Table of Contents

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
  ____________________________________
FORM 10-Q
  ______________________________________________________
 
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended September 30, 2023March 31, 2024
OR
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
Commission File Number: 000-51398
FEDERAL HOME LOAN BANK OF SAN FRANCISCO
(Exact name of registrant as specified in its charter)
  ___________________________________________
Federally chartered corporation of the United States94-6000630
(State or other jurisdiction of incorporation or organization)(I.R.S. employer identification number)
333 Bush Street, Suite 2700
San Francisco,CA94104
(Address of principal executive offices)(Zip code)
(415) 616-1000
(Registrant’s telephone number, including area code)
Securities registered pursuant to Section 12(b) of the Securities Exchange Act of 1934:
Title of each classTrading Symbol(s)Name of each exchange on which registered
  ___________________________________________

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing for the past 90 days.      Yes      No
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).      Yes      No
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.
Large accelerated filerAccelerated filer
Non-accelerated filerSmaller reporting company
Emerging growth company
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.      
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).      Yes      No
Indicate the number of shares outstanding of each of the issuer’s classes of common stock, as of the latest practicable date.
Shares Outstanding as of October 31, 2023April 30, 2024
Class B Stock, par value $100 per share31,625,98330,702,056 


Table of Contents

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


Table of Contents

PART I. FINANCIAL INFORMATION

ITEM 1.     FINANCIAL STATEMENTS

Federal Home Loan Bank of San Francisco
Statements of Condition
(Unaudited)
(In millions-except par value)(In millions-except par value)September 30,
2023
December 31,
2022
(In millions-except par value)March 31,
2024
December 31,
2023
Assets:Assets:
Cash and due from banksCash and due from banks$10 $
Cash and due from banks
Cash and due from banks
Interest-bearing depositsInterest-bearing deposits3,777 3,677 
Securities purchased under agreements to resellSecurities purchased under agreements to resell2,750 7,000 
Federal funds soldFederal funds sold5,533 4,719 
Trading securities
Available-for-sale (AFS) securities, net of allowance for credit losses of $34 and $30, respectively (amortized cost of $16,352 and $12,757, respectively)(a)
16,279 12,713 
Held-to-maturity (HTM) securities (fair values of $1,852 and $2,136, respectively)1,895 2,181 
Advances (includes $2,302 and $2,059 at fair value under the fair value option, respectively)63,584 89,400 
Available-for-sale (AFS) securities, net of allowance for credit losses of $26 and $31, respectively (amortized cost of $17,988 and $18,105, respectively)(a)
Available-for-sale (AFS) securities, net of allowance for credit losses of $26 and $31, respectively (amortized cost of $17,988 and $18,105, respectively)(a)
Available-for-sale (AFS) securities, net of allowance for credit losses of $26 and $31, respectively (amortized cost of $17,988 and $18,105, respectively)(a)
Held-to-maturity (HTM) securities (fair values of $1,729 and $1,818, respectively)
Advances (includes $2,535 and $1,898 at fair value under the fair value option, respectively)
Mortgage loans held for portfolio, net of allowance for credit losses of $1 and $1, respectivelyMortgage loans held for portfolio, net of allowance for credit losses of $1 and $1, respectively770 815 
Accrued interest receivable
Accrued interest receivable
Accrued interest receivableAccrued interest receivable192 313 
Derivative assets, netDerivative assets, net26 
Other assetsOther assets224 202 
Total AssetsTotal Assets$95,021 $121,056 
Liabilities:Liabilities:
DepositsDeposits$768 $989 
Deposits
Deposits
Consolidated obligations:Consolidated obligations:
Bonds (includes $605 and $2,226 at fair value under the fair value option, respectively)70,907 75,768 
Bonds (includes $590 and $604 at fair value under the fair value option, respectively)
Bonds (includes $590 and $604 at fair value under the fair value option, respectively)
Bonds (includes $590 and $604 at fair value under the fair value option, respectively)
Discount notesDiscount notes14,293 35,929 
Total consolidated obligationsTotal consolidated obligations85,200 111,697 
Mandatorily redeemable capital stockMandatorily redeemable capital stock776 
Borrowings from other Federal Home Loan Banks (FHLBanks)300 — 
Accrued interest payable
Accrued interest payable
Accrued interest payableAccrued interest payable510 326 
Affordable Housing Program (AHP) payableAffordable Housing Program (AHP) payable132 111 
Derivative liabilities, netDerivative liabilities, net14 
Other liabilitiesOther liabilities669 203 
Total LiabilitiesTotal Liabilities88,369 113,333 
Commitments and Contingencies (Note 13)
Commitments and Contingencies (Note 12)Commitments and Contingencies (Note 12)
Capital:Capital:
Capital stock—Class B—Putable ($100 par value) issued and outstanding:Capital stock—Class B—Putable ($100 par value) issued and outstanding:
25 shares and 38 shares, respectively2,485 3,758 
Capital stock—Class B—Putable ($100 par value) issued and outstanding:
Capital stock—Class B—Putable ($100 par value) issued and outstanding:
24 shares and 25 shares, respectively
24 shares and 25 shares, respectively
24 shares and 25 shares, respectively
Unrestricted retained earningsUnrestricted retained earnings3,406 3,262 
Restricted retained earningsRestricted retained earnings816 732 
Total Retained EarningsTotal Retained Earnings4,222 3,994 
Accumulated other comprehensive income/(loss) (AOCI)Accumulated other comprehensive income/(loss) (AOCI)(55)(29)
Total CapitalTotal Capital6,652 7,723 
Total Liabilities and CapitalTotal Liabilities and Capital$95,021 $121,056 
(a)    At September 30, 2023,March 31, 2024, and December 31, 2022, $7992023, $638 million and $435$771 million, respectively, of these securities were pledged as collateral that may be repledged.
The accompanying notes are an integral part of these financial statements.
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Federal Home Loan Bank of San Francisco
Statements of Income
(Unaudited)
Three Months Ended September 30,Nine Months Ended September 30,
Three Months Ended March 31,
Three Months Ended March 31,
Three Months Ended March 31,
(In millions)(In millions)2023202220232022
(In millions)
(In millions)
Interest Income:
Interest Income:
Interest Income:Interest Income:
AdvancesAdvances$867 $345 $3,184 $501 
Advances
Advances
Interest-bearing deposits
Interest-bearing deposits
Interest-bearing depositsInterest-bearing deposits61 14 167 17 
Securities purchased under agreements to resellSecurities purchased under agreements to resell50 51 252 65 
Securities purchased under agreements to resell
Securities purchased under agreements to resell
Federal funds sold
Federal funds sold
Federal funds soldFederal funds sold123 72 414 96 
AFS securitiesAFS securities246 109 645 247 
AFS securities
AFS securities
HTM securities
HTM securities
HTM securitiesHTM securities25 17 74 34 
Mortgage loans held for portfolioMortgage loans held for portfolio21 38 
Mortgage loans held for portfolio
Mortgage loans held for portfolio
Total Interest Income
Total Interest Income
Total Interest IncomeTotal Interest Income1,381 616 4,757 998 
Interest Expense:Interest Expense:
Interest Expense:
Interest Expense:
Consolidated obligations:
Consolidated obligations:
Consolidated obligations:Consolidated obligations:
BondsBonds963 143 3,008 205 
Bonds
Bonds
Discount notes
Discount notes
Discount notesDiscount notes218 310 1,050 399 
DepositsDeposits16 45 
Deposits
Deposits
Borrowings from other FHLBanks
Borrowings from other FHLBanks
Borrowings from other FHLBanksBorrowings from other FHLBanks— 
Mandatorily redeemable capital stockMandatorily redeemable capital stock13 — 15 — 
Mandatorily redeemable capital stock
Mandatorily redeemable capital stock
Total Interest Expense
Total Interest Expense
Total Interest ExpenseTotal Interest Expense1,210 459 4,120 612 
Net Interest IncomeNet Interest Income171 157 637 386 
Net Interest Income
Net Interest Income
Provision for/(reversal of) credit losses
Provision for/(reversal of) credit losses
Provision for/(reversal of) credit lossesProvision for/(reversal of) credit losses
Net Interest Income After Provision for/(Reversal of) Credit LossesNet Interest Income After Provision for/(Reversal of) Credit Losses164 148 630 377 
Net Interest Income After Provision for/(Reversal of) Credit Losses
Net Interest Income After Provision for/(Reversal of) Credit Losses
Other Income/(Loss):
Other Income/(Loss):
Other Income/(Loss):Other Income/(Loss):
Net gain/(loss) on advances and consolidated obligation bonds held under fair value optionNet gain/(loss) on advances and consolidated obligation bonds held under fair value option(12)(20)(27)(53)
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option
Net gain/(loss) on derivativesNet gain/(loss) on derivatives15 (1)(6)(13)
Private-label residential mortgage-backed securities (PLRMBS) trust settlement— — — 28 
Net gain/(loss) on derivatives
Net gain/(loss) on derivatives
Standby letters of credit feesStandby letters of credit fees15 11 
Standby letters of credit fees
Standby letters of credit fees
Termination of long-term funding arrangement
Termination of long-term funding arrangement
Termination of long-term funding arrangement
Other, net
Other, net
Other, netOther, net— (1)(4)
Total Other Income/(Loss)Total Other Income/(Loss)(18)(15)(31)
Total Other Income/(Loss)
Total Other Income/(Loss)
Other Expense:
Other Expense:
Other Expense:Other Expense:
Compensation and benefitsCompensation and benefits26 24 78 70 
Compensation and benefits
Compensation and benefits
Other operating expense
Other operating expense
Other operating expenseOther operating expense17 15 48 40 
Federal Housing Finance AgencyFederal Housing Finance Agency
Federal Housing Finance Agency
Federal Housing Finance Agency
Office of Finance
Office of Finance
Office of FinanceOffice of Finance
Other, netOther, net(1)10 (2)
Other, net
Other, net
Total Other Expense
Total Other Expense
Total Other ExpenseTotal Other Expense55 41 148 117 
Income/(Loss) Before AssessmentIncome/(Loss) Before Assessment116 89 467 229 
Income/(Loss) Before Assessment
Income/(Loss) Before Assessment
AHP assessment
AHP assessment
AHP assessmentAHP assessment13 48 23 
Net Income/(Loss)Net Income/(Loss)$103 $80 $419 $206 
Net Income/(Loss)
Net Income/(Loss)
The accompanying notes are an integral part of these financial statements.

2

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Federal Home Loan Bank of San Francisco
Statements of Comprehensive Income/(Loss)
(Unaudited)

Three Months Ended March 31,
Three Months Ended March 31,
Three Months Ended March 31,
(In millions)
(In millions)
(In millions)
Net Income/(Loss)
Net Income/(Loss)
Net Income/(Loss)
Other Comprehensive Income/(Loss):
Other Comprehensive Income/(Loss):
Other Comprehensive Income/(Loss):
Net unrealized gain/(loss) on AFS securities
Net unrealized gain/(loss) on AFS securities
Net unrealized gain/(loss) on AFS securities
Three Months Ended September 30,Nine Months Ended September 30,
(In millions)2023202220232022
Net Income/(Loss)$103 $80 $419 $206 
Other Comprehensive Income/(Loss):
Net unrealized gain/(loss) on AFS securities(35)(88)(25)(317)
Net change in pension and postretirement benefits(1)— (1)(2)
Total other comprehensive income/(loss)
Total other comprehensive income/(loss)
Total other comprehensive income/(loss)Total other comprehensive income/(loss)(36)(88)(26)(319)
Total Comprehensive Income/(Loss)Total Comprehensive Income/(Loss)$67 $(8)$393 $(113)
Total Comprehensive Income/(Loss)
Total Comprehensive Income/(Loss)
The accompanying notes are an integral part of these financial statements.

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

Capital Stock
Class B—Putable
Retained EarningsTotal
Capital
(In millions)SharesPar ValueRestrictedUnrestrictedTotalAOCI
Balance, June 30, 202228 $2,754 $692 $3,198 $3,890 $100 $6,744 
Comprehensive income/(loss)16 64 80 (88)(8)
Issuance of capital stock23 2,296 2,296 
Repurchase of capital stock(18)(1,724)(1,724)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net— (4)(4)
Cash dividends paid on capital stock (6.00%)(40)(40)(40)
Balance, September 30, 202233 $3,322 $708 $3,222 $3,930 $12 $7,264 
Balance, June 30, 202326 $2,600 $795 $3,387 $4,182 $(19)$6,763 
Comprehensive income/(loss)21 82 103 (36)67 
Issuance of capital stock246 246 
Repurchase of capital stock(4)(360)(360)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net— (1)(1)
Cash dividends paid on capital stock (7.75%)(63)(63)(63)
Balance, September 30, 202325 $2,485 $816 $3,406 $4,222 $(55)$6,652 

Capital Stock
Class B—Putable
Retained EarningsTotal
Capital
Capital Stock
Class B—Putable
Capital Stock
Class B—Putable
Retained EarningsTotal
Capital
(In millions)(In millions)SharesPar ValueRestrictedUnrestrictedTotalAOCITotal
Capital
Balance, December 31, 202121 $2,061 $708 $3,124 $3,832 $331 $6,224 
Comprehensive income/(loss)16 190 206 (319)(113)
Issuance of capital stock54 5,385 5,385 
Repurchase of capital stock(41)(4,088)(4,088)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net(1)(36)(36)
Transfers from restricted retained earnings(16)16 — — 
Cash dividends paid on capital stock (6.00%)(108)(108)(108)
Balance, December 31, 2022
Balance, September 30, 202233 $3,322 $708 $3,222 $3,930 $12 $7,264 
Balance, December 31, 2022
Balance, December 31, 2022Balance, December 31, 202238 $3,758 $732 $3,262 $3,994 $(29)$7,723 
Comprehensive income/(loss)Comprehensive income/(loss)84 335 419 (26)393 
Issuance of capital stockIssuance of capital stock28 2,768 2,768 
Repurchase of capital stockRepurchase of capital stock(28)(2,789)(2,789)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, netCapital stock reclassified from/(to) mandatorily redeemable capital stock, net(13)(1,252)(1,252)
Cash dividends paid on capital stock (7.26%)(191)(191)(191)
Balance, September 30, 202325 $2,485 $816 $3,406 $4,222 $(55)$6,652 
Cash dividends paid on capital stock (7.00%)
Cash dividends paid on capital stock (7.00%)
Cash dividends paid on capital stock (7.00%)
Balance, March 31, 2023
Balance, March 31, 2023
Balance, March 31, 2023
Balance, December 31, 2023
Balance, December 31, 2023
Balance, December 31, 2023
Comprehensive income/(loss)
Issuance of capital stock
Repurchase of capital stock
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net
Cash dividends paid on capital stock (8.75%)
Cash dividends paid on capital stock (8.75%)
Cash dividends paid on capital stock (8.75%)
Balance, March 31, 2024
The accompanying notes are an integral part of these financial statements.
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Federal Home Loan Bank of San Francisco
Statements of Cash Flows
(Unaudited)
Three Months Ended March 31,
Three Months Ended March 31,
Three Months Ended March 31,
(In millions)
(In millions)
(In millions)
Cash Flows from Operating Activities:
Cash Flows from Operating Activities:
Cash Flows from Operating Activities:
Net Income/(Loss)
Net Income/(Loss)
Net Income/(Loss)
Adjustments to reconcile net income/(loss) to net cash provided by/(used in) operating activities:
Adjustments to reconcile net income/(loss) to net cash provided by/(used in) operating activities:
Adjustments to reconcile net income/(loss) to net cash provided by/(used in) operating activities:
Depreciation and amortization/(accretion)
Depreciation and amortization/(accretion)
Depreciation and amortization/(accretion)
Provision for/(reversal of) credit losses
Provision for/(reversal of) credit losses
Provision for/(reversal of) credit losses
Change in net fair value adjustment on advances and consolidated obligation bonds held under the fair value option
Change in net fair value adjustment on advances and consolidated obligation bonds held under the fair value option
Change in net fair value adjustment on advances and consolidated obligation bonds held under the fair value option
Change in net derivatives and hedging activities
Change in net derivatives and hedging activities
Change in net derivatives and hedging activities
Other adjustments, net
Other adjustments, net
Other adjustments, net
Net change in:
Net change in:
Net change in:
Accrued interest receivable
Accrued interest receivable
Accrued interest receivable
Other assets
Other assets
Other assets
Accrued interest payable
Accrued interest payable
Accrued interest payable
Other liabilities
Other liabilities
Other liabilities
Total adjustments
Total adjustments
Total adjustments
Net cash provided by/(used in) operating activities
Net cash provided by/(used in) operating activities
Net cash provided by/(used in) operating activities
Cash Flows from Investing Activities:
Cash Flows from Investing Activities:
Cash Flows from Investing Activities:
Net change in:
Net change in:
Net change in:
Interest-bearing deposits
Interest-bearing deposits
Interest-bearing deposits
Securities purchased under agreements to resell
Securities purchased under agreements to resell
Securities purchased under agreements to resell
Federal funds sold
Federal funds sold
Federal funds sold
Nine Months Ended September 30,
(In millions)20232022
Cash Flows from Operating Activities:
Net Income/(Loss)$419 $206 
Adjustments to reconcile net income/(loss) to net cash provided by/(used in) operating activities:
Depreciation and amortization/(accretion)(10)255 
Provision for/(reversal of) credit losses
Change in net fair value adjustment on advances and consolidated obligation bonds held under the fair value option27 53 
Change in net derivatives and hedging activities393 1,334 
PLRMBS trust settlement— (28)
Other adjustments, net
Net change in:
Accrued interest receivable116 (34)
Other assets(28)22 
Accrued interest payable178 61 
Other liabilities38 (33)
PLRMBS contingent liability— (41)
Total adjustments725 1,603 
Net cash provided by/(used in) operating activities1,144 1,809 
Cash Flows from Investing Activities:
Net change in:
Interest-bearing deposits122 (1,901)
Securities purchased under agreements to resell4,250 3,500 
Federal funds sold(814)(7,298)
AFS securities:
Trading securities:
AFS securities:
AFS securities:
Proceeds from maturities and paydownsProceeds from maturities and paydowns— 251 
AFS securities:
Proceeds from sales— 28 
Proceeds from maturities and paydowns
Proceeds from maturities and paydownsProceeds from maturities and paydowns206 1,157 
PurchasesPurchases(3,706)(4,332)
Purchases
Purchases
HTM securities:HTM securities:
HTM securities:
HTM securities:
Proceeds from maturities and paydowns
Proceeds from maturities and paydowns
Proceeds from maturities and paydownsProceeds from maturities and paydowns285 763 
Advances:Advances:
Advances:
Advances:
Repaid
Repaid
RepaidRepaid1,140,925 1,096,765 
OriginatedOriginated(1,115,365)(1,146,306)
Originated
Originated
Mortgage loans held for portfolio:
Mortgage loans held for portfolio:
Mortgage loans held for portfolio:Mortgage loans held for portfolio:
Principal collectedPrincipal collected44 159 
Principal collected
Principal collected
Other investing activities, net(2)(2)
Net cash provided by/(used in) investing activitiesNet cash provided by/(used in) investing activities25,945 (57,216)
Net cash provided by/(used in) investing activities
Net cash provided by/(used in) investing activities
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Table of Contents

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

Nine Months Ended September 30,
Three Months Ended March 31,
Three Months Ended March 31,
Three Months Ended March 31,
(In millions)(In millions)20232022
(In millions)
(In millions)
Cash Flows from Financing Activities:
Cash Flows from Financing Activities:
Cash Flows from Financing Activities:Cash Flows from Financing Activities:
Net change in deposits and other financing activitiesNet change in deposits and other financing activities(124)243 
Net change in borrowings from other FHLBanks300 2,320 
Net (payments)/proceeds on derivative contracts with financing elements14 (11)
Net change in deposits and other financing activities
Net change in deposits and other financing activities
Net proceeds/(payments) on derivative contracts with financing elements
Net proceeds/(payments) on derivative contracts with financing elements
Net proceeds/(payments) on derivative contracts with financing elements
Net proceeds from issuance of consolidated obligations:
Net proceeds from issuance of consolidated obligations:
Net proceeds from issuance of consolidated obligations:Net proceeds from issuance of consolidated obligations:
BondsBonds73,250 25,062 
Bonds
Bonds
Discount notes
Discount notes
Discount notesDiscount notes105,878 174,394 
Payments for matured and retired consolidated obligations:Payments for matured and retired consolidated obligations:
Payments for matured and retired consolidated obligations:
Payments for matured and retired consolidated obligations:
Bonds
Bonds
BondsBonds(78,243)(11,283)
Discount notesDiscount notes(127,470)(136,521)
Discount notes
Discount notes
Proceeds from issuance of capital stock
Proceeds from issuance of capital stock
Proceeds from issuance of capital stockProceeds from issuance of capital stock2,768 5,385 
Payments for repurchase/redemption of mandatorily redeemable capital stockPayments for repurchase/redemption of mandatorily redeemable capital stock(481)(35)
Payments for repurchase/redemption of mandatorily redeemable capital stock
Payments for repurchase/redemption of mandatorily redeemable capital stock
Payments for repurchase of capital stockPayments for repurchase of capital stock(2,789)(4,088)
Payments for repurchase of capital stock
Payments for repurchase of capital stock
Cash dividends paid
Cash dividends paid
Cash dividends paidCash dividends paid(191)(108)
Net cash provided by/(used in) financing activitiesNet cash provided by/(used in) financing activities(27,088)55,358 
Net cash provided by/(used in) financing activities
Net cash provided by/(used in) financing activities
Net increase/(decrease) in cash and due from banks
Net increase/(decrease) in cash and due from banks
Net increase/(decrease) in cash and due from banksNet increase/(decrease) in cash and due from banks(49)
Cash and due from banks at beginning of the periodCash and due from banks at beginning of the period55 
Cash and due from banks at beginning of the period
Cash and due from banks at beginning of the period
Cash and due from banks at end of the period
Cash and due from banks at end of the period
Cash and due from banks at end of the periodCash and due from banks at end of the period$10 $
Supplemental Disclosures:Supplemental Disclosures:
Supplemental Disclosures:
Supplemental Disclosures:
Interest paid
Interest paid
Interest paidInterest paid$4,134 $373 
AHP payments, netAHP payments, net27 29 
Supplemental Disclosures of Noncash Investing and Financing Activities:
AHP payments, net
AHP payments, net
Supplemental Disclosures of Non-cash Investing and Financing Activities:
Supplemental Disclosures of Non-cash Investing and Financing Activities:
Supplemental Disclosures of Non-cash Investing and Financing Activities:
Transfers of HTM securities to AFS securities17 
Transfers of capital stock to mandatorily redeemable capital stockTransfers of capital stock to mandatorily redeemable capital stock1,252 36 
Transfers of capital stock to mandatorily redeemable capital stock
Transfers of capital stock to mandatorily redeemable capital stock
The accompanying notes are an integral part of these financial statements.
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Federal Home Loan Bank of San Francisco
Notes to Financial Statements

Note 1 — Basis of Presentation and Significant Accounting Policies
The information about the Federal Home Loan Bank of San Francisco (Bank) included in these unaudited financial statements reflects all adjustments that, in the opinion of the Bank, are necessary for a fair statement of results for the periods presented. These adjustments are of a recurring nature, unless otherwise disclosed. The results of operations in these interim statements are not necessarily indicative of the results to be expected for any subsequent period or for the entire year ending December 31, 2023.2024. These unaudited financial statements should be read in conjunction with the Bank’s Annual Report on Form 10-K for the year ended December 31, 2022 (20222023 (2023 Form 10-K).
There have been no changes to the basis of presentation of the Bank’s financial instruments meeting netting requirements or of the Bank’s investments in variable interest entities disclosed in “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 20222023 Form 10-K.
Use of Estimates. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America (U.S. GAAP) requires management to make a number of judgments, estimates, and assumptions that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income, expenses, gains, and losses during the reporting period. The most significant of these estimates include:
accounting for derivatives;hedging activities; and
estimating fair values of investments classified as trading and available-for-sale (AFS), derivatives and associated hedged items carried at fair value in accordance with the accounting for derivative instruments and associated hedging activities, and financial instruments carried at fair value under the fair value option; and
estimating the prepayment speeds on mortgage-backed securities (MBS) and mortgage loans for the accounting of amortization of premiums and accretion of discounts and credit losses previously recorded before the adoption of accounting guidance related to the measurement of credit losses on MBS and mortgage loans.option
Actual results could differ significantly from these estimates.
Termination of Long-Term Funding Arrangement. The Bank recognized $30 million as income in the first quarter of 2024 in connection with the termination of a long-term funding arrangement entered into with a member borrower in 2017.
Descriptions of the Bank’s significant accounting policies are included in “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 20222023 Form 10-K. Other changes to these policies as of September 30, 2023,March 31, 2024, are discussed in Note 2 – Recently Issued and Adopted Accounting Guidance.

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


Note 2 — Recently Issued and Adopted Accounting Guidance
The following table provides a summary of recently issued and adopted accounting standards that may have an effect on the Bank’s financial statements.
Accounting Standards Update (ASU)DescriptionEffective DateEffect on the Financial Statements or Other Significant Matters
Facilitation of the Effects of Reference Rate Reform on Financial
Segment Reporting as amended (ASU 2020-04)(Topic 280): Improvements to Reportable Segment Disclosures
(ASU 2023-07)

This update provides temporary optional guidance to ease the potential burden in accounting for reference rate reform. The new guidance provides optional expedients and exceptions for applying generally accepted accounting principles to transactions affected by reference rate reform if certain criteria are met. These transactions include:
• contract modifications,
• hedging relationships, and
• sale or transfer of debt securities classified as HTM.
This guidance becameimproves reportable segment disclosure requirements primarily through enhanced disclosures about significant segment expenses, including if an entity only has a single reportable segment.This guidance becomes effective beginning March 2020 throughfor the Bank for the annual period ending December 31, 2024.2024, and for interim and annual periods thereafter.The Bank has assessedWhile the adoption of this guidance and has elected some of the optional expedients and exceptions provided related to the discounting transition for uncleared derivative transactions on a prospective basis since 2021, which didwill not have a materialany effect on the Bank’s financial condition, results of operations, or cash flows, and financial statement disclosures.
Troubled Debt Restructurings and Vintage Disclosures
(ASU 2022-02)
This guidance eliminates the accounting guidance for troubled debt restructurings by creditors that have adopted the current expected credit losses methodology while enhancing disclosure requirements for certain loan refinancings and restructurings by creditors made to borrowers experiencing financial difficulty. Additionally, this guidance requires disclosure of current-period gross write-offs by year of origination for financing receivables and net investment in leases.The guidance became effective for the Bank foris in the interim and annual periods beginning on January 1, 2023.The Bank adopted this guidance asprocess of January 1, 2023. The adoptionevaluating the impact of this guidance did not have a materialand its effect on the Bank’s financial condition, results of operations, cash flows, and financial statement disclosures.

Note 3 — Investments
The Bank makes short-term investments in interest-bearing deposits, securities purchased under agreements to resell, and Federalfederal funds sold, and may make other investments in debt securities, which are classified as trading, AFS, or HTM.
Interest-Bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold. The Bank invests in interest-bearing deposits, securities purchased under agreements to resell, and Federalfederal funds sold.
Federal funds sold are unsecured loans that are generally transacted on an overnight term. Federal Housing Finance Agency (Finance Agency) regulations include a limit on the amount of unsecured credit the Bank may extend to a counterparty. At September 30, 2023,March 31, 2024, and December 31, 2022,2023, all investments in interest-bearing deposits and Federalfederal 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 September 30, 2023,March 31, 2024, and December 31, 2022.2023. Carrying values of interest-bearing
8

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


deposits and Federalfederal funds sold exclude accrued interest receivable of $17$18 million and $2 million, respectively, as of September 30, 2023,March 31, 2024, and $13$16 million and $1$2 million, respectively, as of December 31, 2022.2023.
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 September 30, 2023,March 31, 2024, and December 31, 2022.2023. The carrying value of securities purchased under agreements to resell excludes $1 million and $2 million of accrued interest receivable as of September 30, 2023,March 31, 2024, and December 31, 2022,2023, respectively.
Debt Securities
The Bank invests in debt securities, which are classified as trading, AFS, or HTM. Within these investments, the Bank is primarily subject to credit risk related to PLRMBSprivate-label residential mortgage-backed securities (PLRMBS) that are supported by underlying mortgage loans. The Bank is prohibited by Finance Agency regulations from purchasing certain higher risk securities, such as equity securities and debt instruments that are not investment quality at the time of purchase.
8

Trading Securities. The estimated fair valueTable of trading securities that were MBS - other U.S. obligations was $1 million asContents
Federal Home Loan Bank of September 30, 2023, and December 31, 2022. The unrealized net gain/(loss) on trading securities held at September 30, 2023 and 2022, were de minimis amounts.San Francisco
Notes to Financial Statements (continued)


Available-for-Sale Securities. The amortized cost and fair value of AFS securities by major security type as of September 30, 2023,March 31, 2024, and December 31, 2022,2023, were as follows:
September 30, 2023
March 31, 2024
(In millions)
(In millions)
(In millions)(In millions)
Amortized
Cost(1)
Allowance for Credit LossesGross
Unrealized
Gains
Gross
Unrealized
Losses
Estimated Fair Value
Amortized
Cost(1)
Allowance for Credit LossesGross
Unrealized
Gains
Gross
Unrealized
Losses
Estimated Fair Value
U.S. Treasury obligations
U.S. Treasury obligations
U.S. Treasury obligationsU.S. Treasury obligations$4,034 $— $10 $— $4,044 
MBS:MBS:
MBS:
MBS:
Government Sponsored Enterprises (GSEs) – multifamily
Government Sponsored Enterprises (GSEs) – multifamily
Government Sponsored Enterprises (GSEs) – multifamilyGovernment Sponsored Enterprises (GSEs) – multifamily11,218 — (65)11,160 
PLRMBSPLRMBS1,100 (34)34 (25)1,075 
PLRMBS
Total MBS12,318 (34)41 (90)12,235 
PLRMBS
Total mortgage-backed securities (MBS)
Total mortgage-backed securities (MBS)
Total mortgage-backed securities (MBS)
TotalTotal$16,352 $(34)$51 $(90)$16,279 
December 31, 2022
December 31, 2023
(In millions)
(In millions)
(In millions)(In millions)
Amortized
Cost(1)
Allowance for Credit LossesGross
Unrealized
Gains
Gross
Unrealized
Losses
Estimated Fair Value
Amortized
Cost(1)
Allowance for Credit LossesGross
Unrealized
Gains
Gross
Unrealized
Losses
Estimated Fair Value
U.S. Treasury obligations
U.S. Treasury obligations
U.S. Treasury obligationsU.S. Treasury obligations$4,012 $— $12 $— $4,024 
MBS:MBS:
MBS:
MBS:
GSEs – multifamily
GSEs – multifamily
GSEs – multifamilyGSEs – multifamily7,562 — (57)7,507 
PLRMBSPLRMBS1,183 (30)54 (25)1,182 
PLRMBS
PLRMBS
Total MBS
Total MBS
Total MBSTotal MBS8,745 (30)56 (82)8,689 
TotalTotal$12,757 $(30)$68 $(82)$12,713 
(1)    Amortized cost includes unpaid principal balance, unamortized premiums and discounts, net charge-offs, and valuation adjustments for hedging activities, and excludes accrued interest receivable of $57$69 million and $46$68 million at September 30, 2023,March 31, 2024, and December 31, 2022,2023, respectively.
At March 31, 2024, the amortized cost of the Bank’s MBS classified as AFS included premiums of $56 million, discounts of $187 million, and previous credit losses related to the prior methodology of evaluating credit losses of $314 million for PLRMBS. At December 31, 2023, the amortized cost of the Bank’s MBS classified as AFS included premiums of $58 million, discounts of $191 million, and previous credit losses related to the prior methodology of evaluating credit losses of $312 million for PLRMBS.
The following tables summarize the AFS securities with unrealized losses as of March 31, 2024, and December 31, 2023. 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.
March 31, 2024
 Less Than 12 Months12 Months or MoreTotal
(In millions)Estimated
Fair Value
Gross Unrealized
Losses
Estimated
Fair Value
Gross Unrealized
Losses
Estimated
Fair Value
Gross Unrealized
Losses
MBS – GSEs – multifamily$367 $$3,368 $15 $3,735 $16 
PLRMBS103 244 20 347 26 
Total$470 $$3,612 $35 $4,082 $42 
9

