70%, any dividend and any excess capital stock repurchases would be subject to the same limitations and conditions as in (i) above, except that any excess capital stock repurchases would not exceed 4% of the Bank's outstanding capital stock as of the repurchase date; and (iii) less than 70%, the Bank would not pay a dividend, not repurchase excess capital stock (but continue to redeem excess capital stock as provided in the Bank's Capital Plan), limit the acquisition of certain assets, and review the Bank's risk policies. A decision by the Board of Directors to declare or not declare any dividend or repurchase any excess capital stock is a discretionary matter and is subject to the requirements and restrictions of the FHLBank Act and applicable requirements under the regulations governing the operations of the FHLBanks. The ratio of the Bank's estimated market value of total capital to par value of capital stock was 200% as of December 31, 2015.

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

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

Duration Gap – Duration gap is the difference between the estimated durations (market value sensitivity) of assets and liabilities (including the impact of interest rate exchange agreements) and reflects the extent to which estimated maturity and repricing cash flows for assets and liabilities are matched. The Bank monitors duration gap analysis at the total Bank level and does not have a policy limit. The Bank’s duration gap was one month at December 31, 2015, and less than one month at December 31, 2014.

88

Total Bank Duration Gap Analysis
	December 31, 2015			December 31, 2014
	Amount (In millions)		Duration Gap(1)(2) (In months)	Amount (In millions)		Duration Gap(1)(2) (In months)
Assets	$	85,707	7	$	75,807	10
Liabilities	80,811		6	70,114		10
Net	$	4,896	1	$	5,693	—

(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.

Since duration gap is a measure of market value sensitivity, the impact of large embedded mortgage liquidity spreads on duration gap is the same as described in the analysis in “Total Bank Market Risk – Market Value of Capital Sensitivity and Net Portfolio 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 and retained earnings to fund fixed rate investments of targeted amounts and maturities. In general, advances result in very little net interest rate risk for the Bank because most fixed rate advances with original maturities greater than three months and all advances with embedded options are simultaneously hedged with an interest rate swap or option with terms offsetting the advance. The interest rate swap or option generally is maintained as a hedge for the life of the advance. These hedged advances effectively create a pool of variable rate assets, which, in combination with the strategy of raising debt swapped to variable rate liabilities, creates an advances portfolio with low net interest rate risk.

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

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

The Bank updates the repricing and maturity gaps for actual asset, liability, and derivative transactions that occur in the advances-related segment each day. The Bank regularly compares the targeted repricing and maturity gaps to the actual repricing and maturity gaps to identify rebalancing needs for the targeted gaps. On a weekly basis, the Bank evaluates the projected impact of expected maturities and scheduled repricings of assets, liabilities, and interest rate

89

exchange agreements on the interest rate risk of the advances-related segment. The analyses are prepared under base case and alternate interest rate scenarios to assess the effect of options embedded in the advances, related financing, and hedges. These analyses are also used to measure and manage potential reinvestment risk (when the remaining term of advances is shorter than the remaining term of the financing) and potential refinancing risk (when the remaining term of advances is longer than the remaining term of the financing).

Because of the short-term and variable rate nature of the assets, liabilities, and derivatives of the advances-related business, the Bank’s interest rate risk guidelines address the amounts of net assets that are expected to mature or reprice in a given period. 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 (HTM) or available-for-sale (AFS), with a small amount classified as trading, and mortgage loans held for portfolio purchased under the MPF Program. The Bank is exposed to interest rate risk from the mortgage-related business because the principal cash flows of the mortgage assets and the liabilities that fund them are not exactly matched through time and across all possible interest rate scenarios, given the impact of mortgage prepayments and the existence of interest rate caps on certain adjustable rate MBS.

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

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

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

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

As discussed above in “Total Bank Market Risk – Market Value of Capital Sensitivity 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

90

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 both the net portfolio value of capital sensitivity and 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 December 31, 2015 and 2014.

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)	December 31, 2015		December 31, 2014
+200 basis-point change	–3.0	%	–1.6	%
+100 basis-point change	–1.4		–0.7
–100 basis-point change(2)	+2.0		+2.0
–200 basis-point change(2)	+4.8		+5.0

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

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

For the mortgage-related business, the Bank’s estimates of the sensitivity of the market value of capital to changes in interest rates as of December 31, 2015, show greater adverse sensitivity in rising rate scenarios and are comparable in declining rate scenarios as compared to the estimates as of December 31, 2014. The factors

contributing to the change in sensitivity in the rising rate scenarios are the impact of higher volatility and impacts

associated with enhancements to models incorporating additional data for modified loans. The higher volatility

affects the sensitivities for interest rate caps in the Bank's floating-rate MBS portfolio. LIBOR interest rates as of December 31, 2015, were 42 basis points higher for the 1-year term, 5 basis points lower for the 5-year term, and 11 basis points lower for the 10-year term. Because interest rates in the declining rate scenarios are limited to non-negative interest rates and the current interest rate environment is so low, the interest rates in the declining rate scenarios cannot decrease to the same extent that the interest rates in the rising rate scenarios can increase.

The Bank’s 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. The following table presents results of the estimated net portfolio value of capital sensitivity analysis attributable to the mortgage-related business as of December 31, 2015 and 2014. 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 December 31, 2015, show greater adverse sensitivity in rising rate scenarios and are comparable in declining rate scenarios as compared to the estimates as of December 31, 2014. The factors contributing to the change in sensitivity in the rising rate scenarios are the impact of higher volatility and impacts associated with enhancements to models incorporating additional data for modified loans. The higher volatility affects the sensitivities for interest rate caps in the Bank's floating-rate MBS portfolio. LIBOR interest rates as of December 31, 2015, were 42 basis points higher for the 1-year term, 5 basis points lower for the 5-year term, and 11 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.

91

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)	December 31, 2015		December 31, 2014
+200 basis-point change above current rates	–2.8	%	–1.7	%
+100 basis-point change above current rates	–1.2		–0.7
–100 basis-point change below current rates(2)	+1.2		+1.3
–200 basis-point change below current rates(2)	+2.6		+3.1

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

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

Interest Rate Exchange Agreements

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

The Bank uses interest rate exchange agreements to implement the following hedging strategies for addressing market risk:

• To convert fixed rate advances to LIBOR-indexed adjustable rate structures, which reduces the Bank’s exposure to fixed interest rates.

• To convert non-LIBOR-indexed advances to LIBOR-indexed adjustable rate structures, which reduces the Bank’s exposure to basis risk from non-LIBOR interest rates.

• To convert fixed rate consolidated obligations to LIBOR-indexed adjustable rate structures, which reduces the Bank’s exposure to fixed interest rates. (A combined structure of the callable derivative and callable debt instrument is usually lower in cost than a comparable LIBOR-indexed adjustable rate debt instrument, allowing the Bank to reduce its funding costs.)

• To convert non-LIBOR-indexed consolidated obligations to LIBOR-indexed adjustable rate structures, which reduces the Bank’s exposure to basis risk from non-LIBOR interest rates.

• To reduce the interest rate sensitivity and modify the repricing frequency of assets and liabilities.

• To obtain an option to enter into an interest rate swap to receive a fixed rate, which provides an option to reduce the Bank’s exposure to fixed interest rates on consolidated obligations.

• To obtain callable fixed rate equivalent funding by entering into a callable pay-fixed interest rate swap in connection with the issuance of a short-term discount note. The callable fixed rate equivalent funding is used to reduce the Bank’s exposure to prepayment of mortgage assets.

• To offset an embedded option in an advance.

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 December 31, 2015 and 2014.

92

Interest Rate Exchange Agreements
(In millions)			Notional Amount
Hedging Instrument	Hedging Strategy	Accounting Designation	December 31, 2015		December 31, 2014
Hedged Item: Advances
Pay fixed, receive adjustable interest rate swap	Fixed rate advance converted to a LIBOR adjustable rate	Fair Value Hedge	$	10,758	$	9,883
Basis swap	Adjustable rate advance converted to another adjustable rate index to reduce interest rate sensitivity and repricing gaps	Economic Hedge(1)	1		—
Received fixed, pay adjustable interest rate swap	LIBOR adjustable rate advance converted to a fixed rate	Economic Hedge(1)	672		200
Pay fixed, receive adjustable interest rate swap	Fixed rate advance converted to a LIBOR adjustable rate	Economic Hedge(1)	2,365		2,716
Pay fixed, receive adjustable interest rate swap; swap may be callable at the Bank’s option or putable at the counterparty’s option	Fixed rate advance (with or without an embedded cap) converted to a LIBOR adjustable rate; advance and swap may be callable or putable; matched to advance accounted for under the fair value option	Economic Hedge(1)	3,557		4,892
Interest rate cap or floor	Interest rate cap or floor embedded in an adjustable rate advance; matched to advance accounted for under the fair value option	Economic Hedge(1)	80		156
Subtotal Economic Hedges(1)			6,675		7,964
Total			17,433		17,847
Hedged Item: Non-Callable Bonds
Receive fixed or structured, pay adjustable interest rate swap	Fixed rate or structured rate non-callable bond converted to a LIBOR adjustable rate	Fair Value Hedge	15,857		15,885
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)	2,034		6,340
Receive fixed or structured, pay adjustable interest rate swap	Fixed rate or structured rate non-callable bond converted to a LIBOR adjustable rate; matched to non-callable bond accounted for under the fair value option	Economic Hedge(1)	1,915		1,425
Basis swap	Non-LIBOR adjustable rate non-callable bond converted to a LIBOR adjustable rate; matched to non-callable bond accounted for under the fair value option	Economic Hedge(1)	100		1,175
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)	14,986		1,400
Pay fixed, receive adjustable interest rate swap	Fixed rate or adjustable rate non-callable bond, which may have been previously converted to LIBOR, converted to fixed rate debt that offsets the interest rate risk of mortgage assets	Economic Hedge(1)	170		255
Subtotal Economic Hedges(1)			19,205		10,595
Total			35,062		26,480

93

Interest Rate Exchange Agreements (continued)
(In millions)			Notional Amount
Hedging Instrument	Hedging Strategy	Accounting Designation	December 31, 2015		December 31, 2014
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	495		2,250
Receive fixed or structured, pay adjustable interest rate swap with an option to call at the counterparty’s option	Fixed or structured rate callable bond converted to a LIBOR adjustable rate; swap is callable	Economic Hedge(1)	2,070		3,175
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)	2,270		4,148
Subtotal Economic Hedges(1)			4,340		7,323
Total			4,835		9,573
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)	1,355		1,670
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)	17,572		1,899
Pay fixed, receive adjustable non-callable interest rate swap	Discount note, which may have been previously converted to LIBOR, converted to fixed rate non-callable debt that offsets the interest rate risk of mortgage assets	Economic Hedge(1)	720		315
Total			19,647		3,884
Hedged Item: Trading Securities
Basis swap	Basis swap hedging adjustable rate Federal Farm Credit Bank (FFCB) bonds	Economic Hedge(1)	525		2,363
Interest rate cap	Stand-alone interest rate cap used to offset cap risk embedded in floating rate MBS	Economic Hedge(1)	2,150		2,150
Total			2,675		4,513
Hedged Item: Intermediary Positions and Offsetting Derivatives
Pay fixed, receive adjustable interest rate swap and receive fixed, pay adjustable interest rate swap	Interest rate swap used to offset the economic effect of interest rate swap that is no longer designated to advances, investments, or consolidated obligations	Economic Hedge(1)	132		—
Total			132		—
Stand-Alone Derivatives
Mortgage delivery commitments	To offset the fair value risk associated with fixed rate mortgage purchase commitments.	N/A	5		—
Total			5		—
Total Notional Amount			$	79,789	$	62,297

(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.

Although the Bank uses interest rate exchange agreements to achieve the specific financial objectives described above, certain transactions do not qualify for hedge accounting (economic hedges). An economic hedge introduces the potential for earnings variability caused by changes in the fair value of the derivatives that are recorded in the Bank’s income but are not offset by corresponding changes in the value of the economically hedged assets and

94

liabilities. Finance Agency regulations and the Bank’s Risk Management Policy prohibit the speculative use of interest rate exchange agreements, and the Bank does not trade derivatives for profit.

It is the Bank’s policy to use interest rate exchange agreements only to reduce the market risk exposures inherent in the otherwise unhedged asset and funding positions of the Bank and to achieve other financial objectives of the Bank, such as obtaining low-cost funding for advances and mortgage assets. The primary objective of the financial management practices of the Bank is to preserve and enhance the long-term economic performance and risk management of the Bank. In accordance with the accounting for derivative instruments and hedging activities, reported net income and other comprehensive income will likely exhibit period-to-period volatility, which may be significant.

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 December 31, 2015 and 2014.

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

95

December 31, 2014
(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	$	9,883	$	(62	)	$	62		$	—		$	—
Non-callable bonds	15,885		307			(309		)	—			(2		)
Callable bonds	2,250		4			9			—			13
Subtotal	28,018		249			(238		)	—			11
Not qualifying for hedge accounting (economic hedges):
Advances	7,964		(69		)	—			76			7
Non-callable bonds	10,595		43			—			(12		)	31
Callable bonds	7,323		(31		)	—			54			23
Discount notes	3,884		1			—			—			1
FFCB bonds	2,363		—			—			—			—
MBS	2,150		9			—			—			9
Subtotal	34,279		(47		)	—			118			71
Total excluding accrued interest	62,297		202			(238		)	118			82
Accrued interest	—		20			(38		)	2			(16		)
Total	$	62,297	$	222		$	(276	)	$	120		$	66

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.

The Bank has identified the following accounting policies and estimates as critical because they require the Bank to make subjective or complex judgments about matters that are inherently uncertain and because of the likelihood that materially different amounts would be reported under different conditions or using different assumptions. These policies and estimates are: estimating the allowance for credit losses on the advances and mortgage loan portfolios; accounting for derivatives; estimating fair values of investments classified as trading and AFS, derivatives and associated hedged items carried at fair value in accordance with the accounting for derivative instruments and associated hedging activities, and financial instruments carried at fair value under the fair value option, 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. These policies and the judgments, estimates, and assumptions are also described in “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies.”

Allowance for Credit Losses

The Bank has developed and documented a methodology for determining an allowance for credit losses, where applicable, for:

• advances, letters of credit, and other extensions of credit, collectively referred to as “credit products,”

• MPF loans held for portfolio,

• term securities purchased under agreements to resell, and

• term Federal funds sold.

96

The allowance for credit losses for credit products and mortgage loans acquired under the MPF Program represents the Bank’s estimate of the probable credit losses inherent in these two portfolios. Determining the amount of the allowance for credit losses is considered a critical accounting estimate because the Bank’s evaluation of the adequacy of the provision is inherently subjective and requires significant estimates, including the amounts and timing of estimated future cash flows, estimated losses based on historical loss experience, and consideration of current economic trends, all of which are subject to change. The Bank’s assumptions and judgments in estimating its allowance for credit losses are based on information available as of the date of the financial statements. Actual results could differ from these estimates.

Credit Products. In determining the allowance for credit losses on credit products, the Bank evaluates its exposure to credit loss taking into consideration: (i) the Bank's judgment as to the creditworthiness of the borrowers to which the Bank lends funds, and (ii) review and valuation of the collateral pledged by borrowers.

The Bank has policies and procedures in place to manage its credit risk on credit products. These include:

• Monitoring the creditworthiness and financial condition of the borrowers.

• Assessing the quality and value of collateral pledged by borrowers to secure advances.

• Establishing borrowing capacities based on collateral value and type for each borrower, including assessment of margin requirements based on factors such as the cost to liquidate and inherent risk exposure based on collateral type.

• Evaluating historical loss experience.

The Bank is required by the FHLBank Act and Finance Agency regulations to obtain sufficient collateral on credit products and to accept only certain collateral for credit products, such as one- to four-family first lien residential mortgage loans, multifamily mortgage loans, MBS, U.S. government and agency securities, deposits in the Bank, and certain other real estate-related collateral, such as commercial real estate loans and second lien residential mortgage loans. The Bank may also accept small business, small farm, and small agribusiness loans that are fully secured by collateral (such as real estate, equipment and vehicles, accounts receivable, and inventory) as eligible collateral from members that are community financial institutions. The Housing Act added secured loans for community development activities as a type of collateral that the Bank may accept from community financial institutions.

At December 31, 2015, the Bank had $50.9 billion of advances outstanding and collateral pledged with an estimated borrowing capacity of $195.3 billion. At December 31, 2014, the Bank had $39.0 billion of advances outstanding and collateral pledged with an estimated borrowing capacity of $186.3 billion.

Based on the collateral pledged as security for advances, the Bank’s credit analyses of borrowers’ financial condition, and the Bank’s credit extension and collateral policies as of December 31, 2015, 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 a credit loss on any of its credit products.

Significant changes to any of the factors described above could materially affect the Bank’s allowance for losses on credit products. For example, the Bank’s current assumptions about the financial strength of any borrower may change because of various circumstances, such as new information becoming available regarding the borrower’s financial strength or changes in the national or regional economy. New information may cause the Bank to: place a borrower on credit watch, require the borrower to pledge additional collateral, require the borrower to deliver collateral, adjust the borrowing capacity of the borrower's collateral, require prepayment of the credit products, or provide for losses on the credit products.

Mortgage Loans Acquired Under the MPF Program. In determining the allowance for credit losses on mortgage loans, the Bank evaluates its exposure to credit loss taking into consideration: (i) the Bank’s judgment as to the eligibility of participating financial institutions to continue to service and credit-enhance the loans sold to the Bank,

97

(ii) evaluation of credit exposure on purchased loans, (iii) valuation of available credit enhancements, and (iv) estimation of loss exposure and historical loss experience.

The Bank has policies and procedures in place to manage its credit risk. These include:

• Monitoring the creditworthiness and financial condition of the institutions that sold the mortgage loans to the Bank or their successors (both considered to be participating financial institutions) and their ability to meet servicing obligations.

• Determining required credit enhancements to be provided by participating financial institutions and assessing the availability of other credit enhancements.

• Estimating loss exposure and historical loss experience to establish an adequate level of allowance for credit losses.

The Bank maintains an allowance for credit losses, net of credit enhancements, on mortgage loans acquired under the MPF Program at levels that it believes to be adequate to absorb estimated losses identified and inherent in the total mortgage portfolio. Setting the level of allowance for credit losses requires significant judgment and regular evaluation by the Bank. Many factors, including delinquency statistics, past performance, current performance, loan portfolio characteristics, collateral valuations, industry data, collectability of credit enhancements from institutions or from mortgage insurers, and prevailing economic conditions, are important in estimating mortgage loan losses, taking into account the available credit enhancement. The use of different estimates or assumptions as well as changes in external factors could produce materially different allowance levels.

The Bank calculates its estimated allowance for credit losses for MPF Original and MPF Plus loans as described below.

The Bank has a process in place for monitoring and identifying loans that are deemed impaired. The Bank also uses a credit model to estimate credit losses. A loan is considered 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.

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 then records a provision for credit losses. For this component, the Bank established a de minimis allowance for credit losses for MPF Original loans as of December 31, 2015 and 2014. For MPF Plus loans, the Bank established an allowance for credit losses totaling a de minimis amount as of December 31, 2015, and $1 million as of December 31, 2014.

The second component applies to loans that are not specifically identified as impaired and is based on the Bank’s estimate of probable credit losses on those loans as of the financial statement date. The Bank evaluates the credit loss exposure on a loan pool basis considering various observable data, such as delinquency statistics, past performance, current performance, loan portfolio characteristics, collateral valuations, industry data, and prevailing economic conditions. The Bank also considers the availability and collectability of credit enhancements from participating financial institutions or from mortgage insurers under the terms of each master commitment. For this component, the Bank established an allowance for credit losses for MPF Original loans totaling de minimis amounts as of December 31, 2015 and 2014, and for MPF Plus loans totaling de minimis amounts as of December 31, 2015 and 2014.

Significant changes in any of the factors described above could materially affect the Bank’s allowance for credit losses on mortgage loans. In addition, as the Bank’s mortgage loan portfolio ages and becomes sufficiently seasoned and additional loss history is obtained, the Bank may have to adjust its methods of estimating its allowance for credit losses and make additional provisions for credit losses in the future.

98

Term Securities Purchased Under Agreements to Resell. Securities purchased under agreements to resell are considered collateralized financing arrangements and effectively represent short-term loans to counterparties that are considered by the Bank to be of investment quality, which are classified as assets in the Statements of Condition. Securities purchased under agreements to resell are held in safekeeping in the name of the Bank by third-party custodians approved by the Bank. In accordance with the terms of these loans, if the market value of the underlying securities decreases below the market value required as collateral, the counterparty must place an equivalent amount of additional securities as collateral or remit an equivalent amount of cash. If an agreement to resell is deemed to be impaired, the difference between the fair value of the collateral and the amortized cost of the agreement is charged to earnings. The Bank did not have any term securities purchased under agreements to resell at December 31, 2015 and 2014.

Term Federal Funds Sold. The Bank invests in Federal funds sold with counterparties that are considered by the Bank to be of investment quality, and these investments are evaluated for purposes of an allowance for credit losses if the investment is not paid when due. All investments in Federal funds sold as of December 31, 2015 and 2014, were repaid or are expected to be repaid according to the contractual terms.

Accounting for Derivatives

Accounting for derivatives includes the following assumptions and estimates by the Bank: (i) assessing whether the hedging relationship qualifies for hedge accounting, (ii) assessing whether an embedded derivative should be bifurcated, (iii) calculating the estimated effectiveness of the hedging relationship, (iv) evaluating exposure associated with counterparty credit risk, and (v) estimating the fair value of the derivatives (which is discussed in “Fair Values” below). The Bank’s assumptions and judgments include subjective calculations and estimates based on information available as of the date of the financial statements and could be materially different based on different assumptions, calculations, and estimates.

For additional discussion of the Bank’s accounting for derivatives, see “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” and “Note 18 – Derivatives and Hedging Activities.”

Assessment of Effectiveness. Highly effective hedging relationships that use interest rate swaps as the hedging instrument and that meet certain criteria under the accounting for derivative instruments and hedging activities may qualify for the “short-cut” method of assessing effectiveness. The short-cut method allows the Bank to make the assumption of no ineffectiveness, which means that the change in fair value of the hedged item can be assumed to be equal to the change in fair value of the derivative. No further evaluation of effectiveness is performed for these hedging relationships unless a critical term is changed. Included in these hedging relationships may be hedged items for which the settlement of the hedged item occurs within the shortest period of time possible for the type of instrument based on market settlement conventions. The Bank defines market settlement conventions to be 5 business days or less for advances and 30 calendar days, using a next business day convention, for consolidated obligations. The Bank designates the hedged item in a qualifying hedging relationship as of its trade date. Although the hedged item will not be recognized in the financial statements until the settlement date, in certain circumstances when the fair value of the hedging instrument is zero on the trade date, the Bank believes that it meets a condition that allows the use of the short-cut method. The Bank then records the changes in fair value of the derivative and the hedged item beginning on the trade date.

For a hedging relationship that does not qualify for the short-cut method, the Bank measures its effectiveness using the “long-haul” method, in which the change in fair value of the hedged item must be measured separately from the change in fair value of the derivative. The Bank designs effectiveness testing criteria based on its knowledge of the hedged item and hedging instrument that were employed to create the hedging relationship. The Bank uses regression analyses or other statistical analyses to evaluate effectiveness results, which must fall within established tolerances. Effectiveness testing is performed at inception and on at least a quarterly basis for both prospective considerations and retrospective evaluations.

99

Hedge Discontinuance.When a hedging relationship fails the effectiveness test, the Bank immediately discontinues hedge accounting for that relationship. In addition, the Bank discontinues hedge accounting when it is no longer probable that a forecasted transaction will occur in the original expected time period and when a hedged firm commitment no longer meets the required criteria of a firm commitment. The Bank treats modifications of hedged items (such as a reduction in par value, change in maturity date, or change in strike rates) as a termination of a hedge relationship.

Accounting for Hedge Ineffectiveness. The Bank quantifies and records in other income the ineffective portion of its hedging relationships. Ineffectiveness for fair value hedging relationships is calculated as the difference between the change in fair value of the hedging instrument and the change in fair value of the hedged item. Ineffectiveness for anticipatory hedge relationships is recorded when the change in the forecasted fair value of the hedging instrument exceeds the change in the fair value of the anticipated hedged item.

Credit Risk for Counterparties.The Bank is subject to credit risk as a result of nonperformance by counterparties to the derivative agreements. All uncleared derivatives with counterparties that are members of the Bank and that are not derivative dealers, in which the Bank serves as an intermediary, are fully secured by eligible collateral and are subject to both the Bank's Advances and Security Agreement and a master netting agreement. For all derivative dealer counterparties, the Bank selects only highly rated derivative dealers and major banks that meet the Bank's eligibility requirements. In addition, the Bank enters into master netting agreements and bilateral security agreements with all active derivative dealer and major bank counterparties that provide for delivery of collateral at specified levels tied to counterparty credit rating to limit the Bank’s net unsecured credit exposure to these counterparties. The Bank makes judgments on each counterparty’s creditworthiness and estimates of collateral values in analyzing its credit risk for nonperformance by counterparties. In addition, the Bank is subject to nonperformance by the clearinghouse(s) and clearing agents. The requirement that the Bank post initial and variation margin through the clearing agent to the clearinghouse exposes the Bank to institutional credit risk in the event that the clearing agent or the clearinghouse fails to meet its obligations. However, the use of cleared derivatives mitigates the Bank’s overall credit risk exposure because a central counterparty is substituted for individual counterparties and variation margin is posted daily for changes in the value of cleared derivatives through a clearing agent. See additional discussion of credit exposure to derivatives counterparties in “ Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Credit Risk – Derivative Counterparties.”

Fair Values

Fair Value Measurements. Fair value measurement guidance defines fair value, establishes a framework for measuring fair value under U.S. GAAP, and stipulates disclosures about fair value measurements. This guidance applies whenever other accounting pronouncements require or permit assets or liabilities to be measured at fair value. The Bank uses fair value measurements to record fair value adjustments for certain assets and liabilities and to determine fair value disclosures.

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Fair value is a market-based measurement, and the price used to measure fair value is an exit price considered from the perspective of the market participant that holds the asset or owes the liability.

This guidance establishes a three-level fair value hierarchy that prioritizes the inputs into the valuation technique used to measure fair value. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy are as follows:

• Level 1 – Inputs to the valuation methodology are quoted prices for identical assets or liabilities in active markets. An active market for the asset or liability is a market in which the transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis.

100

• Level 2 – Inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument.

• Level 3 – Inputs to the valuation methodology are unobservable and significant to the fair value measurement. Unobservable inputs are supported by little or no market activity or by the Bank’s own assumptions.

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 use of fair value to measure the Bank's financial instruments is fundamental to the Bank's financial statements and is a critical accounting estimate because a significant portion of the Bank's assets and liabilities are carried at fair value.

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 December 31, 2015:

• Trading securities

• AFS securities

• Certain advances

• Derivative assets and liabilities

• Certain consolidated obligation bonds

• Certain other assets

In general, these items carried at fair value are categorized within Level 2 of the fair value hierarchy and are valued primarily using inputs that are observable in the marketplace or can be substantially derived from observable market data.

Certain assets and liabilities are measured at fair value on a nonrecurring basis, that is, the instruments are not measured at fair value on an ongoing basis but are subject to fair value adjustment in certain circumstances (for example, when there is evidence of impairment). At December 31, 2015, the Bank measured its REO and certain impaired mortgage loans held for portfolio on a nonrecurring basis at Level 3 of the fair value hierarchy.

The Bank monitors and evaluates the inputs into its fair value measurements to ensure that the asset or liability is properly categorized in the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement. Because items classified as Level 3 are generally based on unobservable inputs, the process to determine the fair value of such items is generally more subjective and involves a higher degree of judgment and assumptions by the Bank.

The Bank employs internal control processes to validate the fair value of its financial instruments. These control processes are designed to ensure that the fair value measurements used for financial reporting are based on observable inputs wherever possible. In the event that observable market-based inputs are not available, the control processes are designed to ensure that the valuation approach used is appropriate and consistently applied and that the assumptions and judgments made are reasonable. The Bank’s control processes provide for segregation of duties and oversight of the fair value methodologies and valuations by the Bank. Valuation models are regularly reviewed by the Bank and are subject to an independent model validation process. Any changes to the valuation methodology or the models are also reviewed to confirm that the changes are appropriate.

The assumptions and judgments applied by the Bank may have a significant effect on its estimates of fair value, and the use of different assumptions as well as changes in market conditions could have a material effect on the Bank’s results of operations or financial condition. See “Item 8. Financial Statements and Supplementary Data – Note 19 – Fair Value” for further information regarding the fair value measurement guidance (including the classification within the fair value hierarchy) and the summary of valuation methodologies and primary inputs used to measure fair value for all the Bank’s assets and liabilities carried at fair value.

101

The Bank continues to refine its valuation methodologies as markets and products develop and the pricing for certain products becomes more or less transparent. While the Bank believes that its valuation methodologies are appropriate and consistent with those of other market participants, the use of different methodologies or assumptions to determine the fair value of certain financial instruments could result in a materially different estimate of fair value as of the reporting date. These fair values may not represent the actual values of the financial instruments that could have been realized as of yearend or that will be realized in the future. 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.

Other-Than-Temporary Impairment for Investment Securities. A security is considered impaired when its fair value is less than its amortized cost basis. For impaired debt securities, an entity is required to assess whether: (i) it has the intent to sell the debt security; (ii) it is more likely than not that it will be required to sell the debt security before its anticipated recovery of the remaining amortized cost basis of the security; or (iii) it does not expect to recover the entire amortized cost basis of the impaired debt security. If any of these conditions is met, an OTTI on the security must be recognized.

With respect to any debt security, a credit loss is defined as the amount by which the amortized cost basis exceeds the present value of the cash flows expected to be collected. If a credit loss exists but the entity does not intend to sell the debt security and it is not more likely than not that the entity will be required to sell the debt security before the anticipated recovery of its remaining amortized cost basis (the amortized cost basis less any current-period credit loss), the carrying value of the debt security is adjusted to its fair value. However, instead of recognizing the entire difference between the amortized cost basis and fair value in earnings, only the amount of the impairment representing the credit loss is recognized in earnings, while the amount of non-credit-related impairment is recognized in AOCI. The total OTTI is presented in the Statements of Income with an offset for the amount of the total OTTI that is recognized in AOCI. This presentation provides additional information about the amounts that the entity does not expect to collect related to a debt security. The credit loss on a debt security is limited to the amount of that security's unrealized losses.

For subsequent accounting of other-than-temporarily impaired securities, if the present value of cash flows expected to be collected is less than the amortized cost basis, the Bank records an additional OTTI. The amount of total OTTI for a security that was previously impaired is calculated as the difference between its amortized cost less the amount of OTTI recognized in AOCI prior to the determination of OTTI and its fair value. For an other-than-temporarily impaired security that was previously impaired and has subsequently incurred an additional OTTI related to credit loss (limited to that security's unrealized losses), this additional credit-related OTTI, up to the amount in AOCI, would be reclassified out of non-credit-related OTTI in AOCI and charged to earnings. Any credit loss in excess of the related AOCI is charged to earnings.

Subsequent related increases and decreases (if not an OTTI) in the fair value of AFS securities will be netted against the non-credit component of OTTI previously recognized in AOCI.

For securities classified as HTM, the OTTI recognized in AOCI is accreted to the carrying value of each security on a prospective basis, based on the amount and timing of future estimated cash flows (with no effect on earnings unless the security is subsequently sold or there are additional decreases in cash flows expected to be collected). For securities classified as AFS, the Bank does not accrete the OTTI recognized in AOCI to the carrying value because the subsequent measurement basis for these securities is fair value.

For securities previously identified as other-than-temporarily impaired, the Bank recognizes accretion or amortization of OTTI credit charges along with the net interest income associated with the securities’ effective yield in net interest income in the Statement of Income. The total accretion or amortization associated with OTTI credit charges was $82 million, $66 million, and $20 million for the years ended December 31, 2015, 2014, and 2013, respectively. The Bank updates its estimate of future expected cash flows for previously other-than-temporarily impaired securities on a regular basis. If there is no additional impairment on the security, the yield of the security is

102

adjusted upward on a prospective basis when there is a significant increase in the expected cash flows. This accretion, included in the total accretion or amortization amounts above, totaled $74 million, $68 million, and $26 million for the years ended December 31, 2015, 2014, and 2013, respectively.

As of December 31, 2015, on a cumulative basis, the Bank had recognized $1.4 billion in credit-related OTTI in its Statements of Income. Each reporting period, these losses were based on the Bank’s then-current best estimates of lifetime losses on each security determined to be other-than-temporarily impaired. As housing prices, mortgage credit conditions, and other key inputs into the Bank’s OTTI assumptions and estimates have improved, the Bank has seen significant increases in expected cash flows on previously other-than-temporarily-impaired securities. Based on the Bank’s current assumptions and estimates, the Bank’s estimate of lifetime losses on its other-than-temporarily-impaired securities as of December 31, 2015, is $715 million. As a result of the increases in expected cash flows and resulting decreases in estimated lifetime losses, the number of securities for which the yield has been adjusted on a prospective basis has increased. As the Bank’s estimates and assumptions are updated each reporting period, the amount of improvement or decrement in expected cash flows will change each period. In addition, the number of securities with a significant improvement in cash flows and the prospective accretion of the increase in expected cash flows will vary each period. The Bank currently estimates that it will accrete approximately $610 million of additional interest income associated with the reduction in OTTI losses over the life of the securities. This estimate of accretion of additional interest income is a forward-looking statement, and actual results may differ materially from the Bank’s current estimation.

The Bank closely monitors the performance of its investment securities classified as AFS or HTM on at least a quarterly basis to evaluate its exposure to the risk of loss on these investments in order to determine whether a loss is other-than-temporary.

Each FHLBank is responsible for making its own determination of impairment and of the reasonableness of the assumptions, inputs, and methodologies used and for performing the required present value calculations using appropriate historical cost bases and yields. FHLBanks that hold the same private-label MBS are required to consult with one another to ensure that any decision that a commonly held private-label MBS is other-than-temporarily impaired, including the determination of fair value and the credit loss component of the unrealized loss, is consistent among those FHLBanks.

In performing the cash flow analysis for each security, the Bank uses two third-party models. The first model projects prepayments, default rates, and loss severities on the underlying collateral based on borrower characteristics and the particular attributes of the loans underlying the Bank's securities, in conjunction with assumptions related primarily to future changes in housing prices and interest rates. Another significant input to the first model is the forecast of future housing price changes for the relevant states and CBSAs, which are based on an assessment of the regional housing markets. CBSA refers collectively to metropolitan and micropolitan statistical areas as defined by the U.S. Office of Management and Budget. As currently defined, a CBSA must contain at least one urban area with a population of 10,000 or more people. The FHLBanks’ OTTI Committee developed a short-term housing price forecast with projected changes ranging from a decrease of 3.0% to an increase of 8.0% over the 12-month period beginning October 1, 2015. For the vast majority of markets, the projected short-term housing price changes range from an increase of 2.0% to an increase of 5.0%. Thereafter, a unique path is projected for each geographic area based on an internally developed framework derived from historical data.

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

103

reflects a best-estimate scenario and includes a base case housing price forecast that reflects the expectations for near- and long-term housing price behavior.

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, the 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 rates of the index change 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 the years ended December 31, 2015, 2014, and 2013, the Bank recorded a credit-related OTTI charge of $15 million, $4 million, and $7 million, respectively.

Because there is a risk that the Bank may record additional material OTTI charges in future periods, the Bank's earnings and retained earnings and its ability to pay dividends and repurchase excess capital stock could be adversely affected in future periods.

Additional information about 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 – Credit Risk – Investments” and in “Item 8. Financial Statements and Supplementary Data – Note 7 – Other-Than-Temporary Impairment Analysis.”

Amortization of Premiums and Accretion of Discounts on MBS and Purchased Mortgage Loans

When the Bank purchases MBS and mortgage loans, it does not necessarily pay the seller the par value of the MBS or the exact amount of the unpaid principal balance of the mortgage loans. If the Bank pays more than the par value or the unpaid principal balance, purchasing the asset at a premium, the premium reduces the yield the Bank recognizes on the asset below the coupon rate. Conversely, if the Bank pays less than the par value or the unpaid principal balance, purchasing the asset at a discount, the discount increases the yield above the coupon rate.

The Bank amortizes premiums and accretes discounts from the acquisition dates of the MBS and mortgage loans. The Bank applies the level-yield method on a retrospective basis over the estimated life of the MBS and purchased mortgage loans for which prepayments reasonably can be expected and estimated. This method requires a retrospective adjustment of the effective yield each time the Bank changes the estimated life as if the new estimate had been known since the original acquisition date of the securities. Use of the retrospective method may increase volatility of reported earnings during periods of changing interest rates, and the use of different estimates or assumptions as well as changes in external factors could produce significantly different results.

Recently Issued Accounting Guidance and Interpretations

See “Item 8. Financial Statements and Supplementary Data – Note 2 – Recently Issued and Adopted Accounting Guidance” for a discussion of recently issued accounting standards and interpretations.

Recent Developments

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

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

104

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

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

• makes captive insurance companies ineligible for FHLBank membership.

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

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

Finance Agency Final Rule on Responsibilities of Boards of Directors, Corporate Practices and Corporate Governance Matters. On November 19, 2015, the Finance Agency issued a final rule effective on December 21, 2015, that requires each FHLBank to, among other things:

• operate an enterprise-wide risk management program and assign its chief risk officer certain enumerated responsibilities;

• maintain a compliance program headed by a compliance officer who reports directly to the chief executive officer and must regularly report to the board of directors (or a board committee);

• maintain board committees specifically responsible for risk management, audit, compensation, and corporate governance; and

• designate in its bylaws a body of law to follow for its corporate governance and indemnification practices and procedures, choosing from the law of the jurisdiction in which the FHLBank maintains its principal office, the Delaware General Corporation Law, or the Revised Model Business Corporation Act.

In addition, the rule provides that the Finance Agency has the authority to review a regulated entity’s indemnification policies, procedures, and practices to ensure that they are conducted in a safe and sound manner and that they are consistent with the body of law adopted by the board of directors of the FHLBank.

The Bank does not expect this rule to materially affect its financial condition or results of operations.

Finance Agency Proposed Rule on Acquired Member Assets. On December 17, 2015, the Finance Agency published a proposed rule that would amend the current Acquired Member Assets (AMA) rule, which governs an FHLBank’s ability to purchase and hold certain types of mortgage loans from its members. The proposed rule would allow an FHLBank to use its own model instead of a NRSRO ratings model to determine the credit rating for AMA loan assets and loan pools. The proposed rule would also eliminate the use of pool level insurance, such as supplemental mortgage insurance, as part of the required credit risk-sharing structure for AMA products; however, the FHLBanks are not currently acquiring AMA loans using this structure.

The Bank does not expect this rule to materially affect its financial condition or results of operations. Comments on the proposed rule are due by April 15, 2016.

Amendment of FHLBank Act to Make Privately Insured Credit Unions Eligible for FHLBank Membership.

On December 4, 2015, the Fixing America’s Surface Transportation Act (FAST Act) was signed into law. The FAST Act amends the FHLBank Act to make privately insured credit unions eligible for FHLBank membership, provided they satisfy certain initial and ongoing eligibility and reporting requirements.

105

Joint Final Rules on Margin and Capital Requirements for Covered Swap Entities. On November 30, 2015, the Office of the Comptroller of the Currency, the Board of Governors of the Federal Reserve System, the Federal Deposit Insurance Corporation, the Farm Credit Administration, and the Finance Agency (“Prudential Regulators”) published their joint final rules to establish minimum margin and capital requirements for swap entities (registered swap dealers, major swap participants, security-based swap dealers, and major security-based swap participants) that are subject to the jurisdiction of one of the Prudential Regulators.

The final rules will be phased in, beginning December 1, 2016, and, when they take effect, will subject non-cleared swaps and non-cleared security-based swaps between swap entities covered by the rules and financial end users that have “material swaps exposure” (an average daily aggregate notional exposure of $8 billion or more in non-cleared swaps) to a mandatory two-way initial margin requirement, subject to a $50 million delivery threshold. The amount of the initial margin requirement will be calculated by the swap entity using either a standardized schedule set forth in the rules or an internal margin model conforming to the requirements of the rules. The final margin rules specify the types of collateral that may be posted or collected as initial margin and haircuts for certain collateral asset classes. Initial margin collected by a covered swap entity must be segregated with an independent, third-party custodian and generally may not be rehypothecated.

The final margin rules also require variation margin to be exchanged daily for non-cleared swaps and non-cleared security-based swaps between covered swap entities and all financial end users and impose limits on the types of eligible collateral.

The new variation margin requirement will become effective for the Bank on March 1, 2017; it is not expected to have a material impact on the Bank’s costs.

The new initial margin requirement is expected to become effective for the Bank on September 1, 2020. Although the Bank is not a swap dealer, major swap participant, or other covered swap entity under the final margin rules, the Bank is a financial end user and will likely be subject to the initial margin requirements of the final rules when those requirements become effective (assuming that the Bank’s daily aggregate notional amount of outstanding swaps with all counterparties for June, July, and August of the previous year exceeds $8 billion). The Bank anticipates that the initial margin requirements will increase its cost of engaging in non-cleared swaps.

Off-Balance Sheet Arrangements and Aggregate Contractual Obligations

Off-Balance Sheet Arrangements, Guarantees, and Other Commitments

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

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

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

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

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

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

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

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

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

and several obligations related to other FHLBanks' participations in the consolidated obligations. The par value of the outstanding consolidated obligations of the FHLBanks was $905.2 billion at December 31, 2015, and $847.2 billion at December 31, 2014. The par value of the Bank’s participation in consolidated obligations was $79.4

106

billion at December 31, 2015, and $68.5 billion at December 31, 2014. The Bank had committed to the issuance of $410 million and $3 million in consolidated obligations at December 31, 2015, and December 31, 2014, respectively.

In addition, in the ordinary course of business, the Bank engages in financial transactions that, in accordance with U.S. GAAP, are not recorded on the Bank’s balance sheet or may be recorded on the Bank’s balance sheet in amounts that are different from the full contract or notional amount of the transactions. For example, the Bank routinely enters into commitments to extend advances and issues standby letters of credit. These commitments and standby letters of credit may represent future cash requirements of the Bank, although the standby letters of credit usually expire without being drawn upon. Standby letters of credit are subject to the same underwriting and collateral requirements as advances made by the Bank. At December 31, 2015, the Bank had $10 million in advance commitments and $12.3 billion in standby letters of credit outstanding. At December 31, 2014, the Bank had $126 million in advance commitments and $5.4 billion in standby letters of credit outstanding.

For additional information, see “Item 8. Financial Statements and Supplementary Data – Note 20 – Commitments and Contingencies.”

Contractual Obligations

The following table summarizes the Bank’s contractual obligations as of December 31, 2015, except for obligations associated with short-term discount notes. Additional information with respect to the Bank’s consolidated obligations is presented in “Item 8. Financial Statements and Supplementary Data – Note 12 – Consolidated Obligations” and “Note 20 – Commitments and Contingencies.”

In addition, “Item 8. Financial Statements and Supplementary Data – Note 15 – Capital” includes a discussion of the Bank’s mandatorily redeemable capital stock, and “Item 8. Financial Statements and Supplementary Data – Note 16 – Employee Retirement Plans and Incentive Compensation Plans” includes a discussion of the Bank’s pension and retirement expenses and commitments.

The Bank enters into derivative financial instruments, which create contractual obligations, as part of the Bank’s interest rate risk management. “Item 8. Financial Statements and Supplementary Data – Note 18 – Derivatives and Hedging Activities” includes additional information regarding derivative financial instruments.

Contractual Obligations
(In millions)
December 31, 2015
	Payments Due By Period
Contractual Obligations	< 1 Year		1 to < 3 Years		3 to < 5 Years		≥ 5 Years		Total
Long-term debt	$	29,114	$	16,426	$	3,170	$	2,982	$	51,692
Mandatorily redeemable capital stock	82		1		381		24		488
Operating leases	4		8		5		—		17
Pension and post-retirement contributions	8		5		2		17		32
Commitments to fund/purchase mortgage loans	5		—		—		—		5
Total contractual obligations	$	29,213	$	16,440	$	3,558	$	3,023	$	52,234

ITEM 7A. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

See “Item 7. Management’s Discussion and Analysis of Results of Operations and Financial Condition – Risk Management – Market Risk.”

107

ITEM 8.FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA

Index to Financial Statements and Supplementary Data

Financial Statements:
	Management's Report on Internal Control Over Financial Reporting	109
	Report of Independent Registered Public Accounting Firm	110
	Statements of Condition as of December 31, 2015 and 2014	111
	Statements of Income for the Years Ended December 31, 2015, 2014, and 2013	112
	Statements of Comprehensive Income for the Years Ended December 31, 2015, 2014, and 2013	113
	Statements of Capital Accounts for the Years Ended December 31, 2015, 2014, and 2013	114
	Statements of Cash Flows for the Years Ended December 31, 2015, 2014, and 2013	115
	Notes to Financial Statements	117
Supplementary Data:
	Supplementary Financial Data (Unaudited)	188

108

Management's Report on Internal Control Over Financial Reporting

The management of the Federal Home Loan Bank of San Francisco (Bank) is responsible for establishing and maintaining adequate internal control over the Bank's financial reporting. The Bank’s internal control over financial reporting is a process designed 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. There are inherent limitations in the ability of internal control over financial reporting to provide absolute assurance of achieving financial reporting objectives. These inherent limitations include the possibility of human error and the circumvention or overriding of controls. Accordingly, there is a risk that material misstatements may not be prevented or detected on a timely basis by internal control over financial reporting. These inherent limitations are known features of the financial reporting process, however, and it is possible to design into the process safeguards to reduce, although not eliminate, this risk.

Management assessed the effectiveness of the Bank's internal control over financial reporting as of December 31, 2015. This assessment was based on criteria for effective internal control over financial reporting described in Internal Control – Integrated Framework (2013), issued by the Committee of Sponsoring Organizations of the Treadway Commission. Based on this assessment, management concludes that, as of December 31, 2015, the Bank maintained effective internal control over financial reporting. The effectiveness of the Bank's internal control over financial reporting as of December 31, 2015, has been audited by PricewaterhouseCoopers LLP, the Bank's independent registered public accounting firm, as stated in its report appearing on the following page, which expressed an unqualified opinion on the effectiveness of the Bank's internal control over financial reporting as of December 31, 2015.

109

Report of Independent Registered Public Accounting Firm

To the Board of Directors and Shareholders of the Federal Home Loan Bank of San Francisco:

In our opinion, the accompanying statements of condition and the related statements of income, comprehensive income, capital accounts, and cash flows present fairly, in all material respects, the financial position of the Federal Home Loan Bank of San Francisco (the “FHLBank”)atDecember 31, 2015 and 2014, and the results of its operations and its cash flows for each of the three years in the period endedDecember 31, 2015,in conformity with accounting principles generally accepted in the United States of America. Also in our opinion, the FHLBank maintained, in all material respects, effective internal control over financial reporting as of December 31, 2015, based on criteria established in Internal Control - Integrated Framework (2013)issued by the Committee of Sponsoring Organizations of the Treadway Commission (COSO). The FHLBank's management is responsible for these financial statements, for maintaining effective internal control over financial reporting and for its assessment of the effectiveness of internal control over financial reporting, included in the accompanying Management's Report on Internal Control Over Financial Reporting. Our responsibility is to express opinions on these financial statements and on the FHLBank's internal control over financial reporting based on our integrated audits. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement and whether effective internal control over financial reporting was maintained in all material respects. Our audits of the financial statements included examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our audit of internal control over financial reporting included obtaining an understanding of internal control over financial reporting, assessing the risk that a material weakness exists, and testing and evaluating the design and operating effectiveness of internal control based on the assessed risk. Our audits also included performing such other procedures as we considered necessary in the circumstances. We believe that our audits provide a reasonable basis for our opinions.

A company’s internal control over financial reporting is a process designed 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. A company’s internal control over financial reporting includes those policies and procedures that (i) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the company; (ii) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the company are being made only in accordance with authorizations of management and directors of the company; and (iii) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use, or disposition of the company’s assets that could have a material effect on the financial statements.

Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.

/s/ PricewaterhouseCoopers LLP

San Francisco, California

March 11, 2016

110

Federal Home Loan Bank of San Francisco

Statements of Condition

(In millions-except par value)	December 31, 2015		December 31, 2014
Assets:
Cash and due from banks	$	1,637	$	3,920
Securities purchased under agreements to resell	10,000		1,000
Federal funds sold	4,626		7,503
Trading securities(a)	1,433		3,524
Available-for-sale (AFS) securities(a)	5,414		6,371
Held-to-maturity (HTM) securities (fair values were $10,821 and $13,657, respectively)(b)	10,802		13,551
Advances (includes $3,677 and $5,137 at fair value under the fair value option, respectively)	50,919		38,986
Mortgage loans held for portfolio, net of allowance for credit losses of $0 and $1, respectively	655		708
Accrued interest receivable	56		67
Premises, software, and equipment, net	32		28
Derivative assets, net	44		59
Other assets	89		90
Total Assets	$	85,707	$	75,807
Liabilities:
Deposits	$	127	$	160
Consolidated obligations:
Bonds (includes $4,233 and $6,717 at fair value under the fair value option, respectively)	51,835		47,045
Discount notes	27,648		21,811
Total consolidated obligations	79,483		68,856
Mandatorily redeemable capital stock	488		719
Accrued interest payable	80		95
Affordable Housing Program (AHP) payable	172		147
Derivative liabilities, net	6		20
Other liabilities	455		117
Total Liabilities	80,811		70,114
Commitments and Contingencies (Note 20)
Capital:
Capital stock—Class B—Putable ($100 par value) issued and outstanding:
23 shares and 33 shares, respectively	2,253		3,278
Unrestricted retained earnings	610		294
Restricted retained earnings	2,018		2,065
Total Retained Earnings	2,628		2,359
Accumulated other comprehensive income/(loss) (AOCI)	15		56
Total Capital	4,896		5,693
Total Liabilities and Capital	$	85,707	$	75,807

(a) At December 31, 2015, and 2014, none of these securities were pledged as collateral that may be repledged.

(b) At December 31, 2015, none of these securities were pledged as collateral that may be repledged. At December 31, 2014, a de minimis amount of these securities were pledged as collateral that may be repledged.

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

111

Federal Home Loan Bank of San Francisco

Statements of Income

	For the Years Ended December 31,
(In millions)	2015			2014			2013
Interest Income:
Advances	$	291		$	299		$	340
Prepayment fees on advances, net	8			6			5
Securities purchased under agreements to resell	3			1			1
Federal funds sold	9			11			15
Trading securities	5			6			7
AFS securities	264			278			276
HTM securities	293			362			392
Mortgage loans held for portfolio	33			42			50
Total Interest Income	906			1,005			1,086
Interest Expense:
Consolidated obligations:
Bonds	317			326			432
Discount notes	46			20			17
Deposits	1			—			—
Mandatorily redeemable capital stock	65			120			155
Total Interest Expense	429			466			604
Net Interest Income	477			539			482
Provision for/(reversal of) credit losses on mortgage loans	1			—			(1		)
Net Interest Income After Mortgage Loan Loss Provision	476			539			483
Other Income/(Loss):
Total other-than-temporary impairment (OTTI) loss	(31		)	(14		)	(14		)
Net amount of OTTI loss reclassified to/(from) AOCI	16			10			7
Net OTTI loss, credit-related	(15		)	(4		)	(7		)
Net gain/(loss) on trading securities	(2		)	(1		)	2
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option	(50		)	(93		)	(23		)
Net gain/(loss) on derivatives and hedging activities	(16		)	(64		)	26
Gains on litigation settlements, net	459			—			—
Other	12			8			7
Total Other Income/(Loss)	388			(154		)	5
Other Expense:
Compensation and benefits	67			63			63
Other operating expense	71			69			53
Federal Housing Finance Agency	6			7			7
Office of Finance	4			5			5
Total Other Expense	148			144			128
Income/(Loss) Before Assessment	716			241			360
AHP Assessment	78			36			52
Net Income/(Loss)	$	638		$	205		$	308

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

112

Federal Home Loan Bank of San Francisco

Statements of Comprehensive Income

	For the Years Ended December 31,
(In millions)	2015			2014			2013
Net Income/(Loss)	$	638		$	205		$	308
Other Comprehensive Income/(Loss):
Net change in pension and postretirement benefits	(2		)	(5		)	5
Net non-credit-related OTTI gain/(loss) on AFS securities:
Non-credit-related OTTI loss transferred from HTM securities	(1		)	—			(4		)
Net change in fair value of other-than-temporarily impaired securities	(29		)	209			644
Net amount of OTTI loss reclassified to/(from) other income/(loss)	(15		)	(10		)	(3		)
Total net non-credit-related OTTI gain/(loss) on AFS securities	(45		)	199			637
Net non-credit-related OTTI gain/(loss) on HTM securities:
Net amount of OTTI loss reclassified to/(from) other income/(loss)	(1		)	—			(4		)
Accretion of non-credit-related OTTI loss	6			7			7
Non-credit-related OTTI loss transferred to AFS securities	1			—			4
Total net non-credit-related OTTI gain/(loss) on HTM securities	6			7			7
Total other comprehensive income/(loss)	(41		)	201			649
Total Comprehensive Income/(Loss)	$	597		$	406		$	957

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

113

Federal Home Loan Bank of San Francisco

Statements of Capital Accounts

	Capital Stock Class B—Putable					Retained Earnings												Total Capital
(In millions)	Shares		Par Value			Restricted			Unrestricted			Total			AOCI
Balance, December 31, 2012	42		$	4,160		$	2,001		$	246		$	2,247		$	(794	)	$	5,613
Issuance of capital stock	5		530															530
Repurchase of capital stock	(12	)	(1,226		)													(1,226		)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net	—		(4		)													(4		)
Comprehensive income/(loss)						76			232			308			649			957
Cash dividends paid on capital stock (3.99%)									(161		)	(161		)				(161		)
Balance, December 31, 2013	35		$	3,460		$	2,077		$	317		$	2,394		$	(145	)	$	5,709
Issuance of capital stock	8		762															762
Repurchase of capital stock	(10	)	(941		)													(941		)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net	—		(3		)													(3		)
Comprehensive income/(loss)						(12		)	217			205			201			406
Cash dividends paid on capital stock (7.02%)									(240		)	(240		)				(240		)
Balance, December 31, 2014	33		$	3,278		$	2,065		$	294		$	2,359		$	56		$	5,693
Issuance of capital stock	8		829															829
Repurchase of capital stock	(14	)	(1,439		)													(1,439		)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net	(4	)	(415		)													(415		)
Comprehensive income/(loss)						103			535			638			(41		)	597
Transfers from restricted retained earnings						(150		)	150			—						—
Cash dividends paid on capital stock (12.39%)									(369		)	(369		)				(369		)
Balance, December 31, 2015	23		$	2,253		$	2,018		$	610		$	2,628		$	15		$	4,896

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

114

Federal Home Loan Bank of San Francisco

Statements of Cash Flows

	For the Years Ended December 31,
(In millions)	2015			2014			2013
Cash Flows from Operating Activities:
Net Income /(Loss)	$	638		$	205		$	308
Adjustments to reconcile net income/(loss) to net cash provided by operating activities:
Depreciation and amortization	(80		)	(90		)	(68		)
Provision for/(reversal of) credit losses on mortgage loans	1			—			(1		)
Change in net fair value of trading securities	2			1			(2		)
Change in net fair value adjustment on advances and consolidated obligation bonds held under the fair value option	50			93			23
Change in net derivatives and hedging activities	(33		)	(64		)	7
Net OTTI loss, credit-related	15			4			7
Net change in:
Accrued interest receivable	16			18			21
Other assets	(9		)	(4		)	(8		)
Accrued interest payable	(20		)	1			(85		)
Other liabilities	109			1			18
Total adjustments	51			(40		)	(88		)
Net cash provided by/(used in) operating activities	689			165			220
Cash Flows from Investing Activities:
Net change in:
Interest-bearing deposits	(404		)	(352		)	(128		)
Securities purchased under agreements to resell	(9,000		)	(1,000		)	1,500
Federal funds sold	2,877			(5		)	3,359
Premises, software, and equipment	(12		)	(12		)	(8		)
Trading securities:
Proceeds from maturities of long-term	2,339			582			236
Purchases of long-term	—			(899		)	(525		)
AFS securities:
Proceeds from maturities of long-term	996			938			1,283
HTM securities:
Net (increase)/decrease in short-term	—			1,660			79
Proceeds from maturities of long-term	2,746			2,504			3,927
Purchases of long-term	—			(207		)	(4,193		)
Advances:
Principal collected	1,057,469			780,733			529,782
Made to members	(1,069,480		)	(775,375		)	(530,789		)
Mortgage loans held for portfolio:
Principal collected	184			200			379
Purchases	(131		)	(4		)	—
Proceeds from sales of foreclosed assets	4			3			4
Net cash provided by/(used in) investing activities	(12,412		)	8,766			4,906

115

Federal Home Loan Bank of San Francisco

Statements of Cash Flows (continued)

	For the Years Ended December 31,
(In millions)	2015			2014			2013
Cash Flows from Financing Activities:
Net change in:
Deposits	262			254			273
Net (payments)/proceeds on derivative contracts with financing elements	17			14			66
Net proceeds from issuance of consolidated obligations:
Bonds	38,935			31,415			29,195
Discount notes	106,536			104,611			107,252
Bonds transferred from another Federal Home Loan Bank	—			—			122
Payments for matured and retired consolidated obligations:
Bonds	(33,968		)	(37,446		)	(45,827		)
Discount notes	(100,717		)	(106,991		)	(88,272		)
Proceeds from issuance of capital stock	829			762			530
Payments for repurchase/redemption of mandatorily redeemable capital stock	(646		)	(1,355		)	(2,276		)
Payments for repurchase of capital stock	(1,439		)	(941		)	(1,226		)
Cash dividends paid	(369		)	(240		)	(161		)
Net cash provided by/(used in) financing activities	9,440			(9,917		)	(324		)
Net increase/(decrease) in cash and due from banks	(2,283		)	(986		)	4,802
Cash and due from banks at beginning of the period	3,920			4,906			104
Cash and due from banks at end of the period	$	1,637		$	3,920		$	4,906
Supplemental Disclosures:
Interest paid	$	412		$	457		$	520
AHP payments	53			40			45
Supplemental Disclosures of Noncash Investing Activities:
Transfers of mortgage loans to real estate owned	2			3			4
Transfers of other-than-temporarily impaired HTM securities to AFS securities	15			—			72

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

116

Federal Home Loan Bank of San Francisco

Notes to Financial Statements

(Dollars in millions except per share amounts)

Background Information

The Federal Home Loan Bank of San Francisco (Bank), a federally chartered corporation exempt from ordinary federal, state, and local taxation except real property taxes, is one of 11 District Federal Home Loan Banks (FHLBanks). The FHLBanks are government-sponsored enterprises (GSEs) that serve the public by enhancing the availability of credit for residential mortgages and targeted community development by providing a readily available, competitively priced source of funds to their member institutions. Each FHLBank is operated as a separate entity with its own management, employees, and board of directors. The Bank does not have any special purpose entities or any other type of off-balance sheet conduits. The Bank has a cooperative ownership structure. Regulated financial depositories and insurance companies engaged in residential housing finance, with principal places of business located in Arizona, California, and Nevada, are eligible to apply for membership. In addition, authorized community development financial institutions are eligible to be members of the Bank. All members are required to purchase capital stock in the Bank. State and local housing authorities that meet certain statutory criteria may also borrow from the Bank. While eligible to borrow, these housing authorities are not members of the Bank, and, as such, are not required to hold capital stock. To access the Bank's products and services, a financial institution must be approved for membership and purchase capital stock in the Bank. The member's capital stock requirement is generally based on its use of Bank products, subject to a minimum asset-based membership requirement that is intended to reflect the value to the member of having ready access to the Bank as a reliable source of competitively priced funds. Bank capital stock is issued, transferred, redeemed, and repurchased at its par value of $100 per share, subject to certain regulatory and statutory limits. It is not publicly traded. All shareholders may receive dividends on their capital stock, to the extent declared by the Bank's Board of Directors.

The Bank conducts business with members in the ordinary course of business. See Note 21 – Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks for more information.

The Federal Housing Finance Agency (Finance Agency), an independent federal agency in the executive branch of the United States government, supervises and regulates the FHLBanks and the FHLBanks' Office of Finance.

The Office of Finance is a joint office of the FHLBanks that facilitates the issuance and servicing of the debt instruments (consolidated obligations) of the FHLBanks and prepares the combined quarterly and annual financial reports of the FHLBanks.

The primary source of funds for the FHLBanks is the proceeds from the sale to the public of the FHLBanks' consolidated obligations through the Office of Finance using authorized securities dealers. As provided by the Federal Home Loan Bank Act of 1932, as amended (FHLBank Act), or regulations governing the operations of the FHLBanks, all the FHLBanks have joint and several liability for all FHLBank consolidated obligations. Other funds are provided by deposits, other borrowings, and the issuance of capital stock to members. The Bank primarily uses these funds to provide advances to members.

Note 1 — Summary of Significant Accounting Policies

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

117

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

securities; and estimating the prepayment speeds on mortgage-backed securities (MBS) and mortgage loans for the accounting of amortization of premiums and accretion of discounts on MBS and mortgage loans. Actual results could differ significantly from these estimates.

Estimated Fair Values. Many of the Bank's financial instruments lack an available liquid trading market as characterized by frequent exchange transactions between a willing buyer and willing seller. Therefore, the Bank uses financial models employing significant assumptions and present value calculations for the purpose of determining estimated fair values. Thus, the fair values may not represent the actual values of the financial instruments that could have been realized as of yearend or that will be realized in the future.

Fair values for certain financial instruments are based on quoted prices, market rates, or replacement rates for similar financial instruments as of the last business day of the year. The estimated fair values of the Bank's financial instruments and related assumptions are detailed in Note 19 – Fair 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 financing arrangements because they effectively represent short-term loans to counterparties that are considered by the Bank to be of investment quality, which are classified as assets in the Statements of Condition. Securities purchased under agreements to resell are held in safekeeping in the name of the Bank by third-party custodians approved by the Bank. In accordance with the terms of these loans, if the market value of the underlying securities decreases below the market value required as collateral, the counterparty must place an equivalent amount of additional securities as collateral or remit an equivalent amount of cash.

Federal Funds Sold. These investments provide short-term liquidity and are carried at cost. The Bank invests in Federal funds sold with counterparties that are considered by the Bank to be of investment quality.

Investment Securities. The Bank classifies investments as trading, available-for-sale (AFS), or held-to-maturity (HTM) at the date of acquisition. Purchases and sales of securities are recorded on a trade date basis.

The Bank classifies certain investments as trading. These securities are held for liquidity purposes and carried at fair value with changes in the fair value of these investments recorded in other income. The Bank does not participate in speculative trading practices and holds these investments indefinitely as the Bank periodically evaluates its liquidity needs.

The Bank classifies certain securities as AFS and carries these securities at their fair value. Unrealized gains and losses on these securities are recognized in accumulated other comprehensive income (AOCI).

HTM securities are carried at cost, adjusted for periodic principal repayments; amortization of premiums and accretion of discounts; and previous OTTI recognized in net income and AOCI. The Bank classifies these investments as HTM securities because the Bank has the positive intent and ability to hold these securities until maturity.

Certain 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. Thus, the sale or transfer of an HTM security because of certain changes in circumstances, such as evidence of significant deterioration in the issuer's creditworthiness or changes in regulatory requirements, is not considered to be inconsistent with its original classification. 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 an HTM security without necessarily calling into question its intent to hold other debt securities to maturity. In addition, sales of debt securities that meet either of the following two conditions may be considered as maturities for purposes of the classification of securities: (i) the sale occurs near enough to its maturity date (or call date if exercise of the call is probable) that interest rate risk is substantially eliminated as a pricing factor and changes in market interest rates

118

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

would not have a significant effect on the security's fair value, or (ii) the sale occurs after the Bank has already collected a substantial portion (at least 85%) of the principal outstanding at acquisition because of prepayments on the debt security or scheduled payments on a debt security payable in equal installments (both principal and interest) over its term.

The Bank calculates the amortization of purchase premiums and accretion of purchase discounts on investments using the level-yield method on a retrospective basis over the estimated life of the securities. This method requires a retrospective adjustment of the effective yield each time the Bank changes the estimated life as if the new estimate had been known since the original acquisition date of the securities. The Bank uses nationally recognized, market-based, third-party prepayment models to project estimated lives.

On a quarterly basis, the Bank evaluates its individual AFS and HTM investment securities in an unrealized loss position for OTTI. A security is considered impaired when its fair value is less than its amortized cost basis. For impaired debt securities, an entity is required to assess whether: (i) it has the intent to sell the debt security; (ii) it is more likely than not that it will be required to sell the debt security before its anticipated recovery of the remaining amortized cost basis of the security; or (iii) it does not expect to recover the entire amortized cost basis of the impaired debt security. If any of these conditions is met, an OTTI on the security must be recognized.

With respect to any debt security, a credit loss is defined as the amount by which the amortized cost basis exceeds the present value of the cash flows expected to be collected. If a credit loss exists but the entity does not intend to sell the debt security and it is not more likely than not that the entity will be required to sell the debt security before the anticipated recovery of its remaining amortized cost basis (the amortized cost basis less any current-period credit loss), the carrying value of the debt security is adjusted to its fair value. However, instead of recognizing the entire difference between the amortized cost basis and fair value in earnings, only the amount of the impairment representing the credit loss is recognized in earnings, while the amount of non-credit-related impairment is recognized in AOCI. The total OTTI is presented in the Statements of Income with an offset for the amount of the total OTTI that is recognized in AOCI. This presentation provides additional information about the amounts that the entity does not expect to collect related to a debt security. The credit loss on a debt security is limited to the amount of that security's unrealized losses.

For subsequent accounting of other-than-temporarily impaired securities, if the present value of cash flows expected to be collected is less than the amortized cost basis, the Bank records an additional OTTI. The amount of total OTTI for a security that was previously impaired is calculated as the difference between its amortized cost less the amount of OTTI recognized in AOCI prior to the determination of OTTI and its fair value. For an other-than-temporarily impaired security that was previously impaired and has subsequently incurred an additional OTTI related to credit loss (limited to that security's unrealized losses), this additional credit-related OTTI, up to the amount in AOCI, would be reclassified out of non-credit-related OTTI in AOCI and charged to earnings. Any credit loss in excess of the related AOCI is charged to earnings.

Subsequent related increases and decreases (if not an OTTI) in the fair value of AFS securities will be netted against the non-credit component of OTTI previously recognized in AOCI.

For securities classified as HTM, the OTTI recognized in AOCI is accreted to the carrying value of each security on a prospective basis, based on the amount and timing of future estimated cash flows (with no effect on earnings unless the security is subsequently sold or there are additional decreases in cash flows expected to be collected). For securities classified as AFS, the Bank does not accrete the OTTI recognized in AOCI to the carrying value because the subsequent measurement basis for these securities is fair value.

For securities previously identified as other-than-temporarily impaired, the Bank updates its estimate of future estimated cash flows on a regular basis. If there is no additional impairment on the security, the yield of the security is adjusted upward on a prospective basis when there is a significant increase in the expected cash flows. This accretion is included in net interest income in the Statements of Income.

119

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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

The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time this collateral is received or pledged. Likewise, there may be a delay for excess collateral to be returned. For derivative instruments that meet the netting requirements, any excess cash collateral received or pledged is recognized as a derivative liability or derivative asset. Additional information regarding these agreements is provided in Note 18 – Derivatives and Hedging Activities. Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented.

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

to determine whether it is the primary beneficiary in any VIE. The Bank evaluated its investments in VIEs as of December 31, 2015, to determine whether it is a primary beneficiary of any of these investments. The primary beneficiary is required to consolidate a VIE. The Bank determined that consolidation accounting is not required because the Bank is not the primary beneficiary of these VIEs for the periods presented. The Bank does not have the power to significantly affect the economic performance of any of these investments because it does not act as a key decision maker nor does it have the unilateral ability to replace a key decision maker. In addition, the Bank does not design, sponsor, transfer, service, or provide credit or liquidity support in any of its investments in VIEs. The Bank’s maximum loss exposure for these investments is limited to the carrying value.

Advances. The Bank reports advances (loans to members, former members or their successors, or housing associates) either at amortized cost or at fair value when the fair value option is elected. Advances carried at amortized cost are reported net of premiums, discounts (including discounts related to the Affordable Housing Program), and hedging adjustments. The Bank amortizes premiums and accretes discounts and recognizes hedging adjustments resulting from the discontinuation of a hedging relationship to interest income using a level-yield methodology. Interest on advances is credited to income as earned. For advances carried at fair value, the Bank recognizes contractual interest in interest income.

Advance Modifications. In cases in which the Bank funds an advance concurrent with or within a short period of time before or after the prepayment of a previous advance to the same member, the Bank evaluates whether the subsequent advance meets the accounting criteria to qualify as a modification of an existing advance or whether it constitutes a new advance. The Bank compares the present value of the cash flows on the subsequent advance to the present value of the cash flows remaining on the previous advance. If there is at least a 10% difference in the present value of the cash flows or if the Bank concludes that the difference between the advances is more than minor based on a qualitative assessment of the modifications made to the previous advance's contractual terms, then the subsequent advance is accounted for as a new advance. In all other instances, the subsequent advance is accounted for as a modification.

Prepayment Fees. When a borrower prepays certain advances prior to the original maturity, the Bank may charge the borrower a prepayment fee. For certain advances with partial prepayment symmetry, the Bank may charge the borrower a prepayment fee or pay the borrower a prepayment credit, depending on certain circumstances, such as movements in interest rates, when the advance is prepaid.

For prepaid advances that are hedged and meet the hedge accounting requirements, the Bank terminates the hedging relationship upon prepayment and records the associated fair value gains and losses, adjusted for the prepayment

120

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

fees, in interest income. If a new advance represents a modification of an original hedged advance, the fair value gains or losses on the advance and the prepayment fees are included in the carrying amount of the modified advance, and gains or losses and prepayment fees are amortized in interest income over the life of the modified advance using the level-yield method. If the modified advance is also hedged and the hedge meets the hedge accounting requirements, the modified advance is marked to fair value after the modification, and subsequent fair value changes are recorded in other income. If the prepayment represents an extinguishment of the original hedged advance, the prepayment fee and any fair value gain or loss are immediately recognized in interest income.

For prepaid advances that are not hedged or that are hedged but do not meet the hedge accounting requirements, the Bank records prepayment fees in interest income unless the Bank determines that the new advance represents a modification of the original advance. If the new advance represents a modification of the original advance, the prepayment fee on the original advance is deferred, recorded in the basis of the modified advance, and amortized over the life of the modified advance using the level-yield method. This amortization is recorded in interest income.

Mortgage Loans Held in Portfolio. Under the Mortgage Partnership Finance® (MPF®) Program, the Bank may purchase conventional conforming fixed rate residential mortgage loans and mortgage loans insured by the Federal Housing Administration (FHA) or guaranteed by the Department of Veterans Affairs (VA) from its participating members. (“Mortgage Partnership Finance” and “MPF” are registered trademarks of the FHLBank of Chicago.) Participating members originate or purchase the mortgage loans, credit-enhance them and sell them to the Bank, and generally retain the servicing of the loans. The Bank manages the interest rate risk, prepayment risk, and liquidity risk of each loan in its portfolio. The Bank and the participating financial institution (either the original participating member that sold the loans to the Bank or a successor to that member) share in the credit risk of the loans, with the Bank assuming the first loss obligation limited by the first loss account, and the participating financial institution assuming credit losses in excess of the first loss account, up to the amount of the credit enhancement obligation specified in the master agreement. The amount of the credit enhancement is calculated so that any Bank credit losses (excluding special hazard losses) in excess of the first loss account are limited to those that would be expected from an equivalent investment with a long-term credit rating of AA. In addition, the Bank may facilitate the purchase of conforming fixed rate mortgage loans from members for concurrent sale to Fannie Mae under the MPF Xtra® product and of jumbo fixed rate mortgage loans for concurrent sale to Redwood Residential Acquisition Corporation, a subsidiary of Redwood Trust, Inc., a real estate investment trust, under the MPF Direct product. (“MPF Xtra” is a registered trademark of the FHLBank of Chicago.)

For taking on the credit enhancement obligation, the Bank pays the participating financial institution a credit enhancement fee, which is calculated on the remaining unpaid principal balance of the mortgage loans. Depending on the specific MPF product, all or a portion of the credit enhancement fee is paid monthly beginning with the month after each delivery of loans. The MPF Plus product also provides for a performance-based credit enhancement fee, which accrues monthly, beginning with the month after each delivery of loans, and is paid to the participating financial institution beginning 12 months later. The performance-based credit enhancement fee will be reduced by an amount equivalent to loan losses up to the amount of the first loss account established for each master commitment. The participating financial institutions obtain supplemental mortgage insurance (SMI) to cover their credit enhancement obligations under this product. If the SMI provider's claims-paying ability rating falls below a specified level, the participating financial institution has six months to either replace the SMI policy or assume the credit enhancement obligation and fully collateralize the obligation; otherwise the Bank may choose not to pay the participating financial institution its performance-based credit enhancement fee.

The Bank classifies mortgage loans as held for investment and, accordingly, reports them at their principal amount outstanding net of unamortized premiums, discounts, and unrealized gains and losses from loans initially classified as mortgage loan commitments. The Bank defers and amortizes these amounts as interest income using the level-yield method on a retrospective basis over the estimated life of the related mortgage loan. Actual prepayment experience and estimates of future principal prepayments are used in calculating the estimated life of the mortgage loans. The Bank aggregates the mortgage loans by similar characteristics (type, maturity, note rate, and acquisition date) in determining prepayment estimates. A retrospective adjustment is required each time the Bank changes the

121

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

estimated amounts as if the new estimate had been known since the original acquisition date of the assets. The Bank uses nationally recognized, market-based, third-party prepayment models to project estimated lives.

The Bank records credit enhancement fees as a reduction to interest income.

Allowance for Credit Losses. An allowance for credit losses is a valuation allowance separately established for each identified portfolio segment, if it is probable that impairment has occurred in the Bank's portfolio as of the Statements of Condition date and the amount of loss can be reasonably estimated. To the extent necessary, an allowance for credit losses for off-balance sheet credit exposures is recorded as a liability.

Portfolio Segments.A portfolio segment is defined as the level at which an entity develops and documents a systematic method for determining its allowance for credit losses. The Bank has developed and documented a systematic methodology for determining an allowance for credit losses for each applicable portfolio segment.

See Note 10 – Allowance for Credit Losses for more information.

Impairment Methodology on Mortgage Loans. A mortgage loan is considered impaired when, based on current information and events, it is probable that the Bank will be unable to collect all amounts due according to the contractual terms of the loan agreement.

Loans that are on non-accrual 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, there is no other available and reliable source of repayment. 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 non-accrual loans noted below.

The Bank places a mortgage loan on nonaccrual status when the collection of the contractual principal or interest from the participating financial 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. If the collection of the remaining principal amount due is considered doubtful, then cash payments received would be applied first solely to principal until the remaining principal amount due is expected to be collected and then as a recovery of any charge-off, if applicable, followed by recording interest income. A loan on non-accrual status may be restored to accrual when (1) none of its contractual principal and interest is due and unpaid, and the Bank expects repayment of the remaining contractual interest and principal, or (2) it otherwise becomes well secured and in the process of collection. For any mortgage loans that are more than 180 days past due and that have any outstanding balance in excess of the fair value of the property, less cost to sell, this excess is charged off as a loss by the end of the month in which the applicable time period elapses. Likewise, when a borrower is in bankruptcy, loans are written down to the fair value of the collateral, less cost to sell, in general within 60 days of receipt of the notification of filing from the bankruptcy court, unless it can be clearly demonstrated and documented that repayment is likely to occur.

Real Estate Owned. Real estate owned (REO) includes assets that have been received in satisfaction of debt through foreclosures. REO is initially recorded at fair value less estimated selling costs and is subsequently carried at the lower of that amount or current fair value less estimated selling costs. The Bank recognizes a charge-off to the allowance for credit losses if the fair value of the REO less estimated selling costs is less than the recorded investment in the loan at the date of transfer from loans to REO. Any subsequent realized gains, realized or unrealized losses, and carrying costs are included in other non-interest expense in the Statements of Income. REO is recorded in “Other assets” in the Statements of Condition. At December 31, 2015, the Bank’s other assets included

122

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

$2 of REO resulting from foreclosure of 21 mortgage loans held by the Bank. At December 31, 2014, the Bank’s other assets included $2 of REO resulting from foreclosure of 23 mortgage loans held by the Bank.

Other Fees. Letter of credit fees are recorded as other income over the term of the letter of credit.

Derivatives. All derivatives are recognized on the Statements of Condition at their fair value. The Bank has elected to report derivative assets and derivative liabilities net of cash collateral, including initial and variation margin, and accrued interest received from or pledged to futures commission merchants (clearing agents) or counterparties. The fair values of derivatives are netted by clearing agent or counterparty when the netting requirements have been met. If these netted amounts are positive, they are classified as an asset, and if negative, they are classified as a liability. Cash flows associated with derivatives are reflected as cash flows from operating activities in the Statements of Cash Flows unless the derivative meets the criteria to be a financing derivative.

Each derivative is designated as one of the following:

(1) a qualifying hedge of the change in fair value of (i) a recognized asset or liability or (ii) an unrecognized firm commitment (a fair value hedge);

(2) a qualifying hedge of (i) a forecasted transaction or (ii) the variability of cash flows that are to be received or paid in connection with a recognized asset or liability (a cash flow hedge);

(3) a non-qualifying hedge of an asset or liability for asset-liability management purposes or of certain advances and consolidated obligation bonds for which the Bank elected the fair value option (an economic hedge); or

(4) a non-qualifying hedge of another derivative (an intermediation hedge) that is offered as a product to members or used to offset other derivatives with nonmember counterparties.

If hedging relationships meet certain criteria, including but not limited to formal documentation of the hedging relationship and an expectation to be hedge effective, they are eligible for hedge accounting, and the offsetting changes in fair value of the hedged items attributable to the hedged risk may be recorded in earnings. The application of hedge accounting generally requires the Bank to evaluate the effectiveness of the hedging relationships at inception and on an ongoing basis and to calculate the changes in fair value of the derivatives and the related hedged items independently. This is known as the “long-haul” method of hedge accounting. Transactions that meet certain criteria qualify for the “short-cut” method of hedge accounting, in which an assumption can be made that the change in the fair value of a hedged item, because of changes in the benchmark rate, exactly offsets the change in the value of the related derivative. Under the shortcut method, the entire change in fair value of the interest rate swap is considered to be effective at achieving offsetting changes in fair values or cash flows of the hedged asset or liability.

Derivatives are typically executed at the same time as the hedged item, and the Bank designates the hedged item in a qualifying hedge relationship as of the trade date. In many hedging relationships, the Bank may designate the hedging relationship upon its commitment to disburse an advance or trade a consolidated obligation in which settlement occurs within the shortest period of time possible for the type of instrument based on market settlement conventions. The Bank records the changes in the fair value of the derivatives and the hedged item beginning on the trade date.

Changes in the fair value of a derivative that qualifies as a fair value hedge and is designated as a fair value hedge, along with changes in the fair value of the hedged asset or liability (hedged item) that are attributable to the hedged risk (including changes that reflect losses or gains on firm commitments), are recorded in other income as “Net gain/(loss) on derivatives and hedging activities.”

Changes in the fair value of a derivative that qualifies as a cash flow hedge and is designated as a cash flow hedge, to the extent that the hedge is effective, are recorded in AOCI, a component of capital, until earnings are affected by the variability of the cash flows of the hedged transaction (until the periodic recognition of interest on a variable rate asset or liability is recorded in earnings).

123

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

For both fair value and cash flow hedges, any hedge ineffectiveness (which represents the amount by which the change in the fair value of the derivative differs from the change in the fair value of the hedged item or the variability in the cash flows of the forecasted transaction) is recorded in other income as “Net gain/(loss) on derivatives and hedging activities.”

Changes in the fair value of a derivative designated as an economic hedge or an intermediation hedge are recorded in current period earnings with no fair value adjustment to an asset or liability. An economic hedge is defined as a derivative hedging certain advances and consolidated obligation bonds for which the Bank elected the fair value option, or hedging specific or non-specific underlying assets, liabilities, or firm commitments, that does not qualify or was not designated for fair value or cash flow hedge accounting, but is an acceptable hedging strategy under the Bank's risk management program. These economic hedging strategies also comply with Finance Agency regulatory requirements prohibiting speculative hedge transactions. An economic hedge introduces the potential for earnings variability caused by the changes in fair value of the derivatives that are recorded in the Bank's income but are not offset by corresponding changes in the value of the economically hedged assets, liabilities, or firm commitments. The derivatives used in intermediary activities do not qualify for 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. Changes in the fair value of these non-qualifying hedges are recorded in other income as “Net gain/(loss) on derivatives and hedging activities.” In addition, the net settlements associated with these non-qualifying hedges are recorded in other income as “Net gain/(loss) on derivatives and hedging activities.” Cash flows associated with these stand-alone derivatives are reflected as cash flows from operating activities in the Statements of Cash Flows unless the derivative meets the criteria to be designated as a financing derivative.

The net settlements of interest receivables and payables on derivatives designated as fair value or cash flow hedges are recognized as adjustments to the interest income or interest expense of the designated underlying hedged item. The net settlements of interest receivables and payables on intermediated derivatives for members and other economic hedges are recognized in other income as “Net gain/(loss) on derivatives and hedging activities.”

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.

When hedge accounting is discontinued, the Bank either terminates the derivative or continues to carry the derivative on the Statements of Condition at its fair value, ceases to adjust the hedged asset or liability for changes in fair value, and amortizes the cumulative basis adjustment on the hedged item into earnings over the remaining life of the hedged item using a level-yield methodology.

When hedge accounting is discontinued because the Bank determines that the derivative no longer qualifies as an effective cash flow hedge of an existing hedged item, the Bank continues to carry the derivative on the Statements of Condition at its fair value and reclassifies the AOCI adjustment into earnings when earnings are affected by the existing hedged item (the original forecasted transaction).

Under limited circumstances, when the Bank discontinues cash flow hedge accounting because it is no longer probable that the forecasted transaction will occur by the end of the originally specified time period, or within the following two months, but it is probable the transaction will still occur in the future, the gain or loss on the derivative remains in AOCI and is recognized in earnings when the forecasted transaction affects earnings. However, if it is probable that a forecasted transaction will not occur by the end of the originally specified time

124

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

period or within the following two months, the gains and losses that were recorded in AOCI are recognized immediately in earnings.

When hedge accounting is discontinued because the hedged item no longer meets the definition of a firm commitment, the Bank continues to carry the derivative on the Statements of Condition at its fair value, removing from the Statements of Condition any asset or liability that was recorded to recognize the firm commitment and recording it as a gain or loss in current period earnings.

The Bank may be the primary obligor on consolidated obligations and may make advances in which derivative instruments are embedded. Upon execution of these transactions, the Bank assesses whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the advance or debt (the host contract) and whether a separate, non-embedded instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. When it is determined that: (i) the embedded derivative has economic characteristics that are not clearly and closely related to the economic characteristics of the host contract, and (ii) a separate, stand-alone instrument with the same terms would qualify as a derivative instrument, the embedded derivative is separated from the host contract, carried at fair value, and designated as a stand-alone derivative instrument equivalent to an economic hedge. However, the entire contract is carried on the Statements of Condition at fair value and no portion of the contract is designated as a hedging instrument if the entire contract (the host contract and the embedded derivative) is to be measured at fair value, with changes in fair value reported in current period earnings (such as an investment security classified as trading, as well as hybrid financial instruments that are eligible for the fair value option), or if the Bank cannot reliably identify and measure the embedded derivative for purposes of separating the derivative from its host contract.

Premises, Software, and Equipment. The Bank records premises, software, and equipment at cost less accumulated depreciation and amortization.The Bank's accumulated depreciation and amortization related to premises, software, and equipment totaled $52 and $67 at December 31, 2015 and 2014, respectively. Improvements and major renewals are capitalized; ordinary maintenance and repairs are expensed as incurred. Depreciation is computed on the straight-line method over the estimated useful lives of assets ranging from 3 to 10 years, and leasehold improvements are amortized on the straight-line method over the estimated useful life of the improvement or the remaining term of the lease, whichever is shorter. Depreciation and amortization expense was $8 for 2015, $9 for 2014, and $9 for 2013. The Bank includes gains and losses on disposal of premises, software, and equipment in other income. The net realized gain on disposal of premises, software, and equipment, primarily related to the 1999 sale of the Bank's building, was $1, $1, and $1 in 2015, 2014, and 2013, respectively.

The cost of computer software developed or obtained for internal use is capitalized and depreciated over future periods. At December 31, 2015 and 2014, the Bank had $18 and $20 in unamortized computer software costs respectively. Depreciation of computer software costs charged to expense was $6, $7, and $7 in 2015, 2014, and 2013, respectively.

Consolidated Obligations. Consolidated obligations are recorded at amortized cost unless the Bank has elected the fair value option, in which case the consolidated obligations are carried at fair value.

Concessions on Consolidated Obligations. Concessions are paid to dealers in connection with the issuance of consolidated obligations for which the Bank is the primary obligor. The amount of the concession is allocated to the Bank by the Office of Finance based on the percentage of the debt issued for which the Bank is the primary obligor. Concessions paid on consolidated obligations designated under the fair value option are expensed as incurred. Concessions paid on consolidated obligations not designated under the fair value option are deferred and amortized to expense using the level-yield method over the remaining contractual life or on a retrospective basis over the estimated life of the consolidated obligations. Unamortized concessions were $9 and $12 at December 31, 2015 and 2014, respectively, and are included in “Other assets.” Amortization of concessions is included in consolidated obligation interest expense and totaled $7, $6, and $7, in 2015, 2014, and 2013, respectively.

125

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Discounts and Premiums on Consolidated Obligations. The discounts on consolidated obligation discount notes for which the Bank is the primary obligor are amortized to expense using the level-yield method over the term to maturity. The discounts and premiums on consolidated obligation bonds for which the Bank is the primary obligor are amortized to expense using the level-yield method over the remaining contractual life or on a retrospective basis over the estimated life of the consolidated obligation bonds.

Mandatorily Redeemable Capital Stock. The Bank reclassifies the capital stock subject to redemption from capital to a liability after a member provides the Bank with a written notice of redemption; gives notice of intention to withdraw from membership; or attains nonmember status by merger or acquisition, charter termination, or other involuntary membership termination; or after a receiver or other liquidating agent for a member transfers the member's Bank capital stock to a nonmember entity, resulting in the member's shares then meeting the definition of a mandatorily redeemable financial instrument. Shares meeting this definition are reclassified to a liability at fair value. Dividends declared on shares classified as a liability are accrued at the expected dividend rate and reflected as interest expense in the Statements of Income. The repayment of these mandatorily redeemable financial instruments (by repurchase or redemption of the shares) is reflected as a financing cash outflow in the Statements of Cash Flows once settled. See Note 15 – Capital for more information.

If a member cancels its written notice of redemption or notice of withdrawal or if the Bank allows the transfer of mandatorily redeemable capital stock to a member, the Bank reclassifies mandatorily redeemable capital stock from a liability to capital. After the reclassification, dividends on the capital stock are no longer classified as interest expense.

Finance Agency Expenses. The FHLBanks fund a portion of the costs of operating the Finance Agency, and each FHLBank is assessed a proportionate share of those costs. The Finance Agency allocates its expenses and working capital fund among the FHLBanks based on the ratio between each FHLBank's minimum required regulatory capital and the aggregate minimum required regulatory capital of all the FHLBanks.

Office of Finance Expenses. Each FHLBank is assessed a proportionate share of the cost of operating the Office of Finance, which facilitates the issuance and servicing of consolidated obligations. The Office of Finance allocates its operating and capital expenditures among the FHLBanks as follows: (1) two-thirds of the assessment is based on each FHLBank's share of total consolidated obligations outstanding, and (2) one-third of the assessment is based on an equal pro rata allocation.

Affordable Housing Program. As more fully discussed in Note 13 – Affordable Housing Program, the FHLBank Act requires each FHLBank to establish and fund an Affordable Housing Program (AHP). The Bank charges the required funding for the AHP to earnings and establishes a liability. The AHP funds provide subsidies to members to assist in the purchase, construction, or rehabilitation of housing for very low-, low-, and moderate-income households. Subsidies may be in the form of direct grants or below-market interest rate advances.

Gains on Litigation Settlements, Net. Litigation settlement gains, net of related legal expenses, are recorded in Other Income/(Loss) in “Gains on litigation settlements, net” in the Statements of Income. A litigation settlement gain is considered realized and recorded when the Bank receives cash or assets that are readily convertible to known amounts of cash or claims to cash. In addition, a litigation settlement gain is considered realizable and recorded when the Bank enters into a signed agreement that is not subject to appeal, where the counterparty has the ability to pay, and the amount to be received can be reasonably estimated. Prior to being realized or realizable, the Bank considers potential litigation settlement gains to be gain contingencies, and therefore they are not recorded in the Statements of Income. The related legal expenses are contingent-based fees and are only incurred and recorded upon a litigation settlement gain.

126

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Note 2 — Recently Issued and Adopted Accounting Guidance

Recognition of Lease Assets and Lease Liabilities. On February 25, 2016, the Financial Accounting Standards Board (FASB) issued guidance that requires recognition of lease assets and lease liabilities on the Statements of Condition and disclosure of key information about leasing arrangements. In particular, this guidance requires a lessee of operating or finance leases to recognize on the Statements of Condition a liability to make lease payments and a right-of-use asset representing its right to use the underlying asset for the lease term. However, for leases with a term of 12 months or less, a lessee is permitted to make an accounting policy election not to recognize lease

assets and lease liabilities. Under previous GAAP, a lessee was not required to recognize lease assets and lease liabilities arising from operating leases on the Statements of Condition. While this guidance does not fundamentally change lessor accounting, some changes have been made to align that guidance with the lessee guidance and other areas within GAAP.

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

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

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

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

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

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

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

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

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

127

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

reclassification of unamortized debt issuance costs from other assets to consolidated obligations on the Bank’s Statements of Condition. This guidance became effective for the Bank for the interim and annual periods beginning after December 15, 2015, and was adopted retrospectively. Upon adoption of this guidance on January 1, 2016, the retrospective impact to the Bank’s Statements of Condition was a decrease of $9 and $12 to other assets and to consolidated obligations as of December 31, 2015, and December 31, 2014, respectively. The adoption of this guidance did not have an impact on the Bank’s results of operations or cash flows.

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

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

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

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

This guidance became effective for the Bank for interim and annual periods beginning after December 15, 2015. The adoption of this guidance did not affect the Bank’s financial condition, results of operations, or cash flows.

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

Classification of Certain Government-Guaranteed Mortgage Loans upon Foreclosure.On August 8, 2014, the FASB issued amended guidance relating to the classification and measurement of certain government-guaranteed mortgage loans upon foreclosure. The amendments in this guidance require that a mortgage loan be derecognized and that a separate other receivable be recognized upon foreclosure if certain conditions are met. This guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2015, and was adopted prospectively. The adoption of this guidance did not affect the Bank’s financial condition, results of operations, or cash flows.

Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures.On June 12, 2014, the FASB issued amended guidance for repurchase-to-maturity transactions and repurchase agreements executed as repurchase financings. Specifically, this guidance requires entities to account for (1) repurchase-to-maturity transactions as secured borrowings rather than as sales with forward repurchase agreements; and (2) repurchase agreements executed contemporaneously with the initial transfer of the underlying financial asset with the same counterparty as separate transactions only. In addition, this guidance requires a transferor to disclose additional information about certain transactions, including those in which it retains substantially all of the exposure to the economic returns of the underlying transferred asset over the transaction’s term. This guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2015. The changes in accounting for transactions outstanding on the effective date are required to be presented on a cumulative-effect basis. The adoption of this guidance did not affect the Bank’s financial condition, results of operations, or cash flows.

128

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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

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

On August 12, 2015, the FASB issued an amendment to defer the effective date of the guidance issued in May 2014 by one year. The guidance is effective for the Bank for interim and annual periods beginning after December 15, 2017. Early application is permitted only as of the interim and annual reporting periods beginning after December 15, 2016.

Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure. On January 17, 2014, theFASB issued guidance clarifying when consumer mortgage loans collateralized by real estate should be reclassified to REO. Specifically, these collateralized mortgage loans should be reclassified to REO when either the creditor obtains legal title to the residential real estate property upon completion of a foreclosure or the borrower conveys all interest in the residential real estate property to the creditor to satisfy the loan through completion of a deed in lieu of foreclosure or through a similar legal agreement. The guidance became effective for interim and annual periods beginning on January 1, 2015, and was adopted prospectively. The adoption of this guidance did not affect the Bank’s financial condition, results of operations, or cash flows.

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 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). The guidance establishes a standard and uniform methodology for classifying loans, other real estate owned, and certain other assets (excluding investment securities) and prescribes the timing of asset charge-offs based on these classifications. The guidance is generally consistent with the Uniform Retail Credit Classification and Account Management Policy issued by the federal banking regulators in June 2000. The Bank implemented the asset classification provisions as of January 1, 2014, and this adoption did not have any impact on the Bank’s financial condition, results of operations, or cash flows. The charge-off provisions were implemented on January 1, 2015, and resulted in a $1 charge-off to the Bank’s allowance for credit losses on the mortgage loan portfolio. The adoption of these charge-off provisions did not have a material effect on the Bank’s financial condition, results of operations, or cash flows.

Note 3 — Cash and Due from Banks

Cash on hand, cash items in the process of collection, and amounts due from correspondent banks and the Federal Reserve Bank are included in Cash and due from banks on the Statements of Condition.

Cash and due from banks includes certain compensating balances, wherethe Bank maintains collected cash balances with commercial banks in consideration for certain services. There are no legal restrictions under these agreements on the withdrawal of these funds. The average collected cash balances were approximately $41 for 2015 and $2 for 2014.

129

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Note 4 — Trading Securities

The estimated fair value of trading securities as of December 31, 2015 and 2014, was as follows:

	2015		2014
Government-Sponsored Enterprises (GSEs) – Federal Farm Credit Bank (FFCB) bonds	$	1,424	$	3,513
MBS – Other U.S. obligations – Ginnie Mae	9		11
Total	$	1,433	$	3,524

The net unrealized gain/(loss) on trading securities was $(2), $(1), and $2 for the years ended December 31, 2015, 2014, and 2013, respectively. These amounts represent the changes in the fair value of the securities during the reported periods.

Note 5 — Available-for-Sale Securities

Available-for-sale (AFS) securities by major security type as of December 31, 2015 and 2014, were as follows:

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

December 31, 2014
	Amortized Cost(1)		OTTI Recognized in AOCI			Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value
PLRMBS:
Prime	$	565	$	(4	)	$	31	$	—		$	592
Alt-A, option ARM	1,031		(43		)	77		—			1,065
Alt-A, other	4,687		(145		)	174		(2		)	4,714
Total	$	6,283	$	(192	)	$	282	$	(2	)	$	6,371

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

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

At December 31, 2015, the amortized cost of the Bank’s PLRMBS classified as AFS included credit-related OTTI of $1,023. At December 31, 2014, the amortized cost of the Bank’s PLRMBS classified as AFS included credit-related OTTI of $1,173.

The following table summarizes the AFS securities with unrealized losses as of December 31, 2015 and 2014. The unrealized losses are aggregated by major security type and the length of time that individual securities have been in a continuous unrealized loss position. Total unrealized losses in the following table will not agree to total gross unrealized losses in the table above. The unrealized losses in the following table also include non-credit-related

130

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

OTTI losses recognized in AOCI. For OTTI analysis of AFS securities, see Note 7 – Other-Than-Temporary Impairment Analysis.

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

December 31, 2014
	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	$	71	$	3	$	36	$	1	$	107	$	4
Alt-A, option ARM	—		—		580		43		580		43
Alt-A, other	403		12		1,682		135		2,085		147
Total	$	474	$	15	$	2,298	$	179	$	2,772	$	194

As indicated in the tables above, as of December 31, 2015, the Bank’s investments classified as AFS had unrealized losses related to PLRMBS, which were primarily due to illiquidity in the PLRMBS 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 discounts to their acquisition cost.

Interest Rate Payment Terms. Interest rate payment terms for AFS securities at December 31, 2015 and 2014, are shown in the following table:

	2015		2014
Amortized cost of AFS PLRMBS:
Collateralized mortgage obligations:
Fixed rate	$	1,540	$	1,917
Adjustable rate	3,831		4,366
Total	$	5,371	$	6,283

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:

	2015		2014
Collateralized mortgage obligations:
Converts in 1 year or less	$	102	$	71
Converts after 1 year through 5 years	99		226
Total	$	201	$	297

See Note 7 – Other-Than-Temporary Impairment Analysis for information on the transfers of securities between the AFS portfolio and the HTM portfolio.

131

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Note 6 — Held-to-Maturity Securities

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

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

December 31, 2014
	Amortized Cost(1)		OTTI Recognized in AOCI(1)			Carrying Value(1)		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses			Estimated Fair Value
Housing finance agency bonds:
California Housing Finance Agency (CalHFA) bonds	$	328	$	—		$	328	$	—	$	(45	)	$	283
MBS:
Other U.S. obligations – Ginnie Mae	1,513		—			1,513		15		(2		)	1,526
GSEs:
Freddie Mac	4,517		—			4,517		61		(12		)	4,566
Fannie Mae	5,313		—			5,313		121		(6		)	5,428
Subtotal GSEs	9,830		—			9,830		182		(18		)	9,994
PLRMBS:
Prime	1,133		—			1,133		1		(27		)	1,107
Alt-A, option ARM	14		—			14		—		(1		)	13
Alt-A, other	753		(20		)	733		19		(18		)	734
Subtotal PLRMBS	1,900		(20		)	1,880		20		(46		)	1,854
Total MBS	13,243		(20		)	13,223		217		(66		)	13,374
Total	$	13,571	$	(20	)	$	13,551	$	217	$	(111	)	$	13,657

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

132

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

At December 31, 2015, the amortized cost of the Bank’s MBS classified as HTM included premiums of $39, discounts of $42, and credit-related OTTI of $8. At December 31, 2014, the amortized cost of the Bank’s MBS classified as HTM included premiums of $51, discounts of $55, and credit-related OTTI of $7.

The following tables summarize the HTM securities with unrealized losses as of December 31, 2015 and 2014. The unrealized losses are aggregated by major security type and the length of time that individual securities have been in a continuous unrealized loss position. Total unrealized losses in the following table will not agree to the total gross unrecognized holding losses in the table above. The unrealized losses in the following table also include non-credit-related OTTI losses recognized in AOCI. For OTTI analysis of HTM securities, see Note 7 – Other-Than-Temporary Impairment Analysis.

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

December 31, 2014
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
Housing finance agency bonds:
CalHFA bonds	$	—	$	—	$	283	$	45	$	283	$	45
MBS:
Other U.S. obligations – Ginnie Mae	131		—		94		2		225		2
GSEs:
Freddie Mac	622		1		1,044		11		1,666		12
Fannie Mae	286		1		562		5		848		6
Subtotal GSEs	908		2		1,606		16		2,514		18
PLRMBS:
Prime	264		2		682		25		946		27
Alt-A, option ARM	—		—		13		1		13		1
Alt-A, other	30		—		685		38		715		38
Subtotal PLRMBS	294		2		1,380		64		1,674		66
Total MBS	1,333		4		3,080		82		4,413		86
Total	$	1,333	$	4	$	3,363	$	127	$	4,696	$	131

133

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

As indicated in the tables above, the Bank’s investments classified as HTM had unrealized losses primarily related to CalHFA bonds and MBS. The unrealized losses associated with the CalHFA bonds were mainly due to an illiquid market, credit concerns regarding the underlying mortgage collateral, and credit concerns regarding the monoline insurance providers, causing these investments to be valued at a discount to their acquisition cost. For its agency MBS, the Bank expects to recover the entire amortized cost basis of these securities because the Bank determined that the strength of the issuers’ guarantees through direct obligations or support from the U.S. government is sufficient to protect the Bank from losses. The unrealized losses associated with the PLRMBS were primarily due to illiquidity in the PLRMBS market, 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 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 December 31, 2015 and 2014, 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.

