----

----

|   |                                                                                         |
|---|-----------------------------------------------------------------------------------------|
| 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 |

----

----

----

|               |                                                                                                        |        |
|---------------|--------------------------------------------------------------------------------------------------------|--------|
|          |                                                                                                   |   |
|          |                                                                                                   | Page   |
| PART I.  | FINANCIAL INFORMATION                                                                                  |   |
| Item 1.  | Financial Statements:                                                                                  |   |
|          | Statements of Condition — As of June 30, 2010 and December 31, 2009 (unaudited)                  | 3      |
|          | Statements of Operations — For the Three and Six Months Ended June 30, 2010 and 2009 (unaudited) | 4      |
|          | Statements of Capital — For the Six Months Ended June 30, 2010 and 2009 (unaudited)              | 5      |
|          | Statements of Cash Flows — For the Six Months Ended June 30, 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                  | 44     |
| Item 3.  | Quantitative and Qualitative Disclosures About Market Risk                                             | 88     |
| Item 4.  | Controls and Procedures                                                                                | 91     |
|          |                                                                                                   |   |
| PART II. | OTHER INFORMATION                                                                                      |   |
| Item 1.  | Legal Proceedings                                                                                      | 92     |
| Item 1A. | Risk Factors                                                                                           | 92     |
| Item 2.  | Unregistered Sales of Equity Securities and Use of Proceeds                                            | 95     |
| Item 3.  | Defaults Upon Senior Securities                                                                        | 95     |
| Item 4.  | Reserved                                                                                               | 95     |
| Item 5.  | Other Information                                                                                      | 95     |
| Item 6.  | Exhibits                                                                                               | 95     |
|          |                                                                                                   |
| SIGNATURES    | 96                                                                                                     |

----

Table of Contents

|                                                                                                                                                    |        |                    |            |                        |            |        |            |        |
|----------------------------------------------------------------------------------------------------------------------------------------------------|--------|--------------------|------------|------------------------|------------|--------|------------|--------|
|                                                                                                                                               |   | As of              |       | As of                  |
|                                                                                                                                               |   | June 30, 2010 |       | December 31, 2009 |
| (in thousands, except par value)                                                                                                                   |   |               |       |                   |
| Assets                                                                                                                                             |   |               |       |                   |
| Cash and due from banks                                                                                                                            |   | $                  | 1,251      |                   |       | $      | 731,430    |   |
| Deposits with other FHLBanks                                                                                                                       |   | 31                 |       |                   | 32         |   |
| Securities purchased under agreements to resell                                                                                                    |   | 6,250,000          |       |                   | 3,500,000  |   |
| Federal funds sold                                                                                                                                 |   | 3,922,237          |       |                   | 10,051,000 |   |
| Available-for-sale securities (Note 2)                                                                                                             |   | 8,329,713          |       |                   | 976,870    |   |
| Held-to-maturity securities * (Note 3)                                                                                                             |   | 7,217,188          |       |                   | 9,288,906  |   |
| Advances (Note 5)                                                                                                                                  |   | 18,466,904         |       |                   | 22,257,026 |   |
| Mortgage loans held for portfolio                                                                                                                  |   | 3,762,131          |       |                   | 4,106,821  |   |
| Less:  Allowance for credit losses on mortgage loans                                                                                     |   | 1,794              |       |                   | 626        |   |
| Mortgage loans held for portfolio, net (Note 6)                                                                                                    |   | 3,760,337          |       |                   | 4,106,195  |   |
| Accrued interest receivable                                                                                                                        |   | 87,351             |       |                   | 123,586    |   |
| Premises, software, and equipment, net                                                                                                             |   | 14,267             |       |                   | 14,836     |   |
| Derivative assets (Note 7)                                                                                                                         |   | 12,290             |       |                   | 3,649      |   |
| Other assets                                                                                                                                       |   | 42,033             |       |                   | 40,953     |   |
| Total Assets                                                                                                                                       |   | $                  | 48,103,602 |                   |       | $      | 51,094,483 |   |
| Liabilities                                                                                                                                        |   |               |       |                   |
| Deposits:                                                                                                                                          |   |               |       |                   |
| Interest-bearing                                                                                                                                   |   | $                  | 342,990    |                   |       | $      | 339,800    |   |
| Total deposits                                                                                                                                     |   | 342,990            |       |                   | 339,800    |   |
| Consolidated obligations, net (Note 8):                                                                                                            |   |               |       |                   |
| Discount notes                                                                                                                                     |   | 11,359,284         |       |                   | 18,501,642 |   |
| Bonds                                                                                                                                              |   | 33,933,303         |       |                   | 29,762,229 |   |
| Total consolidated obligations, net                                                                                                                |   | 45,292,587         |       |                   | 48,263,871 |   |
| Mandatorily redeemable capital stock (Note 9)                                                                                                      |   | 953,105            |       |                   | 946,527    |   |
| Accrued interest payable                                                                                                                           |   | 170,693            |       |                   | 207,842    |   |
| Affordable Housing Program (AHP) payable                                                                                                           |   | 6,847              |       |                   | 8,628      |   |
| Derivative liabilities (Note 7)                                                                                                                    |   | 213,717            |       |                   | 300,030    |   |
| Other liabilities                                                                                                                                  |   | 35,059             |       |                   | 34,037     |   |
| Total liabilities                                                                                                                                  |   | 47,014,998         |       |                   | 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: 17,121 and 17,171 shares as of June 30, 2010 and December 31, 2009 |   | 1,712,085          |       |                   | 1,717,149  |   |
| Class A capital stock putable ($100 par value) - issued and outstanding shares: 1,325 shares as of both June 30, 2010 and December 31, 2009   |   | 132,519            |       |                   | 132,518    |   |
| Total capital stock                                                                                                                                |   | 1,844,604          |       |                   | 1,849,667  |   |
| Retained earnings                                                                                                                                  |   | 67,165             |       |                   | 52,897     |   |
| Accumulated other comprehensive loss (Note 9)                                                                                                      |   | (823,165           | )          |                   | (908,816   | )      |
| Total capital                                                                                                                                      |   | 1,088,604          |       |                   | 993,748    |   |
| Total Liabilities and Capital                                                                                                                      |   | $                  | 48,103,602 |                   |       | $      | 51,094,483 |   |

|   |                                                                                                                            |
|---|----------------------------------------------------------------------------------------------------------------------------|
| * |  Fair values of held-to-maturity securities were $7,069,350 and $8,884,890 as of June 30, 2010 and December 31, 2009. |

----

Table of Contents

|                                                                       |        |                            |        |                          |          |        |         |          |        |        |            |        |        |   |         |        |
|-----------------------------------------------------------------------|--------|----------------------------|--------|--------------------------|----------|--------|---------|----------|--------|--------|------------|--------|--------|---|---------|--------|
|                                                                  |   | For the Three Months Ended |   | For the Six Months Ended |
|                                                                  |   | June 30,                   |   | June 30,                 |
|                                                                  |   | 2010                       |   | 2009                     |     | 2010   |    | 2009     |
| (in thousands)                                                        |   |                       |   |                     |     |   |    |     |
| Interest Income                                                       |   |                       |   |                     |     |   |    |     |
| Advances                                                              |   | $                          | 43,634 |                     |     | $      | 109,259 |     |   | $      | 89,765     |   |   | $ | 284,504 |   |
| Prepayment fees on advances, net                                      |   | 10,339                     |   |                     | 1,645    |   |    | 12,946   |   |   | 5,633      |   |
| Interest-bearing deposits                                             |   | 17                         |   |                     | 152      |   |    | 34       |   |   | 179        |   |
| Securities purchased under agreements to resell                       |   | 2,313                      |   |                     | 2,165    |   |    | 3,954    |   |   | 4,756      |   |
| Federal funds sold                                                    |   | 4,154                      |   |                     | 1,400    |   |    | 7,924    |   |   | 2,848      |   |
| Available-for-sale securities                                         |   | 7,612                      |   |                     | —  |   |    | 11,367   |   |   | —    |   |
| Held-to-maturity securities                                           |   | 43,563                     |   |                     | 43,928   |   |    | 84,190   |   |   | 112,221    |   |
| Mortgage loans held for portfolio                                     |   | 46,758                     |   |                     | 63,777   |   |    | 96,391   |   |   | 127,417    |   |
| Loans to other FHLBanks                                               |   | 1                          |   |                     | —  |   |    | 1        |   |   | —    |   |
| Total interest income                                                 |   | 158,391                    |   |                     | 222,326  |   |    | 306,572  |   |   | 537,558    |   |
| Interest Expense                                                      |   |                       |   |                     |     |   |    |     |
| Consolidated obligations - discount notes                             |   | 5,781                      |   |                     | 21,783   |   |    | 10,102   |   |   | 53,398     |   |
| Consolidated obligations - bonds                                      |   | 102,647                    |   |                     | 152,218  |   |    | 204,952  |   |   | 360,990    |   |
| Deposits                                                              |   | 60                         |   |                     | 246      |   |    | 105      |   |   | 727        |   |
| Total interest expense                                                |   | 108,488                    |   |                     | 174,247  |   |    | 215,159  |   |   | 415,115    |   |
| Net Interest Income                                                   |   | 49,903                     |   |                     | 48,079   |   |    | 91,413   |   |   | 122,443    |   |
| Provision for credit losses                                           |   | 1,596                      |   |                     | 257      |   |    | 1,168    |   |   | 257        |   |
| Net Interest Income after Provision for Credit Losses                 |   | 48,307                     |   |                     | 47,822   |   |    | 90,245   |   |   | 122,186    |   |
| Other (Loss) Income                                                   |   |                       |   |                     |     |   |    |     |
| Total other-than-temporary impairment (OTTI) losses (Note 4)          |   | (87,982                    | )      |                     | (259,999 | )      |    | (145,236 | )      |   | (1,155,194 | )      |
| Portion of OTTI losses recognized in other comprehensive loss         |   | 41,176                     |   |                     | 198,248  |   |    | 78,790   |   |   | 1,021,775  |   |
| Net OTTI loss recognized in income                                    |   | (46,806                    | )      |                     | (61,751  | )      |    | (66,446  | )      |   | (133,419   | )      |
| Net gain (loss) on derivatives and hedging activities                 |   | 23,125                     |   |                     | (8,025   | )      |    | 27,142   |   |   | (10,966    | )      |
| Net realized loss on early extinguishment of consolidated obligations |   | (1,917                     | )      |                     | (441     | )      |    | (5,833   | )      |   | (4,967     | )      |
| Service fees                                                          |   | 722                        |   |                     | 572      |   |    | 1,395    |   |   | 1,144      |   |
| Other, net                                                            |   | (3                         | )      |                     | 4        |   |    | (1       | )      |   | 17         |   |
| Total other loss                                                      |   | (24,879                    | )      |                     | (69,641  | )      |    | (43,743  | )      |   | (148,191   | )      |
| Other Expense                                                         |   |                       |   |                     |     |   |    |     |
| Operating:                                                            |   |                       |   |                     |     |   |    |     |
| Compensation and benefits                                             |   | 7,838                      |   |                     | 6,942    |   |    | 15,425   |   |   | 13,594     |   |
| Other operating                                                       |   | 7,092                      |   |                     | 4,507    |   |    | 12,900   |   |   | 8,736      |   |
| Federal Housing Finance Agency                                        |   | 611                        |   |                     | 447      |   |    | 1,292    |   |   | 943        |   |
| Office of Finance                                                     |   | 514                        |   |                     | 452      |   |    | 1,158    |   |   | 936        |   |
| Other, net                                                            |   | (3,789                     | )      |                     | 135      |   |    | (3,693   | )      |   | 280        |   |
| Total other expense                                                   |   | 12,266                     |   |                     | 12,483   |   |    | 27,082   |   |   | 24,489     |   |
| Income (Loss) before Assessments                                      |   | 11,162                     |   |                     | (34,302  | )      |    | 19,420   |   |   | (50,494    | )      |
| Assessments                                                           |   |                       |   |                     |     |   |    |     |
| AHP                                                                   |   | 911                        |   |                     | —  |   |    | 1,585    |   |   | —    |   |
| REFCORP                                                               |   | 2,050                      |   |                     | —  |   |    | 3,567    |   |   | 33         |   |
| Total assessments                                                     |   | 2,961                      |   |                     | —  |   |    | 5,152    |   |   | 33         |   |
| Net Income (Loss)                                                     |   | $                          | 8,201  |                     |     | $      | (34,302 | )        |   | $      | 14,268     |   |   | $ | (50,527 | )      |

----

Table of Contents

|                                                                      |        |                         |           |                         |         |                                         |           |                                     |        |               |         |        |           |          |        |        |          |        |        |          |            |   |        |   |           |        |
|----------------------------------------------------------------------|--------|-------------------------|-----------|-------------------------|---------|-----------------------------------------|-----------|-------------------------------------|--------|---------------|---------|--------|-----------|----------|--------|--------|----------|--------|--------|----------|------------|---|--------|---|-----------|--------|
| For the Six Months Ended June 30, 2010 and 2009                      |   | Class A Capital Stock * |      | Class B Capital Stock * |    | Retained Earnings (Accumulated Deficit) |      | AccumulatedOther Comprehensive Loss |   | Total Capital |
|                                                                 | Shares |                    | Par Value |                    | Shares  |                                    | Par Value |                                |   |          |
| (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                                  |   | 195                     |      |                    | 19,535  |                                    |      | 85                                  |   |          | 8,444   |   |      | —  |   |   | —  |   |   | 27,979   |       |
| Net shares reclassified to mandatorily redeemable capital stock      |   | (23                     | )         |                    | (2,253  | )                                       |      | (34                                 | )      |          | (3,451  | )      |      | —  |   |   | —  |   |   | (5,704   | )          |
| Comprehensive loss:                                                  |   |                    |      |                    |    |                                    |      |                                |   |          |    |   |      |     |
| Net loss                                                             |   | —                 |      |                    | — |                                    |      | —                             |   |          | — |   |      | (50,527  | )      |   | —  |   |   | (50,527  | )          |
| Other comprehensive loss (Note 9)                                    |   | —                 |      |                    | — |                                    |      | —                             |   |          | — |   |      | —  |   |   | (941,783 | )      |   | (941,783 | )          |
| Total comprehensive loss                                             |   |                    |      |                    |    |                                    |      |                                |   |          |    |   |      | (992,310 | )      |
| Balance, June 30, 2009                                               |   | 1,351                   |      |                    | $       | 135,135                                 |      |                                | 17,353 |          |    | $      | 1,735,280 |     |   | $      | 164,012  |   |   | $        | (1,238,137 | ) |   | $ | 796,290   |   |
| 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                                  |   | —                 |      |                    | — |                                    |      | 15                                  |   |          | 1,514   |   |      | —  |   |   | —  |   |   | 1,514    |       |
| Net shares reclassified to mandatorily redeemable capital stock |   | —                 |      |                    | 1       |                                    |      | (65                                 | )      |          | (6,578  | )      |      | —  |   |   | —  |   |   | (6,577   | )          |
| Comprehensive income:                                                |   |                    |      |                    |    |                                    |      |                                |   |          |    |   |      |     |
| Net income                                                           |   | —                 |      |                    | — |                                    |      | —                             |   |          | — |   |      | 14,268   |   |   | —  |   |   | 14,268   |       |
| Other comprehensive income (Note 9)                                  |   | —                 |      |                    | — |                                    |      | —                             |   |          | — |   |      | —  |   |   | 85,651   |   |   | 85,651   |       |
| Total comprehensive income                                           |   |                    |      |                    |    |                                    |      |                                |   |          |    |   |      | 99,919   |   |
| Balance, June 30, 2010                                               |   | 1,325                   |      |                    | $       | 132,519                                 |      |                                | 17,121 |          |    | $      | 1,712,085 |     |   | $      | 67,165   |   |   | $        | (823,165   | ) |   | $ | 1,088,604 |   |

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

----

Table of Contents

|                                                                                                    |        |                                   |        |        |             |        |         |   |
|----------------------------------------------------------------------------------------------------|--------|-----------------------------------|--------|--------|-------------|--------|---------|---|
|                                                                                               |   | For the Six Months Ended June 30, |
|                                                                                               |   | 2010                              |   | 2009   |
| (in thousands)                                                                                     |   |                              |   |   |
| Operating Activities                                                                               |   |                              |   |   |
| Net income (loss)                                                                                  |   | $                                 | 14,268 |   |        | $      | (50,527 | ) |
| Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |   |                              |   |   |
| Depreciation and amortization                                                                      |   | (61,475                           | )      |   | (93,105     | )      |
| Net OTTI credit loss                                                                               |   | 66,446                            |   |   | 133,419     |   |
| Change in net fair value adjustment on derivative and hedging activities                           |   | 21,223                            |   |   | 7,912       |   |
| Loss on early extinguishment of consolidated obligations                                           |   | 5,833                             |   |   | 4,967       |   |
| Provision for credit losses                                                                        |   | 1,168                             |   |   | 257         |   |
| Net change in:                                                                                     |   |                              |   |   |
| Accrued interest receivable                                                                        |   | 36,235                            |   |   | 101,814     |   |
| Other assets                                                                                       |   | (3,591                            | )      |   | 1           |   |
| Accrued interest payable                                                                           |   | (37,149                           | )      |   | (124,924    | )      |
| Other liabilities                                                                                  |   | 3,044                             |   |   | (8,028      | )      |
| Total adjustments                                                                                  |   | 31,734                            |   |   | 22,313      |   |
| Net cash provided by (used in) operating activities                                                |   | 46,002                            |   |   | (28,214     | )      |
| Investing Activities                                                                               |   |                              |   |   |
| Net change in:                                                                                     |   |                              |   |   |
| Interest-bearing deposits                                                                          |   | 30,294                            |   |   | 23,603      |   |
| Deposits with other FHLBanks                                                                       |   | 1                                 |   |   | (37         | )      |
| Securities purchased under agreements to resell                                                    |   | (2,750,000                        | )      |   | (100,000    | )      |
| Federal funds sold                                                                                 |   | 6,128,763                         |   |   | (717,700    | )      |
| Premises, software and equipment                                                                   |   | (1,081                            | )      |   | (3,424      | )      |
| Available-for-sale securities:                                                                     |   |                              |   |   |
| Proceeds from long-term                                                                            |   | 101,966                           |   |   | —     |   |
| Purchases of long-term                                                                             |   | (7,115,301                        | )      |   | —     |   |
| Held-to-maturity securities:                                                                       |   |                              |   |   |
| Net increase (decrease) in short-term                                                              |   | 1,182,019                         |   |   | (764,000    | )      |
| Proceeds from maturities of long-term                                                              |   | 989,152                           |   |   | 1,199,147   |   |
| Purchases of long-term                                                                             |   | (404,427                          | )      |   | (779,744    | )      |
| Advances:                                                                                          |   |                              |   |   |
| Proceeds                                                                                           |   | 19,884,526                        |   |   | 41,493,027  |   |
| Made                                                                                               |   | (16,054,867                       | )      |   | (33,010,701 | )      |
| Mortgage loans held for portfolio:                                                                 |   |                              |   |   |
| Principal collected                                                                                |   | 337,942                           |   |   | 516,749     |   |
| Net cash provided by investing activities                                                          |   | 2,328,987                         |   |   | 7,856,920   |   |

----

Table of Contents

|                                                                                         |        |                                   |         |        |              |        |         |        |
|-----------------------------------------------------------------------------------------|--------|-----------------------------------|---------|--------|--------------|--------|---------|--------|
|                                                                                    |   | For the Six Months Ended June 30, |
|                                                                                    |   | 2010                              |    | 2009   |
| (in thousands)                                                                          |   |                              |    |   |
| Financing Activities                                                                    |   |                              |    |   |
| Net change in:                                                                          |   |                              |    |   |
| Deposits                                                                                |   | 18,510                            |    |   | 201,513      |   |
| Net proceeds on derivative contracts with financing elements                            |   | 10,161                            |    |   | —      |   |
| Net proceeds from issuance of consolidated obligations:                                 |   |                              |    |   |
| Discount notes                                                                          |   | 449,127,206                       |    |   | 451,608,307  |   |
| Bonds                                                                                   |   | 24,020,331                        |    |   | 14,963,754   |   |
| Payments for maturing and retiring consolidated obligations:                            |   |                              |    |   |
| Discount notes                                                                          |   | (456,224,590                      | )       |   | (451,329,841 | )      |
| Bonds                                                                                   |   | (20,058,300                       | )       |   | (23,300,111  | )      |
| Proceeds from issuance of capital stock                                                 |   | 1,514                             |    |   | 27,979       |   |
| Payments for redemption of mandatorily redeemable capital stock                         |   | —                           |    |   | (669         | )      |
| Net cash used in financing activities                                                   |   | (3,105,168                        | )       |   | (7,829,068   | )      |
| Net decrease in cash and cash equivalents                                               |   | (730,179                          | )       |   | (362         | )      |
| Cash and cash equivalents at beginning of the period                                    |   | 731,430                           |    |   | 1,395        |   |
| Cash and cash equivalents at end of the period                                          |   | $                                 | 1,251   |   |         | $      | 1,033   |   |
|                                                                                    |   |                              |    |   |
| Supplemental Disclosures                                                                |   |                              |    |   |
| Interest paid                                                                           |   | $                                 | 252,308 |   |         | $      | 540,039 |   |
| AHP payments, net                                                                       |   | $                                 | 3,366   |   |         | $      | 3,363   |   |
| Transfers from mortgage loans to real estate owned                                      |   | $                                 | 1,797   |   |         | $      | 749     |   |
| Non-cash transfers of OTTI held-to-maturity securities to available-for-sale securities |   | $                                 | 193,270 |   |         | $      | — |   |

----

Table of Contents

----

Table of Contents

----

Table of Contents

|                                                                  |        |                         |           |                                                              |            |                      |            |                       |        |            |         |        |        |           |        |   |        |   |           |        |
|------------------------------------------------------------------|--------|-------------------------|-----------|--------------------------------------------------------------|------------|----------------------|------------|-----------------------|--------|------------|---------|--------|--------|-----------|--------|---|--------|---|-----------|--------|
|                                                             |   | As of June 30, 2010     |
| AFS Securities                                                   |   | AmortizedCost Basis (1) |      | OTTI Recognized in Accumulated Other Comprehensive Loss |       | GrossUnrealizedGains |       | GrossUnrealizedLosses |   | Fair Value |
| (in thousands)                                                   |   |                    |      |                                                         |       |                 |       |                  |   |       |
| Government-sponsored enterprise (GSE) obligations (2)       |   | $                       | 3,523,473 |                                                         |       | $                    | —    |                  |   | $          | 2,655   |   |   | $         | (658   | ) |   | $ | 3,525,470 |   |
| Temporary Liquidity Guarantee Program (TLGP) securities (3) |   | 3,589,689               |      |                                                         | —    |                 |       | 9,966                 |   |       | (142    | )      |   | 3,599,513 |   |
| Residential Mortgage-Backed Securities (MBS)                     |   |                    |      |                                                         |       |                 |       |                  |   |       |
| PLMBS                                                            |   | 1,864,402               |      |                                                         | (1,026,810 | )                    |       | 367,138               |   |       | — |   |   | 1,204,730 |   |
| Total                                                            |   | $                       | 8,977,564 |                                                         |       | $                    | (1,026,810 | )                     |   | $          | 379,759 |   |   | $         | (800   | ) |   | $ | 8,329,713 |   |

|                 |        |                         |           |                                                              |        |                      |          |                       |        |            |         |        |        |   |         |        |        |   |         |        |
|-----------------|--------|-------------------------|-----------|--------------------------------------------------------------|--------|----------------------|----------|-----------------------|--------|------------|---------|--------|--------|---|---------|--------|--------|---|---------|--------|
|            |   | As of December 31, 2009 |
| AFS Securities  |   | AmortizedCost Basis (1) |      | OTTI Recognized in Accumulated Other Comprehensive Loss |   | GrossUnrealizedGains |     | GrossUnrealizedLosses |   | Fair 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) | Includes unpaid principal balance, accretable discounts and premiums, and OTTI charges recognized in earnings.                                                                                        |
| (2) | Consists of Federal Farm Credit Bank (FFCB) bonds that are guaranteed by the Federal Agriculture Mortgage Corporation and obligations issued by Federal Home Loan Mortgage Corporation (Freddie Mac). |
| (3) | Consists of notes guaranteed by the Federal Deposit Insurance Corporation (FDIC) under the TLGP.                                                                                                      |

