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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 (Address of principal executive offices) | 75063-2547 (Zip Code) |
Large accelerated filero | Accelerated filero | Non-accelerated filerþ(Do not check if a smaller reporting company) | Smaller reporting companyo |
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December 31, | ||||||||||||
2010 | 2009 | 2008 | ||||||||||
Commercial banks | 741 | 753 | 759 | |||||||||
Thrifts | 83 | 85 | 85 | |||||||||
Credit unions | 73 | 65 | 60 | |||||||||
Insurance companies | 21 | 20 | 19 | |||||||||
Total members | 918 | 923 | 923 | |||||||||
Housing associates | 8 | 8 | 8 | |||||||||
Non-member borrowers | 12 | 12 | 13 | |||||||||
Total | 938 | 943 | 944 | |||||||||
Community Financial Institutions (“CFIs”)(1) | 768 | 788 | 796 | |||||||||
(1) | The figures presented above reflect the number of members that were CFIs as of December 31, 2010, 2009 and 2008 based upon the definitions of CFIs that applied as of those dates. |
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Year Ended December 31, | ||||||||||||
2010 | 2009 | 2008 | ||||||||||
Advances (including prepayment fees) | 67.9 | % | 79.4 | % | 79.2 | % | ||||||
Investments | 29.3 | 18.6 | 19.8 | |||||||||
Mortgage loans held for portfolio and other | 2.8 | 2.0 | 1.0 | |||||||||
Total | 100.0 | % | 100.0 | % | 100.0 | % | ||||||
Total interest income (in thousands) | $ | 479,909 | $ | 837,464 | $ | 2,294,736 | ||||||
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December 31, | ||||||||||||||||
2010 | 2009 | |||||||||||||||
Amortized | Amortized | |||||||||||||||
Cost | Percentage | Cost | Percentage | |||||||||||||
Government-sponsored enterprise MBS | $ | 8,097 | 94.6 | % | $ | 10,838 | 94.3 | % | ||||||||
Non-agency residential MBS | 391 | 4.6 | 511 | 4.5 | ||||||||||||
Non-agency commercial MBS | — | — | 56 | 0.5 | ||||||||||||
Other | 72 | 0.8 | 86 | 0.7 | ||||||||||||
Total | $ | 8,560 | 100.0 | % | $ | 11,491 | 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; |
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• | 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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• | the annual gross financial revenue of the company represents 85 percent or more of the company’s gross revenue in either of its two most recent completed fiscal years; or | ||
• | the company’s total financial assets represent 85 percent or more of the company’s total assets as of the end of either of its two most recently completed fiscal years. |
• | a valuation standard for collateral on secured claims; | ||
• | that all unsecured creditors must expect to absorb losses in any liquidation and that secured creditors will only be protected to the extent of the fair value of their collateral; | ||
• | a clarification of the treatment for contingent claims; and | ||
• | that secured obligations collateralized with U.S. government obligations will be valued at fair market value. |
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• | focus the FHLBanks’ membership on small- and medium-sized financial institutions; | ||
• | restrict membership by allowing each institution that is eligible for membership to be an active member in only one FHLBank; | ||
• | limit the level of outstanding advances to individual FHLBank members; and | ||
• | reduce FHLBank investment portfolios and alter their composition to better serve the FHLBanks’ mission of providing liquidity and access to capital for insured depository institutions. |
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• | requiring compliance with membership standards on a continuous basis rather than only at the time of admission to membership; and | ||
• | creating additional quantifiable standards for membership. |
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(dollars in thousands)
2010 | 2009 | |||||||||||||||
Annualized | Annualized | |||||||||||||||
Amount(1) | Rate(3) | Amount(2) | Rate(3) | |||||||||||||
First Quarter | $ | 2,386 | 0.375 | % | $ | 4,143 | 0.500 | % | ||||||||
Second Quarter | 2,264 | 0.375 | 1,306 | 0.180 | ||||||||||||
Third Quarter | 2,109 | 0.375 | 1,267 | 0.180 | ||||||||||||
Fourth Quarter | 2,057 | 0.375 | 1,091 | 0.160 |
(1) | Amounts exclude (in thousands) $9, $7, $7 and $7 of dividends paid on mandatorily redeemable capital stock for the first, second, third and fourth quarters of 2010, respectively. For financial reporting purposes, these dividends were classified as interest expense. | |
(2) | Amounts exclude (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. | |
(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, | ||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||
Balance sheet(at year end) | ||||||||||||||||||||
Advances | $ | 25,455,656 | $ | 47,262,574 | $ | 60,919,883 | $ | 46,298,158 | $ | 41,168,141 | ||||||||||
Investments(1)(2) | 12,268,954 | 13,491,819 | 17,388,015 | 16,400,655 | 13,429,450 | |||||||||||||||
Mortgage loans | 207,393 | 259,857 | 327,320 | 381,731 | 449,893 | |||||||||||||||
Allowance for credit losses on mortgage loans | 225 | 240 | 261 | 263 | 267 | |||||||||||||||
Total assets (2) | 39,690,070 | 65,092,076 | 78,932,898 | 63,458,256 | 55,457,966 | |||||||||||||||
Consolidated obligations — discount notes | 5,131,978 | 8,762,028 | 16,745,420 | 24,119,433 | 8,225,787 | |||||||||||||||
Consolidated obligations — bonds | 31,315,605 | 51,515,856 | 56,613,595 | 32,855,379 | 41,684,138 | |||||||||||||||
Total consolidated obligations(3) | 36,447,583 | 60,277,884 | 73,359,015 | 56,974,812 | 49,909,925 | |||||||||||||||
Mandatorily redeemable capital stock(4) | 8,076 | 9,165 | 90,353 | 82,501 | 159,567 | |||||||||||||||
Capital stock — putable | 1,600,909 | 2,531,715 | 3,223,830 | 2,393,980 | 2,248,147 | |||||||||||||||
Retained earnings | 452,205 | 356,282 | 216,025 | 211,762 | 190,625 | |||||||||||||||
Accumulated other comprehensive income (loss) | (62,702 | ) | (65,965 | ) | (1,435 | ) | (570 | ) | 748 | |||||||||||
Total capital | 1,990,412 | 2,822,032 | 3,438,420 | 2,605,172 | 2,439,520 | |||||||||||||||
Dividends paid(4) | 8,816 | 7,807 | 75,078 | 108,641 | 110,049 | |||||||||||||||
Income statement | ||||||||||||||||||||
Net interest income(5) | $ | 234,366 | $ | 76,476 | $ | 150,358 | $ | 223,026 | $ | 216,292 | ||||||||||
Other income (loss) | (14,259 | ) | 200,355 | 22,580 | 9,505 | 1,279 | ||||||||||||||
Other expense | 77,542 | 75,290 | 64,813 | 55,296 | 49,820 | |||||||||||||||
Assessments | 37,826 | 53,477 | 28,784 | 47,457 | 45,571 | |||||||||||||||
Net income | 104,739 | 148,064 | 79,341 | 129,778 | 122,180 | |||||||||||||||
Performance ratios | ||||||||||||||||||||
Net interest margin(6) | 0.44 | % | 0.11 | % | 0.20 | % | 0.40 | % | 0.37 | % | ||||||||||
Return on average assets(2) | 0.20 | 0.21 | 0.11 | 0.24 | 0.21 | |||||||||||||||
Return on average equity | 4.23 | 4.92 | 2.52 | 5.58 | 4.98 | |||||||||||||||
Return on average capital stock(7) | 4.92 | 5.39 | 2.73 | 6.18 | 5.42 | |||||||||||||||
Total average equity to average assets(2) | 4.65 | 4.30 | 4.23 | 4.22 | 4.29 | |||||||||||||||
Regulatory capital ratio(2)(8) | 5.19 | 4.45 | 4.47 | 4.24 | 4.69 | |||||||||||||||
Dividend payout ratio(4)(9) | 8.42 | 5.27 | 94.63 | 83.71 | 90.07 | |||||||||||||||
Ratio of earnings to fixed charges | 1.58 | X | 1.26 | X | 1.05 | X | 1.07 | X | 1.06 | X | ||||||||||
Average effective federal funds rate(10) | 0.18 | % | 0.16 | % | 1.92 | % | 5.02 | % | 4.97 | % |
(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 and 2006 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) | 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, 2010, 2009, 2008, 2007 and 2006, the outstanding consolidated obligations (at par value) of all 12 FHLBanks totaled approximately $0.796 trillion, $0.931 trillion, $1.252 trillion, $1.190 trillion and $0.952 trillion, respectively. As of those dates, the Bank’s outstanding consolidated obligations (at par value) were $36.2 billion, $59.9 billion, $72.9 billion, $57.0 billion and $50.2 billion, respectively. | |
(4) | 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 $0.03 million, $0.2 million, $2.0 million, $6.6 million and $10.8 million for the years ended December 31, 2010, 2009, 2008, 2007 and 2006, respectively. | |
(5) | 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 $18.7 million, $107.6 million, $5.0 million, ($0.4 million) and ($2.2 million) for the years ended December 31, 2010, 2009, 2008, 2007 and 2006, respectively. | |
(6) | Net interest margin is net interest income as a percentage of average earning assets. | |
(7) | Return on average capital stock is derived by dividing net income by average capital stock balances excluding mandatorily redeemable capital stock. | |
(8) | 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 at each year-end. | |
(9) | Dividend payout ratio is computed by dividing dividends paid by net income for the year. | |
(10) | Rates obtained from the Federal Reserve Statistical Release. |
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Year Ended December 31, | ||||||||||||
2010 | 2009 | 2008 | ||||||||||
Earnings | ||||||||||||
Return on average capital stock | 4.92 | % | 5.39 | % | 2.73 | % | ||||||
Average effective federal funds rate | 0.18 | % | 0.16 | % | 1.92 | % | ||||||
Dividends | ||||||||||||
Weighted average of dividend rates paid(1) | 0.375 | % | 0.25 | % | 2.92 | % | ||||||
Reference average effective federal funds rate (reference rate)(2) | 0.16 | % | 0.25 | % | 2.92 | % | ||||||
Reference average target federal funds rate (reference target rate)(2) | 0.25 | % | 0.46 | % | 2.95 | % |
(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 and the reference target rate. |
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Ending Rate | Average Rate | |||||||||||||||||||
December 31, | December 31, | For the Year Ended December 31, | ||||||||||||||||||
2010 | 2009 | 2010 | 2009 | 2008 | ||||||||||||||||
Federal Funds Target(1) | 0.25 | % | 0.25 | % | 0.25 | % | 0.25 | % | 2.08 | % | ||||||||||
Average Effective Federal Funds Rate(2) | 0.13 | % | 0.05 | % | 0.18 | % | 0.16 | % | 1.92 | % | ||||||||||
1-month LIBOR(1) | 0.26 | % | 0.23 | % | 0.27 | % | 0.33 | % | 2.68 | % | ||||||||||
3-month LIBOR(1) | 0.30 | % | 0.25 | % | 0.34 | % | 0.69 | % | 2.93 | % | ||||||||||
2-year LIBOR(1) | 0.80 | % | 1.42 | % | 0.93 | % | 1.41 | % | 2.94 | % | ||||||||||
5-year LIBOR(1) | 2.17 | % | 2.98 | % | 2.16 | % | 2.65 | % | 3.69 | % | ||||||||||
10-year LIBOR(1) | 3.38 | % | 3.97 | % | 3.25 | % | 3.44 | % | 4.24 | % | ||||||||||
3-month U.S. Treasury(1) | 0.12 | % | 0.06 | % | 0.14 | % | 0.15 | % | 1.45 | % | ||||||||||
2-year U.S. Treasury(1) | 0.61 | % | 1.14 | % | 0.70 | % | 0.96 | % | 2.00 | % | ||||||||||
5-year U.S. Treasury(1) | 2.01 | % | 2.69 | % | 1.93 | % | 2.20 | % | 2.79 | % | ||||||||||
10-year U.S. Treasury(1) | 3.30 | % | 3.85 | % | 3.22 | % | 3.26 | % | 3.64 | % |
(1) | Source: Bloomberg | |
(2) | Source: Federal Reserve Statistical Release |
• | The Bank ended 2010 with total assets of $39.7 billion and total advances of $25.5 billion, a decrease from $65.1 billion and $47.3 billion, respectively, at the end of 2009. The decrease in advances for 2010 was attributable in large part to the repayment of approximately $17.7 billion of advances by the Bank’s two largest borrowers, as further discussed in the section below entitled “Financial Condition — Advances.” The remaining decline in advances during 2010 was attributable to a general decline in member demand that the Bank believes was due largely to increases in members’ liquidity levels and reduced lending activity due to weak economic conditions. | ||
• | The Bank’s net income for 2010 was $104.7 million. Net interest income was $234.4 million and net losses on derivatives and hedging activities were $17.7 million. The Bank’s net interest income excludes net interest payments associated with economic hedge derivatives, which also contributed to the Bank’s income before assessments of $142.6 million for 2010. Had the net interest income on economic hedge derivatives been included in net interest income, both the Bank’s net interest income and its net losses on derivatives and hedging activities would have been higher by $18.7 million for the year ended December 31, 2010. |
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• | The Bank’s net interest income for 2010 was positively impacted by higher yields on the Bank’s portfolio of collateralized mortgage obligations (“CMOs”). During the year, the Federal Home Loan Mortgage Corporation (“Freddie Mac”) and the Federal National Mortgage Association (“Fannie Mae”) repurchased delinquent loans from the mortgage pools underlying their guaranteed CMOs. The repayments resulting from these repurchases resulted in approximately $13.5 million of accelerated accretion of the purchase discounts associated with the Bank’s investments in certain of these securities during the first half of 2010. Such repurchases by Fannie Mae and Freddie Mac did not have a significant impact on the Bank’s net interest income during the second half of 2010, nor are they expected to have a significant impact on the Bank’s net interest income in future periods. | ||
• | The $17.7 million in net losses on derivatives and hedging activities for the year included $18.7 million of net interest income on interest rate swaps accounted for as economic hedge derivatives, $0.4 million of net ineffectiveness-related losses on fair value hedges and $36.0 million of net losses on economic hedge derivatives (excluding net interest settlements), which were attributable primarily to the Bank’s stand-alone interest rate caps. | ||
The Bank held $9.3 billion (notional) of interest rate swaps recorded as economic hedge derivatives with a net positive fair value of $16.2 million (excluding accrued interest) at December 31, 2010. If these swaps are held to maturity, these net unrealized gains will ultimately reverse in future periods in the form of unrealized losses as the values of these derivatives decline to zero. The timing of this reversal will depend on the future estimated values of these derivatives, which will generally depend on the level and volatility of then-current and projected interest rates over the remaining lives of the derivatives. In addition, as of December 31, 2010, the Bank held $3.7 billion (notional) of stand-alone interest rate cap agreements with a fair value of $19.6 million that hedge CMO LIBOR floaters with embedded caps. If these agreements are held to 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. | |||
• | The Bank’s operating results for 2010 included credit-related other-than-temporary impairment charges of $2.6 million on certain of its investments in non-agency residential mortgage-backed securities. For a discussion of the Bank’s analysis, see Note 6 to the Bank’s audited financial statements included in this report. If the actual and/or projected performance of the loans underlying the Bank’s holdings of non-agency residential mortgage-backed securities deteriorates beyond management’s current expectations, the Bank could recognize additional losses on the securities that it has already determined to be other-than-temporarily impaired and/or losses on its investments in non-agency residential mortgage-backed securities that have not previously been determined to be other-than-temporarily impaired. The Bank is currently unable to predict the impact, if any, that recent foreclosure moratoriums may have on the collectibility of its investments in non-agency residential mortgage-backed securities. | ||
• | At all times during 2010, the Bank was in compliance with all of its regulatory capital requirements. In addition, the Bank’s retained earnings increased to $452.2 million at December 31, 2010 from $356.3 million at December 31, 2009. | ||
• | During 2010, the Bank paid dividends totaling $8.8 million; the quarterly dividends during the year were paid at rates equal to the upper end of the Federal Reserve’s target for the federal funds rate plus 12.5 basis points for the applicable reference periods. While there can be no assurances about 2011 earnings, dividends, or regulatory actions, the Bank currently anticipates that its 2011 earnings will be sufficient both to pay quarterly dividends at a rate equal to or slightly above the upper end of the Federal Reserve’s target for the 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, 2010 | December 31, 2009 | Balance at | ||||||||||||||||||||||||||
Increase (Decrease) | Increase (Decrease) | December 31, | ||||||||||||||||||||||||||
Balance | �� | Amount | Percentage | Balance | Amount | Percentage | 2008 | |||||||||||||||||||||
Advances | $ | 25,456 | $ | (21,807 | ) | (46.1) | % | $ | 47,263 | $ | (13,657 | ) | (22.4) | % | $ | 60,920 | ||||||||||||
Short-term liquidity holdings | ||||||||||||||||||||||||||||
Non-interest bearing excess cash balances(1) | 1,600 | (2,000 | ) | (55.6 | ) | 3,600 | 3,600 | * | — | |||||||||||||||||||
Interest-bearing deposits | — | — | — | — | (3,684 | ) | (100.0 | ) | 3,684 | |||||||||||||||||||
Federal funds sold | 3,767 | 1,704 | 82.6 | 2,063 | 191 | 10.2 | 1,872 | |||||||||||||||||||||
Long-term investments(2) | 8,496 | (2,929 | ) | (25.6 | ) | 11,425 | (404 | ) | (3.4 | ) | 11,829 | |||||||||||||||||
Mortgage loans, net | 207 | (53 | ) | (20.4 | ) | 260 | (67 | ) | (20.5 | ) | 327 | |||||||||||||||||
