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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 filer o | Accelerated filer o | Non-accelerated filer þ (Do not check if a smaller reporting company) | Smaller reporting company o |
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December 31, | ||||||||||||
2008 | 2007 | 2006 | ||||||||||
Commercial banks | 759 | 736 | 746 | |||||||||
Thrifts | 85 | 86 | 90 | |||||||||
Credit unions | 60 | 48 | 44 | |||||||||
Insurance companies | 19 | 16 | 15 | |||||||||
Total members | 923 | 886 | 895 | |||||||||
Housing associates | 8 | 8 | 8 | |||||||||
Non-member borrowers | 13 | 15 | 13 | |||||||||
Total | 944 | 909 | 916 | |||||||||
Community Financial Institutions (“CFIs”)(1) | 796 | 742 | 760 | |||||||||
(1) | The figures presented above reflect the number of members that were CFIs as of December 31, 2008, 2007 and 2006 based upon the definitions of CFIs that applied as of those dates. |
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Year Ended December 31, | ||||||||||||
2008 | 2007 | 2006 | ||||||||||
Advances (including prepayment fees) | 79.2 | % | 73.2 | % | 75.6 | % | ||||||
Investment activities | 19.8 | 25.7 | 22.8 | |||||||||
Mortgage loans held for portfolio | 0.9 | 0.8 | 1.0 | |||||||||
Other | 0.1 | 0.3 | 0.6 | |||||||||
Total | 100.0 | % | 100.0 | % | 100.0 | % | ||||||
Total interest income (in thousands) | $ | 2,294,736 | $ | 2,886,482 | $ | 2,889,202 | ||||||
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• | instruments, such as common stock, that represent an ownership interest in an entity, other than stock in small business investment companies, or certain investments targeted to low-income persons or communities; | ||
• | instruments issued by non-United States entities, other than those issued by United States branches and agency offices of foreign commercial banks; | ||
• | non-investment grade debt instruments, other than certain investments targeted to low-income persons or communities and instruments that were downgraded after purchase by the Bank; | ||
• | whole mortgages or other whole loans, other than 1) those acquired by the Bank through a duly authorized AMA program such as the MPF 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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• | establishes the Finance Agency effective on the date of enactment of the HER Act to regulate (i) Fannie Mae and Freddie Mac (collectively, the “Enterprises”), (ii) the FHLBanks (together with the Enterprises, the “Regulated Entities”) and (iii) the Office of Finance; | ||
• | eliminates the Office of Federal Housing Enterprise Oversight (“OFHEO”) and the Finance Board no later than one year after enactment and restricts their activities during such period to those necessary to wind up their affairs (on October 27, 2008, the Finance Agency announced that the formal integration of OFHEO and the Finance Board into the Finance Agency had been completed); | ||
• | establishes a director (“Director”) of the Finance Agency with broad authority over the Regulated Entities; | ||
• | amends certain aspects of the FHLBanks’ corporate governance; | ||
• | authorizes voluntary mergers of FHLBanks with the approval of the Director and permits the Director to liquidate a FHLBank, in either case even if the result is fewer than eight FHLBanks (prior law required that there be no fewer than eight and no more than 12 FHLBanks); | ||
• | makes, or requires the Director to study and report on, other changes regarding the membership and activities of the FHLBanks; | ||
• | provides that all regulations, orders, directives and determinations issued by the Finance Board and OFHEO prior to enactment of the HER Act immediately transfer to the Finance Agency and remain in force unless modified, terminated, or set aside by the Director; and | ||
• | grants the Secretary of the Treasury the temporary authority (through December 31, 2009 and subject to certain conditions) to purchase obligations and other securities issued by Fannie Mae, Freddie Mac, and the FHLBanks. |
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Member | Number of Votes | |||||
Nominee | Institution | Received | ||||
Lee R. Gibson | Southside Bank | 882,010 | ||||
Executive Vice President and Chief | Tyler, TX | |||||
Financial Officer | ||||||
Howard R. Hackney | Texas Bank and Trust Company | 432,445 | ||||
Director | Longview, TX | |||||
John Davenport | Legacy Texas Bank | 320,572 | ||||
Executive Vice President | Plano, TX | |||||
Lynn Krauss | First Community Bank San Antonio | 284,772 | ||||
Director | San Antonio, TX | |||||
Peter Fisher | Prosperity Bank | 141,459 | ||||
Vice Chairman/General Counsel | El Campo, TX | |||||
Steve Holt | One World Bank | 22,734 | ||||
President/Chief Executive Officer | Dallas, TX |
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(dollars in thousands)
2008 | 2007 | |||||||||||||||
Annualized | Annualized | |||||||||||||||
Amount(1) | Rate(3) | Amount(2) | Rate(3) | |||||||||||||
First Quarter | $ | 26,787 | 4.50 | % | $ | 31,590 | 5.25 | % | ||||||||
Second Quarter | 20,043 | 3.18 | 29,995 | 5.26 | ||||||||||||
Third Quarter | 15,253 | 2.09 | 26,796 | 5.25 | ||||||||||||
Fourth Quarter | 15,043 | 1.94 | 26,892 | 5.08 |
(1) | Amounts include (in thousands) $927, $541, $361 and $219 of dividends paid on mandatorily redeemable capital stock for the first, second, third and fourth quarters of 2008, respectively. For financial reporting purposes, these dividends were classified as interest expense. | |
(2) | Amounts include (in thousands) $2,228, $1,912, $1,283 and $1,209 of dividends paid on mandatorily redeemable capital stock for the first, second, third and fourth quarters of 2007, 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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2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||
Balance sheet(at year end) | ||||||||||||||||||||
Advances | $ | 60,919,883 | $ | 46,298,158 | $ | 41,168,141 | $ | 46,456,958 | $ | 47,112,017 | ||||||||||
Investments(1) | 13,704,406 | 16,399,681 | 13,428,864 | 17,161,270 | 15,808,508 | |||||||||||||||
Mortgage loans, net(2) | 327,059 | 381,468 | 449,626 | 542,478 | 706,203 | |||||||||||||||
Total assets(3) | 78,932,898 | 63,458,256 | 55,457,966 | 64,519,215 | 64,006,243 | |||||||||||||||
Consolidated obligations — discount notes | 16,745,420 | 24,119,433 | 8,225,787 | 11,219,806 | 7,085,710 | |||||||||||||||
Consolidated obligations — bonds | 56,613,595 | 32,855,379 | 41,684,138 | 46,121,709 | 51,452,135 | |||||||||||||||
Total consolidated obligations(4) | 73,359,015 | 56,974,812 | 49,909,925 | 57,341,515 | 58,537,845 | |||||||||||||||
Mandatorily redeemable capital stock(5) | 90,353 | 82,501 | 159,567 | 319,335 | 327,121 | |||||||||||||||
Capital stock — putable | 3,223,830 | 2,393,980 | 2,248,147 | 2,298,622 | 2,492,789 | |||||||||||||||
Retained earnings | 216,025 | 211,762 | 190,625 | 178,494 | 25,920 | |||||||||||||||
Dividends paid(5) | 75,078 | 108,641 | 110,049 | 89,813 | 43,961 | |||||||||||||||
Income statement | ||||||||||||||||||||
Interest income | $ | 2,294,736 | $ | 2,886,482 | $ | 2,889,202 | $ | 2,292,736 | $ | 1,300,067 | ||||||||||
Net interest income | 150,358 | 223,026 | 216,292 | 222,559 | 220,776 | |||||||||||||||
Income before cumulative effect of change in accounting principle(2) | 79,341 | 129,778 | 122,180 | 241,479 | 64,667 | |||||||||||||||
Net income (2) | 79,341 | 129,778 | 122,180 | 242,387 | 64,667 | |||||||||||||||
Performance ratios | ||||||||||||||||||||
Net interest margin(6) | 0.20 | % | 0.40 | % | 0.37 | % | 0.34 | % | 0.36 | % | ||||||||||
Return on average assets (2)(3) | 0.11 | 0.24 | 0.21 | 0.37 | 0.10 | |||||||||||||||
Return on average equity(2) | 2.52 | 5.58 | 4.98 | 8.90 | 2.55 | |||||||||||||||
Return on average capital stock(2)(7) | 2.73 | 6.18 | 5.42 | 9.66 | 2.73 | |||||||||||||||
Total average equity to average assets(3) | 4.23 | 4.22 | 4.29 | 4.20 | 4.10 | |||||||||||||||
Weighted average dividend rate(8) | 2.58 | 5.17 | 4.88 | 3.58 | 1.86 | |||||||||||||||
Dividend payout ratio(9) | 94.63 | 83.71 | 90.07 | 37.05 | 67.98 | |||||||||||||||
Ratio of earnings to fixed charges | 1.05 | X | 1.07 | X | 1.06 | X | 1.16 | X | 1.08 | X | ||||||||||
Average effective federal funds rate(10) | 1.92 | % | 5.02 | % | 4.97 | % | 3.22 | % | 1.35 | % |
(1) | Investments consist of federal funds sold, loans to other FHLBanks and securities classified as held-to-maturity, available-for-sale and trading. | |
(2) | Effective January 1, 2005, the Bank changed its method of accounting for the amortization and accretion of premiums and discounts on mortgage loans from the retrospective method to the contractual method under Statement of Financial Accounting Standards No. 91. This change resulted in a $1.2 million cumulative increase in the balance of mortgage loans at that date. Net of assessments, the cumulative effect of this change in accounting principle increased 2005 earnings by $908,000. | |
(3) | The Bank adopted FASB Staff Position FIN 39-1 (“FSP FIN 39-1”) on January 1, 2008. In accordance with FSP FIN 39-1, 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 FSP FIN 39-1, the Bank offset only the fair value amounts recognized for derivative instruments executed with the same counterparty under a master netting arrangement pursuant to the provisions of FASB Interpretation No. 39. The total asset balances at December 31, 2007, 2006, 2005 and 2004 have been adjusted to reflect the retrospective application of FSP FIN 39-1. 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 FSP FIN 39-1. | |
(4) | The Bank is jointly and severally liable with the other FHLBanks for the payment of principal and interest on the consolidated obligations of all of the FHLBanks. At December 31, 2008, 2007, 2006, 2005 and 2004, the outstanding consolidated obligations (at par value) of all 12 FHLBanks totaled approximately $1.252 trillion, $1.190 trillion, $0.952 trillion, $0.937 trillion and $0.869 trillion, respectively. As of those dates, the Bank’s outstanding consolidated obligations (at par value) were $72.9 billion, $57.0 billion, $50.2 billion, $57.8 billion and $58.7 billion, respectively. | |
(5) | In accordance with Statement of Financial Accounting Standards No. 150, $90.4 million, $82.5 million, $159.6 million, $319.3 million and $327.1 million of the Bank’s capital stock was classified as a liability (“mandatorily redeemable capital stock”) at December 31, 2008, 2007, 2006, 2005 and 2004, respectively. In addition, $1.2 million, $5.3 million, $13.0 million, $11.7 million and $6.6 million of dividends on mandatorily redeemable capital stock were recorded as interest expense during the years ended December 31, 2008, 2007, 2006, 2005 and 2004, respectively, and are excluded from dividends paid. | |
(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) | Weighted average dividend rates are dividends paid in cash and stock divided by average capital stock outstanding during the year excluding mandatorily redeemable capital stock. | |
(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, | ||||||||||||
2008 | 2007 | 2006 | ||||||||||
Return on average capital stock | 2.73 | % | 6.18 | % | 5.42 | % | ||||||
Average effective federal funds rate | 1.92 | % | 5.02 | % | 4.97 | % | ||||||
Weighted average of dividend rates paid(1) | 2.92 | % | 5.21 | % | 4.88 | % | ||||||
Reference average effective federal funds rate (reference rate)(2) | 2.92 | % | 5.21 | % | 4.88 | % |
(1) | Computed as the average of the dividend rates paid in each quarter during the year weighted by the number of days in each quarter. | |
(2) | See discussion below for a description of the reference rate. |
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Ending Rate | Average Rate | |||||||||||||||||||
December 31, | December 31, | For the Year Ended December 31, | ||||||||||||||||||
2008 | 2007 | 2008 | 2007 | 2006 | ||||||||||||||||
Federal Funds Target(1) | 0.25 | % | 4.25 | % | 2.08 | % | 5.05 | % | 4.96 | % | ||||||||||
Average Effective Federal Funds Rate(2) | 0.14 | % | 3.06 | % | 1.92 | % | 5.02 | % | 4.97 | % | ||||||||||
1-month LIBOR(1) | 0.44 | % | 4.60 | % | 2.68 | % | 5.25 | % | 5.10 | % | ||||||||||
3-month LIBOR (1) | 1.43 | % | 4.70 | % | 2.93 | % | 5.30 | % | 5.20 | % | ||||||||||
2-year LIBOR (1) | 1.48 | % | 3.81 | % | 2.94 | % | 4.91 | % | 5.23 | % | ||||||||||
5-year LIBOR (1) | 2.13 | % | 4.18 | % | 3.69 | % | 5.01 | % | 5.23 | % | ||||||||||
10-year LIBOR (1) | 2.56 | % | 4.67 | % | 4.24 | % | 5.24 | % | 5.32 | % | ||||||||||
3-month U.S. Treasury (1) | 0.08 | % | 3.24 | % | 1.45 | % | 4.46 | % | 4.85 | % | ||||||||||
2-year U.S. Treasury (1) | 0.77 | % | 3.05 | % | 2.00 | % | 4.36 | % | 4.82 | % | ||||||||||
5-year U.S. Treasury (1) | 1.55 | % | 3.44 | % | 2.79 | % | 4.42 | % | 4.75 | % | ||||||||||
10-year U.S. Treasury (1) | 2.21 | % | 4.03 | % | 3.64 | % | 4.63 | % | 4.79 | % |
(1) | Source: Bloomberg | |
(2) | Source: Federal Reserve Statistical Release |
• | The Bank ended 2008 with total assets of $78.9 billion and total advances of $60.9 billion, an increase from $63.5 billion and $46.3 billion, respectively, at the end of 2007. The growth in advances for 2008 reflected in part the unsettled nature of the capital markets throughout the year and the relative attractiveness of advances as a source of liquidity and long-term funding for member institutions. Member demand for advances peaked near the end of the third quarter when conditions in the financial markets were particularly unsettled, ending the third quarter of 2008 at $68.0 billion, and declined during the fourth quarter as market conditions calmed somewhat. | |
• | The Bank’s net income for 2008 was $79.3 million, including $150.4 million of net interest income and $6.7 million in net gains on derivatives and hedging activities. The Bank’s 2008 net income included quarterly results of $31.2 million, $40.6 million, $75.1 million and negative $67.6 million, respectively, for the four quarterly periods. The fourth quarter net loss was primarily the result of the net losses on derivatives and hedging activities and the negative net interest income summarized in the following two paragraphs. | |
• | The $6.7 million in net gains on derivatives and hedging activities for the year included significant quarterly fluctuations in net gains and losses, including net gains of $56.3 million in the third quarter and net losses of $64.4 million in the fourth quarter. Net gains and losses on derivatives and hedging activities for those two |
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quarters were largely unrealized and transitory, and included a $60.9 million unrealized gain in the third quarter and a $122.4 million unrealized loss in the fourth quarter related to hedge ineffectiveness on interest rate swaps used to convert approximately $40 billion of fixed rate consolidated obligation bonds to LIBOR floating rates. Those unrealized gains and losses were attributable in large part to the unusual fluctuations in three-month LIBOR rates, which spiked from 2.82 percent at September 15, 2008 to 4.05 percent at September 30, 2008 and which then fell to 1.43 percent at December 31, 2008. In addition, the Bank recorded a $17.3 million loss in the third quarter and a $60.0 million gain in the fourth quarter related to fair value changes on stand-alone derivatives. These fluctuations were attributable in large part to the significant growth in the Bank’s portfolio of stand-alone derivatives during 2008 and the volatility of and relationship between one- and three-month LIBOR rates during the latter part of the year. The magnitude of the periodic fluctuations in the Bank’s unrealized gains and losses from hedge ineffectiveness and stand-alone derivatives in the future will continue to be driven largely by the volatility of and relationship between short-term LIBOR rates. | ||
• | The Bank’s $150.4 million of net interest income for the full year included negative net interest income of $11.6 million for the fourth quarter. The negative net interest income for the fourth quarter resulted largely from actions the Bank took to ensure its ability to provide liquidity to its members during a period of unusual market disruption. At the height of the credit market disruptions in the early part of the fourth quarter, and in order to ensure that the Bank would have sufficient liquidity on hand to fund member advances throughout the year-end period, the Bank replaced short-term liabilities with new issues of debt with maturities that extended into 2009. As yields subsequently declined sharply on the Bank’s short-term assets, including overnight federal funds sold and short-term advances to members, this debt was carried at a negative spread. The negative spread associated with the investment of this debt in low-yielding short-term assets was a significant contributor to the Bank’s negative net interest income for the fourth quarter. The Bank expects the negative spread on its short-term assets to turn positive as the Bank replaces the debt issued in late 2008 with lower cost debt during the early part of 2009. | |
• | During 2008, unrealized losses on the Bank’s holdings of non-agency residential mortgage-backed securities classified as held-to-maturity increased from $25.6 million (3.1 percent of amortized cost) to $277.0 million (40.9 percent of amortized cost). Based on its year-end 2008 analysis of the securities in this portfolio, the Bank believes that the unrealized losses were principally the result of diminished liquidity and larger risk premiums in the non-agency mortgage-backed securities market and do not accurately reflect the actual historical or currently likely future credit performance of the securities. Because the Bank does not believe that it is probable that it will be unable to collect all principal and interest payments due on the individual securities and because it has the intent and ability to hold all of the securities through to recovery of the unrealized losses, the Bank does not consider any of these investments to be other-than-temporarily impaired at December 31, 2008. However, prospects for future housing market conditions, which will influence whether the Bank will record any other-than-temporary impairment charges in the future, remain uncertain. | |
• | At all times during 2008, the Bank was in compliance with all of its regulatory capital requirements. The Bank’s retained earnings increased to $216.0 million at December 31, 2008 from $211.8 million at December 31, 2007. | |
• | During 2008, the Bank paid dividends totaling $75.1 million (excluding dividends paid on mandatorily redeemable capital stock); the quarterly dividends during the year were paid at rates that equaled the benchmark average effective federal funds rate for the applicable reference periods. While there can be no assurances about 2009 earnings, dividends, or regulatory actions, the Bank currently anticipates that its 2009 earnings will be sufficient both to continue paying dividends at a target rate that approximates the average effective federal funds rate for the applicable quarterly periods of 2009 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, | ||||||||||||||||||||
2008 | 2007 | 2006 | ||||||||||||||||||
Percentage | Percentage | |||||||||||||||||||
