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Table of Contents

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
  ____________________________________
FORM 10-Q
  ______________________________________________________
 
☒QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended March 31, 2025
OR
☐TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
Commission File Number: 000-51398
FEDERAL HOME LOAN BANK OF SAN FRANCISCO
(Exact name of registrant as specified in its charter)
  ___________________________________________
Federally chartered corporation of the United States
94-6000630
(State or other jurisdiction of incorporation or organization)
(I.R.S. employer identification number)
333 Bush Street, Suite 2700
San Francisco,
CA
94104
(Address of principal executive offices)
(Zip code)
(415) 616-1000
(Registrant’s telephone number, including area code)
Securities registered pursuant to Section 12(b) of the Securities Exchange Act of 1934:
Title of each classTrading Symbol(s)Name of each exchange on which registered
———
  ___________________________________________

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing for the past 90 days.    ☒  Yes    ☐  No
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).    ☒  Yes    ☐  No
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.
Large accelerated filer☐Accelerated filer☐
Non-accelerated filer☒Smaller reporting company☐
Emerging growth company☐
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.      ☐
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).    ☐  Yes    ☒  No
Indicate the number of shares outstanding of each of the issuer’s classes of common stock, as of the latest practicable date.
Shares Outstanding as of April 29, 2025
Class B Stock, par value $100 per share29,139,999 

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)March 31,
2025		December 31,
2024
Assets:
Cash and due from banks$8 $2 
Interest-bearing deposits3,300 3,765 
Securities purchased under agreements to resell9,150 7,750 
Federal funds sold4,685 1,645 
Available-for-sale (AFS) securities, net of allowance for credit losses of $30 and $30, respectively (amortized cost of $20,336 and $20,274, respectively)
20,393 20,312 
Held-to-maturity (HTM) securities (fair values of $1,436 and $1,469, respectively)
1,454 1,489 
Advances (includes $5,539 and $5,286 at fair value under the fair value option, respectively)
37,913 45,637 
Mortgage loans held for portfolio, net of allowance for credit losses of $1 and $1, respectively
680 693 
Accrued interest receivable182 181 
Derivative assets, net2 30 
Other assets 226 231 
Total Assets$77,993 $81,735 
Liabilities:
Deposits$1,335 $1,061 
Consolidated obligations:
Bonds (includes $380 and $436 at fair value under the fair value option, respectively)
56,079 58,174 
Discount notes12,668 14,378 
Total consolidated obligations68,747 72,552 
Mandatorily redeemable capital stock153 331 
Accrued interest payable354 412 
Affordable Housing Program (AHP) payable138 140 
Derivative liabilities, net11 8 
Other liabilities208 227 
Total Liabilities70,946 74,731 
Commitments and Contingencies (Note 12)
Capital:
Capital stock—Class B—Putable ($100 par value) issued and outstanding:
24 shares and 25 shares, respectively
2,443 2,458 
Unrestricted retained earnings3,707 3,668 
Restricted retained earnings815 815 
Total Retained Earnings4,522 4,483 
Accumulated other comprehensive income/(loss) (AOCI)82 63 
Total Capital7,047 7,004 
Total Liabilities and Capital$77,993 $81,735 
The accompanying notes are an integral part of these financial statements.
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Table of Contents

Federal Home Loan Bank of San Francisco
Statements of Income
(Unaudited)
Three Months Ended March 31,
(In millions)20252024
Interest Income:
Advances$473 $759 
Interest-bearing deposits44 53 
Securities purchased under agreements to resell16 25 
Federal funds sold59 75 
AFS securities268 283 
HTM securities18 25 
Mortgage loans held for portfolio5 6 
Total Interest Income883 1,226 
Interest Expense:
Consolidated obligations:
Bonds594 850 
Discount notes126 193 
Deposits16 17 
Mandatorily redeemable capital stock5 16 
Total Interest Expense741 1,076 
Net Interest Income142 150 
Provision for/(reversal of) credit losses1 (4)
Net Interest Income After Provision for/(Reversal of) Credit Losses141 154 
Other Income/(Loss):
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option29 (14)
Net gain/(loss) on derivatives(15)15 
Standby letters of credit fees5 5 
Termination of long-term funding arrangement
— 30 
Other, net1 — 
Total Other Income/(Loss)20 36 
Other Expense:
Compensation and benefits29 29 
Other operating expense15 14 
Federal Housing Finance Agency2 2 
Office of Finance1 1 
Voluntary housing and community investment contributions
10 4 
Other, net(1)— 
Total Other Expense56 50 
Income/(Loss) Before Assessment105 140 
AHP assessment11 16 
Net Income/(Loss)$94 $124 
The accompanying notes are an integral part of these financial statements.
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Table of Contents

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

Three Months Ended March 31,
(In millions)20252024
Net Income/(Loss)$94 $124 
Other Comprehensive Income/(Loss):
Net unrealized gain/(loss) on AFS securities19 99 
Total other comprehensive income/(loss)19 99 
Total Comprehensive Income/(Loss)$113 $223 
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, December 31, 202325 $2,450 $815 $3,475 $4,290 $(72)$6,668 
Comprehensive income/(loss)— 124 124 99 223 
Issuance of capital stock5 482 482 
Repurchase of capital stock(5)(504)(504)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net(1)(36)(36)
Cash dividends paid on capital stock
(53)(53)(53)
Balance, March 31, 202424 $2,392 $815 $3,546 $4,361 $27 $6,780 
Balance, December 31, 202425 $2,458 $815 $3,668 $4,483 $63 $7,004 
Comprehensive income/(loss)— 94 94 19 113 
Issuance of capital stock3 375 375 
Repurchase of capital stock(4)(390)(390)
Cash dividends paid on capital stock
(55)(55)(55)
Balance, March 31, 202524 $2,443 $815 $3,707 $4,522 $82 $7,047 
The accompanying notes are an integral part of these financial statements.
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Table of Contents

Federal Home Loan Bank of San Francisco
Statements of Cash Flows
(Unaudited)
Three Months Ended March 31,
(In millions)20252024
Cash Flows from Operating Activities:
Net Income/(Loss)$94 $124 
Adjustments to reconcile net income/(loss) to net cash provided by/(used in) operating activities:
Depreciation and amortization/(accretion)4 (73)
Provision for/(reversal of) credit losses1 (4)
Change in net fair value adjustment on advances and consolidated obligation bonds held under the fair value option(29)14 
Change in net derivatives and hedging activities(327)324 
Other adjustments, net— 1 
Net change in:
Accrued interest receivable1 (3)
Other assets2 (29)
Accrued interest payable(58)(73)
Other liabilities(20)(13)
Total adjustments(426)144 
Net cash provided by/(used in) operating activities(332)268 
Cash Flows from Investing Activities:
Net change in:
Interest-bearing deposits535 (807)
Securities purchased under agreements to resell(1,400)1,900 
Federal funds sold(3,040)(784)
AFS securities:
Proceeds from maturities and paydowns948 75 
Purchases(707)(307)
HTM securities:
Proceeds from maturities and paydowns34 91 
Advances:
Repaid108,427 191,016 
Originated(100,563)(186,747)
Mortgage loans held for portfolio:
Principal collected13 12 
Net cash provided by/(used in) investing activities4,247 4,449 
5

Table of Contents

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

Three Months Ended March 31,
(In millions)20252024
Cash Flows from Financing Activities:
Net change in deposits and other financing activities227 16 
Net proceeds/(payments) on derivative contracts with financing elements
3 6 
Net proceeds from issuance of consolidated obligations:
Bonds15,309 16,428 
Discount notes14,312 13,720 
Payments for matured and retired consolidated obligations:
Bonds(17,508)(16,303)
Discount notes(16,004)(18,433)
Proceeds from issuance of capital stock375 482 
Payments for repurchase/redemption of mandatorily redeemable capital stock(178)(76)
Payments for repurchase of capital stock(390)(504)
Cash dividends paid(55)(53)
Net cash provided by/(used in) financing activities(3,909)(4,717)
Net increase/(decrease) in cash and due from banks6 — 
Cash and due from banks at beginning of the period2 5 
Cash and due from banks at end of the period$8 $5 
Supplemental Disclosures:
Interest paid$829 $1,181 
Supplemental Disclosures of Non-cash Investing and Financing Activities:
Transfers of capital stock to mandatorily redeemable capital stock— 36 
The accompanying notes are an integral part of these financial statements.
6
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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, 2025. 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, 2024 (2024 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 is the accounting for derivatives and hedging activities. Actual results could differ significantly from these estimates.
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 2024 Form 10-K. There have been no significant changes to the Bank’s accounting policies since the Bank’s 2024 Form 10-K.

7
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Federal Home Loan Bank of San Francisco
Notes to Financial Statements (continued)


Note 2 — Recently Issued and Adopted Accounting Guidance
There have been no recently adopted accounting standards that have had a material affect on the Bank’s financial statements. 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
Disaggregation of Income Statement Expenses (ASU 2024-03)
This update requires disclosure, in the notes to the financial statements, of specified information about certain costs and expenses on an interim and annual basis.
This guidance becomes effective for the Bank for the annual period ending December 31, 2027, and for interim and annual periods thereafter. Early adoption is permitted.
The Bank does not intend to adopt this guidance early. While adoption of this guidance may affect the Bank’s disclosures, it is not expected to have any effect on the Bank’s financial condition, results of operations, or cash flows.
Note 3 — Investments
The Bank makes short-term investments in interest-bearing deposits, securities purchased under agreements to resell, and federal funds sold, and may make other investments in debt securities, which are classified as AFS or HTM.
Interest-Bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold. The Bank invests in interest-bearing deposits, securities purchased under agreements to resell, and federal funds sold.
At March 31, 2025, and December 31, 2024, all investments in interest-bearing deposits and federal funds sold were repaid or expected to be repaid according to the relevant contractual terms. No allowance for credit losses was recorded for these assets at March 31, 2025, and December 31, 2024. Carrying values of interest-bearing deposits and federal funds sold exclude accrued interest receivable of $14 million and $1 million, respectively, as of March 31, 2025, and $15 million and a de minimis amount, respectively, as of December 31, 2024.
Based upon the collateral held as security and collateral maintenance provisions with its counterparties, the Bank determined that no allowance for credit losses was needed for its securities purchased under agreements to resell at March 31, 2025, and December 31, 2024. The carrying value of securities purchased under agreements to resell excludes $1 million of accrued interest receivable as of March 31, 2025, and December 31, 2024.
Debt Securities
The Bank invests in debt securities, which are classified as AFS or HTM.
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Federal Home Loan Bank of 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 March 31, 2025, and December 31, 2024, were as follows:
March 31, 2025
(In millions)
Amortized
Cost(1)
Allowance for Credit LossesGross
Unrealized
Gains		Gross
Unrealized
Losses		Estimated Fair Value
U.S. Treasury obligations$6,451 $— $3 $(1)$6,453 
State housing agency obligations
11 — — — 11 
MBS:
Government-Sponsored Enterprises (GSEs) – multifamily
12,913 — 77 (3)12,987 
Private-label residential mortgage-backed securities (PLRMBS)
961 (30)31 (20)942 
Total mortgage-backed securities (MBS)
13,874 (30)108 (23)13,929 
Total$20,336 $(30)$111 $(24)$20,393 
December 31, 2024
(In millions)
Amortized
Cost(1)
Allowance for Credit LossesGross
Unrealized
Gains		Gross
Unrealized
Losses		Estimated Fair Value
U.S. Treasury obligations$6,506 $— $4 $— $6,510 
MBS:
GSEs – multifamily12,790 — 62 (7)12,845 
PLRMBS
978 (30)31 (22)957 
Total MBS13,768 (30)93 (29)13,802 
Total$20,274 $(30)$97 $(29)$20,312 
(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 $93 million and $92 million at March 31, 2025, and December 31, 2024, respectively.
At March 31, 2025, and December 31, 2024, $537 million and $504 million of AFS securities, respectively, were pledged as collateral that may be repledged. At March 31, 2025, the amortized cost of the Bank’s MBS classified as AFS included premiums of $48 million, discounts of $168 million, and previous credit losses related to the prior methodology of evaluating credit losses of $289 million for PLRMBS. At December 31, 2024, the amortized cost of the Bank’s MBS classified as AFS included premiums of $51 million, discounts of $175 million, and previous credit losses related to the prior methodology of evaluating credit losses of $293 million for PLRMBS.
The following tables summarize the AFS securities with unrealized losses as of March 31, 2025, and December 31, 2024. 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, 2025
 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
U.S. obligations – Treasury notes$2,066 $1 $— $— $2,066 $1 
MBS – GSEs – multifamily720 2 433 1 1,153 3 
PLRMBS47 1 250 19 297 20 
Total$2,833 $4 $683 $20 $3,516 $24 
9
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Federal Home Loan Bank of San Francisco
Notes to Financial Statements (continued)