Total assets | 39,690 | (25,402 | ) | (39.0 | ) | 65,092 | (13,841 | ) | (17.5 | ) | 78,933 | |||||||||||||||||
Consolidated obligations — bonds | 31,316 | (20,200 | ) | (39.2 | ) | 51,516 | (5,098 | ) | (9.0 | ) | 56,614 | |||||||||||||||||
Consolidated obligations — discount notes | 5,132 | (3,630 | ) | (41.4 | ) | 8,762 | (7,983 | ) | (47.7 | ) | 16,745 | |||||||||||||||||
Total consolidated obligations | 36,448 | (23,830 | ) | (39.5 | ) | 60,278 | (13,081 | ) | (17.8 | ) | 73,359 | |||||||||||||||||
Mandatorily redeemable capital stock | 8 | (1 | ) | (11.1 | ) | 9 | (81 | ) | (90.0 | ) | 90 | |||||||||||||||||
Capital stock | 1,601 | (931 | ) | (36.8 | ) | 2,532 | (692 | ) | (21.5 | ) | 3,224 | |||||||||||||||||
Retained earnings | 452 | 96 | 27.0 | 356 | 140 | 64.8 | 216 | |||||||||||||||||||||
Average total assets | 53,143 | (16,875 | ) | (24.1 | ) | 70,018 | (4,623 | ) | (6.2 | ) | 74,641 | |||||||||||||||||
Average capital stock | 2,128 | (621 | ) | (22.6 | ) | 2,749 | (162 | ) | (5.6 | ) | 2,911 | |||||||||||||||||
Average mandatorily redeemable capital stock | 7 | (49 | ) | (87.5 | ) | 56 | (1 | ) | (1.8 | ) | 57 |
* | The percentage increase is not meaningful. | |
(1) | Represents excess cash held at the Federal Reserve Bank of Dallas. These amounts are classified as “Cash and Due From Banks” in the Bank’s statements of condition. | |
(2) | Consists of securities classified as held-to-maturity and available-for-sale. |
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(par value, dollars in millions)
December 31, | ||||||||||||||||||||||||
2010 | 2009 | 2008 | ||||||||||||||||||||||
Amount | Percent | Amount | Percent | Amount | Percent | |||||||||||||||||||
Commercial banks | $ | 19,708 | 79 | % | $ | 41,924 | 89 | %(1) | $ | 29,889 | 50 | % | ||||||||||||
Thrifts | 3,686 | 15 | 3,249 | 7 | (1) | 27,687 | 46 | |||||||||||||||||
Credit unions | 1,215 | 5 | 1,347 | 3 | 1,565 | 3 | ||||||||||||||||||
Insurance companies | 336 | 1 | 301 | 1 | 243 | — | ||||||||||||||||||
Total member advances | 24,945 | 100 | 46,821 | 100 | 59,384 | 99 | ||||||||||||||||||
Housing associates | 60 | — | 11 | — | 131 | — | ||||||||||||||||||
Non-member borrowers | 56 | — | 76 | — | 730 | 1 | ||||||||||||||||||
Total par value of advances | $ | 25,061 | 100 | % | $ | 46,908 | 100 | % | $ | 60,245 | 100 | % | ||||||||||||
Total par value of advances outstanding to CFIs(2) | $ | 6,908 | 28 | % | $ | 9,758 | 21 | % | $ | 11,530 | 19 | % | ||||||||||||
(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, 2010, 2009 and 2008 based upon the definitions of CFIs that applied as of those dates. |
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(Par value, dollars in millions)
As of December 31, 2010 | ||||||||
Percent of | ||||||||
Par Value of | Total Par Value | |||||||
Name | Advances | of Advances | ||||||
Wells Fargo Bank South Central, National Association | $ | 3,998 | 16.0 | % | ||||
Comerica Bank | 2,500 | 10.0 | ||||||
Beal Bank Nevada(1) | 1,435 | 5.7 | ||||||
International Bank of Commerce | 950 | 3.8 | ||||||
First National Bank (Edinburg, Texas) | 584 | 2.3 | ||||||
$ | 9,467 | 37.8 | % | |||||
(1) | Beal Bank Nevada is chartered in Nevada, but maintains its home office in Plano, TX. |
(dollars in millions)
December 31, 2010 | December 31, 2009 | |||||||||||||||
Percentage | Percentage | |||||||||||||||
Balance | of Total | Balance | of Total | |||||||||||||
Fixed rate | $ | 15,582 | 62.2 | % | $ | 19,035 | 40.6 | % | ||||||||
Adjustable/variable rate indexed | 6,765 | 27.0 | 24,591 | 52.4 | ||||||||||||
Amortizing | 2,714 | 10.8 | 3,282 | 7.0 | ||||||||||||
Total par value | $ | 25,061 | 100.0 | % | $ | 46,908 | 100.0 | % | ||||||||
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(In millions of dollars)
December 31, 2010 | December 31, 2009 | |||||||||||||||||||||||
Fixed | Variable | Fixed | Variable | |||||||||||||||||||||
Rate | Rate | Total | Rate | Rate | Total | |||||||||||||||||||
U.S. government guaranteed obligations | $ | — | $ | 20 | $ | 20 | $ | — | $ | 24 | $ | 24 | ||||||||||||
Government-sponsored enterprises | 2 | 8,199 | 8,201 | 3 | 10,985 | 10,988 | ||||||||||||||||||
Non-agency residential MBS | ||||||||||||||||||||||||
Prime(1) | — | 323 | 323 | — | 423 | 423 | ||||||||||||||||||
Alt-A(1) | — | 75 | 75 | — | 92 | 92 | ||||||||||||||||||
Prime non-agency CMBS(1)(2) | — | — | — | 56 | — | 56 | ||||||||||||||||||
Total MBS | $ | 2 | $ | 8,617 | $ | 8,619 | $ | 59 | $ | 11,524 | $ | 11,583 | ||||||||||||
(1) | Reflects the label assigned to the securities at the time of issuance. | |
(2) | CMBS = Commercial mortgage-backed securities. |
(dollars in millions)
December 31, 2010 | December 31, 2009 | |||||||||||||||
Unrealized | Unrealized | |||||||||||||||
Gross | Losses as | Gross | Losses as | |||||||||||||
Unrealized | Percentage of | Unrealized | Percentage of | |||||||||||||
Losses | Amortized Cost | Losses | Amortized Cost | |||||||||||||
U.S. government guaranteed obligations | $ | — | 0.0 | % | $ | — | 0.3 | % | ||||||||
Government-sponsored enterprises | 2 | 0.0 | % | 53 | 0.5 | % | ||||||||||
Non-agency residential MBS | 84 | 21.5 | % | 135 | 26.5 | % | ||||||||||
$ | 86 | $ | 188 | |||||||||||||
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(dollars in thousands)
Unpaid | ||||||||||||||||||||||||
Credit | Number of | Principal | Amortized | Carrying | Estimated | Unrealized | ||||||||||||||||||
Rating | Securities | Balance | Cost | Value | Fair Value | Losses | ||||||||||||||||||
Triple-A | 17 | $ | 108,208 | $ | 108,224 | $ | 108,224 | $ | 103,027 | $ | 5,197 | |||||||||||||
Double-A | 1 | 3,562 | 3,562 | 3,562 | 3,389 | 173 | ||||||||||||||||||
Triple-B | 1 | 6,891 | 6,817 | 4,233 | 4,429 | 2,388 | ||||||||||||||||||
Double-B | 1 | 5,220 | 5,209 | 3,318 | 3,318 | 1,891 | ||||||||||||||||||
Single-B | 8 | 95,091 | 95,090 | 93,566 | 70,249 | 24,841 | ||||||||||||||||||
Triple-C | 10 | 140,194 | 137,166 | 89,763 | 91,716 | 45,450 | ||||||||||||||||||
Double-C | 1 | 38,770 | 35,279 | 25,418 | 31,268 | 4,011 | ||||||||||||||||||
Total | 39 | $ | 397,936 | $ | 391,347 | $ | 328,084 | $ | 307,396 | $ | 83,951 | |||||||||||||
(dollars in thousands)
Number of | Carrying | Estimated | ||||||||||
Credit Rating | Securities | Value | Fair Value | |||||||||
Triple-A | 7 | $ | 25,968 | $ | 24,950 | |||||||
Double-A | 1 | 3,562 | 3,389 | |||||||||
Triple-B | 1 | 4,233 | 4,429 | |||||||||
Total | 9 | $ | 33,763 | $ | 32,768 | |||||||
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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 | ||||||||||||||||||||||||||||
Classification and Year of Securitization | Securities | Balance | Cost | Fair Value | Losses | Delinquency(1)(2) | Average(1)(3) | Average(1) | Current(4) | |||||||||||||||||||||||||||
Prime(5) | ||||||||||||||||||||||||||||||||||||
Fixed rate collateral | ||||||||||||||||||||||||||||||||||||
2006 | 1 | $ | 39 | $ | 35 | $ | 31 | $ | 4 | 13.71 | % | 7.21 | % | 8.89 | % | 7.21 | % | |||||||||||||||||||
2004 | 4 | 12 | 12 | 11 | 1 | 4.19 | % | 26.47 | % | 5.81 | % | 24.07 | % | |||||||||||||||||||||||
2003 | 10 | 88 | 88 | 84 | 4 | 1.25 | % | 6.83 | % | 3.91 | % | 5.28 | % | |||||||||||||||||||||||
2000 | 1 | — | — | — | — | 0.00 | % | 39.17 | % | 2.00 | % | 39.17 | % | |||||||||||||||||||||||
Total fixed rate prime collateral | 16 | 139 | 135 | 126 | 9 | 4.99 | % | 8.62 | % | 5.46 | % | 5.28 | % | |||||||||||||||||||||||
Option ARM collateral | ||||||||||||||||||||||||||||||||||||
2005 | 15 | 172 | 171 | 119 | 52 | 30.42 | % | 46.30 | % | 43.15 | % | 25.89 | % | |||||||||||||||||||||||
2004 | 2 | 12 | 12 | 8 | 4 | 28.32 | % | 33.61 | % | 29.84 | % | 31.80 | % | |||||||||||||||||||||||
Total option ARM prime collateral | 17 | 184 | 183 | 127 | 56 | 30.29 | % | 45.47 | % | 42.28 | % | 25.89 | % | |||||||||||||||||||||||
Total prime collateral | 33 | 323 | 318 | 253 | 65 | 19.43 | % | 29.65 | % | 26.47 | % | 5.28 | % | |||||||||||||||||||||||
Alt-A(5) | ||||||||||||||||||||||||||||||||||||
Fixed rate collateral | ||||||||||||||||||||||||||||||||||||
2005 | 1 | 26 | 26 | 20 | 6 | 11.52 | % | 9.89 | % | 6.84 | % | 9.89 | % | |||||||||||||||||||||||
2004 | 1 | 3 | 3 | 3 | — | 11.30 | % | 36.36 | % | 6.85 | % | 36.36 | % | |||||||||||||||||||||||
2002 | 2 | 9 | 9 | 8 | 1 | 6.37 | % | 20.44 | % | 4.54 | % | 17.17 | % | |||||||||||||||||||||||
Total fixed rate Alt-A collateral | 4 | 38 | 38 | 31 | 7 | 10.34 | % | 14.75 | % | 6.33 | % | 9.89 | % | |||||||||||||||||||||||
Option ARM collateral | ||||||||||||||||||||||||||||||||||||
2005 | 2 | 37 | 35 | 23 | 12 | 48.50 | % | 40.54 | % | 39.58 | % | 34.34 | % | |||||||||||||||||||||||
Total Alt-A collateral | 6 | 75 | 73 | 54 | 19 | 29.32 | % | 27.58 | % | 22.87 | % | 9.89 | % | |||||||||||||||||||||||
Total non-agency RMBS | 39 | $ | 398 | $ | 391 | $ | 307 | $ | 84 | 21.30 | % | 29.26 | % | 25.79 | % | 5.28 | % | |||||||||||||||||||
Total fixed rate collateral | 20 | $ | 177 | $ | 173 | $ | 157 | $ | 16 | 6.14 | % | 9.94 | % | 5.65 | % | 5.28 | % | |||||||||||||||||||
Total option ARM collateral | 19 | 221 | 218 | 150 | 68 | 33.37 | % | 44.63 | % | 41.82 | % | 25.89 | % | |||||||||||||||||||||||
Total non-agency RMBS | 39 | $ | 398 | $ | 391 | $ | 307 | $ | 84 | 21.30 | % | 29.26 | % | 25.79 | % | 5.28 | % | |||||||||||||||||||
(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, 2010, actual cumulative loan losses in the pools of loans underlying the Bank’s non-agency RMBS portfolio ranged from 0 percent to 6.92 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 pools, 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. | |
(5) | Reflects the label assigned to the securities at the time of issuance. |
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NON-AGENCY RMBS BY COLLATERAL TYPE
Fixed Rate Collateral | ||||
California | 39.1 | % | ||
New York | 5.8 | |||
Florida | 5.7 | |||
Texas | 3.8 | |||
Virginia | 2.8 | |||
All other | 42.8 | |||
100.0 | % | |||
Option ARM Collateral | ||||
California | 61.1 | % | ||
Florida | 10.1 | |||
New York | 3.3 | |||
Nevada | 2.3 | |||
New Jersey | 2.2 | |||
All other | 21.0 | |||
100.0 | % | |||
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Projected | Projected | Projected | ||||||||||||||||||||||||||||||||||||||
Unpaid Principal | Prepayment Rates | Default Rates | Loss Severities | |||||||||||||||||||||||||||||||||||||
Balance at | Weighted | Range | Weighted | Range | Weighted | Range | ||||||||||||||||||||||||||||||||||
Year of Securitization | December 31, 2010 | Average | Low | High | Average | Low | High | Average | Low | High | ||||||||||||||||||||||||||||||
Prime(1) | ||||||||||||||||||||||||||||||||||||||||
2004 | $ | 11,567 | 11.65 | % | 10.43 | % | 14.25 | % | 3.35 | % | 2.70 | % | 4.50 | % | 23.93 | % | 22.32 | % | 30.75 | % | ||||||||||||||||||||
2003 | 87,884 | 30.83 | % | 14.59 | % | 36.84 | % | 0.51 | % | 0.00 | % | 2.78 | % | 8.57 | % | 0.00 | % | 29.94 | % | |||||||||||||||||||||
2000 | 209 | 85.09 | % | 85.09 | % | 85.09 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||||||||||||
Total prime collateral | 99,660 | 28.72 | % | 10.43 | % | 85.09 | % | 8.40 | % | 0.00 | % | 4.50 | % | 10.34 | % | 0.00 | % | 30.75 | % | |||||||||||||||||||||
Alt-A(1) | ||||||||||||||||||||||||||||||||||||||||
2006 | 38,770 | 14.85 | % | 14.85 | % | 14.85 | % | 33.27 | % | 33.27 | % | 33.27 | % | 47.78 | % | 47.78 | % | 47.78 | % | |||||||||||||||||||||
2005 | 235,285 | 10.27 | % | 6.83 | % | 14.80 | % | 54.04 | % | 17.06 | % | 75.02 | % | 39.16 | % | 29.29 | % | 50.67 | % | |||||||||||||||||||||
2004 | 15,673 | 10.28 | % | 8.13 | % | 14.90 | % | 46.00 | % | 15.75 | % | 57.96 | % | 39.06 | % | 37.20 | % | 42.11 | % | |||||||||||||||||||||
2002 | 8,548 | 15.97 | % | 14.27 | % | 19.98 | % | 5.57 | % | 3.40 | % | 10.69 | % | 22.98 | % | 19.20 | % | 31.92 | % | |||||||||||||||||||||
Total Alt-A collateral | 298,276 | 11.03 | % | 6.83 | % | 19.98 | % | 49.53 | % | 3.40 | % | 75.02 | % | 39.81 | % | 19.20 | % | 50.67 | % | |||||||||||||||||||||
Total non-agency RMBS | $ | 397,936 | 15.46 | % | 6.83 | % | 85.09 | % | 37.33 | % | 0.00 | % | 75.02 | % | 32.43 | % | 0.00 | % | 50.67 | % | ||||||||||||||||||||
(1) | The Bank’s non-agency RMBS holdings are classified as prime or Alt-A in the table above based upon the assumptions that were used to analyze the securities. |
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(dollars in thousands)
Hypothetical | ||||||||||||||||||||||||||||||||
Credit Losses | Credit | |||||||||||||||||||||||||||||||
Unpaid | Recorded | Losses Under | Current | |||||||||||||||||||||||||||||
Year of | Collateral | Principal | Carrying | Fair | in Earnings | Stress-Test | Collateral | Credit | ||||||||||||||||||||||||
Securitization | Type | Balance | Value | Value | During 2010 | Scenario(2) | Delinquency(3) | Enhancement(4) | ||||||||||||||||||||||||
Prime | ||||||||||||||||||||||||||||||||
Security #2 | 2005 | Option ARM | $ | 18,451 | $ | 10,033 | $ | 12,308 | $ | 46 | $ | 836 | 49.9 | % | 49.4 | % | ||||||||||||||||
Security #3 | 2006 | Fixed Rate | 38,770 | 25,418 | 31,268 | 1,492 | 2,517 | 13.7 | % | 7.2 | % | |||||||||||||||||||||
Security #4 | 2005 | Option ARM | 12,571 | 6,871 | 7,635 | 24 | 337 | 21.7 | % | 46.5 | % | |||||||||||||||||||||
Security #6 | 2005 | Option ARM | 17,824 | 10,532 | 10,231 | 171 | 728 | 20.8 | % | 25.9 | % | |||||||||||||||||||||
Security #7 | 2004 | Option ARM | 6,891 | 4,233 | 4,429 | 60 | 64 | 21.6 | % | 31.8 | % | |||||||||||||||||||||
Security #8 | 2005 | Option ARM | 10,279 | 6,329 | 6,611 | 13 | 179 | 19.5 | % | 44.5 | % | |||||||||||||||||||||
Security #9 | 2005 | Option ARM | 4,529 | 2,999 | 3,060 | 7 | 10 | 30.3 | % | 44.1 | % | |||||||||||||||||||||
Security #10 | 2005 | Option ARM | 8,025 | 4,980 | 4,980 | 1 | 31 | 41.1 | % | 44.4 | % | |||||||||||||||||||||
Security #11 | 2005 | Option ARM | 10,153 | 7,091 | 7,091 | 1 | 32 | 43.5 | % | 49.4 | % | |||||||||||||||||||||
Security #12 | 2004 | Option ARM | 5,220 | 3,318 | 3,318 | 11 | 33 | 37.2 | % | 36.0 | % | |||||||||||||||||||||
Security #13 | 2005 | Option ARM | 6,543 | 4,382 | 4,382 | 9 | — | 34.2 | % | 46.8 | % | |||||||||||||||||||||
Security #15 | 2005 | Option ARM | 16,228 | 16,228 | 10,520 | — | 1 | 24.3 | % | 42.5 | % | |||||||||||||||||||||
Total Prime | 155,484 | 102,414 | 105,833 | 1,835 | 4,768 | |||||||||||||||||||||||||||
Alt-A(1) | ||||||||||||||||||||||||||||||||
Security #1 | 2005 | Option ARM | 16,554 | 7,941 | 9,847 | 428 | 1,295 | 48.1 | % | 34.3 | % | |||||||||||||||||||||
Security #5 | 2005 | Option ARM | 20,987 | 12,797 | 12,936 | 291 | 1,087 | 48.8 | % | 45.4 | % | |||||||||||||||||||||
Security #14 | 2005 | Fixed Rate | 25,817 | 25,823 | 19,442 | — | 11 | 11.5 | % | 9.9 | % | |||||||||||||||||||||
Total Alt-A | 63,358 | 46,561 | 42,225 | 719 | 2,393 | |||||||||||||||||||||||||||
$ | 218,842 | $ | 148,975 | $ | 148,058 | $ | 2,554 | $ | 7,161 | |||||||||||||||||||||||
(1) | Security #1, Security #5 and Security #14 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, 2010 if the more stressful housing price scenario had been used in the Bank’s OTTI assessment as of December 31, 2010. | |
(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, 2010, actual cumulative loan losses in the pools of loans underlying the securities presented in the table ranged from 1.12 percent to 6.92 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 pools, 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 | ||||||
First quarter 2014 | $ | 500 | 6.00 | % | ||||
First quarter 2014 | 500 | 6.50 | % | |||||
Third quarter 2014 | 700 | 6.50 | % | |||||
Fourth quarter 2014 | 250 | 6.00 | % | |||||
Fourth quarter 2014(1) | 250 | 6.50 | % | |||||
First quarter 2015 | 150 | 6.75 | % | |||||
Second quarter 2015(2) | 250 | 6.50 | % | |||||
Third quarter 2015 | 200 | 6.50 | % | |||||
Third quarter 2015 | 150 | 6.75 | % | |||||
Fourth quarter 2015 | 250 | 6.00 | % | |||||
Fourth quarter 2015(1) | 250 | 7.00 | % | |||||
Second quarter 2016(2) | 250 | 7.00 | % | |||||
$ | 3,700 | |||||||
(1) | These caps are effective beginning in October 2012. | |
(2) | These caps are effective beginning in June 2012. |
(Par value, dollars in millions)
December 31, 2010 | December 31, 2009 | |||||||||||||||
Percentage | Percentage | |||||||||||||||
Balance | of Total | Balance | of Total | |||||||||||||
Single-index floating rate | $ | 13,411 | 43.2 | % | $ | 20,560 | 40.2 | % | ||||||||
Fixed rate, non-callable | 13,023 | 41.9 | 23,371 | 45.7 | ||||||||||||
Callable step-up | 3,001 | 9.6 | 3,473 | 6.8 | ||||||||||||
Fixed rate, callable | 1,560 | 5.0 | 3,277 | 6.4 | ||||||||||||
Conversion | 83 | 0.3 | 365 | 0.7 | ||||||||||||
Callable step-down | — | — | 125 | 0.2 | ||||||||||||
Total par value | $ | 31,078 | 100.0 | % | $ | 51,171 | 100.0 | % | ||||||||
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(dollars in millions)
December 31, 2010 | December 31, 2009 | |||||||||||||||
Contractual Maturity | Amount | Percentage | Amount | Percentage | ||||||||||||
Due in one year or less | $ | 23,403 | 64.6 | % | $ | 39,716 | 66.3 | % | ||||||||
Due after one year through two years | 6,108 | 16.9 | 9,164 | 15.3 | ||||||||||||
Due after two years through three years | 1,465 | 4.0 | 5,569 | 9.3 | ||||||||||||
Due after three years through four years | 1,400 | 3.9 | 1,085 | 1.8 | ||||||||||||
Due after four years through five years | 883 | 2.4 | 1,191 | 2.0 | ||||||||||||
Thereafter | 2,952 | 8.2 | 3,211 | 5.3 | ||||||||||||