Increase | Increase | |||||||||||||||||||
Balance | (Decrease) | Balance | (Decrease) | Balance | ||||||||||||||||
Advances | $ | 60,920 | 31.6 | % | $ | 46,298 | 12.5 | % | $ | 41,168 | ||||||||||
Short-term liquidity holdings | ||||||||||||||||||||
Interest-bearing deposits (4) | 3,684 | * | 1 | — | 1 | |||||||||||||||
Federal funds sold(1) | 1,872 | (75.0 | ) | 7,500 | 36.5 | 5,495 | ||||||||||||||
Commercial paper(2) | — | (100.0 | ) | 994 | * | — | ||||||||||||||
Long-term investments(3) | 11,829 | 49.7 | 7,902 | (0.4 | ) | 7,934 | ||||||||||||||
Mortgage loans, net | 327 | (14.2 | ) | 381 | (15.3 | ) | 450 | |||||||||||||
Total assets(4) | 78,933 | 24.4 | 63,458 | 14.4 | 55,458 | |||||||||||||||
Consolidated obligations — bonds | 56,614 | 72.3 | 32,855 | (21.2 | ) | 41,684 | ||||||||||||||
Consolidated obligations — discount notes | 16,745 | (30.6 | ) | 24,120 | 193.2 | 8,226 | ||||||||||||||
Total consolidated obligations | 73,359 | 28.8 | 56,975 | 14.2 | 49,910 | |||||||||||||||
Mandatorily redeemable capital stock | 90 | 8.4 | 83 | (48.1 | ) | 160 | ||||||||||||||
Capital stock | 3,224 | 34.7 | 2,394 | 6.5 | 2,248 | |||||||||||||||
Retained earnings | 216 | 1.9 | 212 | 11.0 | 191 | |||||||||||||||
Average total assets | 74,641 | 35.6 | 55,056 | (3.7 | ) | 57,172 | ||||||||||||||
Average capital stock | 2,911 | 38.6 | 2,101 | (6.7 | ) | 2,253 | ||||||||||||||
Average mandatorily redeemable capital stock | 57 | (45.2 | ) | 104 | (50.7 | ) | 211 |
* | The percentage increase is not meaningful. | |
(1) | The balance at December 31, 2007 includes $400 million of federal funds sold to another FHLBank. This amount is classified in the Bank’s statement of condition as “Loan to other FHLBank.” | |
(2) | The Bank’s commercial paper investments are classified as held-to-maturity securities. | |
(3) | Consists of securities classified as held-to-maturity (other than short-term commercial paper), available-for-sale and, for 2006, trading. | |
(4) | The balances at December 31, 2007 and 2006 have been adjusted to reflect the retrospective application of FSP FIN 39-1, as discussed in the accompanying audited financial statements (specifically, Note 2 beginning on page F-15 of this report). |
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(par value, dollars in millions)
December 31, | ||||||||||||||||||||||||
2008 | 2007 | 2006 | ||||||||||||||||||||||
Amount | Percent | Amount | Percent | Amount | Percent | |||||||||||||||||||
Commercial banks | $ | 29,889 | 50 | % | $ | 14,797 | 32 | % | $ | 13,747 | 33 | % | ||||||||||||
Thrift institutions | 27,687 | 46 | 27,825 | 60 | 21,717 | 53 | ||||||||||||||||||
Credit unions | 1,565 | 3 | 1,966 | 4 | 1,897 | 4 | ||||||||||||||||||
Insurance companies | 243 | — | 208 | 1 | 215 | 1 | ||||||||||||||||||
Total member advances | 59,384 | 99 | 44,796 | 97 | 37,576 | 91 | ||||||||||||||||||
Housing associates | 131 | — | 5 | — | 9 | — | ||||||||||||||||||
Non-member borrowers | 730 | 1 | 1,338 | 3 | 3,601 | 9 | ||||||||||||||||||
Total par value of advances | $ | 60,245 | 100 | % | $ | 46,139 | 100 | % | $ | 41,186 | 100 | % | ||||||||||||
Total par value of advances outstanding to CFIs(1) | $ | 11,530 | 19 | % | $ | 6,401 | 14 | % | $ | 5,896 | 14 | % |
(1) | The figures presented above reflect the advances outstanding to Community Financial Institutions (“CFIs”) as of December 31, 2008, 2007 and 2006 based upon the definitions of CFIs that applied as of those dates. At December 31, 2007 and 2006, CFIs were defined as FDIC-insured institutions with average total assets over the three prior years of less than $599 million and $587 million, respectively. With the enactment of the HER Act on July 30, 2008, CFIs were redefined as FDIC-insured institutions with average total assets over the three-year period preceding measurement of less than $1 billion, as adjusted annually for inflation. For additional discussion, see Item 1 — Business — Legislative and Regulatory Developments. |
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(Par value, dollars in millions)
Percent of | ||||||||||||||||
Name | City | State | Advances | Total Advances | ||||||||||||
Wachovia Bank, FSB (1) | Houston | TX | $ | 22,263 | 37.0 | % | ||||||||||
Comerica Bank | Dallas | TX | 8,000 | 13.3 | ||||||||||||
International Bank of Commerce | Laredo | TX | 2,290 | 3.8 | ||||||||||||
Guaranty Bank | Austin | TX | 2,157 | 3.6 | ||||||||||||
Southside Bank | Tyler | TX | 885 | 1.5 | ||||||||||||
Renasant Bank | Tupelo | MS | 821 | 1.4 | ||||||||||||
Texas Capital Bank, National Association | Dallas | TX | 800 | 1.3 | ||||||||||||
BancorpSouth Bank | Tupelo | MS | 720 | 1.2 | ||||||||||||
First National Bank | Edinburg | TX | 656 | 1.0 | ||||||||||||
Capital One, National Association(2) | McLean | VA | 627 | 1.0 | ||||||||||||
$ | 39,219 | 65.1 | % |
(1) | Previously known as World Savings Bank, FSB (Texas) | |
(2) | Previously known as Hibernia National Bank |
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(Dollars in millions)
December 31, 2008 | December 31, 2007 | |||||||||||||||
Percentage | Percentage | |||||||||||||||
Balance | of Total | Balance | of Total | |||||||||||||
Fixed rate advances | ||||||||||||||||
Maturity less than one month | $ | 10,745 | 17.8 | % | $ | 13,692 | 29.7 | % | ||||||||
Maturity 1 month to 12 months | 3,404 | 5.6 | 2,526 | 5.5 | ||||||||||||
Maturity greater than 1 year | 7,446 | 12.4 | 4,014 | 8.7 | ||||||||||||
Fixed rate, amortizing | 3,654 | 6.1 | 3,415 | 7.4 | ||||||||||||
Fixed rate, putable | 4,201 | 7.0 | 2,818 | 6.1 | ||||||||||||
Total fixed rate advances | 29,450 | 48.9 | 26,465 | 57.4 | ||||||||||||
Floating rate advances | ||||||||||||||||
Maturity less than one month | 390 | 0.6 | 545 | 1.2 | ||||||||||||
Maturity 1 month to 12 months | 5,695 | 9.5 | 4,190 | 9.1 | ||||||||||||
Maturity greater than 1 year | 24,710 | 41.0 | 14,939 | 32.3 | ||||||||||||
Total floating rate advances | 30,795 | 51.1 | 19,674 | 42.6 | ||||||||||||
Total par value | $ | 60,245 | 100.0 | % | $ | 46,139 | 100.0 | % | ||||||||
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(In millions of dollars)
Balance Sheet Classification | Total Long-Term | |||||||||||||||
Held-to-Maturity | Available-for-Sale | Investments | Held-to-Maturity | |||||||||||||
December 31, 2008 | (at amortized cost) | (at fair value) | (at carrying value) | (at fair value) | ||||||||||||
U.S. agency debentures | ||||||||||||||||
U.S. government guaranteed obligations | $ | 66 | $ | — | $ | 66 | $ | 66 | ||||||||
MBS portfolio | ||||||||||||||||
U.S. government guaranteed obligations | 29 | — | 29 | 28 | ||||||||||||
Government-sponsored enterprises | 10,629 | 99 | 10,728 | 10,386 | ||||||||||||
Non-agency residential MBS | 677 | — | 677 | 400 | ||||||||||||
Non-agency commercial MBS | 297 | 28 | 325 | 287 | ||||||||||||
Total MBS | 11,632 | 127 | 11,759 | 11,101 | ||||||||||||
State or local housing agency debentures | 4 | — | 4 | 3 | ||||||||||||
Total long-term investments | $ | 11,702 | $ | 127 | $ | 11,829 | $ | 11,170 | ||||||||
Balance Sheet Classification | Total Long-Term | |||||||||||||||
Held-to-Maturity | Available-for-Sale | Investments | Held-to-Maturity | |||||||||||||
December 31, 2007 | (at amortized cost) | (at fair value) | (at carrying value) | (at fair value) | ||||||||||||
U.S. agency debentures | ||||||||||||||||
U.S. government guaranteed obligations | $ | 75 | $ | — | $ | 75 | $ | 75 | ||||||||
Government-sponsored enterprises | — | 57 | 57 | — | ||||||||||||
FHLBank consolidated obligations(1) | ||||||||||||||||
FHLBank of Boston (primary obligor) | — | 35 | 35 | — | ||||||||||||
FHLBank of San Francisco (primary obligor) | — | 7 | 7 | — | ||||||||||||
Total U.S. agency debentures | 75 | 99 | 174 | 75 | ||||||||||||
MBS portfolio | ||||||||||||||||
U.S. government guaranteed obligations | 34 | — | 34 | 34 | ||||||||||||
Government-sponsored enterprises | 5,910 | 169 | 6,079 | 5,881 | ||||||||||||
Non-agency residential MBS | 821 | — | 821 | 796 | ||||||||||||
Non-agency commercial MBS | 695 | 94 | 789 | 705 | ||||||||||||
Total MBS | 7,460 | 263 | 7,723 | 7,416 | ||||||||||||
State or local housing agency debentures | 5 | — | 5 | 5 | ||||||||||||
Total long-term investments | $ | 7,540 | (2) | $ | 362 | $ | 7,902 | $ | 7,496 | |||||||
(1) | Represents consolidated obligations acquired in the secondary market for which the named FHLBank was the primary obligor, and for which each of the FHLBanks, including the Bank, was jointly and severally liable. | |
(2) | The total does not agree to the balance reported in the Bank’s statement of condition as the amount reported above excludes short-term commercial paper investments with a carrying value of $994 million at December 31, 2007. Such amount is classified as held-to-maturity securities in the Bank’s statement of condition. |
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(In millions of dollars)
December 31, 2008 | December 31, 2007 | |||||||||||||||
Par(1) | Carrying Value | Par(1) | Carrying Value | |||||||||||||
Floating rate MBS | ||||||||||||||||
Floating rate CMOs | ||||||||||||||||
U.S. government guaranteed | $ | 29 | $ | 29 | $ | 34 | $ | 34 | ||||||||
Government-sponsored enterprises | 10,880 | 10,714 | 5,911 | 5,905 | ||||||||||||
Non-agency residential | 677 | 677 | 821 | 821 | ||||||||||||
Total floating rate CMOs | 11,586 | 11,420 | 6,766 | 6,760 | ||||||||||||
Interest rate swapped MBS(2) | ||||||||||||||||
AAA rated non-agency CMBS (3) | 29 | 28 | 93 | 94 | ||||||||||||
Government-sponsored enterprise DUS(4) | 10 | 10 | 160 | 160 | ||||||||||||
Government-sponsored enterprise CMOs | — | — | 9 | 9 | ||||||||||||
Total swapped MBS | 39 | 38 | 262 | 263 | ||||||||||||
Total floating rate MBS | 11,625 | 11,458 | 7,028 | 7,023 | ||||||||||||
Fixed rate MBS | ||||||||||||||||
Government-sponsored enterprises | 4 | 4 | 5 | 5 | ||||||||||||
AAA rated non-agency CMBS(5) | 297 | 297 | 695 | 695 | ||||||||||||
Total fixed rate MBS | 301 | 301 | 700 | 700 | ||||||||||||
Total MBS | $ | 11,926 | $ | 11,759 | $ | 7,728 | $ | 7,723 | ||||||||
(1) | Balances represent the principal amounts of the securities. | |
(2) | In the interest rate swapped MBS transactions, the Bank has entered into balance-guaranteed interest rate swaps in which it pays the swap counterparty the coupon payments of the underlying security in exchange for LIBOR-indexed coupons. | |
(3) | CMBS = Commercial mortgage-backed securities. | |
(4) | DUS = Designated Underwriter Servicer. | |
(5) | The Bank match funded these CMBS at the time of purchase with fixed rate debt securities. |
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(dollars in millions)
December 31, 2008 | December 31, 2007 | |||||||||||||||
Unrealized | Unrealized | |||||||||||||||
Gross | Losses as | Gross | Losses as | |||||||||||||
Unrealized | Percentage of | Unrealized | Percentage of | |||||||||||||
Losses | Amortized Cost | Losses | Amortized Cost | |||||||||||||
Government guaranteed | $ | 1 | 2.8 | % | $ | — | — | % | ||||||||
Government-sponsored enterprises | 270 | 2.5 | % | 33 | 0.7 | % | ||||||||||
Non-agency residential mortgage-backed securities | 277 | 40.9 | % | 26 | 3.1 | % | ||||||||||
Non-agency commercial mortgage-backed securities | 11 | 3.4 | % | 1 | 0.8 | % | ||||||||||
$ | 559 | $ | 60 | |||||||||||||
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(dollars in millions)
Credit Enhancement Statistics | ||||||||||||||||||||||||||||||||||||
Unpaid | Weighted Average | Current | Original | |||||||||||||||||||||||||||||||||
Number of | Principal | Amortized | Estimated | Unrealized | Collateral | Weighted | Weighted | Minimum | ||||||||||||||||||||||||||||
Year of Securitization | Securities | Balance | Cost | Fair Value | Losses | Delinquency(1)(2) | Average (1)(3) | Average(1) | Current(4) | |||||||||||||||||||||||||||
Fixed Rate Collateral | ||||||||||||||||||||||||||||||||||||
2006 | 1 | $ | 46 | $ | 46 | $ | 27 | $ | 19 | 4.13 | % | 10.08 | % | 8.89 | % | 10.08 | % | |||||||||||||||||||
2005 | 1 | 39 | 39 | 19 | 20 | 3.59 | % | 9.86 | % | 6.84 | % | 9.86 | % | |||||||||||||||||||||||
2004 | 5 | 68 | 68 | 46 | 22 | 1.65 | % | 12.59 | % | 5.99 | % | 10.10 | % | |||||||||||||||||||||||
2003 | 13 | 225 | 225 | 174 | 51 | 0.43 | % | 6.55 | % | 4.03 | % | 4.69 | % | |||||||||||||||||||||||
2002 and prior | 3 | 17 | 17 | 12 | 5 | 3.81 | % | 20.08 | % | 4.49 | % | 16.16 | % | |||||||||||||||||||||||
23 | 395 | 395 | 278 | 117 | 1.52 | % | 8.91 | % | 5.23 | % | 4.69 | % | ||||||||||||||||||||||||
Option ARM Collateral | ||||||||||||||||||||||||||||||||||||
2005 | 17 | 265 | 265 | 116 | 149 | 24.26 | % | 50.38 | % | 42.59 | % | 35.38 | % | |||||||||||||||||||||||
2004 | 2 | 17 | 17 | 6 | 11 | 35.11 | % | 40.95 | % | 30.21 | % | 37.65 | % | |||||||||||||||||||||||
19 | 282 | 282 | 122 | 160 | 24.90 | % | 49.83 | % | 41.86 | % | 35.38 | % | ||||||||||||||||||||||||
Total non-agency RMBS | 42 | $ | 677 | $ | 677 | $ | 400 | $ | 277 | 11.27 | % | 25.97 | % | 20.50 | % | 4.69 | % | |||||||||||||||||||
(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, 2008, actual cumulative loan losses underlying the Bank’s non-agency RMBS portfolio ranged from 0 percent to 2.51 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, that could be incurred in the underlying loan pools before the securities held by the Bank would be impacted, assuming that all of those losses occurred on the measurement date). Depending upon the timing and amount of losses in the underlying loan pool, it is possible that the senior classes held by the Bank could bear losses in scenarios where the cumulative loan losses do not exceed the current credit enhancement percentage. | |
(4) | Minimum credit enhancement reflects the security in each vintage year with the lowest current credit enhancement. |
NON-AGENCY RMBS BY COLLATERAL TYPE
Fixed Rate Collateral | ||||
California | 38.1 | % | ||
New York | 6.0 | |||
Florida | 4.6 | |||
Texas | 3.7 | |||
Virginia | 2.8 | |||
All other | 44.8 | |||
100.0 | % | |||
Option ARM Collateral | ||||
California | 62.7 | % | ||
Florida | 9.4 | |||
New York | 3.2 | |||
Nevada | 2.5 | |||
Virginia | 2.3 | |||
All other | 19.9 | |||
100.0 | % | |||
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(dollars in millions)
Credit Enhancement Statistics | ||||||||||||||||||||||||||||||||||||
Unpaid | Weighted Average | Current | Original | |||||||||||||||||||||||||||||||||
Year of | Number of | Principal | Amortized | Estimated | Unrealized | Collateral | Weighted | Weighted | Minimum | |||||||||||||||||||||||||||
Securitization | Securities | Balance | Cost | Fair Value | Losses | Delinquency(1)(2) | Average(1)(3) | Average | Current(4) | |||||||||||||||||||||||||||
2005 | 3 | $ | 83 | $ | 83 | $ | 37 | $ | 46 | 16.92 | % | 29.22 | % | 24.28 | % | 9.86 | % | |||||||||||||||||||
2004 | 1 | 16 | 16 | 12 | 4 | 4.15 | % | 16.53 | % | 6.85 | % | 16.53 | % | |||||||||||||||||||||||
2002 and prior | 2 | 16 | 16 | 11 | 5 | 3.93 | % | 19.48 | % | 4.57 | % | 16.16 | % | |||||||||||||||||||||||
Total | 6 | $ | 115 | $ | 115 | $ | 60 | $ | 55 | 13.26 | % | 26.04 | % | 19.00 | % | 9.86 | % | |||||||||||||||||||
(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, 2008, actual cumulative loan losses underlying the securities presented in the table ranged from 0.12 percent to 1.45 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, that could be incurred in the underlying loan pools before the securities held by the Bank would be impacted, assuming that all of those losses occurred on the measurement date). Depending upon the timing and amount of losses in the underlying loan pool, it is possible that the senior classes held by the Bank could bear losses in scenarios where the cumulative loan losses do not exceed the current credit enhancement percentage. | |
(4) | Minimum credit enhancement reflects the security in each vintage year with the lowest current credit concentration. |
December 31, 2008 | ||||||||||||||||||||
Unpaid | ||||||||||||||||||||
Number of | Principal | Amortized | Estimated | Unrealized | ||||||||||||||||
Ratings change | Securities | Balance | Cost | Fair Value | Losses | |||||||||||||||
From Aaa to Aa | 5 | $ | 57 | $ | 57 | $ | 26 | $ | 31 | |||||||||||
From Aaa to A | 1 | 39 | 39 | 19 | 20 | |||||||||||||||
From Aaa to Baa | 8 | 128 | 128 | 56 | 72 | |||||||||||||||
From Aaa to Ba | 3 | 47 | 47 | 20 | 27 | |||||||||||||||
From Aaa to B | 2 | 69 | 69 | 35 | 34 | |||||||||||||||
Totals | 19 | $ | 340 | $ | 340 | $ | 156 | $ | 184 | |||||||||||
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(dollars in thousands)
Year of | Unpaid | Unrealized | Current | Projected Principal Loss Under Hypothetical Stress Test Scenario(1) | ||||||||||||||||||||||||||||||||||||
Securitization/ | Principal | Losses at | Collateral | Credit | HPI Shock | Default Shock | Severity Shock | |||||||||||||||||||||||||||||||||
Security | Balance | December 31, 2008 | Delinquency (2) | Enhancement (3) | -5% | -10% | +25% | +50% | +25% | +50% | ||||||||||||||||||||||||||||||
2005 | ||||||||||||||||||||||||||||||||||||||||
Security #1 | $ | 18,787 | $ | 12,586 | 24.71 | % | 39.63 | % | $ | 801 | $ | 1,721 | $ | 1,319 | $ | 2,292 | $ | 1,236 | $ | 2,877 | ||||||||||||||||||||
Security #2 | 23,002 | 14,721 | 30.86 | % | 35.38 | % | 95 | 998 | 596 | 1,614 | 272 | 1,538 | ||||||||||||||||||||||||||||
Security #3 | 25,142 | 13,833 | 31.75 | % | 51.46 | % | — | 171 | 78 | 1,014 | — | 633 | ||||||||||||||||||||||||||||
Security #4 | 16,086 | 9,169 | 30.51 | % | 54.07 | % | — | — | — | 513 | — | 379 | ||||||||||||||||||||||||||||
Security #5 | 6,776 | 3,143 | 32.90 | % | 51.27 | % | — | — | — | 64 | — | — | ||||||||||||||||||||||||||||
Security #6 | 10,588 | 6,032 | 36.70 | % | 52.86 | % | — | — | — | 52 | — | — | ||||||||||||||||||||||||||||
Security #7 | 12,233 | 6,973 | 21.21 | % | 51.81 | % | — | — | — | 31 | — | — | ||||||||||||||||||||||||||||
Security #8 | 21,677 | 11,045 | 21.53 | % | 51.39 | % | — | 2 | — | 6 | — | — | ||||||||||||||||||||||||||||
Security #9 | 6,088 | 3,592 | 13.11 | % | 50.53 | % | — | — | — | — | — | 1 | ||||||||||||||||||||||||||||
140,379 | 81,094 | 896 | 2,892 | 1,993 | 5,586 | 1,508 | 5,428 | |||||||||||||||||||||||||||||||||
2004 | ||||||||||||||||||||||||||||||||||||||||
Security #10 | 8,814 | 5,905 | 28.10 | % | 37.65 | % | — | 7 | — | 116 | — | 159 | ||||||||||||||||||||||||||||
Security #11 | 7,915 | 4,353 | 42.91 | % | 44.62 | % | — | — | — | 2 | — | — | ||||||||||||||||||||||||||||
16,729 | 10,258 | — | 7 | — | 118 | — | 159 | |||||||||||||||||||||||||||||||||
$ | 157,108 | $ | 91,352 | $ | 896 | $ | 2,899 | $ | 1,993 | $ | 5,704 | $ | 1,508 | $ | 5,587 | |||||||||||||||||||||||||
Unrealized Losses(4) | $ | 27,307 | $ | 58,090 | $ | 41,140 | $ | 87,760 | $ | 27,307 | $ | 59,806 | ||||||||||||||||||||||||||||
Difference between Projected Principal Losses and Unrealized Losses | $ | 26,411 | $ | 55,191 | $ | 39,147 | $ | 82,056 | $ | 25,800 | $ | 54,219 | ||||||||||||||||||||||||||||
(1) | Amounts represent the projected loss of principal (undiscounted) that would occur under the indicated stress test scenario. In each of the six scenarios, none of the other variables are adjusted. | |
