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 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.	FINANCIAL INFORMATION
Item 1.	Financial Statements	1
	Statements of Condition (Unaudited)	1
	Statements of Income (Unaudited)	2
	Statements of Comprehensive Income (Unaudited)	3
	Statements of Capital Accounts (Unaudited)	4
	Statements of Cash Flows (Unaudited)	5
	Notes to Financial Statements (Unaudited)	7
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	49
	Quarterly Overview	50
	Financial Highlights	53
	Results of Operations	54
	Financial Condition	60
	Liquidity and Capital Resources	70
	Risk Management	72
	Critical Accounting Policies and Estimates	82
	Recently Issued Accounting Standards and Interpretations	83
	Recent Developments	83
	Off-Balance Sheet Arrangements and Other Commitments	85
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	86
Item 4.	Controls and Procedures	91
PART II.	OTHER INFORMATION
Item 1.	Legal Proceedings	92
Item 1A.	Risk Factors	92
Item 5.	Other Information	92
Item 6.	Exhibits	93
Signatures		94

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		—			27		(13		)	7,610
PLRMBS:
Prime	213		—			17		—			230
Alt-A	2,116		(9		)	260		—			2,367
Subtotal PLRMBS	2,329		(9		)	277		—			2,597
Total MBS	9,925		(9		)	304		(13		)	10,207
Total	$	15,206	$	(9	)	$	311	$	(13	)	$	15,495

(1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts, net charge-offs, and valuation adjustments for hedging activities, and excludes accrued interest receivable of $51 and $58 at March 31, 2020, and December 31, 2019, respectively.

12

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

(2) Effective January 1, 2020, the Bank completed an analysis to determine whether to record an allowance for credit losses for expected credit losses on AFS securities. Prior to January 1, 2020, credit losses were recorded as a direct write-down to the AFS security carrying value. OTTI recognized in AOCI excludes subsequent unrealized gains/(losses) in fair value of previously other-than-temporarily impaired AFS securities at December 31, 2019, which is included in net non-credit-related OTTI on AFS securities.

(3) Includes $277 in subsequent unrealized gains in fair value of previously other-than-temporarily impaired AFS securities at December 31, 2019.

At March 31, 2020, the amortized cost of the Bank’s MBS classified as AFS included premiums of $68, discounts of $50, and credit-related OTTI of $547 for AFS securities with an OTTI recognized pursuant to the impairment guidance in effect prior to January 1, 2020. At December 31, 2019, the amortized cost of the Bank’s MBS classified as AFS included premiums of $65, discounts of $52, and credit-related OTTI of $574.

The following tables summarize the AFS securities with unrealized losses as of March 31, 2020, and December 31, 2019. 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. At December 31, 2019, 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 as of December 31, 2019, also include non-credit-related OTTI losses recognized in AOCI.

March 31, 2020
	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	$	104	$	—	$	—	$	—	$	104	$	—
MBS:
MBS – GSEs – multifamily:
Freddie Mac	$	833	$	24	$	—	$	—	$	833	$	24
Fannie Mae	7,402		216		235		12		7,637		228
Subtotal MBS – GSEs – multifamily	8,235		240		235		12		8,470		252
PLRMBS:
Prime	109		1		6		1		115		2
Alt-A	747		37		161		27		908		64
Subtotal PLRMBS	856		38		167		28		1,023		66
Total MBS	9,091		278		402		40		9,493		318
Total	$	9,195	$	278	$	402	$	40	$	9,597	$	318

December 31, 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 – GSEs – multifamily:
Freddie Mac	$	211	$	—	$	—	$	—	$	211	$	—
Fannie Mae	2,433		9		623		4		3,056		13
Subtotal MBS – GSEs – multifamily	2,644		9		623		4		3,267		13
PLRMBS:
Prime	4		—		8		—		12		—
Alt-A	75		—		193		9		268		9
Subtotal PLRMBS	79		—		201		9		280		9
Total	$	2,723	$	9	$	824	$	13	$	3,547	$	22

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 March 31, 2020, and December 31, 2019, are

13

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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.

March 31, 2020
Year of Contractual Maturity	Amortized Cost		Estimated Fair Value
AFS securities other than MBS:
Due in 1 year or less	$	3,290	$	3,293
Due after 1 year through 5 years	2,057		2,060
Subtotal	5,347		5,353
MBS	11,080		10,822
Total	$	16,427	$	16,175

December 31, 2019
Year of Contractual Maturity	Amortized Cost		Estimated Fair Value
AFS securities other than MBS:
Due in 1 year or less	$	2,309	$	2,312
Due after 1 year through 5 years	2,972		2,976
Subtotal	5,281		5,288
MBS	9,925		10,207
Total	$	15,206	$	15,495

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:  

March 31, 2020
	Amortized Cost(1)		OTTI Recognized in AOCI(2)			Net Carrying Value		Gross Unrecognized Holding Gains(3)		Gross Unrecognized Holding Losses(3)			Estimated Fair Value
MBS – Other U.S. obligations – single-family:
Ginnie Mae	$	441	$	—		$	441	$	15	$	—		$	456
MBS – GSEs – single-family:
Freddie Mac	952		—			952		20		—			972
Fannie Mae	1,686		—			1,686		28		(3		)	1,711
Subtotal MBS – GSEs – single-family	2,638		—			2,638		48		(3		)	2,683
MBS – GSEs – multifamily:
Freddie Mac	2,388		—			2,388		—		(25		)	2,363
Fannie Mae	1,039		—			1,039		—		(2		)	1,037
Subtotal MBS – GSEs – multifamily	3,427		—			3,427		—		(27		)	3,400
Subtotal MBS – GSEs	6,065		—			6,065		48		(30		)	6,083
PLRMBS:
Prime	229		—			229		—		(21		)	208
Alt-A	130		(1		)	129		2		(11		)	120
Subtotal PLRMBS	359		(1		)	358		2		(32		)	328
Total	$	6,865	$	(1	)	$	6,864	$	65	$	(62	)	$	6,867

14

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

 

December 31, 2019
	Amortized Cost(1)		OTTI Recognized in AOCI(2)			Carrying Value		Gross Unrecognized Holding Gains(3)		Gross Unrecognized Holding Losses(3)			Estimated Fair Value
MBS – Other U.S. obligations – single-family:
Ginnie Mae	$	470	$	—		$	470	$	5	$	—		$	475
MBS – GSEs – single-family:
Freddie Mac	1,063		—			1,063		8		(1		)	1,070
Fannie Mae	1,844		—			1,844		20		(1		)	1,863
Subtotal MBS – GSEs – single-family	2,907		—			2,907		28		(2		)	2,933
MBS – GSEs – multifamily:
Freddie Mac	2,625		—			2,625		—		(9		)	2,616
Fannie Mae	1,159		—			1,159		—		(2		)	1,157
Subtotal MBS – GSEs – multifamily	3,784		—			3,784		—		(11		)	3,773
Subtotal MBS – GSEs	6,691		—			6,691		28		(13		)	6,706
PLRMBS:
Prime	243		—			243		1		(4		)	240
Alt-A	142		(1		)	141		6		(2		)	145
Subtotal PLRMBS	385		(1		)	384		7		(6		)	385
Total	$	7,546	$	(1	)	$	7,545	$	40	$	(19	)	$	7,566

(1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and net charge offs, and excludes accrued interest receivable of $10 and $12 at March 31, 2020, and December 31, 2019, respectively.

(2) With the adoption of new accounting guidance for the measurement of credit losses on financial instruments on January 1, 2020, the OTTI approach was replaced with an evaluation for an allowance for credit loss; however, OTTI remains for those securities that had credit impairment prior to the adoption date.

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

Expected maturities of MBS classified as HTM 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.

At March 31, 2020, the amortized cost of the Bank’s MBS classified as HTM included premiums of $7, discounts of $10, and credit-related OTTI of $6 for HTM securities with an OTTI recognized pursuant to the impairment guidance in effect prior to January 1, 2020. At December 31, 2019, the amortized cost of the Bank’s MBS classified as HTM included premiums of $8, discounts of $11, and credit-related OTTI of $7.

Allowance for Credit Losses on AFS and HTM Securities. The Bank adopted new accounting guidance for the measurement of credit losses on financial instruments on January 1, 2020. For additional information, see Note 2 – Recently Issued and Adopted Accounting Guidance. For information on the prior methodology for evaluating credit losses, see “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2019 Form 10-K.

During the three months ended March 31, 2020, the Bank recognized a provision for credit losses of $39 associated with PLRMBS classified as AFS and no provision for credit losses associated with HTM investments. Under the previous accounting methodology of security impairment, the Bank recognized credit-related net OTTI loss of $1 during the three months ended March 31, 2019. To evaluate investment securities for credit loss at March 31, 2020, the Bank employed the following methodologies, based on the type of security.

AFS and HTM Securities (Excluding PLRMBS) – The Bank’s AFS and HTM securities are principally U.S. obligations and MBS issued by Ginnie Mae, Freddie Mac, and Fannie Mae that are backed by single-family or multifamily mortgage loans. The Bank only purchases securities considered investment quality. Excluding PLRMBS investments, at March 31, 2020, approximately 100% of AFS securities and HTM securities, based on

15

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

amortized cost, were rated A, or above, by an NRSRO, based on the lowest long-term credit rating for each security. These may differ from any internal ratings of the securities by the Bank, if applicable.

At March 31, 2020, certain of the Bank’s AFS securities were in an unrealized loss position. These losses are considered temporary as the Bank expects to recover the entire amortized cost basis on these AFS investment securities and neither intends to sell these securities nor considers it more likely than not that it will be required to sell these securities before its anticipated recovery of each security's remaining amortized cost basis. Further, the Bank has not experienced any payment defaults on the instruments. In addition, substantially all of these securities carry an implicit or explicit government guarantee. As a result, no allowance for credit losses was recorded on these AFS securities at March 31, 2020.

As of March 31, 2020, the Bank had not established an allowance for credit loss on any of its HTM securities because the securities: (i) were all highly rated or had short remaining terms to maturity, (ii) had not experienced, nor did the Bank expect, any payment default on the instruments, and (iii) in the case of GSE or other U.S. obligations, carry an implicit or explicit government guarantee such that the Bank consider the risk of nonpayment to be zero.

Private-Label Residential Mortgage-Backed Securities – The Bank also holds investments in PLRMBS. The Bank has not purchased any PLRMBS since the first quarter of 2008. However, many of these securities have subsequently experienced significant credit deterioration. As of March 31, 2020, approximately 7% of PLRMBS (AFS and HTM combined, based on amortized cost) were rated A, or above, by an NRSRO; and the remaining securities were either rated less than A, or were unrated. To determine whether an allowance for credit loss is necessary on these securities, the Bank uses cash flow analyses. For certain PLRMBS where underlying collateral data is not available, alternative procedures as determined by the Bank are used to assess these securities for credit loss measurement.

At each quarter end, the Bank compares the present value of the cash flows expected to be collected on its PLRMBS, using the effective interest rate, to the amortized cost basis of the securities to determine whether a credit loss exists. The expected credit losses are measured using:

• the remaining payment terms for the security;

• prepayment speeds based on underlying loan-level borrower and loan characteristics;

• expected default rates based on underlying loan-level borrower and loan characteristics;

• expected housing price changes;

• expected interest rate assumptions; and

• loss severities on the collateral supporting each unique PLRMBS based on underlying loan-level borrower and loan characteristics.

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 management’s expectations and includes a base case housing price forecast for near- and long-term horizons.

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 with an OTTI recognized pursuant to the impairment guidance in effect prior to January 1, 2020, as of March 31, 2020 (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 fair value of PLRMBS classified as Level 3 as of March 31, 2020, and the related current credit enhancement for the Bank.

16

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

March 31, 2020
	Significant Inputs for Other-Than-Temporarily Impaired PLRMBS
	Prepayment Rates	Default Rates	Loss Severities
Collateral Type at Origination	Weighted Average % (1)	Weighted Average % (1)	Weighted Average % (1)
Prime	16.3	11.2	54.1
Alt-A	15.0	16.1	40.3
Total	15.0	16.0	40.6

(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 months ended March 31, 2020 and 2019.

	Three Months Ended March 31,
	2020			2019
Balance, beginning of the period	$	1,021		$	1,077
Additional charges on securities for which OTTI was previously recognized(1)	—			1
Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities(2)	(17		)	(15		)
Balance, end of the period	$	1,004		$	1,063

(1) For the three months ended March 31, 2019, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2020.

(2) The total net accretion/(amortization) associated with PLRMBS that were other-than-temporarily impaired prior to January 1, 2020, (amount recognized in interest income) totaled $20 and $18 for the three months ended March 31, 2020 and 2019, respectively.

In general, the Bank elects to transfer any PLRMBS that incurred a credit loss during the applicable period from the Bank’s HTM portfolio to its AFS portfolio at their fair values. The Bank recognized a 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 transferred PLRMBS from its HTM portfolio to its AFS portfolio with an amortized cost and fair value of $1 during the three months ended March 31, 2020. The Bank did not transfer any PLRMBS from its HTM portfolio to its AFS portfolio during the three months ended March 31, 2019.

For the Bank’s PLRMBS, the Bank experienced declines in fair value in March 2020 as a result of disruptions in the financial markets combined with illiquidity in the PLRMBS market and decreased expectations of the performance of loan collateral underlying these securities, which caused these assets to be valued at discounts to their amortized cost. As a result, an allowance for credit losses of $39 was recorded on these securities as of March 31, 2020.

17

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Note 4 — 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 0.13% to 8.57% at March 31, 2020, and 1.15% to 8.57% at December 31, 2019, as summarized below.

	March 31, 2020				December 31, 2019
Redemption Term	Amount Outstanding(1)		Weighted Average Interest Rate		Amount Outstanding(1)		Weighted Average Interest Rate
Within 1 year	$	37,311	1.04	%	$	32,351	1.91	%
After 1 year through 2 years	26,281		1.65		22,380		2.15
After 2 years through 3 years	3,784		2.12		4,847		2.08
After 3 years through 4 years	3,520		2.67		2,909		2.97
After 4 years through 5 years	4,308		1.43		1,461		2.32
After 5 years	1,684		2.40		1,140		2.96
Total par value	76,888		1.43	%	65,088		2.08	%
Valuation adjustments for hedging activities	812				203
Valuation adjustments under fair value option	172				83
Total	$	77,872			$	65,374

(1) Carrying amounts exclude accrued interest receivable of $30 and $39 at March 31, 2020, and December 31, 2019, respectively.

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 $23,430 at March 31, 2020, and $14,059 at December 31, 2019. The Bank had advances with partial prepayment symmetry outstanding totaling $3,387 at March 31, 2020, and $3,513 at December 31, 2019. Some advances may be repaid on pertinent call dates without prepayment fees (callable advances). The Bank had callable advances outstanding totaling $11,444 at March 31, 2020, and $14,024 at December 31, 2019.

The Bank had putable advances totaling $220 at March 31, 2020, and $20 at December 31, 2019. 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 March 31, 2020, and December 31, 2019, 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.

18

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	Earlier of Redemption Term or Next Call Date				Earlier of Redemption Term or Next Put Date
	March 31, 2020		December 31, 2019		March 31, 2020		December 31, 2019
Within 1 year	$	43,383	$	39,075	$	37,531	$	32,371
After 1 year through 2 years	20,231		15,731		26,281		22,380
After 2 years through 3 years	3,782		4,800		3,784		4,847
After 3 years through 4 years	3,520		2,895		3,520		2,909
After 4 years through 5 years	4,288		1,447		4,308		1,461
After 5 years	1,684		1,140		1,464		1,120
Total par value	$	76,888	$	65,088	$	76,888	$	65,088

Concentration Risk. The following tables present the concentration in advances to the top five borrowers and their affiliates at March 31, 2020 and 2019. 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 months ended March 31, 2020 and 2019.

	March 31, 2020				Three Months Ended March 31, 2020
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
First Republic Bank	$	16,250	21	%	$	70	22	%
MUFG Union Bank, National Association	10,900		14		62		19
Wells Fargo & Company
Wells Fargo Financial National Bank West(2)	9,000		12		35		11
Wells Fargo Bank, National Association(3)	36		—		1		—
Subtotal Wells Fargo & Company	9,036		12		36		11
Bank of the West	8,206		11		21		7
JPMorgan Chase Bank, National Association(3)	3,053		4		25		8
Subtotal	47,445		62		214		67
Others	29,443		38		105		33
Total par value	$	76,888	100	%	$	319	100	%

19

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	March 31, 2019				Three Months Ended March 31, 2019
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
MUFG Union Bank, National Association	$	14,550	21	%	$	103	22	%
JPMorgan Chase Bank, National Association(3)	8,358		12		60		13
Wells Fargo & Company
Wells Fargo Financial National Bank(2)	8,000		11		47		10
Wells Fargo Bank, National Association(3)	45		—		1		—
Subtotal Wells Fargo & Company	8,045		11		48		10
First Republic Bank	8,000		11		49		10
Bank of the West	6,807		10		43		9
Subtotal	45,760		65		303		64
Others	24,415		35		174		36
Total par value	$	70,175	100	%	$	477	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.

Credit Risk Exposure and Security Terms. The Bank manages its credit exposure related to advances 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.

In addition, the Bank lends to eligible borrowers in accordance with federal law and Finance Agency regulations. Specifically, the Bank is required to obtain sufficient collateral to fully secure credit products up to the member’s total credit limit. Borrowers may pledge the following eligible assets to secure advances:

• one-to-four-family first lien residential mortgage loans;

• securities issued, insures, or guaranteed by the U.S. government or any of its agencies, including without limitation MBS backed by Fannie Mae, Freddie Mac, or Ginnie Mae;

• cash or deposits in the Bank;

• certain other real estate-related collateral, such as multifamily loans, commercial real estate loans, and second lien residential mortgage loans or home equity loans; and

• small business, small farm, and small agribusiness loans that are fully secured by collateral (such as real estate, equipment and vehicles, accounts receivable, and inventory) from members that are community financial institutions.

At March 31, 2020 and December 31, 2019, none of the Bank’s credit products were past due or on nonaccrual status. There were no troubled debt restructurings related to credit products during the three months ended March 31, 2020, or during 2019.

Based on the collateral pledged as security for advances, the Bank’s credit analyses of borrowers’ financial condition, repayment history on advances, and the Bank’s credit extension and collateral policies as of March 31, 2020, the Bank expects to collect all amounts due according to the contractual terms. Therefore, no allowance for losses on advances was deemed necessary by the Bank as of March 31, 2020, and December 31, 2019.

20

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

For more information on the credit risk exposure and security terms of advances, see “Item 8. Financial Statements and Supplementary Data – Note 10 – Allowance for Credit Losses” in the Bank’s 2019 Form 10-K

Interest Rate Payment Terms. Interest rate payment terms for advances at March 31, 2020, and December 31, 2019, are detailed below:

	March 31, 2020		December 31, 2019
Par value of advances:
Fixed rate:
Due within 1 year	$	21,846	$	15,327
Due after 1 year	28,277		21,337
Total fixed rate	50,123		36,664
Adjustable rate:
Due within 1 year	15,465		17,024
Due after 1 year	11,300		11,400
Total adjustable rate	26,765		28,424
Total par value	$	76,888	$	65,088

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 March 31, 2020, or December 31, 2019. 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 11 – Derivatives and Hedging Activities and Note 12 – Fair Value.

Note 5 — Mortgage Loans Held for Portfolio

The following table presents information as of March 31, 2020, and December 31, 2019, on mortgage loans, all of which are secured by one- to four-unit residential properties and single-unit second homes.

	March 31, 2020			December 31, 2019
Fixed rate medium-term mortgage loans	$	29		$	27
Fixed rate long-term mortgage loans	3,150			3,199
Subtotal	3,179			3,226
Unamortized premiums	66			91
Unamortized discounts	(3		)	(3		)
Mortgage loans held for portfolio(1)	3,242			3,314
Less: Allowance for credit losses	(3		)	—
Total mortgage loans held for portfolio, net	$	3,239		$	3,314

(1) Excludes accrued interest receivable of $19 at March 31, 2020, and December 31, 2019.

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

Payment Status of Mortgage Loans. Payment status is the key credit quality indicator for conventional mortgage loans and allows the Bank to monitor the migration of past due loans. Past due loans are those where the borrower has failed to make timely payments of principal and/or interest in accordance with the terms of the loan. Other delinquency statistics include nonaccrual loans and loans in process of foreclosure. The following tables present the payment status for mortgage loans and other delinquency statistics for Bank’s mortgage loans at March 31, 2020, and December 31, 2019.

21

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

March 31, 2020
	Origination Year
Payment Status	<2016		2016 to 2020		Amortized Cost(1)
30 – 59 days delinquent	$	12	$	3	$	15
60 – 89 days delinquent	3		2		5
90 days or more delinquent	3		4		7
Total past due	18		9		27
Total current loans	2,981		234		3,215
Total MPF	$	2,999	$	243	$	3,242
In process of foreclosure, included above(2)					$	1
Nonaccrual loans(3)					$	7
Serious delinquencies as a percentage of total mortgage loans outstanding(4)					0.22		%

December 31, 2019
Payment Status	Recorded Investment(1)
30 – 59 days delinquent	$	15
60 – 89 days delinquent	2
90 days or more delinquent	7
Total past due	24
Total current loans	3,310
Total MPF	$	3,334
In process of foreclosure, included above(2)	$	—
Nonaccrual loans	$	7
Serious delinquencies as a percentage of total mortgage loans outstanding(4)	0.22		%

(1) With the adoption of new accounting guidance for the measurement of credit losses on financial instruments on January 1, 2020, payment status of mortgage loans is disclosed at amortized cost. The recorded investment at December 31, 2019, 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. The amortized cost at March 31, 2020, in a loan is the unpaid principal balance of the loan, adjusted for net deferred loan fees or costs, unamortized premiums or discounts, and direct write-downs.

(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) At March 31, 2020, $6 of these mortgage loans on nonaccrual status did not have an associated allowance for credit losses.

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

Allowance for Credit Losses on MPF Loans. MPF loans are evaluated collectively when similar risk characteristics exist. MPF loans that do not share risk characteristics with other pools are evaluated for expected credit losses on an individual basis, factoring in the credit enhancement structure at the master commitment level. The Bank determines its allowances for credit losses on MPF loans through analyses that include consideration of various loan portfolio and collateral-related characteristics, such as past performance, current conditions, and reasonable and supportable forecasts of expected economic conditions. The Bank uses models that employ a variety of methods, such as projected cash flows, to estimate expected credit losses over the life of the loans. These models rely on a number of inputs, such as current and forecasted property values and interest rates as well as historical borrower behavior experience. At March 31, 2020, the Bank’s reasonable and supportable forecast of housing prices expects, on average, for prices to appreciate 1% over a one-year forecast horizon before reverting to long-term housing price appreciation rates of 4% over a three-year forecast horizon based on historical averages. The Bank also incorporates associated credit enhancements, if any, to determine its estimate of expected credit losses.

Certain MPF loans may be evaluated for credit losses by the Bank using the practical expedient for collateral-dependent assets. A mortgage loan is considered collateral-dependent if repayment is expected to be provided by the

22

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

sale of the underlying property, that is, if it is considered likely that the borrower will default. The Bank may estimate the fair value of this collateral by applying an appropriate loss severity rate or using third-party estimates or property valuation models. The expected credit loss of a collateral-dependent mortgage loan is equal to the difference between the amortized cost of the loan and the estimated fair value of the collateral, less estimated selling costs. The Bank will either reserve for these estimated losses or record a direct charge-off of the loan balance, if certain triggering criteria are met. Expected recoveries of prior charge-offs, if any, are included in the allowance for credit loss.

Upon adoption of new accounting guidance for the measurement of credit losses on financial instruments applied prospectively on January 1, 2020, the Bank recorded an adjustment for the cumulative effect of the accounting change of $3. The amounts of charge-offs and recoveries of allowance for credit losses on the mortgage loan portfolio were de minimis during the three months ended March 31, 2020 and 2019, which resulted in an allowance for credit losses on MPF loans of $3 and a de minimis amount at March 31, 2020, and December 31, 2019, respectively.

See “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” and “Item 8. Financial Statements and Supplementary Data – Note 10 – Allowance for Credit Losses” in the Bank’s 2019 Form 10-K for information on the prior methodology for evaluating credit losses, as well as a discussion on classes of financing receivables, placing them on nonaccrual status, and charging them off when necessary. 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 2019 Form 10-K.

Note 6 — 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 March 31, 2020, and December 31, 2019, were as follows:

	March 31, 2020				December 31, 2019
	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding		Weighted Average Interest Rate
Interest-bearing deposits:
Adjustable rate	$	574	0.01	%	$	427	1.30	%
Fixed rate	2		0.30		—		—
Total interest-bearing deposits	576				427
Non-interest-bearing deposits	145				110
Total	$	721			$	537

Note 7 — Consolidated Obligations

Consolidated obligations, consisting of consolidated obligation bonds and discount notes, are jointly issued by the Federal Home Loan Banks (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

23

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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 2019 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 March 31, 2020, and December 31, 2019.

	March 31, 2020					December 31, 2019
Contractual Maturity	Amount Outstanding			Weighted Average Interest Rate		Amount Outstanding			Weighted Average Interest Rate
Within 1 year	$	62,453		0.51	%	$	53,549		1.68	%
After 1 year through 2 years	11,690			0.46		13,853			1.67
After 2 years through 3 years	596			1.84		770			1.93
After 3 years through 4 years	165			2.14		135			2.74
After 4 years through 5 years	812			1.82		937			2.08
After 5 years	2,191			2.71		2,126			2.94
Total par value	77,907			0.59	%	71,370			1.73	%
Unamortized premiums	3					1
Unamortized discounts	(9		)			(10		)
Valuation adjustments for hedging activities	32					9
Fair value option valuation adjustments	4					2
Total	$	77,937				$	71,372

The Bank’s participation in consolidated obligation bonds outstanding includes callable bonds of $4,075 at March 31, 2020, and $6,345 at December 31, 2019. 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 $245 at March 31, 2020, and $2,085 at December 31, 2019. 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 March 31, 2020, and December 31, 2019, was as follows:

	March 31, 2020		December 31, 2019
Par value of consolidated obligation bonds:
Non-callable	$	73,832	$	65,025
Callable	4,075		6,345
Total par value	$	77,907	$	71,370

The following is a summary of the Bank’s participation in consolidated obligation bonds outstanding at March 31, 2020, and December 31, 2019, by the earlier of the year of contractual maturity or next call date.

24

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Earlier of Contractual Maturity or Next Call Date	March 31, 2020		December 31, 2019
Within 1 year	$	65,778	$	58,239
After 1 year through 2 years	11,620		12,768
After 2 years through 3 years	381		195
After 3 years through 4 years	40		70
After 4 years through 5 years	37		47
After 5 years	51		51
Total par value	$	77,907	$	71,370

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:

	March 31, 2020					December 31, 2019
	Amount Outstanding			Weighted Average Interest Rate (1)		Amount Outstanding			Weighted Average Interest Rate (1)
Par value	$	39,155		0.84	%	$	27,447		1.61	%
Unamortized discounts	(53		)			(71		)
Total	$	39,102				$	27,376

(1) Represents yield to maturity excluding concession fees.

Interest Rate Payment Terms. Interest rate payment terms for consolidated obligations at March 31, 2020, and December 31, 2019, 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 2019 Form 10-K.

	March 31, 2020		December 31, 2019
Par value of consolidated obligations:
Bonds:
Fixed rate	$	7,623	$	10,993
Adjustable rate	70,099		60,117
Step-up	60		60
Step-down	25		100
Range bonds	100		100
Total bonds, par value	77,907		71,370
Discount notes, par value	39,155		27,447
Total consolidated obligations, par value	$	117,062	$	98,817

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 March 31, 2020, or December 31, 2019. 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 11 – Derivatives and Hedging Activities and Note 12 – Fair Value.

25

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Note 8 — Accumulated Other Comprehensive Income/(Loss)

The following table summarizes the changes in AOCI for the three months ended March 31, 2020 and 2019:

	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, 2018	$	(32	)	$	287		$	(3	)	$	(17	)	$	235
Other comprehensive income/(loss) before reclassifications:
Net change in fair value	38			14									52
Net current period other comprehensive income/(loss)	38			14			—			—			52
Balance, March 31, 2019	$	6		$	301		$	(3	)	$	(17	)	$	287
Balance, December 31, 2019	$	21		$	268		$	(1	)	$	(14	)	$	274
Other comprehensive income/(loss) before reclassifications:
Net change in fair value	(502		)	—									(502		)
Net current period other comprehensive income/(loss)	(502		)	—			—			—			(502		)
Adoption of ASU 2016-13, as amended(1)	268			(268		)							—
Balance, March 31, 2020	$	(213	)	$	—		$	(1	)	$	(14	)	$	(228	)

(1) With the adoption of changes to accounting standards on measurement of credit losses for financial instruments on January 1, 2020, OTTI assessment was replaced with an evaluation for an allowance for credit loss (see Note 1 – Basis of Presentation and Note 2 – Recently Issued and Adopted Accounting Guidance for further information).

Note 9 — Capital

Capital Requirements. Under the Housing Act, the Director of the Finance Agency is responsible for setting the risk-based capital standards for the FHLBanks. The FHLBank Act and regulations governing the operations of the FHLBanks require that the Bank’s minimum capital stock requirement for shareholders must be sufficient to enable the Bank to meet its regulatory requirements for total capital, leverage capital, and risk-based capital. The Bank must maintain: (i) total regulatory capital in an amount equal to at least 4% of its total assets, (ii) leverage capital in an amount equal to at least 5% of its total assets, and (iii) permanent capital in an amount that is greater than or equal to its risk-based capital requirement.

Beginning in February 2020, the Finance Agency issued guidance that augmented 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. 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. As of March 31, 2020, the Bank was in compliance with this 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.

26

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

As of March 31, 2020, and December 31, 2019, the Bank was in compliance with these capital rules and requirements as shown in the following table.

	March 31, 2020						December 31, 2019
	Required			Actual			Required			Actual
Risk-based capital	$	1,411		$	6,718		$	1,519		$	6,605
Total regulatory capital	$	4,995		$	6,718		$	4,274		$	6,605
Total regulatory capital ratio	4.00		%	5.38		%	4.00		%	6.18		%
Leverage capital	$	6,244		$	10,078		$	5,342		$	9,908
Leverage ratio	5.00		%	8.07		%	5.00		%	9.27		%

Mandatorily Redeemable Capital Stock. The Bank had mandatorily redeemable capital stock totaling $83 outstanding to three institutions at March 31, 2020, and $138 outstanding to three institutions at December 31, 2019. The change in mandatorily redeemable capital stock for three months ended March 31, 2020 and 2019, was as follows:

	March 31, 2020			March 31, 2019
Balance at the beginning of the period	$	138		$	227
Reclassified from/(to) capital during the period	3			—
Repurchase of excess mandatorily redeemable capital stock	(58		)	—
Balance at the end of the period	$	83		$	227

Cash dividends on mandatorily redeemable capital stock were recorded as interest expense in the amount of $2 and $4 for the three months ended March 31, 2020 and 2019, 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 2019 Form 10-K.

The following table presents mandatorily redeemable capital stock amounts by contractual redemption period at March 31, 2020, and December 31, 2019.

Contractual Redemption Period	March 31, 2020		December 31, 2019
Within 1 year	$	81	$	135
Past contractual redemption date because of remaining activity(1)	2		3
Total	$	83	$	138

(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.

27

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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 Board may also revise or eliminate the dividend policy in the future. The Bank’s historical dividend rates and the dividend philosophy are not indicative of future dividend declarations.

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 198% as of March 31, 2020.

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 and resulted in a required level of retained earnings of $2,400. In January 2020, the methodology was further revised and resulted in a required level of retained earnings of $2,500. The Bank satisfies its retained earnings requirement with both restricted retained earnings (i.e., amounts related to the Joint Capital Enhancement (JCE) 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 $713 at March 31, 2020, and December 31, 2019. The Bank’s unrestricted retained earnings totaled $2,691 and $2,754 at March 31, 2020, and December 31, 2019, 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 2019 Form 10-K.

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

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. Excess capital stock totaled $175, or 0.14% of total assets as of March 31, 2020. Excess capital stock totaled $197, or 0.18% of total assets as of December 31, 2019.

In the first quarter of 2020, the Bank paid dividends at an annualized rate of 7.00%, totaling $54, including $52 in dividends on capital stock and $2 in dividends on mandatorily redeemable capital stock. In the first quarter of 2019,

28

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

the Bank paid dividends at an annualized rate of 7.00%, totaling $54, including $50 in dividends on capital stock and $4 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 April 27, 2020, the Bank’s Board of Directors declared a quarterly cash dividend on the capital stock outstanding during the first quarter of 2020 at an annualized rate of 5.00%, totaling $39, including $37 in dividends on capital stock and $2 in dividends on mandatorily redeemable capital stock. The Bank recorded the dividend on April 27, 2020. The Bank expects to pay the dividend on May 14, 2020. Dividends on mandatorily redeemable capital stock will be recognized as interest expense in the second quarter of 2020.

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 $431 and $344 in excess capital stock during the first quarter of 2020 and 2019, 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 first quarter of 2020 and 2019, 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.

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 March 31, 2020, or December 31, 2019.

	March 31, 2020				December 31, 2019
Name of Institution	Capital Stock Outstanding		Percentage of Total Capital Stock Outstanding		Capital Stock Outstanding		Percentage of Total Capital Stock Outstanding
First Republic Bank	$	494	15	%	$	368	12	%
MUFG Union Bank, National Association	294		9		394		12
Subtotal	788		24		762		24
Others	2,526		76		2,376		76
Total	$	3,314	100	%	$	3,138	100	%

29

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Note 10 — 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, excludes interest income and expense associated with ineffectiveness from fair value hedges that are recorded in the same line as the earnings effect of the hedged item, 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 2019 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 AHP assessment for the three months ended March 31, 2020 and 2019.

	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 Provision for/(Reversal of) Credit Losses		Other Income/ (Loss)		Other Expense		Income/(Loss) Before AHP Assessment
Three months ended:
March 31, 2020	$	63	$	12	$	75	$	71	$	(8	)	$	2	$	10	$	18	$	36	$	(8	)
March 31, 2019	86		68		154		11		(5		)	4		144		15		43		116

(1) The mortgage-related business includes total accretion or amortization associated with other-than-temporarily impaired PLRMBS, which are recognized in interest income, and totaled $20 and $18 for the three months ended March 31, 2020 and 2019, respectively. The mortgage-related business includes a provision for credit losses of $39 for the three months ended March 31, 2020. The mortgage-related business does not include credit-related OTTI losses of $1 for the three months ended March 31, 2019.

(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 March 31, 2020, and December 31, 2019.

	Advances- Related Business		Mortgage- Related Business		Total Assets
March 31, 2020	$	103,877	$	20,993	$	124,870
December 31, 2019	85,709		21,133		106,842

Note 11 — 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

30

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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 based on a daily repricing index, such as the Secured Overnight Financing Rate (SOFR) or the effective Fed Funds 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 Statements 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 as well as agency MBS. 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

31

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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. 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.”

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.

32

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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 2019 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 March 31, 2020, and December 31, 2019. For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest.

	March 31, 2020							December 31, 2019
	Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities			Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	46,837	$	24	$	1,011		$	39,622	$	31		$	370
Total	46,837		24		1,011			39,622		31			370
Derivatives not designated as hedging instruments:
Interest rate swaps	70,963		18		44			60,424		13			14
Interest rate caps and floors	980		—		—			980		—			—
Mortgage delivery commitments	87		3		—			46		—			—
Total	72,030		21		44			61,450		13			14
Total derivatives before netting and collateral adjustments	$	118,867	45		1,055			$	101,072	44			384
Netting adjustments and cash collateral(1)			17		(1,055		)			(11		)	(384		)
Total derivative assets and total derivative liabilities			$	62	$	—				$	33		$	—

(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 $1,082 and $378 at March 31, 2020, and December 31, 2019, respectively. Cash collateral received and related accrued interest was $9 and $5 at March 31, 2020, and December 31, 2019, respectively.

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 months ended March 31, 2020 and 2019.

33

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	Three Months Ended March 31, 2020
	Interest Income/(Expense)
	Advances			AFS Securities			Consolidated Obligation Bonds
Total interest income/(expense) presented in the Statements of Income	$	279		$	51		$	(276	)
Gain/(loss) on fair value hedging relationships
Derivatives(1)	$	(651	)	$	(968	)	$	26
Hedged items	610			893			(23		)
Net gain/(loss) on fair value hedging relationships	$	(41	)	$	(75	)	$	3

	Three Months Ended March 31, 2019
	Interest Income/(Expense)
	Advances			AFS Securities			Consolidated Obligation Bonds
Total income/(expense) presented in the Statements of Income	$	498		$	79		$	(455	)
Gain/(loss) on fair value hedging relationships
Derivatives(1)	$	(82	)	$	(128	)	$	19
Hedged items	103			117			(28		)
Net gain/(loss) on fair value hedging relationships	$	21		$	(11	)	$	(9	)

(1) 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 March 31, 2020.

