fhlbsf-20260930

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

____________________________________

FORM 10-Q

______________________________________________________


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

For the quarterly period ended September 30, 2026


☐			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,

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 class

Trading 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 October 30, 2026
Total Capital Stock, par value $100 per share			24,249,184

Table of Contents

Federal Home Loan Bank of San Francisco

Form 10-Q

Index

PART I.

FINANCIAL INFORMATION

Item 1.

Financial Statements

Statements of Condition (Unaudited)

Statements of Income (Unaudited)

Statements of Comprehensive Income/(Loss) (Unaudited)

Statements of Capital Accounts (Unaudited)

Statements of Cash Flows (Unaudited)

Notes to Financial Statements (Unaudited)

Item 2.

Management’s Discussion and Analysis of Financial Condition and Results of Operations

Quarterly Overview

Financial Highlights

Results of Operations

Financial Condition

Liquidity and Capital Resources

Risk Management

Critical Accounting Estimates

Legislative and Regulatory Developments

Item 3.

Quantitative and Qualitative Disclosures About Market Risk

Item 4.

Controls and Procedures

PART II.

OTHER INFORMATION

Item 1.

Legal Proceedings

Item 1A.

Risk Factors

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds

Item 3.

Defaults Upon Senior Securities

Item 4.

Mine Safety Disclosures

Item 5.

Item 6.

PART I. FINANCIAL INFORMATION

ITEM 1. FINANCIAL STATEMENTS

Federal Home Loan Bank of San Francisco

Statements of Condition

(Unaudited)


(In millions-except par value)	September 30, 2026		December 31, 2025
Assets:
Cash and due from banks	$	18	$	16
Interest-bearing deposits	3,127		3,092
Securities purchased under agreements to resell	5,200		4,650
Federal funds sold	5,945		5,070

Available-for-sale (AFS) securities, net of allowance for credit losses of $44 and $32, respectively (amortized cost of $19,704 and $20,144, respectively)	19,802		20,253
Held-to-maturity (HTM) securities (fair values of $571 and $892, respectively)	584		903
Advances (includes $1,879 and $5,441 at fair value under the fair value option, respectively)	30,808		38,227
Mortgage loans held for portfolio, net of allowance for credit losses of $1 and $1, respectively	601		639

Accrued interest receivable	207		193
Derivative assets, net	45		42
Other assets	240		244
Total Assets	$	66,577	$	73,329
Liabilities:
Deposits	$	897	$	873
Consolidated obligations:
Bonds (includes $80 and $357 at fair value under the fair value option, respectively)	39,142		47,254
Discount notes	18,391		17,074
Total consolidated obligations	57,533		64,328
Mandatorily redeemable capital stock	20		106

Accrued interest payable	207		292
Affordable Housing Program (AHP) payable	167		132
Derivative liabilities, net	1		3
Other liabilities	549		235
Total Liabilities	59,374		65,969
Commitments and Contingencies (Note 12)
Capital:
Class B Putable ($100 par value): 26 shares issued and outstanding at December 31, 2025	—		2,552
Class B-1 Putable ($100 par value): 16 shares issued and outstanding at September 30, 2026	1,624		—
Class B-2 Putable ($100 par value): 8 shares issued and outstanding at September 30, 2026	832		—
Total Capital Stock	2,456		2,552
Unrestricted retained earnings	3,786		3,847
Restricted retained earnings	815		815
Total Retained Earnings	4,601		4,662
Accumulated other comprehensive income/(loss) (AOCI)	146		146
Total Capital	7,203		7,360
Total Liabilities and Capital	$	66,577	$	73,329

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

Table of Contents

Federal Home Loan Bank of San Francisco

Statements of Income

(Unaudited)


	Three Months Ended September 30,				Nine Months Ended September 30,

(In millions)	2026		2025		2026		2025
Interest Income:


Advances	$	357	$	462	$	1,108	$	1,468
Interest-bearing deposits	33		40		97		125
Securities purchased under agreements to resell	26		32		87		80
Federal funds sold	66		65		190		192

AFS securities	231		280		694		818
HTM securities	7		15		22		50
Mortgage loans held for portfolio	4		5		13		15
Total Interest Income	724		899		2,211		2,748
Interest Expense:
Consolidated obligations:
Bonds	341		561		1,069		1,761
Discount notes	225		173		661		499
Deposits	11		15		35		46
Mandatorily redeemable capital stock	5		3		13		11

Total Interest Expense	582		752		1,778		2,317
Net Interest Income	142		147		433		431
Provision for/(reversal of) credit losses	6		(2)		12		2
Net Interest Income After Provision for/(Reversal of) Credit Losses	136		149		421		429
Other Income/(Loss):


Net gain/(loss) on advances and consolidated obligation bonds held under fair value option	(20)		(3)		(62)		34
Net gain/(loss) on derivatives	15		15		46		1


Standby letters of credit fees	5		4		16		14

Other, net	2		3		4		7
Total Other Income/(Loss)	2		19		4		56
Non-Interest Expense:
Compensation and benefits	23		24		71		77
Other operating expense	13		13		37		41
Federal Housing Finance Agency	2		2		4		6
Office of Finance	1		1		4		4
Voluntary housing and community investment contributions	28		6		64		26
Other, net	(1)		—		(2)		(1)
Total Non-Interest Expense	66		46		178		153
Income/(Loss) Before Assessment	72		122		247		332
AHP assessment	8		12		26		34
Net Income/(Loss)	$	64	$	110	$	221	$	298

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

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Federal Home Loan Bank of San Francisco

Statements of Comprehensive Income/(Loss)

(Unaudited)


	Three Months Ended September 30,				Nine Months Ended September 30,

(In millions)	2026		2025		2026		2025
Net Income/(Loss)	$	64	$	110	$	221	$	298
Other Comprehensive Income/(Loss):
Net unrealized gain/(loss) on AFS securities	(48)		39		1		23
Net change in pension and postretirement benefits	(1)		1		(1)		1
Total other comprehensive income/(loss)	(49)		40		—		24
Total Comprehensive Income/(Loss)	$	15	$	150	$	221	$	322

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			Capital Stock Class B-1 — Putable (Membership)			Capital Stock Class B-2 — Putable (Activity)			Retained Earnings								Total Capital
(In millions)	Shares	Par Value		Shares	Par Value		Shares	Par Value		Restricted		Unrestricted		Total		AOCI
Balance, June 30, 2025	26	$	2,575	—	$	—	—	$	—	$	815	$	3,749	$	4,564	$	47	$	7,186
Comprehensive income/(loss)										—		110		110		40		150
Issuance of capital stock	6	644		—	—		—	—										644
Repurchase of capital stock	(7)	(763)		—	—		—	—										(763)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net	(1)	(17)		—	—		—	—										(17)

Cash dividends paid on capital stock												(61)		(61)				(61)
Balance, September 30, 2025	24	$	2,439	—	$	—	—	$	—	$	815	$	3,798	$	4,613	$	87	$	7,139

Balance, June 30, 2026	—	$	—	16	$	1,601	9	$	888	$	815	$	3,834	$	4,649	$	195	$	7,333
Comprehensive income/(loss)										—		64		64		(49)		15

Issuance of capital stock				—	—		9	883										883
Repurchase of capital stock				(1)	(22)		(9)	(894)										(916)

Transfers of shares between Class B-1 and Class B-2				1	45		(1)	(45)										—

Cash dividends paid on capital stock												(112)		(112)				(112)
Balance, September 30, 2026	—	$	—	16	$	1,624	8	$	832	$	815	$	3,786	$	4,601	$	146	$	7,203


	Capital Stock Class B — Putable			Capital Stock Class B-1 — Putable (Membership)			Capital Stock Class B-2 — Putable (Activity)			Retained Earnings								Total Capital
(In millions)	Shares	Par Value		Shares	Par Value		Shares	Par Value		Restricted		Unrestricted		Total		AOCI









Balance, December 31, 2024	25	$	2,458	—	$	—	—	$	—	$	815	$	3,668	$	4,483	$	63	$	7,004
Comprehensive income/(loss)										—		298		298		24		322
Issuance of capital stock	21	2,106		—	—		—	—										2,106
Repurchase of capital stock	(21)	(2,108)		—	—		—	—										(2,108)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net	(1)	(17)		—	—		—	—										(17)

Cash dividends paid on capital stock												(168)		(168)				(168)

Balance, September 30, 2025	24	$	2,439	—	$	—	—	$	—	$	815	$	3,798	$	4,613	$	87	$	7,139

Balance, December 31, 2025	26	$	2,552	—	$	—	—	$	—	$	815	$	3,847	$	4,662	$	146	$	7,360
Comprehensive income/(loss)										—		221		221		—		221
Conversion of Class B stock	(26)	(2,552)		18	1,752		8	800										—
Issuance of capital stock				—	49		26	2,662										2,711
Repurchase of capital stock				(2)	(145)		(26)	(2,618)										(2,763)
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net				—	(6)		—	(38)										(44)
Transfers of shares between Class B-1 and Class B-2				—	(26)		—	26										—

Cash dividends paid on capital stock												(282)		(282)				(282)
Balance, September 30, 2026	—	$	—	16	$	1,624	8	$	832	$	815	$	3,786	$	4,601	$	146	$	7,203

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

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Federal Home Loan Bank of San Francisco

Statements of Cash Flows

(Unaudited)



	Nine Months Ended September 30,
(In millions)	2026		2025
Cash Flows from Operating Activities:
Net Income/(Loss)	$	221	$	298
Adjustments to reconcile net income/(loss) to net cash provided by/(used in) operating activities:
Depreciation and amortization/(accretion)	98		66
Provision for/(reversal of) credit losses	12		2

Change in net fair value adjustment on advances and consolidated obligation bonds held under the fair value option	62		(34)
Change in net derivatives and hedging activities	628		(633)

Other adjustments, net	(1)		—
Net change in:
Accrued interest receivable	(4)		(13)
Other assets	(4)		(6)
Accrued interest payable	(84)		(44)
Other liabilities	30		25

Total adjustments	737		(637)
Net cash provided by/(used in) operating activities	958		(339)
Cash Flows from Investing Activities:
Net change in:
Interest-bearing deposits	(53)		589
Securities purchased under agreements to resell	(550)		(500)
Federal funds sold	(875)		(5,632)




AFS securities:
Proceeds from sales	551		—
Proceeds from maturities and paydowns	1,612		3,110
Purchases	(2,101)		(2,774)
HTM securities:
Proceeds from maturities and paydowns	319		475

Advances:
Repaid	792,496		530,934
Originated	(785,307)		(519,313)
Mortgage loans held for portfolio:
Principal collected	36		39


Net cash provided by/(used in) investing activities	6,128		6,928

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Federal Home Loan Bank of San Francisco

Statements of Cash Flows (continued)

(Unaudited)



	Nine Months Ended September 30,
(In millions)	2026		2025
Cash Flows from Financing Activities:
Net change in deposits and other financing activities	87		(78)
Net change in borrowings from other FHLBanks	—		300
Net proceeds/(payments) on derivative contracts with financing elements	5		9
Net proceeds from issuance of consolidated obligations:
Bonds	26,821		41,030
Discount notes	127,115		67,957
Payments for matured and retired consolidated obligations:
Bonds	(34,833)		(50,699)
Discount notes	(125,815)		(64,692)
Proceeds from issuance of capital stock	2,711		2,106
Payments for repurchase of capital stock	(2,763)		(2,108)
Payments for repurchase/redemption of mandatorily redeemable capital stock	(130)		(236)
Cash dividends paid	(282)		(168)

Net cash provided by/(used in) financing activities	(7,084)		(6,579)
Net increase/(decrease) in cash and due from banks	2		10
Cash and due from banks at beginning of the period	16		2
Cash and due from banks at end of the period	$	18	$	12
Supplemental Disclosures:
Interest paid	$	1,738	$	2,415

Supplemental Disclosures of Non-cash Investing and Financing Activities:


Transfers of capital stock to mandatorily redeemable capital stock	44		17

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

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Federal Home Loan Bank of San Francisco

Notes to Financial Statements

Note 1 — Basis of Presentation and Significant Accounting Policies

The information about the Federal Home Loan Bank of San Francisco (Bank) included in these unaudited financial statements reflects all adjustments that, in the opinion of the Bank, are necessary for a fair statement of results for the periods presented. These adjustments are of a recurring nature, unless otherwise disclosed. The results of operations in these interim statements are not necessarily indicative of the results to be expected for any subsequent period or for the year ending December 31, 2026. 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, 2025 (2025 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.

