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SECURITIES AND EXCHANGE COMMISSION
þ | ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
o | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
Federally chartered corporation (State or other jurisdiction of incorporation or organization) | 71-6013989 (I.R.S. Employer Identification Number) | |
8500 Freeport Parkway South, Suite 600 | ||
Irving, TX | 75063-2547 | |
(Address of principal executive offices) | (Zip Code) |
Large accelerated filero | Accelerated filero | Non-accelerated filerþ | Smaller reporting companyo | |||
(Do not check if a smaller reporting company) |
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ITEM 1. | BUSINESS |
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December 31, | ||||||||||||
2009 | 2008 | 2007 | ||||||||||
Commercial banks | 753 | 759 | 736 | |||||||||
Thrifts | 85 | 85 | 86 | |||||||||
Credit unions | 65 | 60 | 48 | |||||||||
Insurance companies | 20 | 19 | 16 | |||||||||
Total members | 923 | 923 | 886 | |||||||||
Housing associates | 8 | 8 | 8 | |||||||||
Non-member borrowers | 12 | �� | 13 | 15 | ||||||||
Total | 943 | 944 | 909 | |||||||||
Community Financial Institutions (“CFIs”)(1) | 788 | 796 | 742 | |||||||||
(1) | The figures presented above reflect the number of members that were CFIs as of December 31, 2009, 2008 and 2007 based upon the definitions of CFIs that applied as of those dates. |
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Year Ended December 31, | ||||||||||||
2009 | 2008 | 2007 | ||||||||||
Advances (including prepayment fees) | 79.4 | % | 79.2 | % | 73.2 | % | ||||||
Investments | 18.6 | 19.8 | 25.7 | |||||||||
Mortgage loans held for portfolio and other | 2.0 | 1.0 | 1.1 | |||||||||
Total | 100.0 | % | 100.0 | % | 100.0 | % | ||||||
Total interest income (in thousands) | $ | 837,464 | $ | 2,294,736 | $ | 2,886,482 | ||||||
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December 31, | ||||||||||||||||
2009 | 2008 | |||||||||||||||
Amortized | Amortized | |||||||||||||||
Cost | Percentage | Cost | Percentage | |||||||||||||
Government-sponsored enterprise MBS | $ | 10,838 | 94.3 | % | $ | 10,729 | 90.7 | % | ||||||||
Non-agency residential MBS | 511 | 4.5 | 677 | 5.7 | ||||||||||||
Non-agency commercial MBS | 56 | 0.5 | 327 | 2.8 | ||||||||||||
Other | 86 | 0.7 | 98 | 0.8 | ||||||||||||
Total | $ | 11,491 | 100.0 | % | $ | 11,831 | 100.0 | % | ||||||||
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• | instruments, such as common stock, that represent an ownership interest in an entity, other than stock in small business investment companies, or certain investments targeted to low-income persons or communities; |
• | instruments issued by non-United States 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 by the Bank through a duly authorized Acquired Member Assets program such as the Mortgage Partnership Finance® 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 an NRSRO; 4) MBS 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 FHLB Act; |
• | non-U.S. dollar denominated securities; |
• | interest-only or principal-only stripped MBS; |
• | residual-interest or interest-accrual classes of CMOs and real estate mortgage investment conduits; and |
• | fixed rate MBS or floating rate MBS that, on trade date, are at rates equal to their contractual cap and that have average lives that vary by more than 6 years under an assumed instantaneous interest rate change of 300 basis points. |
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• | established the Finance Agency effective on the date of enactment of the HER Act to regulate (i) Fannie Mae and Freddie Mac (collectively, the “Enterprises”), (ii) the FHLBanks (together with the Enterprises, the “Regulated Entities”) and (iii) the Office of Finance; |
• | eliminated the Office of Federal Housing Enterprise Oversight (“OFHEO”) and the Finance Board no later than one year after enactment and restricted their activities during such period to those necessary to wind up their affairs (on October 27, 2008, the Finance Agency announced that the formal integration of OFHEO and the Finance Board into the Finance Agency had been completed); |
• | established a director (“Director”) of the Finance Agency with broad authority over the Regulated Entities; |
• | amended certain aspects of the FHLBanks’ corporate governance; |
• | authorizes voluntary mergers of FHLBanks with the approval of the Director and permits the Director to liquidate a FHLBank; |
• | made, or requires the Director to study and report on, other changes regarding the membership and activities of the FHLBanks; |
• | provides that all regulations, orders, directives and determinations issued by the Finance Board and OFHEO prior to enactment of the HER Act immediately transfer to the Finance Agency and remain in force unless modified, terminated, or set aside by the Director; and |
• | granted the Secretary of the Treasury the temporary authority (through December 31, 2009 and subject to certain conditions) to purchase obligations and other securities issued by Fannie Mae, Freddie Mac, and the FHLBanks. |
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ITEM 1A. | RISK FACTORS |
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ITEM 1B. | UNRESOLVED STAFF COMMENTS |
ITEM 2. | PROPERTIES |
ITEM 3. | LEGAL PROCEEDINGS |
ITEM 4. | RESERVED |
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(dollars in thousands)
2009 | 2008 | |||||||||||||||
Annualized | Annualized | |||||||||||||||
Amount(1) | Rate(3) | Amount(2) | Rate(3) | |||||||||||||
First Quarter | $ | 4,204 | 0.50 | % | $ | 26,787 | 4.50 | % | ||||||||
Second Quarter | 1,343 | 0.18 | 20,043 | 3.18 | ||||||||||||
Third Quarter | 1,302 | 0.18 | 15,253 | 2.09 | ||||||||||||
Fourth Quarter | 1,116 | 0.16 | 15,043 | 1.94 |
(1) | Amounts include (in thousands) $61, $37, $35 and $25 of dividends paid on mandatorily redeemable capital stock for the first, second, third and fourth quarters of 2009, respectively. For financial reporting purposes, these dividends were classified as interest expense. | |
(2) | Amounts include (in thousands) $927, $541, $361 and $219 of dividends paid on mandatorily redeemable capital stock for the first, second, third and fourth quarters of 2008, respectively. For financial reporting purposes, these dividends were classified as interest expense. | |
(3) | Reflects the annualized rate paid on all of the Bank’s average capital stock outstanding regardless of its classification for financial reporting purposes as either capital stock or mandatorily redeemable capital stock. |
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(dollars in thousands)
Year Ended December 31, | ||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||
Balance sheet(at year end) | ||||||||||||||||||||
Advances | $ | 47,262,574 | $ | 60,919,883 | $ | 46,298,158 | $ | 41,168,141 | $ | 46,456,958 | ||||||||||
Investments(1)(2) | 13,491,819 | 17,388,015 | 16,400,655 | 13,429,450 | 17,161,557 | |||||||||||||||
Mortgage loans(3) | 259,857 | 327,320 | 381,731 | 449,893 | 542,772 | |||||||||||||||
Allowance for credit losses on mortgage loans | 240 | 261 | 263 | 267 | 294 | |||||||||||||||
Total assets(2) | 65,092,076 | 78,932,898 | 63,458,256 | 55,457,966 | 64,519,215 | |||||||||||||||
Consolidated obligations — discount notes | 8,762,028 | 16,745,420 | 24,119,433 | 8,225,787 | 11,219,806 | |||||||||||||||
Consolidated obligations — bonds | 51,515,856 | 56,613,595 | 32,855,379 | 41,684,138 | 46,121,709 | |||||||||||||||
Total consolidated obligations(4) | 60,277,884 | 73,359,015 | 56,974,812 | 49,909,925 | 57,341,515 | |||||||||||||||
Mandatorily redeemable capital stock(5) | 9,165 | 90,353 | 82,501 | 159,567 | 319,335 | |||||||||||||||
Capital stock — putable | 2,531,715 | 3,223,830 | 2,393,980 | 2,248,147 | 2,298,622 | |||||||||||||||
Retained earnings | 356,282 | 216,025 | 211,762 | 190,625 | 178,494 | |||||||||||||||
Accumulated other comprehensive income (loss) | (65,965 | ) | (1,435 | ) | (570 | ) | 748 | (2,677 | ) | |||||||||||
Total capital | 2,822,032 | 3,438,420 | 2,605,172 | 2,439,520 | 2,474,439 | |||||||||||||||
Dividends paid(5) | 7,807 | 75,078 | 108,641 | 110,049 | 89,813 | |||||||||||||||
Income statement | ||||||||||||||||||||
Net interest income(6) | $ | 76,476 | $ | 150,358 | $ | 223,026 | $ | 216,292 | $ | 222,559 | ||||||||||
Provision (release of allowance) for credit losses | — | — | — | — | (56 | ) | ||||||||||||||
Other income | 200,355 | 22,580 | 9,505 | 1,279 | 157,585 | |||||||||||||||
Other expense | 75,290 | 64,813 | 55,296 | 49,820 | 50,223 | |||||||||||||||
Assessments | 53,477 | 28,784 | 47,457 | 45,571 | 88,498 | |||||||||||||||
Income before cumulative effect of change in accounting principle(3) | 148,064 | 79,341 | 129,778 | 122,180 | 241,479 | |||||||||||||||
Net income (3) | 148,064 | 79,341 | 129,778 | 122,180 | 242,387 | |||||||||||||||
Performance ratios | ||||||||||||||||||||
Net interest margin(7) | 0.11 | % | 0.20 | % | 0.40 | % | 0.37 | % | 0.34 | % | ||||||||||
Return on average assets(2)(3) | 0.21 | 0.11 | 0.24 | 0.21 | 0.37 | |||||||||||||||
Return on average equity(3) | 4.92 | 2.52 | 5.58 | 4.98 | 8.90 | |||||||||||||||
Return on average capital stock(3)(8) | 5.39 | 2.73 | 6.18 | 5.42 | 9.66 | |||||||||||||||
Total average equity to average assets(2) | 4.30 | 4.23 | 4.22 | 4.29 | 4.20 | |||||||||||||||
Regulatory capital ratio(2)(9) | 4.45 | 4.47 | 4.24 | 4.69 | 4.33 | |||||||||||||||
Dividend payout ratio(5)(10) | 5.27 | 94.63 | 83.71 | 90.07 | 37.05 | |||||||||||||||
Ratio of earnings to fixed charges | 1.26 | X | 1.05 | X | 1.07 | X | 1.06 | X | 1.16 | X | ||||||||||
Average effective federal funds rate(11) | 0.16 | % | 1.92 | % | 5.02 | % | 4.97 | % | 3.22 | % |
(1) | Investments consist of federal funds sold, loans to other FHLBanks, interest-bearing deposits and securities classified as held-to-maturity, available-for-sale and trading. | |
(2) | In accordance with new accounting guidance that became effective on January 1, 2008, the Bank offsets the fair value amounts recognized for the right to reclaim cash collateral or the obligation to return cash collateral against the fair value amounts recognized for derivative instruments executed with the same counterparty under a master netting arrangement. Prior to the adoption of this guidance, the Bank offset only the fair value amounts recognized for derivative instruments executed with the same counterparty under a master netting arrangement. The investments and total asset balances at December 31, 2007, 2006 and 2005 have been adjusted to reflect the retrospective application of this guidance. The Bank has determined that it is impractical to retrospectively restate the average balances in periods prior to 2008; further, the Bank has determined that any such adjustments would not have had a material impact on the average total asset balances for those periods. Accordingly, the asset-based performance ratios for periods prior to 2008 do not reflect any adjustments for the retrospective application of this guidance. | |
(3) | Effective January 1, 2005, the Bank changed its method of accounting for the amortization and accretion of premiums and discounts on mortgage loans from the retrospective method to the contractual method. This change resulted in a $1.2 million cumulative increase in the balance of mortgage loans at that date. Net of assessments, the cumulative effect of this change in accounting principle increased 2005 earnings by $908,000. | |
(4) | The Bank is jointly and severally liable with the other FHLBanks for the payment of principal and interest on the consolidated obligations of all of the FHLBanks. At December 31, 2009, 2008, 2007, 2006 and 2005, the outstanding consolidated obligations (at par value) of all 12 FHLBanks totaled approximately $0.931 trillion, $1.252 trillion, $1.190 trillion, $0.952 trillion and $0.937 trillion, respectively. As of those dates, the Bank’s outstanding consolidated obligations (at par value) were $59.9 billion, $72.9 billion, $57.0 billion, $50.2 billion and $57.8 billion, respectively. | |
(5) | Mandatorily redeemable capital stock represents capital stock that is classified as a liability under GAAP. Dividends on mandatorily redeemable capital stock are recorded as interest expense and excluded from dividends paid. Dividends paid on mandatorily redeemable capital stock totaled $0.2 million, $2.0 million, $6.6 million, $10.8 million and $11.6 million for the years ended December 31, 2009, 2008, 2007, 2006 and 2005, respectively. | |
(6) | Net interest income excludes the net interest income/expense associated with interest rate exchange agreements that do not qualify for hedge accounting. The net interest income (expense) associated with such agreements totaled $107.6 million, $5.0 million, ($0.4 million), ($2.2 million) and ($28.4 million) for the years ended December 31, 2009, 2008, 2007, 2006 and 2005, respectively. | |
(7) | Net interest margin is net interest income as a percentage of average earning assets. | |
(8) | Return on average capital stock is derived by dividing net income by average capital stock balances excluding mandatorily redeemable | |
capital stock. | ||
(9) | The regulatory capital ratio is computed by dividing regulatory capital (the sum of capital stock — putable, mandatorily redeemable capital stock and retained earnings) by total assets. | |
(10) | Dividend payout ratio is computed by dividing dividends paid by net income for the year. | |
(11) | Rates obtained from the Federal Reserve Statistical Release. |
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Year Ended December 31, | ||||||||||||
2009 | 2008 | 2007 | ||||||||||
Earnings | ||||||||||||
Return on average capital stock | 5.39 | % | 2.73 | % | 6.18 | % | ||||||
Average effective federal funds rate | 0.16 | % | 1.92 | % | 5.02 | % | ||||||
Dividends | ||||||||||||
Weighted average of dividend rates paid(1) | 0.25 | % | 2.92 | % | 5.21 | % | ||||||
Reference average effective federal funds rate (reference rate)(2) | 0.25 | % | 2.92 | % | 5.21 | % |
(1) | Computed as the average of the dividend rates paid in each quarter during the year weighted by the number of days in each quarter. | |
(2) | See discussion below for a description of the reference rate. |
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Ending Rate | Average Rate | |||||||||||||||||||
December 31, | December 31, | For the Year Ended December 31, | ||||||||||||||||||
2009 | 2008 | 2009 | 2008 | 2007 | ||||||||||||||||
Federal Funds Target(1) | 0.25% | 0.25% | 0.25% | 2.08% | 5.05% | |||||||||||||||
Average Effective Federal Funds Rate(2) | 0.05% | 0.14% | 0.16% | 1.92% | 5.02% | |||||||||||||||
1-month LIBOR(1) | 0.23% | 0.44% | 0.33% | 2.68% | 5.25% | |||||||||||||||
3-month LIBOR (1) | 0.25% | 1.43% | 0.69% | 2.93% | 5.30% | |||||||||||||||
2-year LIBOR (1) | 1.42% | 1.48% | 1.41% | 2.94% | 4.91% | |||||||||||||||
5-year LIBOR (1) | 2.98% | 2.13% | 2.65% | 3.69% | 5.01% | |||||||||||||||
10-year LIBOR (1) | 3.97% | 2.56% | 3.44% | 4.24% | 5.24% | |||||||||||||||
3-month U.S. Treasury (1) | 0.06% | 0.08% | 0.15% | 1.45% | 4.46% | |||||||||||||||
2-year U.S. Treasury (1) | 1.14% | 0.77% | 0.96% | 2.00% | 4.36% | |||||||||||||||
5-year U.S. Treasury (1) | 2.69% | 1.55% | 2.20% | 2.79% | 4.42% | |||||||||||||||
10-year U.S. Treasury (1) | 3.85% | 2.21% | 3.26% | 3.64% | 4.63% |
(1) | Source: Bloomberg | |
(2) | Source: Federal Reserve Statistical Release |
• | The Bank ended 2009 with total assets of $65.1 billion and total advances of $47.3 billion, a decrease from $78.9 billion and $60.9 billion, respectively, at the end of 2008. The decrease in advances for 2009 was attributable in large part to the repayment of approximately $8.2 billion of advances by three large borrowers, as further discussed in the section below entitled “Financial Condition — Advances.” The remaining decline in advances during 2009 was attributable to a decline in member demand which the Bank believes was due, at least in part, to increases in members’ deposit levels and reduced lending activity due to the economic recession, as well as the availability of federal government programs that provided members with more attractively priced sources of funding and liquidity than were available earlier in the credit crisis. |
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• | The Bank’s net income for 2009 was $148.1 million. Net interest income was $76.5 million and net gains on derivatives and hedging activities were $193.1 million. |
• | The Bank’s net interest income excludes net interest payments associated with economic hedge derivatives, which contributed significantly to the Bank’s income before assessments of $201.5 million for 2009. Had the net interest income on economic hedge derivatives been included in net interest income, the Bank’s net interest income would have been higher (and its net gains on derivatives and hedging activities would have been lower) by $107.6 million for the year ended December 31, 2009. | ||
The Bank’s net interest income for 2009 was adversely impacted by actions the Bank took in late 2008 to ensure its ability to provide liquidity to its members during a period of unusual market disruption. At the height of the credit market disruptions in the early part of the fourth quarter of 2008, and in order to ensure that the Bank would have sufficient liquidity on hand to fund member advances throughout the year-end period, the Bank issued debt with maturities that extended into 2009 instead of issuing very short-maturity debt. As yields subsequently declined sharply on the Bank’s short-term assets, including overnight federal funds sold and short-term advances to members, this debt was carried at a negative spread. Due in large part to the negative spread associated with the investment of the remaining portion of this debt in low-yielding short-term assets, the Bank’s net interest income was negative in the first quarter of 2009. The negative impact of this debt was minimal during the remainder of 2009 as much of the relatively high cost debt issued in late 2008 matured in the first quarter of 2009. | |||
• | The $193.1 million in net gains on derivatives and hedging activities for the year included $107.6 million of net interest income on interest rate swaps accounted for as economic hedge derivatives, $62.5 million of net ineffectiveness-related gains on fair value hedges related to consolidated obligation bonds and $26.2 million of net gains on economic hedge derivatives (excluding net interest settlements). | ||
During 2008, the Bank recognized $55.4 million of net ineffectiveness-related losses related to hedge ineffectiveness on interest rate swaps used to convert most of its fixed rate consolidated obligation bonds to LIBOR floating rates. Those losses were largely attributable to the unusual (and significant) decrease in three-month LIBOR rates during the fourth quarter of 2008. With relatively stable three-month LIBOR rates during the first quarter of 2009, these previous ineffectiveness-related losses reversed (in the form of ineffectiveness-related gains) during the three months ended March 31, 2009. Three-month LIBOR rates remained relatively stable during the remainder of 2009, resulting in significantly lower ineffectiveness-related gains and losses during those periods. | |||
The net gains on the Bank’s economic hedge derivatives during 2009 included gains on interest rate swaps used to hedge the risk of changes in spreads between the daily federal funds rate and three-month LIBOR. These gains, totaling $10.3 million, were due to the tightening of the spread between the two indices and changes in the future expectations for such spread. The net gains on economic hedge derivatives were also significantly impacted by net gains on the Bank’s portfolio of interest rate basis swaps that are used to hedge the risk of changes in spreads between one- and three-month LIBOR and net gains on interest rate caps that are used to hedge the impact that rising rates would have on its portfolio of collateralized mortgage obligation (“CMO”) LIBOR floaters with embedded caps. During 2009, net gains of $9.0 million and $14.3 million were recognized on interest rate basis swaps and interest rate caps, respectively. | |||
The Bank held $24.3 billion (notional) of interest rate swaps recorded as economic hedge derivatives with a net positive fair value of $32.1 million (excluding accrued interest) at December 31, 2009. If these swaps are held to maturity, these net unrealized gains will ultimately reverse in future periods in the form of unrealized losses, which will negatively impact the Bank’s earnings in those periods. The timing of this reversal will depend on the relative level and volatility of future interest rates. In addition, as of December 31, 2009, the Bank held $3.75 billion (notional) of stand-alone interest rate cap agreements with a fair value of $51.1 million that hedge CMO LIBOR floaters with embedded caps. If these agreements are held to |
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maturity, the value of the caps will ultimately decline to zero and be recorded as a loss in net gains (losses) on derivatives and hedging activities in future periods. |
• | During 2009, unrealized losses on the Bank’s holdings of non-agency residential mortgage-backed securities classified as held-to-maturity decreased from $277.0 million (40.9 percent of amortized cost) to $135.3 million (26.5 percent of amortized cost). Based on its year-end 2009 analysis of the securities in this portfolio, the Bank believes that the unrealized losses were principally the result of significant (albeit reduced) liquidity risk-related discounts in the non-agency mortgage-backed securities market and do not accurately reflect the actual historical or currently likely future credit performance of the securities. In assessing the expected credit performance of these securities, the Bank determined that it is likely that it will not fully recover the amortized cost basis of seven of its non-agency residential mortgage-backed securities and, accordingly, these securities (with an aggregate unpaid principal balance of $148.0 million as of December 31, 2009) were deemed to be other-than-temporarily impaired during 2009. In accordance with guidance issued by the Financial Accounting Standards Board (“FASB”) in April 2009, which the Bank early adopted effective January 1, 2009, the credit components of the impairment losses ($4.0 million) were recognized in earnings while the non-credit components of the impairment losses ($75.9 million) were recognized in other comprehensive income. Prospects for future housing market conditions, which will influence whether the Bank will record any additional other-than-temporary impairment charges on these or any other securities in the future, remain uncertain. | ||
