0001316944-20-000079.txt : 20200512 0001316944-20-000079.hdr.sgml : 20200512 20200511180908 ACCESSION NUMBER: 0001316944-20-000079 CONFORMED SUBMISSION TYPE: 10-Q PUBLIC DOCUMENT COUNT: 99 CONFORMED PERIOD OF REPORT: 20200331 FILED AS OF DATE: 20200512 DATE AS OF CHANGE: 20200511 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Federal Home Loan Bank of San Francisco CENTRAL INDEX KEY: 0001316944 STANDARD INDUSTRIAL CLASSIFICATION: FEDERAL & FEDERALLY-SPONSORED CREDIT AGENCIES [6111] IRS NUMBER: 946000630 STATE OF INCORPORATION: X1 FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 10-Q SEC ACT: 1934 Act SEC FILE NUMBER: 000-51398 FILM NUMBER: 20866361 BUSINESS ADDRESS: STREET 1: 333 BUSH STREET, SUITE 2700 CITY: SAN FRANCISCO STATE: CA ZIP: 94104 BUSINESS PHONE: (415) 616-1000 MAIL ADDRESS: STREET 1: 333 BUSH STREET, SUITE 2700 CITY: SAN FRANCISCO STATE: CA ZIP: 94104 10-Q 1 a2020q110qdocument.htm 10-Q Document
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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
  ____________________________________
FORM 10-Q
  ______________________________________________________
 
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended March 31, 2020
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 April 30, 2020

Class B Stock, par value $100
32,006,983




Federal Home Loan Bank of San Francisco
Form 10-Q
Index
PART I.
 
 
 
 
 
 
Item 1.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Item 2.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Item 3.
 
 
 
 
 
Item 4.
 
 
 
 
 
PART II.
 
 
 
 
 
 
Item 1.
 
 
 
 
 
Item 1A.
 
 
 
 
 
Item 5.
 
 
 
 
 
 
 
Item 6.
 
 
 
 
 



PART I. FINANCIAL INFORMATION

ITEM 1.    FINANCIAL STATEMENTS
 
Federal Home Loan Bank of San Francisco
Statements of Condition
(Unaudited)
(In millions-except par value)
March 31,
2020

 
December 31,
2019

Assets:
 
 
 
Cash and due from banks
$
328

 
$
118

Interest-bearing deposits
3,577

 
2,269

Securities purchased under agreements to resell
2,000

 
7,000

Federal funds sold
10,081

 
3,562

Trading securities(a)
4,319

 
1,766

Available-for-sale (AFS) securities, net (amortized cost of $16,427 and $15,206, respectively)(b)
16,175

 
15,495

Held-to-maturity (HTM) securities (fair values were $6,867 and $7,566, respectively)(a)
6,864

 
7,545

Advances (includes $4,334 and $4,370 at fair value under the fair value option, respectively)
77,872

 
65,374

Mortgage loans held for portfolio, net
3,239

 
3,314

Accrued interest receivable
139

 
139

Derivative assets, net
62

 
33

Other assets
214

 
227

Total Assets
$
124,870

 
$
106,842

Liabilities:
 
 
 
Deposits
$
721

 
$
537

Consolidated obligations:
 
 
 
Bonds (includes $254 and $337 at fair value under the fair value option, respectively)
77,937

 
71,372

Discount notes
39,102

 
27,376

Total consolidated obligations
117,039

 
98,748

Mandatorily redeemable capital stock
83

 
138

Accrued interest payable
121

 
164

Affordable Housing Program (AHP) payable
133

 
152

Other liabilities
366

 
362

Total Liabilities
118,463

 
100,101

Commitments and Contingencies (Note 13)



Capital:
 
 
 
Capital stock—Class B—Putable ($100 par value) issued and outstanding:
 
 
 
32 shares and 30 shares, respectively
3,231

 
3,000

Unrestricted retained earnings
2,691

 
2,754

Restricted retained earnings
713

 
713

Total Retained Earnings
3,404

 
3,467

Accumulated other comprehensive income/(loss) (AOCI)
(228
)
 
274

Total Capital
6,407

 
6,741

Total Liabilities and Capital
$
124,870

 
$
106,842


(a)
At March 31, 2020, and December 31, 2019, none of these securities were pledged as collateral that may be repledged.
(b)
At March 31, 2020, $643 of these securities were pledged as collateral that may be repledged. At December 31, 2019, $381 of these securities were pledged as collateral that may be repledged.
The accompanying notes are an integral part of these financial statements.

