----

----

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

| o | TRANSITION      REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF      1934 |
|---|----------------------------------------------------------------------------------------------------|

| Federally      chartered corporation                                | 91-0852005                                |
|---------------------------------------------------------------------|-------------------------------------------|
| (State      or other jurisdiction of incorporation or organization) | (I.R.S.      Employer Identification No.) |

| 1501      Fourth Avenue, Suite 1800, Seattle, WA | 98101-1693      |
|--------------------------------------------------|-----------------|
| (Address      of principal executive offices)    | (Zip      Code) |

| Securities      registered pursuant to Section 12(g) of the Act:    | Name      of Each Exchange on Which Registered: |   |
|--------------------------------------------------------------------------|-------------------------------------------------|--------|
| Class      B Common Stock, $100 par value per share(Title of      class) |                                            | N/A    |   |

| Large      accelerated filer o                                                                 | Accelerated      filer o               |
|-----------------------------------------------------------------------------------------------------|---------------------------------------------|
| Non-accelerated      filer  x  (Do not check      if smaller reporting company) | Smaller      reporting company  o |

----

----

FORM 10-Q 

|          |                                                                                                      |   |
|---------------|-----------------------------------------------------------------------------------------------------------|--------|
|          |                                                                                                      | Page   |
| PART I.  |  FINANCIAL      INFORMATION                                                                          |   |
| Item 1.  | Financial Statements:                                                                                     |        |
|          | Statements      of Condition – As of March 31, 2010 and December 31, 2009      (unaudited)          | 3      |
|          | Statements      of Operations – For the Three Months Ended March 31, 2010 and 2009      (unaudited) | 4      |
|          | Statements      of Capital – For the Three Months Ended March 31, 2010 and 2009      (unaudited)    | 5      |
|          | Statements      of Cash Flows – For the Three Months Ended March 31, 2010 and 2009      (unaudited) | 6      |
|          | Condensed      Notes to Financial Statements (unaudited)                                                  | 8      |
| Item 2.  | Management’s Discussion and Analysis of Financial      Condition and Results of Operations          | 45     |
| Item 3.  | Quantitative and Qualitative Disclosures About      Market Risk                                           | 90     |
| Item 4.  | Controls and Procedures                                                                                   | 93     |
|          |                                                                                                      |   |
| PART II. |  OTHER      INFORMATION                                                                              |   |
| Item 1.  | Legal Proceedings                                                                                         | 94     |
| Item 1A. | Risk Factors                                                                                              | 94     |
| Item 2.  | Unregistered Sales of Equity Securities and Use of      Proceeds                                          | 96     |
| Item 3.  | Defaults Upon Senior      Securities                                                                      | 97     |
| Item 4.  | Reserved                                                                                                  | 97     |
| Item 5.  | Other Information                                                                                         | 97     |
| Item 6.  | Exhibits                                                                                                  | 97     |
|          |                                                                                                      |
| SIGNATURES    | 98                                                                                                        |

----

Table of Contents

S

|                                                                                                                                                               |   | As      ofMarch      31, 2010 |       |   | As      ofDecember      31, 2009 |   |
|--------------------------------------------------------------------------------------------------------------------------------------------------------------------|--------|-------------------------------|------------|--------|----------------------------------|--------|
| (in      thousands, except par value)                                                                                                                              |   |                          |       |   |                             |   |
| Assets                                                                                                                                                             |   |                          |       |   |                             |   |
| Cash and due      from banks                                                                                                                                       |   | $                             | 1,150      |   |                             | $      | 731,430 |   |
| Deposits with      other FHLBanks                                                                                                                                  |   |                          | 45         |   |                             |   | 32 |   |
| Securities      purchased under agreements to resell                                                                                                               |   |                          | 7,500,000  |   |                             |   | 3,500,000 |   |
| Federal funds      sold                                                                                                                                            |   |                          | 8,999,080  |   |                             |   | 10,051,000 |   |
| Available-for-sale      securities (Note 2)                                                                                                                        |   |                          | 2,640,537  |   |                             |   | 976,870 |   |
| Held-to-maturity      securities*      (Note 3)                                                                                                                    |   |                          | 8,755,759  |   |                             |   | 9,288,906 |   |
| Advances (Note      5)                                                                                                                                             |   |                          | 19,865,353 |   |                             |   | 22,257,026 |   |
| Mortgage loans      held for portfolio                                                                                                                             |   |                          | 3,923,910  |   |                             |   | 4,106,821 |   |
| Less:  Allowance      for credit losses on mortgage loans                                                                                                |   |                          | 368        |   |                             |   | 626 |   |
| Mortgage loans      held for portfolio, net (Note 6)                                                                                                               |   |                          | 3,923,542  |   |                             |   | 4,106,195 |   |
| Accrued      interest receivable                                                                                                                                   |   |                          | 78,273     |   |                             |   | 123,586 |   |
| Premises,      software, and equipment, net                                                                                                                        |   |                          | 14,323     |   |                             |   | 14,836 |   |
| Derivative      assets (Note 7)                                                                                                                                    |   |                          | 5,295      |   |                             |   | 3,649 |   |
| Other      assets                                                                                                                                                  |   |                          | 39,087     |   |                             |   | 40,953 |   |
| Total      Assets                                                                                                                                                  |   | $                             | 51,822,444 |   |                             | $      | 51,094,483 |   |
| Liabilities                                                                                                                                                        |   |                          |       |   |                             |   |   |   |
| Deposits:                                                                                                                                                          |   |                          |       |   |                             |   |   |   |
| Interest-bearing                                                                                                                                                   |   | $                             | 371,117    |   |                             | $      | 339,800 |   |
| Total      deposits                                                                                                                                                |   |                          | 371,117    |   |                             |   | 339,800 |   |
| Consolidated      obligations, net (Note 8):                                                                                                                       |   |                          |       |   |                             |   |   |   |
| Discount      notes                                                                                                                                                |   |                          | 17,467,151 |   |                             |   | 18,501,642 |   |
| Bonds                                                                                                                                                              |   |                          | 30,734,042 |   |                             |   | 29,762,229 |   |
| Total      consolidated obligations, net                                                                                                                           |   |                          | 48,201,193 |   |                             |   | 48,263,871 |   |
| Mandatorily      redeemable capital stock (Note 9)                                                                                                                 |   |                          | 948,393    |   |                             |   | 946,527 |   |
| Accrued      interest payable                                                                                                                                      |   |                          | 146,376    |   |                             |   | 207,842 |   |
| Affordable      Housing Program (AHP) payable                                                                                                                      |   |                          | 7,539      |   |                             |   | 8,628 |   |
| Derivative      liabilities (Note 7)                                                                                                                               |   |                          | 308,423    |   |                             |   | 300,030 |   |
| Other      liabilities                                                                                                                                             |   |                          | 788,219    |   |                             |   | 34,037 |   |
| Total      liabilities                                                                                                                                             |   |                          | 50,771,260 |   |                             |   | 50,100,735 |   |
| Commitments      and contingencies (Note 13)                                                                                                                       |   |                          |       |   |                             |   |   |   |
| Capital      (Note 9)                                                                                                                                              |   |                          |       |   |                             |   |   |   |
| Capital      stock:                                                                                                                                                |   |                          |       |   |                             |   |   |   |
| Class B      capital stock putable ($100 par value) - issued and outstanding shares:      17,155 and 17,171 shares as of March 31, 2010 and December 31,      2009 |   |                          | 1,715,457  |   |                             |   | 1,717,149 |   |
| Class A      capital stock putable ($100 par value) - issued and outstanding shares:      1,325 shares      as of both March 31, 2010 and December 31, 2009   |   |                          | 132,519    |   |                             |   | 132,518 |   |
| Total capital      stock                                                                                                                                           |   |                          | 1,847,976  |   |                             |   | 1,849,667 |   |
| Retained      earnings                                                                                                                                             |   |                          | 58,964     |   |                             |   | 52,897 |   |
| Accumulated      other comprehensive loss (Note 9)                                                                                                                 |   |                          | (855,756   | )      |                             |   | (908,816 | )  |
| Total      capital                                                                                                                                                 |   |                          | 1,051,184  |   |                             |   | 993,748 |   |
| Total      Liabilities and Capital                                                                                                                                 |   | $                             | 51,822,444 |   |                             | $      | 51,094,483 |   |

| * |  Fair      values of held-to-maturity securities were $8,456,929 and $8,884,890 as of      March 31, 2010 and December 31,2009. |
|---|--------------------------------------------------------------------------------------------------------------------------------------|

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ST

|                                                                       |   | For      the Three Months Ended March      31, |    |
|----------------------------------------------------------------------------|--------|------------------------------------------------|---------|
|                                                                       |   | 2010                                           |    |   | 2009 |   |
| (in      thousands)                                                        |   |                                           |    |   |   |   |
| Interest      Income                                                       |   |                                           |    |   |   |   |
| Advances                                                                   |   | $                                              | 46,131  |   |   | $ | 175,245 |   |
| Prepayment      fees on advances, net                                      |   |                                           | 2,607   |   |   |   | 3,988 |   |
| Interest-bearing      deposits                                             |   |                                           | 17      |   |   |   | 27 |   |
| Securities      purchased under agreements to resell                       |   |                                           | 1,641   |   |   |   | 2,591 |   |
| Federal funds      sold                                                    |   |                                           | 3,770   |   |   |   | 1,448 |   |
| Available-for-sale      securities                                         |   |                                           | 3,755   |   |   |   |   |   |
| Held-to-maturity      securities                                           |   |                                           | 40,627  |   |   |   | 68,293 |   |
| Mortgage loans      held for portfolio                                     |   |                                           | 49,633  |   |   |   | 63,640 |   |
| Total interest      income                                                 |   |                                           | 148,181 |   |   |   | 315,232 |   |
| Interest      Expense                                                      |   |                                           |    |   |   |   |   |   |
| Consolidated      obligations - discount notes                             |   |                                           | 4,321   |   |   |   | 31,615 |   |
| Consolidated      obligations - bonds                                      |   |                                           | 102,305 |   |   |   | 208,772 |   |
| Deposits                                                                   |   |                                           | 45      |   |   |   | 481 |   |
| Total interest      expense                                                |   |                                           | 106,671 |   |   |   | 240,868 |   |
| Net      Interest Income                                                   |   |                                           | 41,510  |   |   |   | 74,364 |   |
| Benefit for      credit losses                                             |   |                                           | (428    | ) |   |   |   |   |
| Net      Interest Income after Benefit for Credit Losses                   |   |                                           | 41,938  |   |   |   | 74,364 |   |
| Other      (Loss) Income                                                   |   |                                           |    |   |   |   |   |   |
| Total OTTI      losses (Note 4)                                            |   |                                           | (57,254 | ) |   |   | (895,195 | ) |
| Portion of      OTTI losses recognized in other comprehensive loss         |   |                                           | 37,614  |   |   |   | 823,527 |   |
| Net OTTI loss      recognized in income                                    |   |                                           | (19,640 | ) |   |   | (71,668 | ) |
| Net gain      (loss) on derivatives and hedging activities                 |   |                                           | 4,017   |   |   |   | (2,941 | ) |
| Net realized      loss on early extinguishment of consolidated obligations |   |                                           | (3,916  | ) |   |   | (4,526 | ) |
| Service      fees                                                          |   |                                           | 673     |   |   |   | 572 |   |
| Other,      net                                                            |   |                                           | 2       |   |   |   | 13 |   |
| Total other      loss                                                      |   |                                           | (18,864 | ) |   |   | (78,550 | ) |
| Other      Expense                                                         |   |                                           |    |   |   |   |   |   |
| Operating:                                                                 |   |                                           |    |   |   |   |   |   |
| Compensation      and benefits                                             |   |                                           | 7,587   |   |   |   | 6,652 |   |
| Other      operating                                                       |   |                                           | 5,808   |   |   |   | 4,229 |   |
| Federal      Housing Finance Agency                                        |   |                                           | 681     |   |   |   | 496 |   |
| Office of      Finance                                                     |   |                                           | 644     |   |   |   | 484 |   |
| Other,      net                                                            |   |                                           | 96      |   |   |   | 145 |   |
| Total other      expense                                                   |   |                                           | 14,816  |   |   |   | 12,006 |   |
| Income (Loss)      before Assessments                                      |   |                                           | 8,258   |   |   |   | (16,192 | ) |
| Assessments                                                                |   |                                           |    |   |   |   |   |   |
| AHP                                                                        |   |                                           | 674     |   |   |   |   |   |
| REFCORP                                                                    |   |                                           | 1,517   |   |   |   | 33 |   |
| Total      assessments                                                     |   |                                           | 2,191   |   |   |   | 33 |   |
| Net      Income (Loss)                                                     |   | $                                              | 6,067   |   |   | $ | (16,225 | ) |

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ST

| For      the Three Months Ended                                           |   | Class      A Capital Stock* |   |   | Class      B Capital Stock* |   |    | Retained |   |   |        Accumulated      Other Comprehensive | Total  |   |
|---------------------------------------------------------------------------|--------|-----------------------------|--------|--------|-----------------------------|--------|---------|----------|--------|--------|--------------------------------------------------|--------|--------|
| March      31, 2010 and 2009                                              |   | Shares                      |   |   | Par      Value              |   |    | Shares   |   |   | Par      Value                                   |   |   |  Earnings |   |   | Loss |   |   | Capital |   |
| (amounts      and shares in thousands)                                    |   |                        |   |   |                        |   |    |     |   |   |                                             |   |   |   |   |   |   |   |   |   |   |
| Balance,      December 31, 2008                                           |   |                        | 1,179  |   |                        | $      | 117,853 |     |   |   | 17,302                                           |   |   | $ | 1,730,287 |   |   | $ | (78,876 | ) |   | $ | (2,939 | ) |   | $ | 1,766,325 |   |
| Cumulative-effect      adjustment (Note 9)                                |   |                        |   |   |                        |   |    |     |   |   |                                             |   |   |   |   |   |   |   | 293,415 |   |   |   | (293,415 | ) |   |   |   |   |
| Proceeds from      sale of capital stock                                  |   |                        | 188    |   |                        |   | 18,820  |     |   |   | 43                                               |   |   |   | 4,318 |   |   |   |   |   |   |   |   |   |   |   | 23,138 |   |
| Net shares      reclassified to mandatorily redeemable capital stock      |   |                        | (22    | )      |                        |   | (2,253  | )        |   |   | (15                                              | )      |   |   | (1,512 | ) |   |   |   |   |   |   |   |   |   |   | (3,765 | ) |
| Comprehensive      loss:                                                  |   |                        |   |   |                        |   |    |     |   |   |                                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net      loss                                                             |   |                        |   |   |                        |   |    |     |   |   |                                             |   |   |   |   |   |   |   | (16,225 | ) |   |   |   |   |   |   | (16,225 | ) |
| Other      comprehensive loss (Note 9)                                    |   |                        |   |   |                        |   |    |     |   |   |                                             |   |   |   |   |   |   |   |   |   |   |   | (808,842 | ) |   |   | (808,842 | ) |
| Total      comprehensive loss                                             |   |                        |   |   |                        |   |    |     |   |   |                                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   | (825,067 | ) |
| Balance,      March 31, 2009                                              |   |                        | 1,345  |   |                        | $      | 134,420 |     |   |   | 17,330                                           |   |   | $ | 1,733,093 |   |   | $ | 198,314 |   |   | $ | (1,105,196 | ) |   | $ | 960,631 |   |
| Balance,      December 31, 2009                                           |   |                        | 1,325  |   |                        | $      | 132,518 |     |   |   | 17,171                                           |   |   | $ | 1,717,149 |   |   | $ | 52,897 |   |   | $ | (908,816 | ) |   | $ | 993,748 |   |
| Proceeds from      sale of capital stock                                  |   |                        |   |   |                        |   |    |     |   |   | 2                                                |   |   |   | 174 |   |   |   |   |   |   |   |   |   |   |   | 174 |   |
| Net shares      reclassified to mandatorily redeemable capital stock |   |                        |   |   |                        | 1      |    |     |   | (18    | )                                                |   |   | (1,866 | ) |   |   |   |   |   |   |   |   |   |   | (1,865 | ) |
| Comprehensive      income:                                                |   |                        |   |   |                        |   |    |     |   |   |                                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net      income                                                           |   |                        |   |   |                        |   |    |     |   |   |                                             |   |   |   |   |   |   |   | 6,067 |   |   |   |   |   |   |   | 6,067 |   |
| Other      comprehensive income (Note 9)                                  |   |                        |   |   |                        |   |    |     |   |   |                                             |   |   |   |   |   |   |   |   |   |   |   | 53,060 |   |   |   | 53,060 |   |
| Total      comprehensive income                                           |   |                        |   |   |                        |   |    |     |   |   |                                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   | 59,127 |   |
| Balance,      March 31, 2010                                              |   |                        | 1,325  |   |                        | $      | 132,519 |     |   |   | 17,155                                           |   |   | $ | 1,715,457 |   |   | $ | 58,964 |   |   | $ | (855,756 | ) |   | $ | 1,051,184 |   |

| * | Putable |
|---|---------|

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ST

|                                                                                                         |   |   For      the Three Months Ended March 31, |       |
|--------------------------------------------------------------------------------------------------------------|--------|--------------------------------------------------|------------|
|                                                                                                         |   | 2010                                             |       |   | 2009 |   |
| (in      thousands)                                                                                          |   |                                             |       |   |   |   |
| Operating      Activities                                                                                    |   |                                             |       |   |   |   |
| Net income      (loss)                                                                                       |   | $                                                | 6,067      |   |   | $ | (16,225 | ) |
| Adjustments to      reconcile net income (loss) to net cash provided by (used in) operating      activities: |   |                                             |       |   |   |   |   |   |
| Depreciation      and amortization                                                                           |   |                                             | (44,398    | ) |   |   | (59,371 | ) |
| Net OTTI      loss                                                                                           |   |                                             | 19,640     |   |   |   | 71,668 |   |
| Change in net      fair value adjustment on derivative and hedging activities                                |   |                                             | 44,303     |   |   |   | (28,414 | ) |
| Loss on      extinguishment of consolidated obligations                                                      |   |                                             | 3,916      |   |   |   | 4,526 |   |
| Benefit for      credit losses and other                                                                     |   |                                             | (259       | ) |   |   | (3 | ) |
| Net change      in:                                                                                          |   |                                             |       |   |   |   |   |   |
| Accrued      interest receivable                                                                             |   |                                             | 45,313     |   |   |   | 99,219 |   |
| Other      assets                                                                                            |   |                                             | 3,616      |   |   |   | (568 | ) |
| Accrued      interest payable                                                                                |   |                                             | (61,466    | ) |   |   | (119,230 | ) |
| Other      liabilities                                                                                       |   |                                             | (5,933     | ) |   |   | (3,787 | ) |
| Total      adjustments                                                                                       |   |                                             | 4,732      |   |   |   | (35,960 | ) |
| Net cash      provided by (used in) operating activities                                                     |   |                                             | 10,799     |   |   |   | (52,185 | ) |
| Investing      Activities                                                                                    |   |                                             |       |   |   |   |   |   |
| Net change      in:                                                                                          |   |                                             |       |   |   |   |   |   |
| Interest-bearing      deposits                                                                               |   |                                             | 20,006     |   |   |   | 43,845 |   |
| Deposits with      other FHLBanks                                                                            |   |                                             | (13        | ) |   |   | (65 | ) |
| Securities      purchased under agreements to resell                                                         |   |                                             | (4,000,000 | ) |   |   | (1,100,000 | ) |
| Federal funds      sold                                                                                      |   |                                             | 1,051,920  |   |   |   | (1,871,200 | ) |
| Premises,      software and equipment                                                                        |   |                                             | (290       | ) |   |   | (2,196 | ) |
| Available-for-sale      securities:                                                                          |   |                                             |       |   |   |   |   |   |
| Proceeds from      long-term                                                                                 |   |                                             | 45,712     |   |   |   |   |   |
| Purchases of      long-term                                                                                  |   |                                             | (793,641   | ) |   |   |   |   |
| Held-to-maturity      securities:                                                                            |   |                                             |       |   |   |   |   |   |
| Net increase      (decrease) in short-term                                                                   |   |                                             | 114,000    |   |   |   | (1,845,000 | ) |
| Proceeds from      maturities of long-term                                                                   |   |                                             | 436,407    |   |   |   | 545,002 |   |
| Purchases of      long-term                                                                                  |   |                                             | (137,274   | ) |   |   | (178,672 | ) |
| Advances:                                                                                                    |   |                                             |       |   |   |   |   |   |
| Proceeds                                                                                                     |   |                                             | 9,201,755  |   |   |   | 26,133,145 |   |
| Made                                                                                                         |   |                                             | (6,830,630 | ) |   |   | (21,112,400 | ) |
| Mortgage loans      held for portfolio:                                                                      |   |                                             |       |   |   |   |   |   |
| Principal      collected                                                                                     |   |                                             | 179,443    |   |   |   | 186,762 |   |
| Net cash (used      in) provided by investing activities                                                     |   |                                             | (712,605   | ) |   |   | 799,221 |   |

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|                                                                                              |   |  For      the Three Months Ended March 31, |         |
|---------------------------------------------------------------------------------------------------|--------|-------------------------------------------------|--------------|
|                                                                                              |   | 2010                                            |         |   | 2009 |   |
| (in      thousands)                                                                               |   |                                            |         |   |   |   |
| Financing      Activities                                                                         |   |                                            |         |   |   |   |
| Net change      in:                                                                               |   |                                            |         |   |   |   |
| Deposits                                                                                          |   |                                            | 32,817       |   |   |   | 89,188 |   |
| Net proceeds      from issuance of consolidated obligations:                                      |   |                                            |         |   |   |   |   |   |
| Discount      notes                                                                               |   |                                            | 267,338,358  |   |   |   | 141,514,120 |   |
| Bonds                                                                                             |   |                                            | 12,522,759   |   |   |   | 11,314,822 |   |
| Payments for      maturing and retiring consolidated obligations:                                 |   |                                            |         |   |   |   |   |   |
| Discount      notes                                                                               |   |                                            | (268,334,582 | ) |   |   | (135,315,357 | ) |
| Bonds                                                                                             |   |                                            | (11,588,000  | ) |   |   | (18,372,250 | ) |
| Proceeds from      issuance of capital stock                                                      |   |                                            | 174          |   |   |   | 23,138 |   |
| Payments for      redemption of mandatorily redeemable capital stock                              |   |                                            |         |   |   |   | (669 | ) |
| Net cash used      in financing activities                                                        |   |                                            | (28,474      | ) |   |   | (747,008 | ) |
| Net (decrease)      increase in cash and cash equivalents                                         |   |                                            | (730,280     | ) |   |   | 28 |   |
| Cash and cash      equivalents at beginning of the period                                         |   |                                            | 731,430      |   |   |   | 1,395 |   |
| Cash and cash      equivalents at end of the period                                               |   | $                                               | 1,150        |   |   | $ | 1,423 |   |
|                                                                                              |   |                                            |         |   |   |   |   |   |
| Supplemental      Disclosures                                                                     |   |                                            |         |   |   |   |   |   |
| Interest      paid                                                                                |   | $                                               | 168,138      |   |   | $ | 360,099 |   |
| AHP payments,      net                                                                            |   | $                                               | 1,763        |   |   | $ | 908 |   |
| Transfers from      mortgage loans to real estate owned                                           |   | $                                               | 1,273        |   |   | $ | 266 |   |
| Non-cash      transfers of OTTI held-to-maturity securities to available-for-sale      securities |   | $                                               | 77,327       |   |   | $ |   |   |

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|                                                             |   | As      of March 31, 2010    |      |
|------------------------------------------------------------------|--------|------------------------------|-----------|
| AFS      Securities                                              |   | AmortizedCost      Basis (1) |      |   | OTTI      Recognized in Accumulated Other Comprehensive Loss |   |   | Gross      Unrealized Gains |   |   | Gross      Unrealized Losses |   |   | EstimatedFair      Value |   |
| (in      thousands)                                              |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |
| Government-sponsored      enterprise (GSE) obligations (2)  |   | $                            | 350,000   |   |   | $ |   |   |   | $ |   |   |   | $ | (2 | ) |   | $ | 349,998 |   |
| Temporary      Liquidity Guarantee Program (TLGP) securities (3) |   |                         | 1,202,791 |   |   |   |   |   |   |   |   |   |   |   | (635 | ) |   |   | 1,202,156 |   |
| Residential      MBS                                             |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| PLMBS                                                            |   |                         | 1,748,228 |   |   |   | (971,290 | ) |   |   | 311,445 |   |   |   |   |   |   |   | 1,088,383 |   |
| Total                                                            |   | $                            | 3,301,019 |   |   | $ | (971,290 | ) |   | $ | 311,445 |   |   | $ | (637 | ) |   | $ | 2,640,537 |   |

|                 |   | As      of December 31, 2009 |      |
|----------------------|--------|------------------------------|-----------|
| AFS      Securities  |   | AmortizedCost      Basis (1) |      |   | OTTI      Recognized in Accumulated Other Comprehensive Loss |   |   | Gross      Unrealized Gains |   |   | Gross      Unrealized Losses |   |   | EstimatedFair      Value |   |
| (in      thousands)  |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |
| Residential      MBS |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |
| PLMBS                |   | $                            | 1,673,296 |   |   | $ | (928,895 | ) |   | $ | 232,469 |   |   | $ |   |   |   | $ | 976,870 |   |
| Total                |   | $                            | 1,673,296 |   |   | $ | (928,895 | ) |   | $ | 232,469 |   |   | $ |   |   |   | $ | 976,870 |   |

| (1) | The amortized      cost basis includes unpaid principal balance, accretable discounts and      premiums, and OTTI charges recognized inearnings. |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------------|
| (2) | Consists of      Federal Farm Credit Bank (FFCB) bonds that are guaranteed by the Federal      Agriculture Mortgage Corporation.                 |
| (3) | Consists of      promissory notes guaranteed by the Federal Deposit Insurance Corporation      (FDIC) under the TLGP.                            |

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|                                             |   | As      of March 31, 2010 |      |
|--------------------------------------------------|--------|---------------------------|-----------|
|                                             |   | Less      than 12 months  |      |   | 12      months or more |   |   | Total |   |
| AFS      Securities in Unrealized Loss Positions |   | EstimatedFair      Value  |      |   | UnrealizedLosses |   |   | EstimatedFair      Value |   |   | UnrealizedLosses |   |   | EstimatedFair      Value |   |   | UnrealizedLosses |   |
| (in      thousands)                              |   |                      |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| GSE      obligations                             |   | $                         | 349,998   |   |   | $ | (2 | ) |   | $ |   |   |   | $ |   |   |   | $ | 349,998 |   |   | $ | (2 | ) |
| TLGP      securities                             |   |                      | 1,202,156 |   |   |   | (635 | ) |   |   |   |   |   |   |   |   |   |   | 1,202,156 |   |   |   | (635 | ) |
| Residential      MBS                             |   |                      |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| PLMBS                                            |   |                      |      |   |   |   |   |   |   |   | 1,088,383 |   |   |   | (659,845 | ) |   |   | 1,088,383 |   |   |   | (659,845 | ) |
| Total                                            |   | $                         | 1,552,154 |   |   | $ | (637 | ) |   | $ | 1,088,383 |   |   | $ | (659,845 | ) |   | $ | 2,640,537 |   |   | $ | (660,482 | ) |

|                                             |   | As      of December 31, 2009 |   |
|--------------------------------------------------|--------|------------------------------|--------|
|                                             |   | Less      than 12 months     |   |   | 12      months or more |   |   | Total |   |
| AFS      Securities in Unrealized Loss Positions |   | EstimatedFair      Value     |   |   | UnrealizedLosses |   |   | EstimatedFair      Value |   |   | UnrealizedLosses |   |   | EstimatedFair      Value |   |   | UnrealizedLosses |   |
| (in      thousands)                              |   |                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Residential      MBS                             |   |                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| PLMBS                                            |   | $                            |   |   |   | $ |   |   |   | $ | 976,870 |   |   | $ | (696,426 | ) |   | $ | 976,870 |   |   | $ | (696,426 | ) |
| Total                                            |   | $                            |   |   |   | $ |   |   |   | $ | 976,870 |   |   | $ | (696,426 | ) |   | $ | 976,870 |   |   | $ | (696,426 | ) |

|                                       |   |  As      of March 31, 2010 |      |   |  As      of December 31, 2009 |   |
|--------------------------------------------|--------|---------------------------------|-----------|--------|------------------------------------|--------|
| Year      of Maturity                      |   | AmortizedCost      Basis        |      |   | CarryingValue                      |   |   | EstimatedFair      Value |   |   | AmortizedCost      Basis |   |   | CarryingValue |   |   | EstimatedFair      Value |   |
| (in      thousands)                        |   |                            |      |   |                               |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Non-MBS                                    |   |                            |      |   |                               |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Due      after one year through five years |   | $                               | 1,552,791 |   |                               | $      | 1,552,154 |   |   | $ | 1,552,154 |   |   | $ |  |   |   | $ |  |   |   | $ |  |   |
| Subtotal                                   |   |                            | 1,552,791 |   |                               |   | 1,552,154 |   |   |   | 1,552,154 |   |   |   |   |   |   |   |   |   |   |   |   |   |
| MBS                                        |   |                            | 1,748,228 |   |                               |   | 1,088,383 |   |   |   | 1,088,383 |   |   |   | 1,673,296 |   |   |   | 976,870 |   |   |   | 976,870 |   |
| Total                                      |   | $                               | 3,301,019 |   |                               | $      | 2,640,537 |   |   | $ | 2,640,537 |   |   | $ | 1,673,296 |   |   | $ | 976,870 |   |   | $ | 976,870 |   |