----

Table of Contents

|                                             |        |                     |           |                   |         |            |        |                  |        |            |           |                  |        |           |          |        |          |   |           |        |        |   |          |   |
|---------------------------------------------|--------|---------------------|-----------|-------------------|---------|------------|--------|------------------|--------|------------|-----------|------------------|--------|-----------|----------|--------|----------|---|-----------|--------|--------|---|----------|---|
|                                        |   | As of June 30, 2010 |
|                                        |   | Less than 12 months |      | 12 months or more |    | Total      |
| AFS Securities in Unrealized Loss Positions |   | Fair Value          |      | UnrealizedLosses  |    | Fair Value |   | UnrealizedLosses |   | Fair Value |      | UnrealizedLosses |
| (in thousands)                              |   |                |      |              |    |       |   |             |   |       |      |             |
| GSE obligations                             |   | $                   | 1,454,309 |              |    | $          | (658   | )                |   | $          | —   |             |   | $         | —  |   |     | $ | 1,454,309 |   |   | $ | (658     | ) |
| TLGP securities                             |   | 282,627             |      |              | (142    | )          |   | —          |   |       | —   |             |   | 282,627   |     |   | (142     | ) |
| Residential MBS                             |   |                |      |              |    |       |   |             |   |       |      |             |
| PLMBS                                       |   | —             |      |              | — |       |   | 1,204,730        |   |       | (659,672  | )                |   | 1,204,730 |     |   | (659,672 | ) |
| Total                                       |   | $                   | 1,736,936 |              |    | $          | (800   | )                |   | $          | 1,204,730 |             |   | $         | (659,672 | )      |     | $ | 2,941,666 |   |   | $ | (660,472 | ) |

|                                             |        |                         |         |                   |        |                  |         |                  |        |                  |         |                  |        |   |          |   |        |   |         |        |        |   |          |   |
|---------------------------------------------|--------|-------------------------|---------|-------------------|--------|------------------|---------|------------------|--------|------------------|---------|------------------|--------|---|----------|---|--------|---|---------|--------|--------|---|----------|---|
|                                        |   | As of December 31, 2009 |
|                                        |   | Less than 12 months     |    | 12 months or more |   | Total            |
| AFS Securities in Unrealized Loss Positions |   |  Fair Value        |    | UnrealizedLosses  |   |  Fair Value |    | UnrealizedLosses |   |  Fair 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 June 30, 2010 |      | As of December 31, 2009 |
| Year of Maturity                       |   | AmortizedCost Basis |      | Fair Value              |      | AmortizedCost Basis |      | Fair Value |
| (in thousands)                         |   |                |      |                    |      |                |      |       |
| Non-MBS                                |   |                |      |                    |      |                |      |       |
| Due in less than one year              |   | $                   | 505,157   |                    |      | $                   | 504,833   |       |   | $      | —   |   |   | $ | — |   |
| Due after one year through five years  |   | 6,570,939           |      |                    | 6,581,585 |                |      | —    |   |   | —   |   |
| Due after five years through ten years |   | 37,066              |      |                    | 38,565    |                |      | —    |   |   | —   |   |
| Subtotal                               |   | 7,113,162           |      |                    | 7,124,983 |                |      | —    |   |   | —   |   |
| MBS                                    |   | 1,864,402           |      |                    | 1,204,730 |                |      | 1,673,296  |   |   | 976,870   |   |
| Total                                  |   | $                   | 8,977,564 |                    |      | $                   | 8,329,713 |       |   | $      | 1,673,296 |   |   | $ | 976,870 |   |

----

Table of Contents

|                                           |        |                              |           |                                                                |          |               |          |                                    |        |                                     |           |            |        |          |         |        |           |        |          |   |        |   |           |        |
|-------------------------------------------|--------|------------------------------|-----------|----------------------------------------------------------------|----------|---------------|----------|------------------------------------|--------|-------------------------------------|-----------|------------|--------|----------|---------|--------|-----------|--------|----------|---|--------|---|-----------|--------|
|                                      |   | As of June 30, 2010          |
| HTM Securities                            |   | AmortizedCost Basis (1) |      | OTTIRecognized inAccumulated Other Comprehensive Loss (2) |     | CarryingValue |     | GrossUnrecognized HoldingGains (3) |   | GrossUnrecognized HoldingLosses (3) |      | Fair Value |
| (in thousands)                            |   |                         |      |                                                           |     |          |     |                               |   |                                |      |       |
| Certificates of deposit (4)               |   | $                            | 1,721,000 |                                                           |     | $             | —  |                               |   | $                                   | 1,721,000 |       |   | $        | 65      |   |      | $      | (6       | ) |   | $ | 1,721,059 |   |
| Other U.S. agency obligations (5)         |   | 43,602                       |      |                                                           | —  |          |     | 43,602                             |   |                                | 564       |       |   | (19      | )       |   | 44,147    |   |
| GSE obligations (6)                  |   | 489,819                      |      |                                                           | —  |          |     | 489,819                            |   |                                | 46,908    |       |   | —  |    |   | 536,727   |   |
| State or local housing agency obligations |   | 3,925                        |      |                                                           | —  |          |     | 3,925                              |   |                                | —   |       |   | (1       | )       |   | 3,924     |   |
| Subtotal                                  |   | 2,258,346                    |      |                                                           | —  |          |     | 2,258,346                          |   |                                | 47,537    |       |   | (26      | )       |   | 2,305,857 |   |
| Residential MBS                           |   |                         |      |                                                           |     |          |     |                               |   |                                |      |       |
| Other U.S. agency (5)                     |   | 23,043                       |      |                                                           | —  |          |     | 23,043                             |   |                                | 184       |       |   | —  |    |   | 23,227    |   |
| GSEs (6)                             |   | 3,039,951                    |      |                                                           | —  |          |     | 3,039,951                          |   |                                | 48,877    |       |   | (249     | )       |   | 3,088,579 |   |
| PLMBS                                     |   | 2,061,764                    |      |                                                           | (165,916 | )             |     | 1,895,848                          |   |                                | 9,381     |       |   | (253,542 | )       |   | 1,651,687 |   |
| Subtotal                                  |   | 5,124,758                    |      |                                                           | (165,916 | )             |     | 4,958,842                          |   |                                | 58,442    |       |   | (253,791 | )       |   | 4,763,493 |   |
| Total                                     |   | $                            | 7,383,104 |                                                           |     | $             | (165,916 | )                                  |   | $                                   | 7,217,188 |       |   | $        | 105,979 |   |      | $      | (253,817 | ) |   | $ | 7,069,350 |   |

|                                           |        |                         |           |                                                           |          |               |          |                                    |        |                                          |           |            |        |          |        |        |           |        |          |        |        |   |           |        |
|-------------------------------------------|--------|-------------------------|-----------|-----------------------------------------------------------|----------|---------------|----------|------------------------------------|--------|------------------------------------------|-----------|------------|--------|----------|--------|--------|-----------|--------|----------|--------|--------|---|-----------|--------|
|                                      |   | As of December 31, 2009 |
| HTM Securities                            |   | AmortizedCost Basis (1) |      | OTTIRecognized inAccumulated Other Comprehensive Loss (2) |     | CarryingValue |     | GrossUnrecognized HoldingGains (3) |   | GrossUnrecognized HoldingLosses (3) |      | 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                           |   |                    |      |                                                      |     |          |     |                               |   |                                     |      |       |
| Other U.S. agency (5)                     |   | 4,229                   |      |                                                      | —  |          |     | 4,229                              |   |                                     | 91        |       |   | —  |   |   | 4,320     |   |
| GSEs (6)                                  |   | 3,198,679               |      |                                                      | —  |          |     | 3,198,679                          |   |                                     | 35,587    |       |   | (3,981   | )      |   | 3,230,285 |   |
| 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) | Includes unpaid principal balance, accretable discounts and premiums, and OTTI charges recognized in earnings.                                                        |
| (2) | See Note 9 for a reconciliation of the accumulated other comprehensive loss related to HTM securities as of June 30, 2010 and 2009.                                   |
| (3) | 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) investments.                                          |
| (6) | Primarily consists of securities issued by Freddie Mac, Federal National Mortgage Association (Fannie Mae), or Tennessee Valley Authority (TVA).                      |

----

Table of Contents

|                                             |        |                     |           |                         |         |            |        |                         |        |            |           |                         |        |           |          |        |          |   |           |        |        |   |          |   |
|---------------------------------------------|--------|---------------------|-----------|-------------------------|---------|------------|--------|-------------------------|--------|------------|-----------|-------------------------|--------|-----------|----------|--------|----------|---|-----------|--------|--------|---|----------|---|
|                                        |   | As of June 30, 2010 |
|                                        |   | Less than 12 months |      | 12 months or more       |    | Total      |
| HTM Securities in Unrealized Loss Positions |   | Fair Value          |      | Gross Unrealized Losses |    | Fair Value |   | Gross Unrealized Losses |   | Fair Value |      | Gross Unrealized Losses |
| (in thousands)                              |   |                |      |                    |    |       |   |                    |   |       |      |                    |
| Certificates of deposit                     |   | $                   | 1,003,994 |                    |    | $          | (6     | )                       |   | $          | —   |                    |   | $         | —  |   |     | $ | 1,003,994 |   |   | $ | (6       | ) |
| Other U.S. agency obligations (1)           |   | 5,474               |      |                    | (18     | )          |   | 351                     |   |       | (1        | )                       |   | 5,825     |     |   | (19      | ) |
| State or local housing agency obligations   |   | 2,209               |      |                    | (1      | )          |   | —                 |   |       | —   |                    |   | 2,209     |     |   | (1       | ) |
|      Subtotal      |   | 1,011,677           |      |                    | (25     | )          |   | 351                     |   |       | (1        | )                       |   | 1,012,028 |     |   | (26      | ) |
| Residential MBS                             |   |                |      |                    |    |       |   |                    |   |       |      |                    |
| GSEs (2)                               |   | 258,959             |      |                    | (249    | )          |   | —                 |   |       | —   |                    |   | 258,959   |     |   | (249     | ) |
|  Temporarily impaired PLMBS            |   | 71,227              |      |                    | (372    | )          |   | 988,804                 |   |       | (253,170  | )                       |   | 1,060,031 |     |   | (253,542 | ) |
|  OTTI PLMBS                            |   | —             |      |                    | — |       |   | 237,641                 |   |       | (165,916  | )                       |   | 237,641   |     |   | (165,916 | ) |
|      Subtotal      |   | 330,186             |      |                    | (621    | )          |   | 1,226,445               |   |       | (419,086  | )                       |   | 1,556,631 |     |   | (419,707 | ) |
| Total                                       |   | $                   | 1,341,863 |                    |    | $          | (646   | )                       |   | $          | 1,226,796 |                    |   | $         | (419,087 | )      |     | $ | 2,568,659 |   |   | $ | (419,733 | ) |

|                                             |        |                         |           |                         |         |            |         |                         |        |            |           |                         |        |           |          |        |          |        |           |        |        |   |          |   |
|---------------------------------------------|--------|-------------------------|-----------|-------------------------|---------|------------|---------|-------------------------|--------|------------|-----------|-------------------------|--------|-----------|----------|--------|----------|--------|-----------|--------|--------|---|----------|---|
|                                        |   | As of December 31, 2009 |
|                                        |   | Less than 12 months     |      | 12 months or more       |    | Total      |
| HTM Securities in Unrealized Loss Positions |   | Fair Value              |      | Gross Unrealized Losses |    | Fair Value |    | Gross Unrealized Losses |   | Fair 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                             |   |                    |      |                    |    |       |    |                    |   |       |      |                    |
| Other U.S. agency                           |   | 5                       |      |                    | — |       |    | —                 |   |       | —   |                    |   | 5         |     |   | —  |   |
| GSEs (2)                                    |   | 1,053,968               |      |                    | (2,436  | )          |    | 161,728                 |   |       | (1,545    | )                       |   | 1,215,696 |     |   | (3,981   | )      |
| 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. |

----

Table of Contents

|                                       |        |                     |           |                         |           |            |           |                     |        |               |           |            |        |           |           |        |           |        |           |        |        |   |           |        |
|---------------------------------------|--------|---------------------|-----------|-------------------------|-----------|------------|-----------|---------------------|--------|---------------|-----------|------------|--------|-----------|-----------|--------|-----------|--------|-----------|--------|--------|---|-----------|--------|
|                                  |   | As of June 30, 2010 |      | As of December 31, 2009 |
| Year of Maturity                      |   | AmortizedCost Basis |      | CarryingValue           |      | Fair Value |      | AmortizedCost Basis |   | CarryingValue |      | Fair Value |
| (in thousands)                        |   |                |      |                    |      |       |      |                |   |          |      |       |
| Non-MBS                               |   |                |      |                    |      |       |      |                |   |          |      |       |
| Due in one year or less               |   | $                   | 1,824,093 |                    |      | $          | 1,824,093 |                |   | $             | 1,824,780 |       |   | $         | 3,110,275 |   |      | $      | 3,110,275 |   |   | $ | 3,113,427 |   |
| Due after one year through five years |   | 399,108             |      |                    | 399,108   |       |      | 445,640             |   |          | 405,104   |       |   | 405,104   |      |   | 450,565   |   |
| Due after five years through 10 years |   | 12,712              |      |                    | 12,712    |       |      | 12,797              |   |          | 13,221    |       |   | 13,221    |      |   | 13,364    |   |
| Due after 10 years                    |   | 22,433              |      |                    | 22,433    |       |      | 22,640              |   |          | 23,594    |       |   | 23,594    |      |   | 23,840    |   |
| Subtotal                              |   | 2,258,346           |      |                    | 2,258,346 |       |      | 2,305,857           |   |          | 3,552,194 |       |   | 3,552,194 |      |   | 3,601,196 |   |
| MBS                                   |   | 5,124,758           |      |                    | 4,958,842 |       |      | 4,763,493           |   |          | 5,946,004 |       |   | 5,736,712 |      |   | 5,283,694 |   |
| Total                                 |   | $                   | 7,383,104 |                    |      | $          | 7,217,188 |                |   | $             | 7,069,350 |       |   | $         | 9,498,198 |   |      | $      | 9,288,906 |   |   | $ | 8,884,890 |   |

----

Table of Contents

----

Table of Contents

|                                                    |        |                                          |        |                                        |         |                   |        |               |        |                       |        |                   |        |         |        |        |        |        |         |        |        |   |         |        |
|----------------------------------------------------|--------|------------------------------------------|--------|----------------------------------------|---------|-------------------|--------|---------------|--------|-----------------------|--------|-------------------|--------|---------|--------|--------|--------|--------|---------|--------|--------|---|---------|--------|
|                                               |   | For the Three Months Ended June 30, 2010 |   | For the Six Months Ended June 30, 2010 |
| OTTI PLMBS                                         |   | Credit Losses                            |   | Net Non-Credit Losses                  |    | Total OTTI Losses |   | Credit Losses |   | Net Non-Credit Losses |   | Total OTTI Losses |
| (in thousands)                                     |   |                                     |   |                                   |    |              |   |          |   |                  |   |              |
| PLMBS newly identified as OTTI in the period noted |   | $                                        | 1,342  |                                   |    | $                 | 85,619 |          |   | $                     | 86,961 |              |   | $       | 3,798  |   |   | $      | 131,465 |   |   | $ | 135,263 |   |
| PLMBS identified as OTTI in prior periods          |   | 45,464                                   |   |                                   | (44,443 | )                 |   | 1,021         |   |                  | 62,648 |              |   | (52,675 | )      |   | 9,973  |   |
| Total                                              |   | $                                        | 46,806 |                                   |    | $                 | 41,176 |          |   | $                     | 87,982 |              |   | $       | 66,446 |   |   | $      | 78,790  |   |   | $ | 145,236 |   |

|                                                    |        |                                          |        |                                        |         |                   |         |               |        |                       |         |                   |        |        |         |        |        |        |           |        |        |   |           |        |
|----------------------------------------------------|--------|------------------------------------------|--------|----------------------------------------|---------|-------------------|---------|---------------|--------|-----------------------|---------|-------------------|--------|--------|---------|--------|--------|--------|-----------|--------|--------|---|-----------|--------|
|                                               |   | For the Three Months Ended June 30, 2009 |   | For the Six Months Ended June 30, 2009 |
| OTTI PLMBS                                         |   | Credit Losses                            |   | Net Non-Credit Losses                  |    | Total OTTI Losses |    | Credit Losses |   | Net Non-Credit Losses |    | Total OTTI Losses |
| (in thousands)                                     |   |                                     |   |                                   |    |              |    |          |   |                  |    |              |
| PLMBS newly identified as OTTI in the period noted |   | $                                        | 7,293  |                                   |    | $                 | 249,502 |          |   | $                     | 256,795 |              |   | $      | 74,874  |   |   | $      | 1,004,211 |   |   | $ | 1,079,085 |   |
| PLMBS identified as OTTI in prior periods          |   | 54,458                                   |   |                                   | (51,254 | )                 |    | 3,204         |   |                  | 58,545  |              |   | 17,564 |    |   | 76,109 |   |
| Total                                              |   | $                                        | 61,751 |                                   |    | $                 | 198,248 |          |   | $                     | 259,999 |              |   | $      | 133,419 |   |   | $      | 1,021,775 |   |   | $ | 1,155,194 |   |

----

Table of Contents

|                        |        |                                                                                         |        |                            |           |                    |        |                           |        |                    |        |         |        |                    |           |         |      |        |        |           |
|------------------------|--------|-----------------------------------------------------------------------------------------|--------|----------------------------|-----------|--------------------|--------|---------------------------|--------|--------------------|--------|---------|--------|--------------------|-----------|---------|------|--------|--------|-----------|
|                   |   | Significant Inputs Used to Measure Credit Loss for the Three Months Ended June 30, 2010 |   |                       |      |               |
|                   |   | 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                   |   | 10.2                                                                                    |   |                       | 10.2-10.2 |               | 48.9   |                      |   | 48.9-48.9          |   | 45.8    |   |               | 45.8-45.8 |    | 40.1 |   |   | 40.1-40.1 |
| 2007                   |   | 7.2                                                                                     |   |                       | 4.7-13.8  |               | 79.0   |                      |   | 35.4-89.5          |   | 53.4    |   |               | 45.6-61.1 |    | 37.8 |   |   | 7.3-44.9  |
| 2006                   |   | 5.4                                                                                     |   |                       | 4.6-6.7   |               | 86.6   |                      |   | 76.9-89.8          |   | 54.7    |   |               | 50.4-63.6 |    | 42.6 |   |   | 36.8-47.6 |
| 2005                   |   | 8.3                                                                                     |   |                       | 7.3-10.6  |               | 72.8   |                      |   | 56.4-79.4          |   | 49.9    |   |               | 42.7-56.7 |    | 30.9 |   |   | 0-50.4    |
| Total                  |   | 6.8                                                                                     |   |                       | 4.6-13.8  |               | 80.3   |                      |   | 35.4-89.8          |   | 53.4    |   |               | 42.7-63.6 |    | 39.1 |   |   | 0-50.4    |

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

|                  |        |                          |         |                |        |                    |         |            |        |                          |         |                |        |            |         |        |        |   |           |        |        |   |           |        |        |   |           |        |
|------------------|--------|--------------------------|---------|----------------|--------|--------------------|---------|------------|--------|--------------------------|---------|----------------|--------|------------|---------|--------|--------|---|-----------|--------|--------|---|-----------|--------|--------|---|-----------|--------|
|             |   | As of June 30, 2010      |
|             |   | HTM Securities           |    | AFS Securities |
| OTTI Securities  |   | Unpaid Principal Balance |    | Amortized Cost |   | Carrying Value (1) |    | Fair Value |   | Unpaid Principal Balance |    | Amortized Cost |   | Fair Value |
| (in thousands)   |   |                     |    |           |   |               |    |       |   |                     |    |           |   |       |
| Alt-A PLMBS (2)  |   | $                        | 400,552 |           |   | $                  | 396,216 |       |   | $                        | 230,300 |           |   | $          | 237,641 |   |   | $ | 2,246,178 |   |   | $ | 1,864,402 |   |   | $ | 1,204,730 |   |
| Total OTTI PLMBS |   | $                        | 400,552 |           |   | $                  | 396,216 |       |   | $                        | 230,300 |           |   | $          | 237,641 |   |   | $ | 2,246,178 |   |   | $ | 1,864,402 |   |   | $ | 1,204,730 |   |

|                  |        |                          |         |                |        |                         |         |            |        |                          |         |                |        |            |         |        |        |   |           |        |        |   |           |        |        |   |         |        |
|------------------|--------|--------------------------|---------|----------------|--------|-------------------------|---------|------------|--------|--------------------------|---------|----------------|--------|------------|---------|--------|--------|---|-----------|--------|--------|---|-----------|--------|--------|---|---------|--------|
|             |   | As of December 31, 2009  |
|             |   | HTM Securities           |    | AFS Securities |
| OTTI Securities  |   | Unpaid Principal Balance |    | Amortized Cost |   | Carrying Value (1) |    | Fair Value |   | Unpaid Principal Balance |    | Amortized Cost |   | 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.                                                  |

----

Table of Contents

|                                                                                                        |        |                            |         |                          |         |        |         |        |        |        |         |        |        |   |         |        |        |
|--------------------------------------------------------------------------------------------------------|--------|----------------------------|---------|--------------------------|---------|--------|---------|--------|--------|--------|---------|--------|--------|---|---------|--------|--------|
|                                                                                                   |   | For the Three Months Ended |    | For the Six Months Ended |    |
|                                                                                                   |   | June 30,                   |    | June 30,                 |    |
| Credit Loss Component of OTTI                                                                          |   | 2010                       |    | 2009                     |    | 2010   |    | 2009   |   |
| (in thousands)                                                                                         |   |                       |    |                     |    |   |    |   |   |
| Balance, beginning of period                                                                           |   | $                          | 338,473 |                     |    | $      | 80,361  |   |   | $      | 319,113 |   |   | $ | 8,693   |   | (1)    |
| Additions                                                                                              |   |                       |    |                     |    |   |    |   |   |
| Credit losses on securities for which OTTI was not previously recognized                               |   | 1,342                      |    |                     | 7,293   |   |    | 3,798  |   |   | 74,874  |   |   |
| Additional OTTI credit losses on securities for which an OTTI loss was previously recognized (2)  |   | 45,464                     |    |                     | 54,458  |   |    | 62,648 |   |   | 58,545  |   |   |
|      Total additions                                                          |   | 46,806                     |    |                     | 61,751  |   |    | 66,446 |   |   | 133,419 |   |   |
| Reductions                                                                                             |   |                       |    |                     |    |   |    |   |   |
| Increases in cash flows expected to be collected, recognized over the remaining life of the securities |   | (53                        | )       |                     | — |   |    | (333   | )      |   | — |   |   |
| Balance, end of period                                                                                 |   | $                          | 385,226 |                     |    | $      | 142,112 |   |   | $      | 385,226 |   |   | $ | 142,112 |   |   |

|     |                                                                                                                                                                                                                                                                                                                                                                                                                       |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (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.                                                                                                                                                                                                                                                                                                           |

|                                                      |        |                     |            |                                |        |        |         |                                |            |            |        |        |      |        |
|------------------------------------------------------|--------|---------------------|------------|--------------------------------|--------|--------|---------|--------------------------------|------------|------------|--------|--------|------|--------|
|                                                 |   | As of June 30, 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                              |   | $                   | 6,790,059  |                           |   | 1.44   |    |                           | $          | 12,268,149 |   |   | 1.75 |   |
| Due after one year through two years                 |   | 5,706,556           |       |                           | 1.65   |   |    | 2,893,358                      |       |       | 2.67   |   |
| Due after two years through three years              |   | 1,470,810           |       |                           | 2.96   |   |    | 1,850,076                      |       |       | 3.03   |   |
| Due after three years through four years             |   | 578,860             |       |                           | 3.35   |   |    | 1,395,149                      |       |       | 3.11   |   |
| Due after four years through five years              |   | 525,036             |       |                           | 3.24   |   |    | 293,629                        |       |       | 3.73   |   |
| Thereafter                                           |   | 2,974,377           |       |                           | 4.37   |   |    | 3,177,515                      |       |       | 4.35   |   |
| Total par value                                      |   | 18,045,698          |       |                           | 2.23   |   |    | 21,877,876                     |       |       | 2.47   |   |
| Commitment fees                                      |   | (611                | )          |                           |   |   | (650    | )                              |       |       |
| Discount on AHP advances                             |   | (54                 | )          |                           |   |   | (70     | )                              |       |       |
| Discount on advances                                 |   | (2,602              | )          |                           |   |   | (5,840  | )                              |       |       |
| Hedging adjustments                                  |   | 424,473             |       |                           |   |   | 385,710 |                           |       |       |
| Total                                                |   | $                   | 18,466,904 |                           |   |   |    | $                              | 22,257,026 |       |   |   |

