# EDGAR Filing Document

**Accession Number:** 0001316944
**File Stem:** 0001316944-25-000211
**Filing Date:** 2025-10
**Character Count:** 205455
**Document Hash:** 7b22796b034d6e4a0dc4756d3d22dc5f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001316944-25-000211.hdr.sgml**: 20251031

**ACCESSION NUMBER**: 0001316944-25-000211

**CONFORMED SUBMISSION TYPE**: 10-Q

**PUBLIC DOCUMENT COUNT**: 88

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251031

**DATE AS OF CHANGE**: 20251031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Federal Home Loan Bank of San Francisco
- **CENTRAL INDEX KEY:** 0001316944
- **STANDARD INDUSTRIAL CLASSIFICATION:** FEDERAL & FEDERALLY-SPONSORED CREDIT AGENCIES [6111]
- **ORGANIZATION NAME:** 02 Finance
- **EIN:** 946000630
- **STATE OF INCORPORATION:** X1
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** 10-Q
- **SEC ACT:** 1934 Act
- **SEC FILE NUMBER:** 000-51398
- **FILM NUMBER:** 251440693

**BUSINESS ADDRESS:**
- **STREET 1:** 333 BUSH STREET, SUITE 2700
- **CITY:** SAN FRANCISCO
- **STATE:** CA
- **ZIP:** 94104
- **BUSINESS PHONE:** (415) 616-1000

**MAIL ADDRESS:**
- **STREET 1:** 333 BUSH STREET, SUITE 2700
- **CITY:** SAN FRANCISCO
- **STATE:** CA
- **ZIP:** 94104

?xml version='1.0' encoding='ASCII'? fhlbsf-20250930

<u>[**Table of Contents**](#iedd7d0d8b02f4da293d754f9ff7c698e_4)</u>

**UNITED STATES**

**SECURITIES AND EXCHANGE COMMISSION**

**Washington, D.C. 20549** 

**____________________________________**

**FORM 10-Q** 

**______________________________________________________**

☒ **QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934**

**For the quarterly period ended September 30, 2025** 

**OR** 

☐ **TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934**

**Commission File Number: 000-51398** 

**FEDERAL HOME LOAN BANK OF SAN FRANCISCO** 

**(Exact name of registrant as specified in its charter)** 

**___________________________________________**

---

| | | |
|:---|:---|:---|
| **Federally chartered corporation of the United States** | **Federally chartered corporation of the United States** | **94-6000630** |
| (State or other jurisdiction of incorporation or organization) | (State or other jurisdiction of incorporation or organization) | (I.R.S. employer identification number) |
| **333 Bush Street, Suite 2700** | **333 Bush Street, Suite 2700** |  |
| **San Francisco,** | **CA** | **94104** |
| (Address of principal executive offices) | (Address of principal executive offices) | (Zip code) |

---

**(415) 616-1000** 

**(Registrant's telephone number, including area code)** 

Securities registered pursuant to Section 12(b) of the Securities Exchange Act of 1934:

---

| | | |
|:---|:---|:---|
| **Title of each class** | **Trading Symbol(s)** | **Name of each exchange on which registered** |

---

**___________________________________________**

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing for the past 90 days.&nbsp;&nbsp;&nbsp;&nbsp;☒ Yes&nbsp;&nbsp;&nbsp;&nbsp;☐ No

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).&nbsp;&nbsp;&nbsp;&nbsp;☒ Yes&nbsp;&nbsp;&nbsp;&nbsp;☐ No

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See definitions of "large accelerated filer," "accelerated filer," "smaller reporting company," and "emerging growth company" in Rule 12b-2 of the Exchange Act.

---

| | | | |
|:---|:---|:---|:---|
| Large accelerated filer | ☐ | Accelerated filer | ☐ |
| Non-accelerated filer | ☒ | Smaller reporting company | ☐ |
| | | Emerging growth company | ☐ |

---

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. &nbsp;&nbsp;&nbsp;&nbsp; ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).&nbsp;&nbsp;&nbsp;&nbsp;☐ Yes&nbsp;&nbsp;&nbsp;&nbsp;☒ No

Indicate the number of shares outstanding of each of the issuer's classes of common stock, as of the latest practicable date.

---

| | |
|:---|:---|
| | Shares Outstanding as of October 28, 2025 |
| Class B Stock, par value $100 per share | 26264449 |

---

------

<u>[**Table of Contents**](#iedd7d0d8b02f4da293d754f9ff7c698e_4)</u>

**Federal Home Loan Bank of San Francisco** 

**Form 10-Q**

 **Index**

---

| | | |
|:---|:---|:---|
| **PART I.** | **<u>[FINANCIAL INFORMATION](#iedd7d0d8b02f4da293d754f9ff7c698e_10)</u>** | |
| Item 1. | <u>[Financial Statements](#iedd7d0d8b02f4da293d754f9ff7c698e_13)</u> | <u>[1](#iedd7d0d8b02f4da293d754f9ff7c698e_13)</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>[Statements of Condition (Unaudited)](#iedd7d0d8b02f4da293d754f9ff7c698e_16)</u> | <u>[1](#iedd7d0d8b02f4da293d754f9ff7c698e_16)</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>[Statements of Income (Unaudited)](#iedd7d0d8b02f4da293d754f9ff7c698e_22)</u> | <u>[2](#iedd7d0d8b02f4da293d754f9ff7c698e_22)</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>[Statements of Comprehensive Income/(Loss) (Unaudited)](#iedd7d0d8b02f4da293d754f9ff7c698e_25)</u> | <u>[3](#iedd7d0d8b02f4da293d754f9ff7c698e_25)</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>[Statements of Capital Accounts (Unaudited)](#iedd7d0d8b02f4da293d754f9ff7c698e_28)</u> | <u>[4](#iedd7d0d8b02f4da293d754f9ff7c698e_28)</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>[Statements of Cash Flows (Unaudited)](#iedd7d0d8b02f4da293d754f9ff7c698e_37)</u> | <u>[5](#iedd7d0d8b02f4da293d754f9ff7c698e_37)</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>[Notes to Financial Statements (Unaudited)](#iedd7d0d8b02f4da293d754f9ff7c698e_40)</u> | <u>[7](#iedd7d0d8b02f4da293d754f9ff7c698e_40)</u> |
| Item 2. | <u>[Management's Discussion and Analysis of Financial Condition and Results of Operations](#iedd7d0d8b02f4da293d754f9ff7c698e_88)</u> | <u>[30](#iedd7d0d8b02f4da293d754f9ff7c698e_88)</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>[Quarterly Overview](#iedd7d0d8b02f4da293d754f9ff7c698e_91)</u> | <u>[31](#iedd7d0d8b02f4da293d754f9ff7c698e_91)</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>[Financial Highlights](#iedd7d0d8b02f4da293d754f9ff7c698e_94)</u> | <u>[32](#iedd7d0d8b02f4da293d754f9ff7c698e_94)</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>[Results of Operations](#iedd7d0d8b02f4da293d754f9ff7c698e_97)</u> | <u>[33](#iedd7d0d8b02f4da293d754f9ff7c698e_97)</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>[Financial Condition](#iedd7d0d8b02f4da293d754f9ff7c698e_106)</u> | <u>[44](#iedd7d0d8b02f4da293d754f9ff7c698e_106)</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>[Liquidity and Capital Resources](#iedd7d0d8b02f4da293d754f9ff7c698e_121)</u> | <u>[45](#iedd7d0d8b02f4da293d754f9ff7c698e_121)</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>[Risk Management](#iedd7d0d8b02f4da293d754f9ff7c698e_124)</u> | <u>[46](#iedd7d0d8b02f4da293d754f9ff7c698e_124)</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>[Critical Accounting Estimates](#iedd7d0d8b02f4da293d754f9ff7c698e_136)</u> | <u>[51](#iedd7d0d8b02f4da293d754f9ff7c698e_136)</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>[Recently Issued Accounting Guidance and Interpretations](#iedd7d0d8b02f4da293d754f9ff7c698e_139)</u> | <u>[52](#iedd7d0d8b02f4da293d754f9ff7c698e_139)</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>[Legislative and Regulatory Developments](#iedd7d0d8b02f4da293d754f9ff7c698e_142)</u> | <u>[52](#iedd7d0d8b02f4da293d754f9ff7c698e_142)</u> |
| Item 3. | <u>[Quantitative and Qualitative Disclosures About Market Risk](#iedd7d0d8b02f4da293d754f9ff7c698e_145)</u> | <u>[53](#iedd7d0d8b02f4da293d754f9ff7c698e_145)</u> |
| Item 4. | <u>[Controls and Procedures](#iedd7d0d8b02f4da293d754f9ff7c698e_148)</u> | <u>[54](#iedd7d0d8b02f4da293d754f9ff7c698e_148)</u> |
| **PART II.** | **<u>[OTHER INFORMATION](#iedd7d0d8b02f4da293d754f9ff7c698e_151)</u>** |  |
| Item 1. | <u>[Legal Proceedings](#iedd7d0d8b02f4da293d754f9ff7c698e_154)</u> | <u>[56](#iedd7d0d8b02f4da293d754f9ff7c698e_154)</u> |
| Item 1A. | <u>[Risk Factors](#iedd7d0d8b02f4da293d754f9ff7c698e_157)</u> | <u>[56](#iedd7d0d8b02f4da293d754f9ff7c698e_157)</u> |
| Item 2. | <u>[Unregistered Sales of Equity Securities and Use of Proceeds](#iedd7d0d8b02f4da293d754f9ff7c698e_160)</u> | <u>[56](#iedd7d0d8b02f4da293d754f9ff7c698e_160)</u> |
| Item 3. | <u>[Defaults Upon Senior Securities](#iedd7d0d8b02f4da293d754f9ff7c698e_163)</u> | <u>[56](#iedd7d0d8b02f4da293d754f9ff7c698e_163)</u> |
| Item 4. | <u>[Mine Safety Disclosures](#iedd7d0d8b02f4da293d754f9ff7c698e_166)</u> | <u>[56](#iedd7d0d8b02f4da293d754f9ff7c698e_166)</u> |
| Item 5. | <u>[Other Information](#iedd7d0d8b02f4da293d754f9ff7c698e_169)</u> | <u>[56](#iedd7d0d8b02f4da293d754f9ff7c698e_169)</u> |
| Item 6. | <u>[Exhibits](#iedd7d0d8b02f4da293d754f9ff7c698e_172)</u> | <u>[57](#iedd7d0d8b02f4da293d754f9ff7c698e_172)</u> |
| <u>[Signatures](#iedd7d0d8b02f4da293d754f9ff7c698e_175)</u> | <u>[Signatures](#iedd7d0d8b02f4da293d754f9ff7c698e_175)</u> | <u>[58](#iedd7d0d8b02f4da293d754f9ff7c698e_175)</u> |

---

------

<u>[**Table of Contents**](#iedd7d0d8b02f4da293d754f9ff7c698e_4)</u>

**PART I. FINANCIAL INFORMATION**

**ITEM 1. &nbsp;&nbsp;&nbsp;&nbsp;FINANCIAL STATEMENTS**

**Federal Home Loan Bank of San Francisco** 

**Statements of Condition**

(Unaudited)

---

| | | |
|:---|:---|:---|
| (In millions-except par value) | **September 30,<br>2025** | **December 31,<br>2024** |
| Assets: |  |  |
| Cash and due from banks | $12 | $2 |
| Interest-bearing deposits | 3306 | 3765 |
| Securities purchased under agreements to resell | 8250 | 7750 |
| Federal funds sold | 7277 | 1645 |
| Available-for-sale (AFS) securities, net of allowance for credit losses of $31 and $30, respectively (amortized cost of $20,509 and $20,274, respectively) | 20569 | 20312 |
| Held-to-maturity (HTM) securities (fair values of $1,001 and $1,469, respectively) | 1014 | 1489 |
| Advances (includes $5,512 and $5,286 at fair value under the fair value option, respectively) | 34242 | 45637 |
| Mortgage loans held for portfolio, net of allowance for credit losses of $1 and $1, respectively | 652 | 693 |
| Accrued interest receivable | 195 | 181 |
| Derivative assets, net | 25 | 30 |
| Other assets | 227 | 231 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Assets | $75769 | $81735 |
| Liabilities: |  |  |
| Deposits | $1046 | $1061 |
| Consolidated obligations: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Bonds (includes $360 and $436 at fair value under the fair value option, respectively) | 48747 | 58174 |
| &nbsp;&nbsp;&nbsp;Discount notes | 17648 | 14378 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total consolidated obligations | 66395 | 72552 |
| Mandatorily redeemable capital stock | 112 | 331 |
| Borrowings from other Federal Home Loan Banks (FHLBanks) | 300 |  |
| Accrued interest payable | 367 | 412 |
| Affordable Housing Program (AHP) payable | 142 | 140 |
| Derivative liabilities, net | 19 | 8 |
| Other liabilities | 249 | 227 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Liabilities | 68630 | 74731 |
| Commitments and Contingencies (Note 12) |  |  |
| Capital: |  |  |
| Capital stock—Class B—Putable ($100 par value) issued and outstanding: |  |  |
| 24 shares and 25 shares, respectively | 2439 | 2458 |
| Unrestricted retained earnings | 3798 | 3668 |
| Restricted retained earnings | 815 | 815 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Retained Earnings | 4613 | 4483 |
| Accumulated other comprehensive income/(loss) (AOCI) | 87 | 63 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Capital | 7139 | 7004 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Liabilities and Capital | $75769 | $81735 |

---

The accompanying notes are an integral part of these financial statements.

------

<u>[**Table of Contents**](#iedd7d0d8b02f4da293d754f9ff7c698e_4)</u>

**Federal Home Loan Bank of San Francisco**

**Statements of Income**

(Unaudited)

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Three Months Ended September 30,** | **Three Months Ended September 30,** | **Nine Months Ended September 30,** | **Nine Months Ended September 30,** |
|<br>(In millions) | **2025** | **2024** | **2025** | **2024** |
| **Interest Income:** |  |  |  |  |
| Advances | $462 | $695 | $1468 | $2185 |
| Interest-bearing deposits | 40 | 60 | 125 | 175 |
| Securities purchased under agreements to resell | 32 | 13 | 80 | 52 |
| Federal funds sold | 65 | 62 | 192 | 196 |
| AFS securities | 280 | 313 | 818 | 888 |
| HTM securities | 15 | 22 | 50 | 71 |
| Mortgage loans held for portfolio | 5 | 5 | 15 | 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Interest Income | 899 | 1170 | 2748 | 3583 |
| **Interest Expense:** |  |  |  |  |
| Consolidated obligations: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Bonds | 561 | 794 | 1761 | 2430 |
| &nbsp;&nbsp;&nbsp;&nbsp;Discount notes | 173 | 200 | 499 | 611 |
| Deposits | 15 | 18 | 46 | 54 |
| Mandatorily redeemable capital stock | 3 | 12 | 11 | 56 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Interest Expense | 752 | 1024 | 2317 | 3151 |
| **Net Interest Income** | 147 | 146 | 431 | 432 |
| Provision for/(reversal of) credit losses | (2) | (4) | 2 | (5) |
| **Net Interest Income After Provision for/(Reversal of) Credit Losses** | 149 | 150 | 429 | 437 |
| **Other Income/(Loss):** |  |  |  |  |
| Net gain/(loss) on advances and consolidated obligation bonds held under fair value option | (3) | 72 | 34 | 61 |
| Net gain/(loss) on derivatives | 15 | (49) | 1 | (31) |
| Standby letters of credit fees | 4 | 5 | 14 | 14 |
| Termination of long-term funding arrangement |  |  |  | 30 |
| Other, net | 3 | 2 | 7 | 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Other Income/(Loss) | 19 | 30 | 56 | 78 |
| **Non-Interest Expense:** |  |  |  |  |
| Compensation and benefits | 24 | 25 | 77 | 81 |
| Other operating expense | 13 | 14 | 41 | 43 |
| Federal Housing Finance Agency | 2 | 3 | 6 | 7 |
| Office of Finance | 1 | 2 | 4 | 5 |
| Voluntary housing and community investment contributions  | 6 | 21 | 26 | 27 |
| Other, net |  |  | (1) | (1) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Non-Interest Expense | 46 | 65 | 153 | 162 |
| **Income/(Loss) Before Assessment** | 122 | 115 | 332 | 353 |
| AHP assessment | 12 | 13 | 34 | 41 |
| **Net Income/(Loss)** | $110 | $102 | $298 | $312 |

---

The accompanying notes are an integral part of these financial statements.

------

<u>[**Table of Contents**](#iedd7d0d8b02f4da293d754f9ff7c698e_4)</u>

**Federal Home Loan Bank of San Francisco** 

**Statements of Comprehensive Income/(Loss)**

(Unaudited)

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Three Months Ended September 30,** | **Three Months Ended September 30,** | **Nine Months Ended September 30,** | **Nine Months Ended September 30,** |
|<br>(In millions) | **2025** | **2024** | **2025** | **2024** |
| **Net Income/(Loss)** | $110 | $102 | $298 | $312 |
| Other Comprehensive Income/(Loss): |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net unrealized gain/(loss) on AFS securities | 39 | (8) | 23 | 120 |
| &nbsp;&nbsp;&nbsp;&nbsp;Net change in pension and postretirement benefits | 1 | (1) | 1 | (1) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total other comprehensive income/(loss) | 40 | (9) | 24 | 119 |
| **Total Comprehensive Income/(Loss)** | $150 | $93 | $322 | $431 |

---

The accompanying notes are an integral part of these financial statements.

------

<u>[**Table of Contents**](#iedd7d0d8b02f4da293d754f9ff7c698e_4)</u>

**Federal Home Loan Bank of San Francisco** 

**Statements of Capital Accounts**

(Unaudited)

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Capital Stock<br>Class B—Putable** | **Capital Stock<br>Class B—Putable** | **Retained Earnings** | **Retained Earnings** | **Retained Earnings** | | **Total<br>Capital** |
|<br>(In millions) | **Shares** | **Par Value** | **Restricted** | **Unrestricted** | **Total** |<br>**AOCI** | **Total<br>Capital** |
| Balance, June 30, 2024 | 24 | $2449 | $815 | $3581 | $4396 | $56 | $6901 |
| Comprehensive income/(loss) |  |  |  | 102 | 102 | (9) | 93 |
| Issuance of capital stock | 3 | 331 |  |  |  |  | 331 |
| Repurchase of capital stock | (3) | (364) |  |  |  |  | (364) |
| Cash dividends paid on capital stock |  |  |  | (52) | (52) |  | (52) |
| Balance, September 30, 2024 | 24 | $2416 | $815 | $3631 | $4446 | $47 | $6909 |
| Balance, June 30, 2025 | 26 | $2575 | $815 | $3749 | $4564 | $47 | $7186 |
| Comprehensive income/(loss) |  |  |  | 110 | 110 | 40 | 150 |
| Issuance of capital stock | 6 | 644 |  |  |  |  | 644 |
| Repurchase of capital stock | (7) | (763) |  |  |  |  | (763) |
| Capital stock reclassified from/(to) mandatorily redeemable capital stock, net | (1) | (17) |  |  |  |  | (17) |
| Cash dividends paid on capital stock |  |  |  | (61) | (61) |  | (61) |
| Balance, September 30, 2025 | 24 | $2439 | $815 | $3798 | $4613 | $87 | $7139 |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Capital Stock<br>Class B—Putable** | **Capital Stock<br>Class B—Putable** | **Retained Earnings** | **Retained Earnings** | **Retained Earnings** | | **Total<br>Capital** |
|<br>(In millions) | **Shares** | **Par Value** | **Restricted** | **Unrestricted** | **Total** |<br>**AOCI** | **Total<br>Capital** |
| Balance, December 31, 2023 | 25 | $2450 | $815 | $3475 | $4290 | $(72) | $6668 |
| Comprehensive income/(loss) |  |  |  | 312 | 312 | 119 | 431 |
| Issuance of capital stock | 13 | 1320 |  |  |  |  | 1320 |
| Repurchase of capital stock | (13) | (1318) |  |  |  |  | (1318) |
| Capital stock reclassified from/(to) mandatorily redeemable capital stock, net | (1) | (36) |  |  |  |  | (36) |
| Cash dividends paid on capital stock |  |  |  | (156) | (156) |  | (156) |
| Balance, September 30, 2024 | 24 | $2416 | $815 | $3631 | $4446 | $47 | $6909 |
| Balance, December 31, 2024 | 25 | $2458 | $815 | $3668 | $4483 | $63 | $7004 |
| Comprehensive income/(loss) |  |  |  | 298 | 298 | 24 | 322 |
| Issuance of capital stock | 21 | 2106 |  |  |  |  | 2106 |
| Repurchase of capital stock | (21) | (2108) |  |  |  |  | (2108) |
| Capital stock reclassified from/(to) mandatorily redeemable capital stock, net | (1) | (17) |  |  |  |  | (17) |
| Cash dividends paid on capital stock |  |  |  | (168) | (168) |  | (168) |
| Balance, September 30, 2025 | 24 | $2439 | $815 | $3798 | $4613 | $87 | $7139 |

---

The accompanying notes are an integral part of these financial statements.