1



Federal Home Loan Bank of San Francisco
Statements of Income
(Unaudited)
 
Three Months Ended March 31,
(In millions)
2020

 
2019

Interest Income:
 
 
 
Advances
$
279

 
$
498

Interest-bearing deposits
12

 
14

Securities purchased under agreements to resell
18

 
45

Federal funds sold
14

 
41

Trading securities
16

 
4

AFS securities
51

 
79

HTM securities
44

 
79

Mortgage loans held for portfolio
(1
)
 
26

Total Interest Income
433

 
786

Interest Expense:
 
 
 
Consolidated obligations:
 
 
 
Bonds
276

 
455

Discount notes
104

 
181

Deposits
2

 
2

Mandatorily redeemable capital stock
2

 
4

Total Interest Expense
384

 
642

Net Interest Income
49

 
144

Provision for/(reversal of) credit losses
39

 

Net Interest Income After Provision for/(Reversal of) Credit Losses
10

 
144

Other Income/(Loss):
 
 
 
Net gain/(loss) on trading securities
73

 
(1
)
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option
89

 
39

Net gain/(loss) on derivatives and hedging activities
(147
)
 
(28
)
Other, net
3

 
5

Total Other Income/(Loss)
18

 
15

Other Expense:
 
 
 
Compensation and benefits
21

 
20

Other operating expense
12

 
13

Federal Housing Finance Agency
2

 
2

Office of Finance
1

 
2

Quality Jobs Fund expense

 
5

Other, net

 
1

Total Other Expense
36

 
43

Income/(Loss) Before Assessment
(8
)
 
116

AHP Assessment

 
12

Net Income/(Loss)
$
(8
)
 
$
104


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


2



Federal Home Loan Bank of San Francisco
Statements of Comprehensive Income
(Unaudited)
 
Three Months Ended March 31,
(In millions)
2020

 
2019

Net Income/(Loss)
$
(8
)
 
$
104

Other Comprehensive Income/(Loss):
 
 
 
Net unrealized gain/(loss) on AFS securities
(502
)
 
38

Net non-credit-related OTTI gain/(loss) on AFS securities

 
14

Total other comprehensive income/(loss)
(502
)
 
52

Total Comprehensive Income/(Loss)
$
(510
)
 
$
156


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


3



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

(In millions)
Shares

 
Par Value

 
Restricted

 
Unrestricted

 
Total

 
AOCI

 
Balance, December 31, 2018
29

 
$
2,949

 
$
647

 
$
2,699

 
$
3,346

 
$
235

 
$
6,530

Comprehensive income/(loss)
 
 
 
 
21

 
83

 
104

 
52

 
156

Issuance of capital stock
4

 
354

 
 
 
 
 
 
 
 
 
354

Repurchase of capital stock
(3
)
 
(344
)
 
 
 
 
 
 
 
 
 
(344
)
Cash dividends paid on capital stock (7.00%)
 
 
 
 
 
 
(50
)
 
(50
)
 
 
 
(50
)
Balance, March 31, 2019
30

 
$
2,959

 
$
668

 
$
2,732

 
$
3,400

 
$
287

 
$
6,646

 
 
 
 
 
 
 
 
 
 
 
 
 
 
Balance, December 31, 2019
30

 
$
3,000

 
$
713

 
$
2,754

 
$
3,467

 
$
274

 
$
6,741

Adjustment for cumulative effect of accounting change
 
 
 
 
 
 
(3
)
 
