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Federally chartered corporation (State or other jurisdiction of incorporation or organization) | Commission File No. 000-51395 | 25-6001324 (IRS employer identification number) | ||
601 Grant Street Pittsburgh, PA (Address of principal executive offices) | 15219 (Zip code) |
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• | The Bank’s business strategy and changes in operations, including, without limitation, product growth, and change in product mix | |
• | Future performance, including profitability, developments, or market forecasts | |
• | Forward-looking accounting and financial statement effects | |
• | Projected capital expenditures |
• | Future economic and market conditions, including, for example, inflation and deflation, the timing and volume of market activity, general consumer confidence and spending habits, the strength of local economies in which the Bank conducts its business and interest-rate changes that affect the housing markets | |
• | Demand for Bank loans resulting from changes in members’ deposit flows and credit demands, as well as from other sources of funding and liquidity available to members | |
• | Volatility of market prices, rates, and indices that could affect the value of collateral held by the Bank as security for the obligations of Bank members and the counterparties to interest-rate exchange agreements and similar agreements, including, without limitation, those determined by the Board of Governors of the Federal Reserve System (the Federal Reserve Board) | |
• | The risks of changes in interest rates on the Bank’s interest-rate sensitive assets and liabilities | |
• | Changes in various governmental monetary or fiscal policies, as well as legislative and regulatory changes, including changes in generally accepted accounting principles, or “GAAP,” and related industry practices and standards, or the application thereof | |
• | Political, national, and world events, including acts of war, terrorism, natural disasters and other catastrophic events, and legislative, regulatory, judicial, or other developments that affect the economy, the Bank’s market area, the Bank, its members, counterparties, its federal regulator, and/or investors in the consolidated obligations of the twelve FHLBanks | |
• | Competitive forces, including other sources of funding available to Bank members, other entities borrowing funds in the capital markets, and the ability to attract and retain skilled individuals |
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• | The Bank’s ability to develop, implement, promote the efficient performance of, and support technology and information systems, including the Internet, sufficient to measure and manage effectively the risks of the Bank’s business | |
• | Changes in investor demand for consolidated obligations of the FHLBanks and/or the terms of interest-rate exchange agreements and similar agreements, including changes in investor preference and demand for certain terms of these instruments, which may be less attractive to the Bank, or which the Bank may be unable to offer | |
• | The Bank’s ability to introduce, support, and manage the growth of new products and services and to manage successfully the risks associated with those products and services, including new types of collateral securing loans | |
• | The availability from acceptable counterparties, upon acceptable terms, of options, interest-rate and currency swaps, and other derivative financial instruments of the types and in the quantities needed for investment funding and risk management purposes | |
• | The uncertainty and costs of litigation, including litigation filed against one or more of the 12 FHLBanks | |
• | Changes in the Act or Finance Board regulations that affect Bank operations and regulatory oversight, including the effects of the Finance Board rule requiring registration of a class of the Bank’s securities with the Securities and Exchange Commission (SEC) and the associated reporting and corporate governance requirements | |
• | Adverse developments or events, including financial restatements, affecting or involving one or more other FHLBanks or the FHLBank System in general | |
• | The Bank’s ability to manage future growth, including anticipated growth of the Bank’s mortgage purchase programs, which may require approval by the Finance Board | |
• | Other factors and other information discussed herein under Item 1A Risk Factors and elsewhere in this registration statement, as well as information included in the Bank’s future filings with the SEC |
Item 1: | Business |
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• | Traditional Member Finance | |
• | Mortgage Partnership Finance® (MPF®) Program |
Loan Products |
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Pct. of | ||||||||||
Total | ||||||||||
Product | Description | Pricing(1) | Maturity | Portfolio | ||||||
RepoPlus | Short-term fixed-rate loans; principal and interest paid at maturity. | 8 to 30 bps | 1 day up to 3 months | 21.1 | ||||||
Mid-Term RepoPlus | Mid-term fixed-rate and adjustable-rate loans; principal paid at maturity; interest paid quarterly. | 8 to 30 bps | 3 months to 3 years | 37.3 | ||||||
Term Loans | Long-term fixed-rate and adjustable-rate loans; principal paid at maturity; interest paid quarterly; (includes amortizing loans with principal and interest paid monthly); Affordable Housing Loans and Community Investment Loans. | 10 to 35 bps | Between 3 years to 30 years | 20.9 | ||||||
Convertible Select | Long-term fixed-rate and adjustable-rate loans with conversion options sold by member; principal paid at maturity; interest paid quarterly. | 20 to 45 bps | 1 year to 15 years | 18.4 | ||||||
Hedge Select | Long-term fixed-rate and adjustable-rate loans with embedded options bought by member; principal paid at maturity; interest paid quarterly. | 10 to 35 bps | 1 year to 10 years | 0.5 | ||||||
Returnable | Loans in which the member has the right to prepay the loan after a specified period. | 10 to 35 bps | Between 3 years to 30 years | 1.8 |
(1) | Pricing spread over the Bank’s cost of funds at origination, quoted in basis points (bps). One basis point equals 0.01%. |
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Collateral |
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Banking On Business (BOB) Loans |
Nonmember Borrowers |
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Investments |
• | instruments, such as common stock, that represent an ownership interest in an entity, other than stock in investment companies or certain investments targeted to low-income persons or communities; | |
• | instruments issued bynon-U.S. entities, other than those issued by United States branches and agency offices of foreign commercial banks; | |
• | non-investment-grade debt instruments, other than certain investments targeted to low-income persons or communities and instruments that were downgraded after purchase by the Bank; | |
• | whole mortgages or other whole loans, other than: (1) those acquired under the Bank’s mortgage purchase program; (2) certain investments targeted to low-income persons or communities; (3) certain marketable direct obligations of state, local or tribal government units or agencies, having at least the second highest credit rating from a Nationally Recognized Statistical Rating Organization; (4) mortgage-backed securities or asset-backed securities backed by manufactured housing loans or home equity loans; and (5) certain foreign housing loans authorized under Section 12(b) of the Act; and | |
• | non-U.S. dollar denominated securities. |
• | interest-only or principal-only stripped mortgage-backed securities; | |
• | residual-interest or interest-accrual classes of collateralized mortgage obligations and real estate mortgage investment conduits; | |
• | fixed-rate or floating-rate MBS that on the trade date are at rates equal to their contractual cap and that have average lives that vary by more than six years under an assumed instantaneous interest rate change of 300 basis points. |
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Deposits |
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Debt Financing — Consolidated Obligations |
December 31, | December 31, | |||||||
2005 | 2004 | |||||||
(In thousands) | ||||||||
Consolidated obligation bonds | $ | 56,716,786 | $ | 44,903,764 | ||||
Consolidated obligation discount notes | 14,620,012 | 15,173,091 | ||||||
Total Bank consolidated obligations | $ | 71,336,798 | $ | 60,076,855 | ||||
Total FHLBank System combined consolidated obligations | $ | 937,459,530 | $ | 869,241,590 | ||||
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Notional Amount | ||||||||
Purpose of | Outstanding at | |||||||
Derivative Hedging Instrument | Hedged Item | Hedge Transaction | December 31, 2005 | |||||
(In millions) | ||||||||
Receive fixed, pay floating interest rate swap, with a call option | Callable fixed-rate consolidated obligation bonds | To protect against a decline in interest rates by converting the fixed-rate to a floating-rate | $ | 21,735 | ||||
Pay fixed, receive floating interest rate swap | Mid-term and long-term fixed-rate loans to members | To protect against an increase in interest rates by converting the member loan’s fixed-rate to a floating-rate | 20,056 | |||||
Receive fixed, pay floating interest rate swap | Noncallable fixed-rate consolidated obligation bonds | To protect against a decline in interest rates by converting the fixed-rate to a floating-rate | 9,706 | |||||
Pay fixed, receive floating interest rate swap, with a put option | Convertible Select loans and fixed-rate loans with put options | To protect against an increase in interest rates by converting the member loan’s fixed-rate to a floating-rate | 9,281 | |||||
Receive float with a cap, pay floating interest rate swap, with call options | Callable floating-rate consolidated obligation bond with a cap | To convert the capped rate to a floating-rate | 1,620 | |||||
Forward starting pay fixed, receive floating interest rate swap | Firm commitment to enter into a fixed-rate or convertible loan at a specified future date | To protect against a change in interest rates prior to the issuance of the fixed-rate loan to member | 1,056 | |||||
Receive fixed-rate convertible to floating-rate with a cap, pay floating interest rate swap, with call options | Callable fixed-rate consolidated obligation bond convertible to a floating-rate with a cap | To convert the fixed-rate or capped rate to a floating-rate | 441 | |||||
Index amortizing receive fixed, pay floating interest rate swap | Consolidated obligation bonds | To convert an amortizing prepayment linked debt instrument to a floating-rate | 120 |
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Notional Amount | ||||||||
Purpose of | Outstanding at | |||||||
Derivative Hedging Instrument | Hedged Item | Hedge Transaction | December 31, 2005 | |||||
(In millions) | ||||||||
Receive fixed, pay floating (Federal funds rate) interest rate swap | Not applicable | To protect against changes in short- term interest rates | $ | 1,950 | ||||
Receive fixed, pay floating interest rate swap, with a call option | Not applicable | To protect against a decline in interest rates by converting the fixed-rate to a floating-rate | 545 | |||||
Option on receive fixed, pay floating interest rate swap (swaption) | Not applicable | To offset the acceleration of mortgage loan premium amortization experienced in declining interest rate environments | 525 | |||||
Pay fixed, receive floating interest rate swap, with a put option | Not applicable | To protect against an increase in interest rates by converting the member loan’s fixed-rate to a floating-rate | 304 | |||||
Receive fixed, pay floating interest rate swap | Not applicable | To protect against a decline in interest rates by converting the fixed-rate to a floating-rate | 255 | |||||
Pay floating, receive floating interest rate swap | Not applicable | To hedge the spread between two different interest rate indices | 200 | |||||
Interest rate swaps for intermediation | Not applicable | To facilitate member access to swap instruments | 94 | |||||
Receive floating with a cap, pay floating interest rate swap, with call options | Not applicable | To convert the capped rate to a floating-rate | 40 | |||||
Pay fixed, receive floating interest rate swap | Not applicable | To protect against an increase in interest rates by converting the asset’s fixed-rate to a floating-rate | 40 | |||||
Mortgage delivery commitments | Not applicable | Commitments to purchase a pool of mortgages | 18 | |||||
To be announced (TBAs) securities | Not applicable | To hedge the anticipated purchase of MPF Program loans | 11 |
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An economic downturn, geopolitical conditions or a natural disaster, especially one affecting the Bank’s district, could adversely affect the Bank’s profitability or financial condition. |
Fluctuating interest rates or changing interest rate levels may adversely affect the amount of net interest income the Bank receives. |
• | Increases in interest rates may reduce overall demand for loans and mortgages, thereby reducing the origination of loans, new mortgage loans and volume of MPF loans acquired by the Bank, which could have a material adverse effect on business, financial condition and results of operations, and may increase the cost of funds; and | |
• | Decreases in interest rates typically cause mortgage prepayments to increase and may result in increased premium amortization expense and substandard performance in the Bank’s mortgage |
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portfolio as the Bank experiences a return of principal that it must re-invest in a lower rate environment, adversely affecting net interest income over time. |
Inability to access the capital markets could adversely affect the Bank’s liquidity. |
The Federal Reserve Bank Policy Statement on Payments System Risk may impact the Bank’s operations. |
The Bank is subject to a complex body of regulations, including primarily Finance Board regulations, which may be amended in a manner that may affect the Bank’s business, operations and/or financial condition. |
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Proposed Finance Board capital regulation could adversely affect the Bank’s ability to pay dividends. |
The Act may be amended in a manner that changes the Bank’s statutory requirements and affects its business, operations and/or financial condition. |
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The Bank is jointly and severally liable for the consolidated obligations of other FHLBanks. |
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Moody’s Investor Service | Last Update | Standard & Poor’s | Last Update | |||||||||||||
Consolidated obligation discount notes | P-1 | 2/9/06 | A-1+ | 8/2/05 | ||||||||||||
Consolidated obligation bonds | Aaa | 7/1/05 | AAA | 8/2/05 |
Moody’s Senior | S&P Senior | |||||||||||||||
Unsecured Long-Term | Unsecured Long-Term | |||||||||||||||
FHLBank | Debt Rating/Outlook | Last Update | Debt Rating/Outlook | Last Update | ||||||||||||
Atlanta | Aaa/Stable | 4/3/06 | AAA/Stable | 4/19/05 | ||||||||||||
Boston | Aaa/Stable | 7/7/05 | AAA/Stable | 5/23/05 | ||||||||||||
Chicago | Aaa/Stable | 7/6/05 | AA+/Negative | 1/30/06 | ||||||||||||
Cincinnati | Aaa/Stable | 4/3/06 | AAA/Stable | 10/31/05 | ||||||||||||
Dallas | Aaa/Stable | 7/12/05 | AAA/Negative | 12/30/05 | ||||||||||||
Des Moines | Aaa/Stable | 2/9/06 | AAA/Negative | 4/26/06 | ||||||||||||
Indianapolis | Aaa/Stable | 2/9/06 | AAA/Negative | 10/19/05 | ||||||||||||
New York | Aaa/Stable | 2/9/06 | AA+/Stable | 4/29/05 | ||||||||||||
Pittsburgh | Aaa/Stable | 2/9/06 | AAA/Negative | 8/31/05 | ||||||||||||
San Francisco | Aaa/Stable | 4/3/06 | AAA/Stable | 2/28/05 | ||||||||||||
Seattle | Aaa/Stable | 2/9/06 | AA+/Negative | 4/19/05 | ||||||||||||
Topeka | Aaa/Stable | 4/3/06 | AAA/Stable | 7/1/05 |
Multidistrict FHLBank membership could adversely affect the Bank. |
The loss of significant Bank members or borrowers may have a negative impact on the Bank’s loans and capital stock outstanding and could result in lower demand for its products and services, lower investment returns and higher borrowing costs for remaining members. |
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Regulatory limitations on the Bank’s ability to pay dividends could result in lower investment returns for its members. |
The Bank’s accounting policies and methods are fundamental to how the Bank reports its financial condition and results of operations, and they may require management to make estimates about matters that are inherently uncertain. |
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The Bank’s profitability and the market value of its equity may be adversely affected if the Bank is not successful in managing its interest rate risk. |
The Bank hedges its interest rate risk associated with its consolidated obligations, loans and mortgage loans. Any hedging strategy the Bank uses may not fully offset the related economic risk and may result in earnings volatility and losses. |
The Bank relies upon derivative instruments to reduce its interest rate risk, and the Bank may not be able to enter into effective derivative instruments on acceptable terms. |
Changes in the Bank’s or other FHLBanks’ credit ratings may adversely affect the Bank’s ability to issue consolidated obligations and enter into derivative transactions on acceptable terms. |
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The MPF Program has different risks than those related to the Bank’s traditional loan business, which could adversely impact the Bank’s results of operations. |
If the prepayment rates for mortgage loans are higher or lower than expected, the Bank’s results of operations may be significantly impacted. |
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If one or more of the PFIs that provide a substantial amount of the mortgage loan volume for the Bank were to discontinue or reduce its participation in the MPF Program, the Bank’s business, financial condition and results of operations may be adversely affected. |
The concentration of the Supplemental Mortgage Insurance (SMI) providers providing SMI coverage for MPF loans increases the Bank’s exposure to potential losses in the event of an SMI provider default. |
Competition could negatively impact earnings, the supply of mortgage loans and access to funding. |
The Bank’s business is dependent upon its computer operating systems. An inability to implement technological changes or an interruption in the Bank’s information systems may result in lost business. |
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The Bank is subject to credit risk due to default which could adversely affect its profitability or financial condition. |
Circumstances beyond the Bank’s control could cause unexpected losses. |
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A decrease in the Bank’s earnings could reduce Affordable Housing Program subsidies to the Bank’s members. |
Increased Affordable Housing Program contributions by the Bank could decrease the dividends paid to its members. |
Lack of a public market and restrictions on transferring the Bank’s stock could result in an illiquid investment for the holder. |
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Failure by a member to comply with the minimum capital requirement could result in substantial penalties to that member and could cause the Bank to fail to meet its capital requirements. |
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Item 2: | Financial Information |
Year Ended December 31, | ||||||||||||||||||||
2005 | 2004 | 2003 | 2002 | 2001 | ||||||||||||||||
(Restated) | (Restated) | (Restated) | (Restated) | |||||||||||||||||
(In thousands) | ||||||||||||||||||||
Net interest income before provision for credit losses | $ | 309,543 | $ | 299,770 | $ | 278,730 | $ | 213,651 | $ | 236,067 | ||||||||||
Provision (benefit) for credit losses | 2,089 | 308 | (6,575 | ) | 3,664 | 6,673 | ||||||||||||||
Other income, excluding net gain (loss) on derivatives and hedging activities | 3,217 | 4,678 | 4,421 | 11,641 | 35,923 | |||||||||||||||
Net gain (loss) on derivatives and hedging activities | 4,185 | (106,327 | ) | (158,005 | ) | (223,454 | ) | (92,706 | ) | |||||||||||
Other expense | 53,726 | 45,798 | 38,225 | 34,880 | 41,623 | |||||||||||||||
Income before assessments | 261,130 | 152,015 | 93,496 | (36,706 | ) | 130,988 | ||||||||||||||
Assessments | 69,325 | 42,948 | 24,805 | (9,738 | ) | 30,516 | ||||||||||||||
Income before cumulative effect of change in accounting principle | 191,805 | 109,067 | 68,691 | (26,968 | ) | 100,472 | ||||||||||||||
Cumulative effect of change in accounting principle(1) | — | 9,788 | — | — | (15,964 | ) | ||||||||||||||
Net income | $ | 191,805 | $ | 118,855 | $ | 68,691 | $ | (26,968 | ) | $ | 84,508 | |||||||||
Earnings per share(2) | $ | 6.72 | $ | 4.53 | $ | 2.99 | $ | (1.38 | ) | $ | 4.63 | |||||||||
Dividends | $ | 80,516 | $ | 44,310 | $ | 50,182 | $ | 69,305 | $ | 118,613 | ||||||||||
Weighted average dividend rate(3) | 2.82% | 1.69 | % | 2.20 | % | 3.56 | % | 6.50 | % | |||||||||||
Return on average capital | 6.41% | 4.46 | % | 3.01 | % | (1.35 | )% | 4.36 | % | |||||||||||
Return on average assets | 0.29% | 0.20 | % | 0.13 | % | (0.06 | )% | 0.20 | % | |||||||||||
Net interest margin(4) | 0.47% | 0.52 | % | 0.55 | % | 0.47 | % | 0.58 | % | |||||||||||
Total capital ratio (at period-end)(5) | 4.47% | 4.52 | % | 4.39 | % | 4.03 | % | 4.62 | % | |||||||||||
Total average capital to average assets | 4.52% | 4.58 | % | 4.42 | % | 4.37 | % | 4.70 | % | |||||||||||
(1) | The Bank adopted SFAS 133 as of January 1, 2001, and recorded a net gain of $2.6 million on trading securities held at fair value and an $18.6 million net loss on derivatives and hedging activities. The Bank changed its method of amortizing and accreting deferred premiums and discounts on mortgage-backed securities (MBS) and MPF loans as of June 30, 2004, and September 30, 2004, respectively. These |
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changes were applied retroactively as of January 1, 2004. These changes resulted in cumulative income effects of $263,000 for the MBS and $9.5 million for the MPF loans that are reflected in the statement of operations for the year ended December 31, 2004. Please see Note 3 of the audited financial statements for further information. | |
(2) | Earnings per share calculated based on net income, including the impact of the cumulative effect of change in accounting principle. |
(3) | Weighted average dividend rates are dividends divided by the average of the daily balances of outstanding capital stock during the periods that are eligible for dividends. |
(4) | Net interest margin is net interest income before provision (benefit) for credit losses as a percentage of average interest-earning assets. |
(5) | Total capital ratio is capital stock plus retained earnings and accumulated other comprehensive income (loss) as a percentage of total assets at year-end. |
December 31, | ||||||||||||||||||||
2005 | 2004 | 2003 | 2002 | 2001 | ||||||||||||||||
(Restated) | (Restated) | (Restated) | (Restated) | |||||||||||||||||
(In thousands) | ||||||||||||||||||||
Loans to members | $ | 47,492,959 | $ | 38,980,353 | $ | 34,662,219 | $ | 29,250,691 | $ | 29,311,173 | ||||||||||
Investments — Federal funds sold, interest-bearing deposits and investment securities(1) | 16,945,821 | 12,929,857 | 9,994,951 | 10,206,226 | 11,064,302 | |||||||||||||||
Mortgage loans held for portfolio, net | 7,651,914 | 8,644,995 | 8,015,647 | 4,852,816 | 1,834,619 | |||||||||||||||
Total assets | 72,898,211 | 61,068,598 | 53,150,867 | 45,104,448 | 42,656,344 | |||||||||||||||
Deposits and other borrowings | 1,079,822 | 1,036,808 | 1,366,374 | 2,414,436 | 1,718,012 | |||||||||||||||
Consolidated obligations, net(2) | 67,723,337 | 56,235,449 | 47,878,708 | 39,055,190 | 37,995,074 | |||||||||||||||
AHP payable | 36,707 | 20,910 | 12,914 | 17,097 | 39,220 | |||||||||||||||
REFCORP payable (receivable) | 14,633 | 3,363 | (7,605 | ) | (17,535 | ) | 4,896 | |||||||||||||
Capital stock — putable | 3,078,583 | 2,695,802 | 2,341,627 | 1,839,742 | 1,889,422 | |||||||||||||||
Retained earnings | 188,479 | 77,190 | 2,645 | (15,864 | ) | 80,409 | ||||||||||||||
Total capital | 3,259,546 | 2,761,324 | 2,334,485 | 1,818,249 | 1,971,701 |
(1) | None of these securities were purchased under agreements to resell. |
(2) | Aggregate FHLB System-wide consolidated obligations (at par) were $937.5 billion, $869.2 billion, $759.5 billion, $680.7 billion and $637.3 billion for each of the years ended December 31, 2005 through 2001, respectively. |
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Restatement of Financial Statements |
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• | “SFAS 133 Long Haul Method” — The incorrect use of the short-cut method for evaluating hedge effectiveness, when the long-haul method should have been used. By using the short-cut method of assessing hedge effectiveness, the Bank did not test for hedge effectiveness or recognize hedge ineffectiveness. | |
• | “Loss of Hedge Accounting” — The incorrect application of hedge accounting to hedging relationships that did not meet the requirements for hedge accounting for various reasons, including lack of sufficient documentation. |
• | “Interest Method” — Application of the interest method relating to effective yield amortization to maturity date of certain discounts, premiums and other carrying value adjustments. Previously this amortization was calculated using either a straight line or other method of calculation. | |
• | “BOB” — Recognition of Banking On Business (BOB) loan receivables and related allowance for credit losses. Historically, due to the nature of this program, these disbursements had been expensed rather than treated as loans. | |
• | “Other” — Other miscellaneous adjustments. |
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Summary of Restatement Effects |
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(In thousands) | |||||
Retained earnings as of January 1, 2003, as previously reported | $ | 65,563 | |||
Adjustments to retained earnings as of January 1, 2003: | |||||
SFAS 133 — Change from Short-Cut Method to Long-Haul Method | 2,349 | ||||
Reversal of SFAS 133 Hedge Accounting | (80,955 | ) | |||
Application of interest method amortization | 1,236 | ||||
Recognition of Banking On Business receivable and related allowance for credit losses | 782 | ||||
Other miscellaneous adjustments | (4,839 | ) | |||
Retained earnings (deficit) as of January 1, 2003, as restated | $ | (15,864 | ) | ||
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Adjustments | ||||||||||||||||||||||||||||
As | SFAS 133 | Loss of | ||||||||||||||||||||||||||
Previously | Long-Haul | Hedge | Interest | As | ||||||||||||||||||||||||
Reported | Method(1) | Acct.(2) | Method(3) | BOB(4) | Other(5) | Restated | ||||||||||||||||||||||
(In millions, except per share amounts) | ||||||||||||||||||||||||||||
Interest income: | ||||||||||||||||||||||||||||
Loans to members | $ | 247.4 | $ | — | $ | — | $ | — | $ | — | $ | 3.7 | $ | 251.1 | ||||||||||||||
Prepayment fees on loans to members | 0.6 | — | — | 0.2 | — | — | 0.8 | |||||||||||||||||||||
Held-to-maturity securities | 85.6 | — | — | (0.1 | ) | — | — | 85.5 | ||||||||||||||||||||
Mortgage loans held for portfolio | 84.8 | — | 22.1 | (0.3 | ) | — | (0.9 | ) | 105.7 | |||||||||||||||||||
Other | 20.4 | — | — | — | — | — | 20.4 | |||||||||||||||||||||