----

Table of Contents

|                                        |        |                                   |            |                                       |        |                                   |        |                                       |        |            |        |        |       |        |
|----------------------------------------|--------|-----------------------------------|------------|---------------------------------------|--------|-----------------------------------|--------|---------------------------------------|--------|------------|--------|--------|-------|--------|
|                                   |   | As of June 30, 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               |   | $                                 | 172,627    |                                  |   | 1.0                               |   |                                  | $      | 105,256    |   |   | 0.5   |   |
| Adjustable-rate advances               |   | 2,082,736                         |       |                                  | 11.5   |                              |   | 2,125,236                             |   |       | 9.7    |   |
| Fixed Interest-Rate Advances           |   |                              |       |                                  |   |                              |   |                                  |
| Fixed interest-rate advances           |   | 11,129,955                        |       |                                  | 61.7   |                              |   | 14,302,515                            |   |       | 65.4   |   |
| Amortizing advances                    |   | 546,970                           |       |                                  | 3.0    |                              |   | 636,459                               |   |       | 2.9    |   |
| Structured Advances                    |   |                              |       |                                  |   |                              |   |                                  |
| Putable advances                       |   | 3,713,410                         |       |                                  | 20.5   |                              |   | 4,318,410                             |   |       | 19.7   |   |
| Capped floater advances                |   | 30,000                            |       |                                  | 0.2    |                              |   | 20,000                                |   |       | 0.1    |   |
| Floating-to-fixed convertible advances |   | 370,000                           |       |                                  | 2.1    |                              |   | 370,000                               |   |       | 1.7    |   |
| Total par value                        |   | $                                 | 18,045,698 |                                  |   | 100.0                             |   |                                  | $      | 21,877,876 |   |   | 100.0 |   |

----

Table of Contents

|                                                                       |        |                    |           |                        |           |        |           |        |
|-----------------------------------------------------------------------|--------|--------------------|-----------|------------------------|-----------|--------|-----------|--------|
|                                                                  |   | As of              |      | As of                  |
| Mortgage Loans Held for Portfolio, Net                                |   | June 30, 2010 |      | December 31, 2009 |
| (in thousands)                                                        |   |               |      |                   |
| Real Estate                                                           |   |               |      |                   |
| Fixed interest-rate, medium-term*, single-family                      |   | $                  | 486,151   |                   |      | $      | 558,390   |   |
| Fixed interest-rate, long-term*, single-family                        |   | 3,273,902          |      |                   | 3,541,618 |   |
| Total loan principal                                                  |   | 3,760,053          |      |                   | 4,100,008 |   |
| Premiums                                                              |   | 22,142             |      |                   | 37,068    |   |
| Discounts                                                             |   | (20,064            | )         |                   | (30,255   | )      |
| Mortgage loans held for portfolio, before allowance for credit losses |   | 3,762,131          |      |                   | 4,106,821 |   |
| Less: Allowance for credit losses on mortgage loans                   |   | 1,794              |      |                   | 626       |   |
| Total mortgage loans held for portfolio, net                          |   | $                  | 3,760,337 |                   |      | $      | 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. |

|                                                |        |                    |           |                        |           |        |           |        |
|------------------------------------------------|--------|--------------------|-----------|------------------------|-----------|--------|-----------|--------|
|                                           |   | As of              |      | As of                  |
| Principal of Mortgage Loans Held for Portfolio |   | June 30, 2010 |      | December 31, 2009 |
| (in thousands)                                 |   |               |      |                   |
| Government-guaranteed/insured                  |   | $                  | 160,690   |                   |      | $      | 172,966   |   |
| Conventional                                   |   | 3,599,363          |      |                   | 3,927,042 |   |
| Total loan principal                           |   | $                  | 3,760,053 |                   |      | $      | 4,100,008 |   |

|                                               |        |                                     |        |                                   |        |        |         |        |        |        |        |        |        |        |         |        |
|-----------------------------------------------|--------|-------------------------------------|--------|-----------------------------------|--------|--------|---------|--------|--------|--------|--------|--------|--------|--------|---------|--------|
|                                          |   | For the Three Months Ended June 30, |   | For the Six Months Ended June 30, |
| Allowance for Credit Losses on Mortgage Loans |   | 2010                                |   | 2009                              |   | 2010   |    | 2009   |
| (in thousands)                                |   |                                |   |                              |   |   |    |   |
| Balance at beginning of period                |   | $                                   | 198    |                              |   | $      | — |   |   | $      | 626    |   |   | $      | — |   |
| Provision for credit losses                   |   | 1,596                               |   |                              | 257    |   |    | 1,168  |   |   | 257    |   |
| Balance at end of period                      |   | $                                   | 1,794  |                              |   | $      | 257     |   |   | 1,794  |   |   | 257    |   |

----

Table of Contents

----

Table of Contents

----

Table of Contents

----

Table of Contents

----

Table of Contents

|                                                                                        |        |                     |            |                   |         |                        |          |         |         |        |         |        |
|----------------------------------------------------------------------------------------|--------|---------------------|------------|-------------------|---------|------------------------|----------|---------|---------|--------|---------|--------|
|                                                                                   |   | As of June 30, 2010 |
|  Fair Value of Derivative Instruments                                             |   | Notional Amount     |       | Derivative Assets |    | Derivative Liabilities |
|  (in thousands)                                                                   |   |                |       |              |    |                   |
| Derivatives designated as hedging instruments                                          |   |                |       |              |    |                   |
| Interest-rate swaps                                                                    |   | $                   | 35,363,149 |              |    | $                      | 274,650  |    |    | $      | 485,473 |   |
| Interest-rate caps or floors                                                           |   | 20,000              |       |              | 298     |                   |     | — |    |
| Total derivatives designated as hedging instruments                                    |   | 35,383,149          |       |              | 274,948 |                   |     | 485,473 |    |
| Derivatives not designated as hedging instruments                                      |   |                |       |              |    |                   |
| Interest-rate swaps                                                                    |   | 508,200             |       |              | 6,552   |                   |     | 2,978   |    |
| Interest-rate caps or floors                                                           |   | 200,000             |       |              | — |                   |     | — |    |
| Total derivatives not designated as hedging instruments                                |   | 708,200             |       |              | 6,552   |                   |     | 2,978   |    |
| Total derivatives before netting and collateral adjustments                            |   | $                   | 36,091,349 |              |    | 281,500                |     |    | 488,451 |   |
| Netting adjustments (1)                                                           |   |                |       | (245,607          | )       |                   | (245,607 | )       |
| Cash collateral and related accrued interest                                           |   |                |       | (23,603           | )       |                   | (29,127  | )       |
| Total netting and collateral adjustments                                               |   |                |       | (269,210          | )       |                   | (274,734 | )       |
| Derivative assets and derivative liabilities as reported on the statement of condition |   |                |       | $                 | 12,290  |                   |     | $       | 213,717 |   |

----

Table of Contents

|                                                                                        |              |                         |            |                  |         |                       |          |         |         |        |         |        |
|----------------------------------------------------------------------------------------|--------------|-------------------------|------------|------------------|---------|-----------------------|----------|---------|---------|--------|---------|--------|
|                                                                                   |         | 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  | )       |
| Total 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 June 30, |   | For the Six Months Ended June 30, |
| Net Gain (Loss) on Derivatives and Hedging Activities                       |   | 2010                                |   | 2009                              |    | 2010   |   | 2009    |
| (in thousands)                                                              |   |                                |   |                              |    |   |   |    |
| Derivatives and hedged items in fair value hedging relationships            |   |                                |   |                              |    |   |   |    |
| Interest-rate swaps                                                         |   | $                                   | 19,193 |                              |    | $      | (8,407 | )       |   | $      | 19,452  |   |   | $ | (11,276 | ) |
| Total net gain (loss) related to fair value hedge ineffectiveness      |   | 19,193                              |   |                              | (8,407  | )      |   | 19,452  |   |   | (11,276 | )      |
| Derivatives not designated as hedging instruments                           |   |                                |   |                              |    |   |   |    |
| Economic hedges                                                             |   |                                |   |                              |    |   |   |    |
| Interest-rate swaps                                                         |   | 28                                  |   |                              | 2       |   |   | 17      |   |   | 4       |   |
| Interest-rate caps or floors                                                |   | (1                                  | )      |                              | 73      |   |   | (47     | )      |   | (111    | )      |
| Net interest settlements                                                    |   | 3,905                               |   |                              | 307     |   |   | 7,720   |   |   | 435     |   |
| Intermediary transactions                                                   |   |                                |   |                              |    |   |   |    |
| Interest-rate swaps                                                         |   | —                             |   |                              | — |   |   | — |   |   | (18     | )      |
| Total net gain related to derivatives not designated as hedging instruments |   | 3,932                               |   |                              | 382     |   |   | 7,690   |   |   | 310     |   |
| Net gain (loss) on derivatives and hedging activities                       |   | $                                   | 23,125 |                              |    | $      | (8,025 | )       |   | $      | 27,142  |   |   | $ | (10,966 | ) |

----

Table of Contents

|                                                                                                |        |                                          |          |                             |          |                                    |          |                                                  |        |        |         |        |        |   |          |        |
|------------------------------------------------------------------------------------------------|--------|------------------------------------------|----------|-----------------------------|----------|------------------------------------|----------|--------------------------------------------------|--------|--------|---------|--------|--------|---|----------|--------|
|                                                                                           |   | For the Three Months Ended June 30, 2010 |
| 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 Ineffectiveness (1) |     | Effect of Derivatives on Net Interest Income (2) |
| (in thousands)                                                                                 |   |                                     |     |                        |     |                               |     |                                             |
| Advances                                                                                       |   | $                                        | (31,464  | )                           |     | $                                  | 28,282   |                                             |   | $      | (3,182  | )      |   | $ | (63,264  | )      |
| AFS securities                                                                                 |   | (6,266                                   | )        |                        | 6,493    |                               |     | 227                                              |   |   | (1,492  | )      |
| Consolidated obligation bonds                                                                  |   | 190,666                                  |     |                        | (168,445 | )                                  |     | 22,221                                           |   |   | 69,114  |   |
| Consolidated obligation discount notes                                                         |   | 171                                      |     |                        | (244     | )                                  |     | (73                                              | )      |   | 50      |   |
| Total                                                                                          |   | $                                        | 153,107  |                        |     | $                                  | (133,914 | )                                                |   | $      | 19,193  |   |   | $ | 4,408    |   |
|                                                                                           |   |                                     |     |                        |     |                               |     |                                             |
|                                                                                           |   | For the Three Months Ended June 30, 2009 |
| (Loss) Gain on Derivatives and on the Related Hedged Items in Fair Value Hedging Relationships |   | (Loss) Gain on Derivatives               |     | Gain (Loss) on Hedged Items |     | Net Hedge Ineffectiveness (1) |     | Effect of Derivatives on Net Interest Income (2) |
| (in thousands)                                                                                 |   |                                     |     |                        |     |                               |     |                                             |
| Advances                                                                                       |   | $                                        | 5,646    |                        |     | $                                  | (5,500   | )                                                |   | $      | 146     |   |   | $ | (72,754  | )      |
| Consolidated obligation bonds                                                                  |   | (209,529                                 | )        |                        | 201,128  |                               |     | (8,401                                           | )      |   | 58,660  |   |
| Consolidated obligation discount notes                                                         |   | 9,952                                    |     |                        | (10,104  | )                                  |     | (152                                             | )      |   | 5,020   |   |
| Total                                                                                          |   | $                                        | (193,931 | )                           |     | $                                  | 185,524  |                                             |   | $      | (8,407  | )      |   | $ | (9,074   | )      |
|                                                                                           |   |                                     |     |                        |     |                               |     |                                             |
|                                                                                           |   | For the Six Months Ended June 30, 2010   |
| 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 Ineffectiveness (1) |     | Effect of Derivatives on Net Interest Income (2) |
| (in thousands)                                                                                 |   |                                     |     |                        |     |                               |     |                                             |
| Advances                                                                                       |   | $                                        | (31,068  | )                           |     | $                                  | 28,462   |                                             |   | $      | (2,606  | )      |   | $ | (141,593 | )      |
| AFS securities                                                                                 |   | (6,266                                   | )        |                        | 6,493    |                               |     | 227                                              |   |   | (1,492  | )      |
| Consolidated obligation bonds                                                                  |   | 240,519                                  |     |                        | (219,065 | )                                  |     | 21,454                                           |   |   | 137,342 |   |
| Consolidated obligation discount notes                                                         |   | (2,556                                   | )        |                        | 2,933    |                               |     | 377                                              |   |   | 2,692   |   |
| Total                                                                                          |   | $                                        | 200,629  |                        |     | $                                  | (181,177 | )                                                |   | $      | 19,452  |   |   | $ | (3,051   | )      |
|                                                                                           |   |                                     |     |                        |     |                               |     |                                             |
|                                                                                           |   | For the Six Months Ended June 30, 2009   |
| (Loss) Gain on Derivatives and on the Related Hedged Items in Fair Value Hedging Relationships |   | (Loss) Gain on Derivatives               |     | Gain (Loss) on Hedged Items |     | Net Hedge Ineffectiveness (1) |     | Effect of Derivatives on Net Interest Income (2) |
| (in thousands)                                                                                 |   |                                     |     |                        |     |                               |     |                                             |
| Advances                                                                                       |   | $                                        | 9,928    |                        |     | $                                  | (13,945  | )                                                |   | $      | (4,017  | )      |   | $ | (128,245 | )      |
| Consolidated obligation bonds                                                                  |   | (268,426                                 | )        |                        | 259,971  |                               |     | (8,455                                           | )      |   | 116,762 |   |
| Consolidated obligation discount notes                                                         |   | 3,074                                    |     |                        | (1,878   | )                                  |     | 1,196                                            |   |   | 8,951   |   |
| Total                                                                                          |   | $                                        | (255,424 | )                           |     | $                                  | 244,148  |                                             |   | $      | (11,276 | )      |   | $ | (2,532   | )      |

|     |                                                                                                                                                        |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------|
| (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. |

----

Table of Contents

|                                        |        |            |            |           |        |                                 |            |        |        |      |        |
|----------------------------------------|--------|------------|------------|-----------|--------|---------------------------------|------------|--------|--------|------|--------|
| Consolidated Obligation Discount Notes |   | Book Value |       | Par Value |   | Weighted-Average Interest Rate* |
| (in thousands, except interest rates)  |   |       |       |      |   |                            |
| As of June 30, 2010                    |   | $          | 11,359,284 |      |   | $                               | 11,362,278 |   |   | 0.14 |   |
| As of December 31, 2009                |   | $          | 18,501,642 |      |   | $                               | 18,502,949 |   |   | 0.23 |   |

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

|                                                     |        |                     |            |                                |        |        |         |                                |            |            |        |        |      |        |
|-----------------------------------------------------|--------|---------------------|------------|--------------------------------|--------|--------|---------|--------------------------------|------------|------------|--------|--------|------|--------|
|                                                |   | As of June 30, 2010 |       | As of December 31, 2009        |
| Term-to-Maturity and Weighted-Average Interest Rate |   | Amount              |       | Weighted-Average Interest Rate |   | Amount |    | Weighted-Average Interest Rate |
| (in thousands, except interest rates)               |   |                |       |                           |   |   |    |                           |
| Due in one year or less                             |   | $                   | 11,764,745 |                           |   | 1.00   |    |                           | $          | 11,264,000 |   |   | 1.12 |   |
| Due after one year through two years                |   | 7,849,550           |       |                           | 1.23   |   |    | 3,656,595                      |       |       | 1.81   |   |
| Due after two years through three years             |   | 4,014,000           |       |                           | 2.18   |   |    | 4,894,000                      |       |       | 2.55   |   |
| Due after three years through four years            |   | 3,013,000           |       |                           | 3.21   |   |    | 2,772,000                      |       |       | 3.10   |   |
| Due after four years through five years             |   | 2,099,500           |       |                           | 2.99   |   |    | 2,297,500                      |       |       | 3.74   |   |
| Thereafter                                          |   | 4,908,270           |       |                           | 4.72   |   |    | 4,794,270                      |       |       | 5.01   |   |
| Total par value                                     |   | 33,649,065          |       |                           | 2.06   |   |    | 29,678,365                     |       |       | 2.46   |   |
| Premiums                                            |   | 10,249              |       |                           |   |   | 11,388  |                           |       |       |
| Discounts                                           |   | (22,984             | )          |                           |   |   | (25,095 | )                              |       |       |
| Hedging adjustments                                 |   | 296,973             |       |                           |   |   | 97,571  |                           |       |       |
| Total                                               |   | $                   | 33,933,303 |                           |   |   |    | $                              | 29,762,229 |       |   |   |

----

Table of Contents

|                                          |        |                     |         |                                 |        |           |         |                                 |        |   |           |        |        |   |         |   |
|------------------------------------------|--------|---------------------|---------|---------------------------------|--------|-----------|---------|---------------------------------|--------|---|-----------|--------|--------|---|---------|---|
|                                     |   | As of June 30, 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 | ) |

|                                            |        |               |            |                   |            |        |            |        |
|--------------------------------------------|--------|---------------|------------|-------------------|------------|--------|------------|--------|
|                                       |   | As of         |       | As of             |
| Par Value of Consolidated Obligation Bonds |   | June 30, 2010 |       | December 31, 2009 |
| (in thousands)                             |   |          |       |              |
| Non-callable                               |   | $             | 19,229,065 |              |       | $      | 18,727,565 |   |
| Callable                                   |   | 14,420,000    |       |              | 10,950,800 |   |
| Total par value                            |   | $             | 33,649,065 |              |       | $      | 29,678,365 |   |

|                                          |        |                    |            |                        |           |        |            |        |
|------------------------------------------|--------|--------------------|------------|------------------------|-----------|--------|------------|--------|
|                                     |   | As of              |       | As of                  |
| Term-to-Maturity or Next Call Date       |   | June 30, 2010 |       | December 31, 2009 |
| (in thousands)                           |   |               |       |                   |
| Due in one year or less                  |   | $                  | 20,878,745 |                   |      | $      | 21,689,800 |   |
| Due after one year through two years     |   | 6,784,550          |       |                   | 1,875,795 |   |
| Due after two years through three years  |   | 1,754,000          |       |                   | 1,674,000 |   |
| Due after three years through four years |   | 1,253,000          |       |                   | 1,217,000 |   |
| Due after four years through five years  |   | 899,500            |       |                   | 927,500   |   |
| Thereafter                               |   | 2,079,270          |       |                   | 2,294,270 |   |
| Total par value                          |   | $                  | 33,649,065 |                   |      | $      | 29,678,365 |   |

|                                    |        |                     |            |                            |        |           |        |                            |        |            |         |        |       |        |
|------------------------------------|--------|---------------------|------------|----------------------------|--------|-----------|--------|----------------------------|--------|------------|---------|--------|-------|--------|
|                               |   | As of June 30, 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                              |   | $                   | 24,752,065 |                       |   | 73.5      |   |                       | $      | 23,772,365 |    |   | 80.1  |   |
| Step-up                            |   | 4,496,000           |       |                       | 13.4   |      |   | 4,160,000                  |   |       | 14.0    |   |
| Variable                           |   | 4,000,000           |       |                       | 11.9   |      |   | 1,569,000                  |   |       | 5.3     |   |
| Capped variable                    |   | 200,000             |       |                       | 0.6    |      |   | —                    |   |       | — |   |
| Range                              |   | 201,000             |       |                       | 0.6    |      |   | 177,000                    |   |       | 0.6     |   |
| Total par value                    |   | $                   | 33,649,065 |                       |   | 100.0     |   |                       | $      | 29,678,365 |    |   | 100.0 |   |

----

Table of Contents

|                                                                              |        |                       |         |                       |        |   |           |        |
|------------------------------------------------------------------------------|--------|-----------------------|---------|-----------------------|--------|---|-----------|--------|
| 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 (1)           |    | Yes                   |
| Statutory redemption period (2)                                              |   | Six months            |    | Five years            |
| Total outstanding balance                                                    |   |                  |    |                  |
| June 30, 2010                                                                |   | $                     | 158,865 |                  |   | $ | 2,638,844 |   |
| December 31, 2009                                                            |   | $                     | 158,864 |                  |   | $ | 2,637,330 |   |

|     |                                                                                                                                                                                                                                                                                                                                                                                                                                  |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | On May 12, 2009, as part of the Seattle Bank's efforts to correct its risk-based capital deficiency, the Board suspended the issuance of Class A capital stock to support new advances, effective June 1, 2009. New advances must be supported by Class B capital stock, which unlike Class A capital stock, is included in the Seattle Bank's permanent capital (against which our risk-based capital requirement is measured). |
| (2) | 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.                                                                                                                                                               |

|                                                                      |        |                                   |         |                      |         |                      |           |                      |        |        |         |        |        |   |           |        |
|----------------------------------------------------------------------|--------|-----------------------------------|---------|----------------------|---------|----------------------|-----------|----------------------|--------|--------|---------|--------|--------|---|-----------|--------|
|                                                                 |   | For the Six Months Ended June 30, |
|                                                                 |   | 2010                              |    | 2009                 |
| Capital Stock Activity                                               |   | Class ACapital Stock              |    | Class BCapital Stock |    | Class ACapital Stock |      | Class BCapital 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                              |   | —                           |    |                 | 1,514   |                 |      | 19,535               |   |   | 4,571   |   |
| Total capital stock purchases                                        |   | —                           |    |                 | 1,514   |                 |      | 19,535               |   |   | 8,444   |   |
| Capital stock transferred from mandatorily redeemable capital stock: |   |                              |    |                 |    |                 |      |                 |
| Transfers between shareholders                                       |   | —                           |    |                 | 2,486   |                 |      | —              |   |   | 381     |   |
| Cancellation of membership withdrawal requests                       |   | 1                                 |    |                 | 660     |                 |      | —              |   |   | 79      |   |
| Capital stock transferred to mandatorily redeemable capital stock:   |   |                              |    |                 |    |                 |      |                 |
| Withdrawals/involuntary redemptions                                  |   | —                           |    |                 | (1,740  | )                    |      | (2,253               | )      |   | (3,911  | )      |
| Redemption requests past redemption date                             |   | —                           |    |                 | (7,984  | )                    |      | —              |   |   | — |   |
| Net transfers from (to) mandatorily redeemable capital stock         |   | 1                                 |    |                 | (6,578  | )                    |      | (2,253               | )      |   | (3,451  | )      |
| Balance, end of period                                               |   | $                                 | 132,519 |                 |    | $                    | 1,712,085 |                 |   | $      | 135,135 |   |   | $ | 1,735,280 |   |

----

Table of Contents

|                                   |        |                     |           |                         |        |          |           |        |        |        |           |        |        |   |           |        |
|-----------------------------------|--------|---------------------|-----------|-------------------------|--------|----------|-----------|--------|--------|--------|-----------|--------|--------|---|-----------|--------|
|                              |   | As of June 30, 2010 |      | As of December 31, 2009 |
| Regulatory Capital Requirements   |   | Required            |      | Actual                  |   | Required |      | Actual |
| (in thousands, except for ratios) |   |                |      |                    |   |     |      |   |
| Risk-based capital                |   | $                   | 2,024,282 |                    |   | $        | 2,706,009 |   |   | $      | 2,158,493 |   |   | $ | 2,690,227 |   |
| Total capital-to-assets ratio     |   | 4.00                | %         |                    | 5.96   | %        |      | 4.00   | %      |   | 5.58      | %      |
| Total regulatory capital          |   | $                   | 1,924,144 |                    |   | $        | 2,864,874 |   |   | $      | 2,043,779 |   |   | $ | 2,849,091 |   |
| Leverage capital-to-assets ratio  |   | 5.00                | %         |                    | 8.77   | %        |      | 5.00   | %      |   | 8.21      | %      |
| Leverage capital                  |   | $                   | 2,405,180 |                    |   | $        | 4,217,879 |   |   | $      | 2,554,724 |   |   | $ | 4,194,205 |   |