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


At September 30, 2023, the amortized cost of the Bank’s MBS classified as AFS included premiums of $58 million, discounts of $180 million, and previous credit losses related to the prior methodology of evaluating credit losses of $320 million for PLRMBS. At December 31, 2022, the amortized cost of the Bank’s MBS classified as AFS included premiums of $52 million, discounts of $113 million, and previous credit losses related to the prior methodology of evaluating credit losses of $351 million for PLRMBS.
The following tables summarize the AFS securities with unrealized losses as of September 30, 2023, and December 31, 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.
September 30, 2023
 Less Than 12 Months12 Months or MoreTotal
(In millions)Estimated
Fair Value
Gross Unrealized
Losses
Estimated
Fair Value
Gross Unrealized
Losses
Estimated
Fair Value
Gross Unrealized
Losses
MBS – GSEs – multifamily$5,684 $27 $3,361 $38 $9,045 $65 
PLRMBS62 285 23 347 25 
Total$5,746 $29 $3,646 $61 $9,392 $90 
December 31, 2022
Less Than 12 Months12 Months or MoreTotal
December 31, 2023
Less Than 12 Months
Less Than 12 Months
Less Than 12 Months
Less Than 12 Months
Less Than 12 Months
Less Than 12 Months
Less Than 12 Months
Less Than 12 Months
Less Than 12 Months12 Months or MoreTotal
(In millions)(In millions)Estimated
Fair Value
Gross
Unrealized
Losses
Estimated
Fair Value
Gross Unrealized
Losses
Estimated
Fair Value
Gross Unrealized
Losses
(In millions)Estimated
Fair Value
Gross
Unrealized
Losses
Estimated
Fair Value
Gross Unrealized
Losses
Estimated
Fair Value
Gross Unrealized
Losses
MBS – GSEs – multifamily
MBS – GSEs – multifamily
MBS – GSEs – multifamilyMBS – GSEs – multifamily$6,635 $57 $— $— $6,635 $57 
PLRMBSPLRMBS292 17 68 360 25 
TotalTotal$6,927 $74 $68 $$6,995 $82 
Total
Total
Redemption Terms – The amortized cost and estimated fair value of U.S. Treasury securities classified as AFS by contractual maturity (based on contractual final principal payment) and of MBS classified as AFS as of September 30, 2023,March 31, 2024, and December 31, 2022,2023, are shown below. Expected maturities of MBS classified as AFS will differ from contractual maturities because borrowers may have the right to call or prepay the underlying obligations with or without call or prepayment fees.
September 30, 2023
March 31, 2024
(In millions)
(In millions)
(In millions)(In millions)
Year of Contractual MaturityYear of Contractual MaturityAmortized
Cost
Estimated
Fair Value
Year of Contractual Maturity
Year of Contractual MaturityAmortized
Cost
Estimated
Fair Value
U.S. Treasury obligations:
Due in 1 year or less
Due in 1 year or less
Due in 1 year or less
Due after 1 year through 5 years
Total U.S. Treasury obligations
Total U.S. Treasury obligations
U.S. Treasury obligations – Due after 1 year through 5 years$4,034 $4,044 
Total U.S. Treasury obligations
MBSMBS12,318 12,235 
TotalTotal$16,352 $16,279 
December 31, 2022
December 31, 2023
(In millions)
(In millions)
(In millions)(In millions)
Year of Contractual MaturityYear of Contractual MaturityAmortized
Cost
Estimated
Fair Value
Year of Contractual Maturity
Year of Contractual MaturityAmortized
Cost
Estimated
Fair Value
U.S. Treasury obligations:
Due in 1 year or less
Due in 1 year or less
Due in 1 year or less
Due after 1 year through 5 years
U.S. Treasury obligations – Due after 1 year through 5 years$4,012 $4,024 
Total U.S. Treasury obligations
Total U.S. Treasury obligations
Total U.S. Treasury obligations
MBSMBS8,745 8,689 
TotalTotal$12,757 $12,713 
Held-to-Maturity Securities. The Bank classifies the following securities as HTM because the Bank has the positive intent and ability to hold these securities to maturity:
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Federal Home Loan Bank of San Francisco
Notes to Financial Statements (continued)


September 30, 2023
March 31, 2024
March 31, 2024
March 31, 2024
(In millions)
(In millions)
(In millions)(In millions)
Amortized
Cost(1)
Gross
Unrecognized
Holding
Gains(2)
Gross
Unrecognized
Holding
Losses(2)
Estimated
Fair Value
Amortized
Cost(1)
Gross
Unrecognized
Holding
Gains(2)
Gross
Unrecognized
Holding
Losses(2)
Estimated
Fair Value
MBS – Other U.S. obligations – single-family
MBS – Other U.S. obligations – single-family
MBS – Other U.S. obligations – single-familyMBS – Other U.S. obligations – single-family$54 $— $(2)$52 
MBS – GSEs:MBS – GSEs:
MBS – GSEs – single-familyMBS – GSEs – single-family637 (28)610 
MBS – GSEs – single-family
MBS – GSEs – single-family
MBS – GSEs – multifamily
MBS – GSEs – multifamily
MBS – GSEs – multifamilyMBS – GSEs – multifamily1,074 — (5)1,069 
Subtotal MBS – GSEsSubtotal MBS – GSEs1,711 (33)1,679 
PLRMBSPLRMBS130 — (9)121 
PLRMBS
PLRMBS
TotalTotal$1,895 $$(44)$1,852 
Total
Total
December 31, 2022
December 31, 2023
December 31, 2023
December 31, 2023
(In millions)
(In millions)
(In millions)(In millions)
Amortized
Cost(1)
Gross
Unrecognized
Holding
Gains(2)
Gross
Unrecognized
Holding
Losses(2)
Estimated
Fair Value
Amortized
Cost(1)
Gross
Unrecognized
Holding
Gains(2)
Gross
Unrecognized
Holding
Losses(2)
Estimated
Fair Value
MBS – Other U.S. obligations – single-family
MBS – Other U.S. obligations – single-family
MBS – Other U.S. obligations – single-familyMBS – Other U.S. obligations – single-family$72 $— $(2)$70 
MBS – GSEs:MBS – GSEs:
MBS – GSEs – single-familyMBS – GSEs – single-family745 (22)724 
MBS – GSEs – single-family
MBS – GSEs – single-family
MBS – GSEs – multifamily
MBS – GSEs – multifamily
MBS – GSEs – multifamilyMBS – GSEs – multifamily1,209 — (10)1,199 
Subtotal MBS – GSEsSubtotal MBS – GSEs1,954 (32)1,923 
PLRMBSPLRMBS155 — (12)143 
PLRMBS
PLRMBS
TotalTotal$2,181 $$(46)$2,136 
Total
Total
(1)    Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and net charge-offs, and excludes accrued interest receivable of $6 million and $5 million at September 30, 2023,March 31, 2024, and December 31, 2022, respectively.2023.
(2)    Gross unrecognized holding gains/(losses) represent the difference between estimated fair value and net carrying value.
Expected maturities of MBS classified as HTM will differ from contractual maturities because borrowers may have the right to call or prepay the underlying obligations with or without call or prepayment fees.
At September 30,March 31, 2024, and December 31, 2023, the amortized cost of the Bank’s MBS classified as HTM included premiums of $2 million and discounts of $3 million, and no previous credit losses related to the prior methodology of evaluating credit losses for PLRMBS. At December 31, 2022, the amortized cost of the Bank’s MBS classified as HTM included premiums of $3 million, discounts of $4 million, and no previous credit losses related to the prior methodology of evaluating credit losses for PLRMBS.million.
Allowance for Credit Losses on AFS and HTM Securities. The following table presents a rollforward of the allowance for credit losses on investment securities associated with PLRMBS classified as AFS for the three and nine months ended September 30, 2023March 31, 2024 and 2022.2023. The Bank recorded no allowance for credit losses associated with HTM securities during the three and nine months ended September 30, 2023March 31, 2024 and 2022.2023.
Three Months EndedNine Months Ended
Three Months Ended
Three Months Ended
Three Months Ended
(In millions)(In millions)September 30, 2023September 30, 2022September 30, 2023September 30, 2022
Balance, beginning of the periodBalance, beginning of the period$28 $17 $30 $17 
Balance, beginning of the period
Balance, beginning of the period
(Charge-offs)/recoveries
(Charge-offs)/recoveries
(Charge-offs)/recoveries(Charge-offs)/recoveries(1)(1)(3)(1)
Provision for/(reversal of) credit lossesProvision for/(reversal of) credit losses
Provision for/(reversal of) credit losses
Provision for/(reversal of) credit losses
Balance, end of the periodBalance, end of the period$34 $25 $34 $25 
Balance, end of the period
Balance, end of the period
To evaluate investment securities for expected credit loss at September 30, 2023,March 31, 2024, and December 31, 2022,2023, the Bank employed the following methodologies, based on the type of security.
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Federal Home Loan Bank of San Francisco
Notes to Financial Statements (continued)


AFS and HTM Securities (Excluding PLRMBS) – The Bank’s AFS and HTM securities are principally U.S. obligations and MBS issued by Ginnie Mae, Freddie Mac, and Fannie Mae that are backed by single-family or
11

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


multifamily mortgage loans. The Bank only purchases securities considered investment quality. Excluding PLRMBS investments, at September 30, 2023,March 31, 2024, and December 31, 2022,2023, substantially all of AFS securities and HTM securities, based on amortized cost, were rated A, or above, by an NRSRO,a Nationally Recognized Statistical Rating Organization (NRSRO), based on the lowest long-term credit rating for each security. These may differ from any internal ratings of the securities by the Bank, if applicable.
At September 30, 2023,March 31, 2024, and December 31, 2022,2023, 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 and substantially all of these securities are highly rated. In the case of U.S. obligations, they carry an explicit government guarantee. In the case of GSE securities, they are purchased under an assumption that the issuers’ obligation to pay principal and interest on those securities will be honored, taking into account their status as GSEs. As a result, no allowance for credit losses was recorded on these AFS securities at September 30, 2023, and December 31, 2022.
As of September 30, 2023, and December 31, 2022, the Bank had not established an allowance for credit losses on any of its HTM securities because the securities: (i) were all highly rated or had short remaining terms to maturity andmaturity; (ii) had not experienced, nor did the Bank expect, any payment default on the instruments, and (iii) in the case of U.S. Treasury, GSE, or other agency obligations, carry an implicit or explicit government guarantee such that the Bank considers the risk of nonpayment to be zero.

As a result, no allowance for credit losses was recorded on these AFS or HTM securities at March 31, 2024, and December 31, 2023.
Private-Label Residential Mortgage-Backed Securities – The Bank also holds investments in PLRMBS. The Bank has not purchased any PLRMBS since the first quarter of 2008. However, manyMany of these securities have subsequently experienced significant credit deterioration. As of September 30, 2023,March 31, 2024, and December 31, 2022,2023, approximately 3% and 4%, respectively, of PLRMBS (AFS and HTM combined, based on amortized cost) were rated A, or above, by an NRSRO; and the remaining securities were either rated less than A, or were unrated. To determine whether an allowance for credit loss is necessary on these securities, the Bank uses cash flow analyses.
At each quarter end, the Bank compares the present value of the cash flows expected to be collected on its PLRMBS, using the effective interest rate, to the amortized cost basis of the securities to determine whether a credit loss exists. The expected credit losses are measured using:
expected housing price changes;
expected interest rate assumptions;
the remaining payment terms for the security;
expected default rates based on underlying loan-level borrower and loan characteristics;
loss severities on the collateral supporting each unique PLRMBS based on underlying loan-level borrower and loan characteristics; and
prepayment speeds based on underlying loan-level borrower and loan characteristics.
The projectedexpected 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 reflect management’s expectations and 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.
For PLRMBS with previous credit losses related to the prior methodology of evaluating credit losses (securities for which the Bank determined that it does not expect to recover the entire amortized cost basis), measurement of the
12

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


credit loss amount for PLRMBS classified as Level 3 as of September 30, 2023,March 31, 2024, uses significant inputs and assumptions that include, based on unpaid principal balance, the weighted average percentage of prepayment rates of 10.9%10.3%; default rates of 10.0%7.2%; and loss severities of 46.4%52.3%. The weighted average percentage of the related current credit enhancement for these securities, based on unpaid principal balance, was 8.6% as of September 30, 2023.March 31, 2024. Credit enhancement is defined as the percentage of subordinated tranches, excess spread, and over-collateralization, if any, in a security structure that will generally absorb losses before the Bank will experience a loss on the security.
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Federal Home Loan Bank of San Francisco
Notes to Financial Statements (continued)


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. There were no transfers of PLRMBS from the Bank’s HTM portfolio to its AFS portfolio during the three months ended September 30,March 31, 2024 and 2023. The Bank transferred PLRMBS from its HTM portfolio to its AFS portfolio with an amortized cost and fair value at the time of the transfer of $2 million during the nine months ended September 30, 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 and fair value at the time of the transfer of $1 million during the three months ended September 30, 2022. 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 fair value of $20 million at the time of the transfer during the nine months ended September 30, 2022.
For the Bank’s PLRMBS, the Bank recorded a provision forreversal of credit losses of $7$4 million and $1 million during the three and nine months ended September 30, 2023. The Bank recordedMarch 31, 2024 and 2023, respectively, largely as a provision for credit lossesresult of $9 million during the three and nine months ended September 30, 2022. The provisions were recorded largely because of declinesimprovements in the fair values the present value of expected cash flows of certain PLRMBS, and decreased expectations of the performance of loanunderlying collateral underlying theseon certain securities.
The total net accretion recognized in interest income associated with PLRMBS with previous credit losses related to the prior methodology of evaluating credit losses totaled $8 milliona de minimis amount and $14$11 million for the three months ended September 30,March 31, 2024 and 2023, and 2022, respectively, and $27 million and $43 million for the nine months ended September 30, 2023 and 2022, respectively. Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities totaled $5 million and $9 million for the three months ended September 30, 2023 and 2022, respectively, and $17 million and $27 million for the nine months ended September 30, 2023 and 2022, respectively.

Note 4 — Advances
The Bank offers a wide range of fixed and adjustable rate advance products with different maturities, interest rates, payment characteristics, and option features. Fixed rate advances generally have maturities ranging from one day to 30 years. Adjustable rate advances generally have maturities ranging from one day to 10 years, with the interest rates resetting periodically at a fixed spread to a specified index.
Redemption Terms. The following table presents advances outstanding by redemption term and weighted-average interest rate at September 30, 2023,March 31, 2024, and December 31, 2022.2023.
13

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


(Dollars in millions)(Dollars in millions)September 30, 2023December 31, 2022(Dollars in millions)March 31, 2024December 31, 2023
Redemption TermRedemption Term
Amount
Outstanding(1)
Weighted
Average
Interest Rate
Amount
Outstanding(1)
Weighted
Average
Interest Rate
Redemption Term
Amount
Outstanding(1)
Weighted
Average
Interest Rate
Amount
Outstanding(1)
Weighted
Average
Interest Rate
Overdrawn demand and overnight deposit accountsOverdrawn demand and overnight deposit accounts$20 5.15 %$4.15 %Overdrawn demand and overnight deposit accounts$91 5.15 5.15 %$5.15 5.15 %
Within 1 year(2)
Within 1 year(2)
32,217 4.98 71,050 4.34 
After 1 year through 2 yearsAfter 1 year through 2 years17,839 3.90 7,634 3.30 
After 2 years through 3 yearsAfter 2 years through 3 years6,438 2.99 4,036 2.22 
After 3 years through 4 yearsAfter 3 years through 4 years2,262 3.47 3,391 2.05 
After 4 years through 5 yearsAfter 4 years through 5 years4,436 4.00 2,815 3.24 
After 5 yearsAfter 5 years1,345 3.70 1,189 3.50 
Total par valueTotal par value64,557 4.34 %90,117 4.03 %Total par value57,443 3.86 3.86 %61,710 4.38 4.38 %
Valuation adjustments for hedging activitiesValuation adjustments for hedging activities(921)(670)
Valuation adjustments under fair value optionValuation adjustments under fair value option(52)(47)
Valuation adjustments under fair value option
Valuation adjustments under fair value option
TotalTotal$63,584 $89,400 
Total
Total
(1)Carrying amounts exclude accrued interest receivable of $104$84 million and $241$85 million at September 30, 2023,March��31, 2024, and December 31, 2022,2023, respectively.
(2)Advances outstanding with redemption terms within three months totaled $15.7$14.2 billion and $46.3$16.8 billion at September 30, 2023,March 31, 2024, and December 31, 2022,2023, respectively.
ManyAll of the Bank’s advances are prepayable at the borrower’s option. However, when advances are prepaid, the borrower is charged a prepayment fee intended to make the Bank financially indifferent to the borrower’s decision to repay the advance prior to its maturity date, which is required by the Finance AgencyAgency’s 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 $40.5$38.2 billion at September 30, 2023,March 31, 2024, and $19.2$39.8 billion at December 31, 2022.2023. The Bank had advances with partial prepayment symmetry outstanding totaling $0.5 billion$182 million at September 30, 2023,March 31, 2024, and $1.0 billion$209 million at December 31, 2022.2023. Some advances may be repaid on specified call dates without prepayment fees (callable advances). The Bank had callable advances outstanding totaling $4.6 billion$840 million at September 30, 2023,March 31, 2024, and $9.8$3.3 billion at December 31, 2022.2023.
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Federal Home Loan Bank of San Francisco
Notes to Financial Statements (continued)


The Bank had putable advances totaling $1.5$2.0 billion at September 30, 2023,March 31, 2024, and $0.8$1.4 billion at December 31, 2022.2023. At the Bank’s discretion, the Bank may terminate these advances on predetermined exercise dates and offer replacement funding at prevailing market rates, subject to certain conditions. The Bank would typically exercise such termination rights when interest rates increase relative to contractual rates.
The following table summarizes advances at September 30, 2023,March 31, 2024, and December 31, 2022,2023, by the earlier of the year of redemption term or next call date for callable advances and by the earlier of the year of redemption term or next put date for putable advances.
Earlier of Redemption
Term or Next Call Date
Earlier of Redemption
Term or Next Put Date
Earlier of Redemption
Term or Next Call Date
Earlier of Redemption
Term or Next Call Date
Earlier of Redemption
Term or Next Put Date
(In millions)(In millions)September 30, 2023December 31, 2022September 30, 2023December 31, 2022(In millions)March 31, 2024December 31, 2023March 31, 2024December 31, 2023
Overdrawn demand and overnight deposit accountsOverdrawn demand and overnight deposit accounts$20 $$20 $
Within 1 yearWithin 1 year32,537 71,370 33,198 71,850 
After 1 year through 2 yearsAfter 1 year through 2 years17,849 7,634 18,349 7,634 
After 2 years through 3 yearsAfter 2 years through 3 years6,438 4,046 6,182 3,836 
After 3 years through 4 yearsAfter 3 years through 4 years2,272 3,391 2,262 3,391 
After 4 years through 5 yearsAfter 4 years through 5 years4,436 2,825 3,501 2,215 
After 5 yearsAfter 5 years1,005 849 1,045 1,189 
Total par valueTotal par value$64,557 $90,117 $64,557 $90,117 
Concentration Risk. The following tables present the concentration in advances to the top 10 borrowers and their affiliates at March 31, 2024 and 2023. The tables also present the interest income from these advances before the impact of interest rate exchange agreements hedging these advances for the three months ended March 31, 2024 and 2023.

March 31, 2024Three Months Ended
March 31, 2024
(Dollars in millions)
Name of Borrower
Advances
Outstanding
Percentage of
Total
Advances
Outstanding
Interest
Income from
Advances
(1)
Percentage of
Total Interest
Income from
Advances
JPMorgan Chase, National Association(2)
$21,319 37 %$239 40 %
Western Alliance Bank5,750 10 44 
East West Bank3,500 
First Technology Federal Credit Union(3)
2,114 15 
MUFG Union Bank, National Association(4)
2,050 12 
SchoolsFirst Federal Credit Union1,823 20 
Bank of America California, National Association1,450 19 
First Foundation Bank1,350 13 
Washington Federal Bank(5)
1,143 
Wescom Central Credit Union930 10 
Subtotal41,429 73 388 65 
Others16,014 27 211 35 
Total par value$57,443 100 %$599 100 %
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Federal Home Loan Bank of San Francisco
Notes to Financial Statements (continued)


Concentration Risk. The following tables present the concentration in advances to the top 10 borrowers and their affiliates at September 30, 2023 and 2022. The tables also present the interest income from these advances before the impact of interest rate exchange agreements hedging these advances for the three and nine months ended September 30, 2023 and 2022.
September 30, 2023
(Dollars in millions)September 30, 2023Three Months Ended
September 30, 2023
Nine Months Ended
September 30, 2023
Name of BorrowerAdvances
Outstanding
Percentage of
Total
Advances
Outstanding
Interest
Income from
Advances
(1)
Percentage of
Total Interest
Income from
Advances
Interest
Income from
Advances
(1)
Percentage of
Total Interest
Income from
Advances
JPMorgan Chase, National Association(2)
$26,409 41 %$286 41 %$751 28 %
Western Alliance Bank4,700 23 155 
City National Bank4,250 95 13 316 12 
First Technology Federal Credit Union(3)
3,300 34 108 
MUFG Union Bank, National Association(5)
2,050 12 142 
SchoolsFirst Federal Credit Union1,523 13 29 
Bank of America California, National Association1,450 15 44 
Luther Burbank Savings(3)(4)
1,427 12 34 
Wells Fargo National Bank West1,000 14 64 
Logix Federal Credit Union(3)
930 10 33 
Subtotal47,039 72 514 73 1,676 62 
Others17,518 28 190 27 1,006 38 
Total par value$64,557 100 %$704 100 %$2,682 100 %
September 30, 2022
(Dollars in millions)September 30, 2022Three Months Ended
September 30, 2022
Nine Months Ended
September 30, 2022
Name of BorrowerAdvances
Outstanding
Percentage of
Total
Advances
Outstanding
Interest
Income from
Advances
(1)
Percentage of
Total Interest
Income from
Advances
Interest
Income from
Advances
(1)
Percentage of
Total Interest
Income from
Advances
Silicon Valley Bank(6)
$13,500 20 %$18 %$20 %
First Republic Bank (subsequently acquired by JPMorgan Chase, National Association)(2)
11,000 17 65 20 94 18 
MUFG Union Bank, National Association(5)
7,950 12 46 14 81 15 



March 31, 2023Three Months Ended
March 31, 2023
(Dollars in millions)
Name of Borrower
(Dollars in millions)
Name of Borrower
(Dollars in millions)
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(2)
First Republic Bank(2)
$28,100 28 %$176 18 %
MUFG Union Bank, National Association(4)
Western Alliance BankWestern Alliance Bank4,000 19 25 
City National Bank
Pacific Western Bank(6)
First Technology Federal Credit Union(3)
First Technology Federal Credit Union(3)
3,737 22 41 
Bank of the West(7)
Bank of the West(7)
2,500 — — 
City National Bank2,050 
Wells Fargo National Bank WestWells Fargo National Bank West2,000 — 
Pacific Western Bank(8)
1,370 — 
Luther Burbank Savings(3)(4)
1,202 12 
First Foundation Bank
Luther Burbank Savings Bank(5)(8)
SubtotalSubtotal49,309 75 186 57 287 54 
OthersOthers17,089 25 147 43 248 46 
Total par valueTotal par value$66,398 100 %$333 100 %$535 100 %Total par value$102,019 100 100 %$971 100 100 %
(1)    Interest income amounts exclude the interest effect of interest rate exchange agreements with derivative counterparties; as a result, the total interest income amounts will not agree to the Statements of Income. The amount of interest income from advances can vary depending on the amount outstanding, terms to maturity, interest rates, and repricing characteristics.
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Federal Home Loan Bank of San Francisco
Notes to Financial Statements (continued)


(2)    On May 1, 2023, the California Department of Financial Protection and Innovation (DFPI) closed First Republic Bank and appointed the FDIC as receiver. On the same date, the FDIC transferred all of the deposits and substantially all of the assets of First Republic Bank, including $28.1 billion in advances outstanding from the Bank, to JPMorgan Chase, National Association, a nonmember. These advances outstanding are fully collateralized and are not expected to result in any credit loss to the Bank.
(3)    An officer or director of the member iswas a Bank director.director during 2024 and 2023.
(4)    On November 14, 2022, Luther Burbank Savings and Washington Federal, Inc. (a nonmember bank) announced the signing of a definitive merger agreement pursuant to which Washington Federal, Inc. will acquire Luther Burbank Savings, subject to receipt of regulatory and shareholder approval. On May 5, 2023, it was announced that merger approval was received from shareholders of both banks.
(5)    On December 1, 2022, U.S. Bancorp, a nonmember, announced that it completed its acquisition of MUFG Union Bank, National Association.
(6)(5)    On March 10, 2023, Silicon ValleyFebruary 29, 2024, Washington Federal Bank was closed by(a nonmember bank) announced that it completed its acquisition of Luther Burbank Savings. On the California DFPI and the FDIC was named as receiver. The FDIC created Silicon Valley Bridgesame date, Washington Federal Bank N.A., wherebyassumed all of the depositsassets and substantially all assetsliabilities of Silicon Valley Bank were transferredLuther Burbank Savings, including $1.2 billion in advances outstanding from the Bank. These advances outstanding are fully collateralized and are not expected to result in any credit loss to the bridge bank. AsBank.
(6)    On December 1, 2023, Banc of March 31, 2023, Silicon Valley Bridge Bank,California, N.A., announced that it had prepaid all outstanding advances to the Bank. On March 26, 2023, the FDIC entered into a purchase and assumption agreement for all the deposits and loanscompleted its acquisition of Silicon Valley Bridge Bank, N.A., with First Citizens Bank and Trust Company. Silicon Valley Bank is no longer a member of thePacific Western Bank.
(7)    On February 1, 2023, BMO Harris, a nonmember, announced that it completed its acquisition of Bank of the West.
(8)    On July 25, 2023, Pacific Western Bank and Banc of California, N.A., announced the signing of a definitive agreement to combine in a merger transaction. Under the termsAn officer or director of the agreement, PacWest Bancorp will merge into Banc of California, Inc., and Banc of California, N.A., will merge into Pacific Western Bank. The merger transaction is subject to regulatory and shareholder approval. On October 19, 2023, itmember was announced that the merger approval was received from the regulatory agencies. At September 30, 2023, total advances outstanding to Banc of California, N.A., were $811 million. There were no advances outstanding to Pacific Westerna Bank at September 30,director during 2023. At September 30, 2022, there were $1.4 billion and $731 million of advances outstanding to Pacific Western Bank and Banc of California, N.A., respectively.

Credit Risk Exposure and Security Terms. The Bank manages its credit exposure related to advances through an integrated approach that provides for a credit limit to be established for each borrower, includes an ongoing review of each borrower’s financial condition, and is coupled with conservative collateral and lending policies to limit the risk of loss.
In addition, the Bank lends to member financial institutions that have their principal place of business in Arizona, California, or Nevada, in accordance with federal law and the Finance AgencyAgency’s regulations. Specifically, the Bank is required to obtain sufficient collateral to fully secure credit products up to the member’s total credit limit. Borrowers may pledge the following eligible assets to secure advances:
one-to-four-family first lien residential mortgage loans;
securities issued, insured, or guaranteed by the U.S. government or any of its agencies, including without limitation MBS backed by Fannie Mae, Freddie Mac, or Ginnie Mae;
cash or deposits in the Bank;
certain other real estate-related collateral, such as certain privately issued MBS, multifamily loans, commercial real estate loans, and second lien residential mortgage loans or home equity loans; and
small business, small farm, and small agribusiness loans that are fully secured by collateral (such as real estate, equipment and vehicles, accounts receivable, and inventory) from members that are community financial institutions.
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Federal Home Loan Bank of San Francisco
Notes to Financial Statements (continued)


The Bank has advances outstanding to former members and member successors, which are subject to the security terms above. The Bank requires each borrowing member to execute a written Advances and Security Agreement, which describes the lending relationship between the Bank and the borrower. At September 30, 2023,March 31, 2024, and December 31, 2022,2023, the Bank had a perfected security interest in collateral pledged by each borrowing member, or by the member's affiliate on behalf of the member, and by each nonmember borrower, with an estimated value in excess of the outstanding credit products for that borrower. Based on the financial condition of the borrower, the Bank may either (i) allow the borrower or the pledging affiliate to retain physical possession of loan collateral pledged to the Bank, provided that the borrower or the pledging affiliate agrees to hold the collateral for the benefit of the Bank, or (ii) require the borrower or the pledging affiliate to deliver physical possession of loan collateral to the Bank or its custodial agent. All securities collateral is required to be delivered to the Bank’s custodial agent. All loan collateral pledged to the Bank is subject to a Uniform Commercial Code-1 financing statement.
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.
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Federal Home Loan Bank of San Francisco
Notes to Financial Statements (continued)


At September 30, 2023,March 31, 2024, and December 31, 2022,2023, none of the Bank’s credit products were past due or on nonaccrual status. There were no modifications to credit products related to borrowers experiencing financial difficulty during the three and nine months ended September 30, 2023.March 31, 2024.
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 September 30,March 31, 2024, and December 31, 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 September 30, 2023,March 31, 2024, and December 31, 2022.2023.
Interest Rate Payment Terms. Interest rate payment terms for advances at September 30, 2023,March 31, 2024, and December 31, 2022,2023, are detailed below:
(In millions)(In millions)September 30, 2023December 31, 2022(In millions)March 31, 2024December 31, 2023
Par value of advances:Par value of advances:
Fixed rate:Fixed rate:
Fixed rate:
Fixed rate:
Due within 1 year
Due within 1 year
Due within 1 yearDue within 1 year$18,779 $47,621 
Due after 1 yearDue after 1 year32,320 18,050 
Total fixed rateTotal fixed rate51,099 65,671 
Adjustable rate:Adjustable rate:
Due within 1 yearDue within 1 year13,458 23,431 
Due within 1 year
Due within 1 year
Due after 1 yearDue after 1 year— 1,015 
Total adjustable rateTotal adjustable rate13,458 24,446 
Total par valueTotal par value$64,557 $90,117 
Note 5 — Mortgage Loans Held for Portfolio
Mortgage loans held for portfolio consist of single-family mortgage loans purchased from participating financial
institutions under the Mortgage Partnership Finance® (MPF®) Program (“Mortgage Partnership Finance” and “MPF” are registered trademarks of the FHLBank of Chicago). The following table presents information as of September 30, 2023,March 31, 2024, and December 31, 2022,2023, on mortgage loans held for portfolio, all of which are secured by one- to four-unit residential properties and single-unit homes.
(In millions)September 30, 2023December 31, 2022
Fixed rate medium-term mortgage loans$13 $14 
Fixed rate long-term mortgage loans718 761 
Subtotal731 775 
Unamortized premiums42 43 
Unamortized discounts(2)(2)
Mortgage loans held for portfolio(1)
771 816 
Less: Allowance for credit losses(1)(1)
Total mortgage loans held for portfolio, net$770 $815 
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Federal Home Loan Bank of San Francisco
Notes to Financial Statements (continued)


(In millions)March 31, 2024December 31, 2023
Fixed rate medium-term mortgage loans(1)
$11 $12 
Fixed rate long-term mortgage loans(1)
693 704 
Subtotal704 716 
Unamortized premiums40 41 
Unamortized discounts(1)(2)
Mortgage loans held for portfolio(2)
743 755 
Less: Allowance for credit losses(1)(1)
Total mortgage loans held for portfolio, net$742 $754 
(1)Excludes accrued interest receivable of $5 million at both September 30, 2023, and December 31, 2022.
Medium-term loans have original contractual terms of 15 years or less, and long-term loans have contractual terms of more than 15 years.
(2)Excludes accrued interest receivable of $5 million at March 31, 2024, and December 31, 2023.
Payment Status of Mortgage Loans. Payment status is the key credit quality indicator for conventional mortgage loans and allows the Bank to monitor the migration of past due loans. 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. Other delinquency statistics include nonaccrual loans and loans in process of foreclosure. The following tables presenttable presents the payment
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Federal Home Loan Bank of San Francisco
Notes to Financial Statements (continued)


status for mortgage loans and other delinquency statistics for the Bank’s mortgage loans at September 30, 2023,March 31, 2024, and December 31, 2022.2023.
September 30, 2023
(Dollars in millions)Origination Year
Payment Status2019 to 2023Prior to 2019
Amortized Cost(1)
30 – 59 days delinquent$$$
60 – 89 days delinquent
90 days or more delinquent12 16 
Total past due19 25 
Total current loans347 399 746 
Total mortgage loans held for portfolio$353 $418 $771 
In process of foreclosure, included above(2)
$
Nonaccrual loans(3)
$16 
Serious delinquencies as a percentage of total mortgage loans outstanding(4)
2.13 %
December 31, 2022
(Dollars in millions)(Dollars in millions)Origination Year
Payment Status2018 to 2022Prior to 2018
Amortized Cost(1)
(Dollars in millions)
(Dollars in millions)
Payment Status, at Amortized Cost(1)
Payment Status, at Amortized Cost(1)
Payment Status, at Amortized Cost(1)
March 31, 2024December 31, 2023
30 – 59 days delinquent30 – 59 days delinquent$$$
60 – 89 days delinquent60 – 89 days delinquent
90 days or more delinquent90 days or more delinquent11 19 
Total past dueTotal past due17 14 31 
Total current loansTotal current loans449 336 785 
Total mortgage loans held for portfolioTotal mortgage loans held for portfolio$466 $350 $816 
In process of foreclosure, included above(2)
In process of foreclosure, included above(2)
$
Nonaccrual loans(3)
Nonaccrual loans(3)
$19 
Serious delinquencies as a percentage of total mortgage loans outstanding(4)
Serious delinquencies as a percentage of total mortgage loans outstanding(4)
2.30 %
Serious delinquencies as a percentage of total mortgage loans outstanding(4)
Serious delinquencies as a percentage of total mortgage loans outstanding(4)
2.23 %2.17 %
(1)    The amortized cost in a loan is the unpaid principal balance of the loan, adjusted for net deferred loan fees or costs, unamortized premiums or discounts, and direct write-downs.
(2)    Includes loans for which the servicer has reported a decision to foreclose or to pursue a similar alternative, such as deed-in-lieu. Loans in process of foreclosure are included in past due or current loans depending on their delinquency status.
(3)    At September 30, 2023,March 31, 2024, and December 31, 2022,2023, $5 million and $7 million, respectively, of mortgage loans on nonaccrual status did not have an associated allowance for credit losses because these loans were either previously charged off to the expected recoverable value or the fair value of the underlying collateral, including any credit enhancements, is greater than the amortized cost of the loans.
(4)    Represents loans that are 90 days or more past due or in the process of foreclosure as a percentage of the recorded investment of total mortgage loans outstanding.
Allowance for Credit Losses on Mortgage Loans Held for Portfolio. Mortgage loans held for portfolio are evaluated on a loan-level basis for expected credit losses, factoring in the credit enhancement structure at the master commitment level. The Bank determines its allowance for credit losses on mortgage loans held for portfolio through analyses that include consideration of various loan portfolio and collateral related characteristics, such as past performance, current conditions, and reasonable and supportable forecasts of expected economic conditions. The Bank uses models that employ a variety of methods, such as projected cash flows, to estimate expected credit losses over the life of the loans. These models rely on a number of inputs, such as current and forecasted property values and interest rates as well as historical borrower behavior experience. At September 30, 2023,March 31, 2024, the Bank’s reasonable and supportable forecast of housing prices expects, on average, for prices to appreciate 2.7%1.5% over a one-year forecast horizon before reverting to long-term housing price appreciation rates of 4.0% after five additional years in the forecast based on historical averages. At December 31, 2022, the Bank’s reasonable and supportable forecast of housing prices expected, on average, for prices to depreciate 0.7% over a one-year forecast horizon before reverting to long-term housing price appreciation rates of 4.0% after five additional years in the forecast based on historical
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Notes to Financial Statements (continued)


forecast based on historical averages. At December 31, 2023, the Bank’s reasonable and supportable forecast of housing prices expected, on average, for prices to appreciate 1.3% over a one-year forecast horizon before reverting to long-term housing price appreciation rates of 4.0% after five additional years in the forecast based on historical averages. The Bank also incorporates associated credit enhancements, if any, to determine its estimate of expected credit losses.
Certain mortgage loans held for portfolio may be evaluated for credit losses by the Bank using the practical expedient for collateral-dependent assets. A mortgage loan is considered collateral-dependent if repayment is expected to be provided by the sale of the underlying property, that is, if it is considered likely that the borrower will default. The Bank may estimate the fair value of this collateral by applying an appropriate loss severity rate or using third-party estimates or property valuation models. The expected credit loss of a collateral-dependent mortgage loan is equal to the difference between the amortized cost of the loan and the estimated fair value of the collateral, less estimated selling costs. The Bank will either reserve for these estimated losses or record a direct charge-off of the loan balance, if certain triggering criteria are met. Expected recoveries of prior charge-offs, if any, are included in the allowance for credit loss.
At both September 30,March 31, 2024 and 2023, and 2022, the allowance for credit losses on the mortgage loan portfolio was $1 million. The amount of charge-offs and recoveries ofrelated to the allowance for credit losses on the mortgage loan portfolio were de minimis for the three and nine months ended September 30, 2023March 31, 2024 and 2022.2023.
For more information related to the Bank’s accounting policies for mortgage loans held for portfolio, see “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 20222023 Form 10-K.