	March 31, 2020
Hedged Item Type	Amortized Cost of Hedged Asset/(Liability)(1)			Basis Adjustments for Active Hedging Relationships Included in Amortized Cost			Basis Adjustments for Discontinued Hedging Relationships Included in Amortized Cost		Cumulative Amount of Fair Value Hedging Basis Adjustments
Advances	$	32,880		$	804		$	8	$	812
AFS securities	14,195			1,275			49		1,324
Consolidated obligation bonds	(2,707		)	(32		)	—		(32		)

(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 months ended March 31, 2020 and 2019.

34

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	Three Months Ended
	March 31, 2020			March 31, 2019
	Gain/(Loss)			Gain/(Loss)
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	$	(143	)	$	(23	)
Interest rate caps and floors	—			(1		)
Net settlements	(8		)	(5		)
Mortgage delivery commitments	4			1
Net gain/(loss) on derivatives and hedging activities	$	(147	)	$	(28	)

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 March 31, 2020, was $1,036, for which the Bank had posted cash collateral of $1,070 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 tables present 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 March 31,

35

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

2020, and December 31, 2019.

	March 31, 2020
	Derivative Instruments Meeting Netting Requirements
	Amount Recognized		Gross Amount of Netting Adjustments and Cash Collateral			Derivative Instruments Not Meeting Netting Requirements(1)		Total Derivative Assets and Total Derivative Liabilities		Noncash Collateral Not Offset That  Can Be Sold or Repledged			Net Amount
Derivative Assets
Uncleared	$	15	$	20		$	3	$	38	$	—		$	38
Cleared	27		(3		)	—		24		(643		)	667
Total								$	62				$	705
Derivative Liabilities
Uncleared	$	1,041	$	(1,041	)	$	—	$	—	$	—		$	—
Cleared	14		(14		)	—		—		—			—
Total								$	—				$	—

	December 31, 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	$	34	$	(16	)	$	18	$	—		$	18
Cleared	10		5			15		(381		)	396
Total						$	33				$	414
Derivative Liabilities
Uncleared	$	382	$	(382	)	$	—	$	—		$	—
Cleared	2		(2		)	—		—			—
Total						$	—				$	—

(1) Represents derivatives that are not subject to an enforceable netting agreement (e.g., mortgage delivery commitments).

Note 12 — 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 March 31, 2020, and December 31, 2019. 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

36

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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 net carrying value or carrying value, as applicable, the estimated fair value, and the fair value hierarchy level of the Bank’s financial instruments at March 31, 2020, and December 31, 2019. 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.

	March 31, 2020
	Net Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral(1)
Assets
Cash and due from banks	$	328	$	328	$	328	$	—	$	—	$	—
Interest-bearing deposits	3,577		3,577		3,577		—		—		—
Securities purchased under agreements to resell	2,000		2,000		—		2,000		—		—
Federal funds sold	10,081		10,081		—		10,081		—		—
Trading securities	4,319		4,319		—		4,319		—		—
AFS securities	16,175		16,175		—		13,949		2,226		—
HTM securities	6,864		6,867		—		6,539		328		—
Advances	77,872		77,951		—		77,951		—		—
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	3,239		3,320		—		3,320		—		—
Accrued interest receivable	139		139		—		139		—		—
Derivative assets, net(1)	62		62		—		45		—		17
Other assets(2)	16		16		16		—		—		—
Liabilities
Deposits	721		721		—		721		—		—
Consolidated obligations:
Bonds	77,937		77,992		—		77,992		—		—
Discount notes	39,102		39,146		—		39,146		—		—
Total consolidated obligations	117,039		117,138		—		117,138		—		—
Mandatorily redeemable capital stock	83		83		83		—		—		—
Accrued interest payable	121		121		—		121		—		—
Derivative liabilities, net(1)	—		—		—		1,055		—		(1,055		)
Other
Standby letters of credit	33		33		—		33		—		—

37

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	December 31, 2019
	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral(1)
Assets
Cash and due from banks	$	118	$	118	$	118	$	—	$	—	$	—
Interest-bearing deposits	2,269		2,269		2,269		—		—		—
Securities purchased under agreements to resell	7,000		7,000		—		7,000		—		—
Federal funds sold	3,562		3,562		—		3,562		—		—
Trading securities	1,766		1,766		—		1,766		—		—
AFS securities	15,495		15,495		—		12,898		2,597		—
HTM securities	7,545		7,566		—		7,181		385		—
Advances	65,374		65,492		—		65,492		—		—
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	3,314		3,332		—		3,332		—		—
Accrued interest receivable	139		139		—		139		—		—
Derivative assets, net(1)	33		33		—		44		—		(11		)
Other assets(2)	19		19		19		—		—		—
Liabilities
Deposits	537		537		—		537		—		—
Consolidated obligations:
Bonds	71,372		71,386		—		71,386		—		—
Discount notes	27,376		27,378		—		27,378		—		—
Total consolidated obligations	98,748		98,764		—		98,764		—		—
Mandatorily redeemable capital stock	138		138		138		—		—		—
Accrued interest payable	164		164		—		164		—		—
Derivative liabilities, net(1)	—		—				384		—		(384		)
Other
Standby letters of credit	32		32		—		32		—		—

(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.

38

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

• 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 March 31, 2020:

• 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. For the periods presented, the Bank did not have any reclassifications for transfers in or out of level 3 of the fair value hierarchy.

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

39

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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 March 31, 2020, 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

40

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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.

41

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 March 31, 2020, and December 31, 2019, by level within the fair value hierarchy.

March 31, 2020
	Fair Value Measurement Using:						Netting Adjustments  and Cash
	Level 1		Level 2		Level 3		Collateral(1)			Total
Recurring fair value measurements – Assets:
Trading securities:
U.S. obligations – Treasury securities	$	—	$	4,315	$	—	$	—		$	4,315
MBS – Other U.S. obligations – Ginnie Mae	—		4		—		—			4
Total trading securities	—		4,319		—		—			4,319
AFS securities:
U.S. obligations – Treasury securities	—		5,353		—		—			5,353
MBS:
GSEs – multifamily	—		8,596		—		—			8,596
PLRMBS	—		—		2,226		—			2,226
Subtotal MBS	—		8,596		2,226		—			10,822
Total AFS securities	—		13,949		2,226		—			16,175
Advances(2)	—		4,334		—		—			4,334
Derivative assets, net: interest rate-related	—		42		—		17			59
Derivative assets, net: mortgage delivery commitments	—		3		—		—			3
Other assets	16		—		—		—			16
Total recurring fair value measurements – Assets	$	16	$	22,647	$	2,226	$	17		$	24,906
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	254	$	—	$	—		$	254
Derivative liabilities, net: interest rate-related	—		1,055		—		(1,055		)	—
Total recurring fair value measurements – Liabilities	$	—	$	1,309	$	—	$	(1,055	)	$	254
Nonrecurring fair value measurements – Assets:(4)
Impaired mortgage loans held for portfolio	$	—	$	—	$	2	$	—		$	2
Total nonrecurring fair value measurements – Assets	$	—	$	—	$	2	$	—		$	2

42

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

December 31, 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:
U.S. obligations – Treasury securities	$	—	$	1,762	$	—	$	—		$	1,762
MBS – Other U.S. obligations – Ginnie Mae	—		4		—		—			4
Total trading securities	—		1,766		—		—			1,766
AFS securities:
U.S. obligations – Treasury securities	—		5,288		—		—			5,288
MBS:
GSEs – multifamily	—		7,610		—		—			7,610
PLRMBS	—		—		2,597		—			2,597
Subtotal MBS	—		7,610		2,597		—			10,207
Total AFS securities	—		12,898		2,597		—			15,495
Advances(2)	—		4,370		—		—			4,370
Derivative assets, net: interest rate-related	—		44		—		(11		)	33
Other assets	19		—		—		—			19
Total recurring fair value measurements – Assets	$	19	$	19,078	$	2,597	$	(11	)	$	21,683
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	337	$	—	$	—		$	337
Derivative liabilities, net: interest rate-related	—		384		—		(384		)	—
Total recurring fair value measurements – Liabilities	$	—	$	721	$	—	$	(384	)	$	337
Nonrecurring fair value measurements – Assets:(4)
Impaired mortgage loans held for portfolio	$	—	$	—	$	1	$	—		$	1
Total nonrecurring fair value measurements – Assets	$	—	$	—	$	1	$	—		$	1

(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 March 31, 2020, and December 31, 2019.

(3) Represents consolidated obligation bonds recorded under the fair value option at March 31, 2020, and December 31, 2019.

(4) The fair value information presented is as of the date the fair value adjustment was recorded during the three months ended March 31, 2020, and the year ended December 31, 2019.

The following table presents a reconciliation of the Bank’s AFS PLRMBS that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three months ended March 31, 2020 and 2019.

43

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	Three Months Ended
	March 31, 2020			March 31, 2019
Balance, beginning of the period	$	2,597		$	3,157
Total gain/(loss) realized and unrealized included in:
Interest income/(loss)	19			18
(Provision for)/reversal of credit losses	(39		)	—
Other income, net	—			(1		)
Unrealized gain/(loss) included in AOCI	(234		)	14
Settlements	(118		)	(133		)
Transfers of HTM securities to AFS securities	1			—
Balance, end of the period	$	2,226		$	3,055
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	$	(19	)	$	17

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 2019 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 table summarizes the activity related to financial assets and liabilities for which the Bank elected the fair value option during the three months ended March 31, 2020 and 2019:

	Three Months Ended
	March 31, 2020						March 31, 2019
	Advances			Consolidated Obligation Bonds			Advances			Consolidated Obligation Bonds
Balance, beginning of the period	$	4,370		$	337		$	5,133		$	2,019
New transactions elected for fair value option	7,070			—			—			—
Maturities and terminations	(7,197		)	(85		)	(125		)	(830		)
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds from changes in fair value recognized in earnings	91			2			46			7
Change in accrued interest	—			—			(1		)	(5		)
Balance, end of the period	$	4,334		$	254		$	5,053		$	1,191

44

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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 months ended March 31, 2020 and 2019. 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 March 31, 2020, and December 31, 2019:

	March 31, 2020						December 31, 2019
	Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance		Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance
Advances(1)	$	4,162	$	4,334	$	172	$	4,287	$	4,370	$	83
Consolidated obligation bonds	250		254		4		335		337		2

(1) At March 31, 2020, and December 31, 2019, none of these advances were 90 days or more past due or had been placed on nonaccrual status.

Note 13 — 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 March 31, 2020, 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 $1,174,670 at March 31, 2020, and $1,025,895 at December 31, 2019. The par value of the Bank’s participation in consolidated obligations was $117,062 at March 31, 2020, and $98,817 at December 31, 2019. 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 2019 Form 10-K.

Off-balance sheet commitments as of March 31, 2020, and December 31, 2019, were as follows:

45

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	March 31, 2020						December 31, 2019
	Expire Within One Year		Expire After One Year		Total		Expire Within One Year		Expire After One Year		Total
Standby letters of credit outstanding	$	15,207	$	4,954	$	20,161	$	16,898	$	4,658	$	21,556
Commitments to fund additional advances	24		—		24		—		—		—
Commitments to issue consolidated obligation discount notes, par	250		—		250		805		—		805
Commitments to issue consolidated obligation bonds, par	1,160		—		1,160		—		—		—
Commitments to purchase mortgage loans	87		—		87		46		—		46

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. At March 31, 2020, the original terms of these standby letters of credit range from 2 days to 15 years, including a final expiration in 2035. 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 $33 at March 31, 2020, and $32 at December 31, 2019. 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 for credit losses on the letters of credit outstanding or other off-balance sheet commitments as of March 31, 2020, and December 31, 2019.

Commitments to fund advances totaled $24 at March 31, 2020. There were no commitments to fund advances at December 31, 2019. Advances funded under advance commitments are fully collateralized at the time of funding. Based on the Bank’s credit analyses of members’ financial condition and collateral requirements, the Bank deemed it unnecessary to record any additional liability for credit losses on the advance commitments outstanding as of March 31, 2020.

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.

The Bank has pledged securities as collateral related to derivatives. See Note 11 – Derivatives and Hedging Activities for additional information about the Bank’s pledged collateral and other credit-risk-related contingent features. As of March 31, 2020, the Bank had pledged total collateral of $1,725, including securities with a carrying value of $643, all of which may be repledged, and cash collateral and related accrued interest of $1,082 to counterparties and the clearinghouse that had market risk exposure to the Bank related to derivatives. As of December 31, 2019, the Bank had pledged total collateral of $759, including securities with a carrying value of $381, all of which may be repledged, and cash collateral and related accrued interest of $378 to counterparties and the clearinghouse that had market risk exposure to the Bank related to derivatives.

The Bank may be subject to various pending legal proceedings that may arise in the 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 14 — 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.

46

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

	March 31, 2020		December 31, 2019
Assets:
Advances	$	3,896	$	3,697
Mortgage loans held for portfolio	—		8
Accrued interest receivable	5		6
Liabilities:
Deposits	$	3	$	22
Capital:
Capital Stock	$	132	$	132

	Three Months Ended
	March 31, 2020		March 31, 2019
Interest Income:
Advances	$	20	$	22

All transactions with members, nonmembers, and their affiliates are entered into in the ordinary course of business. As of March 31, 2020, and December 31, 2019, 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 2019 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 $2 and $1 at March 31, 2020, and December 31, 2019, respectively, which were recorded in the Statements of Condition in the Interest-bearing deposits 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 three months ended March 31, 2020 and 2019, the Bank extended overnight loans to other FHLBanks for $900 and $1,050, respectively. During the three months ended March 31, 2020 and 2019, the Bank borrowed $850 and $25, 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 membership fee to the FHLBank of Chicago for its participation in the MPF Program and a transaction services fee that is assessed monthly 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 March 31, 2020 and 2019, the Bank recorded $1 and $1, 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 months ended March 31, 2020 and 2019, 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.

47

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 three months ended March 31, 2020 and 2019, 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 15 — Subsequent Events

There were no material subsequent events identified, subsequent to March 31, 2020, until the time of the Form 10‑Q filing with the Securities and Exchange Commission.

48

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

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

49

• natural disasters, pandemics, or other widespread health emergencies (such as the recent outbreak of COVID-19), terrorist attacks, or other unanticipated or catastrophic events.

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 this report and in the Bank’s Annual Report on Form 10-K for the year ended December 31, 2019 (2019 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.

The Bank incurred a net loss of $8 million for the first quarter of 2020, compared with net income of $104 million for the first quarter of 2019. The $112 million decrease in net income/(loss) relative to the prior-year period primarily reflected a $95 million decrease in net interest income, from $144 million for the first quarter of 2019 to $49 million for the first quarter of 2020. As a result of the global COVID-19 pandemic, conditions in the financial markets deteriorated significantly beginning in late February and into March 2020, causing significant disruption to the availability of funds in the credit markets and resulting in adverse changes in interest rates, credit spreads, and asset prices. The decrease in net interest income, driven both by lower interest rates and by increases in credit spreads, was primarily attributable to an increase of $43 million in net fair value losses on designated fair value hedges, from $10 million for the first quarter of 2019 to $53 million for the first quarter of 2020. The decrease in net interest income also reflected a retrospective adjustment of the effective yields on mortgage loans of $15 million, driven by faster projected prepayments because of lower mortgage rates. Finally, the decrease in net income/(loss) also reflected a provision for current expected credit losses of $39 million for the first quarter of 2020 associated with certain private-label residential mortgage-backed securities (PLRMBS) classified as available-for-sale (AFS), primarily resulting from a significant decline in fair values.

The decrease in net interest income was partially offset by a decline in Affordable Housing Program (AHP) assessments. Because of the net loss in the first quarter of 2020, the Bank recorded no AHP assessment for the quarter. In the first quarter of 2019, the AHP assessment was $12 million.

Retained earnings decreased to $3.4 billion at March 31, 2020, from $3.5 billion at December 31, 2019, primarily resulting from a net loss of $8 million in the first three months of 2020 and dividends paid at an annualized rate of 7.00%, totaling $54 million, including $52 million in dividends on capital stock and $2 million in dividends on mandatorily redeemable capital stock during the first three months of 2020.

Total assets increased $18.1 billion during the first three months of 2020, to $124.9 billion at March 31, 2020, from $106.8 billion at December 31, 2019. Total advances increased $12.5 billion, to $77.9 billion at March 31, 2020, from $65.4 billion at December 31, 2019. During March 2020, the Bank experienced increased demand for advances to support its members' liquidity needs in response to the pandemic and maintained its liquidity investments in compliance with Finance Agency guidance. As interest rates declined significantly during the quarter, investor demand for high credit quality, fixed income investments, including the Bank’s consolidated obligations, increased, and the Bank continued to meet its funding needs during this time. Investments increased $5.4 billion, to $43.0 billion at March 31, 2020, from $37.6 billion at December 31, 2019. The increase in investments primarily reflected an increase of $6.5 billion in Federal funds sold, an increase of $2.6 billion in trading securities, and an increase of $1.3 billion in interest-bearing deposits, partially offset by a decrease of $5.0 billion in securities purchased under agreements to resell.

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Accumulated other comprehensive income/(loss) (AOCI) decreased by $502 million during the first three months of 2020, to accumulated other comprehensive loss of $228 million at March 31, 2020, from accumulated other comprehensive income of $274 million at December 31, 2019, primarily as a result of lower fair values of MBS classified as AFS.

On April 27, 2020, the Bank’s Board of Directors declared a quarterly cash dividend on the capital stock outstanding during the first quarter of 2020 at an annualized rate of 5.00%. The dividend will total $39 million, including $2 million in dividends on mandatorily redeemable capital stock that will be reflected as interest expense in the second quarter of 2020. The Bank recorded the dividend on April 27, 2020, and expects to pay the dividend on May 14, 2020. As a result of the COVID-19 pandemic and the measures taken to contain the spread of the virus, U.S. and global economies face great challenges and ongoing uncertainty. To preserve capital in this uncertain environment, the Bank’s Board of Directors has decided to pay a quarterly dividend rate at the low end of the range stated in the Bank's dividend philosophy.

As of March 31, 2020, the Bank was in compliance with all of its regulatory capital requirements. The Bank’s total regulatory capital ratio was 5.4%, exceeding the 4.0% requirement. The Bank had $6.7 billion in permanent capital, exceeding its risk-based capital requirement of $1.4 billion.

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.

Primarily due to the COVID-19 pandemic, conditions in the financial markets deteriorated significantly beginning in late February and into March 2020, creating substantial uncertainty about the future economic activity and environment. The Federal Reserve undertook a number of emergency actions in March 2020 to, among other things, help facilitate liquidity and support stability in the fixed income markets while volatility across global capital markets dramatically increased. Notably, the Federal Reserve substantially increased its provision of liquidity to the repurchase agreement and U.S. Treasury markets via open market operations while also providing liquidity to related markets, such as the commercial paper market, via an array of new programs, as part of a commitment to using a full range of tools to support households, businesses, and the U.S. economy overall in this challenging time. The effects of the coronavirus pandemic, and governmental and public actions taken in response, on the global and U.S. economy and the Bank are evolving, and the full duration and impact of the pandemic and related governmental and public actions are uncertain.

The Bank’s operations in the first quarter of 2020 were affected by the COVID-19 pandemic. The Bank’s staff began working remotely in mid-March 2020 to protect the Bank’s workforce and communities. The ultimate impact of the disruption caused by the outbreak is uncertain. Possible effects of a remote workforce may include, but are not limited to, operational incidents, additional cyber-security risks, and operational challenges that could affect the Bank’s ability to conduct business or increase the risk of operational errors. In addition, the Bank relies on vendors and other third parties to perform certain critical services. If one of our critical vendors or third parties experiences a failure or any interruption to their business due to the COVID-19 pandemic, the Bank may be unable to conduct and manage its business effectively.

To address the operational impact of the pandemic, the Bank maintains a Board-approved Business Continuity Management Program, along with a Crisis Management Plan and Business Continuity Plans (BCPs), which are updated and tested annually. The Bank’s BCPs provide procedures to ensure personnel safety and welfare, to safeguard the Bank’s assets, including physical property and information, and to permit the continued operations of the Bank in the event of a short-term disruption or long-term catastrophic event. The Bank’s BCPs contain operating procedures for all critical processes and identify resources and staff necessary to continue operations based on business defined recovery time objectives and communication requirements for internal and external stakeholders.

In light of the COVID-19 pandemic, the Bank’s leadership team has also reconfirmed its succession plan in the event any key team leader becomes incapacitated or is unable to perform his or her duties.

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The Bank continued to meet its funding needs throughout recent events; however, funding costs, measured as the spread between the Bank’s consolidated obligations and U.S. Treasury securities, increased, with market participants favoring shorter-term obligations, while fixed income market conditions remained challenging. The FHLBanks coordinated and cooperated in the issuance of FHLBank System consolidated obligations, including being prepared to provide an orderly allocation of debt if needed and issuing certain structures and tenors that reduced the funding risks to the FHLBanks. As a consequence of the Federal Reserve’s Open Market Operations in response to market disruptions, interest rates declined significantly, improving stability in the funding markets, increasing investor demand for System consolidated obligations, and reducing the need for coordination of debt issuance by the FHLBanks.

During the COVID-19 pandemic, the Bank’s member demand for advances increased notably in March, but future demand for advances may decrease because of lower interest rates and reduced member asset activity, while the risk of credit losses has likely increased. Other possible effects from the COVID-19 pandemic may include, but are not limited to, disruption to the Bank’s members, uncertainties in the credit markets, and a decline in the fair value of assets.

The market disruption caused by the COVID-19 pandemic has also affected the valuation of mortgage collateral pledged to the Bank to secure advances, and the Bank has responded by adjusting collateral terms to reflect current market conditions. The Bank will continue to monitor credit and collateral conditions and make adjustments as needed. Because of the disruptions caused by the COVID-19 pandemic, the Bank is working with members on a case by case basis to reschedule field reviews of collateral or conduct an electronic file review and postpone the onsite portion of the review.

In addition, the Bank implemented certain relief measures in April 2020 to help members serve customers affected by the COVID-19 pandemic, such as accommodating forbearance and modifications to pledged loan collateral and allowing electronic signatures on loan documentation in specific circumstances. The Board of Directors has also approved subsidized programs to assist our members in responding to the challenges brought about by the COVID-19 pandemic:

(i) The Bank is offering a new credit product–the Recovery Advance–that provides a six-month or one-year advance with a 0% interest rate to support members in their efforts to address COVID-19. The Bank estimates that the subsidy for the new product will range from $11 million to $15 million (depending on advances rates, interest rates, and member activity);

(ii) Through the Access to Housing and Economic Assistance for Development Program, the Bank will provide an additional $1.0 million to support and augment working capital, infrastructure, and capacity building for nonprofit organizations, tribal associations, and local governments affected by the COVID-19 pandemic;

(iii) The Bank will add $1.5 million to the Bank’s disaster relief matching donation program to match member donations to communities affected by the COVID-19 pandemic; and

(iv) The Bank has increased the overall limit on the Bank’s Community Investment Cash Advance programs–Community Investment Program and Advances for Community Enterprise–from $8.0 billion to $13.0 billion and doubled the individual member limits, which are based on the member’s asset size. The total subsidy, if the funds are fully utilized, would be approximately $3 million.

Also, in response to the COVID-19 pandemic, the Finance Agency has taken certain actions to provide various forms of relief and guidance regarding the financial, operational, credit, market, and other effects of the pandemic. See “Part II. Other Information – Item 1A. Risk Factors” for more information.

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). In connection with the pending dissolution of the Financing Corporation, an aggregate of approximately $200 million in the Financing Corporation’s surplus and remaining cash on hand is expected to be distributed in the second quarter of 2020 to the FHLBanks, as the Financing Corporation’s sole stockholders, in proportion to their

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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 retained earnings.

On April 6, 2020, the Bank filed a proof of claim as a “potentially eligible claimant” to share in disgorgement proceeds paid into a distribution fund in connection with a Securities and Exchange Commission enforcement action. The potential distribution payment to the Bank may be significant; however, there can be no assurance that the Bank will receive any distribution payment. Any distribution payment to the Bank is subject to acceptance of the proof of claim by the distribution agent and a court order to disburse the funds.

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)	March 31, 2020			December 31, 2019			September 30, 2019			June 30, 2019			March 31, 2019
Selected Balance Sheet Items at Quarter End
Total Assets	$	124,870		$	106,842		$	104,153		$	106,762		$	110,577
Advances	77,872			65,374			62,826			67,189			70,262
Mortgage Loans Held for Portfolio, Net	3,239			3,314			3,382			3,327			3,160
Investments(1)	43,016			37,637			37,490			35,180			36,494
Consolidated Obligations:(2)
Bonds	77,937			71,372			67,431			73,915			74,094
Discount Notes	39,102			27,376			28,605			24,901			28,281
Mandatorily Redeemable Capital Stock	83			138			138			138			227
Capital Stock —Class B —Putable	3,231			3,000			2,898			2,967			2,959
Unrestricted Retained Earnings	2,691			2,754			2,715			2,719			2,732
Restricted Retained Earnings	713			713			690			678			668
Accumulated Other Comprehensive Income/(Loss) (AOCI)	(228		)	274			267			300			287
Total Capital	6,407			6,741			6,570			6,664			6,646
Selected Operating Results for the Quarter
Net Interest Income	$	49		$	165		$	112		$	110		$	144
Provision for/(Reversal of) Credit Losses	39			—			—			—			—
Other Income/(Loss)	18			10			3			(7		)	15
Other Expense	36			49			47			48			43
Affordable Housing Program Assessment	—			13			7			6			12
Net Income/(Loss)	$	(8	)	$	113		$	61		$	49		$	104
Selected Other Data for the Quarter
Net Interest Margin(3)	0.18		%	0.63		%	0.44		%	0.41		%	0.52		%
Operating Expenses as a Percent of Average Assets	0.12			0.17			0.15			0.15			0.12
Return on Average Assets	(0.03		)	0.43			0.24			0.18			0.37
Return on Average Equity	(0.46		)	6.82			3.65			2.91			6.34
Annualized Dividend Rate	7.00			7.00			7.00			7.00			7.00
Dividend Payout Ratio(4)	—			45.18			86.78			108.09			48.21
Average Equity to Average Assets Ratio	6.09			6.37			6.47			6.16			5.87
Selected Other Data at Quarter End
Regulatory Capital Ratio(5)	5.38			6.18			6.18			6.09			5.96
Duration Gap (in months)	—			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.

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(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 March 31, 2020, 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:

	Par Value (In millions)
March 31, 2020	$	1,174,670
December 31, 2019	1,025,895
September 30, 2019	1,010,271
June 30, 2019	1,048,412
March 31, 2019	1,010,895

(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 PLRMBS, less interest paid on consolidated obligations, deposits, mandatorily redeemable capital stock, and other borrowings. The Average Balance Sheets table that follows presents the average balances of interest-earning asset categories and the sources that funded those interest-earning assets (liabilities and capital) for the three months ended March 31, 2020 and 2019, 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.

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First Quarter of 2020 Compared to First Quarter of 2019

Average Balance Sheets
	Three Months Ended
	March 31, 2020								March 31, 2019
(Dollars in millions)	Average Balance			Interest Income/ Expense			Average Rate		Average Balance			Interest Income/ Expense		Average Rate
Assets
Interest-earning assets:
Interest-bearing deposits	$	3,430		$	12		1.37	%	$	2,230		$	14	2.50	%
Securities purchased under agreements to resell	4,912			18			1.44		7,453			45		2.47
Federal funds sold	5,242			14			1.12		6,331			41		2.62
Trading securities:
Mortgage-backed securities (MBS)	3			—			3.50		5			—		3.70
Other investments	3,035			16			2.10		613			4		2.70
Available-for-sale (AFS) securities:(1)
MBS(2)(3)	10,204			32			1.26		6,913			79		4.62
Other investments(3)	5,295			19			1.48		—			—		—
Held-to-maturity (HTM) securities:(1)
MBS	7,129			44			2.46		10,580			78		3.00
Other investments	—			—			—		76			1		2.88
Mortgage loans held for portfolio	3,311			(1		)	(0.06	)	3,115			26		3.35
Advances(3)	66,954			279			1.67		75,385			498		2.68
Loans to other FHLBanks	—			—			—		13			—		3.49
Total interest-earning assets	109,515			433			1.59		112,714			786		2.83
Other assets(4)(5)	1,216			—					1,091			—
Total Assets	$	110,731		$	433				$	113,805		$	786
Liabilities and Capital
Interest-bearing liabilities:
Consolidated obligations:
Bonds(3)	$	73,730		$	276		1.50	%	$	75,587		$	455	2.44	%
Discount notes	28,550			104			1.47		30,035			181		2.44
Deposits and other borrowings	560			2			1.11		268			2		2.39
Mandatorily redeemable capital stock	130			2			7.51		227			4		7.16
Borrowings from other FHLBanks	3			—			9.90		4			—		2.43
Total interest-bearing liabilities	102,973			384			1.50		106,121			642		2.45
Other liabilities(4)	1,012			—					1,003			—
Total Liabilities	103,985			384					107,124			642
Total Capital	6,746			—					6,681			—
Total Liabilities and Capital	$	110,731		$	384				$	113,805		$	642
Net Interest Income				$	49							$	144
Net Interest Spread(6)							0.09	%						0.38	%
Net Interest Margin(7)							0.18	%						0.52	%
Interest-earning Assets/Interest-bearing Liabilities	106.35		%						106.21		%

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

(2) Interest income on AFS securities includes accretion of yield adjustments on other-than-temporarily impaired PLRMBS (resulting from improvement in expected cash flows) recognized pursuant to the impairment guidance in effect prior to January 1, 2020, totaling $17 million and $15 million for the three months ended March 31, 2020 and 2019, respectively.

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

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	Three Months Ended
	March 31, 2020
(In millions)	Advances			AFS Securities			Consolidated Obligation Bonds		Total
Gain/(loss) on designated fair value hedges	$	(8	)	$	(45	)	$	—	$	(53	)
Net interest settlements on derivatives	(33		)	(30		)	3		(60		)
Total net interest income/(expense)	$	(41	)	$	(75	)	$	3	$	(113	)

	Three Months Ended
	March 31, 2019
(In millions)	Advances		AFS Securities			Consolidated Obligation Bonds			Total
Gain/(loss) on designated fair value hedges	$	—	$	(9	)	$	—		$	(9	)
Net interest settlements on derivatives	21		(2		)	(9		)	10
Total net interest income/(expense)	$	21	$	(11	)	$	(9	)	$	1

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

(5) Includes non-credit-related OTTI losses on HTM securities for the first quarter of 2020. Includes non-credit-related OTTI losses on AFS and HTM securities for the first quarter of 2019.

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

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

Net interest income in the first quarter of 2020 was $49 million, a 66% decrease from $144 million in the first quarter of 2019. The following table details the changes in interest income and interest expense for the first quarter of 2020 compared to the first quarter of 2019. 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 March 31, 2020, Compared to Three Months Ended March 31, 2019
	Increase/ (Decrease)			Attributable to Changes in(1)
(In millions)				Average Volume			Average Rate
Interest-earning assets:
Interest-bearing deposits	$	(2	)	$	6		$	(8	)
Securities purchased under agreements to resell	(27		)	(12		)	(15		)
Federal funds sold	(27		)	(6		)	(21		)
Trading securities: Other investments	12			13			(1		)
AFS securities:
MBS(2)	(47		)	27			(74		)
Other investments(2)	19			19			—
HTM securities:
MBS	(34		)	(22		)	(12		)
Other investments	(1		)	(1		)	—
Mortgage loans held for portfolio	(27		)	2			(29		)
Advances(2)	(219		)	(50		)	(169		)
Total interest-earning assets	(353		)	(24		)	(329		)
Interest-bearing liabilities:
Consolidated obligations:
Bonds(2)	(179		)	(11		)	(168		)
Discount notes	(77		)	(8		)	(69		)
Deposits and other borrowings	—			1			(1		)
Mandatorily redeemable capital stock	(2		)	(2		)	—
Total interest-bearing liabilities	(258		)	(20		)	(238		)
Net interest income	$	(95	)	$	(4	)	$	(91	)

(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 18 basis points for the first quarter of 2020, 34 basis points lower than the net interest margin for the first quarter of 2019, which was 52 basis points. The net interest spread was 9 basis points for the first quarter of 2020, 29 basis points lower than the net interest spread for the first quarter of 2019, which was 38 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.

For securities previously identified as other-than-temporarily impaired pursuant to the impairment guidance in effect prior to January 1, 2020, the Bank updates its estimate of future estimated cash flows on a regular basis. If there is no additional credit loss 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 March 31, 2020 and 2019.

Other Income/(Loss)
	Three Months Ended
(In millions)	March 31, 2020			March 31, 2019
Other Income/(Loss):
Net gain/(loss) on trading securities(1)	$	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

(1) The net gain/(loss) on trading securities that were economically hedged totaled $73 and a de minimis amount for the three months ended March 31, 2020 and 2019, respectively.

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 March 31, 2020 and 2019.

Net Gain/(Loss) on Advances and Consolidated Obligations Bonds Held Under Fair Value Option
	Three Months Ended
(In millions)	March 31, 2020			March 31, 2019
Advances	$	91		$	46
Consolidated obligation bonds	(2		)	(7		)
Total	$	89		$	39

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 12 – Fair Value.”

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

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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 quarter of 2020 and 2019.

Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives and Hedging Activities Three Months Ended March 31, 2020, Compared to Three Months Ended March 31, 2019
	Three Months Ended
(In millions)	March 31, 2020									March 31, 2019
Hedged Item	Gain/(Loss) on Economic Hedges			Income/ (Expense) on Economic Hedges			Total			Gain/(Loss) on Economic Hedges			Income/ (Expense) on Economic Hedges			Total
Advances:
Elected for fair value option	$	(109	)	$	(2	)	$	(111	)	$	(41	)	$	8		$	(33	)
Not elected for fair value option	9			(11		)	(2		)	11			(3		)	8
Consolidated obligation bonds:
Elected for fair value option	2			—			2			6			(2		)	4
Not elected for fair value option	18			—			18			23			(8		)	15
Consolidated obligation discount notes:
Not elected for fair value option	13			9			22			(23		)	—			(23		)
Non-MBS investments:
Not elected for fair value option	(76		)	(4		)	(80		)	—			—			—
Mortgage delivery commitment:
Not elected for fair value option	4			—			4			1			—			1
Total	$	(139	)	$	(8	)	$	(147	)	$	(23	)	$	(5	)	$	(28	)

During the first quarter of 2020, net losses on derivatives and hedging activities totaled $147 million compared to net losses of $28 million in the first quarter of 2019. These amounts included expense of $8 million and expense of $5 million resulting from net settlements on derivative instruments used in economic hedges in the first quarter of 2020 and 2019, respectively. Excluding the impact of income or expense from net settlements on derivative instruments used in economic hedges, the net gains or losses on 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 11 – Derivatives and Hedging Activities.”

Other Expense. During the first quarter of 2020, other expenses totaled $36 million, compared to $43 million in the first quarter of 2019, primarily reflecting the decrease in voluntary charitable contributions.

Quality Jobs Fund Expense and Other – During the first quarter of 2019, the Bank made a voluntary charitable contribution of $5 million for the Quality Jobs Fund as well as a voluntary contribution of $1 million to the AHP to offset the impact on the AHP assessment of the charitable contribution expense. The Bank did not make any charitable contributions in the first quarter of 2020.

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Return on Average Equity

Return on average equity was (0.46)% (annualized) for the first quarter of 2020, compared to 6.34% (annualized) for the first quarter of 2019. The decrease primarily reflected lower net income/(loss) for the first quarter of 2020, which decreased from net income of $104 million in the first quarter of 2019 to a net loss of $8 million in the first quarter of 2020.

Dividends and Retained Earnings

In the first quarter of 2020, the Bank paid dividends at an annualized rate of 7.00%, totaling $54 million, including $52 million in dividends on capital stock and $2 million in dividends on mandatorily redeemable capital stock. In the first quarter of 2019, the Bank paid dividends at an annualized rate of 7.00%, totaling $54 million, including $50 million in dividends on capital stock and $4 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 April 27, 2020, the Bank’s Board of Directors declared a cash dividend on the capital stock outstanding during the first quarter of 2020 at an annualized rate of 5.00%, totaling $39 million, including $37 million in dividends on capital stock and $2 million in dividends on mandatorily redeemable capital stock. The Bank recorded the dividend on April 27, 2020. The Bank expects to pay the dividend on May 14, 2020. Dividends on mandatorily redeemable capital stock will be recognized as interest expense in the second quarter of 2020.

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 and resulted in a required level of retained earnings of $2.4 billion. In January 2020, the methodology was further revised and resulted in a required level of retained earnings of $2.5 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 was $713 million as of March 31, 2020, and December 31, 2019.

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 March 16, 2020, in light of market volatility, the Finance Agency extended the Bank’s ability to enter into LIBOR-indexed instruments that mature after December 31, 2021, from March 31, 2020, to June 30, 2020.

For more information, see “Item 1. Financial Statements – Note 9 – 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 Supplementary Data – Note 15 – Capital – Excess Stock Repurchase, Retained Earnings, and Dividend Framework” in the Bank’s 2019 Form 10‑K.

