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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) | 42-6000149 (I.R.S. employer identification number) | |
Skywalk Level 801 Walnut Street, Suite 200 Des Moines, IA (Address of principal executive offices) | 50309 (Zip code) |
Securities registered pursuant to Section 12(g) of the Act: Class B Stock, par value $100
Name of Each Exchange on Which Registered: None
Large accelerated filero | Accelerated filero | Non-accelerated filerþ | Smaller reporting companyo |
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Exhibit 10.5 | ||||||||
Exhibit 10.7 | ||||||||
Exhibit 12.1 | ||||||||
Exhibit 31.1 | ||||||||
Exhibit 31.2 | ||||||||
Exhibit 32.1 | ||||||||
Exhibit 32.2 |
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• | Economic and market conditions; | ||
• | Demand for our advances; | ||
• | Timing and volume of market activity; | ||
• | The volume of eligible mortgage loans originated and sold to us by participating members through the Mortgage Partnership Finance (MPF) program (Mortgage Partnership Finance and MPF are registered trademarks of the FHLBank of Chicago); | ||
• | Volatility of market prices, rates, and indices that could affect the value of financial instruments or our ability to liquidate collateral expediently in the event of a default by an obligor; | ||
• | Political events, including legislative, regulatory, judicial, or other developments that affect us, our members, our counterparties, and/or our investors in the consolidated obligations of the 12 Federal Home Loan Banks (FHLBanks); | ||
• | Changes in the terms and investor demand for derivatives and similar instruments; | ||
• | Changes in the relative attractiveness of consolidated obligations as compared to other investment opportunities such as existing and newly created debt programs explicitly guaranteed by the U.S. Government; | ||
• | Risks related to the other 11 FHLBanks that could trigger our joint and several liability for debt issued by the other 11 FHLBanks; and | ||
• | Member failures. |
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Institutional Entity | 2009 | 2008 | 2007 | |||||||||
Commercial Banks | 1,049 | 1,072 | 1,077 | |||||||||
Savings and Loan Associations | 73 | 77 | 77 | |||||||||
Credit Unions | 64 | 60 | 58 | |||||||||
Insurance Companies | 40 | 36 | 31 | |||||||||
Total members | 1,226 | 1,245 | 1,243 | |||||||||
Membership Asset Size | 2009 | 2008 | 2007 | |||||||||
Depository Institutions1 | ||||||||||||
Less than $100 million | 44.5 | % | 47.4 | % | 50.7 | % | ||||||
$100 million to $500 million | 41.8 | 40.2 | 38.5 | |||||||||
Greater than $500 million | 10.5 | 9.5 | 8.3 | |||||||||
Insurance Companies | ||||||||||||
Less than $100 million | 0.2 | 0.3 | 0.3 | |||||||||
$100 million to $500 million | 0.7 | 0.7 | 0.7 | |||||||||
Greater than $500 million | 2.3 | 1.9 | 1.5 | |||||||||
Total | 100.0 | % | 100.0 | % | 100.0 | % | ||||||
1 | Depository institutions consist of commercial banks, savings and loan associations, and credit unions. |
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• | Overnight advances are used primarily to fund the short-term liquidity needs of our borrowers. These advances are automatically renewed until the borrower pays off the advances. Interest rates are set daily. | ||
• | Fixed rate advances are available over a variety of terms to meet borrower needs. Short-term fixed rate advances are used primarily to fund the short-term liquidity needs of our borrowers. Long-term fixed rate advances are an effective tool to help manage long-term lending and investment risks of our borrowers. | ||
• | Variable rate advances provide a source of short- and long-term financing where the interest rate changes in relation to a specified interest rate index such as LIBOR. | ||
• | Callable advances may be prepaid by the borrower on pertinent dates (call dates). Mortgage matched advances are a type of callable advance with fixed rates and amortizing balances. Using a mortgage matched advance, a borrower may make predetermined principal payments at scheduled intervals throughout the term of the loan to manage the interest rate risk associated with long-term fixed rate assets. Also included in callable advances are fixed and variable rate member owned option advances that are non-amortizing. Member owned option advances provide borrowers a source of long-term financing with prepayment flexibility. | ||
• | Putable advances may, at our discretion, be terminated at predetermined dates prior to the stated maturity dates of the advances and the borrower is required to repay the advance. Should an advance be terminated, replacement funding at then current market rates and terms is offered, based on our available advance products and subject to our normal credit and collateral requirements. A putable advance carries an interest rate lower than a comparable maturity advance that does not have the putable feature. | ||
• | Community investment advances are below-market rate funds used by borrowers in both affordable housing projects and community development. These advances are provided at interest rates that represent our cost of funds plus a markup to cover our administrative expenses. This markup is determined by our Asset-Liability Committee. Our Board of Directors annually establishes limits on the total amount of funds available for community investment advances and the total amount of community investment advances that may be outstanding at any point in time. |
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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 and certain investments targeted to low income persons or communities. | ||
• | Instruments issued by non-U.S. entities other than those issued by U.S. branches and agency offices of foreign commercial banks. | ||
• | Noninvestment-grade debt instruments other than certain investments targeted to low income persons or communities and instruments downgraded after we purchased them. | ||
• | Non-U.S. dollar securities. |
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• | Obligations, participations, or other instruments of or issued by Fannie Mae or Ginnie Mae. | ||
• | Mortgages, obligations, or other securities that are, or ever have been, sold by Freddie Mac pursuant to 12 U.S.C. 1454 or 1455. | ||
• | Instruments we determined are permissible investments for fiduciary or trust funds under the laws of the state of Iowa. |
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• | those acquired under our MPF program described above. | ||
• | certain investments targeted to low income persons or communities. | ||
• | certain marketable direct obligations of state, local, or tribal government units or agencies having at least the second highest credit rating from an NRSRO. | ||
• | MBS or asset-backed securities backed by manufactured housing loans or home equity loans. | ||
