----

|   |
|---|
|   |  |
| 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) |

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

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|                    |
|--------------------|
|                    |  |  |
|               |   |   |
|               |   | Page |
| PART I.  | FINANCIAL INFORMATION |   |
| Item 1.            | Financial Statements | 3 |
|               | Statements of Condition - As of March 31, 2011 and December 31, 2010 (Unaudited) | 3 |
|               | Statements of Operations - For the Three Months Ended March 31, 2011 and 2010 (Unaudited) | 4 |
|               | Statements of Capital - For the Three Months Ended March 31, 2011 and 2010 (Unaudited) | 5 |
|               | Statements of Cash Flows - For the Three Months Ended March 31, 2011 and 2010 (Unaudited) | 6 |
|               | Condensed Notes to Financial Statements | 8 |
| Item 2.            | Management's Discussion and Analysis of Financial Condition and Results of Operations | 50 |
|               | Overview | 51 |
|               | Financial Condition as of March 31, 2011 and December 31, 2010   | 63 |
|               | Capital Resources and Liquidity | 86 |
|               | Results of Operations for the Three Months Ended March 31, 2011 and 2010 | 94 |
|               | Critical Accounting Policies and Estimates | 104 |
| Item 3.            | Quantitative and Qualitative Disclosures About Market Risk | 105 |
| Item 4.       | Controls and Procedures | 109 |
|               |   |   |
| PART II.           |   |   |
| Item 1.            | Legal Proceedings | 109 |
| Item 1A.           | Risk Factors | 110 |
| Item 2.            | Unregistered Sales of Equity Securities and Use of Proceeds | 112 |
| Item 3.            | Defaults Upon Senior Securities | 112 |
| Item 4.            | Removed and Reserved | 112 |
| Item 5.            | Other Information | 112 |
| Item 6.            | Exhibits | 113 |
|               |   |
| SIGNATURES    | 114 |
|               |   |   |
| List of Exhibits   |   | 115 |

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Table of Contents

|                                                                                                                                                               |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                                               |  |  |  |  |  |  |  |  |
|                                                                                                                                                          |   | As of |   | As of |
|                                                                                                                                                          |   | March 31, 2011 |   | December 31, 2010 |
| (in thousands, except par value)                                                                                                                              |   |   |   |   |
| Assets                                                                                                                                                        |   |   |   |   |
| Cash and due from banks                                                                                                                                       |   | $ | 26,821 |   |   | $ | 1,181 |   |
| Deposits with other Federal Home Loan Banks (FHLBanks)                                                                                                        |   | 53 |   |   | 9 |   |
| Securities purchased under agreements to resell                                                                                                               |   | 3,250,000 |   |   | 4,750,000 |   |
| Federal funds sold                                                                                                                                            |   | 9,806,000 |   |   | 6,569,152 |   |
| Investment securities:                                                                                                                                        |   |   |   |   |
| Available-for-sale (AFS) securities (Note 3)                                                                                                                  |   | 12,324,655 |   |   | 12,717,669 |   |
| Held-to-maturity (HTM) securities (fair values of $5,044,768 and $6,403,552 as of March 31, 2011 and December 31, 2010) (Note 4)                              |   | 5,098,286 |   |   | 6,462,215 |   |
| Total investment securities                                                                                                                                   |   | 17,422,941 |   |   | 19,179,884 |   |
| Advances (Note 6)                                                                                                                                             |   | 12,332,524 |   |   | 13,355,442 |   |
| Mortgage loans held for portfolio, net (includes $1,794 of allowance for credit losses as of March 31, 2011 and December 31, 2010) (Notes 7 and 8)            |   | 2,961,764 |   |   | 3,208,954 |   |
| Accrued interest receivable                                                                                                                                   |   | 83,636 |   |   | 86,356 |   |
| Premises, software, and equipment, net (includes $17,569 and $16,854 of accumulated depreciation and amortization as of March 31, 2011 and December 31, 2010) |   | 16,474 |   |   | 15,514 |   |
| Derivative assets, net (Note 9)                                                                                                                               |   | 7,596 |   |   | 13,013 |   |
| Other assets                                                                                                                                                  |   | 30,548 |   |   | 28,465 |   |
| Total Assets                                                                                                                                                  |   | $ | 45,938,357 |   |   | $ | 47,207,970 |   |
| Liabilities                                                                                                                                                   |   |   |   |   |   |   |
| Deposits:                                                                                                                                                     |   |   |   |   |   |   |
| Interest-bearing                                                                                                                                              |   | $ | 305,334 |   |   | $ | 502,787 |   |
| Total deposits                                                                                                                                                |   | 305,334 |   |   | 502,787 |   |
| Consolidated obligations, net (Note 10):                                                                                                                      |   |   |   |   |   |   |
| Discount notes                                                                                                                                                |   | 13,196,918 |   |   | 11,596,307 |   |
| Bonds                                                                                                                                                         |   | 29,729,231 |   |   | 32,479,215 |   |
| Total consolidated obligations, net                                                                                                                           |   | 42,926,149 |   |   | 44,075,522 |   |
| Mandatorily redeemable capital stock (Note 11)                                                                                                                |   | 1,033,153 |   |   | 1,021,887 |   |
| Accrued interest payable                                                                                                                                      |   | 122,438 |   |   | 129,472 |   |
| Affordable Housing Program (AHP) payable                                                                                                                      |   | 4,613 |   |   | 5,042 |   |
| Derivative liabilities, net (Note 9)                                                                                                                          |   | 216,786 |   |   | 253,660 |   |
| Other liabilities                                                                                                                                             |   | 34,552 |   |   | 36,961 |   |
| Total liabilities                                                                                                                                             |   | 44,643,025 |   |   | 46,025,331 |   |
| Commitments and contingencies (Note 15)                                                                                                                       |   |   |   |   |   |   |
| Capital (Note 11)                                                                                                                                             |   |   |   |   |   |   |
| Capital stock:                                                                                                                                                |   |   |   |   |   |   |
| Class B capital stock putable ($100 par value) - issued and outstanding shares: 16,396 and 16,497 shares as of March 31, 2011 and December 31, 2010           |   | 1,639,599 |   |   | 1,649,695 |   |
| Class A capital stock putable ($100 par value) - issued and outstanding shares: 1,255 and 1,265 shares as of March 31, 2011 and December 31, 2010             |   | 125,489 |   |   | 126,454 |   |
| Total capital stock                                                                                                                                           |   | 1,765,088 |   |   | 1,776,149 |   |
| Retained earnings                                                                                                                                             |   | 61,268 |   |   | 73,396 |   |
| Accumulated other comprehensive loss (AOCL) (Note 11)                                                                                                         |   | (531,024 | ) |   | (666,906 | ) |
| Total capital                                                                                                                                                 |   | 1,295,332 |   |   | 1,182,639 |   |
| Total Liabilities and Capital                                                                                                                                 |   | $ | 45,938,357 |   |   | $ | 47,207,970 |   |

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|                                                                       |
|-----------------------------------------------------------------------|
|                                                                       |  |  |  |  |  |  |  |  |
|                                                                  |   | For the Three Months Ended March 31, |
|                                                                  |   | 2011 |   | 2010 |
| (in thousands)                                                        |   |   |   |   |
| Interest Income                                                       |   |   |   |   |
| Advances                                                              |   | $ | 29,958 |   |   | $ | 46,131 |   |
| Prepayment fees on advances, net                                      |   | 361 |   |   | 2,607 |   |
| Interest-bearing deposits                                             |   | 40 |   |   | 17 |   |
| Securities purchased under agreements to resell                       |   | 1,060 |   |   | 1,641 |   |
| Federal funds sold                                                    |   | 5,435 |   |   | 3,770 |   |
| AFS securities                                                        |   | (2,034 | ) |   | 3,755 |   |
| HTM securities                                                        |   | 25,597 |   |   | 40,627 |   |
| Mortgage loans held for portfolio                                     |   | 38,333 |   |   | 49,633 |   |
| Total interest income                                                 |   | 98,750 |   |   | 148,181 |   |
| Interest Expense                                                      |   |   |   |   |   |
| Consolidated obligations - discount notes                             |   | 4,547 |   |   | 4,321 |   |
| Consolidated obligations - bonds                                      |   | 73,642 |   |   | 102,305 |   |
| Deposits                                                              |   | 57 |   |   | 45 |   |
| Total interest expense                                                |   | 78,246 |   |   | 106,671 |   |
| Net Interest Income                                                   |   | 20,504 |   |   | 41,510 |   |
| Less: Benefit for credit losses                                       |   | — |   |   | (428 | ) |
| Net Interest Income after Provision for Credit Losses                 |   | 20,504 |   |   | 41,938 |   |
| Other (Loss) Income                                                   |   |   |   |   |   |
| Total other-than-temporary impairment (OTTI) loss (Note 5)            |   | (15 | ) |   | (57,254 | ) |
| Net amount of OTTI loss reclassified (from) to AOCL                   |   | (22,725 | ) |   | 37,614 |   |
| Net OTTI loss recognized in income                                    |   | (22,740 | ) |   | (19,640 | ) |
| Net gain on derivatives and hedging activities (Note 9)               |   | 8,289 |   |   | 4,017 |   |
| Net realized loss on early extinguishment of consolidated obligations |   | (900 | ) |   | (3,916 | ) |
| Service fees                                                          |   | 625 |   |   | 673 |   |
| Other, net                                                            |   | — |   |   | 2 |   |
| Total other loss                                                      |   | (14,726 | ) |   | (18,864 | ) |
| Other Expense                                                         |   |   |   |   |   |
| Operating:                                                            |   |   |   |   |   |
| Compensation and benefits                                             |   | 6,671 |   |   | 7,587 |   |
| Other operating                                                       |   | 8,486 |   |   | 5,808 |   |
| Federal Housing Finance Agency (Finance Agency)                       |   | 1,820 |   |   | 681 |   |
| Office of Finance                                                     |   | 840 |   |   | 644 |   |
| Other, net                                                            |   | 89 |   |   | 96 |   |
| Total other expense                                                   |   | 17,906 |   |   | 14,816 |   |
| (Loss) Income before Assessments                                      |   | (12,128 | ) |   | 8,258 |   |
| Assessments                                                           |   |   |   |   |   |
| AHP                                                                   |   | — |   |   | 674 |   |
| Resolution Funding Corporation (REFCORP)                              |   | — |   |   | 1,517 |   |
| Total assessments                                                     |   | — |   |   | 2,191 |   |
| Net (Loss) Income                                                     |   | $ | (12,128 | ) |   | $ | 6,067 |   |

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|                                                                 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| For the Three Months Ended March 31, 2011 and 2010              |   | Class A Capital Stock * |   | Class B Capital Stock * |   | Retained Earnings |   | AOCL |   | Total Capital |
|                                                            | Shares |   | Par Value |   | Shares |   | Par Value |   |   |   |
| (amounts and shares in thousands)                               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Balance, December 31, 2009                                      |   | 1,325 |   |   | $ | 132,518 |   |   | 17,171 |   |   | $ | 1,717,149 |   |   | $ | 52,897 |   |   | $ | (908,816 | ) |   | $ | 993,748 |   |
| Proceeds from sale of capital stock                             |   | — |   |   | — |   |   | 2 |   |   | 174 |   |   | — |   |   | — |   |   | 174 |   |
| Net shares reclassified to mandatorily redeemable capital stock |   | — |   |   | 1 |   |   | (18 | ) |   | (1,866 | ) |   | — |   |   | — |   |   | (1,865 | ) |
| Comprehensive income:                                           |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net income                                                      |   | — |   |   | — |   |   |   |   |   | — |   |   | 6,067 |   |   | — |   |   | 6,067 |   |
| Other comprehensive income (Note 11)                            |   | — |   |   | — |   |   |   |   |   | — |   |   | — |   |   | 53,060 |   |   | 53,060 |   |
| Total comprehensive income                                      |   | — |   |   | — |   |   | — |   |   | — |   |   | — |   |   | — |   |   | 59,127 |   |
| Balance, March 31, 2010                                         |   | 1,325 |   |   | 132,519 |   |   | 17,155 |   |   | 1,715,457 |   |   | 58,964 |   |   | (855,756 | ) |   | 1,051,184 |   |
| Balance, December 31, 2010                                      |   | 1,265 |   |   | 126,454 |   |   | 16,497 |   |   | 1,649,695 |   |   | 73,396 |   |   | (666,906 | ) |   | 1,182,639 |   |
| Proceeds from sale of capital stock                             |   | — |   |   | — |   |   | 2 |   |   | 205 |   |   | — |   |   | — |   |   | 205 |   |
| Net shares reclassified to mandatorily redeemable capital stock |   | (10 | ) |   | (965 | ) |   | (103 | ) |   | (10,301 | ) |   | — |   |   | — |   |   | (11,266 | ) |
| Comprehensive (loss) income:                                    |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net loss                                                        |   | — |   |   | — |   |   | — |   |   | — |   |   | (12,128 | ) |   | — |   |   | (12,128 | ) |
| Other comprehensive income (Note 11)                            |   | — |   |   | — |   |   | — |   |   | — |   |   | — |   |   | 135,882 |   |   | 135,882 |   |
| Total comprehensive income                                      |   | — |   |   | — |   |   | — |   |   | — |   |   | — |   |   | — |   |   | 123,754 |   |
| Balance, March 31, 2011                                         |   | 1,255 |   |   | $ | 125,489 |   |   | 16,396 |   |   | $ | 1,639,599 |   |   | $ | 61,268 |   |   | $ | (531,024 | ) |   | $ | 1,295,332 |   |

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|                                                                                          |
|------------------------------------------------------------------------------------------|
|                                                                                          |  |  |  |  |  |  |  |  |
|                                                                                     |   | For the Three Months Ended March 31, |
|                                                                                     |   | 2011 |   | 2010 |
| (in thousands)                                                                           |   |   |   |   |
| Operating Activities                                                                     |   |   |   |   |
| Net (loss) income                                                                        |   | $ | (12,128 | ) |   | $ | 6,067 |   |
| Adjustments to reconcile net (loss) income to net cash provided by operating activities: |   |   |   |   |   |   |
| Depreciation and amortization                                                            |   | 2,337 |   |   | (44,398 | ) |
| Net OTTI loss recognized in income                                                       |   | 22,740 |   |   | 19,640 |   |
| Net change in net fair value adjustment on derivatives and hedging activities            |   | 1,529 |   |   | 44,303 |   |
| Loss on early extinguishment of consolidated obligations                                 |   | 900 |   |   | 3,916 |   |
| Benefit for credit losses                                                                |   | — |   |   | (428 | ) |
| Other adjustments                                                                        |   | — |   |   | 169 |   |
| Net change in:                                                                           |   |   |   |   |   |
| Accrued interest receivable                                                              |   | 2,720 |   |   | 45,313 |   |
| Other assets                                                                             |   | (1,531 | ) |   | 3,616 |   |
| Accrued interest payable                                                                 |   | (7,034 | ) |   | (61,466 | ) |
| Other liabilities                                                                        |   | (2,821 | ) |   | (5,933 | ) |
| Total adjustments                                                                        |   | 18,840 |   |   | 4,732 |   |
| Net cash provided by operating activities                                                |   | 6,712 |   |   | 10,799 |   |
| Investing Activities                                                                     |   |   |   |   |   |
| Net change in:                                                                           |   |   |   |   |   |
| Interest-bearing deposits                                                                |   | (35,386 | ) |   | 20,006 |   |
| Deposits with other FHLBanks                                                             |   | (44 | ) |   | (13 | ) |
| Securities purchased under agreements to resell                                          |   | 1,500,000 |   |   | (4,000,000 | ) |
| Federal funds sold                                                                       |   | (3,236,848 | ) |   | 1,051,920 |   |
| Premises, software and equipment                                                         |   | (1,681 | ) |   | (290 | ) |
| AFS securities:                                                                          |   |   |   |   |
| Proceeds from long-term                                                                  |   | 494,226 |   |   | 45,712 |   |
| Purchases of long-term                                                                   |   | — |   |   | (793,641 | ) |
| HTM securities:                                                                          |   |   |   |   |
| Net decrease in short-term                                                               |   | 1,008,000 |   |   | 114,000 |   |
| Proceeds from maturities of long-term                                                    |   | 400,902 |   |   | 436,407 |   |
| Purchases of long-term                                                                   |   | (47,099 | ) |   | (137,274 | ) |
| Advances:                                                                                |   |   |   |   |
| Proceeds                                                                                 |   | 14,024,170 |   |   | 9,201,755 |   |
| Made                                                                                     |   | (13,050,782 | ) |   | (6,830,630 | ) |
| Mortgage loans held for portfolio:                                                       |   |   |   |   |
| Principal collected                                                                      |   | 245,407 |   |   | 179,443 |   |
| Net cash provided by (used in) investing activities                                      |   | 1,300,865 |   |   | (712,605 | ) |

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|                                                              |
|--------------------------------------------------------------|
|                                                              |  |  |  |  |  |  |  |  |
|                                                         |   | For the Three Months Ended March 31, |
|                                                         |   | 2011 |   | 2010 |
| (in thousands)                                               |   |   |   |   |
| Financing Activities                                         |   |   |   |   |
| Net change in:                                               |   |   |   |   |
| Deposits                                                     |   | $ | (201,843 | ) |   | $ | 32,817 |   |
| Net proceeds on derivative contracts with financing elements |   | (2,858 | ) |   | — |   |
| Net proceeds from issuance of consolidated obligations:      |   |   |   |   |
| Discount notes                                               |   | 176,898,148 |   |   | 267,338,358 |   |
| Bonds                                                        |   | 5,364,741 |   |   | 12,522,759 |   |
| Payments for maturing and retiring consolidated obligations: |   |   |   |   |
| Discount notes                                               |   | (175,291,345 | ) |   | (268,334,582 | ) |
| Bonds                                                        |   | (8,048,985 | ) |   | (11,588,000 | ) |
| Proceeds from issuance of capital stock                      |   | 205 |   |   | 174 |   |
| Net cash used in financing activities                        |   | (1,281,937 | ) |   | (28,474 | ) |
| Net increase (decrease) in cash and cash equivalents         |   | 25,640 |   |   | (730,280 | ) |
| Cash and cash equivalents at beginning of the period         |   | 1,181 |   |   | 731,430 |   |
| Cash and cash equivalents at end of the period               |   | $ | 26,821 |   |   | $ | 1,150 |   |
|                                                         |   |   |   |   |   |   |
| Supplemental Disclosures                                     |   |   |   |   |   |   |
| Interest paid                                                |   | $ | 85,279 |   |   | $ | 168,138 |   |
| AHP payments, net                                            |   | $ | 429 |   |   | $ | 1,763 |   |
| Transfers of mortgage loans to real estate owned             |   | $ | 822 |   |   | $ | 1,273 |   |
| Transfers of HTM securities to AFS securities                |   | $ | 8,152 |   |   | $ | 77,327 |   |

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|         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |
|---------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | Risk Management and Asset Improvement - We may not resume purchasing mortgage loans under our Mortgage Purchase Program (MPP), a program under which we ceased purchasing mortgage loans in 2006, and must resolve the technical violation of the requirement to provide supplemental mortgage insurance (SMI) on our conventional mortgage loan portfolio. In addition, we must submit to the Finance Agency, and implement once approved by the Finance Agency, plans relating to: (1) mitigating risk relating to potential further declines in the credit quality of our PLMBS portfolio; (2) increasing advances as a percentage of our total assets; and (3) collateral risk management policies. Finally, our Board must engage an independent consultant to evaluate our credit risk management, which consultant and the scope of engagement must be acceptable to the Finance Agency. |

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|         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |
|---------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | Capital Adequacy and Retained Earnings - We must submit to the Finance Agency for review and approval a capital stock repurchase plan consistent with guidance the Finance Agency may provide. In addition, we will not resume capital stock repurchases or redemptions without prior written approval of the Finance Agency. Further, we will not pay dividends except upon compliance with a capital restoration plan approved by the Finance Agency and prior written approval of the Finance Agency. |

|         |                                                                                                                                                                                                      |
|---------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | Remediation of Examination Findings - We will remediate the findings of the Finance Agency's 2010 Report of Examination, pursuant to an examination remediation plan approved by the Finance Agency. |

|         |                                                                                                                                                    |
|---------|----------------------------------------------------------------------------------------------------------------------------------------------------|
| • | Information Technology -  We will develop an enterprise-wide information technology policy satisfying requirements the Finance Agency may provide. |

|         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |
|---------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | Senior Management and Compensation Practices - We will not take personnel action regarding compensation, including incentive-based compensation awards, or make a material change to the duties and responsibilities of senior management, without consultation with and non-objection from the Finance Agency. Further, we will develop and submit to the Finance Agency for review and approval, and implement following Finance Agency approval, a revised executive incentive compensation plan satisfying requirements the Finance Agency may provide. |

|         |                                                                                                                                                                                                                                                                                     |
|---------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | Retained Earnings, which represent accumulated net income and serve as a buffer for members' paid-in capital against unexpected losses, decreased to $61.3 million as of March 31, 2011, from $73.4 million at the end of 2010 as a result of our first quarter 2011 net loss. |

|         |                                                                                                                                                                                          |
|---------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | AOCL, which primarily represents accumulated unrealized losses on our PLMBS classified as other-than-temporary, improved to $531.0 million, from $666.9 million as of December 31, 2010. |

|         |                                                                                                                                                                                                                                                                                               |
|---------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | MVE to PVCS Ratio, which compares the market value of our assets minutes the market value of our liabilities to the par value of our capital stock (including mandatorily redeemable capital stock), increased to 80.6% as of March 31, 2011, compared to 75.7% as of December 31, 2010. |

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|                                                                  |
|------------------------------------------------------------------|
|                                                                  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                             |   | As of March 31, 2011 |
| AFS Securities                                                   |   | AmortizedCost Basis (1) |   | OTTI Charges Recognized in AOCL (2) |   | GrossUnrealizedGains |   | GrossUnrealizedLosses |   | Fair Value |
| (in thousands)                                                   |   |   |   |   |   |   |   |   |   |   |
| Government-sponsored enterprise (GSE) obligations (3)       |   | $ | 4,414,122 |   |   | $ | — |   |   | $ | 2,594 |   |   | $ | (2,398 | ) |   | $ | 4,414,318 |   |
| Temporary Liquidity Guarantee Program (TLGP) securities (4) |   | 6,377,640 |   |   | — |   |   | 11,162 |   |   | (997 | ) |   | 6,387,805 |   |
| Residential PLMBS                                                |   | 1,994,294 |   |   | (1,108,344 | ) |   | 636,582 |   |   | — |   |   | 1,522,532 |   |
| Total                                                            |   | $ | 12,786,056 |   |   | $ | (1,108,344 | ) |   | $ | 650,338 |   |   | $ | (3,395 | ) |   | $ | 12,324,655 |   |

|                          |
|--------------------------|
|                          |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                     |   | As of December 31, 2010 |
| AFS Securities           |   | AmortizedCost Basis (1) |   | OTTI Charges Recognized in AOCL (2) |   | GrossUnrealizedGains |   | GrossUnrealizedLosses |   | Fair Value |
| (in thousands)           |   |   |   |   |   |   |   |   |   |   |
| GSE obligations (3) |   | $ | 4,854,017 |   |   | $ | — |   |   | $ | 1,956 |   |   | $ | (6,137 | ) |   | $ | 4,849,836 |   |
| TLGP securities (4) |   | 6,390,998 |   |   | — |   |   | 9,057 |   |   | (1,277 | ) |   | 6,398,778 |   |
| Residential PLMBS        |   | 2,059,078 |   |   | (1,125,755 | ) |   | 535,732 |   |   | — |   |   | 1,469,055 |   |
| Total                    |   | $ | 13,304,093 |   |   | $ | (1,125,755 | ) |   | $ | 546,745 |   |   | $ | (7,414 | ) |   | $ | 12,717,669 |   |

|     |
|-----|
|     |  |
| (1) | Includes unpaid principal balance, accretable discounts and premiums, and OTTI charges recognized in earnings. The amortized cost basis of our GSE obligations and TLGP securities excludes favorable basis adjustments of $7.5 million and $9.1 million related to fair value hedges as of March 31, 2011 and December 31, 2010. |
| (2) | See Note 11 for a reconciliation of the AOCL related to AFS securities for the three months ended March 31, 2011 and 2010. |
| (3) | Consists of obligations issued by Federal Farm Credit Bank (FFCB), Federal Home Loan Mortgage Corporation (Freddie Mac), Federal National Mortgage Associations (Fannie Mae), and Tennessee Valley Authority (TVA). |
| (4) | Consists of notes guaranteed by the Federal Deposit Insurance Corporation (FDIC) under the TLGP. |

