10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

  ____________________________________

FORM 10-Q

  ______________________________________________________

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

For the quarterly period ended September 30, 2019

OR

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

Commission File Number: 000-51398

FEDERAL HOME LOAN BANK OF SAN FRANCISCO

(Exact name of registrant as specified in its charter)

  ___________________________________________

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

(415) 616-1000

(Registrant’s telephone number, including area code)

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

  ___________________________________________

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

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).    ☒  Yes    ☐  No

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

Large accelerated filer	☐	Accelerated filer	☐
Non-accelerated filer	☒	Smaller reporting company	☐
		Emerging growth company	☐

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

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

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

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

	Shares Outstanding as of October 31, 2019
Class B Stock, par value $100	30,990,794

Federal Home Loan Bank of San Francisco

Form 10-Q

Index

PART I.	FINANCIAL INFORMATION
Item 1.	Financial Statements	3
	Statements of Condition (Unaudited)	3
	Statements of Income (Unaudited)	4
	Statements of Comprehensive Income (Unaudited)	5
	Statements of Capital Accounts (Unaudited)	6
	Statements of Cash Flows (Unaudited)	7
	Notes to Financial Statements (Unaudited)	9
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	54
	Quarterly Overview	55
	Financial Highlights	57
	Results of Operations	58
	Financial Condition	70
	Liquidity and Capital Resources	81
	Risk Management	84
	Critical Accounting Policies and Estimates	100
	Recently Issued Accounting Standards and Interpretations	101
	Recent Developments	101
	Off-Balance Sheet Arrangements and Other Commitments	101
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	102
Item 4.	Controls and Procedures	107
PART II.	OTHER INFORMATION
Item 1.	Legal Proceedings	108
Item 1A.	Risk Factors	108
Item 6.	Exhibits	108
Signatures		109

PART I. FINANCIAL INFORMATION

ITEM 1.    FINANCIAL STATEMENTS

Federal Home Loan Bank of San Francisco

Statements of Condition

(Unaudited)

(In millions-except par value)	September 30, 2019		December 31, 2018
Assets:
Cash and due from banks	$	81	$	13
Interest-bearing deposits	2,035		2,555
Securities purchased under agreements to resell	7,700		7,300
Federal funds sold	3,871		3,845
Trading securities(a)	4		661
Available-for-sale (AFS) securities(b)	15,316		6,931
Held-to-maturity (HTM) securities (fair values were $8,586 and $11,047, respectively)(a)	8,564		11,089
Advances (includes $3,967 and $5,133 at fair value under the fair value option, respectively)	62,826		73,434
Mortgage loans held for portfolio, net of allowance for credit losses of $0 and $0, respectively	3,382		3,066
Accrued interest receivable	133		133
Derivative assets, net	23		185
Other assets	218		114
Total Assets	$	104,153	$	109,326
Liabilities:
Deposits	$	652	$	262
Consolidated obligations:
Bonds (includes $577 and $2,019 at fair value under the fair value option, respectively)	67,431		72,276
Discount notes	28,605		29,182
Total consolidated obligations	96,036		101,458
Mandatorily redeemable capital stock	138		227
Borrowings from other FHLBanks	—		250
Accrued interest payable	178		155
Affordable Housing Program (AHP) payable	158		182
Derivative liabilities, net	1		10
Other liabilities	420		252
Total Liabilities	97,583		102,796
Commitments and Contingencies (Note 17)
Capital:
Capital stock—Class B—Putable ($100 par value) issued and outstanding:
29 shares and 29 shares, respectively	2,898		2,949
Unrestricted retained earnings	2,715		2,699
Restricted retained earnings	690		647
Total Retained Earnings	3,405		3,346
Accumulated other comprehensive income/(loss) (AOCI)	267		235
Total Capital	6,570		6,530
Total Liabilities and Capital	$	104,153	$	109,326

(a) At September 30, 2019, and December 31, 2018, none of these securities were pledged as collateral that may be repledged.

(b) At September 30, 2019, $321 of these securities were pledged as collateral that may be repledged. At 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 September 30,						Nine Months Ended September 30,
(In millions)	2019			2018			2019			2018
Interest Income:
Advances	$	389		$	389		$	1,343		$	1,138
Interest-bearing deposits	14			12			40			22
Securities purchased under agreements to resell	45			31			144			63
Federal funds sold	22			34			99			127
Trading securities	1			4			8			12
AFS securities	100			59			261			172
HTM securities	65			85			219			253
Mortgage loans held for portfolio	18			26			55			70
Total Interest Income	654			640			2,169			1,857
Interest Expense:
Consolidated obligations:
Bonds	409			364			1,306			1,010
Discount notes	128			117			480			373
Deposits	2			1			6			3
Mandatorily redeemable capital stock	3			5			11			16
Total Interest Expense	542			487			1,803			1,402
Net Interest Income	112			153			366			455
Provision for/(reversal of) credit losses on mortgage loans	—			—			—			—
Net Interest Income After Mortgage Loan Loss Provision	112			153			366			455
Other Income/(Loss):
Total other-than-temporary impairment (OTTI) loss	(3		)	(3		)	(8		)	(19		)
Net amount of OTTI loss reclassified to/(from) AOCI	1			—			—			10
Net OTTI loss, credit-related	(2		)	(3		)	(8		)	(9		)
Net gain/(loss) on trading securities	—			(1		)	(1		)	(2		)
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option	20			(12		)	111			(65		)
Net gain/(loss) on derivatives and hedging activities	(20		)	18			(109		)	66
Other	5			5			18			14
Total Other Income/(Loss)	3			7			11			4
Other Expense:
Compensation and benefits	20			19			61			59
Other operating expense	17			16			50			46
Federal Housing Finance Agency	2			1			5			4
Office of Finance	2			1			5			4
Quality Jobs Fund expense	5			5			15			20
Other, net	1			4			2			5
Total Other Expense	47			46			138			138
Income/(Loss) Before Assessment	68			114			239			321
AHP Assessment	7			12			25			34
Net Income/(Loss)	$	61		$	102		$	214		$	287

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 September 30,					Nine Months Ended September 30,
(In millions)	2019			2018		2019		2018
Net Income/(Loss)	$	61		$	102	$	214	$	287
Other Comprehensive Income/(Loss):
Net unrealized gain/(loss) on AFS securities	(17		)	1		30		1
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	(15		)	5		1		25
Net amount of OTTI loss reclassified to/(from) other income/(loss)	(1		)	—		—		(10		)
Total net non-credit-related OTTI gain/(loss) on AFS securities	(16		)	5		1		15
Net non-credit-related OTTI gain/(loss) on HTM securities:
Accretion of non-credit-related OTTI loss	—			1		1		2
Total net non-credit-related OTTI gain/(loss) on HTM securities	—			1		1		2
Total other comprehensive income/(loss)	(33		)	7		32		19
Total Comprehensive Income/(Loss)	$	28		$	109	$	246	$	306

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, June 30, 2018	29		$	2,850		$	612	$	2,707		$	3,319		$	330		$	6,499
Comprehensive income/(loss)						21		81			102			7			109
Issuance of capital stock	3		299														299
Repurchase of capital stock	(3	)	(266		)												(266		)
Cash dividends paid on capital stock (7.00%)								(51		)	(51		)				(51		)
Balance, September 30, 2018	29		$	2,883		$	633	$	2,737		$	3,370		$	337		$	6,590
Balance, June 30, 2019	30		$	2,967		$	678	$	2,719		$	3,397		$	300		$	6,664
Comprehensive income/(loss)						12		49			61			(33		)	28
Issuance of capital stock	1		141														141
Repurchase of capital stock	(2	)	(206		)												(206		)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net	—		(4		)												(4		)
Cash dividends paid on capital stock (7.00%)								(53		)	(53		)				(53		)
Balance, September 30, 2019	29		$	2,898		$	690	$	2,715		$	3,405		$	267		$	6,570

	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)						58		229			287			19		306
Issuance of capital stock	10		980													980
Repurchase of capital stock	(13	)	(1,338		)											(1,338		)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net	—		(2		)											(2		)
Cash dividends paid on capital stock (7.00%)								(162		)	(162		)			(162		)
Balance, September 30, 2018	29		$	2,883		$	633	$	2,737		$	3,370		$	337	$	6,590
Balance, December 31, 2018	29		$	2,949		$	647	$	2,699		$	3,346		$	235	$	6,530
Comprehensive income/(loss)						43		171			214			32		246
Issuance of capital stock	8		837													837
Repurchase of capital stock	(8	)	(884		)											(884		)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net	—		(4		)											(4		)
Cash dividends paid on capital stock (7.00%)								(155		)	(155		)			(155		)
Balance, September 30, 2019	29		$	2,898		$	690	$	2,715		$	3,405		$	267	$	6,570

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

6

Federal Home Loan Bank of San Francisco

Statements of Cash Flows

(Unaudited)

	Nine Months Ended September 30,
(In millions)	2019			2018
Cash Flows from Operating Activities:
Net Income/(Loss)	$	214		$	287
Adjustments to reconcile net income/(loss) to net cash provided by/(used in) operating activities:
Depreciation and amortization	(37		)	(52		)
Change in net fair value of trading securities	1			2
Change in net fair value adjustment on advances and consolidated obligation bonds held under the fair value option	(111		)	65
Change in net derivatives and hedging activities	(422		)	142
Net OTTI loss, credit-related	8			9
Other adjustments	11			—
Net change in:
Accrued interest receivable	1			(56		)
Other assets	(13		)	—
Accrued interest payable	16			28
Other liabilities	(20		)	(22		)
Total adjustments	(566		)	116
Net cash provided by/(used in) operating activities	(352		)	403
Cash Flows from Investing Activities:
Net change in:
Interest-bearing deposits	223			(1,108		)
Securities purchased under agreements to resell	(400		)	5,450
Federal funds sold	(26		)	6,820
Trading securities:
Proceeds	656			500
AFS securities:
Proceeds	457			564
Purchases	(8,126		)	(1,542		)
HTM securities:
Proceeds	2,530			3,648
Purchases	—			(1,179		)
Advances:
Repaid	988,903			1,309,095
Originated	(977,846		)	(1,301,222		)
Mortgage loans held for portfolio:
Principal collected	556			205
Purchases	(910		)	(1,014		)
Other investing activities, net	(36		)	—
Net cash provided by/(used in) investing activities	5,981			20,217

7

Federal Home Loan Bank of San Francisco

Statements of Cash Flows (continued)

(Unaudited)

	Nine Months Ended September 30,
(In millions)	2019			2018
Cash Flows from Financing Activities:
Net change in deposits and other financing activities	375			(30		)
Net change in borrowings from other FHLBanks	(250		)	—
Net (payments)/proceeds on derivative contracts with financing elements	70			—
Net proceeds from issuance of consolidated obligations:
Bonds	57,223			53,346
Discount notes	107,298			108,204
Payments for matured and retired consolidated obligations:
Bonds	(62,141		)	(66,940		)
Discount notes	(107,841		)	(114,612		)
Proceeds from issuance of capital stock	837			980
Payments for repurchase/redemption of mandatorily redeemable capital stock	(93		)	(84		)
Payments for repurchase of capital stock	(884		)	(1,338		)
Cash dividends paid	(155		)	(162		)
Net cash provided by/(used in) financing activities	(5,561		)	(20,636		)
Net increase/(decrease) in cash and due from banks	68			(16		)
Cash and due from banks at beginning of the period	13			31
Cash and due from banks at end of the period	$	81		$	15
Supplemental Disclosures:
Interest paid	$	1,807		$	1,386
AHP payments	51			50
Supplemental Disclosures of Noncash Investing and Financing Activities:
Transfers of mortgage loans to other assets	—			1
Transfers of other-than-temporarily impaired HTM securities to AFS securities	—			12
Transfers of capital stock to mandatorily redeemable capital stock	4			2

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 (AFS), derivatives and associated hedged items carried at fair value in accordance with the accounting for derivative instruments and associated hedging activities, and financial instruments carried at fair value under the fair value option;

• accounting for 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 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

9

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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 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.”

Reclassifications of Prior Period Amounts Related to Presentation of Purchases and Proceeds of Securities on the Statements of Cash Flows. The Bank retrospectively reclassified cash flow amounts in prior periods to reflect short-term investment securities purchases and proceeds on a gross, rather than net, basis. The reclassifications made to prior periods to present gross cash flows did not have a material impact on the Statements of Cash Flows.

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 September 30, 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 this guidance early. Based on the Bank’s assessments, this guidance is expected to have no effect on advances or U.S. obligations and Government-Sponsored Enterprises (GSEs) investments. The adoption of this guidance is expected to have an immaterial effect on the remaining investment portfolio given the specific terms, issuer guarantees, and collateralized/securitized nature of these instruments and on mortgage loans. 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.
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 September 30, 2019, and December 31, 2018, was as follows:

	September 30, 2019		December 31, 2018
GSEs – Federal Farm Credit Bank (FFCB) bonds	$	—	$	656
MBS – Other U.S. obligations – Ginnie Mae	4		5
Total	$	4	$	661

The net unrealized gain/(loss) on trading securities was de minimis and $(1) for the three months ended September 30, 2019 and 2018, respectively. The net unrealized gain/(loss) on trading securities was $(1) and $(2) for the nine months ended September 30, 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 September 30, 2019, and December 31, 2018, were as follows:

September 30, 2019
	Amortized Cost(1)		OTTI Recognized in AOCI			Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value
U.S. obligations – Treasury securities	$	5,290	$	—		$	—	$	(3	)	$	5,287
MBS:
GSEs – multifamily:
Freddie Mac	797		—			3		—			800
Fannie Mae	6,476		—			13		(15		)	6,474
Subtotal – GSEs – multifamily	7,273		—			16		(15		)	7,274
PLRMBS:
Prime	232		—			20		—			252
Alt-A	2,235		(10		)	279		(1		)	2,503
Subtotal PLRMBS	2,467		(10		)	299		(1		)	2,755
Total MBS	9,740		(10		)	315		(16		)	10,029
Total	$	15,030	$	(10	)	$	315	$	(19	)	$	15,316

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		—			21		—			288
Alt-A	2,603		(20		)	288		(2		)	2,869
Subtotal PLRMBS	2,870		(20		)	309		(2		)	3,157
Total	$	6,676	$	(20	)	$	309	$	(34	)	$	6,931

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

At September 30, 2019, the amortized cost of the Bank’s MBS classified as AFS included premiums of $64, discounts of $52, and credit-related OTTI of $601. At December 31, 2018, the amortized cost of the Bank’s MBS classified as AFS included premiums of $19, discounts of $53, and credit-related OTTI of $690.

The following tables summarize the AFS securities with unrealized losses as of September 30, 2019, and December 31, 2018. 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 and for information on AFS securities in unrealized loss positions that are not considered to be other-than-temporarily impaired, see Note 6 – Other-Than-Temporary Impairment Analysis.

September 30, 2019
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
U.S. obligations – Treasury securities	$	4,685	$	3	$	—	$	—	$	4,685	$	3
MBS:
GSEs – multifamily:
Freddie Mac	246		—		—		—		246		—
Fannie Mae	2,619		11		628		4		3,247		15
Subtotal MBS – GSEs – multifamily	2,865		11		628		4		3,493		15
PLRMBS:
Prime	—		—		8		—		8		—
Alt-A	86		3		148		8		234		11
Subtotal PLRMBS	86		3		156		8		242		11
Subtotal MBS	2,951		14		784		12		3,735		26
Total	$	7,636	$	17	$	784	$	12	$	8,420	$	29

13

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

December 31, 2018
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
MBS – GSEs – multifamily:
Freddie Mac	$	382	$	2	$	—	$	—	$	382	$	2
Fannie Mae	3,211		30		—		—		3,211		30
Subtotal MBS – GSEs – multifamily	3,593		32		—		—		3,593		32
PLRMBS:
Prime	6		—		8		—		14		—
Alt-A	204		3		343		19		547		22
Subtotal PLRMBS	210		3		351		19		561		22
Total	$	3,803	$	35	$	351	$	19	$	4,154	$	54

Redemption Terms. The amortized cost and estimated fair value of non-MBS investments by contractual maturity (based on contractual final principal payment) and of MBS as of September 30, 2019, are shown below. There were no non-MBS investments as of December 31, 2018. Expected maturities of MBS will differ from contractual maturities because borrowers may have the right to call or prepay the underlying obligations with or without call or prepayment fees.

September 30, 2019
Year of Contractual Maturity	Amortized Cost(1)		Estimated Fair Value
AFS securities other than MBS:
Due in 1 year or less	$	1,510	$	1,509
Due after 1 year through 5 years	3,780		3,778
Subtotal	5,290		5,287
MBS	9,740		10,029
Total	$	15,030	$	15,316

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

See Note 6 – Other-Than-Temporary Impairment Analysis for information on the transfers of securities between the AFS portfolio and the held-to-maturity (HTM) portfolio.

14

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Note 5 — Held-to-Maturity Securities

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

 

September 30, 2019
	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	$	32	$	—		$	32	$	—	$	—		$	32
MBS:
Other U.S. obligations – single-family:
Ginnie Mae	508		—			508		5		—			513
GSEs – single-family:
Freddie Mac	1,186		—			1,186		9		(2		)	1,193
Fannie Mae	2,033		—			2,033		23		(1		)	2,055
Subtotal GSEs – single-family	3,219		—			3,219		32		(3		)	3,248
GSEs – multifamily:
Freddie Mac	2,975		—			2,975		—		(10		)	2,965
Fannie Mae	1,378		—			1,378		—		(3		)	1,375
Subtotal GSEs – multifamily	4,353		—			4,353		—		(13		)	4,340
Subtotal GSEs	7,572		—			7,572		32		(16		)	7,588
PLRMBS:
Prime	298		—			298		1		(4		)	295
Alt-A	156		(2		)	154		6		(2		)	158
Subtotal PLRMBS	454		(2		)	452		7		(6		)	453
Total MBS	8,534		(2		)	8,532		44		(22		)	8,554
Total	$	8,566	$	(2	)	$	8,564	$	44	$	(22	)	$	8,586

15

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

 

December 31, 2018
	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	$	100	$	—		$	100	$	—	$	(3	)	$	97
MBS:
Other U.S. obligations – single-family:
Ginnie Mae	609		—			609		—		(6		)	603
GSEs – single-family:
Freddie Mac	1,506		—			1,506		6		(21		)	1,491
Fannie Mae	2,598		—			2,598		17		(16		)	2,599
Subtotal GSEs – single-family	4,104		—			4,104		23		(37		)	4,090
GSEs – multifamily:
Freddie Mac	3,944		—			3,944		—		(17		)	3,927
Fannie Mae	1,743		—			1,743		—		(1		)	1,742
Subtotal GSEs – multifamily	5,687		—			5,687		—		(18		)	5,669
Subtotal GSEs	9,791		—			9,791		23		(55		)	9,759
PLRMBS:
Prime	383		—			383		1		(6		)	378
Alt-A	209		(3		)	206		7		(3		)	210
Subtotal PLRMBS	592		(3		)	589		8		(9		)	588
Total MBS	10,992		(3		)	10,989		31		(70		)	10,950
Total	$	11,092	$	(3	)	$	11,089	$	31	$	(73	)	$	11,047

(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 September 30, 2019, the amortized cost of the Bank’s MBS classified as HTM included premiums of $9, discounts of $13, and credit-related OTTI of $7. At December 31, 2018, the amortized cost of the Bank’s MBS classified as HTM included premiums of $14, discounts of $19, and credit-related OTTI of $7.

The following tables summarize the HTM securities with unrealized losses as of September 30, 2019, and December 31, 2018. 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 tables will not agree to the total gross unrecognized holding losses in the tables above. The unrealized losses in the following tables also include non-credit-related OTTI losses recognized in AOCI. For OTTI analysis of HTM securities and for information on HTM securities in unrealized loss positions that are not considered to be other-than-temporarily impaired, see Note 6 – Other-Than-Temporary Impairment Analysis.

16

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

September 30, 2019
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
MBS – Other U.S. obligations – single-family:
Ginnie Mae	$	30	$	—	$	20	$	—	$	50	$	—
MBS – GSEs – single-family:
Freddie Mac	132		—		440		2		572		2
Fannie Mae	69		—		314		1		383		1
Subtotal MBS – GSEs – single-family	201		—		754		3		955		3
MBS – GSEs – multifamily:
Freddie Mac	1,499		4		1,348		6		2,847		10
Fannie Mae	715		1		661		2		1,376		3
Subtotal MBS – GSEs – multifamily	2,214		5		2,009		8		4,223		13
Subtotal MBS – GSEs	2,415		5		2,763		11		5,178		16
PLRMBS:
Prime	64		—		115		4		179		4
Alt-A	70		1		72		3		142		4
Subtotal PLRMBS	134		1		187		7		321		8
Total	$	2,579	$	6	$	2,970	$	18	$	5,549	$	24

December 31, 2018
	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	$	—	$	—	$	80	$	3	$	80	$	3
MBS:
Other U.S. obligations – single-family:
Ginnie Mae	33		—		529		6		562		6
GSEs – single-family:
Freddie Mac	79		—		1,085		21		1,164		21
Fannie Mae	923		3		693		13		1,616		16
Subtotal GSEs – single-family	1,002		3		1,778		34		2,780		37
GSEs – multifamily:
Freddie Mac	3,826		16		67		1		3,893		17
Fannie Mae	757		1		360		—		1,117		1
Subtotal GSEs – multifamily	4,583		17		427		1		5,010		18
Subtotal GSEs	5,585		20		2,205		35		7,790		55
PLRMBS:
Prime	153		1		128		5		281		6
Alt-A	84		—		119		6		203		6
Subtotal PLRMBS	237		1		247		11		484		12
Total MBS	5,855		21		2,981		52		8,836		73
Total	$	5,855	$	21	$	3,061	$	55	$	8,916	$	76

Redemption Terms. The amortized cost, carrying value, and estimated fair value of non-MBS investments by contractual maturity (based on contractual final principal payment) and of MBS as of September 30, 2019, and December 31, 2018, are shown below. Expected maturities of MBS will differ from contractual maturities because

17

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

borrowers may have the right to call or prepay the underlying obligations with or without call or prepayment fees.

September 30, 2019
Year of Contractual Maturity	Amortized Cost(1)		Carrying Value(1)		Estimated Fair Value
HTM securities other than MBS:
Due after 10 years	$	32	$	32	$	32
Subtotal	32		32		32
MBS	8,534		8,532		8,554
Total	$	8,566	$	8,564	$	8,586

December 31, 2018
Year of Contractual Maturity	Amortized Cost(1)		Carrying Value(1)		Estimated Fair Value
HTM securities other than MBS:
Due after 10 years	$	100	$	100	$	97
Subtotal	100		100		97
MBS	10,992		10,989		10,950
Total	$	11,092	$	11,089	$	11,047

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

See Note 6 – Other-Than-Temporary Impairment Analysis for information on the transfers of securities between the AFS portfolio and the HTM portfolio.

Note 6 — Other-Than-Temporary Impairment Analysis

On a quarterly basis, the Bank evaluates its individual AFS and HTM investment securities in an unrealized loss position for OTTI. As part of this evaluation, the Bank considers whether it intends to sell each debt security and whether it is more likely than not that it will be required to sell the debt security before its anticipated recovery of the amortized cost basis. If either of these conditions is met, the Bank recognizes an OTTI charge to earnings equal to the entire difference between the security’s amortized cost basis and its fair value at the statement of condition date. For securities in an unrealized loss position that do not meet either of these conditions, the Bank considers whether it expects to recover the entire amortized cost basis of the security by comparing its best estimate of the 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.

Private-Label Residential Mortgage-Backed Securities (PLRMBS). A significant input to the Bank’s cash flow analysis of its PLRMBS is the forecast of future housing price changes. The OTTI Governance Committee of the Federal Home Loan Banks (FHLBanks) developed a short-term housing price forecast with projected changes ranging from a decrease of 6.0% to an increase of 10.0% over the 12-month period beginning July 1, 2019. For the vast majority of markets, the projected short-term housing price changes range from an increase of 2.0% to an increase of 6.0%. Thereafter, a unique path is projected for each geographic area based on an internally developed framework derived from historical data.

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

For securities determined to be other-than-temporarily impaired as of September 30, 2019 (securities for which the Bank determined that it does not expect to recover the entire amortized cost basis), the following table presents a

18

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

summary of the significant inputs used in measuring the amount of credit loss recognized in earnings during the third quarter of 2019, and the related current credit enhancement for the Bank.

September 30, 2019
	Significant Inputs for Other-Than-Temporarily Impaired PLRMBS			Current
	Prepayment Rates	Default Rates	Loss Severities	Credit Enhancement
Collateral Type at Origination	Weighted Average % (1)	Weighted Average % (1)	Weighted Average % (1)	Weighted Average % (1)
Alt-A	13.6	20.2	41.8	1.9

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

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

The following table presents the credit-related OTTI, which is recognized in earnings, for the three and nine months ended September 30, 2019 and 2018.

	Three Months Ended September 30,						Nine Months Ended September 30,
	2019			2018			2019			2018
Balance, beginning of the period	$	1,050		$	1,103		$	1,077		$	1,129
Additional charges on securities for which OTTI was previously recognized(1)	2			3			8			9
Securities matured during the period(2)	(3		)	—			(5		)	—
Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities(3)	(15		)	(15		)	(46		)	(47		)
Balance, end of the period	$	1,034		$	1,091		$	1,034		$	1,091

(1) For the three months ended September 30, 2019 and 2018, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to July 1, 2019 and 2018, respectively. For the nine months ended September 30, 2019 and 2018, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2019 and 2018, respectively.

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

(3) The total accretion or amortization associated with other-than-temporarily impaired PLRMBS (amount recognized in interest income) totaled $21 and $20 for the three months ended September 30, 2019 and 2018, respectively. The total net accretion/(amortization) associated with other-than-temporarily impaired PLRMBS (amount recognized in interest income) totaled $58 and $62 for the nine months ended September 30, 2019 and 2018, respectively.

In general, the Bank elects 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 three and nine months ended September 30, 2018. The amounts shown represent the values when the

19

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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 three and nine months ended September 30, 2019.

	Three Months Ended September 30, 2018								Nine Months Ended September 30, 2018
	Amortized Cost		OTTI Recognized in AOCI		Gross Unrecognized Holding Gains (Losses)		Estimated Fair Value		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:
Alt-A	$	—	$	—	$	—	$	—	$	12	$	—	$	—	$	12
Total	$	—	$	—	$	—	$	—	$	12	$	—	$	—	$	12

The following tables present the Bank’s AFS and HTM PLRMBS that incurred OTTI losses anytime during the life of the securities at September 30, 2019, and December 31, 2018, by loan collateral type:

September 30, 2019
	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	$	281	$	232	$	252	$	—	$	—	$	—	$	—
Alt-A	2,776		2,235		2,503		42		38		35		42
Total	$	3,057	$	2,467	$	2,755	$	42	$	38	$	35	$	42

December 31, 2018
	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	$	323	$	267	$	288	$	—	$	—	$	—	$	—
Alt-A	3,225		2,603		2,869		52		47		44		51
Total	$	3,548	$	2,870	$	3,157	$	52	$	47	$	44	$	51

For the Bank’s PLRMBS that were not other-than-temporarily impaired as of September 30, 2019, the Bank has experienced net unrealized losses primarily because of illiquidity in the PLRMBS market and market expectations of the credit performance of loan collateral underlying these securities, which caused these assets to be valued at discounts to their amortized cost. The Bank does not intend to sell these securities, it is not more likely than not that the Bank will be required to sell these securities before its anticipated recovery of the remaining amortized cost basis, and the Bank expects to recover the entire amortized cost basis of these securities. As a result, the Bank determined that, as of September 30, 2019, 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,

20

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

credit concerns regarding the underlying mortgage collateral, and credit concerns regarding the monoline insurance providers, causing these investments to be valued at a discount to their acquisition cost. The Bank independently modeled cash flows for the underlying collateral, using assumptions for default rates and loss severity that a market participant would deem reasonable, and concluded that the available credit support within the CalHFA structure more than offset the projected underlying collateral losses. The Bank determined that, as of September 30, 2019, 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 and U.S. Treasury obligations, the Bank expects to recover the entire amortized cost basis of these securities because the Bank determined that the strength of the issuers’ guarantees through direct obligations or support from the U.S. government is sufficient to protect the Bank from losses. As a result, the Bank determined that, as of September 30, 2019, all of the gross unrealized losses on its agency MBS and U.S. Treasury obligations are temporary.

For more information related to the Bank’s accounting policies for OTTI, see “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2018 Form 10-K.

Note 7 — Advances

The Bank offers a wide range of fixed and adjustable rate advance products with different maturities, interest rates, payment characteristics, and option features. Fixed rate advances generally have maturities ranging from one day to 30 years. Adjustable rate advances generally have maturities ranging from less than 30 days to 10 years, with the interest rates resetting periodically at a fixed spread to a specified index.

Redemption Terms. The Bank had advances outstanding, excluding overdrawn demand deposit accounts, at interest rates ranging from 1.15% to 8.57% at September 30, 2019, and 1.02% to 8.57% at December 31, 2018, as summarized below.

	September 30, 2019				December 31, 2018
Redemption Term	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding			Weighted Average Interest Rate
Overdrawn demand and overnight deposit accounts	$	2	1.55	%	$	—		—	%
Within 1 year	30,373		2.26		42,285			2.40
After 1 year through 2 years	18,538		2.33		13,662			2.57
After 2 years through 3 years	7,507		2.30		11,238			2.70
After 3 years through 4 years	1,947		2.80		2,409			2.45
After 4 years through 5 years	2,916		2.82		2,815			2.99
After 5 years	1,156		3.01		1,086			3.23
Total par value	62,439		2.34	%	73,495			2.51	%
Valuation adjustments for hedging activities	293				(32		)
Valuation adjustments under fair value option	94				(29		)
Total	$	62,826			$	73,434

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 full or partial prepayment symmetry, the Bank may charge the borrower a prepayment fee or pay the borrower a prepayment credit depending on certain circumstances, such as movements in interest rates, when the advance is prepaid. The Bank had advances with full prepayment symmetry outstanding totaling $11,926 at September 30, 2019, and $3,405 at December 31, 2018. The Bank had advances with partial prepayment symmetry outstanding totaling $3,799 at September 30, 2019, and $4,410 at December 31,

21

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

2018. Some advances may be repaid on pertinent call dates without prepayment fees (callable advances). The Bank had callable advances outstanding totaling $13,324 at September 30, 2019, and $13,255 at December 31, 2018.

The Bank had putable advances totaling $20 at September 30, 2019, and $20 at December 31, 2018. At the Bank’s discretion, the Bank may terminate these advances on predetermined exercise dates and offer replacement funding at prevailing market rates, subject to certain conditions. The Bank would typically exercise such termination rights when interest rates increase relative to contractual rates.

The following table summarizes advances at September 30, 2019, and December 31, 2018, by the earlier of the year of redemption term or next call date for callable advances and by the earlier of the year of redemption term or next put date for putable advances.

	Earlier of Redemption Term or Next Call Date				Earlier of Redemption Term or Next Put Date
	September 30, 2019		December 31, 2018		September 30, 2019		December 31, 2018
Overdrawn demand and overnight deposit accounts	$	2	$	—	$	2	$	—
Within 1 year	36,647		46,740		30,388		42,295
After 1 year through 2 years	12,688		14,762		18,543		13,672
After 2 years through 3 years	7,110		5,688		7,507		11,238
After 3 years through 4 years	1,933		2,409		1,947		2,409
After 4 years through 5 years	2,903		2,812		2,916		2,815
After 5 years	1,156		1,084		1,136		1,066
Total par value	$	62,439	$	73,495	$	62,439	$	73,495

Credit and Concentration Risk. The following tables present the concentration in advances to the top five borrowers and their affiliates at September 30, 2019 and 2018. The tables also present the interest income from these advances before the impact of interest rate exchange agreements associated with these advances for the three and nine months ended September 30, 2019 and 2018.

	September 30, 2019				Three Months Ended September 30, 2019				Nine Months Ended September 30, 2019
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
MUFG Union Bank, National Association	$	14,100	22	%	$	92	24	%	$	287	22	%
First Republic Bank	11,200		18		62		16		175		13
Wells Fargo & Company
Wells Fargo Financial National Bank West(2)	8,000		13		49		13		150		12
Wells Fargo Bank, National Association(3)	41		—		1		—		2		—
Subtotal Wells Fargo & Company	8,041		13		50		13		152		12
Bank of the West	5,556		9		41		10		124		9
JPMorgan Chase Bank, National Association(3)	5,056		8		33		9		144		11
Subtotal	43,953		70		278		72		882		67
Others	18,486		30		110		28		427		33
Total par value	$	62,439	100	%	$	388	100	%	$	1,309	100	%

22

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	September 30, 2018				Three Months Ended September 30, 2018				Nine Months Ended September 30, 2018
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
MUFG Union Bank, National Association	$	11,900	17	%	$	66	18	%	$	170	15	%
First Republic Bank	9,700		14		49		13		130		12
JPMorgan Chase Bank, National Association(3)	8,360		12		57		15		161		15
Bank of the West	7,458		11		40		11		104		10
Wells Fargo & Company
Wells Fargo Financial National Bank(2)	4,000		6		23		7		62		5
Wells Fargo Bank, National Association(3)	49		—		1		—		2		—
Subtotal Wells Fargo & Company	4,049		6		24		7		64		5
Subtotal	41,467		60		236		64		629		57
Others	28,147		40		135		36		469		43
Total par value	$	69,614	100	%	$	371	100	%	$	1,098	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) Effective April 15, 2019, Wells Fargo Financial National Bank was renamed Wells Fargo Financial National Bank West.

(3) Nonmember institution.

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

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

Interest Rate Payment Terms. Interest rate payment terms for advances at September 30, 2019, and December 31, 2018, are detailed below:

	September 30, 2019		December 31, 2018
Par value of advances:
Fixed rate:
Due within 1 year	$	15,883	$	20,437
Due after 1 year	20,735		19,727
Total fixed rate	36,618		40,164
Adjustable rate:
Due within 1 year	14,491		21,848
Due after 1 year	11,330		11,483
Total adjustable rate	25,821		33,331
Total par value	$	62,439	$	73,495

The Bank did not have any advances with embedded features that met the requirements to separate the embedded feature from the host contract and designate the embedded feature as a stand-alone derivative at September 30, 2019, or December 31, 2018. 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 15 – Derivatives and Hedging Activities and Note 16 – Fair Value.

23

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Note 8 — Mortgage Loans Held for Portfolio

The following table presents information as of September 30, 2019, and December 31, 2018, on mortgage loans, all of which are secured by one- to four-unit residential properties and single-unit second homes.

	September 30, 2019			December 31, 2018
Fixed rate medium-term mortgage loans	$	22		$	16
Fixed rate long-term mortgage loans	3,280			2,951
Subtotal	3,302			2,967
Unamortized premiums	83			104
Unamortized discounts	(3		)	(5		)
Mortgage loans held for portfolio	3,382			3,066
Less: Allowance for credit losses	—			—
Total mortgage loans held for portfolio, net	$	3,382		$	3,066

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

For more information related to the Bank’s accounting policies for the Mortgage Partnership Finance® (MPF®) Program, see “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2018 Form 10-K. For information related to the Bank’s credit risk on mortgage loans and allowance methodology for credit losses, see Note 9 – Allowance for Credit Losses.

Note 9 — Allowance for Credit Losses

The Bank has established an allowance methodology for each of its portfolio segments: advances, letters of credit, and other extensions of credit, collectively referred to as “credit products,” mortgage loans held for portfolio, term securities purchased under agreements to resell, and term Federal funds sold. For more information on these portfolio segments, see “Item 8. Financial Statements and Supplementary Data – Note 10 – Allowance for Credit Losses” in the Bank’s 2018 Form 10-K.

Credit Products. The Bank manages its credit exposure related to credit products through an integrated approach that generally provides for a credit limit to be established for each borrower, includes an ongoing review of each borrower’s financial condition, and is coupled with conservative collateral and lending policies to limit the risk of loss while taking into account borrowers’ needs for a reliable funding source. At September 30, 2019, and December 31, 2018, none of the Bank’s credit products were past due, on nonaccrual status, or considered impaired. There were no troubled debt restructurings related to credit products during the nine months ended September 30, 2019, or during 2018.

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 September 30, 2019, 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.

Mortgage Loans Held for Portfolio. The following table presents information on delinquent mortgage loans as of September 30, 2019, and December 31, 2018.

24

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	September 30, 2019			December 31, 2018
	Recorded Investment(1)			Recorded Investment(1)
30 – 59 days delinquent	$	13		$	15
60 – 89 days delinquent	2			2
90 days or more delinquent	6			9
Total past due	21			26
Total current loans	3,381			3,058
Total mortgage loans	$	3,402		$	3,084
In process of foreclosure, included above(2)	$	2		$	3
Nonaccrual loans	$	6		$	9
Serious delinquencies as a percentage of total mortgage loans outstanding(3)	0.19		%	0.31		%

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

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

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

The amounts of charge-offs and recoveries of allowance for credit losses on the mortgage loan portfolio were de minimis during the three and nine months ended September 30, 2019 and 2018.

The recorded investment by impairment methodology for individually and collectively evaluated impaired loans is as follows:

	September 30, 2019		December 31, 2018
Recorded investment, end of the period:
Individually evaluated for impairment	$	5	$	7
Collectively evaluated for impairment	3,397		3,077
Total recorded investment	$	3,402	$	3,084

The allowance for credit losses for loans collectively evaluated for impairment totaled de minimis amounts as of September 30, 2019, and December 31, 2018. The Bank had no allowance for credit losses for loans individually evaluated for impairment as of September 30, 2019, and December 31, 2018.

The recorded investment and unpaid principal balance of impaired loans individually evaluated for impairment totaled $5 and $5, respectively, at September 30, 2019. The recorded investment and unpaid principal balance of impaired loans individually evaluated for impairment totaled $7 and $7, respectively, at December 31, 2018.

The Federal Housing Finance Agency’s (Finance Agency) acquired member asset (AMA) regulation permits the Bank to purchase and hold specified mortgage loans from its members. 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. The Bank purchased loans under the MPF Program that were credit enhanced to an AMA investment-grade level at the time of purchase, where the Bank has a high degree of confidence that it will be paid principal and interest in all material respects, even under reasonably likely adverse changes to expected economic conditions.

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

25

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

to delaying the original contractual principal and interest due dates, if applicable. The recorded investment of the Bank’s nonperforming MPF loans classified as TDRs totaled $2 as of September 30, 2019, and $2 as of December 31, 2018.

For more information related to the Bank’s accounting policies for collateral-dependent loans, see “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2018 Form 10-K. For more information related to the Bank’s allowance for credit losses methodology on MPF loans and credit risk of MPF loans, see “Item 8. Financial Statements and Supplementary Data – Note 10 – Allowance for Credit Losses” in the Bank’s 2018 Form 10-K.

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 September 30, 2019, and December 31, 2018, were repaid or are expected to be repaid according to the contractual terms.

Note 10 — Deposits

The Bank maintains demand deposit accounts that are directly related to the extension of credit to members and offers short-term deposit programs to members and qualifying nonmembers. In addition, a member that services mortgage loans may deposit in the Bank funds collected in connection with the mortgage loans, pending disbursement of these funds to the owners of the mortgage loans. The Bank classifies these types of deposits as non-interest-bearing deposits. Deposits classified as demand, overnight, and other pay interest based on a daily interest rate. Term deposits pay interest based on a fixed rate determined at the issuance of the deposit.

Deposits and interest rate payment terms for deposits as of September 30, 2019, and December 31, 2018, were as follows:

	September 30, 2019				December 31, 2018
	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding		Weighted Average Interest Rate
Interest-bearing deposits – Adjustable rate	$	509	1.55	%	$	240	2.10	%
Non-interest-bearing deposits	143				22
Total	$	652			$	262

Note 11 — Consolidated Obligations

Consolidated obligations, consisting of consolidated obligation bonds and discount notes, are jointly issued by the FHLBanks through the Office of Finance, which serves as the FHLBanks’ agent. As provided by the Federal Home Loan Bank Act of 1932, as amended (FHLBank Act) or by regulations governing the operations of the FHLBanks, all FHLBanks have joint and several liability for all FHLBank consolidated obligations. For a discussion of the joint and several liability regulation, see “Item 8. Financial Statements and Supplementary Data – Note 20 – Commitments and Contingencies” in the Bank’s 2018 Form 10-K. In connection with each issuance of consolidated obligations, each FHLBank specifies the type, term, and amount of debt it requests to have issued on its behalf. The Office of Finance tracks the amount of debt issued on behalf of each FHLBank. In addition, the Bank separately tracks and records as a liability its specific portion of the consolidated obligations issued and is the primary obligor for that portion of the consolidated obligations issued. The Finance Agency and the U.S. Secretary of the Treasury have oversight over the issuance of FHLBank debt through the Office of Finance.

Redemption Terms. The following is a summary of the Bank’s participation in consolidated obligation bonds at September 30, 2019, and December 31, 2018.

26

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	September 30, 2019					December 31, 2018
Contractual Maturity	Amount Outstanding			Weighted Average Interest Rate		Amount Outstanding			Weighted Average Interest Rate
Within 1 year	$	46,641		1.94	%	$	56,968		2.29	%
After 1 year through 2 years	15,556			1.95		7,741			2.20
After 2 years through 3 years	1,698			2.21		2,842			2.08
After 3 years through 4 years	712			2.13		2,094			2.12
After 4 years through 5 years	797			2.11		600			2.56
After 5 years	2,021			3.04		2,091			3.03
Total par value	67,425			1.99	%	72,336			2.29	%
Unamortized premiums	1					3
Unamortized discounts	(10		)			(10		)
Valuation adjustments for hedging activities	13					(48		)
Fair value option valuation adjustments	2					(5		)
Total	$	67,431				$	72,276

The Bank’s participation in consolidated obligation bonds outstanding includes callable bonds of $8,684 at September 30, 2019, and $11,285 at December 31, 2018. 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 $4,495 at September 30, 2019, and $7,660 at December 31, 2018. 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 September 30, 2019, and December 31, 2018, was as follows: 

	September 30, 2019		December 31, 2018
Par value of consolidated obligation bonds:
Non-callable	$	58,741	$	61,051
Callable	8,684		11,285
Total par value	$	67,425	$	72,336

The following is a summary of the Bank’s participation in consolidated obligation bonds outstanding at September 30, 2019, and December 31, 2018, by the earlier of the year of contractual maturity or next call date.

Earlier of Contractual Maturity or Next Call Date	September 30, 2019		December 31, 2018
Within 1 year	$	53,335	$	65,878
After 1 year through 2 years	13,511		5,626
After 2 years through 3 years	326		616
After 3 years through 4 years	125		85
After 4 years through 5 years	77		70
After 5 years	51		61
Total par value	$	67,425	$	72,336

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:

27

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	September 30, 2019					December 31, 2018
	Amount Outstanding			Weighted Average Interest Rate (1)		Amount Outstanding			Weighted Average Interest Rate (1)
Par value	$	28,673		2.01	%	$	29,273		2.32	%
Unamortized discounts	(68		)			(91		)
Total	$	28,605				$	29,182

(1) Represents yield to maturity excluding concession fees.

Interest Rate Payment Terms. Interest rate payment terms for consolidated obligations at September 30, 2019, and December 31, 2018, are detailed in the following table. For information on the general terms and types of consolidated obligations outstanding, see “Item 8. Financial Statements and Supplementary Data – Note 12 – Consolidated Obligations” in the Bank’s 2018 Form 10K.

	September 30, 2019		December 31, 2018
Par value of consolidated obligations:
Bonds:
Fixed rate	$	12,438	$	16,735
Adjustable rate	54,487		53,668
Step-up	300		1,558
Step-down	100		275
Range bonds	100		100
Total bonds, par value	67,425		72,336
Discount notes, par value	28,673		29,273
Total consolidated obligations, par value	$	96,098	$	101,609

The Bank did not have any bonds with embedded features that met the requirements to separate the embedded feature from the host contract and designate the embedded feature as a stand-alone derivative at September 30, 2019, or December 31, 2018. 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 15 – Derivatives and Hedging Activities and Note 16 – Fair Value.

28

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Note 12 — Accumulated Other Comprehensive Income/(Loss)

The following table summarizes the changes in AOCI for the three months ended September 30, 2019 and 2018:

	Net Unrealized Gain/(Loss) on AFS Securities			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, June 30, 2018	$	—		$	347		$	(5	)	$	(12	)	$	330
Other comprehensive income/(loss) before reclassifications:
Net change in fair value	1			5									6
Accretion of non-credit-related OTTI loss							1						1
Net current period other comprehensive income/(loss)	1			5			1			—			7
Balance, September 30, 2018	$	1		$	352		$	(4	)	$	(12	)	$	337
Balance, June 30, 2019	$	15		$	304		$	(2	)	$	(17	)	$	300
Other comprehensive income/(loss) before reclassifications:
Non-credit-related OTTI loss				(1		)	—						(1		)
Net change in fair value	(17		)	(15		)							(32		)
Net current period other comprehensive income/(loss)	(17		)	(16		)	—			—			(33		)
Balance, September 30, 2019	$	(2	)	$	288		$	(2	)	$	(17	)	$	267

The following table summarizes the changes in AOCI for the nine months ended September 30, 2019 and 2018:

	Net Unrealized Gain/(Loss) on AFS Securities			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, 2017	$	—		$	337		$	(6	)	$	(13	)	$	318
Other comprehensive income/(loss) before reclassifications:
Net change in pension and postretirement benefits										1			1
Non-credit-related OTTI loss				(11		)	—						(11		)
Net change in fair value	1			25									26
Accretion of non-credit-related OTTI loss							2						2
Reclassification from other comprehensive income/(loss) to net income/(loss):
Non-credit-related OTTI to credit-related OTTI				1			—						1
Net current period other comprehensive income/(loss)	1			15			2			1			19
Balance, September 30, 2018	$	1		$	352		$	(4	)	$	(12	)	$	337
Balance, December 31, 2018	$	(32	)	$	287		$	(3	)	$	(17	)	$	235
Other comprehensive income/(loss) before reclassifications:
Non-credit-related OTTI loss				(3		)	—						(3		)
Net change in fair value	30			1									31
Accretion of non-credit-related OTTI loss							1						1
Reclassification from other comprehensive income/(loss) to net income/(loss):
Non-credit-related OTTI to credit-related OTTI				3			—						3
Net current period other comprehensive income/(loss)	30			1			1			—			32
Balance, September 30, 2019	$	(2	)	$	288		$	(2	)	$	(17	)	$	267

29

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Note 13 — Capital

Capital Requirements. Under the Housing and Economic Recovery Act of 2008, 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 September 30, 2019, and December 31, 2018, the Bank was in compliance with these capital rules and requirements as shown in the following table.

	September 30, 2019						December 31, 2018
	Required			Actual			Required			Actual
Risk-based capital	$	1,550		$	6,441		$	1,899		$	6,522
Total regulatory capital	$	4,166		$	6,441		$	4,373		$	6,522
Total regulatory capital ratio	4.00		%	6.18		%	4.00		%	5.97		%
Leverage capital	$	5,208		$	9,660		$	5,466		$	9,783
Leverage ratio	5.00		%	9.28		%	5.00		%	8.95		%

Mandatorily Redeemable Capital Stock. The Bank had mandatorily redeemable capital stock totaling $138 outstanding to three institutions at September 30, 2019, and $227 outstanding to three institutions at December 31, 2018. The change in mandatorily redeemable capital stock for the three and nine months ended September 30, 2019 and 2018, was as follows:

	Three Months Ended						Nine Months Ended
	September 30, 2019			September 30, 2018			September 30, 2019			September 30, 2018
Balance at the beginning of the period	$	138		$	255		$	227		$	309
Reclassified from/(to) capital during the period	4			—			4			2
Repurchase of excess mandatorily redeemable capital stock	(4		)	(28		)	(93		)	(84		)
Balance at the end of the period	$	138		$	227		$	138		$	227

Cash dividends on mandatorily redeemable capital stock were recorded as interest expense in the amount of $3 and $5 for the three months ended September 30, 2019 and 2018, respectively, and in the amount of $11 and $16 for the nine months ended September 30, 2019 and 2018, respectively.

The Bank’s mandatorily redeemable capital stock is discussed more fully in “Item 8. Financial Statements and Supplementary Data – Note 15 – Capital” in the Bank’s 2018 Form 10-K.

The following table presents mandatorily redeemable capital stock amounts by contractual redemption period at September 30, 2019, and December 31, 2018.

30

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Contractual Redemption Period	September 30, 2019		December 31, 2018
Within 1 year	$	135	$	—
After 1 year through 2 years	—		224
Past contractual redemption date because of remaining activity(1)	3		3
Total	$	138	$	227

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

Excess Stock Repurchase, Retained Earnings, and Dividend Framework. 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 (Framework) summarizes the Bank’s capital management principles and objectives, as well as its policies and practices, with respect to retained earnings, dividend payments, and the repurchase of excess capital stock. The Bank may be restricted from paying dividends if the Bank is not in compliance with any of its minimum capital requirements or if payment would cause the Bank to fail to meet any of its minimum capital requirements. In addition, the Bank may not pay dividends if any principal or interest due on any consolidated obligations has not been paid in full or is not expected to be paid in full, or, under certain circumstances, if the Bank fails to satisfy certain liquidity requirements under applicable Finance Agency regulations.

The Bank’s Board of Directors reviews the Framework at least annually and may amend the Framework from time to time. The Framework includes a dividend philosophy to endeavor to pay a quarterly dividend at an annualized rate between 5% and 7%. The decision to declare any dividend and the dividend rate are at the discretion of the Bank’s Board of Directors, which may choose to follow the dividend philosophy as guidance in the dividend declaration.

The Bank’s Risk Management Policy limits the payment of dividends if the ratio of the Bank’s estimated market value of total capital to par value of capital stock falls below certain levels. If this ratio at the end of any quarter is less than 100% but greater than or equal to 70%, any dividend would be limited to an annualized rate no greater than the daily average of the Federal funds effective rate 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 224% as of September 30, 2019.

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 in future quarters.

Retained Earnings – The Bank’s Framework assesses the level and adequacy of retained earnings and establishes amounts to be retained in restricted retained earnings, which are not made available in the current dividend period, and maintains an amount of total retained earnings at least equal to its required retained earnings as described in the Framework. As determined using the Bank’s methodology, the required level of total retained earnings was $2,500 from January 2018 through July 2019. In July 2019, the methodology was further revised to provide a required level of retained earnings of $2,400. The Bank satisfies its retained earnings requirement with both restricted retained earnings (i.e., amounts related to the Joint Capital Enhancement Agreement) and unrestricted retained earnings. The Bank’s retained earnings requirement may be changed at any time. The Board of Directors periodically reviews the retained earnings methodology and analysis to determine whether any adjustments are appropriate.

The Bank’s restricted retained earnings totaled $690 and $647 at September 30, 2019, and December 31, 2018, respectively. The Bank’s unrestricted retained earnings totaled $2,715 and $2,699 at September 30, 2019, and December 31, 2018, respectively.

31

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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 September 30, 2019, the Bank’s excess capital stock totaled $178, or 0.17% of total assets.

In the third quarter of 2019, the Bank paid dividends at an annualized rate of 7.00%, totaling $56, including $53 in dividends on capital stock and $3 in dividends on mandatorily redeemable capital stock. In the third quarter of 2018, the Bank paid dividends at an annualized rate of 7.00%, totaling $56, including $51 in dividends on capital stock and $5 in dividends on mandatorily redeemable capital stock.

In the first nine months of 2019, the Bank paid dividends at an annualized rate of 7.00%, totaling $166, including $155 in dividends on capital stock and $11 in dividends on mandatorily redeemable capital stock. In the first nine months of 2018, the Bank paid dividends at an annualized rate of 7.00%, totaling $178, including $162 in dividends on capital stock and $16 in dividends on mandatorily redeemable capital stock.

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

On October 24, 2019, the Bank’s Board of Directors declared a cash dividend on the capital stock outstanding during the third quarter of 2019 at an annualized rate of 7.00%, totaling $54, including $51 in dividends on capital stock and $3 in dividends on mandatorily redeemable capital stock. The Bank recorded the dividend on October 24, 2019. The Bank expects to pay the dividend on November 12, 2019. Dividends on mandatorily redeemable capital stock will be recognized as interest expense in the fourth quarter of 2019.

Excess Capital Stock – The Bank’s capital plan provides that 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 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’s practice is to repurchase the surplus capital stock of all members and the excess capital stock of all former members on a daily schedule. Surplus capital stock is defined as any stock holdings in excess of 115% of a member’s minimum stock requirement. The Bank calculates the amount of stock to be repurchased each business day based on the shareholder’s capital stock outstanding after all stock transactions are completed for the day, ensuring that each member and former member would continue to meet its minimum capital stock requirement after the repurchase. The Bank may change this practice at any time. The Bank repurchased $210 and $294 in excess capital stock during the third quarter of 2019 and 2018, respectively, and $977 and $1,422 in excess capital stock during the first nine months of 2019 and 2018, respectively.

The Bank is required to redeem any mandatorily redeemable capital stock that is in excess of a former member’s minimum stock requirement on or after the expiration of the five-year redemption date. During the third quarter of 2019 and 2018, the Bank redeemed a de minimis amount in mandatorily redeemable capital stock, for which the five-year redemption period had expired, at its $100 par value. 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

32

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

activity with the Bank, on the first available repurchase date after the stock was no longer required to support outstanding activity with the Bank.

Excess capital stock totaled $178 and $166 as of September 30, 2019, and December 31, 2018, respectively.

For more information on restricted retained earnings and the Bank’s Framework, see “Item 8. Financial Statements and Supplementary Data – Note 15 – Capital” in the Bank’s 2018 Form 10-K.

Concentration. The following table presents the concentration in capital stock held by institutions whose capital stock ownership represented 10% or more of the Bank’s outstanding capital stock, including mandatorily redeemable capital stock, as of September 30, 2019, or December 31, 2018.