------

<u>[**Table of Contents**](#iedd7d0d8b02f4da293d754f9ff7c698e_4)</u>

**Federal Home Loan Bank of San Francisco** 

**Statements of Cash Flows**

(Unaudited)

---

| | | |
|:---|:---|:---|
| | **Nine Months Ended September 30,** | **Nine Months Ended September 30,** |
|<br>(In millions) | **2025** | **2024** |
| **Cash Flows from Operating Activities:** |  |  |
| Net Income/(Loss) | $298 | $312 |
| Adjustments to reconcile net income/(loss) to net cash provided by/(used in) operating activities: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Depreciation and amortization/(accretion) | 66 | (15) |
| &nbsp;&nbsp;&nbsp;&nbsp;Provision for/(reversal of) credit losses | 2 | (5) |
| &nbsp;&nbsp;&nbsp;&nbsp;Change in net fair value adjustment on advances and consolidated obligation bonds held under the fair value option | (34) | (61) |
| &nbsp;&nbsp;&nbsp;&nbsp;Change in net derivatives and hedging activities | (633) | (527) |
| &nbsp;&nbsp;&nbsp;&nbsp;Other adjustments, net |  | 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;Net change in: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Accrued interest receivable | (13) | (3) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Other assets | (6) | 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Accrued interest payable | (44) | (118) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Other liabilities | 25 | (1) |
| &nbsp;&nbsp;&nbsp;&nbsp;Total adjustments | (637) | (724) |
| &nbsp;&nbsp;&nbsp;&nbsp;Net cash provided by/(used in) operating activities | (339) | (412) |
| **Cash Flows from Investing Activities:** |  |  |
| Net change in: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Interest-bearing deposits | 589 | (1131) |
| &nbsp;&nbsp;&nbsp;&nbsp;Securities purchased under agreements to resell | (500) | 1900 |
| &nbsp;&nbsp;&nbsp;&nbsp;Federal funds sold | (5632) | (1034) |
| AFS securities: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Proceeds from maturities and paydowns | 3110 | 204 |
| &nbsp;&nbsp;&nbsp;&nbsp;Purchases | (2774) | (2063) |
| HTM securities: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Proceeds from maturities and paydowns | 475 | 297 |
| Advances: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Repaid | 530934 | 701067 |
| &nbsp;&nbsp;&nbsp;&nbsp;Originated | (519313) | (688774) |
| Mortgage loans held for portfolio: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Principal collected | 39 | 44 |
| &nbsp;&nbsp;&nbsp;&nbsp;Net cash provided by/(used in) investing activities | 6928 | 10510 |

---

------

<u>[**Table of Contents**](#iedd7d0d8b02f4da293d754f9ff7c698e_4)</u>

**Federal Home Loan Bank of San Francisco** 

**Statements of Cash Flows (continued)**

(Unaudited)

---

| | | |
|:---|:---|:---|
| | **Nine Months Ended September 30,** | **Nine Months Ended September 30,** |
|<br>(In millions) | **2025** | **2024** |
| **Cash Flows from Financing Activities:** |  |  |
| Net change in deposits and other financing activities | (78) | 375 |
| Net change in borrowings from other FHLBanks | 300 |  |
| Net proceeds/(payments) on derivative contracts with financing elements | 9 | 16 |
| Net proceeds from issuance of consolidated obligations: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Bonds | 41030 | 48532 |
| &nbsp;&nbsp;&nbsp;&nbsp;Discount notes | 67957 | 52711 |
| Payments for matured and retired consolidated obligations: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Bonds | (50699) | (50457) |
| &nbsp;&nbsp;&nbsp;&nbsp;Discount notes | (64692) | (60840) |
| Proceeds from issuance of capital stock | 2106 | 1320 |
| Payments for repurchase/redemption of mandatorily redeemable capital stock | (236) | (277) |
| Payments for repurchase of capital stock | (2108) | (1318) |
| Cash dividends paid | (168) | (156) |
| &nbsp;&nbsp;&nbsp;&nbsp;Net cash provided by/(used in) financing activities | (6579) | (10094) |
| &nbsp;&nbsp;&nbsp;&nbsp;Net increase/(decrease) in cash and due from banks | 10 | 4 |
| Cash and due from banks at beginning of the period | 2 | 5 |
| Cash and due from banks at end of the period | $12 | $9 |
| **Supplemental Disclosures:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Interest paid | $2415 | $3228 |
| **Supplemental Disclosures of Non-cash Investing and Financing Activities:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Transfers of capital stock to mandatorily redeemable capital stock | 17 | 36 |

---

The accompanying notes are an integral part of these financial statements.

------

<u>[**Table of Contents**](#iedd7d0d8b02f4da293d754f9ff7c698e_4)</u>

**Federal Home Loan Bank of San Francisco**

**Notes to Financial Statements**

**Note 1 — Basis of Presentation and Significant Accounting Policies**

The information about the Federal Home Loan Bank of San Francisco (Bank) included in these unaudited financial statements reflects all adjustments that, in the opinion of the Bank, are necessary for a fair statement of results for the periods presented. These adjustments are of a recurring nature, unless otherwise disclosed. The results of operations in these interim statements are not necessarily indicative of the results to be expected for any subsequent period or for the year ending December 31, 2025. These unaudited financial statements should be read in conjunction with the Bank's Annual Report on Form 10-K for the year ended December 31, 2024 (2024 Form 10-K).

**Use of Estimates.** The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America (U.S. GAAP) requires management to make a number of judgments, estimates, and assumptions that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income, expenses, gains, and losses during the reporting period. The most significant of these estimates is the accounting for derivatives and hedging activities. Actual results could differ significantly from these estimates.

Descriptions of the Bank's significant accounting policies are included in "Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies" in the Bank's 2024 Form 10-K. There have been no significant changes to the Bank's accounting policies since the Bank's 2024 Form 10-K.

**Note 2 — Recently Issued and Adopted Accounting Guidance**

There have been no recently adopted accounting standards that have had a material effect on the Bank's financial statements. The following table provides a summary of recently issued accounting standards that may have an effect on the Bank's financial statements.

---

| | | | |
|:---|:---|:---|:---|
| **Accounting Standards Update (ASU)** | **Description** | **Effective Date** | **Effect on the Financial Statements or Other Significant Matters** |
| Disaggregation of Income Statement Expenses (ASU 2024-03) | This update requires disclosure, in the notes to the financial statements, of specified information about certain costs and expenses on an interim and annual basis. | This guidance becomes effective for the Bank for the annual period ending December 31, 2027, and for interim and annual periods thereafter. Early adoption is permitted. | The Bank does not intend to adopt this guidance early. While adoption of this guidance may affect the Bank's disclosures, it will not have any effect on the Bank's financial condition, results of operations, or cash flows. |
| Targeted Improvements to the Accounting for Internal-Use Software (ASU 2025-06) | This update removes all references to prescriptive and sequential software development stages. Among other things, it requires an entity to start capitalizing software costs when management has committed to funding the project and it is probable that the project will be completed and used for its intended function. | This guidance becomes effective for the Bank for the interim and annual periods beginning on January 1, 2028. Early adoption is permitted. | The Bank is in the process of evaluating this guidance, and its effect on the Bank's financial condition, results of operations, and cash flows has not yet been determined. |

---

------

<u>[**Table of Contents**](#iedd7d0d8b02f4da293d754f9ff7c698e_4)</u>

**Federal Home Loan Bank of San Francisco**

**Notes to Financial Statements (continued)**

**Note 3 — Investments**

The Bank makes short-term investments in interest-bearing deposits, securities purchased under agreements to resell, and federal funds sold, and may make other investments in debt securities, which are classified as AFS or HTM.

***Interest-Bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold***

At September 30, 2025, and December 31, 2024, all investments in interest-bearing deposits and federal funds sold were repaid or were expected to be repaid according to the relevant contractual terms. No allowance for credit losses was recorded for these assets at September 30, 2025, and December 31, 2024.

The carrying value of interest-bearing deposits excludes $12 million and $15 million of accrued interest receivable as of September 30, 2025, and December 31, 2024, respectively. The carrying value of federal funds sold excludes $1 million and a de minimis amount of accrued interest receivable as of September 30, 2025, and December 31, 2024, respectively.

Based upon the collateral held as security and collateral maintenance provisions with its counterparties, the Bank determined that no allowance for credit losses was needed for its securities purchased under agreements to resell at September 30, 2025, and December 31, 2024. The carrying value of securities purchased under agreements to resell excludes $1 million of accrued interest receivable as of September 30, 2025, and December 31, 2024.

***Debt Securities***

**Available-for-Sale Securities.** The amortized cost and fair value of AFS securities by major security type as of September 30, 2025, and December 31, 2024, were as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **September 30, 2025**<br>(In millions) |<br>**Amortized**<br>**Cost** |<br>**Allowance for Credit Losses** |<br>**Gross<br>Unrealized<br>Gains** |<br>**Gross<br>Unrealized<br>Losses** |<br>**Estimated Fair Value** |
| U.S. Treasury obligations | $6516 | $— | $3 | $(1) | $6518 |
| State housing agency obligations | 28 |  |  |  | 28 |
| MBS: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Government-Sponsored Enterprises (GSEs) – multifamily | 13045 |  | 78 | (3) | 13120 |
| &nbsp;&nbsp;&nbsp;&nbsp;Private-label residential mortgage-backed securities (PLRMBS) | 920 | (31) | 32 | (18) | 903 |
| Total mortgage-backed securities (MBS) | 13965 | (31) | 110 | (21) | 14023 |
| Total | $20509 | $(31) | $113 | $(22) | $20569 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **December 31, 2024**<br>(In millions) |<br>**Amortized**<br>**Cost** |<br>**Allowance for Credit Losses** |<br>**Gross<br>Unrealized<br>Gains** |<br>**Gross<br>Unrealized<br>Losses** |<br>**Estimated Fair Value** |
| U.S. Treasury obligations | $6506 | $— | $4 | $— | $6510 |
| MBS: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;GSEs – multifamily | 12790 |  | 62 | (7) | 12845 |
| &nbsp;&nbsp;&nbsp;&nbsp;PLRMBS | 978 | (30) | 31 | (22) | 957 |
| Total MBS | 13768 | (30) | 93 | (29) | 13802 |
| Total | $20274 | $(30) | $97 | $(29) | $20312 |

---

------

<u>[**Table of Contents**](#iedd7d0d8b02f4da293d754f9ff7c698e_4)</u>

**Federal Home Loan Bank of San Francisco**

**Notes to Financial Statements (continued)**

Amortized cost excludes accrued interest receivable of $102 million and $92 million at September 30, 2025, and December 31, 2024, respectively. At September 30, 2025, the amortized cost of the Bank's MBS classified as AFS included premiums of $43 million and discounts of $154 million. At December 31, 2024, the amortized cost of the Bank's MBS classified as AFS included premiums of $51 million and discounts of $175 million. At September 30, 2025, and December 31, 2024, $562 million and $504 million of AFS securities, respectively, were pledged as collateral that may be repledged.

The following tables summarize unrealized losses by length of time that individual AFS securities in each security type had been in a continuous loss position.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Less Than 12 Months** | **Less Than 12 Months** | **12 Months or More** | **12 Months or More** | **Total** | **Total** |
| **September 30, 2025**<br>(In millions) | **Estimated<br>Fair Value** | **Gross Unrealized<br>Losses** | **Estimated<br>Fair Value** | **Gross Unrealized<br>Losses** | **Estimated<br>Fair Value** | **Gross Unrealized<br>Losses** |
| U.S. Treasury obligations | $1820 | $1 | $124 | $— | $1944 | $1 |
| State housing agency obligations | 11 |  |  |  | 11 |  |
| MBS – GSEs – multifamily | 659 | 1 | 607 | 2 | 1266 | 3 |
| PLRMBS | 28 | 1 | 243 | 17 | 271 | 18 |
| Total | $2518 | $3 | $974 | $19 | $3492 | $22 |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Less Than 12 Months** | **Less Than 12 Months** | **12 Months or More** | **12 Months or More** | **Total** | **Total** |
| **December 31, 2024**<br>(In millions) | **Estimated<br>Fair Value** | **Gross <br>Unrealized<br>Losses** | **Estimated<br>Fair Value** | **Gross Unrealized<br>Losses** | **Estimated<br>Fair Value** | **Gross Unrealized<br>Losses** |
| MBS – GSEs – multifamily | $1350 | $3 | $668 | $4 | $2018 | $7 |
| PLRMBS | 62 | 3 | 244 | 19 | 306 | 22 |
| Total | $1412 | $6 | $912 | $23 | $2324 | $29 |

---

*Redemption Terms* – The amortized cost and estimated fair value of U.S. Treasury securities and state housing agency obligations classified as AFS by contractual maturity (based on contractual final principal payment) and of MBS classified as AFS as of September 30, 2025, and December 31, 2024, are shown below. Expected maturities of MBS classified as AFS will differ from contractual maturities because borrowers may have the right to call or prepay the underlying obligations with or without call or prepayment fees.

---

| | | |
|:---|:---|:---|
| **September 30, 2025** | | |
| (In millions) |  |  |
| **Year of Contractual Maturity** | **Amortized<br>Cost** | **Estimated<br>Fair Value** |
| U.S. Treasury obligations: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due in 1 year or less | $1885 | $1885 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due after 1 year through 5 years | 4631 | 4633 |
| Total U.S. Treasury obligations | 6516 | 6518 |
| State housing agency obligations: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due after 1 year through 5 years | 1 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due after 5 years through 10 years | 27 | 27 |
| Total state housing agency obligations | 28 | 28 |
| MBS | 13965 | 14023 |
| Total | $20509 | $20569 |

---

------

<u>[**Table of Contents**](#iedd7d0d8b02f4da293d754f9ff7c698e_4)</u>

**Federal Home Loan Bank of San Francisco**

**Notes to Financial Statements (continued)**

---

| | | |
|:---|:---|:---|
| **December 31, 2024** | | |
| (In millions) |  |  |
| **Year of Contractual Maturity** | **Amortized<br>Cost** | **Estimated<br>Fair Value** |
| U.S. Treasury obligations: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due in 1 year or less | $3181 | $3183 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due after 1 year through 5 years | 3325 | 3327 |
| Total U.S. Treasury obligations | 6506 | 6510 |
| MBS | 13768 | 13802 |
| Total | $20274 | $20312 |

---

**Held-to-Maturity Securities.** The Bank classifies the following securities as HTM because the Bank has the positive intent and ability to hold these securities to maturity:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **September 30, 2025**<br>(In millions) |<br>**Amortized**<br>**Cost** |<br>**Gross**<br>**Unrecognized**<br>**Holding**<br>**Gains** <sup>(1)</sup> |<br>**Gross**<br>**Unrecognized**<br>**Holding**<br>**Losses** <sup>(1)</sup> |<br>**Estimated<br>Fair Value** |
| MBS – Other U.S. obligations – single-family | $20 | $— | $— | $20 |
| MBS – GSEs: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Single-family | 423 | 1 | (8) | 416 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Multifamily | 487 |  | (1) | 486 |
| Subtotal MBS – GSEs | 910 | 1 | (9) | 902 |
| PLRMBS | 84 |  | (5) | 79 |
| Total | $1014 | $1 | $(14) | $1001 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **December 31, 2024**<br>(In millions) |<br>**Amortized**<br>**Cost** |<br>**Gross**<br>**Unrecognized**<br>**Holding**<br>**Gains** <sup>(1)</sup> |<br>**Gross**<br>**Unrecognized**<br>**Holding**<br>**Losses** <sup>(1)</sup> |<br>**Estimated<br>Fair Value** |
| MBS – Other U.S. obligations – single-family | $29 | $— | $(1) | $28 |
| MBS – GSEs: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Single-family | 495 | 2 | (13) | 484 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Multifamily | 864 |  | (2) | 862 |
| Subtotal MBS – GSEs | 1359 | 2 | (15) | 1346 |
| PLRMBS | 101 |  | (6) | 95 |
| Total | $1489 | $2 | $(22) | $1469 |

---

(1)&nbsp;&nbsp;&nbsp;&nbsp;Gross unrecognized holding gains/(losses) represent the difference between estimated fair value and net carrying value.

Amortized cost excludes accrued interest receivable of $3 million and $5 million at September 30, 2025, and December 31, 2024, respectively.

------

<u>[**Table of Contents**](#iedd7d0d8b02f4da293d754f9ff7c698e_4)</u>

**Federal Home Loan Bank of San Francisco**

**Notes to Financial Statements (continued)**

**Allowance for Credit Losses on AFS and HTM Securities.** The following table presents a rollforward of the allowance for credit losses on PLRMBS classified as AFS for the three and nine months ended September 30, 2025 and 2024. The Bank recorded no allowance for credit losses associated with HTM securities during the three and nine months ended September 30, 2025 and 2024.

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Three Months Ended** | **Three Months Ended** | **Nine Months Ended** | **Nine Months Ended** |
|<br>(In millions) | **September 30, 2025** | **September 30, 2024** | **September 30, 2025** | **September 30, 2024** |
| Balance, beginning of the period | $33 | $28 | $30 | $31 |
| (Charge-offs)/recoveries |  | 1 | (1) | (1) |
| Provision for/(reversal of) credit losses | (2) | (4) | 2 | (5) |
| Balance, end of the period | $31 | $25 | $31 | $25 |

---

*Private-Label Residential Mortgage-Backed Securities* – There have been no significant changes in the composition, credit quality, or valuation methodology for the Bank's PLRMBS portfolio since December 31, 2024.

At September 30, 2025, and December 31, 2024, the previously recognized credit losses under the prior methodology of evaluating credit losses totaled $282 million and $293 million for PLRMBS, respectively. The total net accretion recognized in interest income associated with these PLRMBS totaled $3 million and $10 million for the three and nine months ended September 30, 2025, respectively, and $5 million and $8 million for the three and nine months ended September 30, 2024, respectively.

*AFS and HTM Securities (Excluding PLRMBS)* – There have been no significant changes in the credit quality, ratings distribution, or unrealized loss position of the Bank's AFS and HTM securities (excluding PLRMBS investments) since December 31, 2024. As a result, no allowance for credit losses was recorded on these AFS or HTM securities at September 30, 2025, and December 31, 2024.

**Note 4 — Advances** 

**Redemption Terms.** The following table presents advances outstanding by redemption term and weighted-average interest rate at September 30, 2025, and December 31, 2024.

---

| | | | | |
|:---|:---|:---|:---|:---|
| (Dollars in millions) | **September 30, 2025** | **September 30, 2025** | **December 31, 2024** | **December 31, 2024** |
| **Redemption Term** | **Amount**<br>**Outstanding**<sup>(1)</sup> | **Weighted<br>Average<br>Interest Rate** | **Amount**<br>**Outstanding**<sup>(1)</sup> | **Weighted<br>Average<br>Interest Rate** |
| Within 1 year | $16440 | 3.92% | $23712 | 4.30% |
| After 1 year through 2 years | 7848 | 4.20 | 11067 | 3.81 |
| After 2 years through 3 years | 5075 | 4.02 | 4526 | 3.97 |
| After 3 years through 4 years | 1066 | 3.97 | 3264 | 4.13 |
| After 4 years through 5 years | 1689 | 3.70 | 865 | 3.76 |
| After 5 years | 2079 | 3.79 | 2384 | 3.68 |
| Total par value | 34197 | 3.98% | 45818 | 4.09% |
| Valuation adjustments for hedging activities | (18) |  | (198) |  |
| Valuation adjustments under fair value option | 63 |  | 17 |  |
| Total | $34242 |  | $45637 |  |

---

(1)&nbsp;&nbsp;&nbsp;&nbsp;Carrying amounts exclude accrued interest receivable of $71 million and $63 million at September 30, 2025, and December 31, 2024, respectively.

Advances outstanding with redemption terms within three months totaled $5.9 billion and $15.1 billion at September 30, 2025, and December 31, 2024, respectively.

------

<u>[**Table of Contents**](#iedd7d0d8b02f4da293d754f9ff7c698e_4)</u>

**Federal Home Loan Bank of San Francisco**

**Notes to Financial Statements (continued)**

The following table summarizes advances at September 30, 2025, and December 31, 2024, by the earlier of the year of redemption term or next call date for callable advances and by the earlier of the year of redemption term or next put date for putable advances.

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Earlier of Redemption <br>Term or Next Call Date** | **Earlier of Redemption <br>Term or Next Call Date** | **Earlier of Redemption <br>Term or Next Put Date** | **Earlier of Redemption <br>Term or Next Put Date** |
|<br>(In millions) | **September 30, 2025** | **December 31, 2024** | **September 30, 2025** | **December 31, 2024** |
| Within 1 year | $19215 | $26023 | $20905 | $27676 |
| After 1 year through 2 years | 5348 | 9066 | 7253 | 10646 |
| After 2 years through 3 years | 5075 | 4526 | 3738 | 3487 |
| After 3 years through 4 years | 1066 | 3264 | 656 | 2886 |
| After 4 years through 5 years | 1689 | 855 | 1098 | 398 |
| After 5 years | 1804 | 2084 | 547 | 725 |
| Total par value | $34197 | $45818 | $34197 | $45818 |

---

**Concentration Risk.** The following tables present the concentration in advances by borrowers and their affiliates that is 10% or more of total advances outstanding, or 10% or more of total advance interest income.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **September 30, 2025** | **September 30, 2025** | **Three Months Ended<br>September 30, 2025** | **Three Months Ended<br>September 30, 2025** | **Nine Months Ended<br>September 30, 2025** | **Nine Months Ended<br>September 30, 2025** |
| <br>(Dollars in millions)<br>**Name of Borrower** | **Advances<br>Outstanding** | **Percentage of<br>Total<br>Advances<br>Outstanding** | **Interest<br>Income from<br>Advances**<sup>(1)</sup> | **Percentage of<br>Total Interest<br>Income from<br>Advances** | **Interest<br>Income from<br>Advances**<sup>(1)</sup> | **Percentage of<br>Total Interest<br>Income from<br>Advances** |
| Western Alliance Bank | $3400 | 10% | $48 | 11% | $145 | 11% |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **September 30, 2024** | **September 30, 2024** | **Three Months Ended<br>September 30, 2024** | **Three Months Ended<br>September 30, 2024** | **Nine Months Ended<br>September 30, 2024** | **Nine Months Ended<br>September 30, 2024** |
| <br>(Dollars in millions)<br>**Name of Borrower** | **Advances<br>Outstanding** | **Percentage of<br>Total<br>Advances<br>Outstanding** | **Interest<br>Income from<br>Advances**<sup>(1)</sup> | **Percentage of<br>Total Interest<br>Income from<br>Advances** | **Interest<br>Income from<br>Advances**<sup>(1)</sup> | **Percentage of<br>Total Interest<br>Income from<br>Advances** |
| JPMorgan Chase, National Association<sup>(2)</sup> | $14116 | 29% | $166 | 30% | $607 | 35% |
| Western Alliance Bank | 2500 | 5 | 54 | 10 | 150 | 9 |

---

(1)&nbsp;&nbsp;&nbsp;&nbsp;Interest income amounts exclude prepayment fees and the interest effect of interest rate exchange agreements with derivative counterparties.