(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, 2008, actual cumulative loan losses underlying the securities presented in the table ranged from 0.05 percent to 2.51 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, that could be incurred in the underlying loan pools before the securities held by the Bank would be impacted, assuming that all of those losses occurred on the measurement date). Depending upon the timing and amount of losses in the underlying loan pool, it is possible that the senior classes held by the Bank could bear losses in scenarios where the cumulative loan losses do not exceed the current credit enhancement percentage. | |
(4) | Reflects the amount of unrealized losses as of December 31, 2008 associated with the securities that are projected to have any amount of principal loss under the applicable stress test scenario. |
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AGREEMENTS
(dollars in millions)
Expiration | Notional Amount | Strike Rate | ||||||
Second quarter 2009 | $ | 500 | 6.75 | % | ||||
Second quarter 2009 | 1,250 | 7.00 | % | |||||
Second quarter 2011 | 500 | 6.75 | % | |||||
Second quarter 2013 | 500 | 6.25 | % | |||||
Second quarter 2013 | 250 | 6.50 | % | |||||
Second quarter 2015(1) | 250 | 6.50 | % | |||||
Second quarter 2016(1) | 250 | 7.00 | % | |||||
$ | 3,500 | |||||||
(1) | These caps are effective beginning in June 2012. |
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(Par value, dollars in millions)
December 31, 2008 | December 31, 2007 | |||||||||||||||
Percentage | Percentage | |||||||||||||||
Balance | of Total | Balance | of Total | |||||||||||||
Fixed rate, non-callable | $ | 31,767 | 56.7 | % | $ | 8,578 | 26.2 | % | ||||||||
Single-index floating rate | 13,093 | 23.4 | 2,418 | 7.4 | ||||||||||||
Fixed rate, callable | 11,054 | 19.8 | 17,704 | 54.1 | ||||||||||||
Callable step-up | 78 | 0.1 | 3,774 | 11.5 | ||||||||||||
Callable step-down | 15 | — | 150 | 0.5 | ||||||||||||
Comparative-index | — | — | 80 | 0.2 | ||||||||||||
Conversion | — | — | 20 | 0.1 | ||||||||||||
Callable step-up/step-down | — | — | 15 | — | ||||||||||||
Total par value | $ | 56,007 | 100.0 | % | $ | 32,739 | 100.0 | % | ||||||||
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(dollars in millions)
December 31, 2008 | December 31, 2007 | |||||||||||||||
Contractual Maturity | Amount | Percentage | Amount | Percentage | ||||||||||||
Due in one year or less | $ | 54,610 | 74.9 | % | $ | 34,126 | 59.9 | % | ||||||||
Due after one year through two years | 9,784 | 13.4 | 6,266 | 11.0 | ||||||||||||
Due after two years through three years | 2,239 | 3.1 | 4,196 | 7.4 | ||||||||||||
Due after three years through four years | 1,689 | 2.3 | 1,881 | 3.3 | ||||||||||||
Due after four years through five years | 944 | 1.3 | 3,901 | 6.8 | ||||||||||||
Thereafter | 3,665 | 5.0 | 6,590 | 11.6 | ||||||||||||
Total | $ | 72,931 | 100.0 | % | $ | 56,960 | 100.0 | % | ||||||||
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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, 2006 | 1,045,478 | $ | 104,548 | $ | — | |||||||
April 28, 2006 | 910,775 | 91,078 | 1,665 | |||||||||
July 31, 2006 | 1,202,407 | 120,241 | 2,242 | |||||||||
October 31, 2006 | 1,769,144 | 176,914 | 589 | |||||||||
January 31, 2007 | 1,442,916 | 144,292 | 263 | |||||||||
April 30, 2007 | 2,862,664 | 286,266 | 7,391 | |||||||||
July 31, 2007 | 1,242,655 | 124,266 | 2,305 | |||||||||
October 31, 2007 | 1,291,685 | 129,169 | 1,531 | |||||||||
January 31, 2008 | 1,917,546 | 191,755 | 24,982 | |||||||||
April 30, 2008 | 1,088,892 | 108,889 | 2,913 | |||||||||
July 31, 2008 | 2,007,883 | 200,788 | 24,988 | |||||||||
October 31, 2008 | 3,064,496 | 306,450 | 394 | |||||||||
January 30, 2009 | 1,683,239 | 168,324 | 7,602 |
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(dollars in thousands)
December 31, 2008 | December 31, 2007 | December 31, 2006 | ||||||||||||||||||||||
Number of | Number of | Number of | ||||||||||||||||||||||
Capital Stock Status | Institutions | Amount | Institutions | Amount | Institutions | Amount | ||||||||||||||||||
Held by the FDIC, as receiver of Franklin Bank, S.S.B. | 1 | $ | 57,432 | — | $ | — | — | $ | — | |||||||||||||||
Held by Capital One, National Association | 1 | 26,350 | 1 | 60,719 | — | — | ||||||||||||||||||
Held by Washington Mutual Bank | 1 | 103 | 1 | 15,436 | 1 | 146,267 | ||||||||||||||||||
Subject to withdrawal notice | 5 | 1,198 | 4 | 920 | 4 | 881 | ||||||||||||||||||
Held by other non-members | 10 | 5,270 | 10 | 5,426 | 9 | 12,419 | ||||||||||||||||||
Total | 18 | $ | 90,353 | 16 | $ | 82,501 | 14 | $ | 159,567 | |||||||||||||||
(Dollars in thousands)
Percent of | ||||||||||||||||
Capital | Total | |||||||||||||||
Name | City | State | Stock | Capital Stock | ||||||||||||
Wachovia Bank, FSB (1) | Houston | TX | $ | 1,078,060 | 32.5 | % | ||||||||||
Comerica Bank | Dallas | TX | 354,088 | 10.7 | ||||||||||||
International Bank of Commerce | Laredo | TX | 107,573 | 3.2 | ||||||||||||
Guaranty Bank | Austin | TX | 99,591 | 3.0 | ||||||||||||
FDIC, as receiver of Franklin Bank, S.S.B. | Houston | TX | 57,432 | 1.7 | ||||||||||||
Southwest Corporate FCU | Plano | TX | 52,910 | 1.6 | ||||||||||||
BancorpSouth Bank | Tupelo | MS | 43,013 | 1.3 | ||||||||||||
Southside Bank | Tyler | TX | 39,411 | 1.2 | ||||||||||||
Renasant Bank | Tupelo | MS | 35,991 | 1.1 | ||||||||||||
Texas Capital Bank, N.A. | Dallas | TX | 35,461 | 1.1 | ||||||||||||
$ | 1,903,530 | 57.4 | % | |||||||||||||
(1) | Previously known as World Savings Bank, FSB (Texas) |
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Total Notional at December 31, | Net Change in Fair Value(7) | |||||||||||||||||||||||
(In millions of dollars) | (In thousands of dollars) | |||||||||||||||||||||||
2008 | 2007 | 2006 | 2008 | 2007 | 2006 | |||||||||||||||||||
Advances | ||||||||||||||||||||||||
Short-cut method(1) | $ | 9,959 | $ | 7,161 | $ | 4,930 | $ | — | $ | — | $ | — | ||||||||||||
Long-haul method(2) | 1,164 | 910 | 890 | 3,063 | 723 | 125 | ||||||||||||||||||
Economic hedges(3) | 5 | 22 | — | 321 | (1 | ) | 57 | |||||||||||||||||
Total | 11,128 | 8,093 | 5,820 | 3,384 | 722 | 182 | ||||||||||||||||||
Investments | ||||||||||||||||||||||||
Short-cut method(1) | — | — | 55 | — | — | — | ||||||||||||||||||
Long-haul method(2) | 40 | 315 | 615 | 4,077 | 2,195 | (871 | ) | |||||||||||||||||
Economic hedges(4) | — | 7 | 23 | 1,037 | (127 | ) | 50 | |||||||||||||||||
Total | 40 | 322 | 693 | 5,114 | 2,068 | (821 | ) | |||||||||||||||||
Consolidated obligation bonds | ||||||||||||||||||||||||
Short-cut method(1) | 95 | 1,075 | 3,075 | — | — | — | ||||||||||||||||||
Long-haul method(2) | 37,795 | 24,819 | 36,353 | (55,368 | ) | (1,349 | ) | 3,973 | ||||||||||||||||
Economic hedges(3) | 110 | 160 | 467 | (926 | ) | 533 | 177 | |||||||||||||||||
Total | 38,000 | 26,054 | 39,895 | (56,294 | ) | (816 | ) | 4,150 | ||||||||||||||||
Consolidated obligation discount notes | ||||||||||||||||||||||||
Economic hedges(3) | 5,270 | — | — | 9,216 | — | — | ||||||||||||||||||
Other economic hedges | ||||||||||||||||||||||||
Interest rate caps(5) | 3,500 | 6,500 | 5,250 | (2,243 | ) | (1,509 | ) | (7,802 | ) | |||||||||||||||
Basis swaps(6) | 12,200 | — | — | 42,530 | — | 115 | ||||||||||||||||||
Member swaps (including offsetting swaps) | 7 | — | — | 16 | — | — | ||||||||||||||||||
Total | 15,707 | 6,500 | 5,250 | 40,303 | (1,509 | ) | (7,687 | ) | ||||||||||||||||
Total derivatives | $ | 70,145 | $ | 40,969 | $ | 51,658 | $ | 1,723 | $ | 465 | $ | (4,176 | ) | |||||||||||
Total short-cut method | $ | 10,054 | $ | 8,236 | $ | 8,060 | $ | — | $ | — | $ | — | ||||||||||||
Total long-haul method | 38,999 | 26,044 | 37,858 | (48,228 | ) | 1,569 | 3,227 | |||||||||||||||||
Total economic hedges | 21,092 | 6,689 | 5,740 | 49,951 | (1,104 | ) | (7,403 | ) | ||||||||||||||||
Total derivatives | $ | 70,145 | $ | 40,969 | $ | 51,658 | $ | 1,723 | $ | 465 | $ | (4,176 | ) | |||||||||||
(1) | The short-cut method allows the assumption of no ineffectiveness in the hedging relationship. | |
(2) | The long-haul method requires the hedge and hedged item to be marked to fair value independently. | |
(3) | Interest rate derivatives that are (or were) matched to advances or consolidated obligations, but that either do not qualify for hedge accounting under SFAS 133 or were not designated in a SFAS 133 hedging relationship. | |
(4) | Interest rate derivatives that were matched to investment securities designated as trading or available-for-sale, but that did not qualify for hedge accounting under SFAS 133. | |
(5) | Interest rate derivatives that hedge identified portfolio risks, but that do not qualify for hedge accounting under SFAS 133. The Bank’s interest rate caps hedge embedded caps in floating rate CMOs designated as held-to-maturity. | |
(6) | At December 31, 2008, the Bank held $12.2 billion (notional) of interest rate basis swaps which were entered into to reduce the Bank’s exposure to changes in spreads between one-month and three-month LIBOR; $4.0 billion, $1.0 billion and $7.2 billion of these agreements expire in the second quarter of 2013, the second quarter of 2014 and the fourth quarter of 2018, respectively. | |
(7) | Represents the difference in fair value adjustments for the derivatives and their hedged items. In cases involving economic hedges (other than those that related to trading securities), the net change in fair value reflected above represents a one-sided mark, meaning that the net change in fair value represents the change in fair value of the derivative only. Gains and losses in the form of net interest payments on economic hedge derivatives are excluded from the amounts reflected above. |
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(Dollars in millions)
Year Ended December 31, | ||||||||||||||||||||||||||||||||||||
2008 | 2007 | 2006 | ||||||||||||||||||||||||||||||||||
Interest | Interest | Interest | ||||||||||||||||||||||||||||||||||
Average | Income/ | Average | Average | Income/ | Average | Average | Income/ | Average | ||||||||||||||||||||||||||||
Balance | Expense | Rate(a) | Balance | Expense | Rate(a) | Balance | Expense | Rate(a) | ||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||
Interest-bearing deposits(f) | $ | 174 | $ | 3 | 1.69 | % | $ | 137 | $ | 8 | 5.79 | % | $ | 364 | $ | 19 | 5.22 | % | ||||||||||||||||||
Federal funds sold(b) | 4,946 | 96 | 1.94 | % | 5,447 | 277 | 5.09 | % | 3,929 | 197 | 5.01 | % | ||||||||||||||||||||||||
Investments | ||||||||||||||||||||||||||||||||||||
Trading(c) | 3 | — | 0.00 | % | 9 | 1 | 6.13 | % | 34 | 2 | 6.91 | % | ||||||||||||||||||||||||
Available-for-sale(c)(d) | 331 | 10 | 3.13 | % | 524 | 26 | 5.08 | % | 849 | 42 | 4.96 | % | ||||||||||||||||||||||||
Held-to-maturity | 10,003 | 349 | 3.49 | % | 7,707 | 437 | 5.67 | % | 7,540 | 417 | 5.53 | % | ||||||||||||||||||||||||
Advances(c)(e) | 58,671 | 1,816 | 3.10 | % | 40,405 | 2,114 | 5.23 | % | 43,623 | 2,184 | 5.01 | % | ||||||||||||||||||||||||
Mortgage loans held for portfolio | 353 | 20 | 5.60 | % | 414 | 23 | 5.57 | % | 493 | 28 | 5.58 | % | ||||||||||||||||||||||||
Total earning assets | 74,481 | 2,294 | 3.08 | % | 54,643 | 2,886 | 5.28 | % | 56,832 | 2,889 | 5.08 | % | ||||||||||||||||||||||||
Cash and due from banks | 80 | 85 | 72 | |||||||||||||||||||||||||||||||||
Other assets | 414 | 327 | 269 | |||||||||||||||||||||||||||||||||
Derivatives netting adjustment(f) | (330 | ) | — | — | ||||||||||||||||||||||||||||||||
Fair value adjustment on available-for-sale securities(d) | (4 | ) | 1 | (1 | ) | |||||||||||||||||||||||||||||||
Total assets | $ | 74,641 | 2,294 | 3.07 | % | $ | 55,056 | 2,886 | 5.24 | % | $ | 57,172 | 2,889 | 5.05 | % | |||||||||||||||||||||
Liabilities and Capital | ||||||||||||||||||||||||||||||||||||
Interest-bearing deposits (f) | $ | 2,965 | 58 | 1.97 | % | $ | 2,920 | 144 | 4.94 | % | $ | 2,991 | 146 | 4.87 | % | |||||||||||||||||||||
Consolidated obligations | ||||||||||||||||||||||||||||||||||||
Bonds(c) | 49,110 | 1,564 | 3.18 | % | 37,634 | 1,958 | 5.20 | % | 42,776 | 2,123 | 4.96 | % | ||||||||||||||||||||||||
Discount notes(c) | 18,851 | 521 | 2.77 | % | 11,336 | 556 | 4.90 | % | 7,807 | 390 | 5.00 | % | ||||||||||||||||||||||||
Mandatorily redeemable capital stock and other borrowings | 68 | 1 | 2.02 | % | 109 | 5 | 5.10 | % | 221 | 14 | 6.14 | % | ||||||||||||||||||||||||
Total interest-bearing liabilities | 70,994 | 2,144 | 3.02 | % | 51,999 | 2,663 | 5.12 | % | 53,795 | 2,673 | 4.97 | % | ||||||||||||||||||||||||
Other liabilities | 822 | 733 | 922 | |||||||||||||||||||||||||||||||||
Derivatives netting adjustment(f) | (330 | ) | — | — | ||||||||||||||||||||||||||||||||
Total liabilities | 71,486 | 2,144 | 3.00 | % | 52,732 | 2,663 | 5.05 | % | 54,717 | 2,673 | 4.88 | % | ||||||||||||||||||||||||
Total capital | 3,155 | 2,324 | 2,455 | |||||||||||||||||||||||||||||||||
Total liabilities and capital | $ | 74,641 | 2.87 | % | $ | 55,056 | 4.84 | % | $ | 57,172 | 4.68 | % | ||||||||||||||||||||||||
Net interest income | $ | 150 | $ | 223 | $ | 216 | ||||||||||||||||||||||||||||||
Net interest margin | 0.20 | % | 0.40 | % | 0.37 | % | ||||||||||||||||||||||||||||||
Net interest spread | 0.06 | % | 0.16 | % | 0.11 | % | ||||||||||||||||||||||||||||||
Impact of non-interest bearing funds | 0.14 | % | 0.24 | % | 0.26 | % | ||||||||||||||||||||||||||||||
(a) | Amounts used to calculate average rates are based on numbers in the thousands. Accordingly, recalculations based upon the disclosed amounts (millions) may not produce the same results. | |
(b) | Includes overnight federal funds sold to other FHLBanks. | |
(c) | Interest income/expense and average rates include the effect of associated interest rate exchange agreements to the extent such agreements qualify for SFAS 133 fair value hedge accounting. If the agreements do not qualify for hedge accounting or were not designated in a SFAS 133 hedging relationship, the net interest income/expense associated with such agreements is recorded in other income (loss) in the statements of income and therefore excluded from the Yield and Spread Analysis. Net interest income (expense) on economic hedge derivatives that did not qualify for hedge accounting during the years ended December 31, 2008, 2007 and 2006 is presented below in the sub-section entitled “Other Income (Loss).” | |
(d) | Average balances for available-for-sale-securities are calculated based upon amortized cost. | |
(e) | Interest income and average rates include prepayment fees on advances. | |
(f) | The Bank adopted FSP FIN 39-1 on January 1, 2008. In accordance with FSP FIN 39-1, 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 FSP FIN 39-1, the Bank offset only the fair value amounts recognized for derivative instruments executed with the same counterparty under a master netting arrangement pursuant to the provisions of FASB Interpretation No. 39. The average balances of interest-bearing deposit assets and interest-bearing deposit liabilities for the year ended December 31, 2008 in the table above include $130 million and $200 million, respectively, which are classified in derivative assets/liabilities on the statement of condition. The Bank has determined that it is impractical to retrospectively restate the average balances prior to 2008; further, the Bank has determined that any such adjustments would not have had a material impact on the average total asset balances for those periods. Accordingly, the average total asset balances for the years ended December 31, 2007 and 2006 do not reflect any adjustments to offset cash collateral against the derivative balances. |
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(In millions of dollars)
2008 vs. 2007 | 2007 vs. 2006 | |||||||||||||||||||||||
Increase (Decrease) Due To | Increase (Decrease) Due To | |||||||||||||||||||||||
Volume | Rate | Total | Volume | Rate | Total | |||||||||||||||||||
Interest income: | ||||||||||||||||||||||||
Interest-bearing deposits | $ | — | $ | (5 | ) | $ | (5 | ) | $ | (13 | ) | $ | 2 | $ | (11 | ) | ||||||||
Federal funds sold | (24 | ) | (157 | ) | (181 | ) | 77 | 3 | 80 | |||||||||||||||
Investments | ||||||||||||||||||||||||
Trading | (1 | ) | — | (1 | ) | (1 | ) | — | (1 | ) | ||||||||||||||
Available-for-sale | (8 | ) | (8 | ) | (16 | ) | (17 | ) | 1 | (16 | ) | |||||||||||||
Held-to-maturity | 108 | (196 | ) | (88 | ) | 9 | 11 | 20 | ||||||||||||||||
Advances | 751 | (1,049 | ) | (298 | ) | (165 | ) | 95 | (70 | ) | ||||||||||||||
Mortgage loans held for portfolio | (3 | ) | — | (3 | ) | (5 | ) | — | (5 | ) | ||||||||||||||
Total interest income | 823 | (1,415 | ) | (592 | ) | (115 | ) | 112 | (3 | ) | ||||||||||||||
Interest expense: | ||||||||||||||||||||||||
Interest-bearing deposits | 2 | (88 | ) | (86 | ) | (3 | ) | 1 | (2 | ) | ||||||||||||||
Consolidated obligations: | ||||||||||||||||||||||||
Bonds | 495 | (889 | ) | (394 | ) | (264 | ) | 99 | (165 | ) | ||||||||||||||
Discount notes | 272 | (307 | ) | (35 | ) | 174 | (8 | ) | 166 | |||||||||||||||
Mandatorily redeemable capital stock and other borrowings | (2 | ) | (2 | ) | (4 | ) | (6 | ) | (3 | ) | (9 | ) | ||||||||||||
Total interest expense | 767 | (1,286 | ) | (519 | ) | (99 | ) | 89 | (10 | ) | ||||||||||||||
Changes in net interest income | $ | 56 | $ | (129 | ) | $ | (73 | ) | $ | (16 | ) | $ | 23 | $ | 7 | |||||||||
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(In thousands of dollars)
2008 | 2007 | 2006 | ||||||||||
Net gains (losses) on unhedged trading securities | $ | (627 | ) | $ | 9 | $ | — | |||||
Net losses on hedged trading securities | — | (11 | ) | (893 | ) | |||||||
Gains (losses) on economic hedge derivatives related to trading securities | — | (15 | ) | 956 | ||||||||
Hedge ineffectiveness on trading securities | — | (26 | ) | 63 | ||||||||
Net interest expense associated with economic hedge derivatives related to trading securities | — | (134 | ) | (947 | ) | |||||||
Net interest income (expense) associated with economic hedge derivatives related to available-for-sale securities | (87 | ) | 42 | 98 | ||||||||
Net interest income (expense) associated with economic hedge derivatives related to consolidated obligation bonds | 1,267 | (320 | ) | (991 | ) | |||||||
Net interest expense associated with economic hedge derivatives related to consolidated obligation discount notes | (2,300 | ) | — | — | ||||||||
Net interest income (expense) associated with stand-alone economic hedge derivatives (basisswaps) | 6,579 | — | (283 | ) | ||||||||
Net interest expense associated with economic hedge derivatives related to advances | (503 | ) | (31 | ) | (51 | ) | ||||||
Total net interest income (expense) associated with economic hedge derivatives | 4,956 | (443 | ) | (2,174 | ) | |||||||
Gains (losses) related to economic hedge derivatives | ||||||||||||
Gains related to stand-alone derivatives (basis swaps) | 42,530 | — | 115 | |||||||||
Losses on interest rate caps related to held-to-maturity securities | (2,243 | ) | (1,509 | ) | (7,802 | ) | ||||||
Gains on discount note swaps | 9,216 | — | — | |||||||||
Net gains on member/offsetting swaps | 16 | — | — | |||||||||
Gains related to other economic hedge derivatives (advance / AFS(1)/ CO(2)swaps) | 432 | 431 | 221 | |||||||||
Total fair value gains (losses) related to economic hedge derivatives | 49,951 | (1,078 | ) | (7,466 | ) | |||||||
Gains (losses) related to SFAS 133 fair value hedge ineffectiveness | ||||||||||||
Net gains on advances and associated hedges | 3,063 | 723 | 125 | |||||||||