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

December 31, 2014
Year of Contractual Maturity	Amortized Cost(1)		Carrying Value(1)		Estimated Fair Value
HTM securities other than MBS:
Due after 5 years through 10 years	$	78	$	78	$	70
Due after 10 years	250		250		213
Subtotal	328		328		283
MBS	13,243		13,223		13,374
Total	$	13,571	$	13,551	$	13,657

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

Interest Rate Payment Terms. Interest rate payment terms for HTM securities at December 31, 2015 and 2014, are detailed in the following table:

134

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	2015		2014
Amortized cost of HTM securities other than MBS:
Adjustable rate	$	275	$	328
Subtotal	275		328
Amortized cost of HTM MBS:
Passthrough securities:
Fixed rate	146		285
Adjustable rate	416		415
Collateralized mortgage obligations:
Fixed rate	7,224		9,249
Adjustable rate	2,755		3,294
Subtotal	10,541		13,243
Total	$	10,816	$	13,571

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:

	2015		2014
Passthrough securities:
Converts in 1 year or less	$	22	$	79
Converts after 1 year through 5 years	119		140
Converts after 5 years through 10 years	—		59
Total	$	141	$	278
Collateralized mortgage obligations:
Converts in 1 year or less	$	7	$	73
Converts after 1 year through 5 years	13		26
Total	$	20	$	99

See Note 7 – Other-Than-Temporary Impairment Analysis for information on the transfers of securities between the AFS portfolio and the HTM portfolio.

Note 7 — Other-Than-Temporary Impairment Analysis

On a quarterly basis, the Bank evaluates its individual AFS and HTM investment securities in an unrealized loss position for OTTI.

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 December 31, 2015, using two third-party models. The first model projects prepayments, default rates, and loss severities on the underlying loan collateral based on borrower characteristics and the particular attributes of the loans underlying the Bank’s securities, in conjunction with assumptions related primarily to future changes in housing prices and interest rates. A significant input to the first model is the forecast of future housing price changes for the relevant states and core-based statistical areas (CBSAs), which are based on an assessment of the regional housing markets. CBSA refers collectively to metropolitan and micropolitan statistical areas as defined by the U.S. Office of Management and Budget. As currently defined, a CBSA must contain at least one urban area with a population of 10,000 or more people.

The OTTI Governance Committee of the Federal Home Loan Banks (FHLBanks) developed a short-term housing price forecast with projected changes ranging from a decrease of 3.0% to an increase of 8.0% over the 12-month period beginning October 1, 2015. For the vast majority of markets, the projected short-term housing price changes

135

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

range from an increase of 2.0% to an increase of 5.0%. Thereafter, a unique path is projected for each geographic area based on an internally developed framework derived from historical data.

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

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, the one-month London Interbank Offered Rate (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 rates of the index change 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 the PLRMBS in its AFS and HTM portfolios, the Bank does not intend to sell any security and it is not more likely than not that the Bank will be required to sell any security before its anticipated recovery of the remaining amortized cost basis.

For securities determined to be other-than-temporarily impaired as of December 31, 2015 (securities for which the Bank determined that it does not expect to recover the entire amortized cost basis), the following table presents a summary of the significant inputs used in measuring the amount of credit loss recognized in earnings during the year ended December 31, 2015, and the related current credit enhancement for the Bank.

136

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

December 31, 2015
	Significant Inputs for Other-Than-Temporarily Impaired PLRMBS			Current
	Prepayment Rates	Default Rates	Loss Severities	Credit Enhancement
Year of Securitization	Weighted Average % (1)	Weighted Average % (1)	Weighted Average % (1)	Weighted Average % (1)
Prime
2007	13.2	3.7	20.8	19.2
2006	13.1	18.1	32.5	—
Total Prime	13.2	3.8	20.9	19.0
Alt-A, option ARM
2006	5.7	39.9	39.2	6.1
2005	7.4	11.1	32.5	29.4
Total Alt-A, option ARM	5.9	35.9	38.2	9.3
Alt-A, other
2007	11.3	24.7	34.8	10.3
2006	10.2	26.5	38.7	19.6
2005	13.3	14.9	36.9	5.8
2004 and earlier	17.3	7.1	30.7	13.3
Total Alt-A, other	12.2	20.0	36.4	10.8
Total	11.7	21.0	36.3	10.8

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

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

The following table presents the credit-related OTTI, which is recognized in earnings, for the years ended December 31, 2015, 2014, and 2013.

	2015			2014			2013
Balance, beginning of the period	$	1,314		$	1,378		$	1,397
Additional charges on securities for which OTTI was previously recognized(1)	15			4			7
Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities(2)	(74		)	(68		)	(26		)
Balance, end of the period	$	1,255		$	1,314		$	1,378

(1) For the year ended December 31, 2015, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2015. For the year ended December 31, 2014, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2014. For the year ended December 31, 2013, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2013.

(2) The total accretion or amortization associated with other-than-temporarily impaired PLRMBS (amount recognized in interest income) totaled $82, $66, and $20 for the years ended December 31, 2015, 2014, and 2013, respectively.

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

137

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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

The following table summarizes the PLRMBS transferred from the Bank’s HTM portfolio to its AFS portfolio during the year ended December 31, 2015. The amounts shown represent the values when the securities were transferred from the HTM portfolio to the AFS portfolio. The Bank did not transfer any PLRMBS from its HTM portfolio to its AFS portfolio during the year ended December 31, 2014.

	2015
	Amortized Cost		OTTI Recognized in AOCI			Gross Unrecognized Holding Gains (Losses)		Estimated Fair Value
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
Prime	$	4	$	—		$	—	$	4
Alt-A, option ARM	12		(1		)	—		11
Total	$	16	$	(1	)	$	—	$	15

The following tables present the Bank’s AFS and HTM PLRMBS that incurred OTTI losses anytime during the life of the securities at December 31, 2015 and 2014, by loan collateral type:

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

138

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

December 31, 2014
	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	$	682	$	565	$	592	$	—	$	—	$	—	$	—
Alt-A, option ARM	1,391		1,031		1,065		—		—		—		—
Alt-A, other	5,374		4,687		4,714		132		128		108		127
Total	$	7,447	$	6,283	$	6,371	$	132	$	128	$	108	$	127

For the Bank’s PLRMBS that were not other-than-temporarily impaired as of December 31, 2015, the Bank has experienced net unrealized losses primarily because of illiquidity in the PLRMBS 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 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 December 31, 2015, all of the gross unrealized losses on these PLRMBS are temporary. These securities were included in the securities that the Bank reviewed and analyzed for OTTI as discussed above, and the analyses performed indicated that these securities were not other-than-temporarily impaired.

All Other Available-for-Sale and Held-to-Maturity Investments. For the Bank’s investments in housing finance agency bonds, which were issued by CalHFA, the gross unrealized losses were mainly due to an illiquid market, credit concerns regarding the underlying mortgage collateral, and credit concerns regarding the monoline insurance providers, causing these investments to be valued at a discount to their acquisition cost. The Bank independently modeled cash flows for the underlying collateral, using assumptions for default rates and loss severity that a market participant would deem reasonable, and concluded that the available credit support within the CalHFA structure more than offset the projected underlying collateral losses. The Bank determined that, as of December 31, 2015, 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 December 31, 2015, all of the gross unrealized losses on its agency MBS are temporary.

Note 8 — Advances

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

Redemption Terms. The Bank had advances outstanding, excluding overdrawn demand deposit accounts, at interest rates ranging from 0.25% to 8.57% at December 31, 2015, and 0.14% to 8.57% at December 31, 2014, as summarized below.

139

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	2015				2014
Contractual Maturity	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding		Weighted Average Interest Rate
Within 1 year	$	24,807	0.59	%	$	21,328	0.63	%
After 1 year through 2 years	4,252		1.19		7,597		1.07
After 2 years through 3 years	6,208		1.19		3,235		1.39
After 3 years through 4 years	6,877		0.89		3,216		1.65
After 4 years through 5 years	2,022		1.11		1,655		1.82
After 5 years	6,675		1.11		1,799		2.81
Total par value	50,841		0.84	%	38,830		1.02	%
Valuation adjustments for hedging activities	40				67
Valuation adjustments under fair value option	38				89
Total	$	50,919			$	38,986

Many of the Bank’s advances are prepayable at the borrower’s option. However, when advances are prepaid, the borrower is generally charged a prepayment fee intended to make the Bank financially indifferent to the prepayment. In addition, for certain advances with partial prepayment symmetry, the Bank may charge the borrower a prepayment fee or pay the borrower a prepayment credit depending on certain circumstances, such as movements in interest rates, when the advance is prepaid. The Bank had advances with partial prepayment symmetry outstanding totaling $3,510 at December 31, 2015, and $4,915 at December 31, 2014. Some advances may be repaid on pertinent call dates without prepayment fees (callable advances). The Bank had callable advances outstanding totaling $15,425 at December 31, 2015, and $328 at December 31, 2014.

The Bank’s advances at December 31, 2015 and 2014, included $140 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 December 31, 2015 and 2014, 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
	2015		2014		2015		2014
Within 1 year	$	25,983	$	21,460	$	24,947	$	21,468
After 1 year through 2 years	6,124		7,693		4,152		7,597
After 2 years through 3 years	8,432		3,258		6,168		3,135
After 3 years through 4 years	3,173		3,291		6,877		3,176
After 4 years through 5 years	5,706		1,646		2,022		1,655
After 5 years	1,423		1,482		6,675		1,799
Total par value	$	50,841	$	38,830	$	50,841	$	38,830

Credit and Concentration Risk. The following tables present the concentration in advances to the top five borrowers and their affiliates at December 31, 2015 and 2014. The tables also present the interest income from

these advances before the impact of interest rate exchange agreements associated with these advances for the years ended December 31, 2015 and 2014.

140

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

December 31, 2015
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
JPMorgan Chase Bank, National Association(2)(3)	$	14,813	29	%	$	65	16	%
Bank of the West	6,791		13		27		7
First Republic Bank	4,000		8		75		19
CIT Bank, National Association(4)	3,113		6		19		5
Citigroup Inc
Citibank, N.A.(2)	3,000		6		5		1
Banamex USA	—		—		—		—
Subtotal Citigroup Inc	3,000		6		5		1
Subtotal	31,717		62		191		48
Others	19,124		38		207		52
Total par value	$	50,841	100	%	$	398	100	%

December 31, 2014
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
Bank of the West	$	5,484	14	%	$	29	7	%
First Republic Bank	5,275		13		86		20
JPMorgan Chase & Co.:
JPMorgan Bank & Trust Company, National Association(3)	3,000		8		54		13
JPMorgan Chase Bank, National Association(2)	819		2		7		2
Subtotal JPMorgan Chase & Co.	3,819		10		61		15
Bank of America California, N.A.	3,500		9		18		4
OneWest Bank, N.A.(4)	3,364		9		28		6
Subtotal	21,442		55		222		52
Others	17,388		45		209		48
Total par value	$	38,830	100	%	$	431	100	%

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

(2) Nonmember institution.

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

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

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

For information related to the Bank’s credit risk on advances and allowance methodology for credit losses, see Note 10 – Allowance for Credit Losses.

141

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Interest Rate Payment Terms. Interest rate payment terms for advances at December 31, 2015 and 2014, are detailed below:

	2015		2014
Par value of advances:
Fixed rate:
Due within 1 year	$	13,073	$	15,422
Due after 1 year	9,381		12,330
Total fixed rate	22,454		27,752
Adjustable rate:
Due within 1 year	11,734		5,906
Due after 1 year	16,653		5,172
Total adjustable rate	28,387		11,078
Total par value	$	50,841	$	38,830

The Bank may use derivatives to adjust the repricing and options characteristics of advances to more closely match the characteristics of the Bank’s funding liabilities. In general, whenever a member executes a fixed or variable rate advance with embedded options, the Bank will simultaneously execute an interest rate exchange agreement with terms that offset the terms and embedded options in the advance. The combination of the advance and the interest rate exchange agreement effectively creates a variable rate asset. This type of hedge relationship receives fair value option accounting treatment. In addition, for certain advances for which the Bank has elected the fair value option, the Bank will simultaneously execute an interest rate exchange agreement with terms that economically offset the terms of the advance. However, this type of hedge is treated as an economic hedge because these combinations generally do not meet the requirements for fair value hedge accounting treatment. For more information, see Note 18 – Derivatives and Hedging Activities and Note 19 – Fair Value.

The Bank did not have any advances with embedded features that met the requirements to separate the embedded feature from the host contract and designate the embedded feature as a stand-alone derivative at December 31, 2015 or 2014. The Bank has generally elected to account for certain advances with embedded features under the fair value option, and these advances are carried at fair value on the Statements of Condition. For more information, see Note 19 – Fair Value.

Prepayment Fees, Net. The Bank charges borrowers prepayment fees or pays borrowers prepayment credits when the principal on certain advances is paid prior to original maturity. The Bank records prepayment fees net of any associated fair value adjustments related to prepaid advances that were hedged. The net amount of prepayment fees is reflected as interest income in the Statements of Income for the years ended December 31, 2015, 2014, and 2013,

as follows:

	2015			2014			2013
Prepayment fees received	$	28		$	16		$	14
Fair value adjustments	(20		)	(10		)	(9		)
Net	$	8		$	6		$	5
Advance principal prepaid	$	2,229		$	1,650		$	365

Note 9 — Mortgage Loans Held for Portfolio

Under the Mortgage Partnership Finance® (MPF®) Program, the Bank may purchase from members, for its own portfolio, conventional conforming fixed rate mortgage loans under the MPF Original product and FHA-insured or VA-guaranteed mortgage loans under the MPF Government product. In addition, the Bank may facilitate the purchase of conforming fixed rate mortgage loans from members for concurrent sale to Fannie Mae under the MPF Xtra® product and of jumbo fixed rate mortgage loans for concurrent sale to Redwood Residential Acquisition

142

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Corporation, a subsidiary of Redwood Trust, Inc., a real estate investment trust, under the MPF Direct product. As of December 31, 2015, the Bank had approved ten members as participating financial institutions since renewing its participation in the MPF Program in 2013.

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

The following table presents information as of December 31, 2015 and 2014, on mortgage loans, all of which are secured by one- to four-unit residential properties and single-unit second homes.

	2015			2014
Fixed rate medium-term mortgage loans	$	100		$	160
Fixed rate long-term mortgage loans	553			553
Subtotal	653			713
Unamortized premiums	10			6
Unamortized discounts	(8		)	(10		)
Mortgage loans held for portfolio	655			709
Less: Allowance for credit losses	—			(1		)
Total mortgage loans held for portfolio, net	$	655		$	708

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

The participating financial institution and the Bank share the risk of credit losses on conventional MPF loan products by structuring potential losses on conventional MPF loans into layers with respect to each master commitment. After any primary mortgage insurance, the Bank is obligated to incur the first layer or portion of credit losses not absorbed by the liquidation value of the real property securing the loan. Under the MPF Program, the participating financial institution’s credit enhancement protection consists of the credit enhancement amount, which may be a direct obligation of the participating financial institution or may be a supplemental mortgage insurance policy paid for by the participating financial institution, and may include a contingent performance-based credit enhancement fee payable to the participating financial institution. The participating financial institution is required to pledge collateral to secure any portion of its credit enhancement amount that is a direct obligation.

For taking on the credit enhancement obligation, the Bank pays the participating financial institution or any successor a credit enhancement fee, which is calculated on the remaining unpaid principal balance of the mortgage loans. The Bank records credit enhancement fees as a reduction to interest income. The Bank reduced net interest income for credit enhancement fees totaling a de minimisamountin 2015, $1 in 2014, and $1 in 2013.

For information related to the Bank’s credit risk on mortgage loans and allowance methodology for credit losses, see Note 10 – Allowance for Credit Losses.

Note 10 — Allowance for Credit Losses

An allowance for credit losses is a valuation allowance separately established for each identified portfolio segment, if it is probable that impairment has occurred in the Bank's portfolio as of the Statements of Condition date and the amount of loss can be reasonably estimated. To the extent necessary, an allowance for credit losses for off-balance sheet credit exposures is recorded as a liability.

143

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Portfolio Segments.A portfolio segment is defined as the level at which an entity develops and documents a systematic method for determining its allowance for credit losses. The Bank has developed and documented a systematic methodology for determining an allowance for credit losses for each of the following portfolio segments:

• advances, letters of credit, and other extensions of credit, collectively referred to as “credit products,”

• MPF loans held for portfolio,

• term securities purchased under agreements to resell, and

• term Federal funds sold.

Classes of Financing Receivables.Classes of financing receivables generally are a disaggregation of a portfolio segment to the extent needed to understand the exposure to credit risk arising from these financing receivables. The Bank determined that no further disaggregation of the portfolio segments identified above is needed because the credit risk arising from these financing receivables is assessed and measured by the Bank at the portfolio segment level.

Credit Products. The Bank lends to member financial institutions that have a principal place of business in Arizona, California, or Nevada. Under the 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 capital stock of the Bank owned by each borrowing member is pledged as additional collateral for the member's indebtedness to the Bank. 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 Housing and Economic Recovery Act of 2008 (Housing Act) added secured loans for community development activities as collateral that the Bank may accept from community financial institutions. In addition, the Bank has advances outstanding to former members and member successors, which are also subject to these security terms.

The Bank requires each borrowing member to execute a written Advances and Security Agreement, which describes the lending relationship between the Bank and the borrower. At December 31, 2015 and 2014, the Bank had a perfected security interest in collateral pledged by each borrowing member, or by the member's affiliate on behalf of the member, and by each nonmember borrower, with an estimated value in excess of the outstanding credit products for that borrower. Based on the financial condition of the borrower, the Bank may either (i) allow the borrower or the pledging affiliate to retain physical possession of loan collateral pledged to the Bank, provided that the borrower or the pledging affiliate agrees to hold the collateral for the benefit of the Bank, or (ii) require the borrower or the pledging affiliate to deliver physical possession of loan collateral to the Bank or its custodial agent. All securities collateral is required to be delivered to the Bank's custodial agent. All loan collateral pledged to the Bank is subject to a UCC-1 financing statement.

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

The Bank classifies as impaired any advance with respect to which 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 future principal payments are no longer in doubt. No advances were classified as impaired during the periods presented.

The Bank manages its credit exposure related to credit products through an integrated approach that generally provides for a credit limit to be established for each borrower, includes an ongoing review of each borrower’s

144

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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 December 31, 2015 and 2014, 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 2015 and 2014.

Based on the collateral pledged as security for advances, the Bank’s credit analyses of borrowers’ financial condition, and the Bank’s credit extension and collateral policies as of December 31, 2015, the Bank expects to collect all amounts due according to the contractual terms. Therefore, no allowance for losses on credit products was deemed necessary by the Bank. The Bank has never experienced any credit losses on its credit products.

Nomember institutions were placed into receivership during 2015 or from January 1, 2016, to February 29, 2016.

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 to offset losses under the master commitment, or the collectability or availability of credit enhancement is deemed to be uncertain. 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 financial institution is reported 90 days or more past due or when the loan is in foreclosure. 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 December 31, 2015 and 2014.

	2015			2014
	Recorded Investment(1)			Recorded Investment(1)
30 – 59 days delinquent	$	10		$	12
60 – 89 days delinquent	5			5
90 days or more delinquent	18			22
Total past due	33			39
Total current loans	625			673
Total mortgage loans	$	658		$	712
In process of foreclosure, included above(2)	$	7		$	11
Nonaccrual loans	$	18		$	22
Loans past due 90 days or more and still accruing interest	$	—		$	—
Serious delinquencies as a percentage of total mortgage loans outstanding(3)	2.76		%	3.12		%

(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.

145

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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

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

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 or

automated valuation models (AVMs) based on property characteristics as well as 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 collectively evaluated for

impairment considers loan pool-specific attribute data, applies estimated loss severities, and considers the

associated credit enhancements to determine the Bank's best estimate of probable incurred losses. The analysis

includes estimating projected cash flows that the Bank is likely to collect based on an assessment of all available

information, including prepayment speeds, default rates, and loss severity for the mortgage loans based on

underlying loan-level borrower and loan characteristics; expected housing price changes; and interest rate assumptions. In performing a detailed cash flow analysis, the Bank develops its best estimate of the cash flows

expected to be collected using a third-party model to project prepayments, default rates, and loss severities based on

borrower characteristics and the particular attributes of the mortgage loans, in conjunction with assumptions related

primarily to future changes in housing prices and interest rates. The assumptions used as inputs to the model,

including the forecast of future housing price changes, are consistent with assumptions used for the Bank's

evaluation of its PLRMBS for OTTI.

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

	2015			2014			2013
Balance, beginning of the period	$	1		$	2		$	3
(Charge-offs) /recoveries	(2		)	(1		)	—
Provision for/(reversal of) credit losses	1			—			(1		)
Balance, end of the period	$	—		$	1		$	2

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

	2015		2014
Allowance for credit losses, end of period:
Individually evaluated for impairment	$	—	$	1
Total allowance for credit losses	$	—	$	1
Recorded investment, end of period:
Individually evaluated for impairment	$	14	$	20
Collectively evaluated for impairment	644		692
Total recorded investment	$	658	$	712

146

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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

	2015						2014
	Recorded Investment		Unpaid Principal Balance		Related Allowance		Recorded Investment		Unpaid Principal Balance		Related Allowance
With no related allowance	$	13	$	13	$	—	$	14	$	14	$	—
With an allowance	1		1		—		6		6		1
Total	$	14	$	14	$	—	$	20	$	20	$	1

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

	2015		2014
With no related allowance	$	15	$	17
With an allowance	1		7
Total	$	16	$	24

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

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

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

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

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

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

The Bank calculates its estimated allowance for credit losses on mortgage loans acquired under the MPF Original and MPF Plus products as described below. Effective January 1, 2015, the Bank implemented the accounting requirements of regulatory Advisory Bulletin 2012-02. As a result, for any mortgage loans that are more than 180 days past due and that have any outstanding balance in excess of the fair value of the property, less cost to sell, this excess is charged off as a loss by the end of the month in which the applicable time period elapses. Likewise, when a borrower is in bankruptcy, loans are written down to the fair value of the collateral, less cost to sell, in general within 60 days of receipt of the notification of filing from the bankruptcy court, unless it can be clearly demonstrated and documented that repayment is likely to occur. As a result of these charge-offs during 2015, corresponding Allowance for Credit Losses on MPF Loans, which had previously provided for most of these expected losses, was reduced accordingly.

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

147

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

December 31, 2015 and 2014. For MPF Plus loans, the Bank established an allowance for credit losses totaling a de minimis amount as of December 31, 2015, and $1 as of December 31, 2014.

The second component applies to loans that are not specifically identified as impaired and is based on the Bank’s estimate of probable credit losses on those loans as of the financial statement date. The Bank evaluates the credit loss exposure on a loan pool basis considering various observable data, such as delinquency statistics, past performance, current performance, loan portfolio characteristics, collateral valuations, industry data, and prevailing economic conditions. The Bank also considers the availability and collectability of credit enhancements from participating financial institutions or from mortgage insurers under the terms of each master commitment. For this component, the Bank established an allowance for credit losses for MPF Original loans totaling de minimis amounts as of December 31, 2015 and 2014, and for MPF Plus loans totaling de minimis amounts as of December 31, 2015 and 2014.

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

The Bank’s TDRs of MPF loans primarily involve modifying the borrower’s monthly payment for a period of up to 36 months to reflect a housing expense ratio that is no more than 31% of the borrower’s qualifying monthly income. The outstanding principal balance is re-amortized to reflect a principal and interest payment for a term not to exceed 40 years from the original note date and a housing expense ratio not to exceed 31%. This would result in a balloon payment at the original maturity date of the loan because the maturity date and number of remaining monthly payments are not adjusted. If the 31% ratio is still not achieved through re-amortization, the interest rate is reduced in 0.125% increments below the original note rate, to a floor rate of 3.00%, resulting in reduced principal and interest payments, for the temporary payment modification period of up to 36 months, until the 31% housing expense ratio is met. The recorded investment of the Bank's nonperforming MPFloans classified as TDRs totaled $3 as of December 31, 2015, and $2 as of December 31, 2014.

Term Securities Purchased Under Agreements to Resell. Securities purchased under agreements to resell are considered collateralized financing arrangements and effectively represent short-term loans to counterparties that are considered by the Bank to be of investment quality, which are classified as assets in the Statements of Condition. Securities purchased under agreements to resell are held in safekeeping in the name of the Bank by third-party custodians approved by the Bank. In accordance with the terms of these loans, if the market value of the underlying securities decreases below the market value required as collateral, the counterparty must place an equivalent amount of additional securities as collateral or remit an equivalent amount of cash. If an agreement to resell is deemed to be impaired, the difference between the fair value of the collateral and the amortized cost of the agreement is charged to earnings. The Bank did not have any term securities purchased under agreements to resell at December 31, 2015 and 2014.

Term Federal Funds Sold. The Bank invests in Federal funds sold with counterparties that are considered by the Bank to be of investment quality, and these investments are evaluated for purposes of an allowance for credit losses only if the investment is not paid when due. All investments in Federal funds sold as of December 31, 2015 and 2014, were repaid or are expected to be repaid according to the contractual terms.

Note 11 — 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

148

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 December 31, 2015 and 2014, were as follows:

	2015		2014
Interest-bearing deposits:
Demand and overnight	$	124	$	159
Total interest-bearing deposits	124		159
Non-interest-bearing deposits	3		1
Total	$	127	$	160

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 December 31, 2015 and 2014, are detailed in the following table:

	2015				2014
	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding		Weighted Average Interest Rate
Interest-bearing deposits – Adjustable rate	$	124	0.01	%	$	159	0.01	%
Non-interest-bearing deposits	3				1
Total	$	127			$	160

Note 12 — 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 Note 20 – Commitments and Contingencies. In connection with each issuance of consolidated obligations, each FHLBank specifies the type, term, and amount of debt it requests to have issued on its behalf. The Office of Finance tracks the amount of debt issued on behalf of each FHLBank. In addition, the Bank separately tracks and records as a liability its specific portion of the consolidated obligations issued and is the primary obligor for that portion of the consolidated obligations issued. The Finance Agency and the U.S. Secretary of the Treasury have oversight over the issuance of FHLBank debt through the Office of Finance.

Consolidated obligation bonds are issued primarily to raise intermediate- and long-term funds for the FHLBanks. The maturity of consolidated obligation bonds generally ranges from 6 months to 15 years, but the maturity is not subject to any statutory or regulatory limits. Consolidated obligation discount notes are primarily used to raise short-term funds. These notes are issued at less than their face amount and redeemed at par value when they mature.

The par value of the outstanding consolidated obligations of the FHLBanks was $905,202 at December 31, 2015, and $847,175 at December 31, 2014. Regulations require the FHLBanks to maintain, for the benefit of investors in consolidated obligations, in the aggregate, unpledged qualifying assets in an amount equal to the consolidated obligations outstanding. Qualifying assets are defined as cash; secured advances; assets with an assessment or credit rating at least equivalent to the current assessment or credit rating of the consolidated obligations; obligations, participations, mortgages, or other securities of or issued by the United States or an agency of the United States; and such securities as fiduciary and trust funds may invest in under the laws of the state in which the FHLBank is located. Any assets subject to a lien or pledge for the benefit of holders of any issue of consolidated obligations are treated as if they were free from lien or pledge for the purposes of compliance with these regulations. At

149

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

December 31, 2015, the Bank had qualifying assets totaling $85,542, and the Bank's participation in consolidated obligations outstanding was $79,483.

General Terms. Consolidated obligations are generally issued with either fixed rate payment terms or adjustable rate payment terms, which use a variety of indices for interest rate resets, including LIBOR, the Federal funds effective rate, and others. In addition, to meet the specific needs of certain investors, fixed rate and adjustable rate consolidated obligation bonds may contain certain embedded features, such as call options and complex coupon payment terms. In general, when such consolidated obligation bonds are issued for which the Bank is the primary obligor, the Bank simultaneously enters into interest rate exchange agreements containing offsetting features to, in effect, convert the terms of the bond to the terms of a simple adjustable rate bond indexed to LIBOR.

In addition to having fixed rate or simple adjustable rate coupon payment terms, consolidated obligations may include:

• Callable bonds, which the Bank may call in whole or in part at its option on predetermined call dates according to the terms of the bond offerings;

• Step-up callable bonds, which pay interest at increasing fixed rates for specified intervals over the life of the bond and can generally be called at the Bank's option on the step-up dates according to the terms of the bond offerings;

• Step-down callable bonds, which pay interest at decreasing fixed rates for specified intervals over the life of the bond and can generally be called at the Bank's option on the step-down dates according to the terms of the bond offerings;

• Conversion callable bonds, which have coupon rates that convert from fixed to adjustable or from adjustable to fixed on predetermined dates and can generally be called at the Bank’s option on predetermined call dates according to the terms of the bond offerings.

Redemption Terms. The following is a summary of the Bank’s participation in consolidated obligation bonds at December 31, 2015 and 2014.

	2015					2014
Contractual Maturity	Amount Outstanding			Weighted Average Interest Rate		Amount Outstanding			Weighted Average Interest Rate
Within 1 year	$	29,114		1.03	%	$	21,044		0.36	%
After 1 year through 2 years	11,264			0.91		9,871			2.43
After 2 years through 3 years	5,162			1.28		4,518			1.70
After 3 years through 4 years	1,430			1.44		2,336			1.49
After 4 years through 5 years	1,740			1.67		3,103			1.71
After 5 years	2,982			2.43		5,851			2.13
Total par value	51,692			1.14	%	46,723			1.29	%
Unamortized premiums	27					58
Unamortized discounts	(9		)			(13		)
Valuation adjustments for hedging activities	142					308
Fair value option valuation adjustments	(17		)			(31		)
Total	$	51,835				$	47,045

The Bank’s participation in consolidated obligation bonds outstanding includes callable bonds of $8,005 at December 31, 2015, and $14,158 at December 31, 2014. When a callable bond for which the Bank is the primary obligor is issued, the Bank may simultaneously enter into an interest rate swap (in which the Bank pays a variable rate and receives a fixed rate) with a call feature that mirrors the call option embedded in the bond (a sold callable swap). The Bank had notional amounts of interest rate exchange agreements hedging callable bonds of $4,835 at December 31, 2015, and $9,573 at December 31, 2014. The combined sold callable swaps and callable bonds

150

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

enable the Bank to meet its funding needs at costs not otherwise directly attainable solely through the issuance of non-callable debt, while effectively converting the Bank’s net payment to an adjustable rate.

The Bank’s participation in consolidated obligation bonds at December 31, 2015 and 2014, was as follows:  

	2015		2014
Par value of consolidated obligation bonds:
Non-callable	$	43,687	$	32,565
Callable	8,005		14,158
Total par value	$	51,692	$	46,723

The following is a summary of the Bank’s participation in consolidated obligation bonds outstanding at December 31, 2015 and 2014, by the earlier of the year of contractual maturity or next call date.

Earlier of Contractual Maturity or Next Call Date	2015		2014
Within 1 year	$	36,469	$	33,558
After 1 year through 2 years	10,914		9,156
After 2 years through 3 years	3,282		2,043
After 3 years through 4 years	455		1,010
After 4 years through 5 years	395		385
After 5 years	177		571
Total par value	$	51,692	$	46,723

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

	2015					2014
	Amount Outstanding			Weighted Average Interest Rate (1)		Amount Outstanding			Weighted Average Interest Rate (1)
Par value	$	27,663		0.25	%	$	21,815		0.09	%
Unamortized discounts	(15		)			(4		)
Total	$	27,648				$	21,811

(1) Represents yield to maturity excluding concession fees.

Interest Rate Payment Terms. Interest rate payment terms for consolidated obligations at December 31, 2015 and 2014, are detailed in the following table.

151

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	2015		2014
Par value of consolidated obligations:
Bonds:
Fixed rate	$	28,942	$	39,324
Adjustable rate	20,815		3,678
Step-up	1,110		2,654
Step-down	550		500
Fixed rate that converts to adjustable rate	175		467
Range bonds	100		100
Total bonds, par value	51,692		46,723
Discount notes, par value	27,663		21,815
Total consolidated obligations, par value	$	79,355	$	68,538

Consolidated obligation bonds may be structured to meet the Bank's or the investors' needs. Common structures include fixed rate bonds with or without call options and adjustable rate bonds with or without embedded options. In general, when bonds are issued, the Bank simultaneously executes an interest rate exchange agreement with terms that offset the terms and embedded options, if any, of the consolidated obligation bond. This combination of the consolidated obligation bond and the interest rate exchange agreement effectively creates an adjustable rate bond. The cost of this funding combination is generally lower than the cost that would be available through the issuance of an adjustable rate bond alone. These transactions generally receive fair value hedge accounting treatment. In addition, when certain consolidated obligation bonds for which the Bank has elected the fair value option are issued, the Bank simultaneously executes an interest rate exchange agreement with terms that economically offset the terms of the consolidated obligation bond. However, this type of hedge is treated as an economic hedge because these combinations generally do not meet the requirements for fair value hedge accounting treatment. For more information, see Note 18 – Derivatives and Hedging Activities and Note 19 – Fair Value.

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 December 31, 2015 or 2014. The Bank has generally elected to account for certain bonds with embedded features under the fair value option, and these bonds are carried at fair value on the Statements of Condition. For more information, see Note 19 – Fair Value.

Note 13 — Affordable Housing Program

The FHLBank Act requires each FHLBank to establish an Affordable Housing Program (AHP). Each FHLBank provides subsidies to members, which use the funds to assist in the purchase, construction, or rehabilitation of housing for very low-, low-, and moderate-income households. Subsidies may be in the form of direct grants or below-market interest rate advances. Annually, the FHLBanks must set aside for their AHPs, in the aggregate, the greater of $100 or 10% of the current year's net earnings (income before interest expense related to mandatorily redeemable capital stock and the assessment for AHP).

The Bank accrues its AHP assessment monthly based on its net earnings. If the Bank experienced a net loss during a quarter but still had net earnings for the year, the Bank's obligation to the AHP would be calculated based on the Bank's year-to-date net earnings. If the Bank had net earnings in subsequent quarters, it would be required to contribute additional amounts to meet its calculated annual obligation. If the Bank experienced a net loss for a full year, the amount of the AHP liability would be equal to zero, since each FHLBank's required annual AHP contribution is limited to its annual net earnings. However, if the result of the aggregate 10% calculation is less than $100 for the FHLBanks combined, then the FHLBank Act requires that each FHLBank contribute such prorated sums as may be required to ensure that the aggregate contribution of the FHLBanks equals $100. The proration would be made on the basis of an FHLBank's income in relation to the income of all the FHLBanks for the previous

152

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

year. There was no AHP shortfall, as described above, in 2015, 2014, or 2013. If an FHLBank finds that its required AHP assessments are contributing to the financial instability of that FHLBank, it may apply to the Finance Agency for a temporary suspension of its contributions. The Bank did not make such an application in 2015, 2014, or 2013.

The Bank's total AHP assessments equaled $78, $36, and $52 during 2015, 2014, and 2013, respectively. These amounts were charged to earnings each year and recognized as a liability. As subsidies are disbursed, the AHP liability is reduced. The AHP liability was as follows:

	2015			2014			2013
Balance, beginning of the period	$	147		$	151		$	144
AHP assessments	78			36			52
AHP grant payments	(53		)	(40		)	(45		)
Balance, end of the period	$	172		$	147		$	151

All subsidies were distributed in the form of direct grants in 2015, 2014, and 2013.

Note 14 — Accumulated Other Comprehensive Income/(Loss)

The following table summarizes the changes in AOCI for the years ended December 31, 2015, 2014, and 2013:

153

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	Net Non-Credit-Related OTTI Loss on AFS Securities			Net Non-Credit-Related OTTI Loss on HTM Securities			Pension and Postretirement Benefits			Total AOCI
Balance, December 31, 2012	$	(748	)	$	(34	)	$	(12	)	$	(794	)
Other comprehensive income/(loss) before reclassifications:
Net change in pension and postretirement benefits							5			5
Non-credit-related OTTI loss	—			(4		)				(4		)
Non-credit-related OTTI loss transferred	(4		)	4						—
Net change in fair value	644									644
Accretion of non-credit-related OTTI loss				7						7
Reclassification from other comprehensive income/(loss) to net income/(loss):
Non-credit-related OTTI to credit-related OTTI	(3		)	—						(3		)
Net current period other comprehensive income/(loss)	637			7			5			649
Balance, December 31, 2013	(111		)	(27		)	(7		)	(145		)
Other comprehensive income/(loss) before reclassifications:
Net change in pension and postretirement benefits							(5		)	(5		)
Non-credit-related OTTI loss	(10		)	—						(10		)
Net change in fair value	209									209
Accretion of non-credit-related OTTI loss				7						7
Net current period other comprehensive income/(loss)	199			7			(5		)	201
Balance, December 31, 2014	88			(20		)	(12		)	56
Other comprehensive income/(loss) before reclassifications:
Net change in pension and postretirement benefits							(2		)	(2		)
Non-credit-related OTTI loss	(18		)	(1		)				(19		)
Non-credit-related OTTI loss transferred	(1		)	1						—
Net change in fair value	(29		)							(29		)
Accretion of non-credit-related OTTI loss				6						6
Reclassification from other comprehensive income/(loss) to net income/(loss):
Non-credit-related OTTI to credit-related OTTI	3			—						3
Net current period other comprehensive income/(loss)	(45		)	6			(2		)	(41		)
Balance, December 31, 2015	$	43		$	(14	)	$	(14	)	$	15

Note 15 — Capital

Capital Requirements. The Bank issues only one class of capital stock, Class B stock, with a par value of one hundred dollars per share, which may be redeemed (subject to certain conditions) upon five years' notice by the member to the Bank. In addition, at its discretion, under certain conditions, the Bank may repurchase excess capital stock at any time. (See “Excess Capital Stock” below for more information.) The capital stock may be issued, redeemed, and repurchased only at its stated par value, subject to certain statutory and regulatory requirements. The Bank may only redeem or repurchase capital stock from a shareholder if, following the redemption or repurchase, the shareholder will continue to meet its minimum capital stock requirement and the Bank will continue to meet its regulatory requirements for total capital, leverage capital, and risk-based capital.

154

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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

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

As of December 31, 2015 and 2014, the Bank was in compliance with these capital rules and requirements as shown in the following table.

	2015						2014
	Required			Actual			Required			Actual
Risk-based capital	$	2,684		$	5,369		$	3,231		$	6,356
Total regulatory capital	$	3,428		$	5,369		$	3,032		$	6,356
Total regulatory capital ratio	4.00		%	6.26		%	4.00		%	8.38		%
Leverage capital	$	4,285		$	8,054		$	3,790		$	9,534
Leverage ratio	5.00		%	9.40		%	5.00		%	12.58		%

The Bank's capital plan requires each member to own capital stock in an amount equal to the greater of its membership capital stock requirement or its activity-based capital stock requirement. The Bank may adjust these requirements from time to time within limits established in the capital plan. Any changes to the capital plan must be approved by the Bank's Board of Directors and the Finance Agency.

The Bank amended its capital plan, effective April 1, 2015, to lower the cap on the membership stock requirement to $15 from $25, lower the activity-based stock requirement to 3.0% from 4.7% for outstanding advances and to 3.0% from 5.0% for mortgage loans purchased and held by the Bank, and change the authorized ranges for the activity-based stock requirement to a range of 2.0% to 5.0% from a range of 4.4% to 5.0% for advances and to a range of 0.0% to 5.0% from a range of 5.0% to 5.7% for mortgage loans purchased and held by the Bank. Effective August 3, 2015, the Bank reduced its activity-based stock requirements within the ranges authorized by the Bank’s capital plan. The activity-based stock requirement for advances was reduced from 3.0% to 2.7%, and the activity-based stock requirement for mortgage loans purchased from the member and held by the Bank was reduced from 3.0% to 0.0%.

A member's membership capital stock requirement is 1.0% of its membership asset value. The membership capital stock requirement for a member is capped at $15. The Bank may adjust the membership capital stock requirement for all members within a range of 0.5% to 1.5% of a member's membership asset value and may adjust the cap for all members within an authorized range of $10 to $50. A member's membership asset value is determined by multiplying the amount of the member's membership assets by the applicable membership asset factors. Membership assets are generally defined as assets (other than Bank capital stock) of a type that could qualify as collateral to secure a member's indebtedness to the Bank under applicable law, whether or not the assets are pledged to the Bank or accepted by the Bank as eligible collateral. The membership asset factors were initially based on the typical borrowing capacity percentages generally assigned by the Bank to the same types of assets when pledged to

155

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

the Bank (although the factors may differ from the actual borrowing capacities, if any, assigned to particular assets pledged by a specific member at any point in time).

A member's activity-based capital stock requirement is the sum of 2.7% of the member's outstanding advances plus 0.0% of any portion of any mortgage loan purchased and held by the Bank. The Bank may adjust the activity-based capital stock requirement for all members within a range of 2.0% to 5.0% of the member's outstanding advances and a range of 0.0% to 5.0% of any portion of any mortgage loan purchased and held by the Bank.

Any member may withdraw from membership and, subject to certain statutory and regulatory restrictions, have its capital stock redeemed after giving the required notice. Members that withdraw from membership may not reapply for membership for five years, in accordance with Finance Agency rules.

Mandatorily Redeemable Capital Stock. The Bank reclassifies the capital stock subject to redemption from capital to a liability after a member provides the Bank with a written notice of redemption; gives notice of intention to withdraw from membership; or attains nonmember status by merger or acquisition, charter termination, or other involuntary membership termination; or after a receiver or other liquidating agent for a member transfers the member's Bank capital stock to a nonmember entity, resulting in the member's shares then meeting the definition of a mandatorily redeemable financial instrument. Shares meeting this definition are reclassified to a liability at fair value. Dividends declared on shares classified as a liability are accrued at the expected dividend rate and reflected as interest expense in the Statements of Income. The repayment of these mandatorily redeemable financial instruments (by repurchase or redemption of the shares) is reflected as a financing cash outflow in the Statements of Cash Flows once settled.

The Bank has a cooperative ownership structure under which members, former members, and certain other nonmembers own the Bank's capital stock. Former members and certain other nonmembers are required to maintain their investment in the Bank's capital stock until their outstanding transactions are paid off or until their capital stock is redeemed following the relevant five-year redemption period for capital stock or is repurchased by the Bank, in accordance with the Bank's capital requirements. Capital stock cannot be issued, repurchased, redeemed, or transferred except between the Bank and its members (or their affiliates and successors) at the capital stock's par value of one hundred dollars per share. If a member cancels its written notice of redemption or notice of withdrawal or if the Bank allows the transfer of mandatorily redeemable capital stock to a member, the Bank reclassifies mandatorily redeemable capital stock from a liability to capital. After the reclassification, dividends on the capital stock are no longer classified as interest expense.

The Bank will not redeem or repurchase capital stock required to meet the minimum capital stock requirement until five years after the member's membership is terminated or after the Bank receives notice of the member's withdrawal, and the Bank will redeem or repurchase only the amounts that are in excess of the capital stock required to support activity (advances and mortgage loans) that may remain outstanding after the five-year redemption period has expired. The Bank will not redeem or repurchase activity-based capital stock as long as the activity remains outstanding, even after the expiration of the five-year redemption period. In both cases, the Bank will only redeem or repurchase capital stock if certain statutory and regulatory conditions are met. In accordance with the Bank's current practice, if activity-based capital stock becomes excess capital stock because an activity no longer remains outstanding, the Bank may repurchase the excess activity-based capital stock at its discretion, subject to certain statutory and regulatory conditions, on a scheduled quarterly basis.

The Bank had mandatorily redeemable capital stock totaling $488 outstanding to 9 institutions at December 31, 2015, and $719 outstanding to 32 institutions at December 31, 2014. The change in mandatorily redeemable capital stock for the years ended December 31, 2015, 2014, and 2013 was as follows:

156

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	2015			2014			2013
Balance at the beginning of the period	$	719		$	2,071		$	4,343
Reclassified from/(to) capital during the period(1)	415			3			4
Redemption of mandatorily redeemable capital stock	(53		)	(296		)	(502		)
Repurchase of excess mandatorily redeemable capital stock	(593		)	(1,059		)	(1,774		)
Balance at the end of the period	$	488		$	719		$	2,071

(1) The Bank reclassified $403 of capital stock to mandatorily redeemable capital stock (a liability) on September 1, 2015, as a result of the merger of JPMorgan B&T with and into JPMorgan Chase, a nonmember of the Bank.

Cash dividends on mandatorily redeemable capital stock were recorded as interest expense in the amount of $65, $120, and $155 for the years ended December 31, 2015, 2014, and 2013, respectively.

The following table presents mandatorily redeemable capital stock amounts by contractual redemption period at December 31, 2015 and 2014.

Contractual Redemption Period	2015		2014
Within 1 year	$	82	$	51
After 1 year through 2 years	1		582
After 2 years through 3 years	—		9
After 3 years through 4 years	—		1
After 4 years through 5 years	381		2
Past contractual redemption date because of remaining activity(1)	24		74
Total	$	488	$	719

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

A member may cancel its notice of redemption or notice of withdrawal from membership by providing written notice to the Bank prior to the end of the relevant five-year redemption period or the membership termination date. If the Bank receives the notice of cancellation within 30 months following the notice of redemption or notice of withdrawal, the member is charged a fee equal to fifty cents multiplied by the number of shares of capital stock affected. If the Bank receives the notice of cancellation more than 30 months following the notice of redemption or notice of withdrawal (or if the Bank does not redeem the member's capital stock because following the redemption the member would fail to meet its minimum capital stock requirement), the member is charged a fee equal to one dollar multiplied by the number of shares of capital stock affected. In certain cases the Board of Directors may waive a cancellation fee for bona fide business purposes.

The Bank's capital stock is considered putable by the shareholder. There are significant statutory and regulatory restrictions on the Bank's obligation or ability to redeem outstanding capital stock, which include the following:

• The Bank may not redeem any capital stock if, following the redemption, the Bank would fail to meet its minimum capital requirements for total capital, leverage capital, and risk-based capital. All of the Bank's capital stock immediately becomes nonredeemable if the Bank fails to meet its minimum capital requirements.

• The Bank may not be able to redeem any capital stock if either its Board of Directors or the Finance Agency determines that it has incurred or is likely to incur losses resulting in or expected to result in a charge against capital that would have any of the following effects: cause the Bank not to comply with its regulatory capital requirements, result in negative retained earnings, or otherwise create an unsafe and unsound condition at the Bank.

157

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

• In addition to being able to prohibit capital stock redemptions, the Bank's Board of Directors has a right to call for additional capital stock purchases by its members, as a condition of continuing membership, as needed for the Bank to satisfy its statutory and regulatory capital requirements.

• If, during the period between receipt of a capital stock redemption notice and the actual redemption (a period that could last indefinitely), the Bank becomes insolvent and is either liquidated or merged with another FHLBank, the redemption value of the capital stock will be established either through the liquidation or the merger process. If the Bank is liquidated, after satisfaction of the Bank's obligations to creditors and to the extent funds are then available, each shareholder will be entitled to receive the par value of its capital stock as well as any retained earnings in an amount proportional to the shareholder's share of the total shares of capital stock, subject to any limitations that may be imposed by the Finance Agency. In the event of a merger or consolidation, the Board of Directors will determine the rights and preferences of the Bank's shareholders, subject to any terms and conditions imposed by the Finance Agency.

• The Bank may not redeem any capital stock if the principal or interest due on any consolidated obligations issued by the Office of Finance has not been paid in full.

• The Bank may not redeem any capital stock if the Bank fails to provide the Finance Agency with the quarterly certification required by Finance Agency rules prior to declaring or paying dividends for a quarter.

• The Bank may not redeem any capital stock if the Bank is unable to provide the required quarterly certification, projects that it will fail to comply with statutory or regulatory liquidity requirements or will be unable to fully meet all of its obligations on a timely basis, actually fails to satisfy these requirements or obligations, or negotiates to enter or enters into an agreement with another FHLBank to obtain financial assistance to meet its current obligations.

Mandatorily redeemable capital stock is considered capital for determining the Bank's compliance with its regulatory capital requirements. Based on Finance Agency interpretation, the classification of certain shares of the Bank's capital stock as mandatorily redeemable does not affect the definition of total capital for purposes of: determining the Bank's compliance with its regulatory capital requirements, calculating its mortgage-backed securities investment authority (300% of total capital), calculating its unsecured credit exposure to other GSEs (limited to 100% of total capital), or calculating its unsecured credit limits to other counterparties (various percentages of total capital depending on the rating of the counterparty).

Excess Stock Repurchase, Retained Earnings, and Dividend Framework. By Finance Agency regulation, dividends may be paid only out of current net earnings or previously retained earnings. As required by the Finance Agency, the Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework is reviewed at least annually by the Bank's Board of Directors. It summarizes the Bank’s capital management principles and objectives, as well as its policies and practices, with respect to retained earnings, dividend payments, and the repurchase of excess capital stock.The Board of Directors may amend the Excess Stock Repurchase, Retained Earnings, and Dividend Framework from time to time.

The Bank may be restricted from paying dividends if the Bank is not in compliance with any of its minimum capital requirements or if payment would cause the Bank to fail to meet any of its minimum capital requirements. In addition, the Bank may not pay dividends if any principal or interest due on any consolidated obligations has not been paid in full or is not expected to be paid in full, or, under certain circumstances, if the Bank fails to satisfy certain liquidity requirements under applicable Finance Agency regulations.

The Bank’s Risk Management Policy limits the payment of dividends if the ratio of the Bank’s estimated market value of total capital to par value of capital stock falls below certain levels. If this ratio at the end of any quarter is less than 100% but greater than or equal to 70%, any dividend would be limited to an annualized rate no greater than the daily average of the three-month LIBOR for the applicable quarter (subject to certain conditions), and if this ratio is less than 70%, the Bank would be restricted from paying a dividend. The ratio of the Bank’s estimated market value of total capital to par value of capital stock was 200% as of December 31, 2015.

158

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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

Retained Earnings Related to Valuation Adjustments– In accordance with the Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework, the Bank retains in restricted retained earnings any cumulative net gains in earnings (net of applicable assessments) resulting from gains or losses on derivatives and associated hedged items and financial instruments carried at fair value (valuation adjustments).

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

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

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

On July 31, 2015, the Board of Directors set the required amount of restricted retained earnings for loss protection and capital compliance at $2,000. Restricted retained earnings available to meet this requirement include amounts related to the Bank’s buildup of retained earnings and to the Joint Capital Enhancement Agreement, but exclude retained earnings related to valuations adjustments. Restricted retained earnings for loss protection and capital compliance were $2,008 as of December 31, 2015.

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

Buildup – As of March 31, 2012, the Bank reached the $1,800 target for the buildup of retained earnings that had previously been set by the Board of Directors. On July 31, 2015, the Board of Directors lowered the requirement to $1,650 and transferred $150 to unrestricted retained earnings.

Joint Capital Enhancement Agreement – The FHLBanks’ Joint Capital Enhancement Agreement, as amended (JCE Agreement), is intended to enhance the capital position of each FHLBank. In accordance with the JCE Agreement, each FHLBank is required to allocate 20% of its net income each quarter to a separate restricted retained earnings account until the balance of the account equals at least 1% of that FHLBank's average balance of outstanding

159

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

consolidated obligations for the previous quarter. Under the JCE Agreement, these restricted retained earnings will not be available to pay dividends.

Retained earnings related to the JCE Agreement totaled $358 and $230 at December 31, 2015 and 2014, respectively.

The following table summarizes the activity related to retained earnings for the years ended December 31, 2015 and 2014:

				Restricted Retained Earnings Related to:
	Unrestricted Retained Earnings			Valuation Adjustments			Buildup			Joint Capital Enhancement Agreement		Total Restricted Retained Earnings			Total Retained Earnings
Balance, December 31, 2013	$	317		$	88		$	1,800		$	189	$	2,077		$	2,394
Net income	217			(53		)	—			41		(12		)	205
Cash dividends on capital stock	(240		)	—			—			—		—			(240		)
Balance, December 31, 2014	$	294		$	35		$	1,800		$	230	$	2,065		$	2,359
Net income	535			(25		)	—			128		103			638
Cash dividends on capital stock	(369		)	—			—			—		—			(369		)
Transfers from restricted retained earnings	150			—			(150		)	—		(150		)	—
Balance, December 31, 2015	$	610		$	10		$	1,650		$	358	$	2,018		$	2,628

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

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

capital stock exceeds 1% of its total assets. Excess capital stock is defined as the aggregate of the capital stock held by each shareholder in excess of its minimum capital stock requirement, as established by the Bank’s capital plan. As of December 31, 2015, the Bank’s excess capital stock totaled $402, or 0.47% of total assets.

The Bank paid dividends at an annualized rate of 12.39%, totaling $434, including $369 in dividends on capital stock and $65 in dividends on mandatorily redeemable capital stock. The dividends included four quarterly dividends and a special dividend in the amount of $145, including $120 on capital stock and $25 in dividends on mandatorily redeemable capital stock. The Bank paid dividends at an annualized rate of 7.02%, totaling $360, including $240 in dividends on capital stock and $120 in dividends on mandatorily redeemable capital stock in 2014.

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

On February 18, 2016, the Bank’s Board of Directors declared a cash dividend on the capital stock outstanding during the fourth quarter of 2015 at an annualized rate of 7.99%, totaling $55, including $45 in dividends on capital stock and $10 in dividends on mandatorily redeemable capital stock. The Bank recorded the dividend on February 18, 2016. The Bank expects to pay the dividend on or about March 17, 2016. Dividends on mandatorily redeemable capital stock will be recognized as interest expense in the first quarter of 2016.

160

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Excess Capital Stock – The Bank may repurchase some or all of a shareholder’s excess capital stock, including any excess mandatorily redeemable capital stock, at the Bank’s discretion, subject to certain statutory and regulatory requirements. The Bank must give the shareholder 15 days’ written notice; however, the shareholder may waive this notice period. The Bank may also repurchase all of a member’s excess capital stock at a member’s request, at the Bank’s discretion, subject to certain statutory and regulatory requirements. A shareholder’s excess capital stock is defined as any capital stock holdings in excess of the shareholder’s minimum capital stock requirement, as established by the Bank’s capital plan. The Bank repurchased $2,032 and $2,000 in excess capital stock during 2015 and 2014, respectively.

The Bank is required to redeem any mandatorily redeemable capital stock that is in excess of a former member’s minimum stock requirement on or after the expiration of the five-year redemption date. During 2015 and 2014, the Bank redeemed $53 and $296, respectively, in mandatorily redeemable capital stock, for which the five-year redemption period had expired, at its $100 par value. The stock was redeemed on the scheduled redemption dates or, for stock that was not excess stock on its scheduled redemption date because of outstanding activity with the Bank, on the first available repurchase date after the stock was no longer required to support outstanding activity with the Bank.

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

On February 19, 2016, the Bank announced that it plans to repurchase the surplus capital stock of all members and the excess capital stock of all nonmember shareholders on March 18, 2016.

Excess capital stock totaled $402 as of December 31, 2015, and $1,118 as of December 31, 2014.

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 December 31, 2015 or 2014.

161

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	2015				2014
Name of Institution	Capital Stock Outstanding		Percentage of Total Capital Stock Outstanding		Capital Stock Outstanding		Percentage of Total Capital Stock Outstanding
JPMorgan Chase & Co.:
JPMorgan Bank & Trust Company, National Association	$	—	—	%	$	268	7	%
JPMorgan Chase Bank, National Association(1)(2)	400		15		68		2
Subtotal JPMorgan Chase & Co.	400		15	%	336		9
Citigroup Inc.:
Citibank, N.A.(1)	81		3		577		14
Banamex USA	4		—		2		—
Subtotal Citigroup Inc.	85		3		579		14
Subtotal	485		18		915		23
Others	2,256		82		3,082		77
Total	$	2,741	100	%	$	3,997	100	%

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

(2) The Bank reclassified $403 of capital stock to mandatorily redeemable capital stock (a liability) on September 1, 2015, as a result of the merger of JPMorgan B&T with and into JPMorgan Chase, a nonmember of the Bank.

Note 16 — Employee Retirement Plans and Incentive Compensation Plans

Defined Benefit Plans

Qualified Defined Benefit Plan. The Bank provides retirement benefits through a Bank-sponsored Cash Balance Plan, a qualified defined benefit plan. The Cash Balance Plan is provided to all employees who have completed six months of Bank service. Under the plan, each eligible Bank employee accrues benefits annually equal to 6% of the employee's annual compensation, plus 6% interest on the benefits accrued to the employee through the prior yearend. The Cash Balance Plan is funded through a qualified trust established by the Bank.

Non-Qualified Defined Benefit Plans. The Bank sponsors the following non-qualified defined benefit retirement plans:

• Benefit Equalization Plan, a non-qualified retirement plan restoring benefits offered under the Cash Balance Plan that are limited by laws governing the plan. See below for further discussion of the defined contribution portion of the Benefit Equalization Plan.

• Supplemental Executive Retirement Plan (SERP),a non-qualified unfunded retirement benefit plan available to the Bank's eligible senior officers, which generally provides a service-linked supplemental cash balance annual contribution credit to SERP participants and an annual interest credit of 6% on the benefits accrued to the SERP participants through the prior yearend.

• Deferred Compensation Plan, a non-qualified retirement plan available to all eligible Bank officers, which provides make-up pension benefits that would have been earned under the Cash Balance Plan had the compensation not been deferred. The make-up benefits vest according to the corresponding provisions of the Cash Balance Plan. See below for further discussion of the defined contribution portion of the Deferred Compensation Plan.

Postretirement Health Benefit Plan. The Bank provides a postretirement health benefit plan to employees hired before January 1, 2003. The Bank's costs are capped at 1998 health care premium amounts. As a result, changes in health care cost trend rates will have no effect on the Bank's accumulated postretirement benefit obligation or service and interest costs.

162

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

The following table summarizes the changes in the benefit obligations, plan assets, and funded status of the defined benefit Cash Balance Plan, non-qualified defined benefit plans, and postretirement health benefit plan for the years ended December 31, 2015 and 2014.

	2015									2014
	Cash Balance Plan			Non-Qualified Defined Benefit Plans			Post-retirement Health Benefit Plan			Cash Balance Plan			Non-Qualified Defined Benefit Plans			Post-retirement Health Benefit Plan
Change in benefit obligation
Benefit obligation, beginning of the period	$	43		$	23		$	2		$	37		$	21		$	2
Service cost	3			1			—			2			1			—
Interest cost	2			1			—			2			1			—
Actuarial (gain)/loss	(1		)	(1		)	—			3			—			—
Benefits paid	(1		)	—			—			(1		)	—			—
Benefit obligation, end of the period	46			24			2			43			23			2
Change in plan assets
Fair value of plan assets, beginning of the period	41			—			—			38			—			—
Actual return on plan assets	(1		)	—			—			2			—			—
Employer contributions	4			—			—			2			—			—
Benefits paid	(1		)	—			—			(1		)	—			—
Fair value of plan assets, end of the period	43			—			—			41			—			—
Funded status at the end of the period	$	(3	)	$	(24	)	$	(2	)	$	(2	)	$	(23	)	$	(2	)

Amounts recognized in the Statements of Condition at December 31, 2015 and 2014, consist of:

	2015									2014
	Cash Balance Plan			Non-Qualified Defined Benefit Plans			Post-retirement Health Benefit Plan			Cash Balance Plan			Non-Qualified Defined Benefit Plans			Post-retirement Health Benefit Plan
Other liabilities	$	(3	)	$	(24	)	$	(2	)	$	(2	)	$	(23	)	$	(2	)

Amounts recognized in AOCI at December 31, 2015 and 2014, consist of:

	2015							2014
	Cash Balance Plan		Non-Qualified Defined Benefit Plans		Post-retirement Health Benefit Plan			Cash Balance Plan		Non-Qualified Defined Benefit Plans		Post-retirement Health Benefit Plan
Net loss/(gain)	$	12	$	3	$	(1	)	$	9	$	4	$	(2	)
Prior service cost	—		—		—			—		1		—
AOCI	$	12	$	3	$	(1	)	$	9	$	5	$	(2	)

The following table presents information for pension plans with benefit obligations in excess of plan assets at December 31, 2015 and 2014.

163

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	2015						2014
	Cash Balance Plan		Non-Qualified Defined Benefit Plans		Post-retirement Health Benefit Plan		Cash Balance Plan		Non-Qualified Defined Benefit Plans		Post-retirement Health Benefit Plan
Projected benefit obligation	$	46	$	24	$	2	$	43	$	23	$	2
Accumulated benefit obligation	44		24		2		41		22		2
Fair value of plan assets	43		—		—		41		—		—

Components of the net periodic benefit costs and other amounts recognized in other comprehensive income for the years ended December 31, 2015, 2014, and 2013, were as follows:

	2015									2014							2013
	Cash Balance Plan			Non-Qualified Defined Benefit Plans			Post-retirement Health Benefit Plan			Cash Balance Plan			Non-Qualified Defined Benefit Plans		Post-retirement Health Benefit Plan		Cash Balance Plan			Non-Qualified Defined Benefit Plans		Post-retirement Health Benefit Plan
Net periodic benefit cost/(income)
Service cost	$	3		$	1		$	—		$	2		$	1	$	—	$	3		$	2	$	—
Interest cost	2			1			—			2			1		—		1			1		—
Expected return on plan assets	(3		)	—			—			(3		)	—		—		(3		)	—		—
Amortization of net loss/(gain)	—			1			(1		)	—			—		—		1			—		—
Net periodic benefit cost	2			3			(1		)	1			2		—		2			3		—
Other changes in plan assets and benefit obligations recognized in other comprehensive income
Net loss/(gain)	3			(1		)	—			4			1		—		(5		)	—		(1		)
Prior service cost	—			—			—			—			—		—		—			1		—
Amortization of net loss/(gain)	—			(1		)	1			—			—		—		—			—		—
Total recognized in other comprehensive income	3			(2		)	1			4			1		—		(5		)	1		(1		)
Total recognized in net periodic benefit cost and other comprehensive income	$	5		$	1		$	—		$	5		$	3	$	—	$	(3	)	$	4	$	(1	)

The amounts in AOCI expected to be recognized as components of net periodic benefit cost in 2016 are as follows:

	Cash Balance Plan		Non-Qualified Defined Benefit Plans		Post-retirement Health Benefit Plan
Estimated net gain/(loss)	$	1	$	—	$	—

Weighted average assumptions used to determine the benefit obligations at December 31, 2015 and 2014, for the Cash Balance Plan, non-qualified defined benefit plans, and postretirement health benefit plan were as follows:

164

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	2015						2014
	Cash Balance Plan		Non-Qualified Defined Benefit Plans		Post- retirement Health Benefit Plan		Cash Balance Plan		Non-Qualified Defined Benefit Plans		Post-retirement Health Benefit Plan
Discount rate	3.75	%	3.75	%	4.00	%	3.50	%	3.50	%	3.75	%
Rate of salary increase	3.00% through 2016 4.00% thereafter		3.00% through 2016 4.00% thereafter		—		3.00% through 2015 4.00% thereafter		3.00% through 2015 4.00% thereafter		—

Weighted average assumptions used to determine the net periodic benefit costs for the years ended December 31, 2015, 2014, and 2013, for the Cash Balance Plan, non-qualified defined benefit plans, and postretirement health benefit plan were as follows:

	2015						2014						2013
	Cash Balance Plan		Non-Qualified Defined Benefit Plans		Post-retirement Health Benefit Plan		Cash Balance Plan		Non-Qualified Defined Benefit Plans		Post-retirement Health Benefit Plan		Cash Balance Plan		Non-Qualified Defined Benefit Plans		Post-retirement Health Benefit Plan
Discount rate	3.50	%	3.50	%	3.75	%	4.25	%	4.25	%	4.75	%	3.25	%	3.25	%	3.75	%
Rate of salary increase	3.00% through 2015 4.00% thereafter		3.00% through 2015 4.00% thereafter		—		3.00% through 2015 4.00% thereafter		3.00% through 2015 4.00% thereafter		—		3.00% through 2015 4.00% thereafter		3.00% through 2015 4.00% thereafter		—
Expected return on plan assets	8.00	%	—		—		8.00	%	—		—		8.00	%	—		—

The Bank uses a discount rate to determine the present value of its future benefit obligations. The discount rate was determined based on the Citigroup Pension Discount Curve at the measurement date. The Citigroup Pension Discount Curve is a yield curve that reflects the market-observed yields for high-quality fixed income securities for each maturity. The projected benefit payments for each year from the plan are discounted using the spot rates on the yield curve to derive a single equivalent discount rate. The discount rate is reset annually on the measurement date.

The expected return on plan assets was determined based on: (i) the historical returns for each asset class, (ii) the expected future long-term returns for these asset classes, and (iii) the plan's target asset allocation.

The table below presents the fair values of the Cash Balance Plan's assets as of December 31, 2015 and 2014, by asset category. See Note 19 – Fair Value for further information regarding the three levels of fair value measurement.

	2015								2014
	Fair Value Measurement Using:								Fair Value Measurement Using:
Asset Category	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Cash and cash equivalents	$	2	$	—	$	—	$	2	$	1	$	—	$	—	$	1
Equity mutual funds	24		—		—		24		25		—		—		25
Fixed income mutual funds	14		—		—		14		13		—		—		13
Real estate mutual funds	2		—		—		2		1		—		—		1
Other mutual funds	1		—		—		1		1		—		—		1
Total	$	43	$	—	$	—	$	43	$	41	$	—	$	—	$	41

165

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

The Cash Balance Plan is administered by the Bank's Retirement Committee, which establishes the plan's Statement of Investment Policy and Objectives. The Retirement Committee has adopted a strategic asset allocation based on a stable distribution of assets among major asset classes. These asset classes include domestic large-, mid-, and small-capitalization equity investments; international equity investments; real return investments; and fixed income investments. The Retirement Committee has set the Cash Balance Plan's target allocation percentages for a mix of 60% equity, 10% real return, and 30% fixed income. The Retirement Committee reviews the performance of the Cash Balance Plan on a regular basis.

The Cash Balance Plan's weighted average asset allocation at December 31, 2015 and 2014, by asset category was as follows:

Asset Category	2015		2014
Cash and cash equivalents	6	%	4	%
Equity mutual funds	56		61
Fixed income mutual funds	32		31
Real estate mutual funds	4		2
Other mutual funds	2		2
Total	100	%	100	%

The Bank contributed $4 in 2015 and expects to contribute $2 in 2016 to the Cash Balance Plan. The Bank contributed a de minimis amount in 2015 and expects to contribute $6 in 2016 to the non-qualified defined benefit plans and postretirement health benefit plan.

The following are the estimated future benefit payments, which reflect expected future service, as appropriate:

Year	Cash Balance Plan		Non-Qualified Defined Benefit Plans		Postretirement Health Benefit Plan
2016	$	4	$	6	$	—
2017	3		1		—
2018	3		4		—
2019	4		1		—
2020	4		1		—
2021 – 2025	22		16		1

Defined Contribution Plans

Retirement Savings Plan. The Bank sponsors a qualified defined contribution retirement 401(k) savings plan, the Federal Home Loan Bank of San Francisco Savings Plan (Savings Plan). Contributions to the Savings Plan consist of elective participant contributions of up to 20% of each participant's base compensation and a Bank matching contribution of up to 6% of each participant's base compensation. The Bank contributed approximately $2, $2, and $2 during the years ended December 31, 2015, 2014, and 2013, respectively.

Benefit Equalization Plan. The Bank sponsors a non-qualified retirement plan restoring benefits offered under the Savings Plan that have been limited by laws governing the plan. Contributions made during the years ended December 31, 2015, 2014, and 2013, were de minimis.

Deferred Compensation Plan. The Bank maintains a deferred compensation plan that is available to all eligible Bank officers. The defined contribution portion of the plan is comprised of two components: (i) officer or director deferral of current compensation, and (ii) make-up matching contributions for officers that would have been made

166

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

by the Bank under the Savings Plan had the compensation not been deferred. The make-up benefits under the Deferred Compensation Plan vest according to the corresponding provisions of the Savings Plan. The Deferred Compensation Plan liability consists of the accumulated compensation deferrals and accrued earnings on the deferrals, as well as the make-up matching contributions and any accrued earnings on the contributions. The Bank's obligation for this plan at December 31, 2015, 2014, and 2013, was $35, $33, and $30, respectively.

Incentive Compensation Plans

The Bank provides incentive compensation plans for many of its employees, including senior officers. Other liabilities include $12 and $12 for incentive compensation at December 31, 2015 and 2014, respectively.

Note 17 — Segment Information

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

The advances-related business consists of advances and other credit products, related financing and hedging

instruments, other non-MBS investments associated with the Bank's role as a liquidity provider, and capital.

Adjusted net interest income for this segment is derived primarily from the difference, or spread, between the yield

on all assets associated with the business activities in this segment and the cost of funding those activities, including

the net settlements from associated interest rate exchange agreements, and from earnings on invested capital.

The mortgage-related business consists of MBS investments, mortgage loans acquired through the MPF Program,

the consolidated obligations specifically identified as funding those assets, and related hedging instruments.

Adjusted net interest income for this segment is derived primarily from the difference, or spread, between the yield

on the MBS and mortgage loans and the cost of the consolidated obligations funding those assets, including the net settlements from associated interest rate exchange agreements, less the provision for credit losses on mortgage loans.

The following table presents the Bank’s adjusted net interest income by operating segment and reconciles total adjusted net interest income to income before the AHP assessment for the years ended December 31, 2015, 2014, and 2013.

	Advances- Related Business		Mortgage- Related Business(1)		Adjusted Net Interest Income		Amortization of Basis Adjustments(2)			Income/(Expense) on Economic Hedges(3)			Interest Expense on Mandatorily Redeemable Capital Stock(4)		Net Interest Income After Mortgage Loan Loss Provision		Other Income/ (Loss)			Other Expense		Income Before AHP Assessment
2015	$	155	$	351	$	506	$	(17	)	$	(18	)	$	65	$	476	$	388		$	148	$	716
2014	166		410		576		(19		)	(64		)	120		539		(154		)	144		241
2013	175		449		624		(48		)	34			155		483		5			128		360

(1) The mortgage-related business includes total accretion or amortization associated with other-than-temporarily impaired PLRMBS, which are recognized in interest income, and totaled $82, $66, and $20 for the years ended December 31, 2015, 2014, and 2013. The mortgage-related business does not include credit-related OTTI losses of $15, $4, and $7 for the years ended December 31, 2015, 2014, and 2013, respectively.

167

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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

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

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

The following table presents total assets by operating segment at December 31, 2015, 2014, and 2013.

	Advances- Related Business		Mortgage- Related Business		Total Assets
2015	$	69,051	$	16,656	$	85,707
2014	55,424		20,383		75,807
2013	62,297		23,477		85,774

Note 18 — Derivatives and Hedging Activities

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

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

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

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

168

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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

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

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

The notional principal of the interest rate exchange agreements associated with derivatives with members or offsetting derivatives with other counterparties was $132 at December 31, 2015. The Bank had no interest rate exchange agreements with members or offsetting derivatives with other counterparties at December 31, 2014.

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

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

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

169

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

agreement with terms that offset the terms and embedded options in the advance. The combination of the advance and the interest rate exchange agreement effectively creates a variable rate asset.

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

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

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

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

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

The Bank did not have any consolidated obligations denominated in currencies other than U.S. dollars outstanding during 2015, 2014, or 2013.

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

For cleared derivatives, the clearinghouse is the Bank’s counterparty. The requirement that the Bank post initial and variation margin through the clearing agent, to the clearinghouse, exposes the Bank to institutional credit risk in the event that the clearing agent or the clearinghouse fails to meet its obligations. The use of cleared derivatives, however, mitigates the Bank’s overall credit risk exposure because a central counterparty is substituted for individual counterparties and variation margin is posted daily for changes in the value of cleared derivatives through a clearing agent. The Bank has analyzed the enforceability of offsetting rights applicable to its cleared derivative transactions

170

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

and determined that the exercise of those offsetting rights by a non-defaulting party under these transactions should be upheld under applicable bankruptcy law and Commodity Futures Trading Commission rules in the event of a clearinghouse or clearing agent insolvency and under applicable clearinghouse rules upon a non-insolvency-based event of default of the clearinghouse or clearing agent. Based on this analysis, the Bank presents a net derivative receivable or payable for all of its transactions through a particular clearing agent with a particular clearinghouse.

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

The notional amount of an interest rate exchange agreement serves as a factor in determining periodic interest payments or cash flows received and paid. However, the notional amount of derivatives represents neither the actual amounts exchanged nor the overall exposure of the Bank to credit risk and market risk. The risks of derivatives can be measured meaningfully on a portfolio basis by taking into account the counterparties, the types of derivatives, the items being hedged, and any offsets between the derivatives and the items being hedged.

The Bank’s agreements for uncleared derivative transactions contain provisions that link the Bank’s credit rating from Moody’s and Standard & Poor’s to various rights and obligations. Certain of these derivative agreements provide that, if the Bank’s long-term debt rating falls below a specified rating (ranging from A3/A- to Baa3/BBB-), the Bank’s counterparty would have the right, but not the obligation, to terminate all of its outstanding derivative transactions with the Bank; the Bank’s agreements with its clearing agents for cleared derivative transactions have similar provisions with respect to the debt rating of FHLBank System consolidated bonds. If this occurs, the Bank may choose to enter into replacement hedges, either by transferring the existing transactions to another counterparty or entering into new replacement transactions, based on prevailing market rates. In addition, under some of its credit support agreements for uncleared derivative transactions, the amount of collateral that the Bank is required to deliver to a counterparty depends on the Bank’s credit rating. The aggregate fair value of all uncleared derivative instruments with credit-risk-related contingent features that were in a net derivative liability position (before cash collateral and related accrued interest) at December 31, 2015, was $35, for which the Bank had posted collateral with a fair value of $31 in the ordinary course of business. If the Bank’s credit rating at December 31, 2015, had been lowered from its current rating to the next lower rating, that would have triggered additional collateral to be delivered, and the Bank would have been required to deliver up to a total of $2 of additional collateral (at fair value) to its derivative counterparties at December 31, 2015.

The following table summarizes the fair value of derivative instruments including the effect of netting adjustments and cash collateral as of December 31, 2015 and 2014. For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest.

171

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	2015								2014
	Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities			Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	27,110	$	192		$	71		$	28,018	$	374		$	103
Total	27,110		192			71			28,018		374			103
Derivatives not designated as hedging instruments:
Interest rate swaps	50,444		58			71			31,973		72			129
Interest rate caps and floors	2,230		6			1			2,306		9			1
Mortgage delivery commitments	5		—			—			—		—			—
Total	52,679		64			72			34,279		81			130
Total derivatives before netting and collateral adjustments	$	79,789	256			143			$	62,297	455			233
Netting adjustments and cash collateral(1)			(212		)	(137		)			(396		)	(213		)
Total derivative assets and total derivative liabilities			$	44		$	6				$	59		$	20

(1) Amounts include the netting of derivative assets and liabilities by counterparty, including cash collateral and related accrued interest, where the netting requirements have been met. Cash collateral posted and related accrued interest was $57 and $65 at December 31, 2015, and 2014, respectively. Cash collateral received and related accrued interest was $132 and $248 at December 31, 2015, and 2014, respectively.

The following table presents the components of net gain/(loss) on derivatives and hedging activities as presented in the Statements of Income for the years ended December 31, 2015, 2014, and 2013.

	2015			2014			2013
	Gain/(Loss)			Gain/(Loss)			Gain/(Loss)
Derivatives designated as hedging instruments:
Interest rate swaps	$	(10	)	$	(12	)	$	(2	)
Total net gain/(loss) related to fair value hedge ineffectiveness	(10		)	(12		)	(2		)
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	13			26			(8		)
Interest rate caps and floors	(3		)	(14		)	2
Net settlements	(18		)	(64		)	34
Mortgage delivery commitments	2			—			—
Total net gain/(loss) related to derivatives not designated as hedging instruments	(6		)	(52		)	28
Net gain/(loss) on derivatives and hedging activities	$	(16	)	$	(64	)	$	26

The following table presents, by type of hedged item, the gains and losses on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on the Bank’s net interest income for the years ended December 31, 2015, 2014, and 2013.

172

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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)
Year ended December 31, 2015:
Advances	$	19		$	(20	)	$	(1	)	$	(106	)
Consolidated obligation bonds	(170		)	161			(9		)	257
Total	$	(151	)	$	141		$	(10	)	$	151
Year ended December 31, 2014:
Advances	$	23		$	(23	)	$	—		$	(128	)
Consolidated obligation bonds	(189		)	177			(12		)	260
Total	$	(166	)	$	154		$	(12	)	$	132
Year ended December 31, 2013:
Advances	$	178		$	(175	)	$	3		$	(126	)
Consolidated obligation bonds	(373		)	368			(5		)	366
Total	$	(195	)	$	193		$	(2	)	$	240

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

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

The following table presents separately the fair value of derivative assets and derivative liabilities that have met the netting requirements, including the related collateral received from or pledged to counterparties as of December 31, 2015 and 2014.

	2015						2014
	Derivative Assets			Derivative Liabilities			Derivative Assets			Derivative Liabilities
Derivative instruments meeting netting requirements
Gross recognized amount
Uncleared derivatives	$	166		$	93		$	352		$	199
Cleared derivatives	90			50			103			34
Total gross recognized amount	256			143			455			233
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives	(149		)	(87		)	(324		)	(179		)
Cleared derivatives	(63		)	(50		)	(72		)	(34		)
Total gross amount of netting adjustments and cash collateral	(212		)	(137		)	(396		)	(213		)
Total derivative assets and total derivative liabilities
Uncleared derivatives	17			6			28			20
Cleared derivatives	27			—			31			—
Total derivative assets and derivative liabilities presented in the Statements of Condition	44			6			59			20
Non-cash collateral received or pledged not offset
Can be sold or repledged - Uncleared derivatives	11			—			25			—
Net unsecured amount
Uncleared derivatives	6			6			3			20
Cleared derivatives	27			—			31			—
Total net unsecured amount	$	33		$	6		$	34		$	20

173

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Note 19 — 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 December 31, 2015 and 2014. Although the Bank uses its best judgment in estimating the fair value of these financial instruments, there are inherent limitations in any estimation technique or valuation methodology. For example, because an active secondary market does not exist for a portion of the Bank’s financial instruments, in certain cases fair values cannot be precisely quantified or verified and may change as economic and market factors and evaluation of those factors change. The Bank continues to refine its valuation methodologies as markets and products develop and the pricing for certain products becomes more or less transparent. While the Bank believes that its valuation methodologies are appropriate and consistent with those of other market participants, the use of different methodologies or assumptions to determine the fair value of certain financial instruments could result in a materially different estimate of fair value as of the reporting date. Therefore, the fair values are not necessarily indicative of the amounts that would be realized in current market transactions, although they do reflect the Bank’s judgment as to how a market participant would estimate the fair values. The fair value summary table does not represent an estimate of the overall market value of the Bank as a going concern, which would take into account future business opportunities and the net profitability of total assets and liabilities.

The following tables present the carrying value, the estimated fair value, and the fair value hierarchy level of the Bank’s financial instruments at December 31, 2015 and 2014.

	December 31, 2015
	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments(1)
Assets
Cash and due from banks	$	1,637	$	1,637	$	1,637	$	—	$	—	$	—
Securities purchased under agreements to resell	10,000		10,000		—		10,000		—		—
Federal funds sold	4,626		4,626		—		4,626		—		—
Trading securities	1,433		1,433		—		1,433		—		—
AFS securities	5,414		5,414		—		—		5,414		—
HTM securities	10,802		10,821		—		9,118		1,703		—
Advances	50,919		50,844		—		50,844		—		—
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	655		694		—		694		—		—
Accrued interest receivable	56		56		—		56		—		—
Derivative assets, net(1)	44		44		—		256		—		(212		)
Other assets(2)	10		10		10		—		—		—
Liabilities
Deposits	127		127		—		127		—		—
Consolidated obligations:
Bonds	51,835		51,773		—		51,773		—		—
Discount notes	27,648		27,640		—		27,640		—		—
Total consolidated obligations	79,483		79,413		—		79,413		—		—
Mandatorily redeemable capital stock	488		488		488		—		—		—
Accrued interest payable	80		80		—		80		—		—
Derivative liabilities, net(1)	6		6		—		143		—		(137		)
Other
Standby letters of credit	18		18		—		18		—		—
Commitments to issue consolidated obligation bonds(3)	—		1		—		1		—		—

174

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	December 31, 2014
	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments(1)
Assets
Cash and due from banks	$	3,920	$	3,920	$	3,920	$	—	$	—	$	—
Securities purchased under agreements to resell	1,000		1,000		—		1,000		—		—
Federal funds sold	7,503		7,503		—		7,503		—		—
Trading securities	3,524		3,524		—		3,524		—		—
AFS securities	6,371		6,371		—		—		6,371		—
HTM securities	13,551		13,657		—		11,521		2,136		—
Advances	38,986		39,060		—		39,060		—		—
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	708		769		—		769		—		—
Accrued interest receivable	67		67		—		67		—		—
Derivative assets, net(1)	59		59		—		455		—		(396		)
Other assets(2)	11		11		11		—		—		—
Liabilities
Deposits	160		160		—		160		—		—
Consolidated obligations:
Bonds	47,045		47,021		—		47,021		—		—
Discount notes	21,811		21,811		—		21,811		—		—
Total consolidated obligations	68,856		68,832		—		68,832		—		—
Mandatorily redeemable capital stock	719		719		719		—		—		—
Accrued interest payable	95		95		—		95		—		—
Derivative liabilities, net(1)	20		20		—		233		—		(213		)
Other
Standby letters of credit	12		12		—		12		—		—
Commitments to fund advances(3)	—		2		—		2		—		—

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

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

(3) Estimated fair values of these commitments are presented as a net gain or (loss). For more information regarding these commitments, see Note 20 – Commitments and Contingencies.

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

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

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

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

175

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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

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

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

The following assets and liabilities, including those for which the Bank has elected the fair value option, are carried at fair value on the Statements of Condition as of December 31, 2015:

• Trading securities

• AFS securities

• Certain advances

• Derivative assets and liabilities

• Certain consolidated obligation bonds

• Certain other assets

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

Summary of Valuation Methodologies and Primary Inputs.

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

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

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

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

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

176

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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

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

As of December 31, 2015, 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.

As an additional step, the Bank reviewed the fair value estimates of its PLRMBS as of December 31, 2015, for reasonableness using a market-implied yield test. The Bank calculated a market-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 market-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.

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

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

The Bank’s primary inputs for measuring the fair value of advances are market-based consolidated obligation yield curve (CO Curve) inputs obtained from the Office of Finance. The CO Curve is then adjusted to reflect the rates on replacement advances with similar terms and collateral. These spread adjustments are not market-observable and are evaluated for significance in the overall fair value measurement and the fair value hierarchy level of the advance. The Bank obtains market-observable inputs for complex advances. These inputs may include volatility assumptions, which are market-based expectations of future interest rate volatility implied from current market prices for similar options (swaption volatility and volatility skew). The discount rates used in these calculations are the replacement advance rates for advances with similar terms. Pursuant to the Finance Agency’s advances

177

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

regulation, advances with an original term to maturity or repricing period greater than six months generally require a prepayment fee sufficient to make the Bank financially indifferent to the borrower’s decision to prepay the advances. The Bank determined that no adjustment is required to the fair value measurement of advances for prepayment fees. In addition, the Bank did not adjust its fair value measurement of advances for creditworthiness primarily because advances were fully collateralized.

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

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

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

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

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

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

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

178

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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

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

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

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

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

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

Fair Value Measurements. The tables below present the fair value of assets and liabilities, which are recorded on a recurring or nonrecurring basis at December 31, 2015 and 2014, by level within the fair value hierarchy.

179

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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

December 31, 2014
	Fair Value Measurement Using:						Netting
	Level 1		Level 2		Level 3		Adjustments(1)			Total
Recurring fair value measurements – Assets:
Trading securities:
GSEs – FFCB bonds	$	—	$	3,513	$	—	$	—		$	3,513
MBS:
Other U.S. obligations – Ginnie Mae	—		11		—		—			11
Total trading securities	—		3,524		—		—			3,524
AFS securities:
PLRMBS	—		—		6,371		—			6,371
Total AFS securities	—		—		6,371		—			6,371
Advances(2)	—		5,137		—		—			5,137
Derivative assets, net: interest rate-related	—		455		—		(396		)	59
Other assets	11		—		—		—			11
Total recurring fair value measurements – Assets	$	11	$	9,116	$	6,371	$	(396	)	$	15,102
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	6,717	$	—	$	—		$	6,717
Derivative liabilities, net: interest rate-related	—		233		—		(213		)	20
Total recurring fair value measurements – Liabilities	$	—	$	6,950	$	—	$	(213	)	$	6,737
Nonrecurring fair value measurements – Assets:
REO	$	—	$	—	$	1				$	1

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

180

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

(2) Represents advances recorded under the fair value option at December 31, 2015 and 2014.

(3) Represents consolidated obligation bonds recorded under the fair value option at December 31, 2015 and 2014.

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

The following table presents a reconciliation of the Bank’s AFS PLRMBS that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the years ended December 31, 2015, 2014, and 2013.

	2015			2014			2013
Balance, beginning of the period	$	6,371		$	7,047		$	7,604
Total gain/(loss) realized and unrealized included in:
Interest income	83			66			21
Net OTTI loss, credit-related	(15		)	(4		)	(7		)
Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI	(29		)	209			644
Net amount of OTTI loss reclassified to/(from) other income/(loss)	(15		)	(10		)	(3		)
Settlements	(996		)	(937		)	(1,284		)
Transfers of HTM securities to AFS securities	15			—			72
Balance, end of the period	$	5,414		$	6,371		$	7,047
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	$	68		$	62		$	15

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

The Bank elected the fair value option for certain financial instruments as follows:

• Adjustable rate advances with embedded options (excluding call and put options)

• Callable fixed rate advances

• Putable fixed rate advances

• Putable fixed rate advances with embedded options

• Fixed rate advances with partial prepayment symmetry

• Callable or non-callable capped floater consolidated obligation bonds

• Convertible consolidated obligation bonds

• Adjustable or fixed rate range accrual consolidated obligation bonds

• Ratchet consolidated obligation bonds

• Adjustable rate advances indexed to non-LIBOR indices such as the Prime Rate, U.S. Treasury bill, and Federal funds effective rate

• Adjustable rate consolidated obligation bonds indexed to non-LIBOR indices such as the Prime Rate, U.S. Treasury bill, and Federal funds effective rate

• Step-up callable bonds, which pay interest at increasing fixed rates for specified intervals over the life of the bond and can generally be called at the Bank's option on the step-up dates

• Step-down callable bonds, which pay interest at decreasing fixed rates for specified intervals over the life of the bond and can generally be called at the Bank's option on the step-down dates

181

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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

The following table summarizes the activity related to financial assets and liabilities for which the Bank elected the fair value option during the years ended December 31, 2015, 2014, and 2013:

	2015						2014						2013
	Advances			Consolidated Obligation Bonds			Advances			Consolidated Obligation Bonds			Advances			Consolidated Obligation Bonds
Balance, beginning of the period	$	5,137		$	6,717		$	7,069		$	10,115		$	7,390		$	27,884
New transactions elected for fair value option	1,018			2,585			783			3,607			837			3,547
Maturities and terminations	(2,442		)	(5,083		)	(2,700		)	(7,088		)	(988		)	(21,165		)
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option	(31		)	19			(11		)	82			(169		)	(146		)
Change in accrued interest	(5		)	(5		)	(4		)	1			(1		)	(5		)
Balance, end of the period	$	3,677		$	4,233		$	5,137		$	6,717		$	7,069		$	10,115

For instruments for which the fair value option has been elected, the related contractual interest income and contractual interest expense are recorded as part of net interest income on the Statements of Income. The remaining changes in fair value for instruments for which the fair value option has been elected are recorded as net gains/ (losses) on financial instruments held under the fair value option in the Statements of Income. The change in fair value does not include changes in instrument-specific credit risk. For advances and consolidated obligations recorded under the fair value option, the Bank determined that no adjustments to the fair values of these instruments for instrument-specific credit risk were necessary for the years ended December 31, 2015, 2014, and 2013.

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 December 31, 2015 and 2014:

	2015							2014
	Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance			Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance
Advances(1)	$	3,639	$	3,677	$	38		$	5,048	$	5,137	$	89
Consolidated obligation bonds	4,250		4,233		(17		)	6,748		6,717		(31		)

(1) At December 31, 2015 and 2014, none of these advances were 90 days or more past due or had been placed on nonaccrual status.

Note 20 — 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

182

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

FHLBank, and as of December 31, 2015, and through the filing date of this report, does not believe that it is probable that it will be asked to do so.

The Bank determined that it was not necessary to recognize a liability for the fair value of the Bank's joint and several liability for all consolidated obligations. The joint and several obligations are mandated by the FHLBank Act or regulations governing the operations of the FHLBanks and are not the result of arms-length transactions among the FHLBanks. The FHLBanks have no control over the amount of the guarantee or the determination of how each FHLBank would perform under the joint and several obligations. Because the FHLBanks are subject to the authority of the Finance Agency as it relates to decisions involving the allocation of the joint and several liability for the FHLBanks' consolidated obligations, the FHLBanks' joint and several obligations are excluded from the initial recognition and measurement provisions. Accordingly, the Bank has not recognized a liability for its joint and several obligation related to other FHLBanks' participations in the consolidated obligations. The par value of the outstanding consolidated obligations of the FHLBanks was $905,202 at December 31, 2015, and $847,175 at December 31, 2014. The par value of the Bank’s participation in consolidated obligations was $79,355 at December 31, 2015, and $68,538 at December 31, 2014.

The joint and several liability regulation provides a general framework for addressing the possibility that an FHLBank may be unable to repay its participation in the consolidated obligations for which it is the primary obligor. In accordance with this regulation, the president of each FHLBank is required to provide a quarterly certification that, among other things, the FHLBank will remain capable of making full and timely payment of all its current obligations, including direct obligations.

In addition, the regulation requires that an FHLBank must provide written notice to the Finance Agency if at any time the FHLBank is unable to provide the quarterly certification; projects that it will be unable to fully meet all of its current obligations, including direct obligations, on a timely basis during the quarter; or negotiates or enters into an agreement with another FHLBank for financial assistance to meet its obligations. If an FHLBank gives any one of these notices (other than in a case of a temporary interruption in the FHLBank's debt servicing operations resulting from an external event such as a natural disaster or a power failure), it must promptly file a consolidated obligations payment plan for Finance Agency approval specifying the measures the FHLBank will undertake to make full and timely payments of all its current obligations.

Notwithstanding any other provisions in the regulation, the regulation provides that the Finance Agency in its discretion may at any time order any FHLBank to make any principal or interest payment due on any consolidated obligation. To the extent an FHLBank makes any payment on any consolidated obligation on behalf of another FHLBank, the paying FHLBank is entitled to reimbursement from the FHLBank that is the primary obligor, which will have a corresponding obligation to reimburse the FHLBank for the payment and associated costs, including interest.

The regulation also provides that the Finance Agency may allocate the outstanding liability of an FHLBank for consolidated obligations among the other FHLBanks on a pro rata basis in proportion to each FHLBank's participation in all consolidated obligations outstanding. The Finance Agency reserves the right to allocate the outstanding liabilities for the consolidated obligations among the FHLBanks in any other manner it may determine to ensure that the FHLBanks operate in a safe and sound manner.

Off-balance sheet commitments as of December 31, 2015 and 2014, were as follows:

183

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	2015						2014
	Expire Within One Year		Expire After One Year		Total		Expire Within One Year		Expire After One Year		Total
Standby letters of credit outstanding	$	9,072	$	3,237	$	12,309	$	2,699	$	2,711	$	5,410
Commitments to fund additional advances(1)	5		5		10		121		5		126
Commitments to issue consolidated obligation discount notes, par	300		—		300		3		—		3
Commitments to issue consolidated obligation bonds, par(2)	110		—		110		—		—		—
Commitments to purchase mortgage loans	5		—		5		—		—		—

(1) AtDecember 31, 2015, none of the commitments to fund additional advances were hedged with associated interest rate swaps. At December 31, 2014, $100 of the commitments to fund additional advances were hedged with associated interest rate swaps.

(2) AtDecember 31, 2015, all 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 33 days to 15 years, including a final expiration in 2030. The Bank monitors the creditworthiness of members that have standby letters of credit. The value of the Bank’s obligations related to standby letters of credit is recorded in other liabilities and amounted to $18 at December 31, 2015, and $12 at December 31, 2014. 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 December 31, 2015 and 2014.

Commitments to fund advances totaled $10 at December 31, 2015, and $126 at December 31, 2014. Advances funded under advance commitments are fully collateralized at the time of funding (see Note 10 – 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 December 31, 2015 and 2014.

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

The Bank executes over-the-counter uncleared interest rate exchange agreements with major banks and derivative entities affiliated with broker-dealers and with the Bank’s members. The Bank enters into master agreements with netting provisions and into bilateral credit support agreements with all active derivative dealer counterparties. All member counterparty master agreements, excluding those with derivative dealers, are subject to the terms of the Bank’s Advances and Security Agreement with members, and all member counterparties (except for those that are derivative dealers) must fully collateralize the Bank’s net credit exposure. For cleared derivatives, the clearinghouse is the Bank’s counterparty, and the Bank has clearing agreements with clearing agents that provide for delivery of initial margin to, and exchange of variation margin with, the clearinghouse. See Note 18 – Derivatives and Hedging Activities for additional information about the Bank’s pledged collateral and other credit-risk-related contingent features.

The Bank charged operating expenses for net rental and related costs of approximately $5, $5, and $5 for the years ended December 31, 2015, 2014, and 2013, respectively. Future minimum rentals at December 31, 2015, were as follows:

184

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Year	Future Minimum Rentals
2016	$	4
2017	4
2018	4
2019	3
2020	2
Total	$	17

Lease agreements for Bank premises generally provide for increases in the basic rentals resulting from increases in property taxes and maintenance expenses. Such increases are not expected to have a material effect on the Bank's financial condition or results of operations.

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

Other commitments and contingencies are discussed in Note 1 – Summary of Significant Accounting Policies, Note 8 – Advances, Note 9 – Mortgage Loans Held for Portfolio, Note 12 – Consolidated Obligations, Note 13 – Affordable Housing Program, Note 15 – Capital, Note 16 – Employee Retirement Plans and Incentive Compensation Plans, and Note 18 – Derivatives and Hedging Activities.

Note 21 — Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks

Transactions with Members and Nonmembers. The Bank has a cooperative ownership structure under which current member institutions, certain former members, and certain other nonmembers own the capital stock of the Bank. Former members and nonmembers that have outstanding transactions with the Bank are required to maintain their investment in the Bank's capital stock until their outstanding transactions mature or are paid off or until their capital stock is redeemed following the five-year redemption period for capital stock or is repurchased by the Bank, in accordance with the Bank's capital requirements. (For further information on concentration risk, see Note 15 – Capital and Note 8 – Advances).

Under the FHLBank Act and Finance Agency regulations, each member eligible to vote is entitled to cast by ballot one vote for each share of stock that it was required to hold as of the record date, which is December 31, of the year prior to each election, subject to the limitation that no member may cast more votes than the average number of shares of the Bank’s stock that are required to be held by all members located in such member's state. As of and for the three-year period ending December 31, 2015, no shareholder owned more than 10% of the total voting interests in the Bank because of this statutory limit on members' voting rights.  

All advances are made to members, and all mortgage loans held for portfolio were purchased from members. The Bank also maintains deposit accounts for members, certain former members, and certain other nonmembers primarily to facilitate settlement activities that are directly related to advances and mortgage loan purchases. All transactions with members and their affiliates are entered into in the ordinary course of business.

The Bank may invest in Federal funds sold, interest-bearing deposits, commercial paper, and MBS and executes derivative transactions with members or their affiliates. The Bank purchases MBS through securities brokers or dealers and 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 a member, the Bank may give consideration to the member’s secured credit and the Bank's advances pricing. As an additional service to its members, the Bank has in the past entered into offsetting interest rate exchange agreements,

185

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

acting as an intermediary between exactly offsetting derivative transactions with members and other counterparties. These transactions were executed at market rates.

The FHLBank Act requires the Bank to establish an AHP. The Bank provides subsidies to members, which use the funds to assist in the purchase, construction, or rehabilitation of housing for very low-, low-, and moderate-income households. Subsidies may be in the form of direct grants or below-market interest rate advances. Only Bank members, along with their nonmember AHP project sponsors, may submit AHP applications. All AHP subsidies are made in the ordinary course of business.

The FHLBank Act also requires the Bank to establish a Community Investment Program (CIP) and authorizes the Bank to offer additional CICA programs. Under these programs, the Bank provides subsidies in the form of grants and below-market interest rate advances to members or standby letters of credit for members for community lending and economic development projects. Only Bank members may submit applications for CICA subsidies. All CICA subsidies are made in the ordinary course of business.

In instances where the member has an officer or director serving on the Bank’s Board of Directors, all of the aforementioned transactions with the member are subject to the same eligibility and credit criteria, as well as the same conditions, as comparable transactions with all other members, in accordance with regulations governing the operations of the FHLBanks. The following table shows transactions with members that have an officer or director serving on the Bank’s Board of Directors.

	December 31, 2015		December 31, 2014
Assets:
Advances	$	3,297	$	2,080
Mortgage loans held for portfolio	24		32
Accrued interest receivable	5		6
Liabilities:
Deposits	$	4	$	3
Capital:
Capital Stock	$	119	$	162

	For the Years Ended December 31,
	2015		2014		2013
Interest Income:
Advances	$	35	$	42	$	65
Mortgage loans held for portfolio	1		2		3

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

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

MPF Mortgage Loans. The Bank pays a transaction services fee to the FHLBank of Chicago for its participation in the MPF program. This fee is assessed monthly and is based on the amount of mortgage loans in which the Bank invested and which remain outstanding on its Statements of Condition. For the years ended December 31, 2015, 2014, and 2013, the Bank recorded a de minimis amount in MPF transaction services fee expense to the FHLBank of Chicago, which was recorded in the Statements of Income as other expense

186

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Consolidated Obligations. The Bank may, from time to time, transfer to or assume from another FHLBank the outstanding primary liability for FHLBank consolidated obligations. During the years ended December 31, 2015 and 2014, the Bank did not transfer any debt to other FHLBanks or assume any debt from other FHLBanks.

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

Note 22 — Other

The table below discloses the categories included in other operating expense for the years ended December 31, 2015, 2014, and 2013.

	2015		2014		2013
Professional and contract services	$	50	$	48	$	33
Travel	2		2		2
Occupancy	5		5		5
Equipment	10		10		9
Other	4		4		4
Total	$	71	$	69	$	53

Note 23 — Subsequent Events

There were no material subsequent events identified, subsequent to December 31, 2015, until the time of the Form 10-K filing with the Securities and Exchange Commission.

187

Supplementary Financial Data (Unaudited)

Supplementary financial data for each full quarter in the years ended December 31, 2015 and 2014, are included in the following tables (dollars in millions except per share amounts).

	Three Months Ended
	December 31, 2015			September 30, 2015			June 30, 2015			March 31, 2015
Interest income	$	221		$	222		$	236		$	227
Interest expense	101			103			128			97
Net interest income	120			119			108			130
Provision for/(reversal of) credit losses on mortgage loans	1			—			—			—
Other income/(loss)	(9		)	(33		)	(2		)	432
Other expense	46			34			34			34
Assessments	7			6			11			54
Net income/(loss)	$	57		$	46		$	61		$	474
Dividends declared per share(1)	$	2.22		$	2.50		$	5.58		$	1.79
Annualized dividend rate(1)	8.79		%	10.01		%	22.65		%	7.11		%

(1) In the second quarter of 2015, the amount of dividends declared per share includes a special dividend of $3.69 at an annualized dividend rate of 14.98%.

	Three Months Ended
	December 31, 2014			September 30, 2014			June 30, 2014			March 31, 2014
Interest income	$	237		$	247		$	260		$	261
Interest expense	104			114			122			126
Net interest income	133			133			138			135
Provision for/(reversal of) credit losses on mortgage loans	—			(1		)	—			1
Other income/(loss)	(40		)	(12		)	(54		)	(48		)
Other expense	41			34			37			32
Assessments	7			12			8			9
Net income/(loss)	45			$	76		$	39		$	45
Dividends declared per share	$	1.87		$	1.83		$	1.68		$	1.68
Annualized dividend rate	7.40		%	7.35		%	6.80		%	6.67		%

188

Investments

Supplementary financial data on the carrying values of the Bank’s investments as of December 31, 2015, 2014, and 2013, are included in the tables below.