(3
)
 
 
 
(3
)
Comprehensive income/(loss)


 


 

 
(8
)
 
(8
)
 
(502
)
 
(510
)
Issuance of capital stock
6

 
607

 

 

 
 
 

 
607

Repurchase of capital stock
(4
)
 
(373
)
 

 

 
 
 

 
(373
)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net

 
(3
)
 


 


 
 
 


 
(3
)
Cash dividends paid on capital stock (7.00%)

 


 

 
(52
)
 
(52
)
 

 
(52
)
Balance, March 31, 2020
32

 
$
3,231

 
$
713

 
$
2,691

 
$
3,404

 
$
(228
)
 
$
6,407


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

4



Federal Home Loan Bank of San Francisco
Statements of Cash Flows
(Unaudited)

 
Three Months Ended March 31,
(In millions)
2020

 
2019

Cash Flows from Operating Activities:
 
 
 
Net Income/(Loss)
$
(8
)
 
$
104

Adjustments to reconcile net income/(loss) to net cash provided by/(used in) operating activities:
 
 
 
Depreciation and amortization
22

 
5

Provision for/(reversal of) credit losses
39

 

Change in net fair value of trading securities
(73
)
 
1

Change in net fair value adjustment on advances and consolidated obligation bonds held under the fair value option
(89
)
 
(39
)
Change in net derivatives and hedging activities
(804
)
 
(128
)
Other adjustments
1

 
3

Net change in:
 
 
 
Accrued interest receivable

 
(65
)
Other assets
10

 
(6
)
Accrued interest payable
(43
)
 
26

Other liabilities
(48
)
 
(11
)
Total adjustments
(985
)
 
(214
)
Net cash provided by/(used in) operating activities
(993
)
 
(110
)
Cash Flows from Investing Activities:
 
 
 
Net change in:
 
 
 
Interest-bearing deposits
(2,011
)
 
850

Securities purchased under agreements to resell
5,000

 
(950
)
Federal funds sold
(6,519
)
 
(3,390
)
Trading securities:
 
 
 
Proceeds

 
50

Purchases
(2,480
)
 

AFS securities:
 
 
 
Proceeds
120

 
133

Purchases
(403
)
 
(1,119
)
HTM securities:
 
 
 
Proceeds
681

 
709

Advances:
 
 
 
Repaid
291,662

 
408,394

Originated
(303,461
)
 
(405,074
)
Mortgage loans held for portfolio:
 
 
 
Principal collected
321

 
75

Purchases
(278
)
 
(174
)
Other investing activities, net

 
(7
)
Net cash provided by/(used in) investing activities
(17,368
)
 
(503
)

5



Federal Home Loan Bank of San Francisco
Statements of Cash Flows (continued)
(Unaudited)

 
Three Months Ended March 31,
(In millions)
2020

 
2019

Cash Flows from Financing Activities:
 
 
 
Net change in deposits and other financing activities
188

 
28

Net change in borrowings from other Federal Home Loan Banks

 
(250
)
Net (payments)/proceeds on derivative contracts with financing elements
(4
)
 
11

Net proceeds from issuance of consolidated obligations:
 
 
 
Bonds
26,053

 
22,935

Discount notes
62,055

 
30,881

Payments for matured and retired consolidated obligations:
 
 
 
Bonds
(19,518
)
 
(21,148
)
Discount notes
(50,327
)
 
(31,798
)
Proceeds from issuance of capital stock
607

 
354

Payments for repurchase/redemption of mandatorily redeemable capital stock
(58
)
 

Payments for repurchase of capital stock
(373
)
 
(344
)
Cash dividends paid
(52
)
 
(50
)
Net cash provided by/(used in) financing activities
18,571

 
619

Net increase/(decrease) in cash and due from banks
210

 
6

Cash and due from banks at beginning of the period
118

 
13

Cash and due from banks at end of the period
$
328

 
$
19

Supplemental Disclosures:
 
 
 