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|                                              |   | As      of March 31, 2010 |      |
|---------------------------------------------------|--------|---------------------------|-----------|
| HTM      Securities                               |   | AmortizedCost Basis (1)   |      |   | OTTIRecognized      inOther Comprehensive Loss      (2) |   |   | CarryingValue |   |   | GrossUnrecognized      HoldingGains      (3) |   |   | GrossUnrecognized      HoldingLosses (3) |   |   | Estimated      Fair Value |   |
| (in      thousands)                               |   |                      |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Certificates of deposit (4)                       |   | $                         | 2,789,000 |   |   | $ |  |   |   | $ | 2,789,000 |   |   | $ | 1 |   |   | $ | (11 | ) |   | $ | 2,788,990 |   |
| Other U.S. agency obligations      (5)            |   |                      | 44,804    |   |   |   |   |   |   |   | 44,804 |   |   |   | 687 |   |   |   | (19 | ) |   |   | 45,472 |   |
| GSE obligations (6)                          |   |                      | 591,514   |   |   |   |   |   |   |   | 591,514 |   |   |   | 46,279 |   |   |   |   |   |   |   | 637,793 |   |
| State or local      housing agency obligations    |   |                      | 4,105     |   |   |   |   |   |   |   | 4,105 |   |   |   |   |   |   |   |   |   |   |   | 4,105 |   |
| Subtotal                                          |   |                      | 3,429,423 |   |   |   |   |   |   |   | 3,429,423 |   |   |   | 46,967 |   |   |   | (30 | ) |   |   | 3,476,360 |   |
| Residential      Mortgage-Backed Securities (MBS) |   |                      |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| GSEs (6)                                          |   |                      | 3,090,658 |   |   |   |   |   |   |   | 3,090,658 |   |   |   | 43,490 |   |   |   | (1,412 | ) |   |   | 3,132,736 |   |
| Other U.S. agency obligations      (5)            |   |                      | 4,133     |   |   |   |   |   |   |   | 4,133 |   |   |   | 101 |   |   |   |   |   |   |   | 4,234 |   |
| PLMBS                                             |   |                      | 2,423,847 |   |   |   | (192,302 | ) |   |   | 2,231,545 |   |   |   | 7,735 |   |   |   | (395,681 | ) |   |   | 1,843,599 |   |
| Subtotal                                          |   |                      | 5,518,638 |   |   |   | (192,302 | ) |   |   | 5,326,336 |   |   |   | 51,326 |   |   |   | (397,093 | ) |   |   | 4,980,569 |   |
| Total                                             |   | $                         | 8,948,061 |   |   | $ | (192,302 | ) |   | $ | 8,755,759 |   |   | $ | 98,293 |   |   | $ | (397,123 | ) |   | $ | 8,456,929 |   |

|                                           |   | As      of December 31, 2009 |      |
|------------------------------------------------|--------|------------------------------|-----------|
| HTM      Securities                            |   | AmortizedCost Basis (1)      |      |   | OTTIRecognized      inOther Comprehensive Loss      (2) |   |   | CarryingValue |   |   | GrossUnrecognized      HoldingGains      (3) |   |   | GrossUnrecognized      HoldingLosses (3) |   |   | Estimated      Fair Value |   |
| (in      thousands)                            |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Certificates of deposit (4)                    |   | $                            | 2,903,000 |   |   | $ |  |   |   | $ | 2,903,000 |   |   | $ | 73 |   |   | $ |  |   |   | $ | 2,903,073 |   |
| Other U.S. agency obligations      (5)         |   |                         | 51,684    |   |   |   |   |   |   |   | 51,684 |   |   |   | 835 |   |   |   | (2 | ) |   |   | 52,517 |   |
| GSE obligations (6)                            |   |                         | 593,380   |   |   |   |   |   |   |   | 593,380 |   |   |   | 48,096 |   |   |   |   |   |   |   | 641,476 |   |
| State or local      housing agency obligations |   |                         | 4,130     |   |   |   |   |   |   |   | 4,130 |   |   |   |   |   |   |   |   |   |   |   | 4,130 |   |
| Subtotal                                       |   |                         | 3,552,194 |   |   |   |   |   |   |   | 3,552,194 |   |   |   | 49,004 |   |   |   | (2 | ) |   |   | 3,601,196 |   |
| Residential      MBS                           |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| GSEs (6)                                       |   |                         | 3,198,679 |   |   |   |   |   |   |   | 3,198,679 |   |   |   | 35,587 |   |   |   | (3,981 | ) |   |   | 3,230,285 |   |
| Other U.S. agency obligations      (5)         |   |                         | 4,229     |   |   |   |   |   |   |   | 4,229 |   |   |   | 91 |   |   |   |   |   |   |   | 4,320 |   |
| PLMBS                                          |   |                         | 2,743,096 |   |   |   | (209,292 | ) |   |   | 2,533,804 |   |   |   | 7,083 |   |   |   | (491,798 | ) |   |   | 2,049,089 |   |
| Subtotal                                       |   |                         | 5,946,004 |   |   |   | (209,292 | ) |   |   | 5,736,712 |   |   |   | 42,761 |   |   |   | (495,779 | ) |   |   | 5,283,694 |   |
| Total                                          |   | $                            | 9,498,198 |   |   | $ | (209,292 | ) |   | $ | 9,288,906 |   |   | $ | 91,765 |   |   | $ | (495,781 | ) |   | $ | 8,884,890 |   |

| (1) | The amortized      cost basis includes unpaid principal balance, accretable discounts and      premiums, and OTTI charges recognized inearnings.                                                                               |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (2) | See Note 9 for      a reconciliation of the accumulated other comprehensive loss related to      HTM securities as of March 31, 2010 and 2009.                                                                                 |
| (3) | Gross      unrecognized holding gains (losses) represent the difference between fair      value and carrying value, while gross unrealized gains (losses) represent      the difference between fair value and amortized cost. |
| (4) | Consists of      certificates of deposit that meet the definition of a debt      security.                                                                                                                                     |
| (5) | Primarily      consists of Government National Mortgage Association (Ginnie Mae) or Small      Business Association (SBA) investment pools.                                                                                    |
| (6) | Primarily      consists of securities issued by Federal Home Loan Mortgage Corporation      (Freddie Mac), Federal National Mortgage Association (Fannie Mae), or      Tennessee Valley Authority (TVA).                       |

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|                                             |   | As      of March 31, 2010 |      |
|--------------------------------------------------|--------|---------------------------|-----------|
|                                             |   | Less      than 12 months  |      |   | 12      months or more |   |   | Total |   |
| HTM      Securities in Unrealized Loss Positions |   | EstimatedFair      Value  |      |   | Gross      Unrealized Losses |   |   | EstimatedFair      Value |   |   | Gross      Unrealized Losses |   |   | EstimatedFair      Value |   |   | Gross      Unrealized Losses |   |
| (in      thousands)                              |   |                      |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Certificates      of deposit                     |   | $                         | 2,284,989 |   |   | $ | (11 | ) |   | $ |   |   |   | $ |   |   |   | $ | 2,284,989 |   |   | $ | (11 | ) |
| Other U.S.      agency obligations (1)           |   |                      | 5,682     |   |   |   | (18 | ) |   |   | 360 |   |   |   | (1 | ) |   |   | 6,042 |   |   |   | (19 | ) |
| Subtotal                                         |   |                      | 2,290,671 |   |   |   | (29 | ) |   |   | 360 |   |   |   | (1 | ) |   |   | 2,291,031 |   |   |   | (30 | ) |
| Residential      MBS                             |   |                      |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| GSEs (2)                                         |   |                      | 422,404   |   |   |   | (1,412 | ) |   |   |   |   |   |   |   |   |   |   | 422,404 |   |   |   | (1,412 | ) |
| Other U.S.      agency obligations (1)           |   |                      | 1         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   | 1 |   |   |   |   |   |
| Temporarily      impaired PLMBS                  |   |                      | 45,107    |   |   |   | (726 | ) |   |   |   |   |   |   |   |   |   |   | 45,107 |   |   |   | (726 | ) |
| OTTI      PLMBS                                  |   |                      |      |   |   |   |   |   |   |   | 1,581,195 |   |   |   | (587,257 | ) |   |   | 1,581,195 |   |   |   | (587,257 | ) |
| Subtotal                                         |   |                      | 467,512   |   |   |   | (2,138 | ) |   |   | 1,581,195 |   |   |   | (587,257 | ) |   |   | 2,048,707 |   |   |   | (589,395 | ) |
| Total                                            |   | $                         | 2,758,183 |   |   | $ | (2,167 | ) |   | $ | 1,581,555 |   |   | $ | (587,258 | ) |   | $ | 4,339,738 |   |   | $ | (589,425 | ) |

|                                             |   | As      of December 31, 2009 |      |
|--------------------------------------------------|--------|------------------------------|-----------|
|                                             |   | Less      than 12 months     |      |   | 12      months or more |   |   | Total |   |
| HTM      Securities in Unrealized Loss Positions |   | EstimatedFair      Value     |      |   | Gross      Unrealized Losses |   |   | EstimatedFair      Value |   |   | Gross      Unrealized Losses |   |   | EstimatedFair      Value |   |   | Gross      Unrealized Losses |   |
| (in      thousands)                              |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Other U.S.      agency obligations (1)           |   | $                            | 219       |   |   | $ |   |   |   | $ | 370 |   |   | $ | (2 | ) |   | $ | 589 |   |   | $ | (2 | ) |
| Subtotal                                         |   |                         | 219       |   |   |   |   |   |   |   | 370 |   |   |   | (2 | ) |   |   | 589 |   |   |   | (2 | ) |
| Residential      MBS                             |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| GSEs (2)                                         |   |                         | 1,053,968 |   |   |   | (2,436 | ) |   |   | 161,728 |   |   |   | (1,545 | ) |   |   | 1,215,696 |   |   |   | (3,981 | ) |
| Other      U.S. agency obligations (1)           |   |                         | 5         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   | 5 |   |   |   |   |   |
| Temporarily      impaired PLMBS                  |   |                         | 48,550    |   |   |   | (779 | ) |   |   | 1,574,190 |   |   |   | (490,788 | ) |   |   | 1,622,740 |   |   |   | (491,567 | ) |
| OTTI      PLMBS                                  |   |                         |      |   |   |   |   |   |   |   | 289,781 |   |   |   | (209,523 | ) |   |   | 289,781 |   |   |   | (209,523 | ) |
| Subtotal                                         |   |                         | 1,102,523 |   |   |   | (3,215 | ) |   |   | 2,025,699 |   |   |   | (701,856 | ) |   |   | 3,128,222 |   |   |   | (705,071 | ) |
| Total                                            |   | $                            | 1,102,742 |   |   | $ | (3,215 | ) |   | $ | 2,026,069 |   |   | $ | (701,858 | ) |   | $ | 3,128,811 |   |   | $ | (705,073 | ) |

| (1) | Primarily      consists of Ginnie Mae or SBA investment pools.                        |
|-----|---------------------------------------------------------------------------------------|
| (2) | Primarily      consists of securities issued by Freddie Mac, Fannie Mae, or      TVA. |

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|                                       |   |  As      of March 31, 2010 |      |   |  As      of December 31, 2009 |   |
|--------------------------------------------|--------|---------------------------------|-----------|--------|------------------------------------|--------|
| Year      of Maturity                      |   | AmortizedCost      Basis        |      |   | CarryingValue                      |   |   | EstimatedFair      Value |   |   | AmortizedCost      Basis |   |   | CarryingValue |   |   | EstimatedFair      Value |   |
| (in      thousands)                        |   |                            |      |   |                               |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Non-MBS                                    |   |                            |      |   |                               |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Due in one      year or less               |   | $                               | 2,993,898 |   |                               | $      | 2,993,898 |   |   | $ | 2,995,782 |   |   | $ | 3,110,275 |   |   | $ | 3,110,275 |   |   | $ | 3,113,427 |   |
| Due after one      year through five years |   |                            | 399,621   |   |                               |   | 399,621 |   |   |   | 444,373 |   |   |   | 405,104 |   |   |   | 405,104 |   |   |   | 450,565 |   |
| Due after five      years through 10 years |   |                            | 12,815    |   |                               |   | 12,815 |   |   |   | 12,904 |   |   |   | 13,221 |   |   |   | 13,221 |   |   |   | 13,364 |   |
| Due after 10      years                    |   |                            | 23,089    |   |                               |   | 23,089 |   |   |   | 23,301 |   |   |   | 23,594 |   |   |   | 23,594 |   |   |   | 23,840 |   |
| Subtotal                                   |   |                            | 3,429,423 |   |                               |   | 3,429,423 |   |   |   | 3,476,360 |   |   |   | 3,552,194 |   |   |   | 3,552,194 |   |   |   | 3,601,196 |   |
| MBS                                        |   |                            | 5,518,638 |   |                               |   | 5,326,336 |   |   |   | 4,980,569 |   |   |   | 5,946,004 |   |   |   | 5,736,712 |   |   |   | 5,283,694 |   |
| Total                                      |   | $                               | 8,948,061 |   |                               | $      | 8,755,759 |   |   | $ | 8,456,929 |   |   | $ | 9,498,198 |   |   | $ | 9,288,906 |   |   | $ | 8,884,890 |   |

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|                        |   | Significant      Inputs                               |   |
|-----------------------------|--------|-------------------------------------------------------|--------|
|                        |   | Cumulative      VoluntaryPrepayment      Rates      * |   |   | Cumulative      Default Rates * |   |   | Loss      Severities |   |   | CurrentCredit      Enhancement |   |
| Year      of Securitization |   | Weighted      Average %                               |   | Range      % |   |   | Weighted      Average % |   | Range      % |   |   | Weighted      Average % |   | Range      % |   |   | Weighted      Average % |   | Range      % |   |
| Alt-A                       |   |                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|  2008                  |   |                                                  | 10.78  |   |   | 10.57-11.08 |   |   |   | 49.40 |   |   | 45.4-52.25 |   |   |   | 41.93 |   |   | 39.47-45.38 |   |   |   | 33.57 |   |   | 28.79-40.29 |   |
|  2007                  |   |                                                  | 7.46   |   |   | 5.32-11.77 |   |   |   | 77.60 |   |   | 36.63-86.9 |   |   |   | 52.38 |   |   | 43.47-59.3 |   |   |   | 35.42 |   |   | 9.18-44.28 |   |
|  2006                  |   |                                                  | 5.17   |   |   | 3.51-8.41 |   |   |   | 86.60 |   |   | 72.24-91.39 |   |   |   | 53.63 |   |   | 47.11-61.94 |   |   |   | 43.05 |   |   | 37.68-47.85 |   |
|  2005                  |   |                                                  | 8.46   |   |   | 6.86-12.14 |   |   |   | 70.36 |   |   | 45.34-80.1 |   |   |   | 47.14 |   |   | 34.2-53.76 |   |   |   | 31.60 |   |   | 0-50.78 |   |
| Total      Alt-A            |   |                                                  | 6.94   |   |   | 3.51-12.14 |   |   |   | 78.47 |   |   | 36.63-91.39 |   |   |   | 51.86 |   |   | 34.2-61.94 |   |   |   | 37.75 |   |   | 0-50.78 |   |

| * | The cumulative      voluntary prepayment rates and cumulative default rates are on unpaid      principal balances. |
|---|--------------------------------------------------------------------------------------------------------------------|

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|                  |   | As      of March 31, 2010     |    |
|-----------------------|--------|-------------------------------|---------|
|                  |   | HTM      Securities           |    | AFS      Securities |   |
| OTTI      Securities  |   | Unpaid      Principal Balance |    |   | Amortized      Cost |   |   | Carrying      Value      (1) |   |   | Estimated      Fair Value |   |   | Unpaid      Principal Balance |   |   | Amortized      Cost |   |   | Estimated      Fair Value |   |
| (in      thousands)   |   |                          |    |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Alt-A PLMBS      (2)  |   | $                             | 450,556 |   |   | $ | 443,272 |   |   | $ | 250,970 |   |   | $ | 257,353 |   |   | $ | 2,081,376 |   |   | $ | 1,748,228 |   |   | $ | 1,088,383 |   |
| Total OTTI      PLMBS |   | $                             | 450,556 |   |   | $ | 443,272 |   |   | $ | 250,970 |   |   | $ | 257,353 |   |   | $ | 2,081,376 |   |   | $ | 1,748,228 |   |   | $ | 1,088,383 |   |

|                  |   | As      of December 31, 2009  |    |
|-----------------------|--------|-------------------------------|---------|
|                  |   | HTM      Securities           |    |   | AFS      Securities |   |
| OTTI      Securities  |   | Unpaid      Principal Balance |    |   | Amortized      Cost |   |   | Carrying      Value      (1) |   |   | Estimated      Fair Value |   |   | Unpaid      Principal Balance |   |   | Amortized      Cost |   |   | Estimated      Fair Value |   |
| (in      thousands)   |   |                          |    |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Alt-A PLMBS      (2)  |   | $                             | 500,023 |   |   | $ | 492,852 |   |   | $ | 283,559 |   |   | $ | 289,781 |   |   | $ | 1,987,934 |   |   | $ | 1,673,296 |   |   | $ | 976,870 |   |
| Total OTTI      PLMBS |   | $                             | 500,023 |   |   | $ | 492,852 |   |   | $ | 283,559 |   |   | $ | 289,781 |   |   | $ | 1,987,934 |   |   | $ | 1,673,296 |   |   | $ | 976,870 |   |

| (1) | Carrying value      of HTM securities does not include gross unrealized gains or losses;      therefore, amortized cost net of gross unrealized losses will not      necessarily equal the fair value. |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (2) | Classification      based on originator’s classification at the time of origination or      classification by an NRSRO upon issuance of the  MBS.                                                |

|                                                                                                             |   | For      the Three Months Ended March 31, |    |   |
|------------------------------------------------------------------------------------------------------------------|--------|-------------------------------------------|---------|--------|
| Credit      Loss Component of OTTI                                                                               |   | 2010                                      |    |   | 2009 |   |   |
| (in      thousands)                                                                                              |   |                                      |    |   |   |   |   |
| Balance,      beginning of period                                                                                |   | $                                         | 319,113 |   |   | $ | 8,693 |   |  (1) |
| Additions                                                                                                        |   |                                      |    |   |   |   |   |   |   |
| Credit losses      on securities for which OTTI was not previously recognized                                    |   |                                      | 37      |   |   |   | 29,234 |   |   |
| Additional      OTTI credit losses on securities for which an OTTI loss was previously      recognized (2)       |   |                                      | 19,603  |   |   |   | 42,434 |   |   |
| Total      additions                                                                                             |   |                                      | 19,640  |   |   |   | 71,668 |   |   |
| Reductions                                                                                                       |   |                                      |    |   |   |   |   |   |   |
| Increases in      cash flows expected to be collected, recognized over the remaining life of      the securities |   |                                      | (280    | )      |   |   |   |   |   |
| Balance, end      of period                                                                                      |   | $                                         | 338,473 |   |   | $ | 80,361 |   |   |

| (1) | We adopted new      OTTI guidance from the FASB, effective January 1, 2009, and recognized the      cumulative effect of initially applying this guidance, totaling $293.4      million, as an adjustment to our retained earnings as of January 1, 2009,      with a corresponding adjustment to other comprehensive loss. This amount      represents credit losses remaining in retained earnings related to the      adoption of this guidance. |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (2) | Relates to      securities that were also previously determined to be OTTI prior to the      beginning of the period.                                                                                                                                                                                                                                                                                                                               |

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|                                                      |   | As      of March 31, 2010 |       |   | As      of December 31, 2009        |   |
|-----------------------------------------------------------|--------|---------------------------|------------|--------|-------------------------------------|--------|
| Term-to-Maturity      and Weighted-Average Interest Rates |   | Amount                    |       |   | Weighted-Average      Interest Rate |   |   | Amount |   |   | Weighted-Average      Interest Rate |   |
| (in      thousands, except interest rates)                |   |                      |       |   |                                |   |   |   |   |   |   |   |
| Due in one      year or less                              |   | $                         | 9,147,351  |   |                                |   | 1.37 |   |   | $ | 12,268,149 |   |   |   | 1.75 |   |
| Due after one      year through two years                 |   |                      | 4,161,318  |   |                                |   | 1.95 |   |   |   | 2,893,358 |   |   |   | 2.67 |   |
| Due after two      years through three years              |   |                      | 1,659,426  |   |                                |   | 3.18 |   |   |   | 1,850,076 |   |   |   | 3.03 |   |
| Due after      three years through four years             |   |                      | 880,430    |   |                                |   | 3.09 |   |   |   | 1,395,149 |   |   |   | 3.11 |   |
| Due after four      years through five years              |   |                      | 570,175    |   |                                |   | 3.32 |   |   |   | 293,629 |   |   |   | 3.73 |   |
| Thereafter                                                |   |                      | 3,086,082  |   |                                |   | 4.38 |   |   |   | 3,177,515 |   |   |   | 4.35 |   |
| Total par      value                                      |   |                      | 19,504,782 |   |                                |   | 2.26 |   |   |   | 21,877,876 |   |   |   | 2.47 |   |
| Commitment      fees                                      |   |                      | (632       | )      |                                |   |   |   |   |   | (650 | ) |   |   |   |   |
| Discount on      AHP advances                             |   |                      | (58        | )      |                                |   |   |   |   |   | (70 | ) |   |   |   |   |
| Discount on      advances                                 |   |                      | (3,580     | )      |                                |   |   |   |   |   | (5,840 | ) |   |   |   |   |
| Hedging      adjustments                                  |   |                      | 364,841    |   |                                |   |   |   |   |   | 385,710 |   |   |   |   |   |
| Total                                                     |   | $                         | 19,865,353 |   |                                |   |   |   |   | $ | 22,257,026 |   |   |   |   |   |

|                                        |   | As      of March 31, 2010              |       |   | As      of December 31, 2009               |   |
|---------------------------------------------|--------|----------------------------------------|------------|--------|--------------------------------------------|--------|
| Advance      Outstanding by Type            |   | Par      Value of Advances Outstanding |       |   | Percent      of Total Advances Outstanding |   |   | Par      Value of Advances Outstanding |   |   | Percent      of Total Advances Outstanding |   |
| (in      thousands, except percentages)     |   |                                   |       |   |                                       |   |   |   |   |   |   |   |
| Variable Interest-Rate    Advances          |   |                                   |       |   |                                       |   |   |   |   |   |   |   |
| Cash      management advances               |   | $                                      | 360,888    |   |                                       |   | 1.9 |   |   | $ | 105,256 |   |   |   | 0.5 |   |
| Adjustable      advances                    |   |                                   | 2,222,737  |   |                                       |   | 11.4 |   |   |   | 2,125,236 |   |   |   | 9.7 |   |
| Fixed Interest-RateAdvances                 |   |                                   |       |   |                                       |   |   |   |   |   |   |   |   |   |   |   |
| Fixed      interest-rate advances           |   |                                   | 11,915,969 |   |                                       |   | 61.1 |   |   |   | 14,302,515 |   |   |   | 65.4 |   |
| Amortizing      advances                    |   |                                   | 573,778    |   |                                       |   | 2.9 |   |   |   | 636,459 |   |   |   | 2.9 |   |
| Structured Advances                         |   |                                   |       |   |                                       |   |   |   |   |   |   |   |   |   |   |   |
| Putable      advances                       |   |                                   | 4,041,410  |   |                                       |   | 20.7 |   |   |   | 4,318,410 |   |   |   | 19.7 |   |
| Capped floater      advances                |   |                                   | 20,000     |   |                                       |   | 0.1 |   |   |   | 20,000 |   |   |   | 0.1 |   |
| Floating-to-fixed      convertible advances |   |                                   | 370,000    |   |                                       |   | 1.9 |   |   |   | 370,000 |   |   |   | 1.7 |   |
| Total par      value                        |   | $                                      | 19,504,782 |   |                                       |   | 100.0 |   |   | $ | 21,877,876 |   |   |   | 100.0 |   |

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| Mortgage      Loans Held for Portfolio, Net                                                |   | As      of March      31, 2010 |      |   | As      of December      31, 2009 |   |
|--------------------------------------------------------------------------------------------|--------|--------------------------------|-----------|--------|-----------------------------------|--------|
| (in      thousands)                                                                        |   |                           |      |   |                              |   |
| Real      Estate                                                                           |   |                           |      |   |                              |   |
| Fixed      interest-rate, medium-term*,      single-family                                 |   | $                              | 520,863   |   |                              | $      | 558,390 |   |
| Fixed      interest-rate, long-term*,      single-family                                   |   |                           | 3,398,264 |   |                              |   | 3,541,618 |   |
| Total loan      principal                                                                  |   |                           | 3,919,127 |   |                              |   | 4,100,008 |   |
| Premiums                                                                                   |   |                           | 33,222    |   |                              |   | 37,068 |   |
| Discounts                                                                                  |   |                           | (28,439   | )      |                              |   | (30,255 | ) |
| Subtotal -      Mortgage loans held for portfolio, before allowance for credit      losses |   |                           | 3,923,910 |   |                              |   | 4,106,821 |   |
| Less:      Allowance for credit losses on mortgage loans                                   |   |                           | 368       |   |                              |   | 626 |   |
| Total mortgage      loans held for portfolio, net                                          |   | $                              | 3,923,542 |   |                              | $      | 4,106,195 |   |

| * | Medium-term is      defined as a term of 15 years or less while long-term is defined as a term      greater than 15 years. |
|---|----------------------------------------------------------------------------------------------------------------------------|

| Par      Amount of Mortgage Loans      Held for Portfolio |   | As      of March      31, 2010 |      |   | As      of December      31, 2009 |   |
|-----------------------------------------------------------|--------|--------------------------------|-----------|--------|-----------------------------------|--------|
| (in      thousands)                                       |   |                           |      |   |                              |   |
| Government-guaranteed/insured                             |   | $                              | 167,054   |   |                              | $      | 172,966 |   |
| Conventional                                              |   |                           | 3,752,073 |   |                              |   | 3,927,042 |   |
| Total par      value                                      |   | $                              | 3,919,127 |   |                              | $      | 4,100,008 |   |