Total | $ | 36,211 | 100.0 | % | $ | 59,936 | 100.0 | % | ||||||||
(Par value, dollars in millions)
Percent of | ||||||||
Par Value of | Total ParValue | |||||||
Name | Capital Stock | of Capital Stock | ||||||
Wells Fargo Bank South Central, National Association | $ | 188,859 | 11.7 | % | ||||
Comerica Bank | 127,687 | 7.9 | ||||||
Beal Bank Nevada(1) | 63,584 | 4.0 | ||||||
International Bank of Commerce | 47,999 | 3.0 | ||||||
Southside Bank | 34,712 | 2.2 | ||||||
$ | 462,841 | 28.8 | % | |||||
(1) | Beal Bank Nevada is chartered in Nevada, but maintains its home office in Plano, TX. |
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(dollars in thousands)
Amount Classified as | ||||||||||||
Mandatorily Redeemable | ||||||||||||
Date of Repurchase | Shares | Amount of | Capital Stock at Date of | |||||||||
by the Bank | Repurchased | Repurchase | Repurchase | |||||||||
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 | — | |||||||||
April 30, 2010 | 704,308 | 70,431 | — | |||||||||
July 30, 2010 | 513,708 | 51,371 | — | |||||||||
October 29, 2010 | 1,322,278 | 132,228 | — | |||||||||
January 31, 2011 | 1,024,586 | 102,459 | — |
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(dollars in millions)
December 31, 2010 | December 31, 2009 | |||||||||||||||
Amount | Percent | Amount | Percent | |||||||||||||
Commercial banks | $ | 1,256 | 78 | % | $ | 2,200 | 87 | % | ||||||||
Thrifts | 218 | 14 | 213 | 8 | ||||||||||||
Credit unions | 101 | 6 | 96 | 4 | ||||||||||||
Insurance companies | 26 | 2 | 23 | 1 | ||||||||||||
Total capital stock classified as capital | 1,601 | 100 | 2,532 | 100 | ||||||||||||
Mandatorily redeemable capital stock | 8 | — | 9 | — | ||||||||||||
Total regulatory capital stock | $ | 1,609 | 100 | % | $ | 2,541 | 100 | % | ||||||||
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(In millions of dollars)
Short-Cut | Long-Haul | Economic | ||||||||||||||
Method | Method | Hedges | Total | |||||||||||||
December 31, 2010 | ||||||||||||||||
Advances | $ | 6,786 | $ | 1,835 | $ | 169 | $ | 8,790 | ||||||||
Investments | — | — | 3,700 | 3,700 | ||||||||||||
Consolidated obligation bonds | — | 14,650 | 1,600 | 16,250 | ||||||||||||
Consolidated obligation discount notes | — | — | 913 | 913 | ||||||||||||
Balance sheet | — | — | 6,700 | 6,700 | ||||||||||||
Intermediary positions | — | — | 44 | 44 | ||||||||||||
Total notional balance | $ | 6,786 | $ | 16,485 | $ | 13,126 | $ | 36,397 | ||||||||
December 31, 2009 | ||||||||||||||||
Advances | $ | 9,397 | $ | 1,556 | $ | 15 | $ | 10,968 | ||||||||
Investments | — | — | 3,750 | 3,750 | ||||||||||||
Consolidated obligation bonds | 95 | 27,519 | 8,195 | 35,809 | ||||||||||||
Consolidated obligation discount notes | — | — | 6,414 | 6,414 | ||||||||||||
Balance sheet | — | — | 9,700 | 9,700 | ||||||||||||
Intermediary positions | — | — | 24 | 24 | ||||||||||||
Total notional balance | $ | 9,492 | $ | 29,075 | $ | 28,098 | $ | 66,665 | ||||||||
December 31, 2008 | ||||||||||||||||
Advances | $ | 9,959 | $ | 1,164 | $ | 5 | $ | 11,128 | ||||||||
Investments | — | 40 | 3,500 | 3,540 | ||||||||||||
Consolidated obligation bonds | 95 | 37,795 | 110 | 38,000 | ||||||||||||
Consolidated obligation discount notes | — | — | 5,270 | 5,270 | ||||||||||||
Balance sheet | — | — | 12,200 | 12,200 | ||||||||||||
Intermediary positions | — | — | 7 | 7 | ||||||||||||
Total notional balance | $ | 10,054 | $ | 38,999 | $ | 21,092 | $ | 70,145 | ||||||||
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(Dollars in millions)
Hedge | Notional Amount | |||||||||||
Accounting | at December 31, | |||||||||||
Hedged Item / Hedging Instrument | Hedging Objective | Designation | 2010 | 2009 | ||||||||
Advances | ||||||||||||
Pay fixed, receive floating interest rate swap (without options) | Converts the advance’s fixed rate to a variable rate index. | Fair Value Economic | $ | 5,165 1 | $ | 6,985 — | ||||||
Pay fixed, receive floating interest rate swap (with options) | Converts the advance’s fixed rate to a variable rate index and offsets option risk in the advance. | Fair Value Economic | 3,373 5 | 3,893 5 | ||||||||
Interest rate cap | Offsets the interest rate cap embedded in a variable rate advance. | Fair Value Economic | 83 13 | 76 10 | ||||||||
Interest rate swaption | Provides the option to enter into an interest rate swap to offset interest rate risk associated with an optional advance commitment. | Economic | 150 | — | ||||||||
Investments | ||||||||||||
Interest rate caps | Offsets the interest rate caps embedded in a portfolio of variable rate | Economic | 3,700 | 3,750 | ||||||||
investment securities. | ||||||||||||
Consolidated Obligation Bonds | ||||||||||||
Receive fixed, pay floating interest rate swap (without options) | Converts the bond’s fixed rate to a variable rate index. | Fair Value | 10,116 | 20,184 | ||||||||
Receive fixed, pay floating interest rate swap (with options) | Converts the bond’s fixed rate to a variable rate index and offsets option risk in the bond. | Fair Value | 4,296 | 6,990 | ||||||||
Receive floating with embedded features, pay floating interest rate swap (callable) | Offsets the interest rate cap and option risk embedded in the bond. | Fair Value | 238 | 440 | ||||||||
Receive floating, pay floating basis swap | Reduces interest rate sensitivity and repricing gaps by converting the bond’s variable rate to a different variable rate index. | Economic | 1,600 | 8,195 | ||||||||
Consolidated Obligation Discount Notes | ||||||||||||
Receive fixed, pay floating interest rate swap | Converts the discount note’s fixed rate to a variable rate index. | Economic | 913 | 6,413 | ||||||||
Balance Sheet | ||||||||||||
Pay floating, receive floating basis swap | To reduce interest rate sensitivity and repricing gaps by converting the asset or liability’s variable rate to the same variable rate index as the funding source or asset being funded. | Economic | 6,700 | 9,700 | ||||||||
Intermediary Positions | ||||||||||||
Pay fixed, receive floating interest rate swap, and receive fixed, pay floating interest rate swap | To provide interest rate swaps to members and to offset these interest rate swaps by executing interest rate swaps with the Bank’s derivative counterparties. | Economic | 44 | 24 | ||||||||
Total | $ | 36,397 | $ | 66,665 |
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(Dollars in millions)
Consolidated | Consolidated | Optional | ||||||||||||||||||||||||||
Obligation | Obligation | Advance | Balance | |||||||||||||||||||||||||
Advances | Investments | Bonds | Discount Notes | Commitments | Sheet | Total | ||||||||||||||||||||||
Year ended December 31, 2010 | ||||||||||||||||||||||||||||
Amortization/accretion of hedging activities in net interest income(1) | $ | 1 | $ | — | $ | (27 | ) | $ | — | $ | — | $ | — | $ | (26 | ) | ||||||||||||
Net interest settlements included in net interest income(2) | (279 | ) | — | 420 | — | — | — | 141 | ||||||||||||||||||||
Net gain (loss) on derivatives and hedging activities | ||||||||||||||||||||||||||||
Net losses on fair value hedges | (1 | ) | — | — | — | — | — | (1 | ) | |||||||||||||||||||
Net gains (losses) on economic hedges | — | (32 | ) | (8 | ) | (1 | ) | 3 | 2 | (36 | ) | |||||||||||||||||
Net interest settlements on economic hedges | — | — | 12 | 5 | — | 2 | 19 | |||||||||||||||||||||
Total net gain (loss) on derivatives and hedging activities | (1 | ) | (32 | ) | 4 | 4 | 3 | 4 | (18 | ) | ||||||||||||||||||
Net impact of derivatives and hedging activities | (279 | ) | (32 | ) | 397 | 4 | 3 | 4 | 97 | |||||||||||||||||||
Net loss on hedged financial instruments held at fair value | — | — | — | — | (3 | ) | — | (3 | ) | |||||||||||||||||||
$ | (279 | ) | $ | (32 | ) | $ | 397 | $ | 4 | $ | — | $ | 4 | $ | 94 | |||||||||||||
Year ended December 31, 2009 | ||||||||||||||||||||||||||||
Amortization/accretion of hedging activities in net interest income(1) | $ | (5 | ) | $ | — | $ | (11 | ) | $ | — | $ | — | $ | — | $ | (16 | ) | |||||||||||
Net interest settlements included in net interest income(2) | (293 | ) | — | 471 | — | — | — | 178 | ||||||||||||||||||||
Net gain (loss) on derivatives and hedging activities | ||||||||||||||||||||||||||||
Net gains (losses) on fair value hedges | (3 | ) | — | 62 | — | — | — | 59 | ||||||||||||||||||||
Net gains (losses) on economic hedges | — | 14 | 10 | (7 | ) | — | 9 | 26 | ||||||||||||||||||||
Net interest settlements on economic hedges | — | — | 15 | 27 | — | 66 | 108 | |||||||||||||||||||||
Total net gain (loss) on derivatives and hedging activities | (3 | ) | 14 | 87 | 20 | — | 75 | 193 | ||||||||||||||||||||
Net impact of derivatives and hedging activities | $ | (301 | ) | $ | 14 | $ | 547 | $ | 20 | $ | — | $ | 75 | $ | 355 | |||||||||||||
Year ended December 31, 2008 | ||||||||||||||||||||||||||||
Amortization/accretion of hedging activities in net interest income(1) | $ | (2 | ) | $ | — | $ | 6 | $ | — | $ | — | $ | — | $ | 4 | |||||||||||||
Net interest settlements included in net interest income(2) | (84 | ) | (19 | ) | 218 | — | — | — | 115 | |||||||||||||||||||
Net gain (loss) on derivatives and hedging activities | ||||||||||||||||||||||||||||
Net gains (losses) on fair value hedges | 3 | 4 | (55 | ) | — | — | — | (48 | ) | |||||||||||||||||||
Net gains (losses) on economic hedges | — | (1 | ) | (1 | ) | 9 | — | 42 | 49 | |||||||||||||||||||
Net interest settlements on economic hedges | — | — | 1 | (2 | ) | — | 7 | 6 | ||||||||||||||||||||
Total net gain (loss) on derivatives and hedging activities | 3 | 3 | (55 | ) | 7 | — | 49 | 7 | ||||||||||||||||||||
Net impact of derivatives and hedging activities | $ | (83 | ) | $ | (16 | ) | $ | 169 | $ | 7 | $ | — | $ | 49 | $ | 126 | ||||||||||||
(1) | Represents the amortization/accretion of hedging fair value adjustments for both open and closed hedge positions. | |
(2) | Represents interest income/expense on derivatives included in net interest income. |
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(Dollars in millions)
Maximum | Cash | ||||||||||||||||||||
Credit | Number of | Notional | Credit | Collateral | Net Credit | ||||||||||||||||
Rating(1) | Counterparties | Principal(2) | Exposure | Due(3) | Exposure | ||||||||||||||||
December 31, 2010 | |||||||||||||||||||||
Aaa | 1 | $ | 234.0 | $ | 3.8 | $ | 3.8 | $ | — | ||||||||||||
Aa(4) | 10 | 28,790.3 | 29.2 | 28.1 | 1.1 | ||||||||||||||||
A(5) | 3 | 7,350.7 | 1.2 | 1.1 | 0.1 | ||||||||||||||||
14 | 36,375.0 | $ | 34.2 | $ | 33.0 | $ | 1.2 | ||||||||||||||
Member institutions(6) | 5 | 22.1 | |||||||||||||||||||
Total | 19 | $ | 36,397.1 | ||||||||||||||||||
December 31, 2009 | |||||||||||||||||||||
Aaa | 1 | $ | 543.0 | $ | — | $ | — | $ | — | ||||||||||||
Aa(4) | 10 | 51,897.1 | 27.5 | 25.8 | 1.7 | ||||||||||||||||
A(5) | 4 | 14,212.7 | 22.2 | 22.2 | — | ||||||||||||||||
15 | 66,652.8 | $ | 49.7 | $ | 48.0 | $ | 1.7 | ||||||||||||||
Member institutions(6) | 3 | 12.1 | |||||||||||||||||||
Total | 18 | $ | 66,664.9 | ||||||||||||||||||
(1) | Credit ratings shown in the table are obtained from Moody’s and are as of December 31, 2010 and December 31, 2009, respectively. | |
(2) | Includes amounts that had not settled as of December 31, 2010 and December 31, 2009. | |
(3) | Amount of collateral to which the Bank had contractual rights under counterparty credit agreements based on December 31, 2010 and December 31, 2009 credit exposures. Cash collateral totaling $33.0 million and $48.0 million was delivered under these agreements in early January 2011 and early January 2010, respectively. | |
(4) | The figures for Aa-rated counterparties as of December 31, 2010 and December 31, 2009 include transactions with a counterparty that is affiliated with a member institution. Transactions with this counterparty had an aggregate notional principal of $1.8 billion and $753 million as of December 31, 2010 and December 31, 2009, respectively. These transactions represented a maximum credit exposure of $4.9 million and $0.3 million to the Bank as of December 31, 2010 and December 31, 2009, respectively. | |
(5) | The figures for A-rated counterparties as of December 31, 2010 and December 31, 2009 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 $4.5 billion and $3.2 billion as of December 31, 2010 and December 31, 2009, respectively. These transactions represented a maximum credit exposure of $1.1 million and $14.1 million as of December 31, 2010 and December 31, 2009. | |
(6) | This product offering and the collateral provisions associated therewith are discussed in the paragraph below. |
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(Dollars in millions)
For the year ended December 31, | ||||||||||||||||||||||||||||||||||||
2010 | 2009 | 2008 | ||||||||||||||||||||||||||||||||||
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) | $ | 185 | $ | — | 0.19 | % | $ | 335 | $ | 1 | 0.20 | % | $ | 174 | $ | 3 | 1.69 | % | ||||||||||||||||||
Federal funds sold(c) | 3,831 | 6 | 0.15 | % | 3,908 | 5 | 0.13 | % | 4,946 | 96 | 1.94 | % | ||||||||||||||||||||||||
Investments | ||||||||||||||||||||||||||||||||||||
Trading | 335 | — | 0.13 | % | 3 | — | — | 3 | — | — | ||||||||||||||||||||||||||
Available-for-sale(e) | — | — | — | 28 | — | 1.70 | % | 331 | 10 | 3.13 | % | |||||||||||||||||||||||||
Held-to-maturity(e) | 10,257 | 135 | 1.31 | % | 11,901 | 150 | 1.26 | % | 10,003 | 349 | 3.49 | % | ||||||||||||||||||||||||
Advances(f) | 38,123 | 326 | 0.85 | % | 53,536 | 665 | 1.24 | % | 58,671 | 1,816 | 3.10 | % | ||||||||||||||||||||||||
Mortgage loans held for portfolio | 235 | 13 | 5.52 | % | 292 | 16 | 5.51 | % | 353 | 20 | 5.60 | % | ||||||||||||||||||||||||
Total earning assets | 52,966 | 480 | 0.91 | % | 70,003 | 837 | 1.20 | % | 74,481 | 2,294 | 3.08 | % | ||||||||||||||||||||||||
Cash and due from banks | 318 | 102 | 80 | |||||||||||||||||||||||||||||||||
Other assets | 229 | 408 | 414 | |||||||||||||||||||||||||||||||||
Derivatives netting adjustment(b) | (308 | ) | (458 | ) | (330 | ) | ||||||||||||||||||||||||||||||
Fair value adjustment on available-for-sale securities(e) | — | — | (4 | ) | ||||||||||||||||||||||||||||||||
Adjustment for net non-credit portion of other-than-temporary impairments on held-to-maturity securities(e) | (62 | ) | (37 | ) | — | |||||||||||||||||||||||||||||||
Total assets | $ | 53,143 | 480 | 0.90 | % | $ | 70,018 | 837 | 1.20 | % | $ | 74,641 | 2,294 | 3.07 | % | |||||||||||||||||||||
Liabilities and Capital | ||||||||||||||||||||||||||||||||||||
Interest-bearing deposits(b) | $ | 1,294 | 1 | 0.05 | % | $ | 1,445 | 1 | 0.10 | % | $ | 2,965 | 58 | 1.97 | % | |||||||||||||||||||||
Consolidated obligations | ||||||||||||||||||||||||||||||||||||
Bonds | 44,269 | 234 | 0.53 | % | 50,424 | 553 | 1.10 | % | 49,110 | 1,564 | 3.18 | % | ||||||||||||||||||||||||
Discount notes | 4,794 | 11 | 0.22 | % | 14,752 | 207 | 1.40 | % | 18,851 | 521 | 2.77 | % | ||||||||||||||||||||||||
Mandatorily redeemable capital stock and other borrowings | 8 | — | 0.43 | % | 58 | — | 0.15 | % | 68 | 1 | 2.02 | % | ||||||||||||||||||||||||
Total interest-bearing liabilities | 50,365 | 246 | 0.49 | % | 66,679 | 761 | 1.14 | % | 70,994 | 2,144 | 3.02 | % | ||||||||||||||||||||||||
Other liabilities | 612 | 785 | 822 | |||||||||||||||||||||||||||||||||
Derivatives netting adjustment(b) | (308 | ) | (458 | ) | (330 | ) | ||||||||||||||||||||||||||||||
Total liabilities | 50,669 | 246 | 0.48 | % | 67,006 | 761 | 1.14 | % | 71,486 | 2,144 | 3.00 | % | ||||||||||||||||||||||||
Total capital | 2,474 | 3,012 | 3,155 | |||||||||||||||||||||||||||||||||
Total liabilities and capital | $ | 53,143 | 0.46 | % | $ | 70,018 | 1.09 | % | $ | 74,641 | 2.87 | % | ||||||||||||||||||||||||
Net interest income | $ | 234 | $ | 76 | $ | 150 | ||||||||||||||||||||||||||||||
Net interest margin | 0.44 | % | 0.11 | % | 0.20 | % | ||||||||||||||||||||||||||||||
Net interest spread | 0.42 | % | 0.06 | % | 0.06 | % | ||||||||||||||||||||||||||||||
Impact of non-interest bearing funds | 0.02 | % | 0.05 | % | 0.14 | % | ||||||||||||||||||||||||||||||
(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) | 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, 2010, 2009 and 2008 in the table above include $185 million, $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, 2010, 2009 and 2008 in the table above include $123 million, $280 million, and $200 million, respectively, which are classified as derivative assets/liabilities on the statements of condition. | |
(c) | Includes overnight federal funds sold to other FHLBanks. | |
(d) | Interest income/expense and average rates include the effects of associated 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 on economic hedge derivatives totaled $18.7 million, $107.6 million, and $5.0 million for the years ended December 31, 2010, 2009 and 2008, 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)
2010 vs. 2009 | 2009 vs. 2008 | |||||||||||||||||||||||
Increase (Decrease) Due To | Increase (Decrease) Due To | |||||||||||||||||||||||
Volume | Rate | Total | Volume | Rate | Total | |||||||||||||||||||
Interest income | ||||||||||||||||||||||||
Interest-bearing deposits | $ | — | $ | (1 | ) | $ | (1 | ) | $ | 2 | $ | (4 | ) | $ | (2 | ) | ||||||||
Federal funds sold | — | 1 | 1 | (17 | ) | (74 | ) | (91 | ) | |||||||||||||||
Investments | ||||||||||||||||||||||||
Available-for-sale | — | — | — | (7 | ) | (3 | ) | (10 | ) | |||||||||||||||
Held-to-maturity | (21 | ) | 6 | (15 | ) | 57 | (256 | ) | (199 | ) | ||||||||||||||