• | At all times during 2009, the Bank was in compliance with all of its regulatory capital requirements. In addition, the Bank’s retained earnings increased to $356.3 million at December 31, 2009 from $216.0 million at December 31, 2008. | ||
• | During 2009, the Bank paid dividends totaling $7.8 million; the quarterly dividends during the year were paid at rates that equaled the benchmark average effective federal funds rate for the applicable reference periods. While there can be no assurances about 2010 earnings, dividends, or regulatory actions, the Bank currently anticipates that its 2010 earnings will be sufficient both to pay quarterly dividends at a rate equal to or slightly above the average federal funds rate and to continue building retained earnings. In addition, the Bank currently expects to continue its quarterly repurchases of surplus stock. |
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(dollars in millions)
December 31, | ||||||||||||||||||||
2009 | 2008 | 2007 | ||||||||||||||||||
Percentage | Percentage | |||||||||||||||||||
Increase | Increase | |||||||||||||||||||
Balance | (Decrease) | Balance | (Decrease) | Balance | ||||||||||||||||
Advances | $ | 47,263 | (22.4) | % | $ | 60,920 | 31.6 | % | $ | 46,298 | ||||||||||
Short-term liquidity holdings | ||||||||||||||||||||
Non-interest bearing excess cash balances(1) | 3,600 | * | — | — | — | |||||||||||||||
Interest-bearing deposits | — | (100.0 | ) | 3,684 | * | 1 | ||||||||||||||
Federal funds sold(2) | 2,063 | 10.2 | 1,872 | (75.0 | ) | 7,500 | ||||||||||||||
Commercial paper | — | — | — | (100.0 | ) | 994 | ||||||||||||||
Long-term investments(3) | 11,425 | (3.4 | ) | 11,829 | 49.7 | 7,902 | ||||||||||||||
Mortgage loans, net | 260 | (20.5 | ) | 327 | (14.2 | ) | 381 | |||||||||||||
Total assets | 65,092 | (17.5 | ) | 78,933 | 24.4 | 63,458 | ||||||||||||||
Consolidated obligations — bonds | 51,516 | (9.0 | ) | 56,614 | 72.3 | 32,855 | ||||||||||||||
Consolidated obligations — discount notes | 8,762 | (47.7 | ) | 16,745 | (30.6 | ) | 24,120 | |||||||||||||
Total consolidated obligations | 60,278 | (17.8 | ) | 73,359 | 28.8 | 56,975 | ||||||||||||||
Mandatorily redeemable capital stock | 9 | (90.0 | ) | 90 | 8.4 | 83 | ||||||||||||||
Capital stock | 2,532 | (21.5 | ) | 3,224 | 34.7 | 2,394 | ||||||||||||||
Retained earnings | 356 | 64.8 | 216 | 1.9 | 212 | |||||||||||||||
Average total assets | 70,018 | (6.2 | ) | 74,641 | 35.6 | 55,056 | ||||||||||||||
Average capital stock | 2,749 | (5.6 | ) | 2,911 | 38.6 | 2,101 | ||||||||||||||
Average mandatorily redeemable capital stock | 56 | (1.8 | ) | 57 | (45.2 | ) | 104 |
* | The percentage increase is not meaningful. | |
(1) | Represents excess cash held at the Federal Reserve Bank of Dallas. This amount is classified as “Cash and Due From Banks” in the Bank’s statement of condition. | |
(2) | The balance at December 31, 2007 includes $400 million of federal funds sold to another FHLBank. | |
(3) | Consists of securities classified as held-to-maturity (other than short-term commercial paper) and available-for-sale. |
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(par value, dollars in millions)
December 31, | ||||||||||||||||||||||||
2009 | 2008 | 2007 | ||||||||||||||||||||||
Amount | Percent | Amount | Percent | Amount | Percent | |||||||||||||||||||
Commercial banks | $ | 41,924 | 89 | %(1) | $ | 29,889 | 50 | % | $ | 14,797 | 32 | % | ||||||||||||
Thrift institutions | 3,249 | 7 | (1) | 27,687 | 46 | 27,825 | 60 | |||||||||||||||||
Credit unions | 1,347 | 3 | 1,565 | 3 | 1,966 | 4 | ||||||||||||||||||
Insurance companies | 301 | 1 | 243 | — | 208 | 1 | ||||||||||||||||||
Total member advances | 46,821 | 100 | 59,384 | 99 | 44,796 | 97 | ||||||||||||||||||
Housing associates | 11 | — | 131 | — | 5 | — | ||||||||||||||||||
Non-member borrowers | 76 | — | 730 | 1 | 1,338 | 3 | ||||||||||||||||||
Total par value of advances | $ | 46,908 | 100 | % | $ | 60,245 | 100 | % | $ | 46,139 | 100 | % | ||||||||||||
Total par value of advances outstanding to CFIs(2) | $ | 9,758 | 21 | % | $ | 11,530 | 19 | % | $ | 6,401 | 14 | % | ||||||||||||
(1) | During 2009, the thrift charter of Wachovia Bank, FSB was converted to a national bank charter and then merged into Wells Fargo Bank South Central, National Association. This institution had outstanding advances of $18.2 billion at December 31, 2009. These actions were the primary reason for the significant increase in advances to commercial banks (and corresponding decrease in advances to thrift institutions) between December 31, 2008 and December 31, 2009. | |
(2) | The figures presented above reflect the advances outstanding to Community Financial Institutions (“CFIs”) as of December 31, 2009, 2008 and 2007 based upon the definitions of CFIs that applied as of those dates. At December 31, 2007, CFIs were defined as FDIC-insured institutions with average total assets over the three prior years of less than $599 million. With the enactment of the HER Act on July 30, 2008, CFIs were redefined as FDIC-insured institutions with average total assets over the three-year period preceding measurement of less than $1 billion, as adjusted annually for inflation. For additional discussion, see Item 1 — Business — Legislative and Regulatory Developments. |
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(Par value, dollars in millions)
Percent of | ||||||||||||||
Name | City | State | Advances | Total Advances | ||||||||||
Wells Fargo Bank South Central, National Association (1) | Houston | TX | $ | 18,247 | 38.9 | % | ||||||||
Comerica Bank | Dallas | TX | 6,000 | 12.8 | ||||||||||
International Bank of Commerce | Laredo | TX | 1,244 | 2.7 | ||||||||||
Bank of Texas, N.A. | Dallas | TX | 901 | 1.9 | ||||||||||
Southside Bank | Tyler | TX | 855 | 1.8 | ||||||||||
Beal Bank Nevada(2) | Las Vegas | NV | 721 | 1.5 | ||||||||||
First National Bank | Edinburg | TX | 595 | 1.3 | ||||||||||
Arvest Bank | Rogers | AR | 586 | 1.2 | ||||||||||
First Community Bank | Taos | NM | 497 | 1.1 | ||||||||||
Renasant Bank | Tupelo | MS | 458 | 1.0 | ||||||||||
$ | 30,104 | 64.2 | % | |||||||||||
(1) | Formerly Wachovia Bank, FSB | |
(2) | Beal Bank Nevada is chartered in Las Vegas, NV, but maintains its home office in Plano, TX. |
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(Dollars in millions)
December 31, 2009 | December 31, 2008 | |||||||||||||||
Percentage | Percentage | |||||||||||||||
Balance | of Total | Balance | of Total | |||||||||||||
Fixed rate advances | ||||||||||||||||
Maturity less than one month | $ | 5,164 | 11.0 | % | $ | 10,745 | 17.8 | % | ||||||||
Maturity 1 month to 12 months | 4,232 | 9.0 | 3,404 | 5.6 | ||||||||||||
Maturity greater than 1 year | 5,602 | 12.0 | 7,446 | 12.4 | ||||||||||||
Fixed rate, amortizing | 3,282 | 7.0 | 3,654 | 6.1 | ||||||||||||
Fixed rate, putable | 4,037 | 8.6 | 4,201 | 7.0 | ||||||||||||
Total fixed rate advances | 22,317 | 47.6 | 29,450 | 48.9 | ||||||||||||
Floating rate advances | ||||||||||||||||
Maturity less than one month | 11 | — | 390 | 0.6 | ||||||||||||
Maturity 1 month to 12 months | 5,052 | 10.8 | 5,695 | 9.5 | ||||||||||||
Maturity greater than 1 year | 19,528 | 41.6 | 24,710 | 41.0 | ||||||||||||
Total floating rate advances | 24,591 | 52.4 | 30,795 | 51.1 | ||||||||||||
Total par value | $ | 46,908 | 100.0 | % | $ | 60,245 | 100.0 | % | ||||||||
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(In millions of dollars)
Balance Sheet Classification | Total Long-Term | |||||||||||||||
Held-to-Maturity | Available-for-Sale | Investments | Held-to-Maturity | |||||||||||||
December 31, 2009 | (at carrying value) | (at fair value) | (at carrying value) | (at fair value) | ||||||||||||
U.S. agency debentures | ||||||||||||||||
U.S. government guaranteed obligations | $ | 59 | $ | — | $ | 59 | $ | 59 | ||||||||
MBS portfolio | ||||||||||||||||
U.S. government guaranteed obligations | 24 | — | 24 | 24 | ||||||||||||
Government-sponsored enterprises | 10,838 | — | 10,838 | 10,863 | ||||||||||||
Non-agency residential MBS | 445 | — | 445 | 376 | ||||||||||||
Non-agency commercial MBS | 56 | — | 56 | 57 | ||||||||||||
Total MBS | 11,363 | — | 11,363 | 11,320 | ||||||||||||
State housing agency debenture | 3 | — | 3 | 3 | ||||||||||||
Total long-term investments | $ | 11,425 | $ | — | $ | 11,425 | $ | 11,382 | ||||||||
Balance Sheet Classification | Total Long-Term | |||||||||||||||
Held-to-Maturity | Available-for-Sale | Investments | Held-to-Maturity | |||||||||||||
December 31, 2008 | (at carrying value) | (at fair value) | (at carrying value) | (at fair value) | ||||||||||||
U.S. agency debentures | ||||||||||||||||
U.S. government guaranteed obligations | $ | 66 | $ | — | $ | 66 | $ | 66 | ||||||||
MBS portfolio | ||||||||||||||||
U.S. government guaranteed obligations | 29 | — | 29 | 28 | ||||||||||||
Government-sponsored enterprises | 10,629 | 99 | 10,728 | 10,386 | ||||||||||||
Non-agency residential MBS | 677 | — | 677 | 400 | ||||||||||||
Non-agency commercial MBS | 297 | 28 | 325 | 287 | ||||||||||||
Total MBS | 11,632 | 127 | 11,759 | 11,101 | ||||||||||||
State housing agency debenture | 4 | — | 4 | 3 | ||||||||||||
Total long-term investments | $ | 11,702 | $ | 127 | $ | 11,829 | $ | 11,170 | ||||||||
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58
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(In millions of dollars)
December 31, 2009 | December 31, 2008 | |||||||||||||||
Par(1) | Carrying Value | Par(1) | Carrying Value | |||||||||||||
Floating rate MBS | ||||||||||||||||
Floating rate CMOs | ||||||||||||||||
U.S. government guaranteed | $ | 24 | $ | 24 | $ | 29 | $ | 29 | ||||||||
Government-sponsored enterprises | 10,985 | 10,835 | 10,880 | 10,714 | ||||||||||||
Non-agency RMBS | 515 | 445 | 677 | 677 | ||||||||||||
Total floating rate CMOs | 11,524 | 11,304 | 11,586 | 11,420 | ||||||||||||
Interest rate swapped MBS(2) | ||||||||||||||||
Triple-A rated non-agency CMBS (3) | — | — | 29 | 28 | ||||||||||||
Government-sponsored enterprise DUS(4) | — | — | 10 | 10 | ||||||||||||
Total swapped MBS | — | — | 39 | 38 | ||||||||||||
Total floating rate MBS | 11,524 | 11,304 | 11,625 | 11,458 | ||||||||||||
Fixed rate MBS | ||||||||||||||||
Government-sponsored enterprises | 3 | 3 | 4 | 4 | ||||||||||||
Triple-A rated non-agency CMBS(5) | 56 | 56 | 297 | 297 | ||||||||||||
Total fixed rate MBS | 59 | 59 | 301 | 301 | ||||||||||||
Total MBS | $ | 11,583 | $ | 11,363 | $ | 11,926 | $ | 11,759 | ||||||||
(1) | Balances represent the principal amounts of the securities. | |
(2) | In the interest rate swapped MBS transactions, the Bank had entered into balance-guaranteed interest rate swaps in which it paid the swap counterparty the coupon payments of the underlying security in exchange for LIBOR-indexed coupons. | |
(3) | CMBS = Commercial mortgage-backed securities. | |
(4) | DUS = Designated Underwriter Servicer. | |
(5) | The Bank match funded these CMBS at the time of purchase with fixed rate debt securities. |
(dollars in millions)
December 31, 2009 | December 31, 2008 | |||||||||||||||
Gross | Unrealized Losses | Gross | Unrealized Losses | |||||||||||||
Unrealized | as Percentage of | Unrealized | as Percentage of | |||||||||||||
Losses | Amortized Cost | Losses | Amortized Cost | |||||||||||||
Government guaranteed | $ | — | 0.3% | $ | 1 | 2.8% | ||||||||||
Government-sponsored enterprises | 53 | 0.5% | 270 | 2.5% | ||||||||||||
Non-agency residential MBS | 135 | 26.5% | 277 | 40.9% | ||||||||||||
Non-agency commercial MBS | — | 0.0% | 11 | 3.4% | ||||||||||||
�� | ||||||||||||||||
$ | 188 | $ | 559 | |||||||||||||
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Credit Rating | Number of Securities | Amortized Cost | Carrying Value | Estimated Fair Value | Unrealized Losses | |||||||||||||||
Triple-A | 20 | $ | 205,906 | $ | 205,906 | $ | 184,462 | $ | 21,444 | |||||||||||
Double-A | 5 | 51,717 | 51,717 | 35,511 | 16,206 | |||||||||||||||
Single-A | 2 | 38,623 | 38,623 | 25,932 | 12,691 | |||||||||||||||
Triple-B | 5 | 72,033 | 61,374 | 40,583 | 31,450 | |||||||||||||||
Double-B | 4 | 40,376 | 29,529 | 23,300 | 17,076 | |||||||||||||||
Single-B | 3 | 58,804 | 29,035 | 33,042 | 25,762 | |||||||||||||||
Triple-C | 1 | 43,923 | 28,614 | 33,286 | 10,637 | |||||||||||||||
Total | 40 | $ | 511,382 | $ | 444,798 | $ | 376,116 | $ | 135,266 | |||||||||||
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(dollars in millions)
Credit Enhancement Statistics | ||||||||||||||||||||||||||||||||||||
Unpaid | Weighted Average | Current | Original | |||||||||||||||||||||||||||||||||
Number of | Principal | Amortized | Estimated | Unrealized | Collateral | Weighted | Weighted | Minimum | ||||||||||||||||||||||||||||
Year of Securitization | Securities | Balance | Cost | Fair Value | Losses | Delinquency(1)(2) | Average (1)(3) | Average(1) | Current(4) | |||||||||||||||||||||||||||
Fixed Rate Collateral 2006 | 1 | $ | 46 | $ | 44 | $ | 33 | $ | 11 | 12.04 | % | 8.58 | % | 8.89 | % | 8.58 | % | |||||||||||||||||||
2005 | 1 | 31 | 31 | 22 | 9 | 8.80 | % | 10.33 | % | 6.84 | % | 10.33 | % | |||||||||||||||||||||||
2004 | 5 | 37 | 37 | 34 | 3 | 4.14 | % | 18.38 | % | 6.00 | % | 16.14 | % | |||||||||||||||||||||||
2003 | 11 | 141 | 141 | 130 | 11 | 0.87 | % | 6.74 | % | 3.98 | % | 5.01 | % | |||||||||||||||||||||||
2002 and prior | 3 | 12 | 12 | 11 | 1 | 6.40 | % | 20.92 | % | 4.46 | % | 16.73 | % | |||||||||||||||||||||||
21 | 267 | 265 | 230 | 35 | 4.41 | % | 9.71 | % | 5.45 | % | 5.01 | % | ||||||||||||||||||||||||
Option ARM Collateral 2005 | 17 | 234 | 232 | 138 | 94 | 31.94 | % | 47.98 | % | 42.56 | % | 30.13 | % | |||||||||||||||||||||||
2004 | 2 | 14 | 14 | 8 | 6 | 31.02 | % | 37.41 | % | 30.08 | % | 34.10 | % | |||||||||||||||||||||||
19 | 248 | 246 | 146 | 100 | 31.89 | % | 47.39 | % | 41.86 | % | 30.13 | % | ||||||||||||||||||||||||
Total non-agency RMBS | 40 | $ | 515 | $ | 511 | $ | 376 | $ | 135 | 17.65 | % | 27.86 | % | 22.99 | % | 5.01 | % | |||||||||||||||||||
(1) | Weighted average percentages are computed based upon unpaid principal balances. | |
(2) | Collateral delinquency reflects the percentage of underlying loans that are 60 or more days past due, including loans in foreclosure and real estate owned; as of December 31, 2009, actual cumulative loan losses in the pools of loans underlying the Bank’s non-agency RMBS portfolio ranged from 0 percent to 5.71 percent. | |
(3) | Current credit enhancement percentages reflect the ability of subordinated classes of securities to absorb principal losses and interest shortfalls before the senior classes held by the Bank are impacted (i.e., the losses, expressed as a percentage of the outstanding principal balances, that could be incurred in the underlying loan pools before the securities held by the Bank would be impacted, assuming that all of those losses occurred on the measurement date). Depending upon the timing and amount of losses in the underlying loan pool, it is possible that the senior classes held by the Bank could bear losses in scenarios where the cumulative loan losses do not exceed the current credit enhancement percentage. | |
(4) | Minimum credit enhancement reflects the security in each vintage year with the lowest current credit enhancement. |
NON-AGENCY RMBS BY COLLATERAL TYPE
Fixed Rate Collateral | ||||
California | 38.6 | % | ||
New York | 5.9 | |||
Florida | 5.4 | |||
Texas | 3.6 | |||
Virginia | 2.3 | |||
All other | 44.2 | |||
100.0 | % | |||
Option ARM Collateral | ||||
California | 61.7 | % | ||
Florida | 9.8 | |||
New York | 3.3 | |||
Nevada | 2.1 | |||
Virginia | 2.0 | |||
All other | 21.1 | |||
100.0 | % | |||
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(dollars in millions)
Credit Enhancement Statistics | ||||||||||||||||||||||||||||||||||||
Unpaid | Weighted Average | Current | Original | |||||||||||||||||||||||||||||||||
Number of | Principal | Amortized | Estimated | Unrealized | Collateral | Weighted | Weighted | Minimum | ||||||||||||||||||||||||||||
Year of Securitization | Securities | Balance | Cost | Fair Value | Losses | Delinquency(1)(2) | Average (1)(3) | Average | Current(4) | |||||||||||||||||||||||||||
2005 | 3 | $ | 72 | $ | 71 | $ | 44 | $ | 27 | 28.14 | % | 29.44 | % | 25.41 | % | 10.33 | % | |||||||||||||||||||
2004 | 1 | 8 | 8 | 8 | — | 8.69 | % | 23.65 | % | 6.85 | % | 23.65 | % | |||||||||||||||||||||||
2002 and prior | 2 | 12 | 12 | 11 | 1 | 6.65 | % | 20.22 | % | 4.55 | % | 16.73 | % | |||||||||||||||||||||||
Total | 6 | $ | 92 | $ | 91 | $ | 63 | $ | 28 | 23.65 | % | 27.74 | % | 21.08 | % | 10.33 | % | |||||||||||||||||||
(1) | Weighted average percentages are computed based upon unpaid principal balances. | |
(2) | Collateral delinquency reflects the percentage of underlying loans that are 60 or more days past due, including loans in foreclosure and real estate owned; as of December 31, 2009, actual cumulative loan losses in the pools of loans underlying the securities presented in the table ranged from 0.18 percent to 3.12 percent. | |
(3) | Current credit enhancement percentages reflect the ability of subordinated classes of securities to absorb principal losses and interest shortfalls before the senior classes held by the Bank are impacted (i.e., the losses, expressed as a percentage of the outstanding principal balances, that could be incurred in the underlying loan pools before the securities held by the Bank would be impacted, assuming that all of those losses occurred on the measurement date). Depending upon the timing and amount of losses in the underlying loan pool, it is possible that the senior classes held by the Bank could bear losses in scenarios where the cumulative loan losses do not exceed the current credit enhancement percentage. | |
(4) | Minimum credit enhancement reflects the security in each vintage year with the lowest current credit enhancement. |
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(dollars in thousands)
Period of | Credit | Non-Credit | ||||||||||||||
Initial | Credit | Total | Component | Component | ||||||||||||
Impairment | Rating | OTTI | of OTTI | of OTTI | ||||||||||||
Security #1 | Q1 2009 | Single-B | $ | 13,139 | $ | 1,369 | $ | 11,770 | ||||||||
Security #2 | Q1 2009 | Double-B | 13,076 | 16 | 13,060 | |||||||||||
Security #3 | Q2 2009 | Triple-C | 19,358 | 1,978 | 17,380 | |||||||||||
Security #4 | Q2 2009 | Triple-B | 8,585 | 77 | 8,508 | |||||||||||
Security #5 | Q3 2009 | Single-B | 11,738 | 284 | 11,454 | |||||||||||
Security #6 | Q3 2009 | Single-B | 10,502 | 277 | 10,225 | |||||||||||
Security #7 | Q3 2009 | Triple-B | 3,544 | 21 | 3,523 | |||||||||||
Totals | $ | 79,942 | $ | 4,022 | $ | 75,920 | ||||||||||
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(dollars in thousands)
Amortized Cost After | Accretion of | |||||||||||||||||||
Credit Component | Non-Credit | Non-Credit | Carrying | Estimated | ||||||||||||||||
of OTTI | Component of OTTI | Component of OTTI | Value | Fair Value | ||||||||||||||||
Security #1 | $ | 16,391 | $ | 11,770 | $ | 2,163 | $ | 6,784 | $ | 9,434 | ||||||||||
Security #2 | 19,984 | 13,060 | 2,214 | 9,138 | 11,336 | |||||||||||||||
Security #3 | 43,923 | 17,380 | 2,069 | 28,612 | 33,286 | |||||||||||||||
Security #4 | 13,769 | 8,508 | 1,151 | 6,412 | 7,406 | |||||||||||||||
Security #5 | 22,773 | 11,454 | 807 | 12,126 | 13,353 | |||||||||||||||
Security #6 | 19,640 | 10,225 | 711 | 10,126 | 10,254 | |||||||||||||||
Security #7 | 7,508 | 3,523 | 221 | 4,206 | 4,169 | |||||||||||||||
Totals | $ | 143,988 | $ | 75,920 | $ | 9,336 | $ | 77,404 | $ | 89,238 | ||||||||||
Quarterly | Significant Inputs(2) | |||||||||||||||||||||||||
Unpaid Principal | Period of | Projected | Projected | Projected | Current Credit | |||||||||||||||||||||
Year of | Collateral | Balance as of | Most Recent | Prepayment | Default | Loss | Enhancement as of | |||||||||||||||||||
Securitization | Type(1) | December 31, 2009 | Impairment | Rate | Rate | Severity | December 31, 2009(3) | |||||||||||||||||||
Security #1 | 2005 | Alt-A/Option ARM | $ | 17,764 | Q3 2009 | 6.4% | 77.1% | 48.2% | 37.5% | |||||||||||||||||
Security #2 | 2005 | Alt-A/Option ARM | 20,000 | Q3 2009 | 8.4% | 61.0% | 51.3% | 51.0% | ||||||||||||||||||
Security #3 | 2006 | Alt-A/Fixed Rate | 45,905 | Q4 2009 | 13.0% | 31.3% | 41.2% | 8.6% | ||||||||||||||||||
Security #4 | 2005 | Alt-A/Option ARM | 13,846 | Q4 2009 | 6.5% | 73.0% | 42.9% | 49.5% | ||||||||||||||||||
Security #5 | 2005 | Alt-A/Option ARM | 23,058 | Q4 2009 | 7.5% | 75.9% | 49.2% | 49.1% | ||||||||||||||||||
Security #6 | 2005 | Alt-A/Option ARM | 19,919 | Q4 2009 | 8.2% | 65.1% | 38.1% | 30.1% | ||||||||||||||||||
Security #7 | 2004 | Alt-A/Option ARM | 7,520 | Q3 2009 | 10.0% | 55.0% | 42.0% | 34.1% | ||||||||||||||||||
Total | $ | 148,012 | ||||||||||||||||||||||||
(1) | Security #1 and Security #5 are the only securities presented in the table above that were labeled as Alt-A at the time of issuance; however, based upon their current collateral or performance characteristics, all of the other-than-temporarily impaired securities presented in the table above were analyzed using Alt-A assumptions. | |
(2) | Prepayment rates reflect the weighted average of projected future voluntary prepayments. Default rates reflect the total balance of loans projected to default as a percentage of the current unpaid principal balance of the underlying loan pool. Loss severities reflect the total projected loan losses as a percentage of the total balance of loans that are projected to default. | |
