At the Federal Home Loan Bank of San Francisco ~~(Bank)~~(Bank or we), our purpose is to enhance the availability of credit for residential mortgages and economic development by providing a readily available, competitively priced source of funds for housing and community lenders. We are a wholesale bank—we link our customers to the global capital markets and seek to manage our own liquidity and interest rate risk so that funds are available when our customers need them. By providing needed liquidity and financial risk management tools, our credit programs enhance competition in the mortgage market and benefit homebuyers and communities.

We are one of 11 regional Federal Home Loan Banks (FHLBanks) that serve the United States as part of the Federal Home Loan Bank System (FHLBank System). Each FHLBank operates as a separate federally chartered corporation with its own board of directors, management, and employees. The FHLBanks were organized under the Federal Home Loan Bank Act of 1932, as amended (FHLBank Act), and are government-sponsored enterprises (GSEs). The FHLBanks are not government agencies and do not receive financial support from taxpayers. The U.S. government does not guarantee, directly or indirectly, the debt securities or other obligations of the Bank or the FHLBank System. The FHLBanks are regulated by the Federal Housing Finance Agency (Finance Agency), an independent federal agency.

We have a cooperative ownership structure. To access our products and services, a financial institution must be approved for membership and purchase capital stock in the Bank. The member’s capital stock requirement is generally based on its use of ~~Bank~~our products, subject to a minimum asset-based membership requirement that is intended to reflect the value to the member of having ready access to the Bank as a reliable source of competitively priced funds. ~~Bank~~Our capital stock is issued, transferred, redeemed, and repurchased at its par value of $100 per share, subject to certain regulatory and statutory limits. It is not publicly traded.

Our members may include federally insured and regulated financial depositories, regulated insurance companies that are engaged in residential housing finance, community development financial institutions (CDFIs) that have been certified by the CDFI Fund of the U.S. Treasury Department, and privately insured, state-chartered credit unions. Financial depositories may include commercial banks, credit unions, industrial loan companies, and savings institutions. CDFIs may include community development loan funds, community development venture capital funds, and privately insured, state-chartered credit unions. All members have atheir principal place of business located in Arizona, California, or Nevada, the three states that make up the Eleventh District of the FHLBank System. ~~Our members range in size from $6 million to over $142 billion in assets.~~

Our primary business is providing competitively priced, collateralized loans, known as advances, to our members and certain qualifying housing associates. We accept a wide range of collateral types, some of which cannot be readily pledged elsewhere or readily securitized. Members use their access to advances to support their mortgage loan portfolios, lower their funding costs, facilitate asset-liability and liquidity management, offer a wider range of mortgage products to their customers, and improve profitability.

As of December 31, ~~2020,~~2023, we had advances and capital stock, including mandatorily redeemable capital stock, outstanding to the following types of institutions:

To fund their operations, the FHLBanks issue debt in the form of consolidated obligation bonds and discount notes (jointly referred to as consolidated obligations) through the FHLBanks’ Office of Finance, the fiscal agent for the issuance and servicing of consolidated obligations on behalf of the FHLBanks. Because the FHLBanks’ consolidated obligations are rated Aaa/P-1 by Moody’s Investors Service (Moody’s) and AA+/A-1+ by S&P Global Ratings (S&P) and because of the FHLBanks’ GSE status, the FHLBanks are generally able to raise funds at rates that are typically at a small to moderate spread above U.S. Treasury security yields. Our cooperative ownership structure allows us to pass along the benefit of these low funding rates to our members.

Members also benefit from our affordable housing and economic development programs, which provide grants and below-market-rate loans that support members’ involvement in creating affordable housing and revitalizing communities.

Our cooperative ownership structure has led us to develop a business model that is different from that of a typical financial services firm. Our business model is based on the premise that we maintain a balance between our objective to promote housing, homeownership, and community and economic development through our activities with members and our objective to provide a return on the private capital provided by our members through their investment in ~~the Bank’s~~our capital stock, ~~while remaining safe~~maintaining safety and ~~sound.~~soundness.

We require our members to ~~purchase~~hold our capital stock to support their activities with the Bank. We leverage this capital stock and ~~the Bank’s~~our retained earnings by using our GSE status to borrow funds in the capital markets at ~~rates that are generally at a small to moderate spread above U.S. Treasury security yields.~~relatively favorable rates. We lend these funds to our members at rates that are competitive with the cost of most wholesale borrowing alternatives available to our largest members.

Additional information about our investments is provided in “Item 7. Management's Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Credit Risk – Investments.”

Our financial strategies are designed to enable us to safely expand and contract our ~~assets, liabilities, and capital~~balance sheet as our member base and our members' credit needs change. Our capital increases when members are required to purchase additional capital stock as they increase their ~~advances~~ borrowings, and it contracts when we repurchase excess ~~capital~~ stock from members as their advances decline. As a result of these strategies, we have been able to achieve our mission by meeting member credit needs and maintaining our adequately capitalized position, while paying dividends (including dividends on mandatorily redeemable capital stock) and repurchasing and redeeming excess ~~capital~~ stock. Information regarding ~~the Bank’s~~our dividends and the repurchase of excess ~~capital~~ stock is provided in “Item 8. Financial Statements and Supplementary Data – Note 11 – Capital – Excess Stock Repurchase, Retained Earnings, and Dividend Framework.”

Our credit products also help members and housing associates with their asset-liability management. Members and housing associates can use a wide range of advance types, with different maturities and payment characteristics, to match the characteristics of their assets and reduce their interest rate risk. We offer advances that are callable at the member's or housing associate’s option on a fixed and ~~advances with embedded option features (such as caps and floors),~~floating rate basis, which can reduce the interest rate risk associated with holding fixed rate mortgage loans and adjustable rate mortgage loans ~~with interest rate caps~~ in the member's portfolio.

For each customized advance, we typically execute a derivative to enable us to offset the customized features embedded in the advance.

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. The amount of financing availability is generally determined by the creditworthiness of the member or housing associate.

Because of the funding alternatives available to our ~~largest borrowers,~~members, we establish advances prices that take into account the cost of alternative market choices ~~available to our largest members~~ each day, along with our costs of conducting business and our profitability. We offer the same advances prices to all members ~~and housing associates~~

We may invest in short-term unsecured interest-bearing deposits, Federal funds sold, negotiable certificates of deposit, and commercial paper. We may also invest in U.S. Treasury obligations as well as short-term secured transactions, such as U.S. Treasury resale agreements.

In addition, our investments may include agency residential MBS, which are guaranteed ~~through the direct obligation of,~~by Fannie Mae, Freddie Mac, or ~~are supported by, the U.S. government,~~Ginnie Mae, and PLRMBS. Some of these PLRMBS were issued by or purchased from members, former members, or their respective affiliates. We execute 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. ~~The Bank has~~We have not purchased any PLRMBS since the first quarter of 2008.

Additional information about our investments ~~and credit losses associated with our PLRMBS~~ is provided in “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Credit Risk – Investments” and in “Item 8. Financial Statements and Supplementary Data – Note 4 – Investments.”

FHLBank San Francisco offers grant and credit programs and other resources that promote homeownership, expand access to quality affordable housing, boost economic development, seed or sustain small businesses, and revitalize communities. Our members use our community program grants and discounted credit products to help:

We allocate at least ~~65%~~50% of our annual AHP subsidy to our competitive AHP General Fund under which applications for specific owner-occupied and rental housing projects are submitted by members and are evaluated and scored by the Bank in an annual competitive process. In 2023, we introduced a competitive AHP Nevada Targeted Fund to which we can allocate up to 20% of our annual AHP subsidy. All subsidies for the competitive AHP General Fund and Nevada Targeted Fund are funded to affordable housing sponsors or developers through our members in the form of direct subsidies or subsidized advances.

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We obtain most of our funds from the sale of the FHLBanks’ debt instruments (consolidated obligations), which consist of consolidated obligation bonds and discount notes. The consolidated obligations are issued through the Office of Finance using authorized securities dealers and are backed only by the financial resources of the FHLBanks. 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 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. For more information, see “Item 8. Financial Statements and Supplementary Data – Note 1615 – Commitments and Contingencies.” We have never been asked or required to repay the principal or interest on any consolidated obligation on behalf of another FHLBank, and ~~as of December 31, 2020, and~~ through the date of this report, we do not believe that it is probable that we will be asked to do so.

~~The Bank’s~~Our status as a GSE is critical to maintaining ~~its~~ access to the capital markets. Although consolidated obligations are backed only by the financial resources of the FHLBanks and are not guaranteed by the U.S. government, the capital markets have traditionally treated the FHLBanks’ consolidated obligations as a close alternative to federal agency debt, providing the FHLBanks with access to funding at relatively favorable rates. As of ~~December~~July 31, ~~2020,~~2023, S&P rated the FHLBanks’ consolidated obligations AA+/A-1+, and as of January 24, 2024, Moody’s rated them Aaa/P-1. As of ~~December~~July 31, ~~2020,~~2023, S&P assigned each of the FHLBanks a long-term credit rating of AA+ ~~with a stable outlook,~~, and as of January 24, 2024, Moody's assigned each of the FHLBanks a long-term credit rating of ~~Aaa with a stable outlook.~~Aaa. 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.

Regulations govern the issuance of debt on behalf of the FHLBanks and related activities. All new debt is jointly issued by the FHLBanks through the Office of Finance, which serves as their fiscal agent in accordance with the FHLBank Act and applicable regulations. Pursuant to these regulations, the Office of Finance, often in conjunction with the FHLBanks, has adopted policies and procedures for consolidated obligations that may be issued by the

We receive 100% of the net proceeds of a bond issued through direct negotiation with underwriters of debt when we are the only FHLBank involved in the negotiation. In these cases, ~~the Bank is~~we are the sole primary obligor on the consolidated obligation bond. When ~~the Bank~~we and one or more other FHLBanks jointly negotiate the issuance of a bond directly with underwriters, we receive the portion of the proceeds of the bond agreed upon with the other FHLBank(s); in those cases, ~~the Bank is~~we are the primary obligor for a pro rata portion of the bond, including all customized features and terms, based on the proceeds received.

We may also request specific amounts of specific consolidated obligation bonds to be offered by the Office of Finance for sale in a competitive auction conducted with the underwriters in a bond selling group. One or more other FHLBanks may also request amounts of those same bonds to be offered for sale for their benefit in the same auction. We may receive zero to 100% of the proceeds of the bonds issued in a competitive auction depending on: (i) the amounts of and costs for the consolidated obligation bonds bid by underwriters; (ii) the maximum costs we or other FHLBanks participating in the same issue, if any, are willing to pay for the bonds; and (iii) guidelines for the allocation of bond proceeds among multiple participating FHLBanks administered by the Office of Finance.

On a daily basis, we may request specific amounts of discount notes with specific maturity dates to be offered by the Office of Finance at a specific cost for sale to underwriters in the discount note selling group. One or more other FHLBanks may also request amounts of discount notes with the same maturities to be offered for sale for their benefit the same day. The Office of Finance commits to issue discount notes on behalf of the participating FHLBanks when underwriters in the selling group submit orders for the specific discount notes offered for sale. We may receive zero to 100% of the proceeds of the discount notes issued through this sales process depending on: (i) the maximum costs we or other FHLBanks participating in the same discount note issuance, if any, are willing to pay for the discount notes; (ii) the order amounts for the discount notes submitted by underwriters; and (iii) guidelines for the allocation of discount note proceeds among multiple participating FHLBanks administered by the Office of Finance.

Twice weekly, we may also request specific amounts of discount notes with fixed terms to maturity ranging from 4 to 26 weeks to be offered by the Office of Finance for sale in a competitive auction conducted with underwriters in the discount note selling group. One or more other FHLBanks may also request amounts of those same discount notes to be offered for sale for their benefit in the same auction. The discount notes offered for sale in a competitive auction are not subject to a limit on the maximum costs the FHLBanks are willing to pay. We may receive zero to 100% of the proceeds of the discount notes issued in a competitive auction depending on: (i) the amounts of and costs for the discount notes bid by underwriters and (ii) guidelines for the allocation of discount note proceeds among multiple participating FHLBanks administered by the Office of Finance.

We use interest rate ~~exchange agreements,~~swaps, also known as derivatives, in the ordinary course of business as part of our risk management and funding strategies to reduce ~~funding costs and~~ interest rate risk ~~inherent in the ordinary course of business. The types of derivatives we use include interest rate swaps (including callable, putable,~~ and ~~basis swaps) and interest rate cap and floor agreements.~~lower funding costs.

The regulations governing the operations of the FHLBanks and ~~the Bank's~~our Risk Management Policy establish standards and guidelines for our use of derivatives. These ~~regulations~~standards and guidelines prohibit trading in derivatives for profit and any other speculative purposes and limit the amount of credit risk allowable from derivative counterparties.

We primarily use derivatives to manage our exposure to market risk from changes in interest rates. The goal of our market risk management strategy is not to eliminate market risk, but to manage it within appropriate limits that are consistent with the financial strategies approved by the ~~Board~~board of ~~Directors.~~directors. One key way we manage market risk is to acquire and maintain a portfolio of assets and liabilities, which, together with their associated derivatives, are ~~conservatively~~generally matched with respect to the expected ~~repricings~~repricing of the assets and the liabilities. We may also use derivatives to adjust the effective repricing frequency or option characteristics ofembedded in certain financial instruments (such as advances and consolidated obligations) to achieve our risk management objectives.

We measure ~~the Bank’s~~our market risk at the total Bank level, as well as on a portfolio basis, taking into account all financial instruments. The market risk of the derivatives and the hedged items is included in the measurement of our various market risk measures. ~~The Bank’s~~Our low ~~interest rate~~market risk profile reflects our conservative asset-liability mix, which is supported by integrated use of derivatives in our daily financial management.

Additional information about our interest rate exchange agreements is provided in “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Market Risk – ~~Total Bank Market Risk –~~ Interest Rate Exchange Agreements” and in “Item 8. Financial Statements and Supplementary Data – Note 1413 – Derivatives and Hedging Activities.”

From its enactment in 1932, the FHLBank Act provided for a subscription-based capital structure for the FHLBanks. The amount of capital stock that each FHLBank issued was determined by a statutory formula establishing how much FHLBank capital stock each member was required to purchase. With the enactment of the Gramm-Leach-Bliley Act of 1999, Congress replaced the statutory subscription-based member capital stock

purchase formula with requirements for total capital, leverage capital, and risk-based capital for the FHLBanks and required the FHLBanks to develop new capital plans to replace the previous statutory structure.

Our capital plan has been amended over time to accommodate changes in ~~the Bank’s~~our business model and financial strategies. The capital plan bases the stock purchase requirement on the level of activity ~~a member~~an institution has with the Bank, subject to a minimum membership requirement that is intended to reflect the value ~~to the member~~ of having access to the Bank as a funding source. With the approval of ~~the Board~~our board of ~~Directors,~~directors, we may adjust these requirements from time to time within the ranges established in the capital plan. Any changes to our capital plan must be approved by our ~~Board~~board of ~~Directors~~directors and the Finance Agency.

~~Bank~~Our capital stock cannot be publicly traded, and under the capital plan, may be issued, transferred, redeemed, and repurchased only at its par value of $100 per share, subject to certain regulatory and statutory limits. Under the capital plan, a member’s capital stock will be redeemed by the Bank upon five years’ notice from the member, subject to certain conditions. In addition, we have the discretion to repurchase excess ~~capital~~ stock from members.

As required by the regulations governing the operations of the FHLBanks, the Framework is reviewed at least annually by ~~the Bank’s Board~~our board of ~~Directors.~~directors. The ~~Board~~board of ~~Directors~~directors may amend the Framework from time to time. In September 2023, the Board approved an updated Framework and dividend philosophy to reflect changes in the current interest rate environment and business conditions. The Framework includes a dividend philosophy to endeavor to pay a quarterly dividend ~~at an annualized~~ rate ~~between 5%~~that is equal to or greater than the current market rate for a highly rated investment (e.g., SOFR) and ~~7%.~~that is sustainable under current and projected earnings while maintaining appropriate levels of capital. The decision to declare any dividend and the dividend rate are at the discretion of ~~the Bank’s Board~~our board of ~~Directors,~~directors, which may or may not choose to follow the dividend philosophy as guidance in the dividend declaration. ~~The Bank’s~~Our historical dividend rates and the dividend philosophy are not indicative of future dividend declarations. ~~The Bank’s dividend policy~~Our Framework may be revised or eliminated in the future, and there can be no assurance as to future dividends.

In accordance with the Framework, ~~the Bank retains~~we retain certain amounts in restricted retained earnings, which are not made available for dividends in the current dividend period, and ~~maintains~~maintain an amount of total retained earnings at least equal to ~~its~~the required retained earnings as described in the Framework. ~~The Bank~~We may be restricted from paying dividends if itthe Bank is not in compliance with any of ~~its~~our minimum capital requirements or if payment would cause the Bank to fail to meet any of ~~its~~our minimum capital requirements. In addition, ~~the Bank~~we may not pay dividends if any principal or interest due on any consolidated obligation has not been paid in full or is not expected to be paid in full, or, under certain circumstances, if ~~the Bank fails~~we fail to satisfy certain liquidity requirements under applicable regulations. For more information, see “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Liquidity Risk.”

~~The Bank’s~~Our Risk Management Policy limits the payment of dividends based on the ratio of ~~the Bank’s~~our 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~~we would be restricted from paying a dividend. For more information, see “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Market Risk.”

We satisfy our 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.

Demand for ~~Bank~~our advances is affected by many factors, including the availability and cost of other sources of funding for members, including retail and brokered deposits. We also compete with our members' other suppliers of wholesale funding, both secured and unsecured. These suppliers may include securities dealers, commercial banks, the Federal Reserve System, and other FHLBanks for members with affiliated institutions that are members of other FHLBanks.

Under the FHLBank Act and regulations governing the operations of the FHLBanks, affiliated institutions in different FHLBank districts may be members of different FHLBanks. Members may have access to alternative funding sources through sales of securities under agreements to resell. Some members, particularly larger members, may have access to many more funding alternatives, including independent access to the national and global credit markets. The availability of alternative funding sources for members can significantly influence the demand for our advances and can vary as a result of many factors, including market conditions, members' creditworthiness, members' strategic objectives, and the availability of collateral.

Our ability to compete successfully for the advances business of our members depends primarily on our advances prices, ability to fund advances through the issuance of consolidated obligations at competitive rates, credit and collateral terms, prepayment terms, product features such as embedded option features, ability to meet members' specific requests on a timely basis, capital stock requirements, retained earnings policy, excess ~~capital~~ stock repurchase policies, and dividends.

In addition, the FHLBanks compete with the U.S. Treasury, Fannie Mae, Freddie Mac, and other GSEs, as well as corporate, sovereign, and supranational entities, for funds raised through the issuance of unsecured debt in the national and global debt markets. Increases in the supply of competing debt products may, in the absence of increases in demand, result in higher debt costs or lower amounts of debt issued at the same cost.

The FHLBanks are supervised and regulated by the Finance Agency, an independent agency in the executive branch of the U.S. government. The Finance Agency is charged with ensuring that the FHLBanks carry out their housing finance mission, remain adequately capitalized and able to raise funds in the capital markets, and operate in a safe and sound manner. The Finance Agency also establishes regulations governing the operations of the FHLBanks.

To assess the safety and soundness of the Bank, the Finance Agency conducts an annual examination of the Bank and other periodic reviews of its financial operations. In addition, we are required to submit information on our financial condition and results of operations each month to the Finance Agency.

~~The Bank’s~~Our capital stock is registered with the Securities and Exchange Commission (SEC) under Section 12(g)(1) of the Securities Exchange Act of 1934 (1934 Act) and, as a result, we are required to comply with ~~the~~certain disclosure and reporting requirements of the 1934 Act and to file annual, quarterly, and current reports with the SEC, as well as meet other SEC requirements.

Our ~~Board~~board of ~~Directors~~directors has an audit committee, and we have an internal audit department. An independent registered public accounting firm audits our annual financial statements. The independent registered public

Like other federally chartered corporations, the FHLBanks are subject to general congressional oversight. Each FHLBank must submit annual management reports to Congress, the President, the Office of Management and Budget, and the Comptroller General.

The U.S. Treasury, or a permitted designee, is authorized under the combined provisions of the Government Corporations Control Act and the FHLBank Act to prescribe: the form, denomination, maturity, interest rate, and conditions to which FHLBank debt will be subject; the way and time FHLBank debt is issued; and the price for which FHLBank debt will be sold. The U.S. Treasury may purchase FHLBank debt up to an aggregate principal amount of $4.0 billion pursuant to the standards and terms of the FHLBank Act.

~~The Bank’s~~Our human capital significantly contributes to the Bank’s success in achieving ~~its~~ strategic business objectives. In managing ~~the Bank’s~~our human capital, we focus on our workforce profile and the various programs and philosophies described below.

Our performance management framework includes goal setting and an annual performance ~~review.~~review process. For 2023, the Board adopted four corporate goals: the Business and Financial goal, the Risk Management goal, the Community Investment goal, and the Diversity, Equity, and Inclusion (DEI) and People goal. The Bank also establishes individual goals for executives consistent with the Bank’s strategic plan. The Bank’s 2023 strategic objectives were to: (i) enhance membership value and business utilization; (ii) continually improve organizational performance; (iii) attract, develop, and retain high performing talent; and (iv) expand community investment impact across the district. Overall annual ratings are calibrated across the leadership team, with base salary and incentive recommendations differentiated based upon employee contributions and overall performance.

We are committed to the health, safety, and wellness of our employees. ~~In response~~We continue to monitor the COVID-19 ~~pandemic, we have implemented significant changes to our operating environment,~~levels within the San Francisco Bay Area, and will follow relevant guidance, safety protocols, and procedures ~~that we determined were in the best interest of our employees and members, and~~ in compliance with government regulations. This includes ensuring all employees are able to work remotely when needed and implementing additional safety measures for employees to perform critical on-site work.

The following discussion summarizes certain of the risks and uncertainties that the Federal Home Loan Bank of San Francisco ~~(Bank)~~(Bank or we) faces. The list is not exhaustive and there may be other risks and uncertainties that are not described below that may also affect our business. Any of these risks or uncertainties, if realized, could negatively affect our financial condition or results of operations or limit our ability to fund advances, pay dividends, or redeem or repurchase capital stock.

Adverse and volatile conditions in the housing, mortgage, and ~~mortgage~~financial markets ~~or GSE restructuring that weakens the government’s commitment to encourage home ownership as a pillar of financial security,~~ could result in a decrease in the availability of credit and liquidity ~~within~~resulting in a disruption in the mortgage industry ~~causing disruptions in~~or the ~~operations~~future receivership or failure of ~~mortgage originators,~~impacted financial institutions, including some of our members. We continue to be subject to potential adverse effects on our financial condition, results of operations, ability to pay dividends, and ability to redeem or repurchase capital stock should economic conditions significantly deteriorate.

A reduction in mortgage lending or mortgage assets held by member institutions may reduce their demand for wholesale funding. This could result in a decline in advance levels and adversely affect our financial condition and results of operations.

Our primary source of funds is the sale of Federal Home Loan Bank (FHLBank) System consolidated obligations in the capital markets. Our ability to obtain funds through the sale of consolidated obligations depends in part on prevailing conditions in the capital markets, such as investor demand and liquidity in the financial markets. The sale of FHLBank System consolidated obligations can also be influenced by factors other than conditions in the capital markets, including legislative and regulatory developments and government programs and policies that affect the relative attractiveness of FHLBank System consolidated obligations. In addition, the level of dealer participation and support also affect liquidity in the agency debt markets. Based on these factors, the availability of funds may become limited or terms may become less acceptable. If funding access or terms are significantly adversely affected, our ability to support and continue our operations could be adversely affected, which could negatively affect our financial condition, results of operations, or ability to fund advances, pay dividends, or redeem or repurchase capital stock.

We assume secured and unsecured credit risk associated with the risk that a borrower or counterparty could default, and we could suffer a loss if we were not able to fully recover amounts owed to us on a timely basis. In addition, we

We face the risk that one or more of our institutional counterparties may fail to fulfill contractual obligations to us. The primary exposures to institutional counterparty risk are with unsecured investment counterparties, derivative counterparties, custodians, mortgage servicers that service the loans we hold as collateral for advances, and third-party providers of supplemental or primary mortgage insurance for mortgage loans purchased under the Mortgage Partnership Finance® (MPF®) Program. A default by a counterparty could result in losses to the Bank if our credit exposure to the counterparty was under-collateralized or our credit obligations to the counterparty were over-collateralized, and could also adversely affect our ability to conduct our operations efficiently and at cost-effective rates, which in turn could adversely affect our financial condition, results of operations, or ability to pay dividends or redeem or repurchase capital stock. (“Mortgage Partnership Finance” and “MPF” are registered trademarks of the FHLBank of Chicago.)

We require that all outstanding advances be fully ~~collateralized.~~collateralized by eligible collateral types mostly with a nexus to housing. In addition, for mortgage loans that we purchase under the MPF Program, we require that the participating financial institutions fully collateralize the outstanding credit enhancement obligations not covered through the purchase of supplemental mortgage insurance. We evaluate the types of collateral pledged by borrowers and participating financial institutions and assign borrowing capacities to the collateral based on the risks associated with each type of collateral. If we have insufficient collateral before or after an event of payment default by the borrower, or we are unable to liquidate the collateral for the value we assigned to it in the event of a payment default by a borrower, we could experience a credit loss on advances, which could adversely affect our financial condition, reputation, results of operations, or ability to pay dividends or redeem or repurchase capital stock.