Advances | (163 | ) | (176 | ) | (339 | ) | (147 | ) | (1,004 | ) | (1,151 | ) | ||||||||||||
Mortgage loans held for portfolio | (3 | ) | — | (3 | ) | (3 | ) | (1 | ) | (4 | ) | |||||||||||||
Total interest income | (187 | ) | (170 | ) | (357 | ) | (115 | ) | (1,342 | ) | (1,457 | ) | ||||||||||||
Interest expense | ||||||||||||||||||||||||
Interest-bearing deposits | — | — | — | (20 | ) | (37 | ) | (57 | ) | |||||||||||||||
Consolidated obligations | ||||||||||||||||||||||||
Bonds | (61 | ) | (258 | ) | (319 | ) | 40 | (1,051 | ) | (1,011 | ) | |||||||||||||
Discount notes | (87 | ) | (109 | ) | (196 | ) | (96 | ) | (218 | ) | (314 | ) | ||||||||||||
Mandatorily redeemable capital stock and other borrowings | — | — | — | — | (1 | ) | (1 | ) | ||||||||||||||||
Total interest expense | (148 | ) | (367 | ) | (515 | ) | (76 | ) | (1,307 | ) | (1,383 | ) | ||||||||||||
Changes in net interest income | $ | (39 | ) | $ | 197 | $ | 158 | $ | (39 | ) | $ | (35 | ) | $ | (74 | ) | ||||||||
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(In thousands of dollars)
2010 | 2009 | 2008 | ||||||||||
Net interest income (expense) associated with: | ||||||||||||
Economic hedge derivatives related to available-for-sale securities | $ | — | $ | — | $ | (87 | ) | |||||
Economic hedge derivatives related to consolidated obligation federal funds floater bonds | 12,145 | 14,919 | (61 | ) | ||||||||
Economic hedge derivatives related to other consolidated obligation bonds | — | — | 1,328 | |||||||||
Economic hedge derivatives related to consolidated obligation discount notes | 5,018 | 27,066 | (2,300 | ) | ||||||||
Stand-alone economic hedge derivatives (basis swaps) | 1,669 | 65,939 | 6,579 | |||||||||
Stand-alone economic hedge derivatives (forward rate agreements) | — | (304 | ) | — | ||||||||
Member/offsetting swaps | 5 | 4 | — | |||||||||
Economic hedge derivatives related to advances | (101 | ) | (60 | ) | (503 | ) | ||||||
Total net interest income associated with economic hedge derivatives | 18,736 | 107,564 | 4,956 | |||||||||
Gains (losses) related to economic hedge derivatives | ||||||||||||
Gains related to stand-alone derivatives (basis swaps) | 2,033 | 8,994 | 42,530 | |||||||||
Gains (losses) on federal funds floater swaps | (8,176 | ) | 10,337 | 75 | ||||||||
Gains (losses) on interest rate caps related to held-to-maturity securities | (31,930 | ) | 14,316 | (2,243 | ) | |||||||
Gains (losses) on discount note swaps | (1,324 | ) | (7,395 | ) | 9,216 | |||||||
Net gains on member/offsetting swaps | 36 | 30 | 16 | |||||||||
Gains on swaptions related to optional advance commitments | 3,248 | — | — | |||||||||
Gains (losses) related to other economic hedge derivatives (advance/AFS(2)/CO(1) swaps and advance caps) | 59 | (36 | ) | 357 | ||||||||
Total fair value gains (losses) related to economic hedge derivatives | (36,054 | ) | 26,246 | 49,951 | ||||||||
Gains (losses) related to fair value hedge ineffectiveness | ||||||||||||
Net gains (losses) on advances and associated hedges | (744 | ) | (3,061 | ) | 3,063 | |||||||
Net gains (losses) on CO(1)bonds and associated hedges | 323 | 62,462 | (55,368 | ) | ||||||||
Net gains (losses) on AFS(2) securities and associated hedges | — | (102 | ) | 4,077 | ||||||||
Total fair value hedge ineffectiveness | (421 | ) | 59,299 | (48,228 | ) | |||||||
Net gains (losses) on unhedged trading securities | 459 | 586 | (627 | ) | ||||||||
Credit component of other-than-temporary impairment losses on held-to-maturity securities | (2,554 | ) | (4,022 | ) | — | |||||||
Losses on other liabilities carried at fair value under the fair value option (optional advance commitments) | (3,575 | ) | — | — | ||||||||
Gains on early extinguishment of debt | 440 | 553 | 8,794 | |||||||||
Net realized gains (losses) on sales of AFS(2) securities | — | 843 | (919 | ) | ||||||||
Service fees | 2,818 | 3,074 | 3,510 | |||||||||
Other, net | 5,892 | 6,212 | 5,143 | |||||||||
Total other | 3,480 | 7,246 | 15,901 | |||||||||
Total other income (loss) | $ | (14,259 | ) | $ | 200,355 | $ | 22,580 | |||||
(1) | Consolidated obligations | |
(2) | Available-for-sale |
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(In millions of dollars)
Payments due by Period | ||||||||||||||||||||
< 1 Year | 1-3 Years | 3-5 Years | > 5 Years | Total | ||||||||||||||||
Long-term debt | $ | 18,269.7 | $ | 7, 572.9 | $ | 2,283.7 | $ | 2,951.8 | $ | 31,078.1 | ||||||||||
Mandatorily redeemable capital stock | 0.9 | 3.7 | 3.5 | — | 8.1 | |||||||||||||||
Operating leases | 0.4 | 0.4 | — | — | 0.8 | |||||||||||||||
Purchase obligations | ||||||||||||||||||||
Advances | 49.8 | 150.0 | — | — | 199.8 | |||||||||||||||
Letters of credit | 4,142.6 | 362.0 | 70.8 | 19.9 | 4,595.3 | |||||||||||||||
Pension and post-retirement | 6.3 | 0.3 | 0.3 | 0.7 | 7.6 | |||||||||||||||
Total contractual obligations | $ | 22,469.7 | $ | 8,089.3 | $ | 2,358.3 | $ | 2,972.4 | $ | 35,889.7 | ||||||||||
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December 31, 2010 | December 31, 2009 | |||||||||||||||
Required | Actual | Required | Actual | |||||||||||||
Risk-based capital | $ | 403 | $ | 2,061 | $ | 507 | $ | 2,897 | ||||||||
Total capital | $ | 1,588 | $ | 2,061 | $ | 2,604 | $ | 2,897 | ||||||||
Total capital-to-assets ratio | 4.00 | % | 5.19 | % | 4.00 | % | 4.45 | % | ||||||||
Leverage capital | $ | 1,985 | $ | 3,092 | $ | 3,255 | $ | 4,346 | ||||||||
Leverage capital-to-assets ratio | 5.00 | % | 7.79 | % | 5.00 | % | 6.68 | % |
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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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Carrying Value at December 31, | ||||||||||||
2010 | 2009 | 2008 | ||||||||||
Trading securities | ||||||||||||
Mutual funds related to employee benefit plans | $ | 5,317 | $ | 4,034 | $ | 3,370 | ||||||
Total trading securities | 5,317 | 4,034 | 3,370 | |||||||||
Available-for-sale mortgage-backed securities | ||||||||||||
Government-sponsored enterprises | — | — | 98,884 | |||||||||
Non-agency commercial mortgage-backed security | — | — | 28,648 | |||||||||
Total available-for-sale mortgage-backed securities | — | — | 127,532 | |||||||||
Held-to-maturity securities | ||||||||||||
U.S. government guaranteed obligations | 51,946 | 58,812 | 65,888 | |||||||||
State or local housing agency obligations | — | 2,945 | 3,785 | |||||||||
Mortgage-backed securities | ||||||||||||
U.S. government guaranteed obligations | 20,038 | 24,075 | 28,632 | |||||||||
Government-sponsored enterprises | 8,096,361 | 10,837,865 | 10,629,290 | |||||||||
Non-agency residential mortgage-backed securities | 328,084 | 444,798 | 676,804 | |||||||||
Non-agency commercial mortgage-backed securities | — | 56,057 | 297,105 | |||||||||
Total held-to-maturity mortgage-backed securities | 8,444,483 | 11,362,795 | 11,631,831 | |||||||||
Total held-to-maturity securities | 8,496,429 | 11,424,552 | 11,701,504 | |||||||||
Total securities | 8,501,746 | 11,428,586 | 11,832,406 | |||||||||
Interest-bearing deposits | 208 | 233 | 3,683,609 | |||||||||
Federal funds sold | 3,767,000 | 2,063,000 | 1,872,000 | |||||||||
Total investments | $ | 12,268,954 | $ | 13,491,819 | $ | 17,388,015 | ||||||
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(dollars in thousands)
Due In One | Due After One Year | Due After Five Years | Due After | |||||||||||||||||
Year Or Less | Through Five Years | Through Ten Years | Ten Years | Total | ||||||||||||||||
Trading securities | ||||||||||||||||||||
Mutual fund investments | $ | 5,317 | $ | — | $ | — | $ | — | $ | 5,317 | ||||||||||
Total trading securities | 5,317 | — | — | — | 5,317 | |||||||||||||||
Held-to-maturity securities | ||||||||||||||||||||
U.S. government guaranteed obligations | — | 2,555 | 27,871 | 21,520 | 51,946 | |||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||
U.S. government guaranteed obligations | — | — | 2,542 | 17,496 | 20,038 | |||||||||||||||
Government-sponsored enterprises | — | 1,042 | 76,334 | 8,018,985 | 8,096,361 | |||||||||||||||
Non-agency residential mortgage-backed securities | — | — | 73,350 | 254,734 | 328,084 | |||||||||||||||
Total held-to-maturity securities | — | 3,597 | 180,097 | 8,312,735 | 8,496,429 | |||||||||||||||
Total securities | 5,317 | 3,597 | 180,097 | 8,312,735 | 8,501,746 | |||||||||||||||
Interest-bearing deposits | 208 | — | — | — | 208 | |||||||||||||||
Federal funds sold | 3,767,000 | — | — | — | 3,767,000 | |||||||||||||||
Total investments | $ | 3,772,525 | $ | 3,597 | $ | 180,097 | $ | 8,312,735 | $ | 12,268,954 | ||||||||||
Yields | ||||||||||||||||||||
Trading securities | 1.26 | % | — | % | — | % | — | % | 1.26 | % | ||||||||||
Held-to-maturity securities | ||||||||||||||||||||
U.S. government guaranteed obligations | — | 2.97 | 0.75 | 0.54 | 0.77 | |||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||
U.S. government guaranteed obligations | — | — | 0.67 | 0.72 | 0.71 | |||||||||||||||
Government-sponsored enterprises | — | 0.57 | 0.64 | 0.85 | 0.85 | |||||||||||||||
Non-agency residential mortgage-backed securities | — | — | 0.71 | 0.58 | 0.61 | �� | ||||||||||||||
Yield on held-to-maturity securities | — | 2.27 | 0.69 | 0.84 | 0.84 | |||||||||||||||
Yield on total securities | 1.26 | % | 2.27 | % | 0.69 | % | 0.84 | % | 0.84 | % | ||||||||||
(In thousands of dollars)
Year ended December 31, | ||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||
Real estate mortgages | $ | 207,168 | $ | 259,617 | $ | 327,059 | $ | 381,468 | $ | 449,626 | ||||||||||
Nonperforming real estate mortgages | $ | 1,254 | $ | 1,115 | $ | 370 | $ | 312 | $ | 466 | ||||||||||
Real estate mortgages past due 90 days or more and still accruing interest(1) | $ | 857 | $ | 2,515 | $ | 2,295 | $ | 2,854 | $ | 4,557 | ||||||||||
Interest contractually due during the year on nonaccrual loans | $ | 69 | ||||||||||||||||||
Interest actually received during the year on nonaccrual loans | $ | 24 | ||||||||||||||||||
(1) | Only government guaranteed/insured loans continue to accrue interest after they become 90 days or more past due. |
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(In thousands of dollars)
2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||
Balance, beginning of year | $ | 240 | $ | 261 | $ | 263 | $ | 267 | $ | 294 | ||||||||||
Chargeoffs | (15 | ) | (21 | ) | (2 | ) | (4 | ) | (27 | ) | ||||||||||
Balance, end of year | $ | 225 | $ | 240 | $ | 261 | $ | 263 | $ | 267 | ||||||||||
Midwest (IA, IL, IN, MI, MN, ND, NE, OH, SD, and WI) | 12.2 | % | ||
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) | 72.2 | |||
West (AK, CA, GU, HI, ID, MT, NV, OR, WA, and WY) | 1.9 | |||
100.0 | % | |||
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(In millions of dollars)
December 31, | ||||||||||||
2010 | 2009 | 2008 | ||||||||||
Consolidated obligation bonds | ||||||||||||
Outstanding at year end | $ | 1,250 | $ | 13,067 | $ | 27,949 | ||||||
Weighted average rate at year end | 0.37 | % | 0.59 | % | 2.57 | % | ||||||
Daily average outstanding for the year | $ | 5,029 | $ | 16,787 | $ | 19,686 | ||||||
Weighted average rate for the year | 0.47 | % | 1.31 | % | 2.64 | % | ||||||
Highest outstanding at any month end | $ | 13,120 | $ | 22,138 | $ | 28,664 | ||||||
Consolidated obligation discount notes | ||||||||||||
Outstanding at year end | $ | 5,132 | $ | 8,762 | $ | 16,745 | ||||||
Weighted average rate at year end | 0.15 | % | 0.27 | % | 2.65 | % | ||||||
Daily average outstanding for the year | $ | 4,794 | $ | 14,752 | $ | 18,851 | ||||||
Weighted average rate for the year | 0.22 | % | 1.40 | % | 2.77 | % | ||||||
Highest outstanding at any month end | $ | 7,062 | $ | 21,926 | $ | 23,084 |
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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 2009 | $ | 2.836 | $ | 2.520 | -11.14 | % | $ | 2.947 | 3.91 | % | $ | 2.700 | -4.80 | % | $ | 2.908 | 2.54 | % | ||||||||||||||||||
January 2010 | 2.727 | 2.466 | -9.57 | % | 2.829 | 3.74 | % | 2.620 | -3.92 | % | 2.795 | 2.49 | % | |||||||||||||||||||||||
February 2010 | 2.828 | 2.528 | -10.61 | % | 2.967 | 4.92 | % | 2.697 | -4.63 | % | 2.920 | 3.25 | % | |||||||||||||||||||||||
March 2010 | 2.743 | 2.433 | -11.30 | % | 2.873 | 4.74 | % | 2.608 | -4.92 | % | 2.827 | 3.06 | % | |||||||||||||||||||||||
April 2010 | 2.627 | 2.367 | -9.90 | % | 2.738 | 4.23 | % | 2.516 | -4.23 | % | 2.701 | 2.82 | % | |||||||||||||||||||||||
May 2010 | 2.590 | 2.378 | -8.19 | % | 2.667 | 2.97 | % | 2.504 | -3.32 | % | 2.647 | 2.20 | % | |||||||||||||||||||||||
June 2010 | 2.760 | 2.506 | -9.20 | % | 2.909 | 5.40 | % | 2.651 | -3.95 | % | 2.849 | 3.22 | % | |||||||||||||||||||||||
July 2010 | 2.762 | 2.546 | -7.82 | % | 2.909 | 5.32 | % | 2.668 | -3.40 | % | 2.847 | 3.08 | % | |||||||||||||||||||||||
August 2010 | 2.691 | 2.527 | -6.09 | % | 2.823 | 4.91 | % | 2.622 | -2.56 | % | 2.771 | 2.97 | % | |||||||||||||||||||||||
September 2010 | 2.379 | 2.207 | -7.23 | % | 2.512 | 5.59 | % | 2.304 | -3.15 | % | 2.453 | 3.11 | % | |||||||||||||||||||||||
October 2010 | 2.099 | 1.933 | -7.91 | % | 2.223 | 5.91 | % | 2.024 | -3.57 | % | 2.162 | 3.00 | % | |||||||||||||||||||||||
November 2010 | 2.182 | 2.009 | -7.93 | % | 2.311 | 5.91 | % | 2.105 | -3.53 | % | 2.246 | 2.93 | % | |||||||||||||||||||||||
December 2010 | 2.187 | 1.991 | -8.96 | % | 2.324 | 6.26 | % | 2.099 | -4.02 | % | 2.261 | 3.38 | % |
(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 is calculated 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 2009 | 0.46 | (0.31 | ) | 0.15 | 3.65 | 6.04 | 7.90 | 2.49 | 1.73 | |||||||||||||||||||||||
January 2010 | 0.44 | (0.33 | ) | 0.11 | 2.93 | 5.34 | 7.00 | 1.86 | 0.98 | |||||||||||||||||||||||
February 2010 | 0.49 | (0.33 | ) | 0.16 | 3.75 | 5.86 | 7.20 | 2.58 | 1.19 | |||||||||||||||||||||||
March 2010 | 0.50 | (0.33 | ) | 0.17 | 4.09 | 6.22 | 7.86 | 3.02 | 1.81 | |||||||||||||||||||||||
April 2010 | 0.48 | (0.33 | ) | 0.15 | 3.34 | 5.37 | 7.09 | 2.42 | 1.20 | |||||||||||||||||||||||
May 2010 | 0.44 | (0.35 | ) | 0.09 | 2.36 | 4.39 | 6.08 | 1.53 | 0.50 | |||||||||||||||||||||||
June 2010 | 0.47 | (0.32 | ) | 0.15 | 3.44 | 4.99 | 6.33 | 3.26 | 2.35 | |||||||||||||||||||||||
July 2010 | 0.47 | (0.31 | ) | 0.16 | 3.28 | 4.06 | 5.45 | 3.16 | 1.73 | |||||||||||||||||||||||
August 2010 | 0.46 | (0.33 | ) | 0.13 | 2.64 | 3.10 | 4.28 | 3.06 | 1.28 | |||||||||||||||||||||||
September 2010 | 0.44 | (0.32 | ) | 0.12 | 3.19 | 3.83 | 4.97 | 3.53 | 1.70 | |||||||||||||||||||||||
October 2010 | 0.52 | (0.36 | ) | 0.16 | 3.52 | 4.06 | 5.36 | 4.06 | 2.14 | |||||||||||||||||||||||
November 2010 | 0.55 | (0.39 | ) | 0.16 | 3.22 | 4.20 | 5.31 | 3.52 | 3.14 | |||||||||||||||||||||||
December 2010 | 0.56 | (0.39 | ) | 0.17 | 3.62 | 4.77 | 5.84 | 3.03 | 3.55 |
(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 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, 2010 | ||||||||||||||||||||
First | Second | Third | Fourth | |||||||||||||||||
Quarter | Quarter | Quarter | Quarter | Total | ||||||||||||||||
Interest income | $ | 127,138 | $ | 129,019 | $ | 125,142 | $ | 98,610 | $ | 479,909 | ||||||||||
Net interest income | 64,185 | 68,409 | 54,686 | 47,086 | 234,366 | |||||||||||||||
Other income (loss) | ||||||||||||||||||||
Credit component of other-than temporary impairment losses on held-to-maturity securities | (568 | ) | (1,103 | ) | (379 | ) | (504 | ) | (2,554 | ) | ||||||||||
Net gain (loss) on trading securities | 119 | (235 | ) | 303 | 272 | 459 | ||||||||||||||
Net gains (losses) on derivatives and hedging activities | (26,706 | ) | 1,288 | (2,644 | ) | 10,323 | (17,739 | ) | ||||||||||||
Gain (loss) on other liabilities carried at fair value under the fair value option | — | — | 124 | (3,699 | ) | (3,575 | ) | |||||||||||||
Gains on early extinguishment of debt | — | — | 176 | 264 | 440 | |||||||||||||||
Service fees and other, net | 2,022 | 2,274 | 2,246 | 2,168 | 8,710 | |||||||||||||||
Other expense | 17,832 | 17,023 | 17,229 | 25,458 | 77,542 | |||||||||||||||
Assessments | 5,631 | 14,223 | 9,892 | 8,080 | 37,826 | |||||||||||||||
Net income | 15,589 | 39,387 | 27,391 | 22,372 | 104,739 |
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 | |||||||||||||||
Assessments | 23,524 | 9,295 | 6,373 | 14,285 | 53,477 | |||||||||||||||
Net income | 65,139 | 25,727 | 17,643 | 39,555 | 148,064 |
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Director | Expiration of | Board | ||||||||||||
Name | Age | Since | Term as Director | Committees | ||||||||||
Lee R. Gibson, Chairman (Member) | 54 | 2002 | 2012 | (a)(b)(c)(d)(e)(f)(g) | ||||||||||
Mary E. Ceverha, Vice Chairman (Independent) | 66 | 2004 | 2014 | (a)(b)(c)(d)(e)(f)(g) | ||||||||||
Patricia P. Brister (Independent) | 64 | 2008 | 2011 | (c)(e)(g) | ||||||||||
James H. Clayton (Member) | 59 | 2005 | 2014 | (c)(f)(g) | ||||||||||
C. Kent Conine (Independent) | 56 | 2007 | 2013 | (e)(f) | ||||||||||
Julie A. Cripe (Member) | 57 | 2010 | 2013 | (a)(e) | ||||||||||
Howard R. Hackney (Member) | 71 | 2003 | 2012 | (b)(c)(g) | ||||||||||
Charles G. Morgan, Jr. (Member) | 49 | 2004 | 2013 | (b)(d)(g) | ||||||||||
James W. Pate, II (Independent) | 61 | 2007 | 2013 | (c)(f) | ||||||||||
Joseph F. Quinlan, Jr. (Member) | 63 | 2008 | 2012 | (a)(d)(g) | ||||||||||
Robert M. Rigby (Member) | 64 | 2010 | 2011 | (a)(d) | ||||||||||
John P. Salazar (Independent) | 68 | 2010 | 2011 | (e)(f) | ||||||||||
Margo S. Scholin (Independent) | 60 | 2007 | 2012 | (b)(d) | ||||||||||