(2)&nbsp;&nbsp;&nbsp;&nbsp;A nonmember. On May 1, 2023, the California Department of Financial Protection and Innovation closed First Republic Bank and appointed the Federal Deposit Insurance Corporation (FDIC) as receiver. On the same date, the FDIC transferred all of the deposits and substantially all of the assets of First Republic Bank, including $28.1 billion in advances outstanding from the Bank, to JPMorgan Chase, National Association, a nonmember. These advances outstanding are fully collateralized and are not expected to result in any credit loss to the Bank.

**Credit Risk Exposure and Security Terms.** The Bank manages its credit exposure related to advances through an integrated approach that provides for a credit limit to be established for each borrower, includes an ongoing review of each borrower's financial condition, and is coupled with conservative collateral and lending policies to limit the risk of loss. For more information related to the Bank's credit risk management practices, borrower eligibility, and collateral requirements for advances, see "Item 8. Financial Statements and Supplementary Data – Note 5 – Advances" in the Bank's 2024 Form 10-K.

At September 30, 2025, and December 31, 2024, the Bank had a perfected security interest in collateral pledged by each borrowing member, or by the member's affiliate on behalf of the member, and by each nonmember borrower, with an estimated value in excess of the outstanding credit products for that borrower. At September 30, 2025, and December 31, 2024, none of the Bank's credit products were past due or on nonaccrual status. There were no modifications to credit products related to borrowers experiencing financial difficulty during the three and nine months ended September 30, 2025 and 2024.

Based on the collateral pledged as security for advances, the Bank's credit analyses of borrowers' financial condition, repayment history on advances, and the Bank's credit extension and collateral policies as of

------

<u>[**Table of Contents**](#iedd7d0d8b02f4da293d754f9ff7c698e_4)</u>

**Federal Home Loan Bank of San Francisco**

**Notes to Financial Statements (continued)**

September 30, 2025, and December 31, 2024, the Bank expects to collect all amounts due according to the contractual terms of the advances. Therefore, no allowance for credit losses on advances was deemed necessary by the Bank as of September 30, 2025, and December 31, 2024.

**Interest Rate Payment Terms.** Interest rate payment terms for advances at September 30, 2025, and December 31, 2024, are detailed below:

---

| | | |
|:---|:---|:---|
| (In millions) | **September 30, 2025** | **December 31, 2024** |
| Par value of advances: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Fixed rate: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due within 1 year | $11114 | $15218 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due after 1 year | 15257 | 20101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total fixed rate | 26371 | 35319 |
| &nbsp;&nbsp;&nbsp;&nbsp;Adjustable rate: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due within 1 year | 5326 | 8494 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due after 1 year | 2500 | 2005 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total adjustable rate | 7826 | 10499 |
| Total par value | $34197 | $45818 |

---

**Note 5 — Mortgage Loans Held for Portfolio**

The following table presents information as of September 30, 2025, and December 31, 2024, on mortgage loans held for portfolio, all of which are secured by one- to four-unit residential properties and single-unit homes.

---

| | | |
|:---|:---|:---|
| (In millions) | **September 30, 2025** | **December 31, 2024** |
| Fixed rate medium-term mortgage loans<sup>(1)</sup> | $9 | $10 |
| Fixed rate long-term mortgage loans<sup>(1)</sup> | 611 | 648 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Subtotal | 620 | 658 |
| Premiums | 34 | 37 |
| Discounts | (1) | (1) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Mortgage loans held for portfolio<sup>(2)</sup> | 653 | 694 |
| Less: Allowance for credit losses | (1) | (1) |
| Total mortgage loans held for portfolio, net | $652 | $693 |

---

(1)Medium-term loans have original contractual terms of 15 years or less, and long-term loans have contractual terms of more than 15 years.

(2)Excludes accrued interest receivable of $5 million at September 30, 2025, and December 31, 2024.

------

<u>[**Table of Contents**](#iedd7d0d8b02f4da293d754f9ff7c698e_4)</u>

**Federal Home Loan Bank of San Francisco**

**Notes to Financial Statements (continued)**

**Credit Quality Indicators.** The following table presents the payment status for mortgage loans and other delinquency statistics for the Bank's mortgage loans at September 30, 2025, and December 31, 2024.

---

| | | |
|:---|:---|:---|
| (Dollars in millions) |  |  |
| **Payment Status, at Amortized Cost**<sup>(1)</sup> | **September 30, 2025** | **December 31, 2024** |
| 30 – 59 days delinquent | $8 | $8 |
| 60 – 89 days delinquent | 2 | 2 |
| 90 days or more delinquent | 16 | 17 |
| Total past due | 26 | 27 |
| Total current loans | 627 | 667 |
| Total mortgage loans held for portfolio | $653 | $694 |
| In process of foreclosure, included above<sup>(2)</sup> | $2 | $1 |
| Nonaccrual loans<sup>(3)</sup> | $16 | $17 |
| Serious delinquencies as a percentage of total mortgage loans outstanding<sup>(4)</sup> | 2.49% | 2.48% |

---

(1)&nbsp;&nbsp;&nbsp;&nbsp;The amortized cost in a loan is the unpaid principal balance of the loan, adjusted for net deferred loan fees or costs, amortized premiums or discounts, and direct write-downs.

(2)&nbsp;&nbsp;&nbsp;&nbsp;Includes loans for which the servicer has reported a decision to foreclose or to pursue a similar alternative, such as deed-in-lieu. Loans in process of foreclosure are included in past due or current loans depending on their delinquency status.

(3)&nbsp;&nbsp;&nbsp;&nbsp;At September 30, 2025, and December 31, 2024, $6 million and $5 million, respectively, of mortgage loans on nonaccrual status did not have an associated allowance for credit losses because these loans were either previously charged off to the expected recoverable value or the fair value of the underlying collateral, including any credit enhancements, is greater than the amortized cost of the loans.

(4)&nbsp;&nbsp;&nbsp;&nbsp;Represents loans that are 90 days or more past due or in the process of foreclosure as a percentage of the recorded investment of total mortgage loans outstanding.

**Allowance for Credit Losses on Mortgage Loans Held for Portfolio.** At both September 30, 2025 and December 31, 2024, the allowance for credit losses on the mortgage loan portfolio was $1 million. The amounts of charge-offs and recoveries related to the allowance for credit losses on the mortgage loan portfolio were de minimis for the three and nine months ended September 30, 2025 and 2024.

**Note 6 — Deposits** 

The Bank maintains demand deposit accounts that are directly related to the extension of credit to members and offers short-term deposit programs to members and qualifying nonmembers. In addition, a member that services mortgage loans held for portfolio may deposit in the Bank funds collected in connection with the mortgage loans, pending disbursement of these funds. The Bank classifies these types of deposits as non-interest-bearing deposits. Deposits classified as demand, overnight, and other pay interest based on a daily interest rate. Term deposits pay interest based on a fixed rate determined at the issuance of the deposit.

Deposits outstanding as of September 30, 2025, and December 31, 2024, were as follows:

---

| | | |
|:---|:---|:---|
| | **September 30, 2025** | **December 31, 2024** |
|<br>(In millions) | **Amount <br>Outstanding** | **Amount <br>Outstanding** |
| Demand and overnight interest-bearing deposits | $1040 | $1055 |
| Term | 2 |  |
| Non-interest-bearing deposits | 4 | 6 |
| Total | $1046 | $1061 |

---

------

<u>[**Table of Contents**](#iedd7d0d8b02f4da293d754f9ff7c698e_4)</u>

**Federal Home Loan Bank of San Francisco**

**Notes to Financial Statements (continued)**

**Note 7 — Consolidated Obligations** 

Consolidated obligations, consisting of bonds and discount notes, are jointly issued by the Federal Home Loan Banks (FHLBanks) through the Office of Finance, which serves as the FHLBanks' agent. As provided by the Federal Home Loan Bank Act of 1932, as amended (FHLBank Act) or by regulations governing the operations of the FHLBanks, all FHLBanks have joint and several liability for all FHLBank consolidated obligations, which are backed only by the financial resources of the FHLBanks. The par value of the outstanding consolidated obligations of the FHLBanks was $1.2 trillion at September 30, 2025, and December 31, 2024.

**Redemption Terms.** The following is a summary of the Bank's participation in consolidated obligation bonds at September 30, 2025, and December 31, 2024.

---

| | | | | |
|:---|:---|:---|:---|:---|
| (Dollars in millions) | **September 30, 2025** | **September 30, 2025** | **December 31, 2024** | **December 31, 2024** |
| **Contractual Maturity** | **Amount<br>Outstanding** | **Weighted<br>Average<br>Interest Rate** | **Amount<br>Outstanding** | **Weighted<br>Average<br>Interest Rate** |
| Within 1 year | $33463 | 3.74% | $39657 | 4.40% |
| After 1 year through 2 years | 9220 | 3.73 | 12005 | 2.96 |
| After 2 years through 3 years | 1767 | 3.41 | 1920 | 2.62 |
| After 3 years through 4 years | 1546 | 4.22 | 1487 | 3.50 |
| After 4 years through 5 years | 2102 | 4.39 | 2706 | 4.35 |
| After 5 years | 787 | 2.78 | 777 | 2.76 |
| Total par value | 48885 | 3.75% | 58552 | 4.00% |
| Unamortized discounts | (1) |  | (1) |  |
| Valuation adjustments for hedging activities | (132) |  | (363) |  |
| Fair value option valuation adjustments | (5) |  | (14) |  |
| Total | $48747 |  | $58174 |  |

---

The Bank's participation in consolidated obligation bonds outstanding includes callable bonds. The Bank's participation in consolidated obligation bonds by call features at September 30, 2025, and December 31, 2024, was as follows:

---

| | | |
|:---|:---|:---|
| (In millions) | **September 30, 2025** | **December 31, 2024** |
| Par value of consolidated obligation bonds: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Non-callable | $29685 | $40207 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Callable | 19200 | 18345 |
| Total par value | $48885 | $58552 |

---

The following is a summary of the Bank's participation in consolidated obligation bonds outstanding at September 30, 2025, and December 31, 2024, by the earlier of the year of contractual maturity or next call date.

---

| | | |
|:---|:---|:---|
| (In millions) |  |  |
| **Earlier of Contractual<br>Maturity or Next Call Date** | **September 30, 2025** | **December 31, 2024** |
| Within 1 year | $40783 | $49795 |
| After 1 year through 2 years | 7523 | 7608 |
| After 2 years through 3 years | 543 | 1101 |
| After 3 years through 4 years | 9 | 12 |
| After 4 years through 5 years |  | 9 |
| After 5 years | 27 | 27 |
| Total par value | $48885 | $58552 |

---

------

<u>[**Table of Contents**](#iedd7d0d8b02f4da293d754f9ff7c698e_4)</u>

**Federal Home Loan Bank of San Francisco**

**Notes to Financial Statements (continued)**

The Bank's participation in consolidated obligation discount notes, all of which are due within one year, was as follows:

---

| | | | |
|:---|:---|:---|:---|
| (Dollars in millions) | **Carrying Value** | **Par Value** | **Weighted-Average Interest Rate**<sup>(1)</sup> |
| September 30, 2025 | $17648 | $17758 | 4.01% |
| December 31, 2024 | 14378 | 14460 | 4.41% |

---

(1)Represents yield to maturity excluding concession fees.

**Interest Rate Payment Terms.** Interest rate payment terms for consolidated obligation bonds at September 30, 2025, and December 31, 2024, are detailed in the following table.

---

| | | |
|:---|:---|:---|
| (In millions) | **September 30, 2025** | **December 31, 2024** |
| Par value of consolidated obligation bonds: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Fixed rate | $25560 | $23410 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Adjustable rate | 22960 | 34692 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Step-up | 365 | 450 |
| Total consolidated obligation bonds, par value | $48885 | $58552 |

---

------

<u>[**Table of Contents**](#iedd7d0d8b02f4da293d754f9ff7c698e_4)</u>

**Federal Home Loan Bank of San Francisco**

**Notes to Financial Statements (continued)**

**Note 8 — Accumulated Other Comprehensive Income/(Loss)** 

The following table summarizes the changes in Accumulated Other Comprehensive Income/(Loss) (AOCI) for the three months ended September 30, 2025 and 2024:

---

| | | | |
|:---|:---|:---|:---|
| (In millions) | **Net Unrealized Gain/(Loss) on AFS Securities** | **Pension and Postretirement Benefits** | **Total <br>AOCI** |
| Balance, June 30, 2024 | $67 | $(11) | $56 |
| Other comprehensive income/(loss): |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net change in pension and postretirement benefits |  | (1) | (1) |
| &nbsp;&nbsp;&nbsp;&nbsp;Net change in fair value | (8) |  | (8) |
| Net current period other comprehensive income/(loss) | (8) | (1) | (9) |
| Balance, September 30, 2024 | $59 | $(12) | $47 |
| Balance, June 30, 2025 | $52 | $(5) | $47 |
| Other comprehensive income/(loss): |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net change in pension and postretirement benefits |  | 1 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;Net change in fair value | 39 |  | 39 |
| Net current period other comprehensive income/(loss) | 39 | 1 | 40 |
| Balance, September 30, 2025 | $91 | $(4) | $87 |

---

The following table summarizes the changes in AOCI for the nine months ended September 30, 2025 and 2024:

---

| | | | |
|:---|:---|:---|:---|
| (In millions) | **Net Unrealized Gain/(Loss) on AFS Securities** | **Pension and Postretirement Benefits** | **Total <br>AOCI** |
| Balance, December 31, 2023 | $(61) | $(11) | $(72) |
| Other comprehensive income/(loss): |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net change in pension and postretirement benefits |  | (1) | (1) |
| &nbsp;&nbsp;&nbsp;&nbsp;Net change in fair value | 120 |  | 120 |
| Net current period other comprehensive income/(loss) | 120 | (1) | 119 |
| Balance, September 30, 2024 | $59 | $(12) | $47 |
| Balance, December 31, 2024 | $68 | $(5) | $63 |
| Other comprehensive income/(loss): |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net change in pension and postretirement benefits |  | 1 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;Net change in fair value | 23 |  | 23 |
| Net current period other comprehensive income/(loss) | 23 | 1 | 24 |
| Balance, September 30, 2025 | $91 | $(4) | $87 |

---

------

<u>[**Table of Contents**](#iedd7d0d8b02f4da293d754f9ff7c698e_4)</u>

**Federal Home Loan Bank of San Francisco**

**Notes to Financial Statements (continued)**

**Note 9 — Capital** 

**Capital Requirements.** The FHLBank Act and regulations governing the operations of the FHLBanks require that the Bank's minimum capital stock requirement for shareholders must be sufficient to enable the Bank to meet its regulatory requirements for total regulatory capital, leverage capital, and risk-based capital.

As of September 30, 2025, and December 31, 2024, the Bank complied with these capital rules and requirements as shown in the following table.

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **September 30, 2025** | **September 30, 2025** | **December 31, 2024** | **December 31, 2024** |
|<br>(Dollars in millions) | **Required** | **Actual** | **Required** | **Actual** |
| Risk-based capital | $1095 | $7164 | $1058 | $7272 |
| Total regulatory capital | $3031 | $7164 | $3269 | $7272 |
| Total regulatory capital ratio | 4.00% | 9.46% | 4.00% | 8.90% |
| Leverage capital | $3788 | $10746 | $4087 | $10908 |
| Leverage ratio | 5.00% | 14.18% | 5.00% | 13.35% |

---

**Mandatorily Redeemable Capital Stock.** The changes in mandatorily redeemable capital stock for the three and nine months ended September 30, 2025 and 2024, were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Three Months Ended** | **Three Months Ended** | **Nine Months Ended** | **Nine Months Ended** |
|<br>(In millions) | **September 30, 2025** | **September 30, 2024** | **September 30, 2025** | **September 30, 2024** |
| Balance at the beginning of the period | $131 | $565 | $331 | $706 |
| Reclassified from/(to) capital during the period | 17 |  | 17 | 36 |
| Repurchase/redemption | (36) | (100) | (236) | (277) |
| Balance at the end of the period | $112 | $465 | $112 | $465 |

---

**Excess Stock Repurchase, Retained Earnings, and Dividend Framework.** There have been no significant changes to the Bank's capital plan and capital stock requirements (including excess stock repurchase provisions) from those disclosed in the Bank's 2024 Form 10-K.

Excess stock totaled $136 million, or 0.18% of total assets as of September 30, 2025. Excess stock totaled $111 million, or 0.14% of total assets as of December 31, 2024.

On October 23, 2025, the Board declared a quarterly cash dividend on the average capital stock outstanding during the third quarter of 2025 at an annualized rate of 8.75%, totaling $60 million. The Bank recorded the dividend on October 23, 2025, and expects to pay the dividend on November 13, 2025.

For more information on the Bank's membership capital stock requirement and activity-based capital stock requirement, mandatorily redeemable capital stock, excess stock repurchase, retained earnings, and dividend framework, see "Item 8. Financial Statements and Supplementary Data – Note 11 – Capital" in the Bank's 2024 Form 10-K.

**Concentration.** No institution held 10% or more of the Bank's outstanding capital stock, including mandatorily redeemable capital stock, as of September 30, 2025, or December 31, 2024.

------

<u>[**Table of Contents**](#iedd7d0d8b02f4da293d754f9ff7c698e_4)</u>

**Federal Home Loan Bank of San Francisco**

**Notes to Financial Statements (continued)**

**Note 10 — Derivatives and Hedging Activities** 

**General*.*** The Bank regularly enters into interest rate exchange agreements. Beginning in the second quarter of 2025, the Bank began designating advances with embedded options that are offset with interest rate exchange agreements as fair value hedges. Historically, the fair value option was typically elected for these transactions.

The following table summarizes the notional amount and fair value of derivative instruments, including the effect of netting adjustments and cash collateral as of September 30, 2025, and December 31, 2024. For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **September 30, 2025** | **September 30, 2025** | **September 30, 2025** | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** |
|<br>(In millions) | **Notional<br>Amount of<br>Derivatives** | **Derivative<br>Assets** | **Derivative<br>Liabilities** | **Notional<br>Amount of<br>Derivatives** | **Derivative<br>Assets** | **Derivative<br>Liabilities** |
| Derivatives designated as hedging instruments: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Interest rate swaps | $71977 | $590 | $192 | $76005 | $713 | $399 |
| Derivatives not designated as hedging instruments: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Interest rate swaps | 12827 | 7 | 60 | 13871 | 39 | 59 |
| Total derivatives before netting and collateral adjustments | $84804 | 597 | 252 | $89876 | 752 | 458 |
| Netting adjustments and cash collateral<sup>(1)</sup> |  | (572) | (233) |  | (722) | (450) |
| Total derivative assets and total derivative liabilities |  | $25 | $19 |  | $30 | $8 |

---

(1)&nbsp;&nbsp;&nbsp;&nbsp;Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral, including accrued interest, held or placed with the same clearing agents or counterparty. Cash collateral posted, including accrued interest, was $80 million and $210 million at September 30, 2025, and December 31, 2024, respectively. Cash collateral received, including accrued interest, was $419 million and $482 million at September 30, 2025, and December 31, 2024, respectively.

------

<u>[**Table of Contents**](#iedd7d0d8b02f4da293d754f9ff7c698e_4)</u>

**Federal Home Loan Bank of San Francisco**

**Notes to Financial Statements (continued)**

The following tables present, by type of hedged item, the gains and losses on fair value hedging relationships and the impact of derivatives in those relationships on the Bank's Statements of Income for the three and nine months ended September 30, 2025 and 2024.

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Three Months Ended September 30, 2025** | **Three Months Ended September 30, 2025** | **Three Months Ended September 30, 2025** | **Three Months Ended September 30, 2025** |
| | **Interest Income/(Expense)** | **Interest Income/(Expense)** | **Interest Income/(Expense)** | **Interest Income/(Expense)** |
|<br>(In millions) | **Advances** | **AFS Securities** | **Consolidated Obligation Bonds** | **Consolidated Obligation Discount Notes** |
| Total interest income/(expense) presented in the Statements of Income | $462 | $280 | $(561) | $(173) |
| Gain/(loss) on fair value hedging relationships |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Derivatives<sup>(1)</sup> | $11 | $7 | $1 | $(1) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Hedged items | 22 | 52 | (62) | (2) |
| Net gain/(loss) on derivatives and hedging activities recorded in net interest income | $33 | $59 | $(61) | $(3) |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Three Months Ended September 30, 2024** | **Three Months Ended September 30, 2024** | **Three Months Ended September 30, 2024** | **Three Months Ended September 30, 2024** |
| | **Interest Income/(Expense)** | **Interest Income/(Expense)** | **Interest Income/(Expense)** | **Interest Income/(Expense)** |
|<br>(In millions) | **Advances** | **AFS Securities** | **Consolidated Obligation Bonds** | **Consolidated Obligation Discount Notes** |
| Total interest income/(expense) presented in the Statements of Income | $695 | $313 | $(794) | $(200) |
| Gain/(loss) on fair value hedging relationships |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Derivatives<sup>(1)</sup> | $(288) | $(487) | $169 | $3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Hedged items | 424 | 595 | (297) | (4) |
| Net gain/(loss) on derivatives and hedging activities recorded in net interest income | $136 | $108 | $(128) | $(1) |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Nine Months Ended September 30, 2025** | **Nine Months Ended September 30, 2025** | **Nine Months Ended September 30, 2025** | **Nine Months Ended September 30, 2025** |
| | **Interest Income/(Expense)** | **Interest Income/(Expense)** | **Interest Income/(Expense)** | **Interest Income/(Expense)** |
|<br>(In millions) | **Advances** | **AFS Securities** | **Consolidated Obligation Bonds** | **Consolidated Obligation Discount Notes** |
| Total interest income/(expense) presented in the Statements of Income | $1468 | $818 | $(1761) | $(499) |
| Gain/(loss) on fair value hedging relationships |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Derivatives<sup>(1)</sup> | $(73) | $(325) | $56 | $(5) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Hedged items | 175 | 499 | (232) | 2 |
| Net gain/(loss) on derivatives and hedging activities recorded in net interest income | $102 | $174 | $(176) | $(3) |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Nine Months Ended September 30, 2024** | **Nine Months Ended September 30, 2024** | **Nine Months Ended September 30, 2024** | **Nine Months Ended September 30, 2024** |
| | **Interest Income/(Expense)** | **Interest Income/(Expense)** | **Interest Income/(Expense)** | **Interest Income/(Expense)** |
|<br>(In millions) | **Advances** | **AFS Securities** | **Consolidated Obligation Bonds** | **Consolidated Obligation Discount Notes** |
| Total interest income/(expense) presented in the Statements of Income | $2185 | $888 | $(2430) | $(611) |
| Gain/(loss) on fair value hedging relationships |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Derivatives<sup>(1)</sup> | $116 | $45 | $(51) | $1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Hedged items | 326 | 269 | (350) | (4) |
| Net gain/(loss) on derivatives and hedging activities recorded in net interest income | $442 | $314 | $(401) | $(3) |

---

(1)&nbsp;&nbsp;&nbsp;&nbsp;Includes net interest settlements.