Note 6 — Deposits
The Bank maintains demand deposit accounts that are directly related to the extension of credit to members and offers short-term deposit programs to members and qualifying nonmembers. In addition, a member that services mortgage loans 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 September 30, 2023,March 31, 2024, and December 31, 2022,2023, were as follows:
September 30, 2023December 31, 2022
(Dollars in millions)Amount
Outstanding
Amount
Outstanding
Interest-bearing deposits:
Adjustable rate$758 $983 
Fixed rate— 
Total interest-bearing deposits763 983 
Non-interest-bearing deposits
Total$768 $989 
March 31, 2024December 31, 2023
(Dollars in millions)Amount
Outstanding
Weighted
Average
Interest Rate
Amount
Outstanding
Weighted
Average
Interest Rate
Interest-bearing deposits (adjustable rate)$912 5.15 %$957 5.15 %
Non-interest-bearing deposits
Total$917 $962 

Note 7 — Consolidated Obligations
Consolidated obligations, consisting of bonds and discount notes, are jointly issued by the Federal Home Loan Banks (FHLBanks) through the Office of Finance, which serves as the FHLBanks’ agent. As provided by the Federal Home Loan Bank Act of 1932, as amended (FHLBank Act) or by regulations governing the operations of the FHLBanks, all FHLBanks have joint and several liability for all FHLBank consolidated obligations. For a discussion of the joint and several liability regulation, see “Item 8. Financial Statements and Supplementary Data – Note 15 – Commitments and Contingencies” in the Bank’s 2023 Form 10-K. In connection with each issuance of
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Notes to Financial Statements (continued)


Note 16 – Commitments and Contingencies” in the Bank’s 2022 Form 10-K. In connection with each issuance of consolidated obligations, each FHLBank specifies the type, term, and amount of debt it requests to have issued on its behalf. The Office of Finance tracks the amount of debt issued on behalf of each FHLBank. In addition, the Bank separately tracks and records as a liability its specific portion of the consolidated obligations issued and is the primary obligor for that portion of the consolidated obligations issued. The Finance Agency and the U.S. Secretary of the Treasury have oversight over the issuance of FHLBank debt through the Office of Finance.
Redemption Terms. The following is a summary of the Bank’s participation in consolidated obligation bonds at September 30, 2023,March 31, 2024, and December 31, 2022.2023.
(Dollars in millions)(Dollars in millions)September 30, 2023December 31, 2022(Dollars in millions)March 31, 2024December 31, 2023
Contractual MaturityContractual MaturityAmount
Outstanding
Weighted
Average
Interest Rate
Amount
Outstanding
Weighted
Average
Interest Rate
Contractual MaturityAmount
Outstanding
Weighted
Average
Interest Rate
Amount
Outstanding
Weighted
Average
Interest Rate
Within 1 yearWithin 1 year$51,360 5.03 %$58,301 4.05 %Within 1 year$44,160 4.87 4.87 %$42,821 4.84 4.84 %
After 1 year through 2 yearsAfter 1 year through 2 years11,120 3.63 8,268 2.30 
After 2 years through 3 yearsAfter 2 years through 3 years6,003 1.54 2,317 1.26 
After 3 years through 4 yearsAfter 3 years through 4 years1,760 1.33 5,473 0.99 
After 4 years through 5 yearsAfter 4 years through 5 years822 2.45 1,255 1.47 
After 5 yearsAfter 5 years856 2.25 1,293 1.73 
Total par valueTotal par value71,921 4.37 %76,907 3.47 %Total par value65,102 4.41 4.41 %64,977 4.37 4.37 %
Unamortized premiums— 
Unamortized discounts
Unamortized discounts
Unamortized discountsUnamortized discounts(7)(5)
Valuation adjustments for hedging activitiesValuation adjustments for hedging activities(964)(1,083)
Valuation adjustments for hedging activities
Valuation adjustments for hedging activities
Fair value option valuation adjustments
Fair value option valuation adjustments
Fair value option valuation adjustmentsFair value option valuation adjustments(43)(52)
TotalTotal$70,907 $75,768 
Total
Total
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 September 30, 2023,March 31, 2024, and December 31, 2022,2023, was as follows:
(In millions)(In millions)September 30, 2023December 31, 2022(In millions)March 31, 2024December 31, 2023
Par value of consolidated obligation bonds:Par value of consolidated obligation bonds:
Non-callableNon-callable$44,814 $57,164 
Non-callable
Non-callable
CallableCallable27,107 19,743 
Total par valueTotal par value$71,921 $76,907 
The following is a summary of the Bank’s participation in consolidated obligation bonds outstanding at September 30, 2023,March 31, 2024, and December 31, 2022,2023, by the earlier of the year of contractual maturity or next call date.
2019

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


(In millions)(In millions)
Earlier of Contractual
Maturity or Next Call Date
Earlier of Contractual
Maturity or Next Call Date
Earlier of Contractual
Maturity or Next Call Date
Earlier of Contractual
Maturity or Next Call Date
September 30, 2023December 31, 2022March 31, 2024December 31, 2023
Within 1 yearWithin 1 year$66,665 $73,049 
After 1 year through 2 yearsAfter 1 year through 2 years4,770 3,310 
After 2 years through 3 yearsAfter 2 years through 3 years268 187 
After 3 years through 4 yearsAfter 3 years through 4 years170 313 
After 4 years through 5 yearsAfter 4 years through 5 years12 — 
After 5 yearsAfter 5 years36 48 
Total par valueTotal par value$71,921 $76,907 
Consolidated obligation discount notes are consolidated obligations issued to raise short-term funds. These notes are issued at less than their face value and redeemed at par value when they mature. The Bank’s participation in consolidated obligation discount notes, all of which are due within one year, was as follows:
September 30, 2023December 31, 2022 March 31, 2024December 31, 2023
(Dollars in millions)(Dollars in millions)Amount
Outstanding
Weighted Average
Interest Rate (1)
Amount
Outstanding
Weighted Average
Interest Rate (1)
(Dollars in millions)Amount
Outstanding
Weighted Average
Interest Rate (1)
Amount
Outstanding
Weighted Average
Interest Rate (1)
Par valuePar value$14,406 5.18 %$36,159 4.13 %Par value$14,468 5.20 5.20 %$19,321 5.23 5.23 %
Unamortized discountsUnamortized discounts(113)(230)
TotalTotal$14,293 $35,929 
Total
Total
(1)Represents yield to maturity excluding concession fees.
Interest Rate Payment Terms. Interest rate payment terms for consolidated obligation bonds at September 30, 2023,March 31, 2024, and December 31, 2022,2023, are detailed in the following table. For information on the general terms and types of consolidated obligation bonds outstanding, see “Item 8. Financial Statements and Supplementary Data – Note 8 – Consolidated Obligations” in the Bank’s 20222023 Form 10-K.
(In millions)(In millions)September 30, 2023December 31, 2022(In millions)March 31, 2024December 31, 2023
Par value of consolidated obligation bonds:Par value of consolidated obligation bonds:
Par value of consolidated obligation bonds:
Par value of consolidated obligation bonds:
Fixed rate
Fixed rate
Fixed rateFixed rate$37,598 $25,632 
Adjustable rateAdjustable rate33,675 48,997 
Step-upStep-up648 2,278 
Total consolidated obligation bonds, par valueTotal consolidated obligation bonds, par value$71,921 $76,907 
Total consolidated obligation bonds, par value
Total consolidated obligation bonds, par value
2120

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


Note 8 — Accumulated Other Comprehensive Income/(Loss)
The following table summarizes the changes in Accumulated Other Comprehensive IncomeIncome/(Loss) (AOCI) for the three months ended September 30, 2023March 31, 2024 and 2022:2023:
(In millions)Net Unrealized Gain/(Loss) on AFS SecuritiesPension and Postretirement BenefitsTotal
AOCI
Balance, June 30, 2022$111 $(11)$100 
Other comprehensive income/(loss):
Net change in fair value(88)(88)
Net current period other comprehensive income/(loss)(88)— (88)
Balance, September 30, 2022$23 $(11)$12 
Balance, June 30, 2023$(4)$(15)$(19)
Other comprehensive income/(loss):
Net change in pension and postretirement benefits(1)(1)
Net change in fair value(35)(35)
Net current period other comprehensive income/(loss)(35)(1)(36)
Balance, September 30, 2023$(39)$(16)$(55)
The following table summarizes the changes in AOCI for the nine months ended September 30, 2023 and 2022:
(In millions)Net Unrealized Gain/(Loss) on AFS SecuritiesPension and Postretirement BenefitsTotal
AOCI
Balance, December 31, 2021$340 $(9)$331 
Other comprehensive income/(loss):
Net change in pension and postretirement benefits(2)(2)
Net change in fair value(317)(317)
Net current period other comprehensive income/(loss)(317)(2)(319)
Balance, September 30, 2022$23 $(11)$12 
Balance, December 31, 2022$(14)$(15)$(29)
Other comprehensive income/(loss):
Net change in pension and postretirement benefits(1)(1)
Net change in fair value(25)(25)
Net current period other comprehensive income/(loss)(25)(1)(26)
Balance, September 30, 2023$(39)$(16)$(55)

(In millions)Net Unrealized Gain/(Loss) on AFS SecuritiesPension and Postretirement BenefitsTotal
AOCI
Balance, December 31, 2022$(14)$(15)$(29)
Other comprehensive income/(loss):
Net change in fair value(32)(32)
Net current period other comprehensive income/(loss)(32)— (32)
Balance, March 31, 2023$(46)$(15)$(61)
Balance, December 31, 2023$(61)$(11)$(72)
Other comprehensive income/(loss):
Net change in fair value99 99 
Net current period other comprehensive income/(loss)99 — 99 
Balance, March 31, 2024$38 $(11)$27 
Note 9 — Capital
Capital Requirements. 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 regulatory capital, leverage capital, and risk-based capital. For further information related to the Bank’s capital requirements, see “Item 8. Financial Statements and Supplementary Data – Note 11 – Capital” in the Bank’s 2022 Form 10-K.
As of September 30, 2023,March 31, 2024, and December 31, 2022,2023, the Bank complied with these capital rules and requirements as shown in the following table.
22

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


September 30, 2023December 31, 2022
March 31, 2024March 31, 2024December 31, 2023
(Dollars in millions)(Dollars in millions)RequiredActualRequiredActual(Dollars in millions)RequiredActualRequiredActual
Risk-based capitalRisk-based capital$1,255 $7,483 $898 $7,757 
Total regulatory capitalTotal regulatory capital$3,801 $7,483 $4,842 $7,757 
Total regulatory capital ratioTotal regulatory capital ratio4.00 %7.87 %4.00 %6.41 %Total regulatory capital ratio4.00 %8.43 %4.00 %8.02 %
Leverage capitalLeverage capital$4,751 $11,224 $6,053 $11,636 
Leverage ratioLeverage ratio5.00 %11.81 %5.00 %9.61 %Leverage ratio5.00 %12.64 %5.00 %12.03 %
The Bank’s capital plan requires each membershareholder 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 ranges established in the capital plan. Any changes to the capital plan must be approved by the Bank’s board of directors (Board) and the Finance Agency.
For information on the Bank’s membership capital stock requirement and activity-based capital stock requirement, see “Item 8.
21

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Federal Home Loan Bank of San Francisco
Notes to Financial Statements and Supplementary Data – Note 11 – Capital – Capital Requirements” in the Bank’s 2022 Form 10-K.(continued)


Mandatorily Redeemable Capital Stock. The Bank had mandatorily redeemable capital stock totaling $776$666 million outstanding to seven institutions at March 31, 2024, and $706 million outstanding to six institutions at September 30, 2023, and $5 million outstanding to three institutions at December 31, 2022.2023. These amounts have been classified as a liability on the Bank’s Statements of Condition. The changes in mandatorily redeemable capital stock for the three and nine months ended September 30,March 31, 2024 and 2023 and 2022 were as follows:
Three Months EndedNine Months Ended
Three Months Ended
Three Months Ended
Three Months Ended
(In millions)(In millions)September 30, 2023September 30, 2022September 30, 2023September 30, 2022
Balance at the beginning of the periodBalance at the beginning of the period$843 $$$
Balance at the beginning of the period
Balance at the beginning of the period
Reclassified from/(to) capital during the period
Reclassified from/(to) capital during the period
Reclassified from/(to) capital during the periodReclassified from/(to) capital during the period1,252 36 
Repurchase/redemption of mandatorily redeemable capital stockRepurchase/redemption of mandatorily redeemable capital stock(68)(5)(481)(35)
Repurchase/redemption of mandatorily redeemable capital stock
Repurchase/redemption of mandatorily redeemable capital stock
Balance at the end of the periodBalance at the end of the period$776 $$776 $
Balance at the end of the period
Balance at the end of the period
Cash dividends on mandatorily redeemable capital stock were recorded as interest expense of $13$16 million and $15 milliona de minimis amount for the three and nine months ended September 30,March 31, 2024 and 2023, respectively. Cash dividends on mandatorily redeemable capital stock were recorded as interest expense of de minimis amounts for the three and nine months ended September 30, 2022.
The following table presents mandatorily redeemable capital stock amounts by contractual year of redemption at September 30, 2023,March 31, 2024, and December 31, 2022.2023.
(In millions)(In millions)
Contractual Year of RedemptionContractual Year of RedemptionSeptember 30, 2023December 31, 2022
Contractual Year of Redemption
Contractual Year of RedemptionMarch 31, 2024December 31, 2023
Year 3
Year 3
Year 3Year 3$$— 
Year 4Year 4
Year 5Year 5772 
Past contractual redemption date because of remaining activity(1)
Past contractual redemption date because of remaining activity(1)
TotalTotal$776 $
(1)    Represents mandatorily redeemable capital stock that is past the end of the contractual redemption period because there is activity outstanding to which the mandatorily redeemable capital stock relates.
23

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


If activity-based stock becomes excess stock as a result of an activity no longer remaining outstanding, the Bank may repurchase those shares, at its sole discretion, subject to the statutory and regulatory restrictions on excess stock redemption. The Bank’s mandatorily redeemable capital stock is discussed more fully in “Item 8. Financial Statements and Supplementary Data – Note 11 – Capital” in the Bank’s 2022 Form 10-K.
Excess Stock Repurchase, Retained Earnings, and Dividend Framework. The Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework (Framework) assesses the level and adequacy of retained earnings and establishes amounts to be retained in restricted retained earnings, which are not made available in the current dividend period, and maintains an amount of total retained earnings at least equal to its required retained earnings as described in the Framework. The methodology may be revised from time to time, and the required level of required retained earnings under the methodology may change due to updating data and assumptions used in the methodology. In July 2023,January 2024, the required level of retained earnings was decreased from $2.7$2.6 billion to $2.6 billion.$1.6 billion attributable to lower non-MBS investments and 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 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. In accordance with the JCE Agreement, each FHLBank is required to reclassify an amount equal to 20% of its net income each quarter to a separate restricted retained earnings account until the balance of the account, calculated as of the last day of each calendar quarter, equals at least 1% of that FHLBank's average balance of outstanding consolidated obligations for the calendar quarter. Under the JCE Agreement, these restricted retained earnings will not be available to pay
22

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


dividends. The JCE Agreement also provides that amounts in restricted retained earnings in excess of 150% of the Bank’s restricted retained earnings minimum may be released from restricted retained earnings.
For information on restricted retained earnings and the Bank’s Framework, see “Item 8. Financial Statements and Supplementary Data – Note 11 – Capital” in the Bank’s 2022 Form 10-K.
Dividend Payments – Finance Agency rules state that FHLBanks may declare and pay dividends only from previously retained earnings or current net earnings and may not declare or pay dividends based on projected or anticipated earnings. For information on
The Framework includes a dividend payments, see “Item 8. Financial Statementsphilosophy to endeavor to pay a quarterly dividend rate that is equal to or greater than the current market rate for highly rated investments and Supplementary Data – Note 11 – Capital”that is sustainable under current and projected earnings while maintaining appropriate levels of 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 2022 Form 10-K.historical dividend rates and the dividend philosophy are not indicative of future dividend declarations.
In addition, Finance Agency rules do not permit the Bank to pay dividends in the form of capital stock if its excess stock exceeds 1% of its total assets. Excess stock is defined as the aggregate of the capital stock held by each shareholder in excess of its minimum capital stock requirement, as established by the Bank’s capital plan. Excess stock totaled $118$88 million, or 0.12%0.10% of total assets as of September 30, 2023.March 31, 2024. Excess stock totaled $157$118 million, or 0.13% of total assets as of December 31, 2022.2023.
In the thirdfirst quarter of 2024, the Bank paid dividends at an annualized rate of 8.75%, totaling $69 million, including $53 million in dividends on capital stock and $16 million in dividends on mandatorily redeemable capital stock. In the first quarter of 2023, the Bank paid dividends at an annualized rate of 7.75%7.00%, totaling $76$63 million, including $63 million in dividends on capital stock and $13 million in dividends on mandatorily redeemable capital stock. In the third quarter of 2022, the Bank paid dividends at an annualized rate of 6.00%, totaling $40 million, including $40 million in dividends on capital stock and a de minimis amount in dividends on mandatorily redeemable capital stock.
24

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


In the first nine months of 2023, the Bank paid dividends at an annualized rate of 7.26%, totaling $206 million, including $191 million in dividends on capital stock and $15 million in dividends on mandatorily redeemable capital stock. In the first nine months of 2022, the Bank paid dividends at an annualized rate of 6.00%, totaling $108 million, including $108 million in dividends on capital stock and a de minimis amount in dividends on mandatorily redeemable capital stock.
For the periods referenced above, the Bank paid dividends in cash. Dividends on capital stock are recognized as dividends on the Statements of Capital Accounts, and dividends on mandatorily redeemable capital stock are recognized as interest expense on the Statements of Income.
On October 26, 2023,April 25, 2024, the Bank’s board of directors declared a quarterly cash dividend on the capital stock outstanding during the thirdfirst quarter of 20232024 at an annualized rate of 8.25%8.75%, totaling $68$66 million. The Bank recorded the dividend on October 26, 2023,April 25, 2024, and expects to pay the dividend on NovemberMay 9, 2023.2024.
Excess Stock – The Bank’s capital plan provides that the Bank may repurchase some or all of a shareholder’s excess stock at the Bank’s discretion, subject to certain statutory and regulatory requirements. The Bank may also repurchase all of a member’s excess stock at a member’s request, at the Bank’s discretion, subject to certain statutory and regulatory requirements. For information on excess stock, see “Item 8. Financial Statements and Supplementary Data – Note 11 – Capital” in the Bank’s 2022 Form 10-K.
The Bank is required to redeem any mandatorily redeemable capital stock that is in excess of a former member’s minimum stock requirement on or after the expiration of the five-year redemption date. During the thirdfirst quarter of 20232024 and 2022,2023, 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 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.
For more information on the Bank’s membership capital stock requirement and activity-based capital stock requirement, mandatorily redeemable capital stock, excess stock repurchase, retained earnings, and dividend framework, see “Item 8. Financial Statements and Supplementary Data – Note 11 – Capital” in the Bank’s 2023 Form 10-K.
23

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


Concentration. The following table presents the concentration in capital stock held by institutions whose capital stock ownership represented 10% or more of the Bank’s outstanding capital stock, including mandatorily redeemable capital stock, as of September 30, 2023,March 31, 2024, or December 31, 2022:2023:
September 30, 2023December 31, 2022
(Dollars in millions)Capital Stock OutstandingPercentage of Total Capital Stock OutstandingCapital Stock OutstandingPercentage of Total Capital Stock Outstanding
JPMorgan Chase, National Association(1)
$713 22 %$— — %
First Republic Bank(1)
— — 379 10 
Silicon Valley Bank(2)
— — 418 11 
Subtotal713 22 797 21 
Others2,548 78 2,966 79 
Total$3,261 100 %$3,763 100 %
March 31, 2024December 31, 2023
(Dollars in millions)Capital Stock OutstandingPercentage of Total Capital Stock OutstandingCapital Stock OutstandingPercentage of Total Capital Stock Outstanding
JPMorgan Chase, National Association/First Republic Bank(1)
$575 19 %$643 20 %
(1) On May 1, 2023, the California DFPI closed First Republic Bank and appointed the FDIC as receiver. On the same date, the FDIC transferred all of the deposits and substantially all of the assets of First Republic Bank, including the advances outstanding from the Bank, to JPMorgan Chase, National Association, a nonmember. Upon assumption of the advances outstanding by JPMorgan Chase, National Association, the Bank transferred $759 million of capital stock of the Bank, held by First Republic Bank, to JPMorgan Chase, National Association, and reclassified that capital stock to mandatorily redeemable as a liability in the Bank’s Statements of Condition.
(2) On March 10, 2023, the FDIC was appointed as receiver for Silicon Valley Bank. On March 14, 2023, the FDIC transferred all of the deposits and substantially all of the assets of Silicon Valley Bank to Silicon Valley Bridge Bank, National Association. 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. As of March 31, 2023, Silicon Valley Bridge Bank, N.A., had prepaid all outstanding advances to the 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.

25

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


Note 10 — Segment Information
The Bank uses an analysis of financial results based on the financial components and adjusted net interest income of two operating segments, the advances-related business and the mortgage-related business, as well as other financial information, to review and assess financial performance and determine financial management strategies related to the operations of these two business segments. For purposes of segment reporting, adjusted net interest income includes income and expense associated with net settlements from economic hedges that are recorded in “Net gain/(loss) on derivatives” in other income/(loss), excludes interest income and expense associated with changes in fair value from fair value hedges that are recorded in the same line as the earnings effect of the hedged item, and excludes interest expense that is recorded in “Mandatorily redeemable capital stock.” AHP assessments are not included in the segment reporting analysis but are incorporated into the Bank’s overall assessment of financial performance.
For more information on these operating segments, see “Item 8. Financial Statements and Supplementary Data – Note 10 – Segment Information” in the Bank’s 2022 Form 10-K.
The following table presents the Bank’s adjusted net interest income by operating segment and reconciles total adjusted net interest income to income/(loss) before the AHP assessment for the three and nine months ended September 30, 2023 and 2022.
(In millions)Advances-
Related
Business
Mortgage-
Related
Business(1)
Adjusted
Net
Interest
Income
Amortization of Basis
Adjustments and (Gain)/Loss on Fair Value Hedges(2)

Income/(Expense)
on Economic
Hedges(3)
Interest
Expense on
Mandatorily
Redeemable
Capital
Stock(4)
Net
Interest
Income After Provision for/(Reversal of) Credit Losses
Other
Income/
(Loss)
Other
Expense
Income/(Loss)
Before AHP
Assessment
Three Months Ended:
September 30, 2023$128 $44 $172 $(8)$$13 $164 $$55 $116 
September 30, 202286 48 134 10 (24)— 148 (18)41 89 
Nine Months Ended:
September 30, 2023$495 $143 $638 $(9)$$15 $630 $(15)$148 $467 
September 30, 2022172 184 356 (4)(17)— 377 (31)117 229 
(1)    The mortgage-related business includes total accretion or amortization associated with other-than-temporarily impaired PLRMBS, which are recognized in interest income, totaling $8 million and $14 million for the three months ended September 30, 2023 and 2022, respectively, and $27 million and $43 million for the nine months ended September 30, 2023 and 2022, respectively. The mortgage-related business includes a provision for/(reversal of) credit losses that totaled $7 million and $9 million for the three months ended September 30, 2023 and 2022, respectively, and $7 million and $9 million for the nine months ended September 30, 2023 and 2022.
(2)    Represents amortization of amounts deferred for adjusted net interest income purposes only and changes in fair value of the derivative hedging instrument and the hedged item attributable to the hedged risk for designated fair value hedges recorded in net interest income.
(3)    The Bank includes income and expense associated with net settlements from economic hedges in adjusted net interest income in its analysis of financial performance for its two operating segments. For financial reporting purposes, the Bank does not include these amounts in net interest income in the Statements of Income, but instead records them in other income/(loss) in “Net gain/(loss) on derivatives.”
(4)    The Bank excludes interest expense on mandatorily redeemable capital stock from adjusted net interest income in its analysis of financial performance for its two operating segments.
The following table presents total assets by operating segment at September 30, 2023, and December 31, 2022.
(In millions)Advances-
Related Business
Mortgage-
Related Business
Total
Assets
September 30, 2023$80,065 $14,956 $95,021 
December 31, 2022109,330 11,726 121,056 

26

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


Note 11 — Derivatives and Hedging Activities
General. The Bank may enter into interest rate swaps (including callable, putable, and basis swaps) and cap and floor agreements (collectively, interest rate exchange agreements or derivatives). The Bank transacts most of its derivatives with large banks and major broker-dealers.
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. The Bank began treating certain of these hedges as fair value hedges in the first quarter of 2024.
For more information related to the Bank’s accounting policies for derivatives, see “Item 8. Financial Statements and Supplementary Data – Note 1413 – Derivatives and Hedging Activities” and “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 20222023 Form 10-K.
The following table summarizes the notional amount and fair value of derivative instruments, including the effect of netting adjustments and cash collateral as of September 30, 2023,March 31, 2024, and December 31, 2022.2023. For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest.
September 30, 2023December 31, 2022 March 31, 2024December 31, 2023
(In millions)(In millions)Notional
Amount of
Derivatives
Derivative
Assets
Derivative
Liabilities
Notional
Amount of
Derivatives
Derivative
Assets
Derivative
Liabilities
(In millions)Notional
Amount of
Derivatives
Derivative
Assets
Derivative
Liabilities
Notional
Amount of
Derivatives
Derivative
Assets
Derivative
Liabilities
Derivatives designated as hedging instruments:Derivatives designated as hedging instruments:
Interest rate swapsInterest rate swaps$91,782 $981 $995 $69,204 $799 $1,062 
Interest rate swaps
Interest rate swaps
Derivatives not designated as hedging instruments:Derivatives not designated as hedging instruments:
Interest rate swaps
Interest rate swaps
Interest rate swapsInterest rate swaps25,229 63 109 47,589 50 133 
Total derivatives before netting and collateral adjustmentsTotal derivatives before netting and collateral adjustments$117,011 1,044 1,104 $116,793 849 1,195 
Total derivatives before netting and collateral adjustments
Total derivatives before netting and collateral adjustments
Netting adjustments and cash collateral(1)
Netting adjustments and cash collateral(1)
(1,038)(1,090)(823)(1,193)
Total derivative assets and total derivative liabilitiesTotal derivative assets and total derivative liabilities$$14 $26 $
(1)    Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral, including accrued interest, held or placed with the same clearing agents or counterparty. Cash collateral posted, including accrued interest, was $472$337 million and $694$353 million at September 30, 2023,March 31, 2024, and December 31, 2022,2023, respectively. Cash collateral received, including accrued interest, was $420$438 million and $324$378 million at September 30, 2023,March 31, 2024, and December 31, 2022,2023, respectively.
24

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


The following tables present, by type of hedged item, the gains and losses on fair value hedging relationships and the impact of those derivatives on the Bank’s Statements of Income for the three and nine months ended September 30, 2023March 31, 2024 and 2022.2023.
Three Months Ended September 30, 2023
Interest Income/(Expense)
Three Months Ended March 31, 2024Three Months Ended March 31, 2024
Interest Income/(Expense)Interest Income/(Expense)
(In millions)(In millions)AdvancesAFS SecuritiesConsolidated Obligation Bonds(In millions)AdvancesAFS SecuritiesConsolidated Obligation Bonds
Total interest income/(expense) presented in the Statements of IncomeTotal interest income/(expense) presented in the Statements of Income$867 $246 $(963)
Gain/(loss) on fair value hedging relationshipsGain/(loss) on fair value hedging relationships
Derivatives(1)
Derivatives(1)
Derivatives(1)
Derivatives(1)
$237 $450 $(106)
Hedged itemsHedged items(74)(357)(46)
Net gain/(loss) on derivatives and hedging activities recorded in net interest incomeNet gain/(loss) on derivatives and hedging activities recorded in net interest income163 93 (152)
27