FHLBank System consolidated obligations are rated AA+/A-1+ by S&P Global Ratings as of July 31, 2023, and Aaa/P-1 by Moody’s Investors Service as of January 24, 2024. Rating agencies may from time to time change a rating or issue negative reports. Because all of the FHLBanks have joint and several liability for all FHLBank consolidated obligations, negative developments at any FHLBank may affect these credit ratings or result in the issuance of a negative report regardless of our own financial condition and results of operations. In addition, because of the FHLBanks’ GSE status, the credit ratings of the FHLBank System and the FHLBanks are generally constrained by the long-term sovereign credit rating of the United States, and any downgrade in that sovereign credit rating may result in a corresponding downgrade to the credit ratings of FHLBank System consolidated obligations. For example, downgrades to the U.S. sovereign credit rating or outlook, which have occurred in the past, may occur again if the U.S. government continues to fail to adequately address, based on the credit rating agencies’ criteria, its fiscal budget deficit or statutory debt limits. Fitch Ratings downgraded the U.S. sovereign credit rating in August 2023, and Moody’s changed the outlook of its rating on the U.S. from stable to negative. Any adverse rating change or negative report may adversely affect our cost of funds and the FHLBanks’ ability to issue consolidated obligations on acceptable terms, which could also adversely affect our financial condition or results of operations or limit our ability to make advances on acceptable terms, pay dividends, or redeem or repurchase capital stock.

We seek to be in a position to meet our members’ credit and liquidity needs and pay our obligations without maintaining excessive holdings of low-yielding liquid investments or having to incur unnecessarily high borrowing costs. In addition, we maintain a contingency liquidity plan designed to enable us to meet our obligations and the ~~credit and~~ liquidity needs of members in the event of operational disruptions or short-term disruptions in the capital markets. Under certain extreme stress conditions, our efforts to manage our liquidity position, including our contingency liquidity plan, may not enable us to meet our obligations and the ~~credit and~~ liquidity needs of our members, which could have an adverse effect on our financial condition, results of operations, or ability to pay dividends or redeem or repurchase capital stock.

Our business model is based on the premise that we maintain a balance between our objective to promote housing, homeownership, and community and economic development through our activities with members and our objective to provide a return on the private capital provided by our members. We achieve this balance by delivering low-cost credit to help our members meet the credit needs of their communities while striving to pay members a reasonable return on their investment in our capital stock. Our financial strategies are designed to enable us to safely expand and contract our balance sheet as our member base and our members’ credit needs change. In addition, we manage our retained earnings to ensure compliance with regulatory capital requirements in the event of significant growth in member business or in the event of significant Bank financial distress. As a result of these strategies, we have historically been able to achieve our mission by meeting member credit needs and maintaining our adequately capitalized position while paying dividends (including dividends on mandatorily redeemable capital stock) and repurchasing and redeeming excess stock. Limitations on the payment of dividends and the repurchase of excess stock may diminish the value of membership from the perspective of a member.

Our primary business is making advances to our members. We compete with other suppliers of wholesale funding, both secured and unsecured, including investment banks, commercial banks, the Federal Reserve Banks, and, in certain circumstances, other FHLBanks. Our members may have access to alternative funding sources, including independent access to deposits, along with the national and global credit markets. These alternative funding sources may offer more favorable terms than we do on our advances, including more flexible credit or collateral standards. In addition, many of our competitors are not subject to the same regulations as the FHLBanks, which may enable those competitors to offer products and terms that we are not able to offer.

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Under the fair value option, the Bank has 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 ~~gains~~losses or ~~losses~~gains on the derivatives that economically hedge these instruments.

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Additional information about advances and consolidated obligation bonds held under the fair value option is provided in “Item 8. Financial Statements and Supplementary Data – Note 1514 – Fair Value.”

During ~~2020,~~2023, net losses on derivatives totaled ~~$152~~$25 million compared to net losses of ~~$92~~$9 million in ~~2019.~~2022. These amounts included interest income of $5 million and interest expense of ~~$83 million and expense of $16~~$42 million resulting from net settlements on derivative instruments used in economic hedges in ~~2020~~2023 and ~~2019,~~2022, respectively. Excluding the impact of interest 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 Bank cannot predict 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

Additional information about derivatives and hedging activities is provided in “Item 8. Financial Statements and Supplementary Data – Note 1413 – Derivatives and Hedging Activities.”

To fund the AHP, the FHLBanks must set aside at least, in the aggregate, the greater of $100 million or 10% of the current year's net earnings (income before interest expense related to dividends paid on mandatorily redeemable capital stock and the assessment for the AHP). To the extent that the aggregate 10% calculation is less than $100 million, the FHLBank Act requires that each FHLBank contribute such prorated sums as may be required to ensure that the aggregate contribution of the FHLBanks equals at least $100 million. The proration would be made on the basis of the income of the FHLBanks for the previous year. In the aggregate, the FHLBanks set aside ~~$315~~$752 million and ~~$362~~$355 million for their AHPs in ~~2020~~2023 and ~~2019,~~2022, respectively, and there was no AHP shortfall in ~~any~~either of those years.

The Bank’s total AHP assessments equaled ~~$38~~$63 million in ~~2020~~2023 and ~~$38~~$36 million in ~~2019.~~2022.

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.

Total assets were ~~$68.6~~$92.8 billion at December 31, ~~2020,~~2023, compared to ~~$106.8~~$121.1 billion at December 31, ~~2019.~~2022. Advances decreased by ~~$34.4~~$28.1 billion, or ~~53%~~31%, to ~~$31.0~~$61.3 billion at December 31, ~~2020,~~2023, from ~~$65.4~~$89.4 billion at December 31, 2019. MBS investments decreased by $2.0 billion, or 11%, to $15.8 billion at December 31, 2020, from $17.8 billion at December 31, 2019. Average total assets were $94.2 billion for 2020, a 12% decrease compared to $107.1 billion for 2019.2022. Average advances were ~~$52.8~~$76.1 billion for ~~2020,~~2023, a ~~22% decrease~~48% increase from ~~$67.6~~$51.5 billion for ~~2019.~~2022. Average MBS investments were ~~$16.9~~$12.5 billion for ~~2020, a 5% decrease~~2023, an 11% increase from ~~$17.8~~$11.3 billion for ~~2019.~~2022.

Advances outstanding at December 31, ~~2020,~~2023, included net unrealized ~~gains~~losses of ~~$639~~$375 million, of which ~~$509~~$371 million represented unrealized ~~gains~~losses on hedged advances ~~hedged in accordance with the accounting for derivative instruments~~ and ~~hedging activities and $130~~$4 million represented unrealized ~~gains~~losses on economically hedged advances that are carried at fair value in accordance with the fair value option. Advances outstanding at December 31, ~~2019,~~2022, included net unrealized ~~gains~~losses of ~~$286~~$717 million, of which ~~$203~~$670 million represented unrealized ~~gains~~losses on ~~advances~~ hedged ~~in accordance with the accounting for derivative instruments~~advances and hedging activities and ~~$83~~$47 million represented unrealized ~~gains~~losses on economically hedged advances that are carried at fair value in accordance with the fair value option. The ~~change~~decrease in the net unrealized ~~gains~~losses on ~~the hedged~~ advances ~~and advances carried at fair value~~ from December 31, ~~2019,~~2022, to December 31, ~~2020,~~2023, 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~~advance terms ~~on the Bank’s advances~~and volumes during the period.

The Bank invests in interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold. These investments are funded with longer tenor debt to create liquidity.

Total liabilities were ~~$62.4~~$86.2 billion at December 31, ~~2020,~~2023, a decrease of ~~$37.7~~$27.1 billion from ~~$100.1~~$113.3 billion at December 31, ~~2019,~~2022, primarily reflecting a ~~$38.1~~$28.2 billion decrease in consolidated obligations outstanding to ~~$60.6~~$83.5 billion at December 31, ~~2020,~~2023, from ~~$98.7~~$111.7 billion at December 31, ~~2019. Average total liabilities were $87.9 billion for 2020, a 13% decrease compared to $100.5 billion for 2019.~~2022. Average consolidated obligations were ~~$86.3~~$103.8 billion for ~~2020~~2023 and ~~$99.0~~$77.6 billion for ~~2019.~~2022.

The average balances of interest-bearing demand and overnight deposits were $870 million, $817 million, and $925 million, and the weighted average interest rates paid on interest-bearing demand and overnight deposits were 5.01%, 1.38%, and 0.01% in 2023, 2022, and 2021, respectively. The average balances of term deposits were $8 million, $32 million, and $25 million, and the weighted average interest rates paid on term deposits were 4.55%, 2.86%, and 0.01% in 2023, 2022, and 2021, respectively. All Bank deposits are uninsured.

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 December 31, ~~2020,~~2023, 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 ~~$746.7 billion~~$1.2 trillion at both December 31, 2023 and 2022.

On ~~October 11, 2019,~~January 24, 2024, Moody’s Investors Service (Moody’s) affirmed the Aaa long-term ratings of the FHLBank System. ~~The outlook for all ratings remained stable.~~

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 ~~following table presents the par value~~types of ~~LIBOR-indexed~~ advances by ~~redemption term~~contractual maturity at December 31, ~~2020~~2023, and ~~2019.~~2022, are presented in the following table.

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.”

Mortgage loan balances ~~decreased to $1.9 billion~~by contractual maturity at December 31, ~~2020, from $3.3 billion at December 31, 2019, a decrease of $1.4 billion. Average mortgage loans were $2.8 billion in 2020, a decrease of $0.5 billion from $3.3 billion in 2019.~~

The following table presents the balances of mortgage loans wholly owned by the Bank and mortgage loans with allocated participation interests that were outstanding as of December 31, ~~2020~~2023 and ~~2019.~~2022. Only the FHLBank of Chicago owned participation interests in any of the Bank’s MPF loans.

Under the Bank’s agreement with the FHLBank of Chicago, the credit risk is shared pro rata between the two FHLBanks according to: (i) their respective ownership of the loans in each master commitment for MPF Plus and (ii) their respective participation shares of the first loss account for the master commitment for MPF Original.

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 8. Financial Statements and Supplementary Data – Note 1 – Summary of

The Bank’s capital requirements are ~~more fully~~ discussed further in “Item 8. Financial Statements and Supplementary Data – Note 11 – Capital.”

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~~board of ~~Directors~~directors has adopted a Risk Governance Policy that outlines the key roles and responsibilities of the ~~Board~~board of ~~Directors~~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 in relation to its risk appetite and risk management capabilities of the Bank.

Strategic risk is defined as the possibility of an adverse impact on the Bank’s ability to fulfill its mission and to meet ongoing business and profitability objectives ~~resulting~~that results from external factors that may occur in both the ~~short~~short- and ~~long term.~~long-term. Such factors may include, but are not limited to, continued financial services industry consolidation; changes in the membership base and ~~in member~~ demand for Bank products; the concentration of borrowing among ~~members;~~a limited number of borrowers; the introduction of new competing products and services; increased inter-FHLBank and non-FHLBank competition; ~~and~~or significant adverse changes to the effectiveness and competitiveness of the Bank’s products, services, or business model associated with regulatory and legislative changes.

The identification of strategic risks is an integral part of the Bank’s annual planning process, and the Bank’s strategic plan identifies initiatives and plans to address these risks.

~~Operations~~Operational risk is defined as the risk of loss to the Bank resulting from inadequate or failed internal processes, resources, and systems, and from external events. The Bank’s ~~operations~~operational risk is controlled through ~~a system of~~ internal programs and controls designed to minimize the risk of operational losses. ~~Also,~~

Legal risk is the potential for losses arising from legal disputes impacting the Bank. Regulatory and compliance risk is defined as noncompliance with laws, rules, regulations, agreements, prescribed practices, and ethical standards. The board of director's risk management objective is to manage and mitigate the impact of noncompliance with all regulations and laws applicable to the Bank. Additionally, the Bank ~~has established~~will put in place the necessary processes, controls, and ~~annually tests its business continuity plan under various business disruption scenarios involving offsite recovery~~frameworks to comply with legal and regulatory requirements. This includes, but is not limited to, directing resources to compliance programs to train personnel and increase awareness of those regulatory areas that pose the ~~testing~~highest level of risk to the Bank.

Financial risk is defined as the variance of the Bank’s ~~operations~~financial position or ability to operate due to investment decisions and ~~information systems. In addition, an ongoing internal audit function audits significant~~financial risk ~~areas~~management practices specifically related to ~~evaluate~~capital, credit, market (including hedging and funding), mortgage asset, and liquidity risks. Subsequent sections of this document outline the definitions and management of various risk components of the Bank’s ~~internal controls.~~

Concentration risk for the Bank is defined as the ~~exposure to~~risk of economic loss arising from a disproportionately large ~~number~~volume of financial transactions with a limited number of individual ~~customers~~members or counterparties.

The Bank held a security interest in collateral from each of its top 10 advances borrowers and their affiliates sufficient to support their respective advances outstanding, and the Bank does not expect to incur any credit losses on the advances of its top 10 advances borrowers and their affiliates.

See “Item 8. Financial Statements and Supplementary Data – Note 5 – Advances – Concentration Risk” for more information on the concentration in advances.

~~Members~~Participating financial institutions that ~~sell~~sold mortgage loans to the Bank through the MPF Program make representations and warranties that the loans comply with the MPF underwriting guidelines. In the event a mortgage loan does not comply with the MPF underwriting guidelines, the Bank’s agreement with the participating financial institution provides that the institution is required to repurchase the loan as a result of the breach of the institution’s representations and warranties. The Bank may, at its discretion, choose to retain the loan if the Bank determines that the noncompliance can be cured or mitigated through additional contract assurances from the institution or any successor. In addition, most participating financial institutions have retained the servicing on the mortgage loans purchased by the Bank, and the servicing obligation of any former participating financial institution is held by the successor or another Bank-approved financial institution. The FHLBank of Chicago (the MPF Provider and master servicer) ~~has contracted with Wells Fargo Bank, National Association, to monitor~~monitors the servicing performed by all participating financial institutions and ~~successors, including Bank of Hope, Fremont Bank, and Logix Federal Credit Union.~~successors. The Bank obtains a Type II Statement on Standards for Attestation Engagements No. 18 service auditor's report to confirm the effectiveness of the MPF Provider's controls over the services it provides to the Bank, including its monitoring of the participating financial institutions’ servicing. The Bank has the right to transfer the servicing at any time, without paying the participating financial institution or any successor a servicing termination fee, in the event a participating financial institution or any successor does not meet the MPF servicing requirements. The Bank may also transfer servicing without cause subject to a servicing transfer fee payable to the participating financial institution or any successor.

Liquidity risk is defined as the risk that the Bank will be unable to meet its obligations as they come due or meet the credit needs of its members and eligible nonmember borrowers in a timely and cost-effective manner. The Bank is required to maintain minimum levels of liquidity for operating needs and for contingency purposes in accordance with Finance Agency regulations and guidelines and with the Bank’s own Risk Management Policy.

The Bank generally manages operational, contingent, and refinancing risks using a portfolio of cash and short-term investments, U.S. Treasury securities, and access to the debt capital markets. In addition, the Bank maintains alternate sources of funds, detailed in its ~~contingent~~contingency funding plan, which also includes an explanation of how sources of funds may be allocated under stressed market conditions, such as short-term operational disruptions at the Bank or the Office of Finance or short-term disruptions in the debt capital markets.

In addition to the Finance Agency’s guidelines on contingent liquidity, the Bank models its cash commitments and expected cash flows daily 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 December 31, ~~2020~~2023 and ~~2019,~~2022, 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 December 31, ~~2020~~2023 and ~~2019,~~2022, were within the tolerance levels provided by the Finance Agency guidance.

In addition, Section 11(i) of the FHLBank Act authorizes the U.S. Treasury to purchase certain obligations issued by the FHLBanks aggregating not more than $4.0 billion under certain conditions. There were no such purchases by the U.S. Treasury during the ~~two-year period~~years ended December 31, ~~2020.~~2023 and 2022.

Credit risk is defined as the risk that the ~~market value,~~borrower or ~~estimated fair value if market value is not available, of an obligation~~counterparty will ~~decline~~fail to meet its financial obligations in accordance with agreed upon terms as a result of deterioration in the creditworthiness of the obligor. The Bank ~~further refines the definition of~~manages credit risk ~~as the risk that~~by setting credit and collateral terms based on a secured or unsecured borrower is unable to meet its financial obligations and the Bank is inadequately protected by the liquidation value of collateral, if any, which could result in a credit loss to the Bank.

The Bank determines the maximum amount and maximum term of the advances it will make to a member or housing associate based on the Bank’s credit analysis of the institution’s creditworthiness ~~and eligible collateral pledged~~ in accordance with the Bank’s credit and collateral policies and regulatory requirements.

To identify the credit strength of each ~~borrower and potential borrower,~~institution, other than insurance companies, community development financial institutions (CDFIs), and housing associates, the Bank assigns each ~~member and each nonmember borrower~~institution an internal credit quality rating from one to ~~ten,~~10, with one as the highest credit quality rating. These ratings are based on results from the

Bank’s credit model, which ~~considers~~incorporates financial, regulatory, and other qualitative information, including regulatory examination reports.

The Bank determines the maximum amount and maximum term of the advances it will make to an insurance company based on an ongoing risk assessment that considers the member's financial and regulatory standing and other qualitative information deemed relevant by the Bank. This evaluation results in the assignment of an internal credit quality rating from one to ten, with one as the highest credit quality rating.

The Bank determines the maximum amount and maximum term of the advances it will make to a CDFI based on an ongoing risk assessment that considers information from the CDFI’s audited annual financial statements, supplemented by additional information deemed relevant by the Bank. This evaluation results in the assignment of an internal credit quality rating from A to E, with A as the highest credit quality rating.

The Bank determines the maximum amount and maximum term of the advances it will make to a housing associate based on an ongoing risk assessment that considers the housing associate’s financial and regulatory standing and other qualitative information deemed relevant by the Bank.

The Housing Act ~~defined~~defines community financial institutions as depository institutions insured by the Federal Deposit Insurance Corporation with average total assets over the preceding three-year period ~~of $1 billion or less,~~below a defined threshold, to be adjusted for inflation annually by the Finance Agency. The average total asset cap for ~~2020~~2023 was ~~$1,224 million.~~$1.4 billion.

Under the Bank’s written lending agreements with its borrowers, its credit and collateral policies, and applicable statutory and regulatory provisions, the Bank has the right to take a variety of actions to address credit and collateral concerns, including calling for the borrower to pledge additional or substitute collateral (including ineligible collateral) at any time that advances are outstanding to the borrower, and requiring the delivery of all pledged collateral. In addition, if a borrower fails to repay any advance or is otherwise in default on its obligations to the Bank, the Bank may foreclose on and liquidate the borrower’s collateral and apply the proceeds toward repayment of the borrower’s obligations to the Bank. The Bank’s collateral policies are designed to address changes in the value of collateral and the risks and costs relating to foreclosure and liquidation of collateral, and the Bank periodically adjusts the amount it is willing to lend against various types of collateral to reflect these factors.

The Bank perfects its security interest in securities collateral by taking delivery of all securities at the time they are pledged. The Bank perfects its security interest in loan collateral by filing a Uniform Commercial Code-1 financing statement for each borrower that pledges loans. The Bank may also require delivery of loan collateral under certain conditions (for example, from a newly formed institution or when a borrower's creditworthiness deteriorates below a certain level). In addition, the FHLBank Act provides that any security interest granted to the Bank by any member or member affiliate has priority over the claims and rights of any other party, including any receiver, conservator, trustee, or similar entity that has the rights of a lien creditor, unless these claims and rights would be entitled to priority under otherwise applicable law or are held by bona fide purchasers for value or by parties that have actual perfected security interests.

Pursuant to the Bank’s lending agreements with its ~~borrowers,~~members, nonmembers, and housing associates, the Bank limits extensions of credit to an individual ~~borrowers~~institution to a percentage of the market value or unpaid principal balance of the ~~borrower’s~~institution’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~~

In addition, the total amount of advances made available to each ~~member or housing associate~~institution 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~~an institution’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.~~each institution’s creditworthiness.

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 Bank has a high concentration of advances with certain institutions and their affiliates. Advances outstanding to the Bank’s top 10 borrowers and their affiliates decreased by $20.1 billion to $43.8 billion, or 71% of total advances outstanding at December 31, 2023, from $63.9 billion, or 72% of total advances outstanding at December 31, 2022. (See “Item 8. Financial Statements and Supplementary Data – Note 5 – Advances – Concentration Risk” for further information.)

Several of the Bank’s top 10 advance borrowers and their affiliates at yearend 2022 were involved in voluntary liquidation, or Federal Deposit Insurance Corporation (FDIC) receivership during 2023, or have been acquired by nonmember institutions. The loss of advances outstanding to these borrowers is likely to have an adverse impact on the Bank’s advance balances, and, over time, its financial performance.

On March 10, 2023, Silicon Valley Bank was closed by the California DFPI and FDIC was named as receiver. The FDIC created Silicon Valley Bridge Bank, N.A., whereby all of the deposits and substantially all assets of Silicon Valley Bank were transferred to the bridge bank. On March 26, 2023, the FDIC entered into a purchase and assumption agreement for all the deposits and loans of Silicon Valley Bridge Bank, N.A., with First Citizens Bank and Trust Company. Silicon Valley Bank is no longer a member of the Bank. As of March 31, 2023, Silicon Valley Bridge Bank, N.A., had prepaid all outstanding advances to the Bank.

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 December 31, ~~2020~~2023 and ~~2019. During 2020, the Bank’s internal credit ratings stayed the same or slightly declined for the majority of members and nonmember borrowers.~~2022.

Based on the ~~collateral pledged as security for advances, the~~ Bank’s credit ~~analyses~~and collateral policies, its credit analysis of borrowers’ financial condition and the ~~Bank’s credit extension and~~ collateral ~~policies,~~pledged as security for advances, 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.~~Bank as of December 31, 2023. 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~~largely consists of agency pools and ~~by nonmembers with credit outstanding at December 31, 2020~~collateralized mortgage obligations, agency debt, and ~~2019.~~U.S. Treasury securities.

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The Bank may require certain ~~borrowers~~de novo institutions (chartered within the last three years), insurance companies, CDFIs and housing associates to deliver pledged loan collateral to the ~~Bank~~Bank. Other considerations for ~~one or more reasons, including~~delivery of pledged collateral may include 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 theinstitution’s creditworthiness, satisfactory maintenance of its collateral, orand the status of the Bank’s priority of ~~its~~ security interest.

As of December 31, ~~2020,~~2023, of the loan collateral pledged to the Bank, ~~15%~~26% was pledged by 2521 institutions by specific identification, ~~55%~~42% was pledged by ~~117~~115 institutions under a blanket lien with detailed reporting, and ~~30%~~32% was pledged by ~~131~~141 institutions under a blanket lien with summary reporting. For each ~~borrower~~institution 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~~institution and the types of collateral ~~pledged by the borrower.~~pledged.

As of December 31, ~~2020,~~2023, 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%~~84% for first lien residential mortgage loans, 81% for multifamily mortgage loans, 81% for commercial mortgage loans, and ~~70%~~69% for second lien residential mortgage loans. The maximum borrowing capacity for small business, small agribusiness, and small farm loans was 50% of the unpaid principal balance, although most of these loans are pledged under blanket lien with summary reporting, with a maximum borrowing capacity of 25%. The highest borrowing capacities are available to ~~borrowers~~institutions 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 following table presents the mortgage loan collateral pledged ~~by all members and by nonmembers with credit outstanding~~ at December 31, ~~2020~~2023 and ~~2019.~~2022.

The Bank holds a security interest in subprime residential mortgage loans pledged as ~~collateral.~~collateral by members and by nonmembers. Subprime loans are defined as loans with a borrower FICO score of less than 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.~~less than 660. At December 31, ~~2020~~2023 and ~~2019,~~2022, the unpaid principal balance of these loans totaled $5$3.7 billion and $6$5.2 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.

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~~loan-level basis, ~~pooling loans with similar risk characteristics. If a mortgage loan no longer shares risk characteristics with other loans, it is removed from~~factoring in the ~~pool and evaluated for expected~~ credit ~~losses on an individual basis.~~

The following tables present the payment status for mortgage loans and other delinquency statistics for the Bank’s mortgage loans at December 31, ~~2020~~2023 and ~~2019.~~2022.

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.~~

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~~table presents the Bank’s investment credit exposure at ~~the dates indicated,~~December 31, 2023, based on the lowest of the long-term credit ratings provided by Moody’s, S&P, or Fitch Ratings (Fitch) ratings.

The Bank’s unsecured investment credit limits and terms for member counterparties may be less restrictive than for nonmember counterparties because the Bank has access to more information about members to assist in evaluating the member counterparty credit risk.

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.

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 December 31, ~~2020~~2023 and ~~2019.~~2022.

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 December 31, ~~2020, 64%~~2023, 56% of the Bank’s total unsecured investments were to U.S. branches and agency offices of foreign commercial banks. At December 31, ~~2020,~~2023, all of the unsecured investments held by the Bank had overnight maturities.

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 December 31, ~~2020,~~2023, the Bank’s MBS portfolio was ~~261%~~212% 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 December 31, ~~2020,~~2023, PLRMBS representing ~~12%~~7% 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.

63

For its agency MBS, the Bank expects to recover the entire amortized cost basis of these securities because the Bank determined that the strength of the issuers’ guarantees through direct obligations or support from the U.S. government is sufficient to protect the Bank from losses. As a result, the Bank determined that, as of December 31, ~~2020,~~2023, 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 additional 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.~~periods. 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 following table presents the ~~unpaid~~maturity (based on contractual final principal ~~balance~~payment) and yield characteristics of ~~adjustable rate~~the Bank’s investment ~~securities by interest rate index at~~portfolio as of December 31, ~~2020~~2023.