Total interest income | 438.8 | — | 22.1 | (0.2 | ) | — | 2.8 | 463.5 | ||||||||||||||||||||
Interest expense: | ||||||||||||||||||||||||||||
Consolidated obligations | 379.5 | — | — | (0.3 | ) | — | (0.2 | ) | 379.0 | |||||||||||||||||||
Other | 7.2 | 7.2 | ||||||||||||||||||||||||||
Total interest expense | 386.7 | — | — | (0.3 | ) | — | (0.2 | ) | 386.2 | |||||||||||||||||||
Net interest income | 52.1 | — | 22.1 | 0.1 | — | 3.0 | 77.3 | |||||||||||||||||||||
Provision (benefit) for credit losses | 0.4 | — | — | — | 0.2 | — | 0.6 | |||||||||||||||||||||
Net interest income after provision for credit losses | 51.7 | — | 22.1 | 0.1 | (0.2 | ) | 3.0 | 76.7 | ||||||||||||||||||||
Other income (loss) | ||||||||||||||||||||||||||||
Net gain (loss) on derivatives and hedging activities | 8.0 | 1.4 | 29.1 | — | — | (3.6 | ) | 34.9 | ||||||||||||||||||||
Other, net | 0.1 | 0.1 | ||||||||||||||||||||||||||
Total other income (loss) | 8.1 | 1.4 | 29.1 | — | — | (3.6 | ) | 35.0 | ||||||||||||||||||||
Other expense | ||||||||||||||||||||||||||||
Salaries and benefits | 6.9 | — | — | — | — | 0.3 | 7.2 | |||||||||||||||||||||
Other | 6.2 | — | — | — | (0.9 | ) | — | 5.3 | ||||||||||||||||||||
Total other expense | 13.1 | — | — | — | (0.9 | ) | 0.3 | 12.5 | ||||||||||||||||||||
Income before assessments | 46.7 | 1.4 | 51.2 | 0.1 | 0.7 | (0.9 | ) | 99.2 | ||||||||||||||||||||
Affordable Housing Program | 3.8 | 0.1 | 4.2 | — | 0.1 | (0.1 | ) | 8.1 | ||||||||||||||||||||
REFCORP | 8.6 | 0.2 | 9.4 | — | 0.1 | (0.1 | ) | 18.2 | ||||||||||||||||||||
Total assessments | 12.4 | 0.3 | 13.6 | — | 0.2 | (0.2 | ) | 26.3 | ||||||||||||||||||||
Net income | $ | 34.3 | $ | 1.1 | $ | 37.6 | $ | 0.1 | $ | 0.5 | $ | (0.7 | ) | $ | 72.9 | |||||||||||||
Earnings per share | $ | 1.38 | $ | 0.04 | $ | 1.51 | $ | 0.01 | $ | 0.02 | $ | (0.02 | ) | $ | 2.94 | |||||||||||||
(1) | SFAS 133 long-haul method refers to the transition from short-cut method to long-haul method |
(2) | Loss of hedge accounting on transactions where the Bank previously applied SFAS 133 incorrectly |
(3) | Application of effective yield amortization |
(4) | Recognition of Banking On Business receivable and related allowance for credit losses |
(5) | Other miscellaneous adjustments |
36
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Adjustments | ||||||||||||||||||||||||||||
As | SFAS 133 | Loss of | ||||||||||||||||||||||||||
Previously | Long-Haul | Hedge | Interest | As | ||||||||||||||||||||||||
Reported | Method(1) | Acct.(2) | Method(3) | BOB(4) | Other(5) | Restated | ||||||||||||||||||||||
(In millions, except per share amounts) | ||||||||||||||||||||||||||||
Interest income: | ||||||||||||||||||||||||||||
Loans to members | $ | 598.5 | $ | — | $ | — | $ | — | $ | — | $ | 14.1 | $ | 612.6 | ||||||||||||||
Prepayment fees on loans to members | 0.3 | — | — | 0.8 | — | — | 1.1 | |||||||||||||||||||||
Held-to-maturity securities | 302.5 | — | — | (0.2 | ) | — | — | 302.3 | ||||||||||||||||||||
Mortgage loans held for portfolio | 249.9 | — | 159.0 | (1.6 | ) | — | (1.5 | ) | 405.8 | |||||||||||||||||||
Other | 61.5 | — | — | — | — | — | 61.5 | |||||||||||||||||||||
Total interest income | 1,212.7 | — | 159.0 | (1.0 | ) | — | 12.6 | 1,383.3 | ||||||||||||||||||||
Interest expense: | ||||||||||||||||||||||||||||
Consolidated obligations | 1,059.9 | — | — | (1.4 | ) | — | 6.9 | 1,065.4 | ||||||||||||||||||||
Other | 18.2 | — | — | — | — | (0.1 | ) | 18.1 | ||||||||||||||||||||
Total interest expense | 1,078.1 | — | — | (1.4 | ) | — | 6.8 | 1083.5 | ||||||||||||||||||||
Net interest income | 134.6 | — | 159.0 | 0.4 | — | 5.8 | 299.8 | |||||||||||||||||||||
Provision (benefit) for credit losses | 0.2 | — | — | — | 0.1 | — | 0.3 | |||||||||||||||||||||
Net interest income after provision for credit losses | 134.4 | — | 159.0 | 0.4 | (0.1 | ) | 5.8 | 299.5 | ||||||||||||||||||||
Other income (loss) | ||||||||||||||||||||||||||||
Net gain (loss) on derivatives and hedging activities | 31.2 | (4.0 | ) | (130.2 | ) | — | — | (3.3 | ) | (106.3 | ) | |||||||||||||||||
Other, net | 4.4 | — | — | — | — | 0.3 | 4.7 | |||||||||||||||||||||
Total other income (loss) | 35.6 | (4.0 | ) | (130.2 | ) | — | — | (3.0 | ) | (101.6 | ) | |||||||||||||||||
Other expense | ||||||||||||||||||||||||||||
Salaries and benefits | 24.1 | — | — | — | — | 0.8 | 24.9 | |||||||||||||||||||||
Other | 17.1 | — | — | — | 3.7 | 0.2 | 21.0 | |||||||||||||||||||||
Total other expense | 41.2 | — | — | — | 3.7 | 1.0 | 45.9 | |||||||||||||||||||||
Income before assessments | 128.8 | (4.0 | ) | 28.8 | 0.4 | (3.8 | ) | 1.8 | 152.0 | |||||||||||||||||||
Affordable Housing Program | 11.2 | (0.3 | ) | 2.5 | — | (0.3 | ) | 0.1 | 13.2 | |||||||||||||||||||
REFCORP | 25.3 | (0.8 | ) | 5.5 | 0.1 | (0.7 | ) | 0.3 | 29.7 | |||||||||||||||||||
Total assessments | 36.5 | (1.1 | ) | 8.0 | 0.1 | (1.0 | ) | 0.4 | 42.9 | |||||||||||||||||||
Income before cumulative effect of change in accounting principle | 92.3 | (2.9 | ) | 20.8 | 0.3 | (2.8 | ) | 1.4 | 109.1 | |||||||||||||||||||
Cumulative effect of change in accounting principle | 8.4 | — | — | 1.4 | — | — | 9.8 | |||||||||||||||||||||
Net income | $ | 100.7 | $ | (2.9 | ) | $ | 20.8 | $ | 1.7 | $ | (2.8 | ) | $ | 1.4 | $ | 118.9 | ||||||||||||
Earnings per share before cumulative effect of change in acct. principle | $ | 3.51 | $ | (0.11 | ) | $ | 0.80 | $ | 0.01 | $ | (0.10 | ) | $ | 0.05 | $ | 4.16 | ||||||||||||
Cumulative effect of change in accounting principle | 0.32 | — | — | 0.05 | — | — | 0.37 | |||||||||||||||||||||
Earnings per share | $ | 3.83 | $ | (0.11 | ) | $ | 0.80 | $ | 0.06 | $ | (0.10 | ) | $ | 0.05 | $ | 4.53 | ||||||||||||
(1) | SFAS 133 long-haul method refers to the transition from short-cut method to long-haul method |
(2) | Loss of hedge accounting on transactions where the Bank previously applied SFAS 133 incorrectly |
(3) | Application of effective yield amortization |
(4) | Recognition of Banking On Business receivable and related allowance for credit losses |
(5) | Other miscellaneous adjustments |
37
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Adjustments | ||||||||||||||||||||||||||||
As | SFAS 133 | Loss of | ||||||||||||||||||||||||||
Previously | Long-Haul | Hedge | Interest | As | ||||||||||||||||||||||||
Reported | Method(1) | Acct.(2) | Method(3) | BOB(4) | Other(5) | Restated | ||||||||||||||||||||||
(In millions, except per share amounts) | ||||||||||||||||||||||||||||
Interest income: | ||||||||||||||||||||||||||||
Loans to members | $ | 455.6 | $ | — | $ | — | $ | — | $ | — | $ | 8.5 | $ | 464.1 | ||||||||||||||
Prepayment fees on loans to members | 6.9 | — | — | (1.7 | ) | — | — | 5.2 | ||||||||||||||||||||
Held-to-maturity securities | 292.9 | — | — | (0.1 | ) | — | — | 292.8 | ||||||||||||||||||||
Mortgage loans held for portfolio | 186.6 | — | 184.9 | 0.2 | — | — | 371.7 | |||||||||||||||||||||
Other | 60.7 | — | — | — | — | — | 60.7 | |||||||||||||||||||||
Total interest income | 1,002.7 | — | 184.9 | (1.6 | ) | — | 8.5 | 1,194.5 | ||||||||||||||||||||
Interest expense: | ||||||||||||||||||||||||||||
Consolidated obligations | 863.4 | — | — | (1.8 | ) | — | 27.0 | 888.6 | ||||||||||||||||||||
Other | 27.3 | — | — | — | — | (0.1 | ) | 27.2 | ||||||||||||||||||||
Total interest expense | 890.7 | — | — | (1.8 | ) | — | 26.9 | 915.8 | ||||||||||||||||||||
Net interest income | 112.0 | — | 184.9 | 0.2 | — | (18.4 | ) | 278.7 | ||||||||||||||||||||
Provision (benefit) for credit losses | (0.1 | ) | — | — | — | (6.4 | ) | — | (6.5 | ) | ||||||||||||||||||
Net interest income after provision for credit losses | 112.1 | — | 184.9 | 0.2 | 6.4 | (18.4 | ) | 285.2 | ||||||||||||||||||||
Other income (loss) | ||||||||||||||||||||||||||||
Net gain (loss) on derivatives and hedging activities | (39.8 | ) | (1.7 | ) | (135.2 | ) | 0.4 | — | 18.3 | (158.0 | ) | |||||||||||||||||
Other, net | 3.4 | — | — | — | — | 1.0 | 4.4 | |||||||||||||||||||||
Total other income (loss) | (36.4 | ) | (1.7 | ) | (135.2 | ) | 0.4 | — | 19.3 | (153.6 | ) | |||||||||||||||||
Other expense | ||||||||||||||||||||||||||||
Salaries and benefits | 18.5 | — | — | — | — | 1.5 | 20.0 | |||||||||||||||||||||
Other | 19.5 | — | — | — | (1.7 | ) | 0.3 | 18.1 | ||||||||||||||||||||
Total other expense | 38.0 | — | — | — | (1.7 | ) | 1.8 | 38.1 | ||||||||||||||||||||
Income before assessments | 37.7 | (1.7 | ) | 49.7 | 0.6 | 8.1 | (0.9 | ) | 93.5 | |||||||||||||||||||
Affordable Housing Program | 3.1 | (0.1 | ) | 4.0 | 0.1 | 0.7 | (0.1 | ) | 7.7 | |||||||||||||||||||
REFCORP | 6.9 | (0.3 | ) | 9.1 | 0.1 | 1.4 | (0.1 | ) | 17.1 | |||||||||||||||||||
Total assessments | 10.0 | (0.4 | ) | 13.1 | 0.2 | 2.1 | (0.2 | ) | 24.8 | |||||||||||||||||||
Net income | $ | 27.7 | $ | (1.3 | ) | $ | 36.6 | $ | 0.4 | $ | 6.0 | $ | (0.7 | ) | $ | 68.7 | ||||||||||||
Earnings per share | $ | 1.21 | $ | (0.05 | ) | $ | 1.58 | $ | 0.02 | $ | 0.26 | $ | (0.03 | ) | $ | 2.99 | ||||||||||||
(1) | SFAS 133 long-haul method refers to the transition from short-cut method to long-haul method |
(2) | Loss of hedge accounting on transactions where the Bank previously applied SFAS 133 incorrectly |
(3) | Application of effective yield amortization |
(4) | Recognition of Banking On Business receivable and related allowance for credit losses |
(5) | Other miscellaneous adjustments |
38
Table of Contents
Adjustments | ||||||||||||||||||||||||||||
Loss | ||||||||||||||||||||||||||||
As | SFAS 133 | of | ||||||||||||||||||||||||||
Previously | Long-Haul | Hedge | Interest | As | ||||||||||||||||||||||||
Reported | Method(1) | Acct.(2) | Method(3) | BOB(4) | Other(5) | Restated | ||||||||||||||||||||||
(In millions, except par value) | ||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||
Loans to members | $ | 37,766.9 | $ | (1.0 | ) | $ | (4.7 | ) | $ | 0.2 | $ | — | $ | — | $ | 37,761.4 | ||||||||||||
Available-for-sale securities | 557.9 | — | — | — | — | 4.4 | 562.3 | |||||||||||||||||||||
Held-to-maturity securities | 8,738.0 | — | — | (1.1 | ) | — | — | 8,736.9 | ||||||||||||||||||||
Mortgage loans held for portfolio | 8,780.6 | — | 31.5 | (0.4 | ) | — | — | 8,811.7 | ||||||||||||||||||||
Other | 3,992.3 | — | — | 6.9 | 6.6 | (325.1 | ) | 3,680.7 | ||||||||||||||||||||
Total assets | $ | 59,835.7 | (1.0 | ) | 26.8 | 5.6 | 6.6 | (320.7 | ) | $ | 59,553.0 | |||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||
Consolidated obligations, net | $ | 55,343.4 | — | 5.7 | — | — | (322.5 | ) | $ | 55,026.6 | ||||||||||||||||||
Affordable Housing Program | 27.0 | (0.1 | ) | 1.5 | 0.4 | 0.5 | (0.5 | ) | 28.8 | |||||||||||||||||||
Payable to REFCORP | 9.8 | (0.2 | ) | 3.3 | 0.8 | 1.1 | (1.0 | ) | 13.8 | |||||||||||||||||||
Derivative liabilities | 344.1 | — | — | — | — | 5.8 | 349.9 | |||||||||||||||||||||
Other | 1,522.2 | — | — | — | 0.5 | 1.8 | 1,524.5 | |||||||||||||||||||||
Total liabilities | 57,246.5 | (0.3 | ) | 10.5 | 1.2 | 2.1 | (316.4 | ) | 56,943.6 | |||||||||||||||||||
Capital | ||||||||||||||||||||||||||||
Capital stock — putable ($100 par value) | 2,487.3 | — | — | — | — | — | 2,487.3 | |||||||||||||||||||||
Retained earnings | 116.4 | (0.7 | ) | 13.3 | 3.5 | 4.5 | (4.3 | ) | 132.7 | |||||||||||||||||||
Accumulated other comprehensive income (loss) | (14.5 | ) | — | 3.0 | 0.9 | — | — | (10.6 | ) | |||||||||||||||||||
Total capital | 2,589.2 | (0.7 | ) | 16.3 | 4.4 | 4.5 | (4.3 | ) | 2,609.4 | |||||||||||||||||||
Total liabilities and capital | $ | 59,835.7 | $ | (1.0 | ) | $ | 26.8 | $ | 5.6 | $ | 6.6 | $ | (320.7 | ) | $ | 59,553.0 | ||||||||||||
(1) | SFAS 133 long-haul method refers to the transition from short-cut method to long-haul method |
(2) | Loss of hedge accounting on transactions where the Bank previously applied SFAS 133 incorrectly |
(3) | Application of effective yield amortization |
(4) | Recognition of Banking On Business receivable and related allowance for credit losses |
(5) | Other miscellaneous adjustments |
39
Table of Contents
Adjustments | ||||||||||||||||||||||||||||
Loss | ||||||||||||||||||||||||||||
As | SFAS 133 | of | ||||||||||||||||||||||||||
Previously | Long-Haul | Hedge | Interest | As | ||||||||||||||||||||||||
Reported | Method(1) | Acct.(2) | Method(3) | BOB(4) | Other(5) | Restated | ||||||||||||||||||||||
(In millions, except per value) | ||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||
Loans to members | $ | 38,989.1 | $ | (2.4 | ) | $ | (6.4 | ) | $ | — | $ | — | $ | — | $ | 38,980.3 | ||||||||||||
Available-for-sale securities | 626.6 | — | — | — | — | 4.5 | 631.1 | |||||||||||||||||||||
Held-to-maturity securities | 8,386.4 | — | — | (1.0 | ) | — | — | 8,385.4 | ||||||||||||||||||||
Mortgage loans held for portfolio | 8,664.6 | — | (19.4 | ) | (0.2 | ) | — | — | 8,645.0 | |||||||||||||||||||
Other | 4,732.2 | — | — | 6.7 | 6.8 | (318.9 | ) | 4,426.8 | ||||||||||||||||||||
Total assets | $ | 61,398.9 | (2.4 | ) | (25.8 | ) | 5.5 | 6.8 | (314.4 | ) | $ | 61,068.6 | ||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||
Consolidated obligations, net | $ | 56,544.1 | — | 2.4 | — | — | (311.1 | ) | $ | 56,235.4 | ||||||||||||||||||
Affordable Housing Program | 23.4 | (0.2 | ) | (2.6 | ) | 0.3 | 0.4 | (0.4 | ) | 20.9 | ||||||||||||||||||
Payable to REFCORP | 8.9 | (0.4 | ) | (5.9 | ) | 0.9 | 1.0 | (1.1 | ) | 3.4 | ||||||||||||||||||
Derivative liabilities | 640.2 | — | — | — | — | 1.1 | 641.3 | |||||||||||||||||||||
Other | 1,403.7 | — | — | — | 1.4 | 1.2 | 1,406.3 | |||||||||||||||||||||
Total liabilities | 58,620.3 | (0.6 | ) | (6.1 | ) | 1.2 | 2.8 | (310.3 | ) | $ | 58,307.3 | |||||||||||||||||
Capital | ||||||||||||||||||||||||||||
Capital stock — putable ($100 par value) | 2,695.8 | — | — | — | — | — | 2,695.8 | |||||||||||||||||||||
Retained earnings | 99.5 | (1.8 | ) | (23.7 | ) | 3.4 | 4.0 | (4.2 | ) | 77.2 | ||||||||||||||||||
Accumulated other comprehensive income (loss) | (16.7 | ) | — | 4.0 | 0.9 | — | 0.1 | (11.7 | ) | |||||||||||||||||||
Total capital | 2,778.6 | (1.8 | ) | (19.7 | ) | 4.3 | 4.0 | (4.1 | ) | 2,761.3 | ||||||||||||||||||
Total liabilities and capital | $ | 61,398.9 | $ | (2.4 | ) | $ | (25.8 | ) | $ | 5.5 | $ | 6.8 | $ | (314.4 | ) | $ | 61,068.6 | |||||||||||
(1) | SFAS 133 long-haul method refers to the transition from short-cut method to long-haul method |
(2) | Loss of hedge accounting on transactions where the Bank previously applied SFAS 133 incorrectly |
(3) | Application of effective yield amortization |
(4) | Recognition of Banking On Business receivable and related allowance for credit losses |
(5) | Other miscellaneous adjustments |
Overview |
40
Table of Contents
Key Determinants of Financial Performance |
2005 | 2004 | 2003 | |||||||||||
Earnings on Capital | |||||||||||||
Average capital balance (in millions) | $ | 2,995 | $ | 2,664 | $ | 2,280 | |||||||
Benefit of interest free funds to net interest margin | 0.17 | % | 0.12 | % | 0.14 | % | |||||||
Average six-month U.S. Treasury bill yield for the year | 3.10 | % | 1.36 | % | 1.16 | % | |||||||
Net Interest Spread | |||||||||||||
Net interest spread | 0.30 | % | 0.40 | % | 0.41 | % | |||||||
Net interest margin | 0.47 | % | 0.52 | % | 0.55 | % | |||||||
Leverage | |||||||||||||
Assets to capital ratio at December 31 | 22.4 times | 22.1 times | 22.8 times | ||||||||||
Duration | |||||||||||||
Duration of equity at December 31 in the base case | 2.7 years | 1.6 years | 2.8 years | ||||||||||
Interest Rates and Yield Curve Shifts | |||||||||||||
Average ten-year U.S. Treasury note yield | 4.26 | % | 4.25 | % | 3.99 | % | |||||||
Net mortgage loan premium at period-end (in thousands) | $ | 69,611 | $ | 96,208 | $ | 122,338 | |||||||
41
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42
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43
Table of Contents
Key Business Strategies and 2006 Outlook |
2005 | 2004 | 2003 | |||||||||||
Increase Loans to Members | |||||||||||||
Average loans to members balance (in millions) | $ | 44,225 | $ | 37,653 | $ | 32,280 | |||||||
Moderate MPF Activity | |||||||||||||
MPF loan volume purchased and retained (in millions at par) | $ | 934 | $ | 2,843 | $ | 6,568 | |||||||
Average mortgage loans balance (in millions) | $ | 8,312 | $ | 8,577 | $ | 8,053 | |||||||
Use Derivatives Effectively | |||||||||||||
Notional value of derivatives that qualify for hedge accounting (in millions) | $ | 64,015 | $ | 47,569 | $ | 40,289 | |||||||
Notional value of derivatives that do not qualify for hedge accounting (in millions) | $ | 3,982 | $ | 10,773 | $ | 13,973 | |||||||
Lower Cost of Liabilities | |||||||||||||
Fixed-rate bullet unhedged bonds at period-end (in millions) | $ | 492 | $ | 943 | $ | 2,801 | |||||||
Weighted average coupon | 6.65 | % | 6.73 | % | 6.32 | % | |||||||
Increase Retained Earnings | |||||||||||||
Retained earnings, end of period balance (in millions) | $ | 188 | $ | 77 | $ | 3 | |||||||
Return on average capital | 6.41 | % | 4.46 | % | 3.01 | % | |||||||
Weighted average dividend rate paid | 2.82 | % | 1.69 | % | 2.20 | % | |||||||
44
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45
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Critical Accounting Policies |
46
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47
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48
Table of Contents
Earnings Performance |
Summary of Financial Results |
49
Table of Contents
Net Interest Income |
Years-ended December 31, | ||||||||||||||||||||||||||||||||||||
2005 | 2004 | 2003 | ||||||||||||||||||||||||||||||||||
Interest | Avg. | Interest | Avg. | Interest | Avg. | |||||||||||||||||||||||||||||||
Average | Income/ | Rate | Average | Income/ | Rate | Average | Income/ | Rate | ||||||||||||||||||||||||||||
Balance | Expense | (%) | Balance | Expense | (%) | Balance | Expense | (%) | ||||||||||||||||||||||||||||
(Dollars in millions) | ||||||||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||
Federal funds sold(1) | $ | 1,744 | $ | 57 | 3.28 | $ | 2,048 | $ | 28 | 1.39 | $ | 1,441 | $ | 16 | 1.11 | |||||||||||||||||||||
Interest-bearing deposits | 1,711 | 62 | 3.60 | 877 | 12 | 1.39 | 710 | 8 | 1.15 | |||||||||||||||||||||||||||
Investment securities(2) | 9,709 | 402 | 4.14 | 8,549 | 323 | 3.78 | 8,639 | 329 | 3.81 | |||||||||||||||||||||||||||
Loans to members(3) | 44,225 | 1,529 | 3.46 | 37,653 | 614 | 1.63 | 32,280 | 469 | 1.45 | |||||||||||||||||||||||||||
Mortgage loans held for portfolio(3) | 8,312 | 402 | 4.83 | 8,577 | 406 | 4.73 | 8,053 | 372 | 4.62 | |||||||||||||||||||||||||||
Total interest-earning assets | 65,701 | 2,452 | 3.73 | 57,704 | 1,383 | 2.40 | 51,123 | 1,194 | 2.34 | |||||||||||||||||||||||||||
Allowance for credit losses | (5 | ) | (4 | ) | (10 | ) | ||||||||||||||||||||||||||||||
Other assets | 610 | 459 | 519 | |||||||||||||||||||||||||||||||||
Total assets | $ | 66,306 | $ | 58,159 | $ | 51,632 | ||||||||||||||||||||||||||||||
Liabilities and capital | ||||||||||||||||||||||||||||||||||||
Deposits | $ | 1,060 | 31 | 2.90 | $ | 1,309 | 15 | 1.12 | $ | 2,213 | 21 | 0.94 | ||||||||||||||||||||||||
Consolidated obligation discount notes | 16,410 | 528 | 3.22 | 14,741 | 193 | 1.31 | 10,926 | 122 | 1.12 | |||||||||||||||||||||||||||
Consolidated obligation bonds | 44,858 | 1,579 | 3.52 | 37,891 | 872 | 2.30 | 33,850 | 766 | 2.26 | |||||||||||||||||||||||||||
Other borrowings | 120 | 4 | 3.00 | 234 | 3 | 1.46 | 543 | 6 | 1.17 | |||||||||||||||||||||||||||
Total interest-bearing liabilities | 62,448 | 2,142 | 3.43 | 54,175 | 1,083 | 2.00 | 47,532 | 915 | 1.93 | |||||||||||||||||||||||||||
Other liabilities | 863 | 1,320 | 1,820 | |||||||||||||||||||||||||||||||||
Total capital | 2,995 | 2,664 | 2,280 | |||||||||||||||||||||||||||||||||
Total liabilities and capital | $ | 66,306 | $ | 58,159 | $ | 51,632 | ||||||||||||||||||||||||||||||
Net interest spread | 0.30 | 0.40 | 0.41 | |||||||||||||||||||||||||||||||||
Benefit of net interest-free funds | 0.17 | 0.12 | 0.14 | |||||||||||||||||||||||||||||||||
Net interest income/net interest margin | $ | 310 | 0.47 | $ | 300 | 0.52 | $ | 279 | 0.55 | |||||||||||||||||||||||||||
(1) | The average balance of Federal funds sold, related interest income and average yield calculations include loans to other FHLBanks. |
(2) | The average balance of investment securities available-for-sale represents fair values. Related yield, however, is calculated based on cost. |
(3) | Nonaccrual loans are included in average balances in determining the average rate. |
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2005 Compared to 2004(1) | 2004 Compared to 2003(1) | |||||||||||||||||||||||
Volume | Rate | Total | Volume | Rate | Total | |||||||||||||||||||
(In millions) | ||||||||||||||||||||||||
Increase (decrease) in interest income due to: | ||||||||||||||||||||||||
Federal funds sold | $ | (5 | ) | $ | 34 | $ | 29 | $ | 7 | $ | 5 | $ | 12 | |||||||||||
Interest-bearing deposits | 19 | 31 | 50 | 2 | 2 | 4 | ||||||||||||||||||
Investment securities | 46 | 33 | 79 | (3 | ) | (3 | ) | (6 | ) | |||||||||||||||
Loans to members | 123 | 792 | 915 | 83 | 62 | 145 | ||||||||||||||||||
Mortgage loans held for portfolio | (12 | ) | 8 | (4 | ) | 25 | 9 | 34 | ||||||||||||||||
Total | 1,069 | 189 | ||||||||||||||||||||||
Increase (decrease) in interest expense due to: | ||||||||||||||||||||||||
Deposits | (3 | ) | 19 | 16 | (10 | ) | 4 | (6 | ) | |||||||||||||||
Consolidated obligation discount notes | 24 | 311 | 335 | 48 | 23 | 71 | ||||||||||||||||||
Consolidated obligation bonds | 182 | 525 | 707 | 92 | 14 | 106 | ||||||||||||||||||
Other borrowings | $ | (2 | ) | $ | 3 | 1 | $ | (4 | ) | $ | 1 | (3 | ) | |||||||||||
Total | 1,059 | 168 | ||||||||||||||||||||||
Increase (decrease) in net interest income | $ | 10 | $ | 21 | ||||||||||||||||||||
(1) | The changes for each category of interest income and expense are divided between the portion of change attributed to volume or rate for that category. The change in rate/ volume variance has been allocated to the volume and rate variances based on their relative sizes. |
51
Table of Contents
Interest Inc./ | Avg. | Interest Inc./ | Avg. | Incr./ | ||||||||||||||||||||||||
Average | Exp. With | Rate | Exp. Without | Rate | Impact of | (Decr.) | ||||||||||||||||||||||
Balance | Derivatives | (%) | Derivatives | (%) | Derivatives | (%) | ||||||||||||||||||||||
(Dollars in millions) | ||||||||||||||||||||||||||||
2005 | ||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||
Federal funds sold | $ | 1,744 | $ | 57 | 3.28 | $ | 57 | 3.28 | — | — | ||||||||||||||||||
Interest-bearing deposits | 1,711 | 62 | 3.60 | 62 | 3.60 | — | — | |||||||||||||||||||||
Investment securities | 9,709 | 402 | 4.14 | 402 | 4.14 | — | — | |||||||||||||||||||||
Loans to members | 44,225 | 1,529 | 3.46 | 1,724 | 3.90 | $ | (195 | ) | (0.44 | ) | ||||||||||||||||||
Mortgage loans held for portfolio | 8,312 | 402 | 4.83 | 411 | 4.94 | (9 | ) | (0.11 | ) | |||||||||||||||||||
Total interest-earning assets | 65,701 | 2,452 | 3.73 | 2,656 | 4.04 | (204 | ) | (0.31 | ) | |||||||||||||||||||
Allowance for credit losses | (5 | ) | ||||||||||||||||||||||||||
Other assets | 610 | |||||||||||||||||||||||||||
Total assets | $ | 66,306 | ||||||||||||||||||||||||||
Liabilities and capital | ||||||||||||||||||||||||||||
Deposits | $ | 1,060 | 31 | 2.90 | 31 | 2.90 | — | — | ||||||||||||||||||||
Consolidated obligation discount notes | 16,410 | 528 | 3.22 | 528 | 3.22 | — | — | |||||||||||||||||||||
Consolidated obligation Bonds | 44,858 | 1,579 | 3.52 | 1,675 | 3.74 | (96 | ) | (0.22 | ) | |||||||||||||||||||
Other borrowings | 120 | 4 | 3.00 | 4 | 3.00 | |||||||||||||||||||||||
Total interest-bearing liabilities | 62,448 | 2,142 | 3.43 | 2,238 | 3.58 | (96 | ) | (0.15 | ) | |||||||||||||||||||
Other liabilities | 863 | |||||||||||||||||||||||||||
Total capital | 2,995 | |||||||||||||||||||||||||||
Total liabilities and capital | $ | 66,306 | ||||||||||||||||||||||||||
Net interest income/ interest rate spread | $ | 310 | 0.30 | $ | 418 | 0.46 | $ | (108 | ) | (0.16 | ) | |||||||||||||||||
52
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Interest Inc./ | Avg. | Interest Inc./ | Avg. | Incr./ | ||||||||||||||||||||||||
Average | Exp. With | Rate | Exp. Without | Rate | Impact of | (Decr.) | ||||||||||||||||||||||
Balance | Derivatives | (%) | Derivatives | (%) | Derivatives | (%) | ||||||||||||||||||||||
(Dollars in millions) | ||||||||||||||||||||||||||||
2004 | ||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||
Federal funds sold | $ | 2,048 | $ | 28 | 1.39 | $ | 28 | 1.39 | — | — | ||||||||||||||||||
Interest-bearing deposits | 877 | 12 | 1.39 | 12 | 1.39 | — | — | |||||||||||||||||||||
Investments securities | 8,549 | 323 | 3.78 | 323 | 3.78 | — | — | |||||||||||||||||||||
Loans to members | 37,653 | 614 | 1.63 | 1,221 | 3.24 | $ | (607 | ) | (1.61 | ) | ||||||||||||||||||
Mortgage loans held for portfolio | 8,577 | 406 | 4.73 | 419 | 4.88 | (13 | ) | (0.15 | ) | |||||||||||||||||||
Total interest-earning assets | 57,704 | 1,383 | 2.40 | 2,003 | 3.47 | (620 | ) | (1.07 | ) | |||||||||||||||||||
Allowance for credit losses | (4 | ) | ||||||||||||||||||||||||||
Other assets | 459 | |||||||||||||||||||||||||||
Total assets | $ | 58,159 | ||||||||||||||||||||||||||
Liabilities and capital | ||||||||||||||||||||||||||||
Deposits | $ | 1,309 | 15 | 1.12 | 15 | 1.12 | — | — | ||||||||||||||||||||
Consolidated obligation discount notes | 14,741 | 193 | 1.31 | 193 | 1.31 | — | — | |||||||||||||||||||||
Consolidated obligation Bonds | 37,891 | 872 | 2.30 | 1,345 | 3.55 | (473 | ) | (1.25 | ) | |||||||||||||||||||
Other borrowings | 234 | 3 | 1.46 | 3 | 1.46 | |||||||||||||||||||||||
Total interest-bearing liabilities | 54,175 | 1,083 | 2.00 | 1,556 | 2.87 | (473 | ) | (0.87 | ) | |||||||||||||||||||
Other liabilities | 1,320 | |||||||||||||||||||||||||||
Total capital | 2,664 | |||||||||||||||||||||||||||
Total liabilities and capital | $ | 58,159 | ||||||||||||||||||||||||||
Net interest income/ interest rate spread | $ | 300 | 0.40 | $ | 447 | 0.60 | $ | (147 | ) | (0.20 | ) | |||||||||||||||||
53
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Interest Inc./ | Avg. | Interest Inc./ | Avg. | Incr./ | ||||||||||||||||||||||||
Average | Exp. With | Rate | Exp. Without | Rate | Impact of | (Decr.) | ||||||||||||||||||||||
Balance | Derivatives | (%) | Derivatives | (%) | Derivatives | (%) | ||||||||||||||||||||||
(Dollars in millions) | ||||||||||||||||||||||||||||
2003 | ||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||
Federal funds sold | $ | 1,441 | $ | 16 | 1.11 | $ | 16 | 1.11 | — | — | ||||||||||||||||||
Interest-bearing deposits | 710 | 8 | 1.15 | 8 | 1.15 | — | — | |||||||||||||||||||||
Investment securities | 8,639 | 329 | 3.81 | 329 | 3.81 | — | — | |||||||||||||||||||||
Loans to members | 32,280 | 469 | 1.45 | 1,109 | 3.43 | $ | (640 | ) | (1.98 | ) | ||||||||||||||||||
Mortgage loans held for portfolio | 8,053 | 372 | 4.62 | 385 | 4.78 | (13 | ) | (0.16 | ) | |||||||||||||||||||
Total interest-earning assets | 51,123 | 1,194 | 2.34 | 1,847 | 3.61 | (653 | ) | (1.27 | ) | |||||||||||||||||||
Allowance for credit losses | (10 | ) | ||||||||||||||||||||||||||
Other assets | 519 | |||||||||||||||||||||||||||
Total assets | $ | 51,632 | ||||||||||||||||||||||||||
Liabilities and capital | ||||||||||||||||||||||||||||
Deposits | $ | 2,213 | 21 | 0.94 | 21 | 0.94 | — | — | ||||||||||||||||||||
Consolidated obligation discount notes | 10,926 | 122 | 1.12 | 122 | 1.12 | — | — | |||||||||||||||||||||
Consolidated obligation bonds | 33,850 | 766 | 2.26 | 1,332 | 3.94 | (566 | ) | (1.68 | ) | |||||||||||||||||||
Other borrowings | 543 | 6 | 1.17 | 6 | 1.17 | |||||||||||||||||||||||
Total interest-bearing liabilities | 47,532 | 915 | 1.93 | 1,481 | 3.12 | (566 | ) | (1.19 | ) | |||||||||||||||||||