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


Three Months Ended September 30, 2022
Interest Income/(Expense)
(In millions)AdvancesAFS SecuritiesConsolidated Obligation Bonds
Total interest income/(expense) presented in the Statements of Income$345 $109 $(143)
Gain/(loss) on fair value hedging relationships
Derivatives(1)
$314 $507 $(391)
Hedged items(301)(515)354 
Net gain/(loss) on derivatives and hedging activities recorded in net interest income13 (8)(37)
Nine Months Ended September 30, 2023
Interest Income/(Expense)
(In millions)AdvancesAFS SecuritiesConsolidated Obligation Bonds
Total interest income/(expense) presented in the Statements of Income$3,184 $645 $(3,008)
Gain/(loss) on fair value hedging relationships
Derivatives(1)
$484 $657 $(310)
Hedged items(297)(434)(119)
Net gain/(loss) on derivatives and hedging activities recorded in net interest income187 223 (429)
Nine Months Ended September 30, 2022
Interest Income/(Expense)
Three Months Ended March 31, 2023Three Months Ended March 31, 2023
Interest Income/(Expense)Interest Income/(Expense)
(In millions)(In millions)AdvancesAFS SecuritiesConsolidated Obligation Bonds(In millions)AdvancesAFS SecuritiesConsolidated Obligation Bonds
Total interest income/(expense) presented in the Statements of IncomeTotal interest income/(expense) presented in the Statements of Income$501 $247 $(205)
Gain/(loss) on fair value hedging relationshipsGain/(loss) on fair value hedging relationships
Derivatives(1)
Derivatives(1)
Derivatives(1)
Derivatives(1)
$771 $1,216 $(989)
Hedged itemsHedged items(802)(1,290)987 
Net gain/(loss) on derivatives and hedging activities recorded in net interest incomeNet gain/(loss) on derivatives and hedging activities recorded in net interest income(31)(74)(2)
(1)Includes net interest settlements.
The net gain/(loss) of consolidated obligation discount notes in fair value hedging relationships and the impact of those derivatives on the Bank’s Statements of Income was de minimis for the three months ended March 31, 2024. There were no fair value hedging relationships on consolidated obligation discount notes during three months ended March 31, 2023.
The following table presents the cumulative basis adjustments on hedged items designated as fair value hedges and the related amortized cost of the hedged items as of September 30, 2023,March 31, 2024, and December 31, 2022.2023.
September 30, 2023December 31, 2022
(In millions)AdvancesAFS SecuritiesConsolidated Obligation BondsAdvancesAFS SecuritiesConsolidated Obligation Bonds
Amortized cost of hedged asset/(liability)(1)
$40,460 $15,252 $(34,134)$34,535 $11,574 $(21,976)
Fair value hedging basis adjustments:
Active hedging relationships included in amortized cost$(982)$(1,747)$964 $(740)$(1,410)$1,083 
Discontinued hedging relationships included in amortized cost61 649 — 70 740 — 
Total amount of fair value hedging basis adjustments$(921)$(1,098)$964 $(670)$(670)$1,083 
(1)Includes only the portion of amortized cost representing the hedged items in fair value hedging relationships.
March 31, 2024
(In millions)AdvancesAFS SecuritiesConsolidated Obligation BondsConsolidated Obligation Discount Notes
Amortized cost of hedged asset/(liability)(1)
$35,318 $16,944 $(27,669)$(5,071)
Fair value hedging basis adjustments:
Active hedging relationships included in amortized cost$(565)$(1,317)$667 $— 
Discontinued hedging relationships included in amortized cost50 593 — — 
Total amount of fair value hedging basis adjustments$(515)$(724)$667 $— 
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Federal Home Loan Bank of San Francisco
Notes to Financial Statements (continued)


December 31, 2023
(In millions)AdvancesAFS SecuritiesConsolidated Obligation Bonds
Amortized cost of hedged asset/(liability)(1)
$38,338 $17,029 $(34,121)
Fair value hedging basis adjustments:
Active hedging relationships included in amortized cost$(427)$(1,053)$645 
Discontinued hedging relationships included in amortized cost56 621 — 
Total amount of fair value hedging basis adjustments$(371)$(432)$645 
(1)Includes only the portion of amortized cost representing the hedged items in fair value hedging relationships.
The following table presents the components of net gain/(loss) on derivatives as presented in the Statements of Income for the three and nine months ended September 30, 2023March 31, 2024 and 2022.2023.
Three Months EndedNine Months Ended
Three Months Ended
Three Months Ended
Three Months Ended
(In millions) (In millions)September 30, 2023September 30, 2022September 30, 2023September 30, 2022
Derivatives not designated as hedging instruments
Derivatives not designated as hedging instruments
Derivatives not designated as hedging instrumentsDerivatives not designated as hedging instrumentsGain/(Loss)Gain/(Loss)Gain/(Loss)Gain/(Loss)
Economic hedges:Economic hedges:
Economic hedges:
Economic hedges:
Interest rate swaps
Interest rate swaps
Interest rate swapsInterest rate swaps$13 $23 $(5)$
Net interest settlementsNet interest settlements(24)(17)
Net interest settlements
Net interest settlements
Total net gain/(loss) related to derivatives not designated as hedging instruments
Total net gain/(loss) related to derivatives not designated as hedging instruments
Total net gain/(loss) related to derivatives not designated as hedging instrumentsTotal net gain/(loss) related to derivatives not designated as hedging instruments16 (1)(3)(13)
Price alignment amount(1)
Price alignment amount(1)
(1)— (3)— 
Price alignment amount(1)
Price alignment amount(1)
Net gain/(loss) on derivativesNet gain/(loss) on derivatives$15 $(1)$(6)$(13)
Net gain/(loss) on derivatives
Net gain/(loss) on derivatives
(1)    This amount relates to derivatives for which variation margin on cleared derivatives is characterized as a daily settled contract.
Credit Risk. The Bank is subject to credit risk from potential nonperformance by counterparties to the interest rate exchange agreements. All of the Bank’s agreements governing uncleared derivative transactions contain master netting provisions to help mitigate the credit risk exposure to each counterparty. The Bank manages counterparty credit risk through credit analyses and collateral requirements and by following the requirements of the Bank’s risk management policies, credit guidelines, and the Finance Agency and other regulations. The Bank also requires credit support agreements on all uncleared derivatives.
For cleared derivatives, the 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 clearing house exposes the Bank to institutional credit risk if its futures commission merchant, or clearing agent, fails to meet its obligations. The use of a clearing house, or central counterparty, lowers overall credit risk exposure because it employs standard valuation and initial and variation margin processes and is specifically designed to withstand remote but plausible futures commission merchant default credit events. Variation margin is settled for changes in the value of the portfolio, and initial margin is posted for changes in risk profile of the portfolio. The Bank analyzedAdditional information related to the enforceability of offsetting rights applicable to itsthe Bank’s cleared derivative transactions is included in “Item 8. Financial Statements and determined that the exercise of those offsetting rights by a non-defaulting party under these transactions should be upheld under applicable bankruptcy lawSupplementary Data – Note 13 – Derivatives and Commodity Futures Trading Commission rulesHedging Activities” in the event of a clearing house or clearing agent insolvency and under applicable clearing house rules upon a non-insolvency-based event of default of the 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 clearing house.Bank’s 2023 Form 10-K.
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
26

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


derivative transactions have similar provisions with respect to the debt rating of FHLBank System consolidated bonds. If this occurs, the Bank may choose to enter into replacement hedges, either by transferring the existing transactions to another counterparty or entering into new replacement transactions, based on prevailing market rates. The aggregate fair value of all uncleared derivative instruments with credit risk-related contingent features that were in a net derivative liability position (before cash collateral and related accrued interest) at September 30, 2023,March 31, 2024, was $454$348 million, for which the Bank posted cash collateral of $454$323 million in the ordinary course of business.
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Notes to Financial Statements (continued)


Additional information related to uncleared margin rules for uncleared derivative transactions areis included in “Item 8. Financial Statements and Supplementary Data - Note 14 -13 – Derivatives and Hedging Activities” in the Bank’s 20222023 Form 10-K.
The Bank may present derivative instruments, related cash collateral received or pledged, and associated accrued interest by clearing agent or by counterparty on a net basis when the netting requirements have been met.
The following table presents separately the fair value of derivative assets and derivative liabilities that have met the netting requirements, including the related collateral received from or pledged to counterparties as of September 30, 2023,March 31, 2024, and December 31, 2022.2023.
March 31, 2024
March 31, 2024
March 31, 2024
(In millions)
(In millions)
(In millions)
Derivative instruments meeting netting requirements
Derivative instruments meeting netting requirements
Derivative instruments meeting netting requirements
Gross recognized amount
Gross recognized amount
Gross recognized amount
Uncleared
Uncleared
Uncleared
Cleared
Cleared
Cleared
Total gross recognized amount
Total gross recognized amount
Total gross recognized amount
Gross amount of netting adjustments and cash collateral
Gross amount of netting adjustments and cash collateral
Gross amount of netting adjustments and cash collateral
Uncleared
Uncleared
Uncleared
Cleared
Cleared
Cleared
Total gross amounts of netting adjustments and cash collateral
Total gross amounts of netting adjustments and cash collateral
Total gross amounts of netting adjustments and cash collateral
Total derivative assets and total derivative liabilities
Total derivative assets and total derivative liabilities
Total derivative assets and total derivative liabilities
September 30, 2023December 31, 2022
(In millions)Derivative AssetsDerivative LiabilitiesDerivative AssetsDerivative Liabilities
Derivative instruments meeting netting requirements
Gross recognized amount
Uncleared$1,035 $1,073 $834 $1,188 
Cleared31 15 
Total gross recognized amount1,044 1,104 849 1,195 
Gross amount of netting adjustments and cash collateral
Uncleared(1,029)(1,065)(829)(1,186)
Cleared(9)(25)(7)
Total gross amounts of netting adjustments and cash collateral(1,038)(1,090)(823)(1,193)
Total derivative assets and total derivative liabilities$$14 $26 $
Non-cash collateral received or pledged that can be sold or repledged
Cleared— (435)— 
Total net amount of non-cash collateral received or pledged$— $$(435)$— 
Net amount(1)
Net amount(1)
Net amount(1)
Net amount(1)
UnclearedUncleared$$$$
Uncleared
Uncleared
Cleared
Cleared
ClearedCleared— — 456 — 
Total net amountTotal net amount$$$461 $
Total net amount
Total net amount
(1)     Any over-collateralization at the Bank’s individual clearing agent and/or counterparty level is not included in the determination of the net amount. At September 30,March 31, 2024, and December 31, 2023, the Bank had additional net credit exposure of $793$638 million and $771 million, respectively, due to instances where non-cash collateral to a counterparty exceeded the Bank’s net derivative position. There was no such additional net credit exposure at December 31, 2022.
Note 1211 — Fair Value
The following fair value amounts have been determined by the Bank using available market information and the Bank’s best judgment of appropriate valuation methods. These estimates are based on pertinent information available to the Bank at September 30, 2023,March 31, 2024, and December 31, 2022.2023. 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
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Federal Home Loan Bank of San Francisco
Notes to Financial Statements (continued)


transparent. While the Bank believes that its valuation methodologies are appropriate and consistent with those of other market participants, the use of different methodologies or assumptions to determine the fair value of certain financial instruments could result in a materially different estimate of fair value as of the reporting date. U.S. GAAP defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., an exit price). Therefore, the fair values are not necessarily indicative of the amounts that would be realized in current market transactions, although they do reflect the Bank’s judgment as to how a market participant would estimate the fair values. The fair value summary table does not represent an estimate of the overall market value of the Bank as a going concern, which would take into account future business opportunities and the net profitability of total assets and liabilities.
The following tables present the net carrying value or carrying value, as applicable, the estimated fair value, and the fair value hierarchy level of the Bank’s financial instruments at September 30, 2023,March 31, 2024, and December 31, 2022.2023. The Bank records trading securities, AFS securities, derivative assets, derivative liabilities, certain advances, certain consolidated obligations, and certain other assets at fair value on a recurring basis, and on occasion certain mortgage loans held for portfolio and certain other assets at fair value on a nonrecurring basis. The Bank records all other financial assets and liabilities at amortized cost. Refer to the following tables for further details about the financial assets and liabilities held at fair value on either a recurring or non-recurring basis.
September 30, 2023
March 31, 2024March 31, 2024
(In millions)(In millions)
Carrying
Value(1)
Estimated Fair ValueLevel 1Level 2Level 3
Netting Adjustments and Cash Collateral(2)
(In millions)
Carrying
Value(1)
Estimated Fair ValueLevel 1Level 2Level 3
Netting Adjustments and Cash Collateral(2)
AssetsAssets
Cash and due from banks
Cash and due from banks
Cash and due from banksCash and due from banks$10 $10 $10 $— $— $— 
Interest-bearing depositsInterest-bearing deposits3,777 3,777 3,777 — — — 
Securities purchased under agreements to resellSecurities purchased under agreements to resell2,750 2,750 — 2,750 — — 
Federal funds soldFederal funds sold5,533 5,533 — 5,533 — — 
Trading securities— — — 
AFS securities
AFS securities
AFS securitiesAFS securities16,279 16,279 — 15,204 1,075 — 
HTM securitiesHTM securities1,895 1,852 — 1,731 121 — 
AdvancesAdvances63,584 63,407 — 63,407 — — 
Mortgage loans held for portfolioMortgage loans held for portfolio770 633 — 633 — — 
Accrued interest receivableAccrued interest receivable192 192 — 192 — — 
Accrued interest receivable
Accrued interest receivable
Derivative assets, net(2)
Derivative assets, net(2)
— 1,044 — (1,038)
Other assets(3)
Other assets(3)
16 16 16 — — — 
LiabilitiesLiabilities
DepositsDeposits768 768 — 768 — — 
Deposits
Deposits
Consolidated obligations:Consolidated obligations:
Bonds
Bonds
BondsBonds70,907 70,584 — 70,584 — — 
Discount notesDiscount notes14,293 14,286 — 14,286 — — 
Total consolidated obligationsTotal consolidated obligations85,200 84,870 — 84,870 — — 
Mandatorily redeemable capital stockMandatorily redeemable capital stock776 776 776 — — — 
Borrowings from other FHLBanks300 300 — 300 — — 
Accrued interest payable
Accrued interest payable
Accrued interest payableAccrued interest payable510 510 — 510 — — 
Derivative liabilities, net(2)
Derivative liabilities, net(2)
14 14 — 1,104 — (1,090)
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Notes to Financial Statements (continued)


December 31, 2022
Carrying
Value(1)
Estimated Fair ValueLevel 1Level 2Level 3
Netting Adjustments and Cash Collateral(2)
December 31, 2023December 31, 2023
Carrying
Value(1)
Carrying
Value(1)
Estimated Fair ValueLevel 1Level 2Level 3
Netting Adjustments and Cash Collateral(2)
AssetsAssets
Cash and due from banks
Cash and due from banks
Cash and due from banksCash and due from banks$$$$— $— $— 
Interest-bearing depositsInterest-bearing deposits3,677 3,677 3,677 — — — 
Securities purchased under agreements to resellSecurities purchased under agreements to resell7,000 7,000 — 7,000 — — 
Federal funds soldFederal funds sold4,719 4,719 — 4,719 — — 
Trading securities— — — 
AFS securities
AFS securities
AFS securitiesAFS securities12,713 12,713 — 11,531 1,182 — 
HTM securitiesHTM securities2,181 2,136 — 1,993 143 — 
AdvancesAdvances89,400 89,183 — 89,183 — — 
Mortgage loans held for portfolioMortgage loans held for portfolio815 695 — 695 — — 
Accrued interest receivableAccrued interest receivable313 313 — 313 — — 
Derivative assets, net(2)
Derivative assets, net(2)
26 26 — 849 — (823)
Other assets(3)
Other assets(3)
15 15 15 — — — 
LiabilitiesLiabilities
DepositsDeposits989 989 — 989 — — 
Deposits
Deposits
Consolidated obligations:Consolidated obligations:
Bonds
Bonds
BondsBonds75,768 75,396 — 75,396 — — 
Discount notesDiscount notes35,929 35,916 — 35,916 — — 
Total consolidated obligationsTotal consolidated obligations111,697 111,312 — 111,312 — — 
Mandatorily redeemable capital stockMandatorily redeemable capital stock— — — 
Accrued interest payableAccrued interest payable326 326 — 326 — — 
Accrued interest payable
Accrued interest payable
Derivative liabilities, net(2)
Derivative liabilities, net(2)
— 1,195 — (1,193)
(1)    For certain financial instruments, the amounts represent net carrying value, which includes an allowance for credit losses.
(2)    Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed with the same clearing agents or counterparty.
(3)    Represents publicly traded mutual funds held in a grantor trust.
Fair Value Hierarchy. The fair value hierarchy is used to prioritize the fair value methodologies and valuation techniques as well as the inputs to the valuation techniques used to measure fair value for assets and liabilities carried at fair value on the Statements of Condition. The inputs are evaluated and an overall level for the fair value measurement is determined. This overall level is an indication of market observability of the fair value measurement for the asset or liability. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). An entity must disclose the level within the fair value hierarchy in which the measurements are classified for all financial assets and liabilities measured on a recurring or non-recurring basis.
The application of the fair value hierarchy to the Bank’s financial assets and financial liabilities that are carried at fair value either on a recurring or non-recurring basis is as follows:
Level 1 – Quoted prices (unadjusted) for identical assets or liabilities in an active market that the reporting entity can access on the measurement date. An active market for the asset or liability is a market in which the transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis.
Level 2 – Inputs other than quoted prices within Level 1 that are observable inputs for the asset or liability, either directly or indirectly. If the asset or liability has a specified (contractual) term, a Level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include the following: (1) quoted prices for similar assets or liabilities in active markets; (2) quoted prices for identical or similar
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Notes to Financial Statements (continued)


(1) quoted prices for similar assets or liabilities in active markets; (2) quoted prices for identical or similar assets or liabilities in markets that are not active; (3) inputs other than quoted prices that are observable for the asset or liability (e.g., interest rates and yield curves that are observable at commonly quoted intervals, and implied volatilities); and (4) inputs that are derived principally from or corroborated by observable market data by correlation or other means.
Level 3 – Unobservable inputs for the asset or liability. Valuations are derived from techniques that use significant assumptions not observable in the market, which include pricing models, discounted cash flow models, or similar techniques.
A financial instrument’s categorization within the valuation hierarchy is based on the lowest level of input that is significant to the fair value measurement.
The following assets and liabilities, including those for which the Bank has elected the fair value option, are carried at fair value on the Statements of Condition as of September 30, 2023:March 31, 2024:
Trading securities
AFS securities
Certain advances
Derivative assets and liabilities
Certain consolidated obligation bonds
Certain other assets
For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities. For the periods presented, the Bank did not have any reclassifications for transfers in or out of level 3 of the fair value hierarchy.
Summary of Valuation Methodologies and Primary Inputs. For more information related to the valuation methodologies and primary inputs used to develop the measurement of fair value for assets and liabilities that are measured at fair value on a recurring or nonrecurring basis in the Statements of Condition, see “Item 8. Financial Statements and Supplementary Data – Note 1514 – Fair Value” in the Bank’s 20222023 Form 10-K. There have been no significant changes in these valuation methodologies and primary inputs during the three and nine months ended September 30, 2023.March 31, 2024.
Subjectivity of Estimates Related to Fair Values of Financial Instruments. Estimates of the fair value of financial assets and liabilities using the methodologies described above are subjective and require judgments regarding significant matters, such as the amount and timing of future cash flows, prepayment speed assumptions, expected interest rate volatility, methods to determine possible distributions of future interest rates used to value options, and the selection of discount rates that appropriately reflect market and credit risks. Changes in these judgments may have a material effect on the fair value estimates.
Fair Value Measurements. The following tables present the fair value of assets and liabilities, which are recorded on a recurring or nonrecurring basis at September 30, 2023,March 31, 2024, and December 31, 2022,2023, by level within the fair value hierarchy.
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Notes to Financial Statements (continued)


September 30, 2023
Fair Value Measurement Using:
Netting Adjustments
 and Cash Collateral(1)
March 31, 2024
Fair Value Measurement Using:
Fair Value Measurement Using:
Fair Value Measurement Using:
(In millions)
(In millions)
(In millions)(In millions)Level 1Level 2Level 3
Netting Adjustments
 and Cash Collateral(1)
TotalLevel 1Level 2Level 3Total
Recurring fair value measurements – Assets:Recurring fair value measurements – Assets:
Trading securities:
MBS – Other U.S. obligations$— $$— $— $
AFS securities:
AFS securities:
AFS securities:AFS securities:
U.S. Treasury obligationsU.S. Treasury obligations— 4,044 — — 4,044 
U.S. Treasury obligations
U.S. Treasury obligations
MBS:MBS:
GSEs – multifamily
GSEs – multifamily
GSEs – multifamilyGSEs – multifamily— 11,160 — — 11,160 
PLRMBSPLRMBS— — 1,075 — 1,075 
Subtotal AFS MBSSubtotal AFS MBS— 11,160 1,075 — 12,235 
Total AFS securitiesTotal AFS securities— 15,204 1,075 — 16,279 
Advances(2)
Advances(2)
— 2,302 — — 2,302 
Derivative assets, net: interest rate-relatedDerivative assets, net: interest rate-related— 1,044 — (1,038)
Other assetsOther assets16 — — — 16 
Other assets
Other assets
Total recurring fair value measurements – AssetsTotal recurring fair value measurements – Assets$16 $18,551 $1,075 $(1,038)$18,604 
Recurring fair value measurements – Liabilities:Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)
Consolidated obligation bonds(3)
Consolidated obligation bonds(3)
Consolidated obligation bonds(3)
$— $605 $— $— $605 
Derivative liabilities, net: interest rate-relatedDerivative liabilities, net: interest rate-related— 1,104 — (1,090)14 
Total recurring fair value measurements – LiabilitiesTotal recurring fair value measurements – Liabilities$— $1,709 $— $(1,090)$619 
Nonrecurring fair value measurements – Assets:(4)
Nonrecurring fair value measurements – Assets:(4)
Impaired mortgage loans held for portfolioImpaired mortgage loans held for portfolio$— $— $20 $— $20 
Impaired mortgage loans held for portfolio
Impaired mortgage loans held for portfolio
Total nonrecurring fair value measurements – AssetsTotal nonrecurring fair value measurements – Assets$— $— $20 $— $20 
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Notes to Financial Statements (continued)


December 31, 2022
Fair Value Measurement Using:
Netting Adjustments
 and Cash Collateral(1)
December 31, 2023
Fair Value Measurement Using:
Fair Value Measurement Using:
Fair Value Measurement Using:
(In millions)
(In millions)
(In millions)(In millions)Level 1Level 2Level 3
Netting Adjustments
 and Cash Collateral(1)
TotalLevel 1Level 2Level 3Total
Recurring fair value measurements – Assets:Recurring fair value measurements – Assets:
Trading securities:
MBS – Other U.S. obligations$— $$— $— $
AFS securities:
AFS securities:
AFS securities:AFS securities:
U.S. Treasury obligationsU.S. Treasury obligations— 4,024 — — 4,024 
U.S. Treasury obligations
U.S. Treasury obligations
MBS:MBS:
GSEs – multifamily
GSEs – multifamily
GSEs – multifamilyGSEs – multifamily— 7,507 — — 7,507 
PLRMBSPLRMBS— — 1,182 — 1,182 
Subtotal AFS MBSSubtotal AFS MBS— 7,507 1,182 — 8,689 
Total AFS securitiesTotal AFS securities— 11,531 1,182 — 12,713 
Advances(2)
Advances(2)
— 2,059 — — 2,059 
Derivative assets, net: interest rate-relatedDerivative assets, net: interest rate-related— 849 — (823)26 
Other assetsOther assets15 — — — 15 
Total recurring fair value measurements – AssetsTotal recurring fair value measurements – Assets$15 $14,440 $1,182 $(823)$14,814 
Recurring fair value measurements – Liabilities:Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)
Consolidated obligation bonds(3)
$— $2,226 $— $— $2,226 
Consolidated obligation bonds(3)
Consolidated obligation bonds(3)
Derivative liabilities, net: interest rate-relatedDerivative liabilities, net: interest rate-related— 1,195 — (1,193)
Total recurring fair value measurements – LiabilitiesTotal recurring fair value measurements – Liabilities$— $3,421 $— $(1,193)$2,228 
Nonrecurring fair value measurements – Assets:(4)
Nonrecurring fair value measurements – Assets:(4)
Impaired mortgage loans held for portfolioImpaired mortgage loans held for portfolio$— $— $20 $— $20 
Impaired mortgage loans held for portfolio
Impaired mortgage loans held for portfolio
Total nonrecurring fair value measurements – AssetsTotal nonrecurring fair value measurements – Assets$— $— $20 $— $20 
(1)Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed by the Bank, with the same clearing agents or counterparty.
(2)Represents advances recorded under the fair value option at September 30, 2023,March 31, 2024, and December 31, 2022.2023.
(3)Represents consolidated obligation bonds recorded under the fair value option at September 30, 2023,March 31, 2024, and December 31, 2022.2023.
(4)The fair value information presented is as of the date the fair value adjustment was recorded during the ninethree months ended September 30, 2023,March 31, 2024, and the year ended December 31, 2022.2023.
The following table presents a reconciliation of the Bank’s AFS PLRMBS that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three and nine months ended September 30, 2023March 31, 2024 and 2022.2023.
Three Months Ended
(In millions)March 31, 2024March 31, 2023
Balance, beginning of the period$1,059 $1,182 
Total gain/(loss) realized and unrealized included in:
Interest income(2)11 
(Provision for)/reversal of credit losses
Unrealized gain/(loss) included in AOCI(3)(11)
Settlements(30)(33)
Balance, end of the period$1,028 $1,150 
Total amount of unrealized gain/(loss) for the period included in AOCI relating to instruments held at the end of the period$(3)$(11)
Total amount of gain/(loss) for the period included in earnings attributable to the change in unrealized gains/losses relating to assets and liabilities still held at the end of the period$$12 
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Notes to Financial Statements (continued)


Three Months Ended
September 30, 2023September 30, 2022
Balance, beginning of the period$1,119 $1,327 
Total gain/(loss) realized and unrealized included in:
Interest income14 
(Provision for)/reversal of credit losses(7)(9)
Unrealized gain/(loss) included in AOCI(9)(39)
Settlements(36)(56)
Transfers of HTM securities to AFS securities— 
Balance, end of the period$1,075 $1,238 
Total amount of unrealized gain/(loss) for the period included in AOCI relating to instruments held at the end of the period$(9)$(39)
Total amount of gain/(loss) for the period included in earnings attributable to the change in unrealized gains/losses relating to assets and liabilities still held at the end of the period$$
Nine Months Ended
(In millions)September 30, 2023September 30, 2022
Balance, beginning of the period$1,182 $1,608 
Total gain/(loss) realized and unrealized included in:
Interest income27 43 
(Provision for)/reversal of credit losses(7)(9)
Other income/(loss)— 28 
Unrealized gain/(loss) included in AOCI(20)(124)
Settlements(109)(325)
Transfers of HTM securities to AFS securities17 
Balance, end of the period$1,075 $1,238 
Total amount of unrealized gain/(loss) for the period included in AOCI relating to assets held at the end of the period$(20)$(124)
Total amount of gain/(loss) for the period included in earnings attributable to the change in unrealized gains/losses relating to assets held at the end of the period$19 $34 
Fair Value Option. The fair value option provides an entity with an irrevocable option to elect fair value as an alternative measurement for selected financial assets, financial liabilities, unrecognized firm commitments, and written loan commitments not previously carried at fair value. It requires an entity to display the fair value of those assets and liabilities for which the entity has chosen to use fair value on the face of the Statements of Condition. Fair value is used for both the initial and subsequent measurement of the designated assets, liabilities, and commitments, with the changes in fair value recognized in net income. Interest income and interest expense on advances and consolidated obligation bonds carried at fair value are recognized solely on the contractual amount of interest due or unpaid. Any consolidated obligation bond underwriting fees or concessions will be immediately recognized in other income/(loss) or other expense.
For more information on the Bank’s election of the fair value option, see “Item 8. Financial Statements and Supplementary Data – Note 1514 – Fair Value” in the Bank’s 20222023 Form 10-K.
The Bank has elected the fair value option for certain financial instruments to assist in mitigating potential earnings volatility that can arise from economic hedging relationships in which the carrying value of the hedged item is not adjusted for changes in fair value. The potential earnings volatility associated with 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
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Federal Home Loan Bank of San Francisco
Notes to Financial Statements (continued)


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 net gain/(loss) recognized in earnings on advances and consolidated obligation bonds held under fair value option for the three and nine months ended September 30, 2023March 31, 2024 and 2022:2023:
Three Months EndedNine Months Ended
Three Months Ended
Three Months Ended
Three Months Ended
(In millions)(In millions)September 30, 2023September 30, 2022September 30, 2023September 30, 2022(In millions)March 31, 2024March 31, 2023
AdvancesAdvances$(10)$(42)$(11)$(117)
Consolidated obligation bondsConsolidated obligation bonds(2)22 (16)64 
TotalTotal$(12)$(20)$(27)$(53)
For instruments for which the fair value option has been elected, the related contractual interest income and contractual interest expense are recorded as part of net interest income on the Statements of Income. The remaining changes in fair value for instruments for which the fair value option has been elected are recorded as net gains/ (losses) on financial instruments held under the fair value option in the Statements of Income. For advances and consolidated obligations recorded under the fair value option, the Bank determined that none of the remaining changes in fair value were related to instrument-specific credit risk for the three and nine months ended September 30, 2023March 31, 2024 and 2022.2023. In determining that there has been no change in instrument-specific credit risk period to period, the Bank primarily considered the following factors:
The Bank is a federally chartered GSE, and as a result of this status, the consolidated obligations have historically received the same credit ratings as the government bond credit rating of the United States, even though they are not obligations of the United States and are not guaranteed by the United States.
The Bank is jointly and severally liable with the other FHLBanks for the payment of principal and interest on all consolidated obligations of each of the FHLBanks.

The following table presents the difference between the aggregate remaining contractual principal balance outstanding and aggregate fair value of advances and consolidated obligation bonds for which the Bank elected the fair value option at September 30, 2023,March 31, 2024, and December 31, 2022:2023:
September 30, 2023December 31, 2022
(In millions)Principal BalanceFair ValueFair Value
Over/(Under)
Principal Balance
Principal BalanceFair ValueFair Value
Over/(Under)
Principal Balance
Advances(1)
$2,354 $2,302 $(52)$2,106 $2,059 $(47)
Consolidated obligation bonds648 605 (43)2,278 2,226 (52)
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Federal Home Loan Bank of San Francisco
Notes to Financial Statements (continued)


March 31, 2024December 31, 2023
(In millions)Principal BalanceFair ValueFair Value
Over/(Under)
Principal Balance
Principal BalanceFair ValueFair Value
Over/(Under)
Principal Balance
Advances(1)
$2,551 $2,535 $(16)$1,902 $1,898 $(4)
Consolidated obligation bonds618 590 (28)633 604 (29)
(1)    At September 30, 2023,March 31, 2024, and December 31, 2022,2023, none of these advances were 90 days or more past due or had been placed on nonaccrual status.
Note 1312 — Commitments and Contingencies
As provided by the FHLBank Act or regulations governing the operations of the FHLBanks, all FHLBanks have joint and several liability for all FHLBank consolidated obligations, which are backed only by the financial resources of the FHLBanks. The joint and several liability regulation authorizes the Finance Agency to require any FHLBank to repay all or a portion of the principal or interest on consolidated obligations for which another FHLBank is the primary obligor. The regulations provide a general framework for addressing the possibility that an FHLBank may be unable to repay the consolidated obligations for which it is the primary obligor. The Bank has never been asked or required to repay the principal or interest on any consolidated obligation on behalf of another FHLBank, and as of September 30, 2023,March 31, 2024, 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
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Federal Home Loan Bank of San Francisco
Notes to Financial Statements (continued)


was $1.2 trillion at September 30, 2023,March 31, 2024, and December 31, 2022.2023. The par value of the Bank’s participation in consolidated obligations was $86.3$79.6 billion at September 30, 2023,March 31, 2024, and $113.1$84.3 billion at December 31, 2022.2023.
For more information on the joint and several liability regulation, see “Item 8. Financial Statements and Supplementary Data – Note 1615 – Commitments and Contingencies” in the Bank’s 20222023 Form 10-K.
Off-balance sheet commitments as of September 30, 2023,March 31, 2024, and December 31, 2022,2023, were as follows:
September 30, 2023December 31, 2022
March 31, 2024March 31, 2024December 31, 2023
(In millions)(In millions)Expire Within
One Year
Expire After
One Year
TotalExpire Within
One Year
Expire After
One Year
Total(In millions)Expire Within
One Year
Expire After
One Year
TotalExpire Within
One Year
Expire After
One Year
Total
Standby letters of credit outstandingStandby letters of credit outstanding$9,870 $8,447 $18,317 $16,591 $6,049 $22,640 
Commitments to fund additional advances(1)
Commitments to issue consolidated obligation discount notes, parCommitments to issue consolidated obligation discount notes, par— — — 300 — 300 
Commitments to issue consolidated obligation bonds, parCommitments to issue consolidated obligation bonds, par229 — 229 2,385 — 2,385 
(1) Advances funded under advance commitments are fully collateralized at the time of funding.
Standby letters of credit are generally issued for a fee on behalf of members to support their obligations to third parties. If the Bank is required to make a payment for a beneficiary’s drawing under a letter of credit, the amount is immediately due and payable by the member to the Bank and is charged to the member’s demand deposit account with the Bank. The Bank monitors the creditworthiness of members that have standby letters of credit. The value of the Bank’s obligations related to standby letters of credit is recorded in other liabilities and amounted to $56 million and $34$57 million at September 30, 2023,March 31, 2024, and December 31, 2022,2023, 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 record any additional liability for credit losses on the letters of credit outstanding or other off-balance sheet commitments as of September 30, 2023,March 31, 2024, and December 31, 2022.
There were no commitments to fund advances at September 30, 2023, and December 31, 2022. Advances funded under advance commitments are fully collateralized at the time of funding.2023.
The Bank has pledged securities as collateral related to its cleared and uncleared derivatives. See Note 1110 – Derivatives and Hedging Activities for additional information about the Bank’s pledged collateral and other credit
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Federal Home Loan Bank of San Francisco
Notes to Financial Statements (continued)


risk-related contingent features. As of September 30, 2023,March 31, 2024, the Bank had pledged total collateral of $1.3 billion,$975 million, including securities with a carrying value of $799$638 million, all of which may be repledged, and cash collateral, including accrued interest, of $472$337 million to counterparties and the clearing house that had market risk exposure to the Bank related to derivatives. As of December 31, 2022,2023, the Bank had pledged total collateral of $1.1 billion, including securities with a carrying value of $435$771 million, all of which may be repledged, and cash collateral, including accrued interest, of $694$353 million to counterparties and the clearing house that had market risk exposure to the Bank related to derivatives.
The Bank may be subject to various pending legal proceedings that may arise in the ordinary course of business. After consultation with legal counsel, the Bank does not anticipate that the ultimate liability, if any, arising out of these matters will have a material effect on its financial condition or results of operations.

