----

----

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

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

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

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

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

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

----

----

----

|               |                                                                                                              |        |
|---------------|--------------------------------------------------------------------------------------------------------------|--------|
|          |                                                                                                         |   |
|          |                                                                                                         | Page   |
| PART I.  | FINANCIAL INFORMATION                                                                                        |   |
| Item 1.  | Financial Statements:                                                                                        |   |
|          | Statements of Condition — As of September 30, 2010 and December 31, 2009 (unaudited)                   | 3      |
|          | Statements of Operations — For the Three and Nine Months Ended September 30, 2010 and 2009 (unaudited) | 4      |
|          | Statements of Capital — For the Nine Months Ended September 30, 2010 and 2009 (unaudited)              | 5      |
|          | Statements of Cash Flows — For the Nine Months Ended September 30, 2010 and 2009 (unaudited)           | 6      |
|          | Condensed Notes to Financial Statements (unaudited)                                                          | 8      |
| Item 2.  | Management's Discussion and Analysis of Financial Condition and Results of Operations                        | 43     |
| Item 3.  | Quantitative and Qualitative Disclosures About Market Risk                                                   | 91     |
| Item 4.  | Controls and Procedures                                                                                      | 94     |
|          |                                                                                                         |   |
| PART II. | OTHER INFORMATION                                                                                            |   |
| Item 1.  | Legal Proceedings                                                                                            | 95     |
| Item 1A. | Risk Factors                                                                                                 | 96     |
| Item 2.  | Unregistered Sales of Equity Securities and Use of Proceeds                                                  | 98     |
| Item 3.  | Defaults Upon Senior Securities                                                                              | 98     |
| Item 4.  | Reserved                                                                                                     | 98     |
| Item 5.  | Other Information                                                                                            | 98     |
| Item 6.  | Exhibits                                                                                                     | 99     |
|          |                                                                                                         |
| SIGNATURES    | 100                                                                                                          |

----

Table of Contents

|                                                                                                                                                            |        |                         |            |                        |            |        |            |        |
|------------------------------------------------------------------------------------------------------------------------------------------------------------|--------|-------------------------|------------|------------------------|------------|--------|------------|--------|
|                                                                                                                                                       |   | As of                   |       | As of                  |
|                                                                                                                                                       |   | September 30, 2010 |       | December 31, 2009 |
| (in thousands, except par value)                                                                                                                           |   |                    |       |                   |
| Assets                                                                                                                                                     |   |                    |       |                   |
| Cash and due from banks                                                                                                                                    |   | $                       | 1,163      |                   |       | $      | 731,430    |   |
| Deposits with other Federal Home Loan Banks (FHLBanks)                                                                                                     |   | 52                      |       |                   | 32         |   |
| Securities purchased under agreements to resell                                                                                                            |   | 8,750,000               |       |                   | 3,500,000  |   |
| Federal funds sold                                                                                                                                         |   | 3,212,380               |       |                   | 10,051,000 |   |
| Investment securities:                                                                                                                                     |   |                    |       |                   |
| Available-for-sale securities (Note 2)                                                                                                                     |   | 11,778,740              |       |                   | 976,870    |   |
| Held-to-maturity securities (fair values of $6,993,454 and $8,884,890 as of September 30, 2010 and December 31, 2009) (Note 3)                             |   | 7,056,194               |       |                   | 9,288,906  |   |
| Total investment securities                                                                                                                                |   | 18,834,934              |       |                   | 10,265,776 |   |
| Advances (Note 5)                                                                                                                                          |   | 15,413,951              |       |                   | 22,257,026 |   |
| Mortgage loans held for portfolio, net (includes $1,794 and $626 of allowance for credit losses as of September 30, 2010 and December 31, 2009) (Note 6)   |   | 3,543,858               |       |                   | 4,106,195  |   |
| Accrued interest receivable                                                                                                                                |   | 97,481                  |       |                   | 123,586    |   |
| Premises, software, and equipment, net                                                                                                                     |   | 14,548                  |       |                   | 14,836     |   |
| Derivative assets (Note 7)                                                                                                                                 |   | 10,539                  |       |                   | 3,649      |   |
| Other assets                                                                                                                                               |   | 35,120                  |       |                   | 40,953     |   |
| Total Assets                                                                                                                                               |   | $                       | 49,914,026 |                   |       | $      | 51,094,483 |   |
| Liabilities                                                                                                                                                |   |                    |       |                   |       |   |
| Deposits:                                                                                                                                                  |   |                    |       |                   |       |   |
| Interest-bearing                                                                                                                                           |   | $                       | 330,582    |                   |       | $      | 339,800    |   |
| Total deposits                                                                                                                                             |   | 330,582                 |       |                   | 339,800    |   |
| Consolidated obligations, net (Note 8):                                                                                                                    |   |                    |       |                   |       |   |
| Discount notes                                                                                                                                             |   | 14,014,461              |       |                   | 18,501,642 |   |
| Bonds                                                                                                                                                      |   | 32,961,274              |       |                   | 29,762,229 |   |
| Total consolidated obligations, net                                                                                                                        |   | 46,975,735              |       |                   | 48,263,871 |   |
| Mandatorily redeemable capital stock (Note 9)                                                                                                              |   | 1,004,270               |       |                   | 946,527    |   |
| Accrued interest payable                                                                                                                                   |   | 126,354                 |       |                   | 207,842    |   |
| Affordable Housing Program (AHP) payable                                                                                                                   |   | 7,370                   |       |                   | 8,628      |   |
| Derivative liabilities (Note 7)                                                                                                                            |   | 237,251                 |       |                   | 300,030    |   |
| Other liabilities                                                                                                                                          |   | 131,857                 |       |                   | 34,037     |   |
| Total liabilities                                                                                                                                          |   | 48,813,419              |       |                   | 50,100,735 |   |
| Commitments and contingencies (Note 13)                                                                                                                    |   |                    |       |                   |       |   |
| Capital (Note 9)                                                                                                                                           |   |                    |       |                   |       |   |
| Capital stock:                                                                                                                                             |   |                    |       |                   |       |   |
| Class B capital stock putable ($100 par value) - issued and outstanding shares: 16,676 and 17,171 shares as of September 30, 2010 and December 31, 2009    |   | 1,667,635               |       |                   | 1,717,149  |   |
| Class A capital stock putable ($100 par value) - issued and outstanding shares: 1,265 and 1,325 shares as of September 30, 2010 and December 31, 2009 |   | 126,454                 |       |                   | 132,518    |   |
| Total capital stock                                                                                                                                        |   | 1,794,089               |       |                   | 1,849,667  |   |
| Retained earnings                                                                                                                                          |   | 76,835                  |       |                   | 52,897     |   |
| Accumulated other comprehensive loss (Note 9)                                                                                                              |   | (770,317                | )          |                   | (908,816   | )      |
| Total capital                                                                                                                                              |   | 1,100,607               |       |                   | 993,748    |   |
| Total Liabilities and Capital                                                                                                                              |   | $                       | 49,914,026 |                   |       | $      | 51,094,483 |   |

----

Table of Contents

|                                                                       |        |                            |        |                           |          |        |         |          |        |        |            |        |        |   |          |        |
|-----------------------------------------------------------------------|--------|----------------------------|--------|---------------------------|----------|--------|---------|----------|--------|--------|------------|--------|--------|---|----------|--------|
|                                                                  |   | For the Three Months Ended |   | For the Nine Months Ended |
|                                                                  |   | September 30,              |   | September 30,             |
|                                                                  |   | 2010                       |   | 2009                      |     | 2010   |    | 2009     |
| (in thousands)                                                        |   |                       |   |                      |     |   |    |     |
| Interest Income                                                       |   |                       |   |                      |     |   |    |     |
| Advances                                                              |   | $                          | 43,708 |                      |     | $      | 74,354  |     |   | $      | 133,473    |   |   | $ | 358,858  |   |
| Prepayment fees on advances, net                                      |   | 725                        |   |                      | 1,869    |   |    | 13,671   |   |   | 7,502      |   |
| Interest-bearing deposits                                             |   | 19                         |   |                      | 24       |   |    | 53       |   |   | 203        |   |
| Securities purchased under agreements to resell                       |   | 5,179                      |   |                      | 1,808    |   |    | 9,133    |   |   | 6,564      |   |
| Federal funds sold                                                    |   | 2,524                      |   |                      | 1,965    |   |    | 10,448   |   |   | 4,813      |   |
| Available-for-sale securities                                         |   | 9,134                      |   |                      | —  |   |    | 20,501   |   |   | —    |   |
| Held-to-maturity securities                                           |   | 33,797                     |   |                      | 50,472   |   |    | 117,987  |   |   | 162,693    |   |
| Mortgage loans held for portfolio                                     |   | 47,177                     |   |                      | 53,382   |   |    | 143,568  |   |   | 180,799    |   |
| Loans to other FHLBanks                                               |   | 1                          |   |                      | —  |   |    | 2        |   |   | —    |   |
| Total interest income                                                 |   | 142,264                    |   |                      | 183,874  |   |    | 448,836  |   |   | 721,432    |   |
| Interest Expense                                                      |   |                       |   |                      |     |   |    |     |   |   |       |
| Consolidated obligations - discount notes                             |   | 6,700                      |   |                      | 9,826    |   |    | 16,802   |   |   | 63,224     |   |
| Consolidated obligations - bonds                                      |   | 93,614                     |   |                      | 125,992  |   |    | 298,566  |   |   | 486,982    |   |
| Deposits                                                              |   | 78                         |   |                      | 158      |   |    | 183      |   |   | 885        |   |
| Securities sold under agreements to repurchase                        |   | 1                          |   |                      | —  |   |    | 1        |   |   | —    |   |
| Total interest expense                                                |   | 100,393                    |   |                      | 135,976  |   |    | 315,552  |   |   | 551,091    |   |
| Net Interest Income                                                   |   | 41,871                     |   |                      | 47,898   |   |    | 133,284  |   |   | 170,341    |   |
| Provision for credit losses                                           |   | —                    |   |                      | 14       |   |    | 1,168    |   |   | 271        |   |
| Net Interest Income after Provision for Credit Losses                 |   | 41,871                     |   |                      | 47,884   |   |    | 132,116  |   |   | 170,070    |   |
| Other (Loss) Income                                                   |   |                       |   |                      |     |   |    |     |   |   |       |
| Total other-than-temporary impairment (OTTI) losses (Note 4)          |   | (62,276                    | )      |                      | (84,979  | )      |    | (207,512 | )      |   | (1,240,173 | )      |
| Portion of OTTI losses recognized in other comprehensive loss         |   | 46,656                     |   |                      | (45,121  | )      |    | 125,446  |   |   | 976,654    |   |
| Net OTTI credit loss recognized in income                             |   | (15,620                    | )      |                      | (130,100 | )      |    | (82,066  | )      |   | (263,519   | )      |
| Net gain (loss) on derivatives and hedging activities                 |   | 8,145                      |   |                      | 2,553    |   |    | 35,287   |   |   | (8,413     | )      |
| Net realized loss on early extinguishment of consolidated obligations |   | (5,879                     | )      |                      | (301     | )      |    | (11,712  | )      |   | (5,268     | )      |
| Service fees                                                          |   | 708                        |   |                      | 845      |   |    | 2,103    |   |   | 1,989      |   |
| Other, net                                                            |   | 5                          |   |                      | (15      | )      |    | 4        |   |   | 2          |   |
| Total other loss                                                      |   | (12,641                    | )      |                      | (127,018 | )      |    | (56,384  | )      |   | (275,209   | )      |
| Other Expense                                                         |   |                       |   |                      |     |   |    |     |   |   |       |
| Operating:                                                            |   |                       |   |                      |     |   |    |     |   |   |       |
| Compensation and benefits                                             |   | 6,212                      |   |                      | 8,579    |   |    | 21,637   |   |   | 22,173     |   |
| Other operating                                                       |   | 8,552                      |   |                      | 5,026    |   |    | 21,452   |   |   | 13,762     |   |
| Federal Housing Finance Agency                                        |   | 610                        |   |                      | 446      |   |    | 1,902    |   |   | 1,389      |   |
| Office of Finance                                                     |   | 588                        |   |                      | 494      |   |    | 1,746    |   |   | 1,430      |   |
| Other, net                                                            |   | 106                        |   |                      | 127      |   |    | (3,587   | )      |   | 407        |   |
| Total other expense                                                   |   | 16,068                     |   |                      | 14,672   |   |    | 43,150   |   |   | 39,161     |   |
| Income (Loss) before Assessments                                      |   | 13,162                     |   |                      | (93,806  | )      |    | 32,582   |   |   | (144,300   | )      |
| Assessments                                                           |   |                       |   |                      |     |   |    |     |   |   |       |
| AHP                                                                   |   | 1,074                      |   |                      | —  |   |    | 2,659    |   |   | —    |   |
| Resolution Funding Corporation (REFCORP)                              |   | 2,418                      |   |                      | —  |   |    | 5,985    |   |   | 33         |   |
| Total assessments                                                     |   | 3,492                      |   |                      | —  |   |    | 8,644    |   |   | 33         |   |
| Net Income (Loss)                                                     |   | $                          | 9,670  |                      |     | $      | (93,806 | )        |   | $      | 23,938     |   |   | $ | (144,333 | )      |

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Table of Contents

|                                                                      |        |                         |           |                         |         |                                         |           |                                            |        |               |         |        |           |          |        |        |          |        |        |          |          |   |        |   |           |        |
|----------------------------------------------------------------------|--------|-------------------------|-----------|-------------------------|---------|-----------------------------------------|-----------|--------------------------------------------|--------|---------------|---------|--------|-----------|----------|--------|--------|----------|--------|--------|----------|----------|---|--------|---|-----------|--------|
| For the Nine Months Ended September 30, 2010 and 2009                |   | Class A Capital Stock * |      | Class B Capital Stock * |    | Retained Earnings (Accumulated Deficit) |      | AccumulatedOther Comprehensive Loss (AOCL) |   | Total Capital |
|                                                                 | Shares |                    | Par Value |                    | Shares  |                                    | Par Value |                                       |   |          |
| (amounts and shares in thousands)                                    |   |                    |      |                    |    |                                    |      |                                       |   |          |    |   |      |     |
| Balance, December 31, 2008                                           |   | 1,179                   |      |                    | $       | 117,853                                 |      |                                       | 17,302 |          |    | $      | 1,730,287 |     |   | $      | (78,876  | )      |   | $        | (2,939   | ) |   | $ | 1,766,325 |   |
| Cumulative-effect adjustment (Note 9)                                |   | —                 |      |                    | — |                                    |      | —                                    |   |          | — |   |      | 293,415  |   |   | (293,415 | )      |   | —  |     |
| Proceeds from sale of capital stock                                  |   | 195                     |      |                    | 19,535  |                                    |      | 100                                        |   |          | 10,012  |   |      | —  |   |   | —  |   |   | 29,547   |     |
| Net shares reclassified to mandatorily redeemable capital stock      |   | (28                     | )         |                    | (2,825  | )                                       |      | (221                                       | )      |          | (22,125 | )      |      | —  |   |   | —  |   |   | (24,950  | )        |
| Comprehensive loss:                                                  |   |                    |      |                    |    |                                    |      |                                       |   |          |    |   |      |     |   |   |     |   |   |     |     |
| Net loss                                                             |   | —                 |      |                    | — |                                    |      | —                                    |   |          | — |   |      | (144,333 | )      |   | —  |   |   | (144,333 | )        |
| Other comprehensive loss (Note 9)                                    |   | —                 |      |                    | — |                                    |      | —                                    |   |          | — |   |      | —  |   |   | (699,176 | )      |   | (699,176 | )        |
| Total comprehensive loss                                             |   |                    |      |                    |    |                                    |      |                                       |   |          |    |   |      |     |   |   |     |   |   | (843,509 | )        |
| Balance, September 30, 2009                                          |   | 1,346                   |      |                    | $       | 134,563                                 |      |                                       | 17,181 |          |    | $      | 1,718,174 |     |   | $      | 70,206   |   |   | $        | (995,530 | ) |   | $ | 927,413   |   |
| 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                                  |   | —                 |      |                    | — |                                    |      | 22                                         |   |          | 2,165   |   |      | —  |   |   | —  |   |   | 2,165    |     |
| Net shares reclassified to mandatorily redeemable capital stock |   | (60                     | )         |                    | (6,064  | )                                       |      | (517                                       | )      |          | (51,679 | )      |      | —  |   |   | —  |   |   | (57,743  | )        |
| Comprehensive income:                                                |   |                    |      |                    |    |                                    |      |                                       |   |          |    |   |      |     |   |   |     |   |   |     |     |
| Net income                                                           |   | —                 |      |                    | — |                                    |      | —                                    |   |          | — |   |      | 23,938   |   |   | —  |   |   | 23,938   |     |
| Other comprehensive income (Note 9)                                  |   | —                 |      |                    | — |                                    |      | —                                    |   |          | — |   |      | —  |   |   | 138,499  |   |   | 138,499  |     |
| Total comprehensive income                                           |   |                    |      |                    |    |                                    |      |                                       |   |          |    |   |      |     |   |   |     |   |   | 162,437  |     |
| Balance, September 30, 2010                                          |   | 1,265                   |      |                    | $       | 126,454                                 |      |                                       | 16,676 |          |    | $      | 1,667,635 |     |   | $      | 76,835   |   |   | $        | (770,317 | ) |   | $ | 1,100,607 |   |

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

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Table of Contents

|                                                                                                    |        |                           |        |        |             |        |          |   |
|----------------------------------------------------------------------------------------------------|--------|---------------------------|--------|--------|-------------|--------|----------|---|
|                                                                                               |   | For the Nine Months Ended |
|                                                                                               |   | September 30,             |
|                                                                                               |   | 2010                      |   | 2009   |
| (in thousands)                                                                                     |   |                      |   |   |
| Operating Activities                                                                               |   |                      |   |   |
| Net income (loss)                                                                                  |   | $                         | 23,938 |   |        | $      | (144,333 | ) |
| Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |   |                      |   |   |        |   |
| Depreciation and amortization                                                                      |   | (68,999                   | )      |   | (121,399    | )      |
| Net OTTI credit loss recognized in income                                                          |   | 82,066                    |   |   | 263,519     |   |
| Change in net fair value adjustment on derivatives and hedging activities                          |   | 37,841                    |   |   | (24,385     | )      |
| Loss on early extinguishment of consolidated obligations                                           |   | 11,712                    |   |   | 5,269       |   |
| Provision for credit losses                                                                        |   | 1,168                     |   |   | 271         |   |
| Other                                                                                              |   | 2                         |   |   | 14          |   |
| Net change in:                                                                                     |   |                      |   |   |        |   |
| Accrued interest receivable                                                                        |   | 26,100                    |   |   | 131,067     |   |
| Other assets                                                                                       |   | (555                      | )      |   | (941        | )      |
| Accrued interest payable                                                                           |   | (81,486                   | )      |   | (140,580    | )      |
| Other liabilities                                                                                  |   | 9,254                     |   |   | (9,263      | )      |
| Total adjustments                                                                                  |   | 17,103                    |   |   | 103,572     |   |
| Net cash provided by (used in) operating activities                                                |   | 41,041                    |   |   | (40,761     | )      |
| Investing Activities                                                                               |   |                      |   |   |        |   |
| Net change in:                                                                                     |   |                      |   |   |        |   |
| Interest-bearing deposits                                                                          |   | (230                      | )      |   | 32,311      |   |
| Deposits with other FHLBanks                                                                       |   | (20                       | )      |   | (72         | )      |
| Securities purchased under agreements to resell                                                    |   | (5,250,000                | )      |   | (850,000    | )      |
| Federal funds sold                                                                                 |   | 6,838,620                 |   |   | (3,542,000  | )      |
| Premises, software and equipment                                                                   |   | (1,739                    | )      |   | (3,723      | )      |
| Available-for-sale securities:                                                                     |   |                      |   |   |        |   |
| Proceeds from long-term                                                                            |   | 390,405                   |   |   | —     |   |
| Purchases of long-term                                                                             |   | (10,536,813               | )      |   | —     |   |
| Held-to-maturity securities:                                                                       |   |                      |   |   |        |
| Net increase (decrease) in short-term                                                              |   | 1,233,019                 |   |   | (5,353,000  | )      |
| Proceeds from maturities of long-term                                                              |   | 1,520,247                 |   |   | 1,748,028   |   |
| Purchases of long-term                                                                             |   | (1,002,231                | )      |   | (1,670,845  | )      |
| Advances:                                                                                          |   |                      |   |   |        |
| Proceeds                                                                                           |   | 25,477,453                |   |   | 49,869,976  |   |
| Made                                                                                               |   | (18,517,631               | )      |   | (38,009,029 | )      |
| Mortgage loans held for portfolio:                                                                 |   |                      |   |   |        |
| Principal collected                                                                                |   | 554,245                   |   |   | 790,806     |   |
| Net cash provided by investing activities                                                          |   | 705,325                   |   |   | 3,012,452   |   |

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Table of Contents

|                                                                                    |        |                           |         |        |              |        |         |        |
|------------------------------------------------------------------------------------|--------|---------------------------|---------|--------|--------------|--------|---------|--------|
|                                                                               |   | For the Nine Months Ended |
|                                                                               |   | September 30,             |
|                                                                               |   | 2010                      |    | 2009   |
| (in thousands)                                                                     |   |                      |    |   |
| Financing Activities                                                               |   |                      |    |   |
| Net change in:                                                                     |   |                      |    |   |
| Deposits                                                                           |   | 6,072                     |    |   | (281,392     | )      |
| Net proceeds on derivative contracts with financing elements                       |   | 82,873                    |    |   | —      |   |
| Net proceeds from issuance of consolidated obligations:                            |   |                      |    |   |         |
| Discount notes                                                                     |   | 730,432,336               |    |   | 780,550,600  |   |
| Bonds                                                                              |   | 36,654,783                |    |   | 18,875,945   |   |
| Payments for maturing and retiring consolidated obligations:                       |   |                      |    |   |         |
| Discount notes                                                                     |   | (734,871,062              | )       |   | (774,645,157 | )      |
| Bonds                                                                              |   | (33,783,800               | )       |   | (27,493,087  | )      |
| Proceeds from issuance of capital stock                                            |   | 2,165                     |    |   | 29,547       |   |
| Payments for redemption of mandatorily redeemable capital stock                    |   | —                   |    |   | (669         | )      |
| Net cash used in financing activities                                              |   | (1,476,633                | )       |   | (2,964,213   | )      |
| Net (decrease) increase in cash and cash equivalents                               |   | (730,267                  | )       |   | 7,478        |   |
| Cash and cash equivalents at beginning of the period                               |   | 731,430                   |    |   | 1,395        |   |
| Cash and cash equivalents at end of the period                                     |   | $                         | 1,163   |   |         | $      | 8,873   |   |
|                                                                               |   |                      |    |   |         |   |
| Supplemental Disclosures                                                           |   |                      |    |   |         |   |
| Interest paid                                                                      |   | $                         | 397,040 |   |         | $      | 691,673 |   |
| AHP payments, net                                                                  |   | $                         | 3,918   |   |         | $      | 6,113   |   |
| Transfers from mortgage loans to real estate owned                                 |   | $                         | 1,868   |   |         | $      | 1,438   |   |
| Non-cash transfers of held-to-maturity securities to available-for-sale securities |   | $                         | 319,978 |   |         | $      | 664,728 |   |

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|                                                                  |        |                          |            |                                      |            |                      |            |                       |        |            |         |        |        |           |        |   |        |   |            |        |
|------------------------------------------------------------------|--------|--------------------------|------------|--------------------------------------|------------|----------------------|------------|-----------------------|--------|------------|---------|--------|--------|-----------|--------|---|--------|---|------------|--------|
|                                                             |   | As of September 30, 2010 |
| AFS Securities                                                   |   | AmortizedCost Basis (1)  |       | OTTI Charges Recognized in AOCL |       | GrossUnrealizedGains |       | GrossUnrealizedLosses |   | Fair Value |
| (in thousands)                                                   |   |                     |       |                                 |       |                 |       |                  |   |       |
| Government-sponsored enterprise (GSE) obligations (2)       |   | $                        | 4,120,836  |                                 |       | $                    | —    |                  |   | $          | 7,014   |   |   | $         | (446   | ) |   | $ | 4,127,404  |   |
| Temporary Liquidity Guarantee Program (TLGP) securities (3) |   | 6,268,104                |       |                                 | —    |                 |       | 17,486                |   |       | (440    | )      |   | 6,285,150 |   |
| Residential Mortgage-Backed Securities (MBS):                    |   |                     |       |                                 |       |                 |       |                  |   |       |    |   |   |
| PLMBS                                                            |   | 1,996,310                |       |                                 | (1,087,879 | )                    |       | 457,755               |   |       | — |   |   | 1,366,186 |   |
| Total                                                            |   | $                        | 12,385,250 |                                 |       | $                    | (1,087,879 | )                     |   | $          | 482,255 |   |   | $         | (886   | ) |   | $ | 11,778,740 |   |

|                  |        |                         |           |                                      |        |                      |          |                       |        |            |         |        |        |   |         |        |        |   |         |        |
|------------------|--------|-------------------------|-----------|--------------------------------------|--------|----------------------|----------|-----------------------|--------|------------|---------|--------|--------|---|---------|--------|--------|---|---------|--------|
|             |   | As of December 31, 2009 |
| AFS Securities   |   | AmortizedCost Basis (1) |      | OTTI Charges Recognized in AOCL |   | GrossUnrealizedGains |     | GrossUnrealizedLosses |   | Fair Value |
| (in thousands)   |   |                    |      |                                 |   |                 |     |                  |   |       |
| Residential MBS: |   |                    |      |                                 |   |                 |     |                  |   |       |    |   |   |
| PLMBS            |   | $                       | 1,673,296 |                                 |   | $                    | (928,895 | )                     |   | $          | 232,469 |   |   | $ | — |   |   | $ | 976,870 |   |
| Total            |   | $                       | 1,673,296 |                                 |   | $                    | (928,895 | )                     |   | $          | 232,469 |   |   | $ | — |   |   | $ | 976,870 |   |

|     |                                                                                                                                                                                                                     |
|-----|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | Includes unpaid principal balance, accretable discounts and premiums, and OTTI charges recognized in earnings.                                                                                                      |
| (2) | Consists of obligations issued by Federal Farm Credit Bank (FFCB), Federal Home Loan Mortgage Corporation (Freddie Mac), Federal National Mortgage Association, (Fannie Mae), and Tennessee Valley Authority (TVA). |
| (3) | Consists of notes guaranteed by the Federal Deposit Insurance Corporation (FDIC) under the TLGP.                                                                                                                    |