	September 30, 2019				December 31, 2018
Name of Institution	Capital Stock Outstanding		Percentage of Total Capital Stock Outstanding		Capital Stock Outstanding		Percentage of Total Capital Stock Outstanding
MUFG Union Bank, National Association	$	402	13	%	$	456	14	%
First Republic Bank	329		11		273		9
Subtotal	731		24		729		23
Others	2,305		76		2,447		77
Total	$	3,036	100	%	$	3,176	100	%

Note 14 — Segment Information

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

For more information on these operating segments, see “Item 8. Financial Statements and Supplementary Data – Note 17 – Segment Information” in the Bank’s 2018 Form 10-K.

The following table presents the Bank’s adjusted net interest income by operating segment and reconciles total adjusted net interest income to income before the Affordable Housing Program (AHP) assessment for the three and nine months ended September 30, 2019 and 2018.

33

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	Advances- Related Business		Mortgage- Related Business(1)		Adjusted Net Interest Income		Amortization of Basis Adjustments and Gain/(Loss) on Fair Value Hedges(2)			Income/(Expense) on Economic Hedges(3)			Interest Expense on Mandatorily Redeemable Capital Stock(4)		Net Interest Income After Mortgage Loan Loss Provision		Other Income/ (Loss)		Other Expense		Income Before AHP Assessment
Three months ended:
September 30, 2019	$	72	$	60	$	132	$	20		$	(3	)	$	3	$	112	$	3	$	47	$	68
September 30, 2018	82		71		153		—			(5		)	5		153		7		46		114
Nine months ended:
September 30, 2019	$	237	$	186	$	423	$	54		$	(8	)	$	11	$	366	$	11	$	138	$	239
September 30, 2018	239		219		458		(1		)	(12		)	16		455		4		138		321

(1) The mortgage-related business includes total accretion or amortization associated with other-than-temporarily impaired PLRMBS, which are recognized in interest income, totaled $21 and $20 for the three months ended September 30, 2019 and 2018, respectively; and totaled $58 and $62 for the nine months ended September 30, 2019 and 2018, respectively. The mortgage-related business does not include credit-related OTTI losses of $2 and $3 for the three months ended September 30, 2019 and 2018, and $8 and $9 for the nine months ended September 30, 2019 and 2018, respectively.

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

(3) The Bank includes income and expense associated with net settlements from economic hedges in adjusted net interest income in its analysis of financial performance for its two operating segments. For financial reporting purposes, the Bank does not include these amounts in net interest income in the Statements of Income, but instead records them in other income 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 September 30, 2019, and December 31, 2018.

	Advances- Related Business		Mortgage- Related Business		Total Assets
September 30, 2019	$	82,143	$	22,010	$	104,153
December 31, 2018	88,272		21,054		109,326

Note 15 — Derivatives and Hedging Activities

General. The Bank may enter into interest rate swaps (including callable, putable, and basis swaps); and cap and floor agreements (collectively, interest rate exchange agreements or derivatives). Most of the Bank’s interest rate exchange agreements are executed in conjunction with the origination of advances or the issuance of consolidated obligations to create variable rate structures. The interest rate exchange agreements are generally executed at the same time the advances and consolidated obligations are transacted and generally have the same maturity dates as the related hedged instrument. The Bank transacts most of its derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute consolidated obligations. 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 derivatives 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 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 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 or (ii) an economic hedge of assets, liabilities, or other derivatives.

34

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

The Bank primarily uses the following interest rate exchange agreement instruments:

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

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

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

The Bank may have the following types of hedged items:

Investments – The Bank may invest in U.S. Treasury and agency obligations, agency MBS, and the taxable portion of highly rated state or local housing finance agency obligations. In the past, the Bank has also invested in PLRMBS rated AAA at the time of acquisition. The interest rate and prepayment risk associated with these investment securities is managed through a combination of debt issuance and derivatives. The Bank may manage prepayment risk and interest rate risk by funding investment securities with consolidated obligations that have call features or by hedging the prepayment risk with a combination of consolidated obligations and callable swaps. The Bank may execute callable swaps in conjunction with the issuance of certain liabilities to create funding that is economically equivalent to fixed rate callable debt. Although these derivatives are economic hedges against prepayment risk and are designated to individual liabilities, they do not receive either fair value or cash flow hedge accounting treatment. Investment securities may be classified as trading, AFS, or HTM.

The Bank may also manage the risk arising from changing market prices or cash flows of investment securities classified as trading or AFS by entering into interest rate exchange agreements that offset the changes in fair value or cash flows of the securities. Hedge relationships that involve trading securities are designated as economic hedges, while hedge relationships that involve AFS securities are designated as fair value hedges. For trading securities that have been designated as an economic hedge, 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. Beginning January 1, 2019, the Bank adopted new hedge accounting guidance, which, among other things, affects the presentation of gains and losses on derivatives and hedging activities for qualifying hedges, including fair value hedges of AFS securities. For 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 AOCI as “Net unrealized gain/(loss) on AFS securities.”

35

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Prior to January 1, 2019, 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 non-interest income as “Net gain/(loss) on derivatives and hedging 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.”

Advances – The Bank offers a wide range of advances structures to meet members’ funding needs. These advances may have maturities up to 30 years with fixed or adjustable rates and may include early termination features or options. The Bank may use derivatives to adjust the repricing and options characteristics of advances to more closely match the characteristics of the Bank’s funding liabilities. In general, whenever a member executes a fixed rate advance, fixed rate advance with embedded options, or a variable rate advance with embedded options, the Bank will simultaneously execute an interest rate exchange agreement with terms that offset the terms and any embedded options in the advance. The combination of the advance and the interest rate exchange agreement effectively creates a variable rate asset. Fixed rate advances without options that are offset with an interest rate exchange agreement are generally treated as fair value hedges. Advances with embedded options are recorded using the fair value option and are economically hedged using interest rate exchange agreements.

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

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

Consolidated Obligations – Consolidated obligation bonds may be structured to meet the Bank’s or the investors’ needs. Common structures include fixed rate bonds with or without call options and adjustable rate bonds with or without embedded options. In general, when bonds are issued, the Bank simultaneously executes an interest rate exchange agreement with terms that offset the terms and embedded options, if any, of the consolidated obligation bond. This combination of the consolidated obligation bond and the interest rate exchange agreement effectively creates an adjustable rate bond. These transactions generally receive fair value hedge accounting treatment.

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

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

Offsetting Derivatives – The Bank enters into derivatives to offset the economic effect of other derivatives that are no longer designated to advances, investments, or consolidated obligations. Offsetting derivatives do not receive hedge accounting treatment and are separately marked to market through earnings. The net result of the accounting for these derivatives does not significantly affect the operating results of the Bank.

36

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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.

For more information related to the Bank’s accounting policies for derivatives, see “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2018 Form 10-K.

The following table summarizes the notional amount and fair value of derivative instruments, including the effect of netting adjustments and cash collateral as of September 30, 2019, and December 31, 2018. For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest.

	September 30, 2019								December 31, 2018
	Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities			Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	44,027	$	11		$	528		$	40,504	$	20	$	93
Total	44,027		11			528			40,504		20		93
Derivatives not designated as hedging instruments:
Interest rate swaps	50,955		14			21			59,398		65		54
Interest rate caps and floors	1,010		—			1			1,563		1		—
Mortgage delivery commitments	95		—			—			12		—		—
Total	52,060		14			22			60,973		66		54
Total derivatives before netting and collateral adjustments	$	96,087	25			550			$	101,477	86		147
Netting adjustments and cash collateral(1)			(2		)	(549		)			99		(137		)
Total derivative assets and total derivative liabilities			$	23		$	1				$	185	$	10

(1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty. Cash collateral posted and related accrued interest was $555 and $257 at September 30, 2019, and December 31, 2018, respectively. Cash collateral received and related accrued interest was $7 and $22 at September 30, 2019, and December 31, 2018, respectively.

Beginning on January 1, 2019, changes in fair value of the derivative hedging instrument and the hedged item attributable to the hedged risk for designated fair value hedges are recorded in net interest income in the same line as the earnings effect of the hedged item. 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.”

The following tables present, by type of hedged item, the gains and losses on fair value hedging relationships and the impact of those derivatives on the Bank’s Statements of Income for the three and nine months ended September 30, 2019 and 2018. Beginning on January 1, 2019, the gains and losses on derivatives include unrealized changes in fair value as well as net interest settlements.

37

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	Three Months Ended September 30, 2019(1)
	Interest Income/(Expense)
	Advances			AFS Securities			Consolidated Obligation Bonds
Total interest income/(expense) presented in the Statements of Income	$	389		$	100		$	(409	)
Gain/(loss) on fair value hedging relationships
Derivatives(2)	$	(36	)	$	(224	)	$	2
Hedged items	37			209			(4		)
Net gain/(loss) on fair value hedging relationships	$	1		$	(15	)	$	(2	)

	Three Months Ended September 30, 2018(1)
	Interest Income/(Expense)							Other Income/(Loss)
	Advances		AFS Securities		Consolidated Obligation Bonds			Net Gain/(Loss) on Derivatives and Hedging Activities
Total income/(expense) presented in the Statements of Income	$	389	$	59	$	(364	)	$	18
Gain/(loss) on fair value hedging relationships
Derivatives(2)	$	16	$	1	$	(6	)	$	22
Hedged items								(23		)
Net gain/(loss) on fair value hedging relationships	$	16	$	1	$	(6	)	$	(1	)

	Nine Months Ended September 30, 2019(1)
	Interest Income/(Expense)
	Advances			AFS Securities			Consolidated Obligation Bonds
Total interest income/(expense) presented in the Statements of Income	$	1,343		$	261		$	(1,306	)
Gain/(loss) on fair value hedging relationships
Derivatives(2)	$	(292	)	$	(594	)	$	43
Hedged items	325			552			(61		)
Net gain/(loss) on fair value hedging relationships	$	33		$	(42	)	$	(18	)

	Nine Months Ended September 30, 2018(1)
	Interest Income/(Expense)							Other Income/(Loss)
	Advances		AFS Securities		Consolidated Obligation Bonds			Net Gain/(Loss) on Derivatives and Hedging Activities
Total income/(expense) presented in the Statements of Income	$	1,138	$	172	$	(1,010	)	$	66
Gain/(loss) on fair value hedging relationships
Derivatives(2)	$	36	$	1	$	(13	)	$	52
Hedged items								(49		)
Net gain/(loss) on fair value hedging relationships	$	36	$	1	$	(13	)	$	3

(1) Upon adoption of new hedge accounting guidance applied prospectively on January 1, 2019, interest amounts reported for 2019 for advances, investment securities, and consolidated obligation bonds include the realized and unrealized gain/(loss) on hedged items and derivatives in qualifying hedge relationships. Other income amounts reported for 2018 include the realized and unrealized gain/(loss) on hedged items and derivatives in qualifying hedge relationships.

(2) Includes net interest settlements.

The following table presents the cumulative basis adjustments on hedged items designated as fair value hedges and the related amortized cost of the hedged items as of September 30, 2019.

38

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	September 30, 2019
Hedged Item Type	Amortized Cost of Hedged Asset/(Liability)(1)			Basis Adjustments for Active Hedging Relationships Included in Amortized Cost
Advances	$	27,428		$	293
AFS securities	12,563			642
Consolidated obligation bonds	(5,207		)	(13		)

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

The following table presents the components of net gain/(loss) on derivatives and hedging activities as presented in the Statements of Income for the three and nine months ended September 30, 2019 and 2018. For fair value hedging relationships, the portion of net gain/(loss) representing hedge ineffectiveness is recorded in other income for periods prior to January 1, 2019.

	Three Months Ended						Nine Months Ended
	September 30, 2019			September 30, 2018			September 30, 2019			September 30, 2018
	Gain/(Loss)			Gain/(Loss)			Gain/(Loss)			Gain/(Loss)
Derivatives designated as hedging instruments:
Interest rate swaps				$	(1	)				$	3
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	$	(17	)	23			$	(102	)	65
Interest rate caps and floors	(1		)	—			(2		)	1
Net settlements	(3		)	(5		)	(8		)	(12		)
Mortgage delivery commitments	1			2			3			11
Total net gain/(loss) related to derivatives not designated as hedging instruments	(20		)	20			(109		)	65
Price alignment amount(1)	—			(1		)	—			(2		)
Net gain/(loss) on derivatives and hedging activities	$	(20	)	$	18		$	(109	)	$	66

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

Credit Risk – The Bank is subject to credit risk from potential nonperformance by counterparties to the interest rate exchange agreements. All of the Bank’s agreements governing uncleared derivative transactions contain master netting provisions to help mitigate the credit risk exposure to each counterparty. The Bank manages counterparty credit risk through credit analyses and collateral requirements and by following the requirements of the Bank’s risk management policies, credit guidelines, and Finance Agency and other regulations. The Bank also requires credit support agreements on all uncleared derivatives.

For cleared derivatives, the clearinghouse is the Bank’s counterparty. The requirement that the Bank post initial and variation margin through a 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. Variation margin and initial margin are posted for changes in the value and risk profile of cleared derivatives. 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

39

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

net derivative receivable or payable for all of its transactions through a particular clearing agent with a particular clearinghouse.

Based on the Bank’s credit analyses and the collateral requirements, the Bank does not expect to incur any credit losses on its derivative transactions.

The Bank’s agreements for uncleared derivative transactions contain provisions that link the Bank’s credit rating from Moody’s Investors Service and S&P Global Ratings to various rights and obligations. Certain of these derivative agreements provide that, if the Bank’s long-term debt rating falls below a specified rating (ranging from A3/A- to Baa3/BBB-), the Bank’s counterparty would have the right, but not the obligation, to terminate all of its outstanding derivative transactions with the Bank; the Bank’s agreements with its clearing agents for cleared derivative transactions have similar provisions with respect to the debt rating of FHLBank System consolidated bonds. If this occurs, the Bank may choose to enter into replacement hedges, either by transferring the existing transactions to another counterparty or entering into new replacement transactions, based on prevailing market rates. 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 September 30, 2019, was $537, for which the Bank had posted cash collateral of $542 in the ordinary course of business.

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 September 30, 2019, and December 31, 2018.

	September 30, 2019
	Derivative Instruments Meeting Netting Requirements
	Amount Recognized		Gross Amount of Netting Adjustments and Cash Collateral			Total Derivative Assets and Total Derivative Liabilities		Noncash Collateral Not Offset That  Can Be Sold or Repledged			Net Amount
Derivative Assets
Uncleared	$	18	$	(12	)	$	6	$	—		$	6
Cleared	7		10			17		(321		)	338
Total						$	23				$	344
Derivative Liabilities
Uncleared	$	549	$	(548	)	$	1	$	—		$	1
Cleared	1		(1		)	—		—			—
Total						$	1				$	1

40

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	December 31, 2018
	Derivative Instruments Meeting Netting Requirements
	Amount Recognized		Gross Amount of Netting Adjustments and Cash Collateral			Total Derivative Assets and Total Derivative Liabilities
Derivative Assets
Uncleared	$	83	$	(82	)	$	1
Cleared	3		181			184
Total						$	185
Derivative Liabilities
Uncleared	$	129	$	(119	)	$	10
Cleared	18		(18		)	—
Total						$	10

Note 16 — Fair Value

The following fair value amounts have been determined by the Bank using available market information and the Bank’s best judgment of appropriate valuation methods. These estimates are based on pertinent information available to the Bank at September 30, 2019, and December 31, 2018. Although the Bank uses its best judgment in estimating the fair value of these financial instruments, there are inherent limitations in any estimation technique or valuation methodology. For example, because an active secondary market does not exist for a portion of the Bank’s financial instruments, in certain cases fair values cannot be precisely quantified or verified and may change as economic and market factors and evaluation of those factors change. The Bank continues to refine its valuation methodologies as markets and products develop and the pricing for certain products becomes more or less transparent. While the Bank believes that its valuation methodologies are appropriate and consistent with those of other market participants, the use of different methodologies or assumptions to determine the fair value of certain financial instruments could result in a materially different estimate of fair value as of the reporting date. U.S. GAAP defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., an exit price). Therefore, the fair values are not necessarily indicative of the amounts that would be realized in current market transactions, although they do reflect the Bank’s judgment as to how a market participant would estimate the fair values. The fair value summary table does not represent an estimate of the overall market value of the Bank as a going concern, which would take into account future business opportunities and the net profitability of total assets and liabilities.

The following tables present the carrying value, the estimated fair value, and the fair value hierarchy level of the Bank’s financial instruments at September 30, 2019, and December 31, 2018. The Bank records trading securities, AFS securities, derivative assets, derivative liabilities, certain advances, certain consolidated obligations, and certain other assets at fair value on a recurring basis, and on occasion certain mortgage loans held for portfolio and certain other assets at fair value on a nonrecurring basis. The Bank records all other financial assets and liabilities at amortized cost. Refer to the following tables for further details about the financial assets and liabilities held at fair value on either a recurring or non-recurring basis.

41

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	September 30, 2019
	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral(1)
Assets
Cash and due from banks	$	81	$	81	$	81	$	—	$	—	$	—
Interest-bearing deposits	2,035		2,035		2,035		—		—		—
Securities purchased under agreements to resell	7,700		7,700		—		7,700		—		—
Federal funds sold	3,871		3,871		—		3,871		—		—
Trading securities	4		4		—		4		—		—
AFS securities	15,316		15,316		—		12,561		2,755		—
HTM securities	8,564		8,586		—		8,101		485		—
Advances	62,826		62,880		—		62,880		—		—
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	3,382		3,385		—		3,385		—		—
Accrued interest receivable	133		133		—		133		—		—
Derivative assets, net(1)	23		23		—		25		—		(2		)
Other assets(2)	18		18		18		—		—		—
Liabilities
Deposits	652		652		—		652		—		—
Consolidated obligations:
Bonds	67,431		67,389		—		67,389		—		—
Discount notes	28,605		28,608		—		28,608		—		—
Total consolidated obligations	96,036		95,997		—		95,997		—		—
Mandatorily redeemable capital stock	138		138		138		—		—		—
Accrued interest payable	178		178		—		178		—		—
Derivative liabilities, net(1)	1		1		—		550		—		(549		)
Other
Standby letters of credit	31		31		—		31		—		—

42

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	December 31, 2018
	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral(1)
Assets
Cash and due from banks	$	13	$	13	$	13	$	—	$	—	$	—
Interest-bearing deposits	2,555		2,555		2,555		—		—		—
Securities purchased under agreements to resell	7,300		7,299		—		7,299		—		—
Federal funds sold	3,845		3,846		—		3,846		—		—
Trading securities	661		661		—		661		—		—
AFS securities	6,931		6,931		—		3,774		3,157		—
HTM securities	11,089		11,047		—		10,362		685		—
Advances	73,434		73,462		—		73,462		—		—
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	3,066		2,975		—		2,975		—		—
Accrued interest receivable	133		133		—		133		—		—
Derivative assets, net(1)	185		185		—		86		—		99
Other assets(2)	16		16		16		—		—		—
Liabilities
Deposits	262		262		—		262		—		—
Consolidated obligations:
Bonds	72,276		72,079		—		72,079		—		—
Discount notes	29,182		29,178		—		29,178		—		—
Total consolidated obligations	101,458		101,257		—		101,257		—		—
Mandatorily redeemable capital stock	227		227		227		—		—		—
Borrowings from other FHLBanks	250		250		—		250		—		—
Accrued interest payable	155		155		—		155		—		—
Derivative liabilities, net(1)	10		10		—		147		—		(137		)
Other
Standby letters of credit	27		27		—		27		—		—

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

(2) Represents publicly traded mutual funds held in a grantor trust.

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

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

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

43

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

the transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis.

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

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

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

The following assets and liabilities, including those for which the Bank has elected the fair value option, are carried at fair value on the Statements of Condition as of September 30, 2019:

• 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.

The valuation methodologies and primary inputs used to develop the measurement of fair value for assets and liabilities that are measured at fair value on a recurring or nonrecurring basis in the Statements of Condition are listed below.

Investment Securities – MBS – To value its MBS, the Bank obtains prices from multiple 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 multiple 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 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

44

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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 September 30, 2019, multiple vendor prices were received for most of the Bank’s MBS, and the fair value estimates for most of those securities were determined in accordance with the Bank’s valuation technique based on these vendor prices. Based on the Bank’s reviews of the pricing methods employed by the third-party pricing vendors and the relative lack of dispersion among the vendor prices (or, in those instances in which there were outliers, the Bank’s additional analyses), the Bank believes that its fair value estimates are reasonable and that the fair value measurements are classified appropriately in the fair value hierarchy. Based on limited market liquidity for PLRMBS, the fair value measurements for these securities were classified as Level 3 within the fair value hierarchy.

Investment Securities – Non-MBS – To determine the estimated fair values of non-MBS investments, the Bank uses a market approach using prices from third-party pricing vendors, generally consistent with the methodologies for MBS. The Bank believes that its methodologies result in fair values that are reasonable and similar in all material respects based on the nature of the financial instruments being measured.

Advances Recorded Under the Fair Value Option – 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 recorded under the fair value option 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 recorded under the fair value option. 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 recorded under the fair value option for creditworthiness primarily because advances were fully collateralized.

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.

45

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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 swap rates 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 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.

Consolidated Obligations Recorded Under the Fair Value Option – 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 recorded under the fair value option have been significantly affected during the reporting period by changes in the instrument-specific credit risk.

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.

46

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Fair Value Measurements. The tables below present the fair value of assets and liabilities, which are recorded on a recurring or nonrecurring basis at September 30, 2019, and December 31, 2018, by level within the fair value hierarchy.

September 30, 2019
	Fair Value Measurement Using:						Netting Adjustments  and Cash
	Level 1		Level 2		Level 3		Collateral(1)			Total
Recurring fair value measurements – Assets:
Trading securities – MBS – Other U.S. obligations – Ginnie Mae	$	—	$	4	$	—	$	—		$	4
AFS securities:
U.S. obligations – Treasury securities	—		5,287		—		—			5,287
MBS:
GSEs – multifamily	—		7,274		—		—			7,274
PLRMBS	—		—		2,755		—			2,755
Subtotal MBS	—		7,274		2,755		—			10,029
Total AFS securities	—		12,561		2,755		—			15,316
Advances(2)	—		3,967		—		—			3,967
Derivative assets, net: interest rate-related	—		25		—		(2		)	23
Other assets	18		—		—		—			18
Total recurring fair value measurements – Assets	$	18	$	16,557	$	2,755	$	(2	)	$	19,328
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	577	$	—	$	—		$	577
Derivative liabilities, net: interest rate-related	—		550		—		(549		)	1
Total recurring fair value measurements – Liabilities	$	—	$	1,127	$	—	$	(549	)	$	578
Nonrecurring fair value measurements – Assets:(4)
Impaired mortgage loans held for portfolio	$	—	$	—	$	1	$	—		$	1
Total nonrecurring fair value measurements – Assets	$	—	$	—	$	1	$	—		$	1

47

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

December 31, 2018
	Fair Value Measurement Using:						Netting Adjustments  and Cash
	Level 1		Level 2		Level 3		Collateral(1)			Total
Recurring fair value measurements – Assets:
Trading securities:
GSEs – FFCB bonds	$	—	$	656	$	—	$	—		$	656
MBS – Other U.S. obligations – Ginnie Mae	—		5		—		—			5
Total trading securities	—		661		—		—			661
AFS securities:
MBS – GSEs – multifamily	—		3,774		—		—			3,774
PLRMBS	—		—		3,157		—			3,157
Total AFS securities	—		3,774		3,157		—			6,931
Advances(2)	—		5,133		—		—			5,133
Derivative assets, net: interest rate-related	—		86		—		99			185
Other assets	16		—		—		—			16
Total recurring fair value measurements – Assets	$	16	$	9,654	$	3,157	$	99		$	12,926
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	2,019	$	—	$	—		$	2,019
Derivative liabilities, net: interest rate-related	—		147		—		(137		)	10
Total recurring fair value measurements – Liabilities	$	—	$	2,166	$	—	$	(137	)	$	2,029
Nonrecurring fair value measurements – Assets:(4)
Impaired mortgage loans held for portfolio	$	—	$	—	$	2	$	—		$	2
Total nonrecurring fair value measurements – Assets	$	—	$	—	$	2	$	—		$	2

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

(2) Represents advances recorded under the fair value option at September 30, 2019, and December 31, 2018.

(3) Represents consolidated obligation bonds recorded under the fair value option at September 30, 2019, and December 31, 2018.

(4) The fair value information presented is as of the date the fair value adjustment was recorded during the nine months ended September 30, 2019, and the year ended December 31, 2018.

The following tables present a reconciliation of the Bank’s AFS PLRMBS that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three and nine months ended September 30, 2019 and 2018.

	Three Months Ended
	September 30, 2019			September 30, 2018
Balance, beginning of the period	$	2,929		$	3,510
Total gain/(loss) realized and unrealized included in:
Interest income	20			19
Net OTTI loss, credit-related	(2		)	(3		)
Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI	(15		)	5
Net amount of OTTI loss reclassified to/(from) other income/(loss)	(1		)	—
Settlements	(176		)	(182		)
Balance, end of the period	$	2,755		$	3,349
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	$	16		$	16

48

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	Nine Months Ended
	September 30, 2019			September 30, 2018
Balance, beginning of the period	$	3,157		$	3,833
Total gain/(loss) realized and unrealized included in:
Interest income	57			61
Net OTTI loss, credit-related	(8		)	(9		)
Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI	1			25
Net amount of OTTI loss reclassified to/(from) other income/(loss)	—			(10		)
Settlements	(452		)	(563		)
Transfers of HTM securities to AFS securities	—			12
Balance, end of the period	$	2,755		$	3,349
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	$	46		$	52

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

For more information on the Bank’s election of the fair value option, see “Item 8. Financial Statements and Supplementary Data – Note 19 – Fair Values” in the Bank’s 2018 Form 10-K.

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

The following tables summarize the activity related to financial assets and liabilities for which the Bank elected the fair value option during the three and nine months ended September 30, 2019 and 2018:

	Three Months Ended
	September 30, 2019						September 30, 2018
	Advances			Consolidated Obligation Bonds			Advances			Consolidated Obligation Bonds
Balance, beginning of the period	$	4,529		$	943		$	6,083		$	1,404
New transactions elected for fair value option	—			—			188			851
Maturities and terminations	(583		)	(365		)	(873		)	(50		)
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds from changes in fair value recognized in earnings	22			2			(15		)	(3		)
Change in accrued interest	(1		)	(3		)	—			—
Balance, end of the period	$	3,967		$	577		$	5,383		$	2,202

49

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	Nine Months Ended
	September 30, 2019						September 30, 2018
	Advances			Consolidated Obligation Bonds			Advances			Consolidated Obligation Bonds
Balance, beginning of the period	$	5,133		$	2,019		$	6,431		$	949
New transactions elected for fair value option	74			—			1,752			1,314
Maturities and terminations	(1,363		)	(1,448		)	(2,723		)	(50		)
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds from changes in fair value recognized in earnings	125			14			(78		)	(13		)
Change in accrued interest	(2		)	(8		)	1			2
Balance, end of the period	$	3,967		$	577		$	5,383		$	2,202

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, except for changes in fair value related to instrument-specific credit risk which are recorded in AOCI on the Statements of Condition. For advances and consolidated obligations recorded under the fair value option, the Bank determined that none of the remaining changes in fair value were related to instrument-specific credit risk for the three and nine months ended September 30, 2019 and 2018. In determining that there has been no change in instrument-specific credit risk period to period, the Bank primarily considered the following factors:

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

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

The following table presents the difference between the aggregate remaining contractual principal balance outstanding and aggregate fair value of advances and consolidated obligation bonds for which the Bank elected the fair value option at September 30, 2019, and December 31, 2018:

	September 30, 2019						December 31, 2018
	Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance		Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance
Advances(1)	$	3,873	$	3,967	$	94	$	5,162	$	5,133	$	(29	)
Consolidated obligation bonds	575		577		2		2,024		2,019		(5		)

(1) At September 30, 2019, and December 31, 2018, none of these advances were 90 days or more past due or had been placed on nonaccrual status.

Note 17 — Commitments and Contingencies

As provided by the FHLBank Act or regulations governing the operations of the FHLBanks, all FHLBanks have joint and several liability for all FHLBank consolidated obligations, which are backed only by the financial resources of the FHLBanks. The joint and several liability regulation authorizes the Finance Agency to require any FHLBank to repay all or a portion of the principal or interest on consolidated obligations for which another FHLBank is the primary obligor. The regulations provide a general framework for addressing the possibility that an FHLBank may be unable to repay the consolidated obligations for which it is the primary obligor. The Bank has never been asked or required to repay the principal or interest on any consolidated obligation on behalf of another FHLBank, and as of September 30, 2019, 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

50

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

was $1,010,271 at September 30, 2019, and $1,031,617 at December 31, 2018. The par value of the Bank’s participation in consolidated obligations was $96,098 at September 30, 2019, and $101,609 at December 31, 2018. For more information on the joint and several liability regulation, see “Item 8. Financial Statements and Supplementary Data – Note 20 – Commitments and Contingencies” in the Bank’s 2018 Form 10-K.

Off-balance sheet commitments as of September 30, 2019, and December 31, 2018, were as follows:

	September 30, 2019						December 31, 2018
	Expire Within One Year		Expire After One Year		Total		Expire Within One Year		Expire After One Year		Total
Standby letters of credit outstanding	$	16,212	$	4,492	$	20,704	$	13,661	$	4,418	$	18,079
Commitments to issue consolidated obligation discount notes, par	—		—		—		350		—		350
Commitments to issue consolidated obligation bonds, par	40		—		40		—		—		—
Commitments to purchase mortgage loans	95		—		95		12		—		12

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 7 days to 15 years, including a final expiration in 2034. 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 $31 at September 30, 2019, and $27 at December 31, 2018. Standby letters of credit are fully collateralized at the time of issuance. Based on the Bank’s credit analyses of members’ financial condition and collateral requirements, the Bank deemed it unnecessary to record any additional liability on the letters of credit outstanding as of September 30, 2019, and December 31, 2018.

There were no commitments to fund advances at September 30, 2019, and December 31, 2018. Advances funded under advance commitments are fully collateralized at the time of funding (see Note 9 – Allowance for Credit Losses).

The Bank may enter into commitments that unconditionally obligate it to purchase mortgage loans from its members. Commitments are generally for periods not exceeding 60 days. Delivery commitments are recorded at fair value as derivative assets or derivative liabilities in the Statements of Condition.

We have pledged securities as collateral related to derivatives. See Note 15 – Derivatives and Hedging Activities for additional information about the Bank’s pledged collateral and other credit-risk-related contingent features. As of September 30, 2019, the Bank had pledged total collateral of $875, including securities with a carrying value of $321, all of which may be repledged, and cash collateral of $554 to counterparties and the clearinghouse that had market risk exposure to the Bank related to derivatives. As of December 31, 2018, the Bank had pledged total collateral of $257, which was comprised entirely of cash.

The Bank may be subject to various pending legal proceedings that may arise in the ordinary course of business. After consultation with legal counsel, the Bank does not anticipate that the ultimate liability, if any, arising out of these matters will have a material effect on its financial condition or results of operations.

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

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

51

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	September 30, 2019		December 31, 2018
Assets:
Advances	$	3,711	$	4,192
Mortgage loans held for portfolio	9		11
Accrued interest receivable	6		7
Liabilities:
Deposits	$	30	$	11
Capital:
Capital Stock	$	130	$	149

	Three Months Ended				Nine Months Ended
	September 30, 2019		September 30, 2018		September 30, 2019		September 30, 2018
Interest Income:
Advances	$	22	$	21	$	66	$	52

All transactions with members, nonmembers, and their affiliates are entered into in the ordinary course of business. As of September 30, 2019, and December 31, 2018, no shareholder owned more than 10% of the total voting interests in the Bank because of the statutory limit on members' voting rights. For more information on transactions with members and nonmembers, see “Item 8. Financial Statements and Supplementary Data – Note 21 – Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks” in the Bank’s 2018 Form 10-K.

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

Deposits with other FHLBanks. The Bank may, from time to time, maintain deposits with other FHLBanks. Deposits with other FHLBanks totaled a de minimis amount and $1 at September 30, 2019, and December 31, 2018, respectively, which were recorded in the Statements of Condition in the Cash and due from banks line item.

Overnight Funds. The Bank may borrow or lend unsecured overnight funds from or to other FHLBanks. All such transactions are at current market rates. Interest income and interest expense related to these transactions with other FHLBanks are included in interest income and interest expense in the Statements of Income. Balances outstanding at period end with other FHLBanks, if any, are identified in the Bank’s financial statements. During the nine months ended September 30, 2019 and 2018, the Bank extended overnight loans to other FHLBanks for $1,450 and $280, respectively. During the nine months ended September 30, 2019 and 2018, the Bank borrowed $1,545 and $1,520, respectively, from other FHLBanks. The impact to net interest income related to these transactions was de minimis for all periods in this report.

MPF Mortgage Loans. The Bank pays a transaction services fee to the FHLBank of Chicago for its participation in the MPF program. This fee is assessed monthly and is based on the amount of mortgage loans in which the Bank invested and which remain outstanding on its Statements of Condition. For the three months ended September 30, 2019 and 2018, the Bank recorded $1 and $1, respectively, in MPF membership fee expense and transaction services fee expense to the FHLBank of Chicago, which were recorded in the Statements of Income as other expense. For the nine months ended September 30, 2019 and 2018, the Bank recorded $2 and $2, respectively, in MPF membership fee expense and transaction services fee expense to the FHLBank of Chicago.

In addition, the Bank receives a counterparty fee from the FHLBank of Chicago for facilitating the sale of loans under the MPF program. For the three and nine months ended September 30, 2019 and 2018, the Bank recorded de minimis amounts in MPF counterparty fee income from the FHLBank of Chicago, which were recorded in the Statements of Income as other income.

52

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 nine months ended September 30, 2019 and 2018, 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 19 — Subsequent Events

There were no material subsequent events identified, subsequent to September 30, 2019, until the time of the Form 10‑Q filing with the Securities and Exchange Commission.

53

ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

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

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

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

• the timing and volume of market activity;

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

• changes in the Bank’s capital structure and composition;

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

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

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

• changes in Bank members’ demand for Bank advances;

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

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

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

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

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

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

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

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

• changes in key Bank personnel;

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

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

• the possible discontinuance of the London Interbank Offered Rate (LIBOR) or any other interest rate benchmark and the adverse consequence it could have for market participants, including the Bank; and

• the satisfaction of any claims and payment of administrative expenses upon the Financing Corporation’s dissolution.

54

Readers of this report should not rely solely on the forward-looking statements and should consider all risks and uncertainties addressed throughout this report, as well as those discussed under “Item 1A. Risk Factors” in the Bank’s Annual Report on Form 10-K for the year ended December 31, 2018 (2018 Form 10-K).

Quarterly Overview

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

Net income for the third quarter of 2019 was $61 million, compared with net income of $102 million for the third quarter of 2018. The $41 million decrease in net income relative to the prior-year period primarily reflected an increase in net fair value losses associated with derivatives, hedged items, and financial instruments carried at fair value, which reduced both net interest income and other income.

Net interest income for the third quarter of 2019 was $112 million, compared with $153 million for the third quarter of 2018. The $41 million decrease in net interest income primarily reflected lower spreads on interest-earning assets and the impact of new hedge accounting guidance adopted on January 1, 2019, which requires changes in the fair value of a derivative that was designated as a fair value hedge, along with changes in the fair value of the hedged asset or liability that are attributable to the hedged risk, to be recorded in net interest income with the earnings effect of the hedged item. The guidance was applied prospectively, so the gains and losses on fair value hedges in the prior-year period are presented in other income. Net fair value losses on designated fair value hedges recorded in net interest income for the third quarter of 2019 were $11 million. The decline in net interest income was also due to a retrospective adjustment of the effective yields on mortgage loans driven by a lower interest rate environment.

Retained earnings were $3.4 billion at September 30, 2019, and $3.3 billion at December 31, 2018, resulting from net income of $214 million in the first nine months of 2019, partially offset by dividends at an annualized rate of 7.00%, totaling $166 million, including $155 million in dividends on capital stock and $11 million in dividends on mandatorily redeemable capital stock during the first nine months of 2019.

Total assets decreased $5.1 billion during the first nine months of 2019, to $104.2 billion at September 30, 2019, from $109.3 billion at December 31, 2018. Total advances decreased $10.6 billion, to $62.8 billion at September 30, 2019, from $73.4 billion at December 31, 2018. Investments increased $5.1 billion, to $37.5 billion at September 30, 2019, from $32.4 billion at December 31, 2018, primarily reflecting an increase in available-for-sale (AFS) securities.

Accumulated other comprehensive income (AOCI) increased by $32 million during the first nine months of 2019, to $267 million at September 30, 2019, from $235 million at December 31, 2018, primarily as a result of improvement in the fair value of MBS classified as AFS.

On October 24, 2019, the Bank’s Board of Directors declared a quarterly cash dividend on the capital stock outstanding during the third quarter of 2019 at an annualized rate of 7.00%. The dividend will total $54 million, including $3 million in dividends on mandatorily redeemable capital stock that will be reflected as interest expense in the fourth quarter of 2019. The Bank recorded the dividend on October 24, 2019, and expects to pay the dividend on or about November 12, 2019.

As of September 30, 2019, the Bank was in compliance with all of its regulatory capital requirements. The Bank’s total regulatory capital ratio was 6.2%, exceeding the 4.0% requirement. The Bank had $6.4 billion in permanent capital, exceeding its risk-based capital requirement of $1.5 billion.

55

The Bank will continue to monitor the condition of its balance sheet, its financial performance, its capital position, overall financial market conditions, and other relevant information as the basis for determining the payment of dividends in future quarters.

On October 2, 2019, the Financing Corporation, formed pursuant to the Federal Savings and Loan Insurance Corporation Recapitalization Act of 1987 to provide financing for the resolution of failed savings and loan associations, commenced the process of dissolution in accordance with relevant statutory requirements and the terms of a plan of dissolution approved by the Director of the Federal Housing Finance Agency (Finance Agency). Subject to the satisfaction of any claims and the payment of other administrative expenses upon the Financing Corporation’s dissolution, which is expected to occur in the first half of 2020, any surplus and remaining cash on hand of the Financing Corporation is expected to be distributed to the FHLBanks, as the Financing Corporation’s sole stockholders, in proportion to their ownership in the Financing Corporation’s nonvoting capital stock. The Bank’s ownership in the Financing Corporation’s nonvoting capital stock is 19.96%. The receipt by the FHLBanks of any such distribution from the Financing Corporation will be treated as a partial return of their prior capital contributions to the Financing Corporation and credited to their unrestricted retained earnings.

56

Financial Highlights

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

Financial Highlights

(Unaudited)

(Dollars in millions)	September 30, 2019			June 30, 2019			March 31, 2019			December 31, 2018			September 30, 2018
Selected Balance Sheet Items at Quarter End
Total Assets	$	104,153		$	106,762		$	110,577		$	109,326		$	102,973
Advances	62,826			67,189			70,262			73,434			69,359
Mortgage Loans Held for Portfolio, Net	3,382			3,327			3,160			3,066			2,892
Investments(1)	37,490			35,180			36,494			32,381			30,292
Consolidated Obligations:(2)
Bonds	67,431			73,915			74,094			72,276			71,405
Discount Notes	28,605			24,901			28,281			29,182			24,030
Mandatorily Redeemable Capital Stock	138			138			227			227			227
Capital Stock —Class B —Putable	2,898			2,967			2,959			2,949			2,883
Unrestricted Retained Earnings	2,715			2,719			2,732			2,699			2,737
Restricted Retained Earnings	690			678			668			647			633
Accumulated Other Comprehensive Income/(Loss) (AOCI)	267			300			287			235			337
Total Capital	6,570			6,664			6,646			6,530			6,590
Selected Operating Results for the Quarter
Net Interest Income	$	112		$	110		$	144		$	146		$	153
Provision for/(Reversal of) Credit Losses on Mortgage Loans	—			—			—			—			—
Other Income/(Loss)	3			(7		)	15			(15		)	7
Other Expense	47			48			43			49			46
Affordable Housing Program Assessment	7			6			12			9			12
Net Income/(Loss)	$	61		$	49		$	104		$	73		$	102
Selected Other Data for the Quarter
Net Interest Margin(3)	0.44		%	0.41		%	0.52		%	0.55		%	0.60		%
Operating Expenses as a Percent of Average Assets	0.15			0.15			0.12			0.15			0.14
Return on Average Assets	0.24			0.18			0.37			0.27			0.40
Return on Average Equity	3.65			2.91			6.34			4.40			6.26
Annualized Dividend Rate	7.00			7.00			7.00			13.44			7.00
Dividend Payout Ratio(4)	86.78			108.09			48.21			138.72			50.41
Average Equity to Average Assets Ratio	6.47			6.16			5.87			6.21			6.36
Selected Other Data at Quarter End
Regulatory Capital Ratio(5)	6.18			6.09			5.96			5.97			6.29
Duration Gap (in months)	1			1			1			1			1

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

(2) As provided by the FHLBank Act or regulations governing the operations of the FHLBanks, all of the FHLBanks have joint and several liability for FHLBank consolidated obligations, which are backed only by the financial resources of the FHLBanks. The joint and several liability regulation authorizes the Finance Agency to require any FHLBank to repay all or a portion of the principal or interest on consolidated obligations for which another FHLBank is the primary obligor. The Bank has never been asked or required to repay the principal or interest on any consolidated obligation on behalf of another FHLBank, and as of September 30, 2019, and through the filing date of this report, does not believe that it is probable that it will be asked to do so. The par value of the outstanding consolidated obligations of all FHLBanks at the dates indicated was as follows:

57

	Par Value (In millions)
September 30, 2019	$	1,010,271
June 30, 2019	1,048,412
March 31, 2019	1,010,895
December 31, 2018	1,031,617
September 30, 2018	1,019,098

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

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

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

Results of Operations

Net Interest Income. The primary source of the Bank’s earnings is net interest income, which is the interest earned on advances, mortgage loans, and investments, including net accretion of related income from improvement in expected cash flows on certain other-than-temporarily-impaired private-label residential mortgage-backed securities (PLRMBS), 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 three and nine months ended September 30, 2019 and 2018, 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.

58

Third Quarter of 2019 Compared to Third Quarter of 2018

Average Balance Sheets
	Three Months Ended
	September 30, 2019(1)							September 30, 2018
(Dollars in millions)	Average Balance			Interest Income/ Expense		Average Rate		Average Balance			Interest Income/ Expense		Average Rate
Assets
Interest-earning assets:
Interest-bearing deposits	$	2,458		$	14	2.27	%	$	2,249		$	12	1.97	%
Securities purchased under agreements to resell	7,712			45		2.29		6,254			31		1.97
Federal funds sold	3,834			22		2.28		6,290			34		2.15
Trading securities:
Mortgage-backed securities (MBS)	4			—		3.81		5			—		3.10
Other investments	249			1		2.50		657			4		2.30
Available-for-sale (AFS) securities:(2)
MBS(3)(4)	9,113			85		3.68		3,654			59		6.46
Other investments(4)	2,533			15		2.39		—			—		—
Held-to-maturity (HTM) securities:(2)
MBS	9,014			65		2.84		12,582			84		2.65
Other investments	38			—		2.62		172			1		2.55
Mortgage loans held for portfolio	3,369			18		2.09		2,799			26		3.64
Advances(4)	62,788			389		2.46		66,763			389		2.31
Total interest-earning assets	101,112			654		2.57		101,425			640		2.50
Other assets(5)(6)	816			—				905			—
Total Assets	$	101,928		$	654			$	102,330		$	640
Liabilities and Capital
Interest-bearing liabilities:
Consolidated obligations:
Bonds(4)	$	70,841		$	409	2.29	%	$	71,363		$	364	2.02	%
Discount notes	22,956			128		2.21		23,319			117		1.99
Deposits and other borrowings	344			2		2.18		258			1		1.84
Mandatorily redeemable capital stock	139			3		9.96		244			5		7.62
Total interest-bearing liabilities	94,280			542		2.28		95,184			487		2.03
Other liabilities(5)	1,056			—				640			—
Total Liabilities	95,336			542				95,824			487
Total Capital	6,592			—				6,506			—
Total Liabilities and Capital	$	101,928		$	542			$	102,330		$	487
Net Interest Income				$	112						$	153
Net Interest Spread(7)						0.29	%						0.47	%
Net Interest Margin(8)						0.44	%						0.60	%
Interest-earning Assets/Interest-bearing Liabilities	107.25		%					106.56		%

(1) Upon adoption of new hedging guidance applied prospectively on January 1, 2019, interest amounts reported for 2019 for advances, investment securities, and consolidated obligation bonds include the realized and unrealized gain/(loss) on hedged items and derivatives in qualifying hedge relationships.

(2) 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.

(3) Interest income on AFS securities includes accretion of yield adjustments on other-than-temporarily impaired PLRMBS (resulting from improvement in expected cash flows) totaling $15 million and $15 million for the three months ended September 30, 2019 and 2018, respectively.

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

59

	Three Months Ended
	September 30, 2019
(In millions)	Advances		AFS Securities			Consolidated Obligation Bonds			Total
Gain/(loss) on designated fair value hedges	$	—	$	(11	)	$	—		$	(11	)
Net interest settlements on derivatives	1		(4		)	(2		)	(5		)
Total net interest income/(expense)	$	1	$	(15	)	$	(2	)	$	(16	)

	Three Months Ended
	September 30, 2018
(In millions)	Advances		AFS Securities		Consolidated Obligation Bonds			Total
(Amortization)/accretion of hedging activities	$	1	—		$	—		$	1
Net interest settlements on derivatives	16		1		(6		)	11
Total net interest income/(expense)	$	17	$	1	$	(6	)	$	12

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

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

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

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

Net interest income in the third quarter of 2019 was $112 million, a 27% decrease from $153 million in the third quarter of 2018. The following table details the changes in interest income and interest expense for the third quarter of 2019 compared to the third quarter of 2018. Changes in both volume and interest rates influence changes in net interest income, net interest spread, and net interest margin.

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Change in Net Interest Income: Rate/Volume Analysis Three Months Ended September 30, 2019, Compared to Three Months Ended September 30, 2018
	Increase/ (Decrease)			Attributable to Changes in(1)
(In millions)				Average Volume			Average Rate
Interest-earning assets:
Interest-bearing deposits	$	2		$	1		$	1
Securities purchased under agreements to resell	14			8			6
Federal funds sold	(12		)	(14		)	2
Trading securities: Other investments	(3		)	(3		)	—
AFS securities:
MBS(2)	26			60			(34		)
Other investments(2)	15			15			—
HTM securities:
MBS	(19		)	(25		)	6
Other investments	(1		)	(1		)	—
Mortgage loans held for portfolio	(8		)	4			(12		)
Advances(2)	—			(24		)	24
Total interest-earning assets	14			21			(7		)
Interest-bearing liabilities:
Consolidated obligations:
Bonds(2)	45			(3		)	48
Discount notes	11			(2		)	13
Deposits and other borrowings	1			1			—
Mandatorily redeemable capital stock	(2		)	(3		)	1
Total interest-bearing liabilities	55			(7		)	62
Net interest income	$	(41	)	$	28		$	(69	)

(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 44 basis points for the third quarter of 2019, 16 basis points lower than the net interest margin for the third quarter of 2018, which was 60 basis points. The net interest spread was 29 basis points for the third quarter of 2019, 18 basis points lower than the net interest spread for the third quarter of 2018, which was 47 basis points. These decreases were primarily due to the effects of changes in market interest rates, interest rate volatility, and other market factors during the period and due to net fair value losses on hedging activities included in net interest income beginning January 1, 2019, upon implementation of Accounting Standards Update (ASU) 2017-12.

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 net accretion of income 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.

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Other Income/(Loss). The following table presents the components of “Other Income/(Loss)” for the three months ended September 30, 2019 and 2018.

Other Income/(Loss)
	Three Months Ended
(In millions)	September 30, 2019			September 30, 2018
Other Income/(Loss):
Total OTTI loss	$	(3	)	$	(3	)
Net amount of OTTI loss reclassified to/(from) AOCI	1			—
Net OTTI loss, credit-related	(2		)	(3		)
Net gain/(loss) on trading securities(1)	—			(1		)
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option	20			(12		)
Net gain/(loss) on derivatives and hedging activities(2)	(20		)	18
Other	5			5
Total Other Income/(Loss)	$	3		$	7

(1) The net gain/(loss) on trading securities that were economically hedged totaled de minimis amounts for the three months ended September 30, 2019 and 2018.

(2) Upon adoption of new hedging guidance applied prospectively on January 1, 2019, amounts reported for 2019 exclude the realized and unrealized gain/(loss) on hedged items and derivatives in qualifying hedge relationships.

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

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

Net Gain/(Loss) on Advances and Consolidated Obligation Bonds Held Under Fair Value Option – The following table presents the net gain/(loss) recognized in earnings on advances and consolidated obligation bonds held under the fair value option for the three months ended September 30, 2019 and 2018.

Net Gain/(Loss) on Advances and Consolidated Obligations Bonds Held Under Fair Value Option
	Three Months Ended
(In millions)	September 30, 2019			September 30, 2018
Advances	$	22		$	(15	)
Consolidated obligation bonds	(2		)	3
Total	$	20		$	(12	)

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

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

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Additional information about advances and consolidated obligation bonds held under the fair value option is provided in “Item 1. Financial Statements – Note 16 – Fair Value.”

Net Gain/(Loss) on Derivatives and Hedging Activities – Prior to January 1, 2019, for fair value hedges, 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.” The following table shows the accounting classification of hedges and the categories of hedged items that contributed to the gains and losses on derivatives and hedged items that were recorded in “Net gain/(loss) on derivatives and hedging activities” in the third quarter of 2019 and 2018.

Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives and Hedging Activities Three Months Ended September 30, 2019, Compared to Three Months Ended September 30, 2018
	Three Months Ended
(In millions)	September 30, 2019(1)									September 30, 2018
	Gain/(Loss) on			Income/ (Expense) on						Gain/(Loss)						Income/ (Expense) on
Hedged Item	Economic Hedges			Economic Hedges			Total			Fair Value Hedges, Net			Economic Hedges			Economic Hedges			Total
Advances:
Elected for fair value option	$	(21	)	$	2		$	(19	)	$	—		$	5		$	5		$	10
Not elected for fair value option	2			(2		)	—			(2		)	7			(3		)	2
Consolidated obligation bonds:
Elected for fair value option	1			—			1			—			(1		)	(1		)	(2		)
Not elected for fair value option	4			(2		)	2			—			5			(8		)	(3		)
Consolidated obligation discount notes:
Not elected for fair value option	(3		)	(1		)	(4		)	—			7			2			9
MBS:
Not elected for fair value option	(1		)	—			(1		)	1			—			—			1
Mortgage delivery commitment:
Not elected for fair value option	1			—			1			—			2			—			2
Price alignment amount(2)	—			—			—			—			(1		)	—			(1		)
Total	$	(17	)	$	(3	)	$	(20	)	$	(1	)	$	24		$	(5	)	$	18

(1) Upon adoption of new hedge accounting guidance applied prospectively on January 1, 2019, amounts reported for 2019 exclude the realized and unrealized gain/(loss) on hedged items and derivatives in qualifying hedge relationships.

(2) This amount is for derivatives for which variation margin is characterized as a daily settled contract.

During the third quarter of 2019, net losses on derivatives and hedging activities totaled $20 million compared to net gains of $18 million in the third quarter of 2018. These amounts included expense of $3 million and expense of $5 million resulting from net settlements on derivative instruments used in economic hedges in the third quarter of 2019 and 2018, respectively. Excluding the impact of income or expense from net settlements on derivative instruments used in economic hedges, the net gains or losses on fair value and economic hedges were primarily associated with the effects of changes in market interest rates, interest rate spreads, interest rate volatility, and other market factors during the period.

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

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

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Other Expense. During the third quarter of 2019, other expenses totaled $47 million, compared to $46 million in the third quarter of 2018.

Quality Jobs Fund Expense and Other – During the third quarter of 2019 and 2018, the Bank made voluntary charitable contributions of $5 million and $5 million, respectively, for the Quality Jobs Fund, as well as voluntary contributions of $1 million and $1 million, respectively, to the Affordable Housing Program (AHP) to offset the impact on the AHP assessment of the charitable contribution expense.

Nine Months Ended September 30, 2019, Compared to Nine Months Ended September 30, 2018

Average Balance Sheets
	Nine Months Ended
	September 30, 2019(1)							September 30, 2018
(Dollars in millions)	Average Balance			Interest Income/ Expense		Average Rate		Average Balance			Interest Income/ Expense		Average Rate
Assets
Interest-earning assets:
Interest-bearing deposits	$	2,222		$	40	2.41	%	$	1,601		$	22	1.81	%
Securities purchased under agreements to resell	8,021			144		2.40		4,625			63		1.82
Federal funds sold	5,263			99		2.51		9,616			127		1.77
Trading securities:
MBS	4			—		3.77		6			—		2.90
Other investments	406			8		2.65		745			12		2.04
AFS securities:(2)
MBS(3)(4)	8,061			246		4.08		3,429			172		6.72
Other investments(4)	854			15		2.39		—			—		—
HTM securities:(2)
MBS	9,838			218		2.95		13,225			246		2.49
Other investments	56			1		2.81		430			7		2.16
Mortgage loans held for portfolio	3,247			55		2.24		2,539			70		3.68
Advances(4)	69,233			1,343		2.59		75,794			1,138		2.01
Loans to other FHLBanks	9			—		2.95		1			—		1.70
Total interest-earning assets	107,214			2,169		2.71		112,011			1,857		2.22
Other assets(5)(6)	984			—				856			—
Total Assets	$	108,198		$	2,169			$	112,867		$	1,857
Liabilities and Capital
Interest-bearing liabilities:
Consolidated obligations:
Bonds(4)	$	73,014		$	1,306	2.39	%	$	75,050		$	1,010	1.80	%
Discount notes	26,993			480		2.38		30,001			373		1.66
Deposits and other borrowings	301			6		2.30		284			3		1.55
Mandatorily redeemable capital stock	188			11		8.10		274			16		7.70
Borrowings from other FHLBanks	7			—		2.43		6			—		1.66
Total interest-bearing liabilities	100,503			1,803		2.40		105,615			1,402		1.77
Other liabilities(5)	1,033			—				583			—
Total Liabilities	101,536			1,803				106,198			1,402
Total Capital	6,662			—				6,669			—
Total Liabilities and Capital	$	108,198		$	1,803			$	112,867		$	1,402
Net Interest Income				$	366						$	455
Net Interest Spread(7)						0.31	%						0.45	%
Net Interest Margin(8)						0.46	%						0.54	%
Interest-earning Assets/Interest-bearing Liabilities	106.68		%					106.06		%

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(1) Upon adoption of new hedging guidance applied prospectively on January 1, 2019, interest amounts reported for 2019 for advances, investment securities, and consolidated obligation bonds include the realized and unrealized gain/(loss) on hedged items and derivatives in qualifying hedge relationships.