Other liabilities | 1,820 | |||||||||||||||||||||||||||
Total capital | 2,280 | |||||||||||||||||||||||||||
Total liabilities and capital | $ | 51,632 | ||||||||||||||||||||||||||
Net interest income/ interest rate spread | $ | 279 | 0.41 | $ | 366 | 0.50 | $ | (87 | ) | (0.09 | ) | |||||||||||||||||
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Year-Ended December 31, | ||||||||||||
2005 | 2004 | 2003 | ||||||||||
(Dollars in thousands) | ||||||||||||
Net premium/ (discount) expense for the period | $ | 29,128 | $ | 40,374 | $ | 62,825 | ||||||
Mortgage loan related net premium balance at period-end | $ | 69,611 | $ | 96,208 | $ | 122,338 | ||||||
Mortgage loan par balance at period-end | $ | 7,558,972 | $ | 8,514,395 | $ | 7,844,466 | ||||||
Premium balance as a percent of mortgage loans | 0.92 | % | 1.13 | % | 1.56 | % |
Weighted | |||||||||
Average | |||||||||
Amount | Coupon | ||||||||
(In thousands) | |||||||||
Balance, December 31, 2003 | $ | 2,801,000 | 6.32 | % | |||||
Less: Called or matured | 1,858,000 | 6.11 | |||||||
Balance, December 31, 2004 | 943,000 | 6.73 | |||||||
Less: Called or matured | 451,000 | 6.82 | |||||||
Balance, December 31, 2005 | $ | 492,000 | 6.65 | % | |||||
2004 compared with 2003 |
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Table of Contents
Other Income (Loss) |
Year-Ended December 31, | % Change | % Change | ||||||||||||||||||
2005/ | 2004/ | |||||||||||||||||||
2005 | 2004 | 2003 | 2004 | 2003 | ||||||||||||||||
(In thousands) | ||||||||||||||||||||
Services fees | $ | 4,007 | $ | 4,127 | $ | 6,062 | (2.9 | ) | (31.9 | ) | ||||||||||
Net gain (loss) on sale of trading securities | (999 | ) | (3,286 | ) | (12,310 | ) | 69.6 | 73.3 | ||||||||||||
Net gain on sale of available-for-sale securities | — | — | 4,090 | — | (100.0 | ) | ||||||||||||||
Net gain on sale of held-to-maturity securities | — | 2,576 | 2,492 | (100.0 | ) | 3.4 | ||||||||||||||
Net gain (loss) on derivatives and hedging activities | 4,185 | (106,327 | ) | (158,005 | ) | 103.9 | 32.7 | |||||||||||||
Other, net | 209 | 1,261 | 4,087 | (83.4 | ) | (69.2 | ) | |||||||||||||
Total other income (loss) | $ | 7,402 | (101,649 | ) | $ | (153,584 | ) | 107.3 | 33.8 | |||||||||||
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Table of Contents
Year-Ended December 31, | ||||||||||||||
Type of Hedge | Asset/ Liability Hedged | 2005 | 2004 | 2003 | ||||||||||
(In thousands) | ||||||||||||||
Fair value hedge ineffectiveness | Loans to members | $ | 105 | $ | (17 | ) | $ | (3,084 | ) | |||||
Mortgage loans held for portfolio | — | 339 | 6,676 | |||||||||||
Consolidated obligations | 6,525 | 17,424 | 27,067 | |||||||||||
Total fair value hedge ineffectiveness | 6,630 | 17,746 | 30,659 | |||||||||||
Cash flow hedge ineffectiveness | Consolidated obligations | — | 62 | (2,980 | ) | |||||||||
Economic hedges | (714 | ) | (126,101 | ) | (188,975 | ) | ||||||||
Intermediary transactions | (483 | ) | 383 | 533 | ||||||||||
Other | (1,248 | ) | 1,583 | 2,758 | ||||||||||
Net gain (loss) on derivatives and hedging activities | $ | 4,185 | $ | (106,327 | ) | $ | (158,005 | ) | ||||||
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Table of Contents
Year-Ended December 31, | ||||||||||||
2005 | 2004 | 2003 | ||||||||||
(In thousands) | ||||||||||||
Contracts with members — fair value change | $ | (2,328 | ) | $ | (1,353 | ) | $ | 2,709 | ||||
Contracts with counterparties — fair value change | 1,721 | 1,551 | (2,309 | ) | ||||||||
Net fair value change | (607 | ) | 198 | 400 | ||||||||
Interest income due to spread | 124 | 185 | 133 | |||||||||
Net gain (loss) on intermediary derivative activities | $ | (483 | ) | $ | 383 | $ | 533 | |||||
58
Table of Contents
2004 compared with 2003 |
59
Table of Contents
Other Expense |
Year-Ended December 31, | % Change | % Change | ||||||||||||||||||
2005/ | 2004/ | |||||||||||||||||||
2005 | 2004 | 2003 | 2004 | 2003 | ||||||||||||||||
(In thousands) | ||||||||||||||||||||
Operating — salaries and benefits | $ | 30,792 | $ | 24,925 | $ | 20,045 | 23.5 | 24.3 | ||||||||||||
Operating — occupancy | 2,594 | 2,385 | 2,248 | 8.8 | 6.1 | |||||||||||||||
Operating — other | 16,070 | 15,029 | 13,318 | 6.9 | 12.8 | |||||||||||||||
Finance Board | 2,206 | 1,743 | 1,294 | 26.6 | 34.7 | |||||||||||||||
Office of Finance | 2,064 | 1,716 | 1,320 | 20.3 | 30.0 | |||||||||||||||
Total other expenses | $ | 53,726 | $ | 45,798 | $ | 38,225 | 17.3 | 19.8 | ||||||||||||
2004 compared with 2003 |
Affordable Housing Program (AHP) and Resolution Funding Corp. (REFCORP) Assessments |
Year-Ended December 31, | % Change | % Change | ||||||||||||||||||
2005/ | 2004/ | |||||||||||||||||||
2005 | 2004 | 2003 | 2004 | 2003 | ||||||||||||||||
(In thousands) | ||||||||||||||||||||
Affordable Housing Program (AHP) | $ | 21,374 | $ | 13,234 | $ | 7,632 | 61.5 | 73.4 | ||||||||||||
REFCORP | 47,951 | 29,714 | 17,173 | 61.4 | 73.0 | |||||||||||||||
Total assessments | $ | 69,325 | $ | 42,948 | $ | 24,805 | 61.4 | 73.1 | ||||||||||||
60
Table of Contents
Financial Condition |
61
Table of Contents
Member Asset Size | 2005 | 2004 | ||||||
Less than $100 million | 61 | 52 | ||||||
Between $100 and $500 million | 140 | 143 | ||||||
Between $500 million and $1 billion | 39 | 38 | ||||||
Between $1 and $5 billion | 28 | 31 | ||||||
Greater than $5 billion | 12 | 11 | ||||||
Total borrowing members | 280 | 275 | ||||||
Total membership | 334 | 341 | ||||||
Percent of members borrowing | 83.8 | % | 80.6 | % | ||||
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Table of Contents
Year-ended December 31, | ||||||||||||||||||||
2005 | 2004 | 2003 | 2002 | 2001 | ||||||||||||||||
(In thousands) | ||||||||||||||||||||
Loans to members | $ | 47,492,959 | $ | 38,980,353 | $ | 34,662,219 | $ | 29,250,691 | $ | 29,311,173 | ||||||||||
Mortgage loans held for portfolio, net(1) | 7,651,914 | 8,644,995 | 8,015,647 | 4,852,816 | 1,834,619 | |||||||||||||||
Nonaccrual mortgage loans | 20,304 | 13,607 | 10,290 | 1,814 | 452 | |||||||||||||||
Mortgage loans past due 90 days or more and still accruing interest(2) | 21,018 | 26,175 | 33,385 | 9,604 | 67,176 | |||||||||||||||
Banking on Business (BOB) loans, net(3) | 10,653 | 9,545 | 8,487 | — | — |
(1) | All of the real estate mortgages held in portfolio by the Bank are fixed-rate. Balances are reflected net of allowance for credit losses. |
(2) | Government loans (e.g., FHA, VA) continue to accrue after 90 days or more delinquent. |
(3) | Due to the nature of the program, all Banking on Business loans are considered nonaccrual loans. Balances are reflected net of allowance for credit losses |
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Table of Contents
As of December 31, | |||||||||||||
2005 | 2004 | 2003 | |||||||||||
(In thousands) | |||||||||||||
Trading securities: | |||||||||||||
State or local housing agency obligations | — | $ | 222,000 | $ | 222,000 | ||||||||
U.S. government-sponsored enterprises | — | — | — | ||||||||||
Mortgage-backed securities | — | 89,306 | 132,626 | ||||||||||
Total trading securities | — | $ | 311,306 | $ | 354,626 | ||||||||
Available-for-sale securities: | |||||||||||||
Equity mutual funds | $ | 4,773 | $ | 4,533 | $ | 3,698 | |||||||
Mortgage-backed securities | 326,524 | 626,606 | 357,515 | ||||||||||
Total available-for-sale securities | $ | 331,297 | $ | 631,139 | $ | 361,213 | |||||||
Held-to-maturity securities: | |||||||||||||
Commercial paper | $ | 149,405 | $ | 69,940 | $ | 239,889 | |||||||
State or local housing agency obligations | 815,533 | 553,135 | 613,664 | ||||||||||
Other U.S. obligations | 3,663 | 10,597 | 17,039 | ||||||||||
U.S. government-sponsored enterprises | 556,260 | 200,000 | 679,573 | ||||||||||
Mortgage-backed securities | 9,509,769 | 7,551,731 | 5,893,619 | ||||||||||
Total held-to-maturity securities | $ | 11,034,630 | $ | 8,385,403 | $ | 7,443,784 | |||||||
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Table of Contents
Book | ||||||||||
Value | Yield | |||||||||
(Dollars in thousands) | ||||||||||
Available-for-sale securities: | ||||||||||
Equity mutual funds | $ | 4,773 | n/a | |||||||
Mortgage-backed securities | 326,524 | 4.52 | % | |||||||
Total available-for-sale securities | $ | 331,297 | 4.52 | % | ||||||
Held-to-maturity securities: | ||||||||||
Commercial paper due within one year | $ | 149,405 | 4.38 | % | ||||||
State or local housing agency obligations: | ||||||||||
After one but within five years | 307,203 | 4.03 | % | |||||||
After five but within ten years | 99,705 | 5.54 | % | |||||||
After ten years | 408,625 | 4.65 | % | |||||||
Total state or local housing agency obligations | 815,533 | 4.53 | % | |||||||
Other U.S. obligations due within one year | $ | 3,663 | 7.54 | % | ||||||
U.S. government-sponsored enterprises: | ||||||||||
Within one year | 400,000 | 4.82 | % | |||||||
After one but within five years | 156,260 | 4.17 | % | |||||||
Total U.S. government-sponsored enterprises | 556,260 | 4.64 | % | |||||||
Mortgage-backed securities | 9,509,769 | 4.37 | % | |||||||
Total held-to-maturity securities | $ | 11,034,630 | 4.40 | % | ||||||
Total | Total | |||||||
Book Value | Fair Value | |||||||
(In thousands) | ||||||||
Federal Home Loan Mortgage | $ | 1,189,554 | $ | 1,158,860 | ||||
Wells Fargo Mortgage Backed Securities Trust | 1,051,011 | 1,038,871 | ||||||
J.P. Morgan Mortgage Trust | 731,322 | 718,793 | ||||||
Countrywide Home Loans | 593,228 | 577,684 | ||||||
Federal National Mortgage Association | 557,457 | 526,905 | ||||||
Structured Asset Securities Corporation | 479,240 | 465,078 | ||||||
Citigroup Mortgage Loan Trust | 463,385 | 460,168 | ||||||
Bear Stearns Adjustable Rate Mortgages | 458,378 | 452,647 | ||||||
Washington Mutual | 409,993 | 395,553 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | 383,624 | 375,457 | ||||||
Lehman ABS Corporation | 343,603 | 330,996 | ||||||
Total | $ | 6,660,795 | $ | 6,501,012 | ||||
65
Table of Contents
Over | Over | |||||||||||||||
3 Months | 6 Months | |||||||||||||||
3 Months | But Within | But Within | ||||||||||||||
By Remaining Maturity at December 31, 2005 | or Less | 6 Months | 12 Months | Total | ||||||||||||
(In thousands) | ||||||||||||||||
Time certificates of deposit $(100,000 or more) | $ | 5,597 | $ | 4,500 | $ | — | $ | 10,097 | ||||||||
Year-ended December 31, | ||||||||||||||
2005 | 2004 | 2003 | ||||||||||||
(Dollars in thousands) | ||||||||||||||
Federal funds purchased and loans from other FHLBanks: | ||||||||||||||
Outstanding balance at year-end | — | — | $ | 60,000 | ||||||||||
Weighted average rate at year-end | — | — | 0.91 | % | ||||||||||
Daily average outstanding balance for the year | $ | 91,533 | $ | 226,018 | $ | 354,285 | ||||||||
Weighted average rate for the year | 3.02 | % | 1.38 | % | 1.18 | % | ||||||||
Highest outstanding balance at any month-end | — | 1,466,000 | 2,775,000 | |||||||||||
Securities under repurchase agreements: | ||||||||||||||
Outstanding balance at year-end | — | — | — | |||||||||||
Weighted average rate at year-end | — | — | — | |||||||||||
Daily average outstanding balance for the year | 8,782 | 3,048 | 189,097 | |||||||||||
Weighted average rate for the year | 3.12 | % | 1.43 | % | 1.17 | % | ||||||||
Highest outstanding balance at any month-end | 449,471 | — | 699,409 | |||||||||||
Mandatorily redeemable stock | ||||||||||||||
Outstanding balance at year-end | 16,731 | 18,208 | — | |||||||||||
Weighted average rate at year-end | 3.00 | % | 2.43 | % | — | |||||||||
Daily average outstanding balance for the year | 19,417 | 4,577 | — | |||||||||||
Weighted average rate for the year | 2.86 | % | 5.43 | % | — | |||||||||
Highest outstanding balance at any month-end | 21,457 | 18,208 | — | |||||||||||
Consolidated obligation discount notes: | ||||||||||||||
Outstanding balance at year-end | 14,580,400 | 15,160,634 | 11,536,705 | |||||||||||
Weighted average rate at year-end | 4.13 | % | 2.09 | % | 0.91 | % | ||||||||
Daily average outstanding balance for the year | 16,409,649 | 14,741,227 | 10,925,668 | |||||||||||
Weighted average rate for the year | 3.23 | % | 1.31 | % | 1.12 | % | ||||||||
Highest outstanding balance at any month-end | 21,715,136 | 18,650,485 | 12,559,158 | |||||||||||
Total short-term borrowings: | ||||||||||||||
Outstanding balance at year-end | 14,597,132 | 15,178,842 | 11,596,705 | |||||||||||
Weighted average rate at year-end | 4.11 | % | 2.12 | % | 0.91 | % | ||||||||
Daily average outstanding balance for the year | 16,529,381 | 14,974,870 | 11,469,050 | |||||||||||
Weighted average rate for the year | 3.23 | % | 1.33 | % | 1.14 | % |
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Less Than | One to Three | Four to Five | |||||||||||||||||||
Total | One Year | Years | Years | Thereafter | |||||||||||||||||
(In thousands) | |||||||||||||||||||||
Consolidated obligations: | |||||||||||||||||||||
Bonds(1) | $ | 53,109,962 | $ | 14,017,772 | $ | 18,879,660 | $ | 8,553,530 | $ | 11,659,000 | |||||||||||
Index amortizing notes(1) | 3,606,824 | — | 158,242 | 2,064,823 | 1,383,759 | ||||||||||||||||
Discount notes | 14,620,012 | 14,620,012 | — | — | — | ||||||||||||||||
Operating leases: | |||||||||||||||||||||
Premises | $ | 10,302 | $ | 2,404 | $ | 7,034 | $ | 864 | — | ||||||||||||
Equipment | 177 | 60 | 117 | — | — |
(1) | Specific bonds or notes incorporate features, such as calls or indicies, that could cause redemption at different times than the stated maturity dates. |
2005 | 2004 | 2003 | |||||||||||
(In thousands) | |||||||||||||
Balance, beginning of the year | $ | 77,190 | $ | 2,645 | $ | (15,864 | ) | ||||||
Plus: net income | 191,805 | 118,855 | 68,691 | ||||||||||
Less: dividends | 80,516 | 44,310 | 50,182 | ||||||||||
Balance, end of the year | $ | 188,479 | $ | 77,190 | $ | 2,645 | |||||||
Payout ratio (dividends/ net income) | 42.0 | % | 37.3 | % | 73.1 | % | |||||||
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Operating Segment Results |
Traditional | MPF® or | |||||||||||
Member | Mortgage | |||||||||||
Finance | Finance | Total | ||||||||||
(In thousands) | ||||||||||||
2005 | ||||||||||||
Net interest income | $ | 236,213 | $ | 73,330 | $ | 309,543 | ||||||
Provision for credit losses | 1,211 | 878 | 2,089 | |||||||||
Other income (loss) | 13,092 | (5,690 | ) | 7,402 | ||||||||
Other expenses | 49,852 | 3,874 | 53,726 | |||||||||
Income before assessments | 198,242 | 62,888 | 261,130 | |||||||||
Affordable Housing Program | 16,240 | 5,134 | 21,374 | |||||||||
REFCORP | 36,400 | 11,551 | 47,951 | |||||||||
Total assessments | 52,640 | 16,685 | 69,325 | |||||||||
Net income before cumulative effect of change in accounting principle | $ | 145,602 | $ | 46,203 | $ | 191,805 | ||||||
Total assets | $ | 65,246,297 | $ | 7,651,914 | $ | 72,898,211 | ||||||
2004 | ||||||||||||
Net interest income | $ | 118,345 | $ | 181,425 | $ | 299,770 | ||||||
Provision for credit losses | 142 | 166 | 308 | |||||||||
Other income (loss) | 40,252 | (141,901 | ) | (101,649 | ) | |||||||
Other expenses | 42,887 | 2,911 | 45,798 | |||||||||
Income before assessments | 115,568 | 36,447 | 152,015 | |||||||||
Affordable Housing Program | 10,259 | 2,975 | 13,234 | |||||||||
REFCORP | 23,020 | 6,694 | 29,714 | |||||||||
Total assessments | 33,279 | 9,669 | 42,948 | |||||||||
Net income before cumulative effect of change in accounting principle | $ | 82,289 | $ | 26,778 | $ | 109,067 | ||||||
Total assets | $ | 52,423,603 | $ | 8,644,995 | $ | 61,068,598 | ||||||
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Traditional | MPF® or | |||||||||||
Member | Mortgage | |||||||||||
Finance | Finance | Total | ||||||||||
(In thousands) | ||||||||||||
2003 | ||||||||||||
Net interest income | $ | 71,292 | $ | 207,438 | $ | 278,730 | ||||||
Provision (benefit) for credit losses | (6,428 | ) | (147 | ) | (6,575 | ) | ||||||
Other income (loss) | (623 | ) | (152,961 | ) | (153,584 | ) | ||||||
Other expenses | 36,591 | 1,634 | 38,225 | |||||||||
Income before assessments | 40,506 | 52,990 | 93,496 | |||||||||
Affordable Housing Program | 3,306 | 4,326 | 7,632 | |||||||||
REFCORP | 7,440 | 9,733 | 17,173 | |||||||||
Total assessments | 10,746 | 14,059 | 24,805 | |||||||||
Net income before cumulative effect of change in accounting principle | $ | 29,760 | $ | 38,931 | $ | 68,691 | ||||||
Total assets | $ | 45,135,220 | $ | 8,015,647 | $ | 53,150,867 | ||||||
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Selected Quarterly Financial Data (unaudited) |
2005 | ||||||||||||||||||||
First Quarter | ||||||||||||||||||||
Previously | As | Second | Third | Fourth | ||||||||||||||||
Reported | Restated | Quarter | Quarter | Quarter | ||||||||||||||||
(In thousands) | ||||||||||||||||||||
Interest income | $ | 438,799 | $ | 463,558 | $ | 563,331 | $ | 655,834 | $ | 769,076 | ||||||||||
Interest expense | 386,717 | 386,200 | 486,162 | 577,937 | 691,957 | |||||||||||||||
Net interest income before provision | 52,082 | 77,358 | 77,169 | 77,897 | 77,119 | |||||||||||||||
Provision for credit losses | 44 | 637 | 297 | (102 | ) | 1,257 | ||||||||||||||
Net interest income after provision | 52,038 | 76,721 | 76,872 | 77,999 | 75,862 | |||||||||||||||
Other income | 8,156 | 34,948 | (53,646 | ) | 24,236 | 1,864 | ||||||||||||||
Other expense | 13,552 | 12,488 | 13,128 | 13,604 | 14,506 | |||||||||||||||
Assessments | 12,385 | 26,324 | 2,690 | 23,527 | 16,784 | |||||||||||||||
Net income | $ | 34,257 | $ | 72,857 | $ | 7,408 | $ | 65,104 | $ | 46,436 | ||||||||||
Earnings per share | $ | 2.94 | $ | 0.27 | $ | 2.20 | $ | 1.46 | ||||||||||||
2004 | ||||||||||||||||||||||||||||||||
First Quarter | Second Quarter | Third Quarter | Fourth Quarter | |||||||||||||||||||||||||||||
Previously | As | Previously | As | Previously | As | Previously | As | |||||||||||||||||||||||||
Reported | Restated | Reported | Restated | Reported | Restated | Reported | Restated | |||||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||||||||
Interest income | $ | 251,510 | $ | 300,482 | $ | 258,482 | $ | 305,900 | $ | 322,012 | $ | 362,243 | $ | 380,675 | $ | 414,647 | ||||||||||||||||
Interest expense | 226,033 | 229,841 | 235,428 | 236,620 | 283,309 | 282,593 | 333,347 | 334,448 | ||||||||||||||||||||||||
Net interest income before provision | 25,477 | 70,641 | 23,054 | 69,280 | 38,703 | 79,650 | 47,328 | 80,199 | ||||||||||||||||||||||||
Provision for credit losses | 12 | (668 | ) | (42 | ) | (593 | ) | 83 | 477 | 113 | 1,092 | |||||||||||||||||||||
Net interest income after provision | 25,465 | 71,309 | 23,096 | 69,873 | 38,620 | 79,173 | 47,215 | 79,107 | ||||||||||||||||||||||||
Other income | 16,866 | (95,349 | ) | 3,171 | 86,844 | 5,041 | (85,288 | ) | 10,445 | (7,856 | ) | |||||||||||||||||||||
Other expense | 10,461 | 11,063 | 9,025 | 9,686 | 12,879 | 12,049 | 8,868 | 13,000 | ||||||||||||||||||||||||
Assessments | 10,687 | (6,716 | ) | 4,574 | 39,008 | 8,167 | (4,819 | ) | 12,945 | 15,475 | ||||||||||||||||||||||
Income before cumulative effect of change in accounting principle | 21,183 | (28,387 | ) | 12,668 | 108,023 | 22,615 | (13,345 | ) | 35,847 | 42,776 | ||||||||||||||||||||||
Cumulative effect of change in accounting principle | 8,413 | 9,788 | — | — | — | — | — | — | ||||||||||||||||||||||||
Net income | $ | 29,596 | $ | (18,599 | ) | $ | 12,668 | $ | 108,023 | $ | 22,615 | $ | (13,345 | ) | $ | 35,847 | $ | 42,776 | ||||||||||||||
Earnings per share | $ | (0.77 | ) | $ | 4.07 | $ | (0.47 | ) | $ | 1.62 | ||||||||||||||||||||||
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Mortgage Partnership Finance®(MPF®) Program (Mortgage Loans Held for Portfolio) |
Mortgage Loan Portfolio |
2005 | 2004 | 2003 | ||||||||||
(Dollars in thousands) | ||||||||||||
Mortgage loans net interest income | $ | 401,742 | $ | 405,775 | $ | 371,713 | ||||||
Average mortgage loans portfolio balance | $ | 8,311,338 | $ | 8,576,381 | $ | 8,052,681 | ||||||
Average yield | 4.83 | % | 4.73 | % | 4.62 | % | ||||||
Weighted average coupon | 5.83 | % | 5.65 | % | 5.74 | % | ||||||
Weighted average estimated life | 5.1 years | 6.2 years | 5.2 years |
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December 31, | December 31, | |||||||
2005 | 2004 | |||||||
(In thousands) | ||||||||
Fixed-rate 15-year single-family mortgages | $ | 1,529,441 | $ | 1,808,119 | ||||
Fixed-rate 20 and 30-year single-family mortgages | 6,029,531 | 6,706,276 | ||||||
Subtotal par value | 7,558,972 | 8,514,395 | ||||||
Unamortized premiums | 97,055 | 123,981 | ||||||
Unamortized discounts | (27,444 | ) | (27,773 | ) | ||||
SFAS 133 hedging adjustments | 23,988 | 35,072 | ||||||
Total mortgage loans held for portfolio | 7,652,571 | $ | 8,645,675 | |||||
Less: Allowance for loan losses | 657 | 680 | ||||||
Total mortgage loans, net of allowance for loan losses | $ | 7,651,914 | $ | 8,644,995 | ||||
December 31, 2005 | December 31, 2004 | ||||||||||||||||
Balance | Percent | Balance | Percent | ||||||||||||||
(Dollars in thousands) | |||||||||||||||||
Conventional loans: | |||||||||||||||||
Original MPF | $ | 435,853 | 5.8 | $ | 372,342 | 4.4 | |||||||||||
MPF Plus | 6,385,090 | 84.4 | 7,063,411 | 82.9 | |||||||||||||
Total conventional loans | 6,820,943 | 90.2 | 7,435,753 | 87.3 | |||||||||||||
Government-insured loans: | |||||||||||||||||
Original MPF for FHA/ VA | 740,307 | 9.8 | 1,081,045 | 12.7 | |||||||||||||
Subtotal par value | 7,561,250 | 100.0 | 8,516,798 | 100.0 | |||||||||||||
Less: Other real estate owned | 2,278 | 2,403 | |||||||||||||||
Total par value | $ | 7,558,972 | $ | 8,514,395 | |||||||||||||
December 31, | December 31, | |||||||
2005 | 2004 | |||||||
Midwest (IA, IL, IN, MI, MN, ND, NE, OH, SD and WI) | 20.0 | % | 20.0 | % | ||||
Northeast (CT, DE, MA, ME, NH, NJ, NY, PA, PR, RI, VI and VT) | 20.8 | 18.0 | ||||||
Southeast (AL, DC, FL GA, KY, MD, MS, NC, SC, TN, VA and WV) | 27.3 | 29.0 | ||||||
Southwest (AR, AS, CO, KS, LA, MO, NM, OK, TX and UT) | 16.9 | 17.0 | ||||||
West (AK, CA, GU, HI, ID, MT, NV, IR, WA and WY) | 15.0 | 16.0 | ||||||
Total | 100.0 | % | 100.0 | % | ||||
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December 31, 2005 | December 31, 2004 | December 31, 2003 | |||||||||||||||||||||||
Balance | Percent | Balance | Percent | Balance | Percent | ||||||||||||||||||||
(In thousands, except percentages) | |||||||||||||||||||||||||
Conventional loans: | |||||||||||||||||||||||||
Original MPF | $ | 130,638 | 10.7 | $ | 159,937 | 4.2 | $ | 330,327 | 2.3 | ||||||||||||||||
MPF Plus | 1,091,683 | 89.3 | 3,564,973 | 94.6 | 11,777,565 | 82.3 | |||||||||||||||||||
Total conventional loans | 1,222,321 | 100.0 | 3,724,910 | 98.8 | 12,107,892 | 84.6 | |||||||||||||||||||
Government-insured loans: | |||||||||||||||||||||||||
Original MPF for FHA/ VA | — | 43,902 | 1.2 | 2,197,790 | 15.4 | ||||||||||||||||||||
Total volume of mortgage loan purchases, at par value | 1,222,321 | 100.0 | 3,768,812 | 100.0 | 14,305,682 | 100.0 | |||||||||||||||||||
Less: volume participated to the FHLBank of Chicago | 288,694 | 925,997 | 7,737,232 | ||||||||||||||||||||||
Volume retained by the Bank, at par | $ | 933,627 | $ | 2,842,815 | $ | 6,568,450 | |||||||||||||||||||
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Servicing |
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Credit Exposure |
• | Conforming loan size, established annually; the conforming loan size is set the same as the size limits established annually by Fannie Mae and Freddie Mac | |
• | Fixed-rate, fully-amortizing loans with terms from five to 30 years | |
• | First lien mortgages | |
• | 95% maximumloan-to-value; allloan-to-value ratios are based on the loan purpose, occupancy and borrower citizenship status; all loans withloan-to-value ratios above 80% require primary mortgage insurance coverage | |
• | Owner-occupied dwellings and second family residences | |
• | Unseasoned or current production with up to five payments made by the borrowers. |
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Layer | Original MPF | MPF Plus | ||
First | Borrower’s equity in the property | Borrower’s equity in the property | ||
Second | Primary mortgage insurance (if applicable) | Primary mortgage insurance (if applicable) | ||
Third | Bank first loss account (allocated amount) | Bank first loss account (upfront amount) | ||
Fourth | PFI credit enhancement amount | Supplemental mortgage insurance and/or PFI credit enhancement amount, if applicable | ||
Final | Bank loss | Bank loss |
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Original MPF | MPF Plus | Total | ||||||||||
(In millions) | ||||||||||||
December 31, 2005 | $ | 0.4 | $ | 44.5 | $ | 44.9 | ||||||
December 31, 2004 | $ | 0.3 | $ | 41.5 | $ | 41.8 | ||||||
December 31, 2003 | $ | 0.2 | $ | 32.2 | $ | 32.4 |
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December 31, | ||||||||||||||||||||
2005 | 2004 | 2003 | 2002 | 2001 | ||||||||||||||||
(In thousands) | ||||||||||||||||||||
Balance, at the beginning of period | $ | 680 | $ | 514 | $ | 661 | $ | 91 | $ | 15 | ||||||||||
Charge-offs | (324 | ) | — | — | — | — | ||||||||||||||
Recoveries | — | — | — | — | — | |||||||||||||||
Net (charge-offs) recoveries | (324 | ) | — | — | — | — | ||||||||||||||
Provision (benefit) for credit losses | 301 | 166 | (147 | ) | 570 | 76 | ||||||||||||||
Balance, at end of period | $ | 657 | $ | 680 | $ | 514 | $ | 661 | $ | 91 | ||||||||||
Capital Resources |
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Percentages | ||||||||
Established as of | ||||||||
Specified | December 31, | |||||||
Percentage Ranges | 2005 | |||||||
Outstanding member loans | 4.5 to 6.0% | 4.55% | ||||||
Unused borrowing capacity | 0.0 to 1.5% | 0.55% | ||||||
Outstanding residential mortgages previously sold to and held by the Bank | 0.0 to 4.0% | 0.0% |
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Risk-Based Capital (RBC) |
December 31, | December 31, | ||||||||
2005 | 2004 | ||||||||
(In thousands) | |||||||||
Permanent capital: | |||||||||
Capital stock(1) | $ | 3,095,314 | $ | 2,714,010 | |||||
Retained earnings | 188,479 | 77,190 | |||||||
Total permanent capital | $ | 3,283,793 | $ | 2,791,200 | |||||
Risk-based capital requirement: | |||||||||
Credit risk capital | $ | 179,986 | $ | 176,855 | |||||
Market risk capital | 204,080 | 182,925 | |||||||
Operations risk capital | 115,220 | 107,934 | |||||||
Total risk-based capital | $ | 499,286 | $ | 467,714 | |||||
(1) | Capital stock includes mandatorily redeemable capital stock |
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Capital and Leverage Ratios |
December 31, | December 31, | |||||||
2005 | 2004 | |||||||
(Dollars in thousands) | ||||||||
Capital Ratio | ||||||||
Minimum capital (4.0% of total assets) | $ | 2,915,950 | $ | 2,442,691 | ||||
Actual capital (permanent capital plus loan loss reserves) | 3,289,318 | 2,795,274 | ||||||
Total assets | 72,898,211 | 61,068,598 | ||||||
Capital ratio (actual capital as a percent of total assets) | 4.5 | % | 4.6 | % | ||||
Leverage Ratio | ||||||||
Minimum leverage capital (5.0% of total assets) | $ | 3,644,911 | $ | 3,053,430 | ||||
Leverage capital (permanent capital multiplied by a 1.5 weighting factor plus loan loss reserves) | 4,931,216 | 4,190,874 | ||||||
Leverage ratio (leverage capital as a percent of total assets) | 6.8 | % | 6.9 | % |
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Risk Management |
Market and Interest Rate Risk |
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Change in Interest Rates | December 31, 2005 | December 31, 2004 | ||||||
(In years) | (In years) | |||||||
Up 200 basis points | 5.3 | 4.6 | ||||||
Up 100 basis points | 4.6 | 4.0 | ||||||
Base Case | 2.7 | 1.6 | ||||||
Down 100 basis points | (1.2 | ) | (0.6 | ) | ||||
Down 200 basis points | (4.7 | ) | (3.2 | ) |