December 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$1,350 $3 $668 $4 $2,018 $7 
PLRMBS62 3 244 19 306 22 
Total$1,412 $6 $912 $23 $2,324 $29 
Redemption Terms – The amortized cost and estimated fair value of U.S. Treasury securities and state housing agency obligations classified as AFS by contractual maturity (based on contractual final principal payment) and of MBS classified as AFS as of March 31, 2025, and December 31, 2024, 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.
March 31, 2025
(In millions)
Year of Contractual MaturityAmortized
Cost		Estimated
Fair Value
U.S. Treasury obligations:
Due in 1 year or less$2,891 $2,892 
Due after 1 year through 5 years3,560 3,561 
Total U.S. Treasury obligations
6,451 6,453 
State housing agency obligations: due after 5 through 10 years
11 11 
MBS13,874 13,929 
Total$20,336 $20,393 
December 31, 2024
(In millions)
Year of Contractual MaturityAmortized
Cost		Estimated
Fair Value
U.S. Treasury obligations:
Due in 1 year or less$3,181 $3,183 
Due after 1 year through 5 years
3,325 3,327 
Total U.S. Treasury obligations
6,506 6,510 
MBS13,768 13,802 
Total$20,274 $20,312 
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Table of Contents
Federal Home Loan Bank of San Francisco
Notes to Financial Statements (continued)


Held-to-Maturity Securities. The Bank classifies the following securities as HTM because the Bank has the positive intent and ability to hold these securities to maturity:
March 31, 2025
(In millions)
Amortized
Cost(1)
Gross
Unrecognized
Holding
Gains(2)
Gross
Unrecognized
Holding
Losses(2)
Estimated
Fair Value
MBS – Other U.S. obligations – single-family$25 $— $(1)$24 
MBS – GSEs:
MBS – GSEs – single-family470 2 (11)461 
MBS – GSEs – multifamily863 — (3)860 
Subtotal MBS – GSEs1,333 2 (14)1,321 
PLRMBS96 — (5)91 
Total$1,454 $2 $(20)$1,436 
December 31, 2024
(In millions)
Amortized
Cost(1)
Gross
Unrecognized
Holding
Gains(2)
Gross
Unrecognized
Holding
Losses(2)
Estimated
Fair Value
MBS – Other U.S. obligations – single-family$29 $— $(1)$28 
MBS – GSEs:
MBS – GSEs – single-family495 2 (13)484 
MBS – GSEs – multifamily864 — (2)862 
Subtotal MBS – GSEs1,359 2 (15)1,346 
PLRMBS101 — (6)95 
Total$1,489 $2 $(22)$1,469 
(1)    Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and net charge-offs, and excludes accrued interest receivable of $5 million at March 31, 2025, and December 31, 2024.
(2)    Gross unrecognized holding gains/(losses) represent the difference between estimated fair value and net carrying value.
At March 31, 2025, the amortized cost of the Bank’s MBS classified as HTM included premiums of $2 million and discounts of $2 million. At December 31, 2024, the amortized cost of the Bank’s MBS classified as HTM included premiums of $2 million and discounts of $2 million.
Allowance for Credit Losses on AFS and HTM Securities. The following table presents a rollforward of the allowance for credit losses on PLRMBS classified as AFS for the three months ended March 31, 2025 and 2024. The Bank recorded no allowance for credit losses associated with HTM securities during the three months ended March 31, 2025 and 2024.
Three Months Ended
(In millions)March 31, 2025March 31, 2024
Balance, beginning of the period$30 $31 
(Charge-offs)/recoveries(1)(1)
Provision for/(reversal of) credit losses1 (4)
Balance, end of the period$30 $26 
To evaluate investment securities for expected credit loss at March 31, 2025, and December 31, 2024, 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) – There have been no significant changes in the credit quality, ratings distribution, or unrealized loss position of the Bank’s AFS and HTM securities (excluding PLRMBS investments) since December 31, 2024. As a result, no allowance for credit losses was recorded on these AFS or HTM securities at March 31, 2025, and December 31, 2024. For more information on the Bank’s AFS and HTM securities, see “Item 8. Financial Statements and Supplementary Data – Note 4 – Investments” in the Bank’s 2024 Form 10-K.
Private-Label Residential Mortgage-Backed Securities – There have been no significant changes in the composition, credit quality, or valuation methodology for the Bank’s PLRMBS portfolio since December 31, 2024. The Bank continues to assess expected credit losses on these securities using cash flow analyses incorporating assumptions such as prepayment rates, default rates, and loss severities. There were no transfers of PLRMBS from the Bank’s HTM portfolio to its AFS portfolio during the three months ended March 31, 2025 or 2024.
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 $3 million and a de minimis amount for the three months ended March 31, 2025, and 2024, 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 less than one year to 15 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 March 31, 2025, and December 31, 2024.
(Dollars in millions)March 31, 2025December 31, 2024
Redemption Term
Amount
Outstanding(1)
Weighted
Average
Interest Rate
Amount
Outstanding(1)
Weighted
Average
Interest Rate
Overdrawn demand and overnight deposit accounts$1 4.10 %$— — %
Within 1 year
17,763 4.36 23,712 4.30 
After 1 year through 2 years9,631 3.75 11,067 3.81 
After 2 years through 3 years5,103 4.14 4,526 3.97 
After 3 years through 4 years2,154 4.22 3,264 4.13 
After 4 years through 5 years888 3.40 865 3.76 
After 5 years2,414 3.81 2,384 3.68 
Total par value37,954 4.11 %45,818 4.09 %
Valuation adjustments for hedging activities(92)(198)
Valuation adjustments under fair value option51 17 
Total$37,913 $45,637 
(1)    Carrying amounts exclude accrued interest receivable of $64 million and $63 million at March 31, 2025, and December 31, 2024, respectively.
Advances outstanding with redemption terms within three months totaled $10.2 billion and $15.1 billion at March 31, 2025, and December 31, 2024, respectively. The Bank had advances with full prepayment symmetry outstanding totaling $22.3 billion at March 31, 2025, and $29.4 billion at December 31, 2024. The Bank had advances with partial prepayment symmetry outstanding totaling $119 million at March 31, 2025, and $142 million at December 31, 2024. Some advances may be repaid on specified call dates without prepayment fees (callable advances). The Bank had callable advances outstanding totaling $2.9 billion at March 31, 2025, and $2.7 billion at December 31, 2024. The Bank had putable advances totaling $4.9 billion at March 31, 2025, and $4.6 billion at
12
Table of Contents
Federal Home Loan Bank of San Francisco
Notes to Financial Statements (continued)


December 31, 2024. For more information related to the Bank’s prepayment policies, see “Item 8. Financial Statements and Supplementary Data – Note 5 – Advances” in the Bank’s 2024 Form 10-K.
The following table summarizes advances at March 31, 2025, and December 31, 2024, 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
(In millions)March 31, 2025December 31, 2024March 31, 2025December 31, 2024
Overdrawn demand and overnight deposit accounts$1 $— $1 $— 
Within 1 year19,238 26,023 22,085 27,676 
After 1 year through 2 years8,431 9,066 9,380 10,646 
After 2 years through 3 years5,103 4,526 3,619 3,487 
After 3 years through 4 years2,154 3,264 1,835 2,886 
After 4 years through 5 years888 855 485 398 
After 5 years2,139 2,084 549 725 
Total par value$37,954 $45,818 $37,954 $45,818 
Concentration Risk. The following tables present the concentration in advances by borrowers and their affiliates that are 10% or more of total advances outstanding at March 31, 2025 and 2024, or that are 10% or more of total advance interest income for the three months ended March 31, 2025 and 2024.

March 31, 2025Three Months Ended
March 31, 2025
(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
Western Alliance Bank$3,700 10 %$41 9 %
JPMorgan Chase, National Association(2)
3,374 9 70 16 

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 7 
(1)    Interest income amounts exclude the interest effect of interest rate exchange agreements with derivative counterparties. The amount of interest income from advances can vary depending on the amount outstanding, terms to maturity, interest rates, and repricing characteristics.
(2)    A nonmember. 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.
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. For more information related to the Bank’s credit risk management practices, borrower eligibility, and collateral requirements for advances, see “Item 8. Financial Statements and Supplementary Data – Note 5 – Advances” in the Bank’s 2024 Form 10-K.
13
Table of Contents
Federal Home Loan Bank of San Francisco
Notes to Financial Statements (continued)


At March 31, 2025, and December 31, 2024, 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. At March 31, 2025, and December 31, 2024, 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 months ended March 31, 2025 and 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 March 31, 2025, and December 31, 2024, 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 March 31, 2025, and December 31, 2024.
Interest Rate Payment Terms. Interest rate payment terms for advances at March 31, 2025, and December 31, 2024, are detailed below:
(In millions)March 31, 2025December 31, 2024
Par value of advances:
Fixed rate:
Due within 1 year$9,899 $15,218 
Due after 1 year18,290 20,101 
Total fixed rate28,189 35,319 
Adjustable rate:
Due within 1 year
7,865 8,494 
Due after 1 year1,900 2,005 
Total adjustable rate9,765 10,499 
Total par value$37,954 $45,818 
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 March 31, 2025, and December 31, 2024, on mortgage loans held for portfolio, all of which are secured by one- to four-unit residential properties and single-unit homes.
(In millions)March 31, 2025December 31, 2024
Fixed rate medium-term mortgage loans(1)
$10 $10 
Fixed rate long-term mortgage loans(1)
636 648 
Subtotal646 658 
Premiums
36 37 
Discounts
(1)(1)
Mortgage loans held for portfolio(2)
681 694 
Less: Allowance for credit losses(1)(1)
Total mortgage loans held for portfolio, net$680 $693 
(1)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 $4 million and $5 million at March 31, 2025, and December 31, 2024, respectively.
14
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Federal Home Loan Bank of San Francisco
Notes to Financial Statements (continued)