Financial Condition

Total assets were $124.9 billion at March 31, 2020, compared to $106.8 billion at December 31, 2019. Advances increased by $12.5 billion, or 19%, to $77.9 billion at March 31, 2020, from $65.4 billion at December 31, 2019. MBS investments decreased by $0.1 billion, or 1%, to $17.7 billion at March 31, 2020, from $17.8 billion at

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December 31, 2019. Average total assets were $110.7 billion for the first quarter of 2020, a 3% decrease compared to $113.8 billion for the first quarter of 2019. Average advances were $67.0 billion for the first quarter of 2020, an 11% decrease from $75.4 billion for the first quarter of 2019. Average MBS investments were $17.3 billion for the first quarter of 2020, a 1% decrease from $17.5 billion for the first quarter of 2019.

Advances outstanding at March 31, 2020, included unrealized gains of $984 million, of which $812 million represented unrealized gains on advances hedged in accordance with the accounting for derivative instruments and hedging activities and $172 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, 2019, included unrealized gains of $286 million, of which $203 million represented unrealized losses on advances hedged in accordance with the accounting for derivative instruments and hedging activities and $83 million represented unrealized losses on economically hedged advances that are carried at fair value in accordance with the fair value option. The change in the unrealized gains on the hedged advances and advances carried at fair value from December 31, 2019, to March 31, 2020, 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 $118.5 billion at March 31, 2020, an increase of $18.4 billion from $100.1 billion at December 31, 2019, primarily reflecting an $18.3 billion increase in consolidated obligations outstanding to $117.0 billion at March 31, 2020, from $98.7 billion at December 31, 2019. Average total liabilities were $104.0 billion for the first quarter of 2020, a 3% decrease compared to $107.1 billion for the first quarter of 2019. Average consolidated obligations were $102.3 billion for the first quarter of 2020 and $105.6 billion for the first quarter of 2019.

Consolidated obligations outstanding at March 31, 2020, included unrealized losses of $32 million on consolidated obligation bonds hedged in accordance with the accounting for derivative instruments and hedging activities and unrealized losses of $4 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, 2019, included unrealized losses of $9 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. The change in the net unrealized losses on the hedged consolidated obligation bonds and on the consolidated obligation bonds carried at fair value from December 31, 2019, to March 31, 2020, were primarily attributable to the effects of changes in market interest rates, interest rate spreads, interest rate volatility, and other market factors relative to the actual terms on the Bank’s consolidated obligation bonds during the period.

As provided by the FHLBank Act or regulations governing the operations of the FHLBanks, all FHLBanks have joint and several liability for all FHLBank consolidated obligations. The joint and several liability regulation authorizes the Finance Agency to require any FHLBank to repay all or a portion of the principal or interest on consolidated obligations for which another FHLBank is the primary obligor. The Bank has never been asked or required to repay the principal or interest on any consolidated obligation on behalf of another FHLBank, and as of March 31, 2020, 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 $1,174.7 billion at March 31, 2020, and $1,025.9 billion at December 31, 2019.

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.

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Certain Bank assets, liabilities, and derivatives are indexed to LIBOR. The Bank recognizes that the impending 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 “Item 1A. Risk Factors” in the Bank’s 2019 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.

The tables below present LIBOR-indexed variable rate financial instruments by due date or termination date at March 31, 2020.

LIBOR-Indexed Financial Instruments
March 31, 2020
(In millions)	2020		2021		2022 and Thereafter		Total
Assets indexed to LIBOR:
Par value of advances by redemption term	$	10,500	$	10,750	$	260	$	21,510
Unpaid principal balance of investment securities by contractual maturity
MBS(1)	—		—		6,970		6,970
Notional amount of receive leg LIBOR interest rate swaps by termination date
Cleared	12,163		6,023		2,776		20,962
Uncleared	224		317		938		1,479
Total	$	22,887	$	17,090	$	10,944	$	50,921
Liabilities indexed to LIBOR:
Par value of consolidated obligation bonds by contractual maturity	$	22,130	$	5,098	$	—	$	27,228
Notional amount of pay leg LIBOR interest rate swaps by termination date
Cleared	17,438		5,330		423		23,191
Uncleared	420		352		200		972
Total	$	39,988	$	10,780	$	623	$	51,391

(1) Certain MBS with multiple indices where LIBOR is the majority index are included in this amount.

Interest rate caps and floors indexed to LIBOR totaling $430 million terminate in 2021 and totaling $550 million terminate in 2022 and thereafter.

Market activity in SOFR-indexed financial instruments continues to increase. In total, the Bank has issued $57.1 billion in SOFR-indexed consolidated obligation bonds. The table below presents the par value of variable rate consolidated obligation bonds by interest rate index.

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Variable Rate Consolidated Obligation Bonds by Interest Rate Index
(In millions)
March 31, 2020
Interest Rate Index	Amount Outstanding
LIBOR	$	27,228
SOFR	42,971
Total par value(1)	$	70,199

(1) Total variable rate consolidated obligation bonds include adjustable rate bonds and range bonds with coupons at variable rates.

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, excludes interest income and expense associated with changes in fair value of the derivative hedging instrument and the hedged item attributable to the hedged risk for designated fair value hedges that are recorded in net interest 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 10 – 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 increased $18.2 billion to $103.9 billion (83% of total assets) at March 31, 2020, from $85.7 billion (80% of total assets) at December 31, 2019.

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 $63 million in the first quarter of 2020, a decrease of $23 million, or 27%, compared to $86 million in the first quarter of 2019. This decrease was primarily due to a decline in spreads in advances-related assets due to lower rates.

Adjusted net interest income for this segment represented 84% and 56% of total adjusted net interest income for the first quarter of 2020 and 2019, respectively.

Advances – The par value of advances outstanding increased by $11.8 billion, or 18%, to $76.9 billion at March 31, 2020, from $65.1 billion at December 31, 2019. Average advances were $67.0 billion for the first quarter of 2020, an 11% decrease from $75.4 billion for the first quarter of 2019. Outstanding balances of advances may significantly increase and decrease from period to period because of a member’s liquidity and financial strategies.

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As of March 31, 2020, advances outstanding to the Bank’s top five borrowers and their affiliates increased by $3.2 billion, and advances outstanding to the Bank’s other borrowers increased by $8.6 billion. Advances to the top five borrowers increased to $47.4 billion at March 31, 2020, from $44.2 billion at December 31, 2019. (See “Item 1. Financial Statements – Note 4 – Advances – Credit and Concentration Risk” for further information.)

The Bank has a significant long-term funding arrangement with one of the top five borrowers that contributes to the level of outstanding advances, and prepayments or repayments of advances or any changes to this arrangement could have a significant adverse impact on the Bank’s level of advances. Any prepayments or termination of this arrangement may result in prepayment fees or a termination fee. It is possible that our advances may increase or decrease to the extent our members elect to use alternative funding resources. The $11.8 billion increase in advances outstanding reflected a $13.4 billion increase in fixed rate advances and a $0.4 billion increase in adjustable rate advances, partially offset by a $2.0 billion decrease in variable rate advances. In 2019, the Bank began to offer SOFR-indexed advances to its members.

The components of the advances portfolio at March 31, 2020, and December 31, 2019, are presented in the following table.

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Advances Portfolio by Product Type
	March 31, 2020				December 31, 2019
(Dollar in millions)	Par Value		Percentage of Total Par Value		Par Value		Percentage of Total Par Value
Adjustable – LIBOR	$	11,450	15	%	$	8,260	13	%
Adjustable – LIBOR, callable at borrower’s option	9,950		13		13,950		21
Adjustable – SOFR	5		—		5		—
Adjustable – SOFR, callable at borrower’s option	1,400		2		—		—
Adjustable – other indices	500		1		700		1
Subtotal adjustable rate advances	23,305		31		22,915		35
Fixed	22,806		29		18,784		29
Fixed – amortizing	226		1		234		1
Fixed – with PPS(1)	3,237		4		3,283		5
Fixed – with FPS(1)	23,430		30		14,059		22
Fixed – with caps and PPS(1)	110		—		210		—
Fixed – callable at borrower’s option	74		—		74		—
Fixed – callable at borrower’s option with PPS(1)	20		—		—		—
Fixed – putable at Bank’s option	200		—		—		—
Fixed – putable at Bank’s option with PPS(1)	20		—		20		—
Subtotal fixed rate advances	50,123		64		36,664		57
Daily variable rate	3,460		5		5,509		8
Total par value	$	76,888	100	%	$	65,088	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 March 31, 2020.

LIBOR-Indexed Advances by Redemption Term
(In millions)
March 31, 2020
Redemption Term	Par Value
Due in 2020	$	10,500
Due in 2021	10,750
Due in 2022 and thereafter(1)	260
Total LIBOR-Indexed Advances(2)	$	21,510

(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.”

(2) Total LIBOR-indexed advances include fixed rate advances with caps and PPS.

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 $25.3 billion and $19.9 billion as of March 31, 2020, and December 31, 2019, respectively. The increase in the total size of the non-MBS investment

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portfolio reflects the increased overnight liquidity investments and additional purchases of U.S. Treasury bonds to increase resiliency to adverse liquidity conditions.

Interest rate payment terms for non-MBS investments classified as trading and AFS at March 31, 2020, and December 31, 2019, are detailed in the following table:

Non-MBS Investments: Interest Rate Payment Terms
(In millions)	March 31, 2020		December 31, 2019
Fair value of trading securities:
Fixed rate	$	4,315	$	1,762
Total trading securities	$	4,315	$	1,762
Amortized cost of AFS securities:
Fixed rate	$	5,347	$	5,281
Total AFS securities	$	5,347	$	5,281

Borrowings – Total liabilities (primarily consolidated obligations) funding the advances-related business increased to $97.5 billion at March 31, 2020, from $79.0 billion at December 31, 2019. 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 13 – 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 March 31, 2020, the notional amount of interest rate exchange agreements associated with the advances-related business totaled $104.1 billion, of which $49.0 billion were hedging advances, $42.9 billion were hedging consolidated obligations, $9.4 billion were economically hedging non-MBS investments, and $2.8 billion were offsetting derivatives. At December 31, 2019, the notional amount of interest rate exchange agreements associated with the advances-related business totaled $84.4 billion, of which $41.2 billion were hedging advances, $36.2 billion were hedging consolidated obligations, $7.0 billion were economically hedging trading securities, and $40 million were offsetting derivatives. 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.

In early March 2020, the Federal Open Market Committee (FOMC) stated that the COVID-19 outbreak poses evolving risks to economic activity and decided to lower the target range for the Federal funds rate by 50 basis points, to a target range of 1.00% to 1.25%, noting that it would closely monitor developments and their implications for the economic outlook and would act as appropriate to support the economy. On March 15, 2020, the FOMC again lowered the Federal funds rate, to a target range of 0.00% to 0.25%, noting that the COVID-19 outbreak had harmed communities and disrupted economic activity in many countries, including the United States, and had significantly affected global financial conditions. In the weeks before and after the early March cut by the

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FOMC in the Federal funds target rate, interest rates declined significantly. Generally, investor demand for high credit quality, fixed income investments, including the Bank’s consolidated obligations, increased relative to other investments, and the Bank continued to meet its funding needs during this time. However, the spreads on the Bank’s consolidated obligations relative to U.S. Treasury securities widened and fixed income market conditions became more challenging, with market participants favoring shorter-term obligations. During March 2020, the Bank experienced increased demand for advances and maintained its liquidity investments in compliance with Finance Agency guidance. See “Item 1A. Risk Factors” for additional information on potential risks to the Bank, including from pandemics such as COVID-19. The following table presents a comparison of selected market interest rates as of March 31, 2020, and December 31, 2019.

Selected Market Interest Rates
Market Instrument	March 31, 2020		December 31, 2019		March 31, 2019		December 31, 2018
Federal Reserve target range for overnight Federal funds	0.00-0.25	%	1.50-1.75	%	2.25-2.50	%	2.25-2.50	%
Secured Overnight Financing Rate	0.01		1.55		2.65		3.00
3-month Treasury bill	0.09		1.55		2.39		2.36
3-month LIBOR	1.45		1.91		2.60		2.81
2-year Treasury note	0.25		1.57		2.26		2.49
5-year Treasury note	0.38		1.69		2.23		2.51

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.

Assets associated with this segment were $21.0 billion (17% of total assets) at March 31, 2020, and $21.1 billion at December 31, 2019 (20% of total assets).

Adjusted net interest income for this segment was $12 million in the first quarter of 2020, a decrease of $56 million, or 82%, from $68 million in the first quarter of 2019. 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 balances of MBS investments, which more than offset the impact of higher accretion-related income. Additionally, the Bank recorded a $39 million provision for credit losses on the Bank’s PLRMBS investments.

Adjusted net interest income for this segment represented 16% and 44% of total adjusted net interest income for the first quarter of 2020 and 2019, respectively.

MBS Investments – The Bank’s MBS portfolio was $17.7 billion at March 31, 2020, compared with $17.8 billion at December 31, 2019. During the first quarter of 2020, the Bank’s MBS portfolio decreased slightly with $0.8 billion in principal repayments and $0.5 billion of fair value losses, offset by a $0.8 billion increase in basis adjustments and $0.4 billion in new agency MBS investment purchases. Average MBS investments were $17.3 billion for the first quarter of 2020, a 1% decrease from $17.5 billion for the first quarter of 2019. 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 March 31, 2020, and December 31, 2019, are shown in the following table:

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MBS Investments: Interest Rate Payment Terms
(In millions)	March 31, 2020		December 31, 2019
Fair value of trading securities:
Adjustable rate	$	4	$	4
Total trading securities	$	4	$	4
Amortized cost of AFS securities:
Fixed rate	$	9,387	$	8,156
Adjustable rate	1,693		1,769
Total AFS securities	$	11,080	$	9,925
Amortized cost of HTM securities:
Fixed rate	$	1,869	$	2,082
Adjustable rate	4,996		5,464
Total HTM securities	$	6,865	$	7,546

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 March 31, 2020, 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 $278 million in eligible loans under the MPF Original product during the first three months of 2020.

Mortgage loan balances decreased to $3.2 billion at March 31, 2020, from $3.3 billion at December 31, 2019, a decrease of $0.1 billion. Average mortgage loans were $3.3 billion in the first quarter of 2020, an increase of $0.2 billion from $3.1 billion in the first quarter of 2019.

At March 31, 2020, and December 31, 2019, 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 2019 Form 10-K. Mortgage loan balances at March 31, 2020, and December 31, 2019, were as follows:

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Mortgage Loan Balances by MPF Product Type
(In millions)	March 31, 2020			December 31, 2019
MPF Plus	$	168		$	177
MPF Original	3,011			3,049
Subtotal	3,179			3,226
Unamortized premiums	66			91
Unamortized discounts	(3		)	(3		)
Mortgage loans held for portfolio	3,242			3,314
Less: Allowance for credit losses	(3		)	—
Mortgage loans held for portfolio, net	$	3,239		$	3,314

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 2019 Form 10-K.

Borrowings – Total consolidated obligations funding the mortgage-related business decreased $0.1 billion to $21.0 billion at March 31, 2020, from $21.1 billion at December 31, 2019, paralleling the decrease in MBS investments. 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 13 – Commitments and Contingencies.”

The notional amount of derivative instruments associated with the mortgage-related business totaled $14.8 billion at March 31, 2020, of which $8.5 billion were associated with MBS, $5.8 billion were hedging or were associated with consolidated obligations funding the mortgage portfolio, $0.4 billion were offsetting derivatives, and $0.1 billion were associated with mortgage delivery commitments. The notional amount of derivative instruments associated with the mortgage-related business totaled $16.6 billion at December 31, 2019, of which $8.5 billion were hedging or were associated with consolidated obligations funding the mortgage portfolio and $8.1 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 “Management’s Discussion and Analysis of Financial Condition and Results of Operations –Risk Management – 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 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, and 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 2019 Form 10-K.

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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Derivative Counterparties. The following table presents the concentration in derivatives with derivative counterparties whose outstanding notional balances represented 10% or more of the Bank’s total notional amount of derivatives outstanding as of March 31, 2020, and December 31, 2019.

Concentration of Derivative Counterparties
(Dollars in millions)	March 31, 2020					December 31, 2019
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	$	9,049	8	%	At least BBB	$	11,476	11	%
Subtotal uncleared		9,049		8			11,476		11
Cleared
LCH Ltd(2)
Credit Suisse Securities (USA) LLC	A	50,370		42		A	61,067		61
Morgan Stanley & Co. LLC	A	59,361		50		A	28,483		28
Subtotal cleared		109,731		92			89,550		89
Total(3)		$	118,780	100	%		$	101,026	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 rated AA- with a Negative CreditWatch by S&P at March 31, 2020, and December 31, 2019. 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 March 31, 2020, and December 31, 2019, does not include $87 million and $46 million of mortgage delivery commitments with members, respectively.

Liquidity and Capital Resources

The Bank’s financial strategies are designed to enable the Bank to expand and contract its assets, liabilities, and capital as membership composition and member credit needs change. The Bank’s liquidity and capital resources are designed to support its financial strategies. The Bank’s primary source of liquidity is its access to the debt capital markets through consolidated obligation issuance. 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 liquidity plan, which also includes an explanation of how sources of funds may be allocated under stressed market conditions, such as short-term operational disruptions at the Bank or the Office of Finance or short-term disruptions in the debt capital markets.

The Finance Agency has established base case liquidity guidelines that each FHLBank maintain sufficient 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. The Bank actively monitors and manages refinancing risk. Finance Agency guidance

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specifies tolerance levels related to the size of each FHLBank’s funding gaps to measure refinancing risk as 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 generally 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 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 March 31, 2020, and December 31, 2019, the Bank held total sources of funds in an amount that would have allowed the Bank to meet its liquidity needs without issuing new consolidated obligations for over ten days, in accordance with the Finance Agency guidance. In addition, the Bank’s funding gap positions as of March 31, 2020, and December 31, 2019, were within the tolerance levels provided by the Finance Agency guidance.

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 2019 Form 10‑K.

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 March 31, 2020, and December 31, 2019. The Bank’s risk-based capital requirement decreased to $1.4 billion at March 31, 2020, from $1.5 billion at December 31, 2019.

Regulatory Capital Requirements
	March 31, 2020						December 31, 2019
(Dollars in millions)	Required			Actual			Required			Actual
Risk-based capital	$	1,411		$	6,718		$	1,519		$	6,605
Total regulatory capital	$	4,995		$	6,718		$	4,274		$	6,605
Total regulatory capital ratio	4.00		%	5.38		%	4.00		%	6.18		%
Leverage capital	$	6,244		$	10,078		$	5,342		$	9,908
Leverage ratio	5.00		%	8.07		%	5.00		%	9.27		%

The Bank’s capital requirements are more fully discussed in “Item 8. Financial Statements and Supplementary Data – Note 15 – Capital” in the Bank’s 2019 Form 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 2019 Form 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.

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.

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 March 31, 2020, and December 31, 2019. During the three months ended March 31, 2020, the Bank’s internal credit ratings stayed the same or improved for the

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majority of members and nonmember borrowers.

Member and Nonmember Credit Outstanding and Collateral Borrowing Capacity by Credit Quality Rating
(Dollars in millions)
March 31, 2020
	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	268	159	$	76,482	$	203,853	38	%
4-6	58	36	20,549		57,356		36
7-10	5	4	53		62		85
Subtotal	331	199	97,084		261,271		37
Community development financial institutions (CDFIs)	7	6	104		111		94
Housing associates	2	—	—		—		—
Total	340	205	$	97,188	$	261,382	37	%

December 31, 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	271	151	$	67,982	$	204,970	33	%
4-6	54	33	18,654		50,732		37
7-10	5	4	41		65		63
Subtotal	330	188	86,677		255,767		34
CDFIs	7	5	102		112		91
Housing associates	2	—	—		—		—
Total	339	193	$	86,779	$	255,879	34	%

(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)
March 31, 2020
Unused Borrowing Capacity	Number of Members and Nonmembers with Credit Outstanding	Credit Outstanding(1)		Collateral Borrowing Capacity(2)
0% – 10%	11	$	1,436	$	1,503
11% – 25%	12	13,262		16,502
26% – 50%	31	18,771		28,002
More than 50%	151	63,719		215,375
Total	205	$	97,188	$	261,382

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December 31, 2019
Unused Borrowing Capacity	Number of Members and Nonmembers with Credit Outstanding	Credit Outstanding(1)		Collateral Borrowing Capacity(2)
0% – 10%	7	$	1,352	$	1,419
11% – 25%	9	754		903
26% – 50%	24	21,955		34,221
More than 50%	153	62,718		219,336
Total	193	$	86,779	$	255,879

(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’ market valuations and market liquidation risks. The following table presents the securities collateral pledged by all members and by nonmembers with credit outstanding at March 31, 2020, and December 31, 2019.

Composition of Securities Collateral Pledged by Members and by Nonmembers with Credit Outstanding
(In millions)	March 31, 2020				December 31, 2019
Securities Type with Current Credit Ratings	Current Par		Borrowing Capacity		Current Par		Borrowing Capacity
U.S. Treasury (bills, notes, bonds)	$	857	$	909	$	183	$	176
Agency (notes, subordinated debt, structured notes, indexed amortization notes, and Small Business Administration pools)	3,111		3,092		2,897		2,846
Agency pools and collateralized mortgage obligations	17,410		17,119		8,576		8,287
Private-label commercial MBS – publicly registered investment-grade-rated senior tranches	6		6		5		5
PLRMBS – private label investment-grade-rated senior tranches	40		29		45		34
Term deposits with the Bank	2		2		—		—
Total	$	21,426	$	21,157	$	11,706	$	11,348

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.

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.

As of March 31, 2020, of the loan collateral pledged to the Bank, 23% was pledged by 27 institutions by specific identification, 50% was pledged by 115 institutions under a blanket lien with detailed reporting, and 27% was pledged by 130 institutions under a blanket lien with summary reporting. For each borrower that pledges loan collateral, the Bank conducts loan collateral field reviews once every six months or every one, two, or three years, depending on the risk profile of the borrower and the types of collateral pledged by the borrower.

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As of March 31, 2020, 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: 85% for first lien residential mortgage loans, 83% for multifamily mortgage loans, 83% for commercial mortgage loans, and 67% for second lien residential mortgage loans. The maximum borrowing capacity for small business, small agribusiness, and small farm loans was 25% 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 March 31, 2020, and December 31, 2019.

Composition of Loan Collateral Pledged by Members and by Nonmembers with Credit Outstanding
(In millions)	March 31, 2020				December 31, 2019
Loan Type	Unpaid Principal Balance		Borrowing Capacity		Unpaid Principal Balance		Borrowing Capacity
First lien residential mortgage loans	$	188,087	$	150,952	$	174,580	$	152,960
Second lien residential mortgage loans and home equity lines of credit	17,452		7,779		17,469		9,437
Multifamily mortgage loans	35,502		24,823		32,652		25,321
Commercial mortgage loans	77,346		52,262		72,118		52,329
Loan participations(1)	4,778		3,316		4,610		3,496
Small business, small farm, and small agribusiness loans	4,391		1,093		4,010		988
Other	4		—		2		—
Total	$	327,560	$	240,225	$	305,441	$	244,531

(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 March 31, 2020, and December 31, 2019, the unpaid principal balance of these loans totaled $6 billion and $6 billion, respectively. The Bank reviews and assigns borrowing capacities to subprime mortgage loans as it does for all other types of loan collateral, taking into account the known credit attributes in the pricing of the loans. All advances, including those made to borrowers pledging subprime mortgage loans, are required to be fully collateralized. The Bank limits the amount of borrowing capacity that may be supported by subprime collateral.

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 expectations of the present value of the cash flows to be collected from the security with the amortized cost basis of the security. If the Bank’s expectations of the present value of the cash flows to be collected is less than the amortized cost basis, the difference is considered the credit loss.

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When the fair value of an individual investment security falls below its amortized cost, the Bank evaluates whether an allowance for credit losses is necessary on the security. The Bank recognizes an allowance for credit losses 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.

Investment Credit Exposure
(In millions)
March 31, 2020
	Carrying Value
	Credit Rating(1)
Investment Type	AA		A		BBB		Below Investment Grade		Unrated		Total
Non-MBS
U.S. obligations – Treasury securities	$	9,668	$	—	$	—	$	—	$	—	$	9,668
Total non-MBS	9,668		—		—		—		—		9,668
MBS:
Other U.S. obligations – single-family:
Ginnie Mae	445		—		—		—		—		445
GSEs – single-family:
Freddie Mac	952		—		—		—		—		952
Fannie Mae(2)	1,678		5		—		3		—		1,686
Subtotal	2,630		5		—		3		—		2,638
GSEs – multifamily:
Freddie Mac	3,221		—		—		—		—		3,221
Fannie Mae	8,802		—		—		—		—		8,802
Subtotal	12,023		—		—		—		—		12,023
Total GSEs	14,653		5		—		3		—		14,661
PLRMBS:
Prime	34		32		71		179		111		427
Alt-A	53		55		42		1,438		569		2,157
Total PLRMBS	87		87		113		1,617		680		2,584
Total MBS	15,185		92		113		1,620		680		17,690
Total securities	24,853		92		113		1,620		680		27,358
Interest-bearing deposits	832		2,745		—		—		—		3,577
Securities purchased under agreements to resell	2,000		—		—		—		—		2,000
Federal funds sold(3)	2,041		8,040		—		—		—		10,081
Total investments	$	29,726	$	10,877	$	113	$	1,620	$	680	$	43,016

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(In millions)
December 31, 2019
	Carrying Value
	Credit Rating(1)
Investment Type	AA		A		BBB		Below Investment Grade		Unrated		Total
Non-MBS
U.S. obligations – Treasury securities	$	7,050	$	—	$	—	$	—	$	—	$	7,050
Total non-MBS	7,050		—		—		—		—		7,050
MBS:
Other U.S. obligations – single-family:
Ginnie Mae	474		—		—		—		—		474
GSEs – single-family:
Freddie Mac	1,063		—		—		—		—		1,063
Fannie Mae(2)	1,836		5		—		3		—		1,844
Subtotal	2,899		5		—		3		—		2,907
GSEs – multifamily:
Freddie Mac	3,402		—		—		—		—		3,402
Fannie Mae	7,992		—		—		—		—		7,992
Subtotal	11,394		—		—		—		—		11,394
Total GSEs	14,293		5		—		3		—		14,301
PLRMBS:
Prime	35		39		71		201		127		473
Alt-A	58		53		60		1,667		670		2,508
Total PLRMBS	93		92		131		1,868		797		2,981
Total MBS	14,860		97		131		1,871		797		17,756
Total securities	21,910		97		131		1,871		797		24,806
Interest-bearing deposits	—		2,269		—		—		—		2,269
Securities purchased under agreements to resell	7,000		—		—		—		—		7,000
Federal funds sold(3)	441		3,121		—		—		—		3,562
Total investments	$	29,351	$	5,487	$	131	$	1,871	$	797	$	37,637

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

(2) The Bank has one security guaranteed by Fannie Mae but rated BB at March 31, 2020, and December 31, 2019, by S&P because of extraordinary expenses incurred during bankruptcy of the security's sponsor.

(3) Includes $141 million at March 31, 2020, and December 31, 2019, 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. 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 March 31, 2020, and December 31, 2019.

Unsecured Investment Credit Exposure by Investment Type
	Carrying Value(1)
(In millions)	March 31, 2020		December 31, 2019
Interest-bearing deposits	$	3,575	$	2,269
Federal funds sold	10,081		3,562
Total	$	13,656	$	5,831

(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 March 31, 2020, and December 31, 2019.

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 March 31, 2020, 21% of the carrying value of unsecured investments held by the Bank were rated AA, and 54% of the Bank’s total unsecured investments were to U.S. branches and agency offices of foreign commercial banks. At March 31, 2020, all of the unsecured investments held by the Bank had overnight maturities.

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Ratings of Unsecured Investment Credit Exposure by Domicile of Counterparty
(In millions)
March 31, 2020
	Carrying Value(1)
	Credit Rating(2)
Domicile of Counterparty	AA		A		Total
Domestic(3)	$	971	$	3,555	$	4,526
U.S. subsidiaries of foreign commercial banks	—		1,790		1,790
Total domestic and U.S. subsidiaries of foreign commercial banks	971		5,345		6,316
U.S. branches and agency offices of foreign commercial banks:
Australia	1,400		—		1,400
Austria	—		300		300
Canada	500		1,400		1,900
Japan	—		500		500
Netherlands	—		1,400		1,400
Switzerland	—		920		920
United Kingdom	—		920		920
Total U.S. branches and agency offices of foreign commercial banks	1,900		5,440		7,340
Total unsecured credit exposure	$	2,871	$	10,785	$	13,656

(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 March 31, 2020.

(2) Does not reflect changes in ratings, outlook, or watch status occurring after March 31, 2020. 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 March 31, 2020, in Federal funds sold to a member counterparty determined by the Bank to have an internal credit rating equivalent to an AA rating.

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 March 31, 2020, the Bank’s MBS portfolio was 267% 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 March 31, 2020, PLRMBS representing 12% 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 March 31, 2020, the Bank’s investment in MBS had gross unrealized losses totaling $380 million, $98 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.

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government is sufficient to protect the Bank from losses. As a result, the Bank determined that, as of March 31, 2020, all of the gross unrealized losses on its agency MBS are temporary.

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 credit losses on additional PLRMBS in future periods, as well as further impairment of PLRMBS that were identified as other-than-temporarily impaired prior to January 1, 2020. Additional credit 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 an allowance for credit losses on its PLRMBS in the future.

The Bank has exposure to investment securities with interest rates indexed to LIBOR. The table below presents the unpaid principal balance of adjustable rate investment securities by interest rate index at March 31, 2020. 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.

Adjustable Rate Investment Securities by Interest Rate Index
(In millions)
March 31, 2020
Interest Rate Index	MBS
LIBOR(1)	$	6,970
Other	125
Total adjustable rate investment securities(2)	$	7,095

(1) Certain MBS with multiple indices where LIBOR is the majority index are included in this amount. A de minimis amount of LIBOR-indexed MBS are due in 2020 and 2021. LIBOR-indexed MBS of $7.0 billion are due in 2022 and thereafter.

(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 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 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 March 31, 2020.

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

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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 March 31, 2020.

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)
March 31, 2020
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)	$	109,731	$	14		$	11	$	643	$	668
Liability positions with credit exposure:
Uncleared derivatives
AA	121		(13		)	13		—		—
A	7,201		(899		)	929		—		30
BBB	678		(119		)	123		—		4
Total derivative positions with credit exposure to nonmember counterparties	117,731		(1,017		)	1,076		643		702
Member institutions(3)	87		3			—		—		3
Total	117,818		$	(1,014	)	$	1,076	$	643	$	705
Derivative positions without credit exposure	1,049
Total notional	$	118,867

December 31, 2019
Counterparty Credit Rating(1)	Notional Amount		Net Fair Value of Derivatives Before Collateral			Cash Collateral Pledged to/ (from) Counterparty			Non-cash Collateral Pledged to/ (from) Counterparty		Net Credit Exposure to Counterparties
Asset positions with credit exposure:
Uncleared derivatives
A	$	488	$	2		$	(2	)	$	—	$	—
BBB	493		1			(1		)	—		—
Cleared derivatives(2)	89,550		8			7			381		396
Liability positions with credit exposure:
Uncleared derivatives
AA	1,263		(46		)	49			—		3
A	8,296		(266		)	279			—		13
BBB	713		(41		)	43			—		2
Total derivative positions with credit exposure to nonmember counterparties	100,803		(342		)	375			381		414
Member institutions(3)	46		—			—			—		—
Total	100,849		$	(342	)	$	375		$	381	$	414
Derivative positions without credit exposure	223
Total notional	$	101,072

(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 rated AA- by S&P with a Negative CreditWatch at March 31, 2020, and December 31, 2019.

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

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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 primarily executes derivatives indexed to the Overnight Index Swap (OIS) rate and SOFR to manage interest rate risk and monitors marketwide efforts to address fallback language related to LIBOR-indexed derivative transactions.

The table below presents the notional amount of interest rate swaps by interest rate index broken out by the pay or receive leg at March 31, 2020.

LIBOR-Indexed Interest Rate Swaps by Termination Date by Interest Rate Index
(In millions)
March 31, 2020
Interest Rate Index	Pay Leg		Receive Leg
Fixed	$	57,946	$	27,682
LIBOR	24,163		22,441
SOFR	14,881		50,351
OIS	20,810		17,326
Total notional amount	$	117,800	$	117,800

The table below presents the notional amount of interest rate swaps with LIBOR exposure by termination date broken out by the pay or receive leg and further bifurcated by cleared and uncleared derivative transactions at March 31, 2020. Interest rate caps and floors indexed to LIBOR totaling $430 million terminate in 2021 and totaling $550 million terminate in 2022 and thereafter. 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.

LIBOR-Indexed Interest Rate Swaps by Termination Date
(In millions)
March 31, 2020
	Pay Leg				Receive Leg
Termination Date	Cleared		Uncleared		Cleared		Uncleared
Terminates in 2020	$	17,438	$	420	$	12,163	$	224
Terminates in 2021	5,330		352		6,023		317
Terminates in 2022 and thereafter(1)	423		200		2,776		938
Total Notional Amount	$	23,191	$	972	$	20,962	$	1,479

(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

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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 2019 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: 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 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.

There have been no significant changes in the judgments and assumptions made during the first three months of 2020 in applying the Bank’s critical accounting policies. These policies and the judgments, estimates, and 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 2019 Form 10-K and in “Item 1. Financial Statements – Note 12 – 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

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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. On March 16, 2020, in light of market volatility, the Finance Agency extended the Bank’s ability to enter into LIBOR-indexed instruments that mature after December 31, 2021, from March 31, 2020, to June 30, 2020.

AB 2020-01 FHLBank Risk Management of AMA. On January 31, 2020, the Finance Agency released guidance on risk management of AMA. The guidance communicates the Finance Agency’s expectations with respect to an FHLBank’s funding of its members through the purchase of eligible mortgage loans and includes expectations that an FHLBank will have Board-established limits on AMA portfolios and management-established thresholds to serve as monitoring tools to manage AMA-related risk exposure. The guidance provides that the board of an FHLBank should ensure that the bank serves as a liquidity source for members, and an FHLBank should ensure that its portfolio limits do not result in the FHLBank’s acquisition of mortgages from smaller members being “crowded out” by the acquisition of mortgages from larger members. The AB contains the expectation that the board of an FHLBank should set limits on the size and growth of portfolios and on acquisitions from a single participating financial institution. In addition, the guidance sets forth that the board of an FHLBank should consider concentration risk of geographic area, high-balance loans, and third-party loan originations.

The Bank continues to evaluate the potential impact of this AB but currently do not expect it to materially affect our financial condition or results of operations.

Finance Agency Final Rule on Stress Testing. On March 24, 2020, the Finance Agency issued a final rule, effective upon issuance, to amend its stress testing rule, consistent with section 401 of the Economic Growth, Regulatory Relief, and Consumer Protection Act of 2018 (EGRRCPA). The final rule (i) raises the minimum threshold for entities regulated by the Finance Agency to conduct periodic stress tests from $10 billion to $250 billion or more in total consolidated assets, (ii) removes the requirements for FHLBanks to conduct stress testing, and (iii) removes the adverse scenario from the list of required scenarios. FHLBanks are currently excluded from this regulation because no FHLBank has total consolidated assets over $250 billion, but the Finance Agency reserved its discretion to require an FHLBank with total consolidated assets below the $250 billion threshold to conduct stress testing. These amendments align the Finance Agency’s stress testing rule with rules adopted by other financial institution regulators that implement the Dodd-Frank Act stress testing requirements, as amended by EGRRCPA.

Coronavirus Aid, Relief, and Economic Security (CARES) Act. The CARES Act was passed by the Senate on March 25, 2020, and by the House on March 27, 2020, and the President signed it into law the same day. The $2.2 trillion package is the largest stimulus bill in U.S. history. The CARES Act is in addition to previous relief legislation passed by Congress in March 2020. The legislation provides the following:

• Assistance to businesses, states, and municipalities.

• Creates a loan program for small businesses, non-profits, and physician practices that can be forgiven through employee retention incentives.

• Provides the Treasury Secretary authority to make loans or loan guarantees to states, municipalities, and eligible businesses and loosens some regulations imposed through the Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act).

• Direct payments to some individual taxpayers and their children.

• Expands eligibility for unemployment insurance and payment amounts.

• Includes mortgage forbearance provisions and a foreclosure moratorium.

Additional phases of the CARES Act or other COVID-19 relief legislation may be enacted by Congress. The Bank is evaluating the potential impact of the CARES Act on its business, including its impact to the U.S. economy (which is unknown), the possible acceptance of Small Business Administration (SBA) loans as a new collateral source for the Bank’s advances, and impacts to mortgages held or serviced by the Bank’s members and that the Bank accepts as collateral.

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Additional COVID-19 Legislative and Regulatory Developments. In light of the COVID-19 pandemic, governmental agencies, including the Securities and Exchange Commission, Office of the Comptroller of the Currency, Federal Reserve Board, Federal Deposit Insurance Corporation, National Credit Union Association, Commodity Futures Trading Commission, the Finance Agency, and state governments and agencies, have taken actions to provide various forms of relief from and guidance regarding the financial, operational, credit, market, and other effects of the pandemic, some of which may have a direct or indirect impact on the Bank and its members. Many of these actions are temporary in nature. The Bank is monitoring these actions and guidance and evaluating their potential impact on the Bank.