Note 1413 — Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks
Transactions with Members and Nonmembers. The following tables set forth information at the dates and for the periods indicated with respect to transactions with members that have an officer or director serving on the Bank’s board of directors.
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(In millions)March 31, 2024December 31, 2023
Assets:
Advances$5,312 $5,762 
Mortgage loans held for portfolio73 74 
Accrued interest receivable
Liabilities:
Deposits$18 $34 
Capital:
Capital Stock$162 $191 
Federal Home Loan Bank of San Francisco
Notes to Financial Statements (continued)


(In millions)September 30, 2023December 31, 2022
Assets:
Advances$6,519 $7,269 
Mortgage loans held for portfolio76 80 
Accrued interest receivable
Liabilities:
Deposits$17 $11 
Capital:
Capital Stock$228 $215 
Three Months EndedNine Months Ended
Three Months Ended
Three Months Ended
Three Months Ended
(In millions)(In millions)September 30, 2023September 30, 2022September 30, 2023September 30, 2022
(In millions)
(In millions)
Interest Income:
Interest Income:
Interest Income:Interest Income:
AdvancesAdvances$70 $32 $214 $63 
Advances
Advances
Mortgage loans held for portfolioMortgage loans held for portfolio
Mortgage loans held for portfolio
Mortgage loans held for portfolio
All transactions with members, nonmembers, and their affiliates are entered into in the ordinary course of business. As of September 30, 2023,March 31, 2024, and December 31, 2022,2023, no shareholder owned more than 10% of the total voting interests in the Bank because of the statutory limit on members' voting rights. For more information on transactions with members and nonmembers, see “Item 8. Financial Statements and Supplementary Data – Note 1716 – Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks” in the Bank’s 20222023 Form 10-K.
Transactions with Other FHLBanks. The Bank may occasionally enter into transactions with other FHLBanks. These transactions are summarized below.
Overnight Funds. The Bank may borrow or lend unsecured overnight funds from or to other FHLBanks. All such transactions are at current market rates. Interest income and interest expense related to these transactions with other FHLBanks are included in interest income and interest expense in the Statements of Income. Balances outstanding at period end with other FHLBanks, if any, are identified in the Bank’s financial statements. During the ninethree months ended September 30,March 31, 2024 and 2023, and 2022, the Bank extended overnight loans to other FHLBanks for $2.6 billion$10 million and $2.4$1.3 billion, respectively. The amount of interest income for these advances was de minimis forDuring the ninethree months ended September 30,March 31, 2024 and 2023, and 2022. During the nine months ended September 30, 2023 and 2022, the Bank borrowed $5.5 billion$20 million and $10.1$3.6 billion, respectively, from other FHLBanks. Interest expense related to these borrowings was $2 million for the nine months ended September 30, 2023 and was de minimis for the nine months ended September 30, 2022.
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ITEM 2.    MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

Statements contained in this quarterly report on Form 10-Q, including statements describing the objectives, projections, estimates, or predictions of the future of the Federal Home Loan Bank of San Francisco (Bank) or the Federal Home Loan Bank System (FHLBank System), are “forward-looking statements.” These statements may use forward-looking terms, such as “anticipate,” “believe,” “could,” “estimate,” “expect,” “intend,” “likely,” “may,” “probable,” “plan,” “project,” “should,” “will,” “would,” “possible,” or their negatives or other variations on these terms, and include statements related to, among others, gains and losses on derivatives, plans to pay dividends and redeem or repurchase excess stock, future credit losses, future classification of securities, and reform legislation. The Bank cautions that by their nature, forward-looking statements involve risk or uncertainty that could cause actual results to differ materially from those expressed or implied in these forward-looking statements or could affect the extent to which a particular objective, projection, estimate, or prediction is realized. These risks and uncertainties include, among others, the following:
changes in economic and market conditions, including inflation and rising interest rates, changes in the credit ratings of the United States, including any effects of Fitch Ratings’ recent downgradedowngrades in the sovereign credit rating of the United States, and conditions in the mortgage, housing, and capital markets;
the volatility of market prices, rates, and indices;
the timing and volume of market activity;
natural disasters, pandemics or other widespread public health emergencies, terrorist attacks, civil unrest, geopolitical instability or conflicts (including the ongoing hostilities in Eastern Europe and the Middle East), trade disruptions, economic or other sanctions, or other unanticipated or catastrophic events;
political events, including legislative, regulatory, judicial, or other developments that affect the Bank, its members, counterparties, or investors in the consolidated obligations of the Federal Home Loan Banks (FHLBanks), such as the impact of any government-sponsored enterprisesenterprise (GSE) legislative reforms, any changes resulting from the Federal Housing Finance Agency’s (Finance Agency) review and analysis of the FHLBank System, including recommendations published in its “FHLBank System at 100: Focusing on the Future” report, changes in the Federal Home Loan Bank Act of 1932, as amended (FHLBank Act), changes in applicable sections of the Federal Housing Enterprises Financial Safety and Soundness Act of 1992, or changes in other statutes or regulations applicable to the FHLBanks;
changes in the Bank’s capital structure and composition;
changes in the Bank’s capital stock requirements;
the ability of the Bank to pay dividends or redeem or repurchase capital stock;
membership changes, including changes resulting from mergers or changes in the principal place of business of Bank members;
the withdrawal, merger, dissolution, or receivership of one or more large members;
the soundness of other financial institutions, including Bank members, nonmember borrowers, other counterparties, and the other FHLBanks;
changes in Bank members’ demand for Bank advances;
changes in the value or liquidity of collateral underlying advances to Bank members or nonmember borrowers or collateral pledged by the Bank’s derivative counterparties;
changes in the fair value and economic value of, impairments of, and risks associated with the Bank’s investments in mortgage loans and mortgage-backed securities (MBS) or other assets and the related credit enhancement protections;
changes in the Bank’s ability or intent to hold MBS and mortgage loans to maturity;
competitive forces, including the availability of other sources of funding for Bank members;
the willingness of the Bank’s members to do business with the Bank;
changes in investor demand for consolidated obligations (including the terms of consolidated obligations) or the terms of interest rate exchange or similar agreements;
the impact of any changes and developments in FHLBank System-wide debt issuance and governance practices;
the ability of each of the other FHLBanks to repay the principal and interest on consolidated obligations for which it is the primary obligor and with respect to which the Bank has joint and several liability;
changes in key Bank personnel;
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changes in key Bank personnel;
technology changes and enhancements, and the Bank’s ability to develop and support technology and information systems sufficient to manage the risks of the Bank’s business effectively (including cyber-security risks); and
changes in the FHLBanks’ long-term credit ratings.
Readers of this report should not rely solely on the forward-looking statements and should consider all risks and uncertainties addressed throughout this report, as well as those discussed under “Item 1A. Risk Factors” in the Bank’s Annual Report on Form 10-K for the year ended December 31, 2022 (20222023 (2023 Form 10-K).
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Quarterly Overview
Net income for the thirdfirst quarter of 20232024 was $103$124 million, an increasea decrease of $23$71 million compared with net income of $80$195 million for the thirdfirst quarter of 2022. The $23 million increase in net2023. Net income for the thirdfirst quarter of 2023 included $43 million of net income resulting from higher advance prepayments relative to the first quarter of 2024, which is not expected to occur at similar levels in the future, net of third-party payments to unwind interest rate swaps at fair value.
The $137 million decrease in net interest income was primarily attributable to $93 million in net advance prepayment fees in the prior-year period, which were significantly lower in the first quarter of 2024. The decrease in net interest income compared to the prior-year period was primarilyalso attributable to an increaselower average balances of $25interest-earning assets and higher costs of interest-bearing liabilities, partially offset by higher yields on interest-earning assets and lower average balances of interest-bearing liabilities.
The $62 million improvement in other income/(loss) and an increase of $14was primarily driven by $45 million in net interest income. These increasesrealized losses recognized in the prior-year period from derivatives economically hedging prepaid advances, along with $30 million of income were partially offset by an increaserecognized in the first quarter of $14 million2024 in other expense.
The $25 million changeconnection with the termination of a long-term funding arrangement entered into with a member borrower in other income/(loss) primarily resulted from an increase of $16 million in net fair value gains on interest rate swaps classified as economic hedges and a decrease of $8 million in fair value losses on financial instruments carried at fair value. The $14 million increase in net interest income reflected higher yields on higher average balances of advances and investments, partially offset by higher interest costs on greater funding levels and higher dividends paid on mandatorily redeemable capital stock classified as interest expense.
The $14 million increase in other expense primarily reflected an increase of $8 million in charitable contributions to fund downpayment assistance grants to middle-income homebuyers, delivered by participating member financial institutions.2017.
At September 30, 2023,March 31, 2024, total assets were $95.0$88.0 billion, a decrease of $26.1$4.8 billion from $121.1$92.8 billion at December 31, 2022, primarily attributable2023. Advances decreased by $4.4 billion to a decrease of $25.8 billion in advances to $63.6$56.9 billion at September 30, 2023,March 31, 2024, from $89.4$61.3 billion at December 31, 2022. The2023. Investments at March 31, 2024, were $29.9 billion, a net decrease of $0.1$398 million from $30.3 billion in total investments sinceat December 31, 2022,2023, attributable to $30.2 billion at September 30, 2023, primarily resulted from a decreasedecreases of $4.3 billion$293 million in securities purchased under agreements to resell, largely offset by an increase of $3.3 billionshort-term investments and $105 million in mortgage-backed securities and a $0.8 billion increase in Federal funds sold.securities.
As of September 30, 2023,March 31, 2024, the Bank exceeded all regulatory capital requirements. The Bank exceeded its 4.0% regulatory requirement with a regulatory capital ratio of 7.9%8.4% at September 30, 2023.March 31, 2024. The increase in the regulatory capital ratio from 6.4%8.0% at December 31, 2022,2023, mainly resulted from the decrease in total assets during 2023.the first quarter of 2024. The Bank also exceeded its risk-based capital requirement of $1.3$1.1 billion with $7.5$7.4 billion in permanent capital. Total retained earnings increased to $4.2 billion as of September 30, 2023, from $4.0$4.4 billion at yearend 2022.March 31, 2024, from $4.3 billion at December 31, 2023.
On October 26, 2023,April 25, 2024, the Bank’s board of directors declared a quarterly cash dividend on the average capital stock outstanding during the thirdfirst quarter of 20232024 at an annualized rate of 8.25%, an increase from8.75%. The quarterly dividend rate is consistent with the 7.75% rate paid for the prior quarter. In addition, the Board approved an updated framework andBank's dividend philosophy to reflect changes in the current interest rate environment and business conditions. Under this approach, the Bank will endeavorof endeavoring 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)investments and that is sustainable under current and projected earnings while maintaining appropriate levels of capital. The third quarter of 2023quarterly dividend is$68will total $66 million,, and the Bank expects to pay the dividend on NovemberMay 9, 2023.
Events affecting the financial services industry during 2023 resulted in significant changes in the liquidity of some of the largest regional financial institutions, some of which experienced significant deposit outflows and financial difficulties, resulting in the liquidation or receivership of three of the Bank’s larger borrowers.
On March 8, 2023, Silvergate Capital Corporation, the parent company of Silvergate Bank, announced its intent to wind down the operations of and voluntarily liquidate Silvergate Bank, and on June 1, 2023, the Federal Reserve Board announced a consent order against Silvergate Capital Corporation and Silvergate Bank to facilitate that voluntary self-liquidation. As of March 1, 2023, Silvergate Bank had no advances outstanding from the Bank, a reduction of $4.3 billion from yearend 2022.
On March 10, 2023, Silicon Valley Bank was closed by the California Department of Financial Protection and Innovation (DFPI) and the Federal Deposit Insurance Corporation (FDIC) was appointed 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. As of March 31, 2023, Silicon Valley Bridge Bank, N.A., had prepaid all outstanding advances to the 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.2024.
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On May 1, 2023, the California DFPI closed First Republic Bank and appointed the FDIC as receiver, and the FDIC and JPMorgan Chase, National Association (“JPMorgan”), a nonmember, entered into a purchase and assumption agreement for all the deposits and substantially all of the assets of First Republic Bank, including $28.1 billion in advances outstanding from the Bank. At September 30, 2023, JPMorgan, had $26.4 billion of advances outstanding from the Bank, assumed from First Republic Bank, that represented approximately 41% of the Bank's total advances outstanding. At December 31, 2022, First Republic Bank had $14.0 billion of advances outstanding from the Bank. Additionally, at September 30, 2023, JPMorgan had $179 million in letters of credit outstanding from the Bank, assumed from First Republic Bank. At December 31, 2022, First Republic Bank had $670 million in letters of credit outstanding. Upon assumption of the advances outstanding by JPMorgan, the Bank transferred $759 million of capital stock of the Bank, held by First Republic Bank, to JPMorgan and reclassified that capital stock as mandatorily redeemable as a liability in the Bank’s Statements of Condition. At October 31, 2023, JPMorgan had $25.1 billion in advances outstanding from the Bank, had $179 million in letters of credit outstanding, and held $677 million of the Bank’s capital stock. These advances outstanding and letters of credit are fully collateralized and are not expected to result in any credit loss to the Bank. JPMorgan was the Bank’s largest borrower and shareholder as of September 30, 2023.
Because recent events have changed the ownership structure of the Bank’s largest borrowers, the Bank may experience a reduction in total assets, capital, and net income if advances outstanding to those borrowers are prepaid or repaid and not replaced with business from members. As of September 30, 2023, advances outstanding from non-members totaled $28.6 billion. The loss of Bank members, especially its largest borrowers, may also have the effect of reducing the Bank’s opportunity to grow advances and may impact the Bank’s long-term strategic plan and corporate goals. The timing and magnitude of the impact of a decrease in the amount of advances on the Bank would depend on a number of factors, including, but not limited to: the amount and the period over which the advances are prepaid or repaid; the amount and timing of any corresponding decreases in the activity-based capital stock requirement; the profitability of the advances; the extent to which consolidated obligations mature as the advances are prepaid or repaid; and the Bank’s ability to extinguish consolidated obligations or transfer them, with associated costs, to other FHLBanks. A decrease in advances could also affect the rate of dividends paid to the Bank’s shareholders. See “Item 1. Financial Statements - Note 4 - Advances” for more information on the Bank’s largest members.

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Financial Highlights
The following table presents a summary of certain financial information for the Bank for the periods indicated.
Financial Highlights
(Unaudited)
(Dollars in millions)(Dollars in millions)September 30,
2023
June 30,
2023
March 31,
2023
December 31,
2022
September 30,
2022
(Dollars in millions)March 31,
2024
December 31,
2023
September 30,
2023
June 30,
2023
March 31,
2023
Selected Balance Sheet Items at Quarter EndSelected Balance Sheet Items at Quarter End
Total Assets
Total Assets
Total AssetsTotal Assets$95,021 $114,877 $142,493 $121,056 $108,507 
AdvancesAdvances63,584 70,537 101,541 89,400 65,658 
Mortgage Loans Held for Portfolio, NetMortgage Loans Held for Portfolio, Net770 785 801 815 834 
Investments(1)
Investments(1)
30,235 43,139 39,712 30,291 41,661 
Consolidated Obligations:(2)
Consolidated Obligations:(2)
BondsBonds70,907 79,855 95,034 75,768 35,446 
Bonds
Bonds
Discount NotesDiscount Notes14,293 24,795 37,356 35,929 62,046 
Mandatorily Redeemable Capital StockMandatorily Redeemable Capital Stock776 843 95 
Capital Stock —Class B —PutableCapital Stock —Class B —Putable2,485 2,600 4,007 3,758 3,322 
Unrestricted Retained EarningsUnrestricted Retained Earnings3,406 3,387 3,356 3,262 3,222 
Restricted Retained EarningsRestricted Retained Earnings816 795 770 732 708 
Accumulated Other Comprehensive Income/(Loss) (AOCI)(55)(19)(61)(29)12 
Accumulated Other Comprehensive Income/(Loss)
Total CapitalTotal Capital6,652 6,763 8,072 7,723 7,264 
Selected Operating Results for the QuarterSelected Operating Results for the Quarter
Net Interest Income
Net Interest Income
Net Interest IncomeNet Interest Income$171 $179 $287 $181 $157 
Provision for/(Reversal of) Credit LossesProvision for/(Reversal of) Credit Losses(1)
Other Income/(Loss)Other Income/(Loss)(26)— (18)
Other ExpenseOther Expense55 48 45 45 41 
Affordable Housing Program AssessmentAffordable Housing Program Assessment13 13 22 13 
Net Income/(Loss)Net Income/(Loss)$103 $121 $195 $117 $80 
Selected Other Data for the QuarterSelected Other Data for the Quarter
Net Interest Margin(3)
Net Interest Margin(3)
0.68 %0.55 %0.88 %0.62 %0.63 %
Net Interest Margin(3)
Net Interest Margin(3)
0.69 %0.72 %0.68 %0.55 %0.88 %
Return on Average Assets
Return on Average Assets
Return on Average AssetsReturn on Average Assets0.41 0.36 0.60 0.40 0.32 
Return on Average EquityReturn on Average Equity6.17 6.52 10.14 6.24 4.52 
Annualized Dividend RateAnnualized Dividend Rate7.75 7.00 7.00 7.00 6.00 
Dividend Payout Ratio(4)
Dividend Payout Ratio(4)
62.12 53.53 32.00 45.97 49.98 
Average Equity to Average Assets RatioAverage Equity to Average Assets Ratio6.63 5.57 5.93 6.47 7.16 
Selected Other Data at Quarter EndSelected Other Data at Quarter End
Regulatory Capital Ratio(5)
Regulatory Capital Ratio(5)
7.87 6.64 5.77 6.41 6.69 
Regulatory Capital Ratio(5)
Regulatory Capital Ratio(5)
Duration Gap (in months)Duration Gap (in months)1.2 1.1 0.9 0.9 1.0 
(1)Investments consist of interest-bearing deposits, securities purchased under agreements to resell, Federalfederal funds sold, trading securities, available-for-sale securities, and held-to-maturity securities.
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(2)As provided by the FHLBank Act or regulations governing the operations of the FHLBanks, all of the FHLBanks have joint and several liability for FHLBank consolidated obligations, which are backed only by the financial resources of the FHLBanks. The joint and several liability regulation authorizes the Finance Agency to require any FHLBank to repay all or a portion of the principal or interest on consolidated obligations for which another FHLBank is the primary obligor. The Bank has never been asked or required to repay the principal or interest on any consolidated obligation on behalf of another FHLBank, and as of September 30, 2023,March 31, 2024, and through the filing date of this report, does not believe that it is probable that it will be asked to do so. The par value of the outstanding consolidated obligations of all FHLBanks at the dates indicated was as follows:
Par Value
(In millions)
March 31, 2024$1,172,424 
December 31, 20231,204,316 
September 30, 2023$1,229,875 
June 30, 20231,340,166 
March 31, 20231,477,668 
December 31, 20221,181,743 
September 30, 20221,031,910 
(3)Net interest margin is calculated as net interest income (annualized) divided by average interest-earning assets.
(4)This ratio is calculated as dividends per share declared, recorded, and paid during the period divided by net income per share.
(5)This ratio is calculated as regulatory capital divided by total assets. Regulatory capital includes retained earnings, Class B capital stock, and mandatorily redeemable capital stock (which is classified as a liability) but excludes AOCI.