Net gains (losses) on debt and associated hedges | (55,368 | ) | (1,349 | ) | 3,973 | |||||||
Net gains (losses) on AFS(1) securities and associated hedges | 4,077 | 2,195 | (871 | ) | ||||||||
Total SFAS 133 fair value hedge ineffectiveness | (48,228 | ) | 1,569 | 3,227 | ||||||||
Gains on early extinguishment of debt | 8,794 | 1,255 | 746 | |||||||||
Net realized losses on sales of AFS securities | (919 | ) | — | — | ||||||||
Service fees | 3,510 | 3,713 | 3,438 | |||||||||
Other, net | 5,143 | 4,506 | 3,445 | |||||||||
Total other | 16,528 | 9,474 | 7,629 | |||||||||
Total other income | $ | 22,580 | $ | 9,505 | $ | 1,279 | ||||||
(1) | Available-for-sale | |
(2) | Consolidated obligations |
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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 | $ | 37,686.0 | $ | 12,022.5 | $ | 2,633.0 | $ | 3,665.3 | $ | 56,006.8 | ||||||||||
Mandatorily redeemable capital stock | 1.5 | 1.2 | 87.7 | — | 90.4 | |||||||||||||||
Operating leases | 0.4 | 0.3 | — | — | 0.7 | |||||||||||||||
Purchase obligations | ||||||||||||||||||||
Advances | 75.4 | 6.0 | — | — | 81.4 | |||||||||||||||
Letters of credit | 5,050.8 | 99.2 | 24.0 | — | 5,174.0 | |||||||||||||||
Total contractual obligations | $ | 42,814.1 | $ | 12,129.2 | $ | 2,744.7 | $ | 3,665.3 | $ | 61,353.3 | ||||||||||
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(In millions of dollars, except percentages)
December 31, 2008 | December 31, 2007 | |||||||||||||||
Required | Actual | Required | Actual | |||||||||||||
Risk-based capital | $ | 930 | $ | 3,530 | $ | 438 | $ | 2,688 | ||||||||
Total capital | $ | 3,157 | $ | 3,530 | $ | 2,538 | (1) | $ | 2,688 | |||||||
Total capital-to-assets ratio | 4.00 | % | 4.47 | % | 4.00 | % | 4.24 | %(1) | ||||||||
Leverage capital | $ | 3,947 | $ | 5,295 | $ | 3,173 | (1) | $ | 4,032 | |||||||
Leverage capital-to-assets ratio | 5.00 | % | 6.71 | % | 5.00 | % | 6.35 | %(1) |
(1) | The Bank’s actual capital-to-assets ratios and required total capital and leverage capital amounts as of December 31, 2007 have been revised to reflect the retrospective application of FSP FIN 39-1, as discussed in the financial statements accompanying this report (specifically, Note 2 beginning on page F-15). |
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• | Derivatives and Hedging Activities; | ||
• | Estimation of Fair Values; | ||
• | Other-Than-Temporary Impairment Assessments; and | ||
• | Amortization of Premiums and Accretion of Discounts. |
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(at carrying value, in thousands of dollars)
December 31, | ||||||||||||
2008 | 2007 | 2006 | ||||||||||
Mortgage-backed securities issued by government-sponsored enterprises | $ | — | $ | — | $ | 22,204 | ||||||
Other | 3,370 | 2,924 | 2,295 | |||||||||
Total carrying value | $ | 3,370 | $ | 2,924 | $ | 24,499 | ||||||
(at carrying value, in thousands of dollars)
December 31, | ||||||||||||
2008 | 2007 | 2006 | ||||||||||
Government-sponsored enterprises | $ | — | $ | 56,930 | $ | 51,290 | ||||||
FHLBank consolidated obligations(1) | ||||||||||||
FHLBank of Boston (primary obligor) | — | 35,423 | 35,266 | |||||||||
FHLBank of San Francisco (primary obligor) | — | 6,766 | 6,675 | |||||||||
— | 99,119 | 93,231 | ||||||||||
Mortgage-backed securities | ||||||||||||
Government-sponsored enterprises | 98,884 | 169,180 | 432,391 | |||||||||
Other | 28,648 | 93,791 | 189,149 | |||||||||
127,532 | 262,971 | 621,540 | ||||||||||
Total carrying value | $ | 127,532 | $ | 362,090 | $ | 714,771 | ||||||
(1) | Represents consolidated obligations acquired in the secondary market for which the named FHLBank was the primary obligor, and for which each of the FHLBanks, including the Bank, was jointly and severally liable. |
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MATURITIES AND YIELD
(in thousands of dollars)
Book Value | Yield | |||||||
Mortgage-backed securities | ||||||||
Within one year | $ | 39,037 | 7.10 | % | ||||
After ten years | 88,495 | 1.37 | ||||||
$ | 127,532 | 3.15 | % | |||||
(at carrying value, in thousands of dollars)
December 31, | ||||||||||||
2008 | 2007 | 2006 | ||||||||||
Commercial paper | $ | — | $ | 993,629 | $ | — | ||||||
U.S. government guaranteed obligations | 65,888 | 75,342 | 87,125 | |||||||||
State or local housing agency obligations | 3,785 | 4,810 | 5,965 | |||||||||
69,673 | 1,073,781 | 93,090 | ||||||||||
Mortgage-backed securities | ||||||||||||
U.S. government guaranteed obligations | 28,632 | 34,066 | 43,556 | |||||||||
Government-sponsored enterprises | 10,629,290 | 5,910,467 | 5,163,238 | |||||||||
Other | 973,909 | 1,516,353 | 1,894,710 | |||||||||
11,631,831 | 7,460,886 | 7,101,504 | ||||||||||
Total carrying value | $ | 11,701,504 | $ | 8,534,667 | $ | 7,194,594 | ||||||
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MATURITIES AND YIELD
(in thousands of dollars)
Book Value | Yield | |||||||
U.S. government guaranteed obligations | ||||||||
After one year through five years | $ | 5,386 | 3.88 | % | ||||
After five years through ten years | 35,527 | 2.06 | ||||||
After ten years | 24,975 | 2.50 | ||||||
$ | 65,888 | 2.38 | % | |||||
State or local housing agency obligations | ||||||||
After ten years | $ | 3,785 | 4.16 | % | ||||
$ | 3,785 | 4.16 | % | |||||
Mortgage-backed securities | ||||||||
Within one year | $ | 110,516 | 7.01 | % | ||||
After one year through five years | 47,380 | 6.43 | ||||||
After five years through ten years | 325,174 | 1.06 | ||||||
After ten years | 11,148,761 | 1.47 | ||||||
$ | 11,631,831 | 1.53 | % | |||||
(In thousands of dollars)
Year ended December 31, | ||||||||||||||||||||
2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||
Advances | $ | 60,919,883 | $ | 46,298,158 | $ | 41,168,141 | $ | 46,456,958 | $ | 47,112,017 | ||||||||||
Real estate mortgages | $ | 327,059 | $ | 381,468 | $ | 449,626 | $ | 542,478 | $ | 706,203 | ||||||||||
Nonperforming real estate mortgages | $ | 370 | $ | 312 | $ | 466 | $ | 2,375 | $ | 938 | ||||||||||
Real estate mortgages past due 90 days or more and still accruing interest(1) | $ | 2,295 | $ | 2,854 | $ | 4,557 | $ | 6,418 | $ | 11,510 | ||||||||||
Interest contractually due during the year on nonaccrual loans | $ | 15 | ||||||||||||||||||
Interest actually received during the year on nonaccrual loans | $ | 8 | ||||||||||||||||||
(1) | Only government guaranteed/insured loans continue to accrue interest after they become 90 days past due. |
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(In thousands of dollars)
2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||
Balance, beginning of year | $ | 263 | $ | 267 | $ | 294 | $ | 355 | $ | 387 | ||||||||||
Chargeoffs | (2 | ) | (4 | ) | (27 | ) | (5 | ) | (6 | ) | ||||||||||
Provision (release of allowance) for credit losses | — | — | — | (56 | ) | (26 | ) | |||||||||||||
Balance, end of year | $ | 261 | $ | 263 | $ | 267 | $ | 294 | $ | 355 | ||||||||||
Midwest (IA, IL, IN, MI, MN, ND, NE, OH, SD, and WI) | 12.8 | % | ||
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) | 13.0 | |||
Southwest (AR, AZ, CO, KS, LA, MO, NM, OK, TX, and UT) | 71.2 | |||
West (AK, CA, GU, HI, ID, MT, NV, OR, WA, and WY) | 2.1 | |||
100.0 | % | |||
(In millions of dollars)
December 31, | ||||||||||||
2008 | 2007 | 2006 | ||||||||||
Outstanding at year-end | $ | 16,745 | $ | 24,120 | $ | 8,226 | ||||||
Weighted average rate at year-end | 2.65 | % | 4.20 | % | 5.11 | % | ||||||
Daily average outstanding for the year | $ | 18,851 | $ | 11,336 | $ | 7,807 | ||||||
Weighted average rate for the year | 2.77 | % | 4.90 | % | 5.00 | % | ||||||
Highest outstanding at any month-end | $ | 23,084 | $ | 24,120 | $ | 12,173 |
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(dollars in billions)
Up 200 Basis Points (1) | Down 200 Basis Points (1) | Up 100 Basis Points(1) | Down 100 Basis Points (1) | |||||||||||||||||||||||||||||||||
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(2) | of Equity | Base Case(2) | of Equity | Base Case(2) | of Equity | Base Case(2) | ||||||||||||||||||||||||||||
December 2007 | 2.556 | 2.396 | -6.27 | % | 2.625 | 2.67 | % | 2.492 | -2.51 | % | 2.604 | 1.87 | % | |||||||||||||||||||||||
January 2008 | 2.429 | 2.224 | -8.47 | % | 2.508 | 3.23 | % | 2.340 | -3.67 | % | 2.494 | 2.65 | % | |||||||||||||||||||||||
February 2008 | 2.518 | 2.308 | -8.31 | % | 2.593 | 2.98 | % | 2.425 | -3.70 | % | 2.587 | 2.76 | % | |||||||||||||||||||||||
March 2008 | 2.597 | 2.311 | -11.02 | % | 2.793 | 7.53 | % | 2.462 | -5.23 | % | 2.721 | 4.76 | % | |||||||||||||||||||||||
April 2008 | 2.658 | 2.346 | -11.74 | % | 2.880 | 8.35 | % | 2.508 | -5.64 | % | 2.785 | 4.78 | % | |||||||||||||||||||||||
May 2008 | 2.981 | 2.628 | -11.84 | % | 3.261 | 9.39 | % | 2.810 | -5.74 | % | 3.135 | 5.17 | % | |||||||||||||||||||||||
June 2008 | 3.021 | 2.700 | -10.63 | % | 3.229 | 6.89 | % | 2.873 | -4.90 | % | 3.145 | 4.10 | % | |||||||||||||||||||||||
July 2008 | 2.930 | 2.662 | -9.15 | % | 3.064 | 4.57 | % | 2.812 | -4.03 | % | 3.014 | 2.87 | % | |||||||||||||||||||||||
August 2008 | 2.980 | 2.717 | -8.83 | % | 3.127 | 4.93 | % | 2.861 | -3.99 | % | 3.076 | 3.22 | % | |||||||||||||||||||||||
September 2008 | 3.176 | 2.828 | -10.96 | % | 3.432 | 8.06 | % | 3.009 | -5.26 | % | 3.340 | 5.16 | % | |||||||||||||||||||||||
October 2008 | 2.762 | 2.575 | -6.77 | % | 2.994 | 8.40 | % | 2.659 | -3.73 | % | 2.917 | 5.61 | % | |||||||||||||||||||||||
November 2008 | 2.577 | 2.171 | -15.75 | % | * | * | 2.362 | -8.34 | % | 2.725 | 5.74 | % | ||||||||||||||||||||||||
December 2008 | 2.635 | 2.093 | -20.57 | % | * | * | 2.391 | -9.26 | % | * | * |
* | Due to the low interest rate environments that existed during these time periods, the down 200 basis point parallel shifts in interest rates at November 30 and December 31, 2008 and the down 100 basis point parallel shift in interest rates at December 31, 2008 were not considered meaningful. | |
(1) | In the up and down 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) | 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(1) | Down 200(1) | |||||||||||||||||||||||||
December 2007 | 0.37 | (0.30 | ) | 0.07 | 2.18 | 3.39 | 4.40 | 1.16 | 0.27 | |||||||||||||||||||||||
January 2008 | 0.44 | (0.32 | ) | 0.12 | 3.21 | 4.38 | 5.74 | 1.79 | 1.88 | |||||||||||||||||||||||
February 2008 | 0.43 | (0.31 | ) | 0.12 | 3.35 | 4.31 | 5.45 | 1.65 | 1.59 | |||||||||||||||||||||||
March 2008 | 0.46 | (0.28 | ) | 0.18 | 5.20 | 6.09 | 7.05 | 3.88 | (0.86 | ) | ||||||||||||||||||||||
April 2008 | 0.46 | (0.27 | ) | 0.19 | 5.29 | 6.25 | 7.06 | 4.03 | 4.32 | |||||||||||||||||||||||
May 2008 | 0.47 | (0.26 | ) | 0.21 | 5.49 | 6.30 | 7.05 | 4.52 | 3.15 | |||||||||||||||||||||||
June 2008 | 0.47 | (0.31 | ) | 0.16 | 4.50 | 5.61 | 6.81 | 3.40 | 1.64 | |||||||||||||||||||||||
July 2008 | 0.48 | (0.38 | ) | 0.10 | 2.86 | 4.18 | 5.62 | 2.33 | 0.04 | |||||||||||||||||||||||
August 2008 | 0.51 | (0.39 | ) | 0.12 | 3.62 | 4.62 | 5.92 | 2.97 | 0.30 | |||||||||||||||||||||||
September 2008 | 0.55 | (0.37 | ) | 0.18 | 5.47 | 5.97 | 7.14 | 4.48 | 1.51 | |||||||||||||||||||||||
October 2008 | 0.55 | (0.41 | ) | 0.14 | 4.55 | 3.37 | 3.31 | 5.88 | 4.27 | |||||||||||||||||||||||
November 2008 | 0.63 | (0.38 | ) | 0.25 | 8.49 | 9.14 | 8.52 | 2.74 | * | |||||||||||||||||||||||
December 2008 | 0.56 | (0.37 | ) | 0.19 | 6.36 | 13.42 | 14.38 | * | * |
* | Due to the low interest rate environments that existed during these time periods, the down 200 basis point parallel shifts in interest rates at November 30 and December 31, 2008 and the down 100 basis point parallel shift in interest rates at December 31, 2008 were not considered meaningful. | |
(1) | In the up and down 100 and 200 scenarios, the duration of equity is calculated under assumed instantaneous +/- 100 and +/- 200 basis point parallel shifts in interest rates. |
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(Dollars in millions)
Cash | Cash | |||||||||||||||||||||||
Credit | Number of | Notional | Maximum Credit | Collateral | Collateral | Net Exposure | ||||||||||||||||||
Rating(1) | Counterparties | Principal(2) | Exposure | Held | Due(3) | After Collateral | ||||||||||||||||||
December 31, 2008 | ||||||||||||||||||||||||
Aaa | 3 | $ | 17,099.2 | $ | 35.2 | $ | 27.3 | $ | 7.9 | $ | — | |||||||||||||
Aa(4) | 9 | 43,239.8 | 341.9 | 288.5 | 52.4 | 1.0 | ||||||||||||||||||
A(5) | 4 | 9,802.8 | 27.8 | 19.1 | 8.7 | — | ||||||||||||||||||
Total | 16 | $ | 70,141.8 | (6) | $ | 404.9 | $ | 334.9 | $ | 69.0 | $ | 1.0 | ||||||||||||
December 31, 2007 | ||||||||||||||||||||||||
Aaa | 5 | $ | 13,366.3 | $ | 17.9 | $ | 10.5 | $ | 7.4 | $ | — | |||||||||||||
Aa(4) (5) | 10 | 17,362.3 | 68.4 | 45.8 | 22.6 | — | ||||||||||||||||||
A | 3 | 10,240.0 | 47.3 | 47.0 | 0.3 | — | ||||||||||||||||||
Excess collateral(7) | — | — | — | 1.0 | — | — | ||||||||||||||||||
18 | $ | 40,968.6 | $ | 133.6 | $ | 104.3 | $ | 30.3 | $ | — | ||||||||||||||
(1) | Credit ratings shown in the table are provided by Moody’s and are as of December 31, 2008 and December 31, 2007, respectively. | |
(2) | Includes amounts that had not settled as of December 31, 2008 and December 31, 2007. | |
(3) | Amount of collateral to which the Bank had contractual rights under counterparty credit agreements based on December 31, 2008 and December 31, 2007 credit exposures. Cash collateral totaling $68.5 million and $29.9 million was delivered under these agreements in early January 2009 and early January 2008, respectively. | |
(4) | The figures for Aa-rated counterparties as of December 31, 2008 and December 31, 2007 include transactions with a counterparty that is affiliated with a member institution. Transactions with this counterparty had an aggregate notional principal of $0.1 billion and $0.2 billion as of December 31, 2008 and December 31, 2007, respectively. These transactions represented a credit exposure of $3.7 million and $2.0 million to the Bank as of December 31, 2008 and December 31, 2007, respectively. | |
(5) | The figures for A-rated counterparties as of December 31, 2008 and Aa-rated counterparties as of December 31, 2007 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 $1.4 billion and $1.7 billion as of December 31, 2008 and December 31, 2007, respectively, and did not represent a credit exposure to the Bank at either of those dates. | |
(6) | Excludes $3.5 million (notional) of interest rate derivatives with members. This product offering is discussed in the paragraph below. | |
(7) | Excess collateral represents cash collateral held by the Bank in excess of the Bank’s exposure to certain counterparties as of December 31, 2007. No excess collateral was held by the Bank as of December 31, 2008. |
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(Unaudited, in thousands)
Year Ended December 31, 2008 | ||||||||||||||||||||
First | Second | Third | Fourth | |||||||||||||||||
Quarter | Quarter | Quarter | Quarter | Total | ||||||||||||||||
Interest income | $ | 636,972 | $ | 529,393 | $ | 547,794 | $ | 580,577 | $ | 2,294,736 | ||||||||||
Net interest income (loss) | 47,449 | 52,377 | 62,106 | (11,574 | ) | 150,358 | ||||||||||||||
Other income (loss) | ||||||||||||||||||||
Net gains (losses) on available-for-sale securities | — | 2,794 | (2,476 | ) | (1,237 | ) | (919 | ) | ||||||||||||
Net losses on trading securities | (133 | ) | — | (157 | ) | (337 | ) | (627 | ) | |||||||||||
Net gains (losses) on derivatives and hedging activities | 4,904 | 9,826 | 56,314 | (64,365 | ) | 6,679 | ||||||||||||||
Gains on early extinguishment of debt | 5,656 | 1,910 | — | 1,228 | 8,794 | |||||||||||||||
Service fees and other, net | 2,304 | 2,484 | 1,509 | 2,356 | 8,653 | |||||||||||||||
Other expense | 17,579 | 14,125 | 15,093 | 18,016 | 64,813 | |||||||||||||||
Net income (loss) | 31,254 | 40,575 | 75,070 | (67,558 | ) | 79,341 |
Year Ended December 31, 2007 | ||||||||||||||||||||
First | Second | Third | Fourth | |||||||||||||||||
Quarter | Quarter | Quarter | Quarter | Total | ||||||||||||||||
Interest income | $ | 730,781 | $ | 678,694 | $ | 721,592 | $ | 755,415 | $ | 2,886,482 | ||||||||||
Net interest income | 56,633 | 52,943 | 54,093 | 59,357 | 223,026 | |||||||||||||||
Other income (loss) | ||||||||||||||||||||
Net gains (losses) on trading securities | (19 | ) | 8 | 38 | (29 | ) | (2 | ) | ||||||||||||
Net gains (losses) on derivatives and hedging activities | 2,125 | (2,218 | ) | 857 | (731 | ) | 33 | |||||||||||||
Gains on early extinguishment of debt | 97 | 34 | 1,123 | 1 | 1,255 | |||||||||||||||
Service fees and other, net | 1,972 | 2,093 | 2,053 | 2,101 | 8,219 | |||||||||||||||
Other expense | 13,023 | 13,646 | 13,348 | 15,279 | 55,296 | |||||||||||||||
Net income | 34,952 | 28,706 | 32,827 | 33,293 | 129,778 |
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Director | Expiration of | Board | ||||||||
Name | Age | Since | Term as Director | Committees | ||||||
Lee R. Gibson, Chairman (Member) | 52 | 2002 | 2012 | (a | )(b)(c)(d)(e)(f)(g) | |||||
Mary E. Ceverha, Vice Chairman (Independent) | 64 | 2004 | 2010 | (a | )(b)(c)(d)(e)(f)(g) | |||||
Tyson T. Abston (Member) | 43 | 2007 | 2009 | (a | )(d) | |||||
H. Gary Blankenship (Member) | 68 | 2007 | 2009 | (a | )(b)(e) | |||||
Patricia P. Brister (Independent) | 62 | 2008 | 2010 | (c | )(e) | |||||
Bobby L. Chain (Independent) | 79 | 2004 | 2010 | (c | )(e)(g) | |||||
James H. Clayton (Member) | 57 | 2005 | 2010 | (d | )(f)(g) | |||||
C. Kent Conine (Independent) | 54 | 2007 | 2009 | (e | )(f) | |||||
Howard R. Hackney (Member) | 69 | 2003 | 2012 | (b | )(d)(g) | |||||
Willard L. Jackson, Jr. (Independent) | 45 | 2007 | 2009 | (e | )(f) | |||||
Charles G. Morgan, Jr. (Member) | 47 | 2004 | 2009 | (b | )(d)(g) | |||||
James W. Pate, II (Independent) | 59 | 2007 | 2009 | (c | )(f) | |||||
Joseph F. Quinlan, Jr. (Member) | 61 | 2008 | 2012 | (a | )(d) | |||||
Margo S. Scholin (Independent) | 58 | 2007 | 2012 | (b | )(c) | |||||
Anthony S. Sciortino (Member) | 61 | 2003 | 2009 | (c | )(e)(g) | |||||
John B. Stahler (Member) | 60 | 2001 | 2010 | (a | )(b)(g) | |||||
Glenn Wertheim (Member) | 52 | 2008 | 2010 | (a | )(f) |
(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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Name | Age | Position Held | Officer Since | |||||||
Terry Smith | 52 | President and Chief Executive Officer | 1986 | |||||||
Paul Joiner | 56 | Senior Vice President and Chief Strategy Officer | 1986 | |||||||
Tom Lewis | 46 | Senior Vice President and Chief Accounting Officer | 2003 | |||||||
Nancy Parker | 56 | Senior Vice President and Chief Information Officer | 1994 | |||||||
Michael Sims | 43 | Senior Vice President and Chief Financial Officer | 1998 |
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Base Salary | X | Employee’s | X | Profitability | X | Corporate | X | Individual | ||||||||
as of 1/1/08 | Maximum | Achievement | Operating | Goal | ||||||||||||
Potential | Percentage | Goal | Achievement | |||||||||||||
Award | Achievement | Percentage | ||||||||||||||
Percentage | Percentage |
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75% | X | Base Salary | X | Maximum | X | Profitability | X | Corporate | ||||||||
as of 1/1/08 | Potential | Goal | Operating Goal | |||||||||||||
Award | Achievement | Achievement | ||||||||||||||
Percentage | Percentage | Percentage | ||||||||||||||