------

<u>[**Table of Contents**](#iedd7d0d8b02f4da293d754f9ff7c698e_4)</u>

**Federal Home Loan Bank of San Francisco**

**Notes to Financial Statements (continued)**

The following tables present the cumulative basis adjustments on hedged items designated as fair value hedges and the related amortized cost of the hedged items as of September 30, 2025, and December 31, 2024.

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **September 30, 2025** | **September 30, 2025** | **September 30, 2025** | **September 30, 2025** |
|<br>(In millions) | **Advances** | **AFS Securities** | **Consolidated Obligation Bonds** | **Consolidated Obligation Discount Notes** |
| Amortized cost of hedged asset/(liability)<sup>(1)</sup> | $16695 | $19551 | $(24190) | $(11971) |
| Fair value hedging basis adjustments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Active hedging relationships included in amortized cost | $(31) | $(589) | $132 | $(2) |
| &nbsp;&nbsp;&nbsp;Discontinued hedging relationships included in amortized cost | 13 | 419 |  |  |
| Total amount of fair value hedging basis adjustments | $(18) | $(170) | $132 | $(2) |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** |
|<br>(In millions) | **Advances** | **AFS Securities** | **Consolidated Obligation Bonds** | **Consolidated Obligation Discount Notes** |
| Amortized cost of hedged asset/(liability)<sup>(1)</sup> | $24880 | $19296 | $(22142) | $(9702) |
| Fair value hedging basis adjustments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Active hedging relationships included in amortized cost | $(230) | $(1191) | $364 | $(4) |
| &nbsp;&nbsp;&nbsp;Discontinued hedging relationships included in amortized cost | 32 | 512 |  |  |
| Total amount of fair value hedging basis adjustments | $(198) | $(679) | $364 | $(4) |

---

(1)Includes only the portion of amortized cost representing the hedged items in fair value hedging relationships.

The following table presents the components of net gain/(loss) on derivatives as presented in the Statements of Income for the three and nine months ended September 30, 2025 and 2024.

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Three Months Ended** | **Three Months Ended** | **Nine Months Ended** | **Nine Months Ended** |
| (In millions) | **September 30, 2025** | **September 30, 2024** | **September 30, 2025** | **September 30, 2024** |
| **Derivatives not designated as hedging instruments** | **Gain/(Loss)** | **Gain/(Loss)** | **Gain/(Loss)** | **Gain/(Loss)** |
| Economic hedges: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Interest rate swaps | $3 | $(60) | $(34) | $(53) |
| &nbsp;&nbsp;&nbsp;&nbsp;Net interest settlements | 12 | 11 | 36 | 24 |
| Total net gain/(loss) related to derivatives not designated as hedging instruments | 15 | (49) | 2 | (29) |
| Price alignment amount<sup>(1)</sup> |  |  | (1) | (2) |
| Net gain/(loss) on derivatives | $15 | $(49) | $1 | $(31) |

---

(1)&nbsp;&nbsp;&nbsp;&nbsp;This amount relates to derivatives for which variation margin on cleared derivatives is characterized as a daily settled contract.

**Credit Risk.** The Bank's use of clearing agents and central counterparties helps mitigate credit risk exposure by employing standard valuation processes over initial and variation margin processes.

The Bank's agreements for uncleared derivative transactions contain provisions that link the Bank's credit rating to various rights and obligations. The aggregate fair value of all uncleared derivative instruments with credit risk-related contingent features that were in a net derivative liability position (before cash collateral and related accrued interest) at September 30, 2025, was $83 million, for which the Bank posted cash collateral of $80 million in the ordinary course of business.

------

<u>[**Table of Contents**](#iedd7d0d8b02f4da293d754f9ff7c698e_4)</u>

**Federal Home Loan Bank of San Francisco**

**Notes to Financial Statements (continued)**

The Bank may present derivative instruments, related cash collateral received or pledged, and associated accrued interest by clearing agent or by counterparty on a net basis when the netting requirements have been met. The following table presents separately the fair value of derivative assets and derivative liabilities that have met the netting requirements, including the related collateral received from or pledged to counterparties as of September 30, 2025, and December 31, 2024.

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **September 30, 2025** | **September 30, 2025** | **December 31, 2024** | **December 31, 2024** |
|<br>(In millions) | **Derivative Assets** | **Derivative Liabilities** | **Derivative Assets** | **Derivative Liabilities** |
| **Derivative instruments meeting netting requirements** |  |  |  |  |
| Gross recognized amount |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Uncleared | $595 | $242 | $730 | $452 |
| &nbsp;&nbsp;&nbsp;Cleared | 2 | 10 | 22 | 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total gross recognized amount | 597 | 252 | 752 | 458 |
| Gross amount of netting adjustments and cash collateral |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Uncleared | (570) | (231) | (729) | (444) |
| &nbsp;&nbsp;&nbsp;Cleared | (2) | (2) | 7 | (6) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total gross amounts of netting adjustments and cash collateral | (572) | (233) | (722) | (450) |
| Total derivative assets and total derivative liabilities | $25 | $19 | $30 | $8 |
| **Non-cash collateral received or pledged that can be sold or repledged** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Cleared | $— | $8 | $— | $— |
| Total net amount of non-cash collateral received or pledged | $— | $8 | $— | $— |
| **Net amount**<sup>(1)(2)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Uncleared | $25 | $11 | $1 | $8 |
| &nbsp;&nbsp;&nbsp;Cleared |  |  | 29 |  |
| Total net amount | $25 | $11 | $30 | $8 |

---

(1) &nbsp;&nbsp;&nbsp;&nbsp;The amount of non-cash collateral for uncleared derivatives included in the determination of the net amount is limited to the amount needed to secure the Bank's or counterparties' uncleared exposure. At September 30, 2025, the Bank received excess non-cash collateral with a fair value of $2 million.

(2) &nbsp;&nbsp;&nbsp;&nbsp;Any over-collateralization at the Bank's individual clearing agent and/or counterparty level is not included in the determination of the net amount. At September 30, 2025, and December 31, 2024, the Bank had additional net credit exposure of $554 million and $504 million, respectively, due to instances where non-cash collateral to a counterparty exceeded the Bank's net derivative position.

------

<u>[**Table of Contents**](#iedd7d0d8b02f4da293d754f9ff7c698e_4)</u>

**Federal Home Loan Bank of San Francisco**

**Notes to Financial Statements (continued)**

**Note 11 — Fair Value** 

The following fair value amounts have been determined by the Bank using available market information and the Bank's best judgment of appropriate valuation methods. There have been no material changes in the fair-value hierarchy classification of financial assets and liabilities, valuation techniques, or significant inputs since the Bank's 2024 Form 10-K. At September 30, 2025, and December 31, 2024, the Bank did not have any reclassifications for transfers in or out of Level 3 of the fair value hierarchy.

The following tables present the net carrying value or carrying value, as applicable, the estimated fair value, and the fair value hierarchy level of the Bank's financial instruments at September 30, 2025, and December 31, 2024.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **September 30, 2025** | **September 30, 2025** | **September 30, 2025** | **September 30, 2025** | **September 30, 2025** | **September 30, 2025** |
|<br>(In millions) | **Carrying**<br>**Value**<sup>(1)</sup> | **Estimated Fair Value** | **Level 1** | **Level 2** | **Level 3** | **Netting Adjustments and Cash Collateral**<sup>(2)</sup> |
| **Assets** |  |  |  |  |  |  |
| Cash and due from banks | $12 | $12 | $12 | $— | $— | $— |
| Interest-bearing deposits | 3306 | 3306 | 3306 |  |  |  |
| Securities purchased under agreements to resell | 8250 | 8250 |  | 8250 |  |  |
| Federal funds sold | 7277 | 7277 |  | 7277 |  |  |
| AFS securities | 20569 | 20569 |  | 19666 | 903 |  |
| HTM securities | 1014 | 1001 |  | 922 | 79 |  |
| Advances | 34242 | 34261 |  | 34261 |  |  |
| Mortgage loans held for portfolio | 652 | 558 |  | 558 |  |  |
| Accrued interest receivable | 195 | 195 |  | 195 |  |  |
| Derivative assets, net<sup>(2)</sup> | 25 | 25 |  | 597 |  | (572) |
| Other assets<sup>(3)</sup> | 19 | 19 | 19 |  |  |  |
| **Liabilities** |  |  |  |  |  |  |
| Deposits | 1046 | 1046 |  | 1046 |  |  |
| Consolidated obligations: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Bonds | 48747 | 48633 |  | 48633 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Discount notes | 17648 | 17645 |  | 17645 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total consolidated obligations | 66395 | 66278 |  | 66278 |  |  |
| Mandatorily redeemable capital stock | 112 | 112 | 112 |  |  |  |
| Borrowings from other FHLBanks | 300 | 300 |  | 300 |  |  |
| Accrued interest payable | 367 | 367 |  | 367 |  |  |
| Derivative liabilities, net<sup>(2)</sup> | 19 | 19 |  | 252 |  | (233) |

---

------

<u>[**Table of Contents**](#iedd7d0d8b02f4da293d754f9ff7c698e_4)</u>

**Federal Home Loan Bank of San Francisco**

**Notes to Financial Statements (continued)**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** |
| | **Carrying**<br>**Value**<sup>(1)</sup> | **Estimated Fair Value** | **Level 1** | **Level 2** | **Level 3** | **Netting Adjustments and Cash Collateral**<sup>(2)</sup> |
| **Assets** | | | | | | |
| Cash and due from banks | $2 | $2 | $2 | $— | $— | $— |
| Interest-bearing deposits | 3765 | 3765 | 3765 |  |  |  |
| Securities purchased under agreements to resell | 7750 | 7750 |  | 7750 |  |  |
| Federal funds sold | 1645 | 1645 |  | 1645 |  |  |
| AFS securities | 20312 | 20312 |  | 19355 | 957 |  |
| HTM securities | 1489 | 1469 |  | 1374 | 95 |  |
| Advances | 45637 | 45596 |  | 45596 |  |  |
| Mortgage loans held for portfolio | 693 | 576 |  | 576 |  |  |
| Accrued interest receivable | 181 | 181 |  | 181 |  |  |
| Derivative assets, net<sup>(2)</sup> | 30 | 30 |  | 752 |  | (722) |
| Other assets<sup>(3)</sup> | 17 | 17 | 17 |  |  |  |
| **Liabilities** |  |  |  |  |  |  |
| Deposits | 1061 | 1061 |  | 1061 |  |  |
| Consolidated obligations: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Bonds | 58174 | 57985 |  | 57985 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Discount notes | 14378 | 14376 |  | 14376 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total consolidated obligations | 72552 | 72361 |  | 72361 |  |  |
| Mandatorily redeemable capital stock | 331 | 331 | 331 |  |  |  |
| Accrued interest payable | 412 | 412 |  | 412 |  |  |
| Derivative liabilities, net<sup>(2)</sup> | 8 | 8 |  | 458 |  | (450) |

---

(1)&nbsp;&nbsp;&nbsp;&nbsp;For certain financial instruments, the amounts represent net carrying value, which includes an allowance for credit losses.

(2)&nbsp;&nbsp;&nbsp;&nbsp;Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed with the same clearing agents or counterparty.

(3)&nbsp;&nbsp;&nbsp;&nbsp;Includes publicly traded mutual funds held in a grantor trust.

------

<u>[**Table of Contents**](#iedd7d0d8b02f4da293d754f9ff7c698e_4)</u>

**Federal Home Loan Bank of San Francisco**

**Notes to Financial Statements (continued)**

**Fair Value Measurements.** The following tables present the fair value of assets and liabilities, which are recorded on a recurring or nonrecurring basis at September 30, 2025, and December 31, 2024, by level within the fair value hierarchy.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Fair Value Measurement Using:** | **Fair Value Measurement Using:** | **Fair Value Measurement Using:** | **Netting Adjustments**<br> **and Cash Collateral**<sup>(1)</sup> | |
| **September 30, 2025**<br>(In millions) | **Level 1** | **Level 2** | **Level 3** | **Netting Adjustments**<br> **and Cash Collateral**<sup>(1)</sup> |<br>**Total** |
| Recurring fair value measurements – Assets: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;AFS securities: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury obligations | $— | $6518 | $— | $— | $6518 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;State housing agency obligations |  | 28 |  |  | 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;MBS: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;GSEs – multifamily |  | 13120 |  |  | 13120 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;PLRMBS |  |  | 903 |  | 903 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Subtotal AFS MBS |  | 13120 | 903 |  | 14023 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total AFS securities |  | 19666 | 903 |  | 20569 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Advances<sup>(2)</sup> |  | 5512 |  |  | 5512 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Derivative assets, net: interest rate-related |  | 597 |  | (572) | 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Other assets | 19 |  |  |  | 19 |
| Total recurring fair value measurements – Assets | $19 | $25775 | $903 | $(572) | $26125 |
| Recurring fair value measurements – Liabilities: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Consolidated obligation bonds<sup>(3)</sup> | $— | $360 | $— | $— | $360 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Derivative liabilities, net: interest rate-related |  | 252 |  | (233) | 19 |
| Total recurring fair value measurements – Liabilities | $— | $612 | $— | $(233) | $379 |
| Nonrecurring fair value measurements – Assets:<sup>(4)</sup> |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Impaired mortgage loans held for portfolio | $— | $— | $1 | $— | $1 |
| Total nonrecurring fair value measurements – Assets | $— | $— | $1 | $— | $1 |

---

------

<u>[**Table of Contents**](#iedd7d0d8b02f4da293d754f9ff7c698e_4)</u>

**Federal Home Loan Bank of San Francisco**

**Notes to Financial Statements (continued)**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Fair Value Measurement Using:** | **Fair Value Measurement Using:** | **Fair Value Measurement Using:** | **Netting Adjustments**<br> **and Cash Collateral**<sup>(1)</sup> | |
| **December 31, 2024**<br>(In millions) | **Level 1** | **Level 2** | **Level 3** | **Netting Adjustments**<br> **and Cash Collateral**<sup>(1)</sup> |<br>**Total** |
| Recurring fair value measurements – Assets: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;AFS securities: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury obligations | $— | $6510 | $— | $— | $6510 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;MBS: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;GSEs – multifamily |  | 12845 |  |  | 12845 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;PLRMBS |  |  | 957 |  | 957 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Subtotal AFS MBS |  | 12845 | 957 |  | 13802 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total AFS securities |  | 19355 | 957 |  | 20312 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Advances<sup>(2)</sup> |  | 5286 |  |  | 5286 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Derivative assets, net: interest rate-related |  | 752 |  | (722) | 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Other assets | 17 |  |  |  | 17 |
| Total recurring fair value measurements – Assets | $17 | $25393 | $957 | $(722) | $25645 |
| Recurring fair value measurements – Liabilities: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Consolidated obligation bonds<sup>(3)</sup> | $— | $436 | $— | $— | $436 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Derivative liabilities, net: interest rate-related |  | 458 |  | (450) | 8 |
| Total recurring fair value measurements – Liabilities | $— | $894 | $— | $(450) | $444 |
| Nonrecurring fair value measurements – Assets:<sup>(4)</sup> |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Impaired mortgage loans held for portfolio | $— | $— | $1 | $— | $1 |
| Total nonrecurring fair value measurements – Assets | $— | $— | $1 | $— | $1 |

---

(1)Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed by the Bank, with the same clearing agents or counterparty.

(2)Represents advances recorded under the fair value option at September 30, 2025, and December 31, 2024.

(3)Represents consolidated obligation bonds recorded under the fair value option at September 30, 2025, and December 31, 2024.

(4)The fair value information presented is as of the date the fair value adjustment was recorded during the nine months ended September 30, 2025, and the year ended December 31, 2024.

The following table presents a reconciliation of the Bank's AFS PLRMBS that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three and nine months ended September 30, 2025 and 2024.

---

| | | |
|:---|:---|:---|
| | **Three Months Ended** | **Three Months Ended** |
|<br>(In millions) | **September 30, 2025** | **September 30, 2024** |
| Balance, beginning of the period | $920 | $998 |
| Total gain/(loss) realized and unrealized included in: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Interest income | 3 | 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Provision for)/reversal of credit losses | 2 | 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Unrealized gain/(loss) included in AOCI |  | 16 |
| Settlements | (22) | (26) |
| Balance, end of the period | $903 | $997 |
| Total amount of unrealized gain/(loss) for the period included in AOCI relating to assets held at the end of the period | $— | $17 |
| Total amount of gain/(loss) for the period included in earnings relating to assets held at the end of the period | $6 | $9 |

---

------

<u>[**Table of Contents**](#iedd7d0d8b02f4da293d754f9ff7c698e_4)</u>

**Federal Home Loan Bank of San Francisco**

**Notes to Financial Statements (continued)**

---

| | | |
|:---|:---|:---|
| | **Nine Months Ended** | **Nine Months Ended** |
|<br>(In millions) | **September 30, 2025** | **September 30, 2024** |
| Balance, beginning of the period | $957 | $1059 |
| Total gain/(loss) realized and unrealized included in: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Interest income | 10 | 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Provision for)/reversal of credit losses | (2) | 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Unrealized gain/(loss) included in AOCI | 5 | 3 |
| Settlements | (67) | (78) |
| Balance, end of the period | $903 | $997 |
| Total amount of unrealized gain/(loss) for the period included in AOCI relating to assets held at the end of the period | $5 | $4 |
| Total amount of gain/(loss) for the period included in earnings relating to assets held at the end of the period | $9 | $13 |

---

**Fair Value Option.** The following table presents the net gain/(loss) recognized in earnings on advances and consolidated obligation bonds held under fair value option for the three and nine months ended September 30, 2025 and 2024:

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Three Months Ended** | **Three Months Ended** | **Nine Months Ended** | **Nine Months Ended** |
|<br>(In millions) | **September 30, 2025** | **September 30, 2024** | **September 30, 2025** | **September 30, 2024** |
| Advances | $— | $83 | $43 | $77 |
| Consolidated obligation bonds | (3) | (11) | (9) | (16) |
| Total | $(3) | $72 | $34 | $61 |

---

For instruments for which the fair value option has been elected, the related contractual interest income and contractual interest expense are recorded as part of net interest income on the Statements of Income. The remaining changes in fair value for instruments for which the fair value option has been elected are recorded as net gains/ (losses) on financial instruments held under the fair value option in the Statements of Income. For advances and consolidated obligations recorded under the fair value option, the Bank determined that none of the remaining changes in fair value were related to instrument-specific credit risk for the three and nine months ended September 30, 2025 and 2024.

The following table presents the difference between the aggregate remaining contractual principal balance outstanding and aggregate fair value of advances and consolidated obligation bonds for which the Bank elected the fair value option at September 30, 2025, and December 31, 2024:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **September 30, 2025** | **September 30, 2025** | **September 30, 2025** | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** |
|<br>(In millions) | **Principal Balance** | **Fair Value** | **Fair Value<br>Over/(Under)<br>Principal Balance** | **Principal Balance** | **Fair Value** | **Fair Value<br>Over/(Under)<br>Principal Balance** |
| Advances<sup>(1)</sup> | $5449 | $5512 | $63 | $5269 | $5286 | $17 |
| Consolidated obligation bonds | 365 | 360 | (5) | 450 | 436 | (14) |

---

(1)&nbsp;&nbsp;&nbsp;&nbsp;At September 30, 2025, and December 31, 2024, none of these advances were 90 days or more past due or had been placed on nonaccrual status.

------

<u>[**Table of Contents**](#iedd7d0d8b02f4da293d754f9ff7c698e_4)</u>

**Federal Home Loan Bank of San Francisco**

**Notes to Financial Statements (continued)**

**Note 12 — Commitments and Contingencies**

Off-balance sheet commitments as of September 30, 2025, and December 31, 2024, were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **September 30, 2025** | **September 30, 2025** | **September 30, 2025** | **December 31, 2024** |
|<br>(In millions) | **Expire Within <br>One Year** | **Expire After<br>One Year** | **Total** | **Total** |
| Standby letters of credit outstanding | $10287 | $8581 | $18868 | $19497 |
| Commitments to fund additional advances | 110 |  | 110 | 5 |

---

The carrying value of guarantees related to standby letters of credit, recorded in other liabilities, was $53 million and $55 million at September 30, 2025, and December 31, 2024, respectively. Standby letters of credit are fully collateralized at the time of issuance. Based on the Bank's credit analyses of members' financial condition and collateral requirements, the Bank deemed it unnecessary to record any additional liability for credit losses on the letters of credit outstanding or other off-balance sheet commitments as of September 30, 2025, and December 31, 2024. Advances funded under advance commitments are fully collateralized at the time of funding.

The Bank has pledged securities as collateral related to its cleared and uncleared derivatives. See Note 10 – Derivatives and Hedging Activities for additional information about the Bank's pledged collateral and other credit risk-related contingent features.

The Bank may be subject to various pending legal proceedings that may arise in the ordinary course of business. After consultation with legal counsel, the Bank does not anticipate that the ultimate liability, if any, arising out of these matters will have a material effect on its financial condition or results of operations.

