0001316944-19-000069.txt : 20190503 0001316944-19-000069.hdr.sgml : 20190503 20190502173944 ACCESSION NUMBER: 0001316944-19-000069 CONFORMED SUBMISSION TYPE: 10-Q PUBLIC DOCUMENT COUNT: 115 CONFORMED PERIOD OF REPORT: 20190331 FILED AS OF DATE: 20190503 DATE AS OF CHANGE: 20190502 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Federal Home Loan Bank of San Francisco CENTRAL INDEX KEY: 0001316944 STANDARD INDUSTRIAL CLASSIFICATION: FEDERAL & FEDERALLY-SPONSORED CREDIT AGENCIES [6111] IRS NUMBER: 946000630 STATE OF INCORPORATION: X1 FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 10-Q SEC ACT: 1934 Act SEC FILE NUMBER: 000-51398 FILM NUMBER: 19793314 BUSINESS ADDRESS: STREET 1: 600 CALIFORNIA STREET, STE. 300 CITY: SAN FRANCISCO STATE: CA ZIP: 94108 BUSINESS PHONE: (415) 616-1000 MAIL ADDRESS: STREET 1: P. O. BOX 7948 CITY: SAN FRANCISCO STATE: CA ZIP: 94120 10-Q 1 a201910qq1document.htm 10-Q Document
false--12-31Q120192019-03-310001316944YesfalseNon-accelerated Filerfalse0.070.05P15D0000P5YP15YP15YP12MP90D00100100290000003000000029000000300000000000P30YP1DP10YP30D3000015 years14 days000000<div style="font-family:Times New Roman;font-size:10pt;"><div style="line-height:120%;text-align:left;font-size:11pt;"><font style="font-family:inherit;font-size:11pt;font-weight:bold;"></font><font style="font-family:inherit;font-size:11pt;">Many of the Bank&#8217;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. </font></div><div style="line-height:120%;text-align:left;font-size:11pt;"><font style="font-family:inherit;font-size:11pt;"><br clear="none"/></font></div><div style="line-height:120%;text-align:left;font-size:11pt;"><font style="font-family:inherit;font-size:11pt;">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&#8217;s financial instruments and related assumptions are detailed in </font><font style="font-family:inherit;font-size:11pt;">Note 16 &#8211; Fair Value</font><font style="font-family:inherit;font-size:11pt;">.</font></div></div><div style="font-family:Times New Roman;font-size:10pt;"><div style="line-height:120%;text-align:left;font-size:11pt;"><font style="font-family:inherit;font-size:11pt;">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 regional 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&#8217;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&#8217;s Board of Directors.</font></div><div style="line-height:120%;text-align:left;font-size:11pt;"><font style="font-family:inherit;font-size:11pt;"><br clear="none"/></font></div><div style="line-height:120%;text-align:left;font-size:11pt;"><font style="font-family:inherit;font-size:11pt;">The Bank conducts business with members in the ordinary course of business. See </font><font style="font-family:inherit;font-size:11pt;">Note 18 &#8211; Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks</font><font style="font-family:inherit;font-size:11pt;"> for more information.</font></div><div style="line-height:120%;text-align:left;font-size:11pt;"><font style="font-family:inherit;font-size:11pt;"><br clear="none"/></font></div><div style="line-height:120%;text-align:left;font-size:11pt;"><font style="font-family:inherit;font-size:11pt;">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&#8217; Office of Finance.</font></div><div style="line-height:120%;text-align:left;font-size:11pt;"><font style="font-family:inherit;font-size:11pt;"><br clear="none"/></font></div><div style="line-height:120%;text-align:left;font-size:11pt;"><font style="font-family:inherit;font-size:11pt;">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.</font></div><div style="line-height:120%;text-align:left;font-size:11pt;"><font style="font-family:inherit;font-size:11pt;"><br clear="none"/></font></div><div style="line-height:120%;text-align:left;font-size:11pt;"><font style="font-family:inherit;font-size:11pt;">The primary source of funds for the FHLBanks is the proceeds from the sale to the public of the FHLBanks&#8217; 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.</font></div></div><div style="font-family:Times New Roman;font-size:10pt;"><div style="line-height:120%;text-align:left;font-size:11pt;"><font style="font-family:inherit;font-size:11pt;font-weight:bold;"></font><font style="font-family:inherit;font-size:11pt;">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. 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.</font></div></div><div style="font-family:Times New Roman;font-size:10pt;"><div style="line-height:120%;text-align:left;font-size:11pt;"><font style="font-family:inherit;font-size:11pt;">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.</font></div></div> 0001316944 2019-01-01 2019-03-31 0001316944 us-gaap:AvailableforsaleSecuritiesMember 2019-01-01 2019-03-31 0001316944 2019-04-30 0001316944 2018-12-31 0001316944 2019-03-31 0001316944 us-gaap:CommonClassBMember 2019-03-31 0001316944 us-gaap:CommonClassBMember 2018-12-31 0001316944 us-gaap:UnsecuredDebtMember 2019-03-31 0001316944 us-gaap:UnsecuredDebtMember 2018-12-31 0001316944 2018-01-01 2018-03-31 0001316944 us-gaap:CommonClassBMember us-gaap:CommonStockMember 2019-01-01 2019-03-31 0001316944 2017-12-31 0001316944 us-gaap:RetainedEarningsUnappropriatedMember 2018-01-01 2018-03-31 0001316944 us-gaap:RetainedEarningsMember 2018-03-31 0001316944 us-gaap:RetainedEarningsMember 2018-12-31 0001316944 us-gaap:CommonClassBMember us-gaap:CommonStockMember 2018-01-01 2018-03-31 0001316944 us-gaap:RetainedEarningsAppropriatedMember 2018-12-31 0001316944 us-gaap:CommonClassBMember us-gaap:CommonStockMember 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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
  ____________________________________
FORM 10-Q
  ____________________________________
 
