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Table of Contents

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
  ____________________________________
FORM 10-Q
  ______________________________________________________
 
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended September 30, 2021
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 of the United States
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)
Securities registered pursuant to Section 12(b) of the Securities Exchange Act of 1934:
Title of each classTrading 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 filerAccelerated filer
Non-accelerated filerSmaller 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
Indicate the number of shares outstanding of each of the issuer’s classes of common stock, as of the latest practicable date.
Shares Outstanding as of October 31, 2021
Class B Stock, par value $100 per share21,330,563 


Table of Contents

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


Table of Contents

PART I. FINANCIAL INFORMATION

ITEM 1.    FINANCIAL STATEMENTS
Federal Home Loan Bank of San Francisco
Statements of Condition
(Unaudited)
(In millions-except par value)September 30,
2021
December 31,
2020
Assets:
Cash and due from banks$55 $174 
Interest-bearing deposits1,125 1,078 
Securities purchased under agreements to resell6,500 7,250 
Federal funds sold6,133 1,880 
Trading securities(a)
2,260 4,260 
Available-for-sale (AFS) securities, net of allowance for credit losses of $15 and $21, respectively (amortized cost of $10,504 and $15,456, respectively)(b)
10,825 15,679 
Held-to-maturity (HTM) securities (fair values were $3,551 and $5,115, respectively)(a)
3,521 5,081 
Advances (includes $1,952 and $2,147 at fair value under the fair value option, respectively)
22,613 30,976 
Mortgage loans held for portfolio, net of allowance for credit losses of $1 and $4, respectively
1,134 1,935 
Accrued interest receivable61 82 
Derivative assets, net11 3 
Other assets 221 236 
Total Assets$54,459 $68,634 
Liabilities:
Deposits$826 $887 
Consolidated obligations:
Bonds (includes $521 and $111 at fair value under the fair value option, respectively)
22,025 44,408 
Discount notes24,814 16,213 
Total consolidated obligations46,839 60,621 
Mandatorily redeemable capital stock4 2 
Accrued interest payable25 24 
Affordable Housing Program (AHP) payable122 120 
Derivative liabilities, net9 12 
Other liabilities260 774 
Total Liabilities48,085 62,440 
Commitments and Contingencies (Note 13)
Capital:
Capital stock—Class B—Putable ($100 par value) issued and outstanding:
23 shares and 23 shares, respectively
2,253 2,284 
Unrestricted retained earnings3,059 2,919 
Restricted retained earnings743 761 
Total Retained Earnings3,802 3,680 
Accumulated other comprehensive income/(loss) (AOCI)319 230 
Total Capital6,374 6,194 
Total Liabilities and Capital$54,459 $68,634 
(a)At September 30, 2021, and December 31, 2020, none of these securities were pledged as collateral that may be repledged.
(b)At September 30, 2021, and December 31, 2020, $284 and $379, respectively, of these securities were pledged as collateral that may be repledged.
The accompanying notes are an integral part of these financial statements.
1

Table of Contents

Federal Home Loan Bank of San Francisco
Statements of Income
(Unaudited)
Three Months Ended September 30,Nine Months Ended September 30,
(In millions)2021202020212020
Interest Income:
Advances$47 $88 $167 $509 
Interest-bearing deposits 1 1 14 
Securities purchased under agreements to resell1 1 1 20 
Federal funds sold2 1 4 16 
Trading securities13 23 54 61 
AFS securities57 67 168 179 
HTM securities10 19 34 92 
Mortgage loans held for portfolio7 7 34 22 
Total Interest Income137 207 463 913 
Interest Expense:
Consolidated obligations:
Bonds13 47 49 405 
Discount notes3 12 10 163 
Deposits1  1 2 
Mandatorily redeemable capital stock 1  5 
Total Interest Expense17 60 60 575 
Net Interest Income120 147 403 338 
Provision for/(reversal of) credit losses (2)(8)30 
Net Interest Income After Provision for/(Reversal of) Credit Losses120 149 411 308 
Other Income/(Loss):
Net gain/(loss) on trading securities(13)(19)(50)36 
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option(9)(7)(40)96 
Net gain/(loss) on derivatives15 5 25 (156)
Gain on disgorgement settlement 85  85 
Other, net4 6 15 18 
Total Other Income/(Loss)(3)70 (50)79 
Other Expense:
Compensation and benefits22 23 70 65 
Other operating expense13 14 37 41 
Federal Housing Finance Agency2 2 6 6 
Office of Finance1 1 4 4 
Other, net  (1)3 
Total Other Expense38 40 116 119 
Income/(Loss) Before Assessment79 179 245 268 
AHP Assessment8 18 25 27 
Net Income/(Loss)$71 $161 $220 $241 
The accompanying notes are an integral part of these financial statements.