----

Table of Contents

----

Table of Contents

|                                                            |        |                      |        |                         |         |                      |         |                      |        |        |         |        |        |   |         |        |
|------------------------------------------------------------|--------|----------------------|--------|-------------------------|---------|----------------------|---------|----------------------|--------|--------|---------|--------|--------|---|---------|--------|
|                                                       |   | As of June 30, 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 |                    |    | $                    | 127,457 |                 |   | $      | 26,346  |   |   | $ | 62,302  |   |
| Less than one year                                         |   | —              |   |                    | 3,439   |                 |    | —              |   |   | 59,332  |   |
| One year through two years                                 |   | —              |   |                    | 14,185  |                 |    | —              |   |   | 2,994   |   |
| Two years through three years                              |   | —              |   |                    | 147     |                 |    | —              |   |   | 13,544  |   |
| Three years through four years                             |   | —              |   |                    | 759,082 |                 |    | —              |   |   | 757,648 |   |
| Four years through five years                              |   | —              |   |                    | 22,449  |                 |    | —              |   |   | 24,361  |   |
| Total                                                      |   | $                    | 26,346 |                    |    | $                    | 926,759 |                 |   | $      | 26,346  |   |   | $ | 920,181 |   |

|                                                                   |        |                      |        |                         |        |                      |         |                      |        |        |         |        |        |   |         |        |
|-------------------------------------------------------------------|--------|----------------------|--------|-------------------------|--------|----------------------|---------|----------------------|--------|--------|---------|--------|--------|---|---------|--------|
|                                                              |   | As of June 30, 2010  |   | As of December 31, 2009 |
| Class A and Class B Capital Stock - Voluntary Redemptions by Date |   | Class ACapital Stock |   | Class BCapital Stock    |   | Class ACapital Stock |    | Class BCapital Stock |
| (in thousands)                                                    |   |                 |   |                    |   |                 |    |                 |
| Less than one year                                                |   | $                    | 698    |                    |   | $                    | 61,122  |                 |   | $      | — |   |   | $ | 65,163  |   |
| One year through two years                                        |   | —              |   |                    | 71,702 |                 |    | —              |   |   | 11,482  |   |
| Two years through three years                                     |   | —              |   |                    | 30,346 |                 |    | —              |   |   | 67,511  |   |
| Three years through four years                                    |   | —              |   |                    | 22,922 |                 |    | —              |   |   | 45,897  |   |
| Four years through five years                                     |   | —              |   |                    | 21,113 |                 |    | —              |   |   | 24,331  |   |
| Total                                                             |   | $                    | 698    |                    |   | $                    | 207,205 |                 |   | $      | — |   |   | $ | 214,384 |   |

----

Table of Contents

|                                                                                               |        |               |        |                |            |                |            |          |        |        |            |        |        |   |            |   |
|-----------------------------------------------------------------------------------------------|--------|---------------|--------|----------------|------------|----------------|------------|----------|--------|--------|------------|--------|--------|---|------------|---|
| 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                                                               |   | —       |   |           | (1,080,346 | )              |       | —  |   |   | (1,080,346 | )      |
| Reclassification adjustment into earnings relating to non-credit portion of OTTI loss         |   | —       |   |           | 58,571     |           |       | —  |   |   | 58,571     |   |
| Accretion of non-credit portion of OTTI loss                                                  |   | —       |   |           | 80,681     |           |       | —  |   |   | 80,681     |   |
| Pension benefits                                                                              |   | (689          | )      |           | —    |           |       | —  |   |   | (689       | )      |
| Balance, June 30, 2009                                                                        |   | $             | (3,628 | )              |       | $              | (1,234,509 | )        |   | $      | —    |   |   | $ | (1,238,137 | ) |
| Balance, December 31, 2009                                                                    |   | $             | (3,098 | )              |       | $              | (209,292   | )        |   | $      | (696,426   | )      |   | $ | (908,816   | ) |
| Non-PLMBS                                                                                     |   |          |   |           |       |           |       |     |
| Unrealized loss on AFS securities                                                             |   | —       |   |           | —    |           |       | 5,328    |   |   | 5,328      |   |
| OTTI PLMBS                                                                                    |   |          |   |           |       |           |       |     |
| Non-credit portion of OTTI loss                                                               |   | —       |   |           | (141,057   | )              |       | —  |   |   | (141,057   | )      |
| Reclassification of non-credit portion of OTTI loss on securities transferred from HTM to AFS |   | —       |   |           | 155,278    |           |       | (155,278 | )      |   | —    |   |
| Reclassification adjustment into earnings relating to non-credit portion of OTTI loss         |   | —       |   |           | 4,904      |           |       | 57,363   |   |   | 62,267     |   |
| Accretion of non-credit portion of OTTI loss                                                  |   | —       |   |           | 24,251     |           |       | —  |   |   | 24,251     |   |
| Subsequent unrealized changes in fair value                                                   |   | —       |   |           | —    |           |       | 134,669  |   |   | 134,669    |   |
| Pension benefits                                                                              |   | 193           |   |           | —    |           |       | —  |   |   | 193        |   |
| Balance, June 30, 2010                                                                        |   | $             | (2,905 | )              |       | $              | (165,916   | )        |   | $      | (654,344   | )      |   | $ | (823,165   | ) |

|                                                             |        |                            |        |                          |        |        |        |        |        |        |     |        |        |   |     |        |
|-------------------------------------------------------------|--------|----------------------------|--------|--------------------------|--------|--------|--------|--------|--------|--------|-----|--------|--------|---|-----|--------|
|                                                        |   | For the Three Months Ended |   | For the Six Months Ended |
|                                                        |   | June 30,                   |   | June 30,                 |
| Net Periodic Pension Cost for Supplemental Retirement Plans |   | 2010                       |   | 2009                     |   | 2010   |   | 2009   |
| (in thousands)                                              |   |                       |   |                     |   |   |   |   |
| Service cost                                                |   | $                          | 102    |                     |   | $      | 80     |   |   | $      | 205 |   |   | $ | 160 |   |
| Interest cost                                               |   | 102                        |   |                     | 74     |   |   | 205    |   |   | 147 |   |
| Amortization of prior service cost                          |   | 67                         |   |                     | 40     |   |   | 134    |   |   | 79  |   |
| Total                                                       |   | $                          | 271    |                     |   | $      | 194    |   |   | $      | 544 |   |   | $ | 386 |   |

----

Table of Contents

----

Table of Contents

----

Table of Contents

----

Table of Contents

|                                                |        |                     |           |         |         |         |         |           |        |                     |           |        |        |          |           |        |        |   |          |        |
|------------------------------------------------|--------|---------------------|-----------|---------|---------|---------|---------|-----------|--------|---------------------|-----------|--------|--------|----------|-----------|--------|--------|---|----------|--------|
|                                           |   | As of June 30, 2010 |
| Recurring Fair Value Measurement               |   | Total               |      | Level 1 |    | Level 2 |    | Level 3   |   | NettingAdjustment * |
| (in thousands)                                 |   |                |      |    |    |    |    |      |   |                |
| AFS securities:                                |   |                |      |    |    |    |    |      |   |                |
| PLMBS                                          |   | $                   | 1,204,730 |    |    | $       | — |      |   | $                   | —   |   |   | $        | 1,204,730 |   |   | $ | —  |   |
| TLGP securities                                |   | 3,599,513           |      |    | — |    |    | 3,599,513 |   |                | —   |   |   | —  |      |
| GSE obligations                                |   | 3,525,470           |      |    | — |    |    | 3,525,470 |   |                | —   |   |   | —  |      |
| Derivative assets (interest-rate related)      |   | 12,290              |      |    | — |    |    | 281,500   |   |                | —   |   |   | (269,210 | )         |
| Other assets (rabbi trust)                     |   | 3,338               |      |    | 3,338   |    |    | —   |   |                | —   |   |   | —  |      |
| Total assets at fair value                     |   | $                   | 8,345,341 |    |    | $       | 3,338   |      |   | $                   | 7,406,483 |   |   | $        | 1,204,730 |   |   | $ | (269,210 | )      |
| Derivative liabilities (interest-rate related) |   | $                   | (213,717  | )       |    | $       | — |      |   | $                   | (488,451  | )      |   | $        | —   |   |   | $ | 274,734  |   |
| Total liabilities at fair value                |   | $                   | (213,717  | )       |    | $       | — |      |   | $                   | (488,451  | )      |   | $        | —   |   |   | $ | 274,734  |   |

|                                                |        |                         |          |         |         |         |         |         |        |                     |          |        |        |          |         |        |        |         |          |        |
|------------------------------------------------|--------|-------------------------|----------|---------|---------|---------|---------|---------|--------|---------------------|----------|--------|--------|----------|---------|--------|--------|---------|----------|--------|
|                                           |   | As of December 31, 2009 |
| Recurring Fair Value Measurement               |   | Total                   |     | Level 1 |    | Level 2 |    | Level 3 |   | NettingAdjustment * |
| (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. |

|                                                                                     |        |                                        |           |        |
|-------------------------------------------------------------------------------------|--------|----------------------------------------|-----------|--------|
|                                                                                |   |  AFS PLMBS                        |
| Fair Value Measurements Using Significant Unobservable Inputs                       |   | For the Six Months Ended June 30, 2010 |
| (in thousands)                                                                      |   |                                   |
| Balance as of December 31, 2009                                                     |   | $                                      | 976,870   |   |
| Transfers from HTM to AFS securities (1)                                       |   | 198,012                                |      |
| Realized/unrealized gains or (losses) on changes in fair value included in earnings |   | (57,463                                | )         |
| Unrealized gains or (losses) in accumulated other comprehensive loss                |   | 187,291                                |      |
| Settlements                                                                         |   | (99,980                                | )         |
| Balance as of June 30, 2010                                                         |   | $                                      | 1,204,730 |   |

|     |                                                                                                                                                                                                                                                                                   |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | In 2010, we transferred certain PLMBS from our HTM portfolio to our AFS portfolio with a total fair value of $198.0 million at the time of transfers. These securities were PLMBS in the HTM portfolio for which an OTTI credit loss was recorded in the period of transfer. |

----

Table of Contents

|                                       |        |                     |        |         |        |         |         |         |        |   |        |        |
|---------------------------------------|--------|---------------------|--------|---------|--------|---------|---------|---------|--------|---|--------|--------|
|                                  |   | As of June 30, 2010 |
| Non-Recurring Fair Value Measurements |   | Total               |   | Level 2 |   | Level 3 |
| (in thousands)                        |   |                |   |    |   |    |
| HTM securities                        |   | $                   | 78,813 |    |   | $       | — |    |   | $ | 78,813 |   |
| Real estate owned                     |   | 1,391               |   |    | 1,391  |    |    | — |   |
| Total assets at fair value            |   | $                   | 80,204 |    |   | $       | 1,391   |    |   | $ | 78,813 |   |

|                                       |        |                         |         |         |        |         |         |         |        |   |         |        |
|---------------------------------------|--------|-------------------------|---------|---------|--------|---------|---------|---------|--------|---|---------|--------|
|                                  |   | As of December 31, 2009 |
| Non-Recurring Fair Value Measurements |   | Total                   |    | Level 2 |   | Level 3 |
| (in thousands)                        |   |                    |    |    |   |    |
| HTM securities                        |   | $                       | 194,127 |    |   | $       | — |    |   | $ | 194,127 |   |
| Real estate owned                     |   | 1,732                   |    |    | 1,732  |    |    | — |   |
| Total assets at fair value            |   | $                       | 195,859 |    |   | $       | 1,732   |    |   | $ | 194,127 |   |

----

Table of Contents

|                                                 |        |                     |        |                         |             |                |        |             |        |        |             |        |        |   |         |        |
|-------------------------------------------------|--------|---------------------|--------|-------------------------|-------------|----------------|--------|-------------|--------|--------|-------------|--------|--------|---|---------|--------|
|                                            |   | As of June 30, 2010 |   | As of December 31, 2009 |
| Fair Values                                     |   | Carrying Value      |   | Fair Value              |        | Carrying Value |   | Fair Value  |
| (in thousands)                                  |   |                |   |                    |        |           |   |        |
| Financial Assets                                |   |                |   |                    |        |           |   |        |
| Cash and due from banks                         |   | $                   | 1,251  |                    |        | $              | 1,251  |        |   | $      | 731,430     |   |   | $ | 731,430 |   |
| Deposit with other FHLBanks                     |   | 31                  |   |                    | 31          |           |   | 32          |   |   | 32          |   |
| Securities purchased under agreements to resell |   | 6,250,000           |   |                    | 6,249,999   |           |   | 3,500,000   |   |   | 3,500,020   |   |
| Federal funds sold                              |   | 3,922,237           |   |                    | 3,922,334   |           |   | 10,051,000  |   |   | 10,051,096  |   |
| AFS securities                                  |   | 8,329,713           |   |                    | 8,329,713   |           |   | 976,870     |   |   | 976,870     |   |
| HTM securities                                  |   | 7,217,188           |   |                    | 7,069,350   |           |   | 9,288,906   |   |   | 8,884,890   |   |
| Advances                                        |   | 18,466,904          |   |                    | 18,611,868  |           |   | 22,257,026  |   |   | 22,368,341  |   |
| Mortgage loans held for portfolio, net          |   | 3,760,337           |   |                    | 4,010,875   |           |   | 4,106,195   |   |   | 4,251,866   |   |
| Accrued interest receivable                     |   | 87,351              |   |                    | 87,351      |           |   | 123,586     |   |   | 123,586     |   |
| Derivative assets                               |   | 12,290              |   |                    | 12,290      |           |   | 3,649       |   |   | 3,649       |   |
| Financial Liabilities                           |   |                |   |                    |        |           |   |        |
| Deposits                                        |   | (342,990            | )      |                    | (342,990    | )              |   | (339,800    | )      |   | (339,801    | )      |
| Consolidated obligations, net:                  |   |                |   |                    |        |           |   |        |
| Discount notes                                  |   | (11,359,284         | )      |                    | (11,358,612 | )              |   | (18,501,642 | )      |   | (18,501,216 | )      |
| Bonds                                           |   | (33,933,303         | )      |                    | (34,466,324 | )              |   | (29,762,229 | )      |   | (30,095,231 | )      |
| Mandatorily redeemable capital stock            |   | (953,105            | )      |                    | (953,105    | )              |   | (946,527    | )      |   | (946,527    | )      |
| Accrued interest payable                        |   | (170,693            | )      |                    | (170,693    | )              |   | (207,842    | )      |   | (207,842    | )      |
| Derivative liabilities                          |   | (213,717            | )      |                    | (213,717    | )              |   | (300,030    | )      |   | (300,030    | )      |
| Other                                           |   |                |   |                    |        |           |   |        |
| Commitments to extend credit for advances       |   | (612                | )      |                    | (612        | )              |   | (649        | )      |   | (649        | )      |
| Commitments to issue consolidated obligations   |   | (1,719,682          | )      |                    | (1,712,954  | )              |   | —     |   |   | 8,938       |   |

----

Table of Contents

|                                                 |        |                    |         |                        |            |        |         |        |
|-------------------------------------------------|--------|--------------------|---------|------------------------|------------|--------|---------|--------|
|                                            |   | As of              |    | As of                  |
| Balances with Related Parties                   |   | June 30, 2010 |    | December 31, 2009 |
| (in thousands)                                  |   |               |    |                   |
| Assets                                          |   |               |    |                   |
| Securities purchased under agreements to resell |   | $                  | 500,000 |                   |       | $      | 500,000 |   |
| Federal funds sold                              |   | 194,000            |    |                   |       |
| AFS securities                                  |   | 2,006,886          |    |                   | 454,457    |   |
| HTM securities                                  |   | 599,899            |    |                   | 846,041    |   |
| Advances (par value)                            |   | 8,402,651          |    |                   | 9,790,069  |   |
| Mortgage loans held for portfolio               |   | 3,293,607          |    |                   | 3,593,551  |   |
| Liabilities and Capital                         |   |               |    |                   |
| Deposits                                        |   | 37,013             |    |                   | 16,641     |   |
| Mandatorily redeemable capital stock            |   | 790,764            |    |                   | 790,764    |   |
| Class B capital stock                           |   | 737,698            |    |                   | 737,698    |   |
| Class A capital stock                           |   | 4,784              |    |                   | 4,784      |   |
| Other comprehensive loss - non-credit OTTI      |   | (367,009           | )       |                   | (357,737   | )      |
| Notional amount of derivatives                  |   | 8,347,205          |    |                   | 12,198,343 |   |

|                                                 |        |                            |        |                          |         |        |         |         |        |        |         |        |        |   |         |        |
|-------------------------------------------------|--------|----------------------------|--------|--------------------------|---------|--------|---------|---------|--------|--------|---------|--------|--------|---|---------|--------|
|                                            |   | For the Three Months Ended |   | For the Six Months Ended |
|                                            |   | June 30,                   |   | June 30,                 |
| Income and Expense with Related Parties         |   | 2010                       |   | 2009                     |    | 2010   |    | 2009    |
| (in thousands)                                  |   |                       |   |                     |    |   |    |    |
| Income                                          |   |                       |   |                     |    |   |    |    |
| Advances, net *                                 |   | $                          | 3,905  |                     |    | $      | 136,867 |    |   | $      | 15,918  |   |   | $ | 245,959 |   |
| Securities purchased under agreements to resell |   | 1,098                      |   |                     | 1,445   |   |    | 1,728   |   |   | 2,530   |   |
| Federal funds sold                              |   | 142                        |   |                     | 57      |   |    | 173     |   |   | 152     |   |
| AFS securities                                  |   | 3,188                      |   |                     | — |   |    | 5,206   |   |   | — |   |
| HTM securities                                  |   | 4,225                      |   |                     | 7,906   |   |    | 8,526   |   |   | 19,228  |   |
| Mortgage loans held for portfolio               |   | 43,075                     |   |                     | 54,535  |   |    | 86,637  |   |   | 110,399 |   |
| Net OTTI credit loss                            |   | (25,598                    | )      |                     | (31,150 | )      |    | (38,257 | )      |   | (61,016 | )      |
|      Total             |   | 30,035                     |   |                     | 169,660 |   |    | 79,931  |   |   | 317,252 |   |
| Expense                                         |   |                       |   |                     |    |   |    |    |
| Deposits                                        |   | 4                          |   |                     | 3       |   |    | 5       |   |   | 16      |   |
|      Total             |   | 4                          |   |                     | 3       |   |    | 5       |   |   | 16      |   |

|   |                                                                                                                   |
|---|-------------------------------------------------------------------------------------------------------------------|
| * | Includes prepayment fee income and the effect of associated derivatives with related parties or their affiliates. |

----

Table of Contents

|                                                   |        |                            |         |                          |         |        |         |         |        |        |         |        |        |   |         |        |
|---------------------------------------------------|--------|----------------------------|---------|--------------------------|---------|--------|---------|---------|--------|--------|---------|--------|--------|---|---------|--------|
|                                              |   | For the Three Months Ended |    | For the Six Months Ended |
|                                              |   | June 30,                   |    | June 30,                 |
| Loans from to Other FHLBanks and Related Interest |   | 2010                       |    | 2009                     |    | 2010   |    | 2009    |
| (in thousands)                                    |   |                       |    |                     |    |   |    |    |
| Loans from the Seattle Bank                       |   |                       |    |                     |    |   |    |    |
| Principal loaned                                  |   | $                          | 135,000 |                     |    | $      | — |    |   | $      | 165,000 |   |   | $ | — |   |
| Principal repaid                                  |   | 135,000                    |    |                     | — |   |    | 165,000 |   |   | — |   |
| Interest income earned                            |   | 1                          |    |                     | — |   |    | 1       |   |   | — |   |
| Loans to the Seattle Bank                         |   |                       |    |                     |    |   |    |    |
| Principal loaned                                  |   | —                    |    |                     | 50,000  |   |    | — |   |   | 300,000 |   |
| Principal repaid                                  |   | —                    |    |                     | 50,000  |   |    | — |   |   | 300,000 |   |
| Interest income paid                              |   | —                    |    |                     | — |   |    | — |   |   | 1       |   |

|                                       |        |                      |         |                        |        |   |         |        |
|---------------------------------------|--------|----------------------|---------|------------------------|--------|---|---------|--------|
|                                  |   | As of                |    | As of                  |
| Outstanding Standby Letters of Credit |   | June 30, 2010   |    | December 31, 2009 |
| (in thousands, except years)          |   |                 |    |                   |
| Outstanding notional                  |   | $                    | 951,601 |                   |   | $ | 932,910 |   |
| Original terms                        |   | 29 days to 7.5 years |    | 20 days to 7.5 years   |
| Final expiration year                 |   | 2012                 |    | 2012                   |
| Commitment notional                   |   | $                    | 50,000  |                   |   | $ | 50,000  |   |
| Original terms                        |   | 2 years              |    | 2 years                |
| Final expiration year                 |   | 2012                 |    | 2010                   |

----

Table of Contents

----

Table of Contents

----

Table of Contents

----

Table of Contents

----

Table of Contents

|                                                    |        |                                          |        |                                        |         |                   |        |               |        |                       |        |                   |        |         |        |        |        |        |         |        |        |   |         |        |
|----------------------------------------------------|--------|------------------------------------------|--------|----------------------------------------|---------|-------------------|--------|---------------|--------|-----------------------|--------|-------------------|--------|---------|--------|--------|--------|--------|---------|--------|--------|---|---------|--------|
|                                               |   | For the Three Months Ended June 30, 2010 |   | For the Six Months Ended June 30, 2010 |
| OTTI PLMBS                                         |   | Credit Losses                            |   | Net Non-Credit Losses                  |    | Total OTTI Losses |   | Credit Losses |   | Net Non-Credit Losses |   | Total OTTI Losses |
| (in thousands)                                     |   |                                     |   |                                   |    |              |   |          |   |                  |   |              |
| PLMBS newly identified as OTTI in the period noted |   | $                                        | 1,342  |                                   |    | $                 | 85,619 |          |   | $                     | 86,961 |              |   | $       | 3,798  |   |   | $      | 131,465 |   |   | $ | 135,263 |   |
| PLMBS identified as OTTI in prior periods          |   | 45,464                                   |   |                                   | (44,443 | )                 |   | 1,021         |   |                  | 62,648 |              |   | (52,675 | )      |   | 9,973  |   |
| Total                                              |   | $                                        | 46,806 |                                   |    | $                 | 41,176 |          |   | $                     | 87,982 |              |   | $       | 66,446 |   |   | $      | 78,790  |   |   | $ | 145,236 |   |