(In millions)	2015		2014		2013
Trading securities:
U.S. government corporations and GSEs – FFCB bonds	$	1,424	$	3,513	$	3,194
MBS:
Other U.S. obligations – Ginnie Mae	9		11		14
Total trading securities	1,433		3,524		3,208
AFS securities:
MBS:
PLRMBS	5,414		6,371		7,047
Total AFS securities	5,414		6,371		7,047
HTM securities:
Certificates of deposits	—		—		1,660
States and political subdivisions:
Housing finance agency bonds – CalHFA bonds	275		328		416
U.S. government corporations and GSEs:
MBS:
Other U.S. obligations – Ginnie Mae	1,227		1,513		1,575
GSEs:
Freddie Mac	3,677		4,517		5,250
Fannie Mae	4,136		5,313		6,331
PLRMBS	1,487		1,880		2,275
Total HTM securities	10,802		13,551		17,507
Total securities	17,649		23,446		27,762
Securities purchased under agreements to resell	10,000		1,000		—
Federal funds sold	4,626		7,503		7,498
Total investments	$	32,275	$	31,949	$	35,260

189

As of December 31, 2015, the Bank’s investments had the following maturity (based on contractual final principal payment) and yield characteristics.

(Dollars in millions)	Within One Year			After One Year But Within Five Years			After Five Years But Within Ten Years			After Ten Years			Carrying Value
Trading securities:
U.S. government corporations and GSEs – FFCB bonds	$	275		$	1,149		$	—		$	—		$	1,424
MBS:
Other U.S. obligations – Ginnie Mae	—			—			7			2			9
Total trading securities	275			1,149			7			2			1,433
Yield on trading securities	0.30		%	0.43		%	1.79		%	1.81		%	0.41		%
AFS securities:
MBS:
PLRMBS	—			—			—			5,414			5,414
Total AFS securities	—			—			—			5,414			5,414
Yield on AFS securities	—		%	—		%	—		%	5.29		%	5.29		%
HTM securities:
States and political subdivisions:
Housing finance agency bonds – CalHFA bonds	—			—			60			215			275
U.S. government corporations and GSEs:
MBS:
Other U.S. obligations – Ginnie Mae	—			—			1			1,226			1,227
GSEs:
Freddie Mac	—			3			6			3,668			3,677
Fannie Mae	—			9			35			4,092			4,136
PLRMBS	—			—			—			1,487			1,487
Total HTM securities	—			12			102			10,688			10,802
Yield on HTM securities (1)	5.18		%	4.71		%	2.06		%	2.43		%	2.43		%
Total securities	275			1,161			109			16,104			17,649
Yield on total securities	0.30		%	0.47		%	2.05		%	3.39		%	3.14		%
Securities purchased under agreements to resell	10,000			—			—			—			10,000
Federal funds sold	4,626			—			—			—			4,626
Total investments	$	14,901		$	1,161		$	109		$	16,104		$	32,275

(1) Yield on HTM securities maturing within one year represents yield on de minimis amounts of HTM securities in this category.

190

Mortgage Loan Data

The unpaid principal balances of delinquent mortgage loans for the past five years were as follows:

(Dollars in millions)	2015			2014			2013			2012			2011
30 - 59 days delinquent	$	10		$	12		$	14		$	18		$	24
60 - 89 days delinquent	5			5			7			7			9
90 days or more delinquent	18			22			27			32			31
Total past due	33			39			48			57			64
Total current loans	620			674			865			1,239			1,777
Total mortgage loans	$	653		$	713		$	913		$	1,296		$	1,841
In process of foreclosure, included above(1)	$	7		$	11		$	15		$	19		$	20
Nonaccrual loans	$	18		$	22		$	27		$	32		$	31
Loans past due 90 days or more and still accruing interest	$	—		$	—		$	—		$	—		$	—
Delinquencies as a percentage of total mortgage loans outstanding	5.05		%	5.47		%	5.26		%	4.40		%	3.48		%
Serious delinquenciesas a percentage of total mortgage loans outstanding(2)	2.79		%	3.13		%	3.00		%	2.46		%	1.70		%

(1) 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.

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

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

(Dollars in millions)	2015			2014			2013			2012			2011
Balance, beginning of the period	$	1		$	2		$	3		$	6		$	3
(Charge-offs)/recoveries	(2		)	(1		)	—			(2		)	(1		)
Provision for/(recovery of) credit losses	1			—			(1		)	(1		)	4
Balance, end of the period	$	—		$	1		$	2		$	3		$	6
Ratio of net charge-offs during the period to average loans outstanding during the period	(0.24		)%	(0.05		)%	(0.07		)%	(0.08		)%	(0.07		)%

For the past five years, the interest on nonaccrual loans that was contractually due and recognized in income was as follows:

Interest on Nonaccrual Loans
(In millions)	2015		2014		2013		2012		2011
Interest contractually due on nonaccrual loans during the period	$	1	$	1	$	1	$	2	$	2
Interest recognized in income for nonaccrual loans during the period	—		—		—		—		—
Shortfall	$	1	$	1	$	1	$	2	$	2

191

Geographic Concentration of Mortgage Loans⁽¹⁾ 

	December 31, 2015		December 31, 2014
California	47.19	%	36.09	%
New York	6.56		7.77
Illinois	6.30		7.78
Massachusetts	3.92		4.68
New Jersey	3.55		4.28
All others(2)	32.48		39.40
Total	100.00	%	100.00	%

(1) Percentages calculated based on the unpaid principal balance at the end of each period.

(2) None of the remaining states represented more than 3.10% and 3.74% of the portfolio at December 31, 2015 and 2014, respectively.

Short-Term Borrowings

Borrowings with original maturities of one year or less are classified as short-term. The following is a summary of short-term borrowings for the years ended December 31, 2015, 2014, and 2013:

	Consolidated Obligation Discount Notes									Consolidated Obligation Bonds With Original Maturities of One Year or Less
(Dollars in millions)	2015			2014			2013			2015			2014			2013
Outstanding at end of the period	$	27,648		$	21,811		$	24,194		$	18,273		$	11,700		$	14,700
Weighted average rate at end of the period	0.25		%	0.09		%	0.10		%	0.25		%	0.13		%	0.14		%
Daily average outstanding for the period	$	28,853		$	23,582		$	16,325		$	11,085		$	16,841		$	11,697
Weighted average rate for the period	0.16		%	0.09		%	0.10		%	0.17		%	0.13		%	0.15		%
Highest outstanding at any monthend	$	33,859		$	25,640		$	24,194		$	18,273		$	22,345		$	14,980

ITEM 9. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIAL DISCLOSURE

None.

ITEM 9A. 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.

192

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

Internal Control Over Financial Reporting

Internal control over financial reporting is defined in Rule 13a-15(f) promulgated under the 1934 Act as a process designed by, or under the supervision of, the Bank's principal executive and principal financial officers and effected by the Bank's Board of Directors, management, and other personnel to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with accounting principles generally accepted in the United States of America (U.S. GAAP) and includes those policies and procedures that:

• pertain to the maintenance of records that in reasonable detail accurately and fairly reflect the transactions and dispositions of assets of the Bank;

• provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with U.S. GAAP, and that receipts and expenditures of the Bank are being made only in accordance with authorizations of management and directors of the Bank; and

• provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use, or disposition of the company's assets that could have a material effect on the financial statements.

During the three months ended December 31, 2015, 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. For management’s assessment of the Bank’s internal control over financial reporting, refer to “Item 8. Financial Statements and Supplementary Data – Management’s Report on Internal Control Over Financial Reporting.”

Consolidated Obligations

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

The Bank’s management also relies on the operation of the joint and several liability regulation. The joint and several liability regulation requires that each FHLBank file with the Finance Agency a quarterly certification that it will remain capable of making full and timely payment of all of its current obligations, including direct obligations, coming due during the next quarter. In addition, if an FHLBank cannot make such a certification or if it projects that it may be unable to meet its current obligations during the next quarter on a timely basis, it must file a notice with the Finance Agency. Under the joint and several liability regulation, the Finance Agency may order any FHLBank to make principal and interest payments on any consolidated obligations of any other FHLBank, or allocate the outstanding liability of an FHLBank among all remaining FHLBanks on a pro rata basis in proportion to each FHLBank’s participation in all consolidated obligations outstanding or on any other basis.

193

ITEM 9B. OTHER INFORMATION

None.

PART III.

ITEM 10. DIRECTORS, EXECUTIVE OFFICERS AND CORPORATE GOVERNANCE

The Board of Directors (Board) of the Federal Home Loan Bank of San Francisco (Bank) is composed of member directors and nonmember independent directors. Each year the Federal Housing Finance Agency (Finance Agency) designates the total number of director positions for the Bank. Member director positions are allocated to each of the three states in the Bank's district. The allocation is based on the number of shares of capital stock required to be held by the members in each of the three states as of December 31 of the preceding calendar year (the record date), with at least one member director position allocated to each state and at least three member director positions allocated to California. Of the eight member director positions designated by the Finance Agency for 2015, one was allocated to Arizona, six were allocated to California, and one was allocated to Nevada. The nonmember independent director positions on the Board must be at least two-fifths of the number of member director positions and at least two of them must be public interest director positions. The Finance Agency designated six nonmember independent director positions for 2015, two of which were public interest director positions.

The Bank holds elections each year for the director positions with terms ending at yearend, with new terms beginning the following January 1. For member director positions, members located in the relevant states as of the record date are eligible to participate in the election for the state in which they are located. For nonmember independent director positions, all members located in the district as of the record date are eligible to participate in the election. For each director position to be filled, an eligible institution may cast one vote for each share of capital stock it was required to hold as of the record date (according to the requirements of the Bank's capital plan), except that an eligible institution's votes for each director position to be filled may not exceed the average number of shares of capital stock required to be held by all of the members in that state as of the record date. In the case of an election to fill more than one member director position for a state, an eligible institution may not cumulate or divide its block of eligible votes. Interim vacancies in director positions are filled by the Board. The Board does not solicit proxies, nor are eligible institutions permitted to solicit or use proxies to cast their votes in an election.

Candidates for member director positions are not nominated by the Bank's Board. As provided for in the Federal Home Loan Bank Act of 1932, as amended (FHLBank Act), member director candidates are nominated by the institutions eligible to participate in the election in the relevant state. Candidates for nonmember independent director positions are nominated by the Board, following consultation with the Bank's Affordable Housing Advisory Council, and are reviewed by the Finance Agency. The Bank's Governance Committee performs certain functions that are similar to the functions of a nominating committee with respect to the nomination of nonmember independent directors. If only one individual is nominated by the Board for each open nonmember independent director position, that individual must receive at least 20% of the eligible votes to be declared elected; and if two or more individuals are nominated by the Board for any single open nonmember independent director position, the individual receiving the highest number of votes cast in the election must be declared elected by the Bank.

Each member director must be a citizen of the United States and must be an officer or director of a member of the Bank (located in the state to which the director position has been allocated) that meets all minimum capital requirements established by the member's appropriate Federal banking agency or appropriate state regulator. There are no other eligibility or qualification requirements in the FHLBank Act or the regulations governing the Federal Home Loan Banks (FHLBanks) for member directors. Each nonmember independent director must be a United States citizen and must maintain a principal residence in a state in the Bank’s district (or own or lease a residence in the district and be employed in the district). In addition, the individual may not be an officer of any FHLBank or a director, officer, or employee of any member of the Bank or of any recipient of advances from the Bank. Each nonmember independent director who serves as a public interest director must have more than four years of personal experience in representing consumer or community interests in banking services, credit needs, housing, or

194

financial consumer protection. Each nonmember independent director other than a public interest director must have knowledge of, or experience in, financial management, auditing or accounting, risk management practices, derivatives, project development, organizational management, or law.

The term for each director position is four years, and directors are subject to a limit on the number of consecutive terms they may serve. A director elected to three consecutive full terms on the Board is not eligible for election to a term that begins earlier than two years after the expiration of the third consecutive term. On an annual basis, the Bank's Board performs a Board assessment that includes consideration of the directors' backgrounds, experience, expertise, Board service, and other factors. Also on an annual basis, each director certifies to the Bank that he or she continues to meet all applicable statutory and regulatory eligibility and qualification requirements. In connection with the election or appointment of a nonmember independent director, the nonmember independent director completes an application form providing information to demonstrate his or her eligibility and qualifications to serve on the Board. As of the filing date of this Form 10-K, nothing has come to the attention of the Board or management to indicate that any of the current Board members do not continue to possess the necessary experience, qualifications, attributes, or skills expected of the directors to serve on the Bank's Board, as described in each director's biography below.

Information regarding the current directors and executive officers of the Bank is provided below. There are no family relationships among the directors or executive officers of the Bank. The Bank's Code of Conduct for Senior Officers, which applies to the president, executive vice president, and senior vice presidents, and any amendments or waivers to the code are disclosed on the Bank's website located at www.fhlbsf.com.

The charter of the Audit Committee of the Bank's Board is available on the Bank's website at www.fhlbsf.com.

Board of Directors

The following table sets forth information (ages as of February 29, 2016) regarding each of the Bank's directors.

Name	Age	Director Since	Expiration of Current Term
Douglas H. (Tad) Lowrey, Chair(1)(7)	63	2006	2017
Melinda Guzman, Vice Chair(2)(7)(8)	52	2009	2016
Bradley W. Beal(3)(6)(8)	62	2014	2019
Craig G. Blunden(1)(5)(7)	68	2012	2019
Steven R. Gardner(1)(6)(8)	55	2014	2017
Richard A. Heldebrant(1)(5)	63	2013	2016
Simone Lagomarsino(1)(5)(7)(8)	54	2013	2016
John F. Luikart(2)(5)	66	2007	2017
Kevin Murray(2)	55	2008	2019
Robert F. Nielsen(2)(8)	69	2009	2016
Brian M. Riley(4)(5)(6)	51	2015	2018
John F. Robinson(1)(5)(7)	69	2011	2018
Scott C. Syphax(2)(6)(8)	52	2002	2018
John T. Wasley(2)(5)(6)(8)	54	2007	2017

(1) Elected by the Bank's California members eligible to vote. Mr. Lowrey also served as a California director from January 1, 1996, to September 11, 1998, and from July 23, 1999, to December 31, 2003. Mr. Blunden also served as a California director from January 28, 1999, to December 31, 2006. Mr. Robinson also served as a California director from January 1, 2004, to September 11, 2005, and as a Nevada director from January 25, 2007, to October 9, 2008.

(2) Elected as a nonmember independent director by the Bank members eligible to vote. Ms. Guzman also served as an appointive director from April 19, 2007, to December 31, 2008. Mr. Nielsen also served as an appointive director from April 19, 2007, to December 31, 2008, and from 1999 to 2001. Mr. Wasley also served as an appointive director from 2003 to 2005. With the enactment of the Housing and Economic Recovery Act of 2008 on July 30,

195

2008, the director positions previously appointed by the Federal Housing Finance Board (appointive director positions) became known as nonmember independent director positions, and the method for filling these positions was changed to election by the Bank members eligible to vote.    

(3) Mr. Beal was declared elected by the Board as a Nevada director, for a four-year term beginning January 1, 2016. Mr. Beal was selected by the Board to fill the vacant Nevada director position effective May 1, 2014, for a term expiring on December 31, 2015.

(4) Elected by the Bank’s Arizona members eligible to vote.

(5) Member of the Audit Committee in 2016.

(6) Member of the Compensation and Human Resources Committee (previously the EEO-Personnel-Compensation Committee) in 2016.

(7) Member of the Audit Committee in 2015.

(8) Member of the EEO-Personnel-Compensation Committee in 2015.

The Board has determined that Mr. Luikart is an “audit committee financial expert” within the meaning of the Securities and Exchange Commission (SEC) rules. The Bank is required by SEC rules to disclose whether Mr. Luikart is independent and is required to use a definition of independence from a national securities exchange or national securities association. The Bank has elected to use the National Association of Securities Dealers Automated Quotations (NASDAQ) definition of independence, and under that definition, Mr. Luikart is independent. In addition, Mr. Luikart is independent according to the rules governing the FHLBanks applicable to members of the audit committees of the boards of directors of the FHLBanks and the independence rules under Section 10A(m) of the Securities Exchange Act of 1934.

Douglas H. (Tad) Lowrey, Chair

Douglas H. (Tad) Lowrey has been non-executive chairman of Pacific Western Bank since its acquisition of CapitalSource Bank in April 2014. He has also served as a director of PacWest Bancorp since 2014. Mr. Lowrey served as the chief executive officer of CapitalSource Bank, Los Angeles, California, from July 2008 to April 2014 and served as its chairman from 2012 until April 2014. Since August 2015 he has served as a senior advisor for Alliance Partners, a bank advisory, lending and asset management firm. Mr. Lowrey has held positions as chief executive officer, president, chairman, director, and chief financial officer for several financial institutions since 1983. He is the current Chairman of the California Bankers Association. He also served as vice president of the Thrift Institutions Advisory Council to the Board of Governors of the Federal Reserve Bank, and as a member of the Savings Association Insurance Fund Industry Advisory Committee to the Federal Deposit Insurance Corporation. He previously served on the Bank's Board of Directors from 1996 to 1998 and from 1999 to 2003 and was its vice chairman in 2003. Mr. Lowrey's current position as the chairman of a Bank member; his previous positions as principal executive officer, principal financial officer, director, and chairman of Bank members and other financial institutions; and his involvement in and knowledge of corporate governance, finance, auditing, accounting, internal controls, risk management, financial reporting, and financial management, as indicated by his background, support Mr. Lowrey's qualifications to serve on the Bank's Board.

Melinda Guzman, Vice Chair

Melinda Guzman has been a partner with Freeman & Guzman, LLP, a law firm in Sacramento, California, since 1999. Prior to that, she was a partner with Diepenbrock, Wulff, Plant & Hannegan, LLP, also a law firm in Sacramento. Ms. Guzman's practice focuses on tort, labor, insurance, and commercial matters. She previously served on the Bank's Board of Directors from April 2007 through December 2008. Ms. Guzman's involvement and experience in representing community and consumer interests with respect to banking services, in credit needs, in housing and consumer financial protections, and in corporate governance, as indicated by her background, and her management skills derived from her various legislative appointments and her service from 2002 to 2003 as chair of the Nehemiah Corporation of America (a community development corporation), her service from 2001 to 2004 as chairman of the California Hispanic Chamber of Commerce, and her service with other community-based organizations support Ms. Guzman's qualifications to serve on the Bank's Board.

Bradley W. Beal

Bradley W. Beal has been president and chief executive officer of One Nevada Credit Union, Las Vegas, Nevada, since 1990. Prior to that, Mr. Beal was senior vice president operations, Nevada Federal Credit Union (now One Nevada Credit Union) since 1987, and prior to that, president, Nevada State Employees Federal Credit Union, Carson City, Nevada. Mr. Beal is a member of the American Institute of Certified Public Accountants, the Nevada

196

CPA Society, and a former board member and chairman of the National Association of Federal Credit Unions. Mr. Beal's current position as the principal executive officer of a Bank member and his involvement in and knowledge of corporate governance, finance, auditing, accounting, internal controls, risk management, financial reporting, and financial management, as indicated by his background, support Mr. Beal's qualifications to serve on the Bank's Board.

Craig G. Blunden

Craig G. Blunden has been chairman and chief executive officer of Provident Savings Bank and Provident Financial Holdings, Inc., since 1991 and 1996, respectively. Mr. Blunden served as president of Provident Savings Bank and Provident Financial Holdings, Inc., from 1991 to June 2011 and from 1996 to June 2011, respectively. He previously served on the Bank's Board from 1999 to 2006. He is currently on the board of directors of the California Bankers Association. Mr. Blunden is a past chairman of the Western League of Savings Institutions and served on the Thrift Institutions Advisory Council of the Federal Reserve System for two years. Mr. Blunden's current position as the principal executive officer of a Bank member and its holding company and his involvement in and knowledge of corporate governance, finance, auditing, accounting, internal controls, risk management, financial reporting, and financial management, as indicated by his background, support Mr. Blunden's qualifications to serve on the Bank's Board.

Steven R. Gardner

Steven R. Gardner has been the president and chief executive officer and a director of Pacific Premier Bank and its holding company, Pacific Premier Bancorp, Irvine, California, since September 2000. He was also chief operating officer of the bank and holding company from February 2000 to April 2004. Prior to that, he was senior vice president at Hawthorne Financial from 1997 to January 2000. Mr. Gardner serves on the board of directors of the Federal Reserve Bank of San Francisco. He previously served as the vice chairman of the Federal Reserve Bank of San Francisco’s Community Depository Institutions Advisory Council, as a director of the Executive Committee of the Independent Community Bankers of America (ICBA), and as a director of ICBA Holding Company and ICBA Securities, a registered broker-dealer. Mr. Gardner's current position as the principal executive officer of a Bank member and his involvement in and knowledge of corporate governance, finance, auditing, accounting, internal controls, risk management, financial reporting, and financial management, as indicated by his background, support Mr. Gardner's qualifications to serve on the Bank's Board.

Richard A. Heldebrant

Richard A. Heldebrant has been president and chief executive officer of Star One Credit Union, Sunnyvale, California, since 1997. Prior to that, Mr. Heldebrant held several executive and senior officer positions at credit unions for 16years. He served on the board of Western Corporate Federal Credit Union from 1994 to 1997.Mr. Heldebrant's current position as the principal executive officer of a Bank member and his involvement in and knowledge of corporate governance, finance, auditing, accounting, internal controls, risk management, financial reporting, and financial management, as indicated by his background, support Mr. Heldebrant's qualifications to serve on the Bank's Board.

Simone Lagomarsino

Simone Lagomarsino has been chief executive officer and a director of Heritage Oaks Bank and president of Heritage Oaks Bancorp, Paso Robles, California, since September 2011. She also held the position of president of Heritage Oaks Bank from January 2012 through December 2014. Prior to that, Ms. Lagomarsino was president and chief executive officer of Kinecta Federal Credit Union from June 2006 through January 2010. Ms. Lagomarsino is a financial services professional with more than 30 years of experience in executive positions. Ms. Lagomarsino's current position as the principal executive officer of a Bank member, her previous positions as chief executive officer or chief financial officer of Bank members or other financial institutions, and her involvement in and knowledge of corporate governance, finance, auditing, accounting, internal controls, risk management, financial

197

reporting, and financial management, as indicated by her background, support Ms. Lagomarsino's qualifications to serve on the Bank's Board.

John F. Luikart

John F. Luikart has been president of Bethany Advisors LLC, San Francisco, California, since February 2007. He has also been a trustee of four asbestos trusts, including the Western Asbestos Settlement Trust, since 2004 and a board member of Wells Fargo Real Estate Investment Trust and Ohio Wesleyan University since 2014. He was senior advisor to the CEO of Red Capital Group from July 2011 to July 2012 and was chairman of Wedbush Securities Inc., Los Angeles, California, from 2006 to 2010. Previously, he was president and chief operating officer of Tucker Anthony Sutro from 2001 to 2002 and chairman and chief executive officer of Sutro & Co. from 1996 to 2002. He joined Sutro & Co. in 1988 as executive vice president of capital markets and became president in 1990. Mr. Luikart's current position as the principal executive officer of an investment and financial advisory firm, his previous positions as director or principal executive officer of investment banking firms (or their affiliates), and his experience in investment management, capital markets, corporate finance, securitization, and mortgage finance and his involvement in and knowledge of corporate governance, finance, auditing, accounting, internal controls, risk management, financial reporting, and financial management, as indicated by his background, support Mr. Luikart's qualifications to serve on the Bank's Board.

Kevin Murray

Kevin Murray has been a principal in The Murray Group, a legal and consulting firm, since its founding in December 2006. Since May 2011, Mr. Murray has served as the president and chief executive officer of the Weingart Center Association. Mr. Murray was senior vice president of the William Morris Agency, Beverly Hills, California, from January 2007 to June 2009, working primarily in the company's corporate consulting division. Mr. Murray served as a California State Senator from December 1998 until November 2006, and as a California State Assembly member from December 1994 until November 1998. Prior to serving in the California State Legislature, Mr. Murray practiced law. Mr. Murray's involvement in legislative matters relating to, among other things, the banking and insurance industries, his experience in law and corporate governance practices, and his management skills, as indicated by his background, support Mr. Murray's qualifications to serve on the Bank's Board.

Robert F. Nielsen

Robert F. Nielsen has been president of Shelter Properties, Inc., a real estate development and management company based in Reno, Nevada, since 1979. Mr. Nielsen is a member of the National Association of Home Builders and was its chairman in 2011. He is also a past chairman of the State of Nevada Housing Division Advisory Committee. He previously served on the Bank's Board of Directors from 1999 to 2001 and from April 2007 through December 2008. Mr. Nielsen's involvement and experience in representing community interests in affordable housing development and his management skills, as indicated by his background, and his role with the Affordable Housing Resource Council (a former nonprofit organization designed to provide technical assistance in affordable housing) and the Neighborhood Development Collaborative (owner and manager of affordable housing rental properties) support Mr. Nielsen's qualifications to serve as a public interest director on the Bank's Board. Mr. Nielsen is a principal shareholder and president of IDN1 Inc., which was created to invest in a multifamily tax credit property in Reno, Nevada. This property is owned by Northwest Partners, L.P., whose general partners are Santorini Corp., IDN1 Inc., and Community Services Agency Development Corporation, a nonprofit corporation under Internal Revenue Code Section 501(c)(3). Northwest Partners, L.P., filed a petition for protection under Chapter 11 of the U.S. Bankruptcy Code on November 17, 2011. A plan of reorganization was confirmed by the court on February 25, 2013. Mr. Nielsen is also a managing member of Karen Partners, LLC, a Nevada limited liability company, which was created to invest in a multifamily tax credit property in Las Vegas, Nevada. This property was owned by Karen Partners, L.P., whose general partners are Karen Partners, LLC, and Community Services Agency Development Corporation. Karen Partners, L.P., filed a petition for protection under Chapter 11 of the U.S. Bankruptcy Code on December 19, 2011. On November 26, 2012, the automatic stay was rescinded, and this property was foreclosed upon on December 19, 2012. Mr. Nielsen is also a manager of Ridge Seniors, LLC, a

198

Nevada limited liability company, which was created to invest in a multifamily tax credit program in Henderson, Nevada. This property is owned by Ridge Partners L.P., whose general partners are Ridge Seniors, LLC, and Silver Sage Manor, Inc. On March 15, 2012, Ridge Partners L.P. filed a petition for protection under Chapter 11 of the U.S. Bankruptcy Code. A plan of reorganization was confirmed by the court on December 5, 2013. Mr. Nielsen is also principal shareholder and president of SUP III, Inc., which is a general partner in a multifamily tax credit property in Las Vegas, Nevada. This property was owned by East Freemont II L.P., whose general partners are SUP III, Inc., and SPE 2, LLC. East Freemont II L.P. filed a petition for protection under Chapter 11 of the U.S. Bankruptcy Code on June 21, 2012. The automatic stay was rescinded and this property was foreclosed upon on October 21, 2013.

Brian M. Riley

Brian M. Riley has been the president and chief executive officer of Mohave State Bank, Lake Havasu City, Arizona, since March, 2009. He was the chief financial officer of the bank from April 2008 to March 2009. Prior to that, he was chief executive officer of Harbor Bank and Trust, a financial institution in organization in Southport, Connecticut. Mr. Riley has over 30 years of experience in banking including serving as president and chief executive officer of PriVest Bank, Costa Mesa, California, and holding other executive positions with Provident Savings Bank, Riverside, California, and Metro Commerce Bank, San Rafael, California. Mr. Riley is a director of the Arizona Bankers Association. Mr. Riley’s current position as the principal executive officer of a Bank member, his previous executive positions with other financial institutions, and his involvement in and knowledge of corporate governance, finance, auditing, accounting, internal controls, risk management, financial reporting, and financial management, as indicated by his background, support Mr. Riley’s qualifications to serve on the Bank's Board.

John F. Robinson

John F. Robinson has been a director of Silicon Valley Bank, Santa Clara, California, and its holding company, SVB Financial Group, since July 2010. From 2002 to 2008, he was executive vice president of Washington Mutual Bank. From 1987 to 2002, he served in several senior bank regulatory roles, including Deputy Comptroller of the Currency for the Western District and Assistant Director for Policy and Western Region Director for the Office of Thrift Supervision. Mr. Robinson previously served on the Bank's Board of Directors from 2004 to 2005 and 2007 to 2008. From 2002 to 2013, he was a member of the national board and executive board for Operation HOPE, an international nonprofit organization focused on financial literacy and empowerment. Mr. Robinson's current position as the director of a Bank member, previous positions as an executive officer of a Bank member and a senior bank regulator, and his involvement in and knowledge of corporate governance, finance, auditing, accounting, internal controls, risk management, financial reporting, and financial management, as indicated by his background, support Mr. Robinson's qualifications to serve on the Bank's Board.

Scott C. Syphax

Scott C. Syphax has been chief executive officer of Nehemiah Corporation of America, a community development corporation in Sacramento, California, since 2001, and is also president and chief executive officer of its affiliates. He also held the position of president of Nehemiah Corporation of America from 2001 through June 2015. From 1999 to 2001, Mr. Syphax was a manager of public affairs for Eli Lilly & Company. He was vice chairman of the Bank's Board of Directors from January 2010 through January 2012. Mr. Syphax's involvement and experience in representing community interests in housing and his management skills, as indicated by his background, support Mr. Syphax's qualifications to serve as a public interest director on the Bank's Board.

John T. Wasley

John T. Wasley has been a managing partner of Caldwell Partners, a retained executive search firm, Los Angeles, California, since April 2013. Prior to that, he was a managing partner with Heidrick & Struggles, Los Angeles, California, since June 2005. Mr. Wasley joined Heidrick & Struggles as a partner in 2001. Previously, he was an

199

executive director with Russell Reynolds Associates and a senior vice president of People's Bank of California. He previously served on the Bank's Board of Directors from 2003 to 2005. Mr. Wasley's involvement in and knowledge of human resources, compensation practices, and corporate governance practices, and his management skills, as indicated by his background above, along with his previous positions as principal executive officer and principal financial officer of real estate investment firms and as an executive officer of a financial institution with which Mr. Wasley had involvement in or knowledge of corporate governance practices, bank relations, financial operations, treasury functions, and financial management, support Mr. Wasley's qualifications to serve on the Bank's Board.

Executive Officers

Dean Schultz

Dean Schultz, 69, has been president and chief executive officer since April 1991. Mr. Schultz is vice chairman of the board of directors of the Office of Finance, which facilitates the issuance and servicing of consolidated obligations for the FHLBanks. Prior to joining the Bank, he was executive vice president of the Federal Home Loan Bank of New York, where he had also served as senior vice president and general counsel. From 1980 to 1984, he was senior vice president and general counsel with First Federal Savings and Loan Association of Rochester, New York. He previously was a partner in a Rochester law firm.

Lisa B. MacMillen

Lisa B. MacMillen, 56, has been executive vice president and chief operating officer since October 2007. Ms. MacMillen also served as senior vice president and corporate secretary from 1998 to October 2007 and as general counsel from 1998 to April 2005. She joined the Bank as a staff attorney in 1986. She was promoted to assistant vice president in 1992 and vice president in 1997.

Elena Andreadakis

Elena Andreadakis, 54, has been senior vice president and chief information officer since May 2011. Prior to joining the Bank, she was a senior vice president at Fidelity Investments, where she had worked since 1992. She most recently led the service and program management group for Fidelity's enterprise infrastructure organization. Prior to that, Ms. Andreadakis held a number of other senior-level business and information technology positions, with responsibility for managing a wide range of systems and business initiatives.

Gregory P. Fontenot

Gregory P. Fontenot, 57, has been senior vice president, human resources, office of minority and women inclusion,

and facilities management since October 2011. Previously, he was senior vice president and director of human resources from January 2006 to October 2011. Mr. Fontenot joined the Bank in March 1996 as assistant vice president, compensation and benefits, and was promoted to vice president, human resources, in 2001. Prior to joining the Bank, he was the director of compensation and benefits for CompuCom Systems, Inc., and held managerial and professional positions in human resources for a number of other companies. Mr. Fontenot holds the Senior Professional in Human Resources designation from the Human Resources Certification Institute and the Society for Human Resource Management Senior Certified Professional designation.

Kevin A. Gong

Kevin A. Gong, 56, has been senior vice president and chief corporate securities counsel since April 2005. Mr. Gong joined the Bank in 1997 as vice president and associate general counsel. He has previous experience as a senior attorney with the Office of Thrift Supervision, as an attorney in private practice, and as an attorney with the SEC in both the Division of Corporation Finance and the Division of Market Regulation.

200

David H. Martens

David H. Martens, 63, has been senior vice president and chief risk officer since June 2010. Previously, Mr. Martens was senior vice president and director of internal audit and enterprise risk management from June 2009 to May 2010. Mr. Martens served as senior vice president, credit and collateral risk management, from 1998 to May 2009 and also had responsibility for enterprise risk management from 2004 to 2009. Mr. Martens was also the senior officer overseeing the Bank's community investment programs from 1998 to 2004. He joined the Bank in April 1996 as vice president and director of internal audit. He has previous experience as chief accountant for the Office of Thrift Supervision, chief accountant for the Federal Home Loan Bank Board and Federal Home Loan Bank System Examination and Supervision, vice president and supervisory agent with the Bank, and independent auditor and audit manager with Ernst & Young LLP. He is a certified public accountant and a certified financial planner.

Kenneth C. Miller

Kenneth C. Miller, 63, has been senior vice president and chief financial officer since August 2011. Previously, Mr. Miller was senior vice president, financial risk management and strategic planning, from 2001 to August 2011. Mr. Miller joined the Bank in July 1994 as vice president, financial risk management. Previously, Mr. Miller held the position of senior vice president, asset liability management, at First Nationwide Bank.

Lawrence H. Parks

Lawrence H. Parks, 54, has been senior vice president, external and legislative affairs, since joining the Bank in 1997. Mr. Parks had previous experience at the U.S. Department of Commerce as senior policy advisor, with the Mortgage Bankers Association as associate legislative counsel/director, and with the U.S. Senate as legislative counsel.

Patricia M. Remch

Patricia M. Remch, 63, has been senior vice president, sales and marketing, since August 2011. Previously, Ms. Remch was senior vice president, mortgage finance sales and product development, from February 2005 to August 2011. Ms. Remch joined the Bank as an economist in 1982. She was promoted to capital markets specialist and became vice president, sales manager, in 1998.

Robert M. Shovlowsky

Robert M. Shovlowsky, 57, joined the Bank in May 2009 as senior vice president, chief credit and collateral risk management officer. Mr. Shovlowsky announced his retirement effective March 11, 2016. Before joining the Bank, Mr. Shovlowsky was a senior bank examiner at the Federal Housing Finance Agency. Prior to that, he was an assistant regional director at the Federal Deposit Insurance Corporation.

Suzanne Titus-Johnson

Suzanne Titus-Johnson, 58, has been senior vice president and general counsel since April 2005, and she has also served as corporate secretary since October 2007. Ms. Titus-Johnson joined the Bank as a staff attorney in 1986 and was promoted to assistant vice president in 1992 and to vice president in 1997.

Stephen P. Traynor

Stephen P. Traynor, 59, has been senior vice president, member financial services and community investment, since July 2004. Mr. Traynor joined the Bank in 1995 as assistant treasurer. He was promoted to senior vice president, sales and marketing, in October 1999. Before joining the Bank, he held vice president positions at Morgan Stanley & Co. and at Homestead Savings in the areas of mortgage banking, fixed income securities, derivatives, and capital markets.

201

Mark J. Watson

Mark J. Watson, 54, joined the Bank in October 2010 as senior vice president and director of internal audit. Before joining the Bank, Mr. Watson was the senior vice president and director of internal audit at Borel Private Bank & Trust Company. He was previously the senior vice president and chief operating officer at Charles Schwab Bank and was a senior vice president in the internal audit department at Charles Schwab & Company. Mr. Watson also held positions at Bankers Trust and KPMG. He is a chartered accountant.

ITEM 11.EXECUTIVE COMPENSATION

COMPENSATION DISCUSSION AND ANALYSIS

This section provides information on the compensation program of the Federal Home Loan Bank of San Francisco (Bank) for our named executive officers for 2015. Our named executive officers are our principal executive officers, our principal financial officer, and our other three most highly compensated executive officers.

Compensation and Human Resources Committee

The Compensation and Human Resources Committee (formerly, the EEO-Personnel-Compensation Committee) (Compensation Committee) of the Bank's Board of Directors (Board) is responsible for, among other things, reviewing and making recommendations to the full Board regarding compensation and incentive plan awards for the Bank's executive officers (the president, executive vice president, and senior vice presidents, other than the Director of Internal Audit, for whom compensation is established by the Audit Committee). Beginning in 2016, the Compensation Committee will also be responsible for reviewing and making recommendations regarding compensation for the directors (previously the responsibility of the Bank’s Governance Committee). For 2016, the Compensation Committee consists of five members of the Board. In 2015, the Compensation Committee consisted of seven members of the Board. The Compensation Committee acts pursuant to a Board-approved charter and may rely on the assistance, advice, and recommendations of the Bank's management and other advisors and may refer specific matters to other committees of the Board. In addition, the Risk Committee of the Board is responsible for oversight of the Bank's enterprise-wide risk management framework, including overseeing an annual risk assessment of the Bank's compensation policies and practices for the Bank's employees.

Certain members of senior management assist the Compensation Committee in its responsibilities by providing compensation and performance information regarding our executive officers.

With respect to the compensation of the named executive officers of a Federal Home Loan Bank (FHLBank), the Federal Housing Finance Agency (Finance Agency) requires that an FHLBank provide the Finance Agency with copies of all materials related to the compensation decisions of the FHLBank's board of directors for its review prior to the compensation decisions taking effect.

The Finance Agency’s Advisory Bulletin 2009-AB-02 outlined several principles for sound incentive compensation practices to which the FHLBanks are expected to adhere in setting executive compensation policies and practices. The Finance Agency’s rule setting forth requirements and processes with respect to compensation provided to certain executive officers by FHLBanks and the Office of Finance addresses the authority of the Finance Agency Director to approve, disapprove, prohibit, or withhold compensation of certain executive officers of the FHLBanks and the Office of Finance. The rule also addresses the Director’s authority to approve, in advance, agreements or contracts of certain executive officers that provide compensation in connection with termination of employment. The rule prohibits an FHLBank or the Office of Finance from paying compensation to certain executive officers that is not reasonable and comparable with compensation paid by similar businesses for similar duties and responsibilities.

202

Our Executive Compensation Philosophy and Executive Compensation Program

The Bank has a Board-approved Executive Compensation Philosophy that forms the basis of our executive compensation program. In accordance with our Executive Compensation Philosophy, we believe that to attract and retain outstanding executives we must be able to provide an executive compensation package that appropriately motivates and rewards the executive officers who make contributions of special importance to the success of the Bank's business. Our executive compensation program provides total compensation consisting of base salary, short- and long-term cash incentive compensation, and retirement benefits.

The Bank's Executive Compensation Philosophy states that total compensation is intended to align the interests of the named executive officers and other executives with the short-term and long-term interests of the Bank, to ensure an appropriate level of competitiveness within the marketplace from which the Bank recruits executive talent, and to encourage the named executive officers and other executive employees to remain employed with the Bank. The Bank's Executive Compensation Philosophy provides that total remuneration (base salary, short- and long-term cash incentives, and retirement benefits) is also intended to motivate executives to deliver exceptional performance without encouraging unnecessary or excessive risk-taking.

Total Compensation is Intended to Reward Achievement of Individual Performance Goals and Contribution to the Bank's Corporate Goals and Performance Targets. We have structured our executive compensation program to reward achievement of individual performance goals and contributions in support of the Bank's corporate goals and performance targets, including those set forth in the Bank's strategic plan. In addition to base salary, our short- and long-term cash incentive compensation plans create an award program for executives who contribute to and influence the achievement of the Bank's mission and other key objectives contained in the Bank's strategic plans and who are responsible for the Bank's performance. The Bank's overall executive compensation programs reward sustained performance through the balanced use of short- and long-term incentives, which represent a substantial portion of pay at-risk, and through competitive retirement benefits, which promote the alignment of executive and Bank interests over the long term.

The Bank provides wholesale products and services that help member financial institutions expand the availability of mortgage credit, compete more effectively in their markets, and foster strong and vibrant communities through community and economic development. The Bank also aims to provide a reasonable return to its members consistent with the Bank's public policy purpose, to consistently operate to best practices, and to accomplish its goals with a diverse and highly motivated staff.

Each Year, the Bank Establishes Specific Corporate Goals Consistent with the Bank's Strategic Plan. Similar to 2014, for 2015 the Board adopted three corporate goals: a Risk Management goal, a Community Investment goal, and a Franchise Enhancement goal.

For 2015, the Risk Management goal focused management on enhancing the business value of the Bank’s risk assessment processes and implementing a corporate data protection initiative.

Consistent with the Bank's public policy purposes, the Community Investment goal for 2015 focused management on meeting the Bank's objective to promote and assist housing and community economic development activities, and to provide resources and assistance to members in achieving their community lending goals. These efforts both complement and constitute elements of the Bank's core business and mission endeavors. The Community Investment goal for 2015 focused management on the number of members using the community investment programs and the amount of new advances funded and letters of credit issued under the Bank’s Community Investment Cash Advance credit programs during 2015.

The Franchise Enhancement goal for 2015 helped to align management's interest with the Bank’s objective to remain an integral component of the nation’s housing finance system, promote new business opportunities that increase revenue potential or enhance mission achievement, and to continue to enhance and implement the Bank’s information technology strategic initiatives and provide value to the Bank and service to members.

203

The 2015 Franchise Enhancement goal included milestones for completion of 2014 technology strategic initiatives continued in 2015 and achievement of 2015 technology strategic initiatives relating to digital strategy, collateral management system replacement, Calypso expansion, accounting operations automation, and vendor management and automated procure-to-pay. The 2015 Franchise Enhancement goal also included four member business goals designed to focus management on achieving: (i) advances and letters of credit targeted volumes; (ii) a Mortgage Partnership Finance program target based on the number of new participating financial institutions; (iii) a member engagement target based on the number of on-site visits to members; and (iv) a member recruitment goal based on the number of new members. The Board set the target achievement levels for the member business goals based on various assumptions, such as economic forecasts, detailed member information, potential member business, historical goal performance, industry trends and events, and current market environment and conditions, such that the relative difficulty of achieving the target level was commensurate with extending credit to members and increasing member engagement in a safe and sound manner. The 2015 Franchise Enhancement goal also included a financial goal, called the Adjusted Return on Capital Spread goal. This goal was reasonably challenging to accomplish and required, among other things, that the Bank maintain 2015 average annual balances and spreads for advances, MBS, and mortgage loans close to the 2015 plan projections at a time when member liquidity was high, demand for funding remained low, and there was volatility in the mortgage and capital markets, and to manage operating costs while continuing to meet strategic and operating objectives. Given the Bank’s business model and conservative risk appetite, the achievement levels above target represented significant stretch objectives.

Each Year, the Bank Establishes Individual Goals for Executives Consistent with the Bank's Strategic Plan. The individual performance goals established for executive officers are generally based on the Bank's strategic plan and reflect the strategic objectives that will enable the Bank to successfully achieve its mission. These strategic objectives for 2015 were intended to strengthen the Bank's financial services franchise, improve the efficiency and effectiveness of the Bank's operating infrastructure, promote and enhance the effectiveness of the Bank's Affordable Housing Program and community investment programs, and strengthen the Bank’s organizational effectiveness by enhancing the Bank’s working environment and advancing diversity and inclusion.

The Bank's Short-Term Incentive Compensation Plans Calculate Executive Officers' Achievement Levels on a Weighted Basis to Ensure that a Proper Balance Occurs in Achieving the Bank's Mission in a Safe and Sound Manner. With respect to each of the named executive officers for 2015, the achievement levels of each of the three Bank corporate goals (the Risk Management goal, the Community Investment goal, and the Franchise Enhancement goal) were weighted for each officer type (president, executive vice president, senior vice president, and senior vice president and chief risk officer) relative to the individual goal weighting for that officer type in calculating each named executive officer's individual total weighted achievement level.

The weightings of the Bank's corporate goals are approved by the Board and are designed to appropriately focus senior management on accomplishing the Bank's mission and strategic plan. See “President's Incentive Plan” and “Executive Incentive Plan” below for a discussion of the relative weights given to corporate goals and individual goals for each component of the short-term incentive plans for the named executive officers.

Our Executive Compensation Program is Designed to Enable the Bank to Compete for Highly Qualified Executive Talent. Our members are best served when we attract and retain talented executives with competitive and fair compensation packages. In 2015, our objective was to create an executive compensation program that delivered total compensation packages that generally fell around the median (50th percentile) of the total remuneration in the financial services marketplace from which the Bank recruits executive talent, which may include regional and diversified banks, savings institutions, and mortgage finance companies, among others, while maintaining an appropriate alignment with the practices of other FHLBanks.

The Compensation Committee recognized that comparing our compensation practices to a group of other financial services and banking firms that are similar in total assets presents some challenges because of the special nature of our business and our cooperative ownership structure. We believe that the executive roles of our named executive

204

officers are somewhat comparable to those in the comparison group, although the Bank may have a narrower business focus.

Our named executive officers are required to have the depth of knowledge and experience that is required by comparable financial services and banking firms, but unlike some of these comparable companies with multiple lines of business, our lines of business are limited. For example, in certain areas of the Bank our focus is more like that of a specific subsidiary, division, or business unit of comparable companies with multiple lines of business.

For purposes of developing comparative compensation information, the companies with comparable positions were financial services and banking firms with similar business sophistication and complexity. In supporting compensation decisions, the Compensation Committee uses and considers compensation information about the comparable positions at these companies.

In November 2014, the Compensation Committee engaged McLagan Partners, Inc. (McLagan), a leading global management consulting firm providing consulting and benchmarking services for the financial services industry, for the purpose of providing the Compensation Committee with competitive market compensation benchmarking information. McLagan does not currently provide any other services to the Bank. In April 2015 and July 2015, McLagan assessed the Bank’s competitive market position. McLagan used market data collected from its compensation surveys and publicly available proxy data. McLagan used standardized peer group data from two groups: large commercial banks with assets of $20 billion and greater and Fannie Mae, Freddie Mac, and the Federal Reserve Banks; and public proxy peers with assets between $5 billion and $20 billion. A Federal Home Loan Banks peer group was included as reference. When comparing Bank executives using the large commercial bank peer group, direct reports to the overall head of the function were used. When using the $5 billion to $20 billion peer group, a direct comparison of top paid executives was made using salary rank from the proxies. When using the Federal Home Loan Banks peer group, a direct comparison of overall functional heads was used. The Compensation Committee used the McLagan market data as a reference point for evaluating 2015 executive compensation levels and to check and compare the reasonableness and appropriateness of the levels of compensation provided to our senior executives.

Allocation of Short-Term Cash Incentive Compensation and Long-Term Cash Incentive Compensation. Our objective is to compensate our senior executives, including our named executive officers, with a balanced combination of base salary and short- and long-term cash incentive compensation. We believe that a balanced approach in delivering short- and long-term cash incentive compensation is most appropriate for the Bank because we believe our executives should be focused on achievement of both short- and long-term goals.

Short-term cash incentive compensation rewards the named executive officers and other executive officers for the Bank's achievement of its annual corporate goals and performance targets and for the officer's achievement of his or her individual goals. Long-term cash incentive compensation rewards the named executive officers and other executive officers for the Bank's achievement of its goals and performance targets over a three-year period. Consistent with the Bank's three-year strategic plans and its Executive Compensation Philosophy, long-term cash incentive compensation also helps provide a competitive total cash compensation package and enhances the Bank's ability to attract and retain key executives.

Elements of Our Executive Compensation Program

Base Salary Compensation

Base salary compensation is a key component of the Bank's executive compensation program and helps the Bank successfully attract and retain executive talent. Base salary for the named executive officers is based on a combination of factors, including comparative salary information from industry salary surveys that include the financial institutions in the Bank's peer group. Other factors include the named executive officer's relevant experience and accomplishments, level of responsibility at the Bank, and perceived market competition for executives with comparable levels of experience. The Board considers any base salary adjustments for the named

205

executive officers at the beginning of each year based on the individual's performance and contributions to the Bank's achievements, or to help more appropriately align total remuneration with comparable positions in the financial services marketplace. For the named executive officers, 2016 base salaries were increased from 0% to 3% relative to 2015 base salaries to appropriately align total remuneration with comparable positions in the financial services marketplace.

Short-Term Cash Incentive Plans: President's Incentive Plan and Executive Incentive Plan

For 2015, the Bank provided an annual (short-term) cash incentive compensation plan for achievement of the Bank's corporate goals and individual goals to the Bank's president (2015 President's Incentive Plan, or 2015 PIP) and to the executive vice president and senior vice presidents (2015 Executive Incentive Plan, or 2015 EIP). The 2015 EIP does not apply to the Bank's Director of Internal Audit, who participates in the Bank's Audit Executive Incentive Plan.

The target achievement levels in the 2015 PIP and the 2015 EIP were designed to reward officers for achievement of the Bank's corporate goals to accomplish the Bank's objectives as described above, based on a target level of achievement for all corporate goals and the officer's individual goal(s). The exceeds and far exceeds achievement levels were designed to reward officers when the Bank and the individual officer achievements exceed the target level. The plans define the exceeds achievement level as an optimistic achievement level relative to the target level, and the far exceeds achievement level as the most optimistic achievement level based on reasonable business, market, and economic assumptions and conditions.

We used a scale of 0% to 150% to measure the achievement levels for the Bank's corporate goals and each executive's individual goal(s), with 75% as the threshold level, 100% as the target level, 125% as the exceeds level, and 150% as the far exceeds level.

Awards under both the 2015 PIP and the 2015 EIP were based on the total weighted achievement of the three corporate goals approved by the Board for 2015 (the Risk Management goal, the Community Investment goal, and the Franchise Enhancement goal) and one or more individual goals for each officer. The awards under the 2015 PIP and the 2015 EIP were targeted as a percentage of base salary for the president, executive vice president, and senior vice presidents, based on the total weighted achievement level of Bank and individual goals, and were set as follows: 150% of target: 50% of base salary; 125% of target: 48% of base salary; 100% of target: 40% of base salary; and 75% of target: 20% of base salary.

Under both the 2015 PIP and the 2015 EIP, the Board had discretion to modify goal achievement levels, award determinations, and incentive payments to account for matters not specifically addressed in the plan. Both the 2015 PIP and the 2015 EIP provided that aggregate performance below the threshold achievement level normally would not result in an incentive award, and both the 2015 PIP and the 2015 EIP provided the Board with discretion to modify any and all incentive payments, including, without limit, under the following circumstances: (i) if errors or omissions result in material revisions to the Bank's financial results, information submitted to a regulatory or

reporting agency, or information used to determine incentive compensation payouts; (ii) if information submitted to a regulatory or 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.

The 2015 PIP and the 2015 EIP also provided that actual goal achievement levels were subject to adjustment because of changes in financial strategies or policies, any significant change in Bank membership, and other factors determined by the Board. The 2015 PIP and the 2015 EIP also provided that the impact of credit-related other-than-temporary impairment charges would be excluded from the Adjusted Return on Capital Spread goal achievement level target and performance measurement and the impact of dividend benchmark variances-to-plan would be excluded from the Adjusted Return on Capital Spread goal performance measurement.

President's Incentive Plan. For 2015, we provided the Bank's president with an annual (short-term) cash incentive compensation plan, the 2015 PIP, which rewards the president for the Bank's overall performance and for

206

significantly contributing to and influencing achievement of the Bank's corporate goals and performance targets, as well as for an individual goal.

The 2015 PIP award ranges and plan design were intended to appropriately motivate and reward the Bank’s president based on the total achievement of all goals, taking into account his role in the Bank's performance. The 2015 award ranges as a percentage of base salary were intended to be consistent with our Executive Compensation Philosophy of delivering total cash compensation at target levels generally around the median (50th percentile) of the total remuneration in the financial services marketplace from which the Bank recruits executive talent.

The following table shows the goal weights for the president in the 2015 PIP.

2015 PIP	2015 Goal Weights
Risk Management Goal	27	%
Community Investment Goal	18
Franchise Enhancement Goal	45
Individual Goal	10
Total	100	%

The president's award under the 2015 PIP was determined by multiplying the percentage achievement for each goal by the respective goal weights to arrive at the president's total weighted achievement level. The president's total weighted achievement level was then used to determine the president's cash incentive compensation award under the 2015 PIP.

For a discussion regarding the award granted to the president under the 2015 PIP, see the discussion in “Compensation Tables – Narrative to Summary Compensation Table and Grants of Non-Equity Incentive Plan-Based Awards Table – Non-Equity Incentive Payments and Non-Equity Long-Term Incentive Payments,” which discussion is herein incorporated by reference.

Executive Incentive Plan. For 2015, we provided an annual (short-term) cash incentive compensation plan, the 2015 EIP, to reward our executive vice president and senior vice presidents (except for the Bank's Director of Internal Audit, who participates in the Bank's Audit Executive Incentive Plan) for the Bank's overall corporate goal achievement and for achievement of their individual goals. The 2015 EIP was designed to reward these senior officers, who are substantially responsible for the Bank's overall performance and who significantly contribute to and influence the achievement of the Bank's corporate goals.

The 2015 EIP award ranges and plan design were intended to appropriately motivate and reward officers based on the total achievement of all goals, taking into account each individual officer's role in the Bank's performance. The 2015 award ranges as a percentage of base salary were intended to be consistent with our Executive Compensation Philosophy of delivering total cash compensation at target levels generally around the median (50th percentile) of the total remuneration in the financial services marketplace from which the Bank recruits executive talent.

The following table shows the goal weights for different categories of officers in the 2015 EIP.

	2015 Goal Weights
2015 EIP	Executive Vice President		Senior Vice President and Chief Risk Officer		Senior Vice President
Risk Management Goal	27	%	54	%	27	%
Community Investment Goal	18	%	12.6	%	18	%
Franchise Enhancement Goal	45	%	23.4	%	45	%
Individual Goal	10	%	10	%	10	%
Total	100	%	100	%	100	%

The awards under the 2015 EIP were determined by multiplying the percentage achievement for each goal by the respective goal weights to arrive at each participating officer's total weighted achievement level. Each participating

207

officer's total weighted achievement level was then used to determine each participating officer's cash incentive compensation award under the 2015 EIP.

For a discussion regarding the awards granted under the 2015 EIP for the named executive officers, see the discussion in “Compensation Tables – Narrative to Summary Compensation Table and Grants of Non-Equity Incentive Plan-Based Awards Table – Non-Equity Incentive Payments and Non-Equity Long-Term Incentive Payments,” which discussion is herein incorporated by reference.

Long-Term Cash Incentive Plan: Executive Performance Unit Plan

We provide our president, executive vice president, and senior vice presidents (other than the Director of Internal Audit, who participates in the Audit Performance Unit Plan) a long-term cash incentive compensation plan, the Executive Performance Unit Plan, or EPUP.

The EPUP rewards our key executives who are substantially responsible for the Bank's overall long-term performance and who significantly contribute to and influence the Bank's long-term goal achievements, which directly support the Bank's three-year strategic plans. The purpose of the EPUP is also to attract and retain outstanding executives as part of a competitive total compensation program.

The EPUP awards are based on three-year performance periods consistent with the Bank's three-year strategic plans. A new three-year performance period is usually established at the beginning of each year, so that there are generally three separate EPUP performance periods in effect at one time. The following EPUPs are currently in effect: the 2016 EPUP for the performance period 2016 through 2018, the 2015 EPUP for the performance period 2015 through 2017, and the 2014 EPUP for the performance period 2014 through 2016. The 2013 EPUP was in effect for the performance period 2013 through 2015.

The EPUP awards are based on the total weighted achievement level of the three-year average achievement levels of two annual Bank corporate goals during the relevant three-year performance period based on a scale of 0% to 150% for the 2015 EPUP, 2014 EPUP, and 2013 EPUP, with 100% as the target achievement level for all performance periods. The Bank's corporate goals for the 2015, 2014, and 2013 EPUPs include the Adjusted Return on Capital Spread goal and the Risk Management goal.

The 2015, 2014, and 2013 EPUPs identified specific Adjusted Return on Capital Spread goal targets for each achievement level and provided that the Adjusted Return on Capital Spread goal achievement levels will be based on a comparison of the actual three-year average results with the three-year projected results from the Bank's 2015, 2014, and 2013 Strategic Plans, respectively. They also provided that the Risk Management goal achievement levels will be based on the three-year average of the actual Risk Management goal achievement levels under each of the three annual incentive plans in effect during the performance period, and will be measured at the end of the performance period.

The two corporate goals in the 2015, 2014, and 2013 EPUPs were weighted 30% for the Adjusted Return on Capital Spread goal and 70% for the Risk Management goal at all achievement levels.

To calculate an EPUP award, the total weighted achievement level for the two Bank corporate goals is multiplied by the officer's target award percentage (the range of awards as a percentage of base salary, discussed below), which is then multiplied by the officer's base salary in the first year of the three-year performance period.

For the 2015, 2014, and 2013 EPUPs, total weighted achievement levels range from 75% of target (threshold) to 150% of target (far exceeds), and the awards as a percentage of base salary for the president, executive vice president, and senior vice presidents, based on the total weighted achievement level of Bank goals, are as follows: 150% of target: 50% of base salary; 125% of target: 48% of base salary; 100% of target: 40% of base salary; and 75% of target: 20% of base salary.

208

Under the 2015, 2014, and 2013 EPUPs, performance below the aggregate threshold achievement level normally will not result in an incentive award. The Board has discretion to modify any and all goal achievement levels, award determinations, and incentive payments to account for matters not specifically addressed in the plan. Under the 2015, 2014, and 2013 EPUPs, incentive compensation reductions may be made in, 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 reporting agency, or information used to determine incentive compensation payouts; (ii) if information submitted to a regulatory or 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.

The actual achievement of Bank goals for the 2015, 2014, and 2013 EPUPs is subject to adjustment for changes in financial strategies or policies, any significant change in Bank membership, and other factors determined by the Board.

The 2015, 2014, and 2013 EPUPs provide that the impacts of credit-related other-than-temporary impairment charges are excluded from the Adjusted Return on Capital Spread goal target, but the impacts of actual credit-related other-than-temporary impairment charges are included in the Adjusted Return on Capital Spread goal performance measurement, and the impacts of dividend benchmark variances-to-plan are excluded from the Adjusted Return on Capital Spread goal performance measurement.

The potential target award ranges as a percentage of base salary are intended to be consistent with delivering total compensation packages at target levels generally around the median (50th percentile) of the total remuneration in the financial services marketplace from which the Bank recruits executive talent.

The awards under the EPUPs are designed to be based in large part on the executive's ability to affect the Bank's long-term performance. For additional information, see discussion in “Compensation Tables –Narrative to Summary Compensation Table and Grants of Non-Equity Incentive Plan-Based Awards Table – Non-Equity Incentive Payments and Non-Equity Long-Term Incentive Payments,” which discussion is herein incorporated by reference.

Executive officers whose Bank employment is terminated because of voluntary normal retirement, disability, or death may receive a prorated award. Any awards are paid following Board approval after the end of the three-year performance period and any required regulatory review period.

Savings Plan

The Bank's Savings 401(k) Plan (Savings Plan) is a tax-qualified defined contribution 401(k) retirement benefit plan that is available to all eligible employees, including the named executive officers. Each eligible employee may contribute between 2% and 20% of base salary to the Savings Plan. For employees who have completed six months of service, the Bank matches a portion of the employee's contribution (50% for employees with less than three years of service, 75% for employees with at least three years of service but less than five years of service, and 100% for employees following five years of service), up to a maximum of 6% of base salary. Employees are fully vested in employer matching contributions at all times.

For 2015, the maximum annual before-tax employee contribution to the Savings Plan was limited to $18,000 (or $24,000 for participants age 50 and over), and no more than $265,000 of annual compensation could be taken into account in computing an employee's benefits under the Savings Plan.

Cash Balance Plan and the Financial Institutions Retirement Fund

We began offering benefits under the Cash Balance Plan on January 1, 1996. The Cash Balance Plan is a tax-qualified defined benefit pension plan that covers employees who have completed a minimum of six months of service, including the named executive officers. Each year, eligible employees accrue benefits equal to 6% of their total annual compensation (which includes base salary and short-term cash incentive compensation) plus interest

209

equal to 6% of their account balances accrued through the prior year, referred to as the annual benefit component of the Cash Balance Plan. For 2015, the Internal Revenue Code (IRC) limited the amount of annual compensation that could be considered in calculating an employee's benefits under the Cash Balance Plan to $265,000.

The benefits under the Cash Balance Plan annual benefit component are fully vested after an employee completes three years of service. Vested amounts are generally payable in a lump sum or as an annuity when the employee leaves the Bank.

Prior to offering benefits under the Cash Balance Plan, we participated in the Financial Institutions Retirement Fund, or the FIRF. The FIRF is a multiple-employer tax-qualified defined benefit pension plan. We withdrew from the FIRF on December 31, 1995.

When we withdrew from the FIRF, benefits earned under the FIRF as of December 31, 1995, were fully vested and the value of those benefits was then frozen. As of December 31, 1995, the FIRF calculated each participant's FIRF benefit based on the participant's then-highest three consecutive years' average pay multiplied by the participant's years of service multiplied by 2%, referred to as the frozen FIRF benefit. Upon retirement, participants will be eligible to receive their frozen FIRF benefits.

In addition, to preserve some of the value of the participant's frozen FIRF benefit, we maintain the ratio of each participant's frozen FIRF age 65 annuity to the participant's highest three consecutive years' average pay as of December 31, 1995 (annuity ratio), which we refer to as the net transition benefit component of the Cash Balance Plan. Upon retirement, each participant with a frozen FIRF benefit will receive a net transition benefit under the Cash Balance Plan that equals his or her highest three consecutive years' average pay at retirement multiplied by his or her annuity ratio minus the frozen FIRF benefit.

Benefit Equalization Plan

The Benefit Equalization Plan (BEP) is an unfunded and non-tax-qualified plan that is designed to restore retirement benefits lost under the Savings Plan and Cash Balance Plan because of compensation and benefits limitations imposed on the Savings Plan and the Cash Balance Plan under the IRC.

Annual compensation is determined based on the definition of compensation provided in the respective tax-qualified plans. Participation in the BEP is available to all employees, including the named executive officers, whose benefits under the tax-qualified plans are restricted because of the IRC limitations discussed above.

An employee's benefits that would have been credited under the Cash Balance Plan but for the limitations imposed on the plan under the IRC are credited as Supplemental Cash Balance Benefits under the BEP and the credits accrue interest at an annual rate of 6% until distributed. Each year, employees may also elect to defer compensation earned over the IRC compensation limits to the BEP. For each year that a participant makes deferrals to the BEP, if the amount of the Bank's matching contribution to a participant's account under the Savings Plan is limited because of the IRC compensation limitations, then the Bank will credit to the participant's BEP account an amount equal to the lost matching contribution (up to a maximum of 6% of base salary in the aggregate) under the Savings Plan (participant deferrals and Bank matching contributions are referred to herein as Supplemental BEP Savings Benefits). The make-up benefits under the BEP vest according to the corresponding provisions of the Savings Plan and the Cash Balance Plan.

Effective January 1, 2005, in response to IRC Section 409A, we froze the then-existing BEP (now referred to as the Original BEP) and implemented a new BEP conforming to IRC Section 409A and applicable notices and regulations, which changed the participant election process relating to the time and form of benefit payments (referred to herein as the New BEP).

Under the New BEP, a participant's Supplemental Cash Balance Benefits are payable in the form of a lump sum, single life annuity, 50% survivor annuity or 75% survivor annuity upon termination of employment, a set date or

210

age after termination of employment, becoming disabled after termination of employment, or death. Under the New BEP, a participant's Supplemental BEP Savings Benefits are payable in a lump sum or two to ten annual installments, and payments may commence at termination of employment, retirement, disability, death, or a specific date after termination of employment. In addition, a participant's elections with respect to the time and form of benefit payments are irrevocable unless the election is made 12 months prior to the scheduled distribution date and the new scheduled distribution date is delayed at least five years. If a participant does not elect the time or form of payment, his or her distribution will be a lump sum at termination of employment.

Under the Original BEP, a participant's Supplemental Cash Balance Benefits are paid in a single life annuity commencing at the later of age 65 or termination of employment, unless the participant elects an optional time and form of payment. The optional forms of payment are a lump sum or any other optional form then permitted under the Cash Balance Plan. Under the Original BEP, a participant's Supplemental BEP Savings Benefits are payable in a lump sum or two to ten installments upon retirement, termination of employment, death, or a specific date after termination of employment. Also, a participant can change the time and form of payment for the Supplemental Cash Balance Benefit at any time, but if the election provides for payment prior to age 65, then payment will not be made until 12 months after the date the Bank receives the new written election unless the participant elects an immediate lump sum distribution subject to forfeiture of 10% of the lump sum payment. Similarly, a participant may elect at any time to change the payout schedule of one or more of the participant's Supplemental BEP Savings Benefit accounts, provided that no payments will be made according to the new election until 12 months after the date the Bank receives the new written election, unless the participant elects an immediate lump sum distribution subject to forfeiture of 10% of the lump sum payment.

Participants are permitted to make five separate payout elections (a payout date and form of payment) with respect to the Supplemental BEP Savings Benefit under the Original BEP and under the New BEP.

Deferred Compensation Plan

Our Deferred Compensation Plan (DCP) is an unfunded and non-tax-qualified deferred compensation plan, consisting of three components for employees: (1) employee deferral of current compensation; (2) make-up matching contributions that would have been made by the Bank under the Savings Plan had the base salary compensation not been deferred; and (3) make-up pension benefits that would have been earned under the Cash Balance Plan had any amount of total annual compensation (base salary and short-term cash incentive compensation) not been deferred. See discussion in “Compensation Tables – Narrative to Non-Qualified Deferred Compensation Table.”

The DCP is available to all officers of the Bank, including the named executive officers. Directors are also able to defer their director fees under the DCP. The make-up benefits for employee participants under the DCP vest according to the corresponding provisions of the Savings Plan and the Cash Balance Plan.

Effective January 1, 2005, in response to IRC Section 409A, we froze the then-existing DCP (now referred to as the Original DCP) and implemented a new DCP, conforming to IRC Section 409A, which changed the participant election process related to the time and form of benefit payments (referred to herein as the New DCP).

Under the New DCP, participants' make-up Cash Balance Plan benefits are payable in the form of a lump sum, single life annuity, 50% survivor annuity or 75% survivor annuity upon termination of employment, a set date or age after termination of employment, becoming disabled after termination of employment, or death. If a participant does not elect a time or form of payment, the benefit is paid in a lump sum upon termination of employment. However, if the participant elects to receive his or her distribution at death and survives to the later of age 70½ or termination of employment, the benefit is paid upon the later of the two events in the form of a lump sum. Only a single time and form of distribution may be elected with respect to both the make-up Cash Balance Plan benefits under the New DCP and the make-up Cash Balance Plan benefits under the New BEP.

211

A participant's deferred compensation and the Bank's make-up Savings Plan matching contributions credited under the New DCP (including earnings on such amounts) are payable in a lump sum or two to ten annual installments, and payments may commence at termination of employment, retirement, disability, death, or a specific date no earlier than one year from the end of the deferral period. Participant elections with respect to the time and form of Savings Plan-related benefit payments from the New DCP are irrevocable unless the election is made 12 months prior to the scheduled distribution date and the new scheduled distribution date is delayed at least five years. If a participant does not elect the time or form of payment, his or her distribution will be a lump sum at termination of employment.

For participant-deferred compensation and make-up Bank matching contributions credited under the Original DCP, a participant may elect at any time to change the payout schedule of one or more of the participant's accounts, provided that no payments will be made according to the new election until 12 months after the date the Bank receives the new written election unless the participant elects an immediate lump sum distribution subject to forfeiture of 10% of the lump sum payment.

Participants are permitted to make five separate payout elections (a payout date and form of payment) under each of the New DCP and the Original DCP for distribution of participant deferrals and Bank matching contribution credits.

Under the Original DCP, participants' make-up Cash Balance Plan benefits are payable in the same form and at the same time as the participants' related benefits under the Cash Balance Plan.

Supplemental Executive Retirement Plan

Effective January 1, 2003, we began providing a Supplemental Executive Retirement Plan (SERP) to the Bank's senior officers, including the named executive officers. This plan is an unfunded and non-tax-qualified retirement benefit plan that provides a cash balance benefit to the Bank's senior officers (including the named executive officers) that is in addition to the tax-qualified benefits under the Cash Balance Plan.

The SERP supplements the Cash Balance Plan benefits to provide a competitive postretirement compensation package that is intended to help the Bank attract and retain key senior officers who are critical to the success of the Bank.

Benefits under the SERP are based on total annual compensation (base salary and short-term cash incentive compensation, including any deferrals under the BEP or DCP) and years of credited service as presented in the table below. In addition, participants accrue annual interest equal to 6% of balances accrued through the prior yearend. In addition, SERP benefits are limited to the extent that any participant's total pension retirement income exceeds fifty percent (50%) of the participant's final average pay. Final average pay is defined as a participant's highest average annual compensation during any three consecutive years during which he or she is a participant in the SERP. Annual benefits accrued under the SERP vest at the earlier of three years after they are earned or when the participant reaches age 62.

Years of Credited Service (As Defined in the Plan)	Amount of Contribution for President (Percentage of Total Annual Compensation)		Amount of Contribution for Other Participants (Percentage of Total Annual Compensation)
Fewer than 10	10	%	8	%
10 or more but less than 15	15	%	12	%
15 or more	20	%	16	%

The normal form and time of payment of benefits under the SERP is a lump sum upon the earlier of termination of employment, disability, or death. Upon a timely election, a participant may elect an optional form of payment to commence after termination of employment as specified in the plan.

212

No benefits are paid under the SERP if a participant's employment is terminated for cause (as defined in the plan). In addition, if a participant terminates employment prior to age 62, the final three years of unvested benefits are forfeited.

Other Elements of Compensation

We provide to all employees, including the named executive officers, health, dental, and vision insurance, and an employee assistance program for the employees and their spouses/partners and children, for which we pay approximately 80% of the premiums and the employee pays approximately 20%. In addition, we provide long-term disability and basic life insurance coverage to all employees at no cost to the employees.

The Bank makes available limited retiree health care benefits for eligible employees who retire from the Bank. To be classified as a Bank retiree eligible to enroll for retiree health care benefits, a Bank employee must be 55 years of age with a minimum of 10 years of Bank service on the date that his or her employment with the Bank terminates.

Perquisites

On occasion, the Bank may pay for resort activities for employees, including our named executive officers, in connection with business-related meetings; and in some cases, the Bank may pay the expenses for spouses/partners accompanying employees to these meetings or other Bank-sponsored events. The president receives use of a Bank-owned vehicle and its designated building parking space. Perquisites are valued at the actual amounts paid to the provider of the perquisites.

213

COMPENSATION COMMITTEE REPORT

The Compensation and Human Resources Committee (Compensation Committee) acts as the compensation committee on behalf of the Bank's Board of Directors. In fulfilling its oversight responsibilities, the Compensation Committee reviewed and discussed with management the Compensation Discussion and Analysis set forth in this annual report on Form 10-K.

Based on the Compensation Committee's review of the Compensation Discussion and Analysis and the discussions the Compensation Committee has had with management, the Compensation Committee recommended to the Board of Directors that the Compensation Discussion and Analysis be included in this annual report on Form 10-K, which will be filed with the Securities and Exchange Commission.

Compensation and Human Resources Committee

Scott C. Syphax, Chair

Bradley W. Beal, Vice Chair

Steven R. Gardner

Brian M. Riley

John T. Wasley

214

COMPENSATION TABLES

Summary Compensation Table
(In whole dollars)
Name and Principal Position	Year	Salary			Bonus (1)				Non-Equity Incentive Payment(2)		Non-Equity LTIP Payout(3)		Change in Pension Value and Non-Qualified Deferred Compensation(4)			All Other Compensation(5)(6)		Total
Dean Schultz	2015	$	852,800		$	35,533			$	418,200	$	400,100	$	—	(7)	$	61,106	$	1,767,739
President and	2014	828,000							359,200		390,900		67,313			61,644		1,707,057
Chief Executive Officer	2013	811,800							399,200		655,500		414,378			61,104		2,341,982
Lisa B. MacMillen	2015	546,300			22,763				270,100		256,300		49,211			40,295		1,184,969
Executive Vice President and	2014	530,400							233,300		250,400		468,647			39,644		1,522,391
Chief Operating Officer	2013	520,000							255,700		335,900		113,431			39,421		1,264,452
Kenneth C. Miller	2015	444,800			18,533				219,900		208,600		202,885			35,534		1,130,252
Senior Vice President and	2014	431,800							186,500		203,800		261,675			35,448		1,119,223
Chief Financial Officer	2013	423,300							208,100		227,900		139,169			36,094		1,034,563
Lawrence H. Parks	2015	461,376		(8)	18,367				217,900		206,800		184,575			32,703		1,121,721
Senior Vice President,	2014	452,691		(9)					188,300		202,100		448,011			32,109		1,323,211
External and Legislative Affairs	2013	439,772		(10)					206,300		237,100		10,087			34,686		927,945
Suzanne Titus-Johnson	2015	395,100			116,463		(11	)	195,300		185,300		122,730			31,914		1,046,807
Senior Vice President and	2014	383,600							168,700		181,100		388,905			31,679		1,153,984
General Counsel and Corporate Secretary	2013	376,100							184,900		212,600		230,176			32,448		1,036,224
David H. Martens	2015	404,032		(12)	15,942				190,200		179,500		181,993			32,212		1,003,879
Senior Vice President and	2014	385,788		(13)					170,000		175,400		225,329			31,745		988,262
Chief Risk Officer	2013	392,214		(14)					178,800		205,900		124,398			40,110		941,422

(1) Represents a Board-approved special award, consisting of an amount equal to one additional semi-monthly paycheck for all Bank employees to recognize Bank-wide teamwork and its contribution to the Bank’s exceptional overall performance.

(2) Represents awards earned under the 2015, 2014, and 2013 PIPs and EIPs. See discussion in “Non-Equity Incentive Payments and Non-Equity Long-Term Incentive Payments.”

(3) Represents awards earned under the 2013, 2012, and 2011 EPUPs. See discussion in “Non-Equity Incentive Payments and Non-Equity Long-Term Incentive Payments.”

(4) Represents the aggregate change in actuarial present value of each of the named executive officers' accumulated benefits under the Bank's qualified and non-qualified defined benefit pension plans (Cash Balance Plan; frozen FIRF, if applicable; restored pension benefit under the Benefit Equalization Plan (BEP); make-up pension benefit under the Deferred Compensation Plan (DCP); and Supplemental Executive Retirement Plan (SERP)). There are no above-market or preferential earnings on the named executive officers' DCP accounts.

(5) Includes perquisites and premiums for disability and life insurance paid by the Bank. On occasion, the Bank pays for resort activities for employees in connection with Board meetings and other business-related meetings; and, in some cases, the Bank may pay the expenses for spouses accompanying employees to these meetings or other Bank-sponsored events. The President receives use of a Bank-owned vehicle. Perquisites are valued at the actual amounts paid to the provider of the perquisites. The value of some perquisites is not reasonably quantifiable, but is known to be de minimis.

(6) Includes the Bank’s matching contributions under the Savings Plan and the Bank’s restored and make-up matching amounts credited under the BEP and DCP.

(7) In accordance with SEC rules, negative changes in pension value are not included in this table. The negative change in pension value for Mr. Schultz is $167,764, which is due to certain limitations imposed under the SERP and the post age 65 decreasing annuity factors under the frozen FIRF.

(8) Of this amount, $20,576 represents a vacation cash-out payment.

(9) Of this amount, $24,691 represents a vacation cash-out payment.

(10) Of this amount, $20,172 represents a vacation cash-out payment.

(11) Of this amount, $100,000 represents a discretionary cash incentive compensation award under the 2015 EIP.

(12) Of this amount, $21,432 represents a vacation cash-out payment.

(13) Of this amount, $14,288 represents a vacation cash-out payment.

(14) Of this amount, $28,014 represents a vacation cash-out payment.

215

Grants of Non-Equity Incentive Plan-Based Awards
(In whole dollars)				Estimated Payout Ranges(1)
Name	Plan	Plan Period	Payout Date	Threshold		Target		Maximum
Dean Schultz	2015 EPUP	2015-2017	February 2018	$	170,600	$	341,100	$	426,400
	2015 PIP	2015	February 2016	170,600		341,100		426,400
Lisa B. MacMillen	2015 EPUP	2015-2017	February 2018	109,300		218,500		273,200
	2015 EIP	2015	February 2016	109,300		218,500		273,200
Kenneth C. Miller	2015 EPUP	2015-2017	February 2018	89,000		177,900		222,400
	2015 EIP	2015	February 2016	89,000		177,900		222,400
Lawrence H. Parks	2015 EPUP	2015-2017	February 2018	88,200		176,300		220,400
	2015 EIP	2015	February 2016	88,200		176,300		220,400
Suzanne Titus-Johnson	2015 EPUP	2015-2017	February 2018	79,000		158,000		197,600
	2015 EIP	2015	February 2016	79,000		158,000		197,600
David H. Martens	2015 EPUP	2015-2017	February 2018	76,500		153,000		191,300
	2015 EIP	2015	February 2016	76,500		153,000		191,300

(1) Estimated payouts for the 2015 EPUP three-year performance period are what could be earned and are calculated using the base salaries in effect at

the beginning of each performance period. Awards, if any, under the 2015 EPUP are payable following the end of the three-year performance period

and the completion of regulatory review. See discussion in “Compensation Discussion and Analysis – Elements of our Executive Compensation

Program - Long-Term Cash Incentive Plan: Executive Performance Unit Plan.” The payouts for the 2015 PIP and EIP are the amounts that could

have been earned by the respective executive officers for 2015. Actual amounts earned under the 2015 PIP and 2015 EIP are included in the

Summary Compensation Table.

Narrative to Summary Compensation Table and Grants of Non-Equity Incentive Plan-Based Awards Table

At Will Employees

All employees of the Bank are “at will” employees, including the named executive officers. The named executive officers may resign at any time, and the Bank may terminate their employment at any time, for any reason or no reason, with or without cause and with or without notice.

The 2015 base salaries of the current named executive officers were as follows: Dean Schultz, $852,800; Lisa B. MacMillen, $546,300; Kenneth C. Miller, $444,800; Lawrence H. Parks, $440,800; Suzanne Titus-Johnson, $395,100; and David H. Martens, $382,600. For 2016, the base salaries of the current named executive officers are as follows: Dean Schultz, $852,800; Lisa B. MacMillen, $557,200; Kenneth C. Miller, $458,100; Lawrence H. Parks, $454,000; Suzanne Titus-Johnson, $407,000; and David H. Martens, $394,100.

Corporate Senior Officer Severance Policy. The Corporate Senior Officer Severance Policy (Senior Officers' Policy) is applicable to the president, executive vice president, and senior vice presidents. The Senior Officers' Policy provides severance benefits in the event that the employee's employment is terminated because the employee's job or position is eliminated or because the job or position is substantially modified so that the employee is no longer qualified or cannot perform the revised job. For these officers, severance under the Senior Officers' Policy is equal to the greater of (i) 12 weeks of the officer's base salary, or (ii) the sum of three weeks of the officer's base salary, plus three weeks of the officer's base salary for each full year of service and three weeks of base salary prorated for each partial year of service at the Bank to a maximum of 52 weeks of base salary. The Senior Officers' Policy also provides one month of continued health and life insurance benefits and, at the Bank's discretion, outplacement assistance.

The Senior Officers' Policy also provides severance payments in connection with a “Change in Control” (as defined by the Senior Officers' Policy). Under the Senior Officers' Policy, in the event the president or the executive vice

216

president experiences a termination of employment in connection with a Change in Control, severance and benefits will be payable pursuant to the Change in Control Severance Agreements described below.

The Senior Officers' Policy provides that in the event a senior vice president is involuntarily terminated without “Cause” under certain circumstances or voluntarily terminated with “Good Reason” (as defined by the Senior Officers' Policy) in connection with a Change in Control, upon the Bank's timely receipt of a separation agreement and release, these executive officers will receive severance pay in a lump sum equal to one year of base salary.

In addition, under the Senior Officers' Policy, in the event of a qualifying termination in connection with a Change in Control, each senior vice president will be entitled to continued health and life insurance coverage under the Bank's group health and life insurance policies, at the Bank's expense, for a period of 12 months immediately following the effective date of separation. However, the Bank will immediately cease paying such premiums prior to the end of the 12-month period if the executive officer accepts employment with another employer that provides comparable benefits in terms of cost and scope of coverage during the 12-month period. If the Bank is not in compliance with any applicable regulatory capital or regulatory leverage requirement or if any of the payments required to be made to senior vice presidents pursuant to the Senior Officers' Policy would cause the Bank to fall below such applicable regulatory requirements, such payment will be delayed until the Bank achieves compliance with its regulatory capital requirements.

The Board believes that the level of severance benefits for each named executive officer is appropriate because it is reasonable to believe that finding a comparable position at another institution at a comparable compensation level could take up to one year, and possibly longer, depending on the economic environment at the time, and that the distraction of this uncertainty may have a detrimental impact on the executive's performance. If the employment of any of the named executive officers had been terminated on December 31, 2015, because the employee's job or position had been eliminated or because the job or position had been substantially modified so that the employee was no longer qualified or could not perform the revised job, the approximate value of the severance benefits payable to the executive (subject to Finance Agency regulatory review) would have been as follows: Dean Schultz, $854,834; Lisa B. MacMillen, $549,113; Kenneth C. Miller, $447,872; Lawrence H. Parks, $441,834; Suzanne Titus-Johnson, $397,978; and David H. Martens, $384,552.

Change in Control Agreements. The Board approved Change in Control Severance Agreements for the president and chief executive officer, Dean Schultz, and the executive vice president and chief operating officer, Lisa B. MacMillen (Agreements). The Agreements became effective as of June 1, 2011. Each Agreement provides for a severance payment and continued benefits if the executive's employment terminates under certain circumstances in connection with a “Change in Control” (as defined in the Agreements) of the Bank. In particular, under the terms of each executive's Agreement, if the executive terminates his or her employment for “Good Reason” (as defined in the Agreements), he or she shall be entitled to receive, in lieu of any severance benefits to which the executive may otherwise be entitled under any severance plan or program of the Bank, the following: (i) the executive's fully earned but unpaid base salary through the date of termination (together with all other amounts and benefits to which the executive is entitled under any benefit plan or practice of the Bank other than the Bank's Senior Officers' Policy); (ii) severance pay in an amount equal to the sum of two times the executive's annual base salary plus two times the executive's “Annual Incentive Amounts” (as defined in the Agreements); (iii) continued health and life insurance coverage for up to 180 days after the first anniversary of the date of termination of the executive's employment (or if earlier, the date the executive accepts employment from an employer with comparable benefits); and (iv) executive-level outplacement services at the Bank's expense, not to exceed $25,000. If the Bank is not in compliance with any applicable regulatory capital or regulatory leverage requirement or if any of the payments required to be made pursuant to items (ii) or (iv) above would cause the Bank to fall below such applicable regulatory requirements, the payment will be delayed until the Bank achieves compliance with its regulatory capital requirements. Had the employment of Mr. Schultz or Ms. MacMillen been terminated under certain circumstances in connection with a Change in Control on December 31, 2015, the approximate value of the benefits, excluding amounts of any executive-level outplacement benefits, payable to Mr. Schultz and Ms. MacMillen (subject to Finance Agency regulatory review) would have been $2,508,146 and $1,636,359, respectively

217

Non-Equity Incentive Payments and Non-Equity Long-Term Incentive Payments

For 2015, Dean Schultz, president and chief executive officer, was awarded a cash incentive compensation award under the 2015 President's Incentive Plan (2015 PIP) of $418,200. Mr. Schultz's award was based on the Bank's 2015 achievement level of 134.5% for the Franchise Enhancement goal, 150.0% for the Community Investment goal, and 150.0% for the Risk Management goal, and his 2015 achievement level for his individual goal.

Based on the achievement levels for the Bank's three corporate goals and the achievement levels of named executive officers for their respective individual goals, the following awards under the 2015 EIP were made: Lisa B. MacMillen, $270,100; Kenneth C. Miller, $219,900; Lawrence H. Parks, $217,900; Suzanne Titus-Johnson, $195,300; and David H. Martens, $190,200. Suzanne Titus-Johnson also received a discretionary cash incentive compensation award in the amount of $100,000 under the 2015 EIP for her achievements in overseeing and managing the Bank’s legal projects.

In reviewing the Bank's 2015 performance, the Board recognized the president's leadership and the other named executive officers' management in addressing business, risk, operations, regulatory, and public policy issues, as well as challenging market conditions and a challenging regulatory environment, throughout 2015. In particular, the Board recognized that the president and other executive officers implemented several initiatives to enhance the Bank's risk management and operations while delivering strong financial and community investment results.

The Risk Management goal, which consisted of two goal components, was measured at an aggregate achievement level of 150.0%. In determining the level of achievement, the Board recognized management's accomplishments in identifying a range of industry approaches that could be used to evaluate the maturity of the enterprise and business process risk assessments and using insights from the maturity assessment to evaluate how to enhance the business value of the annual risk assessments. The Board also considered the implementation of processes and technologies necessary to achieve certain milestones in connection with the Bank’s corporate data protection initiative. With respect to the first goal component, the achievement level was based on management completing its evaluation of the maturity of the Bank’s risk assessment processes and redesigning the Annual Risk Assessment processes and methodology. With respect to the second goal component, achievement was based on management’s implementation of processes and technologies necessary to effectively enumerate and classify all Bank data, while enabling more robust monitoring and strengthening protections against potential accidental loss and malicious or unauthorized access to the Bank’s systems. In addition, the Board recognized management’s achievements in the enhancements to the Bank’s risk assessment processes and added business value resulting from the Bank’s risk assessment processes, including new templates and processes that provide a standardized risk event framework for users, a focused compliance section and updated database, risk quantification for the likelihood and impact of risk events, and relative rank ordering of current risks and top emerging risks.

The Bank's Franchise Enhancement goal, which consisted of six goal components, was measured at an aggregate achievement level of 134.5%. The Board recognized the Bank's financial performance in 2015 for the financial performance goal component (which excluded the impact of other-than-temporary impairment charges and litigation settlements gains), the achievements relating to the Bank’s four member business goal components, and the technology initiatives goal component relating to franchise enhancement. With respect to the financial performance goal component, the Adjusted Return on Capital Spread goal target level for 2015 was 3.75% and the Bank achieved a spread of 4.20% (net of adjustments). Although the Bank exceeded the financial performance goal target and far exceeded three of the four member business goal targets, the aggregate achievement level for the Bank's Franchise Enhancement goal was offset by the achievement level of meets (100% of target) in the technology initiatives goal component of the Franchise Enhancement goal.

The Board further noted the Bank's strong performance on its Community Investment goal, which was measured at an achievement level of 150.0% for 2015. The Bank far exceeded the two goal components in the Community Investment goal to increase support of community investment activities.

218

For the 2013 EPUP, covering the three-year period 2013 through 2015, long-term cash incentive compensation awards to the named executive officers were based on the achievement levels for the Bank's Adjusted Return on Capital Spread goal and Risk Management goal over the three-year performance period from 2013 through 2015. The overall achievement level for the goals over this period was 141%, reflecting the effect of above-target performance on the Adjusted Return on Capital Spread goal in 2013, 2014, and 2015. The target level for the three-year period 2013 through 2015 was 2.20%, and the Bank achieved a spread of 3.84% (net of adjustments). The overall achievement level also reflected an achievement level for the Risk Management goal component of 137%, which was the average of the actual Risk Management goal achievement levels under the 2013, 2014, and 2015 annual short-term cash incentive compensation plans.

The awards approved by the Board under the 2013 EPUP were as follows: Dean Schultz, $400,100; Lisa B. MacMillen, $256,300; Kenneth C. Miller, $208,600; Lawrence H. Parks, $206,800; Suzanne Titus-Johnson, $185,300; and David H. Martens, $179,500.

Pension Benefits

The following table provides the present value of accumulated pension and pension-related benefits payable as of December 31, 2015, to each of the named executive officers upon the normal retirement age of 65 under the Bank's qualified and non-qualified defined benefit pension plans.

219

(In whole dollars)
Name	Plan Name	Years of Credited Service	Present Value of Accumulated Benefits(1)		Payments During Last Fiscal Year
Dean Schultz	Cash Balance Plan	30.750	$	590,221	$	—
	Financial Institutions Retirement Fund	11.000	476,997		—
	Benefit Equalization Plan	30.750	3,402,317		—
	Deferred Compensation Plan	30.750	74,886		—
	Supplemental Executive Retirement Plan(2)	13.000	1,894,905		—
Lisa B. MacMillen	Cash Balance Plan	29.417	596,042		—
	Financial Institutions Retirement Fund	9.417	124,423		—
	Benefit Equalization Plan	29.417	1,059,795		—
	Deferred Compensation Plan	29.417	441,004		—
	Supplemental Executive Retirement Plan(2)	13.000	1,056,789		—
Kenneth C. Miller	Cash Balance Plan	20.917	513,160		—
	Financial Institutions Retirement Fund	0.917	24,723		—
	Benefit Equalization Plan	20.917	346,822		—
	Deferred Compensation Plan	20.917	20,229		—
	Supplemental Executive Retirement Plan(2)	13.000	1,156,705		—
Lawrence H. Parks	Cash Balance Plan	18.333	523,131		—
	Financial Institutions Retirement Fund	N/A	—		—
	Benefit Equalization Plan	18.333	429,524		—
	Deferred Compensation Plan	18.333	99,932		—
	Supplemental Executive Retirement Plan(2)	13.000	1,444,468		—
Suzanne Titus-Johnson	Cash Balance Plan	29.333	780,168		—
	Financial Institutions Retirement Fund	9.333	132,137		—
	Benefit Equalization Plan	29.333	770,069		—
	Deferred Compensation Plan	29.333	36,823		—
	Supplemental Executive Retirement Plan(2)	10.750	936,587		—
David H. Martens	Cash Balance Plan	19.167	439,499		—
	Financial Institutions Retirement Fund	N/A	—		—
	Benefit Equalization Plan	19.167	224,418		—
	Deferred Compensation Plan	19.167	74,644		—
	Supplemental Executive Retirement Plan(2)	13.000	1,059,922		—

(1) For purposes of this table, the present value of accumulated benefits as of December 31, 2015 (measured December 31, 2015) was calculated using a discount rate of 3.75%, which is consistent with the assumptions used in the Bank's financial statements. Actual benefit payments under each plan may differ based on the applicable discount rate under the terms of the relevant plan. The Bank withdrew from the FIRF, a multiple-employer tax-qualified defined benefit plan, on December 31, 1995. Amounts under the BEP and the DCP represent the present value of only the pension-related benefits accumulated for the named executive officer.

(2) For the purposes of this table, the years of credited service for the SERP represent the years of participation since the inception of the SERP in 2003 or the first year in which the participant initially became active in the SERP. For purposes of determining the amount of Bank contribution in the SERP table, the years of credited service are defined in the SERP.

Narrative to Pension Benefits Table

For information regarding the plans in the table, see the discussion in our Compensation Discussion and Analysis under “Cash Balance Plan and the Financial Institutions Retirement Fund,” “Benefit Equalization Plan,” “Deferred

220

Compensation Plan,” and “Supplemental Executive Retirement Plan.” The valuation method and material assumptions used in quantifying the present value of the current accrued benefits in the table are consistent with the assumptions used in the Bank's financial statements. See the discussion in “Item 8. Financial Statements and Supplementary Data – Note 16 – Employee Retirement Plans and Incentive Compensation Plans.”

Non-Qualified Deferred Compensation

The following table reflects the non-qualified Deferred Compensation Plan balances for the president, the executive vice president, and the other named executive officers as of December 31, 2015.

(In whole dollars)
Name and Principal Position	Last Fiscal Year	Beginning of Year Balance		2015 Executive Contributions(1)		2015 Bank Contributions(2)		Aggregate Earnings/ (Losses) in 2015			Aggregate (Withdrawals)/ Distributions in 2015		Yearend 2015 Aggregate Balance(3)
Dean Schultz	2015	$	—	$	—	$	—	$	—		$	—	$	—
President and
Chief Executive Officer
Lisa B. MacMillen	2015	5,031,212		464,907		—		(83,977		)	—		5,412,142
Executive Vice President and
Chief Operating Officer
Kenneth C. Miller	2015	—		—		—		—			—		—
Senior Vice President and
Chief Financial Officer
Lawrence H. Parks	2015	362,683		90,000		5,400		41			—		458,124
Senior Vice President,
External and Legislative Affairs
Suzanne Titus-Johnson	2015	—		—		—		—			—		—
Senior Vice President and
General Counsel and Corporate Secretary
David H. Martens	2015	264,498		362,659		2,016		(37,598		)	—		591,575
Senior Vice President and
Chief Risk Officer

(1) The 2015 executive contributions made by Ms. MacMillen are included in the "Non-Equity Incentive Payment" and "Non-Equity LTIP Payout" columns in the Summary Compensation Table (SCT), the 2015 executive contributions made by Mr. Parks are included in the "Salary" column for 2015 in the SCT, and the 2015 executive contributions made by Mr. Martens are included in the "Salary," "Non-Equity Incentive Payment," and “Non-Equity LTIP Payout" columns for 2015 in the SCT.

(2) Represents make-up Bank matching contributions lost under the Savings Plan as a result of deferring compensation. The 2015 Bank contribution made to Mr. Parks and Mr. Martens are included in the “All Other Compensation" column for 2015 in the SCT.

(3) The yearend 2015 aggregate balance for Mr. Parks includes $84,000 and $78,000 reported in the "Salary" Column for 2014 and 2013 in the SCT, respectively, and includes $5,040 and $4,680 reported in the "All Other Compensation" column for 2014 and 2013 in the SCT, respectively. The yearend 2015 aggregate balance for Mr. Martens includes $28,800 reported in the "Salary" column for 2014 in the SCT, and includes $1,728 reported in the "All Other Compensation" column for 2014 in the SCT.

Narrative to Non-Qualified Deferred Compensation Table

The Non-Qualified Deferred Compensation Table presents information about our Deferred Compensation Plan (DCP), which is designed to allow Bank officers to defer up to 100% of base salary and short- and long-term incentive cash compensation awards, as applicable. Directors may also participate in the DCP to defer up to 100% of their director fees.

221

In addition, since one of the factors involved in determining benefits under the Bank's Savings Plan is an officer's annual base salary compensation, this table also presents make-up matching contributions that would have been made by the Bank under the Savings Plan had the annual base salary compensation not been deferred.

The Bank's matching contribution under the Savings Plan is calculated on the basis of an officer's base salary after deferring base salary compensation under the DCP. As a result, an officer who defers base salary compensation forgoes the Bank's matching contribution on the portion of compensation that is deferred. To compensate for this, the Bank makes a contribution credit to the officer's DCP balance to restore the benefit under the Savings Plan that would otherwise be lost as a result of deferring base salary compensation.

Participants may direct the investments of deferred amounts into core mutual funds or into a brokerage account. Participants may change these investment directions at any time. All investment earnings accumulate to the benefit of the participants on a tax-deferred basis. Brokerage fees relating to purchases and sales are charged against the value of the participant's deferred balance in the plan. The Bank pays all set-up and annual account administration fees.

Income taxes are deferred until a participant receives payment of funds from the plan. Participants may elect payouts in a lump sum or over a payout period from 2 to 10 years. A participant may change any previously elected payment schedule by submitting a written election. Any written election to change the payment schedule must be made at least 12 months prior to the original payout date, and the new payout date, in most cases, must be at least 5 years from the original payout date.

222

Director Compensation

We provide our directors with compensation for the performance of their duties as members of the Board of Directors and for the amount of time spent on the Bank’s business.

Director Compensation Table For the Year Ended December 31, 2015
(In whole dollars)
Name	Fees Earned or Paid in Cash
John F. Luikart(1)	$	100,000
Douglas H. (Tad) Lowrey(2)	95,000
Bradley W. Beal	88,814
Craig G. Blunden	90,000
Steven R. Gardner	88,814
Melinda Guzman	90,000
Richard A. Heldebrant	90,000
Simone Lagomarsino	90,000
Kevin Murray	90,000
Robert F. Nielsen	90,000
Brian M. Riley	75,000
John F. Robinson	80,791
Scott C. Syphax	90,000
John T. Wasley	90,000
Total	$	1,248,419

(1) Chairman during 2015.

(2) Vice Chairman during 2015.

The Board of Directors Compensation and Expense Reimbursement Policy for 2015 (2015 Directors Compensation Policy) provided the directors with compensation for the performance of their duties as members of the Board of Directors and the amount of time spent on official Bank business, as set forth below.

(In whole dollars)
Position	Maximum Annual Service Fee		Maximum Annual  Meeting Fees		Total Maximum Annual Compensation
Chairman	$	55,000	$	45,000	$	100,000
Vice Chairman	50,000		45,000		95,000
Committee Chair	45,000		45,000		90,000
Directors on Audit Committee	35,000		45,000		80,000
Other Directors	30,000		45,000		75,000

Under the 2015 Directors Compensation Policy, service fees for the above positions were paid for serving as a director during and between regularly scheduled meetings of the Board. The maximum annual service fee was prorated and paid with the meeting fee, if applicable, at the conclusion of each two-month service period on the Board of Directors (monthend February, April, June, August, October, and December). In addition, each director received a fee of $9,000 for attending any portion of five of the six regularly scheduled two-day Board meetings, subject to the annual maximum of $45,000.

223

The 2015 Directors Compensation Policy provided that a director could receive a meeting fee for participation in one regularly scheduled Board meeting by telephone. No other fee was paid for participation in meetings of the Board or committees by telephone or participation in other Bank or FHLBank System activities. The president of the Bank was authorized to interpret the 2015 Directors Compensation Policy, as necessary, according to applicable statutory, regulatory, and policy limits.

Under the 2015 Directors Compensation Policy, the final prorated service fee was to be withheld if a director did not attend at least 75% of all regular and special meetings of the Board and the director's assigned committees for the year, or if the Board determined a director had consistently demonstrated a lack of engagement and participation in meetings attended. In addition, the meeting fee attendance requirement provided that a director would receive a meeting fee only if he or she attended the regular Board meeting as well as at least one assigned committee meeting during the Board's regularly scheduled two-day meetings.

Under the 2015 Directors Compensation Policy, the Bank reimbursed directors for necessary and reasonable travel, subsistence, and other related expenses incurred in connection with the performance of their official duties, which may have included participation in meetings or activities for which no fee was paid.

For expense reimbursement purposes, directors' official duties included:

•Meetings of the Board and Board committees,

•Meetings requested by the Finance Agency and FHLBank System committees,

•Meetings of the Council of FHLBanks and its committees,

•Meetings of the Bank's Affordable Housing Advisory Council,

•Events attended on behalf of the Bank when requested by the president in consultation with the chairman,

•Other events attended on behalf of the Bank with the prior approval of the EEO-Personnel-Compensation

Committee of the Board, and

•Director education events attended with the prior approval of the chairman.

The Board adopted a Board of Directors Compensation and Expense Reimbursement Policy for 2016, which is substantially similar to the 2015 Directors Compensation Policy with the exception that the maximum total director fees were increased by $5,000 for all directors, audit committee directors and committee chairs (except for the chairs of the audit committee and risk committee); and increased by $15,000 for the Board chair and vice chair. In addition, the maximum fee for the chairs of the audit committee and the risk committee are $100,000. Director fees were increased to more closely align with relevant market benchmarks for director compensation and trends at other FHLBanks.

.

224

ITEM 12. SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND RELATED STOCKHOLDER MATTERS

The following table sets forth information about those stockholders that are beneficial owners of more than 5% of the Federal Home Loan Bank of San Francisco’s outstanding capital stock, including mandatorily redeemable capital stock, as of February 29, 2016.

Name and Address of Beneficial Owner	Number of Shares Held	Percentage of Outstanding Shares
JPMorgan Chase Bank, National Association(1)(2)	3,999,609	14.3	%
560 Mission Street
San Francisco, CA 94105
Bank of the West	2,089,956	7.5
180 Montgomery Street
San Francisco, CA 94104
Total	6,089,565	21.8	%

(1) Nonmember institution.

(2) Effective August 31, 2015, JPMorgan Bank & Trust Company, National Association (JPMorgan B&T), merged with and into JPMorgan Chase

Bank, National Association (JPMorgan Chase). As a result, JPMorgan B&T is no longer a member of the Bank. Upon the merger, all of the Bank

capital stock held by JPMorgan B&T was transferred to JPMorgan Chase, a nonmember of the Bank, and reclassified as mandatorily redeemable

capital stock, and all advances to JPMorgan B&T were transferred to JPMorgan Chase.