Interest paid
$
422

 
$
594

AHP payments
19

 
18

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

6


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





(Dollars in millions except per share amounts)

Note 1 — 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, 2020. 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, 2019 (2019 Form 10‑K).
There have been no changes to the basis of presentation of the Bank’s financial instruments meeting netting requirements or of the Bank’s investments in variable interest entities disclosed in “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2019 Form 10-K.
Summary of Significant Accounting Policies
Beginning January 1, 2020, the Bank adopted new accounting guidance related to the measurement of credit losses on financial instruments that requires a financial asset or group of financial assets measured at amortized cost to be presented at the net amount expected to be collected. The new guidance also requires credit losses relating to these financial instruments as well as available-for-sale (AFS) securities to be recorded through the allowance for credit losses. Key changes as compared to prior accounting guidance are detailed below. Consistent with the modified retrospective method of adoption, the prior period has not been revised to conform to the new basis of accounting. For information on the prior accounting treatment and for descriptions of the Bank’s significant accounting policies, see “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2019 Form 10-K. Other changes to these policies as of March 31, 2020, are discussed in Note 2 – Recently Issued and Adopted Accounting Guidance.
Use of Estimates. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America (U.S. GAAP) requires management to make a number of judgments, estimates, and assumptions that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income, expenses, gains, and losses during the reporting period. The most significant of these estimates include:
accounting for derivatives;
estimating fair values of investments classified as trading and AFS, derivatives and associated hedged items carried at fair value in accordance with the accounting for derivative instruments and associated hedging activities, and financial instruments carried at fair value under the fair value option; and
estimating the prepayment speeds on mortgage-backed securities (MBS) and mortgage loans for the accounting of amortization of premiums and accretion of discounts and credit losses previously recorded prior to the adoption of new accounting guidance related to the measurement of credit losses on MBS and mortgage loans.
Actual results could differ significantly from these estimates.
Interest-bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold. The Bank invests in interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold. These investments provide short-term liquidity and are carried at cost. Accrued interest receivable is recorded separately on the Statements of Condition.
These investments are evaluated quarterly for expected credit losses. If applicable, an allowance for credit loss is recorded with a corresponding adjustment to the provision for/(reversal of) credit losses. The Bank treats securities