x
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended March 31, 2019
OR
o
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
Commission File Number: 000-51398
FEDERAL HOME LOAN BANK OF SAN FRANCISCO
(Exact name of registrant as specified in its charter)
  ____________________________________
 
 
Federally chartered corporation
 
94-6000630
 
 
(State or other jurisdiction of
incorporation or organization)
 
(I.R.S. employer
identification number)
 
 
 
 
 
 
 
600 California Street
San Francisco, CA
 
94108
 
 
(Address of principal executive offices)
 
(Zip code)
 
(415) 616-1000
(Registrant’s telephone number, including area code)
Securities registered pursuant to Section 12(b) of the Securities Exchange Act of 1934:
 
Title of each class
 
Trading Symbol(s)
 
Name of each exchange on which registered
 
 
 
 
 
  ____________________________________
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing for the past 90 days.    x  Yes    o  No
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).    x  Yes    o  No
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.
Large accelerated filer
 
o
 
Accelerated filer
 
o
 
 
 
 
Non-accelerated filer
 
x
 
Smaller reporting company
 
o
 
 
 
 
 
 
 
 
 
 
 
Emerging growth company
 
o

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.      o
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).    o  Yes    x  No
Indicate the number of shares outstanding of each of the issuer’s classes of common stock, as of the latest practicable date.
 
Shares Outstanding as of April 30, 2019

Class B Stock, par value $100
33,208,979




Federal Home Loan Bank of San Francisco
Form 10-Q
Index
PART I.
 
 
 
 
 
 
Item 1.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Item 2.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Item 3.
 
 
 
 
 
Item 4.
 
 
 
 
 
PART II.
 
 
 
 
 
 
Item 1.
 
 
 
 
 
Item 1A.
 
 
 
 
 
Item 6.
 
 
 
 
 



PART I. FINANCIAL INFORMATION

ITEM 1.    FINANCIAL STATEMENTS
 
Federal Home Loan Bank of San Francisco
Statements of Condition
(Unaudited)
(In millions-except par value)
March 31,
2019

 
December 31,
2018

Assets:
 
 
 
Cash and due from banks
$
19

 
$
13

Interest-bearing deposits
1,580

 
2,555

Securities purchased under agreements to resell
8,250

 
7,300

Federal funds sold
7,235

 
3,845

Trading securities(a)
610

 
661

Available-for-sale (AFS) securities(a)
8,436

 
6,931

Held-to-maturity (HTM) securities (fair values were $10,370 and $11,047, respectively)(a)
10,383

 
11,089

Advances (includes $5,053 and $5,133 at fair value under the fair value option, respectively)
70,262