(3) | Current credit enhancement percentages reflect the ability of subordinated classes of securities to absorb principal losses and interest shortfalls before the senior class held by the Bank is impacted (i.e., the losses, expressed as a percentage of the outstanding principal balances, that could be incurred in the underlying loan pool before the security held by the Bank would be impacted, assuming that all of those losses occurred on the measurement date). Depending upon the timing and amount of losses in the underlying loan pool, it is possible that the senior classes held by the Bank could bear losses in scenarios where the cumulative loan losses do not exceed the current credit enhancement percentage. |
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(dollars in thousands)
Hypothetical | ||||||||||||||||||||||||||
Credit Losses | Credit | |||||||||||||||||||||||||
Recorded | Losses Under | Current | ||||||||||||||||||||||||
Year of | Collateral | Carrying | Fair | in Earnings | Stress-Test | Collateral | Credit | |||||||||||||||||||
Securitization | Type(1) | Value | Value | During 2009 | Scenario(2) | Delinquency(3) | Enhancement(4) | |||||||||||||||||||
Security #1 | 2005 | Alt-A/Option ARM | $ | 6,784 | $9,434 | $ | 1,369 | $ | 2,395 | 41.8% | 37.5% | |||||||||||||||
Security #2 | 2005 | Alt-A/Option ARM | 9,138 | 11,336 | 16 | 43 | 39.0% | 51.0% | ||||||||||||||||||
Security #3 | 2006 | Alt-A/Fixed Rate | 28,612 | 33,286 | 1,978 | 3,143 | 12.0% | 8.6% | ||||||||||||||||||
Security #4 | 2005 | Alt-A/Option ARM | 6,412 | 7,406 | 77 | 567 | 24.2% | 49.5% | ||||||||||||||||||
Security #5 | 2005 | Alt-A/Option ARM | 12,126 | 13,353 | 284 | 1,190 | 43.9% | 49.1% | ||||||||||||||||||
Security #6 | 2005 | Alt-A/Option ARM | 10,126 | 10,254 | 277 | 1,074 | 27.0% | 30.1% | ||||||||||||||||||
Security #7 | 2004 | Alt-A/Option ARM | 4,206 | 4,169 | 21 | 264 | 23.8% | 34.1% | ||||||||||||||||||
Security #8 | 2005 | Alt-A/Option ARM | 11,908 | 6,599 | — | 146 | 32.3% | 49.5% | ||||||||||||||||||
Security #9 | 2004 | Alt-A/Option ARM | 6,364 | 3,745 | — | 42 | 39.5% | 41.3% | ||||||||||||||||||
Security #10 | 2005 | Alt-A/Option ARM | 5,164 | 3,125 | — | 7 | 31.0% | 48.2% | ||||||||||||||||||
Security #11 | 2005 | Alt-A/Option ARM | 7,316 | 4,306 | — | 1 | 29.4% | 49.4% | ||||||||||||||||||
$ | 108,156 | $107,013 | $ | 4,022 | $ | 8,872 | ||||||||||||||||||||
(1) | Security #1 and Security #5 are the only securities presented in the table above that were labeled as Alt-A at the time of issuance; however, based upon their current collateral or performance characteristics, all of the securities presented in the table above were analyzed using Alt-A assumptions. | |
(2) | Represents the credit losses that would have been recorded in earnings during the year ended December 31, 2009 if the more stressful housing price scenario had been used in the Bank’s OTTI assessment as of December 31, 2009. | |
(3) | Collateral delinquency reflects the percentage of underlying loans that are 60 or more days past due, including loans in foreclosure and real estate owned; as of December 31, 2009, actual cumulative loan losses in the pools of loans underlying the securities presented in the table ranged from 1.40 percent to 4.33 percent. | |
(4) | Current credit enhancement percentages reflect the ability of subordinated classes of securities to absorb principal losses and interest shortfalls before the senior classes held by the Bank are impacted (i.e., the losses, expressed as a percentage of the outstanding principal balances, that could be incurred in the underlying loan pools before the securities held by the Bank would be impacted, assuming that all of those losses occurred on the measurement date). Depending upon the timing and amount of losses in the underlying loan pool, it is possible that the senior classes held by the Bank could bear losses in scenarios where the cumulative loan losses do not exceed the current credit enhancement percentage. |
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(dollars in millions)
Expiration | Notional Amount | Strike Rate | ||||||
Second quarter 2013 | $ | 500 | 6.25 | % | ||||
Second quarter 2013 | 250 | 6.50 | % | |||||
First quarter 2014 | 500 | 6.00 | % | |||||
First quarter 2014 | 500 | 6.50 | % | |||||
Third quarter 2014 | 500 | 6.50 | % | |||||
Fourth quarter 2014 | 250 | 6.00 | % | |||||
Fourth quarter 2014(1) | 250 | 6.50 | % | |||||
Second quarter 2015(2) | 250 | 6.50 | % | |||||
Fourth quarter 2015(1) | 250 | 6.00 | % | |||||
Fourth quarter 2015(1) | 250 | 7.00 | % | |||||
Second quarter 2016(2) | 250 | 7.00 | % | |||||
$ | 3,750 | |||||||
(1) | These caps are effective beginning in October 2012. | |
(2) | These caps are effective beginning in June 2012. |
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(Par value, dollars in millions)
December 31, 2009 | December 31, 2008 | |||||||||||||||
Percentage | Percentage | |||||||||||||||
Balance | of Total | Balance | of Total | |||||||||||||
Fixed rate, non-callable | $ | 23,371 | 45.7 | % | $ | 31,767 | 56.7 | % | ||||||||
Single-index floating rate | 20,560 | 40.2 | 13,093 | 23.4 | ||||||||||||
Callable step-up | 3,473 | 6.8 | 78 | 0.1 | ||||||||||||
Fixed rate, callable | 3,277 | 6.4 | 11,054 | 19.8 | ||||||||||||
Conversion | 365 | 0.7 | — | — | ||||||||||||
Callable step-down | 125 | 0.2 | 15 | — | ||||||||||||
Total par value | $ | 51,171 | 100.0 | % | $ | 56,007 | 100.0 | % | ||||||||
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(dollars in millions)
December 31, 2009 | December 31, 2008 | |||||||||||||||
Contractual Maturity | Amount | Percentage | Amount | Percentage | ||||||||||||
Due in one year or less | $ | 39,716 | 66.3 | % | $ | 54,610 | 74.9 | % | ||||||||
Due after one year through two years | 9,164 | 15.3 | 9,784 | 13.4 | ||||||||||||
Due after two years through three years | 5,569 | 9.3 | 2,239 | 3.1 | ||||||||||||
Due after three years through four years | 1,085 | 1.8 | 1,689 | 2.3 | ||||||||||||
Due after four years through five years | 1,191 | 2.0 | 944 | 1.3 | ||||||||||||
Thereafter | 3,211 | 5.3 | 3,665 | 5.0 | ||||||||||||
Total | $ | 59,936 | 100.0 | % | $ | 72,931 | 100.0 | % | ||||||||
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Amount Classified as | ||||||||||||
Mandatorily Redeemable | ||||||||||||
Date of Repurchase | Shares | Amount of | Capital Stock at Date of | |||||||||
by the Bank | Repurchased | Repurchase | Repurchase | |||||||||
January 31, 2007 | 1,442,916 | $ | 144,292 | $ | 263 | |||||||
April 30, 2007 | 2,862,664 | 286,266 | 7,391 | |||||||||
July 31, 2007 | 1,242,655 | 124,266 | 2,305 | |||||||||
October 31, 2007 | 1,291,685 | 129,169 | 1,531 | |||||||||
January 31, 2008 | 1,917,546 | 191,755 | 24,982 | |||||||||
April 30, 2008 | 1,088,892 | 108,889 | 2,913 | |||||||||
July 31, 2008 | 2,007,883 | 200,788 | 24,988 | |||||||||
October 31, 2008 | 3,064,496 | 306,450 | 394 | |||||||||
January 30, 2009 | 1,683,239 | 168,324 | 7,602 | |||||||||
April 30, 2009 | 1,016,045 | 101,605 | — | |||||||||
July 31, 2009 | 1,368,402 | 136,840 | — | |||||||||
October 30, 2009 | 1,065,165 | 106,517 | — | |||||||||
January 29, 2010 | 1,065,595 | 106,560 | — |
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(dollars in thousands)
December 31, 2009 | December 31, 2008 | December 31, 2007 | ||||||||||||||||||||||
Number of | Number of | Number of | ||||||||||||||||||||||
Capital Stock Status | Institutions | Amount | Institutions | Amount | Institutions | Amount | ||||||||||||||||||
Held by the FDIC, as receiver of Franklin Bank, S.S.B. | 1 | $ | 29 | 1 | $ | 57,432 | — | $ | — | |||||||||||||||
Held by Capital One, National Association | 1 | 976 | 1 | 26,350 | 1 | 60,719 | ||||||||||||||||||
Held by Washington Mutual Bank | — | — | 1 | 103 | 1 | 15,436 | ||||||||||||||||||
Subject to withdrawal notice | 8 | 1,900 | 5 | 1,198 | 4 | 920 | ||||||||||||||||||
Held by other non-members | 14 | 6,260 | 10 | 5,270 | 10 | 5,426 | ||||||||||||||||||
Total | 24 | $ | 9,165 | 18 | $ | 90,353 | 16 | $ | 82,501 | |||||||||||||||
(Dollars in thousands)
Percent of | ||||||||||||||||
Capital | Total | |||||||||||||||
Name | City | State | Stock | Capital Stock | ||||||||||||
Wells Fargo Bank South Central, National Association (1) | Houston | TX | $ | 799,097 | 31.4 | % | ||||||||||
Comerica Bank | Dallas | TX | 271,140 | 10.7 | ||||||||||||
International Bank of Commerce | Laredo | TX | 61,908 | 2.4 | ||||||||||||
Beal Bank Nevada (2) | Las Vegas | NV | 41,999 | 1.7 | ||||||||||||
Bank of Texas, N.A. | Dallas | TX | 39,540 | 1.6 | ||||||||||||
Southside Bank | Tyler | TX | 38,629 | 1.5 | ||||||||||||
Arvest Bank | Rogers | AR | 30,239 | 1.2 | ||||||||||||
First National Bank | Edinburg | TX | 27,101 | 1.1 | ||||||||||||
BancorpSouth Bank | Tupelo | MS | 23,465 | 0.9 | ||||||||||||
First Community Bank | Taos | NM | 23,103 | 0.9 | ||||||||||||
$ | 1,356,221 | 53.4 | % | |||||||||||||
(1) | Formerly Wachovia Bank, FSB | |
(2) | Beal Bank Nevada is chartered in Las Vegas, NV, but maintains its home office in Plano, TX. |
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Total Notional at December 31, | Net Change in Fair Value(7) | |||||||||||||||||||||||
(In millions of dollars) | (In thousands of dollars) | |||||||||||||||||||||||
2009 | 2008 | 2007 | 2009 | 2008 | 2007 | |||||||||||||||||||
Advances | ||||||||||||||||||||||||
Short-cut method(1) | $ | 9,397 | $ | 9,959 | $ | 7,161 | $ | — | $ | — | $ | — | ||||||||||||
Long-haul method(2) | 1,556 | 1,164 | 910 | (3,061 | ) | 3,063 | 723 | |||||||||||||||||
Economic hedges(3) | 15 | 5 | 22 | (36 | ) | 321 | (1 | ) | ||||||||||||||||
Total | 10,968 | 11,128 | 8,093 | (3,097 | ) | 3,384 | 722 | |||||||||||||||||
Investments | ||||||||||||||||||||||||
Long-haul method(2) | — | 40 | 315 | (102 | ) | 4,077 | 2,195 | |||||||||||||||||
Economic hedges(4) | — | — | 7 | — | 1,037 | (127 | ) | |||||||||||||||||
Total | — | 40 | 322 | (102 | ) | 5,114 | 2,068 | |||||||||||||||||
�� | ||||||||||||||||||||||||
Consolidated obligation bonds | ||||||||||||||||||||||||
Short-cut method(1) | 95 | 95 | 1,075 | — | — | — | ||||||||||||||||||
Long-haul method(2) | 27,519 | 37,795 | 24,819 | 62,462 | (55,368 | ) | (1,349 | ) | ||||||||||||||||
Economic hedges(3) | 8,195 | 110 | 160 | 10,337 | (926 | ) | 533 | |||||||||||||||||
Total | 35,809 | 38,000 | 26,054 | 72,799 | (56,294 | ) | (816 | ) | ||||||||||||||||
Consolidated obligation discount notes | ||||||||||||||||||||||||
Economic hedges(3) | 6,414 | 5,270 | — | (7,395 | ) | 9,216 | — | |||||||||||||||||
Other economic hedges | ||||||||||||||||||||||||
Interest rate caps(5) | 3,750 | 3,500 | 6,500 | 14,316 | (2,243 | ) | (1,509 | ) | ||||||||||||||||
Basis swaps(6) | 9,700 | 12,200 | — | 8,994 | 42,530 | — | ||||||||||||||||||
Member swaps (including offsetting swaps) | 24 | 7 | — | 30 | 16 | — | ||||||||||||||||||
Total | 13,474 | 15,707 | 6,500 | 23,340 | 40,303 | (1,509 | ) | |||||||||||||||||
Total derivatives | $ | 66,665 | $ | 70,145 | $ | 40,969 | $ | 85,545 | $ | 1,723 | $ | 465 | ||||||||||||
Total short-cut method | $ | 9,492 | $ | 10,054 | $ | 8,236 | $ | — | $ | — | $ | — | ||||||||||||
Total long-haul method | 29,075 | 38,999 | 26,044 | 59,299 | (48,228 | ) | 1,569 | |||||||||||||||||
Total economic hedges | 28,098 | 21,092 | 6,689 | 26,246 | 49,951 | (1,104 | ) | |||||||||||||||||
Total derivatives | $ | 66,665 | $ | 70,145 | $ | 40,969 | $ | 85,545 | $ | 1,723 | $ | 465 | ||||||||||||
(1) | The short-cut method allows the assumption of no ineffectiveness in the hedging relationship. | |
(2) | The long-haul method requires the hedge and hedged item to be marked to fair value independently. | |
(3) | Interest rate derivatives that are matched to advances or consolidated obligations, but that either do not qualify for hedge accounting or were not designated in a hedging relationship for accounting purposes. | |
(4) | Interest rate derivatives that were matched to investment securities designated as trading or available-for-sale, but that did not qualify for hedge accounting. | |
(5) | Interest rate derivatives that hedge identified portfolio risks, but that do not qualify for hedge accounting. The Bank’s interest rate caps hedge embedded caps in floating rate CMOs designated as held-to-maturity. | |
(6) | At December 31, 2009, the Bank held $9.7 billion (notional) of interest rate basis swaps that were entered into to reduce the Bank’s exposure to changes in spreads between one-month and three-month LIBOR; $1.0 billion, $2.0 billion, $1.0 billion, $4.7 billion and $1.0 billion of these agreements expire in the first quarter of 2011, the second quarter of 2013, the second quarter of 2014, the fourth quarter of 2018, and the first quarter of 2024, respectively. | |
(7) | Represents the difference in fair value adjustments for the derivatives and their hedged items. In cases involving economic hedges (other than those related to trading securities), the net change in fair value reflected in this table represents a one-sided mark, meaning that the net change in fair value represents the change in fair value of the derivative only. Gains and losses in the form of net interest payments on economic hedge derivatives are excluded from the amounts reflected above. |
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(Dollars in millions)
Maximum | Cash | Cash | ||||||||||||||||||||||
Credit | Number of | Notional | Credit | Collateral | Collateral | Net Exposure | ||||||||||||||||||
Rating(1) | Counterparties | Principal(2) | Exposure | Held | Due(3) | After Collateral | ||||||||||||||||||
December 31, 2009 | ||||||||||||||||||||||||
Aaa | 1 | $ | 543.0 | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Aa(4) | 10 | 51,897.1 | 198.0 | 187.6 | 8.7 | 1.7 | ||||||||||||||||||
A(5) | 4 | 14,212.7 | 25.9 | 17.0 | 8.9 | — | ||||||||||||||||||
Excess collateral | — | — | — | 0.1 | — | — | ||||||||||||||||||
Total | 15 | $ | 66,652.8 | (6) | $ | 223.9 | $ | 204.7 | $ | 17.6 | $ | 1.7 | ||||||||||||
December 31, 2008 | ||||||||||||||||||||||||
Aaa | 3 | $ | 17,099.2 | $ | 35.2 | $ | 27.3 | $ | 7.9 | $ | — | |||||||||||||
Aa(4) | 9 | 43,239.8 | 341.9 | 288.5 | 52.4 | 1.0 | ||||||||||||||||||
A(5) | 4 | 9,802.8 | 27.8 | 19.1 | 8.7 | — | ||||||||||||||||||
Total | 16 | $ | 70,141.8 | (6) | $ | 404.9 | $ | 334.9 | $ | 69.0 | $ | 1.0 | ||||||||||||
(1) | Credit ratings shown in the table are obtained from Moody’s and are as of December 31, 2009 and December 31, 2008, respectively. | |
(2) | Includes amounts that had not settled as of December 31, 2009 and December 31, 2008. | |
(3) | Amount of collateral to which the Bank had contractual rights under counterparty credit agreements based on December 31, 2009 and December 31, 2008 credit exposures. Cash collateral totaling $17.6 million and $68.5 million was delivered under these agreements in early January 2010 and early January 2009, respectively. | |
(4) | The figures for Aa-rated counterparties as of December 31, 2009 and December 31, 2008 include transactions with a counterparty that is affiliated with a member institution. Transactions with this counterparty had an aggregate notional principal of $753 million and $128 million as of December 31, 2009 and December 31, 2008, respectively. These transactions represented a credit exposure of $1.9 million and $3.7 million to the Bank as of December 31, 2009 and December 31, 2008, respectively. | |
(5) | The figures for A-rated counterparties as of December 31, 2009 and December 31, 2008 include transactions with one counterparty that is affiliated with a non-member shareholder of the Bank. Transactions with that counterparty had an aggregate notional principal of $3.2 billion and $1.4 billion as of December 31, 2009 and December 31, 2008, respectively. These transactions represented a credit exposure of $2.2 million to the Bank as of December 31, 2009 and did not represent a credit exposure to the Bank as of December 31, 2008. | |
(6) | Excludes $12.1 million and $3.5 million (notional amounts) of interest rate derivatives with members at December 31, 2009 and December 31, 2008, respectively. This product offering is discussed in the paragraph below. |
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(Dollars in millions)
Year Ended December 31, | ||||||||||||||||||||||||||||||||||||
2009 | 2008 | 2007 | ||||||||||||||||||||||||||||||||||
Interest | Interest | Interest | ||||||||||||||||||||||||||||||||||
Average | Income/ | Average | Average | Income/ | Average | Average | Income/ | Average | ||||||||||||||||||||||||||||
Balance | Expense(d) | Rate(a)(d) | Balance | Expense(d) | Rate(a)(d) | Balance | Expense(d) | Rate(a)(d) | ||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||
Interest-bearing deposits(b) | $ | 335 | $ | 1 | 0.20 | % | $ | 174 | $ | 3 | 1.69 | % | $ | 137 | $ | 8 | 5.79 | % | ||||||||||||||||||
Federal funds sold(c) | 3,908 | 5 | 0.13 | % | 4,946 | 96 | 1.94 | % | 5,447 | 277 | 5.09 | % | ||||||||||||||||||||||||
Investments | ||||||||||||||||||||||||||||||||||||
Trading | 3 | — | — | 3 | — | 0.00 | % | 9 | 1 | 6.13 | % | |||||||||||||||||||||||||
Available-for-sale(e) | 28 | — | 1.70 | % | 331 | 10 | 3.13 | % | 524 | 26 | 5.08 | % | ||||||||||||||||||||||||
Held-to-maturity (e) | 11,901 | 150 | 1.26 | % | 10,003 | 349 | 3.49 | % | 7,707 | 437 | 5.67 | % | ||||||||||||||||||||||||
Advances(f) | 53,536 | 665 | 1.24 | % | 58,671 | 1,816 | 3.10 | % | 40,405 | 2,114 | 5.23 | % | ||||||||||||||||||||||||
Mortgage loans held for portfolio | 292 | 16 | 5.51 | % | 353 | 20 | 5.60 | % | 414 | 23 | 5.57 | % | ||||||||||||||||||||||||
Total earning assets | 70,003 | 837 | 1.20 | % | 74,481 | 2,294 | 3.08 | % | 54,643 | 2,886 | 5.28 | % | ||||||||||||||||||||||||
Cash and due from banks | 102 | 80 | 85 | |||||||||||||||||||||||||||||||||
Other assets | 408 | 414 | 327 | |||||||||||||||||||||||||||||||||
Derivatives netting adjustment(b) | (458 | ) | (330 | ) | — | |||||||||||||||||||||||||||||||
Fair value adjustment on available-for-sale securities (e) | — | (4 | ) | 1 | ||||||||||||||||||||||||||||||||
Adjustment for non-credit portion of other-than-temporary impairments on held-to-maturity securities (e) | (37 | ) | — | — | ||||||||||||||||||||||||||||||||
Total assets | $ | 70,018 | 837 | 1.20 | % | $ | 74,641 | 2,294 | 3.07 | % | $ | 55,056 | 2,886 | 5.24 | % | |||||||||||||||||||||
Liabilities and Capital | ||||||||||||||||||||||||||||||||||||
Interest-bearing deposits (b) | $ | 1,445 | 1 | 0.10 | % | $ | 2,965 | 58 | 1.97 | % | $ | 2,920 | 144 | 4.94 | % | |||||||||||||||||||||
Consolidated obligations | ||||||||||||||||||||||||||||||||||||
Bonds | 50,424 | 553 | 1.10 | % | 49,110 | 1,564 | 3.18 | % | 37,634 | 1,958 | 5.20 | % | ||||||||||||||||||||||||
Discount notes | 14,752 | 207 | 1.40 | % | 18,851 | 521 | 2.77 | % | 11,336 | 556 | 4.90 | % | ||||||||||||||||||||||||
Mandatorily redeemable capital stock and | ||||||||||||||||||||||||||||||||||||
other borrowings | 58 | — | 0.15 | % | 68 | 1 | 2.02 | % | 109 | 5 | 5.10 | % | ||||||||||||||||||||||||
Total interest-bearing liabilities | 66,679 | 761 | 1.14 | % | 70,994 | 2,144 | 3.02 | % | 51,999 | 2,663 | 5.12 | % | ||||||||||||||||||||||||
Other liabilities | 785 | 822 | 733 | |||||||||||||||||||||||||||||||||
Derivatives netting adjustment(b) | (458 | ) | (330 | ) | — | |||||||||||||||||||||||||||||||
Total liabilities | 67,006 | 761 | 1.14 | % | 71,486 | 2,144 | 3.00 | % | 52,732 | 2,663 | 5.05 | % | ||||||||||||||||||||||||
Total capital | 3,012 | 3,155 | 2,324 | |||||||||||||||||||||||||||||||||
Total liabilities and capital | $ | 70,018 | 1.09 | % | $ | 74,641 | 2.87 | % | $ | 55,056 | 4.84 | % | ||||||||||||||||||||||||
Net interest income | $ | 76 | $ | 150 | $ | 223 | ||||||||||||||||||||||||||||||
Net interest margin | 0.11 | % | 0.20 | % | 0.40 | % | ||||||||||||||||||||||||||||||
Net interest spread | 0.06 | % | 0.06 | % | 0.16 | % | ||||||||||||||||||||||||||||||
Impact of non-interest bearing funds | 0.05 | % | 0.14 | % | 0.24 | % | ||||||||||||||||||||||||||||||
(a) | Amounts used to calculate average rates are based on whole dollars. Accordingly, recalculations based upon the disclosed amounts (millions) may not produce the same results. | |
(b) | Since January 1, 2008, the Bank offsets the fair value amounts recognized for the right to reclaim cash collateral or the obligation to return cash collateral against the fair value amounts recognized for derivative instruments executed with the same counterparty under a master netting arrangement. The average balances of interest-bearing deposit assets for the years ended December 31, 2009 and 2008 in the table above include $179 million and $130 million, respectively, which are classified as derivative assets/liabilities on the statements of condition. In addition, the average balances of interest-bearing deposit liabilities for the years ended December 31, 2009 and 2008 in the table above include $280 million and $200 million, respectively, which are classified as derivative assets/liabilities on the statements of condition. Prior to 2008, the Bank offset only the fair value amounts recognized for derivative instruments executed with the same counterparty under a master netting arrangement. The Bank has determined that it is impractical to retrospectively restate the average balances prior to 2008; further, the Bank has determined that any such adjustments would not have had a material impact on the average total asset balances for those periods. Accordingly, the average total asset balance for the year ended December 31, 2007 does not reflect any adjustments to offset cash collateral against the derivative balances. | |
(c) | Includes overnight federal funds sold to other FHLBanks. | |
(d) | Interest income/expense and average rates include the effects of interest rate exchange agreements to the extent such agreements qualify for fair value hedge accounting. If the agreements do not qualify for hedge accounting or were not designated in a hedging relationship for accounting purposes, the net interest income/expense associated with such agreements is recorded in other income (loss) in the statements of income and therefore excluded from the Yield and Spread Analysis. Net interest income (expense) on economic hedge derivatives totaled $107.6 million, $5.0 million and ($0.4 million) for the years ended December 31, 2009, 2008 and 2007, respectively, the components of which are presented below in the sub-section entitled “Other Income (Loss).” | |