Finance Agency Supervisory Letter – Paycheck Protection Program (PPP) Loans as Collateral for FHLBank Advances. On April 23, 2020, the Finance Agency issued a Supervisory Letter (PPP Supervisory Letter) permitting the FHLBanks to accept PPP loans as collateral for advances as agency securities, given the SBA’s 100% guarantee of the unpaid principal balance. On April 20, 2020, the SBA published its third interim final rule related to PPP loans, which explicitly waived certain regulatory requirements that must be satisfied before a member could pledge PPP loans to the FHLBanks as collateral. The PPP Supervisory Letter establishes a series of conditions under which the FHLBanks may accept PPP loans as collateral, which conditions focus on the financial condition of members, collateral discounts, and pledge dollar limits.

The Bank is evaluating the potential impact of the PPP Supervisory Letter, including the determination whether to accept PPP loans as collateral and the terms on which the Bank would accept such collateral, but does not expect the PPP Supervisory Letter to materially affect its financial condition or results of operations.

Off-Balance Sheet Arrangements and Aggregate Contractual Commitments

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 $1,174.7 billion at March 31, 2020, and $1,025.9 billion at December 31, 2019. The par value of the Bank’s participation in consolidated obligations was $117.1 billion at March 31, 2020, and $98.8 billion at December 31, 2019. The Bank had committed to the issuance of $1,410 million and $805 million in consolidated obligations at March 31, 2020, and December 31, 2019, respectively.

In addition, in the ordinary course of business, the Bank engages in financial transactions that, in accordance with U.S. GAAP, are not recorded on the Bank’s Statements of Condition or may be recorded on the Bank’s Statements 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 March 31, 2020, the Bank had $24 million in advance commitments and $20.2 billion in standby letters of credit outstanding. At December 31, 2019, the Bank had no advance commitments and $21.6 billion in standby letters of credit outstanding.

For additional information, see “Item 1. Financial Statements – Note 13 – Commitments and Contingencies.”

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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 March 31, 2020.

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

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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)	March 31, 2020		December 31, 2019
+200 basis-point change above current rates	+2.6	%	–2.4	%
+100 basis-point change above current rates	+1.9		–1.1
–100 basis-point change below current rates(2)	+11.5		+1.1
–200 basis-point change below current rates(2)	+12.7		+6.9

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

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

The Bank’s estimates of the sensitivity of the market value of capital to changes in interest rates as of March 31, 2020, show considerably more positive sensitivity compared with the estimates as of December 31, 2019. As a result of the uncertainty associated with the COVID-19 pandemic, there have been significant changes in interest rates and spread relationships. LIBOR interest rates as of March 31, 2020, were 109 basis points lower for the one-year term, 120 basis points lower for the five-year term, and 117 basis points lower for the ten-year term. In March 2020, the ten-year Treasury hit an all-time low of 0.54%. In addition to the material changes in interest rates, price changes in two segments of the Bank’s mortgage portfolio materially impacted the Bank’s market value sensitivity profile. Prices on the Bank’s fixed rate mortgage loans purchased under the MPF Program increased, resulting in the asset spread relative to pricing benchmark to materially decline. The favorable spread change improves the market value of the Bank’s mortgage loans. If interest rates increase, these loans will remain outstanding for a longer period of time, and the favorable spread difference will exist for a longer period of time resulting in a less detrimental impact on the Bank’s projected market value. The Bank investment portfolio also includes fixed rate multifamily MBS that are swapped to overnight assets at time of trade. Given the prepayment protection provisions embedded in these securities, the MBS cashflows are consistent across alternative interest rate scenarios. For these securities, the asset spread to the pricing benchmark increased, which caused the decline in prices in rising rate scenarios to lessen. The change in the declining market value sensitivity profile is driven by the historically low interest rate environment. Given the significant decline in interest rates during the first quarter of 2020, 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.

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 198% as of March 31, 2020.

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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. Given the current low interest rate environment, in the downward shift interest rates were limited to non-negative rates. With the indicated interest rate shifts, the adjusted return on capital for the projected 12-month horizon would be expected to decrease by 17 basis points in the –200 basis-points scenario, well 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
	March 31, 2020			December 31, 2019
	Amount (In millions)		Duration Gap(1) (In months)	Amount (In millions)		Duration Gap(1) (In months)
Assets	$	124,870	3	$	106,842	3
Liabilities	118,463		3	100,101		2
Net	$	6,407	—	$	6,741	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 to offset 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

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

The Bank updates the repricing and maturity gaps for actual asset, liability, and derivative transactions that occur in the advances-related segment each day. The Bank regularly compares the targeted repricing and maturity gaps to the actual repricing and maturity gaps to identify rebalancing needs for the targeted gaps. On a weekly basis, the Bank evaluates the projected impact of expected maturities and scheduled repricings of assets, liabilities, and interest rate 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 effect 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 March 31, 2020, was $20.9 billion, including $17.7 billion in MBS and $3.2 billion in mortgage loans. The total carrying value of MBS and mortgage loans at December 31, 2019, was $21.1 billion, including $17.8 billion in MBS and $3.3 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 $15.2 billion, or 73%, of MBS and mortgage loans at March 31, 2020, and $15.1 billion, or 72%, of MBS and mortgage loans at December 31, 2019. 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 $5.7 billion, or 27%, of MBS and mortgage loans, at March 31, 2020, and $6.0 billion, or 28%, of MBS and mortgage loans at December 31, 2019.

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

89

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

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

As discussed above in “Total Bank Market Risk – Market Value of Capital Sensitivity,” 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 March 31, 2020, and December 31, 2019.

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)	March 31, 2020		December 31, 2019
+200 basis-point change	+4.1	%	–0.6	%
+100 basis-point change	+2.5		–0.2
–100 basis-point change(2)	+5.6		+0.2
–200 basis-point change(2)	+6.1		+3.2

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

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

The explanations for the changes in Bank’s estimates of the sensitivity of the market value of capital to changes in interest rates attributable to the mortgage-related business from December 31, 2019, to March 31, 2020, are the same as the explanations for the sensitivity of the market value of capital attributable to all of the Bank’s assets, liabilities, and associated interest rate exchange agreements.

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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 March 31, 2020, 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 two lawsuits filed by former Bank officer, Lawrence H. Parks, and another former officer of the Bank, against the Bank, certain of the Bank’s current and former directors, the Bank’s former chief executive officer, one current employee, and one former employee, see “Part I. Item 3. Legal Proceedings” in the Bank’s 2019 Form 10-K.

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

Natural disasters, pandemics, terrorist attacks, or other catastrophic events could adversely affect the Bank’s operations, business activities, results of operations and financial condition.

Natural disasters, pandemics, or other widespread health emergencies (such as the recent outbreak of COVID-19), terrorist attacks, or other unanticipated or catastrophic events could create economic and financial disruptions and uncertainties, which may lead to reduced demand for advances and an increased risk of credit losses for the Bank and may adversely affect its cost of funding or access to funding. These events may also lead to operational difficulties that could adversely affect the ability of the Bank and the Office of Finance to conduct and manage their businesses. Any of these factors could adversely affect the Bank’s business activities and results of operations.

In particular, the current COVID-19 pandemic has disrupted the credit markets in which the Bank operates, and the decline in interest rates has adversely affected the fair values of the Bank’s assets, the valuation of collateral, and the Bank’s net income and capital. A prolonged COVID-19 outbreak may continue to have adverse effects on the Bank’s profitability and financial condition. Market volatility and economic stress during a prolonged COVID-19 outbreak may adversely affect the Bank’s access to the debt markets and possibly affect the Bank’s liquidity. The Bank’s decision to have all employees work remotely in accordance with local “stay-at-home” orders may create additional cybersecurity risks and operational challenges that could affect the Bank’s ability to conduct business or increase the risk of operational incidents and errors. In addition, the Bank relies on vendors and other third parties to perform certain critical services, and if one of our critical vendors or third parties experiences a failure or any interruption to their business due to the COVID-19 pandemic, the Bank may be unable to conduct and manage its business effectively. The outlook for the remainder of 2020 is uncertain, and there is a possibility that if the Federal Reserve keeps interest rates low or even uses negative interest rates, this could significantly affect the Bank’s business and profitability.

For a discussion of other risk factors, see “Part I. Item 1A. Risk Factors” in the Bank’s 2019 Form 10-K.

ITEM 5. OTHER INFORMATION

As previously reported, Kenneth C. Miller, executive vice president and chief financial officer of the Bank, notified the Bank of his decision to retire from the Bank in the second quarter of 2020. On May 7, 2020, Mr. Miller notified the Bank of his decision to revise his retirement date to the fourth quarter of 2020, after the Bank’s quarterly report on Form 10-Q for the period ending September 30, 2020, is filed with the Securities and Exchange Commission.

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ITEM 6.    EXHIBITS

Exhibit No.	Description
4.1	Description of Registered Securities
31.1	Certification of the Acting 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 Acting 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 May 12, 2020.

Federal Home Loan Bank of San Francisco

/S/ STEPHEN P. TRAYNOR

Stephen P. Traynor
Acting 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-4.1

Exhibit 4.1

DESCRIPTION OF REGISTERED SECURITIES

As of March 31, 2020, Federal Home Loan Bank of San Francisco (Bank) has one class of securities, Class B stock, registered under Section 12 of the Securities Exchange Act of 1934, as amended (Exchange Act). The Class B Stock is registered pursuant to Section 12(g) of the Exchange Act.

DESCRIPTION OF CLASS B STOCK

The following description of the Bank’s Class B Stock and the relevant provisions of the Bank’s amended bylaws and amended capital plan are summaries and are qualified in their entirety by reference to the Bank’s organization certificate, amended bylaws and the Bank’s Capital Plan.

General

The Class B Stock has a par value of $100 per share and is issued, redeemed, repurchased, and transferred only at its stated par value. Each issued and outstanding share of Class B Stock represents an undivided proportionate ownership interest in the retained earnings, paid-in surplus, undivided profits, and equity reserves of the Bank. The Bank may issue Class B Stock only in book-entry form.

Ownership and Transfer of Class B Stock

Class B Stock may be owned only by Bank members or, if required by the Bank in accordance with the Bank’s Capital Plan, by a former member or a member’s successor, and certain other nonmembers who have acquired advances from a former member. At the request of a member, the Bank may transfer a member’s Excess Stock (which is defined in the Capital Plan as stock in excess of a member’s minimum stock requirement) to another Bank member or to an institution that has been approved for membership. All transfers must be made at par value. No other transfers are permitted.

Voting Rights

The members are entitled to vote only in connection with the election of directors in accordance with the Federal Home Loan Bank Act (FHLB Act) and the Federal Housing Finance Agency (Finance Agency) regulations. Each member entitled to vote in a director election may cast for each open directorship in that member’s state in that election, and in any nonmember independent director election, a number of votes equal to the number of shares that it was required to hold as of the prior December 31 (the record date), except that no member’s votes may exceed the average of the number of shares required to be held by all members located in that state as of the record date. Excess Stock is not counted for purposes of voting or for determining the voting limit. A former member that was a member as of the record date is entitled to vote in the election of directors in accordance with the FHLB Act and Finance Agency regulations.

Dividends

All Class B Stock will share in any dividends without preference. Dividends may be paid in the form of cash or Class B Stock. Dividends will be paid to the holders of record during the time period for which the dividend is declared and will be computed on the amount of time during the relevant time period that the shares were outstanding. Dividends will be payable only from the current net earnings or previously retained earnings of the Bank, determined in accordance with generally accepted accounting principles and subject to applicable policies of the Bank and the regulations of the Finance Agency, which may change from time to time.

The Bank is prohibited from paying dividends if the Bank is not in compliance with any of its minimum regulatory capital requirements or if the payment would cause the Bank to fail to meet any of its minimum regulatory capital requirements. The Bank also is prohibited from paying dividends if any principal or interest due on consolidated

1

obligations issued through the Office of Finance has not been paid in full or, under certain circumstances, if the Bank fails to satisfy liquidity requirements under applicable Finance Agency regulations.

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 Stock. 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 based on the ratio of the Bank’s estimated market value of total capital to par value of capital stock. If this ratio at the end of any quarter is less than 100% but greater than or equal to 70%, any dividend would be limited to an annualized rate no greater than the daily average of the 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.

Finance Agency regulations do not permit the Bank to pay dividends in the form of capital stock if its Excess Stock exceeds 1% of its total assets.

A former member will be entitled to receive any dividends attributable to its Class B Stock through the date of redemption or repurchase by the Bank.

Liquidation, Merger, or Consolidation

In the event of a liquidation of the Bank, and subject to the authority of the Finance Agency governing liquidations, after payment of the Bank’s liabilities, the holders of Class B Stock will receive par value for their Class B Stock, provided that if funds are insufficient to make payment in full on all of the Class B Stock, the payment will occur on a pro rata basis. In addition, any undistributed retained earnings, paid-in surplus, undivided profits, equity reserves, and other assets not otherwise identified will be allocated among the holders of Class B Stock in proportion to the number of shares of Class B Stock owned by each.

If the Bank is combined with one or more of the other FHLBanks or otherwise liquidated or reorganized, the rights, privileges, and obligations of holders of Class B Stock must be approved by the Finance Agency.

Redemption and Repurchase of Class B Stock While Membership Continues

Redemption Upon Application by the Member. A member may obtain redemption of Class B Stock following a five-year redemption period, subject to certain conditions, by providing a written redemption notice to the Bank. The notice must identify the particular shares to be redeemed, and the identified shares may not be subject to an outstanding request for redemption. If the notice does not identify the particular shares to be redeemed, the member will be deemed to have requested redemption of the most recently purchased shares that are not subject to a pending redemption notice, followed by the shares most recently acquired in a manner other than by purchase that are not subject to a pending redemption notice. Following the requested redemption, the member must continue to meet its minimum stock requirement under the Capital Plan.

A member may cancel its redemption notice before the expiration of the redemption period, subject to a cancellation fee of $0.50 per share during the first 30 months of the redemption period and $1.00 per share after that. If, following the requested redemption, the member would fail to meet its minimum stock requirement, the Bank will not redeem the member’s Class B Stock, but will attempt the redemption on each of the following five business days. If the Bank is prevented from redeeming a member’s Class B Stock during this period for this reason, the redemption notice will be cancelled automatically, and the member must pay a cancellation fee of $1.00 per share multiplied by the number of shares to which the cancellation applies.

2

Repurchase Initiated by the Bank. In accordance with the Capital Plan, at its discretion, the Bank may repurchase some or all of a member’s Excess Stock by giving the member 15 days’ written notice. The member may waive the notice period. If the Bank is repurchasing Excess Stock from a member, the Bank will first repurchase any Excess Stock subject to a redemption notice submitted by that member, followed by the most recently purchased shares of Excess Stock not subject to a redemption notice, and then by the shares of Excess Stock most recently acquired other than by purchase and not subject to a redemption notice.

In accordance with the Framework, the Bank’s current practice is to repurchase the Surplus Stock (which is defined in the Framework as any stock holdings in excess of 115% of a member’s minimum capital stock requirement) of all members and the Excess Stock of all former members on a daily schedule. The Bank calculates the amount of stock to be repurchased each business day based on the stockholder’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 provided written notice to members of the daily repurchases in a communication to members on April 9, 2018 and provided a standing written notice to members of the daily repurchases in the Bank’s Credit Guide. The Bank may change this practice at any time.

Limitations on Redemption and Repurchase. The Bank may not redeem or repurchase any Class B Stock if, following the redemption or repurchase, the Bank would fail to meet its minimum regulatory capital requirement or the affected member would fail to meet its minimum stock requirement. Also, the Bank may not redeem or repurchase any Class B Stock without the approval of the Finance Agency if the Finance Agency or the Board of Directors determines that the Bank has incurred or is likely to incur losses resulting in or likely to result in charges against capital creating an other than temporary decline that causes the Bank’s Total Capital (as defined in the Capital Plan) to fall below the Bank’s aggregate amount of Class B Stock.

Suspension of Redemption and Repurchases. If the Board of Directors determines that the Bank may be unable to satisfy in full all redemptions for a given quarter because (1) following the redemption the Bank would fail to meet or would be likely to fail to meet its minimum regulatory capital requirement, or (2) the redemption would otherwise prevent the Bank from operating in a safe and sound manner, then the Board of Directors may temporarily suspend redemption during that quarter. The Bank shall not repurchase any Excess Stock (including Surplus Stock) without the prior written approval of the Finance Agency during any period in which the Board of Directors has suspended the redemption of capital stock.

3

EX-31.1

EXHIBIT 31.1

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

for the Acting President and Chief Executive Officer

I, Stephen P. Traynor, certify that:

1. I have reviewed this quarterly report on Form 10-Q for the period ended March 31, 2020, 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.

May 12, 2020	/S/ STEPHEN P. TRAYNOR
	Stephen P. Traynor Acting 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 March 31, 2020, 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.

May 12, 2020	/S/ KENNETH C. MILLER
	Kenneth C. Miller Executive Vice President and Chief Financial Officer

EX-32.1

EXHIBIT 32.1

Certification by the Acting 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, Stephen P. Traynor, Acting 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 March 31, 2020, (“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.

May 12, 2020	/S/ STEPHEN P. TRAYNOR
	Stephen P. Traynor Acting 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, Executive 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 March 31, 2020, (“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.

May 12, 2020	/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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Consolidated Obligations (Consolidated Obligation Bonds Noncallable and Callable) (Details) - USD ($) $ in Millions	Mar. 31, 2020	Dec. 31, 2019
Debt Instrument [Line Items]
Derivatives, Notional Amount	$ 118,867	$ 101,072
CO Bonds Par	77,907	71,370
Non-callable
Debt Instrument [Line Items]
CO Bonds Par	73,832	65,025
Callable
Debt Instrument [Line Items]
CO Bonds Par	4,075	6,345
Consolidated obligation bonds | Consolidated Obligations, Callable Option [Member]
Debt Instrument [Line Items]
Derivatives, Notional Amount	$ 245	$ 2,085

XML

Mortgage Loans Held for Portfolio Allowance Narrative (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019	Dec. 31, 2019
Loans and Leases Receivable Disclosure [Line Items]
Housing price forecast appreciation over one year horizon	1.00%
Housing price forecast appreciation over three year horizon	4.00%
Charge offs/recoveries	$ 0	$ 0
Allowance for credit losses on mortgage loans	3		$ 0
Conventional Mortgage Loan
Loans and Leases Receivable Disclosure [Line Items]
Cumulative accounting change for CECL	3
Allowance for credit losses on mortgage loans	$ 3		$ 0

XML

Derivatives and Hedging Activities (Derivatives in Statement of Condition) (Details) - USD ($) $ in Millions		Mar. 31, 2020	Dec. 31, 2019
Derivatives, Fair Value [Line Items]
Derivatives, Notional Amount		$ 118,867	$ 101,072
Derivative Assets		45	44
Netting adjustments and cash collateral	[1]	17	(11)
Total Derivative Assets and Derivative Liabilities		62	33
Derivative Liabilities		1,055	384
Netting Adjustments and Cash Collateral-Derivative Liability	[1]	(1,055)	(384)
Derivative Assets and Derivative Liabilities		0	0
Cash collateral posted and related accrued interest		1,082	378
Cash collateral received and related accrued interest		9	5
Designated as Hedging Instrument
Derivatives, Fair Value [Line Items]
Derivatives, Notional Amount		46,837	39,622
Derivative Assets		24	31
Derivative Liabilities		1,011	370
Designated as Hedging Instrument | Interest rate swaps
Derivatives, Fair Value [Line Items]
Derivatives, Notional Amount		46,837	39,622
Derivative Assets		24	31
Derivative Liabilities		1,011	370
Not Designated as Hedging Instrument, Economic Hedge | Interest rate swaps
Derivatives, Fair Value [Line Items]
Derivatives, Notional Amount		70,963	60,424
Derivative Assets		18	13
Derivative Liabilities		44	14
Not Designated as Hedging Instrument, Economic Hedge | Interest rate caps and floors
Derivatives, Fair Value [Line Items]
Derivatives, Notional Amount		980	980
Derivative Assets		0	0
Derivative Liabilities		0	0
Not Designated as Hedging Instrument
Derivatives, Fair Value [Line Items]
Derivatives, Notional Amount		72,030	61,450
Derivative Assets		21	13
Derivative Liabilities		44	14
Mortgages | Not Designated as Hedging Instrument | Mortgage delivery commitments
Derivatives, Fair Value [Line Items]
Derivatives, Notional Amount		87	46
Derivative Assets		3	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 $1,082 and $378 at March 31, 2020, and December 31, 2019, respectively. Cash collateral received and related accrued interest was $9 and $5 at March 31, 2020, and December 31, 2019, respectively.

XML

Commitments and Contingencies Off-Balance Sheet Commitments (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2020	Dec. 31, 2019
Loss Contingencies [Line Items]
Obligation with Joint and Several Liability Arrangement, Amount Outstanding	$ 1,174,670	$ 1,025,895
Standby Letters Of Credit, Final Expiration	2035
Other Liabilities	$ 366	362
Commitments to purchase mortgage loans, maximum term	60 days
Total consolidated obligations, par value	$ 117,062	98,817
Assets Pledged As Collateral	1,725	759
Security Owned and Pledged as Collateral, Fair Value	643	381
Derivative, Collateral, Right to Reclaim Cash	1,082	378
Standby letters of credit outstanding
Loss Contingencies [Line Items]
Expire Within One Year	15,207	16,898
Expire After One Year	4,954	4,658
Total	20,161	21,556
Other Liabilities	33	32
Loan Origination Commitments [Member]
Loss Contingencies [Line Items]
Expire Within One Year	24	0
Expire After One Year	0	0
Total	24	0
Commitments to issue consolidated obligation discount notes, par
Loss Contingencies [Line Items]
Expire Within One Year	250	805
Expire After One Year	0	0
Total	250	805
Commitments to issue consolidated obligation bonds, par
Loss Contingencies [Line Items]
Expire Within One Year	1,160	0
Expire After One Year	0	0
Total	$ 1,160	0
Minimum | Standby letters of credit outstanding
Loss Contingencies [Line Items]
Guarantor Obligations, Term	2 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	$ 117,062	98,817
Mortgages | Commitments to purchase mortgage loans
Loss Contingencies [Line Items]
Expire Within One Year	87	46
Expire After One Year	0	0
Total	$ 87	$ 46

XML

Derivatives and Hedging Activities (Offsetting of Derivative Assets and Derivative Liabilities) (Details) - USD ($) $ in Millions		Mar. 31, 2020	Dec. 31, 2019
Derivative [Line Items]
Total Derivative Assets and Derivative Liabilities		$ 62	$ 33
Derivative Asset, Fair Value, Amount Offset Against Collateral		705	414
Netting Adjustments and Cash Collateral-Derivative Liability	[1]	(1,055)	(384)
Derivative Assets and Derivative Liabilities		0	0
Derivative Liability, Fair Value, Amount Offset Against Collateral		0	0
Uncleared derivatives
Derivative [Line Items]
Derivative Asset, Fair Value, Gross Recognized Amount		15	34
Derivative Asset Fair Value Gross Liability and Right To Reclaim Cash Offset		20	(16)
Derivative Asset, Not Subject to Master Netting Arrangement		3
Total Derivative Assets and Derivative Liabilities		38	18
Derivative Asset, Noncash collateral not offset that can be sold or repledged		0	0
Derivative Asset, Fair Value, Amount Offset Against Collateral		38	18
Derivative Liability, Fair Value, Gross Recognized Amount		1,041	382
Netting Adjustments and Cash Collateral-Derivative Liability		(1,041)	(382)
Derivative Liability, Not Subject to Master Netting Arrangement		0
Derivative Assets and Derivative Liabilities		0	0
Derivative Liability, Noncash collateral not offset that can be sold or repledged		0	0
Derivative Liability, Fair Value, Amount Offset Against Collateral		0	0
Cleared derivatives
Derivative [Line Items]
Derivative Asset, Fair Value, Gross Recognized Amount		27	10
Derivative Asset Fair Value Gross Liability and Right To Reclaim Cash Offset		(3)	5
Derivative Asset, Not Subject to Master Netting Arrangement		0
Total Derivative Assets and Derivative Liabilities		24	15
Derivative Asset, Noncash collateral not offset that can be sold or repledged		(643)	(381)
Derivative Asset, Fair Value, Amount Offset Against Collateral		667	396
Derivative Liability, Fair Value, Gross Recognized Amount		14	2
Netting Adjustments and Cash Collateral-Derivative Liability		(14)	(2)
Derivative Liability, Not Subject to Master Netting Arrangement		0
Derivative Assets and Derivative Liabilities		0	0
Derivative Liability, Noncash collateral not offset that can be sold or repledged		0	0
Derivative Liability, Fair Value, Amount Offset Against Collateral		$ 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 $1,082 and $378 at March 31, 2020, and December 31, 2019, respectively. Cash collateral received and related accrued interest was $9 and $5 at March 31, 2020, and December 31, 2019, respectively.

XML

Fair Value (Fair Value Option) (Details) - USD ($) $ in Millions		3 Months Ended
		Mar. 31, 2020	Mar. 31, 2019
Fair Value, Option, Quantitative Disclosures [Line Items]
Balance, beginning of the period	[1]	$ 4,370
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds from changes in fair value recognized in earnings		89	$ 39
Balance, end of the period	[1]	4,334
Advances
Fair Value, Option, Quantitative Disclosures [Line Items]
Balance, beginning of the period		4,370	5,133
New transactions elected for fair value option		7,070	0
Maturities and terminations		(7,197)	(125)
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds from changes in fair value recognized in earnings		91	46
Change in accrued interest		0	(1)
Balance, end of the period		4,334	5,053
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	7
Balance, beginning of the period		337	2,019
New transactions elected for fair value option		0	0
Maturities and terminations		(85)	(830)
Change in accrued interest		0	(5)
Balance, end of the period		$ 254	$ 1,191

[1] At March 31, 2020, and December 31, 2019, none of these advances were 90 days or more past due or had been placed on nonaccrual status.

XML

Derivatives and Hedging Activities

3 Months Ended

Mar. 31, 2020

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 based on a daily repricing index, such as the Secured Overnight Financing Rate (SOFR) or the effective Fed Funds 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 Statements 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 as well as agency MBS. 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. 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.”

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 2019 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 March 31, 2020, and December 31, 2019. For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest.

	March 31, 2020							December 31, 2019
	Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities			Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	46,837	$	24	$	1,011		$	39,622	$	31		$	370
Total	46,837		24		1,011			39,622		31			370
Derivatives not designated as hedging instruments:
Interest rate swaps	70,963		18		44			60,424		13			14
Interest rate caps and floors	980		—		—			980		—			—
Mortgage delivery commitments	87		3		—			46		—			—
Total	72,030		21		44			61,450		13			14
Total derivatives before netting and collateral adjustments	$	118,867	45		1,055			$	101,072	44			384
Netting adjustments and cash collateral(1)			17		(1,055		)			(11		)	(384		)
Total derivative assets and total derivative liabilities			$	62	$	—				$	33		$	—

(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 $1,082 and $378 at March 31, 2020, and December 31, 2019, respectively. Cash collateral received and related accrued interest was $9 and $5 at March 31, 2020, and December 31, 2019, respectively.

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 months ended March 31, 2020 and 2019.

	Three Months Ended March 31, 2020
	Interest Income/(Expense)
	Advances			AFS Securities			Consolidated Obligation Bonds
Total interest income/(expense) presented in the Statements of Income	$	279		$	51		$	(276	)
Gain/(loss) on fair value hedging relationships
Derivatives(1)	$	(651	)	$	(968	)	$	26
Hedged items	610			893			(23		)
Net gain/(loss) on fair value hedging relationships	$	(41	)	$	(75	)	$	3

	Three Months Ended March 31, 2019
	Interest Income/(Expense)
	Advances			AFS Securities			Consolidated Obligation Bonds
Total income/(expense) presented in the Statements of Income	$	498		$	79		$	(455	)
Gain/(loss) on fair value hedging relationships
Derivatives(1)	$	(82	)	$	(128	)	$	19
Hedged items	103			117			(28		)
Net gain/(loss) on fair value hedging relationships	$	21		$	(11	)	$	(9	)

(1) 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 March 31, 2020.

	March 31, 2020
Hedged Item Type	Amortized Cost of Hedged Asset/(Liability)(1)			Basis Adjustments for Active Hedging Relationships Included in Amortized Cost			Basis Adjustments for Discontinued Hedging Relationships Included in Amortized Cost		Cumulative Amount of Fair Value Hedging Basis Adjustments
Advances	$	32,880		$	804		$	8	$	812
AFS securities	14,195			1,275			49		1,324
Consolidated obligation bonds	(2,707		)	(32		)	—		(32		)

(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 months ended March 31, 2020 and 2019.

	Three Months Ended
	March 31, 2020			March 31, 2019
	Gain/(Loss)			Gain/(Loss)
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	$	(143	)	$	(23	)
Interest rate caps and floors	—			(1		)
Net settlements	(8		)	(5		)
Mortgage delivery commitments	4			1
Net gain/(loss) on derivatives and hedging activities	$	(147	)	$	(28	)

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 March 31, 2020, was $1,036, for which the Bank had posted cash collateral of $1,070 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 tables present 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 March 31,

2020, and December 31, 2019.

	March 31, 2020
	Derivative Instruments Meeting Netting Requirements
	Amount Recognized		Gross Amount of Netting Adjustments and Cash Collateral			Derivative Instruments Not Meeting Netting Requirements(1)		Total Derivative Assets and Total Derivative Liabilities		Noncash Collateral Not Offset That  Can Be Sold or Repledged			Net Amount
Derivative Assets
Uncleared	$	15	$	20		$	3	$	38	$	—		$	38
Cleared	27		(3		)	—		24		(643		)	667
Total								$	62				$	705
Derivative Liabilities
Uncleared	$	1,041	$	(1,041	)	$	—	$	—	$	—		$	—
Cleared	14		(14		)	—		—		—			—
Total								$	—				$	—

	December 31, 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	$	34	$	(16	)	$	18	$	—		$	18
Cleared	10		5			15		(381		)	396
Total						$	33				$	414
Derivative Liabilities
Uncleared	$	382	$	(382	)	$	—	$	—		$	—
Cleared	2		(2		)	—		—			—
Total						$	—				$	—

(1)

Represents derivatives that are not subject to an enforceable netting agreement (e.g., mortgage delivery commitments).

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Consolidated Obligations

3 Months Ended

Mar. 31, 2020

Debt Disclosure [Abstract]

Consolidated Obligations

Consolidated Obligations

Consolidated obligations, consisting of consolidated obligation bonds and discount notes, are jointly issued by the Federal Home Loan Banks (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 2019 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 March 31, 2020, and December 31, 2019.

	March 31, 2020					December 31, 2019
Contractual Maturity	Amount Outstanding			Weighted Average Interest Rate		Amount Outstanding			Weighted Average Interest Rate
Within 1 year	$	62,453		0.51	%	$	53,549		1.68	%
After 1 year through 2 years	11,690			0.46		13,853			1.67
After 2 years through 3 years	596			1.84		770			1.93
After 3 years through 4 years	165			2.14		135			2.74
After 4 years through 5 years	812			1.82		937			2.08
After 5 years	2,191			2.71		2,126			2.94
Total par value	77,907			0.59	%	71,370			1.73	%
Unamortized premiums	3					1
Unamortized discounts	(9		)			(10		)
Valuation adjustments for hedging activities	32					9
Fair value option valuation adjustments	4					2
Total	$	77,937				$	71,372

The Bank’s participation in consolidated obligation bonds outstanding includes callable bonds of $4,075 at March 31, 2020, and $6,345 at December 31, 2019. 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 $245 at March 31, 2020, and $2,085 at December 31, 2019. 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 March 31, 2020, and December 31, 2019, was as follows:

	March 31, 2020		December 31, 2019
Par value of consolidated obligation bonds:
Non-callable	$	73,832	$	65,025
Callable	4,075		6,345
Total par value	$	77,907	$	71,370

The following is a summary of the Bank’s participation in consolidated obligation bonds outstanding at March 31, 2020, and December 31, 2019, by the earlier of the year of contractual maturity or next call date.

Earlier of Contractual Maturity or Next Call Date	March 31, 2020		December 31, 2019
Within 1 year	$	65,778	$	58,239
After 1 year through 2 years	11,620		12,768
After 2 years through 3 years	381		195
After 3 years through 4 years	40		70
After 4 years through 5 years	37		47
After 5 years	51		51
Total par value	$	77,907	$	71,370

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:

	March 31, 2020					December 31, 2019
	Amount Outstanding			Weighted Average Interest Rate (1)		Amount Outstanding			Weighted Average Interest Rate (1)
Par value	$	39,155		0.84	%	$	27,447		1.61	%
Unamortized discounts	(53		)			(71		)
Total	$	39,102				$	27,376

(1) Represents yield to maturity excluding concession fees.

Interest Rate Payment Terms. Interest rate payment terms for consolidated obligations at March 31, 2020, and December 31, 2019, 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 2019 Form 10-K.

	March 31, 2020		December 31, 2019
Par value of consolidated obligations:
Bonds:
Fixed rate	$	7,623	$	10,993
Adjustable rate	70,099		60,117
Step-up	60		60
Step-down	25		100
Range bonds	100		100
Total bonds, par value	77,907		71,370
Discount notes, par value	39,155		27,447
Total consolidated obligations, par value	$	117,062	$	98,817

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 March 31, 2020, or December 31, 2019. 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 11 – Derivatives and Hedging Activities and Note 12 – Fair Value.

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Investments (Notes)

3 Months Ended

Mar. 31, 2020

Investments [Abstract]

Available-for-Sale Securities

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.

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		—			27		(13		)	7,610
PLRMBS:
Prime	213		—			17		—			230
Alt-A	2,116		(9		)	260		—			2,367
Subtotal PLRMBS	2,329		(9		)	277		—			2,597
Total MBS	9,925		(9		)	304		(13		)	10,207
Total	$	15,206	$	(9	)	$	311	$	(13	)	$	15,495

(1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts, net charge-offs, and valuation adjustments for hedging activities, and excludes accrued interest receivable of $51 and $58 at March 31, 2020, and December 31, 2019, respectively.

(2) Effective January 1, 2020, the Bank completed an analysis to determine whether to record an allowance for credit losses for expected credit losses on AFS securities. Prior to January 1, 2020, credit losses were recorded as a direct write-down to the AFS security carrying value. OTTI recognized in AOCI excludes subsequent unrealized gains/(losses) in fair value of previously other-than-temporarily impaired AFS securities at December 31, 2019, which is included in net non-credit-related OTTI on AFS securities.

(3) Includes $277 in subsequent unrealized gains in fair value of previously other-than-temporarily impaired AFS securities at December 31, 2019.

At March 31, 2020, the amortized cost of the Bank’s MBS classified as AFS included premiums of $68, discounts of $50, and credit-related OTTI of $547 for AFS securities with an OTTI recognized pursuant to the impairment guidance in effect prior to January 1, 2020. At December 31, 2019, the amortized cost of the Bank’s MBS classified as AFS included premiums of $65, discounts of $52, and credit-related OTTI of $574.

The following tables summarize the AFS securities with unrealized losses as of March 31, 2020, and December 31, 2019. 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. At December 31, 2019, 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 as of December 31, 2019, also include non-credit-related OTTI losses recognized in AOCI.

March 31, 2020
	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	$	104	$	—	$	—	$	—	$	104	$	—
MBS:
MBS – GSEs – multifamily:
Freddie Mac	$	833	$	24	$	—	$	—	$	833	$	24
Fannie Mae	7,402		216		235		12		7,637		228
Subtotal MBS – GSEs – multifamily	8,235		240		235		12		8,470		252
PLRMBS:
Prime	109		1		6		1		115		2
Alt-A	747		37		161		27		908		64
Subtotal PLRMBS	856		38		167		28		1,023		66
Total MBS	9,091		278		402		40		9,493		318
Total	$	9,195	$	278	$	402	$	40	$	9,597	$	318

December 31, 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 – GSEs – multifamily:
Freddie Mac	$	211	$	—	$	—	$	—	$	211	$	—
Fannie Mae	2,433		9		623		4		3,056		13
Subtotal MBS – GSEs – multifamily	2,644		9		623		4		3,267		13
PLRMBS:
Prime	4		—		8		—		12		—
Alt-A	75		—		193		9		268		9
Subtotal PLRMBS	79		—		201		9		280		9
Total	$	2,723	$	9	$	824	$	13	$	3,547	$	22

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 March 31, 2020, and December 31, 2019, 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.

