# EDGAR Filing Document

**Accession Number:** 0001316944
**File Stem:** 0001316944-26-000088
**Filing Date:** 2026-5
**Character Count:** 160977
**Document Hash:** 13ffeebd22b1e0b75951c61c8719ba53
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001316944-26-000088.hdr.sgml**: 20260506

**ACCESSION NUMBER**: 0001316944-26-000088

**CONFORMED SUBMISSION TYPE**: 10-Q

**PUBLIC DOCUMENT COUNT**: 86

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260506

**DATE AS OF CHANGE**: 20260506

**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:** 26947470

**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-20260331

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_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 March 31, 2026** 

**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 May 1, 2026 |
| Total Capital Stock, par value $100 per share | 26058598 |

---

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_4)</u>

**Federal Home Loan Bank of San Francisco** 

**Form 10-Q**

 **Index**

---

| | | |
|:---|:---|:---|
| **PART I.** | **<u>[FINANCIAL INFORMATION](#if16c569a67bf487b92a19738856db6a1_10)</u>** | |
| Item 1. | <u>[Financial Statements](#if16c569a67bf487b92a19738856db6a1_13)</u> | <u>[1](#if16c569a67bf487b92a19738856db6a1_13)</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>[Statements of Condition (Unaudited)](#if16c569a67bf487b92a19738856db6a1_16)</u> | <u>[1](#if16c569a67bf487b92a19738856db6a1_16)</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>[Statements of Income (Unaudited)](#if16c569a67bf487b92a19738856db6a1_22)</u> | <u>[2](#if16c569a67bf487b92a19738856db6a1_22)</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>[Statements of Comprehensive Income/(Loss) (Unaudited)](#if16c569a67bf487b92a19738856db6a1_25)</u> | <u>[3](#if16c569a67bf487b92a19738856db6a1_25)</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>[Statements of Capital Accounts (Unaudited)](#if16c569a67bf487b92a19738856db6a1_28)</u> | <u>[4](#if16c569a67bf487b92a19738856db6a1_28)</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>[Statements of Cash Flows (Unaudited)](#if16c569a67bf487b92a19738856db6a1_37)</u> | <u>[5](#if16c569a67bf487b92a19738856db6a1_37)</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>[Notes to Financial Statements (Unaudited)](#if16c569a67bf487b92a19738856db6a1_40)</u> | <u>[7](#if16c569a67bf487b92a19738856db6a1_40)</u> |
| Item 2. | <u>[Management's Discussion and Analysis of Financial Condition and Results of Operations](#if16c569a67bf487b92a19738856db6a1_88)</u> | <u>[26](#if16c569a67bf487b92a19738856db6a1_88)</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>[Quarterly Overview](#if16c569a67bf487b92a19738856db6a1_91)</u> | <u>[27](#if16c569a67bf487b92a19738856db6a1_91)</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>[Financial Highlights](#if16c569a67bf487b92a19738856db6a1_94)</u> | <u>[28](#if16c569a67bf487b92a19738856db6a1_94)</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>[Results of Operations](#if16c569a67bf487b92a19738856db6a1_97)</u> | <u>[29](#if16c569a67bf487b92a19738856db6a1_97)</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>[Financial Condition](#if16c569a67bf487b92a19738856db6a1_106)</u> | <u>[33](#if16c569a67bf487b92a19738856db6a1_106)</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>[Liquidity and Capital Resources](#if16c569a67bf487b92a19738856db6a1_121)</u> | <u>[33](#if16c569a67bf487b92a19738856db6a1_121)</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>[Risk Management](#if16c569a67bf487b92a19738856db6a1_124)</u> | <u>[35](#if16c569a67bf487b92a19738856db6a1_124)</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>[Critical Accounting Estimates](#if16c569a67bf487b92a19738856db6a1_136)</u> | <u>[39](#if16c569a67bf487b92a19738856db6a1_136)</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>[Legislative and Regulatory Developments](#if16c569a67bf487b92a19738856db6a1_142)</u> | <u>[39](#if16c569a67bf487b92a19738856db6a1_142)</u> |
| Item 3. | <u>[Quantitative and Qualitative Disclosures About Market Risk](#if16c569a67bf487b92a19738856db6a1_145)</u> | <u>[40](#if16c569a67bf487b92a19738856db6a1_145)</u> |
| Item 4. | <u>[Controls and Procedures](#if16c569a67bf487b92a19738856db6a1_148)</u> | <u>[41](#if16c569a67bf487b92a19738856db6a1_148)</u> |
| **PART II.** | **<u>[OTHER INFORMATION](#if16c569a67bf487b92a19738856db6a1_151)</u>** |  |
| Item 1. | <u>[Legal Proceedings](#if16c569a67bf487b92a19738856db6a1_154)</u> | <u>[43](#if16c569a67bf487b92a19738856db6a1_154)</u> |
| Item 1A. | <u>[Risk Factors](#if16c569a67bf487b92a19738856db6a1_157)</u> | <u>[43](#if16c569a67bf487b92a19738856db6a1_157)</u> |
| Item 2. | <u>[Unregistered Sales of Equity Securities and Use of Proceeds](#if16c569a67bf487b92a19738856db6a1_160)</u> | <u>[43](#if16c569a67bf487b92a19738856db6a1_160)</u> |
| Item 3. | <u>[Defaults Upon Senior Securities](#if16c569a67bf487b92a19738856db6a1_163)</u> | <u>[43](#if16c569a67bf487b92a19738856db6a1_163)</u> |
| Item 4. | <u>[Mine Safety Disclosures](#if16c569a67bf487b92a19738856db6a1_166)</u> | <u>[43](#if16c569a67bf487b92a19738856db6a1_166)</u> |
| Item 5. | <u>[Other Information](#if16c569a67bf487b92a19738856db6a1_169)</u> | <u>[43](#if16c569a67bf487b92a19738856db6a1_169)</u> |
| Item 6. | <u>[Exhibits](#if16c569a67bf487b92a19738856db6a1_172)</u> | <u>[44](#if16c569a67bf487b92a19738856db6a1_172)</u> |
| <u>[Signatures](#if16c569a67bf487b92a19738856db6a1_175)</u> | <u>[Signatures](#if16c569a67bf487b92a19738856db6a1_175)</u> | <u>[45](#if16c569a67bf487b92a19738856db6a1_175)</u> |

---

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_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) | **March 31,<br>2026** | **December 31,<br>2025** |
| Assets: |  |  |
| Cash and due from banks | $21 | $16 |
| Interest-bearing deposits | 3474 | 3092 |
| Securities purchased under agreements to resell | 3000 | 4650 |
| Federal funds sold | 4440 | 5070 |
| Available-for-sale (AFS) securities, net of allowance for credit losses of $32 and $32, respectively (amortized cost of $20,048 and $20,144, respectively) | 20166 | 20253 |
| Held-to-maturity (HTM) securities (fair values of $670 and $892, respectively) | 681 | 903 |
| Advances (includes $5,151 and $5,441 at fair value under the fair value option, respectively) | 37792 | 38227 |
| Mortgage loans held for portfolio, net of allowance for credit losses of $1 and $1, respectively | 629 | 639 |
| Accrued interest receivable | 200 | 193 |
| Derivative assets, net | 28 | 42 |
| Other assets | 245 | 244 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Assets | $70676 | $73329 |
| Liabilities: |  |  |
| Deposits | $1929 | $873 |
| Consolidated obligations: |  |  |
| &nbsp;&nbsp;&nbsp;Bonds (includes $368 and $357 at fair value under the fair value option, respectively) | 39539 | 47254 |
| &nbsp;&nbsp;&nbsp;Discount notes | 21206 | 17074 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total consolidated obligations | 60745 | 64328 |
| Mandatorily redeemable capital stock | 88 | 106 |
| Accrued interest payable | 224 | 292 |
| Affordable Housing Program (AHP) payable | 154 | 132 |
| Derivative liabilities, net | 21 | 3 |
| Other liabilities | 223 | 235 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Liabilities | 63384 | 65969 |
| Commitments and Contingencies (Note 12) |  |  |
| Capital: |  |  |
| &nbsp;&nbsp;&nbsp;Class B Putable ($100 par value): 26 shares issued and outstanding at December 31, 2025 |  | 2552 |
| &nbsp;&nbsp;&nbsp;Class B-1 Putable ($100 par value): 16 shares issued and outstanding at March 31, 2026 | 1589 |  |
| &nbsp;&nbsp;&nbsp;Class B-2 Putable ($100 par value): 9 shares issued and outstanding at March 31, 2026 | 949 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Capital Stock | 2538 | 2552 |
| Unrestricted retained earnings | 3783 | 3847 |
| Restricted retained earnings | 815 | 815 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Retained Earnings | 4598 | 4662 |
| Accumulated other comprehensive income/(loss) (AOCI) | 156 | 146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Capital | 7292 | 7360 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Liabilities and Capital | $70676 | $73329 |

---

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

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_4)</u>

**Federal Home Loan Bank of San Francisco**

**Statements of Income**

(Unaudited)

---

| | | |
|:---|:---|:---|
| | **Three Months Ended March 31,** | **Three Months Ended March 31,** |
|<br>(In millions) | **2026** | **2025** |
| **Interest Income:** |  |  |
| Advances | $379 | $473 |
| Interest-bearing deposits | 32 | 44 |
| Securities purchased under agreements to resell | 36 | 16 |
| Federal funds sold | 56 | 59 |
| AFS securities | 235 | 268 |
| HTM securities | 8 | 18 |
| Mortgage loans held for portfolio | 5 | 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Interest Income | 751 | 883 |
| **Interest Expense:** |  |  |
| Consolidated obligations: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Bonds | 389 | 594 |
| &nbsp;&nbsp;&nbsp;&nbsp;Discount notes | 204 | 126 |
| Deposits | 12 | 16 |
| Mandatorily redeemable capital stock | 6 | 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Interest Expense | 611 | 741 |
| **Net Interest Income** | 140 | 142 |
| Provision for/(reversal of) credit losses |  | 1 |
| **Net Interest Income After Provision for/(Reversal of) Credit Losses** | 140 | 141 |
| **Other Income/(Loss):** |  |  |
| Net gain/(loss) on advances and consolidated obligation bonds held under fair value option | (26) | 29 |
| Net gain/(loss) on derivatives | 17 | (15) |
| Standby letters of credit fees | 5 | 5 |
| Other, net | 1 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Other Income/(Loss) | (3) | 20 |
| **Non-Interest Expense:** |  |  |
| Compensation and benefits | 25 | 29 |
| Other operating expense | 11 | 15 |
| Federal Housing Finance Agency | 1 | 2 |
| Office of Finance | 1 | 1 |
| Voluntary housing and community investment contributions  | 27 | 10 |
| Other, net |  | (1) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Non-Interest Expense | 65 | 56 |
| **Income/(Loss) Before Assessment** | 72 | 105 |
| AHP assessment | 8 | 11 |
| **Net Income/(Loss)** | $64 | $94 |