(e) | Average balances for available-for-sale and held-to-maturity securities are calculated based upon amortized cost. | |
(f) | Interest income and average rates include prepayment fees on advances. |
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(In millions of dollars)
2009 vs. 2008 | 2008 vs. 2007 | |||||||||||||||||||||||
Increase (Decrease) Due To | Increase (Decrease) Due To | |||||||||||||||||||||||
Volume | Rate | Total | Volume | Rate | Total | |||||||||||||||||||
Interest income: | ||||||||||||||||||||||||
Interest-bearing deposits | $ | 2 | $ | (4 | ) | $ | (2 | ) | $ | — | $ | (5 | ) | $ | (5 | ) | ||||||||
Federal funds sold | (17 | ) | (74 | ) | (91 | ) | (24 | ) | (157 | ) | (181 | ) | ||||||||||||
Investments | ||||||||||||||||||||||||
Trading | — | — | — | (1 | ) | — | (1 | ) | ||||||||||||||||
Available-for-sale | (7 | ) | (3 | ) | (10 | ) | (8 | ) | (8 | ) | (16 | ) | ||||||||||||
Held-to-maturity | 57 | (256 | ) | (199 | ) | 108 | (196 | ) | (88 | ) | ||||||||||||||
Advances | (147 | ) | (1,004 | ) | (1,151 | ) | 751 | (1,049 | ) | (298 | ) | |||||||||||||
Mortgage loans held for portfolio | (3 | ) | (1 | ) | (4 | ) | (3 | ) | — | (3 | ) | |||||||||||||
Total interest income | (115 | ) | (1,342 | ) | (1,457 | ) | 823 | (1,415 | ) | (592 | ) | |||||||||||||
Interest expense: | ||||||||||||||||||||||||
Interest-bearing deposits | (20 | ) | (37 | ) | (57 | ) | 2 | (88 | ) | (86 | ) | |||||||||||||
Consolidated obligations: | ||||||||||||||||||||||||
Bonds | 40 | (1,051 | ) | (1,011 | ) | 495 | (889 | ) | (394 | ) | ||||||||||||||
Discount notes | (96 | ) | (218 | ) | (314 | ) | 272 | (307 | ) | (35 | ) | |||||||||||||
Mandatorily redeemable capital stock and other borrowings | — | (1 | ) | (1 | ) | (2 | ) | (2 | ) | (4 | ) | |||||||||||||
Total interest expense | (76 | ) | (1,307 | ) | (1,383 | ) | 767 | (1,286 | ) | (519 | ) | |||||||||||||
Changes in net interest income | $ | (39 | ) | $ | (35 | ) | $ | (74 | ) | $ | 56 | $ | (129 | ) | $ | (73 | ) | |||||||
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(In thousands of dollars)
2009 | 2008 | 2007 | ||||||||||
Net gains (losses) on unhedged trading securities (1) | $ | 586 | $ | (627 | ) | $ | 9 | |||||
Net losses on hedged trading securities | — | — | (11 | ) | ||||||||
Losses on economic hedge derivatives related to trading securities | — | — | (15 | ) | ||||||||
Hedge ineffectiveness on trading securities | — | — | (26 | ) | ||||||||
Net interest income (expense) associated with: | ||||||||||||
Economic hedge derivatives related to trading securities | — | — | (134 | ) | ||||||||
Economic hedge derivatives related to available-for-sale securities | — | (87 | ) | 42 | ||||||||
Economic hedge derivatives related to consolidated obligation federal funds floater bonds | 14,919 | (61 | ) | — | ||||||||
Economic hedge derivatives related to other consolidated obligation bonds | — | 1,328 | (320 | ) | ||||||||
Economic hedge derivatives related to consolidated obligation discount notes | 27,066 | (2,300 | ) | — | ||||||||
Stand-alone economic hedge derivatives (basis swaps) | 65,939 | 6,579 | — | |||||||||
Stand-alone economic hedge derivatives (forward rate agreement) | (304 | ) | — | — | ||||||||
Member/offsetting swaps | 4 | — | — | |||||||||
Economic hedge derivatives related to advances | (60 | ) | (503 | ) | (31 | ) | ||||||
Total net interest income (expense) associated with economic hedge derivatives | 107,564 | 4,956 | (443 | ) | ||||||||
Gains (losses) related to economic hedge derivatives | ||||||||||||
Gains related to stand-alone derivatives (basis swaps) | 8,994 | 42,530 | — | |||||||||
Gains on federal funds floater swaps | 10,337 | 75 | — | |||||||||
Gains (losses) on interest rate caps related to held-to-maturity securities | 14,316 | (2,243 | ) | (1,509 | ) | |||||||
Gains (losses) on discount note swaps | (7,395 | ) | 9,216 | — | ||||||||
Net gains on member/offsetting swaps | 30 | 16 | — | |||||||||
Gains (losses) related to other economic hedge derivatives (advance / AFS(2)/ CO(3)swaps) | (36 | ) | 357 | 431 | ||||||||
Total fair value gains (losses) related to economic hedge derivatives | 26,246 | 49,951 | (1,078 | ) | ||||||||
Gains (losses) related to fair value hedge ineffectiveness | ||||||||||||
Net gains (losses) on advances and associated hedges | (3,061 | ) | 3,063 | 723 | ||||||||
Net gains (losses) on CO(3)bonds and associated hedges | 62,462 | (55,368 | ) | (1,349 | ) | |||||||
Net gains (losses) on AFS(2) securities and associated hedges | (102 | ) | 4,077 | 2,195 | ||||||||
Total fair value hedge ineffectiveness | 59,299 | (48,228 | ) | 1,569 | ||||||||
Credit component of other-than-temporary impairment losses on held-to-maturity securities | (4,022 | ) | — | — | ||||||||
Gains on early extinguishment of debt | 553 | 8,794 | 1,255 | |||||||||
Net realized gains (losses) on sales of AFS(2) securities | 843 | (919 | ) | — | ||||||||
Service fees | 3,074 | 3,510 | 3,713 | |||||||||
Other, net | 6,212 | 5,143 | 4,506 | |||||||||
Total other | 6,660 | 16,528 | 9,474 | |||||||||
Total other income | $ | 200,355 | $ | 22,580 | $ | 9,505 | ||||||
(1) | Unhedged trading securities consist solely of mutual fund investments associated with the Bank’s non-qualified deferred compensation plans. | |
(2) | Available-for-sale | |
(3) | Consolidated obligations |
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Payments due by Period | ||||||||||||||||||||
< 1 Year | 1-3 Years | 3-5 Years | > 5 Years | Total | ||||||||||||||||
Long-term debt | $ | 30,951.3 | $ | 14,733.1 | $ | 2,276.5 | $ | 3,210.6 | $ | 51,171.5 | ||||||||||
Mandatorily redeemable capital stock | 1.4 | 3.2 | 4.6 | — | 9.2 | |||||||||||||||
Operating leases | 0.3 | 0.6 | 0.1 | — | 1.0 | |||||||||||||||
Purchase obligations | ||||||||||||||||||||
Advances | 38.0 | — | — | — | 38.0 | |||||||||||||||
Letters of credit | 4,251.6 | 292.6 | 104.2 | — | 4,648.4 | |||||||||||||||
Total contractual obligations | $ | 35,242.6 | $ | 15,029.5 | $ | 2,385.4 | $ | 3,210.6 | $ | 55,868.1 | ||||||||||
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December 31, 2009 | December 31, 2008 | |||||||||||||||
Required | Actual | Required | Actual | |||||||||||||
Risk-based capital | $ | 507 | $ | 2,897 | $ | 930 | $ | 3,530 | ||||||||
Total capital | $ | 2,604 | $ | 2,897 | $ | 3,157 | $ | 3,530 | ||||||||
Total capital-to-assets ratio | 4.00 | % | 4.45 | % | 4.00 | % | 4.47 | % | ||||||||
Leverage capital | $ | 3,255 | $ | 4,346 | $ | 3,947 | $ | 5,295 | ||||||||
Leverage capital-to-assets ratio | 5.00 | % | 6.68 | % | 5.00 | % | 6.71 | % |
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• | Derivatives and Hedging Activities; | ||
• | Estimation of Fair Values; | ||
• | Other-Than-Temporary Impairment Assessments; and | ||
• | Amortization of Premiums and Accretion of Discounts. |
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(at carrying value, in thousands of dollars)
December 31, | ||||||||
2008 | 2007 | |||||||
Government-sponsored enterprises | $ | — | $ | 56,930 | ||||
FHLBank consolidated obligations(1) | ||||||||
FHLBank of Boston (primary obligor) | — | 35,423 | ||||||
FHLBank of San Francisco (primary obligor) | — | 6,766 | ||||||
— | 99,119 | |||||||
Mortgage-backed securities | ||||||||
Government-sponsored enterprises | 98,884 | 169,180 | ||||||
Other | 28,648 | 93,791 | ||||||
127,532 | 262,971 | |||||||
Total carrying value | $ | 127,532 | $ | 362,090 | ||||
(1) | Represents consolidated obligations acquired in the secondary market for which the named FHLBank was the primary obligor, and for which each of the FHLBanks, including the Bank, was jointly and severally liable. |
(at carrying value, in thousands of dollars)
December 31, | ||||||||||||
2009 | 2008 | 2007 | ||||||||||
Commercial paper | $ | — | $ | — | $ | 993,629 | ||||||
U.S. government guaranteed obligations | 58,812 | 65,888 | 75,342 | |||||||||
State housing agency obligation | 2,945 | 3,785 | 4,810 | |||||||||
61,757 | 69,673 | 1,073,781 | ||||||||||
Mortgage-backed securities | ||||||||||||
U.S. government guaranteed obligations | 24,075 | 28,632 | 34,066 | |||||||||
Government-sponsored enterprises | 10,837,865 | 10,629,290 | 5,910,467 | |||||||||
Other | 500,855 | 973,909 | 1,516,353 | |||||||||
11,362,795 | 11,631,831 | 7,460,886 | ||||||||||
Total carrying value | $ | 11,424,552 | $ | 11,701,504 | $ | 8,534,667 | ||||||
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MATURITIES AND YIELD
(in thousands of dollars)
Book Value | Yield | |||||||
U.S. government guaranteed obligations | ||||||||
Within one year | $ | 249 | 0.90 | % | ||||
After one year through five years | 3,607 | 2.95 | ||||||
After five years through ten years | 31,703 | 0.72 | ||||||
After ten years | 23,253 | 0.67 | ||||||
$ | 58,812 | 0.84 | % | |||||
State housing agency obligation | ||||||||
After ten years | $ | 2,945 | 0.57 | % | ||||
$ | 2,945 | 0.57 | % | |||||
Mortgage-backed securities | ||||||||
After one year through five years | 1,803 | 0.54 | % | |||||
After five years through ten years | 232,110 | 0.64 | ||||||
After ten years | 11,128,882 | 0.87 | ||||||
$ | 11,362,795 | 0.87 | % | |||||
(In thousands of dollars)
Year ended December 31, | ||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||
Advances | $ | 47,262,574 | $ | 60,919,883 | $ | 46,298,158 | $ | 41,168,141 | $ | 46,456,958 | ||||||||||
Real estate mortgages | $ | 259,617 | $ | 327,059 | $ | 381,468 | $ | 449,626 | $ | 542,478 | ||||||||||
Nonperforming real estate mortgages | $ | 1,115 | $ | 370 | $ | 312 | $ | 466 | $ | 2,375 | ||||||||||
Real estate mortgages past due 90 days or more and still accruing interest(1) | $ | 2,515 | $ | 2,295 | $ | 2,854 | $ | 4,557 | $ | 6,418 | ||||||||||
Interest contractually due during the year on nonaccrual loans | $ | 57 | ||||||||||||||||||
Interest actually received during the year on nonaccrual loans | $ | 30 | ||||||||||||||||||
(1) | Only government guaranteed/insured loans continue to accrue interest after they become 90 days past due. |
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(In thousands of dollars)
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||
Balance, beginning of year | $ | 261 | $ | 263 | $ | 267 | $ | 294 | $ | 355 | ||||||||||
Chargeoffs | (21 | ) | (2 | ) | (4 | ) | (27 | ) | (5 | ) | ||||||||||
Provision (release of allowance) for credit losses | — | — | — | — | (56 | ) | ||||||||||||||
Balance, end of year | $ | 240 | $ | 261 | $ | 263 | $ | 267 | $ | 294 | ||||||||||
Midwest (IA, IL, IN, MI, MN, ND, NE, OH, SD, and WI) | 12.7 | % | ||
Northeast (CT, DE, MA, ME, NH, NJ, NY, PA, PR, RI, VI, and VT) | 0.9 | |||
Southeast (AL, DC, FL, GA, KY, MD, MS, NC, SC, TN, VA, and WV) | 12.8 | |||
Southwest (AR, AZ, CO, KS, LA, MO, NM, OK, TX, and UT) | 71.6 | |||
West (AK, CA, GU, HI, ID, MT, NV, OR, WA, and WY) | 2.0 | |||
100.0 | % | |||
(In millions of dollars)
December 31, | ||||||||||||
2009 | 2008 | 2007 | ||||||||||
Outstanding at year-end | $ | 8,762 | $ | 16,745 | $ | 24,120 | ||||||
Weighted average rate at year-end | 0.27 | % | 2.65 | % | 4.20 | % | ||||||
Daily average outstanding for the year | $ | 14,752 | $ | 18,851 | $ | 11,336 | ||||||
Weighted average rate for the year | 1.40 | % | 2.77 | % | 4.90 | % | ||||||
Highest outstanding at any month-end | $ | 21,926 | $ | 23,084 | $ | 24,120 | ||||||
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(dollars in billions)
Up 200 Basis Points(1) | Down 200 Basis Points(2) | Up 100 Basis Points(1) | Down 100 Basis Points(2) | |||||||||||||||||||||||||||||
Base Case | Estimated | Percentage | Estimated | Percentage | Estimated | Percentage | Estimated | Percentage | ||||||||||||||||||||||||
Market | Market | Change | Market | Change | Market | Change | Market | Change | ||||||||||||||||||||||||
Value | Value | from | Value | from | Value | from | Value | from | ||||||||||||||||||||||||
of Equity | of Equity | Base Case(3) | of Equity | Base Case(3) | of Equity | Base Case(3) | of Equity | Base Case(3) | ||||||||||||||||||||||||
December 2008 | 2.635 | 2.093 | -20.57% | * | * | 2.391 | -9.26% | * | * | |||||||||||||||||||||||
January 2009 | 2.525 | 2.089 | -17.27% | * | * | 2.312 | -8.44% | * | * | |||||||||||||||||||||||
February 2009 | 2.552 | 2.154 | -15.60% | * | * | 2.352 | -7.84% | * | * | |||||||||||||||||||||||
March 2009 | 2.685 | 2.304 | -14.19% | * | * | 2.513 | -6.41% | * | * | |||||||||||||||||||||||
April 2009 | 2.606 | 2.264 | -13.12% | * | * | 2.449 | -6.02% | * | * | |||||||||||||||||||||||
May 2009 | 2.558 | 2.165 | -15.36% | * | * | 2.367 | -7.47% | * | * | |||||||||||||||||||||||
June 2009 | 2.713 | 2.246 | -17.21% | * | * | 2.492 | -8.15% | * | * | |||||||||||||||||||||||
July 2009 | 2.545 | 2.119 | -16.74% | * | * | 2.350 | -7.66% | * | * | |||||||||||||||||||||||
August 2009 | 2.793 | 2.412 | -13.64% | * | * | 2.623 | -6.09% | * | * | |||||||||||||||||||||||
September 2009 | 2.842 | 2.452 | -13.72% | * | * | 2.667 | -6.16% | * | * | |||||||||||||||||||||||
October 2009 | 2.721 | 2.382 | -12.46% | * | * | 2.576 | -5.33% | * | * | |||||||||||||||||||||||
November 2009 | 2.789 | 2.472 | -11.37% | 2.895 | 3.80 | % | 2.656 | -4.77% | 2.865 | 2.72 | % | |||||||||||||||||||||
December 2009 | 2.836 | 2.520 | -11.14% | 2.947 | 3.91 | % | 2.700 | -4.80% | 2.908 | 2.54 | % |
* | Due to the low interest rate environments that existed during these time periods, the down 100 and 200 basis point parallel shifts in interest rates were not considered meaningful. | |
(1) | In the up 100 and 200 scenarios, the estimated market value of equity is calculated under assumed instantaneous +100 and +200 basis point parallel shifts in interest rates. | |
(2) | Pursuant to guidance issued by the Finance Agency, the estimated market value of equity was calculated for November 2009 and December 2009 under assumed instantaneous -100 and -200 basis point parallel shifts in interest rates, subject to a floor of 0.35 percent. | |
(3) | Amounts used to calculate percentage changes are based on numbers in the thousands. Accordingly, recalculations based upon the disclosed amounts (billions) may not produce the same results. |
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(Expressed in Years)
Base Case Interest Rates | ||||||||||||||||||||||||||||||
Asset | Liability | Duration | Duration | Duration of Equity | ||||||||||||||||||||||||||
Duration | Duration | Gap | of Equity | Up 100(1) | Up 200(1) | Down 100(2) | Down 200(2) | |||||||||||||||||||||||
December 2008 | 0.56 | (0.37 | ) | 0.19 | 6.36 | 13.42 | 14.38 | * | * | |||||||||||||||||||||
January 2009 | 0.58 | (0.36 | ) | 0.22 | 7.04 | 10.31 | 10.52 | * | * | |||||||||||||||||||||
February 2009 | 0.55 | (0.33 | ) | 0.22 | 6.78 | 8.89 | 9.06 | * | * | |||||||||||||||||||||
March 2009 | 0.52 | (0.35 | ) | 0.17 | 4.64 | 8.42 | 9.00 | * | * | |||||||||||||||||||||
April 2009 | 0.53 | (0.34 | ) | 0.19 | 5.24 | 8.31 | 9.08 | * | * | |||||||||||||||||||||
May 2009 | 0.53 | (0.30 | ) | 0.23 | 6.57 | 8.87 | 9.69 | * | * | |||||||||||||||||||||
June 2009 | 0.58 | (0.30 | ) | 0.28 | 7.53 | 9.76 | 11.88 | * | * | |||||||||||||||||||||
July 2009 | 0.58 | (0.33 | ) | 0.25 | 7.04 | 10.21 | 12.39 | * | * | |||||||||||||||||||||
August 2009 | 0.52 | (0.33 | ) | 0.19 | 5.04 | 7.74 | 9.67 | * | * | |||||||||||||||||||||
September 2009 | 0.53 | (0.33 | ) | 0.20 | 5.15 | 7.91 | 9.54 | * | * | |||||||||||||||||||||
October 2009 | 0.51 | (0.34 | ) | 0.17 | 4.30 | 7.01 | 9.09 | * | * | |||||||||||||||||||||
November 2009 | 0.45 | (0.30 | ) | 0.15 | 3.92 | 6.21 | 8.25 | 2.16 | 1.30 | |||||||||||||||||||||
December 2009 | 0.46 | (0.31 | ) | 0.15 | 3.65 | 6.04 | 7.90 | 2.49 | 1.73 |
* | Due to the low interest rate environments that existed during these time periods, the down 100 and 200 basis point parallel shifts in interest rates were not considered meaningful. | |
(1) | In the up 100 and 200 scenarios, the duration of equity is calculated under assumed instantaneous +100 and +200 basis point parallel shifts in interest rates. | |
(2) | Pursuant to guidance issued by the Finance Agency, the duration of equity was calculated for November 2009 and December 2009 under assumed instantaneous -100 and -200 basis point parallel shifts in interest rates, subject to a floor of 0.35 percent. |
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(Unaudited, in thousands)
Year Ended December 31, 2009 | ||||||||||||||||||||
First | Second | Third | Fourth | |||||||||||||||||
Quarter | Quarter | Quarter | Quarter | Total | ||||||||||||||||
Interest income | $ | 304,088 | $ | 232,314 | $ | 170,073 | $ | 130,989 | $ | 837,464 | ||||||||||
Net interest income (expense) | (22,827 | ) | 14,753 | 33,510 | 51,040 | 76,476 | ||||||||||||||
Other income (loss) | ||||||||||||||||||||
Realized gain on sale of available-for-sale security | 843 | — | — | — | 843 | |||||||||||||||
Credit component of other-than temporary impairment losses on held-to-maturity securities | (17 | ) | (654 | ) | (2,312 | ) | (1,039 | ) | (4,022 | ) | ||||||||||
Net gain (loss) on trading securities | (79 | ) | 257 | 286 | 122 | 586 | ||||||||||||||
Net gains on derivatives and hedging activities | 126,831 | 33,903 | 14,080 | 18,295 | 193,109 | |||||||||||||||
Gains on early extinguishment of debt | — | 176 | — | 377 | 553 | |||||||||||||||
Service fees and other, net | 2,304 | 2,419 | 2,332 | 2,231 | 9,286 | |||||||||||||||
Other expense | 18,392 | 15,832 | 23,880 | 17,186 | 75,290 | |||||||||||||||
Net income | 65,139 | 25,727 | 17,643 | 39,555 | 148,064 |
Year Ended December 31, 2008 | ||||||||||||||||||||
First | Second | Third | Fourth | |||||||||||||||||
Quarter | Quarter | Quarter | Quarter | Total | ||||||||||||||||
Interest income | $ | 636,972 | $ | 529,393 | $ | 547,794 | $ | 580,577 | $ | 2,294,736 | ||||||||||
Net interest income (expense) | 47,449 | 52,377 | 62,106 | (11,574 | ) | 150,358 | ||||||||||||||
Other income (loss) | ||||||||||||||||||||
Net gains (losses) on available-for-sale securities | — | 2,794 | (2,476 | ) | (1,237 | ) | (919 | ) | ||||||||||||
Net losses on trading securities | (133 | ) | — | (157 | ) | (337 | ) | (627 | ) | |||||||||||
Net gains (losses) on derivatives and hedging activities | 4,904 | 9,826 | 56,314 | (64,365 | ) | 6,679 | ||||||||||||||
Gains on early extinguishment of debt | 5,656 | 1,910 | — | 1,228 | 8,794 | |||||||||||||||
Service fees and other, net | 2,304 | 2,484 | 1,509 | 2,356 | 8,653 | |||||||||||||||
Other expense | 17,579 | 14,125 | 15,093 | 18,016 | 64,813 | |||||||||||||||
Net income (loss) | 31,254 | 40,575 | 75,070 | (67,558 | ) | 79,341 |
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Member | Number of Votes | |||||
Nominee | Institution | Received | ||||
Julie A. Cripe | OMNIBANK, N.A. | 1,030,872 | ||||
President/Chief Executive Officer | Houston, TX | |||||
Robert M. Rigby | Liberty Bank | 841,871 | ||||
Market President | North Richland Hills, TX | |||||
H. Gary Blankenship | Bank of the West | 828,606 | ||||
Chairman/Chief Executive Officer | Grapevine, TX | |||||
W. Don Ellis | Patriot Bank | 105,958 | ||||
Chairman/Chief Executive Officer | Houston, TX | |||||
Bramlet Beard | Ennis State Bank | 101,574 | ||||
President | Ennis, TX | |||||
Jim Sturgeon | Founders Bank, SSB | 78,856 | ||||
President/Chief Executive Officer | Sugar Land, TX | |||||
Duncan W. Stewart | Texas Citizens Bank, N.A. | 70,376 | ||||
Chairman/Chief Executive Officer | Pasadena, TX |
Member | Number of Votes | |||||
Nominee | Institution | Received | ||||
Charles G. Morgan, Jr. | Pine Bluff National Bank | 430,610 | ||||
President/Chief Executive Officer | Pine Bluff, AR | |||||
Robert H. Adcock | Centennial Bank | 278,967 | ||||
Vice Chairman | Conway, AR |
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Director | Expiration of | Board | ||||||||||||
Name | Age | Since | Term as Director | Committees | ||||||||||
Lee R. Gibson, Chairman (Member) | 53 | 2002 | 2012 | (a)(b)(c)(d)(e)(f)(g) | ||||||||||
Mary E. Ceverha, Vice Chairman (Independent) | 65 | 2004 | 2010 | (a)(b)(c)(d)(e)(f)(g) | ||||||||||
Patricia P. Brister (Independent) | 63 | 2008 | 2010 | (c)(e) | ||||||||||
Bobby L. Chain (Independent) | 80 | 2004 | 2010 | (c)(e)(g) | ||||||||||
James H. Clayton (Member) | 58 | 2005 | 2010 | (d)(f)(g) | ||||||||||
C. Kent Conine (Independent) | 55 | 2007 | 2013 | (e)(f) | ||||||||||
Julie A. Cripe (Member) | 56 | 2010 | 2013 | (a)(f) | ||||||||||
Howard R. Hackney (Member) | 70 | 2003 | 2012 | (b)(d)(g) | ||||||||||
Charles G. Morgan, Jr. (Member) | 48 | 2004 | 2013 | (b)(d)(g) | ||||||||||
James W. Pate, II (Independent) | 60 | 2007 | 2013 | (c)(f) | ||||||||||
Joseph F. Quinlan, Jr. (Member) | 62 | 2008 | 2012 | (a)(d) | ||||||||||
Robert M. Rigby (Member) | 63 | 2010 | 2011 | (a)(e) | ||||||||||
John P. Salazar (Independent) | 67 | 2010 | 2011 | (e)(f) | ||||||||||
Margo S. Scholin (Independent) | 59 | 2007 | 2012 | (b)(d) | ||||||||||
Anthony S. Sciortino (Member) | 62 | 2003 | 2013 | (c)(e)(g) | ||||||||||
John B. Stahler (Member) | 61 | 2001 | 2010 | (a)(b)(g) | ||||||||||
Ron G. Wiser (Member) | 53 | 2010 | 2010 | (a)(b) |
(a) | Member of Risk Management Committee | |
(b) | Member of Audit Committee | |
(c) | Member of Compensation and Human Resources Committee | |
(d) | Member of Strategic Planning Committee | |
(e) | Member of Government Relations Committee | |
(f) | Member of Affordable Housing and Economic Development Committee | |
(g) | Member of Executive Committee |
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Officer | ||||||||||
Name | Age | Position Held | Since | |||||||
Terry Smith | 53 | President and Chief Executive Officer | 1986 | |||||||
Michael Sims | 44 | Chief Operating Officer, Executive Vice President — Finance and Chief Financial Officer | 1998 | |||||||
Nancy Parker | 57 | Chief Operating Officer and Executive Vice President — Operations | 1994 | |||||||
Paul Joiner | 57 | Senior Vice President and Chief Strategy Officer | 1986 | |||||||
Tom Lewis | 47 | Senior Vice President and Chief Accounting Officer | 2003 |
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Base Salary | X | Employee’s | X | Profitability | X | Corporate | X | Individual | ||||||||
as of 1/1/09 | Maximum | Achievement | Operating | Goal | ||||||||||||
Potential | Percentage | Goal | Achievement | |||||||||||||
Award | Achievement | Percentage | ||||||||||||||
Percentage | Percentage |