----

Table of Contents

|                                              |
|----------------------------------------------|
|                                              |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                         |   | For the Three Months Ended March 31, 2011 |   | 2010 |
| HTM Securities Transferred to AFS Securities |   | Amortized Cost Basis |   | OTTI Charges Recognized In AOCL |   | Gross Unrecognized Holding Gains |   | Fair Value |   | Amortized Cost Basis |   | OTTI Charges Recognized in AOCL |   | Gross Unrecognized Holding Gains |   | Fair Value |
| (in thousands)                               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Transferred during period ending:            |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| March 31                                     |   | $ | 12,942 |   |   | $ | (4,790 | ) |   | $ | 571 |   |   | $ | 8,723 |   |   | $ | 136,506 |   |   | $ | (59,179 | ) |   | $ | — |   |   | $ | 77,327 |   |
| June 30                                      |   |   |   |   |   |   |   |   |   | 212,042 |   |   | (96,099 | ) |   | 4,742 |   |   | 120,685 |   |
| September 30                                 |   |   |   |   |   |   |   |   |   | 199,208 |   |   | (72,500 | ) |   | 9,405 |   |   | 136,113 |   |
| December 31                                  |   |   |   |   |   |   |   |   |   | 141,816 |   |   | (58,220 | ) |   | 6,676 |   |   | 90,272 |   |
| Total                                        |   | $ | 12,942 |   |   | $ | (4,790 | ) |   | $ | 571 |   |   | $ | 8,723 |   |   | $ | 689,572 |   |   | $ | (285,998 | ) |   | $ | 20,823 |   |   | $ | 424,397 |   |

|                                             |
|---------------------------------------------|
|                                             |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                        |   | As of March 31, 2011 |
|                                        |   | 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                             |   | $ | 1,724,225 |   |   | $ | (2,398 | ) |   | $ | — |   |   | $ | — |   |   | $ | 1,724,225 |   |   | $ | (2,398 | ) |
| TLGP securities                             |   | 1,385,552 |   |   | (997 | ) |   | — |   |   | — |   |   | 1,385,552 |   |   | (997 | ) |
| Residential PLMBS                           |   | — |   |   | — |   |   | 1,522,532 |   |   | (471,762 | ) |   | 1,522,532 |   |   | (471,762 | ) |
| Total                                       |   | $ | 3,109,777 |   |   | $ | (3,395 | ) |   | $ | 1,522,532 |   |   | $ | (471,762 | ) |   | $ | 4,632,309 |   |   | $ | (475,157 | ) |

----

Table of Contents

|                                             |
|---------------------------------------------|
|                                             |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                        |   | As of December 31, 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                             |   | $ | 2,833,502 |   |   | $ | (6,137 | ) |   | $ | — |   |   | $ | — |   |   | $ | 2,833,502 |   |   | $ | (6,137 | ) |
| TLGP securities                             |   | 3,139,712 |   |   | (1,277 | ) |   | — |   |   | — |   |   | 3,139,712 |   |   | (1,277 | ) |
| Residential PLMBS                           |   | — |   |   | — |   |   | 1,469,055 |   |   | (590,023 | ) |   | 1,469,055 |   |   | (590,023 | ) |
| Total                                       |   | $ | 5,973,214 |   |   | $ | (7,414 | ) |   | $ | 1,469,055 |   |   | $ | (590,023 | ) |   | $ | 7,442,269 |   |   | $ | (597,437 | ) |

|                                       |
|---------------------------------------|
|                                       |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                  |   | As of March 31, 2011 |   | As of December 31, 2010 |
| Year of Maturity                      |   | AmortizedCost Basis |   | Fair Value |   | AmortizedCost Basis |   | Fair Value |
| (in thousands)                        |   |   |   |   |   |   |   |   |
| Non-mortgage-backed securities (MBS): |   |   |   |   |   |   |   |   |
| Due in less than one year             |   | $ | 2,886,981 |   |   | $ | 2,888,472 |   |   | $ | 1,110,100 |   |   | $ | 1,109,843 |   |
| Due after one year through five years |   | 7,867,736 |   |   | 7,876,995 |   |   | 9,970,048 |   |   | 9,975,331 |   |
| Due after five years through 10 years |   | — |   |   | — |   |   | 127,813 |   |   | 126,505 |   |
| Due after 10 years                    |   | 37,045 |   |   | 36,656 |   |   | 37,054 |   |   | 36,935 |   |
| Subtotal                              |   | 10,791,762 |   |   | 10,802,123 |   |   | 11,245,015 |   |   | 11,248,614 |   |
| MBS                                   |   | 1,994,294 |   |   | 1,522,532 |   |   | 2,059,078 |   |   | 1,469,055 |   |
| Total                                 |   | $ | 12,786,056 |   |   | $ | 12,324,655 |   |   | $ | 13,304,093 |   |   | $ | 12,717,669 |   |

|                                                                 |
|-----------------------------------------------------------------|
|                                                                 |  |  |  |  |  |  |  |
|                                                            | As of |   | As of |
| Amortized Cost of AFS Securities by Interest-Rate Payment Terms | March 31, 2011 |   | December 31, 2010 |
| (in thousands)                                                  |   |   |   |
| Non-MBS:                                                        |   |   |   |
| Fixed                                                           | $ | 4,078,345 |   |   | $ | 4,529,563 |   |
| Variable                                                        | 6,713,417 |   |   | 6,715,452 |   |
| Subtotal                                                        | 10,791,762 |   |   | 11,245,015 |   |
| MBS:                                                            |   |   |   |
| Variable                                                        | 1,994,294 |   |   | 2,059,078 |   |
| Subtotal                                                        | 1,994,294 |   |   | 2,059,078 |   |
| Total                                                           | $ | 12,786,056 |   |   | $ | 13,304,093 |   |

----

Table of Contents

|                                           |
|-------------------------------------------|
|                                           |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                      |   | As of March 31, 2011 |
| HTM Securities                            |   | AmortizedCost Basis (1) |   | OTTI ChargesRecognized inAOCL (2) |   | CarryingValue |   | GrossUnrecognized HoldingGains (3) |   | GrossUnrecognized HoldingLosses (3) |   | Fair Value |
| (in thousands)                            |   |   |   |   |   |   |   |   |   |   |   |   |
| Certificates of deposit (4)               |   | $ | 259,000 |   |   | $ | — |   |   | $ | 259,000 |   |   | $ | 19 |   |   | $ | — |   |   | $ | 259,019 |   |
| Other U.S. agency obligations (5)         |   | 29,584 |   |   | — |   |   | 29,584 |   |   | 340 |   |   | (5 | ) |   | 29,919 |   |
| GSE obligations (6)                  |   | 389,370 |   |   | — |   |   | 389,370 |   |   | 34,160 |   |   | — |   |   | 423,530 |   |
| State or local housing agency obligations |   | 3,400 |   |   | — |   |   | 3,400 |   |   | — |   |   | (27 | ) |   | 3,373 |   |
| Subtotal                                  |   | 681,354 |   |   | — |   |   | 681,354 |   |   | 34,519 |   |   | (32 | ) |   | 715,841 |   |
| Residential MBS:                          |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Other U.S. agency (5)                     |   | 178,850 |   |   | — |   |   | 178,850 |   |   | 143 |   |   | (335 | ) |   | 178,658 |   |
| GSEs (6)                             |   | 3,110,133 |   |   | — |   |   | 3,110,133 |   |   | 33,885 |   |   | (2,656 | ) |   | 3,141,362 |   |
| PLMBS                                     |   | 1,189,191 |   |   | (61,242 | ) |   | 1,127,949 |   |   | 5,850 |   |   | (124,892 | ) |   | 1,008,907 |   |
| Subtotal                                  |   | 4,478,174 |   |   | (61,242 | ) |   | 4,416,932 |   |   | 39,878 |   |   | (127,883 | ) |   | 4,328,927 |   |
| Total                                     |   | $ | 5,159,528 |   |   | $ | (61,242 | ) |   | $ | 5,098,286 |   |   | $ | 74,397 |   |   | $ | (127,915 | ) |   | $ | 5,044,768 |   |

----

Table of Contents

|                                           |
|-------------------------------------------|
|                                           |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                      |   | As of December 31, 2010 |
| HTM Securities                            |   | AmortizedCost Basis (1) |   | OTTI ChargesRecognized inAOCL (2) |   | CarryingValue |   | GrossUnrecognized HoldingGains (3) |   | GrossUnrecognized HoldingLosses (3) |   | Fair Value |
| (in thousands)                            |   |   |   |   |   |   |   |   |   |   |   |   |
| Certificates of deposit (4)               |   | $ | 1,267,000 |   |   | $ | — |   |   | $ | 1,267,000 |   |   | $ | 13 |   |   | $ | — |   |   | $ | 1,267,013 |   |
| Other U.S. agency obligations (5)         |   | 38,169 |   |   | — |   |   | 38,169 |   |   | 453 |   |   | (9 | ) |   | 38,613 |   |
| GSE obligations (6)                       |   | 389,255 |   |   | — |   |   | 389,255 |   |   | 39,298 |   |   | — |   |   | 428,553 |   |
| State or local housing agency obligations |   | 3,590 |   |   | — |   |   | 3,590 |   |   | — |   |   | — |   |   | 3,590 |   |
| Subtotal                                  |   | 1,698,014 |   |   | — |   |   | 1,698,014 |   |   | 39,764 |   |   | (9 | ) |   | 1,737,769 |   |
| Residential MBS:                          |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Other U.S. agency (5)                     |   | 182,211 |   |   | — |   |   | 182,211 |   |   | 277 |   |   | (40 | ) |   | 182,448 |   |
| GSEs (6)                                  |   | 3,312,555 |   |   | — |   |   | 3,312,555 |   |   | 41,079 |   |   | (1,203 | ) |   | 3,352,431 |   |
| PLMBS                                     |   | 1,339,968 |   |   | (70,533 | ) |   | 1,269,435 |   |   | 6,481 |   |   | (145,012 | ) |   | 1,130,904 |   |
| Subtotal                                  |   | 4,834,734 |   |   | (70,533 | ) |   | 4,764,201 |   |   | 47,837 |   |   | (146,255 | ) |   | 4,665,783 |   |
| Total                                     |   | $ | 6,532,748 |   |   | $ | (70,533 | ) |   | $ | 6,462,215 |   |   | $ | 87,601 |   |   | $ | (146,264 | ) |   | $ | 6,403,552 |   |

|     |
|-----|
|     |  |
| (1) | Includes unpaid principal balance, accretable discounts and premiums, and OTTI charges recognized in earnings. |
| (2) | See Note 11 for a reconciliation of the AOCL related to HTM securities for the three months ended March 31, 2011 and 2010. |
| (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) and Small Business Administration (SBA) investments. |
| (6) | Primarily consists of securities issued by Freddie Mac, Fannie Mae, and TVA. |

----

Table of Contents

|                                             |
|---------------------------------------------|
|                                             |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                        |   | As of March 31, 2011 |
|                                        |   | 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               |   | $ | 23 |   |   | $ | — |   |   | $ | 1,293 |   |   | $ | (5 | ) |   | $ | 1,316 |   |   | $ | (5 | ) |
| State or local housing agency obligations   |   | 1,413 |   |   | (27 | ) |   | — |   |   | — |   |   | 1,413 |   |   | (27 | ) |
| Subtotal                                    |   | 1,436 |   |   | (27 | ) |   | 1,293 |   |   | (5 | ) |   | 2,729 |   |   | (32 | ) |
| Residential MBS:                            |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Other U.S. agency                           |   | 157,104 |   |   | (335 | ) |   | — |   |   | — |   |   | 157,104 |   |   | (335 | ) |
| GSEs                                        |   | 918,391 |   |   | (2,656 | ) |   | — |   |   | — |   |   | 918,391 |   |   | (2,656 | ) |
| Temporarily impaired PLMBS                  |   | 21,878 |   |   | (62 | ) |   | 516,525 |   |   | (124,830 | ) |   | 538,403 |   |   | (124,892 | ) |
| Other-than-temporarily impaired PLMBS       |   | — |   |   | — |   |   | 90,570 |   |   | (61,242 | ) |   | 90,570 |   |   | (61,242 | ) |
| Subtotal                                    |   | 1,097,373 |   |   | (3,053 | ) |   | 607,095 |   |   | (186,072 | ) |   | 1,704,468 |   |   | (189,125 | ) |
| Total                                       |   | $ | 1,098,809 |   |   | $ | (3,080 | ) |   | $ | 608,388 |   |   | $ | (186,077 | ) |   | $ | 1,707,197 |   |   | $ | (189,157 | ) |

|                                             |
|---------------------------------------------|
|                                             |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                        |   | As of December 31, 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)                              |   |   |   |   |   |   |   |   |   |   |   |   |
| Other U.S. agency obligations          |   | $ | 1,350 |   |   | $ | (8 | ) |   | $ | 333 |   |   | $ | (1 | ) |   | $ | 1,683 |   |   | $ | (9 | ) |
| Subtotal                                    |   | 1,350 |   |   | (8 | ) |   | 333 |   |   | (1 | ) |   | 1,683 |   |   | (9 | ) |
| Residential MBS:                            |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Other U.S. agency                           |   | 56,804 |   |   | (40 | ) |   | — |   |   | — |   |   | 56,804 |   |   | (40 | ) |
| GSEs                                        |   | 664,417 |   |   | (1,203 | ) |   | — |   |   | — |   |   | 664,417 |   |   | (1,203 | ) |
| Temporarily impaired PLMBS                  |   | 39,375 |   |   | (196 | ) |   | 574,924 |   |   | (144,816 | ) |   | 614,299 |   |   | (145,012 | ) |
| Other-than-temporarily impaired PLMBS       |   | — |   |   | — |   |   | 96,805 |   |   | (70,533 | ) |   | 96,805 |   |   | (70,533 | ) |
| Subtotal                                    |   | 760,596 |   |   | (1,439 | ) |   | 671,729 |   |   | (215,349 | ) |   | 1,432,325 |   |   | (216,788 | ) |
| Total                                       |   | $ | 761,946 |   |   | $ | (1,447 | ) |   | $ | 672,062 |   |   | $ | (215,350 | ) |   | $ | 1,434,008 |   |   | $ | (216,797 | ) |

----

Table of Contents

|                                       |
|---------------------------------------|
|                                       |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                  |   | As of March 31, 2011 |   | As of December 31, 2010 |
| Year of Maturity                      |   | AmortizedCost Basis |   | CarryingValue * |   | Fair Value |   | AmortizedCost Basis |   | CarryingValue * |   | Fair Value |
| (in thousands)                        |   |   |   |   |   |   |   |   |   |   |   |   |
| Non-MBS:                              |   |   |   |   |   |   |   |   |   |   |   |   |
| Due in one year or less               |   | $ | 350,169 |   |   | $ | 350,169 |   |   | $ | 354,295 |   |   | $ | 1,276,107 |   |   | $ | 1,276,107 |   |   | $ | 1,276,242 |   |
| Due after one year through five years |   | 299,583 |   |   | 299,583 |   |   | 329,655 |   |   | 389,255 |   |   | 389,255 |   |   | 428,554 |   |
| Due after five years through 10 years |   | 11,742 |   |   | 11,742 |   |   | 11,838 |   |   | 11,722 |   |   | 11,722 |   |   | 11,821 |   |
| Due after 10 years                    |   | 19,860 |   |   | 19,860 |   |   | 20,053 |   |   | 20,930 |   |   | 20,930 |   |   | 21,152 |   |
| Subtotal                              |   | 681,354 |   |   | 681,354 |   |   | 715,841 |   |   | 1,698,014 |   |   | 1,698,014 |   |   | 1,737,769 |   |
| MBS                                   |   | 4,478,174 |   |   | 4,416,932 |   |   | 4,328,927 |   |   | 4,834,734 |   |   | 4,764,201 |   |   | 4,665,783 |   |
| Total                                 |   | $ | 5,159,528 |   |   | $ | 5,098,286 |   |   | $ | 5,044,768 |   |   | $ | 6,532,748 |   |   | $ | 6,462,215 |   |   | $ | 6,403,552 |   |

|   |
|---|
|   |  |
| * | Carrying value of HTM securities represents amortized cost after adjustment for non-credit-related impairment recognized in AOCL. |

|                                                                 |
|-----------------------------------------------------------------|
|                                                                 |  |  |  |  |  |  |  |
|                                                            | As of |   | As of |
| Amortized Cost of HTM Securities by Interest-Rate Payment Terms | March 31, 2011 |   | December 31, 2010 |
| (in thousands)                                                  |   |   |   |
| Non-MBS:                                                        |   |   |   |
| Fixed                                                           | $ | 649,752 |   |   | $ | 1,665,362 |   |
| Variable                                                        | 31,602 |   |   | 32,652 |   |
| Subtotal                                                        | 681,354 |   |   | 1,698,014 |   |
| MBS:                                                            |   |   |   |
| Fixed                                                           | 772,107 |   |   | 927,307 |   |
| Variable                                                        | 3,706,067 |   |   | 3,907,427 |   |
| Subtotal                                                        | 4,478,174 |   |   | 4,834,734 |   |
| Total                                                           | $ | 5,159,528 |   |   | $ | 6,532,748 |   |

----

Table of Contents

|         |                                              |
|---------|----------------------------------------------|
| • | the remaining payment terms for the security |

|         |                   |
|---------|-------------------|
| • | prepayment speeds |

|         |               |
|---------|---------------|
| • | default rates |

|         |                                                      |
|---------|------------------------------------------------------|
| • | loss severity on the collateral supporting the PLMBS |

|         |                                |
|---------|--------------------------------|
| • | expected housing price changes |

|         |                           |
|---------|---------------------------|
| • | interest-rate assumptions |

----

Table of Contents

|                        |
|------------------------|
|                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                   |   | Significant Inputs Used to Measure Credit Losses For the Three Months Ended March 31, 2011 |   |   |   |   |
|                   |   | 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 % |
| (in percentages)       |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Prime:                 |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| 2008                   |   | 8.3 |   |  7.5-8.4 |   | 26.1 |   |  20.8-48.4 |   | 41.1 |   |  36.3-42.2 |   | 24.6 |   |  20.5-41.8 |
| 2005                   |   | 5.5 |   |  4.8-9.6 |   | 27.7 |   |  12.2-30.7 |   | 33.0 |   |  3.1-33.5 |   | 20.3 |   |  11.8-21.9 |
| 2004 and prior         |   | 15.5 |   |  3.0-43.9 |   | 3.1 |   |  0-41.0 |   | 23.2 |   |  0-49.3 |   | 9.7 |   |  2.8-51.7 |
| Total prime            |   | 13.8 |   |  3.0-43.9 |   | 8.2 |   |  0-48.4 |   | 26.7 |   |  0-49.3 |   | 12.7 |   |  2.8-51.7 |
| Alt-A:                 |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| 2008                   |   | 10.2 |   |  9.6-10.7 |   | 53.6 |   |  47.7-55.9 |   | 47.8 |   |  45.2-53.9 |   | 35.6 |   |  25.9-39.8 |
| 2007                   |   | 7.4 |   |  4.7-11.6 |   | 75.7 |   |  37.5-87.1 |   | 56.9 |   |  47.8-65.0 |   | 33.5 |   |  2.7-44.5 |
| 2006                   |   | 5.9 |   |  3.8-7.6 |   | 83.0 |   |  73.6-89.7 |   | 57.7 |   |  49.0-68.2 |   | 40.0 |   |  25.9-59.2 |
| 2005                   |   | 8.5 |   |  4.6-12.8 |   | 64.1 |   |  35.4-78.3 |   | 45.8 |   |  34.0-56.9 |   | 34.7 |   |  0-53.9 |
| 2004 and prior         |   | 13.5 |   |  12.8-17.1 |   | 22.7 |   |  0.4-32.0 |   | 33.0 |   |  18.1-36.3 |   | 17.1 |   |  10.1-28.4 |
| Total Alt-A            |   | 7.5 |   |  3.8-17.1 |   | 73.6 |   | 0.4-89.7 |   | 55.0 |   |  18.1-68.2 |   | 35.6 |   |  0-59.2 |
| Total PLMBS            |   | 8.7 |   |  3.0-43.9 |   | 60.8 |   |  0-89.7 |   | 49.4 |   |  0-68.2 |   | 31.1 |   |  0-59.2 |

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

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Table of Contents

|                        |
|------------------------|
|                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                   |   | Significant Inputs Used to Measure Credit Loss For the Three Months Ended March 31, 2011 |   |   |   |   |
|                   |   | 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 % |
| (in percentages)       |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Alt-A:                 |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| 2008                   |   | 10.7 |   |  10.7-10.7 |   | 52.4 |   |  52.4-52.4 |   | 47.8 |   |  47.8-47.8 |   | 25.9 |   |  25.9-25.9 |
| 2007                   |   | 8.0 |   |  5.6-11.6 |   | 71.3 |   |  37.5-83.2 |   | 54.4 |   |  47.8-65.0 |   | 18.9 |   |  2.7-44.1 |
| 2006                   |   | 5.9 |   |  3.8-7.3 |   | 83.6 |   |  73.6-89.7 |   | 57.9 |   |  49.0-68.2 |   | 40.0 |   |  37.3-46.4 |
| 2005                   |   | 7.5 |   |  6.1-9.7 |   | 72.1 |   |  53.8-78.3 |   | 49.6 |   |  34.3-56.9 |   | 31.9 |   |  14.2-47.6 |
| Total                  |   | 6.9 |   |  3.8-11.6 |   | 77.2 |   |  37.5-89.7 |   | 55.7 |   |  34.3-68.2 |   | 32.2 |   |  2.7-47.6 |

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

|                                                      |
|------------------------------------------------------|
|                                                      |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                 |   | For the Three Months Ended March 31, |
|                                                 |   | 2011 |   | 2010 |
| Other-than-Temporarily Impaired PLMBS                |   | Credit Losses |   | Net Non-Credit Losses |   | Total OTTI Losses |   | Credit Losses |   | Net Non-Credit Losses |   | Total OTTI Losses |
| (in thousands)                                       |   |   |   |   |   |   |   |   |   |   |   |   |
| PLMBS newly identified with OTTI in the period noted |   | $ | — |   |   | $ | — |   |   | $ | — |   |   | $ | (37 | ) |   | $ | (48,264 | ) |   | $ | (48,301 | ) |
| PLMBS identified with OTTI in prior periods          |   | (22,740 | ) |   | 22,725 |   |   | (15 | ) |   | (19,603 | ) |   | 10,650 |   |   | (8,953 | ) |
| Total                                                |   | $ | (22,740 | ) |   | $ | 22,725 |   |   | $ | (15 | ) |   | $ | (19,640 | ) |   | $ | (37,614 | ) |   | $ | (57,254 | ) |

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|                                                   |
|---------------------------------------------------|
|                                                   |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                              |   | As of March 31, 2011 |
|                                              |   | HTM Securities |   | AFS Securities |
| Other-than-Temporarily Impaired Securities - 2011 |   | Unpaid Principal Balance |   | Amortized Cost Basis |   | Carrying Value (1) |   | Fair Value |   | Unpaid Principal Balance |   | Amortized Cost Basis |   | Fair Value |
| (in thousands)                                    |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Alt-A PLMBS (2)                                   |   | $ | 16,699 |   |   | $ | 16,208 |   |   | $ | 10,850 |   |   | $ | 11,136 |   |   | $ | 1,274,588 |   |   | $ | 1,001,428 |   |   | $ | 771,290 |   |
| Total                                             |   | $ | 16,699 |   |   | $ | 16,208 |   |   | $ | 10,850 |   |   | $ | 11,136 |   |   | $ | 1,274,588 |   |   | $ | 1,001,428 |   |   | $ | 771,290 |   |

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

|                                                           |
|-----------------------------------------------------------|
|                                                           |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                      |   | As of March 31, 2011 |
|                                                      |   | HTM Securities |   | AFS Securities |
| Other-than-Temporarily Impaired Securities - Life to Date |   | Unpaid Principal Balance |   | Amortized Cost Basis |   | Carrying Value (1) |   | Fair Value |   | Unpaid Principal Balance |   | Amortized Cost Basis |   | Fair Value |
| (in thousands)                                            |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Alt-A PLMBS (2)                                           |   | $ | 150,569 |   |   | $ | 149,987 |   |   | $ | 88,745 |   |   | $ | 90,570 |   |   | $ | 2,440,351 |   |   | $ | 1,994,294 |   |   | $ | 1,522,532 |   |
| Total                                                     |   | $ | 150,569 |   |   | $ | 149,987 |   |   | $ | 88,745 |   |   | $ | 90,570 |   |   | $ | 2,440,351 |   |   | $ | 1,994,294 |   |   | $ | 1,522,532 |   |

|                                                           |
|-----------------------------------------------------------|
|                                                           |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                      |   | As of December 31, 2010 |
|                                                      |   | HTM Securities |   | AFS Securities |
| Other-than-Temporarily Impaired Securities - Life to Date |   | Unpaid Principal Balance |   | Amortized Cost Basis |   | Carrying Value (1) |   | Fair Value |   | Unpaid Principal Balance |   | Amortized Cost Basis |   | Fair Value |
| (in thousands)                                            |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Alt-A PLMBS (2)                                           |   | $ | 167,942 |   |   | $ | 166,702 |   |   | $ | 96,169 |   |   | $ | 96,805 |   |   | $ | 2,482,259 |   |   | $ | 2,059,078 |   |   | $ | 1,469,055 |   |
| Total                                                     |   | $ | 167,942 |   |   | $ | 166,702 |   |   | $ | 96,169 |   |   | $ | 96,805 |   |   | $ | 2,482,259 |   |   | $ | 2,059,078 |   |   | $ | 1,469,055 |   |