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December 31, 2005 | December 31, 2004 | |||||||||||||||
Estimated Market | Percentage Change | Estimated Market | Percentage Change | |||||||||||||
Change in Interest Rates | Value of Equity | from Base Case | Value of Equity | from Base Case | ||||||||||||
(In millions) | (In millions) | |||||||||||||||
Up 200 basis points | $ | 2,841 | (8.5 | ) | 2,548 | (7.6 | ) | |||||||||
Up 100 basis points | 2,986 | (3.8 | ) | 2,670 | (3.1 | ) | ||||||||||
Base Case | 3,105 | — | 2,756 | — | ||||||||||||
Down 100 basis points | 3,134 | 0.9 | 2,767 | 0.4 | ||||||||||||
Down 200 basis points | 3,037 | (2.2 | ) | 2,710 | (1.7 | ) |
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December 31, 2005 | December 31, 2004 | |||||||||||||||
Notional | Estimated | Notional | Estimated | |||||||||||||
Principal | Gain (Loss) | Principal | Gain (Loss) | |||||||||||||
(In millions) | ||||||||||||||||
Qualifying for Hedge Accounting: | ||||||||||||||||
Loans to members | $ | 30,393 | $ | 18 | $ | 23,164 | $ | (669 | ) | |||||||
Mortgage loans | — | — | — | — | ||||||||||||
Consolidated obligations | 33,622 | (90 | ) | 24,405 | 166 | |||||||||||
Discount notes | — | — | — | — | ||||||||||||
Subtotal | 64,015 | (72 | ) | 47,569 | (503 | ) | ||||||||||
Not Qualifying for Hedge Accounting: | ||||||||||||||||
Loans to members | 544 | (2 | ) | 401 | (7 | ) | ||||||||||
Investments | — | — | 632 | (3 | ) | |||||||||||
Mortgage loans | 536 | 1 | 8,451 | (33 | ) | |||||||||||
Consolidated obligations | 2,790 | (8 | ) | 905 | (1 | ) | ||||||||||
Intermediary transactions | 94 | — | 369 | 1 | ||||||||||||
Mortgage delivery commitments | 18 | — | 15 | — | ||||||||||||
Subtotal | 3,982 | (9 | ) | 10,772 | (43 | ) | ||||||||||
Total | $ | 67,997 | $ | (81 | ) | $ | 58,342 | $ | (546 | ) | ||||||
Accrued interest | 120 | 53 | ||||||||||||||
Net derivative fair market value balance | $ | 39 | $ | (493 | ) | |||||||||||
Net derivative asset balance | $ | 317 | $ | 148 | ||||||||||||
Net derivative liability balance | (278 | ) | (641 | ) | ||||||||||||
Net derivative fair market value balance | $ | 39 | $ | (493 | ) | |||||||||||
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Amount | Percent | |||||||
(Dollars in millions) | ||||||||
Single-family residential mortgages | $ | 108,448 | 51.4 | |||||
High quality investment securities | 58,064 | 27.6 | ||||||
Other real-estate related collateral/ community financial institution eligible collateral | 42,062 | 20.0 | ||||||
Multi-family residential mortgages | 2,083 | 1.0 | ||||||
Total | $ | 210,657 | 100.0 | |||||
Number of | Loans | Collateral | ||||||||||
Borrowers | Outstanding | Held | ||||||||||
(In thousands) | ||||||||||||
Listing-specific pledge-collateral status | — | $ | — | $ | — | |||||||
Possession-collateral status | 27 | 701,384 | 928,559 | |||||||||
Total par value | 27 | $ | 701,384 | $ | 928,559 | |||||||
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December 31, 2005 | December 31, 2004 | |||||||||||||||
Loan | Percent of | Loan | Percent of | |||||||||||||
Balance | Total Loans | Balance | Total loans | |||||||||||||
(Dollars in millions) | ||||||||||||||||
Sovereign Bank, PA(1) | $ | 13,119 | 27.6 | $ | 9,710 | 25.3 | ||||||||||
Citicorp Trust Bank, DE | 5,129 | 10.8 | 2,780 | 7.3 | ||||||||||||
GMAC Bank, DE(1) | 4,428 | 9.3 | 1,507 | 3.9 | ||||||||||||
ING Bank FSB, DE | 2,387 | 5.0 | 1,944 | 5.1 | ||||||||||||
Citizens Bank of Pennsylvania, PA | 2,200 | 4.6 | 1,450 | 3.8 | ||||||||||||
Lehman Brothers Bank FSB, DE | 2,000 | 4.2 | 2,600 | 6.8 | ||||||||||||
PNC Bank, NA | 1,065 | 2.3 | 87 | 0.2 | ||||||||||||
Wilmington Savings Fund Society FSB, DE(1) | 1,009 | 2.1 | 837 | 2.2 | ||||||||||||
First Commonwealth Bank, PA(1) | 789 | 1.7 | 1,021 | 2.7 | ||||||||||||
Keystone Nazareth Bank & Trust Company, PA | 702 | 1.5 | 661 | 1.7 | ||||||||||||
Subtotal | 32,828 | 69.1 | 22,597 | 59.0 | ||||||||||||
Other borrowers | 14,689 | 30.9 | 15,719 | 41.0 | ||||||||||||
Total loans to members | $ | 47,517 | 100.0 | $ | 38,316 | 100.0 | ||||||||||
(1) | These borrowers had an officer who served on the Bank’s Board of Directors as of December 31, 2005. |
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AAA | AA | A | BBB | Total | |||||||||||||||||
(In millions) | |||||||||||||||||||||
Money market investments: | |||||||||||||||||||||
Interest-bearing deposits | $ | — | $ | 2,867 | $ | 401 | $ | — | $ | 3,268 | |||||||||||
Federal funds sold | — | 1,701 | 535 | 85 | 2,321 | ||||||||||||||||
— | 4,568 | 936 | 85 | 5,589 | |||||||||||||||||
Investment securities: | |||||||||||||||||||||
Commercial paper | — | — | 149 | — | 149 | ||||||||||||||||
Government-sponsored enterprises | 563 | — | — | — | 563 | ||||||||||||||||
State or local agency obligations | 411 | 411 | — | — | 822 | ||||||||||||||||
MBS issued by Federal agencies | 95 | — | — | — | 95 | ||||||||||||||||
MBS issued by government-sponsored enterprises | 1,747 | — | — | — | 1,747 | ||||||||||||||||
MBS issued by private label | 7,992 | 3 | — | — | 7,995 | ||||||||||||||||
Total investments | $ | 10,808 | $ | 4,982 | $ | 1,085 | $ | 85 | $ | 16,960 | |||||||||||
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AAA | AA | A | BBB | Total | |||||||||||||||||
(In millions) | |||||||||||||||||||||
Money market investments: | |||||||||||||||||||||
Interest-bearing deposits | $ | — | $ | 734 | $ | 613 | $ | — | $ | 1,347 | |||||||||||
Federal funds sold | — | 1,790 | 400 | 65 | 2,255 | ||||||||||||||||
— | 2,524 | 1,013 | 65 | 3,602 | |||||||||||||||||
Investment securities: | |||||||||||||||||||||
Commercial paper | — | — | 70 | — | 70 | ||||||||||||||||
Government-sponsored enterprises | 215 | — | — | — | 215 | ||||||||||||||||
State or local agency obligations | 405 | 375 | — | — | 780 | ||||||||||||||||
MBS issued by Federal agencies | 159 | — | — | 159 | |||||||||||||||||
MBS issued by government-sponsored enterprises | 1,513 | — | — | �� | — | 1,513 | |||||||||||||||
MBS issued by private label | 6,593 | 3 | — | — | 6,596 | ||||||||||||||||
Total investments | $ | 8,885 | $ | 2,902 | $ | 1,083 | $ | 65 | $ | 12,935 | |||||||||||
December 31, | December 31, | |||||||
2005 | 2004 | |||||||
(Dollars in thousands) | ||||||||
30-59 days delinquent | $ | 92,534 | $ | 111,746 | ||||
60-89 days delinquent | 27,672 | 26,001 | ||||||
90 days or more delinquent | 39,244 | 38,516 | ||||||
Total delinquencies | $ | 159,450 | $ | 176,263 | ||||
Non-accrual loans | $ | 20,304 | $ | 13,607 | ||||
Loans past due 90 days or more and still accruing interest | 21,018 | 26,175 | ||||||
Delinquencies as a percent of total mortgage loans outstanding | 2.1 | % | 2.1 | % | ||||
Non-accrual loans as a percent of total mortgage loans outstanding | 0.3 | % | 0.2 | % |
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Primary | Supplemental | |||||||||||||||
Mortgage | Mortgage | Total Credit | Percent of | |||||||||||||
Insurance | Insurance | Exposure | Total | |||||||||||||
(Dollars in thousands) | ||||||||||||||||
Mortgage Guaranty Insurance Corp. | $ | 35,080 | $ | 114,741 | $ | 149,821 | 44.9 | |||||||||
GE Mortgage Insurance Corp. | 7,487 | 51,826 | 59,313 | 17.8 | ||||||||||||
Republic Mortgage Insurance Company | 32,498 | 13,705 | 46,203 | 13.9 | ||||||||||||
PMI Mortgage Insurance Co. | 32,717 | 5,935 | 38,652 | 11.6 | ||||||||||||
Other | 39,587 | — | 39,587 | 11.8 | ||||||||||||
Total | $ | 147,369 | $ | 186,207 | $ | 333,576 | 100.0 | |||||||||
December 31, | ||||||||||||||||||||
2005 | 2004 | 2003 | 2002 | 2001 | ||||||||||||||||
(In thousands) | ||||||||||||||||||||
Balance, at the beginning of the year | $ | 3,394 | $ | 3,695 | $ | 10,194 | $ | 4,887 | $ | 323 | ||||||||||
Provision (benefit) for credit losses | 1,474 | (301 | ) | (6,499 | ) | 5,307 | 4,564 | |||||||||||||
Balance, at end of the year | $ | 4,868 | $ | 3,394 | $ | 3,695 | $ | 10,194 | $ | 4,887 | ||||||||||
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December 31, 2005 | December 31, 2004 | |||||||||||||||||||||||
Consolidated Obligations | Consolidated Obligations | |||||||||||||||||||||||
Discount | Discount | |||||||||||||||||||||||
Bonds | Notes | Total | Bonds | Notes | Total | |||||||||||||||||||
(In millions) | ||||||||||||||||||||||||
Atlanta | $ | 120,778 | $ | 9,593 | $ | 130,371 | $ | 107,257 | $ | 13,025 | $ | 120,282 | ||||||||||||
Boston | 32,590 | 24,442 | 57,032 | 32,497 | 20,116 | 52,613 | ||||||||||||||||||
Chicago | 63,006 | 16,865 | 79,871 | 62,869 | 16,942 | 79,811 | ||||||||||||||||||
Cincinnati | 53,866 | 17,634 | 71,500 | 51,980 | 18,659 | 70,639 | ||||||||||||||||||
Dallas | 46,612 | 11,236 | 57,848 | 51,655 | 7,100 | 58,755 | ||||||||||||||||||
DesMoines | 37,653 | 4,074 | 41,727 | 39,769 | 5,027 | 44,796 | ||||||||||||||||||
Indianapolis | 35,220 | 9,382 | 44,602 | 29,926 | 10,647 | 40,573 | ||||||||||||||||||
New York | 57,119 | 20,651 | 77,770 | 60,586 | 19,670 | 80,256 | ||||||||||||||||||
Pittsburgh | 56,717 | 14,620 | 71,337 | 44,904 | 15,173 | 60,077 | ||||||||||||||||||
San Francisco | 184,515 | 27,747 | 212,262 | 148,811 | 26,321 | 175,132 | ||||||||||||||||||
Seattle | 38,086 | 10,647 | 48,733 | 41,401 | 2,809 | 44,210 | ||||||||||||||||||
Topeka | 30,948 | 13,459 | 44,407 | 29,310 | 12,788 | 42,098 | ||||||||||||||||||
Total FHLBank System | $ | 757,110 | $ | 180,350 | $ | 937,460 | $ | 700,965 | $ | 168,277 | $ | 869,242 | ||||||||||||
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Other Risks |
95
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Item 3: | Properties |
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Item 4: | Security Ownership of Certain Beneficial Owners and Management |
Percent of Total | ||||||||
Name | Capital Stock | Capital Stock | ||||||
Sovereign Bank, Reading, PA | $ | 643,401,100 | 20.8 | % | ||||
Citicorp Trust Bank, FSB, Newark, DE | 331,911,300 | 10.7 | ||||||
ING Bank, FSB, Wilmington, DE | 299,358,400 | 9.7 | ||||||
GMAC Bank, Wilmington, DE | 234,224,300 | 7.6 | ||||||
Lehman Brothers Bank, FSB, Wilmington, DE | 155,755,700 | 5.0 |
Percent of Total | ||||||||
Name | Capital Stock | Capital Stock | ||||||
Sovereign Bank, Reading, PA | $ | 643,401,100 | 20.8 | % | ||||
GMAC Bank, Wilmington, DE | 234,224,300 | 7.6 | ||||||
First Commonwealth Bank, Indiana, PA | 48,705,900 | 1.6 | ||||||
Wilmington Savings Fund Society, FSB, Wilmington, DE | 46,293,000 | 1.5 | ||||||
Willow Grove Bank, Ambler, PA | 16,996,800 | 0.6 | ||||||
Harleysville Savings Bank, Harleysville, PA | 14,672,900 | 0.5 | ||||||
Summit Community Bank, Charleston, WV | 12,081,000 | 0.4 | ||||||
Laurel Savings Bank, Allison Park, PA | 1,908,800 | 0.1 | ||||||
Columbia County Farmers National Bank, Bloomsburg, PA | 914,200 | * |
* | Less than 0.1%. |
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Item 5: | Directors and Executive Officers |
Term | ||||||||||||||||
Name | Age | Director Since | Expires | Board Committees | ||||||||||||
Marvin N. Schoenhals (Chair) (Elected) | 59 | 1997 | 2007 | (a)(b)(c)(d)(e)(f) | ||||||||||||
Dennis S. Marlo (Vice Chair) (Elected) | 63 | 2003 | 2006 | (a)(b)(f) | ||||||||||||
Basil R. Battaglia (Appointed) | 70 | 2004 | 2006 | (a)(d)(e) | ||||||||||||
David W. Curtis (Elected)* | 50 | 2006 | 2007 | (a)(b)(d) | ||||||||||||
H. Charles Maddy, III (Elected) | 43 | 2002 | 2007 | (a)(b)(f) | ||||||||||||
Frederick A. Marcell Jr. (Elected) | 68 | 2003 | 2008 | (c)(d)(e) | ||||||||||||
Edwin R. Maus (Elected) | 64 | 1998 | 2006 | (b)(c)(f) | ||||||||||||
Edward J. Molnar (Elected) | 65 | 2004 | 2006 | (c)(d)(e) | ||||||||||||
Paul E. Reichart (Elected) | 68 | 1997 | 2008 | (c)(e)(f) | ||||||||||||
Gerard M. Thomchick (Elected) | 50 | 2005 | 2007 | (a)(b)(d)(f) | ||||||||||||
Cecil Underwood (Appointed) | 83 | 2002 | 2006 | (c)(e) |
(a) | Member of Audit Committee |
(b) | Member of Finance and Risk Management Committee | |
(c) | Member of Human Resources Committee | |
(d) | Member of Governance Committee | |
(e) | Member of Community Investment and Public Policy Committee | |
(f) | Member of Executive Committee | |
(*) | Board appointed Mr. Curtis to finish out an elected director vacancy. |
Marvin N. Schoenhals (Chair) |
Dennis S. Marlo (Vice Chair) |
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Basil R. Battaglia |
David W. Curtis |
Frederick A. Marcell Jr. |
Edwin R. Maus |
Edward J. Molnar |
Paul E. Reichart |
Gerard M. Thomchick |
Cecil Underwood |
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• | The Bank’s financial reporting processes and the audit of the Bank’s financial statements, including the integrity of the Bank’s financial statements; | |
• | the Bank’s administrative, operating, and internal accounting controls; | |
• | the Bank’s compliance with legal and regulatory requirements; | |
• | the independent auditors’ qualifications and independence; and | |
• | the performance of the Bank’s internal audit function and independent auditors. |
Executive Officer | Age | Capacity in Which Serves | ||||||
John R. Price | 67 | President and Chief Executive Officer | ||||||
William G. Batz | 58 | Chief Operating Officer | ||||||
Paul H. Dimmick | 57 | Managing Director, Capital Markets | ||||||
Teresa M. Donatelli | 42 | Chief Information Officer | ||||||
J. Michael Hemphill | 60 | Chief Risk Officer | ||||||
Craig C. Howie | 43 | Group Director, Member Market Access | ||||||
Kristina K. Williams | 42 | Chief Financial Officer | ||||||
Dana A. Yealy | 47 | General Counsel and Corporate Secretary |
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Item 6: | Executive Compensation |
Annual Compensation | Long-Term | ||||||||||||||||||||||||
Name and | Other Annual | Compensation | All Other | ||||||||||||||||||||||
Principal Position | Year | Salary | Bonus | Compensation | LTIC Payouts(1) | Compensation(2) | |||||||||||||||||||
Current Executive Officers | |||||||||||||||||||||||||
John R. Price(3) | 2005 | — | — | — | — | — | |||||||||||||||||||
President and Chief Executive Officer | |||||||||||||||||||||||||
William G. Batz(4) | 2005 | $ | 352,159 | $ | 100,366 | — | $ | 105,637 | $ | 27,361 | |||||||||||||||
Executive Vice President and Chief Operating Officer | |||||||||||||||||||||||||
Kristina K. Williams(5) | 2005 | 225,000 | 265,876 | — | 16,873 | 13,500 | |||||||||||||||||||
Chief Financial Officer | |||||||||||||||||||||||||
Paul H. Dimmick | 2005 | 235,000 | 78,872 | — | 41,121 | 18,785 | |||||||||||||||||||
Managing Director, | |||||||||||||||||||||||||
Capital Markets | |||||||||||||||||||||||||
Former Executive Officers | |||||||||||||||||||||||||
James D. Roy(6) | 2005 | 523,000 | 198,740 | $ | 51,566 | 196,105 | 43,886 | ||||||||||||||||||
President and Chief Executive Officer | |||||||||||||||||||||||||
Eric J. Marx(7) | 2005 | 301,316 | 70,056 | — | 90,386 | 23,237 | |||||||||||||||||||
Senior Vice President & Chief Financial Officer |
(1) | Long-Term Incentive Compensation Plan payout reflects results attained over a three-year performance period (2003 through 2005). |
(2) | Represents contributions or other allocations made by the Bank to qualified and/or non-qualified vested and unvested defined contribution plans. |
(3) | Mr. Price began employment January 2, 2006. Mr. Price’s base salary is $500,000 and is eligible for the Bank’s short-term and long-term incentive plans. Mr. Price will also receive a standard package which includes relocation assistance and the benefit of a Bank car. |
(4) | The Board of Directors has entered into a retention agreement with Mr. Batz. Mr. Batz would receive a payment in the amount of $200,000 if he remains a part of the Bank’s management team through January 2, 2007. |
(5) | Ms. Williams began employment on December 31, 2004 and received a $150,000 signing bonus and a special award of $45,000. Ms. Williams was promoted to Chief Financial Officer effective February 1, 2006. |
(6) | Mr. Roy retired as of December 31, 2005. Mr. Roy received retirement gifts, including gross-ups, of $46,066 and a scholarship fund in his name of $5,500 per year for ten years. |
(7) | Mr. Marx terminated employment on March 31, 2006. |
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Years of Service | ||||||||||||||||||||||||||||||||
Remuneration | 5 | 10 | 15 | 20 | 25 | 30 | 35 | 40 | ||||||||||||||||||||||||
$100,000 | $ | 10,000 | $ | 20,000 | $ | 30,000 | $ | 40,000 | $ | 50,000 | $ | 60,000 | $ | 70,000 | $ | 80,000 | ||||||||||||||||
200,000 | 20,000 | 40,000 | 60,000 | 80,000 | 100,000 | 120,000 | 140,000 | 160,000 | ||||||||||||||||||||||||
300,000 | 30,000 | 60,000 | 90,000 | 120,000 | 150,000 | 180,000 | 210,000 | 240,000 | ||||||||||||||||||||||||
400,000 | 40,000 | 80,000 | 120,000 | 160,000 | 200,000 | 240,000 | 280,000 | 320,000 | ||||||||||||||||||||||||
500,000 | 50,000 | 100,000 | 150,000 | 200,000 | 250,000 | 300,000 | 350,000 | 400,000 | ||||||||||||||||||||||||
600,000 | 60,000 | 120,000 | 180,000 | 240,000 | 300,000 | 360,000 | 420,000 | 480,000 | ||||||||||||||||||||||||
700,000 | 70,000 | 140,000 | 210,000 | 280,000 | 350,000 | 420,000 | 490,000 | 560,000 | ||||||||||||||||||||||||
800,000 | 80,000 | 160,000 | 240,000 | 320,000 | 400,000 | 480,000 | 560,000 | 640,000 | ||||||||||||||||||||||||
900,000 | 90,000 | 180,000 | 270,000 | 360,000 | 450,000 | 540,000 | 630,000 | 720,000 |
• | Benefit formula for PDFP regular annual allowance is 2% times Years of Benefit Service times High 3 Year Average Salary. | |
• | For the SERP, compensation covered includes annual base salary plus short-term incentive compensation without regard to IRS limitations. | |
• | Credited years of service as of December 31, 2005, is 18 years and 1 month for Mr. Roy, 17 years and 1 month for Mr. Batz, 10 years and 1 month for Mr. Marx, 2 years and 4 months for Mr. Dimmick and 1 year for Ms. Williams. | |
• | The regular form of retirement benefits provides a single life annuity; a lump-sum option is also available. | |
• | The benefits shown in the table are not subject to offset for social security or any other amounts. |
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Type of Meeting | Position | Per Meeting Fee | ||||
Board | Chairman | $ | 1,500 | |||
Board | Vice Chairman | $ | 1,250 | |||
Board | Director | $ | 1,000 | |||
Board Committee or System Meeting | Chairman, Vice | $ | 1,000 | |||
Chairman, Director |
Position | 2006 | |||
Chairman | $ | 29,357 | ||
Vice Chairman | 23,486 | |||
Director | 17,614 |
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Item 7: | Certain Relationships and Related Transactions |
105
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Item 8: | Legal Proceedings |
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Item 9: | Market for the Bank’s Common Stock and Related Security Holder Matters |
2005 | 2004 | 2003 | ||||||||||
Quarter | Annualized Rate | Annualized Rate | Annualized Rate | |||||||||
First | 2.84 | % | 1.37 | % | 3.25 | % | ||||||
Second | 2.64 | 1.34 | 2.25 | |||||||||
Third | 2.78 | 1.60 | 2.00 | |||||||||
Fourth | 3.00 | 2.41 | 1.40 |
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Item 10: | Recent Sales of Unregistered Securities |
For the Year-Ended December 31, | ||||||||||||
2005 | 2004 | 2003 | ||||||||||
(In thousands) | ||||||||||||
Consolidated obligation bonds | $ | 25,703,624 | $ | 29,936,298 | $ | 39,661,956 | ||||||
Consolidated obligation discount notes | $ | 1,046,170,996 | $ | 1,166,338,001 | $ | 640,819,662 | ||||||
Capital stock | $ | 8,395,006 | $ | 5,805,390 | $ | 2,727,083 |
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Item 11: | Description of Bank Securities to be Registered |
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Item 12: | Indemnification of Directors and Officers |
110
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Item 13: | Financial Statements and Supplementary Data |
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Year-ended December 31, | |||||||||||||
2005 | 2004 | 2003 | |||||||||||
(Restated) | (Restated) | ||||||||||||
(In thousands, except per share amounts) | |||||||||||||
Interest Income: | |||||||||||||
Loans to members | $ | 1,526,937 | $ | 612,621 | $ | 464,124 | |||||||
Prepayment fees on loans to members, net | 2,276 | 1,136 | 5,183 | ||||||||||
Interest-bearing deposits | 61,580 | 12,195 | 8,157 | ||||||||||
Federal funds sold | 57,167 | 28,399 | 15,898 | ||||||||||
Investment securities | 402,097 | 323,115 | 329,367 | ||||||||||
Mortgage loans held for portfolio | 401,742 | 405,775 | 371,713 | ||||||||||
Loans to other FHLBanks | — | 31 | 130 | ||||||||||
Total interest income | 2,451,799 | 1,383,272 | 1,194,572 | ||||||||||
Interest Expense: | |||||||||||||
Consolidated obligation bonds | 1,579,772 | 872,023 | 766,532 | ||||||||||
Consolidated obligation discount notes | 528,123 | 193,348 | 122,033 | ||||||||||
Deposits | 30,770 | 14,729 | 20,894 | ||||||||||
Mandatorily redeemable capital stock | 555 | 249 | — | ||||||||||
Other borrowings | 3,036 | 3,153 | 6,383 | ||||||||||
Total interest expense | 2,142,256 | 1,083,502 | 915,842 | ||||||||||
Net interest income before provision for credit losses | 309,543 | 299,770 | 278,730 | ||||||||||
Provision (benefit) for credit losses | 2,089 | 308 | (6,575 | ) | |||||||||
Net interest income after provision for credit losses | 307,454 | 299,462 | 285,305 | ||||||||||
Other income (loss) | |||||||||||||
Services fees | 4,007 | 4,127 | 6,062 | ||||||||||
Net gain (loss) on sale of trading securities | (999 | ) | (3,286 | ) | (12,310 | ) | |||||||
Net gain on sale of available-for-sale securities | — | — | 4,090 | ||||||||||
Net gain on sale of held-to-maturity securities (Note 8) | — | 2,576 | 2,492 | ||||||||||
Net gain (loss) on derivatives and hedging activities | 4,185 | (106,327 | ) | (158,005 | ) | ||||||||
Other, net | 209 | 1,261 | 4,087 | ||||||||||
Total other income (loss) | 7,402 | (101,649 | ) | (153,584 | ) | ||||||||
Other expense | |||||||||||||
Salaries and benefits operating expense | 30,792 | 24,925 | 20,045 | ||||||||||
Other operating expense | 18,664 | 17,414 | 15,566 | ||||||||||
Finance Board and Office of Finance | 4,270 | 3,459 | 2,614 | ||||||||||
Total other expense | 53,726 | 45,798 | 38,225 | ||||||||||
Income before assessments | 261,130 | 152,015 | 93,496 | ||||||||||
Affordable Housing Program | 21,374 | 13,234 | 7,632 | ||||||||||
REFCORP | 47,951 | 29,714 | 17,173 | ||||||||||
Total assessments | 69,325 | 42,948 | 24,805 | ||||||||||
Income before cumulative effect of change in accounting principle | 191,805 | 109,067 | 68,691 | ||||||||||
Cumulative effect of change in accounting principle (Note 3) | — | 9,788 | — | ||||||||||
Net income | $ | 191,805 | $ | 118,855 | $ | 68,691 | |||||||
Earnings per share: | |||||||||||||
Weighted average shares outstanding | 28,552 | 26,265 | 22,943 | ||||||||||
Earnings per share before cumulative effect of change in accounting principle | $ | 6.72 | $ | 4.16 | $ | 2.99 | |||||||
Cumulative effect of change in accounting principle | — | 0.37 | — | ||||||||||
Basic and diluted earnings per share (Note 15) | $ | 6.72 | $ | 4.53 | $ | 2.99 | |||||||
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December 31, | |||||||||
2005 | 2004 | ||||||||
(Restated) | |||||||||
(In thousands, | |||||||||
except par value) | |||||||||
ASSETS | |||||||||
Cash and due from banks (Note 4) | $ | 115,370 | $ | 92,245 | |||||
Interest-bearing deposits | 3,259,894 | 1,347,009 | |||||||
Federal funds sold | 2,320,000 | 2,255,000 | |||||||
Investment securities: | |||||||||
Trading securities (Note 6) | — | 311,306 | |||||||
Available-for-sale securities, at fair value; amortized cost of $330,434 and $630,330, respectively (Note 7) | 331,297 | 631,139 | |||||||
Held-to-maturity securities, at amortized cost; fair value of $10,828,384 and $8,260,806 respectively (Note 8) | 11,034,630 | 8,385,403 | |||||||
Loans to members (Note 9) | 47,492,959 | 38,980,353 | |||||||
Mortgage loans held for portfolio (Note 10), net of allowance for credit losses of $657 and $680, respectively (Note 11) | 7,651,914 | 8,644,995 | |||||||
Banking On Business loans, net of allowance for credit losses of $4,868 and $3,394, respectively (Note 11) | 10,653 | 9,545 | |||||||
Accrued interest receivable | 304,193 | 212,567 | |||||||
Premises and equipment, net (Note 5) | 14,918 | 8,940 | |||||||
Derivative assets (Note 16) | 317,033 | 148,160 | |||||||
Other assets | 45,350 | 41,936 | |||||||
Total assets | $ | 72,898,211 | $ | 61,068,598 | |||||
LIABILITIES AND CAPITAL | |||||||||
Liabilities | |||||||||
Deposits: (Note 12) | |||||||||
Interest-bearing | $ | 1,060,605 | $ | 1,016,919 | |||||
Noninterest-bearing | 2,486 | 1,681 | |||||||
Loans from other FHLBanks (Note 13) | — | — | |||||||
Consolidated obligations, net: (Note 14) | |||||||||
Bonds | 53,142,937 | 41,074,815 | |||||||
Discount notes | 14,580,400 | 15,160,634 | |||||||
Total consolidated obligations, net | 67,723,337 | 56,235,449 | |||||||
Mandatorily redeemable capital stock (Note 15) | 16,731 | 18,208 | |||||||
Accrued interest payable | 436,214 | 299,988 | |||||||
Affordable Housing Program (Note 17) | 36,707 | 20,910 | |||||||
Payable to REFCORP (Note 18) | 14,633 | 3,363 | |||||||
Derivative liabilities (Note 16) | 278,444 | 641,299 | |||||||
Other liabilities | 69,508 | 69,457 | |||||||
Total liabilities | 69,638,665 | 58,307,274 | |||||||
Commitments and contingencies (Note 23) | — | — | |||||||
Capital(Note 15) | |||||||||
Capital stock — putable ($100 par value) issued and outstanding shares: 30,786 and 26,958 shares in 2005 and 2004, respectively | 3,078,583 | 2,695,802 | |||||||
Retained earnings | 188,479 | 77,190 | |||||||
Accumulated other comprehensive income (loss) (Notes 2, 7, 19) | (7,516 | ) | (11,668 | ) | |||||
Total capital | 3,259,546 | 2,761,324 | |||||||
Total liabilities and capital | $ | 72,898,211 | $ | 61,068,598 | |||||
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Year-ended December 31, | ||||||||||||||
2005 | 2004 | 2003 | ||||||||||||
(Restated) | (Restated) | |||||||||||||
(In thousands) | ||||||||||||||
OPERATING ACTIVITIES | ||||||||||||||
Net income | $ | 191,805 | $ | 118,855 | $ | 68,691 | ||||||||
Cumulative effect of change in accounting principle | (9,788 | ) | — | |||||||||||
Income before cumulative effect of change in accounting principle | 191,805 | 109,067 | 68,691 | |||||||||||
Adjustments to reconcile income before cumulative effect of change in accounting principle to net cash provided by (used for) operating activities: | ||||||||||||||
Depreciation and amortization: | ||||||||||||||
Net premiums and discounts on consolidated obligations and investments | 15,360 | 29,914 | (254,348 | ) | ||||||||||
Net premiums and discounts on mortgage loans | 38,572 | 63,316 | 76,510 | |||||||||||
Concessions on consolidated obligation bonds | 10,873 | 18,851 | 30,695 | |||||||||||
Bank premises and equipment | 2,696 | 2,894 | 3,145 | |||||||||||
Provision for credit losses | 2,089 | 308 | (6,575 | ) | ||||||||||
Net realized loss (gain) on available-for-sale securities | — | — | (4,090 | ) | ||||||||||
Net realized loss (gain) on held-to-maturity securities (Note 8) | — | (2,576 | ) | (2,492 | ) | |||||||||
Net realized loss (gain) on trading securities | 999 | — | — | |||||||||||
Net realized loss (gain) on disposal of Bank premises and equipment | 1,464 | 140 | 26 | |||||||||||
Loss (gain) due to change in net fair value adjustment on derivative and hedging activities | 414,048 | 524,107 | 49,525 | |||||||||||
Total adjustments | 486,101 | 636,954 | (107,604 | ) | ||||||||||
Changes in assets and liabilities: | ||||||||||||||
Trading securities, net of transfers | 88,307 | 43,320 | 868,486 | |||||||||||
Accrued interest receivable | (91,626 | ) | (11,956 | ) | 7,391 | |||||||||
Derivative asset net accrued interest | (169,481 | ) | (18,762 | ) | 83,011 | |||||||||