75% | X | Base Salary | X | Maximum | X | Profitability | X | Corporate | ||||||||
as of 1/1/09 | Potential | Goal | Operating Goal | |||||||||||||
Award | Achievement | Achievement | ||||||||||||||
Percentage | Percentage | Percentage | ||||||||||||||
plus | ||||||||||||||||
25% | X | Base Salary | X | Maximum | X | Individual | ||||||||||
as of 1/1/09 | Potential | Performance Goal | ||||||||||||||
Award | Achievement | |||||||||||||||
Percentage | Percentage |
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(Dollars in millions)
Contribution | ||||||||||||||||||||||||
to Overall | ||||||||||||||||||||||||
Percentage | Objective | Achievement | ||||||||||||||||||||||
Weight | Threshold | Target | Stretch | Results | Percentage | |||||||||||||||||||
Expanding the Traditional Business | ||||||||||||||||||||||||
1. Average Total Advances + Letters of Credit | 10 | % | $ | 63,200 | $ | 65,000 | $ | 66,700 | $ | 57,713 | 0 | % | ||||||||||||
2. Average Advances and Letters of Credit to Customers with Assets£ $15 billion | 15 | % | $ | 30,400 | $ | 31,300 | $ | 32,100 | $ | 28,501 | 0 | % | ||||||||||||
3. Average Advances + Letters of Credit to 2009 CFIs | 20 | % | $ | 13,100 | $ | 13,400 | $ | 13,800 | $ | 13,710 | 16 | % | ||||||||||||
4. Total Credit Product Users | 10 | % | 700 | 725 | 750 | 760 | 10 | % | ||||||||||||||||
New Initiatives | ||||||||||||||||||||||||
1. Interest Rate Derivatives Customers | 5 | % | 10 | 15 | 20 | 3 | 0 | % | ||||||||||||||||
2. Advances or Deposit Auction Participants | 5 | % | 200 | 215 | 235 | 255 | 5 | % | ||||||||||||||||
3. Average Letters of Credit Outstanding | 5 | % | $ | 4,800 | $ | 5,000 | $ | 5,200 | $ | 4,692 | 0 | % | ||||||||||||
Economic and Community Development | ||||||||||||||||||||||||
1. New CIP / EDP Advances Funded + LCs Issued* | 10 | % | $ | 600 | $ | 650 | $ | 700 | $ | 1,174 | 10 | % | ||||||||||||
2. Total CIP / EDP Advances / LC Users* | 10 | % | 85 | 90 | 100 | 86 | 6 | % | ||||||||||||||||
3. CIP / EDP Projects Funded / Supported by LCs* | 10 | % | 275 | 300 | 325 | 367 | 10 | % | ||||||||||||||||
Overall Corporate Operating Goal Achievement Percentage | 57 | % | ||||||||||||||||||||||
* | Excluding letters of credit issued on behalf of one particularly active member. |
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Corporate | ||||||||||||||||||||||||||||
Award | Maximum | Profitability | Operating Goal | Individual Goal | ||||||||||||||||||||||||
Base Salary as of | Component | Potential Award | Achievement | Achievement | Achievement | 2009 VPP | ||||||||||||||||||||||
January 1, 2009 ($) | Percentage (%) | Percentage (%) | Percentage (%) | Percentage (%) | Percentage (%) | Award ($) | ||||||||||||||||||||||
Terry Smith | 715,000 | 75.00 | 60.00 | 100.00 | 57.00 | 183,398 | ||||||||||||||||||||||
715,000 | 25.00 | 60.00 | 89.40 | 95,881 | ||||||||||||||||||||||||
279,279 | ||||||||||||||||||||||||||||
Michael Sims | 330,000 | 43.75 | 100.00 | 57.00 | 100.00 | 82,294 | ||||||||||||||||||||||
Nancy Parker | 320,000 | 43.75 | 100.00 | 57.00 | 100.00 | 79,800 | ||||||||||||||||||||||
Paul Joiner | 267,500 | 43.75 | 100.00 | 57.00 | 100.00 | 66,708 | ||||||||||||||||||||||
Tom Lewis | 264,000 | 43.75 | 100.00 | 57.00 | 100.00 | 65,835 |
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Terry Smith | $ | 715,000 | (No change — see discussion below) | |||
Michael Sims | $ | 385,000 | (8.45 percent) | |||
Nancy Parker | $ | 375,000 | (8.70 percent) | |||
Paul Joiner | $ | 277,000 | (3.55 percent) | |||
Tom Lewis | $ | 268,000 | (1.52 Percent) |
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Estimated Possible VPP Payouts for 2010 | ||||||||||||
Threshold ($) | Target ($) | Maximum ($) | ||||||||||
Terry Smith | 203,775 | 364,650 | 429,000 | |||||||||
Michael Sims | 50,531 | 134,750 | 168,438 | |||||||||
Nancy Parker | 49,219 | 131,250 | 164,063 | |||||||||
Paul Joiner | 36,356 | 96,950 | 121,188 | |||||||||
Tom Lewis | 35,175 | 93,800 | 117,250 |
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The Compensation and Human Resources Committee | ||
Bobby L. Chain, Chairman | ||
James W. Pate, II, Vice Chairman | ||
Patricia P. Brister | ||
Mary E. Ceverha | ||
Lee R. Gibson | ||
Anthony S. Sciortino |
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Change in Pension | ||||||||||||||||||||||||||||||||||||
Name and | Non-equity | Value and Nonqualified | ||||||||||||||||||||||||||||||||||
Principal | Stock | Option | Incentive Plan | Deferred Compensation | All Other | |||||||||||||||||||||||||||||||
Position | Year | Salary ($) | Bonus ($) | Awards ($) | Awards ($) | Compensation ($) (1) | Earnings ($) (2) | Compensation ($) (3) | Total ($) | |||||||||||||||||||||||||||
Terry Smith | 2009 | 715,000 | — | — | — | 279,279 | 351,000 | 470,690 | 1,815,969 | |||||||||||||||||||||||||||
President/Chief Executive Officer | 2008 | 680,000 | — | — | — | 376,788 | 195,000 | 391,804 | 1,643,592 | |||||||||||||||||||||||||||
2007 | 649,750 | — | — | — | 348,136 | 127,000 | 347,215 | 1,472,101 | ||||||||||||||||||||||||||||
Michael Sims | 2009 | 344,583 | — | — | — | 82,294 | 214,000 | 96,151 | 737,028 | |||||||||||||||||||||||||||
Chief Operating Officer/EVP-Finance/ | 2008 | 302,500 | — | — | — | 125,727 | 128,000 | 83,615 | 639,842 | |||||||||||||||||||||||||||
Chief Financial Officer | 2007 | 285,000 | — | — | — | 112,219 | 54,000 | 43,697 | 494,916 | |||||||||||||||||||||||||||
Nancy Parker | 2009 | 334,583 | — | — | — | 79,800 | 402,000 | 147,062 | 963,445 | |||||||||||||||||||||||||||
Chief Operating Officer/ | 2008 | 292,500 | — | — | — | 121,570 | 161,000 | 143,216 | 718,286 | |||||||||||||||||||||||||||
EVP-Operations | 2007 | 275,000 | 10,000 | (4) | — | — | 108,281 | 162,000 | 73,836 | 629,117 | ||||||||||||||||||||||||||
Paul Joiner | 2009 | 267,500 | — | — | — | 66,708 | 429,000 | 109,795 | 873,003 | |||||||||||||||||||||||||||
SVP/Chief Strategy Officer | 2008 | 255,000 | — | — | — | 105,984 | 222,000 | 113,032 | 696,016 | |||||||||||||||||||||||||||
2007 | 250,000 | — | — | — | 98,438 | 184,000 | 64,033 | 596,471 | ||||||||||||||||||||||||||||
Tom Lewis | 2009 | 264,000 | — | — | — | 65,835 | 81,000 | 36,743 | 447,578 | |||||||||||||||||||||||||||
SVP/Chief Accounting Officer | 2008 | 252,500 | — | — | — | 104,945 | 48,000 | 59,774 | 465,219 | |||||||||||||||||||||||||||
2007 | 240,000 | — | — | — | 94,500 | 28,000 | 19,536 | 382,036 |
(1) | Amounts for 2009, 2008 and 2007 represent VPP awards earned for services rendered in those years. These amounts were paid to the named executive officers in February 2010, February 2009 and March 2008, respectively. | |
(2) | Amounts reported in this column for 2009, 2008 and 2007 are attributable solely to the change in the actuarial present value of the named executive officers’ accumulated benefit under the Pentegra Defined Benefit Plan for Financial Institutions during those years. None of our named executive officers received preferential or above-market earnings on nonqualified deferred compensation during 2009, 2008 or 2007. | |
(3) | The components of this column for 2009 are provided in the table below. | |
(4) | Represents a discretionary bonus paid to Ms. Parker for her work in connection with management’s initial report on internal control over financial reporting. |
Bank | Bank Contributions to Vested | |||||||||||||||||||||||||||||||||||
Contributions to | Defined Contribution Plans | |||||||||||||||||||||||||||||||||||
Unvested Defined | 401(k)/ | Nonqualified | Payouts | Payouts | ||||||||||||||||||||||||||||||||
Contribution | Thrift | Deferred Compensation | for Unused | for Unused | Tax | Total All Other | ||||||||||||||||||||||||||||||
Name | Plan (SERP) ($) | Plan ($) | Plan (NQDC Plan) ($) | SERP ($) | Vacation ($) | Flex Leave ($) | Perquisites ($) | Gross ups ($) | Compensation ($) | |||||||||||||||||||||||||||
Terry Smith | 57,644 | (1) | 14,700 | 28,200 | 256,525 | 55,000 | 13,778 | 30,357 | (2) | 14,486 | (3) | 470,690 | ||||||||||||||||||||||||
Michael Sims | 49,005 | 14,700 | 5,975 | — | 24,605 | 1,866 | * | — | 96,151 | |||||||||||||||||||||||||||
Nancy Parker | — | 14,700 | 5,375 | 99,919 | 21,284 | 5,784 | * | — | 147,062 | |||||||||||||||||||||||||||
Paul Joiner | — | 14,700 | 1,350 | 75,771 | 15,433 | 2,541 | * | — | 109,795 | |||||||||||||||||||||||||||
Tom Lewis | 20,778 | 14,700 | 1,140 | — | — | 125 | * | — | 36,743 |
(1) | This amount (and all other amounts contributed to Mr. Smith’s Group 3 SERP prior to 2009) vested on January 1, 2010. | |
(2) | Mr. Smith’s perquisites consisted of the use of a Bank-leased car and spousal travel and meal cost reimbursements in connection with our board meetings. | |
(3) | Represents tax reimbursements on income imputed to Mr. Smith for his use of a Bank-leased car. | |
* | Amounts were either less than $10,000 or zero. |
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Estimated Possible Payouts Under | ||||||||||||
Non-Equity Incentive Plan Awards for 2009 | ||||||||||||
Name | Threshold ($) | Target ($) | Maximum ($) | |||||||||
Terry Smith | 203,775 | 364,650 | 429,000 | |||||||||
Michael Sims | 43,313 | 115,500 | 144,375 | |||||||||
Nancy Parker | 42,000 | 112,000 | 140,000 | |||||||||
Paul Joiner | 35,109 | 93,625 | 117,031 | |||||||||
Tom Lewis | 34,650 | 92,400 | 115,500 |
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Number of | Present Value | Payments During | ||||||||||||||
Years of Credited | Of Accumulated | Last Fiscal | ||||||||||||||
Name | Plan Name | Service (#) | Benefit ($) | Year ($) | ||||||||||||
Terry Smith | Pentegra DB Plan | 24.0 | 1,522,000 | — | ||||||||||||
Michael Sims | Pentegra DB Plan | 19.9 | 741,000 | — | ||||||||||||
Nancy Parker | Pentegra DB Plan | 22.8 | 1,799,000 | — | ||||||||||||
Paul Joiner | Pentegra DB Plan | 26.4 | 2,112,000 | — | ||||||||||||
Tom Lewis | Pentegra DB Plan | 6.9 | 230,000 | — |
• | Retirement at age 60, the earliest age at which benefits are not reduced for our named executive officers based upon their hire date (that is, benefits that have been accumulated through December 31, 2009 commence at age 60 and are discounted to December 31, 2009); | ||
• | Discount rate of 5.96 percent (which is the rate upon which the annual contributions reported in our financial statements are based); | ||
• | Present values are based upon the Unisex 2000 RP Mortality Table (50 percent of the benefit is valued using the generational mortality table for annuities and 50 percent of the benefit is valued using the static mortality table for lump sums); and | ||
• | No pre-retirement decrements (i.e., no pre-retirement termination from any cause including but not limited to voluntary resignation, death or early retirement). |
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• | 3 percent x years of service credited prior to July 1, 2003 x high three-year average compensation |
• | 2 percent x years of service credited on or after July 1, 2003 x high three-year average compensation |
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• | Single life annuity — that is, a monthly payment for the remainder of the participant’s life (this option provides for the largest annuity payment); | ||
• | Single life annuity with a lump sum death benefit equal to 12 times the annual retirement benefit — under this option, the death benefit is reduced by 1/12 for each year that the retiree receives payments under the annuity. Accordingly, the death benefit is no longer payable after 12 years (this option provides for a smaller annuity payment as compared to the single life annuity); | ||
• | Joint and 50 percent survivor annuity — a monthly payment for the remainder of the participant’s life. If the participant dies before his or her survivor, the survivor receives (for the remainder of his or her life) a monthly payment equal to 50 percent of the amount the participant was receiving prior to his or her death (this option provides for a smaller annuity payment as compared to the single life annuity with a lump sum death benefit); | ||
• | Joint and 100 percent survivor annuity with a 10-year certain benefit feature — a monthly payment for the remainder of the participant’s life. If the participant dies before his or her survivor, the survivor receives (for the remainder of his or her life) the same monthly payment that the participant was receiving prior to his or her death. If both the participant and the survivor die before the end of 10 years, the participant’s named beneficiary receives the same monthly payment for the remainder of the 10-year period (this option provides for a smaller annuity payment as compared to the joint and 50 percent survivor annuity); or | ||
• | Lump sum payment at retirement in lieu of a monthly annuity. |
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Aggregate Earnings | ||||||||||||||||||||
Executive Contributions | Registrant Contributions | (Losses) in Last | Aggregate Withdrawals/ | Aggregate Balance at | ||||||||||||||||
Name | in Last Fiscal Year ($) (1) | in Last Fiscal Year ($) (2) | Fiscal Year ($) (3) | Distributions ($) | Last Fiscal Year End ($) (4) | |||||||||||||||
Terry Smith | ||||||||||||||||||||
NQDC Plan | 2,000 | 28,200 | (401 | ) | 130,836 | 60,675 | ||||||||||||||
SERP — Group 1 | — | 256,525 | 173,840 | — | 772,809 | |||||||||||||||
SERP — Group 3 | — | 57,644 | 1,231 | — | 485,335 | |||||||||||||||
2,000 | 342,369 | 174,670 | 130,836 | 1,318,819 | ||||||||||||||||
Michael Sims | ||||||||||||||||||||
NQDC Plan | 2,000 | 5,975 | 8 | 12,292 | 7,979 | |||||||||||||||
SERP — Group 1 | — | 49,005 | 33,730 | — | 150,467 | |||||||||||||||
2,000 | 54,980 | 33,738 | 12,292 | 158,446 | ||||||||||||||||
Nancy Parker | ||||||||||||||||||||
NQDC Plan | 5,000 | 5,375 | (189 | ) | 16,971 | 10,379 | ||||||||||||||
SERP — Group 1 | — | 99,919 | 75,354 | — | 342,562 | |||||||||||||||
5,000 | 105,294 | 75,165 | 16,971 | 352,941 | ||||||||||||||||
Paul Joiner | ||||||||||||||||||||
NQDC Plan | 2,000 | 1,350 | 4,515 | 52,523 | 39,349 | |||||||||||||||
SERP — Group 1 | — | 75,771 | 53,765 | — | 241,409 | |||||||||||||||
2,000 | 77,121 | 58,280 | 52,523 | 280,758 | ||||||||||||||||
Tom Lewis | ||||||||||||||||||||
NQDC Plan | 2,000 | 1,140 | 1,636 | 147,844 | 51,457 | |||||||||||||||
SERP — Group 1 | — | 20,778 | 16,752 | — | 77,117 | |||||||||||||||
SERP — Group 2 | — | — | 1,389 | — | 6,189 | |||||||||||||||
2,000 | 21,918 | 19,777 | 147,844 | 134,763 | ||||||||||||||||
(1) | All amounts in this column are included in the “Salary” column for 2009 in the Summary Compensation Table. | |
(2) | All amounts in this column are included in the “All Other Compensation” column for 2009 in the Summary Compensation Table. | |
(3) | The earnings presented in this column are not included in the “Change in Pension Value and Nonqualified Deferred Compensation Earnings” column for 2009 in the Summary Compensation Table as such earnings are not at above-market or preferential rates. | |
(4) | The balances presented in this column are comprised of the amounts shown in the table below entitled “Components of Nonqualified Deferred Compensation Accounts at Last Fiscal Year End.” |
at Last Fiscal Year End
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Amounts Not Previously Distributed | ||||||||||||||||||||||||
Reportable | Cumulative Earnings | |||||||||||||||||||||||
Amounts Reported in | Compensation | Excluded from | ||||||||||||||||||||||
Summary Compensation Table | Related to Years | Reportable | ||||||||||||||||||||||
Name | 2009 ($) | 2008 ($) | 2007 ($) | Prior to 2007 ($) | Compensation ($) | Total ($) | ||||||||||||||||||
Terry Smith | 344,369 | 247,823 | 210,244 | 353,132 | 163,251 | 1,318,819 | ||||||||||||||||||
Michael Sims | 56,980 | 44,855 | 10,830 | 29,318 | 16,463 | 158,446 | ||||||||||||||||||
Nancy Parker | 110,294 | 95,084 | 29,237 | 83,015 | 35,311 | 352,941 | ||||||||||||||||||
Paul Joiner | 79,121 | 77,252 | 20,931 | 54,261 | 49,193 | 280,758 | ||||||||||||||||||
Tom Lewis | 23,918 | 18,383 | 8,736 | 68,039 | 15,687 | 134,763 |
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i) | all accrued and unpaid base salary for time worked through the date of termination of the executive officer’s employment (“Termination Date”); | ||
ii) | all accrued but unutilized vacation time as of the Termination Date; | ||
iii) | base salary continuation (at the base salary in effect at the time of termination) from the Termination Date through the end of the remaining term of the employment agreement; | ||
iv) | continued participation in any incentive compensation plan in existence as of the Termination Date, provided that all other eligibility and performance objectives are met, as if the executive officer had continued employment through December 31 of the year in which the termination occurs (the executive officer will not be eligible for incentive compensation with respect to any year following the year of termination); | ||
v) | continuation of any elective health care benefits that we are providing to the executive officer as of his or her Termination Date in accordance with the terms of our general Reduction in Workforce Policy (under this policy, the continuation of health care benefits is limited to no more than a one-year period); and | ||
vi) | a lump sum payment calculated based on the product of (X) and (Y) where “X” means the then current monthly premium charge for the COBRA Continuation Coverage under the health care benefits plan of the kind the executive officer then subscribes to and “Y” means (a) the number of months for which base salary is payable under (iii) above minus (b) the number of months of health care benefits coverage provided to the executive officer under (v) above. |
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Undiscounted | ||||||||||||||||||||||||||||||||||||
Accrued/ | Accrued/ | Undiscounted | Value of | COBRA | ||||||||||||||||||||||||||||||||
Unpaid Base | Unused | Value of | 2009 | Health Care | Continuation | Total | ||||||||||||||||||||||||||||||
Salary as of | Vacation as | Base Salary | VPP | Benefits | Coverage Lump | SERP | SERP | Termination | ||||||||||||||||||||||||||||
Name | 12/31/09 ($) | of 12/31/09 ($) | Continuation ($) | Award ($) | Continuation ($) | Sum Payment ($) | Group 1 ($) | Group 2 ($) | Benefit ($) | |||||||||||||||||||||||||||
Terry Smith | — | 908 | 2,065,754 | 279,279 | 12,373 | 24,190 | 772,809 | — | 3,155,313 | |||||||||||||||||||||||||||
Michael Sims | — | 5,462 | 1,025,654 | 82,294 | 21,243 | 41,530 | — | — | 1,176,183 | |||||||||||||||||||||||||||
Nancy Parker | — | 5,308 | 996,763 | 79,800 | 6,615 | 12,932 | 342,562 | — | 1,443,980 | |||||||||||||||||||||||||||
Paul Joiner | — | 31,164 | 772,852 | 66,708 | 21,243 | 41,530 | 241,409 | — | 1,174,906 | |||||||||||||||||||||||||||
Tom Lewis | — | 18,287 | 762,740 | 65,835 | 10,622 | 52,364 | — | 6,189 | 916,037 |
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Change in Pension | ||||||||||||||||||||||||||||
Non-equity | Value and Nonqualified | |||||||||||||||||||||||||||
Fees Earned or | Stock | Option | Incentive Plan | Deferred Compensation | All Other | |||||||||||||||||||||||
Name | Paid in Cash ($) | Awards ($) | Awards ($) | Compensation ($) | Earnings ($) | Compensation ($) | Total ($) | |||||||||||||||||||||
Lee R. Gibson, Chairman in 2009 | 60,000 | — | — | — | — | * | 60,000 | |||||||||||||||||||||
Mary E. Ceverha, Vice Chairman in 2009 | 55,000 | — | — | — | — | * | 55,000 | |||||||||||||||||||||
Tyson T. Abston | 45,000 | — | — | — | — | * | 45,000 | |||||||||||||||||||||
H. Gary Blankenship | 45,000 | — | — | — | — | * | 45,000 | |||||||||||||||||||||
Patricia P. Brister | 45,000 | — | — | — | — | * | 45,000 | |||||||||||||||||||||
Bobby L. Chain | 50,000 | — | — | — | — | * | 50,000 | |||||||||||||||||||||
James H. Clayton | 50,000 | — | — | — | — | * | 50,000 | |||||||||||||||||||||
C. Kent Conine | 45,000 | — | — | — | — | * | 45,000 | |||||||||||||||||||||
Howard R. Hackney | 55,000 | — | — | — | — | * | 55,000 | |||||||||||||||||||||
Willard L. Jackson, Jr. | 40,000 | — | — | — | — | * | 40,000 | |||||||||||||||||||||
Charles G. Morgan, Jr. | 50,000 | — | — | — | — | * | 50,000 | |||||||||||||||||||||
James W. Pate, II | 45,000 | — | — | — | — | * | 45,000 | |||||||||||||||||||||
Joseph F. Quinlan, Jr. | 45,000 | — | — | — | — | * | 45,000 | |||||||||||||||||||||
Margo S. Scholin | 45,000 | — | — | — | — | * | 45,000 | |||||||||||||||||||||
Anthony S. Sciortino | 50,000 | — | — | — | — | * | 50,000 | |||||||||||||||||||||
John B. Stahler | 50,000 | — | — | — | — | * | 50,000 | |||||||||||||||||||||
Glenn Wertheim | 40,000 | — | — | — | — | * | 40,000 |
* | Our directors did not receive any other form of compensation in 2009 other than the limited perquisites which are discussed below. For each director, these perquisites were less than $10,000. |
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Annual | Fee For Attendance | |||||||
Compensation | at Each Regular | |||||||
Limit | Board Meeting | |||||||
Chairman of the Board | $60,000 | $9,500 | ||||||
Vice Chairman of the Board | 55,000 | 8,500 | ||||||
Chairman of the Audit Committee | 55,000 | 8,500 | ||||||
Chairmen of all other Board Committees | 50,000 | 8,000 | ||||||
All other Directors | 45,000 | 7,000 |
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Percentage of | ||||||||
Number of | Outstanding | |||||||
Name and Address of Beneficial Owner | Shares Owned | Shares Owned | ||||||
Wells Fargo Bank South Central, National Association | ||||||||
2085 Westheimer Road, Houston, TX 77098 | 7,990,971 | 32.10 | % | |||||
Comerica Bank | ||||||||
1717 Main Street, Dallas, TX 75201 | 2,710,000 | 10.89 | % |
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Number | Percentage of | |||||||||
Bank Director Affiliated | of Shares | Outstanding | ||||||||
Name and Address of Beneficial Owner | with Beneficial Owner | Owned ** | Shares Owned | |||||||
Southside Bank | Lee R. Gibson | 362,692 | 1.46% | |||||||
1201 South Beckham, Tyler, TX 75701 | ||||||||||
Texas Bank and Trust Company | Howard R. Hackney | 28,962 | * | |||||||
300 East Whaley, Longview, TX 75601 | ||||||||||
American National Bank | John B. Stahler | 25,832 | * | |||||||
2732 Midwestern Parkway, Wichita Falls, TX 76308 | ||||||||||
State-Investors Bank | Anthony S. Sciortino | 23,156 | * | |||||||