There have been no significant changes to the Bank’s accounting policies since the Bank’s 2025 Form 10-K.

Note 2 — Recently Issued and Adopted Accounting Guidance

There have been no new accounting standards adopted or issued during the nine months ended September 30, 2026, that had, or are expected to have, a material impact on the Bank’s financial statements.

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Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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 trading, AFS, or HTM.

Debt Securities

Available-for-Sale Securities. The amortized cost and fair value of AFS securities by major security type were as follows:


September 30, 2026
(In millions)	Amortized Cost		Allowance for Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Estimated Fair Value

U.S. Treasury obligations	$	6,302	$	—	$	10	$	—	$	6,312
State housing agency obligations	67		—		—		(3)		64
MBS:
Government-Sponsored Enterprises (GSEs) – multifamily	12,502		—		138		(1)		12,639
Private-label residential mortgage-backed securities (PLRMBS)	833		(44)		22		(24)		787
Total mortgage-backed securities (MBS)	13,335		(44)		160		(25)		13,426
Total	$	19,704	$	(44)	$	170	$	(28)	$	19,802


December 31, 2025
(In millions)	Amortized Cost		Allowance for Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Estimated Fair Value
U.S. Treasury obligations	$	6,384	$	—	$	9	$	—	$	6,393
State housing agency obligations	42		—		—		—		42
MBS:
GSEs – multifamily	12,819		—		118		—		12,937
PLRMBS	899		(32)		31		(17)		881
Total MBS	13,718		(32)		149		(17)		13,818
Total	$	20,144	$	(32)	$	158	$	(17)	$	20,253

Amortized cost excludes accrued interest receivable of $110 million and $105 million at September 30, 2026, and December 31, 2025, respectively. At September 30, 2026, and December 31, 2025, $511 million and $501 million of AFS securities, respectively, were pledged as collateral that may be repledged. During the quarter, the Bank purchased $318 million of MBS that had not settled as of September 30, 2026. The Bank had no unsettled investment securities purchases as of September 30, 2025.

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Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

The following tables summarize unrealized losses by length of time that individual AFS securities in each security type had been in a continuous loss position.


September 30, 2026
	Less Than 12 Months				12 Months or More				Total
(In millions)	Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses
U.S. Treasury obligations	$	616	$	—	$	—	$	—	$	616	$	—
State housing agency obligations	64		(3)		—		—		64		(3)
MBS – GSEs – multifamily	273		(1)		—		—		273		(1)
PLRMBS	336		(6)		181		(18)		517		(24)
Total	$	1,289	$	(10)	$	181	$	(18)	$	1,470	$	(28)


December 31, 2025
	Less Than 12 Months				12 Months or More				Total
(In millions)	Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses
U.S. Treasury obligations	$	348	$	—	$	124	$	—	$	472	$	—
State housing agency obligations	14		—		—		—		14		—
MBS – GSEs – multifamily	28		—		150		—		178		—
PLRMBS	174		(1)		230		(16)		404		(17)
Total	$	564	$	(1)	$	504	$	(16)	$	1,068	$	(17)

Redemption Terms – The amortized cost and estimated fair value of U.S. Treasury obligations and state housing agency obligations by contractual maturity and of MBS are shown below. Expected maturities of MBS will differ from contractual maturities because borrowers may have the right to call or prepay the underlying obligations with or without call or prepayment fees.


September 30, 2026
(In millions)
Year of Contractual Maturity	Amortized Cost		Estimated Fair Value
U.S. Treasury obligations:
Due in 1 year or less	$	1,644	$	1,645
Due after 1 year through 5 years	4,658		4,667


Total U.S. Treasury obligations	6,302		6,312
State housing agency obligations:
Due in 1 year or less	1		1

Due after 5 years through 10 years	66		63
Total state housing agency obligations	67		64
MBS	13,335		13,426
Total	$	19,704	$	19,802

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Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)


December 31, 2025
(In millions)
Year of Contractual Maturity	Amortized Cost		Estimated Fair Value
U.S. Treasury obligations:
Due in 1 year or less	$	1,776	$	1,777
Due after 1 year through 5 years	4,608		4,616


Total U.S. Treasury obligations	6,384		6,393
State housing agency obligations:
Due after 1 year through 5 years	2		2
Due after 5 years through 10 years	40		40
Total state housing agency obligations	42		42
MBS	13,718		13,818
Total	$	20,144	$	20,253

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:


September 30, 2026
(In millions)	Amortized Cost		Gross Unrecognized Holding Gains (1)		Gross Unrecognized Holding Losses (1)		Estimated Fair Value
MBS – Other U.S. obligations – single-family	$	12	$	—	$	—	$	12
MBS – GSEs:
Single-family	344		2		(10)		336
Multifamily	160		—		—		160
Subtotal MBS – GSEs	504		2		(10)		496
PLRMBS	68		—		(5)		63
Total	$	584	$	2	$	(15)	$	571


December 31, 2025
(In millions)	Amortized Cost		Gross Unrecognized Holding Gains (1)		Gross Unrecognized Holding Losses (1)		Estimated Fair Value
MBS – Other U.S. obligations – single-family	$	18	$	—	$	—	$	18
MBS – GSEs:
Single-family	401		2		(8)		395
Multifamily	404		—		(1)		403
Subtotal MBS – GSEs	805		2		(9)		798
PLRMBS	80		—		(4)		76
Total	$	903	$	2	$	(13)	$	892

(1) Gross unrecognized holding gains/(losses) represent the difference between estimated fair value and net carrying value.

Amortized cost excludes accrued interest receivable of $2 million and $3 million at September 30, 2026, and December 31, 2025, respectively.

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Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Allowance for Credit Losses on AFS and HTM Securities

Private-Label Residential Mortgage-Backed Securities – There have been no significant changes in the composition, credit quality, or valuation methodology of the Bank’s PLRMBS portfolio since December 31, 2025.

As a result of credit impairments recognized prior to the adoption of the current expected credit loss methodology, certain PLRMBS continue to accrete previously recognized credit losses into interest income. The remaining balance of these credit losses totaled $270 million and $278 million at September 30, 2026, and December 31, 2025, respectively. Accretion related to these amounts increased interest income by $2 million and $8 million for the three and nine months ended September 30, 2026, respectively, and $3 million and $10 million for the three and nine months ended September 30, 2025, respectively.

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, 2025. As a result, no allowance for credit losses was recorded on these AFS or HTM securities at September 30, 2026, and December 31, 2025.

Note 4 — Advances

Redemption Terms. The following table presents advances outstanding by redemption term and weighted-average interest rate.


(Dollars in millions)	September 30, 2026				December 31, 2025
Redemption Term	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding		Weighted Average Interest Rate

Within 1 year	$	20,340	4.22	%	$	22,763	3.85	%
After 1 year through 2 years	6,052		4.09		6,476		4.08
After 2 years through 3 years	1,943		3.89		4,218		4.03
After 3 years through 4 years	1,305		3.77		996		3.83
After 4 years through 5 years	669		4.03		1,591		3.68
After 5 years	652		4.33		2,105		3.79
Total par value	30,961		4.16	%	38,149		3.90	%
Valuation adjustments for hedging activities	(141)				8
Valuation adjustments under fair value option	(12)				70

Total	$	30,808			$	38,227

Carrying amounts exclude accrued interest receivable of $80 million and $67 million at September 30, 2026, and December 31, 2025, respectively.

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Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

The following table summarizes advances at September 30, 2026, and December 31, 2025, 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)	September 30, 2026		December 31, 2025		September 30, 2026		December 31, 2025

Within 1 year	$	21,540	$	24,038	$	22,634	$	27,533
After 1 year through 2 years	5,052		5,476		5,335		5,272
After 2 years through 3 years	1,943		4,218		981		3,188
After 3 years through 4 years	1,305		996		1,024		577
After 4 years through 5 years	669		1,591		438		1,033
After 5 years	452		1,830		549		546
Total par value	$	30,961	$	38,149	$	30,961	$	38,149

Concentration Risk. The following tables present the concentration in advances by borrowers and their affiliates that is 10% or more of total advances outstanding, or 10% or more of total advance interest income.



	September 30, 2026				Three Months Ended September 30, 2026				Nine Months Ended September 30, 2026

(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(1)		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances(1)
Western Alliance Bank	$	5,200	17	%	$	34	10	%	$	100	9	%



	September 30, 2025				Three Months Ended September 30, 2025				Nine Months Ended September 30, 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(1)		Interest Income from Advances(1)		Percentage of Total Interest Income from Advances(1)
Western Alliance Bank	$	3,400	10	%	$	48	11	%	$	145	11	%

(1) Interest income amounts exclude prepayment fees and the interest effect of interest rate exchange agreements with derivative counterparties.

Credit Risk Exposure and Security Terms. At September 30, 2026, and December 31, 2025, the Bank retained 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 September 30, 2026, and December 31, 2025, 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 nine months ended September 30, 2026 and 2025.

Based on the collateral pledged as security for advances, the Bank’s credit analyses of borrowers’ financial condition, repayment history on advances, and the Bank’s credit extension and collateral policies as of September 30, 2026, and December 31, 2025, the Bank expects to collect all amounts due according to the contractual terms of the advances. Therefore, no allowance for credit losses on advances was deemed necessary by the Bank as of September 30, 2026, and December 31, 2025.

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Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Interest Rate Payment Terms. Interest rate payment terms by redemption term for advances are detailed below:


(In millions)	September 30, 2026		December 31, 2025
Par value of advances:
Fixed rate:
Due within 1 year	$	8,584	$	10,754
Due after 1 year	9,371		14,386
Total fixed rate	17,955		25,140
Adjustable rate:
Due within 1 year	11,756		12,009
Due after 1 year	1,250		1,000
Total adjustable rate	13,006		13,009
Total par value	$	30,961	$	38,149

Note 5 — Mortgage Loans Held for Portfolio

The following table presents information on mortgage loans held for portfolio, all of which are secured by one- to four-unit residential properties and single-unit homes.