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|                                              |        |                      |         |                                 |         |                                  |          |            |        |                      |         |                                 |        |                                  |         |            |          |        |           |         |        |        |          |        |        |   |         |        |        |   |         |        |
|----------------------------------------------|--------|----------------------|---------|---------------------------------|---------|----------------------------------|----------|------------|--------|----------------------|---------|---------------------------------|--------|----------------------------------|---------|------------|----------|--------|-----------|---------|--------|--------|----------|--------|--------|---|---------|--------|--------|---|---------|--------|
|                                         |   | 2010                 |    | 2009                            |
| 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 on:                              |   |                 |    |                            |    |                             |     |       |   |                 |    |                            |   |                             |    |       |
| March 31                                     |   | $                    | 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 |                            |   | 1,248,485                        |    |       | (692,000 | )      |      | 108,243 |   |   | 664,728  |   |
| Total                                        |   | $                    | 547,756 |                            |    | $                                | (227,778 | )          |   | $                    | 14,147  |                            |   | $                                | 334,125 |       |     | $      | 1,248,485 |    |   | $      | (692,000 | )      |   | $ | 108,243 |   |   | $ | 664,728 |   |

|                                             |        |                          |           |                   |         |            |        |                  |        |            |           |                  |        |           |          |        |          |        |           |        |        |   |          |   |
|---------------------------------------------|--------|--------------------------|-----------|-------------------|---------|------------|--------|------------------|--------|------------|-----------|------------------|--------|-----------|----------|--------|----------|--------|-----------|--------|--------|---|----------|---|
|                                        |   | As of September 30, 2010 |
|                                        |   | Less than 12 months      |      | 12 months or more |    | Total      |
| AFS Securities in Unrealized Loss Positions |   | Fair Value               |      | UnrealizedLosses  |    | Fair Value |   | UnrealizedLosses |   | Fair Value |      | UnrealizedLosses |
| (in thousands)                              |   |                     |      |              |    |       |   |             |   |       |      |             |
| GSE obligations                             |   | $                        | 820,325   |              |    | $          | (446   | )                |   | $          | —   |             |   | $         | —  |   |     | $      | 820,325   |   |   | $ | (446     | ) |
| TLGP securities                             |   | 792,962                  |      |              | (440    | )          |   | —          |   |       | —   |             |   | 792,962   |     |   | (440     | )      |
| Residential MBS:                            |   |                     |      |              |    |       |   |             |   |       |      |             |   |      |     |   |     |   |
| PLMBS                                       |   | —                  |      |              | — |       |   | 1,366,186        |   |       | (630,124  | )                |   | 1,366,186 |     |   | (630,124 | )      |
| Total                                       |   | $                        | 1,613,287 |              |    | $          | (886   | )                |   | $          | 1,366,186 |             |   | $         | (630,124 | )      |     | $      | 2,979,473 |   |   | $ | (631,010 | ) |

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

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|                                       |        |                          |            |                         |            |                     |            |            |        |        |           |        |        |   |         |        |
|---------------------------------------|--------|--------------------------|------------|-------------------------|------------|---------------------|------------|------------|--------|--------|-----------|--------|--------|---|---------|--------|
|                                  |   | As of September 30, 2010 |       | As of December 31, 2009 |
| Year of Maturity                      |   | AmortizedCost Basis      |       | Fair Value              |       | AmortizedCost Basis |       | Fair Value |
| (in thousands)                        |   |                     |       |                    |       |                |       |       |
| Non-MBS:                              |   |                     |       |                    |       |                |       |       |
| Due in less than one year             |   | $                        | 840,822    |                    |       | $                   | 840,819    |       |   | $      | —   |   |   | $ | — |   |
| Due after one year through five years |   | 9,511,056                |       |                    | 9,531,109  |                |       | —    |   |   | —   |   |
| Due after 10 years                    |   | 37,062                   |       |                    | 40,626     |                |       | —    |   |   | —   |   |
| Subtotal                              |   | 10,388,940               |       |                    | 10,412,554 |                |       | —    |   |   | —   |   |
| MBS                                   |   | 1,996,310                |       |                    | 1,366,186  |                |       | 1,673,296  |   |   | 976,870   |   |
| Total                                 |   | $                        | 12,385,250 |                    |       | $                   | 11,778,740 |       |   | $      | 1,673,296 |   |   | $ | 976,870 |   |

|                                           |        |                              |           |                                        |          |               |          |                                    |        |                                     |           |            |        |          |         |        |           |        |          |        |        |   |           |        |
|-------------------------------------------|--------|------------------------------|-----------|----------------------------------------|----------|---------------|----------|------------------------------------|--------|-------------------------------------|-----------|------------|--------|----------|---------|--------|-----------|--------|----------|--------|--------|---|-----------|--------|
|                                      |   | As of September 30, 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)               |   | $                            | 1,670,000 |                                   |     | $             | —  |                               |   | $                                   | 1,670,000 |       |   | $        | 83      |   |      | $      | —  |   |   | $ | 1,670,083 |   |
| Other U.S. agency obligations (5)         |   | 39,515                       |      |                                   | —  |          |     | 39,515                             |   |                                | 544       |       |   | (12      | )       |   | 40,047    |   |
| GSE obligations (6)                  |   | 389,141                      |      |                                   | —  |          |     | 389,141                            |   |                                | 45,103    |       |   | —  |    |   | 434,244   |   |
| State or local housing agency obligations |   | 3,735                        |      |                                   | —  |          |     | 3,735                              |   |                                | —   |       |   | —  |    |   | 3,735     |   |
| Subtotal                                  |   | 2,102,391                    |      |                                   | —  |          |     | 2,102,391                          |   |                                | 45,730    |       |   | (12      | )       |   | 2,148,109 |   |
| Residential MBS:                          |   |                         |      |                                   |     |          |     |                               |   |                                |      |       |   |     |    |   |      |   |
| Other U.S. agency (5)                     |   | 185,013                      |      |                                   | —  |          |     | 185,013                            |   |                                | 173       |       |   | —  |    |   | 185,186   |   |
| GSEs (6)                             |   | 3,229,306                    |      |                                   | —  |          |     | 3,229,306                          |   |                                | 47,199    |       |   | (1,849   | )       |   | 3,274,656 |   |
| PLMBS                                     |   | 1,680,353                    |      |                                   | (140,869 | )             |     | 1,539,484                          |   |                                | 11,044    |       |   | (165,025 | )       |   | 1,385,503 |   |
| Subtotal                                  |   | 5,094,672                    |      |                                   | (140,869 | )             |     | 4,953,803                          |   |                                | 58,416    |       |   | (166,874 | )       |   | 4,845,345 |   |
| Total                                     |   | $                            | 7,197,063 |                                   |     | $             | (140,869 | )                                  |   | $                                   | 7,056,194 |       |   | $        | 104,146 |   |      | $      | (166,886 | )      |   | $ | 6,993,454 |   |

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

|     |                                                                                                                                                                       |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | Includes unpaid principal balance, accretable discounts and premiums, and OTTI charges recognized in earnings.                                                        |
| (2) | See Note 9 for a reconciliation of the AOCL related to HTM securities as of September 30, 2010 and 2009.                                                              |
| (3) | Represent the difference between fair value and carrying value, while gross unrealized gains (losses) represent the difference between fair value and amortized cost. |
| (4) | Consists of certificates of deposit that meet the definition of a debt security.                                                                                      |
| (5) | Primarily consists of Government National Mortgage Association (Ginnie Mae) and Small Business Association (SBA) investments.                                         |
| (6) | Primarily consists of securities issued by Freddie Mac, Fannie Mae, and TVA.                                                                                          |

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|                                             |        |                          |         |                         |         |            |        |                         |        |            |          |                         |        |           |          |        |          |        |           |        |        |   |          |   |
|---------------------------------------------|--------|--------------------------|---------|-------------------------|---------|------------|--------|-------------------------|--------|------------|----------|-------------------------|--------|-----------|----------|--------|----------|--------|-----------|--------|--------|---|----------|---|
|                                        |   | As of September 30, 2010 |
|                                        |   | Less than 12 months      |    | 12 months or more       |    | Total      |
| HTM Securities in Unrealized Loss Positions |   | Fair Value               |    | Gross Unrealized Losses |    | Fair Value |   | Gross Unrealized Losses |   | Fair Value |     | Gross Unrealized Losses |
| (in thousands)                              |   |                     |    |                    |    |       |   |                    |   |       |     |                    |
| Other U.S. agency obligations               |   | $                        | 2,225   |                    |    | $          | (11    | )                       |   | $          | 342      |                    |   | $         | (1       | )      |     | $      | 2,567     |   |   | $ | (12      | ) |
| Subtotal                                    |   | 2,225                    |    |                    | (11     | )          |   | 342                     |   |       | (1       | )                       |   | 2,567     |     |   | (12      | )      |
| Residential MBS:                            |   |                     |    |                    |    |       |   |                    |   |       |     |                    |   |      |     |   |     |   |
| Other U.S. agency                           |   | 2                        |    |                    | — |       |   | —                 |   |       | —  |                    |   | 2         |     |   | —  |   |
| GSEs                                        |   | 413,128                  |    |                    | (1,849  | )          |   | —                 |   |       | —  |                    |   | 413,128   |     |   | (1,849   | )      |
| Temporarily impaired PLMBS                  |   | 31,660                   |    |                    | (45     | )          |   | 679,678                 |   |       | (164,800 | )                       |   | 711,338   |     |   | (164,845 | )      |
| OTTI PLMBS                                  |   | —                  |    |                    | — |       |   | 182,370                 |   |       | (141,049 | )                       |   | 182,370   |     |   | (141,049 | )      |
| Subtotal                                    |   | 444,790                  |    |                    | (1,894  | )          |   | 862,048                 |   |       | (305,849 | )                       |   | 1,306,838 |     |   | (307,743 | )      |
| Total                                       |   | $                        | 447,015 |                    |    | $          | (1,905 | )                       |   | $          | 862,390  |                    |   | $         | (305,850 | )      |     | $      | 1,309,405 |   |   | $ | (307,755 | ) |

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

|                                       |        |                          |           |                         |           |            |           |                     |        |               |           |            |        |           |           |        |           |        |           |        |        |   |           |        |
|---------------------------------------|--------|--------------------------|-----------|-------------------------|-----------|------------|-----------|---------------------|--------|---------------|-----------|------------|--------|-----------|-----------|--------|-----------|--------|-----------|--------|--------|---|-----------|--------|
|                                  |   | As of September 30, 2010 |      | As of December 31, 2009 |
| Year of Maturity                      |   | AmortizedCost Basis      |      | CarryingValue           |      | Fair Value |      | AmortizedCost Basis |   | CarryingValue |      | Fair Value |
| (in thousands)                        |   |                     |      |                    |      |       |      |                |   |          |      |       |
| Non-MBS:                              |   |                     |      |                    |      |       |      |                |   |          |      |       |
| Due in one year or less               |   | $                        | 1,679,122 |                    |      | $          | 1,679,122 |                |   | $             | 1,679,403 |       |   | $         | 3,110,275 |   |      | $      | 3,110,275 |   |   | $ | 3,113,427 |   |
| Due after one year through five years |   | 389,141                  |      |                    | 389,141   |       |      | 434,244             |   |          | 405,104   |       |   | 405,104   |      |   | 450,565   |   |
| Due after five years through 10 years |   | 12,357                   |      |                    | 12,357    |       |      | 12,459              |   |          | 13,221    |       |   | 13,221    |      |   | 13,364    |   |
| Due after 10 years                    |   | 21,771                   |      |                    | 21,771    |       |      | 22,003              |   |          | 23,594    |       |   | 23,594    |      |   | 23,840    |   |
| Subtotal                              |   | 2,102,391                |      |                    | 2,102,391 |       |      | 2,148,109           |   |          | 3,552,194 |       |   | 3,552,194 |      |   | 3,601,196 |   |
| MBS                                   |   | 5,094,672                |      |                    | 4,953,803 |       |      | 4,845,345           |   |          | 5,946,004 |       |   | 5,736,712 |      |   | 5,283,694 |   |
| Total                                 |   | $                        | 7,197,063 |                    |      | $          | 7,056,194 |                |   | $             | 6,993,454 |       |   | $         | 9,498,198 |   |      | $      | 9,288,906 |   |   | $ | 8,884,890 |   |

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|                                                    |        |                            |                           |                       |         |                   |        |               |        |                       |        |                   |        |         |        |        |        |        |         |        |        |   |         |        |
|----------------------------------------------------|--------|----------------------------|---------------------------|-----------------------|---------|-------------------|--------|---------------|--------|-----------------------|--------|-------------------|--------|---------|--------|--------|--------|--------|---------|--------|--------|---|---------|--------|
|                                               |   | For the Three Months Ended | For the Nine Months Ended |
|                                               |   | September 30, 2010         |                      | September 30, 2010    |
| OTTI PLMBS                                         |   | Credit Losses              |                      | Net Non-Credit Losses |    | Total OTTI Losses |   | Credit Losses |   | Net Non-Credit Losses |   | Total OTTI Losses |
| (in thousands)                                     |   |                       |                      |                  |    |              |   |          |   |                  |   |              |
| PLMBS newly identified as OTTI in the period noted |   | $                          | 92                        |                  |    | $                 | 62,184 |          |   | $                     | 62,276 |              |   | $       | 5,643  |   |   | $      | 191,895 |   |   | $ | 197,538 |   |
| PLMBS identified as OTTI in prior periods          |   | 15,528                     |                      |                  | (15,528 | )                 |   | —       |   |                  | 76,423 |              |   | (66,449 | )      |   | 9,974  |   |
| Total                                              |   | $                          | 15,620                    |                  |    | $                 | 46,656 |          |   | $                     | 62,276 |              |   | $       | 82,066 |   |   | $      | 125,446 |   |   | $ | 207,512 |   |

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|                                                    |        |                            |                           |                       |          |                   |         |               |        |                       |        |                   |        |         |         |        |        |        |         |        |        |   |           |        |
|----------------------------------------------------|--------|----------------------------|---------------------------|-----------------------|----------|-------------------|---------|---------------|--------|-----------------------|--------|-------------------|--------|---------|---------|--------|--------|--------|---------|--------|--------|---|-----------|--------|
|                                               |   | For the Three Months Ended | For the Nine Months Ended |
|                                               |   | September 30, 2009         |                      | September 30, 2009    |
| OTTI PLMBS                                         |   | Credit Losses              |                      | Net Non-Credit Losses |     | Total OTTI Losses |    | Credit Losses |   | Net Non-Credit Losses |   | Total OTTI Losses |
| (in thousands)                                     |   |                       |                      |                  |     |              |    |          |   |                  |   |              |
| PLMBS newly identified as OTTI in the period noted |   | $                          | 2,511                     |                  |     | $                 | 79,920  |          |   | $                     | 82,431 |              |   | $       | 171,561 |   |   | $      | 989,954 |   |   | $ | 1,161,515 |   |
| PLMBS identified as OTTI in prior periods          |   | 127,589                    |                      |                  | (125,041 | )                 |    | 2,548         |   |                  | 91,958 |              |   | (13,300 | )       |   | 78,658 |   |
| Total                                              |   | $                          | 130,100                   |                  |     | $                 | (45,121 | )             |   | $                     | 84,979 |              |   | $       | 263,519 |   |   | $      | 976,654 |   |   | $ | 1,240,173 |   |

|                        |        |                                                                                              |        |                            |        |                    |        |                           |        |                    |        |           |        |                    |        |           |
|------------------------|--------|----------------------------------------------------------------------------------------------|--------|----------------------------|--------|--------------------|--------|---------------------------|--------|--------------------|--------|-----------|--------|--------------------|--------|-----------|
|                   |   | Significant Inputs Used to Measure Credit Loss for the Three Months Ended September 30, 2010 |   |                       |   |               |
|                   |   | Cumulative VoluntaryPrepayment Rates *                                                       |   | Cumulative Default Rates * |   | Loss Severities    |   | CurrentCredit Enhancement |
| Year of Securitization |   | Weighted Average %                                                                           |   | Range %                    |   | Weighted Average % |   | Range %                   |   | Weighted Average % |   | Range %   |   | Weighted Average % |   | Range %   |
| Alt-A:                 |   |                                                                                         |   |                       |   |               |   |                      |   |               |   |      |   |               |   |      |
| 2008                   |   | 9.2                                                                                          |   | 8.2-10.4                   |   | 57.6               |   | 51.8-63.0                 |   | 47.4               |   | 45.0-50.5 |   | 36.9               |   | 27.5-41.8 |
| 2007                   |   | 7.1                                                                                          |   | 4.2-15.7                   |   | 78.9               |   | 35.6-89.7                 |   | 52.3               |   | 44.7-59.5 |   | 35.6               |   | 5.7-44.7  |
| 2006                   |   | 5.2                                                                                          |   | 3.6-6.4                    |   | 86.0               |   | 76.7-90.1                 |   | 52.9               |   | 44.4-61.6 |   | 41.4               |   | 35.8-47.2 |
| 2005                   |   | 8.0                                                                                          |   | 6.6-10.4                   |   | 69.7               |   | 49.4-78.4                 |   | 46.3               |   | 32.6-54.0 |   | 29.9               |   | 0-49.7    |
| Total                  |   | 6.8                                                                                          |   | 3.6-15.7                   |   | 78.4               |   | 35.6-90.1                 |   | 51.7               |   | 32.6-61.6 |   | 37.3               |   | 0-49.7    |

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

|                 |        |                          |         |                      |        |                    |         |            |        |                          |         |                      |        |            |         |        |        |   |           |        |        |   |           |        |        |   |           |        |
|-----------------|--------|--------------------------|---------|----------------------|--------|--------------------|---------|------------|--------|--------------------------|---------|----------------------|--------|------------|---------|--------|--------|---|-----------|--------|--------|---|-----------|--------|--------|---|-----------|--------|
|            |   | As of September 30, 2010 |
|            |   | HTM Securities           |    | AFS Securities       |
| OTTI Securities |   | 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) |   | $                        | 320,876 |                 |   | $                  | 319,005 |       |   | $                        | 178,136 |                 |   | $          | 182,370 |   |   | $ | 2,395,397 |   |   | $ | 1,996,310 |   |   | $ | 1,366,186 |   |
| Total           |   | $                        | 320,876 |                 |   | $                  | 319,005 |       |   | $                        | 178,136 |                 |   | $          | 182,370 |   |   | $ | 2,395,397 |   |   | $ | 1,996,310 |   |   | $ | 1,366,186 |   |

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|                 |        |                          |         |                      |        |                         |         |            |        |                          |         |                      |        |            |         |        |        |   |           |        |        |   |           |        |        |   |         |        |
|-----------------|--------|--------------------------|---------|----------------------|--------|-------------------------|---------|------------|--------|--------------------------|---------|----------------------|--------|------------|---------|--------|--------|---|-----------|--------|--------|---|-----------|--------|--------|---|---------|--------|
|            |   | As of December 31, 2009  |
|            |   | HTM Securities           |    | AFS Securities       |
| OTTI Securities |   | 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) |   | $                        | 500,023 |                 |   | $                       | 492,852 |       |   | $                        | 283,559 |                 |   | $          | 289,781 |   |   | $ | 1,987,934 |   |   | $ | 1,673,296 |   |   | $ | 976,870 |   |
| Total           |   | $                        | 500,023 |                 |   | $                       | 492,852 |       |   | $                        | 283,559 |                 |   | $          | 289,781 |   |   | $ | 1,987,934 |   |   | $ | 1,673,296 |   |   | $ | 976,870 |   |

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

|                                                                                                                                                               |        |                            |         |                           |         |        |         |        |        |        |         |        |        |   |         |        |           |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------|--------|----------------------------|---------|---------------------------|---------|--------|---------|--------|--------|--------|---------|--------|--------|---|---------|--------|-----------|
|                                                                                                                                                          |   | For the Three Months Ended |    | For the Nine Months Ended |    |
|                                                                                                                                                          |   | September 30,              |    | September 30,             |    |
| Credit Loss Component of OTTI                                                                                                                                 |   | 2010                       |    | 2009                      |    | 2010   |    | 2009   |   |
| (in thousands)                                                                                                                                                |   |                       |    |                      |    |   |    |   |   |
| Balance, beginning of period                                                                                                                                  |   | $                          | 385,226 |                      |    | $      | 142,112 |   |   | $      | 319,113 |   |   | $ | 8,693   |   | (1)  |
| Additions:                                                                                                                                                    |   |                       |    |                      |    |   |    |   |   |   |    |
| Credit losses on securities for which OTTI was not previously recognized                                                                                      |   | 92                         |    |                      | 2,511   |   |    | 5,643  |   |   | 171,561 |   |   |
| Additional OTTI credit losses on securities for which an OTTI loss was previously recognized (2)                                                         |   | 15,528                     |    |                      | 127,589 |   |    | 76,423 |   |   | 91,958  |   |   |
| Total additional credit losses recognized in period noted                                                                                                     |   | 15,620                     |    |                      | 130,100 |   |    | 82,066 |   |   | 263,519 |   |   |
| 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) |   | (605                       | )       |                      | — |   |    | (938   | )      |   | — |   |   |
| Balance, end of period                                                                                                                                        |   | $                          | 400,241 |                      |    | $      | 272,212 |   |   | $      | 400,241 |   |   | $ | 272,212 |   |      |

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

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|                                                      |        |                          |            |                                |        |        |            |                                |            |        |        |        |        |
|------------------------------------------------------|--------|--------------------------|------------|--------------------------------|--------|--------|------------|--------------------------------|------------|--------|--------|--------|--------|
|                                                 |   | As of September 30, 2010 |       | As of December 31, 2009        |
| Term-to-Maturity and Weighted-Average Interest Rates |   | Amount                   |       | Weighted-Average Interest Rate |   | Amount |       | Weighted-Average Interest Rate |
| (in thousands, except interest rates)                |   |                     |       |                           |   |   |       |                           |
| Due in one year or less                              |   | $                        | 4,617,172  |                           |   | 1.62   |       | $                              | 12,268,149 |   |   | 1.75   |   |
| Due after one year through two years                 |   | 4,947,532                |       |                           | 1.61   |   | 2,893,358  |                           |       | 2.67   |   |
| Due after two years through three years              |   | 1,421,473                |       |                           | 3.03   |   | 1,850,076  |                           |       | 3.03   |   |
| Due after three years through four years             |   | 454,756                  |       |                           | 3.04   |   | 1,395,149  |                           |       | 3.11   |   |
| Due after four years through five years              |   | 706,536                  |       |                           | 3.39   |   | 293,629    |                           |       | 3.73   |   |
| Thereafter                                           |   | 2,768,067                |       |                           | 4.39   |   | 3,177,515  |                           |       | 4.35   |   |
| Total par value                                      |   | 14,915,536               |       |                           | 2.39   |   | 21,877,876 |                           |       | 2.47   |   |
| Commitment fees                                      |   | (591                     | )          |                           |   |   | (650       | )                              |       |   |   |
| Discount on AHP advances                             |   | (10                      | )          |                           |   |   | (70        | )                              |       |   |   |
| Discount on advances                                 |   | (2,440                   | )          |                           |   |   | (5,840     | )                              |       |   |   |
| Hedging adjustments                                  |   | 501,456                  |       |                           |   |   | 385,710    |                           |       |   |   |
| Total                                                |   | $                        | 15,413,951 |                           |   |   |       | $                              | 22,257,026 |   |   |   |   |

|                                        |        |                                   |            |                                       |        |                                   |            |                                       |            |        |        |       |
|----------------------------------------|--------|-----------------------------------|------------|---------------------------------------|--------|-----------------------------------|------------|---------------------------------------|------------|--------|--------|-------|
|                                   |   | As of September 30, 2010          |       | As of December 31, 2009               |
| Advances Outstanding by Type           |   | Par Value of Advances Outstanding |       | Percent of Total Advances Outstanding |   | Par Value of Advances Outstanding |       | Percent of Total Advances Outstanding |
| (in thousands, except percentages)     |   |                              |       |                                  |   |                              |       |                                  |
| Variable Interest-Rate Advances:       |   |                              |       |                                  |   |                              |       |                                  |
| Cash management advances               |   | $                                 | 60,790     |                                  |   | 0.4                               |       | $                                     | 105,256    |   |   | 0.5   |
| Adjustable-rate advances               |   | 1,530,236                         |       |                                  | 10.3   |                              | 2,125,236  |                                  |       | 9.7    |
| Fixed Interest-Rate Advances:          |   |                              |       |                                  |   |                              |       |                                  |       |
| Fixed interest-rate advances           |   | 8,926,151                         |       |                                  | 59.8   |                              | 14,302,515 |                                  |       | 65.4   |
| Amortizing advances                    |   | 525,450                           |       |                                  | 3.5    |                              | 636,459    |                                  |       | 2.9    |
| Structured Advances:                   |   |                              |       |                                  |   |                              |       |                                  |       |
| Putable advances                       |   | 3,472,909                         |       |                                  | 23.3   |                              | 4,318,410  |                                  |       | 19.7   |
| Capped floater advances                |   | 30,000                            |       |                                  | 0.2    |                              | 20,000     |                                  |       | 0.1    |
| Floating-to-fixed convertible advances |   | 370,000                           |       |                                  | 2.5    |                              | 370,000    |                                  |       | 1.7    |
| Total par value                        |   | $                                 | 14,915,536 |                                  |   | 100.0                             |       | $                                     | 21,877,876 |   |   | 100.0 |