• | certain foreign housing loans authorized under section 12(b) of the FHLBank Act. |
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• | Interest-only or principal-only stripped MBS. | ||
• | Residual interest or interest accrual classes of collateralized mortgage obligations and real estate mortgage investment conduits. | ||
• | Fixed rate or variable rate MBS, collateralized mortgage obligations, and real estate mortgage investment conduits that on the trade date are at rates equal to their contractual caps and have average lives varying by more than six years under an assumed instantaneous interest rate change of plus or minus 300 basis points. |
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• | Cash, | ||
• | Obligations of or fully guaranteed by the U.S., | ||
• | Secured advances, | ||
• | Mortgages having any guarantee, insurance, or commitment from the U.S. or any agency of the U.S., | ||
• | Investments described in section 16(a) of the FHLBank Act, which, among other items, include investments a fiduciary or trust fund may purchase under the laws of the state of Iowa, and | ||
• | Other securities rated Aaa by Moody’s, AAA by S&P, or AAA by Fitch, Inc. (Fitch). |
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• | any unsafe or unsound practices in conducting the business of the FHLBank. | ||
• | any conduct that violates any provision of the FHLBank Act or any applicable law, order, rule, or regulation. | ||
• | any conduct that violates conditions imposed in writing by the Finance Agency in connection with the granting of any application or other request by the FHLBank or any written agreement between the FHLBank and the Finance Agency. |
• | violates any provision of the FHLBank Act or any order, rule, or regulation issued under the FHLBank Act. | ||
• | violates any final or temporary cease and desist order issued by the Finance Agency pursuant to the FHLBank Act. | ||
• | violates any written agreement between an FHLBank and the Finance Agency. | ||
• | engages in any conduct that causes or is likely to cause a loss to an FHLBank. |
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2009 | 2008 | |||||||||||||||
Annual | Annual | |||||||||||||||
Quarter declared and paid | Amount1 | Rate | Amount1 | Rate | ||||||||||||
First quarter | $ | 7.6 | 1.00 | % | $ | 25.7 | 4.50 | % | ||||||||
Second quarter | 7.0 | 1.00 | 26.6 | 4.00 | ||||||||||||
Third quarter | 14.4 | 2.00 | 30.1 | 4.00 | ||||||||||||
Fourth quarter | 14.9 | 2.00 | 24.3 | 3.00 |
1 | This table is based on the period of declaration and payment. The dividend applies to the financial performance for the quarter prior to the quarter declared and paid. |
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December 31, | ||||||||||||||||||||
Statements of Condition | 2009 | 2008 | 2007 | 2006 | 2005 | |||||||||||||||
(Dollars in millions) | ||||||||||||||||||||
Investments1 | $ | 20,790 | $ | 15,369 | $ | 9,244 | $ | 8,219 | $ | 10,227 | ||||||||||
Advances | 35,720 | 41,897 | 40,412 | 21,855 | 22,283 | |||||||||||||||
Mortgage loans2 | 7,719 | 10,685 | 10,802 | 11,775 | 13,019 | |||||||||||||||
Total assets | 64,657 | 68,129 | 60,736 | 42,028 | 45,657 | |||||||||||||||
Consolidated obligations | ||||||||||||||||||||
Discount notes | 9,417 | 20,061 | 21,501 | 4,685 | 4,067 | |||||||||||||||
Bonds | 50,495 | 42,723 | 34,564 | 33,066 | 37,130 | |||||||||||||||
Total consolidated obligations3 | 59,912 | 62,784 | 56,065 | 37,751 | 41,197 | |||||||||||||||
Mandatorily redeemable capital stock | 8 | 11 | 46 | 65 | 85 | |||||||||||||||
Capital stock — Class B putable | 2,461 | 2,781 | 2,717 | 1,906 | 1,932 | |||||||||||||||
Retained earnings | 484 | 382 | 361 | 344 | 329 | |||||||||||||||
Accumulated other comprehensive loss | (34 | ) | (146 | ) | (26 | ) | (1 | ) | (1 | ) | ||||||||||
Total capital | 2,911 | 3,017 | 3,052 | 2,249 | 2,260 |
Years Ended December 31, | ||||||||||||||||||||
Statements of Income | 2009 | 2008 | 2007 | 2006 | 2005 | |||||||||||||||
(Dollars in millions) | ||||||||||||||||||||
Net interest income4 | $ | 197.4 | $ | 245.6 | $ | 171.1 | $ | 154.3 | $ | 293.6 | ||||||||||
Provision for (reversal of) credit losses on mortgage loans | 1.5 | 0.3 | — | (0.5 | ) | — | ||||||||||||||
Other income (loss)5 | 55.8 | (27.8 | ) | 10.3 | 8.7 | 46.8 | ||||||||||||||
Other expense | 53.1 | 44.1 | 42.4 | 41.5 | 39.0 | |||||||||||||||
Net income before change in accounting principle | 145.9 | 127.4 | 101.4 | 89.4 | 221.2 | |||||||||||||||
Change in accounting principle6 | — | — | — | — | 6.5 | |||||||||||||||
Net income | 145.9 | 127.4 | 101.4 | 89.4 | 227.7 |
Years Ended December 31, | ||||||||||||||||||||
Selected Financial Ratios | 2009 | 2008 | 2007 | 2006 | 2005 | |||||||||||||||
Net interest margin7 | 0.28 | % | 0.35 | % | 0.37 | % | 0.35 | % | 0.62 | % | ||||||||||
Return on average equity | 4.46 | 3.88 | 4.25 | 3.91 | 9.57 | |||||||||||||||
Return on average assets | 0.21 | 0.18 | 0.21 | 0.20 | 0.48 | |||||||||||||||
Average equity to average assets | 4.63 | 4.71 | 5.04 | 5.21 | 5.04 | |||||||||||||||
Regulatory capital ratio8 | 4.57 | 4.66 | 5.14 | 5.50 | 5.13 | |||||||||||||||
Dividend payout ratio9 | 30.05 | 83.81 | 83.13 | 83.21 | 26.88 |
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1 | Investments include: interest-bearing deposits, securities purchased under agreements to resell, Federal funds sold, trading securities, available-for-sale securities, and held-to-maturity securities. | |
2 | Represents the gross amount of mortgage loans prior to the allowance for credit losses. The allowance for credit losses was $1.9 million, $0.5 million, $0.3 million, $0.3 million, and $0.8 million at December 31, 2009, 2008, 2007, 2006, and 2005. | |
3 | The par amount of the outstanding consolidated obligations for all 12 FHLBanks was $930.5 billion, $1,251.5 billion, $1,189.6 billion, $951.7 billion, and $937.4 billion at December 31, 2009, 2008, 2007, 2006, and 2005, respectively. | |
4 | Net interest income is before provision for (reversal of) credit losses on mortgage loans. | |
5 | Other income (loss) includes, among other things, net gain (loss) on derivatives and hedging activities, net (loss) gain on extinguishment of debt, net gain on trading securities, and net loss on bonds held at fair value. | |
6 | Effective January 1, 2005, we changed our method of accounting for premiums and discounts related to and received on mortgage loans and MBS. We recorded a $6.5 million gain after assessments to change the amortization period from estimated lives to contractual maturities. | |
7 | Net interest margin is net interest income expressed as a percentage of average interest-earning assets. | |
8 | Regulatory capital ratio is period-end regulatory capital expressed as a percentage of period-end total assets. | |