Additional information related to uncleared margin rules for uncleared derivative transactions are included in “Item 8. Financial Statements and Supplementary Data - Note 13 – Derivatives and Hedging Activities.”

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 December 31, ~~2020.~~

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 interest rates, 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 following tables present the Bank’s credit exposure to its derivative dealer counterparties at the dates indicated.

The Bank primarily executes overnight index swap derivatives ~~indexed to the Overnight Index Swap (OIS) rate and~~based on SOFR to manage interest rate ~~risk and monitors marketwide efforts to address fallback language related to LIBOR-indexed derivative transactions.~~risk. The following table presents the notional amount of interest rate swaps by interest rate index broken out by the pay or receive leg at December 31, ~~2020~~2023 and ~~2019.~~2022.

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~~Appetite Framework 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~~net interest income as a percent of the capital sensitivity analyses. The Risk ~~Management Policy~~Appetite Framework approved by the Bank’s ~~Board~~board of ~~Directors~~directors establishes market risk ~~policy~~ limits and market risk measurement standards at the total Bank level as well as at the ~~business segment~~product level. Additional guidelines approved by the Bank’s Enterprise Risk Committee apply to the Bank’s ~~two business segments, the~~ advances-related ~~business~~products and the mortgage-related ~~business.~~products. These guidelines provide limits that are monitored at the ~~segment~~product level and are consistent with the Bank’s ~~policy limits.~~Risk Appetite Framework. Market risk is managed for each ~~business segment~~product on a daily basis, as discussed below in ~~“Segment~~“Total

Bank Market Risk.” Compliance with Bank ~~policies~~limits and guidelines is reviewed by the Bank’s ~~Board~~board of ~~Directors~~directors on a regular basis, along with a corrective action plan if applicable.

The Bank’s market value of capital sensitivity ~~policy~~risk limits for 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) tois no worse than ~~4.0% of~~a 3.0% change in the estimated market value of capital. In addition, the ~~policy~~risk limits for 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 tois no worse than ~~6.0%~~4.0% 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 December 31, ~~2020.~~2023.

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~~valuation methods, discounting 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 following table presents the sensitivity of the market value of capital (the market value of all of the Bank’s assets, liabilities, and associated interest rate exchange agreements, with mortgage assets valued using market spreads implied by current market prices) to changes in interest rates. The table presents the estimated percentage change in the Bank’s market value of capital that would be expected to result from changes in interest rates under different interest rate scenarios, using market spread ~~assumptions.~~assumptions as of December 31, 2023 and 2022.

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~~

(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~~board of ~~Directors~~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 ~~280%~~233% as of December 31, ~~2020.~~2023.

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

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~~up to four years. These fixed rate investments are swapped to variable rate 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.~~business regularly. 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~~repricing of assets, liabilities, and interest rate exchange agreements on the interest rate risk of the advances-related ~~segment.~~business. 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.~~

The Bank manages the interest rate risk and market risk of the mortgage-related ~~segment~~business through ~~its investment in low risk assets and~~ selected funding and hedging strategies. The total carrying value of MBS and mortgage loans at December 31, ~~2020,~~2023, was ~~$17.7~~$16.1 billion, including ~~$15.8~~$15.3 billion in MBS and ~~$1.9 billion~~$755 million in mortgage loans. The total carrying value of MBS and mortgage loans at December 31, ~~2019,~~2022, was ~~$21.1~~$11.7 billion, including ~~$17.8~~$10.9 billion in MBS and ~~$3.3 billion~~$816 million 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 ~~$14.2~~$14.9 billion, or ~~80%~~92%, of MBS and mortgage loans at December 31, ~~2020,~~2023, and ~~$15.1~~$10.3 billion, or ~~72%~~88%, of MBS and mortgage loans at December 31, ~~2019.~~2022. Intermediate and long-term fixed rate assets, whose interest rate and market risks have been partially offset through the use of fixed rate callable debt, fixed rate non-callable debt, and certain interest rate swaps, were ~~$3.5~~$1.2 billion, or ~~20%~~8%, of MBS and mortgage loans, at December 31, ~~2020,~~2023, and ~~$6.0~~$1.4 billion, or ~~28%~~12%, of MBS and mortgage loans at December 31, ~~2019.~~2022.

At least monthly, the Bank reviews the estimated market risk profile of the entire portfolio of mortgage assets and related funding and hedging transactions. The Bank then considers rebalancing strategies to modify the estimated mortgage portfolio market risk profile. Periodically, the Bank performs more in-depth analyses, which include an 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, adjustable rate debt, or callable 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.~~

The following table presents results of the estimated market value of capital sensitivity analysis attributable to the mortgage-related business as of December 31, ~~2020~~2023 and ~~2019.~~2022.

The ~~explanations for the changes in Bank’s~~mortgage portfolio’s estimates of the sensitivity of the market value of capital to changes in interest rates ~~attributable to the mortgage-related business from~~as of December 31, ~~2019, to~~2023, are comparable with the estimates as of December 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.~~2022.

Although the Bank uses interest rate exchange agreements to achieve the specific financial objectives described above, certain transactions do not qualify for hedge accounting (economic hedges). An economic hedge introduces the potential for earnings variability caused by changes in the fair value of the derivatives that are recorded in the Bank’s income but are not offset by corresponding changes in the value of the economically hedged assets and

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

These policies and the judgments, estimates, and assumptions are also described in “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies.”

Accounting for derivatives includes the following assumptions and estimates by the Bank: (i) assessing whether the hedging relationship qualifies for hedge accounting, (ii) assessing whether an embedded derivative should be bifurcated, (iii) calculating the estimated effectiveness of the hedging relationship, (iv) evaluating exposure associated with counterparty credit risk, and (v) estimating the fair value of the derivatives. The judgments and assumptions that are most critical to the application of this accounting policy are those affecting whether a hedging relationship qualifies for hedge accounting under the requirements of U.S. GAAP and the estimation of fair value of the derivatives ~~(which is~~(as discussed in “Fair Values” below)~~. The Bank’s assumptions and judgments include subjective calculations and estimates based~~, which have a significant impact on ~~information available as of~~ the ~~date of the financial statements and could be materially different based on different assumptions, calculations, and estimates.~~actual results being reported.

For additional discussion of the Bank’s accounting for derivatives, see “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” and “Item 8. Financial Statements and Supplementary Data – Note 1413 – Derivatives and Hedging Activities.”

Fair value measurement guidance defines fair value, establishes a framework for measuring fair value under U.S. GAAP, and stipulates disclosures about fair value measurements. This guidance applies whenever other accounting pronouncements require or permit assets or liabilities to be measured at fair value. The Bank uses fair value measurements to record fair value adjustments for certain assets and liabilities and to determine fair value disclosures.

Fair value is defined 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. Fair value is a market-based measurement, and the price used to measure fair value is an exit price considered from the perspective of the market participant that holds the asset or owes the 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 use of fair value to measure the Bank’s financial instruments is fundamental to the Bank’s financial statements and is a critical accounting estimate because a significant portion of the Bank’s assets and liabilities are carried at fair value.

In general, these items carried at fair value are categorized within Level 2 of the fair value hierarchy and are valued primarily using inputs that are observable in the marketplace or can be substantially derived from observable market data. The fair values of interest rate-related derivatives and hedged items are estimated using internally developed discounted cash flow models that use market-observable inputs, such as swap rates and volatility assumptions.

Certain assets and liabilities are measured at fair value on a nonrecurring basis, that is, the instruments are not measured at fair value on an ongoing basis but are subject to fair value adjustment in certain circumstances. At December 31, ~~2020,~~2023, the Bank measured certain mortgage loans held for portfolio on a nonrecurring basis at Level 3 of the fair value hierarchy.

The Bank monitors and evaluates the inputs into its fair value measurements to ensure that the asset or liability is properly categorized in the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement. Because items classified as Level 3 are generally based on unobservable inputs, the process to determine the fair value of such items is generally more subjective and involves a higher degree of judgment and assumptions by the Bank.

The Bank employs internal control processes to validate the fair value of its financial instruments. These control processes are designed to ensure that the fair value measurements used for financial reporting are based on observable inputs wherever possible. In the event that observable market-based inputs are not available, the control processes are designed to ensure that the valuation approach used is appropriate and consistently applied and that the assumptions and judgments made are reasonable. The Bank’s control processes provide for segregation of duties and oversight of the fair value methodologies and valuations by the Bank. Valuation models are regularly reviewed by the Bank and are subject to an independent model validation process. Any changes to the valuation methodology or the models are also reviewed to confirm that the changes are appropriate.

The assumptions and judgments applied by the Bank may have a significant effect on its estimates of fair value, and the use of different assumptions as well as changes in market conditions could have a material effect on the Bank’s results of operations or financial condition. See “Item 8. Financial Statements and Supplementary Data – Note 1514 – Fair Value” for further information regarding the fair value measurement guidance (including the classification within the fair value hierarchy) and the summary of valuation methodologies and primary inputs used to measure fair value for all the Bank’s assets and liabilities carried at fair value.

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. These fair values may not represent the actual values of the financial instruments that could have been realized as of yearend or that will be realized in the future. 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.

Among other things, the Finance Agency has indicated that it plans to:

The Bank is continuing to ~~adhere~~evaluate the report and is not able to predict what actions will ultimately result from the Finance Agency’s recommendations in the report, the timing of these actions, the extent of any changes to the ~~Protocol by December 31, 2020,~~Bank or the FHLBank System, or the ultimate effect on the Bank or the FHLBank System in the future. We plan to continue to engage with the Finance Agency and other stakeholders to ensure that the ~~extent necessary,~~FHLBank System remains well positioned to ~~amend any bilateral agreements regarding the adoption~~serve our members and their communities. For a further discussion of related risks, see “Part I. Item 1A. Risk Factors”.

Contractual Obligations
(In millions)
December 31, 2020
Payments Due By Period
Contractual Obligations < 1 Year 1 to < 3 Years 3 to < 5 Years ≥ 5 Years Total
Long-term debt(1)
$ 34,542 $ 7,674 $ 862 $ 1,311 $ 44,389
Mandatorily redeemable capital stock — — — 2 2
Capital leases 1 1 — — 2
Operating leases 8 17 18 52 95
Pension and post-retirement contributions 6 6 6 7 25
Commitments to fund/purchase mortgage loans 1 — — — 1
Total contractual obligations $ 34,558 $ 7,698 $ 886 $ 1,372 $ 44,514

See “Item 7. Management’s Discussion and Analysis of Results of Operations and Financial Condition – Risk Management – Market Risk.”

The management of the Federal Home Loan Bank of San Francisco (Bank) is responsible for establishing and maintaining adequate internal control over the Bank's financial reporting. The Bank’s internal control over financial reporting is a process designed 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. There are inherent limitations in the ability of internal control over financial reporting to provide absolute assurance of achieving financial reporting objectives. These inherent limitations include the possibility of human error and the circumvention or overriding of controls. Accordingly, there is a risk that material misstatements may not be prevented or detected on a timely basis by internal control over financial reporting. These inherent limitations are known features of the financial reporting process, however, and it is possible to design into the process safeguards to reduce, although not eliminate, this risk.

To the Board of Directors and Shareholders of the Federal Home Loan Bank of San Francisco

The FHLBank’s management is responsible for these financial statements, for maintaining effective internal control over financial reporting, and for its assessment of the effectiveness of internal control over financial reporting, included in the accompanying Management's Report on Internal Control Over Financial Reporting. Our responsibility is to express opinions on the FHLBank’s financial statements and on the FHLBank’s internal control over financial reporting based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the FHLBank in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud, and whether effective internal control over financial reporting was maintained in all material respects.

Our audits of the financial statements included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our audit of internal control over financial reporting included obtaining an understanding of internal control over financial reporting, assessing the risk that a material weakness exists, and testing and evaluating the design and operating effectiveness of internal control based on the assessed risk. Our audits also included performing such other procedures as we considered necessary in the circumstances. We believe that our audits provide a reasonable basis for our opinions.

A company’s internal control over financial reporting is a process designed 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. A company’s internal control over financial reporting includes those policies and procedures that (i) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the company; (ii) provide reasonable

assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the company are being made only in accordance with authorizations of management and directors of the company; and (iii) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use, or disposition of the company’s assets that could have a material effect on the financial statements.

Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.

The critical audit matter communicated below is a matter arising from the current period audit of the financial statements that was communicated or required to be communicated to the audit committee and that (i) relates to accounts or disclosures that are material to the financial statements and (ii) involved our especially challenging, subjective, or complex judgments. The communication of critical audit matters does not alter in any way our opinion on the financial statements, taken as a whole, and we are not, by communicating the critical audit matter below, providing a separate opinion on the critical audit matter or on the accounts or disclosures to which it relates.

As described in Notes 1413 and 1514 to the financial statements, the FHLBank uses derivatives to reduce funding costs and to manage its exposure to interest rate risks. The total notional amount of derivatives as of December 31, ~~2020~~2023 was ~~$79~~$117 billion, of which ~~45%~~77% were designated as hedging instruments, and the fair value of derivative assets and liabilities as of December 31, ~~2020~~2023 was $3$16 million and ~~$12~~$2 million, respectively. The fair values of interest rate-related derivatives and hedged items are estimated using internally developed discounted cash flow models that use market-observable inputs, such as swap rates and volatility assumptions.

The principal considerations for our determination that performing procedures relating to the valuation of interest rate-related derivatives and hedged items is a critical audit matter are the significant audit effort in evaluating the swap rates and volatility assumptions used to fair value these derivatives and hedged items, and the audit effort involved the use of professionals with specialized skill and knowledge.

Addressing the matter involved performing procedures and evaluating audit evidence in connection with forming our overall opinion on the financial statements. These procedures included testing the effectiveness of controls relating to the valuation of interest rate-related derivatives and hedged items, including controls over the models, data, and assumptions. These procedures also included, among others, the involvement of professionals with specialized skill and knowledge to assist in developing an independent range of prices for a sample of interest rate-related derivatives and hedged items and comparison of management’s estimate to the independently developed ranges. Developing the independent range of prices involved testing the completeness and accuracy of data provided by management and independently developing the swap rates and volatility assumptions.

/s/ PricewaterhouseCoopers LLP

March ~~12, 2021~~8, 2024

We have served as the FHLBank’s auditor since 1990.

Actual results could differ significantly from these estimates.

Fair values for certain financial instruments are based on quoted prices, market rates, or replacement rates for similar financial instruments as of the last business day of the year. The estimated fair values of the Bank’s financial instruments and related assumptions are detailed in Note 1514 – Fair Value.

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, aarrangements. 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.~~

See Note 4 – Investments for details on the allowance methodologies relating to interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold.

The Bank classifies certain investments as trading. These securities are held for liquidity purposes and carried at fair value with changes in the fair value of these investments recorded in other ~~income.~~income/(loss). The Bank does not participate in speculative trading practices and holds these investments indefinitely as the Bank periodically evaluates its liquidity needs.

The Bank classifies certain securities as AFS and carries these securities at their fair value. Unrealized gains and losses on these securities are recognized in accumulated other comprehensive income (AOCI).

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 AOCI recorded prior to January 1, 2020.~~discounts. The Bank classifies these investments as HTM securities because the Bank has the positive intent and ability to hold these securities until maturity.

Certain changes in circumstances may cause the Bank to change its intent to hold a certain security to maturity without calling into question its intent to hold other debt securities to maturity in the future. Thus, the sale or transfer of an HTM security because of certain changes in circumstances, such as evidence of significant deterioration in the issuer's creditworthiness or changes in regulatory requirements, is not considered to be inconsistent with its original classification. Other events that are isolated, nonrecurring, and unusual for the Bank that could not have been reasonably anticipated may cause the Bank to sell or transfer an HTM security without ~~necessarily~~ calling into question its intent to hold other debt securities to maturity. In addition, sales of debt securities that meet either of the following two conditions may be considered as maturities for purposes of the classification of securities: (i) the sale occurs near enough to its maturity date (or call date if exercise of the call is probable) that interest rate risk is substantially eliminated as a pricing factor and changes in market interest rates would not have a significant effect on the security's fair value, or (ii) the sale occurs after the Bank has already collected a substantial portion (at least 85%) of the principal outstanding at acquisition because of prepayments on the debt security or scheduled payments on a debt security payable in equal installments ~~(both principal and interest)~~ over its term.

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

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).

See Note 4 – Investments for details on the allowance methodologies relating to AFS and HTM securities.

The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time this collateral is received or pledged. Likewise, there may be a delay for excess collateral to be returned. For derivative instruments that meet the netting requirements, any excess cash collateral received or pledged is recognized as a derivative liability or derivative asset. Additional information regarding these agreements is provided in Note 1413 – Derivatives and Hedging Activities. Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented.

Prior to January 1, 2020, the Bank evaluated advances to determine if an allowance for credit losses was necessary if it was probable that impairment had occurred as of the Statements of Condition date and the amount of loss could be reasonably estimated. The Bank evaluated advances for impairment with respect to which it was probable that all principal and interest due would not be collected according to its contractual terms.

For prepaid advances that are hedged and meet the hedge accounting requirements, the Bank terminates the hedging relationship upon prepayment and records the associated fair value gains and losses, adjusted for the prepayment fees, in interest income. If a new advance represents a modification of an original hedged advance, the fair value gains or losses on the advance and the prepayment fees are included in the carrying amount of the modified advance, and gains or losses and prepayment fees are amortized in interest income over the life of the modified advance using the level-yield method. If the modified advance is also hedged and the hedge meets the hedge accounting requirements, the modified advance is marked to fair value after the modification, and subsequent fair value changes are recorded in interest income on ~~advances effective January 1, 2019. Prior to January 1, 2019, subsequent fair value changes were recorded in other income.~~advances. If the prepayment represents an extinguishment of the original hedged advance, the prepayment fee and any fair value gain or loss are immediately recognized in interest income.

For prepaid advances that are not hedged or that are hedged but do not meet the hedge accounting requirements, the Bank records prepayment fees in interest income unless the Bank determines that the new advance represents a modification of the original advance. If the new advance represents a modification of the original advance, the prepayment fee on the original advance is deferred, recorded in the basis of the modified advance, and amortized over the life of the modified advance using the level-yield method. This amortization is recorded in interest income.

The Bank classifies mortgage loans as held for portfolio 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 defers and amortizes these amounts as interest income using the level-yield method on a retrospective basis over the estimated life of the related mortgage loan. Actual prepayment experience and estimates of future principal prepayments are used in calculating the estimated life of the mortgage loans. The Bank aggregates the mortgage loans by similar characteristics (type, maturity, interest rate, and acquisition date) in determining prepayment estimates. A retrospective adjustment is required each time the Bank changes the estimated amounts as if the new estimate had been known since the original acquisition date of the assets. The Bank uses nationally recognized, market-based, third-party prepayment models to project estimated lives.

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.

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.

A past due loan is one where the borrower has failed to make a scheduled full payment of principal and interest within 30 days of its due date. The Bank places a mortgage loan on nonaccrual status when the collection of the contractual principal or interest from the participating financial institution is doubtful, when the collection of the contractual principal or interest from the participating financial institution is reported 90 days or more past due, or when the loan is in ~~foreclosure.~~foreclosure, except when the loan is well-secured (e.g., through credit enhancements) and in the process of collection. Loans that are on nonaccrual status and that are considered collateral-dependent are measured for credit losses based on the fair value of the underlying property less estimated selling costs. Loans are considered collateral-dependent ifwhen the borrower is experiencing financial difficulty and repayment is expected to be ~~provided solely by~~

substantially through the sale of the underlying ~~property;~~collateral; that is, if it is considered likely that the borrower will default and there is no credit enhancement to offset losses under the master commitment, or the collectability or availability of credit enhancement is deemed to be uncertain. Collateral-dependent loans are credit deteriorated if the fair value of the underlying collateral less estimated selling costs is insufficient to recover the unpaid principal balance on the loan.

When a mortgage loan is placed on nonaccrual status, accrued but uncollected interest is reversed against interest income. The Bank records cash payments received on nonaccrual loans first as interest income and then as a reduction of principal as specified in the contractual agreement, unless the collection of the remaining principal amount due is considered doubtful. If the collection of the remaining principal amount due is considered doubtful, then cash payments received would be applied first solely to principal until the remaining principal amount due is expected to be collected and then as a recovery of any charge-off, if applicable, followed by recording interest income. A loan on ~~non-accrual~~nonaccrual status may be restored to accrual when (1) none of its contractual principal and interest is due and unpaid, and the Bank expects repayment of the remaining contractual interest and principal, or (2) it otherwise becomes well secured and in the process of collection.

~~Troubled debt restructuring (TDR)~~Effective January 1, 2023, the Bank adopted ASU 2022-02, which eliminated TDR accounting prospectively for all restructurings occurring on or after January 1, 2023. Subsequent to adoption, all loan modifications are evaluated under ASC 310-20 to determine whether a modification made to a borrower results in a new loan or is ~~considered to have occurred when~~ a ~~concession is granted to~~continuation of the ~~debtor for economic or legal reasons related to the debtor's financial difficulties and that concession would not have been considered otherwise.~~ existing loan.

An MPF loan ~~considered a TDR~~ that shares similar risk characteristics with other loans is evaluated for credit losses on a collective basis. ~~TDRs~~MPF loans that do not share risk characteristics with other loans are individually evaluated for credit losses. MPF loans that are identified for individual evaluation are either delinquent or classified as nonaccrual, in process of foreclosing on the collateral, or have been modified in response to a borrower’s financial difficulty. Credit loss is measured by factoring in expected cash flow shortfalls incurred as of the reporting date, as well as the economic loss attributable to delaying the original contractual principal and interest due dates, if applicable.

On March 27, 2020, the Coronavirus Aid, Relief, and Economic Security Act (CARES Act) was signed into law. Section 4013 of the CARES Act provides optional, temporary relief from the accounting and reporting requirements for TDRs for certain loan modifications granted to borrowers adversely affected by the COVID-19 pandemic (COVID-related modifications) that were not more than 30 days past due on payments as of December 31, 2019. Specifically, the CARES Act provides that a financial institution may elect to suspend: (i) the requirements under U.S. GAAP for certain loan modifications that would otherwise be categorized as a TDR, and (ii) any determination that such loan modifications would be considered a TDR, including the related accounting. TDR relief applies to COVID-related modifications made from March 1, 2020, until the earlier of December 31, 2020, or 60 days following the termination of the national emergency declared by the President of the United States on March 13, 2020. On December 27, 2020, the Consolidated Appropriations Act, 2021, was signed into law, extending the applicable period to the earlier of January 1, 2022, or 60 days following the termination of the national emergency declared on March 13, 2020. Starting in the second quarter of 2020, the Bank elected to apply the TDR relief provided by the CARES Act. As such, all COVID-related modifications meeting the provisions of the CARES Act are excluded from TDR classification and accounting, and the Bank considers these loans to have a current payment status as long as payments are being made in accordance with the new terms. Alternatively, COVID-related modifications that do not meet the provisions of the CARES Act continue to be assessed for TDR classification. The

The Bank ~~does~~did not purchase mortgage loans with credit deterioration present at the time of purchase. See Note 6 – Mortgage Loans Held for Portfolio for details on the allowance methodologies relating to mortgage loans.

The Bank uses London Clearing House (LCH) Ltd for all cleared derivative transactions. The rulebook of LCH Ltd characterizes variation margin as daily settlement payments, and initial margin is considered cash collateral.

If hedging relationships meet certain criteria, including but not limited to formal documentation of the hedging relationship and an expectation to be hedge effective, they are eligible for hedge accounting, and the offsetting changes in fair value of the hedged items attributable to the hedged risk may be recorded in earnings. The

Derivatives are typically executed at the same time as the hedged item, and the Bank designates the hedged item in a qualifying hedge relationship as of the trade date. In many hedging relationships, the Bank may designate the hedging relationship upon its commitment to disburse an advance or trade a consolidated obligation in which settlement occurs within the shortest period of time possible for the type of instrument based on market settlement conventions. The Bank records the changes in the fair value of the derivatives and the hedged item beginning on the trade date.

Beginning January 1, 2019, the Bank prospectively adopted hedge accounting guidance, which, among other things, affected the presentation of gains and losses on derivatives and hedging activities for qualifying hedges. Upon adoption, changesChanges in the fair value of a derivative that is designated as a fair value hedge, along with changes in the fair value of the hedged asset or liability (hedged item) that are attributable to the hedged risk (including changes that reflect gains or losses on firm commitments), are recorded in net interest income in the same line as the earnings effect of the hedged item. Net gains and losses on derivatives and hedging activities for qualifying hedges recorded in net interest income include unrealized and realized gains and losses, which include net interest settlements. For AFS securities that have been hedged and qualify as a fair value hedge, the Bank records the portion of the change in the fair value of the investment related to the risk being hedged in interest income together with the related change in the fair value of the derivative, and records the remainder of the change in the fair value of the investment in Accumulated Other Comprehensive Income (AOCI) as “Net unrealized gain/(loss) on AFS securities.” The ~~hedge accounting guidance also permits hedging of~~Bank hedges the benchmark risk component of cash flows in a fair value hedge. ~~The Bank modified the risk of prospective fair value hedges from the contractual coupon interest rate to the benchmark rate component, improving hedge effectiveness.~~

Changes in the fair value of a derivative designated as an economic hedge are recorded in current period earnings with no fair value adjustment to an asset or liability. An economic hedge is defined as a derivative hedging certain advances and consolidated obligation bonds for which the Bank elected the fair value option, or hedging specific or non-specific underlying assets, liabilities, or firm commitments, that does not qualify or was not designated for fair value hedge accounting, but is an acceptable hedging strategy under the Bank's risk management program. These economic hedging strategies also comply with Finance Agency regulatory requirements prohibiting speculative hedge transactions. An economic hedge introduces the potential for earnings variability caused by the changes in fair value of the derivatives that are recorded in the Bank's income but are not offset by corresponding changes in the value of the economically hedged assets, liabilities, or firm commitments. Changes in the fair value of these non-qualifying hedges are recorded in other ~~income~~income/(loss) as “Net gain/(loss) on ~~derivatives and hedging activities.~~derivatives.” In addition, the net settlements associated with these non-qualifying hedges are recorded in other ~~income~~income/(loss) as “Net gain/(loss) on ~~derivatives and hedging activities.~~derivatives.” Cash flows associated with these stand-alone derivatives are reflected

The net settlements of interest receivables and payables on derivatives designated as fair value hedges are recognized as adjustments to the interest income or interest expense of the designated underlying hedged item. The net settlements of interest receivables and payables on intermediated derivatives for members and other economic hedges are recognized in other ~~income~~income/(loss) as “Net gain/(loss) on ~~derivatives and hedging activities.~~derivatives.”