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

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|                                                                                                                                                               |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                                               |  |  |  |  |  |  |  |  |
|                                                                                                                                                          |   |  For the Three Months Ended March 31, |
| Credit Loss Component of OTTI                                                                                                                                 |   | 2011 |   | 2010 |
| (in thousands)                                                                                                                                                |   |   |   |   |
| Balance, beginning of period                                                                                                                                  |   | $ | 424,073 |   |   | $ | 319,113 |   |
| Additions:                                                                                                                                                    |   |   |   |   |
| Credit losses on securities on which OTTI was not previously recognized                                                                                       |   | — |   |   | 37 |   |
| Additional OTTI credit losses on securities on which an OTTI loss was previously recognized *                                                                 |   | 22,740 |   |   | 19,603 |   |
| Total additional credit losses recognized in period noted                                                                                                     |   | 22,740 |   |   | 19,640 |   |
| Reductions:                                                                                                                                                   |   |   |   |   |
| Increases in cash flows expected to be collected, recognized over the remaining life of the securities (amount recognized in interest income in period noted) |   | — |   |   | (280 | ) |
| Balance, end of period                                                                                                                                        |   | $ | 446,813 |   |   | $ | 338,473 |   |

|   |
|---|
|   |  |
| * | Relates to securities that were also previously determined to be OTTI prior to the beginning of the period. |

|         |                                                                                                                                                                                                                                                                                                                                                             |
|---------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | State and local housing agency obligations - We invest in state or local government bonds. We determined that, as of March 31, 2011, all of the gross unrealized losses on these bonds are temporary because the strength of the underlying collateral and credit enhancements was sufficient to protect us from losses based on current expectations. |

|         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |
|---------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | Other U.S. obligations and GSE and TLGP investments - For other U.S. obligations, non-MBS and MBS GSE investments, and TLGP investments, we determined that the strength of the applicable issuers' guarantees through direct obligations or support from the U.S. government was sufficient to protect us from losses based on current expectations. As a result, we have determined that, as of March 31, 2011, all of these gross unrealized losses are temporary. |

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|                                                      |
|------------------------------------------------------|
|                                                      |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                 |   | As of March 31, 2011 |   | As of December 31, 2010 |
| 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                              |   | $ | 6,089,453 |   |   | 1.13 |   | $ | 4,993,789 |   |   | 1.25 |
| Due after one year through two years                 |   | 1,436,853 |   |   | 3.00 |   | 3,027,371 |   |   | 1.75 |
| Due after two years through three years              |   | 762,753 |   |   | 2.81 |   | 1,218,938 |   |   | 2.86 |
| Due after three years through four years             |   | 585,247 |   |   | 3.26 |   | 308,891 |   |   | 3.50 |
| Due after four years through five years              |   | 685,753 |   |   | 3.93 |   | 962,363 |   |   | 3.58 |
| Thereafter                                           |   | 2,454,533 |   |   | 4.30 |   | 2,476,850 |   |   | 4.33 |
| Total par value                                      |   | 12,014,592 |   |   | 2.37 |   | 12,988,202 |   |   | 2.33 |
| Commitment fees                                      |   | (556 | ) |   |   |   | (573 | ) |   |   |
| Discount on AHP advances                             |   | (7 | ) |   |   |   | (9 | ) |   |   |
| Net premium on advances *                            |   | 22,637 |   |   |   |   | 23,120 |   |   |   |
| Hedging adjustments                                  |   | 295,858 |   |   |   |   | 344,702 |   |   |   |
| Total                                                |   | $ | 12,332,524 |   |   |   |   | $ | 13,355,442 |   |   |   |

|         |
|---------|
|         |  |
| *  | Net premium on advances includes net deferred prepayment fees on prepaid advances accounted for as modified advances. |

|                                          |
|------------------------------------------|
|                                          |  |  |  |  |  |  |  |  |
|                                     |   | As of |   | As of |
| Advances by Next Put/Convert Date        |   | March 31, 2011 |   | December 31, 2010 |
| (in thousands)                           |   |   |   |   |
| Due in one year or less                  |   | $ | 8,307,469 |   |   | $ | 7,214,305 |   |
| Due after one year through two years     |   | 1,496,353 |   |   | 2,971,871 |   |
| Due after two years through three years  |   | 872,753 |   |   | 1,426,438 |   |
| Due after three years through four years |   | 478,747 |   |   | 268,891 |   |
| Due after four years through five years  |   | 145,753 |   |   | 390,863 |   |
| Thereafter                               |   | 713,517 |   |   | 715,834 |   |
| Total par value                          |   | $ | 12,014,592 |   |   | $ | 12,988,202 |   |

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|                             |
|-----------------------------|
|                             |  |  |  |  |  |  |  |  |
|                        |   | As of |   | As of |
| Interest-Rate Payment Terms |   | March 31, 2011 |   | December 31, 2010 |
| (in thousands)              |   |   |   |   |
| Fixed:                      |   |   |   |   |
| Due in one year or less     |   | $ | 5,321,485 |   |   | $ | 4,270,407 |   |
| Due after one year          |   | 5,098,803 |   |   | 6,783,078 |   |
| Total fixed-rate            |   | 10,420,288 |   |   | 11,053,485 |   |
| Variable:                   |   |   |   |   |
| Due in one year or less     |   | 767,968 |   |   | 723,382 |   |
| Due after one year          |   | 826,336 |   |   | 1,211,335 |   |
| Total variable              |   | 1,594,304 |   |   | 1,934,717 |   |
| Total par value             |   | $ | 12,014,592 |   |   | $ | 12,988,202 |   |

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|                                                                       |
|-----------------------------------------------------------------------|
|                                                                       |  |  |  |  |  |  |  |  |
|                                                                  |   | As of |   | As of |
| Mortgage Loans Held for Portfolio, Net                                |   | March 31, 2011 |   | December 31, 2010 |
| (in thousands)                                                        |   |   |   |   |
| Real Estate:                                                          |   |   |   |   |
| Fixed interest-rate, medium-term*, single-family                      |   | $ | 369,010 |   |   | $ | 407,176 |   |
| Fixed interest-rate, long-term*, single-family                        |   | 2,593,189 |   |   | 2,801,124 |   |
| Total loan principal                                                  |   | 2,962,199 |   |   | 3,208,300 |   |
| Premiums                                                              |   | 22,870 |   |   | 24,648 |   |
| Discounts                                                             |   | (21,511 | ) |   | (22,200 | ) |
| Mortgage loans held for portfolio, before allowance for credit losses |   | 2,963,558 |   |   | 3,210,748 |   |
| Less: Allowance for credit losses on mortgage loans                   |   | 1,794 |   |   | 1,794 |   |
| Total mortgage loans held for portfolio, net                          |   | $ | 2,961,764 |   |   | $ | 3,208,954 |   |

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

|                                                |
|------------------------------------------------|
|                                                |  |  |  |  |  |  |  |  |
|                                           |   | As of |   | As of |
| Principal of Mortgage Loans Held for Portfolio |   | March 31, 2011 |   | December 31, 2010 |
| (in thousands)                                 |   |   |   |   |
| Government-guaranteed/insured                  |   | $ | 135,916 |   |   | $ | 141,499 |   |
| Conventional                                   |   | 2,826,283 |   |   | 3,066,801 |   |
| Total loan principal                           |   | $ | 2,962,199 |   |   | $ | 3,208,300 |   |

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|                                                          |
|----------------------------------------------------------|
|                                                          |  |  |  |  |  |  |  |  |
|                                                     |   | For the Three Months Ended March 31, |
| Allowance for Credit Losses                              |   | 2011 |   | 2010 |
| (in thousands)                                           |   |   |   |   |
| Balance, beginning of period                             |   | $ | 1,794 |   |   | $ | 626 |   |
| Provision (benefit) for credit losses                    |   | — |   |   | (258 | ) |
| Balance, end of period                                   |   | $ | 1,794 |   |   | $ | 368 |   |
| Ending balance, collectively evaluated for impairment    |   | $ | 1,794 |   |   |   |
| Recorded investments of mortgage loans, end of period: * |   | $ | 2,838,999 |   |   |   |
| Collectively evaluated for impairment                    |   | $ | 2,838,999 |   |   |   |

|   |
|---|
|   |  |
| * | Excludes government-guaranteed or insured mortgage loans. Includes the principal balance of the mortgage loan, adjusted for accrued interest, unamortized premiums or discounts, and direct write-downs. The recorded investment excludes any valuation allowance. |

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|                                                                |
|----------------------------------------------------------------|
|                                                                |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                           |   | As of March 31, 2011 |   | As of December 31, 2010 |
| Recorded Investment (1) in Delinquent Mortgage Loans |   | Conventional |   | Government-Guaranteed |   | Total |   | Conventional |   | Government-Guaranteed |   | Total |
| (in thousands, except percentages)                             |   |   |   |   |   |   |   |   |   |   |   |   |
| Mortgage loans:                                                |   |   |   |   |   |   |   |   |   |   |   |   |
| Past due 30-59 days delinquent and not in foreclosure          |   | $ | 35,332 |   |   | $ | 16,298 |   |   | $ | 51,630 |   |   | $ | 32,238 |   |   | $ | 18,015 |   |   | $ | 50,253 |   |
| Past due 60-89 days delinquent and not in foreclosure          |   | 10,082 |   |   | 7,510 |   |   | 17,592 |   |   | 12,403 |   |   | 7,092 |   |   | 19,495 |   |
| Past due 90 days or more delinquent                            |   | 48,303 |   |   | 23,311 |   |   | 71,614 |   |   | 42,522 |   |   | 24,229 |   |   | 66,751 |   |
| Total past due                                                 |   | 93,717 |   |   | 47,119 |   |   | 140,836 |   |   | 87,163 |   |   | 49,336 |   |   | 136,499 |   |
| Total current loans                                            |   | 2,745,282 |   |   | 90,513 |   |   | 2,835,795 |   |   | 2,994,417 |   |   | 93,959 |   |   | 3,088,376 |   |
| Total mortgage loans                                           |   | $ | 2,838,999 |   |   | $ | 137,632 |   |   | $ | 2,976,631 |   |   | $ | 3,081,580 |   |   | $ | 143,295 |   |   | $ | 3,224,875 |   |
| Accrued interest - mortgage loans                              |   | $ | 12,412 |   |   | $ | 635 |   |   | $ | 13,047 |   |   | $ | 13,466 |   |   | $ | 661 |   |   | $ | 14,127 |   |
| Other delinquency statistics:                                  |   |   |   |   |   |   |   |   |   |   |   |   |
| In process of foreclosure included above (2)         |   | $ | 31,709 |   |   | None |   |   | $ | 31,709 |   |   | $ | 32,491 |   |   | None |   |   | $ | 32,491 |   |
| Serious delinquency rate (3)                                   |   | 1.7 | % |   | 16.9 | % |   | 2.4 | % |   | 1.4 | % |   | 16.9 | % |   | 2.1 | % |
| Past due 90 days or more still accruing interest (4)           |   | $ | 39,893 |   |   | $ | 23,311 |   |   | $ | 63,204 |   |   | $ | 34,788 |   |   | $ | 24,229 |   |   | $ | 59,017 |   |
| Loans on non-accrual status (5)                           |   | $ | 8,410 |   |   | None |   |   | $ | 8,410 |   |   | $ | 7,734 |   |   | None |   |   | $ | 7,734 |   |
| REO                                                            |   | $ | 1,816 |   |   | None |   |   | $ | 1,816 |   |   | $ | 1,238 |   |   | None |   |   | $ | 1,238 |   |

|     |
|-----|
|     |  |
| (1) | Includes the principal balance of the mortgage loans, adjusted for accrued interest, unamortized premiums or discounts, and direct write-downs. The recorded investment excludes any valuation allowance. |
| (2) | Includes mortgage loans where the decision of foreclosure has been reported. |
| (3) | Mortgage loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total mortgage loan portfolio class unpaid principal balance. |
| (4) | Generally represents government-guaranteed or insured mortgage loans. |
| (5) | Generally represents mortgage loans with contractual principal or interest payments 90 days or more past due and not accruing interest. |

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|         |                                                                                                                                                                                                                          |
|---------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | reduce funding costs by combining a derivative with a consolidated obligation, as the cost of a combined funding structure can be lower than the cost of a comparable consolidated obligation bond (structured funding); |

|         |                                                                                          |
|---------|------------------------------------------------------------------------------------------|
| • | reduce the interest-rate sensitivity and repricing gaps of assets and liabilities;  |

|         |                                                                                                                                                                                                                                                                                                                                                                                                                               |
|---------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | preserve an interest-rate spread between the yield of an asset (e.g., an advance) and the cost of the related liability (e.g., the consolidated obligation bond used to fund the advance). Without the use of derivatives, this interest-rate spread could be reduced or eliminated when a change in the interest rate on the advance does not match a change in the interest rate on the consolidated obligation bond;  |

|         |                                                                                                                                                                 |
|---------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | mitigate the adverse earnings effects of the shortening or extension of expected lives of certain assets (e.g., mortgage-related assets) and liabilities;  |

|         |                                                             |
|---------|-------------------------------------------------------------|
| • | protect the value of existing asset or liability positions; |

|         |                                                        |
|---------|--------------------------------------------------------|
| • | manage embedded options in assets and liabilities; and |

|         |                                                 |
|---------|-------------------------------------------------|
| • | enhance our overall asset/liability management. |

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|                                    |
|------------------------------------|
|                                    |  |  |  |  |  |  |  |  |
|                               |   | As of |   | As of |
| Credit Risk Exposure               |   | March 31, 2011 |   | December 31, 2010 |
| (in thousands)                     |   |   |   |   |
| Total net exposure at fair value * |   | $ | 17,247 |   |   | $ | 27,055 |   |
| Less: Cash collateral held         |   | 9,651 |   |   | 14,042 |   |
| Exposure, net of collateral        |   | $ | 7,596 |   |   | $ | 13,013 |   |

|   |
|---|
|   |  |
| * | Includes net accrued interest receivable of $3.5 million and $34.3 million as of March 31, 2011 and December 31, 2010. |

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|                                                                                        |
|----------------------------------------------------------------------------------------|
|                                                                                        |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                                   |   | As of March 31, 2011 |
|  Fair Value of Derivative Instruments                                             |   | Notional Amount |   | Derivative Assets |   | Derivative Liabilities |
|  (in thousands)                                                                   |   |   |   |   |   |   |
| Derivatives designated as hedging instruments:                                         |   |   |   |   |   |   |
| Interest-rate swaps                                                                    |   | $ | 34,803,152 |   |   | $ | 178,021 |   |   | $ | 509,870 |   |
| Interest-rate caps or floors                                                           |   | 10,000 |   |   | 267 |   |   | — |   |
| Total derivatives designated as hedging instruments                                    |   | 34,813,152 |   |   | 178,288 |   |   | 509,870 |   |
| Derivatives not designated as hedging instruments:                                     |   |   |   |   |   |   |   |   |   |
| Interest-rate swaps                                                                    |   | 154,245 |   |   | 851 |   |   | 1,770 |   |
| Interest-rate caps or floors                                                           |   | 10,000 |   |   | — |   |   | — |   |
| Total derivatives not designated as hedging instruments                                |   | 164,245 |   |   | 851 |   |   | 1,770 |   |
| Total derivatives before netting and collateral adjustments:                           |   | $ | 34,977,397 |   |   | 179,139 |   |   | 511,640 |   |
| Netting adjustments (1)                                                           |   |   |   | (161,892 | ) |   | (161,892 | ) |
| Cash collateral and related accrued interest                                           |   |   |   | (9,651 | ) |   | (132,962 | ) |
| Total netting and collateral adjustments                                               |   |   |   | (171,543 | ) |   | (294,854 | ) |
| Derivative assets and derivative liabilities as reported on the statement of condition |   |   |   | $ | 7,596 |   |   | $ | 216,786 |   |

|                                                                                        |
|----------------------------------------------------------------------------------------|
|                                                                                        |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                                   |   | As of December 31, 2010 |
| Fair Value of Derivative Instruments                                                   |   | NotionalAmount |   | DerivativeAssets |   | DerivativeLiabilities |
| (in thousands)                                                                         |   |   |   |   |   |   |
| Derivatives designated as hedging instruments:                                         |   |   |   |   |   |   |
| Interest-rate swaps                                                                    |    | $ | 34,763,544 |   |   | $ | 226,753 |   |   | $ | 551,108 |   |
| Interest-rate caps or floors                                                           |   | 20,000 |   |   | 267 |   |   | — |   |
| Total derivatives designated as hedging instruments                                    |   | 34,783,544 |   |   | 227,020 |   |   | 551,108 |   |
| Derivatives not designated as hedging instruments:                                     |   |   |   |   |   |   |   |   |   |
| Interest-rate swaps                                                                    |   | 53,500 |   |   | 563 |   |   | 657 |   |
| Interest-rate caps or floors                                                           |   | 200,000 |   |   | — |   |   | — |   |
| Total derivatives not designated as hedging instruments                                |   | 253,500 |   |   | 563 |   |   | 657 |   |
| Total derivatives before netting and collateral adjustments:                           |   | $ | 35,037,044 |   |   | 227,583 |   |   | 551,765 |   |
| Netting adjustments (1)                                                                |   |   |   | (200,528 | ) |   | (200,528 | ) |
| Cash collateral and related accrued interest                                           |   |   |   | (14,042 | ) |   | (97,577 | ) |
| Total netting and collateral adjustments                                               |   |   |   | (214,570 | ) |   | (298,105 | ) |
| Derivative assets and derivative liabilities as reported on the statement of condition |   |   |   | $ | 13,013 |   |   | $ | 253,660 |   |

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

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|                                                                             |
|-----------------------------------------------------------------------------|
|                                                                             |  |  |  |  |  |  |  |  |
|                                                                        |   | For the Three Months Ended March 31, |
| Net Gain (Loss) on Derivatives and Hedging Activities                       |   | 2011 |   | 2010 |
| (in thousands)                                                              |   |   |   |   |
| Derivatives and hedged items in fair value hedging relationships:           |   |   |   |   |
| Interest-rate swaps                                                         |   | $ | 6,865 |   |   | $ | 259 |   |
| Total net gain related to fair value hedge ineffectiveness             |   | 6,865 |   |   | 259 |   |
| Derivatives not designated as hedging instruments:                          |   |   |   |   |
| Economic hedges:                                                            |   |   |   |   |
| Interest-rate swaps                                                         |   | 9 |   |   | (11 | ) |
| Interest-rate caps or floors                                                |   | — |   |   | (46 | ) |
| Net interest settlements                                                    |   | 1,415 |   |   | 3,815 |   |
| Total net gain related to derivatives not designated as hedging instruments |   | 1,424 |   |   | 3,758 |   |
| Net gain on derivatives and hedging activities                              |   | $ | 8,289 |   |   | $ | 4,017 |   |

|                                                                                                |
|------------------------------------------------------------------------------------------------|
|                                                                                                |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                                           |   | For the Three Months Ended March 31, 2011 |
| 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                                                                                       |   | $ | 14,100 |   |   | $ | (14,260 | ) |   | $ | (160 | ) |   | $ | (42,092 | ) |
| AFS securities (3)                                                                             |   | 14,435 |   |   | (1,554 | ) |   | 12,881 |   |   | (17,452 | ) |
| Consolidated obligation bonds                                                                  |   | (56,343 | ) |   | 50,485 |   |   | (5,858 | ) |   | 59,463 |   |
| Consolidated obligation discount notes                                                         |   | (454 | ) |   | 456 |   |   | 2 |   |   | 509 |   |
| Total                                                                                          |   | $ | (28,262 | ) |   | $ | 35,127 |   |   | $ | 6,865 |   |   | $ | 428 |   |
|                                                                                           |   |   |   |   |   |   |   |   |

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

|     |
|-----|
|     |  |
| (1) | These amounts are reported in other (loss) income. |
| (2) | The net interest on derivatives in fair value hedge relationships is presented in the interest income/expense line item of the respective hedged item. |
| (3) | Several of our AFS securities in benchmark fair value hedges were purchased at significant premiums with corresponding up-front fee on the associated swaps. The up-front swap fees are recognized through adjustments to fair value each period in "gain (loss) on derivatives and hedging activities" on the statements of operations and reflected in the financing activities section on our statements of cash flow. Amortization of the corresponding premiums on the hedged AFS securities is recorded within AFS investment interest income (i.e., within net interest income). As of March 31, 2011, the net gain of $12.9 million on our hedged AFS securities was substantially offset by premium amortization of $12.6 million on our AFS securities. |

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|                                                     |
|-----------------------------------------------------|
|                                                     |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                |   | As of March 31, 2011 |   | As of December 31, 2010 |
| 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                             |   | $ | 12,637,310 |   |   | 0.68 |   | $ | 15,713,795 |   |   | 0.64 |
| Due after one year through two years                |   | 2,971,500 |   |   | 2.69 |   | 3,384,000 |   |   | 2.24 |
| Due after two years through three years             |   | 3,620,000 |   |   | 2.17 |   | 3,562,000 |   |   | 2.24 |
| Due after three years through four years            |   | 2,726,500 |   |   | 2.83 |   | 2,197,500 |   |   | 3.20 |
| Due after four years through five years             |   | 2,893,660 |   |   | 2.12 |   | 2,615,160 |   |   | 1.61 |
| Thereafter                                          |   | 4,770,855 |   |   | 3.90 |   | 4,830,110 |   |   | 3.94 |
| Total par value                                     |   | 29,619,825 |   |   | 1.92 |   | 32,302,565 |   |   | 1.73 |
| Premiums                                            |   | 7,810 |   |   |   |   | 8,614 |   |   |   |
| Discounts                                           |   | (19,281 | ) |   |   |   | (20,528 | ) |   |   |
| Hedging adjustments                                 |   | 120,877 |   |   |   |   | 188,564 |   |   |   |
| Total                                               |   | $ | 29,729,231 |   |   |   |   | $ | 32,479,215 |   |   |   |

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|                                            |
|--------------------------------------------|
|                                            |  |  |  |  |  |  |  |  |
|                                       |   | As of |   | As of |
| Par Value of Consolidated Obligation Bonds |   | March 31, 2011 |   | December 31, 2010 |
| (in thousands)                             |   |   |   |   |
| Non-callable                               |   | $ | 19,609,580 |   |   | $ | 21,156,565 |   |
| Callable                                   |   | 10,010,245 |   |   | 11,146,000 |   |
| Total par value                            |   | $ | 29,619,825 |   |   | $ | 32,302,565 |   |

|                                          |
|------------------------------------------|
|                                          |  |  |  |  |  |  |  |  |
|                                     |   | As of |   | As of |
| Term-to-Maturity or Next Call Date       |   | March 31, 2011 |   | December 31, 2010 |
| (in thousands)                           |   |   |   |   |
| Due in one year or less                  |   | $ | 21,582,555 |   |   | $ | 23,229,795 |   |
| Due after one year through two years     |   | 3,101,500 |   |   | 3,779,000 |   |
| Due after two years through three years  |   | 1,590,000 |   |   | 1,847,000 |   |
| Due after three years through four years |   | 866,500 |   |   | 952,500 |   |
| Due after four years through five years  |   | 671,660 |   |   | 430,160 |   |
| Thereafter                               |   | 1,807,610 |   |   | 2,064,110 |   |
| Total par value                          |   | $ | 29,619,825 |   |   | $ | 32,302,565 |   |

|         |                                                                                                                                                                                                                                                         |
|---------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | Step-up consolidated obligation bonds pay interest at increasing fixed interest rates for specified intervals over the life of the bond. These bonds generally contain provisions enabling us to call the bonds at our option on the step-up dates; and |

|         |                                                                                                                                                                                                                                                                                                                                                                                                                       |
|---------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | Range consolidated obligation bonds pay interest based on the number of days a specified index is within/outside of a specified range. The computation of the variable interest rate differs for each consolidated obligation bond issue, but the consolidated obligation bonds generally pay zero interest or a minimal interest rate if the specified index is outside the specified range.     |

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|                                    |
|------------------------------------|
|                                    |  |  |  |  |  |  |  |  |
|                               |   | As of |   | As of |
| Interest-Rate Payment Terms        |   | March 31, 2011 |   | December 31, 2010 |
| (in thousands, except percentages) |   |   |   |   |
| Fixed                              |   | $ | 20,971,580 |   |   | $ | 23,431,565 |   |
| Step-up                            |   | 4,555,000 |   |   | 4,380,000 |   |
| Variable                           |   | 3,750,000 |   |   | 4,250,000 |   |
| Capped variable                    |   | 200,000 |   |   | 200,000 |   |
| Range                              |   | 143,245 |   |   | 41,000 |   |
| Total par value                    |   | $ | 29,619,825 |   |   | $ | 32,302,565 |   |

|                                        |
|----------------------------------------|
|                                        |  |  |  |  |  |  |  |  |  |  |  |
| Consolidated Obligation Discount Notes |   | Book Value |   | Par Value |   | Weighted-Average Interest Rate* |
| (in thousands, except interest rates)  |   |   |   |   |   |   |
| As of March 31, 2011                   |   | $ | 13,196,918 |   |   | $ | 13,198,098 |   |   | 0.13 |   |
| As of December 31, 2010                |   | $ | 11,596,307 |   |   | $ | 11,597,293 |   |   | 0.16 |   |