plus | ||||||||||||||||
25% | X | Base Salary | X | Maximum | X | Individual | ||||||||||
as of 1/1/08 | Potential Award | Performance Goal | ||||||||||||||
Percentage | 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 Total Advances + Letters of Credit (excluding Wachovia, Washington Mutual and Capital One) | 20 | % | $ | 28,600 | $ | 31,500 | $ | 32,400 | $ | 39,946 | 20 | % | ||||||||||||
2. Average Advances + Letters of Credit to 2008 CFIs | 20 | % | 20 | % | ||||||||||||||||||||
a.) Original CFI definition | $ | 7,500 | $ | 7,900 | $ | 8,100 | $ | 10,823 | ||||||||||||||||
b.) New CFI Definition | $ | 9,100 | $ | 9,600 | $ | 9,800 | $ | 13,142 | ||||||||||||||||
3. Total Credit Product Users | 10 | % | 700 | 710 | 720 | 762 | 10 | % | ||||||||||||||||
New Initiatives | ||||||||||||||||||||||||
1. Interest Rate Derivatives Customers | 5 | % | 6 | 9 | 12 | 1 | 0 | % | ||||||||||||||||
2. Advances or Deposit Auction Participants | 5 | % | 150 | 165 | 180 | 203 | 5 | % | ||||||||||||||||
3. Complete Implementation of Intrader 11.1 | 5 | % | Complete | Complete | Complete | Complete | 5 | % | ||||||||||||||||
4. Implement New Model for Member Credit | 5 | % | Complete | Complete | Complete | Complete | 5 | % | ||||||||||||||||
Economic and Community Development | ||||||||||||||||||||||||
1. New CIP / EDP Advances Funded + LCs Issued (excluding letters of credit issued on behalf of Lone Star National Bank) | 10 | % | $ | 525 | $ | 575 | $ | 625 | $ | 870 | 10 | % | ||||||||||||
2. Total CIP / EDP Advances / LC Users | 10 | % | 80 | 85 | 90 | 103 | 10 | % | ||||||||||||||||
3. New CIP / EDP Projects Funded / Supported by LCs | 10 | % | 230 | 245 | 260 | 372 | 10 | % | ||||||||||||||||
Overall Corporate Operating Goal Achievement Percentage | 95 | % | ||||||||||||||||||||||
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Corporate | ||||||||||||||||||||||||||||
Award | Maximum | Profitability | Operating Goal | Individual Goal | ||||||||||||||||||||||||
Base Salary as of | Component | Potential Award | Achievement | Achievement | Achievement | 2008 VPP | ||||||||||||||||||||||
January 1, 2008 ($) | Percentage (%) | Percentage (%) | Percentage (%) | Percentage (%) | Percentage (%) | Award ($) | ||||||||||||||||||||||
Terry Smith | 680,000 | 75.00 | 60.00 | 100.00 | 95.00 | 290,700 | ||||||||||||||||||||||
680,000 | 25.00 | 60.00 | 84.40 | 86,088 | ||||||||||||||||||||||||
376,788 | ||||||||||||||||||||||||||||
Tom Lewis | 252,500 | 43.75 | 100.00 | 95.00 | 100.00 | 104,945 | ||||||||||||||||||||||
Nancy Parker | 292,500 | 43.75 | 100.00 | 95.00 | 100.00 | 121,570 | ||||||||||||||||||||||
Mike Sims | 302,500 | 43.75 | 100.00 | 95.00 | 100.00 | 125,727 | ||||||||||||||||||||||
Paul Joiner | 255,000 | 43.75 | 100.00 | 95.00 | 100.00 | 105,984 |
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Terry Smith | $715,000 (5.15 percent) | |||
Tom Lewis | $264,000 (4.55 percent) | |||
Nancy Parker | $320,000 (9.40 percent) | |||
Michael Sims | $330,000 (9.09 percent) | |||
Paul Joiner | $267,500 (4.90 Percent) |
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Estimated Possible VPP Payouts for 2009 | ||||||||||||
Threshold ($) | Target ($) | Maximum ($) | ||||||||||
Terry Smith | 203,775 | 364,650 | 429,000 | |||||||||
Tom Lewis | 34,650 | 92,400 | 115,500 | |||||||||
Nancy Parker | 42,000 | 112,000 | 140,000 | |||||||||
Michael Sims | 43,313 | 115,500 | 144,375 | |||||||||
Paul Joiner | 35,109 | 93,625 | 117,031 |
Margo S. Scholin, Vice Chairman
Patricia P. Brister
Mary E. Ceverha
Lee R. Gibson
James W. Pate, II
Anthony S. Sciortino
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Change in Pension | ||||||||||||||||||||||||||||||||||||
Name and | Non-equity | Value and Nonqualified | ||||||||||||||||||||||||||||||||||
Principal | Stock | Option | Incentive Plan | Deferred Compensation | All Other | |||||||||||||||||||||||||||||||
Position | Year | Salary ($) | Bonus ($) | Awards ($) | Awards ($) | Compensation ($) (1) | Earnings ($) (2) | Compensation ($) (3) | Total ($) | |||||||||||||||||||||||||||
Terry Smith | 2008 | 680,000 | — | — | — | 376,788 | 195,000 | 391,804 | 1,643,592 | |||||||||||||||||||||||||||
President/Chief Executive Officer | 2007 | 649,750 | — | — | — | 348,136 | 127,000 | 347,215 | 1,472,101 | |||||||||||||||||||||||||||
2006 | 565,000 | — | — | — | 118,090 | 111,000 | 244,192 | 1,038,282 | ||||||||||||||||||||||||||||
Tom Lewis | 2008 | 252,500 | — | — | — | 104,945 | 48,000 | 59,774 | 465,219 | |||||||||||||||||||||||||||
SVP/Chief Accounting Officer | 2007 | 240,000 | — | — | — | 94,500 | 28,000 | 19,536 | 382,036 | |||||||||||||||||||||||||||
2006 | 217,500 | — | — | — | 43,415 | 23,000 | 26,920 | 310,835 | ||||||||||||||||||||||||||||
Nancy Parker | 2008 | 292,500 | — | — | — | 121,570 | 161,000 | 143,216 | 718,286 | |||||||||||||||||||||||||||
SVP/Chief Information Officer | 2007 | 275,000 | 10,000 | (4) | — | — | 108,281 | 162,000 | 73,836 | 629,117 | ||||||||||||||||||||||||||
2006 | 255,000 | — | — | — | 50,901 | 144,000 | 73,426 | 523,327 | ||||||||||||||||||||||||||||
Michael Sims | 2008 | 302,500 | — | — | — | 125,727 | 128,000 | 83,615 | 639,842 | |||||||||||||||||||||||||||
SVP/Chief Financial Officer | 2007 | 285,000 | — | — | — | 112,219 | 54,000 | 43,697 | 494,916 | |||||||||||||||||||||||||||
2006 | 265,000 | — | — | — | 52,897 | 48,000 | 42,577 | 408,474 | ||||||||||||||||||||||||||||
Paul Joiner | 2008 | 255,000 | — | — | — | 105,984 | 222,000 | 113,032 | 696,016 | |||||||||||||||||||||||||||
SVP/Chief Strategy Officer | 2007 | 250,000 | — | — | — | 98,438 | 184,000 | 64,033 | 596,471 | |||||||||||||||||||||||||||
2006 | 233,750 | — | — | — | 43,415 | 164,000 | 50,967 | 492,132 |
(1) | Amounts for 2008, 2007 and 2006 represent VPP awards earned for services rendered in those years. These amounts were paid to the named executive officers in February 2009, March 2008 and March 2007, respectively. | |
(2) | Amounts reported in this column for 2008, 2007 and 2006 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 2008, 2007 or 2006. | |
(3) | The components of this column for 2008 are provided in the table below. | |
(4) | Represents a discretionary bonus paid to Ms. Parker for her work in connection with management’s initial report on internal control over financial reporting. |
Bank | Bank Contributions to Vested | |||||||||||||||||||||||||||||||
Contributions to | Defined Contribution Plans | |||||||||||||||||||||||||||||||
Unvested Defined | 401(k)/ | Nonqualified | Payouts | Payouts | Total | |||||||||||||||||||||||||||
Contribution | Thrift | Deferred Compensation | for Unused | for Unused | Tax | All Other | ||||||||||||||||||||||||||
Name | Plan (SERP) ($) | Plan ($) | Plan (NQDC Plan) ($) | Vacation ($) | Flex Leave ($) | Perquisites ($) | Gross ups ($) | Compemsation ($) | ||||||||||||||||||||||||
Terry Smith | 247,823 | 13,800 | 27,000 | 49,038 | 13,778 | 28,264 | (1) | 12,101 | (2) | 391,804 | ||||||||||||||||||||||
Tom Lewis | 18,383 | 13,800 | 1,350 | 26,241 | — | * | — | 59,774 | ||||||||||||||||||||||||
Nancy Parker | 95,084 | 13,800 | 3,750 | 25,031 | 5,551 | * | — | 143,216 | ||||||||||||||||||||||||
Michael Sims | 44,855 | 13,800 | 4,350 | 15,838 | 4,772 | * | — | 83,615 | ||||||||||||||||||||||||
Paul Joiner | 77,252 | 13,800 | 1,500 | 15,325 | 5,155 | * | — | 113,032 |
(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 $10,000 or zero. |
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Estimated Possible Payouts Under | ||||||||||||
Non-Equity Incentive Plan Awards for 2008 | ||||||||||||
Name | Threshold ($) | Target ($) | Maximum ($) | |||||||||
Terry Smith | 193,800 | 346,800 | 408,000 | |||||||||
Tom Lewis | 33,141 | 88,375 | 110,469 | |||||||||
Nancy Parker | 38,391 | 102,375 | 127,969 | |||||||||
Michael Sims | 39,703 | 105,875 | 132,344 | |||||||||
Paul Joiner | 33,469 | 89,250 | 111,563 |
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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 | 23.0 | 1,171,000 | — | ||||||||||||
Tom Lewis | Pentegra DB Plan | 5.9 | 149,000 | — | ||||||||||||
Nancy Parker | Pentegra DB Plan | 21.8 | 1,397,000 | — | ||||||||||||
Michael Sims | Pentegra DB Plan | 18.9 | 527,000 | — | ||||||||||||
Paul Joiner | Pentegra DB Plan | 25.4 | 1,683,000 | — |
• | 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, 2008 commence at age 60 and are discounted to December 31, 2008); | ||
• | Discount rate of 6.71 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 (static mortality); 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 | 40,000 | 27,000 | (2,299 | ) | 68,544 | 161,712 | ||||||||||||||
SERP — Group 1 | — | 190,179 | (122,462 | ) | — | 342,444 | ||||||||||||||
SERP — Group 3 | — | 57,644 | 832 | — | 426,460 | |||||||||||||||
40,000 | 274,823 | (123,929 | ) | 68,544 | 930,616 | |||||||||||||||
Tom Lewis | ||||||||||||||||||||
NQDC Plan | 59,250 | 1,350 | 3,634 | — | 194,525 | |||||||||||||||
SERP — Group 1 | — | 18,383 | (14,157 | ) | — | 39,587 | ||||||||||||||
SERP — Group 2 | — | — | (2,577 | ) | — | 4,800 | ||||||||||||||
59,250 | 19,733 | (13,100 | ) | — | 238,912 | |||||||||||||||
Nancy Parker | ||||||||||||||||||||
NQDC Plan | 5,000 | 3,750 | (4,382 | ) | — | 17,164 | ||||||||||||||
SERP — Group 1 | — | 95,084 | (59,824 | ) | — | 167,289 | ||||||||||||||
5,000 | 98,834 | (64,206 | ) | — | 184,453 | |||||||||||||||
Michael Sims | ||||||||||||||||||||
NQDC Plan | 2,000 | 4,350 | 210 | 5,048 | 12,288 | |||||||||||||||
SERP — Group 1 | — | 44,855 | (24,221 | ) | — | 67,732 | ||||||||||||||
2,000 | 49,205 | (24,011 | ) | 5,048 | 80,020 | |||||||||||||||
Paul Joiner | ||||||||||||||||||||
NQDC Plan | 24,000 | 1,500 | (41 | ) | — | 84,007 | ||||||||||||||
SERP — Group 1 | — | 77,252 | (40,007 | ) | — | 111,873 | ||||||||||||||
24,000 | 78,752 | (40,048 | ) | — | 195,880 | |||||||||||||||
(1) | All amounts in this column are included in the “Salary” column for 2008 in the Summary Compensation Table, except for $47,250 of the amount shown for Mr. Lewis. This amount represents the portion of Mr. Lewis’ 2007 VPP award that he elected to defer under the provisions of our NQDC Plan. The 2007 VPP award was previously reported as compensation in 2007 (in the “Non-equity Incentive Plan Compensation” column of the Summary Compensation Table) and was paid in March 2008. | |
(2) | All amounts in this column are included in the “All Other Compensation” column for 2008 in the Summary Compensation Table. | |
(3) | The earnings presented in this column are not included in the “Change in Pension Value and Nonqualified Deferred Compensation Earnings” column for 2008 in the Summary Compensation Table as such earnings are not at above-market or preferential rates. | |
(4) | The balances presented in this column are comprised of the amounts shown in the table below entitled “Components of Nonqualified Deferred Compensation Accounts at Last Fiscal Year End.” |
at Last Fiscal Year End
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Amounts Not Previously Distributed | ||||||||||||||||||||||||
Reportable | Cumulative Earnings | |||||||||||||||||||||||
Amounts Reported in | Compensation | (Losses) Excluded | ||||||||||||||||||||||
Summary Compensation Table | Related to Years | from Reportable | ||||||||||||||||||||||
Name | 2008 ($) | 2007 ($) | 2006 ($) | Prior to 2006 ($) | Compensation ($) | Total ($) | ||||||||||||||||||
Terry Smith | 314,823 | 275,729 | 120,644 | 232,488 | (13,068 | ) | 930,616 | |||||||||||||||||
Tom Lewis | 31,733 | 66,661 | (1) | 38,303 | (1) | 97,904 | 4,311 | 238,912 | ||||||||||||||||
Nancy Parker | 103,834 | 37,237 | 33,337 | 53,778 | (43,733 | ) | 184,453 | |||||||||||||||||
Michael Sims | 51,205 | 16,430 | 10,830 | 18,488 | (16,933 | ) | 80,020 | |||||||||||||||||
Paul Joiner | 102,752 | 46,431 | 20,931 | 33,330 | (7,564 | ) | 195,880 |
(1) | Includes the portion of Mr. Lewis’ 2007 and 2006 VPP awards that he elected to defer under the provisions of our NQDC Plan. These amounts, totaling $47,250 and $21,707, respectively, were contributed to Mr. Lewis’ NQDC Plan account in March 2008 and March 2007, at the time our 2007 and 2006 VPP awards were paid. |
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i) | all accrued and unpaid base salary for time worked through the date of termination of the executive officer’s employment (“Termination Date”); | ||
ii) | all accrued but unutilized vacation time as of the Termination Date; | ||
iii) | base salary continuation (at the base salary in effect at the time of termination) from the Termination Date through the end of the remaining term of the employment agreement; | ||
iv) | continued participation in any incentive compensation plan in existence as of the Termination Date, provided that all other eligibility and performance objectives are met, as if the executive officer had continued employment through December 31 of the year in which the termination occurs (the executive officer will not be eligible for incentive compensation with respect to any year following the year of termination); | ||
v) | continuation of any elective health care benefits that we are providing to the executive officer as of his or her Termination Date in accordance with the terms of our general Reduction in Workforce Policy (under this policy, the continuation of health care benefits is limited to no more than a one-year period); and | ||
vi) | a lump sum payment calculated based on the product of (X) and (Y) where “X” means the then current monthly premium charge for the COBRA Continuation Coverage under the health care benefits plan of the kind the executive officer then subscribes to and “Y” means (a) the number of months for which base salary is payable under (iii) above minus (b) the number of months of health care benefits coverage provided to the executive officer under (v) above. |
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Undiscounted | ||||||||||||||||||||||||||||||||
Accrued/ | Accrued/ | Undiscounted | Value of | COBRA | ||||||||||||||||||||||||||||
Unpaid Base | Unused | Value of | 2008 | Health Care | Continuation | Total | ||||||||||||||||||||||||||
Salary as of | Vacation as | Base Salary | VPP | Benefits | Coverage Lump | SERP | Termination | |||||||||||||||||||||||||
Name | 12/31/08 ($) | of 12/31/08 ($) | Continuation ($) | Award ($) | Continuation ($) | Sum Payment ($) | Group 2 ($) | Benefit ($) | ||||||||||||||||||||||||
Terry Smith | — | 811 | 1,964,633 | 376,788 | 10,951 | 23,943 | — | 2,377,126 | ||||||||||||||||||||||||
Tom Lewis | — | 3,885 | 729,515 | 104,945 | 9,444 | 51,823 | 4,800 | 904,412 | ||||||||||||||||||||||||
Nancy Parker | — | 5,648 | 845,081 | 121,570 | 5,889 | 12,804 | — | 990,992 | ||||||||||||||||||||||||
Michael Sims | — | 8,144 | 873,973 | 125,727 | 18,888 | 41,101 | — | 1,067,833 | ||||||||||||||||||||||||
Paul Joiner | — | 39,005 | 736,738 | 105,984 | 18,888 | 41,101 | — | 941,716 |
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Change in Pension | ||||||||||||||||||||||||||||
Non-equity | Value and Nonqualified | |||||||||||||||||||||||||||
Fees Earned or | Stock | Option | Incentive Plan | Deferred Compensation | All Other | |||||||||||||||||||||||
Name | Paid in Cash ($) | Awards ($) | Awards ($) | Compensation ($) | Earnings ($) | Compensation ($) | Total ($) | |||||||||||||||||||||
Lee R. Gibson, Chairman in 2008 | 31,232 | — | — | — | — | * | 31,232 | |||||||||||||||||||||
Mary E. Ceverha, Vice Chairman in 2008 | 24,986 | — | — | — | — | * | 24,986 | |||||||||||||||||||||
Tyson T. Abston | 18,739 | — | — | — | — | * | 18,739 | |||||||||||||||||||||
H. Gary Blankenship | 18,739 | — | — | — | — | * | 18,739 | |||||||||||||||||||||
Patricia P. Brister | 18,739 | — | — | — | — | * | 18,739 | |||||||||||||||||||||
Bobby L. Chain | 18,739 | — | — | — | — | * | 18,739 | |||||||||||||||||||||
James H. Clayton | 18,739 | — | — | — | — | * | 18,739 | |||||||||||||||||||||
C. Kent Conine | 18,739 | — | — | — | — | * | 18,739 | |||||||||||||||||||||
Howard R. Hackney | 18,739 | — | — | — | — | * | 18,739 | |||||||||||||||||||||
Will C. Hubbard | — | — | — | — | — | * | — | |||||||||||||||||||||
Willard L. Jackson, Jr. | 18,739 | — | — | — | — | * | 18,739 | |||||||||||||||||||||
Melvin H. Johnson, Jr. | 18,739 | — | — | — | — | * | 18,739 | |||||||||||||||||||||
Charles G. Morgan, Jr. | 18,739 | — | — | — | — | * | 18,739 | |||||||||||||||||||||
James W. Pate, II | 9,370 | — | — | — | — | * | 9,370 | |||||||||||||||||||||
Joseph F. Quinlan, Jr. | 12,493 | — | — | — | — | * | 12,493 | |||||||||||||||||||||
Margo S. Scholin | 18,739 | — | — | — | — | * | 18,739 | |||||||||||||||||||||
Anthony S. Sciortino | 18,739 | — | — | — | — | * | 18,739 | |||||||||||||||||||||
Clarence G. Simmons, III | 15,616 | — | — | — | — | * | 15,616 | |||||||||||||||||||||
John B. Stahler | 18,739 | — | — | — | — | * | 18,739 | |||||||||||||||||||||
Glenn Wertheim | 18,739 | — | — | — | — | * | 18,739 |
* | Our directors did not receive any other form of compensation in 2008 other than the limited perquisites which are discussed below. For each director, these perquisites were either less than $10,000 or zero. |
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Retainer Fees | Meeting Fees | Total Fees | ||||||||||
Chairman of the Board | $ | 15,000 | $ | 45,000 | $ | 60,000 | ||||||
Vice Chairman of the Board | 15,000 | 40,000 | 55,000 | |||||||||
Chairman of the Audit Committee | 15,000 | 40,000 | 55,000 | |||||||||
Chairmen of all other Board Committees | 15,000 | 35,000 | 50,000 | |||||||||
All other Directors | 15,000 | 30,000 | 45,000 |
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Percentage of | ||||||||
Number of | Outstanding | |||||||
Name and Address of Beneficial Owner | Shares Owned | Shares Owned | ||||||
Wachovia Bank, FSB | 9,250,597 | 31.40 | % | |||||
2085 Westheimer Road, Houston, TX 77098 | ||||||||
Comerica Bank | 3,530,000 | 11.98 | % | |||||
1717 Main Street, Dallas, TX 75201 |
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Bank Director | Number | Percentage of | ||||||||||
Affiliated with | of Shares | Outstanding Shares | ||||||||||
Name and Address of Beneficial Owner | Beneficial Owner | Owned ** | Owned | |||||||||
Southside Bank | Lee R. Gibson | 394,108 | 1.34 | % | ||||||||
1201 South Beckham, Tyler, TX 75701 | ||||||||||||
Charter Bank | Glenn Wertheim | 226,103 | * | |||||||||
1881 St. Michael’s Drive, Santa Fe, NM 87501 | ||||||||||||
Guaranty Bond Bank | Tyson T. Abston | 43,263 | * | |||||||||
100 W. Arkansas, Mount Pleasant, TX 75455 | ||||||||||||
State-Investors Bank | Anthony S. Sciortino | 29,239 | * | |||||||||
1041 Veterans Boulevard, Metairie, LA 70005 | ||||||||||||
Texas Bank and Trust Company | Howard R. Hackney | 28,221 | * | |||||||||
300 East Whaley, Longview, TX 75601 | ||||||||||||
American National Bank | John B. Stahler | 25,655 | * | |||||||||
2732 Midwestern Parkway, Wichita Falls, TX 76308 | ||||||||||||
Texas Security Bank | Tyson T. Abston | 16,515 | * | |||||||||
1212 Turtle Creek Boulevard, Dallas, TX 75207 | ||||||||||||
Arkansas Bankers Bank | Joseph F. Quinlan, Jr. | 15,134 | * | |||||||||
1020 West Second Street, Little Rock, AR 72201 | ||||||||||||
Pine Bluff National Bank | Charles G. Morgan, Jr. | 12,422 | * | |||||||||
912 Poplar Street, Pine Bluff, AR 71601 | ||||||||||||
First National Banker’s Bank | Joseph F. Quinlan, Jr. | 6,321 | * | |||||||||