 
73,434

Mortgage loans held for portfolio, net of allowance for credit losses of $0 and $0, respectively
3,160

 
3,066

Accrued interest receivable
199

 
133

Derivative assets, net
246

 
185

Other assets
197

 
114

Total Assets
$
110,577

 
$
109,326

Liabilities:
 
 
 
Deposits
$
310

 
$
262

Consolidated obligations:
 
 
 
Bonds (includes $1,191 and $2,019 at fair value under the fair value option, respectively)
74,094

 
72,276

Discount notes
28,281

 
29,182

Total consolidated obligations
102,375

 
101,458

Mandatorily redeemable capital stock
227

 
227

Borrowings from other Federal Home Loan Banks (FHLBanks)

 
250

Accrued interest payable
185

 
155

Affordable Housing Program (AHP) payable
177

 
182

Derivative liabilities, net
1

 
10

Other liabilities
656

 
252

Total Liabilities
103,931

 
102,796

Commitments and Contingencies (Note 17)



Capital:
 
 
 
Capital stock—Class B—Putable ($100 par value) issued and outstanding:
 
 
 
30 shares and 29 shares, respectively
2,959

 
2,949

Unrestricted retained earnings
2,732

 
2,699

Restricted retained earnings
668

 
647

Total Retained Earnings
3,400

 
3,346

Accumulated other comprehensive income/(loss) (AOCI)
287

 
235

Total Capital
6,646

 
6,530

Total Liabilities and Capital
$
110,577

 
$
109,326


(a)
At March 31, 2019, and December 31, 2018, none of these securities were pledged as collateral that may be repledged.

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

3



Federal Home Loan Bank of San Francisco
Statements of Income
(Unaudited)
 
Three Months Ended March 31,
(In millions)
2019

 
2018

Interest Income:
 
 
 
Advances
$
498

 
$
369

Interest-bearing deposits
14

 
4

Securities purchased under agreements to resell
45

 
9

Federal funds sold
41

 
51

Trading securities
4

 
4

AFS securities
79

 
57

HTM securities
79

 
81

Mortgage loans held for portfolio
26

 
21

Total Interest Income
786

 
596

Interest Expense:
 
 
 
Consolidated obligations:
 
 
 
Bonds
455

 
307

Discount notes
181

 
134

Deposits
2

 
1

Mandatorily redeemable capital stock
4

 
6

Total Interest Expense
642

 
448

Net Interest Income
144

 
148

Provision for/(reversal of) credit losses on mortgage loans

 

Net Interest Income After Mortgage Loan Loss Provision
144

 
148

Other Income/(Loss):
 
 
 
Total other-than-temporary impairment (OTTI) loss
(1
)
 
(3
)
Net amount of OTTI loss reclassified to/(from) AOCI

 
2

Net OTTI loss, credit-related
(1
)
 
(1
)
Net gain/(loss) on trading securities
(1
)
 
(1
)
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option
39

 
(41
)
Net gain/(loss) on derivatives and hedging activities
(28
)
 
31

Other
6

 
4

Total Other Income/(Loss)
15

 
(8
)
Other Expense:
 
 
 
Compensation and benefits
20

 
21

Other operating expense
13

 
14

Federal Housing Finance Agency
2

 
1

Office of Finance
2

 
2

Quality Jobs Fund expense
5

 
10

Other, net
1

 
1

Total Other Expense
43

 
49

Income/(Loss) Before Assessment
116

 
91

AHP Assessment
12

 
10

Net Income/(Loss)
$
104

 
$
81


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

4



Federal Home Loan Bank of San Francisco
Statements of Comprehensive Income
(Unaudited)
 
Three Months Ended March 31,
(In millions)
2019

 
2018

Net Income/(Loss)
$
104

 
$
81

Other Comprehensive Income/(Loss):
 
 
 
Net unrealized gain/(loss) on AFS securities
38

 

Net change in pension and postretirement benefits

 
1

Net non-credit-related OTTI gain/(loss) on AFS securities:
 
 
 
Net change in fair value of other-than-temporarily impaired securities
14

 
17

Net amount of OTTI loss reclassified to/(from) other income/(loss)

 
(2
)
Total net non-credit-related OTTI gain/(loss) on AFS securities
14

 
15

Net non-credit-related OTTI gain/(loss) on HTM securities:
 