9 | Dividend payout ratio is dividends declared in the stated period expressed as a percentage of net income in the stated period. |
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December 31, | December 31, | |||||||||||||||
2009 | 2008 | December 31, | December 31, | |||||||||||||
12-Month | 12-Month | 2009 | 2008 | |||||||||||||
Average | Average | Ending Rate | Ending Rate | |||||||||||||
Federal funds target1 | 0.16 | % | 1.93 | % | 0.05 | % | 0.14 | % | ||||||||
Three-month LIBOR1 | 0.69 | 2.93 | 0.25 | 1.43 | ||||||||||||
2-year U.S. Treasury1 | 0.94 | 1.99 | 1.14 | 0.77 | ||||||||||||
10-year U.S. Treasury1 | 3.24 | 3.64 | 3.84 | 2.21 | ||||||||||||
30-year residential mortgage note1 | 5.05 | 6.05 | 5.14 | 5.14 |
1 | Source is Bloomberg. | |
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Fourth | Fourth | Year-to-date | Year-to-date | |||||||||||||||||||||
Quarter | Quarter | December 31, | December 31, | |||||||||||||||||||||
2009 | 2008 | 2009 | 2008 | December 31, | December 31, | |||||||||||||||||||
3-Month | 3-Month | 12-Month | 12-Month | 2009 | 2008 | |||||||||||||||||||
Average | Average | Average | Average | Ending Spread | Ending Spread | |||||||||||||||||||
FHLB spreads to LIBOR (basis points)1 | ||||||||||||||||||||||||
3-month | (14.8 | ) | (154.5 | ) | (46.4 | ) | (73.0 | ) | (12.1 | ) | (131.5 | ) | ||||||||||||
2-year | (11.5 | ) | 60.7 | 1.8 | 7.9 | (10.2 | ) | 19.4 | ||||||||||||||||
5-year | 3.9 | 80.6 | 25.8 | 23.9 | (1.7 | ) | 73.1 | |||||||||||||||||
10-year | 53.2 | 124.2 | 81.3 | 47.4 | 41.9 | 109.1 |
1 | Source is Office of Finance. |
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2009 | 2008 | 2007 | ||||||||||||||||||||||||||||||||||
Interest | Interest | Interest | ||||||||||||||||||||||||||||||||||
Average | Yield/ | Income/ | Average | Yield/ | Income/ | Average | Yield/ | Income/ | ||||||||||||||||||||||||||||
Balance1 | Cost | Expense | Balance1 | Cost | Expense | Balance1 | Cost | Expense | ||||||||||||||||||||||||||||
Interest-earning assets | ||||||||||||||||||||||||||||||||||||
Interest-bearing deposits | $ | 113 | 0.37 | % | $ | 0.4 | $ | 24 | 0.45 | % | $ | 0.1 | $ | 8 | 5.28 | % | $ | 0.4 | ||||||||||||||||||
Securities purchased under agreements to resell | 1,165 | 0.16 | 1.8 | — | — | — | 222 | 5.36 | 11.9 | |||||||||||||||||||||||||||
Federal funds sold | 6,007 | 0.29 | 17.4 | 4,119 | 1.75 | 72.0 | 3,625 | 5.20 | 188.7 | |||||||||||||||||||||||||||
Short-term investments2 | 683 | 0.53 | 3.6 | 467 | 2.41 | 11.2 | 2,255 | 5.27 | 118.8 | |||||||||||||||||||||||||||
Mortgage-backed securities2 | 9,584 | 2.12 | 203.0 | 8,403 | 3.88 | 326.5 | 4,974 | 5.30 | 263.6 | |||||||||||||||||||||||||||
Other investments2 | 6,028 | 1.59 | 95.6 | 145 | 4.28 | 6.2 | 39 | 5.58 | 2.2 | |||||||||||||||||||||||||||
Advances3, 4 | 37,766 | 1.77 | 668.2 | 45,653 | 3.11 | 1,418.6 | 24,720 | 5.31 | 1,313.6 | |||||||||||||||||||||||||||
Mortgage loans5 | 9,190 | 4.83 | 443.6 | 10,647 | 5.01 | 533.7 | 11,248 | 4.99 | 561.6 | |||||||||||||||||||||||||||
Loans to other FHLBanks | — | — | — | 14 | 0.68 | 0.1 | — | — | — | |||||||||||||||||||||||||||
Total interest-earning assets | 70,536 | 2.03 | % | $ | 1,433.6 | 69,472 | 3.41 | % | $ | 2,368.4 | 47,091 | 5.23 | % | $ | 2,460.8 | |||||||||||||||||||||
Noninterest-earning assets | 165 | 182 | 270 | |||||||||||||||||||||||||||||||||
Total assets | $ | 70,701 | $ | 69,654 | $ | 47,361 | ||||||||||||||||||||||||||||||
Interest-bearing liabilities | ||||||||||||||||||||||||||||||||||||
Deposits | $ | 1,296 | 0.18 | % | $ | 2.4 | $ | 1,354 | 1.64 | % | $ | 22.2 | $ | 1,072 | 4.79 | % | $ | 51.4 | ||||||||||||||||||
Consolidated obligations | ||||||||||||||||||||||||||||||||||||
Discount notes4 | 20,736 | 0.64 | 132.2 | 26,543 | 2.32 | 616.4 | 8,597 | 4.93 | 424.0 | |||||||||||||||||||||||||||
Bonds4 | 44,218 | 2.49 | 1,101.3 | 37,752 | 3.92 | 1,481.2 | 34,233 | 5.22 | 1,786.2 | |||||||||||||||||||||||||||
Other interest-bearing liabilities | 38 | 0.80 | 0.3 | 68 | 4.43 | 3.0 | 478 | 5.87 | 28.1 | |||||||||||||||||||||||||||
Total interest-bearing liabilities | 66,288 | 1.86 | % | $ | 1,236.2 | 65,717 | 3.23 | % | $ | 2,122.8 | 44,380 | 5.16 | % | $ | 2,289.7 | |||||||||||||||||||||
Noninterest-bearing liabilities | 1,142 | 656 | 595 | |||||||||||||||||||||||||||||||||
Total liabilities | 67,430 | 66,373 | 44,975 | |||||||||||||||||||||||||||||||||
Capital | 3,271 | 3,281 | 2,386 | |||||||||||||||||||||||||||||||||
Total liabilities and capital | $ | 70,701 | $ | 69,654 | $ | 47,361 | ||||||||||||||||||||||||||||||
Net interest income and spread | 0.17 | % | $ | 197.4 | 0.18 | % | $ | 245.6 | 0.07 | % | $ | 171.1 | ||||||||||||||||||||||||
Net interest margin6 | 0.28 | % | 0.35 | % | 0.37 | % | ||||||||||||||||||||||||||||||
Average interest-earning assets to interest-bearing liabilities | 106.41 | % | 105.71 | % | 106.11 | % | ||||||||||||||||||||||||||||||
Composition of net interest income | ||||||||||||||||||||||||||||||||||||
Asset-liability spread | 0.20 | % | $ | 137.4 | 0.20 | % | $ | 140.7 | 0.11 | % | $ | 49.7 | ||||||||||||||||||||||||
Earnings on capital | 1.83 | % | 60.0 | 3.20 | % | 104.9 | 5.09 | % | 121.4 | |||||||||||||||||||||||||||
Net interest income | $ | 197.4 | $ | 245.6 | $ | 171.1 | ||||||||||||||||||||||||||||||
1 | Average balances do not reflect the effect of derivative master netting arrangements with counterparties. | |
2 | The average balance of available-for-sale securities is reflected at amortized cost; therefore the resulting yields do not give effect to changes in fair value. | |
3 | Advance interest income includes advance prepayment fee income of $10.3 million, $0.9 million, and $1.5 million for the years ended December 31, 2009, 2008, and 2007. | |
4 | Average balances reflect the impact of hedging fair value and fair value option adjustments. | |
5 | Nonperforming loans and loans held for sale are included in average balance used to determine average rate. | |
6 | Net interest margin is net interest income expressed as a percentage of average interest-earning assets. |
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Variance — 2009 vs. 2008 | Variance — 2008 vs. 2007 | |||||||||||||||||||||||
Total Increase | Total | Total Increase | Total | |||||||||||||||||||||
(Decrease) Due to | Increase | (Decrease) Due to | Increase | |||||||||||||||||||||
Volume | Rate | (Decrease) | Volume | Rate | (Decrease) | |||||||||||||||||||
Interest income | ||||||||||||||||||||||||
Interest-bearing deposits | $ | 0.3 | $ | — | $ | 0.3 | $ | 0.3 | $ | (0.6 | ) | $ | (0.3 | ) | ||||||||||
Securities purchased under agreements to resell | 1.8 | — | 1.8 | (11.9 | ) | — | (11.9 | ) | ||||||||||||||||
Federal funds sold | 23.3 | (77.9 | ) | (54.6 | ) | 22.7 | (139.4 | ) | (116.7 | ) | ||||||||||||||
Short-term investments | 3.7 | (11.3 | ) | (7.6 | ) | (63.9 | ) | (43.7 | ) | (107.6 | ) | |||||||||||||