(2) 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.

(3) Interest income on AFS securities includes accretion of yield adjustments on other-than-temporarily impaired PLRMBS (resulting from improvement in expected cash flows) totaling $46 million and $47 million for the nine months ended September 30, 2019 and 2018, respectively.

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

	Nine Months Ended
	September 30, 2019
(In millions)	Advances			AFS Securities			Consolidated Obligation Bonds			Total
Gain/(loss) on designated fair value hedges	$	(2	)	$	(33	)	$	(1	)	$	(36	)
Net interest settlements on derivatives	35			(9		)	(17		)	9
Total net interest income/(expense)	$	33		$	(42	)	$	(18	)	$	(27	)

	Nine Months Ended
	September 30, 2018
(In millions)	Advances		AFS Securities		Consolidated Obligation Bonds			Total
(Amortization)/accretion of hedging activities	$	1	$	—	$	—		$	1
Net interest settlements on derivatives	36		1		(13		)	24
Total net interest income/(expense)	$	37	$	1	$	(13	)	$	25

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

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

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

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

Net interest income in the first nine months of 2019 was $366 million, a 20% decrease from $455 million in the first nine months of 2018. The following table details the changes in interest income and interest expense for the first nine months of 2019 compared to the first nine months of 2018. Changes in both volume and interest rates influence changes in net interest income, net interest spread, and net interest margin.

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Change in Net Interest Income: Rate/Volume Analysis Nine Months Ended September 30, 2019, Compared to Nine Months Ended September 30, 2018
	Increase/ (Decrease)			Attributable to Changes in(1)
(In millions)				Average Volume			Average Rate
Interest-earning assets:
Interest-bearing deposits	$	18		$	10		$	8
Securities purchased under agreements to resell	81			56			25
Federal funds sold	(28		)	(70		)	42
Trading securities: Other investments	(4		)	(7		)	3
AFS securities:
MBS(2)	74			162			(88		)
Other investments(2)	15			15			—
HTM securities:
MBS	(28		)	(69		)	41
Other investments	(6		)	(8		)	2
Mortgage loans held for portfolio	(15		)	17			(32		)
Advances(2)	205			(105		)	310
Total interest-earning assets	312			1			311
Interest-bearing liabilities:
Consolidated obligations:
Bonds(2)	296			(28		)	324
Discount notes	107			(40		)	147
Deposits and other borrowings	3			—			3
Mandatorily redeemable capital stock	(5		)	(6		)	1
Total interest-bearing liabilities	401			(74		)	475
Net interest income	$	(89	)	$	75		$	(164	)

(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 46 basis points for the first nine months of 2019, 8 basis points lower than the net interest margin for the first nine months of 2018, which was 54 basis points. The net interest spread was 31 basis points for the first nine months of 2019, 14 basis point lower than the net interest spread for the first nine months of 2018, which was 45 basis points. These decreases were primarily due to the effects of changes in market interest rates, interest rate volatility, and other market factors during the period and due to net fair value losses on hedging activities included in net interest income beginning January 1, 2019, upon implementation of ASU 2017-12.

Other Income/(Loss). The following table presents the components of “Other Income/(Loss)” for the nine months ended September 30, 2019 and 2018.

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Other Income/(Loss)
	Nine Months Ended
(In millions)	September 30, 2019			September 30, 2018
Other Income/(Loss):
Total OTTI loss	$	(8	)	$	(19	)
Net amount of OTTI loss reclassified to/(from) AOCI	—			10
Net OTTI loss, credit-related	(8		)	(9		)
Net gain/(loss) on trading securities(1)	(1		)	(2		)
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option	111			(65		)
Net gain/(loss) on derivatives and hedging activities(2)	(109		)	66
Other	18			14
Total Other Income/(Loss)	$	11		$	4

(1) The net gain/(loss) on trading securities that were economically hedged totaled $(1) million and $1 million for the nine months ended September 30, 2019 and 2018, respectively.

(2) Upon adoption of new hedge accounting guidance applied prospectively on January 1, 2019, amounts reported for 2019 exclude the realized and unrealized gain/(loss) on hedged items and derivatives in qualifying hedge relationships.

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

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

Net Gain/(Loss) on Advances and Consolidated Obligation Bonds Held Under Fair Value Option – The following table presents the net gain/(loss) on advances and consolidated obligation bonds held under the fair value option for the nine months ended September 30, 2019 and 2018.

Net Gain/(Loss) on Advances and Consolidated Obligation Bonds Held Under Fair Value Option
	Nine Months Ended
(In millions)	September 30, 2019			September 30, 2018
Advances	$	125		$	(78	)
Consolidated obligation bonds	(14		)	13
Total	$	111		$	(65	)

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

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

Additional information about advances and consolidated obligation bonds held under the fair value option is provided in “Item 1. Financial Statements – Note 16 – Fair Value.”

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Net Gain/(Loss) on Derivatives and Hedging Activities – Prior to January 1, 2019, for fair value hedges, 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.” The following table shows the accounting classification of hedges and the categories of hedged items that contributed to the gains and losses on derivatives and hedged items that were recorded in “Net gain/(loss) on derivatives and hedging activities” in the first nine months of 2019 and 2018.

Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives and Hedging Activities Nine Months Ended September 30, 2019, Compared to Nine Months Ended September 30, 2018
	Nine Months Ended
(In millions)	September 30, 2019(1)									September 30, 2018
	Gain/(Loss) on			Income/ (Expense) on						Gain/(Loss)						Income/ (Expense) on
Hedged Item	Economic Hedges			Economic Hedges			Total			Fair Value Hedges, Net			Economic Hedges			Economic Hedges			Total
Advances:
Elected for fair value option	$	(127	)	$	17		$	(110	)	$	—		$	74		$	8		$	82
Not elected for fair value option	12			(7		)	5			3			(5		)	(4		)	(6		)
Consolidated obligation bonds:
Elected for fair value option	12			(3		)	9			—			(12		)	(1		)	(13		)
Not elected for fair value option	45			(15		)	30			(1		)	(39		)	(11		)	(51		)
Consolidated obligation discount notes:
Not elected for fair value option	(45		)	—			(45		)	—			48			(4		)	44
MBS:
Not elected for fair value option	(1		)	—			(1		)	1			—			—			1
Mortgage delivery commitment:
Not elected for fair value option	3			—			3			—			11			—			11
Price alignment amount(2)	—			—			—			—			(2		)	—			(2		)
Total	$	(101	)	$	(8	)	$	(109	)	$	3		$	75		$	(12	)	$	66

(1) Upon adoption of new hedge accounting guidance applied prospectively on January 1, 2019, amounts reported for 2019 exclude the realized and unrealized gain/(loss) on hedged items and derivatives in qualifying hedge relationships.

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

During the first nine months of 2019, net losses on derivatives and hedging activities totaled $109 million compared to net gains of $66 million in the first nine months of 2018. These amounts included expense of $8 million and expense of $12 million resulting from net settlements on derivative instruments used in economic hedges in the first nine months of 2019 and 2018, 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.

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

Other Expense. During the first nine months of 2019, other expenses totaled $138 million, compared to $138 million in the first nine months of 2018.

Quality Jobs Fund Expense and Other – During the first nine months of 2019 and 2018, the Bank made voluntary charitable contributions of $15 million and $20 million, respectively, for the Quality Jobs Fund, as well as voluntary contributions of $2 million and $2 million, respectively, to the AHP to offset the impact on the AHP assessment of the charitable contribution expense.

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Return on Average Equity

Return on average equity (ROE) was 3.65% (annualized) for the third quarter of 2019, compared to 6.26% (annualized) for the third quarter of 2018. The decrease primarily reflected lower net income for the third quarter of 2019, which decreased 40%, from $102 million in the third quarter of 2018 to $61 million in the third quarter of 2019.

ROE was 4.29% (annualized) for the first nine months of 2019, compared to 5.76% (annualized) for the first nine months of 2018. The decrease primarily reflected lower net income for the first nine months of 2019, which decreased 25%, from $287 million in the first nine months of 2018 to $214 million in the first nine months of 2019.

Dividends and Retained Earnings

In the third quarter of 2019, the Bank paid dividends at an annualized rate of 7.00%, totaling $56 million, including $53 million in dividends on capital stock and $3 million in dividends on mandatorily redeemable capital stock. In the third quarter of 2018, the Bank paid dividends at an annualized rate of 7.00%, totaling $56 million, including $51 million in dividends on capital stock and $5 million in dividends on mandatorily redeemable capital stock.

In the first nine months of 2019, the Bank paid dividends at an annualized rate of 7.00%, totaling $166 million, including $155 million in dividends on capital stock and $11 million in dividends on mandatorily redeemable capital stock. In the first nine months of 2018, the Bank paid dividends at an annualized rate of 7.00%, totaling $178 million, including $162 million in dividends on capital stock and $16 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.

On October 24, 2019, the Bank’s Board of Directors declared a cash dividend on the capital stock outstanding during the third quarter of 2019 at an annualized rate of 7.00%, totaling $54 million, including $51 million in dividends on capital stock and $3 million in dividends on mandatorily redeemable capital stock. The Bank recorded the dividend on October 24, 2019. The Bank expects to pay the dividend on November 12, 2019. Dividends on mandatorily redeemable capital stock will be recognized as interest expense in the fourth quarter of 2019.

The Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework (Framework) assesses the level and adequacy of retained earnings and establishes amounts to be retained in restricted retained earnings, which are not made available in the current dividend period, and maintains an amount of total retained earnings at least equal to its required retained earnings as described in the Framework. As determined using the Bank’s methodology, the required level of total retained earnings was $2.5 billion from January 2018 through July 2019. In July 2019, the methodology was further revised to provide a required level of retained earnings of $2.4 billion. The Bank satisfies its retained earnings requirement with both restricted retained earnings (i.e., amounts related to the Joint Capital Enhancement Agreement) and unrestricted retained earnings. 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. Total restricted retained earnings were $690 million and $647 million as of September 30, 2019, and December 31, 2018, respectively.

The Bank will continue to monitor the condition of its balance sheet, its financial performance, its capital position, overall financial market conditions, and other relevant information as the basis for determining the payment of dividends in future quarters.

For more information, see “Item 1. Financial Statements – Note 13 – Capital” in this report and see “Item 1. Business – Dividends and Retained Earnings,” “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Liquidity Risk,” and “Item 8. Financial Statements and

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Supplementary Data – Note 15 – Capital – Excess Stock Repurchase, Retained Earnings, and Dividend Framework” in the Bank’s 2018 Form 10‑K.

Financial Condition

Total assets were $104.2 billion at September 30, 2019, compared to $109.3 billion at December 31, 2018. Advances decreased by $10.6 billion, or 14%, to $62.8 billion at September 30, 2019, from $73.4 billion at December 31, 2018. MBS investments increased by $0.7 billion, or 4%, to $18.6 billion at September 30, 2019, from $17.9 billion at December 31, 2018. Average total assets were $101.9 billion for the third quarter of 2019 and were $102.3 billion for the third quarter of 2018. Average total assets were $108.2 billion for the first nine months of 2019, a 4% decrease compared to $112.9 billion for the first nine months of 2018. Average advances were $62.8 billion for the third quarter of 2019, a 6% decrease from $66.8 billion for the third quarter of 2018. Average advances were $69.2 billion for the first nine months of 2019, a 9% decrease from $75.8 billion for the first nine months of 2018. Average MBS were $18.1 billion for the third quarter of 2019, a 12% increase from $16.2 billion for the third quarter of 2018. Average MBS investments were $17.9 billion for the first nine months of 2019, a 7% increase from $16.7 billion for the first nine months of 2018.

Advances outstanding at September 30, 2019, included unrealized gains of $387 million, of which $293 million represented unrealized gains on advances hedged in accordance with the accounting for derivative instruments and hedging activities and $94 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, 2018, included unrealized losses of $61 million, of which $32 million represented unrealized losses on advances hedged in accordance with the accounting for derivative instruments and hedging activities and $29 million represented unrealized losses on economically hedged advances that are carried at fair value in accordance with the fair value option. The overall increase in the unrealized gains on the hedged advances and advances carried at fair value from December 31, 2018, to September 30, 2019, 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 $97.6 billion at September 30, 2019, a decrease of $5.2 billion from $102.8 billion at December 31, 2018, reflecting a $5.5 billion decrease in consolidated obligations outstanding to $96.0 billion at September 30, 2019, from $101.5 billion at December 31, 2018. Average total liabilities were $95.3 billion for the third quarter of 2019 and were $95.8 billion for the third quarter of 2018. Average total liabilities were $101.5 billion for the first nine months of 2019, a 4% decrease compared to $106.2 billion for the first nine months of 2018. Average consolidated obligations were $93.8 billion for the third quarter of 2019 and $94.7 billion for the third quarter of 2018. Average consolidated obligations were $100.0 billion for the first nine months of 2019 and $105.1 billion for the first nine months of 2018.

Consolidated obligations outstanding at September 30, 2019, included unrealized losses of $13 million on consolidated obligation bonds hedged in accordance with the accounting for derivative instruments and hedging activities and unrealized losses of $2 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, 2018, included unrealized gains of $48 million on consolidated obligation bonds hedged in accordance with the accounting for derivative instruments and hedging activities and unrealized gains of $5 million on economically hedged consolidated obligation bonds that are carried at fair value in accordance with the fair value option. The decrease in the net unrealized losses on the hedged consolidated obligation bonds and on the consolidated obligation bonds carried at fair value from December 31, 2018, to September 30, 2019, 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

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required to repay the principal or interest on any consolidated obligation on behalf of another FHLBank, and as of September 30, 2019, and through the filing date of this report, does not believe that it is probable that it will be asked to do so. The par value of the outstanding consolidated obligations of the FHLBanks was $1,010.3 billion at September 30, 2019, and $1,031.6 billion at December 31, 2018.

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 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.

Certain Bank assets, liabilities, and derivatives are indexed to LIBOR. The Bank recognizes that the possible discontinuation of LIBOR presents risks and challenges that could have an impact on the Bank’s business. For information about the risks to the Bank from discontinuation of LIBOR, see “Part I. Item 1A. Risk Factors” in the Bank’s 2018 Form 10‑K. Accordingly, the Bank has established the LIBOR Transition Working Group, led by the Chief Financial Officer, and developed a LIBOR Phase Out Transition Plan (Transition Plan). Among other things, the Transition Plan addresses three key strategies to mitigate the risks to the Bank associated with the discontinuation of LIBOR: (i) execute hedging strategies that permit alternative reference rates, including the Secured Overnight Financing Rate (SOFR), (ii) transact SOFR-indexed advances and bonds, and (iii) where practicable, implement improved fallback provisions for the discontinuation of LIBOR in new and legacy contracts. In addition, the Transition Plan limits new LIBOR transactions with maturities beyond the end of 2021 consistent with the limits set by the Finance Agency’s Supervisory Letter issued on September 27, 2019. The Transition Plan states that the Bank’s Asset and Liability Management Committee has primary responsibility for driving the transition from LIBOR to SOFR and that the Bank’s Business Development Committee is responsible for advance product development to facilitate our members’ transition from LIBOR to an alternative index.

Market activity in SOFR-indexed financial instruments continues to increase. During the nine months ended September 30, 2019, the Bank issued $37.8 billion in SOFR-indexed consolidated obligation bonds. For more information on LIBOR-indexed advances see “Management’s Discussion and Analysis of Financial Condition and Results of Operations – Financial Condition.” For more information on LIBOR-indexed investments and derivatives, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management.”

Segment Information

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

Advances-Related Business. The advances-related business consists of advances and other credit products, related financing and hedging instruments, liquidity and other non-MBS investments associated with the Bank’s role as a liquidity provider, and capital. Assets associated with this segment decreased $6.2 billion to $82.1 billion (79% of total assets) at September 30, 2019, from $88.3 billion (81% of total assets) at December 31, 2018.

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

Adjusted net interest income for this segment was $72 million in the third quarter of 2019, a decrease of $10 million, or 12% compared with $82 million in the third quarter of 2018. The decrease was primarily due to a decline in both spreads and balances on advances-related assets. In the first nine months of 2019, adjusted net interest income for this segment was $237 million, a decrease of $2 million, or 1%, compared to $239 million in the first nine months of 2018. This decrease was primarily due to a decline in advances balances, partially offset by an improvement in spreads in advances-related assets.

Adjusted net interest income for this segment represented 55% and 54% of total adjusted net interest income for the third quarter of 2019 and 2018, respectively, and 56% and 52% of total adjusted net interest income for the first nine months of 2019 and 2018, respectively.

Advances – The par value of advances outstanding decreased by $11.1 billion, or 15%, to $62.4 billion at September 30, 2019, from $73.5 billion at December 31, 2018. Average advances outstanding were $62.8 billion for the third quarter of 2019, a 6% decrease from $66.8 billion for the third quarter of 2018. Average advances outstanding were $69.2 billion for the first nine months of 2019, a 9% decrease from $75.8 billion for the first nine months of 2018. Outstanding balances of advances may significantly increase and decrease from period to period because of a member’s liquidity and financial strategies.

As of September 30, 2019, advances outstanding to the Bank’s top five borrowers and their affiliates decreased by $1.8 billion, and advances outstanding to the Bank’s other borrowers decreased by $9.3 billion. Advances to the top five borrowers decreased to $44.0 billion at September 30, 2019, from $45.8 billion at December 31, 2018. (See “Item 1. Financial Statements – Note 7 – Advances – Credit and Concentration Risk” for further information.)

The Bank has a significant long-term funding arrangement with a member that contributes to the level of outstanding advances. It is possible that our advances may increase or decrease to the extent our members elect to use alternative funding resources.

The $11.1 billion decrease in advances outstanding reflected a $4.1 billion decrease in adjustable rate advances, a $3.6 billion decrease in fixed rate advances, and a $3.4 billion decrease in variable rate advances.

The Bank has begun to offer SOFR-indexed advances to its members. The components of the advances portfolio at September 30, 2019, and December 31, 2018, are presented in the following table.

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Advances Portfolio by Product Type
	September 30, 2019				December 31, 2018
(Dollar in millions)	Par Value		Percentage of Total Par Value		Par Value		Percentage of Total Par Value
Adjustable – LIBOR	$	8,760	14	%	$	13,532	18	%
Adjustable – LIBOR, callable at borrower’s option	13,250		21		12,500		17
Adjustable – LIBOR, with caps and/or floors and PPS(1)	30		—		83		—
Adjustable – SOFR	5		—		—		—
Subtotal adjustable rate advances	22,045		35		26,115		35
Fixed	20,606		33		31,462		43
Fixed – amortizing	243		1		218		—
Fixed – with PPS(1)	3,539		6		3,819		5
Fixed – with FPS(1)	11,926		19		3,405		5
Fixed – with caps and PPS(1)	210		—		485		1
Fixed – callable at borrower’s option	74		—		752		1
Fixed – callable at borrower’s option with PPS(1)	—		—		3		—
Fixed – putable at Bank’s option with PPS(1)	20		—		20		—
Subtotal fixed rate advances	36,618		59		40,164		55
Daily variable rate	3,776		6		7,216		10
Total par value	$	62,439	100	%	$	73,495	100	%

(1) Partial prepayment symmetry (PPS) and full prepayment symmetry (FPS) are product features under which the Bank may charge the borrower a prepayment fee or pay the borrower a prepayment credit, depending on certain circumstances, such as movements in interest rates, when the advance is prepaid. 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.

The table below presents the par value of LIBOR-indexed advances by redemption term at September 30, 2019.

LIBOR-Indexed Advances by Redemption Term
(In millions)
September 30, 2019
(Redemption term)	Par Value
Due in 2019	$	2,200
Due in 2020	9,110
Due in 2021	10,450
Due in 2022 and thereafter(1)	280
Total LIBOR-Indexed Advances	$	22,040

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

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 $18.9 billion and $14.5 billion as of September 30, 2019, and December 31, 2018, respectively. The increase in the total size of the non-MBS investment portfolio reflects new purchases of U.S. Treasury bonds.

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Interest rate payment terms for non-MBS investments classified as trading, AFS, and held-to-maturity (HTM) at September 30, 2019, and December 31, 2018, are detailed in the following table:

Non-MBS Investments: Interest Rate Payment Terms
(In millions)	September 30, 2019		December 31, 2018
Fair value of trading securities:
Adjustable rate	$	—	$	656
Total trading securities	$	—	$	656
Amortized cost of AFS securities:
Fixed rate	$	5,290	$	—
Total AFS securities	$	5,290	$	—
Amortized cost of HTM securities other than MBS:
Adjustable rate	$	32	$	100
Total	$	32	$	100

Borrowings – Total liabilities (primarily consolidated obligations) funding the advances-related business decreased to $75.6 billion at September 30, 2019, from $81.7 billion at December 31, 2018. For further information and discussion of the Bank’s joint and several liability for FHLBank consolidated obligations, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations – Financial Condition” and “Item 1. Financial Statements – Note 17 – Commitments and Contingencies.”

To meet the specific needs of certain investors, fixed and adjustable rate consolidated obligation bonds may contain embedded call options or other features that result in complex coupon payment terms. When these consolidated obligation bonds are issued on behalf of the Bank, typically the Bank simultaneously enters into interest rate exchange agreements with features that offset the complex features of the bonds and, in effect, convert the bonds to adjustable rate instruments. 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.

At September 30, 2019, the notional amount of interest rate exchange agreements associated with the advances-related business totaled $82.9 billion, of which $43.8 billion were hedging advances, $33.9 billion were hedging consolidated obligations, and $5.2 billion were economically hedging non-MBS investments. At December 31, 2018, the notional amount of interest rate exchange agreements associated with the advances-related business totaled $89.4 billion, of which $39.3 billion were hedging advances, $49.6 billion were hedging consolidated obligations, and $0.5 billion were economically hedging trading securities. The hedges associated with advances and consolidated obligations were primarily used to convert the fixed rate cash flows of the advances and consolidated obligations to adjustable rate cash flows or to manage the interest rate sensitivity and net repricing gaps of assets, liabilities, and interest rate exchange agreements.

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

The following table presents a comparison of selected market interest rates as of September 30, 2019, and December 31, 2018. The Federal Reserve lowered the target range for overnight Federal funds for the second time since yearend. As of September 30, 2019, the SOFR, 3-month U.S. Treasury Bill, 3-month LIBOR, 2-year U.S. Treasury notes, and 5-year U.S. Treasury note rates declined relative to December 31, 2018.

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Selected Market Interest Rates
Market Instrument	September 30, 2019		December 31, 2018		September 30, 2018		December 31, 2017
Federal Reserve target range for overnight Federal funds	1.75-2.00	%	2.25-2.50	%	2.00-2.25	%	1.25-1.50	%
Secured Overnight Financing Rate	2.35		3.00		N/A		N/A
3-month Treasury bill	1.78		2.36		2.16		1.36
3-month LIBOR	2.09		2.81		2.40		1.69
2-year Treasury note	1.62		2.49		2.82		1.89
5-year Treasury note	1.55		2.51		2.95		2.21

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

At September 30, 2019, assets associated with this segment were $22.0 billion (21% of total assets), an increase of $0.9 billion from $21.1 billion at December 31, 2018 (19% of total assets).

Adjusted net interest income for this segment was $60 million in the third quarter of 2019, a decrease of $11 million, or 15%, compared with $71 million in the third quarter of 2018. In the first nine months of 2019, adjusted net interest income for this segment was $186 million, a decrease of $33 million, or 15%, compared to $219 million in the first nine months of 2018. The decrease in adjusted net interest income was due to lower spreads on mortgage-related assets, primarily caused by lower spreads on new MBS investments, higher premium amortization expense, and lower accretion-related income, which more than offset the impact of higher average balances of MBS investments and mortgage loans.

Adjusted net interest income for this segment represented 45% and 46% of total adjusted net interest income for the third quarter of 2019 and 2018, respectively, and 44% and 48% of total adjusted net interest income for the first nine months of 2019 and 2018, respectively.

MBS Investments – The Bank’s MBS portfolio was $18.6 billion at September 30, 2019, compared with $17.9 billion at December 31, 2018. During the first nine months of 2019, the Bank’s MBS portfolio increased primarily because of $2.8 billion in new agency MBS investment purchases and an increase in basis adjustments for active hedging relationships of $0.6 billion, partially offset by $2.9 billion in principal repayments. Average MBS investments were $18.1 billion in the third quarter of 2019, an increase of $1.9 billion from $16.2 billion in the third quarter of 2018. Average MBS investments were $17.9 billion in the first nine months of 2019, an increase of $1.2 billion from $16.7 billion in the first nine months of 2018. For a discussion of the composition of the Bank’s MBS portfolio, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Investments.”

Interest rate payment terms for MBS investments classified as trading, AFS, and HTM at September 30, 2019, and December 31, 2018, are shown in the following table:

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MBS Investments: Interest Rate Payment Terms
(In millions)	September 30, 2019		December 31, 2018
Fair value of trading securities:
Adjustable rate	$	4	$	5
Total trading securities	$	4	$	5
Amortized cost of AFS securities:
Fixed rate	$	7,863	$	4,506
Adjustable rate	1,877		2,170
Total AFS securities	$	9,740	$	6,676
Amortized cost of HTM securities:
Fixed rate	$	2,331	$	2,950
Adjustable rate	6,203		8,042
Total HTM securities	$	8,534	$	10,992

MPF Program – Under the MPF Program, the Bank may purchase from members, for its own portfolio, conventional conforming fixed rate mortgage loans under the MPF Original product and mortgage loans insured by the Federal Housing Administration (FHA) or guaranteed by the Department of Veterans Affairs (VA) under the MPF Government product. In addition, the Bank may facilitate the purchase of conforming fixed rate mortgage loans from members for concurrent sale to Fannie Mae under the MPF Xtra product; of jumbo fixed rate mortgage loans for concurrent sale to Redwood Residential Acquisition Corporation, a subsidiary of Redwood Trust, Inc., a real estate investment trust, under the MPF Direct product; and of government-insured or government-guaranteed mortgage loans that will be packaged into securities backed by the mortgage loans and guaranteed by Ginnie Mae under the MPF Government MBS product. When members sell mortgage loans under the MPF Xtra, MPF Direct, and MPF Government MBS products, the loans are sold to a third-party investor and are not recorded on the Bank’s Statements of Condition.

As of September 30, 2019, 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 Finance Agency each year. All MPF loans are secured by owner-occupied, one- to four-unit residential properties or single-unit second homes. The Bank purchased $910 million in eligible loans under the MPF Original product during 2019.

Mortgage loan balances increased to $3.4 billion at September 30, 2019, from $3.1 billion at December 31, 2018, an increase of $0.3 billion. Average mortgage loans were $3.4 billion in the third quarter of 2019, an increase of $0.6 billion from $2.8 billion in the third quarter of 2018. Average mortgage loans were $3.2 billion in the first nine months of 2019, an increase of $0.7 billion from $2.5 billion in the first nine months of 2018.

At September 30, 2019, and December 31, 2018, the Bank held conventional conforming fixed rate mortgage loans purchased under one of two MPF products, MPF Plus or MPF Original, which are described in greater detail in “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Credit Risk – MPF Program” in the Bank’s 2018 Form 10-K. Mortgage loan balances at September 30, 2019, and December 31, 2018, were as follows:

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Mortgage Loan Balances by MPF Product Type
(In millions)	September 30, 2019			December 31, 2018
MPF Plus	$	186		$	213
MPF Original	3,116			2,754
Subtotal	3,302			2,967
Unamortized premiums	83			104
Unamortized discounts	(3		)	(5		)
Mortgage loans held for portfolio	3,382			3,066
Less: Allowance for credit losses	—			—
Mortgage loans held for portfolio, net	$	3,382		$	3,066

The Bank performs periodic reviews of its mortgage loan portfolio to identify probable credit losses in the portfolio and to determine the likelihood of collection on the loans in the portfolio. For more information on the Bank’s mortgage loan portfolio, see “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Credit Risk – MPF Program” and “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Critical Accounting Policies and Estimates – Allowance for Credit Losses – Mortgage Loans Acquired Under the MPF Program” in the Bank’s 2018 Form 10‑K.

Borrowings – Total consolidated obligations funding the mortgage-related business increased $0.9 billion to $22.0 billion at September 30, 2019, from $21.1 billion at December 31, 2018. For further information and discussion of the Bank’s joint and several liability for FHLBank consolidated obligations, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations – Financial Condition” and “Item 1. Financial Statements – Note 17 – Commitments and Contingencies.”

The notional amount of derivative instruments associated with the mortgage-related business totaled $13.2 billion at September 30, 2019, of which $5.5 billion were hedging or were associated with consolidated obligations funding the mortgage portfolio, $7.6 billion were associated with MBS, and $0.1 billion were associated with mortgage delivery commitments. The notional amount of derivative instruments associated with the mortgage-related business totaled $12.1 billion at December 31, 2018, of which $6.9 billion were hedging or were associated with consolidated obligations funding the mortgage portfolio and $5.2 billion were associated with MBS.

For information on the Bank’s management of interest rate risk and market risk related to the mortgage-related business segment, see “Item 3. Quantitative and Qualitative Disclosures About Market Risk.”

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 market risks inherent in its ordinary course of business, including its lending, investment, and funding activities. For more information on the primary strategies that the Bank employs for using interest rate exchange agreements and the associated market risks, see “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Market Risk – Interest Rate Exchange Agreements” in the Bank’s 2018 Form 10-K.

The following table summarizes the Bank’s interest rate exchange agreements by type of hedged item, hedging instrument, associated hedging strategy, accounting designation as specified under the accounting for derivative instruments and hedging activities, and notional amount as of September 30, 2019, and December 31, 2018.

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Interest Rate Exchange Agreements
(In millions)			Notional Amount
Hedging Instrument	Hedging Strategy	Accounting Designation	September 30, 2019		December 31, 2018
Hedged Item: Advances
Pay fixed, receive adjustable interest rate swap	Fixed rate advance converted to an adjustable rate	Fair Value Hedge	$	27,093	$	30,045
Pay adjustable, receive adjustable basis swap	Adjustable rate advance converted to another adjustable rate index	Economic Hedge(1)	7,550		—
Received fixed, pay adjustable interest rate swap	Adjustable rate advance converted to a fixed rate	Economic Hedge(1)	2,160		2,237
Pay fixed, receive adjustable interest rate swap	Fixed rate advance converted to an adjustable rate	Economic Hedge(1)	3,006		1,815
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 an adjustable rate; advance and swap may be callable or putable; matched to advance accounted for under the fair value option	Economic Hedge(1)	3,918		5,079
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)	30		83
Subtotal Economic Hedges(1)			16,664		9,214
Total			43,757		39,259
Hedged Item: Non-Callable Bonds
Receive fixed or structured, pay adjustable interest rate swap	Fixed rate or structured rate non-callable bond converted to an adjustable rate	Fair Value Hedge	3,062		4,496
Receive fixed or structured, pay adjustable interest rate swap	Fixed rate or structured rate non-callable bond converted to an adjustable rate	Economic Hedge(1)	525		1,596
Receive fixed or structured, pay adjustable interest rate swap	Fixed rate or structured rate non-callable bond converted to an adjustable rate; matched to non-callable bond accounted for under the fair value option	Economic Hedge(1)	170		235
Basis swap	Fixed rate or adjustable rate non-callable bond previously converted to an adjustable rate index, converted to another adjustable rate index to reduce interest rate sensitivity and repricing gaps	Economic Hedge(1)	4,235		19,710
Subtotal Economic Hedges(1)			4,930		21,541
Total			7,992		26,037

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Interest Rate Exchange Agreements (continued)
(In millions)			Notional Amount
Hedging Instrument	Hedging Strategy	Accounting Designation	September 30, 2019		December 31, 2018
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 an adjustable rate; swap is callable	Fair Value Hedge	2,013		2,214
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 an adjustable rate; swap is callable	Economic Hedge(1)	2,077		3,657
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 an adjustable rate; swap is callable; matched to callable bond accounted for under the fair value option	Economic Hedge(1)	405		1,789
Subtotal Economic Hedges(1)			2,482		5,446
Total			4,495		7,660
Hedged Item: Discount Notes
Pay fixed, receive adjustable callable interest rate swap	Discount note, which may have been previously converted to an adjustable rate, converted to fixed rate callable debt that offsets the prepayment risk of mortgage assets	Economic Hedge(1)	1,205		1,725
Basis swap or receive fixed, pay adjustable interest rate swap	Discount note converted to short-term adjustable rate to hedge repricing gaps	Economic Hedge(1)	24,654		20,095
Pay fixed, receive adjustable non-callable interest rate swap	Discount note, which may have been previously converted to an adjustable rate, converted to fixed rate non-callable debt that offsets the interest rate risk of mortgage assets	Economic Hedge(1)	1,050		960
Total			26,909		22,780
Hedged Item: Investment Securities
Pay fixed, receive adjustable interest rate swap	Fixed rate investment securities converted to an adjustable rate	Fair Value Hedge	11,859		3,749
Basis swap	Basis swap hedging adjustable rate Federal Farm Credit Bank (FFCB) bonds	Economic Hedge(1)	—		500
Interest rate cap	Interest rate cap used to offset cap risk embedded in floating rate investment securities	Economic Hedge(1)	980		1,480
Subtotal Economic Hedges(1)			980		1,980
Total			12,839		5,729
Stand-Alone Derivatives
Mortgage delivery commitments	N/A	N/A	95		12
Total			95		12
Total Notional Amount			$	96,087	$	101,477

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

The following tables categorize the notional amounts and estimated fair values of the Bank’s derivative instruments, unrealized gains and losses from the related hedged items, and estimated fair value gains and losses from financial instruments carried at fair value by type of accounting treatment and product as of September 30, 2019, and December 31, 2018.

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Derivative Instruments Notional Amounts and Estimated Fair Values
September 30, 2019
(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	$	27,093	$	5		$	293		$	—		$	298
Non-callable bonds	3,062		(4		)	(14		)	—			(18		)
Callable bonds	2,013		(1		)	1			—			—
Treasury securities	5,250		—			(5		)	—			(5		)
MBS	6,609		(519		)	647			—			128
Subtotal	44,027		(519		)	922			—			403
Not qualifying for hedge accounting:
Advances	16,664		(8		)	—			83			75
Non-callable bonds	4,930		4			—			(2		)	2
Callable bonds	2,482		(1		)	—			1			—
Discount notes	26,909		—			—			—			—
MBS	980		—			—			—			—
Mortgage delivery commitments	95		—			—			—			—
Subtotal	52,060		(5		)	—			82			77
Total excluding accrued interest	96,087		(524		)	922			82			480
Accrued interest	—		(1		)	18			9			26
Total	$	96,087	$	(525	)	$	940		$	91		$	506

December 31, 2018
(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	$	30,045	$	(14	)	$	(32	)	$	—		$	(46	)
Non-callable bonds	4,496		(9		)	17			—			8
Callable bonds	2,214		(30		)	31			—			1
MBS	3,749		(42		)	91			—			49
Subtotal	40,504		(95		)	107			—			12
Not qualifying for hedge accounting:
Advances	9,214		11			—			(43		)	(32		)
Non-callable bonds	21,541		5			—			—			5
Callable bonds	5,446		(46		)	—			14			(32		)
Discount notes	22,780		24			—			—			24
FFCB bonds	500		(1		)	—			—			(1		)
MBS	1,480		1			—			—			1
Mortgage delivery commitments	12		—			—			—			—
Subtotal	60,973		(6		)	—			(29		)	(35		)
Total excluding accrued interest	101,477		(101		)	107			(29		)	(23		)
Accrued interest	—		40			(63		)	4			(19		)
Total	$	101,477	$	(61	)	$	44		$	(25	)	$	(42	)

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

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Concentration Risk. The following table presents the concentration in derivatives with derivative counterparties whose outstanding notional balances represented 10% or more of the Bank’s total notional amount of derivatives outstanding as of September 30, 2019, and December 31, 2018.

Concentration of Derivative Counterparties
(Dollars in millions)	September 30, 2019					December 31, 2018
Derivative Counterparty	Credit   Rating(1)	Notional Amount		Percentage of Total Notional Amount		Credit   Rating(1)	Notional Amount		Percentage of Total Notional Amount
Uncleared
Others	At least BBB	$	16,241	17	%	At least BBB	$	24,282	24	%
Subtotal uncleared		16,241		17			24,282		24
Cleared
LCH Ltd(2)
Credit Suisse Securities (USA) LLC	A	53,191		55		A	46,425		46
Morgan Stanley & Co. LLC	A	26,560		28		A	30,758		30
Subtotal cleared		79,751		83			77,183		76
Total(3)		$	95,992	100	%		$	101,465	100	%

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

(2) London Clearing House (LCH) Ltd is the Bank’s counterparty for all of its cleared swaps and was upgraded from A+ to AA- by S&P on May 21, 2019. On August 1, 2019, S&P placed LCH Ltd’s AA- rating on CreditWatch Negative after its ultimate parent London Stock Exchange Group PLC (LSE Group) announced a major acquisition. For purposes of clearing swaps with LCH Ltd, Credit Suisse Securities (USA) LLC and Morgan Stanley & Co. LLC are the Bank’s clearing agents.

(3) Total notional amount at September 30, 2019, and December 31, 2018, does not include $95 million and $12 million of mortgage delivery commitments with members, respectively.

Liquidity and Capital Resources

The Bank’s financial strategies are designed to enable the Bank to safely expand and contract its assets, liabilities, and capital as membership composition and member credit needs change. The Bank’s liquidity and capital resources are designed to support its financial strategies. The Bank’s primary source of liquidity is its access to the debt capital markets through consolidated obligation issuance. The maintenance of the Bank’s capital resources is governed by its capital plan.

Liquidity

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

The Bank generally manages operational, contingent, and refinancing risks using a portfolio of cash and short-term investments and access to the debt capital markets. In addition, the Bank maintains alternate sources of funds, detailed in its contingent funding 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 cash deposits, short-term and high-quality money market investments, and government and agency securities in amounts 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

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

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).

As of September 30, 2019, and December 31, 2018, the Bank held total sources of funds in an amount that would have allowed the Bank to meet its liquidity needs for more than five consecutive business days without issuing new consolidated obligations, subject to certain conditions. 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 September 30, 2019, and December 31, 2018.

Principal Financial Obligations Due and Funds Available for Selected Period
	As of September 30, 2019		As of December 31, 2018
(In millions)	5 Business Days		5 Business Days
Obligations due:
Demand deposits	$	659	$	283
Loans from other FHLBanks	—		250
Discount note and bond maturities and expected exercises of bond call options	3,832		4,485
Subtotal obligations due	4,491		5,018
Sources of available funds:
Maturing investments	14,497		11,312
Available cash	76		11
Proceeds from scheduled settlements of discount notes and bonds	40		350
Maturing advances and scheduled prepayments	4,751		6,946
Subtotal sources of available funds	19,364		18,619
Net funds available	$	14,873	$	13,601

For more information, see “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Liquidity and Capital Resources – Liquidity” and “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Liquidity Risk” in the Bank’s 2018 Form 10‑K.

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Regulatory Capital Requirements

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

The following table shows the Bank’s compliance with the Finance Agency’s capital requirements at September 30, 2019, and December 31, 2018.

Regulatory Capital Requirements
	September 30, 2019						December 31, 2018
(Dollars in millions)	Required			Actual			Required			Actual
Risk-based capital	$	1,550		$	6,441		$	1,899		$	6,522
Total regulatory capital	$	4,166		$	6,441		$	4,373		$	6,522
Total regulatory capital ratio	4.00		%	6.18		%	4.00		%	5.97		%
Leverage capital	$	5,208		$	9,660		$	5,466		$	9,783
Leverage ratio	5.00		%	9.28		%	5.00		%	8.95		%

The Bank repurchased $977 million in excess capital stock during the first nine months of 2019. As a result of changes in the Bank’s capital plan, both capital stock and retained earnings are required to support regulatory capital compliance.

The Bank’s capital plan provides that 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 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’s practice is to repurchase the surplus capital stock of all members and the excess capital stock of all former members on a daily schedule. Surplus capital stock is defined as any stock holdings in excess of 115% of a member’s minimum stock requirement. The Bank calculates the amount of stock to be repurchased each business day based on the shareholder’s capital stock outstanding after all stock transactions are completed for the day, ensuring that each member and former member would continue to meet its minimum capital stock requirement after the repurchase. The Bank may change this practice at any time.

The Bank’s capital requirements are more fully discussed in “Item 8. Financial Statements and Supplementary Data – Note 15 – Capital” in the Bank’s 2018 10-K.

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Risk Management

The Bank has an integrated corporate governance and internal control framework designed to support effective management of the Bank’s business activities and the risks inherent in these activities. As part of this framework, the Bank’s Board of Directors has adopted a Risk Governance Policy that outlines the key roles and responsibilities of the Board of Directors and management and sets forth how the Bank is organized to achieve its risk management objectives, including the implementation of the Bank’s strategic objectives, risk management strategies, corporate governance, and standards of conduct. The policy also establishes the Bank’s risk governance organizational structure and identifies the general roles and responsibilities of the Board of Directors and management in establishing risk management policies, procedures, and guidelines; in overseeing the enterprise risk profile; and in implementing enterprise risk management processes and business strategies. The policy establishes an independent risk oversight function to identify, assess, measure, monitor, and report on the enterprise risk profile and risk management capabilities of the Bank. For more information, see “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management” in the Bank’s 2018 10-K.

Advances. The Bank manages the credit risk of advances and other credit products by setting the credit and collateral terms available to individual members and housing associates based on their creditworthiness and on the quality and value of the assets they pledge as collateral. 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.

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

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

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The following tables present a summary of the status of the credit outstanding and overall collateral borrowing capacity of the Bank’s member and nonmember borrowers as of September 30, 2019, and December 31, 2018. During the nine months ended September 30, 2019, 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)
September 30, 2019
	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	272	149	$	81,025	$	244,569	33	%
4-6	54	32	2,118		12,528		17
7-10	6	5	36		74		49
Subtotal	332	186	83,179		257,171		32
CDFIs	7	5	90		96		94
Housing associates	2	—	—		—		—
Total	341	191	$	83,269	$	257,267	32	%

December 31, 2018
	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	267	161	$	90,322	$	242,351	37	%
4-6	56	35	1,183		5,576		21
7-10	3	2	7		34		21
Subtotal	326	198	91,512		247,961		37
CDFIs	9	5	123		133		92
Housing associates	2	1	41		118		35
Total	337	204	$	91,676	$	248,212	37	%

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

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

Member and Nonmember Credit Outstanding and Collateral Borrowing Capacity by Unused Borrowing Capacity
(Dollars in millions)
September 30, 2019
Unused Borrowing Capacity	Number of Members and Nonmembers with Credit Outstanding	Credit Outstanding(1)		Collateral Borrowing Capacity(2)
0% – 10%	5	$	788	$	858
11% – 25%	8	2,544		3,202
26% – 50%	25	19,879		35,070
More than 50%	153	60,058		218,137
Total	191	$	83,269	$	257,267

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December 31, 2018
Unused Borrowing Capacity	Number of Members and Nonmembers with Credit Outstanding	Credit Outstanding(1)		Collateral Borrowing Capacity(2)
0% – 10%	5	$	128	$	134
11% – 25%	6	554		690
26% – 50%	33	54,697		93,168
More than 50%	160	36,297		154,220
Total	204	$	91,676	$	248,212

(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 September 30, 2019, the borrowing capacities assigned to U.S. Treasury and agency securities ranged from 80% to 99% of their market value. The borrowing capacities assigned to private-label MBS, which must be rated AAA or AA when initially pledged, generally ranged from 65% to 90% of their market value, depending on the underlying collateral (residential mortgage loans, home equity loans, or commercial real estate loans), the rating, and the subordination structure of the respective securities.

The following table presents the securities collateral pledged by all members and by nonmembers with credit outstanding at September 30, 2019, and December 31, 2018.

Composition of Securities Collateral Pledged by Members and by Nonmembers with Credit Outstanding
(In millions)	September 30, 2019				December 31, 2018
Securities Type with Current Credit Ratings	Current Par		Borrowing Capacity		Current Par		Borrowing Capacity
U.S. Treasury (bills, notes, bonds)	$	152	$	153	$	1,966	$	1,899
Agency (notes, subordinated debt, structured notes, indexed amortization notes, and Small Business Administration pools)	2,962		2,917		3,276		3,168
Agency pools and collateralized mortgage obligations	8,270		8,018		9,245		8,643
Private-label commercial MBS – publicly registered investment-grade-rated senior tranches	5		5		3		3
PLRMBS – private placement investment-grade-rated senior tranches	50		38		58		43
Municipal Bonds – investment-grade-rated	2		2		—		—
Total	$	11,441	$	11,133	$	14,548	$	13,756

With respect to loan collateral, most borrowers may choose to pledge loan collateral by specific identification or under a blanket lien. Insurance companies, CDFIs, and housing associates are required to pledge loan collateral by specific identification with monthly reporting. All other borrowers pledging by specific identification must provide a detailed listing of all the loans pledged to the Bank on a monthly basis. With a blanket lien, a borrower generally

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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 September 30, 2019, of the loan collateral pledged to the Bank, 24% was pledged by 27 institutions by specific identification, 50% was pledged by 115 institutions under a blanket lien with detailed reporting, and 26% was pledged by 131 institutions under a blanket lien with summary reporting.

As of September 30, 2019, 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: 90% for first lien residential mortgage loans, 88% for multifamily mortgage loans, 88% for commercial mortgage loans, and 77% 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 September 30, 2019, and December 31, 2018.

Composition of Loan Collateral Pledged by Members and by Nonmembers with Credit Outstanding
(In millions)	September 30, 2019				December 31, 2018
Loan Type	Unpaid Principal Balance		Borrowing Capacity		Unpaid Principal Balance		Borrowing Capacity
First lien residential mortgage loans	$	178,746	$	154,741	$	171,487	$	144,748
Second lien residential mortgage loans and home equity lines of credit	17,953		9,723		19,149		10,539
Multifamily mortgage loans	31,808		24,530		29,200		22,054
Commercial mortgage loans	73,236		52,490		74,039		52,365
Loan participations(1)	4,825		3,641		5,207		3,818
Small business, small farm, and small agribusiness loans	4,091		1,009		3,774		932
Other	3		—		—		—
Total	$	310,662	$	246,134	$	302,856	$	234,456

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

The Bank holds a security interest in subprime residential mortgage loans pledged as collateral. Subprime loans are defined as loans with a borrower FICO score of 660 or less at origination, or if the original FICO score is not available, as loans with a current borrower FICO score of 660 or less. At September 30, 2019, and December 31, 2018, the unpaid principal balance of these loans totaled $7 billion and $8 billion, respectively. The Bank reviews

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and assigns borrowing capacities to subprime mortgage loans as it does for all other types of loan collateral, taking into account the known credit attributes in the pricing of the loans. All advances, including those made to borrowers pledging subprime mortgage loans, are required to be fully collateralized. The Bank limits the amount of borrowing capacity that may be supported by subprime collateral.

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

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

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

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

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Investment Credit Exposure
(In millions)
September 30, 2019
	Carrying Value
	Credit Rating(1)
Investment Type	AA		A		BBB		Below Investment Grade		Unrated		Total
Non-MBS
Housing finance agency bonds – CalHFA bonds	$	—	$	32	$	—	$	—	$	—	$	32
U.S. obligations – Treasury securities	5,287		—		—		—		—		5,287
Total non-MBS	5,287		32		—		—		—		5,319
MBS:
Other U.S. obligations – single-family:
Ginnie Mae	512		—		—		—		—		512
GSEs – single-family:
Freddie Mac	1,186		—		—		—		—		1,186
Fannie Mae(2)	2,025		5		—		3		—		2,033
Subtotal	3,211		5		—		3		—		3,219
GSEs – multifamily:
Freddie Mac	3,775		—		—		—		—		3,775
Fannie Mae	7,852		—		—		—		—		7,852
Subtotal	11,627		—		—		—		—		11,627
Total GSEs	14,838		5		—		3		—		14,846
PLRMBS:
Prime	47		39		98		230		136		550
Alt-A	64		39		79		1,768		707		2,657
Total PLRMBS	111		78		177		1,998		843		3,207
Total MBS	15,461		83		177		2,001		843		18,565
Total securities	20,748		115		177		2,001		843		23,884
Interest-bearing deposits	—		2,035		—		—		—		2,035
Securities purchased under agreements to resell	7,700		—		—		—		—		7,700
Federal funds sold(3)	1,571		2,300		—		—		—		3,871
Total investments	$	30,019	$	4,450	$	177	$	2,001	$	843	$	37,490

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(In millions)
December 31, 2018
	Carrying Value
	Credit Rating(1)
Investment Type	AA		A		BBB		Below Investment Grade		Unrated		Total
Non-MBS
Housing finance agency bonds – CalHFA bonds	$	—	$	100	$	—	$	—	$	—	$	100
GSEs – FFCB bonds	656		—		—		—		—		656
Total non-MBS	656		100		—		—		—		756
MBS:
Other U.S. obligations – single-family:
Ginnie Mae	614		—		—		—		—		614
GSEs – single-family:
Freddie Mac	1,506		—		—		—		—		1,506
Fannie Mae(2)	2,588		6		—		4		—		2,598
Subtotal	4,094		6		—		4		—		4,104
GSEs – multifamily:
Freddie Mac	4,351		—		—		—		—		4,351
Fannie Mae	5,110		—		—		—		—		5,110
Subtotal	9,461		—		—		—		—		9,461
Total GSEs	13,555		6		—		4		—		13,565
PLRMBS:
Prime	57		31		127		309		147		671
Alt-A	101		36		95		2,089		754		3,075
Total PLRMBS	158		67		222		2,398		901		3,746
Total MBS	14,327		73		222		2,402		901		17,925
Total securities	14,983		173		222		2,402		901		18,681
Interest-bearing deposits	15		2,540		—		—		—		2,555
Securities purchased under agreements to resell	7,300		—		—		—		—		7,300
Federal funds sold(3)	1,421		2,298		126		—		—		3,845
Total investments	$	23,719	$	5,011	$	348	$	2,402	$	901	$	32,381

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

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

(3) Includes $141 million and $141 million at September 30, 2019, and December 31, 2018, respectively, in Federal funds sold to a member counterparty determined by the Bank to have an internal credit rating equivalent to an AA rating.

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

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

The Bank actively monitors its credit exposures and the credit quality of its counterparties, including an assessment of each counterparty’s financial performance, capital adequacy, likelihood of parental or sovereign support, and the current market perceptions of the counterparties. The Bank may also consider general macroeconomic and market 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.

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

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

Under Finance Agency regulations, the total amount of unsecured credit that an FHLBank may extend to a group of affiliated counterparties for term extensions of unsecured credit and overnight Federal funds sales, combined, may not exceed 30% of the FHLBank’s total capital. These limits on affiliated counterparty groups are in addition to the limits on extensions of unsecured credit applicable to any single counterparty within the affiliated group.

The following table presents the unsecured credit exposure with counterparties by investment type at September 30, 2019, and December 31, 2018.

Unsecured Investment Credit Exposure by Investment Type
	Carrying Value(1)
(In millions)	September 30, 2019		December 31, 2018
Interest-bearing deposits	$	2,035	$	2,555
Federal funds sold	3,871		3,845
Total	$	5,906	$	6,400

(1) Excludes unsecured investment credit exposure to U.S. government agencies and instrumentalities, government-sponsored enterprises, and supranational entities and does not include related accrued interest as of September 30, 2019, and December 31, 2018.

The following table presents the credit ratings of the unsecured investment credit exposures presented by the domicile of the counterparty or the domicile of the counterparty’s parent for U.S. branches and agency offices of foreign commercial banks, based on the lowest of the credit ratings provided by Moody’s, S&P, or Fitch ratings. This table does not reflect the foreign sovereign government’s credit rating. At September 30, 2019, 27% of the carrying value of unsecured investments held by the Bank were rated AA, and 40% of the Bank’s total unsecured investments were to U.S. branches and agency offices of foreign commercial banks.

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Ratings of Unsecured Investment Credit Exposure by Domicile of Counterparty
(In millions)
September 30, 2019
	Carrying Value(1)
	Credit Rating(2)
Domicile of Counterparty	AA		A		Total
Domestic(3)	$	141	$	3,385	$	3,526
U.S. branches and agency offices of foreign commercial banks:
Australia	1,180		—		1,180
Canada	—		700		700
France	—		250		250
Singapore	250		—		250
Total U.S. branches and agency offices of foreign commercial banks	1,430		950		2,380
Total unsecured credit exposure	$	1,571	$	4,335	$	5,906

(1) Excludes unsecured investment credit exposure to U.S. government agencies and instrumentalities, government-sponsored enterprises, and supranational entities and does not include related accrued interest as of September 30, 2019.

(2) Does not reflect changes in ratings, outlook, or watch status occurring after September 30, 2019. These ratings represent the lowest rating available for each unsecured investment owned by the Bank, based on the ratings provided by Fitch, Moody’s, or S&P. The Bank’s internal rating may differ from this rating.

(3) Includes $141 million at September 30, 2019, in Federal funds sold to a member counterparty determined by the Bank to have an internal credit rating equivalent to an AA rating.

The following table presents the contractual maturity of the Bank’s unsecured investment credit exposure by the domicile of the counterparty or the domicile of the counterparty’s parent for U.S. branches and agency offices of foreign commercial banks. At September 30, 2019, 96% of the carrying value of unsecured investments held by the Bank had overnight maturities.