7


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



purchased under agreements to resell as collateralized financing arrangements because they effectively represent short-term loans to counterparties that are considered by the Bank to be of investment quality, which are classified as assets in the Statements of Condition. Securities purchased under agreements to resell are held in safekeeping in the name of the Bank by third-party custodians approved by the Bank. In accordance with the terms of these loans, if the market value of the underlying securities decreases below the market value required as collateral, the counterparty must place an equivalent amount of additional securities as collateral or remit an equivalent amount of cash. Consequently, a credit loss would be recognized if there is a collateral shortfall which the Bank does not believe the counterparty will replenish in accordance with its contractual terms. The credit loss would be limited to the difference between the fair value of the collateral and the investment’s cost. The Bank invests in Federal funds sold with counterparties that are considered by the Bank to be of investment quality.
See Note 3 – Investments for details on the allowance methodologies relating to interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold.
Investment Securities. On a quarterly basis, the Bank evaluates its individual AFS investment securities in an unrealized loss position for impairment. A security is considered impaired when its fair value is less than its amortized cost basis. With respect to any debt security, a credit loss is defined as the amount by which the amortized cost basis exceeds the present value of the cash flows expected to be collected. If a credit loss exists but the entity does not intend to sell the debt security and it is not more likely than not that the entity will be required to sell the debt security before the anticipated recovery of its remaining amortized cost basis (the amortized cost basis less any current-period credit loss), an allowance for credit losses is recorded with a corresponding adjustment to the provision for/(reversal of) credit losses. The allowance is limited by the amount of the unrealized loss. Accrued interest receivable is recorded separately on the Statements of Condition. The allowance for credit losses excludes uncollectible accrued interest receivable, which is measured separately.
If management intends to sell an impaired security classified as AFS, or more likely than not will be required to sell the security before expected recovery of its amortized cost basis, any allowance for credit losses is written off and the amortized cost basis is written down to the security’s fair value at the reporting date with any incremental impairment reported in earnings as net unrealized gain/(loss) on AFS securities. If management does not intend to sell an impaired security classified as AFS and it is not more likely than not that management will be required to sell the debt security, then the credit portion of the difference is recognized as an allowance for credit losses and any remaining difference between the security’s fair value and amortized cost is recorded to net unrealized gain/(loss) on AFS securities within other comprehensive income/(loss).
Prior to January 1, 2020, credit losses were recorded as a direct write-down of the AFS security carrying value. For improvements in cash flows of AFS securities, interest income follows the recognition pattern pursuant to the impairment guidance in effect prior to January 1, 2020, and recoveries of amounts previously written off are recorded when received. AFS securities with a credit loss recognized pursuant to the impairment guidance in effect prior to January 1, 2020, continue to follow the prior accounting until maturity or disposition. For improvements in impaired AFS securities with an allowance for credit losses recognized after the adoption of the new guidance, the allowance for credit losses associated with recoveries may be derecognized up to its full amount. Effective January 1, 2020, the net non-credit-related other-than-temporary impairment (OTTI) gain/(loss) on AFS securities was reclassified to net unrealized gain/(loss) on AFS securities within other comprehensive income/(loss).
Held-to-maturity (HTM) securities are carried at cost, adjusted for periodic principal repayments, amortization of premiums and accretion of discounts, and previous credit loss recognized in net income and Accumulated Other Comprehensive Income (AOCI) recorded prior to January 1, 2020. On a quarterly basis, the Bank evaluates its HTM investment securities for expected credit losses on a pool basis unless an individual assessment is deemed necessary because the securities do not possess similar risk characteristics. If necessary, an allowance for credit losses is recorded with a corresponding adjustment to the provision for/(reversal of) credit losses. Prior to January 1, 2020, credit losses were recorded as a direct write-down of the HTM security carrying value. Accrued interest

8


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



receivable is recorded separately on the Statements of Condition. The allowance for credit losses excludes uncollectible accrued interest receivable, which is measured separately.
For improvements in HTM securities impaired prior to January 1, 2020, interest income continues to follow the recognition pattern pursuant to the impairment guidance in effect prior to January 1, 2020, and recoveries of amounts previously written off are recorded when received. For improvements in impaired HTM securities with an allowance for credit losses recognized after the adoption of the new guidance, the allowance for credit losses associated with recoveries may be derecognized up to its full amount.
See Note 3 – Investments for details on the allowance methodologies relating to AFS and HTM securities.
Advances. The Bank reports advances (loans to members, former members or their successors or housing associates) either at amortized cost or at fair value when the fair value option is elected. Advances carried at amortized cost are reported net of premiums, discounts (including discounts related to the Affordable Housing Program), and hedging adjustments. Accrued interest receivable is recorded separately on the Statements of Condition. The advances carried at amortized cost are evaluated quarterly for expected credit losses. If deemed necessary, an allowance for credit losses is recorded with a corresponding adjustment to the provision for/(reversal of) credit losses. See Note 4 – Advances for details on the allowance methodologies relating to advances.
Mortgage Loans Held for Portfolio. The Bank classifies mortgage loans as held for investment and, accordingly, reports them at their principal amount outstanding net of unamortized premiums, unamortized credit enhancement fees paid as a lump sum at the time loans are purchased, discounts, and unrealized gains and losses from loans initially classified as mortgage loan commitments. The Bank performs a quarterly assessment of its mortgage loans held for portfolio to estimate expected credit losses. An allowance for credit losses is recorded with a corresponding adjustment to the provision for/(reversal of) credit losses.
The Bank measures expected credit losses on mortgage loans on a collective basis, pooling loans with similar risk characteristics. If a mortgage loan no longer shares risk characteristics with other loans, it is removed from the pool and evaluated for expected credit losses on an individual basis.
When developing the allowance for credit losses, the Bank measures the estimated loss over the remaining life of a mortgage loan, which also considers how the Bank’s credit enhancements mitigate credit losses. The Bank includes estimates of expected recoveries within the allowance for credit losses. If a loan is purchased at a discount, the discount does not offset the allowance for credit losses. Accrued interest receivable is recorded separately on the Statements of Condition. The allowance excludes uncollectible accrued interest receivable, as the Bank writes off accrued interest receivable by reversing interest income if a mortgage loan is placed on nonaccrual status.
The Bank does not purchase mortgage loans with credit deterioration present at the time of purchase. See Note 5 – Mortgage Loans Held for Portfolio for details on the allowance methodologies relating to mortgage loans. 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 2019 Form 10-K. (“Mortgage Partnership Finance,” “MPF,” and “MPF Xtra” are registered trademarks of the FHLBank of Chicago.)
Off-Balance Sheet Credit Exposures. The Bank evaluates its off-balance sheet credit exposures on a quarterly basis for expected credit losses. If deemed necessary, an allowance for expected credit losses on these off-balance sheet exposures is recorded in other liabilities with a corresponding adjustment to the provision for/(reversal of) credit losses. See Note 13 – Commitments and Contingencies for details on the allowance methodologies relating to off-balance sheet credit exposure.