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

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|                                                                              |
|------------------------------------------------------------------------------|
|                                                                              |  |  |  |  |  |  |  |  |
| 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                                                    |   |   |   |   |
| March 31, 2011                                                               |   | $ | 158,864 |   |   | $ | 2,639,377 |   |
| December 31, 2010                                                       |   | $ | 158,864 |   |   | $ | 2,639,172 |   |

|     |
|-----|
|     |  |
| (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 Three Months Ended March 31, |
|                                                                 |   | 2011 |   | 2010 |
| Capital Stock Activity                                               |   | Class ACapital Stock |   | Class BCapital Stock |   | Class ACapital Stock |   | Class BCapital Stock |
| (in thousands)                                                       |   |   |   |   |   |   |   |   |
| Balance, beginning of period                                         |   | $ | 126,454 |   |   | $ | 1,649,695 |   |   | $ | 132,518 |   |   | $ | 1,717,149 |   |
| New member capital stock purchases                                   |   | — |   |   | 151 |   |   | — |   |   | — |   |
| Existing member capital stock purchases                              |   | — |   |   | 54 |   |   | — |   |   | 174 |   |
| Total capital stock purchases                                        |   | — |   |   | 205 |   |   | — |   |   | 174 |   |
| Capital stock transferred from mandatorily redeemable capital stock: |   |   |   |   |   |   |   |   |   |   |
| Recissions of redemption requests                                    |   | 755 |   |   | 5,294 |   |   | — |   |   | — |   |
| Capital stock transferred to mandatorily redeemable capital stock:   |   |   |   |   |   |   |   |   |   |   |
| Withdrawals/involuntary redemptions                                  |   | (1,720 | ) |   | (12,697 | ) |   | 1 |   |   | (1,233 | ) |
| Redemption requests past redemption date                             |   | — |   |   | (2,898 | ) |   | — |   |   | (633 | ) |
| Net transfers to mandatorily redeemable capital stock                |   | (965 | ) |   | (10,301 | ) |   | 1 |   |   | (1,866 | ) |
| Balance, end of period                                               |   | $ | 125,489 |   |   | $ | 1,639,599 |   |   | $ | 132,519 |   |   | $ | 1,715,457 |   |

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|         |                                                                                                                          |
|---------|--------------------------------------------------------------------------------------------------------------------------|
| • | $500 or 0.50% of the member's home mortgage loans and mortgage loan pass-through securities (membership requirement); or |

|         |                                                                                                                                                                                                                |
|---------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | The sum of the requirement for advances currently outstanding to that member and the requirement for the remaining principal balance of mortgages sold to us under the MPP (activity-based stock requirement). |

|         |                                                                                                                                                                                                                                                                                                                                                 |
|---------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | Risk-based capital - We must maintain at all times permanent capital, defined as Class B capital stock and retained earnings, in an amount at least equal to the sum of our credit risk, market risk, and operations risk capital requirements, all of which are calculated in accordance with the rules and regulations of the Finance Agency. |

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|         |                                                                                                                                                                                                                                                                                                                                                                                                                |
|---------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | Total regulatory capital - We are required to maintain at all times a total regulatory capital-to-assets ratio of at least 4.00%. Total regulatory capital is the sum of permanent capital, Class A capital stock, any general loss allowance, if consistent with GAAP and not established for specific assets, and other amounts from sources determined by the Finance Agency as available to absorb losses. |

|         |                                                                                                                                                                                                                                                                        |
|---------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | Leverage capital - We are required to maintain at all times a leverage capital-to-assets ratio of at least 5.00%. Leverage capital is defined as the sum of: (a) permanent capital weighted by a 1.5 multiplier plus (b) all other capital without a weighting factor. |

|                                   |
|-----------------------------------|
|                                   |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                              |   | As of March 31, 2011 |   | As of December 31, 2010 |
| Regulatory Capital Requirements   |   | Required |   | Actual |   | Required |   | Actual |
| (in thousands, except for ratios) |   |   |   |   |   |   |   |   |
| Risk-based capital                |   | $ | 1,624,283 |   |   | $ | 2,700,645 |   |   | $ | 1,981,453 |   |   | $ | 2,712,568 |   |
| Total capital-to-assets ratio     |   | 4.00 | % |   | 6.22 | % |   | 4.00 | % |   | 6.08 | % |
| Total regulatory capital          |   | $ | 1,837,534 |   |   | $ | 2,859,509 |   |   | $ | 1,888,319 |   |   | $ | 2,871,432 |   |
| Leverage capital-to-assets ratio  |   | 5.00 | % |   | 9.16 | % |   | 5.00 | % |   | 8.96 | % |
| Leverage capital                  |   | $ | 2,296,918 |   |   | $ | 4,209,832 |   |   | $ | 2,360,399 |   |   | $ | 4,227,716 |   |

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|                                                                         |
|-------------------------------------------------------------------------|
|                                                                         |  |  |  |  |  |  |  |  |
|                                                                    |   | For the Three Months Ended March 31, |
| Mandatorily Redeemable Capital Stock                                    |   | 2011 |   | 2010 |
| (in thousands)                                                          |   |   |   |   |
| Balance, beginning of period                                            |   | $ | 1,021,887 |   |   | $ | 946,527 |   |
| Capital stock subject to mandatory redemption reclassified from equity: |   |   |   |   |
| Withdrawals                                                             |   | 14,417 |   |   | 1,233 |   |
| Redemption requests past redemption date                                |   | 2,898 |   |   | 633 |   |
| Capital stock subject to mandatory redemption reclassified to equity:   |   |   |   |   |
| Recissions of redemption requests                                       |   | (6,049 | ) |   | — |   |
| Balance, end of period                                                  |   | $ | 1,033,153 |   |   | $ | 948,393 |   |

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|                                                                |
|----------------------------------------------------------------|
|                                                                |  |  |  |  |  |  |  |  |
|                                                           |   | As of March 31, 2011 |
| Mandatorily Redeemable Capital Stock - Redemptions by Date     |   | Class ACapital Stock |   | Class BCapital Stock |
| (in thousands)                                                 |   |   |   |   |
| Less than one year                                             |   | $ | 1,720 |   |   | $ | 13,419 |   |
| One year through two years                                     |   | — |   |   | 126 |   |
| Two years through three years                                  |   | — |   |   | 628,668 |   |
| Three years through four years                                 |   | — |   |   | 4,351 |   |
| Four years through five years                                  |   | — |   |   | 162,241 |   |
| Past contractual redemption date due to remaining activity (1) |   | — |   |   | 13,995 |   |
| Past contractual redemption date due to regulatory action (2)  |   | 31,655 |   |   | 176,978 |   |
| Total                                                          |   | $ | 33,375 |   |   | $ | 999,778 |   |

|     |
|-----|
|     |  |
| (1) | Represents mandatorily redeemable capital stock that is past the end of the contractual redemption period because there is activity outstanding that the mandatorily redeemable capital stock relates to. Year of redemption assumes payments of advances and mortgage loans at final maturity. |
| (2) | See "Capital Classification and Consent Arrangement" above for discussion of the Seattle Bank's mandatorily redeemable capital stock restrictions. |

|                                               |
|-----------------------------------------------|
|                                               |  |  |  |  |  |  |  |  |
|                                          |   | As of March 31, 2011 |
| Capital Stock - Voluntary Redemptions by Date |   | Class A Capital Stock |   | Class B Capital Stock |
| (in thousands)                                |   |   |   |   |
| Less than one year                            |   | $ | 3,937 |   |   | $ | 5,999 |   |
| One year through two years                    |   | — |   |   | 67,286 |   |
| Two years through three years                 |   | — |   |   | 47,117 |   |
| Three years through four years                |   | — |   |   | 42,693 |   |
| Four years through five years                 |   | — |   |   | 2,539 |   |
| Total                                         |   | $ | 3,937 |   |   | $ | 165,634 |   |

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|                                                                                  |
|----------------------------------------------------------------------------------|
|                                                                                  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Accumulated Other Comprehensive Loss                                             |   | Benefit Plans |   | HTM Securities |   | AFS Securities |   | Total |
| (in thousands)                                                                   |   |   |   |   |   |   |   |   |
| Balance, December 31, 2009                                                       |   | $ | (3,098 | ) |   | $ | (209,292 | ) |   | $ | (696,426 | ) |   | $ | (908,816 | ) |
| Non-PLMBS:                                                                       |   |   |   |   |   |   |   |   |
| Unrealized loss on AFS securities                                                |   | — |   |   | — |   |   | (637 | ) |   | (637 | ) |
| Other-than temporarily impaired PLMBS:                                           |   |   |   |   |   |   |   |   |
| Non-credit portion                                                               |   | — |   |   | (55,181 | ) |   | — |   |   | (55,181 | ) |
| Reclassification of non-credit portion on securities transferred from HTM to AFS |   | — |   |   | 59,179 |   |   | (59,179 | ) |   | — |   |
| Reclassification of non-credit portion into income                               |   | — |   |   | 783 |   |   | 16,783 |   |   | 17,566 |   |
| Accretion of non-credit portion                                                  |   | — |   |   | 12,209 |   |   | — |   |   | 12,209 |   |
| Unrealized changes in fair value                                                 |   | — |   |   | — |   |   | 78,977 |   |   | 78,977 |   |
| Pension benefits                                                                 |   | 126 |   |   | — |   |   | — |   |   | 126 |   |
| Balance, March 31, 2010                                                          |   | $ | (2,972 | ) |   | $ | (192,302 | ) |   | $ | (660,482 | ) |   | $ | (855,756 | ) |
| Balance, December 31, 2010                                                       |   | $ | (880 | ) |   | $ | (70,533 | ) |   | $ | (595,493 | ) |   | $ | (666,906 | ) |
| Non-PLMBS:                                                                       |   |   |   |   |   |   |   |   |
| Unrealized gain on AFS securities                                                |   | — |   |   | — |   |   | 8,317 |   |   | 8,317 |   |
| Other-than-temporarily impaired PLMBS:                                           |   |   |   |   |   |   |   |   |   |   |   |
| Reclassification of non-credit portion on securities transferred from HTM to AFS |   | — |   |   | 4,790 |   |   | (4,790 | ) |   | — |   |
| Reclassification of non-credit portion into income                               |   | — |   |   | 524 |   |   | 22,201 |   |   | 22,725 |   |
| Accretion of non-credit portion                                                  |   | — |   |   | 3,977 |   |   | — |   |   | 3,977 |   |
| Unrealized changes in fair value                                                 |   | — |   |   | — |   |   | 100,850 |   |   | 100,850 |   |
| Pension benefits                                                                 |   | 13 |   |   | — |   |   | — |   |   | 13 |   |
| Balance, March 31, 2011                                                          |   | $ | (867 | ) |   | $ | (61,242 | ) |   | $ | (468,915 | ) |   | $ | (531,024 | ) |

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|                                                             |
|-------------------------------------------------------------|
|                                                             |  |  |  |  |  |  |  |  |
|                                                        |   | For the Three Months Ended March 31, |
| Net Periodic Pension Cost for Supplemental Retirement Plans |   | 2011 |   | 2010 |
| (in thousands)                                              |   |   |   |   |
| Service cost                                                |   | $ | 65 |   |   | $ | 103 |   |
| Interest cost                                               |   | 44 |   |   | 103 |   |
| Amortization of prior service cost                          |   | 16 |   |   | 67 |   |
| Amortization of net gain                                    |   | (1 | ) |   | — |   |
| Total                                                       |   | $ | 124 |   |   | $ | 273 |   |

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|                                                 |
|-------------------------------------------------|
|                                                 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                            |   | As of March 31, 2011 |   | As of December 31, 2010 |
| Fair Values                                     |   | Carrying Value |   | Fair Value |   | Carrying Value |   | Fair Value |
| (in thousands)                                  |   |   |   |   |   |   |   |   |
| Financial assets:                               |   |   |   |   |   |   |   |   |
| Cash and due from banks                         |   | $ | 26,821 |   |   | $ | 26,821 |   |   | $ | 1,181 |   |   | $ | 1,181 |   |
| Deposit with other FHLBanks                     |   | 53 |   |   | 53 |   |   | 9 |   |   | 9 |   |
| Securities purchased under agreements to resell |   | 3,250,000 |   |   | 3,250,000 |   |   | 4,750,000 |   |   | 4,750,000 |   |
| Federal funds sold                              |   | 9,806,000 |   |   | 9,806,190 |   |   | 6,569,152 |   |   | 6,569,165 |   |
| AFS securities                                  |   | 12,324,655 |   |   | 12,324,655 |   |   | 12,717,669 |   |   | 12,717,669 |   |
| HTM securities                                  |   | 5,098,286 |   |   | 5,044,768 |   |   | 6,462,215 |   |   | 6,403,552 |   |
| Advances                                        |   | 12,332,524 |   |   | 12,438,210 |   |   | 13,355,442 |   |   | 13,446,495 |   |
| Mortgage loans held for portfolio, net          |   | 2,961,764 |   |   | 3,140,340 |   |   | 3,208,954 |   |   | 3,410,897 |   |
| Accrued interest receivable                     |   | 83,636 |   |   | 83,636 |   |   | 86,356 |   |   | 86,356 |   |
| Derivative assets                               |   | 7,596 |   |   | 7,596 |   |   | 13,013 |   |   | 13,013 |   |
| REFCORP deferred asset                          |   | 14,552 |   |   | 14,552 |   |   | 14,552 |   |   | 14,552 |   |
| Financial liabilities:                          |   |   |   |   |   |   |   |   |
| Deposits                                        |   | (305,334 | ) |   | (305,331 | ) |   | (502,787 | ) |   | (502,784 | ) |
| Consolidated obligations, net:                  |   |   |   |   |   |   |   |   |   |
| Discount notes                                  |   | (13,196,918 | ) |   | (13,196,813 | ) |   | (11,596,307 | ) |   | (11,595,831 | ) |
| Bonds                                           |   | (29,729,231 | ) |   | (30,041,532 | ) |   | (32,479,215 | ) |   | (32,799,998 | ) |
| Mandatorily redeemable capital stock            |   | (1,033,153 | ) |   | (1,033,153 | ) |   | (1,021,887 | ) |   | (1,021,887 | ) |
| Accrued interest payable                        |   | (122,438 | ) |   | (122,438 | ) |   | (129,472 | ) |   | (129,472 | ) |
| AHP payable                                     |   | (4,613 | ) |   | (4,613 | ) |   | (5,042 | ) |   | (5,042 | ) |
| Derivative liabilities                          |   | (216,786 | ) |   | (216,786 | ) |   | (253,660 | ) |   | (253,660 | ) |
| Other:                                          |   |   |   |   |   |   |   |   |   |
| Commitments to extend credit for advances       |   | (556 | ) |   | (556 | ) |   | (573 | ) |   | (573 | ) |
| Commitments to issue consolidated obligations   |   | — |   |   | 8,575 |   |   | — |   |   | 585 |   |

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|                                                |
|------------------------------------------------|
|                                                |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                           |   | As of March 31, 2011 |
| Recurring Fair Value Measurement               |   | Total |   | Level 1 |   | Level 2 |   | Level 3 |   | Netting Adjustment and Collateral * |
| (in thousands)                                 |   |   |   |   |   |   |   |   |   |   |
| AFS Securities:                                |   |   |   |   |   |   |   |   |   |   |
| PLMBS                                          |   | $ | 1,522,532 |   |   | $ | — |   |   | $ | — |   |   | $ | 1,522,532 |   |   | $ | — |   |
| TLGP securities                                |   | 6,387,805 |   |   | — |   |   | 6,387,805 |   |   | — |   |   | — |   |
| GSE obligations                                |   | 4,414,318 |   |   | — |   |   | 4,414,318 |   |   | — |   |   | — |   |
| Derivative assets (interest-rate related)      |   | 7,596 |   |   | — |   |   | 179,139 |   |   | — |   |   | (171,543 | ) |
| Other assets (rabbi trust)                     |   | 2,209 |   |   | 2,209 |   |   | — |   |   | — |   |   | — |   |
| Total assets at fair value                     |   | $ | 12,334,460 |   |   | $ | 2,209 |   |   | $ | 10,981,262 |   |   | $ | 1,522,532 |   |   | $ | (171,543 | ) |
| Derivative liabilities (interest-rate related) |   | $ | (216,786 | ) |   | $ | — |   |   | $ | (511,640 | ) |   | $ | — |   |   | $ | 294,854 |   |
| Total liabilities at fair value                |   | $ | (216,786 | ) |   | $ | — |   |   | $ | (511,640 | ) |   | $ | — |   |   | $ | 294,854 |   |

|                                                |
|------------------------------------------------|
|                                                |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                           |   | As of December 31, 2010 |
| Recurring Fair Value Measurement               |   | Total |   | Level 1 |   | Level 2 |   | Level 3 |   | NettingAdjustment and Collateral * |
| (in thousands)                                 |   |   |   |   |   |   |   |   |   |   |
| AFS Securities:                                |   |   |   |   |   |   |   |   |   |   |
| PLMBS                                          |   | $ | 1,469,055 |   |   | $ | — |   |   | $ | — |   |   | $ | 1,469,055 |   |   | $ | — |   |
| TLGP securities                                |   | 6,398,778 |   |   | — |   |   | 6,398,778 |   |   | — |   |   | — |   |
| GSE obligations                                |   | 4,849,836 |   |   | — |   |   | 4,849,836 |   |   | — |   |   | — |   |
| Derivative assets (interest-rate related)      |   | 13,013 |   |   | — |   |   | 227,583 |   |   | — |   |   | (214,570 | ) |
| Other assets (rabbi trust)                     |   | 297 |   |   | 297 |   |   | — |   |   | — |   |   | — |   |
| Total assets at fair value                     |   | $ | 12,730,979 |   |   | $ | 297 |   |   | $ | 11,476,197 |   |   | $ | 1,469,055 |   |   | $ | (214,570 | ) |
| Derivative liabilities (interest-rate related) |   | $ | (253,660 | ) |   | $ | — |   |   | $ | (551,765 | ) |   | $ | — |   |   | $ | 298,105 |   |
| Total liabilities at fair value                |   | $ | (253,660 | ) |   | $ | — |   |   | $ | (551,765 | ) |   | $ | — |   |   | $ | 298,105 |   |

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

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|                                                               |
|---------------------------------------------------------------|
|                                                               |  |  |  |  |  |  |  |  |
|                                                          |   | AFS PLMBS |
|                                                          |   | For the Three Months Ended March 31, |
| Fair Value Measurements Using Significant Unobservable Inputs |   | 2011 |   | 2010 |
| (in thousands)                                                |   |   |   |   |
| Balance, beginning of period                                  |   | $ | 1,469,055 |   |   | $ | 976,870 |   |
| Transfers from HTM to AFS securities (1)                 |   | 8,724 |   |   | 77,327 |   |
| OTTI credit loss recognized in earnings                       |   | (22,201 | ) |   | (16,783 | ) |
| Unrealized gains in AOCL                                      |   | 122,479 |   |   | 95,760 |   |
| Settlements                                                   |   | (55,525 | ) |   | (44,791 | ) |
| Balance as of end of period                                   |   | $ | 1,522,532 |   |   | $ | 1,088,383 |   |

|     |
|-----|
|     |  |
| (1) | In the three months ended March 31, 2011 and 2010, we transferred certain PLMBS from our HTM portfolio to our AFS portfolio with a total fair value of $8.7 million and $77.3 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. |

|                                       |
|---------------------------------------|
|                                       |  |  |  |  |  |  |  |  |  |  |  |  |
|                                  |   | As of March 31, 2011 |
| Non-Recurring Fair Value Measurements |   | Total |   | Level 2 |   | Level 3 |
| (in thousands)                        |   |   |   |   |   |   |
| HTM securities                        |   | $ | 7,555 |   |   | $ | — |   |   | $ | 7,555 |   |
| REO                                   |   | 1,816 |   |   | 1,816 |   |   | — |   |
| Total assets at fair value            |   | $ | 9,371 |   |   | $ | 1,816 |   |   | $ | 7,555 |   |

|                                       |
|---------------------------------------|
|                                       |  |  |  |  |  |  |  |  |  |  |  |  |
|                                  |   | As of December 31, 2010 |
| Non-Recurring Fair Value Measurements |   | Total |   | Level 2 |   | Level 3 |
| (in thousands)                        |   |   |   |   |   |   |
| HTM securities                        |   | $ | 8,012 |   |   | $ | — |   |   | $ | 8,012 |   |
| REO                                   |   | 1,238 |   |   | 1,238 |   |   | — |   |
| Total assets at fair value            |   | $ | 9,250 |   |   | $ | 1,238 |   |   | $ | 8,012 |   |

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|                                                 |
|-------------------------------------------------|
|                                                 |  |  |  |  |  |  |  |  |
|                                            |   | As of |   | As of |
| Balances with Related Parties                   |   | March 31, 2011 |   | December 31, 2010 |
| (in thousands)                                  |   |   |   |   |
| Assets:                                         |   |   |   |   |
| Securities purchased under agreements to resell |   | $ | 250,000 |   |   | $ | — |   |
| Federal funds sold                              |   | — |   |   | 144,000 |   |
| AFS securities                                  |   | 3,020,597 |   |   | 2,986,545 |   |
| HTM securities                                  |   | 330,695 |   |   | 384,255 |   |
| Advances (par value)                            |   | 4,095,381 |   |   | 4,465,420 |   |
| Mortgage loans held for portfolio               |   | 2,586,083 |   |   | 2,806,165 |   |
| Liabilities and Capital:                        |   |   |   |   |
| Deposits                                        |   | 12,217 |   |   | 6,561 |   |
| Mandatorily redeemable capital stock            |   | 805,079 |   |   | 805,079 |   |
| Class B capital stock                           |   | 721,838 |   |   | 725,422 |   |
| Class A capital stock                           |   | 2,003 |   |   | 4,784 |   |
| AOCL - non-credit OTTI                          |   | (211,209 | ) |   | (268,577 | ) |
| Other:                                          |   |   |   |   |
| Notional amount of derivatives                  |   | 7,499,080 |   |   | 8,083,705 |   |

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|                                                 |
|-------------------------------------------------|
|                                                 |  |  |  |  |  |  |  |  |
|                                            |   | For the Three Months Ended March 31, |
| Income and Expense with Related Parties         |   | 2011 |   | 2010 |
| (in thousands)                                  |   |   |   |   |
| Income                                          |   |   |   |   |
| Advances, net *                                 |   | $ | 1,771 |   |   | $ | 12,013 |   |
| Securities purchased under agreements to resell |   | 23 |   |   | 630 |   |
| Federal funds sold                              |   | 29 |   |   | 31 |   |
| AFS securities                                  |   | 4,440 |   |   | 2,018 |   |
| HTM securities                                  |   | 2,099 |   |   | 4,301 |   |
| Mortgage loans held for portfolio               |   | 33,454 |   |   | 43,562 |   |
| Net OTTI credit loss                            |   | (10,568 | ) |   | (12,659 | ) |
|      Total             |   | $ | 31,248 |   |   | $ | 49,896 |   |
| Expense                                         |   |   |   |   |   |   |
| Deposits                                        |   | $ | 2 |   |   | $ | 1 |   |
|      Total             |   | $ | 2 |   |   | $ | 1 |   |

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

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|                                                     |
|-----------------------------------------------------|
|                                                     |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                |   | As of |   | As of |
|                                                |   | March 31, 2011 |   | December 31, 2010 |
| Notional Amount of Unrecorded Commitments           |   | Expire Within One Year |   | Expire AfterOne Year |   | Total |   | Total |
| (in thousands)                                      |   |   |   |   |   |   |   |   |
| Standby letters of credit outstanding (1)      |   | $ | 608,238 |   |   | $ | 13,061 |   |   | $ | 621,299 |   |   | $ | 678,746 |   |
| Commitments for standby bond purchases (principal)  |   | 42,480 |   |   | — |   |   | 42,480 |   |   | 44,735 |   |
| Unsettled consolidated obligation bonds, at par (2) |   | 2,526,000 |   |   | — |   |   | 2,526,000 |   |   | 347,500 |   |
| Total                                               |   | $ | 3,176,718 |   |   | $ | 13,061 |   |   | $ | 3,189,779 |   |   | $ | 1,070,981 |   |

|     |
|-----|
|     |  |
| (1) | Excludes unconditional commitments to issue standby letters of credit of $16.0 million and $18.0 million as of March 31, 2011 and December 31, 2010. |
| (2) | As of March 31, 2011 and December 2010, $2.5 billion and $147.5 million were hedged with interest-rate swaps. |

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|         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |
|---------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | regulatory requirements and restrictions resulting from our entering into a Stipulation and Consent to the Issuance of a Consent Order (Stipulation and Consent) with the Federal Housing Finance Agency (Finance Agency) on October 25, 2010, relating to the Consent Order, effective as of the same date, issued by the Finance Agency to the Seattle Bank (collectively, with related understandings with the Finance Agency, the Consent Arrangement); a further adverse change made by the Finance Agency in our "undercapitalized" classification; or other actions by the Finance Agency, particularly actions that may result from our failure to satisfy the requirements of the Consent Arrangement; |

|         |                                                                                                                                                                                                    |
|---------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | significant changes in our members' businesses resulting from, among other things, decreased customer lending and increased retail customer deposits, that could reduce their demand for advances; |

|         |                                                                                                                                                                                                                                                                                                                                                                        |
|---------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | adverse changes in credit quality, market prices, home price declines in excess of our expectations, or other factors that could affect our financial instruments, particularly our private-label mortgage-backed securities (PLMBS), and that could result in, among other things, additional other-than-temporary impairment (OTTI) charges or capital deficiencies; |

|         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |
|---------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | our ability to attract new members and our existing members' willingness to purchase new or additional capital stock or to transact business with us which may be adversely affected by, among other things, concerns about our ability to successfully meet the requirements of the Consent Arrangement, our "undercapitalized" classification, our inability to redeem or repurchase capital stock or pay dividends, more favorable funding alternatives, or pending litigation adverse to the interests of certain potential or existing members; |

|         |                                                                                                                                                                                                                                     |
|---------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | adverse changes in the market prices or credit quality of our members' assets used as collateral for our advances that could reduce our members' borrowing capacity or result in an under-secured position on outstanding advances; |

|         |                                                                                                                                                                                                                                                                                                                              |
|---------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | instability or sustained deterioration in our results of operations or financial condition or adverse regulatory actions affecting the Seattle Bank or another Federal Home Loan Bank (FHLBank) that could result in member or nonmember shareholders recording impairment charges on their Seattle Bank capital stock; |