Derivative liability net accrued interest | (362,886 | ) | (564,810 | ) | (277,154 | ) | ||||||||
Other assets | 45 | 7,402 | 2,128 | |||||||||||
Affordable Housing Program (AHP) liability and discount on AHP loans to members | 15,572 | 7,665 | (3,918 | ) | ||||||||||
Accrued interest payable | 136,226 | (11,911 | ) | 14,333 | ||||||||||
Payable to REFCORP | 11,270 | 10,969 | 9,929 | |||||||||||
Other liabilities | 2,766 | 3,570 | 2,737 | |||||||||||
Total changes in assets and liabilities | (369,807 | ) | (534,513 | ) | 706,943 | |||||||||
Net cash provided by operating activities | $ | 308,099 | $ | 211,508 | $ | 668,030 | ||||||||
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Year-ended December 31, | |||||||||||||
2005 | 2004 | 2003 | |||||||||||
(Restated) | (Restated) | ||||||||||||
(In thousands) | |||||||||||||
INVESTING ACTIVITIES | |||||||||||||
Net change in: | |||||||||||||
Interest-bearing deposits | $ | (1,913,262 | ) | $ | (512,892 | ) | $ | (240,955 | ) | ||||
Federal funds sold | (65,000 | ) | (1,255,000 | ) | (18,000 | ) | |||||||
Commercial paper | (76,398 | ) | 171,914 | (239,889 | ) | ||||||||
Loans to other FHLBanks | — | — | 190,000 | ||||||||||
Deposits to other FHLBanks | 377 | 1,211 | (2,658 | ) | |||||||||
Proceeds from: | |||||||||||||
Sales of held-to-maturity securities, except commercial paper | — | 71,261 | 87,333 | ||||||||||
Maturities of held-to-maturity securities, except commercial paper | 2,209,970 | 2,943,603 | 5,609,790 | ||||||||||
Sales of available-for-sale securities | — | — | 1,820,036 | ||||||||||
Maturities of available-for-sale securities | 299,938 | 182,875 | 956,955 | ||||||||||
Sale of Bank premises and equipment | 37 | 48 | — | ||||||||||
Purchases of: | |||||||||||||
Held-to-maturity securities, except commercial paper | (4,540,157 | ) | (4,105,561 | ) | (5,899,665 | ) | |||||||
Available-for-sales securities | — | (452,064 | ) | (2,714,677 | ) | ||||||||
Mortgage loans held for portfolio | (951,212 | ) | (2,856,800 | ) | (6,701,581 | ) | |||||||
Bank premises and equipment | (8,975 | ) | (3,950 | ) | (2,162 | ) | |||||||
Principal collected on members loans and BOB loans | 2,304,901,180 | 2,029,834,077 | 1,249,543,380 | ||||||||||
Loans made to members, including BOB loans | (2,314,105,099 | ) | (2,034,812,893 | ) | (1,255,456,889 | ) | |||||||
Principal collected on mortgage loans held for portfolio | 1,903,261 | 2,172,628 | 3,515,222 | ||||||||||
Net cash (used in) investing activities | $ | (12,345,340 | ) | $ | (8,621,543 | ) | $ | (9,553,760 | ) | ||||
FINANCING ACTIVITIES | |||||||||||||
Net change in: | |||||||||||||
Deposits | $ | 34,121 | $ | (278,588 | ) | $ | (1,107,488 | ) | |||||
Loans from other FHLBanks | — | (60,000 | ) | 60,000 | |||||||||
Net proceeds from issuance of consolidated obligations: | |||||||||||||
Discount notes | 1,046,170,996 | 1,166,338,001 | 640,819,662 | ||||||||||
Bonds | 25,638,027 | 29,305,556 | 39,286,155 | ||||||||||
Bonds transferred from other FHLBanks | 65,597 | 630,742 | 375,801 | ||||||||||
Payments for maturing or called consolidated obligations: | |||||||||||||
Discount notes | (1,046,769,795 | ) | (1,162,738,580 | ) | (639,691,415 | ) | |||||||
Bonds | (13,387,372 | ) | (25,113,935 | ) | (31,364,573 | ) | |||||||
Proceeds from issuance of capital stock | 8,395,006 | 5,805,390 | 2,727,083 | ||||||||||
Payments for redemption/ repurchase of capital stock | (8,013,701 | ) | (5,433,008 | ) | (2,225,198 | ) | |||||||
Cash dividends paid | (72,513 | ) | (36,765 | ) | (41,782 | ) | |||||||
Net cash provided by financing activities | $ | 12,060,366 | $ | 8,418,813 | $ | 8,838,245 | |||||||
Net increase (decrease) in cash and due from banks | $ | 23,125 | $ | 8,778 | $ | (47,485 | ) | ||||||
Cash and due from banks, at the beginning of the year | 92,245 | 83,467 | 130,952 | ||||||||||
Cash and due from banks, at the end of the year | $ | 115,370 | $ | 92,245 | $ | 83,467 | |||||||
Supplemental disclosures: | |||||||||||||
Interest paid during the year | $ | 1,405,233 | $ | 822,420 | $ | 682,704 | |||||||
Affordable Housing Program payments, net | 5,577 | 5,237 | 11,816 | ||||||||||
REFCORP payments | 36,381 | 18,745 | 7,243 |
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Capital | |||||||||||||||||||||
Stock — Putable | Retained | Accumulated Other | |||||||||||||||||||
Earnings | Comprehensive | ||||||||||||||||||||
Shares | Par Value | (Deficit) | Income(Loss) | Total Capital | |||||||||||||||||
(Restated) | (Restated) | (Restated) | |||||||||||||||||||
(In thousands, except shares) | |||||||||||||||||||||
Balance December 31, 2002 previously reported | 18,397 | $ | 1,839,742 | $ | 65,563 | $ | (5,565 | ) | $ | 1,899,740 | |||||||||||
Restatement of financial statements (Note 1) | — | — | (81,427 | ) | (64 | ) | (81,491 | ) | |||||||||||||
Balance December 31, 2002 (restated) | 18,397 | $ | 1,839,742 | $ | (15,864 | ) | $ | (5,629 | ) | $ | 1,818,249 | ||||||||||
Proceeds from the sale of capital stock | 27,271 | $ | 2,727,083 | — | — | $ | 2,727,083 | ||||||||||||||
Redemption/ repurchase of capital stock | (22,252 | ) | (2,225,198 | ) | — | — | (2,225,198 | ) | |||||||||||||
Comprehensive income (loss): | |||||||||||||||||||||
Net income | — | — | $ | 68,691 | — | 68,691 | |||||||||||||||
Net unrealized gain (loss) on available-for-sale securities | — | — | — | $ | (324 | ) | (324 | ) | |||||||||||||
Net gain (loss) relating to hedging activities | — | — | — | (8,203 | ) | (8,203 | ) | ||||||||||||||
Reclassification adjustment for gains included in net income | — | — | — | 4,369 | 4,369 | ||||||||||||||||
Other | — | — | — | ||||||||||||||||||
Total comprehensive income (loss) | — | — | 68,691 | (4,158 | ) | 64,533 | |||||||||||||||
Cash dividends on capital stock | — | — | (50,182 | ) | — | (50,182 | ) | ||||||||||||||
Balance December 31, 2003 (restated) | 23,416 | $ | 2,341,627 | $ | 2,645 | $ | (9,787 | ) | $ | 2,334,485 | |||||||||||
Proceeds from sale of capital stock | 58,054 | $ | 5,805,390 | — | — | $ | 5,805,390 | ||||||||||||||
Redemption/ repurchase of capital stock | (54,330 | ) | (5,433,007 | ) | — | — | (5,433,007 | ) | |||||||||||||
Net shares reclassified to mandatorily redeemable capital stock | (182 | ) | (18,208 | ) | — | — | (18,208 | ) | |||||||||||||
Comprehensive income (loss): | |||||||||||||||||||||
Net income | — | — | $ | 118,855 | — | 118,855 | |||||||||||||||
Net unrealized gain (loss) on available-for-sale securities | — | — | — | $ | 714 | 714 | |||||||||||||||
Net gain (loss) relating to hedging activities | — | — | — | (2,547 | ) | (2,547 | ) | ||||||||||||||
Reclassification adjustment for gains included in net income | — | — | — | 431 | 431 | ||||||||||||||||
Other | — | — | — | (479 | ) | (479 | ) | ||||||||||||||
Total comprehensive income (loss) | — | — | 118,855 | (1,881 | ) | 116,974 | |||||||||||||||
Cash dividends on capital stock | — | — | (44,310 | ) | — | (44,310 | ) | ||||||||||||||
Balance December 31, 2004 (restated) | 26,958 | $ | 2,695,802 | $ | 77,190 | $ | (11,668 | ) | $ | 2,761,324 | |||||||||||
Proceeds from sale of capital stock | 83,983 | $ | 8,398,334 | — | — | $ | 8,398,334 | ||||||||||||||
Repurchase of capital stock | (80,170 | ) | (8,017,030 | ) | — | — | (8,017,030 | ) | |||||||||||||
Net shares reclassified to mandatorily redeemable capital stock | 15 | 1,477 | — | — | 1,477 | ||||||||||||||||
Comprehensive income (loss): | |||||||||||||||||||||
Net income | — | — | $ | 191,805 | — | 191,805 | |||||||||||||||
Net unrealized gain (loss) on available-for-sale securities | — | — | — | $ | 54 | 54 | |||||||||||||||
Net gain (loss) relating to hedging activities | — | — | — | 4,021 | 4,021 | ||||||||||||||||
Reclassification adjustment for gains included in net income | — | — | — | — | — | ||||||||||||||||
Other | — | — | — | 77 | 77 | ||||||||||||||||
Total comprehensive income (loss) | — | — | 191,805 | 4,152 | 195,957 | ||||||||||||||||
Cash dividends on capital stock | — | — | (80,516 | ) | — | (80,516 | ) | ||||||||||||||
Balance December 31, 2005 | 30,786 | $ | 3,078,583 | $ | 188,479 | $ | (7,516 | ) | $ | 3,259,546 | |||||||||||
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(In thousands) | |||||
Retained earnings as of January 1, 2003, as previously reported | $ | 65,563 | |||
Adjustments to retained earnings as of January 1, 2003: | |||||
SFAS 133 — Change from Short-Cut Method to Long-Haul Method | 2,349 | ||||
Reversal of SFAS 133 Hedge Accounting | (80,955 | ) | |||
Application of interest method amortization | 1,236 | ||||
Recognition of Banking on Business receivable and related allowance for credit losses | 782 | ||||
Other miscellaneous adjustments | (4,839 | ) | |||
Retained earnings (deficit) as of January 1, 2003, as restated | $ | (15,864 | ) | ||
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As Previously | |||||||||||||
Reported | Adjustments | As Restated | |||||||||||
(In thousands, except per share amounts) | |||||||||||||
Interest income: | |||||||||||||
Loans to members | $ | 598,547 | $ | 14,074 | $ | 612,621 | |||||||
Prepayment fees on loans to members | 292 | 844 | 1,136 | ||||||||||
Mortgage loans held for portfolio | 249,872 | 155,903 | 405,775 | ||||||||||
Other | 363,968 | (228 | ) | 363,740 | |||||||||
Total interest income | 1,212,679 | 170,593 | 1,383,272 | ||||||||||
Interest expense: | |||||||||||||
Consolidated obligations bonds | 866,437 | 5,586 | 872,023 | ||||||||||
Other | 211,680 | (201 | ) | 211,479 | |||||||||
Total interest expense | 1,078,117 | 5,385 | 1,083,502 | ||||||||||
Net interest income before provision for credit losses | 134,562 | 165,208 | 299,770 | ||||||||||
Provision for credit losses | 166 | 142 | 308 | ||||||||||
Net interest income after provision for credit losses | 134,396 | 165,066 | 299,462 | ||||||||||
Other income (loss): | |||||||||||||
Net gain (loss) on derivatives and hedging activities | 31,182 | (137,509 | ) | (106,327 | ) | ||||||||
Other | 4,341 | 337 | 4,678 | ||||||||||
Total other income (loss) | 35,523 | (137,172 | ) | (101,649 | ) | ||||||||
Other expense: | |||||||||||||
Operating expense — other | 13,683 | 3,731 | 17,414 | ||||||||||
Other | 27,550 | 834 | 28,384 | ||||||||||
Total other expense | 41,233 | 4,565 | 45,798 | ||||||||||
Income before assessments | 128,686 | 23,329 | 152,015 | ||||||||||
Affordable Housing Program | 11,191 | 2,043 | 13,234 | ||||||||||
REFCORP | 25,182 | 4,532 | 29,714 | ||||||||||
Total assessments | 36,373 | 6,575 | 42,948 | ||||||||||
Income before cumulative effect of change in accounting principle | 92,313 | 16,754 | 109,067 | ||||||||||
Cumulative effect of change in accounting principle | 8,413 | 1,375 | 9,788 | ||||||||||
Net income | $ | 100,726 | $ | 18,129 | $ | 118,855 | |||||||
Earnings per share before cumulative effect of change in accounting principle | $ | 3.51 | $ | 0.65 | $ | 4.16 | |||||||
Cumulative effect of change in accounting principle | 0.32 | 0.05 | 0.37 | ||||||||||
Earnings per share | $ | 3.83 | $ | 0.70 | $ | 4.53 | |||||||
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�� | As Previously | ||||||||||||
Reported | Adjustments | As Restated | |||||||||||
(In thousands, except per share amounts) | |||||||||||||
Interest income: | |||||||||||||
Loans to members | $ | 455,620 | $ | 8,504 | $ | 464,124 | |||||||
Prepayment fees on loans to members | 6,871 | (1,688 | ) | 5,183 | |||||||||
Mortgage loans held for portfolio | 186,620 | 185,093 | 371,713 | ||||||||||
Other | 353,608 | (56 | ) | 353,552 | |||||||||
Total interest income | 1,002,719 | 191,853 | 1,194,572 | ||||||||||
Interest expense: | |||||||||||||
Consolidated obligations bonds | 741,339 | 25,193 | 766,532 | ||||||||||
Other | 149,373 | (63 | ) | 149,310 | |||||||||
Total interest expense | 890,712 | 25,130 | 915,842 | ||||||||||
Net interest income before provision for credit losses | 112,007 | 166,723 | 278,730 | ||||||||||
Provision for credit losses | (147 | ) | (6,428 | ) | (6,575 | ) | |||||||
Net interest income after provision for credit losses | 112,154 | 173,151 | 285,305 | ||||||||||
Other income (loss): | |||||||||||||
Net gain (loss) on derivatives and hedging activities | (39,791 | ) | (118,214 | ) | (158,005 | ) | |||||||
Other | 3,370 | 1,051 | 4,421 | ||||||||||
Total other income (loss) | (36,421 | ) | (117,163 | ) | (153,584 | ) | |||||||
Other expense: | |||||||||||||
Salaries and benefits | 18,503 | 1,542 | 20,045 | ||||||||||
Other | 19,520 | (1,340 | ) | 18,180 | |||||||||
Total other expense | 38,023 | 202 | 38,225 | ||||||||||
Income before assessments | 37,710 | 55,786 | 93,496 | ||||||||||
Affordable Housing Program | 3,078 | 4,554 | 7,632 | ||||||||||
REFCORP | 6,926 | 10,247 | 17,173 | ||||||||||
Total assessments | 10,004 | 14,801 | 24,805 | ||||||||||
Net income | $ | 27,706 | $ | 40,985 | $ | 68,691 | |||||||
Earnings per share | $ | 1.21 | $ | 1.78 | $ | 2.99 | |||||||
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As Previously | ||||||||||||
Reported | Adjustments | As Restated | ||||||||||
(In thousands, except par value) | ||||||||||||
Assets | ||||||||||||
Available-for-sale securities | $ | 626,607 | $ | 4,532 | $ | 631,139 | ||||||
Held-to-maturity securities | 8,386,425 | (1,022 | ) | 8,385,403 | ||||||||
Loans to members | 38,989,126 | (8,773 | ) | 38,980,353 | ||||||||
Mortgage loans held for portfolio | 8,664,551 | (19,556 | ) | 8,644,995 | ||||||||
Other | 4,732,203 | (305,495 | ) | 4,426,708 | ||||||||
Total assets | $ | 61,398,912 | $ | (330,314 | ) | $ | 61,068,598 | |||||
Liabilities | ||||||||||||
Consolidated obligations, net | $ | 56,544,155 | $ | (308,706 | ) | $ | 56,235,449 | |||||
Affordable Housing Program | 23,362 | (2,452 | ) | 20,910 | ||||||||
Payable to REFCORP | 8,941 | �� | (5,578 | ) | 3,363 | |||||||
Derivative liabilities | 640,156 | 1,143 | 641,299 | |||||||||
Other | 1,403,720 | 2,533 | 1,406,253 | |||||||||
Total liabilities | 58,620,334 | (313,060 | ) | 58,307,274 | ||||||||
Capital | ||||||||||||
Capital stock — putable ($100 par value) | 2,695,802 | — | 2,695,802 | |||||||||
Retained earnings | 99,503 | (22,313 | ) | 77,190 | ||||||||
Accumulated other comprehensive income (loss) | (16,727 | ) | 5,059 | (11,668 | ) | |||||||
Total capital | 2,778,578 | (17,254 | ) | 2,761,324 | ||||||||
Total liabilities and capital | $ | 61,398,912 | $ | (330,314 | ) | $ | 61,068,598 | |||||
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As Previously | ||||||||||||||
Reported | Adjustments | As Restated | ||||||||||||
(In thousands) | ||||||||||||||
OPERATING ACTIVITIES | ||||||||||||||
Net income | $ | 100,726 | $ | 18,129 | $ | 118,855 | ||||||||
Cumulative effect of change in accounting principle | (8,413 | ) | (1,375 | ) | (9,788 | ) | ||||||||
Income before cumulative effect of change in accounting principle | 92,313 | 16,754 | 109,067 | |||||||||||
Adjustments to reconcile income before cumulative effect of change in accounting principle to net cash provided by (used for) operating activities: | ||||||||||||||
Depreciation and amortization: | ||||||||||||||
Net premiums and discounts on consolidated obligations and investments | 85,998 | (56,084 | ) | 29,914 | ||||||||||
Net premiums and discounts on mortgage loans | 38,854 | 24,462 | 63,316 | |||||||||||
Concessions on consolidated obligation bonds | 17,348 | 1,503 | 18,851 | |||||||||||
Provision for credit losses | 166 | 142 | 308 | |||||||||||
Loss (gain) due to change in net fair value adjustment on derivative and hedging activities | 995 | 523,112 | 524,107 | |||||||||||
Other | 458 | — | 458 | |||||||||||
Total adjustments | 143,819 | 493,135 | 636,954 | |||||||||||
Changes in assets and liabilities: | ||||||||||||||
Accrued interest receivable | (38,251 | ) | 26,295 | (11,956 | ) | |||||||||
Derivative asset net accrued interest | 10,682 | (29,444 | ) | (18,762 | ) | |||||||||
Derivative liability net accrued interest | (9,200 | ) | (555,610 | ) | (564,810 | ) | ||||||||
Other assets | 1,181 | 6,221 | 7,402 | |||||||||||
Affordable Housing Program (AHP) liability and discount on AHP loans to members | 5,623 | 2,042 | 7,665 | |||||||||||
Payable to REFCORP | 6,437 | 4,532 | 10,969 | |||||||||||
Other liabilities | 11,190 | (7,620 | ) | 3,570 | ||||||||||
Other | 31,409 | — | 31,409 | |||||||||||
Total changes in assets and liabilities | 19,071 | (553,584 | ) | (534,513 | ) | |||||||||
Net cash provided by operating activities | $ | 255,203 | $ | (43,695 | ) | $ | 211,508 | |||||||
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As Previously | |||||||||||||
Reported | Adjustments | As Restated | |||||||||||
(In thousands) | |||||||||||||
INVESTING ACTIVITIES | |||||||||||||
Net change in: | |||||||||||||
Commercial Paper | $ | 169,950 | $ | 1,964 | $ | 171,914 | |||||||
Proceeds from: | |||||||||||||
Maturities of held-to-maturity securities, except commercial paper | 2,951,348 | (7,745 | ) | 2,943,603 | |||||||||
Maturities of available-for-sale securities | 198,239 | (15,364 | ) | 182,875 | |||||||||
Sale of Bank premises and equipment | 3 | 45 | 48 | ||||||||||
Purchases of: | |||||||||||||
Held-to-maturity securities, except commercial paper | (4,123,330 | ) | 17,769 | (4,105,561 | ) | ||||||||
Available-for-sales securities | (466,988 | ) | 14,924 | (452,064 | ) | ||||||||
Mortgage loans held for portfolio | (2,845,691 | ) | (11,109 | ) | (2,856,800 | ) | |||||||
Bank premises and equipment | (3,904 | ) | (46 | ) | (3,950 | ) | |||||||
Principal collected on members loans and BOB loans | 2,029,830,022 | 4,055 | 2,029,834,077 | ||||||||||
Loans made to members, including BOB loans | (2,034,808,449 | ) | (4,444 | ) | (2,034,812,893 | ) | |||||||
Principal collected on mortgage loans held for portfolio | 2,171,306 | 1,322 | 2,172,628 | ||||||||||
Other | (1,695,420 | ) | — | (1,695,420 | ) | ||||||||
Net cash (used in) investing activities | $ | (8,622,914 | ) | $ | 1,371 | $ | (8,621,543 | ) | |||||
FINANCING ACTIVITIES | |||||||||||||
Net change in: | |||||||||||||
Deposits | $ | (287,406 | ) | $ | 8,818 | $ | (278,588 | ) | |||||
Mandatorily redeemable capital stock | 18,208 | (18,208 | ) | — | |||||||||
Net proceeds from issuance of consolidated obligations: | |||||||||||||
Discount notes | 1,166,339,728 | (1,727 | ) | 1,166,338,001 | |||||||||
Bonds | 29,972,784 | (667,228 | ) | 29,305,556 | |||||||||
Bonds transferred form other FHLBanks | — | 630,742 | 630,742 | ||||||||||
Payments for maturing or called consolidated obligations: | |||||||||||||
Bonds | (25,185,899 | ) | 71,964 | (25,113,935 | ) | ||||||||
Payments for redemption/ repurchase of capital stock | (5,450,967 | ) | 17,959 | (5,433,008 | ) | ||||||||
Cash dividends paid | (36,744 | ) | (21 | ) | (36,765 | ) | |||||||
Other | (1,156,993,190 | ) | — | (1,156,993,190 | ) | ||||||||
Net cash provided by financing activities | $ | 8,376,514 | $ | 42,299 | $ | 8,418,813 | |||||||
Net increase (decrease) in cash and due from banks | $ | 8,803 | $ | (25 | ) | $ | 8,778 | ||||||
Cash and due from banks, at the beginning of the year | 83,421 | 46 | 83,467 | ||||||||||
Cash and due from banks, at the end of the year | $ | 92,224 | $ | 21 | $ | 92,245 | |||||||
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As Previously | ||||||||||||||
Reported | Adjustments | As Restated | ||||||||||||
(In thousands) | ||||||||||||||
OPERATING ACTIVITIES | ||||||||||||||
Net income | $ | 27,706 | $ | 40,985 | $ | 68,691 | ||||||||
Adjustments to reconcile income before cumulative effect of change in accounting principle to net cash provided by (used for) operating activities: | ||||||||||||||
Depreciation and amortization: | ||||||||||||||
Net premiums and discounts on consolidated obligations and investments | 40,130 | (294,478 | ) | (254,348 | ) | |||||||||
Net premiums and discounts on mortgage loans | 76,635 | (125 | ) | 76,510 | ||||||||||
Concessions on consolidated obligation bonds | 30,833 | (138 | ) | 30,695 | ||||||||||
Provision for credit losses | (147 | ) | (6,428 | ) | (6,575 | ) | ||||||||
Loss (gain) due to change in net fair value adjustment on derivative and hedging activities | (91,567 | ) | 141,092 | 49,525 | ||||||||||
Other | (3,411 | ) | — | (3,411 | ) | |||||||||
Total adjustments | 52,473 | (160,077 | ) | (107,604 | ) | |||||||||
Changes in assets and liabilities: | ||||||||||||||
Accrued interest receivable | 35,507 | (28,116 | ) | 7,391 | ||||||||||
Derivative asset net accrued interest | 19,710 | 63,301 | 83,011 | |||||||||||
Derivative liability net accrued interest | (15,017 | ) | (262,137 | ) | (277,154 | ) | ||||||||
Other assets | (6,871 | ) | 8,999 | 2,128 | ||||||||||
Affordable Housing Program (AHP) liability and discount on AHP loans to members | (9,001 | ) | 5,083 | (3,918 | ) | |||||||||
Payable to REFCORP | (317 | ) | 10,246 | 9,929 | ||||||||||
Other liabilities | 2,956 | (219 | ) | 2,737 | ||||||||||
Other | 882,819 | — | 882,819 | |||||||||||
Total changes in assets and liabilities | 909,786 | (202,843 | ) | 706,943 | ||||||||||
Net cash provided by operating activities | $ | 989,965 | $ | (321,935 | ) | $ | 668,030 | |||||||
INVESTING ACTIVITIES | ||||||||||||||
Purchases of: | ||||||||||||||
Available for sale securities | $ | (2,712,588 | ) | $ | (2,089 | ) | $ | (2,714,677 | ) | |||||
Principal collected on members loans and BOB loans | 1,249,544,790 | (1,410 | ) | 1,249,543,380 | ||||||||||
Loans made to members, including BOB loans | (1,255,454,484 | ) | (2,405 | ) | (1,255,456,889 | ) | ||||||||
Other | (925,574 | ) | — | (925,574 | ) | |||||||||
Net cash (used in) investing activities | $ | (9,547,856 | ) | $ | (5,904 | ) | $ | (9,553,760 | ) | |||||
FINANCING ACTIVITIES | ||||||||||||||
Net change in: | ||||||||||||||
Deposits | $ | (1,108,062 | ) | $ | 574 | $ | (1,107,488 | ) | ||||||
Net proceeds from issuance of consolidated obligations: | ||||||||||||||
Discount notes | 640,820,663 | (1,001 | ) | 640,819,662 | ||||||||||
Bonds | 39,661,956 | (375,801 | ) | 39,286,155 | ||||||||||
Bonds transferred from other FHLBanks | — | 375,801 | 375,801 | |||||||||||
Payments for maturing or called consolidated obligations: | ||||||||||||||
Bonds | (31,692,646 | ) | 328,073 | (31,364,573 | ) | |||||||||
Other | (639,171,312 | ) | — | (639,171,312 | ) | |||||||||
Net cash provided by financing activities | $ | 8,510,599 | $ | 327,646 | $ | 8,838,245 | ||||||||
Net increase (decrease) in cash and due from banks | (47,292 | ) | (193 | ) | (47,485 | ) | ||||||||
Cash and due from banks, at the beginning of the year | 130,713 | 239 | 130,952 | |||||||||||
Cash and due from banks, at the end of the year | $ | 83,421 | $ | 46 | $ | 83,467 | ||||||||
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• | a hedge of the fair value of a recognized asset or liability or an unrecognized firm commitment (a “fair value” hedge); | |
• | a hedge of a forecasted transaction or the variability of cash flows that are to be received or paid in connection with a recognized asset or liability (a “cash flow” hedge); | |
• | a non-qualifying hedge of an asset or liability (“economic” hedge) for asset/liability management purposes; or | |
• | a non-qualifying hedge of another derivative (an “intermediation” hedge) that is offered as a product to members or used to offset other derivatives with non-member counterparties. |
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Note 3 — | Accounting Adjustments, Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations |
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Year-ended | |||||||||
December 31, | |||||||||
2004 | 2003 | ||||||||
(In thousands) | |||||||||
Income before cumulative effect of a change in accounting principle | $ | 109,067 | $ | 68,691 | |||||
Cumulative effect on prior years (to December 31, 2004) of changing to the contractual method of amortization/accretion: | |||||||||
Mortgage loans held for portfolio | 9,525 | — | |||||||
Mortgage-backed securities | 263 | — | |||||||
Net income | $ | 118,855 | $ | 68,691 | |||||
Pro forma amounts assuming the contractual mortgage loan and MBS amortization/accretion method had been applied retroactively: | |||||||||
Impact on mortgage loans held for portfolio | (9,525 | ) | 4,495 | ||||||
Impact on mortgage-backed securities | (263 | ) | 72 | ||||||
Pro forma net income | $ | 109,067 | $ | 73,258 | |||||
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Year-ended | ||||||||
December 31, | ||||||||
2005 | 2004 | |||||||
(In thousands) | ||||||||
Computer hardware and software | $ | 28,935 | $ | 21,196 | ||||
Furniture | 2,509 | 2,497 | ||||||
Leasehold improvements | 2,714 | 2,302 | ||||||
Equipment and other | 2,078 | 1,677 | ||||||
36,236 | 27,672 | |||||||
Less: Accumulated depreciation and amortization | 21,318 | 18,732 | ||||||
Total premises and equipment, net | $ | 14,918 | $ | 8,940 | ||||
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Year-ended | |||||||||
December 31, | |||||||||
2005 | 2004 | ||||||||
(In thousands) | |||||||||
State or local agency obligations | — | $ | 222,000 | ||||||
Mortgage-backed securities: | |||||||||
U.S. agency | — | 19,908 | |||||||
Government-sponsored enterprises | — | 69,398 | |||||||
Total mortgage-backed securities | — | 89,306 | |||||||
Total trading securities | — | $ | 311,306 | ||||||
Year-ended December 31, 2005 | ||||||||||||||||
Gross Unrealized | Gross Unrealized | Estimated Fair | ||||||||||||||
Amortized Cost | Gains | Losses | Value | |||||||||||||
(In thousands) | ||||||||||||||||
Equity mutual funds offsetting deferred compensation | $ | 4,014 | $ | 759 | $ | — | $ | 4,773 | ||||||||
Private label mortgage-backed securities | 326,420 | 129 | (25 | ) | 326,524 | |||||||||||
Total available-for-sale securities | $ | 330,434 | $ | 888 | $ | (25 | ) | $ | 331,297 | |||||||
Year-ended December 31, 2004 | ||||||||||||||||
Gross Unrealized | Gross Unrealized | Estimated Fair | ||||||||||||||
Amortized Cost | Gains | Losses | Value | |||||||||||||
(In thousands) | ||||||||||||||||
Equity mutual funds offsetting deferred compensation | $ | 4,006 | $ | 527 | $ | — | $ | 4,533 | ||||||||
Private label mortgage-backed securities | 626,324 | 375 | (93 | ) | 626,606 | |||||||||||
Total available-for-sale securities | $ | 630,330 | $ | 902 | $ | (93 | ) | $ | 631,139 | |||||||
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December 31, 2005 | |||||||||||||||||
Gross Unrealized | Gross Unrealized | Estimated Fair | |||||||||||||||
Amortized Cost | Gains | Losses | Value | ||||||||||||||
(In thousands) | |||||||||||||||||
Commercial paper | $ | 149,405 | $ | — | $ | — | $ | 149,405 | |||||||||
Other U.S. obligations | 3,663 | 27 | — | 3,690 | |||||||||||||
Government-sponsored enterprises | 556,260 | 340 | (4,809 | ) | 551,791 | ||||||||||||
State or local agency obligations | 815,533 | 11,140 | (1,663 | ) | 825,010 | ||||||||||||
1,524,861 | 11,507 | (6,472 | ) | 1,529,896 | |||||||||||||
Mortgage-backed securities: | |||||||||||||||||
U.S. agency | 95,074 | 197 | (3,359 | ) | 91,912 | ||||||||||||
Government-sponsored enterprises | 1,747,012 | 1,781 | (63,028 | ) | 1,685,765 | ||||||||||||
Private label | 7,667,683 | 711 | (147,583 | ) | 7,520,811 | ||||||||||||
Total mortgage-backed securities | 9,509,769 | 2,689 | (213,970 | ) | 9,298,488 | ||||||||||||
Total held-to-maturity securities | $ | 11,034,630 | $ | 14,196 | $ | (220,442 | ) | $ | 10,828,384 | ||||||||
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December 31, 2004 | |||||||||||||||||
Gross Unrealized | Gross Unrealized | Estimated Fair | |||||||||||||||
Amortized Cost | Gains | Losses | Value | ||||||||||||||
(In thousands) | |||||||||||||||||
Commercial paper | $ | 69,940 | $ | — | $ | — | $ | 69,940 | |||||||||
Other U.S. obligations | 10,597 | 350 | — | 10,947 | |||||||||||||
Government-sponsored enterprises | 200,000 | 1,180 | — | 201,180 | |||||||||||||