----

Table of Contents

|                                                       |        |                    |        |                |        |                        |        |                    |        |                    |         |        |        |         |        |        |        |   |        |        |
|-------------------------------------------------------|--------|--------------------|--------|----------------|--------|------------------------|--------|--------------------|--------|--------------------|---------|--------|--------|---------|--------|--------|--------|---|--------|--------|
| Selected Financial Data                               |   | June 30, 2010 |   | March 31, 2010 |   | December 31, 2009 |   | September 30, 2009 |   | June 30, 2009 |
| (in millions, except ratios)                          |   |               |   |           |   |                   |   |               |   |               |
| Statements of Condition (at period end)               |   |               |   |           |   |                   |   |               |   |               |
| Total assets                                          |   | $                  | 48,104 |           |   | $                      | 51,822 |               |   | $                  | 51,094  |   |   | $       | 54,087 |   |   | $ | 49,384 |   |
| Investments (1)                                       |   | 25,719             |   |           | 27,896 |                   |   | 23,817             |   |               | 24,717  |   |   | 16,358  |   |
| Advances                                              |   | 18,467             |   |           | 19,865 |                   |   | 22,257             |   |               | 24,908  |   |   | 28,257  |   |
| Mortgage loans held for portfolio, net (2)            |   | 3,760              |   |           | 3,924  |                   |   | 4,107              |   |               | 4,293   |   |   | 4,571   |   |
| Deposits and other borrowings                         |   | 343                |   |           | 371    |                   |   | 340                |   |               | 285     |   |   | 778     |   |
| Consolidated obligations, net:                        |   |               |   |           |   |                   |   |               |   |               |
| Discount notes                                        |   | 11,359             |   |           | 17,467 |                   |   | 18,502             |   |               | 21,678  |   |   | 16,078  |   |
| Bonds                                                 |   | 33,933             |   |           | 30,734 |                   |   | 29,762             |   |               | 29,754  |   |   | 29,983  |   |
| Total consolidated obligations, net                   |   | 45,292             |   |           | 48,201 |                   |   | 48,264             |   |               | 51,432  |   |   | 46,061  |   |
| Mandatorily redeemable capital stock                  |   | 953                |   |           | 948    |                   |   | 946                |   |               | 942     |   |   | 921     |   |
| AHP payable                                           |   | 7                  |   |           | 8      |                   |   | 9                  |   |               | 10      |   |   | 13      |   |
| REFCORP payable (receivable)                          |   | (16                | )      |           | (18    | )                      |   | (20                | )      |               | (20     | )      |   | (20     | )      |
| Capital stock:                                        |   |               |   |           |   |                   |   |               |   |               |
| Class A capital stock - putable                       |   | 133                |   |           | 133    |                   |   | 133                |   |               | 135     |   |   | 135     |   |
| Class B capital stock  - putable            |   | 1,712              |   |           | 1,715  |                   |   | 1,717              |   |               | 1,718   |   |   | 1,735   |   |
| Total capital stock                                   |   | 1,845              |   |           | 1,848  |                   |   | 1,850              |   |               | 1,853   |   |   | 1,870   |   |
| Retained earnings                                     |   | 66                 |   |           | 58     |                   |   | 52                 |   |               | 70      |   |   | 164     |   |
| Accumulated other comprehensive loss                  |   | (822               | )      |           | (855   | )                      |   | (909               | )      |               | (996    | )      |   | (1,238  | )      |
| Total capital                                         |   | 1,089              |   |           | 1,051  |                   |   | 993                |   |               | 927     |   |   | 796     |   |
|                                                  |   |               |   |           |   |                   |   |               |   |               |
| Statements of Operations (for the three months ended) |   |               |   |           |   |                   |   |               |   |               |
| Interest income                                       |   | $                  | 158    |           |   | $                      | 148    |               |   | $                  | 157     |   |   | $       | 183    |   |   | $ | 223    |   |
| Net interest income                                   |   | 49                 |   |           | 42     |                   |   | 45                 |   |               | 48      |   |   | 48      |   |
| Other loss                                            |   | (25                | )      |           | (19    | )                      |   | (48                | )      |               | (127    | )      |   | (69     | )      |
| Other expense                                         |   | 12                 |   |           | 15     |                   |   | 14                 |   |               | 14      |   |   | 13      |   |
| Income (loss) before assessments                      |   | 11                 |   |           | 8      |                   |   | (18                | )      |               | (93     | )      |   | (35     | )      |
| AHP and REFCORP assessments                           |   | 3                  |   |           | 2      |                   |   | —            |   |               | — |   |   | — |   |
| Net income (loss)                                     |   | 8                  |   |           | 6      |                   |   | (18                | )      |               | (93     | )      |   | (35     | )      |
|                                                  |   |               |   |           |   |                   |   |               |   |               |
| Financial Statistics (for the three months ended)     |   |               |   |           |   |                   |   |               |   |               |
| Return on average equity                              |   | 2.93               | %      |           | 2.34   | %                      |   | (6.98              | )%     |               | (43.94  | )%     |   | (13.58  | )%     |
| Return on average assets                              |   | 0.06               | %      |           | 0.05   | %                      |   | (0.13              | )%     |               | (0.72   | )%     |   | (0.26   | )%     |
| Average equity to average assets                      |   | 2.19               | %      |           | 2.04   | %                      |   | 1.91               | %      |               | 1.64    | %      |   | 1.92    | %      |
| Regulatory capital ratio (3)                          |   | 5.96               | %      |           | 5.51   | %                      |   | 5.58               | %      |               | 5.30    | %      |   | 5.99    | %      |
| Net interest margin (4)                          |   | 0.39               | %      |           | 0.33   | %                      |   | 0.35               | %      |               | 0.34    | %      |   | 0.33    | %      |

|     |                                                                                                                                                                                                                                                         |
|-----|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | Investments include federal funds sold, securities purchased under agreements to resell, 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 $1.8 million, $368,000, $626,000, $271,000, and $257,000 for the quarters ended June 30, 2010, March 31, 2010, December 31, 2009, September 30, 2009, and June 30, 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 earning assets.                                                                                                                               |

----

Table of Contents

|                                                            |        |                    |        |                        |       |        |
|------------------------------------------------------------|--------|--------------------|--------|------------------------|-------|--------|
|                                                       |   | As of              |   | As of                  |
| Major Categories of Assets as a Percentage of Total Assets |   | June 30, 2010 |   | December 31, 2009 |
| (in percentages)                                           |   |               |   |                   |
| Advances                                                   |   | 38.4               |   |                   | 43.6  |   |
| Investments                                                |   | 53.5               |   |                   | 46.6  |   |
| Mortgage loans held for portfolio                          |   | 7.8                |   |                   | 8.0   |   |
| Other assets                                               |   | 0.3                |   |                   | 1.8   |   |
| Total                                                      |   | 100.0              |   |                   | 100.0 |   |

|                                                  |        |                    |        |                        |       |        |
|--------------------------------------------------|--------|--------------------|--------|------------------------|-------|--------|
| Major Categories of Liabilities and Capital      |   | As of              |   | As of                  |
| as a Percentage of Total Liabilities and Capital |   | June 30, 2010 |   | December 31, 2009 |
| (in percentages)                                 |   |               |   |                   |
| Consolidated obligations                         |   | 94.2               |   |                   | 94.5  |   |
| Deposits                                         |   | 0.7                |   |                   | 0.7   |   |
| Other liabilities *                              |   | 2.9                |   |                   | 2.9   |   |
| Total capital                                    |   | 2.2                |   |                   | 1.9   |   |
| Total                                            |   | 100.0              |   |                   | 100.0 |   |

|   |                                                                                                                                                                                |
|---|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| * | Mandatorily redeemable capital stock, representing 2.0% and 1.9% of total liabilities and capital as of June 30, 2010 and December 31, 2009, is recorded in other liabilities. |

----

Table of Contents

|                                    |        |                     |            |                         |        |        |        |                      |        |            |        |        |       |        |
|------------------------------------|--------|---------------------|------------|-------------------------|--------|--------|--------|----------------------|--------|------------|--------|--------|-------|--------|
|                               |   | As of June 30, 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                              |   | $                   | 15,390,335 |                    |   | 85.2   |   |                 | $      | 19,257,384 |   |   | 88.0  |   |
| Variable                           |   | 2,285,363           |       |                    | 12.7   |   |   | 2,250,492            |   |       | 10.3   |   |
| Floating-to-fixed convertible      |   | 370,000             |       |                    | 2.1    |   |   | 370,000              |   |       | 1.7    |   |
| Total par value                    |   | $                   | 18,045,698 |                    |   | 100.0  |   |                 | $      | 21,877,876 |   |   | 100.0 |   |

----

Table of Contents

|                                                      |        |                     |            |                                |        |        |         |                                |            |            |        |        |      |        |
|------------------------------------------------------|--------|---------------------|------------|--------------------------------|--------|--------|---------|--------------------------------|------------|------------|--------|--------|------|--------|
|                                                 |   | As of June 30, 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                              |   | $                   | 6,790,059  |                           |   | 1.44   |    |                           | $          | 12,268,149 |   |   | 1.75 |   |
| Due after one year through two years                 |   | 5,706,556           |       |                           | 1.65   |   |    | 2,893,358                      |       |       | 2.67   |   |
| Due after two years through three years              |   | 1,470,810           |       |                           | 2.96   |   |    | 1,850,076                      |       |       | 3.03   |   |
| Due after three years through four years             |   | 578,860             |       |                           | 3.35   |   |    | 1,395,149                      |       |       | 3.11   |   |
| Due after four years through five years              |   | 525,036             |       |                           | 3.24   |   |    | 293,629                        |       |       | 3.73   |   |
| Thereafter                                           |   | 2,974,377           |       |                           | 4.37   |   |    | 3,177,515                      |       |       | 4.35   |   |
| Total par value                                      |   | 18,045,698          |       |                           | 2.23   |   |    | 21,877,876                     |       |       | 2.47   |   |
| Commitment fees                                      |   | (611                | )          |                           |   |   | (650    | )                              |       |       |
| Discount on AHP advances                             |   | (54                 | )          |                           |   |   | (70     | )                              |       |       |
| Discount on advances                                 |   | (2,602              | )          |                           |   |   | (5,840  | )                              |       |       |
| Hedging adjustments                                  |   | 424,473             |       |                           |   |   | 385,710 |                           |       |       |
| Total                                                |   | $                   | 18,466,904 |                           |   |   |    | $                              | 22,257,026 |       |   |   |

|                            |        |                          |        |        |       |
|----------------------------|--------|--------------------------|--------|--------|-------|
|                       |   | For the Six Months Ended |
|                       |   | June 30,                 |
| Advance Pricing            |   | 2010                     |   | 2009   |
| (in percentages)           |   |                     |   |   |
| Differential pricing       |   | 90.7                     |   |   | 92.5  |
| Daily market-based pricing |   | 9.1                      |   |   | 7.5   |
| Auction pricing            |   | 0.2                      |   |   | 0     |
| Total                      |   | 100.0                    |   |   | 100.0 |

----

Table of Contents

|                                                 |        |                    |            |                        |            |        |            |        |
|-------------------------------------------------|--------|--------------------|------------|------------------------|------------|--------|------------|--------|
|                                            |   | As of              |       | As of                  |
| Short- and Long-Term Investments                |   | June 30, 2010 |       | December 31, 2009 |
| (in thousands)                                  |   |               |       |                   |
| Short-Term Investments                          |   |               |       |                   |
| Federal funds sold                              |   | $                  | 3,922,237  |                   |       | $      | 10,051,000 |   |
| Certificates of deposit                         |   | 1,721,000          |       |                   | 2,903,000  |   |
| Securities purchased under agreements to resell |   | 6,250,000          |       |                   | 3,500,000  |   |
| Total short-term investments                    |   | 11,893,237         |       |                   | 16,454,000 |   |
| Long-Term Investments                           |   |               |       |                   |
| MBS                                             |   | 6,163,572          |       |                   | 6,713,582  |   |
| Other U.S. agency obligations                   |   | 43,602             |       |                   | 51,684     |   |
| GSE obligations                                 |   | 4,015,289          |       |                   | 593,380    |   |
| State or local housing agency obligations       |   | 3,925              |       |                   | 4,130      |   |
| TLGP securities                                 |   | 3,599,513          |       |                   | —    |   |
| Total long-term investments                     |   | 13,825,901         |       |                   | 7,362,776  |   |
| Total investments                               |   | $                  | 25,719,138 |                   |       | $      | 23,816,776 |   |

----

Table of Contents

----

Table of Contents

|                                        |        |                          |            |        |         |        |         |         |        |                        |         |         |        |           |         |        |         |        |           |           |        |   |        |        |        |   |            |        |
|----------------------------------------|--------|--------------------------|------------|--------|---------|--------|---------|---------|--------|------------------------|---------|---------|--------|-----------|---------|--------|---------|--------|-----------|-----------|--------|---|--------|--------|--------|---|------------|--------|
|                                   |   | As of June 30, 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                |   | $                        | 4,045,985  |   |    | $      | — |    |   | $                      | — |    |   | $         | — |   |    | $      | —   |      |   | $ | 12,906 |   |   | $ | 4,058,891  |   |
| State or local housing investments     |   | —                  |       |   | 3,925   |   |    | — |   |                   | — |    |   | —   |    |   | — |   |      | 3,925     |   |
| Other                                  |   | 3,599,513                |       |   | — |   |    | — |   |                   | — |    |   | —   |    |   | — |   |      | 3,599,513 |   |
| Residential MBS                        |   |                     |       |   |    |   |    |    |   |                   |    |    |   |      |
| Other U.S. agency                      |   | 23,043                   |       |   | — |   |    | — |   |                   | — |    |   | —   |    |   | — |   |      | 23,043    |   |
| GSEs                                   |   | 3,039,951                |       |   | — |   |    | — |   |                   | — |    |   | —   |    |   | — |   |      | 3,039,951 |   |
| PLMBS                                  |   | 913,245                  |       |   | 71,343  |   |    | 32,488  |   |                   | 170,153 |    |   | 1,913,349 |    |   | — |   |      | 3,100,578 |   |
| Total long-term investment securities  |   | $                        | 11,621,737 |   |    | $      | 75,268  |    |   | $                      | 32,488  |    |   | $         | 170,153 |   |    | $      | 1,913,349 |      |   | $ | 12,906 |   |   | $ | 13,825,901 |   |

|                                              |        |                     |         |        |        |        |         |        |        |        |         |        |        |   |         |        |        |   |       |        |        |   |           |        |
|----------------------------------------------|--------|---------------------|---------|--------|--------|--------|---------|--------|--------|--------|---------|--------|--------|---|---------|--------|--------|---|-------|--------|--------|---|-----------|--------|
|                                         |   |                |    |   |   |   |    |   |   |   |    |   |
|                                         |   | As of June 30, 2010 |
| Long-Term Investments Below Investment Grade |   | BB                  |    | B      |   | CCC    |    | CC     |   | D      |    | Total  |
| (in thousands)                               |   |                |    |   |   |   |    |   |   |   |    |   |
| PLMBS                                        |   | $                   | 116,653 |   |   | $      | 678,864 |   |   | $      | 984,692 |   |   | $ | 130,678 |   |   | $ | 2,462 |   |   | $ | 1,913,349 |   |
| Total securities below investment grade      |   | $                   | 116,653 |   |   | $      | 678,864 |   |   | $      | 984,692 |   |   | $ | 130,678 |   |   | $ | 2,462 |   |   | $ | 1,913,349 |   |

|                                        |        |                          |           |        |         |        |         |         |        |                        |         |         |        |           |         |        |         |        |           |           |        |   |        |        |        |   |           |        |
|----------------------------------------|--------|--------------------------|-----------|--------|---------|--------|---------|---------|--------|------------------------|---------|---------|--------|-----------|---------|--------|---------|--------|-----------|-----------|--------|---|--------|--------|--------|---|-----------|--------|
|                                   |   | 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                        |   |                     |      |   |    |   |    |    |   |                   |    |    |   |      |
| Other U.S. agency                      |   | 4,229                    |      |   | — |   |    | — |   |                   | — |    |   | —   |    |   | — |   |      | 4,229     |   |
|    GSEs                 |   | 3,198,679                |      |   | — |   |    | — |   |                   | — |    |   | —   |    |   | — |   |      | 3,198,679 |   |
|    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 |   |

----

Table of Contents

|                                    |        |                         |           |               |           |                |           |                       |        |                     |            |                                        |        |          |            |        |         |        |          |        |        |      |        |
|------------------------------------|--------|-------------------------|-----------|---------------|-----------|----------------|-----------|-----------------------|--------|---------------------|------------|----------------------------------------|--------|----------|------------|--------|---------|--------|----------|--------|--------|------|--------|
|                               |   | As of June 30, 2010     |
| PLMBS Ratings                      |   | UnpaidPrincipal Balance |      | AmortizedCost |      | Carrying Value |      |  Unrealized Loss |   | CreditLoss (1) |       | Weighted-AverageCredit Enhancement (2) |
| (in thousands, except percentages) |   |                    |      |          |      |           |      |                  |   |                |       |                                   |
| Prime                              |   |                    |      |          |      |           |      |                  |   |                |       |                                   |
| AAA                                |   |                    |      |          |      |           |      |                  |   |                |       |                                   |
| 2004 and earlier                   |   | $                       | 559,926   |          |      | $              | 558,078   |                  |   | $                   | 558,079    |                                   |   | $        | (9,284     | )      |    | $      | —  |   |   | 8.0  |   |
| A                                  |   |                    |      |          |      |           |      |                  |   |                |       |                                   |
| 2004 and earlier                   |   | 15,454                  |      |          | 15,503    |           |      | 15,503                |   |                | (332       | )                                      |   | —  |       |   | 6.8     |   |
| Total prime                        |   | 575,380                 |      |          | 573,581   |           |      | 573,582               |   |                | (9,616     | )                                      |   | —  |       |   | 7.9     |   |
| Alt-A                              |   |                    |      |          |      |           |      |                  |   |                |       |                                   |
| AAA                                |   |                    |      |          |      |           |      |                  |   |                |       |                                   |
| 2004 and earlier                   |   | 351,850                 |      |          | 351,219   |           |      | 351,219               |   |                | (8,506     | )                                      |   | —  |       |   | 6.5     |   |
| 2005                               |   | 3,940                   |      |          | 3,947     |           |      | 3,947                 |   |                | (894       | )                                      |   | —  |       |   | 46.7    |   |
| AA                                 |   |                    |      |          |      |           |      |                  |   |                |       |                                   |
| 2004 and earlier                   |   | 39,640                  |      |          | 39,705    |           |      | 39,705                |   |                | (7,014     | )                                      |   | —  |       |   | 13.6    |   |
| 2005                               |   | 31,638                  |      |          | 31,639    |           |      | 31,638                |   |                | (11,621    | )                                      |   | —  |       |   | 32.9    |   |
| A                                  |   |                    |      |          |      |           |      |                  |   |                |       |                                   |
| 2004 and earlier                   |   | 13,440                  |      |          | 13,395    |           |      | 13,395                |   |                | (1,133     | )                                      |   | —  |       |   | 12.2    |   |
|      2005 |   | 1,453                   |      |          | 1,454     |           |      | 1,454                 |   |                | (260       | )                                      |   | —  |       |   | 11.8    |   |
| BBB                                |   |                    |      |          |      |           |      |                  |   |                |       |                                   |
| 2005                               |   | 17,011                  |      |          | 16,932    |           |      | 12,505                |   |                | (5,554     | )                                      |   | (87      | )          |   | 38.9    |   |
| 2008                               |   | 157,649                 |      |          | 157,649   |           |      | 157,648               |   |                | (40,342    | )                                      |   | —  |       |   | 35.4    |   |
| BB                                 |   |                    |      |          |      |           |      |                  |   |                |       |                                   |
| 2004 and earlier                   |   | 2,137                   |      |          | 2,138     |           |      | 2,138                 |   |                | (331       | )                                      |   | —  |       |   | 28.5    |   |
| 2006                               |   | 31,802                  |      |          | 31,497    |           |      | 16,893                |   |                | (13,874    | )                                      |   | (303     | )          |   | 41.1    |   |
| 2007                               |   | 184,616                 |      |          | 183,241   |           |      | 97,622                |   |                | (85,619    | )                                      |   | (1,342   | )          |   | 44.6    |   |
| B                                  |   |                    |      |          |      |           |      |                  |   |                |       |                                   |
| 2005                               |   | 83,877                  |      |          | 83,205    |           |      | 76,753                |   |                | (27,857    | )                                      |   | (690     | )          |   | 30.3    |   |
| 2006                               |   | 293,976                 |      |          | 243,534   |           |      | 154,522               |   |                | (89,012    | )                                      |   | (52,160  | )          |   | 43.5    |   |
| 2007                               |   | 431,167                 |      |          | 374,634   |           |      | 273,671               |   |                | (134,347   | )                                      |   | (55,835  | )          |   | 41.4    |   |
| 2008                               |   | 173,085                 |      |          | 172,930   |           |      | 172,930               |   |                | (67,203    | )                                      |   | —  |       |   | 42.8    |   |
| CCC                                |   |                    |      |          |      |           |      |                  |   |                |       |                                   |
| 2005                               |   | 101,795                 |      |          | 90,041    |           |      | 63,368                |   |                | (33,424    | )                                      |   | (11,759  | )          |   | 33.6    |   |
| 2006                               |   | 567,465                 |      |          | 467,581   |           |      | 317,624               |   |                | (157,716   | )                                      |   | (99,926  | )          |   | 42.6    |   |
| 2007                               |   | 713,087                 |      |          | 607,974   |           |      | 387,374               |   |                | (220,600   | )                                      |   | (104,611 | )          |   | 31.2    |   |
| 2008                               |   | 275,818                 |      |          | 273,716   |           |      | 216,326               |   |                | (83,564    | )                                      |   | (2,206   | )          |   | 28.0    |   |
| CC                                 |   |                    |      |          |      |           |      |                  |   |                |       |                                   |
| 2007                               |   | 255,076                 |      |          | 198,932   |           |      | 130,678               |   |                | (68,254    | )                                      |   | (55,194  | )          |   | 37.8    |   |
| D                                  |   |                    |      |          |      |           |      |                  |   |                |       |                                   |
| 2005                               |   | 5,783                   |      |          | 4,098     |           |      | 2,462                 |   |                | (1,637     | )                                      |   | (2,208   | )          |   | — |   |
| Total Alt-A                        |   | 3,736,305               |      |          | 3,349,461 |           |      | 2,523,872             |   |                | (1,058,762 | )                                      |   | (386,321 | )          |   | 34.2    |   |
| Subprime                           |   |                    |      |          |      |           |      |                  |   |                |       |                                   |
| A                                  |   |                    |      |          |      |           |      |                  |   |                |       |                                   |
| 2004 and earlier                   |   | 2,145                   |      |          | 2,136     |           |      | 2,136                 |   |                | (1,116     | )                                      |   | —  |       |   | 100.0   |   |
| B                                  |   |                    |      |          |      |           |      |                  |   |                |       |                                   |
| 2004 and earlier                   |   | 987                     |      |          | 988       |           |      | 988                   |   |                | (255       | )                                      |   | —  |       |   | 100.0   |   |
| Total Subprime                     |   | 3,132                   |      |          | 3,124     |           |      | 3,124                 |   |                | (1,371     | )                                      |   | —  |       |   | 100.0   |   |
| Total PLMBS                        |   | $                       | 4,314,817 |          |      | $              | 3,926,166 |                  |   | $                   | 3,100,578  |                                   |   | $        | (1,069,749 | )      |    | $      | (386,321 | )      |   | 30.8 |   |