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| Mortgage      Loans Delinquent or in Foreclosure                           |   |  As      of March      31, 2010 |      |   | As      of December      31, 2009 |   |
|----------------------------------------------------------------------------|--------|--------------------------------------|-----------|--------|-----------------------------------|--------|
| (in      thousands, except percentages)                                    |   |                                 |      |   |                              |   |
| Conventional      mortgage loans outstanding                               |   | $                                    | 3,752,073 |   |                              | $      | 3,927,042 |   |
|                                                                       |   |                                 |      |   |                              |   |   |   |
| Conventional      mortgage loan delinquencies - 30-59 days                 |   |                                 | 1.0       | %      |                              |   | 0.9 | % |
| Conventional      mortgage loan delinquencies - 60-89 days                 |   |                                 | 0.3       | %      |                              |   | 0.3 | % |
| Conventional      mortgage loan delinquencies - Greater than 90 days       |   |                                 | 0.8       | %      |                              |   | 0.6 | % |
| Conventional      mortgage loan foreclosures                               |   |                                 | 0.3       | %      |                              |   | 0.3 | % |
|                                                                       |   |                                 |      |   |                              |   |   |   |
| Government-insured      mortgage loans outstanding                         |   | $                                    | 167,054   |   |                              | $      | 172,966 |   |
|                                                                       |   |                                 |      |   |                              |   |   |   |
| Government-insured      mortgage loan delinquencies - 30-59 days           |   |                                 | 12.5      | %      |                              |   | 11.3 | % |
| Government-insured      mortgage loan delinquencies - 60-89 days           |   |                                 | 4.7       | %      |                              |   | 6.0 | % |
| Government-insured      mortgage loan delinquencies - Greater than 90 days |   |                                 | 20.7      | %      |                              |   | 20.4 | % |
| Government-insured      mortgage loan foreclosures                         |   | None                                 |      |   | None                              |   |

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| • | reduce      funding costs by combining a derivative with a consolidated obligation as      the cost of a combined funding structure can be lower than the cost of a      comparable consolidated obligation bond (structured funding);                                                                                                                                                                                                                      |
|---------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | reduce the      interest-rate sensitivity and repricing gaps of assets and      liabilities;                                                                                                                                                                                                                                                                                                                                                           |
| • | preserve an      interest-rate spread between the yield of an asset (e.g., an advance) and      the cost of the related liability (e.g., the consolidated obligation bond      used to fund the advance). Without the use of derivatives, this      interest-rate spread could be reduced or eliminated when a change in the      interest rate on the advance does not match a change in the interest rate      on the consolidated obligation bond;  |
| • | mitigate the      adverse earnings effects of the shortening or extension of expected lives      of certain assets (e.g., mortgage assets) and      liabilities;                                                                                                                                                                                                                                                                                            |
| • | protect the      value of existing asset or liability positions;                                                                                                                                                                                                                                                                                                                                                                                            |
| • | manage      embedded options in assets and liabilities; and                                                                                                                                                                                                                                                                                                                                                                                                 |
| • | enhance our      overall asset/liability management.                                                                                                                                                                                                                                                                                                                                                                                                        |

----

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| • | By      designating them as a fair value hedge of an associated financial      instrument or firm commitment;  |
|---------|---------------------------------------------------------------------------------------------------------------------|
| • | In      asset/liability management (as either an economic or intermediary      hedge).                              |

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|                                                                                              |   | As      of March 31, 2010 |       |
|---------------------------------------------------------------------------------------------------|--------|---------------------------|------------|
|  Fair      Value of Derivative Instruments                                                   |   | Notional      Amount      |       |   | Derivative      Assets |   |   | Derivative      Liabilities |   |
|  (in      thousands)                                                                         |   |                      |       |   |   |   |   |   |   |
|  Derivatives      designated as hedging instruments                                          |   |                      |       |   |   |   |   |   |   |
| Interest-rate      swaps                                                                          |   | $                         | 32,062,133 |   |   | $ | 160,188 |   |   | $ | 491,107 |   |
| Interest-rate      caps or floors                                                                 |   |                      | 10,000     |   |   |   |   |   |   |   |   |   |
| Total      derivatives designated as hedging instruments                                          |   |                      | 32,072,133 |   |   |   | 160,188 |   |   |   | 491,107 |   |
|  Derivatives      not designated as hedging instruments                                      |   |                      |       |   |   |   |   |   |   |   |   |   |
| Interest-rate      swaps                                                                          |   |                      | 663,200    |   |   |   | 6,606 |   |   |   | 8,451 |   |
| Interest-rate      caps or floors                                                                 |   |                      | 200,000    |   |   |   | 1 |   |   |   |   |   |
| Total      derivatives not designated as hedging instruments                                      |   |                      | 863,200    |   |   |   | 6,607 |   |   |   | 8,451 |   |
|  Total      derivatives before netting and collateral adjustments                            |   | $                         | 32,935,333 |   |   |   | 166,795 |   |   |   | 499,558 |   |
| Netting      adjustments (1)                                                                      |   |                      |       |   |   |   | (151,718 | ) |   |   | (151,718 | ) |
| Cash      collateral and related accrued interest                                                 |   |                      |       |   |   |   | (9,782 | ) |   |   | (39,417 | ) |
| Subtotal      netting and collateral adjustments                                                  |   |                      |       |   |   |   | (161,500 | ) |   |   | (191,135 | ) |
|  Derivative assets and derivative liabilities      as reported on the statement of condition |   |                      |       |   |   | $ | 5,295 |   |   | $ | 308,423 |   |

| (1) | Amounts      represent the effect of legally enforceable master netting agreements that      allow the Seattle Bank to settle positive and negative      positions. |
|-----|---------------------------------------------------------------------------------------------------------------------------------------------------------------------|

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|                                                                                             |         | As      of December 31, 2009 |       |
|--------------------------------------------------------------------------------------------------|--------------|------------------------------|------------|
| Fair      Value of Derivative Instruments                                                        |         | NotionalAmount               |       |   | DerivativeAssets |   |   | DerivativeLiabilities |   |
| (in      thousands)                                                                              |         |                         |       |   |   |   |   |   |   |
| Derivatives      designated as hedging instruments                                               |         |                         |       |   |   |   |   |   |   |
| Interest-rate      swaps                                                                         |    | $                            | 38,509,545 |   |   | $ | 229,029 |   |   | $ | 577,659 |   |
| Interest-rate      caps or floors                                                                |         |                         | 10,000     |   |   |   | 4 |   |   |   |   |   |
| Total      derivatives designated as hedging instruments                                         |         |                         | 38,519,545 |   |   |   | 229,033 |   |   |   | 577,659 |   |
| Derivatives      not designated as hedging instruments                                           |         |                         |       |   |   |   |   |   |   |   |   |   |
| Interest-rate      swaps                                                                         |         |                         | 659,700    |   |   |   | 10,920 |   |   |   | 9,860 |   |
| Interest-rate      caps or floors                                                                |         |                         | 200,000    |   |   |   | 47 |   |   |   |   |   |
| Total      derivatives not designated as hedging instruments                                     |         |                         | 859,700    |   |   |   | 10,967 |   |   |   | 9,860 |   |
| Total      derivatives before netting and collateral adjustments                                 |         | $                            | 39,379,245 |   |   |   | 240,000 |   |   |   | 587,519 |   |
| Netting      adjustments(1)                                                                      |         |                         |       |   |   |   | (228,069 | ) |   |   | (228,068 | ) |
| Cash      collateral and related accrued interest                                                |         |                         |       |   |   |   | (8,282 | ) |   |   | (59,421 | ) |
| Subtotal      netting and collateral adjustments                                                 |         |                         |       |   |   |   | (236,351 | ) |   |   | (287,489 | ) |
| Derivative      assets and derivative liabilities as reported on the statement of      condition |         |                         |       |   |   | $ | 3,649 |   |   | $ | 300,030 |   |

| (1) | Amounts      represent the effect of legally enforceable master netting agreements that      allow the Seattle Bank to settle positive and negative      positions. |
|-----|---------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|                                                                                         |   | For      the Three Months Ended March 31, |   |
|----------------------------------------------------------------------------------------------|--------|-------------------------------------------|--------|
| Components      of Net Gain (Loss) on Derivatives and Hedging Activities                     |   | 2010                                      |   |   | 2009 |   |
| (in      thousands)                                                                          |   |                                      |   |   |   |   |
| Derivatives      and hedged items in fair value hedging relationships                        |   |                                      |   |   |   |   |
| Interest-rate      swaps                                                                     |   | $                                         | 259    |   |   | $ | (2,869 | ) |
| Total net gain      (loss) related to fair value hedge ineffectiveness                  |   |                                      | 259    |   |   |   | (2,869 | ) |
| Derivatives      not designated as hedging instruments                                       |   |                                      |   |   |   |   |   |   |
| Economic      hedges                                                                         |   |                                      |   |   |   |   |   |   |
| Interest-rate      swaps                                                                     |   |                                      | (11    | ) |   |   | 2 |   |
| Interest-rate      caps or floors                                                            |   |                                      | (46    | ) |   |   | (184 | ) |
| Net interest      settlements                                                                |   |                                      | 3,815  |   |   |   | 128 |   |
| Intermediary      transactions                                                               |   |                                      |   |   |   |   |   |   |
| Interest-rate      swaps                                                                     |   |                                      |   |   |   |   | (18 | ) |
| Total net gain      (loss) related to derivatives not designated as hedging      instruments |   |                                      | 3,758  |   |   |   | (72 | ) |
| Net gain      (loss) on derivatives and hedging activities                                   |   | $                                         | 4,017  |   |   | $ | (2,941 | ) |

|                                                                                                     |   | For      the Three Months Ended March 31, 2010 |   |
|----------------------------------------------------------------------------------------------------------|--------|------------------------------------------------|--------|
| Gain      (Loss) on Derivatives and on the Related Hedged Items in Fair Value      Hedging Relationships |   | Gain      (Loss) on Derivatives                |   |   | Gain      (Loss) on Hedged      Items |   |   | Net      Hedge Effectiveness      (1) |   |   | Effect      of Derivatives on Net Interest Income (2) |   |
| (in      thousands)                                                                                      |   |                                           |   |   |   |   |   |   |   |   |   |   |
| Advances                                                                                                 |   | $                                              | 396    |   |   | $ | 180 |   |   | $ | 576 |   |   | $ | (78,329 | ) |
| Consolidated      obligation bonds                                                                       |   |                                           | 49,853 |   |   |   | (50,620 | ) |   |   | (767 | ) |   |   | 68,228 |   |
| Consolidated      obligation discount notes                                                              |   |                                           | (2,727 | ) |   |   | 3,177 |   |   |   | 450 |   |   |   | 2,642 |   |
| Total                                                                                                    |   | $                                              | 47,522 |   |   | $ | (47,263 | ) |   | $ | 259 |   |   | $ | (7,459 | ) |

| (1) | These amounts      are reported in other (loss) income.                                                                                                               |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (2) | The net      interest on derivatives in fair value hedge relationships is presented in      the interest income/expense line item of the respective hedged      item. |

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|                                                                                                     |   | For      the Three Months Ended March 31, 2009 |    |
|----------------------------------------------------------------------------------------------------------|--------|------------------------------------------------|---------|
| Gain      (Loss) on Derivatives and on the Related Hedged Items in Fair Value      Hedging Relationships |   | Gain      (Loss) on Derivatives                |    |   | (Loss)      Gain on Hedged      Items |   |   | Net      Hedge Effectiveness      (1) |   |   | Effect      of Derivatives on Net Interest Income (2) |   |
| (in      thousands)                                                                                      |   |                                           |    |   |   |   |   |   |   |   |   |   |
| Advances                                                                                                 |   | $                                              | 4,282   |   |   | $ | (8,445 | ) |   | $ | (4,163 | ) |   | $ | (55,491 | ) |
| Consolidated      obligation bonds                                                                       |   |                                           | (58,897 | ) |   |   | 58,843 |   |   |   | (54 | ) |   |   | 58,102 |   |
| Consolidated      obligation discount notes                                                              |   |                                           | (6,878  | ) |   |   | 8,226 |   |   |   | 1,348 |   |   |   | 3,931 |   |
| Total                                                                                                    |   | $                                              | (61,493 | ) |   | $ | 58,624 |   |   | $ | (2,869 | ) |   | $ | 6,542 |   |

| (1) | These amounts      are reported in other (loss) income.                                                                                                               |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (2) | The net      interest on derivatives in fair value hedge relationships is presented in      the interest income/expense line item of the respective hedged      item. |

| Consolidated      Obligation Discount Notes |   | Book      Value |       |   | Par      Value |   |       | Weighted-Average      Interest Rate* |   |
|---------------------------------------------|--------|-----------------|------------|--------|----------------|--------|------------|--------------------------------------|--------|
| (in      thousands, except interest rates)  |   |            |       |   |           |   |       |                                 |   |
| As of March      31, 2010                   |   | $               | 17,467,151 |   |           | $      | 17,469,326 |                                 |   |   | 0.11 |   |
| As of December      31, 2009                |   | $               | 18,501,642 |   |           | $      | 18,502,949 |                                 |   |   | 0.23 |   |

| * | Represents an      implied rate. |
|---|----------------------------------|

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|                                                     |   | As      of March 31, 2010 |       |   | As      of December 31, 2009 |   |
|----------------------------------------------------------|--------|---------------------------|------------|--------|------------------------------|--------|
|                                                     |   |                      |       |   | Weighted-                    |   |   |   |   |   | Weighted- |   |
|                                                     |   |                      |       |   | Average                      |   |   |   |   |   | Average |   |
|                                                     |   |                      |       |   | Interest                     |   |   |   |   |   | Interest |   |
| Term-to-Maturity      and Weighted-Average Interest Rate |   | Amount                    |       |   | Rate                         |   |   | Amount |   |   | Rate |   |
| (in      thousands, except interest rates)               |   |                      |       |   |                         |   |   |   |   |   |   |   |
| Due in one      year or less                             |   | $                         | 7,505,985  |   |                         |   | 1.06 |   |   | $ | 11,264,000 |   |   |   | 1.12 |   |
| Due after one      year through two years                |   |                      | 6,740,110  |   |                         |   | 1.06 |   |   |   | 3,656,595 |   |   |   | 1.81 |   |
| Due after two      years through three years             |   |                      | 5,724,500  |   |                         |   | 2.35 |   |   |   | 4,894,000 |   |   |   | 2.55 |   |
| Due after      three years through four years            |   |                      | 3,128,000  |   |                         |   | 2.87 |   |   |   | 2,772,000 |   |   |   | 3.10 |   |
| Due after four      years through five years             |   |                      | 2,301,500  |   |                         |   | 3.43 |   |   |   | 2,297,500 |   |   |   | 3.74 |   |
| Thereafter                                               |   |                      | 5,218,270  |   |                         |   | 4.83 |   |   |   | 4,794,270 |   |   |   | 5.01 |   |
| Total par      value                                     |   |                      | 30,618,365 |   |                         |   | 2.31 |   |   |   | 29,678,365 |   |   |   | 2.46 |   |
| Premiums                                                 |   |                      | 10,607     |   |                         |   |   |   |   |   | 11,388 |   |   |   |   |   |
| Discounts                                                |   |                      | (24,011    | )      |                         |   |   |   |   |   | (25,095 | ) |   |   |   |   |
| Hedging      adjustments                                 |   |                      | 129,081    |   |                         |   |   |   |   |   | 97,571 |   |   |   |   |   |
| Total                                                    |   | $                         | 30,734,042 |   |                         |   |   |   |   | $ | 29,762,229 |   |   |   |   |   |

|                                          |   | As      of March 31, 2010 |    |   | As      of December 31, 2009         |   |
|-----------------------------------------------|--------|---------------------------|---------|--------|--------------------------------------|--------|
| Other      FHLBanks' Consolidated Obligations |   | Par      Value            |    |   | Original      Net Premium (Discount) |   |   | Par      Value |   |   | Original      Net Premium (Discount) |   |
| (in      thousands)                           |   |                      |    |   |                                 |   |   |   |   |   |   |   |
| Transfers      In                             |   |                      |    |   |                                 |   |   |   |   |   |   |   |
| FHLBank of      Chicago                       |   | $                         | 998,000 |   |                                 | $      | (18,577 | ) |   | $ | 1,014,000 |   |   | $ | 18,462 |   |
| Total                                         |   | $                         | 998,000 |   |                                 | $      | (18,577 | ) |   | $ | 1,014,000 |   |   | $ | 18,462 |   |

| Par      Value of Consolidated Obligation Bonds |   | As      ofMarch      31, 2010 |       |   | As      ofDecember      31, 2009 |   |
|-------------------------------------------------|--------|-------------------------------|------------|--------|----------------------------------|--------|
| (in      thousands)                             |   |                          |       |   |                             |   |
| Non-callable                                    |   | $                             | 15,813,565 |   |                             | $      | 18,727,565 |   |
| Callable                                        |   |                          | 14,804,800 |   |                             |   | 10,950,800 |   |
| Total par      value                            |   | $                             | 30,618,365 |   |                             | $      | 29,678,365 |   |

| Term-to-Maturity      or Next Call Date       |   | As      ofMarch      31, 2010 |       |   | As      ofDecember      31, 2009 |   |
|-----------------------------------------------|--------|-------------------------------|------------|--------|----------------------------------|--------|
| (in      thousands)                           |   |                          |       |   |                             |   |
| Due in one      year or less                  |   | $                             | 18,425,785 |   |                             | $      | 21,689,800 |   |
| Due after one      year through two years     |   |                          | 5,284,310  |   |                             |   | 1,875,795 |   |
| Due after two      years through three years  |   |                          | 2,669,500  |   |                             |   | 1,674,000 |   |
| Due after      three years through four years |   |                          | 1,118,000  |   |                             |   | 1,217,000 |   |
| Due after four      years through five years  |   |                          | 841,500    |   |                             |   | 927,500 |   |
| Thereafter                                    |   |                          | 2,279,270  |   |                             |   | 2,294,270 |   |
| Total par      value                          |   | $                             | 30,618,365 |   |                             | $      | 29,678,365 |   |

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|                                    |   | As      of March 31, 2010 |       |   | As      of December 31, 2009         |   |
|-----------------------------------------|--------|---------------------------|------------|--------|--------------------------------------|--------|
| Interest-Rate      Payment Terms        |   | Par      Value            |       |   | Percent      of Total Par      Value |   |   | Par      Value |   |   | Percent      of Total Par      Value |   |
| (in      thousands, except percentages) |   |                      |       |   |                                 |   |   |   |   |   |   |   |
| Fixed                                   |   | $                         | 21,172,365 |   |                                 |   | 69.1 |   |   | $ | 23,772,365 |   |   |   | 80.1 |   |
| Step-up                                 |   |                      | 5,620,000  |   |                                 |   | 18.4 |   |   |   | 4,160,000 |   |   |   | 14.0 |   |
| Variable                                |   |                      | 3,600,000  |   |                                 |   | 11.8 |   |   |   | 1,569,000 |   |   |   | 5.3 |   |
| Range                                   |   |                      | 226,000    |   |                                 |   | 0.7 |   |   |   | 177,000 |   |   |   | 0.6 |   |
| Total par      value                    |   | $                         | 30,618,365 |   |                                 |   | 100.0 |   |   | $ | 29,678,365 |   |   |   | 100.0 |   |

| Seattle      Bank Capital Stock                                                        |   | Class      A Capital Stock |    |   | Class      B Capital Stock |   |
|----------------------------------------------------------------------------------------|--------|----------------------------|---------|--------|----------------------------|--------|
| (in      thousands, except per share)                                                  |   |                       |    |   |                       |   |
| Par      value                                                                         |   | $100 per      share        |    |   | $100 per      share        |   |
| Issue,      redemption, repurchase, transfer price between members                     |   | $100 per      share        |    |   | $100 per      share        |   |
| Satisfies      membership purchase requirement (pursuant to Capital Plan)              |   | No                         |    |   | Yes                        |   |
| Currently      satisfies activity purchase requirement (pursuant to Capital      Plan) |   | No                         |    |   | Yes                        |   |
| Statutory redemption period      *                                                     |   | Six      months            |    |   | Five      years            |   |
| Total      outstanding balance                                                         |   |                       |    |   |                       |   |
| March      31, 2010                                                                    |   | $                          | 158,865 |   |                       | $      | 2,637,504 |   |
| December 31,      2009                                                                 |   | $                          | 158,864 |   |                       | $      | 2,637,330 |   |

| * | Generally      redeemable six months (Class A capital stock) or five years (Class B      capital stock) after: (1) written notice from the member;      (2) consolidation or merger of a member with a non-member; or      (3) withdrawal or termination of  membership. |
|---|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

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|                                                                  |   | For      the Three Months Ended March 31, |    |
|-----------------------------------------------------------------------|--------|-------------------------------------------|---------|
|                                                                  |   | 2010                                      |    |   | 2009 |   |
|                                                                  |   | Class      A                              |    |   | Class      B |   |   | Class      A |   |   | Class      B |   |
| Capital      Stock Activity                                           |   | Capital      Stock                        |    |   | Capital      Stock |   |   | Capital      Stock |   |   | Capital      Stock |   |
| (in      thousands)                                                   |   |                                      |    |   |   |   |   |   |   |   |   |   |
| Balance,      beginning of period                                     |   | $                                         | 132,518 |   |   | $ | 1,717,149 |   |   | $ | 117,853 |   |   | $ | 1,730,287 |   |
| New member      capital stock purchases                               |   |                                      |    |   |   |   |   |   |   |   |   |   |   |   | 3,873 |   |
| Existing      member capital stock purchases                          |   |                                      |    |   |   |   | 174 |   |   |   | 18,820 |   |   |   | 445 |   |
| Total capital      stock purchases                                    |   |                                      |    |   |   |   | 174 |   |   |   | 18,820 |   |   |   | 4,318 |   |
| Capital stock      transferred to mandatory redeemable capital stock: |   |                                      |    |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Withdrawals/involuntary      redemptions                              |   |                                      | 1       |   |   |   | (1,233 | ) |   |   | (2,253 | ) |   |   | (1,512 | ) |
| Redemption      requests past redemption date                         |   |                                      |    |   |   |   | (633 | ) |   |   |   |   |   |   |   |   |
| Balance, end      of period                                           |   | $                                         | 132,519 |   |   | $ | 1,715,457 |   |   | $ | 134,420 |   |   | $ | 1,733,093 |   |

|                                   |   | As      of March 31, 2010 |      |   | As      of December 31, 2009 |   |
|----------------------------------------|--------|---------------------------|-----------|--------|------------------------------|--------|
| Regulatory      Capital Requirements   |   | Required                  |      |   | Actual                       |   |   | Required |   |   | Actual |   |
| (in      thousands, except for ratios) |   |                      |      |   |                         |   |   |   |   |   |   |   |
| Risk-based      capital                |   | $                         | 2,206,363 |   |                         | $      | 2,696,468 |   |   | $ | 2,158,493 |   |   | $ | 2,690,227 |   |
| Total      capital-to-assets ratio     |   |                      | 4.00      | %      |                         |   | 5.51 | % |   |   | 4.00 | % |   |   | 5.58 | % |
| Total      regulatory capital          |   | $                         | 2,072,898 |   |                         | $      | 2,855,333 |   |   | $ | 2,043,779 |   |   | $ | 2,849,091 |   |
| Leverage      capital-to-assets ratio  |   |                      | 5.00      | %      |                         |   | 8.11 | % |   |   | 5.00 | % |   |   | 8.21 | % |
| Leverage      capital                  |   | $                         | 2,591,122 |   |                         | $      | 4,203,567 |   |   | $ | 2,554,724 |   |   | $ | 4,194,205 |   |

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|                                                                |   | For      the Three Months Ended March 31, |    |
|---------------------------------------------------------------------|--------|-------------------------------------------|---------|
| Mandatorily      Redeemable Capital Stock                           |   | 2010                                      |    |   | 2009 |   |
| (in      thousands)                                                 |   |                                      |    |   |   |   |
| Balance,      beginning of period                                   |   | $                                         | 946,527 |   |   | $ | 917,876 |   |
| Capital stock      reclassified from equity:                        |   |                                      |    |   |   |   |   |   |
| Membership      withdrawals/Involuntary redemptions                 |   |                                      | 1,233   |   |   |   | 3,765 |   |
| Redemption      requests past redemption date                       |   |                                      | 633     |   |   |   |   |   |
| Repurchase/redemption      of mandatorily redeemable capital stock* |   |                                      |    |   |   |   | (669 | ) |
| Balance, end      of period                                         |   | $                                         | 948,393 |   |   | $ | 920,972 |   |

| * | Partial      redemption of member’s mandatorily redeemable capital stock      balance. |
|---|----------------------------------------------------------------------------------------------|

|                                                            |   | As      of March 31, 2010      |   |   | As      of December 31, 2009   |   |
|-----------------------------------------------------------------|--------|--------------------------------|--------|--------|--------------------------------|--------|
| Mandatorily      Redeemable Capital Stock - Redemptions by Date |   | Class      ACapital      Stock |   |   | Class      BCapital      Stock |   |   | Class      ACapital      Stock |   |   | Class      BCapital      Stock |   |
| (in      thousands)                                             |   |                           |   |   |                           |   |   |   |   |   |   |   |
| Past      redemption date                                       |   | $                              | 26,346 |   |                           | $      | 73,105 |   |   | $ | 26,346 |   |   | $ | 62,302 |   |
| Less than one      year                                         |   |                           |   |   |                           |   | 51,099 |   |   |   |   |   |   |   | 59,332 |   |
| One year      through two years                                 |   |                           |   |   |                           |   | 14,476 |   |   |   |   |   |   |   | 2,994 |   |
| Two years      through three years                              |   |                           |   |   |                           |   | 126 |   |   |   |   |   |   |   | 13,544 |   |
| Three years      through four years                             |   |                           |   |   |                           |   | 759,103 |   |   |   |   |   |   |   | 757,648 |   |
| Four years      through five years                              |   |                           |   |   |                           |   | 24,138 |   |   |   |   |   |   |   | 24,361 |   |
| Total                                                           |   | $                              | 26,346 |   |                           | $      | 922,047 |   |   | $ | 26,346 |   |   | $ | 920,181 |   |

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|                                                                  |   | As      of March 31, 2010      |   |   | As      of December 31, 2009   |   |
|-----------------------------------------------------------------------|--------|--------------------------------|--------|--------|--------------------------------|--------|
| Class      A and Class B Capital Stock - Voluntary Redemptions byDate |   | Class      ACapital      Stock |   |   | Class      BCapital      Stock |   |   | Class      ACapital      Stock |   |   | Class      BCapital      Stock |   |
| (in      thousands)                                                   |   |                           |   |   |                           |   |   |   |   |   |   |   |
| Less than one      year                                               |   | $                              | 698    |   |                           | $      | 67,427 |   |   | $ |   |   |   | $ | 65,163 |   |
| One year      through two years                                       |   |                           |   |   |                           |   | 8,584 |   |   |   |   |   |   |   | 11,482 |   |
| Two years      through three years                                    |   |                           |   |   |                           |   | 67,511 |   |   |   |   |   |   |   | 67,511 |   |
| Three years      through four years                                   |   |                           |   |   |                           |   | 46,850 |   |   |   |   |   |   |   | 45,897 |   |
| Four years      through five years                                    |   |                           |   |   |                           |   | 24,331 |   |   |   |   |   |   |   | 24,331 |   |
| Total                                                                 |   | $                              | 698    |   |                           | $      | 214,703 |   |   | $ |   |   |   | $ | 214,384 |   |

| Accumulated      Other Comprehensive Loss                                                       |   | Benefit      Plans |   |   | HTM      Securities |   |       | AFS      Securities |   |   | Total    |   |
|-------------------------------------------------------------------------------------------------|--------|--------------------|--------|--------|---------------------|--------|------------|---------------------|--------|--------|----------|--------|
| (in      thousands)                                                                             |   |               |   |   |                |   |       |                |   |   |     |   |
| Balance,      December 31, 2008                                                                 |   | $                  | (2,939 | )      |                | $      |       |                |   | $      |     |   |   | $ | (2,939 | ) |
| Cumulative-effect      adjustment relating to new OTTI guidance                                 |   |               |   |   |                |   | (293,415   | )                   |   |   |     |   |   |   | (293,415 | ) |
| Non-credit      portion of OTTI loss                                                            |   |               |   |   |                |   | (823,527   | )                   |   |   |     |   |   |   | (823,527 | ) |
| Reclassification      adjustment into earnings relating to non-credit portion of OTTI      loss |   |               |   |   |                |   | 14,646     |                |   |   |     |   |   |   | 14,646 |   |
| Pension      benefits                                                                           |   |               | 39     |   |                |   |       |                |   |   |     |   |   |   | 39 |   |
| Balance,      March 31, 2009                                                                    |   | $                  | (2,900 | )      |                | $      | (1,102,296 | )                   |   | $      |     |   |   | $ | (1,105,196 | ) |
| Balance,      December 31, 2009                                                                 |   | $                  | (3,098 | )      |                | $      | (209,292   | )                   |   | $      | (696,426 | )      |   | $ | (908,816 | ) |
| Non-PLMBS                                                                                       |   |               |   |   |                |   |       |                |   |   |     |   |   |   |   |   |
| Unrealized      loss on AFS securities                                                          |   |               |   |   |                |   |       |                |   |   | (637     | )      |   |   | (637 | ) |
| OTTI      PLMBS                                                                                 |   |               |   |   |                |   |       |                |   |   |     |   |   |   |   |   |
| Non-credit      portion of OTTI loss                                                            |   |               |   |   |                |   | (55,181    | )                   |   |   |     |   |   |   | (55,181 | ) |
| Reclassification      of non-credit portion of OTTI loss on securities transferred to      AFS  |   |               |   |   |                |   | 59,179     |                |   |   | (59,179  | )      |   |   |   |   |
| Reclassification      adjustment into earnings of non-credit portion of OTTIloss                |   |               |   | 783    |                |   |       | 16,783              |   |   |     | 17,566 |   |
| Accretion of      non-credit portion of OTTI loss                                               |   |               |   |   |                |   | 12,209     |                |   |   |     |   |   |   | 12,209 |   |
| Subsequent      unrealized changes in fair value                                                |   |               |   |   |                |   |       |                |   |   | 78,977   |   |   |   | 78,977 |   |
| Pension      benefits                                                                           |   |               | 126    |   |                |   |       |                |   |   |     |   |   |   | 126 |   |
| Balance,      March 31, 2010                                                                    |   | $                  | (2,972 | )      |                | $      | (192,302   | )                   |   | $      | (660,482 | )      |   | $ | (855,756 | ) |