---

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

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_4)</u>

**Federal Home Loan Bank of San Francisco** 

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

(Unaudited)

---

| | | |
|:---|:---|:---|
| | **Three Months Ended March 31,** | **Three Months Ended March 31,** |
|<br>(In millions) | **2026** | **2025** |
| **Net Income/(Loss)** | $64 | $94 |
| Other Comprehensive Income/(Loss): |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net unrealized gain/(loss) on AFS securities | 10 | 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total other comprehensive income/(loss) | 10 | 19 |
| **Total Comprehensive Income/(Loss)** | $74 | $113 |

---

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

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_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** | **Capital Stock<br>Class B-1 — Putable<br>(Membership)** | **Capital Stock<br>Class B-1 — Putable<br>(Membership)** | **Capital Stock<br>Class B-2 — Putable<br>(Activity)** | **Capital Stock<br>Class B-2 — Putable<br>(Activity)** | **Retained Earnings** | **Retained Earnings** | **Retained Earnings** | | **Total<br>Capital** |
|<br>(In millions) | **Shares** | **Par Value** | **Shares** | **Par Value** | **Shares** | **Par Value** | **Restricted** | **Unrestricted** | **Total** |<br>**AOCI** | **Total<br>Capital** |
| Balance, December 31, 2024 | 25 | $2458 |  | $— |  | $— | $815 | $3668 | $4483 | $63 | $7004 |
| Comprehensive income/(loss) |  |  |  |  |  |  |  | 94 | 94 | 19 | 113 |
| Issuance of capital stock | 3 | 375 |  |  |  |  |  |  |  |  | 375 |
| Repurchase of capital stock | (4) | (390) |  |  |  |  |  |  |  |  | (390) |
| Cash dividends paid on capital stock |  |  |  |  |  |  |  | (55) | (55) |  | (55) |
| Balance, March 31, 2025 | 24 | $2443 |  | $— |  | $— | $815 | $3707 | $4522 | $82 | $7047 |
| Balance, December 31, 2025 | 26 | $2552 |  | $— |  | $— | $815 | $3847 | $4662 | $146 | $7360 |
| Comprehensive income/(loss) |  |  |  |  |  |  |  | 64 | 64 | 10 | 74 |
| Conversion of Class B Stock | (26) | (2552) | 18 | 1752 | 8 | 800 |  |  |  |  |  |
| Issuance of capital stock |  |  |  |  | 8 | 864 |  |  |  |  | 864 |
| Repurchase of capital stock |  |  | (1) | (86) | (8) | (792) |  |  |  |  | (878) |
| Transfers of shares between Class B-1 and Class B-2 |  |  | (1) | (77) | 1 | 77 |  |  |  |  |  |
| Cash dividends paid on capital stock |  |  |  |  |  |  |  | (128) | (128) |  | (128) |
| Balance, March 31, 2026 |  | $— | 16 | $1589 | 9 | $949 | $815 | $3783 | $4598 | $156 | $7292 |

---

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

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_4)</u>

**Federal Home Loan Bank of San Francisco** 

**Statements of Cash Flows**

(Unaudited)

---

| | | |
|:---|:---|:---|
| | **Three Months Ended March 31,** | **Three Months Ended March 31,** |
|<br>(In millions) | **2026** | **2025** |
| **Cash Flows from Operating Activities:** |  |  |
| Net Income/(Loss) | $64 | $94 |
| Adjustments to reconcile net income/(loss) to net cash provided by/(used in) operating activities: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Depreciation and amortization/(accretion) | 64 | 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;Provision for/(reversal of) credit losses |  | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;Change in net fair value adjustment on advances and consolidated obligation bonds held under the fair value option | 26 | (29) |
| &nbsp;&nbsp;&nbsp;&nbsp;Change in net derivatives and hedging activities | 121 | (327) |
| &nbsp;&nbsp;&nbsp;&nbsp;Net change in: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Accrued interest receivable | (5) | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Other assets | (5) | 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Accrued interest payable | (66) | (58) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Other liabilities | 11 | (20) |
| &nbsp;&nbsp;&nbsp;&nbsp;Total adjustments | 146 | (426) |
| &nbsp;&nbsp;&nbsp;&nbsp;Net cash provided by/(used in) operating activities | 210 | (332) |
| **Cash Flows from Investing Activities:** |  |  |
| Net change in: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Interest-bearing deposits | (373) | 535 |
| &nbsp;&nbsp;&nbsp;&nbsp;Securities purchased under agreements to resell | 1650 | (1400) |
| &nbsp;&nbsp;&nbsp;&nbsp;Federal funds sold | 630 | (3040) |
| AFS securities: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Proceeds from sales | 100 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Proceeds from maturities and paydowns | 686 | 948 |
| &nbsp;&nbsp;&nbsp;&nbsp;Purchases | (780) | (707) |
| HTM securities: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Proceeds from maturities and paydowns | 222 | 34 |
| Advances: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Repaid | 228013 | 108427 |
| &nbsp;&nbsp;&nbsp;&nbsp;Originated | (227651) | (100563) |
| Mortgage loans held for portfolio: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Principal collected | 10 | 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;Net cash provided by/(used in) investing activities | 2507 | 4247 |

---

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_4)</u>

**Federal Home Loan Bank of San Francisco** 

**Statements of Cash Flows (continued)**

(Unaudited)

---

| | | |
|:---|:---|:---|
| | **Three Months Ended March 31,** | **Three Months Ended March 31,** |
|<br>(In millions) | **2026** | **2025** |
| **Cash Flows from Financing Activities:** |  |  |
| Net change in deposits and other financing activities | 1049 | 227 |
| Net proceeds/(payments) on derivative contracts with financing elements | 2 | 3 |
| Net proceeds from issuance of consolidated obligations: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Bonds | 8924 | 15309 |
| &nbsp;&nbsp;&nbsp;&nbsp;Discount notes | 29994 | 14312 |
| Payments for matured and retired consolidated obligations: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Bonds | (16630) | (17508) |
| &nbsp;&nbsp;&nbsp;&nbsp;Discount notes | (25891) | (16004) |
| Proceeds from issuance of capital stock | 864 | 375 |
| Payments for repurchase/redemption of mandatorily redeemable capital stock | (18) | (178) |
| Payments for repurchase of capital stock | (878) | (390) |
| Cash dividends paid | (128) | (55) |
| &nbsp;&nbsp;&nbsp;&nbsp;Net cash provided by/(used in) financing activities | (2712) | (3909) |
| &nbsp;&nbsp;&nbsp;&nbsp;Net increase/(decrease) in cash and due from banks | 5 | 6 |
| Cash and due from banks at beginning of the period | 16 | 2 |
| Cash and due from banks at end of the period | $21 | $8 |
| **Supplemental Disclosures:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Interest paid | $631 | $829 |

---

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

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_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, 2026. 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, 2025 (2025 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.

There have been no significant changes to the Bank's accounting policies since the Bank's 2025 Form 10-K.

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

There have been no new accounting standards adopted or issued during the three months ended March 31, 2026, that had, or are expected to have, a material impact on the Bank's financial statements.

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_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 trading, AFS, or HTM.

***Debt Securities***

**Available-for-Sale Securities.** The amortized cost and fair value of AFS securities by major security type were as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **March 31, 2026**<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 | $6502 | $— | $7 | $(1) | $6508 |
| State housing agency obligations | 54 |  |  | (1) | 53 |
| MBS: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Government-Sponsored Enterprises (GSEs) – multifamily | 12617 |  | 139 | (1) | 12755 |
| &nbsp;&nbsp;&nbsp;&nbsp;Private-label residential mortgage-backed securities (PLRMBS) | 875 | (32) | 27 | (20) | 850 |
| Total mortgage-backed securities (MBS) | 13492 | (32) | 166 | (21) | 13605 |
| Total | $20048 | $(32) | $173 | $(23) | $20166 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **December 31, 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 | $6384 | $— | $9 | $— | $6393 |
| State housing agency obligations | 42 |  |  |  | 42 |
| MBS: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;GSEs – multifamily | 12819 |  | 118 |  | 12937 |
| &nbsp;&nbsp;&nbsp;&nbsp;PLRMBS | 899 | (32) | 31 | (17) | 881 |
| Total MBS | 13718 | (32) | 149 | (17) | 13818 |
| Total | $20144 | $(32) | $158 | $(17) | $20253 |

---

Amortized cost excludes accrued interest receivable of $106 million and $105 million at March 31, 2026, and December 31, 2025, respectively. At March 31, 2026, and December 31, 2025, $571 million and $501 million of AFS securities, respectively, were pledged as collateral that may be repledged.

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_4)</u>

**Federal Home Loan Bank of San Francisco**

**Notes to Financial Statements (continued)** 

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** |
| **March 31, 2026**<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 | $1090 | $(1) | $124 | $— | $1214 | $(1) |
| State housing agency obligations | 36 | (1) |  |  | 36 | (1) |
| MBS – GSEs – multifamily | 158 | (1) |  |  | 158 | (1) |
| PLRMBS | 240 | (3) | 192 | (17) | 432 | (20) |
| Total | $1524 | $(6) | $316 | $(17) | $1840 | $(23) |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Less Than 12 Months** | **Less Than 12 Months** | **12 Months or More** | **12 Months or More** | **Total** | **Total** |
| **December 31, 2025**<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** |
| U.S. Treasury obligations | $348 | $— | $124 | $— | $472 | $— |
| State housing agency obligations | 14 |  |  |  | 14 |  |
| MBS – GSEs – multifamily | 28 |  | 150 |  | 178 |  |
| PLRMBS | 174 | (1) | 230 | (16) | 404 | (17) |
| Total | $564 | $(1) | $504 | $(16) | $1068 | $(17) |

---

*Redemption Terms* – The amortized cost and estimated fair value of U.S. Treasury obligations and state housing agency obligations by contractual maturity, and MBS are shown below. Expected maturities of MBS 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.