Credit Quality Indicator. 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 table presents the payment status for mortgage loans and other delinquency statistics for the Bank’s mortgage loans at March 31, 2025, and December 31, 2024.
(Dollars in millions)
Payment Status, at Amortized Cost(1)
March 31, 2025December 31, 2024
30 – 59 days delinquent$6 $8 
60 – 89 days delinquent2 2 
90 days or more delinquent19 17 
Total past due27 27 
Total current loans
654 667 
Total mortgage loans held for portfolio$681 $694 
In process of foreclosure, included above(2)
$3 $1 
Nonaccrual loans(3)
$19 $17 
Serious delinquencies as a percentage of total mortgage loans outstanding(4)
2.76 %2.48 %
(1)    The amortized cost in a loan is the unpaid principal balance of the loan, adjusted for net deferred loan fees or costs, amortized premiums or discounts, and direct write-downs.
(2)    Includes loans for which the servicer has reported a decision to foreclose or to pursue a similar alternative, such as deed-in-lieu. Loans in process of foreclosure are included in past due or current loans depending on their delinquency status.
(3)    At March 31, 2025, and December 31, 2024, $6 million and $5 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. 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.
At both March 31, 2025 and December 31, 2024, the allowance for credit losses on the mortgage loan portfolio was $1 million. The amount of charge-offs and recoveries related to the allowance for credit losses on the mortgage loan portfolio were de minimis for the three months ended March 31, 2025 and 2024.
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 2024 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. 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.
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Federal Home Loan Bank of San Francisco
Notes to Financial Statements (continued)


Deposits outstanding as of March 31, 2025, and December 31, 2024, were as follows:
(In millions)
March 31, 2025December 31, 2024
(Dollars in millions)Amount
Outstanding		Amount
Outstanding
Demand and overnight interest-bearing deposits
$1,329 $1,055 
Non-interest-bearing deposits6 6 
Total$1,335 $1,061 
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. For more information on the issuance and allocation of consolidated obligations, see “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2024 Form 10-K.
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 2024 Form 10-K.
Redemption Terms. The following is a summary of the Bank’s participation in consolidated obligation bonds at March 31, 2025, and December 31, 2024.
(Dollars in millions)March 31, 2025December 31, 2024
Contractual MaturityAmount
Outstanding		Weighted
Average
Interest Rate		Amount
Outstanding		Weighted
Average
Interest Rate
Within 1 year$37,363 4.10 %$39,657 4.40 %
After 1 year through 2 years11,611 3.34 12,005 2.96 
After 2 years through 3 years1,925 3.45 1,920 2.62 
After 3 years through 4 years1,786 3.89 1,487 3.50 
After 4 years through 5 years2,893 4.49 2,706 4.35 
After 5 years777 2.77 777 2.76 
Total par value56,355 3.92 %58,552 4.00 %
Unamortized discounts(1)(1)
Valuation adjustments for hedging activities(265)(363)
Fair value option valuation adjustments(10)(14)
Total$56,079 $58,174 
The Bank’s participation in consolidated obligation bonds outstanding includes callable bonds. For more information related to the Bank’s callable bond transactions, see “Item 8. Financial Statements and Supplementary Data – Note 8 – Consolidated Obligations” in the Bank’s 2024 Form 10-K.
16
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Federal Home Loan Bank of San Francisco
Notes to Financial Statements (continued)


The Bank’s participation in consolidated obligation bonds by call features at March 31, 2025, and December 31, 2024, was as follows:
(In millions)March 31, 2025December 31, 2024
Par value of consolidated obligation bonds:
Non-callable$33,792 $40,207 
Callable22,563 18,345 
Total par value$56,355 $58,552 
The following is a summary of the Bank’s participation in consolidated obligation bonds outstanding at March 31, 2025, and December 31, 2024, by the earlier of the year of contractual maturity or next call date.
(In millions)
Earlier of Contractual
Maturity or Next Call Date		March 31, 2025December 31, 2024
Within 1 year$49,726 $49,795 
After 1 year through 2 years5,485 7,608 
After 2 years through 3 years1,072 1,101 
After 3 years through 4 years36 12 
After 4 years through 5 years9 9 
After 5 years27 27 
Total par value$56,355 $58,552 
The Bank’s participation in consolidated obligation discount notes, all of which are due within one year, was as follows:
(Dollars in millions)
Carrying Value
Par Value
Weighted-Average Interest Rate(1)
March 31, 2025$12,668 $12,755 4.23 %
December 31, 202414,378 14,460 4.41 %
(1)Represents yield to maturity excluding concession fees.
Interest Rate Payment Terms. Interest rate payment terms for consolidated obligation bonds at March 31, 2025, and December 31, 2024, 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 2024 Form 10-K.
(In millions)March 31, 2025December 31, 2024
Par value of consolidated obligation bonds:
Fixed rate$25,738 $23,410 
Adjustable rate30,227 34,692 
Step-up390 450 
Total consolidated obligation bonds, par value
$56,355 $58,552 
17
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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 Income/(Loss) for the three months ended March 31, 2025 and 2024:
(In millions)Net Unrealized Gain/(Loss) on AFS SecuritiesPension and Postretirement BenefitsTotal
AOCI
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 
Balance, December 31, 2024
$68 $(5)$63 
Other comprehensive income/(loss):
Net change in fair value19 19 
Net current period other comprehensive income/(loss)19 — 19 
Balance, March 31, 2025
$87 $(5)$82 
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.
As of March 31, 2025, and December 31, 2024, the Bank complied with these capital rules and requirements as shown in the following table.
March 31, 2025December 31, 2024
(Dollars in millions)RequiredActualRequiredActual
Risk-based capital$1,174 $7,118 $1,058 $7,272 
Total regulatory capital$3,120 $7,118 $3,269 $7,272 
Total regulatory capital ratio4.00 %9.13 %4.00 %8.90 %
Leverage capital$3,900 $10,676 $4,087 $10,908 
Leverage ratio5.00 %13.69 %5.00 %13.35 %
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Federal Home Loan Bank of San Francisco
Notes to Financial Statements (continued)


Mandatorily Redeemable Capital Stock. The Bank had mandatorily redeemable capital stock totaling $153 million outstanding to five institutions at March 31, 2025, and $331 million outstanding to seven institutions at December 31, 2024. 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 months ended March 31, 2025 and 2024 were as follows:
Three Months Ended
(In millions)March 31, 2025March 31, 2024
Balance at the beginning of the period$331 $706 
Reclassified from/(to) capital during the period— 36 
Repurchase/redemption
(178)(76)
Balance at the end of the period$153 $666 
The following table presents mandatorily redeemable capital stock amounts by contractual year of redemption at March 31, 2025, and December 31, 2024.
(In millions)
Contractual Year of Redemption
March 31, 2025December 31, 2024
Year 2
$— $1 
Year 3
3 3 
Year 4
149 309 
Year 5
— 18 
Past contractual redemption date because of remaining activity(1)
1 — 
Total$153 $331 
(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.
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.
Excess Stock Repurchase, Retained Earnings, and Dividend Framework. There have been no significant changes to the Bank’s capital plan, capital stock requirements (including excess stock repurchase provisions), or dividend framework from those disclosed in the Bank’s 2024 Form 10-K.
In January 2025, the required level of retained earnings was increased from $1.4 billion to $1.6 billion mainly attributable to higher non-MBS investment balances.
Excess stock totaled $116 million, or 0.15% of total assets as of March 31, 2025. Excess stock totaled $111 million, or 0.14% of total assets as of December 31, 2024.
On April 24, 2025, the Board declared a quarterly cash dividend on the average capital stock outstanding during the first quarter of 2025 at an annualized rate of 8.75%, totaling $59 million. The Bank recorded the dividend on April 24, 2025, and expects to pay the dividend on May 8, 2025.
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 2024 Form 10-K.
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Federal Home Loan Bank of San Francisco
Notes to Financial Statements (continued)


Concentration. No institution held 10% or more of the Bank’s outstanding capital stock, including mandatorily
redeemable capital stock, as of March 31, 2025, or December 31, 2024.
Note 10 — Derivatives and Hedging Activities
General. The Bank regularly enters into interest rate exchange agreements. For more information on the Bank’s derivative strategies and accounting for derivatives and hedging activities, see “Item 8. Financial Statements and Supplementary Data – Note 13 – Derivatives and Hedging Activities” in the Bank’s 2024 Form 10-K.
The following table summarizes the notional amount and fair value of derivative instruments, including the effect of netting adjustments and cash collateral as of March 31, 2025, and December 31, 2024. For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest.
 March 31, 2025December 31, 2024
(In millions)Notional
Amount of
Derivatives		Derivative
Assets		Derivative
Liabilities		Notional
Amount of
Derivatives		Derivative
Assets		Derivative
Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps$71,266 $647 $306 $76,005 $713 $399 
Derivatives not designated as hedging instruments:
Interest rate swaps10,442 14 69 13,871 39 59 
Total derivatives before netting and collateral adjustments$81,708 661 375 $89,876 752 458 
Netting adjustments and cash collateral(1)
(659)(364)(722)(450)
Total derivative assets and total derivative liabilities$2 $11 $30 $8 
(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 $140 million and $210 million at March 31, 2025, and December 31, 2024, respectively. Cash collateral received, including accrued interest, was $435 million and $482 million at March 31, 2025, and December 31, 2024, respectively.
The following tables present, by type of hedged item, the gains and losses on fair value hedging relationships and the impact of derivatives in those relationships on the Bank’s Statements of Income for the three months ended March 31, 2025 and 2024.
Three Months Ended March 31, 2025
Interest Income/(Expense)
(In millions)AdvancesAFS SecuritiesConsolidated Obligation Bonds
Consolidated Obligation Discount Notes(2)
Total interest income/(expense) presented in the Statements of Income$473 $268 $(594)$(126)
Gain/(loss) on fair value hedging relationships
Derivatives(1)
$(64)$(218)$44 $(2)
Hedged items
102 275 (100)4 
Net gain/(loss) on derivatives and hedging activities recorded in net interest income
$38 $57 $(56)$2 
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Federal Home Loan Bank of San Francisco
Notes to Financial Statements (continued)