The Bank discontinues hedge accounting prospectively when: (i) it determines that the derivative is no longer highly effective in offsetting changes in the fair value of a hedged item (including hedged items such as firm commitments

or forecasted transactions); (ii) the derivative ~~and/~~or the hedged item expires or is sold, terminated, or exercised; (iii) it is no longer probable that the forecasted transaction will occur in the originally expected period; (iv) a hedged firm commitment no longer meets the definition of a firm commitment; (v) it determines that designating the derivative as a hedging instrument is no longer appropriate; (vi) a critical term on the hedged item changes; or (vii) it decides to use the derivative to offset changes in the fair value of other derivatives or instruments carried at fair value.

When hedge accounting is discontinued, the Bank either terminates the derivative or continues to carry the derivative on the Statements of Condition at its fair value, ceases to adjust the hedged asset or liability for changes in fair value, and amortizes the cumulative basis adjustment on the hedged item into earnings over the remaining life of the hedged item using a level-yield methodology.

When hedge accounting is discontinued because the hedged item no longer meets the definition of a firm commitment, the Bank continues to carry the derivative on the Statements of Condition at its fair value, removing from the Statements of Condition any asset or liability that was recorded to recognize the firm commitment and recording it as a gain or loss in current period earnings.

The Bank may be the primary obligor on consolidated obligations and may make advances in which derivative instruments are embedded. Upon execution of these transactions, the Bank assesses whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the advance or debt (the host contract) and whether a separate, non-embedded instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. When it is determined that: (i) the embedded derivative has economic characteristics that are not clearly and closely related to the economic characteristics of the host contract, and (ii) a separate, stand-alone instrument with the same terms would qualify as a derivative instrument, the embedded derivative is separated from the host contract, carried at fair value, and designated as a stand-alone derivative instrument equivalent to an economic hedge. However, the entire contract is carried on the Statements of Condition at fair value and no portion of the contract is designated as a hedging instrument if the entire contract (the host contract and the embedded derivative) is to be measured at fair value, with changes in fair value reported in current period earnings (such as an investment security classified as trading, as well as hybrid financial instruments that are eligible for the fair value option), or if the Bank cannot reliably identify and measure the embedded derivative for purposes of separating the derivative from its host contract.

value. Dividends declared on shares classified as a liability are accrued at the expected dividend rate and reflected as interest expense in the Statements of Income. The repayment of these mandatorily redeemable financial instruments (by repurchase or redemption of the shares) is reflected as a financing cash outflow in the Statements of Cash Flows once settled. See Note 11 – Capital for more information.

If a member cancels its written notice of redemption or notice of withdrawal or if the Bank allows the transfer of mandatorily redeemable capital stock to a member, the Bank reclassifies mandatorily redeemable capital stock from a liability to capital. After the reclassification, dividends on the capital stock are no longer classified as interest expense.

The following table provides a summary of recently issued and adopted accounting standards that may have an effect on the Bank’s financial statements.

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.

Federal funds sold are unsecured loans that are generally transacted on an overnight term. Finance Agency regulations include a limit on the amount of unsecured credit the Bank may extend to a counterparty. At December 31, ~~2020~~2023 and ~~2019,~~2022, all investments in interest-bearing deposits and Federal funds sold were repaid or expected to be repaid according to the relevant contractual terms. No allowance for credit losses was recorded for these assets at December 31, ~~2020~~2023 and ~~2019.~~2022. Carrying values of interest-bearing deposits and Federal funds sold exclude accrued interest receivable of ~~de minimis amounts~~$16 million and $2 million, respectively, as of December 31, ~~2020,~~2023, and $3$13 million and ~~a de minimis amount~~$1 million, respectively, as of December 31, ~~2019, respectively.~~2022.

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 December 31, ~~2020~~2023 and ~~2019.~~2022. The carrying value of securities purchased under agreements to resell excludes ~~de minimis amounts~~$2 million of accrued interest receivable as of December 31, ~~2020~~2023 and ~~2019.~~2022.

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 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 the time of purchase.

At December 31, ~~2020,~~2023, the amortized cost of the Bank’s MBS classified as AFS included premiums of ~~$65,~~$58 million, discounts of ~~$47,~~$191 million, and ~~credit-related OTTI of $486 for AFS securities with an OTTI recognized pursuant~~previous credit losses related to the ~~impairment guidance in effect~~ prior ~~to January 1, 2020.~~methodology of evaluating credit losses of $312 million for PLRMBS. At December 31, ~~2019,~~2022, the amortized cost of the Bank’s MBS classified as AFS included premiums of ~~$65,~~$52 million, discounts of ~~$52,~~$113 million, and ~~credit-related OTTI~~previous credit losses related to the prior methodology of ~~$574.~~evaluating credit losses of $351 million for PLRMBS.

The following tables summarize the AFS securities with unrealized losses as of December 31, 2023 and 2022. 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.

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 December 31, ~~2020,~~2023, the amortized cost of the Bank’s MBS classified as HTM included premiums of ~~$5,~~$2 million and discounts of ~~$6, 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.~~$3 million. At December 31, ~~2019,~~2022, the amortized cost of the Bank’s MBS classified as HTM included premiums of ~~$8,~~$3 million and discounts of ~~$11, and credit-related OTTI of $7.~~$4 million.

To evaluate investment securities for credit loss at December 31, ~~2020,~~2023 and 2022, the Bank employed the following methodologies, based on the type of security.

At December 31, ~~2020,~~2023 and 2022, certain of the Bank’s AFS and HTM 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 December 31, 2020.

The ~~projected~~expected cash flows are based on a number of assumptions and expectations, and the results of these models can vary significantly with changes in these assumptions and expectations. The cash flows determined ~~reflects~~reflect management’s expectations and ~~includes~~include 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.

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 credit quality of the underlying collateral. The decline in the credit quality of the underlying collateral 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 at the time of ~~$3, $1,~~the transfer of $2 million during the year ended December 31, 2023. The fair value of the transferred PLRMBS was lower than their amortized cost by a de minimis amount. The Bank transferred PLRMBS from its HTM portfolio to its AFS portfolio with an amortized cost of $17 million and ~~$12~~fair value of $20 million at the time of the transfer during ~~2020, 2019,~~the year ended December 31, 2022, and ~~2018, respectively.~~with an amortized cost and fair value of $2 million during the year ended December 31, 2021.

For the Bank’s PLRMBS, the Bank ~~experienced~~recorded a provision for credit losses of $4 million and $15 million during the years ended December 31, 2023 and 2022, respectively. The provisions were recorded largely because of declines in the fair values on its PLRMBS, the present value ~~in March 2020 as a result~~ of ~~disruptions in the financial markets combined with illiquidity in the~~expected cash flows of certain PLRMBS ~~market~~affected by higher interest rates, 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.~~securities. The Bank ~~subsequently experienced improvements~~recorded a reversal of credit losses of $3 million during the year ended December 31, 2021, primarily resulting from lower default rates as well as improved projected credit performance in ~~fair values, in~~ part related to a more optimistic economic outlook because of the monetary and fiscal stimulus measures taken by the U.S. government. ~~As a result~~

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~~one day to 10 years, with the interest rates resetting periodically at a fixed spread to a specified index.

All 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.~~borrower’s decision to repay the advance prior to its maturity date, which is required by Finance Agency regulations. 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. In November 2018, the Bank discontinued offering advances with partial prepayment symmetry. The Bank had advances with full prepayment symmetry outstanding totaling ~~$19,919~~$39.8 billion at December 31, ~~2020,~~2023, and ~~$14,059~~$19.2 billion at December 31, ~~2019.~~2022. The Bank had advances with partial prepayment symmetry outstanding totaling ~~$1,817~~$209 million at December 31, ~~2020,~~2023, and ~~$3,513~~$1.0 billion at December 31, ~~2019.~~2022. Some advances may be repaid on ~~pertinent~~specified call dates without prepayment fees (callable advances). The Bank had callable advances outstanding totaling ~~$1,100~~$3.3 billion at December 31, ~~2020,~~2023, and ~~$14,024~~$9.8 billion at December 31, ~~2019.~~2022.

The Bank had putable advances totaling ~~$220~~$1.4 billion at December 31, ~~2020,~~2023, and ~~$20~~$800 million at December 31, ~~2019.~~2022. 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 December 31, ~~2020~~2023 and ~~2019,~~2022, 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.

Section 10(e) of the FHLBank Act affords any security interest granted to the Bank by a member or any affiliate of the member or any nonmember borrower priority over claims or rights of any other party, except claims or rights that (i) would be entitled to priority under otherwise applicable law and (ii) are held by bona fide purchasers for value or secured parties with perfected security interests.

At December 31, ~~2020~~2023 and ~~2019,~~2022, none of the Bank’s credit products were past due or on nonaccrual status. There were no ~~troubled debt restructurings related~~modifications to credit products related to borrowers experiencing financial difficulty during ~~2020 or 2019.~~the years ended December 31, 2023 and 2022.

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 December 31, ~~2020,~~2023, the Bank expects to collect all amounts due according to the contractual terms. Therefore, no allowance for credit losses on advances was deemed necessary by the Bank as of December 31, ~~2020~~2023 and ~~2019.~~2022.

Mortgage loans held for portfolio consist of single-family mortgage loans purchased from participating financial institutions under the MPF program. The following table presents information as of December 31, ~~2020~~2023 and ~~2019,~~2022, on mortgage loans held for portfolio, all of which are secured by one- to four-unit residential properties and single-unit ~~second~~ homes.

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

~~The following table presents a rollforward of~~At both December 31, 2023 and 2022, the allowance for credit losses on the mortgage loan portfolio ~~for the year ended December 31, 2020. The Bank recorded a de minimis allowance for credit losses on the mortgage loan portfolio for the year ended December 31, 2019.~~was $1 million. The amount of charge-offs and recoveries of allowance for credit losses on the mortgage loan portfolio were de minimis for the years ended December 31, ~~2020, 2019,~~2023, 2022, and ~~2018.~~2021.

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 held for portfolio 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 December 31, 2023 and 2022, were as follows:

Consolidated obligations, consisting of ~~consolidated obligation~~ bonds and discount notes, are jointly issued by the ~~FHLBanks~~Federal Home Loan Banks (FHLBanks) through the Office of Finance, which serves as the FHLBanks’ agent. As provided by the ~~FHLBank~~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 ~~Note 16~~“Note 15 – Commitments and Contingencies.” 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.

Consolidated obligation bonds may be issued to raise short-, intermediate-, and long-term funds for the FHLBanks. The maturity of consolidated obligation bonds generally ranges from 6 months to 15 years, but the maturity is not subject to any statutory or regulatory limits. Consolidated obligation discount notes are primarily used to raise short-term funds. These notes are issued at less than their face amount and redeemed at par value when they mature.

~~The par value of the outstanding consolidated obligations of the FHLBanks was $746,722 at December 31, 2020, and $1,025,895 at December 31, 2019.~~ Regulations require the FHLBanks to maintain, for the benefit of investors in consolidated obligations, in the aggregate, unpledged qualifying assets in an amount equal to the consolidated obligations outstanding. Qualifying assets are defined as cash; secured advances; assets with an assessment or credit rating at least equivalent to the current assessment or credit rating of the consolidated obligations; obligations, participations, mortgages, or other securities of or issued by the United States or an agency of the United States; and such securities as fiduciary and trust funds may invest in under the laws of the state in which the FHLBank is located. Any assets subject to a lien or pledge for the benefit of holders of any issue of consolidated obligations are treated as if they were free from lien or pledge for the purposes of compliance with these regulations. At December 31, ~~2020,~~2023, the Bank had qualifying assets totaling ~~$68,016,~~$91.8 billion, and the Bank’s participation in consolidated obligations outstanding was ~~$60,621.~~$83.5 billion.

~~119~~

The Bank’s participation in consolidated obligation bonds outstanding includes callable bonds. When a callable bond for which the Bank is the primary obligor is issued, the Bank may simultaneously enter into an interest rate swap (wherein 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 option in a swap). The combined callable swaps and callable bonds enable the Bank to meet its funding needs at lower costs relative to similar tenor non-callable debt, while effectively converting the Bank’s net payment to an adjustable rate.

The Bank’s participation in consolidated obligation bonds at December 31, 2023 and 2022, was as follows:

The following is a summary of the Bank’s participation in consolidated obligation bonds outstanding at December 31, ~~2020~~2023 and ~~2019,~~2022, by the earlier of the year of contractual maturity or next call date.

~~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:

Under the Housing and Economic Recovery Act of 2008, the Director of the Finance Agency is responsible for setting the risk-based capital standards for the FHLBanks. The FHLBank Act and regulations governing the operations of the FHLBanks require that the Bank’s minimum capital stock requirement for shareholders must be sufficient to enable the Bank to meet its regulatory requirements for total capital, leverage capital, and risk-based capital. The Bank must maintain: (i) total regulatory capital in an amount equal to at least 4% of its total assets, (ii) leverage capital in an amount equal to at least 5% of its total assets, and (iii) permanent capital in an amount that is greater than or equal to its risk-based capital requirement.

~~Beginning in February 2020, the~~The Finance Agency ~~issued guidance that augmented existing statutory and regulatory capital requirements to require~~requires each FHLBank to maintain a ratio of at least ~~two percent~~2% 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 December 31, ~~2020,~~2023 and 2022, the Bank ~~was in compliance~~complied with this capital guidance.

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~~operational 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 December 31, ~~2020~~2023 and ~~2019,~~2022, the Bank ~~was in compliance~~complied with these capital rules and requirements as shown in the following table.

The Bank’s capital plan requires each ~~member~~shareholder to own capital stock in an amount equal to the greater of its membership capital stock requirement or its activity-based capital stock requirement. The Bank may adjust these requirements from time to time within ~~limits~~ranges established in the capital plan. Any changes to the capital plan must be approved by the Bank’s ~~Board~~board of ~~Directors~~directors (Board) and the Finance Agency.

A member's membership capital stock requirement is ~~1.0%~~1% of its membership asset value. The membership capital stock requirement for a member is capped at ~~$15.~~$15 million. The Bank may adjust the membership capital stock requirement for all members within a range of 0.5% to 1.5% of a member's membership asset value and may adjust the cap for all members within an authorized range of $10 million to ~~$50.~~$50 million. A member's membership asset value is determined by multiplying the amount of the member's membership assets by the applicable membership asset ~~factors.~~factors as determined by the Bank. Membership assets are generally defined as assets (other than Bank capital stock) of a type that could qualify as collateral to secure a member's indebtedness to the Bank under applicable law, whether or not the assets are pledged to the Bank or accepted by the Bank as eligible collateral. ~~The membership asset factors were initially based on the typical borrowing capacity percentages generally assigned by the Bank to the same types of assets when pledged to~~

~~124~~

Any member may withdraw from membership and, subject to certain statutory and regulatory restrictions, have its capital stock redeemed after giving the required notice. Members that withdraw from membership may not reapply for membership for five years, in accordance with Finance Agency rules.

The Bank will not redeem or repurchase capital stock required to meet the minimum capital stock requirement until five years after the member's membership is terminated or after the Bank receives notice of the member's withdrawal, and the Bank will redeem or repurchase only the amounts that are in excess of the capital stock required to support activity (advances and ~~mortgage loans)~~letters of credit) that may remain outstanding after the five-year redemption period has expired. In both cases, the Bank will only redeem or repurchase capital stock if certain statutory and regulatory conditions are met. In accordance with the Bank’s current practice, if activity-based capital stock becomes excess ~~capital~~ stock because an activity no longer remains outstanding, the Bank may repurchase the excess activity-based capital stock at its discretion, subject to certain statutory and regulatory conditions. See Note 1 – Summary of Significant Accounting Policies for more information.

The Bank had mandatorily redeemable capital stock totaling $2$706 million outstanding to 3six institutions at December 31, ~~2020,~~2023, and ~~$138~~$5 million outstanding to 3three institutions at December 31, ~~2019.~~2022. These amounts have been classified as a liability on the Bank’s Statements of Condition. The ~~change~~changes in mandatorily redeemable capital stock for the years ended December 31, ~~2020, 2019,~~2023, 2022, and ~~2018, was~~2021 were as follows:

Cash dividends on mandatorily redeemable capital stock were recorded as interest expense inof $32 million for the ~~amount of $5, $14,~~year ended December 31, 2023, and ~~$24~~de minimis amounts for the years ended December 31, ~~2020, 2019,~~2022 and ~~2018 respectively.~~2021.

Mandatorily redeemable capital stock is considered capital for determining the Bank's compliance with its regulatory capital requirements. Based on Finance Agency interpretation, the classification of certain shares of the Bank’s capital stock as mandatorily redeemable does not affect the definition of total capital for purposes of: determining the Bank’s compliance with its regulatory capital requirements, calculating its mortgage-backed securities investment authority (300% of total capital), calculating its unsecured credit exposure to other GSEs (limited to 100% of total capital), or calculating its unsecured credit limits to other counterparties (various percentages of total capital depending on the rating of the counterparty).

~~and maintains an amount~~ of ~~total retained earnings at least equal to its~~ required retained earnings ~~as described~~under the methodology may change due to updating data and assumptions used in the ~~Framework. As determined using~~methodology. In January 2024, the Bank’s methodology, the required level of total retained earnings had ranged from $2,400 to $2,500 during 2019 and continuing through September 2020. In September 2020, the methodology was revised and resulted in a required level of retained earnings ~~of $2,900. In January 2021, the methodology~~ was ~~further revised~~decreased from $2.6 billion to $1.6 billion attributable to lower non-MBS investments and ~~resulted in a required level of~~projected advance balances. The Bank’s retained earnings requirement may be changed at any time. The Board periodically reviews the retained earnings methodology and analysis to determine whether any adjustments are appropriate.

In September 2023, the Board approved an updated Framework and dividend philosophy to reflect changes in the current interest rate environment and business conditions. The Framework includes a dividend philosophy to endeavor to pay a quarterly dividend rate that is equal to or greater than the current market rate for a highly rated investment (e.g., SOFR) and that is sustainable under current and projected earnings while maintaining appropriate levels of ~~$1,900.~~ capital. The decision to declare any dividend and the dividend rate is at the discretion of the Bank’s Board, which may choose to follow or not follow the dividend philosophy as guidance in the dividend declaration. The Board may also revise or eliminate the dividend philosophy in the future. The Bank’s historical dividend rates and the dividend philosophy are not indicative of future dividend declarations.

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.

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 February ~~18, 2021,~~21, 2024, the Bank’s ~~Board~~board of ~~Directors~~directors declared a quarterly cash dividend on the capital stock outstanding during the fourth quarter of ~~2020~~2023 at an annualized rate of ~~5.00%~~8.75%, totaling ~~$30, including $30 in dividends on capital stock and a de minimis amount in dividends on mandatorily redeemable capital stock. The Bank recorded the dividend on February 18, 2021.~~$69 million. The Bank expects to pay the dividend on March ~~18, 2021. Dividends on mandatorily redeemable capital stock will be recognized as interest expense in the first quarter of 2021.~~14, 2024.

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 ~~2020~~2023 and ~~2019,~~2022, 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.~~value per share. During 2021, the Bank redeemed $1 million of mandatorily redeemable capital stock, for which the five-year redemption period had expired, at its $100 par value per share. 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.

~~The following table presents the fair value of plan assets as well as the funded status that is~~Amounts recognized in ~~other assets/(liabilities) in the Statements of Condition~~AOCI for the defined benefit Cash Balance Plan ~~non-qualified defined benefit plans,~~ and postretirement health benefit plan at December 31, ~~2020~~2023 and ~~2019.~~

The following table presents ~~information for pension plans with assets in excess of benefit~~ obligations and ~~for pension~~funded status of retirement plans ~~with benefit obligations in excess of plan assets~~ at December 31, ~~2020~~2023 and ~~2019.~~2022.

The Bank uses a discount rate to determine the present value of its future benefit obligations. The discount rate was determined based on the Financial Times Stock Exchange (FTSE) Pension Discount Curve at the measurement date. The FTSE Pension Discount Curve is a yield curve that reflects the market-observed yields for high-quality fixed income securities for each maturity. The projected benefit payments for each year from the plan are discounted using the spot rates on the yield curve to derive a single equivalent discount rate. The discount rate is reset annually on the measurement date. The discount rate used to determine the benefit obligations for the Cash Balance Plan and non-qualified defined benefit plans was ~~1.75%~~4.50% for ~~2020~~2023 and ~~2.75%~~4.75% for ~~2019.~~2022. The discount rate used to determine the benefit obligations for the post-retirement health benefit plan was ~~2.25%~~4.75% for ~~2020~~2023 and ~~3.00%~~5.00% for ~~2019.~~2022.

The table below presents the fair values of the Cash Balance Plan's assets as of December 31, ~~2020~~2023 and ~~2019,~~2022, by asset category. See Note 1514 – Fair Value for further information regarding the three levels of fair value measurement.

The Cash Balance Plan's weighted average asset allocation at December 31, ~~2020~~2023 and ~~2019,~~2022, by asset category was as follows:

The Bank contributed $8 million in 2023 and expects to contribute $3 million in 2024 to the Cash Balance Plan. The Bank contributed $2 million in 2023 and expects to contribute de minimis amounts in 2024 to the non-qualified defined benefit plans and postretirement health benefit plan.

The following are the estimated future benefit payments, which reflect expected future service, as appropriate:

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 ~~clearinghouse.~~clearing house. 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:~~

The Bank may have the following types of hedged items:

The Bank may also manage the risk arising from changing market prices or cash flows of investment securities classified as trading or AFS by entering into interest rate exchange agreements that offset the changes in fair value or cash flows of the securities. Hedge relationships that involve ~~trading securities are designated as economic hedges, while hedge relationships that involve~~ AFS securities are designated as fair value hedges. For trading securities that have been designated as an economic hedge, the market value changes of both the trading securities and the associated interest rate exchange agreements are included in other income in the Statements of Income.

Beginning January 1, 2019, the Bank adopted hedge accounting guidance, which, among other things, affects the presentation of gains and losses on derivatives and hedging activities for qualifying hedges, including fair value hedges of AFS securities. For AFS securities that have been hedged and qualify as a fair value hedge, the Bank records the portion of the change in the fair value of the investment related to the risk being hedged in interest income together with the related change in the fair value of the derivative, and records ~~the remainder of the change in the fair value of the investment in AOCI as “Net unrealized gain/(loss) on AFS securities.”~~

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.

The Bank may execute callable swaps in conjunction with the issuance of short-term or adjustable rate consolidated obligations to create funding that is economically equivalent to fixed rate callable bonds. This type of hedge is treated as an economic hedge.

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.

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 Note 1 – Summary of Significant Accounting Policies.

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 December 31, ~~2020~~2023 and ~~2019.~~2022.

For cleared derivatives, the ~~clearinghouse~~clearing house is the Bank’s counterparty. The requirement that the Bank post initial margin and settle variation margin through a clearing agent to the ~~clearinghouse,~~clearing house exposes the Bank to institutional credit risk ~~in the event that the~~if its futures commission merchant, or clearing agent, ~~or the clearinghouse~~ fails to meet its obligations. The use of ~~cleared derivatives, however, mitigates the Bank’s~~a clearing house, or central counterparty, lowers overall credit risk exposure because ~~a central counterparty~~it employs standard valuation and initial and variation margin processes and is ~~substituted for individual counterparties.~~specifically designed to withstand remote but plausible futures commission merchant default credit events. Variation margin ~~and initial margin are posted~~is settled for changes in the value of the portfolio, and initial margin is posted for changes in risk profile of ~~cleared derivatives.~~the portfolio. 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~~clearing house or clearing agent insolvency and under applicable ~~clearinghouse~~clearing house rules upon a non-insolvency-based event of default of the ~~clearinghouse~~clearing house 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.~~clearing house.

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 December 31, ~~2020,~~2023, was ~~$66,~~$333 million, for which the Bank ~~had~~ posted cash collateral of ~~$59~~$338 million 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 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 December 31, ~~2020~~2023 and ~~2019.~~2022. 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

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 December 31, ~~2020~~2023 and ~~2019.~~2022. 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.

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.

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.

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 3three prices are received, the middle price is the median price; if 2two prices are received, the average of the two prices is the median price; and if 1one 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~~dealer price estimates for similar securities,

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 December 31, ~~2020,~~2023, 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.