7813 Office Park Boulevard, Baton Rouge, LA 70809 | ||||||||||||
Bank of the West | H. Gary Blankenship | 5,820 | * | |||||||||
108 West Northwest Highway, Grapevine, TX 75051 | ||||||||||||
Planters Bank and Trust Company | James H. Clayton | 4,476 | * | |||||||||
212 Catchings Street, Indianola, MS 38751 | ||||||||||||
Mississippi National Bankers Bank | Joseph F. Quinlan, Jr. | 1,420 | * | |||||||||
300 Concourse Boulevard, Ridgeland, MS 39157 | ||||||||||||
All Directors’ Financial Institutions as a group | 808,697 | 2.75 | % |
* | Indicates less than one percent ownership. | |
** | All shares owned by the Directors’ Financial Institutions are pledged as collateral to secure borrowings from the Bank. |
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(In thousands) | ||||||||
Year Ended December 31, | ||||||||
2008 | 2007 | |||||||
Audit fees | $ | 979 | $ | 733 | ||||
Audit-related fees | 114 | 690 | ||||||
Tax fees | — | — | ||||||
All other fees | — | 8 | ||||||
Total fees | $ | 1,093 | $ | 1,431 | ||||
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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 | By-Laws of the Registrant (incorporated by reference to Exhibit 3.2 to the Bank’s Registration Statement on Form 10 filed February 15, 2006). | ||
4.1 | Capital Plan for 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 Registrant’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. | ||
10.4 | Non-Qualified Deferred Compensation Plan for the Board of Directors of the Registrant, effective July 24, 2004 (governs deferrals made prior to January 1, 2005) (incorporated by reference to Exhibit 10.3 to the Bank’s Registration Statement on Form 10 filed February 15, 2006). | ||
10.5 | Non-Qualified Deferred Compensation Plan for the Board of Directors of the Registrant for Deferrals Effective January 1, 2005 (incorporated by reference to Exhibit 10.4 to the Bank’s Registration Statement on Form 10 filed February 15, 2006). | ||
10.6 | 2008 Amendment to Non-Qualified Deferred Compensation Plan for the Board of Directors of the Registrant for Deferrals Effective January 1, 2005, dated December 10, 2008. |
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10.7 | Form of Special Non-Qualified Deferred Compensation Plan of the Registrant, as amended and restated effective as of January 1, 2008 (incorporated by reference to Exhibit 10.5 to the Bank’s Annual Report on Form 10-K for the fiscal year ended December 31, 2007, filed on March 28, 2008). | ||
10.8 | 2008 Amendment to Special Non-Qualified Deferred Compensation Plan of the Registrant, dated December 10, 2008. | ||
10.9 | 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 Registrant’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). | ||
10.10 | 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 Registrant’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). | ||
10.11 | United States Department of the Treasury Lending Agreement, dated September 9, 2008 (filed as Exhibit 10.1 to the Registrant’s Current Report on Form 8-K dated September 9, 2008 and filed with the SEC on September 9, 2008, which exhibit is incorporated herein by reference). | ||
10.12 | Amended and Restated Indemnification Agreement between the Registrant and Terry Smith, dated October 24, 2008. | ||
10.13 | Form of Indemnification Agreement between the Registrant and each of its officers (other than Terry Smith), entered into on various dates between November 7, 2008 and November 30, 2008. | ||
10.14 | Form of Indemnification Agreement between the Registrant and each of its directors, entered into on October 24, 2008. | ||
12.1 | Computation of Ratio of Earnings to Fixed Charges. | ||
14.1 | Code of Ethics for Senior Financial Officers. | ||
31.1 | Certification of principal executive officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. | ||
31.2 | Certification of principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. | ||
32.1 | Certification of principal executive officer and principal financial officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. | ||
99.1 | Charter of the Audit Committee of the Board of Directors. | ||
99.2 | Report of the Audit Committee of the Board of Directors. |
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Federal Home Loan Bank of Dallas | ||||
March 27, 2009 | 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/ Tom Lewis | ||||
Tom Lewis | ||||
Senior Vice President and Chief Accounting Officer (Principal Financial and 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/ Tyson T. Abston | ||||
Tyson T. Abston | ||||
Director | ||||
/s/ H. Gary Blankenship | ||||
H. Gary Blankenship | ||||
Director | ||||
/s/ Patricia P. Brister | ||||
Patricia P. Brister | ||||
Director |
S-1
Table of Contents
/s/ Bobby L. Chain | ||||
Bobby L. Chain | ||||
Director | ||||
/s/ James H. Clayton | ||||
James H. Clayton | ||||
Director | ||||
/s/ C. Kent Conine | ||||
C. Kent Conine | ||||
Director | ||||
/s/ Howard R. Hackney | ||||
Howard R. Hackney | ||||
Director | ||||
/s/ Willard L. Jackson, Jr. | ||||
Willard L. Jackson, Jr. | ||||
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/ Margo S. Scholin | ||||
Margo S. Scholin | ||||
Director | ||||
/s/ Anthony S. Sciortino | ||||
Anthony S. Sciortino | ||||
Director | ||||
/s/ John B. Stahler | ||||
John B. Stahler | ||||
Director | ||||
S-2
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/s/ Glenn Wertheim | ||||
Glenn Wertheim | ||||
Director | ||||
S-3
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Page No. | ||
F-2 | ||
Annual Audited Financial Statements: | ||
F-3 | ||
F-4 | ||
F-5 | ||
F-6 | ||
F-7 | ||
F-9 |
F-1
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F-2
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the Federal Home Loan Bank of Dallas:
/s/ PricewaterhouseCoopers LLP | ||||
Dallas, Texas | ||||
March 26, 2009 | ||||
F-3
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STATEMENTS OF CONDITION
(In thousands, except share data)
December 31, | ||||||||
2008 | 2007 | |||||||
ASSETS | ||||||||
Cash and due from banks (Note 3) | $ | 20,765 | $ | 74,699 | ||||
Interest-bearing deposits (Note 1) | 3,683,609 | 974 | ||||||
Federal funds sold (Notes 18 and 19) | 1,872,000 | 7,100,000 | ||||||
Trading securities (Note 4) | 3,370 | 2,924 | ||||||
Available-for-sale securities (Notes 5 and 19) | 127,532 | 362,090 | ||||||
Held-to-maturity securities (a) (Note 6) | 11,701,504 | 8,534,667 | ||||||
Advances (Notes 7 and 18) | 60,919,883 | 46,298,158 | ||||||
Mortgage loans held for portfolio, net of allowance for credit losses of $261 and $263 in 2008 and 2007, respectively (Notes 8 and 18) | 327,059 | 381,468 | ||||||
Loan to other FHLBank (Note 19) | — | 400,000 | ||||||
Accrued interest receivable | 145,284 | 188,835 | ||||||
Premises and equipment, net | 20,488 | 22,341 | ||||||
Derivative assets (Note 13) | 77,137 | 65,963 | ||||||
Excess REFCORP contributions (Note 12) | 16,881 | — | ||||||
Other assets | 17,386 | 26,137 | ||||||
TOTAL ASSETS | $ | 78,932,898 | $ | 63,458,256 | ||||
LIABILITIES AND CAPITAL | ||||||||
Deposits (Notes 9 and 18) | ||||||||
Interest-bearing | $ | 1,424,991 | $ | 3,087,748 | ||||
Non-interest bearing | 75 | 75 | ||||||
Total deposits | 1,425,066 | 3,087,823 | ||||||
Consolidated obligations, net (Note 10) | ||||||||
Discount notes | 16,745,420 | 24,119,433 | ||||||
Bonds | 56,613,595 | 32,855,379 | ||||||
Total consolidated obligations, net | 73,359,015 | 56,974,812 | ||||||
Mandatorily redeemable capital stock (Note 14) | 90,353 | 82,501 | ||||||
Accrued interest payable | 514,086 | 341,326 | ||||||
Affordable Housing Program (Note 11) | 43,067 | 47,440 | ||||||
Payable to REFCORP (Note 12) | — | 8,301 | ||||||
Derivative liabilities (Note 13) | 2,326 | 23,239 | ||||||
Other liabilities | 60,565 | 287,642 | ||||||
Total liabilities | 75,494,478 | 60,853,084 | ||||||
Commitments and contingencies (Notes 11, 12, 13, 15 and 17) | ||||||||
CAPITAL (Notes 14 and 18) | ||||||||
Capital stock — Class B putable ($100 par value) issued and outstanding shares: 32,238,300 and 23,939,801 shares in 2008 and 2007, respectively | 3,223,830 | 2,393,980 | ||||||
Retained earnings | 216,025 | 211,762 | ||||||
Accumulated other comprehensive income (loss) | ||||||||
Net unrealized losses on available-for-sale securities, net of unrealized gains and losses relating to hedged interest rate risk included in net income (Notes 5 and 13) | (1,661 | ) | (962 | ) | ||||
Postretirement benefits (Note 15) | 226 | 392 | ||||||
Total accumulated other comprehensive income (loss) | (1,435 | ) | (570 | ) | ||||
Total capital | 3,438,420 | 2,605,172 | ||||||
TOTAL LIABILITIES AND CAPITAL | $ | 78,932,898 | $ | 63,458,256 | ||||
(a) | Fair values: $11,169,862 and $8,489,962 at December 31, 2008 and 2007, respectively. |
F-4
Table of Contents
STATEMENTS OF INCOME
(In thousands)
For the Years Ended December 31, | ||||||||||||
2008 | 2007 | 2006 | ||||||||||
INTEREST INCOME | ||||||||||||
Advances | $ | 1,809,694 | $ | 2,111,476 | $ | 2,181,800 | ||||||
Prepayment fees on advances, net | 6,802 | 2,268 | 2,225 | |||||||||
Interest-bearing deposits | 2,595 | 7,096 | 18,190 | |||||||||
Federal funds sold | 96,144 | 277,307 | 196,990 | |||||||||
Trading securities | — | 551 | 2,360 | |||||||||
Available-for-sale securities | 10,350 | 26,618 | 42,074 | |||||||||
Held-to-maturity securities | 349,033 | 437,270 | 417,222 | |||||||||
Mortgage loans held for portfolio | 19,773 | 23,070 | 27,546 | |||||||||
Other | 345 | 826 | 795 | |||||||||
Total interest income | 2,294,736 | 2,886,482 | 2,889,202 | |||||||||
INTEREST EXPENSE | ||||||||||||
Consolidated obligations | ||||||||||||
Bonds | 1,563,357 | 1,957,871 | 2,123,386 | |||||||||
Discount notes | 521,373 | 555,816 | 390,269 | |||||||||
Deposits | 58,281 | 144,203 | 145,690 | |||||||||
Mandatorily redeemable capital stock | 1,199 | 5,328 | 13,049 | |||||||||
Other borrowings | 168 | 238 | 516 | |||||||||
Total interest expense | 2,144,378 | 2,663,456 | 2,672,910 | |||||||||
NET INTEREST INCOME | 150,358 | 223,026 | 216,292 | |||||||||
OTHER INCOME (LOSS) | ||||||||||||
Service fees | 3,510 | 3,713 | 3,438 | |||||||||
Net loss on trading securities | (627 | ) | (2 | ) | (893 | ) | ||||||
Net realized losses on sales of available-for-sale securities | (919 | ) | — | — | ||||||||
Gains on early extinguishment of debt | 8,794 | 1,255 | 746 | |||||||||
Net gains (losses) on derivatives and hedging activities | 6,679 | 33 | (5,457 | ) | ||||||||
Other, net | 5,143 | 4,506 | 3,445 | |||||||||
Total other income | 22,580 | 9,505 | 1,279 | |||||||||
OTHER EXPENSE | ||||||||||||
Compensation and benefits | 34,533 | 30,976 | 23,551 | |||||||||
Other operating expenses | 26,617 | 20,909 | 22,823 | |||||||||
Finance Agency/Finance Board | 1,900 | 1,822 | 2,043 | |||||||||
Office of Finance | 1,763 | 1,589 | 1,403 | |||||||||
Total other expense | 64,813 | 55,296 | 49,820 | |||||||||
INCOME BEFORE ASSESSMENTS | 108,125 | 177,235 | 167,751 | |||||||||
Affordable Housing Program | 8,949 | 15,012 | 15,026 | |||||||||
REFCORP | 19,835 | 32,445 | 30,545 | |||||||||
Total assessments | 28,784 | 47,457 | 45,571 | |||||||||
NET INCOME | $ | 79,341 | $ | 129,778 | $ | 122,180 | ||||||
F-5
Table of Contents
STATEMENTS OF CAPITAL
FOR THE YEARS ENDED DECEMBER 31, 2008, 2007 AND 2006
(In thousands)
Capital Stock | Accumulated Other | |||||||||||||||||||
Class B — Putable | Retained | Comprehensive | Total | |||||||||||||||||
Shares | Par Value | Earnings | Income (Loss) | Capital | ||||||||||||||||
BALANCE, JANUARY 1, 2006 | 22,986 | $ | 2,298,622 | $ | 178,494 | $ | (2,677 | ) | $ | 2,474,439 | ||||||||||
Proceeds from sale of capital stock | 4,572 | 457,173 | — | — | 457,173 | |||||||||||||||
Repurchase/redemption of capital stock | (6,087 | ) | (608,671 | ) | — | — | (608,671 | ) | ||||||||||||
Shares reclassified to mandatorily redeemable capital stock | (88 | ) | (8,754 | ) | — | — | (8,754 | ) | ||||||||||||
Comprehensive income | ||||||||||||||||||||
Net income | — | — | 122,180 | — | 122,180 | |||||||||||||||
Other comprehensive income | ||||||||||||||||||||
Net unrealized gains on available-for-sale securities | — | — | — | 2,906 | 2,906 | |||||||||||||||
Total comprehensive income | — | — | — | — | 125,086 | |||||||||||||||
Adjustment to initially apply SFAS 158 | — | — | — | 519 | 519 | |||||||||||||||
Dividends on capital stock | ||||||||||||||||||||
Cash | — | — | (173 | ) | — | (173 | ) | |||||||||||||
Mandatorily redeemable capital stock | — | — | (99 | ) | — | (99 | ) | |||||||||||||
Stock | 1,098 | 109,777 | (109,777 | ) | — | — | ||||||||||||||
BALANCE, DECEMBER 31, 2006 | 22,481 | 2,248,147 | 190,625 | 748 | 2,439,520 | |||||||||||||||
Proceeds from sale of capital stock | 10,251 | 1,025,096 | — | — | 1,025,096 | |||||||||||||||
Repurchase/redemption of capital stock | (9,188 | ) | (918,797 | ) | — | — | (918,797 | ) | ||||||||||||
Shares reclassified to mandatorily redeemable capital stock, net | (676 | ) | (67,712 | ) | — | — | (67,712 | ) | ||||||||||||
Comprehensive income | ||||||||||||||||||||
Net income | — | — | 129,778 | — | 129,778 | |||||||||||||||
Other comprehensive income | ||||||||||||||||||||
Net unrealized losses on available-for-sale securities | — | — | — | (1,191 | ) | (1,191 | ) | |||||||||||||
Postretirement benefits | — | — | — | (127 | ) | (127 | ) | |||||||||||||
Total comprehensive income | — | — | — | — | 128,460 | |||||||||||||||
Dividends on capital stock | ||||||||||||||||||||
Cash | — | — | (180 | ) | — | (180 | ) | |||||||||||||
Mandatorily redeemable capital stock | — | — | (1,215 | ) | — | (1,215 | ) | |||||||||||||
Stock | 1,072 | 107,246 | (107,246 | ) | — | — | ||||||||||||||
BALANCE, DECEMBER 31, 2007 | 23,940 | 2,393,980 | 211,762 | (570 | ) | 2,605,172 | ||||||||||||||
Proceeds from sale of capital stock | 20,141 | 2,014,094 | — | — | 2,014,094 | |||||||||||||||
Repurchase/redemption of capital stock | (11,861 | ) | (1,186,081 | ) | — | — | (1,186,081 | ) | ||||||||||||
Shares reclassified to mandatorily redeemable capital stock | (725 | ) | (72,511 | ) | — | — | (72,511 | ) | ||||||||||||
Comprehensive income | ||||||||||||||||||||
Net income | — | — | 79,341 | — | 79,341 | |||||||||||||||
Other comprehensive income | ||||||||||||||||||||
Net unrealized losses on available-for-sale securities | — | — | — | (1,618 | ) | (1,618 | ) | |||||||||||||
Reclassification adjustment for net realized gains and losses on sales of available-for-sale securities included in net income | — | — | — | 919 | 919 | |||||||||||||||
Postretirement benefits | — | — | — | (166 | ) | (166 | ) | |||||||||||||
Total comprehensive income | — | — | — | — | 78,476 | |||||||||||||||
Dividends on capital stock | ||||||||||||||||||||
Cash | — | — | (182 | ) | — | (182 | ) | |||||||||||||
Mandatorily redeemable capital stock | — | — | (548 | ) | — | (548 | ) | |||||||||||||
Stock | 743 | 74,348 | (74,348 | ) | — | — | ||||||||||||||
BALANCE, DECEMBER 31, 2008 | 32,238 | $ | 3,223,830 | $ | 216,025 | $ | (1,435 | ) | $ | 3,438,420 | ||||||||||
F-6
Table of Contents
STATEMENTS OF CASH FLOWS
(In thousands)
For the Years Ended December 31, | ||||||||||||
2008 | 2007 | 2006 | ||||||||||
OPERATING ACTIVITIES | ||||||||||||
Net income | $ | 79,341 | $ | 129,778 | $ | 122,180 | ||||||
Adjustments to reconcile net income to net cash provided by operating activities | ||||||||||||
Depreciation and amortization | ||||||||||||
Net premiums and discounts on advances, consolidated obligations, investments and mortgage loans | 2,105 | 60,354 | 23,010 | |||||||||
Concessions on consolidated obligation bonds | 14,052 | 14,563 | 10,241 | |||||||||
Premises, equipment and computer software costs | 4,309 | 4,874 | 4,463 | |||||||||
Non-cash interest on mandatorily redeemable capital stock | 2,048 | 6,629 | 10,842 | |||||||||
Decrease (increase) in trading securities | (446 | ) | (618 | ) | 505 | |||||||
Losses (gains) due to change in net fair value adjustment on derivative and hedging activities | (136,419 | ) | 69,612 | (103,148 | ) | |||||||
Gains on early extinguishment of debt | (8,794 | ) | (1,255 | ) | (746 | ) | ||||||
Net realized losses on sales of available-for-sale securities | 919 | — | — | |||||||||
Net realized gain on disposition of premises and equipment | — | — | (13 | ) | ||||||||
Decrease (increase) in accrued interest receivable | 43,699 | (1,119 | ) | 3,029 | ||||||||
Decrease (increase) in other assets | 1,124 | (2,167 | ) | (467 | ) | |||||||
Increase (decrease) in Affordable Housing Program (AHP) liability | (4,373 | ) | 3,982 | 4,374 | ||||||||
Increase (decrease) in accrued interest payable | 172,400 | (102,328 | ) | 47,144 | ||||||||
Increase in excess REFCORP contributions | (16,881 | ) | — | — | ||||||||
Increase (decrease) in payable to REFCORP | (8,301 | ) | 316 | 354 | ||||||||
Increase (decrease) in other liabilities | 718 | 5,416 | (542 | ) | ||||||||
Total adjustments | 66,160 | 58,259 | (954 | ) | ||||||||
Net cash provided by operating activities | 145,501 | 188,037 | 121,226 | |||||||||
INVESTING ACTIVITIES | ||||||||||||
Net decrease (increase) in interest-bearing deposits | (3,803,780 | ) | 54,395 | 210,299 | ||||||||
Net decrease (increase) in federal funds sold | 5,228,000 | (1,605,000 | ) | 2,401,000 | ||||||||
Net decrease (increase) in loans to other FHLBanks | 400,000 | (400,000 | ) | — | ||||||||
Net decrease (increase) in short-term held-to-maturity securities | 991,508 | (991,508 | ) | — | ||||||||
Proceeds from sales of available-for-sale securities | 314,187 | — | — | |||||||||
Proceeds from maturities of available-for-sale securities | 267,986 | 354,077 | 284,596 | |||||||||
Purchases of available-for-sale securities | (350,466 | ) | — | — | ||||||||
Proceeds from maturities of long-term held-to-maturity securities | 1,679,318 | 1,241,994 | 1,585,030 | |||||||||
Purchases of long-term held-to-maturity securities | (6,054,558 | ) | (1,363,425 | ) | (575,019 | ) | ||||||
Proceeds from maturities of trading securities held for investment purposes | — | 5,263 | 20,740 | |||||||||
Proceeds from sales of trading securities held for investment purposes | — | 16,930 | — | |||||||||
Principal collected on advances | 897,402,934 | 510,504,697 | 508,840,222 | |||||||||
Advances made | (911,508,439 | ) | (515,458,471 | ) | (503,537,674 | ) | ||||||
Principal collected on mortgage loans held for portfolio | 54,016 | 67,509 | 91,797 | |||||||||
Purchases of premises, equipment and computer software | (2,284 | ) | (2,444 | ) | (4,298 | ) | ||||||
Net cash provided by (used in) investing activities | (15,381,578 | ) | (7,575,983 | ) | 9,316,693 | |||||||
F-7
Table of Contents
STATEMENTS OF CASH FLOWS (continued)
(In thousands)
For the Years Ended December 31, | ||||||||||||
2008 | 2007 | 2006 | ||||||||||
FINANCING ACTIVITIES | ||||||||||||
Net increase (decrease) in deposits and pass-through reserves | (1,435,188 | ) | 771,154 | (1,388,140 | ) | |||||||
Net proceeds from derivative contracts with financing elements | 10,295 | — | — | |||||||||
Net proceeds from issuance of consolidated obligations | ||||||||||||
Discount notes | 592,181,060 | 885,769,011 | 572,533,424 | |||||||||
Bonds | 52,865,676 | 22,151,525 | 13,817,803 | |||||||||
Debt issuance costs | (6,762 | ) | (8,843 | ) | (10,179 | ) | ||||||
Proceeds from assumption of debt from other FHLBanks | 139,354 | 325,837 | — | |||||||||