1041 Veterans Boulevard, Metairie, LA 70005 | ||||||||||
Pine Bluff National Bank | Charles G. Morgan, Jr. | 16,980 | * | |||||||
912 Poplar Street, Pine Bluff, AR 71601 | ||||||||||
Arkansas Bankers Bank | Joseph F. Quinlan, Jr. | 15,226 | * | |||||||
325 West Capitol Avenue, Suite 300, Little Rock, AR 72201 | ||||||||||
First National Banker’s Bank | Joseph F. Quinlan, Jr. | 7,274 | * | |||||||
7813 Office Park Boulevard, Baton Rouge, LA 70809 | ||||||||||
Planters Bank and Trust Company | James H. Clayton | 7,067 | * | |||||||
212 Catchings Street, Indianola, MS 38751 | ||||||||||
Bank of the Southwest | Ron G. Wiser | 3,525 | * | |||||||
226 North Main Street, Roswell, NM 88201 | ||||||||||
OMNIBANK, N.A. | Julie A. Cripe | 3,456 | * | |||||||
4328 Old Spanish Trail, Houston, TX 77021 | ||||||||||
Liberty Bank | Robert M. Rigby | 2,332 | * | |||||||
5801 Davis Boulevard, North Richland Hills, TX 76180 | ||||||||||
Mississippi National Bankers Bank | Joseph F. Quinlan, Jr. | 820 | * | |||||||
300 Concourse Boulevard, Ridgeland, MS 39157 | ||||||||||
All Directors’ Financial Institutions as a group | 497,322 | 2.00% |
* | Indicates less than one percent ownership. | |
** | All shares owned by the Directors’ Financial Institutions are pledged as collateral to secure extensions of credit from the Bank. |
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(In thousands) | ||||||||
Year Ended December 31, | ||||||||
2009 | 2008 | |||||||
Audit fees | $ | 852 | $ | 979 | ||||
Audit-related fees | 8 | 114 | ||||||
Tax fees | — | — | ||||||
All other fees | — | — | ||||||
Total fees | $ | 860 | $ | 1,093 | ||||
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(a) | Financial Statements | |
The financial statements are set forth on pages F-1 through F-51 of this Annual Report on Form 10-K. | ||
(b) | Exhibits |
3.1 | Organization Certificate of the Registrant (incorporated by reference to Exhibit 3.1 to the Bank’s Registration Statement on Form 10 filed February 15, 2006). | ||
3.2 | Bylaws of the Registrant. | ||
4.1 | Capital Plan of the Registrant, as amended and revised on December 11, 2008 and approved by the Federal Housing Finance Agency on March 6, 2009 (filed as Exhibit 4.1 to the Bank’s Current Report on Form 8-K dated March 6, 2009 and filed with the SEC on March 11, 2009, which exhibit is incorporated herein by reference). | ||
10.1 | Deferred Compensation Plan of the Registrant, effective July 24, 2004 (governs deferrals made prior to January 1, 2005) (incorporated by reference to Exhibit 10.1 to the Bank’s Registration Statement on Form 10 filed February 15, 2006). | ||
10.2 | Deferred Compensation Plan of the Registrant for Deferrals Effective January 1, 2005 (incorporated by reference to Exhibit 10.2 to the Bank’s Registration Statement on Form 10 filed February 15, 2006). | ||
10.3 | 2008 Amendment to Deferred Compensation Plan of the Registrant for Deferrals Effective January 1, 2005, dated December 10, 2008 (incorporated by reference to Exhibit 10.3 to the Bank’s Annual Report on Form 10-K for the fiscal year ended December 31, 2008, filed on March 27, 2009). | ||
10.4 | Non-Qualified Deferred Compensation Plan for the Board of Directors of the Registrant, effective July 24, 2004 (governs deferrals made prior to January 1, 2005) (incorporated by reference to Exhibit 10.3 to the Bank’s Registration Statement on Form 10 filed February 15, 2006). | ||
10.5 | Non-Qualified Deferred Compensation Plan for the Board of Directors of the Registrant for Deferrals Effective January 1, 2005 (incorporated by reference to Exhibit 10.4 to the Bank’s Registration Statement on Form 10 filed February 15, 2006). | ||
10.6 | 2008 Amendment to Non-Qualified Deferred Compensation Plan for the Board of Directors of the Registrant for Deferrals Effective January 1, 2005, dated December 10, 2008 (incorporated by reference to Exhibit 10.6 to the Bank’s Annual Report on Form 10-K for the fiscal year ended December 31, 2008, filed on March 27, 2009). | ||
10.7 | Form of Special Non-Qualified Deferred Compensation Plan of the Registrant, as amended and restated effective January 1, 2009 (filed as Exhibit 10.1 to the Bank’s Current Report on Form 8-K dated May 14, 2009 and filed with the SEC on May 20, 2009, which exhibit is incorporated herein by reference). | ||
10.8 | Federal Home Loan Banks P&I Funding and Contingency Plan Agreement entered into on June 23, 2006 and effective as of July 20, 2006, by and among the Office of Finance and each of the Federal Home Loan Banks (filed as Exhibit 10.1 to the Bank’s Current Report on Form 8-K dated June 23, 2006 and filed with the SEC on June 27, 2006, which exhibit is incorporated herein by reference). |
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10.9 | Form of Employment Agreement between the Registrant and each of its executive officers, entered into on November 20, 2007 (filed as Exhibit 99.1 to the Bank’s Current Report on Form 8-K dated November 20, 2007 and filed with the SEC on November 26, 2007, which exhibit is incorporated herein by reference). | ||
10.10 | United States Department of the Treasury Lending Agreement, dated September 9, 2008 (filed as Exhibit 10.1 to the Registrant’s Current Report on Form 8-K dated September 9, 2008 and filed with the SEC on September 9, 2008, which exhibit is incorporated herein by reference). | ||
10.11 | Amended and Restated Indemnification Agreement between the Registrant and Terry Smith, dated October 24, 2008 (incorporated by reference to Exhibit 10.12 to the Bank’s Annual Report on Form 10-K for the fiscal year ended December 31, 2008, filed on March 27, 2009). | ||
10.12 | Form of Indemnification Agreement between the Registrant and each of its officers (other than Terry Smith), entered into on various dates on or after November 7, 2008 (incorporated by reference to Exhibit 10.13 to the Bank’s Annual Report on Form 10-K for the fiscal year ended December 31, 2008, filed on March 27, 2009). | ||
10.13 | Form of Indemnification Agreement between the Registrant and each of its directors, entered into on various dates on or after October 24, 2008 (incorporated by reference to Exhibit 10.14 to the Bank’s Annual Report on Form 10-K for the fiscal year ended December 31, 2008, filed on March 27, 2009). | ||
12.1 | Computation of Ratio of Earnings to Fixed Charges. | ||
14.1 | Code of Ethics for Senior Financial Officers. | ||
31.1 | Certification of principal executive officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. | ||
31.2 | Certification of principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. | ||
32.1 | Certification of principal executive officer and principal financial officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. | ||
99.1 | Charter of the Audit Committee of the Board of Directors. | ||
99.2 | Report of the Audit Committee of the Board of Directors. |
162
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Federal Home Loan Bank of Dallas | ||||
March 25, 2010 | By | /s/ Terry Smith | ||
Date | Terry Smith | |||
President and Chief Executive Officer | ||||
President and Chief Executive Officer
(Principal Executive Officer)
Chief Operating Officer, Executive Vice President —
Finance and Chief Financial Officer
(Principal Financial Officer)
Senior Vice President and Chief Accounting Officer
(Principal Accounting Officer)
Chairman of the Board of Directors
Vice Chairman of the Board of Directors
Director
S-1
Table of Contents
Director
Director
Director
Director
Director
Director
Director
Director
Director
Director
Director
S-2
Table of Contents
Director
Director
Director
S-3
Table of Contents
Page No. | ||||
F-2 | ||||
F-3 | ||||
F-4 | ||||
F-5 | ||||
F-6 | ||||
F-7 | ||||
F-9 |
F-1
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F-2
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Dallas, Texas
March 25, 2010
F-3
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(In thousands, except share data)
December 31, | ||||||||
2009 | 2008 | |||||||
ASSETS | ||||||||
Cash and due from banks (Note 3) | $ | 3,908,242 | $ | 20,765 | ||||
Interest-bearing deposits (Note 1) | 233 | 3,683,609 | ||||||
Federal funds sold (Notes 18 and 19) | 2,063,000 | 1,872,000 | ||||||
Trading securities (Note 4) | 4,034 | 3,370 | ||||||
Available-for-sale securities (Notes 5 and 19) | — | 127,532 | ||||||
Held-to-maturity securities (a) (Note 6) | 11,424,552 | 11,701,504 | ||||||
Advances (Notes 7, 17 and 18) | 47,262,574 | 60,919,883 | ||||||
Mortgage loans held for portfolio, net of allowance for credit losses of $240 and $261 in 2009 and 2008, respectively (Notes 8 and 18) | 259,617 | 327,059 | ||||||
Accrued interest receivable | 60,890 | 145,284 | ||||||
Premises and equipment, net | 24,789 | 20,488 | ||||||
Derivative assets (Note 13) | 64,984 | 77,137 | ||||||
Excess REFCORP contributions (Note 12) | — | 16,881 | ||||||
Other assets | 19,161 | 17,386 | ||||||
TOTAL ASSETS | $ | 65,092,076 | $ | 78,932,898 | ||||
LIABILITIES AND CAPITAL | ||||||||
Deposits (Notes 9 and 18) | ||||||||
Interest-bearing | $ | 1,462,554 | $ | 1,424,991 | ||||
Non-interest bearing | 37 | 75 | ||||||
Total deposits | 1,462,591 | 1,425,066 | ||||||
Consolidated obligations, net (Note 10) | ||||||||
Discount notes | 8,762,028 | 16,745,420 | ||||||
Bonds | 51,515,856 | 56,613,595 | ||||||
Total consolidated obligations, net | 60,277,884 | 73,359,015 | ||||||
Mandatorily redeemable capital stock (Note 14) | 9,165 | 90,353 | ||||||
Accrued interest payable | 179,248 | 514,086 | ||||||
Affordable Housing Program (Note 11) | 43,714 | 43,067 | ||||||
Payable to REFCORP (Note 12) | 9,912 | — | ||||||
Derivative liabilities (Note 13) | 486 | 2,326 | ||||||
Other liabilities | 287,044 | 60,565 | ||||||
Total liabilities | 62,270,044 | 75,494,478 | ||||||
Commitments and contingencies (Notes 11, 12, 13, 15 and 17) | ||||||||
CAPITAL (Notes 14 and 18) | ||||||||
Capital stock — Class B putable ($100 par value) issued and outstanding shares: 25,317,146 and 32,238,300 shares in 2009 and 2008, respectively | 2,531,715 | 3,223,830 | ||||||
Retained earnings | 356,282 | 216,025 | ||||||
Accumulated other comprehensive income (loss) | ||||||||
Net unrealized losses on available-for-sale securities, net of unrealized gains and losses relating to hedged interest rate risk included in net income (Notes 5 and 13) | — | (1,661 | ) | |||||
Non-credit portion of other-than-temporary impairment losses on held-to-maturity securities (Note 6) | (66,584 | ) | — | |||||
Postretirement benefits (Note 15) | 619 | 226 | ||||||
Total accumulated other comprehensive income (loss) | (65,965 | ) | (1,435 | ) | ||||
Total capital | 2,822,032 | 3,438,420 | ||||||
TOTAL LIABILITIES AND CAPITAL | $ | 65,092,076 | $ | 78,932,898 | ||||
(a) | Fair values: $11,381,786 and $11,169,862 at December 31, 2009 and 2008, respectively. |
F-4
Table of Contents
(In thousands)
For the Years Ended December 31, | ||||||||||||
2009 | 2008 | 2007 | ||||||||||
INTEREST INCOME | ||||||||||||
Advances | $ | 650,894 | $ | 1,809,694 | $ | 2,111,476 | ||||||
Prepayment fees on advances, net | 14,192 | 6,802 | 2,268 | |||||||||
Interest-bearing deposits | 289 | 2,595 | 7,096 | |||||||||
Federal funds sold | 5,168 | 96,144 | 277,307 | |||||||||
Trading securities | — | — | 551 | |||||||||
Available-for-sale securities | 469 | 10,350 | 26,618 | |||||||||
Held-to-maturity securities | 149,996 | 349,033 | 437,270 | |||||||||
Mortgage loans held for portfolio | 16,070 | 19,773 | 23,070 | |||||||||
Other | 386 | 345 | 826 | |||||||||
Total interest income | 837,464 | 2,294,736 | 2,886,482 | |||||||||
INTEREST EXPENSE | ||||||||||||
Consolidated obligations | ||||||||||||
Bonds | 552,584 | 1,563,357 | 1,957,871 | |||||||||
Discount notes | 206,897 | 521,373 | 555,816 | |||||||||
Deposits | 1,417 | 58,281 | 144,203 | |||||||||
Mandatorily redeemable capital stock | 84 | 1,199 | 5,328 | |||||||||
Other borrowings | 6 | 168 | 238 | |||||||||
Total interest expense | 760,988 | 2,144,378 | 2,663,456 | |||||||||
NET INTEREST INCOME | 76,476 | 150,358 | 223,026 | |||||||||
OTHER INCOME (LOSS) | ||||||||||||
Total other-than-temporary impairment losses on held-to-maturity securities | (79,942 | ) | — | — | ||||||||
Net non-credit impairment losses recognized in other comprehensive income | 75,920 | — | — | |||||||||
Credit component of other-than-temporary impairment losses on held-to-maturity securities | (4,022 | ) | — | — | ||||||||
Service fees | 3,074 | 3,510 | 3,713 | |||||||||
Net gain (loss) on trading securities | 586 | (627 | ) | (2 | ) | |||||||
Net realized gains (losses) on sales of available-for-sale securities | 843 | (919 | ) | — | ||||||||
Gains on early extinguishment of debt | 553 | 8,794 | 1,255 | |||||||||
Net gains on derivatives and hedging activities | 193,109 | 6,679 | 33 | |||||||||
Other, net | 6,212 | 5,143 | 4,506 | |||||||||
Total other income | 200,355 | 22,580 | 9,505 | |||||||||
OTHER EXPENSE | ||||||||||||
Compensation and benefits | 42,004 | 34,533 | 30,976 | |||||||||
Other operating expenses | 28,921 | 26,617 | 20,909 | |||||||||
Finance Agency/Finance Board | 2,431 | 1,900 | 1,822 | |||||||||
Office of Finance | 1,934 | 1,763 | 1,589 | |||||||||
Total other expense | 75,290 | 64,813 | 55,296 | |||||||||
INCOME BEFORE ASSESSMENTS | 201,541 | 108,125 | 177,235 | |||||||||
Affordable Housing Program | 16,461 | 8,949 | 15,012 | |||||||||
REFCORP | 37,016 | 19,835 | 32,445 | |||||||||
Total assessments | 53,477 | 28,784 | 47,457 | |||||||||
NET INCOME | $ | 148,064 | $ | 79,341 | $ | 129,778 | ||||||
F-5
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FOR THE YEARS ENDED DECEMBER 31, 2009, 2008 AND 2007
(In thousands)
Capital Stock | Accumulated Other | |||||||||||||||||||
Class B - Putable | Retained | Comprehensive | Total | |||||||||||||||||
Shares | Par Value | Earnings | Income (Loss) | Capital | ||||||||||||||||
BALANCE, JANUARY 1, 2007 | 22,481 | $ | 2,248,147 | $ | 190,625 | $ | 748 | $ | 2,439,520 | |||||||||||
Proceeds from sale of capital stock | 10,251 | 1,025,096 | — | — | 1,025,096 | |||||||||||||||
Repurchase/redemption of capital stock | (9,188 | ) | (918,797 | ) | — | — | (918,797 | ) | ||||||||||||
Shares reclassified to mandatorily redeemable capital stock, net | (676 | ) | (67,712 | ) | — | — | (67,712 | ) | ||||||||||||
Comprehensive income | ||||||||||||||||||||
Net income | — | — | 129,778 | — | 129,778 | |||||||||||||||
Other comprehensive income | ||||||||||||||||||||
Net unrealized losses on available-for-sale securities | — | — | — | (1,191 | ) | (1,191 | ) | |||||||||||||
Postretirement benefits | — | — | — | (127 | ) | (127 | ) | |||||||||||||
Total comprehensive income | — | — | — | — | 128,460 | |||||||||||||||
Dividends on capital stock | ||||||||||||||||||||
Cash | — | — | (180 | ) | — | (180 | ) | |||||||||||||
Mandatorily redeemable capital stock | — | — | (1,215 | ) | — | (1,215 | ) | |||||||||||||
Stock | 1,072 | 107,246 | (107,246 | ) | — | — | ||||||||||||||
BALANCE, DECEMBER 31, 2007 | 23,940 | 2,393,980 | 211,762 | (570 | ) | 2,605,172 | ||||||||||||||
Proceeds from sale of capital stock | 20,141 | 2,014,094 | — | — | 2,014,094 | |||||||||||||||
Repurchase/redemption of capital stock | (11,861 | ) | (1,186,081 | ) | — | — | (1,186,081 | ) | ||||||||||||
Shares reclassified to mandatorily redeemable capital stock | (725 | ) | (72,511 | ) | — | — | (72,511 | ) | ||||||||||||
Comprehensive income | ||||||||||||||||||||
Net income | — | — | 79,341 | — | 79,341 | |||||||||||||||
Other comprehensive income | ||||||||||||||||||||
Net unrealized losses on available-for-sale securities | — | — | — | (1,618 | ) | (1,618 | ) | |||||||||||||
Reclassification adjustment for net realized gains and losses on sales of available-for-sale securities included in net income | — | — | — | 919 | 919 | |||||||||||||||
Postretirement benefits | — | — | — | (166 | ) | (166 | ) | |||||||||||||
Total comprehensive income | — | — | — | — | 78,476 | |||||||||||||||
Dividends on capital stock | ||||||||||||||||||||
Cash | — | — | (182 | ) | — | (182 | ) | |||||||||||||
Mandatorily redeemable capital stock | — | — | (548 | ) | — | (548 | ) | |||||||||||||
Stock | 743 | 74,348 | (74,348 | ) | — | — | ||||||||||||||
BALANCE, DECEMBER 31, 2008 | 32,238 | 3,223,830 | 216,025 | (1,435 | ) | 3,438,420 | ||||||||||||||
Proceeds from sale of capital stock | 5,778 | 577,763 | — | — | 577,763 | |||||||||||||||
Repurchase/redemption of capital stock | (11,705 | ) | (1,170,576 | ) | — | — | (1,170,576 | ) | ||||||||||||
Shares reclassified to mandatorily redeemable capital stock | (1,069 | ) | (106,804 | ) | — | — | (106,804 | ) | ||||||||||||
Comprehensive income | ||||||||||||||||||||
Net income | — | — | 148,064 | — | 148,064 | |||||||||||||||
Other comprehensive income | ||||||||||||||||||||
Net unrealized gains on available-for-sale securities | — | — | — | 2,504 | 2,504 | |||||||||||||||
Reclassification adjustment for realized gains on sales of available-for-sale securities included in net income | — | — | — | (843 | ) | (843 | ) | |||||||||||||
Non-credit portion of other-than-temporary impairment losses on held-to-maturity securities | — | — | — | (78,361 | ) | (78,361 | ) | |||||||||||||
Reclassification adjustment for non-credit portion of other-than-temporary impairment losses recognized as credit losses in net income | — | — | — | 2,441 | 2,441 | |||||||||||||||
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities | — | — | — | 9,336 | 9,336 | |||||||||||||||
Postretirement benefits | — | — | — | 393 | 393 | |||||||||||||||
Total comprehensive income | — | — | — | — | 83,534 | |||||||||||||||
Dividends on capital stock | ||||||||||||||||||||
Cash | — | — | (182 | ) | �� | (182 | ) | |||||||||||||
Mandatorily redeemable capital stock | — | — | (123 | ) | — | (123 | ) | |||||||||||||
Stock | 75 | 7,502 | (7,502 | ) | — | — | ||||||||||||||
BALANCE, DECEMBER 31, 2009 | 25,317 | $ | 2,531,715 | $ | 356,282 | $ | (65,965 | ) | $ | 2,822,032 | ||||||||||
F-6
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(In thousands)
For the Years Ended December 31, | ||||||||||||
2009 | 2008 | 2007 | ||||||||||
OPERATING ACTIVITIES | ||||||||||||
Net income | $ | 148,064 | $ | 79,341 | $ | 129,778 | ||||||
Adjustments to reconcile net income to net cash provided by (used in) operating activities | ||||||||||||
Depreciation and amortization | ||||||||||||
Net premiums and discounts on advances, consolidated obligations, investments and mortgage loans | (177,891 | ) | 2,105 | 60,354 | ||||||||
Concessions on consolidated obligation bonds | 8,721 | 14,052 | 14,563 | |||||||||
Premises, equipment and computer software costs | 5,400 | 4,309 | 4,874 | |||||||||
Non-cash interest on mandatorily redeemable capital stock | 158 | 2,048 | 6,629 | |||||||||
Increase in trading securities | (664 | ) | (446 | ) | (618 | ) | ||||||
Losses (gains) due to change in net fair value adjustment on derivative and hedging activities | 10,969 | (136,419 | ) | 69,612 | ||||||||
Gains on early extinguishment of debt | (553 | ) | (8,794 | ) | (1,255 | ) | ||||||
Net realized (gains) losses on sales of available-for-sale securities | (843 | ) | 919 | — | ||||||||
Credit component of other-than-temporary impairment losses on held-to-maturity securities | 4,022 | — | — | |||||||||
Net realized loss on disposition of premises and equipment | 24 | — | — | |||||||||
Decrease (increase) in accrued interest receivable | 84,402 | 43,699 | (1,119 | ) | ||||||||
Decrease (increase) in other assets | (412 | ) | 1,124 | (2,167 | ) | |||||||
Increase (decrease) in Affordable Housing Program (AHP) liability | 647 | (4,373 | ) | 3,982 | ||||||||
Increase (decrease) in accrued interest payable | (334,856 | ) | 172,400 | (102,328 | ) | |||||||
Decrease (increase) in excess REFCORP contributions | 16,881 | (16,881 | ) | — | ||||||||
Increase (decrease) in payable to REFCORP | 9,912 | (8,301 | ) | 316 | ||||||||
Increase (decrease) in other liabilities | (1,468 | ) | 718 | 5,416 | ||||||||
Total adjustments | (375,551 | ) | 66,160 | 58,259 | ||||||||
Net cash provided by (used in) operating activities | (227,487 | ) | 145,501 | 188,037 | ||||||||
INVESTING ACTIVITIES | ||||||||||||
Net decrease (increase) in interest-bearing deposits | 3,780,204 | (3,803,780 | ) | 54,395 | ||||||||
Net decrease (increase) in federal funds sold | (191,000 | ) | 5,228,000 | (1,605,000 | ) | |||||||
Net decrease (increase) in loans to other FHLBanks | — | 400,000 | (400,000 | ) | ||||||||
Net decrease (increase) in short-term held-to-maturity securities | — | 991,508 | (991,508 | ) | ||||||||
Proceeds from sales of available-for-sale securities | 87,019 | 314,187 | — | |||||||||
Proceeds from maturities of available-for-sale securities | 42,506 | 267,986 | 354,077 | |||||||||
Purchases of available-for-sale securities | — | (350,466 | ) | — | ||||||||
Proceeds from maturities of long-term held-to-maturity securities | 3,182,359 | 1,679,318 | 1,241,994 | |||||||||
Purchases of long-term held-to-maturity securities | (2,940,120 | ) | (6,054,558 | ) | (1,363,425 | ) | ||||||
Proceeds from maturities of trading securities held for investment purposes | — | — | 5,263 | |||||||||
Proceeds from sales of trading securities held for investment purposes | — | — | 16,930 | |||||||||
Principal collected on advances | 440,103,678 | 897,402,934 | 510,504,697 | |||||||||
Advances made | (426,766,387 | ) | (911,508,439 | ) | (515,458,471 | ) | ||||||
Principal collected on mortgage loans held for portfolio | 66,837 | 54,016 | 67,509 | |||||||||
Purchases of premises, equipment and computer software | (9,991 | ) | (2,284 | ) | (2,444 | ) | ||||||
Net cash provided by (used in) investing activities | 17,355,105 | (15,381,578 | ) | (7,575,983 | ) | |||||||
F-7
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STATEMENTS OF CASH FLOWS (continued)
(In thousands)
For the Years Ended December 31, | ||||||||||||
2009 | 2008 | 2007 | ||||||||||
FINANCING ACTIVITIES | ||||||||||||
Net increase (decrease) in deposits and pass-through reserves | 135,722 | (1,435,188 | ) | 771,154 | ||||||||
Net proceeds from derivative contracts with financing elements | 55,464 | 10,295 | — | |||||||||
Net proceeds from issuance of consolidated obligations | ||||||||||||
Discount notes | 260,438,392 | 592,181,060 | 885,769,011 | |||||||||