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|         |                                                                                                                                                         |
|---------|---------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | loss of members and repayment of advances made to those members due to institutional failures, mergers, consolidations, or withdrawals from membership; |

|         |                                                                                                                                                                                                                                                                                                                         |
|---------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | our failure to identify, manage, mitigate, or remedy risks that could negatively affect our operations, including, among others, operational, credit, and collateral risk management, information technology initiatives (such as the outsourcing of our information technology functions), and internal controls; |

|         |                                                                                                         |
|---------|---------------------------------------------------------------------------------------------------------|
| • | rating agency actions affecting the Seattle Bank or the Federal Home Loan Bank System (FHLBank System); |

|         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |
|---------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | actions taken by governmental entities, including the U.S. Congress, the U.S. Department of the Treasury (U.S. Treasury), the Federal Reserve System (Federal Reserve), or the Federal Deposit Insurance Corporation (FDIC), including government-sponsored enterprise (GSE) reform, centralized derivative clearing, changes in FDIC insurance assessment calculations, or other legislation or regulation that could affect the capital and credit markets or demand for our advances; |

|         |                                                                                                                                                                                                  |
|---------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | adverse changes in investor demand for consolidated obligations or increased competition from other GSEs, including other FHLBanks, as well as corporate, sovereign, and supranational entities; |

|         |                                                                                                                                                                                                                                                                    |
|---------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | significant or rapid changes in market conditions, including fluctuations in interest rates, shifts in yield curves, and widening of spreads on mortgage-related assets relative to other financial instruments, or our failure to effectively hedge these assets; |

|         |                                                                                                                                          |
|---------|------------------------------------------------------------------------------------------------------------------------------------------|
| • | changing accounting guidance, including changes relating to financial instruments, that could adversely affect our financial statements; |

|         |                                                                                                                                                                           |
|---------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | the need to make principal or interest payments on behalf of another FHLBank as a result of the joint and several liability of all FHLBanks for consolidated obligations; |

|         |                                                                                                                  |
|---------|------------------------------------------------------------------------------------------------------------------|
| • | changes in global, national, and local economic conditions, including unemployment, inflation, or deflation; and |

|         |                                                                                                                                                                                                                                                                                |
|---------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | events such as terrorism, natural disasters, or other catastrophic events that could disrupt the financial markets where we obtain funding, our borrowers' ability to repay advances, the value of the collateral that we hold, or our ability to conduct business in general. |

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|         |                                                                                                                                                                                                |
|---------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | Market value of equity (MVE) to par value of capital stock (PVCS) ratio - As of March 31, 2011, our MVE to PVCS ratio increased to 80.6%, compared to 75.7% as of December 31, 2010. |

|         |                                                                                                                                                                                         |
|---------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | Retained earnings - As a result of our first quarter net loss, retained earnings decreased to $61.3 million as of March 31, 2011, from $73.4 million as of December 31, 2010. |

|         |                                                                                                                                                                                                             |
|---------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | Return on PVCS vs. federal funds - Our return on PVCS was (0.43)% and the annual average federal funds effective rate was 0.16% for first quarter 2011, compared to 0.88% and 0.14% for first quarter 2010. |

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|         |                                                                 |
|---------|-----------------------------------------------------------------|
| • | Achieve and maintain certain financial and operational metrics; |

|         |                                                                                                                                                                                                                          |
|---------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | Remediate certain concerns regarding our oversight and management, asset quality, capital adequacy and retained earnings, risk management, compensation practices, examination findings, and information technology; and |

|         |                                                                                                   |
|---------|---------------------------------------------------------------------------------------------------|
| • | Return to a safe and sound condition as determined by the Finance Agency.     |

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|         |                                                                                                                                                                       |
|---------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | the annual gross financial revenue of the company represents 85% or more of the company's gross revenue in either of its two most recently completed fiscal years; or |

|         |                                                                                                                                                                                            |
|---------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | the company's total financial assets represent 85% or more of the company's total assets as of the end of either of its two most recently completed fiscal years.      |

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|         |                                                        |
|---------|--------------------------------------------------------|
| • | a valuation standard for collateral on secured claims; |

|         |                                                                                                                                                                                     |
|---------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | that all unsecured creditors must expect to absorb losses in any liquidation and that secured creditors will only be protected to the extent of the fair value of their collateral; |

|         |                                                            |
|---------|------------------------------------------------------------|
| • | a clarification of the treatment of contingent claims; and |

|         |                                                                                                               |
|---------|---------------------------------------------------------------------------------------------------------------|
| • | that secured obligations collateralized with U.S. government obligations will be valued at fair market value. |

|         |                                  |
|---------|----------------------------------|
| • | prohibit excessive compensation; |

|         |                                                                             |
|---------|-----------------------------------------------------------------------------|
| • | prohibit incentive compensation that could lead to material financial loss; |

|         |                           |
|---------|---------------------------|
| • | require an annual report; |

|         |                                      |
|---------|--------------------------------------|
| • | require policies and procedures; and |

|         |                                                                                                       |
|---------|-------------------------------------------------------------------------------------------------------|
| • | require mandatory deferrals of 50% of incentive compensation over three years for executive officers. |

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|         |                                                                       |
|---------|-----------------------------------------------------------------------|
| • | focus the FHLBanks on small- and medium-sized financial institutions; |

|         |                                                                                                                      |
|---------|----------------------------------------------------------------------------------------------------------------------|
| • | restrict membership by allowing each institution eligible for membership to be an active member in only one FHLBank; |

|         |                                                                    |
|---------|--------------------------------------------------------------------|
| • | limit the level of outstanding advances to individual members; and |

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|         |                                                                                                                                                      |
|---------|------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | reduce FHLBank investment portfolios and their composition, focusing the FHLBanks on providing liquidity for insured depository institutions.   |

|         |                                                                  |
|---------|------------------------------------------------------------------|
| • | current or anticipated declines in the value of assets it holds; |

|         |                                              |
|---------|----------------------------------------------|
| • | its ability to access liquidity and funding; |

|         |                                               |
|---------|-----------------------------------------------|
| • | credit, market, operational, and other risks; |

|         |                                               |
|---------|-----------------------------------------------|
| • | current or projected declines in its capital; |

|         |                                                                      |
|---------|----------------------------------------------------------------------|
| • | material compliance with regulations, written orders, or agreements; |

|         |                                    |
|---------|------------------------------------|
| • | housing finance market conditions; |

|         |                              |
|---------|------------------------------|
| • | levels of retained earnings; |

|         |                                                                              |
|---------|------------------------------------------------------------------------------|
| • | initiatives, operations, products, or practices that entail heightened risk; |

|         |                                                                            |
|---------|----------------------------------------------------------------------------|
| • | the ratio of market value of equity to the par value of capital stock; and |

|         |                                                                        |
|---------|------------------------------------------------------------------------|
| • | other conditions as notified by the Director.      |

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|         |                                                                                                                                                                                                                                                   |
|---------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | reorganizes and re-adopts Federal Housing Finance Board regulations dealing with consolidated obligations, as well as related regulations addressing other authorized FHLBank liabilities and book-entry procedures for consolidated obligations; |

|         |                                                                                                                          |
|---------|--------------------------------------------------------------------------------------------------------------------------|
| • | implements recent statutory amendments that removed authority from the Finance Agency to issue consolidated obligations; |

|         |                                                                                                                                                                                                                                                                   |
|---------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | specifies that the FHLBanks issue consolidated obligations that are the joint and several obligations of the FHLBanks as provided for in the statute rather than as joint and several obligations of the FHLBanks as provided for in the current regulations; and |

|         |                                                                                                                                                                                                         |
|---------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | provides that consolidated obligations are issued under Section 11(c) of the FHLBank Act of 1932, as amended (FHLBank Act), rather than under Section 11(a) of the FHLBank Act.     |

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|         |                                                                                                                                   |
|---------|-----------------------------------------------------------------------------------------------------------------------------------|
| • | requiring compliance with membership standards on a continuous basis rather than only at the time of admission to membership; and |

|         |                                                                                    |
|---------|------------------------------------------------------------------------------------|
| • | creating additional quantifiable standards for membership.     |

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|                                                                   |
|-------------------------------------------------------------------|
|                                                                   |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Selected Financial Data                                           |   | March 31, 2011 |   | December 31, 2010 |   | September 30, 2010 |   | June 30, 2010 |   | March 31, 2010 |
| (in millions, except percentages)                                 |   |   |   |   |   |   |   |   |   |   |
| Statements of Condition (at period end)                           |   |   |   |   |   |   |   |   |   |   |
| Total assets                                                      |   | $ | 45,938 |   |   | $ | 47,208 |   |   | $ | 49,914 |   |   | $ | 48,104 |   |   | $ | 51,822 |   |
| Investments (1)                                                   |   | 30,479 |   |   | 30,499 |   |   | 30,797 |   |   | 25,719 |   |   | 27,896 |   |
| Advances                                                          |   | 12,332 |   |   | 13,355 |   |   | 15,414 |   |   | 18,467 |   |   | 19,865 |   |
| Mortgage loans held for portfolio, net (2)                        |   | 2,962 |   |   | 3,209 |   |   | 3,544 |   |   | 3,760 |   |   | 3,924 |   |
| Deposits and other borrowings                                     |   | 305 |   |   | 503 |   |   | 331 |   |   | 343 |   |   | 371 |   |
| Consolidated obligations, net:                                    |   |   |   |   |   |   |   |   |   |   |
| Discount notes                                                    |   | 13,197 |   |   | 11,597 |   |   | 14,015 |   |   | 11,359 |   |   | 17,467 |   |
| Bonds                                                             |   | 29,729 |   |   | 32,479 |   |   | 32,961 |   |   | 33,933 |   |   | 30,734 |   |
| Total consolidated obligations, net                               |   | 42,926 |   |   | 44,076 |   |   | 46,976 |   |   | 45,292 |   |   | 48,201 |   |
| Mandatorily redeemable capital stock                              |   | 1,033 |   |   | 1,022 |   |   | 1,004 |   |   | 953 |   |   | 948 |   |
| Affordable Housing Program (AHP) payable                          |   | 5 |   |   | 5 |   |   | 8 |   |   | 7 |   |   | 8 |   |
| Resolution Funding Corporation (REFCORP) (deferred asset) payable |   | (15 | ) |   | (15 | ) |   | (14 | ) |   | (16 | ) |   | (18 | ) |
| Capital stock:                                                    |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Class A capital stock - putable                                   |   | 125 |   |   | 126 |   |   | 127 |   |   | 133 |   |   | 133 |   |
| Class B capital stock - putable                              |   | 1,640 |   |   | 1,650 |   |   | 1,667 |   |   | 1,712 |   |   | 1,715 |   |
| Total capital stock                                               |   | 1,765 |   |   | 1,776 |   |   | 1,794 |   |   | 1,845 |   |   | 1,848 |   |
| Retained earnings                                                 |   | 61 |   |   | 73 |   |   | 76 |   |   | 66 |   |   | 58 |   |
| AOCL                                                              |   | (531 | ) |   | (667 | ) |   | (770 | ) |   | (822 | ) |   | (855 | ) |
| Total capital                                                     |   | 1,295 |   |   | 1,182 |   |   | 1,100 |   |   | 1,089 |   |   | 1,051 |   |
| Statements of Operations (for the quarter ended)                  |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Interest income                                                   |   | $ | 99 |   |   | $ | 126 |   |   | $ | 143 |   |   | $ | 158 |   |   | $ | 148 |   |
| Net interest income                                               |   | 21 |   |   | 44 |   |   | 42 |   |   | 48 |   |   | 42 |   |
| Other loss                                                        |   | (15 | ) |   | (30 | ) |   | (12 | ) |   | (25 | ) |   | (19 | ) |
| Other expense                                                     |   | 18 |   |   | 19 |   |   | 16 |   |   | 12 |   |   | 15 |   |
| (Loss) income before assessments                                  |   | (12 | ) |   | (5 | ) |   | 14 |   |   | 11 |   |   | 8 |   |
| AHP and REFCORP assessments                                       |   | — |   |   | (2 | ) |   | 4 |   |   | 3 |   |   | 2 |   |
| Net (loss) income                                                 |   | (12 | ) |   | (3 | ) |   | 10 |   |   | 8 |   |   | 6 |   |
| Financial Statistics (for the quarter ended)                      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Return on average equity                                          |   | (3.88 | )% |   | (1.24 | )% |   | 3.44 | % |   | 2.93 | % |   | 2.34 | % |
| Return on average assets                                          |   | (0.10 | )% |   | (0.03 | )% |   | 0.07 | % |   | 0.06 | % |   | 0.05 | % |
| Average equity to average assets                                  |   | 2.68 |  % |   | 2.14 |  % |   | 2.17 | % |   | 2.19 | % |   | 2.04 | % |
| Regulatory capital ratio (3)                                      |   | 6.22 |  % |   | 6.08 |  % |   | 5.76 | % |   | 5.96 | % |   | 5.51 | % |
| Net interest margin (4)                                           |   | 0.18 |  % |   | 0.34 |  % |   | 0.33 | % |   | 0.39 | % |   | 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 for the quarters ended June 30, 2010 through March 31, 2011, and $368,000, for the quarter ended March 31, 2010. |
| (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 for the period. |

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|                                                            |
|------------------------------------------------------------|
|                                                            |  |  |  |  |  |  |
|                                                       |   | As of |   | As of |
| Major Categories of Assets as a Percentage of Total Assets |   | March 31, 2011 |   | December 31, 2010 |
| (in percentages)                                           |   |   |   |   |
| Advances                                                   |   | 26.8 |   |   | 28.3 |   |
| Investments                                                |   | 66.3 |   |   | 64.6 |   |
| Mortgage loans held for portfolio                          |   | 6.5 |   |   | 6.8 |   |
| Other assets                                               |   | 0.4 |   |   | 0.3 |   |
| Total                                                      |   | 100.0 |   |   | 100.0 |   |

|                                                  |
|--------------------------------------------------|
|                                                  |  |  |  |  |  |  |
| Major Categories of Liabilities and Capital      |   | As of |   | As of |
| as a Percentage of Total Liabilities and Capital |   | March 31, 2011 |   | December 31, 2010 |
| (in percentages)                                 |   |   |   |   |
| Consolidated obligations                         |   | 93.4 |   |   | 93.4 |   |
| Deposits                                         |   | 0.7 |   |   | 1.1 |   |
| Other liabilities *                              |   | 3.1 |   |   | 3.0 |   |
| Total capital                                    |   | 2.8 |   |   | 2.5 |   |
| Total                                            |   | 100.0 |   |   | 100.0 |   |

|   |
|---|
|   |  |
| * | Mandatorily redeemable capital stock, representing 2.2% of total liabilities and capital as of March 31, 2011 and December 31, 2010, is recorded in other liabilities. |

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|                                      |
|--------------------------------------|
|                                      |  |  |  |  |  |  |  |  |
|                                 |   | As of |   | As of |
| Par Value of Advances by Member Type |   | March 31, 2011 |   | December 31, 2010 |
| (in thousands)                       |   |   |   |   |
| Commercial banks                     |   | $ | 8,480,656 |   |   | $ | 9,299,859 |   |
| Thrifts                              |   | 2,744,007 |   |   | 2,850,880 |   |
| Credit unions                        |   | 412,362 |   |   | 610,935 |   |
| Total member advances                |   | 11,637,025 |   |   | 12,761,674 |   |
| Housing associates                   |   | 21,941 |   |   | 15,105 |   |
| Nonmember borrowers                  |   | 355,626 |   |   | 211,423 |   |
| Total par value of advances          |   | $ | 12,014,592 |   |   | $ | 12,988,202 |   |

|                                                   |
|---------------------------------------------------|
|                                                   |  |  |  |  |  |  |  |  |  |  |  |  |
|                                              |   | As of March 31, 2011 |   | As of December 31, 2010 |
| Top Five Borrowers Advances Outstanding           |   | Par Value of Advances Outstanding |   | Percent of Par Value of Advances Outstanding |   | Par Value of Advances Outstanding |   | Percent of Par Value of Advances Outstanding |
| (in thousands, except percentages)                |   |   |   |   |   |   |   |   |
| Bank of America, Oregon, N.A.                     |   | $ | 3,857,115 |   |   | 32.1 |   | $ | 4,107,993 |   |   | 31.6 |
| Washington Federal Savings & Loan Association |   | 1,850,000 |   |   | 15.4 |   | 1,850,000 |   |   | 14.2 |
| Capmark Bank                                      |   | 859,329 |   |   | 7.2 |   | 946,384 |   |   | 7.3 |
| Central Pacific Bank                              |   | 305,708 |   |   | 2.5 |   | 551,268 |   |   | 4.3 |
| Sterling Savings Bank                             |   | 301,050 |   |   | 2.5 |   | 305,756 |   |   | 2.4 |
| Total                                             |   | $ | 7,173,202 |   |   | 59.7 |   | $ | 7,761,401 |   |   | 59.8 |

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|                                        |
|----------------------------------------|
|                                        |  |  |  |  |  |  |  |  |  |  |  |  |
|                                   |   | As of March 31, 2011 |   | As of December 31, 2010 |
| Advances Outstanding by Type           |   | Par Value of Advances Outstanding |   | Percent of Par Value of Advances Outstanding |   | Par Value of Advances Outstanding |   | Percent of Par Value of Advances Outstanding |
| (in thousands, except percentages)     |   |   |   |   |   |   |   |   |
| Variable interest-rate advances:       |   |   |   |   |   |   |   |   |
| Cash management advances               |   | $ | 56,968 |   |   | 0.5 |   | $ | 112,682 |   |   | 0.9 |
| Adjustable interest-rate advances      |   | 1,352,336 |   |   | 11.3 |   | 1,617,035 |   |   | 12.5 |
| Fixed interest-rate advances:          |   |   |   |   |   |   |   |   |
| Non-amortizing advances                |   | 6,827,998 |   |   | 56.7 |   | 7,378,812 |   |   | 56.7 |
| Amortizing advances                    |   | 453,880 |   |   | 3.8 |   | 503,263 |   |   | 3.9 |
| Structured advances:                   |   |   |   |   |   |   |   |   |
| Putable advances                       |   | 3,138,410 |   |   | 26.1 |   | 3,171,410 |   |   | 24.5 |
| Capped floater advances                |   | 10,000 |   |   | 0.1 |   | 30,000 |   |   | 0.2 |
| Floating-to-fixed convertible advances |   | 175,000 |   |   | 1.5 |   | 175,000 |   |   | 1.3 |
| Total par value                        |   | $ | 12,014,592 |   |   | 100.0 |   | $ | 12,988,202 |   |   | 100.0 |

|                                    |
|------------------------------------|
|                                    |  |  |  |  |  |  |  |  |
|                               |   | As of March 31, 2011 |
| Interest Payment Terms to Maturity |   | Fixed |   | Variable |
| (in thousands)                     |   |   |   |   |
| Due in one year or less            |   | $ | 5,321,485 |   |   | $ | 767,968 |   |
| Due after one year                 |   | 5,098,803 |   |   | 826,336 |   |
| Total par value                    |   | $ | 10,420,288 |   |   | $ | 1,594,304 |   |

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|                            |
|----------------------------|
|                            |  |  |  |  |
|                       |   | For the Three Months Ended March 31, |
| Advance Pricing            |   | 2011 |   | 2010 |
| (in percentages)           |   |   |   |   |
| Differential pricing       |   | 97.6 |   | 90.6 |
| Daily market-based pricing |   | 2.3 |   | 9.0 |
| Auction pricing            |   | 0.1 |   | 0.4 |
| Total                      |   | 100.0 |   | 100.0 |

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|                                  |
|----------------------------------|
|                                  |  |  |  |  |  |  |  |  |
|                             |   | As of |   | As of |
| Short- and Long-Term Investments |   | March 31, 2011 |   | December 31, 2010 |
| (in thousands)                   |   |   |   |   |
| Short-term                       |   | $ | 13,315,000 |   |   | $ | 12,586,152 |   |
| Long-term                        |   | 17,163,941 |   |   | 17,912,884 |   |
| Total investments                |   | $ | 30,478,941 |   |   | $ | 30,499,036 |   |

|                                                 |
|-------------------------------------------------|
|                                                 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                            |   | As of March 31, 2011 |
| Investments by Security Type                    |   | Due in One Year or Less |   | Due After One Year Through Five Years |   | Due After Five Years Through 10 Years |   | Due After 10 Years |   | Total Carrying Value |
| (in thousands, except percentages)              |   |   |   |   |   |   |   |   |   |   |
| AFS securities:                                 |   |   |   |   |   |   |   |   |   |   |
| Non-MBS:                                        |   |   |   |   |   |   |   |   |   |   |
| GSE and Tennessee Valley Authority (TVA)        |   | $ | 1,913,830 |   |   | $ | 2,463,832 |   |   | $ | — |   |   | $ | 36,656 |   |   | $ | 4,414,318 |   |
| TLGP                                            |   | 974,642 |   |   | 5,413,163 |   |   | — |   |   | — |   |   | 6,387,805 |   |
| Total non-MBS                                   |   | 2,888,472 |   |   | 7,876,995 |   |   | — |   |   | 36,656 |   |   | 10,802,123 |   |
| MBS:                                            |   |   |   |   |   |   |   |   |   |   |
| PLMBS                                           |   | — |   |   | — |   |   | — |   |   | 1,522,532 |   |   | 1,522,532 |   |
| Total MBS                                       |   | — |   |   | — |   |   | — |   |   | 1,522,532 |   |   | 1,522,532 |   |
| Total AFS securities                            |   | $ | 2,888,472 |   |   | $ | 7,876,995 |   |   | $ | — |   |   | $ | 1,559,188 |   |   | $ | 12,324,655 |   |
| Yield on AFS securities                         |   | 0.26 | % |   | 0.55 | % |   | — | % |   | 0.78 | % |   | 0.53 | % |
| HTM securities:                                 |   |   |   |   |   |   |   |   |   |   |
| Non-MBS:                                        |   |   |   |   |   |   |   |   |   |   |
| Certificates of deposit and bank notes          |   | $ | 259,000 |   |   | $ | — |   |   | $ | — |   |   | $ | — |   |   | $ | 259,000 |   |
| Other U.S. obligations                          |   | 1,382 |   |   | — |   |   | 11,742 |   |   | 16,460 |   |   | 29,584 |   |
| GSE and TVA                                     |   | 89,787 |   |   | 299,583 |   |   | — |   |   | — |   |   | 389,370 |   |
| State and local housing agency obligations      |   | — |   |   | — |   |   | — |   |   | 3,400 |   |   | 3,400 |   |
| Total non-MBS                                   |   | 350,169 |   |   | 299,583 |   |   | 11,742 |   |   | 19,860 |   |   | 681,354 |   |
| MBS:                                            |   |   |   |   |   |   |   |   |   |   |
| Other U.S obligations residential MBS           |   | — |   |   | 34 |   |   | — |   |   | 178,816 |   |   | 178,850 |   |
| GSE residential MBS                             |   | — |   |   | 3,257 |   |   | 792,733 |   |   | 2,314,143 |   |   | 3,110,133 |   |
| Residential PLMBS                               |   | — |   |   | — |   |   | 157,388 |   |   | 970,561 |   |   | 1,127,949 |   |
| Total MBS                                       |   | — |   |   | 3,291 |   |   | 950,121 |   |   | 3,463,520 |   |   | 4,416,932 |   |
| Total HTM securities                            |   | $ | 350,169 |   |   | $ | 302,874 |   |   | $ | 961,863 |   |   | $ | 3,483,380 |   |   | $ | 5,098,286 |   |
| Yield on HTM securities                         |   | 1.74 | % |   | 6.06 | % |   | 1.21 | % |   | 1.56 | % |   | 1.77 | % |
| Securities purchased under agreements to resell |   | $ | 3,250,000 |   |   | $ | — |   |   | $ | — |   |   | $ | — |   |   | $ | 3,250,000 |   |
| Federal funds sold                              |   | 9,806,000 |   |   | — |   |   | — |   |   | — |   |   | 9,806,000 |   |
| Total investments                               |   | $ | 16,294,641 |   |   | $ | 8,179,869 |   |   | $ | 961,863 |   |   | $ | 5,042,568 |   |   | $ | 30,478,941 |   |