Three Months Ended March 31, 2024
Interest Income/(Expense)
(In millions)AdvancesAFS SecuritiesConsolidated Obligation Bonds
Total interest income/(expense) presented in the Statements of Income$759 $283 $(850)
Gain/(loss) on fair value hedging relationships
Derivatives(1)
$311 $398 $(161)
Hedged items
(153)(294)22 
Net gain/(loss) on derivatives and hedging activities recorded in net interest income
$158 $104 $(139)
(1)    Includes net interest settlements.
(2)    The net gain/(loss) on consolidated obligation discount notes in fair value hedging relationships and the impact of derivatives in those relationships on the Bank’s Statements of Income was de minimis for the three months ended March 31, 2024.
The following tables present the cumulative basis adjustments on hedged items designated as fair value hedges and the related amortized cost of the hedged items as of March 31, 2025, and December 31, 2024.
March 31, 2025
(In millions)AdvancesAFS SecuritiesConsolidated Obligation Bonds
Consolidated Obligation Discount Notes
Amortized cost of hedged asset/(liability)(1)
$17,683 $19,364 $(24,379)$(10,158)
Fair value hedging basis adjustments:
Active hedging relationships included in amortized cost$(117)$(879)$265 $— 
Discontinued hedging relationships included in amortized cost25 480 — — 
Total amount of fair value hedging basis adjustments$(92)$(399)$265 $— 
December 31, 2024
(In millions)AdvancesAFS SecuritiesConsolidated Obligation Bonds
Consolidated Discount Notes
Amortized cost of hedged asset/(liability)(1)
$24,880 $19,296 $(22,142)$(9,702)
Fair value hedging basis adjustments:
Active hedging relationships included in amortized cost$(230)$(1,191)$364 $(4)
Discontinued hedging relationships included in amortized cost32 512 — — 
Total amount of fair value hedging basis adjustments$(198)$(679)$364 $(4)
(1)Includes only the portion of amortized cost representing the hedged items in fair value hedging relationships.
The following table presents the components of net gain/(loss) on derivatives as presented in the Statements of Income for the three months ended March 31, 2025 and 2024.
Three Months Ended
 (In millions)March 31, 2025March 31, 2024
Derivatives not designated as hedging instrumentsGain/(Loss)Gain/(Loss)
Economic hedges:
Interest rate swaps$(24)$11 
Net interest settlements10 5 
Total net gain/(loss) related to derivatives not designated as hedging instruments(14)16 
Price alignment amount(1)
(1)(1)
Net gain/(loss) on derivatives$(15)$15 
(1)    This amount relates to derivatives for which variation margin on cleared derivatives is characterized as a daily settled contract.
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Federal Home Loan Bank of San Francisco
Notes to Financial Statements (continued)


Credit Risk. The Bank’s use of clearing agents and central counterparties helps mitigate credit risk exposure by employing standard valuation processes over initial and variation margin processes.
The Bank’s agreements for uncleared derivative transactions contain provisions that link the Bank’s credit rating to various rights and obligations. The aggregate fair value of all uncleared derivative instruments with credit risk-related contingent features that were in a net derivative liability position (before cash collateral and related accrued interest) at March 31, 2025, was $144 million, for which the Bank posted cash collateral of $140 million in the ordinary course of business.
Additional information related to credit risk from counterparties and uncleared derivative transactions margin rules for uncleared derivative transactions is included in “Item 8. Financial Statements and Supplementary Data – Note 13 – Derivatives and Hedging Activities” in the Bank’s 2024 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 March 31, 2025, and December 31, 2024.
March 31, 2025December 31, 2024
(In millions)Derivative AssetsDerivative LiabilitiesDerivative Assets Derivative Liabilities
Derivative instruments meeting netting requirements
Gross recognized amount
Uncleared$653 $369 $730 $452 
Cleared8 6 22 6 
Total gross recognized amount661 375 752 458 
Gross amount of netting adjustments and cash collateral
Uncleared(653)(358)(729)(444)
Cleared(6)(6)7 (6)
Total gross amounts of netting adjustments and cash collateral(659)(364)(722)(450)
Total derivative assets and total derivative liabilities$2 $11 $30 $8 
Net amount(1)
Uncleared$— $11 $1 $8 
Cleared2 — 29 — 
Total net amount$2 $11 $30 $8 
(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 March 31, 2025, and December 31, 2024, the Bank had additional net credit exposure of $537 million and $504 million, respectively, due to instances where non-cash collateral to a counterparty exceeded the Bank’s net derivative position.
Note 11 — 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. A description of the application of the fair-value hierarchy, valuation techniques, and significant inputs is disclosed in “Item 8. Financial Statement and Supplementary Data – Note 14 – Fair Value” in the Bank’s 2024 Form 10-K. There have been no material changes in the fair-value hierarchy classification of financial assets and liabilities, valuation techniques, or significant inputs during the three months ended March 31, 2025.
The following tables present the net carrying value or carrying value, as applicable, the estimated fair value, and the fair value hierarchy level of the Bank’s financial instruments at March 31, 2025, and December 31, 2024.
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Federal Home Loan Bank of San Francisco
Notes to Financial Statements (continued)


March 31, 2025
(In millions)
Carrying
Value(1)
Estimated Fair ValueLevel 1Level 2Level 3
Netting Adjustments and Cash Collateral(2)
Assets
Cash and due from banks$8 $8 $8 $— $— $— 
Interest-bearing deposits3,300 3,300 3,300 — — — 
Securities purchased under agreements to resell9,150 9,150 — 9,150 — — 
Federal funds sold4,685 4,685 — 4,685 — — 
AFS securities20,393 20,393 — 19,451 942 — 
HTM securities1,454 1,436 — 1,345 91 — 
Advances37,913 37,903 — 37,903 — — 
Mortgage loans held for portfolio680 570 — 570 — — 
Accrued interest receivable182 182 — 182 — — 
Derivative assets, net(2)
2 2 — 661 — (659)
Other assets(3)
17 17 17 — — — 
Liabilities
Deposits1,335 1,335 — 1,335 — — 
Consolidated obligations:
Bonds56,079 55,925 — 55,925 — — 
Discount notes12,668 12,667 — 12,667 — — 
Total consolidated obligations68,747 68,592 — 68,592 — — 
Mandatorily redeemable capital stock153 153 153 — — — 
Accrued interest payable354 354 — 354 — — 
Derivative liabilities, net(2)
11 11 — 375 — (364)
23
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Federal Home Loan Bank of San Francisco
Notes to Financial Statements (continued)


December 31, 2024
Carrying
Value(1)
Estimated Fair ValueLevel 1Level 2Level 3
Netting Adjustments and Cash Collateral(2)
Assets
Cash and due from banks$2 $2 $2 $— $— $— 
Interest-bearing deposits3,765 3,765 3,765 — — — 
Securities purchased under agreements to resell7,750 7,750 — 7,750 — — 
Federal funds sold1,645 1,645 — 1,645 — — 
AFS securities20,312 20,312 — 19,355 957 — 
HTM securities1,489 1,469 — 1,374 95 — 
Advances45,637 45,596 — 45,596 — — 
Mortgage loans held for portfolio693 576 — 576 — — 
Accrued interest receivable181 181 — 181 — — 
Derivative assets, net(2)
30 30 — 752 — (722)
Other assets(3)
17 17 17 — — — 
Liabilities
Deposits1,061 1,061 — 1,061 — — 
Consolidated obligations:
Bonds58,174 57,985 — 57,985 — — 
Discount notes14,378 14,376 — 14,376 — — 
Total consolidated obligations72,552 72,361 — 72,361 — — 
Mandatorily redeemable capital stock331 331 331 — — — 
Accrued interest payable412 412 — 412 — — 
Derivative liabilities, net(2)
8 8 — 458 — (450)
(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)    Includes publicly traded mutual funds held in a grantor trust.
For the periods presented, the Bank did not have any reclassifications for transfers in or out of level 3 of the fair value hierarchy. 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 14 – Fair Value” in the Bank’s 2024 Form 10-K. There have been no significant changes in these valuation methodologies and primary inputs during the three months ended March 31, 2025.
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 March 31, 2025, and December 31, 2024, by level within the fair value hierarchy.
24
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Federal Home Loan Bank of San Francisco
Notes to Financial Statements (continued)


March 31, 2025
Fair Value Measurement Using:
Netting Adjustments
 and Cash Collateral(1)
(In millions)Level 1Level 2Level 3Total
Recurring fair value measurements – Assets:
AFS securities:
U.S. Treasury obligations$— $6,453 $— $— $6,453 
State housing agency obligations
— 11 — — 11 
MBS:
GSEs – multifamily— 12,987 — — 12,987 
PLRMBS— — 942 — 942 
Subtotal AFS MBS— 12,987 942 — 13,929 
Total AFS securities— 19,451 942 — 20,393 
Advances(2)
— 5,539 — — 5,539 
Derivative assets, net: interest rate-related— 661 — (659)2 
Other assets17 — — — 17 
Total recurring fair value measurements – Assets$17 $25,651 $942 $(659)$25,951 
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)
$— $380 $— $— $380 
Derivative liabilities, net: interest rate-related— 375 — (364)11 
Total recurring fair value measurements – Liabilities$— $755 $— $(364)$391 
Nonrecurring fair value measurements – Assets:(4)
Impaired mortgage loans held for portfolio$— $— $1 $— $1 
Total nonrecurring fair value measurements – Assets$— $— $1 $— $1 
25
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Federal Home Loan Bank of San Francisco
Notes to Financial Statements (continued)


December 31, 2024
Fair Value Measurement Using:
Netting Adjustments
 and Cash Collateral(1)
(In millions)
Level 1
Level 2Level 3Total
Recurring fair value measurements – Assets:
AFS securities:
U.S. Treasury obligations$— $6,510 $— $— $6,510 
MBS:
GSEs – multifamily— 12,845 — — 12,845 
PLRMBS— — 957 — 957 
Subtotal AFS MBS— 12,845 957 — 13,802 
Total AFS securities— 19,355 957 — 20,312 
Advances(2)
— 5,286 — — 5,286 
Derivative assets, net: interest rate-related— 752 — (722)30 
Other assets17 — — — 17 
Total recurring fair value measurements – Assets$17 $25,393 $957 $(722)$25,645 
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)
$— $436 $— $— $436 
Derivative liabilities, net: interest rate-related— 458 — (450)8 
Total recurring fair value measurements – Liabilities$— $894 $— $(450)$444 
Nonrecurring fair value measurements – Assets:(4)
Impaired mortgage loans held for portfolio$— $— $1 $— $1 
Total nonrecurring fair value measurements – Assets$— $— $1 $— $1 
(1)Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed by the Bank, with the same clearing agents or counterparty.
(2)Represents advances recorded under the fair value option at March 31, 2025, and December 31, 2024.
(3)Represents consolidated obligation bonds recorded under the fair value option at March 31, 2025, and December 31, 2024.
(4)The fair value information presented is as of the date the fair value adjustment was recorded during the three months ended March 31, 2025, and the year ended December 31, 2024.
The following table presents a reconciliation of the Bank’s AFS PLRMBS that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three months ended March 31, 2025 and 2024.
Three Months Ended
(In millions)March 31, 2025March 31, 2024
Balance, beginning of the period$957 $1,059 
Total gain/(loss) realized and unrealized included in:
Interest income3 (2)
(Provision for)/reversal of credit losses(1)4 
Unrealized gain/(loss) included in AOCI2 (3)
Settlements(19)(30)
Balance, end of the period$942 $1,028 
Total amount of unrealized gain/(loss) for the period included in AOCI relating to assets held at the end of the period$2 $(3)
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$2 $2 
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Federal Home Loan Bank of San Francisco
Notes to Financial Statements (continued)


Fair Value Option. 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 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 March 31, 2025 and 2024:
Three Months Ended
(In millions)March 31, 2025March 31, 2024
Advances
$33 $(13)
Consolidated obligation bonds
(4)(1)
Total
$29 $(14)
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 months ended March 31, 2025 and 2024.