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|                                                                       |        |                         |           |                        |           |        |           |        |
|-----------------------------------------------------------------------|--------|-------------------------|-----------|------------------------|-----------|--------|-----------|--------|
|                                                                  |   | As of                   |      | As of                  |
| Mortgage Loans Held for Portfolio, Net                                |   | September 30, 2010 |      | December 31, 2009 |
| (in thousands)                                                        |   |                    |      |                   |
| Real Estate:                                                          |   |                    |      |                   |
| Fixed interest-rate, medium-term*, single-family                      |   | $                       | 448,639   |                   |      | $      | 558,390   |   |
| Fixed interest-rate, long-term*, single-family                        |   | 3,095,006               |      |                   | 3,541,618 |   |
| Total loan principal                                                  |   | 3,543,645               |      |                   | 4,100,008 |   |
| Premiums                                                              |   | 19,013                  |      |                   | 37,068    |   |
| Discounts                                                             |   | (17,006                 | )         |                   | (30,255   | )      |
| Mortgage loans held for portfolio, before allowance for credit losses |   | 3,545,652               |      |                   | 4,106,821 |   |
| Less: Allowance for credit losses on mortgage loans                   |   | 1,794                   |      |                   | 626       |   |
| Total mortgage loans held for portfolio, net                          |   | $                       | 3,543,858 |                   |      | $      | 4,106,195 |   |

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

|                                                |        |                         |           |                        |           |        |           |        |
|------------------------------------------------|--------|-------------------------|-----------|------------------------|-----------|--------|-----------|--------|
|                                           |   | As of                   |      | As of                  |
| Principal of Mortgage Loans Held for Portfolio |   | September 30, 2010 |      | December 31, 2009 |
| (in thousands)                                 |   |                    |      |                   |
| Government-guaranteed/insured                  |   | $                       | 153,470   |                   |      | $      | 172,966   |   |
| Conventional                                   |   | 3,390,175               |      |                   | 3,927,042 |   |
| Total loan principal                           |   | $                       | 3,543,645 |                   |      | $      | 4,100,008 |   |

|                                               |        |                            |        |                           |        |        |        |        |        |        |       |        |        |   |         |        |
|-----------------------------------------------|--------|----------------------------|--------|---------------------------|--------|--------|--------|--------|--------|--------|-------|--------|--------|---|---------|--------|
|                                          |   | For the Three Months Ended |   | For the Nine Months Ended |
|                                          |   | September 30,              |   | September 30,             |
| Allowance for Credit Losses on Mortgage Loans |   | 2010                       |   | 2009                      |   | 2010   |   | 2009   |
| (in thousands)                                |   |                       |   |                      |   |   |   |   |
| Balance at beginning of period                |   | $                          | 1,794  |                      |   | $      | 257    |   |   | $      | 626   |   |   | $ | — |   |
| Provision for credit losses                   |   | —                    |   |                      | 14     |   |   | 1,168  |   |   | 271   |   |
| Balance at end of period                      |   | $                          | 1,794  |                      |   | $      | 271    |   |   | $      | 1,794 |   |   | $ | 271     |   |

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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. |

|                                |                      |
|--------------------------------|----------------------|
| •     | interest-rate swaps; |

|                                |                |
|--------------------------------|----------------|
| •     | swaptions; and |

|                                |                                |
|--------------------------------|--------------------------------|
| •     | interest-rate caps and floors. |

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|                                                                                        |        |                          |            |                   |         |                        |          |         |         |        |         |        |
|----------------------------------------------------------------------------------------|--------|--------------------------|------------|-------------------|---------|------------------------|----------|---------|---------|--------|---------|--------|
|                                                                                   |   | As of September 30, 2010 |
|  Fair Value of Derivative Instruments                                             |   | Notional Amount          |       | Derivative Assets |    | Derivative Liabilities |
|  (in thousands)                                                                   |   |                     |       |              |    |                   |
| Derivatives designated as hedging instruments:                                         |   |                     |       |              |    |                   |
| Interest-rate swaps                                                                    |   | $                        | 36,513,549 |              |    | $                      | 383,972  |    |    | $      | 647,306 |   |
| Interest-rate caps or floors                                                           |   | 20,000                   |       |              | 171     |                   |     | — |    |
| Total derivatives designated as hedging instruments                                    |   | 36,533,549               |       |              | 384,143 |                   |     | 647,306 |    |
| Derivatives not designated as hedging instruments:                                     |   |                     |       |              |    |                   |     |    |    |
| Interest-rate swaps                                                                    |   | 201,500                  |       |              | 1,447   |                   |     | 1,077   |    |
| Interest-rate caps or floors                                                           |   | 200,000                  |       |              | — |                   |     | — |    |
| Total derivatives not designated as hedging instruments                                |   | 401,500                  |       |              | 1,447   |                   |     | 1,077   |    |
| Total derivatives before netting and collateral adjustments:                           |   | $                        | 36,935,049 |              |    | 385,590                |     |    | 648,383 |   |
| Netting adjustments (1)                                                           |   |                     |       | (351,477          | )       |                   | (351,477 | )       |
| Cash collateral and related accrued interest                                           |   |                     |       | (23,574           | )       |                   | (59,655  | )       |
| Total netting and collateral adjustments                                               |   |                     |       | (375,051          | )       |                   | (411,132 | )       |
| Derivative assets and derivative liabilities as reported on the statement of condition |   |                     |       | $                 | 10,539  |                   |     | $       | 237,251 |   |

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

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

|                                                                             |        |                           |        |                     |        |        |        |         |        |        |        |        |        |   |        |   |
|-----------------------------------------------------------------------------|--------|---------------------------|--------|---------------------|--------|--------|--------|---------|--------|--------|--------|--------|--------|---|--------|---|
|                                                                        |   | For the Three Months      |   | For the Nine Months |
|                                                                        |   |  Ended September 30, |   | Ended September 30, |
| Net Gain (Loss) on Derivatives and Hedging Activities                       |   | 2010                      |   | 2009                |   | 2010   |   | 2009    |
| (in thousands)                                                              |   |                      |   |                |   |   |   |    |
| Derivatives and hedged items in fair value hedging relationships:           |   |                      |   |                |   |   |   |    |
| Interest-rate swaps                                                         |   | $                         | 6,238  |                |   | $      | 1,998  |    |   | $      | 25,690 |   |   | $ | (9,278 | ) |
| Total net gain (loss) related to fair value hedge ineffectiveness      |   | 6,238                     |   |                | 1,998  |   |   | 25,690  |   |   | (9,278 | )      |
| Derivatives not designated as hedging instruments:                          |   |                      |   |                |   |   |   |    |   |   |
| Economic hedges:                                                            |   |                      |   |                |   |   |   |    |   |   |
| Interest-rate swaps                                                         |   | (2                        | )      |                | (10    | )      |   | 15      |   |   | (6     | )      |
| Interest-rate caps or floors                                                |   | —                   |   |                | (36    | )      |   | (47     | )      |   | (147   | )      |
| Net interest settlements                                                    |   | 1,909                     |   |                | 604    |   |   | 9,629   |   |   | 1,039  |   |
| Intermediary transactions:                                                  |   |                      |   |                |   |   |   |    |   |   |
| Interest-rate swaps                                                         |   | —                   |   |                | (3     | )      |   | — |   |   | (21    | )      |
| Total net gain related to derivatives not designated as hedging instruments |   | 1,907                     |   |                | 555    |   |   | 9,597   |   |   | 865    |   |
| Net gain (loss) on derivatives and hedging activities                       |   | $                         | 8,145  |                |   | $      | 2,553  |    |   | $      | 35,287 |   |   | $ | (8,413 | ) |

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Table of Contents

|                                                                                                |        |                                               |         |                             |          |                                    |         |                                                  |        |        |        |        |        |   |         |   |
|------------------------------------------------------------------------------------------------|--------|-----------------------------------------------|---------|-----------------------------|----------|------------------------------------|---------|--------------------------------------------------|--------|--------|--------|--------|--------|---|---------|---|
|                                                                                           |   | For the Three Months Ended September 30, 2010 |
| Gain (Loss) on Derivatives and on the Related Hedged Items in Fair Value Hedging Relationships |   | Gain (Loss) on Derivatives                    |    | (Loss) Gain on Hedged Items |     | Net Hedge Ineffectiveness (1) |    | Effect of Derivatives on Net Interest Income (2) |
| (in thousands)                                                                                 |   |                                          |    |                        |     |                               |    |                                             |
| Advances                                                                                       |   | $                                             | (30,168 | )                           |     | $                                  | 31,377  |                                             |   | $      | 1,209  |   |   | $ | (54,706 | ) |
| AFS securities                                                                                 |   | (9,658                                        | )       |                        | 13,529   |                               |    | 3,871                                            |   |   | (7,283 | )      |
| Consolidated obligation bonds                                                                  |   | 109,766                                       |    |                        | (108,314 | )                                  |    | 1,452                                            |   |   | 56,183 |   |
| Consolidated obligation discount notes                                                         |   | 1,289                                         |    |                        | (1,583   | )                                  |    | (294                                             | )      |   | 542    |   |
| Total                                                                                          |   | $                                             | 71,229  |                        |     | $                                  | (64,991 | )                                                |   | $      | 6,238  |   |   | $ | (5,264  | ) |
|                                                                                           |   |                                          |    |                        |     |                               |    |                                             |
|                                                                                           |   | For the Three Months Ended September 30, 2009 |
| Gain (Loss) on Derivatives and on the Related Hedged Items in Fair Value Hedging Relationships |   | Gain (Loss) on Derivatives                    |    | (Loss) Gain on Hedged Items |     | Net Hedge Ineffectiveness (1) |    | Effect of Derivatives on Net Interest Income (2) |
| (in thousands)                                                                                 |   |                                          |    |                        |     |                               |    |                                             |
| Advances                                                                                       |   | $                                             | (20,488 | )                           |     | $                                  | 18,792  |                                             |   | $      | (1,696 | )      |   | $ | (89,708 | ) |
| Consolidated obligation bonds                                                                  |   | 54,897                                        |    |                        | (52,526  | )                                  |    | 2,371                                            |   |   | 64,836 |   |
| Consolidated obligation discount notes                                                         |   | (3,636                                        | )       |                        | 4,959    |                               |    | 1,323                                            |   |   | 10,065 |   |
| Total                                                                                          |   | $                                             | 30,773  |                        |     | $                                  | (28,775 | )                                                |   | $      | 1,998  |   |   | $ | (14,807 | ) |
|                                                                                           |   |                                          |    |                        |     |                               |    |                                             |

|                                                                                                |        |                                              |          |                             |          |                                    |          |                                                  |        |        |         |        |        |   |          |   |
|------------------------------------------------------------------------------------------------|--------|----------------------------------------------|----------|-----------------------------|----------|------------------------------------|----------|--------------------------------------------------|--------|--------|---------|--------|--------|---|----------|---|
|                                                                                           |   | For the Nine Months Ended September 30, 2010 |
| Gain (Loss) on Derivatives and on the Related Hedged Items in Fair Value Hedging Relationships |   | Gain (Loss) on Derivatives                   |     | (Loss) Gain on Hedged Items |     | Net Hedge Ineffectiveness (1) |     | Effect of Derivatives on Net Interest Income (2) |
| (in thousands)                                                                                 |   |                                         |     |                        |     |                               |     |                                             |
| Advances                                                                                       |   | $                                            | (61,236  | )                           |     | $                                  | 59,839   |                                             |   | $      | (1,397  | )      |   | $ | (196,299 | ) |
| AFS securities                                                                                 |   | (15,924                                      | )        |                        | 20,022   |                               |     | 4,098                                            |   |   | (8,775  | )      |
| Consolidated obligation bonds                                                                  |   | 350,285                                      |     |                        | (327,379 | )                                  |     | 22,906                                           |   |   | 193,525 |   |
| Consolidated obligation discount notes                                                         |   | (1,267                                       | )        |                        | 1,350    |                               |     | 83                                               |   |   | 3,234   |   |
| Total                                                                                          |   | $                                            | 271,858  |                        |     | $                                  | (246,168 | )                                                |   | $      | 25,690  |   |   | $ | (8,315   | ) |
|                                                                                           |   |                                         |     |                        |     |                               |     |                                             |
|                                                                                           |   | For the Nine Months Ended September 30, 2009 |
| (Loss) Gain on Derivatives and on the Related Hedged Items in Fair Value Hedging Relationships |   | (Loss) on Derivatives                        |     | Gain on Hedged Items        |     | Net Hedge Ineffectiveness (1) |     | Effect of Derivatives on Net Interest Income (2) |
| (in thousands)                                                                                 |   |                                         |     |                        |     |                               |     |                                             |
| Advances                                                                                       |   | $                                            | (10,560  | )                           |     | $                                  | 4,847    |                                             |   | $      | (5,713  | )      |   | $ | (217,953 | ) |
| Consolidated obligation bonds                                                                  |   | (213,529                                     | )        |                        | 207,445  |                               |     | (6,084                                           | )      |   | 181,597 |   |
| Consolidated obligation discount notes                                                         |   | (562                                         | )        |                        | 3,081    |                               |     | 2,519                                            |   |   | 19,016  |   |
| Total                                                                                          |   | $                                            | (224,651 | )                           |     | $                                  | 215,373  |                                             |   | $      | (9,278  | )      |   | $ | (17,340  | ) |

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

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|                                        |        |            |            |           |        |                                 |            |        |        |      |        |
|----------------------------------------|--------|------------|------------|-----------|--------|---------------------------------|------------|--------|--------|------|--------|
| Consolidated Obligation Discount Notes |   | Book Value |       | Par Value |   | Weighted-Average Interest Rate* |
| (in thousands, except interest rates)  |   |       |       |      |   |                            |
| As of September 30, 2010               |   | $          | 14,014,461 |      |   | $                               | 14,015,895 |   |   | 0.14 |   |
| As of December 31, 2009                |   | $          | 18,501,642 |      |   | $                               | 18,502,949 |   |   | 0.23 |   |

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

|                                                     |        |                          |            |                                |        |        |            |                                |            |        |        |        |
|-----------------------------------------------------|--------|--------------------------|------------|--------------------------------|--------|--------|------------|--------------------------------|------------|--------|--------|--------|
|                                                |   | As of September 30, 2010 |       | As of December 31, 2009        |
| Term-to-Maturity and Weighted-Average Interest Rate |   | Amount                   |       | Weighted-Average Interest Rate |   | Amount |       | Weighted-Average Interest Rate |
| (in thousands, except interest rates)               |   |                     |       |                           |   |   |       |                           |
| Due in one year or less                             |   | $                        | 13,451,245 |                           |   | 0.71   |       | $                              | 11,264,000 |   |   | 1.12   |
| Due after one year through two years                |   | 5,327,550                |       |                           | 1.53   |   | 3,656,595  |                           |       | 1.81   |
| Due after two years through three years             |   | 3,332,000                |       |                           | 2.56   |   | 4,894,000  |                           |       | 2.55   |
| Due after three years through four years            |   | 2,702,500                |       |                           | 3.05   |   | 2,772,000  |                           |       | 3.10   |
| Due after four years through five years             |   | 3,100,500                |       |                           | 1.72   |   | 2,297,500  |                           |       | 3.74   |
| Thereafter                                          |   | 4,649,770                |       |                           | 4.29   |   | 4,794,270  |                           |       | 5.01   |
| Total par value                                     |   | 32,563,565               |       |                           | 1.84   |   | 29,678,365 |                           |       | 2.46   |
| Premiums                                            |   | 9,412                    |       |                           |   |   | 11,388     |                           |       |   |
| Discounts                                           |   | (21,630                  | )          |                           |   |   | (25,095    | )                              |       |   |
| Hedging adjustments                                 |   | 409,927                  |       |                           |   |   | 97,571     |                           |       |   |
| Total                                               |   | $                        | 32,961,274 |                           |   |   |       | $                              | 29,762,229 |   |   |   |

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|                                          |        |                          |         |                                 |        |           |         |                                 |        |   |           |        |        |   |         |   |
|------------------------------------------|--------|--------------------------|---------|---------------------------------|--------|-----------|---------|---------------------------------|--------|---|-----------|--------|--------|---|---------|---|
|                                     |   | As of September 30, 2010 |    | As of December 31, 2009         |
| Other FHLBanks' Consolidated Obligations |   | Par Value                |    | Original Net Premium (Discount) |   | Par Value |    | Original Net Premium (Discount) |
| (in thousands)                           |   |                     |    |                            |   |      |    |                            |
| Transfers In:                            |   |                     |    |                            |   |      |    |                            |
| FHLBank of Chicago                       |   | $                        | 993,000 |                            |   | $         | (18,572 | )                               |   | $ | 1,014,000 |   |   | $ | (18,462 | ) |
| Total                                    |   | $                        | 993,000 |                            |   | $         | (18,572 | )                               |   | $ | 1,014,000 |   |   | $ | (18,462 | ) |

|                                            |        |                    |            |                   |            |        |            |        |
|--------------------------------------------|--------|--------------------|------------|-------------------|------------|--------|------------|--------|
|                                       |   | As of              |       | As of             |
| Par Value of Consolidated Obligation Bonds |   | September 30, 2010 |       | December 31, 2009 |
| (in thousands)                             |   |               |       |              |
| Non-callable                               |   | $                  | 21,341,565 |              |       | $      | 18,727,565 |   |
| Callable                                   |   | 11,222,000         |       |              | 10,950,800 |   |
| Total par value                            |   | $                  | 32,563,565 |              |       | $      | 29,678,365 |   |

|                                          |        |                         |            |                        |           |        |            |        |
|------------------------------------------|--------|-------------------------|------------|------------------------|-----------|--------|------------|--------|
|                                     |   | As of                   |       | As of                  |
| Term-to-Maturity or Next Call Date       |   | September 30, 2010 |       | December 31, 2009 |
| (in thousands)                           |   |                    |       |                   |
| Due in one year or less                  |   | $                       | 22,502,245 |                   |      | $      | 21,689,800 |   |
| Due after one year through two years     |   | 4,597,550               |       |                   | 1,875,795 |   |
| Due after two years through three years  |   | 1,892,000               |       |                   | 1,674,000 |   |
| Due after three years through four years |   | 1,077,500               |       |                   | 1,217,000 |   |
| Due after four years through five years  |   | 420,500                 |       |                   | 927,500   |   |
| Thereafter                               |   | 2,073,770               |       |                   | 2,294,270 |   |
| Total par value                          |   | $                       | 32,563,565 |                   |      | $      | 29,678,365 |   |

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|                                    |        |                          |            |                            |        |           |           |                            |            |         |        |       |        |
|------------------------------------|--------|--------------------------|------------|----------------------------|--------|-----------|-----------|----------------------------|------------|---------|--------|-------|--------|
|                               |   | As of September 30, 2010 |       | As of December 31, 2009    |
| Interest-Rate Payment Terms        |   | Par Value                |       | Percent of Total Par Value |   | Par Value |      | Percent of Total Par Value |
| (in thousands, except percentages) |   |                     |       |                       |   |      |      |                       |
| Fixed                              |   | $                        | 22,941,565 |                       |   | 70.4      |      | $                          | 23,772,365 |    |   | 80.1  |   |
| Step-up                            |   | 4,546,000                |       |                       | 14.0   |      | 4,160,000 |                       |       | 14.0    |   |
| Variable                           |   | 4,850,000                |       |                       | 14.9   |      | 1,569,000 |                       |       | 5.3     |   |
| Capped variable                    |   | 200,000                  |       |                       | 0.6    |      | —   |                       |       | — |   |
| Range                              |   | 26,000                   |       |                       | 0.1    |      | 177,000   |                       |       | 0.6     |   |
| Total par value                    |   | $                        | 32,563,565 |                       |   | 100.0     |      | $                          | 29,678,365 |    |   | 100.0 |   |

|                                                                              |        |                       |         |                       |        |   |           |        |
|------------------------------------------------------------------------------|--------|-----------------------|---------|-----------------------|--------|---|-----------|--------|
| Seattle Bank Capital Stock                                                   |   | Class A Capital Stock |    | Class B Capital Stock |
| (in thousands, except per share)                                             |   |                  |    |                  |
| Par value                                                                    |   | $100 per share        |    | $100 per share        |
| Issue, redemption, repurchase, transfer price between members                |   | $100 per share        |    | $100 per share        |
| Satisfies membership purchase requirement (pursuant to Capital Plan)         |   | No                    |    | Yes                   |
| Currently satisfies activity purchase requirement (pursuant to Capital Plan) |   | No (1)           |    | Yes                   |
| Statutory redemption period (2)                                              |   | Six months            |    | Five years            |
| Total outstanding balance                                                    |   |                  |    |                  |
| September 30, 2010                                                           |   | $                     | 158,864 |                  |   | $ | 2,639,495 |   |
| December 31, 2009                                                            |   | $                     | 158,864 |                  |   | $ | 2,637,330 |   |

|     |                                                                                                                                                                                                                                                                                                                                                                                                                                  |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | On May 12, 2009, as part of the Seattle Bank's efforts to correct its risk-based capital deficiency, the Board suspended the issuance of Class A capital stock to support new advances, effective June 1, 2009. New advances must be supported by Class B capital stock, which unlike Class A capital stock, is included in the Seattle Bank's permanent capital (against which our risk-based capital requirement is measured). |
| (2) | Generally redeemable six months (Class A capital stock) or five years (Class B capital stock) after: (1) written notice from the member; (2) consolidation or merger of a member with a non-member; or (3) withdrawal or termination of membership.                                                                                                                                                               |

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|                                   |        |                          |           |                         |        |          |           |        |        |        |           |        |        |   |           |        |
|-----------------------------------|--------|--------------------------|-----------|-------------------------|--------|----------|-----------|--------|--------|--------|-----------|--------|--------|---|-----------|--------|
|                              |   | As of September 30, 2010 |      | As of December 31, 2009 |
| Regulatory Capital Requirements   |   | Required                 |      | Actual                  |   | Required |      | Actual |
| (in thousands, except for ratios) |   |                     |      |                    |   |     |      |   |
| Risk-based capital                |   | $                        | 1,763,443 |                    |   | $        | 2,716,330 |   |   | $      | 2,158,493 |   |   | $ | 2,690,227 |   |
| Total capital-to-assets ratio     |   | 4.00                     | %         |                    | 5.76   | %        |      | 4.00   | %      |   | 5.58      | %      |
| Total regulatory capital          |   | $                        | 1,996,561 |                    |   | $        | 2,875,194 |   |   | $      | 2,043,779 |   |   | $ | 2,849,091 |   |
| Leverage capital-to-assets ratio  |   | 5.00                     | %         |                    | 8.48   | %        |      | 5.00   | %      |   | 8.21      | %      |
| Leverage capital                  |   | $                        | 2,495,701 |                    |   | $        | 4,233,359 |   |   | $      | 2,554,724 |   |   | $ | 4,194,205 |   |

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|                                |                                                                                                                                             |
|--------------------------------|---------------------------------------------------------------------------------------------------------------------------------------------|
| •     | Oversight – The Board will monitor our adherence to the Consent Order and provide related reports to the Finance Agency as requested. |

|                                |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |
|--------------------------------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| •     | Asset Improvement Program – We may not resume purchasing mortgage loans under the acquired member asset program. 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 assets, which satisfy requirements the Finance Agency may provide; and (3) collateral risk management policies, which satisfy requirements the Finance Agency may provide. |

|                                |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |
|--------------------------------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| •     | 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 capital restoration and retained earnings plans approved by the Finance Agency and prior written approval of the Finance Agency. |

|                                |                                                                                                                                                                                                                                                                                                                                                                                           |
|--------------------------------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| •     | Risk Management – Within 45 days of the Consent Order, the Board must engage an independent consultant to evaluate our credit risk management, which consultant and the scope of which engagement must be acceptable to the Finance Agency. The consultant’s report must be provided to the Board and the Finance Agency within 90 days of the consultant’s engagement. |

|                                |                                                                                                                                                                                                                                            |
|--------------------------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| •     | Senior Management – We will not take personnel action regarding compensation or make a material change to the duties and responsibilities of senior management, without consultation with and non-objection from 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. |

|                                |                                                                                                                                                                                                                                                                                                                                                                                                                  |
|--------------------------------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| •     | Compensation Practices – We will not pay executive officers any incentive-based compensation awards without the Finance Agency’s prior written approval. 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. |