March 31, 2020
Year of Contractual Maturity	Amortized Cost		Estimated Fair Value
AFS securities other than MBS:
Due in 1 year or less	$	3,290	$	3,293
Due after 1 year through 5 years	2,057		2,060
Subtotal	5,347		5,353
MBS	11,080		10,822
Total	$	16,427	$	16,175

December 31, 2019
Year of Contractual Maturity	Amortized Cost		Estimated Fair Value
AFS securities other than MBS:
Due in 1 year or less	$	2,309	$	2,312
Due after 1 year through 5 years	2,972		2,976
Subtotal	5,281		5,288
MBS	9,925		10,207
Total	$	15,206	$	15,495

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:  

March 31, 2020
	Amortized Cost(1)		OTTI Recognized in AOCI(2)			Net Carrying Value		Gross Unrecognized Holding Gains(3)		Gross Unrecognized Holding Losses(3)			Estimated Fair Value
MBS – Other U.S. obligations – single-family:
Ginnie Mae	$	441	$	—		$	441	$	15	$	—		$	456
MBS – GSEs – single-family:
Freddie Mac	952		—			952		20		—			972
Fannie Mae	1,686		—			1,686		28		(3		)	1,711
Subtotal MBS – GSEs – single-family	2,638		—			2,638		48		(3		)	2,683
MBS – GSEs – multifamily:
Freddie Mac	2,388		—			2,388		—		(25		)	2,363
Fannie Mae	1,039		—			1,039		—		(2		)	1,037
Subtotal MBS – GSEs – multifamily	3,427		—			3,427		—		(27		)	3,400
Subtotal MBS – GSEs	6,065		—			6,065		48		(30		)	6,083
PLRMBS:
Prime	229		—			229		—		(21		)	208
Alt-A	130		(1		)	129		2		(11		)	120
Subtotal PLRMBS	359		(1		)	358		2		(32		)	328
Total	$	6,865	$	(1	)	$	6,864	$	65	$	(62	)	$	6,867

 

December 31, 2019
	Amortized Cost(1)		OTTI Recognized in AOCI(2)			Carrying Value		Gross Unrecognized Holding Gains(3)		Gross Unrecognized Holding Losses(3)			Estimated Fair Value
MBS – Other U.S. obligations – single-family:
Ginnie Mae	$	470	$	—		$	470	$	5	$	—		$	475
MBS – GSEs – single-family:
Freddie Mac	1,063		—			1,063		8		(1		)	1,070
Fannie Mae	1,844		—			1,844		20		(1		)	1,863
Subtotal MBS – GSEs – single-family	2,907		—			2,907		28		(2		)	2,933
MBS – GSEs – multifamily:
Freddie Mac	2,625		—			2,625		—		(9		)	2,616
Fannie Mae	1,159		—			1,159		—		(2		)	1,157
Subtotal MBS – GSEs – multifamily	3,784		—			3,784		—		(11		)	3,773
Subtotal MBS – GSEs	6,691		—			6,691		28		(13		)	6,706
PLRMBS:
Prime	243		—			243		1		(4		)	240
Alt-A	142		(1		)	141		6		(2		)	145
Subtotal PLRMBS	385		(1		)	384		7		(6		)	385
Total	$	7,546	$	(1	)	$	7,545	$	40	$	(19	)	$	7,566

(1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and net charge offs, and excludes accrued interest receivable of $10 and $12 at March 31, 2020, and December 31, 2019, respectively.

(2) With the adoption of new accounting guidance for the measurement of credit losses on financial instruments on January 1, 2020, the OTTI approach was replaced with an evaluation for an allowance for credit loss; however, OTTI remains for those securities that had credit impairment prior to the adoption date.

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

Expected maturities of MBS classified as HTM 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.

At March 31, 2020, the amortized cost of the Bank’s MBS classified as HTM included premiums of $7, discounts of $10, and credit-related OTTI of $6 for HTM securities with an OTTI recognized pursuant to the impairment guidance in effect prior to January 1, 2020. At December 31, 2019, the amortized cost of the Bank’s MBS classified as HTM included premiums of $8, discounts of $11, and credit-related OTTI of $7.

Allowance for Credit Losses on AFS and HTM Securities. The Bank adopted new accounting guidance for the measurement of credit losses on financial instruments on January 1, 2020. For additional information, see Note 2 – Recently Issued and Adopted Accounting Guidance. For information on the prior methodology for evaluating credit losses, see “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2019 Form 10-K.

During the three months ended March 31, 2020, the Bank recognized a provision for credit losses of $39 associated with PLRMBS classified as AFS and no provision for credit losses associated with HTM investments. Under the previous accounting methodology of security impairment, the Bank recognized credit-related net OTTI loss of $1 during the three months ended March 31, 2019. To evaluate investment securities for credit loss at March 31, 2020, the Bank employed the following methodologies, based on the type of security.

AFS and HTM Securities (Excluding PLRMBS) – The Bank’s AFS and HTM securities are principally U.S. obligations and MBS issued by Ginnie Mae, Freddie Mac, and Fannie Mae that are backed by single-family or multifamily mortgage loans. The Bank only purchases securities considered investment quality. Excluding PLRMBS investments, at March 31, 2020, approximately 100% of AFS securities and HTM securities, based on

amortized cost, were rated A, or above, by an NRSRO, based on the lowest long-term credit rating for each security. These may differ from any internal ratings of the securities by the Bank, if applicable.

At March 31, 2020, certain of the Bank’s AFS securities were in an unrealized loss position. These losses are considered temporary as the Bank expects to recover the entire amortized cost basis on these AFS investment securities and neither intends to sell these securities nor considers it more likely than not that it will be required to sell these securities before its anticipated recovery of each security's remaining amortized cost basis. Further, the Bank has not experienced any payment defaults on the instruments. In addition, substantially all of these securities carry an implicit or explicit government guarantee. As a result, no allowance for credit losses was recorded on these AFS securities at March 31, 2020.

As of March 31, 2020, the Bank had not established an allowance for credit loss on any of its HTM securities because the securities: (i) were all highly rated or had short remaining terms to maturity, (ii) had not experienced, nor did the Bank expect, any payment default on the instruments, and (iii) in the case of GSE or other U.S. obligations, carry an implicit or explicit government guarantee such that the Bank consider the risk of nonpayment to be zero.

Private-Label Residential Mortgage-Backed Securities – The Bank also holds investments in PLRMBS. The Bank has not purchased any PLRMBS since the first quarter of 2008. However, many of these securities have subsequently experienced significant credit deterioration. As of March 31, 2020, approximately 7% of PLRMBS (AFS and HTM combined, based on amortized cost) were rated A, or above, by an NRSRO; and the remaining securities were either rated less than A, or were unrated. To determine whether an allowance for credit loss is necessary on these securities, the Bank uses cash flow analyses. For certain PLRMBS where underlying collateral data is not available, alternative procedures as determined by the Bank are used to assess these securities for credit loss measurement.

At each quarter end, the Bank compares the present value of the cash flows expected to be collected on its PLRMBS, using the effective interest rate, to the amortized cost basis of the securities to determine whether a credit loss exists. The expected credit losses are measured using:

• the remaining payment terms for the security;

• prepayment speeds based on underlying loan-level borrower and loan characteristics;

• expected default rates based on underlying loan-level borrower and loan characteristics;

• expected housing price changes;

• expected interest rate assumptions; and

• loss severities on the collateral supporting each unique PLRMBS based on underlying loan-level borrower and loan characteristics.

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 management’s expectations and includes a base case housing price forecast for near- and long-term horizons.

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 with an OTTI recognized pursuant to the impairment guidance in effect prior to January 1, 2020, as of March 31, 2020 (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 fair value of PLRMBS classified as Level 3 as of March 31, 2020, and the related current credit enhancement for the Bank.

March 31, 2020
	Significant Inputs for Other-Than-Temporarily Impaired PLRMBS
	Prepayment Rates	Default Rates	Loss Severities
Collateral Type at Origination	Weighted Average % (1)	Weighted Average % (1)	Weighted Average % (1)
Prime	16.3	11.2	54.1
Alt-A	15.0	16.1	40.3
Total	15.0	16.0	40.6

(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 months ended March 31, 2020 and 2019.

	Three Months Ended March 31,
	2020			2019
Balance, beginning of the period	$	1,021		$	1,077
Additional charges on securities for which OTTI was previously recognized(1)	—			1
Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities(2)	(17		)	(15		)
Balance, end of the period	$	1,004		$	1,063

(1) For the three months ended March 31, 2019, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2020.

(2) The total net accretion/(amortization) associated with PLRMBS that were other-than-temporarily impaired prior to January 1, 2020, (amount recognized in interest income) totaled $20 and $18 for the three months ended March 31, 2020 and 2019, respectively.

In general, the Bank elects to transfer any PLRMBS that incurred a credit loss during the applicable period from the Bank’s HTM portfolio to its AFS portfolio at their fair values. The Bank recognized a 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 transferred PLRMBS from its HTM portfolio to its AFS portfolio with an amortized cost and fair value of $1 during the three months ended March 31, 2020. The Bank did not transfer any PLRMBS from its HTM portfolio to its AFS portfolio during the three months ended March 31, 2019.

For the Bank’s PLRMBS, the Bank experienced declines in fair value in March 2020 as a result of disruptions in the financial markets combined with illiquidity in the PLRMBS market and decreased expectations of the performance of loan collateral underlying these securities, which caused these assets to be valued at discounts to their amortized cost. As a result, an allowance for credit losses of $39 was recorded on these securities as of March 31, 2020.

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Capital (Tables)

3 Months Ended

Mar. 31, 2020

Capital [Abstract]

Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations

As of March 31, 2020, and December 31, 2019, the Bank was in compliance with these capital rules and requirements as shown in the following table.

	March 31, 2020						December 31, 2019
	Required			Actual			Required			Actual
Risk-based capital	$	1,411		$	6,718		$	1,519		$	6,605
Total regulatory capital	$	4,995		$	6,718		$	4,274		$	6,605
Total regulatory capital ratio	4.00		%	5.38		%	4.00		%	6.18		%
Leverage capital	$	6,244		$	10,078		$	5,342		$	9,908
Leverage ratio	5.00		%	8.07		%	5.00		%	9.27		%

Schedule of Mandatorily Redeemable Capital Stock

The Bank had mandatorily redeemable capital stock totaling $83 outstanding to three institutions at March 31, 2020, and $138 outstanding to three institutions at December 31, 2019. The change in mandatorily redeemable capital stock for three months ended March 31, 2020 and 2019, was as follows:

	March 31, 2020			March 31, 2019
Balance at the beginning of the period	$	138		$	227
Reclassified from/(to) capital during the period	3			—
Repurchase of excess mandatorily redeemable capital stock	(58		)	—
Balance at the end of the period	$	83		$	227

Schedule of Mandatorily Redeemable Capital Stock by Maturity Date

The following table presents mandatorily redeemable capital stock amounts by contractual redemption period at March 31, 2020, and December 31, 2019.

Contractual Redemption Period	March 31, 2020		December 31, 2019
Within 1 year	$	81	$	135
Past contractual redemption date because of remaining activity(1)	2		3
Total	$	83	$	138

(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

Schedule of Concentration of Capital [Table Text Block]

The following table presents the concentration in capital stock held by institutions whose capital stock ownership represented 10% or more of the Bank’s outstanding capital stock, including mandatorily redeemable capital stock, as of March 31, 2020, or December 31, 2019.

	March 31, 2020				December 31, 2019
Name of Institution	Capital Stock Outstanding		Percentage of Total Capital Stock Outstanding		Capital Stock Outstanding		Percentage of Total Capital Stock Outstanding
First Republic Bank	$	494	15	%	$	368	12	%
MUFG Union Bank, National Association	294		9		394		12
Subtotal	788		24		762		24
Others	2,526		76		2,376		76
Total	$	3,314	100	%	$	3,138	100	%

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Commitments and Contingencies (Tables)

3 Months Ended

Mar. 31, 2020

Commitments and Contingencies Disclosure [Abstract]

Off-Balance Sheet Commitments

Off-balance sheet commitments as of March 31, 2020, and December 31, 2019, were as follows:

	March 31, 2020						December 31, 2019
	Expire Within One Year		Expire After One Year		Total		Expire Within One Year		Expire After One Year		Total
Standby letters of credit outstanding	$	15,207	$	4,954	$	20,161	$	16,898	$	4,658	$	21,556
Commitments to fund additional advances	24		—		24		—		—		—
Commitments to issue consolidated obligation discount notes, par	250		—		250		805		—		805
Commitments to issue consolidated obligation bonds, par	1,160		—		1,160		—		—		—
Commitments to purchase mortgage loans	87		—		87		46		—		46

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Statements of Condition (Parenthetical) - USD ($) shares in Millions, $ in Millions		Mar. 31, 2020	Dec. 31, 2019
HTM securities pledged as collateral that may be repledged		$ 0	$ 0
Available-for-sale securities pledged as collateral that may be repledged		643	381
Trading securities pledged as collateral that may be repledged		0	0
Assets:
Fair Value of Held-to-maturity securities		6,867	7,566
Fair Value of Advances Under the Fair Value Option	[1]	4,334	4,370
Amortized Cost of AFS	[2]	$ 16,427	$ 15,206
Capital:
Common stock, par value		$ 100
Common Class B
Capital:
Common stock, par value		$ 100	$ 100
Common stock, shares issued		32	30
Common Stock, Shares, Outstanding		32	30
Consolidated obligation bonds
Liabilities:
Fair Value of Bonds Under the Fair Value Option		$ 254	$ 337

[1] At March 31, 2020, and December 31, 2019, none of these advances were 90 days or more past due or had been placed on nonaccrual status.

[2] Amortized cost includes unpaid principal balance, unamortized premiums and discounts, net charge-offs, and valuation adjustments for hedging activities, and excludes accrued interest receivable of $51 and $58 at March 31, 2020, and December 31, 2019, respectively.

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Statements of Capital Accounts (Parenthetical)	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Statement of Stockholders' Equity [Abstract]
Annualized Dividend Rate on Capital Stock	7.00%	7.00%

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Advances (Tables)

3 Months Ended

Mar. 31, 2020

Federal Home Loan Banks [Abstract]

Federal Home Loan Bank, Advances

The Bank had advances outstanding, excluding overdrawn demand deposit accounts, at interest rates ranging from 0.13% to 8.57% at March 31, 2020, and 1.15% to 8.57% at December 31, 2019, as summarized below.

	March 31, 2020				December 31, 2019
Redemption Term	Amount Outstanding(1)		Weighted Average Interest Rate		Amount Outstanding(1)		Weighted Average Interest Rate
Within 1 year	$	37,311	1.04	%	$	32,351	1.91	%
After 1 year through 2 years	26,281		1.65		22,380		2.15
After 2 years through 3 years	3,784		2.12		4,847		2.08
After 3 years through 4 years	3,520		2.67		2,909		2.97
After 4 years through 5 years	4,308		1.43		1,461		2.32
After 5 years	1,684		2.40		1,140		2.96
Total par value	76,888		1.43	%	65,088		2.08	%
Valuation adjustments for hedging activities	812				203
Valuation adjustments under fair value option	172				83
Total	$	77,872			$	65,374

The following table summarizes advances at March 31, 2020, and December 31, 2019, 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
	March 31, 2020		December 31, 2019		March 31, 2020		December 31, 2019
Within 1 year	$	43,383	$	39,075	$	37,531	$	32,371
After 1 year through 2 years	20,231		15,731		26,281		22,380
After 2 years through 3 years	3,782		4,800		3,784		4,847
After 3 years through 4 years	3,520		2,895		3,520		2,909
After 4 years through 5 years	4,288		1,447		4,308		1,461
After 5 years	1,684		1,140		1,464		1,120
Total par value	$	76,888	$	65,088	$	76,888	$	65,088

The following tables present the concentration in advances to the top five borrowers and their affiliates at March 31, 2020 and 2019. 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 months ended March 31, 2020 and 2019.

	March 31, 2020				Three Months Ended March 31, 2020
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
First Republic Bank	$	16,250	21	%	$	70	22	%
MUFG Union Bank, National Association	10,900		14		62		19
Wells Fargo & Company
Wells Fargo Financial National Bank West(2)	9,000		12		35		11
Wells Fargo Bank, National Association(3)	36		—		1		—
Subtotal Wells Fargo & Company	9,036		12		36		11
Bank of the West	8,206		11		21		7
JPMorgan Chase Bank, National Association(3)	3,053		4		25		8
Subtotal	47,445		62		214		67
Others	29,443		38		105		33
Total par value	$	76,888	100	%	$	319	100	%

	March 31, 2019				Three Months Ended March 31, 2019
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
MUFG Union Bank, National Association	$	14,550	21	%	$	103	22	%
JPMorgan Chase Bank, National Association(3)	8,358		12		60		13
Wells Fargo & Company
Wells Fargo Financial National Bank(2)	8,000		11		47		10
Wells Fargo Bank, National Association(3)	45		—		1		—
Subtotal Wells Fargo & Company	8,045		11		48		10
First Republic Bank	8,000		11		49		10
Bank of the West	6,807		10		43		9
Subtotal	45,760		65		303		64
Others	24,415		35		174		36
Total par value	$	70,175	100	%	$	477	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 March 31, 2020, and December 31, 2019, are detailed below:

	March 31, 2020		December 31, 2019
Par value of advances:
Fixed rate:
Due within 1 year	$	21,846	$	15,327
Due after 1 year	28,277		21,337
Total fixed rate	50,123		36,664
Adjustable rate:
Due within 1 year	15,465		17,024
Due after 1 year	11,300		11,400
Total adjustable rate	26,765		28,424
Total par value	$	76,888	$	65,088

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Subsequent Events

3 Months Ended

Mar. 31, 2020

Subsequent Events [Abstract]

Subsequent Events

Subsequent Events

There were no material subsequent events identified, subsequent to March 31, 2020, until the time of the Form 10‑Q filing with the Securities and Exchange Commission.

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Investments AFS by Contractual Maturity (Details) - USD ($) $ in Millions		Mar. 31, 2020	Dec. 31, 2019
Debt Securities, Available-for-sale [Line Items]
Amortized Cost of AFS	[1]	$ 16,427	$ 15,206
Available-for-sale (AFS) securities	[2]	16,175	15,495
Non Mortgage Backed Securities
Debt Securities, Available-for-sale [Line Items]
Due in 1 year or less - Amortized cost		3,290	2,309
Due in 1 year or less - Fair value		3,293	2,312
Due after 1 year through 5 years - Amortized cost		2,057	2,972
Due after 1 year through 5 years - Fair value		2,060	2,976
Amortized Cost of AFS		5,347	5,281
Available-for-sale (AFS) securities		5,353	5,288
Total MBS
Debt Securities, Available-for-sale [Line Items]
Amortized Cost of AFS	[1]	11,080	9,925
Available-for-sale (AFS) securities		$ 10,822	$ 10,207

[1] Amortized cost includes unpaid principal balance, unamortized premiums and discounts, net charge-offs, and valuation adjustments for hedging activities, and excludes accrued interest receivable of $51 and $58 at March 31, 2020, and December 31, 2019, respectively.

[2] 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.

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Advances (Narrative) (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2020	Dec. 31, 2019	Mar. 31, 2019
Advances [Line Items]
Advances, Par Value	$ 76,888	$ 65,088	$ 70,175
Federal Home Loan Bank Advances with Full prepayment Symmetry Outstanding	23,430	14,059
Advances With Partial Prepayment Symmetry Outstanding	$ 3,387	$ 3,513
Minimum
Advances [Line Items]
Advances, Maturity Period, Fixed Rate	1 day
Advances, Maturity Period, Variable Rate	30 days
Advances, Interest Rate	0.13%	1.15%
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	$ 11,444	$ 14,024
Advances, Putable Option
Advances [Line Items]
Advances, Par Value	$ 220	$ 20

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Derivatives and Hedging Activities (Narrative) (Details) $ in Millions	3 Months Ended
	Mar. 31, 2020 USD ($)
Derivative [Line Items]
Derivative, Net Liability Position, Aggregate Fair Value	$ 1,036
Collateral Already Posted, Aggregate Fair Value	$ 1,070
Maximum
Derivative [Line Items]
Advances, Maturity Period, Fixed Rate	30 years

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Capital (Retained Earnings and Dividend Policy) (Details) - USD ($) $ in Millions			3 Months Ended
		May 14, 2020	Mar. 31, 2020	Mar. 31, 2019	Apr. 27, 2020	Jan. 01, 2020	Dec. 31, 2019	Jul. 01, 2019	Dec. 31, 2018	Jan. 01, 2018
Capital [Line Items]
Restriction on Dividend Payment, Ratio of Market Value of Capital to Par Value of Capital Less than 70%			70.00%
Ratio of Market Value of Capital to Par Value of Capital Stock			198.00%
Retained Earnings, Set by the Board inc JCEA						$ 2,500		$ 2,400		$ 2,500
Excess Capital			$ 175				$ 197
Excess Capital to Assets			0.14%				0.18%
Dividends [Abstract]
Dividends, Cash, Annualized Rate			7.00%	7.00%
Total dividends			$ 54	$ 54
Interest Expense on Mandatorily Redeemable Capital Stock	[1]		2	4
Retained Earnings Activity [Roll Forward]
Total Capital			6,407	6,646			$ 6,741		$ 6,530
Net Income/(Loss)			(8)	104
Cash dividends on capital stock			(52)	(50)
Balance at end of the period			713
Amount of Excess Stock and Financial Instruments Subject to Mandatory Redemption, Repurchased During Period			$ 431	344
Subsequent Event
Subsequent Events [Abstract]
Dividends, Cash Declared, Annualized Rate					5.00%
Interest and Dividends Payable, Current					$ 39
Dividends Payable					37
Interest Payable, Current					$ 2
Dividends Payable, Date to be Paid		May 14, 2020
Minimum
Capital [Line Items]
Regulatory Restrictions on Payment of Capital Stock Dividends, Excess Stock to Assets, Percent			1.00%
Limit on Dividend Payment, Ratio of Market Value of Capital to Par Value of Capital			70.00%
Subsequent Events [Abstract]
Dividends, Cash Declared, Annualized Rate			5.00%
Maximum
Capital [Line Items]
Limit on Dividend Payment, Ratio of Market Value of Capital to Par Value of Capital			100.00%
Subsequent Events [Abstract]
Dividends, Cash Declared, Annualized Rate			7.00%
Unrestricted Retained Earnings
Retained Earnings Activity [Roll Forward]
Total Capital			$ 2,691	2,732			2,754		2,699
Cash dividends on capital stock			(52)	(50)
Total Restricted Retained Earnings
Retained Earnings Activity [Roll Forward]
Total Capital			$ 713	$ 668			$ 713		$ 647

[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) (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019	Dec. 31, 2019	Dec. 31, 2018
Accumulated Other Comprehensive Income (Loss) [Line Items]
Stockholders' Equity Attributable to Parent	$ 6,407	$ 6,646	$ 6,741	$ 6,530
Accumulated Other-than-Temporary Impairment | Available-for-sale Securities
Accumulated Other Comprehensive Income (Loss) [Line Items]
Stockholders' Equity Attributable to Parent	0	301	268	287
Net change in fair value	0	14
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract]
Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Parent	0	14
Accumulated Other-than-Temporary Impairment | Held-to-maturity Securities
Accumulated Other Comprehensive Income (Loss) [Line Items]
Stockholders' Equity Attributable to Parent	(1)	(3)	(1)	(3)
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract]
Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Parent	0	0
Accumulated Defined Benefit Plans Adjustment
Accumulated Other Comprehensive Income (Loss) [Line Items]
Stockholders' Equity Attributable to Parent	(14)	(17)	(14)	(17)
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract]
Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Parent	0	0
Accumulated Other Comprehensive Income/(Loss)
Accumulated Other Comprehensive Income (Loss) [Line Items]
Stockholders' Equity Attributable to Parent	(228)	287	274	235
Net change in fair value	(502)	52
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract]
Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Parent	(502)	52
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	(213)	6	21	$ (32)
AFS Unrealized Gain/(Loss) on AFS Securities	(502)	38
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract]
Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Parent	$ (502)	$ 38
Cumulative Effect, Period of Adoption, Adjustment [Member] | Accounting Standards Update 2016-13 [Member] | Accumulated Other-than-Temporary Impairment | Available-for-sale Securities
Accumulated Other Comprehensive Income (Loss) [Line Items]
Stockholders' Equity Attributable to Parent			(268)
Cumulative Effect, Period of Adoption, Adjustment [Member] | Accounting Standards Update 2016-13 [Member] | Accumulated Other Comprehensive Income/(Loss)
Accumulated Other Comprehensive Income (Loss) [Line Items]
Stockholders' Equity Attributable to Parent			0
Cumulative Effect, Period of Adoption, Adjustment [Member] | Accounting Standards Update 2016-13 [Member] | AOCI, Accumulated Gain (Loss), Debt Securities, Available-for-sale, Parent [Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
Stockholders' Equity Attributable to Parent			$ 268

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Statements of Condition - USD ($) $ in Millions		Mar. 31, 2020	Dec. 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	[1]	4,319	1,766
Available-for-sale (AFS) securities (amortized cost of $16,427 and $15,206, respectively)	[2]	16,175	15,495
Held-to-maturity (HTM) securities (fair values were $6,867 and $7,566, respectively)	[1]	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
Derivative liabilities, net		0	0
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
Available-for-sale securities pledged as collateral that may be repledged		$ 643	$ 381

[1] At March 31, 2020, and December 31, 2019, none of these securities were pledged as collateral that may be repledged.

[2] 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.

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Statements of Capital Accounts - USD ($) shares in Millions, $ in Millions	Total	Total Retained Earnings	Total Restricted Retained Earnings	Unrestricted Retained Earnings	Accumulated Other Comprehensive Income/(Loss)	Common Class B - Putable Common Stock	Cumulative Effect, Period of Adoption, Adjustment [Member]	Cumulative Effect, Period of Adoption, Adjustment [Member] Total Retained Earnings	Cumulative Effect, Period of Adoption, Adjustment [Member] Unrestricted Retained Earnings	Cumulative Effect, Period of Adoption, Adjustment [Member] Accumulated Other Comprehensive Income/(Loss)
Balance, Shares at Dec. 31, 2018						29
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Issuance of capital stock, shares						4
Repurchase of capital stock, shares						(3)
Balance, Shares at Mar. 31, 2019						30
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)	156	104	21	83	52
Issuance of capital stock, value	354					354
Repurchase of capital stock, value	(344)					(344)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net, value	0
Cash dividends on capital stock	(50)	(50)		(50)
Balance at Mar. 31, 2019	6,646	3,400	668	2,732	287	$ 2,959
Balance, Shares at Dec. 31, 2019						30
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Issuance of capital stock, shares						6
Repurchase of capital stock, shares						(4)
Net Shares Reclassified from/(to) Mandatorily Redeemable Capital Stock, Shares						0
Balance, Shares at Mar. 31, 2020						32
Balance at Dec. 31, 2019	6,741	3,467	713	2,754	274	$ 3,000
Balance (Accounting Standards Update 2016-13 [Member]) at Dec. 31, 2019										$ 0
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Comprehensive Income (Loss)	(510)	(8)	0	(8)	(502)
Issuance of capital stock, value	607					607
Repurchase of capital stock, value	(373)					(373)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net, value	(3)					(3)
Cash dividends on capital stock	(52)	(52)		(52)
Balance at Mar. 31, 2020	$ 6,407	$ 3,404	$ 713	$ 2,691	$ (228)	$ 3,231
Adjustment for cumulative effect of accounting change | Accounting Standards Update 2016-13 [Member]							$ 3	$ 3	$ 3

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Investments (Tables)

3 Months Ended

Mar. 31, 2020

Debt Instrument [Line Items]

Trading Securities (and Certain Trading Assets)

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

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		—			27		(13		)	7,610
PLRMBS:
Prime	213		—			17		—			230
Alt-A	2,116		(9		)	260		—			2,367
Subtotal PLRMBS	2,329		(9		)	277		—			2,597
Total MBS	9,925		(9		)	304		(13		)	10,207
Total	$	15,206	$	(9	)	$	311	$	(13	)	$	15,495

(1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts, net charge-offs, and valuation adjustments for hedging activities, and excludes accrued interest receivable of $51 and $58 at March 31, 2020, and December 31, 2019, respectively.

(2) Effective January 1, 2020, the Bank completed an analysis to determine whether to record an allowance for credit losses for expected credit losses on AFS securities. Prior to January 1, 2020, credit losses were recorded as a direct write-down to the AFS security carrying value. OTTI recognized in AOCI excludes subsequent unrealized gains/(losses) in fair value of previously other-than-temporarily impaired AFS securities at December 31, 2019, which is included in net non-credit-related OTTI on AFS securities.

(3) Includes $277 in subsequent unrealized gains in fair value of previously other-than-temporarily impaired AFS securities at December 31, 2019.

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:  

March 31, 2020
	Amortized Cost(1)		OTTI Recognized in AOCI(2)			Net Carrying Value		Gross Unrecognized Holding Gains(3)		Gross Unrecognized Holding Losses(3)			Estimated Fair Value
MBS – Other U.S. obligations – single-family:
Ginnie Mae	$	441	$	—		$	441	$	15	$	—		$	456
MBS – GSEs – single-family:
Freddie Mac	952		—			952		20		—			972
Fannie Mae	1,686		—			1,686		28		(3		)	1,711
Subtotal MBS – GSEs – single-family	2,638		—			2,638		48		(3		)	2,683
MBS – GSEs – multifamily:
Freddie Mac	2,388		—			2,388		—		(25		)	2,363
Fannie Mae	1,039		—			1,039		—		(2		)	1,037
Subtotal MBS – GSEs – multifamily	3,427		—			3,427		—		(27		)	3,400
Subtotal MBS – GSEs	6,065		—			6,065		48		(30		)	6,083
PLRMBS:
Prime	229		—			229		—		(21		)	208
Alt-A	130		(1		)	129		2		(11		)	120
Subtotal PLRMBS	359		(1		)	358		2		(32		)	328
Total	$	6,865	$	(1	)	$	6,864	$	65	$	(62	)	$	6,867

 

December 31, 2019
	Amortized Cost(1)		OTTI Recognized in AOCI(2)			Carrying Value		Gross Unrecognized Holding Gains(3)		Gross Unrecognized Holding Losses(3)			Estimated Fair Value
MBS – Other U.S. obligations – single-family:
Ginnie Mae	$	470	$	—		$	470	$	5	$	—		$	475
MBS – GSEs – single-family:
Freddie Mac	1,063		—			1,063		8		(1		)	1,070
Fannie Mae	1,844		—			1,844		20		(1		)	1,863
Subtotal MBS – GSEs – single-family	2,907		—			2,907		28		(2		)	2,933
MBS – GSEs – multifamily:
Freddie Mac	2,625		—			2,625		—		(9		)	2,616
Fannie Mae	1,159		—			1,159		—		(2		)	1,157
Subtotal MBS – GSEs – multifamily	3,784		—			3,784		—		(11		)	3,773
Subtotal MBS – GSEs	6,691		—			6,691		28		(13		)	6,706
PLRMBS:
Prime	243		—			243		1		(4		)	240
Alt-A	142		(1		)	141		6		(2		)	145
Subtotal PLRMBS	385		(1		)	384		7		(6		)	385
Total	$	7,546	$	(1	)	$	7,545	$	40	$	(19	)	$	7,566

(1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and net charge offs, and excludes accrued interest receivable of $10 and $12 at March 31, 2020, and December 31, 2019, respectively.

(2) With the adoption of new accounting guidance for the measurement of credit losses on financial instruments on January 1, 2020, the OTTI approach was replaced with an evaluation for an allowance for credit loss; however, OTTI remains for those securities that had credit impairment prior to the adoption date.

(3)

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

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

the following table presents a summary of the significant inputs used in measuring the fair value of PLRMBS classified as Level 3 as of March 31, 2020, and the related current credit enhancement for the Bank.

March 31, 2020
	Significant Inputs for Other-Than-Temporarily Impaired PLRMBS
	Prepayment Rates	Default Rates	Loss Severities
Collateral Type at Origination	Weighted Average % (1)	Weighted Average % (1)	Weighted Average % (1)
Prime	16.3	11.2	54.1
Alt-A	15.0	16.1	40.3
Total	15.0	16.0	40.6

(1)

Weighted average percentage is based on unpaid principal balance.

Other than Temporary Impairment, Credit Losses Recognized in Earnings

The following table presents the credit-related OTTI, which is recognized in earnings, for the three months ended March 31, 2020 and 2019.

	Three Months Ended March 31,
	2020			2019
Balance, beginning of the period	$	1,021		$	1,077
Additional charges on securities for which OTTI was previously recognized(1)	—			1
Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities(2)	(17		)	(15		)
Balance, end of the period	$	1,004		$	1,063

(1) For the three months ended March 31, 2019, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2020.

(2)

The total net accretion/(amortization) associated with PLRMBS that were other-than-temporarily impaired prior to January 1, 2020, (amount recognized in interest income) totaled $20 and $18 for the three months ended March 31, 2020 and 2019, respectively.

Available-for-sale Securities

Debt Instrument [Line Items]

Schedule of Unrealized Loss on Investments

The following tables summarize the AFS securities with unrealized losses as of March 31, 2020, and December 31, 2019. 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. At December 31, 2019, 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 as of December 31, 2019, also include non-credit-related OTTI losses recognized in AOCI.

March 31, 2020
	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	$	104	$	—	$	—	$	—	$	104	$	—
MBS:
MBS – GSEs – multifamily:
Freddie Mac	$	833	$	24	$	—	$	—	$	833	$	24
Fannie Mae	7,402		216		235		12		7,637		228
Subtotal MBS – GSEs – multifamily	8,235		240		235		12		8,470		252
PLRMBS:
Prime	109		1		6		1		115		2
Alt-A	747		37		161		27		908		64
Subtotal PLRMBS	856		38		167		28		1,023		66
Total MBS	9,091		278		402		40		9,493		318
Total	$	9,195	$	278	$	402	$	40	$	9,597	$	318

December 31, 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 – GSEs – multifamily:
Freddie Mac	$	211	$	—	$	—	$	—	$	211	$	—
Fannie Mae	2,433		9		623		4		3,056		13
Subtotal MBS – GSEs – multifamily	2,644		9		623		4		3,267		13
PLRMBS:
Prime	4		—		8		—		12		—
Alt-A	75		—		193		9		268		9
Subtotal PLRMBS	79		—		201		9		280		9
Total	$	2,723	$	9	$	824	$	13	$	3,547	$	22

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 March 31, 2020, and December 31, 2019, 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.

March 31, 2020
Year of Contractual Maturity	Amortized Cost		Estimated Fair Value
AFS securities other than MBS:
Due in 1 year or less	$	3,290	$	3,293
Due after 1 year through 5 years	2,057		2,060
Subtotal	5,347		5,353
MBS	11,080		10,822
Total	$	16,427	$	16,175

December 31, 2019
Year of Contractual Maturity	Amortized Cost		Estimated Fair Value
AFS securities other than MBS:
Due in 1 year or less	$	2,309	$	2,312
Due after 1 year through 5 years	2,972		2,976
Subtotal	5,281		5,288
MBS	9,925		10,207
Total	$	15,206	$	15,495

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Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks

3 Months Ended

Mar. 31, 2020

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.