Contractual Maturity of Unsecured Investment Credit Exposure by Domicile of Counterparty
(In millions)
September 30, 2019
	Carrying Value(1)
Domicile of Counterparty	Overnight		Due 31 Days Through 90 Days		Total
Domestic	$	3,526	$	—	$	3,526
U.S. branches and agency offices of foreign commercial banks:
Australia	1,180		—		1,180
Canada	700		—		700
France	250		—		250
Singapore	—		250		250
Total U.S. branches and agency offices of foreign commercial banks	2,130		250		2,380
Total unsecured credit exposure	$	5,656	$	250	$	5,906

(1) Excludes unsecured investment credit exposure to U.S. government agencies and instrumentalities, government-sponsored enterprises, and supranational entities and does not include related accrued interest as of September 30, 2019.

The Bank’s investments may also include housing finance agency bonds issued by housing finance agencies located in Arizona, California, and Nevada, the three states that make up the Bank’s district. These bonds are federally taxable mortgage revenue bonds, collateralized by pools of first lien residential mortgage loans and credit-enhanced by bond insurance. The bonds held by the Bank are issued by the California Housing Finance Agency (CalHFA) and insured by either National Public Financial Guarantee (formerly MBIA Insurance Corporation), or Assured

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Guaranty Municipal Corporation (formerly Financial Security Assurance Incorporated). At September 30, 2019, all of the bonds were rated at least A by Moody’s or S&P.

For the Bank’s investments in housing finance agency bonds, which were issued by CalHFA, the gross unrealized losses were mainly due to an illiquid market, credit concerns regarding the underlying mortgage collateral, and credit concerns regarding the monoline insurance providers, causing these investments to be valued at a discount to their acquisition cost. The Bank independently modeled cash flows for the underlying collateral, using assumptions for default rates and loss severity that a market participant would deem reasonable, and concluded that the available credit support within the CalHFA structure more than offset the projected underlying collateral losses. The Bank determined that, as of September 30, 2019, 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 regulatory capital at the time of purchase. At September 30, 2019, the Bank’s MBS portfolio was 284% of Bank regulatory capital (as determined in accordance with regulations governing the operations of the FHLBanks). The Bank has not purchased any PLRMBS since the first quarter of 2008.

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

At September 30, 2019, PLRMBS representing 13% 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 September 30, 2019, the Bank’s investment in MBS had gross unrealized losses totaling $50 million, $19 million of which were related to PLRMBS. These gross unrealized losses were primarily due to illiquidity in the MBS market and market expectations of the credit performance of loan collateral underlying these securities, which caused these assets to be valued at discounts to their amortized cost.

For its agency MBS, the Bank expects to recover the entire amortized cost basis of these securities because the Bank determined that the strength of the issuers’ guarantees through direct obligations or support from the U.S. government is sufficient to protect the Bank from losses. As a result, the Bank determined that, as of September 30, 2019, all of the gross unrealized losses on its agency MBS are temporary.

To assess whether it expects to recover the entire amortized cost basis of its PLRMBS, the Bank performed a cash flow analysis for all of its PLRMBS as of September 30, 2019, using two third-party models. The FHLBanks’ OTTI Committee developed a short-term housing price forecast with projected changes ranging from a decrease of 6.0% to an increase of 10.0% over the 12-month period beginning July 1, 2019. For the vast majority of markets, the projected short-term housing price changes range from an increase of 2.0% to an increase of 6.0%. Thereafter, a unique path is projected for each geographic area based on an internally developed framework derived from historical data.

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 reflects

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

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 September 30, 2019:

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	1	$	43	$	—		1	$	43	$	—
Alt-A	8	187		(2		)	9	197		(3		)
Total	9	$	230	$	(2	)	10	$	240	$	(3	)

(1) Amounts are for the three months ended September 30, 2019.

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

The following table presents the ratings of the Bank’s PLRMBS as of September 30, 2019, by collateral type at origination.

Unpaid Principal Balance of PLRMBS by Credit Rating
(In millions)
September 30, 2019
	Unpaid Principal Balance
	Credit Rating(1)
Collateral Type at Origination	AA		A		BBB		Below Investment Grade		Unrated		Total
Prime	$	47	$	38	$	97	$	238	$	157	$	577
Alt-A	64		39		81		1,946		806		2,936
Total par value	$	111	$	77	$	178	$	2,184	$	963	$	3,513

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

The following table presents the ratings of the Bank’s other-than-temporarily impaired PLRMBS at September 30, 2019, by collateral type at origination.

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Unpaid Principal Balance of Other-Than-Temporarily Impaired PLRMBS by Credit Rating
(In millions)
September 30, 2019
	Unpaid Principal Balance
	Credit Rating(1)
Collateral Type at Origination	AA		A		BBB		Below Investment Grade		Unrated		Total
Prime	$	2	$	—	$	3	$	125	$	151	$	281
Alt-A	16		12		78		1,909		803		2,818
Total par value	$	18	$	12	$	81	$	2,034	$	954	$	3,099

(1) The credit ratings used by the Bank are based on the lowest of Fitch, Moody’s, or S&P 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. 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.

PLRMBS Credit Characteristics
(Dollars in millions)
September 30, 2019
																Underlying Collateral Performance and Credit Enhancement Statistics
Collateral Type at Origination	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	$	530	$	(4	)	$	547	$	—		$	—	$	—		10.31	%	14.96	%	9.66	%
Alt-A	2,391		(15		)	2,661		(8		)	—		(8		)	12.04		24.08		6.39
Total	$	2,921	$	(19	)	$	3,208	$	(8	)	$	—	$	(8	)	11.76	%	22.58	%	6.93	%

(1) Amounts are for the year ended September 30, 2019.

(2) Represents total gross unrealized losses, including non-credit-related other-than-temporary impairment recognized in AOCI. The unpaid principal balance of Prime and Alt-A in a gross unrealized loss position was $190 million and $421 million, respectively, at September 30, 2019, and the amortized cost of Prime and Alt-A in a gross unrealized loss position was $190 million and $386 million, respectively, at September 30, 2019.

The following table presents a summary of the significant inputs used to determine potential OTTI credit losses in the Bank’s PLRMBS portfolio at September 30, 2019.

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Significant Inputs to OTTI Credit Analysis for All PLRMBS
September 30, 2019
	Significant Inputs			Current
	Prepayment Rates	Default Rates	Loss Severities	Credit Enhancement
Collateral Type at Origination	Weighted Average %	Weighted Average %	Weighted Average %	Weighted Average %
Prime	20.1	7.4	26.3	13.4
Alt-A	14.9	16.0	39.6	6.2
Total	15.5	15.0	38.1	7.0

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

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

Fair Value of PLRMBS as a Percentage of Unpaid Principal Balance
Collateral Type at Origination	September 30, 2019		June 30, 2019		March 31, 2019		December 31, 2018		September 30, 2018
Weighted average of all Prime	94.56	%	94.95	%	94.82	%	94.54	%	96.25	%
Weighted average of all Alt-A	90.67		90.82		90.39		89.56		91.02
Weighted average of all PLRMBS	91.31	%	91.50	%	91.13	%	90.41	%	91.92	%

The Bank determined that, as of September 30, 2019, the gross unrealized losses on the PLRMBS that have not had an OTTI loss are primarily due to illiquidity in the PLRMBS market and market expectations of the credit performance of loan collateral underlying these securities, which caused these assets to be valued at discounts to their amortized cost. The Bank does not intend to sell these securities, it is not more likely than not that the Bank will be required to sell these securities before its anticipated recovery of the remaining amortized cost basis, and the Bank expects to recover the entire amortized cost basis of these securities. As a result, the Bank determined that, as of September 30, 2019, 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 September 30, 2019. 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.

The Bank has exposure to investment securities with interest rates indexed to LIBOR. The tables below present the unpaid principal balance of adjustable rate investment securities by interest rate index and LIBOR-indexed investment securities by contractual maturity at September 30, 2019. See “Management’s Discussion and Analysis of Financial Condition and Results of Operations – Financial Condition” for more information on the LIBOR transition and on SOFR as an alternative market benchmark.

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Adjustable Rate Investment Securities by Interest Rate Index
(In millions)
September 30, 2019
(Interest rate index)	Trading Securities		AFS Securities		HTM Securities
Non-MBS:
LIBOR	$	—	$	—	$	32
Total non-MBS	$	—	$	—	$	32
MBS:
LIBOR	$	—	$	2,313	$	6,143
Other	4		8		63
Total MBS	$	4	$	2,321	$	6,206
Total adjustable rate investment securities	$	4	$	2,321	$	6,238

LIBOR-Indexed Investment Securities by Contractual Maturity
(In millions)
September 30, 2019
(Contractual maturity)	AFS Securities		HTM Securities
Non-MBS:
Due in 2022 and thereafter	$	—	$	32
MBS:
Due in 2022 and thereafter(1)(2)	$	2,313	$	6,143
Total LIBOR-indexed investment securities	$	2,313	$	6,175

(1) MBS are presented by contractual maturity; however, their expected maturities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.

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

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, for all uncleared derivative transactions, 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 set at zero (subject to a minimum transfer amount).

The Bank is subject to the risk of potential nonperformance by the counterparties to derivative agreements. 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

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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 September 30, 2019.

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 a 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. Variation margin and initial margin are posted for changes in the value and risk profile of cleared derivatives. The Bank does not anticipate any credit losses on its cleared derivatives as of September 30, 2019.

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)
September 30, 2019
Counterparty Credit Rating(1)	Notional Amount		Net Fair Value of Derivatives Before Collateral			Cash Collateral Pledged to/ (from) Counterparty		Noncash Collateral Pledged to/ (from) Counterparty		Net Credit Exposure to Counterparties
Asset positions with credit exposure:
Cleared derivatives(2)	$	79,752	$	6		$	11	$	321	$	338
Liability positions with credit exposure:
Uncleared derivatives
AA	2,314		(68		)	69		—		1
A	10,826		(410		)	414		—		4
BBB	757		(59		)	60		—		1
Total derivative positions with credit exposure to nonmember counterparties	93,649		(531		)	554		321		344
Member institutions(3)	95		—			—		—		—
Total	93,744		$	(531	)	$	554	$	321	$	344
Derivative positions without credit exposure	2,343
Total notional	$	96,087

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December 31, 2018
Counterparty Credit Rating(1)	Notional Amount		Net Fair Value of Derivatives Before Collateral			Cash Collateral Pledged to/ (from) Counterparty			Net Credit Exposure to Counterparties
Asset positions with credit exposure:
Uncleared derivatives
AA	$	1,020	$	—		$	—		$	—
A	2,121		17			(16		)	1
Liability positions with credit exposure:
Uncleared derivatives
A	1,223		(2		)	2			—
BBB	1,915		—			—			—
Cleared derivatives(2)	77,183		(15		)	199			184
Total derivative positions with credit exposure to nonmember counterparties	83,462		—			185			185
Member institutions(3)	12		—			—			—
Total	83,474		$	—		$	185		$	185
Derivative positions without credit exposure	18,003
Total notional	$	101,477

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

(2) Represents derivative transactions cleared with LCH Ltd, the Bank’s clearinghouse, which was upgraded from A+ to AA- by S&P on May 21, 2019. On August 1, 2019, S&P placed LCH Ltd’s AA- rating on CreditWatch Negative after its ultimate parent LSE Group announced a major acquisition.

(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.

The Bank continues to execute LIBOR-indexed derivatives to manage interest rate risk and to monitor marketwide efforts to address fallback language related to LIBOR-indexed derivative transactions. The Bank has also begun to implement the Overnight Index Swap (OIS) rate as an alternative interest rate hedging strategy for certain financial instruments, rather than using LIBOR when entering into new derivative transactions. In addition, a SOFR-based derivatives market has begun to emerge. The tables below present the notional amount of variable rate derivatives by interest rate index and termination date at September 30, 2019. See “Management’s Discussion and Analysis of Financial Condition and Results of Operations – Financial Condition” for more information on the LIBOR transition and on SOFR as an alternative market benchmark.

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Variable Rate Derivatives Outstanding by Interest Rate Index
(In millions)
September 30, 2019
(Interest rate index)	Notional Amount(1)
LIBOR	$	41,692
SOFR	23,647
OIS	40,923
Total Notional Amount	$	106,262

(1) The total notional amount exceeds the actual total notional amount of derivatives outstanding because the Bank has basis swaps that are indexed to both LIBOR and SOFR.

LIBOR-Indexed Derivatives by Termination Date
(In millions)
September 30, 2019
(Termination date)	Notional Amount
Terminates in 2019	$	8,660
Terminates in 2020	18,000
Terminates in 2021	8,524
Terminates in 2022 and thereafter(1)	6,508
Total Notional Amount	$	41,692

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

Critical Accounting Policies and Estimates

The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America (U.S. GAAP) requires management to make a number of judgments, estimates, and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, if applicable, and the reported amounts of income, expenses, gains, and losses during the reporting period. Changes in these judgments, estimates, and assumptions could potentially affect the Bank’s financial position and results of operations significantly. Although the Bank believes these judgments, estimates, and assumptions to be reasonably accurate, actual results may differ.

In the Bank’s 2018 Form 10-K, the following accounting policies and estimates were identified as critical because they require the Bank to make subjective or complex judgments about matters that are inherently uncertain and because of the likelihood that materially different amounts would be reported under different conditions or using different assumptions. These policies and estimates are: estimating the allowance for credit losses on the advances and mortgage loan portfolios; accounting for derivatives; estimating fair values of investments classified as trading and AFS, derivatives and associated hedged items carried at fair value in accordance with the accounting for derivative instruments and associated hedging activities, and financial instruments carried at fair value under the fair value option; accounting for other-than-temporary impairment for investment securities; and estimating the prepayment speeds on MBS and mortgage loans for the accounting of amortization of premiums and accretion of discounts on MBS and mortgage loans.

There have been no significant changes in the judgments and assumptions made during the first nine months of 2019 in applying the Bank’s critical accounting policies. These policies and the judgments, estimates, and

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assumptions are also described in “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Critical Accounting Policies and Estimates” and “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2018 Form 10-K and in “Item 1. Financial Statements – Note 16 – Fair Value.”

Recently Issued Accounting Guidance and Interpretations

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

Recent Developments

Advisory Bulletin (AB) 2019-03 Capital Stock Management. On August 14, 2019, the Finance Agency issued a final AB providing guidance that augments existing statutory and regulatory capital requirements to require each FHLBank to maintain a ratio of at least two percent of capital stock to total assets in order to help preserve the cooperative structure incentives that encourage members to remain fully engaged in the oversight of their investment in the FHLBank. Beginning in February 2020, the Finance Agency will consider the proportion of capital stock to assets, measured on a daily average basis at monthend, when assessing each FHLBank’s capital management practices.

The Bank does not expect the AB to have a material impact on the Bank’s capital management practices, financial condition, or results of operations.

Finance Agency Supervisory Letter. On September 27, 2019, the Finance Agency issued a Supervisory Letter to the FHLBanks that the Finance Agency stated is designed to ensure the FHLBanks will be able to identify and prudently manage the risks associated with the termination of LIBOR in a safe and sound manner. The Supervisory Letter provides among other things that, by March 31, 2020, the FHLBanks should limit and cease entering into new LIBOR-indexed financial assets, liabilities, and derivatives with maturities beyond December 31, 2021, for all product types except investments. With respect to investments, the FHLBanks must, by December 31, 2019, stop purchasing investments that reference LIBOR and mature after December 31, 2021. The Supervisory Letter also directs the FHLBanks to update their pledged collateral certification reporting requirements by March 31, 2020, in an effort to encourage members to distinguish LIBOR-indexed collateral maturing after December 31, 2021. The FHLBanks are expected to cease entering into LIBOR-indexed financial instruments maturing after December 31, 2021, by the deadlines specified in the Supervisory Letter, subject to limited exceptions granted by the Finance Agency under the Supervisor Letter for LIBOR-indexed products serving compelling mission, risk mitigating, and/or hedging purposes that do not currently have readily available alternatives.

As a result of the Supervisory Letter, the Bank’s Transition Plan was revised to limit new LIBOR transactions with maturities beyond the end of 2021 consistent with the limits set by the Supervisory Letter.

Off-Balance Sheet Arrangements 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 par value of the outstanding consolidated obligations of the FHLBanks was $1,010.3 billion at September 30, 2019, and $1,031.6 billion at December 31, 2018. The par value of the Bank’s participation in consolidated obligations was $96.1 billion at September 30, 2019, and $101.6 billion at December 31, 2018. The Bank had committed to the issuance of $40 million and $350 million in consolidated obligations at September 30, 2019, and December 31, 2018, respectively.

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In addition, in the ordinary course of business, the Bank engages in financial transactions that, in accordance with U.S. GAAP, are not recorded on the Bank’s Statement of Condition or may be recorded on the Bank’s Statement of Condition in amounts that are different from the full contract or notional amount of the transactions. For example, the Bank routinely enters into commitments to extend advances and issues standby letters of credit. These commitments and standby letters of credit may represent future cash requirements of the Bank, although the standby letters of credit usually expire without being drawn upon. Standby letters of credit are subject to the same underwriting and collateral requirements as advances made by the Bank. At September 30, 2019, the Bank had no advance commitments and $20.7 billion in standby letters of credit outstanding. At December 31, 2018, the Bank had no advance commitments and $18.1 billion in standby letters of credit outstanding.

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

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

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

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

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

Total Bank Market Risk

Market Value of Capital Sensitivity

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

The Bank’s market value of capital sensitivity policy limits the potential adverse impact of an instantaneous parallel shift of a plus or minus 100-basis-point change in interest rates from current rates (base case) to no worse than 4.0% of the estimated market value of capital. In addition, the policy limits the potential adverse impact of an instantaneous plus or minus 100-basis-point change in interest rates measured from interest rates that are 200 basis points above or below the base case to no worse than 6.0% of the estimated market value of capital. In the case where a market risk sensitivity compliance metric cannot be estimated with a parallel shift in interest rates because of prevailing low interest rates, the sensitivity metric is not reported. The Bank’s measured market value of capital sensitivity was within the policy limits as of September 30, 2019.

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

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

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

Market Value of Capital Sensitivity Estimated Percentage Change in Market Value of Bank Capital for Various Changes in Interest Rates
Interest Rate Scenario(1)	September 30, 2019		December 31, 2018
+200 basis-point change above current rates	–2.9	%	–3.3	%
+100 basis-point change above current rates	–1.4		–1.4
–100 basis-point change below current rates	+1.4		+1.1
–200 basis-point change below current rates	+8.1		+2.6

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

The Bank’s estimates of the sensitivity of the market value of capital to changes in interest rates as of September 30, 2019, are comparable to the estimates as of December 31, 2018, with the exception of the “down 200 basis point” scenario. Given the significant decline in interest rates in the first half of 2019, interest rates on a subset of the Bank’s floating rate instruments cannot decrease to the same extent that interest rates in the rising rate scenarios can increase because of embedded interest rate floors. LIBOR interest rates as of September 30, 2019, were 92 basis points lower for the 1-year term, 107 basis points lower for the 5-year term, and 115 basis points lower for the 10-year term.

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 Federal funds effective rate 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 224% as of September 30, 2019.

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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’ Joint Capital Enhancement Agreement. Economic earnings exclude these amounts in order to more accurately reflect the amount of earnings that may be available to be paid as dividends to shareholders.

The Bank limits the sensitivity of projected financial performance through a Board of Directors policy limit on projected adverse changes in the adjusted return on capital. The Bank’s adjusted return on capital sensitivity policy limits the potential adverse impact of an instantaneous parallel shift of a plus or minus 200-basis-point change in interest rates from current rates (base case) to no worse than –120 basis points from the base case projected adjusted return on capital. With the indicated interest rate shifts, the adjusted return on capital for the projected 12-month horizon would be expected to decrease by –52 basis points in the –200 basis points scenario, which is within the policy limit of –120 basis points.

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

Total Bank Duration Gap Analysis
	September 30, 2019			December 31, 2018
	Amount (In millions)		Duration Gap(1) (In months)	Amount (In millions)		Duration Gap(1) (In months)
Assets	$	104,153	3	$	109,326	4
Liabilities	97,583		2	102,796		3
Net	$	6,570	1	$	6,530	1

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

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

Advances-Related Business – Interest rate risk arises from the advances-related business primarily through the use of shareholder-contributed capital and retained earnings to fund fixed rate investments of targeted amounts and maturities. In general, advances result in very little net interest rate risk for the Bank because most fixed rate advances with original maturities greater than three months and all advances with embedded options are simultaneously hedged with an interest rate swap or option with terms 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, to increase the Bank’s liquidity position, the Bank invests in Treasury securities, generally with terms of less than three years. These fixed rate investments are swapped to variable rate investments.

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

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

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

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

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

The Bank manages the interest rate risk and market risk of the mortgage-related segment through its investment in low risk assets and selected funding and hedging strategies. The total carrying value of MBS and mortgage loans at September 30, 2019, was $22.0 billion, including $18.6 billion in MBS and $3.4 billion in mortgage loans. The total carrying value of MBS and mortgage loans at December 31, 2018, was $21.0 billion, including $17.9 billion in MBS and $3.1 billion in mortgage loans. Floating rate securities, and fixed rate multifamily securities that have been converted to floating rate through the use of interest rate swaps, were $15.6 billion, or 71%, of MBS and mortgage loans at September 30, 2019, and $14.2 billion, or 68%, of MBS and mortgage loans at December 31, 2018. Intermediate and long-term fixed rate assets, whose interest rate and market risks have been partially offset through the use of fixed rate non-callable debt, fixed rate callable debt, and certain interest rate swaps whose characteristics mimic that of fixed rate callable debt, were $6.4 billion, or 29%, of MBS and mortgage loans, at September 30, 2019, and $6.8 billion, or 32%, of MBS and mortgage loans at December 31, 2018.

The estimated market risk of the mortgage-related business is managed both at the time an asset is purchased and on an ongoing basis for the total portfolio. At the time of purchase (for all significant mortgage asset acquisitions), the Bank analyzes the estimated earnings sensitivity and estimated market value sensitivity, taking into consideration 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

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analysis of the impacts of non-parallel shifts in the yield curve and assessments of the impacts of unanticipated mortgage prepayment behavior. Based on these analyses, the Bank may take actions to rebalance the mortgage portfolio’s market risk profile. These rebalancing strategies may include entering into new funding and hedging transactions, forgoing or modifying certain funding or hedging transactions normally executed with new mortgage purchases, or terminating certain funding and hedging transactions for the mortgage asset portfolio.

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

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

The following table presents results of the estimated market value of capital sensitivity analysis attributable to the mortgage-related business as of September 30, 2019, and December 31, 2018.

Market Value of Capital Sensitivity Estimated Percentage Change in Market Value of Bank Capital Attributable to the Mortgage-Related Business for Various Changes in Interest Rates
Interest Rate Scenario(1)	September 30, 2019		December 31, 2018
+200 basis-point change	–0.9	%	–1.2	%
+100 basis-point change	–0.4		–0.4
–100 basis-point change	+0.4		+0.2
–200 basis-point change	+3.3		+0.8

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

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 September 30, 2019, are comparable to the estimates as of December 31, 2018, with the exception of the “down 200 basis point” scenario. Given the significant decline in interest rates in the first half of 2019, interest rates on a subset of the Bank’s floating rate instruments cannot decrease to the same extent that interest rates in the rising rate scenarios can increase because of embedded interest rate floors. LIBOR interest rates as of September 30, 2019, were 92 basis points lower for the 1-year term, 107 basis points lower for the 5-year term, and 115 basis points lower for the 10-year term.

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ITEM 4. CONTROLS AND PROCEDURES

Disclosure Controls and Procedures

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

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

Internal Control Over Financial Reporting

During the three months ended September 30, 2019, there were no changes in the Bank’s internal control over financial reporting that have materially affected, or are reasonably likely to materially affect, the Bank’s internal control over financial reporting.

Consolidated Obligations

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

The Bank’s management also relies on the operation of the joint and several liability regulation. The joint and several liability regulation requires that each FHLBank file with the Finance Agency a quarterly certification that it will remain capable of making full and timely payment of all of its current obligations, including direct obligations, coming due during the next quarter. In addition, if an FHLBank cannot make such a certification or if it projects that it may be unable to meet its current obligations during the next quarter on a timely basis, it must file a notice with the Finance Agency. Under the joint and several liability regulation, the Finance Agency may order any FHLBank to make principal and interest payments on any consolidated obligations of any other FHLBank, or allocate the outstanding liability of an FHLBank among all remaining FHLBanks on a pro rata basis in proportion to each FHLBank’s participation in all consolidated obligations outstanding or on any other basis.

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PART II. OTHER INFORMATION

ITEM 1. LEGAL PROCEEDINGS

The Federal Home Loan Bank of San Francisco (Bank) may be subject to various legal proceedings arising in the normal course of business. For information regarding the lawsuit filed by former Bank officer, Lawrence H. Parks, and another former officer of the Bank, against the Bank and certain of the Bank’s current and former directors, chief executive officer, and two employees, see “Part II. Item 1. Legal Proceedings” in the Bank’s Form 10-Q for the quarter ended March 31, 2019.

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

ITEM 1A. RISK FACTORS

For a discussion of risk factors, see “Part I. Item 1A. Risk Factors” in the Bank’s 2018 Form 10-K. There have been no material changes from the risk factors disclosed in the “Part I. Item 1A. Risk Factors” section of the Bank’s 2018 Form 10-K.

ITEM 6.    EXHIBITS

Exhibit No.	Description
31.1	Certification of the President and Chief Executive Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
31.2	Certification of the Chief Financial Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
32.1	Certification of the President and Chief Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
32.2	Certification of the Chief Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
101.INS	Inline XBRL Instance Document - The instance document does not appear in the interactive data file because its XBRL tags are embedded within the inline XBRL document.
101.SCH	Inline XBRL Taxonomy Extension Schema Document
101.CAL	Inline XBRL Taxonomy Extension Calculation Linkbase Document
101.DEF	Inline XBRL Taxonomy Extension Definition Linkbase Document
101.LAB	Inline XBRL Taxonomy Extension Label Linkbase Document
101.PRE	Inline XBRL Taxonomy Extension Presentation Linkbase Document
104	Cover Page Interactive Data File - The cover page interactive data file does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document.

    

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized, on November 8, 2019.

Federal Home Loan Bank of San Francisco

/S/ J. GREGORY SEIBLY

J. Gregory Seibly President and Chief Executive Officer

/S/ KENNETH C. MILLER

Kenneth C. Miller Executive Vice President and Chief Financial Officer

(Principal Financial Officer)

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EX-31.1

EXHIBIT 31.1

Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

for the President and Chief Executive Officer

I, J. Gregory Seibly, certify that:

1. I have reviewed this quarterly report on Form 10-Q for the period ended September 30, 2019, of the Federal Home Loan Bank of San Francisco;

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

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

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

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

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

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

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

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

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

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

November 8, 2019	/S/ J. GREGORY SEIBLY
	J. Gregory Seibly President and Chief Executive Officer

EX-31.2

EXHIBIT 31.2

Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

for the Chief Financial Officer

I, Kenneth C. Miller, certify that:

1. I have reviewed this quarterly report on Form 10-Q for the period ended September 30, 2019, of the Federal Home Loan Bank of San Francisco;

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

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

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

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

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

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

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

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

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

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

November 8, 2019	/S/ KENNETH C. MILLER
	Kenneth C. Miller Executive Vice President and Chief Financial Officer

EX-32.1

EXHIBIT 32.1

Certification by the President and Chief Executive Officer

Pursuant to 18 U.S.C. Section 1350,

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

I, J. Gregory Seibly, President and Chief Executive Officer of the Federal Home Loan Bank of San Francisco (“Registrant”), certify that, to the best of my knowledge:

1. The Registrant's Quarterly Report on Form 10-Q for the period ended September 30, 2019, (“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.

November 8, 2019	/S/ J. GREGORY SEIBLY
	J. Gregory Seibly President and Chief Executive Officer

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

EX-32.2

EXHIBIT 32.2

Certification by the Chief Financial Officer

Pursuant to 18 U.S.C. Section 1350,

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

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

1. The Registrant's Quarterly Report on Form 10-Q for the period ended September 30, 2019, (“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.

November 8, 2019	/S/ KENNETH C. MILLER
	Kenneth C. Miller Executive Vice President and Chief Financial Officer

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

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Accumulated Other Comprehensive Income (Loss)

9 Months Ended

Sep. 30, 2019

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

Accumulated Other Comprehensive Income/(Loss)

Accumulated Other Comprehensive Income/(Loss)

The following table summarizes the changes in AOCI for the three months ended September 30, 2019 and 2018:

	Net Unrealized Gain/(Loss) on AFS Securities			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, June 30, 2018	$	—		$	347		$	(5	)	$	(12	)	$	330
Other comprehensive income/(loss) before reclassifications:
Net change in fair value	1			5									6
Accretion of non-credit-related OTTI loss							1						1
Net current period other comprehensive income/(loss)	1			5			1			—			7
Balance, September 30, 2018	$	1		$	352		$	(4	)	$	(12	)	$	337
Balance, June 30, 2019	$	15		$	304		$	(2	)	$	(17	)	$	300
Other comprehensive income/(loss) before reclassifications:
Non-credit-related OTTI loss				(1		)	—						(1		)
Net change in fair value	(17		)	(15		)							(32		)
Net current period other comprehensive income/(loss)	(17		)	(16		)	—			—			(33		)
Balance, September 30, 2019	$	(2	)	$	288		$	(2	)	$	(17	)	$	267

The following table summarizes the changes in AOCI for the nine months ended September 30, 2019 and 2018:

	Net Unrealized Gain/(Loss) on AFS Securities			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, 2017	$	—		$	337		$	(6	)	$	(13	)	$	318
Other comprehensive income/(loss) before reclassifications:
Net change in pension and postretirement benefits										1			1
Non-credit-related OTTI loss				(11		)	—						(11		)
Net change in fair value	1			25									26
Accretion of non-credit-related OTTI loss							2						2
Reclassification from other comprehensive income/(loss) to net income/(loss):
Non-credit-related OTTI to credit-related OTTI				1			—						1
Net current period other comprehensive income/(loss)	1			15			2			1			19
Balance, September 30, 2018	$	1		$	352		$	(4	)	$	(12	)	$	337
Balance, December 31, 2018	$	(32	)	$	287		$	(3	)	$	(17	)	$	235
Other comprehensive income/(loss) before reclassifications:
Non-credit-related OTTI loss				(3		)	—						(3		)
Net change in fair value	30			1									31
Accretion of non-credit-related OTTI loss							1						1
Reclassification from other comprehensive income/(loss) to net income/(loss):
Non-credit-related OTTI to credit-related OTTI				3			—						3
Net current period other comprehensive income/(loss)	30			1			1			—			32
Balance, September 30, 2019	$	(2	)	$	288		$	(2	)	$	(17	)	$	267

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Mortgage Loans Held for Portfolio

9 Months Ended

Sep. 30, 2019

Receivables [Abstract]

Mortgage Loans Held for Portfolio

Mortgage Loans Held for Portfolio

The following table presents information as of September 30, 2019, and December 31, 2018, on mortgage loans, all of which are secured by one- to four-unit residential properties and single-unit second homes.

	September 30, 2019			December 31, 2018
Fixed rate medium-term mortgage loans	$	22		$	16
Fixed rate long-term mortgage loans	3,280			2,951
Subtotal	3,302			2,967
Unamortized premiums	83			104
Unamortized discounts	(3		)	(5		)
Mortgage loans held for portfolio	3,382			3,066
Less: Allowance for credit losses	—			—
Total mortgage loans held for portfolio, net	$	3,382		$	3,066

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

For more information related to the Bank’s accounting policies for the Mortgage Partnership Finance® (MPF®) Program, see “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2018 Form 10-K. For information related to the Bank’s credit risk on mortgage loans and allowance methodology for credit losses, see Note 9 – Allowance for Credit Losses.

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Available-for-Sale Securities

9 Months Ended

Sep. 30, 2019

Debt Securities, Available-for-sale [Abstract]

Available-for-Sale Securities

Available-for-Sale Securities

AFS securities by major security type as of September 30, 2019, and December 31, 2018, were as follows:

September 30, 2019
	Amortized Cost(1)		OTTI Recognized in AOCI			Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value
U.S. obligations – Treasury securities	$	5,290	$	—		$	—	$	(3	)	$	5,287
MBS:
GSEs – multifamily:
Freddie Mac	797		—			3		—			800
Fannie Mae	6,476		—			13		(15		)	6,474
Subtotal – GSEs – multifamily	7,273		—			16		(15		)	7,274
PLRMBS:
Prime	232		—			20		—			252
Alt-A	2,235		(10		)	279		(1		)	2,503
Subtotal PLRMBS	2,467		(10		)	299		(1		)	2,755
Total MBS	9,740		(10		)	315		(16		)	10,029
Total	$	15,030	$	(10	)	$	315	$	(19	)	$	15,316

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		—			21		—			288
Alt-A	2,603		(20		)	288		(2		)	2,869
Subtotal PLRMBS	2,870		(20		)	309		(2		)	3,157
Total	$	6,676	$	(20	)	$	309	$	(34	)	$	6,931

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

At September 30, 2019, the amortized cost of the Bank’s MBS classified as AFS included premiums of $64, discounts of $52, and credit-related OTTI of $601. At December 31, 2018, the amortized cost of the Bank’s MBS classified as AFS included premiums of $19, discounts of $53, and credit-related OTTI of $690.

The following tables summarize the AFS securities with unrealized losses as of September 30, 2019, and December 31, 2018. 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 and for information on AFS securities in unrealized loss positions that are not considered to be other-than-temporarily impaired, see Note 6 – Other-Than-Temporary Impairment Analysis.

September 30, 2019
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
U.S. obligations – Treasury securities	$	4,685	$	3	$	—	$	—	$	4,685	$	3
MBS:
GSEs – multifamily:
Freddie Mac	246		—		—		—		246		—
Fannie Mae	2,619		11		628		4		3,247		15
Subtotal MBS – GSEs – multifamily	2,865		11		628		4		3,493		15
PLRMBS:
Prime	—		—		8		—		8		—
Alt-A	86		3		148		8		234		11
Subtotal PLRMBS	86		3		156		8		242		11
Subtotal MBS	2,951		14		784		12		3,735		26
Total	$	7,636	$	17	$	784	$	12	$	8,420	$	29

December 31, 2018
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
MBS – GSEs – multifamily:
Freddie Mac	$	382	$	2	$	—	$	—	$	382	$	2
Fannie Mae	3,211		30		—		—		3,211		30
Subtotal MBS – GSEs – multifamily	3,593		32		—		—		3,593		32
PLRMBS:
Prime	6		—		8		—		14		—
Alt-A	204		3		343		19		547		22
Subtotal PLRMBS	210		3		351		19		561		22
Total	$	3,803	$	35	$	351	$	19	$	4,154	$	54

Redemption Terms. The amortized cost and estimated fair value of non-MBS investments by contractual maturity (based on contractual final principal payment) and of MBS as of September 30, 2019, are shown below. There were no non-MBS investments as of December 31, 2018. Expected maturities of MBS will differ from contractual maturities because borrowers may have the right to call or prepay the underlying obligations with or without call or prepayment fees.

September 30, 2019
Year of Contractual Maturity	Amortized Cost(1)		Estimated Fair Value
AFS securities other than MBS:
Due in 1 year or less	$	1,510	$	1,509
Due after 1 year through 5 years	3,780		3,778
Subtotal	5,290		5,287
MBS	9,740		10,029
Total	$	15,030	$	15,316

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

See Note 6 – Other-Than-Temporary Impairment Analysis for information on the transfers of securities between the AFS portfolio and the held-to-maturity (HTM) portfolio.

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Statements of Capital Accounts - USD ($) shares in Millions, $ in Millions	Total	Total Retained Earnings	Total Restricted Retained Earnings	Unrestricted	Accumulated Other Comprehensive Income/(Loss)	Common Class B - Putable Common Stock
Balance, Shares at Dec. 31, 2017						32
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Issuance of capital stock, shares						10
Repurchase of capital stock, shares						(13)
Net Shares Reclassified from/(to) Mandatorily Redeemable Capital Stock, Shares						0
Balance, Shares at Sep. 30, 2018						29
Balance at Dec. 31, 2017	$ 6,806	$ 3,245	$ 575	$ 2,670	$ 318	$ 3,243
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Comprehensive Income (Loss)	306	287	58	229	19
Issuance of capital stock, value	980					980
Repurchase of capital stock, value	(1,338)					(1,338)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net, value	(2)					(2)
Cash dividends on capital stock	(162)	(162)		(162)
Balance at Sep. 30, 2018	6,590	3,370	633	2,737	337	$ 2,883
Balance, Shares at Jun. 30, 2018						29
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Issuance of capital stock, shares						3
Repurchase of capital stock, shares						(3)
Balance, Shares at Sep. 30, 2018						29
Balance at Jun. 30, 2018	6,499	3,319	612	2,707	330	$ 2,850
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Comprehensive Income (Loss)	109	102	21	81	7
Issuance of capital stock, value	299					299
Repurchase of capital stock, value	(266)					(266)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net, value	0
Cash dividends on capital stock	(51)	(51)		(51)
Balance at Sep. 30, 2018	6,590	3,370	633	2,737	337	$ 2,883
Balance, Shares at Dec. 31, 2018						29
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Issuance of capital stock, shares						8
Repurchase of capital stock, shares						(8)
Net Shares Reclassified from/(to) Mandatorily Redeemable Capital Stock, Shares						0
Balance, Shares at Sep. 30, 2019						29
Balance at Dec. 31, 2018	6,530	3,346	647	2,699	235	$ 2,949
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Comprehensive Income (Loss)	246	214	43	171	32
Issuance of capital stock, value	837					837
Repurchase of capital stock, value	(884)					(884)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net, value	(4)					(4)
Cash dividends on capital stock	(155)	(155)		(155)
Balance at Sep. 30, 2019	6,570	3,405	690	2,715	267	$ 2,898
Balance, Shares at Jun. 30, 2019						30
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Issuance of capital stock, shares						1
Repurchase of capital stock, shares						(2)
Net Shares Reclassified from/(to) Mandatorily Redeemable Capital Stock, Shares						0
Balance, Shares at Sep. 30, 2019						29
Balance at Jun. 30, 2019	6,664	3,397	678	2,719	300	$ 2,967
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Comprehensive Income (Loss)	28	61	12	49	(33)
Issuance of capital stock, value	141					141
Repurchase of capital stock, value	(206)					(206)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net, value	(4)					(4)
Cash dividends on capital stock	(53)	(53)		(53)
Balance at Sep. 30, 2019	$ 6,570	$ 3,405	$ 690	$ 2,715	$ 267	$ 2,898

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Statements of Condition - USD ($) $ in Millions		Sep. 30, 2019	Dec. 31, 2018
Assets:
Cash and due from banks		$ 81	$ 13
Interest-bearing deposits		2,035	2,555
Securities purchased under agreements to resell		7,700	7,300
Federal funds sold		3,871	3,845
Trading Securities	[1]	4	661
Available-for-sale (AFS) securities	[2]	15,316	6,931
Held-to-maturity (HTM) securities (fair values were $8,586 and $11,047, respectively)	[1],[3]	8,564	11,089
Advances (includes $3,967 and $5,133 at fair value under the fair value option, respectively)		62,826	73,434
Mortgage loans held for portfolio, net of allowance for credit losses of $0 and $0, respectively		3,382	3,066
Accrued interest receivable		133	133
Derivative assets, net		23	185
Other assets		218	114
Total Assets		104,153	109,326
Liabilities:
Deposits		652	262
Consolidated obligations:
Bonds (includes $577 and $2,019 at fair value under the fair value option, respectively)		67,431	72,276
Discount notes		28,605	29,182
Total consolidated obligations		96,036	101,458
Mandatorily redeemable capital stock		138	227
Borrowings from other FHLBanks		0	250
Accrued interest payable		178	155
Affordable Housing Program (AHP) payable		158	182
Derivative liabilities, net		1	10
Other liabilities		420	252
Total Liabilities		97,583	102,796
Commitments and Contingencies (Note 17)
Capital:
Capital stock-Class B-Putable ($100 par value) issued and outstanding: 29 shares and 29 shares, respectively		2,898	2,949
Unrestricted retained earnings		2,715	2,699
Restricted retained earnings		690	647
Total Retained Earnings		3,405	3,346
Accumulated other comprehensive income/(loss) (AOCI)		267	235
Total Capital		6,570	6,530
Total Liabilities and Capital		104,153	109,326
Available-for-sale securities pledged as collateral that may be repledged		$ 321	$ 0

[1] At September 30, 2019, and December 31, 2018, none of these securities were pledged as collateral that may be repledged.

[2] At September 30, 2019, $321 of these securities were pledged as collateral that may be repledged. At December 31, 2018, none of these securities were pledged as collateral that may be repledged.

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

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Other-Than-Temporary Impairment Analysis (Tables)

9 Months Ended

Sep. 30, 2019

Other than Temporary Impairment Losses, Investments [Abstract]

ScheduleOfTransfersFromHeldToMaturityToAvailableForSale [Table Text Block]

The following table summarizes the PLRMBS transferred from the Bank’s HTM portfolio to its AFS portfolio during the three and nine months ended September 30, 2018. 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 three and nine months ended September 30, 2019.

	Three Months Ended September 30, 2018								Nine Months Ended September 30, 2018
	Amortized Cost		OTTI Recognized in AOCI		Gross Unrecognized Holding Gains (Losses)		Estimated Fair Value		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:
Alt-A	$	—	$	—	$	—	$	—	$	12	$	—	$	—	$	12
Total	$	—	$	—	$	—	$	—	$	12	$	—	$	—	$	12

Schedule of Significant Inputs In Measuring Other Than Temporary Impairments Recognized In Earnings

For securities determined to be other-than-temporarily impaired as of September 30, 2019 (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 third quarter of 2019, and the related current credit enhancement for the Bank.

September 30, 2019
	Significant Inputs for Other-Than-Temporarily Impaired PLRMBS			Current
	Prepayment Rates	Default Rates	Loss Severities	Credit Enhancement
Collateral Type at Origination	Weighted Average % (1)	Weighted Average % (1)	Weighted Average % (1)	Weighted Average % (1)
Alt-A	13.6	20.2	41.8	1.9

(1)

Weighted average percentage is based on unpaid principal balance.

Other than Temporary Impairment, Credit Losses Recognized in Earnings

following table presents the credit-related OTTI, which is recognized in earnings, for the three and nine months ended September 30, 2019 and 2018.

	Three Months Ended September 30,						Nine Months Ended September 30,
	2019			2018			2019			2018
Balance, beginning of the period	$	1,050		$	1,103		$	1,077		$	1,129
Additional charges on securities for which OTTI was previously recognized(1)	2			3			8			9
Securities matured during the period(2)	(3		)	—			(5		)	—
Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities(3)	(15		)	(15		)	(46		)	(47		)
Balance, end of the period	$	1,034		$	1,091		$	1,034		$	1,091

(1) For the three months ended September 30, 2019 and 2018, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to July 1, 2019 and 2018, respectively. For the nine months ended September 30, 2019 and 2018, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2019 and 2018, respectively.

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

(3) The total accretion or amortization associated with other-than-temporarily impaired PLRMBS (amount recognized in interest income) totaled $21 and $20 for the three months ended September 30, 2019 and 2018, respectively. The total net accretion/(amortization) associated with other-than-temporarily impaired PLRMBS (amount recognized in interest income) totaled $58 and $62 for the nine months ended September 30, 2019 and 2018, respectively.

In general, t

Schedule of Other Than Temporarily Impaired Charges Incurred During Life of the Securities

The following tables present the Bank’s AFS and HTM PLRMBS that incurred OTTI losses anytime during the life of the securities at September 30, 2019, and December 31, 2018, by loan collateral type:

September 30, 2019
	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	$	281	$	232	$	252	$	—	$	—	$	—	$	—
Alt-A	2,776		2,235		2,503		42		38		35		42
Total	$	3,057	$	2,467	$	2,755	$	42	$	38	$	35	$	42

December 31, 2018
	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	$	323	$	267	$	288	$	—	$	—	$	—	$	—
Alt-A	3,225		2,603		2,869		52		47		44		51
Total	$	3,548	$	2,870	$	3,157	$	52	$	47	$	44	$	51

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Deposits (Tables)

9 Months Ended

Sep. 30, 2019

Deposits [Abstract]

Schedule of Deposit Liabilities by Component

Deposits and interest rate payment terms for deposits as of September 30, 2019, and December 31, 2018, were as follows:

Schedule of Interest Rate Payment Terms On Deposit Liabilities

	September 30, 2019				December 31, 2018
	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding		Weighted Average Interest Rate
Interest-bearing deposits – Adjustable rate	$	509	1.55	%	$	240	2.10	%
Non-interest-bearing deposits	143				22
Total	$	652			$	262

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Other-Than-Temporary Impairment Analysis (OTTI Impaired PLRMBS) (Details) - Subtotal PLRMBS - Residential Mortgage Backed Securities - USD ($) $ in Millions	Sep. 30, 2019	Dec. 31, 2018
Available-for-sale Securities
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items]
Unpaid Principal Balance	$ 3,057	$ 3,548
Amortized Cost	2,467	2,870
Estimated Fair Value	2,755	3,157
Held-to-maturity Securities
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items]
Unpaid Principal Balance	42	52
Amortized Cost	38	47
Estimated Fair Value	42	51
Carrying Value	35	44
Prime | Available-for-sale Securities
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items]
Unpaid Principal Balance	281	323
Amortized Cost	232	267
Estimated Fair Value	252	288
Prime | Held-to-maturity Securities
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items]
Unpaid Principal Balance	0	0
Amortized Cost	0	0
Estimated Fair Value	0	0
Carrying Value	0	0
Alt-A | Available-for-sale Securities
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items]
Unpaid Principal Balance	2,776	3,225
Amortized Cost	2,235	2,603
Estimated Fair Value	2,503	2,869
Alt-A | Held-to-maturity Securities
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items]
Unpaid Principal Balance	42	52
Amortized Cost	38	47
Estimated Fair Value	42	51
Carrying Value	$ 35	$ 44

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Other-Than-Temporary Impairment Analysis (Narrative) (Details) - USD ($) $ in Millions	9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018
Other than Temporary Impairment Losses, Investments [Abstract]
Held to Maturity Securities Transferred to Available for Sale Securities During Period, Amortized Cost Basis	$ 0	$ 0
Period Assumed For Housing Markets That Have Reached Trough	12 months
Projected Change In The Twelve Month Housing Price Percentage Rate, Maximum Decrease	6.00%
Projected Change In The Twelve Month Housing Price Percentage Rate, Maximum Increase	10.00%
Projected Change In The Short-term Housing Price Percentage Rate, Minimum Increase In Vast Majority Of Markets	2.00%
Projected Change In The Short-term Housing Price Percentage Rate, Maximum Increase In Vast Majority Of Markets	6.00%

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Capital (Retained Earnings and Dividend Policy) (Details) - USD ($) $ in Millions			3 Months Ended		9 Months Ended
		Nov. 12, 2019	Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018	Oct. 24, 2019	Jul. 01, 2019	Jun. 30, 2019	Dec. 31, 2018	Jun. 30, 2018	Jan. 01, 2018	Dec. 31, 2017
Capital [Line Items]
Restriction on Dividend Payment, Ratio of Market Value of Capital to Par Value of Capital Less than 70%			70.00%		70.00%
Ratio of Market Value of Capital to Par Value of Capital Stock			224.00%		224.00%
Retained Earnings, Set by the Board inc JCEA								$ 2,400				$ 2,500
Excess Capital			$ 178		$ 178					$ 166
Excess Capital to Assets			0.17%		0.17%
Dividends [Abstract]
Dividends, Cash, Annualized Rate			7.00%	7.00%	7.00%	7.00%
Total dividends			$ 56	$ 56	$ 166	$ 178
Interest Expense on Mandatorily Redeemable Capital Stock	[1]		3	5	11	16
Retained Earnings Activity [Roll Forward]
Total Capital			6,570	6,590	6,570	6,590			$ 6,664	6,530	$ 6,499		$ 6,806
Net Income/(Loss)			61	102	214	287
Cash dividends on capital stock			(53)	(51)	(155)	(162)
Balance at end of the period			690		690
Amount of Excess Stock and Financial Instruments Subject to Mandatory Redemption, Repurchased During Period			$ 210	294	$ 977	1,422
Subsequent Event
Subsequent Events [Abstract]
Dividends, Cash Declared, Annualized Rate							7.00%
Interest and Dividends Payable, Current							$ 54
Dividends Payable							51
Interest Payable, Current							$ 3
Dividends Payable, Date to be Paid		Nov. 12, 2019
Minimum
Capital [Line Items]
Regulatory Restrictions on Payment of Capital Stock Dividends, Excess Stock to Assets, Percent			1.00%		1.00%
Limit on Dividend Payment, Ratio of Market Value of Capital to Par Value of Capital			70.00%		70.00%
Subsequent Events [Abstract]
Dividends, Cash Declared, Annualized Rate			5.00%		5.00%
Maximum
Capital [Line Items]
Limit on Dividend Payment, Ratio of Market Value of Capital to Par Value of Capital			100.00%		100.00%
Subsequent Events [Abstract]
Dividends, Cash Declared, Annualized Rate			7.00%		7.00%
Unrestricted Retained Earnings
Retained Earnings Activity [Roll Forward]
Total Capital			$ 2,715	2,737	$ 2,715	2,737			2,719	2,699	2,707		2,670
Cash dividends on capital stock			(53)	(51)	(155)	(162)
Total Restricted Retained Earnings
Retained Earnings Activity [Roll Forward]
Total Capital			$ 690	$ 633	$ 690	$ 633			$ 678	$ 647	$ 612		$ 575

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

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Consolidated Obligations Narrative (Details) - USD ($) $ in Millions	Sep. 30, 2019	Dec. 31, 2018
Debt Disclosure [Abstract]
Obligation with Joint and Several Liability Arrangement, Amount Outstanding	$ 1,010,271	$ 1,031,617
Federal Home Loan Bank, Consolidated Obligations	$ 96,036	$ 101,458

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Consolidated Obligations (Consolidated Obligation Discount Notes) (Details) - USD ($) $ in Millions		Sep. 30, 2019	Dec. 31, 2018
Short-term Debt [Line Items]
Discount notes, par value		$ 28,673	$ 29,273
Total		$ 28,605	$ 29,182
Par amount, Weighted Average Interest Rate	[1]	2.01%	2.32%
Discount notes
Short-term Debt [Line Items]
Unamortized discounts		$ (68)	$ (91)

[1] Represents yield to maturity excluding concession fees.

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Derivatives and Hedging Activities (Narrative) (Details) $ in Millions	9 Months Ended
	Sep. 30, 2019 USD ($)
Derivative [Line Items]
Derivative, Net Liability Position, Aggregate Fair Value	$ 537
Collateral Already Posted, Aggregate Fair Value	$ 542
Maximum
Derivative [Line Items]
Advances, Maturity Period, Fixed Rate	30 years

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Derivatives and Hedging Activities (Derivatives in Statement of Income and Impact on Interest) (Details) - USD ($) $ in Millions	3 Months Ended		9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018
Derivative Instruments, Gain (Loss) [Line Items]
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net	$ (20)	$ 18	$ (109)	$ 66
Interest rate swaps
Derivative Instruments, Gain (Loss) [Line Items]
Net Fair Value Hedge Ineffectiveness		(1)		3
Gain (Loss) on Derivative and Hedging Activities
Derivative Instruments, Gain (Loss) [Line Items]
Gain (Loss) on Derivative Instruments, Net, Pretax	(20)	18	(109)	66
Gain (Loss) on Derivative and Hedging Activities | Not Designated as Hedging Instrument, Economic Hedge [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Derivative Instruments, Other Gain (Loss)	0	(1)	0	(2)
Gain (Loss) on Derivative and Hedging Activities | Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest rate swaps
Derivative Instruments, Gain (Loss) [Line Items]
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net	(17)	23	(102)	65
Gain (Loss) on Derivative and Hedging Activities | Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest Rate Caps and Floors [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net	(1)	0	(2)	1
Gain (Loss) on Derivative and Hedging Activities | Not Designated as Hedging Instrument, Economic Hedge [Member] | Net Settlements [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net	(3)	(5)	(8)	(12)
Gain (Loss) on Derivative and Hedging Activities | Not Designated as Hedging Instrument [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net	(20)	20	(109)	65
Gain (Loss) on Derivative and Hedging Activities | Not Designated as Hedging Instrument [Member] | Mortgage delivery commitments | Mortgages
Derivative Instruments, Gain (Loss) [Line Items]
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net	$ 1	$ 2	$ 3	$ 11

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Capital (Mandatorily Redeemable Capital Stock) (Details) $ in Millions		3 Months Ended		9 Months Ended
		Sep. 30, 2019 USD ($) Institutions	Sep. 30, 2018 USD ($)	Sep. 30, 2019 USD ($) Institutions	Sep. 30, 2018 USD ($)	Dec. 31, 2018 Institutions
Capital [Line Items]
Financial Instruments Subject to Mandatory Redemption, Number of Stockholders | Institutions		3		3		3
Interest Expense on Mandatorily Redeemable Capital Stock	[1]	$ 3	$ 5	$ 11	$ 16
Mandatorily Redeemable Capital Stock [Roll Forward]
Balance at the beginning of the period		138	255	227	309
Reclassified from/(to) capital during the period		4	0	4	2
Repurchase of excess mandatorily redeemable capital stock		(4)	(28)	(93)	(84)
Balance at the end of the period		$ 138	$ 227	$ 138	$ 227

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

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Fair Value (Tables)

9 Months Ended

Sep. 30, 2019

Fair Value Disclosures [Abstract]

Fair Value, by Balance Sheet Grouping

The following tables present the carrying value, the estimated fair value, and the fair value hierarchy level of the Bank’s financial instruments at September 30, 2019, and December 31, 2018. The Bank records trading securities, AFS securities, derivative assets, derivative liabilities, certain advances, certain consolidated obligations, and certain other assets at fair value on a recurring basis, and on occasion certain mortgage loans held for portfolio and certain other assets at fair value on a nonrecurring basis. The Bank records all other financial assets and liabilities at amortized cost. Refer to the following tables for further details about the financial assets and liabilities held at fair value on either a recurring or non-recurring basis.