9


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



Note 2 — Recently Issued and Adopted Accounting Guidance
The following table provides a summary of recently issued accounting standards that may have an effect on the financial statements.
Accounting Standards Update (ASU)
 
Description
 
Effective Date
 
Effect on the Financial Statements or Other Significant Matters
Facilitation of the Effects of Reference Rate Reform on Financial Reporting (ASU 2020-04)
 
This guidance provides temporary optional guidance to ease the potential burden in accounting for reference rate reform. The new guidance provides optional expedients and exceptions for applying generally accepted accounting principles to transactions affected by reference rate reform if certain criteria are met. These transactions include:
• contract modifications,
• hedging relationships, and
• sale or transfer of debt securities classified as HTM.
 
This guidance is effective immediately for the Bank, and the Bank may elect to apply the amendments prospectively through December 31, 2022.
 
The Bank is in the process of evaluating the guidance. Its effect on the Bank’s financial condition, results of operations, and cash flows has not yet been determined.
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 became effective for the Bank for the interim and annual periods beginning on January 1, 2020.
 
The guidance was adopted as of January 1, 2020. The adoption of this guidance did not have any effect on the Bank’s financial condition, results of operations, or cash flows.
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 became effective for the Bank for the interim and annual periods beginning on January 1, 2020.
 
The guidance was adopted as of January 1, 2020. The adoption of this guidance impacted the Bank’s disclosures but did 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, as amended (ASU 2016-13)
 
The guidance replaces the current incurred loss impairment 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. The guidance also requires, among other things, credit losses relating to AFS securities to be recorded through an allowance for credit losses and expands disclosure requirements.
 
This guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2020.
 
This guidance was adopted using a modified retrospective basis as of January 1, 2020. Upon adoption, this guidance had no effect on advances or U.S. obligations and Government-Sponsored Enterprises (GSEs) investments. The adoption of this guidance had an immaterial effect on the remaining investment portfolio given the specific terms, issuer guarantees, and collateralized/securitized nature of these instruments, on mortgage loans, and on the Bank’s financial condition, results of operations, and cash flows.