------

<u>[**Table of Contents**](#iedd7d0d8b02f4da293d754f9ff7c698e_4)</u>

**Federal Home Loan Bank of San Francisco**

**Notes to Financial Statements (continued)**

**Note 13 — Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks**

**Transactions with Members and Nonmembers.** The following tables set forth information at the dates and for the periods indicated with respect to transactions with members and nonmember borrowers that have an officer or director serving on the Board.

---

| | | |
|:---|:---|:---|
| (In millions) | **September 30, 2025** | **December 31, 2024** |
| **Assets:** |  |  |
| Advances | $4438 | $5713 |
| Mortgage loans held for portfolio | 66 | 70 |
| Accrued interest receivable | 4 | 9 |
| **Liabilities:** |  |  |
| Deposits | $95 | $16 |
| **Capital:** |  |  |
| Capital Stock | $171 | $190 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Three Months Ended** | **Three Months Ended** | **Nine Months Ended** | **Nine Months Ended** |
|<br>(In millions) | **September 30, 2025** | **September 30, 2024** | **September 30, 2025** | **September 30, 2024** |
| **Interest Income:** |  |  |  |  |
| Advances | $79 | $62 | $201 | $158 |
| Mortgage loans held for portfolio | 1 | 1 | 2 | 2 |
| **Interest Expense:** |  |  |  |  |
| Deposits | $— | $— | $1 | $1 |

---

All transactions with members, nonmembers, and their affiliates are entered into in the ordinary course of business. As of September 30, 2025, and December 31, 2024, no shareholder owned more than 10% of the total voting interests in the Bank because of the statutory limit on members' voting rights.

**Transactions with Other FHLBanks.** The Bank may occasionally enter into transactions with other FHLBanks. These transactions are summarized below.

*Overnight Funds*. During the nine months ended September 30, 2025 and 2024, the Bank extended overnight loans to other FHLBanks for $500 million and $210 million, respectively. During the nine months ended September 30, 2025 and 2024, the Bank borrowed $1.1 billion and $60 million, respectively, from other FHLBanks.

------

<u>[**Table of Contents**](#iedd7d0d8b02f4da293d754f9ff7c698e_4)</u>

**ITEM 2.&nbsp;&nbsp;&nbsp;&nbsp;MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS**

*Statements contained in this quarterly report on Form 10-Q, including statements describing the objectives, projections, estimates, or predictions of the future of the Federal Home Loan Bank of San Francisco (Bank) or the Federal Home Loan Bank System (FHLBank System), are "forward-looking statements." These statements may use forward-looking terms, such as "anticipate," "believe," "could," "estimate," "expect," "intend," "likely," "may," "probable," "plan," "project," "should," "will," "would," "possible," or their negatives or other variations on these terms, and include statements related to, among others, gains and losses on derivatives, plans to pay dividends and redeem or repurchase excess stock, future credit losses, future classification of securities, and reform legislation. The Bank cautions that by their nature, forward-looking statements involve risk or uncertainty that could cause actual results to differ materially from those expressed or implied in these forward-looking statements or could affect the extent to which a particular objective, projection, estimate, or prediction is realized. These risks and uncertainties include, among others, the following:* 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*• changes in economic and market conditions, including inflation and interest rates, changes in the credit ratings of the United States, including any effects of downgrades in the sovereign credit rating of the United States, and conditions in the mortgage, housing, and capital markets;*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*• the volatility of market prices, rates, and indices;*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• *the timing and volume of market activity;*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*• natural disasters, pandemics or other widespread public health emergencies, terrorist attacks, civil unrest, geopolitical instability or conflicts (including the ongoing hostilities in Eastern Europe and the Middle East), trade disruptions, economic or other sanctions, or other unanticipated or catastrophic events;*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*• political events, including legislative, regulatory, judicial, or other developments that affect the Bank, its members, counterparties, or investors in the consolidated obligations of the Federal Home Loan Banks (FHLBanks), such as any government-sponsored enterprise (GSE) reforms, any changes resulting from the Federal Housing Finance Agency's (Finance Agency) review and analysis of the FHLBank System, including recommendations published in its "FHLBank System at 100: Focusing on the Future" report, changes in the Federal Home Loan Bank Act of 1932, as amended (FHLBank Act), changes in applicable sections of the Federal Housing Enterprises Financial Safety and Soundness Act of 1992, or changes in other statutes or regulations applicable to the FHLBanks;*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*• changes in the Bank's capital structure and composition;*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*• changes in the Bank's capital stock requirements;*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*• the ability of the Bank to pay dividends or redeem or repurchase capital stock;*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*• membership changes, including changes resulting from mergers or changes in the principal place of business of Bank members;*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*• the withdrawal, merger, dissolution, or receivership of one or more large members;*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*• the soundness of other financial institutions, including Bank members, nonmember borrowers, other counterparties, and the other FHLBanks;*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*• changes in Bank members' demand for Bank advances;*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*• changes in the value or liquidity of collateral underlying advances to Bank members or nonmember borrowers or collateral pledged by the Bank's derivative counterparties;*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*• changes in the fair value and economic value of, impairments of, and risks associated with the Bank's investments in mortgage loans and mortgage-backed securities (MBS) and the related credit enhancement protections;*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*• changes in the Bank's ability or intent to hold MBS and mortgage loans to maturity;*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*• competitive forces, including the availability of other sources of funding for Bank members;*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*• the willingness of the Bank's members to do business with the Bank;*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*• changes in investor demand for consolidated obligations (including the terms of consolidated obligations) or the terms of interest rate exchange or similar agreements;*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*• the impact of any changes and developments in FHLBank System-wide debt issuance and governance practices;*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*• the ability of each of the other FHLBanks to repay the principal and interest on consolidated obligations for which it is the primary obligor and with respect to which the Bank has joint and several liability;*

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*• changes in key Bank personnel;*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*• technology changes and enhancements, and the Bank's ability to develop and support technology and information systems sufficient to manage the risks of the Bank's business effectively (including cyber-security risks); and*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• *changes in the FHLBanks' long-term credit ratings.*

*Readers of this report should not rely solely on the forward-looking statements and should consider all risks and uncertainties addressed throughout this report, as well as those discussed under "Item 1A – Risk Factors" in the Bank's Annual Report on Form 10-K for the year ended December 31, 2024 (2024 Form 10-K).*

**Quarterly Overview**

Net income for the third quarter of 2025 was $110 million, an increase of $8 million compared with the third quarter of 2024. The increase was primarily attributable to a decrease in total non-interest expense of $19 million, partially offset by a decrease in other income of $11 million.

Net interest income increased slightly by $1 million as decreases in costs on lower consolidated obligation balances and dividends paid on mandatorily redeemable capital stock classified as interest expense were offset by decreases in advance balances and yields on interest-earning assets.

The $19 million decrease in total non-interest expense was primarily attributable to a decrease of $15 million in voluntary housing and community investment contributions, mainly driven by timing differences in the funding of downpayment assistance grants to middle-income homebuyers. Lower operating expense also contributed to the reduction in non-interest expense.

The $11 million decrease in other income was primarily driven by a decline in net fair value gains associated with certain derivatives and financial instruments carried at fair value.

As of September 30, 2025, the Bank exceeded all regulatory capital requirements. The Bank exceeded its 4.0% regulatory capital requirement with a regulatory capital ratio of 9.5% at September 30, 2025, an increase from 8.9% at December 31, 2024. The Bank also exceeded its risk-based capital requirement of $1.1 billion with $7.2 billion in permanent capital. In addition, the Bank exceeded its $2.0 billion level of required retained earnings, which is a level established by the Bank's Excess Stock Repurchase, Retained Earnings, and Dividend Framework (Framework), implemented in accordance with Finance Agency guidance, with retained earnings totaling $4.6 billion at September 30, 2025.

For more information about the Bank's required retained earnings and Framework, see "Item 1. Business – Capital," "Item 7. Management's Discussion and Analysis of Financial Condition and Results of Operations – Liquidity and Capital Resources," and "Item 8. Financial Statements and Supplementary Data – Note 11 – Capital – Excess Stock Repurchase, Retained Earnings, and Dividend Framework" in the Bank's 2024 Form 10-K.

On October 23, 2025, the Bank's board of directors (Board) declared a quarterly cash dividend on the average capital stock outstanding during the third quarter of 2025 at an annualized rate of 8.75%. The Bank expects to pay the dividend on November 13, 2025.

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**Financial Highlights**

The following table presents a summary of certain financial information for the Bank during the three months for the periods indicated.

**Financial Highlights**

(Unaudited)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| (Dollars in millions) | **September 30,<br>2025** | **June 30,<br>2025** | **March 31,<br>2025** | **December 31,<br>2024** | **September 30,<br>2024** |
| **Selected Balance Sheet Items at Quarter End** |  |  |  |  |  |
| Total Assets | $75769 | $83146 | $77993 | $81735 | $83270 |
| Advances | 34242 | 39909 | 37913 | 45637 | 49473 |
| Mortgage Loans Held for Portfolio, Net | 652 | 666 | 680 | 693 | 707 |
| Investments<sup>(1)</sup> | 40416 | 42115 | 38982 | 34961 | 32587 |
| Consolidated Obligations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Bonds | 48747 | 54061 | 56079 | 58174 | 62745 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Discount Notes | 17648 | 19174 | 12668 | 14378 | 11005 |
| Mandatorily Redeemable Capital Stock | 112 | 131 | 153 | 331 | 465 |
| Capital Stock —Class B —Putable | 2439 | 2575 | 2443 | 2458 | 2416 |
| Unrestricted Retained Earnings | 3798 | 3749 | 3707 | 3668 | 3631 |
| Restricted Retained Earnings | 815 | 815 | 815 | 815 | 815 |
| Total Capital | 7139 | 7186 | 7047 | 7004 | 6909 |
| **Selected Operating Results for the Quarter** |  |  |  |  |  |
| Net Interest Income | $147 | $142 | $142 | $148 | $146 |
| Provision for/(Reversal of) Credit Losses | (2) | 3 | 1 | 5 | (4) |
| Other Income/(Loss) | 19 | 17 | 20 | 15 | 30 |
| Voluntary housing and community investment contributions | 6 | 10 | 10 | 14 | 21 |
| Other Non-Interest Expense | 40 | 41 | 46 | 43 | 44 |
| Affordable Housing Program (AHP) Assessment | 12 | 11 | 11 | 11 | 13 |
| Net Income/(Loss) | $110 | $94 | $94 | $90 | $102 |
| **Selected Other Data for the Quarter** |  |  |  |  |  |
| Net Interest Margin<sup>(2)</sup> | 0.77% | 0.68% | 0.76% | 0.72% | 0.70% |
| Return on Average Assets | 0.56 | 0.45 | 0.50 | 0.43 | 0.48 |
| Return on Average Equity | 5.98 | 5.22 | 5.37 | 5.15 | 5.88 |
| Annualized Dividend Rate | 8.75 | 8.75 | 8.75 | 8.75 | 8.75 |
| Dividend Payout Ratio<sup>(3)</sup> | 54.72 | 57.81 | 62.72 | 61.88 | 52.46 |
| Average Equity to Average Assets Ratio | 9.44 | 8.66 | 9.25 | 8.36 | 8.21 |
| **Selected Other Data at Quarter End** |  |  |  |  |  |
| Regulatory Capital Ratio<sup>(4)</sup> | 9.46 | 8.74 | 9.13 | 8.90 | 8.80 |
| Duration Gap (in months) | 0.0 | (0.3) | (0.4) | 1.2 | 1.1 |

---

(1)Investments consist of interest-bearing deposits, securities purchased under agreements to resell, federal funds sold, available-for-sale securities, and held-to-maturity securities.

(2)Net interest margin is calculated as net interest income (annualized) divided by average interest-earning assets.

(3)This ratio is calculated as dividends per share divided by net income per share.

(4)This ratio is calculated as regulatory capital divided by total assets. Regulatory capital includes retained earnings, Class B capital stock, and mandatorily redeemable capital stock (which is classified as a liability) but excludes accumulated other comprehensive income/(loss).

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**Results of Operations**

**Net Interest Income for the Three Months Ended September 30, 2025 and 2024.** The table that follows presents the average balances of interest-earning asset categories and the sources that funded those interest-earning assets (liabilities and capital) for the three months ended September 30, 2025 and 2024, together with the related interest income and expense. This table also presents the average rates on total interest-earning assets and the average costs of total funding sources.

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***Third Quarter of 2025 Compared to Third Quarter of 2024***

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Average Balance Sheets** | **Average Balance Sheets** | **Average Balance Sheets** | **Average Balance Sheets** | **Average Balance Sheets** | **Average Balance Sheets** | **Average Balance Sheets** |
| | **Three Months Ended** | **Three Months Ended** | **Three Months Ended** | **Three Months Ended** | **Three Months Ended** | **Three Months Ended** |
| | **September 30, 2025** | **September 30, 2025** | **September 30, 2025** | **September 30, 2024** | **September 30, 2024** | **September 30, 2024** |
| (Dollars in millions) | **Average<br>Balance** | **Interest<br>Income/<br>Expense** | **Average<br>Rate** | **Average<br>Balance** | **Interest<br>Income/<br>Expense** | **Average<br>Rate** |
| Assets |  |  |  |  |  |  |
| Interest-earning assets: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Interest-bearing deposits | $3598 | $40 | 4.41% | $4418 | $60 | 5.38% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Securities purchased under agreements to resell | 2859 | 32 | 4.36 | 958 | 13 | 5.36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Federal funds sold | 5889 | 65 | 4.36 | 4575 | 62 | 5.36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Available-for-sale (AFS) securities:<sup>(1)</sup> |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;MBS<sup>(1)(2)</sup> | 13989 | 205 | 5.81 | 13857 | 232 | 6.67 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury and state housing agency obligations | 6465 | 75 | 4.62 | 5741 | 81 | 5.62 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Held-to-maturity (HTM) securities: MBS | 1223 | 15 | 4.85 | 1604 | 22 | 5.64 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Advances<sup>(3)</sup> | 41081 | 462 | 4.46 | 51364 | 695 | 5.38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Mortgage loans held for portfolio<sup>(4)</sup> | 660 | 5 | 3.00 | 717 | 5 | 2.61 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Loans to other FHLBanks |  |  |  | 2 |  | 5.42 |
| Total interest-earning assets | 75764 | 899 | 4.70 | 83236 | 1170 | 5.59 |
| Other assets<sup>(5)</sup> | 938 |  |  | 772 |  |  |
| Total Assets | $76702 |  |  | $84008 |  |  |
| Liabilities and Capital |  |  |  |  |  |  |
| Interest-bearing liabilities: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Consolidated obligations: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Bonds | $51430 | 561 | 4.33% | $59602 | 794 | 5.30% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Discount notes | 15864 | 173 | 4.33 | 14923 | 200 | 5.34 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Deposits and other borrowings | 1361 | 15 | 4.21 | 1357 | 18 | 5.31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Mandatorily redeemable capital stock | 130 | 3 | 8.83 | 520 | 12 | 9.12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Borrowings from other FHLBanks | 4 |  | 4.18 |  |  |  |
| Total interest-bearing liabilities | 68789 | 752 | 4.33 | 76402 | 1024 | 5.33 |
| Other liabilities<sup>(5)</sup> | 672 |  |  | 706 |  |  |
| Total Liabilities | 69461 |  |  | 77108 |  |  |
| Total Capital | 7241 |  |  | 6900 |  |  |
| Total Liabilities and Capital | $76702 |  |  | $84008 |  |  |
| Net Interest Income |  | $147 |  |  | $146 |  |
| Net Interest Spread<sup>(6)</sup> |  |  | 0.37% |  |  | 0.26% |
| Net Interest Margin<sup>(7)</sup> |  |  | 0.77% |  |  | 0.70% |
| Interest-earning Assets/Interest-bearing Liabilities | 110.14% |  |  | 108.94% |  |  |

---

(1)The average balances of AFS securities are reflected at amortized cost. As a result, the average rates do not reflect changes in fair value.

(2)Interest income included net prepayment fees on AFS MBS of $7 million and $3 million for the three months ended September 30, 2025 and 2024, respectively.

(3)Interest income includes net prepayment fees on advances of a de minimis amount and $1 million for the three months ended September 30, 2025 and 2024, respectively.

(4)Nonperforming mortgage loans are included in average balances used to determine average rate.

(5)Includes forward settling transactions and valuation adjustments for certain cash items received/(paid).

(6)Net interest spread is calculated as the difference between the average rate earned on interest-earning assets and the average rate paid on interest-bearing liabilities.

(7)Net interest margin is calculated as net interest income (annualized) divided by average interest-earning assets.

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The following table details the changes in interest income and interest expense for the third quarter of 2025 compared to the third quarter of 2024. Changes in both volume and interest rates influence changes in net interest income, net interest spread, and net interest margin.

---

| | | | |
|:---|:---|:---|:---|
| **Change in Net Interest Income: Rate/Volume Analysis** <br>**Three Months Ended September 30, 2025, versus Three Months Ended September 30, 2024** | **Change in Net Interest Income: Rate/Volume Analysis** <br>**Three Months Ended September 30, 2025, versus Three Months Ended September 30, 2024** | **Change in Net Interest Income: Rate/Volume Analysis** <br>**Three Months Ended September 30, 2025, versus Three Months Ended September 30, 2024** | **Change in Net Interest Income: Rate/Volume Analysis** <br>**Three Months Ended September 30, 2025, versus Three Months Ended September 30, 2024** |
| | **Increase/<br>(Decrease)** | **Attributable to Changes in**<sup>(1)</sup> | **Attributable to Changes in**<sup>(1)</sup> |
| (In millions) | **Increase/<br>(Decrease)** | **Volume** | **Rate** |
| Interest income: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Interest-bearing deposits | $(20) | $(10) | $(10) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Securities purchased under agreements to resell | 19 | 21 | (2) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Federal funds sold | 3 | 16 | (13) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;AFS securities: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;MBS<sup>(2)</sup> | (27) | 3 | (30) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury and state housing agency obligations<sup>(2)</sup> | (6) | 9 | (15) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;HTM securities: MBS | (7) | (5) | (2) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Advances<sup>(2)</sup>  | (233) | (126) | (107) |
| Total interest income | (271) | (92) | (179) |
| Interest expense: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Consolidated obligations: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Bonds<sup>(2)</sup> | (233) | (100) | (133) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Discount notes<sup>(2)</sup> | (27) | 13 | (40) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Deposits and other borrowings | (3) |  | (3) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Mandatorily redeemable capital stock | (9) | (9) |  |
| Total interest expense | (272) | (96) | (176) |
| Changes in net interest income | $1 | $4 | $(3) |

---

(1)Combined rate/volume variances, a third element of the calculation, are allocated to the rate and volume variances based on their relative sizes.

(2)Interest income/expense and average rates include the interest effect of associated interest rate exchange agreements.

Net interest income in the third quarter of 2025 was $147 million, a 1% increase from $146 million in the third quarter of 2024. The $1 million increase in net interest income was driven by decreases in costs on lower consolidated obligation balances and dividends paid on mandatorily redeemable capital stock and a $4 million increase in AFS MBS prepayment fees in the third quarter of 2025, offset by decreases in advance balances and yields on interest-earning assets.

The net interest margin was 77 basis points for the third quarter of 2025, seven basis points higher than the 70 basis points for the third quarter of 2024. This increase was driven by a $10.3 billion decline in the average balance of advances and higher AFS MBS prepayment fees in the third quarter of 2025.

Member demand for wholesale funding from the Bank can vary greatly depending on a number of factors, including economic and market conditions affecting the liquidity or solvency of the Bank's members and potential members, competition from other wholesale funding sources, member deposit inflows and outflows and changes in liquidity, the activity level of the primary and secondary mortgage markets, and strategic decisions made by individual member institutions, including those related to business combinations. Accordingly, Bank asset levels and operating results may vary significantly from period to period. Events affecting the financial services industry contributed to the liquidation or receivership of some of the Bank's larger borrowers during 2023. The loss of Bank members through liquidation, receivership, or acquisition by nonmember institutions, especially involving some of the Bank's larger borrowers, has had the effect of reducing aggregate member demand for wholesale funding, as nonmembers (including former members and member successors) are not eligible to borrow new advances or renew existing advances as they mature. This has resulted in lower levels of advance balances and a reduction in total interest income earned from advances. As a result of the inability of nonmembers to seek new advances from the Bank, the Bank's level of advances and the associated net interest income in the future will be determined by many factors

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including the ability of existing Bank members to generate new business, seek new advances, or pursue consolidation opportunities within the banking industry. The maturity or prepayment of advances by nonmember borrowers is likely to have an adverse impact over time on the Bank's financial performance and may reduce the Bank's ability to grow advances in the future and impact the Bank's long-term strategic plans and operations.

See "Item 1. Financial Statements – Note 4 – Advances" for more information on the Bank's largest members and "Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Advances" for more information on the loss of the Bank's largest borrowers and its potential effect on the Bank's opportunity to grow advances.

The following tables present the effect of derivatives and hedging activities on net interest income for the three months ended September 30, 2025 and 2024.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Three Months Ended** | **Three Months Ended** | **Three Months Ended** | **Three Months Ended** | **Three Months Ended** |
| | **September 30, 2025** | **September 30, 2025** | **September 30, 2025** | **September 30, 2025** | **September 30, 2025** |
|<br>(In millions) | **Advances** | **AFS Securities** | **Consolidated Obligation Bonds** | **Consolidated Obligation Discount Notes** | **Total** |
| (Amortization)/accretion of hedging activities | $(6) | $(25) | $— | $— | $(31) |
| Net interest settlements on derivatives | 40 | 86 | (61) | (3) | 62 |
| Price alignment amount<sup>(1)</sup> | (1) | (2) |  |  | (3) |
| Total effect on net interest income | $33 | $59 | $(61) | $(3) | $28 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Three Months Ended** | **Three Months Ended** | **Three Months Ended** | **Three Months Ended** | **Three Months Ended** |
| | **September 30, 2024** | **September 30, 2024** | **September 30, 2024** | **September 30, 2024** | **September 30, 2024** |
|<br>(In millions) | **Advances** | **AFS Securities** | **Consolidated Obligation Bonds** | **Consolidated Obligation Discount Notes** | **Total** |
| (Amortization)/accretion of hedging activities | $(5) | $(25) | $— | $— | $(30) |
| Net gain/(loss) on derivatives and hedged items |  | (2) |  |  | (2) |
| Net interest settlements on derivatives | 147 | 140 | (127) | (1) | 159 |
| Price alignment amount<sup>(1)</sup> | (6) | (5) | (1) |  | (12) |
| Total effect on net interest income | $136 | $108 | $(128) | $(1) | $115 |

---

(1)This amount relates to derivatives for which variation margin on cleared derivatives is characterized as a daily settled contract.