2

Table of Contents

Federal Home Loan Bank of San Francisco
Statements of Comprehensive Income
(Unaudited)
Three Months Ended September 30,Nine Months Ended September 30,
(In millions)2021202020212020
Net Income/(Loss)$71 $161 $220 $241 
Other Comprehensive Income/(Loss):
Net unrealized gain/(loss) on AFS securities(72)172 92 (138)
Net change in pension and postretirement benefits(3)(1)(3)(1)
Net non-credit-related gain/(loss) on HTM securities   1 
Total other comprehensive income/(loss)(75)171 89 (138)
Total Comprehensive Income/(Loss)$(4)$332 $309 $103 

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

3

Table of Contents

Federal Home Loan Bank of San Francisco
Statements of Capital Accounts
(Unaudited)

Capital Stock
Class B—Putable
Retained EarningsTotal
Capital
(In millions)SharesPar ValueRestrictedUnrestrictedTotalAOCI
Balance, June 30, 202027 $2,668 $729 $2,765 $3,494 $(35)$6,127 
Comprehensive income/(loss)32 129 161 171 332 
Issuance of capital stock 30 30 
Repurchase of capital stock(2)(233)(233)
Cash dividends paid on capital stock (5.00%)
(36)(36)(36)
Balance, September 30, 202025 $2,465 $761 $2,858 $3,619 $136 $6,220 
Balance, June 30, 202123 $2,269 $761 $3,004 $3,765 $394 $6,428 
Comprehensive income/(loss) 71 71 (75)(4)
Issuance of capital stock4 357 357 
Repurchase of capital stock(4)(360)(360)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net (13)(13)
Transfers from restricted retained earnings(18)18   
Cash dividends paid on capital stock (6.00%)
(34)(34)(34)
Balance, September 30, 202123 $2,253 $743 $3,059 $3,802 $319 $6,374 


Capital Stock
Class B—Putable
Retained EarningsTotal
Capital
(In millions)SharesPar ValueRestrictedUnrestrictedTotalAOCI
Balance, December 31, 201930 $3,000 $713 $2,754 $3,467 $274 $6,741 
Adjustment for cumulative effect of accounting change(3)(3)(3)
Comprehensive income/(loss)48 193 241 (138)103 
Issuance of capital stock8 781 781 
Repurchase of capital stock(13)(1,313)(1,313)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net (3)(3)
Partial recovery of prior capital distribution to Financing Corporation40 40 40 
Cash dividends paid on capital stock (5.68%)
(126)(126)(126)
Balance, September 30, 202025 $2,465 $761 $2,858 $3,619 $136 $6,220 
Balance, December 31, 202023 $2,284 $761 $2,919 $3,680 $230 $6,194 
Comprehensive income/(loss) 220 220 89 309 
Issuance of capital stock7 685 685 
Repurchase of capital stock(7)(700)(700)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net (16)(16)
Transfers from restricted retained earnings(18)18   
Cash dividends paid on capital stock (5.65%)
(98)(98)(98)
Balance, September 30, 202123 $2,253 $743 $3,059 $3,802 $319 $6,374 