|     |                                                                                                                                                                                                                                  |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (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 |      |  Unrealized Loss |   | CreditLoss (1) |       | Weighted-AverageCredit Enhancement (2) |
| (in thousands, except percentages) |   |                    |      |          |      |           |      |                  |   |           |       |                                   |
| Prime                              |   |                    |      |          |      |           |      |                  |   |           |       |                                   |
| AAA                                |   |                    |      |          |      |           |      |                  |   |           |       |                                   |
| 2004 and earlier                   |   | $                       | 712,186   |          |      | $              | 707,501   |                  |   | $              | 707,501    |                                   |   | $        | (20,795    | )      |   | $      | —  |   |   | 7.6  |   |
| A                                  |   |                    |      |          |      |           |      |                  |   |           |       |                                   |
| 2004 and earlier                   |   | 25,307                  |      |          | 25,377    |           |      | 25,377                |   |           | (707       | )                                      |   | —  |       |   | 5.9    |   |
| Total prime                        |   | 737,493                 |      |          | 732,878   |           |      | 732,878               |   |           | (21,502    | )                                      |   | —  |       |   | 7.5    |   |
| Alt-A                              |   |                    |      |          |      |           |      |                  |   |           |       |                                   |
| AAA                                |   |                    |      |          |      |           |      |                  |   |           |       |                                   |
| 2004 and earlier                   |   | 413,547                 |      |          | 412,323   |           |      | 412,323               |   |           | (21,582    | )                                      |   | —  |       |   | 6.3    |   |
| 2005                               |   | 4,312                   |      |          | 4,319     |           |      | 4,319                 |   |           | (1,203     | )                                      |   | —  |       |   | 46.6   |   |
| 2008                               |   | 313,790                 |      |          | 313,431   |           |      | 276,076               |   |           | (101,990   | )                                      |   | (55      | )          |   | 33.3   |   |
| AA                                 |   |                    |      |          |      |           |      |                  |   |           |       |                                   |
| 2004 and earlier                   |   | 42,310                  |      |          | 42,383    |           |      | 42,383                |   |           | (10,558    | )                                      |   | —  |       |   | 13.7   |   |
| 2005                               |   | 40,883                  |      |          | 40,897    |           |      | 40,897                |   |           | (20,860    | )                                      |   | —  |       |   | 29.7   |   |
| A                                  |   |                    |      |          |      |           |      |                  |   |           |       |                                   |
| 2004 and earlier                   |   | 14,835                  |      |          | 14,765    |           |      | 14,765                |   |           | (2,267     | )                                      |   | —  |       |   | 11.7   |   |
| 2005                               |   | 6,913                   |      |          | 6,704     |           |      | 3,342                 |   |           | (3,231     | )                                      |   | (208     | )          |   | 31.5   |   |
| BBB                                |   |                    |      |          |      |           |      |                  |   |           |       |                                   |
| 2005                               |   | 21,479                  |      |          | 21,445    |           |      | 16,380                |   |           | (9,537     | )                                      |   | (30      | )          |   | 42.0   |   |
| 2006                               |   | 44,768                  |      |          | 44,768    |           |      | 44,768                |   |           | (12,779    | )                                      |   | —  |       |   | 54.9   |   |
| 2007                               |   | 66,928                  |      |          | 66,893    |           |      | 66,893                |   |           | (33,534    | )                                      |   | —  |       |   | 44.7   |   |
| 2008                               |   | 74,213                  |      |          | 73,058    |           |      | 45,980                |   |           | (27,308    | )                                      |   | (1,141   | )          |   | 40.3   |   |
| BB                                 |   |                    |      |          |      |           |      |                  |   |           |       |                                   |
| 2004 and earlier                   |   | 3,580                   |      |          | 3,583     |           |      | 3,583                 |   |           | (892       | )                                      |   | —  |       |   | 20.3   |   |
| 2005                               |   | 48,494                  |      |          | 48,249    |           |      | 40,786                |   |           | (17,629    | )                                      |   | (244     | )          |   | 22.9   |   |
| 2006                               |   | 108,616                 |      |          | 100,283   |           |      | 55,558                |   |           | (43,647    | )                                      |   | (8,267   | )          |   | 42.9   |   |
| 2007                               |   | 388,424                 |      |          | 361,466   |           |      | 264,073               |   |           | (159,977   | )                                      |   | (26,658  | )          |   | 42.2   |   |
| 2008                               |   | 122,525                 |      |          | 122,525   |           |      | 122,525               |   |           | (36,882    | )                                      |   | —  |       |   | 21.0   |   |
| B                                  |   |                    |      |          |      |           |      |                  |   |           |       |                                   |
| 2005                               |   | 30,147                  |      |          | 30,177    |           |      | 30,177                |   |           | (13,104    | )                                      |   | —  |       |   | 45.1   |   |
| 2006                               |   | 337,685                 |      |          | 284,921   |           |      | 167,106               |   |           | (117,814   | )                                      |   | (53,183  | )          |   | 43.9   |   |
| 2007                               |   | 191,339                 |      |          | 170,753   |           |      | 131,310               |   |           | (76,131    | )                                      |   | (20,412  | )          |   | 41.9   |   |
| 2008                               |   | 154,595                 |      |          | 154,595   |           |      | 154,595               |   |           | (76,844    | )                                      |   | —  |       |   | 46.6   |   |
| CCC                                |   |                    |      |          |      |           |      |                  |   |           |       |                                   |
| 2005                               |   | 100,555                 |      |          | 90,878    |           |      | 56,481                |   |           | (37,263    | )                                      |   | (9,573   | )          |   | 36.4   |   |
| 2006                               |   | 444,983                 |      |          | 379,342   |           |      | 219,878               |   |           | (159,464   | )                                      |   | (65,092  | )          |   | 44.1   |   |
| 2007                               |   | 797,711                 |      |          | 693,501   |           |      | 441,678               |   |           | (302,636   | )                                      |   | (103,436 | )          |   | 30.8   |   |
| CC                                 |   |                    |      |          |      |           |      |                  |   |           |       |                                   |
| 2007                               |   | 223,765                 |      |          | 193,754   |           |      | 115,512               |   |           | (78,242    | )                                      |   | (29,662  | )          |   | 44.8   |   |
| C                                  |   |                    |      |          |      |           |      |                  |   |           |       |                                   |
| 2005                               |   | 7,162                   |      |          | 5,224     |           |      | 3,131                 |   |           | (2,093     | )                                      |   | (1,914   | )          |   | 4.6    |   |
| Total Alt-A                        |   | 4,003,559               |      |          | 3,680,237 |           |      | 2,774,519             |   |           | (1,367,467 | )                                      |   | (319,875 | )          |   | 34.7   |   |
| Subprime (2)                       |   |                    |      |          |      |           |      |                  |   |           |       |                                   |
| A                                  |   |                    |      |          |      |           |      |                  |   |           |       |                                   |
| 2004 and earlier                   |   | 2,277                   |      |          | 2,264     |           |      | 2,264                 |   |           | (1,204     | )                                      |   | —  |       |   | 100.0  |   |
| B                                  |   |                    |      |          |      |           |      |                  |   |           |       |                                   |
| 2004 and earlier                   |   | 1,013                   |      |          | 1,013     |           |      | 1,013                 |   |           | (260       | )                                      |   | —  |       |   | 100.0  |   |
| Total Subprime                     |   | 3,290                   |      |          | 3,277     |           |      | 3,277                 |   |           | (1,464     | )                                      |   | —  |       |   | 100.0  |   |
| Total PLMBS                        |   | $                       | 4,744,342 |          |      | $              | 4,416,392 |                  |   | $              | 3,510,674  |                                   |   | $        | (1,390,433 | )      |   | $      | (319,875 | )      |   | 30.5 |   |

|     |                                                                                                                                                                                                                                  |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (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        |   |  As of    |   |  As of            |   |  As of        |   |  As of        |
| Weighted Average Fair Value                           |   | June 30, 2010 |   | March 31, 2010 |   | December 31, 2009 |   | September 30, 2009 |   | June 30, 2009 |
| Prime - Year of Issuance                              |   |               |   |           |   |                   |   |               |   |               |
| 2004 and earlier                                      |   | 98                 | %      |           | 97     | %                      |   | 96                 | %      |               | 96 | % |   | 95 | % |
| Alt-A - Year of Issuance                              |   |               |   |           |   |                   |   |               |   |               |
| 2004 and earlier                                      |   | 96                 | %      |           | 94     | %                      |   | 92                 | %      |               | 91 | % |   | 87 | % |
| 2005                                                  |   | 61                 | %      |           | 59     | %                      |   | 55                 | %      |               | 50 | % |   | 44 | % |
| 2006                                                  |   | 54                 | %      |           | 54     | %                      |   | 51                 | %      |               | 49 | % |   | 41 | % |
| 2007                                                  |   | 54                 | %      |           | 52     | %                      |   | 50                 | %      |               | 46 | % |   | 38 | % |
| 2008                                                  |   | 68                 | %      |           | 63     | %                      |   | 63                 | %      |               | 62 | % |   | 53 | % |
| Total Alt-A                                           |   | 61                 | %      |           | 60     | %                      |   | 58                 | %      |               | 55 | % |   | 48 | % |
| Subprime - Year of Issuance                           |   |               |   |           |   |                   |   |               |   |               |
| 2004 and earlier                                      |   | 56                 | %      |           | 56     | %                      |   | 55                 | %      |               | 54 | % |   | 35 | % |
| Total PLMBS weighted-average percentage of fair value |   | 66                 | %      |           | 65     | %                      |   | 64                 | %      |               | 62 | % |   | 56 | % |

|                             |        |                          |           |                   |            |            |            |           |        |   |           |        |
|-----------------------------|--------|--------------------------|-----------|-------------------|------------|------------|------------|-----------|--------|---|-----------|--------|
|                        |   | As of June 30, 2010      |
| PLMBS by Interest-Rate Type |   | Unpaid Principal Balance |      | Unrealized Losses |       | Fair Value |
| (in thousands)              |   |                     |      |              |       |       |
| Prime                       |   |                     |      |              |       |       |
| Fixed                       |   | $                        | 467,629   |              |       | $          | (2,097     | )         |   | $ | 463,751   |   |
| Variable                    |   | 107,751                  |      |              | (7,519     | )          |       | 100,214   |   |
| Total prime                 |   | 575,380                  |      |              | (9,616     | )          |       | 563,965   |   |
| Alt-A                       |   |                     |      |              |       |       |
| Fixed                       |   | 107,242                  |      |              | 473        |       |       | 107,512   |   |
| Variable                    |   | 3,629,063                |      |              | (1,059,235 | )          |       | 2,183,187 |   |
| Total Alt-A                 |   | 3,736,305                |      |              | (1,058,762 | )          |       | 2,290,699 |   |
| Subprime                    |   |                     |      |              |       |       |
| Variable                    |   | 3,132                    |      |              | (1,371     | )          |       | 1,753     |   |
| Total subprime              |   | 3,132                    |      |              | (1,371     | )          |       | 1,753     |   |
| Total PLMBS                 |   | $                        | 4,314,817 |              |       | $          | (1,069,749 | )         |   | $ | 2,856,417 |   |

----

Table of Contents

|                             |        |                          |           |                   |            |            |            |           |        |   |           |        |
|-----------------------------|--------|--------------------------|-----------|-------------------|------------|------------|------------|-----------|--------|---|-----------|--------|
|                        |   | As of December 31, 2009  |
| PLMBS by Interest-Rate Type |   | Unpaid Principal Balance |      | Unrealized Losses |       | Fair Value |
| (in thousands)              |   |                     |      |              |       |       |
| Prime                       |   |                     |      |              |       |       |
| Fixed                       |   | $                        | 608,954   |              |       | $          | (9,825     | )         |   | $ | 594,541   |   |
| Variable                    |   | 128,539                  |      |              | (11,677    | )          |       | 116,835   |   |
| Total prime                 |   | 737,493                  |      |              | (21,502    | )          |       | 711,376   |   |
| Alt-A                       |   |                     |      |              |       |       |
| Fixed                       |   | 126,415                  |      |              | (1,094     | )          |       | 124,903   |   |
| Variable                    |   | 3,877,144                |      |              | (1,366,373 | )          |       | 2,187,867 |   |
| Total Alt-A                 |   | 4,003,559                |      |              | (1,367,467 | )          |       | 2,312,770 |   |
| Subprime                    |   |                     |      |              |       |       |
| Variable                    |   | 3,290                    |      |              | (1,464     | )          |       | 1,813     |   |
| Total subprime              |   | 3,290                    |      |              | (1,464     | )          |       | 1,813     |   |
| Total PLMBS                 |   | $                        | 4,744,342 |              |       | $          | (1,390,433 | )         |   | $ | 3,025,959 |   |

----

Table of Contents

|                                                    |        |                                          |        |                                        |         |                   |        |               |        |                       |        |                   |        |         |        |        |        |        |         |        |        |   |         |        |
|----------------------------------------------------|--------|------------------------------------------|--------|----------------------------------------|---------|-------------------|--------|---------------|--------|-----------------------|--------|-------------------|--------|---------|--------|--------|--------|--------|---------|--------|--------|---|---------|--------|
|                                               |   | For the Three Months Ended June 30, 2010 |   | For the Six Months Ended June 30, 2010 |
| OTTI PLMBS                                         |   | Credit Losses                            |   | Net Non-Credit Losses                  |    | Total OTTI Losses |   | Credit Losses |   | Net Non-Credit Losses |   | Total OTTI Losses |
| (in thousands)                                     |   |                                     |   |                                   |    |              |   |          |   |                  |   |              |
| PLMBS newly identified as OTTI in the period noted |   | $                                        | 1,342  |                                   |    | $                 | 85,619 |          |   | $                     | 86,961 |              |   | $       | 3,798  |   |   | $      | 131,465 |   |   | $ | 135,263 |   |
| PLMBS identified as OTTI in prior periods          |   | 45,464                                   |   |                                   | (44,443 | )                 |   | 1,021         |   |                  | 62,648 |              |   | (52,675 | )      |   | 9,973  |   |
| Total                                              |   | $                                        | 46,806 |                                   |    | $                 | 41,176 |          |   | $                     | 87,982 |              |   | $       | 66,446 |   |   | $      | 78,790  |   |   | $ | 145,236 |   |

|                                                    |        |                                          |        |                                        |         |                   |         |               |        |                       |         |                   |        |        |         |        |        |        |           |        |        |   |           |        |
|----------------------------------------------------|--------|------------------------------------------|--------|----------------------------------------|---------|-------------------|---------|---------------|--------|-----------------------|---------|-------------------|--------|--------|---------|--------|--------|--------|-----------|--------|--------|---|-----------|--------|
|                                               |   | For the Three Months Ended June 30, 2009 |   | For the Six Months Ended June 30, 2009 |
| OTTI PLMBS                                         |   | Credit Losses                            |   | Net Non-Credit Losses                  |    | Total OTTI Losses |    | Credit Losses |   | Net Non-Credit Losses |    | Total OTTI Losses |
| (in thousands)                                     |   |                                     |   |                                   |    |              |    |          |   |                  |    |              |
| PLMBS newly identified as OTTI in the period noted |   | $                                        | 7,293  |                                   |    | $                 | 249,502 |          |   | $                     | 256,795 |              |   | $      | 74,874  |   |   | $      | 1,004,211 |   |   | $ | 1,079,085 |   |
| PLMBS identified as OTTI in prior periods          |   | 54,458                                   |   |                                   | (51,254 | )                 |    | 3,204         |   |                  | 58,545  |              |   | 17,564 |    |   | 76,109 |   |
| Total                                              |   | $                                        | 61,751 |                                   |    | $                 | 198,248 |          |   | $                     | 259,999 |              |   | $      | 133,419 |   |   | $      | 1,021,775 |   |   | $ | 1,155,194 |   |

|                        |        |                                                                                                  |        |                            |           |                    |        |                           |        |                    |        |         |        |                    |           |         |      |        |        |           |
|------------------------|--------|--------------------------------------------------------------------------------------------------|--------|----------------------------|-----------|--------------------|--------|---------------------------|--------|--------------------|--------|---------|--------|--------------------|-----------|---------|------|--------|--------|-----------|
|                   |   | Significant Inputs Used to Measure Credit Losses for the Three Months Ended        June 30, 2010 |   |                       |      |               |
|                   |   | 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       |   | 10.2                                                                                             |   |                       | 10.2-10.2 |               | 48.9   |                      |   | 48.9-48.9          |   | 45.8    |   |               | 45.8-45.8 |    | 40.1 |   |   | 40.1-40.1 |
|   2007       |   | 7.2                                                                                              |   |                       | 4.7-13.8  |               | 79.0   |                      |   | 35.4-89.5          |   | 53.4    |   |               | 45.6-61.1 |    | 37.8 |   |   | 7.3-44.9  |
|   2006       |   | 5.4                                                                                              |   |                       | 4.6-6.7   |               | 86.6   |                      |   | 76.9-89.8          |   | 54.7    |   |               | 50.4-63.6 |    | 42.6 |   |   | 36.8-47.6 |
|   2005       |   | 8.3                                                                                              |   |                       | 7.3-10.6  |               | 72.8   |                      |   | 56.4-79.4          |   | 49.9    |   |               | 42.7-56.7 |    | 30.9 |   |   | 0-50.4    |
| Total                  |   | 6.8                                                                                              |   |                       | 4.6-13.8  |               | 80.3   |                      |   | 35.4-89.8          |   | 53.4    |   |               | 42.7-63.6 |    | 39.1 |   |   | 0-50.4    |

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

----

Table of Contents

|                  |        |                          |         |                |        |                         |         |            |        |                          |         |                |        |            |         |        |        |   |           |        |        |   |           |        |        |   |           |        |
|------------------|--------|--------------------------|---------|----------------|--------|-------------------------|---------|------------|--------|--------------------------|---------|----------------|--------|------------|---------|--------|--------|---|-----------|--------|--------|---|-----------|--------|--------|---|-----------|--------|
|             |   | As of June 30, 2010      |
|             |   | HTM Securities           |    | AFS Securities |
| OTTI Securities  |   | Unpaid Principal Balance |    | Amortized Cost |   | Carrying Value (1) |    | Fair Value |   | Unpaid Principal Balance |    | Amortized Cost |   | Fair Value |
| (in thousands)   |   |                     |    |           |   |                    |    |       |   |                     |    |           |   |       |
| Alt-A PLMBS (2)  |   | $                        | 400,552 |           |   | $                       | 396,216 |       |   | $                        | 230,300 |           |   | $          | 237,641 |   |   | $ | 2,246,178 |   |   | $ | 1,864,402 |   |   | $ | 1,204,730 |   |
| Total OTTI PLMBS |   | $                        | 400,552 |           |   | $                       | 396,216 |       |   | $                        | 230,300 |           |   | $          | 237,641 |   |   | $ | 2,246,178 |   |   | $ | 1,864,402 |   |   | $ | 1,204,730 |   |

|                  |        |                          |         |                |        |                    |         |            |        |                          |         |                |        |            |         |        |        |   |           |        |        |   |           |        |        |   |         |        |
|------------------|--------|--------------------------|---------|----------------|--------|--------------------|---------|------------|--------|--------------------------|---------|----------------|--------|------------|---------|--------|--------|---|-----------|--------|--------|---|-----------|--------|--------|---|---------|--------|
|             |   | As of December 31, 2009  |
|             |   | HTM Securities           |    | AFS Securities |
| OTTI Securities  |   | Unpaid Principal Balance |    | Amortized Cost |   | Carrying Value (1) |    | Fair Value |   | Unpaid Principal Balance |    | Amortized Cost |   | 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 June 30, 2010                     |
|                                        |   | Actual Results - Base-Case HPI Scenario |   | Pro-forma Results - Adverse HPI Scenario |
| PLMBS                                       |   | Impaired Securities                     |   | Unpaid Principal Balance                 |   | Q2 2010 OTTI related to credit loss |   | Impaired Securities |   | Unpaid Principal Balance | Q2 2010 OTTI related to credit loss |
| (in thousands, except number of securities) |   |                                    |   |                                     |   |                                |   |                |   |                     |                                |
| Alt-A *                                     |   | 37                                      |   |                                     | $      | 2,244,039                           |   |                | $      | 46,806                   |                                |   | 45 |   |   | $ | 2,808,399 |   | $ | 202,634 |   |

|   |                                                                                                                                 |
|---|---------------------------------------------------------------------------------------------------------------------------------|
| * | Represents classification at time of purchase, which may differ from the current performance characteristics of the instrument. |

----

Table of Contents

|                                                                                     |        |                    |           |                        |           |        |           |        |
|-------------------------------------------------------------------------------------|--------|--------------------|-----------|------------------------|-----------|--------|-----------|--------|
|                                                                                |   |  As of        |      |  As of            |
| Mortgage Loan Portfolio Activity                                                    |   | June 30, 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                                     |   | (2,014             | )         |                   | (2,644    | )      |
| Maturities and principal amount recovered                                           |   | (337,941           | )         |                   | (975,189  | )      |
|       Mortgage loan par balance at period end         |   | 3,760,053          |      |                   | 4,100,008 |   |
| Mortgage loan net premium balance at beginning of the year                          |   | 6,840              |      |                   | 9,482     |   |
| Net premium on loans transferred to real estate owned                               |   | (1                 | )         |                   | (15       | )      |
| Net premium recovery from repurchases                                               |   | 1                  |      |                   | (7        | )      |
| Net premium amortization                                                            |   | (4,762             | )         |                   | (2,647    | )      |
|       Mortgage loan net premium balance at period end |   | 2,078              |      |                   | 6,813     |   |
| Mortgage loans held for portfolio                                                   |   | 3,762,131          |      |                   | 4,106,821 |   |
| Less: allowance for credit losses                                                   |   | 1,794              |      |                   | 626       |   |
| Mortgage loans held for portfolio, net of allowance for credit losses               |   | $                  | 3,760,337 |                   |      | $      | 4,106,195 |   |
|                                                                                |   |               |      |                   |
| Premium balance as a percent of mortgage loan par amounts                           |   | 0.06               | %         |                   | 0.17      | %      |
| Average FICO score* at origination                                                  |   | 745                |      |                   | 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. |

----

Table of Contents

|                                                                       |        |                    |        |                        |      |   |
|-----------------------------------------------------------------------|--------|--------------------|--------|------------------------|------|---|
|                                                                  |   | As of              |   | As of                  |
| Mortgage Loans Delinquent or in Foreclosure                           |   | June 30, 2010 |   | December 31, 2009 |
| (in percentages)                                                      |   |               |   |                   |
| Conventional mortgage loan delinquencies - 30-59 days                 |   | 0.7                | %      |                   | 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                               |   | 0.2                | %      |                   | 0.3  | % |
|                                                                  |   |               |   |                   |
| Government-insured mortgage loan delinquencies - 30-59 days           |   | 11.1               | %      |                   | 11.3 | % |
| Government-insured mortgage loan delinquencies - 60-89 days           |   | 4.6                | %      |                   | 6.0  | % |
| Government-insured mortgage loan delinquencies - Greater than 90 days |   | 19.4               | %      |                   | 20.4 | % |
| Government-insured mortgage loan foreclosures                         |   | None               |   | None                   |

----

Table of Contents

|                                                                                        |        |                     |            |                  |         |                       |          |         |         |        |         |        |
|----------------------------------------------------------------------------------------|--------|---------------------|------------|------------------|---------|-----------------------|----------|---------|---------|--------|---------|--------|
|                                                                                   |   | As of June 30, 2010 |
|  Fair Value of Derivative Instruments                                             |   | NotionalAmount      |       | DerivativeAssets |    | DerivativeLiabilities |
|  (in thousands)                                                                   |   |                |       |             |    |                  |
| Derivatives designated as hedging instruments                                          |   |                |       |             |    |                  |
| Interest-rate swaps                                                                    |   | $                   | 35,363,149 |             |    | $                     | 274,650  |    |    | $      | 485,473 |   |
| Interest-rate caps or floors                                                           |   | 20,000              |       |             | 298     |                  |     | — |    |
| Total derivatives designated as hedging instruments                                    |   | 35,383,149          |       |             | 274,948 |                  |     | 485,473 |    |
| Derivatives not designated as hedging instruments                                      |   |                |       |             |    |                  |
| Interest-rate swaps                                                                    |   | 508,200             |       |             | 6,552   |                  |     | 2,978   |    |
| Interest-rate caps or floors                                                           |   | 200,000             |       |             | — |                  |     | — |    |
| Total derivatives not designated as hedging instruments                                |   | 708,200             |       |             | 6,552   |                  |     | 2,978   |    |
| Total derivatives before netting and collateral adjustments                            |   | $                   | 36,091,349 |             |    | 281,500               |     |    | 488,451 |   |
| Netting adjustments *                                                                  |   |                |       | (245,607         | )       |                  | (245,607 | )       |
| Cash collateral and related accrued interest                                           |   |                |       | (23,603          | )       |                  | (29,127  | )       |
| Total netting and collateral adjustments                                               |   |                |       | (269,210         | )       |                  | (274,734 | )       |
| Derivative assets and derivative liabilities as reported on the statement of condition |   |                |       | $                | 12,290  |                  |     | $       | 213,717 |   |

|                                                                                        |              |                         |            |                  |         |                       |          |         |         |        |         |        |
|----------------------------------------------------------------------------------------|--------------|-------------------------|------------|------------------|---------|-----------------------|----------|---------|---------|--------|---------|--------|
|                                                                                   |         | 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 *                                                                  |         |                    |       | (228,069         | )       |                  | (228,068 | )       |
| Cash collateral and related accrued interest                                           |         |                    |       | (8,282           | )       |                  | (59,421  | )       |
| Total netting and collateral adjustments                                               |         |                    |       | (236,351         | )       |                  | (287,489 | )       |
| Derivative assets and derivative liabilities as reported on the statement of condition |         |                    |       | $                | 3,649   |                  |     | $       | 300,030 |   |

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

----

Table of Contents

|                                               |        |                            |            |                                  |         |                 |         |                               |        |        |         |        |        |   |         |        |
|-----------------------------------------------|--------|----------------------------|------------|----------------------------------|---------|-----------------|---------|-------------------------------|--------|--------|---------|--------|--------|---|---------|--------|
|                                          |   | As of June 30, 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                                            |   | $                          | 10,969,762 |                             |    | $               | — |                          |   | $      | — |   |   | $ | — |   |
| AA-                                           |   | 5,530,560                  |       |                             | 1,788   |            |    | —                       |   |   | 1,788   |   |
|  A+                                      |   | 16,892,358                 |       |                             | 34,105  |            |    | 23,603                        |   | (1)    | 10,502  |   |
|  A                                       |   | 2,698,669                  |       |                             | — |            |    | —                       |   |   | — |   |
| Total                                         |   | $                          | 36,091,349 |                             |    | $               | 35,893  |                          |   | $      | 23,603  |   |   | $ | 12,290  |   |

|                                               |        |                            |            |                                  |         |                 |         |                               |        |        |         |        |        |   |         |        |
|-----------------------------------------------|--------|----------------------------|------------|----------------------------------|---------|-----------------|---------|-------------------------------|--------|--------|---------|--------|--------|---|---------|--------|
|                                          |   | 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 $23.6 million held as of June 30, 2010 is included in our derivative asset balance.    |
| (2) | Cash collateral of $8.3 million held as of December 31, 2009 is included in our derivative asset balance. |

----

Table of Contents

|                          |        |                    |            |                        |            |        |            |        |
|--------------------------|--------|--------------------|------------|------------------------|------------|--------|------------|--------|
|                     |   | As of              |       | As of                  |
| Consolidated Obligations |   | June 30, 2010 |       | December 31, 2009 |
| (in thousands)           |   |               |       |                   |
| Discount notes           |   | $                  | 11,359,284 |                   |       | $      | 18,501,642 |   |
| Bonds                    |   | 33,933,303         |       |                   | 29,762,229 |   |
| Total                    |   | $                  | 45,292,587 |                   |       | $      | 48,263,871 |   |