	September 30, 2019
	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral(1)
Assets
Cash and due from banks	$	81	$	81	$	81	$	—	$	—	$	—
Interest-bearing deposits	2,035		2,035		2,035		—		—		—
Securities purchased under agreements to resell	7,700		7,700		—		7,700		—		—
Federal funds sold	3,871		3,871		—		3,871		—		—
Trading securities	4		4		—		4		—		—
AFS securities	15,316		15,316		—		12,561		2,755		—
HTM securities	8,564		8,586		—		8,101		485		—
Advances	62,826		62,880		—		62,880		—		—
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	3,382		3,385		—		3,385		—		—
Accrued interest receivable	133		133		—		133		—		—
Derivative assets, net(1)	23		23		—		25		—		(2		)
Other assets(2)	18		18		18		—		—		—
Liabilities
Deposits	652		652		—		652		—		—
Consolidated obligations:
Bonds	67,431		67,389		—		67,389		—		—
Discount notes	28,605		28,608		—		28,608		—		—
Total consolidated obligations	96,036		95,997		—		95,997		—		—
Mandatorily redeemable capital stock	138		138		138		—		—		—
Accrued interest payable	178		178		—		178		—		—
Derivative liabilities, net(1)	1		1		—		550		—		(549		)
Other
Standby letters of credit	31		31		—		31		—		—

	December 31, 2018
	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral(1)
Assets
Cash and due from banks	$	13	$	13	$	13	$	—	$	—	$	—
Interest-bearing deposits	2,555		2,555		2,555		—		—		—
Securities purchased under agreements to resell	7,300		7,299		—		7,299		—		—
Federal funds sold	3,845		3,846		—		3,846		—		—
Trading securities	661		661		—		661		—		—
AFS securities	6,931		6,931		—		3,774		3,157		—
HTM securities	11,089		11,047		—		10,362		685		—
Advances	73,434		73,462		—		73,462		—		—
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	3,066		2,975		—		2,975		—		—
Accrued interest receivable	133		133		—		133		—		—
Derivative assets, net(1)	185		185		—		86		—		99
Other assets(2)	16		16		16		—		—		—
Liabilities
Deposits	262		262		—		262		—		—
Consolidated obligations:
Bonds	72,276		72,079		—		72,079		—		—
Discount notes	29,182		29,178		—		29,178		—		—
Total consolidated obligations	101,458		101,257		—		101,257		—		—
Mandatorily redeemable capital stock	227		227		227		—		—		—
Borrowings from other FHLBanks	250		250		—		250		—		—
Accrued interest payable	155		155		—		155		—		—
Derivative liabilities, net(1)	10		10		—		147		—		(137		)
Other
Standby letters of credit	27		27		—		27		—		—

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

(2) Represents publicly traded mutual funds held in a grantor trust.

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques

The tables below present the fair value of assets and liabilities, which are recorded on a recurring or nonrecurring basis at September 30, 2019, and December 31, 2018, by level within the fair value hierarchy.

September 30, 2019
	Fair Value Measurement Using:						Netting Adjustments  and Cash
	Level 1		Level 2		Level 3		Collateral(1)			Total
Recurring fair value measurements – Assets:
Trading securities – MBS – Other U.S. obligations – Ginnie Mae	$	—	$	4	$	—	$	—		$	4
AFS securities:
U.S. obligations – Treasury securities	—		5,287		—		—			5,287
MBS:
GSEs – multifamily	—		7,274		—		—			7,274
PLRMBS	—		—		2,755		—			2,755
Subtotal MBS	—		7,274		2,755		—			10,029
Total AFS securities	—		12,561		2,755		—			15,316
Advances(2)	—		3,967		—		—			3,967
Derivative assets, net: interest rate-related	—		25		—		(2		)	23
Other assets	18		—		—		—			18
Total recurring fair value measurements – Assets	$	18	$	16,557	$	2,755	$	(2	)	$	19,328
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	577	$	—	$	—		$	577
Derivative liabilities, net: interest rate-related	—		550		—		(549		)	1
Total recurring fair value measurements – Liabilities	$	—	$	1,127	$	—	$	(549	)	$	578
Nonrecurring fair value measurements – Assets:(4)
Impaired mortgage loans held for portfolio	$	—	$	—	$	1	$	—		$	1
Total nonrecurring fair value measurements – Assets	$	—	$	—	$	1	$	—		$	1

December 31, 2018
	Fair Value Measurement Using:						Netting Adjustments  and Cash
	Level 1		Level 2		Level 3		Collateral(1)			Total
Recurring fair value measurements – Assets:
Trading securities:
GSEs – FFCB bonds	$	—	$	656	$	—	$	—		$	656
MBS – Other U.S. obligations – Ginnie Mae	—		5		—		—			5
Total trading securities	—		661		—		—			661
AFS securities:
MBS – GSEs – multifamily	—		3,774		—		—			3,774
PLRMBS	—		—		3,157		—			3,157
Total AFS securities	—		3,774		3,157		—			6,931
Advances(2)	—		5,133		—		—			5,133
Derivative assets, net: interest rate-related	—		86		—		99			185
Other assets	16		—		—		—			16
Total recurring fair value measurements – Assets	$	16	$	9,654	$	3,157	$	99		$	12,926
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	2,019	$	—	$	—		$	2,019
Derivative liabilities, net: interest rate-related	—		147		—		(137		)	10
Total recurring fair value measurements – Liabilities	$	—	$	2,166	$	—	$	(137	)	$	2,029
Nonrecurring fair value measurements – Assets:(4)
Impaired mortgage loans held for portfolio	$	—	$	—	$	2	$	—		$	2
Total nonrecurring fair value measurements – Assets	$	—	$	—	$	2	$	—		$	2

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

(2) Represents advances recorded under the fair value option at September 30, 2019, and December 31, 2018.

(3) Represents consolidated obligation bonds recorded under the fair value option at September 30, 2019, and December 31, 2018.

(4) The fair value information presented is as of the date the fair value adjustment was recorded during the nine months ended September 30, 2019, and the year ended December 31, 2018.

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation

The following tables present a reconciliation of the Bank’s AFS PLRMBS that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three and nine months ended September 30, 2019 and 2018.

	Three Months Ended
	September 30, 2019			September 30, 2018
Balance, beginning of the period	$	2,929		$	3,510
Total gain/(loss) realized and unrealized included in:
Interest income	20			19
Net OTTI loss, credit-related	(2		)	(3		)
Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI	(15		)	5
Net amount of OTTI loss reclassified to/(from) other income/(loss)	(1		)	—
Settlements	(176		)	(182		)
Balance, end of the period	$	2,755		$	3,349
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	$	16		$	16

	Nine Months Ended
	September 30, 2019			September 30, 2018
Balance, beginning of the period	$	3,157		$	3,833
Total gain/(loss) realized and unrealized included in:
Interest income	57			61
Net OTTI loss, credit-related	(8		)	(9		)
Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI	1			25
Net amount of OTTI loss reclassified to/(from) other income/(loss)	—			(10		)
Settlements	(452		)	(563		)
Transfers of HTM securities to AFS securities	—			12
Balance, end of the period	$	2,755		$	3,349
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	$	46		$	52

Fair Value, Option, Quantitative Disclosures

The following table presents the difference between the aggregate remaining contractual principal balance outstanding and aggregate fair value of advances and consolidated obligation bonds for which the Bank elected the fair value option at September 30, 2019, and December 31, 2018:

	September 30, 2019						December 31, 2018
	Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance		Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance
Advances(1)	$	3,873	$	3,967	$	94	$	5,162	$	5,133	$	(29	)
Consolidated obligation bonds	575		577		2		2,024		2,019		(5		)

(1)

At September 30, 2019, and December 31, 2018, none of these advances were 90 days or more past due or had been placed on nonaccrual status.

The following tables summarize the activity related to financial assets and liabilities for which the Bank elected the fair value option during the three and nine months ended September 30, 2019 and 2018:

	Three Months Ended
	September 30, 2019						September 30, 2018
	Advances			Consolidated Obligation Bonds			Advances			Consolidated Obligation Bonds
Balance, beginning of the period	$	4,529		$	943		$	6,083		$	1,404
New transactions elected for fair value option	—			—			188			851
Maturities and terminations	(583		)	(365		)	(873		)	(50		)
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds from changes in fair value recognized in earnings	22			2			(15		)	(3		)
Change in accrued interest	(1		)	(3		)	—			—
Balance, end of the period	$	3,967		$	577		$	5,383		$	2,202

	Nine Months Ended
	September 30, 2019						September 30, 2018
	Advances			Consolidated Obligation Bonds			Advances			Consolidated Obligation Bonds
Balance, beginning of the period	$	5,133		$	2,019		$	6,431		$	949
New transactions elected for fair value option	74			—			1,752			1,314
Maturities and terminations	(1,363		)	(1,448		)	(2,723		)	(50		)
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds from changes in fair value recognized in earnings	125			14			(78		)	(13		)
Change in accrued interest	(2		)	(8		)	1			2
Balance, end of the period	$	3,967		$	577		$	5,383		$	2,202

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Available-for-Sale Securities (Narrative) (Details) - USD ($) $ in Millions	Sep. 30, 2019	Jun. 30, 2019	Dec. 31, 2018	Sep. 30, 2018	Jun. 30, 2018	Dec. 31, 2017
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities, Premiums	$ 64		$ 19
Available for sale Securities Discounts	(52)		(53)
Credit-related OTTI	1,034	$ 1,050	1,077	$ 1,091	$ 1,103	$ 1,129
Available-for-sale Securities | Total MBS
Debt Securities, Available-for-sale [Line Items]
Credit-related OTTI	$ 601		$ 690

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Deposits (Details) - USD ($) $ in Millions	Sep. 30, 2019	Dec. 31, 2018
Demand Deposits [Line Items]
Noninterest-bearing Deposit Liabilities, Domestic	$ 143	$ 22
Deposits	652	262
Adjustable rate
Demand Deposits [Line Items]
Interest-bearing Deposit Liabilities, Domestic	$ 509	$ 240
Weighted Average Rate, Interest-bearing Domestic Deposits, Point in Time	1.55%	2.10%

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Commitments and Contingencies Off-Balance Sheet Commitments (Details) - USD ($) $ in Millions	9 Months Ended
	Sep. 30, 2019	Dec. 31, 2018
Loss Contingencies [Line Items]
Obligation with Joint and Several Liability Arrangement, Amount Outstanding	$ 1,010,271	$ 1,031,617
Standby Letters Of Credit, Final Expiration	2034
Other Liabilities	$ 420	252
Commitments to purchase mortgage loans, maximum term	60 days
Total consolidated obligations, par value	$ 96,098	101,609
Assets Pledged As Collateral	875
Security Owned and Pledged as Collateral, Fair Value	321
Derivative, Collateral, Right to Reclaim Cash	554	257
Standby letters of credit outstanding
Loss Contingencies [Line Items]
Expire Within One Year	16,212	13,661
Expire After One Year	4,492	4,418
Total	20,704	18,079
Other Liabilities	31	27
Commitments to issue consolidated obligation discount notes, par
Loss Contingencies [Line Items]
Expire Within One Year	0	350
Expire After One Year	0	0
Total	0	350
Commitments to issue consolidated obligation bonds, par
Loss Contingencies [Line Items]
Expire Within One Year	40	0
Expire After One Year	0	0
Total	$ 40	0
Minimum | Standby letters of credit outstanding
Loss Contingencies [Line Items]
Guarantor Obligations, Term	7 days
Maximum | Standby letters of credit outstanding
Loss Contingencies [Line Items]
Guarantor Obligations, Term	15 years
Guarantee of Indebtedness of Others
Loss Contingencies [Line Items]
Total consolidated obligations, par value	$ 96,098	101,609
Mortgages | Commitments to purchase mortgage loans
Loss Contingencies [Line Items]
Expire Within One Year	95	12
Expire After One Year	0	0
Total	$ 95	$ 12

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Allowance for Credit Losses (Delinquent Mortgage Loans) (Details) - Conventional Mortgage Loan - USD ($) $ in Millions		Sep. 30, 2019	Dec. 31, 2018
Financing Receivable, Allowance for Credit Loss [Line Items]
Total past due	[1]	$ 21	$ 26
Total current loans	[1]	3,381	3,058
Total mortgage loans	[1]	3,402	3,084
In process of foreclosure, included above	[1],[2]	2	3
Nonaccrual loans	[1]	$ 6	$ 9
Serious delinquencies as a percentage of total mortgage loans outstanding	[1],[3]	0.19%	0.31%
30 – 59 days delinquent
Financing Receivable, Allowance for Credit Loss [Line Items]
Total past due	[1]	$ 13	$ 15
60 – 89 days delinquent
Financing Receivable, Allowance for Credit Loss [Line Items]
Total past due	[1]	2	2
90 days or more delinquent
Financing Receivable, Allowance for Credit Loss [Line Items]
Total past due	[1]	$ 6	$ 9

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

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

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

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Advances (Credit and Concentration Risk) (Details) - USD ($) $ in Millions		3 Months Ended			9 Months Ended
		Sep. 30, 2019	Sep. 30, 2018		Sep. 30, 2019		Sep. 30, 2018		Dec. 31, 2018
Advances [Line Items]
Advances Outstanding		$ 62,439	$ 69,614		$ 62,439		$ 69,614		$ 73,495
Interest Income from Advances	[1]	$ 388	$ 371		$ 1,309		$ 1,098
Percentage of Total Advances Outstanding
Advances [Line Items]
Concentration Risk, Percentage					100.00%		100.00%
Percentage of Total Interest Income from Advances
Advances [Line Items]
Concentration Risk, Percentage		100.00%	100.00%		100.00%		100.00%
MUFG Union Bank, NA
Advances [Line Items]
Advances Outstanding		$ 14,100	$ 11,900		$ 14,100		$ 11,900
Interest Income from Advances		92	66	[1]	287	[1]	170	[1]
First Republic Bank [Member]
Advances [Line Items]
Advances Outstanding		11,200	9,700		11,200		9,700
Interest Income from Advances		62	49	[1]	175	[1]	130	[1]
Wells Fargo Financial National Bank West [Member]
Advances [Line Items]
Advances Outstanding	[2]	8,000	4,000		8,000		4,000
Interest Income from Advances	[2]	49	23		150	[1]	62	[1]
Wells Fargo Bank NA [Member]
Advances [Line Items]
Advances Outstanding	[3]	41	49		41		49
Interest Income from Advances	[3]	1	1		2	[1]	2	[1]
Wells Fargo and Company [Member]
Advances [Line Items]
Advances Outstanding		8,041	4,049		8,041		4,049
Interest Income from Advances		50	24		152		64
Bank of the West [Member]
Advances [Line Items]
Advances Outstanding		5,556	7,458		5,556		7,458
Interest Income from Advances		41	40	[1]	124	[1],[2]	104	[1]
JPMorgan Chase Bank, National Association
Advances [Line Items]
Advances Outstanding	[3]	5,056	8,360		5,056		8,360
Interest Income from Advances	[3]	33	57	[1]	144		161	[1]
Top five borrowers
Advances [Line Items]
Advances Outstanding		43,953	41,467		43,953		41,467
Interest Income from Advances		$ 278	$ 236	[1]	$ 882	[1]	$ 629	[1]
Top five borrowers | Percentage of Total Advances Outstanding
Advances [Line Items]
Concentration Risk, Percentage					70.00%		60.00%
Top five borrowers | Percentage of Total Interest Income from Advances
Advances [Line Items]
Concentration Risk, Percentage		72.00%	64.00%		67.00%		57.00%
Top five borrowers | MUFG Union Bank, NA | Percentage of Total Advances Outstanding
Advances [Line Items]
Concentration Risk, Percentage					22.00%		17.00%
Top five borrowers | MUFG Union Bank, NA | Percentage of Total Interest Income from Advances
Advances [Line Items]
Concentration Risk, Percentage		24.00%	18.00%		22.00%		15.00%
Top five borrowers | First Republic Bank [Member] | Percentage of Total Advances Outstanding
Advances [Line Items]
Concentration Risk, Percentage					18.00%		14.00%
Top five borrowers | First Republic Bank [Member] | Percentage of Total Interest Income from Advances
Advances [Line Items]
Concentration Risk, Percentage		16.00%	13.00%		13.00%		12.00%
Top five borrowers | Wells Fargo Financial National Bank West [Member] | Percentage of Total Advances Outstanding
Advances [Line Items]
Concentration Risk, Percentage	[2]				13.00%		6.00%
Top five borrowers | Wells Fargo Financial National Bank West [Member] | Percentage of Total Interest Income from Advances
Advances [Line Items]
Concentration Risk, Percentage	[2]	13.00%	7.00%		12.00%		5.00%
Top five borrowers | Wells Fargo Bank NA [Member] | Percentage of Total Advances Outstanding
Advances [Line Items]
Concentration Risk, Percentage	[3]				0.00%		0.00%
Top five borrowers | Wells Fargo Bank NA [Member] | Percentage of Total Interest Income from Advances
Advances [Line Items]
Concentration Risk, Percentage	[3]	0.00%	0.00%		0.00%		0.00%
Top five borrowers | Wells Fargo and Company [Member] | Percentage of Total Advances Outstanding
Advances [Line Items]
Concentration Risk, Percentage					13.00%		6.00%
Top five borrowers | Wells Fargo and Company [Member] | Percentage of Total Interest Income from Advances
Advances [Line Items]
Concentration Risk, Percentage		13.00%	7.00%		12.00%		5.00%
Top five borrowers | Bank of the West [Member] | Percentage of Total Advances Outstanding
Advances [Line Items]
Concentration Risk, Percentage					9.00%		11.00%
Top five borrowers | Bank of the West [Member] | Percentage of Total Interest Income from Advances
Advances [Line Items]
Concentration Risk, Percentage		10.00%	11.00%		9.00%		10.00%
Top five borrowers | JPMorgan Chase Bank, National Association | Percentage of Total Advances Outstanding
Advances [Line Items]
Concentration Risk, Percentage	[3]				8.00%		12.00%
Top five borrowers | JPMorgan Chase Bank, National Association | Percentage of Total Interest Income from Advances
Advances [Line Items]
Concentration Risk, Percentage	[3]	9.00%	15.00%		11.00%		15.00%
Other Borrowers
Advances [Line Items]
Advances Outstanding		$ 18,486	$ 28,147		$ 18,486		$ 28,147
Interest Income from Advances		$ 110	$ 135	[1]	$ 427	[1]	$ 469	[1]
Other Borrowers | Percentage of Total Advances Outstanding
Advances [Line Items]
Concentration Risk, Percentage					30.00%		40.00%
Other Borrowers | Percentage of Total Interest Income from Advances
Advances [Line Items]
Concentration Risk, Percentage		28.00%	36.00%		33.00%		43.00%

[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 April 15, 2019, Wells Fargo Financial National Bank was renamed Wells Fargo Financial National Bank West.

[3] Nonmember institution.

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Fair Value (Fair Value Measured on Recurring and Nonrecurring Basis) (Details) - USD ($) $ in Millions		Sep. 30, 2019	Dec. 31, 2018
USTreasurySecuritiesAndUSGovernmentAgenciesDebtSecuritiesMember [Domain] | Fair Value, Measurements, Recurring | Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Available-for-sale (AFS) securities		$ 0
USTreasurySecuritiesAndUSGovernmentAgenciesDebtSecuritiesMember [Domain] | Fair Value, Measurements, Recurring | Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Available-for-sale (AFS) securities		5,287
USTreasurySecuritiesAndUSGovernmentAgenciesDebtSecuritiesMember [Domain] | Fair Value, Measurements, Recurring | Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Available-for-sale (AFS) securities		0
USTreasurySecuritiesAndUSGovernmentAgenciesDebtSecuritiesMember [Domain] | Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Available-for-sale (AFS) securities		5,287
MBS - GSEs
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		4	$ 5
GSEs – FFCB bonds
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0	656
GSEs – FFCB bonds | Fair Value, Measurements, Recurring | Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities			0
GSEs – FFCB bonds | Fair Value, Measurements, Recurring | Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities			656
GSEs – FFCB bonds | Fair Value, Measurements, Recurring | Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities			0
GSEs – FFCB bonds | Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities			656
Trading securities – MBS – Other U.S. obligations – Ginnie Mae | Fair Value, Measurements, Recurring | Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0	0
Trading securities – MBS – Other U.S. obligations – Ginnie Mae | Fair Value, Measurements, Recurring | Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		4	5
Trading securities – MBS – Other U.S. obligations – Ginnie Mae | Fair Value, Measurements, Recurring | Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0	0
Trading securities – MBS – Other U.S. obligations – Ginnie Mae | Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		4	5
Trading securities		4	661
Available-for-sale (AFS) securities	[1]	15,316	6,931
Advances	[2]	3,967	5,133
Derivative Asset, Netting adjustments	[3]	2	(99)
Derivative assets, net		23	185
Derivative Liability, Netting adjustments	[3]	(549)	(137)
Derivative liabilities, net		1	10
Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0	0
Available-for-sale (AFS) securities		0	0
Other assets	[4]	18	16
Mortgage loans held for portfolio		0	0
Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		4	661
Available-for-sale (AFS) securities		12,561	3,774
Derivative Asset, Netting adjustments	[5]	(2)	99
Other assets	[4]	0	0
Derivative Liability, Netting adjustments	[5]	(549)	(137)
Mortgage loans held for portfolio		3,385	2,975
Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0	0
Available-for-sale (AFS) securities		2,755	3,157
Other assets	[4]	0	0
Mortgage loans held for portfolio		0	0
Fair Value, Measurements, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Advances	[6]	3,967	5,133
Derivative Asset, Netting adjustments	[7]	(2)	99
Derivative Liability, Netting adjustments	[7]	(549)	(137)
Fair Value, Measurements, Recurring | Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities			0
Available-for-sale (AFS) securities		0	0
Advances	[6]	0	0
Other assets		18	16
Total fair value measurements – Assets		18	16
Total recurring fair value measurements – Liabilities		0	0
Fair Value, Measurements, Recurring | Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities			661
Available-for-sale (AFS) securities		12,561	3,774
Advances	[6]	3,967	5,133
Other assets		0	0
Total fair value measurements – Assets		16,557	9,654
Total recurring fair value measurements – Liabilities		1,127	2,166
Fair Value, Measurements, Recurring | Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities			0
Available-for-sale (AFS) securities		2,755	3,157
Advances	[6]	0	0
Other assets		0	0
Total fair value measurements – Assets		2,755	3,157
Total recurring fair value measurements – Liabilities		0	0
Fair Value, Measurements, Nonrecurring | Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Total fair value measurements – Assets	[8]	0	0
Mortgage loans held for portfolio		0	0	[8]
Fair Value, Measurements, Nonrecurring | Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Total fair value measurements – Assets	[8]	0	0
Mortgage loans held for portfolio		0	0	[8]
Fair Value, Measurements, Nonrecurring | Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Total fair value measurements – Assets	[8]	1	2
Mortgage loans held for portfolio	[8]	1	2
Consolidated obligation bonds
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Bonds		577	2,019
Consolidated obligation bonds | Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Bonds		0	0
Consolidated obligation bonds | Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Bonds		67,389	72,079
Consolidated obligation bonds | Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Bonds		0	0
Consolidated obligation bonds | Fair Value, Measurements, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Bonds	[9]	577	2,019
Consolidated obligation bonds | Fair Value, Measurements, Recurring | Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Bonds	[9]	0	0
Consolidated obligation bonds | Fair Value, Measurements, Recurring | Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Bonds	[9]	577	2,019
Consolidated obligation bonds | Fair Value, Measurements, Recurring | Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Bonds	[9]	0	0
Estimate of Fair Value Measurement
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		4	661
Available-for-sale (AFS) securities		15,316	6,931
Derivative assets, net	[5]	23	185
Other assets	[4]	18	16
Derivative liabilities, net	[5]	1	10
Mortgage loans held for portfolio		3,385	2,975
Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities			661
Available-for-sale (AFS) securities		15,316	6,931
Other assets		18	16
Total fair value measurements – Assets		19,328	12,926
Total recurring fair value measurements – Liabilities		578	2,029
Estimate of Fair Value Measurement | Fair Value, Measurements, Nonrecurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Total fair value measurements – Assets	[8]	1	2
Mortgage loans held for portfolio	[8]	1	2
Estimate of Fair Value Measurement | Consolidated obligation bonds
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Bonds		67,389	72,079
Interest rate swaps | Fair Value, Measurements, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative Asset, Netting adjustments	[7]	(2)	99
Derivative Liability, Netting adjustments	[7]	(549)	(137)
Interest rate swaps | Fair Value, Measurements, Recurring | Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets, net		0	0
Derivative liabilities, net		0	0
Interest rate swaps | Fair Value, Measurements, Recurring | Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets, net		25	86
Derivative liabilities, net		550	147
Interest rate swaps | Fair Value, Measurements, Recurring | Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets, net		0	0
Derivative liabilities, net		0	0
Interest rate swaps | Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets, net		23	185
Derivative liabilities, net		1	10
GSEs – multifamily: | MBS - GSEs
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Available-for-sale (AFS) securities		7,274	3,774
Residential Mortgage Backed Securities | Subtotal PLRMBS
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Available-for-sale (AFS) securities		2,755	3,157
Residential Mortgage Backed Securities | Subtotal PLRMBS | Fair Value, Measurements, Recurring | Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Available-for-sale (AFS) securities		0	0
Residential Mortgage Backed Securities | Subtotal PLRMBS | Fair Value, Measurements, Recurring | Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Available-for-sale (AFS) securities		0	0
Residential Mortgage Backed Securities | Subtotal PLRMBS | Fair Value, Measurements, Recurring | Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Available-for-sale (AFS) securities		2,755	3,157
Residential Mortgage Backed Securities | Subtotal PLRMBS | Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Available-for-sale (AFS) securities		2,755	3,157
Residential Mortgage Backed Securities | Fair Value, Measurements, Recurring | Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Available-for-sale (AFS) securities		0
Residential Mortgage Backed Securities | Fair Value, Measurements, Recurring | Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Available-for-sale (AFS) securities		7,274
Residential Mortgage Backed Securities | Fair Value, Measurements, Recurring | Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Available-for-sale (AFS) securities		2,755
Residential Mortgage Backed Securities | Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Available-for-sale (AFS) securities		10,029
Residential Mortgage Backed Securities | GSEs – multifamily: | MBS - GSEs | Fair Value, Measurements, Recurring | Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Available-for-sale (AFS) securities		0	0
Residential Mortgage Backed Securities | GSEs – multifamily: | MBS - GSEs | Fair Value, Measurements, Recurring | Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Available-for-sale (AFS) securities		7,274	3,774
Residential Mortgage Backed Securities | GSEs – multifamily: | MBS - GSEs | Fair Value, Measurements, Recurring | Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Available-for-sale (AFS) securities		0	0
Residential Mortgage Backed Securities | GSEs – multifamily: | MBS - GSEs | Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Available-for-sale (AFS) securities		$ 7,274	$ 3,774

[1] At September 30, 2019, $321 of these securities were pledged as collateral that may be repledged. At December 31, 2018, none of these securities were pledged as collateral that may be repledged.

[2] At September 30, 2019, and December 31, 2018, none of these advances were 90 days or more past due or had been placed on nonaccrual status.

[3] Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty. Cash collateral posted and related accrued interest was $555 and $257 at September 30, 2019, and December 31, 2018, respectively. Cash collateral received and related accrued interest was $7 and $22 at September 30, 2019, and December 31, 2018, respectively.

[4] Represents publicly traded mutual funds held in a grantor trust.

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

[6] Represents advances recorded under the fair value option at September 30, 2019, and December 31, 2018.

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

[8] The fair value information presented is as of the date the fair value adjustment was recorded during the nine months ended September 30, 2019

[9] Represents consolidated obligation bonds recorded under the fair value option at September 30, 2019, and December 31, 2018

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Summary of Significant Accounting Policies / Accounting Policies (Policies)

9 Months Ended

Sep. 30, 2019

Accounting Policies [Abstract]

Derivatives Credit Policy [Policy Text Block]

The Bank is subject to credit risk from potential nonperformance by counterparties to the interest rate exchange agreements. All of the Bank’s agreements governing uncleared derivative transactions contain master netting provisions to help mitigate the credit risk exposure to each counterparty. The Bank manages counterparty credit risk through credit analyses and collateral requirements and by following the requirements of the Bank’s risk management policies, credit guidelines, and Finance Agency and other regulations. The Bank also requires credit support agreements on all uncleared derivatives.

For cleared derivatives, the clearinghouse is the Bank’s counterparty. The requirement that the Bank post initial and variation margin through a 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. Variation margin and initial margin are posted for changes in the value and risk profile of cleared derivatives. 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.

Loans and Leases Receivable, Allowance for Loan Losses Policy

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. The Bank purchased loans under the MPF Program that were credit enhanced to an AMA investment-grade level at the time of purchase, where the Bank has a high degree of confidence that it will be paid principal and interest in all material respects, even under reasonably likely adverse changes to expected economic conditions.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.

New Accounting Pronouncements, Policy

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.

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 this guidance early. Based on the Bank’s assessments, this guidance is expected to have no effect on advances or U.S. obligations and Government-Sponsored Enterprises (GSEs) investments. The adoption of this guidance is expected to have an immaterial effect on the remaining investment portfolio given the specific terms, issuer guarantees, and collateralized/securitized nature of these instruments and on mortgage loans. 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.
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.

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.

Derivatives, Methods of Accounting, Hedging Derivatives

The Bank may enter into interest rate swaps (including callable, putable, and basis swaps); and cap and floor agreements (collectively, interest rate exchange agreements or derivatives). Most of the Bank’s interest rate exchange agreements are executed in conjunction with the origination of advances or the issuance of consolidated obligations to create variable rate structures. The interest rate exchange agreements are generally executed at the same time the advances and consolidated obligations are transacted and generally have the same maturity dates as the related hedged instrument. The Bank transacts most of its derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute consolidated obligations. 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 derivatives 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 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 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 or (ii) an economic hedge of assets, liabilities, or other derivatives.

The Bank primarily uses the following interest rate exchange agreement instruments:

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

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

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

The Bank may have the following types of hedged items:

Investments – The Bank may invest in U.S. Treasury and agency obligations, agency MBS, and the taxable portion of highly rated state or local housing finance agency obligations. In the past, the Bank has also invested in PLRMBS rated AAA at the time of acquisition. The interest rate and prepayment risk associated with these investment securities is managed through a combination of debt issuance and derivatives. The Bank may manage prepayment risk and interest rate risk by funding investment securities with consolidated obligations that have call features or by hedging the prepayment risk with a combination of consolidated obligations and callable swaps. The Bank may execute callable swaps in conjunction with the issuance of certain liabilities to create funding that is economically equivalent to fixed rate callable debt. Although these derivatives are economic hedges against prepayment risk and are designated to individual liabilities, they do not receive either fair value or cash flow hedge accounting treatment. Investment securities may be classified as trading, AFS, or HTM.

The Bank may also manage the risk arising from changing market prices or cash flows of investment securities classified as trading or AFS by entering into interest rate exchange agreements that offset the changes in fair value or cash flows of the securities. Hedge relationships that involve trading securities are designated as economic hedges, while hedge relationships that involve AFS securities are designated as fair value hedges. For trading securities that have been designated as an economic hedge, 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. Beginning January 1, 2019, the Bank adopted new hedge accounting guidance, which, among other things, affects the presentation of gains and losses on derivatives and hedging activities for qualifying hedges, including fair value hedges of AFS securities. For 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 AOCI as “Net unrealized gain/(loss) on AFS securities.”

Prior to January 1, 2019, 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 non-interest income as “Net gain/(loss) on derivatives and hedging 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.”

Advances – The Bank offers a wide range of advances structures to meet members’ funding needs. These advances may have maturities up to 30 years with fixed or adjustable rates and may include early termination features or options. The Bank may use derivatives to adjust the repricing and options characteristics of advances to more closely match the characteristics of the Bank’s funding liabilities. In general, whenever a member executes a fixed rate advance, fixed rate advance with embedded options, or a variable rate advance with embedded options, the Bank will simultaneously execute an interest rate exchange agreement with terms that offset the terms and any embedded options in the advance. The combination of the advance and the interest rate exchange agreement effectively creates a variable rate asset. Fixed rate advances without options that are offset with an interest rate exchange agreement are generally treated as fair value hedges. Advances with embedded options are recorded using the fair value option and are economically hedged using interest rate exchange agreements.

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

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

Consolidated Obligations – Consolidated obligation bonds may be structured to meet the Bank’s or the investors’ needs. Common structures include fixed rate bonds with or without call options and adjustable rate bonds with or without embedded options. In general, when bonds are issued, the Bank simultaneously executes an interest rate exchange agreement with terms that offset the terms and embedded options, if any, of the consolidated obligation bond. This combination of the consolidated obligation bond and the interest rate exchange agreement effectively creates an adjustable rate bond. These transactions generally receive fair value hedge accounting treatment.

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

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

Offsetting Derivatives – The Bank enters into derivatives to offset the economic effect of other derivatives that are no longer designated to advances, investments, or consolidated obligations. Offsetting derivatives do not receive hedge accounting treatment and are separately marked to market through earnings. The net result of the accounting for these derivatives does not significantly affect the operating results of the Bank.

The notional 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.

Loans and Leases Receivable, Troubled Debt Restructuring Policy

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.

Derivatives, Embedded Derivatives

The Bank did not have any bonds with embedded features that met the requirements to separate the embedded feature from the host contract and designate the embedded feature as a stand-alone derivative at September 30, 2019, or December 31, 2018. 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).

Stockholders' Equity, Policy

Under the Housing and Economic Recovery Act of 2008, 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.

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.

Segment Reporting, Policy

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

For more information on these operating segments, see “Item 8. Financial Statements and Supplementary Data – Note 17 – Segment Information” in the Bank’s 2018 Form 10-K.

Fair Value of Financial Instruments, Policy

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

For more information on the Bank’s election of the fair value option, see “Item 8. Financial Statements and Supplementary Data – Note 19 – Fair Values” in the Bank’s 2018 Form 10-K.

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

Investment Securities – MBS – To value its MBS, the Bank obtains prices from multiple 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 multiple 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 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 September 30, 2019, multiple vendor prices were received for most of the Bank’s MBS, and the fair value estimates for most of those securities were determined in accordance with the Bank’s valuation technique based on these vendor prices. Based on the Bank’s reviews of the pricing methods employed by the third-party pricing vendors and the relative lack of dispersion among the vendor prices (or, in those instances in which there were outliers, the Bank’s additional analyses), the Bank believes that its fair value estimates are reasonable and that the fair value measurements are classified appropriately in the fair value hierarchy. Based on limited market liquidity for PLRMBS, the fair value measurements for these securities were classified as Level 3 within the fair value hierarchy.

Investment Securities – Non-MBS – To determine the estimated fair values of non-MBS investments, the Bank uses a market approach using prices from third-party pricing vendors, generally consistent with the methodologies for MBS. The Bank believes that its methodologies result in fair values that are reasonable and similar in all material respects based on the nature of the financial instruments being measured.

Advances Recorded Under the Fair Value Option – 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 recorded under the fair value option 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 recorded under the fair value option. 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 recorded under the fair value option for creditworthiness primarily because advances were fully collateralized.

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 swap rates 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 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.

Consolidated Obligations Recorded Under the Fair Value Option – 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 recorded under the fair value option have been significantly affected during the reporting period by changes in the instrument-specific credit risk.

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

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

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

the transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis.

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

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

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

The following assets and liabilities, including those for which the Bank has elected the fair value option, are carried at fair value on the Statements of Condition as of September 30, 2019:

• Trading securities

• AFS securities

• Certain advances

• Derivative assets and liabilities

• Certain consolidated obligation bonds

• Certain other assets

Fair Value Transfer, Policy

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

Commitments and Contingencies, Policy

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

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Fair Value

9 Months Ended

Sep. 30, 2019

Fair Value Disclosures [Abstract]

Fair Value

Fair Value

The following fair value amounts have been determined by the Bank using available market information and the Bank’s best judgment of appropriate valuation methods. These estimates are based on pertinent information available to the Bank at September 30, 2019, and December 31, 2018. Although the Bank uses its best judgment in estimating the fair value of these financial instruments, there are inherent limitations in any estimation technique or valuation methodology. For example, because an active secondary market does not exist for a portion of the Bank’s financial instruments, in certain cases fair values cannot be precisely quantified or verified and may change as economic and market factors and evaluation of those factors change. The Bank continues to refine its valuation methodologies as markets and products develop and the pricing for certain products becomes more or less transparent. While the Bank believes that its valuation methodologies are appropriate and consistent with those of other market participants, the use of different methodologies or assumptions to determine the fair value of certain financial instruments could result in a materially different estimate of fair value as of the reporting date. U.S. GAAP defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., an exit price). Therefore, the fair values are not necessarily indicative of the amounts that would be realized in current market transactions, although they do reflect the Bank’s judgment as to how a market participant would estimate the fair values. The fair value summary table does not represent an estimate of the overall market value of the Bank as a going concern, which would take into account future business opportunities and the net profitability of total assets and liabilities.

The following tables present the carrying value, the estimated fair value, and the fair value hierarchy level of the Bank’s financial instruments at September 30, 2019, and December 31, 2018. The Bank records trading securities, AFS securities, derivative assets, derivative liabilities, certain advances, certain consolidated obligations, and certain other assets at fair value on a recurring basis, and on occasion certain mortgage loans held for portfolio and certain other assets at fair value on a nonrecurring basis. The Bank records all other financial assets and liabilities at amortized cost. Refer to the following tables for further details about the financial assets and liabilities held at fair value on either a recurring or non-recurring basis.

	September 30, 2019
	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral(1)
Assets
Cash and due from banks	$	81	$	81	$	81	$	—	$	—	$	—
Interest-bearing deposits	2,035		2,035		2,035		—		—		—
Securities purchased under agreements to resell	7,700		7,700		—		7,700		—		—
Federal funds sold	3,871		3,871		—		3,871		—		—
Trading securities	4		4		—		4		—		—
AFS securities	15,316		15,316		—		12,561		2,755		—
HTM securities	8,564		8,586		—		8,101		485		—
Advances	62,826		62,880		—		62,880		—		—
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	3,382		3,385		—		3,385		—		—
Accrued interest receivable	133		133		—		133		—		—
Derivative assets, net(1)	23		23		—		25		—		(2		)
Other assets(2)	18		18		18		—		—		—
Liabilities
Deposits	652		652		—		652		—		—
Consolidated obligations:
Bonds	67,431		67,389		—		67,389		—		—
Discount notes	28,605		28,608		—		28,608		—		—
Total consolidated obligations	96,036		95,997		—		95,997		—		—
Mandatorily redeemable capital stock	138		138		138		—		—		—
Accrued interest payable	178		178		—		178		—		—
Derivative liabilities, net(1)	1		1		—		550		—		(549		)
Other
Standby letters of credit	31		31		—		31		—		—

	December 31, 2018
	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral(1)
Assets
Cash and due from banks	$	13	$	13	$	13	$	—	$	—	$	—
Interest-bearing deposits	2,555		2,555		2,555		—		—		—
Securities purchased under agreements to resell	7,300		7,299		—		7,299		—		—
Federal funds sold	3,845		3,846		—		3,846		—		—
Trading securities	661		661		—		661		—		—
AFS securities	6,931		6,931		—		3,774		3,157		—
HTM securities	11,089		11,047		—		10,362		685		—
Advances	73,434		73,462		—		73,462		—		—
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	3,066		2,975		—		2,975		—		—
Accrued interest receivable	133		133		—		133		—		—
Derivative assets, net(1)	185		185		—		86		—		99
Other assets(2)	16		16		16		—		—		—
Liabilities
Deposits	262		262		—		262		—		—
Consolidated obligations:
Bonds	72,276		72,079		—		72,079		—		—
Discount notes	29,182		29,178		—		29,178		—		—
Total consolidated obligations	101,458		101,257		—		101,257		—		—
Mandatorily redeemable capital stock	227		227		227		—		—		—
Borrowings from other FHLBanks	250		250		—		250		—		—
Accrued interest payable	155		155		—		155		—		—
Derivative liabilities, net(1)	10		10		—		147		—		(137		)
Other
Standby letters of credit	27		27		—		27		—		—

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

(2) Represents publicly traded mutual funds held in a grantor trust.

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

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

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

the transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis.

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

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

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

The following assets and liabilities, including those for which the Bank has elected the fair value option, are carried at fair value on the Statements of Condition as of September 30, 2019:

• 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.

The valuation methodologies and primary inputs used to develop the measurement of fair value for assets and liabilities that are measured at fair value on a recurring or nonrecurring basis in the Statements of Condition are listed below.

Investment Securities – MBS – To value its MBS, the Bank obtains prices from multiple 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 multiple 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 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 September 30, 2019, multiple vendor prices were received for most of the Bank’s MBS, and the fair value estimates for most of those securities were determined in accordance with the Bank’s valuation technique based on these vendor prices. Based on the Bank’s reviews of the pricing methods employed by the third-party pricing vendors and the relative lack of dispersion among the vendor prices (or, in those instances in which there were outliers, the Bank’s additional analyses), the Bank believes that its fair value estimates are reasonable and that the fair value measurements are classified appropriately in the fair value hierarchy. Based on limited market liquidity for PLRMBS, the fair value measurements for these securities were classified as Level 3 within the fair value hierarchy.

Investment Securities – Non-MBS – To determine the estimated fair values of non-MBS investments, the Bank uses a market approach using prices from third-party pricing vendors, generally consistent with the methodologies for MBS. The Bank believes that its methodologies result in fair values that are reasonable and similar in all material respects based on the nature of the financial instruments being measured.

Advances Recorded Under the Fair Value Option – 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 recorded under the fair value option 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 recorded under the fair value option. 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 recorded under the fair value option for creditworthiness primarily because advances were fully collateralized.

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 swap rates 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 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.

Consolidated Obligations Recorded Under the Fair Value Option – 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 recorded under the fair value option have been significantly affected during the reporting period by changes in the instrument-specific credit risk.

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 September 30, 2019, and December 31, 2018, by level within the fair value hierarchy.

September 30, 2019
	Fair Value Measurement Using:						Netting Adjustments  and Cash
	Level 1		Level 2		Level 3		Collateral(1)			Total
Recurring fair value measurements – Assets:
Trading securities – MBS – Other U.S. obligations – Ginnie Mae	$	—	$	4	$	—	$	—		$	4
AFS securities:
U.S. obligations – Treasury securities	—		5,287		—		—			5,287
MBS:
GSEs – multifamily	—		7,274		—		—			7,274
PLRMBS	—		—		2,755		—			2,755
Subtotal MBS	—		7,274		2,755		—			10,029
Total AFS securities	—		12,561		2,755		—			15,316
Advances(2)	—		3,967		—		—			3,967
Derivative assets, net: interest rate-related	—		25		—		(2		)	23
Other assets	18		—		—		—			18
Total recurring fair value measurements – Assets	$	18	$	16,557	$	2,755	$	(2	)	$	19,328
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	577	$	—	$	—		$	577
Derivative liabilities, net: interest rate-related	—		550		—		(549		)	1
Total recurring fair value measurements – Liabilities	$	—	$	1,127	$	—	$	(549	)	$	578
Nonrecurring fair value measurements – Assets:(4)
Impaired mortgage loans held for portfolio	$	—	$	—	$	1	$	—		$	1
Total nonrecurring fair value measurements – Assets	$	—	$	—	$	1	$	—		$	1

December 31, 2018
	Fair Value Measurement Using:						Netting Adjustments  and Cash
	Level 1		Level 2		Level 3		Collateral(1)			Total
Recurring fair value measurements – Assets:
Trading securities:
GSEs – FFCB bonds	$	—	$	656	$	—	$	—		$	656
MBS – Other U.S. obligations – Ginnie Mae	—		5		—		—			5
Total trading securities	—		661		—		—			661
AFS securities:
MBS – GSEs – multifamily	—		3,774		—		—			3,774
PLRMBS	—		—		3,157		—			3,157
Total AFS securities	—		3,774		3,157		—			6,931
Advances(2)	—		5,133		—		—			5,133
Derivative assets, net: interest rate-related	—		86		—		99			185
Other assets	16		—		—		—			16
Total recurring fair value measurements – Assets	$	16	$	9,654	$	3,157	$	99		$	12,926
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	2,019	$	—	$	—		$	2,019
Derivative liabilities, net: interest rate-related	—		147		—		(137		)	10
Total recurring fair value measurements – Liabilities	$	—	$	2,166	$	—	$	(137	)	$	2,029
Nonrecurring fair value measurements – Assets:(4)
Impaired mortgage loans held for portfolio	$	—	$	—	$	2	$	—		$	2
Total nonrecurring fair value measurements – Assets	$	—	$	—	$	2	$	—		$	2

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

(2) Represents advances recorded under the fair value option at September 30, 2019, and December 31, 2018.

(3) Represents consolidated obligation bonds recorded under the fair value option at September 30, 2019, and December 31, 2018.

(4) The fair value information presented is as of the date the fair value adjustment was recorded during the nine months ended September 30, 2019, and the year ended December 31, 2018.

The following tables present a reconciliation of the Bank’s AFS PLRMBS that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three and nine months ended September 30, 2019 and 2018.

	Three Months Ended
	September 30, 2019			September 30, 2018
Balance, beginning of the period	$	2,929		$	3,510
Total gain/(loss) realized and unrealized included in:
Interest income	20			19
Net OTTI loss, credit-related	(2		)	(3		)
Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI	(15		)	5
Net amount of OTTI loss reclassified to/(from) other income/(loss)	(1		)	—
Settlements	(176		)	(182		)
Balance, end of the period	$	2,755		$	3,349
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	$	16		$	16

	Nine Months Ended
	September 30, 2019			September 30, 2018
Balance, beginning of the period	$	3,157		$	3,833
Total gain/(loss) realized and unrealized included in:
Interest income	57			61
Net OTTI loss, credit-related	(8		)	(9		)
Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI	1			25
Net amount of OTTI loss reclassified to/(from) other income/(loss)	—			(10		)
Settlements	(452		)	(563		)
Transfers of HTM securities to AFS securities	—			12
Balance, end of the period	$	2,755		$	3,349
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	$	46		$	52

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

For more information on the Bank’s election of the fair value option, see “Item 8. Financial Statements and Supplementary Data – Note 19 – Fair Values” in the Bank’s 2018 Form 10-K.

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

The following tables summarize the activity related to financial assets and liabilities for which the Bank elected the fair value option during the three and nine months ended September 30, 2019 and 2018:

	Three Months Ended
	September 30, 2019						September 30, 2018
	Advances			Consolidated Obligation Bonds			Advances			Consolidated Obligation Bonds
Balance, beginning of the period	$	4,529		$	943		$	6,083		$	1,404
New transactions elected for fair value option	—			—			188			851
Maturities and terminations	(583		)	(365		)	(873		)	(50		)
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds from changes in fair value recognized in earnings	22			2			(15		)	(3		)
Change in accrued interest	(1		)	(3		)	—			—
Balance, end of the period	$	3,967		$	577		$	5,383		$	2,202

	Nine Months Ended
	September 30, 2019						September 30, 2018
	Advances			Consolidated Obligation Bonds			Advances			Consolidated Obligation Bonds
Balance, beginning of the period	$	5,133		$	2,019		$	6,431		$	949
New transactions elected for fair value option	74			—			1,752			1,314
Maturities and terminations	(1,363		)	(1,448		)	(2,723		)	(50		)
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds from changes in fair value recognized in earnings	125			14			(78		)	(13		)
Change in accrued interest	(2		)	(8		)	1			2
Balance, end of the period	$	3,967		$	577		$	5,383		$	2,202

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, except for changes in fair value related to instrument-specific credit risk which are recorded in AOCI on the Statements of Condition. For advances and consolidated obligations recorded under the fair value option, the Bank determined that none of the remaining changes in fair value were related to instrument-specific credit risk for the three and nine months ended September 30, 2019 and 2018. In determining that there has been no change in instrument-specific credit risk period to period, the Bank primarily considered the following factors:

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

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

The following table presents the difference between the aggregate remaining contractual principal balance outstanding and aggregate fair value of advances and consolidated obligation bonds for which the Bank elected the fair value option at September 30, 2019, and December 31, 2018:

	September 30, 2019						December 31, 2018
	Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance		Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance
Advances(1)	$	3,873	$	3,967	$	94	$	5,162	$	5,133	$	(29	)
Consolidated obligation bonds	575		577		2		2,024		2,019		(5		)

(1)

At September 30, 2019, and December 31, 2018, none of these advances were 90 days or more past due or had been placed on nonaccrual status.

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Commitments and Contingencies (Tables)

9 Months Ended

Sep. 30, 2019

Commitments and Contingencies Disclosure [Abstract]

Off-Balance Sheet Commitments

Off-balance sheet commitments as of September 30, 2019, and December 31, 2018, were as follows:

	September 30, 2019						December 31, 2018
	Expire Within One Year		Expire After One Year		Total		Expire Within One Year		Expire After One Year		Total
Standby letters of credit outstanding	$	16,212	$	4,492	$	20,704	$	13,661	$	4,418	$	18,079
Commitments to issue consolidated obligation discount notes, par	—		—		—		350		—		350
Commitments to issue consolidated obligation bonds, par	40		—		40		—		—		—
Commitments to purchase mortgage loans	95		—		95		12		—		12

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Available-for-Sale Securities (AFS Securities by Major Security Type) (Details) - USD ($) $ in Millions		Sep. 30, 2019	Dec. 31, 2018
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	[1]	$ 15,030	$ 6,676
OTTI Recognized in AOCI		(10)	(20)
Gross Unrealized Gains		315	309
Gross Unrealized Losses		(19)	(34)
Estimated Fair Value	[2]	15,316	6,931
US Treasury Securities [Member]
Debt Securities, Available-for-sale [Line Items]
Amortized Cost		5,290
OTTI Recognized in AOCI		0
Gross Unrealized Gains		0
Gross Unrealized Losses		(3)
Estimated Fair Value		5,287
Total MBS
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	[1]	9,740
OTTI Recognized in AOCI		(10)
Gross Unrealized Gains		315
Gross Unrealized Losses		(16)
Estimated Fair Value		10,029
GSEs – multifamily: | MBS - GSEs
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	[1]	7,273	3,806
OTTI Recognized in AOCI		0	0
Gross Unrealized Gains		16	0
Gross Unrealized Losses		(15)	(32)
Estimated Fair Value		7,274	3,774
Residential Mortgage Backed Securities | PLRMBS
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	[1]	2,467	2,870
OTTI Recognized in AOCI		(10)	(20)
Gross Unrealized Gains		299	309
Gross Unrealized Losses		(1)	(2)
Estimated Fair Value		2,755	3,157
Residential Mortgage Backed Securities | PLRMBS | Prime
Debt Securities, Available-for-sale [Line Items]
Amortized Cost		232	267
OTTI Recognized in AOCI		0	0
Gross Unrealized Gains		20	21
Gross Unrealized Losses		0	0
Estimated Fair Value		252	288
Residential Mortgage Backed Securities | PLRMBS | Alt-A
Debt Securities, Available-for-sale [Line Items]
Amortized Cost		2,235	2,603
OTTI Recognized in AOCI		(10)	(20)
Gross Unrealized Gains		279	288
Gross Unrealized Losses		(1)	(2)
Estimated Fair Value		2,503	2,869
Freddie Mac | GSEs – multifamily: | MBS - GSEs
Debt Securities, Available-for-sale [Line Items]
Amortized Cost		797	409
OTTI Recognized in AOCI		0	0
Gross Unrealized Gains		3	0
Gross Unrealized Losses		0	(2)
Estimated Fair Value		800	407
Fannie Mae | GSEs – multifamily: | MBS - GSEs
Debt Securities, Available-for-sale [Line Items]
Amortized Cost		6,476	3,397
OTTI Recognized in AOCI		0	0
Gross Unrealized Gains		13	0
Gross Unrealized Losses		(15)	(30)
Estimated Fair Value		$ 6,474	$ 3,367

[1] Amortized cost includes unpaid principal balance, unamortized premiums and discounts, previous OTTI recognized in earnings, and valuation adjustments for hedging activities.

[2] At September 30, 2019, $321 of these securities were pledged as collateral that may be repledged. At December 31, 2018, none of these securities were pledged as collateral that may be repledged.

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Fair Value (Fair Value Difference Between Fair Value and Remaining Contractual Principal Balance Outstanding) (Details) - USD ($) $ in Millions		Sep. 30, 2019	Jun. 30, 2019	Dec. 31, 2018	Sep. 30, 2018	Jun. 30, 2018	Dec. 31, 2017
Fair Value, Option, Quantitative Disclosures [Line Items]
Fair Value Option, Principal Balance, Advances	[1]	$ 3,873		$ 5,162
Fair Value of Advances Under the Fair Value Option	[1]	3,967		5,133
Fair Value Over/(Under) Principal Balance, Advances	[1]	94		(29)
Consolidated obligation bonds
Fair Value, Option, Quantitative Disclosures [Line Items]
Fair Value Option, Principal Balance, CO Bonds		575		2,024
Fair Value of Bonds Under the Fair Value Option		577		2,019
Fair Value Over/(Under) Principal Balance, CO Bonds		2		(5)
Advances
Fair Value, Option, Quantitative Disclosures [Line Items]
Fair Value of Advances Under the Fair Value Option		3,967	$ 4,529	5,133	$ 5,383	$ 6,083	$ 6,431
Consolidated obligation bonds
Fair Value, Option, Quantitative Disclosures [Line Items]
Fair Value of Bonds Under the Fair Value Option		$ 577	$ 943	$ 2,019	$ 2,202	$ 1,404	$ 949

[1] At September 30, 2019, and December 31, 2018, none of these advances were 90 days or more past due or had been placed on nonaccrual status.