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

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|                                                            |        |                          |        |                         |         |                      |         |                      |        |        |         |        |        |   |         |        |
|------------------------------------------------------------|--------|--------------------------|--------|-------------------------|---------|----------------------|---------|----------------------|--------|--------|---------|--------|--------|---|---------|--------|
|                                                       |   | As of September 30, 2010 |   | As of December 31, 2009 |
| Mandatorily Redeemable Capital Stock - Redemptions by Date |   | Class ACapital Stock     |   | Class BCapital Stock    |    | Class ACapital Stock |    | Class BCapital Stock |
| (in thousands)                                             |   |                     |   |                    |    |                 |    |                 |
| Past redemption date                                       |   | $                        | 27,043 |                    |    | $                    | 149,937 |                 |   | $      | 26,346  |   |   | $ | 62,302  |   |
| Less than one year                                         |   | 5,367                    |   |                    | 3,259   |                 |    | —              |   |   | 59,332  |   |
| One year through two years                                 |   | —                  |   |                    | 13,545  |                 |    | —              |   |   | 2,994   |   |
| Two years through three years                              |   | —                  |   |                    | 7,012   |                 |    | —              |   |   | 13,544  |   |
| Three years through four years                             |   | —                  |   |                    | 770,965 |                 |    | —              |   |   | 757,648 |   |
| Four years through five years                              |   | —                  |   |                    | 27,142  |                 |    | —              |   |   | 24,361  |   |
| Total                                                      |   | $                        | 32,410 |                    |    | $                    | 971,860 |                 |   | $      | 26,346  |   |   | $ | 920,181 |   |

|                                                      |        |                          |         |                         |        |        |         |        |
|------------------------------------------------------|--------|--------------------------|---------|-------------------------|--------|--------|---------|--------|
| Class B Capital Stock -Voluntary Redemptions by Date |   | As of September 30, 2010 |    | As of December 31, 2009 |
| (in thousands)                                       |   |                     |    |                    |
| Less than one year                                   |   | $                        | 45,295  |                    |   | $      | 65,163  |   |
| One year through two years                           |   | 65,871                   |    |                    | 11,482 |   |
| Two years through three years                        |   | 49,096                   |    |                    | 67,511 |   |
| Three years through four years                       |   | 4,280                    |    |                    | 45,897 |   |
| Four years through five years                        |   | 21,005                   |    |                    | 24,331 |   |
| Total                                                |   | $                        | 185,547 |                    |   | $      | 214,384 |   |

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|                                                                                               |        |               |        |                |            |                |          |          |        |        |            |        |        |   |          |   |
|-----------------------------------------------------------------------------------------------|--------|---------------|--------|----------------|------------|----------------|----------|----------|--------|--------|------------|--------|--------|---|----------|---|
| Accumulated Other Comprehensive Loss                                                          |   | Benefit Plans |   | HTM Securities |       | AFS Securities |     | Total    |
| (in thousands)                                                                                |   |          |   |           |       |           |     |     |
| Balance, December 31, 2008                                                                    |   | $             | (2,939 | )              |       | $              | —  |     |   | $      | —    |   |   | $ | (2,939   | ) |
| Cumulative-effect adjustment relating to new OTTI guidance                                    |   | —       |   |           | (293,415   | )              |     | —  |   |   | (293,415   | )      |
| OTTI PLMBS:                                                                                   |   |          |   |           |       |           |     |     |
| Non-credit portion of OTTI loss                                                               |   | —       |   |           | (1,160,512 | )              |     | —  |   |   | (1,160,512 | )      |
| Reclassification of non-credit portion of OTTI loss on securities transferred from HTM to AFS |   | —       |   |           | 692,000    |           |     | (692,000 | )      |   | —    |   |
| Reclassification adjustment into earnings relating to non-credit portion of OTTI loss         |   | —       |   |           | 183,858    |           |     | —  |   |   | 183,858    |   |
| Accretion of non-credit portion of OTTI loss                                                  |   | —       |   |           | 169,884    |           |     | —  |   |   | 169,884    |   |
| Subsequent unrealized changes in fair value                                                   |   | —       |   |           | —    |           |     | 108,243  |   |   | 108,243    |   |
| Pension benefits                                                                              |   | (649          | )      |           | —    |           |     | —  |   |   | (649       | )      |
| Balance, September 30, 2009                                                                   |   | $             | (3,588 | )              |       | $              | (408,185 | )        |   | $      | (583,757   | )      |   | $ | (995,530 | ) |
| Balance, December 31, 2009                                                                    |   | $             | (3,098 | )              |       | $              | (209,292 | )        |   | $      | (696,426   | )      |   | $ | (908,816 | ) |
| Non-PLMBS:                                                                                    |   |          |   |           |       |           |     |     |
| Unrealized gain on AFS securities                                                             |   | —       |   |           | —    |           |     | 3,592    |   |   | 3,592      |   |
| OTTI PLMBS:                                                                                   |   |          |   |           |       |           |     |     |   |   |       |
| Non-credit portion of OTTI loss                                                               |   | —       |   |           | (203,242   | )              |     | —  |   |   | (203,242   | )      |
| Reclassification of non-credit portion of OTTI loss on securities transferred from HTM to AFS |   | —       |   |           | 227,778    |           |     | (227,778 | )      |   | —    |   |
| Reclassification adjustment into earnings relating to non-credit portion of OTTI loss         |   | —       |   |           | 9,002      |           |     | 68,794   |   |   | 77,796     |   |
| Accretion of non-credit portion of OTTI loss                                                  |   | —       |   |           | 34,885     |           |     | —  |   |   | 34,885     |   |
| Subsequent unrealized changes in fair value                                                   |   | —       |   |           | —    |           |     | 225,286  |   |   | 225,286    |   |
| Pension benefits                                                                              |   | 182           |   |           | —    |           |     | —  |   |   | 182        |   |
| Balance, September 30, 2010                                                                   |   | $             | (2,916 | )              |       | $              | (140,869 | )        |   | $      | (626,532   | )      |   | $ | (770,317 | ) |

|                                                             |        |                            |        |                           |         |        |        |        |        |        |         |        |        |   |     |        |
|-------------------------------------------------------------|--------|----------------------------|--------|---------------------------|---------|--------|--------|--------|--------|--------|---------|--------|--------|---|-----|--------|
|                                                        |   | For the Three Months Ended |   | For the Nine Months Ended |
|                                                        |   | September 30,              |   | September 30,             |
| Net Periodic Pension Cost for Supplemental Retirement Plans |   | 2010                       |   | 2009                      |    | 2010   |   | 2009   |
| (in thousands)                                              |   |                       |   |                      |    |   |   |   |
| Service cost                                                |   | $                          | 28     |                      |    | $      | 79     |   |   | $      | 233     |   |   | $ | 239 |   |
| Interest cost                                               |   | 22                         |   |                      | 74      |   |   | 227    |   |   | 221     |   |
| Amortization of prior service cost                          |   | 61                         |   |                      | 39      |   |   | 195    |   |   | 118     |   |
| Amortization of net gain                                    |   | (72                        | )      |                      | — |   |   | (72    | )      |   | — |   |
| Total                                                       |   | $                          | 39     |                      |    | $      | 192    |   |   | $      | 583     |   |   | $ | 578 |   |

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|                                                |        |                          |            |         |         |         |         |           |        |                     |            |        |        |          |           |        |        |   |          |        |
|------------------------------------------------|--------|--------------------------|------------|---------|---------|---------|---------|-----------|--------|---------------------|------------|--------|--------|----------|-----------|--------|--------|---|----------|--------|
|                                           |   | As of September 30, 2010 |
| Recurring Fair Value Measurement               |   | Total                    |       | Level 1 |    | Level 2 |    | Level 3   |   | NettingAdjustment * |
| (in thousands)                                 |   |                     |       |    |    |    |    |      |   |                |
| AFS Securities:                                |   |                     |       |    |    |    |    |      |   |                |
| PLMBS                                          |   | $                        | 1,366,186  |    |    | $       | — |      |   | $                   | —    |   |   | $        | 1,366,186 |   |   | $ | —  |   |
| TLGP securities                                |   | 6,285,150                |       |    | — |    |    | 6,285,150 |   |                | —    |   |   | —  |      |
| GSE obligations                                |   | 4,127,404                |       |    | — |    |    | 4,127,404 |   |                | —    |   |   | —  |      |
| Derivative assets (interest-rate related)      |   | 10,539                   |       |    | — |    |    | 385,590   |   |                | —    |   |   | (375,051 | )         |
| Other assets (rabbi trust)                     |   | 3,300                    |       |    | 3,300   |    |    | —   |   |                | —    |   |   | —  |      |
| Total assets at fair value                     |   | $                        | 11,792,579 |    |    | $       | 3,300   |      |   | $                   | 10,798,144 |   |   | $        | 1,366,186 |   |   | $ | (375,051 | )      |
| Derivative liabilities (interest-rate related) |   | $                        | (237,251   | )       |    | $       | — |      |   | $                   | (648,383   | )      |   | $        | —   |   |   | $ | 411,132  |   |
| Total liabilities at fair value                |   | $                        | (237,251   | )       |    | $       | — |      |   | $                   | (648,383   | )      |   | $        | —   |   |   | $ | 411,132  |   |

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

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

|                                                               |        |                                         |           |        |         |        |         |        |
|---------------------------------------------------------------|--------|-----------------------------------------|-----------|--------|---------|--------|---------|--------|
|                                                          |   | AFS PLMBS                               |
|                                                          |   | For the Nine Months Ended September 30, |
| Fair Value Measurements Using Significant Unobservable Inputs |   | 2010                                    |      | 2009   |
| (in thousands)                                                |   |                                    |      |   |
| Balance, beginning of period                                  |   | $                                       | 976,870   |   |    | $      | — |   |
| Transfers from HTM to AFS securities (1)                 |   | 334,125                                 |      |   | 664,728 |   |
| OTTI credit loss recognized in earnings                       |   | (68,894                                 | )         |   | — |   |
| Unrealized gains or (losses) in AOCL                          |   | 279,933                                 |      |   | — |   |
| Settlements                                                   |   | (155,848                                | )         |   | — |   |
| Balance as of end of period                                   |   | $                                       | 1,366,186 |   |    | $      | 664,728 |   |

|     |                                                                                                                                                                                                                                                                                                                                                                 |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | In the nine months ended September 30, 2010 and September 30, 2009, we transferred certain PLMBS from our HTM portfolio to our AFS portfolio with a total fair value of $334.1 million and $664.7 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. |

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|                                       |        |                          |        |         |        |   |       |        |
|---------------------------------------|--------|--------------------------|--------|---------|--------|---|-------|--------|
|                                  |   | As of September 30, 2010 |
| Non-Recurring Fair Value Measurements |   | Total                    |   | Level 2 |
| (in thousands)                        |   |                     |   |    |
| Real estate owned                     |   | $                        | 1,337  |    |   | $ | 1,337 |   |
| Total assets at fair value            |   | $                        | 1,337  |    |   | $ | 1,337 |   |

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

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|                                                 |        |                          |        |                         |             |                |        |             |        |        |             |        |        |   |         |        |
|-------------------------------------------------|--------|--------------------------|--------|-------------------------|-------------|----------------|--------|-------------|--------|--------|-------------|--------|--------|---|---------|--------|
|                                            |   | As of September 30, 2010 |   | As of December 31, 2009 |
| Fair Values                                     |   | Carrying Value           |   | Fair Value              |        | Carrying Value |   | Fair Value  |
| (in thousands)                                  |   |                     |   |                    |        |           |   |        |
| Financial Assets                                |   |                     |   |                    |        |           |   |        |
| Cash and due from banks                         |   | $                        | 1,163  |                    |        | $              | 1,163  |        |   | $      | 731,430     |   |   | $ | 731,430 |   |
| Deposit with other FHLBanks                     |   | 52                       |   |                    | 52          |           |   | 32          |   |   | 32          |   |
| Securities purchased under agreements to resell |   | 8,750,000                |   |                    | 8,750,001   |           |   | 3,500,000   |   |   | 3,500,020   |   |
| Federal funds sold                              |   | 3,212,380                |   |                    | 3,212,532   |           |   | 10,051,000  |   |   | 10,051,096  |   |
| AFS securities                                  |   | 11,778,740               |   |                    | 11,778,740  |           |   | 976,870     |   |   | 976,870     |   |
| HTM securities                                  |   | 7,056,194                |   |                    | 6,993,454   |           |   | 9,288,906   |   |   | 8,884,890   |   |
| Advances                                        |   | 15,413,951               |   |                    | 15,559,608  |           |   | 22,257,026  |   |   | 22,368,341  |   |
| Mortgage loans held for portfolio, net          |   | 3,543,858                |   |                    | 3,776,281   |           |   | 4,106,195   |   |   | 4,251,866   |   |
| Accrued interest receivable                     |   | 97,481                   |   |                    | 97,481      |           |   | 123,586     |   |   | 123,586     |   |
| Derivative assets                               |   | 10,539                   |   |                    | 10,539      |           |   | 3,649       |   |   | 3,649       |   |
| Financial Liabilities                           |   |                     |   |                    |        |           |   |        |   |
| Deposits                                        |   | (330,582                 | )      |                    | (330,586    | )              |   | (339,800    | )      |   | (339,801    | )      |
| Consolidated obligations, net:                  |   |                     |   |                    |        |           |   |        |   |   |
| Discount notes                                  |   | (14,014,461              | )      |                    | (14,013,147 | )              |   | (18,501,642 | )      |   | (18,501,216 | )      |
| Bonds                                           |   | (32,961,274              | )      |                    | (33,486,193 | )              |   | (29,762,229 | )      |   | (30,095,231 | )      |
| Mandatorily redeemable capital stock            |   | (1,004,270               | )      |                    | (1,004,270  | )              |   | (946,527    | )      |   | (946,527    | )      |
| Accrued interest payable                        |   | (126,354                 | )      |                    | (126,354    | )              |   | (207,842    | )      |   | (207,842    | )      |
| Derivative liabilities                          |   | (237,251                 | )      |                    | (237,251    | )              |   | (300,030    | )      |   | (300,030    | )      |
| Other:                                          |   |                     |   |                    |        |           |   |        |   |   |
| Commitments to extend credit for advances       |   | (591                     | )      |                    | (591        | )              |   | (649        | )      |   | (649        | )      |
| Commitments to issue consolidated obligations   |   | —                  |   |                    | 3,369       |           |   | —     |   |   | 8,938       |   |

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|                                                 |        |                         |         |                        |            |        |         |        |
|-------------------------------------------------|--------|-------------------------|---------|------------------------|------------|--------|---------|--------|
|                                            |   | As of                   |    | As of                  |
| Balances with Related Parties                   |   | September 30, 2010 |    | December 31, 2009 |
| (in thousands)                                  |   |                    |    |                   |
| Assets                                          |   |                    |    |                   |
| Securities purchased under agreements to resell |   | $                       | 750,000 |                   |       | $      | 500,000 |   |
| Federal funds sold                              |   | 100,000                 |    |                   | —    |   |
| AFS securities                                  |   | 2,905,784               |    |                   | 454,457    |   |
| HTM securities                                  |   | 515,587                 |    |                   | 846,041    |   |
| Advances (par value)                            |   | 5,938,706               |    |                   | 9,790,069  |   |
| Mortgage loans held for portfolio               |   | 3,103,192               |    |                   | 3,593,551  |   |
| Liabilities and Capital                         |   |                    |    |                   |
| Deposits                                        |   | 36,796                  |    |                   | 16,641     |   |
| Mandatorily redeemable capital stock            |   | 790,764                 |    |                   | 790,764    |   |
| Class B capital stock                           |   | 738,896                 |    |                   | 737,698    |   |
| Class A capital stock                           |   | 4,784                   |    |                   | 4,784      |   |
| Other comprehensive loss - non-credit OTTI      |   | (326,658                | )       |                   | (357,737   | )      |
| Notional amount of derivatives                  |   | 6,953,205               |    |                   | 12,198,343 |   |

|                                                 |        |                            |        |                           |         |        |         |         |        |        |          |        |        |   |         |        |
|-------------------------------------------------|--------|----------------------------|--------|---------------------------|---------|--------|---------|---------|--------|--------|----------|--------|--------|---|---------|--------|
|                                            |   | For the Three Months Ended |   | For the Nine Months Ended |
|                                            |   | September 30,              |   | September 30,             |
| Income and Expense with Related Parties         |   | 2010                       |   | 2009                      |    | 2010   |    | 2009    |
| (in thousands)                                  |   |                       |   |                      |    |   |    |    |
| Income                                          |   |                       |   |                      |    |   |    |    |
| Advances, net *                                 |   | $                          | 6,064  |                      |    | $      | 111,142 |    |   | $      | 21,982   |   |   | $ | 357,101 |   |
| Securities purchased under agreements to resell |   | 493                        |   |                      | 1,344   |   |    | 2,221   |   |   | 3,874    |   |
| Federal funds sold                              |   | 188                        |   |                      | 120     |   |    | 361     |   |   | 272      |   |
| AFS securities                                  |   | 4,376                      |   |                      | 4,853   |   |    | 9,582   |   |   | 4,853    |   |
| HTM securities                                  |   | 3,440                      |   |                      | 1,681   |   |    | 11,966  |   |   | 20,909   |   |
| Mortgage loans held for portfolio               |   | 41,820                     |   |                      | 47,106  |   |    | 128,457 |   |   | 157,505  |   |
| Net OTTI credit loss                            |   | (2,788                     | )      |                      | (57,422 | )      |    | (41,045 | )      |   | (118,438 | )      |
|      Total             |   | 53,593                     |   |                      | 108,824 |   |    | 133,524 |   |   | 426,076  |   |
| Expense                                         |   |                       |   |                      |    |   |    |    |   |   |
| Deposits                                        |   | 6                          |   |                      | 6       |   |    | 11      |   |   | 22       |   |
|      Total             |   | 6                          |   |                      | 6       |   |    | 11      |   |   | 22       |   |

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

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|                                                   |        |                            |         |                           |         |        |         |         |        |        |         |        |        |   |         |        |
|---------------------------------------------------|--------|----------------------------|---------|---------------------------|---------|--------|---------|---------|--------|--------|---------|--------|--------|---|---------|--------|
|                                              |   | For the Three Months Ended |    | For the Nine Months Ended |
|                                              |   | September 30,              |    | September 30,             |
| Loans from/to Other FHLBanks and Related Interest |   | 2010                       |    | 2009                      |    | 2010   |    | 2009    |
| (in thousands)                                    |   |                       |    |                      |    |   |    |    |
| Loans from the Seattle Bank:                      |   |                       |    |                      |    |   |    |    |
| Principal loaned                                  |   | $                          | 110,000 |                      |    | $      | — |    |   | $      | 275,000 |   |   | $ | — |   |
| Principal repaid                                  |   | 110,000                    |    |                      | — |   |    | 275,000 |   |   | — |   |
| Interest income earned                            |   | 1                          |    |                      | — |   |    | 2       |   |   | — |   |
| Loans to the Seattle Bank:                        |   |                       |    |                      |    |   |    |    |
| Principal loaned                                  |   | —                    |    |                      | 32,000  |   |    | — |   |   | 332,000 |   |
| Principal repaid                                  |   | —                    |    |                      | 32,000  |   |    | — |   |   | 332,000 |   |
| Interest income paid                              |   | —                    |    |                      | — |   |    | — |   |   | 1       |   |

|                                       |        |                         |         |                        |                      |        |         |        |
|---------------------------------------|--------|-------------------------|---------|------------------------|----------------------|--------|---------|--------|
|                                  |   | As of                   |    | As of                  |
| Outstanding Standby Letters of Credit |   | September 30, 2010 |    | December 31, 2009 |
| (in thousands, except years)          |   |                    |    |                   |
| Outstanding notional:                 |   | $                       | 579,550 |                   |                 | $      | 932,910 |   |
| Original terms                        |   | 25 days to 8.5 years    |    |                   | 20 days to 7.5 years |   |
| Final expiration year                 |   | 2012                    |    |                   | 2012                 |   |
| Commitment notional:                  |   | $                       | 18,000  |                   |                 | $      | 50,000  |   |
| Original terms                        |   | 2 years                 |    |                   | 2 years              |   |
| Final expiration year                 |   | 2012                    |    |                   | 2010                 |   |

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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) dated October 25, 2010 relating to the Consent Order, dated and effective October 25, 2010, issued by the Finance Agency to the Seattle Bank (collectively, with related understandings with the Finance Agency, the Consent Arrangement); a further adverse change in our "undercapitalized" classification; or other actions by the Finance Agency, particularly actions that may result from our failure to successfully implement the requirements of the Consent Arrangement; |

|                                |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |
|--------------------------------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| •     | our ability to attract new members and our existing members' willingness to purchase new or additional capital stock or transact business with us due to, among other things, concerns about our 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 attractive funding alternatives, or pending litigation adverse to the interests of certain potential or existing members; |

|                                |                                                                                                                                                                                                                                                                                                                                                                                                                                                       |
|--------------------------------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| •     | adverse changes in credit quality, market prices, or other factors that could affect our financial instruments, particularly our private-label mortgage-backed securities (PLMBS), due to among other things, foreclosure moratoria on collateral currently in default and uncertainty about completed foreclosures, and that could result in, among other things, additional other-than-temporary impairment (OTTI) charges or capital deficiencies; |

|                                |                                                                                                                                                                                                    |
|--------------------------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| •     | 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; |

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

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

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

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|                                |                                                                                                                                                                                                                                                                                                                        |
|--------------------------------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| •     | our failure to identify, manage, mitigate, or remedy risks that could negatively affect our operations, including, among others, operations, 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, or other legislation, that could, among other things, result in modification of the terms or principal balances of mortgage loans that we own or that collateralize our mortgage-backed securities (MBS), or more generally affect the capital and credit markets; |

|                                |                                                                                                                                                                                                  |
|--------------------------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| •     | 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 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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|                                 |                                                                         |
|---------------------------------|-------------------------------------------------------------------------|
| ▪     | Achieves and maintains certain other financial and operational metrics; |

|                                 |                                                                                                                                                                                                                                       |
|---------------------------------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| ▪     | Remediates certain concerns regarding its oversight and management, asset improvement program, capital adequacy and retained earnings, risk management, compensation practices, examination findings, and information technology; and |

|                                 |                                                                              |
|---------------------------------|------------------------------------------------------------------------------|
| ▪     | Returns to a "safe and sound" condition as determined by the Finance Agency. |

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|                                                               |        |                         |        |               |        |                |        |                        |        |                    |         |         |        |         |         |        |        |        |        |        |
|---------------------------------------------------------------|--------|-------------------------|--------|---------------|--------|----------------|--------|------------------------|--------|--------------------|---------|---------|--------|---------|---------|--------|--------|--------|--------|--------|
| Selected Financial Data                                       |   | September 30, 2010 |   | June 30, 2010 |   | March 31, 2010 |   | December 31, 2009 |   | September 30, 2009 |
| (in millions, except ratios)                                  |   |                    |   |          |   |           |   |                   |   |               |
| Statements of Condition (at period end)                       |   |                    |   |          |   |           |   |                   |   |               |
| Total assets                                                  |   | $                       | 49,914 |          |   | 48,104         |   |                   | $      | 51,822             |    |    | $      | 51,094  |    |   | $      | 54,087 |   |
| Investments (1)                                               |   | 30,797                  |   |          | 25,719 |           |   | 27,896                 |   |               | 23,817  |    |   | 24,717  |    |
| Advances                                                      |   | 15,414                  |   |          | 18,467 |           |   | 19,865                 |   |               | 22,257  |    |   | 24,908  |    |
| Mortgage loans held for portfolio, net (2)                    |   | 3,544                   |   |          | 3,760  |           |   | 3,924                  |   |               | 4,107   |    |   | 4,293   |    |
| Deposits and other borrowings                                 |   | 331                     |   |          | 343    |           |   | 371                    |   |               | 340     |    |   | 285     |    |
| Consolidated obligations, net:                                |   |                    |   |          |   |           |   |                   |   |               |
| Discount notes                                                |   | 14,015                  |   |          | 11,359 |           |   | 17,467                 |   |               | 18,502  |    |   | 21,678  |    |
| Bonds                                                         |   | 32,961                  |   |          | 33,933 |           |   | 30,734                 |   |               | 29,762  |    |   | 29,754  |    |
| Total consolidated obligations, net                           |   | 46,976                  |   |          | 45,292 |           |   | 48,201                 |   |               | 48,264  |    |   | 51,432  |    |
| Mandatorily redeemable capital stock                          |   | 1,004                   |   |          | 953    |           |   | 948                    |   |               | 946     |    |   | 942     |    |
| Affordable Housing Program (AHP) payable                      |   | 8                       |   |          | 7      |           |   | 8                      |   |               | 9       |    |   | 10      |    |
| Resolution Funding Corporation (REFCORP) payable (receivable) |   | (14                     | )      |          | (16    | )              |   | (18                    | )      |               | (20     | )       |   | (20     | )       |
| Capital stock:                                                |   |                    |   |          |   |           |   |                   |   |               |    |    |   |    |
| Class A capital stock - putable                               |   | 127                     |   |          | 133    |           |   | 133                    |   |               | 133     |    |   | 135     |    |
| Class B capital stock - putable                          |   | 1,667                   |   |          | 1,712  |           |   | 1,715                  |   |               | 1,717   |    |   | 1,718   |    |
| Total capital stock                                           |   | 1,794                   |   |          | 1,845  |           |   | 1,848                  |   |               | 1,850   |    |   | 1,853   |    |
| Retained earnings                                             |   | 76                      |   |          | 66     |           |   | 58                     |   |               | 52      |    |   | 70      |    |
| Accumulated other comprehensive loss                          |   | (770                    | )      |          | (822   | )              |   | (855                   | )      |               | (909    | )       |   | (996    | )       |
| Total capital                                                 |   | 1,100                   |   |          | 1,089  |           |   | 1,051                  |   |               | 993     |    |   | 927     |    |
|                                                          |   |                    |   |          |   |           |   |                   |   |               |    |    |   |    |
| Statements of Operations (for the three months ended)         |   |                    |   |          |   |           |   |                   |   |               |    |    |   |
| Interest income                                               |   | $                       | 143    |          |   | $              | 158    |                   |   | $                  | 148     |    |   | $       | 157     |   |   | $      | 183    |   |
| Net interest income                                           |   | 42                      |   |          | 49     |           |   | 42                     |   |               | 45      |    |   | 48      |    |
| Other loss                                                    |   | (12                     | )      |          | (25    | )              |   | (19                    | )      |               | (48     | )       |   | (127    | )       |
| Other expense                                                 |   | 16                      |   |          | 12     |           |   | 15                     |   |               | 14      |    |   | 14      |    |
| Income (loss) before assessments                              |   | 14                      |   |          | 11     |           |   | 8                      |   |               | (18     | )       |   | (93     | )       |
| AHP and REFCORP assessments                                   |   | 4                       |   |          | 3      |           |   | 2                      |   |               | — |    |   | — |    |
| Net income (loss)                                             |   | 10                      |   |          | 8      |           |   | 6                      |   |               | (18     | )       |   | (93     | )       |
|                                                          |   |                    |   |          |   |           |   |                   |   |               |    |    |   |    |
| Financial Statistics (for the three months ended)             |   |                    |   |          |   |           |   |                   |   |               |    |    |   |
| Return on average equity                                      |   | 3.44                    | %      |          | 2.93   | %              |   | 2.34                   | %      |               | (6.98   | )%      |   | (43.94  | )%      |
| Return on average assets                                      |   | 0.07                    | %      |          | 0.06   | %              |   | 0.05                   | %      |               | (0.13   | )%      |   | (0.72   | )%      |
| Average equity to average assets                              |   | 2.17                    | %      |          | 2.19   | %              |   | 2.04                   | %      |               | 1.91    |  % |   | 1.64    |  % |
| Regulatory capital ratio (3)                                  |   | 5.76                    | %      |          | 5.96   | %              |   | 5.51                   | %      |               | 5.58    |  % |   | 5.30    |  % |
| Net interest margin (4)                                  |   | 0.33                    | %      |          | 0.39   | %              |   | 0.33                   | %      |               | 0.35    |  % |   | 0.34    |  % |

|     |                                                                                                                                                                                                                                                                  |
|-----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (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, $1.8 million, $368,000, $626,000, and $271,000 for the quarters ended September 30, 2010, June 30, 2010, March 31, 2010, December 31, 2009, and September 30, 2009. |
| (3) | Regulatory capital ratio is defined as period-end regulatory capital (i.e., permanent capital, Class A capital stock, and general allowance for losses) expressed as a percentage of period-end total assets.                                                    |
| (4) | Net interest margin is defined as net interest income for the period expressed as a percentage of average earning assets.                                                                                                                                        |

