|                                              |        |                              |         |         |         |         |          |           |        |        |           |        |        |           |           |        |        |   |           |        |
|----------------------------------------------|--------|------------------------------|---------|---------|---------|---------|----------|-----------|--------|--------|-----------|--------|--------|-----------|-----------|--------|--------|---|-----------|--------|
|                                         |   | For Years Ended December 31, |
| Computation of Earnings to Fixed Charges     |   | 2010                         |    | 2009(1) |    | 2008(1) |     | 2007      |   | 2006   |
| (in thousands, except ratios)                |   |                         |    |    |    |    |     |      |   |   |
| Earnings:                                    |   |                         |    |    |    |    |     |      |   |   |
| Income (loss) before assessments             |   | $                            | 27,901  |    |    | $       | (161,609 | )         |   | $      | (199,364  | )      |   | $         | 96,257    |   |   | $ | 35,087    |   |
| Fixed charges                                |   | 398,091                      |    |    | 663,954 |    |     | 2,068,518 |   |   | 2,835,663 |   |   | 2,456,559 |      |
| Earnings available for fixed charges         |   | $                            | 425,992 |    |    | $       | 502,345  |      |   | $      | 1,869,154 |   |   | $         | 2,931,920 |   |   | $ | 2,491,646 |   |
| Fixed Charges:                               |   |                         |    |    |    |    |     |      |   |   |
| Interest expense on consolidated obligations |   | $                            | 396,988 |    |    | $       | 662,129  |      |   | $      | 2,042,726 |   |   | $         | 2,786,847 |   |   | $ | 2,413,097 |   |
| Interest expense on deposits and borrowings  |   | 268                          |    |    | 922     |    |     | 25,074    |   |   | 48,267    |   |   | 42,876    |      |
| Interest portion of rental expense (2)  |   | 835                          |    |    | 903     |    |     | 718       |   |   | 549       |   |   | 586       |      |
| Fixed charges                                |   | $                            | 398,091 |    |    | $       | 663,954  |      |   | $      | 2,068,518 |   |   | $         | 2,835,663 |   |   | $ | 2,456,559 |   |
| Ratio of earnings to fixed charges           |   | 1.07                         |    |    | — |    |     | —   |   |   | 1.03      |   |   | 1.01      |      |

|     |                                                                                                                                                                                                                                                        |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | Earnings were inadequate to cover fixed charges by approximately $161.6 million and $199.4 million for the years ended December 31, 2009 and 2008.                                                                                                     |
| (2) | The interest portion of rental expense does not include $442,000, $301,000, $193,000, $878,000, and $1.0 million in recoveries in 2010, 2009, 2008, 2007, and 2006 of our lease abandonment costs due to adjustments in projected future rental rates. |