State or local agency obligations | 553,135 | 16,723 | (755 | ) | 569,103 | ||||||||||||
833,672 | 18,253 | (755 | ) | 851,170 | |||||||||||||
Mortgage-backed securities: | |||||||||||||||||
U.S. agency | 139,150 | 325 | (1,988 | ) | 137,487 | ||||||||||||
Government-sponsored enterprises | 1,443,608 | 1,450 | (61,547 | ) | 1,383,511 | ||||||||||||
Private label | 5,968,973 | 5,752 | (86,087 | ) | 5,888,638 | ||||||||||||
Total mortgage-backed securities | 7,551,731 | 7,527 | (149,622 | ) | 7,409,636 | ||||||||||||
Total held-to-maturity securities | $ | 8,385,403 | $ | 25,780 | $ | (150,377 | ) | $ | 8,260,806 | ||||||||
December 31, 2005 | |||||||||||||||||||||||||
Less Than 12 Months | Greater Than 12 Months | Total | |||||||||||||||||||||||
Fair | Unrealized | Fair | Unrealized | Fair | Unrealized | ||||||||||||||||||||
Value | Losses | Value | Losses | Value | Losses | ||||||||||||||||||||
(In thousands) | |||||||||||||||||||||||||
Government-sponsored enterprises | $ | 351,451 | $ | (4,809 | ) | $ | — | $ | — | $ | 351,451 | $ | (4,809 | ) | |||||||||||
State or local agency obligations | 28,977 | (1,169 | ) | 10,831 | (494 | ) | 39,808 | (1,663 | ) | ||||||||||||||||
380,428 | (5,978 | ) | 10,831 | (494 | ) | 391,259 | (6,472 | ) | |||||||||||||||||
Mortgage-backed securities: | |||||||||||||||||||||||||
U.S. agency | 4,003 | (17 | ) | 66,801 | (3,342 | ) | 70,804 | (3,359 | ) | ||||||||||||||||
Government-sponsored enterprises | 508,297 | (7,832 | ) | 852,175 | (55,196 | ) | 1,360,472 | (63,028 | ) | ||||||||||||||||
Private label | 4,333,808 | (50,820 | ) | 2,904,967 | (96,763 | ) | 7,238,775 | (147,583 | ) | ||||||||||||||||
�� | |||||||||||||||||||||||||
Total mortgage-backed securities | 4,846,108 | (58,669 | ) | 3,823,943 | (155,301 | ) | 8,670,051 | (213,970 | ) | ||||||||||||||||
Total held-to-maturity securities | $ | 5,226,536 | $ | (64,647 | ) | $ | 3,834,774 | $ | (155,795 | ) | $ | 9,061,310 | $ | (220,442 | ) | ||||||||||
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December 31, 2004 | |||||||||||||||||||||||||
Less Than 12 Months | Greater Than 12 Months | Total | |||||||||||||||||||||||
Fair | Unrealized | Fair | Unrealized | Fair | Unrealized | ||||||||||||||||||||
Value | Losses | Value | Losses | Value | Losses | ||||||||||||||||||||
(In thousands) | |||||||||||||||||||||||||
State or local agency obligations | $ | — | $ | — | $ | 11,810 | $ | (755 | ) | $ | 11,810 | $ | (755 | ) | |||||||||||
Mortgage-backed securities: | |||||||||||||||||||||||||
U.S. agency | 96,759 | (1,988 | ) | — | — | 96,759 | (1,988 | ) | |||||||||||||||||
Government-sponsored enterprises | 744,770 | (17,289 | ) | 565,760 | (44,257 | ) | 1,310,530 | (61,546 | ) | ||||||||||||||||
Private label | 3,043,930 | (51,335 | ) | 1,397,553 | (34,753 | ) | 4,441,483 | (86,088 | ) | ||||||||||||||||
Total mortgage-backed securities | 3,885,459 | (70,612 | ) | 1,963,313 | (79,010 | ) | 5,848,772 | (149,622 | ) | ||||||||||||||||
Total held-to-maturity securities | $ | 3,885,459 | $ | (70,612 | ) | $ | 1,975,123 | $ | (79,765 | ) | $ | 5,860,582 | $ | (150,377 | ) | ||||||||||
December 31, 2005 | December 31, 2004 | |||||||||||||||
Estimated Fair | Estimated Fair | |||||||||||||||
Year of Maturity | Amortized Cost | Value | Amortized Cost | Value | ||||||||||||
(In thousands) | ||||||||||||||||
Due in one year or less | $ | 153,068 | $ | 153,096 | $ | 269,939 | $ | 271,120 | ||||||||
Due after one year through five years | 707,203 | 711,879 | 46,618 | 48,725 | ||||||||||||
Due after five years through ten years | 255,965 | 256,070 | 143,245 | 155,158 | ||||||||||||
Due after ten years | 408,625 | 408,852 | 373,870 | 376,167 | ||||||||||||
1,524,861 | 1,529,897 | 833,672 | 851,170 | |||||||||||||
Mortgage-backed securities | 9,509,769 | 9,298,487 | 7,551,731 | 7,409,636 | ||||||||||||
Total | $ | 11,034,630 | $ | 10,828,384 | $ | 8,385,403 | $ | 8,260,806 | ||||||||
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December 31, | December 31, | ||||||||
2005 | 2004 | ||||||||
(In thousands) | |||||||||
Amortized cost of held-to-maturity securities other than mortgage-backed securities: | |||||||||
Fixed-rate | $ | 870,571 | $ | 497,752 | |||||
Variable-rate | 654,290 | 335,920 | |||||||
1,524,861 | 833,672 | ||||||||
Amortized cost of held-to-maturity mortgage-backed securities: | |||||||||
Fixed-rate | 8,842,935 | 7,129,715 | |||||||
Variable-rate | 666,834 | 422,016 | |||||||
9,509,769 | 7,551,731 | ||||||||
Total held-to-maturity securities | $ | 11,034,630 | $ | 8,385,403 | |||||
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December 31, 2005 | December 31, 2004 | ||||||||||||||||
Weighted Average | Weighted Average | ||||||||||||||||
Year of Maturity | Amount | Interest Rate | Amount | Interest Rate | |||||||||||||
(Dollars in thousands) | |||||||||||||||||
Overdrawn demand deposit accounts | $ | — | — | $ | 2,172 | 8.39 | |||||||||||
2005 | — | — | 16,251,358 | 2.36 | |||||||||||||
2006 | 21,436,691 | 3.99 | 4,285,225 | 3.01 | |||||||||||||
2007 | 5,535,899 | 3.90 | 3,282,412 | 3.43 | |||||||||||||
2008 | 5,452,546 | 4.38 | 3,264,278 | 4.47 | |||||||||||||
2009 | 3,590,495 | 4.40 | 2,278,460 | 4.35 | |||||||||||||
2010 | 4,348,065 | 5.12 | 4,654,677 | 5.73 | |||||||||||||
Thereafter | 7,089,095 | 4.87 | 4,210,434 | 4.61 | |||||||||||||
Index amortizing loans | 64,267 | 4.34 | 86,824 | 2.40 | |||||||||||||
Total par value | $ | 47,517,058 | 4.28 | $ | 38,315,840 | 3.48 | |||||||||||
Discount on AHP loans to members | (1,714 | ) | (2,058 | ) | |||||||||||||
Premium on loans to members | — | 38 | |||||||||||||||
Deferred prepayment fees | (347 | ) | (1,184 | ) | |||||||||||||
SFAS 133 hedging adjustments | (22,038 | ) | 667,717 | ||||||||||||||
Total book value | $ | 47,492,959 | $ | 38,980,353 | |||||||||||||
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December 31, | December 31, | |||||||
Year of Maturity or Next Call Date | 2005 | 2004 | ||||||
(In thousands) | ||||||||
Overdrawn demand deposit accounts | $ | — | $ | 2,172 | ||||
2005 | — | 16,459,858 | ||||||
2006 | 22,137,191 | 4,085,225 | ||||||
2007 | 5,535,899 | 3,282,412 | ||||||
2008 | 5,591,046 | 3,257,778 | ||||||
2009 | 3,395,495 | 2,278,460 | ||||||
2010 | 4,013,065 | 4,654,677 | ||||||
Thereafter | 6,780,095 | 4,208,434 | ||||||
Index amortizing loans to members | 64,267 | 86,824 | ||||||
Total par value | $ | 47,517,058 | $ | 38,315,840 | ||||
December 31, | December 31, | |||||||
Year of Maturity or Next Convertible Date | 2005 | 2004 | ||||||
(In thousands) | ||||||||
Overdrawn demand deposit accounts | $ | — | $ | 2,172 | ||||
2005 | — | 27,219,603 | ||||||
2006 | 29,298,286 | 4,524,325 | ||||||
2007 | 5,733,399 | 3,116,912 | ||||||
2008 | 4,192,046 | 1,365,778 | ||||||
2009 | 2,539,745 | 1,109,710 | ||||||
2010 | 1,991,845 | 200,957 | ||||||
Thereafter | 3,697,470 | 689,559 | ||||||
Index amortizing loans to members | 64,267 | 86,824 | ||||||
Total par value | $ | 47,517,058 | $ | 38,315,840 | ||||
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(1) Allows a member to retain possession of the collateral pledged to the Bank, under a written security agreement that requires the member to hold such collateral for the benefit of the Bank; or | |
(2) Requires the member to place physical custody of the pledged collateral with the Bank or its third-party custodian. |
December 31, | December 31, | |||||||
2005 | 2004 | |||||||
(In thousands) | ||||||||
Fixed rate — overnight | $ | 6,505,251 | $ | 6,091,178 | ||||
Fixed rate — term | 36,021,775 | 29,305,896 | ||||||
Variable-rate | 4,990,032 | 2,918,766 | ||||||
Total par value | $ | 47,517,058 | $ | 38,315,840 | ||||
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December 31, | December 31, | |||||||
2005 | 2004 | |||||||
(In thousands) | ||||||||
Fixed medium-term single-family mortgages(1) | $ | 1,529,441 | $ | 1,808,119 | ||||
Fixed long-term single-family mortgages(1) | 6,029,531 | 6,706,276 | ||||||
Premiums | 97,055 | 123,981 | ||||||
Discounts | (27,444 | ) | (27,773 | ) | ||||
SFAS 133 hedging adjustments | 23,988 | 35,072 | ||||||
Total mortgage loans held for portfolio | $ | 7,652,571 | $ | 8,645,675 | ||||
(1) | Medium-term is defined as a term of 15 years or less. Long-term is defined as greater than 15 years. |
December 31, | December 31, | |||||||
2005 | 2004 | |||||||
(In thousands) | ||||||||
Government-insured loans | $ | 740,307 | $ | 1,081,045 | ||||
Conventional loans | 6,818,665 | 7,433,350 | ||||||
Total par value | $ | 7,558,972 | $ | 8,514,395 | ||||
Year of maturity | ||||||||
Due after one year through five years | $ | 624 | $ | 397 | ||||
Due after five years | 7,558,348 | 8,513,998 | ||||||
Total | $ | 7,558,972 | $ | 8,514,395 | ||||
2005 | 2004 | 2003 | |||||||||||
(In thousands) | |||||||||||||
Balance, beginning of the year | $ | 680 | $ | 514 | $ | 661 | |||||||
Charge-offs | (324 | ) | — | — | |||||||||
Recoveries | — | — | — | ||||||||||
Net charge-offs | (324 | ) | — | — | |||||||||
Provision (benefit) for credit losses | 301 | 166 | (147 | ) | |||||||||
Balance, end of the year | $ | 657 | $ | 680 | $ | 514 | |||||||
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2005 | 2004 | 2003 | |||||||||||
(In thousands) | |||||||||||||
Balance, beginning of the year | $ | 3,394 | $ | 3,695 | $ | 10,194 | |||||||
Charge-offs | — | — | — | ||||||||||
Recoveries | — | — | — | ||||||||||
Net charge-offs | — | — | — | ||||||||||
Provision (benefit) for credit losses | 1,474 | (301 | ) | (6,499 | ) | ||||||||
Balance, end of the year | $ | 4,868 | $ | 3,394 | $ | 3,695 | |||||||
2005 | 2004 | 2003 | ||||||||||
(In thousands) | ||||||||||||
Balance, beginning of the year | $ | 514 | $ | 71 | $ | — | ||||||
Provision for credit losses | 314 | 443 | 71 | |||||||||
Balance, end of the year | $ | 828 | $ | 514 | $ | 71 | ||||||
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December 31, | December 31, | ||||||||
2005 | 2004 | ||||||||
(In thousands) | |||||||||
Interest-bearing: | |||||||||
Demand and overnight | $ | 881,397 | $ | 952,129 | |||||
Term | 10,293 | 750 | |||||||
Other | 168,915 | 64,040 | |||||||
Total interest-bearing deposits | 1,060,605 | 1,016,919 | |||||||
Noninterest-bearing: | |||||||||
Demand and overnight | 2,486 | 1,681 | |||||||
Total noninterest-bearing deposits | 2,486 | 1,681 | |||||||
Total deposits | $ | 1,063,091 | $ | 1,018,600 | |||||
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Indexed Principal Redemption Bonds(index amortizing notes) repay principal according to predetermined amortization schedules that are linked to the level of a certain index. A form of an indexed principal redemption bond that is common to the Bank is an Amortizing Prepayment Linked Security (APLS). The APLS redeems based on the prepayments of FNMA, FHLMC or GNMA reference pools. As of December 31, 2005 and 2004, most of the index amortizing notes had fixed-rate coupon payment terms. Usually, as market interest rates rise (fall), the maturity of the index amortizing notes extends (contracts). | |
Optional Principal Redemption Bonds(callable bonds) that the Bank may redeem in whole or in part at its discretion on predetermined call dates according to the terms of the bond offerings. |
Step-up Bondsgenerally pay interest at increasing fixed rates at specified intervals over the life of the bond. These bonds generally contain provisions enabling the Bank to call bonds at its option on thestep-up dates; | |
Conversion Bondshave coupons that the Bank may convert from fixed to floating, or floating to fixed, or from one U.S. or other currency index to another, at its discretion on predetermined dates according to the terms of the bond offerings; | |
Range Bondspay interest at fixed or variable rates provided a specified index is within a specified range. The computation of the variable interest rate differs for each bond issue, but the bond generally pays zero interest or a minimal rate of interest if the specified index is outside the specified range; and | |
Zero-Coupon Bondsare long-term discounted instruments that earn a fixed yield to maturity or the optional principal redemption date. All principal and interest are paid at maturity or on the optional principal redemption date, if exercised prior to maturity. |
December 31, | December 31, | ||||||||
2005 | 2004 | ||||||||
(In thousands) | |||||||||
Fixed-rate | $ | 44,275,256 | $ | 30,181,568 | |||||
Floating-rate | 1,660,000 | 301,000 | |||||||
Step-up | 5,435,150 | 4,756,530 | |||||||
Conversion bonds: | |||||||||
Fixed to floating | 569,380 | 589,380 | |||||||
Floating to fixed | 286,000 | 3,696,000 | |||||||
Range bonds | 463,000 | 743,000 | |||||||
Zero coupon | 4,028,000 | 4,630,900 | |||||||
Other | — | 5,386 | |||||||
Total par value | $ | 56,716,786 | $ | 44,903,764 | |||||
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December 31, 2005 | December 31, 2004 | ||||||||||||||||
Weighted Average | Weighted Average | ||||||||||||||||
Year of Maturity | Amount | Interest Rate | Amount | Interest Rate | |||||||||||||
(Dollars in thousands) | |||||||||||||||||
2005 | $ | — | — | $ | 9,698,200 | 2.44 | |||||||||||
2006 | 14,017,772 | 3.19 | 9,903,003 | 2.84 | |||||||||||||
2007 | 10,612,660 | 3.82 | 4,718,345 | 3.30 | |||||||||||||
2008 | 8,267,000 | 4.20 | 3,683,380 | 3.78 | |||||||||||||
2009 | 3,825,530 | 3.89 | 3,153,530 | 3.75 | |||||||||||||
2010 | 4,728,000 | 4.52 | 1,279,000 | 4.33 | |||||||||||||
Thereafter | 11,659,000 | 3.06 | 11,367,900 | 2.82 | |||||||||||||
Index amortizing notes | 3,606,824 | 4.63 | 1,100,406 | 4.04 | |||||||||||||
Total par value | 56,716,786 | 3.68 | 44,903,764 | 3.01 | |||||||||||||
Bond premiums | 28,039 | 25,622 | |||||||||||||||
Bond discounts | (3,197,715 | ) | (3,726,961 | ) | |||||||||||||
SFAS 133 hedging adjustments | (404,173 | ) | (127,610 | ) | |||||||||||||
Total book value | $ | 53,142,937 | $ | 41,074,815 | |||||||||||||
December 31, | December 31, | |||||||
Year of Maturity or Next Call Date | 2005 | 2004 | ||||||
(In thousands) | ||||||||
2005 | $ | — | $ | 25,998,663 | ||||
2006 | 36,452,302 | 8,282,400 | ||||||
2007 | 4,468,660 | 1,844,295 | ||||||
2008 | 6,103,000 | 3,999,000 | ||||||
2009 | 2,572,000 | 2,220,000 | ||||||
2010 | 1,375,000 | 399,000 | ||||||
Thereafter | 2,139,000 | 1,060,000 | ||||||
Index amortizing notes | 3,606,824 | 1,100,406 | ||||||
Total par value | $ | 56,716,786 | $ | 44,903,764 | ||||
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December 31, | December 31, | |||||||
2005 | 2004 | |||||||
(Dollars in thousands) | ||||||||
Book value | $ | 14,580,400 | $ | 15,160,634 | ||||
Par value | $ | 14,620,012 | $ | 15,173,091 | ||||
Weighted average interest rate | 4.11 | % | 1.86 | % |
December 31, 2005 | December 31, 2004 | |||||||||||||||
Required | Actual | Required | Actual | |||||||||||||
(Dollars in thousands) | ||||||||||||||||
Risk-based capital | $ | 499,286 | $ | 3,283,793 | $ | 467,714 | $ | 2,791,200 | ||||||||
Total capital-to-asset ratio | 4.0 | % | 4.5 | % | 4.0 | % | 4.6 | % | ||||||||
Total capital | $ | 2,915,950 | $ | 3,289,318 | $ | 2,442,744 | $ | 2,795,274 | ||||||||
Leverage ratio | 5.0 | % | 6.8 | % | 5.0 | % | 6.9 | % | ||||||||
Leverage capital | $ | 3,644,911 | $ | 4,931,216 | $ | 3,053,430 | $ | 4,190,874 |
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December 31, 2005 | December 31, 2004 | |||||||||||||||
Percent | Percent | |||||||||||||||
Member | Capital Stock | of Total | Capital Stock | of Total | ||||||||||||
(Dollars in thousands) | ||||||||||||||||
Sovereign Bank, Reading PA | $ | 643,401 | 20.8 | $ | 519,298 | 19.1 | ||||||||||
Citicorp Trust Bank, FSB, Newark DE | 331,911 | 10.7 | — | — |
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December 31, | December 31, | |||||||
2005 | 2004 | |||||||
(In thousands) | ||||||||
2005 | $ | — | $ | 2,600 | ||||
2006 | 540 | — | ||||||
2007 | 7 | 8 | ||||||
2008 | 1,365 | 3,600 | ||||||
2009 | — | — | ||||||
2010 | 13,227 | 10,250 | ||||||
Thereafter | 1,592 | 1,750 | ||||||
Total | $ | 16,731 | $ | 18,208 | ||||
2005 | 2004 | |||||||
(In thousands) | ||||||||
Balance, beginning of the year | $ | 18,208 | $ | — | ||||
Capital stock subject to mandatory redemption reclassified from equity upon adoption of SFAS 150 | — | 18,208 | ||||||
Capital stock subject to mandatory redemption reclassified from equity due to withdrawals | 3,899 | — | ||||||
Redemption of mandatorily redeemable capital stock due to withdrawals | (5,376 | ) | — | |||||
Balance, end of the year | $ | 16,731 | $ | 18,208 | ||||
• | In no case may the Bank redeem any capital stock if, following such redemption, the Bank would fail to satisfy its minimum capital requirements (i.e., a statutory capital/ asset ratio requirement, established by the GLB Act, and a regulatory risk-basedcapital-to-asset ratio requirement established by the |
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Finance Board). By law, all member holdings of Bank stock immediately become non-redeemable if the Bank becomes undercapitalized and only a minimal portion of outstanding stock qualifies for redemption consideration. | ||
• | In no case may the Bank redeem any capital stock if either its Board of Directors or the Finance Board determine that it has incurred, or is likely to incur, losses resulting, or expected to result, in a charge against capital. | |
• | In addition to possessing the authority to prohibit stock redemptions, the Bank’s Board of Directors has a right and an obligation to call for additional capital stock purchases by its members, as needed to satisfy statutory and regulatory capital requirements. | |
• | If, during the period between receipt of a stock redemption notification from a member and the actual redemption (which may last indefinitely if the Bank is undercapitalized, does not have the required credit rating, etc.), the Bank becomes insolvent and is either liquidated or forced to merge with another FHLBank, the redemption value of the stock will be established either through the market liquidation process or through negotiation with the merger partner. In either case all senior claims must first be settled at par, and there are no claims which are subordinated to the rights of Bank stockholders. | |
• | The GLB Act states that the Bank may repurchase, in its sole discretion, stock investments which exceed the required minimum amount. | |
• | In no case may the Bank redeem or repurchase any capital stock if the principal or interest payment due on any consolidated obligation issued by the Office of Finance has not been paid in full. | |
• | In no case may the Bank redeem or repurchase any capital stock if the Bank has failed to provide the Finance Board with the necessary quarterly certification required by Section 966.9(b)(1) of the Finance Board’s regulations prior to declaring or paying dividends for a quarter. | |
• | In no case may the Bank redeem or repurchase any capital stock if the Bank is unable to provide the required certification, projects that it will fail to comply with statutory or regulatory liquidity requirements or will be unable to timely and fully meet all of its obligations, actually fails to satisfy these requirements or obligations, or negotiates to enter or enters into an agreement with another Bank to obtain financial assistance to meet its current obligations. |
December 31, | December 31, | |||||||
2005 | 2004 | |||||||
(In thousands) | ||||||||
Deferred compensation | $ | (506 | ) | $ | (583 | ) | ||
Net unrealized gains on available-for-sale securities | 863 | 809 | ||||||
Net unrealized loss relating to hedging activities | (7,873 | ) | (11,894 | ) | ||||
Total | $ | (7,516 | ) | $ | (11,668 | ) | ||
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Year-ended December 31, | |||||||||||||
2005 | 2004 | 2003 | |||||||||||
(Dollars in thousands) | |||||||||||||
Income before cumulative effect of change in accounting principle | $ | 191,805 | $ | 109,067 | $ | 68,691 | |||||||
Cumulative effect of change in accounting principle | — | 9,788 | — | ||||||||||
Net income available to stockholders | $ | 191,805 | $ | 118,855 | $ | 68,691 | |||||||
Weighted average number of shares of capital used to calculate earnings per share(1) | 28,552 | 26,265 | 22,943 | ||||||||||
Earnings per share of capital before cumulative effect of change in accounting principle | $ | 6.72 | $ | 4.16 | $ | 2.99 | |||||||
Cumulative effect of change in accounting principle | — | 0.37 | — | ||||||||||
Basic and diluted earnings per share of capital | $ | 6.72 | $ | 4.53 | $ | 2.99 | |||||||
(1) | Weighted average shares excludes capital stock reclassified as a liability in accordance with SFAS 150. |
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For the Year-ended | ||||||||||||
2005 | 2004 | 2003 | ||||||||||
(In thousands) | ||||||||||||
Gains (losses) related to fair value hedge ineffectiveness | $ | 6,630 | $ | 17,746 | $ | 30,659 | ||||||
Gains (losses) on economic hedges | (714 | ) | (126,101 | ) | (188,975 | ) | ||||||
Gains (losses) related to cash flow hedge ineffectiveness | — | 62 | (2,980 | ) | ||||||||
Other | (1,248 | ) | 1,583 | 2,758 | ||||||||
Gains (losses) on intermediary hedges | (483 | ) | 383 | 533 | ||||||||
Net gains (losses) on derivatives and hedging activities | $ | 4,185 | $ | (106,327 | ) | $ | (158,005 | ) | ||||
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December 31, 2005 | December 31, 2004 | ||||||||||||||||
Estimated | Estimated | ||||||||||||||||
Notional | Fair Value | Notional | Fair Value | ||||||||||||||
(In thousands) | |||||||||||||||||
Interest rate swaps | |||||||||||||||||
Fair value | $ | 62,959,218 | $ | (73,529 | ) | $ | 47,492,118 | $ | (502,687 | ) | |||||||
Economic | 3,333,667 | (9,761 | ) | 5,737,595 | (47,115 | ) | |||||||||||
Intermediation | 94,442 | 147 | 368,801 | 754 | |||||||||||||
Interest rate swaptions | |||||||||||||||||
Economic | 525,000 | 650 | 1,046,000 | 387 | |||||||||||||
Interest rate caps/floors | |||||||||||||||||
Economic | — | — | 3,575,000 | 2,010 | |||||||||||||
Interest rate forward settlement agreements | |||||||||||||||||
Fair value | 1,056,000 | 1,452 | 77,000 | 106 | |||||||||||||
Mortgage delivery commitments | |||||||||||||||||
Economic | 17,727 | (13 | ) | 15,359 | 32 | ||||||||||||
Other | |||||||||||||||||
Economic | 11,250 | 13 | — | — | |||||||||||||
Embedded Derivatives | |||||||||||||||||
Callable bonds | — | — | 30,000 | 464 | |||||||||||||
Total | $ | 67,997,304 | $ | (81,041 | ) | $ | 58,341,873 | $ | (546,049 | ) | |||||||
Total derivatives excluding accrued interest | (81,041 | ) | (546,049 | ) | |||||||||||||
Accrued interest | 119,630 | 52,910 | |||||||||||||||
Net derivative balances | 38,589 | (493,139 | ) | ||||||||||||||
Net derivative asset balances | 317,033 | 148,160 | |||||||||||||||
Net derivative liability balances | (278,444 | ) | (641,299 | ) | |||||||||||||
Net derivative balances | $ | 38,589 | $ | (493,139 | ) | ||||||||||||
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2005 | 2004 | ||||||||
(In thousands) | |||||||||
Balance, beginning of the year | $ | 20,910 | $ | 12,914 | |||||
Committed subsidy, net | 3,468 | (1,875 | ) | ||||||
First Front Door set aside(1),net | 1,167 | 126 | |||||||
Uncommitted pool, net | 11,162 | 9,745 | |||||||
Balance, end of the year(2) | $ | 36,707 | $ | 20,910 | |||||
(1) | First Front Door — The Bank allocates a portion of the AHP subsidy pool on an annual basis to this program, which benefits qualifying first-time homebuyers. |
(2) | Outstanding commitments for approved projects were $16.7 million and $13.3 million at December 31, 2005 and 2004, respectively. |
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Note 19 — | Employee Retirement Plans |
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Supplemental | Postretirement Health | ||||||||||||||||
Retirement Plan | Benefit Plan | ||||||||||||||||
2005 | 2004 | 2005 | 2004 | ||||||||||||||
(In thousands) | |||||||||||||||||
Change in benefit obligation: | |||||||||||||||||
Balance, beginning of the year | $ | 3,565 | $ | 3,717 | $ | 3,073 | $ | 3,050 | |||||||||
Service cost | 383 | 168 | 93 | 72 | |||||||||||||
Interest cost | 318 | 196 | 171 | 177 | |||||||||||||
Actuarial loss (gain) | 2,288 | (430 | ) | (436 | ) | (30 | ) | ||||||||||
Benefits paid | (146 | ) | (86 | ) | (172 | ) | (196 | ) | |||||||||
Balance, end of the year | 6,408 | 3,565 | 2,729 | 3,073 | |||||||||||||
Change in fair value of plan assets: | |||||||||||||||||
Balance, beginning of the year fair value | — | — | — | — | |||||||||||||
Employer contribution | 146 | 86 | 172 | 196 | |||||||||||||
Benefits paid | (146 | ) | (86 | ) | (172 | ) | (196 | ) | |||||||||
Balance, end of the year fair value | — | — | — | — | |||||||||||||
Funded status(1) | (6,408 | ) | (3,565 | ) | (2,729 | ) | (3,073 | ) | |||||||||
Unrecognized net actuarial loss | 2,939 | 953 | 384 | 854 | |||||||||||||
Unrecognized prior service cost (benefit) | (61 | ) | (71 | ) | 488 | 529 | |||||||||||
Net amount recognized | $ | (3,530 | ) | $ | (2,683 | ) | $ | (1,857 | ) | $ | (1,690 | ) | |||||
(1) | The supplemental retirement plan and postretirement health plan are not funded; therefore no contributions will be made in 2006 except for the payment of benefits. |
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December 31, | December 31, | |||||||
2005 | 2004 | |||||||
(In thousands) | ||||||||
Accrued benefit liability | $ | (4,036 | ) | $ | (3,266 | ) | ||
Less amount in accumulated other comprehensive (loss)(1) | (506 | ) | (583 | ) | ||||
Net amount recognized | $ | (3,530 | ) | $ | (2,683 | ) | ||
(1) | The change in this amount is reflected in other comprehensive income (loss) on the statement of changes in capital. |
Supplemental | Postretirement Health | |||||||||||||||||||||||
Retirement Plan | Benefit Plan | |||||||||||||||||||||||
2005 | 2004 | 2003 | 2005 | 2004 | 2003 | |||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||
Service cost | $ | 383 | $ | 168 | $ | 228 | $ | 94 | $ | 72 | $ | 31 | ||||||||||||
Interest cost | 318 | 196 | 228 | 171 | 177 | 122 | ||||||||||||||||||
Amortization of unrecognized prior service cost (benefit) | (10 | ) | 48 | 48 | 40 | 40 | 2 | |||||||||||||||||
Amortization of unrecognized net loss | 302 | 26 | 111 | 34 | 39 | 14 | ||||||||||||||||||
Net periodic benefit cost | $ | 993 | $ | 438 | $ | 615 | $ | 339 | $ | 328 | $ | 169 | ||||||||||||
Supplemental | Postretirement Health | |||||||||||||||||||||||
Retirement Plan | Benefit Plan | |||||||||||||||||||||||
Benefit Obligation | 2005 | 2004 | 2003 | 2005 | 2004 | 2003 | ||||||||||||||||||
Discount rate | 5.5 | % | 5.8 | % | 7.0 | % | 5.5 | % | 5.8 | % | 6.0 | % | ||||||||||||
Salary increase | 5.0 | % | 5.0 | % | 5.0 | % | n/a | n/a | n/a | |||||||||||||||
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Supplemental | Postretirement Health | |||||||||||||||||||||||
Retirement Plan | Benefit Plan | |||||||||||||||||||||||
Cost | 2005 | 2004 | 2003 | 2005 | 2004 | 2003 | ||||||||||||||||||
Discount rate | 5.8 | % | 7.0 | % | 7.0 | % | 5.8 | % | 6.0 | % | 6.5 | % | ||||||||||||
Salary increase | 5.0 | % | 5.0 | % | 5.0 | % | n/a | n/a | n/a | |||||||||||||||
December 31, | December 31, | |||||||
Health Care Cost Trend Rates | 2005 | 2004 | ||||||
Assumed for next year | 8.0 | % | 9.0 | % | ||||
Ultimate rate | 5.0 | % | 5.0 | % | ||||
Year that ultimate rate is reached | 2009 | 2009 |
Supplemental | Postretirement Health | |||||||
Retirement Plan | Benefit Plan | |||||||
(In thousands) | ||||||||
2006 | $ | 2,076 | $ | 180 | ||||
2007 | 35 | 184 | ||||||
2008 | 51 | 188 | ||||||
2009 | 69 | 191 | ||||||
2010 | 99 | 195 | ||||||
2011-2015 | 1,004 | 1,066 |
Note 20 — | Transactions with Related Parties |
