Financial reports / Federal Home Loan Bank Of San Francisco | Tables in SEC filings

Federal Home Loan Bank Of San Francisco

Annual report

Duration Gap – Duration gap is the difference between the estimated durations (market value sensitivity) of assets and liabilities (including the impact of interest rate exchange agreements) and reflects the extent to which estimated maturity and repricing cash flows for assets and liabilities are matched. The Bank monitors duration gap analysis and does not have a risk limit. In 2024 and 2023, the Bank’s assets durations exceeded its liabilities durations, as shown in the following table.

Duration Gap Analysis
	2024								2023
(Dollars in millions)	Amount (In millions)			Duration Gap(1) (In months)			Amount (In millions)		Duration Gap(1) (In months)
Assets	$	81,735	2.1	$	92,828	1.8	Liabilities	74,731	0.9	86,160	0.8	Net	$	7,004	1.2	$	6,668	1.0

2024
(In millions)	Advances			AFS Securities			Consolidated Obligation Bonds			Consolidated Obligation Discount Notes			Total
(Amortization)/accretion of hedging activities	$	(23)	$	(101)	$	—	$	—	$	(124)	Net gain/(loss) on derivatives and hedged items	6		3	(1)	(1)	7	Net interest settlements on derivatives	564	523	(487)	(2)	598	Price alignment amount(1)	(28)	(28)	(2)	—	(58)	Total effect on net interest income	$	519	$	397	$	(490)	$	(3)	$	423

Borrower Credit Outstanding and Collateral Borrowing Capacity by Unused Borrowing Capacity
December 31, 2024	(Dollars in millions) Unused Borrowing Capacity		Number of Borrowers with Credit Outstanding			Credit Outstanding(1)		Collateral Borrowing Capacity(2)
0% – 10%	10	$	5,719	$	5,877	11% – 25%	6	10,362	12,103	26% – 50%	23	19,877	35,439	More than 50%	162	29,396	137,135	Total	201	$	65,354	$	190,554

(In millions)	2024			2023			2022
Balance, beginning of the period			$			31	$	30	$	17	(Charge-offs)/recoveries	(1)			(3)	(2)	Provision for/(reversal of) credit losses	—			4	15	Balance, end of the period	$			30	$	31	$	30

(In millions)	2024			2023			2022
Balance, beginning of the period			$	133	$	111	$	115	AHP assessments	52		63	36	AHP voluntary contributions	9		—	—	AHP grant payments	(54)		(41)	(40)	Balance, end of the period	$	140	$	133	$	111

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