Anthony S. Sciortino (Member) | 63 | 2003 | 2013 | (c)(e)(g) | ||||||||||
Darryl D. Swinton (Independent) | 43 | 2011 | 2014 | (b)(f) | ||||||||||
Ron G. Wiser (Member) | 54 | 2010 | 2014 | (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 | 54 | President and Chief Executive Officer | 1986 | |||||||
Michael Sims | 45 | Chief Operating Officer, Executive Vice President — Finance and Chief Financial Officer | 1998 | |||||||
Nancy Parker | 58 | Chief Operating Officer and Executive Vice President — Operations | 1994 | |||||||
Paul Joiner | 58 | Senior Vice President and Chief Strategy Officer | 1986 | |||||||
Tom Lewis | 48 | Senior Vice President and Chief Accounting Officer | 2003 |
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Base Salary as of 1/1/10 | X | Employee’s Maximum Potential Award Percentage | X | Profitability Achievement Percentage | X | Corporate Operating Goal Achievement Percentage | X | Individual Goal Achievement Percentage |
75% | X | Base Salary as of 1/1/10 | X | Maximum Potential Award Percentage | X | Profitability Goal Achievement Percentage | X | Corporate Operating Goal Achievement Percentage | ||||||||
plus | ||||||||||||||||
25% | X | Base Salary as of 1/1/10 | X | Maximum Potential Award Percentage | X | Individual Performance Goal Achievement 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 Advances + Letters of Credit (LCs) to 2010 CFIs | 10 | % | $ | 11,700 | $ | 12,000 | $ | 12,350 | $ | 11,590 | 0 | % | ||||||||||||
2. Average Advances + LCs to Customers with Assets < $20 billion | 10 | % | $ | 24,500 | $ | 25,200 | $ | 25,900 | $ | 24,056 | 0 | % | ||||||||||||
3. Average LCs Outstanding | 10 | % | $ | 4,000 | $ | 4,250 | $ | 4,500 | $ | 4,510 | 10 | % | ||||||||||||
Risk Management | ||||||||||||||||||||||||
1. Contribution to Retained Earnings from pre-ASC 815 net income | 10 | % | $ | 75 | $ | 87.5 | $ | 100 | $ | 122.7 | 10 | % | ||||||||||||
2. Maintain an Estimated Market Value of Equity (MVE) ≥ Par Value of Capital Stock * | 10 | % | 10 months | 11 months | 12 months | 12 months | 10 | % | ||||||||||||||||
3. Ensure that MVE Sensitivity in +/- 200 basis point scenarios ≤ -15 percent of Par Value of Capital Stock * | 10 | % | 10 months | 11 months | 12 months | 12 months | 10 | % | ||||||||||||||||
Customer Activities and New Initiatives | ||||||||||||||||||||||||
1. Total Credit Product Users | 5 | % | 675 | 700 | 725 | 745 | 5 | % | ||||||||||||||||
2. Interest Rate Derivative Customers (since inception) | 5 | % | 6 | 9 | 12 | 5 | 0 | % | ||||||||||||||||
Economic and Community Development | ||||||||||||||||||||||||
1. Average CIP / EDP Advances / LCs Outstanding | 10 | % | $ | 1,600 | $ | 1,650 | $ | 1,700 | $ | 1,703 | 10 | % | ||||||||||||
2. Total CIP / EDP Advances / LC Users | 10 | % | 75 | 85 | 90 | 80 | 6 | % | ||||||||||||||||
3. CIP / EDP Projects Funded / Supported by Advances + LCs | 10 | % | 275 | 300 | 325 | 302 | 8 | % | ||||||||||||||||
Overall Corporate Operating Goal Achievement Percentage | 69 | % | ||||||||||||||||||||||
* | Excludes impact of losses due to pre-12/1/09 private label residential MBS. |
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Award | Maximum | Profitability | Operating Goal | Individual Goal | 2010 | |||||||||||||||||||||||
Base Salary as of | Component | Potential Award | Achievement | Achievement | Achievement | VPP | ||||||||||||||||||||||
January 1, 2010 ($) | Percentage (%) | Percentage (%) | Percentage (%) | Percentage (%) | Percentage (%) | Award ($) | ||||||||||||||||||||||
Terry Smith | 730,000 | 75.00 | % | 60.00 | % | 100.00 | % | 69.00 | % | 226,665 | ||||||||||||||||||
730,000 | 25.00 | % | 60.00 | % | 87.33 | % | 95,626 | |||||||||||||||||||||
322,291 | ||||||||||||||||||||||||||||
Michael Sims | 385,000 | 43.75 | % | 100.00 | % | 69.00 | % | 100.00 | % | 116,222 | ||||||||||||||||||
Nancy Parker | 375,000 | 43.75 | % | 100.00 | % | 69.00 | % | 100.00 | % | 113,203 | ||||||||||||||||||
Paul Joiner | 277,000 | 43.75 | % | 100.00 | % | 69.00 | % | 100.00 | % | 83,619 | ||||||||||||||||||
Tom Lewis | 268,000 | 43.75 | % | 100.00 | % | 69.00 | % | 100.00 | % | 80,903 |
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Terry Smith | $ | 730,000 | (No change — see discussion below) | ||
Michael Sims | $ | 410,000 | (6.49 percent) | ||
Nancy Parker | $ | 400,000 | (6.67 percent) | ||
Paul Joiner | $ | 286,000 | (3.25 percent) | ||
Tom Lewis | $ | 274,700 | (2.50 percent) |
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Estimated Possible VPP Payouts for 2011 | ||||||||||||
Threshold ($) | Target ($) | Maximum ($) | ||||||||||
Terry Smith | 208,050 | 372,300 | 438,000 | |||||||||
Michael Sims | 53,813 | 143,500 | 179,375 | |||||||||
Nancy Parker | 52,500 | 140,000 | 175,000 | |||||||||
Paul Joiner | 37,538 | 100,100 | 125,125 | |||||||||
Tom Lewis | 36,054 | 96,145 | 120,181 |
Patricia P. Brister, Chairman
James W. Pate, II, Vice Chairman
Mary E. Ceverha
James H. Clayton
Lee R. Gibson
Howard R. Hackney
Anthony S. Sciortino
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Change in | ||||||||||||||||||||||||||||||||||||
Pension Value | ||||||||||||||||||||||||||||||||||||
Non-equity | and Nonqualified | |||||||||||||||||||||||||||||||||||
Name and | Incentive Plan | Deferred | All Other | |||||||||||||||||||||||||||||||||
Principal | Stock | Option | Compensation | Compensation | Compensation | |||||||||||||||||||||||||||||||
Position | Year | Salary ($) | Bonus ($) | Awards ($) | Awards ($) | ($) (1) | Earnings ($) (2) | ($) (3) | Total ($) | |||||||||||||||||||||||||||
Terry Smith | 2010 | 730,000 | — | — | — | 322,291 | 307,000 | 477,986 | 1,837,277 | |||||||||||||||||||||||||||
President/Chief Executive Officer | 2009 | 715,000 | — | — | — | 279,279 | 351,000 | 470,690 | 1,815,969 | |||||||||||||||||||||||||||
2008 | 680,000 | — | — | — | 376,788 | 195,000 | 391,804 | 1,643,592 | ||||||||||||||||||||||||||||
Michael Sims | 2010 | 385,000 | — | — | — | 116,222 | 189,000 | 112,372 | 802,594 | |||||||||||||||||||||||||||
Chief Operating Officer/EVP-Finance/ | 2009 | 344,583 | — | — | — | 82,294 | 214,000 | 96,151 | 737,028 | |||||||||||||||||||||||||||
Chief Financial Officer | 2008 | 302,500 | — | — | — | 125,727 | 128,000 | 83,615 | 639,842 | |||||||||||||||||||||||||||
Nancy Parker | 2010 | 375,000 | — | — | — | 113,203 | 337,000 | 177,583 | 1,002,786 | |||||||||||||||||||||||||||
Chief Operating Officer/ | 2009 | 334,583 | — | — | — | 79,800 | 402,000 | 147,062 | 963,445 | |||||||||||||||||||||||||||
EVP-Operations | 2008 | 292,500 | — | — | — | 121,570 | 161,000 | 143,216 | 718,286 | |||||||||||||||||||||||||||
Paul Joiner | 2010 | 277,000 | — | — | — | 83,619 | 379,000 | 79,273 | 818,892 | |||||||||||||||||||||||||||
SVP/Chief Strategy Officer | 2009 | 267,500 | — | — | — | 66,708 | 429,000 | 109,795 | 873,003 | |||||||||||||||||||||||||||
2008 | 255,000 | — | — | — | 105,984 | 222,000 | 113,032 | 696,016 | ||||||||||||||||||||||||||||
Tom Lewis | 2010 | 268,000 | — | — | — | 80,903 | 84,000 | 74,783 | 507,686 | |||||||||||||||||||||||||||
SVP/Chief Accounting Officer | 2009 | 264,000 | — | — | — | 65,835 | 81,000 | 36,743 | 447,578 | |||||||||||||||||||||||||||
2008 | 252,500 | — | — | — | 104,945 | 48,000 | 59,774 | 465,219 |
(1) | Amounts for 2010, 2009 and 2008 represent VPP awards earned for services rendered in those years. These amounts were paid to the named executive officers in March 2011, February 2010 and February 2009, respectively. | |
(2) | Amounts reported in this column for 2010, 2009 and 2008 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 2010, 2009 or 2008. | |
(3) | The components of this column for 2010 are provided in the table below. |
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 | — | 14,700 | 29,100 | 325,489 | 47,311 | 14,069 | 31,161 | (1) | 16,156 | (2) | 477,986 | |||||||||||||||||||||||||
Michael Sims | 66,034 | 14,700 | 8,400 | — | 19,280 | 3,958 | * | — | 112,372 | |||||||||||||||||||||||||||
Nancy Parker | — | 14,700 | 7,800 | 122,153 | 25,991 | 6,939 | * | — | 177,583 | |||||||||||||||||||||||||||
Paul Joiner | — | 14,700 | 1,920 | 48,664 | 10,678 | 3,311 | * | — | 79,273 | |||||||||||||||||||||||||||
Tom Lewis | 20,957 | 14,700 | 1,380 | — | 34,037 | 3,709 | * | — | 74,783 | |||||||||||||||||||||||||||
(1) | 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. | |
(2) | Represents tax reimbursements on income imputed to Mr. Smith for his use of a Bank-leased car. | |
* | Amounts were either less than $10,000 or zero. |
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Estimated Possible Payouts Under | ||||||||||||
Non-Equity Incentive Plan Awards for 2010 VPP | ||||||||||||
Name | Threshold ($) | Target ($) | Maximum ($) | |||||||||
Terry Smith | 208,050 | 372,300 | 438,000 | |||||||||
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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Estimated Possible Payouts Under | ||||||||||||
Non-Equity Incentive Plan Awards for 2010 LTIP | ||||||||||||
Name | Threshold ($) | Target ($) | Maximum ($) | |||||||||
Terry Smith | 91,980 | 159,140 | 226,300 | |||||||||
Michael Sims | 35,372 | 66,413 | 97,453 | |||||||||
Nancy Parker | 34,453 | 64,688 | 94,922 | |||||||||
Paul Joiner | 25,449 | 47,783 | 70,116 | |||||||||
Tom Lewis | 24,623 | 46,230 | 67,838 |
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Number of | Present Value | Payments During | ||||||||||||||
Years of Credited | of Accumulated | Last Fiscal | ||||||||||||||
Name | Plan Name | Service (#) | Benefit ($) | Year ($) | ||||||||||||
Terry Smith | Pentegra DB Plan | 25.0 | 1,829,000 | — | ||||||||||||
Michael Sims | Pentegra DB Plan | 20.9 | 930,000 | — | ||||||||||||
Nancy Parker | Pentegra DB Plan | 23.8 | 2,136,000 | — | ||||||||||||
Paul Joiner | Pentegra DB Plan | 27.4 | 2,491,000 | — | ||||||||||||
Tom Lewis | Pentegra DB Plan | 7.9 | 314,000 | — |
• | 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, 2010 commence at age 60 and are discounted to December 31, 2010); | ||
• | Discount rate of 5.54 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 | 29,100 | 8 | — | 91,783 | |||||||||||||||
SERP — Group 1 | — | 250,670 | 63,986 | — | 1,087,465 | |||||||||||||||
SERP — Group 3 | — | 74,819 | 57 | — | 560,211 | |||||||||||||||
2,000 | 354,589 | 64,051 | — | 1,739,459 | ||||||||||||||||
Michael Sims | ||||||||||||||||||||
NQDC Plan | 2,000 | 8,400 | 1 | — | 18,380 | |||||||||||||||
SERP — Group 1 | — | 66,034 | 12,882 | — | 229,383 | |||||||||||||||
2,000 | 74,434 | 12,883 | — | 247,763 | ||||||||||||||||
Nancy Parker | ||||||||||||||||||||
NQDC Plan | 5,000 | 7,800 | 2 | — | 23,181 | |||||||||||||||
SERP — Group 1 | — | 122,153 | 28,634 | — | 493,349 | |||||||||||||||
5,000 | 129,953 | 28,636 | — | 516,530 | ||||||||||||||||
Paul Joiner | ||||||||||||||||||||
NQDC Plan | 2,000 | 1,920 | 2,083 | — | 45,352 | |||||||||||||||
SERP — Group 1 | — | 48,664 | 19,257 | — | 309,330 | |||||||||||||||
2,000 | 50,584 | 21,340 | — | 354,682 | ||||||||||||||||
Tom Lewis | ||||||||||||||||||||
NQDC Plan | 2,000 | 1,380 | 692 | — | 55,529 | |||||||||||||||
SERP — Group 1 | — | 20,957 | 6,285 | — | 104,359 | |||||||||||||||
SERP — Group 2 | — | — | 860 | — | 7,049 | |||||||||||||||
2,000 | 22,337 | 7,837 | — | 166,937 | ||||||||||||||||
(1) | All amounts in this column are included in the “Salary” column for 2010 in the Summary Compensation Table. | |
(2) | All amounts in this column are included in the “All Other Compensation” column for 2010 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 2010 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 | ||||||||||||||||||||||
Summary Compensation Table | Related to Years | from Reportable | ||||||||||||||||||||||
Name | 2010 ($) | 2009 ($) | 2008 ($) | Prior to 2008 ($) | Compensation ($) | Total ($) | ||||||||||||||||||
Terry Smith | 356,589 | 344,369 | 247,823 | 563,376 | 227,302 | 1,739,459 | ||||||||||||||||||
Michael Sims | 76,434 | 56,980 | 44,855 | 40,148 | 29,346 | 247,763 | ||||||||||||||||||
Nancy Parker | 134,953 | 110,294 | 95,084 | 112,252 | 63,947 | 516,530 | ||||||||||||||||||
Paul Joiner | 52,584 | 79,121 | 77,252 | 75,192 | 70,533 | 354,682 | ||||||||||||||||||
Tom Lewis | 24,337 | 23,918 | 18,383 | 76,775 | 23,524 | 166,937 |
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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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Total | ||||||||||||||||||||||||||||||||||||||||
Total | Estimated | |||||||||||||||||||||||||||||||||||||||
Undiscounted | Termination | Estimated | Termination | |||||||||||||||||||||||||||||||||||||
Accrued/ | Accrued/ | Undiscounted | Value of | COBRA | Benefit if | Pro Rata | Benefit if | |||||||||||||||||||||||||||||||||
Unpaid Base | Unused | Value of | 2010 | Health Care | Continuation | Triggering Event | 2010 | Triggering Event | ||||||||||||||||||||||||||||||||
Salary as of | Vacation as | Base Salary | VPP | Benefits | Coverage Lump | was Unrelated | LTIP | was Related | ||||||||||||||||||||||||||||||||
Name | 12/31/10 ($) | of 12/31/10 ($) | Continuation ($) | Award ($) | Continuation ($) | Sum Payment ($) | SERP ($) | to a Sale ($) | Award ($) | to a Sale ($) | ||||||||||||||||||||||||||||||
Terry Smith | — | — | 2,109,092 | 322,291 | 12,373 | 28,307 | 1,647,676 | 4,119,739 | 53,047 | 4,172,786 | ||||||||||||||||||||||||||||||
Michael Sims | — | 7,404 | 1,112,329 | 116,222 | 21,243 | 48,592 | — | 1,305,790 | 22,138 | 1,327,928 | ||||||||||||||||||||||||||||||
Nancy Parker | — | 4,327 | 1,083,438 | 113,203 | 6,615 | 15,137 | 493,349 | 1,716,069 | 21,563 | 1,737,632 | ||||||||||||||||||||||||||||||
Paul Joiner | — | 27,966 | 800,299 | 83,619 | 21,045 | 48,592 | 309,330 | 1,290,851 | 15,928 | 1,306,779 | ||||||||||||||||||||||||||||||
Tom Lewis | — | — | 774,297 | 80,903 | 10,523 | 61,268 | 7,049 | 934,040 | 15,410 | 949,450 |
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SERP | SERP | SERP | Total | |||||||||||||
Name | Group 1 ($) | Group 2 ($) | Group 3 ($) | SERP ($) | ||||||||||||
Terry Smith | 1,087,465 | — | 560,211 | 1,647,676 | ||||||||||||
Michael Sims | — | — | — | — | ||||||||||||
Nancy Parker | 493,349 | — | — | 493,349 | ||||||||||||
Paul Joiner | 309,330 | — | — | 309,330 | ||||||||||||
Tom Lewis | — | 7,049 | — | 7,049 |
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Fee For | ||||||||
Annual | Attendance at | |||||||
Compensation | Each Regular | |||||||
Limit for 2010 | 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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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 2010 | 60,000 | — | — | — | — | * | 60,000 | |||||||||||||||||||||
Mary E. Ceverha, Vice Chairman in 2010 | 55,000 | — | — | — | — | * | 55,000 | |||||||||||||||||||||
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 | |||||||||||||||||||||
Julie A. Cripe | 45,000 | — | — | — | — | * | 45,000 | |||||||||||||||||||||
Howard R. Hackney | 55,000 | — | — | — | — | * | 55,000 | |||||||||||||||||||||
Charles G. Morgan, Jr. | 50,000 | — | — | — | — | * | 50,000 | |||||||||||||||||||||
James W. Pate, II | 45,000 | — | — | — | — | * | 45,000 | |||||||||||||||||||||
Joseph F. Quinlan, Jr. | 45,000 | — | — | — | — | * | 45,000 | |||||||||||||||||||||
Robert M. Rigby | 45,000 | — | — | — | — | * | 45,000 | |||||||||||||||||||||
John P. Salazar | 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 | |||||||||||||||||||||
Ron G. Wiser | 45,000 | — | — | — | — | * | 45,000 |
* | Our directors did not receive any other form of compensation in 2010 other than the limited perquisites which are discussed below. For each director, the aggregate amount of such perquisites was less than $10,000. |
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Fee For | ||||||||
Annual | Attendance | |||||||
Compensation | at Each Regular | |||||||
Limit for 2011 | Board Meeting | |||||||
Chairman of the Board | $ | 70,000 | $ | 11,000 | ||||
Vice Chairman of the Board | 65,000 | 10,000 | ||||||
Chairman of the Audit Committee | 65,000 | 10,000 | ||||||
Chairmen of all other Board Committees | 55,000 | 8,750 | ||||||
All other Directors | 50,000 | 7,750 |
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ITEM 12.SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND RELATED STOCKHOLDER MATTERS |
Percentage of | ||||||||
Number of | Outstanding | |||||||
Name and Address of Beneficial Owner | Shares Owned | Shares Owned | ||||||
Wells Fargo Bank South Central, National Association | ||||||||
2005 Taylor Street, Houston, TX 77007 | 1,678,185 | 11.22 | % | |||||
Comerica Bank | ||||||||
1717 Main Street, Dallas, TX 75201 | 1,275,000 | 8.53 | % |
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Number | Percentage of | |||||||||
Bank Director Affiliated with | of Shares | Outstanding | ||||||||
Name and Address of Beneficial Owner | Beneficial Owner | Owned ** | Shares Owned | |||||||
Southside Bank 1201 South Beckham, Tyler, TX 75701 | Lee R. Gibson | 291,837 | 1.95 | % | ||||||
Texas Bank and Trust Company 300 East Whaley, Longview, TX 75601 | Howard R. Hackney | 31,674 | * | |||||||
State-Investors Bank 1041 Veterans Boulevard, Metairie, LA 70005 | Anthony S. Sciortino | 13,606 | * | |||||||
Arkansas Bankers Bank 325 West Capitol Avenue, Suite 300, Little Rock, AR 72201 | Joseph F. Quinlan, Jr. | 13,092 | * | |||||||
First National Bankers Bank 7813 Office Park Boulevard, Baton Rouge, LA 70809 | Joseph F. Quinlan, Jr. | 7,298 | * | |||||||