The following table presents the difference between the aggregate remaining contractual principal balance outstanding and aggregate fair value of advances and consolidated obligation bonds for which the Bank elected the fair value option at March 31, 2025, and December 31, 2024:
March 31, 2025December 31, 2024
(In millions)
Principal Balance
Fair ValueFair Value
Over/(Under)
Principal Balance		Principal BalanceFair ValueFair Value
Over/(Under)
Principal Balance
Advances(1)
$5,488 $5,539 $51 $5,269 $5,286 $17 
Consolidated obligation bonds390 380 (10)450 436 (14)
(1)    At March 31, 2025, and December 31, 2024, none of these advances were 90 days or more past due or had been placed on nonaccrual status.
Note 12 — 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 par value of the outstanding consolidated obligations of the FHLBanks was $1.2 trillion at March 31, 2025, and December 31, 2024.
For more information on the joint and several liability regulation, see “Item 8. Financial Statements and Supplementary Data – Note 15 – Commitments and Contingencies” in the Bank’s 2024 Form 10-K.
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Federal Home Loan Bank of San Francisco
Notes to Financial Statements (continued)


Off-balance sheet commitments as of March 31, 2025, and December 31, 2024, were as follows:
March 31, 2025December 31, 2024
(In millions)Expire Within
One Year		Expire After
One Year		TotalTotal
Standby letters of credit outstanding$10,139 $8,908 $19,047 $19,497 
Commitments to issue consolidated obligation bonds, par545 — 545 — 
Commitments to fund additional advances
— — — 5 
The value of the Bank’s obligations related to standby letters of credit is recorded in other liabilities and amounted to $55 million at March 31, 2025, and December 31, 2024. Standby letters of credit are fully collateralized at the time of issuance. Based on the Bank’s credit analyses of members’ financial condition and collateral requirements, the Bank deemed it unnecessary to record any additional liability for credit losses on the letters of credit outstanding or other off-balance sheet commitments as of March 31, 2025, and December 31, 2024. Advances funded under advance commitments are fully collateralized at the time of funding. For more information on the Bank’s standby letters of credit transactions, see “Item 8. Financial Statements and Supplementary Data – Note 15 – Commitments and Contingencies” in the Bank’s 2024 Form 10-K.
The Bank has pledged securities as collateral related to its cleared and uncleared derivatives. See Note 10 – Derivatives and Hedging Activities for additional information about the Bank’s pledged collateral and other credit risk-related contingent features.
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 13 — 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 and nonmember borrowers that have an officer or director serving on the Board.
(In millions)March 31, 2025December 31, 2024
Assets:
Advances$3,943 $5,713 
Mortgage loans held for portfolio69 70 
Accrued interest receivable4 9 
Liabilities:
Deposits$28 $16 
Capital:
Capital Stock$154 $190 
Three Months Ended
(In millions)March 31, 2025March 31, 2024
Interest Income:
Advances$37 $49 
Mortgage loans held for portfolio1 1 
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Federal Home Loan Bank of San Francisco
Notes to Financial Statements (continued)


All transactions with members, nonmembers, and their affiliates are entered into in the ordinary course of business. As of March 31, 2025, and December 31, 2024, 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 16 – Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks” in the Bank’s 2024 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 three months ended March 31, 2025 and 2024, the Bank extended overnight loans to other FHLBanks for $500 million and $10 million, respectively. During the three months ended March 31, 2025 and 2024, the Bank borrowed $500 million and $20 million, respectively, from other FHLBanks.
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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 downgrades 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 any government-sponsored enterprise (GSE) 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) 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;
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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, 2024 (2024 Form 10-K).
Quarterly Overview
Net income for the first quarter of 2025 was $94 million, a decrease of $30 million compared with the first quarter of 2024. The decrease was primarily attributable to a decrease in net interest income of $8 million, a decrease in other income of $16 million, and an increase in voluntary housing and community investment contributions of $6 million.
The $8 million decrease in net interest income was attributable to decreases in advance balances and yields on interest-earning assets, offset by lower costs on declining balances of consolidated obligations.
The $16 million decrease in other income was primarily driven by $30 million of other income 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 with no similar activity in 2025, partially offset by favorable net fair value movements in the Bank's financial instruments carried at fair value.
As of March 31, 2025, the Bank exceeded all regulatory capital requirements. The Bank exceeded its 4.0% regulatory capital requirement with a regulatory capital ratio of 9.1% at March 31, 2025, an increase from 8.9% at December 31, 2024. The Bank also exceeded its risk-based capital requirement of $1.2 billion with $7.1 billion in permanent capital.
On April 24, 2025, the Bank’s board of directors (Board) declared a quarterly cash dividend on the average capital stock outstanding during the first quarter of 2025 at an annualized rate of 8.75%. The Bank expects to pay the dividend on May 8, 2025.
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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)March 31,
2025		December 31,
2024		September 30,
2024		June 30,
2024		March 31,
2024
Selected Balance Sheet Items at Quarter End
Total Assets$77,993 $81,735 $83,270 $86,331 $88,026 
Advances37,913 45,637 49,473 54,735 56,912 
Mortgage Loans Held for Portfolio, Net680 693 707 724 742 
Investments(1)
38,982 34,961 32,587 30,383 29,896 
Consolidated Obligations:
Bonds56,079 58,174 62,745 54,925 64,405 
Discount Notes12,668 14,378 11,005 22,316 14,378 
Mandatorily Redeemable Capital Stock153 331 465 565 666 
Capital Stock —Class B —Putable2,443 2,458 2,416 2,449 2,392 
Unrestricted Retained Earnings3,707 3,668 3,631 3,581 3,546 
Restricted Retained Earnings815 815 815 815 815 
Accumulated Other Comprehensive Income/(Loss)
82 63 47 56 27 
Total Capital7,047 7,004 6,909 6,901 6,780 
Selected Operating Results for the Quarter
Net Interest Income$142 $148 $146 $136 $150 
Provision for/(Reversal of) Credit Losses1 5 (4)3 (4)
Other Income/(Loss)20 15 30 12 36 
Other Expense56 57 65 47 50 
Affordable Housing Program (AHP) Assessment11 11 13 12 16 
Net Income/(Loss)$94 $90 $102 $86 $124 
Selected Other Data for the Quarter
Net Interest Margin(2)
0.76 %0.72 %0.70 %0.65 %0.69 %
Return on Average Assets0.50 0.43 0.48 0.41 0.56 
Return on Average Equity5.37 5.15 5.88 5.10 7.49 
Annualized Dividend Rate8.75 8.75 8.75 8.75 8.75 
Dividend Payout Ratio(3)
62.72 61.88 52.46 43.93 42.53 
Average Equity to Average Assets Ratio9.25 8.36 8.21 8.01 7.52 
Selected Other Data at Quarter End
Regulatory Capital Ratio(4)
9.13 8.90 8.80 8.58 8.43 
Duration Gap (in months)(0.4)1.2 1.1 1.1 1.1 
(1)Investments consist of interest-bearing deposits, securities purchased under agreements to resell, federal funds sold, trading securities, available-for-sale securities, and held-to-maturity securities.
(2)Net interest margin is calculated as net interest income (annualized) divided by average interest-earning assets.
(3)This ratio is calculated as dividends per share divided by net income per share.
(4)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.