Mortgage-backed securities | 40.8 | (164.3 | ) | (123.5 | ) | 147.0 | (84.1 | ) | 62.9 | |||||||||||||||
Other investments | 95.7 | (6.3 | ) | 89.4 | 4.6 | (0.6 | ) | 4.0 | ||||||||||||||||
Advances | (214.8 | ) | (535.6 | ) | (750.4 | ) | 800.9 | (695.9 | ) | 105.0 | ||||||||||||||
Mortgage loans | (71.3 | ) | (18.8 | ) | (90.1 | ) | (30.1 | ) | 2.2 | (27.9 | ) | |||||||||||||
Loans to other FHLBanks | (0.1 | ) | — | (0.1 | ) | 0.1 | — | 0.1 | ||||||||||||||||
Total interest income | (120.6 | ) | (814.2 | ) | (934.8 | ) | 869.7 | (962.1 | ) | (92.4 | ) | |||||||||||||
Interest expense | ||||||||||||||||||||||||
Deposits | (0.9 | ) | (18.9 | ) | (19.8 | ) | 11.0 | (40.2 | ) | (29.2 | ) | |||||||||||||
Consolidated obligations | ||||||||||||||||||||||||
Discount notes | (112.3 | ) | (371.9 | ) | (484.2 | ) | 511.4 | (319.0 | ) | 192.4 | ||||||||||||||
Bonds | 223.6 | (603.5 | ) | (379.9 | ) | 170.9 | (475.9 | ) | (305.0 | ) | ||||||||||||||
Other interest-bearing liabilities | (1.0 | ) | (1.7 | ) | (2.7 | ) | (19.5 | ) | (5.6 | ) | (25.1 | ) | ||||||||||||
Total interest expense | 109.4 | (996.0 | ) | (886.6 | ) | 673.8 | (840.7 | ) | (166.9 | ) | ||||||||||||||
Net interest income | $ | (230.0 | ) | $ | 181.8 | $ | (48.2 | ) | $ | 195.9 | $ | (121.4 | ) | $ | 74.5 | |||||||||
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2009 | 2008 | 2007 | ||||||||||
Adjusted net interest income after mortgage loan credit loss provision | ||||||||||||
Member Finance | $ | 133.8 | $ | 122.2 | $ | 139.0 | ||||||
Mortgage Finance | 81.8 | 133.0 | 30.2 | |||||||||
Total | $ | 215.6 | $ | 255.2 | $ | 169.2 | ||||||
Reconciliation of operating segment results to net interest income | ||||||||||||
Adjusted net interest income after mortgage loan credit loss provision | $ | 215.6 | $ | 255.2 | $ | 169.2 | ||||||
Net interest (income) expense on economic hedges | (5.2 | ) | 2.2 | 1.7 | ||||||||
Concession expense on fair value option bonds | 0.5 | — | — | |||||||||
Interest (expense) income on basis adjustment amortization/accretion of called debt | (17.8 | ) | (12.1 | ) | 0.2 | |||||||
Interest income on basis adjustment accretion of extinguished debt | 2.8 | — | — | |||||||||
Net interest income after mortgage loan credit loss provision | $ | 195.9 | $ | 245.3 | $ | 171.1 | ||||||
Other income (loss) | 55.8 | (27.8 | ) | 10.3 | ||||||||
Other expense | 53.1 | 44.1 | 42.4 | |||||||||
Income before assessments | $ | 198.6 | $ | 173.4 | $ | 139.0 | ||||||
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2009 | 2008 | 2007 | ||||||||||
Service fees | $ | 2.1 | $ | 2.4 | $ | 2.2 | ||||||
Net gain on trading securities | 19.1 | 1.5 | — | |||||||||
Net realized loss on sale of available-for-sale securities | (10.9 | ) | — | — | ||||||||
Net realized gain on sale of held-to-maturity securities | — | 1.8 | 0.5 | |||||||||
Net loss on bonds held at fair value | (4.4 | ) | — | — | ||||||||
Net gains on loans held for sale | 1.3 | — | — | |||||||||
Net gain (loss) on derivatives and hedging activities | 133.8 | (33.2 | ) | 4.5 | ||||||||
Net (loss) gain on extinguishment of debt | (89.9 | ) | 0.7 | — | ||||||||
Other, net | 4.7 | (1.0 | ) | 3.1 | ||||||||
Total other income (loss) | $ | 55.8 | $ | (27.8 | ) | $ | 10.3 | |||||
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2009 | ||||||||||||||||||||||||
Net Effect of | Mortgage | Consolidated | Balance | |||||||||||||||||||||
Hedging Activities | Advances | Investments | Assets | Obligations | Sheet | Total | ||||||||||||||||||
Net (amortization) accretion | $ | (55.2 | ) | $ | — | $ | (1.7 | ) | $ | 30.5 | $ | — | $ | (26.4 | ) | |||||||||
Net realized and unrealized gains on derivatives and hedging activities | 2.6 | 82.8 | — | 14.2 | — | 99.6 | ||||||||||||||||||
(Losses) Gains — Economic Hedges | (0.5 | ) | 12.0 | (2.3 | ) | 5.7 | 19.3 | 34.2 | ||||||||||||||||
Reported in Other Income (Loss) | 2.1 | 94.8 | (2.3 | ) | 19.9 | 19.3 | 133.8 | |||||||||||||||||
Total | $ | (53.1 | ) | $ | 94.8 | $ | (4.0 | ) | $ | 50.4 | $ | 19.3 | $ | 107.4 | ||||||||||
2008 | ||||||||||||||||||||||||
Net Effect of | Mortgage | Consolidated | Balance | |||||||||||||||||||||
Hedging Activities | Advances | Investments | Assets | Obligations | Sheet | Total | ||||||||||||||||||
Net (amortization) accretion | $ | (44.6 | ) | $ | — | $ | (1.7 | ) | $ | 27.5 | $ | — | $ | (18.8 | ) | |||||||||
Net realized and unrealized gains (losses) on derivatives and hedging activities | 2.5 | — | — | (6.5 | ) | — | (4.0 | ) | ||||||||||||||||
Losses — Economic Hedges | (3.5 | ) | — | (1.2 | ) | (1.4 | ) | (23.1 | ) | (29.2 | ) | |||||||||||||
Reported in Other Loss | (1.0 | ) | — | (1.2 | ) | (7.9 | ) | (23.1 | ) | (33.2 | ) | |||||||||||||
Total | $ | (45.6 | ) | $ | — | $ | (2.9 | ) | $ | 19.6 | $ | (23.1 | ) | $ | (52.0 | ) | ||||||||
2007 | ||||||||||||||||||||||||
Net Effect of | Mortgage | Consolidated | Balance | |||||||||||||||||||||
Hedging Activities | Advances | Investments | Assets | Obligations | Sheet | Total | ||||||||||||||||||
Net amortization | $ | (1.0 | ) | $ | — | $ | (2.0 | ) | $ | (34.1 | ) | $ | — | $ | (37.1 | ) | ||||||||
Net realized and unrealized gains on derivatives and hedging activities | 2.6 | — | — | 0.5 | — | 3.1 | ||||||||||||||||||
(Losses) Gains — Economic Hedges | (0.6 | ) | — | — | 4.2 | (2.2 | ) | 1.4 | ||||||||||||||||
Reported in Other Income (Loss) | 2.0 | — | — | 4.7 | (2.2 | ) | 4.5 | |||||||||||||||||
Total | $ | 1.0 | $ | — | $ | (2.0 | ) | $ | (29.4 | ) | $ | (2.2 | ) | $ | (32.6 | ) | ||||||||
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• | In 2009, we held interest rate caps on our balance sheet as economic hedges to protect against increases in interest rates on our variable rate assets with caps. Due to changes in interest rates, we recorded $19.3 million in gains on these interest rate caps in 2009 compared to $11.6 million in losses in 2008 and $1.5 million in gains in 2007. In 2008, we also held interest rate swaptions on our balance sheet as economic hedges and recorded losses of $11.5 million compared to $3.7 million in losses in 2007. | ||
• | We held interest rate swaps on our balance sheet as economic hedges against adverse changes in the fair value of a portion of our trading securities indexed to LIBOR. In 2009, we recorded $23.6 million in economic gains on these derivatives, partially offset by interest expense accruals on the hedges of $11.6 million. The net gain was offset by $17.2 million of unrealized losses on the trading securities recorded in “net gain on trading securities” in other income (loss). | ||
• | In 2009, gains on consolidated obligation economic hedges were impacted by economic hedges on fair value option bonds. During 2009, we had economic hedges protecting against changes in the fair value of both variable and fixed interest rate bonds elected under the fair value option. We recorded $6.5 million in economic gains on these derivatives, coupled with $7.8 million of interest income accruals on the hedges. These net gains were offset by $4.4 million of fair value losses on the variable and fixed interest rate bonds recorded in “net loss on bonds held at fair value” in other income (loss). | ||