(In millions)	September 30, 2026		December 31, 2025
Fixed rate medium-term mortgage loans(1)	$	8	$	9
Fixed rate long-term mortgage loans(1)	564		599
Subtotal	572		608
Premiums	31		33
Discounts	(1)		(1)
Mortgage loans held for portfolio	602		640
Less: Allowance for credit losses	(1)		(1)
Total mortgage loans held for portfolio, net	$	601	$	639

(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.

Mortgage loans exclude accrued interest receivable of $4 million and $5 million at September 30, 2026, and December 31, 2025, respectively.

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Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Mortgage Loan Aging and Credit Quality Indicators. The following table presents the payment status for mortgage loans and other delinquency statistics for the Bank’s mortgage loans.


(Dollars in millions)
Payment Status, at Amortized Cost(1)	September 30, 2026			December 31, 2025
30 – 59 days delinquent	$	5		$	8
60 – 89 days delinquent	3			3
90 days or more delinquent	19			15
Total past due	27			26
Total current loans	575			614
Total mortgage loans held for portfolio	$	602		$	640
In process of foreclosure, included above(2)	$	1		$	1
Nonaccrual loans(3)	$	19		$	15

90 days or more delinquent loans as a percentage of total mortgage loans outstanding	3.16		%	2.42		%

(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 September 30, 2026, and December 31, 2025, $7 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.

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.

Deposits outstanding were as follows:


	September 30, 2026		December 31, 2025
(In millions)	Amount Outstanding		Amount Outstanding




Demand and overnight interest-bearing deposits	$	893	$	870

Non-interest-bearing deposits	4		3
Total	$	897	$	873

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Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Note 7 — Consolidated Obligations

Consolidated obligations, consisting of bonds and discount notes, are jointly issued by the Federal Home Loan Banks (FHLBanks) through the Office of Finance, which serves as the FHLBanks’ agent. As provided by the Federal Home Loan Bank Act of 1932, as amended (FHLBank Act) or by regulations governing the operations of the FHLBanks, all FHLBanks have joint and several liability for all FHLBank consolidated obligations, which are backed by the financial resources of the FHLBanks. The par value of the outstanding consolidated obligations of the FHLBanks was $1.3 trillion and $1.2 trillion at September 30, 2026, and December 31, 2025, respectively.

Redemption Terms. The following is a summary of the Bank’s participation in consolidated obligation bonds.


(Dollars in millions)	September 30, 2026				December 31, 2025
Contractual Maturity	Amount Outstanding		Weighted Average Interest Rate		Amount Outstanding		Weighted Average Interest Rate
Within 1 year	$	30,761	3.80	%	$	32,836	3.43	%
After 1 year through 2 years	3,799		3.60		8,580		3.58
After 2 years through 3 years	918		3.83		1,648		3.45
After 3 years through 4 years	1,584		4.28		2,266		4.25
After 4 years through 5 years	1,693		3.98		1,201		4.24
After 5 years	587		3.06		822		2.88
Total par value	39,342		3.80	%	47,353		3.51	%

Unamortized discounts	(2)				(1)
Valuation adjustments for hedging activities	(198)				(95)
Fair value option valuation adjustments	—				(3)
Total	$	39,142			$	47,254

The Bank’s participation in consolidated obligation bonds by call features was as follows:


(In millions)	September 30, 2026		December 31, 2025
Par value of consolidated obligation bonds:
Non-callable	$	29,138	$	30,482
Callable	10,204		16,871
Total par value	$	39,342	$	47,353

The following is a summary of the Bank’s participation in consolidated obligation bonds outstanding, by the earlier of the year of contractual maturity or next call date.


(In millions)
Earlier of Contractual Maturity or Next Call Date	September 30, 2026		December 31, 2025
Within 1 year	$	35,702	$	40,191
After 1 year through 2 years	3,263		6,774
After 2 years through 3 years	335		336
After 3 years through 4 years	15		25

After 5 years	27		27
Total par value	$	39,342	$	47,353

Table of Contents

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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)
September 30, 2026	$	18,391	$	18,447	3.73	%
December 31, 2025	17,074		17,161		3.71	%

(1)Represents yield to maturity excluding concession fees.

Interest Rate Payment Terms. Interest rate payment terms for consolidated obligation bonds are detailed in the following table.


(In millions)	September 30, 2026		December 31, 2025

Par value of consolidated obligation bonds:
Fixed rate	$	12,814	$	21,722
Adjustable rate	26,448		25,271
Step-up	80		360



Total consolidated obligation bonds, par value	$	39,342	$	47,353

Note 8 — Accumulated Other Comprehensive Income/(Loss)

The following tables summarize the changes in Accumulated Other Comprehensive Income/(Loss) (AOCI):


(In millions)	Net Unrealized Gain/(Loss) on AFS Securities		Pension and Postretirement Benefits		Total AOCI
Balance, June 30, 2025	$	52	$	(5)	$	47
Other comprehensive income/(loss):
Net change in pension and postretirement benefits			1		1

Net change in fair value	39				39




Net current period other comprehensive income/(loss)	39		1		40
Balance, September 30, 2025	$	91	$	(4)	$	87

Balance, June 30, 2026	$	189	$	6	$	195
Other comprehensive income/(loss):
Net change in pension and postretirement benefits			(1)		(1)

Net change in fair value	(48)				(48)




Net current period other comprehensive income/(loss)	(48)		(1)		(49)
Balance, September 30, 2026	$	141	$	5	$	146

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Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)


(In millions)	Net Unrealized Gain/(Loss) on AFS Securities		Pension and Postretirement Benefits		Total AOCI












Balance, December 31, 2024	$	68	$	(5)	$	63
Other comprehensive income/(loss):
Net change in pension and postretirement benefits			1		1

Net change in fair value	23				23



Net current period other comprehensive income/(loss)	23		1		24

Balance, September 30, 2025	$	91	$	(4)	$	87

Balance, December 31, 2025	$	140	$	6	$	146
Other comprehensive income/(loss):
Net change in pension and postretirement benefits			(1)		(1)
Net change in fair value	1				1



Net current period other comprehensive income/(loss)	1		(1)		—
Balance, September 30, 2026	$	141	$	5	$	146

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.

The Bank complied with these capital rules and requirements as shown in the following table.


	September 30, 2026						December 31, 2025
(Dollars in millions)	Required			Actual			Required			Actual
Risk-based capital	$	825		$	7,077		$	1,004		$	7,321
Total regulatory capital	$	2,663		$	7,077		$	2,933		$	7,321
Total regulatory capital ratio	4.00		%	10.63		%	4.00		%	9.98		%
Leverage capital	$	3,329		$	10,615		$	3,666		$	10,981
Leverage ratio	5.00		%	15.94		%	5.00		%	14.97		%

Mandatorily Redeemable Capital Stock. The changes in mandatorily redeemable capital stock were as follows:


	Three Months Ended				Nine Months Ended
(In millions)	September 30, 2026		September 30, 2025		September 30, 2026		September 30, 2025
Balance at the beginning of the period	$	48	$	131	$	106	$	331
Reclassified from/(to) capital during the period	—		17		44		17
Repurchase/redemption	(28)		(36)		(130)		(236)
Balance at the end of the period	$	20	$	112	$	20	$	112

Capital Plan and Dividend Framework. As disclosed in the Bank’s 2025 Form 10-K, effective January 2, 2026, the Bank’s outstanding Class B stock was converted into Class B-1 membership stock and Class B-2 activity-based stock. Class B-2 activity-based stock is equal to the Activity-Based Stock Requirement (as defined in the Capital Plan), and Class B-1 membership stock is calculated by subtracting Activity-Based Stock Requirement from total capital stock held. If a member has no activity requiring Class B-2 activity-based stock, such member will hold only Class B-1 membership stock based on the Membership Stock Requirement (as defined in the Capital Plan). The board of directors (Board) also approved an update to the dividend philosophy that establishes a guideline for

Table of Contents

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

dividend rates for Class B-2 stock to be greater than or equal to Class B-1 stock. The decision to declare any dividend and any dividend rates are at the discretion of the Board and the Board may choose to follow or not follow the dividend philosophy in the declaration of any dividends.

Excess stock totaled $132 million, or 0.20% of total assets as of September 30, 2026. Excess stock totaled $154 million, or 0.21% of total assets as of December 31, 2025.

On October 22, 2026, the Bank’s Board declared quarterly cash dividends on the average Class B‑1 membership stock and the average Class B‑2 activity‑based stock outstanding during the third quarter of 2026 at annualized rates of 4.75% and 10.00%, respectively, with total quarterly dividends for the quarter amounting to $43 million. The Bank expects to pay these dividends on November 10, 2026.

Concentration. No institution held 10% or more of the Bank’s outstanding capital stock, including mandatorily redeemable capital stock, as of September 30, 2026, or December 31, 2025.

Note 10 — Derivatives and Hedging Activities

General. The following table summarizes the notional amount and fair value of derivative instruments, including the effect of netting adjustments and cash collateral. For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest.


	September 30, 2026						December 31, 2025
(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	$	54,014	$	531	$	170	$	69,418	$	507	$	131
Derivatives not designated as hedging instruments:
Interest rate swaps	6,682		24		3		12,145		5		51



Total derivatives before netting and collateral adjustments	$	60,696	555		173		$	81,563	512		182
Netting adjustments and cash collateral(1)			(510)		(172)				(470)		(179)
Total derivative assets and total derivative liabilities			$	45	$	1			$	42	$	3

(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 $71 million and $53 million at September 30, 2026, and December 31, 2025, respectively. Cash collateral received, including accrued interest, was $408 million and $345 million at September 30, 2026, and December 31, 2025, respectively.

Table of Contents

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

The following tables present, by type of hedged item, the gains and losses on fair value hedging relationships and the impact of derivatives in those relationships on the Bank’s Statements of Income.



	Three Months Ended September 30, 2026
	Interest Income/(Expense)
(In millions)	Advances		AFS Securities		Consolidated Obligation Bonds		Consolidated Obligation Discount Notes
Total interest income/(expense) presented in the Statements of Income	$	357	$	231	$	(341)	$	(225)
Gain/(loss) on fair value hedging relationships
Derivatives(1)	$	78	$	490	$	(97)	$	1
Hedged items	(73)		(471)		84		—
Net gain/(loss) on derivatives and hedging activities recorded in net interest income	$	5	$	19	$	(13)	$	1



	Three Months Ended September 30, 2025
	Interest Income/(Expense)
(In millions)	Advances		AFS Securities		Consolidated Obligation Bonds		Consolidated Obligation Discount Notes
Total interest income/(expense) presented in the Statements of Income	$	462	$	280	$	(561)	$	(173)
Gain/(loss) on fair value hedging relationships
Derivatives(1)	$	11	$	7	$	1	$	(1)
Hedged items	22		52		(62)		(2)
Net gain/(loss) on derivatives and hedging activities recorded in net interest income	$	33	$	59	$	(61)	$	(3)



	Nine Months Ended September 30, 2026
	Interest Income/(Expense)
(In millions)	Advances		AFS Securities		Consolidated Obligation Bonds		Consolidated Obligation Discount Notes
Total interest income/(expense) presented in the Statements of Income	$	1,108	$	694	$	(1,069)	$	(661)
Gain/(loss) on fair value hedging relationships
Derivatives(1)	$	174	$	792	$	(158)	$	(2)
Hedged items	(153)		(733)		103		5
Net gain/(loss) on derivatives and hedging activities recorded in net interest income	$	21	$	59	$	(55)	$	3



	Nine Months Ended September 30, 2025
	Interest Income/(Expense)
(In millions)	Advances		AFS Securities		Consolidated Obligation Bonds		Consolidated Obligation Discount Notes
Total interest income/(expense) presented in the Statements of Income	$	1,468	$	818	$	(1,761)	$	(499)
Gain/(loss) on fair value hedging relationships
Derivatives(1)	$	(73)	$	(325)	$	56	$	(5)
Hedged items	175		499		(232)		2
Net gain/(loss) on derivatives and hedging activities recorded in net interest income	$	102	$	174	$	(176)	$	(3)

(1) Includes net interest settlements.