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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 table that follows presents the average balances of interest-earning asset categories and the sources that funded those interest-earning assets (liabilities and capital) for the three months ended March 31, 2025 and 2024, together with the related interest income and expense. This table also presents the average rates on total interest-earning assets and the average costs of total funding sources.
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First Quarter of 2025 Compared to First Quarter of 2024
Average Balance Sheets
Three Months Ended
 March 31, 2025March 31, 2024
(Dollars in millions)Average
Balance		Interest
Income/
Expense		Average
Rate		Average
Balance		Interest
Income/
Expense		Average
Rate
Assets
Interest-earning assets:
Interest-bearing deposits$4,022 $44 4.42 %$3,934 $53 5.45 %
Securities purchased under agreements to resell1,464 16 4.38 1,872 25 5.42 
Federal funds sold5,423 59 4.39 5,536 75 5.42 
Available-for-sale (AFS) securities:(1)
MBS(1)(2)
13,732 195 5.75 13,457 219 6.54 
U.S. Treasury obligations
6,429 73 4.65 4,527 64 5.69 
Held-to-maturity (HTM) securities: MBS1,465 18 4.99 1,790 25 5.59 
Advances(3)
42,489 473 4.51 55,831 759 5.47 
Mortgage loans held for portfolio(4)
687 5 3.10 749 6 3.07 
Loans to other FHLBanks6 — 4.39 — — — 
Total interest-earning assets75,717 883 4.73 87,696 1,226 5.62 
Other assets(5)
753 — 649 — 
Total Assets$76,470 $883 $88,345 $1,226 
Liabilities and Capital
Interest-bearing liabilities:
Consolidated obligations:
Bonds
$55,280 $594 4.36 %$64,207 $850 5.33 %
Discount notes
11,733 126 4.34 14,464 193 5.35 
Deposits and other borrowings
1,519 16 4.30 1,267 17 5.43 
Mandatorily redeemable capital stock256 5 7.15 685 16 9.48 
Borrowings from other FHLBanks6 — 4.39 — — — 
Total interest-bearing liabilities68,794 741 4.37 80,623 1,076 5.37 
Other liabilities(5)
605 — 1,078 — 
Total Liabilities69,399 741 81,701 1,076 
Total Capital7,071 — 6,644 — 
Total Liabilities and Capital$76,470 $741 $88,345 $1,076 
Net Interest Income$142 $150 
Net Interest Spread(6)
0.36 %0.25 %
Net Interest Margin(7)
0.76 %0.69 %
Interest-earning Assets/Interest-bearing Liabilities110.06 %108.77 %
(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 included net prepayment fees on AFS MBS of $5 million and $1 million for the three months ended March 31, 2025 and 2024, respectively.
(3)Interest income includes net prepayment fees on advances of $2 million for the three months ended March 31, 2025 and 2024.
(4)Nonperforming mortgage loans are included in average balances used to determine average rate.
(5)Includes forward settling transactions and valuation adjustments for certain cash items received/(paid).
(6)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.
(7)Net interest margin is calculated as net interest income (annualized) divided by average interest-earning assets.
Net interest income in the first quarter of 2025 was $142 million, a 5% decrease from $150 million in the first quarter of 2024. The average balance of total interest-earning assets in the first quarter of 2025 was $75.7 billion, a 14% decrease from $87.7 billion in the first quarter of 2024. The following table details the changes in interest income and interest expense for the first quarter of 2025 compared to the first quarter of 2024. Changes in both volume and interest rates influence changes in net interest income, net interest spread, and net interest margin.
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Change in Net Interest Income: Rate/Volume Analysis
Three Months Ended March 31, 2025, Compared to Three Months Ended March 31, 2024
 Increase/
(Decrease)
Attributable to Changes in(1)
(In millions)Average VolumeAverage Rate
Interest income:
Interest-bearing deposits$(9)$1 $(10)
Securities purchased under agreements to resell(9)(5)(4)
Federal funds sold(16)(2)(14)
AFS securities:
MBS(2)
(24)4 (28)
U.S. Treasury obligations(2)
9 22 (13)
HTM securities: MBS(7)(4)(3)
Advances(2)
(286)(165)(121)
Mortgage loans held for portfolio(1)(1)— 
Total interest income
(343)(150)(193)
Interest expense:
Consolidated obligations:
Bonds(2)
(256)(111)(145)
Discount notes(2)
(67)(34)(33)
Deposits and other borrowings
(1)3 (4)
Mandatorily redeemable capital stock(11)(8)(3)
Total interest expense
(335)(150)(185)
Net interest income$(8)$— $(8)
(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 76 basis points for the first quarter of 2025, 7 basis points higher than the net interest margin for the first quarter of 2024, which was 69 basis points. The increase in net interest margin is primarily attributable to an increase in the average balances of AFS securities that offered higher yields relative to other assets of $2.2 billion from $18.0 billion during the three months ended March 31, 2024, to $20.2 billion during the three months ended March 31, 2025.
Member demand for wholesale funding from the Bank can vary greatly depending on a number of factors, including economic and market conditions affecting the liquidity or solvency of the Bank’s members and potential members, competition from other wholesale funding sources, member deposit inflows and outflows and changes in liquidity, the activity level of the primary and secondary mortgage markets, and strategic decisions made by individual member institutions, including those related to business combinations. Accordingly, Bank asset levels and operating results may vary significantly from period to period. Events affecting the financial services industry contributed to the liquidation or receivership of some of the Bank’s larger borrowers during 2023. The loss of Bank members through liquidation, receivership, or acquisition by nonmember institutions, especially involving some of the Bank’s larger borrowers, has had the effect of reducing aggregate member demand for wholesale funding, as nonmembers (including former members and member successors) are not eligible to borrow new advances or renew existing advances as they mature. This has resulted in lower levels of advance balances and a reduction in total interest income earned from advances. As a result of the inability of nonmembers to seek new advances from the Bank, the Bank’s level of advances and the associated net interest income in the future will be determined by many factors including the ability of existing Bank members to generate new business, seek new advances, or pursue consolidation opportunities within the banking industry. The maturity or prepayment of advances by nonmember borrowers is likely to have an adverse impact over time on the Bank’s financial performance and may reduce the Bank’s ability to grow advances in the future and impact the Bank’s long-term strategic plans and operations.
See “Item 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
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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.
The following table presents the effect of derivatives and hedging activities on net interest income. 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.
Three Months Ended
March 31, 2025
(In millions)AdvancesAFS SecuritiesConsolidated Obligation Bonds
Consolidated Obligation Discount Notes
Total
(Amortization)/accretion of hedging activities$(5)$(25)$— $— $(30)
Net gain/(loss) on derivatives and hedged items— (2)— — (2)
Net interest settlements on derivatives46 89 (56)2 81 
Price alignment amount(1)
(3)(5)— — (8)
Total effect on net interest income
$38 $57 $(56)$2 $41 
Three Months Ended
March 31, 2024
(In millions)AdvancesAFS SecuritiesConsolidated Obligation BondsTotal
(Amortization)/accretion of hedging activities$(6)$(25)$— $(31)
Net gain/(loss) on derivatives and hedged items2 1 — 3 
Net interest settlements on derivatives172 136 (138)170 
Price alignment amount(1)
(10)(8)(1)(19)
Total effect on net interest income
$158 $104 $(139)$123 
(1)This amount relates to derivatives for which variation margin on cleared derivatives is characterized as a daily settled contract.
Other Income/(Loss). The following table presents the components of “Other Income/(Loss)” for the three months ended March 31, 2025 and 2024.
Three Months Ended
(In millions)March 31, 2025March 31, 2024
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option$29 $(14)
Net gain/(loss) on derivatives(15)15 
Standby letters of credit fees5 5 
Termination of long-term funding arrangement— 30 
Other, net
1 — 
Total Other Income/(Loss)$20 $36 
Net Gain/(Loss) on Advances and Consolidated Obligation Bonds Held Under Fair Value Option – The favorable change in net gains on advances and consolidated obligation bonds held under the fair value option for the three months ended March 31, 2025, compared to the same period in 2024, was primarily due to the decline in interest rates and the Bank’s higher balance of advances relative to consolidated obligations held under the fair value option.
Additional information about advances and consolidated obligation bonds held under the fair value option is provided in “Item 1. Financial Statements – Note 11 – Fair Value.”
Net Gain/(Loss) on Derivatives – Accounting guidance requires the Bank 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. 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” in the first quarter of 2025 and 2024.
Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives
Three Months Ended March 31, 2025, Compared to Three Months Ended March 31, 2024
Three Months Ended
March 31, 2025March 31, 2024
(In millions)