Planters Bank and Trust Company 212 Catchings Street, Indianola, MS 38751 | James H. Clayton | 4,236 | * | |||||||
Liberty Bank 5801 Davis Boulevard, North Richland Hills, TX 76180 | Robert M. Rigby | 3,819 | * | |||||||
Bank of the Southwest 226 North Main Street, Roswell, NM 88201 | Ron G. Wiser | 3,538 | * | |||||||
OMNIBANK, N.A. 4328 Old Spanish Trail, Houston, TX 77021 | Julie A. Cripe | 3,468 | * | |||||||
Pine Bluff National Bank 912 Poplar Street, Pine Bluff, AR 71601 | Charles G. Morgan, Jr. | 2,490 | * | |||||||
Hot Springs Bank & Trust Company 4446 Central Avenue, Hot Springs, AR 71913 | Charles G. Morgan, Jr. | 1,042 | * | |||||||
Mississippi National Bankers Bank 300 Concourse Boulevard, Ridgeland, MS 39157 | Joseph F. Quinlan, Jr. | 1,186 | * | |||||||
All Directors’ Financial Institutions as a group | 377,286 | 2.52 | % |
* | 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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ITEM 13. | CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS, AND DIRECTOR INDEPENDENCE |
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ITEM 14. | PRINCIPAL ACCOUNTING FEES AND SERVICES |
(In thousands) | ||||||||
Year Ended December 31, | ||||||||
2010 | 2009 | |||||||
Audit fees | $ | 722 | $ | 852 | ||||
Audit-related fees | 8 | 8 | ||||||
Tax fees | — | — | ||||||
All other fees | — | — | ||||||
Total fees | $ | 730 | $ | 860 | ||||
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ITEM 15. | EXHIBITS, FINANCIAL STATEMENT SCHEDULES |
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 (incorporated by reference to Exhibit 3.2 to the Bank’s Annual Report on Form 10-K for the fiscal year ended December 31, 2009, filed on March 25, 2010). | ||
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 | 2010 Amendment to Deferred Compensation Plan of the Registrant for Deferrals Effective January 1, 2005, dated July 22, 2010 (incorporated by reference to Exhibit 10.1 to the Bank’s Quarterly Report on Form 10-Q for the fiscal quarter ended September 30, 2010, filed on November 12, 2010). | ||
10.5 | 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). | ||
10.6 | 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). | ||
10.7 | 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). | ||
10.8 | 2010 Amendment to Non-Qualified Deferred Compensation Plan for the Board of Directors of the Registrant for Deferrals Effective January 1, 2005, dated July 22, 2010 (incorporated by reference to Exhibit 10.2 to the Bank’s Quarterly Report on Form 10-Q for the fiscal quarter ended September 30, 2010, filed on November 12, 2010). |
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10.9 | Consolidated Deferred Compensation Plan of the Registrant for deferrals made on or after January 1, 2011, as adopted by the Bank’s Board of Directors on December 29, 2010. | ||
10.10 | 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). | ||
10.11 | 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). | ||
10.12 | 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). | ||
10.13 | Form of 2010 Long Term Incentive Plan including the Form of Award Agreement (filed as Exhibit 10.1 to the Bank’s Current Report on Form 8-K dated May 28, 2010 and filed with the SEC on June 4, 2010, which exhibit is incorporated herein by reference). | ||
10.14 | 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). | ||
10.15 | 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). | ||
10.16 | 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 (incorporated by reference to Exhibit 14.1 to the Bank’s Annual Report on Form 10-K for the fiscal year ended December 31, 2009, filed on March 25, 2010). | ||
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. |
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Federal Home Loan Bank of Dallas | ||||
March 25, 2011 | By | /s/ Terry Smith | ||
Date | Terry Smith | |||
President and Chief Executive Officer | ||||
/s/ Terry Smith | ||||
Terry Smith | ||||
President and Chief Executive Officer (Principal Executive Officer) |
/s/ Michael Sims | ||||
Michael Sims | ||||
Chief Operating Officer, Executive Vice President - Finance and Chief Financial Officer (Principal Financial Officer) |
/s/ Tom Lewis | ||||
Tom Lewis | ||||
Senior Vice President and Chief Accounting Officer (Principal Accounting Officer) |
/s/ Lee R. Gibson | ||||
Lee R. Gibson | ||||
Chairman of the Board of Directors |
/s/ Mary E. Ceverha | ||||
Mary E. Ceverha | ||||
Vice Chairman of the Board of Directors |
/s/ Patricia P. Brister | ||||
Patricia P. Brister | ||||
Director |
S-1
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/s/ James H. Clayton | ||||
James H. Clayton | ||||
Director |
/s/ C. Kent Conine | ||||
C. Kent Conine | ||||
Director |
/s/ Julie A. Cripe | ||||
Julie A. Cripe | ||||
Director |
/s/ Howard R. Hackney | ||||
Howard R. Hackney | ||||
Director |
/s/ Charles G. Morgan, Jr. | ||||
Charles G. Morgan, Jr. | ||||
Director |
/s/ James W. Pate, II | ||||
James W. Pate, II | ||||
Director |
/s/ Joseph F. Quinlan, Jr. | ||||
Joseph F. Quinlan, Jr. | ||||
Director |
/s/ Robert M. Rigby | ||||
Robert M. Rigby | ||||
Director |
/s/ John P. Salazar | ||||
John P. Salazar | ||||
Director |
/s/ Margo S. Scholin | ||||
Margo S. Scholin | ||||
Director |
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/s/ Anthony S. Sciortino | ||||
Anthony S. Sciortino | ||||
Director |
Darryl D. Swinton | ||||
Director |
/s/ Ron G. Wiser | ||||
Ron G. Wiser | ||||
Director |
S-3
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Page No. | ||
F-2 | ||
Annual Audited Financial Statements: | ||
F-3 | ||
F-4 | ||
F-5 | ||
F-6 | ||
F-8 | ||
F-10 |
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Dallas, Texas
March 25, 2011
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December 31, | ||||||||
2010 | 2009 | |||||||
ASSETS | ||||||||
Cash and due from banks (Note 3) | $ | 1,631,899 | $ | 3,908,242 | ||||
Interest-bearing deposits | 208 | 233 | ||||||
Federal funds sold (Notes 19 and 20) | 3,767,000 | 2,063,000 | ||||||
Trading securities (Note 4) | 5,317 | 4,034 | ||||||
Held-to-maturity securities (a) (Note 6) | 8,496,429 | 11,424,552 | ||||||
Advances (Notes 7, 9 and 19) | 25,455,656 | 47,262,574 | ||||||
Mortgage loans held for portfolio, net of allowance for credit losses of $225 and $240 in 2010 and 2009, respectively (Notes 8, 9 and 19) | 207,168 | 259,617 | ||||||
Accrued interest receivable | 43,248 | 60,890 | ||||||
Premises and equipment, net | 24,660 | 24,789 | ||||||
Derivative assets (Note 14) | 38,671 | 64,984 | ||||||
Other assets | 19,814 | 19,161 | ||||||
TOTAL ASSETS | $ | 39,690,070 | $ | 65,092,076 | ||||
LIABILITIES AND CAPITAL | ||||||||
Deposits (Notes 10 and 19) | ||||||||
Interest-bearing | $ | 1,070,028 | $ | 1,462,554 | ||||
Non-interest bearing | 24 | 37 | ||||||
Total deposits | 1,070,052 | 1,462,591 | ||||||
Consolidated obligations, net (Note 11) | ||||||||
Discount notes | 5,131,978 | 8,762,028 | ||||||
Bonds | 31,315,605 | 51,515,856 | ||||||
Total consolidated obligations, net | 36,447,583 | 60,277,884 | ||||||
Mandatorily redeemable capital stock (Note 15) | 8,076 | 9,165 | ||||||
Accrued interest payable | 94,417 | 179,248 | ||||||
Affordable Housing Program (Note 12) | 41,044 | 43,714 | ||||||
Payable to REFCORP (Note 13) | 5,593 | 9,912 | ||||||
Derivative liabilities (Note 14) | 1,310 | 486 | ||||||
Other liabilities, including $11,156 of optional advance commitments carried at fair value under the fair value option at December 31, 2010 (Note 17) | 31,583 | 287,044 | ||||||
Total liabilities | 37,699,658 | 62,270,044 | ||||||
Commitments and contingencies (Notes 12, 13, 14, 16 and 18) | ||||||||
CAPITAL (Notes 15 and 19) | ||||||||
Capital stock — Class B putable ($100 par value) issued and outstanding shares: 16,009,091 and 25,317,146 shares in 2010 and 2009, respectively | 1,600,909 | 2,531,715 | ||||||
Retained earnings | 452,205 | 356,282 | ||||||
Accumulated other comprehensive income (loss) | ||||||||
Non-credit portion of other-than-temporary impairment losses on held-to-maturity securities (Note 6) | (63,263 | ) | (66,584 | ) | ||||
Postretirement benefits (Note 16) | 561 | 619 | ||||||
Total accumulated other comprehensive income (loss) | (62,702 | ) | (65,965 | ) | ||||
Total capital | 1,990,412 | 2,822,032 | ||||||
TOTAL LIABILITIES AND CAPITAL | $ | 39,690,070 | $ | 65,092,076 | ||||
(a) | Fair values: $8,602,589 and $11,381,786 at December 31, 2010 and 2009, respectively. |
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For the Years Ended December 31, | ||||||||||||
2010 | 2009 | 2008 | ||||||||||
INTEREST INCOME | ||||||||||||
Advances | $ | 313,117 | $ | 650,894 | $ | 1,809,694 | ||||||
Prepayment fees on advances, net | 12,824 | 14,192 | 6,802 | |||||||||
Interest-bearing deposits | 339 | 289 | 2,595 | |||||||||
Federal funds sold | 5,672 | 5,168 | 96,144 | |||||||||
Trading securities | 427 | — | — | |||||||||
Available-for-sale securities | — | 469 | 10,350 | |||||||||
Held-to-maturity securities | 134,528 | 149,996 | 349,033 | |||||||||
Mortgage loans held for portfolio | 12,980 | 16,070 | 19,773 | |||||||||
Other | 22 | 386 | 345 | |||||||||
Total interest income | 479,909 | 837,464 | 2,294,736 | |||||||||
INTEREST EXPENSE | ||||||||||||
Consolidated obligations | ||||||||||||
Bonds | 234,084 | 552,584 | 1,563,357 | |||||||||
Discount notes | 10,761 | 206,897 | 521,373 | |||||||||
Deposits | 660 | 1,417 | 58,281 | |||||||||
Mandatorily redeemable capital stock | 34 | 84 | 1,199 | |||||||||
Other borrowings | 4 | 6 | 168 | |||||||||
Total interest expense | 245,543 | 760,988 | 2,144,378 | |||||||||
NET INTEREST INCOME | 234,366 | 76,476 | 150,358 | |||||||||
OTHER INCOME (LOSS) | ||||||||||||
Total other-than-temporary impairment losses on held-to-maturity securities | (17,202 | ) | (79,942 | ) | — | |||||||
Net non-credit impairment losses recognized in other comprehensive income | 14,648 | 75,920 | — | |||||||||
Credit component of other-than-temporary impairment losses on held-to-maturity securities | (2,554 | ) | (4,022 | ) | — | |||||||
Service fees | 2,818 | 3,074 | 3,510 | |||||||||
Net gain (loss) on trading securities | 459 | 586 | (627 | ) | ||||||||
Net realized gains (losses) on sales of available-for-sale securities | — | 843 | (919 | ) | ||||||||
Gains on early extinguishment of debt | 440 | 553 | 8,794 | |||||||||
Net gains (losses) on derivatives and hedging activities | (17,739 | ) | 193,109 | 6,679 | ||||||||
Losses on other liabilities carried at fair value under the fair value option | (3,575 | ) | — | — | ||||||||
Other, net | 5,892 | 6,212 | 5,143 | |||||||||
Total other income (loss) | (14,259 | ) | 200,355 | 22,580 | ||||||||
OTHER EXPENSE | ||||||||||||
Compensation and benefits | 44,037 | 42,004 | 34,533 | |||||||||
Other operating expenses | 28,696 | 28,921 | 26,617 | |||||||||
Finance Agency/Finance Board | 2,923 | 2,431 | 1,900 | |||||||||
Office of Finance | 1,886 | 1,934 | 1,763 | |||||||||
Total other expense | 77,542 | 75,290 | 64,813 | |||||||||
INCOME BEFORE ASSESSMENTS | 142,565 | 201,541 | 108,125 | |||||||||
Affordable Housing Program | 11,641 | 16,461 | 8,949 | |||||||||
REFCORP | 26,185 | 37,016 | 19,835 | |||||||||
Total assessments | 37,826 | 53,477 | 28,784 | |||||||||
NET INCOME | $ | 104,739 | $ | 148,064 | $ | 79,341 | ||||||
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Capital Stock | Accumulated Other | |||||||||||||||||||
Class B - Putable | Retained | Comprehensive | Total | |||||||||||||||||
Shares | Par Value | Earnings | Income (Loss) | Capital | ||||||||||||||||
BALANCE, JANUARY 1, 2008 | 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 |
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STATEMENTS OF CAPITAL (continued)
FOR THE YEARS ENDED DECEMBER 31, 2010, 2009 AND 2008
(In thousands)
Capital Stock | Accumulated Other | |||||||||||||||||||
Class B - Putable | Retained | Comprehensive | Total | |||||||||||||||||
Shares | Par Value | Earnings | Income (Loss) | Capital | ||||||||||||||||
Proceeds from sale of capital stock | 4,504 | 450,425 | — | — | 450,425 | |||||||||||||||
Repurchase/redemption of capital stock | (13,874 | ) | (1,387,429 | ) | — | — | (1,387,429 | ) | ||||||||||||
Shares reclassified to mandatorily redeemable capital stock | (24 | ) | (2,434 | ) | — | — | (2,434 | ) | ||||||||||||
Comprehensive income | ||||||||||||||||||||
Net income | — | — | 104,739 | — | 104,739 | |||||||||||||||
Other comprehensive income | ||||||||||||||||||||
Non-credit portion of other-than-temporary impairment losses on held-to-maturity securities | — | — | — | (17,107 | ) | (17,107 | ) | |||||||||||||
Reclassification adjustment for non-credit portion of other-than-temporary impairment losses recognized as credit losses in net income | — | — | — | 2,459 | 2,459 | |||||||||||||||
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities | — | — | — | 17,969 | 17,969 | |||||||||||||||
Postretirement benefits | — | — | — | (58 | ) | (58 | ) | |||||||||||||
Total comprehensive income | — | — | — | — | 108,002 | |||||||||||||||
Dividends on capital stock | ||||||||||||||||||||
Cash | — | — | (182 | ) | — | (182 | ) | |||||||||||||
Mandatorily redeemable capital stock | — | — | (2 | ) | — | (2 | ) | |||||||||||||
Stock | 86 | 8,632 | (8,632 | ) | — | — | ||||||||||||||
BALANCE, DECEMBER 31, 2010 | 16,009 | $ | 1,600,909 | $ | 452,205 | $ | (62,702 | ) | $ | 1,990,412 | ||||||||||
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For the Years Ended December 31, | ||||||||||||
2010 | 2009 | 2008 | ||||||||||
OPERATING ACTIVITIES | ||||||||||||
Net income | $ | 104,739 | $ | 148,064 | $ | 79,341 | ||||||
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 | (59,260 | ) | (177,891 | ) | 2,105 | |||||||
Concessions on consolidated obligation bonds | 8,337 | 8,721 | 14,052 | |||||||||
Premises, equipment and computer software costs | 6,074 | 5,400 | 4,309 | |||||||||
Non-cash interest on mandatorily redeemable capital stock | 26 | 158 | 2,048 | |||||||||
Increase in trading securities | (1,283 | ) | (664 | ) | (446 | ) | ||||||
Losses (gains) due to change in net fair value adjustment on derivative and hedging activities | 117,008 | 10,969 | (136,419 | ) | ||||||||
Gains on early extinguishment of debt | (440 | ) | (553 | ) | (8,794 | ) | ||||||
Losses on other liabilities carried at fair value under the fair value option | 3,575 | — | — | |||||||||
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 | 2,554 | 4,022 | — | |||||||||
Net realized loss on disposition of premises and equipment | — | 24 | — | |||||||||
Decrease in accrued interest receivable | 17,621 | 84,402 | 43,699 | |||||||||
Decrease (increase) in other assets | (3,198 | ) | (412 | ) | 1,124 | |||||||
Increase (decrease) in Affordable Housing Program (AHP) liability | (2,670 | ) | 647 | (4,373 | ) | |||||||
Increase (decrease) in accrued interest payable | (84,846 | ) | (334,856 | ) | 172,400 | |||||||
Decrease (increase) in excess REFCORP contributions | — | 16,881 | (16,881 | ) | ||||||||
Increase (decrease) in payable to REFCORP | (4,319 | ) | 9,912 | (8,301 | ) | |||||||
Increase (decrease) in other liabilities | 12,698 | (1,468 | ) | 718 | ||||||||
Total adjustments | 11,877 | (375,551 | ) | 66,160 | ||||||||
Net cash provided by (used in) operating activities | 116,616 | (227,487 | ) | 145,501 | ||||||||
INVESTING ACTIVITIES | ||||||||||||
Net decrease (increase) in interest-bearing deposits | (71,931 | ) | 3,780,204 | (3,803,780 | ) | |||||||
Net decrease (increase) in federal funds sold | (1,704,000 | ) | (191,000 | ) | 5,228,000 | |||||||
Net decrease in loans to other FHLBanks | — | — | 400,000 | |||||||||
Net decrease in short-term held-to-maturity securities | — | — | 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 | |||||||||
Purchases of available-for-sale securities | — | — | (350,466 | ) | ||||||||
Proceeds from maturities of long-term held-to-maturity securities | 4,057,249 | 3,182,359 | 1,679,318 | |||||||||
Purchases of long-term held-to-maturity securities | (1,078,810 | ) | (2,940,120 | ) | (6,054,558 | ) | ||||||
Principal collected on advances | 272,896,354 | 440,103,678 | 897,402,934 | |||||||||
Advances made | (251,049,538 | ) | (426,766,387 | ) | (911,508,439 | ) | ||||||
Principal collected on mortgage loans held for portfolio | 51,960 | 66,837 | 54,016 | |||||||||
Purchases of premises, equipment and computer software | (6,303 | ) | (9,991 | ) | (2,284 | ) | ||||||
Net cash provided by (used in) investing activities | 23,094,981 | 17,355,105 | (15,381,578 | ) | ||||||||
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STATEMENTS OF CASH FLOWS (continued)
(In thousands)
For the Years Ended December 31, | ||||||||||||
2010 | 2009 | 2008 | ||||||||||
FINANCING ACTIVITIES | ||||||||||||
Net increase (decrease) in deposits and pass-through reserves | (813,585 | ) | 135,722 | (1,435,188 | ) | |||||||
Net proceeds from (payments on) derivative contracts with financing elements | (19,504 | ) | 55,464 | 10,295 | ||||||||
Net proceeds from issuance of consolidated obligations | ||||||||||||
Discount notes | 112,252,847 | 260,438,392 | 592,181,060 | |||||||||
Bonds | 25,239,468 | 43,596,571 | 52,865,676 | |||||||||
Debt issuance costs | (5,399 | ) | (9,842 | ) | (6,762 | ) | ||||||
Proceeds from assumption of debt from other FHLBanks | — | — | 139,354 | |||||||||
Payments for maturing and retiring consolidated obligations | ||||||||||||