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~~margin 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~~clearing house 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.~~clearing house. 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.

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.

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 years ended December 31, ~~2020, 2019,~~2023, 2022, and ~~2018.~~2021.

The Bank elected the fair value option for certain financial instruments as follows:

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 recording fair value changes of

only the hedging 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 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 December 31, ~~2020~~2023 and ~~2019:~~2022:

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 December 31, ~~2020,~~2023, 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 ~~$746,722~~$1.2 trillion at December 31, ~~2020,~~2023 and ~~$1,025,895 at December 31, 2019.~~2022. The par value of the Bank’s participation in consolidated obligations was ~~$60,606~~$84.3 billion at December 31, ~~2020,~~2023, and ~~$98,817~~$113.1 billion at December 31, ~~2019.~~2022.

The joint and several liability regulation provides a general framework for addressing the possibility that an FHLBank may be unable to repay its participation in the consolidated obligations for which it is the primary obligor. In accordance with this regulation, the president of each FHLBank is required to provide a quarterly certification that, among other things, the FHLBank will remain capable of making full and timely payment of all its current obligations, including direct obligations.

In addition, the regulation requires that an FHLBank must provide written notice to the Finance Agency if at any time the FHLBank is unable to provide the quarterly certification; projects that it will be unable to fully meet all of its current obligations, including direct obligations, on a timely basis during the quarter; or negotiates or enters into an agreement with another FHLBank for financial assistance to meet its obligations. If an FHLBank gives any one of these notices (other than in a case of a temporary interruption in the FHLBank’s debt servicing operations resulting from an external event such as a natural disaster or a power failure), it must promptly file a consolidated obligations payment plan for Finance Agency approval specifying the measures the FHLBank will undertake to make full and timely payments of all its current obligations.

Notwithstanding any other provisions in the regulation, the regulation provides that the Finance Agency in its discretion may at any time order any FHLBank to make any principal or interest payment due on any consolidated obligation. To the extent an FHLBank makes any payment on any consolidated obligation on behalf of another FHLBank, the paying FHLBank is entitled to reimbursement from the FHLBank that is the primary obligor, which will have a corresponding obligation to reimburse the FHLBank for the payment and associated costs, including interest.

The regulation also provides that the Finance Agency may allocate the outstanding liability of an FHLBank for consolidated obligations among the other FHLBanks on a pro rata basis in proportion to each FHLBank’s participation in all consolidated obligations outstanding or in any other manner it may determine to ensure that the FHLBanks operate in a safe and sound manner.

Off-balance sheet commitments as of December 31, ~~2020~~2023 and ~~2019,~~2022, were as follows:

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 December 31, 2020, the original terms of these standby letters of credit range from 4 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 on the Statements of Condition and amounted to ~~$36~~$57 million and ~~$32~~$34 million at December 31, ~~2020~~2023 and ~~2019,~~2022, respectively. 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~~does not anticipate any credit losses and did not record any additional liability for credit losses on the letters of credit outstanding or other off-balance sheet commitments as of December 31, ~~2020~~2023 and ~~2019.~~2022.

There were no commitments to fund advances at December 31, ~~2020~~2023 and ~~2019.~~2022. Advances funded under advance commitments are fully collateralized at the time of funding.

The Bank had previously entered 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 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.~~operations, or cash flows.

Other commitments and contingencies are discussed in Note 1 – Summary of Significant Accounting Policies, Note 5 – Advances, ~~Note 6 – Mortgage Loans Held for Portfolio,~~ Note 8 – Consolidated Obligations, Note 9 – Affordable Housing Program, Note 11 – Capital, Note 12 – Employee Retirement Plans and Incentive Compensation Plans, and Note 1413 – Derivatives and Hedging Activities.

The Bank may invest in Federal funds sold, interest-bearing deposits, commercial paper, and MBS and executes derivative transactions with members or their affiliates. The Bank purchases MBS through securities brokers or dealers and 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 a member, the Bank may give consideration to the member’s secured credit and the Bank’s advances pricing.

As an additional service to its members, the Bank has in the past entered into offsetting interest rate exchange agreements, acting as an intermediary between exactly offsetting derivative transactions with members and other counterparties. These transactions were executed at market rates.

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~~board of ~~Directors.~~directors.

All transactions with members, nonmembers, and their affiliates are entered into in the ordinary course of business.

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.

During the three months ended December 31, ~~2020,~~2023, 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. For management’s assessment of the Bank’s internal control over financial reporting, refer to “Item 8. Financial Statements and Supplementary Data – Management’s Report on Internal Control Over Financial Reporting.”

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.

Not applicable.

The ~~Board~~board of ~~Directors~~directors (Board) of the Federal Home Loan Bank of San Francisco (Bank) is composed of member directors and nonmember independent directors. Each year the Federal Housing Finance Agency (Finance Agency) designates the total number of director positions for the Bank for the following year. Member director positions are allocated to each of the three states in the Bank’s district. The allocation is based on the number of shares of capital stock required to be held by the members in each of the three states as of December 31 of the preceding calendar year (the record date), with at least one member director position allocated to each state and at least three member director positions allocated to California. Of the eight member director positions designated by the Finance Agency for ~~2020~~2023 and ~~2021,~~2024, one was allocated to Arizona, six were allocated to California, and one was allocated to Nevada. The nonmember independent director positions on the Board must be at least two-fifths of the number of member director positions and at least two of them must be public interest director positions. The Finance Agency designated seven nonmember independent director positions for ~~2020~~2023 and ~~2021,~~2024, two of which were public interest director positions.

The Bank holds elections each year for the director positions with terms ending at yearend, with new terms beginning the following January 1. For member director positions, members located in the relevant states as of the record date are eligible to participate in the election for the state in which they are located. For nonmember independent director positions, all members located in the district as of the record date are eligible to participate in the election. For each director position to be filled, an eligible institution may cast one vote for each share of capital stock it was required to hold as of the record date (according to the requirements of the Bank’s capital plan), except that an eligible institution's votes for each director position to be filled may not exceed the average number of shares of capital stock required to be held by all of the members in that state as of the record date. In the case of an election to fill more than one member director position for a state, an eligible institution may not cumulate or divide its block of eligible votes. Interim vacancies in director positions are filled by the Board. The Board does not solicit proxies, nor are eligible institutions permitted to solicit or use proxies to cast their votes in an election.

Candidates for member director positions are not nominated by the Bank’s Board. As provided for in the Federal Home Loan Bank Act of 1932, as amended (FHLBank Act), member director candidates are nominated by the institutions eligible to participate in the election in the relevant state. Candidates for nonmember independent director positions are nominated by the Board, following consultation with the Bank’s Affordable Housing Advisory Council, and are reviewed by the Finance Agency. The Bank’s Governance Committee performs certain functions that are similar to the functions of a nominating committee with respect to the nomination of nonmember independent directors. If only one individual is nominated by the Board for each open nonmember independent director position, that individual must receive at least 20% of the eligible votes to be declared elected; and if two or more individuals are nominated by the Board for any single open nonmember independent director position, the individual receiving the highest number of votes cast in the election must be declared elected by the Bank.

Each member director must be a citizen of the United States and must be an officer or director of a member of the Bank (located in the state to which the director position has been allocated) that meets all minimum capital requirements established by the member's appropriate Federal banking agency or appropriate state regulator. There are no other eligibility or qualification requirements in the FHLBank Act or the regulations governing the Federal Home Loan Banks (FHLBanks) for member directors. Each nonmember independent director must be a United States citizen and must maintain a principal residence in a state in the Bank’s district (or own or lease a residence in the district and be employed in the district). In addition, the individual may not be an officer of any FHLBank or a director, officer, or employee of any member of the Bank or of any recipient of advances from the Bank. Each nonmember independent director who serves as a public interest director must have more than four years of personal experience in representing consumer or community interests in banking services, credit needs, housing, or financial consumer protection. Each nonmember independent director other than a public interest director must have knowledge of, or experience in, financial management, auditing or accounting, risk management practices, derivatives, project development, organizational management, or law.

The term for each director position is four years (unless a shorter term is assigned by the Finance Agency for staggering purposes), and directors are subject to a limit on the number of consecutive terms they may serve. A director elected to three consecutive full terms on the Board is not eligible for election to a term that begins earlier than two years after the expiration of the third consecutive term. On an annual basis, the Bank’s Board performs a Board assessment that includes consideration of the directors' backgrounds, experience, expertise, Board service, and other factors. Also on an annual basis, each director certifies to the Bank that he or she continues to meet all applicable statutory and regulatory eligibility and qualification requirements. In connection with the election or appointment of a nonmember independent director, the nonmember independent director completes an application form providing information to demonstrate his or her eligibility and qualifications to serve on the Board. As of the filing date of this Form 10-K, nothing has come to the attention of the Board or management to indicate that any of the current Board members do not continue to possess the necessary experience, qualifications, attributes, or skills expected of the directors to serve on the Bank’s Board, as described in each director's biography below.

Information regarding the current directors and executive officers of the Bank is provided below. There are no family relationships among the directors or executive officers of the Bank. The Bank’s Code of Conduct for Senior Officers, which applies to the president, executive vice presidents, certain senior vice presidents, and such other employees serving in a financial reporting oversight role as determined from time to time by the chief financial officer, and any amendments or waivers to the code are disclosed on the Bank’s website located at www.fhlbsf.com.

The charter of the Audit Committee of the Bank’s Board is available on the Bank’s website at www.fhlbsf.com.

F. Daniel Siciliano is a Stanford Law School fellow (CodeX) and ~~was the~~ co-founder of Stanford’s Rock Center for Corporate Governance. He has previously served as professor of the practice of law, faculty director of the Rock Center for Corporate Governance, and associate dean for executive education and special programs at Stanford Law School, Stanford, California. Mr. Siciliano is currently president and CEO of Nikkl, Inc., a fintech start-up that helps individuals and companies access and deploy capital to optimize returns in previously inefficient markets. Mr. Siciliano is the chair of the board of both the American Immigration Council and the Silicon Valley Directors’ Exchange, and serves on the board and as chair of audit for the Latino Corporate Directors Education Foundation. As of 2011, he has been an advisory board member and visiting professor for the Corporate Governance Center and Law School of Pontificia Universidad Católica de Chile. Previously, he was co-founder, chief executive officer, and executive ~~chairman~~chair of LawLogix Group, Inc., a privately held software technology company from 2000 to October 2015. Mr. Siciliano’s current and previous positions as a law professor and director at Stanford’s Rock Center for Corporate Governance, his previous experience as an executive officer of a software technology company; and his involvement in and knowledge of corporate governance, finance, auditing, accounting, internal controls, risk management, financial reporting, and financial management, as indicated by his background, support Mr. Siciliano’s qualifications to serve on the Bank’s Board.

David Adame has served as president and ~~has been its president, its~~ chief executive officer ~~and a director, since 2006. He is also currently on the board~~ of ~~Data Center, Inc.~~Chicanos Por La Causa (CPLC), ~~a bank technology company based in Hutchinson, Kansas, where he serves as chairman~~one of the ~~Audit Committee.~~nation’s largest community development corporations from 2015 until 2023. Mr. ~~Ball previously was a member of the executive committee and board of directors of the American Bankers Association, where he~~Adame served as chairman of the Government Relations Council Administrative Committee and as a member of the Grassroots Committee. He is a past chairman of the Western Bankers Association (formerly California Bankers Association), where he currently serves on the board of directors and is chairman of the Federal Government Relations Committee. He was the lead petitioner for the establishment of the Kinetic Academy Charter School inchief operating

~~Huntington Beach, California, where he currently serves as board vice chair,~~officer and ~~also serves by appointment~~chief financial officer from 2008 to 2015, before taking on the position of president and chief executive officer. Previously, Mr. Adame was vice president of Arizona operations for McCormack Baron & Salazar, responsible for overseeing the firm’s role in Henson Village, a HOPE VI project in Phoenix. He served as senior deputy director of Fannie Mae’s Arizona partnership office from 1997 to 2003. Prior to that, he worked at JPMorgan Chase & Co. (then called Bank One Arizona) for eight years. Mr. Adame previously served on the Bank’s Affordable Housing Advisory Council from 2016 to 2021. Mr. Adame’s experience in representing community interests in housing, health and human services, education, economic development, and advocacy, and his management skills, as indicated by his background, support Mr. Adame’s qualifications to serve as a public interest director on the Bank’s Board.

~~Stephen P. Traynor,~~Teresa Bryce Bazemore, 64, is currently serving as ~~acting~~ president and chief executive officer. HeShe has held the position of ~~acting~~ president and chief executive officer since ~~February 28, 2020,~~March 2021. Prior to joining the Bank, Ms. Bazemore served as the president of Radian Guaranty from July 2008 until her retirement in April 2017, where she oversaw the strategic planning, business development, and ~~has been~~operations of the mortgage insurance business line. Prior to being appointed as the president of Radian Guaranty, Ms. Bazemore served as executive vice president, general counsel, and corporate secretary from October 2006 to July 2008, and added the role of chief ~~banking~~risk officer ~~since March 2017. Previously, Mr. Traynor was senior vice president, member financial services and community investment, from July 2004 to March 2017. He joined the Bank~~of Radian Group in ~~1995 as assistant treasurer and was promoted to senior vice president, sales and marketing, in October 1999.~~February 2007. Before joining the ~~Bank, Mr. Traynor held~~Radian Group, Ms. Bazemore was the vice president, ~~positions at Morgan Stanley & Co.~~general counsel, and ~~at Homestead Savings in~~secretary for Nexstar Financial Corporation from June 2000 to May 2006, and before that she was the ~~areas~~general counsel of the mortgage banking ~~fixed income securities, derivatives,~~line of business at Bank of America from March 1997 to May 2000. Following her retirement from Radian Guaranty, Ms. Bazemore served as a member of the board of directors of FHLBank of Pittsburgh from August 2017 until March 2019, when she relocated to California. In addition, Ms. Bazemore currently is a member of the board of directors of T. Rowe Price Funds where she served as the audit committee chair until October 2023. She is also a member of the board of directors of First Industrial Realty Trust, Inc., and ~~capital markets.~~serves as the audit committee chair since May 3, 2023. She previously served as a member of the board of directors of Chimera Investment Corporation from November 2017 to February 2021. Professional appointments she has held include: Federal Reserve Bank of Philadelphia Economic Advisory Council, Fannie Mae National Advisory Council, and Consumer Advisory Council of the Federal Reserve.

Kwame Fields, ~~45,~~48, is currently serving as senior vice president, chief information security officer, and ~~acting~~ chief diversity officer. HeMr. Fields has ~~served as~~held the positions of chief information security officer since December 2017 and ~~acting~~ chief diversity officer since July ~~2020.~~2021. Previously, he was acting chief diversity officer from July 2020 to July 2021. Mr. Fields has over 25 years of information security and risk management experience across multiple industries. Prior to joining the Bank, he was a vice president at E*TRADE, where he had worked since 2014. He led the technology and security oversight and governance organization and was a principal in the creation of their diversity and inclusion council. Prior to that, Mr. Fields held a number of other management roles and oversight positions with responsibility for managing a wide range of information security, business continuity, information technology risk management, and diversity initiatives. Mr. Fields is a Certified Information Systems Security Professional and a Certified Diversity Professional.

~~Kevin A. Gong, 61,~~Kelly Gear, 51, is currently serving as senior vice president, chief strategy officer. She has held the position of chief strategy officer since January 2022. Ms. Gear joined the Bank in August 2011 as vice president of IT planning and program services. Ms. Gear has over 25 years of management consulting and organizational leadership experience across highly regulated industries, including financial services, pharmaceuticals, and aerospace and defense. Prior to joining the Bank, Ms. Gear served on several executive committees overseeing large-scale global business transformations and strategic initiatives for PricewaterhouseCoopers and Johns Manville, a Berkshire Hathaway company. She is Certified Lean Six Sigma Black Belt and a Certified Diversity Professional.

Anne Segrest McCulloch, 65, is currently serving as executive vice president, chief legal officer, and corporate secretary. She has held the positions of chief legal officer and corporate secretary since November 2021. She provides legal counsel to the Bank’s management and board of directors on legal and regulatory matters affecting the development and execution of the Bank’s business strategies, policies, and practices. She also directs and manages the Bank’s legal staff, outside counsel, and public affairs team. Ms. McCulloch is a seasoned financial services and housing industry executive and regulatory attorney. Prior to joining the Bank, Ms. McCulloch was president and chief ~~corporate securities counsel.~~executive office of Housing Partnership Equity Trust from April 2017 through November 17, 2021. Previously, she held several senior positions in the housing sector, including senior vice president, credit and housing access, for Fannie Mae through March 2017.

Mani Massoomi, 46, is currently serving as executive vice president and chief risk officer. He has held the position of chief ~~corporate securities counsel~~risk officer since ~~April 2005.~~November 2022. He oversees the Bank’s risk management, compliance, model risk, market risk, member and counterparty credit, and related governance frameworks. Previously, Mr. ~~Gong joined~~Massoomi served as senior vice president, enterprise risk officer from August 2019 to October 2022. He has over 20 years of experience in risk management, internal audit, banking, capital markets, and technology. Before joining the Bank, Mr. Massoomi was the head of operational and enterprise risk at SoFi in ~~1997 as vice president~~San Francisco. Prior to his tenure at SoFi, he was the audit executive for the domestic and ~~associate general counsel.~~international asset management and enterprise risk management functions at TIAA. His experience also includes positions at Royal Bank of Canada Capital Markets, Millennium Management Hedge Fund, General Motors, and Morgan Stanley. He ~~has previous experience as~~is a ~~senior attorney with the Office of Thrift Supervision, as an attorney~~Certified Fraud Examiner, Certified Financial Services Auditor, and Certified Investment and Derivatives Auditor, and holds a Certification in ~~private practice, and as an attorney with the SEC in both the Division of Corporation Finance and the Division of Market Regulation.~~Risk Management Assurance.

Maxine Moir, ~~50,~~53, is currently serving as ~~senior~~executive vice president and chief human resources ~~officer.~~officer and head of internal communications. She ~~became~~has held the position of chief human resources officer insince February ~~2020.~~2020, and head of internal communications since November 2022. Previously, Ms. Moir was senior vice president and director of human resources from ~~April 2018~~July 2017 to February 2020. Prior to joining the Bank, Ms. Moir served as director, global human resources business partner, at BlackRock, where she provided human resources support for the iShares business. Her experience also includes 17 years of progressively more complex human resources executive responsibilities at Bank of America, where she led regional and national teams. Ms. Moir holds a Senior Certified Professional credential from the Society of Human Resources Management.

This section provides information on the compensation program of the Federal Home Loan Bank of San Francisco (Bank) for our named executive officers for ~~2020.~~2023. Our named executive officers for ~~2020~~2023 are individuals who served as our principal executive ~~officer(s),~~officer, our principal financial ~~officer(s),~~officer, and our other three most highly compensated executive officers.

Certain members of management assist the Compensation Committee in its responsibilities by providing compensation and performance information regarding our executive officers.

The Bank’s Executive Compensation Philosophy states that total compensation is intended to align the interests of the executives and key employees with the short-term and long-term interests of the Bank; to ensure an appropriate level of competitiveness within the marketplace from which the Bank recruits executive talent; and to encourage the executives and other key employees to remain employed by the Bank. The Bank’s Executive Compensation Philosophy provides that total remuneration (base salary, short- and long-term cash incentives, and retirement benefits) is also intended to motivate executives to deliver exceptional performance without encouraging unnecessary or excessive risk-taking.

The Business and Financial goal for 2023 was comprised of four ~~components: (i)~~ ~~Cyber-security – Strengthen Access Management to Bank Information; (ii)~~ ~~Credit Risk Management – Improve Efficiency and Quality of Underwriting; (iii)~~ ~~Compliance Risk Management – Strengthen Enterprise-Wide Compliance Framework; and (iv)~~ ~~London Interbank Offered Rate (LIBOR) – Execute LIBOR Phase Out Transition Plan (Transition Plan)~~.

The ~~financial performance~~Financial Performance goal component recognized that ~~among the many attributes of Bank membership,~~ an adequate financial return on the private capital that members contribute to the ~~cooperative~~Bank is important to ~~the~~ members as ~~shareholders. The financial performance goal component~~shareholders and was expressed as a target percentage of AROC ~~spread.~~spread, which is the adjusted return on capital less the benchmark yield on capital. The ~~goal targets for this component were based on~~Target Range (100%) level of achievement was set equal to 3.50% to 4.25% or 1.24% to 1.99% above the 2023 base case financial projections in the Bank’s ~~2020-2022~~2023-2025 Strategic ~~Plan. Achievement~~Plan (Plan). The Maximum goal was 5.00%, reflecting the Plan optimistic scenario plus an add-on to increase its stretch.

The Consolidated Supplier Cyber Risk Management goal component was designed to enhance capabilities to better equip the Bank to ~~continue its focus~~monitor and evaluate cyber related risks, including enabling management to respond more efficiently to supplier cyber breaches and reduce the potential negative impact on ~~enterprise-level operating efficiency~~Bank operations. The Consolidated Supplier Cyber Risk Management goal component was an initiative goal and ~~effectiveness~~consisted of three distinct independent goal Targets. Each goal Target was equally weighted, and achievement was measured based on the number of goal Targets fully completed in 2023.

The weightings of the Bank’s corporate goals were approved by the Board and were designed to appropriately focus senior management on accomplishing the Bank’s mission and strategic plan. See “Executive Incentive Plan” below for a discussion of the relative weights given to corporate goals and individual goals for each component of the Executive Incentive Plan (EIP) for ~~2020~~2023 for the named executive officers.

The Compensation Committee recognized that comparing our compensation practices to a group of other financial services and banking firms that are similar in total assets presents some challenges because of the special nature of our business and our cooperative ownership structure. We believe that the executive roles of our named executive officers are somewhat comparable to those in the comparison group, although the Bank may have a narrower business focus.

Our named executive officers are required to have the same depth of knowledge and experience that ~~is required by~~ comparable financial services and banking firms require, but, unlike some of these comparable companies with multiple lines of business, our lines of business are limited. For example, in certain areas of the Bank our focus is more like that of a specific subsidiary, division, or business unit of comparable financial institutions with multiple lines of business.

For purposes of developing comparative compensation information, the companies with comparable positions were financial services and banking firms with similar business sophistication and complexity. In supporting compensation decisions, the Compensation Committee uses and considers compensation information about the comparable positions at these companies. Each element of compensation may vary somewhat above or below the

Since 2014, the Compensation Committee has engaged McLagan Partners, Inc. (McLagan), a leading global management consulting firm providing consulting and benchmarking services for the financial services industry, for

the purpose of providing the Compensation Committee with annual competitive market compensation reference and comparative information. McLagan does not currently provide any other services to the Bank. In ~~2020,~~2023, McLagan assessed the Bank’s competitive market position with respect to its executive compensation program. McLagan used market data collected from its compensation surveys and publicly available proxy data. McLagan used standardized peer group data from three groups: commercial banks with incumbents located in metro San Francisco and metro New York; the other FHLBanks; and public proxy peers with assets between $10 billion and $20 billion. When comparing Bank executives ~~using~~with those at commercial banks, the closest comparable roles/realistic employment opportunities were used. When comparing Bank executives to executive roles at other FHLBanks, overall functional heads were used. When using the $10 billion to $20 billion peer group for comparison, actual functional roles or salary rank was used. The Compensation Committee used the McLagan market data as a reference point for evaluating ~~2020~~2023 executive compensation levels and to check, evaluate, and compare the reasonableness and appropriateness of the levels of compensation provided to our senior executives.

We believe that a balanced approach in delivering short- and long-term cash incentive compensation is most appropriate for the Bank because we believe our executives should be focused on achievement of both short- and long-term goals. Consistent with the Bank’s three-year strategic plans and its Executive Compensation Philosophy, long-term cash incentive compensation helps provide a competitive total cash compensation package and enhances the Bank’s ability to attract and retain key executives.

The Bank’s short-term cash incentive compensation component of the EIP rewards the named executive officers and other executive officers for the Bank’s achievement of its annual corporate goals and performance targets and for the officer's achievement of his or her individual goals. The Bank’s long-term cash incentive compensation component of the EIP ties long-term cash incentive rewards to the sustainability of goal achievements over a long-term ~~period, rather than to the achievement of goals over a prospective three-year~~ period. This structure is designed to promote the Bank’s long-term health by deterring behavior or inappropriate risk-taking that could lead to material financial loss at the Bank. This approach for long-term compensation is consistent with developing practices to better recognize risk outcomes in incentive-based compensation decision making and ~~to better~~ balance risk and reward.

Base salary compensation is a key component of the Bank’s executive compensation program and helps the Bank successfully attract and retain executive talent. Base salary for the named executive officers is based on a combination of factors, including comparative salary information from industry salary surveys that include ~~the~~ financial institutions in the Bank’s peer groups. Other factors include the named executive officer's relevant experience and accomplishments and level of responsibility at the Bank and perceived market competition for executives with comparable levels of experience. The Board considers any base salary adjustments for the named executive officers, ateffective as of the beginning of each year, based on the individual's performance and contributions to the Bank’s achievements or to help more appropriately align total remuneration with comparable positions in the financial services marketplace. ~~For~~Base salary adjustments for the named executive officers ~~2021 base salaries remained~~are subject to review and non-objection from the ~~same relative to 2020 base salaries.~~Finance Agency. For the base salaries of the current named executive officers, see the discussion in

~~Beginning with 2017, the~~The Board adopted the EIP, which provides for an annual total incentive award (Annual Award) for a one-year performance period. Fifty percent (50%) of the Annual Award is earned and vested after the last day of the one-year performance period (Year-End Award). The remaining fifty percent (50%) is deferred for a three-year period (Deferred Award). The EIP replaces the Bank’s traditional short-term and long-term executive incentive plans as part of the Bank’s overall compensation program and effectively combines short-term and long-term executive incentive programs into one omnibus incentive plan for senior executive officers.

maintaining the safety and soundness of the Bank. The EIP is a cash-based incentive plan that provides award opportunities based on achievement of performance goals and the satisfaction of certain qualifiers.