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

Federal Home Loan Bank of San Francisco
Statements of Cash Flows
(Unaudited)
Nine Months Ended September 30,
(In millions)20212020
Cash Flows from Operating Activities:
Net Income/(Loss)$220 $241 
Adjustments to reconcile net income/(loss) to net cash provided by/(used in) operating activities:
Depreciation and amortization/(accretion)60 15 
Provision for/(reversal of) credit losses(8)30 
Change in net fair value of trading securities 50 (36)
Change in net fair value adjustment on advances and consolidated obligation bonds held under the fair value option40 (96)
Change in net derivatives and hedging activities417 (1,180)
Other adjustments, net5 7 
Net change in:
Accrued interest receivable22 41 
Other assets8 (2)
Accrued interest payable1 (133)
Other liabilities(13)(41)
Total adjustments582 (1,395)
Net cash provided by/(used in) operating activities802 (1,154)
Cash Flows from Investing Activities:
Net change in:
Interest-bearing deposits(10)834 
Securities purchased under agreements to resell750 250 
Federal funds sold(4,253)1,239 
Trading securities:
Proceeds1,950 1 
Purchases (2,480)
AFS securities:
Proceeds8,334 1,929 
Purchases(4,275)(525)
HTM securities:
Proceeds1,560 1,830 
Advances:
Repaid111,264 453,774 
Originated(103,233)(425,576)
Mortgage loans held for portfolio:
Principal collected805 1,295 
Purchases(7)(446)
Other investing activities, net (2)
Net cash provided by/(used in) investing activities12,885 32,123 
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Federal Home Loan Bank of San Francisco
Statements of Cash Flows (continued)
(Unaudited)
Nine Months Ended September 30,
(In millions)20212020
Cash Flows from Financing Activities:
Net change in deposits and other financing activities65 472 
Net (payments)/proceeds on derivative contracts with financing elements(32)(133)
Net proceeds from issuance of consolidated obligations:
Bonds15,174 41,669 
Discount notes61,597 98,750 
Payments for matured and retired consolidated obligations:
Bonds(37,491)(58,137)
Discount notes(52,992)(112,776)
Proceeds from issuance of capital stock685 781 
Payments for repurchase/redemption of mandatorily redeemable capital stock(14)(139)
Payments for repurchase of capital stock(700)(1,313)
Cash dividends paid(98)(126)
Partial recovery of prior capital distribution to Financing Corporation 40 
Net cash provided by/(used in) financing activities(13,806)(30,912)
Net increase/(decrease) in cash and due from banks(119)57 
Cash and due from banks at beginning of the period174 118 
Cash and due from banks at end of the period$55 $175 
Supplemental Disclosures:
Interest paid$78 $706 
AHP payments23 50 
 
The accompanying notes are an integral part of these financial statements.
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Table of Contents
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, 2021. 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, 2020 (2020 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 2020 Form 10-K.
Use of Estimates. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America (U.S. GAAP) requires management to make a number of judgments, estimates, and assumptions that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income, expenses, gains, and losses during the reporting period. The most significant of these estimates include:
accounting for derivatives;
estimating fair values of investments classified as trading and available-for-sale (AFS), derivatives and associated hedged items carried at fair value in accordance with the accounting for derivative instruments and associated hedging activities, and financial instruments carried at fair value under the fair value option; 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 accounting guidance related to the measurement of credit losses on MBS and mortgage loans.
Actual results could differ significantly from these estimates.
Out-of-Period Adjustments in the Statements of Condition and Statements of Income. In the third quarter of 2021, the Bank identified five hedge strategy elections that originated starting in the fourth quarter of 2020 where the transactions were incorrectly designated as fair value hedges when they should have been recorded as non-hedge qualifying economic hedges. The incorrect designations resulted in misstatements to previously issued financial statements as presented in the following tables.
December 31, 2020March 31, 2021June 30, 2021
As Reported