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Federal Home Loan Bank Of San Francisco (1316944) SEC Filing 10-Q Quarterly report for the period ending Tuesday, March 31, 2020

Federal Home Loan Bank Of San Francisco

CIK: 1316944


Exhibit 99.1
Federal Home Loan Bank of San Francisco Announces First Quarter 2020 Operating Results
SAN FRANCISCO, April 28, 2020 — The Federal Home Loan Bank of San Francisco (Bank) today announced its operating results for the
first quarter of 2020. The Bank incurred a net loss of $8 million for the first quarter of 2020, compared with net income of $104 million for the first quarter of 2019.
The $112 million decrease in net income/(loss) relative to the prior-year period primarily reflected a $95 million decrease in net interest income, from $144 million for the first quarter of 2019 to $49 million for the first quarter of 2020. As a result of the global COVID-19 pandemic, conditions in the financial markets deteriorated significantly beginning in late February and into March 2020, causing significant disruption to the availability of funds in the credit markets and resulting in adverse changes in interest rates, credit spreads, and asset prices. The decrease in net interest income, driven both by lower interest rates and by increases in credit spreads, was primarily attributable to an increase of $43 million in net fair value losses on designated fair value hedges, from $10 million for the first quarter of 2019 to $53 million for the first quarter of 2020. The decrease in net interest income also reflected a retrospective adjustment of the effective yields on mortgage loans of $15 million, driven by faster projected prepayments because of lower mortgage rates. Finally, the decrease in net income/(loss) also reflected a provision for current expected credit losses of $39 million for the first quarter of 2020 associated with certain private-label residential mortgage-backed securities classified as available-for-sale (AFS), primarily resulting from a significant decline in fair values.
The decrease in net interest income was partially offset by a decline in Affordable Housing Program (AHP) assessments. Because of the net loss in the first quarter of 2020, the Bank recorded no AHP assessment for the quarter. In the first quarter of 2019, the AHP assessment was $12 million.
Total assets increased $18.1 billion during the first three months of 2020, to $124.9 billion at March 31, 2020, from $106.8 billion at December 31, 2019. Total advances increased $12.5 billion, to $77.9 billion at March 31, 2020, from $65.4 billion at December 31, 2019. During March 2020, the Bank experienced increased demand for advances to support its members' liquidity needs in response to the pandemic and maintained its liquidity investments in compliance with Finance Agency guidance. As interest rates declined significantly during the quarter, investor demand for high credit quality, fixed income investments, including the Bank’s consolidated obligations, increased, and the Bank continued to meet its funding needs during this time. Investments increased $5.4 billion, to $43.0 billion at March 31, 2020, from $37.6 billion at December 31, 2019. The increase in investments primarily reflected an increase of $6.5 billion in Federal funds sold, an increase of $2.6 billion in trading securities, and an increase of $1.3 billion in interest-bearing deposits, partially offset by a decrease of $5.0 billion in securities purchased under agreements to resell.
Accumulated other comprehensive income/(loss) decreased by $502 million during the first three months of 2020, to accumulated other comprehensive loss of $228 million at March 31, 2020, from accumulated other comprehensive income of $274 million at December 31, 2019, primarily as a result of lower fair values of mortgage-backed securities classified as AFS.
As of March 31, 2020, the Bank was in compliance with all of its regulatory capital requirements. The Bank’s total regulatory capital ratio was 5.4%, exceeding the 4.0% requirement. The Bank had $6.7 billion in permanent capital, exceeding its risk-based capital requirement of $1.4 billion. Total retained earnings as of March 31, 2020, were $3.4 billion.
On April 27, 2020, the Bank’s Board of Directors declared a quarterly cash dividend on the capital stock outstanding during the first quarter of 2020 at an annualized rate of 5.00%. The quarterly dividend rate is consistent with the Bank's dividend philosophy of endeavoring to pay a quarterly dividend at a rate between 5% and 7%



The following information was filed by Federal Home Loan Bank Of San Francisco on Tuesday, April 28, 2020 as an 8K 2.02 statement, which is an earnings press release pertaining to results of operations and financial condition. It may be helpful to assess the quality of management by comparing the information in the press release to the information in the accompanying 10-Q Quarterly Report statement of earnings and operation as management may choose to highlight particular information in the press release.