	March 31, 2020		December 31, 2019
Assets:
Advances	$	3,896	$	3,697
Mortgage loans held for portfolio	—		8
Accrued interest receivable	5		6
Liabilities:
Deposits	$	3	$	22
Capital:
Capital Stock	$	132	$	132

	Three Months Ended
	March 31, 2020		March 31, 2019
Interest Income:
Advances	$	20	$	22

All transactions with members, nonmembers, and their affiliates are entered into in the ordinary course of business. As of March 31, 2020, and December 31, 2019, 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 2019 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 $2 and $1 at March 31, 2020, and December 31, 2019, respectively, which were recorded in the Statements of Condition in the Interest-bearing deposits 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 three months ended March 31, 2020 and 2019, the Bank extended overnight loans to other FHLBanks for $900 and $1,050, respectively. During the three months ended March 31, 2020 and 2019, the Bank borrowed $850 and $25, 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 membership fee to the FHLBank of Chicago for its participation in the MPF Program and a transaction services fee that is assessed monthly 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 March 31, 2020 and 2019, the Bank recorded $1 and $1, 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 months ended March 31, 2020 and 2019, 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 three months ended March 31, 2020 and 2019, 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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Investments Classification of Held-to-Maturity Securities (Details) - USD ($) $ in Millions		Mar. 31, 2020		Dec. 31, 2019
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost		$ 6,865		$ 7,546
OTTI Recognized in AOCI		(1)		(1)
Debt Securities, Held-to-Maturity, Accrued Interest, after Allowance for Credit Loss		10		12
HTM securities, Carrying Value	[1]	6,864		7,545
Gross Unrecognized Holding Gain		65		40
Gross Unrecognized Holding Loss		(62)		(19)
Fair Value of Held-to-maturity securities		6,867		7,566
Ginnie Mae
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[2]	441		470
OTTI Recognized in AOCI	[2]	0		0
HTM securities, Carrying Value		441	[3]	470	[2]
Gross Unrecognized Holding Gain		15		5
Gross Unrecognized Holding Loss		0		0
Fair Value of Held-to-maturity securities		456		475
MBS - GSEs
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[2]	6,065		6,691
OTTI Recognized in AOCI	[2]	0		0
HTM securities, Carrying Value	[2]	6,065		6,691
Gross Unrecognized Holding Gain		48		28	[2]
Gross Unrecognized Holding Loss		(30)		(13)
Fair Value of Held-to-maturity securities		6,083		6,706
MBS – GSEs – single-family: | MBS - GSEs
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[2]	2,638		2,907
OTTI Recognized in AOCI	[2]	0		0
HTM securities, Carrying Value	[2]	2,638		2,907
Gross Unrecognized Holding Gain		48		28	[2]
Gross Unrecognized Holding Loss		(3)		(2)
Fair Value of Held-to-maturity securities		2,683		2,933
MBS – GSEs – single-family: | Freddie Mac | MBS - GSEs
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[2]	952		1,063
OTTI Recognized in AOCI	[2]	0		0
HTM securities, Carrying Value	[2]	952		1,063
Gross Unrecognized Holding Gain		20		8
Gross Unrecognized Holding Loss		0		(1)
Fair Value of Held-to-maturity securities		972		1,070
MBS – GSEs – single-family: | Fannie Mae | MBS - GSEs
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[2]	1,686		1,844
OTTI Recognized in AOCI	[2]	0		0
HTM securities, Carrying Value	[2]	1,686		1,844
Gross Unrecognized Holding Gain		28		20
Gross Unrecognized Holding Loss		(3)		(1)
Fair Value of Held-to-maturity securities		1,711		1,863
MBS – GSEs – multifamily: | MBS - GSEs
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[2]	3,427		3,784
OTTI Recognized in AOCI	[2]	0		0
HTM securities, Carrying Value	[2]	3,427		3,784
Gross Unrecognized Holding Gain		0		0	[2]
Gross Unrecognized Holding Loss		(27)		(11)
Fair Value of Held-to-maturity securities		3,400		3,773
MBS – GSEs – multifamily: | Freddie Mac | MBS - GSEs
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[2]	2,388		2,625
OTTI Recognized in AOCI	[2]	0		0
HTM securities, Carrying Value		2,388	[2]	2,625
Gross Unrecognized Holding Gain		0		0
Gross Unrecognized Holding Loss		(25)		(9)
Fair Value of Held-to-maturity securities		2,363		2,616
MBS – GSEs – multifamily: | Fannie Mae | MBS - GSEs
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[2]	1,039		1,159
OTTI Recognized in AOCI	[2]	0		0
HTM securities, Carrying Value		1,039	[2]	1,159
Gross Unrecognized Holding Gain		0		0
Gross Unrecognized Holding Loss		(2)		(2)
Fair Value of Held-to-maturity securities		1,037		1,157
Residential Mortgage Backed Securities [Member] | PLRMBS
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost		359		385
OTTI Recognized in AOCI		(1)		(1)
HTM securities, Carrying Value		358		384
Gross Unrecognized Holding Gain		2		7
Gross Unrecognized Holding Loss		(32)		(6)
Fair Value of Held-to-maturity securities		328		385
Residential Mortgage Backed Securities [Member] | Prime | PLRMBS
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	[2]	229		243
OTTI Recognized in AOCI	[2]	0		0
HTM securities, Carrying Value	[2]	229		243
Gross Unrecognized Holding Gain		0		1
Gross Unrecognized Holding Loss		(21)		(4)
Fair Value of Held-to-maturity securities		208		240
Residential Mortgage Backed Securities [Member] | Alt-A | PLRMBS
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost		130		142	[2]
OTTI Recognized in AOCI		(1)		(1)	[2]
HTM securities, Carrying Value		129		141	[2]
Gross Unrecognized Holding Gain		2		6
Gross Unrecognized Holding Loss		(11)		(2)
Fair Value of Held-to-maturity securities		$ 120		$ 145

[1] At March 31, 2020, and December 31, 2019, none of these securities were pledged as collateral that may be repledged.

[2] Includes unpaid principal balance, unamortized premiums and discounts, and/or net charge offs and excludes accrued interest receivable of $xx and $xx at March 31, 2020 and December 31, 2019, respectively.

[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 losses recognized in AOCI.

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Advances (Redemption Terms) (Details) - USD ($) $ in Millions		Mar. 31, 2020	Dec. 31, 2019	Mar. 31, 2019
Federal Home Loan Bank Advances, Maturities [Abstract]
Within 1 year		$ 37,311	$ 32,351
After 1 year through 2 years		26,281	22,380
After 2 years through 3 years		3,784	4,847
After 3 years through 4 years		3,520	2,909
After 4 years through 5 years		4,308	1,461
After 5 years		1,684	1,140
Total par value		76,888	65,088	$ 70,175
Valuation adjustments for hedging activities		812	203
Valuation adjustments under fair value option	[1]	172	83
Total		$ 77,872	$ 65,374
Federal Home Loan Bank Advances, Weighted Average Interest Rate [Abstract]
Within 1 year		1.04%	1.91%
After 1 year through 2 years		1.65%	2.15%
After 2 years through 3 years		2.12%	2.08%
After 3 years through 4 years		2.67%	2.97%
After 4 years through 5 years		1.43%	2.32%
After 5 years		2.40%	2.96%
Total par value		1.43%	2.08%
Advances
Federal Home Loan Bank, Advances [Line Items]
Accrued Interest Receivable		$ 30	$ 39

[1] At March 31, 2020, and December 31, 2019, none of these advances were 90 days or more past due or had been placed on nonaccrual status.

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Capital (By Redemption Period) (Details) - USD ($) $ in Millions		Mar. 31, 2020	Dec. 31, 2019	Mar. 31, 2019	Dec. 31, 2018
Financial Instruments Subject to Mandatory Redemption, Settlement Terms, Share Value, Amount [Abstract]
Within 1 year		$ 81	$ 135
Past contractual redemption date because of remaining activity	[1]	2	3
Total		$ 83	$ 138	$ 227	$ 227

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

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Consolidated Obligations (Interest Rate Payment Terms) (Details) - USD ($) $ in Millions	Mar. 31, 2020	Dec. 31, 2019
Debt Instrument [Line Items]
Bonds	$ 77,907	$ 71,370
Discount notes, par value	39,155	27,447
Total consolidated obligations, par value	117,062	98,817
Fixed Interest Rate [Member]
Debt Instrument [Line Items]
Bonds	7,623	10,993
Adjustable Interest Rate [Member]
Debt Instrument [Line Items]
Bonds	70,099	60,117
Step-up Interest Rate [Member]
Debt Instrument [Line Items]
Bonds	60	60
Step-down Interest Rate [Member]
Debt Instrument [Line Items]
Bonds	25	100
Range Interest Rate [Member]
Debt Instrument [Line Items]
Bonds	$ 100	$ 100

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Segment Information (Details) $ in Millions		3 Months Ended
		Mar. 31, 2020 USD ($) segment	Mar. 31, 2019 USD ($)	Dec. 31, 2019 USD ($)
Segment Reporting Information [Line Items]
Number of Operating Segments | segment		2
Adjusted Net Interest Income		$ 75	$ 154
Amortization of Basis Adjustments and Gain/Loss on Fair Value Hedges	[1]	71	11
Income/(Expense) on Economic Hedges	[2]	(8)	(5)
Interest Expense on Mandatorily Redeemable Capital Stock	[3]	2	4
Net Interest Income After Provision for/(Reversal of) Credit Losses		10	144
Other Income/ (Loss)		18	15
Other Expense		36	43
Income/(Loss) Before AHP Assessment		(8)	116
OTTI PLRMBS, Total accretion or amortization recognized in interest income		20	18
Provision for Loan, Lease, and Other Losses		39	0
Net OTTI loss, credit-related			1
Assets		124,870		$ 106,842
Advances- Related Business
Segment Reporting Information [Line Items]
Adjusted Net Interest Income		63	86
Assets		103,877		85,709
Mortgage- Related Business
Segment Reporting Information [Line Items]
Adjusted Net Interest Income	[4]	12	$ 68
Assets		$ 20,993		$ 21,133

[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, and totaled $20 and $18 for the three months ended March 31, 2020 and 2019, respectively. The mortgage-related business includes a provision for credit losses of $39 for the three months ended March 31, 2020. The mortgage-related business does not include credit-related OTTI losses of $1 for the three months ended March 31, 2019.

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Consolidated Obligations (Redemption Terms) (Details) - USD ($) $ in Millions	Mar. 31, 2020	Dec. 31, 2019
Debt Instrument [Line Items]
Total par value	$ 77,907	$ 71,370
Total	$ 77,937	$ 71,372
Weighted Average Interest Rate [Abstract]
Within 1 year	0.51%	1.68%
After 1 year through 2 years	0.46%	1.67%
After 2 years through 3 years	1.84%	1.93%
After 3 years through 4 years	2.14%	2.74%
After 4 years through 5 years	1.82%	2.08%
After 5 years	2.71%	2.94%
Consolidated obligation bonds
Debt Instrument [Line Items]
Within 1 year	$ 62,453	$ 53,549
After 1 year through 2 years	11,690	13,853
After 2 years through 3 years	596	770
After 3 years through 4 years	165	135
After 4 years through 5 years	812	937
After 5 years	2,191	2,126
Unamortized premiums	3	1
Unamortized discounts	(9)	(10)
Valuation adjustments for hedging activities	32	9
Fair value option valuation adjustments	$ 4	$ 2
Weighted Average Interest Rate [Abstract]
Total par amount	0.59%	1.73%

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Mortgage Loans Held for Portfolio Delinquency Statistics (Details) - Conventional Mortgage Loan - USD ($) $ in Millions	Mar. 31, 2020	Dec. 31, 2019
Financing Receivable, Past Due [Line Items]
Originated Five or More Years before Latest Fiscal Year	$ 2,999
Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years	243
Total Amortized Cost	3,242
In process of foreclosure, included above	1	$ 0
Nonaccrual loans	$ 7	$ 7
Serious delinquencies as a percentage of total mortgage loans outstanding	0.22%	0.22%
Total past due		$ 24
Total current loans		3,310
Total MPF Recorded Investment		3,334
Financing Receivable, Nonaccrual, No Allowance	$ 6
30 – 59 days delinquent
Financing Receivable, Past Due [Line Items]
Originated Five or More Years before Latest Fiscal Year	12
Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years	3
Total Amortized Cost	15
Total past due		15
60 – 89 days delinquent
Financing Receivable, Past Due [Line Items]
Originated Five or More Years before Latest Fiscal Year	3
Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years	2
Total Amortized Cost	5
Total past due		2
90 days or more delinquent
Financing Receivable, Past Due [Line Items]
Originated Five or More Years before Latest Fiscal Year	3
Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years	4
Total Amortized Cost	7
Total past due		$ 7
Nonperforming
Financing Receivable, Past Due [Line Items]
Originated Five or More Years before Latest Fiscal Year	18
Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years	9
Total Amortized Cost	27
Current Performing Loan
Financing Receivable, Past Due [Line Items]
Originated Five or More Years before Latest Fiscal Year	2,981
Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years	234
Total Amortized Cost	$ 3,215

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Fair Value (Fair Value Difference Between Fair Value and Remaining Contractual Principal Balance Outstanding) (Details) - USD ($) $ in Millions		Mar. 31, 2020	Dec. 31, 2019	Mar. 31, 2019	Dec. 31, 2018
Fair Value, Option, Quantitative Disclosures [Line Items]
Fair Value Option, Principal Balance, Advances	[1]	$ 4,162	$ 4,287
Fair Value of Advances Under the Fair Value Option	[1]	4,334	4,370
Fair Value Over/(Under) Principal Balance, Advances	[1]	172	83
Consolidated obligation bonds
Fair Value, Option, Quantitative Disclosures [Line Items]
Fair Value Option, Principal Balance, CO Bonds		250	335
Fair Value of Bonds Under the Fair Value Option		254	337
Fair Value Over/(Under) Principal Balance, CO Bonds		4	2
Advances
Fair Value, Option, Quantitative Disclosures [Line Items]
Fair Value of Advances Under the Fair Value Option		4,334	4,370	$ 5,053	$ 5,133
Consolidated obligation bonds
Fair Value, Option, Quantitative Disclosures [Line Items]
Fair Value of Bonds Under the Fair Value Option		$ 254	$ 337	$ 1,191	$ 2,019

[1] At March 31, 2020, and December 31, 2019, none of these advances were 90 days or more past due or had been placed on nonaccrual status.

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Derivatives and Hedging Activities (Derivatives in Statement of Income) (Details) - USD ($) $ in Millions		3 Months Ended
		Mar. 31, 2020	Mar. 31, 2019
Derivative Instruments, Gain (Loss) [Line Items]
Advances		$ 279	$ 498
AFS securities		51	79
Bonds		(276)	(455)
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]	(651)	(82)
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge		610	103
Gain (loss) on Fair Value Hedges Recognized in Net Interest Income		(41)	21
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]	(968)	(128)
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge		893	117
Gain (loss) on Fair Value Hedges Recognized in Net Interest Income		(75)	(11)
Consolidated Obligations, Bonds | Interest Expense [Member] | Interest Rate Contract [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments	[1]	26	19
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge		(23)	(28)
Gain (loss) on Fair Value Hedges Recognized in Net Interest Income		$ 3	$ (9)

[1] .

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Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019	Dec. 31, 2019
Related Party Transaction [Line Items]
Proceeds from Other FHLBank Borrowings	$ 850	$ 25
Assets:
Advances	77,872		$ 65,374
Mortgage loans held for portfolio	3,239		3,314
Accrued interest receivable	139		139
Liabilities:
Deposits	721		537
Capital [Abstract]
Capital Stock	3,231		3,000
Interest Income:
Advances	279	498
Mortgage loans held for portfolio	(1)	26
MPF Service Fee Expense to FHLB Chicago	1	1
FHLBanks [Member]
Related Party Transaction [Line Items]
Deposits with other FHLB	2		1
Payments to Extend Overnight Loans to Other FHLBanks	(900)	(1,050)
MPF Counterparty fee Income	0	0
Transaction with Member Officer or Director
Assets:
Advances	3,896		3,697
Mortgage loans held for portfolio	0		8
Accrued interest receivable	5		6
Liabilities:
Deposits	3		22
Capital [Abstract]
Capital Stock	132		$ 132
Interest Income:
Advances	$ 20	$ 22

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Fair Value (Carrying Value and Fair Value of Financial Instruments) (Details) - USD ($) $ in Millions		Mar. 31, 2020	Dec. 31, 2019		Mar. 31, 2019	Dec. 31, 2018
Assets
Cash and due from banks		$ 328	$ 118
Trading securities		4,319	1,766
Available-for-sale (AFS) securities	[1]	16,175	15,495
HTM securities, Carrying Value	[2]	6,864	7,545
HTM Securities, Fair Value		6,867	7,566
Accrued interest receivable		139	139
Derivative assets, net		62	33
Derivative Assets		45	44
Derivative Asset, Netting adjustments	[3]	(17)	11
Liabilities
Mandatorily redeemable capital stock		83	138		$ 227	$ 227
Accrued interest payable		121	164
Derivative liabilities, net		0	0
Derivative Liabilities		1,055	384
Derivative Liability, Netting adjustments	[3]	(1,055)	(384)
Net Carrying Value
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		4,319	1,766
Available-for-sale (AFS) securities		16,175	15,495
HTM securities, Carrying Value		6,864	7,545
Advances		77,872	65,374
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans		3,239	3,314
Accrued interest receivable		139	139
Derivative assets, net	[4]	62	33
Other assets	[5]	16	19
Liabilities
Deposits		721	537
Total consolidated obligations		117,039	98,748
Mandatorily redeemable capital stock		83	138
Accrued interest payable		121	164
Derivative liabilities, net	[4]	0	0
Estimated Fair Value
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		4,319	1,766
Available-for-sale (AFS) securities		16,175	15,495
HTM Securities, Fair Value		6,867	7,566
Advances		77,951	65,492
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans		3,320	3,332
Accrued interest receivable		139	139
Derivative assets, net	[4]	62	33
Other assets	[5]	16	19
Liabilities
Deposits		721	537
Total consolidated obligations		117,138	98,764
Mandatorily redeemable capital stock		83	138
Accrued interest payable		121	164
Derivative liabilities, net	[4]	0	0
Level 1
Assets
Cash and due from banks		328	118
Interest-bearing deposits		3,577	2,269
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	[4]
Other assets	[5]	16	19
Liabilities
Deposits		0	0
Total consolidated obligations		0	0
Mandatorily redeemable capital stock		83	138
Accrued interest payable		0	0
Derivative Liabilities		0		[4]
Level 2
Assets
Cash and due from banks		0	0
Interest-bearing deposits		0	0
Securities purchased under agreements to resell		2,000	7,000
Federal funds sold		10,081	3,562
Trading securities		4,319	1,766
Available-for-sale (AFS) securities		13,949	12,898
HTM Securities, Fair Value		6,539	7,181
Advances		77,951	65,492
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans		3,320	3,332
Accrued interest receivable		139	139
Derivative Assets	[4]	45	44
Derivative Asset, Netting adjustments	[4]	17	(11)
Other assets	[5]	0	0
Liabilities
Deposits		721	537
Total consolidated obligations		117,138	98,764
Mandatorily redeemable capital stock		0	0
Accrued interest payable		121	164
Derivative Liabilities	[4]	1,055	384
Derivative Liability, Netting adjustments	[4]	(1,055)	(384)
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		2,226	2,597
HTM Securities, Fair Value		328	385
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	[4]
Other assets	[5]	0	0
Liabilities
Deposits		0	0
Total consolidated obligations		0	0
Mandatorily redeemable capital stock		0	0
Accrued interest payable		0	0
Derivative Liabilities		0	0	[4]
Standby letters of credit | Net Carrying Value
Other
Other commitments		33	32
Standby letters of credit | Estimated Fair Value
Other
Other commitments		33	32
Standby letters of credit | Level 1
Other
Other commitments		0	0
Standby letters of credit | Level 2
Other
Other commitments		33	32
Standby letters of credit | Level 3
Other
Other commitments		0	0
Discount notes | Net Carrying Value
Liabilities
Discount notes		39,102	27,376
Discount notes | Estimated Fair Value
Liabilities
Discount notes		39,146	27,378
Discount notes | Level 1
Liabilities
Discount notes		0	0
Discount notes | Level 2
Liabilities
Discount notes		39,146	27,378
Discount notes | Level 3
Liabilities
Discount notes		0	0
Bonds
Liabilities
Bonds		254	337
Bonds | Net Carrying Value
Liabilities
Bonds		77,937	71,372
Bonds | Estimated Fair Value
Liabilities
Bonds		77,992	71,386
Bonds | Level 1
Liabilities
Bonds		0	0
Bonds | Level 2
Liabilities
Bonds		77,992	71,386
Bonds | Level 3
Liabilities
Bonds		$ 0	$ 0

[1] 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.

[2] At March 31, 2020, and December 31, 2019, none of these securities were pledged as collateral that may be repledged.

[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 $1,082 and $378 at March 31, 2020, and December 31, 2019, respectively. Cash collateral received and related accrued interest was $9 and $5 at March 31, 2020, and December 31, 2019, respectively.

[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.

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

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Deposits

3 Months Ended

Mar. 31, 2020

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 March 31, 2020, and December 31, 2019, were as follows:

	March 31, 2020				December 31, 2019
	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding		Weighted Average Interest Rate
Interest-bearing deposits:
Adjustable rate	$	574	0.01	%	$	427	1.30	%
Fixed rate	2		0.30		—		—
Total interest-bearing deposits	576				427
Non-interest-bearing deposits	145				110
Total	$	721			$	537

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Recently Issued and Adopted Accounting Guidance

3 Months Ended

Mar. 31, 2020

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 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.

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.

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Segment Information

3 Months Ended

Mar. 31, 2020

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, excludes interest income and expense associated with ineffectiveness from fair value hedges that are recorded in the same line as the earnings effect of the hedged item, 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 2019 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 AHP assessment for the three months ended March 31, 2020 and 2019.

	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 Provision for/(Reversal of) Credit Losses		Other Income/ (Loss)		Other Expense		Income/(Loss) Before AHP Assessment
Three months ended:
March 31, 2020	$	63	$	12	$	75	$	71	$	(8	)	$	2	$	10	$	18	$	36	$	(8	)
March 31, 2019	86		68		154		11		(5		)	4		144		15		43		116

(1) The mortgage-related business includes total accretion or amortization associated with other-than-temporarily impaired PLRMBS, which are recognized in interest income, and totaled $20 and $18 for the three months ended March 31, 2020 and 2019, respectively. The mortgage-related business includes a provision for credit losses of $39 for the three months ended March 31, 2020. The mortgage-related business does not include credit-related OTTI losses of $1 for the three months ended March 31, 2019.

(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 March 31, 2020, and December 31, 2019.

	Advances- Related Business		Mortgage- Related Business		Total Assets
March 31, 2020	$	103,877	$	20,993	$	124,870
December 31, 2019	85,709		21,133		106,842

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Segment Information (Tables)

3 Months Ended

Mar. 31, 2020

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 AHP assessment for the three months ended March 31, 2020 and 2019.

	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 Provision for/(Reversal of) Credit Losses		Other Income/ (Loss)		Other Expense		Income/(Loss) Before AHP Assessment
Three months ended:
March 31, 2020	$	63	$	12	$	75	$	71	$	(8	)	$	2	$	10	$	18	$	36	$	(8	)
March 31, 2019	86		68		154		11		(5		)	4		144		15		43		116

(1) The mortgage-related business includes total accretion or amortization associated with other-than-temporarily impaired PLRMBS, which are recognized in interest income, and totaled $20 and $18 for the three months ended March 31, 2020 and 2019, respectively. The mortgage-related business includes a provision for credit losses of $39 for the three months ended March 31, 2020. The mortgage-related business does not include credit-related OTTI losses of $1 for the three months ended March 31, 2019.

(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 March 31, 2020, and December 31, 2019.

	Advances- Related Business		Mortgage- Related Business		Total Assets
March 31, 2020	$	103,877	$	20,993	$	124,870
December 31, 2019	85,709		21,133		106,842

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Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks (Tables)

3 Months Ended

Mar. 31, 2020

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.

	March 31, 2020		December 31, 2019
Assets:
Advances	$	3,896	$	3,697
Mortgage loans held for portfolio	—		8
Accrued interest receivable	5		6
Liabilities:
Deposits	$	3	$	22
Capital:
Capital Stock	$	132	$	132

	Three Months Ended
	March 31, 2020		March 31, 2019
Interest Income:
Advances	$	20	$	22

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Mortgage Loans Held for Portfolio (Tables)

3 Months Ended

Mar. 31, 2020

Receivables [Abstract]

Schedule of Participating Mortgage Loans

The following table presents information as of March 31, 2020, and December 31, 2019, on mortgage loans, all of which are secured by one- to four-unit residential properties and single-unit second homes.

	March 31, 2020			December 31, 2019
Fixed rate medium-term mortgage loans	$	29		$	27
Fixed rate long-term mortgage loans	3,150			3,199
Subtotal	3,179			3,226
Unamortized premiums	66			91
Unamortized discounts	(3		)	(3		)
Mortgage loans held for portfolio(1)	3,242			3,314
Less: Allowance for credit losses	(3		)	—
Total mortgage loans held for portfolio, net	$	3,239		$	3,314

Other Delinquency Statistics

March 31, 2020
	Origination Year
Payment Status	<2016		2016 to 2020		Amortized Cost(1)
30 – 59 days delinquent	$	12	$	3	$	15
60 – 89 days delinquent	3		2		5
90 days or more delinquent	3		4		7
Total past due	18		9		27
Total current loans	2,981		234		3,215
Total MPF	$	2,999	$	243	$	3,242
In process of foreclosure, included above(2)					$	1
Nonaccrual loans(3)					$	7
Serious delinquencies as a percentage of total mortgage loans outstanding(4)					0.22		%

December 31, 2019
Payment Status	Recorded Investment(1)
30 – 59 days delinquent	$	15
60 – 89 days delinquent	2
90 days or more delinquent	7
Total past due	24
Total current loans	3,310
Total MPF	$	3,334
In process of foreclosure, included above(2)	$	—
Nonaccrual loans	$	7
Serious delinquencies as a percentage of total mortgage loans outstanding(4)	0.22		%

(1) With the adoption of new accounting guidance for the measurement of credit losses on financial instruments on January 1, 2020, payment status of mortgage loans is disclosed at amortized cost. The recorded investment at December 31, 2019, 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. The amortized cost at March 31, 2020, in a loan is the unpaid principal balance of the loan, adjusted for net deferred loan fees or costs, unamortized premiums or discounts, and direct write-downs.

(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) At March 31, 2020, $6 of these mortgage loans on nonaccrual status did not have an associated allowance for credit losses.

(4)

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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Summary of Significant Accounting Policies / Accounting Policies (Policies)

3 Months Ended

Mar. 31, 2020

Accounting Policies [Abstract]

Credit Loss, Financial Instrument [Policy Text Block]

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.

Subsequent Events, Policy [Policy Text Block]

There were no material subsequent events identified, subsequent to March 31, 2020, until the time of the Form 10‑Q filing with the Securities and Exchange Commission.

Use of Estimates, Policy [Policy Text Block]

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.

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.

New Accounting Pronouncements, Policy

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.

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.

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 based on a daily repricing index, such as the Secured Overnight Financing Rate (SOFR) or the effective Fed Funds 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 Statements 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 as well as agency MBS. 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. 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.”

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.

Derivatives, Embedded Derivatives

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 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 March 31, 2020, or December 31, 2019. 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.

Stockholders' Equity, Policy

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.Under the Housing Act, the Director of the Finance Agency is responsible for setting the risk-based capital standards for the FHLBanks. The FHLBank Act and regulations governing the operations of the FHLBanks require that the Bank’s minimum capital stock requirement for shareholders must be sufficient to enable the Bank to meet its regulatory requirements for total capital, leverage capital, and risk-based capital. The Bank must maintain: (i) total regulatory capital in an amount equal to at least 4% of its total assets, (ii) leverage capital in an amount equal to at least 5% of its total assets, and (iii) permanent capital in an amount that is greater than or equal to its risk-based capital requirement.

Beginning in February 2020, the Finance Agency issued guidance that augmented 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. 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. As of March 31, 2020, the Bank was in compliance with this 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.

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, excludes interest income and expense associated with ineffectiveness from fair value hedges that are recorded in the same line as the earnings effect of the hedged item, 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 2019 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 2019 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 March 31, 2020, 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 March 31, 2020:

• 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. For the periods presented, the Bank did not have any reclassifications for transfers in or out of level 3 of the fair value hierarchy.

Commitments and Contingencies, Policy

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

Investment, Policy

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

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

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.

Federal Home Loan Bank, Advances [Text Block]

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 0.13% to 8.57% at March 31, 2020, and 1.15% to 8.57% at December 31, 2019, as summarized below.

	March 31, 2020				December 31, 2019
Redemption Term	Amount Outstanding(1)		Weighted Average Interest Rate		Amount Outstanding(1)		Weighted Average Interest Rate
Within 1 year	$	37,311	1.04	%	$	32,351	1.91	%
After 1 year through 2 years	26,281		1.65		22,380		2.15
After 2 years through 3 years	3,784		2.12		4,847		2.08
After 3 years through 4 years	3,520		2.67		2,909		2.97
After 4 years through 5 years	4,308		1.43		1,461		2.32
After 5 years	1,684		2.40		1,140		2.96
Total par value	76,888		1.43	%	65,088		2.08	%
Valuation adjustments for hedging activities	812				203
Valuation adjustments under fair value option	172				83
Total	$	77,872			$	65,374

(1) Carrying amounts exclude accrued interest receivable of $30 and $39 at March 31, 2020, and December 31, 2019, respectively.

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 $23,430 at March 31, 2020, and $14,059 at December 31, 2019. The Bank had advances with partial prepayment symmetry outstanding totaling $3,387 at March 31, 2020, and $3,513 at December 31, 2019. Some advances may be repaid on pertinent call dates without prepayment fees (callable advances). The Bank had callable advances outstanding totaling $11,444 at March 31, 2020, and $14,024 at December 31, 2019.

The Bank had putable advances totaling $220 at March 31, 2020, and $20 at December 31, 2019. 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 March 31, 2020, and December 31, 2019, 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
	March 31, 2020		December 31, 2019		March 31, 2020		December 31, 2019
Within 1 year	$	43,383	$	39,075	$	37,531	$	32,371
After 1 year through 2 years	20,231		15,731		26,281		22,380
After 2 years through 3 years	3,782		4,800		3,784		4,847
After 3 years through 4 years	3,520		2,895		3,520		2,909
After 4 years through 5 years	4,288		1,447		4,308		1,461
After 5 years	1,684		1,140		1,464		1,120
Total par value	$	76,888	$	65,088	$	76,888	$	65,088

Concentration Risk. The following tables present the concentration in advances to the top five borrowers and their affiliates at March 31, 2020 and 2019. 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 months ended March 31, 2020 and 2019.

	March 31, 2020				Three Months Ended March 31, 2020
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
First Republic Bank	$	16,250	21	%	$	70	22	%
MUFG Union Bank, National Association	10,900		14		62		19
Wells Fargo & Company
Wells Fargo Financial National Bank West(2)	9,000		12		35		11
Wells Fargo Bank, National Association(3)	36		—		1		—
Subtotal Wells Fargo & Company	9,036		12		36		11
Bank of the West	8,206		11		21		7
JPMorgan Chase Bank, National Association(3)	3,053		4		25		8
Subtotal	47,445		62		214		67
Others	29,443		38		105		33
Total par value	$	76,888	100	%	$	319	100	%

	March 31, 2019				Three Months Ended March 31, 2019
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
MUFG Union Bank, National Association	$	14,550	21	%	$	103	22	%
JPMorgan Chase Bank, National Association(3)	8,358		12		60		13
Wells Fargo & Company
Wells Fargo Financial National Bank(2)	8,000		11		47		10
Wells Fargo Bank, National Association(3)	45		—		1		—
Subtotal Wells Fargo & Company	8,045		11		48		10
First Republic Bank	8,000		11		49		10
Bank of the West	6,807		10		43		9
Subtotal	45,760		65		303		64
Others	24,415		35		174		36
Total par value	$	70,175	100	%	$	477	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.

Credit Risk Exposure and Security Terms. The Bank manages its credit exposure related to advances 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.

In addition, the Bank lends to eligible borrowers in accordance with federal law and Finance Agency regulations. Specifically, the Bank is required to obtain sufficient collateral to fully secure credit products up to the member’s total credit limit. Borrowers may pledge the following eligible assets to secure advances:

• one-to-four-family first lien residential mortgage loans;

• securities issued, insures, or guaranteed by the U.S. government or any of its agencies, including without limitation MBS backed by Fannie Mae, Freddie Mac, or Ginnie Mae;

• cash or deposits in the Bank;

• certain other real estate-related collateral, such as multifamily loans, commercial real estate loans, and second lien residential mortgage loans or home equity loans; and

• small business, small farm, and small agribusiness loans that are fully secured by collateral (such as real estate, equipment and vehicles, accounts receivable, and inventory) from members that are community financial institutions.

At March 31, 2020 and December 31, 2019, none of the Bank’s credit products were past due or on nonaccrual status. There were no troubled debt restructurings related to credit products during the three months ended March 31, 2020, or during 2019.

Based on the collateral pledged as security for advances, the Bank’s credit analyses of borrowers’ financial condition, repayment history on advances, and the Bank’s credit extension and collateral policies as of March 31, 2020, the Bank expects to collect all amounts due according to the contractual terms. Therefore, no allowance for losses on advances was deemed necessary by the Bank as of March 31, 2020, and December 31, 2019.

For more information on the credit risk exposure and security terms of advances, see “Item 8. Financial Statements and Supplementary Data – Note 10 – Allowance for Credit Losses” in the Bank’s 2019 Form 10-K

Interest Rate Payment Terms. Interest rate payment terms for advances at March 31, 2020, and December 31, 2019, are detailed below:

	March 31, 2020		December 31, 2019
Par value of advances:
Fixed rate:
Due within 1 year	$	21,846	$	15,327
Due after 1 year	28,277		21,337
Total fixed rate	50,123		36,664
Adjustable rate:
Due within 1 year	15,465		17,024
Due after 1 year	11,300		11,400
Total adjustable rate	26,765		28,424
Total par value	$	76,888	$	65,088

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 March 31, 2020, or December 31, 2019. 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 11 – Derivatives and Hedging Activities and Note 12 – Fair Value.

Federal Home Loan Bank Advances, Policy [Policy Text Block]

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.

Finance, Loan and Lease Receivables, Held-for-investment, Allowance and Nonperforming Loans, Nonperforming Loans Policy [Policy Text Block]

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.)

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Fair Value

3 Months Ended

Mar. 31, 2020

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 March 31, 2020, and December 31, 2019. 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 net carrying value or carrying value, as applicable, the estimated fair value, and the fair value hierarchy level of the Bank’s financial instruments at March 31, 2020, and December 31, 2019. 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.

	March 31, 2020
	Net Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral(1)
Assets
Cash and due from banks	$	328	$	328	$	328	$	—	$	—	$	—
Interest-bearing deposits	3,577		3,577		3,577		—		—		—
Securities purchased under agreements to resell	2,000		2,000		—		2,000		—		—
Federal funds sold	10,081		10,081		—		10,081		—		—
Trading securities	4,319		4,319		—		4,319		—		—
AFS securities	16,175		16,175		—		13,949		2,226		—
HTM securities	6,864		6,867		—		6,539		328		—
Advances	77,872		77,951		—		77,951		—		—
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	3,239		3,320		—		3,320		—		—
Accrued interest receivable	139		139		—		139		—		—
Derivative assets, net(1)	62		62		—		45		—		17
Other assets(2)	16		16		16		—		—		—
Liabilities
Deposits	721		721		—		721		—		—
Consolidated obligations:
Bonds	77,937		77,992		—		77,992		—		—
Discount notes	39,102		39,146		—		39,146		—		—
Total consolidated obligations	117,039		117,138		—		117,138		—		—
Mandatorily redeemable capital stock	83		83		83		—		—		—
Accrued interest payable	121		121		—		121		—		—
Derivative liabilities, net(1)	—		—		—		1,055		—		(1,055		)
Other
Standby letters of credit	33		33		—		33		—		—

	December 31, 2019
	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral(1)
Assets
Cash and due from banks	$	118	$	118	$	118	$	—	$	—	$	—
Interest-bearing deposits	2,269		2,269		2,269		—		—		—
Securities purchased under agreements to resell	7,000		7,000		—		7,000		—		—
Federal funds sold	3,562		3,562		—		3,562		—		—
Trading securities	1,766		1,766		—		1,766		—		—
AFS securities	15,495		15,495		—		12,898		2,597		—
HTM securities	7,545		7,566		—		7,181		385		—
Advances	65,374		65,492		—		65,492		—		—
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	3,314		3,332		—		3,332		—		—
Accrued interest receivable	139		139		—		139		—		—
Derivative assets, net(1)	33		33		—		44		—		(11		)
Other assets(2)	19		19		19		—		—		—
Liabilities
Deposits	537		537		—		537		—		—
Consolidated obligations:
Bonds	71,372		71,386		—		71,386		—		—
Discount notes	27,376		27,378		—		27,378		—		—
Total consolidated obligations	98,748		98,764		—		98,764		—		—
Mandatorily redeemable capital stock	138		138		138		—		—		—
Accrued interest payable	164		164		—		164		—		—
Derivative liabilities, net(1)	—		—				384		—		(384		)
Other
Standby letters of credit	32		32		—		32		—		—

(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 March 31, 2020:

• 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. For the periods presented, the Bank did not have any reclassifications for transfers in or out of level 3 of the fair value hierarchy.

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 March 31, 2020, 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 March 31, 2020, and December 31, 2019, by level within the fair value hierarchy.

March 31, 2020
	Fair Value Measurement Using:						Netting Adjustments  and Cash
	Level 1		Level 2		Level 3		Collateral(1)			Total
Recurring fair value measurements – Assets:
Trading securities:
U.S. obligations – Treasury securities	$	—	$	4,315	$	—	$	—		$	4,315
MBS – Other U.S. obligations – Ginnie Mae	—		4		—		—			4
Total trading securities	—		4,319		—		—			4,319
AFS securities:
U.S. obligations – Treasury securities	—		5,353		—		—			5,353
MBS:
GSEs – multifamily	—		8,596		—		—			8,596
PLRMBS	—		—		2,226		—			2,226
Subtotal MBS	—		8,596		2,226		—			10,822
Total AFS securities	—		13,949		2,226		—			16,175
Advances(2)	—		4,334		—		—			4,334
Derivative assets, net: interest rate-related	—		42		—		17			59
Derivative assets, net: mortgage delivery commitments	—		3		—		—			3
Other assets	16		—		—		—			16
Total recurring fair value measurements – Assets	$	16	$	22,647	$	2,226	$	17		$	24,906
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	254	$	—	$	—		$	254
Derivative liabilities, net: interest rate-related	—		1,055		—		(1,055		)	—
Total recurring fair value measurements – Liabilities	$	—	$	1,309	$	—	$	(1,055	)	$	254
Nonrecurring fair value measurements – Assets:(4)
Impaired mortgage loans held for portfolio	$	—	$	—	$	2	$	—		$	2
Total nonrecurring fair value measurements – Assets	$	—	$	—	$	2	$	—		$	2

December 31, 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:
U.S. obligations – Treasury securities	$	—	$	1,762	$	—	$	—		$	1,762
MBS – Other U.S. obligations – Ginnie Mae	—		4		—		—			4
Total trading securities	—		1,766		—		—			1,766
AFS securities:
U.S. obligations – Treasury securities	—		5,288		—		—			5,288
MBS:
GSEs – multifamily	—		7,610		—		—			7,610
PLRMBS	—		—		2,597		—			2,597
Subtotal MBS	—		7,610		2,597		—			10,207
Total AFS securities	—		12,898		2,597		—			15,495
Advances(2)	—		4,370		—		—			4,370
Derivative assets, net: interest rate-related	—		44		—		(11		)	33
Other assets	19		—		—		—			19
Total recurring fair value measurements – Assets	$	19	$	19,078	$	2,597	$	(11	)	$	21,683
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	337	$	—	$	—		$	337
Derivative liabilities, net: interest rate-related	—		384		—		(384		)	—
Total recurring fair value measurements – Liabilities	$	—	$	721	$	—	$	(384	)	$	337
Nonrecurring fair value measurements – Assets:(4)
Impaired mortgage loans held for portfolio	$	—	$	—	$	1	$	—		$	1
Total nonrecurring fair value measurements – Assets	$	—	$	—	$	1	$	—		$	1

(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 March 31, 2020, and December 31, 2019.