Table of Contents

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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.


	September 30, 2026
(In millions)	Advances		AFS Securities		Consolidated Obligation Bonds		Consolidated Obligation Discount Notes
Amortized cost of hedged asset/(liability)	$	10,980	$	18,794	$	(12,002)	$	(11,629)
Fair value hedging basis adjustments:
Active hedging relationships included in amortized cost	$	(134)	$	(1,203)	$	198	$	2
Discontinued hedging relationships included in amortized cost	(7)		301		—		—
Total amount of fair value hedging basis adjustments	$	(141)	$	(902)	$	198	$	2


	December 31, 2025
(In millions)	Advances		AFS Securities		Consolidated Obligation Bonds		Consolidated Obligation Discount Notes
Amortized cost of hedged asset/(liability)	$	15,644	$	19,194	$	(20,438)	$	(14,683)
Fair value hedging basis adjustments:
Active hedging relationships included in amortized cost	$	8	$	(563)	$	95	$	(3)
Discontinued hedging relationships included in amortized cost	—		387		—		—
Total amount of fair value hedging basis adjustments	$	8	$	(176)	$	95	$	(3)

The following table presents the components of net gain/(loss) on derivatives as presented in the Statements of Income.


	Three Months Ended				Nine Months Ended
(In millions)	September 30, 2026		September 30, 2025		September 30, 2026		September 30, 2025
Derivatives not designated as hedging instruments	Gain/(Loss)		Gain/(Loss)		Gain/(Loss)		Gain/(Loss)



Economic hedges:
Interest rate swaps	$	17	$	3	$	43	$	(34)

Net interest settlements	(2)		12		3		36

Total net gain/(loss) related to derivatives not designated as hedging instruments	15		15		46		2
Price alignment amount(1)	—		—		—		(1)
Net gain/(loss) on derivatives	$	15	$	15	$	46	$	1

(1) This amount relates to derivatives for which variation margin on cleared derivatives is characterized as a daily settled contract.

Table of Contents

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Credit Risk. The aggregate fair value of all uncleared derivative instruments with credit risk-related contingent features that were in a net derivative liability position (before cash collateral and related accrued interest) at September 30, 2026, was $70 million, for which the Bank posted cash collateral of $71 million in the ordinary course of business.

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.


	September 30, 2026				December 31, 2025
(In millions)	Derivative Assets		Derivative Liabilities		Derivative Assets		Derivative Liabilities
Derivative instruments meeting netting requirements
Gross recognized amount
Uncleared	$	545	$	171	$	497	$	179
Cleared	10		2		15		3
Total gross recognized amount	555		173		512		182
Gross amount of netting adjustments and cash collateral
Uncleared	(508)		(170)		(467)		(176)
Cleared	(2)		(2)		(3)		(3)
Total gross amounts of netting adjustments and cash collateral	(510)		(172)		(470)		(179)
Total derivative assets and total derivative liabilities	$	45	$	1	$	42	$	3






Net amount(1)(2)
Uncleared	$	37	$	1	$	30	$	3
Cleared	8		—		12		—
Total net amount	$	45	$	1	$	42	$	3

(1) The amount of non-cash collateral for uncleared derivatives included in the determination of the net amount is limited to the amount needed to secure the Bank’s or counterparties' uncleared exposure. At both September 30, 2026, and December 31, 2025, the Bank received excess non-cash collateral with a fair value of $2 million.

(2) Any over-collateralization at the Bank’s individual clearing agent or counterparty level is not included in the determination of the net amount. At September 30, 2026, and December 31, 2025, the Bank had additional net credit exposure of $511 million and $501 million, respectively, due to instances where non-cash collateral to a counterparty exceeded the Bank’s net derivative position.

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Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

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. There have been no material changes in the fair value hierarchy classification of financial assets and liabilities, valuation techniques, or significant inputs since the Bank’s 2025 Form 10-K.

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.


	September 30, 2026
(In millions)	Carrying Value(1)		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral(2)
Assets
Cash and due from banks	$	18	$	18	$	18	$	—	$	—	$	—
Interest-bearing deposits	3,127		3,127		3,127		—		—		—
Securities purchased under agreements to resell	5,200		5,200		—		5,200		—		—
Federal funds sold	5,945		5,945		—		5,945		—		—

AFS securities	19,802		19,802		—		19,015		787		—
HTM securities	584		571		—		508		63		—
Advances	30,808		30,766		—		30,766		—		—
Mortgage loans held for portfolio	601		490		—		490		—		—

Accrued interest receivable	207		207		—		207		—		—
Derivative assets, net(2)	45		45		—		555		—		(510)
Other assets(3)	21		21		21		—		—		—
Liabilities
Deposits	897		897		—		897		—		—
Consolidated obligations:
Bonds	39,142		39,013		—		39,013		—		—
Discount notes	18,391		18,389		—		18,389		—		—
Total consolidated obligations	57,533		57,402		—		57,402		—		—
Mandatorily redeemable capital stock	20		20		20		—		—		—

Accrued interest payable	207		207		—		207		—		—
Derivative liabilities, net(2)	1		1		—		173		—		(172)

Table of Contents

Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)


	December 31, 2025
	Carrying Value(1)		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral(2)
Assets
Cash and due from banks	$	16	$	16	$	16	$	—	$	—	$	—
Interest-bearing deposits	3,092		3,092		3,092		—		—		—
Securities purchased under agreements to resell	4,650		4,650		—		4,650		—		—
Federal funds sold	5,070		5,070		—		5,070		—		—

AFS securities	20,253		20,253		—		19,372		881		—
HTM securities	903		892		—		816		76		—
Advances	38,227		38,271		—		38,271		—		—
Mortgage loans held for portfolio	639		552		—		552		—		—
Accrued interest receivable	193		193		—		193		—		—
Derivative assets, net(2)	42		42		—		512		—		(470)
Other assets(3)	20		20		20		—		—		—
Liabilities
Deposits	873		873		—		873		—		—
Consolidated obligations:
Bonds	47,254		47,162		—		47,162		—		—
Discount notes	17,074		17,073		—		17,073		—		—
Total consolidated obligations	64,328		64,235		—		64,235		—		—
Mandatorily redeemable capital stock	106		106		106		—		—		—

Accrued interest payable	292		292		—		292		—		—
Derivative liabilities, net(2)	3		3		—		182		—		(179)

(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.

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Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

Fair Value Measurements. The following tables present the fair value of assets and liabilities, which are recorded on a recurring or nonrecurring basis, by level within the fair value hierarchy.


September 30, 2026
	Fair Value Measurement Using:						Netting Adjustments and Cash Collateral(1)
(In millions)	Level 1		Level 2		Level 3				Total
Recurring fair value measurements – Assets:





AFS securities:
U.S. Treasury obligations	$	—	$	6,312	$	—	$	—	$	6,312
State housing agency obligations	—		64		—		—		64
MBS:
GSEs – multifamily	—		12,639		—		—		12,639
PLRMBS	—		—		787		—		787
Subtotal AFS MBS	—		12,639		787		—		13,426
Total AFS securities	—		19,015		787		—		19,802
Advances(2)	—		1,879		—		—		1,879
Derivative assets, net: interest rate-related	—		555		—		(510)		45

Other assets	21		—		—		—		21
Total recurring fair value measurements – Assets	$	21	$	21,449	$	787	$	(510)	$	21,747
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	80	$	—	$	—	$	80
Derivative liabilities, net: interest rate-related	—		173		—		(172)		1
Total recurring fair value measurements – Liabilities	$	—	$	253	$	—	$	(172)	$	81

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Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)


December 31, 2025
	Fair Value Measurement Using:						Netting Adjustments and Cash Collateral(1)
(In millions)	Level 1		Level 2		Level 3				Total
Recurring fair value measurements – Assets:





AFS securities:
U.S. Treasury obligations	$	—	$	6,393	$	—	$	—	$	6,393
State housing agency obligations	—		42		—		—		42
MBS:
GSEs – multifamily	—		12,937		—		—		12,937
PLRMBS	—		—		881		—		881
Subtotal AFS MBS	—		12,937		881		—		13,818
Total AFS securities	—		19,372		881		—		20,253
Advances(2)	—		5,441		—		—		5,441
Derivative assets, net: interest rate-related	—		512		—		(470)		42
Other assets	20		—		—		—		20
Total recurring fair value measurements – Assets	$	20	$	25,325	$	881	$	(470)	$	25,756
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)	$	—	$	357	$	—	$	—	$	357
Derivative liabilities, net: interest rate-related	—		182		—		(179)		3
Total recurring fair value measurements – Liabilities	$	—	$	539	$	—	$	(179)	$	360
Nonrecurring fair value measurements – Assets:(4)

Impaired mortgage loans held for portfolio	$	—	$	—	$	2	$	—	$	2
Total nonrecurring fair value measurements – Assets	$	—	$	—	$	2	$	—	$	2

(1)Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed by the Bank, with the same clearing agents or counterparty.

(2)Represents advances recorded under the fair value option at September 30, 2026, and December 31, 2025.

(3)Represents consolidated obligation bonds recorded under the fair value option at September 30, 2026, and December 31, 2025.

(4)The fair value information presented is as of the date the fair value adjustment was recorded during the year ended December 31, 2025.

The following tables present a reconciliation of the Bank’s AFS PLRMBS that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3).