 
 
Accretion of non-credit-related OTTI loss

 
1

Total net non-credit-related OTTI gain/(loss) on HTM securities

 
1

Total other comprehensive income/(loss)
52

 
17

Total Comprehensive Income/(Loss)
$
156

 
$
98


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

5



Federal Home Loan Bank of San Francisco
Statements of Capital Accounts
(Unaudited)
 
Capital Stock
Class B—Putable
 
Retained Earnings
 
 
 
Total
Capital

(In millions)
Shares

 
Par Value

 
Restricted

 
Unrestricted

 
Total

 
AOCI

 
Balance, December 31, 2017
32

 
$
3,243

 
$
575

 
$
2,670

 
$
3,245

 
$
318

 
$
6,806

Comprehensive income/(loss)
 
 
 
 
17

 
64

 
81

 
17

 
98

Issuance of capital stock
3

 
253

 
 
 
 
 
 
 
 
 
253

Repurchase of capital stock
(4
)
 
(428
)
 
 
 
 
 
 
 
 
 
(428
)
Cash dividends paid on capital stock (7.00%)
 
 
 
 
 
 
(53
)
 
(53
)
 
 
 
(53
)
Balance, March 31, 2018
31

 
$
3,068

 
$
592

 
$
2,681

 
$
3,273

 
$
335

 
$
6,676

 
 
 
 
 
 
 
 
 
 
 
 
 
 
Balance, December 31, 2018
29

 
$
2,949

 
$
647

 
$
2,699

 
$
3,346

 
$
235

 
$
6,530

Comprehensive income/(loss)


 


 
21

 
83

 
104

 
52

 
156

Issuance of capital stock
4

 
354

 

 

 
 
 

 
354

Repurchase of capital stock
(3
)
 
(344
)
 

 

 
 
 

 
(344
)
Cash dividends paid on capital stock (7.00%)

 


 

 
(50
)
 
(50
)
 

 
(50
)
Balance, March 31, 2019
30

 
$
2,959

 
$
668

 
$
2,732

 
$
3,400

 
$
287

 
$
6,646


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

6



Federal Home Loan Bank of San Francisco
Statements of Cash Flows
(Unaudited)
 
Three Months Ended March 31,
(In millions)
2019

 
2018

Cash Flows from Operating Activities:
 
 
 
Net Income/(Loss)
$
104

 
$
81

Adjustments to reconcile net income/(loss) to net cash provided by/(used in) operating activities:
 
 
 
Depreciation and amortization
5

 
4

Change in net fair value of trading securities
1

 
1

Change in net fair value adjustment on advances and consolidated obligation bonds held under the fair value option
(39
)
 
41

Change in net derivatives and hedging activities
(128
)
 
141

Net OTTI loss, credit-related
1

 
1

Other adjustments
2

 

Net change in:
 
 
 
Accrued interest receivable
(65
)
 
(20
)
Other assets
(6
)
 

Accrued interest payable
26

 
8

Other liabilities
(11
)
 
(16
)
Total adjustments
(214
)
 
160

Net cash provided by/(used in) operating activities
(110
)
 
241

Cash Flows from Investing Activities:
 
 
 
Net change in:
 
 
 
Interest-bearing deposits
850

 
(99
)
Securities purchased under agreements to resell
(950
)
 
5,500

Federal funds sold
(3,390
)
 
(2,922
)
Trading securities:
 
 
 
Proceeds from maturities of long-term
50

 
250

AFS securities:
 
 
 
Proceeds from maturities of long-term
133

 
183

Purchases of long-term
(1,119
)
 

HTM securities:
 
 
 
Net (increase)/decrease in short-term

 
500

Proceeds from maturities of long-term
709

 
652

Purchases of long-term

 
(433
)
Advances:
 
 
 
Repaid
408,394

 
525,362

Originated
(405,074
)
 
(514,739
)
Mortgage loans held for portfolio:
 
 
 
Principal collected
75

 
72

Purchases
(174
)
 
(369
)
Other investing activities
(7
)
 

Net cash provided by/(used in) investing activities
(503
)
 
13,957

 


7



Federal Home Loan Bank of San Francisco
Statements of Cash Flows (continued)
(Unaudited)
 