Note 3 — Investments
The Bank makes short-term investments in interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold, and may make other investments in debt securities, which are classified as either trading, AFS, or HTM.
Interest-Bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold. The Bank invests in interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold to provide short-term liquidity. These investments are generally transacted with counterparties that have received an investment grade credit rating of BBB or greater by a nationally recognized statistical rating organization (NRSRO). At March 31, 2020, none of these investments were with counterparties rated below BBB, and approximately 1% were with unrated counterparties. These may differ from any internal ratings of the investments by the Bank, if applicable.
Federal funds sold are unsecured loans that are generally transacted on an overnight term. Federal Finance Housing Agency (Finance Agency) regulations include a limit on the amount of unsecured credit the Bank may extend to a counterparty. At March 31, 2020, and December 31, 2019, all investments in interest-bearing deposits and Federal funds sold were repaid or expected to be repaid according to the contractual terms. No allowance for credit losses was recorded for these assets at March 31, 2020, and December 31, 2019. Carrying values of interest-bearing deposits and Federal funds sold exclude accrued interest receivable of $2 and a de minimis amount as of March 31, 2020, respectively, and $3 and a de minimis amount as of December 31, 2019, respectively.
Based upon the collateral held as security and collateral maintenance provisions with its counterparties, the Bank determined that no allowance for credit losses was needed for its securities purchased under agreements to resell at March 31, 2020, and December 31, 2019. The carrying value of securities purchased under agreements excludes de minimis amounts of accrued interest receivable as of March 31, 2020, and December 31, 2019.
Debt Securities
The Bank invests in debt securities, which are classified as either trading, AFS, or HTM. Within these investments, the Bank is primarily subject to credit risk related to private-label residential mortgage-backed securities (PLRMBS) that are supported by underlying mortgage loans. The Bank is prohibited by Finance Agency regulations from purchasing certain higher risk securities, such as equity securities and debt instruments that are not investment quality at time of purchase.

11


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



Trading Securities. The estimated fair value of trading securities as of March 31, 2020, and December 31, 2019, was as follows:
 
March 31, 2020

 
December 31, 2019

U.S. obligations – Treasury securities
$
4,315

 
$
1,762

MBS – Other U.S. obligations – Ginnie Mae
4

 
4

Total
$
4,319

 
$
1,766


The net unrealized gain/(loss) on trading securities was $73 and $(1) for the three months ended March 31, 2020 and 2019, respectively. These amounts represent the changes in the fair value of the securities during the reported periods.
Available-for-Sale Securities. AFS securities by major security type as of March 31, 2020, and December 31, 2019, were as follows:
March 31, 2020
 
 
 
 
 
 
 
 
 
  
Amortized
Cost(1)

 
Allowance for Credit Losses(2)

 
Gross
Unrealized
Gains

 
Gross
Unrealized
Losses

 
Estimated Fair Value

U.S. obligations – Treasury securities
$
5,347

 
$

 
$
6

 
$

 
$
5,353

MBS:
 
 
 
 
 
 
 
 
 
GSEs – multifamily:
 
 
 
 
 
 
 
 
 
Freddie Mac
857

 

 

 
(24
)
 
833

Fannie Mae
7,991

 

 

 
(228
)
 
7,763

Subtotal – GSEs – multifamily
8,848

 

 

 
(252
)
 
8,596

PLRMBS:
 
 
 
 
 
 
 
 
 
Prime
204

 
(6
)
 
2

 
(2
)
 
198

Alt-A
2,028

 
(33
)
 
97

 
(64
)
 
2,028

Subtotal PLRMBS
2,232

 
(39
)
 
99

 
(66
)
 
2,226

Total MBS
11,080

 
(39
)
 
99

 
(318
)
 
10,822

Total
$
16,427

 
$
(39
)
 
$
105

 
$
(318
)
 
$
16,175

December 31, 2019
 
 
 
 
 
 
 
 
 
 
Amortized
Cost(1)

 
OTTI
Recognized in
AOCI(2)

 
Gross
Unrealized
Gains(3)

 
Gross
Unrealized
Losses

 
Estimated Fair Value

U.S. obligations – Treasury securities
$
5,281

 
$

 
$
7

 
$

 
$
5,288

MBS:
 
 
 
 
 
 
 
 
 
GSEs – multifamily:
 
 
 
 
 
 
 
 
 
Freddie Mac
773

 

 
4

 

 
777

Fannie Mae
6,823

 

 
23

 
(13
)
 
6,833

Subtotal – GSEs – multifamily
7,596