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|                                                 |
|-------------------------------------------------|
|                                                 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                            |   | As of December 31, 2010 |
| Investments by Security Type                    |   | Due in One Year or Less |   | Due After One Year Through Five Years |   | Due After Five Years Through 10 Years |   | Due After 10 Years |   | Total Carrying Value |
| (in thousands, except percentages)              |   |   |   |   |   |   |   |   |   |   |
| AFS securities:                                 |   |   |   |   |   |   |   |   |   |   |
| Non-MBS:                                        |   |   |   |   |   |   |   |   |   |   |
| GSE and TVA                                     |   | $ | 812,905 |   |   | $ | 3,873,491 |   |   | $ | 126,505 |   |   | $ | 36,935 |   |   | $ | 4,849,836 |   |
| TLGP                                            |   | 296,938 |   |   | 6,101,840 |   |   | — |   |   | — |   |   | 6,398,778 |   |
| Total non-MBS                                   |   | 1,109,843 |   |   | 9,975,331 |   |   | 126,505 |   |   | 36,935 |   |   | 11,248,614 |   |
| MBS:                                            |   |   |   |   |   |   |   |   |   |   |
| PLMBS                                           |   | — |   |   | — |   |   | — |   |   | 1,469,055 |   |   | 1,469,055 |   |
| Total MBS                                       |   | — |   |   | — |   |   | — |   |   | 1,469,055 |   |   | 1,469,055 |   |
| Total AFS securities                            |   | $ | 1,109,843 |   |   | $ | 9,975,331 |   |   | $ | 126,505 |   |   | $ | 1,505,990 |   |   | $ | 12,717,669 |   |
| Yield on AFS securities                         |   | 0.20 | % |   | 0.57 | % |   | 5.01 | % |   | 0.79 | % |   | 0.62 | % |
| HTM securities:                                 |   |   |   |   |   |   |   |   |   |   |
| Non-MBS:                                        |   |   |   |   |   |   |   |   |   |   |
| Certificates of deposit and bank notes          |   | $ | 1,267,000 |   |   | $ | — |   |   | $ | — |   |   | $ | — |   |   | $ | 1,267,000 |   |
| Other U.S. obligations                          |   | 9,107 |   |   | — |   |   | 11,722 |   |   | 17,340 |   |   | 38,169 |   |
| GSE and TVA                                     |   | — |   |   | 389,255 |   |   | — |   |   | — |   |   | $ | 389,255 |   |
| State and local housing agency obligations      |   | — |   |   | — |   |   | — |   |   | 3,590 |   |   | 3,590 |   |
| Total non-MBS                                   |   | 1,276,107 |   |   | 389,255 |   |   | 11,722 |   |   | 20,930 |   |   | 1,698,014 |   |
| MBS:                                            |   |   |   |   |   |   |   |   |   |   |
| Other U.S obligations residential MBS           |   | 2 |   |   | 37 |   |   | — |   |   | 182,172 |   |   | $ | 182,211 |   |
| GSE residential MBS                             |   | — |   |   | 4,196 |   |   | 858,495 |   |   | 2,449,864 |   |   | 3,312,555 |   |
| Residential PLMBS                               |   | — |   |   | — |   |   | 180,383 |   |   | 1,089,052 |   |   | 1,269,435 |   |
| Total MBS                                       |   | 2 |   |   | 4,233 |   |   | 1,038,878 |   |   | 3,721,088 |   |   | 4,764,201 |   |
| Total HTM securities                            |   | $ | 1,276,109 |   |   | $ | 393,488 |   |   | $ | 1,050,600 |   |   | $ | 3,742,018 |   |   | $ | 6,462,215 |   |
| Yield on HTM securities                         |   | 0.28 | % |   | 6.05 | % |   | 1.24 | % |   | 1.66 | % |   | 1.59 | % |
| Securities purchased under agreements to resell |   | $ | 4,750,000 |   |   | $ | — |   |   | $ | — |   |   | $ | — |   |   | $ | 4,750,000 |   |
| Federal funds sold                              |   | 6,569,152 |   |   | — |   |   | — |   |   | — |   |   | 6,569,152 |   |
| Total investments                               |   | $ | 13,705,104 |   |   | $ | 10,368,819 |   |   | $ | 1,177,105 |   |   | $ | 5,248,008 |   |   | $ | 30,499,036 |   |

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|                                                      |
|------------------------------------------------------|
|                                                      |  |  |  |  |  |  |  |  |
|                                                 |   | As of |   | As of |
| Carrying Value of Investments in GSE Debt Securities |   | March 31, 2011 |   | December 31, 2010 |
| (in thousands)                                       |   |   |   |   |
| Freddie Mac                                          |   | $ | 2,747,015 |   |   | $ | 2,872,660 |   |
| Fannie Mae                                           |   | 354,730 |   |   | 664,274 |   |
| Federal Farm Credit Bank (FFCB)                      |   | 1,365,704 |   |   | 1,365,689 |   |
| Other                                                |   | 336,239 |   |   | 336,468 |   |
| Total                                                |   | $ | 4,803,688 |   |   | $ | 5,239,091 |   |

|                           |
|---------------------------|
|                           |  |  |  |  |  |  |  |  |
|                      |   | As of |   | As of |
| Unsecured Credit Exposure |   | March 31, 2011 |   | December 31, 2010 |
| (in thousands)            |   |   |   |   |
| Federal funds sold        |   | $ | 9,807,885 |   |   | $ | 6,570,223 |   |
| Certificates of deposit   |   | 259,072 |   |   | 1,267,557 |   |
| Total                     |   | $ | 10,066,957 |   |   | $ | 7,837,780 |   |

|         |                                                                                                                                                                           |
|---------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | Subordination – where the MBS is structured such that payments to junior classes are subordinated to senior classes to prioritize cash flows to the senior classes. |

|         |                                                                                                                                                                                                                                               |
|---------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | Excess spread – where the weighted-average coupon rate of the underlying mortgage loans in the pool is higher than the weighted-average coupon rate on the MBS. The spread differential may be used to cover any losses that may occur. |

|         |                                                                                                                                                                                                                                     |
|---------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | Over-collateralization – where the total outstanding balance on the underlying mortgage loans in the pool is greater than the outstanding MBS balance. The excess collateral is available to cover any losses that may occur. |

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|                                                 |
|-------------------------------------------------|
|                                                 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                            |   | As of March 31, 2011 |
| Investments by Credit Rating                    |   | AAA or Government Agency |   | AA |   | A |   | BBB |   | Below Investment Grade |   | Unrated |   | Total |
| (in thousands)                                  |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Securities purchased under agreements to resell |   | $ | — |   |   | $ | — |   |   | $ | 250,000 |   |   | $ | 3,000,000 |   |   | $ | — |   |   | $ | — |   |   | $ | 3,250,000 |   |
| Federal funds sold                              |   | — |   |   | 5,829,000 |   |   | 3,977,000 |   |   | — |   |   | — |   |   | — |   |   | 9,806,000 |   |
| Investment securities:                          |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Certificates of deposit                         |   | — |   |   | 259,000 |   |   | — |   |   | — |   |   | — |   |   | — |   |   | 259,000 |   |
| U.S. agency obligations                         |   | 4,821,100 |   |   | — |   |   | — |   |   | — |   |   | — |   |   | 12,172 |   |   | 4,833,272 |   |
| State or local housing investments              |   | — |   |   | 3,400 |   |   | — |   |   | — |   |   | — |   |   | — |   |   | 3,400 |   |
| TLGP securities                                 |   | 6,387,805 |   |   | — |   |   | — |   |   | — |   |   | — |   |   | — |   |   | 6,387,805 |   |
| Total non-MBS                                   |   | 11,208,905 |   |   | 6,091,400 |   |   | 4,227,000 |   |   | 3,000,000 |   |   | — |   |   | 12,172 |   |   | 24,539,477 |   |
| Residential MBS:                                |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Other U.S. agency                               |   | 178,850 |   |   | — |   |   | — |   |   | — |   |   | — |   |   | — |   |   | 178,850 |   |
| GSEs                                            |   | 3,110,133 |   |   | — |   |   | — |   |   | — |   |   | — |   |   | — |   |   | 3,110,133 |   |
| PLMBS                                           |   | 521,716 |   |   | 30,679 |   |   | 4,878 |   |   | 134,746 |   |   | 1,958,462 |   |   | — |   |   | 2,650,481 |   |
| Total MBS                                       |   | 3,810,699 |   |   | 30,679 |   |   | 4,878 |   |   | 134,746 |   |   | 1,958,462 |   |   | — |   |   | 5,939,464 |   |
| Total investments                               |   | $ | 15,019,604 |   |   | $ | 6,122,079 |   |   | $ | 4,231,878 |   |   | $ | 3,134,746 |   |   | $ | 1,958,462 |   |   | $ | 12,172 |   |   | $ | 30,478,941 |   |

|                        |
|------------------------|
|                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                   |   | As of March 31, 2011 |
| Below Investment Grade |   | BB |   | B |   | CCC |   | CC |   | D |   | Total |
| (in thousands)         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Residential PLMBS      |   | $ | 13,248 |   |   | $ | 180,017 |   |   | $ | 1,309,366 |   |   | $ | 453,526 |   |   | $ | 2,305 |   |   | $ | 1,958,462 |   |

|                                                 |
|-------------------------------------------------|
|                                                 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                            |   | As of December 31, 2010 |
| Investments by Credit Rating                    |   | AAA or Government Agency |   | AA |   | A |   | BBB |   | Below Investment Grade |   | Unrated |   | Total |
| (in thousands)                                  |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Securities purchased under agreements to resell |   | $ | — |   |   | $ | — |   |   | $ | 500,000 |   |   | $ | 4,250,000 |   |   | $ | — |   |   | $ | — |   |   | $ | 4,750,000 |   |
| Federal funds sold                              |   | — |   |   | 3,280,000 |   |   | 3,289,152 |   |   | — |   |   | — |   |   | — |   |   | 6,569,152 |   |
| Investment securities:                          |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Certificates of deposit                         |   | — |   |   | 1,008,000 |   |   | 259,000 |   |   | — |   |   | — |   |   | — |   |   | 1,267,000 |   |
| U.S. agency obligations                         |   | 5,264,719 |   |   | — |   |   | — |   |   | — |   |   | — |   |   | 12,541 |   |   | 5,277,260 |   |
| State or local housing investments              |   | — |   |   | 3,590 |   |   | — |   |   | — |   |   | — |   |   | — |   |   | 3,590 |   |
| TLGP securities                                 |   | 6,398,778 |   |   |   |   |   |   |   |   |   |   |   |   | 6,398,778 |   |
| Total non-MBS                                   |   | 11,663,497 |   |   | 4,291,590 |   |   | 4,048,152 |   |   | 4,250,000 |   |   | — |   |   | 12,541 |   |   | 24,265,780 |   |
| Residential MBS:                                |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Other U.S. agency                               |   | 182,211 |   |   | — |   |   | — |   |   | — |   |   | — |   |   | — |   |   | 182,211 |   |
|    GSEs                          |   | 3,312,555 |   |   | — |   |   | — |   |   | — |   |   | — |   |   | — |   |   | 3,312,555 |   |
|    PLMBS                         |   | 632,585 |   |   | 37,700 |   |   | 18,249 |   |   | 142,437 |   |   | 1,907,519 |   |   | — |   |   | 2,738,490 |   |
| Total MBS                                       |   | 4,127,351 |   |   | 37,700 |   |   | 18,249 |   |   | 142,437 |   |   | 1,907,519 |   |   | — |   |   | 6,233,256 |   |
| Total investments                               |   | $ | 15,790,848 |   |   | $ | 4,329,290 |   |   | $ | 4,066,401 |   |   | $ | 4,392,437 |   |   | $ | 1,907,519 |   |   | $ | 12,541 |   |   | $ | 30,499,036 |   |

----

Table of Contents

|                        |
|------------------------|
|                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                   |   | As of December 31, 2010 |
| Below Investment Grade |   | BB |   | B |   | CCC |   | CC |   | C |   | Total |
| (in thousands)         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Residential PLMBS      |   | $ | 5,771 |   |   | $ | 172,962 |   |   | $ | 1,290,936 |   |   | $ | 435,568 |   |   | $ | 2,282 |   |   | $ | 1,907,519 |   |

|                                                                       |
|-----------------------------------------------------------------------|
|                                                                       |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| PLMBS by Year of Securitization - Prime                               |   | Total |   | 2008 |   | 2007 |   | 2006 |   | 2005 |   | 2004 and prior |
| (in thousands, except percentages)                                    |   |   |   |   |   |   |   |   |   |   |   |   |
| AAA                                                                   |   | $ | 288,862 |   |   | $ | — |   |   | $ | — |   |   | $ | — |   |   | $ | — |   |   | $ | 288,862 |   |
| A                                                                     |   | 3,464 |   |   | — |   |   | — |   |   | — |   |   | — |   |   | 3,464 |   |
| BB                                                                    |   | 214 |   |   |   |   |   |   |   |   |   |   | 214 |   |
| Total unpaid principal balance                                        |   | $ | 292,540 |   |   | $ | — |   |   | $ | — |   |   | $ | — |   |   | $ | — |   |   | $ | 292,540 |   |
| Amortized cost basis                                                  |   | $ | 291,470 |   |   | $ | — |   |   | $ | — |   |   | $ | — |   |   | $ | — |   |   | $ | 291,470 |   |
| Gross unrealized losses                                               |   | $ | (5,374 | ) |   | $ | — |   |   | $ | — |   |   | $ | — |   |   | $ | — |   |   | $ | (5,374 | ) |
| Fair value                                                            |   | $ | 288,270 |   |   | $ | — |   |   | $ | — |   |   | $ | — |   |   | $ | — |   |   | $ | 288,270 |   |
| Weighted-average percentage of fair value to unpaid principal balance |   | 98.5 | % |   | — |   |   | — |   |   | — |   |   | — |   |   | 98.5 | % |
| Original weighted-average credit enhancement                          |   | 2.9 | % |   | — |   |   | — |   |   | — |   |   | — |   |   | 2.9 | % |
| Weighted-average credit enhancement                                   |   | 11.7 | % |   | — |   |   | — |   |   | — |   |   | — |   |   | 11.7 | % |
| Weighted-average collateral delinquency                               |   | 3.3 | % |   | — |   |   | — |   |   | — |   |   | — |   |   | 3.3 | % |

----

Table of Contents

|                                                                       |
|-----------------------------------------------------------------------|
|                                                                       |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| PLMBS by Year of Securitization - Alt-A                               |   | Total |   | 2008 |   | 2007 |   | 2006 |   | 2005 |   | 2004 and prior |
| (in thousands, except percentages)                                    |   |   |   |   |   |   |   |   |   |   |   |   |
| AAA                                                                   |   | $ | 234,272 |   |   | $ | — |   |   | $ | — |   |   | $ | — |   |   | $ | — |   |   | $ | 234,272 |   |
| AA                                                                    |   | 30,626 |   |   | — |   |   | — |   |   | — |   |   | — |   |   | 30,626 |   |
| A                                                                     |   | 1,404 |   |   | — |   |   | — |   |   | — |   |   | 1,404 |   |   | — |   |
| BBB                                                                   |   | 134,735 |   |   | 129,394 |   |   | — |   |   | — |   |   | 5,341 |   |   | — |   |
| Below investment grade:                                               |   |   |   |   |   |   |   |   |   |   |   |   |
| BB                                                                    |   | 13,020 |   |   | — |   |   | — |   |   | — |   |   | 3,496 |   |   | 9,524 |   |
| B                                                                     |   | 191,405 |   |   | 22,852 |   |   | 64,024 |   |   | 30,091 |   |   | 63,730 |   |   | 10,708 |   |
| CCC                                                                   |   | 1,953,263 |   |   | 372,395 |   |   | 831,146 |   |   | 620,577 |   |   | 129,145 |   |   | — |   |
| CC                                                                    |   | 775,375 |   |   | — |   |   | 570,609 |   |   | 186,422 |   |   | 18,344 |   |   | — |   |
| D                                                                     |   | 4,986 |   |   | — |   |   | — |   |   | — |   |   | 4,986 |   |   | — |   |
| Total unpaid principal balance                                        |   | $ | 3,339,086 |   |   | $ | 524,641 |   |   | $ | 1,465,779 |   |   | $ | 837,090 |   |   | $ | 226,446 |   |   | $ | 285,130 |   |
| Amortized cost basis                                                  |   | $ | 2,892,015 |   |   | $ | 517,796 |   |   | $ | 1,213,815 |   |   | $ | 665,098 |   |   | $ | 210,488 |   |   | $ | 284,818 |   |
| Gross unrealized losses                                               |   | $ | (652,522 | ) |   | $ | (143,204 | ) |   | $ | (295,013 | ) |   | $ | (149,409 | ) |   | $ | (55,207 | ) |   | $ | (9,689 | ) |
| Fair value                                                            |   | $ | 2,243,169 |   |   | $ | 376,131 |   |   | $ | 918,801 |   |   | $ | 515,689 |   |   | $ | 155,567 |   |   | $ | 276,981 |   |
| OTTI:                                                                 |   |   |   |   |   |   |   |   |   |   |   |   |
| Credit-related OTTI charge taken                                      |   | $ | (22,740 | ) |   | $ | (1,120 | ) |   | $ | (6,989 | ) |   | $ | (12,621 | ) |   | $ | (2,010 | ) |   | $ | — |   |
| Non-credit-related OTTI charge taken                                  |   | 22,725 |   |   | 1,120 |   |   | 6,989 |   |   | 12,621 |   |   | 1,995 |   |   | — |   |
| Total OTTI charge taken                                               |   | $ | (15 | ) |   | $ | — |   |   | $ | — |   |   | $ | — |   |   | $ | (15 | ) |   | $ | — |   |
| Weighted-average percentage of fair value to unpaid principal balance |   | 67.2 | % |   | 71.7 | % |   | 62.7 | % |   | 61.6 | % |   | 68.7 | % |   | 97.1 | % |
| Original weighted-average credit enhancement                          |   | 36.2 | % |   | 34.1 | % |   | 38.8 | % |   | 45.9 | % |   | 29.4 | % |   | 4.3 | % |
| Weighted-average credit enhancement                                   |   | 32.8 | % |   | 33.1 | % |   | 33.5 | % |   | 40.0 | % |   | 32.3 | % |   | 8.2 | % |
| Weighted-average collateral delinquency                               |   | 42.3 | % |   | 25.1 | % |   | 47.8 | % |   | 58.3 | % |   | 35.0 | % |   | 4.5 | % |

|                                    |
|------------------------------------|
|                                    |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                               |   | As of March 31, 2011 |   | April 30, 2011 Rating Based on March 31, 2011 Unpaid Principal Balance |
| PLMBS                              |   | Unpaid Principal Balance |   | Amortized Cost Basis |   | Gross Unrealized Losses |   | Weighted-Average Collateral Delinquency |   | Percent Rated AAA |   | Percent Rated AAA |   | Percent Rated Below Investment Grade |   | Percent on Watchlist |
| (in thousands, except percentages) |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Prime:                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| First lien                         |   | $ | 75,773 |   |   | $ | 75,834 |   |   | $ | (5,374 | ) |   | 5.5 |   |   | 95.2 |   | 95.2 |   |   | 0.3 |   |   | 7.1 |   |
| Total PLMBS backed by prime loans  |   | 75,773 |   |   | 75,834 |   |   | (5,374 | ) |   | 5.5 |   |   | 95.2 |   | 95.2 |   |   | 0.3 |   |   | 7.1 |   |
| Alt-A:                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Option ARMs                        |   | 2,236,293 |   |   | 1,895,801 |   |   | (483,055 | ) |   | 50.7 |   |   | — |   | — |   |   | 100.0 |   |   | — |   |
| Alt-A and other                    |   | 942,148 |   |   | 835,941 |   |   | (169,467 | ) |   | 29.0 |   |   | 7.9 |   | — |   |   | 74.8 |   |   | — |   |
| Total PLMBS backed by Alt-A loans  |   | 3,178,441 |   |   | 2,731,742 |   |   | (652,522 | ) |   | 44.3 |   |   | 2.3 |   | — |   |   | 92.5 |   |   | — |   |
| Total PLMBS                        |   | $ | 3,254,214 |   |   | $ | 2,807,576 |   |   | $ | (657,896 | ) |   | 43.4 |   |   | 4.5 |   | 2.2 |   |   | 90.4 |   |   | 0.2 |   |

----

Table of Contents

|                             |
|-----------------------------|
|                             |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                        |   | As of March 31, 2011 |   | As of December 31, 2010 |
| PLMBS by Interest-Rate Type |   | Fixed |   | Variable |   | Total |   | Fixed |   | Variable |   | Total |
| (in thousands)              |   |   |   |   |   |   |   |   |   |   |   |   |
| Prime                       |   | $ | 217,399 |   |   | $ | 75,141 |   |   | $ | 292,540 |   |   | $ | 284,561 |   |   | $ | 84,060 |   |   | $ | 368,621 |   |
| Alt-A                       |   | 64,057 |   |   | 3,275,029 |   |   | 3,339,086 |   |   | 77,874 |   |   | 3,379,003 |   |   | 3,456,877 |   |
| Total                       |   | $ | 281,456 |   |   | $ | 3,350,170 |   |   | $ | 3,631,626 |   |   | $ | 362,435 |   |   | $ | 3,463,063 |   |   | $ | 3,825,498 |   |

|                              |
|------------------------------|
|                              |  |  |  |  |  |  |  |  |  |  |
| Investment Rating Downgrades |   | Based on Values as of March 31, 2011 |
| As of March 31, 2011         |   | As of April 30, 2011 |   | PLMBS |
| From                         |   | To |   | Carrying Value |   | Fair Value |
| (in thousands)               |   |   |   |   |   |   |
| AAA                          |   | AA |   | $ | 64,730 |   |   | $ | 63,011 |   |
| AAA                          |   | A |   | 51,820 |   |   | 51,476 |   |
| AAA                          |   | BBB |   | 26,235 |   |   | 24,769 |   |
| AA                           |   | A |   | 12,886 |   |   | 11,872 |   |
| AA                           |   | BBB |   | 5,432 |   |   | 4,803 |   |
| AA                           |   | BB |   | 3,649 |   |   | 3,025 |   |
| Total                        |   |   |   | $ | 164,752 |   |   | $ | 158,956 |   |

|                                              |
|----------------------------------------------|
|                                              |  |  |  |  |  |  |  |  |
|                                         |   | Base on Values as of March 31, 2011 |
| PLMBS On Negative Watch as of April 30, 2011 |   | Carrying Value |   | Fair Value |
| (in thousands)                               |   |   |   |   |
| AAA                                          |   | $ | 31,873 |   |   | $ | 31,599 |   |
| Total                                        |   | $ | 31,873 |   |   | $ | 31,599 |   |

----

Table of Contents

|                                                      |
|------------------------------------------------------|
|                                                      |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                 |   | For the Three Months Ended March 31, |
|                                                 |   | 2011 |   | 2010 |
| Other-than-Temporarily Impaired PLMBS                |   | Credit Losses |   | Net Non-Credit Losses |   | Total OTTI Losses |   | Credit Losses |   | Net Non-Credit Losses |   | Total OTTI Losses |
| (in thousands)                                       |   |   |   |   |   |   |   |   |   |   |   |   |
| PLMBS newly identified with OTTI in the period noted |   | $ | — |   |   | $ | — |   |   | $ | — |   |   | $ | (37 | ) |   | $ | (48,264 | ) |   | $ | (48,301 | ) |
| PLMBS identified with OTTI in prior periods          |   | (22,740 | ) |   | 22,725 |   |   | (15 | ) |   | (19,603 | ) |   | 10,650 |   |   | (8,953 | ) |
| Total                                                |   | $ | (22,740 | ) |   | $ | 22,725 |   |   | $ | (15 | ) |   | $ | (19,640 | ) |   | $ | (37,614 | ) |   | $ | (57,254 | ) |

----

Table of Contents

|                        |
|------------------------|
|                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                   |   | Significant Inputs Used to Measure Credit Losses As of March 31, 2011 |   |   |   |   |
|                   |   | Cumulative VoluntaryPrepayment Rates * |   | Cumulative Default Rates * |   | Loss Severities |   | CurrentCredit Enhancement |
| Year of Securitization |   | Weighted-Average Percent |   | Range Percent |   | Weighted-Average Percent |   | Range Percent |   | Weighted-Average Percent |   | Range Percent |   | Weighted-Average Percent |   | Range Percent |
| (in percentages)       |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Prime:                 |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| 2008                   |   | 8.3 |   |  7.5-8.4 |   | 26.1 |   |  20.8-48.4 |   | 41.1 |   |  36.3-42.2 |   | 24.6 |   |  20.5-41.8 |
| 2005                   |   | 5.5 |   |  4.8-9.6 |   | 27.7 |   |  12.2-30.7 |   | 33.0 |   |  3.1-33.5 |   | 20.3 |   |  11.8-21.9 |
| 2004 and prior         |   | 15.5 |   |  3.0-43.9 |   | 3.1 |   |  0-41.0 |   | 23.2 |   |  0-49.3 |   | 9.7 |   |  2.8-51.7 |
| Total Prime            |   | 13.8 |   |  3.0-43.9 |   | 8.2 |   |  0-48.4 |   | 26.7 |   |  0-49.3 |   | 12.7 |   |  2.8-51.7 |
| Alt-A:                 |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| 2008                   |   | 10.2 |   |  9.6-10.7 |   | 53.6 |   |  47.7-55.9 |   | 47.8 |   |  45.2-53.9 |   | 35.6 |   |  25.9-39.8 |
| 2007                   |   | 7.4 |   |  4.7-11.6 |   | 75.7 |   |  37.5-87.1 |   | 56.9 |   |  47.8-65.0 |   | 33.5 |   |  2.7-44.5 |
| 2006                   |   | 5.9 |   |  3.8-7.6 |   | 83.0 |   |  73.6-89.7 |   | 57.7 |   |  49.0-68.2 |   | 40.0 |   |  25.9-59.2 |
| 2005                   |   | 8.5 |   |  4.6-12.8 |   | 64.1 |   |  35.4-78.3 |   | 45.8 |   |  34.0-56.9 |   | 34.7 |   |  0-53.9 |
| 2004 and prior         |   | 13.5 |   |  12.8-17.1 |   | 22.7 |   |  0.4-32.0 |   | 33.0 |   |  18.1-36.3 |   | 17.1 |   |  10.1-28.4 |
| Total Alt-A            |   | 7.5 |   |  3.8-17.1 |   | 73.6 |   | 0.4-89.7 |   | 55.0 |   |  18.1-68.2 |   | 35.6 |   |  0-59.2 |
| Total PLMBS            |   | 8.7 |   |  3.0-43.9 |   | 60.8 |   |  0-89.7 |   | 49.4 |   |  0-68.2 |   | 31.1 |   |  0-59.2 |