----

Table of Contents

|                                    |        |                     |            |                            |        |           |        |                            |        |            |         |        |       |        |
|------------------------------------|--------|---------------------|------------|----------------------------|--------|-----------|--------|----------------------------|--------|------------|---------|--------|-------|--------|
|                               |   | As of June 30, 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                              |   | $                   | 24,752,065 |                       |   | 73.5      |   |                       | $      | 23,772,365 |    |   | 80.1  |   |
| Step-up                            |   | 4,496,000           |       |                       | 13.4   |      |   | 4,160,000                  |   |       | 14.0    |   |
| Variable                           |   | 4,000,000           |       |                       | 11.9   |      |   | 1,569,000                  |   |       | 5.3     |   |
| Capped variable                    |   | 200,000             |       |                       | 0.6    |      |   | —                    |   |       | — |   |
| Range                              |   | 201,000             |       |                       | 0.6    |      |   | 177,000                    |   |       | 0.6     |   |
| Total par value                    |   | $                   | 33,649,065 |                       |   | 100.0     |   |                       | $      | 29,678,365 |    |   | 100.0 |   |

|                                                     |        |                     |            |                               |        |        |         |                               |            |            |        |        |      |        |
|-----------------------------------------------------|--------|---------------------|------------|-------------------------------|--------|--------|---------|-------------------------------|------------|------------|--------|--------|------|--------|
|                                                |   | As of June 30, 2010 |       | As of December 31, 2009       |
| Term-to-Maturity and Weighted-Average Interest Rate |   | Amount              |       | Weighted-AverageInterest Rate |   | Amount |    | Weighted-AverageInterest Rate |
| (in thousands, except interest rates)               |   |                |       |                          |   |   |    |                          |
| Due in one year or less                             |   | $                   | 11,764,745 |                          |   | 1.00   |    |                          | $          | 11,264,000 |   |   | 1.12 |   |
| Due after one year through two years                |   | 7,849,550           |       |                          | 1.23   |   |    | 3,656,595                     |       |       | 1.81   |   |
| Due after two years through three years             |   | 4,014,000           |       |                          | 2.18   |   |    | 4,894,000                     |       |       | 2.55   |   |
| Due after three years through four years            |   | 3,013,000           |       |                          | 3.21   |   |    | 2,772,000                     |       |       | 3.10   |   |
| Due after four years through five years             |   | 2,099,500           |       |                          | 2.99   |   |    | 2,297,500                     |       |       | 3.74   |   |
| Thereafter                                          |   | 4,908,270           |       |                          | 4.72   |   |    | 4,794,270                     |       |       | 5.01   |   |
| Total par value                                     |   | 33,649,065          |       |                          | 2.06   |   |    | 29,678,365                    |       |       | 2.46   |   |
| Premiums                                            |   | 10,249              |       |                          |   |   | 11,388  |                          |       |       |
| Discounts                                           |   | (22,984             | )          |                          |   |   | (25,095 | )                             |       |       |
| Hedging adjustments                                 |   | 296,973             |       |                          |   |   | 97,571  |                          |       |       |
| Total                                               |   | $                   | 33,933,303 |                          |   |   |    | $                             | 29,762,229 |       |   |   |

----

Table of Contents

----

Table of Contents

|                                                                              |        |                      |         |                      |        |   |           |        |
|------------------------------------------------------------------------------|--------|----------------------|---------|----------------------|--------|---|-----------|--------|
| 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 (1)               |    | Yes                  |
| Statutory redemption period (2)                                         |   | Six months           |    | Five years           |
| Total outstanding balance                                                    |   |                 |    |                 |
| June 30, 2010                                                                |   | $                    | 158,865 |                 |   | $ | 2,638,844 |   |
| December 31, 2009                                                            |   | $                    | 158,864 |                 |   | $ | 2,637,330 |   |

|     |                                                                                                                                                                                                                                                                                                                                                                                         |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | On May 12, 2009, as part of the Seattle Bank's efforts to correct its risk-based capital deficiency, the Board of Directors (Board) suspended the issuance of Class A capital stock to support new advances, effective June 1, 2009. New advances must be supported by Class B capital stock, which, unlike Class A capital stock, is included in the Seattle Bank's permanent capital. |
| (2) | 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.                                                                                                                      |

|                                                                      |        |                                   |         |                      |         |                      |           |                      |        |        |         |        |        |   |           |        |
|----------------------------------------------------------------------|--------|-----------------------------------|---------|----------------------|---------|----------------------|-----------|----------------------|--------|--------|---------|--------|--------|---|-----------|--------|
|                                                                 |   | For the Six Months Ended June 30, |
|                                                                 |   | 2010                              |    | 2009                 |
| Capital Stock Activity                                               |   | Class ACapital Stock              |    | Class BCapital Stock |    | Class ACapital Stock |      | Class BCapital 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                              |   | —                           |    |                 | 1,514   |                 |      | 19,535               |   |   | 4,571   |   |
| Total capital stock purchases                                        |   | —                           |    |                 | 1,514   |                 |      | 19,535               |   |   | 8,444   |   |
| Capital stock transferred from mandatorily redeemable capital stock: |   |                              |    |                 |    |                 |      |                 |
| Transfers between shareholders                                       |   | —                           |    |                 | 2,486   |                 |      | —              |   |   | 381     |   |
| Cancellation of membership withdrawal requests                       |   | 1                                 |    |                 | 660     |                 |      | —              |   |   | 79      |   |
| Capital stock transferred to mandatorily redeemable capital stock:   |   |                              |    |                 |    |                 |      |                 |
| Withdrawals/involuntary redemptions                                  |   | —                           |    |                 | (1,740  | )                    |      | (2,253               | )      |   | (3,911  | )      |
| Redemption requests past redemption date                             |   | —                           |    |                 | (7,984  | )                    |      | —              |   |   | — |   |
| Net transfers from (to) mandatorily redeemable capital stock         |   | 1                                 |    |                 | (6,578  | )                    |      | (2,253               | )      |   | (3,451  | )      |
| Balance, end of period                                               |   | $                                 | 132,519 |                 |    | $                    | 1,712,085 |                 |   | $      | 135,135 |   |   | $ | 1,735,280 |   |

----

Table of Contents

|                                                                   |        |                      |        |                         |        |                      |         |                      |        |        |         |        |        |   |         |        |
|-------------------------------------------------------------------|--------|----------------------|--------|-------------------------|--------|----------------------|---------|----------------------|--------|--------|---------|--------|--------|---|---------|--------|
|                                                              |   | As of June 30, 2010  |   | As of December 31, 2009 |
| Class A and Class B Capital Stock - Voluntary Redemptions by Date |   | Class ACapital Stock |   | Class BCapital Stock    |   | Class ACapital Stock |    | Class BCapital Stock |
| (in thousands)                                                    |   |                 |   |                    |   |                 |    |                 |
| Less than one year                                                |   | $                    | 698    |                    |   | $                    | 61,122  |                 |   | $      | — |   |   | $ | 65,163  |   |
| One year through two years                                        |   | —              |   |                    | 71,702 |                 |    | —              |   |   | 11,482  |   |
| Two years through three years                                     |   | —              |   |                    | 30,346 |                 |    | —              |   |   | 67,511  |   |
| Three years through four years                                    |   | —              |   |                    | 22,922 |                 |    | —              |   |   | 45,897  |   |
| Four years through five years                                     |   | —              |   |                    | 21,113 |                 |    | —              |   |   | 24,331  |   |
| Total                                                             |   | $                    | 698    |                    |   | $                    | 207,205 |                 |   | $      | — |   |   | $ | 214,384 |   |

|                                                            |        |                      |        |                         |         |                      |         |                      |        |        |         |        |        |   |         |        |
|------------------------------------------------------------|--------|----------------------|--------|-------------------------|---------|----------------------|---------|----------------------|--------|--------|---------|--------|--------|---|---------|--------|
|                                                       |   | As of June 30, 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 |                    |    | $                    | 127,457 |                 |   | $      | 26,346  |   |   | $ | 62,302  |   |
| Less than one year                                         |   | —              |   |                    | 3,439   |                 |    | —              |   |   | 59,332  |   |
| One year through two years                                 |   | —              |   |                    | 14,185  |                 |    | —              |   |   | 2,994   |   |
| Two years through three years                              |   | —              |   |                    | 147     |                 |    | —              |   |   | 13,544  |   |
| Three years through four years                             |   | —              |   |                    | 759,082 |                 |    | —              |   |   | 757,648 |   |
| Four years through five years                              |   | —              |   |                    | 22,449  |                 |    | —              |   |   | 24,361  |   |
| Total                                                      |   | $                    | 26,346 |                    |    | $                    | 926,759 |                 |   | $      | 26,346  |   |   | $ | 920,181 |   |

----

Table of Contents

|                                                       |        |                    |           |                        |           |        |           |        |
|-------------------------------------------------------|--------|--------------------|-----------|------------------------|-----------|--------|-----------|--------|
|                                                  |   | As of              |      | As of                  |
| Permanent Capital and Risk-Based Capital Requirements |   | June 30, 2010 |      | December 31, 2009 |
| (in thousands)                                        |   |               |      |                   |
| Permanent Capital                                     |   |               |      |                   |
| Class B capital stock                                 |   | $                  | 1,712,085 |                   |      | $      | 1,717,149 |   |
| Mandatorily redeemable Class B capital stock          |   | 926,759            |      |                   | 920,181   |   |
| Retained earnings                                     |   | 67,165             |      |                   | 52,897    |   |
| Permanent capital                                     |   | $                  | 2,706,009 |                   |      | $      | 2,690,227 |   |
| Risk-Based Capital Requirement                        |   |               |      |                   |
| Credit risk                                           |   | $                  | 705,552   |                   |      | $      | 565,293   |   |
| Market risk                                           |   | 851,588            |      |                   | 1,095,086 |   |
| Operations risk                                       |   | 467,142            |      |                   | 498,114   |   |
| Risk-based capital requirement                        |   | $                  | 2,024,282 |                   |      | $      | 2,158,493 |   |
| Risk-based capital surplus                            |   | $                  | 681,727   |                   |      | $      | 531,734   |   |

----

Table of Contents

|                                     |        |                    |           |                        |           |        |           |        |
|-------------------------------------|--------|--------------------|-----------|------------------------|-----------|--------|-----------|--------|
|                                |   | As of              |      | As of                  |
| Regulatory Capital-to-Assets Ratios |   | June 30, 2010 |      | December 31, 2009 |
| (in thousands, except percentages)  |   |               |      |                   |
| Minimum regulatory capital          |   | $                  | 1,924,144 |                   |      | $      | 2,043,779 |   |
| Total regulatory capital            |   | 2,864,874          |      |                   | 2,849,091 |   |
| Regulatory capital-to-assets ratio  |   | 5.96               | %         |                   | 5.58      | %      |

|                                                                                  |        |                    |           |                        |           |        |           |        |
|----------------------------------------------------------------------------------|--------|--------------------|-----------|------------------------|-----------|--------|-----------|--------|
|                                                                             |   | As of              |      | As of                  |
| Leverage Capital Ratios                                                          |   | June 30, 2010 |      | December 31, 2009 |
| (in thousands, except percentages)                                               |   |               |      |                   |
| Minimum leverage capital (5.00% of total assets)                                 |   | $                  | 2,405,180 |                   |      | $      | 2,554,724 |   |
| Leverage capital (includes 1.5 weighting factor applicable to permanent capital) |   | 4,217,879          |      |                   | 4,194,205 |   |
| Leverage capital ratio                                                           |   | 8.77               | %         |                   | 8.21      | %      |

----

Table of Contents

----

Table of Contents

|                                              |        |                        |            |              |            |              |            |            |        |        |           |        |        |            |           |        |        |   |            |        |
|----------------------------------------------|--------|------------------------|------------|--------------|------------|--------------|------------|------------|--------|--------|-----------|--------|--------|------------|-----------|--------|--------|---|------------|--------|
|                                         |   | As of June 30, 2010    |
|                                         |   | Payments 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                         |   | $                      | 17,301     |         |       | $            | —    |       |   | $      | —   |   |   | $          | —   |   |   | $ | 17,301     |   |
| Consolidated obligation bonds (at par) *     |   | 11,764,745             |       |         | 11,863,550 |         |       | 5,112,500  |   |   | 4,908,270 |   |   | 33,649,065 |      |
| Derivative liabilities                       |   | 213,717                |       |         | —    |         |       | —    |   |   | —   |   |   | 213,717    |      |
| Mandatorily redeemable capital stock         |   | 157,242                |       |         | 14,332     |         |       | 781,531    |   |   | —   |   |   | 953,105    |      |
| Operating leases                             |   | 3,224                  |       |         | 6,177      |         |       | 15         |   |   | —   |   |   | 9,416      |      |
| Total contractual obligations                |   | $                      | 12,156,229 |         |       | $            | 11,884,059 |       |   | $      | 5,894,046 |   |   | $          | 4,908,270 |   |   | $ | 34,842,604 |   |
| Other Commitments                            |   |                   |       |         |       |         |       |       |   |   |
| Commitments for additional advances          |   | $                      | 4,400      |         |       | $            | —    |       |   | $      | —   |   |   | $          | —   |   |   | $ | 4,400      |   |
| Standby letters of credit                    |   | 605,558                |       |         | 346,043    |         |       | —    |   |   | —   |   |   | 951,601    |      |
| Standby bond purchase agreements             |   | 46,255                 |       |         | —    |         |       | —    |   |   | —   |   |   | 46,255     |      |
| Unused lines of credit and other commitments |   | —                |       |         | 50,000     |         |       | —    |   |   | —   |   |   | 50,000     |      |
| Total other commitments                      |   | $                      | 656,213    |         |       | $            | 396,043    |       |   | $      | —   |   |   | $          | —   |   |   | $ | 1,052,256  |   |

|   |                                                                                                                                                                                               |
|---|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| * | Does not include interest payments on consolidated obligation bonds or discount notes and is based on contractual maturities; the actual timing of payments could be affected by redemptions. |

----

Table of Contents

|                                     |        |                           |        |                         |        |               |        |               |        |                    |        |                        |        |      |        |        |      |        |
|-------------------------------------|--------|---------------------------|--------|-------------------------|--------|---------------|--------|---------------|--------|--------------------|--------|------------------------|--------|------|--------|--------|------|--------|
|                                |   | Average Rate              |   | Ending Rate             |
|                                |   | For the Three MonthsEnded |   | For the Six MonthsEnded |   | As of         |   | As of         |
| Market Instrument                   |   | June 30, 2010        |   | June 30, 2009      |   | June 30, 2010 |   | June 30, 2009 |   | June 30, 2010 |   | December 31, 2009 |
| (in percentages)                    |   |                      |   |                    |   |          |   |          |   |               |   |                   |
| Federal funds effective/target rate |   | 0.19                      |   |                    | 0.18   |          |   | 0.16          |   |               | 0.18   |                   |   | 0.09 |   |   | 0.05 |   |
| 3-month Treasury bill               |   | 0.14                      |   |                    | 0.16   |          |   | 0.12          |   |               | 0.18   |                   |   | 0.17 |   |   | 0.05 |   |
| 3-month LIBOR                       |   | 0.44                      |   |                    | 0.84   |          |   | 0.35          |   |               | 1.05   |                   |   | 0.53 |   |   | 0.25 |   |
| 2-year U.S. Treasury note           |   | 0.85                      |   |                    | 1.00   |          |   | 0.88          |   |               | 0.94   |                   |   | 0.60 |   |   | 1.14 |   |
| 5-year U.S. Treasury note           |   | 2.24                      |   |                    | 2.22   |          |   | 2.32          |   |               | 1.99   |                   |   | 1.77 |   |   | 2.68 |   |
| 10-year U.S. Treasury note          |   | 3.47                      |   |                    | 3.30   |          |   | 3.59          |   |               | 3.00   |                   |   | 2.93 |   |   | 3.84 |   |

----

Table of Contents

|                                      |        |                                     |            |                         |         |               |        |                 |           |                         |            |               |            |            |        |         |         |         |        |        |      |        |
|--------------------------------------|--------|-------------------------------------|------------|-------------------------|---------|---------------|--------|-----------------|-----------|-------------------------|------------|---------------|------------|------------|--------|---------|---------|---------|--------|--------|------|--------|
|                                 |   | For the Three Months Ended June 30, |
|                                 |   | 2010                                |       | 2009                    |
|                                 |   | Average Balance                     |       | Interest Income/Expense |    | Average Yield |   | Average Balance |      | Interest Income/Expense |       | Average Yield |
| (in thousands, except percentages)   |   |                                |       |                    |    |          |   |            |      |                    |       |          |
| Interest-Earning Assets              |   |                                |       |                    |    |          |   |            |      |                    |       |          |
| Advances                             |   | $                                   | 19,548,326 |                    |    | $             | 53,973 |            |      | 1.11                    |       |          | $          | 29,977,059 |   |    | $       | 110,904 |   |   | 1.48 |   |
| Mortgage loans held for portfolio    |   | 3,846,060                           |       |                    | 46,758  |          |   | 4.88            |      |                    | 4,749,053  |          |       | 63,777     |   |    | 5.39    |    |
| Investments *                   |   | 28,515,159                          |       |                    | 57,642  |          |   | 0.81            |      |                    | 18,701,044 |          |       | 47,493     |   |    | 1.02    |    |
| Other interest-earning assets        |   | 33,960                              |       |                    | 18      |          |   | 0.20            |      |                    | 254,860    |          |       | 152        |   |    | 0.24    |    |
| Total interest-earning assets        |   | 51,943,505                          |       |                    | 158,391 |          |   | 1.22            |      |                    | 53,682,016 |          |       | 222,326    |   |    | 1.67    |    |
| Other assets                         |   | (573,727                            | )          |                    |    |          |   |            | (866,941  | )                       |       |          |       |       |
| Total assets                         |   | $                                   | 51,369,778 |                    |    |          |   |            |      | $                       | 52,815,075 |          |       |       |   |    |
| Interest-Bearing Liabilities         |   |                                |       |                    |    |          |   |            |      |                    |       |          |
| Consolidated obligations             |   | $                                   | 48,057,734 |                    |    | 108,428       |   |            | 0.90      |                    |       | $             | 49,593,515 |       |   | 174,001 |    |    | 1.41   |   |
| Deposits                             |   | 322,458                             |       |                    | 60      |          |   | 0.07            |      |                    | 660,804    |          |       | 246        |   |    | 0.15    |    |
| Mandatorily redeemable capital stock |   | 950,756                             |       |                    | — |          |   | —         |      |                    | 922,406    |          |       | —    |   |    | — |    |
| Other borrowings                     |   | 230                                 |       |                    | — |          |   | —         |      |                    | 669        |          |       | —    |   |    | — |    |
| Total interest-bearing liabilities   |   | 49,331,178                          |       |                    | 108,488 |          |   | 0.88            |      |                    | 51,177,394 |          |       | 174,247    |   |    | 1.37    |    |
| Other liabilities                    |   | 915,741                             |       |                    |    |          |   |            | 624,503   |                    |       |          |       |       |
| Capital                              |   | 1,122,859                           |       |                    |    |          |   |            | 1,013,178 |                    |       |          |       |       |
| Total liabilities and capital        |   | $                                   | 51,369,778 |                    |    |          |   |            |      | $                       | 52,815,075 |          |       |       |   |    |
| Net interest income                  |   |                                |       | $                       | 49,903  |          |   |            |      |                    |       | $             | 48,079     |       |   |    |
|                                 |   |                                |       |                    |    |          |   |            |      |                    |       |          |
| Interest-rate spread                 |   |                                |       | $                       | 41,938  |          |   | 0.34            |      |                    |       |          | $          | 37,706     |   |    | 0.30    |    |
| Earnings from capital                |   |                                |       | 7,965                   |    |          | 0.05   |            |      |                    |       | 10,373        |       |       | 0.03   |    |
| Net interest margin                  |   |                                |       | $                       | 49,903  |          |   | 0.39            |      |                    |       |          | $          | 48,079     |   |    | 0.33    |    |

|                                      |        |                                   |            |                         |         |               |         |                 |           |                         |            |               |            |            |        |         |         |         |        |        |      |        |
|--------------------------------------|--------|-----------------------------------|------------|-------------------------|---------|---------------|---------|-----------------|-----------|-------------------------|------------|---------------|------------|------------|--------|---------|---------|---------|--------|--------|------|--------|
|                                 |   | For the Six Months Ended June 30, |
|                                 |   | 2010                              |       | 2009                    |
|                                 |   | Average Balance                   |       | Interest Income/Expense |    | Average Yield |    | Average Balance |      | Interest Income/Expense |       | Average Yield |
| (in thousands, except percentages)   |   |                              |       |                    |    |          |    |            |      |                    |       |          |
| Interest-Earning Assets              |   |                              |       |                    |    |          |    |            |      |                    |       |          |
| Advances                             |   | $                                 | 20,391,327 |                    |    | $             | 102,711 |            |      | 1.02                    |       |          | $          | 33,320,963 |   |    | $       | 290,137 |   |   | 1.76 |   |
| Mortgage loans held for portfolio    |   | 3,928,748                         |       |                    | 96,391  |          |    | 4.95            |      |                    | 4,881,993  |          |       | 127,417    |   |    | 5.26    |    |
| Investments *                   |   | 27,626,497                        |       |                    | 107,435 |          |    | 0.78            |      |                    | 18,537,067 |          |       | 119,825    |   |    | 1.30    |    |
| Other interest-earning assets        |   | 42,559                            |       |                    | 35      |          |    | 0.16            |      |                    | 154,925    |          |       | 179        |   |    | 0.23    |    |
| Total interest-earning assets        |   | 51,989,131                        |       |                    | 306,572 |          |    | 1.19            |      |                    | 56,894,948 |          |       | 537,558    |   |    | 1.91    |    |
| Other assets                         |   | (613,216                          | )          |                    |    |          |    |            | (452,534  | )                       |       |          |       |       |
| Total assets                         |   | $                                 | 51,375,915 |                    |    |          |    |            |      | $                       | 56,442,414 |          |       |       |   |    |
| Interest-Bearing Liabilities         |   |                              |       |                    |    |          |    |            |      |                    |       |          |
| Consolidated obligations             |   | $                                 | 48,162,841 |                    |    | 215,054       |    |            | 0.90      |                    |       | $             | 52,820,207 |       |   | 414,388 |    |    | 1.58   |   |
| Deposits                             |   | 330,969                           |       |                    | 105     |          |    | 0.06            |      |                    | 647,442    |          |       | 727        |   |    | 0.23    |    |
| Mandatorily redeemable capital stock |   | 948,911                           |       |                    | — |          |    | —         |      |                    | 920,902    |          |       | —    |   |    | — |    |
| Other borrowings                     |   | 176                               |       |                    | — |          |    | —         |      |                    | 1,781      |          |       | —    |   |    | — |    |
| Total interest-bearing liabilities   |   | 49,442,897                        |       |                    | 215,159 |          |    | 0.88            |      |                    | 54,390,332 |          |       | 415,115    |   |    | 1.54    |    |
| Other liabilities                    |   | 846,010                           |       |                    |    |          |    |            | 644,594   |                    |       |          |       |       |
| Capital                              |   | 1,087,008                         |       |                    |    |          |    |            | 1,407,488 |                    |       |          |       |       |
| Total liabilities and capital        |   | $                                 | 51,375,915 |                    |    |          |    |            |      | $                       | 56,442,414 |          |       |       |   |    |
| Net interest income                  |   |                              |       | $                       | 91,413  |          |    |            |      |                    |       | $             | 122,443    |       |   |    |
|                                 |   |                              |       |                    |    |          |    |            |      |                    |       |          |
| Interest-rate spread                 |   |                              |       | $                       | 76,399  |          |    | 0.31            |      |                    |       |          | $          | 98,779     |   |    | 0.37    |    |
| Earnings from capital                |   |                              |       | 15,014                  |    |          | 0.05    |            |      |                    |       | 23,664        |       |       | 0.05   |    |
| Net interest margin                  |   |                              |       | $                       | 91,413  |          |    | 0.36            |      |                    |       |          | $          | 122,443    |   |    | 0.42    |    |