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|                                                            |        |                         |        |                        |       |        |
|------------------------------------------------------------|--------|-------------------------|--------|------------------------|-------|--------|
|                                                       |   | As of                   |   | As of                  |
| Major Categories of Assets as a Percentage of Total Assets |   | September 30, 2010 |   | December 31, 2009 |
| (in percentages)                                           |   |                    |   |                   |
| Advances                                                   |   | 30.9                    |   |                   | 43.6  |   |
| Investments                                                |   | 61.7                    |   |                   | 46.6  |   |
| Mortgage loans held for portfolio                          |   | 7.1                     |   |                   | 8.0   |   |
| Other assets                                               |   | 0.3                     |   |                   | 1.8   |   |
| Total                                                      |   | 100.0                   |   |                   | 100.0 |   |

|                                                  |        |                         |        |                        |       |        |
|--------------------------------------------------|--------|-------------------------|--------|------------------------|-------|--------|
| Major Categories of Liabilities and Capital      |   | As of                   |   | As of                  |
| as a Percentage of Total Liabilities and Capital |   | September 30, 2010 |   | December 31, 2009 |
| (in percentages)                                 |   |                    |   |                   |
| Consolidated obligations                         |   | 94.1                    |   |                   | 94.5  |   |
| Deposits                                         |   | 0.7                     |   |                   | 0.7   |   |
| Other liabilities *                              |   | 3.0                     |   |                   | 2.9   |   |
| Total capital                                    |   | 2.2                     |   |                   | 1.9   |   |
| Total                                            |   | 100.0                   |   |                   | 100.0 |   |

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

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|                                |                                                                                                                                                                                                                                                                                                                                                                                                               |
|--------------------------------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| •     | Our former largest borrower, Washington Mutual Bank, F.S.B., was acquired by JPMorgan Chase & Co., which then transferred all outstanding advances and capital stock to JPMorgan Chase Bank, N.A., a non-member institution. As of September 30, 2010, advances outstanding to this non-member institution no longer represent a material portion of the Seattle Bank's outstanding advance balance. |

|                                |                                                                                                                                                                                                                                           |
|--------------------------------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| •     | Demand across our membership for advances significantly declined, primarily due to decreased consumer loan activity, increased retail deposit levels, and members' focus on improving capital ratios and maintaining available liquidity. |

|                                |                                                                                                                                                                   |
|--------------------------------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| •     | Since the beginning of 2009, 26 members have been part of an FDIC- or NCUA-facilitated merger, acquisition, or closure, reducing our membership and lending base. |

|                                |                                                                                                                                          |
|--------------------------------|------------------------------------------------------------------------------------------------------------------------------------------|
| •     | The credit markets and availability of liquidity have generally improved, providing additional wholesale funding options to our members. |

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|                                    |        |                          |            |                         |        |        |           |                      |            |        |        |       |
|------------------------------------|--------|--------------------------|------------|-------------------------|--------|--------|-----------|----------------------|------------|--------|--------|-------|
|                               |   | As of September 30, 2010 |       | As of December 31, 2009 |
| Interest-Rate Payment Terms        |   | Amount                   |       | Percent of Par Value    |   | Amount |      | Percent of Par Value |
| (in thousands, except percentages) |   |                     |       |                    |   |   |      |                 |
| Fixed                              |   | $                        | 12,924,510 |                    |   | 86.6   |      | $                    | 19,257,384 |   |   | 88.0  |
| Variable                           |   | 1,621,026                |       |                    | 10.9   |   | 2,250,492 |                 |       | 10.3   |
| Floating-to-fixed convertible      |   | 370,000                  |       |                    | 2.5    |   | 370,000   |                 |       | 1.7    |
| Total par value                    |   | $                        | 14,915,536 |                    |   | 100.0  |      | $                    | 21,877,876 |   |   | 100.0 |

|                                                      |        |                          |            |                                |        |        |            |                                |            |        |        |        |        |
|------------------------------------------------------|--------|--------------------------|------------|--------------------------------|--------|--------|------------|--------------------------------|------------|--------|--------|--------|--------|
|                                                 |   | As of September 30, 2010 |       | As of December 31, 2009        |
| Term-to-Maturity and Weighted-Average Interest Rates |   | Amount                   |       | Weighted-Average Interest Rate |   | Amount |       | Weighted-Average Interest Rate |
| (in thousands, except interest rates)                |   |                     |       |                           |   |   |       |                           |
| Due in one year or less                              |   | $                        | 4,617,172  |                           |   | 1.62   |       | $                              | 12,268,149 |   |   | 1.75   |   |
| Due after one year through two years                 |   | 4,947,532                |       |                           | 1.61   |   | 2,893,358  |                           |       | 2.67   |   |
| Due after two years through three years              |   | 1,421,473                |       |                           | 3.03   |   | 1,850,076  |                           |       | 3.03   |   |
| Due after three years through four years             |   | 454,756                  |       |                           | 3.04   |   | 1,395,149  |                           |       | 3.11   |   |
| Due after four years through five years              |   | 706,536                  |       |                           | 3.39   |   | 293,629    |                           |       | 3.73   |   |
| Thereafter                                           |   | 2,768,067                |       |                           | 4.39   |   | 3,177,515  |                           |       | 4.35   |   |
| Total par value                                      |   | 14,915,536               |       |                           | 2.39   |   | 21,877,876 |                           |       | 2.47   |   |
| Commitment fees                                      |   | (591                     | )          |                           |   |   | (650       | )                              |       |   |   |
| Discount on AHP advances                             |   | (10                      | )          |                           |   |   | (70        | )                              |       |   |   |
| Discount on advances                                 |   | (2,440                   | )          |                           |   |   | (5,840     | )                              |       |   |   |
| Hedging adjustments                                  |   | 501,456                  |       |                           |   |   | 385,710    |                           |       |   |   |
| Total                                                |   | $                        | 15,413,951 |                           |   |   |       | $                              | 22,257,026 |   |   |   |   |

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|                            |        |                           |        |        |
|----------------------------|--------|---------------------------|--------|--------|
|                       |   | For the Nine Months Ended |
|                       |   | September 30,             |
| Advance Pricing            |   | 2010                      |   | 2009   |
| (in percentages)           |   |                      |   |   |
| Differential pricing       |   | 90.2                      |   | 92.7   |
| Daily market-based pricing |   | 9.5                       |   | 7.3    |
| Auction pricing            |   | 0.3                       |   | 0.0    |
| Total                      |   | 100.0                     |   | 100.0  |

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|                                                 |        |                    |            |                   |           |        |            |        |
|-------------------------------------------------|--------|--------------------|------------|-------------------|-----------|--------|------------|--------|
|                                            |   | As of              |       | As of             |
| Investments by Classification                   |   | September 30, 2010 |       | December 31, 2009 |
| (in thousands)                                  |   |               |       |              |
| Federal funds sold                              |   | $                  | 3,212,380  |              |      | $      | 10,051,000 |   |
| Securities purchased under agreements to resell |   | 8,750,000          |       |              | 3,500,000 |   |
| AFS securities:                                 |   |               |       |              |
| GSE obligations                                 |   | 4,127,404          |       |              | —   |   |
| TLGP securities                                 |   | 6,285,150          |       |              | —   |   |
| Residential PLMBS                               |   | 1,366,186          |       |              | 976,870   |   |
| Total AFS securities                            |   | 11,778,740         |       |              | 976,870   |   |
| HTM securities:                                 |   |               |       |              |
| Certificates of deposit                         |   | 1,670,000          |       |              | 2,903,000 |   |
| Other U.S. agency obligations                   |   | 39,515             |       |              | 51,684    |   |
| GSE obligations                                 |   | 389,141            |       |              | 593,380   |   |
| State or local housing agency obligations       |   | 3,735              |       |              | 4,130     |   |
| Residential MBS:                                |   |               |       |              |
| Other U.S. agency                               |   | 185,013            |       |              | 4,229     |   |
| GSEs                                            |   | 3,229,306          |       |              | 3,198,679 |   |
| PLMBS                                           |   | 1,539,484          |       |              | 2,533,804 |   |
| Total HTM securities                            |   | 7,056,194          |       |              | 9,288,906 |   |
| Total investments                               |   | $                  | 30,797,314 |              |      | $      | 23,816,776 |   |

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|                                                      |        |                    |           |                   |         |        |         |        |
|------------------------------------------------------|--------|--------------------|-----------|-------------------|---------|--------|---------|--------|
|                                                 |   | As of              |      | As of             |
| Carrying Value of Investments in GSE Debt Securities |   | September 30, 2010 |      | December 31, 2009 |
| (in thousands)                                       |   |               |      |              |
| Freddie Mac                                          |   | $                  | 2,748,975 |              |    | $      | 192,158 |   |
| Fannie Mae                                           |   | 244,935            |      |              | 101,880 |   |
| Federal Farm Credit Bank (FFCB)                      |   | 1,182,525          |      |              | — |   |
| Other                                                |   | 340,110            |      |              | 299,342 |   |
| Total                                                |   | $                  | 4,516,545 |              |    | $      | 593,380 |   |

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|                                                |        |                          |            |        |           |        |           |           |        |                        |           |         |        |           |           |        |         |        |           |            |        |   |         |        |        |   |            |        |
|------------------------------------------------|--------|--------------------------|------------|--------|-----------|--------|-----------|-----------|--------|------------------------|-----------|---------|--------|-----------|-----------|--------|---------|--------|-----------|------------|--------|---|---------|--------|--------|---|------------|--------|
|                                           |   | As of September 30, 2010 |
| Investments by Credit Rating                   |   | AAA or Government Agency |       | AA     |      | A      |      | BBB       |   | Below Investment Grade |      | Unrated |   | Total     |
| (in thousands)                                 |   |                     |       |   |      |   |      |      |   |                   |      |    |   |      |      |
| Securities sold under agreements to repurchase |   | $                        | —    |   |      | $      | —   |      |   | $                      | 1,250,000 |    |   | $         | 7,500,000 |   |    | $      | —   |       |   | $ | — |   |   | $ | 8,750,000  |   |
| Federal funds sold                             |   | —                  |       |   | 1,936,380 |   |      | 1,276,000 |   |                   | —   |    |   | —   |      |   | — |   |      | 3,212,380  |   |
| Investment securities:                         |   |                     |       |   |      |   |      |      |   |                   |      |    |   |      |
| Certificates of deposit                        |   | —                  |       |   | 259,000   |   |      | 1,411,000 |   |                   | —   |    |   | —   |      |   | — |   |      | 1,670,000  |   |
| U.S. agency obligations                        |   | 4,543,524                |       |   | —   |   |      | —   |   |                   | —   |    |   | —   |      |   | 12,536  |   |      | 4,556,060  |   |
| State or local housing investments             |   | —                  |       |   | 3,735     |   |      | —   |   |                   | —   |    |   | —   |      |   | — |   |      | 3,735      |   |
| Other                                          |   | 6,285,150                |       |   | —   |   |      | —   |   |                   | —   |    |   | —   |      |   | — |   |      | 6,285,150  |   |
| Total non-MBS                                  |   | 10,828,674               |       |   | 2,199,115 |   |      | 3,937,000 |   |                   | 7,500,000 |    |   | —   |      |   | 12,536  |   |      | 24,477,325 |   |
| Residential MBS:                               |   |                     |       |   |      |   |      |      |   |                   |      |    |   |      |      |   |    |
| Other U.S. agency                              |   | 185,013                  |       |   | —   |   |      | —   |   |                   | —   |    |   | —   |      |   | — |   |      | 185,013    |   |
| GSEs                                           |   | 3,229,306                |       |   | —   |   |      | —   |   |                   | —   |    |   | —   |      |   | — |   |      | 3,229,306  |   |
| PLMBS                                          |   | 791,486                  |       |   | 69,065    |   |      | 24,912    |   |                   | 159,403   |    |   | 1,860,804 |      |   | — |   |      | 2,905,670  |   |
| Total MBS                                      |   | 4,205,805                |       |   | 69,065    |   |      | 24,912    |   |                   | 159,403   |    |   | 1,860,804 |      |   | — |   |      | 6,319,989  |   |
| Total investments                              |   | $                        | 15,034,479 |   |      | $      | 2,268,180 |      |   | $                      | 3,961,912 |    |   | $         | 7,659,403 |   |    | $      | 1,860,804 |       |   | $ | 12,536  |   |   | $ | 30,797,314 |   |

|                                         |        |                          |         |        |        |        |         |        |        |        |         |        |        |        |         |        |        |   |       |        |        |   |           |        |
|-----------------------------------------|--------|--------------------------|---------|--------|--------|--------|---------|--------|--------|--------|---------|--------|--------|--------|---------|--------|--------|---|-------|--------|--------|---|-----------|--------|
|                                    |   | As of September 30, 2010 |
| Below Investment Grade                  |   | BB                       |    | B      |   | CCC    |    | CC     |   | D      |    | Total  |
| (in thousands)                          |   |                     |    |   |   |   |    |   |   |   |    |   |   |   |
| PLMBS                                   |   | $                        | 118,956 |   |   | $      | 539,563 |   |   | $      | 969,763 |   |   | $      | 230,194 |   |   | $ | 2,328 |   |   | $ | 1,860,804 |   |
| Total securities below investment grade |   | $                        | 118,956 |   |   | $      | 539,563 |   |   | $      | 969,763 |   |   | $      | 230,194 |   |   | $ | 2,328 |   |   | $ | 1,860,804 |   |

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|                                                |        |                          |           |        |           |        |           |           |        |                        |           |         |        |           |         |        |         |        |           |            |        |   |         |        |        |   |            |        |
|------------------------------------------------|--------|--------------------------|-----------|--------|-----------|--------|-----------|-----------|--------|------------------------|-----------|---------|--------|-----------|---------|--------|---------|--------|-----------|------------|--------|---|---------|--------|--------|---|------------|--------|
|                                           |   | As of December 31, 2009  |
| Investments by Credit Rating                   |   | AAA or Government Agency |      | AA     |      | A      |      | BBB       |   | Below Investment Grade |      | Unrated |   | Total     |
| (in thousands)                                 |   |                     |      |   |      |   |      |      |   |                   |      |    |   |      |    |
| Securities sold under agreements to repurchase |   | $                        | —   |   |      | $      | —   |      |   | $                      | 3,500,000 |    |   | $         | — |   |    | $      | —   |       |   | $ | — |   |   | $ | 3,500,000  |   |
| Federal funds sold                             |   | —                  |      |   | 6,934,000 |   |      | 3,117,000 |   |                   | —   |    |   | —   |    |   | — |   |      | 10,051,000 |   |
| Investment securities:                         |   |                     |      |   |      |   |      |      |   |                   |      |    |   |      |
| Certificates of deposit                        |   | —                  |      |   | 1,867,000 |   |      | 1,036,000 |   |                   | —   |    |   | —   |    |   | — |   |      | 2,903,000  |   |
| U.S. agency obligations                        |   | 631,794                  |      |   | —   |   |      | —   |   |                   | —   |    |   | —   |    |   | 13,270  |   |      | 645,064    |   |
| State or local housing investments             |   | —                  |      |   | 4,130     |   |      | —   |   |                   | —   |    |   | —   |    |   | — |   |      | 4,130      |   |
| Total non-MBS                                  |   | 631,794                  |      |   | 8,805,130 |   |      | 7,653,000 |   |                   | —   |    |   | —   |    |   | 13,270  |   |      | 17,103,194 |   |
| Residential MBS:                               |   |                     |      |   |      |   |      |      |   |                   |      |    |   |      |    |   |    |   |      |
| Other U.S. agency                              |   | 4,229                    |      |   | —   |   |      | —   |   |                   | —   |    |   | —   |    |   | — |   |      | 4,229      |   |
|    GSEs                         |   | 3,198,679                |      |   | —   |   |      | —   |   |                   | —   |    |   | —   |    |   | — |   |      | 3,198,679  |   |
|    PLMBS                        |   | 1,400,219                |      |   | 83,280    |   |      | 45,748    |   |                   | 174,020   |    |   | 1,807,407 |    |   | — |   |      | 3,510,674  |   |
| Total MBS                                      |   | 4,603,127                |      |   | 83,280    |   |      | 45,748    |   |                   | 174,020   |    |   | 1,807,407 |    |   | — |   |      | 6,713,582  |   |
| Total investments                              |   | $                        | 5,234,921 |   |      | $      | 8,888,410 |      |   | $                      | 7,698,748 |    |   | $         | 174,020 |   |    | $      | 1,807,407 |       |   | $ | 13,270  |   |   | $ | 23,816,776 |   |

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

|                                                                       |        |         |         |        |         |        |         |         |        |        |         |                |        |         |         |        |         |        |         |        |        |   |         |        |
|-----------------------------------------------------------------------|--------|---------|---------|--------|---------|--------|---------|---------|--------|--------|---------|----------------|--------|---------|---------|--------|---------|--------|---------|--------|--------|---|---------|--------|
| PLMBS by Year of Securitization - Prime                               |   | Total   |    | 2008   |    | 2007   |    | 2006    |   | 2005   |    | 2004 and prior |
| (in thousands, except percentages)                                    |   |    |    |   |    |   |    |    |   |   |    |           |
| AAA                                                                   |   | $       | 473,438 |   |    | $      | — |    |   | $      | — |           |   | $       | — |   |    | $      | — |   |   | $ | 473,438 |   |
| A                                                                     |   | 8,423   |    |   | — |   |    | — |   |   | — |           |   | — |    |   | 8,423   |   |
| Total unpaid principal balance                                        |   | 481,861 |    |   | — |   |    | — |   |   | — |           |   | — |    |   | 481,861 |   |
| Amortized cost basis                                                  |   | 479,919 |    |   | — |   |    | — |   |   | — |           |   | — |    |   | 479,919 |   |
| Gross unrealized losses                                               |   | (8,892  | )       |   | — |   |    | — |   |   | — |           |   | — |    |   | (8,892  | )      |
| Fair value                                                            |   | 474,502 |    |   | — |   |    | — |   |   | — |           |   | — |    |   | 474,502 |   |
| Weighted-average percentage of fair value to unpaid principal balance |   | 98.5    |    |   | — |   |    | — |   |   | — |           |   | — |    |   | 98.5    |   |
| Original weighted-average credit support                              |   | 2.9     |    |   | — |   |    | — |   |   | — |           |   | — |    |   | 2.9     |   |
| Weighted-average credit support                                       |   | 8.1     |    |   | — |   |    | — |   |   | — |           |   | — |    |   | 8.1     |   |
| Weighted-average collateral delinquency                               |   | 2.5     |    |   | — |   |    | — |   |   | — |           |   | — |    |   | 2.5     |   |

----

Table of Contents

|                                                                       |        |           |         |        |          |        |         |           |        |        |          |                |        |         |         |        |         |        |       |        |        |   |         |        |
|-----------------------------------------------------------------------|--------|-----------|---------|--------|----------|--------|---------|-----------|--------|--------|----------|----------------|--------|---------|---------|--------|---------|--------|-------|--------|--------|---|---------|--------|
| PLMBS by Year of Securitization - Alt-A                               |   | Total     |    | 2008   |     | 2007   |    | 2006      |   | 2005   |     | 2004 and prior |
| (in thousands, except percentages)                                    |   |      |    |   |     |   |    |      |   |   |     |           |
| AAA                                                                   |   | $         | 320,488 |   |     | $      | — |      |   | $      | —  |           |   | $       | — |   |    | $      | 3,797 |   |   | $ | 316,691 |   |
| AA                                                                    |   | 69,002    |    |   | —  |   |    | —   |   |   | —  |           |   | 30,597  |    |   | 38,405  |   |
| A                                                                     |   | 14,421    |    |   | —  |   |    | —   |   |   | —  |           |   | 1,415   |    |   | 13,006  |   |
| BBB                                                                   |   | 163,527   |    |   | 146,788  |   |    | —   |   |   | —  |           |   | 16,739  |    |   | — |   |
| Below investment grade:                                               |   |      |    |   |     |   |    |      |   |   |     |           |
| BB                                                                    |   | 214,330   |    |   | —  |   |    | 180,768   |   |   | 31,446   |           |   | — |    |   | 2,116   |   |
| B                                                                     |   | 814,600   |    |   | 25,277   |   |    | 420,260   |   |   | 286,854  |           |   | 82,209  |    |   | — |   |
| CCC                                                                   |   | 1,556,364 |    |   | 401,139  |   |    | 504,027   |   |   | 553,120  |           |   | 98,078  |    |   | — |   |
| CC                                                                    |   | 437,167   |    |   | —  |   |    | 437,167   |   |   | —  |           |   | — |    |   | — |   |
| D                                                                     |   | 5,312     |    |   | —  |   |    | —   |   |   | —  |           |   | 5,312   |    |   | — |   |
| Total unpaid principal balance                                        |   | 3,595,211 |    |   | 573,204  |   |    | 1,542,222 |   |   | 871,420  |           |   | 238,147 |    |   | 370,218 |   |
| Amortized cost basis                                                  |   | 3,193,697 |    |   | 567,449  |   |    | 1,311,266 |   |   | 721,142  |           |   | 224,080 |    |   | 369,760 |   |
| Gross unrealized losses                                               |   | (925,811  | )       |   | (170,656 | )      |    | (439,947  | )      |   | (229,574 | )              |   | (71,812 | )       |   | (13,822 | )      |
| Fair value                                                            |   | 2,275,455 |    |   | 396,793  |   |    | 875,150   |   |   | 491,827  |           |   | 152,593 |    |   | 359,092 |   |
| OTTI:                                                                 |   |      |    |   |     |   |    |      |   |   |     |           |
| Credit-related OTTI charge taken                                      |   | 82,066    |    |   | 4,582    |   |    | 48,137    |   |   | 26,355   |           |   | 2,992   |    |   | — |   |
| Non-credit-related OTTI charge taken                                  |   | 125,446   |    |   | 58,266   |   |    | 94,959    |   |   | (25,707  | )              |   | (2,072  | )       |   | — |   |
| Total OTTI charge taken                                               |   | 207,512   |    |   | 62,848   |   |    | 143,096   |   |   | 648      |           |   | 920     |    |   | — |   |
| Weighted-average percentage of fair value to unpaid principal balance |   | 63.3      |    |   | 69.2     |   | 56.8    |      | 56.4   |   | 64.1     |           | 97.0   |    |
| Original weighted-average credit support                              |   | 35.5      |    |   | 33.8     |   | 38.7    |      | 45.9   |   | 29.5     |           | 4.2    |
| Weighted-average credit support                                       |   | 33.9      |    |   | 33.9     |   | 35.9    |      | 42.0   |   | 31.3     |           | 7.7    |
| Weighted-average collateral delinquency                               |   | 39.8      |    |   | 26.0     |   | 45.3    |      | 56.1   |   | 34.6     |           | 3.6    |

|                                                                       |        |        |        |        |         |        |         |         |        |         |         |                |        |         |         |        |        |        |         |        |        |   |       |        |  |
|-----------------------------------------------------------------------|--------|--------|--------|--------|---------|--------|---------|---------|--------|---------|---------|----------------|--------|---------|---------|--------|--------|--------|---------|--------|--------|---|-------|--------|--|
| PLMBS by Year of Securitization - Subprime                            |   | Total  |   | 2008   |    | 2007   |    | 2006    |   | 2005    |    | 2004 and prior |
| (in thousands, except percentages)                                    |   |   |   |   |    |   |    |    |   |    |    |           |
| A                                                                     |   | $      | 2,093  |   |    | $      | — |    |   | $       | — |           |   | $       | — |   |   | $      | — |   |   | $ | 2,093 |   |
| B                                                                     |   | 963    |   |   | — |   |    | — |   |    | — |           |   | — |    |   | 963    |   |
| Total unpaid principal balance                                        |   | 3,056  |   |   | — |   |    | — |   |    | — |           |   | — |    |   | 3,056  |   |
| Amortized cost basis                                                  |   | 3,047  |   |   | — |   |    | — |   | — |    | —        |   |    | — |   |   | 3,047  |    |
| Gross unrealized losses                                               |   | (1,315 | )      |   | — |   |    | — |   |    | — |           |   | — |    |   | (1,315 | )      |
| Fair value                                                            |   | 1,732  |   |   | — |   |    | — |   |    | — |           |   | — |    |   | 1,732  |   |
| Weighted-average percentage of fair value to unpaid principal balance |   | 56.7   |   |   | — |   |    | — |   |    | — |           |   | — |    |   | 56.7   |
| Original weighted-average credit support                              |   | 100.0  |   |   | — |   |    | — |   |    | — |           |   | — |    |   | 100.0  |   |
| Weighted-average credit support                                       |   | 100.0  |   |   | — |   |    | — |   |    | — |           |   | — |    |   | 100.0  |   |
| Weighted-average collateral delinquency                               |   | 12.7   |   |   | — |   |    | — |   |    | — |           |   | — |    |   | 12.7   |   |