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Allowance for Credit Losses (Narrative) (Details) - USD ($) $ in Millions	9 Months Ended
	Sep. 30, 2019	Dec. 31, 2018
Financing Receivable, Allowance for Credit Loss [Line Items]
Period Loan Receivable Becomes Nonaccrual Status	90 days
Allowance for credit losses on mortgage loans	$ 0	$ 0
Conventional Mortgage Loan
Financing Receivable, Allowance for Credit Loss [Line Items]
Allowance for credit losses on mortgage loans	0	0
Nonperforming TDR | Conventional Mortgage Loan
Financing Receivable, Allowance for Credit Loss [Line Items]
Troubled Debt Restructuring, Modifications, Recorded Investment	$ 2	$ 2

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Advances (Earlier of Contractual Maturity or Next Call/Put Date) (Details) - USD ($) $ in Millions	Sep. 30, 2019	Dec. 31, 2018	Sep. 30, 2018
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, Rolling Year, Par Value [Abstract]
Overdrawn demand and overnight deposit accounts	$ 2	$ 0
Within 1 year	36,647	46,740
After 1 year through 2 years	12,688	14,762
After 2 years through 3 years	7,110	5,688
After 3 years through 4 years	1,933	2,409
After 4 years through 5 years	2,903	2,812
After 5 years	1,156	1,084
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, Rolling Year, Par Value [Abstract]
Within 1 year	30,388	42,295
After 1 year through 2 years	18,543	13,672
After 2 years through 3 years	7,507	11,238
After 3 years through 4 years	1,947	2,409
After 4 years through 5 years	2,916	2,815
After 5 years	1,136	1,066
Total par value	$ 62,439	$ 73,495	$ 69,614

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Fair Value (Carrying Value and Fair Value of Financial Instruments) (Details) - USD ($) $ in Millions		Sep. 30, 2019	Jun. 30, 2019	Dec. 31, 2018		Sep. 30, 2018	Jun. 30, 2018	Dec. 31, 2017
Assets
Cash and due from banks		$ 81		$ 13
Trading securities		4		661
Available-for-sale (AFS) securities	[1]	15,316		6,931
HTM securities, Carrying Value	[2],[3]	8,564		11,089
HTM Securities, Fair Value		8,586		11,047
Accrued interest receivable		133		133
Derivative assets, net		23		185
Derivative Assets		25		86
Derivative Asset, Netting adjustments	[4]	2		(99)
Liabilities
Mandatorily redeemable capital stock		138	$ 138	227		$ 227	$ 255	$ 309
Borrowings from other FHLBanks		0		250
Accrued interest payable		178		155
Derivative liabilities, net		1		10
Derivative Liabilities		550		147
Derivative Liability, Netting adjustments	[4]	(549)		(137)
Carrying Value
Assets
Cash and due from banks		81		13
Interest-bearing deposits		2,035		2,555
Securities purchased under agreements to resell		7,700		7,300
Federal funds sold		3,871		3,845
Trading securities		4		661
Available-for-sale (AFS) securities		15,316		6,931
HTM securities, Carrying Value		8,564		11,089
Advances		62,826		73,434
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans		3,382		3,066
Accrued interest receivable		133		133
Derivative assets, net	[5]	23		185
Other assets	[6]	18		16
Liabilities
Deposits		652		262
Total consolidated obligations		96,036		101,458
Mandatorily redeemable capital stock		138		227
Borrowings from other FHLBanks				250
Accrued interest payable		178		155
Derivative liabilities, net	[5]	1		10
Estimated Fair Value
Assets
Cash and due from banks		81		13
Interest-bearing deposits		2,035		2,555
Securities purchased under agreements to resell		7,700		7,299
Federal funds sold		3,871		3,846
Trading securities		4		661
Available-for-sale (AFS) securities		15,316		6,931
HTM Securities, Fair Value		8,586		11,047
Advances		62,880		73,462
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans		3,385		2,975
Accrued interest receivable		133		133
Derivative assets, net	[5]	23		185
Other assets	[6]	18		16
Liabilities
Deposits		652		262
Total consolidated obligations		95,997		101,257
Mandatorily redeemable capital stock		138		227
Borrowings from other FHLBanks				250
Accrued interest payable		178		155
Derivative liabilities, net	[5]	1		10
Level 1
Assets
Cash and due from banks		81		13
Interest-bearing deposits		2,035		2,555
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 Assets		0		0	[5]
Other assets	[6]	18		16
Liabilities
Deposits		0		0
Total consolidated obligations		0		0
Mandatorily redeemable capital stock		138		227
Borrowings from other FHLBanks				0
Accrued interest payable		0		0
Derivative Liabilities		0		0	[5]
Level 2
Assets
Cash and due from banks		0		0
Interest-bearing deposits		0		0
Securities purchased under agreements to resell		7,700		7,299
Federal funds sold		3,871		3,846
Trading securities		4		661
Available-for-sale (AFS) securities		12,561		3,774
HTM Securities, Fair Value		8,101		10,362
Advances		62,880		73,462
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans		3,385		2,975
Accrued interest receivable		133		133
Derivative Assets	[5]	25		86
Derivative Asset, Netting adjustments	[5]	(2)		99
Other assets	[6]	0		0
Liabilities
Deposits		652		262
Total consolidated obligations		95,997		101,257
Mandatorily redeemable capital stock		0		0
Borrowings from other FHLBanks				250
Accrued interest payable		178		155
Derivative Liabilities	[5]	550		147
Derivative Liability, Netting adjustments	[5]	(549)		(137)
Level 3
Assets
Cash and due from banks		0		0
Interest-bearing deposits		0		0
Securities purchased under agreements to resell		0		0
Federal funds sold		0		0
Trading securities		0		0
Available-for-sale (AFS) securities		2,755		3,157
HTM Securities, Fair Value		485		685
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 Assets		0		0	[5]
Other assets	[6]	0		0
Liabilities
Deposits		0		0
Total consolidated obligations		0		0
Mandatorily redeemable capital stock		0		0
Borrowings from other FHLBanks				0
Accrued interest payable		0		0
Derivative Liabilities		0		0	[5]
Standby letters of credit | Carrying Value
Other
Other commitments		31		27
Standby letters of credit | Estimated Fair Value
Other
Other commitments		31		27
Standby letters of credit | Level 1
Other
Other commitments		0		0
Standby letters of credit | Level 2
Other
Other commitments		31		27
Standby letters of credit | Level 3
Other
Other commitments		0		0
Discount notes | Carrying Value
Liabilities
Discount notes		28,605		29,182
Discount notes | Estimated Fair Value
Liabilities
Discount notes		28,608		29,178
Discount notes | Level 1
Liabilities
Discount notes		0		0
Discount notes | Level 2
Liabilities
Discount notes		28,608		29,178
Discount notes | Level 3
Liabilities
Discount notes		0		0
Bonds
Liabilities
Bonds		577		2,019
Bonds | Carrying Value
Liabilities
Bonds		67,431		72,276
Bonds | Estimated Fair Value
Liabilities
Bonds		67,389		72,079
Bonds | Level 1
Liabilities
Bonds		0		0
Bonds | Level 2
Liabilities
Bonds		67,389		72,079
Bonds | Level 3
Liabilities
Bonds		$ 0		$ 0

[1] At September 30, 2019, $321 of these securities were pledged as collateral that may be repledged. At December 31, 2018, 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] At September 30, 2019, and December 31, 2018, none of these securities were pledged as collateral that may be repledged.

[4] Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty. Cash collateral posted and related accrued interest was $555 and $257 at September 30, 2019, and December 31, 2018, respectively. Cash collateral received and related accrued interest was $7 and $22 at September 30, 2019, and December 31, 2018, respectively.

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

[6] Represents publicly traded mutual funds held in a grantor trust.

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Allowance for Credit Losses (Recorded Investment, Unpaid Principal Balance and Related Allowance of Impaired Loans) (Details) - USD ($) $ in Millions		Sep. 30, 2019	Dec. 31, 2018
Impaired Financing Receivable, Average Recorded Investment [Abstract]
Loans and Leases Receivable, Allowance		$ 0	$ 0
Conventional Mortgage Loan
Financing Receivable, Allowance for Credit Loss [Line Items]
Individually evaluated for impairment, Allowance for credit losses		0	0
Impaired Financing Receivable, Average Recorded Investment [Abstract]
Financing Receivable, Allowance for Credit Losses, Collectively Evaluated for Impairment		0	0
Loans and Leases Receivable, Allowance		0	0
Financing Receivable, Individually Evaluated for Impairment		5	7
Financing Receivable, Collectively Evaluated for Impairment		3,397	3,077
Financing Receivable, before Allowance for Credit Loss	[1]	3,402	3,084
Impaired Financing Receivable, with No Related Allowance, Recorded Investment		5	7
Impaired Financing Receivable, with No Related Allowance, Unpaid Principal Balance		$ 5	$ 7

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

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Subsequent Events

9 Months Ended

Sep. 30, 2019

Subsequent Events [Abstract]

Subsequent Events

Subsequent Events

There were no material subsequent events identified, subsequent to September 30, 2019, until the time of the Form 10‑Q filing with the Securities and Exchange Commission.

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Derivatives and Hedging Activities

9 Months Ended

Sep. 30, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivatives and Hedging Activities

Derivatives and Hedging Activities

General. The Bank may enter into interest rate swaps (including callable, putable, and basis swaps); and cap and floor agreements (collectively, interest rate exchange agreements or derivatives). Most of the Bank’s interest rate exchange agreements are executed in conjunction with the origination of advances or the issuance of consolidated obligations to create variable rate structures. The interest rate exchange agreements are generally executed at the same time the advances and consolidated obligations are transacted and generally have the same maturity dates as the related hedged instrument. The Bank transacts most of its derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute consolidated obligations. 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 derivatives 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 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 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 or (ii) an economic hedge of assets, liabilities, or other derivatives.

The Bank primarily uses the following interest rate exchange agreement instruments:

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

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

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

The Bank may have the following types of hedged items:

Investments – The Bank may invest in U.S. Treasury and agency obligations, agency MBS, and the taxable portion of highly rated state or local housing finance agency obligations. In the past, the Bank has also invested in PLRMBS rated AAA at the time of acquisition. The interest rate and prepayment risk associated with these investment securities is managed through a combination of debt issuance and derivatives. The Bank may manage prepayment risk and interest rate risk by funding investment securities with consolidated obligations that have call features or by hedging the prepayment risk with a combination of consolidated obligations and callable swaps. The Bank may execute callable swaps in conjunction with the issuance of certain liabilities to create funding that is economically equivalent to fixed rate callable debt. Although these derivatives are economic hedges against prepayment risk and are designated to individual liabilities, they do not receive either fair value or cash flow hedge accounting treatment. Investment securities may be classified as trading, AFS, or HTM.

The Bank may also manage the risk arising from changing market prices or cash flows of investment securities classified as trading or AFS by entering into interest rate exchange agreements that offset the changes in fair value or cash flows of the securities. Hedge relationships that involve trading securities are designated as economic hedges, while hedge relationships that involve AFS securities are designated as fair value hedges. For trading securities that have been designated as an economic hedge, 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. Beginning January 1, 2019, the Bank adopted new hedge accounting guidance, which, among other things, affects the presentation of gains and losses on derivatives and hedging activities for qualifying hedges, including fair value hedges of AFS securities. For 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 AOCI as “Net unrealized gain/(loss) on AFS securities.”

Prior to January 1, 2019, 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 non-interest income as “Net gain/(loss) on derivatives and hedging 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.”

Advances – The Bank offers a wide range of advances structures to meet members’ funding needs. These advances may have maturities up to 30 years with fixed or adjustable rates and may include early termination features or options. The Bank may use derivatives to adjust the repricing and options characteristics of advances to more closely match the characteristics of the Bank’s funding liabilities. In general, whenever a member executes a fixed rate advance, fixed rate advance with embedded options, or a variable rate advance with embedded options, the Bank will simultaneously execute an interest rate exchange agreement with terms that offset the terms and any embedded options in the advance. The combination of the advance and the interest rate exchange agreement effectively creates a variable rate asset. Fixed rate advances without options that are offset with an interest rate exchange agreement are generally treated as fair value hedges. Advances with embedded options are recorded using the fair value option and are economically hedged using interest rate exchange agreements.

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

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

Consolidated Obligations – Consolidated obligation bonds may be structured to meet the Bank’s or the investors’ needs. Common structures include fixed rate bonds with or without call options and adjustable rate bonds with or without embedded options. In general, when bonds are issued, the Bank simultaneously executes an interest rate exchange agreement with terms that offset the terms and embedded options, if any, of the consolidated obligation bond. This combination of the consolidated obligation bond and the interest rate exchange agreement effectively creates an adjustable rate bond. These transactions generally receive fair value hedge accounting treatment.

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

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

Offsetting Derivatives – The Bank enters into derivatives to offset the economic effect of other derivatives that are no longer designated to advances, investments, or consolidated obligations. Offsetting derivatives do not receive hedge accounting treatment and are separately marked to market through earnings. The net result of the accounting for these derivatives does not significantly affect the operating results of the Bank.

The notional 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.

For more information related to the Bank’s accounting policies for derivatives, see “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2018 Form 10-K.

The following table summarizes the notional amount and fair value of derivative instruments, including the effect of netting adjustments and cash collateral as of September 30, 2019, and December 31, 2018. For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest.

	September 30, 2019								December 31, 2018
	Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities			Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	44,027	$	11		$	528		$	40,504	$	20	$	93
Total	44,027		11			528			40,504		20		93
Derivatives not designated as hedging instruments:
Interest rate swaps	50,955		14			21			59,398		65		54
Interest rate caps and floors	1,010		—			1			1,563		1		—
Mortgage delivery commitments	95		—			—			12		—		—
Total	52,060		14			22			60,973		66		54
Total derivatives before netting and collateral adjustments	$	96,087	25			550			$	101,477	86		147
Netting adjustments and cash collateral(1)			(2		)	(549		)			99		(137		)
Total derivative assets and total derivative liabilities			$	23		$	1				$	185	$	10

(1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty. Cash collateral posted and related accrued interest was $555 and $257 at September 30, 2019, and December 31, 2018, respectively. Cash collateral received and related accrued interest was $7 and $22 at September 30, 2019, and December 31, 2018, respectively.

Beginning on January 1, 2019, changes in fair value of the derivative hedging instrument and the hedged item attributable to the hedged risk for designated fair value hedges are recorded in net interest income in the same line as the earnings effect of the hedged item. 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.”

The following tables present, by type of hedged item, the gains and losses on fair value hedging relationships and the impact of those derivatives on the Bank’s Statements of Income for the three and nine months ended September 30, 2019 and 2018. Beginning on January 1, 2019, the gains and losses on derivatives include unrealized changes in fair value as well as net interest settlements.

	Three Months Ended September 30, 2019(1)
	Interest Income/(Expense)
	Advances			AFS Securities			Consolidated Obligation Bonds
Total interest income/(expense) presented in the Statements of Income	$	389		$	100		$	(409	)
Gain/(loss) on fair value hedging relationships
Derivatives(2)	$	(36	)	$	(224	)	$	2
Hedged items	37			209			(4		)
Net gain/(loss) on fair value hedging relationships	$	1		$	(15	)	$	(2	)

	Three Months Ended September 30, 2018(1)
	Interest Income/(Expense)							Other Income/(Loss)
	Advances		AFS Securities		Consolidated Obligation Bonds			Net Gain/(Loss) on Derivatives and Hedging Activities
Total income/(expense) presented in the Statements of Income	$	389	$	59	$	(364	)	$	18
Gain/(loss) on fair value hedging relationships
Derivatives(2)	$	16	$	1	$	(6	)	$	22
Hedged items								(23		)
Net gain/(loss) on fair value hedging relationships	$	16	$	1	$	(6	)	$	(1	)

	Nine Months Ended September 30, 2019(1)
	Interest Income/(Expense)
	Advances			AFS Securities			Consolidated Obligation Bonds
Total interest income/(expense) presented in the Statements of Income	$	1,343		$	261		$	(1,306	)
Gain/(loss) on fair value hedging relationships
Derivatives(2)	$	(292	)	$	(594	)	$	43
Hedged items	325			552			(61		)
Net gain/(loss) on fair value hedging relationships	$	33		$	(42	)	$	(18	)

	Nine Months Ended September 30, 2018(1)
	Interest Income/(Expense)							Other Income/(Loss)
	Advances		AFS Securities		Consolidated Obligation Bonds			Net Gain/(Loss) on Derivatives and Hedging Activities
Total income/(expense) presented in the Statements of Income	$	1,138	$	172	$	(1,010	)	$	66
Gain/(loss) on fair value hedging relationships
Derivatives(2)	$	36	$	1	$	(13	)	$	52
Hedged items								(49		)
Net gain/(loss) on fair value hedging relationships	$	36	$	1	$	(13	)	$	3

(1) Upon adoption of new hedge accounting guidance applied prospectively on January 1, 2019, interest amounts reported for 2019 for advances, investment securities, and consolidated obligation bonds include the realized and unrealized gain/(loss) on hedged items and derivatives in qualifying hedge relationships. Other income amounts reported for 2018 include the realized and unrealized gain/(loss) on hedged items and derivatives in qualifying hedge relationships.

(2) Includes net interest settlements.

The following table presents the cumulative basis adjustments on hedged items designated as fair value hedges and the related amortized cost of the hedged items as of September 30, 2019.

	September 30, 2019
Hedged Item Type	Amortized Cost of Hedged Asset/(Liability)(1)			Basis Adjustments for Active Hedging Relationships Included in Amortized Cost
Advances	$	27,428		$	293
AFS securities	12,563			642
Consolidated obligation bonds	(5,207		)	(13		)

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

The following table presents the components of net gain/(loss) on derivatives and hedging activities as presented in the Statements of Income for the three and nine months ended September 30, 2019 and 2018. For fair value hedging relationships, the portion of net gain/(loss) representing hedge ineffectiveness is recorded in other income for periods prior to January 1, 2019.

	Three Months Ended						Nine Months Ended
	September 30, 2019			September 30, 2018			September 30, 2019			September 30, 2018
	Gain/(Loss)			Gain/(Loss)			Gain/(Loss)			Gain/(Loss)
Derivatives designated as hedging instruments:
Interest rate swaps				$	(1	)				$	3
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	$	(17	)	23			$	(102	)	65
Interest rate caps and floors	(1		)	—			(2		)	1
Net settlements	(3		)	(5		)	(8		)	(12		)
Mortgage delivery commitments	1			2			3			11
Total net gain/(loss) related to derivatives not designated as hedging instruments	(20		)	20			(109		)	65
Price alignment amount(1)	—			(1		)	—			(2		)
Net gain/(loss) on derivatives and hedging activities	$	(20	)	$	18		$	(109	)	$	66

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

Credit Risk – The Bank is subject to credit risk from potential nonperformance by counterparties to the interest rate exchange agreements. All of the Bank’s agreements governing uncleared derivative transactions contain master netting provisions to help mitigate the credit risk exposure to each counterparty. The Bank manages counterparty credit risk through credit analyses and collateral requirements and by following the requirements of the Bank’s risk management policies, credit guidelines, and Finance Agency and other regulations. The Bank also requires credit support agreements on all uncleared derivatives.

For cleared derivatives, the clearinghouse is the Bank’s counterparty. The requirement that the Bank post initial and variation margin through a 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. Variation margin and initial margin are posted for changes in the value and risk profile of cleared derivatives. The Bank has analyzed the enforceability of offsetting rights applicable to its cleared derivative transactions and determined that the exercise of those offsetting rights by a non-defaulting party under these transactions should be upheld under applicable bankruptcy law and Commodity Futures Trading Commission rules in the event of a clearinghouse or clearing agent insolvency and under applicable clearinghouse rules upon a non-insolvency-based event of default of the clearinghouse or clearing agent. Based on this analysis, the Bank presents a

net derivative receivable or payable for all of its transactions through a particular clearing agent with a particular clearinghouse.

Based on the Bank’s credit analyses and the collateral requirements, the Bank does not expect to incur any credit losses on its derivative transactions.

The Bank’s agreements for uncleared derivative transactions contain provisions that link the Bank’s credit rating from Moody’s Investors Service and S&P Global Ratings to various rights and obligations. Certain of these derivative agreements provide that, if the Bank’s long-term debt rating falls below a specified rating (ranging from A3/A- to Baa3/BBB-), the Bank’s counterparty would have the right, but not the obligation, to terminate all of its outstanding derivative transactions with the Bank; the Bank’s agreements with its clearing agents for cleared derivative transactions have similar provisions with respect to the debt rating of FHLBank System consolidated bonds. If this occurs, the Bank may choose to enter into replacement hedges, either by transferring the existing transactions to another counterparty or entering into new replacement transactions, based on prevailing market rates. 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 September 30, 2019, was $537, for which the Bank had posted cash collateral of $542 in the ordinary course of business.

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 September 30, 2019, and December 31, 2018.

	September 30, 2019
	Derivative Instruments Meeting Netting Requirements
	Amount Recognized		Gross Amount of Netting Adjustments and Cash Collateral			Total Derivative Assets and Total Derivative Liabilities		Noncash Collateral Not Offset That  Can Be Sold or Repledged			Net Amount
Derivative Assets
Uncleared	$	18	$	(12	)	$	6	$	—		$	6
Cleared	7		10			17		(321		)	338
Total						$	23				$	344
Derivative Liabilities
Uncleared	$	549	$	(548	)	$	1	$	—		$	1
Cleared	1		(1		)	—		—			—
Total						$	1				$	1

	December 31, 2018
	Derivative Instruments Meeting Netting Requirements
	Amount Recognized		Gross Amount of Netting Adjustments and Cash Collateral			Total Derivative Assets and Total Derivative Liabilities
Derivative Assets
Uncleared	$	83	$	(82	)	$	1
Cleared	3		181			184
Total						$	185
Derivative Liabilities
Uncleared	$	129	$	(119	)	$	10
Cleared	18		(18		)	—
Total						$	10

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Advances

9 Months Ended

Sep. 30, 2019

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 a specified index.

Redemption Terms. The Bank had advances outstanding, excluding overdrawn demand deposit accounts, at interest rates ranging from 1.15% to 8.57% at September 30, 2019, and 1.02% to 8.57% at December 31, 2018, as summarized below.

	September 30, 2019				December 31, 2018
Redemption Term	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding			Weighted Average Interest Rate
Overdrawn demand and overnight deposit accounts	$	2	1.55	%	$	—		—	%
Within 1 year	30,373		2.26		42,285			2.40
After 1 year through 2 years	18,538		2.33		13,662			2.57
After 2 years through 3 years	7,507		2.30		11,238			2.70
After 3 years through 4 years	1,947		2.80		2,409			2.45
After 4 years through 5 years	2,916		2.82		2,815			2.99
After 5 years	1,156		3.01		1,086			3.23
Total par value	62,439		2.34	%	73,495			2.51	%
Valuation adjustments for hedging activities	293				(32		)
Valuation adjustments under fair value option	94				(29		)
Total	$	62,826			$	73,434

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 full or partial prepayment symmetry, the Bank may charge the borrower a prepayment fee or pay the borrower a prepayment credit depending on certain circumstances, such as movements in interest rates, when the advance is prepaid. The Bank had advances with full prepayment symmetry outstanding totaling $11,926 at September 30, 2019, and $3,405 at December 31, 2018. The Bank had advances with partial prepayment symmetry outstanding totaling $3,799 at September 30, 2019, and $4,410 at December 31,

2018. Some advances may be repaid on pertinent call dates without prepayment fees (callable advances). The Bank had callable advances outstanding totaling $13,324 at September 30, 2019, and $13,255 at December 31, 2018.

The Bank had putable advances totaling $20 at September 30, 2019, and $20 at December 31, 2018. At the Bank’s discretion, the Bank may terminate these advances on predetermined exercise dates and offer replacement funding at prevailing market rates, subject to certain conditions. The Bank would typically exercise such termination rights when interest rates increase relative to contractual rates.

The following table summarizes advances at September 30, 2019, and December 31, 2018, by the earlier of the year of redemption term or next call date for callable advances and by the earlier of the year of redemption term or next put date for putable advances.

	Earlier of Redemption Term or Next Call Date				Earlier of Redemption Term or Next Put Date
	September 30, 2019		December 31, 2018		September 30, 2019		December 31, 2018
Overdrawn demand and overnight deposit accounts	$	2	$	—	$	2	$	—
Within 1 year	36,647		46,740		30,388		42,295
After 1 year through 2 years	12,688		14,762		18,543		13,672
After 2 years through 3 years	7,110		5,688		7,507		11,238
After 3 years through 4 years	1,933		2,409		1,947		2,409
After 4 years through 5 years	2,903		2,812		2,916		2,815
After 5 years	1,156		1,084		1,136		1,066
Total par value	$	62,439	$	73,495	$	62,439	$	73,495

Credit and Concentration Risk. The following tables present the concentration in advances to the top five borrowers and their affiliates at September 30, 2019 and 2018. The tables also present the interest income from these advances before the impact of interest rate exchange agreements associated with these advances for the three and nine months ended September 30, 2019 and 2018.

	September 30, 2019				Three Months Ended September 30, 2019				Nine Months Ended September 30, 2019
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
MUFG Union Bank, National Association	$	14,100	22	%	$	92	24	%	$	287	22	%
First Republic Bank	11,200		18		62		16		175		13
Wells Fargo & Company
Wells Fargo Financial National Bank West(2)	8,000		13		49		13		150		12
Wells Fargo Bank, National Association(3)	41		—		1		—		2		—
Subtotal Wells Fargo & Company	8,041		13		50		13		152		12
Bank of the West	5,556		9		41		10		124		9
JPMorgan Chase Bank, National Association(3)	5,056		8		33		9		144		11
Subtotal	43,953		70		278		72		882		67
Others	18,486		30		110		28		427		33
Total par value	$	62,439	100	%	$	388	100	%	$	1,309	100	%

	September 30, 2018				Three Months Ended September 30, 2018				Nine Months Ended September 30, 2018
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
MUFG Union Bank, National Association	$	11,900	17	%	$	66	18	%	$	170	15	%
First Republic Bank	9,700		14		49		13		130		12
JPMorgan Chase Bank, National Association(3)	8,360		12		57		15		161		15
Bank of the West	7,458		11		40		11		104		10
Wells Fargo & Company
Wells Fargo Financial National Bank(2)	4,000		6		23		7		62		5
Wells Fargo Bank, National Association(3)	49		—		1		—		2		—
Subtotal Wells Fargo & Company	4,049		6		24		7		64		5
Subtotal	41,467		60		236		64		629		57
Others	28,147		40		135		36		469		43
Total par value	$	69,614	100	%	$	371	100	%	$	1,098	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) Effective April 15, 2019, Wells Fargo Financial National Bank was renamed Wells Fargo Financial National Bank West.

(3) Nonmember institution.

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

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

Interest Rate Payment Terms. Interest rate payment terms for advances at September 30, 2019, and December 31, 2018, are detailed below:

	September 30, 2019		December 31, 2018
Par value of advances:
Fixed rate:
Due within 1 year	$	15,883	$	20,437
Due after 1 year	20,735		19,727
Total fixed rate	36,618		40,164
Adjustable rate:
Due within 1 year	14,491		21,848
Due after 1 year	11,330		11,483
Total adjustable rate	25,821		33,331
Total par value	$	62,439	$	73,495

The Bank did not have any advances with embedded features that met the requirements to separate the embedded feature from the host contract and designate the embedded feature as a stand-alone derivative at September 30, 2019, or December 31, 2018. 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 15 – Derivatives and Hedging Activities and Note 16 – Fair Value.

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Trading Securities

9 Months Ended

Sep. 30, 2019

Debt Securities, Trading and Available-for-sale [Abstract]

Trading Securities

Trading Securities

The estimated fair value of trading securities as of September 30, 2019, and December 31, 2018, was as follows:

	September 30, 2019		December 31, 2018
GSEs – Federal Farm Credit Bank (FFCB) bonds	$	—	$	656
MBS – Other U.S. obligations – Ginnie Mae	4		5
Total	$	4	$	661

The net unrealized gain/(loss) on trading securities was de minimis and $(1) for the three months ended September 30, 2019 and 2018, respectively. The net unrealized gain/(loss) on trading securities was $(1) and $(2) for the nine months ended September 30, 2019 and 2018, respectively. These amounts represent the changes in the fair value of the securities during the reported periods.

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Consolidated Obligations

9 Months Ended

Sep. 30, 2019

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 Federal Home Loan Bank Act of 1932, as amended (FHLBank Act) or by regulations governing the operations of the FHLBanks, all FHLBanks have joint and several liability for all FHLBank consolidated obligations. For a discussion of the joint and several liability regulation, see “Item 8. Financial Statements and Supplementary Data – Note 20 – Commitments and Contingencies” in the Bank’s 2018 Form 10-K. In connection with each issuance of consolidated obligations, each FHLBank specifies the type, term, and amount of debt it requests to have issued on its behalf. The Office of Finance tracks the amount of debt issued on behalf of each FHLBank. In addition, the Bank separately tracks and records as a liability its specific portion of the consolidated obligations issued and is the primary obligor for that portion of the consolidated obligations issued. The Finance Agency and the U.S. Secretary of the Treasury have oversight over the issuance of FHLBank debt through the Office of Finance.

Redemption Terms. The following is a summary of the Bank’s participation in consolidated obligation bonds at September 30, 2019, and December 31, 2018.

	September 30, 2019					December 31, 2018
Contractual Maturity	Amount Outstanding			Weighted Average Interest Rate		Amount Outstanding			Weighted Average Interest Rate
Within 1 year	$	46,641		1.94	%	$	56,968		2.29	%
After 1 year through 2 years	15,556			1.95		7,741			2.20
After 2 years through 3 years	1,698			2.21		2,842			2.08
After 3 years through 4 years	712			2.13		2,094			2.12
After 4 years through 5 years	797			2.11		600			2.56
After 5 years	2,021			3.04		2,091			3.03
Total par value	67,425			1.99	%	72,336			2.29	%
Unamortized premiums	1					3
Unamortized discounts	(10		)			(10		)
Valuation adjustments for hedging activities	13					(48		)
Fair value option valuation adjustments	2					(5		)
Total	$	67,431				$	72,276

The Bank’s participation in consolidated obligation bonds outstanding includes callable bonds of $8,684 at September 30, 2019, and $11,285 at December 31, 2018. 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 $4,495 at September 30, 2019, and $7,660 at December 31, 2018. 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 September 30, 2019, and December 31, 2018, was as follows: 

	September 30, 2019		December 31, 2018
Par value of consolidated obligation bonds:
Non-callable	$	58,741	$	61,051
Callable	8,684		11,285
Total par value	$	67,425	$	72,336

The following is a summary of the Bank’s participation in consolidated obligation bonds outstanding at September 30, 2019, and December 31, 2018, by the earlier of the year of contractual maturity or next call date.

Earlier of Contractual Maturity or Next Call Date	September 30, 2019		December 31, 2018
Within 1 year	$	53,335	$	65,878
After 1 year through 2 years	13,511		5,626
After 2 years through 3 years	326		616
After 3 years through 4 years	125		85
After 4 years through 5 years	77		70
After 5 years	51		61
Total par value	$	67,425	$	72,336

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:

	September 30, 2019					December 31, 2018
	Amount Outstanding			Weighted Average Interest Rate (1)		Amount Outstanding			Weighted Average Interest Rate (1)
Par value	$	28,673		2.01	%	$	29,273		2.32	%
Unamortized discounts	(68		)			(91		)
Total	$	28,605				$	29,182

(1) Represents yield to maturity excluding concession fees.

Interest Rate Payment Terms. Interest rate payment terms for consolidated obligations at September 30, 2019, and December 31, 2018, are detailed in the following table. For information on the general terms and types of consolidated obligations outstanding, see “Item 8. Financial Statements and Supplementary Data – Note 12 – Consolidated Obligations” in the Bank’s 2018 Form 10K.

	September 30, 2019		December 31, 2018
Par value of consolidated obligations:
Bonds:
Fixed rate	$	12,438	$	16,735
Adjustable rate	54,487		53,668
Step-up	300		1,558
Step-down	100		275
Range bonds	100		100
Total bonds, par value	67,425		72,336
Discount notes, par value	28,673		29,273
Total consolidated obligations, par value	$	96,098	$	101,609

The Bank did not have any bonds with embedded features that met the requirements to separate the embedded feature from the host contract and designate the embedded feature as a stand-alone derivative at September 30, 2019, or December 31, 2018. 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 15 – Derivatives and Hedging Activities and Note 16 – Fair Value.

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Advances (Tables)

9 Months Ended

Sep. 30, 2019

Federal Home Loan Banks [Abstract]

Federal Home Loan Bank, Advances

The following tables present the concentration in advances to the top five borrowers and their affiliates at September 30, 2019 and 2018. The tables also present the interest income from these advances before the impact of interest rate exchange agreements associated with these advances for the three and nine months ended September 30, 2019 and 2018.

	September 30, 2019				Three Months Ended September 30, 2019				Nine Months Ended September 30, 2019
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
MUFG Union Bank, National Association	$	14,100	22	%	$	92	24	%	$	287	22	%
First Republic Bank	11,200		18		62		16		175		13
Wells Fargo & Company
Wells Fargo Financial National Bank West(2)	8,000		13		49		13		150		12
Wells Fargo Bank, National Association(3)	41		—		1		—		2		—
Subtotal Wells Fargo & Company	8,041		13		50		13		152		12
Bank of the West	5,556		9		41		10		124		9
JPMorgan Chase Bank, National Association(3)	5,056		8		33		9		144		11
Subtotal	43,953		70		278		72		882		67
Others	18,486		30		110		28		427		33
Total par value	$	62,439	100	%	$	388	100	%	$	1,309	100	%

	September 30, 2018				Three Months Ended September 30, 2018				Nine Months Ended September 30, 2018
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
MUFG Union Bank, National Association	$	11,900	17	%	$	66	18	%	$	170	15	%
First Republic Bank	9,700		14		49		13		130		12
JPMorgan Chase Bank, National Association(3)	8,360		12		57		15		161		15
Bank of the West	7,458		11		40		11		104		10
Wells Fargo & Company
Wells Fargo Financial National Bank(2)	4,000		6		23		7		62		5
Wells Fargo Bank, National Association(3)	49		—		1		—		2		—
Subtotal Wells Fargo & Company	4,049		6		24		7		64		5
Subtotal	41,467		60		236		64		629		57
Others	28,147		40		135		36		469		43
Total par value	$	69,614	100	%	$	371	100	%	$	1,098	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) Effective April 15, 2019, Wells Fargo Financial National Bank was renamed Wells Fargo Financial National Bank West.

(3) Nonmember institution.

Interest rate payment terms for advances at September 30, 2019, and December 31, 2018, are detailed below:

	September 30, 2019		December 31, 2018
Par value of advances:
Fixed rate:
Due within 1 year	$	15,883	$	20,437
Due after 1 year	20,735		19,727
Total fixed rate	36,618		40,164
Adjustable rate:
Due within 1 year	14,491		21,848
Due after 1 year	11,330		11,483
Total adjustable rate	25,821		33,331
Total par value	$	62,439	$	73,495

The Bank had advances outstanding, excluding overdrawn demand deposit accounts, at interest rates ranging from 1.15% to 8.57% at September 30, 2019, and 1.02% to 8.57% at December 31, 2018, as summarized below.

	September 30, 2019				December 31, 2018
Redemption Term	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding			Weighted Average Interest Rate
Overdrawn demand and overnight deposit accounts	$	2	1.55	%	$	—		—	%
Within 1 year	30,373		2.26		42,285			2.40
After 1 year through 2 years	18,538		2.33		13,662			2.57
After 2 years through 3 years	7,507		2.30		11,238			2.70
After 3 years through 4 years	1,947		2.80		2,409			2.45
After 4 years through 5 years	2,916		2.82		2,815			2.99
After 5 years	1,156		3.01		1,086			3.23
Total par value	62,439		2.34	%	73,495			2.51	%
Valuation adjustments for hedging activities	293				(32		)
Valuation adjustments under fair value option	94				(29		)
Total	$	62,826			$	73,434

The following table summarizes advances at September 30, 2019, and December 31, 2018, by the earlier of the year of redemption term or next call date for callable advances and by the earlier of the year of redemption term or next put date for putable advances.

	Earlier of Redemption Term or Next Call Date				Earlier of Redemption Term or Next Put Date
	September 30, 2019		December 31, 2018		September 30, 2019		December 31, 2018
Overdrawn demand and overnight deposit accounts	$	2	$	—	$	2	$	—
Within 1 year	36,647		46,740		30,388		42,295
After 1 year through 2 years	12,688		14,762		18,543		13,672
After 2 years through 3 years	7,110		5,688		7,507		11,238
After 3 years through 4 years	1,933		2,409		1,947		2,409
After 4 years through 5 years	2,903		2,812		2,916		2,815
After 5 years	1,156		1,084		1,136		1,066
Total par value	$	62,439	$	73,495	$	62,439	$	73,495

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Consolidated Obligations (Tables)

9 Months Ended

Sep. 30, 2019

Debt Disclosure [Abstract]

Schedule of Maturities of Long-term Debt

The following is a summary of the Bank’s participation in consolidated obligation bonds at September 30, 2019, and December 31, 2018.

	September 30, 2019					December 31, 2018
Contractual Maturity	Amount Outstanding			Weighted Average Interest Rate		Amount Outstanding			Weighted Average Interest Rate
Within 1 year	$	46,641		1.94	%	$	56,968		2.29	%
After 1 year through 2 years	15,556			1.95		7,741			2.20
After 2 years through 3 years	1,698			2.21		2,842			2.08
After 3 years through 4 years	712			2.13		2,094			2.12
After 4 years through 5 years	797			2.11		600			2.56
After 5 years	2,021			3.04		2,091			3.03
Total par value	67,425			1.99	%	72,336			2.29	%
Unamortized premiums	1					3
Unamortized discounts	(10		)			(10		)
Valuation adjustments for hedging activities	13					(48		)
Fair value option valuation adjustments	2					(5		)
Total	$	67,431				$	72,276

Schedule of Long-term Debt by Call Feature

The Bank’s participation in consolidated obligation bonds at September 30, 2019, and December 31, 2018, was as follows: 

	September 30, 2019		December 31, 2018
Par value of consolidated obligation bonds:
Non-callable	$	58,741	$	61,051
Callable	8,684		11,285
Total par value	$	67,425	$	72,336

Schedule of Maturities of Long-term Debt by Contractual or Next Call Date

The following is a summary of the Bank’s participation in consolidated obligation bonds outstanding at September 30, 2019, and December 31, 2018, by the earlier of the year of contractual maturity or next call date.

Earlier of Contractual Maturity or Next Call Date	September 30, 2019		December 31, 2018
Within 1 year	$	53,335	$	65,878
After 1 year through 2 years	13,511		5,626
After 2 years through 3 years	326		616
After 3 years through 4 years	125		85
After 4 years through 5 years	77		70
After 5 years	51		61
Total par value	$	67,425	$	72,336

Schedule of Short-term Debt

The Bank’s participation in consolidated obligation discount notes, all of which are due within one year, was as follows:

	September 30, 2019					December 31, 2018
	Amount Outstanding			Weighted Average Interest Rate (1)		Amount Outstanding			Weighted Average Interest Rate (1)
Par value	$	28,673		2.01	%	$	29,273		2.32	%
Unamortized discounts	(68		)			(91		)
Total	$	28,605				$	29,182

Schedule of Interest Rate Payment Terms for Debt

Interest rate payment terms for consolidated obligations at September 30, 2019, and December 31, 2018, are detailed in the following table. For information on the general terms and types of consolidated obligations outstanding, see “Item 8. Financial Statements and Supplementary Data – Note 12 – Consolidated Obligations” in the Bank’s 2018 Form 10K.

	September 30, 2019		December 31, 2018
Par value of consolidated obligations:
Bonds:
Fixed rate	$	12,438	$	16,735
Adjustable rate	54,487		53,668
Step-up	300		1,558
Step-down	100		275
Range bonds	100		100
Total bonds, par value	67,425		72,336
Discount notes, par value	28,673		29,273
Total consolidated obligations, par value	$	96,098	$	101,609

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Statements of Capital Accounts (Parenthetical)	3 Months Ended		9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018
Statement of Stockholders' Equity [Abstract]
Annualized Dividend Rate on Capital Stock	7.00%	7.00%	7.00%	7.00%

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Statements of Condition (Parenthetical) - USD ($) shares in Millions, $ in Millions		Sep. 30, 2019	Dec. 31, 2018
HTM securities pledged as collateral that may be repledged		$ 0	$ 0
Available-for-sale securities pledged as collateral that may be repledged		321	0
Trading securities pledged as collateral that may be repledged		0	0
Assets:
Fair Value of Held-to-maturity securities		8,586	11,047
Fair Value of Advances Under the Fair Value Option	[1]	3,967	5,133
Allowance for credit losses on mortgage loans		$ 0	$ 0
Capital:
Common stock, par value		$ 100
Common Class B
Capital:
Common stock, par value		$ 100	$ 100
Common stock, shares issued		29	29
Common stock, shares outstanding		29	29
Consolidated obligation bonds
Liabilities:
Fair Value of Bonds Under the Fair Value Option		$ 577	$ 2,019

[1] At September 30, 2019, and December 31, 2018, none of these advances were 90 days or more past due or had been placed on nonaccrual status.

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Other-Than-Temporary Impairment Analysis Transfers (Details) - USD ($) $ in Millions	3 Months Ended	9 Months Ended
	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items]
Transfers of other-than-temporarily impaired held to maturity securities to available for sale securities		$ 0	$ 12
Subtotal PLRMBS
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items]
Transfers of other-than-temporarily impaired held to maturity securities to available for sale securities	$ 0		12
Held to Maturity Securities Transferred to Available for Sale Securities During Period, Other Than Temporary Impairment Recognized in Accumulated Other Comprehensive Income	0		0
Debt Securities, Held-to-maturity, Transfer, Unrealized Gain (Loss)	0		0
Held to Maturity Securities Transferred to Available for Sale Securities During Period, Fair Value	0		12
Residential Mortgage Backed Securities [Member] | Subtotal PLRMBS | Alt-A
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items]
Transfers of other-than-temporarily impaired held to maturity securities to available for sale securities	0		12
Held to Maturity Securities Transferred to Available for Sale Securities During Period, Other Than Temporary Impairment Recognized in Accumulated Other Comprehensive Income	0		0
Debt Securities, Held-to-maturity, Transfer, Unrealized Gain (Loss)	0		0
Held to Maturity Securities Transferred to Available for Sale Securities During Period, Fair Value	$ 0		$ 12

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Held-to-Maturity Securities (HTM Redemption Terms) (Details) - USD ($) $ in Millions		Sep. 30, 2019	Dec. 31, 2018
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	$ 8,566	$ 11,092
HTM securities, Carrying Value	[1],[2]	8,564	11,089
HTM Securities, Fair Value		8,586	11,047
Other Than Mortgage Backed Securities
Schedule of Held-to-maturity Securities [Line Items]
Due after 10 years, Amortized Cost	[3]	32	100
Due after 10 years, Carrying Value	[3]	32	100
Due after 10 years, Estimated Fair Value		32	97
Amortized Cost		32	100
HTM securities, Carrying Value		32	100
HTM Securities, Fair Value		32	97
Total MBS
Schedule of Held-to-maturity Securities [Line Items]
Held-to-maturity Securities, Premiums		9	14
Amortized Cost	[1]	8,534	10,992
HTM securities, Carrying Value	[1]	8,532	10,989
HTM Securities, Fair Value		8,554	10,950
Held-to-maturity Securities, Discounts		$ (13)	$ (19)

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

[2] At September 30, 2019, and December 31, 2018, none of these securities were pledged as collateral that may be repledged.

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

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Derivatives and Hedging Activities (Offsetting of Derivative Assets and Derivative Liabilities) (Details) - USD ($) $ in Millions		Sep. 30, 2019	Dec. 31, 2018
Derivative [Line Items]
Total Derivative Assets and Derivative Liabilities		$ 23	$ 185
Derivative Asset, Fair Value, Amount Offset Against Collateral		344
Netting Adjustments and Cash Collateral-Derivative Liability	[1]	(549)	(137)
Derivative Assets and Derivative Liabilities		1	10
Derivative Liability, Fair Value, Amount Offset Against Collateral		1
Uncleared derivatives
Derivative [Line Items]
Derivative Asset, Fair Value, Gross Recognized Amount		18	83
Derivative Asset Fair Value Gross Liability and Right To Reclaim Cash Offset		(12)	(82)
Total Derivative Assets and Derivative Liabilities		6	1
Derivative Asset, Noncash collateral not offset that can be sold or repledged		0
Derivative Asset, Fair Value, Amount Offset Against Collateral		6
Derivative Liability, Fair Value, Gross Recognized Amount		549	129
Netting Adjustments and Cash Collateral-Derivative Liability		(548)	(119)
Derivative Assets and Derivative Liabilities		1	10
Derivative Liability, Noncash collateral not offset that can be sold or repledged		0
Derivative Liability, Fair Value, Amount Offset Against Collateral		1
Cleared derivatives
Derivative [Line Items]
Derivative Asset, Fair Value, Gross Recognized Amount		7	3
Derivative Asset Fair Value Gross Liability and Right To Reclaim Cash Offset		10	181
Total Derivative Assets and Derivative Liabilities		17	184
Derivative Asset, Noncash collateral not offset that can be sold or repledged		(321)
Derivative Asset, Fair Value, Amount Offset Against Collateral		338
Derivative Liability, Fair Value, Gross Recognized Amount		1	18
Netting Adjustments and Cash Collateral-Derivative Liability		(1)	(18)
Derivative Assets and Derivative Liabilities		0	$ 0
Derivative Liability, Noncash collateral not offset that can be sold or repledged		0
Derivative Liability, Fair Value, Amount Offset Against Collateral		$ 0

[1] Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty. Cash collateral posted and related accrued interest was $555 and $257 at September 30, 2019, and December 31, 2018, respectively. Cash collateral received and related accrued interest was $7 and $22 at September 30, 2019, and December 31, 2018, respectively.

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Capital (By Redemption Period) (Details) - USD ($) $ in Millions		Sep. 30, 2019	Jun. 30, 2019	Dec. 31, 2018	Sep. 30, 2018	Jun. 30, 2018	Dec. 31, 2017
Financial Instruments Subject to Mandatory Redemption, Settlement Terms, Share Value, Amount [Abstract]
Within 1 year		$ 135		$ 0
After 1 year through 2 years		0		224
Past contractual redemption date because of remaining activity	[1]	3		3
Total		$ 138	$ 138	$ 227	$ 227	$ 255	$ 309

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

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Capital (Excess Capital Stock) (Details) - USD ($) $ / shares in Units, $ in Millions		3 Months Ended		9 Months Ended
		Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018	Jun. 30, 2019	Dec. 31, 2018	Jun. 30, 2018	Dec. 31, 2017
Capital [Line Items]
Mandatorily redeemable capital stock		$ 138	$ 227	$ 138	$ 227	$ 138	$ 227	$ 255	$ 309
Amount of Excess Stock Repurchased During Period		$ 210	294	$ 977	1,422
Common stock, par value		$ 100		$ 100
Excess Capital		$ 178		$ 178			$ 166
Excess Capital Stock and Excess Mandatorily Redeemable Capital Stock, Redemption, Period of Written Notice				15 days
Mandatorily Redeemable Capital Stock, Redemption Period				5 years
Interest Expense on Mandatorily Redeemable Capital Stock	[1]	$ 3	$ 5	$ 11	$ 16
Maximum
Capital [Line Items]
Dividends, Cash Declared, Annualized Rate		7.00%		7.00%
Minimum
Capital [Line Items]
Dividends, Cash Declared, Annualized Rate		5.00%		5.00%

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

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Consolidated Obligations (Redemption Terms) (Details) - USD ($) $ in Millions	Sep. 30, 2019	Dec. 31, 2018
Debt Instrument [Line Items]
Total par value	$ 67,425	$ 72,336
Total	$ 67,431	$ 72,276
Weighted Average Interest Rate [Abstract]
Within 1 year	1.94%	2.29%
After 1 year through 2 years	1.95%	2.20%
After 2 years through 3 years	2.21%	2.08%
After 3 years through 4 years	2.13%	2.12%
After 4 years through 5 years	2.11%	2.56%
After 5 years	3.04%	3.03%
Consolidated obligation bonds
Debt Instrument [Line Items]
Within 1 year	$ 46,641	$ 56,968
After 1 year through 2 years	15,556	7,741
After 2 years through 3 years	1,698	2,842
After 3 years through 4 years	712	2,094
After 4 years through 5 years	797	600
After 5 years	2,021	2,091
Unamortized premiums	1	3
Unamortized discounts	(10)	(10)
Valuation adjustments for hedging activities	13	(48)
Fair value option valuation adjustments	$ 2	$ (5)
Weighted Average Interest Rate [Abstract]
Total par amount	1.99%	2.29%

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Consolidated Obligations (Interest Rate Payment Terms) (Details) - USD ($) $ in Millions	Sep. 30, 2019	Dec. 31, 2018
Debt Disclosure [Abstract]
Fixed rate	$ 12,438	$ 16,735
Adjustable rate	54,487	53,668
Step-up	300	1,558
Step-down	100	275
Range bonds	100	100
Total bonds, par value	67,425	72,336
Discount notes, par value	28,673	29,273
Total consolidated obligations, par value	$ 96,098	$ 101,609

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Derivatives and Hedging Activities (Derivatives in Statement of Condition) (Details) - USD ($) $ in Millions		Sep. 30, 2019	Dec. 31, 2018
Derivatives, Fair Value [Line Items]
Derivatives, Notional Amount		$ 96,087	$ 101,477
Derivative Assets		25	86
Netting adjustments and cash collateral	[1]	(2)	99
Total Derivative Assets and Derivative Liabilities		23	185
Derivative Liabilities		550	147
Netting Adjustments and Cash Collateral-Derivative Liability	[1]	(549)	(137)
Derivative Assets and Derivative Liabilities		1	10
Cash collateral posted and related accrued interest		555	257
Cash collateral received and related accrued interest		7	22
Designated as Hedging Instrument
Derivatives, Fair Value [Line Items]
Derivatives, Notional Amount		44,027	40,504
Derivative Assets		11	20
Derivative Liabilities		528	93
Designated as Hedging Instrument | Interest rate swaps
Derivatives, Fair Value [Line Items]
Derivatives, Notional Amount		44,027	40,504
Derivative Assets		11	20
Derivative Liabilities		528	93
Not Designated as Hedging Instrument, Economic Hedge | Interest rate swaps
Derivatives, Fair Value [Line Items]
Derivatives, Notional Amount		50,955	59,398
Derivative Assets		14	65
Derivative Liabilities		21	54
Not Designated as Hedging Instrument, Economic Hedge | Interest rate caps and floors
Derivatives, Fair Value [Line Items]
Derivatives, Notional Amount		1,010	1,563
Derivative Assets		0	1
Derivative Liabilities		1	0
Not Designated as Hedging Instrument
Derivatives, Fair Value [Line Items]
Derivatives, Notional Amount		52,060	60,973
Derivative Assets		14	66
Derivative Liabilities		22	54
Mortgages | Not Designated as Hedging Instrument | Mortgage delivery commitments
Derivatives, Fair Value [Line Items]
Derivatives, Notional Amount		95	12
Derivative Assets		0	0
Derivative Liabilities		$ 0	$ 0

[1] Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty. Cash collateral posted and related accrued interest was $555 and $257 at September 30, 2019, and December 31, 2018, respectively. Cash collateral received and related accrued interest was $7 and $22 at September 30, 2019, and December 31, 2018, respectively.

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Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks (Details) - USD ($) $ in Millions	3 Months Ended		9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018	Dec. 31, 2018
Related Party Transaction [Line Items]
Proceeds from Other FHLBank Borrowings			$ 1,545	$ 1,520
Assets:
Advances	$ 62,826		62,826		$ 73,434
Mortgage loans held for portfolio	3,382		3,382		3,066
Accrued interest receivable	133		133		133
Liabilities:
Deposits	652		652		262
Capital [Abstract]
Capital Stock	2,898		2,898		2,949
Interest Income:
Advances	389	$ 389	1,343	1,138
Mortgage loans held for portfolio	18	26	55	70
MPF Service Fee Expense to FHLB Chicago	1	1	2	2
FHLBanks [Member]
Related Party Transaction [Line Items]
Deposits with other FHLB	0		0		1
Payments to Extend Overnight Loans to Other FHLBanks			(1,450)	(280)
MPF Counterparty fee Income			0	0
Transaction with Member Officer or Director
Assets:
Advances	3,711		3,711		4,192
Mortgage loans held for portfolio	9		9		11
Accrued interest receivable	6		6		7
Liabilities:
Deposits	30		30		11
Capital [Abstract]
Capital Stock	130		130		$ 149
Interest Income:
Advances	$ 22	$ 21	$ 66	$ 52

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Allowance for Credit Losses (Rollforward) (Details) - USD ($) $ in Millions	3 Months Ended		9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018	Dec. 31, 2018
Financing Receivable, Allowance for Credit Loss [Line Items]
Allowance for Loan and Lease Losses Write-offs, Net	$ 0	$ 0	$ 0	$ 0
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Balance, beginning of the period			0
Provision for/(reversal of) credit losses on mortgage loans	0	$ 0	0	$ 0
Balance, end of the period	0		0
Conventional Mortgage Loan
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Balance, beginning of the period			0
Balance, end of the period	0		0
Individually evaluated for impairment, Allowance for credit losses	0		0		$ 0
Financing Receivable, Allowance for Credit Losses, Collectively Evaluated for Impairment	$ 0		$ 0		$ 0

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Advances (Interest Rate Payment Terms and Prepayment Fees) (Details) - USD ($) $ in Millions	Sep. 30, 2019	Dec. 31, 2018	Sep. 30, 2018
Federal Home Loan Bank, Advances, Fixed Rate [Abstract]
Fixed Rate, due within 1 year	$ 15,883	$ 20,437
Fixed Rate, due after 1 year	20,735	19,727
Advances, Total Fixed Rate	36,618	40,164
Federal Home Loan Bank, Advances, Floating Rate [Abstract]
Adjustable Rate, due within 1 year	14,491	21,848
Adjustable Rate, due after 1 year	11,330	11,483
Advances, Total Adjustable Rate	25,821	33,331
Total par value	$ 62,439	$ 73,495	$ 69,614

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Fair Value (Level 3) (Details) - USD ($) $ in Millions		3 Months Ended		9 Months Ended
		Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Net OTTI loss, credit-related	[1]	$ (2)	$ (3)	$ (8)	$ (9)
Net amount of OTTI loss reclassified to/(from) other income/(loss)		(1)	0	0	(10)
Subtotal PLRMBS | Fair Value, Measurements, Recurring | Level 3 | Available-for-sale Securities
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Balance, beginning of the period		2,929	3,510	3,157	3,833
Interest income		20	19	57	61
Net OTTI loss, credit-related		(2)	(3)	(8)	(9)
Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI		(15)	5	1	25
Net amount of OTTI loss reclassified to/(from) other income/(loss)		(1)	0	0	(10)
Settlements		(176)	(182)	(452)	(563)
Balance, end of the period		2,755	3,349	2,755	3,349
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		$ 16	$ 16	46	52
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Transfers from held-to-maturity into available-for-sale securities				$ 0	$ 12

[1] For the three months ended September 30, 2019 and 2018, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to July 1, 2019 and 2018, respectively. For the nine months ended September 30, 2019 and 2018, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2019 and 2018, respectively.