Bonds | 43,596,571 | 52,865,676 | 22,151,525 | |||||||||
Debt issuance costs | (9,842 | ) | (6,762 | ) | (8,843 | ) | ||||||
Proceeds from assumption of debt from other FHLBanks | — | 139,354 | 325,837 | |||||||||
Payments for maturing and retiring consolidated obligations | ||||||||||||
Discount notes | (268,297,978 | ) | (599,583,888 | ) | (869,942,411 | ) | ||||||
Bonds | (48,377,201 | ) | (29,261,827 | ) | (31,191,731 | ) | ||||||
Payments to other FHLBanks for assumption of debt | — | (487,154 | ) | (461,753 | ) | |||||||
Proceeds from issuance of capital stock | 577,763 | 2,014,094 | 1,025,096 | |||||||||
Proceeds from issuance of mandatorily redeemable capital stock | 73 | — | — | |||||||||
Payments for redemption of mandatorily redeemable capital stock | (188,347 | ) | (67,254 | ) | (152,623 | ) | ||||||
Payments for repurchase/redemption of capital stock | (1,170,576 | ) | (1,186,081 | ) | (918,797 | ) | ||||||
Cash dividends paid | (182 | ) | (182 | ) | (180 | ) | ||||||
Net cash provided by (used in) financing activities | (13,240,141 | ) | 15,182,143 | 7,366,285 | ||||||||
Net increase (decrease) in cash and cash equivalents | 3,887,477 | (53,934 | ) | (21,661 | ) | |||||||
Cash and cash equivalents at beginning of the year | 20,765 | 74,699 | 96,360 | |||||||||
Cash and cash equivalents at end of the year | $ | 3,908,242 | $ | 20,765 | $ | 74,699 | ||||||
Supplemental disclosures | ||||||||||||
Interest paid | $ | 1,125,332 | $ | 2,023,458 | $ | 2,627,214 | ||||||
AHP payments, net | $ | 15,814 | $ | 13,322 | $ | 11,030 | ||||||
REFCORP payments | $ | 10,223 | $ | 45,017 | $ | 32,129 | ||||||
Stock dividends issued | $ | 7,502 | $ | 74,348 | $ | 107,246 | ||||||
Dividends paid through issuance of mandatorily redeemable capital stock | $ | 123 | $ | 548 | $ | 1,215 | ||||||
Capital stock reclassified to mandatorily redeemable capital stock, net | $ | 106,804 | $ | 72,511 | $ | 67,712 | ||||||
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• | A valuation technique that uses: |
• | The quoted price of an identical liability when traded as an asset. | ||
• | The quoted price of a similar liability or of a similar liability when traded as an asset. |
• | Another valuation technique that is consistent with GAAP, including one of the following: |
• | An income approach, such as a present value technique. | ||
• | A market approach, such as a technique based on the amount at the measurement date that an entity would pay to transfer an identical liability or would receive to enter into an identical liability. |
F-17
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F-18
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Gross | Gross | Estimated | ||||||||||||||
Amortized | Unrealized | Unrealized | Fair | |||||||||||||
Cost | Gains | Losses | Value | |||||||||||||
Mortgage-backed securities | ||||||||||||||||
Government-sponsored enterprises | $ | 99,770 | $ | — | $ | 886 | $ | 98,884 | ||||||||
Non-agency commercial mortgage-backed security | 29,423 | — | 775 | 28,648 | ||||||||||||
Total | $ | 129,193 | $ | — | $ | 1,661 | $ | 127,532 | ||||||||
OTTI Recorded in | Gross | Gross | ||||||||||||||||||||||
Accumulated Other | Unrecognized | Unrecognized | Estimated | |||||||||||||||||||||
Amortized | Comprehensive | Carrying | Holding | Holding | Fair | |||||||||||||||||||
Cost | Income (Loss) | Value | Gains | Losses | Value | |||||||||||||||||||
Debentures | ||||||||||||||||||||||||
U.S. government guaranteed obligations | $ | 58,812 | $ | — | $ | 58,812 | $ | 425 | $ | 174 | $ | 59,063 | ||||||||||||
State housing agency obligation | 2,945 | — | 2,945 | — | 230 | 2,715 | ||||||||||||||||||
61,757 | — | 61,757 | 425 | 404 | 61,778 | |||||||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||||||
U.S. government guaranteed obligations | 24,075 | — | 24,075 | 8 | 73 | 24,010 | ||||||||||||||||||
Government-sponsored enterprises | 10,837,865 | — | 10,837,865 | 78,135 | 53,295 | 10,862,705 | ||||||||||||||||||
Non-agency residential mortgage-backed securities | 511,382 | 66,584 | 444,798 | — | 68,682 | 376,116 | ||||||||||||||||||
Non-agency commercial mortgage-backed securities | 56,057 | — | 56,057 | 1,120 | — | 57,177 | ||||||||||||||||||
11,429,379 | 66,584 | 11,362,795 | 79,263 | 122,050 | 11,320,008 | |||||||||||||||||||
Total | $ | 11,491,136 | $ | 66,584 | $ | 11,424,552 | $ | 79,688 | $ | 122,454 | $ | 11,381,786 | ||||||||||||
F-19
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Gross | Gross | |||||||||||||||
Amortized Cost/ | Unrecognized | Unrecognized | Estimated | |||||||||||||
Carrying Value | Holding Gains | Holding Losses | Fair Value | |||||||||||||
Debentures | ||||||||||||||||
U.S. government guaranteed obligations | $ | 65,888 | $ | 581 | $ | 935 | $ | 65,534 | ||||||||
State housing agency obligation | 3,785 | — | 357 | 3,428 | ||||||||||||
69,673 | 581 | 1,292 | 68,962 | |||||||||||||
Mortgage-backed securities | ||||||||||||||||
U.S. government guaranteed obligations | 28,632 | — | 804 | 27,828 | ||||||||||||
Government-sponsored enterprises | 10,629,290 | 26,025 | 268,756 | 10,386,559 | ||||||||||||
Non-agency residential mortgage-backed securities | 676,804 | — | 277,040 | 399,764 | ||||||||||||
Non-agency commercial mortgage-backed securities | 297,105 | — | 10,356 | 286,749 | ||||||||||||
11,631,831 | 26,025 | 556,956 | 11,100,900 | |||||||||||||
Total | $ | 11,701,504 | $ | 26,606 | $ | 558,248 | $ | 11,169,862 | ||||||||
Less than 12 Months | 12 Months or More | Total | ||||||||||||||||||||||||||||||||||
Estimated | Gross | Estimated | Gross | Estimated | Gross | |||||||||||||||||||||||||||||||
Number of | Fair | Unrealized | Number of | Fair | Unrealized | Number of | Fair | Unrealized | ||||||||||||||||||||||||||||
Positions | Value | Losses | Positions | Value | Losses | Positions | Value | Losses | ||||||||||||||||||||||||||||
Debentures | ||||||||||||||||||||||||||||||||||||
U.S. government guaranteed obligations | — | $ | — | $ | — | 2 | $ | 23,079 | $ | 174 | 2 | $ | 23,079 | $ | 174 | |||||||||||||||||||||
State housing agency obligation | — | — | — | 1 | 2,715 | 230 | 1 | 2,715 | 230 | |||||||||||||||||||||||||||
— | — | — | 3 | 25,794 | 404 | 3 | 25,794 | 404 | ||||||||||||||||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||||||||||||||||||
U.S. government guaranteed obligations | 7 | 15,854 | 63 | 2 | 3,956 | 10 | 9 | 19,810 | 73 | |||||||||||||||||||||||||||
Government-sponsored enterprises | 57 | 2,673,949 | 15,359 | 157 | 4,176,445 | 37,936 | 214 | 6,850,394 | 53,295 | |||||||||||||||||||||||||||
Non-agency residential mortgage-backed securities | — | — | — | 40 | 376,116 | 135,266 | 40 | 376,116 | 135,266 | |||||||||||||||||||||||||||
64 | 2,689,803 | 15,422 | 199 | 4,556,517 | 173,212 | 263 | 7,246,320 | 188,634 | ||||||||||||||||||||||||||||
Total | 64 | $ | 2,689,803 | $ | 15,422 | 202 | $ | 4,582,311 | $ | 173,616 | 266 | $ | 7,272,114 | $ | 189,038 | |||||||||||||||||||||
�� | ||||||||||||||||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | ||||||||||||||||||||||||||||||||||
Estimated | Gross | Estimated | Gross | Estimated | Gross | |||||||||||||||||||||||||||||||
Number of | Fair | Unrealized | Number of | Fair | Unrealized | Number of | Fair | Unrealized | ||||||||||||||||||||||||||||
Positions | Value | Losses | Positions | Value | Losses | Positions | Value | Losses | ||||||||||||||||||||||||||||
Debentures | ||||||||||||||||||||||||||||||||||||
U.S. government guaranteed obligations | 4 | $ | 35,620 | $ | 935 | — | $ | — | $ | — | 4 | $ | 35,620 | $ | 935 | |||||||||||||||||||||
State housing agency obligation | 1 | 3,428 | 357 | — | — | — | 1 | 3,428 | 357 | |||||||||||||||||||||||||||
5 | 39,048 | 1,292 | — | — | — | 5 | 39,048 | 1,292 | ||||||||||||||||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||||||||||||||||||
U.S. government guaranteed obligations | 9 | 26,746 | 764 | 2 | 1,082 | 40 | 11 | 27,828 | 804 | |||||||||||||||||||||||||||
Government-sponsored enterprises | 130 | 5,116,293 | 108,241 | 115 | 3,695,248 | 160,515 | 245 | 8,811,541 | 268,756 | |||||||||||||||||||||||||||
Non-agency residential mortgage-backed securities | — | — | — | 42 | 399,764 | 277,040 | 42 | 399,764 | 277,040 | |||||||||||||||||||||||||||
Non-agency commercial mortgage-backed securities | 10 | 286,749 | 10,356 | — | — | — | 10 | 286,749 | 10,356 | |||||||||||||||||||||||||||
149 | 5,429,788 | 119,361 | 159 | 4,096,094 | 437,595 | 308 | 9,525,882 | 556,956 | ||||||||||||||||||||||||||||
Totals | 154 | $ | 5,468,836 | $ | 120,653 | 159 | $ | 4,096,094 | $ | 437,595 | 313 | $ | 9,564,930 | $ | 558,248 | |||||||||||||||||||||
F-20
Table of Contents
Credit Rating | Number of Securities | Amortized Cost | Carrying Value | Estimated Fair Value | Unrealized Losses | |||||||||||||||
Triple-A | 20 | $ | 205,906 | $ | 205,906 | $ | 184,462 | $ | 21,444 | |||||||||||
Double-A | 5 | 51,717 | 51,717 | 35,511 | 16,206 | |||||||||||||||
Single-A | 2 | 38,623 | 38,623 | 25,932 | 12,691 | |||||||||||||||
Triple-B | 5 | 72,033 | 61,374 | 40,583 | 31,450 | |||||||||||||||
Double-B | 4 | 40,376 | 29,529 | 23,300 | 17,076 | |||||||||||||||
Single-B | 3 | 58,804 | 29,035 | 33,042 | 25,762 | |||||||||||||||
Triple-C | 1 | 43,923 | 28,614 | 33,286 | 10,637 | |||||||||||||||
Total | 40 | $ | 511,382 | $ | 444,798 | $ | 376,116 | $ | 135,266 | |||||||||||
F-21
Table of Contents
Period of | Credit | Non-Credit | ||||||||||||||
Initial | Credit | Total | Component | Component | ||||||||||||
Impairment | Rating | OTTI | of OTTI | of OTTI | ||||||||||||
Security #1 | Q1 2009 | Single-B | $ | 13,139 | $ | 1,369 | $ | 11,770 | ||||||||
Security #2 | Q1 2009 | Double-B | 13,076 | 16 | 13,060 | |||||||||||
Security #3 | Q2 2009 | Triple-C | 19,358 | 1,978 | 17,380 | |||||||||||
Security #4 | Q2 2009 | Triple-B | 8,585 | 77 | 8,508 | |||||||||||
Security #5 | Q3 2009 | Single-B | 11,738 | 284 | 11,454 | |||||||||||
Security #6 | Q3 2009 | Single-B | 10,502 | 277 | 10,225 | |||||||||||
Security #7 | Q3 2009 | Triple-B | 3,544 | 21 | 3,523 | |||||||||||
Totals | $ | 79,942 | $ | 4,022 | $ | 75,920 | ||||||||||
Accretion of | ||||||||||||||||||||
Amortized Cost | Non-Credit | Non-Credit | Estimated | |||||||||||||||||
After Credit | Component | Component | Carrying | Fair | ||||||||||||||||
Component of OTTI | of OTTI | of OTTI | Value | Value | ||||||||||||||||
Security #1 | $ | 16,391 | $ | 11,770 | $ | 2,163 | $ | 6,784 | $ | 9,434 | ||||||||||
Security #2 | 19,984 | 13,060 | 2,214 | 9,138 | 11,336 | |||||||||||||||
Security #3 | 43,923 | 17,380 | 2,069 | 28,612 | 33,286 | |||||||||||||||
Security #4 | 13,769 | 8,508 | 1,151 | 6,412 | 7,406 | |||||||||||||||
Security #5 | 22,773 | 11,454 | 807 | 12,126 | 13,353 | |||||||||||||||
Security #6 | 19,640 | 10,225 | 711 | 10,126 | 10,254 | |||||||||||||||
Security #7 | 7,508 | 3,523 | 221 | 4,206 | 4,169 | |||||||||||||||
Totals | $ | 143,988 | $ | 75,920 | $ | 9,336 | $ | 77,404 | $ | 89,238 | ||||||||||
F-22
Table of Contents
Quarterly | Significant Inputs | Current Credit | ||||||||||||||||||||||||
Unpaid Principal | Period of | Projected | Projected | Projected | Enhancement | |||||||||||||||||||||
Year of | Collateral | Balance as of | Most Recent | Prepayment | Default | Loss | as of | |||||||||||||||||||
Securitization | Type | December 31, 2009 | Impairment | Rate | Rate | Severity | December 31, 2009 | |||||||||||||||||||
Security #1 | 2005 | Alt-A/Option ARM | $ | 17,764 | Q3 2009 | 6.4 | % | 77.1 | % | 48.2 | % | 37.5 | % | |||||||||||||
Security #2 | 2005 | Alt-A/Option ARM | 20,000 | Q3 2009 | 8.4 | % | 61.0 | % | 51.3 | % | 51.0 | % | ||||||||||||||
Security #3 | 2006 | Alt-A/Fixed Rate | 45,905 | Q4 2009 | 13.0 | % | 31.3 | % | 41.2 | % | 8.6 | % | ||||||||||||||
Security #4 | 2005 | Alt-A/Option ARM | 13,846 | Q4 2009 | 6.5 | % | 73.0 | % | 42.9 | % | 49.5 | % | ||||||||||||||
Security #5 | 2005 | Alt-A/Option ARM | 23,058 | Q4 2009 | 7.5 | % | 75.9 | % | 49.2 | % | 49.1 | % | ||||||||||||||
Security #6 | 2005 | Alt-A/Option ARM | 19,919 | Q4 2009 | 8.2 | % | 65.1 | % | 38.1 | % | 30.1 | % | ||||||||||||||
Security #7 | 2004 | Alt-A/Option ARM | 7,520 | Q3 2009 | 10.0 | % | 55.0 | % | 42.0 | % | 34.1 | % | ||||||||||||||
Total | $ | 148,012 | ||||||||||||||||||||||||
Year Ended | ||||
December 31, 2009 | ||||
Balance of credit losses, beginning of year | $ | — | ||
Credit losses for which an other-than-temporary impairment was not previously recognized | 4,022 | |||
Balance of credit losses, end of year | $ | 4,022 | ||
2009 | 2008 | |||||||||||||||||||||||
Estimated | Estimated | |||||||||||||||||||||||
Amortized | Carrying | Fair | Amortized | Carrying | Fair | |||||||||||||||||||
Maturity | Cost | Value | Value | Cost | Value | Value | ||||||||||||||||||
Debentures | ||||||||||||||||||||||||
Due in one year or less | $ | 249 | $ | 249 | $ | 250 | $ | — | $ | — | $ | — | ||||||||||||
Due after one year through five years | 3,607 | 3,607 | 3,689 | 5,386 | 5,386 | 5,565 | ||||||||||||||||||
Due after five years through ten years | 31,703 | 31,703 | 32,046 | 35,527 | 35,527 | 35,768 | ||||||||||||||||||
Due after ten years | 26,198 | 26,198 | 25,793 | 28,760 | 28,760 | 27,629 | ||||||||||||||||||
61,757 | 61,757 | 61,778 | 69,673 | 69,673 | 68,962 | |||||||||||||||||||
Mortgage-backed securities | 11,429,379 | 11,362,795 | 11,320,008 | 11,631,831 | 11,631,831 | 11,100,900 | ||||||||||||||||||
Total | $ | 11,491,136 | $ | 11,424,552 | $ | 11,381,786 | $ | 11,701,504 | $ | 11,701,504 | $ | 11,169,862 | ||||||||||||
F-23
Table of Contents
2009 | 2008 | |||||||
Amortized cost of variable-rate held-to-maturity securities other than mortgage-backed securities | $ | 61,757 | $ | 69,673 | ||||
Amortized cost of held-to-maturity mortgage-backed securities | ||||||||
Fixed-rate pass-through securities | 937 | 1,253 | ||||||
Collateralized mortgage obligations | ||||||||
Fixed-rate | 58,033 | 299,528 | ||||||
Variable-rate | 11,370,409 | 11,331,050 | ||||||
11,429,379 | 11,631,831 | |||||||
Total | $ | 11,491,136 | $ | 11,701,504 | ||||
2009 | 2008 | |||||||||||||||
Weighted | Weighted | |||||||||||||||
Average | Average | |||||||||||||||
Year of Contractual Maturity | Amount | Interest Rate | Amount | Interest Rate | ||||||||||||
Overdrawn demand deposit accounts | $ | 181 | 4.05 | % | $ | 99 | 4.08 | % | ||||||||
2009 | — | — | 20,465,819 | 1.69 | ||||||||||||
2010 | 14,909,262 | 0.98 | 8,346,234 | 2.41 | ||||||||||||
2011 | 7,059,173 | 1.27 | 6,912,931 | 2.83 | ||||||||||||
2012 | 8,163,416 | 0.80 | 7,916,643 | 2.40 | ||||||||||||
2013 | 8,637,127 | 0.86 | 8,489,391 | 2.52 | ||||||||||||
2014 | 1,262,879 | 0.99 | 1,127,544 | 2.23 | ||||||||||||
Thereafter | 3,593,166 | 3.84 | 3,332,021 | 3.87 | ||||||||||||
Amortizing advances* | 3,282,368 | 4.53 | 3,654,181 | 4.62 | ||||||||||||
Total par value | 46,907,572 | 1.44 | % | 60,244,863 | 2.44 | % | ||||||||||
Deferred prepayment fees | (1,935 | ) | (937 | ) | ||||||||||||
Commitment fees | (110 | ) | (28 | ) | ||||||||||||
Hedging adjustments | 357,047 | 675,985 | ||||||||||||||
Total | $ | 47,262,574 | $ | 60,919,883 | ||||||||||||
* | Amortizing advances require repayment according to predetermined amortization schedules. |
F-24
Table of Contents
Year of Contractual Maturity or Next Call Date | 2009 | 2008 | ||||||
Overdrawn demand deposit accounts | $ | 181 | $ | 99 | ||||
2009 | — | 20,528,616 | ||||||
2010 | 14,975,701 | 8,382,703 | ||||||
2011 | 7,082,672 | 6,943,915 | ||||||
2012 | 8,187,107 | 7,943,468 | ||||||
2013 | 8,664,137 | 8,486,971 | ||||||
2014 | 1,277,606 | 1,122,707 | ||||||
Thereafter | 3,437,800 | 3,182,203 | ||||||
Amortizing advances | 3,282,368 | 3,654,181 | ||||||
Total par value | $ | 46,907,572 | $ | 60,244,863 | ||||
Year of Contractual Maturity or Next Put Date | 2009 | 2008 | ||||||
Overdrawn demand deposit accounts | $ | 181 | $ | 99 | ||||
2009 | — | 23,095,889 | ||||||
2010 | 17,653,132 | 8,457,034 | ||||||
2011 | 7,288,623 | 7,119,881 | ||||||
2012 | 8,149,166 | 7,887,393 | ||||||
2013 | 8,166,527 | 8,033,791 | ||||||
2014 | 1,252,479 | 1,097,144 | ||||||
Thereafter | 1,115,096 | 899,451 | ||||||
Amortizing advances | 3,282,368 | 3,654,181 | ||||||
Total par value | $ | 46,907,572 | $ | 60,244,863 | ||||
F-25
Table of Contents
F-26
Table of Contents
2009 | 2008 | |||||||
Fixed-rate | $ | 22,316,659 | $ | 29,449,463 | ||||
Variable-rate | 24,590,913 | 30,795,400 | ||||||
Total par value | $ | 46,907,572 | $ | 60,244,863 | ||||
2009 | 2008 | |||||||
Fixed-rate medium-term* single-family mortgages | $ | 63,737 | $ | 80,988 | ||||
Fixed-rate long-term single-family mortgages | 194,273 | 243,856 | ||||||
Premiums | 2,227 | 2,983 | ||||||
Discounts | (380 | ) | (507 | ) | ||||
Total mortgage loans held for portfolio | $ | 259,857 | $ | 327,320 | ||||
* | Medium-term is defined as an original term of 15 years or less. |
F-27
Table of Contents
2009 | 2008 | 2007 | ||||||||||
Balance, beginning of year | $ | 261 | $ | 263 | $ | 267 | ||||||
Chargeoffs | (21 | ) | (2 | ) | (4 | ) | ||||||
Balance, end of year | $ | 240 | $ | 261 | $ | 263 | ||||||
2009 | 2008 | |||||||
Interest-bearing | ||||||||
Demand and overnight | $ | 1,306,066 | $ | 1,238,722 | ||||
Term | 156,488 | 186,269 | ||||||
Non-interest bearing (other) | 37 | 75 | ||||||
Total deposits | $ | 1,462,591 | $ | 1,425,066 | ||||
F-28
Table of Contents
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; |
Capped floating rate bonds pay interest at variable rates subject to an interest rate ceiling; |
Step-up bonds pay interest at increasing fixed rates for specified intervals over the life of the bond. These bonds generally contain provisions that enable the Bank to call the bonds at its option on predetermined call dates; |
Step-down bonds pay interest at decreasing fixed rates for specified intervals over the life of the bond. These bonds generally contain provisions that enable the Bank to call the bonds at its option on predetermined call dates; |
Step-up/step-down bonds pay interest at increasing fixed rates and then at decreasing fixed rates for specified intervals over the life of the bond. These bonds generally contain provisions that enable the Bank to call the bonds at its option on predetermined call dates; and |
Conversion bonds have coupons that convert from fixed to floating, or floating to fixed, on predetermined dates. |
2009 | 2008 | |||||||
Fixed-rate | $ | 26,648,455 | $ | 42,821,181 | ||||
Simple variable-rate | 20,560,000 | 13,093,000 | ||||||
Step-up | 3,473,000 | 77,635 | ||||||
Variable that converts to fixed | 365,000 | — | ||||||
Step-down | 125,000 | 15,000 | ||||||
Total par value | $ | 51,171,455 | $ | 56,006,816 | ||||
F-29
Table of Contents
2009 | 2008 | |||||||||||||||
Weighted | Weighted | |||||||||||||||
Average | Average | |||||||||||||||
Interest | Interest | |||||||||||||||
Year of Contractual Maturity | Amount | Rate | Amount | Rate | ||||||||||||
2009 | $ | — | — | % | $ | 37,685,991 | 2.88 | % | ||||||||
2010 | 30,951,315 | 1.18 | 9,783,835 | 3.56 | ||||||||||||
2011 | 9,163,685 | 1.52 | 2,238,685 | 4.18 | ||||||||||||
2012 | 5,569,440 | 2.40 | 1,688,940 | 4.71 | ||||||||||||
2013 | 1,085,000 | 3.39 | 944,015 | 4.39 | ||||||||||||
2014 | 1,191,440 | 3.39 | 287,440 | 7.41 | ||||||||||||
Thereafter | 3,210,575 | 4.04 | 3,377,910 | 5.36 | ||||||||||||
Total par value | 51,171,455 | 1.65 | 56,006,816 | 3.31 | ||||||||||||
Premiums | 85,618 | 55,546 | ||||||||||||||
Discounts | (15,451 | ) | (19,352 | ) | ||||||||||||
Hedging adjustments | 274,234 | 570,585 | ||||||||||||||
Total | $ | 51,515,856 | $ | 56,613,595 | ||||||||||||
2009 | 2008 | |||||||
Non-callable bonds | $ | 44,056,715 | $ | 44,704,926 | ||||
Callable bonds | 7,114,740 | 11,301,890 | ||||||
Total par value | $ | 51,171,455 | $ | 56,006,816 | ||||
Year of Contractual Maturity or Next Call Date | 2009 | 2008 | ||||||
2009 | $ | — | $ | 43,907,096 | ||||
2010 | 35,970,315 | 7,201,835 | ||||||
2011 | 8,743,005 | 1,766,005 | ||||||
2012 | 4,358,440 | 1,267,440 | ||||||
2013 | 890,000 | 645,000 | ||||||
2014 | 216,440 | 217,440 | ||||||
Thereafter | 993,255 | 1,002,000 | ||||||
Total par value | $ | 51,171,455 | $ | 56,006,816 | ||||
Weighted | ||||||||||||
Average Implied | ||||||||||||
Book Value | Par Value | Interest Rate | ||||||||||
December 31, 2009 | $ | 8,762,028 | $ | 8,764,942 | 0.27 | % | ||||||
December 31, 2008 | $ | 16,745,420 | $ | 16,923,982 | 2.65 | % | ||||||
F-30
Table of Contents
2009 | 2008 | 2007 | ||||||||||
Balance, beginning of year | $ | 43,067 | $ | 47,440 | $ | 43,458 | ||||||
AHP assessment | 16,461 | 8,949 | 15,012 | |||||||||
Grants funded, net of recaptured amounts | (15,814 | ) | (13,322 | ) | (11,030 | ) | ||||||
Balance, end of year | $ | 43,714 | $ | 43,067 | $ | 47,440 | ||||||
F-31
Table of Contents
F-32
Table of Contents
F-33
Table of Contents
December 31, 2009 | December 31, 2008 | |||||||||||||||||||||||
Notional | Estimated Fair Value | Notional | Estimated Fair Value | |||||||||||||||||||||
Amount of | Derivative | Derivative | Amount of | Derivative | Derivative | |||||||||||||||||||
Derivatives | Assets | Liabilities | Derivatives | Assets | Liabilities | |||||||||||||||||||
Derivatives designated as hedging instruments under ASC 815 | ||||||||||||||||||||||||
Interest rate swaps | ||||||||||||||||||||||||
Advances | $ | 10,877,414 | $ | 35,442 | $ | 481,486 | $ | 10,987,290 | $ | 3,230 | $ | 674,604 | ||||||||||||
Available-for-sale securities | — | — | — | 39,429 | — | 712 | ||||||||||||||||||
Consolidated obligation bonds | 27,613,970 | 487,664 | 17,743 | 37,890,131 | 766,152 | 4,707 | ||||||||||||||||||
Interest rate caps related to advances | 76,000 | 69 | — | 136,000 | 107 | — | ||||||||||||||||||
Total derivatives designated as hedging instruments under ASC 815 | 38,567,384 | 523,175 | 499,229 | 49,052,850 | 769,489 | 680,023 | ||||||||||||||||||
Derivatives not designated as hedging instruments under ASC 815 | ||||||||||||||||||||||||
Interest rate swaps | ||||||||||||||||||||||||
Advances | 5,000 | — | 103 | 5,000 | — | 40 | ||||||||||||||||||
Consolidated obligation bonds | 8,195,000 | 16,611 | 129 | 110,000 | 14 | — | ||||||||||||||||||
Consolidated obligation discount notes | 6,413,343 | 12,766 | — | 5,270,426 | 31,117 | — | ||||||||||||||||||
Basis swaps | 9,700,000 | 22,868 | 1,290 | 12,200,000 | 45,659 | — | ||||||||||||||||||