The following table sets forth information about those members (or their holding companies) with officers or directors serving as directors of the Federal Home Loan Bank of San Francisco as of February 29, 2016.

Director Name	Name of Institution	City	State	Number of Shares Held	Percentage of Outstanding Shares
Bradley W. Beal	One Nevada Credit Union	Las Vegas	NV	13,915	0.1	%
Craig G. Blunden	Provident Savings Bank	Riverside	CA	80,943	0.3
Steven R. Gardner	Pacific Premier Bank	Irvine	CA	144,459	0.5
Richard A. Heldebrant	Star One Credit Union	Sunnyvale	CA	520,689	1.8
Simone Lagomarsino	Heritage Oaks Bank	Paso Robles	CA	78,531	0.3
Douglas H. (Tad) Lowrey	Pacific Western Bank	Beverly Hills	CA	237,060	0.8
Brian M. Riley	Mohave State Bank	Lake Havasu City	AZ	13,263	0.1
John F. Robinson	Silicon Valley Bank	Santa Clara	CA	172,500	0.6
Total				1,261,360	4.5	%

ITEM 13. CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS, AND DIRECTOR INDEPENDENCE

Capital stock ownership is a prerequisite to transacting any member business with the Federal Home Loan Bank of San Francisco (Bank). The members, former members, and certain other nonmembers own all the capital stock of the Bank, the majority of the directors of the Bank are officers or directors of members, and the Bank conducts its advances and purchased mortgage loan business almost exclusively with members or member successors. The Bank extends credit in the ordinary course of business to members with officers or directors who serve as directors of the Bank and to members owning more than 5% of the Bank's capital stock (5% shareholders) on market terms that are no more favorable to them than the terms of comparable transactions with other members. In addition, the Bank may transact short-term investments, Federal funds sold, and mortgage-backed securities (MBS) with members and their affiliates that have officers or directors who serve as directors of the Bank or with 5% shareholders. All

225

investments are market rate transactions, and all MBS are purchased through securities brokers or dealers. The Bank may also be the primary obligor on debt issued in the form of Federal Home Loan Bank (FHLBank) System consolidated obligations using underwriters and dealers, and may enter into interest rate exchange agreements with counterparties, that may be affiliates of Bank members with officers or directors who serve as directors of the Bank or affiliates of members and nonmembers owning more than 5% of the Bank's capital stock, which are transactions in the ordinary course of the Bank's business and are market rate transactions.

The FHLBank Act requires the Bank to establish an Affordable Housing Program (AHP). The Bank provides subsidies to members, which use the funds to assist in the purchase, construction, or rehabilitation of housing for very low-, low-, and moderate-income households. Subsidies may be in the form of direct grants or below-market interest rate advances. Only Bank members, along with their nonmember AHP project sponsors, may submit AHP applications. All AHP subsidies are made in the ordinary course of business.

The FHLBank Act also requires the Bank to establish a Community Investment Program (CIP) and authorizes the Bank to offer additional Community Investment Cash Advance (CICA) programs. Under these programs, the Bank provides subsidies in the form of grants and below-market interest rate advances or standby letters of credit to members for community lending and economic development projects. Only Bank members may submit applications for these credit program subsidies. All CICA subsidies are made in the ordinary course of business.

In instances where an AHP or CICA transaction involves a member that owns more than 5% of the Bank's capital stock (or an affiliate of such a member), a member with an officer or director who is a director of the Bank, or an entity with an executive officer, director, controlling shareholder, or general partner who serves as a director of the Bank (and that has a direct or indirect interest in the subsidy), the transaction is subject to the same eligibility and other program criteria and requirements as all other comparable transactions and to the regulations governing the operations of the relevant program.

The Bank may also use members that have officers or directors who serve as directors of the Bank or 5% shareholders or their affiliates as securities custodians and derivative dealer counterparties. These financial relationships are conducted in the ordinary course of business on terms and conditions similar to those that would be available for comparable services if provided by unaffiliated entities.

The Bank does not have a written policy to have the Board of Directors (Board) review, approve, or ratify transactions with members that are outside the ordinary course of business because such transactions rarely occur. However, it has been the Bank's practice to report to the Board all transactions between the Bank and its members that are outside the ordinary course of business, and, on a case-by-case basis, seek Board approval or ratification.

Director Independence

General

Under the rules of the Securities and Exchange Commission (SEC), the Bank is required to identify directors who are independent, and members of the Board's Audit Committee and Compensation and Human Resources Committee and any committee performing similar functions to a nominating committee who are not independent, using the independence definition of a national securities exchange or automated quotation system. The Bank's capital stock is not listed on a national securities exchange or automated quotation system, and the Bank's Board of Directors is not subject to the independence requirement of any such exchange or automated quotation system. The Bank is subject to the independence standards for directors serving on the Bank's Audit Committee set forth in the rules of the Federal Housing Finance Agency, and looks to the Finance Agency independence standards to determine independence for all directors, whether or not they serve on the Audit Committee. In addition, for purposes of compliance with the SEC's disclosure rules only, the Board has evaluated director independence using the definition of independence articulated in the rules of the National Association of Securities Dealers Automated Quotations (NASDAQ).

226

In addition to the independence rules and standards above, the FHLBanks are required to comply with the rules issued by the SEC under Section 10A(m) of the Securities Exchange Act of 1934, which includes a substantive independence rule prohibiting a director from being a member of the Audit Committee if he or she, other than in his or her capacity as a member of the Audit Committee, the Bank's Board of Directors, or any other Board committee, accepts any consulting, advisory, or other compensatory fee from the Bank or is an “affiliated person” of the Bank as defined by the SEC rules (the person controls, is controlled by, or is under common control with the Bank).

Director Independence under the Finance Agency Regulations

The Finance Agency director independence rule provides that a director is sufficiently independent to serve as a member of the Bank's Audit Committee if that director does not have a disqualifying relationship with the Bank or its management that would interfere with the exercise of that director's independent judgment. Disqualifying relationships under the Finance Agency independence standards include, but are not limited to: (i) employment with the Bank at any time during the last five years; (ii) acceptance of compensation from the Bank other than for service as a director; (iii) being a consultant, advisor, promoter, underwriter, or legal counsel for the Bank at any time within the last five years; and (iv) being an immediate family member of an individual who is or who has been a Bank executive officer within the past five years.

Although the Finance Agency's independence standard only applies by regulation to members of the Bank's Audit Committee, the Bank's Board looks to this standard for purposes of determining independence of all Bank directors.

The independence standard imposed on the Audit Committee under the Finance Agency regulations takes into account the fact that the Bank was created by Congress; the Bank has a cooperative ownership structure; the Bank is statutorily required to have member directors who are either an officer or director of a Bank member; the Bank was created to provide its members with products and services; and the Bank's Board of Directors is statutorily required to administer the affairs of the Bank fairly and impartially and without discrimination in favor of or against any member borrower. The Finance Agency's independence standards do not include as a disqualifying relationship any business relationships between a director's member institution and the Bank. Consistent with the rule, the Bank's Board does not believe that the statutorily prescribed business relationships between a director's member institution and the Bank interfere with the director's exercise of his or her independent judgment. The national securities exchanges' independence definition, including those of the NASDAQ, do not generally take into account the cooperative nature of the Bank. Accordingly, the Bank's Board believes that the appropriate standard for measuring director independence is the Finance Agency's independence standards.

Applying the Finance Agency independence standards, the Board has determined that all directors who served in 2015 were, and all current directors are, independent.

Director Independence under the NASDAQ Rules

If the Bank uses the NASDAQ standard for purposes of complying with the SEC disclosure rules, the Board must make an affirmative determination that the director does not have a relationship with the Bank that would impair his or her independence.“Independent director” under the NASDAQ rules means a person other than an executive officer or employee of the company or any other individual having a relationship which, in the opinion of the issuer's board of directors, would interfere with the exercise of independent judgment in carrying out the responsibilities of a director.

In addition, the NASDAQ rules set forth seven relationships that automatically preclude a determination of director independence. Among other things, a director is not considered to be independent if the director is, or has a family member who is, a partner in, or a controlling shareholder or an executive officer of, any organization to which the Bank made, or from which the Bank received, payments for property or services in the current or any of the past three fiscal years that exceed 5% of the recipient's consolidated gross revenues for that year, or $200,000, whichever is more. This particular relationship is referred to below as the payments/revenues relationship.

227

Using the NASDAQ rules, the Board affirmatively determined that in its opinion Ms. Guzman, Mr. Luikart, Mr. Murray, Mr. Nielsen, Mr. Syphax, and Mr. Wasley, who are current nonmember directors and are not employed by and do not serve as a director of any member institution, are independent and, to the extent they served as nonmember directors in 2015, were independent in 2015 under the NASDAQ rules because they have no relationship with the Bank that would interfere with their exercise of independent judgment in carrying out their responsibilities.

Using the NASDAQ rules, the Board affirmatively determined that in its opinion the following current member directors are independent and, to the extent they served as member directors in 2015, were independent in 2015 under the NASDAQ rules because they have no relationship with the Bank that would interfere with their exercise of independent judgment in carrying out their responsibilities as directors: Mr. Beal, Mr. Blunden, Mr. Gardner, Mr. Heldebrant, Ms. Lagomarsino, Mr. Lowrey, Mr. Riley, and Mr. Robinson.

In making these determinations, the Board recognized that during their directorships the member directors were employed by or served as a director of a member institution that may have conducted business with the Bank in the ordinary course of the Bank's and the member institution’s respective businesses. The Board determined that these ordinary course customer relationships with the member institutions that had or have member directors on the Board would not interfere with the member directors' exercise of independent judgment or their independence from management under the NASDAQ rules. This determination is based on the fact that the Bank was created by Congress, the Bank has a cooperative ownership structure, the Bank is statutorily required to have member directors who are either an officer or director of a Bank member, the Bank was created to provide its members with products and services, and the Board is statutorily required to administer the affairs of the Bank fairly and impartially and without discrimination in favor of or against any member borrower.

Audit Committee Independence

The Board has an Audit Committee. Under the Finance Agency's independence standards and NASDAQ rules, all Audit Committee members who served in 2015 were independent and all current Audit Committee members are independent.

All Audit Committee members who served in 2015 and all current Audit Committee members met the substantive independence rules under Section 10A(m) of the 1934 Act.

Compensation and Human Resources Committee Independence

The Board has a Compensation and Human Resources Committee. Using the Finance Agency's director independence standards and under the NASDAQ rules, all Compensation and Human Resources Committee members who served in 2015 were independent, and all current Compensation and Human Resources Committee members are independent.

Under the NASDAQ rules, to be considered an independent compensation committee member, a director must meet the definition under the general NASDAQ independence rules, and the board of directors must affirmatively determine the independence of any director who will serve on the company’s compensation committee and must consider all factors specifically relevant to determining whether such a director has a relationship to the company that is material to that director’s ability to be independent from management in connection with the duties of a compensation committee member. Relevant factors must include the source of compensation of directors, including any consulting, advisory, or other compensatory fee paid by the company to the directors and whether the director is affiliated with the company.

Governance Committee

The Board has a Governance Committee that performs certain functions that are similar to those of a nominating committee with respect to the nomination of nonmember independent directors. Using the Finance Agency’s

228

director independence standards, all Governance Committee members who served in 2015 were independent and all current Governance Committee members are independent.

ITEM 14. PRINCIPAL ACCOUNTING FEES AND SERVICES

The following table sets forth the aggregate fees billed to the Federal Home Loan Bank of San Francisco (Bank) for the years ended December 31, 2015 and 2014, by its external accounting firm, PricewaterhouseCoopers LLP.

(In millions)	2015		2014
Audit fees	$	0.9	$	0.9
All other fees	—		—
Total	$	0.9	$	0.9

Audit Fees. Audit fees during 2015 and 2014 were for professional services rendered in connection with the audits of the Bank's annual financial statements, the review of the Bank's quarterly financial statements included in each Quarterly Report on Form 10-Q, and the audit of the Bank's internal control over financial reporting.

All Other Fees. All other fees for 2015 and 2014 were for consulting and advisory services. The Bank is exempt from all federal, state, and local taxation, and no tax consulting fees were paid during 2015 and 2014.

Audit Committee Pre-Approval Policy

In accordance with the Securities and Exchange Commission rules and regulations implementing the Securities Exchange Act of 1934 (SEC rules), all audit, audit-related, and non-audit services proposed to be performed by the Bank's independent auditor must be pre-approved by the Audit Committee to ensure that they do not impair the auditor's independence. The SEC rules require that proposed services either be specifically pre-approved on a case-by-case basis (specific pre-approval services) or be pre-approved without case-by-case review under policies and procedures established by the Audit Committee that are detailed as to the particular service and do not delegate Audit Committee responsibilities to management (general pre-approval services).

The Bank's Audit Committee has adopted a policy, the Independent Auditor Services Pre-Approval Policy (Policy), setting forth the procedures and conditions pursuant to which services proposed to be performed by the Bank's independent auditor may be approved. Under the Policy, unless services to be provided by the independent auditor have received general pre-approval, they require specific pre-approval by the Audit Committee. Any proposed services exceeding the pre-approved maximum fee amounts set forth in the appendices to the Policy will also require specific pre-approval by the Audit Committee.

The Policy is designed to be detailed as to the particular services that may be provided by the independent auditor and to provide for the Audit Committee to be informed of each service provided by the independent auditor. The Policy is also intended to ensure that the Audit Committee does not delegate to management its responsibilities in connection with the approval of services to be provided by the independent auditor.

For both specific pre-approval and general pre-approval of services, the Audit Committee considers whether the proposed services are consistent with the SEC rules on auditor independence and whether the provision of the services by the independent auditor would impair the independent auditor's independence. The Audit Committee also considers (i) whether the independent auditor is positioned to provide effective and efficient services, given its familiarity with the Bank's business, management, culture, accounting systems, risk profile, and other factors, and (ii) whether having the independent auditor provide the service may enhance the Bank's ability to manage or control risk or improve audit quality. The Audit Committee also considers the total amounts of fees for audit, audit-related, and non-audit services for a given calendar year in deciding whether to pre-approve any such services and may choose to determine, for a particular calendar year, the appropriate ratio between the total amount of fees for audit and audit-related services and the total amount of fees for permissible non-audit services.

229

The Audit Committee annually reviews and pre-approves the services that may be provided by the independent auditor during a given calendar year without specific pre-approval from the Audit Committee.

The Audit Committee has delegated to its chair and vice chair individually specific pre-approval authority for additional audit or audit-related services to be provided by the independent auditor, provided that the estimated fee for each type of proposed service does not exceed $50,000 and the total aggregated fees for all services pre-approved by each individual under this delegated authority do not exceed $100,000 in a calendar year. The chair or vice chair, as the case may be, is required to report to the Audit Committee any services pre-approved under the delegated authority.

In 2015 and 2014, 100% of the audit-related fees and all other fees were pre-approved by the Audit Committee.

PART IV.

ITEM 15. EXHIBITS, FINANCIAL STATEMENT SCHEDULES

(a) (1) Financial Statements

The financial statements included as part of this Form 10-K are identified in the Index to Audited Financial Statements appearing in “Item 8. Financial Statements and Supplementary Data” of this Form 10-K, which is incorporated in this Item 15 by reference.

(2) Financial Statement Schedules

All financial statement schedules are omitted because they are either not applicable or the required information is shown in the financial statements or the notes thereto.

(b)Exhibits

Exhibit No.	Description
3.1	Organization Certificate and resolutions relating to the organization of the Federal Home Loan Bank of San Francisco incorporated by reference to Exhibit 3.1 to the Bank's Registration Statement on Form 10 filed with the Securities and Exchange Commission on June 30, 2005 (Commission File No. 000-51398)
3.2	Bylaws of the Federal Home Loan Bank of San Francisco, as amended and restated on January 31, 2014, incorporated by reference to Exhibit 3.2 to the Bank’s Annual Report on Form 10-K filed with the Securities and Exchange Commission on March 14, 2014 (Commission File No. 000-51398)
4.1	Capital Plan, as amended and restated effective April 1, 2015, and updated August 3, 2015, to reflect adjustments to activity-based stock requirements
10.1	Summary Sheet: Terms of Employment for Named Executive Officers for 2016
10.2	Form of Director Indemnification Agreement, incorporated by reference to Exhibit 10.2 to the Bank's Registration Statement on Form 10 filed with the Securities and Exchange Commission on June 30, 2005 (Commission File No. 000-51398)
10.3	Form of Senior Officer Indemnification Agreement, incorporated by reference to Exhibit 10.3 to the Bank's Annual Report on Form 10-K filed with the Securities and Exchange Commission on March 23, 2011 (Commission File No. 000-51398)
10.4	Change in Control Severance Agreement for Dean Schultz, incorporated by reference to Exhibit 99.1 to the Bank's Current Report on Form 8-K filed with the Securities and Exchange Commission on June 7, 2011 (Commission File No. 000-51398)
10.5	Change in Control Severance Agreement for Lisa B. MacMillen, incorporated by reference to Exhibit 99.2 to the Bank's Current Report on Form 8-K filed with the Securities and Exchange Commission on June 7, 2011 (Commission File No. 000-51398)
10.6	Board Resolution for 2016 Board of Directors Compensation and Expense Reimbursement Policy, incorporated by reference to Exhibit 10.1 to the Bank's Quarterly Report on Form 10-Q filed with the Securities and Exchange Commission on November 6, 2015 (Commission File No. 000-51398)

230

10.7+	2016 President’s Incentive Plan
10.8+	2015 President’s Incentive Plan incorporated by reference to Exhibit 10.1 to the Bank’s Quarterly Report on Form 10-Q filed with the Securities and Exchange Commission on May 8, 2015 (Commission File No. 000-51398)
10.9+	2016 Executive Incentive Plan
10.10+	2015 Executive Incentive Plan incorporated by reference to Exhibit 10.2 to the Bank’s Quarterly Report on Form 10-Q filed with the Securities and Exchange Commission on May 8, 2015 (Commission File No. 000-51398)
10.11	2016 Executive Performance Unit Plan
10.12	2015 Executive Performance Unit Plan incorporated by reference to Exhibit 10.3 to the Bank’s Quarterly Report on Form 10-Q filed with the Securities and Exchange Commission on May 8, 2015 (Commission File No. 000-51398)
10.13	2014 Executive Performance Unit Plan, incorporated by reference to Exhibit 10.3 to the Bank's Quarterly Report on Form 10-Q filed with the Securities and Exchange Commission on May 9, 2014 (Commission File No. 000-51398)
10.14	2013 Executive Performance Unit Plan, incorporated by reference to Exhibit 10.3 to the Bank's Quarterly Report on Form 10-Q filed with the Securities and Exchange Commission on May 10, 2013 (Commission File No. 000-51398)
10.15	Executive Benefit Plan, incorporated by reference to Exhibit 10.11 to the Bank's Registration Statement on Form 10 filed with the Securities and Exchange Commission on June 30, 2005 (Commission File No. 000-51398)
10.16	Original Deferred Compensation Plan, as restated, incorporated by reference to Exhibit 10.13 to Bank's Registration Statement on Form 10 filed with the Securities and Exchange Commission on June 30, 2005 (Commission File No. 000-51398)
10.17	Deferred Compensation Plan Amended and Restated Effective January 1, 2009, incorporated by reference to Exhibit 10.14 to the Bank's Annual Report on Form 10-K filed with the Securities and Exchange Commission on March 23, 2011 (Commission File No. 000-51398)
10.18	Supplemental Executive Retirement Plan, as amended and restated on July 1, 2013, incorporated by reference to Exhibit 10.15 to the Bank’s Annual Report on Form 10-K filed with the Securities and Exchange Commission on March 14, 2014 (Commission File No. 000-51398)
10.19	Corporate Senior Officer Severance Policy, as amended and restated on August 14, 2013, incorporated by reference to Exhibit 10.16 to the Bank’s Annual Report on Form 10-K filed with the Securities and Exchange Commission on March 14, 2014 (Commission File No. 000-51398)
10.20	Federal Home Loan Bank P&I Funding and Contingency Plan Agreement, effective as of July 20, 2006, by and among the Office of Finance and each of the Federal Home Loan Banks, incorporated by reference to Exhibit 10.1 to the Bank's Current Report on Form 8-K filed with the Securities and Exchange Commission on June 28, 2006 (Commission File No. 000-51398)
10.21	Joint Capital Enhancement Agreement, as amended August 5, 2011, with the other 11 Federal Home Loan Banks, incorporated by reference to Exhibit 99.1 to the Bank's Current Report on Form 8-K filed with the Securities and Exchange Commission on August 5, 2011 (Commission File No. 000-51398)
12.1	Computation of Ratio of Earnings to Fixed Charges – December 31, 2015
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
99.1++	Audit Committee Report

231

101 Pursuant to Rule 405 of Regulation S-T, the following financial information from the Bank's annual report on Form 10-K for the period ended December 31, 2015, is formatted in XBRL interactive data files: (i) Statements of Condition at December 31, 2015 and 2014; (ii) Statements of Income for the Years Ended December 31, 2015, 2014, and 2013; (iii) Statements of Comprehensive Income for the Years Ended December 31, 2015, 2014, and 2013; (iv) Statements of Capital Accounts for the Years Ended December 31, 2015, 2014, and 2013; (v) Statements of Cash Flows for the Years Ended December 31, 2015, 2014, and 2013; and (vi) Notes to Financial Statements.

+ Confidential treatment has been requested as to portions of this exhibit.

++ The report contained in Exhibit 99.1 is being furnished and will not be deemed filed for purposes of Section 18 of the Securities Exchange Act of 1934, as amended.

232

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 March 11, 2016.

FEDERAL HOME LOAN BANK OF SAN FRANCISCO

/S/ DEAN SCHULTZ

Dean Schultz

President and Chief Executive Officer

March 11, 2016

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 March 11, 2016.

/S/ DEAN SCHULTZ

Dean Schultz

President and Chief Executive Officer

(principal executive officer)

/S/ LISA B. MACMILLEN

Lisa B. MacMillen

Executive Vice President and Chief Operating Officer

(principal executive officer)

/S/ KENNETH C. MILLER

Kenneth C. Miller

Senior Vice President and Chief Financial Officer

(principal financial officer and principal accounting officer)

/S/ DOUGLAS H. (TAD) LOWREY

Douglas H. (Tad) Lowrey

Chairman of the Board of Directors

/S/ MELINDA GUZMAN        

Melinda Guzman

Vice Chairman of the Board of Directors

/S/ BRADLEY W. BEAL

Bradley W. Beal

Director

/S/ CRAIG G. BLUNDEN

Craig G. Blunden Director

/S/ STEVEN R. GARDNER

Steven R. Gardner

Director

233

/S/ RICHARD A. HELDEBRANT

Richard A. Heldebrant

Director

/S/ SIMONE LAGOMARSINO

Simone Lagomarsino

Director

/S/ JOHN F. LUIKART     

John F. Luikart

Director

/S/ KEVIN MURRAY

Kevin Murray

Director

/S/ ROBERT F. NIELSEN

Robert F. Nielsen

Director

/S/ BRIAN M. RILEY

Brian M. Riley

Director

/S/ JOHN F. ROBINSON

John F. Robinson

Director

/S/ SCOTT C. SYPHAX        

Scott C. Syphax

 Director

/S/ JOHN T. WASLEY

John T. Wasley

Director

234

EX-4.1

Exhibit 4.1

Federal Home Loan Bank of San Francisco

Capital Plan of the

Federal Home Loan Bank of San Francisco

As amended and restated effective April 1, 2015

Updated August 3, 2015, to reflect adjustments to activity-based stock requirements

Capital Plan as Amended and Restated Effective April 1, 2015

Updated August 3, 2015

Table of Contents

I. Definitions    4

II. Capital Stock7

A. Characteristics of Capital Stock7

B. Interest in Retained Earnings8

III. Issuance of Capital Stock8

A. Exchange Pursuant to Plan of Reorganization8

1. Notice and Effective Date8

2. Exchange8

3. Right to Opt Out of Capital Plan8

4. Member in Process of Withdrawing from Membership on Effective Date9

5. Disposition of Claims9

B. Subsequent Issuances9

C. New Members9

D. Former Members9

IV. Minimum Stock Requirement10

A. Calculation of Minimum Stock Requirement10

B. Adjustments to Stock Requirements12

1. Adjustment to Membership Stock Requirement12

2. Adjustment to Activity-Based Stock Requirement12

C. Authorized Ranges13

1. Authorized Ranges for Membership Stock Requirement13

2. Authorized Ranges for Activity-Based Stock Requirement13

D. Factors to Consider in Establishing Adjustment Within Authorized Ranges13

V. Ownership and Transfer of Capital Stock14

A. Ownership Limited to Members14

B. Transfers at Par Value14

VI. Voting Rights14

A. Election of Directors14

B. Ratification of Voluntary Merger14

VII. Dividends15

A. Declaration of Dividends15

B. No Preference15

C. Stock Held by Withdrawing or Former Member15

VIII. Liquidation, Merger or Consolidation15

A. Liquidation15

B. Merger or Consolidation15

C. No Limitation on Finance Agency’s Authority15

Federal Home Loan Bank of San Francisco    1

Capital Plan as Amended and Restated Effective April 1, 2015

Updated August 3, 2015

IX. Redemption and Repurchase of Capital Stock (Continuing Membership)16

A. Redemption Upon Application by the Member16

1. Conditions Applicable to Redemption16

2. Cancellation of Redemption Notice16

3. Redemption17

B. Repurchase Upon Initiation by the Bank17

C. Continued Benefits of Ownership Prior to Redemption or Repurchase17

D. Limitations on Redemption and Repurchase of Capital Stock17

X. Redemption and Repurchase of Capital Stock (Withdrawal or Termination

of Membership)17

A. Voluntary Withdrawal17

1. Notice of Intention to Withdraw from Membership17

2. Termination of Membership18

3. Continued Benefits of Membership Prior to Termination18

4. Cancellation of Notice of Withdrawal18

5. Circumstances Requiring Finance Agency Certification for Withdrawal19

B. Termination of Membership as a Result of Merger, Consolidation, Relocation, or Self-Liquidation Resulting in Cancellation of Charter19

1. Consolidation of Members19

2. Consolidation of Member into Nonmember19

3. Relocation of Principal Place of Business20

4. Self-Liquidation Resulting in a Cancellation of Charter20

C. Other Involuntary Termination of Membership21

D. Redemption21

E. Limitations on Redemption and Repurchase of Capital Stock Following Withdrawal or

Termination of Membership21

XI. Priority of Redemption or Repurchase22

A. Initial Pro Rata Redemption22

B. Subsequent Pro Rata Redemption22

C. Pro Rata Repurchase22

D. No Priority for Notices of Redemption or Repurchase in the Event of Liquidation23

XII. Disposition of Claims23

A. In General23

B. Lien on Capital Stock23

C. Prepayment Fees23

XIII. Amendment to the Capital Plan23

XIV. Retained Earnings Enhancement Implementation and Definitions23

A. Implementation24

B. Definitions24

Federal Home Loan Bank of San Francisco    2

Capital Plan as Amended and Restated Effective April 1, 2015

Updated August 3, 2015

XV. Establishment of Restricted Retained Earnings26

A. Segregation of Account26

B. Funding of Account26

1. Date on Which Allocation Begins26

2. Ongoing Allocation27

3. Treatment of Quarterly Net Losses and Annual Net Losses27

4. Funding at the Special Contribution Amount27

5. Release of Restricted Retained Earnings27

6. No Effect on Rights of Shareholders as Owners of Retained Earnings28

XVI. Limitation on Dividends, Stock Purchase and Stock Redemption28

A. General Rule on Dividends28

B. Limitations on Repurchase and Redemption28

XVII. Termination of Retained Earnings Capital Plan Amendment Obligations28

A. Notice of Automatic Termination Event28

1. Action by FHLBanks28

2. Action by Finance Agency29

3. Occurrence of Automatic Termination Event Declaration Date29

B. Notice of Voluntary Termination30

C. Consequences of Automatic Termination Event or Vote to Terminate the Agreement30

1. Consequences of Voluntary Termination30

2. Consequences of an Automatic Termination Event Declaration Date30

3. Deletion of Operative Provisions of Retained Earnings Capital Plan Amendment30

Appendix A: Membership Asset Factors31

Federal Home Loan Bank of San Francisco    3

Capital Plan as Amended and Restated Effective April 1, 2015

Updated August 3, 2015

I. Definitions

As used in this Capital Plan, the following capitalized terms shall have the following meanings:

A. “Act” means the Federal Home Loan Bank Act, as amended from time to time.

B. “Activity-Based Stock Requirement” means the amount of Capital Stock that a Member must own for as long as a particular transaction between the Bank and the Member remains outstanding.

C. “Activity-Based Stock Retention Requirement” means the amount of Capital Stock that a Former Member must own for as long as a particular transaction between the Bank and the Former Member remains outstanding. The Activity-Based Stock Retention Requirement for a Former Member shall be calculated according to the same formula used to calculate the Activity-Based Stock Requirement for a Member.

D. “Advance” or “Advances” means the principal balance of all loans from the Bank to a Member or Former Member that are outstanding from time to time and that are (1) provided pursuant to a written agreement, (2) supported by a note or other written evidence of the borrower’s obligation, and (3) fully secured by collateral in accordance with the Act and the Regulations, including, without limitation, all such loans that are outstanding on the Effective Date.

E. “Advances Stock Requirement” means the amount of Capital Stock that a Member must own for as long as Advances made by the Bank to the Member remain outstanding.

F. “Advances Stock Retention Requirement” means the amount of Capital Stock that a Former Member must own for as long as Advances made by the Bank to the Former Member remain outstanding. The Advances Stock Retention Requirement for a Former Member shall be calculated according to the same formula used to calculate the Advances Stock Requirement for a Member.

G. “Bank” means the Federal Home Loan Bank of San Francisco.

H. “Board of Directors” means the board of directors of the Bank.

I. “Capital Plan” means this capital plan as adopted by the Board of Directors and approved by the Finance Agency.

J. “Capital Stock” means capital stock that has the characteristics of class B stock as described in the Act and the Regulations, and as specified in Section II.A. of the Capital Plan.

K. “Capital Stock Assessment” means the amount of Capital Stock that a Member must own, in addition to the greater of its Membership Stock Requirement or its Activity-Based Stock Requirement, or that a Former Member must own, in addition to the greater of its Membership Stock Retention Requirement or its Activity-Based Stock Retention Requirement, as applicable, for as long as may be necessary to enable the Bank to meet its Minimum Regulatory Capital Requirement and its Risk Management Policy Minimum, as determined by the Board of Directors in its sole discretion (subject to the regulatory oversight of the Finance Agency).

L. “Effective Date” of the Capital Plan means the date of the Exchange as determined by the Board of Directors.

M. “Excess Stock” of a Member or Former Member means the amount of Capital Stock held by the Member or Former Member that exceeds the amount of Capital Stock that the Member or Former Member is required to own in accordance with the provisions of the Capital Plan.

Federal Home Loan Bank of San Francisco    4

Capital Plan as Amended and Restated Effective April 1, 2015

Updated August 3, 2015

N. “Exchange” means the exchange on the Bank’s books of each share of Bank stock outstanding prior to the exchange on the Effective Date for one share of Capital Stock, upon which each share of Bank stock shall be retired.

O. “Finance Agency” means the Federal Housing Finance Agency, as successor to the Federal Housing Finance Board (“Finance Board”), or any successor agency to the Finance Agency.

P. “Former Member” means an institution, other than a Member, that owns Capital Stock, and includes without limitation (1) a former Member that has withdrawn voluntarily from Membership, (2) a former Member whose Membership has been terminated as a result of merger or consolidation into a nonmember, (3) a former Member whose Membership has been terminated as a result of relocation of its principal place of business, (4) a former Member whose Membership has been terminated involuntarily by the Board of Directors, (5) a former Member that has become subject to the appointment of a conservator, receiver, or other legal custodian under federal or state law, (6) any other successor in interest to a Member or Former Member, and (7) a newly chartered nonmember institution under the control of a conservator, or deposit insurance agency, that has acquired some or all the assets and liabilities of a Member or Former Member.

Q. “Indebtedness” means all indebtedness of the Member or Former Member to the Bank that is outstanding from time to time, including, without limitation, all Advances and all other obligations and liabilities of the Member or Former Member to the Bank.

R. “Issue” or “Issuance” means the issuance of Capital Stock to a Member or Former Member by the Bank in (1) the Exchange, (2) a sale, (3) a transfer, or (4) a dividend.

S. “Member” means a member of the Bank.

T. “Member Mortgage Asset Program” means a program under which the Bank purchases mortgage loans from a Member.

U. “Member Mortgage Asset Stock Requirement” means the amount of Capital Stock that a Member must own for as long as the Bank owns any mortgage loan or any portion of any mortgage loan sold by the Member to the Bank under a Member Mortgage Asset Program.

V. “Member Mortgage Asset Stock Retention Requirement” means the amount of Capital Stock that a Former Member must own for as long as the Bank owns any mortgage loan or any portion of any mortgage loan sold by the Former Member to the Bank under a Member Mortgage Asset Program. The Member Mortgage Asset Stock Retention Requirement for a Former Member shall be calculated according to the same formula used to calculate the Member Mortgage Asset Stock Requirement for a Member.

W. “Membership” means membership in the Bank.

X. “Membership Assets” of a Member means all of the assets of the Member (other than Capital Stock) of a type that, at the time of origination of a transaction between the Member and the Bank, may qualify as collateral security for the Member under the Act or the Regulations. (Assets deemed to be Membership Assets for purposes of calculating a Member’s Membership Stock Requirement may or may not be accepted by the Bank as collateral security for any particular transaction.)

Y. “Membership Asset Factor” means the percentage, from zero to one hundred, that the Bank has assigned to a category or type of asset that may constitute a Membership Asset of any Member. The Membership Asset Factor assigned to each category of Membership Assets is set forth in Appendix A.

Federal Home Loan Bank of San Francisco    5

Capital Plan as Amended and Restated Effective April 1, 2015

Updated August 3, 2015

Z. “Membership Asset Value” of a Member means the sum of the amounts of each category of the Member’s Membership Assets, as determined by the Bank from the Member’s relevant regulatory reports (or, for a Member that does not file periodic regulatory reports of its financial condition, its most recent financial statements or other recent financial information provided by the Member as required or requested by the Bank from time to time), multiplied in each case by the Membership Asset Factor applicable to each such asset category.

AA. “Membership Stock Requirement” means the amount of Capital Stock that a Member must own in order to become and remain a Member.

BB. “Membership Stock Retention Requirement” means the amount of Capital Stock that a Former Member must own until the expiration of the Redemption Period applicable to the Capital Stock. The Membership Stock Retention Requirement for a Former Member shall be the amount of Capital Stock that comprised its Membership Stock Requirement on the date on which its Membership was terminated, unless adjusted in accordance with the provisions of Section IV.B.1. of the Capital Plan.

CC. “Minimum Regulatory Capital Requirement” means each and all of the following: (1) the Regulatory Leverage Capital Requirement, (2) the Regulatory Risk-Based Capital Requirement, and (3) the Regulatory Total Capital Requirement.

DD. “Minimum Stock Requirement” for a Member means (1) the greater of (a) the Member’s Membership Stock Requirement or (b) its Activity-Based Stock Requirement, plus (2) its Capital Stock Assessment, if any. The Minimum Stock Requirement for a Member shall not include the amount of any Capital Stock Assessment imposed prior to the date of Membership.

EE. “Minimum Stock Retention Requirement” for a Former Member means (1) the greater of (a) the Former Member’s Membership Stock Retention Requirement or (b) its Activity-Based Stock Retention Requirement, plus (2) any Capital Stock Assessment imposed prior to the date on which the Former Member’s Membership terminated, except that the Minimum Stock Retention Requirement for a Former Member whose membership is terminated in accordance with the provisions of Sections X.B.(2) or (4) of the Capital Plan, or is involuntarily terminated in accordance with the provisions of Section X.C. of the Capital Plan as a result of becoming subject to the appointment of a conservator, receiver, or other legal custodian under federal or state law shall be its Activity-Based Stock Retention Requirement.

FF. “Opt-Out Date” means the date that is three calendar months prior to the Effective Date.

GG. “Permanent Capital” means the sum of (1) the Bank’s retained earnings, determined in accordance with generally accepted accounting principles, and (2) the paid-in amounts for Issued and outstanding shares of Capital Stock.

HH. “Record Date” means (1) for purposes of Section VI.A., December 31 of the prior calendar year, and (2) for purposes of Section VI.B., the date established by the Board of Directors in accordance with the Regulations.

II. “Redeem” or “Redemption” means the acquisition and retirement by the Bank of Capital Stock and payment at par value to the Member or Former Member following the expiration of the Redemption Period.

JJ. “Redemption Period” for Capital Stock means the five-year period following (1) the Bank’s receipt of a Member’s written Redemption notice to the Bank provided in accordance with the provisions of Section IX.A. of the Capital Plan (which Redemption Period shall apply only to the

Federal Home Loan Bank of San Francisco    6

Capital Plan as Amended and Restated Effective April 1, 2015

Updated August 3, 2015

shares determined in accordance with the provisions of Section IX.A. of the Capital Plan), (2) the Bank’s receipt of a Member’s written notice to the Bank of the Member’s intention to withdraw from Membership provided in accordance with the provisions of Section X.A. of the Capital Plan, or the date of acquisition or receipt by the Member of any additional shares of Capital Stock after the Bank’s receipt of such notice (which Redemption Period shall apply only to the shares determined in accordance with the provisions of Section X.A. of the Capital Plan), (3) a Member’s termination from Membership as a result of merger or consolidation into a nonmember, or the date of acquisition or receipt by the Former Member of any additional shares of Capital Stock after the termination from Membership (which Redemption Period shall apply only to the shares determined in accordance with the provisions of Section X.B.2. of the Capital Plan), (4) a Member’s termination from Membership as a result of relocation of its principal place of business, or the date of acquisition or receipt by the Former Member of any additional shares of Capital Stock after the termination of Membership (which Redemption Period shall apply only to the shares determined in accordance with the provisions of Section X.B.3. of the Capital Plan), or (5) a Member’s involuntary termination from Membership, or the date of acquisition or receipt by the Former Member of any additional shares of Capital Stock after the termination of Membership (which Redemption Period shall apply only to the shares determined in accordance with the provisions of Section X.C. of the Capital Plan).

KK. “Regulations” means (i) the rules and regulations of the Finance Board (except to the extent that they are modified, terminated, set aside, or superseded by the Director of the Finance Agency, any court of competent jurisdiction, or operation of law), and (ii) the rules and regulations of the Finance Agency, both as amended from time to time.

LL. “Regulatory Leverage Capital Requirement” means the ratio of Total Capital to total assets that the Bank is required to maintain in accordance with the Regulations.

MM. “Regulatory Risk-Based Capital Requirement” means the amount of Permanent Capital that the Bank is required to maintain in accordance with the Regulations.

NN. “Regulatory Total Capital Requirement” means the amount of Total Capital that the Bank is required to maintain in accordance with the Regulations.

OO. “Repurchase” means the acquisition and retirement by the Bank of Excess Stock and payment at par value to the Member or Former Member without regard to the expiration of any Redemption Period. A “Repurchase” shall not include an acquisition of Capital Stock by the Bank related to the exercise of its rights as secured lender, and its security interest in Capital Stock pledged to secure any Advance.

PP. “Risk Management Policy Minimum” means the minimum capital ratios specified from time to time in the Bank’s risk management policy as in effect from time to time.

QQ. “Total Capital” means the sum of (1) Permanent Capital, (2) the amount of any general allowance for losses reserved on the books of the Bank, and (3) the value of other instruments identified in the Capital Plan that the Finance Agency has determined to be available to absorb losses incurred by the Bank.

II. Capital Stock

A. Characteristics of Capital Stock

The Board of Directors hereby authorizes the Bank to Issue, Redeem, and Repurchase Capital Stock, and take other actions in accordance with the provisions of the Capital Plan, at the Exchange and thereafter. Capital Stock shall have a par value of $100 per share and shall be

Federal Home Loan Bank of San Francisco    7

Capital Plan as Amended and Restated Effective April 1, 2015

Updated August 3, 2015

Issued, Redeemed, and Repurchased only at its stated par value. The Bank may Issue Capital Stock only in book-entry form.

B. Interest in Retained Earnings

Each Issued and outstanding share of Capital Stock shall represent an undivided ownership interest (proportionate to the number of shares of Capital Stock Issued and outstanding from time to time) in the retained earnings, paid-in surplus, undivided profits, and equity reserves of the Bank. No Member or Former Member shall have a right to receive a distribution of its undivided interest in the retained earnings, paid-in surplus, undivided profits, or equity reserves of the Bank at any time, including but not limited to, upon withdrawal or termination from Membership, except through a dividend or capital distribution approved by the Board of Directors or as a result of the liquidation of the Bank.

III. Issuance of Capital Stock

A. Exchange Pursuant to Plan of Reorganization

1. Notice and Effective Date

To implement the Capital Plan, the Bank will take the following actions, which constitute the Bank’s Plan of Reorganization, within the meaning of Section 368 of the Internal Revenue Code of 1986, as amended, and the regulations thereunder. Within the three-year period following Finance Agency approval of the Capital Plan, the Bank shall effect the Exchange on the Effective Date by exchanging on the Bank’s books each share of Bank stock outstanding prior to the Exchange for one share of Capital Stock, upon which each share of Bank stock shall be retired. The Bank shall provide at least 240 days’ advance written notice of the Effective Date to Members and Former Members and to any institution with a pending application for Membership. Any institution that requests or submits an application for Membership subsequent to the date of notice to Members and Former Members, but prior to the Effective Date, shall receive written notice of the Effective Date with its application materials or at the time it submits its application.

2. Exchange

Each Member must satisfy its Minimum Stock Requirement on the Effective Date. If, as of the Exchange, a Member holds shares of Capital Stock in an amount that is less than the amount required to satisfy the Member’s Minimum Stock Requirement, the Bank immediately shall (i) Issue sufficient additional shares of Capital Stock to the Member so that the Member meets its Minimum Stock Requirement; and (ii) debit the Member’s transaction account with the Bank in the amount of the par value of the additional shares of Capital Stock Issued. In the event that the Member’s transaction account reflects insufficient funds, the Bank may take any of the actions authorized pursuant to the transaction account terms and conditions then in effect.

3. Right to Opt Out of Capital Plan

Any Member may opt out of participation in the Exchange by providing to the Bank and the Finance Agency a written notice of intention to withdraw from Membership, which notice must be received by the Bank and the Finance Agency on or before the Opt-Out Date. Unless the Bank has received written notice from the Member prior to the expiration of the three-month withdrawal notice period that the Member is canceling its notice of intention to withdraw from Membership, on the expiration of the three-month withdrawal notice period, the Bank shall terminate the Membership of that Member and shall, subject to the Act and Regulations and the other provisions of this Section III., cancel the Former Member’s outstanding stock and pay to the Former Member the par value of such stock. A Member may cancel its notice of

Federal Home Loan Bank of San Francisco    8

Capital Plan as Amended and Restated Effective April 1, 2015

Updated August 3, 2015

intention to withdraw at any time prior to the date on which its Membership terminates by providing a written cancellation notice to the Bank. Any Member that submits a notice of intention to withdraw subsequent to the notice to Members of the Effective Date and cancels its notice of intention to withdraw prior to the Effective Date shall pay a fee to the Bank equal to $0.50 multiplied by the number of shares of outstanding stock held by the Member on the date that the Bank receives the notice of cancellation.

If the expiration of the three-month withdrawal notice period applicable to any withdrawing Member falls on the Effective Date, the Bank shall terminate the Member’s Membership and cancel the Former Member’s outstanding stock prior to effecting the Exchange. Any Member that has not withdrawn from Membership prior to the Exchange shall be deemed to have consented to the provisions of the Capital Plan, including, but not limited to, the Exchange.

Notwithstanding the immediately preceding paragraph, any Former Member that, prior to the Exchange, (i) has not repaid in full all Advances owed by the Former Member to the Bank, (ii) has sold any mortgage loan or any portion of any mortgage loan to the Bank under a Member Mortgage Asset Program, all or any portion of which mortgage loan continues to be owned by the Bank, or (c) has not extinguished or settled all other obligations to the Bank, shall participate in the Exchange to the extent necessary to comply with its Activity-Based Stock Retention Requirement. Any such Former Member shall be deemed to have consented to the provisions of the Capital Plan, including, but not limited to, the Exchange.

4. Member in Process of Withdrawing from Membership on Effective Date

The Redemption Period for Capital Stock held by a Member that provides a written notice of intention to withdraw from Membership subsequent to the Opt-Out Date but prior to the Effective Date shall begin on the date the notice is received by the Bank and the Finance Agency.

5. Disposition of Claims

The provisions of Section XII. of this Capital Plan shall apply to the disposition of claims against Members or Former Members arising in connection with the Exchange.

B. Subsequent Issuances

The terms, rights, and preferences applicable to any Capital Stock Issued after the Exchange shall be identical to those set forth in this Capital Plan. The Bank may not issue Capital Stock other than in accordance with the Regulations and this Capital Plan.

C. New Members

Any institution that becomes a Member on or after the Effective Date must, upon becoming a Member, purchase and hold sufficient shares of Capital Stock to satisfy its Minimum Stock Requirement.

D. Former Members

Any Former Member must purchase and hold sufficient shares of Capital Stock to satisfy its Minimum Stock Retention Requirement.

Federal Home Loan Bank of San Francisco    9

Capital Plan as Amended and Restated Effective April 1, 2015

Updated August 3, 2015

IV. Minimum Stock Requirement

A. Calculation of Minimum Stock Requirement

From time to time, the Board of Directors shall set the Minimum Stock Requirement for Members so that the aggregate of (i) the Minimum Stock Requirements of all Members; (ii) the Minimum Stock Retention Requirements of all Former Members; (iii) other Capital Stock outstanding, and (iv) retained earnings, is sufficient for the Bank to meet its Minimum Regulatory Capital Requirement and its Risk Management Policy Minimum. The Board of Directors shall have a continuing obligation to review and adjust the capital composition of the Bank, including its retained earnings and the Minimum Stock Requirement to ensure that the Bank remains in compliance with its Minimum Regulatory Capital Requirement and its Risk Management Policy Minimum. Except as set forth in Section IV.A.2.a., each Member shall comply promptly with any such requirement. Subject to Paragraphs B. – D. of this Section IV., at the Effective Date, and for as long as its Membership continues or a relevant transaction is outstanding, each Member shall hold Capital Stock in an amount equal to:

1. The greater of:

a. The Member’s Membership Stock Requirement, which shall equal 1.00% of the Member’s Membership Asset Value, with each Member’s Membership Stock Requirement subject to a cap equal to $15 million; or

b. The Member’s Activity-Based Stock Requirement, which shall equal the sum of:

i. The Member’s Advances Stock Requirement, which shall equal 3.00%¹ of the Member’s outstanding Advances; plus

ii. The Member’s Member Mortgage Asset Stock Requirement, which shall equal 3.00%¹ of any portion of any mortgage loan sold by the Member and owned by the Bank under a Member Mortgage Asset Program; plus

2. The Member’s Capital Stock Assessment, if any.

The Board of Directors may impose a Capital Stock Assessment only if it determines that the aggregate of (i) the Minimum Stock Requirements of all Members, (ii) the Minimum Stock Retention Requirements of all Former Members, and (iii) its retained earnings will result in, or will be likely to result in, an amount of Total Capital that is not sufficient for the Bank to meet its Minimum Regulatory Capital Requirement and its Risk Management Policy Minimum. The aggregate amount of any Capital Stock Assessment shall not exceed (i) the amount of Capital Stock necessary to enable the Bank to meet its Minimum Regulatory Capital Requirement, plus (ii) the amount of Capital Stock necessary to enable the Bank to meet its Risk Management Policy Minimum.

The amount of each Member’s Capital Stock Assessment shall be determined by allocating among all Members, in proportion to the number of shares of Capital Stock that then constitutes each Member’s Minimum Stock Requirement (specifically excluding any Excess Stock held by any Member or Former Member as of the effective date of the Capital Stock

¹    Effective August 3, 2015, the Bank reduced its activity-based stock requirements, within the ranges authorized in

Section IV.C in the Bank’s Capital Plan, as follows:

• Member’s Advances Stock Requirement: Reduced from 3.0% to 2.7% of the Member’s outstanding advances.

• Member’s Mortgage Asset Stock Requirement: Reduced from 3.0% to 0.0% of any portion of any mortgage sold by the Member and owned by the Bank under a Member Mortgage Asset Program.

Federal Home Loan Bank of San Francisco    10

Capital Plan as Amended and Restated Effective April 1, 2015

Updated August 3, 2015

Assessment) before the assessment, the amount of additional Capital Stock necessary to enable the Bank to meet its Minimum Regulatory Capital Requirement and its Risk Management Policy Minimum. The amount of Excess Stock held by any Member as of the effective date of the Capital Stock Assessment shall be allocated toward satisfaction of that Member’s Capital Stock Assessment.

The Bank shall notify the Finance Agency in writing within two business days following the determination by the Board of Directors to impose a Capital Stock Assessment.

a. Member Options in the Event of Capital Stock Assessment

In the event that the Board of Directors imposes a Capital Stock Assessment, the Bank shall provide written notice to each Member at least 20 business days prior to the effective date of the Capital Stock Assessment, specifying the amount of additional Capital Stock, if any, that the Member is required to purchase. On the effective date of the Capital Stock Assessment, the Bank shall Issue sufficient additional shares of Capital Stock so that the Member meets its adjusted Minimum Stock Requirement (including its Capital Stock Assessment), and the Bank shall debit the Member’s transaction account with the Bank in the amount of the par value of the additional shares of Capital Stock Issued, except as set forth in this Section IV.A.2.a. In the event that the Member’s transaction account reflects insufficient funds, the Bank may take any of the actions authorized pursuant to the transaction account terms and conditions then in effect.

The Bank shall not Issue Capital Stock to a Member in accordance with the provisions of this Section IV.A.2. if, at least one business day prior to the date of Issuance:

i. To the extent permitted under the relevant governing agreements between the Bank and the Member (and subject to the payment of any applicable prepayment or termination fee) the Member has reduced the amount of any transactions outstanding between the Bank and the Member, and thereby reduced its Activity-Based Stock Requirement and its Minimum Stock Requirement to a level such that the Member then holds Capital Stock in an amount at least equal to the Member’s adjusted Minimum Stock Requirement (including its Capital Stock Assessment); or

ii. The Member has provided written notice to the Bank not to Issue such Capital Stock, in which case the Member shall not be required to purchase additional Capital Stock to meets its Capital Stock Assessment. Such written notice shall constitute grounds for involuntary termination of Membership, and the Board of Directors shall terminate the Member’s Membership. The Bank may liquidate any Indebtedness of the Former Member in accordance with the relevant governing agreements and applicable Regulations. The Former Member shall have no right to exercise any of the benefits of Membership after the date on which its Membership terminates, other than to receive any dividends attributable to its Capital Stock (subject to the Bank’s lien thereon) through the date of Redemption or Repurchase by the Bank.

b. Reduction of Capital Stock Assessment

The Board of Directors, in its sole discretion (subject to the regulatory oversight of the Finance Agency), shall determine when all or any portion of the Capital Stock Issued in accordance with the Capital Stock Assessment is no longer necessary to enable the Bank to meet its Minimum Regulatory Capital Requirement and its Risk Management Policy Minimum. Upon such determination, the Board of Directors shall declare a pro rata reduction in the number of shares of each Member’s Capital Stock Assessment, based upon the number of shares of Capital Stock that are no longer required to enable the Bank to meet its Minimum Regulatory Capital Requirement and its Risk Management

Federal Home Loan Bank of San Francisco    11

Capital Plan as Amended and Restated Effective April 1, 2015

Updated August 3, 2015

Policy Minimum. The number of shares subtracted from each Member’s Capital Stock Assessment shall immediately be deemed to be Excess Stock of that Member to the extent that the Member otherwise holds sufficient Capital Stock to meet its Minimum Stock Requirement (including any portion of the Capital Stock Assessment continuing in effect).

The Bank, in its sole discretion (subject to the regulatory oversight of the Finance Agency) may limit the amount of Capital Stock that any Member may own to that amount necessary for the Member to meet its Minimum Stock Requirement.

B. Adjustments to Stock Requirements

1. Adjustment to Membership Stock Requirement

The Bank shall recalculate each Member’s Membership Stock Requirement annually, using financial data from the prior calendar yearend. In its discretion, the Bank may recalculate any Member’s Membership Stock Requirement more frequently, using the most recently available financial data. The Bank shall also recalculate each Member’s Membership Stock Requirement for any adjustment to the Membership Stock Requirement within the authorized ranges described in Section IV.C.

The Bank shall notify each Member promptly of any adjustment to its Membership Stock Requirement. If the adjustment results in an increase in the Member’s Minimum Stock Requirement, within 15 business days the Bank shall (i) Issue sufficient additional shares of Capital Stock so that the Member meets its Minimum Stock Requirement; and (ii) debit the Member’s transaction account with the Bank in the amount of the par value of the additional shares of Capital Stock Issued. In the event that the Member’s transaction account reflects insufficient funds, the Bank may take any of the actions authorized pursuant to the transaction account terms and conditions then in effect.

2. Adjustment to Activity-Based Stock Requirement

The Bank shall recalculate each Member’s Activity-Based Stock Requirement and each Former Member’s Activity-Based Stock Retention Requirement at the time of any change in the amount of transactions outstanding between the Bank and the Member or Former Member and at the time of any adjustment to the Activity-Based Stock Requirement within the authorized ranges described in Section IV.D. Any adjustment to the Activity-Based Stock Requirement for Members also shall apply to the Activity-Based Stock Retention Requirement for Former Members. The Bank shall promptly notify each Member of any adjustment to its Activity-Based Stock Requirement and each Former Member of any adjustment to its Activity-Based Stock Retention Requirement.

a. Adjustment Caused by Change in Activity

If the adjustment is caused by a change in the amount of transactions outstanding between the Bank and the Member, and the adjustment results in an increase in the Member’s Minimum Stock Requirement, the Bank immediately shall (i) Issue sufficient additional shares of Capital Stock so that the Member meets its Minimum Stock Requirement; and (ii) debit the Member’s transaction account with the Bank in the amount of the par value of the additional shares of Capital Stock Issued. In the event that the Member’s transaction account reflects insufficient funds, the Bank may take any of the actions authorized pursuant to the transaction account terms and conditions then in effect.

Federal Home Loan Bank of San Francisco    12

Capital Plan as Amended and Restated Effective April 1, 2015

Updated August 3, 2015

b. Adjustment Caused by Change Within Authorized Ranges

If the adjustment is caused by a change to the Activity-Based Stock Requirement within the ranges set forth in Section IV.D., and the adjustment results in an increase in the Member’s Minimum Stock Requirement or to the Former Member’s Minimum Stock Retention Requirement, within 15 business days the Bank shall (i) Issue sufficient additional shares of Capital Stock so that the Member meets its Minimum Stock Requirement or the Former Member meets its Minimum Stock Retention Requirement; and (ii) debit the transaction account of the Member or Former Member in the amount of the par value of the additional shares of Capital Stock Issued. In the event that the transaction account of the Member or Former Member reflects insufficient funds, the Bank may take any of the actions authorized pursuant to the transaction account terms and conditions then in effect.

C. Authorized Ranges

1. Authorized Ranges for Membership Stock Requirement

From time to time, the Board of Directors may adjust the Membership Stock Requirement to an amount not less than 0.50% nor greater than 1.50% of the Member’s Membership Asset Value, with each Member’s Membership Stock Requirement subject to a cap not less than $10 million nor greater than $50 million.

2. Authorized Ranges for Activity-Based Stock Requirement

From time to time, the Board of Directors may adjust the Activity-Based Stock Requirement to equal the sum of:

a. The Advances Stock Requirement, which shall equal an amount not less than 2.00% nor greater than 5.00% of the Member’s outstanding Advances; plus

b. The Member Mortgage Asset Stock Requirement, which shall equal an amount not less than 0.00% nor greater than 5.00% of any portion of any mortgage loan sold by the Member and owned by the Bank under a Member Mortgage Asset Program.

D. Factors to Consider in Establishing Adjustment Within Authorized Ranges

In establishing any adjustment to the Membership Stock Requirement or to the Activity-Based Stock Requirement, the Board of Directors, in its sole discretion (subject to the regulatory oversight of the Finance Agency), shall take into consideration the following factors:

1. The amount of Total Capital required for the Bank to meet its Minimum Regulatory Capital Requirement;

2. The amount of Total Capital required for the Bank to meet its Risk Management Policy Minimum;

3. The amount of Permanent Capital required for the Bank to meet the Regulatory Risk-Based Capital Requirement;

4. The amount of Total Capital required because of losses that have resulted in, or are expected to result in, charges against the Total Capital of the Bank;

5. The amount of retained earnings held by the Bank; and

6. Any other relevant factors as determined from time to time by the Board of Directors in its sole discretion (subject to the regulatory oversight of the Finance Agency).

Federal Home Loan Bank of San Francisco    13

Capital Plan as Amended and Restated Effective April 1, 2015

Updated August 3, 2015

V. Ownership and Transfer of Capital Stock

A. Ownership Limited to Members

Except for any Former Member subject to a Minimum Stock Retention Requirement, Capital Stock may only be Issued to or held by Members of the Bank. Capital Stock shall be tradable only between a Bank and its Members or Former Members, and only as set forth in this Section V.

Upon the written request of a Member or Former Member identifying the particular shares to be transferred, the Bank, in its sole discretion (subject to the regulatory oversight of the Finance Agency), may transfer Excess Stock held by the Member or Former Member to another Member or Former Member, or to an institution that has been approved for Membership and that has satisfied all conditions for becoming a Member (other than the purchase of Capital Stock), to assist the transferee to meet its Minimum Stock Requirement or its Minimum Stock Retention Requirement. Following any such transfer, the transferor Member or Former Member shall continue to maintain Capital Stock sufficient to meet its Minimum Stock Requirement or its Minimum Stock Retention Requirement, as applicable, in accordance with the provisions of the Capital Plan. A Member or Former Member may not otherwise transfer Capital Stock.

B. Transfers at Par Value

Any transfer of Capital Stock shall be made at par value. The Bank shall act as the transfer agent for any such transfer, and it shall record promptly the transaction on the books of the Bank.

VI. Voting Rights

For purposes of this Section VI., “Member” includes any Former Member that was a Member as of the Record Date.

A. Election of Directors

The Members shall be entitled to vote in connection with the election of directors in accordance with the provisions of the Act and the Regulations. A Member may cast for each open directorship in any such election a number of votes equal to the number of shares of Capital Stock that it was required to hold pursuant to Section IV. of the Capital Plan as of the Record Date; provided, however, that the number of votes that any Member may cast for each open directorship in any such election shall not exceed the average of the number of shares of Capital Stock that all Members located in that Member’s state were required to hold pursuant to Section IV. of the Capital Plan as of the Record Date.

B. Ratification of Voluntary Merger

The Members shall be entitled to vote in connection with the ratification of a merger agreement of the Bank with another Federal Home Loan Bank, in accordance with the provisions of the Act and the Regulations. A Member may cast a number of votes equal to the number of shares of Capital Stock that it was required to hold pursuant to Section IV. of the Capital Plan as of the Record Date; provided, however, that the number of votes that any Member may cast for such ratification

Federal Home Loan Bank of San Francisco    14

Capital Plan as Amended and Restated Effective April 1, 2015

Updated August 3, 2015

shall not exceed the average of the number of shares of Capital Stock that all Members were required to hold pursuant to Section IV. of the Capital Plan as of the Record Date.

VII. Dividends

A. Declaration of Dividends

From time to time, the Board of Directors, in its sole discretion (subject to the regulatory oversight of the Finance Agency), may declare and the Bank may pay dividends on Capital Stock. Any such dividend may be paid in the form of cash or Capital Stock, shall be paid to the Members and Former Members holding Capital Stock during the time period for which the dividend is declared, and shall be computed on the amount of time during the relevant time period that the Capital Stock was outstanding. The Bank may not pay any dividends if it is not in compliance with its Minimum Regulatory Capital Requirement or if, after paying such dividends, it would fail to comply with its Minimum Regulatory Capital Requirement and its Risk Management Policy Minimum.

B. No Preference

All Capital Stock shall share in any dividends without preference. Any dividends shall be payable only from the net earnings or retained earnings of the Bank, determined in accordance with generally accepted accounting principles.

C. Stock Held by Withdrawing or Former Member

A Member or Former Member shall be entitled to receive any dividends attributable to its Capital Stock (subject to the Bank’s lien thereon) through the date of Redemption or Repurchase by the Bank.

VIII. Liquidation, Merger or Consolidation

A. Liquidation

In the event of the liquidation of the Bank, after making provision for the payment of the Bank’s liabilities, the Bank shall pay to each Member and Former Member the par value of its Capital Stock; provided, however, that if sufficient funds are not available to make payment in full to all Members and Former Members, payment shall occur on a pro rata basis. In addition, any undistributed retained earnings, paid-in surplus, undivided profits, equity reserves, and other assets not otherwise identified shall be allocated among the Members and Former Members, in proportion to the number of shares of Capital Stock owned by each.

B. Merger or Consolidation

In the event that the Bank merges with or consolidates into another Federal Home Loan Bank, the Members and Former Members shall be entitled to the rights and benefits set forth in the agreement of merger or consolidation approved by the Board of Directors and the Finance Agency.

C. No Limitation on Finance Agency’s Authority

Federal Home Loan Bank of San Francisco    15

Capital Plan as Amended and Restated Effective April 1, 2015

Updated August 3, 2015

Notwithstanding the provisions of Section VIII.A. and B., no provision of this Capital Plan shall limit the authority of the Finance Agency to prescribe rules, regulations or orders governing the liquidation or reorganization of the Bank.

IX. Redemption and Repurchase of Capital Stock (Continuing Membership)

A. Redemption Upon Application by the Member

1. Conditions Applicable to Redemption

A Member may obtain Redemption of its Capital Stock by providing a written Redemption notice to the Bank, in a form acceptable to the Bank. The Redemption notice must identify the particular shares to be Redeemed, and the identified shares may not be the subject of an outstanding Redemption notice. If the Redemption notice fails to identify the particular shares to be Redeemed, the Member shall be deemed to have requested Redemption of the most recently-purchased shares that are not subject to a pending Redemption notice, followed by the shares most recently acquired in a manner other than by purchase that are not subject to a pending Redemption notice. If the shares identified in the Redemption notice are subject to a pending Redemption notice, the Redemption notice shall be deemed invalid.

2. Cancellation of Redemption Notice

a. Cancellation by Member

A Member may cancel its Redemption notice at any time prior to the expiration of the Redemption Period by providing a written cancellation notice to the Bank. Any Member that cancels its Redemption notice shall pay a fee to the Bank determined as follows:

i. If the Bank receives the notice of cancellation within 30 months following the Redemption notice, the fee shall be equal to $0.50 multiplied by the number of shares of Capital Stock to which the cancellation notice applies.

ii. If the Bank receives the notice of cancellation more than 30 months following the Redemption notice, the fee shall be equal to $1.00 multiplied by the number of shares of Capital Stock to which the cancellation notice applies.

b. Automatic Cancellation of Redemption Notice

The Bank shall not Redeem a Member’s Capital Stock if, following the Redemption, the Member would fail to meet its Minimum Stock Requirement. If, upon expiration of the Redemption Period, the Bank is prevented from Redeeming a Member’s Capital Stock for such reason, the Bank shall attempt the Redemption on each of the five business days following the expiration of the Redemption Period. If at the end of such time the Bank is prevented from Redeeming the Member’s Capital Stock because, following the Redemption, the Member would fail to meet its Minimum Stock Requirement, the Bank shall automatically cancel the Member’s Redemption notice. Such automatic cancellation shall have the same effect as a notice of cancellation provided by the Member to the Bank, and the Member shall pay a fee to the Bank equal to $1.00 multiplied by the number of shares of Capital Stock to which the automatic cancellation applies.

c. Waiver of Cancellation Fee

Federal Home Loan Bank of San Francisco    16

Capital Plan as Amended and Restated Effective April 1, 2015

Updated August 3, 2015

The Board of Directors may waive a cancellation fee only for bona fide business purposes and only if consistent with the provisions of Section 7(j) of the Act.

3. Redemption

Except as set forth in Sections IX.A.2, IX.D., and XI., and if the Member has complied with the conditions set forth in Section IX.A.1., the Bank shall Redeem the Member’s Capital Stock upon expiration of the Redemption Period.

B. Repurchase Upon Initiation by the Bank

Upon 15 days’ advance written notice to a Member, the Bank, in its discretion, may Repurchase from a Member any Excess Stock then held by the Member. A Member, in its discretion, may waive this 15-day notice period. If the Bank intends to Repurchase Excess Stock from a Member that has submitted a Redemption notice pursuant to Section IX.A.1., before Repurchasing any other Excess Stock of the Member, the Bank shall first Repurchase from that Member the shares of Excess Stock that are subject to a Redemption notice, followed by the most recently-purchased shares of Excess Stock that are not subject to a Redemption notice, followed by the shares of Excess Stock most recently acquired in a manner other than by purchase that are not subject to a Redemption notice.

C. Continued Benefits of Ownership Prior to Redemption or Repurchase

The Member shall be entitled to receive any dividends attributable to its Capital Stock (subject to the Bank’s lien thereon) through the date of Redemption or Repurchase by the Bank. The Member also shall be entitled to exercise the other benefits associated with ownership of such Capital Stock prior to the date of Redemption or Repurchase.

D. Limitations on Redemption and Repurchase of Capital Stock

Notwithstanding any other provision of this Section IX., if the Finance Agency or the Board of Directors determines that the Bank has incurred or is likely to incur losses that result in, or are likely to result in, charges against Capital Stock that create an other than temporary decline in the Bank’s Total Capital such that the value of Total Capital falls below the Bank’s aggregate amount of Capital Stock, the Bank shall not Redeem or Repurchase any Capital Stock without the prior written approval of the Finance Agency for however long the Bank continues to incur such charges or until the Finance Agency determines that such charges are not expected to continue. The Bank shall not Redeem or Repurchase any Capital Stock if, following the Redemption or Repurchase, the Bank would fail to satisfy its Minimum Regulatory Capital Requirement or the Member would fail to maintain its Minimum Stock Requirement. Further, the Bank shall not Redeem or Repurchase any Capital Stock if prohibited from doing so by any Regulation or Finance Agency order.

If, upon expiration of the Redemption Period applicable to any Capital Stock, the Bank is unable to Redeem the Capital Stock because (i) following the Redemption, the Bank would fail to satisfy its Minimum Regulatory Capital Requirement or (ii) the Bank is otherwise prohibited from doing so by Regulation or Finance Agency order, Redemption shall occur in accordance with the provisions of Section XI. of the Capital Plan.

X. Redemption and Repurchase of Capital Stock (Withdrawal or Termination of Membership)

A. Voluntary Withdrawal

1. Notice of Intention to Withdraw from Membership

Federal Home Loan Bank of San Francisco    17

Capital Plan as Amended and Restated Effective April 1, 2015

Updated August 3, 2015

A Member may voluntarily withdraw and terminate its Membership by providing to the Bank written notice of its intention to withdraw from Membership. The Redemption Period for all Capital Stock then held by that Member that is not subject to a pending Redemption notice shall begin on the date the notice is received by the Bank.

The Redemption Period for any Capital Stock acquired or received by the Member subsequent to the Bank’s receipt of the Member’s notice of intention to withdraw shall begin on the date of acquisition or receipt of the Capital Stock by the Member; provided, however, that any Capital Stock that is not required to meet the Member’s Minimum Stock Requirement shall be Excess Stock and shall be subject to Repurchase by the Bank.

2. Termination of Membership

The Membership of a Member that has submitted a notice of intention to withdraw shall terminate on the date on which the Redemption Period ends with respect to the Capital Stock that comprised the Member’s Membership Stock Requirement on the date on which the Bank received the Member’s notice of intention to withdraw, unless the Bank has received written notice from the Member prior to the date on which its Membership terminates that the Member is canceling its notice of intention to withdraw. Until the date on which its Membership terminates, a Member shall continue to maintain Capital Stock sufficient to meet its Minimum Stock Requirement in accordance with the provisions of the Capital Plan.

3. Continued Benefits of Membership Prior to Termination

A Member that has submitted a notice of intention to withdraw shall be entitled to receive any dividends attributable to its Capital Stock (subject to the Bank’s lien thereon) through the date of Redemption or Repurchase by the Bank. The Member also shall be entitled to exercise the other benefits associated with Membership until the date on which its Membership terminates, but the Bank in its sole discretion (subject to the regulatory oversight of the Finance Agency) may limit a Member’s ability to enter into transactions with the Bank, including but not limited to Advances, that would mature or otherwise terminate subsequent to the date on which its Membership terminates.

4. Cancellation of Notice of Withdrawal

a. Conditions Applicable to Cancellation

A Member may cancel its notice of intention to withdraw at any time prior to the date on which its Membership terminates by providing a written cancellation notice to the Bank. Any Member that cancels its notice of intention to withdraw shall pay a fee to the Bank determined as follows:

i. If the Bank receives the notice of cancellation within 30 months following the notice of intention to withdraw, the fee shall be equal to $0.50 multiplied by the number of shares of Capital Stock held by the Member on the date that the Bank receives the notice of cancellation.

ii. If the Bank receives the notice of cancellation more than 30 months following the notice of intention to withdraw, the fee shall be equal to $1.00 multiplied by the number of shares of Capital Stock held by the Member on the date that the Bank receives the notice of cancellation.

b. Waiver of Cancellation Fee

The Board of Directors may waive a cancellation fee only for bona fide business purposes and only if consistent with the provisions of Section 7(j) of the Act.

Federal Home Loan Bank of San Francisco    18

Capital Plan as Amended and Restated Effective April 1, 2015

Updated August 3, 2015

5. Circumstances Requiring Finance Agency Certification for Withdrawal

No Member may withdraw from Membership unless, on the date that the Membership is to terminate, there is in effect a certification from the Finance Agency that the withdrawal will not cause the Federal Home Loan Bank System to fail to satisfy its obligations under 12 U.S.C. 1441b(f)(2)(C) to contribute toward the interest payments owed on obligations issued by the Resolution Funding Corporation.

B. Termination of Membership as a Result of Merger, Consolidation, Relocation, or Self-

Liquidation Resulting in Cancellation of Charter

1. Consolidation of Members

If Membership is terminated as a result of a Member’s merger or other consolidation into another Member, the Membership of the disappearing Member shall terminate upon the cancellation of its charter. At such time, the Capital Stock of the disappearing Member shall be transferred on the Bank’s books to the account of the surviving Member. The Redemption Period for the Capital Stock previously held by the disappearing Member that is not subject to a pending Redemption notice shall not be deemed to begin solely by virtue of the termination of Membership, but shall begin only upon (i) the Bank’s receipt of the surviving Member’s written notice to the Bank requesting Redemption of Capital Stock, (ii) the Bank’s receipt of the surviving Member’s written notice to the Bank of intention to withdraw from Membership, (iii) the surviving Member’s termination from Membership as a result of merger or consolidation into a nonmember, (iv) the surviving Member’s termination from Membership as a result of relocation of its principal place of business, or (v) the surviving Member’s involuntary termination from Membership.

2. Consolidation of Member into Nonmember

If Membership is terminated as a result of a Member's merger or other consolidation into an institution that is not a Member, the Membership shall terminate, and the Redemption Period for the Capital Stock then held by the Member that is not subject to a pending Redemption notice shall be deemed to begin, on the date on which the Member’s charter is cancelled. At such time, the Capital Stock of the disappearing Member shall be transferred on the Bank’s books to the account of the surviving institution.

Capital Stock held by such a Former Member shall not be deemed automatically to be Excess Stock solely by virtue of the Former Member’s termination of Membership; provided, however, that any Capital Stock that is not required to meet the Former Member’s Minimum Stock Retention Requirement at the time the Former Member’s charter is cancelled, shall be Excess Stock and shall be subject to Repurchase by the Bank.

The Redemption Period for any Capital Stock acquired or received by a Former Member subsequent to the termination of Membership shall begin on the date of acquisition or receipt of the Capital Stock by the Former Member; provided, however, that any Capital Stock that is not required to meet the Former Member’s Minimum Stock Retention Requirement shall be Excess Stock and shall be subject to Repurchase by the Bank.

Federal Home Loan Bank of San Francisco    19

Capital Plan as Amended and Restated Effective April 1, 2015

Updated August 3, 2015

The Former Member shall be entitled to receive any dividends attributable to its Capital Stock (subject to the Bank’s lien thereon) through the date of Redemption or Repurchase by the Bank, but the Former Member shall have no right to exercise any of the other benefits of Membership after the termination of Membership.

3. Relocation of Principal Place of Business

If Membership is terminated as a result of a Member’s relocation of its principal place of business (as defined in the Regulations), the Membership shall terminate, and the Redemption Period for the Capital Stock then held by the Member that is not subject to a pending Redemption notice shall be deemed to begin, in accordance with applicable Regulations.

Capital Stock held by such a Former Member shall not be deemed automatically to be Excess Stock solely by virtue of the Former Member’s termination of Membership; provided, however, that any Capital Stock that is not required to meet the Former Member’s Minimum Stock Retention Requirement shall be Excess Stock and shall be subject to Repurchase by the Bank.

The Redemption Period for any Capital Stock acquired or received by the Former Member subsequent to the termination of Membership shall begin on the date of acquisition or receipt of the Capital Stock by the Former Member; provided, however, that any such Capital Stock that is not required to meet the Former Member’s Minimum Stock Retention Requirement shall be Excess Stock and shall be subject to Repurchase by the Bank.

The Former Member shall be entitled to receive any dividends attributable to its Capital Stock (subject to the Bank’s lien thereon) through the date of Redemption or Repurchase by the Bank, but the Former Member shall have no right to exercise any of the other benefits of Membership after the termination of Membership.

4. Self-Liquidation Resulting in a Cancellation of Charter

If a Member’s charter is cancelled pursuant to a self-liquidation ending its corporate existence, then the Member’s Membership in the Bank shall automatically terminate, and the Redemption Period for the Capital Stock then held by the Member that is not subject to a pending Redemption notice shall be deemed to begin, on the date on which the Member’s charter is cancelled. At such time, the Capital Stock of the disappearing Member shall be transferred on the Bank’s books to the account of the Former Member.

Capital Stock held by such a Former Member shall not be deemed automatically to be Excess Stock solely by virtue of the Former Member’s termination of Membership; provided, however, that any Capital Stock that is not required to meet the Former Member’s Minimum Stock Retention Requirement at the time the Former Member’s charter is cancelled shall be Excess Stock and shall be subject to Repurchase by the Bank.

The Redemption Period for any Capital Stock acquired or received by a Former Member subsequent to the termination of Membership shall begin on the date of acquisition or receipt of the Capital Stock by the Former Member; provided, however, that any such Capital Stock that is not required to meet the Former Member’s Minimum Stock Retention Requirement shall be Excess Stock and shall be subject to Repurchase by the Bank.

Federal Home Loan Bank of San Francisco    20

Capital Plan as Amended and Restated Effective April 1, 2015

Updated August 3, 2015

The Former Member shall be entitled to receive any dividends attributable to its Capital Stock (subject to the Bank’s lien thereon) through the date of Redemption or Repurchase by the Bank, but the Former Member shall have no right to exercise any of the other benefits of Membership after the termination of Membership.

C. Other Involuntary Termination of Membership

The Board of Directors may immediately terminate the Membership of any Member that:

1. Fails to comply with any requirement of the Act, the Regulations, or the Capital Plan;

2. Becomes insolvent or otherwise subject to the appointment of a conservator, receiver, or other legal custodian under federal or state law; or

3. Would jeopardize the safety or soundness of the Bank if it were to remain a Member.

If the Board of Directors terminates the Membership of any Member, the Membership shall terminate, and the Redemption Period for all Capital Stock then held by the terminated Member that is not subject to a pending Redemption notice shall begin, on the effective date of the Board of Directors’ action.

Capital Stock held by a Former Member whose Membership has been terminated by the Board of Directors shall not be deemed automatically to be Excess Stock solely by virtue of the termination of Membership; provided, however, that any Capital Stock that is not required to meet the Former Member’s Minimum Stock Retention Requirement shall be Excess Stock and shall be subject to Repurchase by the Bank.

The Redemption Period for any Capital Stock acquired or received by the Former Member subsequent to the termination of Membership shall begin on the date of acquisition or receipt of the Capital Stock by the Former Member; provided, however, that any such Capital Stock that is not required to meet the Former Member’s Minimum Stock Retention Requirement shall be Excess Stock and shall be subject to Repurchase by the Bank.

The Former Member shall be entitled to receive any dividends attributable to its Capital Stock (subject to the Bank’s lien thereon) through the date of Redemption or Repurchase by the Bank, but it shall have no right to exercise any of the other benefits of Membership after the termination of Membership.

D. Redemption

Except as set forth in Sections X.E. and XI., and unless the Former Member must continue to comply with an Activity-Based Stock Retention Requirement, the Bank shall Redeem the Former Member’s Capital Stock upon expiration of the Redemption Period.

E. Limitations on Redemption and Repurchase of Capital Stock Following Withdrawal or Termination of Membership

Notwithstanding any other provision of this Section X., if the Finance Agency or the Board of Directors determines that the Bank has incurred or is likely to incur losses that result in, or are likely to result in, charges against Capital Stock that create an other than temporary decline in the Bank’s Total Capital such that the value of Total Capital falls below the Bank’s aggregate amount of Capital Stock, the Bank shall not Redeem or Repurchase any Capital Stock without the prior written approval of the Finance Agency for however long the Bank continues to incur such charges or until the Finance Agency determines that such charges are not expected to continue. The Bank shall not Redeem or Repurchase any Capital Stock if, following the Redemption or Repurchase,

Federal Home Loan Bank of San Francisco    21

Capital Plan as Amended and Restated Effective April 1, 2015

Updated August 3, 2015

the Bank would fail to satisfy its Minimum Regulatory Capital Requirement and its Risk Management Policy Minimum or the Former Member would fail to maintain its Minimum Stock Retention Requirement. Further, the Bank shall not Redeem or Repurchase any Capital Stock if prohibited from doing so by any Regulation or Finance Agency order.

If, upon expiration of the Redemption Period applicable to any Capital Stock, the Bank is unable to Redeem the Capital Stock because (i) following the Redemption, the Bank would fail to satisfy its Minimum Regulatory Capital Requirement or (ii) the Bank is otherwise prohibited from doing so by Regulation or Finance Agency order, Redemption shall occur in accordance with the provisions of Section XI. of the Capital Plan.

XI. Priority of Redemption or Repurchase

A. Initial Pro Rata Redemption

In the event that the Board of Directors determines for a given calendar quarter that the Bank may not be able to Redeem all Capital Stock with respect to which the Redemption Period has expired or will expire during that quarter because (i) following such Redemption, the Bank would fail to meet or would be likely to fail to meet its Minimum Regulatory Capital Requirement and its Risk Management Policy Minimum, or (ii) Redemption would otherwise prevent the Bank from operating in a safe and sound manner, including, without limitation, a reasonable belief that the Redemption would prevent the Bank from maintaining sufficient Permanent Capital or Total Capital against a potential risk that may not be reflected adequately in the Bank’s Minimum Regulatory Capital Requirement and Risk Management Policy Minimum, then the Board of Directors, in its sole discretion (subject to the regulatory oversight of the Finance Agency), may temporarily suspend Redemptions during that calendar quarter.

The Bank shall notify the Finance Agency in writing within two business days following the determination by the Board of Directors to suspend Redemption of Capital Stock, informing the Finance Agency of the reasons for the suspension and of the Bank’s strategies and time frames for addressing the conditions that led to the suspension.

Unless the Finance Agency directs otherwise, within 20 business days following the end of the calendar quarter, the Board of Directors, in its sole discretion (subject to the regulatory oversight of the Finance Agency), shall determine the total amount of funds, if any, to be made available for Redemption for that calendar quarter. Within 10 business days following the determination by the Board of Directors, the Bank shall Redeem at par value a pro rata number of shares, based upon the number of shares of Capital Stock with respect to which the Redemption Period has expired, of the total amount available for Redemption.

All Redemption payments for a given calendar quarter made pursuant to this Section XI.A. shall be made on the same business day.

The Bank shall not Repurchase any Excess Stock without the prior written approval of the Finance Agency during any period in which the Board of Directors has suspended Redemption of Capital Stock.

B. Subsequent Pro Rata Redemption

The Board of Directors, in its sole discretion (subject to the regulatory oversight of the Finance Agency), may follow the procedure for pro rata Redemption described in Section XI.A. for any calendar quarter in which the conditions described therein occur.

C. Pro Rata Repurchase

Federal Home Loan Bank of San Francisco    22

Capital Plan as Amended and Restated Effective April 1, 2015

Updated August 3, 2015

The Board of Directors, in its sole discretion (subject to the regulatory oversight of the Finance Agency), may implement the pro rata procedure described in this Section XI. to Repurchase Excess Stock for any calendar quarter in which (i) no Redemption Period has expired or (ii) the Bank will Redeem all Capital Stock for which the Redemption Period has expired and will Repurchase additional Capital Stock. All Repurchase payments for a given calendar quarter made pursuant to this Section XI.C. shall be made on the same business day.

D. No Priority for Notices of Redemption or Repurchase in the Event of Liquidation

In the event that the Finance Agency determines to liquidate the Bank, from and after the date of any such determination, all of the Capital Stock held by the Members, whether or not subject to a notice of Redemption or Repurchase, shall thereafter be treated exactly the same, and no further Redemptions or Repurchases shall occur except in connection with the liquidation of the Bank in accordance with the provisions of the Act, the Regulations and this Capital Plan.

XII. Disposition of Claims

A. In General

If a Member withdraws from Membership or its Membership is otherwise terminated, the Bank, in its sole discretion (subject to the regulatory oversight of the Finance Agency), shall determine an orderly manner for liquidating all Indebtedness owed by the Former Member to the Bank and for settling all other claims against the Former Member. After the obligations and claims have been extinguished or settled, the Bank shall return to the Former Member the collateral pledged by the Former Member to the Bank to secure its obligations to the Bank.

B. Lien on Capital Stock

The Bank shall have a lien on all of the Capital Stock of a Member or Former Member, and all dividends and other proceeds of such Capital Stock, to secure the performance by the Member or Former Member of its obligations pursuant to the Capital Plan and to secure its performance with respect to any Indebtedness to the Bank or any transaction with the Bank. The Bank shall not Redeem or Repurchase any Capital Stock that is required to meet the Member’s Activity-Based Stock Requirement or the Former Member’s Activity-Based Stock Retention Requirement until after the relevant Indebtedness or transactions have been extinguished or settled. The Bank shall have the right to collect any dividends and other proceeds of Capital Stock otherwise payable to a Member or Former Member in default to satisfy any monetary obligations of the Member or Former Member to the Bank or, in the sole discretion of the Bank (subject to the regulatory oversight of the Finance Agency), to pay any dividends to the Member or Former Member in Capital Stock.

C. Prepayment Fees

Any liquidation of Indebtedness that results in payment of the Indebtedness before its stated maturity shall be deemed a prepayment of the Indebtedness, and shall be subject to any fees applicable to the prepayment.

XIII. Amendment to the Capital Plan

Any amendment to the Capital Plan must be approved by the Board of Directors and by the Finance Agency. The Bank shall provide written notice to each Member and Former Member at least five business days prior to the effective date of any amendment.

XIV. Retained Earnings Enhancement Implementation and Definitions

Federal Home Loan Bank of San Francisco    23

Capital Plan as Amended and Restated Effective April 1, 2015

Updated August 3, 2015

A. Implementation

The provisions of Sections XIV. through XVII. below shall become effective upon, and only upon, the occurrence of the Interim Capital Plan Amendment Implementation Date (defined in Section XIV.B. below). Until the Restriction Termination Date (defined in Section XIV.B. below), in the event of any conflict between Sections XIV. through XVII. and the remainder of the Capital Plan, the applicable terms of Sections XIV. through XVII. shall govern, and shall be interpreted in a manner such that the restrictions set forth therein are supplementary to, and not in lieu of, the requirements of the remainder of the Capital Plan.

B. Definitions

As used in these Sections XIV. through XVII. of the Capital Plan, the following capitalized terms have the following meanings. Other capitalized terms used but not defined in these Sections XIV. through XVII. have the meanings assigned to them in Section I. of the Capital Plan.

“Act” means the Federal Home Loan Bank Act, as amended as of the Effective Date.

“Adjustment to Prior Net Income” means either an increase, or a decrease, to a prior calendar quarter’s Quarterly Net Income subsequent to the date on which any allocation to Restricted Retained Earnings for such calendar quarter was made.

“Agreement” means the Joint Capital Enhancement Agreement adopted by the FHLBanks on the Effective Date and amended on the date on which the Finance Agency has approved the Retained Earnings Capital Plan Amendments for all of the FHLBanks that have issued capital stock pursuant to a capital plan as of the Effective Date.

“Allocation Termination Date” means the date the Bank’s obligation to make allocations to the Restricted Retained Earnings account is terminated permanently. That date is determined pursuant to Section XVII. of the Capital Plan.

“Automatic Termination Event” means (i) a change in the Act, or another applicable statute, occurring subsequent to the Effective Date, that will have the effect of creating a new, or higher, assessment or taxation on net income or capital of the FHLBanks, or (ii) a change in the Act, another applicable statute, or the Regulations, occurring subsequent to the Effective Date, that will result in a higher mandatory allocation of an FHLBank’s Quarterly Net Income to any Retained Earnings account than the annual amount, or total amount, specified in an FHLBank’s capital plan as in effect immediately prior to the Automatic Termination Event.

“Automatic Termination Event Declaration Date” means the date specified in Section XVII.A.1. or XVII.A.2. of the Capital Plan.

“Bank’s Total Consolidated Obligations” means the daily average carrying value for the calendar quarter, excluding the impact of fair value adjustments (i.e., fair value option and hedging adjustments), of the Bank’s portion of outstanding System Consolidated Obligations for which it is the primary obligor.

“Declaration of Automatic Termination” means a signed statement, executed by officers authorized to sign on behalf of each FHLBank that is a signatory to the statement, in which at least 2/3 of the then existing FHLBanks declare their concurrence that a specific statutory or regulatory change meets the definition of an Automatic Termination Event.

“Dividend” means a distribution of cash, other property, or stock to a Member or a Former Member with respect to its holdings of Capital Stock.

Federal Home Loan Bank of San Francisco    24

Capital Plan as Amended and Restated Effective April 1, 2015

Updated August 3, 2015

“Dividend Restriction Period” means any calendar quarter: (i) that includes the REFCORP Termination Date, or occurs subsequent to the REFCORP Termination Date; (ii) that occurs prior to an Allocation Termination Date; and (iii) during which the amount of the Bank’s Restricted Retained Earnings is less than the amount of the Bank’s RREM. If the amount of the Bank’s Restricted Retained Earnings is at least equal to the amount of the Bank’s RREM, and subsequently the Bank’s Restricted Retained Earnings becomes less than its RREM, the Bank shall be deemed to be in a Dividend Restriction Period (unless an Allocation Termination Date has occurred).

“Effective Date” means February 28, 2011.

“FHLBank” means a Federal Home Loan Bank chartered under the Act.

“GAAP” means accounting principles generally accepted in the United States as in effect from time to time.

“Interim Capital Plan Amendment Implementation Date” means 31 days after the date by which the Finance Agency has approved a capital plan amendment substantially the same as the Retained Earnings Capital Plan Amendments for all of the FHLBanks that have issued capital stock pursuant to a capital plan as of the Effective Date.

“Net Loss” means that the Quarterly Net Income of the Bank is negative, or that the annual net income of the Bank calculated on the same basis is negative.

“Quarterly Net Income” means the amount of net income of an FHLBank for a calendar quarter calculated in accordance with GAAP, after deducting the FHLBank’s required contributions for that quarter to the Affordable Housing Program under Section 10(j) of the Act, as reported in the FHLBank’s quarterly and annual financial statements filed with the Securities and Exchange Commission.

“REFCORP Termination Date” means the last day of the calendar quarter in which the FHLBanks’ final regular payments are made on obligations to REFCORP in accordance with Section 997.5 of the Regulations and Section 21B(f) of the Act.

“Regular Contribution Amount” means the result of (i) 20 percent of Quarterly Net Income; plus (ii) 20 percent of a positive Adjustment to Prior Net Income for any prior calendar quarter that includes the REFCORP Termination Date, or occurred subsequent to the REFCORP Termination Date, to the extent such adjustment has not yet been made in the current calendar quarter; minus (iii) 20 percent of the absolute value of a negative Adjustment to Prior Net Income for any prior calendar quarter that includes the REFCORP Termination Date, or occurred subsequent to the REFCORP Termination Date, to the extent such adjustment has not yet been made in the current calendar quarter.

“Regulations” means: (i) the rules and regulations of the Finance Board (except to the extent that they may be modified, terminated, set aside or superseded by the Director of the Finance Agency) in effect on the Effective Date; and (ii) the rules and regulations of the Finance Agency, as amended from time to time.

“Restricted Retained Earnings” means the cumulative amount of Quarterly Net Income and Adjustments to Prior Net Income allocated to a Bank’s Retained Earnings account restricted pursuant to the Retained Earnings Capital Plan Amendment, and does not include amounts retained in: (i) any accounts in existence at the Bank on the Effective Date; or (ii) any other Retained Earnings accounts subject to restrictions that are not part of the terms of the Retained Earnings Capital Plan Amendment.

Federal Home Loan Bank of San Francisco    25

Capital Plan as Amended and Restated Effective April 1, 2015

Updated August 3, 2015

“Restricted Retained Earnings Minimum” (“RREM”) means a level of Restricted Retained Earnings calculated as of the last day of each calendar quarter equal to one percent of the Bank’s Total Consolidated Obligations.

“Restriction Termination Date” means the date the restriction on the Bank paying Dividends out of the Restricted Retained Earnings account, or otherwise reallocating funds from the Restricted Retained Earnings account, is terminated permanently. That date is determined pursuant to Section XVII. of the Capital Plan.

“Retained Earnings” means the retained earnings of an FHLBank calculated pursuant to GAAP.

“Retained Earnings Capital Plan Amendment” means the amendment to the Capital Plan adopted effective on the Interim Capital Plan Amendment Implementation Date adding Sections XIV. through XVII. to the Capital Plan.

“Special Contribution Amount” means the result of: (i) 50 percent of Quarterly Net Income; plus (ii) 50 percent of a positive Adjustment to Prior Net Income for any prior calendar quarter that includes the REFCORP Termination Date, or occurred subsequent to the REFCORP Termination Date, to the extent such adjustment has not yet been made in the current calendar quarter; minus (iii) 50 percent of the absolute value of a negative Adjustment to Prior Net Income for any prior calendar quarter that includes the REFCORP Termination Date, or occurred subsequent to the REFCORP Termination Date, to the extent such adjustment has not yet been made by the current calendar quarter.

“System Consolidated Obligation” means any bond, debenture, or note authorized under the Regulations to be issued jointly by the FHLBanks pursuant to Section 11(a) of the Act, as amended, or any bond or note previously issued by the Federal Housing Finance Board on behalf of all FHLBanks pursuant to Section 11(c) of the Act, on which the FHLBanks are jointly and severally liable, or any other instrument issued through the Office of Finance, or any successor thereto, under the Act that is a joint and several liability of all the FHLBanks.

XV. Establishment of Restricted Retained Earnings

A. Segregation of Account

No later than the REFCORP Termination Date, the Bank shall establish an account in its official books and records in which to allocate its Restricted Retained Earnings, with such account being segregated on its books and records from the Bank’s Retained Earnings that are not Restricted Retained Earnings for purposes of tracking the accumulation of Restricted Retained Earnings and enforcing the restrictions on the use of the Restricted Retained Earnings imposed in the Retained Earnings Capital Plan Amendment.

B. Funding of Account

1. Date on Which Allocation Begins

The Bank shall allocate to its Restricted Retained Earnings account an amount at least equal to the Regular Contribution Amount beginning on the REFCORP Termination Date. The Bank shall allocate amounts to the Restricted Retained Earnings Account only through contributions from its Quarterly Net Income or Adjustments to Prior Net Income occurring on or after the REFCORP Termination Date, but nothing in the Retained Earnings Capital Plan Amendment shall prevent the Bank from allocating a greater percentage of its Quarterly Net Income or

Federal Home Loan Bank of San Francisco    26

Capital Plan as Amended and Restated Effective April 1, 2015

Updated August 3, 2015

positive Adjustment to Prior Net Income to its Restricted Retained Earnings account than the percentages set forth in the Retained Earnings Capital Plan Amendment.

2. Ongoing Allocation

During any Dividend Restriction Period that occurs before the Allocation Termination Date, the Bank shall continue to allocate its Regular Contribution Amount (or when and if required under Section XV.B.4. below, its Special Contribution Amount) to its Restricted Retained Earnings account.

3. Treatment of Quarterly Net Losses and Annual Net Losses

In the event the Bank sustains a Net Loss for a calendar quarter, the following shall apply: (i) to the extent that its cumulative calendar year-to-date net income is positive at the end of such quarter, the Bank may decrease the amount of its Restricted Retained Earnings so that the cumulative addition to the Restricted Retained Earnings account for the calendar year-to-date at the end of such quarter is equal to 20 percent of the amount of such cumulative calendar year-to date net income; (ii) to the extent that its cumulative calendar year-to-date net income is negative at the end of such quarter (a) the Bank may decrease the amount of its Restricted Retained Earnings so that the cumulative addition to the Restricted Retained Earnings account for the calendar year-to-date at the end of such quarter is zero, and (b) the Bank shall apply any remaining portion of the Net Loss for the calendar quarter first to reduce Retained Earnings that are not Restricted Retained Earnings until such Retained Earnings are reduced to zero, and thereafter may apply any remaining portion of the Net Loss for the calendar quarter to reduce Restricted Retained Earnings; and (iii) for any subsequent calendar quarter in the same calendar year, the Bank may decrease the amount of its quarterly allocation to its Restricted Retained Earnings account in that subsequent calendar quarter such that the cumulative addition to the Restricted Retained Earnings account calendar year-to-date is equal to 20 percent of the amount of cumulative calendar year-to-date net income.

In the event the Bank sustains a Net Loss for a calendar year, any such Net Loss first shall be applied to reduce Retained Earnings that are not Restricted Retained Earnings until such Retained Earnings are reduced to zero, and thereafter any remaining portion of the Net Loss for the calendar year may be applied to reduce Restricted Retained Earnings.

4. Funding at the Special Contribution Amount

If during a Dividend Restriction Period, the amount of the Bank’s Restricted Retained Earnings decreases in any calendar quarter, except as provided in Sections XV.B.3(i) and (ii)(a) above, the Bank shall allocate the Special Contribution Amount to its Restricted Retained Earnings account beginning at the following calendar quarter-end (except as provided in the last sentence of this Section XV.B.4.). Thereafter, the Bank shall continue to allocate the Special Contribution Amount to its Restricted Retained Earnings account until the cumulative difference between: (i) the allocations made using the Special Contribution Amount; and (ii) the allocations that would have been made if the Regular Contribution Amount applied, is equal to the amount of the prior decrease in the amount of its Restricted Retained Earnings account arising from the application of Section XV.B.3.(ii)(b). If at any calendar quarter-end the allocation of the Special Contribution Amount would result in a cumulative allocation in excess of such prior decrease in the amount of Restricted Retained Earnings: (i) the Bank may allocate such percentage of Quarterly Net Income to the Restricted Retained Earnings account that shall exactly restore the amount of the prior decrease, plus the amount of the Regular Contribution Amount for that quarter; and (ii) the Bank in subsequent quarters shall revert to paying at least the Regular Contribution Amount.

5. Release of Restricted Retained Earnings

Federal Home Loan Bank of San Francisco    27

Capital Plan as Amended and Restated Effective April 1, 2015

Updated August 3, 2015

If the Bank’s RREM decreases from time to time due to fluctuations in the Bank’s Total Consolidated Obligations, amounts in the Restricted Retained Earnings account in excess of 150 percent of the RREM may be released by the Bank from the restrictions otherwise imposed on such amounts pursuant to the provisions of the Retained Earnings Capital Plan Amendment, and reallocated to its Retained Earnings that are not Restricted Retained Earnings. Until the Restriction Termination Date, the Bank may not otherwise reallocate amounts in its Restricted Retained Earnings account (provided that a reduction in the Restricted Retained Earnings account following a Net Loss pursuant to Section XV.B.3. is not a reallocation).

6. No Effect on Rights of Shareholders as Owners of Retained Earnings

In the event of the liquidation of the Bank, or a taking of the Bank’s Retained Earnings by any future federal action, nothing in the Retained Earnings Capital Plan Amendment shall change the rights of the holders of the Bank’s Class B stock that confer ownership of Retained Earnings, including Restricted Retained Earnings, as granted under Section 6(h) of the Act.

XVI. Limitation on Dividends, Stock Purchase and Stock Redemption

A. General Rule on Dividends

From the REFCORP Termination Date through the Restriction Termination Date, the Bank may not pay Dividends, or otherwise reallocate funds (except as expressly provided in Section XV.B.5., and further provided that a reduction in the Restricted Retained Earnings account following a Net Loss pursuant to Section X.V.B.3. is not a reallocation), out of Restricted Retained Earnings. During a Dividend Restriction Period, the Bank may not pay Dividends out of the amount of Quarterly Net Income required to be allocated to Restricted Retained Earnings.

B. Limitations on Repurchase and Redemption

From the REFCORP Termination Date through the Restriction Termination Date, the Bank shall not engage in a Repurchase or Redemption transaction if following such transaction the Bank’s Total Capital as reported to the Finance Agency falls below the Bank’s aggregate paid-in amount of Capital Stock.

XVII. Termination of Retained Earnings Capital Plan Amendment Obligations

A. Notice of Automatic Termination Event

1. Action by FHLBanks

If the Bank elects to assert that an Automatic Termination Event has occurred (or will occur on the effective date of a change in a statute or the Regulations), the Bank shall provide prompt written notice to all of the other FHLBanks (and provide a copy to the Finance Agency) identifying the specific statutory or regulatory change that is the basis for the assertion. For the purposes of this Section, “prompt written notice” means notice delivered no later than 90 calendar days subsequent to: (1) the date the specific statutory change takes effect; or (2) the date an interim final rule or final rule effecting the specific regulatory change is published in the Federal Register.

If within 60 calendar days of transmission of such written notice to all of the other FHLBanks, at least 2/3 of the then existing FHLBanks (including the Bank) execute a Declaration

Federal Home Loan Bank of San Francisco    28

Capital Plan as Amended and Restated Effective April 1, 2015

Updated August 3, 2015

of Automatic Termination concurring that the specific statutory or regulatory change identified in the written notice constitutes an Automatic Termination Event, then the Declaration of Automatic Termination Event shall be delivered by the Bank to the Finance Agency within 10 calendar days of the date that the Declaration of Automatic Termination is executed. After the expiration of a 60 calendar day period that begins when the Declaration of Automatic Termination is delivered to the Finance Agency, or is delivered to the Finance Agency by another FHLBank pursuant to the terms of its capital plan, an Automatic Termination Event Declaration Date shall be deemed to occur (except as provided in Section XVII.A.3.).

If a Declaration of Automatic Termination concurring that the specific statutory or regulatory change identified in the written notice constitutes an Automatic Termination Event has not been executed by at least the required 2/3 of the then existing FHLBanks within 60 calendar days of transmission of such notice to all of the other FHLBanks, the Bank may request a determination from the Finance Agency that the specific statutory or regulatory change constitutes an Automatic Termination Event. Such request must be filed with the Finance Agency within 10 calendar days after the expiration of the 60 calendar day period that begins upon transmission of the written notice of the basis of the assertion to all of the other FHLBanks.

2. Action by Finance Agency

The Bank may request a determination from the Finance Agency that a specific statutory or regulatory change constitutes an Automatic Termination Event, and may claim that an Automatic Termination Event has occurred, or will occur, with respect to a specific statutory or regulatory change only if the Bank has complied with the time limitations and procedures of Section XVII.A.1. above.

If within 60 calendar days after the Bank delivers such a request to the Finance Agency, or another FHLBank delivers such a request pursuant to its capital plan, the Finance Agency provides the requesting FHLBank with a written determination that a specific statutory or regulatory change is an Automatic Termination Event, then an Automatic Termination Event Declaration Date shall be deemed to occur as of the expiration of such 60 calendar day period (except as provided in Section XVII.A.3.). The date of the Automatic Termination Event Declaration Date shall be as of the expiration of such 60 calendar day period (except as provided in Section XVII.A.3.) no matter on which day prior to the expiration of the 60 calendar day period the Finance Agency has provided its written determination.