Results of Operations
Net Interest Income. The primary source of the Bank’s earnings is net interest income, which is the interest earned on advances, mortgage loans, and investments, less interest paid on consolidated obligations, deposits, mandatorily redeemable capital stock, and other borrowings. The tables that follow present the average balances of interest-earning asset categories and the sources that funded those interest-earning assets (liabilities and capital) for the three and nine months ended September 30,March 31, 2024 and 2023, and 2022, together with the related interest income and expense. These tables also present the average rates on total interest-earning assets and the average costs of total funding sources.
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ThirdFirst Quarter of 20232024 Compared to ThirdFirst Quarter of 20222023
Average Balance SheetsAverage Balance SheetsAverage Balance Sheets
Three Months Ended
Three Months Ended
Three Months Ended
Three Months Ended
September 30, 2023September 30, 2022 March 31, 2024March 31, 2023
(Dollars in millions)(Dollars in millions)Average
Balance
Interest
Income/
Expense
Average
Rate
Average
Balance
Interest
Income/
Expense
Average
Rate
(Dollars in millions)Average
Balance
Interest
Income/
Expense
Average
Rate
Average
Balance
Interest
Income/
Expense
Average
Rate
AssetsAssets
Interest-earning assets:Interest-earning assets:
Interest-earning assets:
Interest-earning assets:
Interest-bearing deposits
Interest-bearing deposits
Interest-bearing depositsInterest-bearing deposits$4,497 $61 5.38 %$2,299 $14 2.28 %$3,934 $$53 5.45 5.45 %$4,383 $$50 4.60 4.60 %
Securities purchased under agreements to resellSecurities purchased under agreements to resell3,742 50 5.27 8,937 51 2.28 
Federal funds soldFederal funds sold9,209 123 5.30 12,901 72 2.22 
Trading securities:
Mortgage-backed securities (MBS)— 3.12 — 2.10 
Available-for-sale (AFS) securities:(1)
Available-for-sale (AFS) securities:(1)
MBS(2)(3)(4)
10,803 189 6.91 8,372 88 4.17 
Other investments(3)
4,030 57 5.61 3,730 21 2.29 
Available-for-sale (AFS) securities:(1)
Available-for-sale (AFS) securities:(1)
MBS(2)(3)
MBS(2)(3)
MBS(2)(3)
Other investments(2)
Held-to-maturity (HTM) securities:Held-to-maturity (HTM) securities:
MBSMBS1,937 25 5.22 2,526 17 2.56 
MBS
MBS
Mortgage loans held for portfolio(5)
778 4.26 850 4.10 
Advances(3)(6)
64,221 867 5.36 58,513 345 2.34 
Mortgage loans held for portfolio(4)
Mortgage loans held for portfolio(4)
Mortgage loans held for portfolio(4)
Advances(2)(5)
Loans to other FHLBanksLoans to other FHLBanks14 — 5.30 16 — 2.36 
Total interest-earning assetsTotal interest-earning assets99,232 1,381 5.52 98,145 616 2.49 
Other assets(7)
978 — 387 — 
Other assets(6)
Total Assets
Total Assets
Total AssetsTotal Assets$100,210 $1,381 $98,532 $616 
Liabilities and CapitalLiabilities and Capital
Liabilities and Capital
Liabilities and Capital
Interest-bearing liabilities:
Interest-bearing liabilities:
Interest-bearing liabilities:Interest-bearing liabilities:
Consolidated obligations:Consolidated obligations:
Bonds(3)
$73,093 $963 5.23 %$28,402 $143 2.01 %
Discount notes16,711 218 5.17 61,417 310 2.00 
Consolidated obligations:
Consolidated obligations:
Bonds(2)
Bonds(2)
Bonds(2)
$64,207 $850 5.33 %$83,204 $920 4.48 %
Discount notes(2)
Deposits and other borrowingsDeposits and other borrowings1,267 16 5.33 921 2.15 
Mandatorily redeemable capital stockMandatorily redeemable capital stock803 13 6.24 — 5.79 
Borrowings from other FHLBanksBorrowings from other FHLBanks22 — 5.20 65 2.74 
Total interest-bearing liabilitiesTotal interest-bearing liabilities91,896 1,210 5.23 90,810 459 2.01 
Other liabilities(7)
1,668 — 668 — 
Other liabilities(6)
Total Liabilities
Total Liabilities
Total LiabilitiesTotal Liabilities93,564 1,210 91,478 459 
Total CapitalTotal Capital6,646 — 7,054 — 
Total Capital
Total Capital
Total Liabilities and Capital
Total Liabilities and Capital
Total Liabilities and CapitalTotal Liabilities and Capital$100,210 $1,210 $98,532 $459 
Net Interest IncomeNet Interest Income$171 $157 
Net Interest Spread(8)
0.29 %0.48 %
Net Interest Margin(9)
0.68 %0.63 %
Net Interest Income
Net Interest Income
Net Interest Spread(7)
Net Interest Spread(7)
Net Interest Spread(7)
0.25 %0.60 %
Net Interest Margin(8)
Net Interest Margin(8)
0.69 %0.88 %
Interest-earning Assets/Interest-bearing LiabilitiesInterest-earning Assets/Interest-bearing Liabilities107.98 %108.08 %
(1)The average balances of AFS securities are reflected at amortized cost. As a result, the average rates do not reflect changes in fair value.
(2)Interest income on AFS securities includes accretion of yield adjustments on certain PLRMBS (resulting from improvement in expected cash flows) with previous credit losses related to the prior methodology of evaluating credit losses, totaling $5 million and $9 million for the three months ended September��30, 2023 and 2022, respectively.
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(3)Interest income/expense and average rates include the effect of associated interest rate exchange agreements, as follows:
Three Months Ended
September 30, 2023
(In millions)AdvancesAFS SecuritiesConsolidated Obligation BondsTotal
(Amortization)/accretion of hedging activities$(6)$(25)$— $(31)
Net gain/(loss) on derivatives and hedged items16 18 35 
Net interest settlements on derivatives153 100 (153)100 
Total effect on net interest income$163 $93 $(152)$104 
Three Months Ended
September 30, 2022
(In millions)AdvancesAFS SecuritiesConsolidated Obligation BondsTotal
(Amortization)/accretion of hedging activities$(8)$(26)$— $(34)
Net gain/(loss) on derivatives and hedged items(6)(4)— (10)
Net interest settlements on derivatives27 22 (37)12 
Total effect on net interest income$13 $(8)$(37)$(32)
(4)There were no prepayment feesfollows. The effect on AFS MBS included in interest income duringexpense and average rates from interest rate exchange agreements associated with discount notes was de minimis for the three months ended September 30,March 31, 2024. There were no interest rate exchange agreements associated with discount notes during three months ended March 31, 2023.
Three Months Ended
March 31, 2024
(In millions)AdvancesAFS SecuritiesConsolidated Obligation BondsTotal
(Amortization)/accretion of hedging activities$(6)$(25)$— $(31)
Net gain/(loss) on derivatives and hedged items— 
Net interest settlements on derivatives172 136 (138)170 
Price alignment amount(9)
(10)(8)(1)(19)
Total effect on net interest income$158 $104 $(139)$123 
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Three Months Ended
March 31, 2023
(In millions)AdvancesAFS SecuritiesConsolidated Obligation BondsTotal
(Amortization)/accretion of hedging activities$(8)$(25)$— $(33)
Net gain/(loss) on derivatives and hedged items(208)(5)(212)
Net interest settlements on derivatives105 89 (125)69 
Price alignment amount(9)
(9)(7)— (16)
Total effect on net interest income$(120)$58 $(130)$(192)
(3)Interest income included net prepayment fees on AFS MBS of $3$1 million and $4 million for the three months ended September 30, 2022.March 31, 2024 and 2023, respectively.
(5)(4)Nonperforming mortgage loans are included in average balances used to determine average rate. Interest income from retrospective adjustment of the effective yields was $3 million and $3 million for the three months ended September 30, 2023 and 2022, respectively. Interest income includes amortization of upfront loan costs and delivery commitments of $(2) million and $(2) million for the three months ended September 30, 2023 and 2022, respectively.
(6)(5)Interest income includes net prepayment fees on advances of a de minimis amount$2 million and $(2)$95 million for the three months ended September 30, 2023March 31, 2024 and 2022.2023.
(7)(6)Includes forward settling transactions and valuation adjustments for certain cash items received/(paid).
(8)(7)Net interest spread is calculated as the difference between the average rate earned on interest-earning assets and the average rate paid on interest-bearing liabilities.
(9)(8)Net interest margin is calculated as net interest income (annualized) divided by average interest-earning assets.
(9)This amount relates to derivatives for which variation margin on cleared derivatives is characterized as a daily settled contract.
Net interest income in the thirdfirst quarter of 20232024 was $171$150 million, a 9% increase48% decrease from $157$287 million in the thirdfirst quarter of 2022.2023. The following table details the changes in interest income and interest expense for the thirdfirst quarter of 20232024 compared to the thirdfirst quarter of 2022.2023. Changes in both volume and interest rates influence changes in net interest income, net interest spread, and net interest margin.
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Change in Net Interest Income: Rate/Volume Analysis
Three Months Ended September 30, 2023, Compared to Three Months Ended September 30, 2022
Change in Net Interest Income: Rate/Volume Analysis
Three Months Ended March 31, 2024, Compared to Three Months Ended March 31, 2023
Change in Net Interest Income: Rate/Volume Analysis
Three Months Ended March 31, 2024, Compared to Three Months Ended March 31, 2023
Increase/
(Decrease)
Attributable to Changes in(1)
Increase/
(Decrease)
Attributable to Changes in(1)
(In millions)(In millions)Average VolumeAverage Rate(In millions)Average VolumeAverage Rate
Interest-earning assets:
Interest income:
Interest-bearing deposits
Interest-bearing deposits
Interest-bearing depositsInterest-bearing deposits$47 $20 $27 
Securities purchased under agreements to resellSecurities purchased under agreements to resell(1)(42)41 
Federal funds soldFederal funds sold51 (26)77 
AFS securities:AFS securities:
AFS securities:
AFS securities:
MBS(2)
MBS(2)
MBS(2)
MBS(2)
101 31 70 
Other investments(2)
Other investments(2)
36 34 
HTM securities: MBSHTM securities: MBS(5)13 
HTM securities: MBS
HTM securities: MBS
Mortgage loans held for portfolioMortgage loans held for portfolio— 
Mortgage loans held for portfolio
Mortgage loans held for portfolio
Advances(2)
Advances(2)
522 37 485 
Total interest-earning assets765 17 748 
Interest-bearing liabilities:
Total interest income
Interest expense:
Consolidated obligations:Consolidated obligations:
Consolidated obligations:
Consolidated obligations:
Bonds(2)
Bonds(2)
Bonds(2)
Bonds(2)
820 406 414 
Discount notesDiscount notes(92)(338)246 
Deposits and other borrowingsDeposits and other borrowings11 10 
Borrowings from other FHLBanksBorrowings from other FHLBanks(1)(1)— 
Mandatorily redeemable capital stockMandatorily redeemable capital stock13 13 — 
Total interest-bearing liabilities751 81 670 
Total interest expense
Net interest incomeNet interest income$14 $(64)$78 
(1)Combined rate/volume variances, a third element of the calculation, are allocated to the rate and volume variances based on their relative sizes.
(2)Interest income/expense and average rates include the interest effect of associated interest rate exchange agreements.
The net interest margin was 6869 basis points for the thirdfirst quarter of 2023, 52024, 19 basis points higherlower than the net interest margin for the thirdfirst quarter of 2022,2023, which was 6388 basis points. The increasedecrease in net interest margin is primarily attributable to $93 million in net advance prepayment fees in the prior-year period, which were significantly lower
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in the first quarter of 2024. The decrease in net interest margin was also the result of a decrease in the average balances of interest-earning assets for the three months ended March 31, 2024, compared to the prior-year period and an increase in the average rate paid on interest-earning assetsinterest-bearing liabilities to 5.52%5.37% for the three months ended September 30, 2023,March 31, 2024, compared to 2.49%4.51% for the three months ended September 30, 2022. Although higher interest rates were the primary cause for the interest income increase, the higher average balances of advances and investments were also a contributing factor.March 31, 2023. These effects were partially offset by a decrease in the average balances of interest-bearing liabilities for the three months ended March 31, 2024, compared to the prior-year period and an increase in costs of interest-bearing liabilities from higher funding levels. The net interest spread was 29 basis points for the third quarter of 2023, 19 basis points lower than the net interest spread for the third quarter of 2022, which was 48 basis points. The decrease in net interest spread was primarily a result of an increase in costs of interest-bearing liabilities from higher funding levels, which were partially offset by higher yieldsaverage rate earned on interest-earning assets that primarily resulted from higher interest rates on growing advance balances.to 5.62% for the three months ended March 31, 2024, compared to 5.11% for the three months ended March 31, 2023.
For PLRMBSprivate-label residential mortgage-backed securities (PLRMBS) with previous credit losses related to the prior methodology of evaluating credit losses, the Bank updates its estimate of future estimatedexpected cash flows on a regular basis. If there is no additionalallowance for credit losslosses on the security, the yield of the security is adjusted on a prospective basis and accreted into interest income based on the expected cash flows. As a result of improvements in the estimated cash flows of these securities, the net accretion of income may continue to be a positive source of net interest income in future periods.
Member demand for wholesale funding from the Bank can vary greatly depending on a number of factors, including economic and market conditions, competition from other wholesale funding sources, member deposit inflows and outflows, the activity level of the primary and secondary mortgage markets, and strategic decisions made by individual member institutions. In addition, events affecting the financial services industry during the first two quarters of 2023 resulted incontributed to the liquidation or receivership of some of the Bank’s largest borrowers.larger borrowers during 2023. The loss of Bank members, especially its largest borrowers, may also have the effect of reducing member demand for wholesale funding. As a result, Bank asset levels and operating results may vary significantly from period to period. See “Item
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1. Financial Statements -Statements– Note 4 - Advances” for more information on the Bank’s largest members and “Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations - Quarterly Overview” for more information on the loss of the Bank’s largest borrowers and its potential effect on the Bank’s opportunity to grow advances.
Other Income/(Loss). The following table presents the components of “Other Income/(Loss)” for the three months ended September 30, 2023March 31, 2024 and 2022.2023.
Other Income/(Loss)
Three Months Ended
Three Months Ended
Three Months Ended
Three Months Ended
(In millions)(In millions)September 30, 2023September 30, 2022(In millions)March 31, 2024March 31, 2023
Other Income/(Loss):
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option
Net gain/(loss) on advances and consolidated obligation bonds held under fair value optionNet gain/(loss) on advances and consolidated obligation bonds held under fair value option$(12)$(20)
Net gain/(loss) on derivativesNet gain/(loss) on derivatives15 (1)
Standby letters of credit feesStandby letters of credit fees
Other, net— (1)
Standby letters of credit fees
Standby letters of credit fees
Other, net(1)
Total Other Income/(Loss)Total Other Income/(Loss)$$(18)
(1)Other, net includes $30 million of income the Bank recognized in the first quarter of 2024 in connection with the termination of a long-term funding arrangement entered into with a member borrower in 2017.
Net Gain/(Loss) on Advances and Consolidated Obligation Bonds Held Under Fair Value Option – The following table presents the net gain/(loss) recognized in earnings on advances and consolidated obligation bonds held under fair value option for the three months ended September 30, 2023March 31, 2024 and 2022.2023.
Net Gain/(Loss) on Advances and Consolidated Obligations Bonds Held Under Fair Value Option
Three Months Ended
Three Months Ended
Three Months Ended
Three Months Ended
(In millions)(In millions)September 30, 2023September 30, 2022(In millions)March 31, 2024March 31, 2023
AdvancesAdvances$(10)$(42)
Consolidated obligation bondsConsolidated obligation bonds(2)22 
TotalTotal$(12)$(20)
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 losses or gains on the derivatives that economically hedge these instruments.
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The net gains/(losses) on advances and consolidated obligation bonds held under the fair value option were primarily driven by the effects of changes in market interest rates, interest rate spreads, interest rate volatility, and other market factors relative to the actual terms onand volume of the advances and consolidated obligation bonds during the period.
Additional information about advances and consolidated obligation bonds held under the fair value option is provided in “Item 1. Financial Statements – Note 1211 – Fair Value.”
Net Gain/(Loss) on Derivatives – UnderAccounting guidance requires the accounting guidance for derivative instruments and hedging activities, the Bank is required to carry all of its derivative instruments on the Statements of Condition at fair value. Certain derivatives are associated with assets or liabilities but do not qualify as fair value hedges under the accounting guidance for derivative instruments and hedging activities.hedges. These economic hedges are recorded on the Statements of Condition at fair value with the unrealized gain or loss recorded in earnings without any offsetting unrealized gain or loss from the associated asset or liability.
The following table shows the accounting classification of economic hedges and the categories of hedged items that contributed to the gains and losses on derivatives that were recorded in “Net gain/(loss) on derivatives” in the thirdfirst quarter of 20232024 and 2022.2023.
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Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives
Three Months Ended September 30, 2023, Compared to Three Months Ended September 30, 2022
Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives
Three Months Ended March 31, 2024, Compared to Three Months Ended March 31, 2023
Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives
Three Months Ended March 31, 2024, Compared to Three Months Ended March 31, 2023
Three Months Ended
Three Months Ended
Three Months Ended
Three Months Ended
(In millions)(In millions)September 30, 2023September 30, 2022(In millions)March 31, 2024March 31, 2023
Hedged ItemHedged ItemGain/(Loss) on
Economic
Hedges
Income/
(Expense) on
Economic
Hedges
TotalGain/(Loss) on
Economic
Hedges
Income/
(Expense) on
Economic
Hedges
TotalHedged ItemGain/(Loss) on
Economic
Hedges
Income/
(Expense) on
Economic
Hedges
TotalGain/(Loss) on
Economic
Hedges
Income/
(Expense) on
Economic
Hedges
Total
Advances:Advances:
Elected for fair value optionElected for fair value option$$14 $21 $35 $(3)$32 
Elected for fair value option
Elected for fair value option
Not elected for fair value optionNot elected for fair value option(3)22 23 
Consolidated obligation bonds:Consolidated obligation bonds:
Elected for fair value option
Elected for fair value option
Elected for fair value optionElected for fair value option(7)(5)(19)(6)(25)
Not elected for fair value optionNot elected for fair value option(9)(7)(20)(3)(23)
Consolidated obligation discount notes:Consolidated obligation discount notes:
Not elected for fair value optionNot elected for fair value option(4)(13)(11)
MBS:
Not elected for fair value optionNot elected for fair value option— — — — 
Not elected for fair value option
Price alignment amount(1)
Price alignment amount(1)
Price alignment amount(1)
Price alignment amount(1)
(1)— (1)— — — 
TotalTotal$12 $$15 $23 $(24)$(1)
(1)This amount relates to derivatives for which variation margin on cleared derivatives is characterized as a daily settled contract.
During the thirdfirst quarter of 2023,2024, net gains on derivatives totaled $15 million compared to net losses of $1$34 million in the thirdfirst quarter of 2022.2023. These amounts included interest income of $3$5 million and interest expense of $24$5 million resulting from net settlements on derivative instruments used in economic hedges in the thirdfirst quarter of 20232024 and 2022,2023, 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 ongoing impact of these valuation adjustments on the Bank cannot be predicted and the effects of these valuation adjustments may lead to significant volatility in future earnings, including earnings available for dividends.
Additional information about derivatives and hedging activities is provided in “Item 1. Financial Statements – Note 1110 – Derivatives and Hedging Activities.”
Termination of Long-Term Funding Arrangement – In connection with certain litigation involving its PLRMBS, the Bank entered into a long-term funding arrangement in 2017 with a member, under which the member agreed to
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obtain or maintain certain advances from the Bank. During the quarter ended March 31, 2024, the Bank terminated the long-term funding arrangement, and in accordance with its terms, recognized $30 million of other income.
Other Expense. During the thirdfirst quarter of 2023,2024, other expenses totaled $55$50 million, compared to $41$45 million in the thirdfirst quarter of 2022.2023. The increase primarily reflectedwas attributable to a $4 million voluntary allocation for the Affordable Housing Program, which was in addition to the statutory Affordable Housing Program assessment discussed below. Other expense also included an increase in compensation and benefits.
Affordable Housing Program. The FHLBank Act requires each FHLBank to establish and fund an affordable housing program (AHP). Each FHLBank’s AHP provides subsidies to members, who use the funds to assist in the purchase, construction, or rehabilitation of $8housing 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.
To fund the AHP, the FHLBanks must set aside at least, in the aggregate, the greater of $100 million in charitable contributionsor 10% of the current year's net earnings (income before interest expense related to fund downpayment assistance grantsdividends 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 middle-income homebuyers, delivered by participating member financial institutions.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.
The Bank’s total AHP assessments equaled $16 million and $22 million for the three months ended March 31, 2024 and 2023, respectively.
Return on Average Equity. Return on average equity (ROE) was 6.17%7.49% (annualized) for the thirdfirst quarter of 2023,2024, compared to 4.52%10.14% (annualized) for the thirdfirst quarter of 2022.2023. The increasedecrease reflected higherlower net income for the thirdfirst quarter of 2024, which decreased 36%, from $195 million in the first quarter of 2023 which increased 29%, from $80to $124 million in the thirdfirst quarter of 2022 to $103 million in the third quarter of 2023,2024, partially offset by a decrease in average equity from $7.1$7.8 billion in the thirdfirst quarter of 20222023 to $6.6 billion in the thirdfirst quarter of 2023.2024.
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Dividends and Retained Earnings. In the thirdfirst quarter of 2024, the Bank paid dividends at an annualized rate of 8.75%, totaling $69 million, including $53 million in dividends on capital stock and $16 million in dividends on mandatorily redeemable capital stock. In the first quarter of 2023, the Bank paid dividends at an annualized rate of 7.75%7.00%, totaling $76$63 million, including $63 million in dividends on capital stock and $13 million in dividends on mandatorily redeemable capital stock. In the third quarter of 2022, the Bank paid dividends at an annualized rate of 6.00%, totaling $40 million, including $40 million in dividends on capital stock and a de minimis amount in dividends on mandatorily redeemable capital stock.
The Bank paid these dividends in cash. Dividends on capital stock are recognized as dividends on the Statements of Capital Accounts, and dividends on mandatorily redeemable capital stock are recognized as interest expense on the Statements of Income.
The Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework (Framework) assesses the level and adequacy of retained earnings and establishes amounts to be retained in restricted retained earnings, which are not made available in the current dividend period, and maintains an amount of total retained earnings at least equal to its required retained earnings as described in the Framework. During the third quarter of 2023, the Board approved an updated Framework and dividend philosophy to reflect changes in the current interest rate environment and business conditions. Under this approach, the Bank will 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)investments and that is sustainable under current and projected earnings while maintaining appropriate levels of capital. The decision to declare any dividend and the dividend rate is at the discretion of the Bank’s board of directors, which may choose to follow the dividend philosophy as guidance in the dividend declaration. The Board may also revise or eliminate the dividend philosophy in the future. The Bank’s historical dividend rates and the dividend philosophy are not indicative of future dividend declarations.
For more information, see “Item 1. Financial Statements – Note 9 – Capital” in this report and see “Item 1. Business – Dividends and Retained Earnings,” “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Liquidity Risk,” and “Item 8. Financial Statements and Supplementary Data – Note 11 – Capital – Excess Stock Repurchase, Retained Earnings, and Dividend Framework” in the Bank’s 20222023 Form 10-K.
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Nine Months Ended September 30, 2023, Compared to Nine Months Ended September 30, 2022
Average Balance Sheets
Nine Months Ended
 September 30, 2023September 30, 2022
(Dollars in millions)Average
Balance
Interest
Income/
Expense
Average
Rate
Average
Balance
Interest
Income/
Expense
Average
Rate
Assets
Interest-earning assets:
Interest-bearing deposits$4,438 $167 5.03 %$1,748 $17 1.29 %
Securities purchased under agreements to resell6,819 252 4.94 5,747 65 1.51 
Federal funds sold11,147 414 4.96 10,883 96 1.18 
Trading securities:
MBS— 2.93 — 1.92 
Other investments— — — 16 — 2.04 
AFS securities:(1)
MBS(2)(3)(4)
9,770 484 6.62 8,715 220 3.38 
Other investments(3)
4,035 161 5.31 2,064 27 1.74 
HTM securities:
MBS2,038 74 4.87 2,751 34 1.64 
Mortgage loans held for portfolio(5)
794 21 3.46 892 38 5.74 
Advances(3)(6)
81,951 3,184 5.20 43,101 501 1.55 
Loans to other FHLBanks11 — 4.90 12 — 1.48 
Total interest-earning assets121,004 4,757 5.26 75,930 998 1.76 
Other assets(7)
606 — 518 — 
Total Assets$121,610 $4,757 $76,448 $998 
Liabilities and Capital
Interest-bearing liabilities:
Consolidated obligations:
Bonds(3)
$82,240 $3,008 4.89 %$26,549 $205 1.03 %
Discount notes29,101 1,050 4.82 41,428 399 1.29 
Deposits and other borrowings1,205 45 5.07 1,107 0.90 
Mandatorily redeemable capital stock526 15 3.78 — 6.18 
Borrowings from other FHLBanks51 4.79 57 1.67 
Total interest-bearing liabilities113,123 4,120 4.87 69,146 612 1.18 
Other liabilities(7)
1,200 — 564 — 
Total Liabilities114,323 4,120 69,710 612 
Total Capital7,287 — 6,738 — 
Total Liabilities and Capital$121,610 $4,120 $76,448 $612 
Net Interest Income$637 $386 
Net Interest Spread(8)
0.39 %0.57 %
Net Interest Margin(9)
0.70 %0.68 %
Interest-earning Assets/Interest-bearing Liabilities106.97 %109.81 %
(1)The average balances of AFS securities are reflected at amortized cost. As a result, the average rates do not reflect changes in fair value.
(2)Interest income on AFS securities includes accretion of yield adjustments on certain PLRMBS (resulting from improvement in expected cash flows) with previous credit losses related to the prior methodology of evaluating credit losses, totaling $17 million and $27 million for the nine months ended September 30, 2023 and 2022, respectively.

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(3)Interest income/expense and average rates include the effect of associated interest rate exchange agreements, as follows:
Nine Months Ended
September 30, 2023
(In millions)AdvancesAFS SecuritiesConsolidated Obligation BondsTotal
(Amortization)/accretion of hedging activities$(19)$(76)$— $(95)
Net gain/(loss) on derivatives and hedged items(210)(5)(213)
Net interest settlements on derivatives416 297 (424)289 
Total effect on net interest income
$187 $223 $(429)$(19)
Nine Months Ended
September 30, 2022
(In millions)AdvancesAFS SecuritiesConsolidated Obligation BondsTotal
(Amortization)/accretion of hedging activities$(22)$(80)$— $(102)
Net gain/(loss) on derivatives and hedged items(5)— (1)
Net interest settlements on derivatives(4)(2)(4)
Total effect on net interest income$(31)$(74)$(2)$(107)
(4)Interest income includes net prepayment fees received on AFS MBS of $6 million and $20 million for the nine months ended September 30, 2023 and 2022, respectively.
(5)Nonperforming mortgage loans are included in average balances used to determine average rate. Interest income from retrospective adjustment of the effective yields was $3 million and $21 million for the nine months ended September 30, 2023 and 2022, respectively. Interest income includes amortization of upfront loan costs and delivery commitments of $(3) million and $(7) million for the nine months ended September 30, 2023 and 2022, respectively.
(6)Interest income includes net prepayment fees on advances of $99 million and $(4) million for the nine months ended September 30, 2023 and 2022, respectively.
(7)Includes forward settling transactions and valuation adjustments for certain cash items received/(paid).
(8)Net interest spread is calculated as the difference between the average rate earned on interest-earning assets and the average rate paid on interest-bearing liabilities.
(9)Net interest margin is calculated as net interest income (annualized) divided by average interest-earning assets.
Net interest income for the first nine months of 2023 was $637 million, a 65% increase from $386 million for the first nine months of 2022. The following table details the changes in interest income and interest expense for 2023 compared to 2022. Changes in both volume and interest rates influence changes in net interest income, net interest spread, and net interest margin.
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Change in Net Interest Income: Rate/Volume Analysis
Nine Months Ended September 30, 2023 Compared to Nine Months Ended September 30, 2022
 Increase/
(Decrease)
Attributable to Changes in(1)
(In millions)Average VolumeAverage Rate
Interest-earning assets:
Interest-bearing deposits$150 $52 $98 
Securities purchased under agreements to resell187 14 173 
Federal funds sold318 316 
AFS securities:
MBS(2)
264 30 234 
Other investments(2)
134 42 92 
HTM securities: MBS40 (11)51 
Mortgage loans held for portfolio(17)(4)(13)
Advances(2)
2,683 745 1,938 
Total interest-earning assets3,759 870 2,889 
Interest-bearing liabilities:
Consolidated obligations:
Bonds(2)
2,803 1,008 1,795 
Discount notes651 (151)802 
Deposits and other borrowings38 37 
Borrowings from other FHLBanks— 
Mandatorily redeemable capital stock15 15 — 
Total interest-bearing liabilities3,508 873 2,635 
Net interest income$251 $(3)$254 
(1)Combined rate/volume variances, a third element of the calculation, are allocated to the rate and volume variances based on their relative sizes.
(2)Interest income/expense and average rates include the interest effect of associated interest rate exchange agreements.
The net interest margin was 70 basis points for the first nine months of 2023, 2 basis point higher than the net interest margin for the first nine months of 2022, which was 68 basis points. The increase in net interest margin is primarily the result of an increase in the average rate paid on interest-earning assets to 5.26% for the nine months ended September 30, 2023 compared to 1.76% for the nine months ended September 30, 2022. Although higher interest rates were the primary cause for the interest income increase, the higher average balances of advances and investments were also a contributing factor. These effects were partially offset by an increase in costs of interest-bearing liabilities from higher funding levels. The net interest spread was 39 basis points for the first nine months of 2023, 18 basis points lower than the net interest spread for the first nine months of 2022, which was 57 basis points. The decrease in net interest spread was primarily a result of an increase in costs of interest-bearing liabilities from higher funding levels, which were partially offset by higher yields on interest-earning assets that primarily resulted from higher interest rates on growing advance balances.
For PLRMBS with previous credit losses related to the prior methodology of evaluating credit losses, the Bank updates its estimate of future estimated cash flows on a regular basis. If there is no additional credit loss on the security, the yield of the security is adjusted on a prospective basis and accreted into interest income based on the expected cash flows. As a result of improvements in the estimated cash flows of these securities, the net accretion of income is likely to continue to be a positive source of net interest income in future periods.
Member demand for wholesale funding from the Bank can vary greatly depending on a number of factors, including economic and market conditions, competition from other wholesale funding sources, member deposit inflows and outflows, the activity level of the primary and secondary mortgage markets, and strategic decisions made by individual member institutions. In addition, events affecting the financial services industry during the first two quarters of 2023 resulted in the liquidation or receivership of some of the Bank’s largest borrowers. The loss of Bank members, especially its largest borrowers, may also have the effect of reducing member demand for wholesale funding. As a result, Bank asset levels and operating results may vary significantly from period to period. See “Item
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1. Financial Statements - Note 4 - Advances” for more information on the Bank’s largest members and “Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations - Quarterly Overview” for information on the loss of the Bank’s largest borrowers and its potential effect on the Bank’s opportunity to grow advances.
Other Income/(Loss). The following table presents the components of “Other Income/(Loss)” for the nine months ended September 30, 2023 and 2022.
Other Income/(Loss)
Nine Months Ended
(In millions)September 30, 2023September 30, 2022
Other Income/(Loss):
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option$(27)$(53)
Net gain/(loss) on derivatives(6)(13)
Private-label residential mortgage-backed securities trust settlement— 28 
Standby letters of credit fees15 11 
Other, net(4)
Total Other Income/(Loss)$(15)$(31)
Net Gain/(Loss) on Advances and Consolidated Obligation Bonds Held Under Fair Value Option – The following table presents the net gain/(loss) on advances and consolidated obligation bonds held under fair value option for the nine months ended September 30, 2023 and 2022.
Net Gain/(Loss) on Advances and Consolidated Obligation Bonds Held Under Fair Value Option
Nine Months Ended
(In millions)September 30, 2023September 30, 2022
Advances$(11)$(117)
Consolidated obligation bonds(16)64 
Total$(27)$(53)
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 losses or gains on the derivatives that economically hedge these instruments.
The net gains/(losses) on advances and consolidated obligation bonds held under the fair value option were primarily driven by the effects of changes in market interest rates, interest rate spreads, interest rate volatility, and other market factors relative to the actual terms on the advances and consolidated obligation bonds during the period.
Additional information about advances and consolidated obligation bonds held under the fair value option is provided in “Item 8. Financial Statements and Supplementary Data – Note 12 – Fair Value.”
Net Gain/(Loss) on Derivatives – Under the accounting guidance for derivative instruments and hedging activities, the Bank is required to carry all of its derivative instruments on the Statements of Condition at fair value. Certain derivatives are associated with assets or liabilities but do not qualify as fair value hedges under the accounting guidance for derivative instruments and hedging activities. These economic hedges are recorded on the Statements of Condition at fair value with the unrealized gain or loss recorded in earnings without any offsetting unrealized gain or loss from the associated asset or liability.
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The following table shows the accounting classification of economic hedges and the categories of hedged items that contributed to the gains and losses on derivatives that were recorded in “Net gain/(loss) on derivatives” for the nine months endedSeptember 30, 2023 and 2022.
Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives
2023 Compared to 2022
Nine Months Ended
(In millions)September 30, 2023September 30, 2022
Hedged ItemGain/(Loss) on Economic
Hedges
Income/
(Expense) on Economic
Hedges
TotalGain/(Loss) on Economic
Hedges
Income/
(Expense) on Economic
Hedges
Total
Advances:
Elected for fair value option$$36 $44 $102 $(18)$84 
Not elected for fair value option(36)28 (8)43 10 53 
Consolidated obligation bonds:
Elected for fair value option14 (28)(14)(58)(4)(62)
Not elected for fair value option(27)(18)(62)(2)(64)
Consolidated obligation discount notes:
Not elected for fair value option— (7)(7)(25)(3)(28)
MBS:
Not elected for fair value option— — — — 
Price alignment amount(1)
(3)— (3)— — — 
Total$(8)$$(6)$$(17)$(13)
(1) This amount relates to derivatives for which variation margin on cleared derivatives is characterized as a daily settled contract.
During the first nine months of 2023, net losses on derivatives totaled $6 million compared to net losses of $13 million in the first nine months of 2022. These amounts included income of $2 million and expense of $17 million resulting from net settlements on derivative instruments used in economic hedges in the first nine months of 2023 and 2022, respectively. Excluding the impact of income or expense from net settlements on derivative instruments used in economic hedges, the net gains or losses on economic hedges were primarily associated with the effects of changes in market interest rates, interest rate spreads, interest rate volatility, and other market factors during the period.
The Bank cannot predict the ongoing impact of these valuation adjustments and the effects of these valuation adjustments may lead to significant volatility in future earnings, including earnings available for dividends.
Additional information about derivatives and hedging activities is provided in “Item 8. Financial Statements and Supplementary Data – Note 11 – Derivatives and Hedging Activities.”
PLRMBS Trust Settlement – One of the Bank’s PLRMBS investments is held within a trust that has been the subject of litigation by the trustee since 2012. Upon final resolution of the litigation, to which the Bank was not a party, the trustee was required to transmit settlement proceeds to the trust. In the first quarter of 2022, as a result of the distribution of the settlement proceeds to the beneficial owners of the securities in the trust, including the Bank, the Bank recorded settlement proceeds of $28 million as income during the nine months ended September 30, 2022. There was no similar activity during the nine months ended September 30, 2023.
Other Expense. During the first nine months of 2023, other expenses totaled $148 million, compared to $117 million in the first nine months of 2022. The increase was attributable to an increase in compensation and benefits throughout the Bank’s workforce as a result of a comprehensive compensation study in order to retain talent and an increase in charitable contributions to fund downpayment assistance grants to middle-income homebuyers, delivered by participating member financial institutions.
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Return on Average Equity. ROE was 7.69% for the first nine months of 2023, compared to 4.09% for the first nine months of 2022. The increase reflected higher net income for the first nine months of 2023, which increased 103% to $419 million in the first nine months of 2023 from $206 million in the first nine months of 2022, which was partially offset by an increase in average equity to $7.3 billion in the first nine months of 2023 from $6.7 billion in the first nine months of 2022.
Dividends and Retained Earnings. In the first nine months of 2023, the Bank paid dividends at an annualized rate of 7.26%, totaling $206 million, including $191 million in dividends on capital stock and $15 million in dividends on mandatorily redeemable capital stock. In the first nine months of 2022, the Bank paid dividends at an annualized rate of 6.00%, totaling $108 million, including $108 million in dividends on capital stock and a de minimis amount in dividends on mandatorily redeemable capital stock.
The Bank paid these dividends in cash. Dividends on capital stock are recognized as dividends on the Statements of Capital Accounts, and dividends on mandatorily redeemable capital stock are recognized as interest expense on the Statements of Income.
For more information, see “Item 1. Business – Dividends and Retained Earnings,” “Management���s Discussion and Analysis of Financial Condition and Results of Operations – Liquidity and Capital Resources – Capital,” and “Item 8. Financial Statements and Supplementary Data – Note 11 – Capital – Excess Stock Repurchase, Retained Earnings, and Dividend Framework.”

Financial Condition
Total assets were $95.0$88.0 billion at September 30, 2023,March 31, 2024, compared to $121.1$92.8 billion at December 31, 2022.2023. Advances decreased by $25.8$4.4 billion, or 29%7%, to $63.6$56.9 billion at September 30, 2023,March 31, 2024, from $89.4$61.3 billion at December 31, 2022.2023. Average advances were $64.2 billion for the third quarter of 2023, a 10% increase from $58.5 billion for the third quarter of 2022. Average advances were $82.0$55.8 billion for the first nine monthsquarter of 2023,2024, a 90% increase39% decrease from $43.1$91.7 billion for the first nine monthsquarter of 2022.2023. Average MBS investments were $12.7 billion for the third quarter of 2023, a 17% increase from $10.9 billion for the third quarter of 2022. Average MBS investments were $11.8$15.2 billion for the first nine monthsquarter of 2023, an 3%2024, a 39% increase from $11.5$11.0 billion for the first nine monthsquarter of 2022.2023.
Advances outstanding at September 30, 2023,March 31, 2024, included net unrealized losses of $973$531 million, of which $921$515 million represented unrealized losses on hedged advances hedged in accordance with the accounting for derivative instruments and hedging activities and $52$16 million represented unrealized losses on economically hedged advances that are carried at fair value in accordance with the fair value option. Advances outstanding at December 31, 2022,2023, included net unrealized losses of $717$375 million, of which $670$371 million represented unrealized losses on hedged advances hedged in accordance with the accounting for derivative instruments and hedging activities and $47$4 million represented unrealized losses on economically hedged advances that are carried at fair value in accordance with the fair value option. The change in the net unrealized losses on the hedged advances and advances carried at fair value from December 31, 2022,2023, to September 30, 2023,March 31, 2024, 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 actual terms onand volume of the Bank’s advances during the period.
The Bank invests in interest-bearing deposits, securities purchased under agreements to resell, and Federalfederal funds sold. These investments are funded with longer tenor debt to create liquidity.
Total liabilities were $88.4$81.2 billion at September 30, 2023,March 31, 2024, a decrease of $24.9$5.0 billion from $113.3$86.2 billion at December 31, 2022,2023, primarily reflecting a $26.5$4.7 billion decrease in consolidated obligations outstanding to $85.2$78.8 billion at September 30, 2023,March 31, 2024, from $111.7$83.5 billion at December 31, 2022.2023. Average consolidated obligations were $89.8 billion for the third quarter of 2023 and $89.8 billion for the third quarter of 2022. Average consolidated obligations were $111.3$78.7 billion for the first nine monthsquarter of 20232024 and $68.0$121.9 billion for the first nine monthsquarter of 2022.
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For further information and discussion of the Bank’s joint and several liability for FHLBank consolidated obligations, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations – Financial Condition” and “Item 1. Financial Statements – Note 13 – Commitments and Contingencies.
Accumulated other comprehensive income/(loss) was $(55) million at September 30, 2023, compared to $(29) million at December 31, 2022. The change in accumulated other comprehensive income/(loss) was mainly attributable to a decrease in the fair values of investment securities classified as AFS, which primarily reflected higher interest rate spreads during the first nine months of 2023, mostly impacting the Bank’s agency MBS portfolio.

2023.
Consolidated obligations outstanding at September 30, 2023,March 31, 2024, included net unrealized gains of $964$667 million on hedged consolidated obligation bonds hedged in accordance with the accounting for derivative instruments and hedging activities and unrealized gains of $43$28 million on economically hedged consolidated obligation bonds that are carried at fair value in accordance with the fair value option. Consolidated obligations outstanding at December 31, 2022,2023, included net unrealized gains of $1.1 billion$645 million on hedged consolidated obligation bonds hedged in accordance with the accounting for derivative instruments and hedging activities and unrealized gains of $52$29 million on economically hedged consolidated obligation bonds that are carried at fair value in accordance with the fair value option. The change in the net unrealized gains on the hedged consolidated obligation bonds and on the consolidated obligation bonds carried at fair value from December 31, 2022,2023, to September 30, 2023,March 31, 2024, were primarily attributable to the effects of changes in market interest rates, interest rate spreads, interest rate volatility, and other market factors relative to the actual terms on the Bank’s consolidated obligation bondsbond terms and volumes during the period.
As provided by the FHLBank Act or regulations governing the operations of the FHLBanks, all FHLBanks have joint and several liability for all FHLBank consolidated obligations. The joint and several liability regulation authorizes the Finance Agency to require any FHLBank to repay all or a portion of the principal or interest on consolidated obligations for which another FHLBank is the primary obligor. The Bank has never been asked or required to repay the principal or interest on any consolidated obligation on behalf of another FHLBank, and as of September 30, 2023,March 31, 2024, and through the filing date of this report, does not believe that it is probable that it will be asked to do so. The par value of the outstanding consolidated obligations of the FHLBanks was $1.2 trillion at September 30, 2023,March 31, 2024, and December 31, 2022.2023.
LIBOR Transition. Following the cessation of representative USD LIBOR on June 30, 2023, the Bank’s investments with future rate resets originally indexed to LIBOR have been transitioned to alternative fallback rates indexed to SOFR. The Bank recognizes that the discontinuation of LIBOR presents risksFor further information and challenges that could have an impact on the Bank’s business. The Bank’s Asset and Liability Management Committee has the primary responsibility for driving the transition from LIBOR to SOFR and managing and mitigating the associated risks. For information about the risks to the Bank from the discontinuation of LIBOR, see “Item 1A. Risk Factors” in the Bank’s 2022 Form 10-K.
Segment Information
The Bank uses an analysis of financial results based on the financial components and adjusted net interest income of two operating segments, the advances-related business and the mortgage-related business, as well as other financial information, to review and assess financial performance and determine financial management strategies related to the operations of these two business segments. For purposes of segment reporting, adjusted net interest income includes income and expense associated with net settlements from economic hedges that are recorded in “Net gain/(loss) on derivatives” in other income/(loss), excludes interest income and expense associated with changes in fair value of the derivative hedging instrument and the hedged item attributable to the hedged risk for designated fair value hedges that are recorded in net interest income, and excludes interest expense that is recorded in “Mandatorily redeemable capital stock.” Affordable Housing Program (AHP) assessments are not included in the segment reporting analysis but are incorporated into the Bank’s overall assessment of financial performance. For a reconciliationdiscussion of the Bank’s operating segment adjusted net interest income to the Bank’s total net interest income,joint and several liability for FHLBank consolidated obligations, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations – Financial Condition” and “Item 8.1. Financial Statements – Note 1012Segment Information.”Commitments and Contingencies.
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The average balances of interest-bearing demand and overnight deposits were $819 million and $810 million, and the weighted average interest rates paid on interest-bearing demand and overnight deposits were 5.21% and 4.66% in the first quarter of 2024 and 2023, respectively. There were no term deposits outstanding during the first quarter of 2024. The average balance of term deposits was $26 million and the weighted average interest rate paid on term deposits was 4.40% in the first quarter of 2023. All Bank deposits are uninsured.
Accumulated other comprehensive income was $27 million at March 31, 2024, an increase of $99 million compared to accumulated other comprehensive loss of $72 million at December 31, 2023, mainly attributable to an improvement in the fair values of investment securities classified as AFS, which primarily reflected higher interest rate spreads during the first quarter of 2024, mostly impacting the Bank’s agency MBS portfolio.
Credit Ratings. On July 31, 2023, S&P Global Ratings (S&P) affirmed the long-term issuer credit ratings on all of the FHLBanks at AA+. On January 24, 2024, Moody’s Investors Service (Moody’s) affirmed the Aaa long-term ratings of the FHLBank System.
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.
Advances-Related Business.Products. The advances-related business consistsproducts consist of advances and other credit products, related financing and hedging instruments, liquidity and other non-MBS investments associated with the Bank’s role as a liquidity provider, and capital.products.
Adjusted net interest income for this segment is derived primarily from the difference, or spread, between the yield on advances and non-MBS investments and the cost of the consolidated obligations funding these assets, including the net settlements from associated interest rate exchange agreements, and from earnings attributed to the Bank’s capital stock and retained earnings.
Adjusted net interest income for this segment was $128 million in the third quarter of 2023, an increase of $42 million, or 49%, compared to $86 million in the third quarter of 2022. This quarterly increase was primarily a result of an improvement in spreads on advances-related assets and higher balances of advances and other credit products.
The following table presents the advances portfolio by product type at September 30, 2023,March 31, 2024, and December 31, 2022.2023.
Advances Portfolio by Product Type
September 30, 2023December 31, 2022
March 31, 2024March 31, 2024December 31, 2023
(Dollars in millions)(Dollars in millions)Par ValuePercentage of Total Par ValuePar ValuePercentage of Total Par Value(Dollars in millions)Par ValuePercentage of Total Par ValuePar ValuePercentage of Total Par Value
Adjustable – SOFRAdjustable – SOFR$2,165 %2,690 %
Adjustable – SOFR
Adjustable – SOFR$4,685 %2,055 %
Adjustable – SOFR, callable at borrower’s optionAdjustable – SOFR, callable at borrower’s option4,250 9,500 11 
Subtotal adjustable rate advances
Subtotal adjustable rate advances
Subtotal adjustable rate advancesSubtotal adjustable rate advances6,415 12,190 14 
FixedFixed10,019 16 45,471 50 
Fixed – amortizingFixed – amortizing60 — 60 — 
Fixed – with PPS(1)
Fixed – with PPS(1)
523 965 
Fixed – with FPS(1)
Fixed – with FPS(1)
38,666 60 18,035 20 
Fixed – callable at borrower’s option with FPS(1)
Fixed – callable at borrower’s option with FPS(1)
340 340 — 
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)
Fixed – putable at Bank’s option with FPS(1)
1,491 800 
Subtotal fixed rate advancesSubtotal fixed rate advances51,099 80 65,671 72 
Subtotal fixed rate advances
Subtotal fixed rate advances
Daily variable rateDaily variable rate7,043 11 12,256 14 
Total par valueTotal par value$64,557 100 %$90,117 100 %Total par value$57,443 100 100 %$61,710 100 100 %
(1)Partial prepayment symmetry (PPS) and full prepayment symmetry (FPS) are product features under which the Bank may charge the borrower a prepayment fee or pay the borrower a prepayment credit, depending on certain circumstances, such as movements in interest rates, when the advance is prepaid. In November 2018, the Bank discontinued offering advances with PPS, and any prepayment credit on an advance with PPS would be limited to the lesser of 10% of the par value of the advance or the gain recognized on the termination of the associated interest rate swap, which may also include a similar contractual gain limitation.