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

|                        |
|------------------------|
|                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                   |   | Significant Inputs Used to Measure Credit Losses for the Three Months Ended March 31, 2011 |   |   |   |   |
|                   |   | Cumulative VoluntaryPrepayment Rates * |   | Cumulative Default Rates * |   | Loss Severities |   | CurrentCredit Enhancement |
| Year of Securitization |   | Weighted-Average Percent |   | Range Percent |   | Weighted-Average Percent |   | Range Percent |   | Weighted-Average Percent |   | Range Percent |   | Weighted-Average Percent |   | Range Percent |
| (in percentages)       |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Alt-A:                 |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|   2008       |   | 10.7 |   |  10.7-10.7 |   | 52.4 |   |  52.4-52.4 |   | 47.8 |   |  47.8-47.8 |   | 25.9 |   |  25.9-25.9 |
|   2007       |   | 8.0 |   |  5.6-11.6 |   | 71.3 |   |  37.5-83.2 |   | 54.4 |   |  47.8-65.0 |   | 18.9 |   |  2.7-44.1 |
|   2006       |   | 5.9 |   |  3.8-7.3 |   | 83.6 |   |  73.6-89.7 |   | 57.9 |   |  49.0-68.2 |   | 40.0 |   |  37.3-46.4 |
|   2005       |   | 7.5 |   |  6.1-9.7 |   | 72.1 |   |  53.8-78.3 |   | 49.6 |   |  34.3-56.9 |   | 31.9 |   |  14.2-47.6 |
| Total                  |   | 6.9 |   |  3.8-11.6 |   | 77.2 |   |  37.5-89.7 |   | 55.7 |   |  34.3-68.2 |   | 32.2 |   |  2.7-47.6 |

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

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|                                  |
|----------------------------------|
|                                  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                             |   | As of March 31, 2011 |
|                             |   | HTM Securities |   | AFS Securities |
| OTTI Securities -2011 Impairment |   | Unpaid Principal Balance |   | Amortized Cost Basis |   | Carrying Value (1) |   | Fair Value |   | Unpaid Principal Balance |   | Amortized Cost Basis |   | Fair Value |
| (in thousands)                   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Alt-A PLMBS (2)                  |   | $ | 16,699 |   |   | $ | 16,208 |   |   | $ | 10,850 |   |   | $ | 11,136 |   |   | $ | 1,274,588 |   |   | $ | 1,001,428 |   |   | $ | 771,290 |   |
| Total OTTI PLMBS                 |   | $ | 16,699 |   |   | $ | 16,208 |   |   | $ | 10,850 |   |   | $ | 11,136 |   |   | $ | 1,274,588 |   |   | $ | 1,001,428 |   |   | $ | 771,290 |   |

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

|                                |
|--------------------------------|
|                                |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                           |   | As of March 31, 2011 |
|                           |   | HTM Securities |   | AFS Securities |
| OTTI Securities - Life to Date |   | Unpaid Principal Balance |   | Amortized Cost Basis |   | Carrying Value (1) |   | Fair Value |   | Unpaid Principal Balance |   | Amortized Cost Basis |   | Fair Value |
| (in thousands)                 |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Alt-A PLMBS (2)                |   | $ | 150,569 |   |   | $ | 149,987 |   |   | $ | 88,745 |   |   | $ | 90,570 |   |   | $ | 2,440,351 |   |   | $ | 1,994,294 |   |   | $ | 1,522,532 |   |
| Total OTTI PLMBS               |   | $ | 150,569 |   |   | $ | 149,987 |   |   | $ | 88,745 |   |   | $ | 90,570 |   |   | $ | 2,440,351 |   |   | $ | 1,994,294 |   |   | $ | 1,522,532 |   |

|                                |
|--------------------------------|
|                                |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                           |   | As of December 31, 2010 |
|                           |   | HTM Securities |   | AFS Securities |
| OTTI Securities - Life to Date |   | Unpaid Principal Balance |   | Amortized Cost Basis |   | Carrying Value (1) |   | Fair Value |   | Unpaid Principal Balance |   | Amortized Cost Basis |   | Fair Value |
| (in thousands)                 |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Alt-A PLMBS (2)                |   | $ | 167,942 |   |   | $ | 166,702 |   |   | $ | 96,169 |   |   | $ | 96,805 |   |   | $ | 2,482,259 |   |   | $ | 2,059,078 |   |   | $ | 1,469,055 |   |
| Total OTTI PLMBS               |   | $ | 167,942 |   |   | $ | 166,702 |   |   | $ | 96,169 |   |   | $ | 96,805 |   |   | $ | 2,482,259 |   |   | $ | 2,059,078 |   |   | $ | 1,469,055 |   |

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

----

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|                                             |
|---------------------------------------------|
|                                             |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                        |   | As of March 31, 2011 |
|                                        |   | Actual Results - Base-Case HPI Scenario |   | Adverse HPI Scenario Results |
| PLMBS                                       |   | Other-Than-Temporarily Impaired Securities |   | Unpaid Principal Balance |   | Q1 2011 OTTI Related to Credit Loss |   | Other-Than-Temporarily Impaired Securities |   | Unpaid Principal Balance | Q1 2011 OTTI Related to Credit Loss |
| (in thousands, except number of securities) |   |   |   |   |   |   |   |   |   |
| Alt-A*                                      |   | 27 |   |   | $ | 1,291,287 |   |   | $ | (22,740 | ) |   | 44 |   |   | $ | 2,545,198 |   | $ | (140,314 | ) |
| Total                                       |   | 27 |   |   | $ | 1,291,287 |   |   | $ | (22,740 | ) |   | 44 |   |   | $ | 2,545,198 |   | $ | (140,314 | ) |

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

|                                                      |
|------------------------------------------------------|
|                                                      |  |  |  |  |  |  |
|                                                 |   | As of |   | As of |
| Conventional Mortgage Loans - FICO Scores       |   | March 31, 2011 |   | December 31, 2010 |
| (in percentages, except weighted-average FICO score) |   |   |   |   |
| 620 to < 660                                      |   | 2.1 |   |   | 2.0 |   |
| 660 to < 700                                      |   | 13.9 |   |   | 13.6 |   |
| 700 to < 740                                      |   | 27.5 |   |   | 27.2 |   |
| >= 740                                            |   | 56.5 |   |   | 57.2 |   |
| Weighted-average FICO score                          |   | 743 |   |   | 744 |   |

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|                                             |
|---------------------------------------------|
|                                             |  |  |  |  |
|                                        |   | As of |   | As of |
| Conventional Mortgage Loans - Loan-to-Value |   | March 31, 2011 |   | December 31, 2010 |
| (in percentages)                            |   |   |   |   |
| <= 60%                                   |   | 34.0 |   | 34.3 |
| > 60% to 70%                             |   | 20.4 |   | 20.4 |
| > 70% to 80%                             |   | 41.8 |   | 41.7 |
| > 80% to 90% *                      |   | 2.2 |   | 2.1 |
| > 90% *                             |   | 1.6 |   | 1.5 |
| Weighted-average loan-to-value              |   | 64.5 |   | 64.4 |

|   |
|---|
|   |  |
| * | PMI required at origination. |

|                                                                                     |
|-------------------------------------------------------------------------------------|
|                                                                                     |  |  |  |  |  |  |  |  |
|                                                                                |   | As of |   | As of |
| Past Due and Nonaccrual Mortgage Loan Data                                          |   | March 31, 2011 |   | December 31, 2010 |
| (in thousands)                                                                      |   |   |   |   |
| Total unpaid principal balance past due 90 days or more and still accruing interest |   | $ | 62,666 |   |   | $ | 58,380 |   |
| Nonaccrual loans, unpaid principal balance                                          |   | $ | 8,410 |   |   | $ | 7,734 |   |
| Troubled debt restructurings                                                        |   | $ | 300 |   |   | $ | 302 |   |
| Allowance for credit losses on mortgage loans:                                      |   |   |   |   |
| Balance, beginning of year                                                          |   | $ | 1,794 |   |   | $ | 626 |   |
| Provision for credit losses                                                         |   | — |   |   | 1,168 |   |
| Balance, end of period                                                              |   | $ | 1,794 |   |   | $ | 1,794 |   |
| Nonaccrual loans: *                                                                 |   |   |   |   |
| Gross amount of interest that would have been recorded based on original terms      |   | $ | 120 |   |   | $ | 546 |   |
| Interest actually recognized in income during the period                            |   | — |   |   | — |   |
| Shortfall                                                                           |   | $ | 120 |   |   | $ | 546 |   |

|   |
|---|
|   |  |
| * | A mortgage loan is placed on nonaccrual status when the contractual principal or interest is 90 days or more past due and there is not enough projected coverage in the LRA. |

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|                                                   |
|---------------------------------------------------|
|                                                   |  |  |  |  |  |  |  |
|                                              |   | As of March 31, 2011 |
|                                              |   | Total |   | Percent |
| Potential Higher-Risk Conventional Mortgage Loans |   | Par Value |   | Seriously Delinquent |
| (in thousands, except percentages)                |   |   |   |   |
| FICO score < 660                               |   | $ | 58,060 |   |   | 3.8 | % |
| Total count of high-risk loans                    |   | 440 |   |   | 3.8 | % |

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|         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |
|---------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | As fair value hedges of underlying financial instruments, including fixed interest-rate advances and consolidated obligations. A fair value hedge is a transaction where, assuming specific criteria identified in GAAP are met, the changes in fair value of a derivative instrument and a corresponding hedged item are recorded to income. For example, we use interest-rate exchange agreements to adjust the interest-rate sensitivity of consolidated obligations to approximate more closely the interest-rate sensitivity of assets, including advances. |

|         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |
|---------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | As economic hedges to manage risks in a group of assets or liabilities. For example, we purchase interest-rate caps as insurance for our consolidated obligations to protect against rising interest rates. As short-term interest rates rise, the cost of issuing short-term consolidated obligations increases. We begin to receive payments from our counterparty when interest rates rise above a pre-defined rate, thereby “capping” the effective cost of issuing the consolidated obligations. |

|                                                      |
|------------------------------------------------------|
|                                                      |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                 |   | As of March 31, 2011 |   | As of December 31, 2010 |
| Derivative Instruments by Product                    |   | NotionalAmount |   | Fair Value (Loss) Gain Excluding Accrued Interest |   | NotionalAmount |   | Fair Value (Loss) Gain Excluding Accrued Interest |
|  (in thousands)                                 |   |   |   |   |   |   |   |   |
| Advances:                                            |   |   |   |   |   |   |   |   |
| Fair value - existing cash item                      |   | $ | 7,977,721 |   |   | $ | (296,478 | ) |   | $ | 8,464,113 |   |   | $ | (345,068 | ) |
| Investments:                                         |   |   |   |   |   |   |   |   |
| Fair value - existing cash item                      |   | 3,592,675 |   |   | (78,062 | ) |   | 3,592,675 |   |   | (92,506 | ) |
| Consolidated obligation bonds:                       |   |   |   |   |   |   |   |   |   |   |   |
| Fair value - existing cash item                      |   | 22,771,110 |   |   | 21,133 |   |   | 22,255,110 |   |   | 85,846 |   |
| Non-qualifying economic hedges                       |   | 154,245 |   |   | (1,862 | ) |   | 53,500 |   |   | (221 | ) |
| Total                                                |   | 22,925,355 |   |   | 19,271 |   |   | 22,308,610 |   |   | 85,625 |   |
| Consolidated obligation discount notes:              |   |   |   |   |   |   |   |   |   |   |   |
| Fair value - existing cash item                      |   | 471,646 |   |   | 318 |   |   | 471,646 |   |   | 772 |   |
| Balance sheet:                                       |   |   |   |   |   |   |   |   |
| Non-qualifying economic hedges                       |   | 10,000 |   |   | — |   |   | 200,000 |   |   | — |   |
| Total notional and fair value                        |   | $ | 34,977,397 |   |   | (354,951 | ) |   | $ | 35,037,044 |   |   | (351,177 | ) |
| Accrued interest at period end                       |   |   |   |   | 22,450 |   |   |   |   | 26,995 |   |
| Cash collateral held by counterparty - assets        |   |   |   |   | 132,962 |   |   |   |   | 97,577 |   |
| Cash collateral held from counterparty - liabilities |   |   |   |   | (9,651 | ) |   |   |   | (14,042 | ) |
| Net derivative balance                               |   |   |   |   | $ | (209,190 | ) |   |   |   | $ | (240,647 | ) |
|                                                 |   |   |   |   |   |   |   |   |
| Net derivative asset balance                         |   |   |   | $ | 7,596 |   |   |   |   | $ | 13,013 |   |
| Net derivative liability balance                     |   |   |   | (216,786 | ) |   |   |   | (253,660 | ) |
| Net derivative balance                               |   |   |   | $ | (209,190 | ) |   |   |   | $ | (240,647 | ) |

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|                                                          |
|----------------------------------------------------------|
|                                                          |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                     |   | As of March 31, 2011 |
| Derivative Counterparty Credit Exposure by Credit Rating |   | Total Notional |   | Credit Exposure Net of Cash Collateral |   | Other Collateral Held |   | Net Credit Exposure |
| (in thousands)                                           |   |   |   |   |   |   |   |   |
| AA                                                       |   | $ | 8,388,655 |   |   | $ | — |   |   | $ | — |   |   | $ | — |   |
| AA-                                                      |   | 6,374,040 |   |   | — |   |   | — |   |   | — |   |
|  A+                                                 |   | 13,614,763 |   |   | 523 |   | (1)  | — |   |   | 523 |   |
|  A                                                  |   | 6,599,939 |   |   | 7,073 |   |   | — |   |   | 7,073 |   |
| Total                                                    |   | $ | 34,977,397 |   |   | $ | 7,596 |   |   | $ | — |   |   | $ | 7,596 |   |

|                                                          |
|----------------------------------------------------------|
|                                                          |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                     |   | As of December 31, 2010 |
| Derivative Counterparty Credit Exposure by Credit Rating |   | Total Notional |   | Credit Exposure Net of Cash Collateral |   | Other Collateral Held |   | Net Credit Exposure |
| (in thousands)                                           |   |   |   |   |   |   |   |   |
| AA                                                       |   | $ | 8,556,922 |   |   | $ | — |   |   | $ | — |   |   | $ | — |   |
| AA-                                                      |   | 5,817,560 |   |   | 1,405 |   |   | — |   |   | 1,405 |   |
|  A+                                                 |   | 13,189,623 |   |   | 1,027 |   | (2)  | — |   |   | 1,027 |   |
|  A                                                  |   | 7,472,939 |   |   | 10,581 |   |   | — |   |   | 10,581 |   |
| Total                                                    |   | $ | 35,037,044 |   |   | $ | 13,013 |   |   | $ | — |   |   | $ | 13,013 |   |

|     |
|-----|
|     |  |
| (1) | Cash collateral of $9.7 million held as of March 31, 2011 is included in our derivative asset balance. |
| (2) | Cash collateral of $14.0 million held as of December 31, 2010 is included in our derivative asset balance. |

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|                                            |
|--------------------------------------------|
|                                            |  |  |  |  |  |  |  |  |
|                                       |   | As of |   | As of |
| Carrying Value of Consolidated Obligations |   | March 31, 2011 |   | December 31, 2010 |
| (in thousands)                             |   |   |   |   |
| Discount notes                             |   | $ | 13,196,918 |   |   | $ | 11,596,307 |   |
| Bonds                                      |   | 29,729,231 |   |   | 32,479,215 |   |
| Total                                      |   | $ | 42,926,149 |   |   | $ | 44,075,522 |   |

|                                                             |
|-------------------------------------------------------------|
|                                                             |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                        |   | As of March 31, 2011 |   | As of December 31, 2010 |
|                                                        |   | Consolidated Obligation |   | Consolidated Obligation |
| Short-Term Debt                                             |   | Discount Notes |   | Bonds with Original Maturities of One Year or Less |   | Discount Notes |   | Bonds with Original Maturities of One Year or Less |
| (in thousands, except percentages)                          |   |   |   |   |   |   |   |   |
| Outstanding balance as of period end (par)                  |   | $ | 13,198,098 |   |   | $ | 4,000,000 |   |   | $ | 11,597,293 |   |   | $ | 5,800,000 |   |
| Weighted-average interest rate as of period end             |   | 0.09 | % |   | 0.33 | % |   | 0.16 | % |   | 0.31 | % |
| Daily average outstanding for the period                    |   | $ | 13,075,034 |   |   | $ | 4,628,000 |   |   | $ | 15,697,558 |   |   | $ | 4,321,668 |   |
| Weighted-average interest rate for the period               |   | 0.15 | % |   | 0.33 | % |   | 0.14 | % |   | 0.43 | % |
| Highest outstanding balance at any month-end for the period |   | $ | 13,256,772 |   |   | $ | 4,420,000 |   |   | $ | 17,626,577 |   |   | $ | 5,850,000 |   |

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|                                    |
|------------------------------------|
|                                    |  |  |  |  |  |  |  |  |  |  |  |  |
|                               |   | As of March 31, 2011 |   | As of December 31, 2010 |
| Interest-Rate Payment Terms        |   | Par Value |   | Percent of Total Par Value |   | Par Value |   | Percent of Total Par Value |
| (in thousands, except percentages) |   |   |   |   |   |   |   |   |
| Fixed                              |   | $ | 20,971,580 |   |   | 70.7 |   | $ | 23,431,565 |   |   | 72.5 |
| Step-up                            |   | 4,555,000 |   |   | 15.4 |   | 4,380,000 |   |   | 13.6 |
| Variable                           |   | 3,750,000 |   |   | 12.7 |   | 4,250,000 |   |   | 13.2 |
| Capped variable                    |   | 200,000 |   |   | 0.7 |   | 200,000 |   |   | 0.6 |
| Range                              |   | 143,245 |   |   | 0.5 |   | 41,000 |   |   | 0.1 |
| Total par value                    |   | $ | 29,619,825 |   |   | 100.0 |   | $ | 32,302,565 |   |   | 100.0 |

|                                                     |
|-----------------------------------------------------|
|                                                     |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                |   | As of March 31, 2011 |   | As of December 31, 2010 |
| 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                             |   | $ | 12,637,310 |   |   | 0.68 |   | $ | 15,713,795 |   |   | 0.64 |
| Due after one year through two years                |   | 2,971,500 |   |   | 2.69 |   | 3,384,000 |   |   | 2.24 |
| Due after two years through three years             |   | 3,620,000 |   |   | 2.17 |   | 3,562,000 |   |   | 2.24 |
| Due after three years through four years            |   | 2,726,500 |   |   | 2.83 |   | 2,197,500 |   |   | 3.20 |
| Due after four years through five years             |   | 2,893,660 |   |   | 2.12 |   | 2,615,160 |   |   | 1.61 |
| Thereafter                                          |   | 4,770,855 |   |   | 3.90 |   | 4,830,110 |   |   | 3.94 |
| Total par value                                     |   | 29,619,825 |   |   | 1.92 |   | 32,302,565 |   |   | 1.73 |
| Premiums                                            |   | 7,810 |   |   |   |   | 8,614 |   |   |   |
| Discounts                                           |   | (19,281 | ) |   |   |   | (20,528 | ) |   |   |
| Hedging adjustments                                 |   | 120,877 |   |   |   |   | 188,564 |   |   |   |
| Total                                               |   | $ | 29,729,231 |   |   |   |   | $ | 32,479,215 |   |   |   |

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|                                                                              |
|------------------------------------------------------------------------------|
|                                                                              |  |  |  |  |  |  |  |  |
| 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:                                                   |   |   |   |   |
| March 31, 2011                                                               |   | $ | 158,864 |   |   | $ | 2,639,377 |   |
| December 31, 2010                                                       |   | $ | 158,864 |   |   | $ | 2,639,172 |   |

|     |
|-----|
|     |  |
| (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 (against which our risk-based capital 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 nonmember; or (3) withdrawal or termination of membership. |

|                                                   |
|---------------------------------------------------|
|                                                   |  |  |  |  |  |  |  |
| Capital Stock Holdings by Member Institution Type |   | Member Count |   | Total Value of Capital Stock Held |
| (in thousands, except institution count)          |   |   |   |   |
| Commercial banks                                  |   | 229 |   |   | $ | 1,290,183 |   |
| Thrifts                                           |   | 32 |   |   | 326,929 |   |
| Credit unions                                     |   | 93 |   |   | 147,626 |   |
| Insurance companies                               |   | 4 |   |   | 350 |   |
| Total GAAP capital stock (1)                      |   | 358 |   |   | 1,765,088 |   |
| Mandatorily redeemable capital stock (2)     |   |   |   | 1,033,153 |   |
| Total regulatory capital stock                    |   |   |   | $ | 2,798,241 |   |

|     |
|-----|
|     |  |
| (1) | Capital stock as classified within the equity section of the statements of condition according to GAAP. |
| (2) | Certain members may also hold capital stock classified as mandatorily redeemable capital stock due to stock redemption requests that have passed the statutory redemption date and that have been reclassified to mandatorily redeemable capital stock on the statements of condition. |

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|                                                                      |
|----------------------------------------------------------------------|
|                                                                      |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                 |   | For the Three Months Ended March 31, |
|                                                                 |   | 2011 |   | 2010 |
| Capital Stock Activity                                               |   | Class ACapital Stock |   | Class BCapital Stock |   | Class ACapital Stock |   | Class BCapital Stock |
| (in thousands)                                                       |   |   |   |   |   |   |   |   |
| Balance, beginning of period                                         |   | $ | 126,454 |   |   | $ | 1,649,695 |   |   | $ | 132,518 |   |   | $ | 1,717,149 |   |
| New member capital stock purchases                                   |   | — |   |   | 151 |   |   | — |   |   | — |   |
| Existing member capital stock purchases                              |   | — |   |   | 54 |   |   | — |   |   | 174 |   |
| Total capital stock purchases                                        |   | — |   |   | 205 |   |   | — |   |   | 174 |   |
| Capital stock transferred from mandatorily redeemable capital stock: |   |   |   |   |   |   |   |   |   |   |
| Recissions of redemption requests                                    |   | 755 |   |   | 5,294 |   |   | — |   |   | — |   |
| Capital stock transferred to mandatorily redeemable capital stock:   |   |   |   |   |   |   |   |   |   |   |
| Withdrawals/involuntary redemptions                                  |   | (1,720 | ) |   | (12,697 | ) |   | 1 |   |   | (1,233 | ) |
| Redemption requests past redemption date                             |   | — |   |   | (2,898 | ) |   | — |   |   | (633 | ) |
| Net transfers to mandatorily redeemable capital stock                |   | (965 | ) |   | (10,301 | ) |   | 1 |   |   | (1,866 | ) |
| Balance, end of period                                               |   | $ | 125,489 |   |   | $ | 1,639,599 |   |   | $ | 132,519 |   |   | $ | 1,715,457 |   |

|                                                               |
|---------------------------------------------------------------|
|                                                               |  |  |  |  |  |  |  |  |
|                                                          |   | As of March 31, 2011 |
| Class B Capital Stock - Voluntary Redemption Requests by Date |   | Class ACapital Stock |   | Class BCapital Stock |
| (in thousands)                                                |   |   |   |   |
| Less than one year                                            |   | $ | 3,937 |   |   | $ | 5,999 |   |
| One year through two years                                    |   | — |   |   | 67,286 |   |
| Two years through three years                                 |   | — |   |   | 47,117 |   |
| Three years through four years                                |   | — |   |   | 42,693 |   |
| Four years through five years                                 |   | — |   |   | 2,539 |   |
| Total                                                         |   | $ | 3,937 |   |   | $ | 165,634 |   |

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|                                                                |
|----------------------------------------------------------------|
|                                                                |  |  |  |  |  |  |  |  |
|                                                           |   | As of March 31, 2011 |
| Mandatorily Redeemable Capital Stock - Redemptions by Date     |   | Class ACapital Stock |   | Class BCapital Stock |
| (in thousands)                                                 |   |   |   |   |
| Less than one year                                             |   | $ | 1,720 |   |   | $ | 13,419 |   |
| One year through two years                                     |   | — |   |   | 126 |   |
| Two years through three years                                  |   | — |   |   | 628,668 |   |
| Three years through four years                                 |   | — |   |   | 4,351 |   |
| Four years through five years                                  |   | — |   |   | 162,241 |   |
| Past contractual redemption date due to remaining activity (1) |   | — |   |   | 13,995 |   |
| Past contractual redemption date due to regulatory action (2)  |   | 31,655 |   |   | 176,978 |   |
| Total                                                          |   | $ | 33,375 |   |   | $ | 999,778 |   |

|     |
|-----|
|     |  |
| (1) | Represents mandatorily redeemable capital stock that is past the end of the contractual redemption period because there is activity outstanding that the mandatorily redeemable capital stock relates to. Dates assume payments of advances and mortgage loans at final maturity.  |
| (2) | Represents mandatorily redeemable capital stock that is past the end of the contractual redemption period because of Finance Agency restrictions limiting our ability to redeem capital stock. |