If the Finance Agency fails to make a determination within 60 calendar days after an FHLBank delivers such request to the Finance Agency, then an Automatic Termination Event Declaration Date shall be deemed to occur as of the date of the expiration of such 60 calendar day period (except as provided in Section XVII.A.3.); provided, however, that the Finance Agency may make a written request for information from that FHLBank, and toll such 60 calendar day period from the date that the Finance Agency transmits its request until that FHLBank delivers to the Finance Agency information responsive to its request.

If within 60 calendar days after an FHLBank delivers to the Finance Agency a request for determination that a specific statutory or regulatory change constitutes an Automatic Termination Event (or such longer period if the 60 calendar day period is tolled pursuant to the preceding sentence) the Finance Agency provides that FHLBank with a written determination that a specific statutory or regulatory change is not an Automatic Termination Event, then an Automatic Termination Event shall not have occurred with respect to such change.

3. Occurrence of Automatic Termination Event Declaration Date

Federal Home Loan Bank of San Francisco    29

Capital Plan as Amended and Restated Effective April 1, 2015

Updated August 3, 2015

In no case under this Section XVII.A. may an Automatic Termination Event Declaration Date be deemed to occur prior to: (1) the date the specific statutory change takes effect; or (2) the date an interim final rule or final rule effecting the specific regulatory change is published in the Federal Register.

B. Notice of Voluntary Termination

If the FHLBanks terminate the Agreement, then the Bank and the other FHLBanks shall provide written notice to the Finance Agency that the FHLBanks have voted to terminate the Agreement.

C. Consequences of Automatic Termination Event or Vote to Terminate the Agreement

1. Consequences of Voluntary Termination

In the event the FHLBanks deliver written notice to the Finance Agency that the FHLBanks have voted to terminate the Agreement, then without any further action by the Bank or the Finance Agency: (i) the date of delivery of such notice shall be an Allocation Termination Date; and (ii) one year from the date of delivery of such notice shall be a Restriction Termination Date.

2. Consequences of an Automatic Termination Event Declaration Date

If an Automatic Termination Event Declaration Date has occurred, then without further action by the Bank or the Finance Agency: (i) the date of the Automatic Termination Event Declaration Date shall be an Allocation Termination Date; and (ii) one year from the date of the Automatic Termination Event Declaration Date shall be a Restriction Termination Date.

3. Deletion of Operative Provisions of Retained Earnings Capital Plan Amendment

Without any further action by the Bank or the Finance Agency, on the Restriction Termination Date, Sections XIV. through XVII. of the Capital Plan shall be deleted.

Federal Home Loan Bank of San Francisco    30

Capital Plan as Amended and Restated Effective April 1, 2015

Updated August 3, 2015

Appendix A: Membership Asset Factors

	Initial Value
Residential 1-4 Family First Mortgage Loans	85%
Residential 1-4 Family Second Mortgage Loans	55%
Home Equity Lines of Credit	55%
Multifamily First Mortgage Loans	70%
MBS Pass-Throughs	95%
CMO’s	95%
Other Investment Securities	75%
U.S. Agency and Government Securities	97%
Commercial Real Estate and Non-Residential First Mortgage Loans	55%
Investments in Mutual Funds and Other Investment Securities	75%
Small Business Loans	30%
Small Farm Loans	30%
Small Agribusiness Loans	30%

Federal Home Loan Bank of San Francisco    31

EX-10.1

EXHIBIT 10.1

Summary Sheet: Terms of Employment for Named Executive Officers for 2016

Employment Status

Pursuant to the Federal Home Loan Bank Act, the employees of the Federal Home Loan Bank of San Francisco (the "Bank"), including the Bank's chief executive officer, the chief operating officer, the chief financial officer and other current named executive officers as of December 31, 2015 (Dean Schultz, Lisa B. MacMillen, Kenneth C. Miller, Lawrence H. Parks, Suzanne Titus-Johnson and David H. Martens) (the “named executive officers”), are “at will” employees. The named executive officers may resign at any time and the Bank may terminate their employment at any time for any reason or no reason, with or without cause and with or without notice.

Each of the named executive officers receives a base salary and is eligible to participate in the Bank's executive incentive compensation plans and comprehensive benefit programs, including both qualified and nonqualified retirement benefit plans. Base salaries for 2016 for the named executive officers are: Dean Schultz, $852,800; Lisa B. MacMillen, $557,200; Kenneth C. Miller, $458,100; Lawrence H. Parks, $454,000; Suzanne Titus-Johnson, $407,000; and David H. Martens, $394,100.

On occasion, the Bank may pay for resort activities for employees, including our named executive officers, in connection with business-related meetings; and in some cases, the Bank may pay the expenses for spouses/partners accompanying employees to these meetings or other Bank-sponsored events. The President receives use of a Bank-owned vehicle and its designated building parking space.

The Board adopted the Corporate Senior Officer Severance Policy (Senior Officers' Policy) applicable to the president, executive vice president, and senior vice presidents. The Senior Officers' Policy provides severance benefits in the event that the employee's employment is terminated because the employee's job or position is eliminated or because the job or position is substantially modified so that the employee is no longer qualified or cannot perform the revised job. For these officers, severance under the Senior Officers' Policy is equal to the greater of (i) 12 weeks of the officer's base salary, or (ii) the sum of three weeks of the officer's base salary, plus three weeks of the officer's base salary for each full year of service and three weeks of base salary prorated for each partial year of service at the Bank to a maximum of 52 weeks of base salary. The Senior Officers' Policy also provides one month of continued health and life insurance benefits and, at the Bank's discretion, outplacement assistance. The Senior Officers' Policy also provides severance payments in connection with a "Change in Control" (as defined by the Senior Officers' Policy).

Under the Senior Officers' Policy, in the event the president or the executive vice president experiences a termination of employment in connection with a Change in Control, severance and benefits will be payable pursuant to a Change in Control Severance Agreement (Agreement). The president and the executive vice president each have an Agreement that provides for a severance payment and continued benefits if the executive's employment terminates under certain circumstances in connection with a “Change in Control” (as defined in the Agreements) of the Bank. In particular, under the terms of each executive's Agreement, if Mr. Schultz or Ms. MacMillen terminates his or her employment for “Good Reason” (as defined in the Agreements), he or she shall be entitled to receive, in lieu of any severance benefits to which the executive may otherwise be entitled under any severance plan or program of the Bank, the following: (i) the executive's fully earned but unpaid base salary through the date of termination (together with all other amounts and benefits to which the executive is entitled under any benefit plan or practice of the Bank other than the Bank's Senior Officers' Policy); (ii) severance pay in an amount equal to the sum of two times the executive's annual base salary plus two times the executive's “Annual Incentive Amounts” (as defined in the Agreements); (iii) continued health and life insurance coverage for up to 180 days after the first anniversary of the date of termination of the executive's employment (or if earlier, the date the executive accepts employment from an employer with comparable benefits); and (iv) executive-level outplacement services at the Bank's expense, not to exceed $25,000.

EX-10.7

EXHIBIT 10.7

FHLBank San Francisco

2016 PRESIDENT’S INCENTIVE PLAN

PLAN PURPOSE

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

PLAN OBJECTIVES

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

ELIGIBILITY

The 2016 participant is the Bank President.

The Bank President must be employed by the Bank through January 1, 2017 to be eligible for an incentive award under the 2016 plan. A Bank President hired, promoted, or who takes a leave of absence during the plan year is eligible to participate on a pro-rata basis. A Bank President hired or promoted on or after October 1^st may be eligible to participate during the current plan year at the discretion of the Board.

INCENTIVE GOALS AND MEASURES

Incentive Goals

For the Bank President there are individual and Bank goals, which are weighted. The individual goal(s) support the Bank-wide goals (See 2016 Short-Term Incentive Plan Goals and Measures) and objectives.

The three Bank goals for 2016 are:

1. 2016 Risk Management Goal: Continue to enhance and advance the function and approaches to the Bank’s risk management.

2. 2016 Franchise Enhancement Goal: Position the Bank and the FHLBank System to remain an integral component of the changing housing and financial services markets. Continue to meet the Bank's mission objectives within these markets as they are currently structured, but also influence and adapt to structural changes in those markets.

3. 2016 Community Investment Goal: Support and promote the Bank’s Affordable Housing Program and Community Investment Programs.

Incentive Goal Achievement Measures

The plan levels of goal achievement are as follows:

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

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

January 2016

AWARD DETERMINATION AND OPPORTUNITY

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

Percentage of Goal Achievement Scale	Aggregate Goal Achievement	Award Range (Percentage of 2016 Base Salary)
0% - 150%	150% = Far Exceeds	50%
	125% = Exceeds	48%
	100% = Meets	40%
	75% = Threshold	20%

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

APPROVAL OF INCENTIVE AWARDS

The amount of the incentive award, if any, under this plan shall be approved by the Board of Directors, including any award for achievement below Threshold. Awards will be considered by the Board of Directors at the January 2017 Board meeting, or as soon thereafter as reasonably practicable.

TIMING OF PAYMENT OF FINAL INCENTIVE AWARDS

Payment of the incentive award, if any, will be paid in the taxable year immediately following the end of the performance period and no later than 60 days after the date that the Board of Directors’ approval of such award becomes effective.

PLAN ADMINISTRATION AND IMPLEMENTATION

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

The plan is intended to be exempt from Section 409A of the Internal Revenue Code and the provisions of the plan shall be construed and interpreted consistent with such intent.

2016 President and CEO Goal Weights
	Corporate Goal Weights	Goal Weight (includes individual goals)
Individual	N/A	10.0%
Risk Management	30.0%	27.0%
Franchise Enhancement	50.0%	45.0%
Community Investment	20.0%	18.0%
Total	100.0%	100.0%

All compensation and incentive plans are subject to review and revision at the Bank’s discretion. Such plans are reviewed regularly to ensure they are competitive and equitable. Executive Officer compensation and benefit programs are subject to Federal Housing Finance Agency review and oversight, and payments made under such programs may not become effective until after the Agency’s non-objection under applicable laws and regulations in effect from time to time.

January 2016

2016 Short-Term Incentive Plan Goals and Measures

2016 Goals	2016 Goal Components	Goal Weight	Goal Component Weight	2016 Short-Term Incentive Plan Goal Measures
1)  RISK MANAGEMENT		30%		In the event of a Significant Deficiency or Material Weakness in internal control over financial reporting, a significant operations loss, or a significant noncompliance with Bank policy as described in the Bank’s Risk Management Policy, the Board of Directors will assess the impact and appropriate adjustment to the Risk Management goal achievement level, if any.
	A) Strategic Sourcing and Vendor Management		50%	75%:	threshold
				•	Strategic Sourcing: Adopt new Bank Purchasing Policy
				•	Vendor Management: Adopt Risk Management Tool for assessment and diligence of the Bank's Strategic vendors
				100%:	75% achievement, plus:
				•	Strategic Sourcing: Attain 40% spend under management (SUM)
				•	Vendor Management: Rationalize vendor base into Strategic, Preferred, and Tactical vendor categories
				125%:	100% achievement, plus:
				•	Strategic Sourcing: Attain 50% SUM
				•	Vendor Management: Adopt Risk Management Tool for assessment and diligence of Preferred vendors
				150%:	125% achievement, plus:
				•	Strategic Sourcing: Attain 60% SUM
				•	Vendor Management: Adopt Risk Management Tool for assessment and diligence of Tactical vendors
	B) Business Continuity		50%	75%:	Develop and establish Business Continuity Management (BCM) Program Standards
				100%:	Achieve 50% of targets in the BCM Program Planning and Exercise Standards
				125%:	Achieve 50% of targets in the BCM Program Threat Analysis and Crisis Management Standards
				150%:	Achieve 75% of targets in the BCM Program Education, Awareness and Training, and BCM Program Governance and Reporting Standards
2)FRANCHISE ENHANCEMENT		50%
	A) Financial Performance		35%	Adjusted Return on Capital Spread
					75%	100%	125%	150%
					3.27%	3.52%	3.77%	4.02%
				Achievement level targets and measured performance exclude OTTI credit charges.
	B) Technology		25%	75%:	Complete 2 strategic technology initiatives: [Technology Resiliency-Phase I and Vendor/Procurement Management]
				100%:	75% achievement, plus: complete 2 additional (total of 4) strategic technology initiatives
				125%:	100% achievement, plus: complete 2 additional (total of 6) strategic technology initiatives
				150%:	125% achievement, plus: complete 2 additional (total of 8) strategic technology initiatives
				Calypso Upgrade not included in the total, given dependency on the vendor to release the product before the upgrade can begin.
	C) Member Business		20%		Advances and Letters of Credit (LC) Volume Average Outstanding Daily Balance ($Bils)
					75%	100%	125%	150%
					$[*]	$[*]	$[*]	$[*]
			5%		Mortgage Partnership Finance (MPF) Volume ($Mils)
					75%	100%	125%	150%
					$[*]	$[*]	$[*]	$[*]
			5%		Mortgage Partnership Finance (MPF) (Conversions of New/Non-Selling PFIs)
					75%	100%	125%	150%
					[*]	[*]	[*]	[*]
				Measured by existing non-sellers or new PFIs that sell loans.
			10%		Recruitment (# of New Members)
					75%	100%	125%	150%
					7	9	11	13
3)  COMMUNITY INVESTMENT		20%
	CIP/ACE Advances, Letters of Credit and AHEAD (# of Members)		100%	(# of Members)
					75%	100%	125%	150%
					38	41	44	47

[*]  Certain information on this page has been omitted and filed separately with the Securities and Exchange Commission. Confidential treatment has been requested with respect to the omitted portion

January 2016

EX-10.9

EXHIBIT 10.9

FHLBank San Francisco

2016 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 2016 participants are the incumbents in the Bank’s senior officer positions, including:

Executive Vice President

Senior Vice President, Chief Risk 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 January 1, 2017 to be eligible for an incentive award under the 2016 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 2016 Short-Term Incentive Plan Goals and Measures) and objectives.

The three Bank goals for 2016 are:

1.2016 Risk Management Goal: Continue to enhance and advance the function and approaches to the Bank’s risk management.

2.2016 Franchise Enhancement Goal: Position the Bank and the FHLBank System to remain an integral component of the changing housing and financial services markets. Continue to meet the Bank's mission objectives within these markets as they are currently structured, but also influence and adapt to structural changes in those markets.

3.2016 Community Investment Goal: Support and promote the Bank’s Affordable Housing Program and Community Investment Programs.

Incentive Goal Achievement Measures

The plan levels of goal achievement are as follows:

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

Actual achievement of Bank goals is subject to adjustment for changes resulting from changes in financial strategies or policies, any significant change in Bank membership, as well as other factors determined by the Board. Impacts of OTTI credit charges are excluded from the achievement levels and 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.

January 2016

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 shall be approved by the Board.

Percentage of Goal Achievement Scale	Aggregate Goal Achievement	Award Range (Percentage of 2016 Base Salary)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 goals, achievement levels, and incentive payments to account for matters not specifically addressed in the plan, subject to review by the Federal Housing Finance Agency, as required. Incentive compensation reductions may be made, but are not limited to the following circumstances: (i) if errors or omissions result in material revisions to the Bank’s financial results, information submitted to a regulatory or a reporting agency, or information used to determine incentive compensation payouts; (ii) if information submitted to a regulatory or a reporting agency is untimely; or, (iii) if the Bank does not make appropriate progress in the timely remediation of examination, monitoring, or other supervisory findings and matters requiring attention.

APPROVAL OF INCENTIVE AWARDS

All incentive awards must be approved by the President and the Board of Directors prior to payment, including an award for achievement below Threshold. Awards will be considered by the Board of Directors at the January 2017 Board meeting, or as soon thereafter as reasonably practicable.

TIMING OF PAYMENT OF INCENTIVE AWARDS

Payment of an incentive award, if any, will be paid in the taxable year immediately following the end of the performance period and no later than 60 days after the date that the Board of Directors’ approval of such award becomes effective.

PLAN ADMINISTRATION AND IMPLEMENTATION

The President is responsible for overseeing the administration and interpretation of the plan.

The plan is intended to be exempt from Section 409A of the Internal Revenue Code and the provisions of the plan shall be construed and interpreted consistent with such intent.

2016 Executive Officer Goal Weights
	Executive Vice President and Senior Vice Presidents		Senior Vice President, Chief Risk Officer
	Corporate Goal Weights	Goal Weight (includes individual goals)	Corporate Goal Weights	Goal Weight (includes individual goals)
Individual	N/A	10.0%	N/A	10.0%
Risk Management	30.0%	27.0%	60.0%	54.0%
Franchise Enhancement	50.0%	45.0%	26.0%	23.4%
Community Investment	20.0%	18.0%	14.0%	12.6%
Total	100.0%	100.0%	100.0%	100.0%

All compensation and incentive plans are subject to review and revision at the Bank’s discretion. Such plans are reviewed regularly to ensure they are competitive and equitable.Executive Officer compensation and benefit programs are subject to Federal Housing Finance Agency review and oversight, and payments made under such programs may not become effective until after the Agency's non-objection under applicable laws and regulations in effect from time to time.

January 2016

2016 Short-Term Incentive Plan Goals and Measures

2016 Goals	2016 Goal Components	Goal Weight	Goal Component Weight	2016 Short-Term Incentive Plan Goal Measures
1)  RISK MANAGEMENT		30%		In the event of a Significant Deficiency or Material Weakness in internal control over financial reporting, a significant operations loss, or a significant noncompliance with Bank policy as described in the Bank’s Risk Management Policy, the Board of Directors will assess the impact and appropriate adjustment to the Risk Management goal achievement level, if any.
	A) Strategic Sourcing and Vendor Management		50%	75%:	threshold
				•	Strategic Sourcing: Adopt new Bank Purchasing Policy
				•	Vendor Management: Adopt Risk Management Tool for assessment and diligence of the Bank's Strategic vendors
				100%:	75% achievement, plus:
				•	Strategic Sourcing: Attain 40% spend under management (SUM)
				•	Vendor Management: Rationalize vendor base into Strategic, Preferred, and Tactical vendor categories
				125%:	100% achievement, plus:
				•	Strategic Sourcing: Attain 50% SUM
				•	Vendor Management: Adopt Risk Management Tool for assessment and diligence of Preferred vendors
				150%:	125% achievement, plus:
				•	Strategic Sourcing: Attain 60% SUM
				•	Vendor Management: Adopt Risk Management Tool for assessment and diligence of Tactical vendors
	B) Business Continuity		50%	75%:	Develop and establish Business Continuity Management (BCM) Program Standards
				100%:	Achieve 50% of targets in the BCM Program Planning and Exercise Standards
				125%:	Achieve 50% of targets in the BCM Program Threat Analysis and Crisis Management Standards
				150%:	Achieve 75% of targets in the BCM Program Education, Awareness and Training, and BCM Program Governance and Reporting Standards
2)FRANCHISE ENHANCEMENT		50%
	A) Financial Performance		35%	Adjusted Return on Capital Spread
					75%	100%	125%	150%
					3.27%	3.52%	3.77%	4.02%
				Achievement level targets and measured performance exclude OTTI credit charges.
	B) Technology		25%	75%:	Complete 2 strategic technology initiatives: [Technology Resiliency-Phase I and Vendor/Procurement Management]
				100%:	75% achievement, plus: complete 2 additional (total of 4) strategic technology initiatives
				125%:	100% achievement, plus: complete 2 additional (total of 6) strategic technology initiatives
				150%:	125% achievement, plus: complete 2 additional (total of 8) strategic technology initiatives
				Calypso Upgrade not included in the total, given dependency on the vendor to release the product before the upgrade can begin.
	C) Member Business		20%		Advances and Letters of Credit (LC) Volume Average Outstanding Daily Balance ($Bils)
					75%	100%	125%	150%
					$[*]	$[*]	$[*]	$[*]
			5%		Mortgage Partnership Finance (MPF) Volume ($Mils)
					75%	100%	125%	150%
					$[*]	$[*]	$[*]	$[*]
			5%		Mortgage Partnership Finance (MPF) (Conversions of New/Non-Selling PFIs)
					75%	100%	125%	150%
					[*]	[*]	[*]	[*]
				Measured by existing non-sellers or new PFIs that sell loans.
			10%		Recruitment (# of New Members)
					75%	100%	125%	150%
					7	9	11	13
3)  COMMUNITY INVESTMENT		20%
	CIP/ACE Advances, Letters of Credit and AHEAD (# of Members)		100%	(# of Members)
					75%	100%	125%	150%
					38	41	44	47

[*]  Certain information on this page has been omitted and filed separately with the Securities and Exchange Commission. Confidential treatment has been requested with respect to the omitted portion

January 2016

EX-10.11

EXHIBIT 10.11

FHLBank San Francisco

2016 Executive Performance Unit Plan [the Long-Term Incentive Plan]

Summary Description

PLAN PURPOSE

To optimize the Bank’s performance in accomplishing Board-approved goals.

PLAN OBJECTIVES

To motivate key executives to position the Bank to exceed specified long-term Bank goals that directly support the Bank’s mission and strategic plan. To attract and retain outstanding executives by providing a competitive total compensation program, including a cash-based long-term incentive reward opportunity tied to the performance of the Bank against specified performance measures.

PARTICIPANTS

Participants are key executives whose performance has a major impact on the Bank’s success. Participants are the incumbents in the Bank’s senior officer positions, including:

President

Executive Vice President

Senior Vice Presidents (excluding the Senior Vice President, Director of Internal Audit – participates in the Audit Performance Unit Plan)

PERFORMANCE PERIOD

The Executive Performance Unit Plan (EPUP) pays incentive awards related to the achievement of Bank performance over a three-year performance period. The 2016 EPUP is effective January 1, 2016, and is based on performance from January 1, 2016 through December 31, 2018.

PERFORMANCE METRICS

Performance metrics balance financial and risk management objectives, focusing on achievement of Adjusted Return on Capital Spread and Risk Management goals. Adjusted Return on Capital Spread will be weighted 30% and Risk Management will be weighted 70%. The Meets performance level reflects long-term performance expectations. Unlike the President’s Incentive Plan (PIP) and Executive Incentive Plan (EIP), participants do not have an individual goal under the EPUP.

1.3-Year Average Adjusted Return on Capital Spread: Adjusted Return on Capital Spread (AROCS) is the primary measure the Bank uses to determine total rate of return to shareholders. The Meets AROCS achievement level has been set at 2.69% and represents the projected average for the performance period (January 1, 2016 through December 31, 2018). The Meets AROCS achievement level is consistent with the Bank’s Strategic Plan forecast and reflects the Bank’s continued mission-consistent focus on member’s mortgage finance business. Threshold AROCS has been set at 2.44%, Exceeds achievement level has been set at 2.94% and Far Exceeds achievement level has been set at 3.19%.

2.3-Year Average Risk Management: Risk Management is based on the 3-year average of the actual Risk Management goal achievement levels under the 2016, 2017, and 2018 annual incentive plans, and will be set at the end of the performance period.

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

January 2016

EPUP ACHIEVEMENT MEASURES

The Executive Performance Unit Plan rewards four levels of performance achievement, as follows:

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

AWARD DETERMINATION

An award is calculated and paid in whole or part at the end of the 2016 plan term (during the first quarter of 2019). Awards earned are based on the level at which the 3-year performance goals have been achieved. Final awards may be prorated for participants promoted or hired into an eligible position during the performance period, and for participants who take a leave of absence during the performance period. Note that the percentages of award opportunity provided below are not the award percentages of base salary. See below for award opportunities and ranges.

Adjusted Return on Capital Spread Goal(3-Year Average) 1				Risk Management Goal(3-Year Average) 2
30% goal weight			% of Award Opportunity	70% goal weight			% of Award Opportunity
Threshold	(75%)	2.44%	22.5%	Threshold	(75%)	Average of 3- Year Achievement	52.5%
Meets	(100%)	2.69%	30.0%	Meets	(100%)		70.0%
Exceeds	(125%)	2.94%	37.5%	Exceeds	(125%)		87.5%
Far Exceeds	(150%)	3.19%	45.0%	Far Exceeds	(150%)		105.0%
1 Meets excludes OTTI impact, while measured performance includes OTTI impact.
2Measured by 3-year achievement levels of Risk Management goal under the respective STIPs.

Performance below the Threshold achievement level for either measure normally will not result in an incentive award. The Board of Directors has full discretion to modify any and all goals, achievement levels, and incentive payments to account for matters not specifically addressed in the plan, subject to review by the Federal Housing Finance Agency, as required. Incentive compensation reductions may be made, but are not limited to the following circumstances: (i) if errors or omissions result in material revisions to the Bank’s financial results, information submitted to a regulatory or a reporting agency, or information used to determine incentive compensation payouts; (ii) if information submitted to a regulatory or a reporting agency is untimely; or, (iii) if the Bank does not make appropriate progress in the timely remediation of examination, monitoring, or other supervisory findings and matters requiring attention.

AWARD DETERMINATION AND OPPORTUNITY

Achievement award levels are stated below as a percentage of the February 1^st base salary at the beginning of the performance period.

2016-2018 EPUP Plan Period

Percentage of Goal Achievement Scale	Aggregate Goal Achievement	Award Range (Percentage of 2016 Base Salary)
0% - 150%	150% = Far Exceeds	50.0%
	125% = Exceeds	48.0%
	100% = Meets	40.0%
	75% = Threshold	20.0%

Awards will be considered by the Board of Directors at the end of the 3-year performance period (during the first quarter of 2019). The amount of an award, if any, shall be approved by the Board of Directors. All incentive awards are governed by the terms and conditions of the 2016 Executive Performance Unit Plan. In the event there is any conflict between the terms of this summary description and the terms of the plan document, the plan document shall govern.

To be eligible for the Executive Performance Unit Plan payment, participants must be employed with the Bank through the end of the 3-year performance period, except in the case of a voluntary normal retirement, a qualified long-term disability, or death. EPUP awards will be prorated for participants in position less than a full plan term, including participants who have a leave of absence greater than one month during the plan term. Any awards will be distributed as soon as administratively possible following the effective date of Board approval. All compensation and incentive plans are subject to review and revision at the Bank’s discretion. Such plans are reviewed regularly to ensure they are competitive and equitable. Executive Officer compensation and benefit programs are subject to Federal Housing Finance Agency review and oversight, and payments made under such programs may not become effective until after the Agency's non-objection under applicable laws and regulations in effect from time to time.

January 2016

EX-12.1

EXHIBIT 12.1

Federal Home Loan Bank of San Francisco

Computation of Ratio of Earnings to Fixed Charges

(Unaudited)

(Dollars in millions)	2015		2014		2013		2012		2011
Earnings:
Income before assessments	$	716	$	241	$	360	$	551	$	258
Fixed charges	430		467		605		647		754
Total earnings	$	1,146	$	708	$	965	$	1,198	$	1,012
Fixed charges:
Interest expense	$	429	$	466	$	604	$	646	$	753
Estimated rental expense based on an interest factor	1		1		1		1		1
Total fixed charges	$	430	$	467	$	605	$	647	$	754
Ratio of earnings to fixed charges	2.67		1.52		1.59		1.85		1.34

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 annual report on Form 10-K for the period ended December 31, 2015, 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: March 11, 2016	/S/ DEAN SCHULTZ
	Dean Schultz President and Chief Executive Officer

EX-31.2

EXHIBIT 31.2

Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

for the Chief Operating Officer

I, Lisa B. MacMillen, certify that:

1. I have reviewed this annual report on Form 10-K for the period ended December 31, 2015, 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: March 11, 2016	/S/ LISA B. MACMILLEN
	Lisa B. MacMillen Executive Vice President and Chief Operating Officer

EX-31.3

EXHIBIT 31.3

Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

for the Chief Financial Officer

I, Kenneth C. Miller, certify that:

1. I have reviewed this annual report on Form 10-K for the period ended December 31, 2015, 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: March 11, 2016	/S/ KENNETH C. MILLER
	Kenneth C. Miller Senior Vice President and Chief Financial Officer

EX-32.1

EXHIBIT 32.1

Certification by the President and Chief Executive Officer

Pursuant to 18 U.S.C. Section 1350,

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

I, Dean Schultz, President and Chief Executive Officer of the Federal Home Loan Bank of San Francisco (“Registrant”), certify that, to the best of my knowledge:

1. The Registrant's Annual Report on Form 10-K for the period ended December 31, 2015, (“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: March 11, 2016	/S/ DEAN SCHULTZ
	Dean Schultz President and Chief Executive Officer

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

EX-32.2

EXHIBIT 32.2

Certification by the Chief Operating Officer

Pursuant to 18 U.S.C. Section 1350,

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

I, Lisa B. MacMillen, Executive Vice President and Chief Operating Officer of the Federal Home Loan Bank of San Francisco (“Registrant”), certify that, to the best of my knowledge:

1. The Registrant's Annual Report on Form 10-K for the period ended December 31, 2015, (“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: March 11, 2016	/S/ LISA B. MACMILLEN
	Lisa B. MacMillen Executive Vice President and Chief Operating Officer

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

EX-32.3

EXHIBIT 32.3

Certification by the Chief Financial Officer

Pursuant to 18 U.S.C. Section 1350,

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

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

1. The Registrant's Annual Report on Form 10-K for the period ended December 31, 2015, (“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: March 11, 2016	/S/ KENNETH C. MILLER
	Kenneth C. Miller Senior Vice President and Chief Financial Officer

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

EX-99.1

EXHIBIT 99.1

Audit Committee Report

The Audit Committee (Committee) of the Board of Directors of the Federal Home Loan Bank of San Francisco for 2016 is currently composed of seven directors. The Committee is governed by a written charter approved by the Board of Directors.

The Committee has reviewed and discussed the audited financial statements with management. The Committee has discussed with the independent auditor, PricewaterhouseCoopers LLP, the matters required to be discussed in accordance with the standards of the Public Company Accounting Oversight Board (including Auditing Standard No. 16, Communications with Audit Committees, as modified, reorganized or supplemented). The Committee has also received the written disclosures and the letter from PricewaterhouseCoopers LLP required by applicable requirements of the Public Company Accounting Oversight Board regarding the independent accountant's communications with the audit committee concerning independence, and has discussed the auditor's independence with PricewaterhouseCoopers LLP.

Based on the review and discussions referred to above, the Audit Committee recommends to the Board of Directors that the 2015 financial statements be included in the Form 10-K filed with the Securities and Exchange Commission.

Simone Lagomarsino, Chair

Brian M. Riley, Vice Chair

Craig G. Blunden

Richard A. Heldebrant

John F. Luikart

John F. Robinson

John T. Wasley

March 11, 2016

XML

Document and Entity Information Document - USD ($)	12 Months Ended
	Dec. 31, 2015	Feb. 29, 2016	Jun. 30, 2015
Document and Entity Information [Line Items]
Entity Registrant Name	FEDERAL HOME LOAN BANK OF SAN FRANCISCO
Entity Central Index Key	0001316944
Document Type	10-K
Document Period End Date	Dec. 31, 2015
Amendment Flag	false
Document Fiscal Year Focus	2015
Document Fiscal Period Focus	FY
Current Fiscal Year End Date	--12-31
Entity Well-known Seasoned Issuer	No
Entity Voluntary Filers	No
Entity Current Reporting Status	Yes
Entity Filer Category	Non-accelerated Filer
Entity Common Stock, Shares Outstanding		28,019,551
Entity Public Float			$ 0

XML

Statements of Condition - USD ($) $ in Millions		Dec. 31, 2015	Dec. 31, 2014
Assets:
Cash and due from banks		$ 1,637	$ 3,920
Securities purchased under agreements to resell		10,000	1,000
Federal funds sold		4,626	7,503
Trading securities	[1]	1,433	3,524
Available-for-sale (AFS) securities	[1]	5,414	6,371
Held-to-maturity (HTM) securities (fair values were $10,821 and $13,657, respectively)	[2],[3],[4]	10,802	13,551
Advances (includes $3,677 and $5,137 at fair value under the fair value option, respectively)		50,919	38,986
Mortgage loans held for portfolio, net of allowance for credit losses of $0 and $1, respectively		655	708
Accrued interest receivable		56	67
Premises, software, and equipment, net		32	28
Derivative assets, Net		44	59
Other assets		89	90
Total Assets		85,707	75,807
Liabilities:
Deposits		127	160
Consolidated obligations:
Bonds (includes $4,233 and $6,717 at fair value under the fair value option, respectively)		51,835	47,045
Discount Notes		27,648	21,811
Total consolidated obligations		79,483	68,856
Mandatorily redeemable capital stock		488	719
Accrued interest payable		80	95
Affordable Housing Program (AHP) payable		172	147
Derivative liabilities, Net		6	20
Other liabilities		455	117
Total Liabilities		$ 80,811	$ 70,114
Commitments and Contingencies (Note 20)
Capital:
Capital stock-Class B-Putable ($100 par value) issued and outstanding: 23 shares and 33 shares, respectively		$ 2,253	$ 3,278
Unrestricted retained earnings		610	294
Restricted retained earnings		2,018	2,065
Total Retained Earnings		2,628	2,359
Accumulated Other Comprehensive Income (Loss) (AOCI)		15	56
Total Capital		4,896	5,693
Total Liabilities and Capital		$ 85,707	$ 75,807

[1] At December 31, 2015, and 2014, none of these securities were pledged as collateral that may be repledged.

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

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

[4] At December 31, 2015, none of these securities were pledged as collateral that may be repledged. At December 31, 2014, a de minimis amount of these securities were pledged as collateral that may be repledged.

XML

Statements of Condition (Parenthetical) - USD ($) shares in Millions, $ in Millions	Dec. 31, 2015	Dec. 31, 2014
Assets:
Fair Value of Held-to-maturity securities	$ 10,821	$ 13,657
Fair Value of Advances Under the Fair Value Option	3,677	5,137
Allowance for credit losses on mortgage loans	$ 0	1
Capital:
Common stock, par value	$ 100
Statement of Condition Footnotes:
Available-for-sale securities pledged as collateral that may be repledged	$ 0	0
Trading securities pledged as collateral that may be repledged	0	0
Held-to-maturity securities pledged as collateral that may be repledged	$ 0	$ 0
Common Class B [Member]
Capital:
Common stock, par value	$ 100	$ 100
Common stock, shares issued	23	33
Common stock, shares outstanding	23	33
Consolidated obligation bonds [Member]
Liabilities:
Fair Value of Bonds Under the Fair Value Option	$ 4,233	$ 6,717

XML

Statements of Income - USD ($) $ in Millions		12 Months Ended
		Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Interest Income:
Advances		$ 291	$ 299	$ 340
Prepayment fees on advances, net		8	6	5
Securities purchased under agreements to resell		3	1	1
Federal funds sold		9	11	15
Trading securities		5	6	7
AFS securities		264	278	276
HTM securities		293	362	392
Mortgage loans held for portfolio		33	42	50
Total Interest Income		906	1,005	1,086
Interest Expense:
Consolidated Obligations: Bonds		317	326	432
Consolidated Obligations: Discount notes		46	20	17
Deposits		1	0	0
Mandatorily redeemable capital stock	[1]	65	120	155
Total Interest Expense		429	466	604
Net Interest Income		477	539	482
Provision for/(reversal of) credit losses on mortgage loans		1	0	(1)
Net Interest Income After Mortgage Loan Loss Provision		476	539	483
Other Income/(Loss):
Total other-than-temporary impairment (OTTI) loss		(31)	(14)	(14)
Net amount of OTTI loss reclassified to/(from) AOCI		16	10	7
Net OTTI loss, credit-related		(15)	(4)	(7)
Net gain/(loss) on trading securities		(2)	(1)	2
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option		(50)	(93)	(23)
Net gain/(loss) on derivatives and hedging activities		(16)	(64)	26
Gains on litigation settlements, net		459	0	0
Other		12	8	7
Total Other Income/(Loss)		388	(154)	5
Other Expense:
Compensation and benefits		67	63	63
Other operating expense		71	69	53
Federal Housing Finance Agency		6	7	7
Office of Finance		4	5	5
Total Other Expense		148	144	128
Income/(Loss) Before Assessments		716	241	360
AHP Assessment		78	36	52
Net Income/(Loss)		$ 638	$ 205	$ 308

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

XML

Statements of Comprehensive Income - USD ($) $ in Millions	12 Months Ended
	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Net Income/(Loss)	$ 638	$ 205	$ 308
Other Comprehensive Income/(Loss):
Net change in pension and postretirement benefits	(2)	(5)	5
Net non-credit-related OTTI gain/(loss) on AFS securities:
Non-credit-related OTTI loss transferred from HTM securities	(1)	0	(4)
Net change in fair value of other-than-temporarily impaired securities	(29)	209	644
Net amount of OTTI loss reclassified to/(from) other income/(loss)	(15)	(10)	(3)
Total net non-credit-related OTTI gain/(loss) on AFS securities	(45)	199	637
Net non-credit-related OTTI gain/(loss) on HTM securities:
Net amount of OTTI loss reclassified to/(from) other income/(loss)	(1)	0	(4)
Accretion of Noncredit Related OTTI Loss	6	7	7
Non-credit related OTTI loss transferred to AFS securities	1	0	4
Total net non-credit-related OTTI gain/(loss) on HTM securities	6	7	7
Total other comprehensive income/(loss)	(41)	201	649
Total Comprehensive Income (Loss)	$ 597	$ 406	$ 957

XML

Statements of Capital Accounts - USD ($) shares in Millions, $ in Millions	Total		Retained Earnings [Member]	Restricted [Member]	Unrestricted [Member]	Accumulated Other Comprehensive Income/(Loss) [Member]	Common Class B - Putable [Member] Common Stock [Member]
Balance, Shares at Dec. 31, 2012							42
Balance at Dec. 31, 2012	$ 5,613		$ 2,247	$ 2,001	$ 246	$ (794)	$ 4,160
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Issuance of capital stock, shares							5
Issuance of capital stock, value	530						$ 530
Repurchase of capital stock, shares							(12)
Repurchase of capital stock, value	(1,226)						$ (1,226)
Net Shares Reclassified from/(to) Mandatorily Redeemable Capital Stock, Shares							0
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net, value	(4)	[1]					$ (4)
Comprehensive Income (Loss)	957		308	76	232	649
Cash dividends paid on capital stock	(161)		(161)		(161)
Balance, Shares at Dec. 31, 2013							35
Balance at Dec. 31, 2013	5,709		2,394	2,077	317	(145)	$ 3,460
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Issuance of capital stock, shares							8
Issuance of capital stock, value	762						$ 762
Repurchase of capital stock, shares							(10)
Repurchase of capital stock, value	(941)						$ (941)
Net Shares Reclassified from/(to) Mandatorily Redeemable Capital Stock, Shares							0
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net, value	(3)	[1]					$ (3)
Comprehensive Income (Loss)	406		205	(12)	217	201
Cash dividends paid on capital stock	(240)		(240)	0	(240)
Balance, Shares at Dec. 31, 2014							33
Balance at Dec. 31, 2014	5,693		2,359	2,065	294	56	$ 3,278
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Issuance of capital stock, shares							8
Issuance of capital stock, value	829						$ 829
Repurchase of capital stock, shares							(14)
Repurchase of capital stock, value	(1,439)						$ (1,439)
Net Shares Reclassified from/(to) Mandatorily Redeemable Capital Stock, Shares							(4)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net, value	(415)	[1]					$ (415)
Comprehensive Income (Loss)	597		638	103	535	(41)
Transfers from restricted retained earnings	0		0	(150)	150
Cash dividends paid on capital stock	(369)		(369)	0	(369)
Balance, Shares at Dec. 31, 2015							23
Balance at Dec. 31, 2015	$ 4,896		$ 2,628	$ 2,018	$ 610	$ 15	$ 2,253

[1] The Bank reclassified $403 of capital stock to mandatorily redeemable capital stock (a liability) on September 1, 2015, as a result of the merger of JPMorgan B&T with and into JPMorgan Chase, a nonmember of the Bank.

XML

Statements of Capital Accounts (Parenthetical)	12 Months Ended
	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Annualized Dividend Rate on Capital Stock	12.39%	7.02%	3.99%

XML

Statements of Cash Flows - USD ($) $ in Millions	12 Months Ended
	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Cash Flows from Operating Activities:
Net Income/(Loss)	$ 638	$ 205	$ 308
Adjustments to reconcile net income/(loss) to net cash provided by operating activities:
Depreciation and amortization	(80)	(90)	(68)
Provision for/(reversal of) credit losses on mortgage loans	1	0	(1)
Change in net fair value of trading securities	2	1	(2)
Change in net fair value adjustment on advances and consolidated obligation bonds held under fair value option	50	93	23
Change in net derivatives and hedging activities	(33)	(64)	7
Net OTTI loss, credit-related	15	4	7
Net change in:
Accrued interest receivable	16	18	21
Other assets	(9)	(4)	(8)
Accrued interest payable	(20)	1	(85)
Other liabilities	109	1	18
Total adjustments	51	(40)	(88)
Net cash provided by/(used in) operating activities	689	165	220
Cash Flows from Investing Activities:
Interest-bearing deposits	(404)	(352)	(128)
Securities purchased under agreements to resell	(9,000)	(1,000)	1,500
Federal funds sold	2,877	(5)	3,359
Premises, software, and equipment	(12)	(12)	(8)
Trading securities:
Proceeds from maturities of long-term	2,339	582	236
Purchases of long-term	0	(899)	(525)
AFS securities:
Proceeds from maturities of long-term	996	938	1,283
HTM securities:
Net (increase)/decrease in short-term	0	1,660	79
Proceeds from maturities of long-term	2,746	2,504	3,927
Purchases of long-term	0	(207)	(4,193)
Advances:
Principal collected	1,057,469	780,733	529,782
Made to members	(1,069,480)	(775,375)	(530,789)
Mortgage loans held for portfolio:
Principal collected	184	200	379
Purchases	(131)	(4)	0
Proceeds from sale of foreclosed assets	4	3	4
Net cash provided by/(used in) investing activities	(12,412)	8,766	4,906
Cash Flows from Financing Activities:
Net change in Deposits	262	254	273
Net (payments)/proceeds on derivatives contracts with financing elements	17	14	66
Net proceeds from issuance of consolidated obligations:
Bonds	38,935	31,415	29,195
Discount notes	106,536	104,611	107,252
Bonds transferred from another Federal Home Loan Bank	0	0	122
Payments for matured and retired consolidated obligations:
Bonds	(33,968)	(37,446)	(45,827)
Discount notes	(100,717)	(106,991)	(88,272)
Proceeds from issuance of capital stock	829	762	530
Payments for repurchase/redemption of mandatorily redeemable capital stock	(646)	(1,355)	(2,276)
Payments for repurchase of capital stock	(1,439)	(941)	(1,226)
Cash dividends paid	(369)	(240)	(161)
Net cash provided by/(used in) financing activities	9,440	(9,917)	(324)
Net increase/(decrease) in cash and due from banks	(2,283)	(986)	4,802
Cash and due from banks at beginning of the period	3,920	4,906	104
Cash and due from banks at end of period	1,637	3,920	4,906
Supplemental Disclosures:
Interest paid	412	457	520
AHP payments	53	40	45
Supplemental Disclosures of Noncash Investing Activities:
Transfers of mortgage loans to real estate owned	2	3	4
Transfers of other-than-temporarily impaired HTM securities to AFS securities	$ 15	$ 0	$ 72

XML

Background Information

12 Months Ended

Dec. 31, 2015

Organization, Consolidation and Presentation of Financial Statements [Abstract]

Nature of Operations [Text Block]

The Federal Home Loan Bank of San Francisco (Bank), a federally chartered corporation exempt from ordinary federal, state, and local taxation except real property taxes, is one of 11 District Federal Home Loan Banks (FHLBanks). The FHLBanks are government-sponsored enterprises (GSEs) that serve the public by enhancing the availability of credit for residential mortgages and targeted community development by providing a readily available, competitively priced source of funds to their member institutions. Each FHLBank is operated as a separate entity with its own management, employees, and board of directors. The Bank does not have any special purpose entities or any other type of off-balance sheet conduits. The Bank has a cooperative ownership structure. Regulated financial depositories and insurance companies engaged in residential housing finance, with principal places of business located in Arizona, California, and Nevada, are eligible to apply for membership. In addition, authorized community development financial institutions are eligible to be members of the Bank. All members are required to purchase capital stock in the Bank. State and local housing authorities that meet certain statutory criteria may also borrow from the Bank. While eligible to borrow, these housing authorities are not members of the Bank, and, as such, are not required to hold capital stock. To access the Bank's products and services, a financial institution must be approved for membership and purchase capital stock in the Bank. The member's capital stock requirement is generally based on its use of Bank products, subject to a minimum asset-based membership requirement that is intended to reflect the value to the member of having ready access to the Bank as a reliable source of competitively priced funds. Bank capital stock is issued, transferred, redeemed, and repurchased at its par value of $100 per share, subject to certain regulatory and statutory limits. It is not publicly traded. All shareholders may receive dividends on their capital stock, to the extent declared by the Bank's Board of Directors.

The Bank conducts business with members in the ordinary course of business. See Note 21 – Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks for more information.

The Federal Housing Finance Agency (Finance Agency), an independent federal agency in the executive branch of the United States government, supervises and regulates the FHLBanks and the FHLBanks' Office of Finance.

The Office of Finance is a joint office of the FHLBanks that facilitates the issuance and servicing of the debt instruments (consolidated obligations) of the FHLBanks and prepares the combined quarterly and annual financial reports of the FHLBanks.

The primary source of funds for the FHLBanks is the proceeds from the sale to the public of the FHLBanks' consolidated obligations through the Office of Finance using authorized securities dealers. As provided by the Federal Home Loan Bank Act of 1932, as amended (FHLBank Act), or regulations governing the operations of the FHLBanks, all the FHLBanks have joint and several liability for all FHLBank consolidated obligations. Other funds are provided by deposits, other borrowings, and the issuance of capital stock to members. The Bank primarily uses these funds to provide advances to members.

XML

Summary of Significant Accounting Policies

12 Months Ended

Dec. 31, 2015

Accounting Policies [Abstract]

Basis of Presentation

Summary of Significant Accounting Policies

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

Estimated Fair Values. Many of the Bank's financial instruments lack an available liquid trading market as characterized by frequent exchange transactions between a willing buyer and willing seller. Therefore, the Bank uses financial models employing significant assumptions and present value calculations for the purpose of determining estimated fair values. Thus, the fair values may not represent the actual values of the financial instruments that could have been realized as of yearend or that will be realized in the future.

Fair values for certain financial instruments are based on quoted prices, market rates, or replacement rates for similar financial instruments as of the last business day of the year. The estimated fair values of the Bank's financial instruments and related assumptions are detailed in Note 19 – Fair 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 financing arrangements because they effectively represent short-term loans to counterparties that are considered by the Bank to be of investment quality, which are classified as assets in the Statements of Condition. Securities purchased under agreements to resell are held in safekeeping in the name of the Bank by third-party custodians approved by the Bank. In accordance with the terms of these loans, if the market value of the underlying securities decreases below the market value required as collateral, the counterparty must place an equivalent amount of additional securities as collateral or remit an equivalent amount of cash.

Federal Funds Sold. These investments provide short-term liquidity and are carried at cost. The Bank invests in Federal funds sold with counterparties that are considered by the Bank to be of investment quality.

Investment Securities. The Bank classifies investments as trading, available-for-sale (AFS), or held-to-maturity (HTM) at the date of acquisition. Purchases and sales of securities are recorded on a trade date basis.

The Bank classifies certain investments as trading. These securities are held for liquidity purposes and carried at fair value with changes in the fair value of these investments recorded in other income. The Bank does not participate in speculative trading practices and holds these investments indefinitely as the Bank periodically evaluates its liquidity needs.

The Bank classifies certain securities as AFS and carries these securities at their fair value. Unrealized gains and losses on these securities are recognized in accumulated other comprehensive income (AOCI).

HTM securities are carried at cost, adjusted for periodic principal repayments; amortization of premiums and accretion of discounts; and previous OTTI recognized in net income and AOCI. The Bank classifies these investments as HTM securities because the Bank has the positive intent and ability to hold these securities until maturity.

Certain 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. Thus, the sale or transfer of an HTM security because of certain changes in circumstances, such as evidence of significant deterioration in the issuer's creditworthiness or changes in regulatory requirements, is not considered to be inconsistent with its original classification. 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 an HTM security without necessarily calling into question its intent to hold other debt securities to maturity. In addition, sales of debt securities that meet either of the following two conditions may be considered as maturities for purposes of the classification of securities: (i) the sale occurs near enough to its maturity date (or call date if exercise of the call is probable) that interest rate risk is substantially eliminated as a pricing factor and changes in market interest rates would not have a significant effect on the security's fair value, or (ii) the sale occurs after the Bank has already collected a substantial portion (at least 85%) of the principal outstanding at acquisition because of prepayments on the debt security or scheduled payments on a debt security payable in equal installments (both principal and interest) over its term.

The Bank calculates the amortization of purchase premiums and accretion of purchase discounts on investments using the level-yield method on a retrospective basis over the estimated life of the securities. This method requires a retrospective adjustment of the effective yield each time the Bank changes the estimated life as if the new estimate had been known since the original acquisition date of the securities. The Bank uses nationally recognized, market-based, third-party prepayment models to project estimated lives.

On a quarterly basis, the Bank evaluates its individual AFS and HTM investment securities in an unrealized loss position for OTTI. A security is considered impaired when its fair value is less than its amortized cost basis. For impaired debt securities, an entity is required to assess whether: (i) it has the intent to sell the debt security; (ii) it is more likely than not that it will be required to sell the debt security before its anticipated recovery of the remaining amortized cost basis of the security; or (iii) it does not expect to recover the entire amortized cost basis of the impaired debt security. If any of these conditions is met, an OTTI on the security must be recognized.

With respect to any debt security, a credit loss is defined as the amount by which the amortized cost basis exceeds the present value of the cash flows expected to be collected. If a credit loss exists but the entity does not intend to sell the debt security and it is not more likely than not that the entity will be required to sell the debt security before the anticipated recovery of its remaining amortized cost basis (the amortized cost basis less any current-period credit loss), the carrying value of the debt security is adjusted to its fair value. However, instead of recognizing the entire difference between the amortized cost basis and fair value in earnings, only the amount of the impairment representing the credit loss is recognized in earnings, while the amount of non-credit-related impairment is recognized in AOCI. The total OTTI is presented in the Statements of Income with an offset for the amount of the total OTTI that is recognized in AOCI. This presentation provides additional information about the amounts that the entity does not expect to collect related to a debt security. The credit loss on a debt security is limited to the amount of that security's unrealized losses.

For subsequent accounting of other-than-temporarily impaired securities, if the present value of cash flows expected to be collected is less than the amortized cost basis, the Bank records an additional OTTI. The amount of total OTTI for a security that was previously impaired is calculated as the difference between its amortized cost less the amount of OTTI recognized in AOCI prior to the determination of OTTI and its fair value. For an other-than-temporarily impaired security that was previously impaired and has subsequently incurred an additional OTTI related to credit loss (limited to that security's unrealized losses), this additional credit-related OTTI, up to the amount in AOCI, would be reclassified out of non-credit-related OTTI in AOCI and charged to earnings. Any credit loss in excess of the related AOCI is charged to earnings.

Subsequent related increases and decreases (if not an OTTI) in the fair value of AFS securities will be netted against the non-credit component of OTTI previously recognized in AOCI.

For securities classified as HTM, the OTTI recognized in AOCI is accreted to the carrying value of each security on a prospective basis, based on the amount and timing of future estimated cash flows (with no effect on earnings unless the security is subsequently sold or there are additional decreases in cash flows expected to be collected). For securities classified as AFS, the Bank does not accrete the OTTI recognized in AOCI to the carrying value because the subsequent measurement basis for these securities is fair value.

For securities previously identified as other-than-temporarily impaired, the Bank updates its estimate of future estimated cash flows on a regular basis. If there is no additional impairment on the security, the yield of the security is adjusted upward on a prospective basis when there is a significant increase in the expected cash flows. This accretion is included in net interest income in the Statements of Income.

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

The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time this collateral is received or pledged. Likewise, there may be a delay for excess collateral to be returned. For derivative instruments that meet the netting requirements, any excess cash collateral received or pledged is recognized as a derivative liability or derivative asset. Additional information regarding these agreements is provided in Note 18 – Derivatives and Hedging Activities. Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented.

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

to determine whether it is the primary beneficiary in any VIE. The Bank evaluated its investments in VIEs as of December 31, 2015, to determine whether it is a primary beneficiary of any of these investments. The primary beneficiary is required to consolidate a VIE. The Bank determined that consolidation accounting is not required because the Bank is not the primary beneficiary of these VIEs for the periods presented. The Bank does not have the power to significantly affect the economic performance of any of these investments because it does not act as a key decision maker nor does it have the unilateral ability to replace a key decision maker. In addition, the Bank does not design, sponsor, transfer, service, or provide credit or liquidity support in any of its investments in VIEs. The Bank’s maximum loss exposure for these investments is limited to the carrying value.

Advances. The Bank reports advances (loans to members, former members or their successors, or housing associates) either at amortized cost or at fair value when the fair value option is elected. Advances carried at amortized cost are reported net of premiums, discounts (including discounts related to the Affordable Housing Program), and hedging adjustments. The Bank amortizes premiums and accretes discounts and recognizes hedging adjustments resulting from the discontinuation of a hedging relationship to interest income using a level-yield methodology. Interest on advances is credited to income as earned. For advances carried at fair value, the Bank recognizes contractual interest in interest income.

Advance Modifications. In cases in which the Bank funds an advance concurrent with or within a short period of time before or after the prepayment of a previous advance to the same member, the Bank evaluates whether the subsequent advance meets the accounting criteria to qualify as a modification of an existing advance or whether it constitutes a new advance. The Bank compares the present value of the cash flows on the subsequent advance to the present value of the cash flows remaining on the previous advance. If there is at least a 10% difference in the present value of the cash flows or if the Bank concludes that the difference between the advances is more than minor based on a qualitative assessment of the modifications made to the previous advance's contractual terms, then the subsequent advance is accounted for as a new advance. In all other instances, the subsequent advance is accounted for as a modification.

Prepayment Fees. When a borrower prepays certain advances prior to the original maturity, the Bank may charge the borrower a prepayment fee. For certain advances with partial prepayment symmetry, the Bank may charge the borrower a prepayment fee or pay the borrower a prepayment credit, depending on certain circumstances, such as movements in interest rates, when the advance is prepaid.

For prepaid advances that are hedged and meet the hedge accounting requirements, the Bank terminates the hedging relationship upon prepayment and records the associated fair value gains and losses, adjusted for the prepayment fees, in interest income. If a new advance represents a modification of an original hedged advance, the fair value gains or losses on the advance and the prepayment fees are included in the carrying amount of the modified advance, and gains or losses and prepayment fees are amortized in interest income over the life of the modified advance using the level-yield method. If the modified advance is also hedged and the hedge meets the hedge accounting requirements, the modified advance is marked to fair value after the modification, and subsequent fair value changes are recorded in other income. If the prepayment represents an extinguishment of the original hedged advance, the prepayment fee and any fair value gain or loss are immediately recognized in interest income.

For prepaid advances that are not hedged or that are hedged but do not meet the hedge accounting requirements, the Bank records prepayment fees in interest income unless the Bank determines that the new advance represents a modification of the original advance. If the new advance represents a modification of the original advance, the prepayment fee on the original advance is deferred, recorded in the basis of the modified advance, and amortized over the life of the modified advance using the level-yield method. This amortization is recorded in interest income.

Mortgage Loans Held in Portfolio. Under the Mortgage Partnership Finance® (MPF®) Program, the Bank may purchase conventional conforming fixed rate residential mortgage loans and mortgage loans insured by the Federal Housing Administration (FHA) or guaranteed by the Department of Veterans Affairs (VA) from its participating members. (“Mortgage Partnership Finance” and “MPF” are registered trademarks of the FHLBank of Chicago.) Participating members originate or purchase the mortgage loans, credit-enhance them and sell them to the Bank, and generally retain the servicing of the loans. The Bank manages the interest rate risk, prepayment risk, and liquidity risk of each loan in its portfolio. The Bank and the participating financial institution (either the original participating member that sold the loans to the Bank or a successor to that member) share in the credit risk of the loans, with the Bank assuming the first loss obligation limited by the first loss account, and the participating financial institution assuming credit losses in excess of the first loss account, up to the amount of the credit enhancement obligation specified in the master agreement. The amount of the credit enhancement is calculated so that any Bank credit losses (excluding special hazard losses) in excess of the first loss account are limited to those that would be expected from an equivalent investment with a long-term credit rating of AA. In addition, the Bank may facilitate the purchase of conforming fixed rate mortgage loans from members for concurrent sale to Fannie Mae under the MPF Xtra® product and of jumbo fixed rate mortgage loans for concurrent sale to Redwood Residential Acquisition Corporation, a subsidiary of Redwood Trust, Inc., a real estate investment trust, under the MPF Direct product. (“MPF Xtra” is a registered trademark of the FHLBank of Chicago.)

For taking on the credit enhancement obligation, the Bank pays the participating financial institution a credit enhancement fee, which is calculated on the remaining unpaid principal balance of the mortgage loans. Depending on the specific MPF product, all or a portion of the credit enhancement fee is paid monthly beginning with the month after each delivery of loans. The MPF Plus product also provides for a performance-based credit enhancement fee, which accrues monthly, beginning with the month after each delivery of loans, and is paid to the participating financial institution beginning 12 months later. The performance-based credit enhancement fee will be reduced by an amount equivalent to loan losses up to the amount of the first loss account established for each master commitment. The participating financial institutions obtain supplemental mortgage insurance (SMI) to cover their credit enhancement obligations under this product. If the SMI provider's claims-paying ability rating falls below a specified level, the participating financial institution has six months to either replace the SMI policy or assume the credit enhancement obligation and fully collateralize the obligation; otherwise the Bank may choose not to pay the participating financial institution its performance-based credit enhancement fee.

The Bank classifies mortgage loans as held for investment and, accordingly, reports them at their principal amount outstanding net of unamortized premiums, discounts, and unrealized gains and losses from loans initially classified as mortgage loan commitments. The Bank defers and amortizes these amounts as interest income using the level-yield method on a retrospective basis over the estimated life of the related mortgage loan. Actual prepayment experience and estimates of future principal prepayments are used in calculating the estimated life of the mortgage loans. The Bank aggregates the mortgage loans by similar characteristics (type, maturity, note rate, and acquisition date) in determining prepayment estimates. A retrospective adjustment is required each time the Bank changes the estimated amounts as if the new estimate had been known since the original acquisition date of the assets. The Bank uses nationally recognized, market-based, third-party prepayment models to project estimated lives.

The Bank records credit enhancement fees as a reduction to interest income.

Allowance for Credit Losses. An allowance for credit losses is a valuation allowance separately established for each identified portfolio segment, if it is probable that impairment has occurred in the Bank's portfolio as of the Statements of Condition date and the amount of loss can be reasonably estimated. To the extent necessary, an allowance for credit losses for off-balance sheet credit exposures is recorded as a liability.

Portfolio Segments.A portfolio segment is defined as the level at which an entity develops and documents a systematic method for determining its allowance for credit losses. The Bank has developed and documented a systematic methodology for determining an allowance for credit losses for each applicable portfolio segment.

See Note 10 – Allowance for Credit Losses for more information.

Impairment Methodology on Mortgage Loans. A mortgage loan is considered impaired when, based on current information and events, it is probable that the Bank will be unable to collect all amounts due according to the contractual terms of the loan agreement.

Loans that are on non-accrual 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, there is no other available and reliable source of repayment. 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 non-accrual loans noted below.

The Bank places a mortgage loan on nonaccrual status when the collection of the contractual principal or interest from the participating financial 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. If the collection of the remaining principal amount due is considered doubtful, then cash payments received would be applied first solely to principal until the remaining principal amount due is expected to be collected and then as a recovery of any charge-off, if applicable, followed by recording interest income. A loan on non-accrual status may be restored to accrual when (1) none of its contractual principal and interest is due and unpaid, and the Bank expects repayment of the remaining contractual interest and principal, or (2) it otherwise becomes well secured and in the process of collection. For any mortgage loans that are more than 180 days past due and that have any outstanding balance in excess of the fair value of the property, less cost to sell, this excess is charged off as a loss by the end of the month in which the applicable time period elapses. Likewise, when a borrower is in bankruptcy, loans are written down to the fair value of the collateral, less cost to sell, in general within 60 days of receipt of the notification of filing from the bankruptcy court, unless it can be clearly demonstrated and documented that repayment is likely to occur.

Real Estate Owned. Real estate owned (REO) includes assets that have been received in satisfaction of debt through foreclosures. REO is initially recorded at fair value less estimated selling costs and is subsequently carried at the lower of that amount or current fair value less estimated selling costs. The Bank recognizes a charge-off to the allowance for credit losses if the fair value of the REO less estimated selling costs is less than the recorded investment in the loan at the date of transfer from loans to REO. Any subsequent realized gains, realized or unrealized losses, and carrying costs are included in other non-interest expense in the Statements of Income. REO is recorded in “Other assets” in the Statements of Condition. At December 31, 2015, the Bank’s other assets included $2 of REO resulting from foreclosure of 21 mortgage loans held by the Bank. At December 31, 2014, the Bank’s other assets included $2 of REO resulting from foreclosure of 23 mortgage loans held by the Bank.

Other Fees. Letter of credit fees are recorded as other income over the term of the letter of credit.

Derivatives. All derivatives are recognized on the Statements of Condition at their fair value. The Bank has elected to report derivative assets and derivative liabilities net of cash collateral, including initial and variation margin, and accrued interest received from or pledged to futures commission merchants (clearing agents) or counterparties. The fair values of derivatives are netted by clearing agent or counterparty when the netting requirements have been met. If these netted amounts are positive, they are classified as an asset, and if negative, they are classified as a liability. Cash flows associated with derivatives are reflected as cash flows from operating activities in the Statements of Cash Flows unless the derivative meets the criteria to be a financing derivative.

Each derivative is designated as one of the following:

(1) a qualifying hedge of the change in fair value of (i) a recognized asset or liability or (ii) an unrecognized firm commitment (a fair value hedge);

(2) a qualifying hedge of (i) a forecasted transaction or (ii) the variability of cash flows that are to be received or paid in connection with a recognized asset or liability (a cash flow hedge);

(3) a non-qualifying hedge of an asset or liability for asset-liability management purposes or of certain advances and consolidated obligation bonds for which the Bank elected the fair value option (an economic hedge); or

(4) a non-qualifying hedge of another derivative (an intermediation hedge) that is offered as a product to members or used to offset other derivatives with nonmember counterparties.

If hedging relationships meet certain criteria, including but not limited to formal documentation of the hedging relationship and an expectation to be hedge effective, they are eligible for hedge accounting, and the offsetting changes in fair value of the hedged items attributable to the hedged risk may be recorded in earnings. The application of hedge accounting generally requires the Bank to evaluate the effectiveness of the hedging relationships at inception and on an ongoing basis and to calculate the changes in fair value of the derivatives and the related hedged items independently. This is known as the “long-haul” method of hedge accounting. Transactions that meet certain criteria qualify for the “short-cut” method of hedge accounting, in which an assumption can be made that the change in the fair value of a hedged item, because of changes in the benchmark rate, exactly offsets the change in the value of the related derivative. Under the shortcut method, the entire change in fair value of the interest rate swap is considered to be effective at achieving offsetting changes in fair values or cash flows of the hedged asset or liability.

Derivatives are typically executed at the same time as the hedged item, and the Bank designates the hedged item in a qualifying hedge relationship as of the trade date. In many hedging relationships, the Bank may designate the hedging relationship upon its commitment to disburse an advance or trade a consolidated obligation in which settlement occurs within the shortest period of time possible for the type of instrument based on market settlement conventions. The Bank records the changes in the fair value of the derivatives and the hedged item beginning on the trade date.

Changes in the fair value of a derivative that qualifies as a fair value hedge and is designated as a fair value hedge, along with changes in the fair value of the hedged asset or liability (hedged item) that are attributable to the hedged risk (including changes that reflect losses or gains on firm commitments), are recorded in other income as “Net gain/(loss) on derivatives and hedging activities.”

Changes in the fair value of a derivative that qualifies as a cash flow hedge and is designated as a cash flow hedge, to the extent that the hedge is effective, are recorded in AOCI, a component of capital, until earnings are affected by the variability of the cash flows of the hedged transaction (until the periodic recognition of interest on a variable rate asset or liability is recorded in earnings).

For both fair value and cash flow hedges, any hedge ineffectiveness (which represents the amount by which the change in the fair value of the derivative differs from the change in the fair value of the hedged item or the variability in the cash flows of the forecasted transaction) is recorded in other income as “Net gain/(loss) on derivatives and hedging activities.”

Changes in the fair value of a derivative designated as an economic hedge or an intermediation hedge are recorded in current period earnings with no fair value adjustment to an asset or liability. An economic hedge is defined as a derivative hedging certain advances and consolidated obligation bonds for which the Bank elected the fair value option, or hedging specific or non-specific underlying assets, liabilities, or firm commitments, that does not qualify or was not designated for fair value or cash flow hedge accounting, but is an acceptable hedging strategy under the Bank's risk management program. These economic hedging strategies also comply with Finance Agency regulatory requirements prohibiting speculative hedge transactions. An economic hedge introduces the potential for earnings variability caused by the changes in fair value of the derivatives that are recorded in the Bank's income but are not offset by corresponding changes in the value of the economically hedged assets, liabilities, or firm commitments. The derivatives used in intermediary activities do not qualify for 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. Changes in the fair value of these non-qualifying hedges are recorded in other income as “Net gain/(loss) on derivatives and hedging activities.” In addition, the net settlements associated with these non-qualifying hedges are recorded in other income as “Net gain/(loss) on derivatives and hedging activities.” Cash flows associated with these stand-alone derivatives are reflected as cash flows from operating activities in the Statements of Cash Flows unless the derivative meets the criteria to be designated as a financing derivative.

The net settlements of interest receivables and payables on derivatives designated as fair value or cash flow hedges are recognized as adjustments to the interest income or interest expense of the designated underlying hedged item. The net settlements of interest receivables and payables on intermediated derivatives for members and other economic hedges are recognized in other income as “Net gain/(loss) on derivatives and hedging activities.”

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.

When hedge accounting is discontinued, the Bank either terminates the derivative or continues to carry the derivative on the Statements of Condition at its fair value, ceases to adjust the hedged asset or liability for changes in fair value, and amortizes the cumulative basis adjustment on the hedged item into earnings over the remaining life of the hedged item using a level-yield methodology.

When hedge accounting is discontinued because the Bank determines that the derivative no longer qualifies as an effective cash flow hedge of an existing hedged item, the Bank continues to carry the derivative on the Statements of Condition at its fair value and reclassifies the AOCI adjustment into earnings when earnings are affected by the existing hedged item (the original forecasted transaction).

Under limited circumstances, when the Bank discontinues cash flow hedge accounting because it is no longer probable that the forecasted transaction will occur by the end of the originally specified time period, or within the following two months, but it is probable the transaction will still occur in the future, the gain or loss on the derivative remains in AOCI and is recognized in earnings when the forecasted transaction affects earnings. However, if it is probable that a forecasted transaction will not occur by the end of the originally specified time period or within the following two months, the gains and losses that were recorded in AOCI are recognized immediately in earnings.

When hedge accounting is discontinued because the hedged item no longer meets the definition of a firm commitment, the Bank continues to carry the derivative on the Statements of Condition at its fair value, removing from the Statements of Condition any asset or liability that was recorded to recognize the firm commitment and recording it as a gain or loss in current period earnings.

The Bank may be the primary obligor on consolidated obligations and may make advances in which derivative instruments are embedded. Upon execution of these transactions, the Bank assesses whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the advance or debt (the host contract) and whether a separate, non-embedded instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. When it is determined that: (i) the embedded derivative has economic characteristics that are not clearly and closely related to the economic characteristics of the host contract, and (ii) a separate, stand-alone instrument with the same terms would qualify as a derivative instrument, the embedded derivative is separated from the host contract, carried at fair value, and designated as a stand-alone derivative instrument equivalent to an economic hedge. However, the entire contract is carried on the Statements of Condition at fair value and no portion of the contract is designated as a hedging instrument if the entire contract (the host contract and the embedded derivative) is to be measured at fair value, with changes in fair value reported in current period earnings (such as an investment security classified as trading, as well as hybrid financial instruments that are eligible for the fair value option), or if the Bank cannot reliably identify and measure the embedded derivative for purposes of separating the derivative from its host contract.

Premises, Software, and Equipment. The Bank records premises, software, and equipment at cost less accumulated depreciation and amortization.The Bank's accumulated depreciation and amortization related to premises, software, and equipment totaled $52 and $67 at December 31, 2015 and 2014, respectively. Improvements and major renewals are capitalized; ordinary maintenance and repairs are expensed as incurred. Depreciation is computed on the straight-line method over the estimated useful lives of assets ranging from 3 to 10 years, and leasehold improvements are amortized on the straight-line method over the estimated useful life of the improvement or the remaining term of the lease, whichever is shorter. Depreciation and amortization expense was $8 for 2015, $9 for 2014, and $9 for 2013. The Bank includes gains and losses on disposal of premises, software, and equipment in other income. The net realized gain on disposal of premises, software, and equipment, primarily related to the 1999 sale of the Bank's building, was $1, $1, and $1 in 2015, 2014, and 2013, respectively.

The cost of computer software developed or obtained for internal use is capitalized and depreciated over future periods. At December 31, 2015 and 2014, the Bank had $18 and $20 in unamortized computer software costs respectively. Depreciation of computer software costs charged to expense was $6, $7, and $7 in 2015, 2014, and 2013, respectively.

Consolidated Obligations. Consolidated obligations are recorded at amortized cost unless the Bank has elected the fair value option, in which case the consolidated obligations are carried at fair value.

Concessions on Consolidated Obligations. Concessions are paid to dealers in connection with the issuance of consolidated obligations for which the Bank is the primary obligor. The amount of the concession is allocated to the Bank by the Office of Finance based on the percentage of the debt issued for which the Bank is the primary obligor. Concessions paid on consolidated obligations designated under the fair value option are expensed as incurred. Concessions paid on consolidated obligations not designated under the fair value option are deferred and amortized to expense using the level-yield method over the remaining contractual life or on a retrospective basis over the estimated life of the consolidated obligations. Unamortized concessions were $9 and $12 at December 31, 2015 and 2014, respectively, and are included in “Other assets.” Amortization of concessions is included in consolidated obligation interest expense and totaled $7, $6, and $7, in 2015, 2014, and 2013, respectively.

Discounts and Premiums on Consolidated Obligations. The discounts on consolidated obligation discount notes for which the Bank is the primary obligor are amortized to expense using the level-yield method over the term to maturity. The discounts and premiums on consolidated obligation bonds for which the Bank is the primary obligor are amortized to expense using the level-yield method over the remaining contractual life or on a retrospective basis over the estimated life of the consolidated obligation bonds.

Mandatorily Redeemable Capital Stock. The Bank reclassifies the capital stock subject to redemption from capital to a liability after a member provides the Bank with a written notice of redemption; gives notice of intention to withdraw from membership; or attains nonmember status by merger or acquisition, charter termination, or other involuntary membership termination; or after a receiver or other liquidating agent for a member transfers the member's Bank capital stock to a nonmember entity, resulting in the member's shares then meeting the definition of a mandatorily redeemable financial instrument. Shares meeting this definition are reclassified to a liability at fair value. Dividends declared on shares classified as a liability are accrued at the expected dividend rate and reflected as interest expense in the Statements of Income. The repayment of these mandatorily redeemable financial instruments (by repurchase or redemption of the shares) is reflected as a financing cash outflow in the Statements of Cash Flows once settled. See Note 15 – Capital for more information.

If a member cancels its written notice of redemption or notice of withdrawal or if the Bank allows the transfer of mandatorily redeemable capital stock to a member, the Bank reclassifies mandatorily redeemable capital stock from a liability to capital. After the reclassification, dividends on the capital stock are no longer classified as interest expense.

Finance Agency Expenses. The FHLBanks fund a portion of the costs of operating the Finance Agency, and each FHLBank is assessed a proportionate share of those costs. The Finance Agency allocates its expenses and working capital fund among the FHLBanks based on the ratio between each FHLBank's minimum required regulatory capital and the aggregate minimum required regulatory capital of all the FHLBanks.

Office of Finance Expenses. Each FHLBank is assessed a proportionate share of the cost of operating the Office of Finance, which facilitates the issuance and servicing of consolidated obligations. The Office of Finance allocates its operating and capital expenditures among the FHLBanks as follows: (1) two-thirds of the assessment is based on each FHLBank's share of total consolidated obligations outstanding, and (2) one-third of the assessment is based on an equal pro rata allocation.

Affordable Housing Program. As more fully discussed in Note 13 – Affordable Housing Program, the FHLBank Act requires each FHLBank to establish and fund an Affordable Housing Program (AHP). The Bank charges the required funding for the AHP to earnings and establishes a liability. The AHP funds provide subsidies to members to assist in the purchase, construction, or rehabilitation of housing for very low-, low-, and moderate-income households. Subsidies may be in the form of direct grants or below-market interest rate advances.

Gains on Litigation Settlements, Net. Litigation settlement gains, net of related legal expenses, are recorded in Other Income/(Loss) in “Gains on litigation settlements, net” in the Statements of Income. A litigation settlement gain is considered realized and recorded when the Bank receives cash or assets that are readily convertible to known amounts of cash or claims to cash. In addition, a litigation settlement gain is considered realizable and recorded when the Bank enters into a signed agreement that is not subject to appeal, where the counterparty has the ability to pay, and the amount to be received can be reasonably estimated. Prior to being realized or realizable, the Bank considers potential litigation settlement gains to be gain contingencies, and therefore they are not recorded in the Statements of Income. The related legal expenses are contingent-based fees and are only incurred and recorded upon a litigation settlement gain.

XML

Recently Issued and Adopted Accounting Guidance

12 Months Ended

Dec. 31, 2015

New Accounting Pronouncements and Changes in Accounting Principles [Abstract]

Recently Issued and Adopted Accounting Guidance

Recently Issued and Adopted Accounting Guidance

Recognition of Lease Assets and Lease Liabilities. On February 25, 2016, the Financial Accounting Standards Board (FASB) issued guidance that requires recognition of lease assets and lease liabilities on the Statements of Condition and disclosure of key information about leasing arrangements. In particular, this guidance requires a lessee of operating or finance leases to recognize on the Statements of Condition a liability to make lease payments and a right-of-use asset representing its right to use the underlying asset for the lease term. However, for leases with a term of 12 months or less, a lessee is permitted to make an accounting policy election not to recognize lease

assets and lease liabilities. Under previous GAAP, a lessee was not required to recognize lease assets and lease liabilities arising from operating leases on the Statements of Condition. While this guidance does not fundamentally change lessor accounting, some changes have been made to align that guidance with the lessee guidance and other areas within GAAP.

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

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

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

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

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

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

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

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

Simplifying the Presentation of Debt Issuance Costs. On April 7, 2015, the FASB issued guidance to simplify the presentation of debt issuance costs. This guidance requires that debt issuance costs related to a recognized debt liability be presented on the Statements of Condition as a direct deduction from the carrying amount of that debt liability, consistent with the presentation of debt discounts. The adoption of this guidance will result in a reclassification of unamortized debt issuance costs from other assets to consolidated obligations on the Bank’s Statements of Condition. This guidance became effective for the Bank for the interim and annual periods beginning after December 15, 2015, and was adopted retrospectively. Upon adoption of this guidance on January 1, 2016, the retrospective impact to the Bank’s Statements of Condition was a decrease of $9 and $12 to other assets and to consolidated obligations as of December 31, 2015, and December 31, 2014, respectively. The adoption of this guidance did not have an impact on the Bank’s results of operations or cash flows.

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

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

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

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

This guidance became effective for the Bank for interim and annual periods beginning after December 15, 2015. The adoption of this guidance did not affect the Bank’s financial condition, results of operations, or cash flows.

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

Classification of Certain Government-Guaranteed Mortgage Loans upon Foreclosure.On August 8, 2014, the FASB issued amended guidance relating to the classification and measurement of certain government-guaranteed mortgage loans upon foreclosure. The amendments in this guidance require that a mortgage loan be derecognized and that a separate other receivable be recognized upon foreclosure if certain conditions are met. This guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2015, and was adopted prospectively. The adoption of this guidance did not affect the Bank’s financial condition, results of operations, or cash flows.

Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures.On June 12, 2014, the FASB issued amended guidance for repurchase-to-maturity transactions and repurchase agreements executed as repurchase financings. Specifically, this guidance requires entities to account for (1) repurchase-to-maturity transactions as secured borrowings rather than as sales with forward repurchase agreements; and (2) repurchase agreements executed contemporaneously with the initial transfer of the underlying financial asset with the same counterparty as separate transactions only. In addition, this guidance requires a transferor to disclose additional information about certain transactions, including those in which it retains substantially all of the exposure to the economic returns of the underlying transferred asset over the transaction’s term. This guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2015. The changes in accounting for transactions outstanding on the effective date are required to be presented on a cumulative-effect basis. The adoption of this guidance did not affect the Bank’s financial condition, results of operations, or cash flows.

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

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

On August 12, 2015, the FASB issued an amendment to defer the effective date of the guidance issued in May 2014 by one year. The guidance is effective for the Bank for interim and annual periods beginning after December 15, 2017. Early application is permitted only as of the interim and annual reporting periods beginning after December 15, 2016.

Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure. On January 17, 2014, theFASB issued guidance clarifying when consumer mortgage loans collateralized by real estate should be reclassified to REO. Specifically, these collateralized mortgage loans should be reclassified to REO when either the creditor obtains legal title to the residential real estate property upon completion of a foreclosure or the borrower conveys all interest in the residential real estate property to the creditor to satisfy the loan through completion of a deed in lieu of foreclosure or through a similar legal agreement. The guidance became effective for interim and annual periods beginning on January 1, 2015, and was adopted prospectively. The adoption of this guidance did not affect the Bank’s financial condition, results of operations, or cash flows.

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 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). The guidance establishes a standard and uniform methodology for classifying loans, other real estate owned, and certain other assets (excluding investment securities) and prescribes the timing of asset charge-offs based on these classifications. The guidance is generally consistent with the Uniform Retail Credit Classification and Account Management Policy issued by the federal banking regulators in June 2000. The Bank implemented the asset classification provisions as of January 1, 2014, and this adoption did not have any impact on the Bank’s financial condition, results of operations, or cash flows. The charge-off provisions were implemented on January 1, 2015, and resulted in a $1 charge-off to the Bank’s allowance for credit losses on the mortgage loan portfolio. The adoption of these charge-off provisions did not have a material effect on the Bank’s financial condition, results of operations, or cash flows.

XML

Cash and Due from Banks

12 Months Ended

Dec. 31, 2015

Cash and Due from Banks [Abstract]

Cash and Cash Equivalents Disclosure [Text Block]

Cash and Due from Banks

Cash on hand, cash items in the process of collection, and amounts due from correspondent banks and the Federal Reserve Bank are included in Cash and due from banks on the Statements of Condition.

Cash and due from banks includes certain compensating balances, wherethe Bank maintains collected cash balances with commercial banks in consideration for certain services. There are no legal restrictions under these agreements on the withdrawal of these funds. The average collected cash balances were approximately $41 for 2015 and $2 for 2014.

XML

Trading Securities

12 Months Ended

Dec. 31, 2015

Trading Securities [Abstract]

Trading Securities

Trading Securities

The estimated fair value of trading securities as of December 31, 2015 and 2014, was as follows:

	2015		2014
Government-Sponsored Enterprises (GSEs) – Federal Farm Credit Bank (FFCB) bonds	$	1,424	$	3,513
MBS – Other U.S. obligations – Ginnie Mae	9		11
Total	$	1,433	$	3,524

The net unrealized gain/(loss) on trading securities was $(2), $(1), and $2 for the years ended December 31, 2015, 2014, and 2013, respectively. These amounts represent the changes in the fair value of the securities during the reported periods.

XML

Available-for-Sale Securities

12 Months Ended

Dec. 31, 2015

Available-for-sale Securities [Abstract]

Available-for-Sale Securities

Available-for-Sale Securities

Available-for-sale (AFS) securities by major security type as of December 31, 2015 and 2014, were as follows:

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

December 31, 2014
	Amortized Cost(1)		OTTI Recognized in AOCI			Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value
PLRMBS:
Prime	$	565	$	(4	)	$	31	$	—		$	592
Alt-A, option ARM	1,031		(43		)	77		—			1,065
Alt-A, other	4,687		(145		)	174		(2		)	4,714
Total	$	6,283	$	(192	)	$	282	$	(2	)	$	6,371

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

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

At December 31, 2015, the amortized cost of the Bank’s PLRMBS classified as AFS included credit-related OTTI of $1,023. At December 31, 2014, the amortized cost of the Bank’s PLRMBS classified as AFS included credit-related OTTI of $1,173.

The following table summarizes the AFS securities with unrealized losses as of December 31, 2015 and 2014. The unrealized losses are aggregated by major security type and the length of time that individual securities have been in a continuous unrealized loss position. Total unrealized losses in the following table will not agree to total gross unrealized losses in the table above. The unrealized losses in the following table also include non-credit-related OTTI losses recognized in AOCI. For OTTI analysis of AFS securities, see Note 7 – Other-Than-Temporary Impairment Analysis.

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

December 31, 2014
	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	$	71	$	3	$	36	$	1	$	107	$	4
Alt-A, option ARM	—		—		580		43		580		43
Alt-A, other	403		12		1,682		135		2,085		147
Total	$	474	$	15	$	2,298	$	179	$	2,772	$	194

As indicated in the tables above, as of December 31, 2015, the Bank’s investments classified as AFS had unrealized losses related to PLRMBS, which were primarily due to illiquidity in the PLRMBS 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 discounts to their acquisition cost.

Interest Rate Payment Terms. Interest rate payment terms for AFS securities at December 31, 2015 and 2014, are shown in the following table:

	2015		2014
Amortized cost of AFS PLRMBS:
Collateralized mortgage obligations:
Fixed rate	$	1,540	$	1,917
Adjustable rate	3,831		4,366
Total	$	5,371	$	6,283

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:

	2015		2014
Collateralized mortgage obligations:
Converts in 1 year or less	$	102	$	71
Converts after 1 year through 5 years	99		226
Total	$	201	$	297

See Note 7 – Other-Than-Temporary Impairment Analysis for information on the transfers of securities between the AFS portfolio and the HTM portfolio.

XML

Held-to-Maturity Securities

12 Months Ended

Dec. 31, 2015

Held-to-maturity Securities, Unclassified [Abstract]

Held-to-maturity Securities

Held-to-Maturity Securities

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

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

December 31, 2014
	Amortized Cost(1)		OTTI Recognized in AOCI(1)			Carrying Value(1)		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses			Estimated Fair Value
Housing finance agency bonds:
California Housing Finance Agency (CalHFA) bonds	$	328	$	—		$	328	$	—	$	(45	)	$	283
MBS:
Other U.S. obligations – Ginnie Mae	1,513		—			1,513		15		(2		)	1,526
GSEs:
Freddie Mac	4,517		—			4,517		61		(12		)	4,566
Fannie Mae	5,313		—			5,313		121		(6		)	5,428
Subtotal GSEs	9,830		—			9,830		182		(18		)	9,994
PLRMBS:
Prime	1,133		—			1,133		1		(27		)	1,107
Alt-A, option ARM	14		—			14		—		(1		)	13
Alt-A, other	753		(20		)	733		19		(18		)	734
Subtotal PLRMBS	1,900		(20		)	1,880		20		(46		)	1,854
Total MBS	13,243		(20		)	13,223		217		(66		)	13,374
Total	$	13,571	$	(20	)	$	13,551	$	217	$	(111	)	$	13,657

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

At December 31, 2015, the amortized cost of the Bank’s MBS classified as HTM included premiums of $39, discounts of $42, and credit-related OTTI of $8. At December 31, 2014, the amortized cost of the Bank’s MBS classified as HTM included premiums of $51, discounts of $55, and credit-related OTTI of $7.

The following tables summarize the HTM securities with unrealized losses as of December 31, 2015 and 2014. The unrealized losses are aggregated by major security type and the length of time that individual securities have been in a continuous unrealized loss position. Total unrealized losses in the following table will not agree to the total gross unrecognized holding losses in the table above. The unrealized losses in the following table also include non-credit-related OTTI losses recognized in AOCI. For OTTI analysis of HTM securities, see Note 7 – Other-Than-Temporary Impairment Analysis.

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

December 31, 2014
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
Housing finance agency bonds:
CalHFA bonds	$	—	$	—	$	283	$	45	$	283	$	45
MBS:
Other U.S. obligations – Ginnie Mae	131		—		94		2		225		2
GSEs:
Freddie Mac	622		1		1,044		11		1,666		12
Fannie Mae	286		1		562		5		848		6
Subtotal GSEs	908		2		1,606		16		2,514		18
PLRMBS:
Prime	264		2		682		25		946		27
Alt-A, option ARM	—		—		13		1		13		1
Alt-A, other	30		—		685		38		715		38
Subtotal PLRMBS	294		2		1,380		64		1,674		66
Total MBS	1,333		4		3,080		82		4,413		86
Total	$	1,333	$	4	$	3,363	$	127	$	4,696	$	131

As indicated in the tables above, the Bank’s investments classified as HTM had unrealized losses primarily related to CalHFA bonds and MBS. The unrealized losses associated with the CalHFA bonds were mainly due to an illiquid market, credit concerns regarding the underlying mortgage collateral, and credit concerns regarding the monoline insurance providers, causing these investments to be valued at a discount to their acquisition cost. For its agency MBS, the Bank expects to recover the entire amortized cost basis of these securities because the Bank determined that the strength of the issuers’ guarantees through direct obligations or support from the U.S. government is sufficient to protect the Bank from losses. The unrealized losses associated with the PLRMBS were primarily due to illiquidity in the PLRMBS market, 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 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 December 31, 2015 and 2014, 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.

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

December 31, 2014
Year of Contractual Maturity	Amortized Cost(1)		Carrying Value(1)		Estimated Fair Value
HTM securities other than MBS:
Due after 5 years through 10 years	$	78	$	78	$	70
Due after 10 years	250		250		213
Subtotal	328		328		283
MBS	13,243		13,223		13,374
Total	$	13,571	$	13,551	$	13,657

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

Interest Rate Payment Terms. Interest rate payment terms for HTM securities at December 31, 2015 and 2014, are detailed in the following table:

	2015		2014
Amortized cost of HTM securities other than MBS:
Adjustable rate	$	275	$	328
Subtotal	275		328
Amortized cost of HTM MBS:
Passthrough securities:
Fixed rate	146		285
Adjustable rate	416		415
Collateralized mortgage obligations:
Fixed rate	7,224		9,249
Adjustable rate	2,755		3,294
Subtotal	10,541		13,243
Total	$	10,816	$	13,571

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:

	2015		2014
Passthrough securities:
Converts in 1 year or less	$	22	$	79
Converts after 1 year through 5 years	119		140
Converts after 5 years through 10 years	—		59
Total	$	141	$	278
Collateralized mortgage obligations:
Converts in 1 year or less	$	7	$	73
Converts after 1 year through 5 years	13		26
Total	$	20	$	99

See Note 7 – Other-Than-Temporary Impairment Analysis for information on the transfers of securities between the AFS portfolio and the HTM portfolio.

XML

Other-Than-Temporary Impairment Analysis

12 Months Ended

Dec. 31, 2015

Other than Temporary Impairment Losses, Investments [Abstract]

Other-than-Temporary Impairment Analysis

Other-Than-Temporary Impairment Analysis

On a quarterly basis, the Bank evaluates its individual AFS and HTM investment securities in an unrealized loss position for OTTI.

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 December 31, 2015, using two third-party models. The first model projects prepayments, default rates, and loss severities on the underlying loan collateral based on borrower characteristics and the particular attributes of the loans underlying the Bank’s securities, in conjunction with assumptions related primarily to future changes in housing prices and interest rates. A significant input to the first model is the forecast of future housing price changes for the relevant states and core-based statistical areas (CBSAs), which are based on an assessment of the regional housing markets. CBSA refers collectively to metropolitan and micropolitan statistical areas as defined by the U.S. Office of Management and Budget. As currently defined, a CBSA must contain at least one urban area with a population of 10,000 or more people.

The OTTI Governance Committee of the Federal Home Loan Banks (FHLBanks) developed a short-term housing price forecast with projected changes ranging from a decrease of 3.0% to an increase of 8.0% over the 12-month period beginning October 1, 2015. For the vast majority of markets, the projected short-term housing price changes range from an increase of 2.0% to an increase of 5.0%. Thereafter, a unique path is projected for each geographic area based on an internally developed framework derived from historical data.

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

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, the one-month London Interbank Offered Rate (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 rates of the index change 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 the PLRMBS in its AFS and HTM portfolios, the Bank does not intend to sell any security and it is not more likely than not that the Bank will be required to sell any security before its anticipated recovery of the remaining amortized cost basis.

For securities determined to be other-than-temporarily impaired as of December 31, 2015 (securities for which the Bank determined that it does not expect to recover the entire amortized cost basis), the following table presents a summary of the significant inputs used in measuring the amount of credit loss recognized in earnings during the year ended December 31, 2015, and the related current credit enhancement for the Bank.

December 31, 2015
	Significant Inputs for Other-Than-Temporarily Impaired PLRMBS			Current
	Prepayment Rates	Default Rates	Loss Severities	Credit Enhancement
Year of Securitization	Weighted Average % (1)	Weighted Average % (1)	Weighted Average % (1)	Weighted Average % (1)
Prime
2007	13.2	3.7	20.8	19.2
2006	13.1	18.1	32.5	—
Total Prime	13.2	3.8	20.9	19.0
Alt-A, option ARM
2006	5.7	39.9	39.2	6.1
2005	7.4	11.1	32.5	29.4
Total Alt-A, option ARM	5.9	35.9	38.2	9.3
Alt-A, other
2007	11.3	24.7	34.8	10.3
2006	10.2	26.5	38.7	19.6
2005	13.3	14.9	36.9	5.8
2004 and earlier	17.3	7.1	30.7	13.3
Total Alt-A, other	12.2	20.0	36.4	10.8
Total	11.7	21.0	36.3	10.8

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

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

The following table presents the credit-related OTTI, which is recognized in earnings, for the years ended December 31, 2015, 2014, and 2013.

	2015			2014			2013
Balance, beginning of the period	$	1,314		$	1,378		$	1,397
Additional charges on securities for which OTTI was previously recognized(1)	15			4			7
Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities(2)	(74		)	(68		)	(26		)
Balance, end of the period	$	1,255		$	1,314		$	1,378

(1) For the year ended December 31, 2015, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2015. For the year ended December 31, 2014, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2014. For the year ended December 31, 2013, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2013.

(2) The total accretion or amortization associated with other-than-temporarily impaired PLRMBS (amount recognized in interest income) totaled $82, $66, and $20 for the years ended December 31, 2015, 2014, and 2013, respectively.

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

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

The following table summarizes the PLRMBS transferred from the Bank’s HTM portfolio to its AFS portfolio during the year ended December 31, 2015. The amounts shown represent the values when the securities were transferred from the HTM portfolio to the AFS portfolio. The Bank did not transfer any PLRMBS from its HTM portfolio to its AFS portfolio during the year ended December 31, 2014.

	2015
	Amortized Cost		OTTI Recognized in AOCI			Gross Unrecognized Holding Gains (Losses)		Estimated Fair Value
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
Prime	$	4	$	—		$	—	$	4
Alt-A, option ARM	12		(1		)	—		11
Total	$	16	$	(1	)	$	—	$	15

The following tables present the Bank’s AFS and HTM PLRMBS that incurred OTTI losses anytime during the life of the securities at December 31, 2015 and 2014, by loan collateral type:

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

December 31, 2014
	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	$	682	$	565	$	592	$	—	$	—	$	—	$	—
Alt-A, option ARM	1,391		1,031		1,065		—		—		—		—
Alt-A, other	5,374		4,687		4,714		132		128		108		127
Total	$	7,447	$	6,283	$	6,371	$	132	$	128	$	108	$	127

For the Bank’s PLRMBS that were not other-than-temporarily impaired as of December 31, 2015, the Bank has experienced net unrealized losses primarily because of illiquidity in the PLRMBS 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 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 December 31, 2015, all of the gross unrealized losses on these PLRMBS are temporary. These securities were included in the securities that the Bank reviewed and analyzed for OTTI as discussed above, and the analyses performed indicated that these securities were not other-than-temporarily impaired.

All Other Available-for-Sale and Held-to-Maturity Investments. For the Bank’s investments in housing finance agency bonds, which were issued by CalHFA, the gross unrealized losses were mainly due to an illiquid market, credit concerns regarding the underlying mortgage collateral, and credit concerns regarding the monoline insurance providers, causing these investments to be valued at a discount to their acquisition cost. The Bank independently modeled cash flows for the underlying collateral, using assumptions for default rates and loss severity that a market participant would deem reasonable, and concluded that the available credit support within the CalHFA structure more than offset the projected underlying collateral losses. The Bank determined that, as of December 31, 2015, 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 December 31, 2015, all of the gross unrealized losses on its agency MBS are temporary.

XML

Advances

12 Months Ended

Dec. 31, 2015

Federal Home Loan Banks [Abstract]

Advances

Advances

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

Redemption Terms. The Bank had advances outstanding, excluding overdrawn demand deposit accounts, at interest rates ranging from 0.25% to 8.57% at December 31, 2015, and 0.14% to 8.57% at December 31, 2014, as summarized below.

	2015				2014
Contractual Maturity	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding		Weighted Average Interest Rate
Within 1 year	$	24,807	0.59	%	$	21,328	0.63	%
After 1 year through 2 years	4,252		1.19		7,597		1.07
After 2 years through 3 years	6,208		1.19		3,235		1.39
After 3 years through 4 years	6,877		0.89		3,216		1.65
After 4 years through 5 years	2,022		1.11		1,655		1.82
After 5 years	6,675		1.11		1,799		2.81
Total par value	50,841		0.84	%	38,830		1.02	%
Valuation adjustments for hedging activities	40				67
Valuation adjustments under fair value option	38				89
Total	$	50,919			$	38,986

Many of the Bank’s advances are prepayable at the borrower’s option. However, when advances are prepaid, the borrower is generally charged a prepayment fee intended to make the Bank financially indifferent to the prepayment. In addition, for certain advances with partial prepayment symmetry, the Bank may charge the borrower a prepayment fee or pay the borrower a prepayment credit depending on certain circumstances, such as movements in interest rates, when the advance is prepaid. The Bank had advances with partial prepayment symmetry outstanding totaling $3,510 at December 31, 2015, and $4,915 at December 31, 2014. Some advances may be repaid on pertinent call dates without prepayment fees (callable advances). The Bank had callable advances outstanding totaling $15,425 at December 31, 2015, and $328 at December 31, 2014.

The Bank’s advances at December 31, 2015 and 2014, included $140 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 December 31, 2015 and 2014, 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
	2015		2014		2015		2014
Within 1 year	$	25,983	$	21,460	$	24,947	$	21,468
After 1 year through 2 years	6,124		7,693		4,152		7,597
After 2 years through 3 years	8,432		3,258		6,168		3,135
After 3 years through 4 years	3,173		3,291		6,877		3,176
After 4 years through 5 years	5,706		1,646		2,022		1,655
After 5 years	1,423		1,482		6,675		1,799
Total par value	$	50,841	$	38,830	$	50,841	$	38,830

Credit and Concentration Risk. The following tables present the concentration in advances to the top five borrowers and their affiliates at December 31, 2015 and 2014. The tables also present the interest income from

these advances before the impact of interest rate exchange agreements associated with these advances for the years ended December 31, 2015 and 2014.

December 31, 2015
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
JPMorgan Chase Bank, National Association(2)(3)	$	14,813	29	%	$	65	16	%
Bank of the West	6,791		13		27		7
First Republic Bank	4,000		8		75		19
CIT Bank, National Association(4)	3,113		6		19		5
Citigroup Inc
Citibank, N.A.(2)	3,000		6		5		1
Banamex USA	—		—		—		—
Subtotal Citigroup Inc	3,000		6		5		1
Subtotal	31,717		62		191		48
Others	19,124		38		207		52
Total par value	$	50,841	100	%	$	398	100	%

December 31, 2014
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
Bank of the West	$	5,484	14	%	$	29	7	%
First Republic Bank	5,275		13		86		20
JPMorgan Chase & Co.:
JPMorgan Bank & Trust Company, National Association(3)	3,000		8		54		13
JPMorgan Chase Bank, National Association(2)	819		2		7		2
Subtotal JPMorgan Chase & Co.	3,819		10		61		15
Bank of America California, N.A.	3,500		9		18		4
OneWest Bank, N.A.(4)	3,364		9		28		6
Subtotal	21,442		55		222		52
Others	17,388		45		209		48
Total par value	$	38,830	100	%	$	431	100	%

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

(2) Nonmember institution.

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

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

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

For information related to the Bank’s credit risk on advances and allowance methodology for credit losses, see Note 10 – Allowance for Credit Losses.

Interest Rate Payment Terms. Interest rate payment terms for advances at December 31, 2015 and 2014, are detailed below:

	2015		2014
Par value of advances:
Fixed rate:
Due within 1 year	$	13,073	$	15,422
Due after 1 year	9,381		12,330
Total fixed rate	22,454		27,752
Adjustable rate:
Due within 1 year	11,734		5,906
Due after 1 year	16,653		5,172
Total adjustable rate	28,387		11,078
Total par value	$	50,841	$	38,830

The Bank may use derivatives to adjust the repricing and options characteristics of advances to more closely match the characteristics of the Bank’s funding liabilities. In general, whenever a member executes a fixed or variable rate advance with embedded options, the Bank will simultaneously execute an interest rate exchange agreement with terms that offset the terms and embedded options in the advance. The combination of the advance and the interest rate exchange agreement effectively creates a variable rate asset. This type of hedge relationship receives fair value option accounting treatment. In addition, for certain advances for which the Bank has elected the fair value option, the Bank will simultaneously execute an interest rate exchange agreement with terms that economically offset the terms of the advance. However, this type of hedge is treated as an economic hedge because these combinations generally do not meet the requirements for fair value hedge accounting treatment. For more information, see Note 18 – Derivatives and Hedging Activities and Note 19 – Fair Value.

The Bank did not have any advances with embedded features that met the requirements to separate the embedded feature from the host contract and designate the embedded feature as a stand-alone derivative at December 31, 2015 or 2014. The Bank has generally elected to account for certain advances with embedded features under the fair value option, and these advances are carried at fair value on the Statements of Condition. For more information, see Note 19 – Fair Value.

Prepayment Fees, Net. The Bank charges borrowers prepayment fees or pays borrowers prepayment credits when the principal on certain advances is paid prior to original maturity. The Bank records prepayment fees net of any associated fair value adjustments related to prepaid advances that were hedged. The net amount of prepayment fees is reflected as interest income in the Statements of Income for the years ended December 31, 2015, 2014, and 2013,

as follows:

	2015			2014			2013
Prepayment fees received	$	28		$	16		$	14
Fair value adjustments	(20		)	(10		)	(9		)
Net	$	8		$	6		$	5
Advance principal prepaid	$	2,229		$	1,650		$	365

XML

Mortgage Loans Held for Portfolio

12 Months Ended

Dec. 31, 2015

Mortgage Loans on Real Estate [Abstract]

Mortgage Loans Held for Portfolio

Mortgage Loans Held for Portfolio

Under the Mortgage Partnership Finance® (MPF®) Program, the Bank may purchase from members, for its own portfolio, conventional conforming fixed rate mortgage loans under the MPF Original product and FHA-insured or VA-guaranteed mortgage loans under the MPF Government product. In addition, the Bank may facilitate the purchase of conforming fixed rate mortgage loans from members for concurrent sale to Fannie Mae under the MPF Xtra® product and of jumbo fixed rate mortgage loans for concurrent sale to Redwood Residential Acquisition Corporation, a subsidiary of Redwood Trust, Inc., a real estate investment trust, under the MPF Direct product. As of December 31, 2015, the Bank had approved ten members as participating financial institutions since renewing its participation in the MPF Program in 2013.

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

The following table presents information as of December 31, 2015 and 2014, on mortgage loans, all of which are secured by one- to four-unit residential properties and single-unit second homes.