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|                                                             |   | For      the Three Months Ended March 31, |   |
|------------------------------------------------------------------|--------|-------------------------------------------|--------|
| Net      Periodic Pension Cost for Supplemental Retirement Plans |   | 2010                                      |   |   | 2009 |   |
| (in      thousands)                                              |   |                                      |   |   |   |   |
| Service      cost                                                |   | $                                         | 103    |   |   | $ | 80 |   |
| Interest      cost                                               |   |                                      | 103    |   |   |   | 73 |   |
| Amortization      of prior service cost                          |   |                                      | 67     |   |   |   | 39 |   |
| Total                                                            |   | $                                         | 273    |   |   | $ | 192 |   |

|         | Level 1 –      inputs to the valuation methodology are quoted prices (unadjusted) for      identical assets or liabilities in active markets. An active market for      the asset or liability is a market in which the transactions for the asset      or liability occur with sufficient frequency and volume to provide pricing      information on an ongoing basis. We have classified certain money market      funds that are held in a rabbi trust as level 1 assets.  |
|--------------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|    | Level 2 –      inputs to the valuation methodology include quoted prices for similar      assets and liabilities in active markets and model-based techniques for      which all significant inputs are observable, either directly or      indirectly, for substantially the full term of the asset or liability. We      have classified our derivatives and AFS TLGP and FFCB securities as level      2 assets and liabilities.                                            |
|    | Level 3 –      inputs to the valuation methodology are unobservable and significant to      the fair value measurement. Unobservable inputs are typically supported by      little or no market activity and reflect the entity’s own assumptions. We      have classified our PLMBS AFS and certain HTM securities, on which we have      recorded OTTI charges and related fair value measurements on a      non-recurring basis, as level 3assets.                         |

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|                                                |   | As      of March 31, 2010 |      |
|-----------------------------------------------------|--------|---------------------------|-----------|
| Recurring      Fair Value Measurement               |   | Total                     |      |   | Level      1 |   |   | Level      2 |   |   | Level      3 |   |   | NettingAdjustment      * |   |
| (in      thousands)                                 |   |                      |      |   |   |   |   |   |   |   |   |   |   |   |   |
| AFS      securities:                                |   |                      |      |   |   |   |   |   |   |   |   |   |   |   |   |
| PLMBS                                               |   | $                         | 1,088,383 |   |   | $ |   |   |   | $ |   |   |   | $ | 1,088,383 |   |   | $ |   |   |
| TLGP      securities                                |   |                      | 1,202,156 |   |   |   |   |   |   |   | 1,202,156 |   |   |   |   |   |   |   |   |   |
| FFCB      bonds                                     |   |                      | 349,998   |   |   |   |   |   |   |   | 349,998 |   |   |   |   |   |   |   |   |   |
| Derivative      assets (interest-rate related)      |   |                      | 5,295     |   |   |   |   |   |   |   | 166,795 |   |   |   |   |   |   |   | (161,500 | ) |
| Other assets      (rabbi trust)                     |   |                      | 3,696     |   |   |   | 3,696 |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Total assets      at fair value                     |   | $                         | 2,649,528 |   |   | $ | 3,696 |   |   | $ | 1,718,949 |   |   | $ | 1,088,383 |   |   | $ | (161,500 | ) |
|                                                |   |                      |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Derivative      liabilities (interest-rate related) |   | $                         | (308,423  | ) |   | $ |   |   |   | $ | (499,558 | ) |   | $ |   |   |   | $ | 191,135 |   |
| Total      liabilities at fair value                |   | $                         | (308,423  | ) |   | $ |   |   |   | $ | (499,558 | ) |   | $ |   |   |   | $ | 191,135 |   |

|                                                |   | As      of December 31, 2009 |     |
|-----------------------------------------------------|--------|------------------------------|----------|
|                                                |   |                         |     |   |   |   |   |   |   |   |   |   |   | Netting |   |
| Recurring      Fair Value Measurement               |   | Total                        |     |   | Level      1 |   |   | Level      2 |   |   | Level      3 |   |   | Adjustment      * |   |
| (in      thousands)                                 |   |                         |     |   |   |   |   |   |   |   |   |   |   |   |   |
| AFS      securities                                 |   | $                            | 976,870  |   |   | $ |   |   |   | $ |   |   |   | $ | 976,870 |   |   | $ |   |   |
| Derivative      assets (interest-rate related)      |   |                         | 3,649    |   |   |   |   |   |   |   | 240,000 |   |   |   |   |   |   |   | (236,351 | ) |
| Other assets      (rabbi trust)                     |   |                         | 3,704    |   |   |   | 3,704 |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Total assets      at fair value                     |   | $                            | 984,223  |   |   | $ | 3,704 |   |   | $ | 240,000 |   |   | $ | 976,870 |   |   | $ | (236,351 | ) |
|                                                |   |                         |     |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Derivative      liabilities (interest-rate related) |   | $                            | (300,030 | ) |   | $ |   |   |   | $ | (587,519 | ) |   | $ |   |   |   | $ | 287,489 |   |
| Total      liabilities at fair value                |   | $                            | (300,030 | ) |   | $ |   |   |   | $ | (587,519 | ) |   | $ |   |   |   | $ | 287,489 |   |

| * | Amounts      represent the effect of legally enforceable master netting agreements that      allow the Seattle Bank to settle positive and negative positions with cash      collateral held or placed with the same counterparties. The total cash      collateral held by the Seattle Bank was $9.8 million and $8.3 million as      of March 31, 2010 and December 31,2009. |
|---|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

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|                                                                                          |   |  AFS      PLMBS                           |      |
|-----------------------------------------------------------------------------------------------|--------|------------------------------------------------|-----------|
| Fair      Value Measurements Using Significant Unobservable Inputs                            |   | For      the Three Months Ended March 31, 2010 |      |
| (in      thousands)                                                                           |   |                                           |      |
| Balance as of      December 31, 2009                                                          |   | $                                              | 976,870   |   |
| Transfers from      HTM to AFS securities (1)                                                 |   |                                           | 77,327    |   |
| Gains or      losses (realized/unrealized) on changes in fair value included in      earnings |   |                                           | (16,783   | ) |
| Gains or      losses (unrealized) in accumulated other comprehensiveloss                      |   |                                           | 95,760    |   |
| Settlements                                                                                   |   |                                           | (44,791   | ) |
| Balance as of      March 31, 2010                                                             |   | $                                              | 1,088,383 |   |

| (1) | On March 31,      2010, we transferred certain PLMBS from our HTM portfolio to our AFS      portfolio with a fair value of $77.3 million at the time of transfer.      These securities were PLMBS in the HTM portfolio for which an OTTI credit      loss was recorded in the period oftransfer. |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|                                       |   | As      of March 31, 2010 |    |
|--------------------------------------------|--------|---------------------------|---------|
|                                       |   |                      |    |   |   |   |   |   |   |
| Non-Recurring      Fair Value Measurements |   | Total                     |    |   | Level      2 |   |   | Level      3 |   |
| (in      thousands)                        |   |                      |    |   |   |   |   |   |   |
| HTM      securities                        |   | $                         | 143,591 |   |   | $ |   |   |   | $ | 143,591 |   |
| Real estate      owned                     |   |                      | 1,595   |   |   |   | 1,595 |   |   |   |   |   |
| Total assets      at fair value            |   | $                         | 145,186 |   |   | $ | 1,595 |   |   | $ | 143,591 |   |

|                             |   | As      of December 31, 2009 |    |
|----------------------------------|--------|------------------------------|---------|
|                             |   |                         |    |   |   |   |   |   |   |
| Fair      Value Hierarchy        |   | Total                        |    |   | Level      2 |   |   | Level      3 |   |
| (in      thousands)              |   |                         |    |   |   |   |   |   |   |
| Held-to-maturity      securities |   | $                            | 194,127 |   |   | $ |   |   |   | $ | 194,127 |   |
| Real estate      owned           |   |                         | 1,732   |   |   |   | 1,732 |   |   |   |   |   |
| Total assets      at fair value  |   | $                            | 195,859 |   |   | $ | 1,732 |   |   | $ | 194,127 |   |

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|                                                 |   | As      of March 31, 2010 |        |   | As      of December 31, 2009   |   |
|------------------------------------------------------|--------|---------------------------|-------------|--------|--------------------------------|--------|
| Estimated      Fair Values                           |   | Carrying      Value       |        |   | Estimated      Fair      Value |   |   | Carrying      Value |   |   | Estimated      Fair      Value |   |
| (in      thousands)                                  |   |                      |        |   |                           |   |   |   |   |   |   |   |
| Financial      Assets                                |   |                      |        |   |                           |   |   |   |   |   |   |   |
| Cash and due      from banks                         |   | $                         | 1,150       |   |                           | $      | 1,150 |   |   | $ | 731,430 |   |   | $ | 731,430 |   |
| Deposit with      other FHLBanks                     |   |                      | 45          |   |                           |   | 45 |   |   |   | 32 |   |   |   | 32 |   |
| Securities      purchased under agreements to resell |   |                      | 7,500,000   |   |                           |   | 7,499,998 |   |   |   | 3,500,000 |   |   |   | 3,500,020 |   |
| Federal funds      sold                              |   |                      | 8,999,080   |   |                           |   | 8,999,065 |   |   |   | 10,051,000 |   |   |   | 10,051,096 |   |
| AFS      securities                                  |   |                      | 2,640,537   |   |                           |   | 2,640,537 |   |   |   | 976,870 |   |   |   | 976,870 |   |
| HTM      securities                                  |   |                      | 8,755,759   |   |                           |   | 8,456,929 |   |   |   | 9,288,906 |   |   |   | 8,884,890 |   |
| Advances                                             |   |                      | 19,865,353  |   |                           |   | 19,970,956 |   |   |   | 22,257,026 |   |   |   | 22,368,341 |   |
| Mortgage loans      held for portfolio, net          |   |                      | 3,923,542   |   |                           |   | 4,093,420 |   |   |   | 4,106,195 |   |   |   | 4,251,866 |   |
| Accrued      interest receivable                     |   |                      | 78,273      |   |                           |   | 78,273 |   |   |   | 123,586 |   |   |   | 123,586 |   |
| Derivative      assets                               |   |                      | 5,295       |   |                           |   | 5,295 |   |   |   | 3,649 |   |   |   | 3,649 |   |
| Financial      Liabilities                           |   |                      |        |   |                           |   |   |   |   |   |   |   |   |   |   |   |
| Deposits                                             |   |                      | (371,117    | )      |                           |   | (371,112 | ) |   |   | (339,800 | ) |   |   | (339,801 | ) |
| Consolidated      obligations, net:                  |   |                      |        |   |                           |   |   |   |   |   |   |   |   |   |   |   |
| Discount      notes                                  |   |                      | (17,467,151 | )      |                           |   | (17,466,863 | ) |   |   | (18,501,642 | ) |   |   | (18,501,216 | ) |
| Bonds                                                |   |                      | (30,734,042 | )      |                           |   | (31,118,493 | ) |   |   | (29,762,229 | ) |   |   | (30,095,231 | ) |
| Mandatorily      redeemable capital stock            |   |                      | (948,393    | )      |                           |   | (948,393 | ) |   |   | (946,527 | ) |   |   | (946,527 | ) |
| Accrued      interest payable                        |   |                      | (146,376    | )      |                           |   | (146,376 | ) |   |   | (207,842 | ) |   |   | (207,842 | ) |
| Derivative      liabilities                          |   |                      | (308,423    | )      |                           |   | (308,423 | ) |   |   | (300,030 | ) |   |   | (300,030 | ) |
| Other                                                |   |                      |        |   |                           |   |   |   |   |   |   |   |   |   |   |   |
| Commitments to      extend credit for advances       |   |                      | (632        | )      |                           |   | (632 | ) |   |   | (649 | ) |   |   | (649 | ) |
| Commitments to      issue consolidated obligations   |   |                      | (2,882,783  | )      |                           |   | (2,871,703 | ) |   |   |   |   |   |   | 8,938 |   |

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|                                                     |   | As      of          |       |   | As      of             |   |
|----------------------------------------------------------|--------|---------------------|------------|--------|------------------------|--------|
| Assets      and Liabilities with Members and Affiliates  |   | March      31, 2010 |       |   | December      31, 2009 |   |
| (in      thousands)                                      |   |                |       |   |                   |   |
| Assets                                                   |   |                |       |   |                   |   |
| Cash and due      from banks                             |   | $                   | 150        |   |                   | $      | 200 |   |
| Securities      purchased under agreements to resell     |   |                | 4,000,000  |   |                   |   | 3,000,000 |   |
| Federal funds      sold                                  |   |                | 839,000    |   |                   |   | 512,000 |   |
| AFS      securities                                      |   |                | 1,360,164  |   |                   |   | 513,083 |   |
| HTM      securities                                      |   |                | 959,436    |   |                   |   | 1,161,517 |   |
| Advances*                                                |   |                | 19,141,185 |   |                   |   | 20,003,762 |   |
| Mortgage loans      held for portfolio                   |   |                | 144,606    |   |                   |   | 149,489 |   |
| Accrued      interest receivable                         |   |                | 49,228     |   |                   |   | 71,821 |   |
| Total      assets                                        |   | $                   | 26,493,769 |   |                   | $      | 25,411,872 |   |
|                                                     |   |                |       |   |                   |   |   |   |
| Liabilities                                              |   |                |       |   |                   |   |   |   |
| Deposits                                                 |   | $                   | 367,554    |   |                   | $      | 334,892 |   |
| Mandatorily      redeemable capital stock                |   |                | 90,101     |   |                   |   | 89,468 |   |
| Derivative      liabilities                              |   |                | 159,048    |   |                   |   | 162,626 |   |
| Other      liabilities                                   |   |                | 902        |   |                   |   | 977 |   |
| Total      liabilities                                   |   |                | 617,605    |   |                   |   | 587,963 |   |
| Capital                                                  |   |                |       |   |                   |   |   |   |
| Capital      stock:                                      |   |                |       |   |                   |   |   |   |
| Class B      capital stock                               |   |                | 1,715,457  |   |                   |   | 1,717,149 |   |
| Class A      capital stock                               |   |                | 132,519    |   |                   |   | 132,518 |   |
| Accumulated      other comprehensive loss:               |   |                |       |   |                   |   |   |   |
| Non-credit      portion of OTTI losses on AFS securities |   |                | (387,288   | )      |                   |   | (358,290 | ) |
| Non-credit      portion of OTTI losses on HTM securities |   |                | (136,746   | )      |                   |   | (150,229 | ) |
| Total      capital                                       |   | $                   | 1,323,942  |   |                   | $      | 1,341,148 |   |
|                                                     |   |                |       |   |                   |   |   |   |
| Other                                                    |   |                |       |   |                   |   |   |   |
| Notional      amount of derivatives                      |   | $                   | 14,377,040 |   |                   | $      | 18,564,767 |   |
| Letters of      credit                                   |   | $                   | 1,008,770  |   |                   | $      | 932,910 |   |

| * | Includes the      effect of associated derivatives with members or their      affiliates. |
|---|-------------------------------------------------------------------------------------------|

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|                                                 |   | For      the Three Months Ended March 31, |    |
|------------------------------------------------------|--------|-------------------------------------------|---------|
| Income      and Expense with Members and Affiliates  |   | 2010                                      |    |   | 2009 |   |
| (in      thousands)                                  |   |                                      |    |   |   |   |
| Interest      Income                                 |   |                                      |    |   |   |   |
| Advances*                                            |   | $                                         | 79,322  |   |   | $ | 129,932 |   |
| Prepayment      fees on advances, net                |   |                                      | 2,482   |   |   |   | 3,558 |   |
| Securities      purchased under agreements to resell |   |                                      | 1,184   |   |   |   | 364 |   |
| Federal funds      sold                              |   |                                      | 283     |   |   |   | 230 |   |
| AFS      securities                                  |   |                                      | 2,162   |   |   |   |   |   |
| HTM      securities                                  |   |                                      | 6,631   |   |   |   | 23,103 |   |
| Mortgage loans      held for portfolio               |   |                                      | 1,934   |   |   |   | 7,572 |   |
|     Total      interest income   |   |                                      | 93,998  |   |   |   | 164,759 |   |
| Interest      Expense                                |   |                                      |    |   |   |   |   |   |
| Deposits                                             |   |                                      | 44      |   |   |   | 479 |   |
| Consolidated      obligations*                       |   |                                      | (34,317 | ) |   |   | (22,859 | ) |
|     Total      interest expense  |   |                                      | (34,273 | ) |   |   | (22,380 | ) |
| Net      Interest Income                             |   |                                      | 128,271 |   |   |   | 187,139 |   |
| Other      (Loss) Income                             |   |                                      |    |   |   |   |   |   |
| Service      fees                                    |   |                                      | 663     |   |   |   | 555 |   |
| Net OTTI      credit loss                            |   |                                      | (9,640  | ) |   |   | (40,643 | ) |
| Net loss on      derivatives and hedging activities  |   |                                      | (3,872  | ) |   |   | (1,957 | ) |
| Total other      loss                                |   |                                      | (12,849 | ) |   |   | (42,045 | ) |

| * | Includes the      effect of associated derivatives with members or their      affiliates. |
|---|-------------------------------------------------------------------------------------------|

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|                                                     |   | As      of          |       |   | As      of             |   |
|----------------------------------------------------------|--------|---------------------|------------|--------|------------------------|--------|
| Assets      and Liabilities with Related Parties         |   | March      31, 2010 |       |   | December      31, 2009 |   |
| (in      thousands)                                      |   |                |       |   |                   |   |
| Assets                                                   |   |                |       |   |                   |   |
| Cash and due      from banks                             |   | $                   | 150        |   |                   | $      | 200 |   |
| Securities      purchased under agreements to resell     |   |                | 4,000,000  |   |                   |   | 500,000 |   |
| Federal funds      sold                                  |   |                | 906,000    |   |                   |   |   |   |
| AFS      securities                                      |   |                | 1,685,242  |   |                   |   | 454,457 |   |
| HTM      securities                                      |   |                | 770,363    |   |                   |   | 846,041 |   |
| Advances*                                                |   |                | 7,992,920  |   |                   |   | 9,790,069 |   |
| Mortgage loans      held for portfolio                   |   |                | 3,431,360  |   |                   |   | 3,593,551 |   |
| Accrued      interest receivable                         |   |                | 35,046     |   |                   |   | 70,535 |   |
| Total      assets                                        |   | $                   | 18,821,081 |   |                   | $      | 15,254,853 |   |
|                                                     |   |                |       |   |                   |   |   |   |
| Liabilities                                              |   |                |       |   |                   |   |   |   |
| Deposits                                                 |   | $                   | 13,155     |   |                   | $      | 16,641 |   |
| Mandatorily      redeemable capital stock                |   |                | 790,764    |   |                   |   | 790,764 |   |
| Derivative      liabilities                              |   |                | 138,765    |   |                   |   | 156,553 |   |
| Other      liabilities                                   |   |                | 14,396     |   |                   |   | 14,170 |   |
| Total      liabilities                                   |   |                | 957,080    |   |                   |   | 978,128 |   |
| Capital                                                  |   |                |       |   |                   |   |   |   |
| Capital      stock:                                      |   |                |       |   |                   |   |   |   |
| Class B      capital stock                               |   |                | 737,698    |   |                   |   | 737,698 |   |
| Class A      capital stock                               |   |                | 4,784      |   |                   |   | 4,784 |   |
| Accumulated      other comprehensive loss:               |   |                |       |   |                   |   |   |   |
| Non-credit      portion of OTTI losses on AFS securities |   |                | (270,134   | )      |                   |   | (312,390 | ) |
| Non-credit      portion of OTTI losses on HTM securities |   |                | (32,234    | )      |                   |   | (45,347 | ) |
| Total      capital                                       |   | $                   | 440,114    |   |                   | $      | 384,745 |   |
| Other                                                    |   |                |       |   |                   |   |   |   |
| Notional      amount of derivatives                      |   | $                   | 7,448,165  |   |                   | $      | 12,198,343 |   |
| Letters of      credit                                   |   | $                   | 267,966    |   |                   | $      | 269,259 |   |

| * | Includes the      effect of associated derivatives with members or their      affiliates. |
|---|-------------------------------------------------------------------------------------------|

|                                                 |   | For      the Three Months Ended March 31, |    |
|------------------------------------------------------|--------|-------------------------------------------|---------|
| Income      and Expense with Related Parties         |   | 2010                                      |    |   | 2009 |   |
| (in      thousands)                                  |   |                                      |    |   |   |   |
| Interest      Income                                 |   |                                      |    |   |   |   |
| Advances*                                            |   | $                                         | 11,978  |   |   | $ | 106,371 |   |
| Prepayment      fees on advances, net                |   |                                      | 35      |   |   |   | 2,721 |   |
| Securities      purchased under agreements to resell |   |                                      | 630     |   |   |   | 1,085 |   |
| Federal funds      sold                              |   |                                      | 31      |   |   |   | 95 |   |
| AFS      securities                                  |   |                                      | 2,018   |   |   |   |   |   |
| HTM      securities                                  |   |                                      | 4,301   |   |   |   | 11,322 |   |
| Mortgage loans      held for portfolio               |   |                                      | 43,562  |   |   |   | 55,864 |   |
|     Total      interest income   |   |                                      | 62,555  |   |   |   | 177,458 |   |
| Interest      Expense                                |   |                                      |    |   |   |   |   |   |
| Deposits                                             |   |                                      | 1       |   |   |   | 13 |   |
| Consolidated      obligations*                       |   |                                      | (21,715 | ) |   |   | (24,451 | ) |
|     Total      interest expense  |   |                                      | (21,714 | ) |   |   | (24,438 | ) |
| Net      Interest Income                             |   |                                      | 84,269  |   |   |   | 201,896 |   |
| Other      (Loss) Income                             |   |                                      |    |   |   |   |   |   |
| Service      fees                                    |   |                                      | 28      |   |   |   | 43 |   |
| Net OTTI      credit loss                            |   |                                      | (12,659 | ) |   |   | (29,866 | ) |
| Net loss on      derivatives and hedging activities  |   |                                      | (10     | ) |   |   | (2,617 | ) |
| Total other      loss                                |   |                                      | (12,641 | ) |   |   | (32,440 | ) |

| * | Includes the      effect of associated derivatives with members or their      affiliates. |
|---|-------------------------------------------------------------------------------------------|

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| Outstanding      Standby Letters of Credit |   | As      of March      31, 2010 |      |   | As      of December      31, 2009 |   |
|--------------------------------------------|--------|--------------------------------|-----------|--------|-----------------------------------|--------|
| (in thousands,      except years)          |   |                           |      |   |                              |   |
| Outstanding      notional                  |   | $                              | 1,008,770 |   |                              | $      | 932,910 |   |
| Original      terms                        |   | 2      days to 7.5 years       |      |   | 20 days to 7.5      years         |   |
| Final      expiration year                 |   |                           | 2012      |   |                              |   | 2012 |   |
| Commitment      notional                   |   | $                              | 52,000    |   |                              | $      | 50,000 |   |
| Original      terms                        |   | 1      to 2 years              |      |   | 2      years                      |   |
| Final      expiration year                 |   |                           | 2012      |   |                              |   | 2010 |   |

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IT

 

| ·       | adverse      changes in credit quality, market prices, or other factors that could      affect our financial instruments, particularly our private-label      mortgage-backed securities (PLMBS), and that could result in, among other      things, additional other-than-temporary impairment (OTTI) charges or      capital deficiencies;                                                                              |
|--------------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|  · | regulatory      requirements and restrictions, including growth restrictions, resulting      from our capital classification of undercapitalized by the Federal Housing      Finance Agency (Finance Agency), a further adverse change in our capital      classification, or other actions by the Finance Agency, other governmental      bodies, or regulatory agencies;                                                |
|  · | our ability      to attract new members and our existing members’ willingness to purchase      new or additional capital stock or transact business with us due to, among      other things, concerns about our capital classification, our ability to      redeem or repurchase capital stock or pay dividends, or pending litigation      adverse to the interests of certain potential or existing      members; |
|  · | loss of      members and repayment of advances made to those members due to      institutional failures, mergers, consolidations, or withdrawals from      membership;                                                                                                                                                                                                                                                    |
|  · | adverse      changes in the market prices or credit quality of our members’ assets used      as collateral for our advances, which could reduce our members’ borrowing      capacity or result in an under-secured position on outstanding      advances;                                                                                                                                                     |
|  · | instability      or sustained deterioration in our results of operations or financial      condition or adverse regulatory actions affecting the Seattle Bank or      another Federal Home Loan Bank (FHLBank) that could result in member or      non-member shareholders deciding to record impairment charges on their      Seattle Bank capital stock;                                                           |
|  · | our failure      to identify, manage, mitigate, or remedy risks that could negatively      affect our operations, including information technology initiatives (such      as the outsourcing of our information technology functions) and internal      controls;                                                                                                                                                    |
|  · | our inability      to obtain applicable regulatory approval to introduce new products and      services or successfully manage the risks associated with those products      and services;                                                                                                                                                                                                                                |
|  · | increased      operating costs resulting from regulatory actions, economic conditions,      credit rating agency actions affecting the Seattle Bank, or legislative      changes that could cause us to modify our current structure, policies, or      business operations;                                                                                                                                              |
|  · | adverse      changes in investor demand for consolidated obligations or increased      competition from the other government-sponsored enterprises (GSEs),      including other FHLBanks, as well as corporate, sovereign, and      supranational entities;                                                                                                                                                               |

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|  · | significant      or rapid changes in market conditions, including fluctuations in interest      rates, shifts in yield curves, and widening spreads on mortgage-related      assets relative to other financial instruments, or our failure to      effectively hedge these assets;                     |
|--------------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|  · | negative      changes in credit agency ratings applicable to the FHLBanks (including the      Seattle Bank) or the Federal Home Loan Bank System (FHLBank      System);                                                                                                                                 |
|  · | actions taken      by governmental entities, including the U.S. Congress, the U.S. Department      of the Treasury (U.S. Treasury), the Federal Reserve System (Federal      Reserve), or the Federal Deposit Insurance Corporation (FDIC), affecting      the capital and credit markets;              |
|  · | changes in      laws or regulations that could result in modification of the terms or      principal balances of mortgage loans that we own or relating to the      collateral underlying our mortgage-backed securities  (MBS);                                                                        |
| ·       | significant      increases or decreases in business from our members or changes in their      business;                                                                                                                                                                                                 |
|  · | changing      accounting guidance, including changes relating to complex financial      instruments, that could adversely affect our financial      statements;                                                                                                                                         |
|  · | the need to      make principal or interest payments on behalf of another FHLBank as a      result of the joint and several liability of all FHLBanks for consolidated      obligations;                                                                                                                |
|  · | changes in      global, national, and local economic conditions, including unemployment,      inflation, or deflation; and                                                                                                                                                                              |
|  · | events such      as terrorism, natural disasters, or other catastrophic events that could      disrupt the financial markets where we obtain funding, our borrowers’      ability to repay advances, the value of the collateral that we hold, or      our ability to conduct business ingeneral. |