**Other Income/(Loss).** The following table presents the components of "Other Income/(Loss)" for the three months ended September 30, 2025 and 2024.

---

| | | |
|:---|:---|:---|
| | **Three Months Ended** | **Three Months Ended** |
|<br>(In millions) | **September 30, 2025** | **September 30, 2024** |
| Net gain/(loss) on advances and consolidated obligation bonds held under fair value option | $(3) | $72 |
| Net gain/(loss) on derivatives | 15 | (49) |
| Standby letters of credit fees | 4 | 5 |
| Other, net | 3 | 2 |
| Total Other Income/(Loss) | $19 | $30 |

---

*Net Gain/(Loss) on Advances and Consolidated Obligation Bonds Held Under Fair Value Option –* The unfavorable change in net gains/(losses) on advances and consolidated obligation bonds held under the fair value option for the three months ended September 30, 2025, compared to the same period in 2024, was primarily due to the decline in interest rates and the Bank's higher balance of fixed rate advances relative to consolidated obligations held under the fair value option.

*Net Gain/(Loss) on Derivatives –* The Bank presents all of its derivative instruments on the Statements of Condition at fair value. Certain derivatives are associated with assets or liabilities but do not qualify as fair value hedges.

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These economic hedges are recorded on the Statements of Condition at fair value with the unrealized gain or loss recorded in earnings without any offsetting unrealized gain or loss from the associated asset or liability.

The following table shows the accounting classification of economic hedges and the categories of hedged items that contributed to the gains and losses on derivatives that were recorded in "Net gain/(loss) on derivatives" in the third quarter of 2025 and 2024.

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives**<br>**Three Months Ended September 30, 2025, Compared to Three Months Ended September 30, 2024** | **Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives**<br>**Three Months Ended September 30, 2025, Compared to Three Months Ended September 30, 2024** | **Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives**<br>**Three Months Ended September 30, 2025, Compared to Three Months Ended September 30, 2024** | **Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives**<br>**Three Months Ended September 30, 2025, Compared to Three Months Ended September 30, 2024** | **Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives**<br>**Three Months Ended September 30, 2025, Compared to Three Months Ended September 30, 2024** | **Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives**<br>**Three Months Ended September 30, 2025, Compared to Three Months Ended September 30, 2024** | **Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives**<br>**Three Months Ended September 30, 2025, Compared to Three Months Ended September 30, 2024** |
| | **Three Months Ended** | **Three Months Ended** | **Three Months Ended** | **Three Months Ended** | **Three Months Ended** | **Three Months Ended** |
| | **September 30, 2025** | **September 30, 2025** | **September 30, 2025** | **September 30, 2024** | **September 30, 2024** | **September 30, 2024** |
| (In millions)<br>**Hedged Item** | **Gain/(Loss) on<br>Economic<br>Hedges** | **Income/<br>(Expense) on<br>Economic<br>Hedges** | **Total** | **Gain/(Loss) on<br>Economic<br>Hedges** | **Income/<br>(Expense) on<br>Economic<br>Hedges** | **Total** |
| Advances: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Elected for fair value option | $4 | $13 | $17 | $(81) | $19 | $(62) |
| &nbsp;&nbsp;&nbsp;Not elected for fair value option | (7) | 7 |  | (4) | 6 | 2 |
| Consolidated obligation bonds: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Elected for fair value option | 2 | (3) | (1) | 11 | (6) | 5 |
| &nbsp;&nbsp;&nbsp;Not elected for fair value option | 4 | (5) | (1) | 15 | (7) | 8 |
| Consolidated obligation discount notes: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Not elected for fair value option |  |  |  | (1) | (1) | (2) |
| Total | $3 | $12 | $15 | $(60) | $11 | $(49) |

---

During the third quarter of 2025, net gains on derivatives totaled $15 million compared to net losses of $49 million in the third quarter of 2024. These amounts included interest income of $12 million and $11 million resulting from net settlements on derivative instruments used in economic hedges in the third quarter of 2025 and 2024, respectively. Excluding the impact of interest income or expense from net settlements on derivative instruments used in economic hedges, the gains or losses on economic hedges were primarily associated with the effects of changes in market interest rates, interest rate spreads, interest rate volatility, and other market factors during the period. The ongoing impact of these valuation adjustments on the Bank cannot be predicted and the effects of these valuation adjustments may lead to significant volatility in future earnings, including earnings available for dividends.

**Non-Interest Expense.** During the third quarter of 2025, non-interest expenses totaled $46 million, compared to $65 million in the third quarter of 2024. The $19 million decrease in non-interest expense was primarily attributable to a decrease of $15 million in voluntary housing and community investment contributions, mainly driven by timing differences in the funding of downpayment assistance grants to middle-income homebuyers. Lower operating expense also contributed to the reduction in non-interest expense, reflecting the Bank's focus on operational efficiency initiatives.

**Return on Average Equity.** Return on average equity (ROE) was 5.98% (annualized) for the third quarter of 2025, compared to 5.88% (annualized) for the third quarter of 2024. The increase was driven by an increase in net income for the third quarter of 2025, partially offset by increases in the averages of capital stock outstanding and unrestricted retained earnings.

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**Dividends and Retained Earnings.** In the third quarter of 2025, the Bank paid dividends at an annualized rate of 8.75%, totaling $64 million, including $61 million in dividends on capital stock and $3 million in dividends on mandatorily redeemable capital stock. In the third quarter of 2024, the Bank paid dividends at an annualized rate of 8.75%, totaling $65 million, including $52 million in dividends on capital stock and $13 million in dividends on mandatorily redeemable capital stock.

For more information on the Bank's Excess Stock Repurchase, Retained Earnings, and Dividend Framework, see "Item 1. Financial Statements – Note 9 – Capital" in this report and see "Item 1. Business – Dividends and Retained Earnings," "Item 7. Management's Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Liquidity Risk," and "Item 8. Financial Statements and Supplementary Data – Note 11 – Capital – Excess Stock Repurchase, Retained Earnings, and Dividend Framework" in the Bank's 2024 Form 10-K.

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<u>[**Table of Contents**](#iedd7d0d8b02f4da293d754f9ff7c698e_4)</u>

**Net Interest Income for the Nine Months Ended September 30, 2025 and 2024.** The table that follows presents the average balances of interest-earning asset categories and the sources that funded those interest-earning assets (liabilities and capital) for the nine months ended September 30, 2025 and 2024, together with the related interest income and expense. This table also presents the average rates on total interest-earning assets and the average costs of total funding sources.

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<u>[**Table of Contents**](#iedd7d0d8b02f4da293d754f9ff7c698e_4)</u>

***Nine Months Ended September 30, 2025, Compared to Nine Months Ended September 30, 2024***

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Average Balance Sheets** | **Average Balance Sheets** | **Average Balance Sheets** | **Average Balance Sheets** | **Average Balance Sheets** | **Average Balance Sheets** | **Average Balance Sheets** |
| | **Nine Months Ended** | **Nine Months Ended** | **Nine Months Ended** | **Nine Months Ended** | **Nine Months Ended** | **Nine Months Ended** |
| | **September 30, 2025** | **September 30, 2025** | **September 30, 2025** | **September 30, 2024** | **September 30, 2024** | **September 30, 2024** |
| (Dollars in millions) | **Average<br>Balance** | **Interest<br>Income/<br>Expense** | **Average<br>Rate** | **Average<br>Balance** | **Interest<br>Income/<br>Expense** | **Average<br>Rate** |
| Assets |  |  |  |  |  |  |
| Interest-earning assets: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Interest-bearing deposits | $3777 | $125 | 4.42% | $4314 | $175 | 5.42% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Securities purchased under agreements to resell | 2434 | 80 | 4.37 | 1294 | 52 | 5.40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Federal funds sold | 5859 | 192 | 4.38 | 4841 | 196 | 5.40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;AFS securities:<sup>(1)</sup> |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;MBS<sup>(1)(2)</sup> | 13889 | 595 | 5.73 | 13565 | 678 | 6.68 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury and state housing agency obligations | 6450 | 223 | 4.62 | 4960 | 210 | 5.67 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;HTM securities: MBS | 1359 | 50 | 4.91 | 1701 | 71 | 5.61 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Advances<sup>(3)</sup> | 43825 | 1468 | 4.48 | 53655 | 2185 | 5.44 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Mortgage loans held for portfolio<sup>(4)</sup> | 674 | 15 | 3.03 | 734 | 16 | 2.87 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Loans to other FHLBanks | 2 |  | 4.39 | 1 |  | 5.42 |
| Total interest-earning assets | 78269 | 2748 | 4.69 | 85065 | 3583 | 5.63 |
| Other assets<sup>(5)</sup> | 850 |  |  | 737 |  |  |
| Total Assets | $79119 |  |  | $85802 |  |  |
| Liabilities and Capital |  |  |  |  |  |  |
| Interest-bearing liabilities: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Consolidated obligations: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Bonds | $54242 | 1761 | 4.34% | $60961 | 2430 | 5.32% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Discount notes | 15362 | 499 | 4.34 | 15214 | 611 | 5.36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Deposits and other borrowings | 1439 | 46 | 4.26 | 1340 | 54 | 5.38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Mandatorily redeemable capital stock | 178 | 11 | 8.38 | 608 | 56 | 12.35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Borrowings from other FHLBanks | 6 |  | 4.34 |  |  |  |
| Total interest-bearing liabilities | 71227 | 2317 | 4.35 | 78123 | 3151 | 5.39 |
| Other liabilities<sup>(5)</sup> | 691 |  |  | 894 |  |  |
| Total Liabilities | 71918 |  |  | 79017 |  |  |
| Total Capital | 7201 |  |  | 6785 |  |  |
| Total Liabilities and Capital | $79119 |  |  | $85802 |  |  |
| Net Interest Income |  | $431 |  |  | $432 |  |
| Net Interest Spread<sup>(6)</sup> |  |  | 0.34% |  |  | 0.24% |
| Net Interest Margin<sup>(7)</sup> |  |  | 0.74% |  |  | 0.68% |
| Interest-earning Assets/Interest-bearing Liabilities | 109.89% |  |  | 108.89% |  |  |

---

(1)The average balances of AFS securities are reflected at amortized cost. As a result, the average rates do not reflect changes in fair value.

(2)Interest income included net prepayment fees on AFS MBS of $14 million and $5 million for the nine months ended September 30, 2025 and 2024, respectively.

(3)Interest income includes net prepayment fees on advances of $3 million and $5 million for the nine months ended September 30, 2025 and 2024, respectively.

(4)Nonperforming mortgage loans are included in average balances used to determine average rate.

(5)Includes forward settling transactions and valuation adjustments for certain cash items received/(paid).

(6)Net interest spread is calculated as the difference between the average rate earned on interest-earning assets and the average rate paid on interest-bearing liabilities.

(7)Net interest margin is calculated as net interest income (annualized) divided by average interest-earning assets.

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<u>[**Table of Contents**](#iedd7d0d8b02f4da293d754f9ff7c698e_4)</u>

The following table details the changes in interest income and interest expense for the nine months ended September 30, 2025, compared to the nine months ended September 30, 2024. Changes in both volume and interest rates influence changes in net interest income, net interest spread, and net interest margin.

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| | | | |
|:---|:---|:---|:---|
| **Change in Net Interest Income: Rate/Volume Analysis** <br>**Nine Months Ended September 30, 2025, versus Nine Months Ended September 30, 2024** | **Change in Net Interest Income: Rate/Volume Analysis** <br>**Nine Months Ended September 30, 2025, versus Nine Months Ended September 30, 2024** | **Change in Net Interest Income: Rate/Volume Analysis** <br>**Nine Months Ended September 30, 2025, versus Nine Months Ended September 30, 2024** | **Change in Net Interest Income: Rate/Volume Analysis** <br>**Nine Months Ended September 30, 2025, versus Nine Months Ended September 30, 2024** |
| | **Increase/<br>(Decrease)** | **Attributable to Changes in**<sup>(1)</sup> | **Attributable to Changes in**<sup>(1)</sup> |
| (In millions) | **Increase/<br>(Decrease)** | **Volume** | **Rate** |
| Interest income: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Interest-bearing deposits | $(50) | $(20) | $(30) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Securities purchased under agreements to resell | 28 | 39 | (11) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Federal funds sold | (4) | 37 | (41) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;AFS securities: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;MBS<sup>(2)</sup> | (83) | 15 | (98) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury and state housing agency obligations<sup>(2)</sup> | 13 | 56 | (43) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;HTM securities: MBS | (21) | (13) | (8) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Advances<sup>(2)</sup>  | (717) | (365) | (352) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Mortgage loans held for portfolio | (1) | (1) |  |
| Total interest income | (835) | (252) | (583) |
| Interest expense: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Consolidated obligations: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Bonds<sup>(2)</sup> | (669) | (250) | (419) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Discount notes<sup>(2)</sup> | (112) | 6 | (118) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Deposits and other borrowings | (8) | 4 | (12) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Mandatorily redeemable capital stock | (45) | (31) | (14) |
| Total interest expense | (834) | (271) | (563) |
| Changes in net interest income | $(1) | $19 | $(20) |

---

(1)Combined rate/volume variances, a third element of the calculation, are allocated to the rate and volume variances based on their relative sizes.

(2)Interest income/expense and average rates include the interest effect of associated interest rate exchange agreements.

Net interest income for the first nine months of 2025 was $431 million, compared to $432 million for the first nine months of 2024. The $1 million decline in net interest income was driven by a lower yield on advances, partially offset by a lower cost of consolidated obligation balances and a $9 million increase in AFS MBS prepayment fees in the nine months ended September 30, 2025.

The net interest margin was 74 basis points for the first nine months of 2025, six basis points higher than the 68 basis points for the first nine months of 2024. This increase was driven mainly by a $9.8 billion decline in the average balance of advances and higher AFS MBS prepayment fees in the nine months ended September 30, 2025.

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<u>[**Table of Contents**](#iedd7d0d8b02f4da293d754f9ff7c698e_4)</u>

The following tables present the effect of derivatives and hedging activities on net interest income for the nine months ended September 30, 2025 and 2024.

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Nine Months Ended** | **Nine Months Ended** | **Nine Months Ended** | **Nine Months Ended** | **Nine Months Ended** |
| | **September 30, 2025** | **September 30, 2025** | **September 30, 2025** | **September 30, 2025** | **September 30, 2025** |
|<br>(In millions) | **Advances** | **AFS Securities** | **Consolidated Obligation** <br>**Bonds** | **Consolidated Obligation Discount Notes** | **Total** |
| (Amortization)/accretion of hedging activities | $(17) | $(74) | $— | $— | $(91) |
| Net gain/(loss) on derivatives and hedged items | (1) | (2) |  |  | (3) |
| Net interest settlements on derivatives | 125 | 261 | (175) | (3) | 208 |
| Price alignment amount<sup>(1)</sup> | (5) | (11) | (1) |  | (17) |
| Total effect on net interest income | $102 | $174 | $(176) | $(3) | $97 |

---

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Nine Months Ended** | **Nine Months Ended** | **Nine Months Ended** | **Nine Months Ended** | **Nine Months Ended** |
| | **September 30, 2024** | **September 30, 2024** | **September 30, 2024** | **September 30, 2024** | **September 30, 2024** |
|<br>(In millions) | **Advances** | **AFS Securities** | **Consolidated Obligation Bonds** | **Consolidated Obligation Discount Notes** | **Total** |
| (Amortization)/accretion of hedging activities | $(17) | $(76) | $— | $— | $(93) |
| Net gain/(loss) on derivatives and hedged items | 4 |  |  | (1) | 3 |
| Net interest settlements on derivatives | 480 | 412 | (399) | (2) | 491 |
| Price alignment amount<sup>(1)</sup> | (25) | (22) | (2) |  | (49) |
| Total effect on net interest income | $442 | $314 | $(401) | $(3) | $352 |

---

(1)This amount relates to derivatives for which variation margin on cleared derivatives is characterized as a daily settled contract.

For the periods presented, the total effect on net interest income from derivatives and hedging activities was mainly attributable to declining net interest settlements on derivatives, as interest rates have declined during the nine months ended September 30, 2025, compared to the nine months ended September 30, 2024.

**Other Income/(Loss).** The following table presents the components of "Other Income/(Loss)" for the nine months ended September 30, 2025 and 2024.

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| | | |
|:---|:---|:---|
| | **Nine Months Ended** | **Nine Months Ended** |
|<br>(In millions) | **September 30, 2025** | **September 30, 2024** |
| Net gain/(loss) on advances and consolidated obligation bonds held under fair value option | $34 | $61 |
| Net gain/(loss) on derivatives | 1 | (31) |
| Standby letters of credit fees | 14 | 14 |
| Termination of long-term funding arrangement |  | 30 |
| Other, net | 7 | 4 |
| Total Other Income/(Loss) | $56 | $78 |

---

*Net Gain/(Loss) on Advances and Consolidated Obligation Bonds Held Under Fair Value Option –* The unfavorable change in net gains on advances and consolidated obligation bonds held under the fair value option was primarily driven by the effects of changes in market interest rates, interest rate spreads, interest rate volatility, and other market factors relative to the actual terms and volume of the advances and consolidated obligation bonds during the period.

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<u>[**Table of Contents**](#iedd7d0d8b02f4da293d754f9ff7c698e_4)</u>

*Net Gain/(Loss) on Derivatives –* The following table shows the accounting classification of economic hedges and the categories of hedged items that contributed to the gains and losses on derivatives that were recorded in "Net gain/(loss) on derivatives" for the nine months ended September 30, 2025 and 2024.

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives**<br>**Nine Months Ended September 30, 2025 Compared to Nine Months Ended September 30, 2024** | **Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives**<br>**Nine Months Ended September 30, 2025 Compared to Nine Months Ended September 30, 2024** | **Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives**<br>**Nine Months Ended September 30, 2025 Compared to Nine Months Ended September 30, 2024** | **Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives**<br>**Nine Months Ended September 30, 2025 Compared to Nine Months Ended September 30, 2024** | **Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives**<br>**Nine Months Ended September 30, 2025 Compared to Nine Months Ended September 30, 2024** | **Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives**<br>**Nine Months Ended September 30, 2025 Compared to Nine Months Ended September 30, 2024** | **Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives**<br>**Nine Months Ended September 30, 2025 Compared to Nine Months Ended September 30, 2024** |
| | **Nine Months Ended** | **Nine Months Ended** | **Nine Months Ended** | **Nine Months Ended** | **Nine Months Ended** | **Nine Months Ended** |
| (In millions) | **September 30, 2025** | **September 30, 2025** | **September 30, 2025** | **September 30, 2024** | **September 30, 2024** | **September 30, 2024** |
| **Hedged Item** | **Gain/(Loss) on Economic<br>Hedges** | **Income/<br>(Expense) on Economic<br>Hedges** | **Total** | **Gain/(Loss) on Economic<br>Hedges** | **Income/<br>(Expense) on Economic<br>Hedges** | **Total** |
| Advances: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Elected for fair value option | $(42) | $37 | $(5) | $(70) | $44 | $(26) |
| &nbsp;&nbsp;&nbsp;Not elected for fair value option | (12) | 20 | 8 | (15) | 20 | 5 |
| Consolidated obligation bonds: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Elected for fair value option | 8 | (8) |  | 14 | (18) | (4) |
| &nbsp;&nbsp;&nbsp;Not elected for fair value option | 14 | (13) | 1 | 17 | (21) | (4) |
| Consolidated obligation discount notes: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Not elected for fair value option | (2) |  | (2) | 1 | (1) |  |
| Price alignment amount<sup>(1)</sup> | (1) |  | (1) | (2) |  | (2) |
| Total | $(35) | $36 | $1 | $(55) | $24 | $(31) |

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(1)&nbsp;&nbsp;&nbsp;&nbsp;This amount relates to derivatives for which variation margin on cleared derivatives is characterized as a daily settled contract.

During the first nine months of 2025, net gains on derivatives totaled $1 million compared to net losses of $31 million in the first nine months of 2024. These amounts included interest income of $36 million and $24 million resulting from net settlements on derivative instruments used in economic hedges in the first nine months of 2025 and 2024, respectively. Excluding the impact of interest income or expense from net settlements on derivative instruments used in economic hedges, the gains or losses on economic hedges were primarily associated with the effects of changes in market interest rates, interest rate spreads, interest rate volatility, and other market factors during the period. The ongoing impact of these valuation adjustments on the Bank cannot be predicted and the effects of these valuation adjustments may lead to significant volatility in future earnings, including earnings available for dividends.

*Termination of Long-Term Funding Arrangement* – In connection with certain litigation involving its private-label residential mortgage-backed securities (PLRMBS), the Bank entered into a long-term funding arrangement in 2017 with a member, under which the member agreed to obtain or maintain certain advances from the Bank. During the nine months ended September 30, 2024, the Bank terminated the long-term funding arrangement, and in accordance with its terms, recognized $30 million of other income.

**Non-Interest Expense.** During the first nine months of 2025, non-interest expense totaled $153 million, compared to $162 million in the first nine months of 2024. The $9 million decrease in non-interest expense was attributable to a decrease in operating expense, reflecting the Bank's focus on operational efficiency initiatives.