For the ~~2020~~2023 performance goals, the following table shows the goal weights for the senior executive officers eligible to participate in the EIP (including the named executive officers and the chief risk officer).

The achievement levels in the EIP for ~~2020~~2023 were designed to reward senior executive officers for achievement of the Bank’s corporate goals and objectives as described above, based on a ~~target~~Target level of achievement for all corporate goals and the officer's individual goal(s). The ~~exceeds and far exceeds~~Maximum achievement ~~levels were~~level was designed to reward senior executive officers when the Bank and the individual officer achievements far exceed the ~~target~~Target level. The ~~exceeds achievement level is an optimistic achievement level relative to the target level, and the far exceeds~~Maximum achievement level is the most optimistic achievement level based on reasonable business, market, and economic assumptions and conditions.

The performance goal measures and plan design were intended to appropriately motivate and reward the Bank’s senior executive officers based on the total achievement of all goals, ~~taking into account~~considering each senior executive officer’s role in the Bank’s performance. Setting the performance goal measure ranges based on a percentage of base salary for ~~2020~~

The total incentive awards under the EIP, i.e., the Annual Awards, are determined by multiplying the percentage of achievement for each goal by the respective performance goal weights to arrive at each participating officer's total weighted achievement level. Each participating officer's total weighted achievement level is then used to determine each participating officer's cash incentive compensation award under the EIP.

The following table shows the total incentive award ~~opportunities~~levels for the Annual Awards and the allocation of the Annual Award opportunities between the Year-End Awards and the Deferred Awards for ~~2020~~2023 under the EIP for the eligible senior executive officers.

Vesting of any award is subject to the participant receiving a satisfactory performance rating and being actively employed on the last day of the relevant performance period, except in certain cases, such as termination because of

The following are the performance qualifiers for ~~2020~~2023 for any awards under the EIP: (i) no submission of material information to a regulatory or a reporting agency is significantly past due; (ii) the Bank makes sufficient progress, as determined by the Board, in the timely remediation of significant examination, monitoring, and other supervisory findings; (iii) no material risk management deficiency exists at the Bank; (iv) no operational errors or omissions result in material revisions to the financial results, information submitted to the Finance Agency, or data used to determine incentive payouts; and (v) the Bank has sufficient capital to pay dividends and the ability to repurchase or redeem capital stock.

The EIP provides that awards may be reduced, eliminated, or forfeited in certain circumstances. Under the EIP, the Board may reduce or eliminate any award not yet paid if the Board finds that a serious, material safety and soundness issue or a serious, material risk management deficiency exists at the Bank, or if: (i) errors or omissions result in material revisions to the Bank’s financial results, information submitted to a regulatory or a reporting agency, or information used to determine incentive compensation payouts; (ii) information submitted to a regulatory or a reporting agency is untimely; or, (iii) the Bank does not make appropriate progress, as determined by the Board, in the timely remediation of examination, monitoring, or other supervisory findings and matters requiring attention.

In addition, if the Bank realizes actual losses during the Deferral Performance Period, or other measures or aspects of performance related to the ~~annual~~Annual Performance Period or Deferral Performance Period are realized that would have caused a reduction in the amount of the final award (i.e., the amount of the earned and vested Annual Award and Deferred Award) calculated for the Annual Performance Period or Deferral Performance Period, then the remaining amount of the final award to be paid at the end of the Deferral Performance Period may be reduced to reflect this additional information. Furthermore, if a participant breaches the terms of a non-solicitation and non-disclosure agreement with the Bank executed as a condition to participating in the EIP, all of the participant’s unpaid vested and unvested awards may be forfeited.

Finally, if during the most recent examination of the Bank by the Finance Agency, the Finance Agency identifies an unsafe or unsound practice or condition that is material to the financial operation of the Bank within the participant’s area(s) of responsibility, and such unsafe or unsound practice or condition is not subsequently resolved to the satisfaction of the Board, then all or a portion of a participant’s unpaid award (vested and unvested) may be forfeited as determined in the sole discretion of the Board. Any future payments for a vested award will cease, and the Bank will have no further obligation to make such payments.

The amount of any award will be determined at the sole discretion of the Board. If the qualifiers are satisfied, an annual compounding interest rate of 6% is applied to any Deferred Awards. Awards, if any, under the EIP are to be paid in accordance with the terms of the EIP following Board approval and completion of any required ~~regulatory~~Finance Agency review.

The amount of any earned and vested Annual Award or Deferred Award may be modified at the Board’s discretion to account for performance that is not captured in the relevant performance goals and qualifiers. The Board, in its discretion, may also consider “Extraordinary Occurrences” when assessing performance results and determining any of the awards. “Extraordinary Occurrences” mean those events that, in the opinion and discretion of the Board, are outside the significant influence of the participant or the Bank and are likely to have a significant unanticipated effect, whether positive or negative, on the Bank’s operating or financial results. The EIP for 2023 also provides that the Board may apply a “multiplier” to an individual’s Annual Award to account for individual performance not captured in his or her individual performance goals, positive or negative, but not to result in an award level below Minimum or above Maximum.

For additional information regarding awards granted under the EIP for ~~2020,~~2023, see the discussion in “Compensation Tables – Narrative to Summary Compensation Table and Grants of Non-Equity Incentive Plan-Based Awards Table – Non-Equity Incentive Compensation and Non-Equity Long-Term Incentive Payouts,” which discussion is herein incorporated by reference.

The Bank’s Savings 401(k) Plan (Savings Plan) is a tax-qualified defined contribution 401(k) retirement benefit plan that is available to all eligible employees, including the named executive officers. Each eligible employee may contribute between 2% and 75% of base salary to the Savings Plan. For employees who have completed at least six months of service, the Bank matches the employee's contribution up to 6% of base salary. Employees are always fully vested in employer matching contributions.

For ~~2020,~~2023, the maximum annual before-tax employee contribution to the Savings Plan was limited to ~~$19,500~~$22,500 (or ~~$26,000~~$30,000 for participants age 50 and over), and not more than ~~$285,000~~$330,000 of an employee’s annual compensation could be ~~taken into account~~considered in computing the employee's benefits under the Savings Plan.

~~The Bank began offering benefits under the Cash Balance Plan on January 1, 1996.~~ The Cash Balance Plan is a tax-qualified defined benefit ~~pension~~ plan that covers employees who have completed a minimum of six months of service, including the named executive officers. Each year, eligible employees accrue benefits equal to 6% of their total annual compensation (which includes base salary and short-term cash incentive compensation) plus interest equal to 6% of their account balances accrued through the prior year, referred to as the annual benefit component of the Cash Balance Plan. For ~~2020,~~2023, the Internal Revenue Code (IRC) limited the amount of annual compensation that could be considered in calculating an employee's benefits under the Cash Balance Plan to ~~$285,000.~~$330,000.

The benefits under the Cash Balance Plan annual benefit component are fully vested after an employee completes three years of ~~service.~~service, or when the participant reaches age 65. Vested amounts are generally payable in a lump sum or as an annuity when the employee leaves the Bank.

The Benefit Equalization Plan (BEP) is an unfunded and non-tax-qualified plan that is designed to restore retirement benefits lost ~~under the Savings Plan and Cash Balance Plan~~ because of compensation and benefits limitations imposed on the Savings Plan and the Cash Balance Plan under the IRC.

Annual compensation is determined based on the definition of compensation provided in the respective tax-qualified plans. Participation in the BEP is available to all employees, including the named executive officers, whose benefits under the tax-qualified plans are restricted because of the IRC limitations discussed above.

Under the ~~New~~ BEP, a participant's Supplemental Cash Balance Benefits are payable in the form of a lump sum, single life annuity, 50% survivor annuity, or 75% survivor annuity upon termination of employment, a set date or age after termination of employment, becoming disabled after termination of employment, or death. Under the ~~New~~ BEP, a participant's Supplemental BEP Savings Benefits are payable in a lump sum or two to ten annual installments, and payments may commence at termination of employment, retirement, disability, death, or a specific date after termination of employment. For participants and former participants in the SERP (including the named executive officers), Supplemental BEP Savings Benefits may be payable in equal installments for a period of ten years, or a lump sum payment of one-half of the account balance with the remaining half paid pursuant to a schedule of equal annual installment payments for a period of ten years. In addition, a participant's elections with respect to the time and form of benefit payments are irrevocable unless the election is made 12 months prior to the scheduled distribution date and the new scheduled distribution date is delayed at least five years. If a participant does not elect the time or form of payment, his or her distribution will be a lump sum at termination of employment.

Under the Original BEP, a participant's Supplemental Cash Balance Benefits are paid in a single life annuity commencing at the later of age 65 or termination of employment, unless the participant elects an optional time and form of payment. The optional forms of payment are a lump sum or any other optional form then permitted under the Cash Balance Plan. Under the Original BEP, a participant's Supplemental BEP Savings Benefits are payable in a lump sum or two to ten installments upon retirement, termination of employment, death, or a specific date after termination of employment. Also, a participant can change the time and form of payment for the Supplemental Cash Balance Benefit at any time, but if the election provides for payment prior to age 65, then payment will not be made until 12 months after the date the Bank receives the new written election unless the participant elects an immediate lump sum distribution subject to forfeiture of 10% of the lump sum payment. Similarly, a participant may elect at any time to change the payout schedule of one or more of the participant's Supplemental BEP Savings Benefit accounts, provided that no payments will be made according to the new election until 12 months after the date the Bank receives the new written election, unless the participant elects an immediate lump sum distribution subject to forfeiture of 10% of the lump sum payment.

Our Deferred Compensation Plan (DCP) is an unfunded and non-tax-qualified deferred compensation plan, consisting of three components for employees: (1) employee deferral of current compensation; (2) make-up matching contributions that would have been made by the Bank under the Savings Plan had the base salary compensation not been deferred; and (3) make-up ~~pension~~retirement benefits that would have been earned under the Cash Balance Plan had any amount of total annual compensation (base salary and short-term cash incentive compensation) not been deferred. See discussion in “Compensation Tables – Narrative to Non-Qualified Deferred Compensation Table.”

Under the ~~New~~ DCP, participants' make-up Cash Balance Plan benefits are payable in the form of a lump sum, single life annuity, 50% survivor annuity, or 75% survivor annuity upon termination of employment, a set date or age after termination of employment, becoming disabled after termination of employment, or death. If a participant does not elect a time or form of payment, the benefit is paid in a lump sum upon termination of employment. ~~However, if the participant elects to receive his or her distribution at death and survives to the later~~

A participant's deferred compensation and the Bank’s make-up Savings Plan matching contributions credited under the ~~New~~ DCP (including earnings on such amounts) are payable in a lump sum or two to ten annual installments, and payments may commence at termination of employment, retirement, disability, death, or a specific date no earlier than one year from the end of the deferral period. Participant elections ~~with respect to~~regarding the time and form of ~~Savings Plan-related benefit payments from the New DCP~~payment are generally irrevocable unless ~~the election is made 12 months prior to the scheduled distribution date and the new scheduled distribution date is delayed at least five years.~~certain conditions are met. If a participant does not elect the time or form of payment, his or her distribution will be a lump sum at termination of employment.

Effective January 1, 2003, the Bank began providing a Supplemental Executive Retirement Plan (SERP) to the Bank’s eligible senior executive officers, including the named executive ~~officers.~~officers (other than Mr. Amato). This plan is an unfunded and non-tax-qualified retirement benefit plan that provides a cash ~~balance style~~balance-style benefit ~~to the Bank’s senior executive officers (including the named executive officers) that is~~ in addition to the tax-qualified benefits under the Cash Balance Plan.

The SERP supplements the Cash Balance Plan benefits to provide a competitive postretirement compensation package that is intended to help the Bank attract and retain key senior executive officers who are critical to the success of the Bank.

Benefits under the SERP are based on total annual compensation (base salary and short-term cash incentive compensation, including any deferrals under the Savings Plan, BEP, or DCP) and years of credited service as presented in the table ~~below for years prior to 2018.~~below.

Participants accrue annual interest equal to 6% of balances accrued through the prior yearend. In addition, SERP benefits are limited to the extent that any participant's total ~~pension~~ retirement income exceeds fifty percent (50%) of the participant's final average pay. Final average pay is defined as a participant's highest average annual compensation during any three consecutive years ~~during which he or she is a participant~~of participation in the SERP. Annual benefits accrued under the SERP for any plan year ~~that commenced before~~commencing after January 1, 2018, will vest at the earlier of ~~three years after they are earned,~~ five years of employment with the Bank from the date the senior executive officer became a participant in the SERP, or when the participant reaches age 62.

The normal form and time of payment of benefits under the SERP is a lump sum upon the earlier of termination of employment, disability, or death. Upon a timely election, a participant may elect optional forms of payment to commence after termination of employment as specified in the ~~plan.~~SERP.

If a participant's employment is terminated for cause (as defined in the plan), only the unvested portion of the participant’s SERP account would be forfeited.

The Bank provides to all employees, including the named executive officers, health, dental, and vision insurance and an employee assistance program for the employees and their spouses/partners and children, for which the Bank pays approximately 80% of the premiums and the employee pays approximately 20%. In addition, the Bank provides long-term disability and basic life insurance coverage to all employees at no cost to the employees.

The Bank makes available limited retiree ~~health care~~healthcare benefits for eligible employees who retire from the Bank. To be classified as a Bank retiree eligible to enroll for retiree ~~health care~~healthcare benefits, a Bank employee must be 55 years of age with a minimum of 10 years of Bank service on the date that his or her employment with the Bank terminates.

On occasion, the Bank may pay for resort activities for employees, including our named executive officers, in connection with business-related meetings; and in some cases, the Bank may pay the expenses for spouses/partners accompanying employees to these meetings or other Bank-sponsored events. Perquisites are valued at the actual amounts paid to the provider of the perquisites.

The Compensation and Human Resources Committee (Compensation Committee) acts as the compensation committee on behalf of the Bank’s ~~Board of Directors.~~Board. In fulfilling its oversight responsibilities, the Compensation Committee reviewed and discussed with management the Compensation Discussion and Analysis set forth in this annual report on Form 10-K.

Based on the Compensation Committee's review of the Compensation Discussion and Analysis and the discussions the Compensation Committee has had with management, the Compensation Committee recommended to the Board ~~of Directors~~ that the Compensation Discussion and Analysis be included in this annual report on Form 10-K, which will be filed with the Securities and Exchange Commission.

All employees of the Bank are “at will” employees, including the named executive officers. The named executive officers may resign at any time, and the Bank may terminate their employment at any time ~~for any reason or no reason,~~ with or without cause and with or without ~~notice.~~notice, subject to contractual obligations, if any.

The ~~2020~~2023 annual base salaries as of December 31, ~~2020,~~2023, for the ~~2020~~2023 named executive officers ~~serving~~who served as of December 31, ~~2020,~~2023, were as follows: ~~Stephen P. Traynor, $470,000; Kenneth C. Miller, $495,000; Suzanne Titus-Johnson, $450,000; Elena Andreadakis, $470,000; and~~Teresa Bryce Bazemore, $964,600; Joseph Amato, $500,000; Anne Segrest McCulloch, $498,750; Greg Ward, ~~$415,000. For 2021, base salaries for these officers did not change.~~$530,000; and Tony Wong, $437,000.

The Senior Officers' Policy provides severance benefits ~~in the event that~~if the employee's employment is terminated because the employee's job or position is eliminated or because the job or position is

~~The Senior Officers' Policy provides that in~~In the event a Corporate Senior Officer is involuntarily terminated without “Cause” under certain circumstances or voluntarily terminated with “Good Reason” (as defined by the Senior Officers' Policy) in connection with a Change in Control, upon the Bank’s timely receipt of a separation agreement and release, ~~these executive officers~~the officer will receive severance pay in a lump sum equal to one year of base salary.

In addition, ~~under the Senior Officers' Policy,~~ in the event of a qualifying termination in connection with a Change in Control, each Corporate Senior Officer will be entitled to continued health and life insurance coverage under the Bank’s group health and life insurance policies, at the Bank’s expense, for a period of 12 months immediately following the effective date of separation. However, the Bank will immediately cease paying such premiums prior to the end of the 12-month

period if the executive officer accepts employment with another employer that provides comparable benefits in terms of cost and scope of coverage during the 12-month period. If the Bank is not in compliance with any applicable regulatory capital or regulatory leverage requirement or if any of the payments required to be made to a Corporate Senior Officer pursuant to the Senior Officers' Policy would cause the Bank to fall below such applicable regulatory requirements, such payment will be delayed until the Bank achieves compliance with its regulatory capital requirements.

The Board believes that the level of severance benefits for each named executive officer who is a Senior Corporate Officer under the Senior Officers’ Policy is appropriate because it is reasonable to believe that finding a comparable position at another institution at a comparable compensation level could take up to one year, and possibly longer, depending on the economic environment at the time, and that the distraction of this uncertainty may have a detrimental impact on the executive's performance. If the employment of any of the ~~2020~~2023 named executive officers who are eligible under the Senior Officers’ Policy currently serving had been terminated on December 31, ~~2020,~~2023, because the employee's job or position had been eliminated or because the job or position had been substantially modified so that the employee was no longer qualified or could not perform the revised job, the approximate value of the severance benefits payable to the executive (subject to Finance Agency ~~regulatory~~ review) applying the Senior Officers’ Policy would have been as follows: ~~Stephen P. Traynor, $473,568; Kenneth C. Miller, $498,583; Suzanne Titus-Johnson, $452,428; Elena Andreadakis, $290,130; and~~Anne Segrest McCulloch, $115,288; Greg Ward, ~~$195,641.~~$341,621; and Tony Wong, $437,332.

The employment agreement ~~see “Item 11. Executive Compensation~~ ~~– Narrative~~provides for a severance payment equal to ~~Summary Compensation Table~~(i) two times Ms. Bazemore’s Salary (as defined in the employment agreement); and ~~Grants~~(ii) two times Ms. Bazemore’s Annual Incentive Amounts (as defined in the employment agreement) and continued benefits if Ms. Bazemore’s employment is terminated under certain circumstances in connection with a Change in Control (as defined in the employment agreement) of ~~Non-Equity Incentive Plan-Based Awards Table– At Will Employees – Employment Agreement~~”the Bank. Had Ms. Bazemore’s employment been terminated in connection with a Change in Control on December 31, 2023, the approximate value of the benefits payable to Ms. Bazemore would have been $2,808,526, excluding amounts of any outplacement services.

Ms. Bazemore will also be eligible to participate in the Bank’s ~~Annual Report on Form 10-K~~various executive incentive and employee benefit plans, including the Bank’s Executive Incentive Plan (EIP) and Supplemental Executive Retirement Plan (SERP). Under Ms. Bazemore’s employment agreement, the amount of Bank annual contribution credits under the SERP will be as follows: 25% of total annual compensation for less than 5 years of credited service and 35% of total annual compensation for 5 or more years of credited service. Under Ms. Bazemore’s employment agreement, the Bank will provide reimbursement of relocation costs up to $250,000.

The employment agreement also provides that if Ms. Bazemore’s employment is terminated due to the expiration of the initial three-year term and the Board decided not to extend her employment for any additional term, Ms. Bazemore would be entitled to all Accrued Benefits (as defined in her employment agreement) and to receive a severance payment equal to twelve (12) months of base salary and a pro-rata portion of the EIP award for the year ~~ended~~in which the termination occurs; and all Deferred Awards will be treated as fully vested (Severance Payment).

The employment agreement further provides that if Ms. Bazemore was terminated without Cause (as defined in her employment agreement) or for Good Reason (as defined in her employment agreement) at any time, Ms. Bazemore would be entitled to receive severance payments equal to the Severance Payment and all Accrued Benefits. Had Ms. Bazemore been terminated under these circumstances on December 31, ~~2019.~~

As previously reported on Form 8-K filed on August 3, 2023, on July 28, 2023, the Board determined not to renew Ms. Bazemore’s employment agreement at the end of the original three-year term on March 14, 2024.

The Board has formed a search committee of the Board, as previously disclosed, to conduct a search for Ms. Bazemore’s successor and to evaluate and propose qualified candidates for approval to the Board. As previously reported on Form 8-K on February 29, 2024, the Board has identified an external candidate and is in the final stages of the recruitment process, which includes non-objection by the Finance Agency and other requirements and conditions.

Due to the ongoing recruitment process, on February 29, 2024, the Bank and Ms. Bazemore entered into an amendment to her employment agreement (Amendment No. 1) to mutually extend the term of her employment to June 30, 2024.

The initial employment agreement also provided that Mr. Amato acknowledges and agrees that notwithstanding any terms to the contrary in ~~an involuntary termination (other than a performance-based termination~~the Bank’s EIP, SERP, and Corporate Senior Officer Severance Policy, such plans and policy would not apply to him in connection with his employment under the employment contract; and the Special Award is in lieu of any and all payments or ~~for “cause”), death, or long-term disability, all accrued~~rights that might otherwise have been available to him under such plans and ~~unpaid portions of the special award will be payable as soon as administratively feasible.~~ policy.

On ~~February 23,~~July 7, 2021, the Bank ~~announced~~entered into an amendment to Mr. Amato’s employment agreement (Amendment No. 1) to extend the ~~appointment~~term of ~~Teresa Bryce Bazemore~~his employment to March 31, 2023, and, effective May 13, 2021, to serve as the Bank’s ~~president~~chief financial officer (CFO) for the extended term (Second Term). In connection with the extension of Mr. Amato’s term of employment, Mr. Amato served for one Automatic One Month Extension Term. Amendment No. 1 provides an option to mutually elect to extend his Second Term for another year, until March 31, 2024 (Mutual Extension).

Amendment No. 1 provided that Mr. Amato will be eligible for a second special award of up to $354,835 in recognition of his service as the Bank’s CFO (Second Special Award). The first 50% of the Second Special Award ($177,418) was paid in 2022. The second 50% of the Second Special Award ($177,417) was paid in 2023.

Additionally, Amendment No. 1 provided that beginning with the Second Term, Mr. Amato will also be eligible to participate in the Bank’s EIP. For the Second Term, Mr. Amato continued to acknowledge that the SERP and ~~chief executive officer~~the Corporate Senior Officer Severance Policy will not apply to him during the Second Term or any Mutual Extension.

Amendment No. 1 also provided that, upon the expiration of the Second Term or any Mutual Extension, Mr. Amato shall be entitled to receive a severance payment equal to the EIP Annual Award (defined in the EIP to include both the short-term incentive component and the long-term incentive component) as set forth in the Bank’s EIP, which will be treated as vested, on a pro rata basis for the performance period of the year when the expiration of his employment agreement occurs, and any Deferred Awards (as defined in the EIP) will be treated as fully vested, all of which is to be paid out as and when due in accordance with the EIP (Severance Payment).

On October 19, 2022, in accordance with the Mutual Extension, the Bank and Mr. Amato entered into an amendment to his employment agreement to mutually extend the term of his employment following the expiration of the Second Term to March 31, 2024 (Amendment No. 2).

Under the terms of Amendment No. 2, as amended by Amendment No. 3, in recognition of Mr. Amato’s extended service as the Bank’s Executive Vice President and ~~upon this~~CFO, Mr. Amato will be eligible for a fully discretionary “Third Special Award” of up to an amount equal to the actual foregone benefits under the Bank’s SERP and Cash Balance Plan (and related Benefit Equalization Plan) for the 2020 to 2025 plan years reduced by any payments made under the Second Special Award (as defined in Amendment No. 1) and the Third Special Award (as defined in Amendment No.2) and further reduced by any benefits under the Bank’s Cash Balance Plan (and related Benefit Equalization Plan) that become fully vested in recognition of his service as CFO and based on his performance in connection with his duties and responsibilities as the Bank’s principal financial officer.

If Mr. Amato’s employment is terminated at any time by the Bank without Cause or if he terminates his employment for Good Reason, then Mr. Amato shall be entitled to receive an amount equal to his remaining salary, as well as all Accrued Benefits. In addition, Mr. Amato will be entitled to any earned but unpaid amount of the fully discretionary Third Special Award on a pro rata basis for the period up to the date the termination occurs and shall be entitled to receive the Severance Payment (but if Mr. ~~Traynor will~~Amato is otherwise entitled to any EIP Awards by operation of the EIP and receives such amount(s), then Mr. Amato would receive the greater of such EIP Awards or the EIP Awards calculated as Severance Payment, but in no ~~longer serve as acting president and chief executive officer. See “Part II – Item 9B. Other Information.”~~event shall Mr. Amato receive both). Had Mr. Amato been terminated under these circumstances on December 31, 2023, the approximate value of the benefits, payable to Mr. Amato, excluding amounts of any Accrued Benefits, would have been $59,495.

For ~~2020, Mr. Traynor,~~2023, Ms. Bazemore, as ~~acting~~ president and chief executive officer, was awarded an Annual Award under the EIP of ~~$449,600. Mr. Traynor’s~~$874,300. Ms. Bazemore’s award was based on the Bank’s ~~2020~~2023 overall achievement level of ~~124.5%~~127.0%, which ~~was~~ comprised of the following achievement levels for the Bank’s four corporate goals: ~~128.8%~~110.3% for the Business and Financial goal; 149.95% for the Risk Management goal; ~~111.5% for the Franchise Enhancement goal; and 150%~~116.1% for the Community Investment goal; and ~~125%~~150% for the ~~D&I~~DEI and People goal, along with ~~his 2020~~her 2023 achievement level for ~~his~~her individual goal.