Payments for maturing and retiring consolidated obligations | ||||||||||||
Discount notes | (599,583,888 | ) | (869,942,411 | ) | (575,553,539 | ) | ||||||
Bonds | (29,261,827 | ) | (31,191,731 | ) | (18,471,352 | ) | ||||||
Payments to other FHLBanks for assumption of debt | (487,154 | ) | (461,753 | ) | — | |||||||
Proceeds from issuance of capital stock | 2,014,094 | 1,025,096 | 457,173 | |||||||||
Payments for redemption of mandatorily redeemable capital stock | (67,254 | ) | (152,623 | ) | (179,463 | ) | ||||||
Payments for repurchase/redemption of capital stock | (1,186,081 | ) | (918,797 | ) | (608,671 | ) | ||||||
Cash dividends paid | (182 | ) | (180 | ) | (173 | ) | ||||||
Net cash provided by (used in) financing activities | 15,182,143 | 7,366,285 | (9,403,117 | ) | ||||||||
Net increase (decrease) in cash and cash equivalents | (53,934 | ) | (21,661 | ) | 34,802 | |||||||
Cash and cash equivalents at beginning of the year | 74,699 | 96,360 | 61,558 | |||||||||
Cash and cash equivalents at end of the year | $ | 20,765 | $ | 74,699 | $ | 96,360 | ||||||
Supplemental disclosures | ||||||||||||
Interest paid | $ | 2,023,458 | $ | 2,627,214 | $ | 2,643,221 | ||||||
AHP payments, net | $ | 13,322 | $ | 11,030 | $ | 10,652 | ||||||
REFCORP payments | $ | 45,017 | $ | 32,129 | $ | 30,191 | ||||||
Stock dividends issued | $ | 74,348 | $ | 107,246 | $ | 109,777 | ||||||
Dividends paid through issuance of mandatorily redeemable capital stock | $ | 548 | $ | 1,215 | $ | 99 | ||||||
Capital stock reclassified to mandatorily redeemable capital stock, net | $ | 72,511 | $ | 67,712 | $ | 8,754 | ||||||
F-8
Table of Contents
F-9
Table of Contents
F-10
Table of Contents
F-11
Table of Contents
F-12
Table of Contents
F-13
Table of Contents
F-14
Table of Contents
F-15
Table of Contents
As Originally | Retrospective | As Presented | ||||||||||
Presented | Adjustment | Herein | ||||||||||
Interest-bearing deposits | $ | 120,021 | $ | (119,047 | ) | $ | 974 | |||||
Accrued interest receivable | 189,005 | (170 | ) | 188,835 | ||||||||
Derivative assets | 123,165 | (57,202 | ) | 65,963 | ||||||||
Total assets | 63,634,675 | (176,419 | ) | 63,458,256 | ||||||||
Interest-bearing deposits | 3,192,085 | (104,337 | ) | 3,087,748 | ||||||||
Accrued interest payable | 341,729 | (403 | ) | 341,326 | ||||||||
Derivative liabilities | 94,918 | (71,679 | ) | 23,239 | ||||||||
Total liabilities | 61,029,503 | (176,419 | ) | 60,853,084 | ||||||||
Total liabilities and capital | 63,634,675 | (176,419 | ) | 63,458,256 |
F-16
Table of Contents
• | A fair value measurement represents the price at which a transaction would occur between market participants at the measurement date. As discussed in SFAS 157, in situations in which there is little, if any, market activity for an asset at the measurement date, the fair value measurement objective remains the same, that is, the price that would be received by the holder of the financial asset in an orderly transaction (an exit price notion) that is not a forced liquidation or distressed sale at the measurement date. | ||
• | In determining fair value for a financial asset, the use of a reporting entity’s own assumptions about future cash flows and appropriately risk-adjusted discount rates is acceptable when relevant observable inputs are not available. | ||
• | Broker (or pricing service) quotes may be an appropriate input when measuring fair value, but they are not necessarily determinative if an active market does not exist for the financial asset. When weighing the available evidence, the nature of the quote (for example, whether the quote is an indicative price or a binding offer) should be considered. |
F-17
Table of Contents
Gross | Gross | Estimated | ||||||||||||||
Amortized | Unrealized | Unrealized | Fair | |||||||||||||
Cost | Gains | Losses | Value | |||||||||||||
Mortgage-backed securities | ||||||||||||||||
Government-sponsored enterprises | $ | 99,770 | $ | — | $ | 886 | $ | 98,884 | ||||||||
Non-agency commercial mortgage-backed security | 29,423 | — | 775 | 28,648 | ||||||||||||
Total | $ | 129,193 | $ | — | $ | 1,661 | $ | 127,532 | ||||||||
Gross | Gross | Estimated | ||||||||||||||
Amortized | Unrealized | Unrealized | Fair | |||||||||||||
Cost | Gains | Losses | Value | |||||||||||||
U.S. agency debentures | ||||||||||||||||
Government-sponsored enterprises | $ | 57,057 | $ | — | $ | 127 | $ | 56,930 | ||||||||
FHLBank consolidated obligations | ||||||||||||||||
FHLBank of Boston (primary obligor) | 35,406 | 17 | — | 35,423 | ||||||||||||
FHLBank of San Francisco (primary obligor) | 6,455 | 311 | — | 6,766 | ||||||||||||
98,918 | 328 | 127 | 99,119 | |||||||||||||
Mortgage-backed securities | ||||||||||||||||
Government-sponsored enterprises | 169,611 | 561 | 992 | 169,180 | ||||||||||||
Non-agency commercial mortgage-backed securities | 94,523 | — | 732 | 93,791 | ||||||||||||
264,134 | 561 | 1,724 | 262,971 | |||||||||||||
Total | $ | 363,052 | $ | 889 | $ | 1,851 | $ | 362,090 | ||||||||
F-18
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 | ||||||||||||||||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||||||||||||||||||
Government-sponsored enterprises | 1 | $ | 88,495 | $ | 603 | 1 | $ | 10,389 | $ | 283 | 2 | $ | 98,884 | $ | 886 | |||||||||||||||||||||
Non-agency commercial mortgage-backed security | — | — | — | 1 | 28,648 | 775 | 1 | 28,648 | 775 | |||||||||||||||||||||||||||
Total temporarily impaired | 1 | $ | 88,495 | $ | 603 | 2 | $ | 39,037 | $ | 1,058 | 3 | $ | 127,532 | $ | 1,661 | |||||||||||||||||||||
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 | ||||||||||||||||||||||||||||
U.S. agency debentures | ||||||||||||||||||||||||||||||||||||
Government-sponsored enterprises | 1 | $ | 56,930 | $ | 127 | — | $ | — | $ | — | 1 | $ | 56,930 | $ | 127 | |||||||||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||||||||||||||||||
Government-sponsored enterprises | — | — | — | 9 | 157,193 | 992 | 9 | 157,193 | 992 | |||||||||||||||||||||||||||
Non-agency commercial mortgage-backed securities | 2 | 82,250 | 708 | 2 | 11,541 | 24 | 4 | 93,791 | 732 | |||||||||||||||||||||||||||
2 | 82,250 | 708 | 11 | 168,734 | 1,016 | 13 | 250,984 | 1,724 | ||||||||||||||||||||||||||||
Total temporarily impaired | 3 | $ | 139,180 | $ | 835 | 11 | $ | 168,734 | $ | 1,016 | 14 | $ | 307,914 | $ | 1,851 | |||||||||||||||||||||
F-19
Table of Contents
2008 | 2007 | |||||||||||||||
Estimated | Estimated | |||||||||||||||
Amortized | Fair | Amortized | Fair | |||||||||||||
Maturity | Cost | Value | Cost | Value | ||||||||||||
Due in one year or less | $ | — | $ | — | $ | 41,861 | $ | 42,189 | ||||||||
Due after ten years | — | — | 57,057 | 56,930 | ||||||||||||
— | — | 98,918 | 99,119 | |||||||||||||
Mortgage-backed securities | 129,193 | 127,532 | 264,134 | 262,971 | ||||||||||||
Total | $ | 129,193 | $ | 127,532 | $ | 363,052 | $ | 362,090 | ||||||||
2008 | 2007 | |||||||
Amortized cost of available-for-sale securities other than mortgage-backed securities: | ||||||||
Fixed-rate | $ | — | $ | 92,463 | ||||
Variable-rate | — | 6,455 | ||||||
— | 98,918 | |||||||
Amortized cost of available-for-sale mortgage-backed securities: | ||||||||
Fixed-rate pass-through securities | 40,096 | 255,475 | ||||||
Variable-rate collateralized mortgage obligation | 89,097 | — | ||||||
Fixed-rate collateralized mortgage obligation | — | 8,659 | ||||||
129,193 | 264,134 | |||||||
Total | $ | 129,193 | $ | 363,052 | ||||
F-20
Table of Contents
Gross | Gross | |||||||||||||||
Amortized | Unrealized | Unrealized | Estimated | |||||||||||||
Cost | Gains | Losses | Fair Value | |||||||||||||
U.S. government guaranteed obligations | $ | 65,888 | $ | 581 | $ | 935 | $ | 65,534 | ||||||||
State or local housing agency obligations | 3,785 | — | 357 | 3,428 | ||||||||||||
69,673 | 581 | 1,292 | 68,962 | |||||||||||||
Mortgage-backed securities | ||||||||||||||||
U.S. government guaranteed obligations | 28,632 | — | 804 | 27,828 | ||||||||||||
Government-sponsored enterprises | 10,629,290 | 26,025 | 268,756 | 10,386,559 | ||||||||||||
Non-agency residential mortgage-backed securities | 676,804 | — | 277,040 | 399,764 | ||||||||||||
Non-agency commercial mortgage-backed securities | 297,105 | — | 10,356 | 286,749 | ||||||||||||
11,631,831 | 26,025 | 556,956 | 11,100,900 | |||||||||||||
Total | $ | 11,701,504 | $ | 26,606 | $ | 558,248 | $ | 11,169,862 | ||||||||
Gross | Gross | |||||||||||||||
Amortized | Unrealized | Unrealized | Estimated | |||||||||||||
Cost | Gains | Losses | Fair Value | |||||||||||||
Commercial paper | $ | 993,629 | $ | — | $ | 164 | $ | 993,465 | ||||||||
U.S. government guaranteed obligations | 75,342 | 173 | 411 | 75,104 | ||||||||||||
State or local housing agency obligations | 4,810 | 2 | — | 4,812 | ||||||||||||
1,073,781 | 175 | 575 | 1,073,381 | |||||||||||||
Mortgage-backed securities | ||||||||||||||||
U.S. government guaranteed obligations | 34,066 | 133 | 6 | 34,193 | ||||||||||||
Government-sponsored enterprises | 5,910,467 | 3,243 | 32,507 | 5,881,203 | ||||||||||||
Non-agency residential mortgage-backed securities | 821,494 | — | 25,603 | 795,891 | ||||||||||||
Non-agency commercial mortgage-backed securities | 694,859 | 10,435 | — | 705,294 | ||||||||||||
7,460,886 | 13,811 | 58,116 | 7,416,581 | |||||||||||||
Total | $ | 8,534,667 | $ | 13,986 | $ | 58,691 | $ | 8,489,962 | ||||||||
Less than 12 Months | 12 Months or More | Total | ||||||||||||||||||||||||||||||||||
Estimated | Gross | Estimated | Gross | Estimated | Gross | |||||||||||||||||||||||||||||||
Number of | Fair | Unrealized | Number of | Fair | Unrealized | Number of | Fair | Unrealized | ||||||||||||||||||||||||||||
Positions | Value | Losses | Positions | Value | Losses | Positions | Value | Losses | ||||||||||||||||||||||||||||
Debentures | ||||||||||||||||||||||||||||||||||||
U.S. government guaranteed obligations | 4 | $ | 35,620 | $ | 935 | — | $ | — | $ | — | 4 | $ | 35,620 | $ | 935 | |||||||||||||||||||||
State or local housing agency obligations | 1 | 3,428 | 357 | — | — | — | 1 | 3,428 | 357 | |||||||||||||||||||||||||||
5 | 39,048 | 1,292 | — | — | — | 5 | 39,048 | 1,292 | ||||||||||||||||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||||||||||||||||||
U.S. government guaranteed obligations | 9 | 26,746 | 764 | 2 | 1,082 | 40 | 11 | 27,828 | 804 | |||||||||||||||||||||||||||
Government-sponsored enterprises | 130 | 5,116,293 | 108,241 | 115 | 3,695,248 | 160,515 | 245 | 8,811,541 | 268,756 | |||||||||||||||||||||||||||
Non-agency residential mortgage-backed securities | — | — | — | 42 | 399,764 | 277,040 | 42 | 399,764 | 277,040 | |||||||||||||||||||||||||||
Non-agency commercial mortgage-backed securities | 10 | 286,749 | 10,356 | — | — | — | 10 | 286,749 | 10,356 | |||||||||||||||||||||||||||
149 | 5,429,788 | 119,361 | 159 | 4,096,094 | 437,595 | 308 | 9,525,882 | 556,956 | ||||||||||||||||||||||||||||
Total temporarily impaired | 154 | $ | 5,468,836 | $ | 120,653 | 159 | $ | 4,096,094 | $ | 437,595 | 313 | $ | 9,564,930 | $ | 558,248 | |||||||||||||||||||||
F-21
Table of Contents
F-22
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 | ||||||||||||||||||||||||||||
Commercial paper | 4 | $ | 993,465 | $ | 164 | — | $ | — | $ | — | 4 | $ | 993,465 | $ | 164 | |||||||||||||||||||||
U.S. government guaranteed obligations | 14 | 49,179 | 411 | — | — | — | 14 | 49,179 | 411 | |||||||||||||||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||||||||||||||||||
U.S. government guaranteed obligations | 4 | 4,842 | 6 | — | — | — | 4 | 4,842 | 6 | |||||||||||||||||||||||||||
Government-sponsored enterprises | 210 | 4,513,693 | 31,862 | 5 | 52,866 | 645 | 215 | 4,566,559 | 32,507 | |||||||||||||||||||||||||||
Non-agency residential mortgage-backed securities | 38 | 711,469 | 23,355 | 4 | 84,422 | 2,248 | 42 | 795,891 | 25,603 | |||||||||||||||||||||||||||
252 | 5,230,004 | 55,223 | 9 | 137,288 | 2,893 | 261 | 5,367,292 | 58,116 | ||||||||||||||||||||||||||||
Total temporarily impaired | 270 | $ | 6,272,648 | $ | 55,798 | 9 | $ | 137,288 | $ | 2,893 | 279 | $ | 6,409,936 | $ | 58,691 | |||||||||||||||||||||
2008 | 2007 | |||||||||||||||
Amortized | Estimated | Amortized | Estimated | |||||||||||||
Maturity | Cost | Fair Value | Cost | Fair Value | ||||||||||||
Due in one year or less | $ | — | $ | — | $ | 996,044 | $ | 995,874 | ||||||||
Due after one year through five years | 5,386 | 5,565 | 1,112 | 1,120 | ||||||||||||
Due after five years through ten years | 35,527 | 35,768 | 26,504 | 26,600 | ||||||||||||
Due after ten years | 28,760 | 27,629 | 50,121 | 49,787 | ||||||||||||
69,673 | 68,962 | 1,073,781 | 1,073,381 | |||||||||||||
Mortgage-backed securities | 11,631,831 | 11,100,900 | 7,460,886 | 7,416,581 | ||||||||||||
Total | $ | 11,701,504 | $ | 11,169,862 | $ | 8,534,667 | $ | 8,489,962 | ||||||||
2008 | 2007 | |||||||
Amortized cost of held-to-maturity securities other than mortgage-backed securities | ||||||||
Fixed-rate | $ | — | $ | 993,629 | ||||
Variable-rate | 69,673 | 80,152 | ||||||
69,673 | 1,073,781 | |||||||
Amortized cost of held-to-maturity mortgage-backed securities: | ||||||||
Fixed-rate pass-through securities | 1,253 | 1,769 | ||||||
Collateralized mortgage obligations: | ||||||||
Fixed-rate | 299,528 | 698,027 | ||||||
Variable-rate | 11,331,050 | 6,761,090 | ||||||
11,631,831 | 7,460,886 | |||||||
Total | $ | 11,701,504 | $ | 8,534,667 | ||||
F-23
Table of Contents
2008 | 2007 | |||||||||||||||
Weighted | Weighted | |||||||||||||||
Average | Average | |||||||||||||||
Interest | Interest | |||||||||||||||
Year of Contractual Maturity | Amount | Rate | Amount | Rate | ||||||||||||
Overdrawn demand deposit accounts | $ | 99 | 4.08 | % | $ | 251 | 6.78 | % | ||||||||
2008 | — | — | 21,384,332 | 4.42 | ||||||||||||
2009 | 20,465,819 | 1.69 | 5,011,113 | 5.02 | ||||||||||||
2010 | 8,346,234 | 2.41 | 3,688,931 | 4.96 | ||||||||||||
2011 | 6,912,931 | 2.83 | 3,283,452 | 4.96 | ||||||||||||
2012 | 7,916,643 | 2.40 | 7,169,089 | 4.91 | ||||||||||||
2013 | 8,489,391 | 2.52 | 133,565 | 5.20 | ||||||||||||
Thereafter | 4,459,565 | 3.45 | 2,054,102 | 4.41 | ||||||||||||
Amortizing advances* | 3,654,181 | 4.62 | 3,414,523 | 4.71 | ||||||||||||
Total par value | 60,244,863 | 2.44 | % | 46,139,358 | 4.67 | % | ||||||||||
Deferred prepayment fees | (937 | ) | (964 | ) | ||||||||||||
Commitment fees | (28 | ) | (28 | ) | ||||||||||||
Hedging adjustments | 675,985 | 159,792 | ||||||||||||||
Total | $ | 60,919,883 | $ | 46,298,158 | ||||||||||||
* | Amortizing advances require repayment according to predetermined amortization schedules. |
Year of Contractual Maturity or Next Call Date | 2008 | 2007 | ||||||
Overdrawn demand deposit accounts | $ | 99 | $ | 251 | ||||
2008 | — | 21,423,839 | ||||||
2009 | 20,528,616 | 5,025,303 | ||||||
2010 | 8,382,703 | 3,724,857 | ||||||
2011 | 6,943,915 | 3,315,639 | ||||||
2012 | 7,943,468 | 7,197,090 | ||||||
2013 | 8,486,971 | 127,960 | ||||||
Thereafter | 4,304,910 | 1,909,896 | ||||||
Amortizing advances | 3,654,181 | 3,414,523 | ||||||
Total par value | $ | 60,244,863 | $ | 46,139,358 | ||||
F-24
Table of Contents
Year of Contractual Maturity or Next Put Date | 2008 | 2007 | ||||||
Overdrawn demand deposit accounts | $ | 99 | $ | 251 | ||||
2008 | — | 22,936,682 | ||||||
2009 | 23,095,889 | 5,477,833 | ||||||
2010 | 8,457,034 | 3,426,631 | ||||||
2011 | 7,119,881 | 3,201,452 | ||||||
2012 | 7,887,393 | 7,013,839 | ||||||
2013 | 8,033,791 | 133,565 | ||||||
Thereafter | 1,996,595 | 534,582 | ||||||
Amortizing advances | 3,654,181 | 3,414,523 | ||||||
Total par value | $ | 60,244,863 | $ | 46,139,358 | ||||
F-25
Table of Contents
F-26
Table of Contents
2008 | 2007 | |||||||
Fixed-rate | $ | 29,449,463 | $ | 26,465,393 | ||||
Variable-rate | 30,795,400 | 19,673,965 | ||||||
Total par value | $ | 60,244,863 | $ | 46,139,358 | ||||
2008 | 2007 | |||||||
Fixed-rate medium-term* single-family mortgages | $ | 80,988 | $ | 98,642 | ||||
Fixed-rate long-term single-family mortgages | 243,856 | 280,056 | ||||||
Premiums | 2,983 | 3,641 | ||||||
Discounts | (507 | ) | (608 | ) | ||||
Total mortgage loans held for portfolio | $ | 327,320 | $ | 381,731 | ||||
2008 | 2007 | 2006 | ||||||||||
Balance, beginning of year | 263 | $ | 267 | $ | 294 | |||||||
Chargeoffs | (2 | ) | (4 | ) | (27 | ) | ||||||
Balance, end of year | $ | 261 | $ | 263 | $ | 267 | ||||||
F-27
Table of Contents
2008 | 2007 | |||||||
Interest-bearing | ||||||||
Demand and overnight | $ | 1,238,722 | $ | 2,877,096 | ||||
Term | 186,269 | 210,652 | ||||||
Non-interest bearing (other) | 75 | 75 | ||||||
Total deposits | $ | 1,425,066 | $ | 3,087,823 | ||||
F-28
Table of Contents
2008 | 2007 | |||||||
Fixed-rate | $ | 42,821,181 | $ | 26,281,720 | ||||
Simple variable-rate | 13,093,000 | 2,418,000 | ||||||
Step-up | 77,635 | 3,774,175 | ||||||
Step-down | 15,000 | 150,000 | ||||||
Comparative-index | — | 80,000 | ||||||
Variable that converts to fixed | — | 20,000 | ||||||
Step-up/step-down | — | 15,000 | ||||||
Total par value | $ | 56,006,816 | $ | 32,738,895 | ||||
2008 | 2007 | |||||||||||||||
Weighted | Weighted | |||||||||||||||
Average | Average | |||||||||||||||
Interest | Interest | |||||||||||||||
Year of Contractual Maturity | Amount | Rate | Amount | Rate | ||||||||||||
2008 | $ | — | — | % | $ | 9,904,335 | 4.27 | % | ||||||||
2009 | 37,685,991 | 2.88 | 6,266,025 | 4.69 | ||||||||||||
2010 | 9,783,835 | 3.56 | 4,196,210 | 4.76 | ||||||||||||
2011 | 2,238,685 | 4.18 | 1,881,685 | 5.28 | ||||||||||||
2012 | 1,688,940 | 4.71 | 3,900,800 | 4.95 | ||||||||||||
2013 | 944,015 | 4.39 | 1,725,095 | 4.87 | ||||||||||||
Thereafter | 3,665,350 | 5.52 | 4,864,745 | 5.78 | ||||||||||||
Total par value | 56,006,816 | 3.31 | 32,738,895 | 4.81 | ||||||||||||
Premiums | 55,546 | 48,179 | ||||||||||||||
Discounts | (19,352 | ) | (11,784 | ) | ||||||||||||
Hedging adjustments | 570,585 | 85,189 | ||||||||||||||
56,613,595 | 32,860,479 | |||||||||||||||
Bonds held in treasury | — | (5,100 | ) | |||||||||||||
Total | $ | 56,613,595 | $ | 32,855,379 | ||||||||||||
F-29
Table of Contents
2008 | 2007 | |||||||
Non-callable bonds | $ | 44,704,926 | $ | 10,457,610 | ||||
Callable bonds | 11,301,890 | 22,281,285 | ||||||
Total par value | $ | 56,006,816 | $ | 32,738,895 | ||||
Year of Contractual Maturity or Next Call Date | 2008 | 2007 | ||||||
2008 | $ | — | $ | 22,122,330 | ||||
2009 | 43,907,096 | 5,486,295 | ||||||
2010 | 7,201,835 | 1,712,525 | ||||||
2011 | 1,766,005 | 661,005 | ||||||
2012 | 1,267,440 | 1,711,300 | ||||||
2013 | 645,000 | 190,000 | ||||||
Thereafter | 1,219,440 | 855,440 | ||||||
Total par value | $ | 56,006,816 | $ | 32,738,895 | ||||
Weighted | ||||||||||||
Average Implied | ||||||||||||
Book Value | Par Value | Interest Rate | ||||||||||
December 31, 2008 | $ | 16,745,420 | $ | 16,923,982 | 2.65 | % | ||||||
December 31, 2007 | $ | 24,119,433 | $ | 24,221,414 | 4.20 | % | ||||||
F-30
Table of Contents
2008 | 2007 | 2006 | ||||||||||
Balance, beginning of year | $ | 47,440 | $ | 43,458 | $ | 39,084 | ||||||
AHP assessment | 8,949 | 15,012 | 15,026 | |||||||||
Grants funded, net of recaptured amounts | (13,322 | ) | (11,030 | ) | (10,652 | ) | ||||||
Balance, end of year | $ | 43,067 | $ | 47,440 | $ | 43,458 | ||||||
F-31
Table of Contents
2008 | 2007 | 2006 | ||||||||||
Gains (losses) related to fair value hedge ineffectiveness | $ | (48,228 | ) | $ | 1,569 | $ | 3,227 | |||||