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|                                                             |   | For      the Three Months Ended March 31, 2010 |    |
|------------------------------------------------------------------|--------|------------------------------------------------|---------|
| OTTI      PLMBS                                                  |   | Credit      Losses                             |    |   | Net      Non-Credit Losses |   |   | Total      OTTI Losses |   |
| (in      thousands)                                              |   |                                           |    |   |   |   |   |   |   |
| PLMBS newly      identified as OTTI in the first quarter of 2010 |   | $                                              | (37     | ) |   | $ | (48,264 | ) |   | $ | (48,301 | ) |
| PLMBS      identified as OTTI in prior periods                   |   |                                           | (19,603 | ) |   |   | 10,650 |   |   |   | (8,953 | ) |
| Total OTTI      PLMBS                                            |   | $                                              | (19,640 | ) |   | $ | (37,614 | ) |   | $ | (57,254 | ) |

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| ·   | create a      consumer financial protection agency, housed within the Federal      Reserve; |
|--------------------|---------------------------------------------------------------------------------------------|

| ·   | create an      inter-agency oversight council that would identify and regulate      systemically-important financialinstitutions; |
|--------------------|-----------------------------------------------------------------------------------------------------------------------------------|

| ·   | end “too big      to fail” financial firms, by creating a safe way to liquidate failed      financial firms, imposing new capital and leverage requirements, updating      the Federal eserve’s authority to allow system-wide support but no longer      prop up individual firms, and establishing rigorous standards and      supervision to protect the economy and American consumers, investors and      businesses; |
|--------------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| ·   | eliminate      loopholes and abusive practices for over-the-counter derivatives,      asset-backed securities, hedge funds, mortgage brokers and payday      lenders; |
|--------------------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| ·   | streamline      bank supervision to create clarity and accountability, while protecting      the dual banking system that supports community  banks; |
|--------------------|------------------------------------------------------------------------------------------------------------------------------------------------------|

| ·   | provide      shareholders with a non-binding vote on executive      compensation; |
|--------------------|-----------------------------------------------------------------------------------|

| ·   | provide for      tougher rules for transparency and accountability for credit rating      agencies to protect investors andbusinesses; |
|--------------------|----------------------------------------------------------------------------------------------------------------------------------------|

| ·   | strengthen      regulatory oversight and empower regulators to aggressively pursue      financial fraud, conflicts of interest and manipulation of the financial      system. |
|--------------------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

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|                                                             |   | March      31, |   |   | December      31, |   |   | September      30, |   |   | June      30, |   |   | March      31, |   |
|------------------------------------------------------------------|--------|----------------|--------|--------|-------------------|--------|--------|--------------------|--------|--------|---------------|--------|--------|----------------|--------|
| Selected      Financial Data                                     |   | 2010           |   |   | 2009              |   |   | 2009               |   |   | 2009          |   |   | 2009           |   |
| (in      millions, except ratios)                                |   |           |   |   |              |   |   |               |   |   |          |   |   |           |   |
| Statements      of Condition (at period end)                     |   |           |   |   |              |   |   |               |   |   |          |   |   |           |   |
| Total      assets                                                |   | $              | 51,822 |   |              | $      | 51,094 |               |   | $      | 54,087        |   |   | $              | 49,384 |   |   | $ | 56,947 |   |
| Investments      (1)                                             |   |           | 27,896 |   |              |   | 23,817 |               |   |   | 24,717        |   |   |           | 16,358 |   |   |   | 19,965 |   |
| Advances                                                         |   |           | 19,865 |   |              |   | 22,257 |               |   |   | 24,908        |   |   |           | 28,257 |   |   |   | 31,848 |   |
| Mortgage loans      held for portfolio, net (2)                  |   |           | 3,924  |   |              |   | 4,107  |               |   |   | 4,293         |   |   |           | 4,571  |   |   |   | 4,899 |   |
| Deposits and      other borrowings                               |   |           | 371    |   |              |   | 340    |               |   |   | 285           |   |   |           | 778    |   |   |   | 671 |   |
| Consolidated      obligations, net:                              |   |           |   |   |              |   |   |               |   |   |          |   |   |           |   |   |   |   |   |   |
| Discount      notes                                              |   |           | 17,467 |   |              |   | 18,502 |               |   |   | 21,678        |   |   |           | 16,078 |   |   |   | 22,023 |   |
| Bonds                                                            |   |           | 30,734 |   |              |   | 29,762 |               |   |   | 29,754        |   |   |           | 29,983 |   |   |   | 31,458 |   |
| Total      consolidated obligations, net                         |   |           | 48,201 |   |              |   | 48,264 |               |   |   | 51,432        |   |   |           | 46,061 |   |   |   | 53,481 |   |
| Mandatorily      redeemable capital stock                        |   |           | 948    |   |              |   | 946    |               |   |   | 942           |   |   |           | 921    |   |   |   | 921 |   |
| AHP      payable                                                 |   |           | 8      |   |              |   | 9      |               |   |   | 10            |   |   |           | 13     |   |   |   | 15 |   |
| REFCORP      receivable                                          |   |           | (18    | )      |              |   | (20    | )                  |   |   | (20           | )      |   |           | (20    | ) |   |   | (20 | ) |
| Capital      stock:                                              |   |           |   |   |              |   |   |               |   |   |          |   |   |           |   |   |   |   |   |   |
| Class A      capital stock - putable                             |   |           | 133    |   |              |   | 133    |               |   |   | 135           |   |   |           | 135    |   |   |   | 134 |   |
| Class B      capital stock  - putable                  |   |           | 1,715  |   |              |   | 1,717  |               |   |   | 1,718         |   |   |           | 1,735  |   |   |   | 1,733 |   |
| Total capital      stock                                         |   |           | 1,848  |   |              |   | 1,850  |               |   |   | 1,853         |   |   |           | 1,870  |   |   |   | 1,867 |   |
| Retained      earnings                                           |   |           | 58     |   |              |   | 52     |               |   |   | 70            |   |   |           | 164    |   |   |   | 198 |   |
| Accumulated      other comprehensive loss                        |   |           | (855   | )      |              |   | (909   | )                  |   |   | (996          | )      |   |           | (1,238 | ) |   |   | (1,105 | ) |
| Total      capital                                               |   |           | 1,051  |   |              |   | 993    |               |   |   | 927           |   |   |           | 796    |   |   |   | 961 |   |
|                                                             |   |           |   |   |              |   |   |               |   |   |          |   |   |           |   |   |   |   |   |   |
| Statements      of Operations (for the three month period ended) |   |           |   |   |              |   |   |               |   |   |          |   |   |           |   |   |   |
| Interest      income                                             |   | $              | 148    |   |              | $      | 157    |               |   | $      | 183           |   |   | $              | 223    |   |   | $ | 315 |   |
| Net interest      income                                         |   |           | 42     |   |              |   | 45     |               |   |   | 48            |   |   |           | 48     |   |   |   | 74 |   |
| Other      loss                                                  |   |           | (19    | )      |              |   | (48    | )                  |   |   | (127          | )      |   |           | (69    | ) |   |   | (79 | ) |
| Other      expense                                               |   |           | 15     |   |              |   | 14     |               |   |   | 14            |   |   |           | 13     |   |   |   | 12 |   |
| Income (loss)      before assessments                            |   |           | 8      |   |              |   | (18    | )                  |   |   | (93           | )      |   |           | (35    | ) |   |   | (16 | ) |
| AHP and      REFCORP assessments                                 |   |           | 2      |   |              |   |   |               |   |   |          |   |   |           |   |   |   |   |   |   |
| Net income      (loss)                                           |   |           | 6      |   |              |   | (18    | )                  |   |   | (93           | )      |   |           | (35    | ) |   |   | (16 | ) |
|                                                             |   |           |   |   |              |   |   |               |   |   |          |   |   |           |   |   |   |   |   |   |
| Financial      Statistics (for the three month period ended)     |   |           |   |   |              |   |   |               |   |   |          |   |   |           |   |   |   |
| Return on      average equity                                    |   |           | 2.34   | %      |              |   | -6.98  | %                  |   |   | -43.94        | %      |   |           | -13.58 | % |   |   | -3.64 | % |
| Return on      average assets                                    |   |           | 0.05   | %      |              |   | -0.13  | %                  |   |   | -0.72         | %      |   |           | -0.26  | % |   |   | -0.11 | % |
| Average equity      to average assets                            |   |           | 2.04   | %      |              |   | 1.91   | %                  |   |   | 1.64          | %      |   |           | 1.92   | % |   |   | 3.00 | % |
| Regulatory      capital ratio (3)                                |   |           | 5.51   | %      |              |   | 5.58   | %                  |   |   | 5.30          | %      |   |           | 5.99   | % |   |   | 5.24 | % |
| Net interest      margin      (4)                                |   |           | 0.33   | %      |              |   | 0.35   | %                  |   |   | 0.34          | %      |   |           | 0.33   | % |   |   | 0.49 | % |

| (1)       | Investments      include federal funds sold, securities purchased under agreements to      resell, available-for-sale (AFS) and held-to-maturity (HTM) securities,      and loans to other FHLBanks.                                                               |
|-----------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|  (2) | Mortgage loans      held for portfolio, net includes allowance for credit losses of $368,000,      $626,000, $271,000, $257,000, and $0 for the quarters ended March 31,      2010, December 31, 2009, September 30, 2009, June 30, 2009, and March 31,      2009. |
| (3)  | Regulatory      capital ratio is defined as period-end regulatory capital (i.e., permanent      capital, Class A capital stock, and general allowance for losses)      expressed as a percentage of period-end total assets.                                       |
| (4)       | Net interest      margin is defined as net interest income for the period expressed as a      percentage of average earningassets.                                                                                                                                 |

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| Major      Categories of Assets as a Percentage of Total Assets |   | As      ofMarch      31, 2010 |   |   | As      ofDecember      31, 2009 |   |
|-----------------------------------------------------------------|--------|-------------------------------|--------|--------|----------------------------------|--------|
| (in      percentages)                                           |   |                          |   |   |                             |   |
| Advances                                                        |   |                          | 38.3   |   |                             |   | 43.6 |   |
| Investments                                                     |   |                          | 53.8   |   |                             |   | 46.6 |   |
| Mortgage loans      held for portfolio                          |   |                          | 7.6    |   |                             |   | 8.0 |   |
| Other      assets                                               |   |                          | 0.3    |   |                             |   | 1.8 |   |
| Total                                                           |   |                          | 100.0  |   |                             |   | 100.0 |   |

| Major      Categories of Liabilities and Capital as a Percentage of Total Liabilities      and Capital |   | As      ofMarch      31, 2010 |   |   | As      ofDecember      31, 2009 |   |
|--------------------------------------------------------------------------------------------------------|--------|-------------------------------|--------|--------|----------------------------------|--------|
| (in      percentages)                                                                                  |   |                          |   |   |                             |   |
| Consolidated      obligations                                                                          |   |                          | 93.0   |   |                             |   | 94.5 |   |
| Deposits                                                                                               |   |                          | 0.7    |   |                             |   | 0.7 |   |
| Other      liabilities*                                                                                |   |                          | 4.3    |   |                             |   | 2.9 |   |
| Total      capital                                                                                     |   |                          | 2.0    |   |                             |   | 1.9 |   |
| Total                                                                                                  |   |                          | 100.0  |   |                             |   | 100.0 |   |

| * | Mandatorily      redeemable capital stock, representing 1.8% and 1.9% of total liabilities      and capital as of March 31, 2010 and December 31, 2009, is recorded in      other liabilities. |
|---|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

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| ·   | In October      2008, our former largest borrower, Washington Mutual Bank, F.S.B., was      acquired by JPMorgan Chase & Co. (JPMorgan Chase), a non-member      institution. As of March 31, 2010, approximately $650 million of the $15.7      billion in advances outstanding as of September 2008 remained outstanding      with this non-member institution. |
|--------------------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| ·   | Member demand      for advances declined, in part due to increased retail deposit levels and      members’ focus on improving capital ratios and maintaining available      liquidity.                                                                                                                                                                          |
| ·   | Since the      beginning of 2009, 18 members have been part of an FDIC- or National      Credit Union Administration facilitated merger, acquisition, or      closure, reducing our membership and lending base.                                                                                                                                                 |
| ·   | The credit      markets and availability of liquidity have significantly improved and      continued to improve during the first quarter of 2010, providing      additional wholesale funding options to our  members.                                                                                                                                                |

|                                    |   | As      of March 31, 2010 |       |   | As      of December 31, 2009   |   |
|-----------------------------------------|--------|---------------------------|------------|--------|--------------------------------|--------|
| Interest-Rate      Payment Terms        |   | Amount                    |       |   | Percent      of Par      Value |   |   | Amount |   |   | Percent      of Par      Value |   |
| (in      thousands, except percentages) |   |                      |       |   |                           |   |   |   |   |   |   |   |
| Fixed                                   |   | $                         | 16,531,157 |   |                           |   | 84.8 |   |   | $ | 19,257,384 |   |   |   | 88.0 |   |
| Variable                                |   |                      | 2,603,625  |   |                           |   | 13.3 |   |   |   | 2,250,492 |   |   |   | 10.3 |   |
| Floating-to-fixed      convertible      |   |                      | 370,000    |   |                           |   | 1.9 |   |   |   | 370,000 |   |   |   | 1.7 |   |
| Total par      value                    |   | $                         | 19,504,782 |   |                           |   | 100.0 |   |   | $ | 21,877,876 |   |   |   | 100.0 |   |

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|                                                      |   | As      of March 31, 2010 |       |   | As      of December 31, 2009        |   |
|-----------------------------------------------------------|--------|---------------------------|------------|--------|-------------------------------------|--------|
| Term-to-Maturity      and Weighted-Average Interest Rates |   | Amount                    |       |   | Weighted-Average      Interest Rate |   |   | Amount |   |   | Weighted-Average      Interest Rate |   |
| (in      thousands, except interest rates)                |   |                      |       |   |                                |   |   |   |   |   |   |   |
| Due in one      year or less                              |   | $                         | 9,147,351  |   |                                |   | 1.37 |   |   | $ | 12,268,149 |   |   |   | 1.75 |   |
| Due after one      year through two years                 |   |                      | 4,161,318  |   |                                |   | 1.95 |   |   |   | 2,893,358 |   |   |   | 2.67 |   |
| Due after two      years through three years              |   |                      | 1,659,426  |   |                                |   | 3.18 |   |   |   | 1,850,076 |   |   |   | 3.03 |   |
| Due after      three years through four years             |   |                      | 880,430    |   |                                |   | 3.09 |   |   |   | 1,395,149 |   |   |   | 3.11 |   |
| Due after four      years through five years              |   |                      | 570,175    |   |                                |   | 3.32 |   |   |   | 293,629 |   |   |   | 3.73 |   |
| Thereafter                                                |   |                      | 3,086,082  |   |                                |   | 4.38 |   |   |   | 3,177,515 |   |   |   | 4.35 |   |
| Total par      value                                      |   |                      | 19,504,782 |   |                                |   | 2.26 |   |   |   | 21,877,876 |   |   |   | 2.47 |   |
| Commitment      fees                                      |   |                      | (632       | )      |                                |   |   |   |   |   | (650 | ) |   |   |   |   |
| Discount on      AHP advances                             |   |                      | (58        | )      |                                |   |   |   |   |   | (70 | ) |   |   |   |   |
| Discount on      advances                                 |   |                      | (3,580     | )      |                                |   |   |   |   |   | (5,840 | ) |   |   |   |   |
| Hedging      adjustments                                  |   |                      | 364,841    |   |                                |   |   |   |   |   | 385,710 |   |   |   |   |   |
| Total                                                     |   | $                         | 19,865,353 |   |                                |   |   |   |   | $ | 22,257,026 |   |   |   |   |   |

|                            |   | For      the Three Months Ended March 31, |   |
|---------------------------------|--------|-------------------------------------------|--------|
| Advance      Pricing            |   | 2010                                      |   |   | 2009 |   |
| (in      percentages)           |   |                                      |   |   |   |   |
| Differential      pricing       |   |                                      | 90.6   |   |   |   | 91.8 |   |
| Daily      market-based pricing |   |                                      | 9.0    |   |   |   | 8.2 |   |
| Auction      pricing            |   |                                      | 0.4    |   |   |   |   |   |
| Total                           |   |                                      | 100.0  |   |   |   | 100.0 |   |

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|                                                 |   | As      of          |       |   | As      of             |   |
|------------------------------------------------------|--------|---------------------|------------|--------|------------------------|--------|
| Short-      and Long-Term Investments                |   | March      31, 2010 |       |   | December      31, 2009 |   |
| (in      thousands)                                  |   |                |       |   |                   |   |
| Short-Term      Investments                          |   |                |       |   |                   |   |
| Federal funds      sold                              |   | $                   | 8,999,080  |   |                   | $      | 10,051,000 |   |
| Certificates      of deposit                         |   |                | 2,789,000  |   |                   |   | 2,903,000 |   |
| Securities      purchased under agreements to resell |   |                | 7,500,000  |   |                   |   | 3,500,000 |   |
| Total      short-term investments                    |   |                | 19,288,080 |   |                   |   | 16,454,000 |   |
| Long-Term      Investments                           |   |                |       |   |                   |   |   |   |
| MBS                                                  |   |                | 6,414,719  |   |                   |   | 6,713,582 |   |
| Other U.S.      agency obligations                   |   |                | 44,804     |   |                   |   | 51,684 |   |
| GSE      obligations                                 |   |                | 941,512    |   |                   |   | 593,380 |   |
| State or local      housing agency obligations       |   |                | 4,105      |   |                   |   | 4,130 |   |
| TLGP      securities                                 |   |                | 1,202,156  |   |                   |   |   |   |
| Total      long-term investments                     |   |                | 8,607,296  |   |                   |   | 7,362,776 |   |
| Total      investments                               |   | $                   | 27,895,376 |   |                   | $      | 23,816,776 |   |

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|                                        |   | As      of March 31, 2010     |      |
|---------------------------------------------|--------|-------------------------------|-----------|
| Long-Term      Investments by Credit Rating |   | AAA      or Government Agency |      |   | AA |   |   |   | A |   |   | BBB |   |   | Below      Investment Grade |   |   | Unrated |   |   | Total |   |
| (in      thousands)                         |   |                          |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| U.S. agency      obligations                |   | $                             | 973,416   |   |   | $ |   |   |   | $ |   |   |   | $ |   |   |   | $ |   |   |   | $ | 12,900 |   |   | $ | 986,316 |   |
| State or local      housing investments     |   |                          |      |   |   |   | 4,105 |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   | 4,105 |   |
| Other                                       |   |                          | 1,202,156 |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   | 1,202,156 |   |
| Residential      MBS                        |   |                          |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| GSEs                                        |   |                          | 3,094,791 |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   | 3,094,791 |   |
| PLMBS                                       |   |                          | 1,004,335 |   |   |   | 80,639 |   |   |   | 35,727 |   |   |   | 175,422 |   |   |   | 2,023,805 |   |   |   |   |   |   |   | 3,319,928 |   |
| Total      long-term investment securities  |   | $                             | 6,274,698 |   |   | $ | 84,744 |   |   | $ | 35,727 |   |   | $ | 175,422 |   |   | $ | 2,023,805 |   |   | $ | 12,900 |   |   | $ | 8,607,296 |   |

|                                              |   | As      of March 31, 2010 |
|---------------------------------------------------|--------|---------------------------|
| Long-Term      Investments Below Investment Grade |   | BB                        |   |   |   | B |   |   | CCC |   |   | CC |   |   |   | D |   |   | Total |   |
| (in      thousands)                               |   |                      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| PLMBS                                             |   | $                         | 325,825 |   |   | $ | 734,630 |   |   | $ | 822,754 |   |   | $ | 137,845 |   |   | $ | 2,751 |   |   | $ | 2,023,805 |   |
| Total      securities below investment grade      |   | $                         | 325,825 |   |   | $ | 734,630 |   |   | $ | 822,754 |   |   | $ | 137,845 |   |   | $ | 2,751 |   |   | $ | 2,023,805 |   |

|                                        |   | As      of December 31, 2009  |
|---------------------------------------------|--------|-------------------------------|
| Long-Term      Investments by Credit Rating |   | AAA      or Government Agency |   |   | AA |   |   |   | A |   |   | BBB |   |   | Below      Investment Grade |   |   | Unrated |   |   | Total |   |
| (in      thousands)                         |   |                          |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| U.S. agency      obligations                |   | $                             | 631,794 |   |   | $ |   |   |   | $ |   |   |   | $ |   |   |   | $ |   |   |   | $ | 13,270 |   |   | $ | 645,064 |   |
| State or local      housing investments     |   |                          |   |   |   |   | 4,130 |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   | 4,130 |   |
| Residential      MBS                        |   |                          |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| GSE      obligations                        |   |                          | 3,202,908 |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   | 3,202,908 |   |
| PLMBS                                       |   |                          | 1,400,219 |   |   |   | 83,280 |   |   |   | 45,748 |   |   |   | 174,020 |   |   |   | 1,807,407 |   |   |   |   |   |   |   | 3,510,674 |   |
| Total      long-term investment securities  |   | $                             | 5,234,921 |   |   | $ | 87,410 |   |   | $ | 45,748 |   |   | $ | 174,020 |   |   | $ | 1,807,407 |   |   | $ | 13,270 |   |   | $ | 7,362,776 |   |

|                                              |   | As      of December 31, 2009 |    |
|---------------------------------------------------|--------|------------------------------|---------|
| Long-Term      Investments Below Investment Grade |   | BB                           |    |   |   | B |   |   | CCC |   |   | CC |   |   |   | C |   |   | Total |   |
| (in      thousands)                               |   |                         |    |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| PLMBS                                             |   | $                            | 486,526 |   |   | $ | 484,202 |   |   | $ | 718,036 |   |   | $ | 115,512 |   |   | $ | 3,131 |   |   | $ | 1,807,407 |   |
| Total      securities below investment grade      |   | $                            | 486,526 |   |   | $ | 484,202 |   |   | $ | 718,036 |   |   | $ | 115,512 |   |   | $ | 3,131 |   |   | $ | 1,807,407 |   |

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|                                    |                         |   | As      of March 31, 2010    |      |
|-----------------------------------------|------------------------------|--------|------------------------------|-----------|
| PLMBS      Ratings                      |                         |   | UnpaidPrincipal      Balance |      |   | AmortizedCost |   |   | Carrying      Value |   |   | GrossUnrealized      Loss |   |   | CreditLoss      (1) |   |   | Weighted-AverageCredit      Enhancement      (2) |   |
| (in      thousands, except percentages) |                         |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Prime                                   |                         |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| AAA                                     |                         |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| 2004 and      earlier                   |                         |   | $                            | 625,237   |   |   | $ | 621,303 |   |   | $ | 621,303 |   |   | $ | (15,125 | ) |   | $ |   |   |   |   | 7.79 |   |
|                                    |          A    |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| 2004 and      earlier                   |                         |   |                         | 19,569    |   |   |   | 19,609 |   |   |   | 19,609 |   |   |   | (416 | ) |   |   |   |   |   | 6.40 |   |
| Total      prime                        |                         |   |                         | 644,806   |   |   |   | 640,912 |   |   |   | 640,912 |   |   |   | (15,541 | ) |   |   |   |   |   | 7.75 |   |
| Alt-A                                   |                         |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| AAA                                     |                         |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| 2004 and      earlier                   |                         |   |                         | 379,848   |   |   |   | 378,811 |   |   |   | 378,811 |   |   |   | (13,779 | ) |   |   |   |   |   | 6.40 |   |
|                                    |     2005 |   |                         |      | 4,213 |   |   |   | 4,221 |   |   |   | 4,221 |   |   |   | (1,070 | ) |   |   |   |   |   | 46.56 |   |
| AA                                      |                         |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| 2004 and      earlier                   |                         |   |                         | 41,023    |   |   |   | 41,092 |   |   |   | 41,092 |   |   |   | (9,416 | ) |   |   |   |   |   | 13.55 |   |
|                                    |     2005 |   |                         |      | 39,534 |   |   |   | 39,547 |   |   |   | 39,547 |   |   |   | (14,267 | ) |   |   |   |   |   | 29.63 |   |
|                                    |          A    |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| 2004 and      earlier                   |                         |   |                         | 13,978    |   |   |   | 13,913 |   |   |   | 13,913 |   |   |   | (1,874 | ) |   |   |   |   |   | 11.87 |   |
| BBB                                     |                         |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                    |     2005 |   |                         |      | 11,800 |   |   |   | 11,768 |   |   |   | 7,094 |   |   |   | (4,807 | ) |   |   | (30 | ) |   |   | 50.78 |   |
|                                    |     2008 |   |                         |      | 168,328 |   |   |   | 168,328 |   |   |   | 168,328 |   |   |   | (53,728 | ) |   |   |   |   |   |   | 35.45 |   |
| BB                                      |                         |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| 2004 and      earlier                   |                         |   |                         | 2,394     |   |   |   | 2,397 |   |   |   | 2,397 |   |   |   | (399 | ) |   |   |   |   |   |   | 26.54 |   |
|                                    |     2006 |   |                         |      | 32,635 |   |   |   | 32,331 |   |   |   | 16,848 |   |   |   | (15,483 | ) |   |   | (304 | ) |   |   | 42.40 |   |
|                                    |     2007 |   |                         |      | 189,152 |   |   |   | 189,113 |   |   |   | 189,113 |   |   |   | (92,995 | ) |   |   |   |   |   |   | 44.57 |   |
|                                    |     2008 |   |                         |      | 117,467 |   |   |   | 117,467 |   |   |   | 117,467 |   |   |   | (34,164 | ) |   |   |   |   |   |   | 43.17 |   |
|                                    |          B    |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                    |     2005 |   |                         |      | 85,492 |   |   |   | 85,267 |   |   |   | 78,346 |   |   |   | (31,588 | ) |   |   | (244 | ) |   |   | 30.89 |   |
|                                    |     2006 |   |                         |      | 300,342 |   |   |   | 254,663 |   |   |   | 157,816 |   |   |   | (96,848 | ) |   |   | (46,780 | ) |   |   | 44.04 |   |
|                                    |     2007 |   |                         |      | 442,206 |   |   |   | 393,953 |   |   |   | 275,548 |   |   |   | (153,529 | ) |   |   | (47,667 | ) |   |   | 41.47 |   |
|                                    |     2008 |   |                         |      | 248,950 |   |   |   | 247,609 |   |   |   | 221,919 |   |   |   | (106,303 | ) |   |   | (1,141 | ) |   |   | 21.00 |   |
| CCC                                     |                         |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                    |     2005 |   |                         |      | 104,849 |   |   |   | 94,851 |   |   |   | 59,548 |   |   |   | (42,586 | ) |   |   | (9,917 | ) |   |   | 34.81 |   |
|                                    |     2006 |   |                         |      | 581,925 |   |   |   | 490,716 |   |   |   | 323,291 |   |   |   | (176,661 | ) |   |   | (90,876 | ) |   |   | 43.47 |   |
|                                    |     2007 |   |                         |      | 737,904 |   |   |   | 642,075 |   |   |   | 376,854 |   |   |   | (265,222 | ) |   |   | (95,234 | ) |   |   | 31.58 |   |
|                                    |     2008 |   |                         |      | 99,184 |   |   |   | 98,250 |   |   |   | 63,061 |   |   |   | (35,189 | ) |   |   | (934 | ) |   |   | 28.79 |   |
| CC                                      |                         |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                    |     2007 |   |                         |      | 262,025 |   |   |   | 217,076 |   |   |   | 137,845 |   |   |   | (79,231 | ) |   |   | (44,257 | ) |   |   | 38.42 |   |
|                                    |          D    |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                    |     2005 |   |                         |      | 6,421 |   |   |   | 4,509 |   |   |   | 2,751 |   |   |   | (1,758 | ) |   |   | (2,131 | ) |   |   | 0 |   |
| Total      Alt-A                        |                         |   |                         | 3,869,670 |   |   |   | 3,527,957 |   |   |   | 2,675,810 |   |   |   | (1,230,897 | ) |   |   | (339,515 | ) |   |   | 34.51 |   |
| Subprime                                |                         |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                    |          A    |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| 2004 and      earlier                   |                         |   |                         | 2,217     |   |   |   | 2,205 |   |   |   | 2,205 |   |   |   | (1,125 | ) |   |   |   |   |   |   | 100.00 |   |
|                                    |          B    |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| 2004 and      earlier                   |                         |   |                         | 1,001     |   |   |   | 1,001 |   |   |   | 1,001 |   |   |   | (265 | ) |   |   |   |   |   |   | 100.00 |   |
| Total      Subprime                     |                         |   |                         | 3,218     |   |   |   | 3,206 |   |   |   | 3,206 |   |   |   | (1,390 | ) |   |   |   |   |   |   | 100.00 |   |
| Total                                   |                         |   | $                            | 4,517,694 |   |   | $ | 4,172,075 |   |   | $ | 3,319,928 |   |   | $ | (1,247,828 | ) |   | $ | (339,515 | ) |   |   | 30.74 |   |

| (1) | The credit      loss represents life-to-date credit-related OTTI recognized in      earnings.                                                                                                                                                        |
|-----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (2) | The current      weighted-average credit enhancement is the weighted average percent of par      value of subordinated tranches and over-collateralization currently in      place that will absorb losses before our investments incur a      loss. |