• | In 2009, gains on consolidated obligation economic hedges were also impacted by the effect of failed retrospective hedge effectiveness tests. We perform retrospective hedge effectiveness testing at least quarterly on all hedge relationships. If a hedge relationship fails this test, we can no longer receive hedge accounting and the derivative is accounted for as an economic hedge. In 2009, we experienced losses of $20.9 million on consolidated obligation hedging relationships failing the retrospective hedge effectiveness tests compared to losses of $2.4 million in 2008 and gains of $5.6 million in 2007. The majority of losses in 2009 were due to consolidated obligation hedge relationships nearing maturity or having a short-duration. These losses and gains were partially offset by interest accruals on the hedges of $12.3 million, $1.0 million, and $1.4 million in 2009, 2008, and 2007. |
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2009 | 2008 | 2007 | ||||||||||
Compensation and benefits | $ | 31.9 | $ | 26.3 | $ | 24.8 | ||||||
Occupancy cost | 1.6 | 1.3 | 1.6 | |||||||||
Other operating expenses | 15.0 | 12.8 | 13.0 | |||||||||
Total operating expenses | 16.6 | 14.1 | 14.6 | |||||||||
Finance Agency | 2.4 | 1.9 | 1.5 | |||||||||
Office of Finance | 2.2 | 1.8 | 1.5 | |||||||||
Total other expense | $ | 53.1 | $ | 44.1 | $ | 42.4 | ||||||
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2009 | 2008 | |||||||||||||||
Percent of | Percent of | |||||||||||||||
Amount | Total | Amount | Total | |||||||||||||
Simple fixed rate advances | ||||||||||||||||
Overdrawn demand deposit accounts | $ | * | * | % | $ | 1 | * | % | ||||||||
One month or less | 1,022 | 2.9 | 2,852 | 7.0 | ||||||||||||
Over one month through one year | 4,877 | 13.9 | 5,220 | 12.8 | ||||||||||||
Greater than one year | 10,330 | 29.5 | 10,108 | 24.9 | ||||||||||||
16,229 | 46.3 | 18,181 | 44.7 | |||||||||||||
Simple variable rate advances | ||||||||||||||||
One month or less | — | — | 4 | * | ||||||||||||
Over one month through one year | 552 | 1.6 | 418 | 1.1 | ||||||||||||
Greater than one year | 3,510 | 10.0 | 4,560 | 11.2 | ||||||||||||
4,062 | 11.6 | 4,982 | 12.3 | |||||||||||||
Callable advances | ||||||||||||||||
Fixed rate | 274 | 0.8 | 262 | 0.6 | ||||||||||||
Variable rate | 6,297 | 18.0 | 7,527 | 18.5 | ||||||||||||
Putable advances | ||||||||||||||||
Fixed rate | 6,675 | 19.1 | 8,122 | 20.0 | ||||||||||||
Community investment advances | ||||||||||||||||
Fixed rate | 963 | 2.7 | 1,000 | 2.5 | ||||||||||||
Variable rate | 72 | 0.2 | 104 | 0.3 | ||||||||||||
Callable — fixed rate | 64 | 0.2 | 62 | 0.1 | ||||||||||||
Putable — fixed rate | 396 | 1.1 | 423 | 1.0 | ||||||||||||
Total par value | 35,032 | 100.0 | % | 40,663 | 100.0 | % | ||||||||||
Hedging fair value adjustments | ||||||||||||||||
Cumulative fair value gain | 590 | 1,082 | ||||||||||||||
Basis adjustments from terminated and ineffective hedges | 98 | 152 | ||||||||||||||
Total advances | $ | 35,720 | $ | 41,897 | ||||||||||||
* | Amount is less than one million or 0.1 percent. |
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Percent of | ||||||||||||||
2009 | Total | |||||||||||||
Name | City | State | Advances1 | Advances | ||||||||||
Transamerica Life Insurance Company2 | Cedar Rapids | IA | $ | 5,450 | 15.6 | % | ||||||||
Aviva Life and Annuity Company2 | Des Moines | IA | 2,955 | 8.4 | ||||||||||
TCF National Bank3 | Sioux Falls | SD | 2,650 | 7.6 | ||||||||||
Superior Guaranty Insurance Company4 | Minneapolis | MN | 1,625 | 4.6 | ||||||||||
ING USA Annuity and Life Insurance Company | Des Moines | IA | 1,304 | 3.7 | ||||||||||
13,984 | 39.9 | |||||||||||||
Housing associates | 455 | 1.3 | ||||||||||||
All others | 20,593 | 58.8 | ||||||||||||
Total advances (at par value) | $ | 35,032 | 100.0 | % | ||||||||||
Percent of | ||||||||||||||
2008 | Total | |||||||||||||
Name | City | State | Advances1 | Advances | ||||||||||
Transamerica Life Insurance Company2 | Cedar Rapids | IA | $ | 5,450 | 13.4 | % | ||||||||
Aviva Life and Annuity Company2 | Des Moines | IA | 3,131 | 7.7 | ||||||||||
ING USA Annuity and Life Insurance Company | Des Moines | IA | 2,994 | 7.4 | ||||||||||
TCF National Bank3 | Wayzata | MN | 2,475 | 6.1 | ||||||||||
Superior Guaranty Insurance Company4 | Minneapolis | MN | 2,250 | 5.5 | ||||||||||
16,300 | 40.1 | |||||||||||||
Housing associates | 302 | 0.7 | ||||||||||||
All others | 24,061 | 59.2 | ||||||||||||
Total advances (at par value) | $ | 40,663 | 100.0 | % | ||||||||||
1 | Amounts represent par value before considering premiums, discounts, and hedging fair value adjustments. | |
2 | Transamerica Life Insurance Company and Aviva Life and Annuity Company have not signed a new Advances, Pledge, and Security Agreement and therefore cannot initiate new advances. At December 31, 2009, the remaining weighted average life of advances held by Transamerica Life Insurance Company and Aviva Life and Annuity Company was 5.00 and 4.46 years. | |
3 | Effective April 6, 2009, TCF National Bank relocated their charter from Wayzata, MN to Sioux Falls, SD. | |
4 | Superior Guaranty Insurance Company (Superior) is an affiliate of Wells Fargo Bank, N.A. |
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2009 | 2008 | |||||||
Single family mortgages | ||||||||
Fixed rate conventional loans | ||||||||
Contractual maturity less than or equal to 15 years | $ | 1,906 | $ | 2,408 | ||||
Contractual maturity greater than 15 years | 5,427 | 7,845 | ||||||
Subtotal | 7,333 | 10,253 | ||||||
Fixed rate government-insured loans | ||||||||
Contractual maturity less than or equal to 15 years | 2 | 2 | ||||||
Contractual maturity greater than 15 years | 378 | 421 | ||||||
Subtotal | 380 | 423 | ||||||
Total par value | 7,713 | 10,676 | ||||||
Premiums | 53 | 86 | ||||||
Discounts | (52 | ) | (81 | ) | ||||
Basis adjustments from mortgage loan commitments | 5 | 4 | ||||||
Allowance for credit losses | (2 | ) | * | |||||
Total mortgage loans held for portfolio, net | $ | 7,717 | $ | 10,685 | ||||
* | Amount is less than one million. |
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2009 | 2008 | |||||||||||||||
Percent of | Percent of | |||||||||||||||
Amount | Total | Amount | Total | |||||||||||||
Short-term investments | ||||||||||||||||
Interest-bearing deposits | $ | 5 | * | % | $ | — | — | % | ||||||||
Federal funds sold | 3,133 | 15.1 | 3,425 | 22.3 | ||||||||||||
Negotiable certificates of deposit | 450 | 2.2 | — | — | ||||||||||||
Commercial paper | — | — | 385 | 2.5 | ||||||||||||
3,588 | 17.3 | 3,810 | 24.8 | |||||||||||||
Long-term investments | ||||||||||||||||
Mortgage-backed securities | ||||||||||||||||