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Derivatives and Hedging Activities (Tables)

9 Months Ended

Sep. 30, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value

The following table summarizes the notional amount and fair value of derivative instruments, including the effect of netting adjustments and cash collateral as of September 30, 2019, and December 31, 2018. For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest.

	September 30, 2019								December 31, 2018
	Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities			Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	44,027	$	11		$	528		$	40,504	$	20	$	93
Total	44,027		11			528			40,504		20		93
Derivatives not designated as hedging instruments:
Interest rate swaps	50,955		14			21			59,398		65		54
Interest rate caps and floors	1,010		—			1			1,563		1		—
Mortgage delivery commitments	95		—			—			12		—		—
Total	52,060		14			22			60,973		66		54
Total derivatives before netting and collateral adjustments	$	96,087	25			550			$	101,477	86		147
Netting adjustments and cash collateral(1)			(2		)	(549		)			99		(137		)
Total derivative assets and total derivative liabilities			$	23		$	1				$	185	$	10

(1)

Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty. Cash collateral posted and related accrued interest was $555 and $257 at September 30, 2019, and December 31, 2018, respectively. Cash collateral received and related accrued interest was $7 and $22 at September 30, 2019, and December 31, 2018, respectively.

Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance

The following table presents the components of net gain/(loss) on derivatives and hedging activities as presented in the Statements of Income for the three and nine months ended September 30, 2019 and 2018. For fair value hedging relationships, the portion of net gain/(loss) representing hedge ineffectiveness is recorded in other income for periods prior to January 1, 2019.

	Three Months Ended						Nine Months Ended
	September 30, 2019			September 30, 2018			September 30, 2019			September 30, 2018
	Gain/(Loss)			Gain/(Loss)			Gain/(Loss)			Gain/(Loss)
Derivatives designated as hedging instruments:
Interest rate swaps				$	(1	)				$	3
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	$	(17	)	23			$	(102	)	65
Interest rate caps and floors	(1		)	—			(2		)	1
Net settlements	(3		)	(5		)	(8		)	(12		)
Mortgage delivery commitments	1			2			3			11
Total net gain/(loss) related to derivatives not designated as hedging instruments	(20		)	20			(109		)	65
Price alignment amount(1)	—			(1		)	—			(2		)
Net gain/(loss) on derivatives and hedging activities	$	(20	)	$	18		$	(109	)	$	66

(1)

This amount is for derivatives for which variation margin on cleared derivatives is characterized as a daily settled contract.

Derivative Instruments, Gain (Loss) [Table Text Block]

The following tables present, by type of hedged item, the gains and losses on fair value hedging relationships and the impact of those derivatives on the Bank’s Statements of Income for the three and nine months ended September 30, 2019 and 2018. Beginning on January 1, 2019, the gains and losses on derivatives include unrealized changes in fair value as well as net interest settlements.

	Three Months Ended September 30, 2019(1)
	Interest Income/(Expense)
	Advances			AFS Securities			Consolidated Obligation Bonds
Total interest income/(expense) presented in the Statements of Income	$	389		$	100		$	(409	)
Gain/(loss) on fair value hedging relationships
Derivatives(2)	$	(36	)	$	(224	)	$	2
Hedged items	37			209			(4		)
Net gain/(loss) on fair value hedging relationships	$	1		$	(15	)	$	(2	)

	Three Months Ended September 30, 2018(1)
	Interest Income/(Expense)							Other Income/(Loss)
	Advances		AFS Securities		Consolidated Obligation Bonds			Net Gain/(Loss) on Derivatives and Hedging Activities
Total income/(expense) presented in the Statements of Income	$	389	$	59	$	(364	)	$	18
Gain/(loss) on fair value hedging relationships
Derivatives(2)	$	16	$	1	$	(6	)	$	22
Hedged items								(23		)
Net gain/(loss) on fair value hedging relationships	$	16	$	1	$	(6	)	$	(1	)

	Nine Months Ended September 30, 2019(1)
	Interest Income/(Expense)
	Advances			AFS Securities			Consolidated Obligation Bonds
Total interest income/(expense) presented in the Statements of Income	$	1,343		$	261		$	(1,306	)
Gain/(loss) on fair value hedging relationships
Derivatives(2)	$	(292	)	$	(594	)	$	43
Hedged items	325			552			(61		)
Net gain/(loss) on fair value hedging relationships	$	33		$	(42	)	$	(18	)

	Nine Months Ended September 30, 2018(1)
	Interest Income/(Expense)							Other Income/(Loss)
	Advances		AFS Securities		Consolidated Obligation Bonds			Net Gain/(Loss) on Derivatives and Hedging Activities
Total income/(expense) presented in the Statements of Income	$	1,138	$	172	$	(1,010	)	$	66
Gain/(loss) on fair value hedging relationships
Derivatives(2)	$	36	$	1	$	(13	)	$	52
Hedged items								(49		)
Net gain/(loss) on fair value hedging relationships	$	36	$	1	$	(13	)	$	3

(1) Upon adoption of new hedge accounting guidance applied prospectively on January 1, 2019, interest amounts reported for 2019 for advances, investment securities, and consolidated obligation bonds include the realized and unrealized gain/(loss) on hedged items and derivatives in qualifying hedge relationships. Other income amounts reported for 2018 include the realized and unrealized gain/(loss) on hedged items and derivatives in qualifying hedge relationships.

(2)

Includes net interest settlements.

Schedule of Derivative Instruments By Type, Gain (Loss) in Statement of Financial Performance

The following table presents the cumulative basis adjustments on hedged items designated as fair value hedges and the related amortized cost of the hedged items as of September 30, 2019.

	September 30, 2019
Hedged Item Type	Amortized Cost of Hedged Asset/(Liability)(1)			Basis Adjustments for Active Hedging Relationships Included in Amortized Cost
Advances	$	27,428		$	293
AFS securities	12,563			642
Consolidated obligation bonds	(5,207		)	(13		)

Schedule of Derivative Instruments, Offsetting Derivative Assets

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 September 30, 2019, and December 31, 2018.

	September 30, 2019
	Derivative Instruments Meeting Netting Requirements
	Amount Recognized		Gross Amount of Netting Adjustments and Cash Collateral			Total Derivative Assets and Total Derivative Liabilities		Noncash Collateral Not Offset That  Can Be Sold or Repledged			Net Amount
Derivative Assets
Uncleared	$	18	$	(12	)	$	6	$	—		$	6
Cleared	7		10			17		(321		)	338
Total						$	23				$	344
Derivative Liabilities
Uncleared	$	549	$	(548	)	$	1	$	—		$	1
Cleared	1		(1		)	—		—			—
Total						$	1				$	1

Schedule of Derivative Instruments, Offsetting Derivative Liabilities

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 September 30, 2019, and December 31, 2018.

	September 30, 2019
	Derivative Instruments Meeting Netting Requirements
	Amount Recognized		Gross Amount of Netting Adjustments and Cash Collateral			Total Derivative Assets and Total Derivative Liabilities		Noncash Collateral Not Offset That  Can Be Sold or Repledged			Net Amount
Derivative Assets
Uncleared	$	18	$	(12	)	$	6	$	—		$	6
Cleared	7		10			17		(321		)	338
Total						$	23				$	344
Derivative Liabilities
Uncleared	$	549	$	(548	)	$	1	$	—		$	1
Cleared	1		(1		)	—		—			—
Total						$	1				$	1

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Trading Securities (Details) - USD ($) $ in Millions	3 Months Ended		9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018	Dec. 31, 2018
Trading Securities
Trading securities	$ 4		$ 4		$ 661
Net unrealized gain/(loss) on trading securities	0	$ (1)	(1)	$ (2)
GSEs – Federal Farm Credit Bank (FFCB) bonds
Trading Securities
Trading securities	0		0		656
MBS – Other U.S. obligations – Ginnie Mae
Trading Securities
Trading securities	$ 4		$ 4		$ 5

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Available-for-Sale Securities AFS Redemption Terms (Details) - USD ($) $ in Millions		Sep. 30, 2019	Dec. 31, 2018
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	[1]	$ 15,030	$ 6,676
Estimated Fair Value	[2]	15,316	$ 6,931
Other Than Mortgage Backed Securities [Member]
Debt Securities, Available-for-sale [Line Items]
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling within One Year, Amortized Cost		1,510
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling within One Year, Fair Value		1,509
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, after One Through Five Years, Amortized Cost		3,780
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, after One Through Five Years, Fair Value		3,778
Amortized Cost		5,290
Estimated Fair Value		5,287
Subtotal MBS
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	[1]	9,740
Estimated Fair Value		$ 10,029

[1] Amortized cost includes unpaid principal balance, unamortized premiums and discounts, previous OTTI recognized in earnings, and valuation adjustments for hedging activities.

[2] At September 30, 2019, $321 of these securities were pledged as collateral that may be repledged. At December 31, 2018, none of these securities were pledged as collateral that may be repledged.

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Basis of Presentation (Policies)

9 Months Ended

Sep. 30, 2019

Accounting Policies [Abstract]

Investment, Policy

e Bank elects 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 three and nine months ended September 30, 2018. 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 three and nine months ended September 30, 2019.

	Three Months Ended September 30, 2018								Nine Months Ended September 30, 2018
	Amortized Cost		OTTI Recognized in AOCI		Gross Unrecognized Holding Gains (Losses)		Estimated Fair Value		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:
Alt-A	$	—	$	—	$	—	$	—	$	12	$	—	$	—	$	12
Total	$	—	$	—	$	—	$	—	$	12	$	—	$	—	$	12

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.

Loans and Leases Receivable, Allowance for Loan Losses Policy

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. The Bank purchased loans under the MPF Program that were credit enhanced to an AMA investment-grade level at the time of purchase, where the Bank has a high degree of confidence that it will be paid principal and interest in all material respects, even under reasonably likely adverse changes to expected economic conditions.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.

Loans and Leases Receivable, Troubled Debt Restructuring Policy

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

Finance, Loan and Lease Receivables, Held-for-investment, Allowance and Nonperforming Loans, Allowance Policy

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 September 30, 2019, and December 31, 2018, none of the Bank’s credit products were past due, on nonaccrual status, or considered impaired. There were no troubled debt restructurings related to credit products during the nine months ended September 30, 2019, or during 2018.

Stockholders' Equity, Policy

Under the Housing and Economic Recovery Act of 2008, 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.

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.

Segment Reporting, Policy

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

For more information on these operating segments, see “Item 8. Financial Statements and Supplementary Data – Note 17 – Segment Information” in the Bank’s 2018 Form 10-K.

Derivatives, Embedded Derivatives

The Bank did not have any bonds with embedded features that met the requirements to separate the embedded feature from the host contract and designate the embedded feature as a stand-alone derivative at September 30, 2019, or December 31, 2018. 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).

Derivatives, Policy

The Bank is subject to credit risk from potential nonperformance by counterparties to the interest rate exchange agreements. All of the Bank’s agreements governing uncleared derivative transactions contain master netting provisions to help mitigate the credit risk exposure to each counterparty. The Bank manages counterparty credit risk through credit analyses and collateral requirements and by following the requirements of the Bank’s risk management policies, credit guidelines, and Finance Agency and other regulations. The Bank also requires credit support agreements on all uncleared derivatives.

For cleared derivatives, the clearinghouse is the Bank’s counterparty. The requirement that the Bank post initial and variation margin through a 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. Variation margin and initial margin are posted for changes in the value and risk profile of cleared derivatives. The Bank has analyzed the enforceability of offsetting rights applicable to its cleared derivative transactions and determined that the exercise of those offsetting rights by a non-defaulting party under these transactions should be upheld under applicable bankruptcy law and Commodity Futures Trading Commission rules in the event of a clearinghouse or clearing agent insolvency and under applicable clearinghouse rules upon a non-insolvency-based event of default of the clearinghouse or clearing agent. Based on this analysis, the Bank presents a

net derivative receivable or payable for all of its transactions through a particular clearing agent with a particular clearinghouse.

Derivatives, Methods of Accounting, Hedging Derivatives

The Bank may enter into interest rate swaps (including callable, putable, and basis swaps); and cap and floor agreements (collectively, interest rate exchange agreements or derivatives). Most of the Bank’s interest rate exchange agreements are executed in conjunction with the origination of advances or the issuance of consolidated obligations to create variable rate structures. The interest rate exchange agreements are generally executed at the same time the advances and consolidated obligations are transacted and generally have the same maturity dates as the related hedged instrument. The Bank transacts most of its derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute consolidated obligations. 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 derivatives 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 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 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 or (ii) an economic hedge of assets, liabilities, or other derivatives.

The Bank primarily uses the following interest rate exchange agreement instruments:

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

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

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

The Bank may have the following types of hedged items:

Investments – The Bank may invest in U.S. Treasury and agency obligations, agency MBS, and the taxable portion of highly rated state or local housing finance agency obligations. In the past, the Bank has also invested in PLRMBS rated AAA at the time of acquisition. The interest rate and prepayment risk associated with these investment securities is managed through a combination of debt issuance and derivatives. The Bank may manage prepayment risk and interest rate risk by funding investment securities with consolidated obligations that have call features or by hedging the prepayment risk with a combination of consolidated obligations and callable swaps. The Bank may execute callable swaps in conjunction with the issuance of certain liabilities to create funding that is economically equivalent to fixed rate callable debt. Although these derivatives are economic hedges against prepayment risk and are designated to individual liabilities, they do not receive either fair value or cash flow hedge accounting treatment. Investment securities may be classified as trading, AFS, or HTM.

The Bank may also manage the risk arising from changing market prices or cash flows of investment securities classified as trading or AFS by entering into interest rate exchange agreements that offset the changes in fair value or cash flows of the securities. Hedge relationships that involve trading securities are designated as economic hedges, while hedge relationships that involve AFS securities are designated as fair value hedges. For trading securities that have been designated as an economic hedge, 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. Beginning January 1, 2019, the Bank adopted new hedge accounting guidance, which, among other things, affects the presentation of gains and losses on derivatives and hedging activities for qualifying hedges, including fair value hedges of AFS securities. For 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 AOCI as “Net unrealized gain/(loss) on AFS securities.”

Prior to January 1, 2019, 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 non-interest income as “Net gain/(loss) on derivatives and hedging 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.”

Advances – The Bank offers a wide range of advances structures to meet members’ funding needs. These advances may have maturities up to 30 years with fixed or adjustable rates and may include early termination features or options. The Bank may use derivatives to adjust the repricing and options characteristics of advances to more closely match the characteristics of the Bank’s funding liabilities. In general, whenever a member executes a fixed rate advance, fixed rate advance with embedded options, or a variable rate advance with embedded options, the Bank will simultaneously execute an interest rate exchange agreement with terms that offset the terms and any embedded options in the advance. The combination of the advance and the interest rate exchange agreement effectively creates a variable rate asset. Fixed rate advances without options that are offset with an interest rate exchange agreement are generally treated as fair value hedges. Advances with embedded options are recorded using the fair value option and are economically hedged using interest rate exchange agreements.

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

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

Consolidated Obligations – Consolidated obligation bonds may be structured to meet the Bank’s or the investors’ needs. Common structures include fixed rate bonds with or without call options and adjustable rate bonds with or without embedded options. In general, when bonds are issued, the Bank simultaneously executes an interest rate exchange agreement with terms that offset the terms and embedded options, if any, of the consolidated obligation bond. This combination of the consolidated obligation bond and the interest rate exchange agreement effectively creates an adjustable rate bond. These transactions generally receive fair value hedge accounting treatment.

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

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

Offsetting Derivatives – The Bank enters into derivatives to offset the economic effect of other derivatives that are no longer designated to advances, investments, or consolidated obligations. Offsetting derivatives do not receive hedge accounting treatment and are separately marked to market through earnings. The net result of the accounting for these derivatives does not significantly affect the operating results of the Bank.

The notional 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.

Fair Value of Financial Instruments, Policy

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

For more information on the Bank’s election of the fair value option, see “Item 8. Financial Statements and Supplementary Data – Note 19 – Fair Values” in the Bank’s 2018 Form 10-K.

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

Investment Securities – MBS – To value its MBS, the Bank obtains prices from multiple 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 multiple 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 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 September 30, 2019, multiple vendor prices were received for most of the Bank’s MBS, and the fair value estimates for most of those securities were determined in accordance with the Bank’s valuation technique based on these vendor prices. Based on the Bank’s reviews of the pricing methods employed by the third-party pricing vendors and the relative lack of dispersion among the vendor prices (or, in those instances in which there were outliers, the Bank’s additional analyses), the Bank believes that its fair value estimates are reasonable and that the fair value measurements are classified appropriately in the fair value hierarchy. Based on limited market liquidity for PLRMBS, the fair value measurements for these securities were classified as Level 3 within the fair value hierarchy.

Investment Securities – Non-MBS – To determine the estimated fair values of non-MBS investments, the Bank uses a market approach using prices from third-party pricing vendors, generally consistent with the methodologies for MBS. The Bank believes that its methodologies result in fair values that are reasonable and similar in all material respects based on the nature of the financial instruments being measured.

Advances Recorded Under the Fair Value Option – 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 recorded under the fair value option 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 recorded under the fair value option. 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 recorded under the fair value option for creditworthiness primarily because advances were fully collateralized.

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 swap rates 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 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.

Consolidated Obligations Recorded Under the Fair Value Option – 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 recorded under the fair value option have been significantly affected during the reporting period by changes in the instrument-specific credit risk.

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

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

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

the transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis.

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

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

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

The following assets and liabilities, including those for which the Bank has elected the fair value option, are carried at fair value on the Statements of Condition as of September 30, 2019:

• Trading securities

• AFS securities

• Certain advances

• Derivative assets and liabilities

• Certain consolidated obligation bonds

• Certain other assets

Fair Value Transfer, Policy

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

Commitments and Contingencies, Policy

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

New Accounting Pronouncements, Policy

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.

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 this guidance early. Based on the Bank’s assessments, this guidance is expected to have no effect on advances or U.S. obligations and Government-Sponsored Enterprises (GSEs) investments. The adoption of this guidance is expected to have an immaterial effect on the remaining investment portfolio given the specific terms, issuer guarantees, and collateralized/securitized nature of these instruments and on mortgage loans. 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.
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.

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.

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Commitments and Contingencies

9 Months Ended

Sep. 30, 2019

Commitments and Contingencies Disclosure [Abstract]

Commitments and Contingencies

Commitments and Contingencies

As provided by the FHLBank Act or regulations governing the operations of the FHLBanks, all FHLBanks have joint and several liability for all FHLBank consolidated obligations, which are backed only by the financial resources of the FHLBanks. The joint and several liability regulation authorizes the Finance Agency to require any FHLBank to repay all or a portion of the principal or interest on consolidated obligations for which another FHLBank is the primary obligor. The regulations provide a general framework for addressing the possibility that an FHLBank may be unable to repay the consolidated obligations for which it is the primary obligor. The Bank has never been asked or required to repay the principal or interest on any consolidated obligation on behalf of another FHLBank, and as of September 30, 2019, and through the filing date of this report, does not believe that it is probable that it will be asked to do so. The par value of the outstanding consolidated obligations of the FHLBanks

was $1,010,271 at September 30, 2019, and $1,031,617 at December 31, 2018. The par value of the Bank’s participation in consolidated obligations was $96,098 at September 30, 2019, and $101,609 at December 31, 2018. For more information on the joint and several liability regulation, see “Item 8. Financial Statements and Supplementary Data – Note 20 – Commitments and Contingencies” in the Bank’s 2018 Form 10-K.

Off-balance sheet commitments as of September 30, 2019, and December 31, 2018, were as follows:

	September 30, 2019						December 31, 2018
	Expire Within One Year		Expire After One Year		Total		Expire Within One Year		Expire After One Year		Total
Standby letters of credit outstanding	$	16,212	$	4,492	$	20,704	$	13,661	$	4,418	$	18,079
Commitments to issue consolidated obligation discount notes, par	—		—		—		350		—		350
Commitments to issue consolidated obligation bonds, par	40		—		40		—		—		—
Commitments to purchase mortgage loans	95		—		95		12		—		12

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 7 days to 15 years, including a final expiration in 2034. 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 $31 at September 30, 2019, and $27 at December 31, 2018. Standby letters of credit are fully collateralized at the time of issuance. Based on the Bank’s credit analyses of members’ financial condition and collateral requirements, the Bank deemed it unnecessary to record any additional liability on the letters of credit outstanding as of September 30, 2019, and December 31, 2018.

There were no commitments to fund advances at September 30, 2019, and December 31, 2018. Advances funded under advance commitments are fully collateralized at the time of funding (see Note 9 – Allowance for Credit Losses).

The Bank may enter into commitments that unconditionally obligate it to purchase mortgage loans from its members. Commitments are generally for periods not exceeding 60 days. Delivery commitments are recorded at fair value as derivative assets or derivative liabilities in the Statements of Condition.

We have pledged securities as collateral related to derivatives. See Note 15 – Derivatives and Hedging Activities for additional information about the Bank’s pledged collateral and other credit-risk-related contingent features. As of September 30, 2019, the Bank had pledged total collateral of $875, including securities with a carrying value of $321, all of which may be repledged, and cash collateral of $554 to counterparties and the clearinghouse that had market risk exposure to the Bank related to derivatives. As of December 31, 2018, the Bank had pledged total collateral of $257, which was comprised entirely of cash.

The Bank may be subject to various pending legal proceedings that may arise in the ordinary course of business. After consultation with legal counsel, the Bank does not anticipate that the ultimate liability, if any, arising out of these matters will have a material effect on its financial condition or results of operations.

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Capital

9 Months Ended

Sep. 30, 2019

Capital [Abstract]

Capital

Capital

Capital Requirements. Under the Housing and Economic Recovery Act of 2008, 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 September 30, 2019, and December 31, 2018, the Bank was in compliance with these capital rules and requirements as shown in the following table.

	September 30, 2019						December 31, 2018
	Required			Actual			Required			Actual
Risk-based capital	$	1,550		$	6,441		$	1,899		$	6,522
Total regulatory capital	$	4,166		$	6,441		$	4,373		$	6,522
Total regulatory capital ratio	4.00		%	6.18		%	4.00		%	5.97		%
Leverage capital	$	5,208		$	9,660		$	5,466		$	9,783
Leverage ratio	5.00		%	9.28		%	5.00		%	8.95		%

Mandatorily Redeemable Capital Stock. The Bank had mandatorily redeemable capital stock totaling $138 outstanding to three institutions at September 30, 2019, and $227 outstanding to three institutions at December 31, 2018. The change in mandatorily redeemable capital stock for the three and nine months ended September 30, 2019 and 2018, was as follows:

	Three Months Ended						Nine Months Ended
	September 30, 2019			September 30, 2018			September 30, 2019			September 30, 2018
Balance at the beginning of the period	$	138		$	255		$	227		$	309
Reclassified from/(to) capital during the period	4			—			4			2
Repurchase of excess mandatorily redeemable capital stock	(4		)	(28		)	(93		)	(84		)
Balance at the end of the period	$	138		$	227		$	138		$	227

Cash dividends on mandatorily redeemable capital stock were recorded as interest expense in the amount of $3 and $5 for the three months ended September 30, 2019 and 2018, respectively, and in the amount of $11 and $16 for the nine months ended September 30, 2019 and 2018, respectively.

The Bank’s mandatorily redeemable capital stock is discussed more fully in “Item 8. Financial Statements and Supplementary Data – Note 15 – Capital” in the Bank’s 2018 Form 10-K.

The following table presents mandatorily redeemable capital stock amounts by contractual redemption period at September 30, 2019, and December 31, 2018.

Contractual Redemption Period	September 30, 2019		December 31, 2018
Within 1 year	$	135	$	—
After 1 year through 2 years	—		224
Past contractual redemption date because of remaining activity(1)	3		3
Total	$	138	$	227

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

Excess Stock Repurchase, Retained Earnings, and Dividend Framework. 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 (Framework) summarizes the Bank’s capital management principles and objectives, as well as its policies and practices, with respect to retained earnings, dividend payments, and the repurchase of excess capital stock. The Bank may be restricted from paying dividends if the Bank is not in compliance with any of its minimum capital requirements or if payment would cause the Bank to fail to meet any of its minimum capital requirements. In addition, the Bank may not pay dividends if any principal or interest due on any consolidated obligations has not been paid in full or is not expected to be paid in full, or, under certain circumstances, if the Bank fails to satisfy certain liquidity requirements under applicable Finance Agency regulations.

The Bank’s Board of Directors reviews the Framework at least annually and may amend the Framework from time to time. The Framework includes a dividend philosophy to endeavor to pay a quarterly dividend at an annualized rate between 5% and 7%. The decision to declare any dividend and the dividend rate are at the discretion of the Bank’s Board of Directors, which may choose to follow the dividend philosophy as guidance in the dividend declaration.

The Bank’s Risk Management Policy limits the payment of dividends if the ratio of the Bank’s estimated market value of total capital to par value of capital stock falls below certain levels. If this ratio at the end of any quarter is less than 100% but greater than or equal to 70%, any dividend would be limited to an annualized rate no greater than the daily average of the Federal funds effective rate 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 224% as of September 30, 2019.

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 in future quarters.

Retained Earnings – The Bank’s Framework assesses the level and adequacy of retained earnings and establishes amounts to be retained in restricted retained earnings, which are not made available in the current dividend period, and maintains an amount of total retained earnings at least equal to its required retained earnings as described in the Framework. As determined using the Bank’s methodology, the required level of total retained earnings was $2,500 from January 2018 through July 2019. In July 2019, the methodology was further revised to provide a required level of retained earnings of $2,400. The Bank satisfies its retained earnings requirement with both restricted retained earnings (i.e., amounts related to the Joint Capital Enhancement Agreement) and unrestricted retained earnings. The Bank’s retained earnings requirement may be changed at any time. The Board of Directors periodically reviews the retained earnings methodology and analysis to determine whether any adjustments are appropriate.

The Bank’s restricted retained earnings totaled $690 and $647 at September 30, 2019, and December 31, 2018, respectively. The Bank’s unrestricted retained earnings totaled $2,715 and $2,699 at September 30, 2019, and December 31, 2018, respectively.

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 September 30, 2019, the Bank’s excess capital stock totaled $178, or 0.17% of total assets.

In the third quarter of 2019, the Bank paid dividends at an annualized rate of 7.00%, totaling $56, including $53 in dividends on capital stock and $3 in dividends on mandatorily redeemable capital stock. In the third quarter of 2018, the Bank paid dividends at an annualized rate of 7.00%, totaling $56, including $51 in dividends on capital stock and $5 in dividends on mandatorily redeemable capital stock.

In the first nine months of 2019, the Bank paid dividends at an annualized rate of 7.00%, totaling $166, including $155 in dividends on capital stock and $11 in dividends on mandatorily redeemable capital stock. In the first nine months of 2018, the Bank paid dividends at an annualized rate of 7.00%, totaling $178, including $162 in dividends on capital stock and $16 in dividends on mandatorily redeemable capital stock.

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

On October 24, 2019, the Bank’s Board of Directors declared a cash dividend on the capital stock outstanding during the third quarter of 2019 at an annualized rate of 7.00%, totaling $54, including $51 in dividends on capital stock and $3 in dividends on mandatorily redeemable capital stock. The Bank recorded the dividend on October 24, 2019. The Bank expects to pay the dividend on November 12, 2019. Dividends on mandatorily redeemable capital stock will be recognized as interest expense in the fourth quarter of 2019.

Excess Capital Stock – The Bank’s capital plan provides that 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 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’s practice is to repurchase the surplus capital stock of all members and the excess capital stock of all former members on a daily schedule. Surplus capital stock is defined as any stock holdings in excess of 115% of a member’s minimum stock requirement. The Bank calculates the amount of stock to be repurchased each business day based on the shareholder’s capital stock outstanding after all stock transactions are completed for the day, ensuring that each member and former member would continue to meet its minimum capital stock requirement after the repurchase. The Bank may change this practice at any time. The Bank repurchased $210 and $294 in excess capital stock during the third quarter of 2019 and 2018, respectively, and $977 and $1,422 in excess capital stock during the first nine months of 2019 and 2018, respectively.

The Bank is required to redeem any mandatorily redeemable capital stock that is in excess of a former member’s minimum stock requirement on or after the expiration of the five-year redemption date. During the third quarter of 2019 and 2018, the Bank redeemed a de minimis amount in mandatorily redeemable capital stock, for which the five-year redemption period had expired, at its $100 par value. 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.

Excess capital stock totaled $178 and $166 as of September 30, 2019, and December 31, 2018, respectively.

For more information on restricted retained earnings and the Bank’s Framework, see “Item 8. Financial Statements and Supplementary Data – Note 15 – Capital” in the Bank’s 2018 Form 10-K.

Concentration. The following table presents the concentration in capital stock held by institutions whose capital stock ownership represented 10% or more of the Bank’s outstanding capital stock, including mandatorily redeemable capital stock, as of September 30, 2019, or December 31, 2018.

	September 30, 2019				December 31, 2018
Name of Institution	Capital Stock Outstanding		Percentage of Total Capital Stock Outstanding		Capital Stock Outstanding		Percentage of Total Capital Stock Outstanding
MUFG Union Bank, National Association	$	402	13	%	$	456	14	%
First Republic Bank	329		11		273		9
Subtotal	731		24		729		23
Others	2,305		76		2,447		77
Total	$	3,036	100	%	$	3,176	100	%

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Held-to-Maturity Securities (Tables)

9 Months Ended

Sep. 30, 2019

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

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:

 

September 30, 2019
	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	$	32	$	—		$	32	$	—	$	—		$	32
MBS:
Other U.S. obligations – single-family:
Ginnie Mae	508		—			508		5		—			513
GSEs – single-family:
Freddie Mac	1,186		—			1,186		9		(2		)	1,193
Fannie Mae	2,033		—			2,033		23		(1		)	2,055
Subtotal GSEs – single-family	3,219		—			3,219		32		(3		)	3,248
GSEs – multifamily:
Freddie Mac	2,975		—			2,975		—		(10		)	2,965
Fannie Mae	1,378		—			1,378		—		(3		)	1,375
Subtotal GSEs – multifamily	4,353		—			4,353		—		(13		)	4,340
Subtotal GSEs	7,572		—			7,572		32		(16		)	7,588
PLRMBS:
Prime	298		—			298		1		(4		)	295
Alt-A	156		(2		)	154		6		(2		)	158
Subtotal PLRMBS	454		(2		)	452		7		(6		)	453
Total MBS	8,534		(2		)	8,532		44		(22		)	8,554
Total	$	8,566	$	(2	)	$	8,564	$	44	$	(22	)	$	8,586

 

December 31, 2018
	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	$	100	$	—		$	100	$	—	$	(3	)	$	97
MBS:
Other U.S. obligations – single-family:
Ginnie Mae	609		—			609		—		(6		)	603
GSEs – single-family:
Freddie Mac	1,506		—			1,506		6		(21		)	1,491
Fannie Mae	2,598		—			2,598		17		(16		)	2,599
Subtotal GSEs – single-family	4,104		—			4,104		23		(37		)	4,090
GSEs – multifamily:
Freddie Mac	3,944		—			3,944		—		(17		)	3,927
Fannie Mae	1,743		—			1,743		—		(1		)	1,742
Subtotal GSEs – multifamily	5,687		—			5,687		—		(18		)	5,669
Subtotal GSEs	9,791		—			9,791		23		(55		)	9,759
PLRMBS:
Prime	383		—			383		1		(6		)	378
Alt-A	209		(3		)	206		7		(3		)	210
Subtotal PLRMBS	592		(3		)	589		8		(9		)	588
Total MBS	10,992		(3		)	10,989		31		(70		)	10,950
Total	$	11,092	$	(3	)	$	11,089	$	31	$	(73	)	$	11,047

(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

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

Schedule of Unrealized Loss on Investments

The following tables summarize the HTM securities with unrealized losses as of September 30, 2019, and December 31, 2018. 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 tables will not agree to the total gross unrecognized holding losses in the tables above. The unrealized losses in the following tables also include non-credit-related OTTI losses recognized in AOCI. For OTTI analysis of HTM securities and for information on HTM securities in unrealized loss positions that are not considered to be other-than-temporarily impaired, see Note 6 – Other-Than-Temporary Impairment Analysis.

September 30, 2019
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
MBS – Other U.S. obligations – single-family:
Ginnie Mae	$	30	$	—	$	20	$	—	$	50	$	—
MBS – GSEs – single-family:
Freddie Mac	132		—		440		2		572		2
Fannie Mae	69		—		314		1		383		1
Subtotal MBS – GSEs – single-family	201		—		754		3		955		3
MBS – GSEs – multifamily:
Freddie Mac	1,499		4		1,348		6		2,847		10
Fannie Mae	715		1		661		2		1,376		3
Subtotal MBS – GSEs – multifamily	2,214		5		2,009		8		4,223		13
Subtotal MBS – GSEs	2,415		5		2,763		11		5,178		16
PLRMBS:
Prime	64		—		115		4		179		4
Alt-A	70		1		72		3		142		4
Subtotal PLRMBS	134		1		187		7		321		8
Total	$	2,579	$	6	$	2,970	$	18	$	5,549	$	24

December 31, 2018
	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	$	—	$	—	$	80	$	3	$	80	$	3
MBS:
Other U.S. obligations – single-family:
Ginnie Mae	33		—		529		6		562		6
GSEs – single-family:
Freddie Mac	79		—		1,085		21		1,164		21
Fannie Mae	923		3		693		13		1,616		16
Subtotal GSEs – single-family	1,002		3		1,778		34		2,780		37
GSEs – multifamily:
Freddie Mac	3,826		16		67		1		3,893		17
Fannie Mae	757		1		360		—		1,117		1
Subtotal GSEs – multifamily	4,583		17		427		1		5,010		18
Subtotal GSEs	5,585		20		2,205		35		7,790		55
PLRMBS:
Prime	153		1		128		5		281		6
Alt-A	84		—		119		6		203		6
Subtotal PLRMBS	237		1		247		11		484		12
Total MBS	5,855		21		2,981		52		8,836		73
Total	$	5,855	$	21	$	3,061	$	55	$	8,916	$	76

Investments Classified by Contractual Maturity Date

The amortized cost, carrying value, and estimated fair value of non-MBS investments by contractual maturity (based on contractual final principal payment) and of MBS as of September 30, 2019, and December 31, 2018, are shown below. Expected maturities of MBS will differ from contractual maturities because

borrowers may have the right to call or prepay the underlying obligations with or without call or prepayment fees.

September 30, 2019
Year of Contractual Maturity	Amortized Cost(1)		Carrying Value(1)		Estimated Fair Value
HTM securities other than MBS:
Due after 10 years	$	32	$	32	$	32
Subtotal	32		32		32
MBS	8,534		8,532		8,554
Total	$	8,566	$	8,564	$	8,586

December 31, 2018
Year of Contractual Maturity	Amortized Cost(1)		Carrying Value(1)		Estimated Fair Value
HTM securities other than MBS:
Due after 10 years	$	100	$	100	$	97
Subtotal	100		100		97
MBS	10,992		10,989		10,950
Total	$	11,092	$	11,089	$	11,047

(1)

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

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Recently Issued and Adopted Accounting Guidance

9 Months Ended

Sep. 30, 2019

New Accounting Pronouncements and Changes in Accounting Principles [Abstract]

Recently Issued and Adopted Accounting Guidance

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.

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 this guidance early. Based on the Bank’s assessments, this guidance is expected to have no effect on advances or U.S. obligations and Government-Sponsored Enterprises (GSEs) investments. The adoption of this guidance is expected to have an immaterial effect on the remaining investment portfolio given the specific terms, issuer guarantees, and collateralized/securitized nature of these instruments and on mortgage loans. 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.
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.

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.

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Allowance for Credit Losses (Tables)

9 Months Ended

Sep. 30, 2019

Loans and Leases Receivable Disclosure [Abstract]

Past Due Financing Receivables

The following table presents information on delinquent mortgage loans as of September 30, 2019, and December 31, 2018.

	September 30, 2019			December 31, 2018
	Recorded Investment(1)			Recorded Investment(1)
30 – 59 days delinquent	$	13		$	15
60 – 89 days delinquent	2			2
90 days or more delinquent	6			9
Total past due	21			26
Total current loans	3,381			3,058
Total mortgage loans	$	3,402		$	3,084
In process of foreclosure, included above(2)	$	2		$	3
Nonaccrual loans	$	6		$	9
Serious delinquencies as a percentage of total mortgage loans outstanding(3)	0.19		%	0.31		%

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

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

(3)

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

Schedule of Allowance for Credit Losses and Recorded Investment by Impairment Methodology

The recorded investment by impairment methodology for individually and collectively evaluated impaired loans is as follows:

	September 30, 2019		December 31, 2018
Recorded investment, end of the period:
Individually evaluated for impairment	$	5	$	7
Collectively evaluated for impairment	3,397		3,077
Total recorded investment	$	3,402	$	3,084

Schedule of Recorded Investment, Unpaid Principal Balance and Related Allowance of Impaired Loans

The recorded investment and unpaid principal balance of impaired loans individually evaluated for impairment totaled $5 and $5, respectively, at September 30, 2019. The recorded investment and unpaid principal balance of impaired loans individually evaluated for impairment totaled $7 and $7, respectively, at December 31, 2018.

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Statements of Comprehensive Income - USD ($) $ in Millions	3 Months Ended		9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018
Statement of Comprehensive Income [Abstract]
Net Income/(Loss)	$ 61	$ 102	$ 214	$ 287
Unrealized gain/(loss) on AFS securities	(17)	1	30	1
Other Comprehensive Income/(Loss):
Net change in pension and postretirement benefits	0	0	0	1
Net non-credit-related OTTI gain/(loss) on AFS securities:
Net change in fair value of other-than-temporarily impaired securities	(15)	5	1	25
Net amount of OTTI loss reclassified to/(from) other income/(loss)	(1)	0	0	(10)
Total net non-credit-related OTTI gain/(loss) on AFS securities	(16)	5	1	15
Net Noncredit Portion Of Other Than Temporary Impairment Losses on HTM Securities [Abstract]
Accretion of non-credit-related OTTI loss	0	1	1	2
Total net non-credit-related OTTI gain/(loss) on HTM securities	0	1	1	2
Total other comprehensive income/(loss)	(33)	7	32	19
Total Comprehensive Income/(Loss)	$ 28	$ 109	$ 246	$ 306

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Capital (Tables)

9 Months Ended

Sep. 30, 2019

Capital [Abstract]

Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations

As of September 30, 2019, and December 31, 2018, the Bank was in compliance with these capital rules and requirements as shown in the following table.

	September 30, 2019						December 31, 2018
	Required			Actual			Required			Actual
Risk-based capital	$	1,550		$	6,441		$	1,899		$	6,522
Total regulatory capital	$	4,166		$	6,441		$	4,373		$	6,522
Total regulatory capital ratio	4.00		%	6.18		%	4.00		%	5.97		%
Leverage capital	$	5,208		$	9,660		$	5,466		$	9,783
Leverage ratio	5.00		%	9.28		%	5.00		%	8.95		%

Schedule of Mandatorily Redeemable Capital Stock

The Bank had mandatorily redeemable capital stock totaling $138 outstanding to three institutions at September 30, 2019, and $227 outstanding to three institutions at December 31, 2018. The change in mandatorily redeemable capital stock for the three and nine months ended September 30, 2019 and 2018, was as follows:

	Three Months Ended						Nine Months Ended
	September 30, 2019			September 30, 2018			September 30, 2019			September 30, 2018
Balance at the beginning of the period	$	138		$	255		$	227		$	309
Reclassified from/(to) capital during the period	4			—			4			2
Repurchase of excess mandatorily redeemable capital stock	(4		)	(28		)	(93		)	(84		)
Balance at the end of the period	$	138		$	227		$	138		$	227

Schedule of Mandatorily Redeemable Capital Stock by Maturity Date

The following table presents mandatorily redeemable capital stock amounts by contractual redemption period at September 30, 2019, and December 31, 2018.

Contractual Redemption Period	September 30, 2019		December 31, 2018
Within 1 year	$	135	$	—
After 1 year through 2 years	—		224
Past contractual redemption date because of remaining activity(1)	3		3
Total	$	138	$	227

(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

XML

Document and Entity Information Document - shares	9 Months Ended
	Sep. 30, 2019	Oct. 31, 2019
Entity Information
Document Transition Report	false
Document Quarterly Report	true
Entity Incorporation, State or Country Code	X1
Entity Registrant Name	FEDERAL HOME LOAN BANK OF SAN FRANCISCO
Entity Central Index Key	0001316944
Document Type	10-Q
Entity File Number	000-51398
Document Period End Date	Sep. 30, 2019
Amendment Flag	false
Document Fiscal Year Focus	2019
Document Fiscal Period Focus	Q3
Current Fiscal Year End Date	--12-31
Entity Emerging Growth Company	false
Entity Small Business	false
Entity Current Reporting Status	Yes
Entity Filer Category	Non-accelerated Filer
No Trading Symbol Flag
Entity Common Stock, Shares Outstanding		30,990,794
Entity Tax Identification Number	94-6000630
Entity Address, Address Line One	333 Bush Street, Suite 2700
Entity Address, City or Town	San Francisco,
Entity Address, State or Province	CA
Entity Address, Postal Zip Code	94104
City Area Code	415
Local Phone Number	616-1000
Entity Interactive Data Current	Yes
Entity Shell Company	false

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Allowance for Credit Losses

9 Months Ended

Sep. 30, 2019

Loans and Leases Receivable Disclosure [Abstract]

Allowance for Credit Losses

Allowance for Credit Losses

The Bank has established an allowance methodology for each of its portfolio segments: advances, letters of credit, and other extensions of credit, collectively referred to as “credit products,” mortgage loans held for portfolio, term securities purchased under agreements to resell, and term Federal funds sold. For more information on these portfolio segments, see “Item 8. Financial Statements and Supplementary Data – Note 10 – Allowance for Credit Losses” in the Bank’s 2018 Form 10-K.

Credit Products. The Bank manages its credit exposure related to credit products through an integrated approach that generally provides for a credit limit to be established for each borrower, includes an ongoing review of each borrower’s financial condition, and is coupled with conservative collateral and lending policies to limit the risk of loss while taking into account borrowers’ needs for a reliable funding source. At September 30, 2019, and December 31, 2018, none of the Bank’s credit products were past due, on nonaccrual status, or considered impaired. There were no troubled debt restructurings related to credit products during the nine months ended September 30, 2019, or during 2018.

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 September 30, 2019, 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.

Mortgage Loans Held for Portfolio. The following table presents information on delinquent mortgage loans as of September 30, 2019, and December 31, 2018.

	September 30, 2019			December 31, 2018
	Recorded Investment(1)			Recorded Investment(1)
30 – 59 days delinquent	$	13		$	15
60 – 89 days delinquent	2			2
90 days or more delinquent	6			9
Total past due	21			26
Total current loans	3,381			3,058
Total mortgage loans	$	3,402		$	3,084
In process of foreclosure, included above(2)	$	2		$	3
Nonaccrual loans	$	6		$	9
Serious delinquencies as a percentage of total mortgage loans outstanding(3)	0.19		%	0.31		%

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

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

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

The amounts of charge-offs and recoveries of allowance for credit losses on the mortgage loan portfolio were de minimis during the three and nine months ended September 30, 2019 and 2018.

The recorded investment by impairment methodology for individually and collectively evaluated impaired loans is as follows:

	September 30, 2019		December 31, 2018
Recorded investment, end of the period:
Individually evaluated for impairment	$	5	$	7
Collectively evaluated for impairment	3,397		3,077
Total recorded investment	$	3,402	$	3,084

The allowance for credit losses for loans collectively evaluated for impairment totaled de minimis amounts as of September 30, 2019, and December 31, 2018. The Bank had no allowance for credit losses for loans individually evaluated for impairment as of September 30, 2019, and December 31, 2018.

The recorded investment and unpaid principal balance of impaired loans individually evaluated for impairment totaled $5 and $5, respectively, at September 30, 2019. The recorded investment and unpaid principal balance of impaired loans individually evaluated for impairment totaled $7 and $7, respectively, at December 31, 2018.

The Federal Housing Finance Agency’s (Finance Agency) acquired member asset (AMA) regulation permits the Bank to purchase and hold specified mortgage loans from its members. 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. The Bank purchased loans under the MPF Program that were credit enhanced to an AMA investment-grade level at the time of purchase, where the Bank has a high degree of confidence that it will be paid principal and interest in all material respects, even under reasonably likely adverse changes to expected economic conditions.

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

to delaying the original contractual principal and interest due dates, if applicable. The recorded investment of the Bank’s nonperforming MPF loans classified as TDRs totaled $2 as of September 30, 2019, and $2 as of December 31, 2018.

For more information related to the Bank’s accounting policies for collateral-dependent loans, see “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2018 Form 10-K. For more information related to the Bank’s allowance for credit losses methodology on MPF loans and credit risk of MPF loans, see “Item 8. Financial Statements and Supplementary Data – Note 10 – Allowance for Credit Losses” in the Bank’s 2018 Form 10-K.

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 September 30, 2019, and December 31, 2018, were repaid or are expected to be repaid according to the contractual terms.

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Held-to-Maturity Securities

9 Months Ended

Sep. 30, 2019

Debt Securities, Held-to-maturity [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:

 

September 30, 2019
	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	$	32	$	—		$	32	$	—	$	—		$	32
MBS:
Other U.S. obligations – single-family:
Ginnie Mae	508		—			508		5		—			513
GSEs – single-family:
Freddie Mac	1,186		—			1,186		9		(2		)	1,193
Fannie Mae	2,033		—			2,033		23		(1		)	2,055
Subtotal GSEs – single-family	3,219		—			3,219		32		(3		)	3,248
GSEs – multifamily:
Freddie Mac	2,975		—			2,975		—		(10		)	2,965
Fannie Mae	1,378		—			1,378		—		(3		)	1,375
Subtotal GSEs – multifamily	4,353		—			4,353		—		(13		)	4,340
Subtotal GSEs	7,572		—			7,572		32		(16		)	7,588
PLRMBS:
Prime	298		—			298		1		(4		)	295
Alt-A	156		(2		)	154		6		(2		)	158
Subtotal PLRMBS	454		(2		)	452		7		(6		)	453
Total MBS	8,534		(2		)	8,532		44		(22		)	8,554
Total	$	8,566	$	(2	)	$	8,564	$	44	$	(22	)	$	8,586

 

December 31, 2018
	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	$	100	$	—		$	100	$	—	$	(3	)	$	97
MBS:
Other U.S. obligations – single-family:
Ginnie Mae	609		—			609		—		(6		)	603
GSEs – single-family:
Freddie Mac	1,506		—			1,506		6		(21		)	1,491
Fannie Mae	2,598		—			2,598		17		(16		)	2,599
Subtotal GSEs – single-family	4,104		—			4,104		23		(37		)	4,090
GSEs – multifamily:
Freddie Mac	3,944		—			3,944		—		(17		)	3,927
Fannie Mae	1,743		—			1,743		—		(1		)	1,742
Subtotal GSEs – multifamily	5,687		—			5,687		—		(18		)	5,669
Subtotal GSEs	9,791		—			9,791		23		(55		)	9,759
PLRMBS:
Prime	383		—			383		1		(6		)	378
Alt-A	209		(3		)	206		7		(3		)	210
Subtotal PLRMBS	592		(3		)	589		8		(9		)	588
Total MBS	10,992		(3		)	10,989		31		(70		)	10,950
Total	$	11,092	$	(3	)	$	11,089	$	31	$	(73	)	$	11,047

(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 September 30, 2019, the amortized cost of the Bank’s MBS classified as HTM included premiums of $9, discounts of $13, and credit-related OTTI of $7. At December 31, 2018, the amortized cost of the Bank’s MBS classified as HTM included premiums of $14, discounts of $19, and credit-related OTTI of $7.

The following tables summarize the HTM securities with unrealized losses as of September 30, 2019, and December 31, 2018. 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 tables will not agree to the total gross unrecognized holding losses in the tables above. The unrealized losses in the following tables also include non-credit-related OTTI losses recognized in AOCI. For OTTI analysis of HTM securities and for information on HTM securities in unrealized loss positions that are not considered to be other-than-temporarily impaired, see Note 6 – Other-Than-Temporary Impairment Analysis.

September 30, 2019
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
MBS – Other U.S. obligations – single-family:
Ginnie Mae	$	30	$	—	$	20	$	—	$	50	$	—
MBS – GSEs – single-family:
Freddie Mac	132		—		440		2		572		2
Fannie Mae	69		—		314		1		383		1
Subtotal MBS – GSEs – single-family	201		—		754		3		955		3
MBS – GSEs – multifamily:
Freddie Mac	1,499		4		1,348		6		2,847		10
Fannie Mae	715		1		661		2		1,376		3
Subtotal MBS – GSEs – multifamily	2,214		5		2,009		8		4,223		13
Subtotal MBS – GSEs	2,415		5		2,763		11		5,178		16
PLRMBS:
Prime	64		—		115		4		179		4
Alt-A	70		1		72		3		142		4
Subtotal PLRMBS	134		1		187		7		321		8
Total	$	2,579	$	6	$	2,970	$	18	$	5,549	$	24

December 31, 2018
	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	$	—	$	—	$	80	$	3	$	80	$	3
MBS:
Other U.S. obligations – single-family:
Ginnie Mae	33		—		529		6		562		6
GSEs – single-family:
Freddie Mac	79		—		1,085		21		1,164		21
Fannie Mae	923		3		693		13		1,616		16
Subtotal GSEs – single-family	1,002		3		1,778		34		2,780		37
GSEs – multifamily:
Freddie Mac	3,826		16		67		1		3,893		17
Fannie Mae	757		1		360		—		1,117		1
Subtotal GSEs – multifamily	4,583		17		427		1		5,010		18
Subtotal GSEs	5,585		20		2,205		35		7,790		55
PLRMBS:
Prime	153		1		128		5		281		6
Alt-A	84		—		119		6		203		6
Subtotal PLRMBS	237		1		247		11		484		12
Total MBS	5,855		21		2,981		52		8,836		73
Total	$	5,855	$	21	$	3,061	$	55	$	8,916	$	76

Redemption Terms. The amortized cost, carrying value, and estimated fair value of non-MBS investments by contractual maturity (based on contractual final principal payment) and of MBS as of September 30, 2019, and December 31, 2018, are shown below. Expected maturities of MBS will differ from contractual maturities because

borrowers may have the right to call or prepay the underlying obligations with or without call or prepayment fees.

September 30, 2019
Year of Contractual Maturity	Amortized Cost(1)		Carrying Value(1)		Estimated Fair Value
HTM securities other than MBS:
Due after 10 years	$	32	$	32	$	32
Subtotal	32		32		32
MBS	8,534		8,532		8,554
Total	$	8,566	$	8,564	$	8,586

December 31, 2018
Year of Contractual Maturity	Amortized Cost(1)		Carrying Value(1)		Estimated Fair Value
HTM securities other than MBS:
Due after 10 years	$	100	$	100	$	97
Subtotal	100		100		97
MBS	10,992		10,989		10,950
Total	$	11,092	$	11,089	$	11,047

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

See Note 6 – Other-Than-Temporary Impairment Analysis for information on the transfers of securities between the AFS portfolio and the HTM portfolio.

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Segment Information (Details) $ in Millions		3 Months Ended		9 Months Ended
		Sep. 30, 2019 USD ($)	Sep. 30, 2018 USD ($)	Sep. 30, 2019 USD ($) segment	Sep. 30, 2018 USD ($)	Dec. 31, 2018 USD ($)
Segment Reporting Information [Line Items]
Number of Operating Segments | segment				2
Adjusted Net Interest Income		$ 132	$ 153	$ 423	$ 458
Amortization of Basis Adjustments	[1]	20	0	54	(1)
Income/(Expense) on Economic Hedges	[2]	(3)	(5)	(8)	(12)
Interest Expense on Mandatorily Redeemable Capital Stock	[3]	3	5	11	16
Net Interest Income After Mortgage Loan Loss Provision		112	153	366	455
Other Income/ (Loss)		3	7	11	4
Other Expense		47	46	138	138
Income Before AHP Assessment		68	114	239	321
OTTI PLRMBS, Total accretion or amortization recognized in interest income		21	20	58	62
Net OTTI loss, credit-related		(2)	(3)	(8)	(9)
Assets		104,153		104,153		$ 109,326
Advances- Related Business
Segment Reporting Information [Line Items]
Adjusted Net Interest Income		72	82	237	239
Assets		82,143		82,143		88,272
Mortgage- Related Business
Segment Reporting Information [Line Items]
Adjusted Net Interest Income	[4]	60	$ 71	186	$ 219
Assets		$ 22,010		$ 22,010		$ 21,054

[1] Represents amortization of amounts deferred for adjusted net interest income purposes only

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

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

[4] The mortgage-related business includes total accretion or amortization associated with other-than-temporarily impaired PLRMBS, which are recognized in interest income, totaled $21 and $20 for the three months ended September 30, 2019 and 2018, respectively; and totaled $58 and $62 for the nine months ended September 30, 2019 and 2018, respectively. The mortgage-related business does not include credit-related OTTI losses of $2 and $3 for the three months ended September 30, 2019 and 2018, and $8 and $9 for the nine months ended September 30, 2019 and 2018, respectively.