----

Table of Contents

|                                    |                         |   | As      of December 31, 2009 |      |
|-----------------------------------------|------------------------------|--------|------------------------------|-----------|
| PLMBS      Ratings                      |                         |   | UnpaidPrincipal      Balance |      |   | AmortizedCost |   |   | Carrying      Value |   |   | GrossUnrealized      Loss |   |   | CreditLoss      (1) |   |   | Weighted-AverageCredit      Enhancement (2) |   |
| (in      thousands, except percentages) |                         |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Prime                                   |                         |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| AAA                                     |                         |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| 2004 and      earlier                   |                         |   | $                            | 712,186   |   |   | $ | 707,501 |   |   | $ | 707,501 |   |   | $ | (21,391 | ) |   | $ |   |   |   | $ | 7.55 |   |
|                                    |          A    |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| 2004 and      earlier                   |                         |   |                         | 25,307    |   |   |   | 25,377 |   |   |   | 25,377 |   |   |   | (707 | ) |   |   |   |   |   | 5.87 |   |
| Total      prime                        |                         |   |                         | 737,493   |   |   |   | 732,878 |   |   |   | 732,878 |   |   |   | (22,098 | ) |   |   |   |   |   | 7.49 |   |
| Alt-A                                   |                         |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| AAA                                     |                         |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| 2004 and      earlier                   |                         |   |                         | 413,547   |   |   |   | 412,323 |   |   |   | 412,323 |   |   |   | (21,616 | ) |   |   |   |   |   | 6.29 |   |
|                                    |     2005 |   |                         |      | 4,312 |   |   |   | 4,319 |   |   |   | 4,319 |   |   |   | (1,203 | ) |   |   |   |   |   | 46.61 |   |
|                                    |     2008 |   |                         |      | 313,790 |   |   |   | 313,431 |   |   |   | 276,076 |   |   |   | (101,990 | ) |   |   | (55 | ) |   |   | 33.26 |   |
| AA                                      |                         |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| 2004 and      earlier                   |                         |   |                         | 42,310    |   |   |   | 42,383 |   |   |   | 42,383 |   |   |   | (10,558 | ) |   |   |   |   |   |   | 13.70 |   |
|                                    |     2005 |   |                         |      | 40,883 |   |   |   | 40,897 |   |   |   | 40,897 |   |   |   | (20,860 | ) |   |   |   |   |   |   | 29.65 |   |
|                                    |          A    |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| 2004 and      earlier                   |                         |   |                         | 14,835    |   |   |   | 14,765 |   |   |   | 14,765 |   |   |   | (2,267 | ) |   |   |   |   |   |   | 11.66 |   |
|                                    |     2005 |   |                         |      | 6,913 |   |   |   | 6,704 |   |   |   | 3,342 |   |   |   | (3,362 | ) |   |   | (208 | ) |   |   | 31.53 |   |
| BBB                                     |                         |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                    |     2005 |   |                         |      | 21,479 |   |   |   | 21,445 |   |   |   | 16,380 |   |   |   | (9,537 | ) |   |   | (30 | ) |   |   | 42.01 |   |
|                                    |     2006 |   |                         |      | 44,768 |   |   |   | 44,768 |   |   |   | 44,768 |   |   |   | (12,779 | ) |   |   |   |   |   |   | 54.92 |   |
|                                    |     2007 |   |                         |      | 66,928 |   |   |   | 66,893 |   |   |   | 66,893 |   |   |   | (33,534 | ) |   |   |   |   |   |   | 44.69 |   |
|                                    |     2008 |   |                         |      | 74,213 |   |   |   | 73,058 |   |   |   | 45,980 |   |   |   | (27,308 | ) |   |   | (1,141 | ) |   |   | 40.33 |   |
| BB                                      |                         |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| 2004 and      earlier                   |                         |   |                         | 3,580     |   |   |   | 3,583 |   |   |   | 3,583 |   |   |   | (892 | ) |   |   |   |   |   |   | 20.30 |   |
|                                    |     2005 |   |                         |      | 48,494 |   |   |   | 48,249 |   |   |   | 40,786 |   |   |   | (17,629 | ) |   |   | (244 | ) |   |   | 22.93 |   |
|                                    |     2006 |   |                         |      | 108,616 |   |   |   | 100,283 |   |   |   | 55,558 |   |   |   | (44,725 | ) |   |   | (8,267 | ) |   |   | 42.90 |   |
|                                    |     2007 |   |                         |      | 388,424 |   |   |   | 361,466 |   |   |   | 264,073 |   |   |   | (159,977 | ) |   |   | (26,658 | ) |   |   | 42.21 |   |
|                                    |     2008 |   |                         |      | 122,525 |   |   |   | 122,525 |   |   |   | 122,525 |   |   |   | (36,882 | ) |   |   |   |   |   |   | 20.99 |   |
|                                    |          B    |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                    |     2005 |   |                         |      | 30,147 |   |   |   | 30,177 |   |   |   | 30,177 |   |   |   | (13,104 | ) |   |   |   |   |   |   | 45.10 |   |
|                                    |     2006 |   |                         |      | 337,685 |   |   |   | 284,921 |   |   |   | 167,106 |   |   |   | (117,815 | ) |   |   | (53,183 | ) |   |   | 43.90 |   |
|                                    |     2007 |   |                         |      | 191,339 |   |   |   | 170,753 |   |   |   | 131,310 |   |   |   | (76,130 | ) |   |   | (20,412 | ) |   |   | 41.92 |   |
|                                    |     2008 |   |                         |      | 154,595 |   |   |   | 154,595 |   |   |   | 154,595 |   |   |   | (76,844 | ) |   |   |   |   |   |   | 46.63 |   |
| CCC                                     |                         |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                    |     2005 |   |                         |      | 100,555 |   |   |   | 90,878 |   |   |   | 56,481 |   |   |   | (42,506 | ) |   |   | (9,573 | ) |   |   | 36.39 |   |
|                                    |     2006 |   |                         |      | 444,983 |   |   |   | 379,342 |   |   |   | 219,878 |   |   |   | (159,464 | ) |   |   | (65,092 | ) |   |   | 44.11 |   |
|                                    |     2007 |   |                         |      | 797,711 |   |   |   | 693,501 |   |   |   | 441,678 |   |   |   | (302,637 | ) |   |   | (103,436 | ) |   |   | 30.80 |   |
| CC                                      |                         |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                    |     2007 |   |                         |      | 223,765 |   |   |   | 193,754 |   |   |   | 115,512 |   |   |   | (78,242 | ) |   |   | (29,662 | ) |   |   | 44.76 |   |
|                                    |          C    |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                    |     2005 |   |                         |      | 7,162 |   |   |   | 5,224 |   |   |   | 3,131 |   |   |   | (2,093 | ) |   |   | (1,914 | ) |   |   | 4.61 |   |
| Total      Alt-A                        |                         |   |                         | 4,003,559 |   |   |   | 3,680,237 |   |   |   | 2,774,519 |   |   |   | (1,373,954 | ) |   |   | (319,875 | ) |   |   | 34.69 |   |
| Subprime      (2)                       |                         |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                    |          A    |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| 2004 and      earlier                   |                         |   |                         | 2,277     |   |   |   | 2,264 |   |   |   | 2,264 |   |   |   | (1,204 | ) |   |   |   |   |   |   | 100.00 |   |
|                                    |          B    |   |                         |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| 2004 and      earlier                   |                         |   |                         | 1,013     |   |   |   | 1,013 |   |   |   | 1,013 |   |   |   | (260 | ) |   |   |   |   |   |   | 100.00 |   |
| Total      Subprime                     |                         |   |                         | 3,290     |   |   |   | 3,277 |   |   |   | 3,277 |   |   |   | (1,464 | ) |   |   |   |   |   |   | 100.00 |   |
| Total                                   |                         |   | $                            | 4,744,342 |   |   | $ | 4,416,392 |   |   | $ | 3,510,674 |   |   | $ | (1,397,516 | ) |   | $ | (319,875 | ) |   |   | 30.51 |   |

| (1) | The credit      loss represents life-to-date credit-related OTTI recognized in      earnings.                                                                                                                                                        |
|-----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (2) | The current      weighted-average credit enhancement is the weighted average percent of par      value of subordinated tranches and over-collateralization currently in      place that will absorb losses before our investments incur a      loss. |

----

Table of Contents

|                                                |   | As      of March 31, 2010     |      |
|-----------------------------------------------------|--------|-------------------------------|-----------|
| PLMBS      in Gross Unrealized Loss Positions       |   | Unpaid      Principal Balance |      |   | Amortized      Cost |   |   | Gross      Unrealized Loss |   |   | Percent      of Delinquent Collateral(60+      Days) |   |   | Percent      of Unpaid Principal BalanceRated      AAA |   |
| (in      thousands, except percentages)             |   |                          |      |   |   |   |   |   |   |   |   |   |   |   |   |
| Prime                                               |   |                          |      |   |   |   |   |   |   |   |   |   |   |   |   |
| First      lien                                     |   | $                             | 463,142   |   |   | $ | 461,666 |   |   | $ | (15,541 | ) |   |   | 2.45 |   |   |   | 95.77 |   |
| Total      prime                                    |   |                          | 463,142   |   |   |   | 461,666 |   |   |   | (15,541 | ) |   |   | 2.45 |   |   |   | 95.77 |   |
| Alt-A                                               |   |                          |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Option      ARM                                     |   |                          | 2,458,009 |   |   |   | 2,206,958 |   |   |   | (898,914 | ) |   |   | 48.11 |   |   |   | 0.17 |   |
| Other                                               |   |                          | 1,374,338 |   |   |   | 1,283,980 |   |   |   | (331,983 | ) |   |   | 26.96 |   |   |   | 24.92 |   |
| Total      Alt-A                                    |   |                          | 3,832,347 |   |   |   | 3,490,938 |   |   |   | (1,230,897 | ) |   |   | 40.52 |   |   |   | 9.05 |   |
| Subprime                                            |   |                          |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| First      lien                                     |   |                          | 3,218     |   |   |   | 3,206 |   |   |   | (1,390 | ) |   |   | 14.38 |   |   |   |   |   |
| Total      subprime                                 |   |                          | 3,218     |   |   |   | 3,206 |   |   |   | (1,390 | ) |   |   | 14.38 |   |   |   |   |   |
| Total PLMBS in      gross unrealized loss positions |   | $                             | 4,298,707 |   |   | $ | 3,955,810 |   |   | $ | (1,247,828 | ) |   |   | 36.40 |   |   |   | 18.38 |   |

|                                          |   | As      of December 31, 2009  |
|-----------------------------------------------|--------|-------------------------------|
| PLMBS      in Gross Unrealized Loss Positions |   | Unpaid      Principal Balance |   |   | Amortized      Cost |   |   | Gross      Unrealized Loss |   |   | Percent      of Delinquent Collateral(60+      Days) |   | Percent      of Unpaid Principal BalanceRated      AAA |
| (in      thousands, except percentages)       |   |                          |   |   |   |   |   |   |   |   |   |   |   |
| Prime                                         |   |                          |   |   |   |   |   |   |   |   |   |   |   |
| First      lien                               |   | $                             | 616,778 |   |   | $ | 614,896 |   |   | $ | (22,098 | ) |   |   | 2.16 |   | 95.9 |
| Total      prime                              |   |                          | 616,778 |   |   |   | 614,896 |   |   |   | (22,098 | ) |   |   | 2.16 |   | 95.9 |
| Alt-A                                         |   |                          |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Option      ARM                               |   |                          | 2,516,104 |   |   |   | 2,281,467 |   |   |   | (994,113 | ) |   |   | 45.31 |   | 0.2 |
| Other                                         |   |                          | 1,469,256 |   |   |   | 1,380,815 |   |   |   | (379,841 | ) |   |   | 25.13 |   | 48.3 |
| Total      Alt-A                              |   |                          | 3,985,360 |   |   |   | 3,662,282 |   |   |   | (1,373,954 | ) |   |   | 37.87 |   | 17.9 |
| Subprime                                      |   |                          |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| First      lien                               |   |                          | 3,290 |   |   |   | 3,277 |   |   |   | (1,464 | ) |   |   | 13.30 |   |   |
| Total      subprime                           |   |                          | 3,290 |   |   |   | 3,277 |   |   |   | (1,464 | ) |   |   | 13.30 |   |   |
| Total                                         |   | $                             | 4,605,428 |   |   | $ | 4,280,455 |   |   | $ | (1,397,516 | ) |   |   | 33.07 |   | 28.3 |

|                                                       |   | As      of               |   |   |   As      of           |   |   |   As      of            |   |   | As      of              |   |   |   As      of        |   |
|------------------------------------------------------------|--------|--------------------------|--------|--------|-----------------------------|--------|--------|------------------------------|--------|--------|-------------------------|--------|--------|--------------------------|--------|
| Weighted      Average Fair Value                           |   | March      31, 2010 |   |   | December      31, 2009 |   |   | September      30, 2009 |   |   | June      30, 2009 |   |   | March      31, 2009 |   |
| Prime      - Year of Issuance                              |   |                     |   |   |                        |   |   |                         |   |   |                    |   |   |                     |   |
| 2004 and      earlier                                      |   |                     | 97     | %      |                        |   | 96     | %                            |   |   | 96                      | %      |   |                     | 95     | % |   |   | 93 | % |
| Alt-A      - Year of Issuance                              |   |                     |   |   |                        |   |   |                         |   |   |                    |   |   |                     |   |   |   |   |   |   |
| 2004 and      earlier                                      |   |                     | 94     | %      |                        |   | 92     | %                            |   |   | 91                      | %      |   |                     | 87     | % |   |   | 81 | % |
| 2005                                                       |   |                     | 59     | %      |                        |   | 55     | %                            |   |   | 50                      | %      |   |                     | 44     | % |   |   | 42 | % |
| 2006                                                       |   |                     | 54     | %      |                        |   | 51     | %                            |   |   | 49                      | %      |   |                     | 41     | % |   |   | 36 | % |
| 2007                                                       |   |                     | 52     | %      |                        |   | 50     | %                            |   |   | 46                      | %      |   |                     | 38     | % |   |   | 33 | % |
| 2008                                                       |   |                     | 63     | %      |                        |   | 63     | %                            |   |   | 62                      | %      |   |                     | 53     | % |   |   | 54 | % |
| Total      Alt-A                                           |   |                     | 60     | %      |                        |   | 58     | %                            |   |   | 55                      | %      |   |                     | 48     | % |   |   | 45 | % |
| Subprime      - Year of Issuance                           |   |                     |   |   |                        |   |   |                         |   |   |                    |   |   |                     |   |   |   |   |   |   |
| 2004 and      earlier                                      |   |                     | 56     | %      |                        |   | 55     | %                            |   |   | 54                      | %      |   |                     | 35     | % |   |   | 35 | % |
| Total PLMBS      weighted-average percentage of fair value |   |                     | 65     | %      |                        |   | 64     | %                            |   |   | 62                      | %      |   |                     | 56     | % |   |   | 55 | % |

----

Table of Contents

|                             |   |  As      of March 31, 2010 |
|----------------------------------|--------|---------------------------------|
| PLMBS      by Interest-Rate Type |   | Unpaid      Principal Balance   |   |   | Gross      Unrealized Losses |   |   | Fair      Value |   |
| (in      thousands)              |   |                            |   |   |   |   |   |   |   |
| Prime                            |   |                            |   |   |   |   |   |   |   |
| Fixed                            |   | $                               | 529,013 |   |   | $ | (5,860 | ) |   | $ | 520,096 |   |
| Variable                         |   |                            | 115,793 |   |   |   | (9,681 | ) |   |   | 106,088 |   |
| Total      prime                 |   |                            | 644,806 |   |   |   | (15,541 | ) |   |   | 626,184 |   |
| Alt-A                            |   |                            |   |   |   |   |   |   |   |   |   |   |
| Fixed                            |   |                            | 116,205 |   |   |   | (362 | ) |   |   | 115,532 |   |
| Variable                         |   |                            | 3,753,465 |   |   |   | (1,230,535 | ) |   |   | 2,188,450 |   |
| Total      Alt-A                 |   |                            | 3,869,670 |   |   |   | (1,230,897 | ) |   |   | 2,303,982 |   |
| Subprime                         |   |                            |   |   |   |   |   |   |   |   |   |   |
| Variable                         |   |                            | 3,218 |   |   |   | (1,390 | ) |   |   | 1,816 |   |
| Total      subprime              |   |                            | 3,218 |   |   |   | (1,390 | ) |   |   | 1,816 |   |
| Total      PLMBS                 |   | $                               | 4,517,694 |   |   | $ | (1,247,828 | ) |   | $ | 2,931,982 |   |

|                             |   | As      of December 31, 2009  |      |
|----------------------------------|--------|-------------------------------|-----------|
| PLMBS      by Interest-Rate Type |   | Unpaid      Principal Balance |      |   | Gross      Unrealized Losses |   |   | Fair      Value |   |
| (in      thousands)              |   |                          |      |   |   |   |   |   |   |
| Prime                            |   |                          |      |   |   |   |   |   |   |
| Fixed                            |   | $                             | 608,954   |   |   | $ | (10,421 | ) |   | $ | 594,541 |   |
| Variable                         |   |                          | 128,539   |   |   |   | (11,677 | ) |   |   | 116,835 |   |
| Total      prime                 |   |                          | 737,493   |   |   |   | (22,098 | ) |   |   | 711,376 |   |
| Alt-A                            |   |                          |      |   |   |   |   |   |   |   |   |   |
| Fixed                            |   |                          | 126,415   |   |   |   | (1,094 | ) |   |   | 124,903 |   |
| Variable                         |   |                          | 3,877,144 |   |   |   | (1,372,860 | ) |   |   | 2,187,867 |   |
| Total      Alt-A                 |   |                          | 4,003,559 |   |   |   | (1,373,954 | ) |   |   | 2,312,770 |   |
| Subprime                         |   |                          |      |   |   |   |   |   |   |   |   |   |
| Variable                         |   |                          | 3,290     |   |   |   | (1,464 | ) |   |   | 1,813 |   |
| Total      subprime              |   |                          | 3,290     |   |   |   | (1,464 | ) |   |   | 1,813 |   |
| Total      PLMBS                 |   | $                             | 4,744,342 |   |   | $ | (1,397,516 | ) |   | $ | 3,025,959 |   |

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|                                                             |   | For      the Three Months Ended March 31, 2010 |    |
|------------------------------------------------------------------|--------|------------------------------------------------|---------|
| Impaired      PLMBS                                              |   | Credit      Losses                             |    |   | Net      Non-Credit Losses |   |   | Total      OTTI Losses |   |
| (in      thousands)                                              |   |                                           |    |   |   |   |   |   |   |
| PLMBS newly      identified as OTTI in the first quarter of 2010 |   | $                                              | (37     | ) |   | $ | (48,264 | ) |   | $ | (48,301 | ) |
| PLMBS      identified as OTTI in prior periods                   |   |                                           | (19,603 | ) |   |   | 10,650 |   |   |   | (8,953 | ) |
| Total impaired      PLMBS                                        |   | $                                              | (19,640 | ) |   | $ | (37,614 | ) |   | $ | (57,254 | ) |

|                                                             |   | For      the Three Months Ended March 31, 2009 |    |
|------------------------------------------------------------------|--------|------------------------------------------------|---------|
| Impaired      PLMBS                                              |   | Credit      Losses                             |    |   | Net      Non-Credit Losses |   |   | Total      OTTI Losses |   |
| (in      thousands)                                              |   |                                           |    |   |   |   |   |   |   |
| PLMBS newly      identified as OTTI in the first quarter of 2009 |   | $                                              | (29,234 | ) |   | $ | (793,056 | ) |   | $ | (822,290 | ) |
| PLMBS      identified as OTTI in prior periods                   |   |                                           | (42,434 | ) |   |   | (30,471 | ) |   |   | (72,905 | ) |
| Total impaired      private-label mortgage-backed securities     |   | $                                              | (71,668 | ) |   | $ | (823,527 | ) |   | $ | (895,195 | ) |

|                        |   | Significant      Inputs                               |   |
|-----------------------------|--------|-------------------------------------------------------|--------|
|                        |   | Cumulative      VoluntaryPrepayment      Rates      * |   |   | Cumulative      Default Rates * |   |   | Loss      Severities |   |   | CurrentCredit      Enhancement |   |
| Year      of Securitization |   | Weighted      Average %                               |   | Range      % |   |   | Weighted      Average % |   | Range      % |   |   | Weighted      Average % |   | Range      % |   |   | Weighted      Average % |   | Range      % |   |
| Alt-A                       |   |                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|   2008            |   |                                                  | 10.78  |   |   | 10.57-11.08 |   |   |   | 49.40 |   |   | 45.4-52.25 |   |   |   | 41.93 |   |   | 39.47-45.38 |   |   |   | 33.57 |   |   | 28.79-40.29 |   |
|   2007            |   |                                                  | 7.46   |   |   | 5.32-11.77 |   |   |   | 77.60 |   |   | 36.63-86.9 |   |   |   | 52.38 |   |   | 43.47-59.3 |   |   |   | 35.42 |   |   | 9.18-44.28 |   |
|   2006            |   |                                                  | 5.17   |   |   | 3.51-8.41 |   |   |   | 86.60 |   |   | 72.24-91.39 |   |   |   | 53.63 |   |   | 47.11-61.94 |   |   |   | 43.05 |   |   | 37.68-47.85 |   |
|   2005            |   |                                                  | 8.46   |   |   | 6.86-12.14 |   |   |   | 70.36 |   |   | 45.34-80.1 |   |   |   | 47.14 |   |   | 34.2-53.76 |   |   |   | 31.60 |   |   | 0-50.78 |   |
| Total      Alt-A            |   |                                                  | 6.94   |   |   | 3.51-12.14 |   |   |   | 78.47 |   |   | 36.63-91.39 |   |   |   | 51.86 |   |   | 34.2-61.94 |   |   |   | 37.75 |   |   | 0-50.78 |   |

| * | The cumulative      voluntary prepayment rates and cumulative default rates are on unpaid      principal balances. |
|---|--------------------------------------------------------------------------------------------------------------------|

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|                  |   | As      of March 31, 2010     |    |
|-----------------------|--------|-------------------------------|---------|
|                  |   | HTM      Securities           |    | AFS      Securities |   |
| OTTI      Securities  |   | Unpaid      Principal Balance |    |   | Amortized      Cost |   |   | Carrying Value      (1) |   |   | Estimated      Fair      Value |   |   | Unpaid      Principal Balance |   |   | Amortized      Cost |   |   | Estimated      Fair      Value |   |
| (in      thousands)   |   |                          |    |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Alt-A PLMBS      (2)  |   | $                             | 450,556 |   |   | $ | 443,272 |   |   | $ | 250,970 |   |   | $ | 257,353 |   |   | $ | 2,081,376 |   |   | $ | 1,748,228 |   |   | $ | 1,088,383 |   |
| Total OTTI      PLMBS |   | $                             | 450,556 |   |   | $ | 443,272 |   |   | $ | 250,970 |   |   | $ | 257,353 |   |   | $ | 2,081,376 |   |   | $ | 1,748,228 |   |   | $ | 1,088,383 |   |

|                  |   | As      of December 31, 2009  |    |
|-----------------------|--------|-------------------------------|---------|
|                  |   | HTM      Securities           |    |   | AFS      Securities |   |
| OTTI      Securities  |   | Unpaid      Principal Balance |    |   | Amortized      Cost |   |   | Carrying      Value      (1) |   |   | Estimated      Fair      Value |   |   | Unpaid      Principal Balance |   |   | Amortized      Cost |   |   | Estimated      Fair      Value |   |
| (in      thousands)   |   |                          |    |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Alt-A PLMBS      (2)  |   | $                             | 500,023 |   |   | $ | 492,852 |   |   | $ | 283,559 |   |   | $ | 289,781 |   |   | $ | 1,987,934 |   |   | $ | 1,673,296 |   |   | $ | 976,870 |   |
| Total OTTI      PLMBS |   | $                             | 500,023 |   |   | $ | 492,852 |   |   | $ | 283,559 |   |   | $ | 289,781 |   |   | $ | 1,987,934 |   |   | $ | 1,673,296 |   |   | $ | 976,870 |   |

| (1) | Carrying value      of HTM securities does not include gross unrealized gains or losses;      therefore, amortized cost net of gross unrealized losses will not      necessarily equal the fair value. |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (2) | Classification      based on originator’s classification at the time of origination or      classification by an NRSRO upon issuance of the  MBS.                                                |

|                                             |   | As      of March 31, 2010                    |
|--------------------------------------------------|--------|----------------------------------------------|
|                                             |   | Actual      Results - Base-Case HPI Scenario |   |   | Pro-forma      Results - Adverse HPI Scenario |   |
| PLMBS                                            |   | Impaired      Securities                     |   |   | Unpaid      Principal Balance |   |   | Q1      2010 OTTI related to credit loss |   | Impaired      Securities |   |   | Unpaid      Principal Balance |   |   | Q1      2010 OTTI related to credit loss |   |
| (in      thousands, except number of securities) |   |                                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Alt-A (1)                                        |   |                                         | 26 |   |   | $ | 1,795,843 |   |   | $ | (19,640 | ) |   |   | 43 |   |   | $ | 2,862,543 |   |   | $ | (163,891 | ) |

| (1) | Represents      classification at time of purchase, which may differ from the current      performance characteristics of theinstrument. |
|-----|------------------------------------------------------------------------------------------------------------------------------------------|