Intermediary transactions | 24,200 | 474 | 428 | 7,000 | 17 | 1 | ||||||||||||||||||
Interest rate caps related to advances | 10,000 | 6 | — | — | — | — | ||||||||||||||||||
Interest rate caps related to held-to-maturity securities | 3,750,000 | 51,147 | — | 3,500,000 | 3,275 | — | ||||||||||||||||||
Total derivatives not designated as hedging instruments under ASC 815 | 28,097,543 | 103,872 | 1,950 | 21,092,426 | 80,082 | 41 | ||||||||||||||||||
Total derivatives before netting and collateral adjustments | $ | 66,664,927 | 627,047 | 501,179 | $ | 70,145,276 | 849,571 | 680,064 | ||||||||||||||||
Cash collateral and related accrued interest | (204,748 | ) | (143,378 | ) | (334,911 | ) | (240,215 | ) | ||||||||||||||||
Netting adjustments | (357,315 | ) | (357,315 | ) | (437,523 | ) | (437,523 | ) | ||||||||||||||||
Total collateral and netting adjustments(1) | (562,063 | ) | (500,693 | ) | (772,434 | ) | (677,738 | ) | ||||||||||||||||
Net derivative balances reported in statements of condition | $ | 64,984 | $ | 486 | $ | 77,137 | $ | 2,326 | ||||||||||||||||
(1) | Amounts represent the effect of legally enforceable master netting agreements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions as well as the cash collateral held or placed with those same counterparties. |
F-34
Table of Contents
Gain (Loss) Recognized in Earnings | ||||||||||||
for the Year Ended December 31, | ||||||||||||
2009 | 2008 | 2007 | ||||||||||
Derivatives and hedged items in ASC 815 fair value hedging hedging relationships | ||||||||||||
Interest rate swaps | $ | 59,329 | $ | (46,791 | ) | $ | 4,966 | |||||
Interest rate caps | (30 | ) | (1,437 | ) | (3,397 | ) | ||||||
Total net gain related to fair value hedge ineffectiveness | 59,299 | (48,228 | ) | 1,569 | ||||||||
Derivatives not designated as hedging instruments under ASC 815 | ||||||||||||
Net interest income on interest rate swaps | 107,564 | 4,956 | (443 | ) | ||||||||
Interest rate swaps | ||||||||||||
Advances | (36 | ) | 321 | (1 | ) | |||||||
Available-for-sale securities | — | 1,037 | (116 | ) | ||||||||
Consolidated obligation bonds | 10,337 | (926 | ) | 533 | ||||||||
Consolidated obligation discount notes | (7,395 | ) | 9,216 | — | ||||||||
Basis swaps | 8,994 | 42,530 | — | |||||||||
Intermediary transactions | 30 | 16 | — | |||||||||
Interest rate caps | ||||||||||||
Held-to-maturity securities | 14,316 | (2,243 | ) | (1,509 | ) | |||||||
Total net gain related to derivatives not designated as hedging instruments under ASC 815 | 133,810 | 54,907 | (1,536 | ) | ||||||||
Net gains on derivatives and hedging activities reported in the statements of income | $ | 193,109 | $ | 6,679 | $ | 33 | ||||||
Derivative | ||||||||||||||||
Gain (Loss) | Gain (Loss) | Net Fair Value | Net Interest | |||||||||||||
on | on Hedged | Hedge | Income | |||||||||||||
Hedged Item | Derivatives | Items | Ineffectiveness(1) | (Expense)(2) | ||||||||||||
Advances | $ | 308,440 | $ | (311,501 | ) | $ | (3,061 | ) | $ | (298,220 | ) | |||||
Available-for-sale securities | 503 | (605 | ) | (102 | ) | (325 | ) | |||||||||
Consolidated obligation bonds | (226,990 | ) | 289,452 | 62,462 | 460,139 | |||||||||||
Total | $ | 81,953 | $ | (22,654 | ) | $ | 59,299 | $ | 161,594 | |||||||
(1) | Reported as net gains (losses) on derivatives and hedging activities in the statement of income. | |
(2) | The net interest income (expense) associated with derivatives in fair value hedging relationships is reported in the statement of income in the interest income/expense line item for the indicated hedged item. |
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2009 | 2008 | |||||||
Excess stock | ||||||||
Capital stock | $ | 287,208 | $ | 490,007 | ||||
Mandatorily redeemable capital stock | 4,990 | 60,190 | ||||||
Total | $ | 292,198 | $ | 550,197 | ||||
Surplus stock | ||||||||
Capital stock | $ | 135,504 | $ | 218,635 | ||||
Mandatorily redeemable capital stock | 4,618 | 58,901 | ||||||
Total | $ | 140,122 | $ | 277,536 | ||||
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December 31, 2009 | December 31, 2008 | |||||||||||||||
Required | Actual | Required | Actual | |||||||||||||
Regulatory capital requirements: | ||||||||||||||||
Risk-based capital | $ | 507,287 | $ | 2,897,162 | $ | 930,061 | $ | 3,530,208 | ||||||||
Total capital | $ | 2,603,683 | $ | 2,897,162 | $ | 3,157,316 | $ | 3,530,208 | ||||||||
Total capital-to-assets ratio | 4.00 | % | 4.45 | % | 4.00 | % | 4.47 | % | ||||||||
Leverage capital | $ | 3,254,604 | $ | 4,345,743 | $ | 3,946,645 | $ | 5,295,312 | ||||||||
Leverage capital-to-assets ratio | 5.00 | % | 6.68 | % | 5.00 | % | 6.71 | % |
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2010 | $ | 1,358 | ||
2011 | 162 | |||
2012 | 2,990 | |||
2013 | 1,053 | |||
2014 | 3,602 | |||
Total | $ | 9,165 | ||
The following table summarizes the Bank’s mandatorily redeemable capital stock activity during 2009, 2008 and 2007 (in thousands). |
Balance, January 1, 2007 | $ | 159,567 | ||
Capital stock that became subject to mandatory redemption during the year | 67,890 | |||
Mandatorily redeemable capital stock reclassified to equity during the year | (178 | ) | ||
Redemption of mandatorily redeemable capital stock | (152,623 | ) | ||
Stock dividends classified as mandatorily redeemable | 7,845 | |||
Balance, December 31, 2007 | 82,501 | |||
Capital stock that became subject to mandatory redemption during the year | 72,511 | |||
Redemption of mandatorily redeemable capital stock | (67,254 | ) | ||
Stock dividends classified as mandatorily redeemable | 2,595 | |||
Balance, December 31, 2008 | 90,353 | |||
Capital stock that became subject to mandatory redemption during the year | 106,804 | |||
Redemption of mandatorily redeemable capital stock | (188,347 | ) | ||
Mandatorily redeemable stock issued during the year | 73 | |||
Stock dividends classified as mandatorily redeemable | 282 | |||
Balance, December 31, 2009 | $ | 9,165 | ||
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2009 | 2008 | 2007 | ||||||||||
Number of institutions, beginning of year | 18 | 16 | 14 | |||||||||
Due to mergers and acquisitions | 1 | 1 | 3 | |||||||||
Due to withdrawals | 3 | 1 | — | |||||||||
Due to termination of membership by the Bank* | 6 | 2 | — | |||||||||
Mandatorily redeemable capital stock reclassified to equity | — | — | (1 | ) | ||||||||
Terminations completed during the year | (4 | ) | (2 | ) | — | |||||||
Number of institutions, end of year | 24 | 18 | 16 | |||||||||
* | The Bank terminated the memberships of institutions that were closed by their primary regulator. |
• | In no event may the Bank redeem or repurchase capital stock if the Bank is not in compliance with its minimum capital requirements or if the redemption or repurchase would cause the Bank to be out of compliance with its minimum capital requirements, or if the redemption or repurchase would cause the member to be out of compliance with its minimum investment requirement. In addition, the Bank’s Board of Directors may suspend redemption of capital stock if the Bank reasonably believes that continued redemption of capital stock would cause the Bank to fail to meet its minimum capital requirements in the future, would prevent the Bank from maintaining adequate capital against a potential risk that may not be adequately reflected in its minimum capital requirements, or would otherwise prevent the Bank from operating in a safe and sound manner. | ||
• | In no event may the Bank redeem or repurchase capital stock without the prior written approval of the Finance Agency if the Finance Agency or the Bank’s Board of Directors has determined that the Bank has incurred, or is likely to incur, losses that result in, or are likely to result in, charges against the capital of the Bank. For this purpose, charges against the capital of the Bank means an other than temporary decline in the Bank’s total equity that causes the value of total equity to fall below the Bank’s aggregate capital stock amount. Such a determination may be made by the Finance Agency or the Board of Directors even if the Bank is in compliance with its minimum capital requirements. | ||
• | The Bank may not repurchase any capital stock without the written consent of the Finance Agency during any period in which the Bank has suspended redemptions of capital stock. The Bank is required to notify the Finance Agency if it suspends redemptions of capital stock and set forth its plan for addressing the conditions that led to the suspension. The Finance Agency may require the Bank to reinstate redemptions of capital stock. | ||
• | In no event may the Bank redeem or repurchase shares of capital stock if the principal and interest due on any consolidated obligations issued through the Office of Finance have not been paid in full or, under certain circumstances, if the Bank becomes a non-complying FHLBank under Finance Agency regulations as a result of its inability to comply with regulatory liquidity requirements or to satisfy its current obligations. | ||
• | If at any time the Bank determines that the total amount of capital stock subject to outstanding stock redemption or withdrawal notices with expiration dates within the following 12 months exceeds the amount of capital stock the Bank could redeem and still comply with its minimum capital requirements, the Bank will determine whether to suspend redemption and repurchase activities altogether, to fulfill requests for redemption sequentially in the order in which they were received, to fulfill the requests on a pro rata basis, or to take other action deemed appropriate by the Bank. |
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Year Ended December 31, | ||||||||
2009 | 2008 | |||||||
Change in APBO | ||||||||
APBO at beginning of year | $ | 2,544 | $ | 2,296 | ||||
Service cost | 13 | 21 | ||||||
Interest cost | 155 | 157 | ||||||
Actuarial (gain) loss | (428 | ) | 161 | |||||
Participant contributions | 172 | 165 | ||||||
Benefits paid | (383 | ) | (256 | ) | ||||
APBO at end of year | 2,073 | 2,544 | ||||||
Change in plan assets | ||||||||
Fair value of plan assets at beginning of year | — | — | ||||||
Bank contributions | 211 | 91 | ||||||
Participant contributions | 172 | 165 | ||||||
Benefits paid | (383 | ) | (256 | ) | ||||
Fair value of plan assets at end of year | — | — | ||||||
Funded status recognized in other liabilities at end of year | $ | (2,073 | ) | $ | (2,544 | ) | ||
December 31, | ||||||||
2009 | 2008 | |||||||
Net actuarial loss (gain) | $ | (467 | ) | $ | (39 | ) | ||
Prior service cost (credit) | (152 | ) | (187 | ) | ||||
$ | (619 | ) | $ | (226 | ) | |||
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Year Ended December 31, | ||||||||||||
2009 | 2008 | 2007 | ||||||||||
Service cost | $ | 13 | $ | 21 | $ | 26 | ||||||
Interest cost | 155 | 157 | 166 | |||||||||
Amortization of prior service cost (credit) | (35 | ) | (35 | ) | (35 | ) | ||||||
Amortization of net loss (gain) | — | 30 | (4 | ) | ||||||||
Net periodic benefit cost | $ | 133 | $ | 173 | $ | 153 | ||||||
Year Ended December 31, | ||||||||||||
2009 | 2008 | 2007 | ||||||||||
Amortization of prior service credit included in net periodic benefit cost | $ | (35 | ) | $ | (35 | ) | $ | (35 | ) | |||
Actuarial gain (loss) | 428 | (161 | ) | (88 | ) | |||||||
Amortization of net actuarial loss (gain) included in net periodic benefit cost | — | 30 | (4 | ) | ||||||||
Total changes in benefit obligations recognized in other comprehensive income | $ | 393 | $ | (166 | ) | $ | (127 | ) | ||||
Expected Benefit | ||||
Payments, Net of | ||||
Year Ended December 31, | Participant Contributions | |||
2010 | $ | 150 | ||
2011 | 160 | |||
2012 | 155 | |||
2013 | 120 | |||
2014 | 139 | |||
2015-2019 | 713 | |||
$ | 1,437 | |||
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December 31, 2009 | December 31, 2008 | |||||||||||||||
Carrying | Estimated | Carrying | Estimated | |||||||||||||
Financial Instruments | Value | Fair Value | Value | Fair Value | ||||||||||||
Assets: | ||||||||||||||||
Cash and due from banks | $ | 3,908,242 | $ | 3,908,242 | $ | 20,765 | $ | 20,765 | ||||||||
Interest-bearing deposits | 233 | 233 | 3,683,609 | 3,683,609 | ||||||||||||
Federal funds sold | 2,063,000 | 2,063,000 | 1,872,000 | 1,872,000 | ||||||||||||
Trading securities | 4,034 | 4,034 | 3,370 | 3,370 | ||||||||||||
Available-for-sale securities | — | — | 127,532 | 127,532 | ||||||||||||
Held-to-maturity securities | 11,424,552 | 11,381,786 | 11,701,504 | 11,169,862 | ||||||||||||
Advances | 47,262,574 | 47,279,403 | 60,919,883 | 60,362,576 | ||||||||||||
Mortgage loans held for portfolio, net | 259,617 | 274,044 | 327,059 | 328,064 | ||||||||||||
Accrued interest receivable | 60,890 | 60,890 | 145,284 | 145,284 | ||||||||||||
Derivative assets | 64,984 | 64,984 | 77,137 | 77,137 | ||||||||||||
Liabilities: | ||||||||||||||||
Deposits | 1,462,591 | 1,462,589 | 1,425,066 | 1,425,274 | ||||||||||||
Consolidated obligations: | ||||||||||||||||
Discount notes | 8,762,028 | 8,763,983 | 16,745,420 | 16,897,389 | ||||||||||||
Bonds | 51,515,856 | 51,684,542 | 56,613,595 | 56,946,934 | ||||||||||||
Mandatorily redeemable capital stock | 9,165 | 9,165 | 90,353 | 90,353 | ||||||||||||
Accrued interest payable | 179,248 | 179,248 | 514,086 | 514,086 | ||||||||||||
Derivative liabilities | 486 | 486 | 2,326 | 2,326 |
Netting | ||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Adjustment(1) | Total | ||||||||||||||||
Assets | ||||||||||||||||||||
Trading securities | $ | 4,034 | $ | — | $ | — | $ | — | $ | 4,034 | ||||||||||
Derivative assets | — | 627,047 | — | (562,063 | ) | 64,984 | ||||||||||||||
Total assets at fair value | $ | 4,034 | $ | 627,047 | $ | — | $ | (562,063 | ) | $ | 69,018 | |||||||||
Liabilities | ||||||||||||||||||||
Derivative liabilities | $ | — | $ | 501,179 | $ | — | $ | (500,693 | ) | $ | 486 | |||||||||
Total liabilities at fair value | $ | — | $ | 501,179 | $ | — | $ | (500,693 | ) | $ | 486 | |||||||||
(1) | Amounts represent the impact of legally enforceable master netting agreements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions as well as the cash collateral held or placed with those same counterparties. |
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Netting | ||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Adjustment(1) | Total | ||||||||||||||||
Assets | ||||||||||||||||||||
Trading securities | $ | 3,370 | $ | — | $ | — | $ | — | $ | 3,370 | ||||||||||
Available-for-sale securities | — | 127,532 | — | — | 127,532 | |||||||||||||||
Derivative assets | — | 849,571 | — | (772,434 | ) | 77,137 | ||||||||||||||
Total assets at fair value | $ | 3,370 | $ | 977,103 | $ | — | $ | (772,434 | ) | $ | 208,039 | |||||||||
Liabilities | ||||||||||||||||||||
Derivative liabilities | $ | — | $ | 680,064 | $ | — | $ | (677,738 | ) | $ | 2,326 | |||||||||
Total liabilities at fair value | $ | — | $ | 680,064 | $ | — | $ | (677,738 | ) | $ | 2,326 | |||||||||
(1) | Amounts represent the impact of legally enforceable master netting agreements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions as well as the cash collateral held or placed with those same counterparties. |
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Year | Premises | Equipment | Total | |||||||||
2010 | $ | 258 | $ | 78 | $ | 336 | ||||||
2011 | 253 | 27 | 280 | |||||||||
2012 | 262 | 11 | 273 | |||||||||
2013 | 51 | — | 51 | |||||||||
2014 | 26 | — | 26 | |||||||||
Total | $ | 850 | $ | 116 | $ | 966 | ||||||
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Year | ||||
2010 | $ | 1,116 | ||
2011 | 638 | |||
2012 | 630 | |||
2013 | 644 | |||
2014 | 5 | |||
Total | $ | 3,033 | ||
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Year Ended December 31, | ||||||||||||
2009 | 2008 | 2007 | ||||||||||
Balance, January 1, | $ | — | $ | 400,000 | $ | — | ||||||
Loans made to: | ||||||||||||
FHLBank of Boston | 375,000 | 832,000 | 170,000 | |||||||||
FHLBank of Seattle | 25,000 | — | — | |||||||||
FHLBank of San Francisco | — | 1,265,000 | 750,000 | |||||||||
Collections from: | ||||||||||||
FHLBank of Boston | (375,000 | ) | (832,000 | ) | (170,000 | ) | ||||||
FHLBank of Seattle | (25,000 | ) | — | — | ||||||||
FHLBank of San Francisco | — | (1,665,000 | ) | (350,000 | ) | |||||||
Balance, December 31, | $ | — | $ | — | $ | 400,000 | ||||||
Year Ended December 31, | ||||||||||||
2009 | 2008 | 2007 | ||||||||||
Balance, January 1 | $ | — | $ | — | $ | — | ||||||
Borrowings from: | ||||||||||||
FHLBank of Atlanta | — | 70,000 | — | |||||||||
FHLBank of Cincinnati | — | 200,000 | — | |||||||||
FHLBank of Indianapolis | — | 240,000 | 528,000 | |||||||||
FHLBank of San Francisco | 200,000 | 500,000 | 120,000 | |||||||||
FHLBank of Seattle | — | 25,000 | — | |||||||||
Repayments to: | ||||||||||||
FHLBank of Atlanta | — | (70,000 | ) | — | ||||||||
FHLBank of Cincinnati | — | (200,000 | ) | — | ||||||||
FHLBank of Indianapolis | — | (240,000 | ) | (528,000 | ) | |||||||
FHLBank of San Francisco | (200,000 | ) | (500,000 | ) | (120,000 | ) | ||||||
FHLBank of Seattle | — | (25,000 | ) | — | ||||||||
Balance, December 31 | $ | — | $ | — | $ | — | ||||||
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Exhibit | ||||||
3.1 | Organization Certificate of the Registrant (incorporated by reference to Exhibit 3.1 to the Bank’s Registration Statement on Form 10 filed February 15, 2006). | |||||
3.2 | Bylaws of the Registrant. | |||||
4.1 | Capital Plan of the Registrant, as amended and revised on December 11, 2008 and approved by the Federal Housing Finance Agency on March 6, 2009 (filed as Exhibit 4.1 to the Bank’s Current Report on Form 8-K dated March 6, 2009 and filed with the SEC on March 11, 2009, which exhibit is incorporated herein by reference). | |||||
10.1 | Deferred Compensation Plan of the Registrant, effective July 24, 2004 (governs deferrals made prior to January 1, 2005) (incorporated by reference to Exhibit 10.1 to the Bank’s Registration Statement on Form 10 filed February 15, 2006). | |||||
10.2 | Deferred Compensation Plan of the Registrant for Deferrals Effective January 1, 2005 (incorporated by reference to Exhibit 10.2 to the Bank’s Registration Statement on Form 10 filed February 15, 2006). | |||||
10.3 | 2008 Amendment to Deferred Compensation Plan of the Registrant for Deferrals Effective January 1, 2005, dated December 10, 2008 (incorporated by reference to Exhibit 10.3 to the Bank’s Annual Report on Form 10-K for the fiscal year ended December 31, 2008, filed on March 27, 2009). | |||||
10.4 | Non-Qualified Deferred Compensation Plan for the Board of Directors of the Registrant, effective July 24, 2004 (governs deferrals made prior to January 1, 2005) (incorporated by reference to Exhibit 10.3 to the Bank’s Registration Statement on Form 10 filed February 15, 2006). | |||||
10.5 | Non-Qualified Deferred Compensation Plan for the Board of Directors of the Registrant for Deferrals Effective January 1, 2005 (incorporated by reference to Exhibit 10.4 to the Bank’s Registration Statement on Form 10 filed February 15, 2006). | |||||
10.6 | 2008 Amendment to Non-Qualified Deferred Compensation Plan for the Board of Directors of the Registrant for Deferrals Effective January 1, 2005, dated December 10, 2008 (incorporated by reference to Exhibit 10.6 to the Bank’s Annual Report on Form 10-K for the fiscal year ended December 31, 2008, filed on March 27, 2009). | |||||
10.7 | Form of Special Non-Qualified Deferred Compensation Plan of the Registrant, as amended and restated effective January 1, 2009 (filed as Exhibit 10.1 to the Bank’s Current Report on Form 8-K dated May 14, 2009 and filed with the SEC on May 20, 2009, which exhibit is incorporated herein by reference). | |||||
10.8 | Federal Home Loan Banks P&I Funding and Contingency Plan Agreement entered into on June 23, 2006 and effective as of July 20, 2006, by and among the Office of Finance and each of the Federal Home Loan Banks (filed as Exhibit 10.1 to the Bank’s Current Report on Form 8-K dated June 23, 2006 and filed with the SEC on June 27, 2006, which exhibit is incorporated herein by reference). | |||||
10.9 | Form of Employment Agreement between the Registrant and each of its executive officers, entered into on November 20, 2007 (filed as Exhibit 99.1 to the Bank’s Current Report on Form 8-K dated November 20, 2007 and filed with the SEC on November 26, 2007, which exhibit is incorporated herein by reference). | |||||
10.10 | United States Department of the Treasury Lending Agreement, dated September 9, 2008 (filed as Exhibit 10.1 to the Registrant’s Current Report on Form 8-K dated September 9, 2008 and filed with the SEC on September 9, 2008, which exhibit is incorporated herein by reference). |
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Exhibit | ||||||
10.11 | Amended and Restated Indemnification Agreement between the Registrant and Terry Smith, dated October 24, 2008 (incorporated by reference to Exhibit 10.12 to the Bank’s Annual Report on Form 10-K for the fiscal year ended December 31, 2008, filed on March 27, 2009). | |||||
10.12 | Form of Indemnification Agreement between the Registrant and each of its officers (other than Terry Smith), entered into on various dates on or after November 7, 2008 (incorporated by reference to Exhibit 10.13 to the Bank’s Annual Report on Form 10-K for the fiscal year ended December 31, 2008, filed on March 27, 2009). | |||||
10.13 | Form of Indemnification Agreement between the Registrant and each of its directors, entered into on various dates on or after October 24, 2008 (incorporated by reference to Exhibit 10.14 to the Bank’s Annual Report on Form 10-K for the fiscal year ended December 31, 2008, filed on March 27, 2009). | |||||
12.1 | Computation of Ratio of Earnings to Fixed Charges. | |||||
14.1 | Code of Ethics for Senior Financial Officers. | |||||
31.1 | Certification of principal executive officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. | |||||
31.2 | Certification of principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. | |||||
32.1 | Certification of principal executive officer and principal financial officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. | |||||
99.1 | Charter of the Audit Committee of the Board of Directors. | |||||
99.2 | Report of the Audit Committee of the Board of Directors. |