	2015			2014
Fixed rate medium-term mortgage loans	$	100		$	160
Fixed rate long-term mortgage loans	553			553
Subtotal	653			713
Unamortized premiums	10			6
Unamortized discounts	(8		)	(10		)
Mortgage loans held for portfolio	655			709
Less: Allowance for credit losses	—			(1		)
Total mortgage loans held for portfolio, net	$	655		$	708

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

The participating financial institution and the Bank share the risk of credit losses on conventional MPF loan products by structuring potential losses on conventional MPF loans into layers with respect to each master commitment. After any primary mortgage insurance, the Bank is obligated to incur the first layer or portion of credit losses not absorbed by the liquidation value of the real property securing the loan. Under the MPF Program, the participating financial institution’s credit enhancement protection consists of the credit enhancement amount, which may be a direct obligation of the participating financial institution or may be a supplemental mortgage insurance policy paid for by the participating financial institution, and may include a contingent performance-based credit enhancement fee payable to the participating financial institution. The participating financial institution is required to pledge collateral to secure any portion of its credit enhancement amount that is a direct obligation.

For taking on the credit enhancement obligation, the Bank pays the participating financial institution or any successor a credit enhancement fee, which is calculated on the remaining unpaid principal balance of the mortgage loans. The Bank records credit enhancement fees as a reduction to interest income. The Bank reduced net interest income for credit enhancement fees totaling a de minimisamountin 2015, $1 in 2014, and $1 in 2013.

For information related to the Bank’s credit risk on mortgage loans and allowance methodology for credit losses, see Note 10 – Allowance for Credit Losses.

XML

Allowance for Credit Losses

12 Months Ended

Dec. 31, 2015

Loans and Leases Receivable, Allowance [Abstract]

Allowance for Credit Losses

Allowance for Credit Losses

An allowance for credit losses is a valuation allowance separately established for each identified portfolio segment, if it is probable that impairment has occurred in the Bank's portfolio as of the Statements of Condition date and the amount of loss can be reasonably estimated. To the extent necessary, an allowance for credit losses for off-balance sheet credit exposures is recorded as a liability.

Portfolio Segments.A portfolio segment is defined as the level at which an entity develops and documents a systematic method for determining its allowance for credit losses. The Bank has developed and documented a systematic methodology for determining an allowance for credit losses for each of the following portfolio segments:

• advances, letters of credit, and other extensions of credit, collectively referred to as “credit products,”

• MPF loans held for portfolio,

• term securities purchased under agreements to resell, and

• term Federal funds sold.

Classes of Financing Receivables.Classes of financing receivables generally are a disaggregation of a portfolio segment to the extent needed to understand the exposure to credit risk arising from these financing receivables. The Bank determined that no further disaggregation of the portfolio segments identified above is needed because the credit risk arising from these financing receivables is assessed and measured by the Bank at the portfolio segment level.

Credit Products. The Bank lends to member financial institutions that have a principal place of business in Arizona, California, or Nevada. Under the 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 capital stock of the Bank owned by each borrowing member is pledged as additional collateral for the member's indebtedness to the Bank. 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 Housing and Economic Recovery Act of 2008 (Housing Act) added secured loans for community development activities as collateral that the Bank may accept from community financial institutions. In addition, the Bank has advances outstanding to former members and member successors, which are also subject to these security terms.

The Bank requires each borrowing member to execute a written Advances and Security Agreement, which describes the lending relationship between the Bank and the borrower. At December 31, 2015 and 2014, the Bank had a perfected security interest in collateral pledged by each borrowing member, or by the member's affiliate on behalf of the member, and by each nonmember borrower, with an estimated value in excess of the outstanding credit products for that borrower. Based on the financial condition of the borrower, the Bank may either (i) allow the borrower or the pledging affiliate to retain physical possession of loan collateral pledged to the Bank, provided that the borrower or the pledging affiliate agrees to hold the collateral for the benefit of the Bank, or (ii) require the borrower or the pledging affiliate to deliver physical possession of loan collateral to the Bank or its custodial agent. All securities collateral is required to be delivered to the Bank's custodial agent. All loan collateral pledged to the Bank is subject to a UCC-1 financing statement.

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

The Bank classifies as impaired any advance with respect to which 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 future principal payments are no longer in doubt. No advances were classified as impaired during the periods presented.

The Bank manages its credit exposure related to credit products through an integrated approach that generally provides for a credit limit to be established for each borrower, includes an ongoing review of each borrower’s financial condition, and is coupled with conservative collateral and lending policies to limit the risk of loss while taking into account borrowers’ needs for a reliable funding source. At December 31, 2015 and 2014, 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 2015 and 2014.

Based on the collateral pledged as security for advances, the Bank’s credit analyses of borrowers’ financial condition, and the Bank’s credit extension and collateral policies as of December 31, 2015, the Bank expects to collect all amounts due according to the contractual terms. Therefore, no allowance for losses on credit products was deemed necessary by the Bank. The Bank has never experienced any credit losses on its credit products.

Nomember institutions were placed into receivership during 2015 or from January 1, 2016, to February 29, 2016.

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 to offset losses under the master commitment, or the collectability or availability of credit enhancement is deemed to be uncertain. 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 financial institution is reported 90 days or more past due or when the loan is in foreclosure. 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 December 31, 2015 and 2014.

	2015			2014
	Recorded Investment(1)			Recorded Investment(1)
30 – 59 days delinquent	$	10		$	12
60 – 89 days delinquent	5			5
90 days or more delinquent	18			22
Total past due	33			39
Total current loans	625			673
Total mortgage loans	$	658		$	712
In process of foreclosure, included above(2)	$	7		$	11
Nonaccrual loans	$	18		$	22
Loans past due 90 days or more and still accruing interest	$	—		$	—
Serious delinquencies as a percentage of total mortgage loans outstanding(3)	2.76		%	3.12		%

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

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

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

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 or

automated valuation models (AVMs) based on property characteristics as well as 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 collectively evaluated for

impairment considers loan pool-specific attribute data, applies estimated loss severities, and considers the

associated credit enhancements to determine the Bank's best estimate of probable incurred losses. The analysis

includes estimating projected cash flows that the Bank is likely to collect based on an assessment of all available

information, including prepayment speeds, default rates, and loss severity for the mortgage loans based on

underlying loan-level borrower and loan characteristics; expected housing price changes; and interest rate assumptions. In performing a detailed cash flow analysis, the Bank develops its best estimate of the cash flows

expected to be collected using a third-party model to project prepayments, default rates, and loss severities based on

borrower characteristics and the particular attributes of the mortgage loans, in conjunction with assumptions related

primarily to future changes in housing prices and interest rates. The assumptions used as inputs to the model,

including the forecast of future housing price changes, are consistent with assumptions used for the Bank's

evaluation of its PLRMBS for OTTI.

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

	2015			2014			2013
Balance, beginning of the period	$	1		$	2		$	3
(Charge-offs) /recoveries	(2		)	(1		)	—
Provision for/(reversal of) credit losses	1			—			(1		)
Balance, end of the period	$	—		$	1		$	2

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

	2015		2014
Allowance for credit losses, end of period:
Individually evaluated for impairment	$	—	$	1
Total allowance for credit losses	$	—	$	1
Recorded investment, end of period:
Individually evaluated for impairment	$	14	$	20
Collectively evaluated for impairment	644		692
Total recorded investment	$	658	$	712

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

	2015						2014
	Recorded Investment		Unpaid Principal Balance		Related Allowance		Recorded Investment		Unpaid Principal Balance		Related Allowance
With no related allowance	$	13	$	13	$	—	$	14	$	14	$	—
With an allowance	1		1		—		6		6		1
Total	$	14	$	14	$	—	$	20	$	20	$	1

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

	2015		2014
With no related allowance	$	15	$	17
With an allowance	1		7
Total	$	16	$	24

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

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

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

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

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

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

The Bank calculates its estimated allowance for credit losses on mortgage loans acquired under the MPF Original and MPF Plus products as described below. Effective January 1, 2015, the Bank implemented the accounting requirements of regulatory Advisory Bulletin 2012-02. As a result, for any mortgage loans that are more than 180 days past due and that have any outstanding balance in excess of the fair value of the property, less cost to sell, this excess is charged off as a loss by the end of the month in which the applicable time period elapses. Likewise, when a borrower is in bankruptcy, loans are written down to the fair value of the collateral, less cost to sell, in general within 60 days of receipt of the notification of filing from the bankruptcy court, unless it can be clearly demonstrated and documented that repayment is likely to occur. As a result of these charge-offs during 2015, corresponding Allowance for Credit Losses on MPF Loans, which had previously provided for most of these expected losses, was reduced accordingly.

Allowance for Credit Losses on MPF Loans –The Bank evaluates the allowance for credit losses on MPF mortgage loans based on two components. The first component applies to each individual loan that is specifically identified as impaired. The Bank evaluates the exposure on these loans by considering the first layer of loss protection (the liquidation value of the real property securing the loan) and the availability and collectability of credit enhancements under the terms of each master commitment and records a provision for credit losses. For this component, the Bank established a de minimis allowance for credit losses for MPF Original loans as of December 31, 2015 and 2014. For MPF Plus loans, the Bank established an allowance for credit losses totaling a de minimis amount as of December 31, 2015, and $1 as of December 31, 2014.

The second component applies to loans that are not specifically identified as impaired and is based on the Bank’s estimate of probable credit losses on those loans as of the financial statement date. The Bank evaluates the credit loss exposure on a loan pool basis considering various observable data, such as delinquency statistics, past performance, current performance, loan portfolio characteristics, collateral valuations, industry data, and prevailing economic conditions. The Bank also considers the availability and collectability of credit enhancements from participating financial institutions or from mortgage insurers under the terms of each master commitment. For this component, the Bank established an allowance for credit losses for MPF Original loans totaling de minimis amounts as of December 31, 2015 and 2014, and for MPF Plus loans totaling de minimis amounts as of December 31, 2015 and 2014.

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

The Bank’s TDRs of MPF loans primarily involve modifying the borrower’s monthly payment for a period of up to 36 months to reflect a housing expense ratio that is no more than 31% of the borrower’s qualifying monthly income. The outstanding principal balance is re-amortized to reflect a principal and interest payment for a term not to exceed 40 years from the original note date and a housing expense ratio not to exceed 31%. This would result in a balloon payment at the original maturity date of the loan because the maturity date and number of remaining monthly payments are not adjusted. If the 31% ratio is still not achieved through re-amortization, the interest rate is reduced in 0.125% increments below the original note rate, to a floor rate of 3.00%, resulting in reduced principal and interest payments, for the temporary payment modification period of up to 36 months, until the 31% housing expense ratio is met. The recorded investment of the Bank's nonperforming MPFloans classified as TDRs totaled $3 as of December 31, 2015, and $2 as of December 31, 2014.

Term Securities Purchased Under Agreements to Resell. Securities purchased under agreements to resell are considered collateralized financing arrangements and effectively represent short-term loans to counterparties that are considered by the Bank to be of investment quality, which are classified as assets in the Statements of Condition. Securities purchased under agreements to resell are held in safekeeping in the name of the Bank by third-party custodians approved by the Bank. In accordance with the terms of these loans, if the market value of the underlying securities decreases below the market value required as collateral, the counterparty must place an equivalent amount of additional securities as collateral or remit an equivalent amount of cash. If an agreement to resell is deemed to be impaired, the difference between the fair value of the collateral and the amortized cost of the agreement is charged to earnings. The Bank did not have any term securities purchased under agreements to resell at December 31, 2015 and 2014.

Term Federal Funds Sold. The Bank invests in Federal funds sold with counterparties that are considered by the Bank to be of investment quality, and these investments are evaluated for purposes of an allowance for credit losses only if the investment is not paid when due. All investments in Federal funds sold as of December 31, 2015 and 2014, were repaid or are expected to be repaid according to the contractual terms.

XML

Deposits

12 Months Ended

Dec. 31, 2015

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 December 31, 2015 and 2014, were as follows:

	2015		2014
Interest-bearing deposits:
Demand and overnight	$	124	$	159
Total interest-bearing deposits	124		159
Non-interest-bearing deposits	3		1
Total	$	127	$	160

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 December 31, 2015 and 2014, are detailed in the following table:

	2015				2014
	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding		Weighted Average Interest Rate
Interest-bearing deposits – Adjustable rate	$	124	0.01	%	$	159	0.01	%
Non-interest-bearing deposits	3				1
Total	$	127			$	160

XML

Consolidated Obligations

12 Months Ended

Dec. 31, 2015

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 Note 20 – Commitments and Contingencies. In connection with each issuance of consolidated obligations, each FHLBank specifies the type, term, and amount of debt it requests to have issued on its behalf. The Office of Finance tracks the amount of debt issued on behalf of each FHLBank. In addition, the Bank separately tracks and records as a liability its specific portion of the consolidated obligations issued and is the primary obligor for that portion of the consolidated obligations issued. The Finance Agency and the U.S. Secretary of the Treasury have oversight over the issuance of FHLBank debt through the Office of Finance.

Consolidated obligation bonds are issued primarily to raise intermediate- and long-term funds for the FHLBanks. The maturity of consolidated obligation bonds generally ranges from 6 months to 15 years, but the maturity is not subject to any statutory or regulatory limits. Consolidated obligation discount notes are primarily used to raise short-term funds. These notes are issued at less than their face amount and redeemed at par value when they mature.

The par value of the outstanding consolidated obligations of the FHLBanks was $905,202 at December 31, 2015, and $847,175 at December 31, 2014. Regulations require the FHLBanks to maintain, for the benefit of investors in consolidated obligations, in the aggregate, unpledged qualifying assets in an amount equal to the consolidated obligations outstanding. Qualifying assets are defined as cash; secured advances; assets with an assessment or credit rating at least equivalent to the current assessment or credit rating of the consolidated obligations; obligations, participations, mortgages, or other securities of or issued by the United States or an agency of the United States; and such securities as fiduciary and trust funds may invest in under the laws of the state in which the FHLBank is located. Any assets subject to a lien or pledge for the benefit of holders of any issue of consolidated obligations are treated as if they were free from lien or pledge for the purposes of compliance with these regulations. At December 31, 2015, the Bank had qualifying assets totaling $85,542, and the Bank's participation in consolidated obligations outstanding was $79,483.

General Terms. Consolidated obligations are generally issued with either fixed rate payment terms or adjustable rate payment terms, which use a variety of indices for interest rate resets, including LIBOR, the Federal funds effective rate, and others. In addition, to meet the specific needs of certain investors, fixed rate and adjustable rate consolidated obligation bonds may contain certain embedded features, such as call options and complex coupon payment terms. In general, when such consolidated obligation bonds are issued for which the Bank is the primary obligor, the Bank simultaneously enters into interest rate exchange agreements containing offsetting features to, in effect, convert the terms of the bond to the terms of a simple adjustable rate bond indexed to LIBOR.

In addition to having fixed rate or simple adjustable rate coupon payment terms, consolidated obligations may include:

• Callable bonds, which the Bank may call in whole or in part at its option on predetermined call dates according to the terms of the bond offerings;

• Step-up callable bonds, which pay interest at increasing fixed rates for specified intervals over the life of the bond and can generally be called at the Bank's option on the step-up dates according to the terms of the bond offerings;

• Step-down callable bonds, which pay interest at decreasing fixed rates for specified intervals over the life of the bond and can generally be called at the Bank's option on the step-down dates according to the terms of the bond offerings;

• Conversion callable bonds, which have coupon rates that convert from fixed to adjustable or from adjustable to fixed on predetermined dates and can generally be called at the Bank’s option on predetermined call dates according to the terms of the bond offerings.

Redemption Terms. The following is a summary of the Bank’s participation in consolidated obligation bonds at December 31, 2015 and 2014.

	2015					2014
Contractual Maturity	Amount Outstanding			Weighted Average Interest Rate		Amount Outstanding			Weighted Average Interest Rate
Within 1 year	$	29,114		1.03	%	$	21,044		0.36	%
After 1 year through 2 years	11,264			0.91		9,871			2.43
After 2 years through 3 years	5,162			1.28		4,518			1.70
After 3 years through 4 years	1,430			1.44		2,336			1.49
After 4 years through 5 years	1,740			1.67		3,103			1.71
After 5 years	2,982			2.43		5,851			2.13
Total par value	51,692			1.14	%	46,723			1.29	%
Unamortized premiums	27					58
Unamortized discounts	(9		)			(13		)
Valuation adjustments for hedging activities	142					308
Fair value option valuation adjustments	(17		)			(31		)
Total	$	51,835				$	47,045

The Bank’s participation in consolidated obligation bonds outstanding includes callable bonds of $8,005 at December 31, 2015, and $14,158 at December 31, 2014. When a callable bond for which the Bank is the primary obligor is issued, the Bank may simultaneously enter into an interest rate swap (in which the Bank pays a variable rate and receives a fixed rate) with a call feature that mirrors the call option embedded in the bond (a sold callable swap). The Bank had notional amounts of interest rate exchange agreements hedging callable bonds of $4,835 at December 31, 2015, and $9,573 at December 31, 2014. The combined sold callable swaps and callable bonds enable the Bank to meet its funding needs at costs not otherwise directly attainable solely through the issuance of non-callable debt, while effectively converting the Bank’s net payment to an adjustable rate.

The Bank’s participation in consolidated obligation bonds at December 31, 2015 and 2014, was as follows:  

	2015		2014
Par value of consolidated obligation bonds:
Non-callable	$	43,687	$	32,565
Callable	8,005		14,158
Total par value	$	51,692	$	46,723

The following is a summary of the Bank’s participation in consolidated obligation bonds outstanding at December 31, 2015 and 2014, by the earlier of the year of contractual maturity or next call date.

Earlier of Contractual Maturity or Next Call Date	2015		2014
Within 1 year	$	36,469	$	33,558
After 1 year through 2 years	10,914		9,156
After 2 years through 3 years	3,282		2,043
After 3 years through 4 years	455		1,010
After 4 years through 5 years	395		385
After 5 years	177		571
Total par value	$	51,692	$	46,723

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

	2015					2014
	Amount Outstanding			Weighted Average Interest Rate (1)		Amount Outstanding			Weighted Average Interest Rate (1)
Par value	$	27,663		0.25	%	$	21,815		0.09	%
Unamortized discounts	(15		)			(4		)
Total	$	27,648				$	21,811

(1) Represents yield to maturity excluding concession fees.

Interest Rate Payment Terms. Interest rate payment terms for consolidated obligations at December 31, 2015 and 2014, are detailed in the following table.

	2015		2014
Par value of consolidated obligations:
Bonds:
Fixed rate	$	28,942	$	39,324
Adjustable rate	20,815		3,678
Step-up	1,110		2,654
Step-down	550		500
Fixed rate that converts to adjustable rate	175		467
Range bonds	100		100
Total bonds, par value	51,692		46,723
Discount notes, par value	27,663		21,815
Total consolidated obligations, par value	$	79,355	$	68,538

Consolidated obligation bonds may be structured to meet the Bank's or the investors' needs. Common structures include fixed rate bonds with or without call options and adjustable rate bonds with or without embedded options. In general, when bonds are issued, the Bank simultaneously executes an interest rate exchange agreement with terms that offset the terms and embedded options, if any, of the consolidated obligation bond. This combination of the consolidated obligation bond and the interest rate exchange agreement effectively creates an adjustable rate bond. The cost of this funding combination is generally lower than the cost that would be available through the issuance of an adjustable rate bond alone. These transactions generally receive fair value hedge accounting treatment. In addition, when certain consolidated obligation bonds for which the Bank has elected the fair value option are issued, the Bank simultaneously executes an interest rate exchange agreement with terms that economically offset the terms of the consolidated obligation bond. However, this type of hedge is treated as an economic hedge because these combinations generally do not meet the requirements for fair value hedge accounting treatment. For more information, see Note 18 – Derivatives and Hedging Activities and Note 19 – Fair Value.

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 December 31, 2015 or 2014. The Bank has generally elected to account for certain bonds with embedded features under the fair value option, and these bonds are carried at fair value on the Statements of Condition. For more information, see Note 19 – Fair Value.

XML

Affordable Housing Program

12 Months Ended

Dec. 31, 2015

Federal Home Loan Banks [Abstract]

Affordable Housing Program [Text Block]

Affordable Housing Program

The FHLBank Act requires each FHLBank to establish an Affordable Housing Program (AHP). Each FHLBank provides subsidies to members, which use the funds to assist in the purchase, construction, or rehabilitation of housing for very low-, low-, and moderate-income households. Subsidies may be in the form of direct grants or below-market interest rate advances. Annually, the FHLBanks must set aside for their AHPs, in the aggregate, the greater of $100 or 10% of the current year's net earnings (income before interest expense related to mandatorily redeemable capital stock and the assessment for AHP).

The Bank accrues its AHP assessment monthly based on its net earnings. If the Bank experienced a net loss during a quarter but still had net earnings for the year, the Bank's obligation to the AHP would be calculated based on the Bank's year-to-date net earnings. If the Bank had net earnings in subsequent quarters, it would be required to contribute additional amounts to meet its calculated annual obligation. If the Bank experienced a net loss for a full year, the amount of the AHP liability would be equal to zero, since each FHLBank's required annual AHP contribution is limited to its annual net earnings. However, if the result of the aggregate 10% calculation is less than $100 for the FHLBanks combined, then the FHLBank Act requires that each FHLBank contribute such prorated sums as may be required to ensure that the aggregate contribution of the FHLBanks equals $100. The proration would be made on the basis of an FHLBank's income in relation to the income of all the FHLBanks for the previous year. There was no AHP shortfall, as described above, in 2015, 2014, or 2013. If an FHLBank finds that its required AHP assessments are contributing to the financial instability of that FHLBank, it may apply to the Finance Agency for a temporary suspension of its contributions. The Bank did not make such an application in 2015, 2014, or 2013.

The Bank's total AHP assessments equaled $78, $36, and $52 during 2015, 2014, and 2013, respectively. These amounts were charged to earnings each year and recognized as a liability. As subsidies are disbursed, the AHP liability is reduced. The AHP liability was as follows:

	2015			2014			2013
Balance, beginning of the period	$	147		$	151		$	144
AHP assessments	78			36			52
AHP grant payments	(53		)	(40		)	(45		)
Balance, end of the period	$	172		$	147		$	151

All subsidies were distributed in the form of direct grants in 2015, 2014, and 2013.

XML

Accumulated Other Comprehensive Income (Loss)

12 Months Ended

Dec. 31, 2015

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

Accumulated Other Comprehensive Income/(Loss)

Accumulated Other Comprehensive Income/(Loss)

The following table summarizes the changes in AOCI for the years ended December 31, 2015, 2014, and 2013:

	Net Non-Credit-Related OTTI Loss on AFS Securities			Net Non-Credit-Related OTTI Loss on HTM Securities			Pension and Postretirement Benefits			Total AOCI
Balance, December 31, 2012	$	(748	)	$	(34	)	$	(12	)	$	(794	)
Other comprehensive income/(loss) before reclassifications:
Net change in pension and postretirement benefits							5			5
Non-credit-related OTTI loss	—			(4		)				(4		)
Non-credit-related OTTI loss transferred	(4		)	4						—
Net change in fair value	644									644
Accretion of non-credit-related OTTI loss				7						7
Reclassification from other comprehensive income/(loss) to net income/(loss):
Non-credit-related OTTI to credit-related OTTI	(3		)	—						(3		)
Net current period other comprehensive income/(loss)	637			7			5			649
Balance, December 31, 2013	(111		)	(27		)	(7		)	(145		)
Other comprehensive income/(loss) before reclassifications:
Net change in pension and postretirement benefits							(5		)	(5		)
Non-credit-related OTTI loss	(10		)	—						(10		)
Net change in fair value	209									209
Accretion of non-credit-related OTTI loss				7						7
Net current period other comprehensive income/(loss)	199			7			(5		)	201
Balance, December 31, 2014	88			(20		)	(12		)	56
Other comprehensive income/(loss) before reclassifications:
Net change in pension and postretirement benefits							(2		)	(2		)
Non-credit-related OTTI loss	(18		)	(1		)				(19		)
Non-credit-related OTTI loss transferred	(1		)	1						—
Net change in fair value	(29		)							(29		)
Accretion of non-credit-related OTTI loss				6						6
Reclassification from other comprehensive income/(loss) to net income/(loss):
Non-credit-related OTTI to credit-related OTTI	3			—						3
Net current period other comprehensive income/(loss)	(45		)	6			(2		)	(41		)
Balance, December 31, 2015	$	43		$	(14	)	$	(14	)	$	15

XML

Capital

12 Months Ended

Dec. 31, 2015

Capital [Abstract]

Capital

Capital

Capital Requirements. The Bank issues only one class of capital stock, Class B stock, with a par value of one hundred dollars per share, which may be redeemed (subject to certain conditions) upon five years' notice by the member to the Bank. In addition, at its discretion, under certain conditions, the Bank may repurchase excess capital stock at any time. (See “Excess Capital Stock” below for more information.) The capital stock may be issued, redeemed, and repurchased only at its stated par value, subject to certain statutory and regulatory requirements. The Bank may only redeem or repurchase capital stock from a shareholder if, following the redemption or repurchase, the shareholder will continue to meet its minimum capital stock requirement and the Bank will continue to meet its regulatory requirements for total capital, leverage capital, and risk-based capital.

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

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

As of December 31, 2015 and 2014, the Bank was in compliance with these capital rules and requirements as shown in the following table.

	2015						2014
	Required			Actual			Required			Actual
Risk-based capital	$	2,684		$	5,369		$	3,231		$	6,356
Total regulatory capital	$	3,428		$	5,369		$	3,032		$	6,356
Total regulatory capital ratio	4.00		%	6.26		%	4.00		%	8.38		%
Leverage capital	$	4,285		$	8,054		$	3,790		$	9,534
Leverage ratio	5.00		%	9.40		%	5.00		%	12.58		%

The Bank's capital plan requires each member to own capital stock in an amount equal to the greater of its membership capital stock requirement or its activity-based capital stock requirement. The Bank may adjust these requirements from time to time within limits established in the capital plan. Any changes to the capital plan must be approved by the Bank's Board of Directors and the Finance Agency.

The Bank amended its capital plan, effective April 1, 2015, to lower the cap on the membership stock requirement to $15 from $25, lower the activity-based stock requirement to 3.0% from 4.7% for outstanding advances and to 3.0% from 5.0% for mortgage loans purchased and held by the Bank, and change the authorized ranges for the activity-based stock requirement to a range of 2.0% to 5.0% from a range of 4.4% to 5.0% for advances and to a range of 0.0% to 5.0% from a range of 5.0% to 5.7% for mortgage loans purchased and held by the Bank. Effective August 3, 2015, the Bank reduced its activity-based stock requirements within the ranges authorized by the Bank’s capital plan. The activity-based stock requirement for advances was reduced from 3.0% to 2.7%, and the activity-based stock requirement for mortgage loans purchased from the member and held by the Bank was reduced from 3.0% to 0.0%.

A member's membership capital stock requirement is 1.0% of its membership asset value. The membership capital stock requirement for a member is capped at $15. The Bank may adjust the membership capital stock requirement for all members within a range of 0.5% to 1.5% of a member's membership asset value and may adjust the cap for all members within an authorized range of $10 to $50. A member's membership asset value is determined by multiplying the amount of the member's membership assets by the applicable membership asset factors. Membership assets are generally defined as assets (other than Bank capital stock) of a type that could qualify as collateral to secure a member's indebtedness to the Bank under applicable law, whether or not the assets are pledged to the Bank or accepted by the Bank as eligible collateral. The membership asset factors were initially based on the typical borrowing capacity percentages generally assigned by the Bank to the same types of assets when pledged to the Bank (although the factors may differ from the actual borrowing capacities, if any, assigned to particular assets pledged by a specific member at any point in time).

A member's activity-based capital stock requirement is the sum of 2.7% of the member's outstanding advances plus 0.0% of any portion of any mortgage loan purchased and held by the Bank. The Bank may adjust the activity-based capital stock requirement for all members within a range of 2.0% to 5.0% of the member's outstanding advances and a range of 0.0% to 5.0% of any portion of any mortgage loan purchased and held by the Bank.

Any member may withdraw from membership and, subject to certain statutory and regulatory restrictions, have its capital stock redeemed after giving the required notice. Members that withdraw from membership may not reapply for membership for five years, in accordance with Finance Agency rules.

Mandatorily Redeemable Capital Stock. The Bank reclassifies the capital stock subject to redemption from capital to a liability after a member provides the Bank with a written notice of redemption; gives notice of intention to withdraw from membership; or attains nonmember status by merger or acquisition, charter termination, or other involuntary membership termination; or after a receiver or other liquidating agent for a member transfers the member's Bank capital stock to a nonmember entity, resulting in the member's shares then meeting the definition of a mandatorily redeemable financial instrument. Shares meeting this definition are reclassified to a liability at fair value. Dividends declared on shares classified as a liability are accrued at the expected dividend rate and reflected as interest expense in the Statements of Income. The repayment of these mandatorily redeemable financial instruments (by repurchase or redemption of the shares) is reflected as a financing cash outflow in the Statements of Cash Flows once settled.

The Bank has a cooperative ownership structure under which members, former members, and certain other nonmembers own the Bank's capital stock. Former members and certain other nonmembers are required to maintain their investment in the Bank's capital stock until their outstanding transactions are paid off or until their capital stock is redeemed following the relevant five-year redemption period for capital stock or is repurchased by the Bank, in accordance with the Bank's capital requirements. Capital stock cannot be issued, repurchased, redeemed, or transferred except between the Bank and its members (or their affiliates and successors) at the capital stock's par value of one hundred dollars per share. If a member cancels its written notice of redemption or notice of withdrawal or if the Bank allows the transfer of mandatorily redeemable capital stock to a member, the Bank reclassifies mandatorily redeemable capital stock from a liability to capital. After the reclassification, dividends on the capital stock are no longer classified as interest expense.

The Bank will not redeem or repurchase capital stock required to meet the minimum capital stock requirement until five years after the member's membership is terminated or after the Bank receives notice of the member's withdrawal, and the Bank will redeem or repurchase only the amounts that are in excess of the capital stock required to support activity (advances and mortgage loans) that may remain outstanding after the five-year redemption period has expired. The Bank will not redeem or repurchase activity-based capital stock as long as the activity remains outstanding, even after the expiration of the five-year redemption period. In both cases, the Bank will only redeem or repurchase capital stock if certain statutory and regulatory conditions are met. In accordance with the Bank's current practice, if activity-based capital stock becomes excess capital stock because an activity no longer remains outstanding, the Bank may repurchase the excess activity-based capital stock at its discretion, subject to certain statutory and regulatory conditions, on a scheduled quarterly basis.

The Bank had mandatorily redeemable capital stock totaling $488 outstanding to 9 institutions at December 31, 2015, and $719 outstanding to 32 institutions at December 31, 2014. The change in mandatorily redeemable capital stock for the years ended December 31, 2015, 2014, and 2013 was as follows:

	2015			2014			2013
Balance at the beginning of the period	$	719		$	2,071		$	4,343
Reclassified from/(to) capital during the period(1)	415			3			4
Redemption of mandatorily redeemable capital stock	(53		)	(296		)	(502		)
Repurchase of excess mandatorily redeemable capital stock	(593		)	(1,059		)	(1,774		)
Balance at the end of the period	$	488		$	719		$	2,071

(1) The Bank reclassified $403 of capital stock to mandatorily redeemable capital stock (a liability) on September 1, 2015, as a result of the merger of JPMorgan B&T with and into JPMorgan Chase, a nonmember of the Bank.

Cash dividends on mandatorily redeemable capital stock were recorded as interest expense in the amount of $65, $120, and $155 for the years ended December 31, 2015, 2014, and 2013, respectively.

The following table presents mandatorily redeemable capital stock amounts by contractual redemption period at December 31, 2015 and 2014.

Contractual Redemption Period	2015		2014
Within 1 year	$	82	$	51
After 1 year through 2 years	1		582
After 2 years through 3 years	—		9
After 3 years through 4 years	—		1
After 4 years through 5 years	381		2
Past contractual redemption date because of remaining activity(1)	24		74
Total	$	488	$	719

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

A member may cancel its notice of redemption or notice of withdrawal from membership by providing written notice to the Bank prior to the end of the relevant five-year redemption period or the membership termination date. If the Bank receives the notice of cancellation within 30 months following the notice of redemption or notice of withdrawal, the member is charged a fee equal to fifty cents multiplied by the number of shares of capital stock affected. If the Bank receives the notice of cancellation more than 30 months following the notice of redemption or notice of withdrawal (or if the Bank does not redeem the member's capital stock because following the redemption the member would fail to meet its minimum capital stock requirement), the member is charged a fee equal to one dollar multiplied by the number of shares of capital stock affected. In certain cases the Board of Directors may waive a cancellation fee for bona fide business purposes.

The Bank's capital stock is considered putable by the shareholder. There are significant statutory and regulatory restrictions on the Bank's obligation or ability to redeem outstanding capital stock, which include the following:

• The Bank may not redeem any capital stock if, following the redemption, the Bank would fail to meet its minimum capital requirements for total capital, leverage capital, and risk-based capital. All of the Bank's capital stock immediately becomes nonredeemable if the Bank fails to meet its minimum capital requirements.

• The Bank may not be able to redeem any capital stock if either its Board of Directors or the Finance Agency determines that it has incurred or is likely to incur losses resulting in or expected to result in a charge against capital that would have any of the following effects: cause the Bank not to comply with its regulatory capital requirements, result in negative retained earnings, or otherwise create an unsafe and unsound condition at the Bank.

• In addition to being able to prohibit capital stock redemptions, the Bank's Board of Directors has a right to call for additional capital stock purchases by its members, as a condition of continuing membership, as needed for the Bank to satisfy its statutory and regulatory capital requirements.

• If, during the period between receipt of a capital stock redemption notice and the actual redemption (a period that could last indefinitely), the Bank becomes insolvent and is either liquidated or merged with another FHLBank, the redemption value of the capital stock will be established either through the liquidation or the merger process. If the Bank is liquidated, after satisfaction of the Bank's obligations to creditors and to the extent funds are then available, each shareholder will be entitled to receive the par value of its capital stock as well as any retained earnings in an amount proportional to the shareholder's share of the total shares of capital stock, subject to any limitations that may be imposed by the Finance Agency. In the event of a merger or consolidation, the Board of Directors will determine the rights and preferences of the Bank's shareholders, subject to any terms and conditions imposed by the Finance Agency.

• The Bank may not redeem any capital stock if the principal or interest due on any consolidated obligations issued by the Office of Finance has not been paid in full.

• The Bank may not redeem any capital stock if the Bank fails to provide the Finance Agency with the quarterly certification required by Finance Agency rules prior to declaring or paying dividends for a quarter.

• The Bank may not redeem any capital stock if the Bank is unable to provide the required quarterly certification, projects that it will fail to comply with statutory or regulatory liquidity requirements or will be unable to fully meet all of its obligations on a timely basis, actually fails to satisfy these requirements or obligations, or negotiates to enter or enters into an agreement with another FHLBank to obtain financial assistance to meet its current obligations.

Mandatorily redeemable capital stock is considered capital for determining the Bank's compliance with its regulatory capital requirements. Based on Finance Agency interpretation, the classification of certain shares of the Bank's capital stock as mandatorily redeemable does not affect the definition of total capital for purposes of: determining the Bank's compliance with its regulatory capital requirements, calculating its mortgage-backed securities investment authority (300% of total capital), calculating its unsecured credit exposure to other GSEs (limited to 100% of total capital), or calculating its unsecured credit limits to other counterparties (various percentages of total capital depending on the rating of the counterparty).

Excess Stock Repurchase, Retained Earnings, and Dividend Framework. By Finance Agency regulation, dividends may be paid only out of current net earnings or previously retained earnings. As required by the Finance Agency, the Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework is reviewed at least annually by the Bank's Board of Directors. It summarizes the Bank’s capital management principles and objectives, as well as its policies and practices, with respect to retained earnings, dividend payments, and the repurchase of excess capital stock.The Board of Directors may amend the Excess Stock Repurchase, Retained Earnings, and Dividend Framework from time to time.

The Bank may be restricted from paying dividends if the Bank is not in compliance with any of its minimum capital requirements or if payment would cause the Bank to fail to meet any of its minimum capital requirements. In addition, the Bank may not pay dividends if any principal or interest due on any consolidated obligations has not been paid in full or is not expected to be paid in full, or, under certain circumstances, if the Bank fails to satisfy certain liquidity requirements under applicable Finance Agency regulations.

The Bank’s Risk Management Policy limits the payment of dividends if the ratio of the Bank’s estimated market value of total capital to par value of capital stock falls below certain levels. If this ratio at the end of any quarter is less than 100% but greater than or equal to 70%, any dividend would be limited to an annualized rate no greater than the daily average of the three-month LIBOR for the applicable quarter (subject to certain conditions), and if this ratio is less than 70%, the Bank would be restricted from paying a dividend. The ratio of the Bank’s estimated market value of total capital to par value of capital stock was 200% as of December 31, 2015.

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

Retained Earnings Related to Valuation Adjustments– In accordance with the Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework, the Bank retains in restricted retained earnings any cumulative net gains in earnings (net of applicable assessments) resulting from gains or losses on derivatives and associated hedged items and financial instruments carried at fair value (valuation adjustments).

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

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

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

On July 31, 2015, the Board of Directors set the required amount of restricted retained earnings for loss protection and capital compliance at $2,000. Restricted retained earnings available to meet this requirement include amounts related to the Bank’s buildup of retained earnings and to the Joint Capital Enhancement Agreement, but exclude retained earnings related to valuations adjustments. Restricted retained earnings for loss protection and capital compliance were $2,008 as of December 31, 2015.

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

Buildup – As of March 31, 2012, the Bank reached the $1,800 target for the buildup of retained earnings that had previously been set by the Board of Directors. On July 31, 2015, the Board of Directors lowered the requirement to $1,650 and transferred $150 to unrestricted retained earnings.

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

Retained earnings related to the JCE Agreement totaled $358 and $230 at December 31, 2015 and 2014, respectively.

The following table summarizes the activity related to retained earnings for the years ended December 31, 2015 and 2014:

				Restricted Retained Earnings Related to:
	Unrestricted Retained Earnings			Valuation Adjustments			Buildup			Joint Capital Enhancement Agreement		Total Restricted Retained Earnings			Total Retained Earnings
Balance, December 31, 2013	$	317		$	88		$	1,800		$	189	$	2,077		$	2,394
Net income	217			(53		)	—			41		(12		)	205
Cash dividends on capital stock	(240		)	—			—			—		—			(240		)
Balance, December 31, 2014	$	294		$	35		$	1,800		$	230	$	2,065		$	2,359
Net income	535			(25		)	—			128		103			638
Cash dividends on capital stock	(369		)	—			—			—		—			(369		)
Transfers from restricted retained earnings	150			—			(150		)	—		(150		)	—
Balance, December 31, 2015	$	610		$	10		$	1,650		$	358	$	2,018		$	2,628

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

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

capital stock exceeds 1% of its total assets. Excess capital stock is defined as the aggregate of the capital stock held by each shareholder in excess of its minimum capital stock requirement, as established by the Bank’s capital plan. As of December 31, 2015, the Bank’s excess capital stock totaled $402, or 0.47% of total assets.

The Bank paid dividends at an annualized rate of 12.39%, totaling $434, including $369 in dividends on capital stock and $65 in dividends on mandatorily redeemable capital stock. The dividends included four quarterly dividends and a special dividend in the amount of $145, including $120 on capital stock and $25 in dividends on mandatorily redeemable capital stock. The Bank paid dividends at an annualized rate of 7.02%, totaling $360, including $240 in dividends on capital stock and $120 in dividends on mandatorily redeemable capital stock in 2014.

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

On February 18, 2016, the Bank’s Board of Directors declared a cash dividend on the capital stock outstanding during the fourth quarter of 2015 at an annualized rate of 7.99%, totaling $55, including $45 in dividends on capital stock and $10 in dividends on mandatorily redeemable capital stock. The Bank recorded the dividend on February 18, 2016. The Bank expects to pay the dividend on or about March 17, 2016. Dividends on mandatorily redeemable capital stock will be recognized as interest expense in the first quarter of 2016.

Excess Capital Stock – The Bank may repurchase some or all of a shareholder’s excess capital stock, including any excess mandatorily redeemable capital stock, at the Bank’s discretion, subject to certain statutory and regulatory requirements. The Bank must give the shareholder 15 days’ written notice; however, the shareholder may waive this notice period. The Bank may also repurchase all of a member’s excess capital stock at a member’s request, at the Bank’s discretion, subject to certain statutory and regulatory requirements. A shareholder’s excess capital stock is defined as any capital stock holdings in excess of the shareholder’s minimum capital stock requirement, as established by the Bank’s capital plan. The Bank repurchased $2,032 and $2,000 in excess capital stock during 2015 and 2014, respectively.

The Bank is required to redeem any mandatorily redeemable capital stock that is in excess of a former member’s minimum stock requirement on or after the expiration of the five-year redemption date. During 2015 and 2014, the Bank redeemed $53 and $296, respectively, in mandatorily redeemable capital stock, for which the five-year redemption period had expired, at its $100 par value. The stock was redeemed on the scheduled redemption dates or, for stock that was not excess stock on its scheduled redemption date because of outstanding activity with the Bank, on the first available repurchase date after the stock was no longer required to support outstanding activity with the Bank.

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

On February 19, 2016, the Bank announced that it plans to repurchase the surplus capital stock of all members and the excess capital stock of all nonmember shareholders on March 18, 2016.

Excess capital stock totaled $402 as of December 31, 2015, and $1,118 as of December 31, 2014.

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 December 31, 2015 or 2014.

	2015				2014
Name of Institution	Capital Stock Outstanding		Percentage of Total Capital Stock Outstanding		Capital Stock Outstanding		Percentage of Total Capital Stock Outstanding
JPMorgan Chase & Co.:
JPMorgan Bank & Trust Company, National Association	$	—	—	%	$	268	7	%
JPMorgan Chase Bank, National Association(1)(2)	400		15		68		2
Subtotal JPMorgan Chase & Co.	400		15	%	336		9
Citigroup Inc.:
Citibank, N.A.(1)	81		3		577		14
Banamex USA	4		—		2		—
Subtotal Citigroup Inc.	85		3		579		14
Subtotal	485		18		915		23
Others	2,256		82		3,082		77
Total	$	2,741	100	%	$	3,997	100	%

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

(2) The Bank reclassified $403 of capital stock to mandatorily redeemable capital stock (a liability) on September 1, 2015, as a result of the merger of JPMorgan B&T with and into JPMorgan Chase, a nonmember of the Bank.

XML

Employee Retirement Plans and Incentive Compensation Plans

12 Months Ended

Dec. 31, 2015

Compensation and Retirement Disclosure [Abstract]

Pension and Other Postretirement Benefits Disclosure [Text Block]

Employee Retirement Plans and Incentive Compensation Plans

Defined Benefit Plans

Qualified Defined Benefit Plan. The Bank provides retirement benefits through a Bank-sponsored Cash Balance Plan, a qualified defined benefit plan. The Cash Balance Plan is provided to all employees who have completed six months of Bank service. Under the plan, each eligible Bank employee accrues benefits annually equal to 6% of the employee's annual compensation, plus 6% interest on the benefits accrued to the employee through the prior yearend. The Cash Balance Plan is funded through a qualified trust established by the Bank.

Non-Qualified Defined Benefit Plans. The Bank sponsors the following non-qualified defined benefit retirement plans:

• Benefit Equalization Plan, a non-qualified retirement plan restoring benefits offered under the Cash Balance Plan that are limited by laws governing the plan. See below for further discussion of the defined contribution portion of the Benefit Equalization Plan.

• Supplemental Executive Retirement Plan (SERP),a non-qualified unfunded retirement benefit plan available to the Bank's eligible senior officers, which generally provides a service-linked supplemental cash balance annual contribution credit to SERP participants and an annual interest credit of 6% on the benefits accrued to the SERP participants through the prior yearend.

• Deferred Compensation Plan, a non-qualified retirement plan available to all eligible Bank officers, which provides make-up pension benefits that would have been earned under the Cash Balance Plan had the compensation not been deferred. The make-up benefits vest according to the corresponding provisions of the Cash Balance Plan. See below for further discussion of the defined contribution portion of the Deferred Compensation Plan.

Postretirement Health Benefit Plan. The Bank provides a postretirement health benefit plan to employees hired before January 1, 2003. The Bank's costs are capped at 1998 health care premium amounts. As a result, changes in health care cost trend rates will have no effect on the Bank's accumulated postretirement benefit obligation or service and interest costs.

The following table summarizes the changes in the benefit obligations, plan assets, and funded status of the defined benefit Cash Balance Plan, non-qualified defined benefit plans, and postretirement health benefit plan for the years ended December 31, 2015 and 2014.

	2015									2014
	Cash Balance Plan			Non-Qualified Defined Benefit Plans			Post-retirement Health Benefit Plan			Cash Balance Plan			Non-Qualified Defined Benefit Plans			Post-retirement Health Benefit Plan
Change in benefit obligation
Benefit obligation, beginning of the period	$	43		$	23		$	2		$	37		$	21		$	2
Service cost	3			1			—			2			1			—
Interest cost	2			1			—			2			1			—
Actuarial (gain)/loss	(1		)	(1		)	—			3			—			—
Benefits paid	(1		)	—			—			(1		)	—			—
Benefit obligation, end of the period	46			24			2			43			23			2
Change in plan assets
Fair value of plan assets, beginning of the period	41			—			—			38			—			—
Actual return on plan assets	(1		)	—			—			2			—			—
Employer contributions	4			—			—			2			—			—
Benefits paid	(1		)	—			—			(1		)	—			—
Fair value of plan assets, end of the period	43			—			—			41			—			—
Funded status at the end of the period	$	(3	)	$	(24	)	$	(2	)	$	(2	)	$	(23	)	$	(2	)

Amounts recognized in the Statements of Condition at December 31, 2015 and 2014, consist of:

	2015									2014
	Cash Balance Plan			Non-Qualified Defined Benefit Plans			Post-retirement Health Benefit Plan			Cash Balance Plan			Non-Qualified Defined Benefit Plans			Post-retirement Health Benefit Plan
Other liabilities	$	(3	)	$	(24	)	$	(2	)	$	(2	)	$	(23	)	$	(2	)

Amounts recognized in AOCI at December 31, 2015 and 2014, consist of:

	2015							2014
	Cash Balance Plan		Non-Qualified Defined Benefit Plans		Post-retirement Health Benefit Plan			Cash Balance Plan		Non-Qualified Defined Benefit Plans		Post-retirement Health Benefit Plan
Net loss/(gain)	$	12	$	3	$	(1	)	$	9	$	4	$	(2	)
Prior service cost	—		—		—			—		1		—
AOCI	$	12	$	3	$	(1	)	$	9	$	5	$	(2	)

The following table presents information for pension plans with benefit obligations in excess of plan assets at December 31, 2015 and 2014.

	2015						2014
	Cash Balance Plan		Non-Qualified Defined Benefit Plans		Post-retirement Health Benefit Plan		Cash Balance Plan		Non-Qualified Defined Benefit Plans		Post-retirement Health Benefit Plan
Projected benefit obligation	$	46	$	24	$	2	$	43	$	23	$	2
Accumulated benefit obligation	44		24		2		41		22		2
Fair value of plan assets	43		—		—		41		—		—

Components of the net periodic benefit costs and other amounts recognized in other comprehensive income for the years ended December 31, 2015, 2014, and 2013, were as follows:

	2015									2014							2013
	Cash Balance Plan			Non-Qualified Defined Benefit Plans			Post-retirement Health Benefit Plan			Cash Balance Plan			Non-Qualified Defined Benefit Plans		Post-retirement Health Benefit Plan		Cash Balance Plan			Non-Qualified Defined Benefit Plans		Post-retirement Health Benefit Plan
Net periodic benefit cost/(income)
Service cost	$	3		$	1		$	—		$	2		$	1	$	—	$	3		$	2	$	—
Interest cost	2			1			—			2			1		—		1			1		—
Expected return on plan assets	(3		)	—			—			(3		)	—		—		(3		)	—		—
Amortization of net loss/(gain)	—			1			(1		)	—			—		—		1			—		—
Net periodic benefit cost	2			3			(1		)	1			2		—		2			3		—
Other changes in plan assets and benefit obligations recognized in other comprehensive income
Net loss/(gain)	3			(1		)	—			4			1		—		(5		)	—		(1		)
Prior service cost	—			—			—			—			—		—		—			1		—
Amortization of net loss/(gain)	—			(1		)	1			—			—		—		—			—		—
Total recognized in other comprehensive income	3			(2		)	1			4			1		—		(5		)	1		(1		)
Total recognized in net periodic benefit cost and other comprehensive income	$	5		$	1		$	—		$	5		$	3	$	—	$	(3	)	$	4	$	(1	)

The amounts in AOCI expected to be recognized as components of net periodic benefit cost in 2016 are as follows:

	Cash Balance Plan		Non-Qualified Defined Benefit Plans		Post-retirement Health Benefit Plan
Estimated net gain/(loss)	$	1	$	—	$	—

Weighted average assumptions used to determine the benefit obligations at December 31, 2015 and 2014, for the Cash Balance Plan, non-qualified defined benefit plans, and postretirement health benefit plan were as follows:

	2015						2014
	Cash Balance Plan		Non-Qualified Defined Benefit Plans		Post- retirement Health Benefit Plan		Cash Balance Plan		Non-Qualified Defined Benefit Plans		Post-retirement Health Benefit Plan
Discount rate	3.75	%	3.75	%	4.00	%	3.50	%	3.50	%	3.75	%
Rate of salary increase	3.00% through 2016 4.00% thereafter		3.00% through 2016 4.00% thereafter		—		3.00% through 2015 4.00% thereafter		3.00% through 2015 4.00% thereafter		—

Weighted average assumptions used to determine the net periodic benefit costs for the years ended December 31, 2015, 2014, and 2013, for the Cash Balance Plan, non-qualified defined benefit plans, and postretirement health benefit plan were as follows:

	2015						2014						2013
	Cash Balance Plan		Non-Qualified Defined Benefit Plans		Post-retirement Health Benefit Plan		Cash Balance Plan		Non-Qualified Defined Benefit Plans		Post-retirement Health Benefit Plan		Cash Balance Plan		Non-Qualified Defined Benefit Plans		Post-retirement Health Benefit Plan
Discount rate	3.50	%	3.50	%	3.75	%	4.25	%	4.25	%	4.75	%	3.25	%	3.25	%	3.75	%
Rate of salary increase	3.00% through 2015 4.00% thereafter		3.00% through 2015 4.00% thereafter		—		3.00% through 2015 4.00% thereafter		3.00% through 2015 4.00% thereafter		—		3.00% through 2015 4.00% thereafter		3.00% through 2015 4.00% thereafter		—
Expected return on plan assets	8.00	%	—		—		8.00	%	—		—		8.00	%	—		—

The Bank uses a discount rate to determine the present value of its future benefit obligations. The discount rate was determined based on the Citigroup Pension Discount Curve at the measurement date. The Citigroup Pension Discount Curve is a yield curve that reflects the market-observed yields for high-quality fixed income securities for each maturity. The projected benefit payments for each year from the plan are discounted using the spot rates on the yield curve to derive a single equivalent discount rate. The discount rate is reset annually on the measurement date.

The expected return on plan assets was determined based on: (i) the historical returns for each asset class, (ii) the expected future long-term returns for these asset classes, and (iii) the plan's target asset allocation.

The table below presents the fair values of the Cash Balance Plan's assets as of December 31, 2015 and 2014, by asset category. See Note 19 – Fair Value for further information regarding the three levels of fair value measurement.

	2015								2014
	Fair Value Measurement Using:								Fair Value Measurement Using:
Asset Category	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Cash and cash equivalents	$	2	$	—	$	—	$	2	$	1	$	—	$	—	$	1
Equity mutual funds	24		—		—		24		25		—		—		25
Fixed income mutual funds	14		—		—		14		13		—		—		13
Real estate mutual funds	2		—		—		2		1		—		—		1
Other mutual funds	1		—		—		1		1		—		—		1
Total	$	43	$	—	$	—	$	43	$	41	$	—	$	—	$	41

The Cash Balance Plan is administered by the Bank's Retirement Committee, which establishes the plan's Statement of Investment Policy and Objectives. The Retirement Committee has adopted a strategic asset allocation based on a stable distribution of assets among major asset classes. These asset classes include domestic large-, mid-, and small-capitalization equity investments; international equity investments; real return investments; and fixed income investments. The Retirement Committee has set the Cash Balance Plan's target allocation percentages for a mix of 60% equity, 10% real return, and 30% fixed income. The Retirement Committee reviews the performance of the Cash Balance Plan on a regular basis.

The Cash Balance Plan's weighted average asset allocation at December 31, 2015 and 2014, by asset category was as follows:

Asset Category	2015		2014
Cash and cash equivalents	6	%	4	%
Equity mutual funds	56		61
Fixed income mutual funds	32		31
Real estate mutual funds	4		2
Other mutual funds	2		2
Total	100	%	100	%

The Bank contributed $4 in 2015 and expects to contribute $2 in 2016 to the Cash Balance Plan. The Bank contributed a de minimis amount in 2015 and expects to contribute $6 in 2016 to the non-qualified defined benefit plans and postretirement health benefit plan.

The following are the estimated future benefit payments, which reflect expected future service, as appropriate:

Year	Cash Balance Plan		Non-Qualified Defined Benefit Plans		Postretirement Health Benefit Plan
2016	$	4	$	6	$	—
2017	3		1		—
2018	3		4		—
2019	4		1		—
2020	4		1		—
2021 – 2025	22		16		1

Defined Contribution Plans

Retirement Savings Plan. The Bank sponsors a qualified defined contribution retirement 401(k) savings plan, the Federal Home Loan Bank of San Francisco Savings Plan (Savings Plan). Contributions to the Savings Plan consist of elective participant contributions of up to 20% of each participant's base compensation and a Bank matching contribution of up to 6% of each participant's base compensation. The Bank contributed approximately $2, $2, and $2 during the years ended December 31, 2015, 2014, and 2013, respectively.

Benefit Equalization Plan. The Bank sponsors a non-qualified retirement plan restoring benefits offered under the Savings Plan that have been limited by laws governing the plan. Contributions made during the years ended December 31, 2015, 2014, and 2013, were de minimis.

Deferred Compensation Plan. The Bank maintains a deferred compensation plan that is available to all eligible Bank officers. The defined contribution portion of the plan is comprised of two components: (i) officer or director deferral of current compensation, and (ii) make-up matching contributions for officers that would have been made by the Bank under the Savings Plan had the compensation not been deferred. The make-up benefits under the Deferred Compensation Plan vest according to the corresponding provisions of the Savings Plan. The Deferred Compensation Plan liability consists of the accumulated compensation deferrals and accrued earnings on the deferrals, as well as the make-up matching contributions and any accrued earnings on the contributions. The Bank's obligation for this plan at December 31, 2015, 2014, and 2013, was $35, $33, and $30, respectively.

Incentive Compensation Plans

The Bank provides incentive compensation plans for many of its employees, including senior officers. Other liabilities include $12 and $12 for incentive compensation at December 31, 2015 and 2014, respectively.

XML

Segment Information

12 Months Ended

Dec. 31, 2015

Segment Reporting [Abstract]

Segment Information

Segment Information

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

The advances-related business consists of advances and other credit products, related financing and hedging

instruments, other non-MBS investments associated with the Bank's role as a liquidity provider, and capital.

Adjusted net interest income for this segment is derived primarily from the difference, or spread, between the yield

on all assets associated with the business activities in this segment and the cost of funding those activities, including

the net settlements from associated interest rate exchange agreements, and from earnings on invested capital.

The mortgage-related business consists of MBS investments, mortgage loans acquired through the MPF Program,

the consolidated obligations specifically identified as funding those assets, and related hedging instruments.

Adjusted net interest income for this segment is derived primarily from the difference, or spread, between the yield

on the MBS and mortgage loans and the cost of the consolidated obligations funding those assets, including the net settlements from associated interest rate exchange agreements, less the provision for credit losses on mortgage loans.

The following table presents the Bank’s adjusted net interest income by operating segment and reconciles total adjusted net interest income to income before the AHP assessment for the years ended December 31, 2015, 2014, and 2013.

	Advances- Related Business		Mortgage- Related Business(1)		Adjusted Net Interest Income		Amortization of Basis Adjustments(2)			Income/(Expense) on Economic Hedges(3)			Interest Expense on Mandatorily Redeemable Capital Stock(4)		Net Interest Income After Mortgage Loan Loss Provision		Other Income/ (Loss)			Other Expense		Income Before AHP Assessment
2015	$	155	$	351	$	506	$	(17	)	$	(18	)	$	65	$	476	$	388		$	148	$	716
2014	166		410		576		(19		)	(64		)	120		539		(154		)	144		241
2013	175		449		624		(48		)	34			155		483		5			128		360

(1) The mortgage-related business includes total accretion or amortization associated with other-than-temporarily impaired PLRMBS, which are recognized in interest income, and totaled $82, $66, and $20 for the years ended December 31, 2015, 2014, and 2013. The mortgage-related business does not include credit-related OTTI losses of $15, $4, and $7 for the years ended December 31, 2015, 2014, and 2013, respectively.

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

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

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

The following table presents total assets by operating segment at December 31, 2015, 2014, and 2013.

	Advances- Related Business		Mortgage- Related Business		Total Assets
2015	$	69,051	$	16,656	$	85,707
2014	55,424		20,383		75,807
2013	62,297		23,477		85,774

XML

Derivatives and Hedging Activities

12 Months Ended

Dec. 31, 2015

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivatives and Hedging Activities

Derivatives and Hedging Activities

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

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

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

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

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

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

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

The notional principal of the interest rate exchange agreements associated with derivatives with members or offsetting derivatives with other counterparties was $132 at December 31, 2015. The Bank had no interest rate exchange agreements with members or offsetting derivatives with other counterparties at December 31, 2014.

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

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

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

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

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

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

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

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

The Bank did not have any consolidated obligations denominated in currencies other than U.S. dollars outstanding during 2015, 2014, or 2013.

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

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

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

The notional amount of an interest rate exchange agreement serves as a factor in determining periodic interest payments or cash flows received and paid. However, the notional amount of derivatives represents neither the actual amounts exchanged nor the overall exposure of the Bank to credit risk and market risk. The risks of derivatives can be measured meaningfully on a portfolio basis by taking into account the counterparties, the types of derivatives, the items being hedged, and any offsets between the derivatives and the items being hedged.

The Bank’s agreements for uncleared derivative transactions contain provisions that link the Bank’s credit rating from Moody’s and Standard & Poor’s to various rights and obligations. Certain of these derivative agreements provide that, if the Bank’s long-term debt rating falls below a specified rating (ranging from A3/A- to Baa3/BBB-), the Bank’s counterparty would have the right, but not the obligation, to terminate all of its outstanding derivative transactions with the Bank; the Bank’s agreements with its clearing agents for cleared derivative transactions have similar provisions with respect to the debt rating of FHLBank System consolidated bonds. If this occurs, the Bank may choose to enter into replacement hedges, either by transferring the existing transactions to another counterparty or entering into new replacement transactions, based on prevailing market rates. In addition, under some of its credit support agreements for uncleared derivative transactions, the amount of collateral that the Bank is required to deliver to a counterparty depends on the Bank’s credit rating. The aggregate fair value of all uncleared derivative instruments with credit-risk-related contingent features that were in a net derivative liability position (before cash collateral and related accrued interest) at December 31, 2015, was $35, for which the Bank had posted collateral with a fair value of $31 in the ordinary course of business. If the Bank’s credit rating at December 31, 2015, had been lowered from its current rating to the next lower rating, that would have triggered additional collateral to be delivered, and the Bank would have been required to deliver up to a total of $2 of additional collateral (at fair value) to its derivative counterparties at December 31, 2015.

The following table summarizes the fair value of derivative instruments including the effect of netting adjustments and cash collateral as of December 31, 2015 and 2014. For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest.

	2015								2014
	Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities			Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	27,110	$	192		$	71		$	28,018	$	374		$	103
Total	27,110		192			71			28,018		374			103
Derivatives not designated as hedging instruments:
Interest rate swaps	50,444		58			71			31,973		72			129
Interest rate caps and floors	2,230		6			1			2,306		9			1
Mortgage delivery commitments	5		—			—			—		—			—
Total	52,679		64			72			34,279		81			130
Total derivatives before netting and collateral adjustments	$	79,789	256			143			$	62,297	455			233
Netting adjustments and cash collateral(1)			(212		)	(137		)			(396		)	(213		)
Total derivative assets and total derivative liabilities			$	44		$	6				$	59		$	20

(1) Amounts include the netting of derivative assets and liabilities by counterparty, including cash collateral and related accrued interest, where the netting requirements have been met. Cash collateral posted and related accrued interest was $57 and $65 at December 31, 2015, and 2014, respectively. Cash collateral received and related accrued interest was $132 and $248 at December 31, 2015, and 2014, respectively.

The following table presents the components of net gain/(loss) on derivatives and hedging activities as presented in the Statements of Income for the years ended December 31, 2015, 2014, and 2013.

	2015			2014			2013
	Gain/(Loss)			Gain/(Loss)			Gain/(Loss)
Derivatives designated as hedging instruments:
Interest rate swaps	$	(10	)	$	(12	)	$	(2	)
Total net gain/(loss) related to fair value hedge ineffectiveness	(10		)	(12		)	(2		)
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	13			26			(8		)
Interest rate caps and floors	(3		)	(14		)	2
Net settlements	(18		)	(64		)	34
Mortgage delivery commitments	2			—			—
Total net gain/(loss) related to derivatives not designated as hedging instruments	(6		)	(52		)	28
Net gain/(loss) on derivatives and hedging activities	$	(16	)	$	(64	)	$	26

The following table presents, by type of hedged item, the gains and losses on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on the Bank’s net interest income for the years ended December 31, 2015, 2014, and 2013.

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)
Year ended December 31, 2015:
Advances	$	19		$	(20	)	$	(1	)	$	(106	)
Consolidated obligation bonds	(170		)	161			(9		)	257
Total	$	(151	)	$	141		$	(10	)	$	151
Year ended December 31, 2014:
Advances	$	23		$	(23	)	$	—		$	(128	)
Consolidated obligation bonds	(189		)	177			(12		)	260
Total	$	(166	)	$	154		$	(12	)	$	132
Year ended December 31, 2013:
Advances	$	178		$	(175	)	$	3		$	(126	)
Consolidated obligation bonds	(373		)	368			(5		)	366
Total	$	(195	)	$	193		$	(2	)	$	240

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

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

The following table presents separately the fair value of derivative assets and derivative liabilities that have met the netting requirements, including the related collateral received from or pledged to counterparties as of December 31, 2015 and 2014.

	2015						2014
	Derivative Assets			Derivative Liabilities			Derivative Assets			Derivative Liabilities
Derivative instruments meeting netting requirements
Gross recognized amount
Uncleared derivatives	$	166		$	93		$	352		$	199
Cleared derivatives	90			50			103			34
Total gross recognized amount	256			143			455			233
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives	(149		)	(87		)	(324		)	(179		)
Cleared derivatives	(63		)	(50		)	(72		)	(34		)
Total gross amount of netting adjustments and cash collateral	(212		)	(137		)	(396		)	(213		)
Total derivative assets and total derivative liabilities
Uncleared derivatives	17			6			28			20
Cleared derivatives	27			—			31			—
Total derivative assets and derivative liabilities presented in the Statements of Condition	44			6			59			20
Non-cash collateral received or pledged not offset
Can be sold or repledged - Uncleared derivatives	11			—			25			—
Net unsecured amount
Uncleared derivatives	6			6			3			20
Cleared derivatives	27			—			31			—
Total net unsecured amount	$	33		$	6		$	34		$	20

XML

Fair Value

12 Months Ended

Dec. 31, 2015

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 December 31, 2015 and 2014. Although the Bank uses its best judgment in estimating the fair value of these financial instruments, there are inherent limitations in any estimation technique or valuation methodology. For example, because an active secondary market does not exist for a portion of the Bank’s financial instruments, in certain cases fair values cannot be precisely quantified or verified and may change as economic and market factors and evaluation of those factors change. The Bank continues to refine its valuation methodologies as markets and products develop and the pricing for certain products becomes more or less transparent. While the Bank believes that its valuation methodologies are appropriate and consistent with those of other market participants, the use of different methodologies or assumptions to determine the fair value of certain financial instruments could result in a materially different estimate of fair value as of the reporting date. Therefore, the fair values are not necessarily indicative of the amounts that would be realized in current market transactions, although they do reflect the Bank’s judgment as to how a market participant would estimate the fair values. The fair value summary table does not represent an estimate of the overall market value of the Bank as a going concern, which would take into account future business opportunities and the net profitability of total assets and liabilities.

The following tables present the carrying value, the estimated fair value, and the fair value hierarchy level of the Bank’s financial instruments at December 31, 2015 and 2014.

	December 31, 2015
	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments(1)
Assets
Cash and due from banks	$	1,637	$	1,637	$	1,637	$	—	$	—	$	—
Securities purchased under agreements to resell	10,000		10,000		—		10,000		—		—
Federal funds sold	4,626		4,626		—		4,626		—		—
Trading securities	1,433		1,433		—		1,433		—		—
AFS securities	5,414		5,414		—		—		5,414		—
HTM securities	10,802		10,821		—		9,118		1,703		—
Advances	50,919		50,844		—		50,844		—		—
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	655		694		—		694		—		—
Accrued interest receivable	56		56		—		56		—		—
Derivative assets, net(1)	44		44		—		256		—		(212		)
Other assets(2)	10		10		10		—		—		—
Liabilities
Deposits	127		127		—		127		—		—
Consolidated obligations:
Bonds	51,835		51,773		—		51,773		—		—
Discount notes	27,648		27,640		—		27,640		—		—
Total consolidated obligations	79,483		79,413		—		79,413		—		—
Mandatorily redeemable capital stock	488		488		488		—		—		—
Accrued interest payable	80		80		—		80		—		—
Derivative liabilities, net(1)	6		6		—		143		—		(137		)
Other
Standby letters of credit	18		18		—		18		—		—
Commitments to issue consolidated obligation bonds(3)	—		1		—		1		—		—

	December 31, 2014
	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments(1)
Assets
Cash and due from banks	$	3,920	$	3,920	$	3,920	$	—	$	—	$	—
Securities purchased under agreements to resell	1,000		1,000		—		1,000		—		—
Federal funds sold	7,503		7,503		—		7,503		—		—
Trading securities	3,524		3,524		—		3,524		—		—
AFS securities	6,371		6,371		—		—		6,371		—
HTM securities	13,551		13,657		—		11,521		2,136		—
Advances	38,986		39,060		—		39,060		—		—
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	708		769		—		769		—		—
Accrued interest receivable	67		67		—		67		—		—
Derivative assets, net(1)	59		59		—		455		—		(396		)
Other assets(2)	11		11		11		—		—		—
Liabilities
Deposits	160		160		—		160		—		—
Consolidated obligations:
Bonds	47,045		47,021		—		47,021		—		—
Discount notes	21,811		21,811		—		21,811		—		—
Total consolidated obligations	68,856		68,832		—		68,832		—		—
Mandatorily redeemable capital stock	719		719		719		—		—		—
Accrued interest payable	95		95		—		95		—		—
Derivative liabilities, net(1)	20		20		—		233		—		(213		)
Other
Standby letters of credit	12		12		—		12		—		—
Commitments to fund advances(3)	—		2		—		2		—		—

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

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

(3) Estimated fair values of these commitments are presented as a net gain or (loss). For more information regarding these commitments, see Note 20 – Commitments and Contingencies.

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

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

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

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

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

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

The following assets and liabilities, including those for which the Bank has elected the fair value option, are carried at fair value on the Statements of Condition as of December 31, 2015:

• Trading securities

• AFS securities

• Certain advances

• Derivative assets and liabilities

• Certain consolidated obligation bonds

• Certain other assets

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

Summary of Valuation Methodologies and Primary Inputs.

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

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

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

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

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

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

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

As of December 31, 2015, 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.

As an additional step, the Bank reviewed the fair value estimates of its PLRMBS as of December 31, 2015, for reasonableness using a market-implied yield test. The Bank calculated a market-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 market-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.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Fair Value Measurements. The tables below present the fair value of assets and liabilities, which are recorded on a recurring or nonrecurring basis at December 31, 2015 and 2014, by level within the fair value hierarchy.

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

December 31, 2014
	Fair Value Measurement Using:						Netting
	Level 1		Level 2		Level 3		Adjustments(1)			Total
Recurring fair value measurements – Assets:
Trading securities:
GSEs – FFCB bonds	$	—	$	3,513	$	—	$	—		$	3,513
MBS:
Other U.S. obligations – Ginnie Mae	—		11		—		—			11
Total trading securities	—		3,524		—		—			3,524
AFS securities:
PLRMBS	—		—		6,371		—			6,371
Total AFS securities	—		—		6,371		—			6,371
Advances(2)	—		5,137		—		—			5,137
Derivative assets, net: interest rate-related	—		455		—		(396		)	59
Other assets	11		—		—		—			11
Total recurring fair value measurements – Assets	$	11	$	9,116	$	6,371	$	(396	)	$	15,102
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	6,717	$	—	$	—		$	6,717
Derivative liabilities, net: interest rate-related	—		233		—		(213		)	20
Total recurring fair value measurements – Liabilities	$	—	$	6,950	$	—	$	(213	)	$	6,737
Nonrecurring fair value measurements – Assets:
REO	$	—	$	—	$	1				$	1

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

(2) Represents advances recorded under the fair value option at December 31, 2015 and 2014.

(3) Represents consolidated obligation bonds recorded under the fair value option at December 31, 2015 and 2014.

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

The following table presents a reconciliation of the Bank’s AFS PLRMBS that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the years ended December 31, 2015, 2014, and 2013.

	2015			2014			2013
Balance, beginning of the period	$	6,371		$	7,047		$	7,604
Total gain/(loss) realized and unrealized included in:
Interest income	83			66			21
Net OTTI loss, credit-related	(15		)	(4		)	(7		)
Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI	(29		)	209			644
Net amount of OTTI loss reclassified to/(from) other income/(loss)	(15		)	(10		)	(3		)
Settlements	(996		)	(937		)	(1,284		)
Transfers of HTM securities to AFS securities	15			—			72
Balance, end of the period	$	5,414		$	6,371		$	7,047
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	$	68		$	62		$	15

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

The Bank elected the fair value option for certain financial instruments as follows:

• Adjustable rate advances with embedded options (excluding call and put options)

• Callable fixed rate advances

• Putable fixed rate advances

• Putable fixed rate advances with embedded options

• Fixed rate advances with partial prepayment symmetry

• Callable or non-callable capped floater consolidated obligation bonds

• Convertible consolidated obligation bonds

• Adjustable or fixed rate range accrual consolidated obligation bonds

• Ratchet consolidated obligation bonds

• Adjustable rate advances indexed to non-LIBOR indices such as the Prime Rate, U.S. Treasury bill, and Federal funds effective rate

• Adjustable rate consolidated obligation bonds indexed to non-LIBOR indices such as the Prime Rate, U.S. Treasury bill, and Federal funds effective rate

• Step-up callable bonds, which pay interest at increasing fixed rates for specified intervals over the life of the bond and can generally be called at the Bank's option on the step-up dates

• Step-down callable bonds, which pay interest at decreasing fixed rates for specified intervals over the life of the bond and can generally be called at the Bank's option on the step-down dates

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

The following table summarizes the activity related to financial assets and liabilities for which the Bank elected the fair value option during the years ended December 31, 2015, 2014, and 2013:

	2015						2014						2013
	Advances			Consolidated Obligation Bonds			Advances			Consolidated Obligation Bonds			Advances			Consolidated Obligation Bonds
Balance, beginning of the period	$	5,137		$	6,717		$	7,069		$	10,115		$	7,390		$	27,884
New transactions elected for fair value option	1,018			2,585			783			3,607			837			3,547
Maturities and terminations	(2,442		)	(5,083		)	(2,700		)	(7,088		)	(988		)	(21,165		)
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option	(31		)	19			(11		)	82			(169		)	(146		)
Change in accrued interest	(5		)	(5		)	(4		)	1			(1		)	(5		)
Balance, end of the period	$	3,677		$	4,233		$	5,137		$	6,717		$	7,069		$	10,115

For instruments for which the fair value option has been elected, the related contractual interest income and contractual interest expense are recorded as part of net interest income on the Statements of Income. The remaining changes in fair value for instruments for which the fair value option has been elected are recorded as net gains/ (losses) on financial instruments held under the fair value option in the Statements of Income. The change in fair value does not include changes in instrument-specific credit risk. For advances and consolidated obligations recorded under the fair value option, the Bank determined that no adjustments to the fair values of these instruments for instrument-specific credit risk were necessary for the years ended December 31, 2015, 2014, and 2013.

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 December 31, 2015 and 2014:

	2015							2014
	Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance			Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance
Advances(1)	$	3,639	$	3,677	$	38		$	5,048	$	5,137	$	89
Consolidated obligation bonds	4,250		4,233		(17		)	6,748		6,717		(31		)

(1) At December 31, 2015 and 2014, none of these advances were 90 days or more past due or had been placed on nonaccrual status.

XML

Commitments and Contingencies

12 Months Ended

Dec. 31, 2015

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 December 31, 2015, and through the filing date of this report, does not believe that it is probable that it will be asked to do so.

The Bank determined that it was not necessary to recognize a liability for the fair value of the Bank's joint and several liability for all consolidated obligations. The joint and several obligations are mandated by the FHLBank Act or regulations governing the operations of the FHLBanks and are not the result of arms-length transactions among the FHLBanks. The FHLBanks have no control over the amount of the guarantee or the determination of how each FHLBank would perform under the joint and several obligations. Because the FHLBanks are subject to the authority of the Finance Agency as it relates to decisions involving the allocation of the joint and several liability for the FHLBanks' consolidated obligations, the FHLBanks' joint and several obligations are excluded from the initial recognition and measurement provisions. Accordingly, the Bank has not recognized a liability for its joint and several obligation related to other FHLBanks' participations in the consolidated obligations. The par value of the outstanding consolidated obligations of the FHLBanks was $905,202 at December 31, 2015, and $847,175 at December 31, 2014. The par value of the Bank’s participation in consolidated obligations was $79,355 at December 31, 2015, and $68,538 at December 31, 2014.

The joint and several liability regulation provides a general framework for addressing the possibility that an FHLBank may be unable to repay its participation in the consolidated obligations for which it is the primary obligor. In accordance with this regulation, the president of each FHLBank is required to provide a quarterly certification that, among other things, the FHLBank will remain capable of making full and timely payment of all its current obligations, including direct obligations.

In addition, the regulation requires that an FHLBank must provide written notice to the Finance Agency if at any time the FHLBank is unable to provide the quarterly certification; projects that it will be unable to fully meet all of its current obligations, including direct obligations, on a timely basis during the quarter; or negotiates or enters into an agreement with another FHLBank for financial assistance to meet its obligations. If an FHLBank gives any one of these notices (other than in a case of a temporary interruption in the FHLBank's debt servicing operations resulting from an external event such as a natural disaster or a power failure), it must promptly file a consolidated obligations payment plan for Finance Agency approval specifying the measures the FHLBank will undertake to make full and timely payments of all its current obligations.

Notwithstanding any other provisions in the regulation, the regulation provides that the Finance Agency in its discretion may at any time order any FHLBank to make any principal or interest payment due on any consolidated obligation. To the extent an FHLBank makes any payment on any consolidated obligation on behalf of another FHLBank, the paying FHLBank is entitled to reimbursement from the FHLBank that is the primary obligor, which will have a corresponding obligation to reimburse the FHLBank for the payment and associated costs, including interest.

The regulation also provides that the Finance Agency may allocate the outstanding liability of an FHLBank for consolidated obligations among the other FHLBanks on a pro rata basis in proportion to each FHLBank's participation in all consolidated obligations outstanding. The Finance Agency reserves the right to allocate the outstanding liabilities for the consolidated obligations among the FHLBanks in any other manner it may determine to ensure that the FHLBanks operate in a safe and sound manner.

Off-balance sheet commitments as of December 31, 2015 and 2014, were as follows:

	2015						2014
	Expire Within One Year		Expire After One Year		Total		Expire Within One Year		Expire After One Year		Total
Standby letters of credit outstanding	$	9,072	$	3,237	$	12,309	$	2,699	$	2,711	$	5,410
Commitments to fund additional advances(1)	5		5		10		121		5		126
Commitments to issue consolidated obligation discount notes, par	300		—		300		3		—		3
Commitments to issue consolidated obligation bonds, par(2)	110		—		110		—		—		—
Commitments to purchase mortgage loans	5		—		5		—		—		—

(1) AtDecember 31, 2015, none of the commitments to fund additional advances were hedged with associated interest rate swaps. At December 31, 2014, $100 of the commitments to fund additional advances were hedged with associated interest rate swaps.

(2) AtDecember 31, 2015, all 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 33 days to 15 years, including a final expiration in 2030. The Bank monitors the creditworthiness of members that have standby letters of credit. The value of the Bank’s obligations related to standby letters of credit is recorded in other liabilities and amounted to $18 at December 31, 2015, and $12 at December 31, 2014. 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 December 31, 2015 and 2014.

Commitments to fund advances totaled $10 at December 31, 2015, and $126 at December 31, 2014. Advances funded under advance commitments are fully collateralized at the time of funding (see Note 10 – 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 December 31, 2015 and 2014.

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

The Bank executes over-the-counter uncleared interest rate exchange agreements with major banks and derivative entities affiliated with broker-dealers and with the Bank’s members. The Bank enters into master agreements with netting provisions and into bilateral credit support agreements with all active derivative dealer counterparties. All member counterparty master agreements, excluding those with derivative dealers, are subject to the terms of the Bank’s Advances and Security Agreement with members, and all member counterparties (except for those that are derivative dealers) must fully collateralize the Bank’s net credit exposure. For cleared derivatives, the clearinghouse is the Bank’s counterparty, and the Bank has clearing agreements with clearing agents that provide for delivery of initial margin to, and exchange of variation margin with, the clearinghouse. See Note 18 – Derivatives and Hedging Activities for additional information about the Bank’s pledged collateral and other credit-risk-related contingent features.

The Bank charged operating expenses for net rental and related costs of approximately $5, $5, and $5 for the years ended December 31, 2015, 2014, and 2013, respectively. Future minimum rentals at December 31, 2015, were as follows:

Year	Future Minimum Rentals
2016	$	4
2017	4
2018	4
2019	3
2020	2
Total	$	17

Lease agreements for Bank premises generally provide for increases in the basic rentals resulting from increases in property taxes and maintenance expenses. Such increases are not expected to have a material effect on the Bank's financial condition or results of operations.

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

Other commitments and contingencies are discussed in Note 1 – Summary of Significant Accounting Policies, Note 8 – Advances, Note 9 – Mortgage Loans Held for Portfolio, Note 12 – Consolidated Obligations, Note 13 – Affordable Housing Program, Note 15 – Capital, Note 16 – Employee Retirement Plans and Incentive Compensation Plans, and Note 18 – Derivatives and Hedging Activities.

XML

Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks

12 Months Ended

Dec. 31, 2015

Related Party Transactions [Abstract]

Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks

Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks

Transactions with Members and Nonmembers. The Bank has a cooperative ownership structure under which current member institutions, certain former members, and certain other nonmembers own the capital stock of the Bank. Former members and nonmembers that have outstanding transactions with the Bank are required to maintain their investment in the Bank's capital stock until their outstanding transactions mature or are paid off or until their capital stock is redeemed following the five-year redemption period for capital stock or is repurchased by the Bank, in accordance with the Bank's capital requirements. (For further information on concentration risk, see Note 15 – Capital and Note 8 – Advances).

Under the FHLBank Act and Finance Agency regulations, each member eligible to vote is entitled to cast by ballot one vote for each share of stock that it was required to hold as of the record date, which is December 31, of the year prior to each election, subject to the limitation that no member may cast more votes than the average number of shares of the Bank’s stock that are required to be held by all members located in such member's state. As of and for the three-year period ending December 31, 2015, no shareholder owned more than 10% of the total voting interests in the Bank because of this statutory limit on members' voting rights.  

All advances are made to members, and all mortgage loans held for portfolio were purchased from members. The Bank also maintains deposit accounts for members, certain former members, and certain other nonmembers primarily to facilitate settlement activities that are directly related to advances and mortgage loan purchases. All transactions with members and their affiliates are entered into in the ordinary course of business.

The Bank may invest in Federal funds sold, interest-bearing deposits, commercial paper, and MBS and executes derivative transactions with members or their affiliates. The Bank purchases MBS through securities brokers or dealers and 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 a member, the Bank may give consideration to the member’s secured credit and the Bank's advances pricing. 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 exactly offsetting derivative transactions with members and other counterparties. These transactions were executed at market rates.

The FHLBank Act requires the Bank to establish an AHP. The Bank provides subsidies to members, which use the funds to assist in the purchase, construction, or rehabilitation of housing for very low-, low-, and moderate-income households. Subsidies may be in the form of direct grants or below-market interest rate advances. Only Bank members, along with their nonmember AHP project sponsors, may submit AHP applications. All AHP subsidies are made in the ordinary course of business.

The FHLBank Act also requires the Bank to establish a Community Investment Program (CIP) and authorizes the Bank to offer additional CICA programs. Under these programs, the Bank provides subsidies in the form of grants and below-market interest rate advances to members or standby letters of credit for members for community lending and economic development projects. Only Bank members may submit applications for CICA subsidies. All CICA subsidies are made in the ordinary course of business.

In instances where the member has an officer or director serving on the Bank’s Board of Directors, all of the aforementioned transactions with the member are subject to the same eligibility and credit criteria, as well as the same conditions, as comparable transactions with all other members, in accordance with regulations governing the operations of the FHLBanks. The following table shows transactions with members that have an officer or director serving on the Bank’s Board of Directors.

	December 31, 2015		December 31, 2014
Assets:
Advances	$	3,297	$	2,080
Mortgage loans held for portfolio	24		32
Accrued interest receivable	5		6
Liabilities:
Deposits	$	4	$	3
Capital:
Capital Stock	$	119	$	162

	For the Years Ended December 31,
	2015		2014		2013
Interest Income:
Advances	$	35	$	42	$	65
Mortgage loans held for portfolio	1		2		3

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

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

MPF Mortgage Loans. The Bank pays a transaction services fee to the FHLBank of Chicago for its participation in the MPF program. This fee is assessed monthly and is based on the amount of mortgage loans in which the Bank invested and which remain outstanding on its Statements of Condition. For the years ended December 31, 2015, 2014, and 2013, the Bank recorded a de minimis amount in MPF transaction services fee expense to the FHLBank of Chicago, which was recorded in the Statements of Income as other expense

Consolidated Obligations. The Bank may, from time to time, transfer to or assume from another FHLBank the outstanding primary liability for FHLBank consolidated obligations. During the years ended December 31, 2015 and 2014, the Bank did not transfer any debt to other FHLBanks or assume any debt from other FHLBanks.

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

XML

Other

12 Months Ended

Dec. 31, 2015

Other Income and Expenses [Abstract]

Other Income and Other Expense Disclosure [Text Block]

Other

The table below discloses the categories included in other operating expense for the years ended December 31, 2015, 2014, and 2013.

	2015		2014		2013
Professional and contract services	$	50	$	48	$	33
Travel	2		2		2
Occupancy	5		5		5
Equipment	10		10		9
Other	4		4		4
Total	$	71	$	69	$	53

XML

Subsequent Events

12 Months Ended

Dec. 31, 2015

Subsequent Events [Abstract]

Subsequent Events

Subsequent Events

There were no material subsequent events identified, subsequent to December 31, 2015, until the time of the Form 10-K filing with the Securities and Exchange Commission.

XML

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

12 Months Ended

Dec. 31, 2015

Accounting Policies [Line Items]

Use of Estimates, Policy [Policy Text Block]

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

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

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

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

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

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

The Bank elected the fair value option for certain financial instruments as follows:

• Adjustable rate advances with embedded options (excluding call and put options)

• Callable fixed rate advances

• Putable fixed rate advances

• Putable fixed rate advances with embedded options

• Fixed rate advances with partial prepayment symmetry

• Callable or non-callable capped floater consolidated obligation bonds

• Convertible consolidated obligation bonds

• Adjustable or fixed rate range accrual consolidated obligation bonds

• Ratchet consolidated obligation bonds

• Adjustable rate advances indexed to non-LIBOR indices such as the Prime Rate, U.S. Treasury bill, and Federal funds effective rate

• Adjustable rate consolidated obligation bonds indexed to non-LIBOR indices such as the Prime Rate, U.S. Treasury bill, and Federal funds effective rate

• Step-up callable bonds, which pay interest at increasing fixed rates for specified intervals over the life of the bond and can generally be called at the Bank's option on the step-up dates

• Step-down callable bonds, which pay interest at decreasing fixed rates for specified intervals over the life of the bond and can generally be called at the Bank's option on the step-down dates

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

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

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 Bank calculated a market-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 market-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.

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

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

The Bank’s primary inputs for measuring the fair value of advances are market-based consolidated obligation yield curve (CO Curve) inputs obtained from the Office of Finance. The CO Curve is then adjusted to reflect the rates on replacement advances with similar terms and collateral. These spread adjustments are not market-observable and are evaluated for significance in the overall fair value measurement and the fair value hierarchy level of the advance. The Bank obtains market-observable inputs for complex advances. These inputs may include volatility assumptions, which are market-based expectations of future interest rate volatility implied from current market prices for similar options (swaption volatility and volatility skew). The discount rates used in these calculations are the replacement advance rates for advances with similar terms.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

The following assets and liabilities, including those for which the Bank has elected the fair value option, are carried at fair value on the Statements of Condition as of December 31, 2015:

• Trading securities

• AFS securities

• Certain advances

• Derivative assets and liabilities

• Certain consolidated obligation bonds

• Certain other assets

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

Loans and Leases Receivable, Origination Fees, Discounts or Premiums, and Direct Costs to Acquire Loans Policy [Policy Text Block]

The participating financial institution and the Bank share the risk of credit losses on conventional MPF loan products by structuring potential losses on conventional MPF loans into layers with respect to each master commitment. After any primary mortgage insurance, the Bank is obligated to incur the first layer or portion of credit losses not absorbed by the liquidation value of the real property securing the loan. Under the MPF Program, the participating financial institution’s credit enhancement protection consists of the credit enhancement amount, which may be a direct obligation of the participating financial institution or may be a supplemental mortgage insurance policy paid for by the participating financial institution, and may include a contingent performance-based credit enhancement fee payable to the participating financial institution. The participating financial institution is required to pledge collateral to secure any portion of its credit enhancement amount that is a direct obligation.

For taking on the credit enhancement obligation, the Bank pays the participating financial institution or any successor a credit enhancement fee, which is calculated on the remaining unpaid principal balance of the mortgage loans. The Bank records credit enhancement fees as a reduction to interest income.

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 financing arrangements because they effectively represent short-term loans to counterparties that are considered by the Bank to be of investment quality, which are classified as assets in the Statements of Condition. Securities purchased under agreements to resell are held in safekeeping in the name of the Bank by third-party custodians approved by the Bank. In accordance with the terms of these loans, if the market value of the underlying securities decreases below the market value required as collateral, the counterparty must place an equivalent amount of additional securities as collateral or remit an equivalent amount of cash.

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

Shares Subject to Mandatory Redemption, Changes in Redemption Value, Policy [Policy Text Block]

The Bank reclassifies the capital stock subject to redemption from capital to a liability after a member provides the Bank with a written notice of redemption; gives notice of intention to withdraw from membership; or attains nonmember status by merger or acquisition, charter termination, or other involuntary membership termination; or after a receiver or other liquidating agent for a member transfers the member's Bank capital stock to a nonmember entity, resulting in the member's shares then meeting the definition of a mandatorily redeemable financial instrument. Shares meeting this definition are reclassified to a liability at fair value. Dividends declared on shares classified as a liability are accrued at the expected dividend rate and reflected as interest expense in the Statements of Income. The repayment of these mandatorily redeemable financial instruments (by repurchase or redemption of the shares) is reflected as a financing cash outflow in the Statements of Cash Flows once settled. See Note 15 – Capital for more information.

If a member cancels its written notice of redemption or notice of withdrawal or if the Bank allows the transfer of mandatorily redeemable capital stock to a member, the Bank reclassifies mandatorily redeemable capital stock from a liability to capital. After the reclassification, dividends on the capital stock are no longer classified as interest expense.

Investment, Policy [Policy Text Block]

The Bank classifies investments as trading, available-for-sale (AFS), or held-to-maturity (HTM) at the date of acquisition. Purchases and sales of securities are recorded on a trade date basis.

The Bank classifies certain investments as trading. These securities are held for liquidity purposes and carried at fair value with changes in the fair value of these investments recorded in other income. The Bank does not participate in speculative trading practices and holds these investments indefinitely as the Bank periodically evaluates its liquidity needs.

The Bank classifies certain securities as AFS and carries these securities at their fair value. Unrealized gains and losses on these securities are recognized in accumulated other comprehensive income (AOCI).

HTM securities are carried at cost, adjusted for periodic principal repayments; amortization of premiums and accretion of discounts; and previous OTTI recognized in net income and AOCI. The Bank classifies these investments as HTM securities because the Bank has the positive intent and ability to hold these securities until maturity.

Certain 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. Thus, the sale or transfer of an HTM security because of certain changes in circumstances, such as evidence of significant deterioration in the issuer's creditworthiness or changes in regulatory requirements, is not considered to be inconsistent with its original classification. 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 an HTM security without necessarily calling into question its intent to hold other debt securities to maturity. In addition, sales of debt securities that meet either of the following two conditions may be considered as maturities for purposes of the classification of securities: (i) the sale occurs near enough to its maturity date (or call date if exercise of the call is probable) that interest rate risk is substantially eliminated as a pricing factor and changes in market interest rates would not have a significant effect on the security's fair value, or (ii) the sale occurs after the Bank has already collected a substantial portion (at least 85%) of the principal outstanding at acquisition because of prepayments on the debt security or scheduled payments on a debt security payable in equal installments (both principal and interest) over its term.

The Bank calculates the amortization of purchase premiums and accretion of purchase discounts on investments using the level-yield method on a retrospective basis over the estimated life of the securities. This method requires a retrospective adjustment of the effective yield each time the Bank changes the estimated life as if the new estimate had been known since the original acquisition date of the securities. The Bank uses nationally recognized, market-based, third-party prepayment models to project estimated lives.

On a quarterly basis, the Bank evaluates its individual AFS and HTM investment securities in an unrealized loss position for OTTI. A security is considered impaired when its fair value is less than its amortized cost basis. For impaired debt securities, an entity is required to assess whether: (i) it has the intent to sell the debt security; (ii) it is more likely than not that it will be required to sell the debt security before its anticipated recovery of the remaining amortized cost basis of the security; or (iii) it does not expect to recover the entire amortized cost basis of the impaired debt security. If any of these conditions is met, an OTTI on the security must be recognized.

With respect to any debt security, a credit loss is defined as the amount by which the amortized cost basis exceeds the present value of the cash flows expected to be collected. If a credit loss exists but the entity does not intend to sell the debt security and it is not more likely than not that the entity will be required to sell the debt security before the anticipated recovery of its remaining amortized cost basis (the amortized cost basis less any current-period credit loss), the carrying value of the debt security is adjusted to its fair value. However, instead of recognizing the entire difference between the amortized cost basis and fair value in earnings, only the amount of the impairment representing the credit loss is recognized in earnings, while the amount of non-credit-related impairment is recognized in AOCI. The total OTTI is presented in the Statements of Income with an offset for the amount of the total OTTI that is recognized in AOCI. This presentation provides additional information about the amounts that the entity does not expect to collect related to a debt security. The credit loss on a debt security is limited to the amount of that security's unrealized losses.

For subsequent accounting of other-than-temporarily impaired securities, if the present value of cash flows expected to be collected is less than the amortized cost basis, the Bank records an additional OTTI. The amount of total OTTI for a security that was previously impaired is calculated as the difference between its amortized cost less the amount of OTTI recognized in AOCI prior to the determination of OTTI and its fair value. For an other-than-temporarily impaired security that was previously impaired and has subsequently incurred an additional OTTI related to credit loss (limited to that security's unrealized losses), this additional credit-related OTTI, up to the amount in AOCI, would be reclassified out of non-credit-related OTTI in AOCI and charged to earnings. Any credit loss in excess of the related AOCI is charged to earnings.

Subsequent related increases and decreases (if not an OTTI) in the fair value of AFS securities will be netted against the non-credit component of OTTI previously recognized in AOCI.

For securities classified as HTM, the OTTI recognized in AOCI is accreted to the carrying value of each security on a prospective basis, based on the amount and timing of future estimated cash flows (with no effect on earnings unless the security is subsequently sold or there are additional decreases in cash flows expected to be collected). For securities classified as AFS, the Bank does not accrete the OTTI recognized in AOCI to the carrying value because the subsequent measurement basis for these securities is fair value.

For securities previously identified as other-than-temporarily impaired, the Bank updates its estimate of future estimated cash flows on a regular basis. If there is no additional impairment on the security, the yield of the security is adjusted upward on a prospective basis when there is a significant increase in the expected cash flows. This accretion is included in net interest income in the Statements of Income.

On a quarterly basis, the Bank evaluates its individual AFS and HTM investment securities in an unrealized loss position for OTTI.

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 December 31, 2015, using two third-party models. The first model projects prepayments, default rates, and loss severities on the underlying loan collateral based on borrower characteristics and the particular attributes of the loans underlying the Bank’s securities, in conjunction with assumptions related primarily to future changes in housing prices and interest rates. A significant input to the first model is the forecast of future housing price changes for the relevant states and core-based statistical areas (CBSAs), which are based on an assessment of the regional housing markets. CBSA refers collectively to metropolitan and micropolitan statistical areas as defined by the U.S. Office of Management and Budget. As currently defined, a CBSA must contain at least one urban area with a population of 10,000 or more people.

The OTTI Governance Committee of the Federal Home Loan Banks (FHLBanks) developed a short-term housing price forecast with projected changes ranging from a decrease of 3.0% to an increase of 8.0% over the 12-month period beginning October 1, 2015. For the vast majority of markets, the projected short-term housing price changes range from an increase of 2.0% to an increase of 5.0%. Thereafter, a unique path is projected for each geographic area based on an internally developed framework derived from historical data.

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

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, the one-month London Interbank Offered Rate (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 rates of the index change 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 the PLRMBS in its AFS and HTM portfolios, the Bank does not intend to sell any security and it is not more likely than not that the Bank will be required to sell any security before its anticipated recovery of the remaining amortized cost basis.

Pension and Other Postretirement Plans, Policy [Policy Text Block]

Retirement Savings Plan. The Bank sponsors a qualified defined contribution retirement 401(k) savings plan, the Federal Home Loan Bank of San Francisco Savings Plan (Savings Plan). Contributions to the Savings Plan consist of elective participant contributions of up to 20% of each participant's base compensation and a Bank matching contribution of up to 6% of each participant's base compensation. The Bank contributed approximately $2, $2, and $2 during the years ended December 31, 2015, 2014, and 2013, respectively.

Benefit Equalization Plan. The Bank sponsors a non-qualified retirement plan restoring benefits offered under the Savings Plan that have been limited by laws governing the plan. Contributions made during the years ended December 31, 2015, 2014, and 2013, were de minimis.

Deferred Compensation Plan. The Bank maintains a deferred compensation plan that is available to all eligible Bank officers. The defined contribution portion of the plan is comprised of two components: (i) officer or director deferral of current compensation, and (ii) make-up matching contributions for officers that would have been made by the Bank under the Savings Plan had the compensation not been deferred. The make-up benefits under the Deferred Compensation Plan vest according to the corresponding provisions of the Savings Plan. The Deferred Compensation Plan liability consists of the accumulated compensation deferrals and accrued earnings on the deferrals, as well as the make-up matching contributions and any accrued earnings on the contributions. The Bank's obligation for this plan at December 31, 2015, 2014, and 2013, was $35, $33, and $30, respectively.

Incentive Compensation Plans

The Bank provides incentive compensation plans for many of its employees, including senior officers. Other liabilities include $12 and $12 for incentive compensation at December 31, 2015 and 2014, respectively

The Cash Balance Plan is administered by the Bank's Retirement Committee, which establishes the plan's Statement of Investment Policy and Objectives. The Retirement Committee has adopted a strategic asset allocation based on a stable distribution of assets among major asset classes. These asset classes include domestic large-, mid-, and small-capitalization equity investments; international equity investments; real return investments; and fixed income investments. The Retirement Committee has set the Cash Balance Plan's target allocation percentages for a mix of 60% equity, 10% real return, and 30% fixed income. The Retirement Committee reviews the performance of the Cash Balance Plan on a regular basis.

The Bank uses a discount rate to determine the present value of its future benefit obligations. The discount rate was determined based on the Citigroup Pension Discount Curve at the measurement date. The Citigroup Pension Discount Curve is a yield curve that reflects the market-observed yields for high-quality fixed income securities for each maturity. The projected benefit payments for each year from the plan are discounted using the spot rates on the yield curve to derive a single equivalent discount rate. The discount rate is reset annually on the measurement date.

The expected return on plan assets was determined based on: (i) the historical returns for each asset class, (ii) the expected future long-term returns for these asset classes, and (iii) the plan's target asset allocation.

Qualified Defined Benefit Plan. The Bank provides retirement benefits through a Bank-sponsored Cash Balance Plan, a qualified defined benefit plan. The Cash Balance Plan is provided to all employees who have completed six months of Bank service. Under the plan, each eligible Bank employee accrues benefits annually equal to 6% of the employee's annual compensation, plus 6% interest on the benefits accrued to the employee through the prior yearend. The Cash Balance Plan is funded through a qualified trust established by the Bank.

Non-Qualified Defined Benefit Plans. The Bank sponsors the following non-qualified defined benefit retirement plans:

• Benefit Equalization Plan, a non-qualified retirement plan restoring benefits offered under the Cash Balance Plan that are limited by laws governing the plan. See below for further discussion of the defined contribution portion of the Benefit Equalization Plan.

• Supplemental Executive Retirement Plan (SERP),a non-qualified unfunded retirement benefit plan available to the Bank's eligible senior officers, which generally provides a service-linked supplemental cash balance annual contribution credit to SERP participants and an annual interest credit of 6% on the benefits accrued to the SERP participants through the prior yearend.

• Deferred Compensation Plan, a non-qualified retirement plan available to all eligible Bank officers, which provides make-up pension benefits that would have been earned under the Cash Balance Plan had the compensation not been deferred. The make-up benefits vest according to the corresponding provisions of the Cash Balance Plan. See below for further discussion of the defined contribution portion of the Deferred Compensation Plan.

Postretirement Health Benefit Plan. The Bank provides a postretirement health benefit plan to employees hired before January 1, 2003. The Bank's costs are capped at 1998 health care premium amounts. As a result, changes in health care cost trend rates will have no effect on the Bank's accumulated postretirement benefit obligation or service and interest costs.

Debt, Policy [Policy Text Block]

Consolidated obligations are recorded at amortized cost unless the Bank has elected the fair value option, in which case the consolidated obligations are carried at fair value.

The discounts on consolidated obligation discount notes for which the Bank is the primary obligor are amortized to expense using the level-yield method over the term to maturity. The discounts and premiums on consolidated obligation bonds for which the Bank is the primary obligor are amortized to expense using the level-yield method over the remaining contractual life or on a retrospective basis over the estimated life of the consolidated obligation bonds.

Concessions are paid to dealers in connection with the issuance of consolidated obligations for which the Bank is the primary obligor. The amount of the concession is allocated to the Bank by the Office of Finance based on the percentage of the debt issued for which the Bank is the primary obligor. Concessions paid on consolidated obligations designated under the fair value option are expensed as incurred. Concessions paid on consolidated obligations not designated under the fair value option are deferred and amortized to expense using the level-yield method over the remaining contractual life or on a retrospective basis over the estimated life of the consolidated obligations. Unamortized concessions were $9 and $12 at December 31, 2015 and 2014, respectively, and are included in “Other assets.” Amortization of concessions is included in consolidated obligation interest expense and totaled $7, $6, and $7, in 2015, 2014, and 2013, respectively.

Regulator Expenses, Cost Assessed on Federal Home Loan Bank, Policy [Policy Text Block]

The FHLBanks fund a portion of the costs of operating the Finance Agency, and each FHLBank is assessed a proportionate share of those costs. The Finance Agency allocates its expenses and working capital fund among the FHLBanks based on the ratio between each FHLBank's minimum required regulatory capital and the aggregate minimum required regulatory capital of all the FHLBanks.

Office of Finance Cost Assessed on Federal Home Loan Bank, Policy [Policy Text Block]

Each FHLBank is assessed a proportionate share of the cost of operating the Office of Finance, which facilitates the issuance and servicing of consolidated obligations. The Office of Finance allocates its operating and capital expenditures among the FHLBanks as follows: (1) two-thirds of the assessment is based on each FHLBank's share of total consolidated obligations outstanding, and (2) one-third of the assessment is based on an equal pro rata allocation.