Government-sponsored enterprises | 11,147 | 53.6 | 9,169 | 59.7 | ||||||||||||
U.S. government agency-guaranteed | 43 | 0.2 | 52 | 0.3 | ||||||||||||
MPF shared funding | 33 | 0.1 | 47 | 0.3 | ||||||||||||
Other | 35 | 0.2 | 39 | 0.3 | ||||||||||||
11,258 | 54.1 | 9,307 | 60.6 | |||||||||||||
Non-mortgage-backed securities | ||||||||||||||||
Interest-bearing deposits | 6 | * | — | — | ||||||||||||
Government-sponsored enterprise obligations | 806 | 3.9 | — | — | ||||||||||||
State or local housing agency obligations | 124 | 0.6 | 93 | 0.6 | ||||||||||||
TLGP | 4,260 | 20.5 | 2,151 | 14.0 | ||||||||||||
Taxable municipal bonds | 742 | 3.6 | — | — | ||||||||||||
Other | 6 | * | 8 | * | ||||||||||||
5,944 | 28.6 | 2,252 | 14.6 | |||||||||||||
Total investments | $ | 20,790 | 100.0 | % | $ | 15,369 | 100.0 | % | ||||||||
Investments as a percentage of total assets | 32.2 | % | 22.6 | % | ||||||||||||
* | Amount is less than 0.1 percent. |
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2009 | 2008 | |||||||
Par value | $ | 9,419 | $ | 20,153 | ||||
Discounts | (2 | ) | (92 | ) | ||||
Total discount notes | $ | 9,417 | $ | 20,061 | ||||
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Year of Maturity | 2009 | 2008 | ||||||
2009 | $ | — | $ | 15,963 | ||||
2010 | 23,040 | 6,159 | ||||||
2011 | 9,089 | 4,670 | ||||||
2012 | 5,337 | 2,231 | ||||||
2013 | 2,523 | 2,417 | ||||||
2014 | 1,422 | 501 | ||||||
Thereafter | 6,962 | 7,908 | ||||||
Index amortizing notes | 1,950 | 2,420 | ||||||
Total par value | 50,323 | 42,269 | ||||||
Premiums | 50 | 51 | ||||||
Discounts | (35 | ) | (41 | ) | ||||
Hedging fair value adjustments | ||||||||
Cumulative fair value loss | 149 | 348 | ||||||
Basis adjustments from terminated and ineffective hedges | * | 95 | ||||||
Fair value option adjustments | ||||||||
Net loss on bonds held at fair value | 4 | — | ||||||
Change in accrued interest | 4 | — | ||||||
Total bonds | $ | 50,495 | $ | 42,722 | ||||
* | Amount is less than one million. |
2009 | 2008 | |||||||
Par amount of bonds | ||||||||
Noncallable or nonputable | $ | 44,381 | $ | 39,214 | ||||
Callable | 5,942 | 3,055 | ||||||
Total par value | $ | 50,323 | $ | 42,269 | ||||
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2009 | 2008 | 2007 | ||||||||||
Bonds Called | ||||||||||||
Par value | $ | 5,095 | $ | 7,302 | $ | 1,228 | ||||||
Weighted average interest rate | 2.83 | % | 4.32 | % | 5.19 | % | ||||||
Bonds Extinguished | ||||||||||||
Par value | $ | 943 | $ | 510 | $ | — | ||||||
Weighted average interest rate | 5.33 | % | 2.55 | % | — | % | ||||||
Total par value | $ | 6,038 | $ | 7,812 | $ | 1,228 | ||||||
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2009 | 2008 | |||||||||||||||
Percent of | Percent of | |||||||||||||||
Amount | Total | Amount | Total | |||||||||||||
Interest-bearing | ||||||||||||||||
Overnight | $ | 367 | 30.0 | % | $ | 694 | 46.4 | % | ||||||||
Demand | 293 | 23.9 | 230 | 15.3 | ||||||||||||
Term | 484 | 39.5 | 465 | 31.1 | ||||||||||||
Total interest-bearing | 1,144 | 93.4 | 1,389 | 92.8 | ||||||||||||
Noninterest-bearing | 81 | 6.6 | 107 | 7.2 | ||||||||||||
Total deposits | $ | 1,225 | 100.0 | % | $ | 1,496 | 100.0 | % | ||||||||
Over three | Over six | |||||||||||||||
Three | months but | months but | ||||||||||||||
months | within six | within 12 | ||||||||||||||
or less | months | months | Total | |||||||||||||
Time deposits | $ | 62 | $ | 299 | $ | 123 | $ | 484 | ||||||||
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2009 | 2008 | |||||||
Notional amount of derivatives | ||||||||
Interest rate swaps | ||||||||
Noncallable | $ | 34,158 | $ | 17,773 | ||||
Callable by counterparty | 9,386 | 9,261 | ||||||
Callable by the Bank | 60 | 77 | ||||||
43,604 | 27,111 | |||||||
Interest rate caps | 3,240 | 2,340 | ||||||
Forward settlement agreements | 27 | 289 | ||||||
Mortgage delivery commitments | 27 | 288 | ||||||
Total notional amount | $ | 46,898 | $ | 30,028 | ||||
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2009 | 2008 | |||||||||||||||
Estimated | Estimated | |||||||||||||||
Notional | Fair Value | Notional | Fair Value | |||||||||||||
Advances | ||||||||||||||||
Fair value | $ | 13,204 | $ | (613 | ) | $ | 11,501 | $ | (1,109 | ) | ||||||
Economic | 746 | (1 | ) | 527 | (5 | ) | ||||||||||
Investments | ||||||||||||||||
Fair value | 239 | 2 | — | — | ||||||||||||
Economic | 1,525 | 25 | — | — | ||||||||||||
Mortgage assets | ||||||||||||||||
Forward settlement agreements | ||||||||||||||||
Economic | 27 | * | 289 | (2 | ) | |||||||||||
Mortgage delivery commitments | ||||||||||||||||
Economic | 27 | * | 288 | 2 | ||||||||||||
Consolidated obligations | ||||||||||||||||
Bonds | ||||||||||||||||
Fair value | 20,753 | 147 | 11,969 | 330 | ||||||||||||
Economic | 6,830 | 4 | 3,030 | 2 | ||||||||||||
Discount notes | ||||||||||||||||
Economic | 307 | * | 84 | 1 | ||||||||||||
Balance Sheet | ||||||||||||||||
Economic | 3,240 | 51 | 2,340 | 2 | ||||||||||||
Total notional and fair value | $ | 46,898 | $ | (385 | ) | $ | 30,028 | $ | (779 | ) | ||||||
Total derivatives, excluding accrued interest | (385 | ) | (779 | ) | ||||||||||||
Accrued interest | 63 | 79 | ||||||||||||||
Net cash collateral | 53 | 268 | ||||||||||||||
Net derivative balance | $ | (269 | ) | $ | (432 | ) | ||||||||||
Net derivative assets | 11 | 3 | ||||||||||||||
Net derivative liabilities | (280 | ) | (435 | ) | ||||||||||||
Net derivative balance | $ | (269 | ) | $ | (432 | ) | ||||||||||
* | Amount is less than one million. |
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2009 | 2008 | |||||||
Unencumbered marketable assets maturing within one year | $ | 4.0 | $ | 4.8 | ||||
Advances maturing in seven days or less | 0.5 | 1.3 | ||||||
Unencumbered assets available for repurchase agreement borrowings | 15.5 | 10.5 | ||||||
Total liquidity | $ | 20.0 | $ | 16.6 | ||||
Liquidity needs for five calendar days | $ | 1.9 | $ | 3.8 | ||||
Total liquidity as a percent of five day requirement | 1,053 | % | 437 | % | ||||
2009 | 2008 | |||||||
Advances with maturities not exceeding five years | $ | 24.6 | $ | 28.1 | ||||
Deposits in banks or trust companies | 0.5 | — | ||||||
Total | $ | 25.1 | $ | 28.1 | ||||
Deposits1 | $ | 1.2 | $ | 1.5 | ||||
1 | Amount does not reflect the effect of derivative master netting arrangements with counterparties. |
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2009 | 2008 | |||||||
Total qualifying assets | $ | 64.6 | $ | 68.1 | ||||
Less: pledged assets | 0.1 | 0.3 | ||||||
Total qualifying assets free of lien or pledge | $ | 64.5 | $ | 67.8 | ||||
Consolidated obligations outstanding | $ | 59.9 | $ | 62.8 | ||||
December 31, | Guidance | |||||||
2009 | Requirement | |||||||
Roll-off scenario | 36 | 15 | ||||||
Renew scenario | 22 | 5 |
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2009 | 2008 | |||||||