Mortgage-Related Business.Products. The mortgage-related business consistsproducts consist of MBS investments and mortgage loans acquired through the Mortgage Partnership Finance® (MPF®Finance® (MPF®) Program and the related financing and hedging instruments. (“Mortgage Partnership Finance” and “MPF” are registered trademarks of the FHLBank of Chicago.) Adjusted net interest income for this segment is derived primarily from the difference, or spread, between the yield on the MBS investments and mortgage loans and the cost of the consolidated obligations funding those assets, including the net settlements from associated interest rate exchange agreements.Chicago).
Adjusted net interest income for this segment was $44 million in the third quarter of 2023, a decrease of $4 million, or 8%, from $48 million in the third quarter of 2022. This quarterly decrease was primarily a result of lower earnings on mortgage-related products and lower accretion-related income, partially offset by higher MBS balances.
MBS Investments – The Bank’s MBS portfolio was $14.1$15.2 billion at September 30, 2023,March 31, 2024, compared with $10.9$15.3 billion at December 31, 2022.2023. During the first ninethree months of 2023,2024, the Bank’s MBS portfolio increased primarilydecreased as a result of $4.2 billiona $244 million decrease in purchases,basis adjustments and $167 million in principal repayments, partially offset by $493 million in principal repayments. Average MBS investments were $12.7 billion in the third quarter of 2023, an increase of $1.8 billion from $10.9 billion in the third$307
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quarter of 2022.million in purchases. Average MBS investments were $11.8$15.2 billion forin the first nine monthsquarter of 2023,2024, an increase of $0.3$4.2 billion from $11.5$11.0 billion forin the first nine monthsquarter of 2022.2023.
Mortgage Loans Mortgage loan balances were $770$742 million at September 30, 2023,March 31, 2024, a decrease of $45$12 million from $815$754 million at December 31, 2022.2023. Average mortgage loans were $778 million in the third quarter of 2023, a decrease of $72 million from $850 million in the third quarter of 2022. Average mortgage loans were $794$749 million in the first nine monthsquarter of 2023,2024, a decrease of $98$60 million from $892$809 million in the first nine monthsquarter of 2022.2023.
For more information on the Bank’s management of interest rate risk and market risk related to the mortgage-related business,products, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Market Risk.”

Liquidity and Capital Resources
The Bank’s financial strategies are designed to enable the Bank to expand and contract its assets, liabilities, and capitalbalance sheet as membership composition and member credit needs change. The Bank’s liquidity and capital resources are designed to support its financial strategies. The Bank’s primary source of liquidity is its access to the debt capital markets through consolidated obligation issuance.issuance which is described in “Item 1. Business – Funding Sources” in the Bank’s 2023 Form 10-K. The Bank’s 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 comparable to federal agency debt, providing the FHLBanks with access to funding at relatively favorable rates. The maintenance of the Bank’s capital resources is governed by its capital plan.
Liquidity
The Bank seeksstrives to maintain the liquidity necessary to repay maturing consolidated obligations for which it is the primary obligor, meet other obligations and commitments, and meet expected and unexpected member credit demands.demands, and avail of investment opportunities. The Bank monitors its financial position to maintain ready access to available fundsin order to meet normal transaction requirements, take advantage of appropriate investment opportunities, and manage unforeseen liquidity demands.these objectives.
The Bank generally manages operational, contingent, and refinancing risks using a portfolio of cash and short-term investments and access to the debt capital markets. In addition, the Bank maintains alternate sources of funds, detailed in its contingent liquidityfunding plan, which also includes an explanation of how sources of funds may be allocated under stressed market conditions, such as short-term operational disruptions at the Bank or the Office of Finance or short-term disruptions in the debt capital markets. The Bank maintains cash deposits, short-term and high-quality money market investments, and government securities in amounts to satisfy these requirements and objectives.
The Bank has a regulatory contingent liquidity requirement to maintain at least 5 business days of liquidity to enable it to meet its obligations without issuance of new consolidated obligations. In addition, the Finance Agency has established base case liquidity guidelines, which may be amended from time to time, that each FHLBank maintain sufficient liquidity at least equal to its anticipated cash outflows, assuming no new consolidated obligation issuance, renewal of all maturing advances, a specified percentage drawdown on letters of credit balances, and certain U.S. Treasury investments as a source of funds. The Finance Agency’s guidance provides that base case liquidity should generally be maintained for 10 to 30 days. The Bank actively monitors and manages refinancing risk. Finance AgencyAgency’s guidance specifies tolerance levels related to the size of each FHLBank’s funding gaps to measure refinancing risk as the difference between assets and liabilities that are scheduled to mature during a specified period, expressed as a percentage of total assets. The guidance limits three-month and one-year funding gaps generally between the range of –10% to –20% and –25% to –35%, respectively. Funding gaps are measured at monthend, using the average ratio for the three most recent month ends. The Bank is also required to perform an annual liquidity stress test and report the results to the Finance Agency.
In addition to the Finance Agency’s guidelines on contingentThe Bank’s liquidity the Bank models its cash commitments and expected cash flows on a daily basis to determine its projected liquidity position. Ifmanagement plans also describe meeting obligations in a market or operational disruption occurredscenario that preventedmay prevent the issuance of new consolidated obligations the Bank could meet its obligations by:by, for example, (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
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borrowing on a short-term unsecured basis from other financial institutions (Federal(federal funds purchased) or other FHLBanks (inter-FHLBank borrowings).
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, and if necessary, (iv) allowing advances to mature without renewal.
As of September 30, 2023,March 31, 2024, and December 31, 2022,2023, 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 10 days, in accordance with the Finance AgencyAgency’s guidance. The Bank met all expected and unexpected member demand using its liquidity in a safe and sound manner. In addition, the Bank’s funding gap positions as of September 30, 2023,March 31, 2024, and December 31, 2022,2023, were within the tolerance levels provided by the Finance AgencyAgency’s guidance. At September 30, 2023,March 31, 2024, the Bank had $0.2$2.4 billion in commitments to issue consolidated obligations. The Bank had committedno commitments to the issuance of $2.7 billion inissue consolidated obligations at December 31, 2022.2023.
For more information, see “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Liquidity and Capital Resources – Liquidity” and “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Liquidity Risk” in the Bank’s 20222023 Form 10-K.
In addition, in the ordinary course of business, the Bank engages in financial transactions that, in accordance with U.S. GAAP,accounting principles generally accepted in the United States of America (U.S. GAAP), are not recorded on the Bank’s Statements of Condition or may be recorded on the Bank’s Statements of Condition in amounts that are different from the full contract or notional amount of the transactions. For example, the Bank routinely enters into commitments to extend advances and issues standby letters of credit. These commitments and standby letters of credit may represent future cash requirements of the Bank, although the standby letters of credit usually expire without being drawn upon. Standby letters of credit are subject to the same underwriting and collateral requirements as advances made by the Bank. At September 30, 2023,March 31, 2024, the Bank had no$7 million in advance commitments and $18.3$18.9 billion in standby letters of credit outstanding. At December 31, 2022,2023, the Bank had no advance commitments and $22.6$19.4 billion in standby letters of credit outstanding.
For additional information, see “Item 8. Financial Statements and Supplementary Data – Note 1612 – Commitments and Contingencies.”
Capital
On July 29, 2022, the Bank’s board of directors approved proposed amendments to the Bank’s capital plan, remain subjectwhich were submitted to review and approval by the Finance Agency. In connection with the Finance Agency’s review, the proposed amendments are subject to change and there can be no assurance that any amendments will be adopted. If the amendments are approved by the Finance Agency as proposed, a revised plan will become effective at a future datefor approval in August 2022. On April 11, 2024, the Bank withdrew the application it submitted to be determined by the Bank. Because these proposed amendments were still under review at the Finance Agency in April 2023,August of 2022 that requested approval of the Bank used the existing membership stock calculation methodology based on membership asset value as outlined inproposed amendments to its capital plan. In March 2024, the Bank’s Capital Plan.board of directors approved changes to the Bank's capital plan which would primarily provide for the option to establish two subclasses of stock for the potential purpose of enabling the declaration of different dividend rates on Membership and Activity stock. Such a change would require further action from the board of directors. This plan was submitted to the Finance Agency for approval in April 2024.
The Bank’s capital requirements and proposed amendments are discussed in more detail in “Item 1. Financial Statements – Note 9 – Capital” in this report, and “Item 7. – Management’s Discussion and Analysis of Financial Condition and Results of Operations – Liquidity and Capital Resources – Capital” and
“Item 7. – Management’s Discussion and Analysis of Financial Condition and Results of Operations – Liquidity and Capital Resources – Capital” and “Item 8. Financial Statements and Supplementary Data – Note 11 – Capital” in the Bank’s 20222023 Form 10-K.

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Risk Management
The Bank has an integrated corporate governance and internal control framework designed to support effective management of the Bank’s business activities and the risks inherent in these activities. As part of this framework, the Bank’s board of directors has adopted a Risk Governance Policy that outlines the key roles and responsibilities of the board of directors and management and sets forth how the Bank is organized to achieve its risk management objectives, including the implementation of the Bank’s strategic objectives, risk management strategies, corporate governance and corporate governance.standards of conduct. The policy also 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. For more information, see “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management” in the Bank’s 20222023 Form 10-K.
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Advances. The Bank manages the credit risk of advances and other credit products by setting the credit and collateral terms available to individual members and housing associates based on their creditworthiness and on the quality and value of the assets they pledge as collateral. Pursuant to the Bank’s lending agreements with its borrowers, the Bank limits extensions of credit to individual borrowers to a percentage of the market value or unpaid principal balance of the borrower’s pledged collateral, known as the borrowing capacity, which the Bank can change from time to time. The borrowing capacity percentage varies according to several factors, including the charter type of the institution, the collateral type, the value assigned to the collateral, the results of the Bank’s collateral field review of the borrower’s collateral, the pledging method used for loan collateral (specific identification or blanket lien), the amount of loan data provided (detailed or summary reporting), the data reporting frequency (monthly or quarterly), the borrower’s financial strength and condition, and any institution-specific collateral risks. Under the terms of the Bank’s lending agreements, the aggregate borrowing capacity of a borrower’s pledged eligible collateral must meet or exceed the total amount of the borrower’s outstanding advances, other extensions of credit, and certain other borrower obligations and liabilities.
For more information on the Bank’s management of credit risk on its advances, see “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Credit Risk – Advances” in the Bank’s 20222023 Form 10-K.
The Bank has a high concentration of advances and capital stock with certain institutions and their affiliates. AdvancesThe percentage of the Bank’s advances outstanding to the Bank’sits top 10 borrowers and their affiliates decreased by $16.9increased to 73%, or $41.4 billion, at March 31, 2024, compared to $47.071%, or $43.8 billion, or 73% of total advances outstanding at September 30, 2023, from $63.9 billion, or 71% of total advances outstanding at December 31, 2022. (See “Item 1. Financial Statements – Note 4 - Advances – Concentration Risk” for further information.)2023.
Several of the Bank’s top 10 advance borrowers and their affiliates at yearend 2022 have recently beenwere 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 members is likely to have an adverse impact on the Bank’s advance balances, and, over time, its financial performance.
On March 8, 2023, Silvergate Capital Corporation, the parent company of Silvergate Bank, announced its intent to wind down the operations of and voluntarily liquidate Silvergate Bank, and on June 1, 2023, the Federal Reserve Board announced a consent order against Silvergate Capital Corporation and Silvergate Bank to facilitate that voluntary self-liquidation. At September 30, 2023, Silvergate Bank had no advances outstanding from the Bank, a reduction of $4.3 billion from yearend 2022.
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. As of March 31, 2023, Silicon Valley Bridge2024, nonmembers accounted for $24.6 billion, or 43%, of total advances outstanding, and for the three months ended March 31, 2024, nonmembers accounted for $260 million, or 43%, of the Bank’s interest income from advances. Because these borrowers are nonmembers, when these advances either mature or are prepaid they cannot be replaced by these borrowers, which will adversely affect the Bank’s level of advance balances and total interest income from advances in the future. As a result of the inability of nonmembers to seek new advances, the level of advances and their associated net interest income in the future will be determined by member business, which will be subject to a number of factors including, but not limited to, a member’s ability to generate new business to seek new advances, consolidation within the banking industry, and the economy in general. For further information, see “Item 1. Financial Statements – Note 4 – Advances – Concentration Risk”.
In connection with certain litigation involving the Bank’s PLRMBS, the Bank N.A., had prepaid all outstanding advances to the 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.,long-term funding arrangement in 2017 with First Citizens Bank and Trust Company. Silicon Valley Bank is no longer a member, ofunder which the member agreed to obtain or maintain certain advances from the Bank. During the quarter ended March 31, 2024, the Bank terminated the long-term funding arrangement, and in accordance with its terms, recognized $30 million of other income.
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On May 1, 2023, the California DFPI closed First Republic Bank and appointed the FDIC as receiver, and the FDIC and JPMorgan, a nonmember, entered into a purchase and assumption agreement for all the deposits and substantially all of the assets of First Republic Bank, including $28.1 billion in advances outstanding from the Bank. At September 30, 2023, JPMorgan had $26.4 billion of advances outstanding from the Bank, assumed from First Republic Bank, that represented approximately 41% of the Bank's total advances outstanding. At December 31, 2022, First Republic Bank had $14.0 billion of advances outstanding from the Bank, that represented approximately 16% of the Bank’s total advances outstanding. Additionally, at September 30, 2023, JPMorgan had $179 million in letters of credit outstanding from the Bank, assumed from First Republic Bank. At December 31, 2022, First Republic Bank had $670 million in letters of credit outstanding. Upon assumption of the First Republic Bank advances outstanding by JPMorgan, the Bank transferred $759 million of capital stock of the Bank, held by First Republic Bank, to JPMorgan and reclassified that capital stock as mandatorily redeemable as a liability in the Bank’s Statements of Condition. At September 30, 2023, JPMorgan held $713 million of the Bank’s capital stock. JPMorgan was the Bank’s largest borrower and shareholder as of September 30, 2023.
The Bank has a significant long-term funding arrangement with a borrower that had advances outstanding as of September 30, 2023, and December 31, 2022, and the borrower may further contribute to the level of outstanding advances in the future.
The following tables present a summary of the status of the credit outstanding and overall collateral borrowing capacity of the Bank’s member and nonmember borrowers as of September 30, 2023,March 31, 2024, and December 31, 2022.2023.
Member and Nonmember Credit Outstanding and Collateral Borrowing Capacity
by Credit Quality Rating
Credit Outstanding and Collateral Borrowing Capacity by Credit Quality RatingCredit Outstanding and Collateral Borrowing Capacity by Credit Quality Rating
September 30, 2023
March 31, 2024
March 31, 2024
March 31, 2024




All Members and
Nonmembers
Members and Nonmembers with Credit OutstandingAll BorrowersBorrowers with Credit Outstanding
(Dollars in millions)(Dollars in millions)  
Collateral Borrowing Capacity(3)
(Dollars in millions)  
Collateral Borrowing Capacity(3)
Member or Nonmember
Credit Quality Rating(1)
NumberNumber
Credit
Outstanding(2)
TotalUsed
Borrower Credit Quality Rating(1)
Borrower Credit Quality Rating(1)
NumberNumber
Credit
Outstanding(2)
TotalUsed
1-31-3245 159 $68,512 $178,505 38 %1-3230 140 140 $$61,516 $$161,573 38 38 %
4-64-675 46 14,219 48,824 29 
7-107-1051 192 27 
SubtotalSubtotal329 208 82,782 227,521 36 
Community development financial institutions (CDFIs)111 166 67 
Community development financial institutions (CDFIs):
B
B
B
C
D
Subtotal
Subtotal
Subtotal
Housing associatesHousing associates— — — — 
TotalTotal339 214 $82,893 $227,687 36 %Total344 209 209 $$76,389 $$217,359 35 35 %
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December 31, 2022
December 31, 2023
All Members and
Nonmembers
Members and Nonmembers with Credit OutstandingAll BorrowersBorrowers with Credit Outstanding
(Dollars in millions)(Dollars in millions)  
Collateral Borrowing Capacity(3)
(Dollars in millions)  
Collateral Borrowing Capacity(3)
Member or Nonmember
Credit Quality Rating(1)
Number
Credit
Outstanding(2)
TotalUsed
Borrower Credit Quality Rating(1)
Borrower Credit Quality Rating(1)
Number
Credit
Outstanding(2)
TotalUsed
1-31-3257 172 $98,702 $323,212 31 %1-3222 143 143 $$61,418 $$164,916 37 37 %
4-64-665 33 13,891 31,536 44 
7-107-1051 16 
SubtotalSubtotal326 208 112,601 354,799 32 
CDFIs100 151 66 
CDFIs:
B
B
B
C
D
Subtotal
Subtotal
Subtotal
Housing associatesHousing associates95 102 93 
TotalTotal335 215 $112,796 $355,052 32 %Total344 218 218 $$81,168 $$223,070 36 36 %
(1)A description of the Bank’s credit quality rating system is included in “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations - Credit Risk” in the Bank’s 20222023 Form 10-K.
(2)Includes advances, letters of credit, the market value of swaps, estimated prepayment fees for certain borrowers, and the credit enhancement obligation on MPF loans.
(3)Collateral borrowing capacity does not represent any commitment to lend on the part of the Bank.
Member and Nonmember Credit Outstanding and Collateral Borrowing Capacity
by Unused Borrowing Capacity
September 30, 2023
(Dollars in millions)
Unused Borrowing Capacity
Number of Members and Nonmembers with
Credit Outstanding
Credit
Outstanding(1)
Collateral
Borrowing
Capacity(2)
0% – 10%$27,265 $27,556 
11% – 25%2,566 2,947 
26% – 50%26 15,512 27,060 
More than 50%175 37,550 170,124 
Total214 $82,893 $227,687 
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December 31, 2022
Borrower Credit Outstanding and Collateral Borrowing Capacity
by Unused Borrowing Capacity
Borrower Credit Outstanding and Collateral Borrowing Capacity
by Unused Borrowing Capacity
March 31, 2024
March 31, 2024
March 31, 2024
(Dollars in millions)
Unused Borrowing Capacity
(Dollars in millions)
Unused Borrowing Capacity
(Dollars in millions)
Unused Borrowing Capacity
(Dollars in millions)
Unused Borrowing Capacity
Number of Members and Nonmembers with
Credit Outstanding
Credit
Outstanding(1)
Collateral
Borrowing
Capacity(2)
Number of Borrowers with Credit Outstanding
Credit
Outstanding(1)
Collateral
Borrowing
Capacity(2)
0% – 10%0% – 10%11 $6,637 $7,319 
11% – 25%11% – 25%11 5,644 7,380 
26% – 50%26% – 50%22 15,509 24,465 
More than 50%More than 50%171 85,006 315,888 
TotalTotal215 $112,796 $355,052 
December 31, 2023
(Dollars in millions)
Unused Borrowing Capacity
Number of Borrowers with Credit Outstanding
Credit
Outstanding(1)
Collateral
Borrowing
Capacity(2)
0% – 10%$28,055 $29,699 
11% – 25%3,565 4,203 
26% – 50%24 14,557 25,969 
More than 50%180 34,991 163,199 
Total218 $81,168 $223,070 
(1)Includes advances, letters of credit, the market value of swaps, estimated prepayment fees for certain borrowers, and the credit enhancement obligation on MPF loans.
(2)Collateral borrowing capacity does not represent any commitment to lend on the part of the Bank.
Based on the collateral pledged as security for advances, the Bank’s credit analysesand 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 March 31, 2024. 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 securities collateral pledged by all members and nonmembers with credit outstanding largely consists of agency pools and collateralized mortgage obligations, agency debt, and U.S. Treasury securities.
Most borrowersinstitutions may choose to pledge loan collateral by specific identification or under a blanket lien. Insurance companies, CDFIs, and housing associates are required to pledge loan collateral by specific identification with
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monthly reporting. All other borrowers pledging by specific identification must provide a detailed listing of all the loans pledged to the Bank on a monthly basis.
The Bank may require certain borrowersde novo institutions (chartered within the last three years), insurance companies, CDFIs and housing associates to deliver pledged loan collateral to the Bank if the borrower is a de novo institution (chartered within the last three years), an insurance company, a CDFI, or a housing associate.Bank. Other considerations for delivery of pledged collateral may include the borrower’sinstitution’s creditworthiness, satisfactory maintenance of its collateral, and the status of the Bank’s priority of security interest.
As of September 30, 2023,March 31, 2024, of the loan collateral pledged to the Bank, 26%24% was pledged by 21 institutions by specific identification, 41%42% was pledged by 112114 institutions under a blanket lien with detailed reporting, and 33%34% was pledged by 139143 institutions under a blanket lien with summary reporting. For each borrowerinstitution 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 borrowerinstitution and the types of collateral pledged by the borrower.pledged.
As of September 30, 2023,March 31, 2024, 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: 84% for first lien residential mortgage loans, 81% for multifamily mortgage loans, 81% for commercial mortgage loans, and 69% for second lien residential mortgage loans. The maximum borrowing capacity for small business, small agribusiness,
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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 borrowersinstitutions 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 at September 30, 2023,March 31, 2024, and December 31, 2022.2023.
Composition of Loan Collateral Pledged
(In millions)
(In millions)
(In millions)(In millions)September 30, 2023December 31, 2022March 31, 2024December 31, 2023
Loan TypeLoan TypeUnpaid Principal
Balance
Borrowing
Capacity
Unpaid Principal
Balance
Borrowing
Capacity
Loan TypeUnpaid Principal
Balance
Borrowing
Capacity
Unpaid Principal
Balance
Borrowing
Capacity
First lien residential mortgage loansFirst lien residential mortgage loans$167,951 $112,586 $265,972 $180,564 
Second lien residential mortgage loans and home equity lines of creditSecond lien residential mortgage loans and home equity lines of credit13,861 6,484 15,423 7,381 
Multifamily mortgage loansMultifamily mortgage loans51,331 32,041 60,989 36,809 
Commercial mortgage loansCommercial mortgage loans81,391 50,589 92,413 54,341 
Loan participations(1)
Loan participations(1)
1,287 480 871 306 
Small business, small farm, and small agribusiness loansSmall business, small farm, and small agribusiness loans1,579 403 2,180 523 
Other— — — 
TotalTotal$317,400 $202,583 $437,850 $279,924 
Total
Total
(1)The unpaid principal balance for loan participations is 100% of the outstanding loan amount. The borrowing capacity for loan participations is based on the participated amount pledged to the Bank.
The Bank holds a security interest in subprime residential mortgage loans pledged as collateral by members and by nonmembers. Subprime loans are defined as loans with a borrower FICO score of 660less than or lessequal to 660 at origination, or if the original FICO score is not available, as loans with a current borrower FICO score of 660less than or less.equal to 660. At September 30, 2023,March 31, 2024, and December 31, 2022,2023, the unpaid principal balance of these loans totaled $4.5$4.4 billion and $5.2$3.7 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.
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these loans totaled $2.8 billion and $2.1 billion, respectively.

Investments. The Bank has adopted credit policies and exposure limits for investments that promote risk limitation, diversification, and liquidity. These policies determine eligible counterparties and restrict the amounts and terms of the Bank’s investments with any given counterparty according to the Bank’s own capital position as well as the capital and creditworthiness of the counterparty.
For more information on the Bank’s management of credit risk on its investments, see “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Credit Risk – Investments” in the Bank’s 20222023 Form 10-K.
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The following table presents the Bank’s investment credit exposure at September 30, 2023,March 31, 2024, based on the lowest of the long-term credit ratings provided by Moody’s, S&P, or Fitch Ratings (Fitch) ratings.
Investment Credit Exposure
(In millions)
September 30, 2023
Carrying Value
 
Credit Rating(1)
Investment TypeAAAAAABBBBelow Investment GradeUnratedTotal
U.S. obligations – Treasury securities$— $4,044 $— $— $— $— $4,044 
MBS:
Other U.S. obligations – single-family— 55 — — — — 55 
MBS – GSEs:
GSEs – single-family(2)
629 — — 637 
GSEs – multifamily— 12,234 — — — — 12,234 
Total MBS – GSEs12,863 — — 12,871 
PLRMBS— 17 25 49 597 517 1,205 
Total MBS12,935 27 49 599 517 14,131 
Total securities16,979 27 49 599 517 18,175 
Interest-bearing deposits— — 3,777 — — — 3,777 
Securities purchased under agreements to resell(3)
— 1,000 — — — 1,750 2,750 
Federal funds sold(4)
— 1,363 4,095 — — 75 5,533 
Total investments$$19,342 $7,899 $49 $599 $2,342 $30,235 
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Carrying Value
 
Credit Rating(1)
Investment TypeAAAAAABBBBelow Investment GradeUnratedTotal
U.S. obligations – Treasury securities$— $4,534 $— $— $— $— $4,534 
MBS:
Other U.S. obligations – single-family— 44 — — — — 44 
MBS – GSEs:
GSEs – single-family(2)
570 — — 577 
GSEs – multifamily— 13,455 — — — — 13,455 
Total MBS – GSEs14,025 — — 14,032 
PLRMBS16 28 40 563 498 1,146 
Total MBS14,085 30 40 564 498 15,222 
Total securities18,619 30 40 564 498 19,756 
Interest-bearing deposits— — 3,745 — — — 3,745 
Securities purchased under agreements to resell(3)
— — — — — 1,750 1,750 
Federal funds sold(4)
— 1,950 2,695 — — — 4,645 
Total investments$$20,569 $6,470 $40 $564 $2,248 $29,896 
(1)Credit ratings grades of BB and lower are considered below investment grade.
(2)The Bank has one security guaranteed by Fannie Mae but rated BBbelow investment grade at September 30, 2023, by S&PMarch 31, 2024, because of extraordinary expenses incurred during bankruptcy of the security's sponsor.sponsor in 2008.
(3)Unrated counterparties for these investments were broker-dealers, qualifying for limited trading programs authorized by the Bank.
(4)Includes unsecured investment credit exposure to a member.
The following table presents the unsecured credit exposure with counterparties by investment type at September 30, 2023,March 31, 2024, and December 31, 2022.2023.
Unsecured Investment Credit Exposure by Investment Type
Carrying Value(1)
Carrying Value(1)
(In millions)(In millions)September 30, 2023December 31, 2022
Interest-bearing depositsInterest-bearing deposits$3,777 $3,677 
Interest-bearing deposits
Interest-bearing deposits
Federal funds sold
Federal funds sold
Federal funds soldFederal funds sold5,533 4,719 
TotalTotal$9,310 $8,396 
Total
Total
(1)Excludes unsecured investment credit exposure to U.S. government agencies and instrumentalities, government-sponsored enterprises, and supranational entities and does not include related accrued interest as of September 30, 2023,March 31, 2024, and December 31, 2022.2023.
The following table presents the credit ratings of the unsecured investment credit exposures presented by the domicile of the counterparty or the domicile of the counterparty’s parent for U.S. branches and agency offices of foreign commercial banks, based on the lowest of the credit ratings provided by Moody’s, S&P, or Fitch ratings. This table does not reflect the foreign sovereign government’s credit rating. At September 30, 2023, 59%March 31, 2024, 55% of the Bank’s total unsecured investments were to U.S. branches and agency offices of foreign commercial banks. At September 30, 2023,March 31, 2024, all of the unsecured investments held by the Bank had overnight maturities.
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Ratings of Unsecured Investment Credit Exposure by Domicile of Counterparty
(In millions)
September 30, 2023
Carrying Value(1)
Credit Rating(2)
Carrying Value(1)
Carrying Value(1)
Carrying Value(1)
(In millions)
Domicile of Counterparty
Domicile of Counterparty
Domicile of CounterpartyDomicile of CounterpartyAAA
Unrated (3)
TotalAAATotal
DomesticDomestic$— $3,427 $75 $3,502 
U.S. subsidiaries of foreign commercial banksU.S. subsidiaries of foreign commercial banks— 350 —   350 
Total domestic and U.S. subsidiaries of foreign commercial banksTotal domestic and U.S. subsidiaries of foreign commercial banks— 3,777 75 3,852 
U.S. branches and agency offices of foreign commercial banks:U.S. branches and agency offices of foreign commercial banks:
AustraliaAustralia— 995 — 995 
Australia
Australia
Canada
Canada
CanadaCanada— 100 — 100 
FinlandFinland863 — — 863 
FranceFrance— 150 — 150 
GermanyGermany— 700 — 700 
NetherlandsNetherlands— 1,250 — 1,250 
Norway500 — — 500 
Netherlands
Netherlands
United Kingdom— 900 — 900 
Total U.S. branches and agency offices of foreign commercial banks
Total U.S. branches and agency offices of foreign commercial banks
Total U.S. branches and agency offices of foreign commercial banksTotal U.S. branches and agency offices of foreign commercial banks1,363 4,095 — 5,458 
Total unsecured credit exposureTotal unsecured credit exposure$1,363 $7,872 $75 $9,310 
(1)Excludes unsecured investment credit exposure to U.S. government agencies and instrumentalities, government-sponsored enterprises, and supranational entities and does not include related accrued interest as of September 30, 2023.March 31, 2024.
(2)Does not reflect changes in ratings, outlook, or watch status occurring after September 30, 2023.March 31, 2024. These ratings represent the lowest rating available for each unsecured investment owned by the Bank, based on the ratings provided by Fitch, Moody’s, or S&P. The Bank’s internal rating may differ from this rating.
(3)Includes unsecured investment credit exposure to a member.
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 or purchased from members, former members, or their affiliates. The Bank has investment credit limits and terms for these investments that do not differ for members and nonmembers. Regulatory policy limits total MBS investments, to three times the Bank’s regulatory capital at the time of purchase. At September 30, 2023,March 31, 2024, the Bank’s MBS portfolio was 202%213% of Bank regulatory capital (as determined in accordance with regulations governing the operations of the FHLBanks).
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.
At September 30, 2023, PLRMBS representing 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.
As of September 30, 2023,March 31, 2024, the Bank’s investment in MBS had gross unrealized losses totaling $134$70 million, $34$33 million of which were related to PLRMBS. These gross unrealized losses related to PLRMBS were primarily dueattributable to illiquidity in the MBS market and market expectations of the credit performance of loan collateral underlying these securities, which caused these assets to be valued at discounts to their amortized cost.
For its agency MBS, the Bank expects to recover the entire amortized cost basis of these securities because the Bank determined that the strength of the issuers’ guarantees through direct obligations or support from the U.S.
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government is sufficient to protect the Bank from losses. As a result, the Bank determined that, as of September 30, 2023,March 31, 2024, 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 PLRMBS in future 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.
Derivative Counterparties. The Bank has adopted credit policies and exposure limits for uncleared derivatives counterparty credit exposure. Interest rate exchange agreements may be either uncleared or cleared at a clearing house.
Uncleared Derivatives – The Bank’s uncleared derivatives activity is subject to uncleared derivatives regulatory requirements mandating the daily exchange of variation margin and in initial margin if exposure to a counterparty exceeds
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certain cases, initial margin.specified thresholds. The Bank selects only highly rated derivative dealers and major banks (derivative dealer counterparties) that meet the Bank’s eligibility criteria to act as counterparties for its uncleared derivative activities. In addition, for all uncleared derivative transactions, the Bank has entered into master netting agreements and credit support agreements with all its derivative dealer counterparties that provide for delivery of margin 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).
Additional information related to uncleared margin rules for uncleared derivative transactions are included in “Item 8. Financial Statements and Supplementary Data - Note 14 -13 – Derivatives and Hedging Activities” in the Bank’s 20222023 Form 10-K.
The Bank is subject to the risk of potential nonperformance by its counterparty in a derivative transaction. A counterparty must deliver or return variation margin to the Bank if the total unsecured exposure to that counterparty exceeds the minimum transfer amount. In addition, if an initial margin threshold is exceeded, the Bank will post and collect initial margin to further protect against potential counterparty nonperformance.