Hedged Item
Gain/(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$(32)$11 $(21)$18 $12 $30 
Not elected for fair value option(1)6 5 (6)7 1 
Consolidated obligation bonds:
Elected for fair value option4 (3)1 — (7)(7)
Not elected for fair value option6 (4)2 (2)(7)(9)
Consolidated obligation discount notes:
Not elected for fair value option(1)— (1)1 — 1 
Price alignment amount(1)
(1)— (1)(1)— (1)
Total$(25)$10 $(15)$10 $5 $15 
(1)This amount relates to derivatives for which variation margin on cleared derivatives is characterized as a daily settled contract.
During the first quarter of 2025, net losses on derivatives totaled $15 million compared to net gains of $15 million in the first quarter of 2024. These amounts included interest income of $10 million and $5 million resulting from net settlements on derivative instruments used in economic hedges in the first quarter of 2025 and 2024, respectively. Excluding the impact of interest income or expense from net settlements on derivative instruments used in economic hedges, the 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 10 – Derivatives and Hedging Activities.”
Termination of Long-Term Funding Arrangement – In connection with certain litigation involving its private-label residential mortgage-backed securities (PLRMBS), the Bank entered into a long-term funding arrangement in 2017 with a member, under which the member agreed to obtain or maintain certain advances from the Bank. During the three months ended March 31, 2024, the Bank terminated the long-term funding arrangement, in accordance with its terms, and recognized $30 million of other income.
Other Expense. During the first quarter of 2025, other expenses totaled $56 million, compared to $50 million in the first quarter of 2024. The $6 million increase in other expense was primarily attributable to the Bank’s increase in charitable "mission-oriented" contributions mainly to fund more than $5 million in support of infrastructure and affordable housing initiatives benefiting individuals and families across the Bank's three-state district, as well as $2 million dedicated to wildfire relief and recovery efforts in Southern California, in collaboration with the Bank's member financial institutions. These charitable contributions, which were in addition to the Bank’s statutory Affordable Housing Program (AHP) assessment, resulted in the increased voluntary contributions expense and, as a consequence, decreased the Bank’s net income and retained earnings for the first quarter of 2025. The Bank continues to evaluate funding of programs meeting community needs for affordable housing, funding for businesses, and community development, and may change the levels of voluntary contributions in the future, which may further impact the Bank’s net income and retained earnings. For more information on the Bank’s charitable contributions, see “Item 1. Business – Voluntary Programs” in the Bank’s 2024 Form 10-K.
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Affordable Housing Program. The Bank’s total AHP assessments equaled $11 million and $16 million for the three months ended March 31, 2025 and 2024, respectively, with the decrease attributable to lower net earnings. For more information on the Bank’s AHP, see “Item 1. Business – Affordable Housing Program” in the Bank’s 2024 Form 10-K.
Return on Average Equity. Return on average equity (ROE) was 5.37% (annualized) for the first quarter of 2025, compared to 7.49% (annualized) for the first quarter of 2024. The decrease was driven by a decrease in net income for the first quarter of 2025 and an increase in average equity from $6.6 billion in the first quarter of 2024 to $7.1 billion in the first quarter of 2025. The increase in average equity was driven by an increase in the averages of unrestricted retained earnings, unrealized gains on AFS agency MBS, and capital stock outstanding.
Dividends and Retained Earnings. In the first quarter of 2025, the Bank paid dividends at an annualized rate of 8.75%, totaling $63 million, including $54 million in dividends on capital stock and $9 million in dividends on mandatorily redeemable capital stock. In the first 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.
For more information on the Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework, 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 2024 Form 10-K.
Financial Condition
Total assets were $78.0 billion at March 31, 2025, compared to $81.7 billion at December 31, 2024. Advances decreased by $7.7 billion, or 17%, to $37.9 billion at March 31, 2025, from $45.6 billion at December 31, 2024. Average advances were $42.5 billion for the first three months of 2025, a 24% decrease from $55.8 billion for the first three months of 2024. Advances declined primarily due to maturities of advances held by nonmembers in connection with certain Bank member acquisitions that occurred in 2023. Investments at March 31, 2025, were $39.0 billion, a net increase of $4.0 billion from $35.0 billion at December 31, 2024, attributable to increases in federal funds sold of $3.0 billion and securities purchased under agreements to resell of $1.4 billion.
Advances outstanding at March 31, 2025, included net unrealized losses of $41 million, of which $92 million represented unrealized losses on hedged advances and $51 million represented unrealized gains on economically hedged advances that are carried at fair value in accordance with the fair value option. Advances outstanding at December 31, 2024, included net unrealized losses of $181 million, of which $198 million represented unrealized losses on hedged advances and $17 million represented unrealized gains 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 advances from December 31, 2024, to March 31, 2025, 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 and volume of the advances during the period.
Total liabilities were $70.9 billion at March 31, 2025, a decrease of $3.8 billion from $74.7 billion at December 31, 2024, primarily reflecting a $3.9 billion decrease in consolidated obligations outstanding to $68.7 billion at March 31, 2025, from $72.6 billion at December 31, 2024. Average consolidated obligations were $67.0 billion for the first quarter of 2025 and $78.7 billion for the first quarter of 2024.
Consolidated obligations outstanding at March 31, 2025, included net unrealized gains of $265 million on hedged consolidated obligation bonds and unrealized gains of $10 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, 2024, included net unrealized gains of $363 million on hedged consolidated obligation bonds and unrealized gains of $14 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 consolidated obligation
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bonds from December 31, 2024, to March 31, 2025, was primarily attributable to the effects of changes in market interest rates, interest rate spreads, interest rate volatility, and other market factors relative to consolidated obligation bond 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 March 31, 2025, 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 March 31, 2025, and December 31, 2024.
For further information and discussion of the Bank’s joint and several liability for FHLBank consolidated obligations, see “Item 2, Management’s Discussion and Analysis of Financial Condition and Results of Operations – Financial Condition” and “Item 1. Financial Statements – Note 12 – Commitments and Contingencies.”
The average balances of interest-bearing demand and overnight deposits were $1.0 billion and $819 million, and the weighted average interest rates paid on interest-bearing demand and overnight deposits were 4.16% and 5.21% for the first quarter of 2025 and 2024, respectively. All Bank deposits are uninsured.
Accumulated other comprehensive income was $82 million at March 31, 2025, an increase of $19 million compared to $63 million at December 31, 2024, 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 2025, mostly impacting the Bank’s agency MBS portfolio.
Advances-Related Products. The advances-related products consist of advances and other credit products. The following table presents the advances portfolio by product type at March 31, 2025, and December 31, 2024.
March 31, 2025December 31, 2024
(Dollars in millions)Par ValuePercentage of Total Par ValuePar ValuePercentage of Total Par Value
Adjustable – Secured Overnight Financing
Rate (SOFR)
$3,705 10 %4,455 10 %
Adjustable – SOFR, callable at borrower’s option2,600 7 2,400 5 
Subtotal adjustable rate advances6,305 17 6,855 15 
Fixed5,745 15 5,711 12 
Fixed – amortizing29 — 33 — 
Fixed – with PPS(1)
119 — 142 — 
Fixed – with FPS(1)
17,134 45 24,563 54 
Fixed – callable at borrower’s option with FPS(1)
275 1 310 1 
Fixed – putable at Bank’s option with FPS(1)
4,887 13 4,560 10 
Subtotal fixed rate advances28,189 74 35,319 77 
Daily variable rate3,460 9 3,644 8 
Total par value$37,954 100 %$45,818 100 %
(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 Products. The mortgage-related products consist of MBS investments and mortgage loans acquired through the Mortgage Partnership Finance® (MPF®) Program (“Mortgage Partnership Finance” and “MPF” are registered trademarks of the FHLBank of Chicago).
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MBS Investments – The Bank’s MBS portfolio was $15.4 billion and $15.3 billion at March 31, 2025, and December 31, 2024, respectively. During the first three months of 2025, the Bank’s MBS portfolio increased primarily because of a $247 million increase in valuation adjustments for hedging activities and a $21 million increase in the fair values of MBS investments classified as AFS, partially offset by $183 million in principal repayments.
Mortgage Loans – Mortgage loan balances were $680 million at March 31, 2025, a decrease of $13 million from $693 million at December 31, 2024. Average mortgage loans were $687 million for the first quarter of 2025, a decrease of $62 million from $749 million for the first quarter of 2024.
For more information on the Bank’s management of interest rate risk and market risk related to mortgage-related 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 balance 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 which is described in “Item 1. Business – Funding Sources” in the Bank’s 2024 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 seeks to maintain the liquidity necessary to repay maturing consolidated obligations for which it is the primary obligor, meet other obligations and commitments, meet expected and unexpected member credit demands, and may be used for investment opportunities. The Bank monitors its financial position in order to meet these objectives. For information related to the Bank’s liquidity and contingency funding plans, including management of operational, refinancing, and contingent risks, see “Item 7. Management’s Discussion and Analysis of Results of Operations and Financial Condition – Risk Management – Liquidity Risk” in the Bank’s 2024 Form 10-K.
As of March 31, 2025, and December 31, 2024, the Bank held total sources of funds in an amount that would have allowed the Bank to meet its liquidity needs and renew maturing advances without issuing new consolidated obligations for over 10 days, in accordance with the Finance Agency’s guidance. In addition, the Bank’s funding gap positions as of March 31, 2025, and December 31, 2024, were within the tolerance levels provided by the Finance Agency’s guidelines. At March 31, 2025, the Bank had $545 million in commitments to issue consolidated obligations. The Bank had no commitments to issue consolidated obligations at December 31, 2024.
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 2024 Form 10-K.
In addition, in the ordinary course of business, the Bank engages in financial transactions that, in accordance with 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
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as advances made by the Bank. At March 31, 2025, and December 31, 2024, the Bank had $19.0 billion and $19.5 billion in standby letters of credit outstanding, respectively. The Bank had no commitments to fund advances at March 31, 2025, compared to $5 million in commitments to fund advances at December 31, 2024.
For additional information, see “Item 8. Financial Statements and Supplementary Data – Note 12 – Commitments and Contingencies.”
Capital
There have been no significant changes to the provisions of the Bank’s capital plan since the Bank’s 2024 Form 10-K. As noted in the 10-K, the Bank’s capital plan was amended, but no determination has been made regarding the establishment of subclasses of stock at this time and without further action by the Board, there is no impact on member stock holdings, dividend rates or stock purchase requirements resulting from the amendments to the capital plan.
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 Board has adopted a Risk Governance Policy that outlines the key roles and responsibilities of the Board and management and sets forth how the Bank is organized to achieve its risk management objectives, including the implementation of the Bank’s strategic objectives, risk management strategies, corporate governance and standards of conduct. The policy also establishes 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 2024 Form 10-K.
Credit Ratings. There have been no changes to the Bank’s credit ratings since those disclosed in the Bank’s 2024 Form 10-K.
Advances. The Bank manages the credit risk of advances and other credit products by setting the credit and collateral terms available to individual members and housing associates based on their creditworthiness and on the quality and value of the assets they pledge as collateral. 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 2024 Form 10-K.
The Bank has a high concentration of advances with certain institutions and their affiliates. The percentage of the Bank’s advances outstanding to its top 10 borrowers and their affiliates decreased to 59%, or $22.4 billion, at March 31, 2025, compared to 64%, or $29.3 billion, at December 31, 2024.
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Several of the Bank’s top 10 advance borrowers and their affiliates at the end of 2022 were involved in voluntary liquidation, or Federal Deposit Insurance Corporation (FDIC) receivership during 2023, or have been acquired by nonmember institutions. As of March 31, 2025 and December 31, 2024, nonmembers accounted for $5.5 billion, or 15%, and $12.1 billion, or 27%, of total advances outstanding, respectively. Nonmembers accounted for $86 million, or 18%, of the Bank’s interest income from advances for the three months ended March 31, 2025. 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 from the Bank, the Bank’s level of advances and the associated net interest income in the future will be subject to a number of factors including, but not limited to, a member’s ability to generate new business, seek new advances, or pursue consolidation opportunities within the banking industry, and the economy in general. For further information, see “Item 1. Financial Statements – Note 4 – Advances – Concentration Risk.”
The following tables present a summary of the status of the credit outstanding and overall collateral borrowing capacity of the Bank’s borrowers as of March 31, 2025, and December 31, 2024.
Borrower Credit Outstanding and Collateral Borrowing Capacity
by Unused Borrowing Capacity
March 31, 2025
(Dollars in millions)
Unused Borrowing Capacity
Number of Borrowers with Credit Outstanding
Credit
Outstanding(1)
Collateral
Borrowing
Capacity(2)
0% – 10%8 $5,457 $5,547 
11% – 25%7 703 889 
26% – 50%21 13,309 21,396 
More than 50%163 37,570 179,320 
Total199 $57,039 $207,152 
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 
Total201 $65,354 $190,554 
(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 Bank’s credit and collateral policies, its credit analysis of borrowers’ financial condition and the collateral 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 as of March 31, 2025. The Bank has never experienced any credit losses on advances. For information related to the Bank’s collateral requirements and loan pledge practices, including specific identification and delivery criteria, see “Item 7. Management’s Discussion and Analysis of Results of Operations and Financial Condition – Risk Management – Credit Risk” in the Bank’s 2024 Form 10-K.
As of March 31, 2025, of the loan collateral pledged to the Bank, 17% was pledged by 23 institutions by specific identification, 46% was pledged by 118 institutions under a blanket lien with detailed reporting, and 37% was pledged by 135 institutions under a blanket lien with summary reporting. For each institution that pledges loan
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collateral, the Bank conducts loan collateral field reviews on a one-, two-, or three-year cycle, depending on the risk profile of the institution and the types of collateral pledged.
As of March 31, 2025, 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, 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 institutions that pledge under a blanket lien with detailed reporting because the detailed loan information allows the Bank to assess the value of the collateral more precisely and because additional collateral is pledged under the blanket lien that may not receive borrowing capacity but may be liquidated to repay advances in the event of default. The Bank may review and change the maximum borrowing capacity for any type of loan collateral at any time.
The following table presents the mortgage loan collateral pledged at March 31, 2025, and December 31, 2024.
Composition of Loan Collateral Pledged
(In millions)March 31, 2025December 31, 2024
Loan TypeUnpaid Principal
Balance		Borrowing
Capacity		Unpaid Principal
Balance		Borrowing
Capacity
First lien residential mortgage loans$143,462 $97,549 $130,538 $89,568 
Second lien residential mortgage loans and home equity lines of credit14,810 7,098 13,183 6,421 
Multifamily mortgage loans35,684 22,885 35,095 22,245 
Commercial mortgage loans78,899 50,206 71,907 45,632 
Loan participations(1)
1,261 438 963 343 
Small business, small farm, and small agribusiness loans1,452 363 1,443 356 
Total$275,568 $178,539 $253,129 $164,565 
(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 less than or equal to 660 at origination, or if the original FICO score is not available, as loans with a current borrower FICO score of less than or equal to 660. At March 31, 2025, and December 31, 2024, the unpaid principal balance of these loans totaled $5.5 billion. 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. At March 31, 2025, and December 31, 2024, the borrowing capacity of these loans totaled $3.8 billion and $3.9 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 2024 Form 10-K.
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The following table presents the Bank’s investment credit exposure at March 31, 2025, based on the lowest of the long-term credit ratings provided by Moody’s, S&P, or Fitch Ratings (Fitch).
Carrying Value
(In millions)
Credit Rating(1)
Investment TypeAAAAAABBBBelow Investment GradeUnratedTotal
U.S. obligations – Treasury securities$— $6,453 $— $— $— $— $6,453 
State housing agency obligations
— 11 — — — — 11 
MBS:
Other U.S. obligations – single-family— 25 — — — — 25 
MBS – GSEs:
GSEs – single-family(2)
4 463 2 — 1 — 470 
GSEs – multifamily— 13,850 — — — — 13,850 
Total MBS – GSEs4 14,313 2 — 1 — 14,320 
PLRMBS— 13 21 28 503 473 1,038 
Total MBS4 14,351 23 28 504 473 15,383 
Total securities4 20,815 23 28 504 473 21,847 
Interest-bearing deposits— 409 2,891 — — — 3,300 
Securities purchased under agreements to resell(3)
— 6,000 900 — — 2,250 9,150 
Federal funds sold(4)
— 2,045 2,640 — — — 4,685 
Total investments$4 $29,269 $6,454 $28 $504 $2,723 $38,982 
(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 below investment grade at March 31, 2025, because of extraordinary expenses incurred during bankruptcy of the security's 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 March 31, 2025, and December 31, 2024.
 