(3) Represents consolidated obligation bonds recorded under the fair value option at March 31, 2020, and December 31, 2019.

(4) The fair value information presented is as of the date the fair value adjustment was recorded during the three months ended March 31, 2020, and the year ended December 31, 2019.

The following table presents a reconciliation of the Bank’s AFS PLRMBS that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three months ended March 31, 2020 and 2019.

	Three Months Ended
	March 31, 2020			March 31, 2019
Balance, beginning of the period	$	2,597		$	3,157
Total gain/(loss) realized and unrealized included in:
Interest income/(loss)	19			18
(Provision for)/reversal of credit losses	(39		)	—
Other income, net	—			(1		)
Unrealized gain/(loss) included in AOCI	(234		)	14
Settlements	(118		)	(133		)
Transfers of HTM securities to AFS securities	1			—
Balance, end of the period	$	2,226		$	3,055
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	$	(19	)	$	17

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 2019 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 table summarizes the activity related to financial assets and liabilities for which the Bank elected the fair value option during the three months ended March 31, 2020 and 2019:

	Three Months Ended
	March 31, 2020						March 31, 2019
	Advances			Consolidated Obligation Bonds			Advances			Consolidated Obligation Bonds
Balance, beginning of the period	$	4,370		$	337		$	5,133		$	2,019
New transactions elected for fair value option	7,070			—			—			—
Maturities and terminations	(7,197		)	(85		)	(125		)	(830		)
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds from changes in fair value recognized in earnings	91			2			46			7
Change in accrued interest	—			—			(1		)	(5		)
Balance, end of the period	$	4,334		$	254		$	5,053		$	1,191

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 months ended March 31, 2020 and 2019. 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 March 31, 2020, and December 31, 2019:

	March 31, 2020						December 31, 2019
	Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance		Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance
Advances(1)	$	4,162	$	4,334	$	172	$	4,287	$	4,370	$	83
Consolidated obligation bonds	250		254		4		335		337		2

(1)

At March 31, 2020, and December 31, 2019, none of these advances were 90 days or more past due or had been placed on nonaccrual status.

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Statements of Cash Flows - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Net Cash Provided by (Used in) 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 loss	39	0
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	0	(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)
Net Cash Provided by (Used in) Investing Activities
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	0	50
Purchases of long-term	(2,480)	0
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	0	(7)
Net cash provided by/(used in) investing activities	(17,368)	(503)
Net Cash Provided by (Used in) Financing Activities
Net change in deposits and other financing activities	188	28
Net change in borrowings from other FHLBanks	0	(250)
Payments for (Proceeds from) Hedge, Financing Activities	(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)	0
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 beginning of period	118	13
Cash and due from banks end of period	328	19
Supplemental Disclosures:
Interest paid	422	594
AHP payments	19	18
Supplemental Disclosures of Noncash Investing and Financing Activities:
Transfers of capital stock to mandatorily redeemable capital stock	$ 3	$ 0

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Statements of Income - USD ($) $ in Millions		3 Months Ended
		Mar. 31, 2020	Mar. 31, 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:
Bonds		276	455
Discount notes		104	181
Deposits		2	2
Mandatorily redeemable capital stock	[1]	2	4
Total Interest Expense		384	642
Net Interest Income		49	144
Provision for/(reversal of) credit loss		39	0
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 net (gain)/loss on consolidated obligation bonds from changes in fair value recognized in earnings		89	39
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net		(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		0	5
Other, net		0	1
Total Other Expense		36	43
Income/(Loss) Before Assessment		(8)	116
AHP Assessment		0	12
Net Income/(Loss)		$ (8)	$ 104

[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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Capital (Excess Capital Stock) (Details) - USD ($) $ / shares in Units, $ in Millions		3 Months Ended
		Mar. 31, 2020	Mar. 31, 2019	Dec. 31, 2019	Dec. 31, 2018
Capital [Line Items]
Mandatorily redeemable capital stock		$ 83	$ 227	$ 138	$ 227
Amount of Excess Stock Repurchased During Period		$ 431	344
Common stock, par value		$ 100
Excess Capital		$ 175		$ 197
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]	$ 2	$ 4
Maximum
Capital [Line Items]
Dividends, Cash Declared, Annualized Rate		7.00%
Minimum
Capital [Line Items]
Dividends, Cash Declared, Annualized Rate		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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Capital (Capital Requirements) (Details) - USD ($) $ in Millions	Mar. 31, 2020	Dec. 31, 2019
Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items]
Risk-Based Capital, Required	$ 1,411	$ 1,519
Risk-Based Capital, Actual	6,718	6,605
Regulatory Capital, Required	4,995	4,274
Regulatory Capital, Actual	$ 6,718	$ 6,605
Regulatory Capital Ratio, Required	4.00%	4.00%
Regulatory Capital Ratio, Actual	5.38%	6.18%
Leverage Capital, Required	$ 6,244	$ 5,342
Leverage Capital, Actual	$ 10,078	$ 9,908
Leverage ratio - Required	5.00%	5.00%
Leverage Ratio, Actual	8.07%	9.27%
Multiplier for Determining Permanent Capital in Leverage Capital Calculation	1.5

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Investments Summary of AFS Securities with Unrealized Losses (Details) - USD ($) $ in Millions	Mar. 31, 2020	Dec. 31, 2019
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items]
Less Than 12 Months: Estimated Fair Value	$ 9,195	$ 2,723
Less Than 12 Months: Unrealized Losses	278	9
12 Months or More: Estimated Fair Value	402	824
12 Months or More: Unrealized Losses	40	13
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value	9,597	3,547
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss	318	22
US Government Agencies Debt Securities [Member]
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items]
Less Than 12 Months: Estimated Fair Value	104
Less Than 12 Months: Unrealized Losses	0
12 Months or More: Estimated Fair Value	0
12 Months or More: Unrealized Losses	0
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value	104
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss	0
Total MBS
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items]
Less Than 12 Months: Estimated Fair Value	9,091
Less Than 12 Months: Unrealized Losses	278
12 Months or More: Estimated Fair Value	402
12 Months or More: Unrealized Losses	40
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value	9,493
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss	318
MBS – GSEs – multifamily: | MBS - GSEs
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items]
Less Than 12 Months: Estimated Fair Value	8,235	2,644
Less Than 12 Months: Unrealized Losses	240	9
12 Months or More: Estimated Fair Value	235	623
12 Months or More: Unrealized Losses	12	4
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value	8,470	3,267
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss	252	13
Freddie Mac | MBS – GSEs – multifamily: | MBS - GSEs
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items]
Less Than 12 Months: Estimated Fair Value	833	211
Less Than 12 Months: Unrealized Losses	24	0
12 Months or More: Estimated Fair Value	0	0
12 Months or More: Unrealized Losses	0	0
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value	833	211
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss	24	0
Fannie Mae | MBS – GSEs – multifamily: | MBS - GSEs
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items]
Less Than 12 Months: Estimated Fair Value	7,402	2,433
Less Than 12 Months: Unrealized Losses	216	9
12 Months or More: Estimated Fair Value	235	623
12 Months or More: Unrealized Losses	12	4
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value	7,637	3,056
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss	228	13
PLRMBS | Residential Mortgage Backed Securities [Member]
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items]
Less Than 12 Months: Estimated Fair Value	856	79
Less Than 12 Months: Unrealized Losses	38	0
12 Months or More: Estimated Fair Value	167	201
12 Months or More: Unrealized Losses	28	9
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value	1,023	280
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss	66	9
Prime | PLRMBS | Residential Mortgage Backed Securities [Member]
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items]
Less Than 12 Months: Estimated Fair Value	109	4
Less Than 12 Months: Unrealized Losses	1	0
12 Months or More: Estimated Fair Value	6	8
12 Months or More: Unrealized Losses	1	0
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value	115	12
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss	2	0
Alt-A | PLRMBS | Residential Mortgage Backed Securities [Member]
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items]
Less Than 12 Months: Estimated Fair Value	747	75
Less Than 12 Months: Unrealized Losses	37	0
12 Months or More: Estimated Fair Value	161	193
12 Months or More: Unrealized Losses	27	9
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value	908	268
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss	$ 64	$ 9

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Investments OTTI Rollforward (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019	Dec. 31, 2019	Dec. 31, 2018
Investments, Debt and Equity Securities [Abstract]
Credit-related OTTI	$ 1,004	$ 1,063	$ 1,021	$ 1,077
Additional charges on securities for which OTTI was previously recognized	0	1
Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities	$ (17)	$ (15)

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Advances (Credit and Concentration Risk) (Details) - USD ($) $ in Millions		3 Months Ended
		Mar. 31, 2020		Mar. 31, 2019		Dec. 31, 2019
Advances [Line Items]
Advances Outstanding		$ 76,888		$ 70,175		$ 65,088
Interest Income from Advances	[1]	$ 319		$ 477
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%
First Republic Bank [Member]
Advances [Line Items]
Advances Outstanding		$ 16,250		$ 8,000
Interest Income from Advances	[1]	70		49
MUFG Union Bank, NA [Member]
Advances [Line Items]
Advances Outstanding		10,900		14,550
Interest Income from Advances	[1]	62		103
Wells Fargo Financial National Bank West [Member]
Advances [Line Items]
Advances Outstanding	[2]	9,000		8,000
Interest Income from Advances	[1],[2]	35		47
Wells Fargo Bank NA [Member]
Advances [Line Items]
Advances Outstanding	[3]	36		45
Interest Income from Advances	[1],[3]	1		1
Wells Fargo and Company [Member]
Advances [Line Items]
Advances Outstanding		9,036		8,045
Interest Income from Advances		36		48
Bank of the West [Member]
Advances [Line Items]
Advances Outstanding		8,206		6,807
Interest Income from Advances	[1],[2]	21		43
JPMorgan Chase Bank, National Association
Advances [Line Items]
Advances Outstanding		3,053		8,358
Interest Income from Advances		25	[3]	60	[1]
Top five borrowers
Advances [Line Items]
Advances Outstanding		47,445		45,760
Interest Income from Advances	[1]	$ 214		$ 303
Top five borrowers | Percentage of Total Advances Outstanding
Advances [Line Items]
Concentration Risk, Percentage		62.00%		65.00%
Top five borrowers | Percentage of Total Interest Income from Advances
Advances [Line Items]
Concentration Risk, Percentage		67.00%		64.00%
Top five borrowers | First Republic Bank [Member] | Percentage of Total Advances Outstanding
Advances [Line Items]
Concentration Risk, Percentage		21.00%		11.00%
Top five borrowers | First Republic Bank [Member] | Percentage of Total Interest Income from Advances
Advances [Line Items]
Concentration Risk, Percentage		22.00%		10.00%
Top five borrowers | MUFG Union Bank, NA [Member] | Percentage of Total Advances Outstanding
Advances [Line Items]
Concentration Risk, Percentage		14.00%		21.00%
Top five borrowers | MUFG Union Bank, NA [Member] | Percentage of Total Interest Income from Advances
Advances [Line Items]
Concentration Risk, Percentage		19.00%		22.00%
Top five borrowers | Wells Fargo Financial National Bank West [Member] | Percentage of Total Advances Outstanding
Advances [Line Items]
Concentration Risk, Percentage	[2]	12.00%		11.00%
Top five borrowers | Wells Fargo Financial National Bank West [Member] | Percentage of Total Interest Income from Advances
Advances [Line Items]
Concentration Risk, Percentage	[2]	11.00%		10.00%
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%
Top five borrowers | Wells Fargo and Company [Member] | Percentage of Total Advances Outstanding
Advances [Line Items]
Concentration Risk, Percentage		12.00%		11.00%
Top five borrowers | Wells Fargo and Company [Member] | Percentage of Total Interest Income from Advances
Advances [Line Items]
Concentration Risk, Percentage		11.00%		10.00%
Top five borrowers | Bank of the West [Member] | Percentage of Total Advances Outstanding
Advances [Line Items]
Concentration Risk, Percentage		11.00%		10.00%
Top five borrowers | Bank of the West [Member] | Percentage of Total Interest Income from Advances
Advances [Line Items]
Concentration Risk, Percentage		7.00%		9.00%
Top five borrowers | JPMorgan Chase Bank, National Association | Percentage of Total Advances Outstanding
Advances [Line Items]
Concentration Risk, Percentage		4.00%	[3]	12.00%
Top five borrowers | JPMorgan Chase Bank, National Association | Percentage of Total Interest Income from Advances
Advances [Line Items]
Concentration Risk, Percentage		8.00%	[3]	13.00%
Other Borrowers
Advances [Line Items]
Advances Outstanding		$ 29,443		$ 24,415
Interest Income from Advances	[1]	$ 105		$ 174
Other Borrowers | Percentage of Total Advances Outstanding
Advances [Line Items]
Concentration Risk, Percentage		38.00%		35.00%
Other Borrowers | Percentage of Total Interest Income from Advances
Advances [Line Items]
Concentration Risk, Percentage		33.00%		36.00%

[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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Derivatives and Hedging Activities (Derivatives in Statement of Income and Impact on Interest) (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Derivative Instruments, Gain (Loss) [Line Items]
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net	$ (147)	$ (28)
Gain (Loss) on Derivative and Hedging Activities
Derivative Instruments, Gain (Loss) [Line Items]
Gain (Loss) on Derivative Instruments	(147)	(28)
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	(143)	(23)
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	0	(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	(8)	(5)
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	$ 4	$ 1

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Fair Value (Level 3) (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Other income, net	$ 0	$ (1)
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	2,597	3,157
Interest income/(loss)	19	18
Provision for Other Credit Losses	(39)	0
Other income, net	0	(1)
Unrealized gain/(loss) included in AOCI	(234)	14
Settlements	(118)	(133)
Transfers of HTM to AFS	1	0
Balance, end of the period	2,226	3,055
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	$ (19)	$ 17

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Consolidated Obligations (Consolidated Obligation Bonds by Earlier of Contractual Maturity or Next Call Date) (Details) - USD ($) $ in Millions	Mar. 31, 2020	Dec. 31, 2019
Debt Instrument [Line Items]
Total bonds, par value	$ 77,907	$ 71,370
Earlier of Contractual Maturity or Next Call Date [Member]
Debt Instrument [Line Items]
Within 1 year	65,778	58,239
After 1 year through 2 years	11,620	12,768
After 2 years through 3 years	381	195
After 3 years through 4 years	40	70
After 4 years through 5 years	37	47
After 5 years	$ 51	$ 51

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Deposits (Details) - USD ($) $ in Millions	Mar. 31, 2020	Dec. 31, 2019
Demand Deposits [Line Items]
Interest-bearing Deposits - Adjustable rate	$ 576	$ 427
Noninterest-bearing Deposits	145	110
Deposits	721	537
Interest-bearing Deposits [Member] | Adjustable rate
Demand Deposits [Line Items]
Interest-bearing Deposits - Adjustable rate	$ 574	$ 427
Weighted Average Rate	0.01%	1.30%
Interest-bearing Deposits [Member] | Fixed Interest Rate [Member]
Demand Deposits [Line Items]
Interest-bearing Deposits - Adjustable rate	$ 2	$ 0
Weighted Average Rate	0.30%	0.00%

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Advances (Interest Rate Payment Terms and Prepayment Fees) (Details) - USD ($) $ in Millions	Mar. 31, 2020	Dec. 31, 2019	Mar. 31, 2019
Federal Home Loan Bank, Advances, Fixed Rate [Abstract]
Fixed Rate, due within 1 year	$ 21,846	$ 15,327
Fixed Rate, due after 1 year	28,277	21,337
Advances, Total Fixed Rate	50,123	36,664
Federal Home Loan Bank, Advances, Floating Rate [Abstract]
Adjustable Rate, due within 1 year	15,465	17,024
Adjustable Rate, due after 1 year	11,300	11,400
Advances, Total Adjustable Rate	26,765	28,424
Total par value	$ 76,888	$ 65,088	$ 70,175

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Accumulated Other Comprehensive Income (Loss) (Tables)

3 Months Ended

Mar. 31, 2020

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 three months ended March 31, 2020 and 2019:

	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, 2018	$	(32	)	$	287		$	(3	)	$	(17	)	$	235
Other comprehensive income/(loss) before reclassifications:
Net change in fair value	38			14									52
Net current period other comprehensive income/(loss)	38			14			—			—			52
Balance, March 31, 2019	$	6		$	301		$	(3	)	$	(17	)	$	287
Balance, December 31, 2019	$	21		$	268		$	(1	)	$	(14	)	$	274
Other comprehensive income/(loss) before reclassifications:
Net change in fair value	(502		)	—									(502		)
Net current period other comprehensive income/(loss)	(502		)	—			—			—			(502		)
Adoption of ASU 2016-13, as amended(1)	268			(268		)							—
Balance, March 31, 2020	$	(213	)	$	—		$	(1	)	$	(14	)	$	(228	)

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Fair Value (Tables)

3 Months Ended

Mar. 31, 2020

Fair Value Disclosures [Abstract]

Fair Value, by Balance Sheet Grouping

The following tables present the net carrying value or carrying value, as applicable, the estimated fair value, and the fair value hierarchy level of the Bank’s financial instruments at March 31, 2020, and December 31, 2019. 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.

	March 31, 2020
	Net Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral(1)
Assets
Cash and due from banks	$	328	$	328	$	328	$	—	$	—	$	—
Interest-bearing deposits	3,577		3,577		3,577		—		—		—
Securities purchased under agreements to resell	2,000		2,000		—		2,000		—		—
Federal funds sold	10,081		10,081		—		10,081		—		—
Trading securities	4,319		4,319		—		4,319		—		—
AFS securities	16,175		16,175		—		13,949		2,226		—
HTM securities	6,864		6,867		—		6,539		328		—
Advances	77,872		77,951		—		77,951		—		—
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	3,239		3,320		—		3,320		—		—
Accrued interest receivable	139		139		—		139		—		—
Derivative assets, net(1)	62		62		—		45		—		17
Other assets(2)	16		16		16		—		—		—
Liabilities
Deposits	721		721		—		721		—		—
Consolidated obligations:
Bonds	77,937		77,992		—		77,992		—		—
Discount notes	39,102		39,146		—		39,146		—		—
Total consolidated obligations	117,039		117,138		—		117,138		—		—
Mandatorily redeemable capital stock	83		83		83		—		—		—
Accrued interest payable	121		121		—		121		—		—
Derivative liabilities, net(1)	—		—		—		1,055		—		(1,055		)
Other
Standby letters of credit	33		33		—		33		—		—

	December 31, 2019
	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral(1)
Assets
Cash and due from banks	$	118	$	118	$	118	$	—	$	—	$	—
Interest-bearing deposits	2,269		2,269		2,269		—		—		—
Securities purchased under agreements to resell	7,000		7,000		—		7,000		—		—
Federal funds sold	3,562		3,562		—		3,562		—		—
Trading securities	1,766		1,766		—		1,766		—		—
AFS securities	15,495		15,495		—		12,898		2,597		—
HTM securities	7,545		7,566		—		7,181		385		—
Advances	65,374		65,492		—		65,492		—		—
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	3,314		3,332		—		3,332		—		—
Accrued interest receivable	139		139		—		139		—		—
Derivative assets, net(1)	33		33		—		44		—		(11		)
Other assets(2)	19		19		19		—		—		—
Liabilities
Deposits	537		537		—		537		—		—
Consolidated obligations:
Bonds	71,372		71,386		—		71,386		—		—
Discount notes	27,376		27,378		—		27,378		—		—
Total consolidated obligations	98,748		98,764		—		98,764		—		—
Mandatorily redeemable capital stock	138		138		138		—		—		—
Accrued interest payable	164		164		—		164		—		—
Derivative liabilities, net(1)	—		—				384		—		(384		)
Other
Standby letters of credit	32		32		—		32		—		—

(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 March 31, 2020, and December 31, 2019, by level within the fair value hierarchy.

March 31, 2020
	Fair Value Measurement Using:						Netting Adjustments  and Cash
	Level 1		Level 2		Level 3		Collateral(1)			Total
Recurring fair value measurements – Assets:
Trading securities:
U.S. obligations – Treasury securities	$	—	$	4,315	$	—	$	—		$	4,315
MBS – Other U.S. obligations – Ginnie Mae	—		4		—		—			4
Total trading securities	—		4,319		—		—			4,319
AFS securities:
U.S. obligations – Treasury securities	—		5,353		—		—			5,353
MBS:
GSEs – multifamily	—		8,596		—		—			8,596
PLRMBS	—		—		2,226		—			2,226
Subtotal MBS	—		8,596		2,226		—			10,822
Total AFS securities	—		13,949		2,226		—			16,175
Advances(2)	—		4,334		—		—			4,334
Derivative assets, net: interest rate-related	—		42		—		17			59
Derivative assets, net: mortgage delivery commitments	—		3		—		—			3
Other assets	16		—		—		—			16
Total recurring fair value measurements – Assets	$	16	$	22,647	$	2,226	$	17		$	24,906
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	254	$	—	$	—		$	254
Derivative liabilities, net: interest rate-related	—		1,055		—		(1,055		)	—
Total recurring fair value measurements – Liabilities	$	—	$	1,309	$	—	$	(1,055	)	$	254
Nonrecurring fair value measurements – Assets:(4)
Impaired mortgage loans held for portfolio	$	—	$	—	$	2	$	—		$	2
Total nonrecurring fair value measurements – Assets	$	—	$	—	$	2	$	—		$	2

December 31, 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:
U.S. obligations – Treasury securities	$	—	$	1,762	$	—	$	—		$	1,762
MBS – Other U.S. obligations – Ginnie Mae	—		4		—		—			4
Total trading securities	—		1,766		—		—			1,766
AFS securities:
U.S. obligations – Treasury securities	—		5,288		—		—			5,288
MBS:
GSEs – multifamily	—		7,610		—		—			7,610
PLRMBS	—		—		2,597		—			2,597
Subtotal MBS	—		7,610		2,597		—			10,207
Total AFS securities	—		12,898		2,597		—			15,495
Advances(2)	—		4,370		—		—			4,370
Derivative assets, net: interest rate-related	—		44		—		(11		)	33
Other assets	19		—		—		—			19
Total recurring fair value measurements – Assets	$	19	$	19,078	$	2,597	$	(11	)	$	21,683
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	337	$	—	$	—		$	337
Derivative liabilities, net: interest rate-related	—		384		—		(384		)	—
Total recurring fair value measurements – Liabilities	$	—	$	721	$	—	$	(384	)	$	337
Nonrecurring fair value measurements – Assets:(4)
Impaired mortgage loans held for portfolio	$	—	$	—	$	1	$	—		$	1
Total nonrecurring fair value measurements – Assets	$	—	$	—	$	1	$	—		$	1

(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 March 31, 2020, and December 31, 2019.

(3) Represents consolidated obligation bonds recorded under the fair value option at March 31, 2020, and December 31, 2019.

(4) The fair value information presented is as of the date the fair value adjustment was recorded during the three months ended March 31, 2020, and the year ended December 31, 2019.

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

The following table presents a reconciliation of the Bank’s AFS PLRMBS that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three months ended March 31, 2020 and 2019.

	Three Months Ended
	March 31, 2020			March 31, 2019
Balance, beginning of the period	$	2,597		$	3,157
Total gain/(loss) realized and unrealized included in:
Interest income/(loss)	19			18
(Provision for)/reversal of credit losses	(39		)	—
Other income, net	—			(1		)
Unrealized gain/(loss) included in AOCI	(234		)	14
Settlements	(118		)	(133		)
Transfers of HTM securities to AFS securities	1			—
Balance, end of the period	$	2,226		$	3,055
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	$	(19	)	$	17

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 March 31, 2020, and December 31, 2019:

	March 31, 2020						December 31, 2019
	Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance		Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance
Advances(1)	$	4,162	$	4,334	$	172	$	4,287	$	4,370	$	83
Consolidated obligation bonds	250		254		4		335		337		2

(1)

At March 31, 2020, and December 31, 2019, none of these advances were 90 days or more past due or had been placed on nonaccrual status.

The following table summarizes the activity related to financial assets and liabilities for which the Bank elected the fair value option during the three months ended March 31, 2020 and 2019:

	Three Months Ended
	March 31, 2020						March 31, 2019
	Advances			Consolidated Obligation Bonds			Advances			Consolidated Obligation Bonds
Balance, beginning of the period	$	4,370		$	337		$	5,133		$	2,019
New transactions elected for fair value option	7,070			—			—			—
Maturities and terminations	(7,197		)	(85		)	(125		)	(830		)
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds from changes in fair value recognized in earnings	91			2			46			7
Change in accrued interest	—			—			(1		)	(5		)
Balance, end of the period	$	4,334		$	254		$	5,053		$	1,191

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Investments Trading Securities by Major Type (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019	Dec. 31, 2019
Trading Securities
Trading securities	$ 4,319		$ 1,766
Net unrealized gain/(loss) on trading securities	73	$ (1)
US Treasury Securities [Member]
Trading Securities
Trading securities	4,315		1,762
MBS – Other U.S. obligations – Ginnie Mae
Trading Securities
Trading securities	$ 4		$ 4

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Accumulated Other Comprehensive Income (Loss)

3 Months Ended

Mar. 31, 2020

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 March 31, 2020 and 2019:

	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, 2018	$	(32	)	$	287		$	(3	)	$	(17	)	$	235
Other comprehensive income/(loss) before reclassifications:
Net change in fair value	38			14									52
Net current period other comprehensive income/(loss)	38			14			—			—			52
Balance, March 31, 2019	$	6		$	301		$	(3	)	$	(17	)	$	287
Balance, December 31, 2019	$	21		$	268		$	(1	)	$	(14	)	$	274
Other comprehensive income/(loss) before reclassifications:
Net change in fair value	(502		)	—									(502		)
Net current period other comprehensive income/(loss)	(502		)	—			—			—			(502		)
Adoption of ASU 2016-13, as amended(1)	268			(268		)							—
Balance, March 31, 2020	$	(213	)	$	—		$	(1	)	$	(14	)	$	(228	)

(1)

With the adoption of changes to accounting standards on measurement of credit losses for financial instruments on January 1, 2020, OTTI assessment was replaced with an evaluation for an allowance for credit loss (see Note 1 – Basis of Presentation and Note 2 – Recently Issued and Adopted Accounting Guidance for further information).

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Advances

3 Months Ended

Mar. 31, 2020

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 0.13% to 8.57% at March 31, 2020, and 1.15% to 8.57% at December 31, 2019, as summarized below.

	March 31, 2020				December 31, 2019
Redemption Term	Amount Outstanding(1)		Weighted Average Interest Rate		Amount Outstanding(1)		Weighted Average Interest Rate
Within 1 year	$	37,311	1.04	%	$	32,351	1.91	%
After 1 year through 2 years	26,281		1.65		22,380		2.15
After 2 years through 3 years	3,784		2.12		4,847		2.08
After 3 years through 4 years	3,520		2.67		2,909		2.97
After 4 years through 5 years	4,308		1.43		1,461		2.32
After 5 years	1,684		2.40		1,140		2.96
Total par value	76,888		1.43	%	65,088		2.08	%
Valuation adjustments for hedging activities	812				203
Valuation adjustments under fair value option	172				83
Total	$	77,872			$	65,374

(1) Carrying amounts exclude accrued interest receivable of $30 and $39 at March 31, 2020, and December 31, 2019, respectively.

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 $23,430 at March 31, 2020, and $14,059 at December 31, 2019. The Bank had advances with partial prepayment symmetry outstanding totaling $3,387 at March 31, 2020, and $3,513 at December 31, 2019. Some advances may be repaid on pertinent call dates without prepayment fees (callable advances). The Bank had callable advances outstanding totaling $11,444 at March 31, 2020, and $14,024 at December 31, 2019.

The Bank had putable advances totaling $220 at March 31, 2020, and $20 at December 31, 2019. 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 March 31, 2020, and December 31, 2019, 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
	March 31, 2020		December 31, 2019		March 31, 2020		December 31, 2019
Within 1 year	$	43,383	$	39,075	$	37,531	$	32,371
After 1 year through 2 years	20,231		15,731		26,281		22,380
After 2 years through 3 years	3,782		4,800		3,784		4,847
After 3 years through 4 years	3,520		2,895		3,520		2,909
After 4 years through 5 years	4,288		1,447		4,308		1,461
After 5 years	1,684		1,140		1,464		1,120
Total par value	$	76,888	$	65,088	$	76,888	$	65,088

Concentration Risk. The following tables present the concentration in advances to the top five borrowers and their affiliates at March 31, 2020 and 2019. 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 months ended March 31, 2020 and 2019.

	March 31, 2020				Three Months Ended March 31, 2020
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
First Republic Bank	$	16,250	21	%	$	70	22	%
MUFG Union Bank, National Association	10,900		14		62		19
Wells Fargo & Company
Wells Fargo Financial National Bank West(2)	9,000		12		35		11
Wells Fargo Bank, National Association(3)	36		—		1		—
Subtotal Wells Fargo & Company	9,036		12		36		11
Bank of the West	8,206		11		21		7
JPMorgan Chase Bank, National Association(3)	3,053		4		25		8
Subtotal	47,445		62		214		67
Others	29,443		38		105		33
Total par value	$	76,888	100	%	$	319	100	%

	March 31, 2019				Three Months Ended March 31, 2019
Name of Borrower	Advances Outstanding		Percentage of Total Advances Outstanding		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances
MUFG Union Bank, National Association	$	14,550	21	%	$	103	22	%
JPMorgan Chase Bank, National Association(3)	8,358		12		60		13
Wells Fargo & Company
Wells Fargo Financial National Bank(2)	8,000		11		47		10
Wells Fargo Bank, National Association(3)	45		—		1		—
Subtotal Wells Fargo & Company	8,045		11		48		10
First Republic Bank	8,000		11		49		10
Bank of the West	6,807		10		43		9
Subtotal	45,760		65		303		64
Others	24,415		35		174		36
Total par value	$	70,175	100	%	$	477	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.

Credit Risk Exposure and Security Terms. The Bank manages its credit exposure related to advances 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.

In addition, the Bank lends to eligible borrowers in accordance with federal law and Finance Agency regulations. Specifically, the Bank is required to obtain sufficient collateral to fully secure credit products up to the member’s total credit limit. Borrowers may pledge the following eligible assets to secure advances:

• one-to-four-family first lien residential mortgage loans;

• securities issued, insures, or guaranteed by the U.S. government or any of its agencies, including without limitation MBS backed by Fannie Mae, Freddie Mac, or Ginnie Mae;

• cash or deposits in the Bank;

• certain other real estate-related collateral, such as multifamily loans, commercial real estate loans, and second lien residential mortgage loans or home equity loans; and

• small business, small farm, and small agribusiness loans that are fully secured by collateral (such as real estate, equipment and vehicles, accounts receivable, and inventory) from members that are community financial institutions.

At March 31, 2020 and December 31, 2019, none of the Bank’s credit products were past due or on nonaccrual status. There were no troubled debt restructurings related to credit products during the three months ended March 31, 2020, or during 2019.

Based on the collateral pledged as security for advances, the Bank’s credit analyses of borrowers’ financial condition, repayment history on advances, and the Bank’s credit extension and collateral policies as of March 31, 2020, the Bank expects to collect all amounts due according to the contractual terms. Therefore, no allowance for losses on advances was deemed necessary by the Bank as of March 31, 2020, and December 31, 2019.

For more information on the credit risk exposure and security terms of advances, see “Item 8. Financial Statements and Supplementary Data – Note 10 – Allowance for Credit Losses” in the Bank’s 2019 Form 10-K

Interest Rate Payment Terms. Interest rate payment terms for advances at March 31, 2020, and December 31, 2019, are detailed below:

	March 31, 2020		December 31, 2019
Par value of advances:
Fixed rate:
Due within 1 year	$	21,846	$	15,327
Due after 1 year	28,277		21,337
Total fixed rate	50,123		36,664
Adjustable rate:
Due within 1 year	15,465		17,024
Due after 1 year	11,300		11,400
Total adjustable rate	26,765		28,424
Total par value	$	76,888	$	65,088

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 March 31, 2020, or December 31, 2019. 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 11 – Derivatives and Hedging Activities and Note 12 – Fair Value.

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Derivatives and Hedging Activities Cumulative adjustments table (Details) $ in Millions	Mar. 31, 2020 USD ($)
Advances
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Amortized Cost of Hedged Asset, Fair Value Hedge	$ 32,880
Basis Adjustment for Active Fair Value Hedged Asset Cumulative Increase Decrease	804
Available-for-sale Securities
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Amortized Cost of Hedged Asset, Fair Value Hedge	14,195
Basis Adjustment for Active Fair Value Hedged Asset Cumulative Increase Decrease	1,275
Consolidated Obligations, Bonds
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Amortized Cost of Hedged Liability, Fair Value Hedge	(2,707)
Basis Adjustment for Active Fair Value Hedged Liability Cumulative Increase Decrease	(32)
Advances
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Basis Adjustment for Hedged Asset, Discontinued Fair Value Hedge, Cumulative Increase (Decrease)	8
Hedged Asset, Fair Value Hedge, Cumulative Increase (Decrease)	812
Available-for-sale Securities
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Basis Adjustment for Hedged Asset, Discontinued Fair Value Hedge, Cumulative Increase (Decrease)	49
Hedged Asset, Fair Value Hedge, Cumulative Increase (Decrease)	1,324
Consolidated Obligations, Bonds
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Basis Adjustment for Hedged Liability, Discontinued Fair Value Hedge, Cumulative Increase (Decrease)	0
Hedged Liability, Fair Value Hedge, Cumulative Increase (Decrease)	$ (32)

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Fair Value (Fair Value Measured on Recurring and Nonrecurring Basis) (Details) - USD ($) $ in Millions		Mar. 31, 2020	Dec. 31, 2019
MBS – Other U.S. obligations – Ginnie Mae
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		$ 4	$ 4
US Obligations - Treasury | Fair Value, Measurements, Recurring | 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
US Obligations - Treasury | Fair Value, Measurements, Recurring | Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		4,315	1,762
Available-for-sale (AFS) securities		5,353	5,288
US Obligations - Treasury | Fair Value, Measurements, Recurring | Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0	0
Available-for-sale (AFS) securities		0	0
US Obligations - Treasury | Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		4,315	1,762
Available-for-sale (AFS) securities		5,353	5,288
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
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	4
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
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	4
Trading securities		4,319	1,766
Available-for-sale (AFS) securities	[1]	16,175	15,495
Advances	[2]	4,334	4,370
Derivative Asset, Netting adjustments	[3]	(17)	11
Derivative assets, net		62	33
Derivative Liability, Netting adjustments	[3]	(1,055)	(384)
Derivative liabilities, net		0	0
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]	16	19
Mortgage loans held for portfolio		0	0
Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		4,319	1,766
Available-for-sale (AFS) securities		13,949	12,898
Derivative Asset, Netting adjustments	[5]	17	(11)
Other assets	[4]	0	0
Derivative Liability, Netting adjustments	[5]	(1,055)	(384)
Mortgage loans held for portfolio		3,320	3,332
Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0	0
Available-for-sale (AFS) securities		2,226	2,597
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]	4,334	4,370
Derivative Asset, Netting adjustments	[7]	17	(11)
Derivative Liability, Netting adjustments	[7]	(1,055)	(384)
Fair Value, Measurements, Recurring | 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
Advances	[6]	0	0
Other assets		16	19
Total fair value measurements – Assets		16	19
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		4,319	1,766
Available-for-sale (AFS) securities		13,949	12,898
Advances	[6]	4,334	4,370
Other assets		0	0
Total fair value measurements – Assets		22,647	19,078
Total recurring fair value measurements – Liabilities		1,309	721
Fair Value, Measurements, Recurring | Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0	0
Available-for-sale (AFS) securities		2,226	2,597
Advances	[6]	0	0
Other assets		0	0
Total fair value measurements – Assets		2,226	2,597
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]	2	1
Mortgage loans held for portfolio	[8]	2	1
Consolidated obligation bonds
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Bonds		254	337
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		77,992	71,386
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]	254	337
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]	254	337
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		4,319	1,766
Available-for-sale (AFS) securities		16,175	15,495
Derivative assets, net	[5]	62	33
Other assets	[4]	16	19
Derivative liabilities, net	[5]	0	0
Mortgage loans held for portfolio		3,320	3,332
Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		4,319	1,766
Available-for-sale (AFS) securities		16,175	15,495
Other assets		16	19
Total fair value measurements – Assets		24,906	21,683
Total recurring fair value measurements – Liabilities		254	337
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]	2	1
Mortgage loans held for portfolio	[8]	2	1
Estimate of Fair Value Measurement | Consolidated obligation bonds
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Bonds		77,992	71,386
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]	17	(11)
Derivative Liability, Netting adjustments	[7]	(1,055)	(384)
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		42	44
Derivative liabilities, net		1,055	384
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		59	33
Derivative liabilities, net		0	0
MBS – GSEs – multifamily: | MBS – Other U.S. obligations – Ginnie Mae
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Available-for-sale (AFS) securities		8,596	7,610
Collateralized Mortgage Backed Securities [Member] | Fair Value, Measurements, Recurring | Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets, net		0
Collateralized Mortgage Backed Securities [Member] | Fair Value, Measurements, Recurring | Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets, net		3
Collateralized Mortgage Backed Securities [Member] | Fair Value, Measurements, Recurring | Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets, net		0
Collateralized Mortgage Backed Securities [Member] | 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		3
Residential Mortgage Backed Securities | Subtotal PLRMBS
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Available-for-sale (AFS) securities		2,226	2,597
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		2,226	2,597
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		2,226	2,597
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	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		8,596	7,610
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		2,226	2,597
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		10,822	10,207
Residential Mortgage Backed Securities | MBS – GSEs – multifamily: | 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]
Available-for-sale (AFS) securities		0	0
Residential Mortgage Backed Securities | MBS – GSEs – multifamily: | 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]
Available-for-sale (AFS) securities		8,596	7,610
Residential Mortgage Backed Securities | MBS – GSEs – multifamily: | 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]
Available-for-sale (AFS) securities		0	0
Residential Mortgage Backed Securities | MBS – GSEs – multifamily: | 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]
Available-for-sale (AFS) securities		$ 8,596	$ 7,610

[1] 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.