**Return on Average Equity.** ROE (annualized) was 5.52% for the first nine months of 2025, compared to 6.15% for the first nine months of 2024. The decrease reflected lower net income for the first nine months of 2025, which decreased 4% to $298 million in the first nine months of 2025 from $312 million in the first nine months of 2024 and an increase in average equity to $7.2 billion in the first nine months of 2025 from $6.8 billion in the first nine months of 2024. The increase in average equity was driven by increases in the averages of capital stock outstanding, unrestricted retained earnings, and unrealized gains on AFS agency MBS.

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<u>[**Table of Contents**](#iedd7d0d8b02f4da293d754f9ff7c698e_4)</u>

**Dividends and Retained Earnings.** In the first nine months of 2025, the Bank paid dividends at an annualized rate of 8.75%, totaling $186 million, including $168 million in dividends on capital stock and $18 million in dividends on mandatorily redeemable capital stock. In the first nine months of 2024, the Bank paid dividends at an annualized rate of 8.75%, totaling $200 million, including $156 million in dividends on capital stock and $44 million in dividends on mandatorily redeemable capital stock.

**Financial Condition** 

Total assets were $75.8 billion at September 30, 2025, compared to $81.7 billion at December 31, 2024. Advances decreased by $11.4 billion, or 25%, to $34.2 billion at September 30, 2025, from $45.6 billion at December 31, 2024. Average advances were $43.8 billion for the first nine months of 2025, an 18% decrease from $53.7 billion for the first nine months of 2024. Advances declined primarily due to maturities of advances held by nonmembers in connection with certain Bank member acquisitions that occurred in 2023. Investments at September 30, 2025, were $40.4 billion, a net increase of $5.4 billion from $35.0 billion at December 31, 2024, attributable to an increase in federal funds sold of $5.6 billion.

Total liabilities were $68.6 billion at September 30, 2025, a decrease of $6.1 billion from $74.7 billion at December 31, 2024, primarily reflecting a $6.2 billion decrease in consolidated obligations outstanding to $66.4 billion at September 30, 2025, from $72.6 billion at December 31, 2024. Average consolidated obligations were $69.6 billion for the first nine months of 2025 and $76.2 billion for the first nine months of 2024.

**Advances-Related Products.** The advances-related products consist of advances and other credit products. The following table presents the advances portfolio by product type at September 30, 2025, and December 31, 2024.

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| | | | | |
|:---|:---|:---|:---|:---|
| | **September 30, 2025** | **September 30, 2025** | **December 31, 2024** | **December 31, 2024** |
|<br>(Dollars in millions) | **Par Value** | **Percentage of Total Par Value** | **Par Value** | **Percentage of Total Par Value** |
| Adjustable – Secured Overnight Financing Rate (SOFR) | $2455 | 7% | $4455 | 10% |
| Adjustable – SOFR, callable at borrower's option | 2700 | 8 | 2400 | 5 |
| Subtotal adjustable rate advances | 5155 | 15 | 6855 | 15 |
| Fixed | 4569 | 13 | 5711 | 12 |
| Fixed – amortizing | 24 |  | 33 |  |
| Fixed – with PPS<sup>(1)</sup> | 30 |  | 142 |  |
| Fixed – with FPS<sup>(1)</sup> | 16205 | 47 | 24563 | 54 |
| Fixed – callable at borrower's option with FPS<sup>(1)</sup> | 275 | 1 | 310 | 1 |
| Fixed – putable at Bank's option with FPS<sup>(1)</sup> | 5268 | 16 | 4560 | 10 |
| Subtotal fixed rate advances | 26371 | 77 | 35319 | 77 |
| Daily variable rate | 2671 | 8 | 3644 | 8 |
| Total par value | $34197 | 100% | $45818 | 100% |

---

(1)Partial prepayment symmetry (PPS) and full prepayment symmetry (FPS) are product features under which the Bank may charge the borrower a prepayment fee or pay the borrower a prepayment credit, depending on certain circumstances, such as movements in interest rates, when the advance is prepaid. In November 2018, the Bank discontinued offering advances with PPS, and any prepayment credit on an advance with PPS would be limited to the lesser of 10% of the par value of the advance or the gain recognized on the termination of the associated interest rate swap, which may also include a similar contractual gain limitation.

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<u>[**Table of Contents**](#iedd7d0d8b02f4da293d754f9ff7c698e_4)</u>

**Mortgage-Related Products.** Mortgage-related products consist of MBS investments and mortgage loans.

The Bank's MBS investments were $15.0 billion and $15.3 billion at September 30, 2025, and December 31, 2024, respectively. During the first nine months of 2025, the Bank's MBS investments decreased primarily because of $935 million in principal repayments, partially offset by a $447 million increase in valuation adjustments for hedging activities, $186 million in purchases, and a $24 million increase in the fair values of MBS investments classified as AFS.

For more information on the Bank's mortgage-related products, including the mortgage loan portfolio, see "Item 7. Management's Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Credit Risk and Market Risk." in the Bank's 2024 Form 10-K.

**Liquidity and Capital Resources**

The Bank's financial strategies are designed to enable the Bank to expand and contract its balance sheet as membership composition and member credit needs change. The Bank's liquidity and capital resources are designed to support its financial strategies. The Bank's primary source of liquidity is its access to the debt capital markets through consolidated obligation issuance which is described in "Item 1. Business – Funding Sources" in the Bank's 2024 Form 10-K. The Bank's status as a GSE is critical to maintaining its access to the capital markets. Although consolidated obligations are backed only by the financial resources of the FHLBanks and are not guaranteed by the U.S. government, the capital markets have traditionally treated the FHLBanks' consolidated obligations as comparable to federal agency debt, providing the FHLBanks with access to funding at relatively favorable rates. The maintenance of the Bank's capital resources is governed by its capital plan.

***Liquidity***

The Bank seeks to maintain the liquidity necessary to repay maturing consolidated obligations for which it is the primary obligor, meet other obligations and commitments, meet expected and unexpected member credit demands, and may be used for investment opportunities. The Bank monitors its financial position in order to meet these objectives.

As of September 30, 2025, and December 31, 2024, the Bank held total sources of funds in an amount that would have allowed the Bank to meet its liquidity needs and renew maturing advances without issuing new consolidated obligations for over 10 days, in accordance with the Finance Agency's guidance. In addition, the Bank's funding gap positions as of September 30, 2025, and December 31, 2024, were within the tolerance levels provided by the Finance Agency's guidelines. The Bank had no commitments to issue consolidated obligations at September 30, 2025, and December 31, 2024.

For more information, see "Item 7. Management's Discussion and Analysis of Financial Condition and Results of Operations – Liquidity and Capital Resources – Liquidity," "Item 7. Management's Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Liquidity Risk," and "Item 8. Financial Statements and Supplementary Data – Note 15 – Commitments and Contingencies." in the Bank's 2024 Form 10-K.

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<u>[**Table of Contents**](#iedd7d0d8b02f4da293d754f9ff7c698e_4)</u>

***Capital***

As disclosed in the Bank's Form 10-K, the Bank's capital plan was amended effective November 15, 2024, to provide the Bank's Board the option to establish two subclasses of stock. On October 6, 2025, the Bank provided notice to its members that the Board adopted resolutions to provide for the mandatory conversion of the Bank's Class B stock into Class B-1 and Class B-2 stock, and to designate the rights, preferences, and privileges of such Class B-1 and Class B-2 stock, effective January 2, 2026. (See Form 8-K filed on October 6, 2025). Effective January 2, 2026, the Bank's outstanding Class B stock will be converted into Class B-1 membership stock and Class B-2 activity-based stock. Class B-2 activity-based stock will equal the Activity-Based Stock Requirement (as defined in the Capital Plan), and Class B-1 membership stock will be calculated by subtracting Activity-Based Stock Requirement from total capital stock held. If a member has no activity requiring Class B-2 activity-based stock, such member will hold only Class B-1 membership stock based on the Membership Stock Requirement (as defined in the Capital Plan). The Board also approved an update to the dividend philosophy that establishes a guideline for dividend rates for Class B-2 stock to be greater than or equal to Class B-1 stock. The decision to declare any dividend and any dividend rates are at the discretion of the Board and the Board may choose to follow or not follow the dividend philosophy in the declaration of any dividends.

In July 2025, the level of required retained earnings established by the Bank's Framework, implemented in accordance with Finance Agency guidance, was increased from $1.6 billion to $2.0 billion mainly attributable to higher unsecured non-MBS investment balances.

**Risk Management**

The Bank has an integrated corporate governance and internal control framework designed to support effective management of the Bank's business activities and the risks inherent in these activities. As part of this framework, the Board has adopted a Risk Governance Policy that outlines the key roles and responsibilities of the Board and management and sets forth how the Bank is organized to achieve its risk management objectives, including the implementation of the Bank's strategic objectives, risk management strategies, corporate governance and standards of conduct. The policy also establishes an independent risk oversight function to identify, assess, measure, monitor, and report on the enterprise risk profile in relation to its risk appetite and risk management capabilities of the Bank. For more information, see "Item 7. Management's Discussion and Analysis of Financial Condition and Results of Operations – Risk Management" in the Bank's 2024 Form 10-K.

**Credit Ratings.** As discussed in the Bank's 2024 Form 10-K, because of the FHLBanks' GSE status, the credit ratings of the FHLBank System and the FHLBanks are generally constrained by the long-term sovereign credit rating of the United States. On May 19, 2025, Moody's Ratings (Moody's) downgraded the long-term senior unsecured debt ratings of the FHLBank System to Aa1 from Aaa. The rating action reflects the recent downgrade by Moody's of the U.S. government's long-term issuer and senior unsecured ratings to Aa1 with a stable outlook from Aaa with a negative outlook. Rating agency actions may adversely affect the Bank's cost of funds and the FHLBanks' ability to issue consolidated obligations on acceptable terms, which may impact the Bank's overall liquidity. The downgrade by Moody's did not impact any current obligations of the Bank, nor did it have an impact on the Bank's cost of funding, access to liquidity, or financial condition or results of operations.

**Advances.** The Bank manages the credit risk of advances and other credit products by setting the credit and collateral terms available to individual members and housing associates based on their creditworthiness and on the quality and value of the assets they pledge as collateral. Pursuant to the Bank's lending agreements with its borrowers, the Bank limits extensions of credit to individual borrowers to a percentage of the market value or unpaid principal balance of the borrower's pledged collateral, known as the borrowing capacity, which the Bank can change from time to time. The borrowing capacity percentage varies according to several factors, including the charter type of the institution, the collateral type, the value assigned to the collateral, the results of the Bank's collateral field review of the borrower's collateral, the pledging method used for loan collateral (specific identification or blanket lien), the amount of loan data provided (detailed or summary reporting), the data reporting frequency (monthly or quarterly), the borrower's financial strength and condition, and any institution-specific collateral risks. Under the terms of the Bank's lending agreements, the aggregate borrowing capacity of a

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borrower's pledged eligible collateral must meet or exceed the total amount of the borrower's outstanding advances, other extensions of credit, and certain other borrower obligations and liabilities.

The Bank has a high concentration of advances with certain institutions and their affiliates. The percentage of the Bank's advances outstanding to its top 10 borrowers and their affiliates decreased to 59%, or $20.1 billion, at September 30, 2025, compared to 64%, or $29.3 billion, at December 31, 2024.

Several of the Bank's top 10 advance borrowers and their affiliates at the end of 2022 were involved in voluntary liquidation, Federal Deposit Insurance Corporation receivership during 2023, or have been acquired by nonmember institutions. As of September 30, 2025, and December 31, 2024, nonmembers accounted for $4.0 billion, or 12%, and $12.1 billion, or 27%, of total advances outstanding at par value, respectively. Nonmembers, excluding housing associates in the Bank's district, accounted for $36 million, or 8%, and $165 million, or 12%, of the Bank's interest income from advances for the three and nine months ended September 30, 2025, respectively. Nonmembers accounted for $186 million, or 33%, and $668 million, or 38%, of the Bank's interest income from advances for the three and nine months ended September 30, 2024, respectively. Because these borrowers are nonmembers, when these advances either mature or are prepaid they cannot be replaced by these borrowers, which will adversely affect the Bank's level of advance balances and total interest income from advances in the future. As a result of the inability of nonmembers to seek new advances from the Bank, the Bank's level of advances and the associated net interest income in the future will be subject to a number of factors including, but not limited to, a member's ability to generate new business, seek new advances, or pursue consolidation opportunities within the banking industry, and the economy in general. For further information, see "Item 1. Financial Statements – Note 4 – Advances – Concentration Risk."

The following tables present a summary of the status of the credit outstanding and overall collateral borrowing capacity of the Bank's borrowers as of September 30, 2025, and December 31, 2024.

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| | | | |
|:---|:---|:---|:---|
| **Borrower Credit Outstanding and Collateral Borrowing Capacity** <br>**by Unused Borrowing Capacity** | **Borrower Credit Outstanding and Collateral Borrowing Capacity** <br>**by Unused Borrowing Capacity** | **Borrower Credit Outstanding and Collateral Borrowing Capacity** <br>**by Unused Borrowing Capacity** | **Borrower Credit Outstanding and Collateral Borrowing Capacity** <br>**by Unused Borrowing Capacity** |
| **September 30, 2025** | | | |
| (Dollars in millions)<br>**Unused Borrowing Capacity** | **Number of Borrowers with Credit Outstanding** | **Credit**<br>**Outstanding**<sup>(1)</sup> | **Collateral**<br>**Borrowing**<br>**Capacity**<sup>(2)</sup> |
| 0% – 10% | 7 | $5535 | $5586 |
| 11% – 25% | 5 | 660 | 816 |
| 26% – 50% | 21 | 13274 | 21587 |
| More than 50% | 160 | 33634 | 152221 |
| Total | 193 | $53103 | $180210 |

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| | | | |
|:---|:---|:---|:---|
| **December 31, 2024**<br>(Dollars in millions)<br>**Unused Borrowing Capacity** |<br>**Number of Borrowers with Credit Outstanding** |<br>**Credit**<br>**Outstanding**<sup>(1)</sup> |<br>**Collateral**<br>**Borrowing**<br>**Capacity**<sup>(2)</sup> |
| 0% – 10% | 10 | $5719 | $5877 |
| 11% – 25% | 6 | 10362 | 12103 |
| 26% – 50% | 23 | 19877 | 35439 |
| More than 50% | 162 | 29396 | 137135 |
| Total | 201 | $65354 | $190554 |

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(1)Includes advances, letters of credit, the market value of swaps, estimated prepayment fees for certain borrowers, and the credit enhancement obligation on MPF loans.

(2)Collateral borrowing capacity does not represent any commitment to lend on the part of the Bank.

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Based on the Bank's credit and collateral policies, its credit analysis of borrowers' financial condition and the collateral pledged as security for advances, the Bank expects to collect all amounts due according to the contractual terms of the advances. Therefore, no allowance for credit losses on advances was deemed necessary by the Bank as of September 30, 2025, and December 31, 2024. The Bank has never experienced any credit losses on advances.

As of September 30, 2025, of the loan collateral pledged to the Bank, 17% was pledged by 22 institutions by specific identification, 45% was pledged by 116 institutions under a blanket lien with detailed reporting, and 38% was pledged by 133 institutions under a blanket lien with summary reporting. For each institution that pledges loan collateral, the Bank conducts loan collateral field reviews on a one-, two-, or three-year cycle, depending on the risk profile of the institution and the types of collateral pledged.

As of September 30, 2025, the Bank's maximum borrowing capacities as a percentage of the assigned market value of mortgage loan collateral pledged under a blanket lien with detailed reporting were as follows: 84% for first lien residential mortgage loans, 81% for multifamily mortgage loans, 81% for commercial mortgage loans, and 69% for second lien residential mortgage loans. The maximum borrowing capacity for small business, small agribusiness, and small farm loans was 50% of the unpaid principal balance, although most of these loans are pledged under blanket lien with summary reporting, with a maximum borrowing capacity of 25%. The highest borrowing capacities are available to institutions that pledge under a blanket lien with detailed reporting because the detailed loan information allows the Bank to assess the value of the collateral more precisely and because additional collateral is pledged under the blanket lien that may not receive borrowing capacity but may be liquidated to repay advances in the event of default. The Bank may review and change the maximum borrowing capacity for any type of loan collateral at any time.

The following table presents the mortgage loan collateral pledged at September 30, 2025, and December 31, 2024.

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| | | | | |
|:---|:---|:---|:---|:---|
| **Composition of Loan Collateral Pledged**  | **Composition of Loan Collateral Pledged**  | **Composition of Loan Collateral Pledged**  | **Composition of Loan Collateral Pledged**  | **Composition of Loan Collateral Pledged**  |
| (In millions) | **September 30, 2025** | **September 30, 2025** | **December 31, 2024** | **December 31, 2024** |
| **Loan Type** | **Unpaid Principal<br>Balance** | **Borrowing<br>Capacity** | **Unpaid Principal<br>Balance** | **Borrowing<br>Capacity** |
| First lien residential mortgage loans | $122101 | $82498 | $130538 | $89568 |
| Second lien residential mortgage loans and home equity lines of credit | 13478 | 6276 | 13183 | 6421 |
| Multifamily mortgage loans | 28029 | 18194 | 35095 | 22245 |
| Commercial mortgage loans | 67368 | 43589 | 71907 | 45632 |
| Loan participations<sup>(1)</sup> | 1364 | 492 | 963 | 343 |
| Small business, small farm, and small agribusiness loans | 1549 | 382 | 1443 | 356 |
| Total | $233889 | $151431 | $253129 | $164565 |

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(1)The unpaid principal balance for loan participations is 100% of the outstanding loan amount. The borrowing capacity for loan participations is based on the participated amount pledged to the Bank.

The Bank holds a security interest in subprime residential mortgage loans pledged as collateral by members and by nonmembers. Subprime loans are defined as loans with a borrower FICO score of less than or equal to 660 at origination, or if the original FICO score is not available, as loans with a current borrower FICO score of less than or equal to 660. At September 30, 2025, and December 31, 2024, the unpaid principal balance of these loans totaled $5.6 billion and $5.5 billion, respectively. The Bank reviews and assigns borrowing capacities to subprime mortgage loans as it does for all other types of loan collateral, taking into account the known credit attributes in the pricing of the loans. All advances, including those made to borrowers pledging subprime mortgage loans, are required to be fully collateralized. The Bank limits the amount of borrowing capacity that may be supported by subprime collateral. At both September 30, 2025, and December 31, 2024, the borrowing capacity of these loans totaled $3.9 billion.

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**Investments.** The Bank has adopted credit policies and exposure limits for investments that promote risk limitation, diversification, and liquidity. These policies determine eligible counterparties and restrict the amounts and terms of the Bank's investments with any given counterparty according to the Bank's own capital position as well as the capital and creditworthiness of the counterparty.

The following table presents the Bank's investment credit exposure at September 30, 2025, based on the lowest of the long-term credit ratings provided by Moody's, S&P, or Fitch Ratings (Fitch).

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Carrying Value** | **Carrying Value** | **Carrying Value** | **Carrying Value** | **Carrying Value** | **Carrying Value** |
| (In millions) | **Credit Rating**<sup>(1)</sup> | **Credit Rating**<sup>(1)</sup> | **Credit Rating**<sup>(1)</sup> | **Credit Rating**<sup>(1)</sup> |  |  |
| **Investment Type** | **AA** | **A** | **BBB** | **Below Investment Grade** | **Unrated** | **Total** |
| U.S. obligations – Treasury securities | $6518 | $— | $— | $— | $— | $6518 |
| State housing agency obligations | 28 |  |  |  |  | 28 |
| MBS: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Other U.S. obligations – single-family | 20 |  |  |  |  | 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;MBS – GSEs: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Single-family<sup>(2)</sup> | 419 |  | 3 | 1 |  | 423 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Multifamily | 13607 |  |  |  |  | 13607 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total MBS – GSEs | 14026 |  | 3 | 1 |  | 14030 |
| &nbsp;&nbsp;&nbsp;&nbsp;PLRMBS | 11 | 19 | 28 | 472 | 457 | 987 |
| Total MBS | 14057 | 19 | 31 | 473 | 457 | 15037 |
| Total securities | 20603 | 19 | 31 | 473 | 457 | 21583 |
| Interest-bearing deposits | 782 | 2524 |  |  |  | 3306 |
| Securities purchased under agreements to resell<sup>(3)</sup> | 3000 | 1500 |  |  | 3750 | 8250 |
| Federal funds sold<sup>(4)</sup> | 3632 | 3645 |  |  |  | 7277 |
| Total investments | $28017 | $7688 | $31 | $473 | $4207 | $40416 |

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(1)Credit ratings grades of BB and lower are considered below investment grade.

(2)The Bank has one security guaranteed by Fannie Mae but rated below investment grade at September 30, 2025, because of extraordinary expenses incurred during bankruptcy of the security's sponsor in 2008.

(3)Unrated counterparties for these investments were broker-dealers, qualifying for limited trading programs authorized by the Bank.

(4)Includes unsecured investment credit exposure to a member.

The following table presents the unsecured credit exposure with counterparties by investment type at September 30, 2025, and December 31, 2024.

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| | | |
|:---|:---|:---|
| | **Carrying Value**<sup>(1)</sup> | **Carrying Value**<sup>(1)</sup> |
|<br>(In millions) | **September 30, 2025** | **December 31, 2024** |
| Interest-bearing deposits | $3306 | $3765 |
| Federal funds sold | 7277 | 1645 |
| Total | $10583 | $5410 |

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(1)Excludes unsecured investment credit exposure to U.S. government agencies and instrumentalities, government-sponsored enterprises, and supranational entities and does not include related accrued interest as of September 30, 2025, and December 31, 2024.

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The following table presents the credit ratings of the unsecured investment credit exposures presented by the domicile of the counterparty or the domicile of the counterparty's parent for U.S. branches and agency offices of foreign commercial banks, based on the lowest of the credit ratings provided by Moody's, S&P, or Fitch. This table does not reflect the foreign sovereign government's credit rating. At September 30, 2025, 69% of the Bank's total unsecured investments were to U.S. branches and agency offices of foreign commercial banks. At September 30, 2025, all of the unsecured investments held by the Bank had overnight maturities.