Federal Home Loan Bank Assessments, Policy [Policy Text Block]

As more fully discussed in Note 13 – Affordable Housing Program, the FHLBank Act requires each FHLBank to establish and fund an Affordable Housing Program (AHP). The Bank charges the required funding for the AHP to earnings and establishes a liability. The AHP funds provide subsidies to members to assist in the purchase, construction, or rehabilitation of housing for very low-, low-, and moderate-income households. Subsidies may be in the form of direct grants or below-market interest rate advances.

The FHLBank Act requires each FHLBank to establish an Affordable Housing Program (AHP). Each FHLBank provides subsidies to members, which use the funds to assist in the purchase, construction, or rehabilitation of housing for very low-, low-, and moderate-income households. Subsidies may be in the form of direct grants or below-market interest rate advances. Annually, the FHLBanks must set aside for their AHPs, in the aggregate, the greater of $100 or 10% of the current year's net earnings (income before interest expense related to mandatorily redeemable capital stock and the assessment for AHP).

The Bank accrues its AHP assessment monthly based on its net earnings. If the Bank experienced a net loss during a quarter but still had net earnings for the year, the Bank's obligation to the AHP would be calculated based on the Bank's year-to-date net earnings. If the Bank had net earnings in subsequent quarters, it would be required to contribute additional amounts to meet its calculated annual obligation. If the Bank experienced a net loss for a full year, the amount of the AHP liability would be equal to zero, since each FHLBank's required annual AHP contribution is limited to its annual net earnings. However, if the result of the aggregate 10% calculation is less than $100 for the FHLBanks combined, then the FHLBank Act requires that each FHLBank contribute such prorated sums as may be required to ensure that the aggregate contribution of the FHLBanks equals $100. The proration would be made on the basis of an FHLBank's income in relation to the income of all the FHLBanks for the previous year. There was no AHP shortfall, as described above, in 2015, 2014, or 2013. If an FHLBank finds that its required AHP assessments are contributing to the financial instability of that FHLBank, it may apply to the Finance Agency for a temporary suspension of its contributions. The Bank did not make such an application in 2015, 2014, or 2013.

The FHLBank Act requires the Bank to establish an AHP. The Bank provides subsidies to members, which use the funds to assist in the purchase, construction, or rehabilitation of housing for very low-, low-, and moderate-income households. Subsidies may be in the form of direct grants or below-market interest rate advances. Only Bank members, along with their nonmember AHP project sponsors, may submit AHP applications. All AHP subsidies are made in the ordinary course of business.

The FHLBank Act also requires the Bank to establish a Community Investment Program (CIP) and authorizes the Bank to offer additional CICA programs. Under these programs, the Bank provides subsidies in the form of grants and below-market interest rate advances to members or standby letters of credit for members for community lending and economic development projects. Only Bank members may submit applications for CICA subsidies. All CICA subsidies are made in the ordinary course of business.

Fair Value Measurement, Policy [Policy Text Block]

Many of the Bank's financial instruments lack an available liquid trading market as characterized by frequent exchange transactions between a willing buyer and willing seller. Therefore, the Bank uses financial models employing significant assumptions and present value calculations for the purpose of determining estimated fair values. Thus, the fair values may not represent the actual values of the financial instruments that could have been realized as of yearend or that will be realized in the future.

Fair values for certain financial instruments are based on quoted prices, market rates, or replacement rates for similar financial instruments as of the last business day of the year. The estimated fair values of the Bank's financial instruments and related assumptions are detailed in Note 19 – Fair Value.

Letter of Credit Policy [Policy Text Block]

Letter of credit fees are recorded as other income over the term of the letter of credit.

Cash and Cash Equivalents, Policy [Policy Text Block]

These investments provide short-term liquidity and are carried at cost. The Bank invests in Federal funds sold with counterparties that are considered by the Bank to be of investment quality.

Cash on hand, cash items in the process of collection, and amounts due from correspondent banks and the Federal Reserve Bank are included in Cash and due from banks on the Statements of Condition.

Cash and due from banks includes certain compensating balances, wherethe Bank maintains collected cash balances with commercial banks in consideration for certain services. There are no legal restrictions under these agreements on the withdrawal of these funds.

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

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

The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time this collateral is received or pledged. Likewise, there may be a delay for excess collateral to be returned. For derivative instruments that meet the netting requirements, any excess cash collateral received or pledged is recognized as a derivative liability or derivative asset. Additional information regarding these agreements is provided in Note 18 – Derivatives and Hedging Activities. Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented.

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

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

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

to determine whether it is the primary beneficiary in any VIE. The Bank evaluated its investments in VIEs as of December 31, 2015, to determine whether it is a primary beneficiary of any of these investments. The primary beneficiary is required to consolidate a VIE. The Bank determined that consolidation accounting is not required because the Bank is not the primary beneficiary of these VIEs for the periods presented. The Bank does not have the power to significantly affect the economic performance of any of these investments because it does not act as a key decision maker nor does it have the unilateral ability to replace a key decision maker. In addition, the Bank does not design, sponsor, transfer, service, or provide credit or liquidity support in any of its investments in VIEs. The Bank’s maximum loss exposure for these investments is limited to the carrying value.

Federal Home Loan Bank Advances, Disclosure [Text Block]

The Bank reports advances (loans to members, former members or their successors, or housing associates) either at amortized cost or at fair value when the fair value option is elected. Advances carried at amortized cost are reported net of premiums, discounts (including discounts related to the Affordable Housing Program), and hedging adjustments. The Bank amortizes premiums and accretes discounts and recognizes hedging adjustments resulting from the discontinuation of a hedging relationship to interest income using a level-yield methodology. Interest on advances is credited to income as earned. For advances carried at fair value, the Bank recognizes contractual interest in interest income.

In cases in which the Bank funds an advance concurrent with or within a short period of time before or after the prepayment of a previous advance to the same member, the Bank evaluates whether the subsequent advance meets the accounting criteria to qualify as a modification of an existing advance or whether it constitutes a new advance. The Bank compares the present value of the cash flows on the subsequent advance to the present value of the cash flows remaining on the previous advance. If there is at least a 10% difference in the present value of the cash flows or if the Bank concludes that the difference between the advances is more than minor based on a qualitative assessment of the modifications made to the previous advance's contractual terms, then the subsequent advance is accounted for as a new advance. In all other instances, the subsequent advance is accounted for as a modification.

Loans and Leases Receivable, Allowance for Loan Losses Policy [Policy Text Block]

An allowance for credit losses is a valuation allowance separately established for each identified portfolio segment, if it is probable that impairment has occurred in the Bank's portfolio as of the Statements of Condition date and the amount of loss can be reasonably estimated. To the extent necessary, an allowance for credit losses for off-balance sheet credit exposures is recorded as a liability.

A portfolio segment is defined as the level at which an entity develops and documents a systematic method for determining its allowance for credit losses. The Bank has developed and documented a systematic methodology for determining an allowance for credit losses for each applicable portfolio segment.

See Note 10 – Allowance for Credit Losses for more information.

An allowance for credit losses is a valuation allowance separately established for each identified portfolio segment, if it is probable that impairment has occurred in the Bank's portfolio as of the Statements of Condition date and the amount of loss can be reasonably estimated. To the extent necessary, an allowance for credit losses for off-balance sheet credit exposures is recorded as a liability.

Portfolio Segments.A portfolio segment is defined as the level at which an entity develops and documents a systematic method for determining its allowance for credit losses. The Bank has developed and documented a systematic methodology for determining an allowance for credit losses for each of the following portfolio segments:

• advances, letters of credit, and other extensions of credit, collectively referred to as “credit products,”

• MPF loans held for portfolio,

• term securities purchased under agreements to resell, and

• term Federal funds sold.

Classes of Financing Receivables.Classes of financing receivables generally are a disaggregation of a portfolio segment to the extent needed to understand the exposure to credit risk arising from these financing receivables. The Bank determined that no further disaggregation of the portfolio segments identified above is needed because the credit risk arising from these financing receivables is assessed and measured by the Bank at the portfolio segment level.

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

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

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

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

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

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

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

The Bank calculates its estimated allowance for credit losses on mortgage loans acquired under the MPF Original and MPF Plus products as described below. Effective January 1, 2015, the Bank implemented the accounting requirements of regulatory Advisory Bulletin 2012-02. As a result, for any mortgage loans that are more than 180 days past due and that have any outstanding balance in excess of the fair value of the property, less cost to sell, this excess is charged off as a loss by the end of the month in which the applicable time period elapses. Likewise, when a borrower is in bankruptcy, loans are written down to the fair value of the collateral, less cost to sell, in general within 60 days of receipt of the notification of filing from the bankruptcy court, unless it can be clearly demonstrated and documented that repayment is likely to occur. As a result of these charge-offs during 2015, corresponding Allowance for Credit Losses on MPF Loans, which had previously provided for most of these expected losses, was reduced accordingly.

Allowance for Credit Losses on MPF Loans –The Bank evaluates the allowance for credit losses on MPF mortgage loans based on two components. The first component applies to each individual loan that is specifically identified as impaired. The Bank evaluates the exposure on these loans by considering the first layer of loss protection (the liquidation value of the real property securing the loan) and the availability and collectability of credit enhancements under the terms of each master commitment and records a provision for credit losses.

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 to offset losses under the master commitment, or the collectability or availability of credit enhancement is deemed to be uncertain. 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 financial institution is reported 90 days or more past due or when the loan is in foreclosure. 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.

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 or

automated valuation models (AVMs) based on property characteristics as well as 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 collectively evaluated for

impairment considers loan pool-specific attribute data, applies estimated loss severities, and considers the

associated credit enhancements to determine the Bank's best estimate of probable incurred losses. The analysis

includes estimating projected cash flows that the Bank is likely to collect based on an assessment of all available

information, including prepayment speeds, default rates, and loss severity for the mortgage loans based on

underlying loan-level borrower and loan characteristics; expected housing price changes; and interest rate assumptions. In performing a detailed cash flow analysis, the Bank develops its best estimate of the cash flows

expected to be collected using a third-party model to project prepayments, default rates, and loss severities based on

borrower characteristics and the particular attributes of the mortgage loans, in conjunction with assumptions related

primarily to future changes in housing prices and interest rates. The assumptions used as inputs to the model,

including the forecast of future housing price changes, are consistent with assumptions used for the Bank's

evaluation of its PLRMBS for OTTI.

Finance, Loan and Lease Receivables, Held-for-investment, Allowance and Nonperforming Loans, Nonperforming Loans Policy [Policy Text Block]

A mortgage loan is considered impaired when, based on current information and events, it is probable that the Bank will be unable to collect all amounts due according to the contractual terms of the loan agreement.

Loans that are on non-accrual 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, there is no other available and reliable source of repayment. 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 non-accrual loans noted below.

The Bank places a mortgage loan on nonaccrual status when the collection of the contractual principal or interest from the participating financial 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. If the collection of the remaining principal amount due is considered doubtful, then cash payments received would be applied first solely to principal until the remaining principal amount due is expected to be collected and then as a recovery of any charge-off, if applicable, followed by recording interest income. A loan on non-accrual status may be restored to accrual when (1) none of its contractual principal and interest is due and unpaid, and the Bank expects repayment of the remaining contractual interest and principal, or (2) it otherwise becomes well secured and in the process of collection. For any mortgage loans that are more than 180 days past due and that have any outstanding balance in excess of the fair value of the property, less cost to sell, this excess is charged off as a loss by the end of the month in which the applicable time period elapses. Likewise, when a borrower is in bankruptcy, loans are written down to the fair value of the collateral, less cost to sell, in general within 60 days of receipt of the notification of filing from the bankruptcy court, unless it can be clearly demonstrated and documented that repayment is likely to occur.

Finance, Loan and Lease Receivables, Held for Investments, Foreclosed Assets Policy [Policy Text Block]

Real estate owned (REO) includes assets that have been received in satisfaction of debt through foreclosures. REO is initially recorded at fair value less estimated selling costs and is subsequently carried at the lower of that amount or current fair value less estimated selling costs. The Bank recognizes a charge-off to the allowance for credit losses if the fair value of the REO less estimated selling costs is less than the recorded investment in the loan at the date of transfer from loans to REO. Any subsequent realized gains, realized or unrealized losses, and carrying costs are included in other non-interest expense in the Statements of Income. REO is recorded in “Other assets” in the Statements of Condition. At December 31, 2015, the Bank’s other assets included $2 of REO resulting from foreclosure of 21 mortgage loans held by the Bank. At December 31, 2014, the Bank’s other assets included $2 of REO resulting from foreclosure of 23 mortgage loans held by the Bank.

Loans and Leases Receivable, Troubled Debt Restructuring Policy [Policy Text Block]

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

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

Finance, Loan and Lease Receivables, Held-for-investment, Allowance and Nonperforming Loans, Allowance Policy [Policy Text Block]

Credit Products. The Bank lends to member financial institutions that have a principal place of business in Arizona, California, or Nevada. Under the 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 capital stock of the Bank owned by each borrowing member is pledged as additional collateral for the member's indebtedness to the Bank. 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 Housing and Economic Recovery Act of 2008 (Housing Act) added secured loans for community development activities as collateral that the Bank may accept from community financial institutions. In addition, the Bank has advances outstanding to former members and member successors, which are also subject to these security terms.

The Bank requires each borrowing member to execute a written Advances and Security Agreement, which describes the lending relationship between the Bank and the borrower. At December 31, 2015 and 2014, the Bank had a perfected security interest in collateral pledged by each borrowing member, or by the member's affiliate on behalf of the member, and by each nonmember borrower, with an estimated value in excess of the outstanding credit products for that borrower. Based on the financial condition of the borrower, the Bank may either (i) allow the borrower or the pledging affiliate to retain physical possession of loan collateral pledged to the Bank, provided that the borrower or the pledging affiliate agrees to hold the collateral for the benefit of the Bank, or (ii) require the borrower or the pledging affiliate to deliver physical possession of loan collateral to the Bank or its custodial agent. All securities collateral is required to be delivered to the Bank's custodial agent. All loan collateral pledged to the Bank is subject to a UCC-1 financing statement.

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

The Bank classifies as impaired any advance with respect to which 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 future principal payments are no longer in doubt. No advances were classified as impaired during the periods presented.

The Bank manages its credit exposure related to credit products through an integrated approach that generally provides for a credit limit to be established for each borrower, includes an ongoing review of each borrower’s financial condition, and is coupled with conservative collateral and lending policies to limit the risk of loss while taking into account borrowers’ needs for a reliable funding source. At December 31, 2015 and 2014, 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 2015 and 2014.

Based on the collateral pledged as security for advances, the Bank’s credit analyses of borrowers’ financial condition, and the Bank’s credit extension and collateral policies as of December 31, 2015, the Bank expects to collect all amounts due according to the contractual terms. Therefore, no allowance for losses on credit products was deemed necessary by the Bank. The Bank has never experienced any credit losses on its credit products.

Derivatives, Policy [Policy Text Block]

All derivatives are recognized on the Statements of Condition at their fair value. The Bank has elected to report derivative assets and derivative liabilities net of cash collateral, including initial and variation margin, and accrued interest received from or pledged to futures commission merchants (clearing agents) or counterparties. The fair values of derivatives are netted by clearing agent or counterparty when the netting requirements have been met. If these netted amounts are positive, they are classified as an asset, and if negative, they are classified as a liability. Cash flows associated with derivatives are reflected as cash flows from operating activities in the Statements of Cash Flows unless the derivative meets the criteria to be a financing derivative.

Each derivative is designated as one of the following:

(1) a qualifying hedge of the change in fair value of (i) a recognized asset or liability or (ii) an unrecognized firm commitment (a fair value hedge);

(2) a qualifying hedge of (i) a forecasted transaction or (ii) the variability of cash flows that are to be received or paid in connection with a recognized asset or liability (a cash flow hedge);

(3) a non-qualifying hedge of an asset or liability for asset-liability management purposes or of certain advances and consolidated obligation bonds for which the Bank elected the fair value option (an economic hedge); or

(4) a non-qualifying hedge of another derivative (an intermediation hedge) that is offered as a product to members or used to offset other derivatives with nonmember counterparties.

If hedging relationships meet certain criteria, including but not limited to formal documentation of the hedging relationship and an expectation to be hedge effective, they are eligible for hedge accounting, and the offsetting changes in fair value of the hedged items attributable to the hedged risk may be recorded in earnings. The application of hedge accounting generally requires the Bank to evaluate the effectiveness of the hedging relationships at inception and on an ongoing basis and to calculate the changes in fair value of the derivatives and the related hedged items independently. This is known as the “long-haul” method of hedge accounting. Transactions that meet certain criteria qualify for the “short-cut” method of hedge accounting, in which an assumption can be made that the change in the fair value of a hedged item, because of changes in the benchmark rate, exactly offsets the change in the value of the related derivative. Under the shortcut method, the entire change in fair value of the interest rate swap is considered to be effective at achieving offsetting changes in fair values or cash flows of the hedged asset or liability.

Derivatives are typically executed at the same time as the hedged item, and the Bank designates the hedged item in a qualifying hedge relationship as of the trade date. In many hedging relationships, the Bank may designate the hedging relationship upon its commitment to disburse an advance or trade a consolidated obligation in which settlement occurs within the shortest period of time possible for the type of instrument based on market settlement conventions. The Bank records the changes in the fair value of the derivatives and the hedged item beginning on the trade date.

Changes in the fair value of a derivative that qualifies as a fair value hedge and is designated as a fair value hedge, along with changes in the fair value of the hedged asset or liability (hedged item) that are attributable to the hedged risk (including changes that reflect losses or gains on firm commitments), are recorded in other income as “Net gain/(loss) on derivatives and hedging activities.”

Changes in the fair value of a derivative that qualifies as a cash flow hedge and is designated as a cash flow hedge, to the extent that the hedge is effective, are recorded in AOCI, a component of capital, until earnings are affected by the variability of the cash flows of the hedged transaction (until the periodic recognition of interest on a variable rate asset or liability is recorded in earnings).

For both fair value and cash flow hedges, any hedge ineffectiveness (which represents the amount by which the change in the fair value of the derivative differs from the change in the fair value of the hedged item or the variability in the cash flows of the forecasted transaction) is recorded in other income as “Net gain/(loss) on derivatives and hedging activities.”

Changes in the fair value of a derivative designated as an economic hedge or an intermediation hedge are recorded in current period earnings with no fair value adjustment to an asset or liability. An economic hedge is defined as a derivative hedging certain advances and consolidated obligation bonds for which the Bank elected the fair value option, or hedging specific or non-specific underlying assets, liabilities, or firm commitments, that does not qualify or was not designated for fair value or cash flow hedge accounting, but is an acceptable hedging strategy under the Bank's risk management program. These economic hedging strategies also comply with Finance Agency regulatory requirements prohibiting speculative hedge transactions. An economic hedge introduces the potential for earnings variability caused by the changes in fair value of the derivatives that are recorded in the Bank's income but are not offset by corresponding changes in the value of the economically hedged assets, liabilities, or firm commitments. The derivatives used in intermediary activities do not qualify for 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. Changes in the fair value of these non-qualifying hedges are recorded in other income as “Net gain/(loss) on derivatives and hedging activities.” In addition, the net settlements associated with these non-qualifying hedges are recorded in other income as “Net gain/(loss) on derivatives and hedging activities.” Cash flows associated with these stand-alone derivatives are reflected as cash flows from operating activities in the Statements of Cash Flows unless the derivative meets the criteria to be designated as a financing derivative.

The net settlements of interest receivables and payables on derivatives designated as fair value or cash flow hedges are recognized as adjustments to the interest income or interest expense of the designated underlying hedged item. The net settlements of interest receivables and payables on intermediated derivatives for members and other economic hedges are recognized in other income as “Net gain/(loss) on derivatives and hedging activities.”

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

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

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.

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

Derivatives, Hedge Discontinuances [Policy Text Block]

The Bank discontinues hedge accounting prospectively when: (i) it determines that the derivative is no longer effective in offsetting changes in the fair value 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.

When hedge accounting is discontinued, the Bank either terminates the derivative or continues to carry the derivative on the Statements of Condition at its fair value, ceases to adjust the hedged asset or liability for changes in fair value, and amortizes the cumulative basis adjustment on the hedged item into earnings over the remaining life of the hedged item using a level-yield methodology.

When hedge accounting is discontinued because the Bank determines that the derivative no longer qualifies as an effective cash flow hedge of an existing hedged item, the Bank continues to carry the derivative on the Statements of Condition at its fair value and reclassifies the AOCI adjustment into earnings when earnings are affected by the existing hedged item (the original forecasted transaction).

Under limited circumstances, when the Bank discontinues cash flow hedge accounting because it is no longer probable that the forecasted transaction will occur by the end of the originally specified time period, or within the following two months, but it is probable the transaction will still occur in the future, the gain or loss on the derivative remains in AOCI and is recognized in earnings when the forecasted transaction affects earnings. However, if it is probable that a forecasted transaction will not occur by the end of the originally specified time period or within the following two months, the gains and losses that were recorded in AOCI are recognized immediately in earnings.

When hedge accounting is discontinued because the hedged item no longer meets the definition of a firm commitment, the Bank continues to carry the derivative on the Statements of Condition at its fair value, removing from the Statements of Condition any asset or liability that was recorded to recognize the firm commitment and recording it as a gain or loss in current period earnings.

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

Derivatives, Embedded Derivatives [Policy Text Block]

The Bank may be the primary obligor on consolidated obligations and may make advances in which derivative instruments are embedded. Upon execution of these transactions, the Bank assesses whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the advance or debt (the host contract) and whether a separate, non-embedded instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. When it is determined that: (i) the embedded derivative has economic characteristics that are not clearly and closely related to the economic characteristics of the host contract, and (ii) a separate, stand-alone instrument with the same terms would qualify as a derivative instrument, the embedded derivative is separated from the host contract, carried at fair value, and designated as a stand-alone derivative instrument equivalent to an economic hedge. However, the entire contract is carried on the Statements of Condition at fair value and no portion of the contract is designated as a hedging instrument if the entire contract (the host contract and the embedded derivative) is to be measured at fair value, with changes in fair value reported in current period earnings (such as an investment security classified as trading, as well as hybrid financial instruments that are eligible for the fair value option), or if the Bank cannot reliably identify and measure the embedded derivative for purposes of separating the derivative from its host contract.

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 December 31, 2015 or 2014. The Bank has generally elected to account for certain bonds with embedded features under the fair value option, and these bonds are carried at fair value on the Statements of Condition.

When a callable bond for which the Bank is the primary obligor is issued, the Bank may simultaneously enter into an interest rate swap (in which the Bank pays a variable rate and receives a fixed rate) with a call feature that mirrors the call option embedded in the bond (a sold callable swap).

Property, Plant and Equipment, Policy [Policy Text Block]

The Bank records premises, software, and equipment at cost less accumulated depreciation and amortization.The Bank's accumulated depreciation and amortization related to premises, software, and equipment totaled $52 and $67 at December 31, 2015 and 2014, respectively. Improvements and major renewals are capitalized; ordinary maintenance and repairs are expensed as incurred. Depreciation is computed on the straight-line method over the estimated useful lives of assets ranging from 3 to 10 years, and leasehold improvements are amortized on the straight-line method over the estimated useful life of the improvement or the remaining term of the lease, whichever is shorter. Depreciation and amortization expense was $8 for 2015, $9 for 2014, and $9 for 2013. The Bank includes gains and losses on disposal of premises, software, and equipment in other income. The net realized gain on disposal of premises, software, and equipment, primarily related to the 1999 sale of the Bank's building, was $1, $1, and $1 in 2015, 2014, and 2013, respectively.

The cost of computer software developed or obtained for internal use is capitalized and depreciated over future periods. At December 31, 2015 and 2014, the Bank had $18 and $20 in unamortized computer software costs respectively. Depreciation of computer software costs charged to expense was $6, $7, and $7 in 2015, 2014, and 2013, respectively.

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

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

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

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

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

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

The notional amount of an interest rate exchange agreement serves as a factor in determining periodic interest payments or cash flows received and paid. However, the notional amount of derivatives represents neither the actual amounts exchanged nor the overall exposure of the Bank to credit risk and market risk. The risks of derivatives can be measured meaningfully on a portfolio basis by taking into account the counterparties, the types of derivatives, the items being hedged, and any offsets between the derivatives and the items being hedged.

The Bank’s agreements for uncleared derivative transactions contain provisions that link the Bank’s credit rating from Moody’s and Standard & Poor’s to various rights and obligations. Certain of these derivative agreements provide that, if the Bank’s long-term debt rating falls below a specified rating (ranging from A3/A- to Baa3/BBB-), the Bank’s counterparty would have the right, but not the obligation, to terminate all of its outstanding derivative transactions with the Bank; the Bank’s agreements with its clearing agents for cleared derivative transactions have similar provisions with respect to the debt rating of FHLBank System consolidated bonds. If this occurs, the Bank may choose to enter into replacement hedges, either by transferring the existing transactions to another counterparty or entering into new replacement transactions, based on prevailing market rates. In addition, under some of its credit support agreements for uncleared derivative transactions, the amount of collateral that the Bank is required to deliver to a counterparty depends on the Bank’s credit rating.

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

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

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

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

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

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

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

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

The Bank’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.

Deposits, Policy [Policy Text Block]

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

Stockholders' Equity, Policy [Policy Text Block]

The Bank's capital plan requires each member to own capital stock in an amount equal to the greater of its membership capital stock requirement or its activity-based capital stock requirement. The Bank may adjust these requirements from time to time within limits established in the capital plan. Any changes to the capital plan must be approved by the Bank's Board of Directors and the Finance Agency.

The Bank amended its capital plan, effective April 1, 2015, to lower the cap on the membership stock requirement to $15 from $25, lower the activity-based stock requirement to 3.0% from 4.7% for outstanding advances and to 3.0% from 5.0% for mortgage loans purchased and held by the Bank, and change the authorized ranges for the activity-based stock requirement to a range of 2.0% to 5.0% from a range of 4.4% to 5.0% for advances and to a range of 0.0% to 5.0% from a range of 5.0% to 5.7% for mortgage loans purchased and held by the Bank. Effective August 3, 2015, the Bank reduced its activity-based stock requirements within the ranges authorized by the Bank’s capital plan. The activity-based stock requirement for advances was reduced from 3.0% to 2.7%, and the activity-based stock requirement for mortgage loans purchased from the member and held by the Bank was reduced from 3.0% to 0.0%.

A member's membership capital stock requirement is 1.0% of its membership asset value. The membership capital stock requirement for a member is capped at $15. The Bank may adjust the membership capital stock requirement for all members within a range of 0.5% to 1.5% of a member's membership asset value and may adjust the cap for all members within an authorized range of $10 to $50. A member's membership asset value is determined by multiplying the amount of the member's membership assets by the applicable membership asset factors. Membership assets are generally defined as assets (other than Bank capital stock) of a type that could qualify as collateral to secure a member's indebtedness to the Bank under applicable law, whether or not the assets are pledged to the Bank or accepted by the Bank as eligible collateral. The membership asset factors were initially based on the typical borrowing capacity percentages generally assigned by the Bank to the same types of assets when pledged to the Bank (although the factors may differ from the actual borrowing capacities, if any, assigned to particular assets pledged by a specific member at any point in time).

A member's activity-based capital stock requirement is the sum of 2.7% of the member's outstanding advances plus 0.0% of any portion of any mortgage loan purchased and held by the Bank. The Bank may adjust the activity-based capital stock requirement for all members within a range of 2.0% to 5.0% of the member's outstanding advances and a range of 0.0% to 5.0% of any portion of any mortgage loan purchased and held by the Bank.

The Bank issues only one class of capital stock, Class B stock, with a par value of one hundred dollars per share, which may be redeemed (subject to certain conditions) upon five years' notice by the member to the Bank. In addition, at its discretion, under certain conditions, the Bank may repurchase excess capital stock at any time. (See “Excess Capital Stock” below for more information.) The capital stock may be issued, redeemed, and repurchased only at its stated par value, subject to certain statutory and regulatory requirements. The Bank may only redeem or repurchase capital stock from a shareholder if, following the redemption or repurchase, the shareholder will continue to meet its minimum capital stock requirement and the Bank will continue to meet its regulatory requirements for total capital, leverage capital, and risk-based capital.

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

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

The Bank’s Risk Management Policy limits the payment of dividends if the ratio of the Bank’s estimated market value of total capital to par value of capital stock falls below certain levels. If this ratio at the end of any quarter is less than 100% but greater than or equal to 70%, any dividend would be limited to an annualized rate no greater than the daily average of the three-month LIBOR for the applicable quarter (subject to certain conditions), and if this ratio is less than 70%, the Bank would be restricted from paying a dividend. The ratio of the Bank’s estimated market value of total capital to par value of capital stock was 200% as of December 31, 2015.

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

Retained Earnings Related to Valuation Adjustments– In accordance with the Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework, the Bank retains in restricted retained earnings any cumulative net gains in earnings (net of applicable assessments) resulting from gains or losses on derivatives and associated hedged items and financial instruments carried at fair value (valuation adjustments).

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

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

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

On July 31, 2015, the Board of Directors set the required amount of restricted retained earnings for loss protection and capital compliance at $2,000. Restricted retained earnings available to meet this requirement include amounts related to the Bank’s buildup of retained earnings and to the Joint Capital Enhancement Agreement, but exclude retained earnings related to valuations adjustments. Restricted retained earnings for loss protection and capital compliance were $2,008 as of December 31, 2015.

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

Buildup – As of March 31, 2012, the Bank reached the $1,800 target for the buildup of retained earnings that had previously been set by the Board of Directors. On July 31, 2015, the Board of Directors lowered the requirement to $1,650 and transferred $150 to unrestricted retained earnings.

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

Segment Reporting, Policy [Policy Text Block]

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

The advances-related business consists of advances and other credit products, related financing and hedging

instruments, other non-MBS investments associated with the Bank's role as a liquidity provider, and capital.

Adjusted net interest income for this segment is derived primarily from the difference, or spread, between the yield

on all assets associated with the business activities in this segment and the cost of funding those activities, including

the net settlements from associated interest rate exchange agreements, and from earnings on invested capital.

The mortgage-related business consists of MBS investments, mortgage loans acquired through the MPF Program,

the consolidated obligations specifically identified as funding those assets, and related hedging instruments.

Adjusted net interest income for this segment is derived primarily from the difference, or spread, between the yield

on the MBS and mortgage loans and the cost of the consolidated obligations funding those assets, including the net settlements from associated interest rate exchange agreements, less the provision for credit losses on mortgage loans.

Fair Value Transfer, Policy [Policy Text Block]

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

Subsequent Events, Policy [Policy Text Block]

There were no material subsequent events identified, subsequent to December 31, 2015, until the time of the Form 10-K filing with the Securities and Exchange Commission.

New Accounting Pronouncements, Policy [Policy Text Block]

Recognition of Lease Assets and Lease Liabilities. On February 25, 2016, the Financial Accounting Standards Board (FASB) issued guidance that requires recognition of lease assets and lease liabilities on the Statements of Condition and disclosure of key information about leasing arrangements. In particular, this guidance requires a lessee of operating or finance leases to recognize on the Statements of Condition a liability to make lease payments and a right-of-use asset representing its right to use the underlying asset for the lease term. However, for leases with a term of 12 months or less, a lessee is permitted to make an accounting policy election not to recognize lease

assets and lease liabilities. Under previous GAAP, a lessee was not required to recognize lease assets and lease liabilities arising from operating leases on the Statements of Condition. While this guidance does not fundamentally change lessor accounting, some changes have been made to align that guidance with the lessee guidance and other areas within GAAP.

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

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

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

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

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

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

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

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

Simplifying the Presentation of Debt Issuance Costs. On April 7, 2015, the FASB issued guidance to simplify the presentation of debt issuance costs. This guidance requires that debt issuance costs related to a recognized debt liability be presented on the Statements of Condition as a direct deduction from the carrying amount of that debt liability, consistent with the presentation of debt discounts. The adoption of this guidance will result in a reclassification of unamortized debt issuance costs from other assets to consolidated obligations on the Bank’s Statements of Condition. This guidance became effective for the Bank for the interim and annual periods beginning after December 15, 2015, and was adopted retrospectively. Upon adoption of this guidance on January 1, 2016, the retrospective impact to the Bank’s Statements of Condition was a decrease of $9 and $12 to other assets and to consolidated obligations as of December 31, 2015, and December 31, 2014, respectively. The adoption of this guidance did not have an impact on the Bank’s results of operations or cash flows.

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

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

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

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

This guidance became effective for the Bank for interim and annual periods beginning after December 15, 2015. The adoption of this guidance did not affect the Bank’s financial condition, results of operations, or cash flows.

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

Classification of Certain Government-Guaranteed Mortgage Loans upon Foreclosure.On August 8, 2014, the FASB issued amended guidance relating to the classification and measurement of certain government-guaranteed mortgage loans upon foreclosure. The amendments in this guidance require that a mortgage loan be derecognized and that a separate other receivable be recognized upon foreclosure if certain conditions are met. This guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2015, and was adopted prospectively. The adoption of this guidance did not affect the Bank’s financial condition, results of operations, or cash flows.

Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures.On June 12, 2014, the FASB issued amended guidance for repurchase-to-maturity transactions and repurchase agreements executed as repurchase financings. Specifically, this guidance requires entities to account for (1) repurchase-to-maturity transactions as secured borrowings rather than as sales with forward repurchase agreements; and (2) repurchase agreements executed contemporaneously with the initial transfer of the underlying financial asset with the same counterparty as separate transactions only. In addition, this guidance requires a transferor to disclose additional information about certain transactions, including those in which it retains substantially all of the exposure to the economic returns of the underlying transferred asset over the transaction’s term. This guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2015. The changes in accounting for transactions outstanding on the effective date are required to be presented on a cumulative-effect basis. The adoption of this guidance did not affect the Bank’s financial condition, results of operations, or cash flows.

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

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

On August 12, 2015, the FASB issued an amendment to defer the effective date of the guidance issued in May 2014 by one year. The guidance is effective for the Bank for interim and annual periods beginning after December 15, 2017. Early application is permitted only as of the interim and annual reporting periods beginning after December 15, 2016.

Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure. On January 17, 2014, theFASB issued guidance clarifying when consumer mortgage loans collateralized by real estate should be reclassified to REO. Specifically, these collateralized mortgage loans should be reclassified to REO when either the creditor obtains legal title to the residential real estate property upon completion of a foreclosure or the borrower conveys all interest in the residential real estate property to the creditor to satisfy the loan through completion of a deed in lieu of foreclosure or through a similar legal agreement. The guidance became effective for interim and annual periods beginning on January 1, 2015, and was adopted prospectively. The adoption of this guidance did not affect the Bank’s financial condition, results of operations, or cash flows.

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 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). The guidance establishes a standard and uniform methodology for classifying loans, other real estate owned, and certain other assets (excluding investment securities) and prescribes the timing of asset charge-offs based on these classifications. The guidance is generally consistent with the Uniform Retail Credit Classification and Account Management Policy issued by the federal banking regulators in June 2000. The Bank implemented the asset classification provisions as of January 1, 2014, and this adoption did not have any impact on the Bank’s financial condition, results of operations, or cash flows. The charge-off provisions were implemented on January 1, 2015, and resulted in a $1 charge-off to the Bank’s allowance for credit losses on the mortgage loan portfolio. The adoption of these charge-off provisions did not have a material effect on the Bank’s financial condition, results of operations, or cash flows

Federal Home Loan Bank Advances, Prepayment Fees, Policy [Policy Text Block]

When a borrower prepays certain advances prior to the original maturity, the Bank may charge the borrower a prepayment fee. For certain advances with partial prepayment symmetry, the Bank may charge the borrower a prepayment fee or pay the borrower a prepayment credit, depending on certain circumstances, such as movements in interest rates, when the advance is prepaid.

For prepaid advances that are hedged and meet the hedge accounting requirements, the Bank terminates the hedging relationship upon prepayment and records the associated fair value gains and losses, adjusted for the prepayment fees, in interest income. If a new advance represents a modification of an original hedged advance, the fair value gains or losses on the advance and the prepayment fees are included in the carrying amount of the modified advance, and gains or losses and prepayment fees are amortized in interest income over the life of the modified advance using the level-yield method. If the modified advance is also hedged and the hedge meets the hedge accounting requirements, the modified advance is marked to fair value after the modification, and subsequent fair value changes are recorded in other income. If the prepayment represents an extinguishment of the original hedged advance, the prepayment fee and any fair value gain or loss are immediately recognized in interest income.

For prepaid advances that are not hedged or that are hedged but do not meet the hedge accounting requirements, the Bank records prepayment fees in interest income unless the Bank determines that the new advance represents a modification of the original advance. If the new advance represents a modification of the original advance, the prepayment fee on the original advance is deferred, recorded in the basis of the modified advance, and amortized over the life of the modified advance using the level-yield method. This amortization is recorded in interest income.

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

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

Under the Mortgage Partnership Finance® (MPF®) Program, the Bank may purchase conventional conforming fixed rate residential mortgage loans and mortgage loans insured by the Federal Housing Administration (FHA) or guaranteed by the Department of Veterans Affairs (VA) from its participating members. (“Mortgage Partnership Finance” and “MPF” are registered trademarks of the FHLBank of Chicago.) Participating members originate or purchase the mortgage loans, credit-enhance them and sell them to the Bank, and generally retain the servicing of the loans. The Bank manages the interest rate risk, prepayment risk, and liquidity risk of each loan in its portfolio. The Bank and the participating financial institution (either the original participating member that sold the loans to the Bank or a successor to that member) share in the credit risk of the loans, with the Bank assuming the first loss obligation limited by the first loss account, and the participating financial institution assuming credit losses in excess of the first loss account, up to the amount of the credit enhancement obligation specified in the master agreement. The amount of the credit enhancement is calculated so that any Bank credit losses (excluding special hazard losses) in excess of the first loss account are limited to those that would be expected from an equivalent investment with a long-term credit rating of AA. In addition, the Bank may facilitate the purchase of conforming fixed rate mortgage loans from members for concurrent sale to Fannie Mae under the MPF Xtra® product and of jumbo fixed rate mortgage loans for concurrent sale to Redwood Residential Acquisition Corporation, a subsidiary of Redwood Trust, Inc., a real estate investment trust, under the MPF Direct product. (“MPF Xtra” is a registered trademark of the FHLBank of Chicago.)

Finance, Loan and Lease Receivables, Held-for-investment, Policy [Policy Text Block]

For taking on the credit enhancement obligation, the Bank pays the participating financial institution a credit enhancement fee, which is calculated on the remaining unpaid principal balance of the mortgage loans. Depending on the specific MPF product, all or a portion of the credit enhancement fee is paid monthly beginning with the month after each delivery of loans. The MPF Plus product also provides for a performance-based credit enhancement fee, which accrues monthly, beginning with the month after each delivery of loans, and is paid to the participating financial institution beginning 12 months later. The performance-based credit enhancement fee will be reduced by an amount equivalent to loan losses up to the amount of the first loss account established for each master commitment. The participating financial institutions obtain supplemental mortgage insurance (SMI) to cover their credit enhancement obligations under this product. If the SMI provider's claims-paying ability rating falls below a specified level, the participating financial institution has six months to either replace the SMI policy or assume the credit enhancement obligation and fully collateralize the obligation; otherwise the Bank may choose not to pay the participating financial institution its performance-based credit enhancement fee.

The Bank classifies mortgage loans as held for investment and, accordingly, reports them at their principal amount outstanding net of unamortized premiums, discounts, and unrealized gains and losses from loans initially classified as mortgage loan commitments. The Bank defers and amortizes these amounts as interest income using the level-yield method on a retrospective basis over the estimated life of the related mortgage loan. Actual prepayment experience and estimates of future principal prepayments are used in calculating the estimated life of the mortgage loans. The Bank aggregates the mortgage loans by similar characteristics (type, maturity, note rate, and acquisition date) in determining prepayment estimates. A retrospective adjustment is required each time the Bank changes the estimated amounts as if the new estimate had been known since the original acquisition date of the assets. The Bank uses nationally recognized, market-based, third-party prepayment models to project estimated lives.

The Bank records credit enhancement fees as a reduction to interest income.

Revenue Recognition Accounting Policy, Gross and Net Revenue Disclosure [Policy Text Block]

Litigation settlement gains, net of related legal expenses, are recorded in Other Income/(Loss) in “Gains on litigation settlements, net” in the Statements of Income. A litigation settlement gain is considered realized and recorded when the Bank receives cash or assets that are readily convertible to known amounts of cash or claims to cash. In addition, a litigation settlement gain is considered realizable and recorded when the Bank enters into a signed agreement that is not subject to appeal, where the counterparty has the ability to pay, and the amount to be received can be reasonably estimated. Prior to being realized or realizable, the Bank considers potential litigation settlement gains to be gain contingencies, and therefore they are not recorded in the Statements of Income. The related legal expenses are contingent-based fees and are only incurred and recorded upon a litigation settlement gain

Term Federal Funds Sold [Member]

Accounting Policies [Line Items]

Loans and Leases Receivable, Allowance for Loan Losses Policy [Policy Text Block]

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

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]

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

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

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

XML

Trading Securities (Tables)

12 Months Ended

Dec. 31, 2015

Trading Securities [Abstract]

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

The estimated fair value of trading securities as of December 31, 2015 and 2014, was as follows:

	2015		2014
Government-Sponsored Enterprises (GSEs) – Federal Farm Credit Bank (FFCB) bonds	$	1,424	$	3,513
MBS – Other U.S. obligations – Ginnie Mae	9		11
Total	$	1,433	$	3,524

XML

Available-for-Sale Securities (Tables)

12 Months Ended

Dec. 31, 2015

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

Available-for-sale Securities [Table Text Block]

Available-for-sale (AFS) securities by major security type as of December 31, 2015 and 2014, were as follows:

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

December 31, 2014
	Amortized Cost(1)		OTTI Recognized in AOCI			Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value
PLRMBS:
Prime	$	565	$	(4	)	$	31	$	—		$	592
Alt-A, option ARM	1,031		(43		)	77		—			1,065
Alt-A, other	4,687		(145		)	174		(2		)	4,714
Total	$	6,283	$	(192	)	$	282	$	(2	)	$	6,371

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

Available-for-sale Securities [Member]

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

Schedule of Unrealized Loss on Investments [Table Text Block]

The following table summarizes the AFS securities with unrealized losses as of December 31, 2015 and 2014. The unrealized losses are aggregated by major security type and the length of time that individual securities have been in a continuous unrealized loss position. Total unrealized losses in the following table will not agree to total gross unrealized losses in the table above. The unrealized losses in the following table also include non-credit-related OTTI losses recognized in AOCI. For OTTI analysis of AFS securities, see Note 7 – Other-Than-Temporary Impairment Analysis.

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

December 31, 2014
	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	$	71	$	3	$	36	$	1	$	107	$	4
Alt-A, option ARM	—		—		580		43		580		43
Alt-A, other	403		12		1,682		135		2,085		147
Total	$	474	$	15	$	2,298	$	179	$	2,772	$	194

Schedule of Interest Rate Payment Terms For Investments [Table Text Block]

Interest rate payment terms for AFS securities at December 31, 2015 and 2014, are shown in the following table:

	2015		2014
Amortized cost of AFS PLRMBS:
Collateralized mortgage obligations:
Fixed rate	$	1,540	$	1,917
Adjustable rate	3,831		4,366
Total	$	5,371	$	6,283

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:

	2015		2014
Collateralized mortgage obligations:
Converts in 1 year or less	$	102	$	71
Converts after 1 year through 5 years	99		226
Total	$	201	$	297

XML

Held-to-Maturity Securities (Tables)

12 Months Ended

Dec. 31, 2015

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

Held-to-maturity Securities [Table Text Block]

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

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

December 31, 2014
	Amortized Cost(1)		OTTI Recognized in AOCI(1)			Carrying Value(1)		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses			Estimated Fair Value
Housing finance agency bonds:
California Housing Finance Agency (CalHFA) bonds	$	328	$	—		$	328	$	—	$	(45	)	$	283
MBS:
Other U.S. obligations – Ginnie Mae	1,513		—			1,513		15		(2		)	1,526
GSEs:
Freddie Mac	4,517		—			4,517		61		(12		)	4,566
Fannie Mae	5,313		—			5,313		121		(6		)	5,428
Subtotal GSEs	9,830		—			9,830		182		(18		)	9,994
PLRMBS:
Prime	1,133		—			1,133		1		(27		)	1,107
Alt-A, option ARM	14		—			14		—		(1		)	13
Alt-A, other	753		(20		)	733		19		(18		)	734
Subtotal PLRMBS	1,900		(20		)	1,880		20		(46		)	1,854
Total MBS	13,243		(20		)	13,223		217		(66		)	13,374
Total	$	13,571	$	(20	)	$	13,551	$	217	$	(111	)	$	13,657

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

Held-to-maturity Securities [Member]

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

Schedule of Unrealized Loss on Investments [Table Text Block]

The following tables summarize the HTM securities with unrealized losses as of December 31, 2015 and 2014. The unrealized losses are aggregated by major security type and the length of time that individual securities have been in a continuous unrealized loss position. Total unrealized losses in the following table will not agree to the total gross unrecognized holding losses in the table above. The unrealized losses in the following table also include non-credit-related OTTI losses recognized in AOCI. For OTTI analysis of HTM securities, see Note 7 – Other-Than-Temporary Impairment Analysis.

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

December 31, 2014
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
Housing finance agency bonds:
CalHFA bonds	$	—	$	—	$	283	$	45	$	283	$	45
MBS:
Other U.S. obligations – Ginnie Mae	131		—		94		2		225		2
GSEs:
Freddie Mac	622		1		1,044		11		1,666		12
Fannie Mae	286		1		562		5		848		6
Subtotal GSEs	908		2		1,606		16		2,514		18
PLRMBS:
Prime	264		2		682		25		946		27
Alt-A, option ARM	—		—		13		1		13		1
Alt-A, other	30		—		685		38		715		38
Subtotal PLRMBS	294		2		1,380		64		1,674		66
Total MBS	1,333		4		3,080		82		4,413		86
Total	$	1,333	$	4	$	3,363	$	127	$	4,696	$	131

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 December 31, 2015 and 2014, 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.

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

December 31, 2014
Year of Contractual Maturity	Amortized Cost(1)		Carrying Value(1)		Estimated Fair Value
HTM securities other than MBS:
Due after 5 years through 10 years	$	78	$	78	$	70
Due after 10 years	250		250		213
Subtotal	328		328		283
MBS	13,243		13,223		13,374
Total	$	13,571	$	13,551	$	13,657

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

Schedule of Interest Rate Payment Terms For Investments [Table Text Block]

Interest rate payment terms for HTM securities at December 31, 2015 and 2014, are detailed in the following table:

	2015		2014
Amortized cost of HTM securities other than MBS:
Adjustable rate	$	275	$	328
Subtotal	275		328
Amortized cost of HTM MBS:
Passthrough securities:
Fixed rate	146		285
Adjustable rate	416		415
Collateralized mortgage obligations:
Fixed rate	7,224		9,249
Adjustable rate	2,755		3,294
Subtotal	10,541		13,243
Total	$	10,816	$	13,571

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:

	2015		2014
Passthrough securities:
Converts in 1 year or less	$	22	$	79
Converts after 1 year through 5 years	119		140
Converts after 5 years through 10 years	—		59
Total	$	141	$	278
Collateralized mortgage obligations:
Converts in 1 year or less	$	7	$	73
Converts after 1 year through 5 years	13		26
Total	$	20	$	99

XML

Other-Than-Temporary Impairment Analysis (Tables)

12 Months Ended

Dec. 31, 2015

Other than Temporary Impairment Losses, Investments [Abstract]

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

For securities determined to be other-than-temporarily impaired as of December 31, 2015 (securities for which the Bank determined that it does not expect to recover the entire amortized cost basis), the following table presents a summary of the significant inputs used in measuring the amount of credit loss recognized in earnings during the year ended December 31, 2015, and the related current credit enhancement for the Bank.

December 31, 2015
	Significant Inputs for Other-Than-Temporarily Impaired PLRMBS			Current
	Prepayment Rates	Default Rates	Loss Severities	Credit Enhancement
Year of Securitization	Weighted Average % (1)	Weighted Average % (1)	Weighted Average % (1)	Weighted Average % (1)
Prime
2007	13.2	3.7	20.8	19.2
2006	13.1	18.1	32.5	—
Total Prime	13.2	3.8	20.9	19.0
Alt-A, option ARM
2006	5.7	39.9	39.2	6.1
2005	7.4	11.1	32.5	29.4
Total Alt-A, option ARM	5.9	35.9	38.2	9.3
Alt-A, other
2007	11.3	24.7	34.8	10.3
2006	10.2	26.5	38.7	19.6
2005	13.3	14.9	36.9	5.8
2004 and earlier	17.3	7.1	30.7	13.3
Total Alt-A, other	12.2	20.0	36.4	10.8
Total	11.7	21.0	36.3	10.8

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

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

The following table presents the credit-related OTTI, which is recognized in earnings, for the years ended December 31, 2015, 2014, and 2013.

	2015			2014			2013
Balance, beginning of the period	$	1,314		$	1,378		$	1,397
Additional charges on securities for which OTTI was previously recognized(1)	15			4			7
Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities(2)	(74		)	(68		)	(26		)
Balance, end of the period	$	1,255		$	1,314		$	1,378

(1) For the year ended December 31, 2015, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2015. For the year ended December 31, 2014, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2014. For the year ended December 31, 2013, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2013.

(2) The total accretion or amortization associated with other-than-temporarily impaired PLRMBS (amount recognized in interest income) totaled $82, $66, and $20 for the years ended December 31, 2015, 2014, and 2013, respectively.

Schedule of Transfers From Held to Maturity to Available for Sale [Table Text Block]

The following table summarizes the PLRMBS transferred from the Bank’s HTM portfolio to its AFS portfolio during the year ended December 31, 2015. The amounts shown represent the values when the securities were transferred from the HTM portfolio to the AFS portfolio. The Bank did not transfer any PLRMBS from its HTM portfolio to its AFS portfolio during the year ended December 31, 2014.

	2015
	Amortized Cost		OTTI Recognized in AOCI			Gross Unrecognized Holding Gains (Losses)		Estimated Fair Value
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
Prime	$	4	$	—		$	—	$	4
Alt-A, option ARM	12		(1		)	—		11
Total	$	16	$	(1	)	$	—	$	15

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

The following tables present the Bank’s AFS and HTM PLRMBS that incurred OTTI losses anytime during the life of the securities at December 31, 2015 and 2014, by loan collateral type:

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

December 31, 2014
	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	$	682	$	565	$	592	$	—	$	—	$	—	$	—
Alt-A, option ARM	1,391		1,031		1,065		—		—		—		—
Alt-A, other	5,374		4,687		4,714		132		128		108		127
Total	$	7,447	$	6,283	$	6,371	$	132	$	128	$	108	$	127

XML

Advances (Tables)

12 Months Ended

Dec. 31, 2015

Federal Home Loan Banks [Abstract]

Federal Home Loan Bank, Advances [Table Text Block]

The following table summarizes advances at December 31, 2015 and 2014, 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
	2015		2014		2015		2014
Within 1 year	$	25,983	$	21,460	$	24,947	$	21,468
After 1 year through 2 years	6,124		7,693		4,152		7,597
After 2 years through 3 years	8,432		3,258		6,168		3,135
After 3 years through 4 years	3,173		3,291		6,877		3,176
After 4 years through 5 years	5,706		1,646		2,022		1,655
After 5 years	1,423		1,482		6,675		1,799
Total par value	$	50,841	$	38,830	$	50,841	$	38,830

The following tables present the concentration in advances to the top five borrowers and their affiliates at December 31, 2015 and 2014. The tables also present the interest income from

these advances before the impact of interest rate exchange agreements associated with these advances for the years ended December 31, 2015 and 2014.

December 31, 2015
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
JPMorgan Chase Bank, National Association(2)(3)	$	14,813	29	%	$	65	16	%
Bank of the West	6,791		13		27		7
First Republic Bank	4,000		8		75		19
CIT Bank, National Association(4)	3,113		6		19		5
Citigroup Inc
Citibank, N.A.(2)	3,000		6		5		1
Banamex USA	—		—		—		—
Subtotal Citigroup Inc	3,000		6		5		1
Subtotal	31,717		62		191		48
Others	19,124		38		207		52
Total par value	$	50,841	100	%	$	398	100	%

December 31, 2014
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
Bank of the West	$	5,484	14	%	$	29	7	%
First Republic Bank	5,275		13		86		20
JPMorgan Chase & Co.:
JPMorgan Bank & Trust Company, National Association(3)	3,000		8		54		13
JPMorgan Chase Bank, National Association(2)	819		2		7		2
Subtotal JPMorgan Chase & Co.	3,819		10		61		15
Bank of America California, N.A.	3,500		9		18		4
OneWest Bank, N.A.(4)	3,364		9		28		6
Subtotal	21,442		55		222		52
Others	17,388		45		209		48
Total par value	$	38,830	100	%	$	431	100	%

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

(2) Nonmember institution.

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

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

The Bank had advances outstanding, excluding overdrawn demand deposit accounts, at interest rates ranging from 0.25% to 8.57% at December 31, 2015, and 0.14% to 8.57% at December 31, 2014, as summarized below.

	2015				2014
Contractual Maturity	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding		Weighted Average Interest Rate
Within 1 year	$	24,807	0.59	%	$	21,328	0.63	%
After 1 year through 2 years	4,252		1.19		7,597		1.07
After 2 years through 3 years	6,208		1.19		3,235		1.39
After 3 years through 4 years	6,877		0.89		3,216		1.65
After 4 years through 5 years	2,022		1.11		1,655		1.82
After 5 years	6,675		1.11		1,799		2.81
Total par value	50,841		0.84	%	38,830		1.02	%
Valuation adjustments for hedging activities	40				67
Valuation adjustments under fair value option	38				89
Total	$	50,919			$	38,986

Interest rate payment terms for advances at December 31, 2015 and 2014, are detailed below:

	2015		2014
Par value of advances:
Fixed rate:
Due within 1 year	$	13,073	$	15,422
Due after 1 year	9,381		12,330
Total fixed rate	22,454		27,752
Adjustable rate:
Due within 1 year	11,734		5,906
Due after 1 year	16,653		5,172
Total adjustable rate	28,387		11,078
Total par value	$	50,841	$	38,830

The net amount of prepayment fees is reflected as interest income in the Statements of Income for the years ended December 31, 2015, 2014, and 2013,

as follows:

	2015			2014			2013
Prepayment fees received	$	28		$	16		$	14
Fair value adjustments	(20		)	(10		)	(9		)
Net	$	8		$	6		$	5
Advance principal prepaid	$	2,229		$	1,650		$	365

XML

Mortgage Loans Held for Portfolio (Tables)

12 Months Ended

Dec. 31, 2015

Mortgage Loans on Real Estate [Abstract]

Schedule of Participating Mortgage Loans [Table Text Block]

The following table presents information as of December 31, 2015 and 2014, on mortgage loans, all of which are secured by one- to four-unit residential properties and single-unit second homes.

	2015			2014
Fixed rate medium-term mortgage loans	$	100		$	160
Fixed rate long-term mortgage loans	553			553
Subtotal	653			713
Unamortized premiums	10			6
Unamortized discounts	(8		)	(10		)
Mortgage loans held for portfolio	655			709
Less: Allowance for credit losses	—			(1		)
Total mortgage loans held for portfolio, net	$	655		$	708

XML

Allowance for Credit Losses (Tables)

12 Months Ended

Dec. 31, 2015

Loans and Leases Receivable, Allowance [Abstract]

Past Due Financing Receivables [Table Text Block]

The following table presents information on delinquent mortgage loans as of December 31, 2015 and 2014.

	2015			2014
	Recorded Investment(1)			Recorded Investment(1)
30 – 59 days delinquent	$	10		$	12
60 – 89 days delinquent	5			5
90 days or more delinquent	18			22
Total past due	33			39
Total current loans	625			673
Total mortgage loans	$	658		$	712
In process of foreclosure, included above(2)	$	7		$	11
Nonaccrual loans	$	18		$	22
Loans past due 90 days or more and still accruing interest	$	—		$	—
Serious delinquencies as a percentage of total mortgage loans outstanding(3)	2.76		%	3.12		%

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

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

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

Allowance for Credit Losses on Financing Receivables [Table Text Block]

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

	2015			2014			2013
Balance, beginning of the period	$	1		$	2		$	3
(Charge-offs) /recoveries	(2		)	(1		)	—
Provision for/(reversal of) credit losses	1			—			(1		)
Balance, end of the period	$	—		$	1		$	2

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:

	2015		2014
Allowance for credit losses, end of period:
Individually evaluated for impairment	$	—	$	1
Total allowance for credit losses	$	—	$	1
Recorded investment, end of period:
Individually evaluated for impairment	$	14	$	20
Collectively evaluated for impairment	644		692
Total recorded investment	$	658	$	712

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:

	2015						2014
	Recorded Investment		Unpaid Principal Balance		Related Allowance		Recorded Investment		Unpaid Principal Balance		Related Allowance
With no related allowance	$	13	$	13	$	—	$	14	$	14	$	—
With an allowance	1		1		—		6		6		1
Total	$	14	$	14	$	—	$	20	$	20	$	1

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:

	2015		2014
With no related allowance	$	15	$	17
With an allowance	1		7
Total	$	16	$	24

XML

Deposits (Tables)

12 Months Ended

Dec. 31, 2015

Deposits [Abstract]

Schedule of Deposit Liabilities by Component [Table Text Block]

Deposits as of December 31, 2015 and 2014, were as follows:

	2015		2014
Interest-bearing deposits:
Demand and overnight	$	124	$	159
Total interest-bearing deposits	124		159
Non-interest-bearing deposits	3		1
Total	$	127	$	160

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

Interest rate payment terms for deposits at December 31, 2015 and 2014, are detailed in the following table:

	2015				2014
	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding		Weighted Average Interest Rate
Interest-bearing deposits – Adjustable rate	$	124	0.01	%	$	159	0.01	%
Non-interest-bearing deposits	3				1
Total	$	127			$	160

XML

Consolidated Obligations (Tables)

12 Months Ended

Dec. 31, 2015

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 December 31, 2015 and 2014.

	2015					2014
Contractual Maturity	Amount Outstanding			Weighted Average Interest Rate		Amount Outstanding			Weighted Average Interest Rate
Within 1 year	$	29,114		1.03	%	$	21,044		0.36	%
After 1 year through 2 years	11,264			0.91		9,871			2.43
After 2 years through 3 years	5,162			1.28		4,518			1.70
After 3 years through 4 years	1,430			1.44		2,336			1.49
After 4 years through 5 years	1,740			1.67		3,103			1.71
After 5 years	2,982			2.43		5,851			2.13
Total par value	51,692			1.14	%	46,723			1.29	%
Unamortized premiums	27					58
Unamortized discounts	(9		)			(13		)
Valuation adjustments for hedging activities	142					308
Fair value option valuation adjustments	(17		)			(31		)
Total	$	51,835				$	47,045

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

The Bank’s participation in consolidated obligation bonds at December 31, 2015 and 2014, was as follows:  

	2015		2014
Par value of consolidated obligation bonds:
Non-callable	$	43,687	$	32,565
Callable	8,005		14,158
Total par value	$	51,692	$	46,723

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 December 31, 2015 and 2014, by the earlier of the year of contractual maturity or next call date.

Earlier of Contractual Maturity or Next Call Date	2015		2014
Within 1 year	$	36,469	$	33,558
After 1 year through 2 years	10,914		9,156
After 2 years through 3 years	3,282		2,043
After 3 years through 4 years	455		1,010
After 4 years through 5 years	395		385
After 5 years	177		571
Total par value	$	51,692	$	46,723

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:

	2015					2014
	Amount Outstanding			Weighted Average Interest Rate (1)		Amount Outstanding			Weighted Average Interest Rate (1)
Par value	$	27,663		0.25	%	$	21,815		0.09	%
Unamortized discounts	(15		)			(4		)
Total	$	27,648				$	21,811

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

Interest rate payment terms for consolidated obligations at December 31, 2015 and 2014, are detailed in the following table.

	2015		2014
Par value of consolidated obligations:
Bonds:
Fixed rate	$	28,942	$	39,324
Adjustable rate	20,815		3,678
Step-up	1,110		2,654
Step-down	550		500
Fixed rate that converts to adjustable rate	175		467
Range bonds	100		100
Total bonds, par value	51,692		46,723
Discount notes, par value	27,663		21,815
Total consolidated obligations, par value	$	79,355	$	68,538

XML

Affordable Housing Program (Tables)

12 Months Ended

Dec. 31, 2015

Federal Home Loan Banks [Abstract]

Activity in Affordable Housing Program Obligation [Table Text Block]

The AHP liability was as follows:

	2015			2014			2013
Balance, beginning of the period	$	147		$	151		$	144
AHP assessments	78			36			52
AHP grant payments	(53		)	(40		)	(45		)
Balance, end of the period	$	172		$	147		$	151

XML

Accumulated Other Comprehensive Income (Loss) (Tables)

12 Months Ended

Dec. 31, 2015

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

Schedule of Accumulated Other Comprehensive Income (Loss) [Table Text Block]

The following table summarizes the changes in AOCI for the years ended December 31, 2015, 2014, and 2013:

	Net Non-Credit-Related OTTI Loss on AFS Securities			Net Non-Credit-Related OTTI Loss on HTM Securities			Pension and Postretirement Benefits			Total AOCI
Balance, December 31, 2012	$	(748	)	$	(34	)	$	(12	)	$	(794	)
Other comprehensive income/(loss) before reclassifications:
Net change in pension and postretirement benefits							5			5
Non-credit-related OTTI loss	—			(4		)				(4		)
Non-credit-related OTTI loss transferred	(4		)	4						—
Net change in fair value	644									644
Accretion of non-credit-related OTTI loss				7						7
Reclassification from other comprehensive income/(loss) to net income/(loss):
Non-credit-related OTTI to credit-related OTTI	(3		)	—						(3		)
Net current period other comprehensive income/(loss)	637			7			5			649
Balance, December 31, 2013	(111		)	(27		)	(7		)	(145		)
Other comprehensive income/(loss) before reclassifications:
Net change in pension and postretirement benefits							(5		)	(5		)
Non-credit-related OTTI loss	(10		)	—						(10		)
Net change in fair value	209									209
Accretion of non-credit-related OTTI loss				7						7
Net current period other comprehensive income/(loss)	199			7			(5		)	201
Balance, December 31, 2014	88			(20		)	(12		)	56
Other comprehensive income/(loss) before reclassifications:
Net change in pension and postretirement benefits							(2		)	(2		)
Non-credit-related OTTI loss	(18		)	(1		)				(19		)
Non-credit-related OTTI loss transferred	(1		)	1						—
Net change in fair value	(29		)							(29		)
Accretion of non-credit-related OTTI loss				6						6
Reclassification from other comprehensive income/(loss) to net income/(loss):
Non-credit-related OTTI to credit-related OTTI	3			—						3
Net current period other comprehensive income/(loss)	(45		)	6			(2		)	(41		)
Balance, December 31, 2015	$	43		$	(14	)	$	(14	)	$	15

XML

Capital (Tables)

12 Months Ended

Dec. 31, 2015

Capital [Abstract]

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

As of December 31, 2015 and 2014, the Bank was in compliance with these capital rules and requirements as shown in the following table.

	2015						2014
	Required			Actual			Required			Actual
Risk-based capital	$	2,684		$	5,369		$	3,231		$	6,356
Total regulatory capital	$	3,428		$	5,369		$	3,032		$	6,356
Total regulatory capital ratio	4.00		%	6.26		%	4.00		%	8.38		%
Leverage capital	$	4,285		$	8,054		$	3,790		$	9,534
Leverage ratio	5.00		%	9.40		%	5.00		%	12.58		%

Schedule of Mandatorily Redeemable Capital Stock [Table Text Block]

The Bank had mandatorily redeemable capital stock totaling $488 outstanding to 9 institutions at December 31, 2015, and $719 outstanding to 32 institutions at December 31, 2014. The change in mandatorily redeemable capital stock for the years ended December 31, 2015, 2014, and 2013 was as follows:

	2015			2014			2013
Balance at the beginning of the period	$	719		$	2,071		$	4,343
Reclassified from/(to) capital during the period(1)	415			3			4
Redemption of mandatorily redeemable capital stock	(53		)	(296		)	(502		)
Repurchase of excess mandatorily redeemable capital stock	(593		)	(1,059		)	(1,774		)
Balance at the end of the period	$	488		$	719		$	2,071

(1) The Bank reclassified $403 of capital stock to mandatorily redeemable capital stock (a liability) on September 1, 2015, as a result of the merger of JPMorgan B&T with and into JPMorgan Chase, a nonmember of the Bank.

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 December 31, 2015 and 2014.

Contractual Redemption Period	2015		2014
Within 1 year	$	82	$	51
After 1 year through 2 years	1		582
After 2 years through 3 years	—		9
After 3 years through 4 years	—		1
After 4 years through 5 years	381		2
Past contractual redemption date because of remaining activity(1)	24		74
Total	$	488	$	719

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

Schedule of Restricted Retained Earnings [Table Text Block]

The following table summarizes the activity related to retained earnings for the years ended December 31, 2015 and 2014:

				Restricted Retained Earnings Related to:
	Unrestricted Retained Earnings			Valuation Adjustments			Buildup			Joint Capital Enhancement Agreement		Total Restricted Retained Earnings			Total Retained Earnings
Balance, December 31, 2013	$	317		$	88		$	1,800		$	189	$	2,077		$	2,394
Net income	217			(53		)	—			41		(12		)	205
Cash dividends on capital stock	(240		)	—			—			—		—			(240		)
Balance, December 31, 2014	$	294		$	35		$	1,800		$	230	$	2,065		$	2,359
Net income	535			(25		)	—			128		103			638
Cash dividends on capital stock	(369		)	—			—			—		—			(369		)
Transfers from restricted retained earnings	150			—			(150		)	—		(150		)	—
Balance, December 31, 2015	$	610		$	10		$	1,650		$	358	$	2,018		$	2,628

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 December 31, 2015 or 2014.

	2015				2014
Name of Institution	Capital Stock Outstanding		Percentage of Total Capital Stock Outstanding		Capital Stock Outstanding		Percentage of Total Capital Stock Outstanding
JPMorgan Chase & Co.:
JPMorgan Bank & Trust Company, National Association	$	—	—	%	$	268	7	%
JPMorgan Chase Bank, National Association(1)(2)	400		15		68		2
Subtotal JPMorgan Chase & Co.	400		15	%	336		9
Citigroup Inc.:
Citibank, N.A.(1)	81		3		577		14
Banamex USA	4		—		2		—
Subtotal Citigroup Inc.	85		3		579		14
Subtotal	485		18		915		23
Others	2,256		82		3,082		77
Total	$	2,741	100	%	$	3,997	100	%

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

(2) The Bank reclassified $403 of capital stock to mandatorily redeemable capital stock (a liability) on September 1, 2015, as a result of the merger of JPMorgan B&T with and into JPMorgan Chase, a nonmember of the Bank.

XML

Employee Retirement Plans and Incentive Compensation Plans (Tables)

12 Months Ended

Dec. 31, 2015

Compensation and Retirement Disclosure [Abstract]

Schedule of Changes in Projected Benefit Obligations [Table Text Block]

The following table summarizes the changes in the benefit obligations, plan assets, and funded status of the defined benefit Cash Balance Plan, non-qualified defined benefit plans, and postretirement health benefit plan for the years ended December 31, 2015 and 2014.

	2015									2014
	Cash Balance Plan			Non-Qualified Defined Benefit Plans			Post-retirement Health Benefit Plan			Cash Balance Plan			Non-Qualified Defined Benefit Plans			Post-retirement Health Benefit Plan
Change in benefit obligation
Benefit obligation, beginning of the period	$	43		$	23		$	2		$	37		$	21		$	2
Service cost	3			1			—			2			1			—
Interest cost	2			1			—			2			1			—
Actuarial (gain)/loss	(1		)	(1		)	—			3			—			—
Benefits paid	(1		)	—			—			(1		)	—			—
Benefit obligation, end of the period	46			24			2			43			23			2
Change in plan assets
Fair value of plan assets, beginning of the period	41			—			—			38			—			—
Actual return on plan assets	(1		)	—			—			2			—			—
Employer contributions	4			—			—			2			—			—
Benefits paid	(1		)	—			—			(1		)	—			—
Fair value of plan assets, end of the period	43			—			—			41			—			—
Funded status at the end of the period	$	(3	)	$	(24	)	$	(2	)	$	(2	)	$	(23	)	$	(2	)

Schedule of Amounts Recognized in Balance Sheet [Table Text Block]

Amounts recognized in the Statements of Condition at December 31, 2015 and 2014, consist of:

	2015									2014
	Cash Balance Plan			Non-Qualified Defined Benefit Plans			Post-retirement Health Benefit Plan			Cash Balance Plan			Non-Qualified Defined Benefit Plans			Post-retirement Health Benefit Plan
Other liabilities	$	(3	)	$	(24	)	$	(2	)	$	(2	)	$	(23	)	$	(2	)

Schedule of Net Periodic Benefit Cost Not yet Recognized [Table Text Block]

Amounts recognized in AOCI at December 31, 2015 and 2014, consist of:

	2015							2014
	Cash Balance Plan		Non-Qualified Defined Benefit Plans		Post-retirement Health Benefit Plan			Cash Balance Plan		Non-Qualified Defined Benefit Plans		Post-retirement Health Benefit Plan
Net loss/(gain)	$	12	$	3	$	(1	)	$	9	$	4	$	(2	)
Prior service cost	—		—		—			—		1		—
AOCI	$	12	$	3	$	(1	)	$	9	$	5	$	(2	)

The amounts in AOCI expected to be recognized as components of net periodic benefit cost in 2016 are as follows:

	Cash Balance Plan		Non-Qualified Defined Benefit Plans		Post-retirement Health Benefit Plan
Estimated net gain/(loss)	$	1	$	—	$	—

Schedule of Benefit Obligations in Excess of Fair Value of Plan Assets [Table Text Block]

The following table presents information for pension plans with benefit obligations in excess of plan assets at December 31, 2015 and 2014.

	2015						2014
	Cash Balance Plan		Non-Qualified Defined Benefit Plans		Post-retirement Health Benefit Plan		Cash Balance Plan		Non-Qualified Defined Benefit Plans		Post-retirement Health Benefit Plan
Projected benefit obligation	$	46	$	24	$	2	$	43	$	23	$	2
Accumulated benefit obligation	44		24		2		41		22		2
Fair value of plan assets	43		—		—		41		—		—

Schedule of Net Benefit Costs [Table Text Block]

Components of the net periodic benefit costs and other amounts recognized in other comprehensive income for the years ended December 31, 2015, 2014, and 2013, were as follows:

	2015									2014							2013
	Cash Balance Plan			Non-Qualified Defined Benefit Plans			Post-retirement Health Benefit Plan			Cash Balance Plan			Non-Qualified Defined Benefit Plans		Post-retirement Health Benefit Plan		Cash Balance Plan			Non-Qualified Defined Benefit Plans		Post-retirement Health Benefit Plan
Net periodic benefit cost/(income)
Service cost	$	3		$	1		$	—		$	2		$	1	$	—	$	3		$	2	$	—
Interest cost	2			1			—			2			1		—		1			1		—
Expected return on plan assets	(3		)	—			—			(3		)	—		—		(3		)	—		—
Amortization of net loss/(gain)	—			1			(1		)	—			—		—		1			—		—
Net periodic benefit cost	2			3			(1		)	1			2		—		2			3		—
Other changes in plan assets and benefit obligations recognized in other comprehensive income
Net loss/(gain)	3			(1		)	—			4			1		—		(5		)	—		(1		)
Prior service cost	—			—			—			—			—		—		—			1		—
Amortization of net loss/(gain)	—			(1		)	1			—			—		—		—			—		—
Total recognized in other comprehensive income	3			(2		)	1			4			1		—		(5		)	1		(1		)
Total recognized in net periodic benefit cost and other comprehensive income	$	5		$	1		$	—		$	5		$	3	$	—	$	(3	)	$	4	$	(1	)

Schedule of Assumptions Used [Table Text Block]

Weighted average assumptions used to determine the benefit obligations at December 31, 2015 and 2014, for the Cash Balance Plan, non-qualified defined benefit plans, and postretirement health benefit plan were as follows:

	2015						2014
	Cash Balance Plan		Non-Qualified Defined Benefit Plans		Post- retirement Health Benefit Plan		Cash Balance Plan		Non-Qualified Defined Benefit Plans		Post-retirement Health Benefit Plan
Discount rate	3.75	%	3.75	%	4.00	%	3.50	%	3.50	%	3.75	%
Rate of salary increase	3.00% through 2016 4.00% thereafter		3.00% through 2016 4.00% thereafter		—		3.00% through 2015 4.00% thereafter		3.00% through 2015 4.00% thereafter		—

Weighted average assumptions used to determine the net periodic benefit costs for the years ended December 31, 2015, 2014, and 2013, for the Cash Balance Plan, non-qualified defined benefit plans, and postretirement health benefit plan were as follows:

	2015						2014						2013
	Cash Balance Plan		Non-Qualified Defined Benefit Plans		Post-retirement Health Benefit Plan		Cash Balance Plan		Non-Qualified Defined Benefit Plans		Post-retirement Health Benefit Plan		Cash Balance Plan		Non-Qualified Defined Benefit Plans		Post-retirement Health Benefit Plan
Discount rate	3.50	%	3.50	%	3.75	%	4.25	%	4.25	%	4.75	%	3.25	%	3.25	%	3.75	%
Rate of salary increase	3.00% through 2015 4.00% thereafter		3.00% through 2015 4.00% thereafter		—		3.00% through 2015 4.00% thereafter		3.00% through 2015 4.00% thereafter		—		3.00% through 2015 4.00% thereafter		3.00% through 2015 4.00% thereafter		—
Expected return on plan assets	8.00	%	—		—		8.00	%	—		—		8.00	%	—		—

Schedule of Allocation of Plan Assets [Table Text Block]

The table below presents the fair values of the Cash Balance Plan's assets as of December 31, 2015 and 2014, by asset category. See Note 19 – Fair Value for further information regarding the three levels of fair value measurement.

	2015								2014
	Fair Value Measurement Using:								Fair Value Measurement Using:
Asset Category	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Cash and cash equivalents	$	2	$	—	$	—	$	2	$	1	$	—	$	—	$	1
Equity mutual funds	24		—		—		24		25		—		—		25
Fixed income mutual funds	14		—		—		14		13		—		—		13
Real estate mutual funds	2		—		—		2		1		—		—		1
Other mutual funds	1		—		—		1		1		—		—		1
Total	$	43	$	—	$	—	$	43	$	41	$	—	$	—	$	41

Schedule of Weighted Average Asset Allocation of Defined Benefit Plan Assets [Table Text Block]

The Cash Balance Plan's weighted average asset allocation at December 31, 2015 and 2014, by asset category was as follows:

Asset Category	2015		2014
Cash and cash equivalents	6	%	4	%
Equity mutual funds	56		61
Fixed income mutual funds	32		31
Real estate mutual funds	4		2
Other mutual funds	2		2
Total	100	%	100	%

Schedule of Expected Benefit Payments [Table Text Block]

The following are the estimated future benefit payments, which reflect expected future service, as appropriate:

Year	Cash Balance Plan		Non-Qualified Defined Benefit Plans		Postretirement Health Benefit Plan
2016	$	4	$	6	$	—
2017	3		1		—
2018	3		4		—
2019	4		1		—
2020	4		1		—
2021 – 2025	22		16		1

XML

Segment Information (Tables)

12 Months Ended

Dec. 31, 2015

Segment Reporting [Abstract]

Reconciliation of Operating Profit (Loss) from Segments to Consolidated [Table Text Block]

The following table presents the Bank’s adjusted net interest income by operating segment and reconciles total adjusted net interest income to income before the AHP assessment for the years ended December 31, 2015, 2014, and 2013.

	Advances- Related Business		Mortgage- Related Business(1)		Adjusted Net Interest Income		Amortization of Basis Adjustments(2)			Income/(Expense) on Economic Hedges(3)			Interest Expense on Mandatorily Redeemable Capital Stock(4)		Net Interest Income After Mortgage Loan Loss Provision		Other Income/ (Loss)			Other Expense		Income Before AHP Assessment
2015	$	155	$	351	$	506	$	(17	)	$	(18	)	$	65	$	476	$	388		$	148	$	716
2014	166		410		576		(19		)	(64		)	120		539		(154		)	144		241
2013	175		449		624		(48		)	34			155		483		5			128		360

(1) The mortgage-related business includes total accretion or amortization associated with other-than-temporarily impaired PLRMBS, which are recognized in interest income, and totaled $82, $66, and $20 for the years ended December 31, 2015, 2014, and 2013. The mortgage-related business does not include credit-related OTTI losses of $15, $4, and $7 for the years ended December 31, 2015, 2014, and 2013, respectively.

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

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

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

Schedule of Segment Assets by Segment [Table Text Block]

The following table presents total assets by operating segment at December 31, 2015, 2014, and 2013.

	Advances- Related Business		Mortgage- Related Business		Total Assets
2015	$	69,051	$	16,656	$	85,707
2014	55,424		20,383		75,807
2013	62,297		23,477		85,774

XML

Derivatives and Hedging Activities (Tables)

12 Months Ended

Dec. 31, 2015

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block]

The following table summarizes the fair value of derivative instruments including the effect of netting adjustments and cash collateral as of December 31, 2015 and 2014. For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest.

	2015								2014
	Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities			Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	27,110	$	192		$	71		$	28,018	$	374		$	103
Total	27,110		192			71			28,018		374			103
Derivatives not designated as hedging instruments:
Interest rate swaps	50,444		58			71			31,973		72			129
Interest rate caps and floors	2,230		6			1			2,306		9			1
Mortgage delivery commitments	5		—			—			—		—			—
Total	52,679		64			72			34,279		81			130
Total derivatives before netting and collateral adjustments	$	79,789	256			143			$	62,297	455			233
Netting adjustments and cash collateral(1)			(212		)	(137		)			(396		)	(213		)
Total derivative assets and total derivative liabilities			$	44		$	6				$	59		$	20

(1) Amounts include the netting of derivative assets and liabilities by counterparty, including cash collateral and related accrued interest, where the netting requirements have been met. Cash collateral posted and related accrued interest was $57 and $65 at December 31, 2015, and 2014, respectively. Cash collateral received and related accrued interest was $132 and $248 at December 31, 2015, and 2014, respectively.

Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance [Table Text Block]

The following table presents the components of net gain/(loss) on derivatives and hedging activities as presented in the Statements of Income for the years ended December 31, 2015, 2014, and 2013.

	2015			2014			2013
	Gain/(Loss)			Gain/(Loss)			Gain/(Loss)
Derivatives designated as hedging instruments:
Interest rate swaps	$	(10	)	$	(12	)	$	(2	)
Total net gain/(loss) related to fair value hedge ineffectiveness	(10		)	(12		)	(2		)
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	13			26			(8		)
Interest rate caps and floors	(3		)	(14		)	2
Net settlements	(18		)	(64		)	34
Mortgage delivery commitments	2			—			—
Total net gain/(loss) related to derivatives not designated as hedging instruments	(6		)	(52		)	28
Net gain/(loss) on derivatives and hedging activities	$	(16	)	$	(64	)	$	26

Schedule of Derivative Instruments By Type, Gain (Loss) in Statement of Financial Performance [Table Text Block]

The following table presents, by type of hedged item, the gains and losses on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on the Bank’s net interest income for the years ended December 31, 2015, 2014, and 2013.

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)
Year ended December 31, 2015:
Advances	$	19		$	(20	)	$	(1	)	$	(106	)
Consolidated obligation bonds	(170		)	161			(9		)	257
Total	$	(151	)	$	141		$	(10	)	$	151
Year ended December 31, 2014:
Advances	$	23		$	(23	)	$	—		$	(128	)
Consolidated obligation bonds	(189		)	177			(12		)	260
Total	$	(166	)	$	154		$	(12	)	$	132
Year ended December 31, 2013:
Advances	$	178		$	(175	)	$	3		$	(126	)
Consolidated obligation bonds	(373		)	368			(5		)	366
Total	$	(195	)	$	193		$	(2	)	$	240

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

Schedule of Derivative Instruments, Offsetting Derivative Assets and Liabilities [Table Text Block]

The following table presents separately the fair value of derivative assets and derivative liabilities that have met the netting requirements, including the related collateral received from or pledged to counterparties as of December 31, 2015 and 2014.

	2015						2014
	Derivative Assets			Derivative Liabilities			Derivative Assets			Derivative Liabilities
Derivative instruments meeting netting requirements
Gross recognized amount
Uncleared derivatives	$	166		$	93		$	352		$	199
Cleared derivatives	90			50			103			34
Total gross recognized amount	256			143			455			233
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives	(149		)	(87		)	(324		)	(179		)
Cleared derivatives	(63		)	(50		)	(72		)	(34		)
Total gross amount of netting adjustments and cash collateral	(212		)	(137		)	(396		)	(213		)
Total derivative assets and total derivative liabilities
Uncleared derivatives	17			6			28			20
Cleared derivatives	27			—			31			—
Total derivative assets and derivative liabilities presented in the Statements of Condition	44			6			59			20
Non-cash collateral received or pledged not offset
Can be sold or repledged - Uncleared derivatives	11			—			25			—
Net unsecured amount
Uncleared derivatives	6			6			3			20
Cleared derivatives	27			—			31			—
Total net unsecured amount	$	33		$	6		$	34		$	20

XML

Fair Value (Tables)

12 Months Ended

Dec. 31, 2015

Fair Value Disclosures [Abstract]

Fair Value, by Balance Sheet Grouping [Table Text Block]

The following tables present the carrying value, the estimated fair value, and the fair value hierarchy level of the Bank’s financial instruments at December 31, 2015 and 2014.

	December 31, 2015
	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments(1)
Assets
Cash and due from banks	$	1,637	$	1,637	$	1,637	$	—	$	—	$	—
Securities purchased under agreements to resell	10,000		10,000		—		10,000		—		—
Federal funds sold	4,626		4,626		—		4,626		—		—
Trading securities	1,433		1,433		—		1,433		—		—
AFS securities	5,414		5,414		—		—		5,414		—
HTM securities	10,802		10,821		—		9,118		1,703		—
Advances	50,919		50,844		—		50,844		—		—
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	655		694		—		694		—		—
Accrued interest receivable	56		56		—		56		—		—
Derivative assets, net(1)	44		44		—		256		—		(212		)
Other assets(2)	10		10		10		—		—		—
Liabilities
Deposits	127		127		—		127		—		—
Consolidated obligations:
Bonds	51,835		51,773		—		51,773		—		—
Discount notes	27,648		27,640		—		27,640		—		—
Total consolidated obligations	79,483		79,413		—		79,413		—		—
Mandatorily redeemable capital stock	488		488		488		—		—		—
Accrued interest payable	80		80		—		80		—		—
Derivative liabilities, net(1)	6		6		—		143		—		(137		)
Other
Standby letters of credit	18		18		—		18		—		—
Commitments to issue consolidated obligation bonds(3)	—		1		—		1		—		—

	December 31, 2014
	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments(1)
Assets
Cash and due from banks	$	3,920	$	3,920	$	3,920	$	—	$	—	$	—
Securities purchased under agreements to resell	1,000		1,000		—		1,000		—		—
Federal funds sold	7,503		7,503		—		7,503		—		—
Trading securities	3,524		3,524		—		3,524		—		—
AFS securities	6,371		6,371		—		—		6,371		—
HTM securities	13,551		13,657		—		11,521		2,136		—
Advances	38,986		39,060		—		39,060		—		—
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	708		769		—		769		—		—
Accrued interest receivable	67		67		—		67		—		—
Derivative assets, net(1)	59		59		—		455		—		(396		)
Other assets(2)	11		11		11		—		—		—
Liabilities
Deposits	160		160		—		160		—		—
Consolidated obligations:
Bonds	47,045		47,021		—		47,021		—		—
Discount notes	21,811		21,811		—		21,811		—		—
Total consolidated obligations	68,856		68,832		—		68,832		—		—
Mandatorily redeemable capital stock	719		719		719		—		—		—
Accrued interest payable	95		95		—		95		—		—
Derivative liabilities, net(1)	20		20		—		233		—		(213		)
Other
Standby letters of credit	12		12		—		12		—		—
Commitments to fund advances(3)	—		2		—		2		—		—

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

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

(3) Estimated fair values of these commitments are presented as a net gain or (loss). For more information regarding these commitments, see Note 20 – Commitments and Contingencies.

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Table Text Block]

The tables below present the fair value of assets and liabilities, which are recorded on a recurring or nonrecurring basis at December 31, 2015 and 2014, by level within the fair value hierarchy.

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

December 31, 2014
	Fair Value Measurement Using:						Netting
	Level 1		Level 2		Level 3		Adjustments(1)			Total
Recurring fair value measurements – Assets:
Trading securities:
GSEs – FFCB bonds	$	—	$	3,513	$	—	$	—		$	3,513
MBS:
Other U.S. obligations – Ginnie Mae	—		11		—		—			11
Total trading securities	—		3,524		—		—			3,524
AFS securities:
PLRMBS	—		—		6,371		—			6,371
Total AFS securities	—		—		6,371		—			6,371
Advances(2)	—		5,137		—		—			5,137
Derivative assets, net: interest rate-related	—		455		—		(396		)	59
Other assets	11		—		—		—			11
Total recurring fair value measurements – Assets	$	11	$	9,116	$	6,371	$	(396	)	$	15,102
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	6,717	$	—	$	—		$	6,717
Derivative liabilities, net: interest rate-related	—		233		—		(213		)	20
Total recurring fair value measurements – Liabilities	$	—	$	6,950	$	—	$	(213	)	$	6,737
Nonrecurring fair value measurements – Assets:
REO	$	—	$	—	$	1				$	1

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

(2) Represents advances recorded under the fair value option at December 31, 2015 and 2014.

(3) Represents consolidated obligation bonds recorded under the fair value option at December 31, 2015 and 2014.

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

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block]

The following table presents a reconciliation of the Bank’s AFS PLRMBS that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the years ended December 31, 2015, 2014, and 2013.

	2015			2014			2013
Balance, beginning of the period	$	6,371		$	7,047		$	7,604
Total gain/(loss) realized and unrealized included in:
Interest income	83			66			21
Net OTTI loss, credit-related	(15		)	(4		)	(7		)
Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI	(29		)	209			644
Net amount of OTTI loss reclassified to/(from) other income/(loss)	(15		)	(10		)	(3		)
Settlements	(996		)	(937		)	(1,284		)
Transfers of HTM securities to AFS securities	15			—			72
Balance, end of the period	$	5,414		$	6,371		$	7,047
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	$	68		$	62		$	15

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 years ended December 31, 2015, 2014, and 2013:

	2015						2014						2013
	Advances			Consolidated Obligation Bonds			Advances			Consolidated Obligation Bonds			Advances			Consolidated Obligation Bonds
Balance, beginning of the period	$	5,137		$	6,717		$	7,069		$	10,115		$	7,390		$	27,884
New transactions elected for fair value option	1,018			2,585			783			3,607			837			3,547
Maturities and terminations	(2,442		)	(5,083		)	(2,700		)	(7,088		)	(988		)	(21,165		)
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option	(31		)	19			(11		)	82			(169		)	(146		)
Change in accrued interest	(5		)	(5		)	(4		)	1			(1		)	(5		)
Balance, end of the period	$	3,677		$	4,233		$	5,137		$	6,717		$	7,069		$	10,115

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 December 31, 2015 and 2014:

	2015							2014
	Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance			Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance
Advances(1)	$	3,639	$	3,677	$	38		$	5,048	$	5,137	$	89
Consolidated obligation bonds	4,250		4,233		(17		)	6,748		6,717		(31		)

(1) At December 31, 2015 and 2014, none of these advances were 90 days or more past due or had been placed on nonaccrual status.

XML

Commitments and Contingencies (Tables)

12 Months Ended

Dec. 31, 2015

Commitments and Contingencies Disclosure [Abstract]

Off-Balance Sheet Commitments [Table Text Block]

Off-balance sheet commitments as of December 31, 2015 and 2014, were as follows:

	2015						2014
	Expire Within One Year		Expire After One Year		Total		Expire Within One Year		Expire After One Year		Total
Standby letters of credit outstanding	$	9,072	$	3,237	$	12,309	$	2,699	$	2,711	$	5,410
Commitments to fund additional advances(1)	5		5		10		121		5		126
Commitments to issue consolidated obligation discount notes, par	300		—		300		3		—		3
Commitments to issue consolidated obligation bonds, par(2)	110		—		110		—		—		—
Commitments to purchase mortgage loans	5		—		5		—		—		—

(1) AtDecember 31, 2015, none of the commitments to fund additional advances were hedged with associated interest rate swaps. At December 31, 2014, $100 of the commitments to fund additional advances were hedged with associated interest rate swaps.

(2) AtDecember 31, 2015, all of the unsettled consolidated obligation bonds were hedged with associated interest rate swaps.

Schedule of Future Minimum Rental Payments for Operating Leases [Table Text Block]

Future minimum rentals at December 31, 2015, were as follows:

Year	Future Minimum Rentals
2016	$	4
2017	4
2018	4
2019	3
2020	2
Total	$	17

XML

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

12 Months Ended

Dec. 31, 2015

Related Party Transactions [Abstract]

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

	December 31, 2015		December 31, 2014
Assets:
Advances	$	3,297	$	2,080
Mortgage loans held for portfolio	24		32
Accrued interest receivable	5		6
Liabilities:
Deposits	$	4	$	3
Capital:
Capital Stock	$	119	$	162

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

	For the Years Ended December 31,
	2015		2014		2013
Interest Income:
Advances	$	35	$	42	$	65
Mortgage loans held for portfolio	1		2		3

XML

Other (Tables)

12 Months Ended

Dec. 31, 2015

Other Income and Expenses [Abstract]

Schedule of Other Operating Cost and Expense, by Component [Table Text Block]

The table below discloses the categories included in other operating expense for the years ended December 31, 2015, 2014, and 2013.

	2015		2014		2013
Professional and contract services	$	50	$	48	$	33
Travel	2		2		2
Occupancy	5		5		5
Equipment	10		10		9
Other	4		4		4
Total	$	71	$	69	$	53

XML

Summary of Significant Accounting Policies Narrative (Details) $ in Millions	12 Months Ended
	Dec. 31, 2015 USD ($) loan	Dec. 31, 2014 USD ($) loan	Dec. 31, 2013 USD ($)
Investment Securities [Abstract]
Substantial Portion Collected, Percent	85.00%
Real Estate Owned [Abstract]
Real Estate Owned, Number of Loans | loan	21	23
Real Estate Acquired Through Foreclosure	$ 2	$ 2
Property, Plant and Equipment [Abstract]
Accumulated Depreciation and Amortization, Property, Plant, and Equipment	52	67
Depreciation and Amortization	8	9	$ 9
Net Realized Gain (Loss) on Disposition of Property Plant Equipment	1	1	1
Capitalized Computer Software, Net	18	20
Capitalized Computer Software, Amortization	$ 6	7	7
Maximum [Member]
Property, Plant and Equipment [Abstract]
Property, Plant and Equipment, Estimated Useful Lives	P10Y
Minimum [Member]
Property, Plant and Equipment [Abstract]
Property, Plant and Equipment, Estimated Useful Lives	P3Y
Other Assets [Member]
Debt Disclosure [Abstract]
Unamortized Concessions on Consolidated Obligations	$ 9	12
Interest Expense [Member]
Debt Disclosure [Abstract]
Amortization of Concessions included in CO interest expense	$ 7	$ 6	$ 7

XML

Recently Issued and Adopted Accounting Guidance Narrative (Details) - USD ($) $ in Millions	Dec. 31, 2015	Jan. 01, 2015	Dec. 31, 2014
Accounting Policies [Line Items]
Charge-off Provision, AB 2012-02 Effective Jan 1, 2015		$ 1
Other Liabilities [Member]
Accounting Policies [Line Items]
Retrospective Impact of Debt Issuance Cost Guidance Effective Jan. 1, 2016, Decrease in Assets and Liabilities	$ 9		$ 12

XML

Cash and Due from Banks (Details) - USD ($) $ in Millions	12 Months Ended
	Dec. 31, 2015	Dec. 31, 2014
Cash and Due from Banks [Abstract]
Average Collected Cash Balances With Commercial Banks	$ 41	$ 2

XML

Trading Securities (Details) - USD ($) $ in Millions		12 Months Ended
		Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Schedule of Trading Securities and Other Trading Assets [Line Items]
Net unrealized gain/(loss) on trading securities		$ (2)	$ (1)	$ 2
Trading securities	[1]	1,433	3,524
Non-MBS - GSE - FFCB bonds [Member]
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading securities		1,424	3,513
MBS - Other US Obligations - Ginnie Mae [Member]
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading securities		$ 9	$ 11

[1] At December 31, 2015, and 2014, none of these securities were pledged as collateral that may be repledged.

XML

Available-for-Sale Securities (Narrative) (Details) - USD ($) $ in Millions	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013	Dec. 31, 2012
Schedule of Available-for-sale Securities [Line Items]
Credit-related OTTI	$ 1,255	$ 1,314	$ 1,378	$ 1,397
Available-for-sale Securities [Member] | Collateralized Mortgage Backed Securities [Member]
Schedule of Available-for-sale Securities [Line Items]
Credit-related OTTI	$ 1,023	$ 1,173

XML

Available-for-Sale Securities (AFS Securities by Major Security Type) (Details) - USD ($) $ in Millions		Dec. 31, 2015	Dec. 31, 2014
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	[1]	$ 5,371	$ 6,283
OTTI Recognized in AOCI		(165)	(192)
Gross Unrealized Gains		222	282
Gross Unrealized Losses		(14)	(2)
Estimated Fair Value	[2]	5,414	6,371
PLRMBS [Member] | Prime [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost		489	565
OTTI Recognized in AOCI		(1)	(4)
Gross Unrealized Gains		23	31
Gross Unrealized Losses		0	0
Estimated Fair Value		511	592
PLRMBS [Member] | Alt-A, Option ARM [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost		956	1,031
OTTI Recognized in AOCI		(37)	(43)
Gross Unrealized Gains		64	77
Gross Unrealized Losses		(3)	0
Estimated Fair Value		980	1,065
PLRMBS [Member] | Alt-A, other [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost		3,926	4,687
OTTI Recognized in AOCI		(127)	(145)
Gross Unrealized Gains		135	174
Gross Unrealized Losses		(11)	(2)
Estimated Fair Value		$ 3,923	$ 4,714

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

[2] At December 31, 2015, and 2014, none of these securities were pledged as collateral that may be repledged.

XML

Available-for-Sale Securities (Summary of Securities with Unrealized Losses) (Details) - USD ($) $ in Millions	Dec. 31, 2015	Dec. 31, 2014
Schedule of Available-for-sale Securities [Line Items]
Less Than 12 Months: Estimated Fair Value	$ 168	$ 474
Less Than 12 Months: Unrealized Losses	2	15
12 Months or More: Estimated Fair Value	1,981	2,298
12 Months or More: Unrealized Losses	177	179
Estimated Fair Value	2,149	2,772
Unrealized Losses	179	194
Prime [Member] | PLRMBS [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Available-for-sale Securities [Line Items]
Less Than 12 Months: Estimated Fair Value	0	71
Less Than 12 Months: Unrealized Losses	0	3
12 Months or More: Estimated Fair Value	25	36
12 Months or More: Unrealized Losses	1	1
Estimated Fair Value	25	107
Unrealized Losses	1	4
Alt-A, Option ARM [Member] | PLRMBS [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Available-for-sale Securities [Line Items]
Less Than 12 Months: Estimated Fair Value	0	0
Less Than 12 Months: Unrealized Losses	0	0
12 Months or More: Estimated Fair Value	435	580
12 Months or More: Unrealized Losses	40	43
Estimated Fair Value	435	580
Unrealized Losses	40	43
Alt-A, other [Member] | PLRMBS [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Available-for-sale Securities [Line Items]
Less Than 12 Months: Estimated Fair Value	168	403
Less Than 12 Months: Unrealized Losses	2	12
12 Months or More: Estimated Fair Value	1,521	1,682
12 Months or More: Unrealized Losses	136	135
Estimated Fair Value	1,689	2,085
Unrealized Losses	$ 138	$ 147

XML

Available-for-Sale Securities (Interest Rate Payment Terms) (Details) - USD ($) $ in Millions		Dec. 31, 2015	Dec. 31, 2014
Schedule of Available-for-sale Securities [Line Items]
AFS Securities, Amortized Cost	[1]	$ 5,371	$ 6,283
Fixed Interest Rate [Member] | Collateralized Mortgage Backed Securities [Member]
Schedule of Available-for-sale Securities [Line Items]
AFS Securities, Amortized Cost		1,540	1,917
Fixed Interest Rate [Member] | Collateralized mortgage obligations [Member]
Schedule of Available-for-sale Securities [Line Items]
AFS Securities, Amortized Cost		201	297
Converts in 1 year or less		102	71
Converts after 1 year through 5 years		99	226
Variable Interest Rate [Member] | Collateralized Mortgage Backed Securities [Member]
Schedule of Available-for-sale Securities [Line Items]
AFS Securities, Amortized Cost		$ 3,831	$ 4,366

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

XML

Held-to-Maturity Securities (Classification of Held-to-Maturity Securities) (Details) - USD ($) $ in Millions		Dec. 31, 2015		Dec. 31, 2014		Dec. 31, 2013	Dec. 31, 2012
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1],[2]	$ 10,816		$ 13,571
OTTI Recognized in AOCI	[2]	(14)		(20)
HTM securities, Carrying Value	[1],[2],[3]	10,802		13,551
Gross Unrecognized Holding Gain		127		217
Gross Unrecognized Holding Loss		(108)		(111)
HTM Securities, Fair Value		10,821		13,657
Credit-related OTTI		1,255		1,314		$ 1,378	$ 1,397
Housing finance agency bonds [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[2]	275		328
OTTI Recognized in AOCI	[2]	0		0
HTM securities, Carrying Value	[2]	275		328
Gross Unrecognized Holding Gain		0		0
Gross Unrecognized Holding Loss		(33)		(45)
HTM Securities, Fair Value		242		283
MBS - Other US Obligations - Ginnie Mae [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[2]	1,227		1,513
OTTI Recognized in AOCI	[2]	0		0
HTM securities, Carrying Value		1,227	[1]	1,513	[2]
Gross Unrecognized Holding Gain		4		15
Gross Unrecognized Holding Loss		(3)		(2)
HTM Securities, Fair Value		1,228		1,526
PLRMBS [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[2]	1,501		1,900
OTTI Recognized in AOCI	[2]	(14)		(20)
HTM securities, Carrying Value	[2]	1,487		1,880
Gross Unrecognized Holding Gain		14		20
Gross Unrecognized Holding Loss		(40)		(46)
HTM Securities, Fair Value		1,461		1,854
MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[2]	10,541		13,243
OTTI Recognized in AOCI	[2]	(14)		(20)
HTM securities, Carrying Value	[2]	10,527		13,223
Gross Unrecognized Holding Gain		127		217
Gross Unrecognized Holding Loss		(75)		(66)
HTM Securities, Fair Value		10,579		13,374
Held-to-maturity Securities, Premiums		39		51
Held-to-maturity Securities, Discounts		42		55
MBS [Member] | Held-to-maturity Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Credit-related OTTI		8		7
Single Family [Member] | GSEs [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[2]	7,813		9,830
OTTI Recognized in AOCI	[2]	0		0
HTM securities, Carrying Value	[2]	7,813		9,830
Gross Unrecognized Holding Gain		109		182
Gross Unrecognized Holding Loss		(32)		(18)
HTM Securities, Fair Value		7,890		9,994
Single Family [Member] | Freddie Mac [Member] | GSEs [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[2]	3,677		4,517
OTTI Recognized in AOCI	[2]	0		0
HTM securities, Carrying Value	[2]	3,677		4,517
Gross Unrecognized Holding Gain		39		61
Gross Unrecognized Holding Loss		(20)		(12)
HTM Securities, Fair Value		3,696		4,566
Single Family [Member] | Fannie Mae [Member] | GSEs [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[2]	4,136		5,313
OTTI Recognized in AOCI	[2]	0		0
HTM securities, Carrying Value	[2]	4,136		5,313
Gross Unrecognized Holding Gain		70		121
Gross Unrecognized Holding Loss		(12)		(6)
HTM Securities, Fair Value		4,194		5,428
Prime [Member] | PLRMBS [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[2]	905		1,133
OTTI Recognized in AOCI	[2]	0		0
HTM securities, Carrying Value	[2]	905		1,133
Gross Unrecognized Holding Gain		0		1
Gross Unrecognized Holding Loss		(27)		(27)
HTM Securities, Fair Value		878		1,107
Alt-A, Option ARM [Member] | PLRMBS [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[2]	0		14
OTTI Recognized in AOCI	[2]	0		0
HTM securities, Carrying Value	[2]	0		14
Gross Unrecognized Holding Gain		0		0
Gross Unrecognized Holding Loss		0		(1)
HTM Securities, Fair Value		0		13
Alt-A, other [Member] | PLRMBS [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[2]	596		753
OTTI Recognized in AOCI	[2]	(14)		(20)
HTM securities, Carrying Value	[2]	582		733
Gross Unrecognized Holding Gain		14		19
Gross Unrecognized Holding Loss		(13)		(18)
HTM Securities, Fair Value		$ 583		$ 734

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

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

[3] At December 31, 2015, none of these securities were pledged as collateral that may be repledged. At December 31, 2014, a de minimis amount of these securities were pledged as collateral that may be repledged.