Three Months Ended March 31,
(In millions)
2019

 
2018

Cash Flows from Financing Activities:
 
 
 
Net change in deposits and other financing activities
28

 
(14
)
Borrowings from other FHLBanks
(250
)
 

Net (payments)/proceeds on derivative contracts with financing elements
11

 

Net proceeds from issuance of consolidated obligations:
 
 
 
Bonds
22,935

 
17,046

Discount notes
30,881

 
37,299

Payments for matured and retired consolidated obligations:
 

 
Bonds
(21,148
)

(27,760
)
Discount notes
(31,798
)

(40,557
)
Proceeds from issuance of capital stock
354


253

Payments for repurchase of capital stock
(344
)
 
(428
)
Cash dividends paid
(50
)

(53
)
Net cash provided by/(used in) financing activities
619


(14,214
)
Net increase/(decrease) in cash and due from banks
6


(16
)
Cash and due from banks at beginning of the period
13

 
31

Cash and due from banks at end of the period
$
19


$
15

Supplemental Disclosures:
 
 
 
Interest paid
$
594

 
$
416

AHP payments
18

 
16


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

8


Federal Home Loan Bank of San Francisco
Notes to Financial Statements
(Unaudited)





(Dollars in millions except per share amounts)

Note 1 — Basis of Presentation
The information about the Federal Home Loan Bank of San Francisco (Bank) included in these unaudited financial statements reflects all adjustments that, in the opinion of the Bank, are necessary for a fair statement of results for the periods presented. These adjustments are of a recurring nature, unless otherwise disclosed. The results of operations in these interim statements are not necessarily indicative of the results to be expected for any subsequent period or for the entire year ending December 31, 2019. These unaudited financial statements should be read in conjunction with the Bank’s Annual Report on Form 10-K for the year ended December 31, 2018 (2018 Form 10‑K).
There have been no changes to the basis of presentation of the Bank’s financial instruments meeting netting requirements or of the Bank’s investments in variable interest entities disclosed in the “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” section of the Bank’s 2018 Form 10-K.
Use of Estimates. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America (U.S. GAAP) requires management to make a number of judgments, estimates, and assumptions that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income, expenses, gains, and losses during the reporting period. The most significant of these estimates include estimating the allowance for credit losses on the advances and mortgage loan portfolios; accounting for derivatives; estimating fair values of investments classified as trading and available-for-sale, derivatives and associated hedged items carried at fair value in accordance with the accounting for derivative instruments and associated hedging activities, and financial instruments carried at fair value under the fair value option, and accounting for other-than-temporary impairment (OTTI) for investment securities; and estimating the prepayment speeds on mortgage-backed securities (MBS) and mortgage loans for the accounting of amortization of premiums and accretion of discounts on MBS and mortgage loans. Actual results could differ significantly from these estimates.
Derivatives and Hedging Activities. All derivatives are recognized on the Statements of Condition at their fair values and are reported as either derivative assets or derivative liabilities, net of cash collateral, and accrued interest received from or pledged to clearing agents or counterparties.
Beginning January 1, 2019, the Bank prospectively adopted new hedge accounting guidance, which, among other things, affected the presentation of gains and losses on derivatives and hedging activities for qualifying hedges. Upon adoption, changes in the fair value of a derivative that 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 net interest income in the same line as the earnings effect of the hedged item. Net gains and losses on derivatives and hedging activities for qualifying hedges recorded in net interest income include unrealized and realized gains and losses, which include net interest settlements. For available-for-sale (AFS) securities that have been hedged and qualify as a fair value hedge, the Bank records the portion of the change in the fair value of the investment related to the risk being hedged in interest income together with the related change in the fair value of the derivative, and records the remainder of the change in the fair value of the investment in Accumulated Other Comprehensive Income (AOCI) as “Net unrealized gain/(loss) on AFS securities.”
Prior to January 1, 2019, for fair value hedges, any hedge ineffectiveness (which represented the amount by which the change in the fair value of the derivative differed from the change in the fair value of the hedged item) was recorded in other income as “Net gain/(loss) on derivatives and hedging activities.” For AFS securities that were hedged and qualified as a fair value hedge, the Bank recorded the portion of the change in the fair value of the investment related to the risk being hedged in other income as “Net gain/(loss) on derivatives and hedging