Required liquidity | $ | (1.9 | ) | $ | (3.9 | ) | ||
Available assets | 15.8 | 11.1 | ||||||
Excess contingent liquidity | $ | 13.9 | $ | 7.2 | ||||
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2009 | 2008 | |||||||||||||||
Required | Actual | Required | Actual | |||||||||||||
Regulatory capital requirements: | ||||||||||||||||
Risk based capital | $ | 827 | $ | 2,953 | $ | 1,968 | $ | 3,174 | ||||||||
Total capital-to-asset ratio | 4.00 | % | 4.57 | % | 4.00 | % | 4.66 | % | ||||||||
Total regulatory capital | $ | 2,586 | $ | 2,953 | $ | 2,725 | $ | 3,174 | ||||||||
Leverage ratio | 5.00 | % | 6.85 | % | 5.00 | % | 6.99 | % | ||||||||
Leverage capital | $ | 3,233 | $ | 4,429 | $ | 3,406 | $ | 4,761 |
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Institutional Entity | 2009 | 2008 | ||||||
Commercial Banks | $ | 1,243 | $ | 1,314 | ||||
Insurance Companies | 982 | 1,203 | ||||||
Savings and Loan Associations | 141 | 170 | ||||||
Credit Unions | 95 | 94 | ||||||
Former Members | 8 | 11 | ||||||
Total regulatory capital stock | $ | 2,469 | $ | 2,792 | ||||
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(1) | A specified percentage of its outstanding advances. As of December 31, 2009 the percentage was 4.45 percent. |
(2) | A specified percentage of its acquired member assets. As of December 31, 2009, the percentage was 4.45 percent. |
(3) | A specified percentage of its standby letters of credit. As of December 31, 2009, the percentage was 0.00 percent. |
(4) | A specified percentage of its advance commitments. As of December 31, 2009, the percentage was 0.00 percent. |
(5) | A specified percentage of its acquired member assets commitments. As of December 31, 2009, the percentage was 0.00 percent. |
(1) | Submits a written notice to redeem all or part of the member’s capital stock. |
(2) | Submits a written notice of the member’s intent to withdraw from membership, which automatically commences a five-year redemption period. |
(3) | Terminates its membership voluntarily as a result of a merger or consolidation into a nonmember or into a member of another FHLBank, or involuntarily as a result of action by our Board of Directors. |
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Year of Redemption | 2009 | 2008 | ||||||
2009 | $ | — | $ | 3 | ||||
2010 | 7 | 6 | ||||||
2011 | 1 | 1 | ||||||
2012 | * | 1 | ||||||
2013 | * | * | ||||||
2014 | * | * | ||||||
Thereafter | * | * | ||||||
Total | $ | 8 | $ | 11 | ||||
* | Amount is less than one million. |
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• | they are likely to change from period to period due to significant management judgments and assumptions about highly complex and uncertain matters. |
• | they use a different estimate or a change in estimate that could have a material impact on our reported results of operations or financial condition. |
• | fair value estimates. | ||
• | allowance for credit losses on advances and mortgage loans. | ||
• | derivative and hedge accounting. | ||
• | other-than-temporary impairment. |
• | discounted cash flows, using market estimates of interest rates and volatility; |
• | dealer prices; or |
• | prices of similar instruments. |
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• | discount rates; |
• | prepayments; |
• | market volatility; and |
• | other factors. |
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(1) | A hedge of the fair value of a recognized asset or liability or an unrecognized firm commitment (a fair value hedge). |
(2) | A nonqualifying hedge of an asset, liability, or firm commitment (an economic hedge) for asset-liability management purposes. |
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• | Requires the board of directors of each FHLBank to determine annually how many of its independent directorships should be designated as public interest directorships, but mandates that at least two independent directors be public interest directors; |
• | Sets forth new provisions for filling a vacancy on the board of directors; |
• | Amends the election requirement for independent directors. The final rule provides that if an FHLBank’s board of directors nominates only one person for each directorship, receipt of 20 percent of the eligible votes by that nominee is required for that nominee to be elected. If, however, an FHLBank’s board of directors nominates more persons for the type of independent directorship to be filled than there are directorships of that type to be filled in the election, then the person with the highest number of votes will be declared elected; and |
• | Clarifies the requirements for subsequent elections in the event an independent director cannot be elected based on the failure to meet the 20 percent requirement of eligible votes. |
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2009 | ||||||||||||||||||||
Payments Due by Period | ||||||||||||||||||||
Over one | Over three | |||||||||||||||||||
One year | through | through | Over | |||||||||||||||||
Contractual Obligations | Total | or less | three years | five years | five years | |||||||||||||||
Long-term debt1 | $ | 50,323 | $ | 23,040 | $ | 15,501 | $ | 3,945 | $ | 7,837 | ||||||||||
Operating lease obligations | 16 | 1 | 2 | 2 | 11 | |||||||||||||||
Purchase obligations2 | 4,587 | 374 | 3,386 | 107 | 720 | |||||||||||||||
Mandatorily redeemable capital stock3 | 8 | 7 | 1 | * | * | |||||||||||||||
Total | $ | 54,934 | $ | 23,422 | $ | 18,890 | $ | 4,054 | $ | 8,568 | ||||||||||
2008 | ||||||||||||||||||||
Payments Due by Period | ||||||||||||||||||||
Over one | Over three | |||||||||||||||||||
One year | through | through | Over | |||||||||||||||||
Contractual Obligations | Total | or less | three years | five years | five years | |||||||||||||||
Long-term debt1 | $ | 42,269 | $ | 15,963 | $ | 10,829 | $ | 6,029 | $ | 9,448 | ||||||||||
Operating lease obligations | 17 | 1 | 2 | 2 | 12 | |||||||||||||||
Purchase obligations2 | 4,955 | 2,826 | 1,832 | 30 | 267 | |||||||||||||||
Mandatorily redeemable capital stock3 | 11 | 3 | 6 | 1 | 1 | |||||||||||||||
Total | $ | 47,252 | $ | 18,793 | $ | 12,669 | $ | 6,062 | $ | 9,728 | ||||||||||
1 | Long-term debt includes bonds (at par value). Long-term debt does not include discount notes and is based on contractual maturities. Actual distributions could be impacted by factors affecting early redemptions. Index amortizing notes are included in the table based on contractual maturities. The amortizing feature of these notes based on underlying indices could cause redemption at different times than contractual maturities. | |
2 | Purchase obligations include the notional amount of standby letters of credit, commitments to fund mortgage loans, standby bond purchase agreements, commitments to purchase housing bonds, and advances and bonds traded but not settled (see additional discussion of these items in “Item 8. Financial Statements and Supplementary Data — Note 19 — Commitments and Contingencies”). | |