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Financial Statements, Disclosures and Schedules

Inside this 10-Q Quarterly Report

Document And Entity Information Document
Statements Of Capital Accounts
Statements Of Capital Accounts (Parenthetical)
Statements Of Cash Flows
Statements Of Comprehensive Income
Statements Of Condition
Statements Of Condition (Parenthetical)
Statements Of Income
Accumulated Other Comprehensive Income (Loss)
Accumulated Other Comprehensive Income (Loss) (Details)
Accumulated Other Comprehensive Income (Loss) (Tables)
Advances
Advances (Credit And Concentration Risk) (Details)
Advances (Earlier Of Contractual Maturity Or Next Call/Put Date) (Details)
Advances (Interest Rate Payment Terms And Prepayment Fees) (Details)
Advances (Narrative) (Details)
Advances (Redemption Terms) (Details)
Advances (Tables)
Basis Of Presentation (Notes)
Basis Of Presentation (Policies)
Capital
Capital (By Redemption Period) (Details)
Capital (Capital Requirements) (Details)
Capital (Concentration) (Details)
Capital (Excess Capital Stock) (Details)
Capital (Mandatorily Redeemable Capital Stock) (Details)
Capital (Retained Earnings And Dividend Policy) (Details)
Capital (Tables)
Commitments And Contingencies
Commitments And Contingencies (Tables)
Commitments And Contingencies Off-Balance Sheet Commitments (Details)
Consolidated Obligations
Consolidated Obligations (Consolidated Obligation Bonds By Earlier Of Contractual Maturity Or Next Call Date) (Details)
Consolidated Obligations (Consolidated Obligation Bonds Noncallable And Callable) (Details)
Consolidated Obligations (Consolidated Obligation Discount Notes) (Details)
Consolidated Obligations (Interest Rate Payment Terms) (Details)
Consolidated Obligations (Redemption Terms) (Details)
Consolidated Obligations (Tables)
Consolidated Obligations Narrative (Details)
Deposits
Deposits (Details)
Deposits (Tables)
Derivatives And Hedging Activities
Derivatives And Hedging Activities (Derivatives In Statement Of Condition) (Details)
Derivatives And Hedging Activities (Derivatives In Statement Of Income And Impact On Interest) (Details)
Derivatives And Hedging Activities (Derivatives In Statement Of Income) (Details)
Derivatives And Hedging Activities (Narrative) (Details)
Derivatives And Hedging Activities (Offsetting Of Derivative Assets And Derivative Liabilities) (Details)
Derivatives And Hedging Activities (Tables)
Derivatives And Hedging Activities Cumulative Adjustments Table (Details)
Fair Value
Fair Value (Carrying Value And Fair Value Of Financial Instruments) (Details)
Fair Value (Fair Value Difference Between Fair Value And Remaining Contractual Principal Balance Outstanding) (Details)
Fair Value (Fair Value Measured On Recurring And Nonrecurring Basis) (Details)
Fair Value (Fair Value Option) (Details)
Fair Value (Level 3) (Details)
Fair Value (Tables)
Investments (Notes)
Investments (Tables)
Investments Afs By Contractual Maturity (Details)
Investments Afs Securities By Major Type (Details)
Investments Classification Of Held-To-Maturity Securities (Details)
Investments Narrative (Details)
Investments Otti Rollforward (Details)
Investments Significant Inputs On Plrmbs (Details)
Investments Summary Of Afs Securities With Unrealized Losses (Details)
Investments Trading Securities By Major Type (Details)
Mortgage Loans Held For Portfolio
Mortgage Loans Held For Portfolio (Details)
Mortgage Loans Held For Portfolio (Tables)
Mortgage Loans Held For Portfolio Allowance Narrative (Details)
Mortgage Loans Held For Portfolio Delinquency Statistics (Details)
Recently Issued And Adopted Accounting Guidance
Segment Information
Segment Information (Details)
Segment Information (Tables)
Subsequent Events
Summary Of Significant Accounting Policies / Accounting Policies (Policies)
Transactions With Certain Members, Certain Nonmembers, And Other Fhlbanks
Transactions With Certain Members, Certain Nonmembers, And Other Fhlbanks (Details)
Transactions With Certain Members, Certain Nonmembers, And Other Fhlbanks (Tables)
CIK: 1316944
Form Type: 10-Q Quarterly Report
Accession Number: 0001316944-20-000079
Submitted to the SEC: Mon May 11 2020 6:09:08 PM EST
Accepted by the SEC: Tue May 12 2020
Period: Tuesday, March 31, 2020
Industry: Federal And Federally Sponsored Credit Agencies

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