	Three Months Ended
(In millions)	September 30, 2026		September 30, 2025
Balance, beginning of the period	$	826	$	920
Total gain/(loss) realized and unrealized included in:
Interest income	3		3
(Provision for)/reversal of credit losses	(6)		2

Unrealized gain/(loss) included in AOCI	(14)		—
Settlements	(22)		(22)

Balance, end of the period	$	787	$	903
Total amount of unrealized gain/(loss) for the period included in AOCI relating to assets held at the end of the period	$	(14)	$	—
Total amount of gain/(loss) for the period included in earnings relating to assets held at the end of the period	$	(3)	$	6

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Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)


	Nine Months Ended
(In millions)	September 30, 2026		September 30, 2025
Balance, beginning of the period	$	881	$	957
Total gain/(loss) realized and unrealized included in:
Interest income	8		10
(Provision for)/reversal of credit losses	(12)		(2)

Unrealized gain/(loss) included in AOCI	(16)		5
Settlements	(74)		(67)

Balance, end of the period	$	787	$	903
Total amount of unrealized gain/(loss) for the period included in AOCI relating to assets held at the end of the period	$	(16)	$	5
Total amount of gain/(loss) for the period included in earnings relating to assets held at the end of the period	$	(4)	$	9

Fair Value Option. The following table presents the net gain/(loss) recognized in earnings on advances and consolidated obligation bonds held under the fair value option:


	Three Months Ended				Nine Months Ended
(In millions)	September 30, 2026		September 30, 2025		September 30, 2026		September 30, 2025
Advances	$	(19)	$	—	$	(59)	$	43
Consolidated obligation bonds	(1)		(3)		(3)		(9)
Total	$	(20)	$	(3)	$	(62)	$	34

For consolidated obligations recorded under the fair value option, the Bank determined that none of the remaining changes in fair value were related to instrument-specific credit risk for the three and nine months ended September 30, 2026 and 2025.

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:


	September 30, 2026						December 31, 2025
(In millions)	Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance		Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance
Advances	$	1,891	$	1,879	$	(12)	$	5,371	$	5,441	$	70
Consolidated obligation bonds	80		80		—		360		357		(3)

Note 12 — Commitments and Contingencies

Off-balance sheet commitments were as follows:


(In millions)	September 30, 2026		December 31, 2025
Standby letters of credit outstanding	$	20,201	$	20,275
Commitments to fund additional advances	112		—
Commitments to issue consolidated obligation bonds, par	25		—
Commitments to issue consolidated obligation discount notes, par	—		168

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Federal Home Loan Bank of San Francisco

Notes to Financial Statements (continued)

The carrying value of guarantees related to standby letters of credit, representing unearned fees and recorded in other liabilities, was $65 million and $63 million at September 30, 2026, and December 31, 2025, respectively. Standby letters of credit are fully collateralized at the time of issuance. Based on the Bank’s credit analyses of members’ financial condition and collateral requirements, the Bank deemed it unnecessary to record any additional liability for credit losses on the letters of credit outstanding or other off-balance sheet commitments as of September 30, 2026, and December 31, 2025. Advances funded under advance commitments are fully collateralized at the time of funding.

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)	September 30, 2026		December 31, 2025
Assets:
Advances	$	927	$	3,271
Mortgage loans held for portfolio	62		65
Accrued interest receivable	1		4
Liabilities:
Deposits	$	9	$	23
Capital:
Capital Stock	$	75	$	149


	Three Months Ended				Nine Months Ended

(In millions)	September 30, 2026		September 30, 2025		September 30, 2026		September 30, 2025
Interest Income:

Advances	$	17	$	79	$	56	$	201
Mortgage loans held for portfolio	1		1		2		2
Interest Expense:
Deposits	$	1	$	—	$	1	$	1

All transactions with members, nonmembers, and their affiliates are entered into in the ordinary course of business. As of September 30, 2026, and December 31, 2025, no shareholder owned more than 10% of the total voting interests in the Bank because of the statutory limit on members' voting rights.

Transactions with Other FHLBanks. The Bank may occasionally enter into transactions with other FHLBanks. These transactions are summarized below.

Overnight Funds. During the nine months ended September 30, 2026 and 2025, the Bank extended overnight loans to other FHLBanks for $10 million and $500 million, respectively. During the nine months ended September 30, 2026 and 2025, the Bank borrowed $1.9 billion and $1.1 billion, 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 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 (such as wildfires), pandemics or other widespread public health emergencies, terrorist attacks, civil unrest, geopolitical instability or conflicts, trade disruptions, economic or other sanctions, or other unanticipated or catastrophic events;

•executive, legislative, regulatory or judicial actions or events, including changes in the FHLBank Act or Federal Housing Finance Agency (Finance Agency) regulations and regulatory oversight or changes in other statutes or regulations that affect the Bank, its members, counterparties, or investors in the consolidated obligations of the Federal Home Loan Banks (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 withdrawals, mergers, dissolution, receivership, or changes in the principal place of business of Bank 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;

•competitive forces, including the availability of other sources of funding for Bank members;

•the willingness of the Bank’s members to do business with the Bank;

•changes in investor demand for consolidated obligations (including the terms of consolidated obligations) or the terms of interest rate exchange or similar agreements;

•the impact of any changes and developments in FHLBank System-wide debt issuance and governance practices;

•the ability of each of the other FHLBanks to repay the principal and interest on consolidated obligations for which it is the primary obligor and with respect to which the Bank has joint and several liability;

•changes in key Bank personnel;

•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, 2025 (2025 Form 10-K).

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Quarterly Overview

Net income for the third quarter of 2026 was $64 million, a decrease of $46 million compared with the third quarter of 2025. The decrease was primarily attributable to an increase in discretionary community investment contributions of $22 million, a decrease in other income of $17 million, and an increase in the provision for credit losses of $8 million.

The $22 million increase in discretionary housing and community investment contributions was primarily attributable to an additional mission contribution of $22.5 million that was recognized in the third quarter. The $17 million decrease in other income was substantially driven by changes in interest rates, which resulted in less favorable net interest settlements on economic hedges. The $8 million increase in the provision for credit losses was primarily attributable to declines in the fair values of certain private-label residential mortgage-backed securities.

On October 22, 2026, the Bank’s board of directors (Board) declared quarterly cash dividends on the average Class B‑1 membership stock and the average Class B‑2 activity‑based stock outstanding during the third quarter of 2026 at annualized rates of 4.75% and 10.00%, respectively. The dividends, totaling $43 million, are expected to be paid on November 10, 2026.

The Bank exceeded its 4.00% regulatory capital requirement with a regulatory capital ratio of 10.63% at September 30, 2026. As of September 30, 2026, the Bank’s retained earnings totaled $4.6 billion, exceeding the $2.6 billion required level of retained earnings established under the Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework (Framework) in accordance with Finance Agency guidance.

For more information about the Bank’s required retained earnings and Framework, see “Item 1. Business – Capital,” “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Liquidity and Capital Resources,” and “Item 8. Financial Statements and Supplementary Data – Note 11 – Capital – Excess Stock Repurchase, Retained Earnings, and Dividend Framework” in the Bank’s 2025 Form 10-K.

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Financial Highlights

The following table presents a summary of certain financial information for the Bank during the three months for the periods indicated.

Financial Highlights

(Unaudited)


(Dollars in millions)	September 30, 2026			June 30, 2026			March 31, 2026			December 31, 2025			September 30, 2025
Selected Balance Sheet Items at Quarter End
Total Assets	$	66,577		$	67,977		$	70,676		$	73,329		$	75,769
Advances	30,808			34,042			37,792			38,227			34,242

Investments(1)	34,658			32,798			31,761			33,968			40,416
Consolidated Obligations:
Bonds	39,142			34,024			39,539			47,254			48,747
Discount Notes	18,391			25,085			21,206			17,074			17,648
Mandatorily Redeemable Capital Stock	20			48			88			106			112
Total Capital Stock	2,456			2,489			2,538			2,552			2,439
Unrestricted Retained Earnings	3,786			3,834			3,783			3,847			3,798
Restricted Retained Earnings	815			815			815			815			815
Total Capital	7,203			7,333			7,292			7,360			7,139
Selected Operating Results for the Quarter
Net Interest Income	$	142		$	151		$	140		$	157		$	147
Provision for/(Reversal of) Credit Losses	6			6			—			1			(2)
Other Income/(Loss)	2			5			(3)			12			19
Voluntary Housing and Community Investment Contributions	28			9			27			6			6
Other Non-Interest Expense	38			38			38			45			40
Affordable Housing Program (AHP) Assessment	8			10			8			12			12
Net Income/(Loss)	$	64		$	93		$	64		$	105		$	110
Selected Other Data for the Quarter
Net Interest Margin(2)	0.83		%	0.85		%	0.77		%	0.89		%	0.77		%
Return on Average Assets	0.37			0.51			0.35			0.59			0.56
Return on Average Equity	3.52			5.09			3.51			5.77			5.98
Annualized Dividend Rate - Class B(3)	N/A			8.75			8.75			8.75			8.75
Annualized Dividend Rate - Class B-1(3)	4.75			4.75			N/A			N/A			N/A
Annualized Dividend Rate - Class B-2(3)	10.00			10.00			N/A			N/A			N/A

Dividend Payout Ratio(4)	174.67			46.09			199.16			54.82			54.72
Average Equity to Average Assets Ratio	10.44			10.08			9.85			10.19			9.44
Selected Other Data at Quarter End
Regulatory Capital Ratio(5)	10.63			10.57			10.22			9.98			9.46

(1)Investments consist of interest-bearing deposits, securities purchased under agreements to resell, federal funds sold, 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)Cash dividends declared and paid during the period are calculated based on the average capital stock outstanding during the previous quarter. Effective January 2, 2026, the Bank’s outstanding Class B stock has been converted into Class B-1 membership stock and Class B-2 activity-based stock.

(4)This ratio is calculated as dividends per share divided by net income per share. Dividends per share included two special cash dividends, one in the first quarter and one in the third quarter of 2026.

(5)This ratio is calculated as regulatory capital divided by total assets. Regulatory capital includes retained earnings, total capital stock, and mandatorily redeemable capital stock (which is classified as a liability) but excludes accumulated other comprehensive income/(loss).

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Results of Operations

Net Interest Income for the Three Months Ended September 30, 2026 and 2025. 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), 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.

Third Quarter of 2026 Compared to Third Quarter of 2025


Net Interest Spread and Margin

	Three Months Ended
	September 30, 2026							September 30, 2025
(Dollars in millions)	Average Balance			Interest Income/ Expense		Average Rate		Average Balance			Interest Income/ Expense		Average Rate
Assets
Interest-earning assets:
Interest-bearing deposits	$	3,496		$	33	3.77	%	$	3,598		$	40	4.41	%
Securities purchased under agreements to resell	2,775			26		3.72		2,859			32		4.36
Federal funds sold	7,108			66		3.71		5,889			65		4.36



Available-for-sale (AFS) securities:(1)
MBS(1)	13,241			167		5.00		13,989			205		5.81
U.S. Treasury and state housing agency obligations	6,474			64		3.95		6,465			75		4.62

Held-to-maturity (HTM) securities: MBS	606			7		4.24		1,223			15		4.85
Advances	34,228			357		4.14		41,081			462		4.46
Mortgage loans held for portfolio(2)	609			4		2.71		660			5		3.00

Total interest-earning assets	68,537			724		4.20		75,764			899		4.70
Other assets(3)	1,168							938
Total Assets	$	69,705						$	76,702
Liabilities and Capital
Interest-bearing liabilities:
Consolidated obligations:
Bonds	$	36,320		341		3.72	%	$	51,430		561		4.33	%
Discount notes	24,003			225		3.71		15,864			173		4.33
Deposits and other borrowings	1,288			11		3.52		1,361			15		4.21
Mandatorily redeemable capital stock	29			5		80.03		130			3		8.83
Borrowings from other FHLBanks	11			—		3.68		4			—		4.18
Total interest-bearing liabilities	61,651			582		3.75		68,789			752		4.33
Other liabilities(3)	775							672
Total Liabilities	62,426							69,461
Total Capital	7,279							7,241
Total Liabilities and Capital	$	69,705						$	76,702
Net Interest Income				$	142						$	147
Net Interest Spread(4)						0.45	%						0.37	%
Net Interest Margin(5)						0.83	%						0.77	%
Interest-earning Assets/Interest-bearing Liabilities	111.17		%					110.14		%

(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)Nonperforming mortgage loans are included in average balances used to determine average rate.