Carrying Value(1)
(In millions)March 31, 2025December 31, 2024
Interest-bearing deposits$3,300 $3,765 
Federal funds sold4,685 1,645 
Total$7,985 $5,410 
(1)Excludes unsecured investment credit exposure to U.S. government agencies and instrumentalities, government-sponsored enterprises, and supranational entities and does not include related accrued interest as of March 31, 2025, and December 31, 2024.
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. This table does not reflect the foreign sovereign government’s credit rating. At March 31, 2025, 59% of the Bank’s total unsecured investments were to U.S. branches and agency offices of foreign commercial banks. At March 31, 2025, all of the unsecured investments held by the Bank had overnight maturities.
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Carrying Value(1)
(In millions)
Credit Rating(2)
Domicile of CounterpartyAAATotal
Domestic$409 $2,541 $2,950 
U.S. subsidiaries of foreign commercial banks— 350 350 
Total domestic and U.S. subsidiaries of foreign commercial banks409 2,891 3,300 
U.S. branches and agency offices of foreign commercial banks:
Australia495 — 495 
Canada250 900 1,150 
Finland900 — 900 
France— 150 150 
Germany— 690 690 
Netherlands— 900 900 
Singapore100 — 100 
Sweden300 — 300 
Total U.S. branches and agency offices of foreign commercial banks2,045 2,640 4,685 
Total unsecured credit exposure$2,454 $5,531 $7,985 
(1)Excludes unsecured investment credit exposure to U.S. government agencies and instrumentalities, government-sponsored enterprises, and supranational entities and does not include related accrued interest as of March 31, 2025.
(2)Does not reflect changes in ratings, outlook, or watch status occurring after March 31, 2025. 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.
The Bank’s MBS investments include PLRMBS 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 March 31, 2025, the Bank’s MBS portfolio was 221% 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.
As of March 31, 2025, the Bank’s investment in MBS had gross unrealized losses totaling $43 million, $25 million of which were related to PLRMBS. These gross unrealized losses related to PLRMBS were primarily attributable to 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. government is sufficient to protect the Bank from losses. As a result, the Bank determined that, as of March 31, 2025, 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. Interest rate exchange agreements may be either uncleared or cleared at a clearing house.
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Uncleared Derivatives – The Bank has adopted credit policies and exposure limits for uncleared derivatives counterparty credit exposure. The Bank does not anticipate any credit losses on its uncleared derivative transactions with counterparties as of March 31, 2025. Additional information related to the Bank’s uncleared derivative transaction risk mitigation activities and related uncleared margin rules are included in “Item 8. Financial Statements and Supplementary Data – Note 13 – Derivatives and Hedging Activities” in the Bank’s 2024 Form 10-K.
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. Based on the master netting arrangements, its credit analyses, and the margin requirements in place with each counterparty, the Bank does not expect to incur any credit losses on its derivative agreements. For information related to the Bank’s credit risk exposure on cleared derivative instruments, including margining practices and counterparty risk management, see “Item 7. Management’s Discussion and Analysis of Results of Operations and Financial Condition – Risk Management – Credit Risk” in the Bank’s 2024 Form 10-K.
The following table presents the Bank’s credit exposure to its derivative dealer counterparties at March 31, 2025.
(In millions)
Counterparty Credit Rating(1)
Notional AmountNet Fair Value of Derivatives Before Collateral
Non-cash Collateral Pledged
to/ (from) Counterparty
Net Credit
Exposure to Counterparties
Asset positions with credit exposure:
Cleared derivatives(2)
$48,819 $2 $537 $539 
Total derivative positions with credit exposure to nonmember counterparties48,819 $2 $537 $539 
Derivative positions without credit exposure32,889 
Total notional$81,708 
(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.
Critical Accounting Estimates
The preparation of financial statements in accordance with 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 2024 Form 10-K, the Bank identified accounting for derivatives and hedging activities as a critical accounting estimate. There have been no significant changes in the judgments and assumptions made during the first three months of 2025 in applying the Bank’s critical accounting estimate. 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 Estimates” and “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2024 Form 10-K and in “Item 8. Financial Statements and Supplementary Data – Note 11 – 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.

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Legislative and Regulatory Developments
The FHLBanks are subject to various legal and regulatory requirements and priorities. Certain actions by the current federal executive administration are changing the regulatory environment. Changes in the regulatory environment, including regulatory priorities and areas of focus such as deregulation, have affected, and likely will continue to affect, certain aspects of the FHLBanks’ business operations, and could have impacts on the FHLBanks’ results of operations and reputation. For example, on January 20, 2025, the federal executive administration ordered all executive departments and agencies to, among other things, not propose or issue any rule until a department or agency head appointed or designated by the president reviews and approves the rule.
Beginning in March 2025, the Finance Agency has rescinded several advisory bulletins (ABs) applicable to the FHLBanks, including the ABs which had set out expectations related to (i) fair lending and fair housing compliance, (ii) unfair or deceptive acts or practices compliance, (iii) climate-related risk management, (iv) diversity and inclusion examination ratings, (v) board diversity and (vi) board diversity data collection.
Considering the changes in the regulatory environment, there is uncertainty with respect to the ultimate result of future regulatory actions and their ultimate impact on the Bank and the FHLBank System. For further discussion of related risks, see “Item 1A. – Risk Factors – Regulatory Risks” and “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Legislative and Regulatory Developments” in the Bank’s 2024 Form 10-K.
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.
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 (Board) establishes market risk limits and market risk measurement standards at the product level. Additional guidelines approved by the Bank’s Enterprise Risk Committee apply to the Bank’s advances-related products and mortgage-related products. These guidelines provide limits that are monitored at the product level and are consistent with the Bank’s Risk Appetite Framework. Market risk is managed for each product regularly. Compliance with Bank limits and guidelines is reviewed by the Board on a regular basis, along with a corrective action plan if applicable.
Market Value of Capital Sensitivity – The Bank uses market value of capital sensitivity (the interest rate sensitivity of the net fair value of all assets, liabilities, and interest rate exchange agreements) as an important measure of the Bank’s exposure to changes in interest rates.
The Bank’s market value of capital sensitivity 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) and rates that are 200 basis points above or below the base is no worse than a -2.75% change in the estimated market value of capital. In the case where a market risk sensitivity compliance metric cannot be estimated with a parallel shift in
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interest rates because of prevailing low interest rates, the sensitivity metric is not reported. The Bank’s measured market value of capital sensitivity was within the limits as of March 31, 2025.
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 valuation methods, discounting curves, 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 March 31, 2025, and December 31, 2024.
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, 2025December 31, 2024
 +200 basis-point change
+0.5%–2.4%
 +100 basis-point change
+0.3–1.2
 –100 basis-point change(2)
-0.2+1.2
 –200 basis-point change(2)
-0.1+2.3
(1)Instantaneous change from actual rates at dates indicated.
(2)Interest rates for each maturity are limited to non-negative rates.
The Bank’s estimates of the sensitivity of the market value of capital to changes in interest rates as of March 31, 2025, have decreased as compared to the estimates as of December 31, 2024. The driver for the change is the implementation of a third-party prepayment model for the Bank’s agency multifamily MBS. Compared to December 31, 2024, interest rates as of March 31, 2025, have increased 5 basis points for the one-month Treasury bill, decreased 41 basis points for the five-year Treasury note, and decreased 33 basis points for the 10-year Treasury note.
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 federal 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 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 279% as of March 31, 2025.
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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 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) and reflects the extent to which estimated maturity and repricing cash flows for assets and liabilities are matched. The Bank monitors the duration gap analysis and does not have a risk limit. The driver for the change in the duration gap is due to the implementation of a third-party prepayment model for the Bank’s agency multifamily MBS.
At March 31, 2025, and December 31, 2024, the Bank’s assets durations exceeded its liabilities durations, as shown in the following table.
Duration Gap Analysis
 March 31, 2025December 31, 2024
Amount
(In millions)
Duration Gap(1)
(In months)
Amount
(In millions)
Duration Gap(1)
(In months)
Assets$77,993 0.6 $81,735 2.1 
Liabilities70,946 1.0 74,731 0.9 
Net$7,047 (0.4)$7,004 1.2 
(1)Duration gap values include the impact of interest rate exchange agreements.
The Bank manages the performance and interest rate risks of the advances-related products and mortgage-related products within prescribed guidelines and policy limits.
Advances-Related Products – Interest rate risk arises from advances-related products 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 with terms to offset the advance. The interest rate swap 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 Products – The Bank’s mortgage assets include MBS, most of which are classified as HTM or AFS, and mortgage loans held for portfolio purchased under the MPF Program. The Bank is exposed to interest rate risk from mortgage-related products 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.
The Bank manages the interest rate risk and market risk of the mortgage-related products through selected funding and hedging strategies. The total carrying value of MBS and mortgage loans at March 31, 2025, was $16.1 billion, including $15.4 billion in MBS and $681 million in mortgage loans. The total carrying value of MBS and mortgage loans at December 31, 2024, was $16.0 billion, including $15.3 billion in MBS and $694 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 $15.0 billion, or 93%, of MBS and mortgage loans at March 31, 2025, and $14.9 billion, or 93%, of MBS and mortgage loans at December 31, 2024. 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 $1.1 billion, or 7%, of MBS and mortgage loans, at March 31, 2025, and $1.1 billion, or 7%, of MBS and mortgage loans at December 31, 2024.
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 “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 mortgage-related products address the market value of capital sensitivity of the assets, liabilities, and derivatives of mortgage-related products.
The following table presents results of the estimated market value of capital sensitivity analysis attributable to the mortgage-related products as of March 31, 2025, and December 31, 2024.
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)
March 31, 2025December 31, 2024
+200 basis-point change+2.4%–0.6%
+100 basis-point change+1.2–0.3
–100 basis-point change(2)
-1.0+0.2
–200 basis-point change(2)
-1.8+0.5
(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 March 31, 2025, increased compared to the estimates as of December 31, 2024. The driver for the increase was the implementation of a third-party prepayment model for the Bank’s agency multifamily MBS.
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 2024 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 March 31, 2025, 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 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 “Item 1A – Risk Factors” in the Bank’s 2024 Form 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
Not applicable.

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ITEM 6.    EXHIBITS
Exhibit No.Description
Amendment No. 4, dated March 27, 2025, to the Employment Agreement, by and between the Federal Home Loan Bank of San Francisco and Joseph E. Amato, dated October 7, 2020, as amended. incorporated by reference to Exhibit 10.1 to the Bank’s Form 8-K filed with the Securities and Exchange Commission on April 2, 2025 (Commission File No. 000-51398)
Certification of the Interim 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 Interim 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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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized, on May 2, 2025.
 
Federal Home Loan Bank of San Francisco
/S/ JOSEPH E. AMATO
Joseph E. Amato
Interim President and Chief Executive Officer
(Principal executive officer)
/S/ MICHAEL S. HENNESSY
Michael S. Hennessy
Executive Vice President and Chief Financial Officer
(Principal financial officer)
/S/ JENNIFER F. LIN
Jennifer F. Lin
Senior Vice President and Controller
(Principal accounting officer)
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