9


Federal Home Loan Bank of San Francisco
Notes to Financial Statements (continued)



activities” together with the related change in the fair value of the derivative, and recorded the remainder of the change in the fair value of the investment in AOCI as “Net unrealized gain/(loss) on AFS securities.”
Descriptions of the Bank’s significant accounting policies are included in “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2018 Form 10-K. Other changes to these policies as of March 31, 2019, are discussed in Note 2 – Recently Issued and Adopted Accounting Guidance.
Note 2 — Recently Issued and Adopted Accounting Guidance
The following table provides a summary of recently issued accounting standards which may have an effect on the financial statements.
Accounting Standards Update (ASU)
 
Description
 
Effective Date
 
Effect on the Financial Statements or Other Significant Matters
Customer's Accounting for Implementation Costs Incurred in a Cloud Computing Arrangement That Is a Service Contract (ASU 2018-15)

 
This guidance aligns the requirements for capitalizing implementation costs incurred in a hosting arrangement that is a service contract with the requirements for capitalizing implementation costs incurred to develop or obtain internal-use software (and hosting arrangements that include an internal-use software license).
 
This guidance becomes effective for the Bank for the interim and annual periods beginning on January 1, 2020. Early adoption is permitted.
 
The Bank does not intend to adopt this guidance early. The adoption of this guidance is not expected to have any effect on the Bank’s financial condition, results of operations, cash flows, or financial statement disclosures.
Changes to the Disclosure Requirements for Defined Benefit Plans (ASU 2018-14)
 
This guidance modifies the disclosure requirements for employers that sponsor defined benefit pension or other postretirement plans to improve disclosure effectiveness.
 
This guidance becomes effective for the Bank for the annual period ended December 31, 2020, and the annual periods thereafter. Early adoption is permitted.
 
The Bank does not intend to adopt this guidance early. The adoption of this guidance may affect the Bank’s disclosures but will not have any effect on the Bank’s financial condition, results of operations, or cash flows.
Changes to the Disclosure Requirements for Fair Value Measurement (ASU 2018-13)
 
This guidance modifies the disclosure requirements for fair value measurements to improve disclosure effectiveness.
 
This guidance becomes effective for the Bank for the interim and annual periods beginning on January 1, 2020. Early adoption is permitted.
 
The Bank does not intend to adopt this guidance early. The adoption of this guidance may affect the Bank’s disclosures but will not have any effect on the Bank’s financial condition, results of operations, or cash flows.


10


Federal Home Loan Bank of San Francisco
Notes to Financial Statements (continued)



Accounting Standards Update (ASU)
 
Description
 
Effective Date
 
Effect on the Financial Statements or Other Significant Matters
Measurement of Credit Losses on Financial Instruments (ASU 2016-13)
 
The guidance replaces the current incurred loss model and requires entities to measure expected credit losses based on consideration of a broad range of relevant information, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectability of the reported amount.
 
This guidance is effective for the Bank for the interim and annual periods beginning on January 1, 2020. Early adoption is permitted.
 
The Bank does not intend to adopt the guidance early. Based on the Bank’s preliminary assessments, this guidance is expected to have no effect on advances or U.S. obligations and GSE investments and an immaterial effect on the remaining investment portfolio given the specific terms, issuer guarantees, and collateralized/securitized nature of these instruments. The Bank is in the process of assessing the effect of this guidance on its mortgage loans on the financial statements. However, the ultimate effect on the Bank’s financial condition, results of operations, and cash flows will depend on the composition of financial assets held by the Bank at the adoption date, as well as on economic conditions and forecasts at that time.
Targeted Improvements to Accounting for Hedging Activities (ASU 2017-12)
 
This guidance amends the accounting for derivatives and hedging activities to better portray the economic results of an entity’s risk management activities in its financial statements.

In October 2018, the Financial Accounting Standards Board (FASB) issued amendments to the guidance that permit the use of the overnight index swap rate based on the secured overnight financing rate (SOFR) as an eligible U.S. benchmark interest rate for hedge accounting purposes to facilitate the London Interbank Offered Rate (LIBOR) to SOFR transition.
 
This guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2019.
 