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Table of Contents

|                                      |        |                          |           |                                                                                    |           |                         |           |                                              |        |                   |          |                   |         |                                      |        |                      |         |        |        |         |        |        |         |        |        |      |
|--------------------------------------|--------|--------------------------|-----------|------------------------------------------------------------------------------------|-----------|-------------------------|-----------|----------------------------------------------|--------|-------------------|----------|-------------------|---------|--------------------------------------|--------|----------------------|---------|--------|--------|---------|--------|--------|---------|--------|--------|------|
|                                 |   | As of September 30, 2010 |      | October 31, 2010 PLMBS Rating Based on September 30, 2010 Unpaid Principal Balance |
| PLMBS                                |   | Unpaid Principal Balance |      | Amortized Cost Basis                                                               |      | Gross Unrealized Losses |      | Weighted-Average Collateral Delinquency Rate |   | Percent Rated AAA |     | Percent Rated AAA |    | Percent Rated Below Investment Grade |   | Percent on Watchlist |
| (in thousands, except percentages)   |   |                     |      |                                                                               |      |                    |      |                                         |   |              |     |              |
| Prime:                               |   |                     |      |                                                                               |      |                    |      |                                         |   |              |     |              |    |                                 |   |                 |
| First lien                           |   | $                        | 207,707   |                                                                               |      | $                       | 207,059   |                                         |   | $                 | (8,892   | )                 | — |                                 | 3.4    |                 | 95.9    |   |   | 95.9    |   |   | — |   |   | 25.3 |
| Total PLMBS backed by prime loans    |   | 207,707                  |      |                                                                               | 207,059   |                    |      | (8,892                                       | )      | —           |     | 3.4               |    | 95.9                                 |   |                 | 95.9    |   |   | — |   |   | 25.3    |
| Alt-A:                               |   |                     |      |                                                                               |      |                    |      |                                         |   |              |     |              |    |                                 |   |                 |
| Option ARMs                          |   | 2,336,990                |      |                                                                               | 2,033,952 |                    |      | (699,552                                     | )      | —           |     | 47.7              |    | 0.2                                  |   |                 | 0.2     |   |   | 97.8    |   |   | 19.6    |
| Alt-A and other                      |   | 1,045,482                |      |                                                                               | 947,439   |                    |      | (226,259                                     | )      | —           |     | 30.0              |    | 9.9                                  |   |                 | 9.9     |   |   | 71.1    |   |   | 25.5    |
| Total PLMBS backed by Alt-A loans    |   | 3,382,472                |      |                                                                               | 2,981,391 |                    |      | (925,811                                     | )      | —           |     | 42.3              |    | 3.2                                  |   |                 | 3.2     |   |   | 89.5    |   |   | 21.4    |
| Subprime:                            |   |                     |      |                                                                               |      |                    |      |                                         |   |              |     |              |    |                                 |   |                 |
| First lien                           |   | 3,056                    |      |                                                                               | 3,047     |                    |      | (1,315                                       | )      | —           |     | 12.7              |    | —                              |   |                 | — |   |   | 31.5    |   |   | 68.5    |
| Total PLMBS backed by subprime loans |   | 3,056                    |      |                                                                               | 3,047     |                    |      | (1,315                                       | )      |              | 12.7     |              | — |                                 |   | —              |    |   | 31.5   |    |   | 68.5   |
| Total PLMBS                          |   | $                        | 3,593,235 |                                                                               |      | $                       | 3,191,497 |                                         |   | $                 | (936,018 | )                 | — |                                 | 40.0   |                 | 8.5     |   |   | 8.5     |   |   | 84.3    |   |   | 21.7 |

|                             |        |                          |         |                         |           |        |           |           |        |          |           |        |        |           |         |        |           |        |           |        |        |   |           |        |
|-----------------------------|--------|--------------------------|---------|-------------------------|-----------|--------|-----------|-----------|--------|----------|-----------|--------|--------|-----------|---------|--------|-----------|--------|-----------|--------|--------|---|-----------|--------|
|                        |   | As of September 30, 2010 |    | As of December 31, 2009 |
| PLMBS by Interest-Rate Type |   | Fixed                    |    | Variable                |      | Total  |      | Fixed     |   | Variable |      | Total  |
| (in thousands)              |   |                     |    |                    |      |   |      |      |   |     |      |   |
| Prime                       |   | $                        | 385,521 |                    |      | $      | 96,340    |      |   | $        | 481,861   |   |   | $         | 608,954 |   |      | $      | 128,539   |   |   | $ | 737,493   |   |
| Alt-A                       |   | 95,744                   |    |                    | 3,499,467 |   |      | 3,595,211 |   |     | 126,415   |   |   | 3,877,144 |    |   | 4,003,559 |   |
| Subprime                    |   | —                  |    |                    | 3,056     |   |      | 3,056     |   |     | —   |   |   | 3,290     |    |   | 3,290     |   |
| Total PLMBS                 |   | $                        | 481,265 |                    |      | $      | 3,598,863 |      |   | $        | 4,080,128 |   |   | $         | 735,369 |   |      | $      | 4,008,973 |   |   | $ | 4,744,342 |   |

|                              |        |                                          |        |                |         |            |        |   |         |        |
|------------------------------|--------|------------------------------------------|--------|----------------|---------|------------|--------|---|---------|--------|
| Investment Rating Downgrades |   | Based on Values as of September 30, 2010 |
| As of September 30, 2010     |   | As of October 31, 2010                   |   | PLMBS          |
| From                         |   | To                                       |   | Carrying Value |    | Fair Value |
| (in thousands)               |   |                                     |   |           |    |       |
| B                            |   | CCC                                      |   | $              | 198,796 |       |   | $ | 198,796 |   |

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Table of Contents

|                                                |        |                                          |         |            |         |        |         |        |
|------------------------------------------------|--------|------------------------------------------|---------|------------|---------|--------|---------|--------|
|                                           |   | Based on Values as of September 30, 2010 |
| PLMBS on Negative Watch as of October 31, 2010 |   | Carrying Value                           |    | Fair Value |
| (in thousands)                                 |   |                                     |    |       |
| Prime                                          |   | $                                        | 52,463  |       |    | $      | 51,622  |   |
| Alt-A                                          |   | 467,991                                  |    |       | 455,166 |   |
| Subprime                                       |   | 2,084                                    |    |       | 1,012   |   |
| Total                                          |   | $                                        | 522,538 |       |    | $      | 507,800 |   |

|                                                    |        |                            |                           |                       |         |                   |        |               |        |                       |        |                   |        |         |        |        |        |        |         |        |        |   |         |        |
|----------------------------------------------------|--------|----------------------------|---------------------------|-----------------------|---------|-------------------|--------|---------------|--------|-----------------------|--------|-------------------|--------|---------|--------|--------|--------|--------|---------|--------|--------|---|---------|--------|
|                                               |   | For the Three Months Ended | For the Nine Months Ended |
|                                               |   | September 30, 2010         |                      | September 30, 2010    |
| OTTI PLMBS                                         |   | Credit Losses              |                      | Net Non-Credit Losses |    | Total OTTI Losses |   | Credit Losses |   | Net Non-Credit Losses |   | Total OTTI Losses |
| (in thousands)                                     |   |                       |                      |                  |    |              |   |          |   |                  |   |              |
| PLMBS newly identified as OTTI in the period noted |   | $                          | 92                        |                  |    | $                 | 62,184 |          |   | $                     | 62,276 |              |   | $       | 5,643  |   |   | $      | 191,895 |   |   | $ | 197,538 |   |
| PLMBS identified as OTTI in prior periods          |   | 15,528                     |                      |                  | (15,528 | )                 |   | —       |   |                  | 76,423 |              |   | (66,449 | )      |   | 9,974  |   |
| Total                                              |   | $                          | 15,620                    |                  |    | $                 | 46,656 |          |   | $                     | 62,276 |              |   | $       | 82,066 |   |   | $      | 125,446 |   |   | $ | 207,512 |   |

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Table of Contents

|                                                    |        |                            |                           |                       |          |                   |         |               |        |                       |        |                   |        |         |         |        |        |        |         |        |        |   |           |        |
|----------------------------------------------------|--------|----------------------------|---------------------------|-----------------------|----------|-------------------|---------|---------------|--------|-----------------------|--------|-------------------|--------|---------|---------|--------|--------|--------|---------|--------|--------|---|-----------|--------|
|                                               |   | For the Three Months Ended | For the Nine Months Ended |
|                                               |   | September 30, 2009         |                      | September 30, 2009    |
| OTTI PLMBS                                         |   | Credit Losses              |                      | Net Non-Credit Losses |     | Total OTTI Losses |    | Credit Losses |   | Net Non-Credit Losses |   | Total OTTI Losses |
| (in thousands)                                     |   |                       |                      |                  |     |              |    |          |   |                  |   |              |
| PLMBS newly identified as OTTI in the period noted |   | $                          | 2,511                     |                  |     | $                 | 79,920  |          |   | $                     | 82,431 |              |   | $       | 171,561 |   |   | $      | 989,954 |   |   | $ | 1,161,515 |   |
| PLMBS identified as OTTI in prior periods          |   | 127,589                    |                      |                  | (125,041 | )                 |    | 2,548         |   |                  | 91,958 |              |   | (13,300 | )       |   | 78,658 |   |
| Total                                              |   | $                          | 130,100                   |                  |     | $                 | (45,121 | )             |   | $                     | 84,979 |              |   | $       | 263,519 |   |   | $      | 976,654 |   |   | $ | 1,240,173 |   |

|                        |        |                                                                                                |        |                            |        |                    |        |                           |        |                    |        |           |        |                    |        |           |
|------------------------|--------|------------------------------------------------------------------------------------------------|--------|----------------------------|--------|--------------------|--------|---------------------------|--------|--------------------|--------|-----------|--------|--------------------|--------|-----------|
|                   |   | Significant Inputs Used to Measure Credit Losses for the Three Months Ended September 30, 2010 |   |                       |   |               |
|                   |   | Cumulative VoluntaryPrepayment Rates *                                                    |   | Cumulative Default Rates * |   | Loss Severities    |   | CurrentCredit Enhancement |
| Year of Securitization |   | Weighted Average %                                                                             |   | Range %                    |   | Weighted Average % |   | Range %                   |   | Weighted Average % |   | Range %   |   | Weighted Average % |   | Range %   |
| Alt-A:                 |   |                                                                                           |   |                       |   |               |   |                      |   |               |   |      |   |               |   |      |
|   2008       |   | 9.2                                                                                            |   | 8.2-10.4                   |   | 57.6               |   | 51.8-63.0                 |   | 47.4               |   | 45.0-50.5 |   | 36.9               |   | 27.5-41.8 |
|   2007       |   | 7.1                                                                                            |   | 4.2-15.7                   |   | 78.9               |   | 35.6-89.7                 |   | 52.3               |   | 44.7-59.5 |   | 35.6               |   | 5.7-44.7  |
|   2006       |   | 5.2                                                                                            |   | 3.6-6.4                    |   | 86.0               |   | 76.7-90.1                 |   | 52.9               |   | 44.4-61.6 |   | 41.4               |   | 35.8-47.2 |
|   2005       |   | 8.0                                                                                            |   | 6.6-10.4                   |   | 69.7               |   | 49.4-78.4                 |   | 46.3               |   | 32.6-54.0 |   | 29.9               |   | 0-49.7    |
| Total                  |   | 6.8                                                                                            |   | 3.6-15.7                   |   | 78.4               |   | 35.6-90.1                 |   | 51.7               |   | 32.6-61.6 |   | 37.3               |   | 0-49.7    |

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

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Table of Contents

|                  |        |                          |         |                      |        |                         |         |            |        |                          |         |                      |        |            |         |        |        |   |           |        |        |   |           |        |        |   |           |        |
|------------------|--------|--------------------------|---------|----------------------|--------|-------------------------|---------|------------|--------|--------------------------|---------|----------------------|--------|------------|---------|--------|--------|---|-----------|--------|--------|---|-----------|--------|--------|---|-----------|--------|
|             |   | As of September 30, 2010 |
|             |   | HTM Securities           |    | AFS Securities       |
| OTTI Securities  |   | 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)  |   | $                        | 320,876 |                 |   | $                       | 319,005 |       |   | $                        | 178,136 |                 |   | $          | 182,370 |   |   | $ | 2,395,397 |   |   | $ | 1,996,310 |   |   | $ | 1,366,186 |   |
| Total OTTI PLMBS |   | $                        | 320,876 |                 |   | $                       | 319,005 |       |   | $                        | 178,136 |                 |   | $          | 182,370 |   |   | $ | 2,395,397 |   |   | $ | 1,996,310 |   |   | $ | 1,366,186 |   |

|                  |        |                          |         |                      |        |                    |         |            |        |                          |         |                      |        |            |         |        |        |   |           |        |        |   |           |        |        |   |         |        |
|------------------|--------|--------------------------|---------|----------------------|--------|--------------------|---------|------------|--------|--------------------------|---------|----------------------|--------|------------|---------|--------|--------|---|-----------|--------|--------|---|-----------|--------|--------|---|---------|--------|
|             |   | As of December 31, 2009  |
|             |   | HTM Securities           |    | AFS Securities       |
| OTTI Securities  |   | 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)  |   | $                        | 500,023 |                 |   | $                  | 492,852 |       |   | $                        | 283,559 |                 |   | $          | 289,781 |   |   | $ | 1,987,934 |   |   | $ | 1,673,296 |   |   | $ | 976,870 |   |
| Total OTTI PLMBS |   | $                        | 500,023 |                 |   | $                  | 492,852 |       |   | $                        | 283,559 |                 |   | $          | 289,781 |   |   | $ | 1,987,934 |   |   | $ | 1,673,296 |   |   | $ | 976,870 |   |

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

|                                             |        |                                            |        |                                          |        |                                     |        |                                            |        |                          |                                     |        |    |        |        |   |           |        |   |         |        |
|---------------------------------------------|--------|--------------------------------------------|--------|------------------------------------------|--------|-------------------------------------|--------|--------------------------------------------|--------|--------------------------|-------------------------------------|--------|----|--------|--------|---|-----------|--------|---|---------|--------|
|                                        |   | As of September 30, 2010                   |
|                                        |   | Actual Results - Base-Case HPI Scenario    |   | Pro-Forma Results - Adverse HPI Scenario |
| PLMBS                                       |   | Other-Than-Temporarily Impaired Securities |   | Unpaid Principal Balance                 |   | Q3 2010 OTTI Related to Credit Loss |   | Other-Than-Temporarily Impaired Securities |   | Unpaid Principal Balance | Q3 2010 OTTI Related to Credit Loss |
| (in thousands, except number of securities) |   |                                       |   |                                     |   |                                |   |                                       |   |                     |                                |
| Alt-A *                                     |   | 19                                         |   |                                     | $      | 1,428,707                           |   |                                       | $      | 15,620                   |                                |   | 45 |   |   | $ | 2,734,331 |   | $ | 137,506 |   |

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

----

Table of Contents

|                                                      |        |                    |        |                   |      |        |
|------------------------------------------------------|--------|--------------------|--------|-------------------|------|--------|
|                                                 |   | As of              |   | As of             |
| Conventional Mortgage Loans - FICO Scores *     |   | September 30, 2010 |   | December 31, 2009 |
| (in percentages, except weighted-average FICO score) |   |               |   |              |
| 620 to < 660                                      |   | 1.8                |   |              | 1.7  |   |
| 660 to < 700                                      |   | 12.8               |   |              | 12.5 |   |
| 700 to < 740                                      |   | 26.1               |   |              | 26.0 |   |
| >= 740                                            |   | 59.3               |   |              | 59.8 |   |
| Weighted-average FICO score                          |   | 745                |   |              | 746  |   |

|   |                                                                                 |
|---|---------------------------------------------------------------------------------|
| * | Represents the original FICO score of the lowest borrower for the related loan. |

|                                             |        |                    |        |                   |
|---------------------------------------------|--------|--------------------|--------|-------------------|
|                                        |   | As of              |   | As of             |
| Conventional Mortgage Loans - Loan-to-Value |   | September 30, 2010 |   | December 31, 2009 |
| (in percentages)                            |   |               |   |              |
| <= 60%                                   |   | 36.1               |   | 36.3              |
| > 60% to 70%                             |   | 20.2               |   | 20.4              |
| > 70% to 80%                             |   | 40.3               |   | 40.1              |
| > 80% to 90% *                      |   | 2.0                |   | 1.9               |
| > 90% *                             |   | 1.4                |   | 1.3               |
| Weighted-average loan-to-value              |   | 64.4               |   | 64.3              |

|   |                                                     |
|---|-----------------------------------------------------|
| * | Primary mortgage insurance required at origination. |

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|                                                                     |        |                         |        |                        |        |        |        |        |
|---------------------------------------------------------------------|--------|-------------------------|--------|------------------------|--------|--------|--------|--------|
|                                                                |   | As of                   |   | As of                  |
| Mortgage Loans Delinquent or in Foreclosure                         |   | September 30, 2010 |   | December 31, 2009 |
| (in thousands, except percentages)                                  |   |                    |   |                   |
| Conventional mortgage loan delinquencies - 30-59 days               |   | $                       | 29,386 |                   |   | $      | 35,380 |   |
| Conventional mortgage loan delinquencies - 60-89 days               |   | 9,338                   |   |                   | 12,268 |   |
| Conventional mortgage loan delinquencies - 90 days or greater       |   | 8,413                   |   |                   | 13,911 |   |
| Conventional mortgage loans in process of foreclosure (1)           |   | 30,243                  |   |                   | 11,689 |   |
| Real estate owned                                                   |   | 1,337                   |   |                   | 1,732  |   |
| Serious delinquency rate (2)                                        |   | 1.1                     | %      |                   | 0.7    | %      |
|                                                                |   |                    |   |                   |   |   |
| Government-insured mortgage loan delinquencies - 30-59 days         |   | $                       | 17,867 |                   |   | $      | 19,474 |   |
| Government-insured mortgage loan delinquencies - 60-89 days         |   | 7,823                   |   |                   | 10,427 |   |
| Government-insured mortgage loan delinquencies - 90 days or greater |   | 28,681                  |   |                   | 35,340 |   |
| Government-insured mortgage loans in process of foreclosure         |   | None                    |   |                   | None   |   |

|     |                                                                                                                                                                               |
|-----|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | Includes loans where the decision of foreclosure has been reported.                                                                                                           |
| (2) | Conventional mortgage loans greater than 90 days delinquent or in the process of foreclosure expressed as a percentage of total conventional mortgage loan principal balance. |

|                                                   |        |           |        |                    |         |        |   |
|---------------------------------------------------|--------|-----------|--------|--------------------|---------|--------|---|
|                                              |   | Total     |   | Percent            |
| Potential Higher-Risk Conventional Mortgage Loans |   | Par Value |   | Serious Delinquent |
| (in thousands, except percentages)                |   |      |   |               |
| FICO Score < 660                               |   | $         | 64,267 |               |    | 5.6    | % |
| High current loan-to-value loans *                |   | —   |   |               | — |   |
| FICO score < 660 and high loan-to-value loans  |   | —   |   |               | — |   |
| Total high-risk loans                             |   | $         | 64,267 |               |    | 5.6    | % |

|   |                                                                                                                                                                                                   |
|---|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| * | High loan-to-value loans are those with an estimated current loan-to-value ratio greater than 100% based on movement in property values where the property securing the mortgage loan is located. |

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|                                                                                   |        |                    |        |                   |        |        |        |        |
|-----------------------------------------------------------------------------------|--------|--------------------|--------|-------------------|--------|--------|--------|--------|
|                                                                              |   | As of              |   | As of             |
| Additional Information on Mortgage Loans Seriously Delinquent                     |   | September 30, 2010 |   | December 31, 2009 |
| (in thousands, except number of loans)                                            |   |               |   |              |
| Principal balance of seriously delinquent mortgages loans still accruing interest |   | $                  | 31,161 |              |   | $      | 22,228 |   |
| Principal balance of seriously delinquent mortgage loans on nonaccrual status *   |   | $                  | 7,494  |              |   | $      | 5,414  |   |
| Number of seriously delinquent mortgage loans on nonaccrual status                |   | 40                 |   |              | 27     |   |
| Gross amount of interest that would have been recorded based on original terms    |   | $                  | 469    |              |   | $      | 278    |   |

|   |                                                                                                                                                                     |
|---|---------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| * | A 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 September 30, 2010 |       | As of December 31, 2009                           |
| 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                      |   | $                        | 10,274,213 |                                              |     | $              | (501,583 | )                                                 |    | $          | 15,512,758 |     |     | $ | (382,911 | ) |
| Investments:                                         |   |                     |       |                                              |     |           |     |                                              |
| Fair value - existing cash item                      |   | 3,410,744                |       |                                              | (100,350 | )              |     | —                                           |    |       | —    |     |
| Consolidated obligation bonds:                       |   |                     |       |                                              |     |           |     |                                              |    |       |       |
| Fair value - existing cash item                      |   | 21,201,110               |       |                                              | 317,172  |           |     | 19,316,985                                        |    |       | (42,654    | )        |
| Non-qualifying economic hedges                       |   | 26,000                   |       |                                              | 224      |           |     | 212,000                                           |    |       | 134        |     |
| Total                                                |   | 21,227,110               |       |                                              | 317,396  |           |     | 19,528,985                                        |    |       | (42,520    | )        |
| Consolidated obligation discount notes:              |   |                     |       |                                              |     |           |     |                                              |    |       |       |
| Fair value - existing cash item                      |   | 1,647,482                |       |                                              | 1,461    |           |     | 3,689,802                                         |    |       | 2,727      |     |
| Balance sheet:                                       |   |                     |       |                                              |     |           |     |                                              |
| Non-qualifying economic hedges                       |   | 200,000                  |       |                                              | —  |           |     | 200,500                                           |    |       | 45         |     |
| Intermediary positions                               |   | 175,500                  |       |                                              | 14       |           |     | 447,200                                           |    |       | —    |     |
| Total notional and fair value                        |   | $                        | 36,935,049 |                                              |     | (283,062       | )        |                                              | $       | 39,379,245 |       |     | (422,659 | ) |
| Accrued interest at period end                       |   |                     |       |                                              | 20,269   |           |     |                                              |    | 75,139     |       |
| Cash collateral held by counterparty - assets        |   |                     |       |                                              | 59,655   |           |     |                                              |    | 59,421     |       |
| Cash collateral held from counterparty - liabilities |   |                     |       |                                              | 23,574   |           |     |                                              |    | 8,282      |       |
| Net derivative balance                               |   |                     |       |                                              | $        | (226,712       | )        |                                              |    |       | $          | (296,381 | )        |
|                                                 |   |                     |       |                                              |     |           |     |                                              |
| Net derivative asset balance                         |   |                     |       | $                                                 | 10,539   |           |     |                                              |    | $          | 3,649      |     |
| Net derivative liability balance                     |   |                     |       | 237,251                                           |     |           |     |                                              | 300,030 |       |
| Net derivative balance                               |   |                     |       | $                                                 | (226,712 | )              |     |                                              |    | $          | (296,381   | )        |

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Table of Contents

|                                               |        |                            |            |                                  |         |                 |        |                               |        |           |         |        |        |   |        |        |
|-----------------------------------------------|--------|----------------------------|------------|----------------------------------|---------|-----------------|--------|-------------------------------|--------|-----------|---------|--------|--------|---|--------|--------|
|                                          |   | As of September 30, 2010   |
| Counterparty Credit Exposure by Credit Rating |   | Derivative Notional Amount |       | Total Net Exposure at Fair Value |    | Collateral Held |   | Net Exposure After Collateral |
| (in thousands)                                |   |                       |       |                             |    |            |   |                          |
| AA                                            |   | $                          | 9,164,595  |                             |    | $               | 642    |                          |   | $         | — |   |   | $ | 642    |   |
| AA-                                           |   | 4,894,560                  |       |                             | — |            |   | —                       |   |      | — |   |
|  A+                                      |   | 15,073,432                 |       |                             | 18,504  |            |   | 22,705                        |   | (1)  | (4,201  | )      |
|  A                                       |   | 7,802,462                  |       |                             | 14,098  |            |   | —                       |   |      | 14,098  |   |
| Total                                         |   | $                          | 36,935,049 |                             |    | $               | 33,244 |                          |   | $         | 22,705  |   |   | $ | 10,539 |   |