(3)Includes forward settling transactions and valuation adjustments for certain cash items received/(paid).

(4)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.

(5)Net interest margin is calculated as net interest income (annualized) divided by average interest-earning assets.

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The following table details the changes in interest income and interest expense for the third quarter of 2026 compared to the third quarter of 2025. Changes in both volume and interest rates influence changes in net interest income, net interest spread, and net interest margin.


Change in Net Interest Income: Rate/Volume Analysis Three Months Ended September 30, 2026, versus Three Months Ended September 30, 2025

	Increase/ (Decrease)		Attributable to Changes in(1)
(In millions)			Volume		Rate
Interest income:
Interest-bearing deposits	$	(7)	$	(1)	$	(6)
Securities purchased under agreements to resell	(6)		(1)		(5)
Federal funds sold	1		11		(10)

AFS securities:
MBS(2)	(38)		(11)		(27)
U.S. Treasury and state housing agency obligations(2)	(11)		—		(11)

HTM securities: MBS	(8)		(6)		(2)
Advances(2)	(105)		(73)		(32)
Mortgage loans held for portfolio	(1)		—		(1)
Total interest income	(175)		(81)		(94)
Interest expense:
Consolidated obligations:
Bonds(2)	(220)		(148)		(72)
Discount notes(2)	52		79		(27)
Deposits and other borrowings	(4)		(1)		(3)
Mandatorily redeemable capital stock	2		(5)		7

Total interest expense	(170)		(75)		(95)
Changes in net interest income	$	(5)	$	(6)	$	1

(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.

Net interest income in the third quarter of 2026 was $142 million, a 3% decrease from $147 million in the third quarter of 2025. The $5 million decrease in net interest income was largely driven by decreases in advance balances, partially offset by lower costs of interest-bearing liabilities.

The following tables present the effect of derivatives and hedging activities on net interest income.


	Three Months Ended
	September 30, 2026
(In millions)	Advances		AFS Securities		Consolidated Obligation Bonds		Consolidated Obligation Discount Notes		Total
(Amortization)/accretion of hedging activities	$	1	$	(23)	$	—	$	—	$	(22)

Net interest settlements on derivatives	5		46		(13)		1		39
Price alignment amount(1)	(1)		(4)		—		—		(5)
Total effect on net interest income	$	5	$	19	$	(13)	$	1	$	12

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	Three Months Ended
	September 30, 2025
(In millions)	Advances		AFS Securities		Consolidated Obligation Bonds		Consolidated Obligation Discount Notes		Total
(Amortization)/accretion of hedging activities	$	(6)	$	(25)	$	—	$	—	$	(31)

Net interest settlements on derivatives	40		86		(61)		(3)		62
Price alignment amount(1)	(1)		(2)		—		—		(3)
Total effect on net interest income	$	33	$	59	$	(61)	$	(3)	$	28

(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).”


	Three Months Ended
(In millions)	September 30, 2026		September 30, 2025
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option	$	(20)	$	(3)
Net gain/(loss) on derivatives	15		15
Standby letters of credit fees	5		4
Other, net	2		3
Total Other Income/(Loss)	$	2	$	19

The higher net losses on advances and consolidated obligation bonds held under the fair value option for the three months ended September 30, 2026, compared with the same period in 2025, were primarily driven by changes in interest rates and the Bank's higher balances of fixed-rate advances relative to consolidated obligations held under the fair value option.

The Bank presents 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.

The following table shows the categories of economic hedges and hedged items that contributed to the gains and losses on derivatives that were recorded in “Net gain/(loss) on derivatives” in the third quarter of 2026 and 2025.


Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives Three Months Ended September 30, 2026, Compared to Three Months Ended September 30, 2025

	Three Months Ended
	September 30, 2026						September 30, 2025
(In millions) Hedged Item	Gain/(Loss) on Economic Hedges		Income/ (Expense) on Economic Hedges		Total		Gain/(Loss) on Economic Hedges		Income/ (Expense) on Economic Hedges		Total
Advances:
Elected for fair value option	$	15	$	—	$	15	$	4	$	13	$	17
Not elected for fair value option	(5)		1		(4)		(7)		7		—
Consolidated obligation bonds:
Elected for fair value option	1		(1)		—		2		(3)		(1)
Not elected for fair value option	3		(2)		1		4		(5)		(1)
Consolidated obligation discount notes:
Not elected for fair value option	1		—		1		—		—		—


Non-MBS investments:
Not elected for fair value option	2		—		2		—		—		—



Total	$	17	$	(2)	$	15	$	3	$	12	$	15

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During the third quarter of 2026 and 2025, net gains on derivatives totaled $15 million. More favorable results on economic hedges of consolidated obligations and non-MBS investments were substantially offset by less favorable results on economic hedges of advances.

Discretionary Community Investment Contributions. During the third quarter of 2026, discretionary community investment contributions increased by $22 million compared with the same period in 2025, substantially driven by an additional mission contribution of $22.5 million recognized in the third quarter of 2026. The additional mission contribution supports efforts to expand housing supply, access to affordable housing, and other initiatives benefiting individuals and families across the Bank's three-state district of Arizona, California, and Nevada.

Return on Average Equity. Return on average equity (ROE) was 3.52% (annualized) for the third quarter of 2026, compared to 5.98% (annualized) for the third quarter of 2025. The decrease was driven by a decrease in net income for the third quarter of 2026 compared to the third quarter of 2025, while average capital balances remained relatively consistent.

Dividends and Retained Earnings. In the third quarter of 2026, the Bank paid quarterly dividends on the average capital stock outstanding during the second quarter of 2026, including dividends on Class B-1 membership stock and Class B-2 activity-based stock at annualized rates of 4.75% and 10.00%, respectively, totaling $44 million, including $42 million in dividends on capital stock and $2 million in dividends on mandatorily redeemable capital stock. The Bank also paid a special cash dividend of $75 million, including $70 million in dividends on capital stock and $5 million in dividends on mandatorily redeemable capital stock.

In the third quarter of 2025, the Bank paid dividends on the average Class B capital stock outstanding during the second quarter of 2025 at an annualized rate of 8.75%, totaling $64 million, including $61 million in dividends on capital stock and $3 million in dividends on mandatorily redeemable capital stock.

For more information on the Bank’s Capital Plan and Dividend Framework, see “Item 1. Financial Statements – Note 9 – Capital” in this report and see “Item 1. Business – Dividends and Retained Earnings,” and “Item 8. Financial Statements and Supplementary Data – Note 11 – Capital – Excess Stock Repurchase, Retained Earnings, and Dividend Framework” in the Bank’s 2025 Form 10-K.

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Net Interest Income for the Nine Months Ended September 30, 2026 and 2025. 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 nine months ended September 30, 2026 and 2025, 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.

Nine Months Ended September 30, 2026, Compared to Nine Months Ended September 30, 2025


Net Interest Spread and Margin

	Nine Months Ended
	September 30, 2026							September 30, 2025
(Dollars in millions)	Average Balance			Interest Income/ Expense		Average Rate		Average Balance			Interest Income/ Expense		Average Rate
Assets
Interest-earning assets:
Interest-bearing deposits	$	3,459		$	97	3.75	%	$	3,777		$	125	4.42	%
Securities purchased under agreements to resell	3,140			87		3.70		2,434			80		4.37
Federal funds sold	6,888			190		3.69		5,859			192		4.38



AFS securities:(1)
MBS(1)	13,413			502		5.01		13,889			595		5.73
U.S. Treasury and state housing agency obligations	6,536			192		3.94		6,450			223		4.62

HTM securities: MBS	676			22		4.32		1,359			50		4.91
Advances	36,456			1,108		4.06		43,825			1,468		4.48
Mortgage loans held for portfolio(2)	623			13		2.85		674			15		3.03
Loans to other FHLBanks	—			—		—		2			—		4.39
Total interest-earning assets	71,191			2,211		4.15		78,269			2,748		4.69
Other assets(3)	1,232							850
Total Assets	$	72,423						$	79,119
Liabilities and Capital
Interest-bearing liabilities:
Consolidated obligations:
Bonds	$	38,808		1,069		3.68	%	$	54,242		1,761		4.34	%
Discount notes	24,008			661		3.68		15,362			499		4.34
Deposits and other borrowings	1,349			35		3.49		1,439			46		4.26
Mandatorily redeemable capital stock	67			13		26.76		178			11		8.38
Borrowings from other FHLBanks	7			—		3.68		6			—		4.34
Total interest-bearing liabilities	64,239			1,778		3.70		71,227			2,317		4.35
Other liabilities(3)	855							691
Total Liabilities	65,094							71,918
Total Capital	7,329							7,201
Total Liabilities and Capital	$	72,423						$	79,119
Net Interest Income				$	433						$	431
Net Interest Spread(4)						0.45	%						0.34	%
Net Interest Margin(5)						0.81	%						0.74	%
Interest-earning Assets/Interest-bearing Liabilities	110.82		%					109.89		%

(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)Nonperforming mortgage loans are included in average balances used to determine average rate.

(3)Includes forward settling transactions and valuation adjustments for certain cash items received/(paid).

(4)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.

(5)Net interest margin is calculated as net interest income (annualized) divided by average interest-earning assets.

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The following table details the changes in interest income and interest expense for the nine months ended September 30, 2026, compared to the nine months ended September 30, 2025. Changes in both volume and interest rates influence changes in net interest income, net interest spread, and net interest margin.


Change in Net Interest Income: Rate/Volume Analysis Nine Months Ended September 30, 2026, versus Nine Months Ended September 30, 2025

	Increase/ (Decrease)		Attributable to Changes in(1)
(In millions)			Volume		Rate
Interest income:
Interest-bearing deposits	$	(28)	$	(10)	$	(18)
Securities purchased under agreements to resell	7		21		(14)
Federal funds sold	(2)		31		(33)


AFS securities:
MBS(2)	(93)		(20)		(73)
U.S. Treasury and state housing agency obligations(2)	(31)		3		(34)

HTM securities: MBS	(28)		(23)		(5)
Advances(2)	(360)		(232)		(128)
Mortgage loans held for portfolio	(2)		(1)		(1)

Total interest income	(537)		(231)		(306)
Interest expense:
Consolidated obligations:
Bonds(2)	(692)		(451)		(241)
Discount notes(2)	162		247		(85)
Deposits and other borrowings	(11)		(3)		(8)
Mandatorily redeemable capital stock	2		(10)		12

Total interest expense	(539)		(217)		(322)
Changes in net interest income	$	2	$	(14)	$	16

(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.