Based on the achievement levels for the Bank’s four corporate goals and the achievement levels of the other ~~2020~~2023 named executive officers for their respective individual goals, the following Annual Awards under the EIP for ~~2020~~2023 were awarded: ~~Kenneth C. Miller, $478,800; Suzanne Titus-Johnson, $430,800; Elena Andreadakis, $454,600; and~~Joseph Amato, $378,200; Greg Ward, ~~$398,900.~~$400,900; Anne Segrest McCulloch, $377,300; and Tony Wong, $330,500.

The total Annual Award for each named executive officer represents the amount for their Year-End Award and the amount for their Deferred Award, each of which is fifty percent (50%) of their Annual Award approved by the Board under the EIP for ~~2020.~~2021. The payment of ~~the~~ their Deferred Award is deferred for the three-year performance period and is subject to applicable requirements and qualifiers as described in “Compensation Discussion and Analysis – Elements of Our Executive Compensation Program – Executive Incentive Plan,” which discussion is herein incorporated by reference.

The following table shows the two components of the total Annual Awards for the named executive officers approved by the Board under the EIP for ~~2020.~~2023.

In reviewing the Bank’s ~~2020~~2023 performance, the Board recognized ~~the acting president’s leadership and~~ the other named executive officers' management in addressing risk management, business, financial, operational efficiency, and regulatory challenges and issues, while achieving performance goals and objectives at a very high ~~level~~level. The Board recognized Ms. Bazemore’s achievements and ~~during a period of a global pandemic. With respect to Mr. Traynor~~her efforts, in particular, ~~the Board recognized Mr. Traynor’s achievements~~ with respect to his efforts in establishing a fully remote workforce in response to the pandemic and ensuring the Bank’s stability and accessibility for members during a period of capital markets uncertainty. Additionally, Mr. Traynor ledher leading the Bank through ~~impacts related to external environmental factors, such as wildfires, community~~a continued period of economic uncertainty and ~~school closures, and social justice issues.~~

For the accomplishments relating to the Business and Financial goal for 2023 discussed above, management received an overall achievement level between Target and Maximum, or 110.3%.

With respect to the second part of the member business goal component of the Franchise Enhancement goal, which focused management on fostering relationships with members and enhancing the Bank’s role as a valuable resource and business partner, the Bank’s relationship managers and specialists had 149 significant interactions with members and the Bank hosted 19 member engagement events during 2020.

The following table provides the present value of accumulated ~~pension~~retirement and pension-related benefits payable as of December 31, ~~2020,~~2023, to each of the named executive officers upon the normal retirement age of 65 under the Bank’s qualified and non-qualified defined benefit ~~pension~~ plans.

For information regarding the plans in the table, see the discussion in our Compensation Discussion and Analysis under “Cash Balance Plan, ~~and the Financial Institutions Retirement Fund,~~” “Benefit Equalization Plan,” “Deferred Compensation Plan,” and “Supplemental Executive Retirement Plan.” The valuation method and material assumptions used in quantifying the present value of the current accrued benefits in the table are consistent with the assumptions used in the Bank’s financial statements. See the discussion in “Item 8. Financial Statements and Supplementary Data – Note 12 – Employee Retirement Plans and Incentive Compensation Plans.”

The following table reflects the non-qualified Deferred Compensation Plan balances as of December 31, ~~2020,~~2023, for the named executive officers.

The Non-Qualified Deferred Compensation Table presents information about our DCP, which is designed to allow Bank officers to defer up to 100% of base salary and short- and long-term incentive cash compensation awards, as applicable. Directors may also participate in the DCP to defer up to 100% of their director fees.

The Bank’s matching contribution under the Savings Plan is calculated based on an officer's base salary after deferring base salary compensation under the DCP. As a result, an officer who defers base salary compensation forgoes the Bank’s matching contribution on the portion of compensation that is deferred. To compensate for this, the Bank makes a contribution credit to the officer's DCP balance to restore the benefit under the Savings Plan that would otherwise be lost as a result of deferring base salary compensation, and these “make up matching contributions” are also reflected in the table.

Participants may direct the investments of deferred amounts into core mutual funds or into a brokerage account. Participants may change these investment directions at any time. All investment earnings accumulate to the benefit

of the participants on a tax-deferred basis. Brokerage fees relating to purchases and sales are charged against the value of the participant's deferred balance in the plan. The Bank pays all set-up and annual account administration fees.

Income taxes are deferred until a participant receives payment of funds from the plan. Participants may elect payouts in a lump sum or over a payout period from 2 to 10 years. A participant may change any previously elected payment schedule by submitting a written election. Any written election to change the payment schedule must be made at least 12 months prior to the original payout date, and the new payout date, in most cases, must be at least 5 years from the original payout date.

For the year ended December 31, ~~2020,~~2023, the ratio of the Bank’s ~~chief executive officer’s~~CEO’s total compensation for ~~2020~~2023 to the Bank’s median of the annual total compensation for ~~2020~~2023 of all our employees, except the ~~chief executive officer~~CEO (Median Employee) is ~~5.66:~~9.34:1. For total compensation for the Bank’s ~~acting chief executive officer~~CEO and the Median Employee, the Bank used the same elements of compensation presented in the Summary Compensation Table and calculated total compensation in the same manner total compensation is calculated for the Summary Compensation Table for both ~~employees, which includes among other things,~~employees. The calculation also included amounts attributable to ~~the~~ change in pension value, which will vary among employees based upon their tenure at the Bank. For ~~2020,~~2023, the total annualized compensation of the Median Employee was ~~$237,241,~~$255,057, and the total annualized compensation of the CEO ~~as reported in the Total Compensation column in the Summary Compensation Table,~~ was ~~$1,342,035.~~$2,381,029.

The Bank identified the Median Employee by calculating the ~~2020~~2023 total compensation (using the same elements of compensation in the Summary Compensation Table and in the same manner total compensation is calculated for the Summary Compensation Table) for each of the employees who were employed by the Bank on December 31, ~~2020,~~2023 and ranking the ~~2020~~2023 total compensation for all such employees (a list of ~~304~~318 employees) from lowest to highest, excluding the ~~chief executive officer.~~CEO. The employees in the calculation included all full-time and part-time employees, and the Bank annualized compensation for all such employees.

We provide our directors with compensation for the performance of their duties as members of the Board ~~of Directors~~ and for the amount of time spent on the Bank’s business.

The 2023 Board ~~of Directors~~ Compensation and Expense Reimbursement Policy ~~for 2020 (2020~~(2023 Directors Compensation Policy) provided the directors with compensation for the performance of their duties as members of the Board ~~of Directors~~ and the amount of time spent on official Bank business, as set forth below.

Under the ~~2020~~2023 Directors Compensation Policy, service fees for the above positions were paid for serving as a director during and between regularly scheduled meetings of the Board. The maximum annual service fee was prorated and paid with the meeting fee, if applicable, at the conclusion of each two-month service period on the Board ~~of Directors (monthend~~(month end February, April, June, August, October, and December). In addition, each director received a fee of ~~$10,000~~$11,000 for attending any portion of five of the six regularly scheduled two-day Board meetings, subject to the annual maximum of ~~$50,000.~~$55,000.

The ~~2020~~2023 Directors Compensation Policy provided that a director ~~could~~may receive a meeting fee for participation in one regularly scheduled Board meeting by ~~telephone.~~telephone or virtually. No other fee was paid for participation in meetings of the Board or Board committees by telephone or virtually or participation in other Bank or FHLBank System activities. The president of the Bank was authorized to interpret the ~~2020~~2023 Directors Compensation Policy, as necessary, according to applicable statutory, regulatory, and policy limits.

Under the ~~2020~~2023 Directors Compensation Policy, the final prorated service fee was to be withheld if a director did not attend (in person, by telephone, or virtually) at least 75% of all regular and special meetings of the Board and the director's assigned committees for the year, or if the Board determined a director had consistently demonstrated a lack of engagement and participation in meetings attended. In addition, the meeting fee attendance requirement provided that a director would receive a meeting fee only if ~~he or she~~the director attended the regular Board meeting, as well as at least one assigned committee meeting during the ~~Board's~~Board’s regularly scheduled two-day meetings.

~~Under the 2020 Directors Compensation Policy, the~~The Bank reimbursed directors for necessary and reasonable travel, subsistence, and other related expenses incurred in connection with the performance of their official duties, which may have included participation in meetings or activities for which no fee was paid.

The ~~2020~~2023 Directors Compensation Policy also provides that directors may receive up to an additional $1,500 in compensation in the form of expense reimbursement for meals and travel for a spouse or significant other. The ~~2020~~2023 Directors Compensation Policy also ~~provides that directors are~~ provided the opportunity to participate in the Bank’s Charitable Contribution Matching Gift Program.

The Board adopted a ~~Board of Directors~~ Compensation and Expense Reimbursement Policy for ~~2021,~~2024, which is substantially similar to the ~~2020~~2023 Directors Compensation Policy, with no increases in director fees for ~~2020.~~

The following table sets forth information about those stockholders that are beneficial owners of more than 5% of the Federal Home Loan Bank of San Francisco’s outstanding capital stock, including mandatorily redeemable capital stock, as of February ~~28, 2021.~~29, 2024.

The following table sets forth information about those members (or their holding companies) with officers or directors serving as directors of the Federal Home Loan Bank of San Francisco as of February ~~28, 2021.~~29, 2024.

Capital stock ownership is a prerequisite to transacting any member business with the Federal Home Loan Bank of San Francisco (Bank). The members, former members, and certain other nonmembers own all the capital stock of the Bank, the majority of the directors of the Bank are officers or directors of members, and the Bank conducts its advances and purchased mortgage loan business almost exclusively with members or member successors. The Bank extends credit in the ordinary course of business to members with officers or directors who serve as directors of the Bank and to members owning more than 5% of the Bank’s capital stock (5% shareholders) on market terms that are no more favorable to them than the terms of comparable transactions with other members. In addition, the Bank may transact short-term investments, Federal funds sold, and mortgage-backed securities (MBS) with members and their affiliates that have officers or directors who serve as directors of the Bank or with 5% shareholders. All investments are market rate transactions, and all MBS are purchased through securities brokers or dealers. The Bank may also be the primary obligor on debt issued in the form of Federal Home Loan Bank (FHLBank) System consolidated obligations using underwriters and dealers, and may enter into interest rate exchange agreements with counterparties, that may be affiliates of Bank members with officers or directors who serve as directors of the Bank or affiliates of members and nonmembers owning more than 5% of the Bank’s capital stock, which are transactions in the ordinary course of the Bank’s business and are market rate transactions.

The FHLBank Act requires the Bank to establish an Affordable Housing Program (AHP). The Bank provides subsidies to members, which use the funds to assist in the purchase, construction, or rehabilitation of housing for households earning up to 80% of the median income for the area in which they live. Subsidies may be in the form of direct grants or below-market interest rate advances. Only Bank members, along with their nonmember AHP project sponsors, may submit AHP applications. All AHP subsidies are made in the ordinary course of business.

The FHLBank Act also requires the Bank to establish a Community Investment Program and authorizes the Bank to offer additional Community Investment Cash Advance (CICA) programs. Under these programs, the Bank provides subsidies in the form of grants and below-market interest rate advances or standby letters of credit to members for community lending and economic development projects. Only Bank members may submit applications for these credit program subsidies. All CICA subsidies are made in the ordinary course of business.

In instances where an AHP or CICA transaction involves a member that owns more than 5% of the Bank’s capital stock (or an affiliate of such a member), a member with an officer or director who is a director of the Bank, or an entity with an executive officer, director, controlling shareholder, or general partner who serves as a director of the Bank (and that has a direct or indirect interest in the subsidy), the transaction is subject to the same eligibility and other program criteria and requirements as all other comparable transactions and to the regulations governing the operations of the relevant program.

The Bank may also use members that have officers or directors who serve as directors of the Bank or 5% shareholders or their affiliates as securities custodians and derivative dealer counterparties. These financial relationships are conducted in the ordinary course of business on terms and conditions similar to those that would be available for comparable services if provided by unaffiliated entities.

The Bank does not have a written policy to have the ~~Board~~board of ~~Directors~~directors (Board) review, approve, or ratify transactions with members that are outside the ordinary course of business because such transactions rarely occur. However, it has been the Bank’s practice to report to the Board all transactions between the Bank and its members that are outside the ordinary course of business, and, on a case-by-case basis, seek Board approval or ratification.

Under the rules of the Securities and Exchange Commission (SEC), the Bank is required to identify directors who are independent, and members of the Board’s Audit Committee and Compensation and Human Resources Committee and any committee performing similar functions to a nominating committee who are not independent, using the independence definition of a national securities exchange or automated quotation system. The Bank’s capital stock is not listed on a national securities exchange or automated quotation system, and the Bank’s ~~Board~~board of ~~Directors~~directors is not subject to the independence requirement of any such exchange or automated quotation system. The Bank is subject to the independence standards for directors serving on the ~~Bank’s~~ Audit Committee set forth in the rules of the Federal Housing Finance Agency (Finance Agency), and looks to the Finance ~~Agency~~Agency’s independence standards to determine independence for all directors, whether or not they serve on the Audit Committee. In addition, for purposes of compliance with the SEC’s disclosure rules only, the Board has evaluated director independence using the definition of independence articulated in the rules of the National Association of Securities Dealers Automated Quotations (NASDAQ).

In addition to the independence rules and standards above, the FHLBanks are required to comply with the rules issued by the SEC under Section 10A(m) of the Securities Exchange Act of 1934, which includes a substantive independence rule prohibiting a director from being a member of the Audit Committee if he or she, other than in his or her capacity as a member of the Audit Committee, the Bank’s ~~Board~~board of ~~Directors,~~directors, or any other Board committee, accepts any consulting, advisory, or other compensatory fee from the Bank or is an “affiliated person” of the Bank as defined by the SEC rules (the person controls, is controlled by, or is under common control with the Bank).

The Finance Agency director independence rule provides that a director is sufficiently independent to serve as a member of the ~~Bank’s~~ Audit Committee if that director does not have a disqualifying relationship with the Bank or its management that would interfere with the exercise of that director’s independent judgment. Disqualifying relationships under the Finance ~~Agency~~Agency’s independence standards include, but are not limited to: (i) employment with the Bank at any time during the last five years; (ii) acceptance of compensation from the Bank other than for service as a director; (iii) being a consultant, advisor, promoter, underwriter, or legal counsel for the Bank at any time within the last five years; ~~and~~or (iv) being an immediate family member of an individual who is or who has been a Bank executive officer within the past five years.

Although the Finance Agency’s independence standard only applies by regulation to members of the ~~Bank’s~~ Audit Committee, the Bank’s Board looks to this standard for purposes of determining independence of all Bank directors.

The independence standard imposed on the Audit Committee under the Finance Agency regulations takes into account the fact that the Bank was created by Congress; the Bank has a cooperative ownership structure; the Bank is statutorily required to have member directors who are either an officer or director of a Bank member; the Bank was created to provide its members with products and services; and the Bank’s ~~Board~~board of ~~Directors~~directors is statutorily required to administer the affairs of the Bank fairly and impartially and without discrimination in favor of or against any member borrower. The Finance Agency’s independence standards do not include as a disqualifying relationship any business relationships between a director’s member institution and the Bank. Consistent with the rule, the Bank’s Board does not believe that the statutorily prescribed business relationships between a director’s member institution and the Bank interfere with the director’s exercise of his or her independent judgment. The national securities exchanges’ independence ~~definition,~~definitions, including those of the NASDAQ, do not generally take into account the cooperative nature of the Bank. Accordingly, the Bank’s Board believes that the appropriate standard for measuring director independence is the Finance Agency’s independence standards.

Applying the Finance Agency independence standards, the Board has determined that all directors who served in ~~2020~~2023 were, and all current directors are, independent.

In addition, the NASDAQ rules set forth seven relationships that automatically preclude a determination of director independence. Among other things, a director is not considered to be independent if the director is, or has a family member who is, a partner in, or a controlling shareholder or an executive officer of, any organization to which the Bank made, or from which the Bank received, payments for property or services in the current or any of the past three fiscal years that exceed 5% of the recipient’s consolidated gross revenues for that year, or $200,000 (the payment and revenue relationship test), whichever is more.

Using the NASDAQ rules, the Board affirmatively determined that in its opinion Mr. Adame, Ms. ~~Gay,~~Akhlaghi, Ms. ~~Guzman, Mr. Luikart,~~Archuleta, Mr. Siciliano, Mr. ~~Syphax,~~Tavares, and Mr. ~~Wasley,~~Trujillo, who are current nonmember directors and are not employed by and do not serve as a director of any member institution, are independent and, to the extent they served as nonmember directors in ~~2020,~~2023, were independent in ~~2020~~2023 under the NASDAQ rules because they have no relationship with the Bank that would interfere with their exercise of independent judgment in carrying out their responsibilities. Using the NASDAQ rules, the following former non-member director who served in 2023 was considered independent by the Board because she had no relationship with the Bank that would interfere with her exercise of independent judgment in carrying out her responsibilities as a director: Ms. Guzman.

Using the NASDAQ rules, the Board affirmatively determined that in its opinion the following current member directors are independent and, to the extent they served as member directors in ~~2020,~~2023, were independent in ~~2020~~2023 under the NASDAQ rules because they have no relationship with the Bank that would interfere with their exercise of independent judgment in carrying out their responsibilities as directors: Mr. Ball, ~~Mr. Domingo,~~Ms. Fonseca, Mr. Hendricksen, Ms. Lagomarsino, ~~Ms. Miyashiro,~~Mr. Liu, Ms. Opp, and Mr. ~~Riley, and Ms. Varela.~~Riley.

In making these determinations, the Board recognized that during their directorships the member directors were employed by or served as a director of a member institution that may have conducted business with the Bank in the ordinary course of the Bank’s and the member institution’s respective businesses. The Board determined that these ordinary course customer relationships with the member institutions that had or have member directors on the Board would not interfere with the member directors’ exercise of independent judgment or their independence from management under the NASDAQ rules. This determination is based on the fact that the Bank was created by Congress, the Bank has a cooperative ownership structure, the Bank is statutorily required to have member directors who are either an officer or director of a Bank member, the Bank was created to provide its members with products and services, and the Board is statutorily required to administer the affairs of the Bank fairly and impartially and without discrimination in favor of or against any member borrower.

The Board has an Audit Committee. Under the Finance Agency’s independence standards and NASDAQ rules, all Audit Committee members who served in ~~2020~~2023 were independent and all current Audit Committee members are independent.

All Audit Committee members who served in ~~2020~~2023 and all current Audit Committee members met the substantive independence rules under Section 10A(m) of the 1934 Act.

The Board has a Compensation and Human Resources Committee. Using the Finance Agency’s director independence standards, ~~and under~~ the ~~NASDAQ rules, all~~following Compensation and Human Resources Committee ~~members~~members: Ms. Akhlaghi, Ms. Fonseca, Mr. Hendricksen, and Ms. Opp who served in ~~2020~~2023 were independent, and all current Compensation and Human Resources Committee members are independent.

Under the NASDAQ rules, to be considered an independent compensation committee member, a director must meet the definition under the general NASDAQ independence rules, and the board of directors must affirmatively determine the independence of any director who will serve on the company’s compensation committee and must consider all factors specifically relevant to determining whether such a director has a relationship to the company that is material to that director’s ability to be independent from management in connection with the duties of a compensation committee member. Relevant factors must include the source of compensation of directors, including any consulting, advisory, or other compensatory fee paid by the company to the directors and whether the director is affiliated with the company.

Using the NASDAQ rules, the following director who served on the Compensation and Human Resources Committee in 2023 was not considered independent because his organization exceeded the limits of the payment and revenue relationship test in 2020: Mr. Murray.

The following table sets forth the aggregate fees billed to the Federal Home Loan Bank of San Francisco (Bank) for the years ended December 31, ~~2020~~2023 and ~~2019,~~2022, by its external accounting firm, PricewaterhouseCoopers LLP.

In accordance with the Securities and Exchange Commission rules and regulations implementing the Securities Exchange Act of 1934 (SEC rules), all audit, audit-related, and non-audit services proposed to be performed by the Bank’s independent auditor must be pre-approved by the Audit Committee to ensure that they do not impair the auditor’s independence. The SEC rules require that proposed services either be specifically pre-approved on a case-by-case basis (specific pre-approval services) or be pre-approved without case-by-case review under policies and procedures established by the Audit Committee that are detailed as to the particular service and do not delegate Audit Committee responsibilities to management (general pre-approval services).

The Bank’s Audit Committee has adopted a policy, the Independent Auditor Services Pre-Approval Policy (Policy), setting forth the procedures and conditions pursuant to which services proposed to be performed by the Bank’s independent auditor may be approved. Under the Policy, unless services to be provided by the independent auditor have received general pre-approval, they require specific pre-approval by the Audit Committee. Any proposed

The Policy is designed to be detailed as to the particular services that may be provided by the independent auditor and to provide for the Audit Committee to be informed of each service provided by the independent auditor. The Policy is also intended to ensure that the Audit Committee does not delegate to management its responsibilities in connection with the approval of services to be provided by the independent auditor.

For both specific pre-approval and general pre-approval of services, the Audit Committee considers whether the proposed services are consistent with the SEC rules on auditor independence and whether the provision of the services by the independent auditor would impair the independent auditor’s independence. The Audit Committee also considers (i) whether the independent auditor is positioned to provide effective and efficient services, given its familiarity with the Bank’s business, management, culture, accounting systems, risk profile, and other factors, and (ii) whether having the independent auditor provide the service may enhance the Bank’s ability to manage or control risk or improve audit quality. The Audit Committee also considers the total amounts of fees for audit, audit-related, and non-audit services for a given calendar year in deciding whether to pre-approve any such services and may choose to determine, for a particular calendar year, the appropriate ratio between the total amount of fees for audit and audit-related services and the total amount of fees for permissible non-audit services.

The Audit Committee annually reviews and pre-approves the services that may be provided by the independent auditor during a given calendar year without specific pre-approval from the Audit Committee.

The Audit Committee has delegated to its chair and vice chair individually specific pre-approval authority for additional audit or audit-related services to be provided by the independent auditor, provided that the estimated fee for each type of proposed service does not exceed $50,000 and the total aggregated fees for all services pre-approved by each individual under this delegated authority do not exceed $100,000 in a calendar year. The chair or vice chair, as the case may be, is required to report to the Audit Committee any services pre-approved under the delegated authority.

In ~~2020~~2023 and ~~2019,~~2022, 100% of the audit-related fees and all other fees were pre-approved by the Audit Committee.