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|                                                                                     |   |  As      of    |      |   |  As      of       |   |
|------------------------------------------------------------------------------------------|--------|---------------------|-----------|--------|------------------------|--------|
| Mortgage      Loan Portfolio Activity                                                    |   | March      31, 2010 |      |   | December      31, 2009 |   |
| (in      thousands, except percentages and FICO scores)                                  |   |                |      |   |                   |   |
| Mortgage loan      par balance at beginning of the year                                  |   | $                   | 4,100,008 |   |                   | $      | 5,077,841 |   |
| Mortgage loans      transferred to real-estate owned                                     |   |                | (1,439    | )      |                   |   | (2,644 | ) |
| Maturities and      principal amount recovered                                           |   |                | (179,442  | )      |                   |   | (975,189 | ) |
|       Mortgage      loan par balance at period end         |   |                | 3,919,127 |   |                   |   | 4,100,008 |   |
| Mortgage loan      net premium balance at beginning of the year                          |   |                | 6,813     |   |                   |   | 9,482 |   |
| Net premium on      loans transferred to real estate owned                               |   |                | (6        | )      |                   |   | (15 | ) |
| Net premium      recovery from repurchases                                               |   |                | (1        | )      |                   |   | (7 | ) |
| Net premium      amortization                                                            |   |                | (2,023    | )      |                   |   | (2,647 | ) |
|       Mortgage      loan net premium balance at period end |   |                | 4,783     |   |                   |   | 6,813 |   |
| Mortgage loans      held for portfolio                                                   |   |                | 3,923,910 |   |                   |   | 4,106,821 |   |
| Less:      allowance for credit losses                                                   |   |                | 368       |   |                   |   | 626 |   |
| Mortgage loans      held for portfolio, net of allowance for credit losses               |   | $                   | 3,923,542 |   |                   | $      | 4,106,195 |   |
|                                                                                     |   |                |      |   |                   |   |   |   |
| Premium      balance as a percent of mortgage loan par amounts                           |   |                | 0.12      | %      |                   |   | 0.17 | % |
| Average FICO      score*      at origination                                             |   |                | 746       |   |                   |   | 746 |   |
| Average      loan-to-value ratio at origination                                          |   |                | 64.35     | %      |                   |   | 64.32 | % |

| * | The FICO® score is      a standardized, statistical credit score used as an indicator of borrower      credit risk. |
|---|--------------------------------------------------------------------------------------------------------------------------|

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|                                                                       |   | As      of          |      |   | As      of             |   |
|----------------------------------------------------------------------------|--------|---------------------|-----------|--------|------------------------|--------|
| Mortgage      Loans Delinquent or in Foreclosure                           |   | March      31, 2010 |      |   | December      31, 2009 |   |
| (in      thousands, except percentages)                                    |   |                |      |   |                   |   |
| Conventional      mortgage loans outstanding                               |   | $                   | 3,752,073 |   |                   | $      | 3,927,042 |   |
|                                                                       |   |                |      |   |                   |   |   |   |
| Conventional      mortgage loan delinquencies - 30-59 days                 |   |                | 1.0       | %      |                   |   | 0.9 | % |
| Conventional      mortgage loan delinquencies - 60-89 days                 |   |                | 0.3       | %      |                   |   | 0.3 | % |
| Conventional      mortgage loan delinquencies - Greater than 90 days       |   |                | 0.8       | %      |                   |   | 0.6 | % |
| Conventional      mortgage loan foreclosures                               |   |                | 0.3       | %      |                   |   | 0.3 | % |
|                                                                       |   |                |      |   |                   |   |   |   |
| Government-insured      mortgage loans outstanding                         |   | $                   | 167,054   |   |                   | $      | 172,966 |   |
|                                                                       |   |                |      |   |                   |   |   |   |
| Government-insured      mortgage loan delinquencies - 30-59 days           |   |                | 12.5      | %      |                   |   | 11.3 | % |
| Government-insured      mortgage loan delinquencies - 60-89 days           |   |                | 4.7       | %      |                   |   | 6.0 | % |
| Government-insured      mortgage loan delinquencies - Greater than 90 days |   |                | 20.7      | %      |                   |   | 20.4 | % |
| Government-insured      mortgage loan foreclosures                         |   | None                |      |   | None                   |   |

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|                                                                                        |   | As      of March 31, 2010 |       |
|---------------------------------------------------------------------------------------------|--------|---------------------------|------------|
|  Fair      Value of Derivative Instruments                                             |   | Notional      Amount      |       |   | Derivative      Assets |   |   | Derivative      Liabilities |   |
|  (in      thousands)                                                                   |   |                      |       |   |   |   |   |   |   |
| Derivatives      designated as hedging instruments                                          |   |                      |       |   |   |   |   |   |   |
| Interest-rate      swaps                                                                    |   | $                         | 32,062,133 |   |   | $ | 160,188 |   |   | $ | 491,107 |   |
| Interest-rate      caps or floors                                                           |   |                      | 10,000     |   |   |   |   |   |   |   |   |   |
| Total      derivatives designated as hedging instruments                                    |   |                      | 32,072,133 |   |   |   | 160,188 |   |   |   | 491,107 |   |
| Derivatives      not designated as hedging instruments                                      |   |                      |       |   |   |   |   |   |   |   |   |   |
| Interest-rate      swaps                                                                    |   |                      | 663,200    |   |   |   | 6,606 |   |   |   | 8,451 |   |
| Interest-rate      caps or floors                                                           |   |                      | 200,000    |   |   |   | 1 |   |   |   |   |   |
| Total      derivatives not designated as hedging instruments                                |   |                      | 863,200    |   |   |   | 6,607 |   |   |   | 8,451 |   |
| Total      derivatives before netting and collateral adjustments                            |   | $                         | 32,935,333 |   |   |   | 166,795 |   |   |   | 499,558 |   |
| Netting      adjustments (1)                                                                |   |                      |       |   |   |   | (151,718 | ) |   |   | (151,718 | ) |
| Cash      collateral and related accrued interest                                           |   |                      |       |   |   |   | (9,782 | ) |   |   | (39,417 | ) |
| Subtotal      netting and collateral adjustments                                            |   |                      |       |   |   |   | (161,500 | ) |   |   | (191,135 | ) |
| Derivative assets and derivative liabilities      as reported on the statement of condition |   |                      |       |   |   | $ | 5,295 |   |   | $ | 308,423 |   |

| (1) | Amounts      represent the effect of legally enforceable master netting agreements that      allow the Seattle Bank to settle positive and negative      positions. |
|-----|---------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|                                                                                             |         | As      of December 31, 2009 |       |
|--------------------------------------------------------------------------------------------------|--------------|------------------------------|------------|
| Fair      Value of Derivative Instruments                                                        |         | NotionalAmount               |       |   | DerivativeAssets |   |   | DerivativeLiabilities |   |
| (in      thousands)                                                                              |         |                         |       |   |   |   |   |   |   |
| Derivatives      designated as hedging instruments                                               |         |                         |       |   |   |   |   |   |   |
| Interest-rate      swaps                                                                         |    | $                            | 38,509,545 |   |   | $ | 229,029 |   |   | $ | 577,659 |   |
| Interest-rate      caps or floors                                                                |         |                         | 10,000     |   |   |   | 4 |   |   |   |   |   |
| Total      derivatives designated as hedging instruments                                         |         |                         | 38,519,545 |   |   |   | 229,033 |   |   |   | 577,659 |   |
| Derivatives      not designated as hedging instruments                                           |         |                         |       |   |   |   |   |   |   |   |   |   |
| Interest-rate      swaps                                                                         |         |                         | 659,700    |   |   |   | 10,920 |   |   |   | 9,860 |   |
| Interest-rate      caps or floors                                                                |         |                         | 200,000    |   |   |   | 47 |   |   |   |   |   |
| Total      derivatives not designated as hedging instruments                                     |         |                         | 859,700    |   |   |   | 10,967 |   |   |   | 9,860 |   |
| Total      derivatives before netting and collateral adjustments                                 |         | $                            | 39,379,245 |   |   |   | 240,000 |   |   |   | 587,519 |   |
| Netting      adjustments(1)                                                                      |         |                         |       |   |   |   | (228,069 | ) |   |   | (228,068 | ) |
| Cash      collateral and related accrued interest                                                |         |                         |       |   |   |   | (8,282 | ) |   |   | (59,421 | ) |
| Subtotal      netting and collateral adjustments                                                 |         |                         |       |   |   |   | (236,351 | ) |   |   | (287,489 | ) |
| Derivative      assets and derivative liabilities as reported on the statement of      condition |         |                         |       |   |   | $ | 3,649 |   |   | $ | 300,030 |   |

| (1) | Amounts      represent the effect of legally enforceable master netting agreements that      allow the Seattle Bank to settle positive and negative      positions. |
|-----|---------------------------------------------------------------------------------------------------------------------------------------------------------------------|

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|                                               |   |   | As      of March 31, 2010       |       |
|----------------------------------------------------|--------|--------|---------------------------------|------------|
| Counterparty      Credit Exposure by Credit Rating |   |   | Derivative      Notional Amount |       |   | Total      Net Exposure at Fair Value |   |   | Collateral      Held |   |   |   | Net      Exposure After Collateral |   |
| (in      thousands)                                |   |   |                            |       |   |   |   |   |   |   |   |   |   |   |
| AA                                                 |   |   | $                               | 9,897,236  |   |   | $ |   |   |   | $ |   |   |   | $ |   |   |
| AA–                                          |   |   |                            | 5,100,920  |   |   |   |   |   |   |   |   |   |   |   |   |   |
|  A+                                           |   |   |                            | 15,439,508 |   |   |   | 9,769 |   |   |   | 9,781 |   |  (1) |   |   |   |   |
|  A                                            |   |   |                            | 2,497,669  |   |   |   | 5,295 |   |   |   |   |   |   |   |   | 5,295 |   |
| Total                                              |   |   | $                               | 32,935,333 |   |   | $ | 15,064 |   |   | $ | 9,781 |   |   |   | $ | 5,295 |   |

|                                               |   | As      of December 31, 2009    |       |
|----------------------------------------------------|--------|---------------------------------|------------|
| Counterparty      Credit Exposure by Credit Rating |   | Derivative      Notional Amount |       | Total      Net Exposure at Fair Value |   | Collateral      Held |   |   |   | Net      Exposure After Collateral |   |
| (in      thousands)                                |   |                            |       |   |   |   |   |   |   |   |   |
| AA                                                 |   | $                               | 9,630,443  |   | $ |   |   |  $ |   |   |   | $ |   |   |
| AA–                                          |   |                            | 6,360,387  |   |   |   |   |   |   |   |   |   |   |   |
|  A                                            |   |                            | 20,346,569 |   |   | 8,592 |   |   | 8,282 |   |  (2) |   |   | 310 |   |
|  A                                            |   |                            | 3,041,846  |   |   | 3,339 |   |   |   |   |   |   |   | 3,339 |   |
| Total                                              |   | $                               | 39,379,245 |   | $ | 11,931 |   | $ | 8,282 |   |   |   | $ | 3,649 |   |

| (1) | Cash      collateral of $9.8 million held as of March 31, 2010 is included in our      derivative asset balance. As of March 31, 2010, we held $12,000 of cash      collateral for one counterparty in excess of our net exposure at fair      value. |
|-----|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (2) | Cash      collateral of $8.3 million held as of December 31, 2009 is included in our      derivative asset balance.                                                                                                                                   |

|                                  |   | As      of          |       |   | As      of             |   |
|---------------------------------------|--------|---------------------|------------|--------|------------------------|--------|
| Consolidated      Obligation Balances |   | March      31, 2010 |       |   | December      31, 2009 |   |
| (in      thousands)                   |   |                |       |   |                   |   |
| Bonds                                 |   | $                   | 30,734,042 |   |                   | $      | 29,762,229 |   |
| Discount      notes                   |   |                | 17,467,151 |   |                   |   | 18,501,642 |   |
| Total                                 |   | $                   | 48,201,193 |   |                   | $      | 48,263,871 |   |

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|                                    |   | As      of March 31, 2010 |       |   | As      of December 31, 2009              |   |
|-----------------------------------------|--------|---------------------------|------------|--------|-------------------------------------------|--------|
| Interest-Rate      Payment Terms        |   | Par      Value            |       |   | Percent      of Total      Par      Value |   |   | Par      Value |   |   | Percent      of Total      Par      Value |   |
| (in      thousands, except percentages) |   |                      |       |   |                                      |   |   |   |   |   |   |   |
| Fixed                                   |   | $                         | 21,172,365 |   |                                      |   | 69.1 |   |   | $ | 23,772,365 |   |   |   | 80.1 |   |
| Step-up                                 |   |                      | 5,620,000  |   |                                      |   | 18.4 |   |   |   | 4,160,000 |   |   |   | 14.0 |   |
| Variable                                |   |                      | 3,600,000  |   |                                      |   | 11.8 |   |   |   | 1,569,000 |   |   |   | 5.3 |   |
| Range                                   |   |                      | 226,000    |   |                                      |   | 0.7 |   |   |   | 177,000 |   |   |   | 0.6 |   |
| Total par      value                    |   | $                         | 30,618,365 |   |                                      |   | 100.0 |   |   | $ | 29,678,365 |   |   |   | 100.0 |   |

|                                                     |   | As      of March 31, 2010 |       |   | As      of December 31, 2009 |   |
|----------------------------------------------------------|--------|---------------------------|------------|--------|------------------------------|--------|
|                                                     |   |                      |       |   | Weighted-Average             |   |   |   |   |   | Weighted-Average |   |
| Term-to-Maturity      and Weighted-Average Interest Rate |   | Amount                    |       |   | Interest      Rate           |   |   | Amount |   |   | Interest      Rate |   |
| (in      thousands, except interest rates)               |   |                      |       |   |                         |   |   |   |   |   |   |   |
| Due in one      year or less                             |   | $                         | 7,505,985  |   |                         |   | 1.06 |   |   | $ | 11,264,000 |   |   |   | 1.12 |   |
| Due after one      year through two years                |   |                      | 6,740,110  |   |                         |   | 1.06 |   |   |   | 3,656,595 |   |   |   | 1.81 |   |
| Due after two      years through three years             |   |                      | 5,724,500  |   |                         |   | 2.35 |   |   |   | 4,894,000 |   |   |   | 2.55 |   |
| Due after      three years through four years            |   |                      | 3,128,000  |   |                         |   | 2.87 |   |   |   | 2,772,000 |   |   |   | 3.10 |   |
| Due after four      years through five years             |   |                      | 2,301,500  |   |                         |   | 3.43 |   |   |   | 2,297,500 |   |   |   | 3.74 |   |
| Thereafter                                               |   |                      | 5,218,270  |   |                         |   | 4.83 |   |   |   | 4,794,270 |   |   |   | 5.01 |   |
| Total par      value                                     |   |                      | 30,618,365 |   |                         |   | 2.31 |   |   |   | 29,678,365 |   |   |   | 2.46 |   |
| Premiums                                                 |   |                      | 10,607     |   |                         |   |   |   |   |   | 11,388 |   |   |   |   |   |
| Discounts                                                |   |                      | (24,011    | )      |                         |   |   |   |   |   | (25,095 | ) |   |   |   |   |
| Hedging      adjustments                                 |   |                      | 129,081    |   |                         |   |   |   |   |   | 97,571 |   |   |   |   |   |
| Total                                                    |   | $                         | 30,734,042 |   |                         |   |   |   |   | $ | 29,762,229 |   |   |   |   |   |

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| Seattle      Bank Capital Stock                                                        |   | Class      ACapital      Stock |    |   | Class      BCapital      Stock |   |
|----------------------------------------------------------------------------------------|--------|--------------------------------|---------|--------|--------------------------------|--------|
| (in      thousands, except per share)                                                  |   |                           |    |   |                           |   |
| Par      value                                                                         |   | $100 per      share            |    |   | $100 per      share            |   |
| Issue,      redemption, repurchase, transfer price between members                     |   | $100 per      share            |    |   | $100 per      share            |   |
| Satisfies      membership purchase requirement (pursuant to Capital Plan)              |   | No                             |    |   | Yes                            |   |
| Currently      satisfies activity purchase requirement (pursuant to Capital      Plan) |   | No                             |    |   | Yes                            |   |
| Statutory redemption period      *                                                     |   | Six      months                |    |   | Five      years                |   |
| Total      outstanding balance                                                         |   |                           |    |   |                           |   |
| March      31, 2010                                                                    |   | $                              | 158,865 |   |                           | $      | 2,637,504 |   |
| December 31,      2009                                                                 |   | $                              | 158,864 |   |                           | $      | 2,637,330 |   |

| * | Generally      redeemable six months (Class A capital stock) or five years (Class B      capital stock) after: (1) written notice from the member;      (2) consolidation or merger of a member with a non-member; or      (3) withdrawal or termination of  membership. |
|---|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

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|                                                                  |   | For      the Three Months Ended March 31, |    |
|-----------------------------------------------------------------------|--------|-------------------------------------------|---------|
|                                                                  |   | 2010                                      |    |   | 2009 |   |
|                                                                  |   | Class      A                              |    |   | Class      B |   |   | Class      A |   |   | Class      B |   |
| Capital      Stock Activity                                           |   | Capital      Stock                        |    |   | Capital      Stock |   |   | Capital      Stock |   |   | Capital      Stock |   |
| (in      thousands)                                                   |   |                                      |    |   |   |   |   |   |   |   |   |   |
| Balance,      beginning of period                                     |   | $                                         | 132,518 |   |   | $ | 1,717,149 |   |   | $ | 117,853 |   |   | $ | 1,730,287 |   |
| New member      capital stock purchases                               |   |                                      |    |   |   |   |   |   |   |   |   |   |   |   | 3,873 |   |
| Existing      member capital stock purchases                          |   |                                      |    |   |   |   | 174 |   |   |   | 18,820 |   |   |   | 445 |   |
| Total capital      stock purchases                                    |   |                                      |    |   |   |   | 174 |   |   |   | 18,820 |   |   |   | 4,318 |   |
| Capital stock      transferred to mandatory redeemable capital stock: |   |                                      |    |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Withdrawals/involuntary      redemptions                              |   |                                      | 1       |   |   |   | (1,233 | ) |   |   | (2,253 | ) |   |   | (1,512 | ) |
| Redemption      requests past redemption date                         |   |                                      |    |   |   |   | (633 | ) |   |   |   |   |   |   |   |   |
| Balance, end      of period                                           |   | $                                         | 132,519 |   |   | $ | 1,715,457 |   |   | $ | 134,420 |   |   | $ | 1,733,093 |   |

|                                                                  |   | As      of March 31, 2010  |   |   | As      of December 31, 2009 |   |
|-----------------------------------------------------------------------|--------|----------------------------|--------|--------|------------------------------|--------|
| Class      A and Class B Capital Stock - Voluntary Redemptions byDate |   | Class      A Capital Stock |   |   | Class      B Capital Stock   |   |   | Class      A Capital Stock |   |   | Class      B Capital Stock |   |
| (in      thousands)                                                   |   |                       |   |   |                         |   |   |   |   |   |   |   |
| Less than one      year                                               |   | $                          | 698    |   |                         | $      | 67,427 |   |   | $ |   |   |   | $ | 65,163 |   |
| One year      through two years                                       |   |                       |   |   |                         |   | 8,584 |   |   |   |   |   |   |   | 11,482 |   |
| Two years      through three years                                    |   |                       |   |   |                         |   | 67,511 |   |   |   |   |   |   |   | 67,511 |   |
| Three years      through four years                                   |   |                       |   |   |                         |   | 46,850 |   |   |   |   |   |   |   | 45,897 |   |
| Four years      through five years                                    |   |                       |   |   |                         |   | 24,331 |   |   |   |   |   |   |   | 24,331 |   |
| Total                                                                 |   | $                          | 698    |   |                         | $      | 214,703 |   |   | $ |   |   |   | $ | 214,384 |   |

|                                                                |   | For      the Three Months Ended March 31, |    |
|---------------------------------------------------------------------|--------|-------------------------------------------|---------|
| Mandatorily      Redeemable Capital Stock Activity                  |   | 2010                                      |    |   | 2009 |   |
| (in      thousands)                                                 |   |                                      |    |   |   |   |
| Balance,      beginning of period                                   |   | $                                         | 946,527 |   |   | $ | 917,876 |   |
| Capital stock      reclassified from equity:                        |   |                                      |    |   |   |   |   |   |
| Membership      withdrawals/Involuntary redemptions                 |   |                                      | 1,233   |   |   |   | 3,765 |   |
| Redemption      requests past redemption date                       |   |                                      | 633     |   |   |   |   |   |
| Repurchase/redemption      of mandatorily redeemable capital stock* |   |                                      |    |   |   |   | (669 | ) |
| Balance, end      of period                                         |   | $                                         | 948,393 |   |   | $ | 920,972 |   |

| * | Partial      redemption of member’s mandatorily redeemable capital stock      balance. |
|---|----------------------------------------------------------------------------------------------|

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|                                                            |   | As      of March 31, 2010      |   |   | As      of December 31, 2009   |   |
|-----------------------------------------------------------------|--------|--------------------------------|--------|--------|--------------------------------|--------|
| Mandatorily      Redeemable Capital Stock - Redemptions by Date |   | Class      ACapital      Stock |   |   | Class      BCapital      Stock |   |   | Class      ACapital      Stock |   |   | Class      BCapital      Stock |   |
| (in      thousands)                                             |   |                           |   |   |                           |   |   |   |   |   |   |   |
| Past      redemption date                                       |   | $                              | 26,346 |   |                           | $      | 73,105 |   |   | $ | 26,346 |   |   | $ | 62,302 |   |
| Less than one      year                                         |   |                           |   |   |                           |   | 51,099 |   |   |   |   |   |   |   | 59,332 |   |
| One year      through two years                                 |   |                           |   |   |                           |   | 14,476 |   |   |   |   |   |   |   | 2,994 |   |
| Two years      through three years                              |   |                           |   |   |                           |   | 126 |   |   |   |   |   |   |   | 13,544 |   |
| Three years      through four years                             |   |                           |   |   |                           |   | 759,103 |   |   |   |   |   |   |   | 757,648 |   |
| Four years      through five years                              |   |                           |   |   |                           |   | 24,138 |   |   |   |   |   |   |   | 24,361 |   |
| Total                                                           |   | $                              | 26,346 |   |                           | $      | 922,047 |   |   | $ | 26,346 |   |   | $ | 920,181 |   |

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| Accumulated      Other Comprehensive Loss                                                               |   | Benefit      Plans |   |   | HTM      Securities |   |       | AFS      Securities |   |   | Total    |   |
|---------------------------------------------------------------------------------------------------------|--------|--------------------|--------|--------|---------------------|--------|------------|---------------------|--------|--------|----------|--------|
| (in      thousands)                                                                                     |   |               |   |   |                |   |       |                |   |   |     |   |
| Balance,      December 31, 2008                                                                         |   | $                  | (2,939 | )      |                | $      |       |                |   | $      |     |   |   | $ | (2,939 | ) |
| Cumulative-effect      adjustment relating to new OTTI guidance                                         |   |               |   |   |                |   | (293,415   | )                   |   |   |     |   |   |   | (293,415 | ) |
| Non-credit      portion of OTTI loss                                                                    |   |               |   |   |                |   | (823,527   | )                   |   |   |     |   |   |   | (823,527 | ) |
| Reclassification      adjustment into earnings relating to non-credit portion of OTTI      loss         |   |               |   |   |                |   | 14,646     |                |   |   |     |   |   |   | 14,646 |   |
| Pension      benefits                                                                                   |   |               | 39     |   |                |   |       |                |   |   |     |   |   |   | 39 |   |
| Balance,      March 31, 2009                                                                            |   | $                  | (2,900 | )      |                | $      | (1,102,296 | )                   |   | $      |     |   |   | $ | (1,105,196 | ) |
| Balance,      December 31, 2009                                                                         |   | $                  | (3,098 | )      |                | $      | (209,292   | )                   |   | $      | (696,426 | )      |   | $ | (908,816 | ) |
| Non-PLMBS:                                                                                              |   |               |   |   |                |   |       |                |   |   |     |   |   |   |   |   |
| Unrealized      loss on AFS securities                                                                  |   |               |   |   |                |   |       |                |   |   | (637     | )      |   |   | (637 | ) |
| OTTI      PLMBS:                                                                                        |   |               |   |   |                |   |       |                |   |   |     |   |   |   |   |   |
| Non-credit      portion of OTTI loss                                                                    |   |               |   |   |                |   | (55,181    | )                   |   |   |     |   |   |   | (55,181 | ) |
| Reclassification      of non-credit portion of OTTI loss on securities transferred from HTM to      AFS |   |               |   |   |                |   | 59,179     |                |   |   | (59,179  | )      |   |   |   |   |
| Reclassification      adjustment into earnings of non-credit portion of OTTIloss                        |   |               |   | 783    |                |   |       | 16,783              |   |   |     | 17,566 |   |
| Accretion of      non-credit portion of OTTI loss                                                       |   |               |   |   |                |   | 12,209     |                |   |   |     |   |   |   | 12,209 |   |
| Subsequent      unrealized changes in fair value                                                        |   |               |   |   |                |   |       |                |   |   | 78,977   |   |   |   | 78,977 |   |
| Pension      benefits                                                                                   |   |               | 126    |   |                |   |       |                |   |   |     |   |   |   | 126 |   |
| Balance,      March 31, 2010                                                                            |   | $                  | (2,972 | )      |                | $      | (192,302   | )                   |   | $      | (660,482 | )      |   | $ | (855,756 | ) |

| · | Credit risk      is the potential for financial loss because of the failure of a borrower      or counterparty to perform on an obligation. The credit-risk requirement      is determined by adding the credit-risk capital charges for assets,      off-balance sheet items, and derivative contracts based on, among other      things, the credit percentages assigned to each item as required by      Finance Agency regulations.                                                                                                                                                                                                                                                                                                                                         |
|--------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| · | Market risk      is the potential for financial loss due to the increase or decrease in the      value or price of an asset or liability resulting from broad movements in      prices, such as interest rates. The market-risk requirement is determined      by adding the market value of the portfolio at risk from movements in      interest-rate fluctuations and the amount, if any, by which the current      market value of our total capital is less than 85% of the book value of      our total capital. We calculate the market value of our portfolio at risk      and the current market value of our total capital by using an internal      model. Our modeling approach and underlying assumptions are subject to      Finance Agency review and approval.  |
| · | Operations      risk is the potential for unexpected financial loss due to inadequate      information systems, operational problems, breaches in internal controls,      or fraud. The operations risk requirement is determined as a percentage of      the market risk and credit risk requirements. The Finance Agency has      determined this risk requirement to be 30% of the sum of the credit-risk      and market-risk requirements describedabove.                                                                                                                                                                                                                                                                                                                       |

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|                                                       |   |  As      of    |      |   |  As      of       |   |
|------------------------------------------------------------|--------|---------------------|-----------|--------|------------------------|--------|
| Permanent      Capital and Risk-Based Capital Requirements |   | March      31, 2010 |      |   | December      31, 2009 |   |
| (in      thousands)                                        |   |                |      |   |                   |   |
| Permanent      Capital                                     |   |                |      |   |                   |   |
| Class B      capital stock                                 |   | $                   | 1,715,457 |   |                   | $      | 1,717,149 |   |
| Mandatorily      redeemable Class B capital stock          |   |                | 922,047   |   |                   |   | 920,181 |   |
| Retained      earnings                                     |   |                | 58,964    |   |                   |   | 52,897 |   |
| Permanent      capital                                     |   | $                   | 2,696,468 |   |                   | $      | 2,690,227 |   |
| Risk-Based      Capital Requirement                        |   |                |      |   |                   |   |   |   |
| Credit      risk                                           |   | $                   | 718,367   |   |                   | $      | 565,293 |   |
| Market      risk                                           |   |                | 978,835   |   |                   |   | 1,095,086 |   |
| Operations      risk                                       |   |                | 509,161   |   |                   |   | 498,114 |   |
| Risk-based      capital requirement                        |   | $                   | 2,206,363 |   |                   | $      | 2,158,493 |   |
|                                                       |   |                |      |   |                   |   |   |   |
| Risk-based      capital surplus                            |   | $                   | 490,105   |   |                   | $      | 531,734 |   |

|                                     |   | As      of          |      |   |  As      of       |   |
|------------------------------------------|--------|---------------------|-----------|--------|------------------------|--------|
| Regulatory      Capital-to-Assets Ratios |   | March      31, 2010 |      |   | December      31, 2009 |   |
| (in      thousands, except percentages)  |   |                |      |   |                   |   |
| Minimum      regulatory capital          |   | $                   | 2,072,898 |   |                   | $      | 2,043,779 |   |
| Total      regulatory capital            |   |                | 2,855,333 |   |                   |   | 2,849,091 |   |
| Regulatory      capital-to-assets ratio  |   |                | 5.51      | %      |                   |   | 5.58 | % |