XML

Held-to-Maturity Securities (Securities with Unrealized Losses) (Details) - USD ($) $ in Millions	Dec. 31, 2015	Dec. 31, 2014
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	$ 3,805	$ 1,333
Less Than 12 Months, Unrealized losses	33	4
12 Months or More, Estimated Fair Value	1,665	3,363
12 Months Or More, Unrealized losses	89	127
Total, Estimated Fair Value	5,470	4,696
Total, Unrealized Losses	122	131
CalHFA bonds [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	0	0
Less Than 12 Months, Unrealized losses	0	0
12 Months or More, Estimated Fair Value	240	283
12 Months Or More, Unrealized losses	33	45
Total, Estimated Fair Value	240	283
Total, Unrealized Losses	33	45
MBS - Other US Obligations - Ginnie Mae [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	799	131
Less Than 12 Months, Unrealized losses	3	0
12 Months or More, Estimated Fair Value	2	94
12 Months Or More, Unrealized losses	0	2
Total, Estimated Fair Value	801	225
Total, Unrealized Losses	3	2
PLRMBS [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	175	294
Less Than 12 Months, Unrealized losses	1	2
12 Months or More, Estimated Fair Value	1,249	1,380
12 Months Or More, Unrealized losses	53	64
Total, Estimated Fair Value	1,424	1,674
Total, Unrealized Losses	54	66
MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	3,805	1,333
Less Than 12 Months, Unrealized losses	33	4
12 Months or More, Estimated Fair Value	1,425	3,080
12 Months Or More, Unrealized losses	56	82
Total, Estimated Fair Value	5,230	4,413
Total, Unrealized Losses	89	86
Single Family [Member] | GSEs [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	2,831	908
Less Than 12 Months, Unrealized losses	29	2
12 Months or More, Estimated Fair Value	174	1,606
12 Months Or More, Unrealized losses	3	16
Total, Estimated Fair Value	3,005	2,514
Total, Unrealized Losses	32	18
Single Family [Member] | Freddie Mac [Member] | GSEs [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	1,736	622
Less Than 12 Months, Unrealized losses	20	1
12 Months or More, Estimated Fair Value	20	1,044
12 Months Or More, Unrealized losses	0	11
Total, Estimated Fair Value	1,756	1,666
Total, Unrealized Losses	20	12
Single Family [Member] | Fannie Mae [Member] | GSEs [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	1,095	286
Less Than 12 Months, Unrealized losses	9	1
12 Months or More, Estimated Fair Value	154	562
12 Months Or More, Unrealized losses	3	5
Total, Estimated Fair Value	1,249	848
Total, Unrealized Losses	12	6
Prime [Member] | PLRMBS [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	165	264
Less Than 12 Months, Unrealized losses	1	2
12 Months or More, Estimated Fair Value	676	682
12 Months Or More, Unrealized losses	26	25
Total, Estimated Fair Value	841	946
Total, Unrealized Losses	27	27
Alt-A, Option ARM [Member] | PLRMBS [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	0	0
Less Than 12 Months, Unrealized losses	0	0
12 Months or More, Estimated Fair Value	0	13
12 Months Or More, Unrealized losses	0	1
Total, Estimated Fair Value	0	13
Total, Unrealized Losses	0	1
Alt-A, other [Member] | PLRMBS [Member] | Residential Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	10	30
Less Than 12 Months, Unrealized losses	0	0
12 Months or More, Estimated Fair Value	573	685
12 Months Or More, Unrealized losses	27	38
Total, Estimated Fair Value	583	715
Total, Unrealized Losses	$ 27	$ 38

XML

Held-to-Maturity Securities (Redemption Terms) (Details) - USD ($) $ in Millions		Dec. 31, 2015	Dec. 31, 2014
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1],[2]	$ 10,816	$ 13,571
HTM securities, Carrying Value	[1],[2],[3]	10,802	13,551
HTM Securities, Fair Value		10,821	13,657
Other Than Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Due after 5 years through 10 years, Amortized Cost	[1]	60	78
Due after 5 years through 10 years, Carrying Value	[1]	60	78
Due after 5 years through 10 years, Estimated Fair Value		56	70
Due after 10 years, Amortized Cost	[1]	215	250
Due after 10 years, Carrying Value	[1]	215	250
Due after 10 years, Estimated Fair Value		186	213
Amortized Cost		275	328
HTM securities, Carrying Value		275	328
HTM Securities, Fair Value		242	283
Collateralized Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[2]	10,541	13,243
HTM securities, Carrying Value	[2]	10,527	13,223
HTM Securities, Fair Value		$ 10,579	$ 13,374

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

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

[3] At December 31, 2015, none of these securities were pledged as collateral that may be repledged. At December 31, 2014, a de minimis amount of these securities were pledged as collateral that may be repledged.

XML

Held-to-Maturity Securities (Interest Rate Payment Terms) (Details) - USD ($) $ in Millions		Dec. 31, 2015	Dec. 31, 2014
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1],[2]	$ 10,816	$ 13,571
Other Than Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost		275	328
Other Than Mortgage Backed Securities [Member] | Variable Interest Rate [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost		275	328
Mortgage Passthrough Securities [Member] | Fixed Interest Rate [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost		146	285
Converts in 1 year or less		22	79
Converts after 1 year through 5 years		119	140
Converts after 5 years through 10 years		0	59
Total		141	278
Mortgage Passthrough Securities [Member] | Variable Interest Rate [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost		416	415
Collateralized Mortgage Obligations [Member] | Fixed Interest Rate [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost		7,224	9,249
Converts in 1 year or less		7	73
Converts after 1 year through 5 years		13	26
Total		20	99
Collateralized Mortgage Obligations [Member] | Variable Interest Rate [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost		2,755	3,294
Collateralized Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[2]	$ 10,541	$ 13,243

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

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

XML

Other-Than-Temporary Impairment Analysis (Narrative) (Details) $ in Millions	12 Months Ended
	Dec. 31, 2015 USD ($)	Dec. 31, 2014 USD ($)
Other than Temporary Impairment, Disclosure [Line Items]
Core-Based Statistical Areas, Current Requirements, Urban Area, Population	10,000
Projected change in the twelve month housing price percentage rate, maximum decrease	3.00%
Projected change in the twelve month housing price percentage rate, maximum increase	8.00%
Projected House Price Rate, minimum increase in vast majority of markets	2.00%
Projected House Price Rate, maximum increase in vast majority of markets	5.00%
Period Assumed For Housing Markets That Have Reached Trough	12 months
PLRMBS [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Held to Maturity Securities Transferred to Available for Sale Securities During Period, Fair Value	$ 15	$ 0
Minimum [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Core-Based Statistical Areas, Current Requirements, Number of Urban Areas	1

XML

Other-Than-Temporary Impairment Analysis (Significant Inputs for Other-Than-Temporarily Impaired PLRMBS) (Details) - Residential Mortgage Backed Securities [Member] - PLRMBS [Member]	12 Months Ended
	Dec. 31, 2015	[1]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Average	11.70%
Default Rates, Weighted Average	21.00%
Loss Severities, Weighted Average	36.30%
Current Credit Enhancement, Weighted Average	10.80%
Prime [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Average	13.20%
Default Rates, Weighted Average	3.80%
Loss Severities, Weighted Average	20.90%
Current Credit Enhancement, Weighted Average	19.00%
Prime [Member] | Securitization in 2007 [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Average	13.20%
Default Rates, Weighted Average	3.70%
Loss Severities, Weighted Average	20.80%
Current Credit Enhancement, Weighted Average	19.20%
Prime [Member] | Securitization in 2006 [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Average	13.10%
Default Rates, Weighted Average	18.10%
Loss Severities, Weighted Average	32.50%
Current Credit Enhancement, Weighted Average	0.00%
Alt-A, Option ARM [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Average	5.90%
Default Rates, Weighted Average	35.90%
Loss Severities, Weighted Average	38.20%
Current Credit Enhancement, Weighted Average	9.30%
Alt-A, Option ARM [Member] | Securitization in 2006 [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Average	5.70%
Default Rates, Weighted Average	39.90%
Loss Severities, Weighted Average	39.20%
Current Credit Enhancement, Weighted Average	6.10%
Alt-A, Option ARM [Member] | Securitization in 2005 [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Average	7.40%
Default Rates, Weighted Average	11.10%
Loss Severities, Weighted Average	32.50%
Current Credit Enhancement, Weighted Average	29.40%
Alt-A, other [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Average	12.20%
Default Rates, Weighted Average	20.00%
Loss Severities, Weighted Average	36.40%
Current Credit Enhancement, Weighted Average	10.80%
Alt-A, other [Member] | Securitization in 2007 [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Average	11.30%
Default Rates, Weighted Average	24.70%
Loss Severities, Weighted Average	34.80%
Current Credit Enhancement, Weighted Average	10.30%
Alt-A, other [Member] | Securitization in 2006 [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Average	10.20%
Default Rates, Weighted Average	26.50%
Loss Severities, Weighted Average	38.70%
Current Credit Enhancement, Weighted Average	19.60%
Alt-A, other [Member] | Securitization in 2005 [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Average	13.30%
Default Rates, Weighted Average	14.90%
Loss Severities, Weighted Average	36.90%
Current Credit Enhancement, Weighted Average	5.80%
Alt-A, other [Member] | Securitization in 2004 and Earlier [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Average	17.30%
Default Rates, Weighted Average	7.10%
Loss Severities, Weighted Average	30.70%
Current Credit Enhancement, Weighted Average	13.30%

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

XML

Other-Than-Temporary Impairment Analysis (OTTI Rollforward) (Details) - USD ($) $ in Millions		12 Months Ended
		Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Other than Temporary Impairment Losses, Investments [Abstract]
Other than Temporary Impairment, Credit Losses Recognized in Earnings, Total accretion or amortization		$ 82	$ 66	$ 20
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward]
Balance, beginning of the period		1,314	1,378	1,397
Additional charges on securities for which OTTI was previously recognized	[1]	15	4	7
Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities	[2]	(74)	(68)	(26)
Balance, end of the period		$ 1,255	$ 1,314	$ 1,378

[1] For the year ended December 31, 2015, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2015. For the year ended December 31, 2014, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2014. For the year ended December 31, 2013, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2013.

[2] The total accretion or amortization associated with other-than-temporarily impaired PLRMBS (amount recognized in interest income) totaled $82, $66, and $20 for the years ended December 31, 2015, 2014, and 2013, respectively.

XML

Other-Than-Temporary Impairment Analysis (Transfers) (Details) - PLRMBS [Member] - USD ($) $ in Millions	12 Months Ended
	Dec. 31, 2015	Dec. 31, 2014
Significant Inputs for Credit Loss Measurement [Line Items]
Amortized Cost	$ 16
OTTI Recognized in AOCI	(1)
Gross Unrecognized Holding Gains (Losses)	0
Estimated Fair Value	15	$ 0
Prime [Member]
Significant Inputs for Credit Loss Measurement [Line Items]
Amortized Cost	4
OTTI Recognized in AOCI	0
Gross Unrecognized Holding Gains (Losses)	0
Estimated Fair Value	4
Alt-A, Option ARM [Member]
Significant Inputs for Credit Loss Measurement [Line Items]
Amortized Cost	12
OTTI Recognized in AOCI	(1)
Gross Unrecognized Holding Gains (Losses)	0
Estimated Fair Value	$ 11

XML

Other-Than-Temporary Impairment Analysis (OTTI Impaired PLRMBS) (Details) - PLRMBS [Member] - USD ($) $ in Millions	Dec. 31, 2015	Dec. 31, 2014
Available-for-sale Securities [Member]
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract]
Unpaid Principal Balance	$ 6,384	$ 7,447
Amortized Cost	5,371	6,283
Estimated Fair Value	5,414	6,371
Held-to-maturity Securities [Member]
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract]
Unpaid Principal Balance	111	132
Amortized Cost	107	128
Carrying Value	93	108
Estimated Fair Value	107	127
Prime [Member] | Available-for-sale Securities [Member]
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract]
Unpaid Principal Balance	591	682
Amortized Cost	489	565
Estimated Fair Value	511	592
Prime [Member] | Held-to-maturity Securities [Member]
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract]
Unpaid Principal Balance	0	0
Amortized Cost	0	0
Carrying Value	0	0
Estimated Fair Value	0	0
Alt-A, Option ARM [Member] | Available-for-sale Securities [Member]
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract]
Unpaid Principal Balance	1,269	1,391
Amortized Cost	956	1,031
Estimated Fair Value	980	1,065
Alt-A, Option ARM [Member] | Held-to-maturity Securities [Member]
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract]
Unpaid Principal Balance	0	0
Amortized Cost	0	0
Carrying Value	0	0
Estimated Fair Value	0	0
Alt-A, other [Member] | Available-for-sale Securities [Member]
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract]
Unpaid Principal Balance	4,524	5,374
Amortized Cost	3,926	4,687
Estimated Fair Value	3,923	4,714
Alt-A, other [Member] | Held-to-maturity Securities [Member]
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract]
Unpaid Principal Balance	111	132
Amortized Cost	107	128
Carrying Value	93	108
Estimated Fair Value	$ 107	$ 127

XML

Advances (Narrative) (Details) - USD ($) $ in Millions	12 Months Ended
	Dec. 31, 2015	Dec. 31, 2014
Advances [Line Items]
Advances, Par Value	$ 50,841	$ 38,830
Advances With Partial Prepayment Symmetry Outstanding	$ 3,510	$ 4,915
Minimum [Member]
Advances [Line Items]
Advances, Maturity Period, Fixed Rate	1 day
Advances, Maturity Period, Variable Rate	30 days
Advances, Interest Rate	0.25%	0.14%
Maximum [Member]
Advances [Line Items]
Advances, Maturity Period, Fixed Rate	30 years
Advances, Maturity Period, Variable Rate	10 years
Advances, Interest Rate	8.57%	8.57%
Advances, Callable Option [Member]
Advances [Line Items]
Advances, Par Value	$ 15,425	$ 328
Advances, Putable Option [Member]
Advances [Line Items]
Advances, Par Value	$ 140	$ 140

XML

Advances (Redemption Terms) (Details) - USD ($) $ in Millions	Dec. 31, 2015	Dec. 31, 2014
Federal Home Loan Bank Advances, Maturities [Abstract]
Within 1 year	$ 24,807	$ 21,328
After 1 year through 2 years	4,252	7,597
After 2 years through 3 years	6,208	3,235
After 3 years through 4 years	6,877	3,216
After 4 years through 5 years	2,022	1,655
After 5 years	6,675	1,799
Total par amount	50,841	38,830
Valuation adjustments for hedging activities	40	67
Valuation adjustments under fair value option	38	89
Advances	$ 50,919	$ 38,986
Federal Home Loan Bank Advances, Weighted Average Interest Rate [Abstract]
Within 1 year	0.59%	0.63%
After 1 year through 2 years	1.19%	1.07%
After 2 years through 3 years	1.19%	1.39%
After 3 years through 4 years	0.89%	1.65%
After 4 years through 5 years	1.11%	1.82%
After 5 years	1.11%	2.81%
Total par value	0.84%	1.02%

XML

Advances (Earlier of Contractual Maturity or Next Call/Put Date) (Details) - USD ($) $ in Millions	Dec. 31, 2015	Dec. 31, 2014
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, Rolling Year, Par Value [Abstract]
Within 1 year	$ 25,983	$ 21,460
After 1 year through 2 years	6,124	7,693
After 2 years through 3 years	8,432	3,258
After 3 years through 4 years	3,173	3,291
After 4 years through 5 years	5,706	1,646
After 5 years	1,423	1,482
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, Rolling Year, Par Value [Abstract]
Within 1 year	24,947	21,468
After 1 year through 2 years	4,152	7,597
After 2 years through 3 years	6,168	3,135
After 3 years through 4 years	6,877	3,176
After 4 years through 5 years	2,022	1,655
After 5 years	6,675	1,799
Total par amount	$ 50,841	$ 38,830

XML

Advances (Credit and Concentration Risk) (Details) $ in Millions		12 Months Ended
		Dec. 31, 2015 USD ($) bank		Dec. 31, 2014 USD ($)
Advances [Line Items]
Number Of Top Advances Borrowers | bank		5
Advances Outstanding		$ 50,841		$ 38,830
Percentage of Total Advances Outstanding		100.00%		100.00%
Interest Income from Advances	[1]	$ 398		$ 431
Percentage of Total Interest Income from Advances		100.00%		100.00%
JPMorgan Chase Bank National Association [Member]
Advances [Line Items]
Advances Outstanding	[3]	$ 14,813	[2]	$ 819
Percentage of Total Advances Outstanding	[3]	29.00%	[2]	2.00%
Interest Income from Advances	[1],[3]	$ 65	[2]	$ 7
Percentage of Total Interest Income from Advances	[3]	16.00%	[2]	2.00%
JPMorgan Bank And Trust Company National Association [Member]
Advances [Line Items]
Advances Outstanding	[2]			$ 3,000
Percentage of Total Advances Outstanding	[2]			8.00%
Interest Income from Advances	[1],[2]			$ 54
Percentage of Total Interest Income from Advances	[2]			13.00%
JPMorgan Chase And Co [Member]
Advances [Line Items]
Advances Outstanding				$ 3,819
Percentage of Total Advances Outstanding				10.00%
Interest Income from Advances	[1]			$ 61
Percentage of Total Interest Income from Advances				15.00%
Bank of the West [Member]
Advances [Line Items]
Advances Outstanding		$ 6,791		$ 5,484
Percentage of Total Advances Outstanding		13.00%		14.00%
Interest Income from Advances	[1]	$ 27		$ 29
Percentage of Total Interest Income from Advances		7.00%		7.00%
First Republic Bank [Member]
Advances [Line Items]
Advances Outstanding		$ 4,000		$ 5,275
Percentage of Total Advances Outstanding		8.00%		13.00%
Interest Income from Advances	[1]	$ 75		$ 86
Percentage of Total Interest Income from Advances		19.00%		20.00%
CIT Bank, N.A. (formerly OneWest Bank, N.A.) [Member]
Advances [Line Items]
Advances Outstanding	[4]	$ 3,113		$ 3,364
Percentage of Total Advances Outstanding	[4]	6.00%		9.00%
Interest Income from Advances	[1],[4]	$ 19		$ 28
Percentage of Total Interest Income from Advances	[4]	5.00%		6.00%
Citibank N.A. [Member]
Advances [Line Items]
Advances Outstanding	[3]	$ 3,000
Percentage of Total Advances Outstanding	[3]	6.00%
Interest Income from Advances	[1],[3]	$ 5
Percentage of Total Interest Income from Advances	[3]	1.00%
Banamex USA [Member]
Advances [Line Items]
Advances Outstanding		$ 0
Percentage of Total Advances Outstanding		0.00%
Interest Income from Advances	[1]	$ 0
Percentage of Total Interest Income from Advances		0.00%
Citigroup Inc. [Member]
Advances [Line Items]
Advances Outstanding		$ 3,000
Percentage of Total Advances Outstanding		6.00%
Interest Income from Advances	[1]	$ 5
Percentage of Total Interest Income from Advances		1.00%
Bank of America California N A [Member]
Advances [Line Items]
Advances Outstanding				$ 3,500
Percentage of Total Advances Outstanding				9.00%
Interest Income from Advances	[1]			$ 18
Percentage of Total Interest Income from Advances				4.00%
Subtotal
Advances [Line Items]
Advances Outstanding		$ 31,717		$ 21,442
Percentage of Total Advances Outstanding		62.00%		55.00%
Interest Income from Advances	[1]	$ 191		$ 222
Percentage of Total Interest Income from Advances		48.00%		52.00%
Other Borrowers [Member]
Advances [Line Items]
Advances Outstanding		$ 19,124		$ 17,388
Percentage of Total Advances Outstanding		38.00%		45.00%
Interest Income from Advances	[1]	$ 207		$ 209
Percentage of Total Interest Income from Advances		52.00%		48.00%

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

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

[3] Nonmember institution.

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

XML

Advances (Interest Rate Payment Terms and Prepayment Fees) (Details) - USD ($) $ in Millions	12 Months Ended
	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Prepayment Fees, Net [Abstract]
Prepayment Fees Received	$ 28	$ 16	$ 14
Fair Value Adjustments	(20)	(10)	(9)
Net	8	6	5
Advance Principal Prepaid	2,229	1,650	$ 365
Federal Home Loan Bank, Advances, Fixed Rate [Abstract]
Fixed Rate, due within 1 year	13,073	15,422
Fixed Rate, due after 1 year	9,381	12,330
Advances, Total Fixed Rate	22,454	27,752
Federal Home Loan Bank, Advances, Floating Rate [Abstract]
Adjustable Rate, due within 1 year	11,734	5,906
Adjustable Rate, due after 1 year	16,653	5,172
Advances, Total Adjustable Rate	28,387	11,078
Total par amount	$ 50,841	$ 38,830

XML

Mortgage Loans Held for Portfolio (Details) $ in Millions	12 Months Ended
	Dec. 31, 2015 USD ($) Institutions	Dec. 31, 2014 USD ($)	Dec. 31, 2013 USD ($)
Mortgage Loans on Real Estate [Line Items]
Credit Enhancement Fees		$ 1	$ 1
Number of Institutions Participating in Renewed MPF Program | Institutions	10
Unpaid principal balance	$ 653	713
Unamortized premiums	10	6
Unamortized discounts	(8)	(10)
Mortgage loans held for portfolio	655	709
Less: Allowance for credit losses	0	(1)
Total mortgage loans held for portfolio, net	$ 655	708
Fixed rate medium-term mortgage loans [Member] | Maximum [Member]
Mortgage Loans on Real Estate [Line Items]
Mortgage Loans on Real Estate, Original Contractual Terms	15 years
Fixed rate long-term mortgage loans [Member] | Minimum [Member]
Mortgage Loans on Real Estate [Line Items]
Mortgage Loans on Real Estate, Original Contractual Terms	15 years
Conventional Mortgage Loan [Member]
Mortgage Loans on Real Estate [Line Items]
Unpaid principal balance	$ 653	713
Single Family [Member] | Fixed rate medium-term mortgage loans [Member]
Mortgage Loans on Real Estate [Line Items]
Unpaid principal balance	100	160
Single Family [Member] | Fixed rate long-term mortgage loans [Member]
Mortgage Loans on Real Estate [Line Items]
Unpaid principal balance	$ 553	$ 553

XML

Allowance for Credit Losses (Narrative) (Details) $ in Millions	2 Months Ended	12 Months Ended
	Feb. 29, 2016 Institutions	Dec. 31, 2015 USD ($) Institutions	Dec. 31, 2014 USD ($)	Dec. 31, 2013 USD ($)	Dec. 31, 2012 USD ($)
Financing Receivable, Allowance for Credit Losses [Line Items]
Number of Member Institutions Placed Into Receivership or Liquidation | Institutions		0
Period Loan Receivable Becomes Nonaccrual Status		90 days
Period Loan Receivable Evaluated for Charge-Off		180 days
Loan to Value Ratio Above Which a Borrower is Required to Obtain Primary Mortgage Insurance		80.00%
Allowance for credit losses on mortgage loans		$ 0	$ 1
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%
MPF Plus Loans, Specifically Identified As Impaired [Member]
Financing Receivable, Allowance for Credit Losses [Line Items]
Allowance for credit losses on mortgage loans			1
Subsequent Event [Member]
Financing Receivable, Allowance for Credit Losses [Line Items]
Number of Member Institutions Placed Into Receivership or Liquidation | Institutions	0
Conventional Mortgage Loan [Member]
Financing Receivable, Allowance for Credit Losses [Line Items]
Allowance for credit losses on mortgage loans		$ 0	1	$ 2	$ 3
Nonperforming TDR [Member] | Conventional Mortgage Loan [Member]
Financing Receivable, Allowance for Credit Losses [Line Items]
Troubled Debt Restructuring, Modifications, Recorded Investment		$ 3	$ 2

XML

Allowance for Credit Losses (Delinquent Mortgage Loans) (Details) - Conventional Mortgage Loan [Member] - USD ($) $ in Millions		Dec. 31, 2015	Dec. 31, 2014
Financing Receivable, Allowance for Credit Losses [Line Items]
Past due	[1]	$ 33	$ 39
Total current loans	[1]	625	673
Total mortgage loans, gross	[1]	658	712
In process of foreclosure, included above	[1],[2]	7	11
Nonaccrual loans	[1]	18	22
Loans Past Due 90 days or more and still accruing interest	[1]	$ 0	$ 0
Serious delinquencies as a percentage of total mortgage loans outstanding	[1],[3]	2.76%	3.12%
30 to 59 Days delinquent [Member]
Financing Receivable, Allowance for Credit Losses [Line Items]
Past due	[1]	$ 10	$ 12
60 to 89 Days delinquent [Member]
Financing Receivable, Allowance for Credit Losses [Line Items]
Past due	[1]	5	5
90 Days ore more delinquent [Member]
Financing Receivable, Allowance for Credit Losses [Line Items]
Past due	[1]	$ 18	$ 22

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

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

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

XML

Allowance for Credit Losses (Rollforward) (Details) - USD ($) $ in Millions	12 Months Ended
	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Financing Receivable, Allowance for Credit Losses [Roll Forward]
Balance, beginning of the period	$ 1
Provision for/(reversal of) credit losses on mortgage loans	1	$ 0	$ (1)
Balance, end of the period	0	1
Conventional Mortgage Loan [Member]
Financing Receivable, Allowance for Credit Losses [Roll Forward]
Balance, beginning of the period	1	2	3
(Charge-offs)/recoveries	(2)	(1)	0
Provision for/(reversal of) credit losses on mortgage loans	1	0	(1)
Balance, end of the period	$ 0	$ 1	$ 2

XML

Allowance for Credit Losses (By Impairment Methodology) (Details) - USD ($) $ in Millions		Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013	Dec. 31, 2012
Financing Receivable, Allowance for Credit Losses [Line Items]
Total Allowance for Credit Losses		$ 0	$ 1
Conventional Mortgage Loan [Member]
Financing Receivable, Allowance for Credit Losses [Line Items]
Individually evaluated for impairment, Allowance for credit losses		0	1
Total Allowance for Credit Losses		0	1	$ 2	$ 3
Individually evaluated for impairment, Recorded investment		14	20
Collectively evaluated for impairment, Recorded investment		644	692
Total mortgage loans, gross	[1]	$ 658	$ 712

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

XML

Allowance for Credit Losses (Recorded Investment, Average Recorded Investment, Unpaid Principal Balance and Related Allowance of Impaired Loans) (Details) - Conventional Mortgage Loan [Member] - USD ($) $ in Millions	12 Months Ended
	Dec. 31, 2015	Dec. 31, 2014
Impaired Financing Receivable, Recorded Investment [Abstract]
Impaired Financing Receivable, with No Related Allowance, Recorded Investment	$ 13	$ 14
Impaired Financing Receivable, with Related Allowance, Recorded Investment	1	6
Impaired Financing Receivable, Recorded Investment	14	20
Impaired Financing Receivable, Unpaid Principal Balance [Abstract]
Impaired Financing Receivable, with No Related Allowance, Unpaid Principal Balance	13	14
Impaired Financing Receivable, with Related Allowance, Unpaid Principal Balance	1	6
Impaired Financing Receivable, Unpaid Principal Balance	14	20
Impaired Financing Receivable, Related Allowance	0	1
Impaired Financing Receivable, Average Recorded Investment [Abstract]
Impaired Financing Receivable, with No Related Allowance, Average Recorded Investment	15	17
Impaired Financing Receivable, with Related Allowance, Average Recorded Investment	1	7
Impaired Financing Receivable, Average Recorded Investment	$ 16	$ 24

XML

Deposits (Details) - USD ($) $ in Millions	Dec. 31, 2015	Dec. 31, 2014
Deposits [Line Items]
Interest-bearing Deposit Liabilities, Domestic	$ 124	$ 159
Noninterest-bearing Deposits	3	1
Deposits	127	160
Adjustable rate [Member]
Deposits [Line Items]
Interest-bearing Deposit, Demand and Overnight	$ 124	$ 159
Weighted Average Rate Domestic Deposit	0.01%	0.01%

XML

Consolidated Obligations Narrative (Details) - USD ($) $ in Millions	12 Months Ended
	Dec. 31, 2015	Dec. 31, 2014
Schedule of Short-term and Long-term Debt [Line Items]
Qualifying asset balance requirement	$ 85,542	$ 79,483
Consolidated Obligations, Bonds, Par	51,692	46,723
Total consolidated obligations, par	79,355	68,538
Derivative, Notional Amount	79,789	62,297
Callable [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Consolidated Obligations, Bonds, Par	8,005	14,158
Consolidated obligation bonds [Member] | Callable [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Derivative, Notional Amount	4,835	9,573
FHLBanks [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Obligation with Joint and Several Liability Arrangement, Amount Outstanding	$ 905,202	$ 847,175
Minimum [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Federal Home Loan Bank, CO Bonds, Maturity period	6 months
Maximum [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Federal Home Loan Bank, CO Bonds, Maturity period	15 years

XML

Consolidated Obligations (Redemption Terms) (Details) - USD ($) $ in Millions	Dec. 31, 2015	Dec. 31, 2014
Schedule of Short-term and Long-term Debt [Line Items]
Consolidated Obligations, Bonds, Par	$ 51,692	$ 46,723
Consolidated Obligations, Bonds	51,835	47,045
Consolidated obligation bonds [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Within 1 year	29,114	21,044
After 1 year through 2 years	11,264	9,871
After 2 years through 3 years	5,162	4,518
After 3 years through 4 years	1,430	2,336
After 4 years through 5 years	1,740	3,103
After 5 years	2,982	5,851
Unamortized premiums	27	58
Unamortized discounts	(9)	(13)
Valuation adjustments for hedging activities	142	308
Fair value option valuation adjustments	$ (17)	$ (31)
Within 1 year, Weighted Average Interest Rate	1.03%	0.36%
After 1 year through 2 years, Weighted Average Interest Rate	0.91%	2.43%
After 2 years through 3 years, Weighted Average Interest Rate	1.28%	1.70%
After 3 years through 4 years, Weighted Average Interest Rate	1.44%	1.49%
After 4 years through 5 years, Weighted Average Interest Rate	1.67%	1.71%
After 5 years, Weighted Average Interest Rate	2.43%	2.13%
Total par amount, Weighted Average Interest Rate	1.14%	1.29%

XML

Consolidated Obligations (Consolidated Obligation Bonds Noncallable and Callable) (Details) - USD ($) $ in Millions	Dec. 31, 2015	Dec. 31, 2014
Schedule of Short-term and Long-term Debt [Line Items]
Consolidated Obligations, Bonds, Par	$ 51,692	$ 46,723
Non-callable [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Consolidated Obligations, Bonds, Par	43,687	32,565
Callable [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Consolidated Obligations, Bonds, Par	$ 8,005	$ 14,158

XML

Consolidated Obligations (Consolidated Obligation Bonds by Earlier of Contractual Maturity or Next Call Date) (Details) - USD ($) $ in Millions	Dec. 31, 2015	Dec. 31, 2014
Schedule of Short-term and Long-term Debt [Line Items]
Consolidated Obligations, Bonds, Par	$ 51,692	$ 46,723
Consolidated obligation bonds [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Within 1 year	29,114	21,044
After 1 year through 2 years	11,264	9,871
After 2 years through 3 years	5,162	4,518
After 3 years through 4 years	1,430	2,336
After 4 years through 5 years	1,740	3,103
After 5 years	2,982	5,851
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	36,469	33,558
After 1 year through 2 years	10,914	9,156
After 2 years through 3 years	3,282	2,043
After 3 years through 4 years	455	1,010
After 4 years through 5 years	395	385
After 5 years	$ 177	$ 571

XML

Consolidated Obligations (Consolidated Obligation Discount Notes) (Details) - USD ($) $ in Millions		Dec. 31, 2015	Dec. 31, 2014
Short-term Debt [Line Items]
Consolidated Obligations, Discount Notes, Par		$ 27,663	$ 21,815
Consolidated Obligations, Discount Notes		27,648	21,811
Consolidated Obligation, Discount Notes [Member]
Short-term Debt [Line Items]
Unamortized discounts		$ (15)	$ (4)
Par amount, Weighted Average Interest Rate	[1]	0.25%	0.09%

[1] Represents yield to maturity excluding concession fees.

XML

Consolidated Obligations (Interest Rate Payment Terms) (Details) - USD ($) $ in Millions	Dec. 31, 2015	Dec. 31, 2014
Schedule of Short-term and Long-term Debt [Line Items]
Consolidated Obligations, Bonds, Par	$ 51,692	$ 46,723
Consolidated Obligations, Discount Notes, Par	27,663	21,815
Total consolidated obligations, par	79,355	68,538
Fixed rate [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Consolidated Obligations, Bonds, Par	28,942	39,324
Adjustable rate [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Consolidated Obligations, Bonds, Par	20,815	3,678
Step-up [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Consolidated Obligations, Bonds, Par	1,110	2,654
Step-down [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Consolidated Obligations, Bonds, Par	550	500
Fixed rate that converts to adjustable rate [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Consolidated Obligations, Bonds, Par	175	467
Range Bonds [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Consolidated Obligations, Bonds, Par	$ 100	$ 100

XML

Affordable Housing Program Narrative (Details) - USD ($) $ in Millions	12 Months Ended
	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Federal Home Loan Banks [Abstract]
AHP, Contribution Requirement, Amount	$ 100
AHP, Contribution Requirement, Percentage	10.00%
Affordable Housing Program Assessment	$ 78	$ 36	$ 52

XML

Affordable Housing Program Schedule of Change in AHP Liability (Details) - USD ($) $ in Millions	12 Months Ended
	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Affordable Housing Program [Roll Forward]
AHP Obligation, beginning of the period	$ 147	$ 151	$ 144
AHP Assessment	78	36	52
AHP Grant Payments	(53)	(40)	(45)
AHP Obligation, end of the period	$ 172	$ 147	$ 151

XML

Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Millions	12 Months Ended
	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI Balance, beginning of period	$ 56
Net change in pension and postretirement benefits	(2)	$ (5)	$ 5
Non-credit related OTTI loss, Total	(16)	(10)	(7)
Non-credit-related OTTI loss transferred from HTM securities	(1)	0	(4)
Non-credit related OTTI loss transferred to AFS	1	0	4
Net change in fair value	(29)	209	644
Accretion of Noncredit Related OTTI Loss	6	7	7
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract]
AOCI Balance, end of period	15	56
Accumulated Other-than-Temporary Impairment [Member] | Available-for-sale Securities [Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI Balance, beginning of period	88	(111)	(748)
Non-credit-related OTTI loss, Available-for-sale Securities	(18)	(10)	(3)
Non-credit-related OTTI loss transferred from HTM securities	(1)		(4)
Net change in fair value	(29)	209	644
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract]
Non-credit-related OTTI to credit-related OTTI, AFS	3
Net current period other comprehensive income/(loss)	(45)	199	637
AOCI Balance, end of period	43	88	(111)
Accumulated Other-than-Temporary Impairment [Member] | Held-to-maturity Securities [Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI Balance, beginning of period	(20)	(27)	(34)
Non-credit-related OTTI loss, Held-to-maturity Securities	(1)	0	(4)
Non-credit related OTTI loss transferred to AFS	1		4
Accretion of Noncredit Related OTTI Loss	6	7	7
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract]
Non-credit-related OTTI to credit-related OTTI, HTM	0		0
Net current period other comprehensive income/(loss)	6	7	7
AOCI Balance, end of period	(14)	(20)	(27)
Accumulated Defined Benefit Plans Adjustment [Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI Balance, beginning of period	(12)	(7)	(12)
Net change in pension and postretirement benefits	(2)	(5)	5
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract]
Net current period other comprehensive income/(loss)	(2)	(5)	5
AOCI Balance, end of period	(14)	(12)	(7)
Accumulated Other Comprehensive Income/(Loss) [Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI Balance, beginning of period	56	(145)	(794)
Net change in pension and postretirement benefits	(2)	(5)	5
Non-credit-related OTTI loss, Available-for-sale Securities			(3)
Non-credit-related OTTI loss, Held-to-maturity Securities			(4)
Non-credit related OTTI loss, Total	(19)	(10)
Non-credit-related OTTI loss transferred from HTM securities	0		0
Net change in fair value	(29)	209	644
Accretion of Noncredit Related OTTI Loss	6	7	7
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract]
Non-credit-related OTTI to credit-related OTTI, AFS	3
Net current period other comprehensive income/(loss)	(41)	201	649
AOCI Balance, end of period	$ 15	$ 56	$ (145)

XML

Capital (Capital Requirements) (Details) - USD ($) $ in Millions	4 Months Ended	5 Months Ended	12 Months Ended
	Aug. 02, 2015	Dec. 31, 2015	Dec. 31, 2015	Dec. 31, 2014
Capital [Line Items]
Membership Capital Stock Requirement Cap			$ 15	$ 25
Risk-Based Capital, Required		$ 2,684	2,684	3,231
Risk-Based Capital, Actual		5,369	5,369	6,356
Regulatory Capital, Required		3,428	3,428	3,032
Regulatory Capital, Actual		$ 5,369	$ 5,369	$ 6,356
Regulatory Capital Ratio, Required		4.00%	4.00%	4.00%
Regulatory Capital Ratio, Actual		6.26%	6.26%	8.38%
Leverage Capital, Required		$ 4,285	$ 4,285	$ 3,790
Leverage Capital, Actual		$ 8,054	$ 8,054	$ 9,534
Leverage ratio - Required		5.00%	5.00%	5.00%
Leverage Ratio, Actual			9.40%	12.58%
Multiplier for Determining Permanent Capital in Leverage Capital Calculation		1.5	1.5
Membership Capital Stock Requirement			1.00%
Minimum [Member]
Capital [Line Items]
Membership Capital Stock Requirement Cap			$ 10
Membership Capital Stock Requirement			0.50%
Maximum [Member]
Capital [Line Items]
Membership Capital Stock Requirement Cap			$ 50
Membership Capital Stock Requirement			1.50%
Federal Home Loan Bank Advances [Member]
Capital [Line Items]
Membership Activity-based Stock Requirement	3.00%	2.70%		4.70%
Federal Home Loan Bank Advances [Member] | Minimum [Member]
Capital [Line Items]
Membership Activity-based Stock Requirement			2.00%	4.40%
Federal Home Loan Bank Advances [Member] | Maximum [Member]
Capital [Line Items]
Membership Activity-based Stock Requirement			5.00%	5.00%
Mortgage Loans on Real Estate [Member]
Capital [Line Items]
Membership Activity-based Stock Requirement	3.00%	0.00%		5.00%
Mortgage Loans on Real Estate [Member] | Minimum [Member]
Capital [Line Items]
Membership Activity-based Stock Requirement			0.00%	5.00%
Mortgage Loans on Real Estate [Member] | Maximum [Member]
Capital [Line Items]
Membership Activity-based Stock Requirement			5.00%	5.70%

XML

Capital (Mandatorily Redeemable Capital Stock) (Details) $ in Millions		12 Months Ended
		Dec. 31, 2015 USD ($) Institutions	Dec. 31, 2014 USD ($) Institutions	Dec. 31, 2013 USD ($)
Capital [Line Items]
Financial Instruments Subject to Mandatory Redemption, Number of Stockholders | Institutions		9	32
Interest Expense on Mandatorily Redeemable Capital Stock	[1]	$ 65	$ 120	$ 155
MBS Investment Authority		300.00%
Unsecured Credit Exposure to other GSE		100.00%
Mandatorily Redeemable Capital Stock [Roll Forward]
Balance at the beginning of the period		$ 719	2,071	4,343
Reclassified from/(to) capital during the period	[2]	415	3	4
Redemption of mandatorily redeemable capital stock		(53)	(296)	(502)
Repurchase of excess mandatorily redeemable capital stock		(593)	(1,059)	(1,774)
Balance at the end of the period		488	$ 719	$ 2,071
JPMorgan Chase Bank National Association [Member]
Mandatorily Redeemable Capital Stock [Roll Forward]
Reclassified from/(to) capital during the period		$ 403

[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] The Bank reclassified $403 of capital stock to mandatorily redeemable capital stock (a liability) on September 1, 2015, as a result of the merger of JPMorgan B&T with and into JPMorgan Chase, a nonmember of the Bank.

XML

Capital (By Redemption Period) (Details) - USD ($) $ in Millions		Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013	Dec. 31, 2012
Financial Instruments Subject to Mandatory Redemption, Settlement Terms, Share Value, Amount [Abstract]
Within 1 year		$ 82	$ 51
After 1 year through 2 years		1	582
After 2 years through 3 years		0	9
After 3 years through 4 years		0	1
After 4 years through 5 years		381	2
Past Contractual Redemption Date Because of Remaining Activity	[1]	24	74
Total		$ 488	$ 719	$ 2,071	$ 4,343

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

XML

Capital (Retained Earnings and Dividend Policy) (Details) - USD ($) $ in Millions			12 Months Ended
		Mar. 17, 2016	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013	Feb. 18, 2016	Dec. 31, 2012
Capital [Line Items]
Stockholders' Equity Attributable to Parent			$ 4,896	$ 5,693	$ 5,709		$ 5,613
Net Income/(Loss)			$ 638	$ 205	$ 308
Restriction on Dividend Payment, Ratio of Market Value of Capital to Par Value of Capital Less than 70%			70.00%
Ratio of Market Value of Capital to Par Value of Capital Stock			200.00%
Dividends, Cash, Annualized Rate			12.39%	7.02%	3.99%
Payments of Dividends			$ 434	$ 360
Cash dividends paid on capital stock			(369)	(240)	$ (161)
Mandatorily redeemable capital stock	[1]		$ 65	120	155
Joint Capital Enhancement Agreement Percentage			20.00%
Restricted Retained Earnings for Loss Protection and Capital Compliance, set by the Board			$ 2,000
Restricted Retained Earnings for Loss Protection and Capital Compliance			2,008
Restricted Retained Earnings Activity [Roll Forward]
Balance at beginning of the period			2,065
Transfers from restricted retained earnings			0
Balance at end of the period			2,018	2,065
Retained Earnings, Unappropriated [Member]
Capital [Line Items]
Stockholders' Equity Attributable to Parent			610	294	317		246
Net Income/(Loss)			535	217
Cash dividends paid on capital stock			(369)	(240)	(161)
Restricted Retained Earnings Activity [Roll Forward]
Transfers from restricted retained earnings			150
Restricted [Member]
Capital [Line Items]
Stockholders' Equity Attributable to Parent			2,018	2,065	2,077		2,001
Net Income/(Loss)			103	(12)
Cash dividends paid on capital stock			0	0
Restricted Retained Earnings Activity [Roll Forward]
Balance at beginning of the period			2,065	2,077
Transfers from restricted retained earnings			(150)
Balance at end of the period			2,018	2,065	2,077
Retained Earnings [Member]
Capital [Line Items]
Stockholders' Equity Attributable to Parent			2,628	2,359	2,394		$ 2,247
Net Income/(Loss)			638	205
Cash dividends paid on capital stock			(369)	(240)	(161)
Restricted Retained Earnings Activity [Roll Forward]
Transfers from restricted retained earnings			0
Retained Earnings, Appropriated, Valuation Adjustments [Member]
Capital [Line Items]
Net Income/(Loss)			(25)	(53)
Cash dividends paid on capital stock			0	0
Restricted Retained Earnings Activity [Roll Forward]
Balance at beginning of the period			35	88
Transfers from restricted retained earnings			0
Balance at end of the period			10	35	88
Retained Earnings, Appropriated, Buildup [Member]
Capital [Line Items]
Net Income/(Loss)			0	0
Cash dividends paid on capital stock			0	0
Restricted Retained Earnings Activity [Roll Forward]
Balance at beginning of the period			1,800	1,800
Transfers from restricted retained earnings			(150)
Balance at end of the period			1,650	1,800	1,800
Retained Earnings, Appropriated, Joint Capital Enhancement Agreement [Member]
Capital [Line Items]
Net Income/(Loss)			128	41
Cash dividends paid on capital stock			0	0
Restricted Retained Earnings Activity [Roll Forward]
Balance at beginning of the period			230	189
Transfers from restricted retained earnings			0
Balance at end of the period			$ 358	$ 230	$ 189
Minimum [Member]
Capital [Line Items]
Limit on Dividend Payment, Ratio of Market Value of Capital to Par Value of Capital			70.00%
Percent of Average Balance of Outstanding Consolidated Obligations Prescribed per the Joint Capital Enhancement Agreement For Each Previous Quarter			1.00%
Maximum [Member]
Capital [Line Items]
Limit on Dividend Payment, Ratio of Market Value of Capital to Par Value of Capital			100.00%
Subsequent Event [Member]
Subsequent Events [Abstract]
Dividends, Cash Declared, Annualized Rate						7.99%
Interest and Dividends Payable, Current						$ 55
Dividends Payable, Amount						45
Interest Payable, Current						$ 10
Dividends Payable, Date to be Paid		Mar. 17, 2016
Special Dividend in Cash [Member]
Capital [Line Items]
Payments of Dividends			$ 145
Special Dividend in Cash [Member] | Retained Earnings, Unappropriated [Member]
Capital [Line Items]
Cash dividends paid on capital stock			(120)
Mandatorily redeemable capital stock			$ 25

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

XML

Capital (Excess Capital Stock) (Details) - USD ($) $ / shares in Units, $ in Millions	12 Months Ended
	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013	Feb. 19, 2016
Capital [Line Items]
Amount of Excess Stock and Financial Instruments Subject to Mandatory Redemption, Repurchased During Period	$ 2,032	$ 2,000
Surplus Capital Stock Threshold Percentage, Amount Over Minimum Capital Stock Requirement	115.00%
Financial Instruments Subject to Mandatory Redemption, Redemption	$ 53	296	$ 502
Common stock, par value	$ 100
Excess Capital	$ 402	$ 1,118
Excess Capital Stock and Excess Mandatorily Redeemable Capital Stock, Redemption, Period of Written Notice	15 days
Mandatorily Redeemable Capital Stock, Redemption Period	5 years
Excess Capital to Assets	0.47%
Subsequent Event [Member]
Subsequent Events [Abstract]
Surplus and Excess Capital Stock Repurchased, Percentage				100.00%
Minimum [Member]
Capital [Line Items]
Regulatory Restrictions on Payment of Capital Stock Dividends, Excess Stock to Assets, Percent	1.00%

XML

Capital (Concentration) (Details) - USD ($) $ in Millions		12 Months Ended
		Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Concentration Risk [Line Items]
Capital Stock Outstanding		$ 2,741	$ 3,997
Concentration of total capital stock outstanding		100.00%	100.00%
Reclassified from/(to) capital during the period	[1]	$ 415	$ 3	$ 4
JPMorgan Chase Bank National Association [Member]
Concentration Risk [Line Items]
Reclassified from/(to) capital during the period		$ 403
Capital Stock Ownership By Third Party [Member]
Concentration Risk [Line Items]
Concentration Risk Benchmark, Percent		10.00%
Capital Stock Ownership By Third Party [Member] | JPMorgan Bank And Trust Company National Association [Member]
Concentration Risk [Line Items]
Capital Stock Outstanding		$ 0	$ 268
Concentration of total capital stock outstanding		0.00%	7.00%
Capital Stock Ownership By Third Party [Member] | JPMorgan Chase Bank National Association [Member]
Concentration Risk [Line Items]
Capital Stock Outstanding	[2],[3]	$ 400	$ 68
Concentration of total capital stock outstanding	[2],[3]	15.00%	2.00%
Capital Stock Ownership By Third Party [Member] | JPMorgan Chase And Co [Member]
Concentration Risk [Line Items]
Capital Stock Outstanding		$ 400	$ 336
Concentration of total capital stock outstanding		15.00%	9.00%
Capital Stock Ownership By Third Party [Member] | Citibank N.A. [Member]
Concentration Risk [Line Items]
Capital Stock Outstanding	[3]	$ 81	$ 577
Concentration of total capital stock outstanding	[3]	3.00%	14.00%
Capital Stock Ownership By Third Party [Member] | Banamex USA [Member]
Concentration Risk [Line Items]
Capital Stock Outstanding		$ 4	$ 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		$ 85	$ 579
Concentration of total capital stock outstanding		3.00%	14.00%
Capital Stock Ownership By Third Party [Member] | Subtotal [Member]
Concentration Risk [Line Items]
Capital Stock Outstanding		$ 485	$ 915
Concentration of total capital stock outstanding		18.00%	23.00%
Capital Stock Ownership By Third Party [Member] | Third Party, All Others [Member]
Concentration Risk [Line Items]
Capital Stock Outstanding		$ 2,256	$ 3,082
Concentration of total capital stock outstanding		82.00%	77.00%

[1] The Bank reclassified $403 of capital stock to mandatorily redeemable capital stock (a liability) on September 1, 2015, as a result of the merger of JPMorgan B&T with and into JPMorgan Chase, a nonmember of the Bank.

[2] The Bank reclassified $403 of capital stock to mandatorily redeemable capital stock (a liability) on September 1, 2015, as a result of the merger of JPMorgan B&T with and into JPMorgan Chase, a nonmember of the Bank

[3] The capital stock held by these nonmember institutions is classified as mandatorily redeemable capital stock.

XML

Employee Retirement Plans and Incentive Compensation Plans (Changes in Benefit Obligation and Plan Assets) (Details) - USD ($) $ in Millions	12 Months Ended
	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Cash Balance Plan
Defined Benefit Plan, Change in Benefit Obligation [Roll Forward]
Benefit obligation, beginning of the year	$ 43	$ 37
Service cost	3	2	$ 3
Interest cost	2	2	1
Actuarial gain/(loss)	(1)	3
Benefits paid	(1)	(1)
Benefit obligation, end of the year	46	43	37
Defined Benefit Plan, Change in Fair Value of Plan Assets [Roll Forward]
Fair value of plan assets, beginning of the year	41	38
Actual return on plan assets	(1)	2
Employer contributions	4	2
Benefits paid	(1)	(1)
Fair value of plan assets, end of the year	43	41	38
Funded status at the end of the year	(3)	(2)
Non-Qualified Defined Benefit Plans
Defined Benefit Plan, Change in Benefit Obligation [Roll Forward]
Benefit obligation, beginning of the year	23	21
Service cost	1	1	2
Interest cost	1	1	1
Actuarial gain/(loss)	(1)	0
Benefits paid	0	0
Benefit obligation, end of the year	24	23	21
Defined Benefit Plan, Change in Fair Value of Plan Assets [Roll Forward]
Fair value of plan assets, beginning of the year	0	0
Actual return on plan assets	0	0
Employer contributions	0	0
Benefits paid	0	0
Fair value of plan assets, end of the year	0	0	0
Funded status at the end of the year	(24)	(23)
Post-retirement Health Benefit Plan
Defined Benefit Plan, Change in Benefit Obligation [Roll Forward]
Benefit obligation, beginning of the year	2	2
Service cost	0	0	0
Interest cost	0	0	0
Actuarial gain/(loss)	0	0
Benefits paid	0	0
Benefit obligation, end of the year	2	2	2
Defined Benefit Plan, Change in Fair Value of Plan Assets [Roll Forward]
Fair value of plan assets, beginning of the year	0	0
Actual return on plan assets	0	0
Employer contributions	0	0
Benefits paid	0	0
Fair value of plan assets, end of the year	0	0	$ 0
Funded status at the end of the year	$ (2)	$ (2)

XML

Employee Retirement Plans and Incentive Compensation Plans (Amounts recognized in Statements of Condition) (Details) - USD ($) $ in Millions	Dec. 31, 2015	Dec. 31, 2014
Cash Balance Plan
Defined Benefit Plan Disclosure [Line Items]
Other liabilities - accrued benefit liability	$ (3)	$ (2)
Non-Qualified Defined Benefit Plans
Defined Benefit Plan Disclosure [Line Items]
Other liabilities - accrued benefit liability	(24)	(23)
Post-retirement Health Benefit Plan
Defined Benefit Plan Disclosure [Line Items]
Other liabilities - accrued benefit liability	$ (2)	$ (2)

XML

Employee Retirement Plans and Incentive Compensation Plans (Amounts recognized in AOCI) (Details) - USD ($) $ in Millions	Dec. 31, 2015	Dec. 31, 2014
Cash Balance Plan
Defined Benefit Plan Disclosure [Line Items]
Net loss/(gain)	$ 12	$ 9
Prior Service Cost	0	0
AOCI	12	9
Non-Qualified Defined Benefit Plans
Defined Benefit Plan Disclosure [Line Items]
Net loss/(gain)	3	4
Prior Service Cost	0	1
AOCI	3	5
Post-retirement Health Benefit Plan
Defined Benefit Plan Disclosure [Line Items]
Net loss/(gain)	(1)	(2)
Prior Service Cost	0	0
AOCI	$ (1)	$ (2)

XML

Employee Retirement Plans and Incentive Compensation Plans (Benefit Obligations in Excess of Plan Assets) (Details) - USD ($) $ in Millions	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Cash Balance Plan
Defined Benefit Plan Disclosure [Line Items]
Projected benefit obligation, Pension Plans with ABO in excess of Plan assets	$ 46	$ 43
Accumulated benefit obligation, Pension Plans with ABO in excess of Plan Assets	44	41
Fair value of plan assets	43	41	$ 38
Non-Qualified Defined Benefit Plans
Defined Benefit Plan Disclosure [Line Items]
Projected benefit obligation, Pension Plans with ABO in excess of Plan assets	24	23
Accumulated benefit obligation, Pension Plans with ABO in excess of Plan Assets	24	22
Fair value of plan assets	0	0	0
Post-retirement Health Benefit Plan
Defined Benefit Plan Disclosure [Line Items]
Projected benefit obligation, Pension Plans with ABO in excess of Plan assets	2	2
Accumulated benefit obligation, Pension Plans with ABO in excess of Plan Assets	2	2
Fair value of plan assets	$ 0	$ 0	$ 0

XML

Employee Retirement Plans and Incentive Compensation Plans (Components of Net Periodic Benefit Costs) (Details) - USD ($) $ in Millions	12 Months Ended
	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Defined Benefit Plan Disclosure [Line Items]
Amortization of net loss/(gain)			$ 0
Amortization of net loss/(gain)			0
Total recognized in other comprehensive income	$ 2	$ 5	(5)
Cash Balance Plan
Defined Benefit Plan Disclosure [Line Items]
Service cost	3	2	3
Interest cost	2	2	1
Expected return on plan assets	(3)	(3)	(3)
Amortization of net loss/(gain)	0	0	1
Net periodic benefit cost	2	1	2
Net loss/(gain)	3	4	(5)
Prior Service Cost	0	0	0
Amortization of net loss/(gain)	0	0	(1)
Total recognized in other comprehensive income	3	4	(5)
Total recognized in net periodic benefit cost and other comprehensive income	5	5	(3)
Non-Qualified Defined Benefit Plans
Defined Benefit Plan Disclosure [Line Items]
Service cost	1	1	2
Interest cost	1	1	1
Expected return on plan assets	0	0	0
Amortization of net loss/(gain)	1	0	0
Net periodic benefit cost	3	2	3
Net loss/(gain)	(1)	1	0
Prior Service Cost	0	0	1
Amortization of net loss/(gain)	(1)	0	0
Total recognized in other comprehensive income	(2)	1	1
Total recognized in net periodic benefit cost and other comprehensive income	1	3	4
Post-retirement Health Benefit Plan
Defined Benefit Plan Disclosure [Line Items]
Service cost	0	0	0
Interest cost	0	0	0
Expected return on plan assets	0	0	0
Amortization of net loss/(gain)	(1)	0	0
Net periodic benefit cost	(1)	0	0
Net loss/(gain)	0	0	(1)
Prior Service Cost	0	0	0
Amortization of net loss/(gain)	1	0	0
Total recognized in other comprehensive income	1	0	(1)
Total recognized in net periodic benefit cost and other comprehensive income	$ 0	$ 0	$ (1)

XML

Employee Retirement Plans and Incentive Compensation Plans Amounts in AOCI expected to be Amortized for next year (Details) $ in Millions	12 Months Ended
	Dec. 31, 2015 USD ($)
Cash Balance Plan
Defined Benefit Plan Disclosure [Line Items]
Defined Benefit Plan, Future Amortization of Gain (Loss)	$ 1
Non-Qualified Defined Benefit Plans
Defined Benefit Plan Disclosure [Line Items]
Defined Benefit Plan, Future Amortization of Gain (Loss)	0
Post-retirement Health Benefit Plan
Defined Benefit Plan Disclosure [Line Items]
Defined Benefit Plan, Future Amortization of Gain (Loss)	$ 0

XML

Employee Retirement Plans and Incentive Compensation Plans (Weighted-Average Assumptions in Determining Benefit Obligations) (Details)	Dec. 31, 2015	Dec. 31, 2014
Cash Balance Plan
Defined Benefit Plan Disclosure [Line Items]
Discount rate	3.75%	3.50%
Non-Qualified Defined Benefit Plans
Defined Benefit Plan Disclosure [Line Items]
Discount rate	3.75%	3.50%
Post-retirement Health Benefit Plan
Defined Benefit Plan Disclosure [Line Items]
Discount rate	4.00%	3.75%
Rate of salary increase	0.00%	0.00%
Through 2015 | Cash Balance Plan
Defined Benefit Plan Disclosure [Line Items]
Rate of salary increase	3.00%	3.00%
Through 2015 | Non-Qualified Defined Benefit Plans
Defined Benefit Plan Disclosure [Line Items]
Rate of salary increase	3.00%	3.00%
Thereafter | Cash Balance Plan
Defined Benefit Plan Disclosure [Line Items]
Rate of salary increase	4.00%	4.00%
Thereafter | Non-Qualified Defined Benefit Plans
Defined Benefit Plan Disclosure [Line Items]
Rate of salary increase	4.00%	4.00%

XML

Employee Retirement Plans and Incentive Compensation Plans (Weighted-Average Assumptions in Determining Net Periodic Benefit Cost) (Details)	12 Months Ended
	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Cash Balance Plan
Defined Benefit Plan Disclosure [Line Items]
Discount rate	3.50%	4.25%	3.25%
Expected return on plan assets	8.00%	8.00%	8.00%
Non-Qualified Defined Benefit Plans
Defined Benefit Plan Disclosure [Line Items]
Discount rate	3.50%	4.25%	3.25%
Expected return on plan assets	0.00%	0.00%	0.00%
Post-retirement Health Benefit Plan
Defined Benefit Plan Disclosure [Line Items]
Discount rate	3.75%	4.75%	3.75%
Rate of salary increase	0.00%	0.00%	0.00%
Expected return on plan assets	0.00%	0.00%	0.00%
Through 2015 | Cash Balance Plan
Defined Benefit Plan Disclosure [Line Items]
Rate of salary increase	3.00%	3.00%	3.00%
Through 2015 | Non-Qualified Defined Benefit Plans
Defined Benefit Plan Disclosure [Line Items]
Rate of salary increase	3.00%	3.00%	3.00%
Thereafter | Cash Balance Plan
Defined Benefit Plan Disclosure [Line Items]
Rate of salary increase	4.00%	4.00%	4.00%
Thereafter | Non-Qualified Defined Benefit Plans
Defined Benefit Plan Disclosure [Line Items]
Rate of salary increase	4.00%	4.00%	4.00%

XML

Employee Retirement Plans and Incentive Compensation Plans (Fair Value of Cash Balance Plan) (Details) - Cash Balance Plan - USD ($) $ in Millions	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Defined Benefit Plan Disclosure [Line Items]
Fair value of plan assets	$ 43	$ 41	$ 38
Fair Value, Inputs, Level 1 [Member]
Defined Benefit Plan Disclosure [Line Items]
Fair value of plan assets	43	41
Fair Value, Inputs, Level 2 [Member]
Defined Benefit Plan Disclosure [Line Items]
Fair value of plan assets	0	0
Fair Value, Inputs, Level 3 [Member]
Defined Benefit Plan Disclosure [Line Items]
Fair value of plan assets	0	0
Cash and cash equivalents
Defined Benefit Plan Disclosure [Line Items]
Fair value of plan assets	2	1
Cash and cash equivalents | Fair Value, Inputs, Level 1 [Member]
Defined Benefit Plan Disclosure [Line Items]
Fair value of plan assets	2	1
Cash and cash equivalents | Fair Value, Inputs, Level 2 [Member]
Defined Benefit Plan Disclosure [Line Items]
Fair value of plan assets	0	0
Cash and cash equivalents | Fair Value, Inputs, Level 3 [Member]
Defined Benefit Plan Disclosure [Line Items]
Fair value of plan assets	0	0
Equity mutual funds
Defined Benefit Plan Disclosure [Line Items]
Fair value of plan assets	24	25
Equity mutual funds | Fair Value, Inputs, Level 1 [Member]
Defined Benefit Plan Disclosure [Line Items]
Fair value of plan assets	24	25
Equity mutual funds | Fair Value, Inputs, Level 2 [Member]
Defined Benefit Plan Disclosure [Line Items]
Fair value of plan assets	0	0
Equity mutual funds | Fair Value, Inputs, Level 3 [Member]
Defined Benefit Plan Disclosure [Line Items]
Fair value of plan assets	0	0
Fixed income mutual funds
Defined Benefit Plan Disclosure [Line Items]
Fair value of plan assets	14	13
Fixed income mutual funds | Fair Value, Inputs, Level 1 [Member]
Defined Benefit Plan Disclosure [Line Items]
Fair value of plan assets	14	13
Fixed income mutual funds | Fair Value, Inputs, Level 2 [Member]
Defined Benefit Plan Disclosure [Line Items]
Fair value of plan assets	0	0
Fixed income mutual funds | Fair Value, Inputs, Level 3 [Member]
Defined Benefit Plan Disclosure [Line Items]
Fair value of plan assets	0	0
Real estate mutual funds
Defined Benefit Plan Disclosure [Line Items]
Fair value of plan assets	2	1
Real estate mutual funds | Fair Value, Inputs, Level 1 [Member]
Defined Benefit Plan Disclosure [Line Items]
Fair value of plan assets	2	1
Real estate mutual funds | Fair Value, Inputs, Level 2 [Member]
Defined Benefit Plan Disclosure [Line Items]
Fair value of plan assets	0	0
Real estate mutual funds | Fair Value, Inputs, Level 3 [Member]
Defined Benefit Plan Disclosure [Line Items]
Fair value of plan assets	0	0
Other mutual funds
Defined Benefit Plan Disclosure [Line Items]
Fair value of plan assets	1	1
Other mutual funds | Fair Value, Inputs, Level 1 [Member]
Defined Benefit Plan Disclosure [Line Items]
Fair value of plan assets	1	1
Other mutual funds | Fair Value, Inputs, Level 2 [Member]
Defined Benefit Plan Disclosure [Line Items]
Fair value of plan assets	0	0
Other mutual funds | Fair Value, Inputs, Level 3 [Member]
Defined Benefit Plan Disclosure [Line Items]
Fair value of plan assets	$ 0	$ 0

XML

Employee Retirement Plans and Incentive Compensation Plans (Weighted-Average Asset Allocation of Cash Balance Plan) (Details) - Cash Balance Plan	Dec. 31, 2015	Dec. 31, 2014
Defined Benefit Plan Disclosure [Line Items]
Defined Benefit Plan, Actual Plan Asset Allocations	100.00%	100.00%
Cash and cash equivalents
Defined Benefit Plan Disclosure [Line Items]
Defined Benefit Plan, Actual Plan Asset Allocations	6.00%	4.00%
Equity mutual funds
Defined Benefit Plan Disclosure [Line Items]
Defined Benefit Plan, Actual Plan Asset Allocations	56.00%	61.00%
Fixed income mutual funds
Defined Benefit Plan Disclosure [Line Items]
Defined Benefit Plan, Actual Plan Asset Allocations	32.00%	31.00%
Real estate mutual funds
Defined Benefit Plan Disclosure [Line Items]
Defined Benefit Plan, Actual Plan Asset Allocations	4.00%	2.00%
Other mutual funds
Defined Benefit Plan Disclosure [Line Items]
Defined Benefit Plan, Actual Plan Asset Allocations	2.00%	2.00%

XML

Employee Retirement Plans and Incentive Compensation Plans (Future benefit payments) (Details) $ in Millions	Dec. 31, 2015 USD ($)
Cash Balance Plan
Defined Benefit Plan Disclosure [Line Items]
2016	$ 4
2017	3
2018	3
2019	4
2020	4
2021 - 2025	22
Non-Qualified Defined Benefit Plans
Defined Benefit Plan Disclosure [Line Items]
2016	6
2017	1
2018	4
2019	1
2020	1
2021 - 2025	16
Post-retirement Health Benefit Plan
Defined Benefit Plan Disclosure [Line Items]
2016	0
2017	0
2018	0
2019	0
2020	0
2021 - 2025	$ 1

XML

Employee Retirement Plans and Incentive Compensation Plans (Narrative) (Details) - USD ($) $ in Millions	12 Months Ended
	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Defined Benefit Plan Disclosure [Line Items]
Defined Contribution Plan, Maximum Annual Contributions per Employee, Percent	20.00%
Defined Contribution Plan, Employer Matching Contribution, Percent of Employees' Gross Pay	6.00%
Defined Contribution Plan, Cost Recognized	$ 2	$ 2	$ 2
Deferred Compensation Arrangement with Individual, Recorded Liability	35	33	$ 30
Defined Contribution Plan, Employer Discretionary Contribution Amount Liability	$ 12	12
Cash Balance Plan
Defined Benefit Plan Disclosure [Line Items]
CBP Eligibility Required Service Period	6 months
Cash Balance Plan Defined Benefit Accrual Percentage	6.00%
Cash Balance Plan Defined Benefit Interest	6.00%
Employer contributions	$ 4	2
Cash Balance Plan, Expected Future Employer Contributions, Next Twelve Months	2
Defined Benefit Plan, Expected Future Benefit Payments, Next Twelve Months	$ 4
Non-Qualified Defined Benefit Plan - SERP
Defined Benefit Plan Disclosure [Line Items]
Supplemental Executive Retirement Plan Defined Benefit Interest	6.00%
Non-Qualified Defined Benefit Plans and Postretirement Health Benefit
Defined Benefit Plan Disclosure [Line Items]
Employer contributions	$ 0	$ 0
Defined Benefit Plan, Expected Future Benefit Payments, Next Twelve Months	$ 6
Equity mutual funds
Defined Benefit Plan Disclosure [Line Items]
Defined Benefit Plan, Target Plan Asset Allocations	60.00%
Real estate mutual funds
Defined Benefit Plan Disclosure [Line Items]
Defined Benefit Plan, Target Plan Asset Allocations	10.00%
Fixed income mutual funds
Defined Benefit Plan Disclosure [Line Items]
Defined Benefit Plan, Target Plan Asset Allocations		30.00%

XML

Segment Information (Details) $ in Millions		12 Months Ended
		Dec. 31, 2015 USD ($) segment	Dec. 31, 2014 USD ($)	Dec. 31, 2013 USD ($)
Segment Reporting Information [Line Items]
Other than Temporary Impairment, Credit Losses Recognized in Earnings, Total accretion or amortization		$ 82	$ 66	$ 20
Number of Operating Segments | segment		2
Adjusted Net Interest Income		$ 506	576	624
Amortization of Basis Adjustments	[1]	(17)	(19)	(48)
Income/ (Expense) on Economic Hedges	[2]	(18)	(64)	34
Interest Expense on Mandatorily Redeemable Capital Stock	[3]	65	120	155
Net Interest Income After Mortgage Loan Loss Provision		476	539	483
Other Income/(Loss)		388	(154)	5
Other Expense		148	144	128
Income Before AHP Assessments		716	241	360
Net OTTI loss, credit-related		(15)	(4)	(7)
Assets		85,707	75,807	85,774
Advances-Related Business [Member]
Segment Reporting Information [Line Items]
Adjusted Net Interest Income		155	166	175
Assets		69,051	55,424	62,297
Mortgage-Related Business [Member]
Segment Reporting Information [Line Items]
Adjusted Net Interest Income	[4]	351	410	449
Assets		$ 16,656	$ 20,383	$ 23,477

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

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

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

[4] The mortgage-related business includes total accretion or amortization associated with other-than-temporarily impaired PLRMBS, which are recognized in interest income, and totaled $82, $66, and $20 for the years ended December 31, 2015, 2014, and 2013. The mortgage-related business does not include credit-related OTTI losses of $15, $4, and $7 for the years ended December 31, 2015, 2014, and 2013, respectively.

XML

Derivatives and Hedging Activities (Narrative) (Details) - USD ($) $ in Millions	12 Months Ended
	Dec. 31, 2015	Dec. 31, 2014
Derivative [Line Items]
Derivative, Notional Amount	$ 79,789	$ 62,297
Derivative, Net Liability Position, Aggregate Fair Value	35
Collateral Already Posted, Aggregate Fair Value	31
Additional Collateral, Aggregate Fair Value	2
Derivatives With Intermediary Transactions and Offsetting Derivatives [Member]
Derivative [Line Items]
Derivative, Notional Amount	$ 132	$ 0
Maximum [Member]
Derivative [Line Items]
Advances, Maturity Term	30 years

XML

Derivatives and Hedging Activities (Derivatives in Statement of Condition) (Details) - USD ($) $ in Millions		Dec. 31, 2015	Dec. 31, 2014
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		$ 79,789	$ 62,297
Derivative Asset, Fair Value, Gross Asset		256	455
Derivative Asset, Total collateral and netting adjustments	[1]	(212)	(396)
Derivative Assets as reported on the Statements of Condition		44	59
Derivative Liability, Fair Value, Gross Liability		143	233
Derivative Liability, Total collateral and netting adjustments	[1]	(137)	(213)
Derivative Liabilities as reported on the Statements of Condition		6	20
Cash collateral posted		132	248
Cash collateral posted and related accrued interest		57	65
Designated as Hedging Instrument [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		27,110	28,018
Derivative Asset, Fair Value, Gross Asset		192	374
Derivative Liability, Fair Value, Gross Liability		71	103
Designated as Hedging Instrument [Member] | Interest rate swaps [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		27,110	28,018
Derivative Asset, Fair Value, Gross Asset		192	374
Derivative Liability, Fair Value, Gross Liability		71	103
Not Designated as Hedging Instrument [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		52,679	34,279
Derivative Asset, Fair Value, Gross Asset		64	81
Derivative Liability, Fair Value, Gross Liability		72	130
Not Designated as Hedging Instrument [Member] | Interest rate swaps [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		50,444	31,973
Derivative Asset, Fair Value, Gross Asset		58	72
Derivative Liability, Fair Value, Gross Liability		71	129
Not Designated as Hedging Instrument [Member] | Interest rate caps and floors [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		2,230	2,306
Derivative Asset, Fair Value, Gross Asset		6	9
Derivative Liability, Fair Value, Gross Liability		1	1
Mortgages [Member] | Not Designated as Hedging Instrument [Member] | Mortgage delivery commitments [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		5	0
Derivative Asset, Fair Value, Gross Asset		0	0
Derivative Liability, Fair Value, Gross Liability		$ 0	$ 0

[1] Amounts include the netting of derivative assets and liabilities by counterparty, including cash collateral and related accrued interest, where the netting requirements have been met. Cash collateral posted and related accrued interest was $57 and $65 at December 31, 2015, and 2014, respectively. Cash collateral received and related accrued interest was $132 and $248 at December 31, 2015, and 2014, respectively.

XML

Derivatives and Hedging Activities (Derivatives in Statement of Income) (Details) - USD ($) $ in Millions	12 Months Ended
	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Derivative Instruments, Gain (Loss) [Line Items]
Total net gain (loss) related to fair value hedge ineffectiveness	$ (10)	$ (12)	$ (2)
Total net gain/(loss) related to derivatives not designated as hedging instruments	(6)	(52)	28
Net gain/(loss) on derivatives and hedging activities	(16)	(64)	26
Interest rate swaps [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Total net gain (loss) related to fair value hedge ineffectiveness	(10)	(12)	(2)
Total net gain/(loss) related to derivatives not designated as hedging instruments	13	26	(8)
Interest rate caps and floors [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Total net gain/(loss) related to derivatives not designated as hedging instruments	(3)	(14)	2
Net settlements [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Total net gain/(loss) related to derivatives not designated as hedging instruments	(18)	(64)	34
Mortgages [Member] | Mortgage delivery commitments [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Total net gain/(loss) related to derivatives not designated as hedging instruments	$ 2	$ 0	$ 0

XML

Derivatives and Hedging Activities (Derivatives in Statement of Income and Impact on Interest) (Details) - USD ($) $ in Millions	12 Months Ended
	Dec. 31, 2015		Dec. 31, 2014	Dec. 31, 2013
Derivative Instruments, Gain (Loss) [Line Items]
Gain/(Loss) on Derivatives	$ (151)		$ (166)	$ (195)
Gain/(Loss) on Hedged Item	141		154	193
Net Fair Value Hedge Ineffectiveness	(10)		(12)	(2)
Effect of Derivatives on Net Interest Income	151	[1]	132	240
Advances [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gain/(Loss) on Derivatives	19		23	178
Gain/(Loss) on Hedged Item	(20)		(23)	(175)
Net Fair Value Hedge Ineffectiveness	(1)		0	3
Effect of Derivatives on Net Interest Income	(106)	[1]	(128)	(126)
Consolidated obligation bonds [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gain/(Loss) on Derivatives	(170)		(189)	(373)
Gain/(Loss) on Hedged Item	161		177	368
Net Fair Value Hedge Ineffectiveness	(9)		(12)	(5)
Effect of Derivatives on Net Interest Income	$ 257	[1]	$ 260	$ 366

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

XML

Derivatives and Hedging Activities (Offsetting of Derivative Assets and Derivative Liabilities) (Details) - USD ($) $ in Millions		Dec. 31, 2015	Dec. 31, 2014
Derivative [Line Items]
Derivative Asset, Fair Value, Gross Recognized Amount		$ 256	$ 455
Derivative Asset, Total collateral and netting adjustments	[1]	(212)	(396)
Derivative Assets as reported on the Statements of Condition		44	59
Derivative Asset, Fair Value, Net Unsecured Amount		33	34
Derivative Liability, Fair Value, Gross Recognized Amount		143	233
Derivative Liability, Total collateral and netting adjustments	[1]	(137)	(213)
Derivative Liabilities as reported on the Statements of Condition		6	20
Derivative Liability, Fair Value, Net Unsecured Amount		6	20
Uncleared derivatives [Member]
Derivative [Line Items]
Derivative Asset, Fair Value, Gross Recognized Amount		166	352
Derivative Asset, Total collateral and netting adjustments		(149)	(324)
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment		17	28
Derivative Asset, Collateral Received or Pledged not offset, Can Be Sold or Repledged		11	25
Derivative Asset, Fair Value, Net Unsecured Amount		6	3
Derivative Liability, Fair Value, Gross Recognized Amount		93	199
Derivative Liability, Total collateral and netting adjustments		(87)	(179)
Derivative Liability, Net Fair Value Amount, After Offsetting Adjustment		6	20
Derivative Liability, Collateral Received or Pledged not offset, Can be sold or repledged		0	0
Derivative Liability, Fair Value, Net Unsecured Amount		6	20
Cleared derivatives [Member]
Derivative [Line Items]
Derivative Asset, Fair Value, Gross Recognized Amount		90	103
Derivative Asset, Total collateral and netting adjustments		(63)	(72)
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment		27	31
Derivative Asset, Fair Value, Net Unsecured Amount		27	31
Derivative Liability, Fair Value, Gross Recognized Amount		50	34
Derivative Liability, Total collateral and netting adjustments		(50)	(34)
Derivative Liability, Net Fair Value Amount, After Offsetting Adjustment		0	0
Derivative Liability, Fair Value, Net Unsecured Amount		$ 0	$ 0

[1] Amounts include the netting of derivative assets and liabilities by counterparty, including cash collateral and related accrued interest, where the netting requirements have been met. Cash collateral posted and related accrued interest was $57 and $65 at December 31, 2015, and 2014, respectively. Cash collateral received and related accrued interest was $132 and $248 at December 31, 2015, and 2014, respectively.

XML

Fair Value (Carrying Value and Fair Value of Financial Instruments) (Details) - USD ($) $ in Millions		Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013	Dec. 31, 2012
Assets
Cash and due from banks		$ 1,637	$ 3,920
Securities purchased under agreements to resell		10,000	1,000
Federal funds sold		4,626	7,503
Trading securities	[1]	1,433	3,524
Available-for-sale (AFS) securities	[1]	5,414	6,371
HTM securities, Carrying Value	[2],[3],[4]	10,802	13,551
HTM Securities, Fair Value		10,821	13,657
Accrued interest receivable		56	67
Derivative assets, Net		44	59
Derivative Asset, Fair Value, Gross Asset		256	455
Derivative Asset, Netting adjustments	[5]	(212)	(396)
Liabilities
Total Consolidated Obligations		79,483	68,856
Mandatorily redeemable capital stock		488	719	$ 2,071	$ 4,343
Accrued interest payable		80	95
Derivative liabilities, Net		6	20
Derivative Liability, Fair Value, Gross Liability		143	233
Derivative Liability, Netting adjustments	[5]	(137)	(213)
Carrying (Reported) Amount, Fair Value Disclosure [Member]
Assets
Cash and due from banks		1,637	3,920
Securities purchased under agreements to resell		10,000	1,000
Federal funds sold		4,626	7,503
Trading securities		1,433	3,524
Available-for-sale (AFS) securities		5,414	6,371
HTM securities, Carrying Value		10,802	13,551
Advances		50,919	38,986
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans		655	708
Accrued interest receivable		56	67
Derivative assets, Net	[6]	44	59
Other Assets	[7]	10	11
Liabilities
Deposits		127	160
Total Consolidated Obligations		79,483	68,856
Mandatorily redeemable capital stock		488	719
Accrued interest payable		80	95
Derivative liabilities, Net	[6]	6	20
Estimate of Fair Value, Fair Value Disclosure [Member]
Assets
Cash and due from banks		1,637	3,920
Securities purchased under agreements to resell		10,000	1,000
Federal funds sold		4,626	7,503
Trading securities		1,433	3,524
Available-for-sale (AFS) securities		5,414	6,371
HTM Securities, Fair Value		10,821	13,657
Advances		50,844	39,060
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans		694	769
Accrued interest receivable		56	67
Derivative assets, Net	[6]	44	59
Other Assets	[7]	10	11
Liabilities
Deposits		127	160
Total Consolidated Obligations		79,413	68,832
Mandatorily redeemable capital stock		488	719
Accrued interest payable		80	95
Derivative liabilities, Net	[6]	6	20
Fair Value, Inputs, Level 1 [Member]
Assets
Cash and due from banks		1,637	3,920
Securities purchased under agreements to resell		0	0
Federal funds sold		0	0
Trading securities		0	0
Available-for-sale (AFS) securities		0	0
HTM Securities, Fair Value		0	0
Advances		0	0
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans		0	0
Accrued interest receivable		0	0
Derivative Asset, Fair Value, Gross Asset	[6]	0	0
Other Assets	[7]	10	11
Liabilities
Deposits		0	0
Total Consolidated Obligations		0	0
Mandatorily redeemable capital stock		488	719
Accrued interest payable		0	0
Derivative Liability, Fair Value, Gross Liability	[6]	0	0
Fair Value, Inputs, Level 2 [Member]
Assets
Cash and due from banks		0	0
Securities purchased under agreements to resell		10,000	1,000
Federal funds sold		4,626	7,503
Trading securities		1,433	3,524
Available-for-sale (AFS) securities		0	0
HTM Securities, Fair Value		9,118	11,521
Advances		50,844	39,060
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans		694	769
Accrued interest receivable		56	67
Derivative Asset, Fair Value, Gross Asset	[6]	256	455
Derivative Asset, Netting adjustments	[6]	(212)	(396)
Other Assets	[7]	0	0
Liabilities
Deposits		127	160
Total Consolidated Obligations		79,413	68,832
Mandatorily redeemable capital stock		0	0
Accrued interest payable		80	95
Derivative Liability, Fair Value, Gross Liability	[6]	143	233
Derivative Liability, Netting adjustments	[6]	(137)	(213)
Fair Value, Inputs, Level 3 [Member]
Assets
Cash and due from banks		0	0
Securities purchased under agreements to resell		0	0
Federal funds sold		0	0
Trading securities		0	0
Available-for-sale (AFS) securities		5,414	6,371
HTM Securities, Fair Value		1,703	2,136
Advances		0	0
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans		0	0
Accrued interest receivable		0	0
Derivative Asset, Fair Value, Gross Asset	[6]	0	0
Other Assets	[7]	0	0
Liabilities
Deposits		0	0
Total Consolidated Obligations		0	0
Mandatorily redeemable capital stock		0	0
Accrued interest payable		0	0
Derivative Liability, Fair Value, Gross Liability	[6]	0	0
Consolidated Obligation, Discount Notes [Member] | Carrying (Reported) Amount, Fair Value Disclosure [Member]
Liabilities
Discount notes		27,648	21,811
Consolidated Obligation, Discount Notes [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Liabilities
Discount notes		27,640	21,811
Consolidated Obligation, Discount Notes [Member] | Fair Value, Inputs, Level 1 [Member]
Liabilities
Discount notes		0	0
Consolidated Obligation, Discount Notes [Member] | Fair Value, Inputs, Level 2 [Member]
Liabilities
Discount notes		27,640	21,811
Consolidated Obligation, Discount Notes [Member] | Fair Value, Inputs, Level 3 [Member]
Liabilities
Discount notes		0	0
Standby Letters of Credit [Member] | Carrying (Reported) Amount, Fair Value Disclosure [Member]
Other
Other commitments		18	12
Standby Letters of Credit [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Other
Other commitments		18	12
Standby Letters of Credit [Member] | Fair Value, Inputs, Level 1 [Member]
Other
Other commitments		0	0
Standby Letters of Credit [Member] | Fair Value, Inputs, Level 2 [Member]
Other
Other commitments		18	12
Standby Letters of Credit [Member] | Fair Value, Inputs, Level 3 [Member]
Other
Other commitments		0	0
Commitments to fund advances [Member] | Carrying (Reported) Amount, Fair Value Disclosure [Member]
Other
Other commitments	[8]		0
Commitments to fund advances [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Other
Other commitments	[8]		2
Commitments to fund advances [Member] | Fair Value, Inputs, Level 1 [Member]
Other
Other commitments	[8]		0
Commitments to fund advances [Member] | Fair Value, Inputs, Level 2 [Member]
Other
Other commitments	[8]		2
Commitments to fund advances [Member] | Fair Value, Inputs, Level 3 [Member]
Other
Other commitments	[8]		0
Consolidated Obligations, Bonds [Member] | Carrying (Reported) Amount, Fair Value Disclosure [Member]
Other
Other commitments	[8]	0
Consolidated Obligations, Bonds [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Other
Other commitments	[8]	1
Consolidated Obligations, Bonds [Member] | Fair Value, Inputs, Level 1 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Other
Other commitments	[8]	0
Consolidated Obligations, Bonds [Member] | Fair Value, Inputs, Level 2 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Other
Other commitments	[8]	1
Consolidated Obligations, Bonds [Member] | Fair Value, Inputs, Level 3 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Other
Other commitments	[8]	0
Consolidated obligation bonds [Member]
Liabilities
Consolidated obligation bonds		4,233	6,717
Consolidated obligation bonds [Member] | Carrying (Reported) Amount, Fair Value Disclosure [Member]
Liabilities
Consolidated obligation bonds		51,835	47,045
Consolidated obligation bonds [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Liabilities
Consolidated obligation bonds		51,773	47,021
Consolidated obligation bonds [Member] | Fair Value, Inputs, Level 1 [Member]
Liabilities
Consolidated obligation bonds		0	0
Consolidated obligation bonds [Member] | Fair Value, Inputs, Level 2 [Member]
Liabilities
Consolidated obligation bonds		51,773	47,021
Consolidated obligation bonds [Member] | Fair Value, Inputs, Level 3 [Member]
Liabilities
Consolidated obligation bonds		$ 0	$ 0

[1] At December 31, 2015, and 2014, none of these securities were pledged as collateral that may be repledged.

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

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

[4] At December 31, 2015, none of these securities were pledged as collateral that may be repledged. At December 31, 2014, a de minimis amount of these securities were pledged as collateral that may be repledged.

[5] Amounts include the netting of derivative assets and liabilities by counterparty, including cash collateral and related accrued interest, where the netting requirements have been met. Cash collateral posted and related accrued interest was $57 and $65 at December 31, 2015, and 2014, respectively. Cash collateral received and related accrued interest was $132 and $248 at December 31, 2015, and 2014, respectively.

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

[7] Represents publicly traded mutual funds held in a grantor trust.

[8] Estimated fair values of these commitments are presented as a net gain or (loss). For more information regarding these commitments, see Note 20 – Commitments and Contingencies

XML

Fair Value (Summary of Valuation Methodologies and Primary Inputs) (Details)	Dec. 31, 2015 vendor price
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items]
Number of third-party vendor prices received	4
MBS [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items]
Number of designated third-party pricing vendors | vendor	4
Four vendor prices received [Member] | MBS [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items]
Number of third-party vendor prices received	4
Median price, number of prices	2
Three vendor prices received [Member] | MBS [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items]
Number of third-party vendor prices received	3
Two vendor prices received [Member] | MBS [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items]
Number of third-party vendor prices received	2
Median price, number of prices	2
One vendor price received [Member] | MBS [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items]
Number of third-party vendor prices received	1

XML

Fair Value (Fair Value Measured on Recurring and Nonrecurring Basis) (Details) - USD ($) $ in Millions		Dec. 31, 2015		Dec. 31, 2014
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	[1]	$ 1,433		$ 3,524
Available-for-sale (AFS) securities	[1]	5,414		6,371
Advances, Fair Value Disclosure		3,677		5,137
Derivative Asset, Netting adjustments	[2]	(212)		(396)
Derivative assets, Net		44		59
Derivative Liability, Netting adjustments	[2]	(137)		(213)
Derivative liabilities, Net		6		20
Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0		0
Available-for-sale (AFS) securities		0		0
Other Assets	[3]	10		11
Mortgage loans held for portfolio		0		0
Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		1,433		3,524
Available-for-sale (AFS) securities		0		0
Derivative Asset, Netting adjustments	[4]	(212)		(396)
Other Assets	[3]	0		0
Derivative Liability, Netting adjustments	[4]	(137)		(213)
Mortgage loans held for portfolio		694		769
Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0		0
Available-for-sale (AFS) securities		5,414		6,371
Other Assets	[3]	0		0
Mortgage loans held for portfolio		0		0
Fair Value, Measurements, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Advances, Fair Value Disclosure	[5]	3,677		5,137
Derivative Asset, Netting adjustments	[6]	(212)		(396)
Derivative Liability, Netting adjustments	[6]	(137)		(213)
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0		0
Available-for-sale (AFS) securities		0		0
Advances, Fair Value Disclosure	[5]	0		0
Other Assets		10		11
Total fair value measurements – Assets		10		11
Total recurring fair value measurements – Liabilities		0		0
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		1,433		3,524
Available-for-sale (AFS) securities		0		0
Advances, Fair Value Disclosure	[5]	3,677		5,137
Other Assets		0		0
Total fair value measurements – Assets		5,366		9,116
Total recurring fair value measurements – Liabilities		4,376		6,950
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0		0
Available-for-sale (AFS) securities		5,414		6,371
Advances, Fair Value Disclosure	[5]	0		0
Other Assets		0		0
Total fair value measurements – Assets		5,414		6,371
Total recurring fair value measurements – Liabilities		0		0
Fair Value, Measurements, Nonrecurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Total fair value measurements – Assets	[7]	0
REO		0	[7]	0
Mortgage loans held for portfolio	[7]	0
Fair Value, Measurements, Nonrecurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Total fair value measurements – Assets	[7]	0
REO		0	[7]	0
Mortgage loans held for portfolio	[7]	0
Fair Value, Measurements, Nonrecurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Total fair value measurements – Assets	[7]	6
REO		1	[7]	1
Mortgage loans held for portfolio	[7]	5
FFCB bonds [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		1,424		3,513
FFCB bonds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0		0
FFCB bonds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		1,424		3,513
FFCB bonds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0		0
Ginnie Mae
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		9		11
Ginnie Mae | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0		0
Ginnie Mae | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		9		11
Ginnie Mae | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0		0
Consolidated obligation bonds [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Consolidated obligation bonds		4,233		6,717
Consolidated obligation bonds [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Consolidated obligation bonds		0		0
Consolidated obligation bonds [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Consolidated obligation bonds		51,773		47,021
Consolidated obligation bonds [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Consolidated obligation bonds		0		0
Consolidated obligation bonds [Member] | Fair Value, Measurements, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Consolidated obligation bonds	[8]	4,233		6,717
Consolidated obligation bonds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Consolidated obligation bonds	[8]	0		0
Consolidated obligation bonds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Consolidated obligation bonds	[8]	4,233		6,717
Consolidated obligation bonds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Consolidated obligation bonds	[8]	0		0
Estimate of Fair Value Measurement [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		1,433		3,524
Available-for-sale (AFS) securities		5,414		6,371
Derivative assets, Net	[4]	44		59
Other Assets	[3]	10		11
Derivative liabilities, Net	[4]	6		20
Mortgage loans held for portfolio		694		769
Estimate of Fair Value Measurement [Member] | Fair Value, Measurements, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		1,433		3,524
Available-for-sale (AFS) securities		5,414		6,371
Other Assets		10		11
Total fair value measurements – Assets		10,578		15,102
Total recurring fair value measurements – Liabilities		4,239		6,737
Estimate of Fair Value Measurement [Member] | Fair Value, Measurements, Nonrecurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Total fair value measurements – Assets	[7]	6
REO		1	[7]	1
Mortgage loans held for portfolio	[7]	5
Estimate of Fair Value Measurement [Member] | FFCB bonds [Member] | Fair Value, Measurements, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		1,424		3,513
Estimate of Fair Value Measurement [Member] | Ginnie Mae | Fair Value, Measurements, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		9		11
Estimate of Fair Value Measurement [Member] | Consolidated obligation bonds [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Consolidated obligation bonds		51,773		47,021
Residential Mortgage Backed Securities [Member] | PLRMBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Available-for-sale (AFS) securities		0		0
Residential Mortgage Backed Securities [Member] | PLRMBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Available-for-sale (AFS) securities		0		0
Residential Mortgage Backed Securities [Member] | PLRMBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Available-for-sale (AFS) securities		5,414		6,371
Residential Mortgage Backed Securities [Member] | Estimate of Fair Value Measurement [Member] | PLRMBS [Member] | Fair Value, Measurements, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Available-for-sale (AFS) securities		5,414		6,371
Interest rate swaps [Member] | Fair Value, Measurements, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative Asset, Netting adjustments	[6]	(212)		(396)
Derivative Liability, Netting adjustments	[6]	(137)		(213)
Interest rate swaps [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets, Net		0		0
Derivative liabilities, Net		0		0
Interest rate swaps [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets, Net		256		455
Derivative liabilities, Net		143		233
Interest rate swaps [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets, Net		0		0
Derivative liabilities, Net		0		0
Interest rate swaps [Member] | Estimate of Fair Value Measurement [Member] | Fair Value, Measurements, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets, Net		44		59
Derivative liabilities, Net		$ 6		$ 20

[1] At December 31, 2015, and 2014, none of these securities were pledged as collateral that may be repledged.

[2] Amounts include the netting of derivative assets and liabilities by counterparty, including cash collateral and related accrued interest, where the netting requirements have been met. Cash collateral posted and related accrued interest was $57 and $65 at December 31, 2015, and 2014, respectively. Cash collateral received and related accrued interest was $132 and $248 at December 31, 2015, and 2014, respectively.

[3] Represents publicly traded mutual funds held in a grantor trust.

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

[5] Represents advances recorded under the fair value option at December 31, 2015 and 2014.

[6] Amounts represent the netting of derivative assets and liabilities by counterparty, including cash collateral, where the netting requirements have been met.

[7] The fair value information presented is as of the date the fair value adjustment was recorded during the year ended December 31, 2015.

[8] Represents consolidated obligation bonds recorded under the fair value option at December 31, 2015 and 2014

XML

Fair Value (Level 3) (Details) - USD ($) $ in Millions		12 Months Ended
		Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Net OTTI loss, credit-related	[1]	$ (15)	$ (4)	$ (7)
Net amount of OTTI loss reclassified to/(from) other income/(loss)		(15)	(10)	(3)
Residential Mortgage Backed Securities [Member] | PLRMBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | Available-for-sale Securities [Member]
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Balance, beginning of the period		6,371	7,047	7,604
Interest Income		83	66	21
Net OTTI loss, credit-related		(15)	(4)	(7)
Unrealized gain/(loss) of other-than temporarily impaired securities included in AOCI		(29)	209	644
Net amount of OTTI loss reclassified to/(from) other income/(loss)		(15)	(10)	(3)
Settlements		(996)	(937)	(1,284)
Transfers of HTM securities to AFS securities		15	0	72
Balance, end of the period		5,414	6,371	7,047
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		$ 68	$ 62	$ 15

[1] For the year ended December 31, 2015, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2015. For the year ended December 31, 2014, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2014. For the year ended December 31, 2013, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2013.

XML

Fair Value (Fair Value Option) (Details) - USD ($) $ in Millions	12 Months Ended
	Dec. 31, 2015		Dec. 31, 2014		Dec. 31, 2013
Advances and Consolidated Obligation Bonds, Fair Value Option [Roll Forward]
Balance, beginning of the period	$ 5,137
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option	(50)		$ (93)		$ (23)
Balance, end of the period	3,677		5,137
Advances [Member]
Advances and Consolidated Obligation Bonds, Fair Value Option [Roll Forward]
Balance, beginning of the period	5,137	[1]	7,069		7,390
New transactions elected for fair value option	1,018		783		837
Maturities and terminations	(2,442)		(2,700)		(988)
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option	(31)		(11)		(169)
Change in accrued interest	(5)		(4)		(1)
Balance, end of the period	3,677	[1]	5,137	[1]	7,069
Consolidated obligation bonds [Member]
Advances and Consolidated Obligation Bonds, Fair Value Option [Roll Forward]
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option	19		82		(146)
Balance, beginning of the period	6,717		10,115		27,884
New transactions elected for fair value option	2,585		3,607		3,547
Maturities and terminations	(5,083)		(7,088)		(21,165)
Change in accrued interest	(5)		1		(5)
Balance, end of the period	$ 4,233		$ 6,717		$ 10,115

[1] At December 31, 2015 and 2014, none of these advances were 90 days or more past due or had been placed on nonaccrual status.

XML

Fair Value (Fair Value Difference Between Fair Value and Remaining Contractual Principal Balance Outstanding) (Details) - USD ($) $ in Millions		Dec. 31, 2015		Dec. 31, 2014		Dec. 31, 2013	Dec. 31, 2012
Fair Value, Option, Quantitative Disclosures [Line Items]
Fair Value of Advances Under the Fair Value Option		$ 3,677		$ 5,137
Fair Value Over/(Under) Principal Balance		38		89
Advances [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Principal Balance	[1]	3,639		5,048
Fair Value of Advances Under the Fair Value Option		3,677	[1]	5,137	[1]	$ 7,069	$ 7,390
Fair Value Over/(Under) Principal Balance	[1]	38		89
Consolidated obligation bonds [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Principal Balance		4,250		6,748
Fair Value of Bonds Under the Fair Value Option		4,233		6,717		$ 10,115	$ 27,884
Fair Value Over/(Under) Principal Balance		$ (17)		$ (31)

[1] At December 31, 2015 and 2014, none of these advances were 90 days or more past due or had been placed on nonaccrual status.

XML

Commitments and Contingencies Off-Balance Sheet Commitments (Details) - USD ($) $ in Millions		12 Months Ended
		Dec. 31, 2015	Dec. 31, 2014
Loss Contingencies [Line Items]
Total consolidated obligations, par		$ 79,355	$ 68,538
Standby Letters Of Credit, Final Expiration		2030
Other Liabilities		$ 455	117
Commitments to purchase mortgage loans, maximum term		45 days
FHLBanks [Member]
Loss Contingencies [Line Items]
Obligation with Joint and Several Liability Arrangement, Amount Outstanding		$ 905,202	847,175
Standby letters of credit outstanding [Member]
Loss Contingencies [Line Items]
Expire Within One Year		9,072	2,699
Expire After One Year		3,237	2,711
Total		12,309	5,410
Other Liabilities		18	12
Commitments to fund advances [Member]
Loss Contingencies [Line Items]
Expire Within One Year	[1]	5	121
Expire After One Year	[1]	5	5
Total	[1]	10	126
Commitments to Issue consolidated obligations, discount notes [Member]
Loss Contingencies [Line Items]
Expire Within One Year		300	3
Expire After One Year		0	0
Total		300	3
Commitments to issue consolidated obligation bonds, par
Loss Contingencies [Line Items]
Expire Within One Year	[2]	110	0
Expire After One Year	[2]	0	0
Total	[2]	110	0
Interest rate swaps [Member] | Commitments to fund advances [Member]
Loss Contingencies [Line Items]
Total		0	100
Interest rate swaps [Member] | Commitments to issue consolidated obligation bonds, par
Loss Contingencies [Line Items]
Total		$ 110	0
Minimum [Member]
Loss Contingencies [Line Items]
Standby Letters Of Credit, Original Terms		33 days
Maximum [Member]
Loss Contingencies [Line Items]
Standby Letters Of Credit, Original Terms		15 years
Guarantee of Indebtedness of Others [Member]
Loss Contingencies [Line Items]
Total consolidated obligations, par		$ 79,355	68,538
Mortgages [Member] | Commitments to purchase mortgage loans [Member]
Loss Contingencies [Line Items]
Expire Within One Year		5	0
Expire After One Year		0	0
Total		$ 5	$ 0

[1] At December 31, 2015, none of the commitments to fund additional advances were hedged with associated interest rate swaps. At December 31, 2014, $100 of the commitments to fund additional advances were hedged with associated interest rate swaps.

[2] At December 31, 2015, all of the unsettled consolidated obligation bonds were hedged with associated interest rate swaps.

XML

Commitments and Contingencies Schedule of Future Minimum Rental Payments (Details) - USD ($) $ in Millions	12 Months Ended
	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Operating Leased Assets [Line Items]
Operating Leases, Rent Expense, Net	$ 5	$ 5	$ 5
2016	4
2017	4
2018	4
2019	3
2020	2
Total	$ 17

XML

Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks (Details) - USD ($) $ in Millions	12 Months Ended
	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Assets:
Advances	$ 50,919	$ 38,986
Mortgage loans held for portfolio	655	708
Accrued interest receivable	56	67
Capital [Abstract]
Capital stock	2,253	3,278
Interest Income:
Advances	291	299	$ 340
Mortgage loans held for portfolio	33	42	50
Transaction with Member Officer or Director [Member]
Assets:
Advances	3,297	2,080
Mortgage loans held for portfolio	24	32
Accrued interest receivable	5	6
Liabilities:
Deposits	4	3
Capital [Abstract]
Capital stock	119	162
Interest Income:
Advances	35	42	65
Mortgage loans held for portfolio	$ 1	$ 2	$ 3
Minimum [Member]
Related Party Transaction [Line Items]
Transactions with Certain Members and Nonmembers, Voting Interest, Percent	10.00%

XML

Other (Details) - USD ($) $ in Millions	12 Months Ended
	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Other Income and Expenses [Abstract]
Professional and Contract Services	$ 50	$ 48	$ 33
Travel	2	2	2
Occupancy	5	5	5
Equipment	10	10	9
Other	4	4	4
Total	$ 71	$ 69	$ 53