Net interest income for the first nine months of 2026 was $433 million, compared to $431 million for the first nine months of 2025. The $2 million increase in net interest income was primarily driven by $8 million of higher net advance and MBS prepayment fees recognized during the first nine months of 2026 compared with the same period in 2025. Excluding the impact of prepayment fees, net interest income decreased primarily due to lower advance balances, partially offset by lower costs of interest-bearing liabilities.

The following tables present the effect of derivatives and hedging activities on net interest income.


	Nine Months Ended
	September 30, 2026
(In millions)	Advances		AFS Securities		Consolidated Obligation Bonds		Consolidated Obligation Discount Notes		Total
(Amortization)/accretion of hedging activities	$	(5)	$	(69)	$	—	$	—	$	(74)
Net gain/(loss) on derivatives and hedged items	—		(1)		—		—		(1)
Net interest settlements on derivatives	28		137		(55)		3		113
Price alignment amount(1)	(2)		(8)		—		—		(10)
Total effect on net interest income	$	21	$	59	$	(55)	$	3	$	28

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	Nine Months Ended
	September 30, 2025
(In millions)	Advances		AFS Securities		Consolidated Obligation Bonds		Consolidated Obligation Discount Notes		Total
(Amortization)/accretion of hedging activities	$	(17)	$	(74)	$	—	$	—	$	(91)
Net gain/(loss) on derivatives and hedged items	(1)		(2)		—		—		(3)
Net interest settlements on derivatives	125		261		(175)		(3)		208
Price alignment amount(1)	(5)		(11)		(1)		—		(17)
Total effect on net interest income	$	102	$	174	$	(176)	$	(3)	$	97

(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).”


	Nine Months Ended
(In millions)	September 30, 2026		September 30, 2025
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option	$	(62)	$	34
Net gain/(loss) on derivatives	46		1
Standby letters of credit fees	16		14
Other, net	4		7
Total Other Income/(Loss)	$	4	$	56

The lower net gains/(losses) on advances and consolidated obligation bonds held under the fair value option for the nine months ended September 30, 2026, compared with the same period in 2025, were primarily driven by changes in interest rates and the Bank's higher balances of fixed-rate advances relative to consolidated obligations held under the fair value option.


Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives Nine Months Ended September 30, 2026 Compared to Nine Months Ended September 30, 2025

	Nine Months Ended
(In millions)	September 30, 2026						September 30, 2025
Hedged Item	Gain/(Loss) on Economic Hedges		Income/ (Expense) on Economic Hedges		Total		Gain/(Loss) on Economic Hedges		Income/ (Expense) on Economic Hedges		Total
Advances:
Elected for fair value option	$	47	$	4	$	51	$	(42)	$	37	$	(5)
Not elected for fair value option	(20)		11		(9)		(12)		20		8
Consolidated obligation bonds:
Elected for fair value option	3		(4)		(1)		8		(8)		—
Not elected for fair value option	8		(8)		—		14		(13)		1
Consolidated obligation discount notes:
Not elected for fair value option	2		—		2		(2)		—		(2)


Non-MBS investments:
Not elected for fair value option	3		—		3		—		—		—


Price alignment amount(1)	—		—		—		(1)		—		(1)
Total	$	43	$	3	$	46	$	(35)	$	36	$	1

(1) This amount relates to derivatives for which variation margin on cleared derivatives is characterized as a daily settled contract.

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During the first nine months of 2026, net gains on derivatives totaled $46 million compared to net gains of $1 million in the first nine months of 2025. The increase primarily reflected net fair value gains on economic hedges, particularly those related to advances held under the fair value option, compared to net fair value losses in the prior-year period, partially offset by lower net interest settlement gains associated with changes in interest rates.

Discretionary Community Investment Contributions. During the first nine months of 2026, discretionary community investment contributions increased by $38 million compared with the same period in 2025, primarily attributable to the recognition of two additional mission contributions of $22.5 million each during the first and third quarters of 2026. The additional mission contributions support efforts to expand housing supply, access to affordable housing, and other initiatives benefiting individuals and families across the Bank’s three-state district of Arizona, California, and Nevada.

Return on Average Equity. ROE (annualized) was 4.04% for the first nine months of 2026, compared to 5.52% for the first nine months of 2025. The decrease was primarily attributable to lower net income for the nine months ended September 30, 2026, compared with the same period in 2025, while average capital balances remained relatively consistent.

Dividends and Retained Earnings. In the first nine months of 2026, the Bank paid three quarterly dividends totaling $147 million, including $140 million in dividends on capital stock and $7 million in dividends on mandatorily redeemable capital stock. These dividends included amounts paid at an annualized rate of 8.75% on average Class B stock outstanding during the fourth quarter of 2025, prior to the January 2, 2026 capital stock conversion, as well as amounts paid at annualized rates of 4.75% and 10.00% on average Class B‑1 membership stock and average Class B‑2 activity‑based stock outstanding, respectively, following the conversion. The Bank also paid two special cash dividends totaling $150 million, including $142 million in dividends on capital stock and $8 million in dividends on mandatorily redeemable capital stock.

In the first nine months of 2025, the Bank paid dividends on average Class B stock outstanding at an annualized rate of 8.75%, totaling $186 million, including $168 million in dividends on capital stock and $18 million in dividends on mandatorily redeemable capital stock.

Financial Condition

At September 30, 2026, total assets were $66.6 billion, a decrease of $6.7 billion from $73.3 billion at December 31, 2025. The decrease in total assets was primarily attributable to a decrease in advances partially offset by an increase in short‑term investments. Advances decreased by $7.4 billion, to $30.8 billion at September 30, 2026, from $38.2 billion at December 31, 2025, with the decrease largely attributable to lower advances outstanding to nonmembers and the repayment of advances by certain institutions that became nonmembers during 2026.

Total liabilities were $59.4 billion at September 30, 2026, a decrease of $6.6 billion from $66.0 billion at December 31, 2025, primarily reflecting a $6.8 billion decrease in consolidated obligations outstanding to $57.5 billion at September 30, 2026, from $64.3 billion at December 31, 2025.

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Advances-Related Products. The advances-related products consist of advances and other credit products. The following table presents the advances portfolio by product type.


	September 30, 2026				December 31, 2025
(Dollars in millions)	Par Value		Percentage of Total Par Value		Par Value		Percentage of Total Par Value


Adjustable – Secured Overnight Financing Rate (SOFR)	$	3,324	11	%	$	2,455	6	%
Adjustable – SOFR, callable at borrower’s option	2,600		8		4,700		12


Subtotal adjustable rate advances	5,924		19		7,155		18
Fixed	5,948		19		4,095		11
Fixed – amortizing	1		—		21		—
Fixed – with PPS	16		—		30		—
Fixed – with FPS	8,676		28		15,187		40


Fixed – callable at borrower’s option with FPS	200		1		275		1


Fixed – putable at Bank’s option with FPS	3,114		10		5,532		15

Subtotal fixed rate advances	17,955		58		25,140		67
Daily variable rate	7,082		23		5,854		15
Total par value	$	30,961	100	%	$	38,149	100	%

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. Mortgage-related products consist of MBS investments and mortgage loans.

The Bank’s MBS investments were $14.0 billion and $14.7 billion at September 30, 2026, and December 31, 2025, respectively. During the first nine months of 2026, the Bank’s MBS investments decreased primarily because of $800 million in principal repayments and a $577 million decrease in the valuation adjustments for hedging activities, partially offset by $653 million in MBS purchases.

For more information on the Bank’s mortgage-related products, including the mortgage loan portfolio, see “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Credit Risk” in the Bank’s 2025 Form 10-K.

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 2025 Form 10-K. The Bank’s status as a government-sponsored enterprise (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.

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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, and meet expected and unexpected member credit demands. Excess liquidity may also be used for investment opportunities. The Bank monitors its financial position in order to meet these objectives.

As of September 30, 2026, and December 31, 2025, 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 September 30, 2026, and December 31, 2025, were within the tolerance levels provided by the Finance Agency’s guidelines.

For more information, see “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Liquidity and Capital Resources – Liquidity,” “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 8 – Consolidated Obligations” in the Bank’s 2025 Form 10-K.

Capital

As disclosed in the Bank’s 2025 Form 10-K, the Bank’s capital plan, amended effective November 15, 2024, provided the Bank’s Board the option to establish two subclasses of stock. On October 6, 2025, the Bank provided notice to its members that the Board adopted resolutions to provide for the mandatory conversion of the Bank’s Class B stock into Class B-1 and Class B-2 stock, and to designate the rights, preferences, and privileges of such Class B-1 and Class B-2 stock, effective January 2, 2026 (see Form 8-K filed on October 6, 2025). Effective January 2, 2026, the Bank’s outstanding Class B stock was converted into Class B-1 membership stock and Class B-2 activity-based stock. Class B-2 activity-based stock is equal to the Activity-Based Stock Requirement (as defined in the Capital Plan), and Class B-1 membership stock is calculated by subtracting the Activity-Based Stock Requirement from total capital stock held. If a member has no activity requiring Class B-2 activity-based stock, such member will hold only Class B-1 membership stock based on the Membership Stock Requirement (as defined in the Capital Plan). The Board also approved an update to the dividend philosophy that establishes a guideline for dividend rates for Class B-2 stock to be greater than or equal to Class B-1 stock. The decision to declare any dividend and any dividend rates are at the discretion of the Board and the Board may choose to follow or not follow the dividend philosophy in the declaration of any dividends.

The Bank’s ability to expand as member credit needs increase is based, in part, on the capital stock requirements for advances. A member is required to maintain sufficient capital stock to support its advances and letters of credit activity with the Bank. Unless a member already has sufficient excess stock, it must increase its capital stock investment in the Bank as its balance of outstanding advances increases. The Activity-Based Stock Requirement is currently 2.7% for outstanding advances and 0.1% of notional balances for outstanding letters of credit. The Bank’s minimum regulatory capital-to-assets ratio requirement is currently 4.00%; therefore, the Bank maintains a certain required level of retained earnings to support capital compliance and business growth.

In July 2026, the level of required retained earnings established by the Bank's Framework, implemented in accordance with Finance Agency guidance, was increased from $2.3 billion to $2.6 billion.

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,

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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 2025 Form 10-K.

Credit Ratings. There have been no changes to the Bank’s credit ratings since those disclosed in the Bank’s 2025 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.

The concentration of advances among the Bank’s five largest borrowers was 45% of total advances outstanding, or $13.8 billion, at September 30, 2026, compared with 41%, or $15.8 billion, at December 31, 2025. At September 30, 2026, and December 31, 2025, one borrower represented 10% or more of total advances outstanding.

As of September 30, 2026, and December 31, 2025, nonmembers accounted for $0.6 billion, or 2%, and $3.8 billion, or 10%, of total advances outstanding at par value, respectively. Nonmembers, excluding housing associates in the Bank's district, accounted for $10 million and $56 million of coupon interest income on advances for the three and nine months ended September 30, 2026, respectively, representing 3% and 5% of the Bank's total interest income from advances for the respective periods. Nonmembers, excluding housing associates in the Bank's district, accounted for $36 million and $165 million of coupon interest income on advances for the three and nine months ended September 30, 2025, respectively, representing 8% and 12% of the Bank's total interest income from advances for the respective periods.