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| | | | |
|:---|:---|:---|:---|
| | **Carrying Value**<sup>(1)</sup> | **Carrying Value**<sup>(1)</sup> | **Carrying Value**<sup>(1)</sup> |
| (In millions) | **Credit Rating**<sup>(2)</sup> | **Credit Rating**<sup>(2)</sup> |  |
| **Domicile of Counterparty** | **AA** | **A** | **Total** |
| Domestic | $432 | $2524 | $2956 |
| U.S. subsidiaries of foreign commercial banks | 350 |  | 350 |
| Total domestic and U.S. subsidiaries of foreign commercial banks | 782 | 2524 | 3306 |
| U.S. branches and agency offices of foreign commercial banks: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Australia | 495 |  | 495 |
| &nbsp;&nbsp;&nbsp;&nbsp;Canada | 400 | 1000 | 1400 |
| &nbsp;&nbsp;&nbsp;&nbsp;Finland | 737 |  | 737 |
| &nbsp;&nbsp;&nbsp;&nbsp;France |  | 50 | 50 |
| &nbsp;&nbsp;&nbsp;&nbsp;Germany |  | 1095 | 1095 |
| &nbsp;&nbsp;&nbsp;&nbsp;Japan |  | 500 | 500 |
| &nbsp;&nbsp;&nbsp;&nbsp;Netherlands |  | 1000 | 1000 |
| &nbsp;&nbsp;&nbsp;&nbsp;Norway | 700 |  | 700 |
| &nbsp;&nbsp;&nbsp;&nbsp;Singapore | 100 |  | 100 |
| &nbsp;&nbsp;&nbsp;&nbsp;Sweden | 1200 |  | 1200 |
| Total U.S. branches and agency offices of foreign commercial banks | 3632 | 3645 | 7277 |
| Total unsecured credit exposure | $4414 | $6169 | $10583 |

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(1)Excludes unsecured investment credit exposure to U.S. government agencies and instrumentalities, government-sponsored enterprises, and supranational entities and does not include related accrued interest as of September 30, 2025.

(2)Does not reflect changes in ratings, outlook, or watch status occurring after September 30, 2025. These ratings represent the lowest rating available for each unsecured investment owned by the Bank, based on the ratings provided by Fitch, Moody's, or S&P.

The Bank's MBS investments include PLRMBS and agency residential MBS. Some of the PLRMBS were issued by or purchased from members, former members, or their affiliates. The Bank has investment credit limits and terms for these investments that do not differ for members and nonmembers. Regulatory policy limits total MBS investments, to three times the Bank's regulatory capital at the time of purchase. At September 30, 2025, the Bank's MBS portfolio was 212% of Bank regulatory capital (as determined in accordance with regulations governing the operations of the FHLBanks).

The Bank executes all MBS investments without preference to the status of the counterparty or the issuer of the investment as a nonmember, member, or affiliate of a member.

As of September 30, 2025, the Bank's investment in MBS had gross unrealized losses totaling $35 million, $23 million of which were related to PLRMBS. These gross unrealized losses related to PLRMBS were primarily attributable to market expectations of the credit performance of loan collateral underlying these securities, which caused these assets to be valued at discounts to their amortized cost.

For its agency MBS, the Bank expects to recover the entire amortized cost basis of these securities because the Bank determined that the strength of the issuers' guarantees through direct obligations or support from the U.S. government is sufficient to protect the Bank from losses. As a result, the Bank determined that, as of September 30, 2025, all of the gross unrealized losses on its agency MBS are temporary.

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If conditions in the housing and mortgage markets and general business and economic conditions deteriorate, the fair value of MBS may decline further, and the Bank may experience additional credit losses on PLRMBS in future periods. Additional credit losses could adversely affect the Bank's earnings and retained earnings and its ability to pay dividends and repurchase capital stock. The Bank cannot predict whether it will be required to record an allowance for credit losses on its PLRMBS in the future.

**Derivative Counterparties.** Interest rate exchange agreements may be either uncleared or cleared at a clearing house.

*Uncleared Derivatives –* The Bank has adopted credit policies and exposure limits for uncleared derivatives counterparty credit exposure. The Bank does not anticipate any credit losses on its uncleared derivative transactions with counterparties as of September 30, 2025.

*Cleared Derivatives –* In a cleared derivatives transaction, the Bank is subject to nonperformance by the clearing house and its futures commission merchant or clearing agent. Based on the master netting arrangements, its credit analyses, and the margin requirements in place with each counterparty, the Bank does not expect to incur any credit losses on its derivative agreements.

For more information related to the Bank's uncleared derivative transaction risk mitigation activities and related uncleared margin rules, and information related to the Bank's credit risk exposure on cleared derivative instruments, including margining practices and counterparty risk management, see "Item 8. Financial Statements and Supplementary Data – Note 13 – Derivatives and Hedging Activities" in the Bank's 2024 Form 10-K.

The following table presents the Bank's credit exposure to its derivative dealer counterparties at September 30, 2025.

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| (In millions)<br>**Counterparty Credit Rating**<sup>(1)</sup> | **Notional Amount** | **Net Fair Value of Derivatives Before Collateral** | **Cash Collateral Pledged <br>to/ (from) Counterparty** | **Non-cash Collateral Pledged**<br>**to/ (from) Counterparty** | **Net Credit<br>Exposure to Counterparties** |
| Asset positions with credit exposure: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Uncleared derivatives |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;A | $394 | $8 | $(8) | $— | $— |
| Liability positions with credit exposure: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Uncleared derivatives |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;BBB | 7802 | (49) | 49 |  |  |
| &nbsp;&nbsp;Cleared derivatives<sup>(2)</sup> | 52180 | (8) |  | 562 | 554 |
| Total derivative positions with credit exposure to nonmember counterparties | $60376 | $(49) | $41 | $562 | $554 |
| Derivative positions without credit exposure | 24428 |  |  |  |  |
| Total notional | $84804 |  |  |  |  |

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(1)The credit ratings grades used by the Bank are based on the lower of Moody's or S&P ratings.

(2)Represents derivative transactions cleared with LCH Ltd, the Bank's clearing house, which was rated AA- with a stable outlook by S&P.

**Critical Accounting Estimates** 

The preparation of financial statements in accordance with U.S. GAAP requires management to make a number of judgments, estimates, and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, if applicable, and the reported amounts of income, expenses, gains, and losses during the reporting period. Changes in these judgments, estimates, and assumptions could potentially affect the

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Bank's financial position and results of operations significantly. Although the Bank believes these judgments, estimates, and assumptions to be reasonably accurate, actual results may differ.

In the Bank's 2024 Form 10-K, the Bank identified accounting for derivatives and hedging activities as a critical accounting estimate. There have been no significant changes in the judgments and assumptions made during the first nine months of 2025 in applying the Bank's critical accounting estimate. These policies and the judgments, estimates, and assumptions are also described in "Item 7. Management's Discussion and Analysis of Financial Condition and Results of Operations – Critical Accounting Estimates", "Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies" and "Item 8. Financial Statements and Supplementary Data – Note 13 – Derivatives and Hedging Activities" in the Bank's 2024 Form 10-K.

**Recently Issued Accounting Guidance and Interpretations** 

See "Item 1. Financial Statements – Note 2 – Recently Issued and Adopted Accounting Guidance" for a discussion of recently issued accounting standards and interpretations.

**Legislative and Regulatory Developments**

The Bank is subject to various legal and regulatory requirements and priorities. Certain actions by the current federal executive administration are changing the regulatory environment, including regulatory priorities and areas of focus, such as deregulation, which have affected, and will likely continue to affect, certain aspects of the Bank's business operations, and could impact the Bank's financial condition, results of operations and reputation.

As of the third quarter of 2025, the Finance Agency has rescinded the regulatory interpretation that had imposed detailed criteria on FHLBank acceptance of municipal securities as eligible collateral and outlined how to determine and verify eligibility of municipal bonds. The Bank is reviewing this rescission and assessing the potential impact on the Bank's collateral eligibility policies. In addition, the Finance Agency has withdrawn two proposed rules published in 2024: (i) the proposed rule published in November 2024 that would have amended regulations addressing boards of directors and overall corporate governance of the FHLBanks and the Office of Finance and (ii) the proposed rule published in October 2024 that would have amended the Bank's capital requirements by modifying limits on the Bank's extensions of unsecured credit. In October 2025, the Finance Agency rescinded several advisory bulletins and certain technical guidance documents. The Bank is reviewing these rescissions and assessing any potential impact they may have on the Bank and its policies and procedures.

Considering the changes in the regulatory environment, there is uncertainty with respect to the ultimate result of future regulatory actions and the ultimate impact they may have on the Bank and the FHLBank System. The Bank continues to monitor these actions as they evolve and to evaluate their potential impact on the Bank. For a discussion of related risks, see "Item 1A – Risk Factors" in the Bank's 2024 Form 10-K.

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**ITEM 3.**&nbsp;&nbsp;&nbsp;&nbsp;**QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK**

*Market Value of Capital Sensitivity* – The Bank uses market value of capital sensitivity (the interest rate sensitivity of the net fair value of all assets, liabilities, and interest rate exchange agreements) as an important measure of the Bank's exposure to changes in interest rates. The Bank's measured market value of capital sensitivity was within the limits as of September 30, 2025.

The following table presents the sensitivity of the market value of capital (the market value of all of the Bank's assets, liabilities, and associated interest rate exchange agreements, with mortgage assets valued using market spreads implied by current market prices) to changes in interest rates. The table presents the estimated percentage change in the Bank's market value of capital that would be expected to result from changes in interest rates under different interest rate scenarios, using market spread assumptions as of September 30, 2025, and December 31, 2024.

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| | | | |
|:---|:---|:---|:---|
| **Market Value of Capital Sensitivity <br>Estimated Percentage Change in Market Value of Bank Capital <br>for Various Changes in Interest Rates** | **Market Value of Capital Sensitivity <br>Estimated Percentage Change in Market Value of Bank Capital <br>for Various Changes in Interest Rates** | **Market Value of Capital Sensitivity <br>Estimated Percentage Change in Market Value of Bank Capital <br>for Various Changes in Interest Rates** | **Market Value of Capital Sensitivity <br>Estimated Percentage Change in Market Value of Bank Capital <br>for Various Changes in Interest Rates** |
| **Interest Rate Scenario**<sup>(1)</sup> | **September 30, 2025** | | **December 31, 2024** |
| +200 basis-point change | +0.1 | % | –2.4 |
| +100 basis-point change | +0.0 |  | –1.2 |
| –100 basis-point change<sup>(2)</sup> | +0.2 |  | +1.2 |
| –200 basis-point change<sup>(2)</sup> | +0.5 |  | +2.3 |

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(1)Instantaneous change from actual rates at dates indicated.

(2)Interest rates for each maturity are limited to non-negative rates.

The Bank's estimates of the sensitivity of the market value of capital to changes in interest rates as of September 30, 2025, have decreased as compared to the estimates as of December 31, 2024. The primary driver for the change is the implementation of a third-party prepayment model for the Bank's agency multifamily MBS. Compared to December 31, 2024, interest rates as of September 30, 2025, have decreased 15 basis points for the one-month Treasury bill, decreased 66 basis points for the five-year Treasury note, and decreased 43 basis points for the 10-year Treasury note.

The Bank's Risk Management Policy provides guidelines for the payment of dividends and the repurchase of excess stock based on the ratio of the Bank's estimated market value of total capital to par value of capital stock. The ratio of the Bank's estimated market value of total capital to par value of capital stock was 286% as of September 30, 2025.

*Adjusted Net Interest Income as a Percent of Capital* – The Bank assesses the impact of interest rate changes on its projected earnings by monitoring its adjusted net interest income as a percent of capital. With the indicated interest rate shifts, the adjusted net interest income on capital for the 12-month horizon is projected to remain within the limit of -210 basis-points. For more information on adjusted net interest income and adjusted net interest income as a percent of capital, see "Item 7. Management's Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Market Risk" in the Bank's 2024 Form 10-K.

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*Duration Gap* – The Bank monitors the duration gap analysis and does not have a risk limit. The driver for the change in the duration gap is due to the implementation of a third-party prepayment model for the Bank's agency multifamily MBS. The following table presents the Bank's duration gap for its assets and liabilities at September 30, 2025, and December 31, 2024.

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| | | | | |
|:---|:---|:---|:---|:---|
| **Duration Gap Analysis** | **Duration Gap Analysis** | **Duration Gap Analysis** | **Duration Gap Analysis** | **Duration Gap Analysis** |
| | **September 30, 2025** | **September 30, 2025** | **December 31, 2024** | **December 31, 2024** |
| | **Amount<br>(In millions)** | **Duration Gap**<sup>(1)</sup><br>**(In months)** | **Amount<br>(In millions)** | **Duration Gap**<sup>(1)</sup><br>**(In months)**  |
| Assets | $75769 | 1.0 | $81735 | 2.1 |
| Liabilities | 68630 | 1.0 | 74731 | 0.9 |
| Net | $7139 | 0.0 | $7004 | 1.2 |

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(1)Duration gap values include the impact of interest rate exchange agreements.

For more information on quantitative and qualitative disclosures about the Bank's market risk, see "Item 7. Management's Discussion and Analysis of Financial Condition and Results of Operations – Risk Management – Market Risk" in the Bank's 2024 Form 10-K.

**ITEM 4.**&nbsp;&nbsp;&nbsp;&nbsp;**CONTROLS AND PROCEDURES** 

**Disclosure Controls and Procedures**

The senior management of the Federal Home Loan Bank of San Francisco (Bank) is responsible for establishing and maintaining a system of disclosure controls and procedures designed to ensure that information required to be disclosed by the Bank in the reports filed or submitted under the Securities Exchange Act of 1934 (1934 Act) is recorded, processed, summarized, and reported within the time periods specified in the rules and forms of the Securities and Exchange Commission. The Bank's disclosure controls and procedures include, without limitation, controls and procedures designed to ensure that information required to be disclosed by the Bank in the reports that it files or submits under the 1934 Act is accumulated and communicated to the Bank's management, including its principal executive officer or officers and principal financial officer or officers, or persons performing similar functions, as appropriate to allow timely decisions regarding required disclosure. In designing and evaluating the Bank's disclosure controls and procedures, the Bank's management recognizes that any controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives, and the Bank's management necessarily is required to apply its judgment in evaluating the cost-benefit relationship of controls and procedures.

Management of the Bank has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with the participation of the president and chief executive officer and executive vice president and chief financial officer as of the end of the period covered by this report. Based on that evaluation, the Bank's president and chief executive officer and executive vice president and chief financial officer have concluded that the Bank's disclosure controls and procedures were effective at a reasonable assurance level as of the end of the period covered by this report.

**Internal Control Over Financial Reporting**

During the three months ended September 30, 2025, there were no changes in the Bank's internal control over financial reporting that have materially affected, or are reasonably likely to materially affect, the Bank's internal control over financial reporting.

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**Consolidated Obligations**

The Bank's disclosure controls and procedures include controls and procedures for accumulating and communicating information in compliance with the Bank's disclosure and financial reporting requirements relating to the joint and several liability for the consolidated obligations of the FHLBanks. Because the FHLBanks are independently managed and operated, the Bank's management relies on information that is provided or disseminated by the Federal Housing Finance Agency (Finance Agency), the Office of Finance, and the other FHLBanks, as well as on published FHLBank credit ratings, in determining whether the joint and several liability regulation is reasonably likely to result in a direct obligation for the Bank or whether it is reasonably possible that the Bank will accrue a direct liability.

The Bank's management also relies on the operation of the joint and several liability regulation. The joint and several liability regulation requires that each FHLBank file with the Finance Agency a quarterly certification that it will remain capable of making full and timely payment of all of its current obligations, including direct obligations, coming due during the next quarter. In addition, if an FHLBank cannot make such a certification or if it projects that it may be unable to meet its current obligations during the next quarter on a timely basis, it must file a notice with the Finance Agency. Under the joint and several liability regulation, the Finance Agency may order any FHLBank to make principal and interest payments on any consolidated obligations of any other FHLBank, or allocate the outstanding liability of an FHLBank among all remaining FHLBanks on a pro rata basis in proportion to each FHLBank's participation in all consolidated obligations outstanding or on any other basis.

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**PART II. OTHER INFORMATION**

**ITEM 1.**&nbsp;&nbsp;&nbsp;&nbsp;**LEGAL PROCEEDINGS**

The Federal Home Loan Bank of San Francisco (Bank) may be subject to various legal proceedings arising in the normal course of business.

After consultation with legal counsel, the Bank is not aware of any legal proceedings that are expected to have a material effect on its financial condition or results of operations or that are otherwise material to the Bank.

**ITEM 1A.&nbsp;&nbsp;&nbsp;&nbsp;RISK FACTORS** 

The Bank is subject to a number of risks as set forth in "Item 1A – Risk Factors" in the Bank's 2024 Form 10-K. Reference is made to sections in "Item 2. Management Discussion and Analysis of Financial Condition and Results of Operations" of this Form 10-Q regarding other potential risks and uncertainties facing the Bank.

**ITEM 2.&nbsp;&nbsp;&nbsp;&nbsp;UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS**

Not applicable.

**ITEM 3.&nbsp;&nbsp;&nbsp;&nbsp;DEFAULTS UPON SENIOR SECURITIES**

None.

**ITEM 4.&nbsp;&nbsp;&nbsp;&nbsp;MINE SAFETY DISCLOSURES**

Not applicable.

**ITEM 5.&nbsp;&nbsp;&nbsp;&nbsp;OTHER INFORMATION**

None.

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**ITEM 6.&nbsp;&nbsp;&nbsp;&nbsp;EXHIBITS**

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| | |
|:---|:---|
| **Exhibit No.** | **Description** |
| <u>[31.1](q3202510qex311.htm)</u> | Certification of the Interim President and Chief Executive Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 |
| <u>[31.2](q3202510qex312.htm)</u> | Certification of the Chief Financial Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 |
| <u>[32.1](q3202510qex321.htm)</u> | Certification of the Interim 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 |
| <u>[32.2](q3202510qex322.htm)</u> | Certification of the Chief Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 |
| 101.INS | Inline XBRL Instance Document - The instance document does not appear in the interactive data file because its XBRL tags are embedded within the inline XBRL document. |
| 101.SCH | Inline XBRL Taxonomy Extension Schema Document |
| 101.CAL | Inline XBRL Taxonomy Extension Calculation Linkbase Document |
| 101.DEF | Inline XBRL Taxonomy Extension Definition Linkbase Document |
| 101.LAB | Inline XBRL Taxonomy Extension Label Linkbase Document |
| 101.PRE | Inline XBRL Taxonomy Extension Presentation Linkbase Document |
| 104 | Cover Page Interactive Data File - The cover page interactive data file does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document. |

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&nbsp;&nbsp;&nbsp;&nbsp;

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**SIGNATURES**

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized, on October 31, 2025.

---

| |
|:---|
| Federal Home Loan Bank of San Francisco |
| /S/ JOSEPH E. AMATO |
| **Joseph E. Amato<br>Interim President and Chief Executive Officer**<br>**(Principal executive officer)** |
| /S/ MICHAEL S. HENNESSY |
| **Michael S. Hennessy**<br>**Executive Vice President and Chief Financial Officer**<br>**(Principal financial officer)** |
| /S/ JENNIFER F. LIN |
| **Jennifer F. Lin**<br>**Senior Vice President and Controller**<br>**(Principal accounting officer)** |

---

## Exhibit 31.1

**EXHIBIT 31.1**

**Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002**

**for the Interim President and Chief Executive Officer**

I, Joseph E. Amato, certify that:

1. I have reviewed this quarterly report on Form 10-Q for the period ended September 30, 2025, of the Federal Home Loan Bank of San Francisco;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a.Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b.Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c.Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d.Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.

5. The registrant's other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a.All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b.Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

---

| | |
|:---|:---|
| October 31, 2025 | /S/ JOSEPH E. AMATO |
| | **Joseph E. Amato**<br>**Interim President and Chief Executive Officer** |

---

## Exhibit 31.2

**EXHIBIT 31.2**

**Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002**

**for the Chief Financial Officer**

I, Michael S. Hennessy, certify that:

1. I have reviewed this quarterly report on Form 10-Q for the period ended September 30, 2025, of the Federal Home Loan Bank of San Francisco;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a.Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b.Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c.Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d.Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.

5. The registrant's other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a.All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b.Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

---

| | |
|:---|:---|
| October 31, 2025 | /S/ MICHAEL S. HENNESSY |
| | **Michael S. Hennessy<br>Executive Vice President and Chief Financial Officer** |

---

## Exhibit 32.1

**EXHIBIT 32.1**

**Certification by the Interim 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**

I, Joseph E. Amato, Interim President and Chief Executive Officer of the Federal Home Loan Bank of San Francisco ("Registrant"), certify that, to the best of my knowledge:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.The Registrant's Quarterly Report on Form 10-Q for the period ended September 30, 2025, ("Report") fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

---

| | |
|:---|:---|
| October 31, 2025 | /S/ JOSEPH E. AMATO |
| | **Joseph E. Amato**<br>**Interim President and Chief Executive Officer** |

---

A signed original of this written statement required by Section 906 has been provided to the Federal Home Loan Bank of San Francisco and will be retained by the Federal Home Loan Bank of San Francisco and furnished to the Securities and Exchange Commission or its staff upon request.

## Exhibit 32.2

**EXHIBIT 32.2**

**Certification by the Chief Financial Officer**

**Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002**

I, Michael S. Hennessy, Executive Vice President and Chief Financial Officer of the Federal Home Loan Bank of San Francisco ("Registrant"), certify that, to the best of my knowledge:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.The Registrant's Quarterly Report on Form 10-Q for the period ended September 30, 2025, ("Report") fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

---

| | |
|:---|:---|
| October 31, 2025 | /S/ MICHAEL S. HENNESSY |
| | **Michael S. Hennessy<br>Executive Vice President and Chief Financial Officer** |

---

A signed original of this written statement required by Section 906 has been provided to the Federal Home Loan Bank of San Francisco and will be retained by the Federal Home Loan Bank of San Francisco and furnished to the Securities and Exchange Commission or its staff upon request.

<br>