---

| | | |
|:---|:---|:---|
| **March 31, 2026** | | |
| (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 | $1931 | $1932 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due after 1 year through 5 years | 4571 | 4576 |
| Total U.S. Treasury obligations | 6502 | 6508 |
| State housing agency obligations: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due after 1 year through 5 years | 2 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due after 5 years through 10 years | 52 | 52 |
| Total state housing agency obligations | 54 | 53 |
| MBS | 13492 | 13605 |
| Total | $20048 | $20166 |

---

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_4)</u>

**Federal Home Loan Bank of San Francisco**

**Notes to Financial Statements (continued)** 

---

| | | |
|:---|:---|:---|
| **December 31, 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 | $1776 | $1777 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due after 1 year through 5 years | 4608 | 4616 |
| Total U.S. Treasury obligations | 6384 | 6393 |
| State housing agency obligations: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due after 1 year through 5 years | 2 | 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due after 5 years through 10 years | 40 | 40 |
| Total state housing agency obligations | 42 | 42 |
| MBS | 13718 | 13818 |
| Total | $20144 | $20253 |

---

**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:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **March 31, 2026**<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 | $16 | $— | $— | $16 |
| MBS – GSEs: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Single-family | 382 | 1 | (8) | 375 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Multifamily | 206 |  |  | 206 |
| Subtotal MBS – GSEs | 588 | 1 | (8) | 581 |
| PLRMBS | 77 |  | (4) | 73 |
| Total | $681 | $1 | $(12) | $670 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **December 31, 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 | $18 | $— | $— | $18 |
| MBS – GSEs: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Single-family | 401 | 2 | (8) | 395 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Multifamily | 404 |  | (1) | 403 |
| Subtotal MBS – GSEs | 805 | 2 | (9) | 798 |
| PLRMBS | 80 |  | (4) | 76 |
| Total | $903 | $2 | $(13) | $892 |

---

(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 $2 million and $3 million at March 31, 2026, and December 31, 2025, respectively.

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_4)</u>

**Federal Home Loan Bank of San Francisco**

**Notes to Financial Statements (continued)** 

*Private-Label Residential Mortgage-Backed Securities* – There have been no significant changes in the composition, credit quality, or valuation methodology of the Bank's PLRMBS portfolio since December 31, 2025.

As a result of credit impairments recognized prior to the adoption of the current expected credit loss methodology, certain PLRMBS continue to accrete previously recognized credit losses into interest income. The remaining balance of these credit losses totaled $275 million and $278 million at March 31, 2026, and December 31, 2025, respectively. Accretion related to these amounts increased interest income by $3 million for the three months ended March 31, 2026 and 2025.

*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, 2025. As a result, no allowance for credit losses was recorded on these AFS or HTM securities at March 31, 2026, and December 31, 2025.

**Note 4 — Advances** 

**Redemption Terms.** The following table presents advances outstanding by redemption term and weighted-average interest rate.

---

| | | | | |
|:---|:---|:---|:---|:---|
| (Dollars in millions) | **March 31, 2026** | **March 31, 2026** | **December 31, 2025** | **December 31, 2025** |
| **Redemption Term** | **Amount**<br>**Outstanding** | **Weighted<br>Average<br>Interest Rate** | **Amount**<br>**Outstanding** | **Weighted<br>Average<br>Interest Rate** |
| Within 1 year | $22881 | 3.82% | $22763 | 3.85% |
| After 1 year through 2 years | 7176 | 4.05 | 6476 | 4.08 |
| After 2 years through 3 years | 3165 | 4.01 | 4218 | 4.03 |
| After 3 years through 4 years | 1071 | 3.48 | 996 | 3.83 |
| After 4 years through 5 years | 1414 | 3.88 | 1591 | 3.68 |
| After 5 years | 2080 | 3.80 | 2105 | 3.79 |
| Total par value | 37787 | 3.87% | 38149 | 3.90% |
| Valuation adjustments for hedging activities | (37) |  | 8 |  |
| Valuation adjustments under fair value option | 42 |  | 70 |  |
| Total | $37792 |  | $38227 |  |

---

Carrying amounts exclude accrued interest receivable of $76 million and $67 million at March 31, 2026, and December 31, 2025, respectively.

The following table summarizes advances at March 31, 2026, and December 31, 2025, 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) | **March 31, 2026** | **December 31, 2025** | **March 31, 2026** | **December 31, 2025** |
| Within 1 year | $23856 | $24038 | $27654 | $27533 |
| After 1 year through 2 years | 6476 | 5476 | 5782 | 5272 |
| After 2 years through 3 years | 3165 | 4218 | 2261 | 3188 |
| After 3 years through 4 years | 1071 | 996 | 677 | 577 |
| After 4 years through 5 years | 1414 | 1591 | 872 | 1033 |
| After 5 years | 1805 | 1830 | 541 | 546 |
| Total par value | $37787 | $38149 | $37787 | $38149 |

---

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_4)</u>

**Federal Home Loan Bank of San Francisco**

**Notes to Financial Statements (continued)** 

**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.

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **March 31, 2026** | **March 31, 2026** | **Three Months Ended<br>March 31, 2026** | **Three Months Ended<br>March 31, 2026** |
| <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** |
| Western Alliance Bank | $5200 | 14% | $31 | 8% |
| City National Bank | 3100 | 8 | 45 | 12 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **March 31, 2025** | **March 31, 2025** | **Three Months Ended<br>March 31, 2025** | **Three Months Ended<br>March 31, 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** |
| Western Alliance Bank | $3700 | 10% | $41 | 9% |
| JPMorgan Chase, National Association<sup>(2)</sup> | 3374 | 9 | 70 | 16 |

---

(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 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.** At March 31, 2026, and December 31, 2025, 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 March 31, 2026, and December 31, 2025, 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 months ended March 31, 2026 and 2025.

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 March 31, 2026, and December 31, 2025, 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 March 31, 2026, and December 31, 2025.

**Interest Rate Payment Terms.** Interest rate payment terms by redemption term for advances are detailed below:

---

| | | |
|:---|:---|:---|
| (In millions) | **March 31, 2026** | **December 31, 2025** |
| Par value of advances: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Fixed rate: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due within 1 year | $9628 | $10754 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due after 1 year | 14006 | 14386 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total fixed rate | 23634 | 25140 |
| &nbsp;&nbsp;&nbsp;&nbsp;Adjustable rate: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due within 1 year | 13253 | 12009 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due after 1 year | 900 | 1000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total adjustable rate | 14153 | 13009 |
| Total par value | $37787 | $38149 |

---

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_4)</u>

**Federal Home Loan Bank of San Francisco**

**Notes to Financial Statements (continued)** 

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

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

---

| | | |
|:---|:---|:---|
| (In millions) | **March 31, 2026** | **December 31, 2025** |
| Fixed rate medium-term mortgage loans<sup>(1)</sup> | $8 | $9 |
| Fixed rate long-term mortgage loans<sup>(1)</sup> | 590 | 599 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Subtotal | 598 | 608 |
| Premiums | 33 | 33 |
| Discounts | (1) | (1) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Mortgage loans held for portfolio | 630 | 640 |
| Less: Allowance for credit losses | (1) | (1) |
| Total mortgage loans held for portfolio, net | $629 | $639 |

---

(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.

Mortgage loans exclude accrued interest receivable of $4 million and $5 million at March 31, 2026, and December 31, 2025.

**Mortgage Loan Aging and Credit Quality Indicators.** The following table presents the payment status for mortgage loans and other delinquency statistics for the Bank's mortgage loans.

---

| | | |
|:---|:---|:---|
| (Dollars in millions) |  |  |
| **Payment Status, at Amortized Cost**<sup>(1)</sup> | **March 31, 2026** | **December 31, 2025** |
| 30 – 59 days delinquent | $10 | $8 |
| 60 – 89 days delinquent | 2 | 3 |
| 90 days or more delinquent | 17 | 15 |
| Total past due | 29 | 26 |
| Total current loans | 601 | 614 |
| Total mortgage loans held for portfolio | $630 | $640 |
| In process of foreclosure, included above<sup>(2)</sup> | $1 | $1 |
| Nonaccrual loans<sup>(3)</sup> | $17 | $15 |
| 90 days or more delinquent loans as a percentage of total mortgage loans outstanding | 2.71% | 2.42% |

---

(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 March 31, 2026, and December 31, 2025, $5 million 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.

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_4)</u>

**Federal Home Loan Bank of San Francisco**

**Notes to Financial Statements (continued)** 

**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.

Deposits outstanding were as follows:

---

| | | |
|:---|:---|:---|
| | **March 31, 2026** | **December 31, 2025** |
|<br>(In millions) | **Amount <br>Outstanding** | **Amount <br>Outstanding** |
| Demand and overnight interest-bearing deposits | $1924 | $870 |
| Non-interest-bearing deposits | 5 | 3 |
| Total | $1929 | $873 |

---

**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 by the financial resources of the FHLBanks. The par value of the outstanding consolidated obligations of the FHLBanks was $1.2 trillion at March 31, 2026, and December 31, 2025.

**Redemption Terms.** The following is a summary of the Bank's participation in consolidated obligation bonds.

---

| | | | | |
|:---|:---|:---|:---|:---|
| (Dollars in millions) | **March 31, 2026** | **March 31, 2026** | **December 31, 2025** | **December 31, 2025** |
| **Contractual Maturity** | **Amount<br>Outstanding** | **Weighted<br>Average<br>Interest Rate** | **Amount<br>Outstanding** | **Weighted<br>Average<br>Interest Rate** |
| Within 1 year | $26345 | 3.35% | $32836 | 3.43% |
| After 1 year through 2 years | 7747 | 3.58 | 8580 | 3.58 |
| After 2 years through 3 years | 1391 | 3.44 | 1648 | 3.45 |
| After 3 years through 4 years | 1828 | 4.28 | 2266 | 4.25 |
| After 4 years through 5 years | 1764 | 3.92 | 1201 | 4.24 |
| After 5 years | 572 | 3.03 | 822 | 2.88 |
| Total par value | 39647 | 3.46% | 47353 | 3.51% |
| Unamortized discounts | (1) |  | (1) |  |
| Valuation adjustments for hedging activities | (105) |  | (95) |  |
| Fair value option valuation adjustments | (2) |  | (3) |  |
| Total | $39539 |  | $47254 |  |

---

The Bank's participation in consolidated obligation bonds by call features was as follows:

---

| | | |
|:---|:---|:---|
| (In millions) | **March 31, 2026** | **December 31, 2025** |
| Par value of consolidated obligation bonds: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Non-callable | $27514 | $30482 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Callable | 12133 | 16871 |
| Total par value | $39647 | $47353 |

---

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_4)</u>

**Federal Home Loan Bank of San Francisco**

**Notes to Financial Statements (continued)** 

The following is a summary of the Bank's participation in consolidated obligation bonds outstanding, by the earlier of the year of contractual maturity or next call date.