As a result of these risk mitigation initiatives, the Bank does not anticipate any credit losses on its uncleared derivative transactions with counterparties as of September 30, 2023.March 31, 2024.
Cleared Derivatives – In a cleared derivatives transaction, the Bank is subject to nonperformance by the clearing house and its futures commission merchant or clearing agent. The requirement that the Bank post initial margin and settle variation margin through a clearing agent to the clearing house exposes the Bank to institutional credit risk if its futures commission merchant, or clearing agent, fails to meet its obligations. The use of a clearing house, or central counterparty, lowers overall credit risk exposure because it employs standard valuation and initial and variation margin processes and is specifically designed to withstand remote but plausible futures commission merchant default credit events. Variation margin is settled for changes in the value of the portfolio, and initial margin is posted for changes in risk profile of the portfolio. The Bank does not anticipate any credit losses on its cleared derivatives as of September 30, 2023.March 31, 2024.
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.
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The following tables present the Bank’s credit exposure to its derivative dealer counterparties at the dates indicated.
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March 31, 2024
(In millions)
Counterparty Credit Rating(1)
Notional AmountNet Fair Value of Derivatives Before CollateralCash Collateral Pledged
to/ (from) Counterparty
Non-cash Collateral Pledged
to/ (from) Counterparty
Net Credit
Exposure to Counterparties
Asset positions with credit exposure:
Uncleared derivatives
AA$81 $14 $(14)$— $— 
A736 29 (29)— — 
Cleared derivatives(2)
72,243 12 638 655 
Liability positions with credit exposure:
Uncleared derivatives
BBB8,020 (189)192 — 
Total derivative positions with credit exposure to nonmember counterparties81,080 $(141)$161 $638 $658 
Derivative positions without credit exposure20,887 
Total notional$101,967 
Credit Exposure to Derivative Dealer Counterparties
(In millions)
September 30, 2023
Counterparty Credit Rating(1)
Notional AmountNet Fair Value of Derivatives Before CollateralCash Collateral Pledged
to/ (from) Counterparty
Noncash Collateral Pledged
to/ (from) Counterparty
Net Credit
Exposure to Counterparties
Asset positions with credit exposure:
Uncleared derivatives
A$3,921 $65 $(63)$— $
Liability positions with credit exposure:
Uncleared derivatives
A8,419 (201)202 — 
BBB9,791 (242)245 — 
Cleared derivatives(2)
81,853 (22)16 799 793 
Total derivative positions with credit exposure to nonmember counterparties103,984 $(400)$400 $799 $799 
Derivative positions without credit exposure13,027 
Total notional$117,011 
December 31, 2022
December 31, 2023
(In millions)
Counterparty Credit Rating(1)
(In millions)
Counterparty Credit Rating(1)
(In millions)
Counterparty Credit Rating(1)
(In millions)
Counterparty Credit Rating(1)
Notional AmountNet Fair Value of Derivatives Before CollateralCash Collateral Pledged
to/ (from) Counterparty
Non-cash Collateral Pledged
to/ (from) Counterparty
Net Credit
Exposure to Counterparties
Notional AmountNet Fair Value of Derivatives Before CollateralCash Collateral Pledged
to/ (from) Counterparty
Non-cash Collateral Pledged
to/ (from) Counterparty
Net Credit
Exposure to Counterparties
Asset positions with credit exposure:Asset positions with credit exposure:
Uncleared derivatives
Uncleared derivatives
Uncleared derivatives
AA
AA
AA
A
Liability positions with credit exposure:
Liability positions with credit exposure:
Liability positions with credit exposure:
Uncleared derivatives
Uncleared derivatives
Uncleared derivativesUncleared derivatives
AA$6,115 $38 $(35)$— $
Cleared derivatives(2)
89,148 14 435 456 
Liability positions with credit exposure:
Uncleared derivatives
A
AA11,246 (356)358 — 
BBB
Cleared derivatives(2)
Total derivative positions with credit exposure to nonmember counterpartiesTotal derivative positions with credit exposure to nonmember counterparties106,509 $(311)$337 $435 $461 
Derivative positions without credit exposureDerivative positions without credit exposure10,284 
Derivative positions without credit exposure
Derivative positions without credit exposure
Total notionalTotal notional$116,793 
Total notional
Total notional
(1)The credit ratings grades used by the Bank are based on the lower of Moody's or S&P ratings.
(2)Represents derivative transactions cleared with LCH Ltd, the Bank’s clearing house, which was rated AA- with a stable outlook by S&P at September 30, 2023,March 31, 2024, and December 31, 2022.2023.
The Bank primarily executes overnight index swap derivatives based on SOFR to manage interest rate 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 September 30, 2023, and December 31, 2022.
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Notional Amount of Interest Rate Swaps by Interest Rate Index
(In millions)September 30, 2023December 31, 2022
Interest Rate IndexPay LegReceive LegPay LegReceive Leg
Fixed(1)
$65,487 $51,524 $58,910 $57,883 
LIBOR— — 55 504 
SOFR51,514 64,710 57,577 57,523 
Overnight Index Swap – Effective Federal Funds Rate10 777 251 883 
Total notional amount$117,011 $117,011 $116,793 $116,793 
(1) Includes derivatives indexed to LIBOR that had their last reset dates prior to June 30, 2023.
Critical Accounting Policies and Estimates
The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America (U.S. GAAP)U.S. GAAP requires management to make a number of judgments, estimates, and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, if applicable, and the reported amounts of income, expenses, gains, and losses during the reporting period. Changes in these judgments, estimates, and assumptions could potentially affect the Bank’s financial position and results of operations significantly. Although the Bank believes these judgments, estimates, and assumptions to be reasonably accurate, actual results may differ.
In the Bank’s 20222023 Form 10-K, the following accounting policies and estimates were identified as critical because they require the Bank to make subjective or complex judgments about matters that are inherently uncertain and because of the likelihood that materially different amounts would be reported under different conditions or using
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different assumptions. These policies and estimates are: accounting for derivatives; and estimating fair values of investments classified as trading and AFS, derivatives and associated hedged items carried at fair value in accordance with the accounting for derivative instruments and associated hedging activities, and financial instruments carried at fair value under the fair value option; and estimating the prepayment speeds on MBS and mortgage loans for the accounting of amortization of premiums and accretion of discounts and credit losses previously recorded before the adoption of accounting guidance related to the measurement of credit losses on MBS and mortgage loans.option.
There have been no significant changes in the judgments and assumptions made during the first ninethree months of 20232024 in applying the Bank’s critical accounting policies. These policies and the judgments, estimates, and assumptions are also described in “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Critical Accounting Policies and Estimates” and “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 20222023 Form 10-K and in “Item 8. Financial Statements and Supplementary Data – Note 1211 – Fair Value.”

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

RecentLegislative and Regulatory Developments
Allocation of Net Income to Fund Discretionary Community Investment Programs. Each year, the Bank is required by the FHLBank Act to dedicate a minimum of 10% of the previous year’s net income to its Affordable Housing Program (AHP). In 2023, the board of directors of the Bank voted to voluntarily allocate up to an additional 5% (15% total) of its annual net income to funding economic development and homeownership grant programs and special purpose credit programs that enrich people’s lives and revitalize communities. In 2023, the Bank announced funding commitments of $10 million to the newly-created Middle-Income Downpayment assistance matching grant pilot program, an additional $2 million to the Empowering Black Homeownership matching grant program, and an increase of $2.5 million to its annual Access to Housing and Economic Assistance
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for Development (AHEAD) economic development grant program, which will enable AHEAD to award a total of $4 million in grants for the 2023 program. The Bank continues to evaluate funding other programs meeting community needs for affordable housing, funding for businesses, and community development.
Annual Designation of Member Director and Independent Director Positions. On June 5, 2023, the Finance Agency designated one member director position for Arizona, six for California, and one for Nevada, effective January 1, 2024, the same allocation of positions as for 2023. In addition, the Finance Agency designated seven independent director positions for the Bank for 2024, the same number of positions as for 2023. One of the California member director positions, the Nevada member director position, and two of the independent director positions (neither of which is designated as a public interest director position), all with current terms ending on December 31, 2023, will be filled through an election of the members located in California (for the California member director position), an election of the members located in Nevada (for the Nevada member director position) and an election of all members of the Bank (for the two independent director positions). The elections will be held in the fourth quarter of 2023. The California member director position, the Nevada member director position, and the two independent director positions will each have a four-year term that begins on January 1, 2024.
Finance Agency’s Review and Analysis of the Federal Home Loan Bank SystemSystem. On November 7, 2023, the Finance Agency issued a written report titled “FHLBank System at 100: Focusing on the Future.Future, Beginning in the fall of 2022, the Finance Agency undertook a presenting its review and analysis of the FHLBank System throughand the actions and recommendations that it plans to pursue in service of its vision for the future of the FHLBank System. The report focused on four broad themes: (1) the mission of the FHLBank System; (2) the FHLBank System as a seriesstable and reliable source of public listening sessions, regional roundtable discussions, and receipt of comments from stakeholders. This review covered such areas as the FHLBanks’ mission and purpose in a changing marketplace; their organization, operational efficiency, and effectiveness; their role in promoting affordable, sustainable, equitable, and resilientliquidity; (3) housing and community investment; their role in addressing the unique needs of ruraldevelopment; and financially vulnerable communities; member products, services, collateral requirements;(4) FHLBank System operational efficiency, structure, and membership eligibility and requirements.governance. The Finance Agency expects to continue a multi-year, collaborative effort with the FHLBanks, their member institutions, and other stakeholders to address the recommended actions in the report and has stated that its review and analysis will culminate in a writtenit can implement some of the recommendations from the report expected to (i) summarize the feedback received; (ii) identify actionsthrough ongoing supervision, guidance, or rulemaking, as well as through statutory changes by proposing specific requests for Congressional action.
In April 2024, the Finance Agency plansprovided an update on its plan to take;implement the report’s recommendations and (iii) outline any recommendationsannounced key priorities for consideration by Congress. To2024. Among others, these priorities include (1) clarifying the extentFHLBank System mission; (2) aligning eligibility requirements for different types of FHLBank members; (3) streamlining requirements related to the Affordable Housing Program; and (4) strengthening FHLBank evaluation of member creditworthiness. The Finance Agency stated that it would maintain transparency and continue robust stakeholder engagement during the implementation process, including seeking input on FHLBank mission achievement and members’ connection to housing and community development.
The Bank continues to monitor the Finance Agency’s efforts to implement the recommendations from the report, and we are not able to predict what actions will ultimately result, the timing or extent of any actions or recommendations result in changes, to supervisory expectations, stakeholder perceptions or the Bank’s business model that impact the Bank’s ability to executeultimate effect on the Bank’s mission of providing liquidityBank or the FHLBank System in the future. We plan to continue to engage with the Bank’sFinance Agency and other stakeholders in an effort to ensure that the FHLBank System remains well positioned to serve our members and support for affordable housing and community development, the Bank’s business, results of operations, reputation, and the value of membership in the Bank may be negatively impacted.their communities. For a further discussion of the report and related risks, see, “Item 1A.respectively, Part II. Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Legislative and Regulatory Developments and Part I. Item 1A – Risk Factors”Factors of the Bank’s 2023 Form 10-K.
Finance Agency Final Rule on Fair Lending, Fair Housing, and Equitable Housing Finance Plans. On April 29, 2024, the Finance Agency released its final rule that specifies requirements related to the FHLBanks’ compliance with fair housing and fair lending laws and related regulations, including the Fair Housing Act and the Equal Credit Opportunity Act, and prohibitions on unfair or deceptive acts or practices under the Federal Trade Commission Act. The final rule (i) addresses the enforcement authority of the Finance Agency; (ii) articulates standards related to the board of directors’ oversight of fair housing, fair lending, and principles of equitable housing; and (iii) requires each FHLBank to annually report actions it voluntarily takes to address barriers to sustainable housing opportunities for underserved communities (“Equitable Housing Report Requirements”). The final rule will become effective 60 days after the date it is published in the Bank’s 2022 Form 10-K.Federal Register, except that the Equitable Housing Report Requirements will
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become effective on February 15, 2026. The Bank is continuing its review of the final rule and evaluating the impact it may have on the Bank and its operations.

SEC Final Rule on the Enhancement and Standardization of Climate-Related Disclosures for Investors
. On March 6, 2024, the SEC adopted a final rule that will require registrants to disclose certain climate-related information in their annual reports (Final Rules). Following several petitions seeking judicial review of the Final Rules, on April 4, 2024, the SEC has determined to exercise its discretion to stay the Final Rules pending the completion of judicial review to avoid regulatory uncertainty for registrants subject to the Final Rules’ requirements during the pendency of the challenges to their validity. As issued, the Final Rules will require disclosure of, among other things: material climate-related risks; activities to mitigate or adapt to such risks; information about a registrant’s board of directors’ oversight of climate-related risks and management’s role in managing such risks; and information on any climate-related targets or goals that are material to the registrant’s business, results of operations, or financial condition. In addition, certain disclosures related to severe weather events and other natural conditions will be required in a registrant’s audited financial statements. The Bank will be subject to the requirements of the Final Rules applicable to the Bank beginning for its annual report for fiscal year 2027. The Bank continues to review the Final Rules and their impact on the Bank’s financial condition and results of operations, including the possible effect on costs and complexities associated with its SEC reporting.
ITEM 3.    QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Market Risk

Market risk is defined as the risk to the Bank’s market value of capital and future earnings (excluding the impact of any cumulative net gains or losses on derivatives and associated hedged items and on financial instruments carried at fair value) as a result of movements in market interest rates, interest rate spreads, interest rate volatility, and other market factors (market rate factors). This profile reflects the Bank’s objective of maintaining a conservative asset-liability mix and its commitment to providing value to its members through products and dividends without subjecting their investments in Bank capital stock to significant market risk.
The Bank’s Risk 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 net interest income as a percent of the capital sensitivity analyses. The Risk Appetite Framework approved by the Bank’s board of directors establishes market risk limits and market risk measurement standards at the total Bank level as well as at the line of businessproduct level. Additional guidelines approved by the Bank’s Enterprise Risk Committee apply to the Bank’s two lines of business, the advances-related businessproducts and the mortgage-related business.products. These guidelines provide limits that are monitoredmonitored at the line of
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businessproduct level and are consistent with the Bank’s Risk Appetite Framework. Market risk is managed for each business segment on a daily basis, as discussed below in “Total Bank Market Risk.”product regularly. Compliance with Bank limits and guidelines is reviewed by the Bank’s board of directors on a regular basis, along with a corrective action plan if applicable.
Total Bank Market Risk
Market Value of Capital Sensitivity – The Bank uses marketmarket value of capital sensitivity (the interest rate sensitivity of the net fair value of all assets, liabilities, and interest rate exchange agreements) as an important measure of the Bank’s exposure to changes in interest rates.
The Bank’s market value of capital sensitivity 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) is no worse than a 3.0% change in the estimated market value of capital. In addition, the 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 is no worse than 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
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because of prevailing low interest rates, the sensitivity metric is not reported. The Bank’s measured market value of capital sensitivity was within the limits as of September 30, 2023.March 31, 2024.
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 ratevaluation 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 as of September 30, 2023,March 31, 2024, and December 31, 2022.2023.
Market Value of Capital Sensitivity
Estimated Percentage Change in Market Value of Bank Capital
for Various Changes in Interest Rates
Interest Rate Scenario(1)
September 30, 2023December 31, 2022
+200 basis-point change above current rates–2.8%–2.8%
+100 basis-point change above current rates–1.4–1.4
–100 basis-point change below current rates(2)
+1.3+1.3
–200 basis-point change below current rates(2)
+2.4+2.3
Market Value of Capital Sensitivity
Estimated Percentage Change in Market Value of Bank Capital
for Various Changes in Interest Rates
Interest Rate Scenario(1)
March 31, 2024December 31, 2023
 +200 basis-point change–2.5%–2.3%
 +100 basis-point change–1.3–1.1
 –100 basis-point change(2)
+1.2+1.0
 –200 basis-point change(2)
+2.2+1.8
(1)Instantaneous change from actual rates at dates indicated.
(2)Interest rates for each maturity are limited to non-negative rates.
The Bank’s estimates of the sensitivity of the market value of capital to changes in interest rates as of September 30, 2023,March 31, 2024, are comparable with the estimates as of December 31, 2022.2023. Compared to yearend 2023, interest rates as of September 30, 2023March 31, 2024, have increased 141decreased 3 basis points for the one-month Treasury bill, increased 6424 basis points for the five-year Treasury note, and increased 7434 basis pointpoints for the 10-year Treasury note.
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The Bank’s Risk Management Policy provides guidelines for the payment of dividends and the repurchase of excess 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 Federalfederal funds effective rate for the applicable quarter (subject to certain conditions), and any excess 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 stock repurchases would be subject to the same limitations and conditions as in (i) above, except that any excess 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 stock (but continue to redeem excess stock as provided in the Bank’s capital plan), limit the acquisition of certain assets, and review the Bank’s risk policies. A decision by the board of directors to declare or not declare any dividend or repurchase any excess 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 227%244% as of September 30, 2023.March 31, 2024.
Net Interest Income as a Percent of Capital – The adjusted net interest income as a percent of capital is a non-GAAP measure used by the Bank to assess the impact of interest rate changes on the Bank’s projected economic
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earnings. The measurement is based on current period economic earnings that exclude the effects of unrealized net gains or losses resulting from the Bank’s derivatives and associated hedged items and from financial instruments carried at fair value, which will generally reverse through changes in future valuations and settlements of contractual interest cash flows over the remaining contractual terms to maturity or by the call or put date of the assets and liabilities held under the fair value option, hedged assets and liabilities, and derivatives. Economic earnings also exclude the interest expense on mandatorily redeemable capital stock.
The Bank’s Risk Appetite Framework incorporates a limit on the adverse sensitivity of projected net interest income as a percent of capital. The Bank’s net interest income on capital sensitivity limit to the potential adverse impact of an instantaneous parallel shift of a plus or minus 200 basis-point change in interest rates from current rates (base case) to no worse than a -210 basis-points change from the base-case projected net interest income on capital. With the indicated interest rate shifts, the net interest income on capital for the 12-month horizon is projected to remain within the limit of -210 basis-points.
Duration Gap – Duration gap is the difference between the estimated durations (market value sensitivity) of assets and liabilities (including the impact of interest rate exchange agreements) andand reflects the extent to which estimated maturity and repricing cash flows for assets and liabilities are matched. The Bank monitors the duration gap analysis at the total Bank level and does not have a risk limit. At March 31, 2024, and December 31, 2023, the Bank’s assets durations exceeded its liabilities durations, as shown in the following table.
Total Bank Duration Gap Analysis
Duration Gap AnalysisDuration Gap Analysis
September 30, 2023December 31, 2022
(Dollars in millions)Amount
(In millions)
Duration Gap(1)
(In months)
Amount
(In millions)
Duration Gap(1)
(In months)
March 31, 2024December 31, 2023
Amount
(In millions)
Amount
(In millions)
Duration Gap(1)
(In months)
Amount
(In millions)
Duration Gap(1)
(In months)
AssetsAssets$95,021 2.0 $121,056 1.8 
LiabilitiesLiabilities88,369 0.8 113,333 0.9 
NetNet$6,652 1.2 $7,723 0.9 
(1)Duration gap values include the impact of interest rate exchange agreements.
The financial performanceBank manages the performance and interest rate risks of the total Bank are managedadvances-related products and mortgage-related products within prescribed guidelines and policy limits.
Advances-Related BusinessProducts – Interest rate risk arises from the advances-related businessproducts primarily through the use of shareholder-contributed capital and retained earnings to fund fixed rate investments of targeted amounts and maturities. In general, advances result in very little net interest rate risk for the Bank because most fixed rate advances with original maturities greater than three months and all advances with embedded options are simultaneously hedged with an interest rate swap or option with terms to offset the advance. The interest rate swap
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or option generally is maintained as a hedge for the life of the advance. These hedged advances effectively create a pool of variable rate assets, which, in combination with the strategy of raising debt swapped to variable rate liabilities, creates an advances portfolio with low net interest rate risk.
Money market investments used for liquidity management generally have maturities of one month or less. In addition, to increase the Bank’s liquidity position, the Bank invests in Treasury securities, generally with terms up to four years. These fixed rate investments are swapped to variable rate investments.
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The interest rate risk in advances-related products is primarily associated with the Bank’s strategy for investing capital. The Bank’s strategy is generally to invest 50% of capital in short-term (maturities of three months or less) and 50% intermediate-term (laddered maturities of up to four years). However, this strategy may be altered from time to time depending on market conditions. The strategy to invest 50% of capital in short-term assets is intended to mitigate the market value of capital risks associated with the potential repurchase or redemption of excess stock. Excess stock usually results from a decline in a borrower’s outstanding advances or by a membership termination. Under the Bank’s capital plan, capital stock, when repurchased or redeemed, is required to be repurchased or redeemed at its par value of $100 per share, subject to certain regulatory and statutory limits. The strategy to invest 50% of capital in short to intermediate maturities is intended to take advantage of the higher earnings available from a generally positively sloped yield curve, when intermediate-term investments generally have higher yields than short-term investments.
The Bank updates the repricing and maturity gaps for actual asset, liability, and derivative transactions that occur in the advances-related products 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. Periodically, the Bank evaluates the projected impact of expected maturities and scheduled repricing of assets, liabilities, and interest rate exchange agreements on the interest rate risk of the advances-related products. 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 products, 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 products.
Mortgage-Related BusinessProducts – The Bank’s mortgage assets include MBS, most of which are classified as HTM or AFS, with a small amount classified as trading, and mortgage loans held for portfolio purchased under the MPF Program. The Bank is exposed to interest rate risk from the mortgage-related businessproducts because the principal cash flows of the mortgage assets and the liabilities that fund them are not exactly matched through time and across all possible interest rate scenarios, given the effect of mortgage prepayments and the existence of interest rate caps on certain adjustable rate MBS.prepayments.
The Bank manages the interest rate risk and market risk of the mortgage-related businessproducts through selected funding and hedging strategies. The total carrying value of MBS and mortgage loans at September 30, 2023,March 31, 2024, was $14.9$16.0 billion, including $14.1$15.2 billion in MBS and $771$743 million in mortgage loans. The total carrying value of MBS and mortgage loans at December 31, 2022,2023, was $11.7$16.1 billion, including $10.9$15.3 billion in MBS and $816$755 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 $14.1$14.8 billion, or 95%93%, of MBS and mortgage loans at September 30, 2023,March 31, 2024, and $10.3$14.9 billion, or 88%92%, of MBS and mortgage loans at December 31, 2022.2023. 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 $771 million,$1.2 billion, or 5%7%, of MBS and mortgage loans, at September 30, 2023,March 31, 2024, and $1.4$1.2 billion, or 12%8%, of MBS and mortgage loans at December 31, 2022.2023.
The estimated market risk of mortgage-related products are managed both at the time an asset is purchased and on an ongoing basis for the total portfolio. At the time of purchase (for all significant mortgage asset acquisitions), the Bank analyzes the estimated earnings sensitivity and estimated market value sensitivity, taking into consideration the estimated mortgage prepayment sensitivity of the mortgage assets and anticipated funding and hedging activities under various interest rate scenarios. The related funding and hedging transactions are executed at or close to the time of purchase of a mortgage asset.
At least monthly, the Bank reviews the estimated market risk profile of the entire portfolio of mortgage assets and related funding and hedging transactions. The Bank then considers rebalancing strategies to modify the estimated mortgage portfolio market risk profile. Periodically, the Bank performs more in-depth analyses, which include an 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
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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 consolidated obligations 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.
As discussed above in “Total Bank Market“Market Risk Market Value of Capital Sensitivity,” the Bank uses market value of capital sensitivity as a primary market value metric for measuring the Bank’s exposure to interest rates. The Bank’s interest rate risk limits and guidelines for the mortgage-related businessproducts address the market value of capital sensitivity of the assets, liabilities, and derivatives of the mortgage-related business.products.
The following table presents results of the estimated market value of capital sensitivity analysis attributable to the mortgage-related businessproducts as of September 30, 2023,March 31, 2024, and December 31, 2022.2023.
Market Value of Capital Sensitivity
Estimated Percentage Change in Market Value of Bank Capital
Attributable to the Mortgage-Related Business for Various Changes in Interest Rates
Market Value of Capital Sensitivity
Estimated Percentage Change in Market Value of Bank Capital
Attributable to the Mortgage-Related Products for Various Changes in Interest Rates
Market Value of Capital Sensitivity
Estimated Percentage Change in Market Value of Bank Capital
Attributable to the Mortgage-Related Products for Various Changes in Interest Rates
Interest Rate Scenario(1)
Interest Rate Scenario(1)
September 30, 2023December 31, 2022
Interest Rate Scenario(1)
Interest Rate Scenario(1)
+200 basis-point change
+200 basis-point change
+200 basis-point change+200 basis-point change–0.5%–0.5%–0.6%–0.3%
+100 basis-point change+100 basis-point change–0.2–0.2
–100 basis-point change(2)
–100 basis-point change(2)
+0.2+0.1
–100 basis-point change(2)
–100 basis-point change(2)
–200 basis-point change(2)
–200 basis-point change(2)
+0.2+0.1
–200 basis-point change(2)
–200 basis-point change(2)
(1)Instantaneous change from actual rates at dates indicated.
(2)Interest rates for each maturity are limited to non-negative rates.
The mortgage portfolio’s estimates of the sensitivity of the market value of capital to changes in interest rates as of September 30, 2023,March 31, 2024, are comparable with the estimates as of December 31, 2022.2023.
For more information on quantitative and qualitative disclosures about the Bank’s market risk, see “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Market Risk” in the Bank’s 20222023 Form 10-K.


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ITEM 4.    CONTROLS AND PROCEDURES
Disclosure Controls and Procedures
The senior management of the Federal Home Loan Bank of San Francisco (Bank) is responsible for establishing and maintaining a system of disclosure controls and procedures designed to ensure that information required to be disclosed by the Bank in the reports filed or submitted under the Securities Exchange Act of 1934 (1934 Act) is recorded, processed, summarized, and reported within the time periods specified in the rules and forms of the Securities and Exchange Commission. The Bank’s disclosure controls and procedures include, without limitation, controls and procedures designed to ensure that information required to be disclosed by the Bank in the reports that it files or submits under the 1934 Act is accumulated and communicated to the Bank’s management, including its principal executive officer or officers and principal financial officer or officers, or persons performing similar functions, as appropriate to allow timely decisions regarding required disclosure. In designing and evaluating the Bank’s disclosure controls and procedures, the Bank’s management recognizes that any controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives, and the Bank’s management necessarily is required to apply its judgment in evaluating the cost-benefit relationship of controls and procedures.
Management of the Bank has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with the participation of the president and chief executive officer and executive vice president and chief financial officer as of the end of the period covered by this report. Based on that evaluation, the Bank’s president and chief executive officer and executive vice president and chief financial officer have concluded that the Bank’s disclosure controls and procedures were effective at a reasonable assurance level as of the end of the period covered by this report.
Internal Control Over Financial Reporting
During the three months ended September 30, 2023,March 31, 2024, there were no changes in the Bank’s internal control over financial reporting that have materially affected, or are reasonably likely to materially affect, the Bank’s internal control over financial reporting.
Consolidated Obligations
The Bank’s disclosure controls and procedures include controls and procedures for accumulating and communicating information in compliance with the Bank’s disclosure and financial reporting requirements relating to the joint and several liability for the consolidated obligations of the Federal Home Loan Banks (FHLBanks). Because the FHLBanks are independently managed and operated, the Bank’s management relies on information that is provided or disseminated by the Federal Housing Finance Agency (Finance Agency), the Office of Finance, and the other FHLBanks, as well as on published FHLBank credit ratings, in determining whether the joint and several liability regulation is reasonably likely to result in a direct obligation for the Bank or whether it is reasonably possible that the Bank will accrue a direct liability.
The Bank’s management also relies on the operation of the joint and several liability regulation. The joint and several liability regulation requires that each FHLBank file with the Finance Agency a quarterly certification that it will remain capable of making full and timely payment of all of its current obligations, including direct obligations, coming due during the next quarter. In addition, if an FHLBank cannot make such a certification or if it projects that it may be unable to meet its current obligations during the next quarter on a timely basis, it must file a notice with the Finance Agency. Under the joint and several liability regulation, the Finance Agency may order any FHLBank to make principal and interest payments on any consolidated obligations of any other FHLBank, or allocate the outstanding liability of an FHLBank among all remaining FHLBanks on a pro rata basis in proportion to each FHLBank’s participation in all consolidated obligations outstanding or on any other basis.
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PART II. OTHER INFORMATION

ITEM 1.    LEGAL PROCEEDINGS
The Federal Home Loan Bank of San Francisco (Bank) may be subject to various legal proceedings arising in the normal course of business.
After consultation with legal counsel, the Bank is not aware of any legal proceedings that are expected to have a material effect on its financial condition or results of operations or that are otherwise material to the Bank.

ITEM 1A.    RISK FACTORS
The Bank is subject to a number of risks as set forth in “Part I. Item 1A. Risk Factors” in the Bank’s 20222023 Form 10-K and in “Part II. Item 1A. Risk Factors” in the Bank’s Form 10-Q for the quarter ending March 31, 2023.10-K. Reference is made to “Quarterly Overview”, as well as other sections, of Item 2. Management Discussion and Analysis of Financial Condition and Results of Operations of this Form 10-Q regarding other potential risks and uncertainties facing the Bank.

ITEM 2.    UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS
Not applicable.
ITEM 3.    DEFAULTS UPON SENIOR SECURITIES
None.
ITEM 4.    MINE SAFETY DISCLOSURES
Not applicable.
ITEM 5.    OTHER INFORMATION
On October 30, 2023, the Federal Home Loan Bank of San Francisco (Bank) and Joseph Amato entered into an amendment to his employment agreement (Amendment No. 3) to mutually extend the term of his employment to September 30, 2024 (Third Term), with an automatic extension until March 31, 2025, unless a non-renewal notice is provided by either the Bank or Mr. Amato at least one month prior to the end of the Third Term or any automatic extension thereof. Amendment No. 3 also amended Mr. Amato’s base annual salary to $540,000, effective January 1, 2024. The Bank received a non-objection letter from the Federal Housing Finance Agency regarding the material terms of Amendment No. 3 on October 24, 2023. As previously disclosed, Mr. Amato entered into amendments to his employment agreement with the Bank dated July 7, 2021 (Amendment No. 1) and October 19, 2022 (Amendment No. 2) which, among other things, extended his term until March 31, 2023 (Second Term) and mutually elected the option to further extend his term of employment following his Second Term for another year until March 31, 2024.
The foregoing description of the amendments to Mr. Amato’s employment agreement does not purport to be complete and is qualified in its entirety by reference to Amendment No. 3 to his employment agreement, which is incorporated herein by reference as Exhibit 10.1.None.

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ITEM 6.    EXHIBITS
Exhibit No.Description
Employment Agreement by and among the Federal Home Loan Bank of San Francisco and Joseph E. Amato,
dated October 7, 2020, as amended
  Certification of the President and Chief Executive Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
Certification of the Chief Financial Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
  Certification of the President and Chief Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
  Certification of the Chief Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
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101.SCHInline XBRL Taxonomy Extension Schema Document
101.CALInline XBRL Taxonomy Extension Calculation Linkbase Document
101.DEFInline XBRL Taxonomy Extension Definition Linkbase Document
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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized, on NovemberMay 3, 2023.2024.
 
Federal Home Loan Bank of San Francisco
/S/ TERESA B. BAZEMORE
Teresa B. Bazemore
President and Chief Executive Officer
(Principal executive officer)
/S/ JOSEPH E. AMATO
Joseph E. Amato
Executive Vice President and Chief Financial Officer
(Principal financial officer)
/S/ KITTY PAYNE
Kitty Payne
Senior Vice President and Controller
(Principal accounting officer)
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