Discount notes | (115,873,655 | ) | (268,297,978 | ) | (599,583,888 | ) | ||||||
Bonds | (45,327,375 | ) | (48,377,201 | ) | (29,261,827 | ) | ||||||
Payments to other FHLBanks for assumption of debt | — | — | (487,154 | ) | ||||||||
Proceeds from issuance of capital stock | 450,425 | 577,763 | 2,014,094 | |||||||||
Proceeds from issuance of mandatorily redeemable capital stock | 111 | 73 | — | |||||||||
Payments for redemption of mandatorily redeemable capital stock | (3,662 | ) | (188,347 | ) | (67,254 | ) | ||||||
Payments for repurchase/redemption of capital stock | (1,387,429 | ) | (1,170,576 | ) | (1,186,081 | ) | ||||||
Cash dividends paid | (182 | ) | (182 | ) | (182 | ) | ||||||
Net cash provided by (used in) financing activities | (25,487,940 | ) | (13,240,141 | ) | 15,182,143 | |||||||
Net increase (decrease) in cash and cash equivalents | (2,276,343 | ) | 3,887,477 | (53,934 | ) | |||||||
Cash and cash equivalents at beginning of the year | 3,908,242 | 20,765 | 74,699 | |||||||||
Cash and cash equivalents at end of the year | $ | 1,631,899 | $ | 3,908,242 | $ | 20,765 | ||||||
Supplemental disclosures | ||||||||||||
Interest paid | $ | 275,991 | $ | 1,125,332 | $ | 2,023,458 | ||||||
AHP payments, net | $ | 14,311 | $ | 15,814 | $ | 13,322 | ||||||
REFCORP payments | $ | 30,504 | $ | 10,223 | $ | 45,017 | ||||||
Stock dividends issued | $ | 8,632 | $ | 7,502 | $ | 74,348 | ||||||
Dividends paid through issuance of mandatorily redeemable capital stock | $ | 2 | $ | 123 | $ | 548 | ||||||
Capital stock reclassified to mandatorily redeemable capital stock, net | $ | 2,434 | $ | 106,804 | $ | 72,511 | ||||||
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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 | $ | 51,946 | $ | — | $ | 51,946 | $ | 331 | $ | 217 | $ | 52,060 | ||||||||||||
Mortgage-backed securities | ||||||||||||||||||||||||
U.S. government guaranteed obligations | 20,038 | — | 20,038 | 70 | — | 20,108 | ||||||||||||||||||
Government-sponsored enterprises | 8,096,361 | — | 8,096,361 | 128,732 | 2,068 | 8,223,025 | ||||||||||||||||||
Non-agency residential mortgage-backed securities | 391,347 | 63,263 | 328,084 | — | 20,688 | 307,396 | ||||||||||||||||||
8,507,746 | 63,263 | 8,444,483 | 128,802 | 22,756 | 8,550,529 | |||||||||||||||||||
Total | $ | 8,559,692 | $ | 63,263 | $ | 8,496,429 | $ | 129,133 | $ | 22,973 | $ | 8,602,589 | ||||||||||||
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 | ||||||||||||
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 | $ | 21,303 | $ | 217 | — | $ | — | $ | — | 2 | $ | 21,303 | $ | 217 | |||||||||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||||||||||||||||||
Government-sponsored enterprises | 23 | 398,522 | 434 | 34 | 792,031 | 1,634 | 57 | 1,190,553 | 2,068 | |||||||||||||||||||||||||||
Non-agency residential mortgage-backed securities | — | — | — | 39 | 307,396 | 83,951 | 39 | 307,396 | 83,951 | |||||||||||||||||||||||||||
23 | 398,522 | 434 | 73 | 1,099,427 | 85,585 | 96 | 1,497,949 | 86,019 | ||||||||||||||||||||||||||||
Total | 25 | $ | 419,825 | $ | 651 | 73 | $ | 1,099,427 | $ | 85,585 | 98 | $ | 1,519,252 | $ | 86,236 | |||||||||||||||||||||
F-19
Table of Contents
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 | |||||||||||||||||||||
F-20
Table of Contents
For the Year Ended December 31, 2010 | For the Year Ended December 31, 2009 | |||||||||||||||||||||||||||||||
Period of | Credit | Non-Credit | Credit | Non-Credit | ||||||||||||||||||||||||||||
Initial | Credit | Component | Component | Total | Component | Component | Total | |||||||||||||||||||||||||
Impairment | Rating | of OTTI | of OTTI | OTTI | of OTTI | of OTTI | OTTI | |||||||||||||||||||||||||
Security #1 | Q1 2009 | Triple-C | $ | 428 | $ | (428 | ) | $ | — | $ | 1,369 | $ | 11,770 | $ | 13,139 | |||||||||||||||||
Security #2 | Q1 2009 | Triple-C | 46 | (46 | ) | — | 16 | 13,060 | 13,076 | |||||||||||||||||||||||
Security #3 | Q2 2009 | Double-C | 1,492 | (1,492 | ) | — | 1,978 | 17,380 | 19,358 | |||||||||||||||||||||||
Security #4 | Q2 2009 | Triple-C | 24 | (24 | ) | — | 77 | 8,508 | 8,585 | |||||||||||||||||||||||
Security #5 | Q3 2009 | Triple-C | 291 | (291 | ) | — | 284 | 11,454 | 11,738 | |||||||||||||||||||||||
Security #6 | Q3 2009 | Triple-C | 171 | (171 | ) | — | 277 | 10,225 | 10,502 | |||||||||||||||||||||||
Security #7 | Q3 2009 | Triple-B | 60 | 52 | 112 | 21 | 3,523 | 3,544 | ||||||||||||||||||||||||
Security #8 | Q1 2010 | Triple-C | 13 | 4,977 | 4,990 | — | — | — | ||||||||||||||||||||||||
Security #9 | Q1 2010 | Single-B | 7 | 1,922 | 1,929 | — | — | — | ||||||||||||||||||||||||
Security #10 | Q4 2010 | Triple-C | 1 | 3,045 | 3,046 | — | — | — | ||||||||||||||||||||||||
Security #11 | Q4 2010 | Triple-C | 1 | 3,061 | 3,062 | — | — | — | ||||||||||||||||||||||||
Security #12 | Q4 2010 | Double-B | 11 | 1,891 | 1,902 | — | — | — | ||||||||||||||||||||||||
Security #13 | Q4 2010 | Triple-C | 9 | 2,152 | 2,161 | — | — | — | ||||||||||||||||||||||||
Totals | $ | 2,554 | $ | 14,648 | $ | 17,202 | $ | 4,022 | $ | 75,920 | $ | 79,942 | ||||||||||||||||||||
F-21
Table of Contents
Cumulative from Period of Initial | ||||||||||||||||||||||||
December 31, 2010 | Impairment Through December 31, 2010 | December 31, 2010 | ||||||||||||||||||||||
Unpaid | Non-Credit | Accretion of | Estimated | |||||||||||||||||||||
Principal | Amortized | Component of | Non-Credit | Carrying | Fair | |||||||||||||||||||
Balance | Cost | OTTI | Component | Value | Value | |||||||||||||||||||
Security #1 | $ | 16,554 | $ | 14,744 | $ | 11,342 | $ | 4,539 | $ | 7,941 | $ | 9,847 | ||||||||||||
Security #2 | 18,451 | 18,388 | 13,014 | 4,659 | 10,033 | 12,308 | ||||||||||||||||||
Security #3 | 38,770 | 35,279 | 15,888 | 6,027 | 25,418 | 31,268 | ||||||||||||||||||
Security #4 | 12,571 | 12,469 | 8,484 | 2,886 | 6,871 | 7,635 | ||||||||||||||||||
Security #5 | 20,987 | 20,409 | 11,163 | 3,551 | 12,797 | 12,936 | ||||||||||||||||||
Security #6 | 17,824 | 17,372 | 10,054 | 3,214 | 10,532 | 10,231 | ||||||||||||||||||
Security #7 | 6,891 | 6,817 | 3,575 | 991 | 4,233 | 4,429 | ||||||||||||||||||
Security #8 | 10,279 | 10,266 | 4,977 | 1,040 | 6,329 | 6,611 | ||||||||||||||||||
Security #9 | 4,529 | 4,523 | 1,922 | 398 | 2,999 | 3,060 | ||||||||||||||||||
Security #10 | 8,025 | 8,025 | 3,045 | — | 4,980 | 4,980 | ||||||||||||||||||
Security #11 | 10,153 | 10,152 | 3,061 | — | 7,091 | 7,091 | ||||||||||||||||||
Security #12 | 5,220 | 5,209 | 1,891 | — | 3,318 | 3,318 | ||||||||||||||||||
Security #13 | 6,543 | 6,534 | 2,152 | — | 4,382 | 4,382 | ||||||||||||||||||
Totals | $ | 176,797 | $ | 170,187 | $ | 90,568 | $ | 27,305 | $ | 106,924 | $ | 118,096 | ||||||||||||
Quarterly | Significant Inputs(2) | Current Credit | ||||||||||||||||||||||||||||||
Unpaid Principal | Period of | Projected | Projected | Projected | Enhancement | |||||||||||||||||||||||||||
Year of | Collateral | Balance as of | Most Recent | Prepayment | Default | Loss | as of December 31, | |||||||||||||||||||||||||
Securitization | Type(1) | December 31, 2010 | Impairment | Rate | Rate | Severity | 2010(3) | |||||||||||||||||||||||||
Security #1 | 2005 | Alt-A/Option ARM | $ | 16,554 | Q2 2010 | 6.8 | % | 75.0 | % | 47.5 | % | 34.3 | % | |||||||||||||||||||
Security #2 | 2005 | Alt-A/Option ARM | 18,451 | Q4 2010 | 9.5 | % | 65.3 | % | 50.7 | % | 49.4 | % | ||||||||||||||||||||
Security #3 | 2006 | Alt-A/Fixed Rate | 38,770 | Q4 2010 | 14.9 | % | 33.3 | % | 47.8 | % | 7.2 | % | ||||||||||||||||||||
Security #4 | 2005 | Alt-A/Option ARM | 12,571 | Q4 2010 | 9.4 | % | 60.8 | % | 41.8 | % | 46.5 | % | ||||||||||||||||||||
Security #5 | 2005 | Alt-A/Option ARM | 20,987 | Q4 2010 | 8.5 | % | 72.6 | % | 48.0 | % | 45.4 | % | ||||||||||||||||||||
Security #6 | 2005 | Alt-A/Option ARM | 17,824 | Q3 2010 | 10.1 | % | 53.8 | % | 35.1 | % | 25.9 | % | ||||||||||||||||||||
Security #7 | 2004 | Alt-A/Option ARM | 6,891 | Q1 2010 | 9.5 | % | 52.6 | % | 37.7 | % | 31.8 | % | ||||||||||||||||||||
Security #8 | 2005 | Alt-A/Option ARM | 10,279 | Q4 2010 | 6.9 | % | 68.1 | % | 34.0 | % | 44.5 | % | ||||||||||||||||||||
Security #9 | 2005 | Alt-A/Option ARM | 4,529 | Q2 2010 | 10.6 | % | 48.2 | % | 38.2 | % | 44.1 | % | ||||||||||||||||||||
Security #10 | 2005 | Alt-A/Option ARM | 8,025 | Q4 2010 | 9.8 | % | 61.8 | % | 42.1 | % | 44.4 | % | ||||||||||||||||||||
Security #11 | 2005 | Alt-A/Option ARM | 10,153 | Q4 2010 | 9.4 | % | 63.3 | % | 40.5 | % | 49.4 | % | ||||||||||||||||||||
Security #12 | 2004 | Alt-A/Option ARM | 5,220 | Q4 2010 | 8.1 | % | 58.0 | % | 42.1 | % | 36.0 | % | ||||||||||||||||||||
Security #13 | 2005 | Alt-A/Option ARM | 6,543 | Q4 2010 | 9.9 | % | 54.9 | % | 35.7 | % | 46.8 | % | ||||||||||||||||||||
Total | $ | 176,797 | ||||||||||||||||||||||||||||||
(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. |
F-22
Table of Contents
Year Ended December 31, | ||||||||
2010 | 2009 | |||||||
Balance of credit losses, beginning of year | $ | 4,022 | $ | — | ||||
Credit losses on securities for which an other-than-temporary impairment was not previously recognized | 42 | 4,022 | ||||||
Credit losses on securities for which an other-than-temporary impairment was previously recognized | 2,512 | — | ||||||
Balance of credit losses, end of year | $ | 6,576 | $ | 4,022 | ||||
December 31, 2010 | December 31, 2009 | |||||||||||||||||||||||
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 | 2,555 | 2,555 | 2,598 | 3,607 | 3,607 | 3,689 | ||||||||||||||||||
Due after five years through ten years | 27,871 | 27,871 | 28,159 | 31,703 | 31,703 | 32,046 | ||||||||||||||||||
Due after ten years | 21,520 | 21,520 | 21,303 | 26,198 | 26,198 | 25,793 | ||||||||||||||||||
51,946 | 51,946 | 52,060 | 61,757 | 61,757 | 61,778 | |||||||||||||||||||
Mortgage-backed securities | 8,507,746 | 8,444,483 | 8,550,529 | 11,429,379 | 11,362,795 | 11,320,008 | ||||||||||||||||||
Total | $ | 8,559,692 | $ | 8,496,429 | $ | 8,602,589 | $ | 11,491,136 | $ | 11,424,552 | $ | 11,381,786 | ||||||||||||
2010 | 2009 | |||||||
Amortized cost of variable-rate held-to-maturity securities other than mortgage-backed securities | $ | 51,946 | $ | 61,757 | ||||
Amortized cost of held-to-maturity mortgage-backed securities | ||||||||
Fixed-rate pass-through securities | 821 | 937 | ||||||
Collateralized mortgage obligations | ||||||||
Fixed-rate | 1,620 | 58,033 | ||||||
Variable-rate | 8,505,305 | 11,370,409 | ||||||
8,507,746 | 11,429,379 | |||||||
Total | $ | 8,559,692 | $ | 11,491,136 | ||||
F-23
Table of Contents
2010 | 2009 | |||||||||||||||
Weighted | Weighted | |||||||||||||||
Average | Average | |||||||||||||||
Year of Contractual Maturity | Amount | Interest Rate | Amount | Interest Rate | ||||||||||||
Overdrawn demand deposit accounts | $ | 171 | 4.10 | % | $ | 181 | 4.05 | % | ||||||||
2010 | — | — | 14,909,262 | 0.98 | ||||||||||||
2011 | 12,362,781 | 0.70 | 7,059,173 | 1.27 | ||||||||||||
2012 | 1,511,311 | 3.15 | 8,163,416 | 0.80 | ||||||||||||
2013 | 2,927,555 | 2.17 | 8,637,127 | 0.86 | ||||||||||||
2014 | 1,419,491 | 1.11 | 1,262,879 | 0.99 | ||||||||||||
2015 | 736,210 | 2.97 | 416,906 | 3.67 | ||||||||||||
Thereafter | 3,389,605 | 3.78 | 3,176,260 | 3.86 | ||||||||||||
Amortizing advances* | 2,713,632 | 4.40 | 3,282,368 | 4.53 | ||||||||||||
Total par value | 25,060,756 | 1.93 | % | 46,907,572 | 1.44 | % | ||||||||||
Deferred prepayment fees | (31,290 | ) | (1,935 | ) | ||||||||||||
Commitment fees | (105 | ) | (110 | ) | ||||||||||||
Hedging adjustments | 426,295 | 357,047 | ||||||||||||||
Total | $ | 25,455,656 | $ | 47,262,574 | ||||||||||||
* | Amortizing advances require repayment according to predetermined amortization schedules. |
Year of Contractual Maturity or Next Call Date | 2010 | 2009 | ||||||
Overdrawn demand deposit accounts | $ | 171 | $ | 181 | ||||
2010 | — | 14,975,701 | ||||||
2011 | 12,437,799 | 7,082,672 | ||||||
2012 | 1,534,056 | 8,187,107 | ||||||
2013 | 2,953,639 | 8,664,137 | ||||||
2014 | 1,433,491 | 1,277,606 | ||||||
2015 | 750,082 | 412,830 | ||||||
Thereafter | 3,237,886 | 3,024,970 | ||||||
Amortizing advances | 2,713,632 | 3,282,368 | ||||||
Total par value | $ | 25,060,756 | $ | 46,907,572 | ||||
F-24
Table of Contents
Year of Contractual Maturity or Next Put Date | 2010 | 2009 | ||||||
Overdrawn demand deposit accounts | $ | 171 | $ | 181 | ||||
2010 | — | 17,653,132 | ||||||
2011 | 15,288,601 | 7,288,623 | ||||||
2012 | 1,494,561 | 8,149,166 | ||||||
2013 | 2,476,955 | 8,166,527 | ||||||
2014 | 1,409,091 | 1,252,479 | ||||||
2015 | 565,210 | 235,906 | ||||||
Thereafter | 1,112,535 | 879,190 | ||||||
Amortizing advances | 2,713,632 | 3,282,368 | ||||||
Total par value | $ | 25,060,756 | $ | 46,907,572 | ||||
2010 | 2009 | |||||||
Fixed-rate | ||||||||
Due in one year or less | $ | 7,688,427 | $ | 9,878,443 | ||||
Due after one year | 10,607,136 | 12,438,216 | ||||||
Total fixed rate | 18,295,563 | 22,316,659 | ||||||
Variable-rate | ||||||||
Due in one year or less | 4,690,851 | 5,062,871 | ||||||
Due after one year | 2,074,342 | 19,528,042 | ||||||
Total variable-rate | 6,765,193 | 24,590,913 | ||||||
Total par value | $ | 25,060,756 | $ | 46,907,572 | ||||
F-25
Table of Contents
2010 | 2009 | |||||||
Fixed-rate medium-term* single-family mortgages | $ | 48,102 | $ | 63,737 | ||||
Fixed-rate long-term single-family mortgages | 157,896 | 194,273 | ||||||
Premiums | 1,681 | 2,227 | ||||||
Discounts | (286 | ) | (380 | ) | ||||
Total mortgage loans held for portfolio | $ | 207,393 | $ | 259,857 | ||||
* | Medium-term is defined as an original term of 15 years or less. |
F-26
Table of Contents
F-27
Table of Contents
F-28
Table of Contents
December 31, 2010 | December 31, 2009 | |||||||||||||||||||||||
Government- | Government- | |||||||||||||||||||||||
Guaranteed/ | Guaranteed/ | |||||||||||||||||||||||
Conventional Loans | Insured Loans | Total | Conventional Loans | Insured Loans | Total | |||||||||||||||||||
Mortgage loans: | ||||||||||||||||||||||||
30-59 days delinquent | $ | 2,092 | $ | 4,993 | $ | 7,085 | $ | 1,740 | $ | 6,710 | $ | 8,450 | ||||||||||||
60-89 days delinquent | 919 | 1,406 | 2,325 | 562 | 1,997 | 2,559 | ||||||||||||||||||
90 days or more delinquent | 1,254 | 857 | 2,111 | 1,115 | 2,515 | 3,630 | ||||||||||||||||||
Total past due | 4,265 | 7,256 | 11,521 | 3,417 | 11,222 | 14,639 | ||||||||||||||||||
Total current loans | 103,866 | 90,611 | 194,477 | 135,616 | 107,755 | 243,371 | ||||||||||||||||||
Total mortgage loans | $ | 108,131 | $ | 97,867 | $ | 205,998 | $ | 139,033 | $ | 118,977 | $ | 258,010 | ||||||||||||
Other delinquency statistics: | ||||||||||||||||||||||||
In process of foreclosure(1) | $ | 678 | $ | 73 | $ | 751 | $ | 272 | $ | 1,271 | $ | 1,543 | ||||||||||||
Serious delinquency rate(2) | 1.2 | % | 0.9 | % | 1.0 | % | 0.8 | % | 2.1 | % | 1.4 | % | ||||||||||||
Past due 90 days or more and still accruing interest(3) | $ | — | $ | 857 | $ | 857 | $ | — | $ | 2,515 | $ | 2,515 | ||||||||||||
Non-accrual loans | $ | 1,254 | $ | — | $ | 1,254 | $ | 1,115 | $ | — | $ | 1,115 | ||||||||||||
Troubled debt restructurings | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
(1) | Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been made. | |
(2) | Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total loan portfolio. | |
(3) | Only government-guaranteed/insured mortgage loans continue to accrue interest after they become 90 days past due. |
Year Ended December 31, | ||||||||||||
2010 | 2009 | 2008 | ||||||||||
Balance, beginning of year | $ | 240 | $ | 261 | $ | 263 | ||||||
Chargeoffs | (15 | ) | (21 | ) | (2 | ) | ||||||
Balance, end of year | $ | 225 | $ | 240 | $ | 261 | ||||||
F-29
Table of Contents
2010 | 2009 | |||||||
Interest-bearing | ||||||||
Demand and overnight | $ | 989,902 | $ | 1,306,066 | ||||
Term | 80,126 | 156,488 | ||||||
Non-interest bearing (other) | 24 | 37 | ||||||
Total deposits | $ | 1,070,052 | $ | 1,462,591 | ||||
F-30
Table of Contents
2010 | 2009 | |||||||
Fixed-rate | $ | 14,582,605 | $ | 26,648,455 | ||||
Simple variable-rate | 13,411,000 | 20,560,000 | ||||||
Step-up | 3,001,500 | 3,473,000 | ||||||
Variable that converts to fixed | 83,000 | 365,000 | ||||||
Step-down | — | 125,000 | ||||||
Total par value | $ | 31,078,105 | $ | 51,171,455 | ||||
2010 | 2009 | |||||||||||||||
Weighted | Weighted | |||||||||||||||
Average | Average | |||||||||||||||
Interest | Interest | |||||||||||||||
Year of Contractual Maturity | Amount | Rate | Amount | Rate | ||||||||||||
2010 | $ | — | — | % | $ | 30,951,315 | 1.18 | % | ||||||||
2011 | 18,269,685 | 0.86 | 9,163,685 | 1.52 | ||||||||||||
2012 | 6,107,905 | 2.17 | 5,569,440 | 2.40 | ||||||||||||
2013 | 1,465,000 | 2.59 | 1,085,000 | 3.39 | ||||||||||||
2014 | 1,400,440 | 2.65 | 1,191,440 | 3.39 | ||||||||||||
2015 | 883,255 | 2.69 | 603,255 | 3.76 | ||||||||||||
Thereafter | 2,951,820 | 3.28 | 2,607,320 | 4.11 | ||||||||||||
Total par value | 31,078,105 | 1.56 | 51,171,455 | 1.65 | ||||||||||||
Premiums | 51,349 | 85,618 | ||||||||||||||
Discounts | (11,977 | ) | (15,451 | ) | ||||||||||||
Hedging adjustments | 198,128 | 274,234 | ||||||||||||||
Total | $ | 31,315,605 | $ | 51,515,856 | ||||||||||||
2010 | 2009 | |||||||
Non-callable bonds | $ | 26,278,890 | $ | 44,056,715 | ||||
Callable bonds | 4,799,215 | 7,114,740 | ||||||
Total par value | $ | 31,078,105 | $ | 51,171,455 | ||||
F-31
Table of Contents
Year of Contractual Maturity or Next Call Date | 2010 | 2009 | ||||||