---

| | | |
|:---|:---|:---|
| (In millions) |  |  |
| **Earlier of Contractual<br>Maturity or Next Call Date** | **March 31, 2026** | **December 31, 2025** |
| Within 1 year | $31994 | $40191 |
| After 1 year through 2 years | 7362 | 6774 |
| After 2 years through 3 years | 239 | 336 |
| After 3 years through 4 years | 25 | 25 |
| After 5 years | 27 | 27 |
| Total par value | $39647 | $47353 |

---

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> |
| March 31, 2026 | $21206 | $21328 | 3.57% |
| December 31, 2025 | 17074 | 17161 | 3.71% |

---

(1)Represents yield to maturity excluding concession fees.

**Interest Rate Payment Terms.** Interest rate payment terms for consolidated obligation bonds are detailed in the following table.

---

| | | |
|:---|:---|:---|
| (In millions) | **March 31, 2026** | **December 31, 2025** |
| Par value of consolidated obligation bonds: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Fixed rate | $15093 | $21722 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Adjustable rate | 24184 | 25271 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Step-up | 370 | 360 |
| Total consolidated obligation bonds, par value | $39647 | $47353 |

---

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_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):

---

| | | | |
|:---|:---|:---|:---|
| (In millions) | **Net Unrealized Gain/(Loss) on AFS Securities** | **Pension and Postretirement Benefits** | **Total <br>AOCI** |
| Balance, December 31, 2024 | $68 | $(5) | $63 |
| Other comprehensive income/(loss): |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net change in fair value | 19 |  | 19 |
| Net current period other comprehensive income/(loss) | 19 |  | 19 |
| Balance, March 31, 2025 | $87 | $(5) | $82 |
| Balance, December 31, 2025 | $140 | $6 | $146 |
| Other comprehensive income/(loss): |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net change in fair value | 10 |  | 10 |
| Net current period other comprehensive income/(loss) | 10 |  | 10 |
| Balance, March 31, 2026 | $150 | $6 | $156 |

---

**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.

The Bank complied with these capital rules and requirements as shown in the following table.

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **March 31, 2026** | **March 31, 2026** | **December 31, 2025** | **December 31, 2025** |
|<br>(Dollars in millions) | **Required** | **Actual** | **Required** | **Actual** |
| Risk-based capital | $969 | $7224 | $1004 | $7321 |
| Total regulatory capital | $2827 | $7224 | $2933 | $7321 |
| Total regulatory capital ratio | 4.00% | 10.22% | 4.00% | 9.98% |
| Leverage capital | $3534 | $10836 | $3666 | $10981 |
| Leverage ratio | 5.00% | 15.33% | 5.00% | 14.97% |

---

**Mandatorily Redeemable Capital Stock.** The changes in mandatorily redeemable capital stock were as follows:

---

| | | |
|:---|:---|:---|
| | **Three Months Ended** | **Three Months Ended** |
|<br>(In millions) | **March 31, 2026** | **March 31, 2025** |
| Balance at the beginning of the period | $106 | $331 |
| Repurchase/redemption | (18) | (178) |
| Balance at the end of the period | $88 | $153 |

---

**Excess Stock Repurchase, Retained Earnings, and Dividend Framework.** As disclosed in the Bank's 2025 Form 10-K, effective January 2, 2026, the Bank's outstanding Class B stock was converted into Class B-1 membership stock and Class B-2 activity-based stock. Class B-2 activity-based stock is equal to the Activity-Based Stock Requirement (as defined in the Capital Plan), and Class B-1 membership stock is 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 of directors (Board) also approved an update to the dividend philosophy

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_4)</u>

**Federal Home Loan Bank of San Francisco**

**Notes to Financial Statements (continued)** 

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.

Excess stock totaled $132 million, or 0.19% of total assets as of March 31, 2026. Excess stock totaled $154 million, or 0.21% of total assets as of December 31, 2025.

*Dividend Payments* – During the first quarter of 2026, the Bank paid a special cash dividend totaling $75 million on the average capital stock outstanding during the fourth quarter of 2025 at an annualized rate of 11.36%, including $72 million in dividends on capital stock and $3 million in dividends on mandatorily redeemable capital stock.

On April 23, 2026, the Bank's Board declared quarterly cash dividends on the average Class B-1 membership stock and Class B-2 activity-based stock outstanding during the post-conversion period of the first quarter of 2026 at annualized rates of 4.75% and 10.00%, respectively, and also declared dividends on the average outstanding Class B stock for the pre-conversion period of January 1, 2026, at an annualized rate of 8.75%, with total dividends for the quarter amounting to $45 million. The Bank expects to pay these dividends on May 8, 2026.

**Concentration.** No institution held 10% or more of the Bank's outstanding capital stock, including mandatorily redeemable capital stock, as of March 31, 2026, or December 31, 2025.

**Note 10 — Derivatives and Hedging Activities** 

**General*.*** The following table summarizes the notional amount and fair value of derivative instruments, including the effect of netting adjustments and cash collateral. For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** | **December 31, 2025** | **December 31, 2025** | **December 31, 2025** |
|<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 | $64743 | $454 | $126 | $69418 | $507 | $131 |
| Derivatives not designated as hedging instruments: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Interest rate swaps | 11395 | 8 | 34 | 12145 | 5 | 51 |
| Total derivatives before netting and collateral adjustments | $76138 | 462 | 160 | $81563 | 512 | 182 |
| Netting adjustments and cash collateral<sup>(1)</sup> |  | (434) | (139) |  | (470) | (179) |
| Total derivative assets and total derivative liabilities |  | $28 | $21 |  | $42 | $3 |

---

(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 $43 million and $53 million at March 31, 2026, and December 31, 2025, respectively. Cash collateral received, including accrued interest, was $338 million and $345 million at March 31, 2026, and December 31, 2025, respectively.

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_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.

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Three Months Ended March 31, 2026** | **Three Months Ended March 31, 2026** | **Three Months Ended March 31, 2026** | **Three Months Ended March 31, 2026** |
| | **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 | $379 | $235 | $(389) | $(204) |
| Gain/(loss) on fair value hedging relationships |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Derivatives<sup>(1)</sup> | $53 | $130 | $(37) | $(2) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Hedged items | (44) | (109) | 10 | 3 |
| Net gain/(loss) on derivatives and hedging activities recorded in net interest income | $9 | $21 | $(27) | $1 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Three Months Ended March 31, 2025** | **Three Months Ended March 31, 2025** | **Three Months Ended March 31, 2025** | **Three Months Ended March 31, 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 | $473 | $268 | $(594) | $(126) |
| Gain/(loss) on fair value hedging relationships |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Derivatives<sup>(1)</sup> | $(64) | $(218) | $44 | $(2) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Hedged items | 102 | 275 | (100) | 4 |
| Net gain/(loss) on derivatives and hedging activities recorded in net interest income | $38 | $57 | $(56) | $2 |

---

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

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.

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** |
|<br>(In millions) | **Advances** | **AFS Securities** | **Consolidated Obligation Bonds** | **Consolidated Obligation Discount Notes** |
| Amortized cost of hedged asset/(liability) | $13478 | $19109 | $(13955) | $(18566) |
| Fair value hedging basis adjustments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Active hedging relationships included in amortized cost | $(34) | $(629) | $105 | $1 |
| &nbsp;&nbsp;&nbsp;Discontinued hedging relationships included in amortized cost | (3) | 349 |  |  |
| Total amount of fair value hedging basis adjustments | $(37) | $(280) | $105 | $1 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **December 31, 2025** | **December 31, 2025** | **December 31, 2025** | **December 31, 2025** |
|<br>(In millions) | **Advances** | **AFS Securities** | **Consolidated Obligation Bonds** | **Consolidated Obligation Discount Notes** |
| Amortized cost of hedged asset/(liability) | $15644 | $19194 | $(20438) | $(14683) |
| Fair value hedging basis adjustments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Active hedging relationships included in amortized cost | $8 | $(563) | $95 | $(3) |
| &nbsp;&nbsp;&nbsp;Discontinued hedging relationships included in amortized cost |  | 387 |  |  |
| Total amount of fair value hedging basis adjustments | $8 | $(176) | $95 | $(3) |

---

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_4)</u>

**Federal Home Loan Bank of San Francisco**

**Notes to Financial Statements (continued)** 

The following table presents the components of net gain/(loss) on derivatives as presented in the Statements of Income.

---

| | | |
|:---|:---|:---|
| | **Three Months Ended** | **Three Months Ended** |
| (In millions) | **March 31, 2026** | **March 31, 2025** |
| **Derivatives not designated as hedging instruments** | **Gain/(Loss)** | **Gain/(Loss)** |
| Economic hedges: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Interest rate swaps | $13 | $(24) |
| &nbsp;&nbsp;&nbsp;&nbsp;Net interest settlements | 4 | 10 |
| Total net gain/(loss) related to derivatives not designated as hedging instruments | 17 | (14) |
| Price alignment amount<sup>(1)</sup> |  | (1) |
| Net gain/(loss) on derivatives | $17 | $(15) |

---

(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 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 March 31, 2026, was $45 million, for which the Bank posted cash collateral of $43 million in the ordinary course of business.

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.

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **March 31, 2026** | **March 31, 2026** | **December 31, 2025** | **December 31, 2025** |
|<br>(In millions) | **Derivative Assets** | **Derivative Liabilities** | **Derivative Assets** | **Derivative Liabilities** |
| **Derivative instruments meeting netting requirements** |  |  |  |  |
| Gross recognized amount |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Uncleared | $460 | $143 | $497 | $179 |
| &nbsp;&nbsp;&nbsp;Cleared | 2 | 17 | 15 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total gross recognized amount | 462 | 160 | 512 | 182 |
| Gross amount of netting adjustments and cash collateral |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Uncleared | (432) | (137) | (467) | (176) |
| &nbsp;&nbsp;&nbsp;Cleared | (2) | (2) | (3) | (3) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total gross amounts of netting adjustments and cash collateral | (434) | (139) | (470) | (179) |
| Total derivative assets and total derivative liabilities | $28 | $21 | $42 | $3 |
| **Non-cash collateral received or pledged that can be sold or repledged** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Cleared | $— | $15 | $— | $— |
| Total net amount of non-cash collateral received or pledged | $— | $15 | $— | $— |
| **Net amount**<sup>(1)(2)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Uncleared | $28 | $6 | $30 | $3 |
| &nbsp;&nbsp;&nbsp;Cleared |  |  | 12 |  |
| Total net amount | $28 | $6 | $42 | $3 |

---

(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 March 31, 2026, and December 31, 2025, the Bank received excess non-cash collateral with a fair value of $3 million and $2 million, respectively.