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|         |                                                                                                                                                                                                                                                                                                                                                                                                            |
|---------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | Credit risk is the potential for financial loss because of the failure of a borrower or counterparty to perform on an obligation. The credit-risk requirement is determined by adding the credit-risk capital charges for assets, off- balance sheet items, and derivative contracts based on, among other things, the credit percentages assigned to each item as required by Finance Agency regulations. |

|         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |
|---------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | Market risk is the potential for financial losses due to the increase or decrease in the value or price of an asset or liability resulting from broad movements in prices, such as interest rates. The market-risk requirement is determined by adding the market value of the portfolio at risk from movements in interest-rate fluctuations and the amount, if any, by which the current market value of our total capital is less than 85% of the book value of our total capital. We calculate the market value of our portfolio at risk and the current market value of our total capital by using an internal model. Our modeling approach and underlying assumptions are subject to Finance Agency review and approval. |

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|         |                                                                                                                                                                                                                                                                                                                                                                                                                                     |
|---------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | Operations risk is the potential for unexpected financial losses due to inadequate information systems, operational problems, breaches in internal controls, or fraud. The operations risk requirement is determined as a percentage of the market risk and credit risk requirements. The Finance Agency has determined this risk requirement to be 30% of the sum of the credit-risk and market-risk requirements described above. |

|                                                       |
|-------------------------------------------------------|
|                                                       |  |  |  |  |  |  |  |  |
|                                                  |   | As of |   | As of |
| Permanent Capital and Risk-Based Capital Requirements |   | March 31, 2011 |   | December 31, 2010 |
| (in thousands)                                        |   |   |   |   |
| Permanent capital:                                    |   |   |   |   |
| Class B capital stock                                 |   | $ | 1,639,599 |   |   | $ | 1,649,695 |   |
| Mandatorily redeemable Class B capital stock          |   | 999,778 |   |   | 989,477 |   |
| Retained earnings                                     |   | 61,268 |   |   | 73,396 |   |
| Permanent capital                                     |   | 2,700,645 |   |   | 2,712,568 |   |
| Risk-based capital requirement:                       |   |   |   |   |   |   |
| Credit risk                                           |   | 935,944 |   |   | 940,111 |   |
| Market risk                                           |   | 313,505 |   |   | 584,083 |   |
| Operations risk                                       |   | 374,834 |   |   | 457,259 |   |
| Risk-based capital requirement                        |   | 1,624,283 |   |   | 1,981,453 |   |
| Risk-based capital surplus                            |   | $ | 1,076,362 |   |   | $ | 731,115 |   |

|                                     |
|-------------------------------------|
|                                     |  |  |  |  |  |  |  |  |
|                                |   | As of |   | As of |
| Regulatory Capital-to-Assets Ratios |   | March 31, 2011 |   | December 31, 2010 |
| (in thousands, except percentages)  |   |   |   |   |
| Minimum regulatory capital          |   | $ | 1,837,534 |   |   | $ | 1,888,319 |   |
| Total regulatory capital            |   | 2,859,509 |   |   | 2,871,432 |   |
| Regulatory capital-to-assets ratio  |   | 6.22 | % |   | 6.08 | % |

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|                                                                                  |
|----------------------------------------------------------------------------------|
|                                                                                  |  |  |  |  |  |  |  |  |
|                                                                             |   | As of |   | As of |
| Leverage Capital Ratios                                                          |   | March 31, 2011 |   | December 31, 2010 |
| (in thousands, except percentages)                                               |   |   |   |   |
| Minimum leverage capital (5.00% of total assets)                                 |   | $ | 2,296,918 |   |   | $ | 2,360,399 |   |
| Leverage capital (includes 1.5 weighting factor applicable to permanent capital) |   | 4,209,832 |   |   | 4,227,716 |   |
| Leverage capital ratio                                                           |   | 9.16 | % |   | 8.96 | % |

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|                                              |
|----------------------------------------------|
|                                              |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                         |   | As of March 31, 2011 |
|                                         |   | 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                         |   | $ | 25,187 |   |   | $ | — |   |   | $ | — |   |   | $ | — |   |   | $ | 25,187 |   |
| Consolidated obligation bonds (at par)*      |   | 12,637,310 |   |   | 6,591,500 |   |   | 5,620,160 |   |   | 4,770,855 |   |   | 29,619,825 |   |
| Derivative liabilities                       |   | 216,786 |   |   | — |   |   | — |   |   | — |   |   | 216,786 |   |
| Mandatory redeemable capital stock           |   | 224,648 |   |   | 629,165 |   |   | 26,813 |   |   | 152,527 |   |   | 1,033,153 |   |
| Operating leases                             |   | 2,505 |   |   | 4,513 |   |   | — |   |   | — |   |   | 7,018 |   |
| Total contractual obligations                |   | $ | 13,106,436 |   |   | $ | 7,225,178 |   |   | $ | 5,646,973 |   |   | $ | 4,923,382 |   |   | $ | 30,901,969 |   |
| Other Commitments                            |   |   |   |   |   |   |   |   |   |   |
| Standby letters of credit                    |   | 608,238 |   |   | 564 |   |   | 12,497 |   |   |   |   | 621,299 |   |
| Standby bond purchase agreements             |   | 42,480 |   |   | — |   |   | — |   |   | — |   |   | 42,480 |   |
| Unused lines of credit and other commitments |   | 16,000 |   |   | — |   |   | — |   |   | — |   |   | 16,000 |   |
| Total other commitments                      |   | $ | 666,718 |   |   | $ | 564 |   |   | $ | 12,497 |   |   | $ | — |   |   | $ | 679,779 |   |

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

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|                                     |
|-------------------------------------|
|                                     |  |  |  |  |  |  |  |  |  |  |
|                                |   | Average Rate for the Three Months Ended |   | Ending Rate as of |
| Market Instrument                   |   | March 31, 2011 |   | March 31, 2010 |   | March 31, 2011 |   | December 31, 2010 |   | March 31, 2010 |
| (in percentages)                    |   |   |   |   |   |   |   |   |   |   |
| Federal funds effective/target rate |   | 0.16 |   | 0.14 |   | 0.10 |   | 0.13 |   | 0.09 |
| 3-month Treasury bill               |   | 0.12 |   | 0.10 |   | 0.09 |   | 0.12 |   | 0.15 |
| 3-month LIBOR                       |   | 0.31 |   | 0.26 |   | 0.30 |   | 0.30 |   | 0.29 |
| 2-year U.S. Treasury note           |   | 0.68 |   | 0.90 |   | 0.82 |   | 0.59 |   | 1.02 |
| 5-year U.S. Treasury note           |   | 2.10 |   | 2.41 |   | 2.28 |   | 2.01 |   | 2.54 |
| 10-year U.S. Treasury note          |   | 3.44 |   | 3.70 |   | 3.47 |   | 3.29 |   | 3.83 |

|                                      |
|--------------------------------------|
|                                      |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                 |   | For the Three Months Ended March 31, |
|                                 |   | 2011 |   | 2010 |
|                                 |   | Average Balance |   | Interest Income/Expense |   | Average Yield |   | Average Balance |   | Interest Income/Expense |   | Average Yield |
| (in thousands, except percentages)   |   |   |   |   |   |   |   |   |   |   |   |   |
| Interest-earning assets:             |   |   |   |   |   |   |   |   |   |   |   |   |
| Advances                             |   | $ | 13,384,107 |   |   | $ | 30,319 |   |   | 0.92 |   |   | $ | 21,243,694 |   |   | $ | 48,738 |   |   | 0.93 |
| Mortgage loans held for portfolio    |   | 3,073,104 |   |   | 38,333 |   |   | 5.06 |   |   | 4,012,354 |   |   | 49,633 |   |   | 5.02 |
| Investments *                        |   | 31,067,561 |   |   | 30,058 |   |   | 0.39 |   |   | 26,727,962 |   |   | 49,793 |   |   | 0.76 |
| Other interest-earning assets        |   | 102,405 |   |   | 40 |   |   | 0.16 |   |   | 51,254 |   |   | 17 |   |   | 0.14 |
| Total interest-earning assets        |   | 47,627,177 |   |   | 98,750 |   |   | 0.84 |   |   | 52,035,264 |   |   | 148,181 |   |   | 1.15 |
| Other assets                         |   | (380,155 | ) |   |   |   |   |   |   | (653,143 | ) |   |   |   |   |   |
| Total assets                         |   | $ | 47,247,022 |   |   |   |   |   |   |   | $ | 51,382,121 |   |   |   |   |   |   |
| Interest-bearing liabilities:        |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Consolidated obligations             |   | $ | 44,057,105 |   |   | 78,189 |   |   | 0.72 |   |   | $ | 48,269,116 |   |   | 106,626 |   |   | 0.89 |
| Deposits                             |   | 328,061 |   |   | 57 |   |   | 0.07 |   |   | 339,573 |   |   | 45 |   |   | 0.05 |
| Mandatorily redeemable capital stock |   | 1,029,064 |   |   | — |   |   | — |   |   | 947,046 |   |   | — |   |   | — |
| Other borrowings                     |   | 121 |   |   | — |   |   | 0.17 |   |   | 123 |   |   | — |   |   | — |
| Total interest-bearing liabilities   |   | 45,414,351 |   |   | 78,246 |   |   | 0.70 |   |   | 49,555,858 |   |   | 106,671 |   |   | 0.87 |
| Other liabilities                    |   | 564,728 |   |   |   |   |   |   | 775,505 |   |   |   |   |   |   |
| Capital                              |   | 1,267,943 |   |   |   |   |   |   | 1,050,758 |   |   |   |   |   |   |
| Total liabilities and capital        |   | $ | 47,247,022 |   |   |   |   |   |   |   | $ | 51,382,121 |   |   |   |   |   |   |
| Net interest income                  |   |   |   |   | $ | 20,504 |   |   |   |   |   |   |   |   | $ | 41,510 |   |   |   |
|                                 |   |   |   |   |   |   |   |   |   |   |   |   |
| Interest-rate spread                 |   |   |   |   | $ | 15,916 |   |   | 0.14 |   |   |   |   |   | $ | 34,450 |   |   | 0.28 |
| Earnings from capital                |   |   |   |   | 4,588 |   |   | 0.04 |   |   |   |   |   | 7,060 |   |   | 0.05 |
| Net interest margin                  |   |   |   |   | $ | 20,504 |   |   | 0.18 |   |   |   |   |   | $ | 41,510 |   |   | 0.33 |

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

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|                                   |
|-----------------------------------|
|                                   |  |  |  |  |  |  |  |  |  |  |  |  |
|                              |   | For the Three Months Ended March 31, |
|                              |   | 2011 vs. 2010Increase (Decrease) |
| Changes in Volume and Rate        |   | Volume* |   | Rate* |   | Total |
|  (in thousands)              |   |   |   |   |   |   |
| Interest income:                  |   |   |   |   |   |   |
| Advances                          |   | $ | (17,812 | ) |   | $ | (607 | ) |   | $ | (18,419 | ) |
| Investments                       |   | 7,103 |   |   | (26,838 | ) |   | (19,735 | ) |
| Mortgage loans held for portfolio |   | (11,713 | ) |   | 413 |   |   | (11,300 | ) |
| Other loans                       |   | 20 |   |   | 3 |   |   | 23 |   |
| Total interest income             |   | (22,402 | ) |   | (27,029 | ) |   | (49,431 | ) |
| Interest expense:                 |   |   |   |   |   |   |
| Consolidated obligations          |   | (8,742 | ) |   | (19,695 | ) |   | (28,437 | ) |
| Deposits                          |   | (2 | ) |   | 14 |   |   | 12 |   |
| Total interest expense            |   | (8,744 | ) |   | (19,681 | ) |   | (28,425 | ) |
| Change in net interest income     |   | $ | (13,658 | ) |   | $ | (7,348 | ) |   | $ | (21,006 | ) |

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

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|                                    |
|------------------------------------|
|                                    |  |  |  |  |  |  |  |  |  |  |  |
|                               |   | For the Three Months Ended March 31, |
| Interest Income                    |   | 2011 |   | 2010 |   | Percent Increase/ (Decrease) |
| (in thousands, except percentages) |   |   |   |   |   |   |
| Advances                           |   | $ | 29,958 |   |   | $ | 46,131 |   |   | (35.1 | ) |
| Prepayment fees on advances, net   |   | 361 |   |   | 2,607 |   |   | (86.2 | ) |
| Subtotal                           |   | 30,319 |   |   | 48,738 |   |   | (37.8 | ) |
| Investments                        |   | 30,058 |   |   | 49,793 |   |   | (39.6 | ) |
| Mortgage loans held for portfolio  |   | 38,333 |   |   | 49,633 |   |   | (22.8 | ) |
| Interest-bearing deposits          |   | 40 |   |   | 17 |   |   | 135.3 |   |
| Total interest income              |   | $ | 98,750 |   |   | $ | 148,181 |   |   | (33.4 | ) |

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|                                           |
|-------------------------------------------|
|                                           |  |  |  |  |  |  |  |  |  |  |  |
|                                      |   | For the Three Months Ended March 31, |
| Interest Expense                          |   | 2011 |   | 2010 |   | Percent Increase/(Decrease) |
| (in thousands, except percentages)        |   |   |   |   |   |   |
| Consolidated obligations - discount notes |   | $ | 4,547 |   |   | $ | 4,321 |   |   | 5.2 |   |
| Consolidated obligations - bonds          |   | 73,642 |   |   | 102,305 |   |   | (28.0 | ) |
| Deposits                                  |   | 57 |   |   | 45 |   |   | 26.7 |   |
| Total interest expense                    |   | $ | 78,246 |   |   | $ | 106,671 |   |   | (26.6 | ) |

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|                                                                         |
|-------------------------------------------------------------------------|
|                                                                         |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                    |   | For the Three Months Ended March 31, 2011 |
| Net Effect of Derivatives and Hedging Activities                        |   | Advances |   | AFS Securities |   | Consolidated Obligation Bonds |   | Consolidated Obligation Discount Notes |   | Balance Sheet |   | Total |
| (in thousands)                                                          |   |   |   |   |   |   |   |   |   |   |   |   |
| Amortization/accretion of hedging activities in net interest income (1) |   | $ | (113 | ) |   | $ | — |   |   | $ | 8,342 |   |   | $ | 152 |   |   | $ | — |   |   | $ | 8,381 |   |
| Net interest settlements included in net interest income (2)            |   | (42,092 | ) |   | (17,452 | ) |   | 59,463 |   |   | 509 |   |   | — |   |   | 428 |   |
| Net gain (loss) on derivatives and hedging activities:                  |   |   |   |   |   |   |   |   |   |   |   |   |
| Gain (loss) on fair value hedges                                        |   | (160 | ) |   | 12,881 |   |   | (5,858 | ) |   | 2 |   |   | — |   |   | 6,865 |   |
| Gain on derivatives not receiving hedge accounting                      |   | — |   |   | — |   |   | — |   |   | — |   |   | 1,424 |   |   | 1,424 |   |
| Total net realized gain (loss) on derivatives and hedging activities    |   | (160 | ) |   | 12,881 |   |   | (5,858 | ) |   | 2 |   |   | 1,424 |   |   | 8,289 |   |
| Total net effect of derivatives and hedging activities                  |   | $ | (42,365 | ) |   | $ | (4,571 | ) |   | $ | 61,947 |   |   | $ | 663 |   |   | $ | 1,424 |   |   | $ | 17,098 |   |

|                                                                              |
|------------------------------------------------------------------------------|
|                                                                              |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                         |   | For the Three Months Ended March 31, 2010 |
| Net Effect of Derivatives and Hedging Activities                             |   | Advances |   | Consolidated Obligation Bonds |   | Consolidated Obligation Discount Notes |   | Balance Sheet |   | Total |
| (in thousands)                                                               |   |   |   |   |   |   |   |   |   |   |
| Amortization/accretion of hedging activities in net interest income (1) |   | $ | (166 | ) |   | $ | 10,169 |   |   | $ | — |   |   | $ | — |   |   | $ | 10,003 |   |
| Net interest settlements included in net interest income (2)                 |   | (78,329 | ) |   | 68,228 |   |   | 2,642 |   |   | — |   |   | (7,459 | ) |
| Net gain (loss) on derivatives and hedging activities:                       |   |   |   |   |   |   |   |   |   |   |
| Gain (loss) on fair value hedges                                             |   | 576 |   |   | (767 | ) |   | 450 |   |   | — |   |   | 259 |   |
| Gain on derivatives not receiving hedge accounting                           |   | — |   |   | — |   |   | — |   |   | 3,758 |   |   | 3,758 |   |
| Total net realized gain (loss) on derivatives and hedging activities         |   | 576 |   |   | (767 | ) |   | 450 |   |   | 3,758 |   |   | 4,017 |   |
| Total net effect of derivatives and hedging activities                       |   | $ | (77,919 | ) |   | $ | 77,630 |   |   | $ | 3,092 |   |   | $ | 3,758 |   |   | $ | 6,561 |   |

|     |
|-----|
|     |  |
| (1) | Represents the amortization/accretion of hedging fair value adjustments for both open and closed hedge positions. |
| (2) | Represents interest income/expense on derivatives included in net interest income. |

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|                                                                       |
|-----------------------------------------------------------------------|
|                                                                       |  |  |  |  |  |  |  |  |  |  |  |
|                                                                  |   | For the Three Months Ended March 31, |
| Other (Loss) Income                                                   |   | 2011 |   | 2010 |   | Percent Increase/(Decrease) |
| (in thousands, except percentages)                                    |   |   |   |   |   |   |
| Service fees                                                          |   | $ | 625 |   |   | $ | 673 |   |   | (7.1 | ) |
| Net OTTI loss recognized in income                                    |   | (22,740 | ) |   | (19,640 | ) |   | 15.8 |   |
| Net gain on derivatives and hedging activities                        |   | 8,289 |   |   | 4,017 |   |   | 106.3 |   |
| Net realized loss on early extinguishment of consolidated obligations |   | (900 | ) |   | (3,916 | ) |   | (77.0 | ) |
| Other, net                                                            |   | — |   |   | 2 |   |   | (100.0 | ) |
| Total other loss                                                      |   | $ | (14,726 | ) |   | $ | (18,864 | ) |   | (21.9 | ) |

|                                                                             |
|-----------------------------------------------------------------------------|
|                                                                             |  |  |  |  |  |  |  |  |
|                                                                        |   | For the Three Months Ended March 31, |
| Net Gain on Derivatives and Hedging Activities                              |   | 2011 |   | 2010 |
| (in thousands)                                                              |   |   |   |   |
| Derivatives and hedged items in fair value hedging relationships:           |   |   |   |   |
| Interest-rate swaps                                                         |   | $ | 6,865 |   |   | $ | 259 |   |
| Total net gain related to fair value hedge ineffectiveness                  |   | 6,865 |   |   | 259 |   |
| Derivatives not designated as hedging instruments:                          |   |   |   |   |
| Economic hedges:                                                            |   |   |   |   |
| Interest-rate swaps                                                         |   | 9 |   |   | (11 | ) |
| Interest-rate caps or floors                                                |   | — |   |   | (46 | ) |
| Net interest settlements                                                    |   | 1,415 |   |   | 3,815 |   |
| Total net gain related to derivatives not designated as hedging instruments |   | 1,424 |   |   | 3,758 |   |
| Net gain on derivatives and hedging activities                              |   | $ | 8,289 |   |   | $ | 4,017 |   |

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|                                       |
|---------------------------------------|
|                                       |  |  |  |  |  |  |  |  |
|                                  |   | For the Three Months Ended March 31, |
| Consolidated Obligations Called       |   | 2011 |   | 2010 |
| (in thousands, except interest rates) |   |   |   |   |
| Consolidated obligations called:      |   |   |   |   |
| Par value                             |   | $ | 5,890,000 |   |   | $ | 4,571,000 |   |
| Weighted-average interest rate        |   | 0.73 | % |   | 2.18 | % |

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|                                    |
|------------------------------------|
|                                    |  |  |  |  |  |  |  |  |  |  |  |
|                               |   | For the Three Months Ended March 31, |
| Other Expense                      |   | 2011 |   | 2010 |   | Percent Increase/(Decrease) |
| (in thousands, except percentages) |   |   |   |   |   |   |
| Operating expenses:                |   |   |   |   |   |   |
| Compensation and benefits          |   | $ | 6,671 |   |   | $ | 7,587 |   |   | (12.1 | ) |
| Occupancy cost                     |   | 1,184 |   |   | 1,289 |   |   | (8.1 | ) |
| Other operating                    |   | 7,302 |   |   | 4,519 |   |   | 61.6 |   |
| Finance Agency                     |   | 1,820 |   |   | 681 |   |   | 167.3 |   |
| Office of Finance                  |   | 840 |   |   | 644 |   |   | 30.4 |   |
| Other                              |   | 89 |   |   | 96 |   |   | (7.3 | ) |
| Total other expense                |   | $ | 17,906 |   |   | $ | 14,816 |   |   | 20.9 |   |

|                                    |
|------------------------------------|
|                                    |  |  |  |  |  |  |  |  |  |  |
|                               |   | For the Three Months Ended March 31, |
| AHP and REFCORP Assessments        |   | 2011 |   | 2010 |   | Percent Increase/(Decrease) |
| (in thousands, except percentages) |   |   |   |   |   |   |
| AHP                                |   | $ | — |   |   | $ | 674 |   |   | N/A |
| REFCORP                            |   | — |   |   | 1,517 |   |   | N/A |
| Total assessments                  |   | $ | — |   |   | $ | 2,191 |   |   | N/A |

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

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

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

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

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|                                                    |
|----------------------------------------------------|
|                                                    |  |  |  |  |  |  |
|                                               |   | As of |   | As of |
| Primary Risk Measures                              |   | March 31, 2011 |   | December 31, 2010 |
| Effective duration of equity                       |   | 1.12 |   |   | 1.25 |   |
| Effective convexity of equity                      |   | (2.28 | ) |   | (1.84 | ) |
| Effective key-rate-duration-of-equity mismatch     |   | 1.29 |   |   | 1.50 |   |
| Market value-of-equity sensitivity                 |   |   |   |   |   |   |
| + 100 basis point shock scenario (in percentages)  |   | (2.17 | )% |   | (2.08 | )% |
| -  100 basis point shock scenario (in percentages) |   | (0.27 | )% |   | 0.00 |  % |

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|                                                       |
|-------------------------------------------------------|
|                                                       |  |  |  |  |  |  |  |  |
|                                                  |   | As of |   | As of |   | Risk Measure |
| Basis and Mortgage Portfolio Risk Measures and Limits |   | March 31, 2011 |   | December 31, 2010 |   | Limit |
| Effective duration of equity                          |   | (0.30 | ) |   | (0.43 | ) |   | +/-5.00 |
| Effective convexity of equity                         |   | (2.38 | ) |   | (2.29 | ) |   | +/-5.00 |
| Effective key-rate-duration-of-equity mismatch        |   | 0.70 |   |   | 0.86 |   |   | +/-3.50 |
| Market value-of-equity sensitivity                    |   |   |   |   |   |   |   |   |
| + 100 basis point shock scenario                      |   | (0.84 | )% |   | (0.66 | )% |   | +/-4.50% |
| -  100 basis point shock scenario                     |   | (1.09 | )% |   | (1.12 | )% |   | +/-4.50% |

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|         |                                                                 |
|---------|-----------------------------------------------------------------|
| • | Achieve and maintain certain financial and operational metrics; |

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|         |                                                                                                                                                                                                                          |
|---------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| ▪ | Remediate certain concerns regarding our oversight and management, asset quality, capital adequacy and retained earnings, risk management, compensation practices, examination findings, and information technology; and |

|         |                                                                           |
|---------|---------------------------------------------------------------------------|
| • | Return to a safe and sound condition as determined by the Finance Agency. |

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|             |
|-------------|
|             |  |  |
| Exhibit No. |   | Exhibits |
|        |   |   |
| 31.1        |   | Certification of the President and Chief Executive Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. |
| 31.2        |   | Certification of the Chief Accounting and Administrative Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. |
| 32.1        |   | Certification of the President and Chief Executive Officer pursuant to 18.U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. |
| 32.2        |   | Certification of the Chief Accounting and Administrative Officer pursuant to 18.U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. |
| 99.1        |   | Joint Capital Enhancement Agreement entered into by each of the Federal Home Loan Banks, effective as of February 28, 2011 (incorporated by reference to Exhibit 99.1 to the Form 8-K filed with the SEC on March 1, 2011). |

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|        |
|--------|
|        |  |  |  |  |
| By:    | /s/ Steven R. Horton |   | Dated: | May 12, 2011 |
|   | Steven R. Horton |   |   |   |
|   | Acting President and Chief Executive Officer |   |   |   |
|   | (Principal Executive Officer) |   |   |   |
|   |   |   |   |   |
| By:    | /s/ Christina J. Gehrke |   | Dated: | May 12, 2011 |
|   | Christina J. Gehrke |   |   |   |
|   | Senior Vice President, Chief Accounting and Administrative Officer |   |   |   |
|   | (Principal Accounting Officer *) |   |   |   |

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

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|             |
|-------------|
|             |  |  |
| Exhibit No. |   | Exhibits |
|        |   |   |
| 31.1        |   | Certification of the President and Chief Executive Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. |
| 31.2        |   | Certification of the Chief Accounting and Administrative Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. |
| 32.1        |   | Certification of the President and Chief Executive Officer pursuant to 18.U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. |
| 32.2        |   | Certification of the Chief Accounting and Administrative Officer pursuant to 18.U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. |
| 99.1        |   | Joint Capital Enhancement Agreement entered into by each of the Federal Home Loan Banks, effective as of February 28, 2011 (incorporated by reference to Exhibit 99.1 to the Form 8-K filed with the SEC on March 1, 2011). |