						Advances
					Advances									Advances
(Dollars in millions)	(Dollars in millions)	Total Number of Institutions	Capital Stock Outstanding			Number of Institutions	Par Value of Advances Outstanding		(Dollars in millions)	Total Number of Institutions	Capital Stock Outstanding	Number of Institutions	Par Value of Advances Outstanding
Commercial banks	Commercial banks	144	$	1,333		106	$	23,143
Savings institutions	Savings institutions	11	88			8	825
Credit unions	Credit unions	153	743			74	5,084
Industrial loan companies	Industrial loan companies	2	2			2	42
Insurance companies	Insurance companies	22	112			10	1,063
Community development financial institutions	Community development financial institutions	7	6			7	103
Total member institutions	Total member institutions	339	2,284			207	30,260
Housing associates eligible to borrow	Housing associates eligible to borrow	2	—			—	—
Other nonmember institutions(1)	Other nonmember institutions(1)	3	2			2	78
Total	Total	344	$	2,286		209	$	30,338


(Dollars in millions)	2020			2019			2018			2017			2016
Selected Statement of Condition Data at Yearend
Total Assets	$	68,634		$	106,842		$	109,326		$	123,385		$	91,941
Advances	30,976			65,374			73,434			77,382			49,845
Mortgage Loans Held for Portfolio, Net	1,935			3,314			3,066			2,076			826
Investments(1)	35,228			37,637			32,381			43,570			40,986
Consolidated Obligations:(2)
Bonds	44,408			71,372			72,276			85,063			50,224
Discount Notes	16,213			27,376			29,182			30,440			33,506
Mandatorily Redeemable Capital Stock	2			138			227			309			457
Capital Stock —Class B —Putable	2,284			3,000			2,949			3,243			2,370
Unrestricted Retained Earnings	2,919			2,754			2,699			2,670			888
Restricted Retained Earnings	761			713			647			575			2,168
Accumulated Other Comprehensive Income/(Loss) (AOCI)	230			274			235			318			111
Total Capital	6,194			6,741			6,530			6,806			5,537
Selected Operating Results for the Year
Net Interest Income	$	505		$	531		$	601		$	567		$	471
Provision for/(Reversal of) Credit Losses	26			—			—			—			—
Other Income/(Loss)	59			21			(11)			78			485
Other Expense	165			187			187			224			158
Assessments	38			38			43			45			86
Net Income/(Loss)	$	335		$	327		$	360		$	376		$	712
Selected Other Data for the Year
Net Interest Margin(3)	0.54		%	0.50		%	0.55		%	0.55		%	0.52		%
Operating Expenses as a Percent of Average Assets	0.16			0.15			0.13			0.14			0.16
Return on Average Assets	0.36			0.31			0.32			0.36			0.77
Return on Average Equity	5.32			4.92			5.42			6.21			13.63
Annualized Dividend Rate	5.53			7.00			8.51			7.50			12.33
Dividend Payout Ratio(4)	47.39			63.19			72.97			49.59			39.98
Average Equity to Average Assets Ratio	6.69			6.21			5.98			5.82			5.68
Selected Other Data at Yearend
Regulatory Capital Ratio(5)	8.69			6.18			5.97			5.51			6.40
Duration Gap (in months)	1			1			1			1			1


	2023		2022		2021





















Selected Other Data for the Year Ended December 31
Net Interest Margin(1)	0.71	%	0.66	%	0.91	%

Return on Average Assets	0.47		0.37		0.49
Return on Average Equity	7.60		4.67		4.46
Annualized Dividend Rate	7.49		6.30		5.74
Dividend Payout Ratio(2)	45.05		50.17		46.95
Average Equity to Average Assets Ratio	6.23		8.02		11.00
Selected Other Data at Yearend
Regulatory Capital Ratio(3)	8.02		6.41		10.89
Duration Gap (in months)	1.0		0.9		0.4


Average Balance Sheets
Average Balance Sheets
Average Balance Sheets
		2020							2019




(Dollars in millions)
(Dollars in millions)
(Dollars in millions)	(Dollars in millions)	Average Balance			Interest Income/ Expense		Average Rate		Average Balance			Interest Income/ Expense		Average Rate
Assets	Assets
Assets
Assets
Interest-earning assets:
Interest-earning assets:
Interest-earning assets:	Interest-earning assets:
Interest-bearing deposits	Interest-bearing deposits	$	3,077		$	15	0.49	%	$	2,307		$	51	2.23	%
Interest-bearing deposits
Interest-bearing deposits
Securities purchased under agreements to resell
Securities purchased under agreements to resell
Securities purchased under agreements to resell	Securities purchased under agreements to resell	4,745			20		0.43		7,770			174		2.24
Federal funds sold	Federal funds sold	4,672			17		0.37		4,856			114		2.35
Federal funds sold
Federal funds sold
Trading securities:
Trading securities:
Trading securities:	Trading securities:
MBS	MBS	3			—		3.13		4			—		3.74
MBS
MBS
Other investments
Other investments
Other investments	Other investments	3,979			83		2.09		601			15		2.42
AFS securities:(1)	AFS securities:(1)
MBS(2)(3)		10,686			213		1.99		8,471			354		4.17
AFS securities:(1)
AFS securities:(1)
MBS(2)(3)(4)
MBS(2)(3)(4)
MBS(2)(3)(4)
Other investments(3)	Other investments(3)	4,845			30		0.61		1,972			40		2.05
Held-to-maturity (HTM) securities:(1)
Other investments(3)
Other investments(3)
HTM securities:
HTM securities:
HTM securities:
MBS	MBS	6,226			109		1.75		9,345			269		2.87
Other investments		—			—		—		45			1		2.79
Mortgage loans held for portfolio		2,807			34		1.19		3,277			87		2.64
Advances(4)		52,834			598		1.13		67,604			1,677		2.48
MBS
MBS

Mortgage loans held for portfolio(5)

Mortgage loans held for portfolio(5)

Mortgage loans held for portfolio(5)
Advances(3)(6)
Advances(3)(6)
Advances(3)(6)
Loans to other FHLBanks
Loans to other FHLBanks
Loans to other FHLBanks	Loans to other FHLBanks	—			—		—		6			—		2.95
Total interest-earning assets	Total interest-earning assets	93,874			1,119		1.19		106,258			2,782		2.62
Other assets(4)(5)		317			—				876			—
Total interest-earning assets
Total interest-earning assets
Other assets(7)
Other assets(7)
Other assets(7)
Total Assets
Total Assets
Total Assets	Total Assets	$	94,191		$	1,119			$	107,134		$	2,782
Liabilities and Capital	Liabilities and Capital
Liabilities and Capital
Liabilities and Capital
Interest-bearing liabilities:
Interest-bearing liabilities:
Interest-bearing liabilities:	Interest-bearing liabilities:
Consolidated obligations:	Consolidated obligations:
Consolidated obligations:
Consolidated obligations:
Bonds(3)
Bonds(3)
Bonds(3)	Bonds(3)	$	64,144		$	437	0.68	%	$	72,255		$	1,631	2.26	%
Discount notes	Discount notes	22,137			169		0.76		26,714			599		2.24
Discount notes
Discount notes
Deposits and other borrowings
Deposits and other borrowings
Deposits and other borrowings	Deposits and other borrowings	828			3		0.29		322			7		2.13
Mandatorily redeemable capital stock	Mandatorily redeemable capital stock	62			5		8.90		176			14		7.90
Mandatorily redeemable capital stock
Mandatorily redeemable capital stock
Borrowings from other FHLBanks
Borrowings from other FHLBanks
Borrowings from other FHLBanks	Borrowings from other FHLBanks	1			—		8.41		7			—		2.27
Total interest-bearing liabilities	Total interest-bearing liabilities	87,172			614		0.70		99,474			2,251		2.26
Other liabilities(4)		718			—				1,008			—
Total interest-bearing liabilities
Total interest-bearing liabilities
Other liabilities(7)
Other liabilities(7)
Other liabilities(7)
Total Liabilities
Total Liabilities
Total Liabilities	Total Liabilities	87,890			614				100,482			2,251
Total Capital	Total Capital	6,301			—				6,652			—
Total Capital
Total Capital
Total Liabilities and Capital
Total Liabilities and Capital
Total Liabilities and Capital	Total Liabilities and Capital	$	94,191		$	614			$	107,134		$	2,251
Net Interest Income	Net Interest Income				$	505						$	531
Net Interest Spread(6)							0.49	%						0.36	%
Net Interest Margin(7)							0.54	%						0.50	%
Net Interest Income
Net Interest Income
Net Interest Spread(8)
Net Interest Spread(8)
Net Interest Spread(8)
Net Interest Margin(9)
Net Interest Margin(9)
Net Interest Margin(9)
Interest-earning Assets/Interest-bearing Liabilities	Interest-earning Assets/Interest-bearing Liabilities	107.69		%					106.82		%
Interest-earning Assets/Interest-bearing Liabilities
Interest-earning Assets/Interest-bearing Liabilities



	2023
(In millions)	Advances		AFS Securities		Consolidated Obligation Bonds		Total
(Amortization)/accretion of hedging activities	$	(25)	$	(102)	$	—	$	(127)
Net gain/(loss) on derivatives and hedged items	(215)		1		(5)		(219)
Net interest settlements on derivatives	632		456		(571)		517
Price alignment amount(10)	(45)		(34)		—		(79)
Total effect on net interest income	$	347	$	321	$	(576)	$	92


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


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


Yearend	Par Value (In millions)
2020	$	746,722
2019	1,025,895
2018	1,031,617
2017	1,034,260
2016	989,311


Change in Net Interest Income: Rate/Volume Analysis 2020 Compared to 2019

	Increase/ (Decrease)		Attributable to Changes in(1)
(In millions)			Average Volume		Average Rate
Interest-earning assets:
Interest-bearing deposits	$	(36)	$	13	$	(49)
Securities purchased under agreements to resell	(154)		(50)		(104)
Federal funds sold	(97)		(4)		(93)
Trading securities: Other investments	68		70		(2)

AFS securities:
MBS(2)	(141)		76		(217)
Other investments(2)	(10)		32		(42)
HTM securities:
MBS	(160)		(74)		(86)
Other investments	(1)		(1)		—
Mortgage loans held for portfolio	(53)		(11)		(42)
Advances(2)	(1,079)		(309)		(770)
Total interest-earning assets	(1,663)		(258)		(1,405)
Interest-bearing liabilities:
Consolidated obligations:
Bonds(2)	(1,194)		(165)		(1,029)
Discount notes	(430)		(89)		(341)
Deposits and other borrowings	(4)		5		(9)
Mandatorily redeemable capital stock	(9)		(10)		1
Total interest-bearing liabilities	(1,637)		(259)		(1,378)
Net interest income	$	(26)	$	1	$	(27)

						Net Gain/(Loss) on Advances and Consolidated Obligation Bonds Held Under Fair Value Option
(In millions)

(In millions)

(In millions)	(In millions)	2020		2019		2023	2022
Advances	Advances	$	85	$	116
Consolidated obligation bonds	Consolidated obligation bonds	—		(15)
Total	Total	$	85	$	101


Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives and Hedging Activities 2020 Compared to 2019


(In millions)	2020						2019
	Gain/(Loss) on		Income/ (Expense) on				Gain/(Loss) on		Income/ (Expense) on
Hedged Item	Economic Hedges		Economic Hedges		Total		Economic Hedges		Economic Hedges		Total
Advances:
Elected for fair value option	$	(67)	$	(37)	$	(104)	$	(108)	$	17	$	(91)
Not elected for fair value option	27		(28)		(1)		13		(14)		(1)
Consolidated obligation bonds:
Elected for fair value option	—		2		2		12		(4)		8
Not elected for fair value option	(1)		9		8		45		(16)		29
Consolidated obligation discount notes:
Not elected for fair value option	(1)		21		20		(46)		2		(44)
MBS:
Not elected for fair value option	—		—		—		(1)		—		(1)
Non-MBS investments:
Not elected for fair value option	(31)		(50)		(81)		4		(1)		3
Mortgage delivery commitment:
Not elected for fair value option	3		—		3		4		—		4
Price alignment amount(1)	1		—		1		1		—		1
Total	$	(69)	$	(83)	$	(152)	$	(76)	$	(16)	$	(92)


LIBOR-Indexed Financial Instruments
(In millions)
December 31, 2020
	2021		2022 and Thereafter		Total
Assets indexed to LIBOR:
Par value of advances by redemption term	$	100	$	260	$	360
Unpaid principal balance of investment securities by contractual maturity

MBS(1)	—		5,744		5,744

Notional amount of receive leg LIBOR interest rate swaps by termination date
Cleared	6,852		2,054		8,906
Uncleared	213		528		741
Total	$	7,165	$	8,586	$	15,751

Liabilities indexed to LIBOR:
Par value of consolidated obligation bonds by contractual maturity	$	6,798	$	—	$	6,798
Notional amount of pay leg LIBOR interest rate swaps by termination date
Cleared	1,523		687		2,210
Uncleared	238		130		368
Total	$	8,559	$	817	$	9,376


December 31, 2019
	2020		2021		2022 and Thereafter		Total
Assets indexed to LIBOR:
Par value of advances by redemption term	$	10,860	$	11,300	$	260	$	22,420
Unpaid principal balance of investment securities by contractual maturity

MBS(1)	—		—		7,533		7,533

Notional amount of receive leg LIBOR interest rate swaps by termination date
Cleared	8,448		2,094		2,793		13,335
Uncleared	760		368		1,101		2,229
Total	$	20,068	$	13,762	$	11,687	$	45,517

Liabilities indexed to LIBOR:
Par value of consolidated obligation bonds by contractual maturity	$	22,030	$	165	$	—	$	22,195
Notional amount of pay leg LIBOR interest rate swaps by termination date
Cleared	19,062		3,920		272		23,254
Uncleared	1,360		1,137		420		2,917
Total	$	42,452	$	5,222	$	692	$	48,366


Variable Rate Consolidated Obligation Bonds by Interest Rate Index
(In millions)	Amount Outstanding
Interest Rate Index	2020		2019
LIBOR	$	6,798	$	22,195
SOFR	30,915		38,022

Total par value	$	37,713	$	60,217

										Advances Portfolio by Product Type
		2020				2019
(Dollar in millions)		Par Value		Percentage of Total Par Value		Par Value		Percentage of Total Par Value
Adjustable – LIBOR		$	250	1	%	$	8,260	13	%
Adjustable – LIBOR, callable at borrower’s option		—		—		13,950		21

		2023

		2023

		2023																		2022
(Dollars in millions)										(Dollars in millions)		Par Value					Percentage of Total Par Value					Par Value					Percentage of Total Par Value

Adjustable – SOFR

Adjustable – SOFR

Adjustable – SOFR	Adjustable – SOFR	—		—		5		—		$	2,055			2		2		%			2,690				3		3	%
Adjustable – SOFR, callable at borrower’s option	Adjustable – SOFR, callable at borrower’s option	1,100		4		—		—
Adjustable – other indices		—		—		700		1

Subtotal adjustable rate advances

Subtotal adjustable rate advances

Subtotal adjustable rate advances	Subtotal adjustable rate advances	1,350		5		22,915		35
Fixed	Fixed	6,108		20		18,784		29
Fixed – amortizing	Fixed – amortizing	126		—		234		1
Fixed – with PPS(1)	Fixed – with PPS(1)	1,687		5		3,283		5
Fixed – with FPS(1)	Fixed – with FPS(1)	19,919		66		14,059		22
Fixed – with caps and PPS(1)		110		—		210		—
Fixed – callable at borrower’s option		—		—		74		—

Fixed – putable at Bank’s option		200		1		—		—
Fixed – putable at Bank’s option with PPS(1)		20		—		20		—

Fixed – callable at borrower’s option with FPS(1)

Fixed – callable at borrower’s option with FPS(1)

Fixed – callable at borrower’s option with FPS(1)

Fixed – putable at Bank’s option with FPS(1)

Fixed – putable at Bank’s option with FPS(1)

Fixed – putable at Bank’s option with FPS(1)

Subtotal fixed rate advances
Subtotal fixed rate advances
Subtotal fixed rate advances	Subtotal fixed rate advances	28,170		92		36,664		57
Daily variable rate	Daily variable rate	818		3		5,509		8
Total par value	Total par value	$	30,338	100	%	$	65,088	100	%	Total par value		$	61,710		100			100	%				$	90,117		100		100	%


LIBOR-Indexed Advances by Redemption Term
(In millions)	Par Value
Redemption Term	2020		2019
Due in 2020	$	—	$	10,860
Due in 2021	100		11,300
Due in 2022 and thereafter(1)	260		260
Total LIBOR-Indexed Advances(2)	$	360	$	22,420


Non-MBS Investments: Interest Rate Payment Terms

(In millions)	2020		2019

Fair value of fixed rate trading securities	$	4,257	$	1,762



Amortized cost of AFS securities	4,980		5,281


Selected Market Interest Rates

Market Instrument	2020		2019
Federal Reserve target range for overnight Federal funds	0.00-0.25	%	1.50-1.75	%
Secured Overnight Financing Rate	0.07		1.55
3-month Treasury bill	0.06		1.55
3-month LIBOR	0.24		1.91
2-year Treasury note	0.12		1.57
5-year Treasury note	0.36		1.69

						MBS Investments: Interest Rate Payment Terms
(In millions)

(In millions)

(In millions)	(In millions)	2020		2019		2023	2022
Fair value of trading securities:	Fair value of trading securities:

Adjustable rate	Adjustable rate	$	3	$	4

Adjustable rate

Adjustable rate
Total trading securities	Total trading securities	$	3	$	4
Amortized cost of AFS securities:	Amortized cost of AFS securities:
Fixed rate
Fixed rate
Fixed rate	Fixed rate	$	9,050	$	8,156
Adjustable rate	Adjustable rate	1,426		1,769
Total AFS securities	Total AFS securities	$	10,476	$	9,925
Amortized cost of HTM securities:	Amortized cost of HTM securities:
Fixed rate	Fixed rate	$	1,013	$	2,082
Fixed rate
Fixed rate
Adjustable rate	Adjustable rate	4,068		5,464
Total HTM securities	Total HTM securities	$	5,081	$	7,546


Mortgage Loan Balances by MPF Product Type

(In millions)	2020		2019
MPF Plus	$	139	$	177
MPF Original	1,767		3,049
Subtotal	1,906		3,226
Unamortized premiums	35		91
Unamortized discounts	(2)		(3)
Mortgage loans held for portfolio	1,939		3,314
Less: Allowance for credit losses	(4)		—
Mortgage loans held for portfolio, net	$	1,935	$	3,314




(In millions)	2023
Within 1 year	$	26
After 1 year through 5 years	114
After 5 years through 15 years	283
Thereafter	293
Total unpaid principal balance	$	716


Balances Outstanding on Mortgage Loans

(Dollars in millions)	2020		2019
Outstanding amounts wholly owned by the Bank	$	1,862	$	3,169
Outstanding amounts with participation interests by FHLBank:
San Francisco	44		57
Chicago	32		42
Total	$	1,938	$	3,268
Number of loans outstanding:
Number of outstanding loans wholly owned by the Bank	5,097		7,702
Number of outstanding loans participated	866		1,039
Total number of loans outstanding	5,963		8,741


Regulatory Capital Requirements	Regulatory Capital Requirements													Regulatory Capital Requirements



		2020						2019						2023					2022
(Dollars in millions)	(Dollars in millions)	Required			Actual			Required			Actual			(Dollars in millions)	Required		Actual			Required		Actual
Risk-based capital	Risk-based capital	$	1,404		$	5,966		$	1,519		$	6,605
Total regulatory capital	Total regulatory capital	$	2,745		$	5,966		$	4,274		$	6,605
Total regulatory capital ratio	Total regulatory capital ratio	4.00		%	8.69		%	4.00		%	6.18		%	Total regulatory capital ratio	4.00	%	8.02	%		4.00	%	6.41	%
Leverage capital	Leverage capital	$	3,432		$	8,949		$	5,342		$	9,908
Leverage ratio	Leverage ratio	5.00		%	13.04		%	5.00		%	9.27		%	Leverage ratio	5.00	%	12.03	%		5.00	%	9.61	%


Concentration of Advances and Interest Income from Advances Top Five Borrowers and Their Affiliates

(Dollars in millions)
December 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	$	11,755	39	%	$	254	29	%
MUFG Union Bank, National Association	4,575		15		173		20

First Technology Federal Credit Union	1,292		4		43		5
CIT Bank, National Association	1,100		3		23		3
Luther Burbank Savings	807		3		21		2
Subtotal	19,529		64		514		59
Others	10,809		36		353		41
Total par value	$	30,338	100	%	$	867	100	%


Concentration of Mortgage Loans

(Dollars in millions)
December 31, 2020
Name of Institution	Mortgage Loan Balances Outstanding		Percentage of Total Mortgage Loan Balances Outstanding		Number of Mortgage Loans Outstanding	Percentage of Total Number of Mortgage Loans Outstanding
Fremont Bank	$	878	46	%	1,581	27	%
Bank of Hope	240		13		574	10
Logix Federal Credit Union	224		12		664	11

Subtotal	1,342		71		2,819	48
Others	564		29		3,144	52
Total	$	1,906	100	%	5,963	100	%


Concentration of Capital Stock
Including Mandatorily Redeemable Capital Stock

(Dollars in millions)	2020				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	$	354	16	%	$	368	12	%

MUFG Union Bank, National Association	142		6		394		12


Subtotal	496		22		762		24
Others	1,790		78		2,376		76
Total	$	2,286	100	%	$	3,138	100	%


Concentration of Derivative Counterparties

(Dollars in millions)	2020					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	$	7,227	9	%	At least BBB	$	11,476	11	%
Subtotal uncleared		7,227		9			11,476		11
Cleared
LCH Ltd(2)
Credit Suisse Securities (USA) LLC	A	28,977		37		A	61,067		61
Morgan Stanley & Co. LLC	A	42,440		54		A	28,483		28
Subtotal cleared		71,417		91			89,550		89
Total(3)		$	78,644	100	%		$	101,026	100	%

										Member and Nonmember Credit Outstanding and Collateral Borrowing Capacity by Credit Quality Rating
Credit Outstanding and Collateral Borrowing Capacity by Credit Quality Rating										Credit Outstanding and Collateral Borrowing Capacity by Credit Quality Rating

December 31, 2023
December 31, 2023
December 31, 2023


										All Borrowers			Borrowers with Credit Outstanding
(Dollars in millions)	(Dollars in millions)									(Dollars in millions)														Collateral Borrowing Capacity(2)
December 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
Borrower Credit Quality Rating										Borrower Credit Quality Rating	Number			Number			Credit Outstanding(1)				Total					Used
1-3	1-3	236	164	$	37,225	$	188,637	20	%	1-3	222	143			143	$		$	61,418	$		$	164,916		37		37	%
4-6	4-6	95	59	12,508		50,199		25
7-10	7-10	4	2	32		34		94
Subtotal	Subtotal	335	225	49,765		238,870		21
CDFIs		7	7	103		116		89
Community development financial institutions (CDFIs):

B

B

B
C
D

Subtotal
Subtotal
Subtotal
Housing associates	Housing associates	2	—	—		—		—
Total	Total	344	232	$	49,868	$	238,986	21	%	Total	344	218			218	$		$	81,168	$		$	223,070		36		36	%


December 31, 2019
December 31, 2022
		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
											All Borrowers		Borrowers with Credit Outstanding
(Dollars in millions)										(Dollars in millions)													Collateral Borrowing Capacity(2)
Borrower Credit Quality Rating										Borrower Credit Quality Rating					Number				Credit Outstanding(1)				Total			Used
1-3	1-3	271	151	$	67,982	$	204,970	33	%	1-3	257	172		172		$	$	98,702		$	$	323,212		31	31		%
4-6	4-6	54	33	18,654		50,732		37
7-10	7-10	5	4	41		65		63
Subtotal	Subtotal	330	188	86,677		255,767		34
CDFIs		7	5	102		112		91
CDFIs:

B

B

B
C
D

Subtotal
Subtotal
Subtotal
Housing associates	Housing associates	2	—	—		—		—
Total	Total	339	193	$	86,779	$	255,879	34	%	Total	335	215		215		$	$	112,796		$	$	355,052		32	32		%


Borrower Credit Outstanding and Collateral Borrowing Capacity by Unused Borrowing Capacity


December 31, 2023
(Dollars in millions) Unused Borrowing Capacity	Number of Borrowers with Credit Outstanding	Credit Outstanding(1)		Collateral Borrowing Capacity(2)
0% – 10%	6	$	28,055	$	29,699
11% – 25%	8	3,565		4,203
26% – 50%	24	14,557		25,969
More than 50%	180	34,991		163,199
Total	218	$	81,168	$	223,070


December 31, 2019
Unused Borrowing Capacity		Number of Members and Nonmembers with Credit Outstanding	Credit Outstanding(1)		Collateral Borrowing Capacity(2)
December 31, 2022
(Dollars in millions) Unused Borrowing Capacity
(Dollars in millions) Unused Borrowing Capacity
(Dollars in millions) Unused Borrowing Capacity							Number of Borrowers with Credit Outstanding	Credit Outstanding(1)	Collateral Borrowing Capacity(2)
0% – 10%	0% – 10%	7	$	1,352	$	1,419
11% – 25%	11% – 25%	9	754		903
26% – 50%	26% – 50%	24	21,955		34,221
More than 50%	More than 50%	153	62,718		219,336
Total	Total	193	$	86,779	$	255,879


Composition of Securities Collateral Pledged by Members and by Nonmembers with Credit Outstanding

(In millions)	2020				2019
Securities Type with Current Credit Ratings	Current Par		Borrowing Capacity		Current Par		Borrowing Capacity
U.S. Treasury (bills, notes, bonds)	$	195	$	190	$	183	$	176
Agency (notes, subordinated debt, structured notes, indexed amortization notes, and Small Business Administration pools)	4,236		4,120		2,897		2,846
Agency pools and collateralized mortgage obligations	16,399		15,758		8,576		8,287

Private-label commercial MBS – publicly registered investment-grade-rated senior tranches	3		3		5		5

PLRMBS – private label investment-grade-rated senior tranches	18		12		45		34

Term deposits with the Bank	16		16		—		—

Total	$	20,867	$	20,099	$	11,706	$	11,348

										Composition of Loan Collateral Pledged by Members and by Nonmembers with Credit Outstanding
Composition of Loan Collateral Pledged										Composition of Loan Collateral Pledged

(In millions)
(In millions)
(In millions)	(In millions)	2020				2019				2023			2022
Loan Type	Loan Type	Unpaid Principal Balance		Borrowing Capacity		Unpaid Principal Balance		Borrowing Capacity		Loan Type	Unpaid Principal Balance	Borrowing Capacity		Unpaid Principal Balance	Borrowing Capacity
First lien residential mortgage loans	First lien residential mortgage loans	$	167,058	$	131,671	$	174,580	$	152,960
Second lien residential mortgage loans and home equity lines of credit	Second lien residential mortgage loans and home equity lines of credit	15,349		6,441		17,469		9,437
Multifamily mortgage loans	Multifamily mortgage loans	43,324		28,376		32,652		25,321
Commercial mortgage loans	Commercial mortgage loans	78,886		48,637		72,118		52,329
Loan participations(1)	Loan participations(1)	3,783		2,591		4,610		3,496
Small business, small farm, and small agribusiness loans	Small business, small farm, and small agribusiness loans	4,820		1,171		4,010		988
Other	Other	—		—		2		—
Total	Total	$	313,220	$	218,887	$	305,441	$	244,531



~~(in millions)~~	~~2020~~
~~Balance, beginning of the period~~	$	—
~~Adjustment for cumulative effect of accounting change~~	3

~~Provision for/(reversal of) credit losses~~	1
~~Balance, end of the period~~	$	4


December 31, 2020
	Origination Year
Payment Status	<2016		2016 to 2020		Amortized Cost(1)
30 – 59 days delinquent	$	20	$	2	$	22
60 – 89 days delinquent	5		2		7
90 days or more delinquent	95		9		104
Total past due	120		13		133
Total current loans	1,628		178		1,806
Total MPF(2)	$	1,748	$	191	$	1,939
In process of foreclosure, included above(3)					$	1
Nonaccrual loans(2)(4)					$	104

Serious delinquencies as a percentage of total mortgage loans outstanding(2)(5)					5.34		%