(2) &nbsp;&nbsp;&nbsp;&nbsp;Any over-collateralization at the Bank's individual clearing agent or counterparty level is not included in the determination of the net amount. At March 31, 2026, and December 31, 2025, the Bank had additional net credit exposure of $556 million and $501 million, respectively, due to instances where non-cash collateral to a counterparty exceeded the Bank's net derivative position.

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_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 2025 Form 10-K.

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.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** |
|<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 | $21 | $21 | $21 | $— | $— | $— |
| Interest-bearing deposits | 3474 | 3474 | 3474 |  |  |  |
| Securities purchased under agreements to resell | 3000 | 3000 |  | 3000 |  |  |
| Federal funds sold | 4440 | 4440 |  | 4440 |  |  |
| AFS securities | 20166 | 20166 |  | 19316 | 850 |  |
| HTM securities | 681 | 670 |  | 597 | 73 |  |
| Advances | 37792 | 37817 |  | 37817 |  |  |
| Mortgage loans held for portfolio | 629 | 537 |  | 537 |  |  |
| Accrued interest receivable | 200 | 200 |  | 200 |  |  |
| Derivative assets, net<sup>(2)</sup> | 28 | 28 |  | 462 |  | (434) |
| Other assets<sup>(3)</sup> | 19 | 19 | 19 |  |  |  |
| **Liabilities** |  |  |  |  |  |  |
| Deposits | 1929 | 1929 |  | 1929 |  |  |
| Consolidated obligations: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Bonds | 39539 | 39441 |  | 39441 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Discount notes | 21206 | 21202 |  | 21202 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total consolidated obligations | 60745 | 60643 |  | 60643 |  |  |
| Mandatorily redeemable capital stock | 88 | 88 | 88 |  |  |  |
| Accrued interest payable | 224 | 224 |  | 224 |  |  |
| Derivative liabilities, net<sup>(2)</sup> | 21 | 21 |  | 160 |  | (139) |

---

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_4)</u>

**Federal Home Loan Bank of San Francisco**

**Notes to Financial Statements (continued)** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **December 31, 2025** | **December 31, 2025** | **December 31, 2025** | **December 31, 2025** | **December 31, 2025** | **December 31, 2025** |
| | **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 | $16 | $16 | $16 | $— | $— | $— |
| Interest-bearing deposits | 3092 | 3092 | 3092 |  |  |  |
| Securities purchased under agreements to resell | 4650 | 4650 |  | 4650 |  |  |
| Federal funds sold | 5070 | 5070 |  | 5070 |  |  |
| AFS securities | 20253 | 20253 |  | 19372 | 881 |  |
| HTM securities | 903 | 892 |  | 816 | 76 |  |
| Advances | 38227 | 38271 |  | 38271 |  |  |
| Mortgage loans held for portfolio | 639 | 552 |  | 552 |  |  |
| Accrued interest receivable | 193 | 193 |  | 193 |  |  |
| Derivative assets, net<sup>(2)</sup> | 42 | 42 |  | 512 |  | (470) |
| Other assets<sup>(3)</sup> | 20 | 20 | 20 |  |  |  |
| **Liabilities** |  |  |  |  |  |  |
| Deposits | 873 | 873 |  | 873 |  |  |
| Consolidated obligations: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Bonds | 47254 | 47162 |  | 47162 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Discount notes | 17074 | 17073 |  | 17073 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total consolidated obligations | 64328 | 64235 |  | 64235 |  |  |
| Mandatorily redeemable capital stock | 106 | 106 | 106 |  |  |  |
| Accrued interest payable | 292 | 292 |  | 292 |  |  |
| Derivative liabilities, net<sup>(2)</sup> | 3 | 3 |  | 182 |  | (179) |

---

(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**](#if16c569a67bf487b92a19738856db6a1_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, 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> | |
| **March 31, 2026**<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 | $— | $6508 | $— | $— | $6508 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;State housing agency obligations |  | 53 |  |  | 53 |
| &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 |  | 12755 |  |  | 12755 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;PLRMBS |  |  | 850 |  | 850 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Subtotal AFS MBS |  | 12755 | 850 |  | 13605 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total AFS securities |  | 19316 | 850 |  | 20166 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Advances<sup>(2)</sup> |  | 5151 |  |  | 5151 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Derivative assets, net: interest rate-related |  | 462 |  | (434) | 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Other assets | 19 |  |  |  | 19 |
| Total recurring fair value measurements – Assets | $19 | $24929 | $850 | $(434) | $25364 |
| Recurring fair value measurements – Liabilities: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Consolidated obligation bonds<sup>(3)</sup> | $— | $368 | $— | $— | $368 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Derivative liabilities, net: interest rate-related |  | 160 |  | (139) | 21 |
| Total recurring fair value measurements – Liabilities | $— | $528 | $— | $(139) | $389 |

---

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_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, 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 | $— | $6393 | $— | $— | $6393 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;State housing agency obligations |  | 42 |  |  | 42 |
| &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 |  | 12937 |  |  | 12937 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;PLRMBS |  |  | 881 |  | 881 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Subtotal AFS MBS |  | 12937 | 881 |  | 13818 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total AFS securities |  | 19372 | 881 |  | 20253 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Advances<sup>(2)</sup> |  | 5441 |  |  | 5441 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Derivative assets, net: interest rate-related |  | 512 |  | (470) | 42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Other assets | 20 |  |  |  | 20 |
| Total recurring fair value measurements – Assets | $20 | $25325 | $881 | $(470) | $25756 |
| Recurring fair value measurements – Liabilities: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Consolidated obligation bonds<sup>(3)</sup> | $— | $357 | $— | $— | $357 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Derivative liabilities, net: interest rate-related |  | 182 |  | (179) | 3 |
| Total recurring fair value measurements – Liabilities | $— | $539 | $— | $(179) | $360 |
| Nonrecurring fair value measurements – Assets:<sup>(4)</sup> |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Impaired mortgage loans held for portfolio | $— | $— | $2 | $— | $2 |
| Total nonrecurring fair value measurements – Assets | $— | $— | $2 | $— | $2 |

---

(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 March 31, 2026, and December 31, 2025.

(3)Represents consolidated obligation bonds recorded under the fair value option at March 31, 2026, and December 31, 2025.

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

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).

---

| | | |
|:---|:---|:---|
| | **Three Months Ended** | **Three Months Ended** |
|<br>(In millions) | **March 31, 2026** | **March 31, 2025** |
| Balance, beginning of the period | $881 | $957 |
| Total gain/(loss) realized and unrealized included in: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Interest income | 3 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Provision for)/reversal of credit losses |  | (1) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Unrealized gain/(loss) included in AOCI | (7) | 2 |
| Settlements | (27) | (19) |
| Balance, end of the period | $850 | $942 |
| Total amount of unrealized gain/(loss) for the period included in AOCI relating to assets held at the end of the period | $(7) | $2 |
| Total amount of gain/(loss) for the period included in earnings relating to assets held at the end of the period | $3 | $2 |

---

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_4)</u>

**Federal Home Loan Bank of San Francisco**

**Notes to Financial Statements (continued)** 

**Fair Value Option.** The following table presents the net gain/(loss) recognized in earnings on advances and consolidated obligation bonds held under the fair value option:

---

| | | |
|:---|:---|:---|
| | **Three Months Ended** | **Three Months Ended** |
|<br>(In millions) | **March 31, 2026** | **March 31, 2025** |
| Advances | $(25) | $33 |
| Consolidated obligation bonds | (1) | (4) |
| Total | $(26) | $29 |

---

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 months ended March 31, 2026 and 2025.

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:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** | **December 31, 2025** | **December 31, 2025** | **December 31, 2025** |
|<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 | $5109 | $5151 | $42 | $5371 | $5441 | $70 |
| Consolidated obligation bonds | 370 | 368 | (2) | 360 | 357 | (3) |

---

**Note 12 — Commitments and Contingencies**

Off-balance sheet commitments were as follows:

---

| | | |
|:---|:---|:---|
| (In millions) | **March 31, 2026** | **December 31, 2025** |
| Standby letters of credit outstanding | $19582 | $20275 |
| Commitments to issue consolidated obligation discount notes, par |  | 168 |
| Commitments to issue consolidated obligation bonds, par | 70 |  |

---

The carrying value of guarantees related to standby letters of credit, representing unearned fees and recorded in other liabilities, was $70 million and $63 million at March 31, 2026, and December 31, 2025, 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 March 31, 2026, and December 31, 2025.

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_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) | **March 31, 2026** | **December 31, 2025** |
| **Assets:** |  |  |
| Advances | $862 | $3271 |
| Mortgage loans held for portfolio | 64 | 65 |
| Accrued interest receivable | 1 | 4 |
| **Liabilities:** |  |  |
| Deposits | $20 | $23 |
| **Capital:** |  |  |
| Capital Stock | $72 | $149 |

---

---

| | | |
|:---|:---|:---|
| | **Three Months Ended** | **Three Months Ended** |
|<br>(In millions) | **March 31, 2026** | **March 31, 2025** |
| **Interest Income:** |  |  |
| Advances | $17 | $37 |
| Mortgage loans held for portfolio | 1 | 1 |

---

All transactions with members, nonmembers, and their affiliates are entered into in the ordinary course of business. As of March 31, 2026, and December 31, 2025, 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 three months ended March 31, 2026 and 2025, the Bank extended overnight loans to other FHLBanks for $10 million and $500 million, respectively. During the three months ended March 31, 2026 and 2025, the Bank borrowed $850 million and $500 million, respectively, from other FHLBanks.

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_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 (such as wildfires), pandemics or other widespread public health emergencies, terrorist attacks, civil unrest, geopolitical instability or conflicts, trade disruptions, economic or other sanctions, or other unanticipated or catastrophic events;*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*• executive, legislative, regulatory or judicial actions or events, including changes in the FHLBank Act or Federal Housing Finance Agency (Finance Agency) regulations and regulatory oversight or changes in other statutes or regulations that affect the Bank, its members, counterparties, or investors in the consolidated obligations of the Federal Home Loan Banks (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;*• 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;*

&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.*

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_4)</u>

*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, 2025 (2025 Form 10-K).*

**Quarterly Overview**

Net income for the first quarter of 2026 was $64 million, a decrease of $30 million compared with the first quarter of 2025. The decrease was primarily attributable to a decrease in other income of $23 million and an increase in total non-interest expense of $9 million.

The $23 million decrease in other income was primarily attributable to fair value changes on financial instruments and derivatives, as well as net interest settlements on economic hedges. The $9 million increase in non-interest expense was primarily driven by an increase of $17 million in voluntary housing and community investment contributions, partially offset by a reduction of $8 million in operating expenses.