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|                                                                                       |   | As      of          |      |   | As      of             |   |
|--------------------------------------------------------------------------------------------|--------|---------------------|-----------|--------|------------------------|--------|
| Leverage      Capital Ratios                                                               |   | March      31, 2010 |      |   | December      31, 2009 |   |
| (in      thousands, except percentages)                                                    |   |                |      |   |                   |   |
| Minimum      leverage capital (5.00% of total assets)                                      |   | $                   | 2,591,122 |   |                   | $      | 2,554,724 |   |
| Leverage      capital (includes 1.5 weighting factor applicable to permanent      capital) |   |                | 4,203,567 |   |                   |   | 4,194,205 |   |
| Leverage      capital ratio                                                                |   |                | 8.11      | %      |                   |   | 8.21 | % |

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|                                              |   | As      of March 31, 2010  |      |
|---------------------------------------------------|--------|----------------------------|-----------|
|                                              |   | Payment      Due by Period |      |
| Contractual      Obligations and Commitments      |   | Less      than 1 Year      |      |   | 1      to 3 Years |   |   | 3      to 5 Years |   |   | Thereafter |   |   | Total |   |
| (in      thousands)                               |   |                       |      |   |   |   |   |   |   |   |   |   |   |   |   |
| Member term      deposits                         |   | $                          | 48,365    |   |   | $ |   |   |   | $ |   |   |   | $ |   |   |   | $ | 48,365 |   |
| Consolidated      obligation bonds (at par)*      |   |                       | 7,505,985 |   |   |   | 12,464,610 |   |   |   | 5,429,500 |   |   |   | 5,218,270 |   |   |   | 30,618,365 |   |
| Derivative      liabilities                       |   |                       | 308,423   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   | 308,423 |   |
| Mandatorily      redeemable capital stock         |   |                       | 942,664   |   |   |   | 3,552 |   |   |   | 2,177 |   |   |   |   |   |   |   | 948,393 |   |
| Operating      leases                             |   |                       | 3,194     |   |   |   | 6,698 |   |   |   | 320 |   |   |   |   |   |   |   | 10,212 |   |
| Total      contractual obligations                |   | $                          | 8,808,631 |   |   | $ | 12,474,860 |   |   | $ | 5,431,997 |   |   | $ | 5,218,270 |   |   | $ | 31,933,758 |   |
| Other      Commitments                            |   |                       |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Commitments      for additional advances          |   | $                          | 4,400     |   |   | $ |   |   |   | $ |   |   |   | $ |   |   |   | $ | 4,400 |   |
| Standby      letters of credit                    |   |                       | 639,723   |   |   |   | 369,047 |   |   |   |   |   |   |   |   |   |   |   | 1,008,770 |   |
| Standby bond      purchase agreements             |   |                       |      |   |   |   | 46,255 |   |   |   |   |   |   |   |   |   |   |   | 46,255 |   |
| Unused lines      of credit and other commitments |   |                       |      |   |   |   | 52,000 |   |   |   |   |   |   |   |   |   |   |   | 52,000 |   |
| Total other      commitments                      |   | $                          | 644,123   |   |   | $ | 467,302 |   |   | $ |   |   |   | $ |   |   |   | $ | 1,111,425 |   |

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|                                     |   | Average      Rate               |   |   | Ending      Rate    |   |
|------------------------------------------|--------|---------------------------------|--------|--------|---------------------|--------|
|                                     |   | For      the Three Months Ended |   |   | As      of          |   |   | As      of |   |
| Market      Instrument                   |   | March      31, 2010             |   |   | March      31, 2009 |   |   | March      31, 2010 |   |   | December      31, 2009 |   |
| (in      percentages)                    |   |                            |   |   |                |   |   |   |   |   |   |   |
| Federal funds      effective/target rate |   |                            | 0.14   |   |                |   | 0.19 |   |   |   | 0.09 |   |   |   | 0.05 |   |
| 3-month      Treasury bill               |   |                            | 0.10   |   |                |   | 0.19 |   |   |   | 0.15 |   |   |   | 0.05 |   |
| 3-month      LIBOR                       |   |                            | 0.26   |   |                |   | 1.24 |   |   |   | 0.29 |   |   |   | 0.25 |   |
| 2-year U.S.      Treasury note           |   |                            | 0.90   |   |                |   | 0.89 |   |   |   | 1.02 |   |   |   | 1.14 |   |
| 5-year U.S.      Treasury note           |   |                            | 2.41   |   |                |   | 1.75 |   |   |   | 2.54 |   |   |   | 2.68 |   |
| 10-year U.S.      Treasury note          |   |                            | 3.70   |   |                |   | 2.70 |   |   |   | 3.83 |   |   |   | 3.84 |   |

|                                                                   |   | For      the Three Months Ended March 31, |       |
|------------------------------------------------------------------------|--------|-------------------------------------------|------------|
|                                                                   |   | 2010                                      |       |   | 2009 |   |
|                                                                   |   | Average      Balance                      |       |   | Interest      Income/Expense |   |   | Average      Yield |   |   | Average      Balance |   |   | Interest      Income/Expense |   |   | Average      Yield |   |
| (in      thousands, except percentages)                                |   |                                      |       |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Interest-Earning      Assets                                           |   |                                      |       |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Advances                                                               |   | $                                         | 21,243,694 |   |   | $ | 48,738 |   |   |   | 0.93 |   |   | $ | 36,702,021 |   |   | $ | 179,233 |   |   |   | 1.98 |   |
| Mortgage loans      held for portfolio                                 |   |                                      | 4,012,354  |   |   |   | 49,633 |   |   |   | 5.02 |   |   |   | 5,016,411 |   |   |   | 63,640 |   |   |   | 5.15 |   |
| Investments      *                                                     |   |                                      | 26,727,962 |   |   |   | 49,793 |   |   |   | 0.76 |   |   |   | 18,371,268 |   |   |   | 72,332 |   |   |   | 1.60 |   |
| Other      interest-earning assets                                     |   |                                      | 51,254     |   |   |   | 17 |   |   |   | 0.14 |   |   |   | 53,880 |   |   |   | 27 |   |   |   | 0.20 |   |
|       Total      interest-earning assets |   |                                      | 52,035,264 |   |   |   | 148,181 |   |   |   | 1.15 |   |   |   | 60,143,580 |   |   |   | 315,232 |   |   |   | 2.13 |   |
| Other      assets                                                      |   |                                      | (653,143   | ) |   |   |   |   |   |   |   |   |   |   | (33,523 | ) |   |   |   |   |   |   |   |   |
| Total      assets                                                      |   | $                                         | 51,382,121 |   |   |   |   |   |   |   |   |   |   | $ | 60,110,057 |   |   |   |   |   |   |   |   |   |
|                                                                   |   |                                      |       |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Interest-Bearing      Liabilities                                      |   |                                      |       |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Consolidated      obligations                                          |   | $                                         | 48,269,116 |   |   |   | 106,626 |   |   |   | 0.89 |   |   | $ | 56,082,752 |   |   |   | 240,387 |   |   |   | 1.74 |   |
| Deposits                                                               |   |                                      | 339,573    |   |   |   | 45 |   |   |   | 0.05 |   |   |   | 633,932 |   |   |   | 481 |   |   |   | 0.31 |   |
| Mandatorily      redeemable capital stock                              |   |                                      | 947,046    |   |   |   |   |   |   |   |   |   |   |   | 919,382 |   |   |   |   |   |   |   |   |   |
| Other      borrowings                                                  |   |                                      | 123        |   |   |   |   |   |   |   |   |   |   |   | 2,904 |   |   |   |   |   |   |   | 0.06 |   |
|      Total      interest-bearing liabilities  |   |                                      | 49,555,858 |   |   |   | 106,671 |   |   |   | 0.87 |   |   |   | 57,638,970 |   |   |   | 240,868 |   |   |   | 1.69 |   |
| Other      liabilities                                                 |   |                                      | 775,505    |   |   |   |   |   |   |   |   |   |   |   | 664,908 |   |   |   |   |   |   |   |   |   |
| Capital                                                                |   |                                      | 1,050,758  |   |   |   |   |   |   |   |   |   |   |   | 1,806,179 |   |   |   |   |   |   |   |   |   |
| Total      liabilities and capital                                     |   | $                                         | 51,382,121 |   |   |   |   |   |   |   |   |   |   | $ | 60,110,057 |   |   |   |   |   |   |   |   |   |
| Net interest      income                                               |   |                                      |       |   |   | $ | 41,510 |   |   |   |   |   |   |   |   |   |   | $ | 74,364 |   |   |   |   |   |
|                                                                   |   |                                      |       |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Interest-rate      spread                                              |   |                                      |       |   |   | $ | 34,450 |   |   |   | 0.28 |   |   |   |   |   |   | $ | 61,236 |   |   |   | 0.44 |   |
| Earnings from      capital                                             |   |                                      |       |   |   |   | 7,060 |   |   |   | 0.05 |   |   |   |   |   |   |   | 13,128 |   |   |   | 0.05 |   |
|                                                                   |   |                                      |       |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net interest      margin                                               |   |                                      |       |   |   | $ | 41,510 |   |   |   | 0.33 |   |   |   |   |   |   | $ | 74,364 |   |   |   | 0.49 |   |

| * | Investments      include HTM and AFS securities. The average balances of HTM and AFS      securities are reflected at amortized cost; therefore, the resulting      yields do not give effect to changes in fair value or the non-credit      component of a previously recognized OTTI reflected in accumulated other      comprehensiveloss. |
|---|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

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|                                         |   | For      the Three Months Ended March 31, |              |
|----------------------------------------------|--------|-------------------------------------------|-------------------|
|                                         |   |                                      | 2010      v. 2009 |   |
|                                         |   | Increase      (Decrease)                  |              |
|  Changes      in Volume and Rate        |   | Volume*                                   |              |   | Rate* |   |   | Total |   |
|  (in      thousands)                    |   |                                      |              |   |   |   |   |   |   |   |
|  Interest      Income                   |   |                                      |              |   |   |   |   |   |   |   |
|  Advances                               |   | $                                         | (57,771           | ) |   | $ | (72,724 | ) |   | $ | (130,495 | ) |
|  Investments                            |   |                                      | 24,870            |   |   |   | (47,409 | ) |   |   | (22,539 | ) |
|  Mortgage      loans held for portfolio |   |                                      | (12,455           | ) |   |   | (1,552 | ) |   |   | (14,007 | ) |
|  Other      loans                       |   |                                      | (1                | ) |   |   | (9 | ) |   |   | (10 | ) |
|  Total      interest income             |   |                                      | (45,357           | ) |   |   | (121,694 | ) |   |   | (167,051 | ) |
|  Interest      Expense                  |   |                                      |              |   |   |   |   |   |   |   |   |   |
|  Consolidated      obligations          |   |                                      | (29,868           | ) |   |   | (103,893 | ) |   |   | (133,761 | ) |
|  Deposits                               |   |                                      | (157              | ) |   |   | (279 | ) |   |   | (436 | ) |
|  Other      borrowings                  |   |                                      |              |   |   |   |   |   |   |   |   |   |
|  Total      interest expense            |   |                                      | (30,025           | ) |   |   | (104,172 | ) |   |   | (134,197 | ) |
|  Change      in net interest income     |   | $                                         | (15,332           | ) |   | $ | (17,522 | ) |   | $ | (32,854 | ) |

| * | Changes in      interest income and interest expense not identifiable as either      volume-related or rate-related, but rather equally attributable to both      volume and rate changes, are allocated to the volume and rate categories      based on the proportion of the absolute value of the volume and rate      changes. |
|---|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

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|                                    |   | For      the Three Months Ended March 31, |    |
|-----------------------------------------|--------|-------------------------------------------|---------|
| Interest      Income                    |   | 2010                                      |    |   | 2009 |   |   | Percent      Increase/ (Decrease) |   |
| (in      thousands, except percentages) |   |                                      |    |   |   |   |   |   |   |
| Advances                                |   | $                                         | 46,131  |   |   | $ | 175,245 |   |   |   | (73.7 | ) |
| Prepayment      fees on advances, net   |   |                                      | 2,607   |   |   |   | 3,988 |   |   |   | (34.6 | ) |
| Subtotal                                |   |                                      | 48,738  |   |   |   | 179,233 |   |   |   | (72.8 | ) |
| Investments                             |   |                                      | 49,810  |   |   |   | 72,359 |   |   |   | (31.2 | ) |
| Mortgage loans      held for portfolio  |   |                                      | 49,633  |   |   |   | 63,640 |   |   |   | (22.0 | ) |
| Total interest      income              |   | $                                         | 148,181 |   |   | $ | 315,232 |   |   |   | (53.0 | ) |

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|                                           |   |   | For      the Three Months Ended March 31,                                                                                                                            |   |
|------------------------------------------------|--------|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------|--------|
| Interest      Expense                          |   |   | 2010                                                                                                                                                                 |   |   |   | 2009 |   |   |   | Percent      Increase/ (Decrease) |   |
| (in      thousands, except percentages)        |   |   |                                                                                                                                                                 |   |   |   |   |   |   |   |   |   |
| Consolidated      obligations - discount notes |   | $      | 4,321                                                                                                                                                                |   |   | $  |                   31,615 |   |   |   |                (86.3 | )  |
| Consolidated      obligations - bonds          |   |   |                   102,305                                                  |   |   |   |                   208,772 |   |   |   |                (51.0 | )  |
| Deposits                                       |   |   |                            45 |   |   |   |                          481 |   |   |   |                (90.6 | )  |
| Total interest      expense                    |   | $      | 106,671                                                                                                                                                              |   |   | $   |                240,868 |   |   |   |                (55.7 | ) |

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|                                                                                                     |   | For      the Three Months Ended March 31, 2010 |   |
|----------------------------------------------------------------------------------------------------------|--------|------------------------------------------------|--------|
| Gain      (Loss) on Derivatives and on the Related Hedged Items in Fair Value      Hedging Relationships |   | Gain      (Loss) on Derivatives                |   |   | Gain      (Loss) on Hedged Items |   |   | Net      Fair Value Hedge Effectiveness (1) |   |   | Effect      of Derivatives on Net Interest Income (2) |   |
| (in      thousands)                                                                                      |   |                                           |   |   |   |   |   |   |   |   |   |   |
| Advances                                                                                                 |   | $                                              | 396    |   |   | $ | 180 |   |   | $ | 576 |   |   | $ | (78,329 | ) |
| Consolidated      obligation bonds                                                                       |   |                                           | 49,853 |   |   |   | (50,620 | ) |   |   | (767 | ) |   |   | 68,228 |   |
| Consolidated      obligation discount notes                                                              |   |                                           | (2,727 | ) |   |   | 3,177 |   |   |   | 450 |   |   |   | 2,642 |   |
| Total                                                                                                    |   | $                                              | 47,522 |   |   | $ | (47,263 | ) |   | $ | 259 |   |   | $ | (7,459 | ) |

|                                                                                                     |   | For      the Three Months Ended March 31, 2009 |    |
|----------------------------------------------------------------------------------------------------------|--------|------------------------------------------------|---------|
| Gain      (Loss) on Derivatives and on the Related Hedged Items in Fair Value      Hedging Relationships |   | Gain      (Loss) on Derivatives                |    |   | (Loss)      Gain on Hedged Items |   |   | Net      Fair Value Hedge Effectiveness (1) |   |   | Effect      of Derivatives on Net Interest Income (2) |   |
| (in      thousands)                                                                                      |   |                                           |    |   |   |   |   |   |   |   |   |   |
| Advances                                                                                                 |   | $                                              | 4,282   |   |   | $ | (8,445 | ) |   | $ | (4,163 | ) |   | $ | (55,491 | ) |
| Consolidated      obligation bonds                                                                       |   |                                           | (58,897 | ) |   |   | 58,843 |   |   |   | (54 | ) |   |   | 58,102 |   |
| Consolidated      obligation discount notes                                                              |   |                                           | (6,878  | ) |   |   | 8,226 |   |   |   | 1,348 |   |   |   | 3,931 |   |
| Total                                                                                                    |   | $                                              | (61,493 | ) |   | $ | 58,624 |   |   | $ | (2,869 | ) |   | $ | 6,542 |   |

| (1) | These amounts      are reported in other (loss) income.                                                                                                               |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (2) | The net      interest on derivatives in fair value hedge relationships is presented in      the interest income/expense line item of the respective hedged      item. |

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|                                                                       |   |   | For      the Three Months Ended March 31,                                                                                                               |   |
|----------------------------------------------------------------------------|--------|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------|--------|
| Other      (Loss) Income                                                   |   |   | 2010                                                                                                                                                    |   |   |   | 2009 |   |   | Percent      Increase/ (Decrease) |   |
| (in      thousands, except percentages)                                    |   |   |                                                                                                                                                    |   |   |   |   |   |   |   |   |
| Service      fees                                                          |   | $      | 673                                                                                                                                                     |   |   |  $    |                    572 |   |   |                     17.7 |   |
| Total      OTTI                                                            |   |   |               (57,254)                                                            |   |   |   |             (895,195) |   |   |                     93.6 |   |
| Portion of      OTTI losses recognized in other comprehensive loss         |   |   |                 37,614                                                  |   |   |   |               823,527 |   |   |                   (95.4) |   |
| Net OTTI loss      recognized in income                                    |   |   |               (19,640)                                                            |   |   |   |               (71,668) |   |   |   |   |
| Net gain      (loss) on derivatives and hedging activities                 |   |   |                   4,017                                       |   |   |   |                 (2,941) |   |   |                   236.6 |   |
| Net realized      loss on early extinguishment of consolidated obligations |   |   |                 (3,916)                                                 |   |   |   |                 (4,526) |   |   |                     13.5 |   |
| Other,      net                                                            |   |   |                          2 |   |   |    |                        13 |   |   |                   (84.6) |   |
| Total other      loss                                                      |   | $      | (18,864)                                                                                                                                                |   |   |   $ |             (78,550) |   |   |                     76.0 |   |

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|                                                                                         |   | For      the Three Months Ended March 31, |   |
|----------------------------------------------------------------------------------------------|--------|-------------------------------------------|--------|
| Components      of Net Gain (Loss) on Derivatives and Hedging Activities                     |   | 2010                                      |   |   | 2009 |   |
| (in      thousands)                                                                          |   |                                      |   |   |   |   |
| Derivatives      and hedged items in fair value hedging relationships                        |   |                                      |   |   |   |   |
| Interest-rate      swaps                                                                     |   | $                                         | 259    |   |   | $ | (2,869 | ) |
| Total net      (loss) gain related to fair value hedge ineffectiveness                       |   |                                      | 259    |   |   |   | (2,869 | ) |
| Derivatives      not designated as hedging instruments                                       |   |                                      |   |   |   |   |   |   |
| Economic      hedges                                                                         |   |                                      |   |   |   |   |   |   |
| Interest-rate      swaps                                                                     |   |                                      | (11    | ) |   |   | 2 |   |
| Interest-rate      caps or floors                                                            |   |                                      | (46    | ) |   |   | (184 | ) |
| Net interest      settlements                                                                |   |                                      | 3,815  |   |   |   | 128 |   |
| Intermediary      transactions                                                               |   |                                      |   |   |   |   |   |   |
| Interest-rate      swaps                                                                     |   |                                      |   |   |   |   | (18 | ) |
| Total net gain      (loss) related to derivatives not designated as hedging      instruments |   |                                      | 3,758  |   |   |   | (72 | ) |
| Net gain      (loss) on derivatives and hedging activities                                   |   | $                                         | 4,017  |   |   | $ | (2,941 | ) |

|                                                  |   | For      the Three Months Ended March 31, |      |
|-------------------------------------------------------|--------|-------------------------------------------|-----------|
| Consolidated      Obligations Called and Extinguished |   | 2010                                      |      |   | 2009 |   |
| (in      thousands, except interest rates)            |   |                                      |      |   |   |   |
| Par      value                                        |   | $                                         | 4,571,000 |   |   | $ | 4,967,255 |   |
| Weighted-average      interest rate                   |   |                                      | 2.18      | % |   |   | 4.59 | % |

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|                                    |   |   | For      the Three Months Ended March 31,                                                                                        |   |
|-----------------------------------------|--------|--------|----------------------------------------------------------------------------------------------------------------------------------|--------|
| Other      Expense                      |   |   | 2010                                                                                                                             |   |   |   | 2009 |   |   | Percent      Increase/ (Decrease) |   |
| (in      thousands, except percentages) |   |   |                                                                                                                             |   |   |   |   |   |   |   |   |
| Operating      expenses:                |   |   |                                                                                                                             |   |   |   |   |   |   |   |   |
| Compensation      and benefits          |   | $      | 7,587                                                                                                                            |   |   |  $ |              6,652 |   |   |                   14.1 |   |
| Occupancy      cost                     |   |   |                 1,289                            |   |   |   |                 1,167 |   |   |                   10.5 |   |
| Other      operating                    |   |   |                 4,519                            |   |   |   |                 3,062 |   |   |                   47.6 |   |
| Finance      Agency                     |   |   |                    681            |   |   |   |                    496 |   |   |                   37.3 |   |
| Office of      Finance                  |   |   |                    644            |   |   |   |                    484 |   |   |                   33.1 |   |
| Other                                   |   |   |                      96 |   |   |   |                    145 |   |   |                  (33.8) |   |
| Total other      expense                |   | $      | 14,816                                                                                                                           |   |   |  $ |             12,006 |   |   |                   23.4 |   |

|                                    |   |   | For      the Three Months Ended March 31,                                                       |   |
|-----------------------------------------|--------|--------|-------------------------------------------------------------------------------------------------|--------|
| AHP      and REFCORP Assessments        |   |   | 2010                                                                                            |   |   |   | 2009 |   |   | Percent      Increase/ (Decrease) |   |
| (in      thousands, except percentages) |   |   |                                                                                            |   |   |   |   |   |   |   |   |
| AHP                                     |   | $      | 674                                                                                             |   |   |  $ |   |   |   |  N/A |   |
| REFCORP                                 |   |   |                1,517 |   |   |   |                     33 |   |   |             4,497.0 |   |
| Total      assessments                  |   | $      | 2,191                                                                                           |   |   |  $ |                 33 |   |   |             6,539.4 |   |

   

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ITE

| · | Repricing      risk occurs when assets and liabilities reprice at different times, which      can produce changes in our net interest margin and market      values. |
|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| · | Yield-curve      risk is the risk that changes in the shape or level of the yield curve      will affect our net interest margin and the market value of our assets and      liabilities differently because a liability used to fund an asset may be      short-term while the asset is long-term, or vice  versa. |
|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| · | Basis risk      results from assets we purchase and liabilities we incur having different      interest-rate markets. For example, the LIBOR interbank swap market      influences many asset and derivative interest rates, while the agency debt      market influences the interest rates on our consolidated      obligations. |
|--------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| · | Option risk      results from the fact that we have purchased and sold options either      directly through derivative contracts or indirectly by having options      embedded within financial assets and liabilities. Option risk arises from      the differences between the option to be exercised and incentives to      exercise those options. The mismatch in the option terms, exercise      incentives, and market conditions that influence the value of the options      can affect our net interest margin and our market  value. |
|--------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

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| Primary      Risk Measures                                                             |   | As      of March      31, 2010 |   |   | As      of December      31, 2009 |   |
|----------------------------------------------------------------------------------------|--------|--------------------------------|--------|--------|-----------------------------------|--------|
| Effective      duration of equity                                                      |   |                           | 0.02   |   |                              |   | 0.28 |   |
| Effective      convexity of equity                                                     |   |                           | 0.40   |   |                              |   | 0.77 |   |
| Effective      key-rate-duration-of-equity mismatch                                    |   |                           | 2.37   |   |                              |   | 1.80 |   |
| Market      value-of-equity sensitivity                                                |   |                           |   |   |                              |   |   |   |
|      (+      100 basis point shock scenario) (in percentages) |   |                           | (0.69  | %)     |                              |   | (-0.57 | )% |
| Market      value-of-equity sensitivity                                                |   |                           |   |   |                              |   |   |   |
|      (      -100 basis point shock scenario) (in percentages) |   |                           | 0.41   | %      |                              |   | 0.37 | % |

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|                                                                                  |   | As      of          |   |   | As      of             |   |   | Risk      Measure |   |
|---------------------------------------------------------------------------------------|--------|---------------------|--------|--------|------------------------|--------|--------|-------------------|--------|
| Basis      and Mortgage Book Risk Measures and Limits                                 |   | March      31, 2010 |   |   | December      31, 2009 |   |   | Limit             |   |
| Effective      duration of equity                                                     |   |                | (0.17  | )      |                   |   | 0.45   |              |   |   | +/-5.00 |   |
| Effective      convexity of equity                                                    |   |                | (0.92  | )      |                   |   | (0.40  | )                 |   |   | +/-5.00 |   |
| Effective      key-rate-duration-of-equity mismatch                                   |   |                | 0.96   |   |                   |   | 1.26   |              |   |   | +/-3.50 |   |
| Market-value-of-equity      sensitivity                                               |   |                |   |   |                   |   |   |              |   |   |   |   |
|      (+100      basis point shock scenario) (in percentages) |   |                | (-0.62 | )%     |                   |   | (-0.87 | )%                |   |   | +/-4.50 | % |
| Market-value-of-equity      sensitivity                                               |   |                |   |   |                   |   |   |              |   |   |   |   |
|      (-100      basis point shock scenario) (in percentages) |   |                | (-0.61 | )%     |                   |   | 0.11   | %                 |   |   | +/-4.50 | % |

  
 

  
 

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ITEM 6

|             |   |                                                                                                                                                                                      |
|------------------|--------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| Exhibit      No. |   | Exhibits                                                                                                                                                                                  |
| 31.1             |   | Certification      of the President and Chief Executive Officer pursuant to Section 302 of      the Sarbanes-Oxley Act of 2002.                                                           |
|             |   |                                                                                                                                                                                      |
| 31.2             |   | Certification      of the Chief Accounting and Administrative Officer pursuant to Section 302      of the Sarbanes-Oxley Act of 2002.                                                     |
|             |   |                                                                                                                                                                                      |
| 32.1             |   | Certification      of the President and Chief Executive Officer pursuant to 18.U.S.C. Section      1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of      2002.       |
|             |   |                                                                                                                                                                                      |
| 32.2             |   | Certification      of the Chief Accounting and Administrative Officer pursuant to 18.U.S.C.      Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act      of 2002. |
|             |   |                                                                                                                                                                                      |

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IGN

|   |                                                                                                              |   |                    |   |   |
|--------|-------------------------------------------------------------------------------------------------------------------|--------|-------------------------|--------|--------|
|   |                                                                                                              |   |                    |   |   |
| By:    | /s/ Richard M. Riccobono                                                                                          |   | Dated:May 12,      2010 |   |
|   | Richard      M. Riccobono                                                                                         |   |                    |   |   |
|   | President      and Chief Executive Officer                                                                        |   |                    |   |   |
|   | (Principal      Executive Officer)                                                                                |   |                    |   |   |
|   |                                                                                                              |   |                    |   |   |   |
| By:    | /s/ Christina J. Gehrke                                                                                           |   | Dated:May 12,      2010 |   |
|   | Christina      J. Gehrke                                                                                          |   |                    |   |
|   | Senior      Vice President, Chief Accounting and Administrative Officer(Principal Accounting      Officer *) |   |                    |   |

|        * | The Chief      Accounting and Administrative Officer for purposes of the Seattle Bank's      disclosure controls and procedures and internal control of financial      reporting performs similar functions as a principal financial      officer. |
|---------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

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|             |                                                                                                                                                                                      |
|------------------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| Exhibit      No. | Exhibits                                                                                                                                                                                  |
| 31.1             | Certification      of the President and Chief Executive Officer pursuant to Section 302 of      the Sarbanes-Oxley Act of 2002.                                                           |
|             |                                                                                                                                                                                      |
| 31.2             | Certification      of the Chief Accounting and Administrative Officer pursuant to Section 302      of the Sarbanes-Oxley Act of 2002.                                                     |
|             |                                                                                                                                                                                      |
| 32.1             | Certification      of the President and Chief Executive Officer pursuant to 18.U.S.C. Section      1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of      2002.       |
|             |                                                                                                                                                                                      |
| 32.2             | Certification      of the Chief Accounting and Administrative Officer pursuant to 18.U.S.C.      Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act      of 2002. |
|             |                                                                                                                                                                                      |