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.


Borrower Credit Outstanding and Collateral Borrowing Capacity by Unused Borrowing Capacity

September 30, 2026
(Dollars in millions) Unused Borrowing Capacity	Number of Borrowers with Credit Outstanding	Credit Outstanding(1)		Collateral Borrowing Capacity(2)
0% – 10%	12	$	4,021	$	4,099
11% – 25%	9	750		913
26% – 50%	22	7,784		11,956
More than 50%	149	38,643		192,396
Total	192	$	51,198	$	209,364

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December 31, 2025
(Dollars in millions) Unused Borrowing Capacity	Number of Borrowers with Credit Outstanding	Credit Outstanding(1)		Collateral Borrowing Capacity(2)
0% – 10%	6	$	5,517	$	5,572
11% – 25%	7	2,481		3,186
26% – 50%	21	8,861		14,565
More than 50%	159	41,582		189,102
Total	193	$	58,441	$	212,425

(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 was deemed necessary by the Bank as of September 30, 2026, and December 31, 2025. The Bank has never experienced any credit losses on advances.

As of September 30, 2026, of the loan collateral pledged to the Bank, 16% was pledged by 21 institutions by specific identification, 45% was pledged by 111 institutions under a blanket lien with detailed reporting, and 39% was pledged by 137 institutions under a blanket lien with summary reporting. For each institution that pledges loan collateral, the Bank conducts loan collateral field reviews every 6 to 36 months, depending on the risk profile of the institution and the types of collateral pledged.

As of September 30, 2026, 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.


Composition of Loan Collateral Pledged

(In millions)	September 30, 2026				December 31, 2025
Loan Type	Unpaid Principal Balance		Borrowing Capacity		Unpaid Principal Balance		Borrowing Capacity
First lien residential mortgage loans	$	153,371	$	104,320	$	148,345	$	101,028
Second lien residential mortgage loans and home equity lines of credit	17,544		8,088		13,919		6,452
Multifamily mortgage loans	32,198		20,580		35,265		22,654
Commercial mortgage loans	72,973		46,562		77,045		49,939
Loan participations(1)	1,245		480		1,380		547
Small business, small farm, and small agribusiness loans	977		245		1,406		353

Total	$	278,308	$	180,275	$	277,360	$	180,973

(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.

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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 September 30, 2026, and December 31, 2025, the unpaid principal balance of these loans totaled $5.3 billion and $5.4 billion, respectively. The Bank reviews and assigns borrowing capacities to subprime mortgage loans as it does for all other types of loan collateral, taking into account the known credit attributes in the pricing of the loans. All advances, including those made to borrowers pledging subprime mortgage loans, are required to be fully collateralized. The Bank limits the amount of borrowing capacity that may be supported by subprime collateral. At September 30, 2026, and December 31, 2025, the borrowing capacity of these loans totaled $3.7 billion and $3.8 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.

The following table presents the Bank’s investment credit exposure at September 30, 2026, based on the lowest of the long-term credit ratings provided by Moody’s Ratings (Moody’s) or S&P Global Ratings (S&P).


	Carrying Value
(In millions)	Credit Rating(1)
Investment Type	AA		A		BBB		Below Investment Grade		Unrated		Total
U.S. Treasury obligations	$	6,312	$	—	$	—	$	—	$	—	$	6,312
State housing agency obligations	64		—		—		—		—		64
MBS:
Other U.S. obligations – single-family	12		—		—		—		—		12
MBS – GSEs:
Single-family(2)	340		—		3		1		—		344
Multifamily	12,799		—		—		—		—		12,799
Total MBS – GSEs	13,139		—		3		1		—		13,143
Private-label residential mortgage-backed securities (PLRMBS)	10		16		18		405		406		855
Total MBS	13,161		16		21		406		406		14,010
Total securities	19,537		16		21		406		406		20,386
Interest-bearing deposits	612		2,515		—		—		—		3,127
Securities purchased under agreements to resell(3)	—		500		—		—		4,700		5,200
Federal funds sold	1,845		4,100		—		—		—		5,945
Total investments	$	21,994	$	7,131	$	21	$	406	$	5,106	$	34,658

(1)Credit ratings 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 September 30, 2026, because of extraordinary expenses incurred during bankruptcy of the security's sponsor in 2008.

(3)Externally unrated counterparties for these investments were eligible broker-dealers under the Bank’s counterparty risk framework, supported by internal credit assessments and U.S. Treasury collateral.

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The following table presents the unsecured credit exposure with counterparties by investment type.




	Carrying Value(1)
(In millions)	September 30, 2026		December 31, 2025
Interest-bearing deposits	$	3,127	$	3,092
Federal funds sold	5,945		5,070
Total	$	9,072	$	8,162

(1)Excludes unsecured investment credit exposure to U.S. government agencies and instrumentalities, government-sponsored enterprises, and supranational entities and does not include related accrued interest as of September 30, 2026, and December 31, 2025.

The Bank’s MBS investments include PLRMBS and agency single-family and multifamily MBS. Some of the PLRMBS were issued by or purchased from members, former members, or their affiliates. The Bank has investment credit limits and terms for these investments that do not differ for members and nonmembers. Regulatory policy limits total MBS investments to three times the Bank’s regulatory capital at the time of purchase. At September 30, 2026, the Bank’s MBS portfolio was 208% 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 September 30, 2026, the Bank’s investment in MBS had gross unrealized losses totaling $40 million, $29 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.

Derivative Counterparties. The following table presents the Bank’s credit exposure to its derivative dealer counterparties at September 30, 2026.


Credit Exposure to Derivative Dealer Counterparties

(In millions) Counterparty Credit Rating(1)	Notional Amount		Net Fair Value of Derivatives Before Collateral		Cash Collateral Pledged to/ (from) Counterparty		Non-cash Collateral Pledged to/ (from) Counterparty		Net Credit Exposure to Counterparties
Asset positions with credit exposure:
Uncleared derivatives

A	$	6,384	$	342	$	(341)	$	—	$	1
BBB	3,056		1		—		—		1
Cleared derivatives(2)	$	42,963	$	8	$	—	$	511	$	519
Liability positions with credit exposure:
Uncleared derivatives

A	2,269		(37)		39		—		2


Total derivative positions with credit exposure to nonmember counterparties	$	54,672	$	314	$	(302)	$	511	$	523


Derivative positions without credit exposure	6,024
Total notional	$	60,696

(1)The credit ratings 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

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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 2025 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 nine months of 2026 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”, “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” and “Item 8. Financial Statements and Supplementary Data – Note 13 – Derivatives and Hedging Activities” in the Bank’s 2025 Form 10-K.

Legislative and Regulatory Developments

The Bank is subject to various legal and regulatory requirements and priorities. Certain actions, regulatory priorities, and areas of focus of the current administration have changed and continue to change the regulatory environment. These changes have affected, and likely will continue to affect, certain aspects of the Bank’s business operations, and could affect the financial condition, results of operations, and reputation of the Bank. Additionally, the Bank is subject to extensive regulatory oversight, including ongoing monitoring and targeted examinations by our regulator, which could affect our business operations and financial results.

Considering the regulatory environment, there is uncertainty with respect to the ultimate result of future regulatory actions and their ultimate impact on the housing market, the Bank and the FHLBank System. The Bank continues to monitor the legislative and regulatory environments as they evolve and to evaluate their potential effects on the Bank. For further discussion of related risks, see “Item 1A. Risk Factors” in the Bank’s 2025 Form 10-K.

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

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 measured market value of capital sensitivity was within the limits as of September 30, 2026.

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.

Market Value of Capital Sensitivity
Estimated Percentage Change in Market Value of Bank Capital
for Various Changes in Interest Rates

Interest Rate Scenario(1)

September 30, 2026

December 31, 2025

+200 basis-point change

-0.2

-0.3

+100 basis-point change

-0.0

-0.2

–100 basis-point change(2)

+0.0

+0.5

–200 basis-point change(2)

+0.2

+1.1

(1)Instantaneous change from actual rates at dates indicated.

(2)Interest rates for each maturity are limited to non-negative rates.

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The Bank’s estimates of the sensitivity of the market value of capital to changes in interest rates as of September 30, 2026, are comparable to the estimates as of December 31, 2025 for rising rate scenarios, but less favorable in declining rate scenarios due to the increase in interest rates. Compared to December 31, 2025, interest rates as of September 30, 2026, have increased 33 basis points for the one-month Treasury bill, increased 138 basis points for the five-year Treasury note, and increased 115 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 (including mandatorily redeemable capital stock recognized as a liability in the Statements of Condition). The ratio of the Bank’s estimated market value of total capital to par value of capital stock was 291% as of September 30, 2026.

Adjusted Net Interest Income as a Percent of Capital – The Bank assesses the impact of interest rate changes on its projected earnings by monitoring its adjusted net interest income as a percent of capital. With the indicated interest rate shifts, the adjusted net interest income on capital for the 12-month horizon is projected to remain within the limit of a 210 basis point decline. For more information on adjusted net interest income and adjusted net interest income as a percent of capital, see “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Market Risk” in the Bank’s 2025 Form 10-K.

Duration Gap – The Bank monitors the duration gap analysis. The Bank’s duration gap metric as of September 30, 2026 marginally declined compared with the estimate as of December 31, 2025 primarily due to higher interest rates. The following table presents the Bank's duration gap for its assets and liabilities at September 30, 2026, and December 31, 2025.


Duration Gap Analysis

	September 30, 2026			December 31, 2025
	Amount (In millions)		Duration Gap(1) (In months)	Amount (In millions)		Duration Gap(1) (In months)
Assets	$	66,577	0.8	$	73,329	1.3
Liabilities	59,374		0.9	65,969		0.9
Net	$	7,203	(0.1)	$	7,360	0.4

(1)Duration gap values include the impact of interest rate exchange agreements.

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 2025 Form 10-K.

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.

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Management of the Bank has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with the participation of the interim 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 interim president and chief executive officer, and executive vice president and chief financial officer have concluded that the Bank’s disclosure controls and procedures were effective at a reasonable assurance level as of the end of the period covered by this report.

Internal Control Over Financial Reporting

During the three months ended September 30, 2026, 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 2025 Form 10-K. Reference is made to sections in “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

None.

ITEM 6. EXHIBITS


Exhibit No.						Description

31.1						Certification of the Interim President and Chief Executive Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

31.2						Certification of the Chief Financial Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

32.1						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

32.2						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

101.INS						Inline XBRL Instance Document - The instance document does not appear in the interactive data file because its XBRL tags are embedded within the inline XBRL document.

101.SCH						Inline XBRL Taxonomy Extension Schema Document

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101.DEF						Inline XBRL Taxonomy Extension Definition Linkbase Document

101.LAB						Inline XBRL Taxonomy Extension Label Linkbase Document

101.PRE						Inline XBRL Taxonomy Extension Presentation Linkbase Document

104						Cover Page Interactive Data File - The cover page interactive data file does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document.

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized, on November 4, 2026.


			Federal Home Loan Bank of San Francisco

			/S/ WINTHROP WATSON
			Winthrop Watson 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)