----

Table of Contents

|   |                                                                                                                                                                                                                                                                                                                        |
|---|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| * | 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 comprehensive loss. |

|                                   |        |                                     |         |                                   |         |        |         |         |        |        |         |        |        |          |         |        |          |   |         |        |        |   |          |   |
|-----------------------------------|--------|-------------------------------------|---------|-----------------------------------|---------|--------|---------|---------|--------|--------|---------|--------|--------|----------|---------|--------|----------|---|---------|--------|--------|---|----------|---|
|                              |   | For the Three Months Ended June 30, |    | For the Six Months Ended June 30, |
|                              |   | 2010 v. 2009Increase (Decrease)     |    | 2010 v. 2009Increase (Decrease)   |
| Changes in Volume and Rate        |   | Volume*                             |    | Rate*                             |    | Total  |    | Volume* |   | Rate*  |    | Total  |
|  (in thousands)              |   |                                |    |                              |    |   |    |    |   |   |    |   |
| Interest Income                   |   |                                |    |                              |    |   |    |    |   |   |    |   |
| Advances                          |   | $                                   | (32,922 | )                                 |    | $      | (24,009 | )       |   | $      | (56,931 | )      |   | $        | (89,837 | )      |     | $ | (97,589 | )      |   | $ | (187,426 | ) |
| Investments                       |   | 34,762                              |    |                              | (24,613 | )      |    | 10,149  |   |   | 45,840  |   |   | (58,230  | )       |   | (12,390  | ) |
| Mortgage loans held for portfolio |   | (11,360                             | )       |                              | (5,659  | )      |    | (17,019 | )      |   | (23,738 | )      |   | (7,288   | )       |   | (31,026  | ) |
| Other loans                       |   | (119                                | )       |                              | (15     | )      |    | (134    | )      |   | (103    | )      |   | (41      | )       |   | (144     | ) |
| Total interest income             |   | (9,639                              | )       |                              | (54,296 | )      |    | (63,935 | )      |   | (67,838 | )      |   | (163,148 | )       |   | (230,986 | ) |
| Interest Expense                  |   |                                |    |                              |    |   |    |    |   |   |    |   |
| Consolidated obligations          |   | (5,235                              | )       |                              | (60,338 | )      |    | (65,573 | )      |   | (33,864 | )      |   | (165,470 | )       |   | (199,334 | ) |
| Deposits                          |   | (94                                 | )       |                              | (92     | )      |    | (186    | )      |   | (252    | )      |   | (370     | )       |   | (622     | ) |
| Total interest expense            |   | (5,329                              | )       |                              | (60,430 | )      |    | (65,759 | )      |   | (34,116 | )      |   | (165,840 | )       |   | (199,956 | ) |
| Change in net interest income     |   | $                                   | (4,310  | )                                 |    | $      | 6,134   |    |   | $      | 1,824   |   |   | $        | (33,722 | )      |     | $ | 2,692   |   |   | $ | (31,030  | ) |

|   |                                                                                                                                                                                                                                                                                                           |
|---|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| * | 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. |

----

Table of Contents

|                                    |        |                                     |         |                                   |         |                              |         |        |        |        |         |                              |         |         |        |        |       |         |        |        |       |   |
|------------------------------------|--------|-------------------------------------|---------|-----------------------------------|---------|------------------------------|---------|--------|--------|--------|---------|------------------------------|---------|---------|--------|--------|-------|---------|--------|--------|-------|---|
|                               |   | For the Three Months Ended June 30, |    | For the Six Months Ended June 30, |
| Interest Income                    |   | 2010                                |    | 2009                              |    | Percent Increase/ (Decrease) |    | 2010   |   | 2009   |    | Percent Increase/ (Decrease) |
| (in thousands, except percentages) |   |                                |    |                              |    |                         |    |   |   |   |    |                         |
| Advances                           |   | $                                   | 43,634  |                              |    | $                            | 109,259 |   |   | (60.1  | )       |                         | $       | 89,765  |   |   | $     | 284,504 |   |   | (68.4 | ) |
| Prepayment fees on advances, net   |   | 10,339                              |    |                              | 1,645   |                         |    | 528.5  |   |   | 12,946  |                         |    | 5,633   |   |   | 129.8 |    |
| Subtotal                           |   | 53,973                              |    |                              | 110,904 |                         |    | (51.3  | )      |   | 102,711 |                         |    | 290,137 |   |   | (64.6 | )       |
| Investments                        |   | 57,659                              |    |                              | 47,645  |                         |    | 21.0   |   |   | 107,469 |                         |    | 120,004 |   |   | (10.4 | )       |
| Mortgage loans held for portfolio  |   | 46,758                              |    |                              | 63,777  |                         |    | (26.7  | )      |   | 96,391  |                         |    | 127,417 |   |   | (24.3 | )       |
| Loans to other FHLBanks            |   | 1                                   |    |                              | — |                         |    | N/A    |   | 1      |    |                         | — |    |   | N/A    |
| Total interest income              |   | $                                   | 158,391 |                              |    | $                            | 222,326 |   |   | (28.8  | )       |                         | $       | 306,572 |   |   | $     | 537,558 |   |   | (43.0 | ) |

----

Table of Contents

|                                           |        |                                     |         |                                   |         |                              |         |        |        |        |         |                              |        |         |        |        |       |         |        |        |       |   |
|-------------------------------------------|--------|-------------------------------------|---------|-----------------------------------|---------|------------------------------|---------|--------|--------|--------|---------|------------------------------|--------|---------|--------|--------|-------|---------|--------|--------|-------|---|
|                                      |   | For the Three Months Ended June 30, |    | For the Six Months Ended June 30, |
| Interest Expense                          |   | 2010                                |    | 2009                              |    | Percent Increase/ (Decrease) |    | 2010   |   | 2009   |    | Percent Increase/ (Decrease) |
| (in thousands, except percentages)        |   |                                |    |                              |    |                         |    |   |   |   |    |                         |
| Consolidated obligations - discount notes |   | $                                   | 5,781   |                              |    | $                            | 21,783  |   |   | (73.5  | )       |                         | $      | 10,102  |   |   | $     | 53,398  |   |   | (81.1 | ) |
| Consolidated obligations - bonds          |   | 102,647                             |    |                              | 152,218 |                         |    | (32.6  | )      |   | 204,952 |                         |   | 360,990 |   |   | (43.2 | )       |
| Deposits                                  |   | 60                                  |    |                              | 246     |                         |    | (75.6  | )      |   | 105     |                         |   | 727     |   |   | (85.6 | )       |
| Total interest expense                    |   | $                                   | 108,488 |                              |    | $                            | 174,247 |   |   | (37.7  | )       |                         | $      | 215,159 |   |   | $     | 415,115 |   |   | (48.2 | ) |

----

Table of Contents

|                                                                                                |        |                                          |         |                             |          |                                    |          |                                                  |        |        |        |        |        |   |         |        |
|------------------------------------------------------------------------------------------------|--------|------------------------------------------|---------|-----------------------------|----------|------------------------------------|----------|--------------------------------------------------|--------|--------|--------|--------|--------|---|---------|--------|
|                                                                                           |   | For the Three Months Ended June 30, 2010 |
| 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 Ineffectiveness (1) |     | Effect of Derivatives on Net Interest Income (2) |
| (in thousands)                                                                                 |   |                                     |    |                        |     |                               |     |                                             |
| Advances                                                                                       |   | $                                        | (31,464 | )                           |     | $                                  | 28,282   |                                             |   | $      | (3,182 | )      |   | $ | (63,264 | )      |
| AFS securities                                                                                 |   | (6,266                                   | )       |                        | 6,493    |                               |     | 227                                              |   |   | (1,492 | )      |
| Consolidated obligation bonds                                                                  |   | 190,666                                  |    |                        | (168,445 | )                                  |     | 22,221                                           |   |   | 69,114 |   |
| Consolidated obligation discount notes                                                         |   | 171                                      |    |                        | (244     | )                                  |     | (73                                              | )      |   | 50     |   |
| Total                                                                                          |   | $                                        | 153,107 |                        |     | $                                  | (133,914 | )                                                |   | $      | 19,193 |   |   | $ | 4,408   |   |

|                                                                                                |        |                                          |          |                             |         |                               |         |                                                  |        |        |        |        |        |   |         |   |
|------------------------------------------------------------------------------------------------|--------|------------------------------------------|----------|-----------------------------|---------|-------------------------------|---------|--------------------------------------------------|--------|--------|--------|--------|--------|---|---------|---|
|                                                                                           |   | For the Three Months Ended June 30, 2009 |
| (Loss) Gain on Derivatives and on the Related Hedged Items in Fair Value Hedging Relationships |   | (Loss) Gain on Derivatives               |     | Gain (Loss) on Hedged Items |    | Net Hedge Ineffectiveness (1) |    | Effect of Derivatives on Net Interest Income (2) |
| (in thousands)                                                                                 |   |                                     |     |                        |    |                          |    |                                             |
| Advances                                                                                       |   | $                                        | 5,646    |                        |    | $                             | (5,500  | )                                                |   | $      | 146    |   |   | $ | (72,754 | ) |
| Consolidated obligation bonds                                                                  |   | (209,529                                 | )        |                        | 201,128 |                          |    | (8,401                                           | )      |   | 58,660 |   |
| Consolidated obligation discount notes                                                         |   | 9,952                                    |     |                        | (10,104 | )                             |    | (152                                             | )      |   | 5,020  |   |
| Total                                                                                          |   | $                                        | (193,931 | )                           |    | $                             | 185,524 |                                             |   | $      | (8,407 | )      |   | $ | (9,074  | ) |

----

Table of Contents

|                                                                                                |        |                                        |         |                             |          |                                    |          |                                                  |        |        |         |        |        |   |          |   |
|------------------------------------------------------------------------------------------------|--------|----------------------------------------|---------|-----------------------------|----------|------------------------------------|----------|--------------------------------------------------|--------|--------|---------|--------|--------|---|----------|---|
|                                                                                           |   | For the Six Months Ended June 30, 2010 |
| 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 Ineffectiveness (1) |     | Effect of Derivatives on Net Interest Income (2) |
| (in thousands)                                                                                 |   |                                   |    |                        |     |                               |     |                                             |
| Advances                                                                                       |   | $                                      | (31,068 | )                           |     | $                                  | 28,462   |                                             |   | $      | (2,606  | )      |   | $ | (141,593 | ) |
| AFS securities                                                                                 |   | (6,266                                 | )       |                        | 6,493    |                               |     | 227                                              |   |   | (1,492  | )      |
| Consolidated obligation bonds                                                                  |   | 240,519                                |    |                        | (219,065 | )                                  |     | 21,454                                           |   |   | 137,342 |   |
| Consolidated obligation discount notes                                                         |   | (2,556                                 | )       |                        | 2,933    |                               |     | 377                                              |   |   | 2,692   |   |
| Total                                                                                          |   | $                                      | 200,629 |                        |     | $                                  | (181,177 | )                                                |   | $      | 19,452  |   |   | $ | (3,051   | ) |

|                                                                                                |        |                                        |          |                                  |         |                               |         |                                                       |        |        |         |        |        |   |          |   |
|------------------------------------------------------------------------------------------------|--------|----------------------------------------|----------|----------------------------------|---------|-------------------------------|---------|-------------------------------------------------------|--------|--------|---------|--------|--------|---|----------|---|
|                                                                                           |   | For the Six Months Ended June 30, 2009 |
| (Loss) Gain on Derivatives and on the Related Hedged Items in Fair Value Hedging Relationships |   | (Loss) Gain on Derivatives             |     | Gain (Loss) on Hedged Items |    | Net Hedge Ineffectiveness (1) |    | Effect of Derivatives on Net Interest Income (2) |
| (in thousands)                                                                                 |   |                                   |     |                             |    |                          |    |                                                  |
| Advances                                                                                       |   | $                                      | 9,928    |                             |    | $                             | (13,945 | )                                                     |   | $      | (4,017  | )      |   | $ | (128,245 | ) |
| Consolidated obligation bonds                                                                  |   | (268,426                               | )        |                             | 259,971 |                          |    | (8,455                                                | )      |   | 116,762 |   |
| Consolidated obligation discount notes                                                         |   | 3,074                                  |     |                             | (1,878  | )                             |    | 1,196                                                 |   |   | 8,951   |   |
| Total                                                                                          |   | $                                      | (255,424 | )                                |    | $                             | 244,148 |                                                  |   | $      | (11,276 | )      |   | $ | (2,532   | ) |

|     |                                                                                                                                                        |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------|
| (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. |

----

Table of Contents

|                                                                       |        |                                     |         |                                   |         |                              |         |        |        |        |         |                              |        |          |        |        |        |          |        |        |      |        |
|-----------------------------------------------------------------------|--------|-------------------------------------|---------|-----------------------------------|---------|------------------------------|---------|--------|--------|--------|---------|------------------------------|--------|----------|--------|--------|--------|----------|--------|--------|------|--------|
|                                                                  |   | For the Three Months Ended June 30, |    | For the Six Months Ended June 30, |
| Other (Loss) Income                                                   |   | 2010                                |    | 2009                              |    | Percent Increase/ (Decrease) |    | 2010   |   | 2009   |    | Percent Increase/ (Decrease) |
| (in thousands, except percentages)                                    |   |                                |    |                              |    |                         |    |   |   |   |    |                         |
| Service fees                                                          |   | $                                   | 722     |                              |    | $                            | 572     |   |   | 26.2   |    |                         | $      | 1,395    |   |   | $      | 1,144    |   |   | 21.9 |   |
| Net OTTI loss recognized in income                                    |   | (46,806                             | )       |                              | (61,751 | )                            |    | 24.2   |   |   | (66,446 | )                            |   | (133,419 | )      |   | 50.2   |     |
| Net gain (loss) on derivatives and hedging activities                 |   | 23,125                              |    |                              | (8,025  | )                            |    | 388.2  |   |   | 27,142  |                         |   | (10,966  | )      |   | 347.5  |     |
| Net realized loss on early extinguishment of consolidated obligations |   | (1,917                              | )       |                              | (441    | )                            |    | (334.7 | )      |   | (5,833  | )                            |   | (4,967   | )      |   | (17.4  | )        |
| Other, net                                                            |   | (3                                  | )       |                              | 4       |                         |    | (175.0 | )      |   | (1      | )                            |   | 17       |   |   | (105.9 | )        |
| Total other loss                                                      |   | $                                   | (24,879 | )                                 |    | $                            | (69,641 | )      |   | 64.3   |    |                         | $      | (43,743  | )      |   | $      | (148,191 | )      |   | 70.5 |   |

|                                                                             |        |                                     |        |                                   |         |        |        |         |        |        |         |        |        |   |         |   |
|-----------------------------------------------------------------------------|--------|-------------------------------------|--------|-----------------------------------|---------|--------|--------|---------|--------|--------|---------|--------|--------|---|---------|---|
|                                                                        |   | For the Three Months Ended June 30, |   | For the Six Months Ended June 30, |
| Net Gain (Loss) on Derivatives and Hedging Activities                       |   | 2010                                |   | 2009                              |    | 2010   |   | 2009    |
| (in thousands)                                                              |   |                                |   |                              |    |   |   |    |
| Derivatives and hedged items in fair value hedging relationships            |   |                                |   |                              |    |   |   |    |
| Interest-rate swaps                                                         |   | $                                   | 19,193 |                              |    | $      | (8,407 | )       |   | $      | 19,452  |   |   | $ | (11,276 | ) |
| Total net gain (loss) related to fair value hedge ineffectiveness           |   | 19,193                              |   |                              | (8,407  | )      |   | 19,452  |   |   | (11,276 | )      |
| Derivatives not designated as hedging instruments                           |   |                                |   |                              |    |   |   |    |
| Economic hedges                                                             |   |                                |   |                              |    |   |   |    |
| Interest-rate swaps                                                         |   | 28                                  |   |                              | 2       |   |   | 17      |   |   | 4       |   |
| Interest-rate caps or floors                                                |   | (1                                  | )      |                              | 73      |   |   | (47     | )      |   | (111    | )      |
| Net interest settlements                                                    |   | 3,905                               |   |                              | 307     |   |   | 7,720   |   |   | 435     |   |
| Intermediary transactions                                                   |   |                                |   |                              |    |   |   |    |
| Interest-rate swaps                                                         |   | —                             |   |                              | — |   |   | — |   |   | (18     | )      |
| Total net gain related to derivatives not designated as hedging instruments |   | 3,932                               |   |                              | 382     |   |   | 7,690   |   |   | 310     |   |
| Net gain (loss) on derivatives and hedging activities                       |   | $                                   | 23,125 |                              |    | $      | (8,025 | )       |   | $      | 27,142  |   |   | $ | (10,966 | ) |

----

Table of Contents

|                                                        |        |                                     |           |                                   |        |        |           |         |        |        |            |        |        |   |           |        |
|--------------------------------------------------------|--------|-------------------------------------|-----------|-----------------------------------|--------|--------|-----------|---------|--------|--------|------------|--------|--------|---|-----------|--------|
|                                                   |   | For the Three Months Ended June 30, |      | For the Six Months Ended June 30, |
| Consolidated Obligations Called and Early Extinguished |   | 2010                                |      | 2009                              |   | 2010   |      | 2009    |
| (in thousands, except interest rates)                  |   |                                |      |                              |   |   |      |    |
| Consolidated Obligations Called                        |   |                                |      |                              |   |   |      |    |
| Par value                                              |   | $                                   | 7,670,800 |                              |   | $      | 1,270,000 |    |   | $      | 12,241,800 |   |   | $ | 6,237,255 |   |
| Weighted-average interest rate                         |   | 1.80                                | %         |                              | 4.05   | %      |      | 1.94    | %      |   | 4.48       | %      |
| Consolidated Obligations Early Extinguished            |   |                                |      |                              |   |   |      |    |
| Par value                                              |   | $                                   | —   |                              |   | $      | 17,075    |    |   | $      | —    |   |   | $ | 17,075    |   |
| Weighted-average interest rate                         |   | —                             |      |                              | 5.37   | %      |      | — |   |   | 5.37       | %      |
| Total par value                                        |   | $                                   | 7,670,800 |                              |   | $      | 1,287,075 |    |   | $      | 12,241,800 |   |   | $ | 6,254,330 |   |

----

Table of Contents

|                                    |        |                                     |        |                                   |        |                              |        |          |        |        |        |                              |        |        |        |        |          |        |        |        |      |        |
|------------------------------------|--------|-------------------------------------|--------|-----------------------------------|--------|------------------------------|--------|----------|--------|--------|--------|------------------------------|--------|--------|--------|--------|----------|--------|--------|--------|------|--------|
|                               |   | For the Three Months Ended June 30, |   | For the Six Months Ended June 30, |
| Other Expense                      |   | 2010                                |   | 2009                              |   | Percent Increase/ (Decrease) |   | 2010     |   | 2009   |   | Percent Increase/ (Decrease) |
| (in thousands, except percentages) |   |                                |   |                              |   |                         |   |     |   |   |   |                         |
| Operating expenses:                |   |                                |   |                              |   |                         |   |     |   |   |   |                         |
| Compensation and benefits          |   | $                                   | 7,838  |                              |   | $                            | 6,942  |     |   | 12.9   |   |                         | $      | 15,425 |   |   | $        | 13,594 |   |   | 13.5 |   |
| Occupancy cost                     |   | 1,306                               |   |                              | 1,112  |                         |   | 17.4     |   |   | 2,595  |                         |   | 2,279  |   |   | 13.9     |   |
| Other operating                    |   | 5,786                               |   |                              | 3,395  |                         |   | 70.4     |   |   | 10,305 |                         |   | 6,457  |   |   | 59.6     |   |
| Finance Agency                     |   | 611                                 |   |                              | 447    |                         |   | 36.7     |   |   | 1,292  |                         |   | 943    |   |   | 37.0     |   |
| Office of Finance                  |   | 514                                 |   |                              | 452    |                         |   | 13.7     |   |   | 1,158  |                         |   | 936    |   |   | 23.7     |   |
| Other                              |   | (3,789                              | )      |                              | 135    |                         |   | (2,906.7 | )      |   | (3,693 | )                            |   | 280    |   |   | (1,418.9 | )      |
| Total other expense                |   | $                                   | 12,266 |                              |   | $                            | 12,483 |     |   | (1.7   | )      |                         | $      | 27,082 |   |   | $        | 24,489 |   |   | 10.6 |   |

|                                    |        |                                     |        |                                   |         |                              |         |        |        |        |        |                              |       |        |        |          |         |        |        |          |        |
|------------------------------------|--------|-------------------------------------|--------|-----------------------------------|---------|------------------------------|---------|--------|--------|--------|--------|------------------------------|-------|--------|--------|----------|---------|--------|--------|----------|--------|
|                               |   | For the Three Months Ended June 30, |   | For the Six Months Ended June 30, |
| AHP and REFCORP Assessments        |   | 2010                                |   | 2009                              |    | Percent Increase/ (Decrease) |    | 2010   |   | 2009   |   | Percent Increase/ (Decrease) |
| (in thousands, except percentages) |   |                                |   |                              |    |                         |    |   |   |   |   |                         |
| AHP                                |   | $                                   | 911    |                              |    | $                            | — |   |   | N/A    |   | $                            | 1,585 |   |   | $        | — |   |   | N/A      |
| REFCORP                            |   | 2,050                               |   |                              | — |                         |    | N/A    |   | 3,567  |   |                         | 33    |   |   | 10,709.1 |    |
| Total assessments                  |   | $                                   | 2,961  |                              |    | $                            | — |   |   | N/A    |   | $                            | 5,152 |   |   | $        | 33      |   |   | 15,512.1 |   |

----

Table of Contents

----

Table of Contents

----

Table of Contents

----

Table of Contents

----

Table of Contents

----

Table of Contents

----

Table of Contents

|                                                                                   |        |                    |        |                        |       |        |
|-----------------------------------------------------------------------------------|--------|--------------------|--------|------------------------|-------|--------|
|                                                                              |   | As of              |   | As of                  |
| Primary Risk Measures                                                             |   | June 30, 2010 |   | December 31, 2009 |
| Effective duration of equity                                                      |   | 2.58               |   |                   | 0.28  |   |
| Effective convexity of equity                                                     |   | 2.40               |   |                   | 0.77  |   |
| Effective key-rate-duration-of-equity mismatch                                    |   | 3.76               |   |                   | 1.80  |   |
| Market value-of-equity sensitivity                                                |   |               |   |                   |
|      (+ 100 basis point shock scenario) (in percentages) |   | (1.93              | )%     |                   | (0.57 | )%     |
| Market value-of-equity sensitivity                                                |   |               |   |                   |
|      ( -100 basis point shock scenario) (in percentages) |   | 2.57               | %      |                   | 0.37  | %      |

----

Table of Contents

|                                                                                  |        |                    |        |                        |        |              |        |          |
|----------------------------------------------------------------------------------|--------|--------------------|--------|------------------------|--------|--------------|--------|----------|
|                                                                             |   | As of              |   | As of                  |   | Risk Measure |
| Basis and Mortgage Book Risk Measures and Limits                                 |   | June 30, 2010 |   | December 31, 2009 |   | Limit        |
| Effective duration of equity                                                     |   | 0.06               |   |                   | 0.45   |         |   | +/-5.00  |
| Effective convexity of equity                                                    |   | (0.21              | )      |                   | (0.40  | )            |   | +/-5.00  |
| Effective key-rate-duration-of-equity mismatch                                   |   | 1.59               |   |                   | 1.26   |         |   | +/-3.50  |
| Market-value-of-equity sensitivity                                               |   |               |   |                   |   |         |
|      (+100 basis point shock scenario) (in percentages) |   | (0.46              | )%     |                   | (0.87  | )%           |   | +/-4.50% |
| Market-value-of-equity sensitivity                                               |   |               |   |                   |   |         |
|      (-100 basis point shock scenario) (in percentages) |   | (0.03              | )%     |                   | 0.11   | %            |   | +/-4.50% |

----

Table of Contents

----

Table of Contents

----

Table of Contents

----

Table of Contents

|             |        |                                                                                                                                                                                                       |
|-------------|--------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| Exhibit No. |   | Exhibits                                                                                                                                                                                              |
| 3.1         |   | Bylaws of the Federal Home Loan Bank of Seattle, as adopted March 31, 2006, as amended July 30, 2010 (incorporated by reference to Exhibit 3.1 to the Form 8-K filed with the SEC on August 5, 2010). |
|        |   |                                                                                                                                                                                                  |
| 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.                            |

----

Table of Contents

|        |                                                                    |        |        |                 |
|--------|--------------------------------------------------------------------|--------|--------|-----------------|
| By:    | /s/ Richard M. Riccobono                                           |   | Dated: | August 10, 2010 |
|   | Richard M. Riccobono                                               |   |   |            |
|   | President and Chief Executive Officer                              |   |   |            |
|   | (Principal Executive Officer)                                      |   |   |            |
|   |                                                               |   |   |            |
| By:    | /s/ Christina J. Gehrke                                            |   | Dated: | August 10, 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. |

----

Table of Contents

|             |        |                                                                                                                                                                                                       |
|-------------|--------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| Exhibit No. |   | Exhibits                                                                                                                                                                                              |
| 3.1         |   | Bylaws of the Federal Home Loan Bank of Seattle, as adopted March 31, 2006, as amended July 30, 2010 (incorporated by reference to Exhibit 3.1 to the Form 8-K filed with the SEC on August 5, 2010). |
|        |   |                                                                                                                                                                                                  |
| 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.                            |