Gains (losses) on economic hedge derivatives related to trading securities | — | (15 | ) | 956 | ||||||||
Gains on economic hedges related to discount notes (interest rate swaps) | 9,216 | — | — | |||||||||
Gains related to stand-alone economic hedge derivatives (basis swaps) | 42,530 | — | 115 | |||||||||
Losses on economic hedges related to held-to-maturity securities (interest rate caps) | (2,243 | ) | (1,509 | ) | (7,802 | ) | ||||||
Gains related to other economic hedge derivatives | 448 | 431 | 221 | |||||||||
Net interest expense associated with economic hedge derivatives related to trading securities | — | (134 | ) | (947 | ) | |||||||
Net interest expense associated with economic hedge derivatives related to discount notes | (2,300 | ) | — | — | ||||||||
Net interest income (expense) associated with economic hedge derivatives related to basis swaps | 6,579 | — | (283 | ) | ||||||||
Net interest income (expense) associated with other economic hedge derivatives | 677 | (309 | ) | (944 | ) | |||||||
Net gains (losses) on derivatives and hedging activities | $ | 6,679 | $ | 33 | $ | (5,457 | ) | |||||
F-32
Table of Contents
December 31, 2008 | December 31, 2007 | |||||||||||||||
Estimated | Estimated | |||||||||||||||
Notional | Fair Value | Notional | Fair Value | |||||||||||||
Interest rate swaps | ||||||||||||||||
Fair value hedges | $ | 48,916,850 | $ | (97,883 | ) | $ | 34,025,303 | $ | (97,276 | ) | ||||||
Economic hedges | 17,592,426 | 40,107 | 188,294 | 285 | ||||||||||||
Interest rate caps | ||||||||||||||||
Fair value hedges | 136,000 | 107 | 255,000 | 688 | ||||||||||||
Economic hedges | 3,500,000 | 3,275 | 6,500,000 | 2,972 | ||||||||||||
$ | 70,145,276 | $ | (54,394 | ) | $ | 40,968,597 | $ | (93,331 | ) | |||||||
Total derivative contracts excluding accrued interest and collateral | $ | (54,394 | ) | $ | (93,331 | ) | ||||||||||
Net accrued interest receivable/ payable on derivative contracts | 223,901 | 121,578 | ||||||||||||||
Cash collateral pledged/remitted to counterparties | 240,192 | 119,047 | ||||||||||||||
Interest receivable on cash collateral pledged/remitted to counterparties | 23 | 170 | ||||||||||||||
Cash collateral received from counterparties | (334,868 | ) | (104,337 | ) | ||||||||||||
Interest payable on cash collateral received from counterparties | (43 | ) | (403 | ) | ||||||||||||
Net derivative balances | $ | 74,811 | $ | 42,724 | ||||||||||||
Net derivative asset balances | $ | 77,137 | $ | 65,963 | ||||||||||||
Net derivative liability balances | (2,326 | ) | (23,239 | ) | ||||||||||||
Net derivative balances | $ | 74,811 | $ | 42,724 | ||||||||||||
F-33
Table of Contents
F-34
Table of Contents
F-35
Table of Contents
F-36
Table of Contents
2008 | 2007 | |||||||
Excess stock | ||||||||
Capital stock | $ | 490,007 | $ | 302,792 | ||||
Mandatorily redeemable capital stock | 60,190 | 28,520 | ||||||
Total | $ | 550,197 | $ | 331,312 | ||||
Surplus stock | ||||||||
Capital stock | $ | 218,635 | $ | 198,232 | ||||
Mandatorily redeemable capital stock | 58,901 | 25,821 | ||||||
Total | $ | 277,536 | $ | 224,053 | ||||
Surplus stock meeting repurchase criteria | ||||||||
Capital stock | $ | 177,364 | $ | 174,246 | ||||
Mandatorily redeemable capital stock | 58,025 | 25,103 | ||||||
Total | $ | 235,389 | $ | 199,349 | ||||
December 31, 2008 | December 31, 2007 | |||||||||||||||
Required | Actual | Required | Actual | |||||||||||||
Regulatory capital requirements: | ||||||||||||||||
Risk-based capital | $ | 930,061 | $ | 3,530,208 | $ | 437,643 | $ | 2,688,243 | ||||||||
Total capital | $ | 3,157,316 | $ | 3,530,208 | $ | 2,538,330 | (1) | $ | 2,688,243 | |||||||
Total capital-to-assets ratio | 4.00 | % | 4.47 | % | 4.00 | % | 4.24 | %(1) | ||||||||
Leverage capital | $ | 3,946,645 | $ | 5,295,312 | $ | 3,172,913 | (1) | $ | 4,032,365 | |||||||
Leverage capital-to-assets ratio | 5.00 | % | 6.71 | % | 5.00 | % | 6.35 | %(1) |
(1) | The Bank’s actual capital-to-assets ratios and required total capital and leverage capital amounts as of December 31, 2007 have been revised to reflect the retrospective application of FSP FIN 39-1, as described in Note 2. |
F-37
Table of Contents
F-38
Table of Contents
2009 | $ | 1,450 | ||
2010 | 1,035 | |||
2011 | 179 | |||
2012 | 28,441 | |||
2013 | 59,248 | |||
Total | $ | 90,353 | ||
Balance, January 1, 2006 | $ | 319,335 | ||
Capital stock that became subject to mandatory redemption during the year | 8,754 | |||
Redemption of mandatorily redeemable capital stock | (179,463 | ) | ||
Stock dividends classified as mandatorily redeemable | 10,941 | |||
Balance, December 31, 2006 | 159,567 | |||
Capital stock that became subject to mandatory redemption during the year | 67,890 | |||
Mandatorily redeemable capital stock reclassified to equity during the year | (178 | ) | ||
Redemption of mandatorily redeemable capital stock | (152,623 | ) | ||
Stock dividends classified as mandatorily redeemable | 7,845 | |||
Balance, December 31, 2007 | 82,501 | |||
Capital stock that became subject to mandatory redemption during the year | 72,511 | |||
Redemption of mandatorily redeemable capital stock | (67,254 | ) | ||
Stock dividends classified as mandatorily redeemable | 2,595 | |||
Balance, December 31, 2008 | $ | 90,353 | ||
2008 | 2007 | 2006 | ||||||||||
Number of institutions, beginning of year | 16 | 14 | 11 | |||||||||
Due to mergers and acquisitions | 1 | 3 | 5 | |||||||||
Due to withdrawals | 1 | — | 1 | |||||||||
Due to termination of membership by the Bank | 2 | — | — | |||||||||
Mandatorily redeemable capital stock reclassified to equity | — | (1 | ) | — | ||||||||
Terminations completed during the year | (2 | ) | — | (3 | ) | |||||||
Number of institutions, end of year | 18 | 16 | 14 | |||||||||
F-39
Table of Contents
• | In no event may the Bank redeem or repurchase capital stock if the Bank is not in compliance with its minimum capital requirements or if the redemption or repurchase would cause the Bank to be out of compliance with its minimum capital requirements, or if the redemption or repurchase would cause the member to be out of compliance with its minimum investment requirement. In addition, the Bank’s Board of Directors may suspend redemption of capital stock if the Bank reasonably believes that continued redemption of capital stock would cause the Bank to fail to meet its minimum capital requirements in the future, would prevent the Bank from maintaining adequate capital against a potential risk that may not be adequately reflected in its minimum capital requirements, or would otherwise prevent the Bank from operating in a safe and sound manner. | ||
• | In no event may the Bank redeem or repurchase capital stock without the prior written approval of the Finance Agency if the Finance Agency or the Bank’s Board of Directors has determined that the Bank has incurred, or is likely to incur, losses that result in, or are likely to result in, charges against the capital of the Bank. For this purpose, charges against the capital of the Bank means an other than temporary decline in the Bank’s total equity that causes the value of total equity to fall below the Bank’s aggregate capital stock amount. Such a determination may be made by the Finance Agency or the Board of Directors even if the Bank is in compliance with its minimum capital requirements. | ||
• | The Bank may not repurchase any capital stock without the written consent of the Finance Agency during any period in which the Bank has suspended redemptions of capital stock. The Bank is required to notify the Finance Agency if it suspends redemptions of capital stock and set forth its plan for addressing the conditions that led to the suspension. The Finance Agency may require the Bank to reinstate redemptions of capital stock. | ||
• | In no event may the Bank redeem or repurchase shares of capital stock if the principal and interest due on any consolidated obligations issued through the Office of Finance has 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. |
F-40
Table of Contents
F-41
Table of Contents
Year Ended December 31, | ||||||||
2008 | 2007 | |||||||
Change in APBO | ||||||||
APBO at beginning of year | $ | 2,296 | $ | 2,140 | ||||
Service cost | 21 | 26 | ||||||
Interest cost | 157 | 166 | ||||||
Actuarial loss | 161 | 88 | ||||||
Participant contributions | 165 | 168 | ||||||
Benefits paid | (256 | ) | (292 | ) | ||||
APBO at end of year | 2,544 | 2,296 | ||||||
Change in plan assets | ||||||||
Fair value of plan assets at beginning of year | — | — | ||||||
Bank contributions | 91 | 124 | ||||||
Participant contributions | 165 | 168 | ||||||
Benefits paid | (256 | ) | (292 | ) | ||||
Fair value of plan assets at end of year | — | — | ||||||
Funded status recognized in other liabilities at end of year | $ | (2,544 | ) | $ | (2,296 | ) | ||
December 31, | ||||||||
2008 | 2007 | |||||||
Net actuarial loss (gain) | $ | (39 | ) | $ | (170 | ) | ||
Prior service cost (credit) | (187 | ) | (222 | ) | ||||
$ | (226 | ) | $ | (392 | ) | |||
Year Ended December 31, | ||||||||||||
2008 | 2007 | 2006 | ||||||||||
Service cost | $ | 21 | $ | 26 | $ | 20 | ||||||
Interest cost | 157 | 166 | 123 | |||||||||
Amortization of prior service cost (credit) | (35 | ) | (35 | ) | (35 | ) | ||||||
Amortization of net loss (gain) | 30 | (4 | ) | — | ||||||||
Net periodic benefit cost | $ | 173 | $ | 153 | $ | 108 | ||||||
F-42
Table of Contents
Year Ended December 31, | ||||||||
2008 | 2007 | |||||||
Amortization of prior service credit included in net periodic benefit cost | $ | (35 | ) | $ | (35 | ) | ||
Actuarial loss | (161 | ) | (88 | ) | ||||
Amortization of net actuarial loss (gain) included in net periodic benefit cost | 30 | (4 | ) | |||||
Total changes in benefit obligations recognized in other comprehensive income | $ | (166 | ) | $ | (127 | ) | ||
Expected Benefit | ||||
Payments, Net of | ||||
Year Ended | Participant | |||
December 31, | Contributions | |||
2009 | $ | 122 | ||
2010 | 108 | |||
2011 | 119 | |||
2012 | 113 | |||
2013 | 91 | |||
2014-2018 | 592 | |||
$ | 1,145 | |||
F-43
Table of Contents
F-44
Table of Contents
F-45
Table of Contents
Carrying | Net Unrealized | Estimated | ||||||||||
Financial Instruments | Value | Gains (Losses) | Fair Value | |||||||||
Assets: | ||||||||||||
Cash and due from banks | $ | 20,765 | $ | — | $ | 20,765 | ||||||
Interest-bearing deposits | 3,683,609 | — | 3,683,609 | |||||||||
Federal funds sold | 1,872,000 | — | 1,872,000 | |||||||||
Trading securities | 3,370 | — | 3,370 | |||||||||
Available-for-sale securities | 127,532 | — | 127,532 | |||||||||
Held-to-maturity securities | 11,701,504 | (531,642 | ) | 11,169,862 | ||||||||
Advances | 60,919,883 | (557,307 | ) | 60,362,576 | ||||||||
Mortgage loans held for portfolio, net | 327,059 | 1,005 | 328,064 | |||||||||
Accrued interest receivable | 145,284 | — | 145,284 | |||||||||
Derivative assets | 77,137 | — | 77,137 | |||||||||
Liabilities: | ||||||||||||
Deposits | 1,425,066 | (208 | ) | 1,425,274 | ||||||||
Consolidated obligations: | ||||||||||||
Discount notes | 16,745,420 | (151,969 | ) | 16,897,389 | ||||||||
Bonds | 56,613,595 | (333,339 | ) | 56,946,934 | ||||||||
Mandatorily redeemable capital stock | 90,353 | — | 90,353 | |||||||||
Accrued interest payable | 514,086 | — | 514,086 | |||||||||
Derivative liabilities | 2,326 | — | 2,326 |
Carrying | Net Unrealized | Estimated | ||||||||||
Financial Instruments | Value | Gains (Losses) | Fair Value | |||||||||
Assets: | ||||||||||||
Cash and due from banks | $ | 74,699 | $ | — | $ | 74,699 | ||||||
Interest-bearing deposits | 974 | — | 974 | |||||||||
Federal funds sold | 7,100,000 | — | 7,100,000 | |||||||||
Trading securities | 2,924 | — | 2,924 | |||||||||
Available-for-sale securities | 362,090 | — | 362,090 | |||||||||
Held-to-maturity securities | 8,534,667 | (44,705 | ) | 8,489,962 | ||||||||
Advances | 46,298,158 | (91,713 | ) | 46,206,445 | ||||||||
Mortgage loans held for portfolio, net | 381,468 | 5,026 | 386,494 | |||||||||
Loan to other FHLBank | 400,000 | — | 400,000 | |||||||||
Accrued interest receivable | 188,835 | — | 188,835 | |||||||||
Derivative assets | 65,963 | — | 65,963 | |||||||||
Liabilities: | ||||||||||||
Deposits | 3,087,823 | — | 3,087,823 | |||||||||
Consolidated obligations: | ||||||||||||
Discount notes | 24,119,433 | (419 | ) | 24,119,852 | ||||||||
Bonds | 32,855,379 | (79,779 | ) | 32,935,158 | ||||||||
Mandatorily redeemable capital stock | 82,501 | — | 82,501 | |||||||||
Accrued interest payable | 341,326 | — | 341,326 | |||||||||
Derivative liabilities | 23,239 | — | 23,239 |
F-46
Table of Contents
Netting | ||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Adjustment(1) | Total | ||||||||||||||||
Assets | ||||||||||||||||||||
Trading securities | $ | 3,370 | $ | — | $ | — | $ | — | $ | 3,370 | ||||||||||
Available-for-sale securities | — | 127,532 | — | — | 127,532 | |||||||||||||||
Derivative assets | — | 849,571 | — | (772,434 | ) | 77,137 | ||||||||||||||
Total assets at fair value | $ | 3,370 | $ | 977,103 | $ | — | $ | (772,434 | ) | $ | 208,039 | |||||||||
Liabilities | ||||||||||||||||||||
Derivative liabilities | $ | — | $ | 680,064 | $ | — | $ | (677,738 | ) | $ | 2,326 | |||||||||
Total liabilities at fair value | $ | — | $ | 680,064 | $ | — | $ | (677,738 | ) | $ | 2,326 | |||||||||
(1) | Amounts represent the impact of legally enforceable master netting agreements between the Bank and its counterparties that allow the Bank to offset positive and negative positions as well as the cash collateral held or placed with those same counterparties. |
F-47
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F-48
Table of Contents
Year | Premises | Equipment | Total | |||||||||
2009 | $ | 254 | $ | 135 | $ | 389 | ||||||
2010 | 174 | 71 | 245 | |||||||||
2011 | — | 28 | 28 | |||||||||
2012 | — | 11 | 11 | |||||||||
Total | $ | 428 | $ | 245 | $ | 673 | ||||||
Year | ||||
2009 | $ | 1,343 | ||
2010 | 1,115 | |||
2011 | 638 | |||
2012 | 630 | |||
2013 | 644 | |||
2014 | 5 | |||
Total | $ | 4,375 | ||
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F-50
Table of Contents
Year Ended December 31, | ||||||||||||
2008 | 2007 | 2006 | ||||||||||
Balance, January 1, | $ | 400,000 | $ | — | $ | — | ||||||
Loans made to: | ||||||||||||
FHLBank of Boston | 832,000 | 170,000 | — | |||||||||
FHLBank of San Francisco | 1,265,000 | 750,000 | — | |||||||||
Collections from: | ||||||||||||
FHLBank of Boston | (832,000 | ) | (170,000 | ) | — | |||||||
FHLBank of San Francisco | (1,665,000 | ) | (350,000 | ) | — | |||||||
Balance, December 31, | $ | — | $ | 400,000 | $ | — | ||||||
Year Ended December 31, | ||||||||||||
2008 | 2007 | 2006 | ||||||||||
Balance, January 1 | $ | — | $ | — | $ | — | ||||||
Borrowings from: | ||||||||||||
FHLBank of Atlanta | 70,000 | — | 50,000 | |||||||||
FHLBank of Boston | — | — | 50,000 | |||||||||
FHLBank of Chicago | — | — | 50,000 | |||||||||
FHLBank of Cincinnati | 200,000 | — | 50,000 | |||||||||
FHLBank of Des Moines | — | — | 50,000 | |||||||||
FHLBank of Indianapolis | 240,000 | 528,000 | 100,000 | |||||||||
FHLBank of New York | — | — | 50,000 | |||||||||
FHLBank of Pittsburgh | — | — | 100,000 | |||||||||
FHLBank of San Francisco | 500,000 | 120,000 | 50,000 | �� | ||||||||
FHLBank of Seattle | 25,000 | — | 50,000 | |||||||||
FHLBank of Topeka | — | — | 50,000 | |||||||||
Repayments to: | ||||||||||||
FHLBank of Atlanta | (70,000 | ) | — | (50,000 | ) | |||||||
FHLBank of Boston | — | — | (50,000 | ) | ||||||||
FHLBank of Chicago | — | — | (50,000 | ) | ||||||||
FHLBank of Cincinnati | (200,000 | ) | — | (50,000 | ) | |||||||
FHLBank of Des Moines | — | — | (50,000 | ) | ||||||||
FHLBank of Indianapolis | (240,000 | ) | (528,000 | ) | (100,000 | ) | ||||||
FHLBank of New York | — | — | (50,000 | ) | ||||||||
FHLBank of Pittsburgh | — | — | (100,000 | ) | ||||||||
FHLBank of San Francisco | (500,000 | ) | (120,000 | ) | (50,000 | ) | ||||||
FHLBank of Seattle | (25,000 | ) | — | (50,000 | ) | |||||||
FHLBank of Topeka | — | — | (50,000 | ) | ||||||||
Balance, December 31 | $ | — | $ | — | $ | — | ||||||
F-51
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F-52
Table of Contents
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 | By-Laws of the Registrant (incorporated by reference to Exhibit 3.2 to the Bank’s Registration Statement on Form 10 filed February 15, 2006). | |
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 Registrant’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. | |
10.4 | Non-Qualified Deferred Compensation Plan for the Board of Directors of the Registrant, effective July 24, 2004 (governs deferrals made prior to January 1, 2005) (incorporated by reference to Exhibit 10.3 to the Bank’s Registration Statement on Form 10 filed February 15, 2006). | |
10.5 | Non-Qualified Deferred Compensation Plan for the Board of Directors of the Registrant for Deferrals Effective January 1, 2005 (incorporated by reference to Exhibit 10.4 to the Bank’s Registration Statement on Form 10 filed February 15, 2006). | |
10.6 | 2008 Amendment to Non-Qualified Deferred Compensation Plan for the Board of Directors of the Registrant for Deferrals Effective January 1, 2005, dated December 10, 2008. | |
10.7 | Form of Special Non-Qualified Deferred Compensation Plan of the Registrant, as amended and restated effective as of January 1, 2008 (incorporated by reference to Exhibit 10.5 to the Bank’s Annual Report on Form 10-K for the fiscal year ended December 31, 2007, filed on March 28, 2008). | |
10.8 | 2008 Amendment to Special Non-Qualified Deferred Compensation Plan of the Registrant, dated December 10, 2008. | |
10.9 | 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 Registrant’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). | |
10.10 | Form of Employment Agreement between the Bank and each of its executive officers, entered into on November 20, 2007 (filed as Exhibit 99.1 to the Registrant’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). | |
10.11 | United States Department of the Treasury Lending Agreement, dated September 9, 2008 (filed as Exhibit 10.1 to the Registrant’s Current Report on Form 8-K dated September 9, 2008 and filed with the SEC on September 9, 2008, which exhibit is incorporated herein by reference). |
Table of Contents
Exhibit | ||
10.12 | Amended and Restated Indemnification Agreement between the Registrant and Terry Smith, dated October 24, 2008. | |
10.13 | Form of Indemnification Agreement between the Registrant and each of its officers (other than Terry Smith), entered into on various dates between November 7, 2008 and November 30, 2008. | |
10.14 | Form of Indemnification Agreement between the Registrant and each of its directors, entered into on October 24, 2008. | |
12.1 | Computation of Ratio of Earnings to Fixed Charges. | |
14.1 | Code of Ethics for Senior Financial Officers. | |
31.1 | Certification of principal executive officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. | |
31.2 | Certification of principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. | |
32.1 | Certification of principal executive officer and principal financial officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. | |
99.1 | Charter of the Audit Committee of the Board of Directors. | |
99.2 | Report of the Audit Committee of the Board of Directors. |