The guidance was applied as of January 1, 2019. Upon adoption, the Bank modified the presentation of fair value hedge results on the Bank’s Statements of Income, as well as relevant disclosures, prospectively. However, the adoption of this guidance did not have a material effect on the Bank’s financial condition, results of operations, or cash flows. The Bank will continue to assess opportunities to expand its eligible hedge strategies in the future.
Premium Amortization on Purchased Callable Debt Securities (ASU 2017-08)
 
This guidance shortens the amortization period for certain purchased callable debt securities held at a premium to be amortized to the earliest call date rather than contractual maturity. This guidance does not require an accounting change for securities held at a discount, which continue to be amortized to their contractual maturity.
 
This guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2019.
 
This guidance was adopted using a modified retrospective basis as of January 1, 2019. The adoption of this guidance did not have any effect on the Bank’s financial condition, results of operations, or cash flows.


11


Federal Home Loan Bank of San Francisco
Notes to Financial Statements (continued)



Accounting Standards Update (ASU)
 
Description
 
Effective Date
 
Effect on the Financial Statements or Other Significant Matters
Leases, as amended (ASU 2016-02)
 
This guidance amends the accounting for lease arrangements. In particular, it requires a lessee of operating and financing leases to recognize a right-of-use asset and a lease liability for leases on the Statements of Condition.

In July 2018, the FASB issued amendments that, among other things, provide entities with an additional transition method to adopt this guidance. The Bank elected to adopt these amendments.
 
This guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2019.
 
The guidance was adopted using a modified retrospective basis as of January 1, 2019. Upon adoption, the Bank recognized right-of-use assets and lease liabilities on its existing leases on the Statements of Condition. However, the adoption of this guidance did not have a material effect on the Bank’s financial condition, results of operations, or cash flows.

Note 3 — Trading Securities
The estimated fair value of trading securities as of March 31, 2019, and December 31, 2018, was as follows:
 
March 31, 2019

 
December 31, 2018

Government-Sponsored Enterprises (GSEs) – Federal Farm Credit Bank (FFCB) bonds
$
605

 
$
656

MBS – Other U.S. obligations – Ginnie Mae
5

 
5

Total
$
610

 
$
661


The net unrealized gain/(loss) on trading securities was $(1) and $(1) for the three months ended March 31, 2019 and 2018, respectively. These amounts represent the changes in the fair value of the securities during the reported periods.
Note 4 — Available-for-Sale Securities
AFS securities by major security type as of March 31, 2019, and December 31, 2018, were as follows:
March 31, 2019
 
 
 
 
 
 
 
 
 
  
Amortized
Cost(1)

 
OTTI
Recognized in
AOCI

 
Gross
Unrealized
Gains

 
Gross
Unrealized
Losses

 
Estimated Fair Value

MBS – GSEs – multifamily:
 
 
 
 
 
 
 
 
 
Freddie Mac
$
663

 
$

 
$
4

 
$
(1
)
 
$
666

Fannie Mae
4,712

 

 
11

 
(8
)
 
4,715

Subtotal MBS – GSEs – multifamily
5,375

 

 
15

 
(9
)
 
5,381

PLRMBS:
 
 
 
 
 
 
 
 
 
Prime
254

 

 
22

 

 
276

Alt-A, option ARM
567

 

 
129

 

 
696

Alt-A, other
1,933

 
(15
)
 
166

 
(1
)
 
2,083

Subtotal PLRMBS
2,754

 
(15
)
 
317

 
(1
)
 
3,055

Total
$
8,129

 
$
(15
)
 
$
332

 
$
(10
)
 
$
8,436


12


Federal Home Loan Bank of San Francisco
Notes to Financial Statements (continued)



December 31, 2018
 
 
 
 
 
 
 
 
 
 
Amortized
Cost(1)

 
OTTI
Recognized in
AOCI

 
Gross
Unrealized
Gains

 
Gross
Unrealized
Losses

 
Estimated Fair Value

MBS – GSEs – multifamily:
 
 
 
 
 
 
 
 
 
Freddie Mac
$
409

 
$

 
$

 
$
(2
)
 
$
407

Fannie Mae
3,397

 

 

 
(30
)
 
3,367

Subtotal MBS – GSEs – multifamily
3,806

 

 

 
(32
)
 
3,774

PLRMBS:
 
 
 
 
 
 
 
 
 
Prime
267