On April 23, 2026, the Bank's board of directors (Board) declared quarterly cash dividends on the average Class B-1 membership stock and Class B-2 activity-based stock outstanding during the post-conversion period of the first quarter of 2026 at annualized rates of 4.75% and 10.00%, respectively, and also declared dividends on the average outstanding Class B stock for the pre-conversion period of January 1, 2026, at an annualized rate of 8.75%, with total dividends for the quarter amounting to $45 million. The Bank expects to pay these dividends on May 8, 2026.

During the first quarter of 2026, the Board approved plans to voluntarily allocate 5% of the Bank's 2025 net earnings (income before interest expense related to dividends paid on mandatorily redeemable capital stock and the assessment for the Affordable Housing Program) to fund economic development and homeownership grant programs. The Board also approved an additional voluntary mission contribution of $22.5 million recognized in the first quarter of 2026, increasing the Bank's 2026 voluntary contributions commitment to approximately 10% of 2025 net earnings. Total voluntary housing and community investment contributions recognized through March 31, 2026 were $27 million, including $4 million of make-whole contributions. Excluding make-whole contributions, the Bank expensed $23 million in voluntary housing and community investment contributions through March 31, 2026, which is 5% of the Bank's 2025 net earnings.

The Bank exceeded its 4.00% regulatory capital requirement with a regulatory capital ratio of 10.22% at March 31, 2026. As of March 31, 2026, the Bank's retained earnings totaled $4.6 billion, exceeding the $2.3 billion required level of retained earnings established under the Bank's Framework in accordance with FHFA guidance.

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 2025 Form 10-K.

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_4)</u>

**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) | **March 31,<br>2026** | **December 31,<br>2025** | **September 30,<br>2025** | **June 30,<br>2025** | **March 31,<br>2025** |
| **Selected Balance Sheet Items at Quarter End** |  |  |  |  |  |
| Total Assets | $70676 | $73329 | $75769 | $83146 | $77993 |
| Advances | 37792 | 38227 | 34242 | 39909 | 37913 |
| Investments<sup>(1)</sup> | 31761 | 33968 | 40416 | 42115 | 38982 |
| Consolidated Obligations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Bonds | 39539 | 47254 | 48747 | 54061 | 56079 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Discount Notes | 21206 | 17074 | 17648 | 19174 | 12668 |
| Mandatorily Redeemable Capital Stock | 88 | 106 | 112 | 131 | 153 |
| Total Capital Stock | 2538 | 2552 | 2439 | 2575 | 2443 |
| Unrestricted Retained Earnings | 3783 | 3847 | 3798 | 3749 | 3707 |
| Restricted Retained Earnings | 815 | 815 | 815 | 815 | 815 |
| Total Capital | 7292 | 7360 | 7139 | 7186 | 7047 |
| **Selected Operating Results for the Quarter** |  |  |  |  |  |
| Net Interest Income | $140 | $157 | $147 | $142 | $142 |
| Provision for/(Reversal of) Credit Losses |  | 1 | (2) | 3 | 1 |
| Other Income/(Loss) | (3) | 12 | 19 | 17 | 20 |
| Voluntary housing and community investment contributions | 27 | 6 | 6 | 10 | 10 |
| Other Non-Interest Expense | 38 | 45 | 40 | 41 | 46 |
| Affordable Housing Program (AHP) Assessment | 8 | 12 | 12 | 11 | 11 |
| Net Income/(Loss) | $64 | $105 | $110 | $94 | $94 |
| **Selected Other Data for the Quarter** |  |  |  |  |  |
| Net Interest Margin<sup>(2)</sup> | 0.77% | 0.89% | 0.77% | 0.68% | 0.76% |
| Return on Average Assets | 0.35 | 0.59 | 0.56 | 0.45 | 0.50 |
| Return on Average Equity | 3.51 | 5.77 | 5.98 | 5.22 | 5.37 |
| Annualized Dividend Rate<sup>(3)</sup>  | 8.75 | 8.75 | 8.75 | 8.75 | 8.75 |
| Annualized Special Dividend Rate | 11.36 |  |  |  |  |
| Dividend Payout Ratio<sup>(4)</sup> | 199.16 | 54.82 | 54.72 | 57.81 | 62.72 |
| Average Equity to Average Assets Ratio | 9.85 | 10.19 | 9.44 | 8.66 | 9.25 |
| **Selected Other Data at Quarter End** |  |  |  |  |  |
| Regulatory Capital Ratio<sup>(5)</sup> | 10.22 | 9.98 | 9.46 | 8.74 | 9.13 |
| Duration Gap (in months) | (0.1) | 0.4 | 0.0 | (0.3) | (0.4) |

---

(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)Effective January 2, 2026, the Bank's outstanding Class B stock has been converted into Class B-1 membership stock and Class B-2 activity-based stock.

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

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

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_4)</u>

**Results of Operations**

**Net Interest Income for the Three Months Ended March 31, 2026 and 2025.** 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), 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.

***First Quarter of 2026 Compared to First Quarter of 2025***

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Net Interest Spread and Margin** | **Net Interest Spread and Margin** | **Net Interest Spread and Margin** | **Net Interest Spread and Margin** | **Net Interest Spread and Margin** | **Net Interest Spread and Margin** | **Net Interest Spread and Margin** |
| | **Three Months Ended** | **Three Months Ended** | **Three Months Ended** | **Three Months Ended** | **Three Months Ended** | **Three Months Ended** |
| | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** | **March 31, 2025** | **March 31, 2025** | **March 31, 2025** |
| (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 | $3435 | $32 | 3.74% | $4022 | $44 | 4.42% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Securities purchased under agreements to resell | 3996 | 36 | 3.69 | 1464 | 16 | 4.38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Federal funds sold | 6119 | 56 | 3.68 | 5423 | 59 | 4.39 |
| &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)</sup> | 13575 | 170 | 5.08 | 13732 | 195 | 5.75 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury and state housing agency obligations | 6624 | 65 | 3.98 | 6429 | 73 | 4.65 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Held-to-maturity (HTM) securities: MBS | 760 | 8 | 4.38 | 1465 | 18 | 4.99 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Advances | 38823 | 379 | 3.96 | 42489 | 473 | 4.51 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Mortgage loans held for portfolio<sup>(2)</sup> | 636 | 5 | 3.05 | 687 | 5 | 3.10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Loans to other FHLBanks |  |  |  | 6 |  | 4.39 |
| Total interest-earning assets | 73968 | 751 | 4.12 | 75717 | 883 | 4.73 |
| Other assets<sup>(3)</sup> | 1034 |  |  | 753 |  |  |
| Total Assets | $75002 |  |  | $76470 |  |  |
| 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 | $42889 | 389 | 3.68% | $55280 | 594 | 4.36% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Discount notes | 22572 | 204 | 3.66 | 11733 | 126 | 4.34 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Deposits and other borrowings | 1375 | 12 | 3.49 | 1519 | 16 | 4.30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Mandatorily redeemable capital stock | 102 | 6 | 22.06 | 256 | 5 | 7.15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Borrowings from other FHLBanks | 9 |  | 3.69 | 6 |  | 4.39 |
| Total interest-bearing liabilities | 66947 | 611 | 3.70 | 68794 | 741 | 4.37 |
| Other liabilities<sup>(3)</sup> | 668 |  |  | 605 |  |  |
| Total Liabilities | 67615 |  |  | 69399 |  |  |
| Total Capital | 7387 |  |  | 7071 |  |  |
| Total Liabilities and Capital | $75002 |  |  | $76470 |  |  |
| Net Interest Income |  | $140 |  |  | $142 |  |
| Net Interest Spread<sup>(4)</sup> |  |  | 0.42% |  |  | 0.36% |
| Net Interest Margin<sup>(5)</sup> |  |  | 0.77% |  |  | 0.76% |
| Interest-earning Assets/Interest-bearing Liabilities | 110.49% |  |  | 110.06% |  |  |

---

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

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

(4)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.

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

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_4)</u>

Interest income included net prepayment fees on AFS MBS of $8 million and $5 million for the three months ended March 31, 2026 and 2025, respectively. In addition, interest income included net prepayment fees on advances of a de minimis amount and $2 million for the three months ended March 31, 2026 and 2025, respectively.

The following table details the changes in interest income and interest expense for the first quarter of 2026 compared to the first quarter of 2025. 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 March 31, 2026, versus Three Months Ended March 31, 2025** | **Change in Net Interest Income: Rate/Volume Analysis** <br>**Three Months Ended March 31, 2026, versus Three Months Ended March 31, 2025** | **Change in Net Interest Income: Rate/Volume Analysis** <br>**Three Months Ended March 31, 2026, versus Three Months Ended March 31, 2025** | **Change in Net Interest Income: Rate/Volume Analysis** <br>**Three Months Ended March 31, 2026, versus Three Months Ended March 31, 2025** |
| | **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 | $(12) | $(6) | $(6) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Securities purchased under agreements to resell | 20 | 23 | (3) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Federal funds sold | (3) | 7 | (10) |
| &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> | (25) | (2) | (23) |
| &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> | (8) | 2 | (10) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;HTM securities: MBS | (10) | (8) | (2) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Advances<sup>(2)</sup>  | (94) | (39) | (55) |
| Total interest income | (132) | (23) | (109) |
| 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> | (205) | (121) | (84) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Discount notes<sup>(2)</sup> | 78 | 100 | (22) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Deposits and other borrowings | (4) | (1) | (3) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Mandatorily redeemable capital stock | 1 | (4) | 5 |
| Total interest expense | (130) | (26) | (104) |
| Changes in net interest income | $(2) | $3 | $(5) |

---

(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 first quarter of 2026 was $140 million, a 1% decrease from $142 million in the first quarter of 2025. The $2 million decrease in net interest income primarily reflected lower yields on interest-earning assets and higher dividends paid on mandatorily redeemable capital stock.

The following tables present the effect of derivatives and hedging activities on net interest income.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Three Months Ended** | **Three Months Ended** | **Three Months Ended** | **Three Months Ended** | **Three Months Ended** |
| | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** |
|<br>(In millions) | **Advances** | **AFS Securities** | **Consolidated Obligation Bonds** | **Consolidated Obligation Discount Notes** | **Total** |
| (Amortization)/accretion of hedging activities | $(4) | $(23) | $— | $— | $(27) |
| Net gain/(loss) on derivatives and hedged items |  | (1) |  |  | (1) |
| Net interest settlements on derivatives | 13 | 47 | (27) | 1 | 34 |
| Price alignment amount<sup>(1)</sup> |  | (2) |  |  | (2) |
| Total effect on net interest income | $9 | $21 | $(27) | $1 | $4 |

---

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_4)</u>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Three Months Ended** | **Three Months Ended** | **Three Months Ended** | **Three Months Ended** | **Three Months Ended** |
| | **March 31, 2025** | **March 31, 2025** | **March 31, 2025** | **March 31, 2025** | **March 31, 2025** |
|<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 | 46 | 89 | (56) | 2 | 81 |
| Price alignment amount<sup>(1)</sup> | (3) | (5) |  |  | (8) |
| Total effect on net interest income | $38 | $57 | $(56) | $2 | $41 |

---

(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)".