[2] At March 31, 2020, and December 31, 2019, 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 $1,082 and $378 at March 31, 2020, and December 31, 2019, respectively. Cash collateral received and related accrued interest was $9 and $5 at March 31, 2020, and December 31, 2019, 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 March 31, 2020, and December 31, 2019.

[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 three months ended March 31, 2020

[9] Represents consolidated obligation bonds recorded under the fair value option at March 31, 2020, and December 31, 2019

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Consolidated Obligations Narrative (Details) - USD ($) $ in Millions	Mar. 31, 2020	Dec. 31, 2019
Debt Instrument [Line Items]
Obligation with Joint and Several Liability Arrangement, Amount Outstanding	$ 1,174,670	$ 1,025,895
Federal Home Loan Bank, Consolidated Obligations	$ 117,039	$ 98,748

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Mortgage Loans Held for Portfolio (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2020	Dec. 31, 2019
Loans and Leases Receivable Disclosure [Line Items]
Unpaid principal balance	$ 3,179	$ 3,226
Unamortized premiums	66	91
Unamortized discounts	(3)	(3)
Mortgage loans held for portfolio	3,242	3,314
Less: Allowance for credit losses	(3)	0
Total mortgage loans held for portfolio, net	3,239	3,314
Fixed rate medium-term mortgage loans
Loans and Leases Receivable Disclosure [Line Items]
Unpaid principal balance	29	27
Fixed Rate Long Term mortgage loans
Loans and Leases Receivable Disclosure [Line Items]
Unpaid principal balance	$ 3,150	3,199
Fixed Rate Long Term mortgage loans | Minimum
Loans and Leases Receivable Disclosure [Line Items]
Medium-term Loan Original Contractual Terms	15 years
Fixed rate medium-term mortgage loans | Maximum
Loans and Leases Receivable Disclosure [Line Items]
Medium-term Loan Original Contractual Terms	15 years
Conventional Mortgage Loan
Loans and Leases Receivable Disclosure [Line Items]
Less: Allowance for credit losses	$ (3)	0
Mortgages
Loans and Leases Receivable Disclosure [Line Items]
Accrued Interest Receivable	$ 19	$ 19

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Consolidated Obligations (Consolidated Obligation Discount Notes) (Details) - USD ($) $ in Millions		Mar. 31, 2020	Dec. 31, 2019
Short-term Debt [Line Items]
Discount notes, par value		$ 39,155	$ 27,447
Short-term Debt, Weighted Average Interest Rate, at Point in Time	[1]	0.84%	1.61%
Total		$ 39,102	$ 27,376
Discount notes
Short-term Debt [Line Items]
Unamortized discounts		$ (53)	$ (71)

[1] Represents yield to maturity excluding concession fees.

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Investments Narrative (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019	Dec. 31, 2019	Dec. 31, 2018
Investments [Line Items]
Interest-Bearing Deposits, Securities Purchased Under Agreements to Resell, and Federal Funds Sold, Percentage Unrated	1.00%
Interest-Bearing Deposits, Securities Purchased Under Agreements to Resell, and Federal Funds Sold, Percentage Rated Below Triple-B	0.00%
Available-for-sale Securities, Premiums	$ 68		$ 65
Available for sale Securities Discounts	(50)		(52)
Credit-related OTTI	1,004	$ 1,063	1,021	$ 1,077
Provision for/(reversal of) credit loss	$ 39	0
Net OTTI loss, credit-related		$ 1
Available For Sale Debt Securities And Held To Maturity Debt Securities Excluding Private Label Mortgage Back Securities Amortized Cost Percentage Rated Single A Or Above	100.00%
Available-for-Sale Debt Securities and Held-to-Maturity Debt Securities Private Label Mortgage Back Securities Amortized Cost, Percentage Rated Single-A Or Above	7.00%
Interest-bearing Deposits [Member]
Investments [Line Items]
Accrued Interest, after Allowance for Credit Loss	$ 2		3
Fed Funds Sold
Investments [Line Items]
Accrued Interest, after Allowance for Credit Loss	0		0
Securities Borrowed or Purchased under Agreements to Resell [Member]
Investments [Line Items]
Accrued Interest, after Allowance for Credit Loss	0		0
Total MBS
Investments [Line Items]
Held-to-maturity Securities, Premiums	7		8
Held-to-maturity Securities, Discounts	(10)		(11)
Available-for-sale Securities | Total MBS
Investments [Line Items]
Credit-related OTTI	547		574
Held-to-maturity Securities | Total MBS
Investments [Line Items]
Credit-related OTTI	$ 6		$ 7

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Consolidated Obligations (Tables)

3 Months Ended

Mar. 31, 2020

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 March 31, 2020, and December 31, 2019.

	March 31, 2020					December 31, 2019
Contractual Maturity	Amount Outstanding			Weighted Average Interest Rate		Amount Outstanding			Weighted Average Interest Rate
Within 1 year	$	62,453		0.51	%	$	53,549		1.68	%
After 1 year through 2 years	11,690			0.46		13,853			1.67
After 2 years through 3 years	596			1.84		770			1.93
After 3 years through 4 years	165			2.14		135			2.74
After 4 years through 5 years	812			1.82		937			2.08
After 5 years	2,191			2.71		2,126			2.94
Total par value	77,907			0.59	%	71,370			1.73	%
Unamortized premiums	3					1
Unamortized discounts	(9		)			(10		)
Valuation adjustments for hedging activities	32					9
Fair value option valuation adjustments	4					2
Total	$	77,937				$	71,372

Schedule of Long-term Debt by Call Feature

The Bank’s participation in consolidated obligation bonds at March 31, 2020, and December 31, 2019, was as follows:

	March 31, 2020		December 31, 2019
Par value of consolidated obligation bonds:
Non-callable	$	73,832	$	65,025
Callable	4,075		6,345
Total par value	$	77,907	$	71,370

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 March 31, 2020, and December 31, 2019, by the earlier of the year of contractual maturity or next call date.

Earlier of Contractual Maturity or Next Call Date	March 31, 2020		December 31, 2019
Within 1 year	$	65,778	$	58,239
After 1 year through 2 years	11,620		12,768
After 2 years through 3 years	381		195
After 3 years through 4 years	40		70
After 4 years through 5 years	37		47
After 5 years	51		51
Total par value	$	77,907	$	71,370

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:

	March 31, 2020					December 31, 2019
	Amount Outstanding			Weighted Average Interest Rate (1)		Amount Outstanding			Weighted Average Interest Rate (1)
Par value	$	39,155		0.84	%	$	27,447		1.61	%
Unamortized discounts	(53		)			(71		)
Total	$	39,102				$	27,376

Schedule of Interest Rate Payment Terms for Debt

Interest rate payment terms for consolidated obligations at March 31, 2020, and December 31, 2019, 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 2019 Form 10-K.

	March 31, 2020		December 31, 2019
Par value of consolidated obligations:
Bonds:
Fixed rate	$	7,623	$	10,993
Adjustable rate	70,099		60,117
Step-up	60		60
Step-down	25		100
Range bonds	100		100
Total bonds, par value	77,907		71,370
Discount notes, par value	39,155		27,447
Total consolidated obligations, par value	$	117,062	$	98,817

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Derivatives and Hedging Activities (Tables)

3 Months Ended

Mar. 31, 2020

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 March 31, 2020, and December 31, 2019. For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest.

	March 31, 2020							December 31, 2019
	Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities			Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	46,837	$	24	$	1,011		$	39,622	$	31		$	370
Total	46,837		24		1,011			39,622		31			370
Derivatives not designated as hedging instruments:
Interest rate swaps	70,963		18		44			60,424		13			14
Interest rate caps and floors	980		—		—			980		—			—
Mortgage delivery commitments	87		3		—			46		—			—
Total	72,030		21		44			61,450		13			14
Total derivatives before netting and collateral adjustments	$	118,867	45		1,055			$	101,072	44			384
Netting adjustments and cash collateral(1)			17		(1,055		)			(11		)	(384		)
Total derivative assets and total derivative liabilities			$	62	$	—				$	33		$	—

(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 $1,082 and $378 at March 31, 2020, and December 31, 2019, respectively. Cash collateral received and related accrued interest was $9 and $5 at March 31, 2020, and December 31, 2019, 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 months ended March 31, 2020 and 2019.

	Three Months Ended
	March 31, 2020			March 31, 2019
	Gain/(Loss)			Gain/(Loss)
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	$	(143	)	$	(23	)
Interest rate caps and floors	—			(1		)
Net settlements	(8		)	(5		)
Mortgage delivery commitments	4			1
Net gain/(loss) on derivatives and hedging activities	$	(147	)	$	(28	)

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 months ended March 31, 2020 and 2019.

	Three Months Ended March 31, 2020
	Interest Income/(Expense)
	Advances			AFS Securities			Consolidated Obligation Bonds
Total interest income/(expense) presented in the Statements of Income	$	279		$	51		$	(276	)
Gain/(loss) on fair value hedging relationships
Derivatives(1)	$	(651	)	$	(968	)	$	26
Hedged items	610			893			(23		)
Net gain/(loss) on fair value hedging relationships	$	(41	)	$	(75	)	$	3

	Three Months Ended March 31, 2019
	Interest Income/(Expense)
	Advances			AFS Securities			Consolidated Obligation Bonds
Total income/(expense) presented in the Statements of Income	$	498		$	79		$	(455	)
Gain/(loss) on fair value hedging relationships
Derivatives(1)	$	(82	)	$	(128	)	$	19
Hedged items	103			117			(28		)
Net gain/(loss) on fair value hedging relationships	$	21		$	(11	)	$	(9	)

(1)

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 March 31, 2020.

	March 31, 2020
Hedged Item Type	Amortized Cost of Hedged Asset/(Liability)(1)			Basis Adjustments for Active Hedging Relationships Included in Amortized Cost			Basis Adjustments for Discontinued Hedging Relationships Included in Amortized Cost		Cumulative Amount of Fair Value Hedging Basis Adjustments
Advances	$	32,880		$	804		$	8	$	812
AFS securities	14,195			1,275			49		1,324
Consolidated obligation bonds	(2,707		)	(32		)	—		(32		)

Schedule of Derivative Instruments, Offsetting Derivative Assets

The following tables present 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 March 31,

2020, and December 31, 2019.

	March 31, 2020
	Derivative Instruments Meeting Netting Requirements
	Amount Recognized		Gross Amount of Netting Adjustments and Cash Collateral			Derivative Instruments Not Meeting Netting Requirements(1)		Total Derivative Assets and Total Derivative Liabilities		Noncash Collateral Not Offset That  Can Be Sold or Repledged			Net Amount
Derivative Assets
Uncleared	$	15	$	20		$	3	$	38	$	—		$	38
Cleared	27		(3		)	—		24		(643		)	667
Total								$	62				$	705
Derivative Liabilities
Uncleared	$	1,041	$	(1,041	)	$	—	$	—	$	—		$	—
Cleared	14		(14		)	—		—		—			—
Total								$	—				$	—

	December 31, 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	$	34	$	(16	)	$	18	$	—		$	18
Cleared	10		5			15		(381		)	396
Total						$	33				$	414
Derivative Liabilities
Uncleared	$	382	$	(382	)	$	—	$	—		$	—
Cleared	2		(2		)	—		—			—
Total						$	—				$	—

Schedule of Derivative Instruments, Offsetting Derivative Liabilities

The following tables present 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 March 31,

2020, and December 31, 2019.

	March 31, 2020
	Derivative Instruments Meeting Netting Requirements
	Amount Recognized		Gross Amount of Netting Adjustments and Cash Collateral			Derivative Instruments Not Meeting Netting Requirements(1)		Total Derivative Assets and Total Derivative Liabilities		Noncash Collateral Not Offset That  Can Be Sold or Repledged			Net Amount
Derivative Assets
Uncleared	$	15	$	20		$	3	$	38	$	—		$	38
Cleared	27		(3		)	—		24		(643		)	667
Total								$	62				$	705
Derivative Liabilities
Uncleared	$	1,041	$	(1,041	)	$	—	$	—	$	—		$	—
Cleared	14		(14		)	—		—		—			—
Total								$	—				$	—

	December 31, 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	$	34	$	(16	)	$	18	$	—		$	18
Cleared	10		5			15		(381		)	396
Total						$	33				$	414
Derivative Liabilities
Uncleared	$	382	$	(382	)	$	—	$	—		$	—
Cleared	2		(2		)	—		—			—
Total						$	—				$	—

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Capital

3 Months Ended

Mar. 31, 2020

Capital [Abstract]

Capital

Capital

Capital Requirements. Under the Housing Act, the Director of the Finance Agency is responsible for setting the risk-based capital standards for the FHLBanks. The FHLBank Act and regulations governing the operations of the FHLBanks require that the Bank’s minimum capital stock requirement for shareholders must be sufficient to enable the Bank to meet its regulatory requirements for total capital, leverage capital, and risk-based capital. The Bank must maintain: (i) total regulatory capital in an amount equal to at least 4% of its total assets, (ii) leverage capital in an amount equal to at least 5% of its total assets, and (iii) permanent capital in an amount that is greater than or equal to its risk-based capital requirement.

Beginning in February 2020, the Finance Agency issued guidance that augmented 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. 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. As of March 31, 2020, the Bank was in compliance with this 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 March 31, 2020, and December 31, 2019, the Bank was in compliance with these capital rules and requirements as shown in the following table.

	March 31, 2020						December 31, 2019
	Required			Actual			Required			Actual
Risk-based capital	$	1,411		$	6,718		$	1,519		$	6,605
Total regulatory capital	$	4,995		$	6,718		$	4,274		$	6,605
Total regulatory capital ratio	4.00		%	5.38		%	4.00		%	6.18		%
Leverage capital	$	6,244		$	10,078		$	5,342		$	9,908
Leverage ratio	5.00		%	8.07		%	5.00		%	9.27		%

Mandatorily Redeemable Capital Stock. The Bank had mandatorily redeemable capital stock totaling $83 outstanding to three institutions at March 31, 2020, and $138 outstanding to three institutions at December 31, 2019. The change in mandatorily redeemable capital stock for three months ended March 31, 2020 and 2019, was as follows:

	March 31, 2020			March 31, 2019
Balance at the beginning of the period	$	138		$	227
Reclassified from/(to) capital during the period	3			—
Repurchase of excess mandatorily redeemable capital stock	(58		)	—
Balance at the end of the period	$	83		$	227

Cash dividends on mandatorily redeemable capital stock were recorded as interest expense in the amount of $2 and $4 for the three months ended March 31, 2020 and 2019, 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 2019 Form 10-K.

The following table presents mandatorily redeemable capital stock amounts by contractual redemption period at March 31, 2020, and December 31, 2019.

Contractual Redemption Period	March 31, 2020		December 31, 2019
Within 1 year	$	81	$	135
Past contractual redemption date because of remaining activity(1)	2		3
Total	$	83	$	138

(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 Board may also revise or eliminate the dividend policy in the future. The Bank’s historical dividend rates and the dividend philosophy are not indicative of future dividend declarations.

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 198% as of March 31, 2020.

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 and resulted in a required level of retained earnings of $2,400. In January 2020, the methodology was further revised and resulted in a required level of retained earnings of $2,500. The Bank satisfies its retained earnings requirement with both restricted retained earnings (i.e., amounts related to the Joint Capital Enhancement (JCE) 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 $713 at March 31, 2020, and December 31, 2019. The Bank’s unrestricted retained earnings totaled $2,691 and $2,754 at March 31, 2020, and December 31, 2019, 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 2019 Form 10-K.

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

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. Excess capital stock totaled $175, or 0.14% of total assets as of March 31, 2020. Excess capital stock totaled $197, or 0.18% of total assets as of December 31, 2019.

In the first quarter of 2020, the Bank paid dividends at an annualized rate of 7.00%, totaling $54, including $52 in dividends on capital stock and $2 in dividends on mandatorily redeemable capital stock. In the first quarter of 2019,

the Bank paid dividends at an annualized rate of 7.00%, totaling $54, including $50 in dividends on capital stock and $4 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 April 27, 2020, the Bank’s Board of Directors declared a quarterly cash dividend on the capital stock outstanding during the first quarter of 2020 at an annualized rate of 5.00%, totaling $39, including $37 in dividends on capital stock and $2 in dividends on mandatorily redeemable capital stock. The Bank recorded the dividend on April 27, 2020. The Bank expects to pay the dividend on May 14, 2020. Dividends on mandatorily redeemable capital stock will be recognized as interest expense in the second quarter of 2020.

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 $431 and $344 in excess capital stock during the first quarter of 2020 and 2019, 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 first quarter of 2020 and 2019, 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.

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 March 31, 2020, or December 31, 2019.

	March 31, 2020				December 31, 2019
Name of Institution	Capital Stock Outstanding		Percentage of Total Capital Stock Outstanding		Capital Stock Outstanding		Percentage of Total Capital Stock Outstanding
First Republic Bank	$	494	15	%	$	368	12	%
MUFG Union Bank, National Association	294		9		394		12
Subtotal	788		24		762		24
Others	2,526		76		2,376		76
Total	$	3,314	100	%	$	3,138	100	%

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Mortgage Loans Held for Portfolio

3 Months Ended

Mar. 31, 2020

Receivables [Abstract]

Mortgage Loans Held for Portfolio

Mortgage Loans Held for Portfolio

The following table presents information as of March 31, 2020, and December 31, 2019, on mortgage loans, all of which are secured by one- to four-unit residential properties and single-unit second homes.

	March 31, 2020			December 31, 2019
Fixed rate medium-term mortgage loans	$	29		$	27
Fixed rate long-term mortgage loans	3,150			3,199
Subtotal	3,179			3,226
Unamortized premiums	66			91
Unamortized discounts	(3		)	(3		)
Mortgage loans held for portfolio(1)	3,242			3,314
Less: Allowance for credit losses	(3		)	—
Total mortgage loans held for portfolio, net	$	3,239		$	3,314

(1) Excludes accrued interest receivable of $19 at March 31, 2020, and December 31, 2019.

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

Payment Status of Mortgage Loans. Payment status is the key credit quality indicator for conventional mortgage loans and allows the Bank to monitor the migration of past due loans. Past due loans are those where the borrower has failed to make timely payments of principal and/or interest in accordance with the terms of the loan. Other delinquency statistics include nonaccrual loans and loans in process of foreclosure. The following tables present the payment status for mortgage loans and other delinquency statistics for Bank’s mortgage loans at March 31, 2020, and December 31, 2019.

March 31, 2020
	Origination Year
Payment Status	<2016		2016 to 2020		Amortized Cost(1)
30 – 59 days delinquent	$	12	$	3	$	15
60 – 89 days delinquent	3		2		5
90 days or more delinquent	3		4		7
Total past due	18		9		27
Total current loans	2,981		234		3,215
Total MPF	$	2,999	$	243	$	3,242
In process of foreclosure, included above(2)					$	1
Nonaccrual loans(3)					$	7
Serious delinquencies as a percentage of total mortgage loans outstanding(4)					0.22		%

December 31, 2019
Payment Status	Recorded Investment(1)
30 – 59 days delinquent	$	15
60 – 89 days delinquent	2
90 days or more delinquent	7
Total past due	24
Total current loans	3,310
Total MPF	$	3,334
In process of foreclosure, included above(2)	$	—
Nonaccrual loans	$	7
Serious delinquencies as a percentage of total mortgage loans outstanding(4)	0.22		%

(1) With the adoption of new accounting guidance for the measurement of credit losses on financial instruments on January 1, 2020, payment status of mortgage loans is disclosed at amortized cost. The recorded investment at December 31, 2019, 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. The amortized cost at March 31, 2020, in a loan is the unpaid principal balance of the loan, adjusted for net deferred loan fees or costs, unamortized premiums or discounts, and direct write-downs.

(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) At March 31, 2020, $6 of these mortgage loans on nonaccrual status did not have an associated allowance for credit losses.

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

Allowance for Credit Losses on MPF Loans. MPF loans are evaluated collectively when similar risk characteristics exist. MPF loans that do not share risk characteristics with other pools are evaluated for expected credit losses on an individual basis, factoring in the credit enhancement structure at the master commitment level. The Bank determines its allowances for credit losses on MPF loans through analyses that include consideration of various loan portfolio and collateral-related characteristics, such as past performance, current conditions, and reasonable and supportable forecasts of expected economic conditions. The Bank uses models that employ a variety of methods, such as projected cash flows, to estimate expected credit losses over the life of the loans. These models rely on a number of inputs, such as current and forecasted property values and interest rates as well as historical borrower behavior experience. At March 31, 2020, the Bank’s reasonable and supportable forecast of housing prices expects, on average, for prices to appreciate 1% over a one-year forecast horizon before reverting to long-term housing price appreciation rates of 4% over a three-year forecast horizon based on historical averages. The Bank also incorporates associated credit enhancements, if any, to determine its estimate of expected credit losses.

Certain MPF loans may be evaluated for credit losses by the Bank using the practical expedient for collateral-dependent assets. A mortgage loan is considered collateral-dependent if repayment is expected to be provided by the

sale of the underlying property, that is, if it is considered likely that the borrower will default. The Bank may estimate the fair value of this collateral by applying an appropriate loss severity rate or using third-party estimates or property valuation models. The expected credit loss of a collateral-dependent mortgage loan is equal to the difference between the amortized cost of the loan and the estimated fair value of the collateral, less estimated selling costs. The Bank will either reserve for these estimated losses or record a direct charge-off of the loan balance, if certain triggering criteria are met. Expected recoveries of prior charge-offs, if any, are included in the allowance for credit loss.

Upon adoption of new accounting guidance for the measurement of credit losses on financial instruments applied prospectively on January 1, 2020, the Bank recorded an adjustment for the cumulative effect of the accounting change of $3. The amounts of charge-offs and recoveries of allowance for credit losses on the mortgage loan portfolio were de minimis during the three months ended March 31, 2020 and 2019, which resulted in an allowance for credit losses on MPF loans of $3 and a de minimis amount at March 31, 2020, and December 31, 2019, respectively.

See “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” and “Item 8. Financial Statements and Supplementary Data – Note 10 – Allowance for Credit Losses” in the Bank’s 2019 Form 10-K for information on the prior methodology for evaluating credit losses, as well as a discussion on classes of financing receivables, placing them on nonaccrual status, and charging them off when necessary. 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 2019 Form 10-K.

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Basis of Presentation (Policies)

3 Months Ended

Mar. 31, 2020

Accounting Policies [Abstract]

Investment, Policy

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

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

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.

Stockholders' Equity, Policy

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.Under the Housing Act, the Director of the Finance Agency is responsible for setting the risk-based capital standards for the FHLBanks. The FHLBank Act and regulations governing the operations of the FHLBanks require that the Bank’s minimum capital stock requirement for shareholders must be sufficient to enable the Bank to meet its regulatory requirements for total capital, leverage capital, and risk-based capital. The Bank must maintain: (i) total regulatory capital in an amount equal to at least 4% of its total assets, (ii) leverage capital in an amount equal to at least 5% of its total assets, and (iii) permanent capital in an amount that is greater than or equal to its risk-based capital requirement.

Beginning in February 2020, the Finance Agency issued guidance that augmented 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. 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. As of March 31, 2020, the Bank was in compliance with this 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.

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, excludes interest income and expense associated with ineffectiveness from fair value hedges that are recorded in the same line as the earnings effect of the hedged item, 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 2019 Form 10-K.

Derivatives, Embedded Derivatives

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 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 March 31, 2020, or December 31, 2019. 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.

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 based on a daily repricing index, such as the Secured Overnight Financing Rate (SOFR) or the effective Fed Funds 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 Statements 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 as well as agency MBS. 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. 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.”

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 2019 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 March 31, 2020, 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 March 31, 2020:

• Trading securities

• AFS securities

• Certain advances

• Derivative assets and liabilities

• Certain consolidated obligation bonds

• Certain other assets

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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Commitments and Contingencies

3 Months Ended

Mar. 31, 2020

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 March 31, 2020, 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 $1,174,670 at March 31, 2020, and $1,025,895 at December 31, 2019. The par value of the Bank’s participation in consolidated obligations was $117,062 at March 31, 2020, and $98,817 at December 31, 2019. 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 2019 Form 10-K.

Off-balance sheet commitments as of March 31, 2020, and December 31, 2019, were as follows:

	March 31, 2020						December 31, 2019
	Expire Within One Year		Expire After One Year		Total		Expire Within One Year		Expire After One Year		Total
Standby letters of credit outstanding	$	15,207	$	4,954	$	20,161	$	16,898	$	4,658	$	21,556
Commitments to fund additional advances	24		—		24		—		—		—
Commitments to issue consolidated obligation discount notes, par	250		—		250		805		—		805
Commitments to issue consolidated obligation bonds, par	1,160		—		1,160		—		—		—
Commitments to purchase mortgage loans	87		—		87		46		—		46

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. At March 31, 2020, the original terms of these standby letters of credit range from 2 days to 15 years, including a final expiration in 2035. 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 $33 at March 31, 2020, and $32 at December 31, 2019. 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 for credit losses on the letters of credit outstanding or other off-balance sheet commitments as of March 31, 2020, and December 31, 2019.

Commitments to fund advances totaled $24 at March 31, 2020. There were no commitments to fund advances at December 31, 2019. Advances funded under advance commitments are fully collateralized at the time of funding. Based on the Bank’s credit analyses of members’ financial condition and collateral requirements, the Bank deemed it unnecessary to record any additional liability for credit losses on the advance commitments outstanding as of March 31, 2020.

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.

The Bank has pledged securities as collateral related to derivatives. See Note 11 – Derivatives and Hedging Activities for additional information about the Bank’s pledged collateral and other credit-risk-related contingent features. As of March 31, 2020, the Bank had pledged total collateral of $1,725, including securities with a carrying value of $643, all of which may be repledged, and cash collateral and related accrued interest of $1,082 to counterparties and the clearinghouse that had market risk exposure to the Bank related to derivatives. As of December 31, 2019, the Bank had pledged total collateral of $759, including securities with a carrying value of $381, all of which may be repledged, and cash collateral and related accrued interest of $378 to counterparties and the clearinghouse that had market risk exposure to the Bank related to derivatives.

The Bank may be subject to various pending legal proceedings that may arise in the 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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Deposits (Tables)

3 Months Ended

Mar. 31, 2020

Deposits [Abstract]

Schedule of Deposit Liabilities by Component

Deposits and interest rate payment terms for deposits as of March 31, 2020, and December 31, 2019, were as follows:

Schedule of Interest Rate Payment Terms On Deposit Liabilities

	March 31, 2020				December 31, 2019
	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding		Weighted Average Interest Rate
Interest-bearing deposits:
Adjustable rate	$	574	0.01	%	$	427	1.30	%
Fixed rate	2		0.30		—		—
Total interest-bearing deposits	576				427
Non-interest-bearing deposits	145				110
Total	$	721			$	537

XML

Document and Entity Information Document - shares	3 Months Ended
	Mar. 31, 2020	Apr. 30, 2020
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	Mar. 31, 2020
Amendment Flag	false
Document Fiscal Year Focus	2020
Document Fiscal Period Focus	Q1
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
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
Common Stock, Shares, Outstanding		32,006,983

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Statements of Comprehensive Income - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Statement of Comprehensive Income [Abstract]
Net Income/(Loss)	$ (8)	$ 104
Other Comprehensive Income/(Loss):
Unrealized gain/(loss) on AFS securities	(502)	38
Net non-credit-related OTTI gain/(loss) on AFS securities
Total net non-credit-related OTTI gain/(loss) on AFS securities	0	14
Net Noncredit Portion Of Other Than Temporary Impairment Losses on HTM Securities [Abstract]
Total other comprehensive income/(loss)	(502)	52
Total Comprehensive Income/(Loss)	$ (510)	$ 156

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Basis of Presentation (Notes)

3 Months Ended

Mar. 31, 2020

Accounting Policies [Abstract]

Basis of Presentation and Significant Accounting Policies

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

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

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.

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Capital (Concentration) (Details) - USD ($) $ in Millions	3 Months Ended	12 Months Ended
	Mar. 31, 2020	Dec. 31, 2019
Concentration Risk [Line Items]
Capital Stock Outstanding	$ 3,314	$ 3,138
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	$ 788	$ 762
Percentage of Total Capital Stock Outstanding	24.00%	24.00%
Other Borrowers
Concentration Risk [Line Items]
Capital Stock Outstanding	$ 2,526	$ 2,376
Percentage of Total Capital Stock Outstanding	76.00%	76.00%
First Republic Bank [Member]
Concentration Risk [Line Items]
Capital Stock Outstanding	$ 494	$ 368
First Republic Bank [Member] | Total Capital Stock, 10% or more
Concentration Risk [Line Items]
Percentage of Total Capital Stock Outstanding	15.00%	12.00%
MUFG Union Bank, NA [Member]
Concentration Risk [Line Items]
Capital Stock Outstanding	$ 294	$ 394
MUFG Union Bank, NA [Member] | Total Capital Stock, 10% or more
Concentration Risk [Line Items]
Percentage of Total Capital Stock Outstanding	9.00%	12.00%

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Capital (Mandatorily Redeemable Capital Stock) (Details) $ in Millions		3 Months Ended
		Mar. 31, 2020 USD ($) Institutions	Mar. 31, 2019 USD ($)	Dec. 31, 2019 Institutions
Capital [Line Items]
Financial Instruments Subject to Mandatory Redemption, Number of Stockholders | Institutions		3		3
Interest Expense on Mandatorily Redeemable Capital Stock	[1]	$ 2	$ 4
Mandatorily Redeemable Capital Stock [Roll Forward]
Balance at the beginning of the period		138	227
Reclassified from/(to) capital during the period		3	0
Repurchase of excess mandatorily redeemable capital stock		(58)	0
Balance at the end of the period		$ 83	$ 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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Advances (Earlier of Contractual Maturity or Next Call/Put Date) (Details) - USD ($) $ in Millions	Mar. 31, 2020	Dec. 31, 2019	Mar. 31, 2019
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, Rolling Year, Par Value [Abstract]
Within 1 year	$ 43,383	$ 39,075
After 1 year through 2 years	20,231	15,731
After 2 years through 3 years	3,782	4,800
After 3 years through 4 years	3,520	2,895
After 4 years through 5 years	4,288	1,447
After 5 years	1,684	1,140
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, Rolling Year, Par Value [Abstract]
Within 1 year	37,531	32,371
After 1 year through 2 years	26,281	22,380
After 2 years through 3 years	3,784	4,847
After 3 years through 4 years	3,520	2,909
After 4 years through 5 years	4,308	1,461
After 5 years	1,464	1,120
Total par value	$ 76,888	$ 65,088	$ 70,175

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Investments AFS Securities by Major Type (Details) - USD ($) $ in Millions		Mar. 31, 2020	Dec. 31, 2019
Debt Securities, Available-for-sale [Line Items]
Amortized Cost of AFS	[1]	$ 16,427	$ 15,206
Allowance for Credit Losses		(39)
OTTI Recognized in AOCI			(9)
Gross Unrealized Gains		105	311
Gross Unrealized Losses		(318)	(13)
Available-for-sale (AFS) securities	[2]	16,175	15,495
Available-for-Sale, Accrued Interest, after Allowance for Credit Loss		51	58
Subsequent Unrealized Gains in Fair Value of Previously OTTI Impaired AFS			277
Total MBS
Debt Securities, Available-for-sale [Line Items]
Amortized Cost of AFS	[1]	11,080	9,925
Allowance for Credit Losses		(39)
OTTI Recognized in AOCI			(9)
Gross Unrealized Gains		99	304
Gross Unrealized Losses		(318)	(13)
Available-for-sale (AFS) securities		10,822	10,207
US Treasury Securities [Member]
Debt Securities, Available-for-sale [Line Items]
Amortized Cost of AFS		5,347	5,281
Allowance for Credit Losses		0
OTTI Recognized in AOCI			0
Gross Unrealized Gains		6	7
Gross Unrealized Losses		0	0
Available-for-sale (AFS) securities		5,353	5,288
MBS – GSEs – multifamily: | MBS - GSEs
Debt Securities, Available-for-sale [Line Items]
Amortized Cost of AFS	[1]	8,848	7,596
Allowance for Credit Losses		0
OTTI Recognized in AOCI			0
Gross Unrealized Gains		0	27
Gross Unrealized Losses		(252)	(13)
Available-for-sale (AFS) securities		8,596	7,610
Freddie Mac | MBS – GSEs – multifamily: | MBS - GSEs
Debt Securities, Available-for-sale [Line Items]
Amortized Cost of AFS		857	773
Allowance for Credit Losses		0
OTTI Recognized in AOCI			0
Gross Unrealized Gains		0	4
Gross Unrealized Losses		(24)	0
Available-for-sale (AFS) securities		833	777
Fannie Mae | MBS – GSEs – multifamily: | MBS - GSEs
Debt Securities, Available-for-sale [Line Items]
Amortized Cost of AFS		7,991	6,823
Allowance for Credit Losses		0
OTTI Recognized in AOCI			0
Gross Unrealized Gains		0	23
Gross Unrealized Losses		(228)	(13)
Available-for-sale (AFS) securities		7,763	6,833
Residential Mortgage Backed Securities [Member] | PLRMBS
Debt Securities, Available-for-sale [Line Items]
Amortized Cost of AFS	[1]	2,232	2,329
Allowance for Credit Losses		(39)
OTTI Recognized in AOCI			(9)
Gross Unrealized Gains		99	277
Gross Unrealized Losses		(66)	0
Available-for-sale (AFS) securities		2,226	2,597
Residential Mortgage Backed Securities [Member] | Prime | PLRMBS
Debt Securities, Available-for-sale [Line Items]
Amortized Cost of AFS		204	213
Allowance for Credit Losses		(6)
OTTI Recognized in AOCI			0
Gross Unrealized Gains		2	17
Gross Unrealized Losses		(2)	0
Available-for-sale (AFS) securities		198	230
Residential Mortgage Backed Securities [Member] | Alt-A | PLRMBS
Debt Securities, Available-for-sale [Line Items]
Amortized Cost of AFS		2,028	2,116
Allowance for Credit Losses		(33)
OTTI Recognized in AOCI			(9)
Gross Unrealized Gains		97	260
Gross Unrealized Losses		(64)	0
Available-for-sale (AFS) securities		$ 2,028	$ 2,367

[1] Amortized cost includes unpaid principal balance, unamortized premiums and discounts, net charge-offs, and valuation adjustments for hedging activities, and excludes accrued interest receivable of $51 and $58 at March 31, 2020, and December 31, 2019, respectively.

[2] 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.

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Investments Significant Inputs on PLRMBS (Details)	3 Months Ended
	Mar. 31, 2020
Significant Inputs on PLRMBS [Line Items]
Prepayment Weighted Average	15.00%
Default Rate Weighted Average	16.00%
Loss Severity Weighted Average	40.60%
Alt-A | Residential Mortgage Backed Securities [Member]
Significant Inputs on PLRMBS [Line Items]
Prepayment Weighted Average	15.00%
Default Rate Weighted Average	16.10%
Loss Severity Weighted Average	40.30%
Prime | Residential Mortgage Backed Securities [Member]
Significant Inputs on PLRMBS [Line Items]
Prepayment Weighted Average	16.30%
Default Rate Weighted Average	11.20%
Loss Severity Weighted Average	54.10%