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December 31, | December 31, | |||||||
2005 | 2004 | |||||||
(In thousands) | ||||||||
Loans to members | $ | 25,367,245 | $ | 16,642,255 | ||||
Deposits | 36,397 | 23,147 | ||||||
Capital stock | 1,351,109 | 1,011,839 |
Year-Ended December 31, | ||||||||||||
2005 | 2004 | 2003 | ||||||||||
(In thousands) | ||||||||||||
Interest income on loans to members | $ | 620,803 | $ | 417,662 | $ | 374,773 | ||||||
Interest expense on deposits | 1,086 | 557 | 979 |
Year-Ended December 31, | ||||||||||||
2005 | 2004 | 2003 | ||||||||||
(In millions) | ||||||||||||
Borrowed from other FHLBanks | $ | 7,737 | $ | 28,548 | $ | 47,428 | ||||||
Repaid to other FHLBanks | 7,737 | 28,608 | 47,368 | |||||||||
Loaned to other FHLBanks | — | 1,121 | 3,661 | |||||||||
Repaid by other FHLBanks | — | 1,121 | 3,851 |
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Year-ended December 31, | ||||||||||||
2005 | 2004 | 2003 | ||||||||||
(In thousands) | ||||||||||||
Contract extension fee paid | — | — | $ | 750 | ||||||||
Participation fees received | — | — | 156 | |||||||||
Termination fee received | — | — | 1,750 |
Note 21 — | Estimated Fair Values |
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Net | |||||||||||||
Carrying | Unrealized | Estimated | |||||||||||
Value | Gains (Losses) | Fair Value | |||||||||||
(In thousands) | |||||||||||||
Assets | |||||||||||||
Cash and due from banks | $ | 115,370 | $ | — | $ | 115,370 | |||||||
Interest-bearing deposits | 3,259,894 | (1,077 | ) | 3,258,817 | |||||||||
Federal funds sold | 2,320,000 | (504 | ) | 2,319,496 | |||||||||
Available-for-sale securities | 331,297 | — | 331,297 | ||||||||||
Held-to-maturity securities | 11,034,630 | (206,246 | ) | 10,828,384 | |||||||||
Loans to members | 47,492,959 | 50,546 | 47,543,505 | ||||||||||
Mortgage loans held for portfolio, net | 7,651,914 | (243,562 | ) | 7,408,352 | |||||||||
Accrued interest receivable | 304,193 | — | 304,193 | ||||||||||
Derivative assets | 317,033 | — | 317,033 | ||||||||||
Other assets, including Banking On Business loans | 70,921 | (38,447 | ) | 32,474 | |||||||||
Liabilities | |||||||||||||
Deposits | $ | 1,063,091 | $ | — | $ | 1,063,091 | |||||||
Mandatorily redeemable capital stock | 16,731 | — | 16,731 | ||||||||||
Consolidated obligations: | |||||||||||||
Discount notes | 14,580,400 | (2,121 | ) | 14,578,279 | |||||||||
Bonds | 53,142,937 | 155,123 | 53,298,060 | ||||||||||
Accrued interest payable | 436,214 | — | 436,214 | ||||||||||
Derivative liabilities | 278,444 | — | 278,444 | ||||||||||
Other liabilities | 120,848 | — | 120,848 |
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Net | |||||||||||||
Carrying | Unrealized | Estimated | |||||||||||
Value | Gains (Losses) | Fair Value | |||||||||||
(In thousands) | |||||||||||||
Assets | |||||||||||||
Cash and due from banks | $ | 92,245 | $ | — | $ | 92,245 | |||||||
Interest-bearing deposits | 1,347,009 | (141 | ) | 1,346,868 | |||||||||
Federal funds sold | 2,255,000 | (271 | ) | 2,254,729 | |||||||||
Trading securities | 311,306 | — | 311,306 | ||||||||||
Available-for-sale securities | 631,139 | — | 631,139 | ||||||||||
Held-to-maturity securities | 8,385,403 | (124,597 | ) | 8,260,806 | |||||||||
Loans to members | 38,980,353 | (5,435 | ) | 38,974,918 | |||||||||
Mortgage loans held for portfolio, net | 8,644,995 | 146,100 | 8,791,095 | ||||||||||
Accrued interest receivable | 212,567 | — | 212,567 | ||||||||||
Derivative assets | 148,160 | — | 148,160 | ||||||||||
Other assets, including Banking On Business loans | 60,421 | (33,435 | ) | 26,986 | |||||||||
Liabilities | |||||||||||||
Deposits | $ | 1,018,600 | $ | — | $ | 1,018,600 | |||||||
Mandatorily redeemable capital stock | 18,208 | — | 18,208 | ||||||||||
Consolidated obligations: | |||||||||||||
Discount notes | 15,160,634 | (2,327 | ) | 15,158,307 | |||||||||
Bonds | 41,074,815 | 283,380 | 41,358,195 | ||||||||||
Accrued interest payable | 299,988 | — | 299,988 | ||||||||||
Derivative liabilities | 641,299 | — | 641,299 | ||||||||||
Other liabilities | 93,730 | — | 93,730 |
Note 22 — | Segments |
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Traditional | MPF® or | |||||||||||
Member | Mortgage | |||||||||||
Finance | Finance | Total | ||||||||||
(In thousands) | ||||||||||||
2005 | ||||||||||||
Net interest income | $ | 236,213 | $ | 73,330 | $ | 309,543 | ||||||
Provision for credit losses | 1,211 | 878 | 2,089 | |||||||||
Other income (loss) | 13,092 | (5,690 | ) | 7,402 | ||||||||
Other expenses | 49,852 | 3,874 | 53,726 | |||||||||
Income before assessments | 198,242 | 62,888 | 261,130 | |||||||||
Affordable Housing Program | 16,240 | 5,134 | 21,374 | |||||||||
REFCORP | 36,400 | 11,551 | 47,951 | |||||||||
Total assessments | 52,640 | 16,685 | 69,325 | |||||||||
Net income before cumulative effect of change in accounting principle | $ | 145,602 | $ | 46,203 | $ | 191,805 | ||||||
Total assets | $ | 65,246,297 | $ | 7,651,914 | $ | 72,898,211 | ||||||
2004 | ||||||||||||
Net interest income | $ | 118,345 | $ | 181,425 | $ | 299,770 | ||||||
Provision (benefit) for credit losses | 142 | 166 | 308 | |||||||||
Other income (loss) | 40,252 | (141,901 | ) | (101,649 | ) | |||||||
Other expenses | 42,887 | 2,911 | 45,798 | |||||||||
Income before assessments | 115,568 | 36,447 | 152,015 | |||||||||
Affordable Housing Program | 10,259 | 2,975 | 13,234 | |||||||||
REFCORP | 23,020 | 6,694 | 29,714 | |||||||||
Total assessments | 33,279 | 9,669 | 42,948 | |||||||||
Net income before cumulative effect of change in accounting principle | $ | 82,289 | $ | 26,778 | $ | 109,067 | ||||||
Total assets | $ | 52,423,603 | $ | 8,644,995 | $ | 61,068,598 | ||||||
2003 | ||||||||||||
Net interest income | $ | 71,292 | $ | 207,438 | $ | 278,730 | ||||||
Provision (benefit) for credit losses | (6,428 | ) | (147 | ) | (6,575 | ) | ||||||
Other income/(loss) | (623 | ) | (152,961 | ) | (153,584 | ) | ||||||
Other expenses | 36,591 | 1,634 | 38,225 | |||||||||
Income before assessments | 40,506 | 52,990 | 93,496 | |||||||||
Affordable Housing Program | 3,306 | 4,326 | 7,632 | |||||||||
REFCORP | 7,440 | 9,733 | 17,173 | |||||||||
Total assessments | 10,746 | 14,059 | 24,805 | |||||||||
Net income before cumulative effect of change in accounting principle | $ | 29,760 | $ | 38,931 | $ | 68,691 | ||||||
Total assets | $ | 45,135,220 | $ | 8,015,647 | $ | 53,150,867 | ||||||
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Note 23 — | Commitments and Contingencies |
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December 31, 2005 | ||||||||||||
Premises | Equipment | Total | ||||||||||
(In thousands) | ||||||||||||
2006 | $ | 2,404 | $ | 60 | $ | 2,464 | ||||||
2007 | 2,398 | 53 | 2,451 | |||||||||
2008 | 2,331 | 51 | 2,382 | |||||||||
2009 | 2,305 | 13 | 2,318 | |||||||||
2010 | 864 | — | 864 | |||||||||
Thereafter | — | — | — | |||||||||
Total | $ | 10,302 | $ | 177 | $ | 10,479 | ||||||
Note 24 — | Other Developments |
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For the Three Months | |||||||||
Ended March 31, | |||||||||
2006 | 2005 | ||||||||
(Restated) | |||||||||
(Unaudited) | |||||||||
(In thousands, except per | |||||||||
share amounts) | |||||||||
Interest income: | |||||||||
Loans to members | $ | 527,334 | $ | 251,135 | |||||
Prepayment fees on loans to members, net | 95 | 821 | |||||||
Interest-bearing deposits | 37,604 | 4,309 | |||||||
Federal funds sold | 34,657 | 9,268 | |||||||
Investment securities | 128,210 | 92,374 | |||||||
Mortgage loans held for portfolio | 95,219 | 105,651 | |||||||
Total interest income | 823,119 | 463,558 | |||||||
Interest expense: | |||||||||
Consolidated obligation bonds | 605,710 | 303,060 | |||||||
Consolidated obligation discount notes | 127,253 | 75,968 | |||||||
Deposits | 11,758 | 6,292 | |||||||
Mandatorily redeemable capital stock | 132 | 128 | |||||||
Other borrowings | 16 | 752 | |||||||
Total interest expense | 744,869 | 386,200 | |||||||
Net interest income before provision for credit losses | 78,250 | 77,358 | |||||||
Provision for credit losses | 570 | 637 | |||||||
Net interest income after provision for credit losses | 77,680 | 76,721 | |||||||
Other income (loss): | |||||||||
Service fees | 1,173 | 870 | |||||||
Net loss on sale of trading securities | — | (999 | ) | ||||||
Net gain on derivatives and hedging activities | 4,626 | 34,844 | |||||||
Other, net | 468 | 233 | |||||||
Total other income (loss) | 6,267 | 34,948 | |||||||
Other expense: | |||||||||
Salaries and benefits operating expense | 9,832 | 7,190 | |||||||
Other operating expense | 5,338 | 4,170 | |||||||
Finance Board and Office of Finance | 1,133 | 1,128 | |||||||
Total other expense | 16,303 | 12,488 | |||||||
Income before assessments | 67,644 | 99,181 | |||||||
Affordable Housing Program | 5,535 | 8,110 | |||||||
REFCORP | 12,422 | 18,214 | |||||||
Total assessments | 17,957 | 26,324 | |||||||
Net income | $ | 49,687 | $ | 72,857 | |||||
Earnings per share: | |||||||||
Weighted average shares outstanding | 29,641 | 24,817 | |||||||
Basic and diluted earnings per share | $ | 1.68 | $ | 2.94 | |||||
Dividends per share | $ | 0.81 | $ | 0.70 | |||||
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March 31, | December 31, | ||||||||
2006 | 2005 | ||||||||
(In thousands, except par value) | |||||||||
ASSETS | |||||||||
Cash and due from banks | $ | 45,656 | $ | 115,370 | |||||
Interest-bearing deposits | 3,180,347 | 3,259,894 | |||||||
Federal funds sold | 4,600,000 | 2,320,000 | |||||||
Investment securities: | |||||||||
Available-for-sale securities, at fair value; amortized cost of $137,884 and $330,434, respectively (Note 4) | 139,113 | 331,297 | |||||||
Held-to-maturity securities, at amortized cost; fair value of $10,740,807 and $10,828,384 respectively (Note 5) | 11,041,413 | 11,034,630 | |||||||
Loans to members (Note 6) | 45,220,974 | 47,492,959 | |||||||
Mortgage loans held for portfolio (Note 7), net of allowance for credit losses of $678 and $657, respectively | 7,439,741 | 7,651,914 | |||||||
Banking On Business loans, net of allowance for credit losses of $4,992 and $4,868, respectively | 10,583 | 10,653 | |||||||
Accrued interest receivable | 335,247 | 304,193 | |||||||
Premises and equipment, net | 15,748 | 14,918 | |||||||
Derivative assets (Note 10) | 448,140 | 317,033 | |||||||
Other assets | 49,738 | 45,350 | |||||||
Total assets | $ | 72,526,700 | $ | 72,898,211 | |||||
LIABILITIES AND CAPITAL | |||||||||
Liabilities | |||||||||
Deposits: | |||||||||
Interest-bearing | $ | 1,594,730 | $ | 1,060,605 | |||||
Noninterest-bearing | 2,552 | 2,486 | |||||||
Consolidated obligations, net: (Note 8) | |||||||||
Bonds | 56,513,968 | 53,142,937 | |||||||
Discount notes | 10,414,971 | 14,580,400 | |||||||
Total consolidated obligations, net | 66,928,939 | 67,723,337 | |||||||
Mandatorily redeemable capital stock (Note 9) | 16,191 | 16,731 | |||||||
Accrued interest payable | 466,172 | 436,214 | |||||||
Affordable Housing Program | 40,634 | 36,707 | |||||||
Payable to REFCORP | 15,067 | 14,633 | |||||||
Derivative liabilities (Note 10) | 249,315 | 278,444 | |||||||
Other liabilities | 35,400 | 69,508 | |||||||
Total liabilities | 69,349,000 | 69,638,665 | |||||||
Commitments and contingencies (Note 13) | — | — | |||||||
Capital(Note 9) | |||||||||
Capital stock — putable ($100 par value) issued and outstanding shares: | |||||||||
29,700 and 30,786 shares in 2006 and 2005, respectively | 2,970,033 | 3,078,583 | |||||||
Retained earnings | 214,152 | 188,479 | |||||||
Accumulated other comprehensive income (loss) (Note 9) | (6,485 | ) | (7,516 | ) | |||||
Total capital | 3,177,700 | 3,259,546 | |||||||
Total liabilities and capital | $ | 72,526,700 | $ | 72,898,211 | |||||
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For the Three Months Ended | ||||||||||
March 31, | ||||||||||
2006 | 2005 | |||||||||
(Restated) | ||||||||||
(Unaudited) | ||||||||||
(In thousands) | ||||||||||
OPERATING ACTIVITIES | ||||||||||
Net income | $ | 49,687 | $ | 72,857 | ||||||
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | ||||||||||
Depreciation and amortization: | ||||||||||
Net premiums and discounts on consolidated obligations and investments | 71,015 | 13,395 | ||||||||
Net premiums and discounts on mortgage loans | 5,084 | 9,658 | ||||||||
Concessions on consolidated obligation bonds | 3,121 | 2,921 | ||||||||
Bank premises and equipment | 812 | 694 | ||||||||
Provision for credit losses | 570 | 637 | ||||||||
Net realized loss on trading securities | — | 999 | ||||||||
Net realized loss on disposal of Bank premises and equipment | 4 | — | ||||||||
Loss due to change in net fair value adjustment on derivative and hedging activities | 128,264 | 226,552 | ||||||||
Total adjustments | 208,870 | 254,856 | ||||||||
Changes in assets and liabilities: | ||||||||||
Trading securities, net of transfers | — | 88,307 | ||||||||
Accrued interest receivable | (31,054 | ) | (1,820 | ) | ||||||
Derivative asset net accrued interest | (131,207 | ) | (19,245 | ) | ||||||
Derivative liability net accrued interest | (29,116 | ) | (291,416 | ) | ||||||
Other assets | (50 | ) | 5,936 | |||||||
Affordable Housing Program (AHP) liability and discount on AHP loans to members | 3,872 | 7,854 | ||||||||
Accrued interest payable | 29,958 | 16,885 | ||||||||
Payable to REFCORP | 434 | 10,470 | ||||||||
Other liabilities | (5,056 | ) | (4,589 | ) | ||||||
Total changes in assets and liabilities | (162,219 | ) | (187,618 | ) | ||||||
Net cash provided by operating activities | $ | 96,338 | $ | 140,095 | ||||||
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For the Three Months | |||||||||
Ended March 31, | |||||||||
2006 | 2005 | ||||||||
(Restated) | |||||||||
(Unaudited) | |||||||||
(In thousands) | |||||||||
INVESTING ACTIVITIES | |||||||||
Net change in: | |||||||||
Interest-bearing deposits | $ | 79,409 | $ | 661,781 | |||||
Federal funds sold | (2,280,000 | ) | (247,000 | ) | |||||
Commercial paper | 26,613 | 1,875 | |||||||
Deposits to other FHLBanks | 138 | (209 | ) | ||||||
Proceeds from: | |||||||||
Maturities of held-to-maturity securities, except commercial paper | 372,838 | 430,807 | |||||||
Maturities of available-for-sale securities | 192,555 | 68,979 | |||||||
Sale of Bank premises and equipment | 11 | — | |||||||
Purchases of: | |||||||||
Held-to-maturity securities, except commercial paper | (406,117 | ) | (558,283 | ) | |||||
Available-for-sales securities | — | (9 | ) | ||||||
Mortgage loans held for portfolio | (49,107 | ) | (616,204 | ) | |||||
Bank premises and equipment | (1,671 | ) | (1,510 | ) | |||||
Principal collected on members loans and BOB loans | 244,647,273 | 422,025,756 | |||||||
Loans made to members, including BOB loans | (242,668,619 | ) | (421,251,572 | ) | |||||
Principal collected on mortgage loans held for portfolio | 256,145 | 438,864 | |||||||
Net cash provided by investing activities | $ | 169,468 | $ | 953,275 | |||||
FINANCING ACTIVITIES | |||||||||
Net change in: | |||||||||
Deposits | $ | 528,836 | $ | 104,539 | |||||
Net proceeds from issuance of consolidated obligations: | |||||||||
Discount notes | 56,857,700 | 249,802,890 | |||||||
Bonds | 8,344,926 | 5,019,077 | |||||||
Payments for maturing or called consolidated obligations: | |||||||||
Discount notes | (61,082,827 | ) | (251,939,317 | ) | |||||
Bonds | (4,826,943 | ) | (3,892,465 | ) | |||||
Proceeds from issuance of capital stock | 1,319,471 | 1,728,984 | |||||||
Payments for redemption/ repurchase of capital stock | (1,428,561 | ) | (1,937,487 | ) | |||||
Cash dividends paid | (48,122 | ) | (16,080 | ) | |||||
Net cash (used in) financing activities | $ | (335,520 | ) | $ | (1,129,859 | ) | |||
Net increase (decrease) in cash and due from banks | $ | (69,714 | ) | $ | (36,489 | ) | |||
Cash and due from banks, beginning of period | 115,370 | 92,245 | |||||||
Cash and due from banks, end of period | $ | 45,656 | $ | 55,756 | |||||
Supplemental disclosures: | |||||||||
Interest paid during the year | $ | 568,145 | $ | 274,551 | |||||
Affordable Housing Program payments, net | 1,608 | 199 | |||||||
REFCORP payments | 11,988 | 7,745 |
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Accumulated | |||||||||||||||||||||
Capital Stock — Putable | Other | ||||||||||||||||||||
Retained | Comprehensive | ||||||||||||||||||||
Shares | Par Value | Earnings | Income | Total Capital | |||||||||||||||||
(Unaudited) | |||||||||||||||||||||
(In thousands, except shares) | |||||||||||||||||||||
Balance December 31, 2004 (restated) | 26,958 | $ | 2,695,802 | $ | 77,190 | $ | (11,668 | ) | $ | 2,761,324 | |||||||||||
Sale of capital stock | 17,290 | 1,728,984 | 1,728,984 | ||||||||||||||||||
Redemption/ repurchase of capital stock | (19,375 | ) | (1,937,487 | ) | (1,937,487 | ) | |||||||||||||||
Comprehensive income: | |||||||||||||||||||||
Net income | 72,857 | 72,857 | |||||||||||||||||||
Net unrealized gain on available-for-sale securities | 164 | 164 | |||||||||||||||||||
Net gain relating to hedging activities | 946 | 946 | |||||||||||||||||||
Total comprehensive income | 72,857 | 1,110 | 73,967 | ||||||||||||||||||
Cash dividends on capital stock | (17,365 | ) | (17,365 | ) | |||||||||||||||||
Balance March 31, 2005 (restated) | 24,873 | $ | 2,487,299 | $ | 132,682 | $ | (10,558 | ) | $ | 2,609,423 | |||||||||||
Balance December 31, 2005 | 30,786 | $ | 3,078,583 | $ | 188,479 | $ | (7,516 | ) | $ | 3,259,546 | |||||||||||
Sale of capital stock | 13,195 | 1,319,471 | 1,319,471 | ||||||||||||||||||
Repurchase of capital stock | (14,281 | ) | (1,428,021 | ) | (1,428,021 | ) | |||||||||||||||
Comprehensive income: | |||||||||||||||||||||
Net income | 49,687 | 49,687 | |||||||||||||||||||
Net unrealized gain on available-for-sale securities | 365 | 365 | |||||||||||||||||||
Net gain relating to hedging activities | 666 | 666 | |||||||||||||||||||
Total comprehensive income | 49,687 | 1,031 | 50,718 | ||||||||||||||||||
Cash dividends on capital stock | (24,014 | ) | (24,014 | ) | |||||||||||||||||
Balance March 31, 2006 | 29,700 | $ | 2,970,033 | $ | 214,152 | $ | (6,485 | ) | $ | 3,177,700 | |||||||||||
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As Previously | |||||||||||||
Reported | Adjustments | As Restated | |||||||||||
(In thousands, except per share amounts) | |||||||||||||
Interest income: | |||||||||||||
Loans to members | $ | 247,412 | $ | 3,724 | $ | 251,136 | |||||||
Prepayment fees on loans to members | 603 | 218 | 821 | ||||||||||
Held-to-maturity securities | 85,558 | (59 | ) | 85,499 | |||||||||
Mortgage loans held for portfolio | 84,774 | 20,877 | 105,651 | ||||||||||
Other | 20,452 | (1 | ) | 20,451 | |||||||||
Total interest income | 438,799 | 24,759 | 463,558 | ||||||||||
Interest expense: | |||||||||||||
Consolidated obligation bonds | 379,545 | (517 | ) | 379,028 | |||||||||
Other | 7,172 | — | 7,172 | ||||||||||
Total interest expense | 386,717 | (517 | ) | 386,200 | |||||||||
Net interest income before provision for credit losses | 52,082 | 25,276 | 77,358 | ||||||||||
Provision for credit losses | 446 | 191 | 637 | ||||||||||
Net interest income after provision for credit losses | 51,636 | 25,085 | 76,721 | ||||||||||
Other income: | |||||||||||||
Net gain on derivatives and hedging activities | 8,067 | 26,777 | 34,844 | ||||||||||
Other | 89 | 15 | 104 | ||||||||||
Total other income | 8,156 | 26,792 | 34,948 | ||||||||||
Other expense: | |||||||||||||
Operating expense — other | 5,112 | (942 | ) | 4,170 | |||||||||
Other | 8,038 | 280 | 8,318 | ||||||||||
Total other expense | 13,150 | (662 | ) | 12,488 | |||||||||
Income before assessments | 46,642 | 52,539 | 99,181 | ||||||||||
Affordable Housing Program | 3,821 | 4,289 | 8,110 | ||||||||||
REFCORP | 8,564 | 9,650 | 18,214 | ||||||||||
Total assessments | 12,385 | 13,939 | 26,324 | ||||||||||
Net income | $ | 34,257 | $ | 38,600 | $ | 72,857 | |||||||
Earnings per share | $ | 1.38 | $ | 1.56 | $ | 2.94 | |||||||
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As Previously | ||||||||||||||
Reported | Adjustments | As Restated | ||||||||||||
(In thousands) | ||||||||||||||
OPERATING ACTIVITIES | ||||||||||||||
Net income | $ | 34,257 | $ | 38,600 | $ | 72,857 | ||||||||
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | ||||||||||||||
Depreciation and amortization: | ||||||||||||||
Net premiums and discounts on consolidated obligations and investments | 22,675 | (9,280 | ) | 13,395 | ||||||||||
Net premiums and discounts on mortgage loans | 9,761 | (103 | ) | 9,658 | ||||||||||
Concessions on consolidated obligation bonds | 2,809 | 112 | 2,921 | |||||||||||
Provision for credit losses | 446 | 191 | 637 | |||||||||||
Realized loss on trading securities | — | 999 | 999 | |||||||||||
Loss (gain) due to change in net fair value adjustment on derivative and hedging activities | (25,254 | ) | 251,806 | 226,552 | ||||||||||
Other | 694 | — | 694 | |||||||||||
Total adjustments | 11,131 | 243,725 | 254,856 | |||||||||||
Changes in assets and liabilities: | ||||||||||||||
Trading securities | 89,306 | (999 | ) | 88,307 | ||||||||||
Accrued interest receivable | (13,047 | ) | 11,227 | (1,820 | ) | |||||||||
Derivative asset net accrued interest | — | (19,245 | ) | (19,245 | ) | |||||||||
Derivative liability net accrued interest | — | (291,416 | ) | (291,416 | ) | |||||||||
Other assets | 6,013 | (77 | ) | 5,936 | ||||||||||
Affordable Housing Program (AHP) liability and discount on AHP loans to members | 3,651 | 4,203 | 7,854 | |||||||||||
Payable to REFCORP | 1,014 | 9,456 | 10,470 | |||||||||||
Other liabilities | (6,825 | ) | 2,236 | (4,589 | ) | |||||||||
Other | 16,885 | — | 16,885 | |||||||||||
Total changes in assets and liabilities | 96,997 | (284,615 | ) | (187,618 | ) | |||||||||
Net cash provided by operating activities | $ | 142,385 | $ | (2,290 | ) | $ | 140,095 | |||||||
INVESTING ACTIVITIES | ||||||||||||||
Net change in commercial paper | $ | 1,475 | $ | 400 | $ | 1,875 | ||||||||
Purchases of: | ||||||||||||||
Available for sale securities | — | (9 | ) | (9 | ) | |||||||||
Mortgage loans held for portfolio | (631,070 | ) | 14,866 | (616,204 | ) | |||||||||
Principal collected on members loans and BOB loans | 422,025,642 | 114 | 422,025,756 | |||||||||||
Loans made to members, including BOB loans | (421,251,457 | ) | (115 | ) | (421,251,572 | ) | ||||||||
Principle collected on mortgage loans held for portfolio | 453,730 | (14,866 | ) | 438,864 | ||||||||||
Other | 354,565 | — | 354,565 | |||||||||||
Net cash provided by investing activities | $ | 952,885 | $ | 390 | $ | 953,275 | ||||||||
FINANCING ACTIVITIES | ||||||||||||||
Net change in: | ||||||||||||||
Deposits | $ | 106,831 | $ | (2,292 | ) | $ | 104,539 | |||||||
Net proceeds from issuance of consolidated obligations: | ||||||||||||||
Discount notes | 249,803,284 | (394 | ) | 249,802,890 | ||||||||||
Bonds | 5,017,554 | 1,523 | 5,019,077 | |||||||||||
Payments for maturing or called consolidated obligations: | ||||||||||||||
Bonds | (3,895,617 | ) | 3,152 | (3,892,465 | ) | |||||||||
Other | (252,163,900 | ) | — | (252,163,900 | ) | |||||||||
Net cash (used in) financing activities | $ | (1,131,848 | ) | $ | 1,989 | $ | (1,129,859 | ) | ||||||
Net increase (decrease) in cash and due from banks | $ | (36,578 | ) | $ | 89 | $ | (36,489 | ) | ||||||
Cash and due from banks, beginning of the period | 92,224 | 21 | 92,245 | |||||||||||
Cash and due from banks, end of the period | $ | 55,646 | $ | 110 | $ | 55,756 | ||||||||
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Note 3 — | Accounting Adjustments, Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations |
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March 31, 2006 | ||||||||||||||||
Gross Unrealized | Gross Unrealized | Estimated Fair | ||||||||||||||
Amortized Cost | Gains | Losses | Value | |||||||||||||
(In thousands) | ||||||||||||||||
Equity mutual funds offsetting deferred compensation | $ | 4,014 | $ | 1,019 | $ | — | $ | 5,033 | ||||||||
Private label mortgage-backed securities | 133,870 | 210 | — | 134,080 | ||||||||||||
Total available-for-sale securities | $ | 137,884 | $ | 1,229 | $ | — | $ | 139,113 | ||||||||
December 31, 2005 | ||||||||||||||||
Gross Unrealized | Gross Unrealized | Estimated Fair | ||||||||||||||
Amortized Cost | Gains | Losses | Value | |||||||||||||
(In thousands) | ||||||||||||||||
Equity mutual funds offsetting deferred compensation | $ | 4,014 | $ | 759 | $ | — | $ | 4,773 | ||||||||
Private label mortgage-backed securities | 326,420 | 129 | (25 | ) | 326,524 | |||||||||||
Total available-for-sale securities | $ | 330,434 | $ | 888 | $ | (25 | ) | $ | 331,297 | |||||||
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March 31, 2006 | |||||||||||||||||
Gross Unrealized | Gross Unrealized | Estimated Fair | |||||||||||||||
Amortized Cost | Gains | Losses | Value | ||||||||||||||
(In thousands) | |||||||||||||||||
Commercial paper | $ | 124,729 | $ | — | $ | — | $ | 124,729 | |||||||||
Other U.S. obligations | 3,655 | — | — | 3,655 | |||||||||||||
Government-sponsored enterprises | 850,614 | 230 | (7,968 | ) | 842,876 | ||||||||||||
State or local agency obligations | 815,779 | 8,166 | (3,367 | ) | 820,578 | ||||||||||||
1,794,777 | 8,396 | (11,335 | ) | 1,791,838 | |||||||||||||
Mortgage-backed securities: | |||||||||||||||||
U.S. agency | 87,886 | 124 | (3,647 | ) | 84,363 | ||||||||||||
Government-sponsored enterprises | 1,687,746 | 403 | (79,607 | ) | 1,608,542 | ||||||||||||
Private label | 7,471,004 | 410 | (215,350 | ) | 7,256,064 | ||||||||||||
Total mortgage-backed securities | 9,246,636 | 937 | (298,604 | ) | 8,948,969 | ||||||||||||
Total held-to-maturity securities | $ | 11,041,413 | $ | 9,333 | $ | (309,939 | ) | $ | 10,740,807 | ||||||||
December 31, 2005 | |||||||||||||||||
Gross Unrealized | Gross Unrealized | Estimated Fair | |||||||||||||||
Amortized Cost | Gains | Losses | Value | ||||||||||||||
(In thousands) | |||||||||||||||||
Commercial paper | $ | 149,405 | $ | — | $ | — | $ | 149,405 | |||||||||
Other U.S. obligations | 3,663 | 27 | — | 3,690 | |||||||||||||
Government-sponsored enterprises | 556,260 | 340 | (4,809 | ) | 551,791 | ||||||||||||
State or local agency obligations | 815,533 | 11,140 | (1,663 | ) | 825,010 | ||||||||||||
1,524,861 | 11,507 | (6,472 | ) | 1,529,896 | |||||||||||||
Mortgage-backed securities: | |||||||||||||||||
U.S. agency | 95,074 | 197 | (3,359 | ) | 91,912 | ||||||||||||
Government-sponsored enterprises | 1,747,012 | 1,781 | (63,028 | ) | 1,685,765 | ||||||||||||
Private label | 7,667,683 | 711 | (147,583 | ) | 7,520,811 | ||||||||||||
Total mortgage-backed securities | 9,509,769 | 2,689 | (213,970 | ) | 9,298,488 | ||||||||||||
Total held-to-maturity securities | $ | 11,034,630 | $ | 14,196 | $ | (220,442 | ) | $ | 10,828,384 | ||||||||
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March 31, 2006 | |||||||||||||||||||||||||
Less Than 12 Months | Greater Than 12 Months | Total | |||||||||||||||||||||||
Fair | Unrealized | Fair | Unrealized | Fair | Unrealized | ||||||||||||||||||||
Value | Losses | Value | Losses | Value | Losses | ||||||||||||||||||||
(In thousands) | |||||||||||||||||||||||||
Government-sponsored enterprises | $ | 596,880 | $ | (3,120 | ) | $ | 145,766 | $ | (4,848 | ) | $ | 742,646 | $ | (7,968 | ) | ||||||||||
State or local agency obligations | 71,588 | (2,763 | ) | 10,721 | (604 | ) | 82,309 | (3,367 | ) | ||||||||||||||||
668,468 | (5,883 | ) | 156,487 | (5,452 | ) | 824,955 | (11,335 | ) | |||||||||||||||||
Mortgage-backed securities: | |||||||||||||||||||||||||
U.S. agency | 2,750 | (11 | ) | 62,505 | (3,636 | ) | 65,255 | (3,647 | ) | ||||||||||||||||
Government-sponsored enterprises | 762,252 | (17,097 | ) | 968,820 | (66,930 | ) | 1,731,072 | (84,027 | ) | ||||||||||||||||