---

| | | |
|:---|:---|:---|
| | **Three Months Ended** | **Three Months Ended** |
|<br>(In millions) | **March 31, 2026** | **March 31, 2025** |
| Net gain/(loss) on advances and consolidated obligation bonds held under fair value option | $(26) | $29 |
| Net gain/(loss) on derivatives | 17 | (15) |
| Standby letters of credit fees | 5 | 5 |
| Other, net | 1 | 1 |
| Total Other Income/(Loss) | $(3) | $20 |

---

*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 March 31, 2026, compared to the same period in 2025, was primarily due to the deterioration in market spreads 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. 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.

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_4)</u>

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 first quarter of 2026 and 2025.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives**<br>**Three Months Ended March 31, 2026, Compared to Three Months Ended March 31, 2025** | **Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives**<br>**Three Months Ended March 31, 2026, Compared to Three Months Ended March 31, 2025** | **Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives**<br>**Three Months Ended March 31, 2026, Compared to Three Months Ended March 31, 2025** | **Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives**<br>**Three Months Ended March 31, 2026, Compared to Three Months Ended March 31, 2025** | **Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives**<br>**Three Months Ended March 31, 2026, Compared to Three Months Ended March 31, 2025** | **Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives**<br>**Three Months Ended March 31, 2026, Compared to Three Months Ended March 31, 2025** | **Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives**<br>**Three Months Ended March 31, 2026, Compared to Three Months Ended March 31, 2025** |
| | **Three Months Ended** | **Three Months Ended** | **Three Months Ended** | **Three Months Ended** | **Three Months Ended** | **Three Months Ended** |
| | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** | **March 31, 2025** | **March 31, 2025** | **March 31, 2025** |
| (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 | $19 | $2 | $21 | $(32) | $11 | $(21) |
| &nbsp;&nbsp;&nbsp;Not elected for fair value option | (9) | 6 | (3) | (1) | 6 | 5 |
| Consolidated obligation bonds: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Elected for fair value option | 1 | (1) |  | 4 | (3) | 1 |
| &nbsp;&nbsp;&nbsp;Not elected for fair value option | 2 | (3) | (1) | 6 | (4) | 2 |
| Consolidated obligation discount notes: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Not elected for fair value option |  |  |  | (1) |  | (1) |
| Price alignment amount<sup>(1)</sup> |  |  |  | (1) |  | (1) |
| Total | $13 | $4 | $17 | $(25) | $10 | $(15) |

---

During the first quarter of 2026, net gains on derivatives totaled $17 million compared to net losses of $15 million in the first quarter of 2025. These amounts included interest income of $4 million and $10 million resulting from net settlements on derivative instruments used in economic hedges in the first quarter of 2026 and 2025, respectively. In addition to 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.

**Non-Interest Expense.** During the first quarter of 2026, non-interest expenses totaled $65 million, compared to $56 million in the first quarter of 2025. The $9 million increase in non-interest expense was primarily driven by an increase of $17 million in voluntary housing and community investment contributions, partially offset by a reduction of $8 million in operating expenses. The increase in voluntary housing and community investment contributions were primarily attributable to an additional voluntary mission contribution of $22.5 million recognized in the first quarter of 2026.

**Return on Average Equity.** Return on average equity was 3.51% (annualized) for the first quarter of 2026, compared to 5.37% (annualized) for the first quarter of 2025. The decrease was driven by a decrease in net income for the first quarter of 2026.

**Dividends and Retained Earnings.** In the first quarter of 2026, the Bank paid dividends on the average capital stock outstanding during the fourth quarter of 2025 at an annualized rate of 8.75%, totaling $58 million, including $56 million in dividends on capital stock and $2 million in dividends on mandatorily redeemable capital stock. The Bank also paid a special cash dividend on the average capital stock outstanding during the fourth quarter of 2025 at an annualized rate of 11.36%, totaling $75 million, including $72 million in dividends on capital stock and $3 million in dividends on mandatorily redeemable capital stock. In the first quarter of 2025, the Bank paid dividends on the average capital stock outstanding during the fourth quarter of 2024 at an annualized rate of 8.75%, totaling $63 million, including $55 million in dividends on capital stock and $8 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

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_4)</u>

Earnings," and "Item 8. Financial Statements and Supplementary Data – Note 11 – Capital – Excess Stock Repurchase, Retained Earnings, and Dividend Framework" in the Bank's 2025 Form 10-K.

**Financial Condition** 

At March 31, 2026, total assets were $70.7 billion, a decrease of $2.6 billion from $73.3 billion at December 31, 2025. The decrease in total assets was primarily due to a $1.9 billion reduction in short-term investments. Advances decreased by $0.4 billion, to $37.8 billion at March 31, 2026, from $38.2 billion at December 31, 2025.

Total liabilities were $63.4 billion at March 31, 2026, a decrease of $2.6 billion from $66.0 billion at December 31, 2025, primarily reflecting a $3.6 billion decrease in consolidated obligations outstanding to $60.7 billion at March 31, 2026, from $64.3 billion at December 31, 2025.

**Advances-Related Products.** The advances-related products consist of advances and other credit products. The following table presents the advances portfolio by product type.

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **March 31, 2026** | **March 31, 2026** | **December 31, 2025** | **December 31, 2025** |
|<br>(Dollars in millions) | **Par Value** | **Percentage of Total Par Value** | **Par Value** | **Percentage of Total Par Value** |
| Adjustable – Secured Overnight Financing Rate (SOFR) | $2350 | 6% | $2455 | 6% |
| Adjustable – SOFR, callable at borrower's option | 4050 | 11 | 4700 | 12 |
| Subtotal adjustable rate advances | 6400 | 17 | 7155 | 18 |
| Fixed | 5187 | 14 | 4095 | 11 |
| Fixed – amortizing | 19 |  | 21 |  |
| Fixed – with PPS | 28 |  | 30 |  |
| Fixed – with FPS | 13011 | 34 | 15187 | 40 |
| Fixed – callable at borrower's option with FPS | 275 | 1 | 275 | 1 |
| Fixed – putable at Bank's option with FPS | 5114 | 14 | 5532 | 15 |
| Subtotal fixed rate advances | 23634 | 63 | 25140 | 67 |
| Daily variable rate | 7753 | 20 | 5854 | 15 |
| Total par value | $37787 | 100% | $38149 | 100% |

---

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.

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

The Bank's MBS investments were $14.3 billion and $14.7 billion at March 31, 2026, and December 31, 2025, respectively. During the first three months of 2026, the Bank's MBS investments decreased primarily because of $508 million in principal repayments, partially offset by $122 million in MBS purchases.

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" in the Bank's 2025 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

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_4)</u>

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 2025 Form 10-K. The Bank's status as a government-sponsored enterprises (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 March 31, 2026, and December 31, 2025, 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 March 31, 2026, and December 31, 2025, were within the tolerance levels provided by the Finance Agency's guidelines.

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 8 – Consolidated Obligations" in the Bank's 2025 Form 10-K.

***Capital***

As disclosed in the Bank's 2025 Form 10-K, the Bank's capital plan, amended effective November 15, 2024, provided 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 was converted into Class B-1 membership stock and Class B-2 activity-based stock. Class B-2 activity-based stock is equal to the Activity-Based Stock Requirement (as defined in the Capital Plan), and Class B-1 membership stock is calculated by subtracting the 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.

The Bank's ability to expand as member credit needs increase is based, in part, on the capital stock requirements for advances. A member is required to maintain sufficient capital stock to support its advances and letters of credit activity with the Bank. Unless a member already has sufficient excess stock, it must increase its capital stock investment in the Bank as its balance of outstanding advances increases. The Activity-Based Stock Requirement is currently 2.7% for outstanding advances and 0.1% of notional balances for outstanding letters of credit. The Bank's minimum regulatory capital-to-assets ratio requirement is currently 4.00%; therefore, the Bank maintains a certain required level of retained earnings to support capital compliance and business growth.

In January 2026, the level of required retained earnings established by the Bank's Framework, implemented in accordance with Finance Agency guidance, was increased from $2.0 billion to $2.3 billion.

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_4)</u>

**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 2025 Form 10-K.

**Credit Ratings.** There have been no changes to the Bank's credit ratings since those disclosed in the Bank's 2025 Form 10-K.

**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 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 concentration in advances by borrowers and their affiliates that is 10% or more of total advances outstanding increased by $0.4 billion to $5.2 billion, or 14% of total advances outstanding, at March 31, 2026, from $4.8 billion, or 13% of total advances outstanding, at December 31, 2025.

As of March 31, 2026, and December 31, 2025, nonmembers accounted for $3.1 billion, or 8%, and $3.8 billion, or 10%, of total advances outstanding at par value, respectively. Nonmembers, excluding housing associates in the Bank's district, accounted for $26 million, or 7% of the Bank's interest income from advances for the three months ended March 31, 2026. Nonmembers, excluding housing associates in the Bank's district, accounted for $86 million, or 18% of the Bank's interest income from advances for the three months ended March 31, 2025. Because nonmembers cannot replace advances as they mature or are prepaid, the Bank's level of advances and interest income may be adversely affected absent a corresponding increase in member business, which remain subject to a number of factors including, but not limited to, members' ability to generate new business, seek new advances, pursue consolidation opportunities within the banking industry, and general economic conditions. For further information, see "Item 1. Financial Statements – Note 4 – Advances – Concentration Risk."

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_4)</u>

The following tables present a summary of the status of the credit outstanding and overall collateral borrowing capacity of the Bank's borrowers.

---

| | | | |
|:---|:---|:---|:---|
| **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** |
| **March 31, 2026** | | | |
| (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% | 6 | $3470 | $3495 |
| 11% – 25% | 8 | 4573 | 5662 |
| 26% – 50% | 24 | 10671 | 16916 |
| More than 50% | 156 | 38693 | 192579 |
| Total | 194 | $57407 | $218652 |

---

---

| | | | |
|:---|:---|:---|:---|
| **December 31, 2025**<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% | 6 | $5517 | $5572 |
| 11% – 25% | 7 | 2481 | 3186 |
| 26% – 50% | 21 | 8861 | 14565 |
| More than 50% | 159 | 41582 | 189102 |
| Total | 193 | $58441 | $212425 |

---

(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.