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Consolidated Obligations (Consolidated Obligation Bonds by Earlier of Contractual Maturity or Next Call Date) (Details) - USD ($) $ in Millions	Sep. 30, 2019	Dec. 31, 2018
Debt Instrument [Line Items]
Total bonds, par value	$ 67,425	$ 72,336
Earlier of Contractual Maturity or Next Call Date [Member]
Debt Instrument [Line Items]
Within 1 year	53,335	65,878
After 1 year through 2 years	13,511	5,626
After 2 years through 3 years	326	616
After 3 years through 4 years	125	85
After 4 years through 5 years	77	70
After 5 years	$ 51	$ 61

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Capital (Capital Requirements) (Details) - USD ($) $ in Millions	Sep. 30, 2019	Dec. 31, 2018
Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items]
Risk-Based Capital, Required	$ 1,550	$ 1,899
Risk-Based Capital, Actual	6,441	6,522
Regulatory Capital, Required	4,166	4,373
Regulatory Capital, Actual	$ 6,441	$ 6,522
Regulatory Capital Ratio, Required	4.00%	4.00%
Regulatory Capital Ratio, Actual	6.18%	5.97%
Leverage Capital, Required	$ 5,208	$ 5,466
Leverage Capital, Actual	$ 9,660	$ 9,783
Leverage ratio - Required	5.00%	5.00%
Leverage Ratio, Actual	9.28%	8.95%
Multiplier for Determining Permanent Capital in Leverage Capital Calculation	1.5

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Derivatives and Hedging Activities Cumulative adjustments table (Details) $ in Millions	Sep. 30, 2019 USD ($)
Advances
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Hedged Asset, Fair Value Hedge	$ 27,428
Hedged Asset Active Fair Value Hedge Cumulative Increase Decrease	293
Available-for-sale Securities
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Hedged Asset, Fair Value Hedge	12,563
Hedged Asset Active Fair Value Hedge Cumulative Increase Decrease	642
Consolidated Obligations, Bonds [Member]
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Hedged Liability, Fair Value Hedge	(5,207)
Hedged Liability Active Fair Value Hedge Cumulative Increase Decrease	$ (13)

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Advances (Narrative) (Details) - USD ($) $ in Millions	9 Months Ended
	Sep. 30, 2019	Dec. 31, 2018	Sep. 30, 2018
Advances [Line Items]
Advances, Par Value	$ 62,439	$ 73,495	$ 69,614
Federal Home Loan Bank Advances with Full prepayment Symmetry Outstanding	11,926	3,405
Advances With Partial Prepayment Symmetry Outstanding	$ 3,799	$ 4,410
Minimum
Advances [Line Items]
Advances, Maturity Period, Fixed Rate	1 day
Advances, Maturity Period, Variable Rate	30 days
Advances, Interest Rate	1.15%	1.02%
Maximum
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
Advances [Line Items]
Advances, Par Value	$ 13,324	$ 13,255
Advances, Putable Option
Advances [Line Items]
Advances, Par Value	$ 20	$ 20

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Other-Than-Temporary Impairment Analysis (Significant Inputs for Other-Than-Temporarily Impaired PLRMBS) (Details) - Alt-A - Residential Mortgage Backed Securities	9 Months Ended
	Sep. 30, 2019	[1]
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items]
Prepayment Weighted Average	13.60%
Default Rate Weighted Average	20.20%
Loss Severity Weighted Average	41.80%
Credit Enhancements Weighted Average	1.90%

[1] Weighted average percentage is based on unpaid principal balance.

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Held-to-Maturity Securities (Classification of Held-to-Maturity Securities) (Details) - USD ($) $ in Millions		Sep. 30, 2019		Jun. 30, 2019	Dec. 31, 2018		Sep. 30, 2018	Jun. 30, 2018	Dec. 31, 2017
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	$ 8,566			$ 11,092
OTTI Recognized in AOCI	[1]	(2)			(3)
HTM securities, Carrying Value	[1],[2]	8,564			11,089
Gross Unrecognized Holding Gain		44			31
Gross Unrecognized Holding Loss		(22)			(73)
HTM Securities, Fair Value		8,586			11,047
Credit-related OTTI		1,034		$ 1,050	1,077		$ 1,091	$ 1,103	$ 1,129
California Housing Finance Agency (CalHFA) bonds
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	32			100
OTTI Recognized in AOCI	[1]	0			0
HTM securities, Carrying Value	[1]	32			100
Gross Unrecognized Holding Gain		0			0
Gross Unrecognized Holding Loss		0			(3)
HTM Securities, Fair Value		32			97
Ginnie Mae
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	508			609
OTTI Recognized in AOCI	[1]	0			0
HTM securities, Carrying Value		508	[3]		609	[1]
Gross Unrecognized Holding Gain		5			0
Gross Unrecognized Holding Loss		0			(6)
HTM Securities, Fair Value		513			603
MBS - GSEs
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	7,572			9,791
OTTI Recognized in AOCI	[1]	0			0
HTM securities, Carrying Value	[1]	7,572			9,791
Gross Unrecognized Holding Gain		32			23
Gross Unrecognized Holding Loss		(16)			(55)
HTM Securities, Fair Value		7,588			9,759
Total MBS
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	8,534			10,992
OTTI Recognized in AOCI	[1]	(2)			(3)
HTM securities, Carrying Value	[1]	8,532			10,989
Gross Unrecognized Holding Gain		44			31
Gross Unrecognized Holding Loss		(22)			(70)
HTM Securities, Fair Value		8,554			10,950
Held-to-maturity Securities, Premiums		9			14
Held-to-maturity Securities, Discounts		(13)			(19)
Total MBS | Held-to-maturity Securities
Schedule of Held-to-maturity Securities [Line Items]
Credit-related OTTI		7			7
GSEs – single-family: | MBS - GSEs
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	3,219			4,104
OTTI Recognized in AOCI	[1]	0			0
HTM securities, Carrying Value	[1]	3,219			4,104
Gross Unrecognized Holding Gain		32			23
Gross Unrecognized Holding Loss		(3)			(37)
HTM Securities, Fair Value		3,248			4,090
GSEs – multifamily: | MBS - GSEs
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	4,353			5,687
OTTI Recognized in AOCI	[1]	0			0
HTM securities, Carrying Value	[1]	4,353			5,687
Gross Unrecognized Holding Gain		0			0
Gross Unrecognized Holding Loss		(13)			(18)
HTM Securities, Fair Value		4,340			5,669
Freddie Mac | GSEs – single-family: | MBS - GSEs
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	1,186			1,506
OTTI Recognized in AOCI	[1]	0			0
HTM securities, Carrying Value	[1]	1,186			1,506
Gross Unrecognized Holding Gain		9			6
Gross Unrecognized Holding Loss		(2)			(21)
HTM Securities, Fair Value		1,193			1,491
Freddie Mac | GSEs – multifamily: | MBS - GSEs
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	2,975			3,944
OTTI Recognized in AOCI	[1]	0			0
HTM securities, Carrying Value		2,975	[1]		3,944
Gross Unrecognized Holding Gain		0			0
Gross Unrecognized Holding Loss		(10)			(17)
HTM Securities, Fair Value		2,965			3,927
Fannie Mae | GSEs – single-family: | MBS - GSEs
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	2,033			2,598
OTTI Recognized in AOCI	[1]	0			0
HTM securities, Carrying Value	[1]	2,033			2,598
Gross Unrecognized Holding Gain		23			17
Gross Unrecognized Holding Loss		(1)			(16)
HTM Securities, Fair Value		2,055			2,599
Fannie Mae | GSEs – multifamily: | MBS - GSEs
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	1,378			1,743
OTTI Recognized in AOCI	[1]	0			0
HTM securities, Carrying Value		1,378	[1]		1,743
Gross Unrecognized Holding Gain		0			0
Gross Unrecognized Holding Loss		(3)			(1)
HTM Securities, Fair Value		1,375			1,742
Residential Mortgage Backed Securities | PLRMBS
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	454			592
OTTI Recognized in AOCI	[1]	(2)			(3)
HTM securities, Carrying Value	[1]	452			589
Gross Unrecognized Holding Gain		7			8
Gross Unrecognized Holding Loss		(6)			(9)
HTM Securities, Fair Value		453			588
Residential Mortgage Backed Securities | Prime | PLRMBS
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[1]	298			383
OTTI Recognized in AOCI	[1]	0			0
HTM securities, Carrying Value	[1]	298			383
Gross Unrecognized Holding Gain		1			1
Gross Unrecognized Holding Loss		(4)			(6)
HTM Securities, Fair Value		295			378
Residential Mortgage Backed Securities | Alt-A [Member] | PLRMBS
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost		156			209	[1]
OTTI Recognized in AOCI		(2)			(3)	[1]
HTM securities, Carrying Value		154			206	[1]
Gross Unrecognized Holding Gain		6			7
Gross Unrecognized Holding Loss		(2)			(3)
HTM Securities, Fair Value		$ 158			$ 210

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

[2] At September 30, 2019, and December 31, 2018, none of these securities were pledged as collateral that may be repledged.

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

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Statements of Income - USD ($) $ in Millions		3 Months Ended		9 Months Ended
		Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018
Interest Income:
Advances		$ 389	$ 389	$ 1,343	$ 1,138
Interest-bearing deposits		14	12	40	22
Securities purchased under agreements to resell		45	31	144	63
Federal funds sold		22	34	99	127
Trading securities		1	4	8	12
AFS securities		100	59	261	172
HTM securities		65	85	219	253
Mortgage loans held for portfolio		18	26	55	70
Total Interest Income		654	640	2,169	1,857
Interest Expense:
Bonds		409	364	1,306	1,010
Discount notes		128	117	480	373
Deposits		2	1	6	3
Mandatorily redeemable capital stock	[1]	3	5	11	16
Total Interest Expense		542	487	1,803	1,402
Net Interest Income		112	153	366	455
Provision for/(reversal of) credit losses on mortgage loans		0	0	0	0
Net Interest Income After Mortgage Loan Loss Provision		112	153	366	455
Other Income/(Loss):
Total other-than-temporary impairment (OTTI) loss		(3)	(3)	(8)	(19)
Net amount of OTTI loss reclassified to/(from) AOCI		1	0	0	10
Net OTTI loss, credit-related		(2)	(3)	(8)	(9)
Net gain/(loss) on trading securities		0	(1)	(1)	(2)
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds from changes in fair value recognized in earnings		20	(12)	111	(65)
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net		(20)	18	(109)	66
Other		5	5	18	14
Total Other Income/(Loss)		3	7	11	4
Other Expense:
Compensation and benefits		20	19	61	59
Other operating expense		17	16	50	46
Federal Housing Finance Agency		2	1	5	4
Office of Finance		2	1	5	4
Quality Jobs Fund expense		5	5	15	20
Other, net		1	4	2	5
Total Other Expense		47	46	138	138
Income/(Loss) Before Assessment		68	114	239	321
AHP Assessment		7	12	25	34
Net Income/(Loss)		$ 61	$ 102	$ 214	$ 287

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

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Accumulated Other Comprehensive Income (Loss) (Tables)

9 Months Ended

Sep. 30, 2019

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

Schedule of Accumulated Other Comprehensive Income (Loss)

The following table summarizes the changes in AOCI for the nine months ended September 30, 2019 and 2018:

	Net Unrealized Gain/(Loss) on AFS Securities			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, 2017	$	—		$	337		$	(6	)	$	(13	)	$	318
Other comprehensive income/(loss) before reclassifications:
Net change in pension and postretirement benefits										1			1
Non-credit-related OTTI loss				(11		)	—						(11		)
Net change in fair value	1			25									26
Accretion of non-credit-related OTTI loss							2						2
Reclassification from other comprehensive income/(loss) to net income/(loss):
Non-credit-related OTTI to credit-related OTTI				1			—						1
Net current period other comprehensive income/(loss)	1			15			2			1			19
Balance, September 30, 2018	$	1		$	352		$	(4	)	$	(12	)	$	337
Balance, December 31, 2018	$	(32	)	$	287		$	(3	)	$	(17	)	$	235
Other comprehensive income/(loss) before reclassifications:
Non-credit-related OTTI loss				(3		)	—						(3		)
Net change in fair value	30			1									31
Accretion of non-credit-related OTTI loss							1						1
Reclassification from other comprehensive income/(loss) to net income/(loss):
Non-credit-related OTTI to credit-related OTTI				3			—						3
Net current period other comprehensive income/(loss)	30			1			1			—			32
Balance, September 30, 2019	$	(2	)	$	288		$	(2	)	$	(17	)	$	267

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Available-for-Sale Securities (Tables)

9 Months Ended

Sep. 30, 2019

Debt Securities, Available-for-sale [Line Items]

Available-for-sale Securities

AFS securities by major security type as of September 30, 2019, and December 31, 2018, were as follows:

September 30, 2019
	Amortized Cost(1)		OTTI Recognized in AOCI			Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value
U.S. obligations – Treasury securities	$	5,290	$	—		$	—	$	(3	)	$	5,287
MBS:
GSEs – multifamily:
Freddie Mac	797		—			3		—			800
Fannie Mae	6,476		—			13		(15		)	6,474
Subtotal – GSEs – multifamily	7,273		—			16		(15		)	7,274
PLRMBS:
Prime	232		—			20		—			252
Alt-A	2,235		(10		)	279		(1		)	2,503
Subtotal PLRMBS	2,467		(10		)	299		(1		)	2,755
Total MBS	9,740		(10		)	315		(16		)	10,029
Total	$	15,030	$	(10	)	$	315	$	(19	)	$	15,316

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		—			21		—			288
Alt-A	2,603		(20		)	288		(2		)	2,869
Subtotal PLRMBS	2,870		(20		)	309		(2		)	3,157
Total	$	6,676	$	(20	)	$	309	$	(34	)	$	6,931

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

Available-for-sale Securities

Debt Securities, Available-for-sale [Line Items]

Schedule of Unrealized Loss on Investments

The following tables summarize the AFS securities with unrealized losses as of September 30, 2019, and December 31, 2018. 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 and for information on AFS securities in unrealized loss positions that are not considered to be other-than-temporarily impaired, see Note 6 – Other-Than-Temporary Impairment Analysis.

September 30, 2019
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
U.S. obligations – Treasury securities	$	4,685	$	3	$	—	$	—	$	4,685	$	3
MBS:
GSEs – multifamily:
Freddie Mac	246		—		—		—		246		—
Fannie Mae	2,619		11		628		4		3,247		15
Subtotal MBS – GSEs – multifamily	2,865		11		628		4		3,493		15
PLRMBS:
Prime	—		—		8		—		8		—
Alt-A	86		3		148		8		234		11
Subtotal PLRMBS	86		3		156		8		242		11
Subtotal MBS	2,951		14		784		12		3,735		26
Total	$	7,636	$	17	$	784	$	12	$	8,420	$	29

December 31, 2018
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
MBS – GSEs – multifamily:
Freddie Mac	$	382	$	2	$	—	$	—	$	382	$	2
Fannie Mae	3,211		30		—		—		3,211		30
Subtotal MBS – GSEs – multifamily	3,593		32		—		—		3,593		32
PLRMBS:
Prime	6		—		8		—		14		—
Alt-A	204		3		343		19		547		22
Subtotal PLRMBS	210		3		351		19		561		22
Total	$	3,803	$	35	$	351	$	19	$	4,154	$	54

Investments Classified by Contractual Maturity Date [Table Text Block]

The amortized cost and estimated fair value of non-MBS investments by contractual maturity (based on contractual final principal payment) and of MBS as of September 30, 2019, are shown below. There were no non-MBS investments as of December 31, 2018. Expected maturities of MBS will differ from contractual maturities because borrowers may have the right to call or prepay the underlying obligations with or without call or prepayment fees.

September 30, 2019
Year of Contractual Maturity	Amortized Cost(1)		Estimated Fair Value
AFS securities other than MBS:
Due in 1 year or less	$	1,510	$	1,509
Due after 1 year through 5 years	3,780		3,778
Subtotal	5,290		5,287
MBS	9,740		10,029
Total	$	15,030	$	15,316

(1)

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

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Statements of Cash Flows - USD ($) $ in Millions	9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018
Net Cash Provided by (Used in) Operating Activities
Net Income/(Loss)	$ 214	$ 287
Adjustments to reconcile net income/(loss) to net cash provided by/(used in) operating activities:
Depreciation and amortization	(37)	(52)
Change in net fair value of Trading Securities	1	2
Change in net fair value adjustment on advances and consolidated obligation bonds held under the fair value option	(111)	65
Change in net derivatives and hedging activities	(422)	142
Net OTTI loss, credit-related	8	9
Other Adjustments	11	0
Net change in:
Accrued interest receivable	1	(56)
Other assets	(13)	0
Accrued interest payable	16	28
Other liabilities	(20)	(22)
Total adjustments	(566)	116
Net cash provided by/(used in) operating activities	(352)	403
Net Cash Provided by (Used in) Investing Activities
Interest-bearing deposits	223	(1,108)
Securities purchased under agreements to resell	(400)	5,450
Federal funds sold	(26)	6,820
Trading securities:
Proceeds	656	500
AFS securities:
Proceeds	457	564
Purchases	(8,126)	(1,542)
HTM securities:
Proceeds	2,530	3,648
Purchases	0	(1,179)
Advances:
Repaid	988,903	1,309,095
Originated	(977,846)	(1,301,222)
Mortgage loans held for portfolio:
Principal collected	556	205
Purchases	(910)	(1,014)
Other Investing Activities	(36)	0
Net cash provided by/(used in) investing activities	5,981	20,217
Net Cash Provided by (Used in) Financing Activities
Net change in deposits and other financing activities	375	(30)
Net change in borrowings from other FHLBanks	(250)	0
Proceeds from derivative contracts with financing elements	70	0
Net proceeds from issuance of consolidated obligations:
Bonds	57,223	53,346
Discount notes	107,298	108,204
Payments for matured and retired consolidated obligations:
Bonds	(62,141)	(66,940)
Discount notes	(107,841)	(114,612)
Proceeds from issuance of capital stock	837	980
Payments for repurchase/redemption of mandatorily redeemable capital stock	(93)	(84)
Payments for repurchase of capital stock	(884)	(1,338)
Cash dividends paid	(155)	(162)
Net cash provided by/(used in) financing activities	(5,561)	(20,636)
Net increase/(decrease) in cash and due from banks	68	(16)
Cash and due from banks beginning of period	13	31
Cash and due from banks end of period	81	15
Supplemental Disclosures:
Interest paid	1,807	1,386
AHP payments	51	50
Supplemental Disclosures of Noncash Investing and Financing Activities:
Transfers of mortgage loans to other assets	0	1
Transfers of other-than-temporarily impaired HTM securities to AFS securities	0	12
Transfers of capital stock to mandatorily redeemable capital stock	$ 4	$ 2

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Mortgage Loans Held for Portfolio (Tables)

9 Months Ended

Sep. 30, 2019

Receivables [Abstract]

Schedule of Participating Mortgage Loans

The following table presents information as of September 30, 2019, and December 31, 2018, on mortgage loans, all of which are secured by one- to four-unit residential properties and single-unit second homes.

	September 30, 2019			December 31, 2018
Fixed rate medium-term mortgage loans	$	22		$	16
Fixed rate long-term mortgage loans	3,280			2,951
Subtotal	3,302			2,967
Unamortized premiums	83			104
Unamortized discounts	(3		)	(5		)
Mortgage loans held for portfolio	3,382			3,066
Less: Allowance for credit losses	—			—
Total mortgage loans held for portfolio, net	$	3,382		$	3,066

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Deposits

9 Months Ended

Sep. 30, 2019

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 classified as demand, overnight, and other pay interest based on a daily interest rate. Term deposits pay interest based on a fixed rate determined at the issuance of the deposit.

Deposits and interest rate payment terms for deposits as of September 30, 2019, and December 31, 2018, were as follows:

	September 30, 2019				December 31, 2018
	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding		Weighted Average Interest Rate
Interest-bearing deposits – Adjustable rate	$	509	1.55	%	$	240	2.10	%
Non-interest-bearing deposits	143				22
Total	$	652			$	262

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Other-Than-Temporary Impairment Analysis

9 Months Ended

Sep. 30, 2019

Other than Temporary Impairment Losses, Investments [Abstract]

Other-than-Temporary Impairment Analysis

Other-Than-Temporary Impairment Analysis

On a quarterly basis, the Bank evaluates its individual AFS and HTM investment securities in an unrealized loss position for OTTI. As part of this evaluation, the Bank considers whether it intends to sell each debt security and whether it is more likely than not that it will be required to sell the debt security before its anticipated recovery of the amortized cost basis. If either of these conditions is met, the Bank recognizes an OTTI charge to earnings equal to the entire difference between the security’s amortized cost basis and its fair value at the statement of condition date. For securities in an unrealized loss position that do not meet either of these conditions, the Bank considers whether it expects to recover the entire amortized cost basis of the security by comparing its best estimate of the present value of the cash flows expected to be collected from the security with the amortized cost basis of the security. If the Bank’s best estimate of the present value of the cash flows expected to be collected is less than the amortized cost basis, the difference is considered the credit loss.

Private-Label Residential Mortgage-Backed Securities (PLRMBS). A significant input to the Bank’s cash flow analysis of its PLRMBS is the forecast of future housing price changes. The OTTI Governance Committee of the Federal Home Loan Banks (FHLBanks) developed a short-term housing price forecast with projected changes ranging from a decrease of 6.0% to an increase of 10.0% over the 12-month period beginning July 1, 2019. For the vast majority of markets, the projected short-term housing price changes range from an increase of 2.0% to an increase of 6.0%. Thereafter, a unique path is projected for each geographic area based on an internally developed framework derived from historical data.

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

For securities determined to be other-than-temporarily impaired as of September 30, 2019 (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 third quarter of 2019, and the related current credit enhancement for the Bank.

September 30, 2019
	Significant Inputs for Other-Than-Temporarily Impaired PLRMBS			Current
	Prepayment Rates	Default Rates	Loss Severities	Credit Enhancement
Collateral Type at Origination	Weighted Average % (1)	Weighted Average % (1)	Weighted Average % (1)	Weighted Average % (1)
Alt-A	13.6	20.2	41.8	1.9

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

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

The following table presents the credit-related OTTI, which is recognized in earnings, for the three and nine months ended September 30, 2019 and 2018.

	Three Months Ended September 30,						Nine Months Ended September 30,
	2019			2018			2019			2018
Balance, beginning of the period	$	1,050		$	1,103		$	1,077		$	1,129
Additional charges on securities for which OTTI was previously recognized(1)	2			3			8			9
Securities matured during the period(2)	(3		)	—			(5		)	—
Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities(3)	(15		)	(15		)	(46		)	(47		)
Balance, end of the period	$	1,034		$	1,091		$	1,034		$	1,091

(1) For the three months ended September 30, 2019 and 2018, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to July 1, 2019 and 2018, respectively. For the nine months ended September 30, 2019 and 2018, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2019 and 2018, respectively.

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

(3) The total accretion or amortization associated with other-than-temporarily impaired PLRMBS (amount recognized in interest income) totaled $21 and $20 for the three months ended September 30, 2019 and 2018, respectively. The total net accretion/(amortization) associated with other-than-temporarily impaired PLRMBS (amount recognized in interest income) totaled $58 and $62 for the nine months ended September 30, 2019 and 2018, respectively.

In general, the Bank elects 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 three and nine months ended September 30, 2018. 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 three and nine months ended September 30, 2019.

	Three Months Ended September 30, 2018								Nine Months Ended September 30, 2018
	Amortized Cost		OTTI Recognized in AOCI		Gross Unrecognized Holding Gains (Losses)		Estimated Fair Value		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:
Alt-A	$	—	$	—	$	—	$	—	$	12	$	—	$	—	$	12
Total	$	—	$	—	$	—	$	—	$	12	$	—	$	—	$	12

The following tables present the Bank’s AFS and HTM PLRMBS that incurred OTTI losses anytime during the life of the securities at September 30, 2019, and December 31, 2018, by loan collateral type:

September 30, 2019
	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	$	281	$	232	$	252	$	—	$	—	$	—	$	—
Alt-A	2,776		2,235		2,503		42		38		35		42
Total	$	3,057	$	2,467	$	2,755	$	42	$	38	$	35	$	42

December 31, 2018
	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	$	323	$	267	$	288	$	—	$	—	$	—	$	—
Alt-A	3,225		2,603		2,869		52		47		44		51
Total	$	3,548	$	2,870	$	3,157	$	52	$	47	$	44	$	51

For the Bank’s PLRMBS that were not other-than-temporarily impaired as of September 30, 2019, the Bank has experienced net unrealized losses primarily because of illiquidity in the PLRMBS market and market expectations of the credit performance of loan collateral underlying these securities, which caused these assets to be valued at discounts to their amortized cost. The Bank does not intend to sell these securities, it is not more likely than not that the Bank will be required to sell these securities before its anticipated recovery of the remaining amortized cost basis, and the Bank expects to recover the entire amortized cost basis of these securities. As a result, the Bank determined that, as of September 30, 2019, 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 September 30, 2019, 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 and U.S. Treasury obligations, the Bank expects to recover the entire amortized cost basis of these securities because the Bank determined that the strength of the issuers’ guarantees through direct obligations or support from the U.S. government is sufficient to protect the Bank from losses. As a result, the Bank determined that, as of September 30, 2019, all of the gross unrealized losses on its agency MBS and U.S. Treasury obligations are temporary.

For more information related to the Bank’s accounting policies for OTTI, see “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2018 Form 10-K.

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Capital (Concentration) (Details) - USD ($) $ in Millions	9 Months Ended	12 Months Ended
	Sep. 30, 2019	Dec. 31, 2018
Concentration Risk [Line Items]
Capital Stock Outstanding	$ 3,036	$ 3,176
Total Capital Stock, 10% or more
Concentration Risk [Line Items]
Percentage of Total Capital Stock Outstanding	100.00%	100.00%
Certain Members And Certain Nonmembers [Member]
Concentration Risk [Line Items]
Capital Stock Outstanding	$ 731	$ 729
Percentage of Total Capital Stock Outstanding	24.00%	23.00%
Other Borrowers
Concentration Risk [Line Items]
Capital Stock Outstanding	$ 2,305	$ 2,447
Percentage of Total Capital Stock Outstanding	76.00%	77.00%
MUFG Union Bank, NA [Member]
Concentration Risk [Line Items]
Capital Stock Outstanding	$ 402	$ 456
MUFG Union Bank, NA [Member] | Total Capital Stock, 10% or more
Concentration Risk [Line Items]
Percentage of Total Capital Stock Outstanding	13.00%	14.00%
First Republic Bank [Member]
Concentration Risk [Line Items]
Capital Stock Outstanding	$ 329	$ 273
First Republic Bank [Member] | Total Capital Stock, 10% or more
Concentration Risk [Line Items]
Percentage of Total Capital Stock Outstanding	11.00%	9.00%

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Consolidated Obligations (Consolidated Obligation Bonds Noncallable and Callable) (Details) - USD ($) $ in Millions	Sep. 30, 2019	Dec. 31, 2018
Debt Instrument [Line Items]
Total bonds, par value	$ 67,425	$ 72,336
Derivatives, Notional Amount	96,087	101,477
Non-callable
Debt Instrument [Line Items]
Total bonds, par value	58,741	61,051
Callable
Debt Instrument [Line Items]
Total bonds, par value	8,684	11,285
Consolidated obligation bonds | Callable
Debt Instrument [Line Items]
Derivatives, Notional Amount	$ 4,495	$ 7,660

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Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Millions	3 Months Ended		9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018	Jun. 30, 2019	Dec. 31, 2018	Jun. 30, 2018	Dec. 31, 2017
Accumulated Other Comprehensive Income (Loss) [Line Items]
Stockholders' Equity Attributable to Parent	$ 6,570	$ 6,590	$ 6,570	$ 6,590	$ 6,664	$ 6,530	$ 6,499	$ 6,806
Net change in pension and postretirement benefits	0	0	0	1
Accumulated Other-than-Temporary Impairment | Available-for-sale Securities
Accumulated Other Comprehensive Income (Loss) [Line Items]
Stockholders' Equity Attributable to Parent	288	352	288	352	304	287	347	337
Non-credit-related OTTI loss, Available-for-sale Securities	(1)		(3)	(11)
Net change in fair value	(15)	5	1	25
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract]
Non-credit-related OTTI to credit-related OTTI, AFS			3	1
Net current period other comprehensive income/(loss)	(16)	5	1	15
Accumulated Other-than-Temporary Impairment | Held-to-maturity Securities
Accumulated Other Comprehensive Income (Loss) [Line Items]
Stockholders' Equity Attributable to Parent	(2)	(4)	(2)	(4)	(2)	(3)	(5)	(6)
Non-credit-related OTTI loss, Held-to-maturity Securities	0		0	0
Accretion of Noncredit Related OTTI Loss		1	1	2
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)	0	1	1	2
Accumulated Defined Benefit Plans Adjustment
Accumulated Other Comprehensive Income (Loss) [Line Items]
Stockholders' Equity Attributable to Parent	(17)	(12)	(17)	(12)	(17)	(17)	(12)	(13)
Net change in pension and postretirement benefits				1
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract]
Net current period other comprehensive income/(loss)	0	0	0	1
Accumulated Other Comprehensive Income/(Loss)
Accumulated Other Comprehensive Income (Loss) [Line Items]
Stockholders' Equity Attributable to Parent	267	337	267	337	300	235	330	318
Net change in pension and postretirement benefits				1
Other than Temporary Impairment Losses, Investments, Portion in Other Comprehensive Loss, before Tax, Portion Attributable to Parent	(1)		(3)	(11)
Net change in fair value	(32)	6	31	26
Accretion of Noncredit Related OTTI Loss		1	1	2
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract]
Non-credit-related OTTI to credit-related OTTI, AFS			3	1
Net current period other comprehensive income/(loss)	(33)	7	32	19
Available-for-sale Securities | AOCI, Accumulated Gain (Loss), Debt Securities, Available-for-sale, Parent [Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
Stockholders' Equity Attributable to Parent	(2)	1	(2)	1	$ 15	$ (32)	$ 0	$ 0
AFS Unrealized Gain/(Loss) on AFS Securities	(17)	1	30	1
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract]
Net current period other comprehensive income/(loss)	$ (17)	$ 1	$ 30	$ 1

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Derivatives and Hedging Activities (Derivatives in Statement of Income) (Details) - USD ($) $ in Millions		3 Months Ended			9 Months Ended
		Sep. 30, 2019	Sep. 30, 2018		Sep. 30, 2019	Sep. 30, 2018
Derivative Instruments, Gain (Loss) [Line Items]
Advances		$ 389	$ 389		$ 1,343	$ 1,138
AFS securities		100	59		261	172
Bonds		(409)	(364)		(1,306)	(1,010)
Interest Rate Contract [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Total net gain (loss) related to fair value hedge ineffectiveness			(1)			3
Gain (Loss) on Derivative and Hedging Activities | Interest Rate Contract [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments	[1]		22			52
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge			(23)			(49)
Advances | Interest Income [Member] | Interest Rate Contract [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments	[1]	(36)			(292)
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge		37			325
Gain (loss) on Fair Value Hedges Recognized in Net Interest Income		1	16	[1]	33	36	[1]
Available-for-sale Securities | Interest Income [Member] | Interest Rate Contract [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments	[1]	(224)			(594)
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge		209			552
Gain (loss) on Fair Value Hedges Recognized in Net Interest Income		(15)	1	[1]	(42)	1	[1]
Consolidated Obligations, Bonds [Member] | Interest Expense [Member] | Interest Rate Contract [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments	[1]	2			43
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge		(4)			(61)
Gain (loss) on Fair Value Hedges Recognized in Net Interest Income		$ (2)	$ (6)	[1]	$ (18)	$ (13)	[1]

[1] Includes net interest settlements.

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Other-Than-Temporary Impairment Analysis (OTTI Rollforward) (Details) - USD ($) $ in Millions		3 Months Ended		9 Months Ended
		Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018
Other than Temporary Impairment Losses, Investments [Abstract]
OTTI PLRMBS, Total accretion or amortization recognized in interest income		$ 21	$ 20	$ 58	$ 62
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward]
Balance, beginning of the period		1,050	1,103	1,077	1,129
Additional charges on securities for which OTTI was previously recognized	[1]	2	3	8	9
Other than Temporary Impairment, Credit Losses Recognized in Earnings, Reductions, Securities Sold and Matured	[2]	(3)	0	(5)	0
Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities	[3]	(15)	(15)	(46)	(47)
Balance, end of the period		$ 1,034	$ 1,091	$ 1,034	$ 1,091

[1] For the three months ended September 30, 2019 and 2018, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to July 1, 2019 and 2018, respectively. For the nine months ended September 30, 2019 and 2018, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2019 and 2018, respectively.

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

[3] The total accretion or amortization associated with other-than-temporarily impaired PLRMBS (amount recognized in interest income) totaled $21 and $20 for the three months ended September 30, 2019 and 2018, respectively. The total net accretion/(amortization) associated with other-than-temporarily impaired PLRMBS (amount recognized in interest income) totaled $58 and $62 for the nine months ended September 30, 2019 and 2018, respectively.

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Held-to-Maturity Securities (Securities with Unrealized Losses) (Details) - USD ($) $ in Millions	Sep. 30, 2019	Dec. 31, 2018
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	$ 2,579	$ 5,855
Less Than 12 Months, Unrealized losses	6	21
12 Months or More, Estimated Fair Value	2,970	3,061
12 Months Or More, Unrealized losses	18	55
Total, Estimated Fair Value	5,549	8,916
Total, Unrealized Losses	24	76
CalHFA bonds [Member]
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value		0
Less Than 12 Months, Unrealized losses		0
12 Months or More, Estimated Fair Value		80
12 Months Or More, Unrealized losses		3
Total, Estimated Fair Value		80
Total, Unrealized Losses		3
Ginnie Mae
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	30	33
Less Than 12 Months, Unrealized losses	0	0
12 Months or More, Estimated Fair Value	20	529
12 Months Or More, Unrealized losses	0	6
Total, Estimated Fair Value	50	562
Total, Unrealized Losses	0	6
MBS - GSEs
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	2,415	5,585
Less Than 12 Months, Unrealized losses	5	20
12 Months or More, Estimated Fair Value	2,763	2,205
12 Months Or More, Unrealized losses	11	35
Total, Estimated Fair Value	5,178	7,790
Total, Unrealized Losses	16	55
Total MBS
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value		5,855
Less Than 12 Months, Unrealized losses		21
12 Months or More, Estimated Fair Value		2,981
12 Months Or More, Unrealized losses		52
Total, Estimated Fair Value		8,836
Total, Unrealized Losses		73
GSEs – single-family: | MBS - GSEs
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	201	1,002
Less Than 12 Months, Unrealized losses	0	3
12 Months or More, Estimated Fair Value	754	1,778
12 Months Or More, Unrealized losses	3	34
Total, Estimated Fair Value	955	2,780
Total, Unrealized Losses	3	37
GSEs – multifamily: | MBS - GSEs
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	2,214	4,583
Less Than 12 Months, Unrealized losses	5	17
12 Months or More, Estimated Fair Value	2,009	427
12 Months Or More, Unrealized losses	8	1
Total, Estimated Fair Value	4,223	5,010
Total, Unrealized Losses	13	18
PLRMBS | Residential Mortgage Backed Securities
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	134	237
Less Than 12 Months, Unrealized losses	1	1
12 Months or More, Estimated Fair Value	187	247
12 Months Or More, Unrealized losses	7	11
Total, Estimated Fair Value	321	484
Total, Unrealized Losses	8	12
PLRMBS | Prime | Residential Mortgage Backed Securities
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	64	153
Less Than 12 Months, Unrealized losses	0	1
12 Months or More, Estimated Fair Value	115	128
12 Months Or More, Unrealized losses	4	5
Total, Estimated Fair Value	179	281
Total, Unrealized Losses	4	6
PLRMBS | Alt-A | Residential Mortgage Backed Securities
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	70	84
Less Than 12 Months, Unrealized losses	1	0
12 Months or More, Estimated Fair Value	72	119
12 Months Or More, Unrealized losses	3	6
Total, Estimated Fair Value	142	203
Total, Unrealized Losses	4	6
Freddie Mac | GSEs – single-family: | MBS - GSEs
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	132	79
Less Than 12 Months, Unrealized losses	0	0
12 Months or More, Estimated Fair Value	440	1,085
12 Months Or More, Unrealized losses	2	21
Total, Estimated Fair Value	572	1,164
Total, Unrealized Losses	2	21
Freddie Mac | GSEs – multifamily: | MBS - GSEs
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	1,499	3,826
Less Than 12 Months, Unrealized losses	4	16
12 Months or More, Estimated Fair Value	1,348	67
12 Months Or More, Unrealized losses	6	1
Total, Estimated Fair Value	2,847	3,893
Total, Unrealized Losses	10	17
Fannie Mae | GSEs – single-family: | MBS - GSEs
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	69	923
Less Than 12 Months, Unrealized losses	0	3
12 Months or More, Estimated Fair Value	314	693
12 Months Or More, Unrealized losses	1	13
Total, Estimated Fair Value	383	1,616
Total, Unrealized Losses	1	16
Fannie Mae | GSEs – multifamily: | MBS - GSEs
Schedule of Held-to-maturity Securities [Line Items]
Less Than 12 Months, Estimated Fair Value	715	757
Less Than 12 Months, Unrealized losses	1	1
12 Months or More, Estimated Fair Value	661	360
12 Months Or More, Unrealized losses	2	0
Total, Estimated Fair Value	1,376	1,117
Total, Unrealized Losses	$ 3	$ 1

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Advances (Redemption Terms) (Details) - USD ($) $ in Millions		Sep. 30, 2019	Dec. 31, 2018	Sep. 30, 2018
Federal Home Loan Bank Advances, Maturities [Abstract]
Overdrawn demand and overnight deposit accounts		$ 2	$ 0
Within 1 year		30,373	42,285
After 1 year through 2 years		18,538	13,662
After 2 years through 3 years		7,507	11,238
After 3 years through 4 years		1,947	2,409
After 4 years through 5 years		2,916	2,815
After 5 years		1,156	1,086
Total par value		62,439	73,495	$ 69,614
Valuation adjustments for hedging activities		293	(32)
Valuation adjustments under fair value option	[1]	94	(29)
Total		$ 62,826	$ 73,434
Federal Home Loan Bank Advances, Weighted Average Interest Rate [Abstract]
Overdrawn demand and overnight deposit accounts		1.55%	0.00%
Within 1 year		2.26%	2.40%
After 1 year through 2 years		2.33%	2.57%
After 2 years through 3 years		2.30%	2.70%
After 3 years through 4 years		2.80%	2.45%
After 4 years through 5 years		2.82%	2.99%
After 5 years		3.01%	3.23%
Total par value		2.34%	2.51%

[1] At September 30, 2019, and December 31, 2018, none of these advances were 90 days or more past due or had been placed on nonaccrual status.

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Allowance for Credit Losses (By Impairment Methodology) (Details) - USD ($) $ in Millions		Sep. 30, 2019	Dec. 31, 2018
Financing Receivable, Allowance for Credit Loss [Line Items]
Total Allowance for Credit Losses		$ 0	$ 0
Conventional Mortgage Loan
Financing Receivable, Allowance for Credit Loss [Line Items]
Individually evaluated for impairment, Allowance for credit losses		0	0
Collectively Evaluated for Impairment, Allowance for credit losses		0	0
Total Allowance for Credit Losses		0	0
Individually evaluated for impairment, Recorded investment		5	7
Collectively evaluated for impairment, Recorded investment		3,397	3,077
Total mortgage loans	[1]	$ 3,402	$ 3,084

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

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Mortgage Loans Held for Portfolio (Details) - USD ($) $ in Millions	9 Months Ended
	Sep. 30, 2019	Dec. 31, 2018
Loans and Leases Receivable Disclosure [Line Items]
Unpaid principal balance	$ 3,302	$ 2,967
Unamortized premiums	83	104
Unamortized discounts	(3)	(5)
Mortgage loans held for portfolio	3,382	3,066
Less: Allowance for credit losses	0	0
Total mortgage loans held for portfolio, net	3,382	3,066
Fixed rate medium-term mortgage loans
Loans and Leases Receivable Disclosure [Line Items]
Unpaid principal balance	22	16
Fixed Rate Long Term mortgage loans
Loans and Leases Receivable Disclosure [Line Items]
Unpaid principal balance	$ 3,280	$ 2,951
Fixed Rate Long Term mortgage loans | Minimum
Loans and Leases Receivable Disclosure [Line Items]
Mortgage Loans on Real Estate, Original Contractual Terms	15 years
Fixed rate medium-term mortgage loans | Maximum
Loans and Leases Receivable Disclosure [Line Items]
Mortgage Loans on Real Estate, Original Contractual Terms	15 years

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Fair Value (Fair Value Option) (Details) - USD ($) $ in Millions		3 Months Ended		9 Months Ended
		Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018
Fair Value, Option, Quantitative Disclosures [Line Items]
Balance, beginning of the period	[1]			$ 5,133
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds from changes in fair value recognized in earnings		$ 20	$ (12)	111	$ (65)
Balance, end of the period	[1]	3,967		3,967
Advances
Fair Value, Option, Quantitative Disclosures [Line Items]
Balance, beginning of the period		4,529	6,083	5,133	6,431
New transactions elected for fair value option		0	188	74	1,752
Maturities and terminations		(583)	(873)	(1,363)	(2,723)
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds from changes in fair value recognized in earnings		22	(15)	125	(78)
Change in accrued interest		(1)	0	(2)	1
Balance, end of the period		3,967	5,383	3,967	5,383
Consolidated obligation bonds
Fair Value, Option, Quantitative Disclosures [Line Items]
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds from changes in fair value recognized in earnings		2	(3)	14	(13)
Balance, beginning of the period		943	1,404	2,019	949
New transactions elected for fair value option		0	851	0	1,314
Maturities and terminations		(365)	(50)	(1,448)	(50)
Change in accrued interest		(3)	0	(8)	2
Balance, end of the period		$ 577	$ 2,202	$ 577	$ 2,202

[1] At September 30, 2019, and December 31, 2018, none of these advances were 90 days or more past due or had been placed on nonaccrual status.

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Available-for-Sale Securities (Summary of Securities with Unrealized Losses) (Details) - USD ($) $ in Millions	Sep. 30, 2019	Dec. 31, 2018
Debt Securities, Available-for-sale [Line Items]
Less Than 12 Months: Estimated Fair Value	$ 7,636	$ 3,803
Less Than 12 Months: Unrealized Losses	17	35
12 Months or More: Estimated Fair Value	784	351
12 Months or More: Unrealized Losses	12	19
Estimated Fair Value	8,420	4,154
Unrealized Losses	29	54
US Obligations
Debt Securities, Available-for-sale [Line Items]
Less Than 12 Months: Estimated Fair Value	4,685
Less Than 12 Months: Unrealized Losses	3
12 Months or More: Estimated Fair Value	0
12 Months or More: Unrealized Losses	0
Estimated Fair Value	4,685
Unrealized Losses	3
Subtotal MBS
Debt Securities, Available-for-sale [Line Items]
Less Than 12 Months: Estimated Fair Value	2,951
Less Than 12 Months: Unrealized Losses	14
12 Months or More: Estimated Fair Value	784
12 Months or More: Unrealized Losses	12
Estimated Fair Value	3,735
Unrealized Losses	26
GSEs – multifamily: | MBS - GSEs
Debt Securities, Available-for-sale [Line Items]
Less Than 12 Months: Estimated Fair Value	2,865	3,593
Less Than 12 Months: Unrealized Losses	11	32
12 Months or More: Estimated Fair Value	628	0
12 Months or More: Unrealized Losses	4	0
Estimated Fair Value	3,493	3,593
Unrealized Losses	15	32
GSEs – multifamily: | Freddie Mac | MBS - GSEs
Debt Securities, Available-for-sale [Line Items]
Less Than 12 Months: Estimated Fair Value	246	382
Less Than 12 Months: Unrealized Losses	0	2
12 Months or More: Estimated Fair Value	0	0
12 Months or More: Unrealized Losses	0	0
Estimated Fair Value	246	382
Unrealized Losses	0	2
GSEs – multifamily: | Fannie Mae | MBS - GSEs
Debt Securities, Available-for-sale [Line Items]
Less Than 12 Months: Estimated Fair Value	2,619	3,211
Less Than 12 Months: Unrealized Losses	11	30
12 Months or More: Estimated Fair Value	628	0
12 Months or More: Unrealized Losses	4	0
Estimated Fair Value	3,247	3,211
Unrealized Losses	15	30
PLRMBS | Residential Mortgage Backed Securities [Member]
Debt Securities, Available-for-sale [Line Items]
Less Than 12 Months: Estimated Fair Value	86	210
Less Than 12 Months: Unrealized Losses	3	3
12 Months or More: Estimated Fair Value	156	351
12 Months or More: Unrealized Losses	8	19
Estimated Fair Value	242	561
Unrealized Losses	11	22
PLRMBS | Prime | Residential Mortgage Backed Securities [Member]
Debt Securities, Available-for-sale [Line Items]
Less Than 12 Months: Estimated Fair Value	0	6
Less Than 12 Months: Unrealized Losses	0	0
12 Months or More: Estimated Fair Value	8	8
12 Months or More: Unrealized Losses	0	0
Estimated Fair Value	8	14
Unrealized Losses	0	0
PLRMBS | Alt-A | Residential Mortgage Backed Securities [Member]
Debt Securities, Available-for-sale [Line Items]
Less Than 12 Months: Estimated Fair Value	86	204
Less Than 12 Months: Unrealized Losses	3	3
12 Months or More: Estimated Fair Value	148	343
12 Months or More: Unrealized Losses	8	19
Estimated Fair Value	234	547
Unrealized Losses	$ 11	$ 22

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Segment Information (Tables)

9 Months Ended

Sep. 30, 2019

Segment Reporting [Abstract]

Reconciliation of Operating Profit (Loss) from Segments to Consolidated

The following table presents the Bank’s adjusted net interest income by operating segment and reconciles total adjusted net interest income to income before the Affordable Housing Program (AHP) assessment for the three and nine months ended September 30, 2019 and 2018.

	Advances- Related Business		Mortgage- Related Business(1)		Adjusted Net Interest Income		Amortization of Basis Adjustments and Gain/(Loss) on Fair Value Hedges(2)			Income/(Expense) on Economic Hedges(3)			Interest Expense on Mandatorily Redeemable Capital Stock(4)		Net Interest Income After Mortgage Loan Loss Provision		Other Income/ (Loss)		Other Expense		Income Before AHP Assessment
Three months ended:
September 30, 2019	$	72	$	60	$	132	$	20		$	(3	)	$	3	$	112	$	3	$	47	$	68
September 30, 2018	82		71		153		—			(5		)	5		153		7		46		114
Nine months ended:
September 30, 2019	$	237	$	186	$	423	$	54		$	(8	)	$	11	$	366	$	11	$	138	$	239
September 30, 2018	239		219		458		(1		)	(12		)	16		455		4		138		321

(1) The mortgage-related business includes total accretion or amortization associated with other-than-temporarily impaired PLRMBS, which are recognized in interest income, totaled $21 and $20 for the three months ended September 30, 2019 and 2018, respectively; and totaled $58 and $62 for the nine months ended September 30, 2019 and 2018, respectively. The mortgage-related business does not include credit-related OTTI losses of $2 and $3 for the three months ended September 30, 2019 and 2018, and $8 and $9 for the nine months ended September 30, 2019 and 2018, respectively.

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

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

The following table presents total assets by operating segment at September 30, 2019, and December 31, 2018.

	Advances- Related Business		Mortgage- Related Business		Total Assets
September 30, 2019	$	82,143	$	22,010	$	104,153
December 31, 2018	88,272		21,054		109,326

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Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks (Tables)

9 Months Ended

Sep. 30, 2019

Related Party Transactions [Abstract]

Transactions with Certain Members and Nonmembers

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

	September 30, 2019		December 31, 2018
Assets:
Advances	$	3,711	$	4,192
Mortgage loans held for portfolio	9		11
Accrued interest receivable	6		7
Liabilities:
Deposits	$	30	$	11
Capital:
Capital Stock	$	130	$	149

	Three Months Ended				Nine Months Ended
	September 30, 2019		September 30, 2018		September 30, 2019		September 30, 2018
Interest Income:
Advances	$	22	$	21	$	66	$	52

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Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks

9 Months Ended

Sep. 30, 2019

Related Party Transactions [Abstract]

Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks

Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks

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

	September 30, 2019		December 31, 2018
Assets:
Advances	$	3,711	$	4,192
Mortgage loans held for portfolio	9		11
Accrued interest receivable	6		7
Liabilities:
Deposits	$	30	$	11
Capital:
Capital Stock	$	130	$	149

	Three Months Ended				Nine Months Ended
	September 30, 2019		September 30, 2018		September 30, 2019		September 30, 2018
Interest Income:
Advances	$	22	$	21	$	66	$	52

All transactions with members, nonmembers, and their affiliates are entered into in the ordinary course of business. As of September 30, 2019, and December 31, 2018, no shareholder owned more than 10% of the total voting interests in the Bank because of the statutory limit on members' voting rights. For more information on transactions with members and nonmembers, see “Item 8. Financial Statements and Supplementary Data – Note 21 – Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks” in the Bank’s 2018 Form 10-K.

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

Deposits with other FHLBanks. The Bank may, from time to time, maintain deposits with other FHLBanks. Deposits with other FHLBanks totaled a de minimis amount and $1 at September 30, 2019, and December 31, 2018, respectively, which were recorded in the Statements of Condition in the Cash and due from banks line item.

Overnight Funds. The Bank may borrow or lend unsecured overnight funds from or to other FHLBanks. All such transactions are at current market rates. Interest income and interest expense related to these transactions with other FHLBanks are included in interest income and interest expense in the Statements of Income. Balances outstanding at period end with other FHLBanks, if any, are identified in the Bank’s financial statements. During the nine months ended September 30, 2019 and 2018, the Bank extended overnight loans to other FHLBanks for $1,450 and $280, respectively. During the nine months ended September 30, 2019 and 2018, the Bank borrowed $1,545 and $1,520, respectively, from other FHLBanks. The impact to net interest income related to these transactions was de minimis for all periods in this report.

MPF Mortgage Loans. The Bank pays a transaction services fee to the FHLBank of Chicago for its participation in the MPF program. This fee is assessed monthly and is based on the amount of mortgage loans in which the Bank invested and which remain outstanding on its Statements of Condition. For the three months ended September 30, 2019 and 2018, the Bank recorded $1 and $1, respectively, in MPF membership fee expense and transaction services fee expense to the FHLBank of Chicago, which were recorded in the Statements of Income as other expense. For the nine months ended September 30, 2019 and 2018, the Bank recorded $2 and $2, respectively, in MPF membership fee expense and transaction services fee expense to the FHLBank of Chicago.

In addition, the Bank receives a counterparty fee from the FHLBank of Chicago for facilitating the sale of loans under the MPF program. For the three and nine months ended September 30, 2019 and 2018, the Bank recorded de minimis amounts in MPF counterparty fee income from the FHLBank of Chicago, which were recorded in the Statements of Income as other income.

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 nine months ended September 30, 2019 and 2018, the Bank did not transfer any debt to other FHLBanks or assume any debt from other FHLBanks.

Transactions with the Office of Finance. The Bank’s proportionate share of the cost of operating the Office of Finance is identified in the Statements of Income.

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Segment Information

9 Months Ended

Sep. 30, 2019

Segment Reporting [Abstract]

Segment Information

Segment Information

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

For more information on these operating segments, see “Item 8. Financial Statements and Supplementary Data – Note 17 – Segment Information” in the Bank’s 2018 Form 10-K.

The following table presents the Bank’s adjusted net interest income by operating segment and reconciles total adjusted net interest income to income before the Affordable Housing Program (AHP) assessment for the three and nine months ended September 30, 2019 and 2018.

	Advances- Related Business		Mortgage- Related Business(1)		Adjusted Net Interest Income		Amortization of Basis Adjustments and Gain/(Loss) on Fair Value Hedges(2)			Income/(Expense) on Economic Hedges(3)			Interest Expense on Mandatorily Redeemable Capital Stock(4)		Net Interest Income After Mortgage Loan Loss Provision		Other Income/ (Loss)		Other Expense		Income Before AHP Assessment
Three months ended:
September 30, 2019	$	72	$	60	$	132	$	20		$	(3	)	$	3	$	112	$	3	$	47	$	68
September 30, 2018	82		71		153		—			(5		)	5		153		7		46		114
Nine months ended:
September 30, 2019	$	237	$	186	$	423	$	54		$	(8	)	$	11	$	366	$	11	$	138	$	239
September 30, 2018	239		219		458		(1		)	(12		)	16		455		4		138		321

(1) The mortgage-related business includes total accretion or amortization associated with other-than-temporarily impaired PLRMBS, which are recognized in interest income, totaled $21 and $20 for the three months ended September 30, 2019 and 2018, respectively; and totaled $58 and $62 for the nine months ended September 30, 2019 and 2018, respectively. The mortgage-related business does not include credit-related OTTI losses of $2 and $3 for the three months ended September 30, 2019 and 2018, and $8 and $9 for the nine months ended September 30, 2019 and 2018, respectively.

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

(3) The Bank includes income and expense associated with net settlements from economic hedges in adjusted net interest income in its analysis of financial performance for its two operating segments. For financial reporting purposes, the Bank does not include these amounts in net interest income in the Statements of Income, but instead records them in other income 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 September 30, 2019, and December 31, 2018.

	Advances- Related Business		Mortgage- Related Business		Total Assets
September 30, 2019	$	82,143	$	22,010	$	104,153
December 31, 2018	88,272		21,054		109,326

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Trading Securities (Tables)

9 Months Ended

Sep. 30, 2019

Debt Securities, Trading and Available-for-sale [Abstract]

Trading Securities (and Certain Trading Assets)

The estimated fair value of trading securities as of September 30, 2019, and December 31, 2018, was as follows:

	September 30, 2019		December 31, 2018
GSEs – Federal Farm Credit Bank (FFCB) bonds	$	—	$	656
MBS – Other U.S. obligations – Ginnie Mae	4		5
Total	$	4	$	661