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

|     |                                                                                                                                                                                                                                             |
|-----|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | Cash collateral of $23.6 million held as of September 30, 2010 is included in our derivative asset balance. As of September 30, 2010, we held cash collateral of $869,000 for one counterparty in excess of our net exposure at fair value. |
| (2) | Cash collateral of $8.3 million held as of December 31, 2009 is included in our derivative asset balance.                                                                                                                                   |

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|                          |        |                         |            |                        |            |        |            |        |
|--------------------------|--------|-------------------------|------------|------------------------|------------|--------|------------|--------|
|                     |   | As of                   |       | As of                  |
| Consolidated Obligations |   | September 30, 2010 |       | December 31, 2009 |
| (in thousands)           |   |                    |       |                   |
| Discount notes           |   | $                       | 14,014,461 |                   |       | $      | 18,501,642 |   |
| Bonds                    |   | 32,961,274              |       |                   | 29,762,229 |   |
| Total                    |   | $                       | 46,975,735 |                   |       | $      | 48,263,871 |   |

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|                                                                         |        |                          |            |                                                    |        |   |           |        |
|-------------------------------------------------------------------------|--------|--------------------------|------------|----------------------------------------------------|--------|---|-----------|--------|
|                                                                    |   | Consolidated Obligations |
| Short-Term Debt as of and for the Three Months Ended September 30, 2010 |   | Discount Notes           |       | Bonds with Original Maturities of One Year or Less |
| (in thousands, except percentages)                                      |   |                     |       |                                               |
| Outstanding balance as of period end (par)                              |   | $                        | 14,015,895 |                                               |   | $ | 4,425,000 |   |
| Weighted average interest rate as of period end                         |   | 0.14                     | %          |                                               | 0.31   | % |
| Daily average outstanding for the period                                |   | $                        | 15,448,189 |                                               |   | $ | 4,774,674 |   |
| Weighted-average interest rate for the period                           |   | 0.17                     | %          |                                               | 0.35   | % |
| Highest outstanding balance at any month-end for the period             |   | $                        | 16,697,491 |                                               |   | $ | 5,030,000 |   |

|                                    |        |                          |            |                            |        |           |           |                            |            |         |        |       |        |
|------------------------------------|--------|--------------------------|------------|----------------------------|--------|-----------|-----------|----------------------------|------------|---------|--------|-------|--------|
|                               |   | As of September 30, 2010 |       | As of December 31, 2009    |
| Interest-Rate Payment Terms        |   | Par Value                |       | Percent of Total Par Value |   | Par Value |      | Percent of Total Par Value |
| (in thousands, except percentages) |   |                     |       |                       |   |      |      |                       |
| Fixed                              |   | $                        | 22,941,565 |                       |   | 70.4      |      | $                          | 23,772,365 |    |   | 80.1  |   |
| Step-up                            |   | 4,546,000                |       |                       | 14.0   |      | 4,160,000 |                       |       | 14.0    |   |
| Variable                           |   | 4,850,000                |       |                       | 14.9   |      | 1,569,000 |                       |       | 5.3     |   |
| Capped variable                    |   | 200,000                  |       |                       | 0.6    |      | —   |                       |       | — |   |
| Range                              |   | 26,000                   |       |                       | 0.1    |      | 177,000   |                       |       | 0.6     |   |
| Total par value                    |   | $                        | 32,563,565 |                       |   | 100.0     |      | $                          | 29,678,365 |    |   | 100.0 |   |

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Table of Contents

|                                                     |        |                          |            |                               |        |        |            |                               |            |        |        |        |
|-----------------------------------------------------|--------|--------------------------|------------|-------------------------------|--------|--------|------------|-------------------------------|------------|--------|--------|--------|
|                                                |   | As of September 30, 2010 |       | As of December 31, 2009       |
| Term-to-Maturity and Weighted-Average Interest Rate |   | Amount                   |       | Weighted-AverageInterest Rate |   | Amount |       | Weighted-AverageInterest Rate |
| (in thousands, except interest rates)               |   |                     |       |                          |   |   |       |                          |
| Due in one year or less                             |   | $                        | 13,451,245 |                          |   | 0.71   |       | $                             | 11,264,000 |   |   | 1.12   |
| Due after one year through two years                |   | 5,327,550                |       |                          | 1.53   |   | 3,656,595  |                          |       | 1.81   |
| Due after two years through three years             |   | 3,332,000                |       |                          | 2.56   |   | 4,894,000  |                          |       | 2.55   |
| Due after three years through four years            |   | 2,702,500                |       |                          | 3.05   |   | 2,772,000  |                          |       | 3.10   |
| Due after four years through five years             |   | 3,100,500                |       |                          | 1.72   |   | 2,297,500  |                          |       | 3.74   |
| Thereafter                                          |   | 4,649,770                |       |                          | 4.29   |   | 4,794,270  |                          |       | 5.01   |
| Total par value                                     |   | 32,563,565               |       |                          | 1.84   |   | 29,678,365 |                          |       | 2.46   |
| Premiums                                            |   | 9,412                    |       |                          |   |   | 11,388     |                          |       |   |
| Discounts                                           |   | (21,630                  | )          |                          |   |   | (25,095    | )                             |       |   |
| Hedging adjustments                                 |   | 409,927                  |       |                          |   |   | 97,571     |                          |       |   |
| Total                                               |   | $                        | 32,961,274 |                          |   |   |       | $                             | 29,762,229 |   |   |   |

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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:                                                   |   |                 |    |                 |
| September 30, 2010                                                           |   | $                    | 158,864 |                 |   | $ | 2,639,495 |   |
| December 31, 2009                                                            |   | $                    | 158,864 |                 |   | $ | 2,637,330 |   |

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

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|                                                                      |        |                                         |         |                      |         |                      |           |                      |        |        |         |        |        |   |           |        |
|----------------------------------------------------------------------|--------|-----------------------------------------|---------|----------------------|---------|----------------------|-----------|----------------------|--------|--------|---------|--------|--------|---|-----------|--------|
|                                                                 |   | For the Nine Months Ended September 30, |
|                                                                 |   | 2010                                    |    | 2009                 |
| Capital Stock Activity                                               |   | Class ACapital Stock                    |    | Class BCapital Stock |    | Class ACapital Stock |      | Class BCapital Stock |
| (in thousands)                                                       |   |                                    |    |                 |    |                 |      |                 |
| Balance, beginning of period                                         |   | $                                       | 132,518 |                 |    | $                    | 1,717,149 |                 |   | $      | 117,853 |   |   | $ | 1,730,287 |   |
| New member capital stock purchases                                   |   | —                                 |    |                 | — |                 |      | —              |   |   | 5,961   |   |
| Existing member capital stock purchases                              |   | —                                 |    |                 | 2,165   |                 |      | 19,535               |   |   | 4,051   |   |
| Total capital stock purchases                                        |   | —                                 |    |                 | 2,165   |                 |      | 19,535               |   |   | 10,012  |   |
| Capital stock transferred from mandatorily redeemable capital stock: |   |                                    |    |                 |    |                 |      |                 |
| Transfers between shareholders                                       |   | —                                 |    |                 | 2,593   |                 |      | —              |   |   | 380     |   |
| Cancellation of membership withdrawal requests                       |   | —                                 |    |                 | 660     |                 |      | —              |   |   | 262     |   |
| Capital stock transferred to mandatorily redeemable capital stock:   |   |                                    |    |                 |    |                 |      |                 |   |   |
| Withdrawals/involuntary redemptions                                  |   | (5,367                                  | )       |                 | (25,434 | )                    |      | (2,253               | )      |   | (22,767 | )      |
| Voluntary redemptions                                                |   | —                                 |    |                 | — |                 |      | (572                 | )      |   | — |   |
| Redemption requests past redemption date                             |   | (697                                    | )       |                 | (29,498 | )                    |      | —              |   |   | — |   |
| Net transfers to mandatorily redeemable capital stock                |   | (6,064                                  | )       |                 | (51,679 | )                    |      | (2,825               | )      |   | (22,125 | )      |
| Balance, end of period                                               |   | $                                       | 126,454 |                 |    | $                    | 1,667,635 |                 |   | $      | 134,563 |   |   | $ | 1,718,174 |   |

|                                                               |        |                    |         |                        |        |        |         |        |
|---------------------------------------------------------------|--------|--------------------|---------|------------------------|--------|--------|---------|--------|
|                                                          |   | As of              |    | As of                  |
| Class B Capital Stock - Voluntary Redemption Requests by Date |   | September 30, 2010 |    | December 31, 2009 |
| (in thousands)                                                |   |               |    |                   |
| Less than one year                                            |   | $                  | 45,295  |                   |   | $      | 65,163  |   |
| One year through two years                                    |   | 65,871             |    |                   | 11,482 |   |
| Two years through three years                                 |   | 49,096             |    |                   | 67,511 |   |
| Three years through four years                                |   | 4,280              |    |                   | 45,897 |   |
| Four years through five years                                 |   | 21,005             |    |                   | 24,331 |   |
| Total                                                         |   | $                  | 185,547 |                   |   | $      | 214,384 |   |

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|                                                            |        |                          |        |                         |         |                      |         |                      |        |        |         |        |        |   |         |        |
|------------------------------------------------------------|--------|--------------------------|--------|-------------------------|---------|----------------------|---------|----------------------|--------|--------|---------|--------|--------|---|---------|--------|
|                                                       |   | As of September 30, 2010 |   | As of December 31, 2009 |
| Mandatorily Redeemable Capital Stock - Redemptions by Date |   | Class ACapital Stock     |   | Class BCapital Stock    |    | Class ACapital Stock |    | Class BCapital Stock |
| (in thousands)                                             |   |                     |   |                    |    |                 |    |                 |
| Past redemption date                                       |   | $                        | 27,043 |                    |    | $                    | 149,937 |                 |   | $      | 26,346  |   |   | $ | 62,302  |   |
| Less than one year                                         |   | 5,367                    |   |                    | 3,259   |                 |    | —              |   |   | 59,332  |   |
| One year through two years                                 |   | —                  |   |                    | 13,545  |                 |    | —              |   |   | 2,994   |   |
| Two years through three years                              |   | —                  |   |                    | 7,012   |                 |    | —              |   |   | 13,544  |   |
| Three years through four years                             |   | —                  |   |                    | 770,965 |                 |    | —              |   |   | 757,648 |   |
| Four years through five years                              |   | —                  |   |                    | 27,142  |                 |    | —              |   |   | 24,361  |   |
| Total                                                      |   | $                        | 32,410 |                    |    | $                    | 971,860 |                 |   | $      | 26,346  |   |   | $ | 920,181 |   |

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|                                                       |        |                         |           |                        |           |        |           |        |
|-------------------------------------------------------|--------|-------------------------|-----------|------------------------|-----------|--------|-----------|--------|
|                                                  |   | As of                   |      | As of                  |
| Permanent Capital and Risk-Based Capital Requirements |   | September 30, 2010 |      | December 31, 2009 |
| (in thousands)                                        |   |                    |      |                   |
| Permanent Capital:                                    |   |                    |      |                   |
| Class B capital stock                                 |   | $                       | 1,667,635 |                   |      | $      | 1,717,149 |   |
| Mandatorily redeemable Class B capital stock          |   | 971,860                 |      |                   | 920,181   |   |
| Retained earnings                                     |   | 76,835                  |      |                   | 52,897    |   |
| Permanent capital                                     |   | 2,716,330               |      |                   | 2,690,227 |   |
| Risk-Based Capital Requirement:                       |   |                    |      |                   |      |   |
| Credit risk                                           |   | 696,028                 |      |                   | 565,293   |   |
| Market risk                                           |   | 660,467                 |      |                   | 1,095,086 |   |
| Operations risk                                       |   | 406,948                 |      |                   | 498,114   |   |
| Risk-based capital requirement                        |   | 1,763,443               |      |                   | 2,158,493 |   |
| Risk-based capital surplus                            |   | $                       | 952,887   |                   |      | $      | 531,734   |   |

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|                                     |        |                         |           |                        |           |        |           |        |
|-------------------------------------|--------|-------------------------|-----------|------------------------|-----------|--------|-----------|--------|
|                                |   | As of                   |      | As of                  |
| Regulatory Capital-to-Assets Ratios |   | September 30, 2010 |      | December 31, 2009 |
| (in thousands, except percentages)  |   |                    |      |                   |
| Minimum regulatory capital          |   | $                       | 1,996,561 |                   |      | $      | 2,043,779 |   |
| Total regulatory capital            |   | 2,875,194               |      |                   | 2,849,091 |   |
| Regulatory capital-to-assets ratio  |   | 5.76                    | %         |                   | 5.58      | %      |

|                                                                                  |        |                         |           |                        |           |        |           |        |
|----------------------------------------------------------------------------------|--------|-------------------------|-----------|------------------------|-----------|--------|-----------|--------|
|                                                                             |   | As of                   |      | As of                  |
| Leverage Capital Ratios                                                          |   | September 30, 2010 |      | December 31, 2009 |
| (in thousands, except percentages)                                               |   |                    |      |                   |
| Minimum leverage capital (5.00% of total assets)                                 |   | $                       | 2,495,701 |                   |      | $      | 2,554,724 |   |
| Leverage capital (includes 1.5 weighting factor applicable to permanent capital) |   | 4,233,359               |      |                   | 4,194,205 |   |
| Leverage capital ratio                                                           |   | 8.48                    | %         |                   | 8.21      | %      |

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|                                |                                                                                                                                             |
|--------------------------------|---------------------------------------------------------------------------------------------------------------------------------------------|
| •     | Oversight – The Board will monitor our adherence to the Consent Order and provide related reports to the Finance Agency as requested. |

|                                |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |
|--------------------------------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| •     | Asset Improvement Program – We may not resume purchasing mortgage loans under the acquired member asset program. 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 assets, which satisfy requirements the Finance Agency may provide; and (3) collateral risk management policies, which satisfy requirements the Finance Agency may provide. |

|                                |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |
|--------------------------------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| •     | 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 capital restoration and retained earnings plans approved by the Finance Agency and prior written approval of the Finance Agency. |

|                                |                                                                                                                                                                                                                                                                                                                                                                                           |
|--------------------------------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| •     | Risk Management – Within 45 days of the Consent Order, the Board must engage an independent consultant to evaluate our credit risk management, which consultant and the scope of which engagement must be acceptable to the Finance Agency. The consultant’s report must be provided to the Board and the Finance Agency within 90 days of the consultant’s engagement. |

|                                |                                                                                                                                                                                                                                            |
|--------------------------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| •     | Senior Management – We will not take personnel action regarding compensation or make a material change to the duties and responsibilities of senior management, without consultation with and non-objection from 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. |

|                                |                                                                                                                                                                                                                                                                                                                                                                                                                  |
|--------------------------------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| •     | Compensation Practices – We will not pay executive officers any incentive-based compensation awards without the Finance Agency’s prior written approval. 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. |

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

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|                                     |        |                                          |        |                                         |        |                     |        |                    |        |        |        |        |
|-------------------------------------|--------|------------------------------------------|--------|-----------------------------------------|--------|---------------------|--------|--------------------|--------|--------|--------|--------|
|                                |   | Average Rate                             |   | Ending Rate                             |
|                                |   | For the Three Months Ended September 30, |   | For the Nine Months Ended September 30, |   | As of September 30, |   | As of December 31, |
| Market Instrument                   |   | 2010                                     |   | 2009                                    |   | 2010                |   | 2009               |   | 2010   |   | 2009   |
| (in percentages)                    |   |                                     |   |                                    |   |                |   |               |   |   |   |   |
| Federal funds effective/target rate |   | 0.19                                     |   | 0.15                                    |   | 0.17                |   | 0.17               |   | 0.15   |   | 0.05   |
| 3-month Treasury bill               |   | 0.14                                     |   | 0.15                                    |   | 0.13                |   | 0.17               |   | 0.15   |   | 0.05   |
| 3-month LIBOR                       |   | 0.39                                     |   | 0.41                                    |   | 0.36                |   | 0.83               |   | 0.29   |   | 0.25   |
| 2-year U.S. Treasury note           |   | 0.53                                     |   | 1.01                                    |   | 0.76                |   | 0.96               |   | 0.42   |   | 1.14   |
| 5-year U.S. Treasury note           |   | 1.53                                     |   | 2.45                                    |   | 2.06                |   | 2.14               |   | 1.26   |   | 2.68   |
| 10-year U.S. Treasury note          |   | 2.77                                     |   | 3.50                                    |   | 3.31                |   | 3.17               |   | 2.51   |   | 3.84   |

|                                      |        |                                          |            |                         |         |               |        |                 |         |                         |            |               |            |            |        |         |         |        |        |        |      |        |
|--------------------------------------|--------|------------------------------------------|------------|-------------------------|---------|---------------|--------|-----------------|---------|-------------------------|------------|---------------|------------|------------|--------|---------|---------|--------|--------|--------|------|--------|
|                                 |   | For the Three Months Ended September 30, |
|                                 |   | 2010                                     |       | 2009                    |
|                                 |   | Average Balance                          |       | Interest Income/Expense |    | Average Yield |   | Average Balance |    | Interest Income/Expense |       | Average Yield |
| (in thousands, except percentages)   |   |                                     |       |                    |    |          |   |            |    |                    |       |          |
| Interest-Earning Assets:             |   |                                     |       |                    |    |          |   |            |    |                    |       |          |
| Advances                             |   | $                                        | 17,186,544 |                    |    | $             | 44,433 |            |    | 1.03                    |       |          | $          | 26,666,215 |   |    | $       | 76,223 |   |   | 1.13 |   |
| Mortgage loans held for portfolio    |   | 3,670,894                                |       |                    | 47,177  |          |   | 5.10            |    |                    | 4,424,916  |          |       | 53,382     |   |    | 4.79    |   |
| Investments *                   |   | 30,976,836                               |       |                    | 50,634  |          |   | 0.65            |    |                    | 21,483,691 |          |       | 54,245     |   |    | 1.00    |   |
| Other interest-earning assets        |   | 40,927                                   |       |                    | 20      |          |   | 0.20            |    |                    | 60,993     |          |       | 24         |   |    | 0.16    |   |
| Total interest-earning assets        |   | 51,875,201                               |       |                    | 142,264 |          |   | 1.09            |    |                    | 52,635,815 |          |       | 183,874    |   |    | 1.39    |   |
| Other assets                         |   | (533,385                                 | )          |                    |    |          |   |            |    |                    | (990,995   | )             |       |       |   |    |    |   |
| Total assets                         |   | $                                        | 51,341,816 |                    |    |          |   |            |    |                    |       | $             | 51,644,820 |       |   |    |    |   |   |   |
| Interest-Bearing Liabilities:        |   |                                     |       |                    |    |          |   |            |    |                    |       |          |       |       |   |    |    |   |
| Consolidated obligations             |   | $                                        | 48,186,807 |                    |    | 100,314       |   |            | 0.83    |                    |       | $             | 48,645,742 |       |   | 135,818 |    |   | 1.11   |   |
| Deposits                             |   | 315,901                                  |       |                    | 78      |          |   | 0.10            |    |                    | 522,659    |          |       | 158        |   |    | 0.12    |   |
| Mandatorily redeemable capital stock |   | 975,778                                  |       |                    | — |          |   | —         |    |                    | 941,972    |          |       | —    |   |    | — |   |
| Other borrowings                     |   | 118                                      |       |                    | 1       |          |   | 0.22            |    |                    | 1,436      |          |       | —    |   |    | — |   |
| Total interest-bearing liabilities   |   | 49,478,604                               |       |                    | 100,393 |          |   | 0.80            |    |                    | 50,111,809 |          |       | 135,976    |   |    | 1.08    |   |
| Other liabilities                    |   | 746,819                                  |       |                    |    |          |   |            | 685,948 |                    |       |          |       |       |   |    |
| Capital                              |   | 1,116,393                                |       |                    |    |          |   |            | 847,063 |                    |       |          |       |       |   |    |
| Total liabilities and capital        |   | $                                        | 51,341,816 |                    |    |          |   |            |    |                    |       | $             | 51,644,820 |       |   |    |    |   |   |   |
| Net interest income                  |   |                                     |       |                    | $       | 41,871        |   |            |    |                    |       |          |       |       | $      | 47,898  |    |   |   |   |
|                                 |   |                                     |       |                    |    |          |   |            |    |                    |       |          |       |       |   |    |    |   |
| Interest-rate spread                 |   |                                     |       |                    | $       | 35,298        |   |            | 0.29    |                    |       |          |       |       | $      | 39,081  |    |   | 0.31   |   |
| Earnings from capital                |   |                                     |       |                    | 6,573   |          |   | 0.04            |    |                    |       |          |       | 8,817      |   |    | 0.06    |   |
| Net interest margin                  |   |                                     |       |                    | $       | 41,871        |   |            | 0.33    |                    |       |          |       |       | $      | 47,898  |    |   | 0.37   |   |

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|                                      |        |                                         |            |                         |         |               |         |                 |        |                         |            |               |            |            |        |         |         |         |        |        |      |        |
|--------------------------------------|--------|-----------------------------------------|------------|-------------------------|---------|---------------|---------|-----------------|--------|-------------------------|------------|---------------|------------|------------|--------|---------|---------|---------|--------|--------|------|--------|
|                                 |   | For the Nine Months Ended September 30, |
|                                 |   | 2010                                    |       | 2009                    |
|                                 |   | Average Balance                         |       | Interest Income/Expense |    | Average Yield |    | Average Balance |   | Interest Income/Expense |       | Average Yield |
| (in thousands, except percentages)   |   |                                    |       |                    |    |          |    |            |   |                    |       |          |
| Interest-Earning Assets:             |   |                                    |       |                    |    |          |    |            |   |                    |       |          |
| Advances                             |   | $                                       | 19,311,327 |                    |    | $             | 147,144 |            |   | 1.02                    |       |          | $          | 31,078,337 |   |    | $       | 366,360 |   |   | 1.58 |   |
| Mortgage loans held for portfolio    |   | 3,841,852                               |       |                    | 143,568 |          |    | 5.00            |   |                    | 4,727,960  |          |       | 180,799    |   |    | 5.11    |    |
| Investments *                   |   | 28,755,549                              |       |                    | 158,069 |          |    | 0.73            |   |                    | 19,530,069 |          |       | 174,070    |   |    | 1.19    |    |
| Other interest-earning assets        |   | 42,009                                  |       |                    | 55      |          |    | 0.18            |   |                    | 123,271    |          |       | 203        |   |    | 0.22    |    |
| Total interest-earning assets        |   | 51,950,737                              |       |                    | 448,836 |          |    | 1.16            |   |                    | 55,459,637 |          |       | 721,432    |   |    | 1.74    |    |
| Other assets                         |   | (586,313                                | )          |                    |    |          |    |            |   | (633,994                | )          |          |       |       |   |    |    |
| Total assets                         |   | $                                       | 51,364,424 |                    |    |          |    |            |   |                    |       | $             | 54,825,643 |       |   |    |    |    |   |   |
| Interest-Bearing Liabilities:        |   |                                    |       |                    |    |          |    |            |   |                    |       |          |       |       |   |    |    |    |
| Consolidated obligations             |   | $                                       | 48,170,918 |                    |    | 315,368       |    |            | 0.88   |                    |       | $             | 51,413,428 |       |   | 550,206 |    |    | 1.43   |   |
| Deposits                             |   | 325,891                                 |       |                    | 183     |          |    | 0.08            |   |                    | 605,390    |          |       | 885        |   |    | 0.20    |    |
| Mandatorily redeemable capital stock |   | 957,965                                 |       |                    | — |          |    | —         |   |                    | 928,003    |          |       | —    |   |    | — |    |
| Other borrowings                     |   | 157                                     |       |                    | 1       |          |    | 0.46            |   |                    | 1,665      |          |       | —    |   |    | — |    |
| Total interest-bearing liabilities   |   | 49,454,931                              |       |                    | 315,552 |          |    | 0.85            |   |                    | 52,948,486 |          |       | 551,091    |   |    | 1.39    |    |
| Other liabilities                    |   | 812,583                                 |       |                    |    |          |    |            |   | 658,531                 |       |          |       |       |   |
| Capital                              |   | 1,096,910                               |       |                    |    |          |    |            |   | 1,218,626               |       |          |       |       |   |
| Total liabilities and capital        |   | $                                       | 51,364,424 |                    |    |          |    |            |   |                    |       | $             | 54,825,643 |       |   |    |    |    |   |   |
| Net interest income                  |   |                                    |       |                    | $       | 133,284       |    |            |   |                    |       |          |       |       | $      | 170,341 |    |    |   |   |
|                                 |   |                                    |       |                    |    |          |    |            |   |                    |       |          |       |       |   |    |    |    |
| Interest-rate spread                 |   |                                    |       |                    | $       | 111,721       |    |            | 0.31   |                    |       |          |       |       | $      | 137,675 |    |    | 0.35   |   |
| Earnings from capital                |   |                                    |       |                    | 21,563  |          |    | 0.04            |   |                    |       |          |       | 32,666     |   |    | 0.07    |    |
| Net interest margin                  |   |                                    |       |                    | $       | 133,284       |    |            | 0.35   |                    |       |          |       |       | $      | 170,341 |    |    | 0.42   |   |

|   |                                                                                                                                                                                                                                                                                        |
|---|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| * | 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 September 30, |    | For the Nine Months Ended September 30, |
|                              |   | 2010 v. 2009Increase (Decrease)          |    | 2010 v. 2009Increase (Decrease)         |
| Changes in Volume and Rate        |   | Volume*                                  |    | Rate*                                   |    | Total  |    | Volume* |   | Rate*  |    | Total  |
|  (in thousands)              |   |                                     |    |                                    |    |   |    |    |   |   |    |   |   |
| Interest Income:                  |   |                                     |    |                                    |    |   |    |    |   |   |    |   |   |
| Advances                          |   | $                                        | (25,056 | )                                       |    | $      | (6,734  | )       |   | $      | (31,790 | )      |   | $        | (113,349 | )      |     | $      | (105,867 | )      |   | $ | (219,216 | ) |
| Investments                       |   | 61,129                                   |    |                                    | (64,740 | )      |    | (3,611  | )      |   | 64,828  |   |   | (80,829  | )        |   | (16,001  | )      |
| Mortgage loans held for portfolio |   | (19,442                                  | )       |                                    | 13,237  |   |    | (6,205  | )      |   | (33,197 | )      |   | (4,034   | )        |   | (37,231  | )      |
| Other loans                       |   | (22                                      | )       |                                    | 18      |   |    | (4      | )      |   | (113    | )      |   | (35      | )        |   | (148     | )      |
| Total interest income             |   | 16,609                                   |    |                                    | (58,219 | )      |    | (41,610 | )      |   | (81,831 | )      |   | (190,765 | )        |   | (272,596 | )      |
| Interest Expense:                 |   |                                     |    |                                    |    |   |    |    |   |   |    |   |   |     |     |
| Consolidated obligations          |   | (1,270                                   | )       |                                    | (34,234 | )      |    | (35,504 | )      |   | (32,817 | )      |   | (202,021 | )        |   | (234,838 | )      |
| Deposits                          |   | (55                                      | )       |                                    | (25     | )      |    | (80     | )      |   | (301    | )      |   | (401     | )        |   | (702     | )      |
| Other borrowings                  |   | —                                  |    |                                    | 1       |   |    | 1       |   |   | — |   |   | 1        |     |   | 1        |   |
| Total interest expense            |   | (1,325                                   | )       |                                    | (34,258 | )      |    | (35,583 | )      |   | (33,118 | )      |   | (202,421 | )        |   | (235,539 | )      |
| Change in net interest income     |   | $                                        | 17,934  |                                    |    | $      | (23,961 | )       |   | $      | (6,027  | )      |   | $        | (48,713  | )      |     | $      | 11,656   |   |   | $ | (37,057  | ) |