Private label | 3,712,019 | (65,481 | ) | 3,251,588 | (145,449 | ) | 6,963,607 | (210,930 | ) | ||||||||||||||||
Total mortgage-backed securities | 4,477,021 | (82,589 | ) | 4,282,913 | (216,015 | ) | 8,759,934 | (298,604 | ) | ||||||||||||||||
Total held-to-maturity securities | $ | 5,145,489 | $ | (88,472 | ) | $ | 4,439,400 | $ | (221,467 | ) | $ | 9,584,889 | $ | (309,939 | ) | ||||||||||
December 31, 2005 | |||||||||||||||||||||||||
Less Than 12 Months | Greater Than 12 Months | Total | |||||||||||||||||||||||
Fair | Unrealized | Fair | Unrealized | Fair | Unrealized | ||||||||||||||||||||
Value | Losses | Value | Losses | Value | Losses | ||||||||||||||||||||
(In thousands) | |||||||||||||||||||||||||
Government-sponsored enterprises | $ | 351,451 | $ | (4,809 | ) | $ | — | $ | — | $ | 351,451 | $ | (4,809 | ) | |||||||||||
State or local agency obligations | 28,977 | (1,169 | ) | 10,831 | (494 | ) | 39,808 | (1,663 | ) | ||||||||||||||||
380,428 | (5,978 | ) | 10,831 | (494 | ) | 391,259 | (6,472 | ) | |||||||||||||||||
Mortgage-backed securities: | |||||||||||||||||||||||||
U.S. agency | 4,003 | (17 | ) | 66,801 | (3,342 | ) | 70,804 | (3,359 | ) | ||||||||||||||||
Government-sponsored enterprises | 508,297 | (7,832 | ) | 852,175 | (55,196 | ) | 1,360,472 | (63,028 | ) | ||||||||||||||||
Private label | 4,333,808 | (50,820 | ) | 2,904,967 | (96,763 | ) | 7,238,775 | (147,583 | ) | ||||||||||||||||
Total mortgage-backed securities | 4,846,108 | (58,669 | ) | 3,823,943 | (155,301 | ) | 8,670,051 | (213,970 | ) | ||||||||||||||||
Total held-to-maturity securities | $ | 5,226,536 | $ | (64,647 | ) | $ | 3,834,774 | $ | (155,795 | ) | $ | 9,061,310 | $ | (220,442 | ) | ||||||||||
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March 31, 2006 | December 31, 2005 | |||||||||||||||
Estimated Fair | Estimated Fair | |||||||||||||||
Year of Maturity | Amortized Cost | Value | Amortized Cost | Value | ||||||||||||
(In thousands) | ||||||||||||||||
Due in one year or less | $ | 128,384 | $ | 128,384 | $ | 153,068 | $ | 153,096 | ||||||||
Due after one year through five years | 1,007,314 | 1,007,849 | 707,203 | 711,879 | ||||||||||||
Due after five years through ten years | 250,453 | 248,989 | 255,965 | 256,070 | ||||||||||||
Due after ten years | 408,626 | 406,616 | 408,625 | 408,852 | ||||||||||||
1,794,777 | 1,791,838 | 1,524,861 | 1,529,897 | |||||||||||||
Mortgage-backed securities | 9,246,636 | 8,948,969 | 9,509,769 | 9,298,487 | ||||||||||||
Total | $ | 11,041,413 | $ | 10,740,807 | $ | 11,034,630 | $ | 10,828,384 | ||||||||
March 31, | December 31, | ||||||||
2006 | 2005 | ||||||||
(In thousands) | |||||||||
Amortized cost of held-to-maturity securities other than mortgage-backed securities: | |||||||||
Fixed-rate | $ | 1,140,487 | $ | 870,571 | |||||
Variable-rate | 654,290 | 654,290 | |||||||
1,794,777 | 1,524,861 | ||||||||
Amortized cost of held-to-maturity mortgage-backed securities: | |||||||||
Fixed-rate | 8,887,262 | 8,842,935 | |||||||
Variable-rate | 359,374 | 666,834 | |||||||
9,246,636 | 9,509,769 | ||||||||
Total held-to-maturity securities | $ | 11,041,413 | $ | 11,034,630 | |||||
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March 31, 2006 | December 31, 2005 | ||||||||||||||||
Weighted Average | Weighted Average | ||||||||||||||||
Year of Maturity | Amount | Interest Rate | Amount | Interest Rate | |||||||||||||
(Dollars in thousands) | |||||||||||||||||
Due in 1 year or less | $ | 15,709,042 | 4.28 | $ | 21,436,691 | 3.99 | |||||||||||
Due after 1 year through 2 years | 5,245,266 | 4.13 | 5,535,899 | 3.90 | |||||||||||||
Due after 2 years through 3 years | 7,233,660 | 4.49 | 5,452,546 | 4.38 | |||||||||||||
Due after 3 years through 4 years | 3,232,594 | 4.71 | 3,590,495 | 4.40 | |||||||||||||
Due after 4 years through 5 years | 6,088,453 | 4.88 | 4,348,065 | 5.12 | |||||||||||||
Thereafter | 7,970,879 | 4.17 | 7,089,095 | 4.87 | |||||||||||||
Index amortizing loans to members | 58,456 | 4.85 | 64,267 | 4.34 | |||||||||||||
Total par value | $ | 45,538,350 | 4.39 | $ | 47,517,058 | 4.28 | |||||||||||
Discount on AHP loans to members | (1,658 | ) | (1,714 | ) | |||||||||||||
Deferred prepayment fees | (305 | ) | (347 | ) | |||||||||||||
SFAS 133 hedging adjustments | (315,413 | ) | (22,038 | ) | |||||||||||||
Total book value | $ | 45,220,974 | $ | 47,492,959 | |||||||||||||
March 31, | December 31, | |||||||
Year of Maturity or Next Call Date | 2006 | 2005 | ||||||
(In thousands) | ||||||||
Due or callable in 1 year or less | $ | 16,814,542 | $ | 22,137,191 | ||||
Due or callable after 1 year through 2 years | 5,270,266 | 5,535,899 | ||||||
Due or callable after 2 years through 3 years | 7,347,160 | 5,591,046 | ||||||
Due or callable after 3 years through 4 years | 3,037,594 | 3,395,495 | ||||||
Due or callable after 4 years through 5 years | 5,418,453 | 4,013,065 | ||||||
Thereafter | 7,591,879 | 6,780,095 | ||||||
Index amortizing loans to members | 58,456 | 64,267 | ||||||
Total par value | $ | 45,538,350 | $ | 47,517,058 | ||||
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March 31, | December 31, | |||||||
Year of Maturity or Next Convertible Date | 2006 | 2005 | ||||||
(In thousands) | ||||||||
Due or convertible in 1 year or less | $ | 24,820,287 | $ | 29,298,286 | ||||
Due or convertible after 1 year through 2 years | 5,742,566 | 5,733,399 | ||||||
Due or convertible after 2 years through 3 years | 6,268,110 | 4,192,046 | ||||||
Due or convertible after 3 years through 4 years | 2,323,374 | 2,539,745 | ||||||
Due or convertible after 4 years through 5 years | 2,520,628 | 1,991,845 | ||||||
Thereafter | 3,804,929 | 3,697,470 | ||||||
Index amortizing loans to members | 58,456 | 64,267 | ||||||
Total par value | $ | 45,538,350 | $ | 47,517,058 | ||||
(1) Allows a member to retain possession of the collateral pledged to the Bank, under a written security agreement that requires the member to hold such collateral for the benefit of the Bank; or | |
(2) Requires the member to place physical custody of the pledged collateral with the Bank or its third-party custodian. |
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March 31, | December 31, | |||||||
2006 | 2005 | |||||||
(In thousands) | ||||||||
Fixed rate — overnight | $ | 2,157,050 | $ | 6,505,251 | ||||
Fixed rate — term | 35,817,320 | 36,021,775 | ||||||
Variable-rate | 7,563,980 | 4,990,032 | ||||||
Total par value | $ | 45,538,350 | $ | 47,517,058 | ||||
March 31, | December 31, | |||||||
2006 | 2005 | |||||||
(In thousands) | ||||||||
Fixed medium-term single-family mortgages(1) | $ | 1,477,362 | $ | 1,529,441 | ||||
Fixed long-term single-family mortgages(1) | 5,874,339 | 6,029,531 | ||||||
Premiums | 91,968 | 97,055 | ||||||
Discounts | (26,013 | ) | (27,444 | ) | ||||
SFAS 133 hedging adjustments | 22,763 | 23,988 | ||||||
Total mortgage loans held for portfolio | $ | 7,440,419 | $ | 7,652,571 | ||||
(1) | Medium-term is defined as a term of 15 years or less. Long-term is defined as greater than 15 years. |
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March 31, | December 31, | |||||||
2006 | 2005 | |||||||
(In thousands) | ||||||||
Government-insured loans | $ | 722,894 | $ | 740,307 | ||||
Conventional loans | 6,628,807 | 6,818,665 | ||||||
Total par value | $ | 7,351,701 | $ | 7,558,972 | ||||
Year of maturity | ||||||||
Due within five years | $ | 600 | $ | 624 | ||||
Due after five years | 7,351,101 | 7,558,372 | ||||||
Total | $ | 7,351,701 | $ | 7,558,972 | ||||
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Indexed Principal Redemption Bonds(index amortizing notes) repay principal according to predetermined amortization schedules that are linked to the level of a certain index. A form of an indexed principal redemption bond that is common to the Bank is an Amortizing Prepayment Linked Security (APLS). The APLS redeems based on the prepayments of FNMA, FHLMC or GNMA reference pools. As of March 31, 2006 and December 31, 2005, most of the index amortizing notes had fixed-rate coupon payment terms. Usually, as market interest rates rise (fall), the maturity of the index amortizing notes extends (contracts). | |
Optional Principal Redemption Bonds(callable bonds) that the Bank may redeem in whole or in part at its discretion on predetermined call dates according to the terms of the bond offerings. |
Step-up Bondsgenerally pay interest at increasing fixed rates at specified intervals over the life of the bond. These bonds generally contain provisions enabling the Bank to call bonds at its option on thestep-up dates; | |
Conversion Bondshave coupons that the Bank may convert from fixed to floating, or floating to fixed, or from one U.S. or other currency index to another, at its discretion on predetermined dates according to the terms of the bond offerings; | |
Range Bondspay interest at fixed or variable rates provided a specified index is within a specified range. The computation of the variable interest rate differs for each bond issue, but the bond generally pays zero interest or a minimal rate of interest if the specified index is outside the specified range; and | |
Zero-Coupon Bondsare long-term discounted instruments that earn a fixed yield to maturity or the optional principal redemption date. All principal and interest are paid at maturity or on the optional principal redemption date, if exercised prior to maturity. |
March 31, | December 31, | ||||||||
2006 | 2005 | ||||||||
(In thousands) | |||||||||
Fixed-rate | $ | 47,556,313 | $ | 44,275,256 | |||||
Floating-rate | 1,785,000 | 1,660,000 | |||||||
Step-up | 5,365,150 | 5,435,150 | |||||||
Conversion bonds: | |||||||||
Fixed to floating | 569,380 | 569,380 | |||||||
Floating to fixed | 471,000 | 286,000 | |||||||
Range bonds | 463,000 | 463,000 | |||||||
Zero coupon | 4,028,000 | 4,028,000 | |||||||
Total par value | $ | 60,237,843 | $ | 56,716,786 | |||||
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March 31, 2006 | December 31, 2005 | ||||||||||||||||
Weighted Average | Weighted Average | ||||||||||||||||
Year of Maturity | Amount | Interest Rate | Amount | Interest Rate | |||||||||||||
(Dollars in thousands) | |||||||||||||||||
Due in 1 year or less | $ | 15,810,292 | 3.65 | $ | 14,017,772 | 3.19 | |||||||||||
Due after 1 year through 2 years | 12,703,140 | 4.16 | 10,612,660 | 3.82 | |||||||||||||
Due after 2 years through 3 years | 7,237,000 | 4.36 | 8,267,000 | 4.20 | |||||||||||||
Due after 3 years through 4 years | 4,176,530 | 4.05 | 3,825,530 | 3.89 | |||||||||||||
Due after 4 years through 5 years | 4,614,000 | 4.62 | 4,728,000 | 4.52 | |||||||||||||
Thereafter | 11,944,000 | 3.10 | 11,659,000 | 3.06 | |||||||||||||
Index amortizing notes | 3,752,881 | 4.72 | 3,606,824 | 4.63 | |||||||||||||
Total par value | 60,237,843 | 3.90 | 56,716,786 | 3.68 | |||||||||||||
Bond premiums | 25,403 | 28,039 | |||||||||||||||
Bond discounts | (3,180,404 | ) | (3,197,715 | ) | |||||||||||||
SFAS 133 hedging adjustments | (568,874 | ) | (404,173 | ) | |||||||||||||
Total book value | $ | 56,513,968 | $ | 53,142,937 | |||||||||||||
March 31, | December 31, | |||||||
Year of Maturity or Next Call Date | 2006 | 2005 | ||||||
(In thousands) | ||||||||
Due or callable in 1 year or less | $ | 38,145,822 | $ | 36,452,302 | ||||
Due or callable after 1 year through 2 years | 6,461,140 | 4,468,660 | ||||||
Due or callable after 2 years through 3 years | 5,786,000 | 6,103,000 | ||||||
Due or callable after 3 years through 4 years | 2,853,000 | 2,572,000 | ||||||
Due or callable after 4 years through 5 years | 1,185,000 | 1,375,000 | ||||||
Thereafter | 2,054,000 | 2,139,000 | ||||||
Index amortizing notes | 3,752,881 | 3,606,824 | ||||||
Total par value | $ | 60,237,843 | $ | 56,716,786 | ||||
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March 31, | December 31, | |||||||
2006 | 2005 | |||||||
(Dollars in thousands) | ||||||||
Book value | $ | 10,414,971 | $ | 14,580,400 | ||||
Par value | $ | 10,454,649 | $ | 14,620,012 | ||||
Weighted average interest rate | 4.63 | % | 4.11 | % |
March 31, 2006 | December 31, 2005 | |||||||||||||||
Required | Actual | Required | Actual | |||||||||||||
(Dollars in thousands) | ||||||||||||||||
Risk-based capital | $ | 520,703 | $ | 3,200,376 | $ | 499,286 | $ | 3,283,793 | ||||||||
Total capital-to-asset ratio | 4.0 | % | 4.4 | % | 4.0 | % | 4.5 | % | ||||||||
Total capital | $ | 2,901,068 | $ | 3,206,046 | $ | 2,915,950 | $ | 3,289,318 | ||||||||
Leverage ratio | 5.0 | % | 6.6 | % | 5.0 | % | 6.8 | % | ||||||||
Leverage capital | $ | 3,626,335 | $ | 4,806,234 | $ | 3,644,911 | $ | 4,931,216 |
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March 31, 2006 | December 31, 2005 | |||||||||||||||
Percent | Percent | |||||||||||||||
Member | Capital Stock | of Total | Capital Stock | of Total | ||||||||||||
(Dollars in thousands) | ||||||||||||||||
Sovereign Bank, Reading PA | $ | 662,455 | 22.2 | $ | 643,401 | 20.8 | ||||||||||
Citicorp Trust Bank, FSB, Newark DE | 347,991 | 11.7 | 331,911 | 10.7 |
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March 31, | December 31, | |||||||
2006 | 2005 | |||||||
(In thousands) | ||||||||
2006 | $ | 1,365 | $ | 540 | ||||
2007 | 7 | 7 | ||||||
2008 | — | 1,365 | ||||||
2009 | — | — | ||||||
2010 | 13,227 | 13,227 | ||||||
Thereafter | 1,592 | 1,592 | ||||||
Total | $ | 16,191 | $ | 16,731 | ||||
Three Months Ended | ||||||||
March 31, | ||||||||
2006 | 2005 | |||||||
(In thousands) | ||||||||
Balance, beginning of period | $ | 16,731 | $ | 18,208 | ||||
Capital stock subject to mandatory redemption reclassified from equity upon adoption of SFAS 150 | — | — | ||||||
Capital stock subject to mandatory redemption reclassified from equity due to withdrawals | — | — | ||||||
Redemption of mandatorily redeemable capital stock due to withdrawals | (540 | ) | — | |||||
Balance, end of period | $ | 16,191 | $ | 18,208 | ||||
• | In no case may the Bank redeem any capital stock if, following such redemption, the Bank would fail to satisfy its minimum capital requirements (i.e., a statutory capital/ asset ratio requirement, established |
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by the GLB Act, and a regulatory risk-basedcapital-to-asset ratio requirement established by the Finance Board). By law, all member holdings of Bank stock immediately become non-redeemable if the Bank becomes undercapitalized and only a minimal portion of outstanding stock qualifies for redemption consideration. | ||
• | In no case may the Bank redeem any capital stock if either its Board of Directors or the Finance Board determine that it has incurred, or is likely to incur, losses resulting, or expected to result, in a charge against capital. | |
• | In addition to possessing the authority to prohibit stock redemptions, the Bank’s Board of Directors has a right and an obligation to call for additional capital stock purchases by its members, as needed to satisfy statutory and regulatory capital requirements. | |
• | If, during the period between receipt of a stock redemption notification from a member and the actual redemption (which may last indefinitely if the Bank is undercapitalized, does not have the required credit rating, etc.), the Bank becomes insolvent and is either liquidated or forced to merge with another FHLBank, the redemption value of the stock will be established either through the market liquidation process or through negotiation with the merger partner. In either case all senior claims must first be settled at par, and there are no claims which are subordinated to the rights of Bank stockholders. | |
• | The GLB Act states that the Bank may repurchase, in its sole discretion, stock investments which exceed the required minimum amount. | |
• | In no case may the Bank redeem or repurchase any capital stock if the principal or interest payment due on any consolidated obligation issued by the Office of Finance has not been paid in full. | |
• | In no case may the Bank redeem or repurchase any capital stock if the Bank has failed to provide the Finance Board with the necessary quarterly certification required by Section 966.9(b)(1) of the Finance Board’s regulations prior to declaring or paying dividends for a quarter. | |
• | In no case may the Bank redeem or repurchase any capital stock if the Bank is unable to provide the required certification, projects that it will fail to comply with statutory or regulatory liquidity requirements or will be unable to timely and fully meet all of its obligations, actually fails to satisfy these requirements or obligations, or negotiates to enter or enters into an agreement with another Bank to obtain financial assistance to meet its current obligations. |
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March 31, | December 31, | |||||||
2006 | 2005 | |||||||
(In thousands) | ||||||||
Deferred compensation | $ | (506 | ) | $ | (506 | ) | ||
Net unrealized gains on available-for-sale securities | 1,228 | 863 | ||||||
Net unrealized loss relating to hedging activities | (7,207 | ) | (7,873 | ) | ||||
Total | $ | (6,485 | ) | $ | (7,516 | ) | ||
Three Months Ended | ||||||||
March 31, | ||||||||
2006 | 2005 | |||||||
(Dollars in thousands) | ||||||||
Net income available to stockholders | $ | 49,687 | $ | 72,857 | ||||
Weighted average number of shares of capital used to calculate earnings per share(1) | 29,641 | 24,817 | ||||||
Basic and diluted earnings per share of capital | $ | 1.68 | $ | 2.94 | ||||
(1) | Weighted average shares excludes capital stock reclassified as a liability in accordance with SFAS 150. |
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Three Months Ended | ||||||||
March 31, | ||||||||
2006 | 2005 | |||||||
(In thousands) | ||||||||
Gains related to fair value hedge ineffectiveness | $ | 1,997 | $ | 4,886 | ||||
Gains on economic hedges | 2,562 | 31,136 | ||||||
Other | 122 | (743 | ) | |||||
Losses on intermediary hedges | (55 | ) | (435 | ) | ||||
Net gains on derivatives and hedging activities | $ | 4,626 | $ | 34,844 | ||||
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March 31, 2006 | December 31, 2005 | ||||||||||||||||
Estimated | Estimated | ||||||||||||||||
Notional | Fair Value | Notional | Fair Value | ||||||||||||||
(In thousands) | |||||||||||||||||
Interest rate swaps | |||||||||||||||||
Fair value | $ | 68,688,169 | $ | 68,886 | $ | 62,959,218 | $ | (73,529 | ) | ||||||||
Economic | 2,564,076 | (3,495 | ) | 3,333,667 | (9,761 | ) | |||||||||||
Intermediation | 59,042 | 72 | 94,442 | 147 | |||||||||||||
Interest rate swaptions | |||||||||||||||||
Economic | 625,000 | 1,397 | 525,000 | 650 | |||||||||||||
Interest rate forward settlement agreements | |||||||||||||||||
Fair value | 205,000 | 868 | 1,056,000 | 1,452 | |||||||||||||
Mortgage delivery commitments | |||||||||||||||||
Economic | 7,655 | (12 | ) | 17,727 | (13 | ) | |||||||||||
Other | |||||||||||||||||
Economic | — | — | 11,250 | 13 | |||||||||||||
Total | $ | 72,148,942 | $ | 67,716 | $ | 67,997,304 | $ | (81,041 | ) | ||||||||
Total derivatives excluding accrued interest | $ | 67,716 | $ | (81,041 | ) | ||||||||||||
Accrued interest | 131,109 | 119,630 | |||||||||||||||
Net derivative balances | $ | 198,825 | $ | 38,589 | |||||||||||||
Net derivative asset balances | 448,140 | 317,033 | |||||||||||||||
Net derivative liability balances | (249,315 | ) | (278,444 | ) | |||||||||||||
Net derivative balances | $ | 198,825 | $ | 38,589 | |||||||||||||
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March 31, | December 31, | |||||||
2006 | 2005 | |||||||
(In thousands) | ||||||||
Loans to members | $ | 22,346,370 | $ | 20,939,245 | ||||
Deposits | 21,532 | 31,713 | ||||||
Capital stock | 1,151,490 | 1,119,588 |
Three Months Ended | ||||||||
March 31, | ||||||||
2006 | 2005 | |||||||
(In thousands) | ||||||||
Interest income on loans to members | $210,138 | $104,703 | ||||||
Interest expense on deposits | 100 | 208 |
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Three Months | ||||||||
Ended | ||||||||
March 31, | ||||||||
2006 | 2005 | |||||||
(In millions) | ||||||||
Borrowed from other FHLBanks | $ | 100 | $ | — | ||||
Repaid to other FHLBanks | 100 | — | ||||||
Loaned to other FHLBanks | — | — | ||||||
Repaid by other FHLBanks | — | — |
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Traditional | MPF® or | |||||||||||
Member | Mortgage | |||||||||||
Finance | Finance | Total | ||||||||||
(In thousands) | ||||||||||||
2006 | ||||||||||||
Net interest income | $ | 69,791 | $ | 8,459 | $ | 78,250 | ||||||
Provision (benefit) for credit losses | 710 | (140 | ) | 570 | ||||||||
Other income | 5,947 | 320 | 6,267 | |||||||||
Other expenses | 15,211 | 1,092 | 16,303 | |||||||||
Income before assessments | 59,817 | 7,827 | 67,644 | |||||||||
Affordable Housing Program | 4,896 | 639 | 5,535 | |||||||||
REFCORP | 10,984 | 1,438 | 12,422 | |||||||||
Total assessments | 15,880 | 2,077 | 17,957 | |||||||||
Net income | $ | 43,937 | $ | 5,750 | $ | 49,687 | ||||||
Total assets | $ | 65,086,959 | $ | 7,439,741 | $ | 72,526,700 | ||||||
2005 | ||||||||||||
Net interest income | $ | 44,757 | $ | 32,601 | $ | 77,358 | ||||||
Provision for credit losses | 593 | 44 | 637 | |||||||||
Other income (loss) | 49,977 | (15,029 | ) | 34,948 | ||||||||
Other expenses | 11,656 | 832 | 12,488 | |||||||||
Income before assessments | 82,485 | 16,696 | 99,181 | |||||||||
Affordable Housing Program | 6,747 | 1,363 | 8,110 | |||||||||
REFCORP | 15,147 | 3,067 | 18,214 | |||||||||
Total assessments | 21,894 | 4,430 | 26,324 | |||||||||
Net income | $ | 60,591 | $ | 12,266 | $ | 72,857 | ||||||
Total assets | $ | 50,741,312 | $ | 8,811,663 | $ | 59,552,975 | ||||||
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Net | |||||||||||||
Carrying | Unrealized | Estimated | |||||||||||
Value | Gains (Losses) | Fair Value | |||||||||||
(In thousands) | |||||||||||||
Assets | |||||||||||||
Cash and due from banks | $ | 45,656 | $ | — | $ | 45,656 | |||||||
Interest-bearing deposits | 3,180,347 | (458 | ) | 3,179,889 | |||||||||
Federal funds sold | 4,600,000 | 159 | 4,600,159 | ||||||||||
Available-for-sale securities | 139,113 | — | 139,113 | ||||||||||
Held-to-maturity securities | 11,041,413 | (300,606 | ) | 10,740,807 | |||||||||
Loans to members | 45,220,974 | 82,135 | 45,303,109 | ||||||||||
Mortgage loans held for portfolio, net | 7,439,741 | (253,947 | ) | 7,185,794 | |||||||||
Accrued interest receivable | 335,247 | — | 335,247 | ||||||||||
Derivative assets | 448,140 | — | 448,140 | ||||||||||
Other assets, including Banking On Business loans | 76,069 | (37,758 | ) | 38,311 | |||||||||
Liabilities | |||||||||||||
Deposits | $ | 1,597,282 | $ | — | $ | 1,597,282 | |||||||
Mandatorily redeemable capital stock | 16,191 | — | 16,191 | ||||||||||
Consolidated obligations: | |||||||||||||
Discount notes | 10,414,971 | (479 | ) | 10,414,492 | |||||||||
Bonds | 56,513,968 | (172,247 | ) | 56,341,721 | |||||||||
Accrued interest payable | 466,172 | — | 466,172 | ||||||||||
Derivative liabilities | 249,315 | — | 249,315 | ||||||||||
Other liabilities | 91,101 | — | 91,101 |
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Net | |||||||||||||
Carrying | Unrealized | Estimated | |||||||||||
Value | Gains (Losses) | Fair Value | |||||||||||
(In thousands) | |||||||||||||
Assets | |||||||||||||
Cash and due from banks | $ | 115,370 | $ | — | $ | 115,370 | |||||||
Interest-bearing deposits | 3,259,894 | (1,077 | ) | 3,258,817 | |||||||||
Federal funds sold | 2,320,000 | (504 | ) | 2,319,496 | |||||||||
Available-for-sale securities | 331,297 | — | 331,297 | ||||||||||
Held-to-maturity securities | 11,034,630 | (206,246 | ) | 10,828,384 | |||||||||
Loans to members | 47,492,959 | 50,546 | 47,543,505 | ||||||||||
Mortgage loans held for portfolio, net | 7,651,914 | (243,562 | ) | 7,408,352 | |||||||||
Accrued interest receivable | 304,193 | — | 304,193 | ||||||||||
Derivative assets | 317,033 | — | 317,033 | ||||||||||
Other assets, including Banking On Business loans | 70,921 | (38,447 | ) | 32,474 | |||||||||
Liabilities | |||||||||||||
Deposits | $ | 1,063,091 | $ | — | $ | 1,063,091 | |||||||
Mandatorily redeemable capital stock | 16,731 | — | 16,731 | ||||||||||
Consolidated obligations: | |||||||||||||
Discount notes | 14,580,400 | (2,121 | ) | 14,578,279 | |||||||||
Bonds | 53,142,937 | 155,123 | 53,298,060 | ||||||||||
Accrued interest payable | 436,214 | — | 436,214 | ||||||||||
Derivative liabilities | 278,444 | — | 278,444 | ||||||||||
Other liabilities | 120,848 | — | 120,848 |
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Item 14: | Changes in and Disagreements with Accountants on Accounting and Financial Disclosure |
Item 15: | Financial Statements and Exhibits |
The following Financial Statements and related notes, together with the report of PricewaterhouseCoopers, LLP, appear in Item 13. |
Statement of Operations for each of the years ended December 31, 2005, 2004 and 2003 | |
Statement of Condition as of December 31, 2005 and 2004 | |
Statement of Cash Flows for each of the years ended December 31, 2005, 2004 and 2003 | |
Statement of Changes in Capital for each of the years ended December 31, 2005, 2004 and 2003 | |
Statement of Operations for the three months ended March 31, 2006 and 2005 | |
Statement of Condition as of March 31, 2006 and December 31, 2005 | |
Statement of Cash Flows for the three months ended March 31, 2006 and 2005 | |
Statement of Changes in Capital for the three months ended March 31, 2006 and 2005 |
3 | .1 | Certificate of Organization | ||
3 | .2 | The Bylaws of the Federal Home Loan Bank of Pittsburgh | ||
4 | .1 | Bank Capital Plan | ||
10 | .1 | Severance Policy | ||
10 | .2 | Federal Home Loan Bank of Pittsburgh Incentive Compensation Plan | ||
10 | .3 | Federal Home Loan Bank of Pittsburgh Long-Term Incentive Compensation Plan | ||
10 | .4 | Federal Home Loan Bank of Pittsburgh Supplemental Thrift Plan | ||
10 | .5 | Federal Home Loan Bank of Pittsburgh Supplemental Executive Retirement Plan | ||
10 | .6 | Directors’ Fee Policy | ||
10 | .7 | Services Agreement with FHLBank of Chicago | ||
10 | .8 | Executive Severance Agreement with former CFO Eric Marx | ||
10 | .9 | Offer Letter for John Price | ||
12 | .1 | Ratio of Earnings to Fixed Charges | ||
99 | .1 | Information Statement of the Bank dated September 20, 2002 pertaining to the Bank’s Capital Plan | ||
99 | .2 | Interim Financial and Non-Financial data supporting unaudited interim financial statements |
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Federal Home Loan Bank of Pittsburgh | |
(Registrant) |
By: | /s/ John R. Price |
John R. Price | |
President & Chief Executive Officer |
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• | Banks with less than $500 million in assets may use long-term loans for loans to small businesses, small farms and small agri-businesses. | |
• | A new, permanent capital structure for FHLBanks is established. Two classes of stock are authorized, redeemable on six months’ and five years’ notice. FHLBanks must meet a 5% leverage minimum tied to total capital and a risk-based requirement tied to permanent capital. | |
• | Equalizes the stock purchase requirement for banks and thrifts. | |
• | Voluntary membership for federal savings associations took effect six months after enactment. | |
• | Annual $300 million funding formula for REFCORP obligations of FHLBanks is changed to 20% of annual net earnings. | |
• | Governance of the FHLBanks is decentralized from the Finance Board to the individual FHLBanks. Changes include the election of a chairperson and vice chairperson of each FHLBank by its directors rather than the Finance Board and a statutory limit on FHLBank directors’ compensation. |
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