The Federal Home Loan Bank of San Francisco announces the first

SAN FRANCISCO, April 29, 2021 (GLOBE NEWSWIRE) – The Federal Home Loan Bank of San Francisco (Bank) today announced its operating results for the first quarter of 2021. Net profit for the first quarter of 2021 was 94 million, compared to a net loss of $ 8 million for the first quarter of 2020.

The increase of $ 102 million in net income compared to the prior year period primarily reflects an increase in net interest income of $ 109 million and an improvement in the provision for / (reversal of) credit losses of $ 45 million. This was partially offset by a decrease in other income of $ 39 million, primarily attributable to an increase in net fair value losses associated with financial instruments carried at fair value which was partially offset by an increase in net gains of fair value associated with non-hedging derivatives.

The increase of $ 109 million in net interest income primarily reflects an increase of $ 64 million in net fair value gains on designated fair value hedges, an improvement in the retrospective adjustment of effective mortgage yields and related delivery commitments of $ 38 million, and an increase in prepayment charges received on advances of $ 7 million. In addition, the Bank recorded a reversal of credit losses of $ 6 million for the first quarter of 2021, primarily associated with certain Private Label Residential Mortgage Backed Securities (PLRMBS) classified as available for sale (AFS ) and resulting in large part from improved credit and improved economic prospects. This reversal compares to a provision for credit losses of $ 39 million recorded for the first quarter of 2020 associated with certain PLRMBS classified as AFS, which resulted primarily from a significant decrease in fair values ​​in the first quarter of 2020.

As of March 31, 2021, total assets were $ 57.9 billion, a decrease of $ 10.7 billion from $ 68.6 billion as of December 31, 2020. Total investments decreased by $ 7.7 billion, to $ 27.5 billion as at March 31, 2021, compared to $ 35.2 billion as at December 31, 2020. The decrease in investments primarily reflects a decrease in securities purchased under resale agreements, of US Treasury securities and mortgage-backed securities (MBS), which was partially offset by an increase in federal funds sold as the bank continued to manage its liquidity. In addition, advances decreased by $ 2.9 billion to $ 28.1 billion as at March 31, 2021, from $ 31.0 billion as at December 31, 2020, as many members maintained large deposit balances and excess cash resulting from the economic impacts of the COVID-19 pandemic.

Accumulated other comprehensive income (AOCI) increased by $ 137 million in the first quarter of 2021 to $ 367 million as of March 31, 2021, from $ 230 million as of December 31, 2020. The increase in accumulated other comprehensive income in the first quarter of 2021 primarily reflected the higher fair values ​​of MBS classified as AFS.

As of March 31, 2021, the Bank was in compliance with all of its regulatory capital requirements. The Bank’s total regulatory capital ratio was 10.3%, exceeding the requirement of 4.0%. The Bank had permanent capital of $ 6.0 billion, exceeding its risk-based capital requirement of $ 1.2 billion. Total retained earnings as of March 31, 2021 was $ 3.7 billion.

Today, the Bank’s Board of Directors declared a quarterly cash dividend on the outstanding share capital during the first quarter of 2021 at an annualized rate of 6.00%. The quarterly dividend rate is consistent with the Bank’s dividend philosophy of striving to pay a quarterly dividend at a rate between 5% and 7% annualized. The quarterly dividend will total $ 34 million. The Bank expects to pay the dividend on May 11, 2021.

Financial highlights
(dollars in millions)

Selected balance sheet items
at the end of the period
March 31, 2021 December 31, 2020
Total assets $ 57,908 $ 68 634
Advances 28 140 30,796
Mortgage loans held for the portfolio, net 1,581 1,935
Net investments1 27,526 35,228
Consolidated bonds:
Obligations 33,011 44,408
Release Notes 17 109 16,213
Share capital – Class B – Putable 2 238 2 284
Unrestricted retained earnings 2 983 2 919
Restricted retained earnings 761 761
Accumulated other comprehensive income / (loss) 367 230
Total capital 6 349 6,194
Selection of other data at the end of the period March 31, 2021 December 31, 2020
Regulatory capital ratio2 10.33 % 8.69 %
Three months ended
Selected operating results for the period March 31, 2021 March 31, 2020
Net interest income $ 158 $ 49
Provision for / (reversal of) credit losses (6 ) 39
Other income / (loss) (21 ) 18
Other expenses 39 36
Affordable Housing Program Evaluation ten
Net income / (loss) $ 94 $ (8 )
Three months ended
Other data selected for the period March 31, 2021 March 31, 2020
Net interest margin3 1.04 % 0.18 %
Operating expenses as a percentage of average assets 0.23 0.12
Return on average assets 0.61 (0.03 )
Average return on equity 6.04 (0.46 )
Annualized dividend rate4 5.00 7.00
Average ratio of equity to average assets 10.01 6.09

1. Investments include federal funds sold, interest-bearing deposits, trading securities, available-for-sale securities, held-to-maturity securities and securities purchased under resale agreements.
2. This ratio is calculated as regulatory capital divided by total assets. Regulatory capital includes retained earnings, Class B share capital, and mandatory redeemable share capital (which is classified as a liability), but excludes accumulated other comprehensive income / (loss). Total regulatory capital as of March 31, 2021 was $ 6.0 billion.
3. The net interest margin is the net interest income (annualized) divided by the average interest earning assets.
4. Cash dividend declared, recorded and paid during the period, on the share capital outstanding during the previous quarter.

Federal Mortgage Bank of San Francisco
The Federal Home Loan Bank of San Francisco is a member-driven cooperative that helps local lenders in Arizona, California, and Nevada build strong communities, create opportunity, and change lives for the better. The tools and resources we provide to our member financial institutions – commercial banks, credit unions, industrial loan companies, savings institutions, insurance companies and community development financial institutions – promote home ownership, expand access to quality housing, create or support small businesses, and revitalize entire neighborhoods. Together with our members and other partners, we make the communities we serve more vibrant and resilient.

Safe Harbor Declaration under the Private Titles Litigation Reform Act 1995
This press release contains forward-looking statements within the meaning of the safe harbor provisions of the Private Securities Litigation Reform Act of 1995, including statements relating to the philosophy and dividend rates of the Bank. These statements are based on our current expectations and speak only as of the date hereof. These statements may use forward-looking terms, such as “endeavor”, “will” and “expects”, or their negatives or other variations of these terms. The Bank cautions that, by their nature, forward-looking statements involve risks or uncertainties and that actual results could differ materially from those expressed or implied in such forward-looking statements or could affect the extent to which an objective, projection , an estimate or forecast is made, including future dividends. These forward-looking statements involve risks and uncertainties, including, but not limited to, the application of accounting standards relating, among other things, to the amortization of discounts and bonuses on financial assets, financial liabilities and certain fair value gains and losses; hedge accounting for derivatives and underlying financial instruments; the fair values ​​of financial instruments, including marketable securities and derivatives; future operating results; allowance for credit losses; and the impact of the COVID-19 pandemic. We assume no obligation to publicly revise or update any forward-looking statements for any reason.

Marie Long, (415) 616-2556
[email protected]

Bernadine J. Perkins