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

|                                    |        |                            |                           |               |        |                              |         |        |        |        |         |                              |        |         |        |        |       |         |        |        |       |   |
|------------------------------------|--------|----------------------------|---------------------------|---------------|--------|------------------------------|---------|--------|--------|--------|---------|------------------------------|--------|---------|--------|--------|-------|---------|--------|--------|-------|---|
|                               |   | For the Three Months Ended | For the Nine Months Ended |
|                               |   | September 30,              |                      | September 30, |
| Interest Income                    |   | 2010                       |                      | 2009          |   | Percent Increase/ (Decrease) |    | 2010   |   | 2009   |    | Percent Increase/ (Decrease) |
| (in thousands, except percentages) |   |                       |                      |          |   |                         |    |   |   |   |    |                         |
| Advances                           |   | $                          | 43,708                    |          |   | $                            | 74,354  |   |   | (41.2  | )       |                         | $      | 133,473 |   |   | $     | 358,858 |   |   | (62.8 | ) |
| Prepayment fees on advances, net   |   | 725                        |                      |          | 1,869  |                         |    | (61.2  | )      |   | 13,671  |                         |   | 7,502   |   |   | 82.2  |    |
| Subtotal                           |   | 44,433                     |                      |          | 76,223 |                         |    | (41.7  | )      |   | 147,144 |                         |   | 366,360 |   |   | (59.8 | )       |
| Investments                        |   | 50,634                     |                      |          | 54,245 |                         |    | (6.7   | )      |   | 158,069 |                         |   | 174,070 |   |   | (9.2  | )       |
| Mortgage loans held for portfolio  |   | 47,177                     |                      |          | 53,382 |                         |    | (11.6  | )      |   | 143,568 |                         |   | 180,799 |   |   | (20.6 | )       |
| Other interest income              |   | 20                         |                      |          | 24     |                         |    | (16.7  | )      |   | 55      |                         |   | 203     |   |   | (72.9 | )       |
| Total interest income              |   | $                          | 142,264                   |          |   | $                            | 183,874 |   |   | (22.6  | )       |                         | $      | 448,836 |   |   | $     | 721,432 |   |   | (37.8 | ) |

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|                                           |        |                            |                           |               |         |                              |         |        |        |        |         |                              |        |         |        |        |       |         |        |        |       |   |
|-------------------------------------------|--------|----------------------------|---------------------------|---------------|---------|------------------------------|---------|--------|--------|--------|---------|------------------------------|--------|---------|--------|--------|-------|---------|--------|--------|-------|---|
|                                      |   | For the Three Months Ended | For the Nine Months Ended |
|                                      |   | September 30,              |                      | September 30, |
| Interest Expense                          |   | 2010                       |                      | 2009          |    | Percent Increase/ (Decrease) |    | 2010   |   | 2009   |    | Percent Increase/ (Decrease) |
| (in thousands, except percentages)        |   |                       |                      |          |    |                         |    |   |   |   |    |                         |
| Consolidated obligations - discount notes |   | $                          | 6,700                     |          |    | $                            | 9,826   |   |   | (31.8  | )       |                         | $      | 16,802  |   |   | $     | 63,224  |   |   | (73.4 | ) |
| Consolidated obligations - bonds          |   | 93,614                     |                      |          | 125,992 |                         |    | (25.7  | )      |   | 298,566 |                         |   | 486,982 |   |   | (38.7 | )       |
| Deposits and other borrowings             |   | 79                         |                      |          | 158     |                         |    | (50.0  | )      |   | 184     |                         |   | 885     |   |   | (79.2 | )       |
| Total interest expense                    |   | $                          | 100,393                   |          |    | $                            | 135,976 |   |   | (26.2  | )       |                         | $      | 315,552 |   |   | $     | 551,091 |   |   | (42.7 | ) |

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|                                                     |        |                                                                     |        |                                                                |        |                                                                     |        |                                                                |        |        |         |        |        |   |        |        |
|-----------------------------------------------------|--------|---------------------------------------------------------------------|--------|----------------------------------------------------------------|--------|---------------------------------------------------------------------|--------|----------------------------------------------------------------|--------|--------|---------|--------|--------|---|--------|--------|
|                                                |   | For the Three Months Ended September 30,                            |
|                                                |   | 2010                                                                |   | 2009                                                           |
| Income Impact of Hedging Activities by Product |   | Amortization/Accretion of Hedging Activities in Net Interest Income |   | Net Realized Gain (Loss) on Derivatives and Hedging Activities |   | Amortization/Accretion of Hedging Activities in Net Interest Income |   | Net Realized Gain (Loss) on Derivatives and Hedging Activities |
| (in thousands)                                      |   |                                                                |   |                                                           |   |                                                                |   |                                                           |
| Advances                                            |   | $                                                                   | (174   | )                                                              |   | $                                                                   | 1,209  |                                                           |   | $      | 116     |   |   | $ | (1,696 | )      |
| AFS securities                                      |   | —                                                             |   |                                                           | 3,871  |                                                                |   | —                                                        |   |   | — |   |
| Consolidated obligation bonds                       |   | 9,141                                                               |   |                                                           | 1,452  |                                                                |   | 10,341                                                         |   |   | 2,371   |   |
| Consolidated obligation discount notes              |   | —                                                             |   |                                                           | (294   | )                                                                   |   | —                                                        |   |   | 1,323   |   |
| Balance sheet                                       |   | —                                                             |   |                                                           | 1,694  |                                                                |   | —                                                        |   |   | 738     |   |
| Intermediary positions                              |   | —                                                             |   |                                                           | 213    |                                                                |   | —                                                        |   |   | (183    | )      |
| Total                                               |   | $                                                                   | 8,967  |                                                           |   | $                                                                   | 8,145  |                                                           |   | $      | 10,457  |   |   | $ | 2,553  |   |

|                                               |        |                                                                     |        |                                                                |        |                                                                     |        |                                                                |        |        |         |        |        |   |        |   |
|-----------------------------------------------|--------|---------------------------------------------------------------------|--------|----------------------------------------------------------------|--------|---------------------------------------------------------------------|--------|----------------------------------------------------------------|--------|--------|---------|--------|--------|---|--------|---|
|                                          |   | For the Nine Months Ended September 30,                             |
|                                          |   | 2010                                                                |   | 2009                                                           |
| Income Impact of Hedging Activitiesby Product |   | Amortization/Accretion of Hedging Activities in Net Interest Income |   | Net Realized Gain (Loss) on Derivatives and Hedging Activities |   | Amortization/Accretion of Hedging Activities in Net Interest Income |   | Net Realized (Loss) Gain on Derivatives and Hedging Activities |
| (in thousands)                                |   |                                                                |   |                                                           |   |                                                                |   |                                                           |
| Advances                                      |   | $                                                                   | (523   | )                                                              |   | $                                                                   | (1,397 | )                                                              |   | $      | 196     |   |   | $ | (5,713 | ) |
| AFS securities                                |   | —                                                             |   |                                                           | 4,098  |                                                                |   | —                                                        |   |   | — |   |
| Consolidated obligation bonds                 |   | 29,515                                                              |   |                                                           | 22,906 |                                                                |   | 30,315                                                         |   |   | (6,084  | )      |
| Consolidated obligation discount notes        |   | —                                                             |   |                                                           | 83     |                                                                |   | 8,103                                                          |   |   | 2,519   |   |
| Balance sheet                                 |   | —                                                             |   |                                                           | 9,778  |                                                                |   | —                                                        |   |   | 906     |   |
| Intermediary positions                        |   | —                                                             |   |                                                           | (181   | )                                                                   |   | —                                                        |   |   | (41     | )      |
| Total                                         |   | $                                                                   | 28,992 |                                                           |   | $                                                                   | 35,287 |                                                           |   | $      | 38,614  |   |   | $ | (8,413 | ) |

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|                                                                       |        |                            |                           |               |          |                              |          |          |        |        |         |                              |        |          |        |        |        |          |        |        |      |        |
|-----------------------------------------------------------------------|--------|----------------------------|---------------------------|---------------|----------|------------------------------|----------|----------|--------|--------|---------|------------------------------|--------|----------|--------|--------|--------|----------|--------|--------|------|--------|
|                                                                  |   | For the Three Months Ended | For the Nine Months Ended |
|                                                                  |   | September 30,              |                      | September 30, |
| Other (Loss) Income                                                   |   | 2010                       |                      | 2009          |     | Percent Increase/ (Decrease) |     | 2010     |   | 2009   |    | Percent Increase/ (Decrease) |
| (in thousands, except percentages)                                    |   |                       |                      |          |     |                         |     |     |   |   |    |                         |
| Service fees                                                          |   | $                          | 708                       |          |     | $                            | 845      |     |   | (16.2  | )       |                         | $      | 2,103    |   |   | $      | 1,989    |   |   | 5.7  |   |
| Net OTTI loss recognized in income                                    |   | (15,620                    | )                         |          | (130,100 | )                            |     | 88.0     |   |   | (82,066 | )                            |   | (263,519 | )      |   | 68.9   |     |
| Net gain (loss) on derivatives and hedging activities                 |   | 8,145                      |                      |          | 2,553    |                         |     | 219.0    |   |   | 35,287  |                         |   | (8,413   | )      |   | 519.4  |     |
| Net realized loss on early extinguishment of consolidated obligations |   | (5,879                     | )                         |          | (301     | )                            |     | (1,853.2 | )      |   | (11,712 | )                            |   | (5,268   | )      |   | (122.3 | )        |
| Other, net                                                            |   | 5                          |                      |          | (15      | )                            |     | 133.3    |   |   | 4       |                         |   | 2        |   |   | 100.0  |     |
| Total other loss                                                      |   | $                          | (12,641                   | )             |     | $                            | (127,018 | )        |   | 90.0   |    |                         | $      | (56,384  | )      |   | $      | (275,209 | )      |   | 79.5 |   |

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|                                                                             |        |                            |        |                           |        |        |        |         |        |        |        |        |        |   |        |   |
|-----------------------------------------------------------------------------|--------|----------------------------|--------|---------------------------|--------|--------|--------|---------|--------|--------|--------|--------|--------|---|--------|---|
|                                                                        |   | For the Three Months Ended |   | For the Nine Months Ended |
|                                                                        |   | September 30,              |   | September 30,             |
| Net Gain (Loss) on Derivatives and Hedging Activities                       |   | 2010                       |   | 2009                      |   | 2010   |   | 2009    |
| (in thousands)                                                              |   |                       |   |                      |   |   |   |    |
| Derivatives and hedged items in fair value hedging relationships:           |   |                       |   |                      |   |   |   |    |
| Interest-rate swaps                                                         |   | $                          | 6,238  |                      |   | $      | 1,998  |    |   | $      | 25,690 |   |   | $ | (9,278 | ) |
| Total net gain (loss) related to fair value hedge ineffectiveness           |   | 6,238                      |   |                      | 1,998  |   |   | 25,690  |   |   | (9,278 | )      |
| Derivatives not designated as hedging instruments:                          |   |                       |   |                      |   |   |   |    |   |   |
| Economic hedges:                                                            |   |                       |   |                      |   |   |   |    |   |   |
| Interest-rate swaps                                                         |   | (2                         | )      |                      | (10    | )      |   | 15      |   |   | (6     | )      |
| Interest-rate caps or floors                                                |   | —                    |   |                      | (36    | )      |   | (47     | )      |   | (147   | )      |
| Net interest settlements                                                    |   | 1,909                      |   |                      | 604    |   |   | 9,629   |   |   | 1,039  |   |
| Intermediary transactions:                                                  |   |                       |   |                      |   |   |   |    |   |   |
| Interest-rate swaps                                                         |   | —                    |   |                      | (3     | )      |   | — |   |   | (21    | )      |
| Total net gain related to derivatives not designated as hedging instruments |   | 1,907                      |   |                      | 555    |   |   | 9,597   |   |   | 865    |   |
| Net gain (loss) on derivatives and hedging activities                       |   | $                          | 8,145  |                      |   | $      | 2,553  |    |   | $      | 35,287 |   |   | $ | (8,413 | ) |

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|                                                        |        |                            |            |                           |        |        |         |         |        |        |            |        |        |   |           |        |
|--------------------------------------------------------|--------|----------------------------|------------|---------------------------|--------|--------|---------|---------|--------|--------|------------|--------|--------|---|-----------|--------|
|                                                   |   | For the Three Months Ended |       | For the Nine Months Ended |
|                                                   |   | September 30,              |       | September 30,             |
| Consolidated Obligations Called and Early Extinguished |   | 2010                       |       | 2009                      |   | 2010   |    | 2009    |
| (in thousands, except interest rates)                  |   |                       |       |                      |   |   |    |    |
| Consolidated Obligations Called:                       |   |                       |       |                      |   |   |    |    |
| Par value                                              |   | $                          | 11,783,000 |                      |   | $      | 895,000 |    |   | $      | 24,024,800 |   |   | $ | 7,132,255 |   |
| Weighted-average interest rate                         |   | 1.62                       | %          |                      | 4.19   | %      |    | 1.78    | %      |   | 4.45       | %      |
| Consolidated Obligations Early Extinguished:           |   |                       |       |                      |   |   |    |    |
| Par value                                              |   | $                          | —    |                      |   | $      | 17,095  |    |   | $      | —    |   |   | $ | 34,170    |   |
| Weighted-average interest rate                         |   | —                    |       |                      | 5.38   | %      |    | — |   |   | 5.37       | %      |
| Total par value                                        |   | $                          | 11,783,000 |                      |   | $      | 912,095 |    |   | $      | 24,024,800 |   |   | $ | 7,166,425 |   |

|                                    |        |                            |                           |               |        |                              |        |        |        |        |        |                              |        |        |        |        |        |        |        |        |      |        |
|------------------------------------|--------|----------------------------|---------------------------|---------------|--------|------------------------------|--------|--------|--------|--------|--------|------------------------------|--------|--------|--------|--------|--------|--------|--------|--------|------|--------|
|                               |   | For the Three Months Ended | For the Nine Months Ended |
|                               |   | September 30,              |                      | September 30, |
| Other Expense                      |   | 2010                       |                      | 2009          |   | Percent Increase/ (Decrease) |   | 2010   |   | 2009   |   | Percent Increase/ (Decrease) |
| (in thousands, except percentages) |   |                       |                      |          |   |                         |   |   |   |   |   |                         |
| Operating expenses:                |   |                       |                      |          |   |                         |   |   |   |   |   |                         |
| Compensation and benefits          |   | $                          | 6,212                     |          |   | $                            | 8,579  |   |   | (27.6  | )      |                         | $      | 21,637 |   |   | $      | 22,173 |   |   | (2.4 | )      |
| Occupancy cost                     |   | 2,189                      |                      |          | 1,316  |                         |   | 66.3   |   |   | 4,784  |                         |   | 3,595  |   |   | 33.1   |   |
| Other operating                    |   | 6,363                      |                      |          | 3,710  |                         |   | 71.5   |   |   | 16,668 |                         |   | 10,167 |   |   | 63.9   |   |
| Finance Agency                     |   | 610                        |                      |          | 446    |                         |   | 36.8   |   |   | 1,902  |                         |   | 1,389  |   |   | 36.9   |   |
| Office of Finance                  |   | 588                        |                      |          | 494    |                         |   | 19.0   |   |   | 1,746  |                         |   | 1,430  |   |   | 22.1   |   |
| Other                              |   | 106                        |                      |          | 127    |                         |   | (16.5  | )      |   | (3,587 | )                            |   | 407    |   |   | (981.3 | )      |
| Total other expense                |   | $                          | 16,068                    |          |   | $                            | 14,672 |   |   | 9.5    |   |                         | $      | 43,150 |   |   | $      | 39,161 |   |   | 10.2 |   |

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|                                    |        |                            |                           |               |         |                              |         |        |        |        |        |                              |       |        |        |          |         |        |        |          |
|------------------------------------|--------|----------------------------|---------------------------|---------------|---------|------------------------------|---------|--------|--------|--------|--------|------------------------------|-------|--------|--------|----------|---------|--------|--------|----------|
|                               |   | For the Three Months Ended | For the Nine Months Ended |
|                               |   | September 30,              |                      | September 30, |
| AHP and REFCORP Assessments        |   | 2010                       |                      | 2009          |    | Percent Increase/ (Decrease) |    | 2010   |   | 2009   |   | Percent Increase/ (Decrease) |
| (in thousands, except percentages) |   |                       |                      |          |    |                         |    |   |   |   |   |                         |
| AHP                                |   | $                          | 1,074                     |          |    | $                            | — |   |   | N/A    |   | $                            | 2,659 |   |   | $        | — |   |   | N/A      |
| REFCORP                            |   | 2,418                      |                      |          | — |                         |    | N/A    |   | 5,985  |   |                         | 33    |   |   | 18,036.4 |
| Total assessments                  |   | $                          | 3,492                     |          |    | $                            | — |   |   | N/A    |   | $                            | 8,644 |   |   | $        | 33      |   |   | 26,093.9 |

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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                              |   | September 30, 2010 |    | December 31, 2009 |
| Effective duration of equity                       |   | 1.18                    |    |                   | 0.28   |    |
| Effective convexity of equity                      |   | 3.01                    |    |                   | 0.77   |    |
| Effective key-rate-duration-of-equity mismatch     |   | 3.82                    |    |                   | 1.80   |    |
| Market value-of-equity sensitivity                 |   |                    |    |                   |   |    |
| + 100 basis point shock scenario (in percentages)  |   | (0.73                   | )%      |                   | (0.57  | )%      |
| -  100 basis point shock scenario (in percentages) |   | 1.18                    |  % |                   | 0.37   |  % |

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|                                                       |        |                         |         |                        |        |              |        |          |
|-------------------------------------------------------|--------|-------------------------|---------|------------------------|--------|--------------|--------|----------|
|                                                  |   | As of                   |    | As of                  |   | Risk Measure |
| Basis and Mortgage Portfolio Risk Measures and Limits |   | September 30, 2010 |    | December 31, 2009 |   | Limit        |
| Effective duration of equity                          |   | (1.02                   | )       |                   | 0.45   |         |   | +/-5.00  |
| Effective convexity of equity                         |   | 2.04                    |    |                   | (0.40  | )            |   | +/-5.00  |
| Effective key-rate-duration-of-equity mismatch        |   | 1.69                    |    |                   | 1.26   |         |   | +/-3.50  |
| Market-value-of-equity sensitivity                    |   |                    |    |                   |   |         |   |     |
| + 100 basis point shock scenario (in percentages)     |   | 0.82                    |  % |                   | (0.87  | )%           |   | +/-4.50% |
| -  100 basis point shock scenario (in percentages)    |   | (0.39                   | )%      |                   | 0.11   |  %      |   | +/-4.50% |

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|                                |                                                                                                                                                                                                                                                                                                                                                    |
|--------------------------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| •     | Asset Improvement - We may not resume purchasing mortgage loans under our acquired member asset program, the MPP, and must submit to the Finance Agency, then implement as applicable, plans relating to: (1) mitigating risks related to our PLMBS portfolio and collateral management and (2) increasing advances as a percentage of our assets. |

|                                |                                                                                                                                                                                                                                                                                                                                                                                                      |
|--------------------------------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| •     | Capital Adequacy and Retained Earnings - We must submit to the Finance Agency for its approval a capital stock repurchase plan and will not resume capital stock repurchases or redemptions without prior approval of the Finance Agency. Further, we will not pay dividends except upon appropriate compliance with Finance Agency-approved plans, as well as prior approval of the Finance Agency. |

|                                |                                                                                                                                                                                                    |
|--------------------------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| •     | Risk Management - Our Board must engage an independent consultant to evaluate and provide a report regarding the Seattle Bank's credit risk management, on terms acceptable to the Finance Agency. |

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|             |        |                                                                                                                                                                                                                                                                                 |
|-------------|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| Exhibit No. |   | Exhibits                                                                                                                                                                                                                                                                        |
|        |   |                                                                                                                                                                                                                                                                            |
| 3.1         |   | Bylaws of the Federal Home Loan Bank of Seattle, as adopted March 31, 2006, as amended July 30, 2010 (incorporated by reference to Exhibit 3.1 to the Form 8-K filed with the SEC on August 5, 2010).                                                                           |
|        |   |                                                                                                                                                                                                                                                                            |
| 10.1        |   | Stipulation and Consent to the Issuance of a Consent Order dated October 25, 2010, executed by the Federal Home Loan Bank of Seattle and the Federal Housing Finance Agency (incorporated by reference to Exhibit 10.1 to the Form 8-K filed with the SEC on October 26, 2010). |
|        |   |                                                                                                                                                                                                                                                                            |
| 10.2        |   | Consent Order dated October 25, 2010 issued by the Federal Housing Finance Agency to the Federal Home Loan Bank of Seattle (incorporated by reference to Exhibit 10.2 to the Form 8-K filed with the SEC on October 26, 2010).                                                  |
|        |   |                                                                                                                                                                                                                                                                            |
| 31.1        |   | Certification of the Acting 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 Acting President and Chief Executive Officer pursuant to 18.U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.                                                                                                     |
|        |   |                                                                                                                                                                                                                                                                            |
| 32.2        |   | Certification of the Chief Accounting and Administrative Officer pursuant to 18.U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.                                                                                                      |

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|        |                                                                    |        |        |                  |
|--------|--------------------------------------------------------------------|--------|--------|------------------|
| By:    | /s/ Steven R. Horton                                               |   | Dated: | November 9, 2010 |
|   | Steven R. Horton                                                   |   |   |             |
|   | Acting President and Chief Executive Officer                       |   |   |             |
|   | (Principal Executive Officer)                                      |   |   |             |
|   |                                                               |   |   |             |
| By:    | /s/ Christina J. Gehrke                                            |   | Dated: | November 9, 2010 |
|   | Christina J. Gehrke                                                |   |   |             |
|   | Senior Vice President, Chief Accounting and Administrative Officer |   |   |             |
|   | (Principal Accounting Officer *)                                   |   |   |             |

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

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|             |        |                                                                                                                                                                                                                                                                                 |
|-------------|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| Exhibit No. |   | Exhibits                                                                                                                                                                                                                                                                        |
|        |   |                                                                                                                                                                                                                                                                            |
| 3.1         |   | Bylaws of the Federal Home Loan Bank of Seattle, as adopted March 31, 2006, as amended July 30, 2010 (incorporated by reference to Exhibit 3.1 to the Form 8-K filed with the SEC on August 5, 2010).                                                                           |
|        |   |                                                                                                                                                                                                                                                                            |
| 10.1        |   | Stipulation and Consent to the Issuance of a Consent Order dated October 25, 2010, executed by the Federal Home Loan Bank of Seattle and the Federal Housing Finance Agency (incorporated by reference to Exhibit 10.1 to the Form 8-K filed with the SEC on October 26, 2010). |
|        |   |                                                                                                                                                                                                                                                                            |
| 10.2        |   | Consent Order dated October 25, 2010 issued by the Federal Housing Finance Agency to the Federal Home Loan Bank of Seattle (incorporated by reference to Exhibit 10.2 to the Form 8-K filed with the SEC on October 26, 2010).                                                  |
|        |   |                                                                                                                                                                                                                                                                            |
| 31.1        |   | Certification of the Acting 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 Acting 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.                                                                                                      |