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 March 31, 2026, and December 31, 2025. The Bank has never experienced any credit losses on advances.

As of March 31, 2026, of the loan collateral pledged to the Bank, 16% was pledged by 24 institutions by specific identification, 45% was pledged by 113 institutions under a blanket lien with detailed reporting, and 39% was pledged by 137 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 March 31, 2026, 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.

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_4)</u>

The following table presents the mortgage loan collateral pledged.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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) | **March 31, 2026** | **March 31, 2026** | **December 31, 2025** | **December 31, 2025** |
| **Loan Type** | **Unpaid Principal<br>Balance** | **Borrowing<br>Capacity** | **Unpaid Principal<br>Balance** | **Borrowing<br>Capacity** |
| First lien residential mortgage loans | $153295 | $104966 | $148345 | $101028 |
| Second lien residential mortgage loans and home equity lines of credit | 16017 | 7544 | 13919 | 6452 |
| Multifamily mortgage loans | 34977 | 22612 | 35265 | 22654 |
| Commercial mortgage loans | 77474 | 50249 | 77045 | 49939 |
| Loan participations<sup>(1)</sup> | 1359 | 490 | 1380 | 547 |
| Small business, small farm, and small agribusiness loans | 1738 | 436 | 1406 | 353 |
| Total | $284860 | $186297 | $277360 | $180973 |

---

(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 March 31, 2026, and December 31, 2025, the unpaid principal balance of these loans totaled $5.6 billion and $5.4 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 March 31, 2026, and December 31, 2025, the borrowing capacity of these loans totaled $3.9 billion and $3.8 billion, respectively.

**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.

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_4)</u>

The following table presents the Bank's investment credit exposure at March 31, 2026, based on the lowest of the long-term credit ratings provided by Moody's Ratings (Moody's) or S&P Global Ratings (S&P).

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **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. Treasury obligations | $6508 | $— | $— | $— | $— | $6508 |
| State housing agency obligations | 53 |  |  |  |  | 53 |
| MBS: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Other U.S. obligations – single-family | 16 |  |  |  |  | 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;MBS – GSEs: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Single-family<sup>(2)</sup> | 378 |  | 3 | 1 |  | 382 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Multifamily | 12961 |  |  |  |  | 12961 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total MBS – GSEs | 13339 |  | 3 | 1 |  | 13343 |
| &nbsp;&nbsp;&nbsp;&nbsp;Private-label residential mortgage-backed securities (PLRMBS) | 11 | 18 | 21 | 442 | 435 | 927 |
| Total MBS | 13366 | 18 | 24 | 443 | 435 | 14286 |
| Total securities | 19927 | 18 | 24 | 443 | 435 | 20847 |
| Interest-bearing deposits | 959 | 2515 |  |  |  | 3474 |
| Securities purchased under agreements to resell<sup>(3)</sup> |  | 500 |  |  | 2500 | 3000 |
| Federal funds sold | 1845 | 2595 |  |  |  | 4440 |
| Total investments | $22731 | $5628 | $24 | $443 | $2935 | $31761 |

---

(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 March 31, 2026, 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.

The following table presents the unsecured credit exposure with counterparties by investment type.

---

| | | |
|:---|:---|:---|
| | **Carrying Value**<sup>(1)</sup> | **Carrying Value**<sup>(1)</sup> |
|<br>(In millions) | **March 31, 2026** | **December 31, 2025** |
| Interest-bearing deposits | $3474 | $3092 |
| Federal funds sold | 4440 | 5070 |
| Total | $7914 | $8162 |

---

(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 March 31, 2026, and December 31, 2025.

The Bank's MBS investments include PLRMBS and agency single-family and multifamily 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 March 31, 2026, the Bank's MBS portfolio was 200% 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 March 31, 2026, the Bank's investment in MBS had gross unrealized losses totaling $33 million, $24 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.

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_4)</u>

**Derivative Counterparties.** The following table presents the Bank's credit exposure to its derivative dealer counterparties at March 31, 2026.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| (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 | $2739 | $7 | $(5) | $— | $2 |
| Liability positions with credit exposure: |  |  |  |  |  |
| &nbsp;&nbsp;Cleared derivatives<sup>(2)</sup> | 51957 | (15) |  | 571 | 556 |
| Total derivative positions with credit exposure to nonmember counterparties | $54696 | $(8) | $(5) | $571 | $558 |
| Derivative positions without credit exposure | 21442 |  |  |  |  |
| Total notional | $76138 |  |  |  |  |

---

(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 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 2025 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 three months of 2026 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 2025 Form 10-K.

**Legislative and Regulatory Developments**

The Bank is subject to various legal and regulatory requirements and priorities. Changes to regulatory priorities and areas of focus, such as deregulation, by the federal executive administration have changed and continue to change the regulatory environment. These changes have affected, and likely will continue to affect, certain aspects of the Bank's business operations, and could impact our financial condition, results of operations, and reputation.

In March 2026, the federal executive administration issued two executive orders that address mortgage credit availability and housing affordability that are pertinent to the FHLBanks.

One executive order directs the Finance Agency and other federal financial regulators to consider measures to expand access to mortgage credit, including potential adjustments to capital requirements for mortgage-related exposures; modernization of collateral valuation and transfer systems between the Federal Reserve Banks and the FHLBanks; expansion of access to longer-dated FHLBank advances tied to residential mortgage assets; development of targeted FHLBank liquidity programs for entry-level housing, owner-occupied purchase loans, and small residential builders; acceleration of collateral boarding and valuation processes through standardized data and digital documentation; and refocusing the FHLBanks' Affordable Housing Programs to support faster execution and greater financial leverage for small-scale and owner-occupied housing projects. This executive order also directs the

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_4)</u>

Finance Agency and the Federal Reserve Board to consider authorizing the FHLBanks' intermediate access to the Federal Reserve's discount window for the FHLBanks' depository institution members under standardized collateral, operational, and risk-management protocols. In addition, the executive order directs the Finance Agency and other federal agencies to consider standardizing the acceptance of e-notes and promoting digital mortgage standards. In addition, the Finance Agency, in consultation with other relevant federal agencies, is required to submit a report evaluating the efficiency of national housing finance markets and identifying potential regulatory or legislative recommendations to address any regulatory or oversight gaps.

The second executive order directs the Finance Agency and other federal agencies to consider reducing regulatory barriers to affordable housing construction, including by eliminating or reforming rules or programs that constrain residential development and impede housing affordability, especially the construction of affordable single-family homes.

While these executive orders could potentially affect the Bank's liquidity products, collateral and operational requirements, capital deployment, and housing-related initiatives, they do not, by themselves, change existing regulations or program requirements applicable to the Bank and the other FHLBanks. The nature, timing, and scope of any resulting changes remain uncertain and subject to further Finance Agency action, such as rulemaking or guidance. The Bank continues to monitor developments related to these executive orders and assess their potential effect on the Bank and its members.

Considering the changes in the regulatory environment, there is uncertainty with respect to the ultimate nature and result of future regulatory actions and their ultimate effects on the Bank and the FHLBank System. The Bank continues to monitor these actions as they evolve and to evaluate their potential effect on the Bank. For further discussion of related risks, see "Item 1A. Risk Factors" in the Bank's 2025 Form 10-K.

**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 March 31, 2026.

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.

---

| | | | |
|:---|:---|:---|:---|
| **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> | **March 31, 2026** | | **December 31, 2025** |
| +200 basis-point change | +0.2 | % | -0.3 |
| +100 basis-point change | +0.1 |  | -0.2 |
| –100 basis-point change<sup>(2)</sup> | +0.2 |  | +0.5 |
| –200 basis-point change<sup>(2)</sup> | +0.5 |  | +1.1 |

---

(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 March 31, 2026, have decreased as compared to the estimates as of December 31, 2025. The change is primarily attributable to increases in interest rates and higher projected commercial property prices. Compared to December 31, 2025,

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_4)</u>

interest rates as of March 31, 2026, have increased 11 basis points for the one-month Treasury bill, increased 24 basis points for the five-year Treasury note, and increased 16 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 (including mandatorily redeemable capital stock recognized as a liability in the Statements of Condition). The ratio of the Bank's estimated market value of total capital to par value of capital stock was 282% as of March 31, 2026.

*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 2025 Form 10-K.

*Duration Gap* – The Bank monitors the duration gap analysis. The Bank's duration gap metric as of March 31, 2026, is comparable with the estimate as of December 31, 2025. The following table presents the Bank's duration gap for its assets and liabilities at March 31, 2026, and December 31, 2025.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Duration Gap Analysis** | **Duration Gap Analysis** | **Duration Gap Analysis** | **Duration Gap Analysis** | **Duration Gap Analysis** |
| | **March 31, 2026** | **March 31, 2026** | **December 31, 2025** | **December 31, 2025** |
| | **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 | $70676 | 0.9 | $73329 | 1.3 |
| Liabilities | 63384 | 1.0 | 65969 | 0.9 |
| Net | $7292 | (0.1) | $7360 | 0.4 |

---

(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 2025 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 interim 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

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_4)</u>

interim 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 March 31, 2026, 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.

**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.

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_4)</u>

**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 2025 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.

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_4)</u>

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

---

| | |
|:---|:---|
| **Exhibit No.** | **Description** |
| <u>[31.1](q12026form10-qxexhibit311.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](q12026form10-qxexhibit312.htm)</u> | Certification of the Chief Financial Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 |
| <u>[32.1](q12026form10-qxexhibit321.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](q12026form10-qxexhibit322.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. |

---

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

------

<u>[**Table of Contents**](#if16c569a67bf487b92a19738856db6a1_4)</u>

**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 May 6, 2026.

---

| |
|:---|
| Federal Home Loan Bank of San Francisco |
| /S/ WINTHROP WATSON |
| **Winthrop Watson<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, Winthrop Watson, certify that:

1. I have reviewed this quarterly report on Form 10-Q for the period ended March 31, 2026, 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.

---

| | |
|:---|:---|
| May 6, 2026 | /S/ WINTHROP WATSON |
| | **Winthrop Watson<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 March 31, 2026, 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.

---

| | |
|:---|:---|
| May 6, 2026 | /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, Winthrop Watson, 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 March 31, 2026, ("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.

---

| | |
|:---|:---|
| May 6, 2026 | /S/ WINTHROP WATSON |
| | **Winthrop Watson<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 March 31, 2026, ("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.

---

| | |
|:---|:---|
| May 6, 2026 | /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>