2010 | $ | — | $ | 35,970,315 | ||||
2011 | 21,479,505 | 8,743,005 | ||||||
2012 | 6,594,905 | 4,358,440 | ||||||
2013 | 1,545,000 | 890,000 | ||||||
2014 | 440,440 | 216,440 | ||||||
2015 | 336,255 | 311,255 | ||||||
Thereafter | 682,000 | 682,000 | ||||||
Total par value | $ | 31,078,105 | $ | 51,171,455 | ||||
Weighted | ||||||||||||
Average Implied | ||||||||||||
Book Value | Par Value | Interest Rate | ||||||||||
December 31, 2010 | $ | 5,131,978 | $ | 5,132,613 | 0.15 | % | ||||||
December 31, 2009 | $ | 8,762,028 | $ | 8,764,942 | 0.27 | % | ||||||
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2010 | 2009 | 2008 | ||||||||||
Balance, beginning of year | $ | 43,714 | $ | 43,067 | $ | 47,440 | ||||||
AHP assessment | 11,641 | 16,461 | 8,949 | |||||||||
Grants funded, net of recaptured amounts | (14,311 | ) | (15,814 | ) | (13,322 | ) | ||||||
Balance, end of year | $ | 41,044 | $ | 43,714 | $ | 43,067 | ||||||
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December 31, 2010 | December 31, 2009 | |||||||||||||||||||||||
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 | $ | 8,538,084 | $ | 29,201 | $ | 501,545 | $ | 10,877,414 | $ | 35,442 | $ | 481,486 | ||||||||||||
Consolidated obligation bonds | 14,650,120 | 352,710 | 53,502 | 27,613,970 | 487,664 | 17,743 | ||||||||||||||||||
Interest rate caps related to advances | 83,000 | 632 | — | 76,000 | 69 | — | ||||||||||||||||||
Total derivatives designated as hedging instruments under ASC 815 | 23,271,204 | 382,543 | 555,047 | 38,567,384 | 523,175 | 499,229 | ||||||||||||||||||
Derivatives not designated as hedging instruments under ASC 815 | ||||||||||||||||||||||||
Interest rate swaps | ||||||||||||||||||||||||
Advances | 6,000 | — | 59 | 5,000 | — | 103 | ||||||||||||||||||
Consolidated obligation bonds | 1,600,000 | 2,262 | — | 8,195,000 | 16,611 | 129 | ||||||||||||||||||
Consolidated obligation discount notes | 912,722 | 2,825 | — | 6,413,343 | 12,766 | — | ||||||||||||||||||
Basis swaps(1) | 6,700,000 | 14,886 | — | 9,700,000 | 22,868 | 1,290 | ||||||||||||||||||
Intermediary transactions | 44,200 | 508 | 426 | 24,200 | 474 | 428 | ||||||||||||||||||
Interest rate swaptions related to optional advance commitments | 150,000 | 10,409 | — | — | — | — | ||||||||||||||||||
Interest rate caps related to advances | 13,000 | — | — | 10,000 | 6 | — | ||||||||||||||||||
Interest rate caps related to held-to-maturity securities | 3,700,000 | 19,585 | — | 3,750,000 | 51,147 | — | ||||||||||||||||||
Total derivatives not designated as hedging instruments under ASC 815 | 13,125,922 | 50,475 | 485 | 28,097,543 | 103,872 | 1,950 | ||||||||||||||||||
Total derivatives before netting and collateral adjustments | $ | 36,397,126 | 433,018 | 555,532 | $ | 66,664,927 | 627,047 | 501,179 | ||||||||||||||||
Cash collateral and related accrued interest | (55,481 | ) | (215,356 | ) | (204,748 | ) | (143,378 | ) | ||||||||||||||||
Netting adjustments | (338,866 | ) | (338,866 | ) | (357,315 | ) | (357,315 | ) | ||||||||||||||||
Total collateral and netting adjustments(2) | (394,347 | ) | (554,222 | ) | (562,063 | ) | (500,693 | ) | ||||||||||||||||
Net derivative balances reported in statements of condition | $ | 38,671 | $ | 1,310 | $ | 64,984 | $ | 486 | ||||||||||||||||
(1) | The Bank’s basis swaps are used to reduce its exposure to changing spreads between one-month and three-month LIBOR. | |
(2) | 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. |
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Gain (Loss) Recognized in Earnings | ||||||||||||
for the Year Ended December 31, | ||||||||||||
2010 | 2009 | 2008 | ||||||||||
Derivatives and hedged items in ASC 815 fair value hedging relationships | ||||||||||||
Interest rate swaps | $ | 164 | $ | 59,329 | $ | (46,791 | ) | |||||
Interest rate caps | (585 | ) | (30 | ) | (1,437 | ) | ||||||
Total net gain (loss) related to fair value hedge ineffectiveness | (421 | ) | 59,299 | (48,228 | ) | |||||||
Derivatives not designated as hedging instruments under ASC 815 | ||||||||||||
Net interest income on interest rate swaps | 18,736 | 107,564 | 4,956 | |||||||||
Interest rate swaps | ||||||||||||
Advances | 65 | (36 | ) | 321 | ||||||||
Available-for-sale securities | — | — | 1,037 | |||||||||
Consolidated obligation bonds | (8,176 | ) | 10,337 | (926 | ) | |||||||
Consolidated obligation discount notes | (1,324 | ) | (7,395 | ) | 9,216 | |||||||
Basis swaps(1) | 2,033 | 8,994 | 42,530 | |||||||||
Intermediary transactions | 36 | 30 | 16 | |||||||||
Interest rate swaptions related to optional advance commitments | 3,248 | — | — | |||||||||
Interest rate caps | ||||||||||||
Advances | (6 | ) | — | — | ||||||||
Held-to-maturity securities | (31,930 | ) | 14,316 | (2,243 | ) | |||||||
Total net gain (loss) related to derivatives not designated as hedging instruments under ASC 815 | (17,318 | ) | 133,810 | 54,907 | ||||||||
Net gains (losses) on derivatives and hedging activities reported in the statements of income | $ | (17,739 | ) | $ | 193,109 | $ | 6,679 | |||||
(1) | The Bank’s basis swaps are used to reduce its exposure to changing spreads between one-month and three-month LIBOR. |
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Gain (Loss) on | Gain (Loss) on | Net Fair Value Hedge | Derivative Net Interest | |||||||||||||
Hedged Item | Derivatives | Hedged Items | Ineffectiveness(1) | Income (Expense)(2) | ||||||||||||
Year ended December 31, 2010 | ||||||||||||||||
Advances | $ | (86,040 | ) | $ | 85,296 | $ | (744 | ) | $ | (271,839 | ) | |||||
Consolidated obligation bonds | (73,198 | ) | 73,521 | 323 | 389,666 | |||||||||||
Total | $ | (159,238 | ) | $ | 158,817 | $ | (421 | ) | $ | 117,827 | ||||||
Year ended December 31, 2009 | ||||||||||||||||
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 statements of income. | |
(2) | The net interest income (expense) associated with derivatives in ASC 815 fair value hedging relationships is reported in the statements of income in the interest income/expense line item for the indicated hedged item. |
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2010 | 2009 | |||||||
Excess stock | ||||||||
Capital stock | $ | 222,321 | $ | 287,208 | ||||
Mandatorily redeemable capital stock | 4,004 | 4,990 | ||||||
Total | $ | 226,325 | $ | 292,198 | ||||
Surplus stock | ||||||||
Capital stock | $ | 183,149 | $ | 135,504 | ||||
Mandatorily redeemable capital stock | 3,896 | 4,618 | ||||||
Total | $ | 187,045 | $ | 140,122 | ||||
December 31, 2010 | December 31, 2009 | |||||||||||||||
Required | Actual | Required | Actual | |||||||||||||
Regulatory capital requirements: | ||||||||||||||||
Risk-based capital | $ | 402,820 | $ | 2,061,190 | $ | 507,287 | $ | 2,897,162 | ||||||||
Total capital | $ | 1,587,603 | $ | 2,061,190 | $ | 2,603,683 | $ | 2,897,162 | ||||||||
Total capital-to-assets ratio | 4.00 | % | 5.19 | % | 4.00 | % | 4.45 | % | ||||||||
Leverage capital | $ | 1,984,503 | $ | 3,091,785 | $ | 3,254,604 | $ | 4,345,743 | ||||||||
Leverage capital-to-assets ratio | 5.00 | % | 7.79 | % | 5.00 | % | 6.68 | % |
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2011 | $ | 853 | ||
2012 | 2,808 | |||
2013 | 929 | |||
2014 | 1,068 | |||
2015 | 2,418 | |||
Total | $ | 8,076 | ||
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Balance, January 1, 2008 | $ | 82,501 | ||
Capital stock that became subject to mandatory redemption during the year | 72,511 | |||
Redemption/repurchase 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/repurchase of mandatorily redeemable capital stock | (188,347 | ) | ||
Mandatorily redeemable capital stock issued during the year | 73 | |||
Stock dividends classified as mandatorily redeemable | 282 | |||
Balance, December 31, 2009 | 9,165 | |||
Capital stock that became subject to mandatory redemption during the year | 2,434 | |||
Redemption/repurchase of mandatorily redeemable capital stock | (3,662 | ) | ||
Mandatorily redeemable capital stock issued during the year | 111 | |||
Stock dividends classified as mandatorily redeemable | 28 | |||
Balance, December 31, 2010 | $ | 8,076 | ||
2010 | 2009 | 2008 | ||||||||||
Number of institutions, beginning of year | 24 | 18 | 16 | |||||||||
Due to mergers and acquisitions | 4 | 1 | 1 | |||||||||
Due to withdrawals | 2 | 3 | 1 | |||||||||
Due to termination of membership by the Bank* | 1 | 6 | 2 | |||||||||
Mandatorily redeemable capital stock reclassified to equity | (2 | ) | — | — | ||||||||
Terminations completed during the year | (6 | ) | (4 | ) | (2 | ) | ||||||
Number of institutions, end of year | 23 | 24 | 18 | |||||||||
* | 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 |
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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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F-44
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Year Ended December 31, | ||||||||
2010 | 2009 | |||||||
Change in APBO | ||||||||
APBO at beginning of year | $ | 2,073 | $ | 2,544 | ||||
Service cost | 12 | 13 | ||||||
Interest cost | 107 | 155 | ||||||
Actuarial (gain) loss | (16 | ) | (428 | ) | ||||
Participant contributions | 188 | 172 | ||||||
Benefits paid | (201 | ) | (383 | ) | ||||
APBO at end of year | 2,163 | 2,073 | ||||||
Change in plan assets | ||||||||
Fair value of plan assets at beginning of year | — | — | ||||||
Bank contributions | 13 | 211 | ||||||
Participant contributions | 188 | 172 | ||||||
Benefits paid | (201 | ) | (383 | ) | ||||
Fair value of plan assets at end of year | — | — | ||||||
Funded status recognized in other liabilities at end of year | $ | (2,163 | ) | $ | (2,073 | ) | ||
December 31, | ||||||||
2010 | 2009 | |||||||
Net actuarial loss (gain) | $ | (443 | ) | $ | (467 | ) | ||
Prior service cost (credit) | (118 | ) | (152 | ) | ||||
$ | (561 | ) | $ | (619 | ) | |||
Year Ended December 31, | ||||||||||||
2010 | 2009 | 2008 | ||||||||||
Service cost | $ | 12 | $ | 13 | $ | 21 | ||||||
Interest cost | 107 | 155 | 157 | |||||||||
Amortization of prior service cost (credit) | (34 | ) | (35 | ) | (35 | ) | ||||||
Amortization of net loss (gain) | (40 | ) | — | 30 | ||||||||
Net periodic benefit cost | $ | 45 | $ | 133 | $ | 173 | ||||||
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Year Ended December 31, | ||||||||||||
2010 | 2009 | 2008 | ||||||||||
Amortization of prior service credit included in net periodic benefit cost | $ | (34 | ) | $ | (35 | ) | $ | (35 | ) | |||
Actuarial gain (loss) | 16 | 428 | (161 | ) | ||||||||
Amortization of net actuarial loss (gain) included in net periodic benefit cost | (40 | ) | — | 30 | ||||||||
Total changes in benefit obligations recognized in other comprehensive income | $ | (58 | ) | $ | 393 | $ | (166 | ) | ||||
Expected Benefit | ||||
Payments, Net of | ||||
Year Ended | Participant | |||
December 31, | Contributions | |||
2011 | $ | 153 | ||
2012 | 147 | |||
2013 | 109 | |||
2014 | 128 | |||
2015 | 145 | |||
2016-2020 | 664 | |||
$ | 1,346 | |||
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F-48
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December 31, 2010 | December 31, 2009 | |||||||||||||||
Carrying | Estimated | Carrying | Estimated | |||||||||||||
Financial Instruments | Value | Fair Value | Value | Fair Value | ||||||||||||
Assets: | ||||||||||||||||
Cash and due from banks | $ | 1,631,899 | $ | 1,631,899 | $ | 3,908,242 | $ | 3,908,242 | ||||||||
Interest-bearing deposits | 208 | 208 | 233 | 233 | ||||||||||||
Federal funds sold | 3,767,000 | 3,767,000 | 2,063,000 | 2,063,000 | ||||||||||||
Trading securities | 5,317 | 5,317 | 4,034 | 4,034 | ||||||||||||
Held-to-maturity securities | 8,496,429 | 8,602,589 | 11,424,552 | 11,381,786 | ||||||||||||
Advances | 25,455,656 | 25,672,203 | 47,262,574 | 47,279,403 | ||||||||||||
Mortgage loans held for portfolio, net | 207,168 | 225,336 | 259,617 | 274,044 | ||||||||||||
Accrued interest receivable | 43,248 | 43,248 | 60,890 | 60,890 | ||||||||||||
Derivative assets | 38,671 | 38,671 | 64,984 | 64,984 | ||||||||||||
Liabilities: | ||||||||||||||||
Deposits | 1,070,052 | 1,070,044 | 1,462,591 | 1,462,589 | ||||||||||||
Consolidated obligations: | ||||||||||||||||
Discount notes | 5,131,978 | 5,132,290 | 8,762,028 | 8,763,983 | ||||||||||||
Bonds | 31,315,605 | 31,444,058 | 51,515,856 | 51,684,542 | ||||||||||||
Mandatorily redeemable capital stock | 8,076 | 8,076 | 9,165 | 9,165 | ||||||||||||
Accrued interest payable | 94,417 | 94,417 | 179,248 | 179,248 | ||||||||||||
Derivative liabilities | 1,310 | 1,310 | 486 | 486 | ||||||||||||
Optional advance commitments (other liabilities) | 11,156 | 11,156 | — | — |
Netting | ||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Adjustment(1) | Total | ||||||||||||||||
Assets | ||||||||||||||||||||
Trading securities | $ | 5,317 | $ | — | $ | — | $ | — | $ | 5,317 | ||||||||||
Derivative assets | — | 433,018 | — | (394,347 | ) | 38,671 | ||||||||||||||
Total assets at fair value | $ | 5,317 | $ | 433,018 | $ | — | $ | (394,347 | ) | $ | 43,988 | |||||||||
Liabilities | ||||||||||||||||||||
Derivative liabilities | $ | — | $ | 555,532 | $ | — | $ | (554,222 | ) | $ | 1,310 | |||||||||
Optional advance commitments (other liabilities) | — | 11,156 | — | — | 11,156 | |||||||||||||||
Total liabilities at fair value | $ | — | $ | 566,688 | $ | — | $ | (554,222 | ) | $ | 12,466 | |||||||||
(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 | $ | 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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Year | Premises | Equipment | Total | |||||||||
2011 | $ | 253 | $ | 94 | $ | 347 | ||||||
2012 | 262 | 78 | 340 | |||||||||
2013 | 51 | 16 | 67 | |||||||||
2014 | 26 | — | 26 | |||||||||
2015 | — | — | — | |||||||||
Total | $ | 592 | $ | 188 | $ | 780 | ||||||
Year | ||||
2011 | $ | 1,073 | ||
2012 | 1,194 | |||
2013 | 1,224 | |||
2014 | 599 | |||
2015 | 588 | |||
Total | $ | 4,678 | ||
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Year Ended December 31, | ||||||||
2009 | 2008 | |||||||
Balance, January 1, | $ | — | $ | 400,000 | ||||
Loans made to: | ||||||||
FHLBank of Boston | 375,000 | 832,000 | ||||||
FHLBank of Seattle | 25,000 | — | ||||||
FHLBank of San Francisco | — | 1,265,000 | ||||||
Collections from: | ||||||||
FHLBank of Boston | (375,000 | ) | (832,000 | ) | ||||
FHLBank of Seattle | (25,000 | ) | — | |||||
FHLBank of San Francisco | — | (1,665,000 | ) | |||||
Balance, December 31, | $ | — | $ | — | ||||
Year Ended December 31, | ||||||||
2009 | 2008 | |||||||
Balance, January 1 | $ | — | $ | — | ||||
Borrowings from: | ||||||||
FHLBank of Atlanta | — | 70,000 | ||||||
FHLBank of Cincinnati | — | 200,000 | ||||||
FHLBank of Indianapolis | — | 240,000 | ||||||
FHLBank of San Francisco | 200,000 | 500,000 | ||||||
FHLBank of Seattle | — | 25,000 | ||||||
Repayments to: | ||||||||
FHLBank of Atlanta | — | (70,000 | ) | |||||
FHLBank of Cincinnati | — | (200,000 | ) | |||||
FHLBank of Indianapolis | — | (240,000 | ) | |||||
FHLBank of San Francisco | (200,000 | ) | (500,000 | ) | ||||
FHLBank of Seattle | — | (25,000 | ) | |||||
Balance, December 31 | $ | — | $ | — | ||||
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F-54
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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 (incorporated by reference to Exhibit 3.2 to the Bank’s Annual Report on Form 10-K for the fiscal year ended December 31, 2009, filed on March 25, 2010). | |
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 | 2010 Amendment to Deferred Compensation Plan of the Registrant for Deferrals Effective January 1, 2005, dated July 22, 2010 (incorporated by reference to Exhibit 10.1 to the Bank’s Quarterly Report on Form 10-Q for the fiscal quarter ended September 30, 2010, filed on November 12, 2010). | |
10.5 | 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). | |
10.6 | 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). | |
10.7 | 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). | |
10.8 | 2010 Amendment to Non-Qualified Deferred Compensation Plan for the Board of Directors of the Registrant for Deferrals Effective January 1, 2005, dated July 22, 2010 (incorporated by reference to Exhibit 10.2 to the Bank’s Quarterly Report on Form 10-Q for the fiscal quarter ended September 30, 2010, filed on November 12, 2010). | |
10.9 | Consolidated Deferred Compensation Plan of the Registrant for deferrals made on or after January 1, 2011, as adopted by the Bank’s Board of Directors on December 29, 2010. | |
10.10 | 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). | |
10.11 | 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 |
Table of Contents
Exhibit | ||
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). | ||
10.12 | 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). | |
10.13 | Form of 2010 Long Term Incentive Plan including the Form of Award Agreement (filed as Exhibit 10.1 to the Bank’s Current Report on Form 8-K dated May 28, 2010 and filed with the SEC on June 4, 2010, which exhibit is incorporated herein by reference). | |
10.14 | 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). | |
10.15 | 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). | |
10.16 | 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 (incorporated by reference to Exhibit 14.1 to the Bank’s Annual Report on Form 10-K for the fiscal year ended December 31, 2009, filed on March 25, 2010). | |
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. |