3 | Mandatorily redeemable capital stock payment periods are based on how we anticipate redeeming the capital stock based on our practices. | |
* | Represents an amount less than one million. |
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Market Risk: | Mortgage Portfolio Market Value Sensitivity (policy limit and MAT) Market Value of Capital Stock Sensitivity (policy limit and MAT) Projected 12-month GAAP Earnings Per Share Sensitivity (MAT) | |
Liquidity Risk: | Contingent Liquidity (policy limit and MAT) | |
Capital Adequacy: | Economic Capital Ratio (MAT) | |
Economic Value of Capital Stock (MAT) |
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• | understanding the contractual and behavioral features of each instrument. | ||
• | using appropriate market data, such as yield curves and implied volatilities. |
• | using appropriate option valuation models and prepayment functions to describe the evolution of interest rates over time and the expected cash flows of financial instruments in response. |
• | Option-free instruments, such as plain vanilla interest rate swaps, bonds, and advances require an assessment of the future course of interest rates. Once the course of interest rates has been specified and the expected cash flows determined, the appropriate forward rates are used to discount the future cash flows to a fair value. |
• | Option-embedded instruments, such as cancelable interest rate swaps, swaptions, caps, and floors, callable bonds, and mortgage-related instruments, are typically evaluated using interest rate tree (lattice) or Monte Carlo simulations that generate a large number of possible interest rate scenarios. |
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Economic Value of Capital Stock (Dollars Per Share) | ||||
2009 | ||||
December | $ | 108.7 | ||
September | $ | 106.9 | ||
June | $ | 102.1 | ||
March | $ | 86.3 | ||
2008 | ||||
December | $ | 80.0 | ||
September | $ | 96.1 | ||
June | $ | 105.1 | ||
March | $ | 105.3 |
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• | Improvement in our funding costs relative to LIBOR.Because the EVCS methodology focuses on the long-term value of one share of capital stock, we discount future cash flows of our assets, liabilities, and derivatives using our cost of funds. During 2009, our cost of funds relative to LIBOR improved, and therefore EVCS was positively impacted as the long-term net earnings potential of our balance sheet increased. |
• | Decreased interest rate volatility.Decreased interest rate volatility during 2009 had a positive impact on all value measurements (including EVCS) through its impact on the value of mortgage-related assets. As interest rate volatility decreased, the value of the prepayment option to homeowners embedded in the mortgage-related assets decreased, thereby increasing the value of the assets. |
• | Adjustments to our prepayment model. During the second quarter of 2009 we adjusted our prepayment model to more accurately reflect the recent prepayment experiences of our MPF portfolio. This adjustment decreased the projected prepayment speeds on those assets, resulting in higher future cash flows and thus higher EVCS. |
• | Increased retained earnings.Retained earnings increased during 2009 due primarily to the Bank’s increased net income. As we retain net income, our equity position increases thereby increasing EVCS. |
• | Elimination of the negative spread carried on our liquidity portfolio.During the fourth quarter of 2008, we funded a portion of our liquidity portfolio with fixed rate longer-dated discount notes. Subsequent to the issuance of these discount notes, interest rates fell significantly resulting in a negative spread as the cost of the discount notes was greater than the earnings on the liquidity portfolio. This negative spread significantly decreased EVCS at December 31, 2008. As the discount notes matured throughout 2009, the impact of the negative spread was eliminated thereby increasing EVCS. |
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Market Value of Capital Stock (Dollars per Share) | ||||||||||||||||||||
Down 200 | Down 100 | Base Case | Up 100 | Up 200 | ||||||||||||||||
2009 | ||||||||||||||||||||
December | $ | 85.1 | $ | 100.2 | $ | 100.2 | $ | 97.2 | $ | 92.0 | ||||||||||
September | $ | 78.4 | $ | 91.7 | $ | 95.5 | $ | 93.5 | $ | 89.0 | ||||||||||
June | $ | 72.1 | $ | 86.9 | $ | 91.2 | $ | 90.4 | $ | 87.4 | ||||||||||
March | $ | 42.7 | $ | 59.2 | $ | 76.3 | $ | 86.9 | $ | 85.7 | ||||||||||
2008 | ||||||||||||||||||||
December | $ | 20.6 | $ | 41.0 | $ | 58.4 | $ | 66.2 | $ | 64.3 | ||||||||||
September | $ | 84.3 | $ | 89.3 | $ | 91.8 | $ | 89.6 | $ | 87.0 | ||||||||||
June | $ | 81.7 | $ | 93.5 | $ | 97.0 | $ | 94.0 | $ | 89.1 | ||||||||||
March | $ | 77.8 | $ | 85.7 | $ | 90.0 | $ | 87.6 | $ | 84.1 |
Percent Change from Base Case | ||||||||||||||||||||
Down 200 | Down 100 | Base Case | Up 100 | Up 200 | ||||||||||||||||
2009 | ||||||||||||||||||||
December | (15.1 | )% | 0.0 | % | 0.0 | % | (3.0 | )% | (8.2 | )% | ||||||||||
September | (17.9 | )% | (4.0 | )% | 0.0 | % | (2.1 | )% | (6.8 | )% | ||||||||||
June | (20.9 | )% | (4.7 | )% | 0.0 | % | (0.9 | )% | (4.2 | )% | ||||||||||
March | (44.0 | )% | (22.3 | )% | 0.0 | % | 14.0 | % | 12.3 | % | ||||||||||
2008 | ||||||||||||||||||||
December | (64.8 | )% | (29.7 | )% | 0.0 | % | 13.5 | % | 10.1 | % | ||||||||||
September | (8.2 | )% | (2.7 | )% | 0.0 | % | (2.5 | )% | (5.3 | )% | ||||||||||
June | (15.7 | )% | (3.6 | )% | 0.0 | % | (3.1 | )% | (8.1 | )% | ||||||||||
March | (13.5 | )% | (4.7 | )% | 0.0 | % | (2.7 | )% | (6.6 | )% |
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• | Decreased option-adjusted spread on our mortgage assets.During 2009, the spread between mortgage interest rates and LIBOR decreased which increased the value of our mortgage assets. |
• | Increased longer-term interest rates. As longer-term interest rates increased during 2009, the prepayments on fixed-rate mortgage assets were reinvested at higher interest rates, while the cost of the associated debt remained constant/fixed. As a result, the value of the mortgage assets decreased less than the value of the corresponding debt, thereby increasing MVCS. |
• | Decreased interest rate volatility.Decreased interest rate volatility during 2009 had a positive impact on all value measurements (including MVCS) through its impact on the value of mortgage-related assets. As interest rate volatility decreased, the value of the prepayment option to homeowners embedded in the mortgage-related assets decreased, thereby increasing the value of the assets. |
• | Increased retained earnings.Retained earnings increased during 2009 due primarily to the Bank’s increased net income. As we retain net income, our equity position increases thereby increasing MVCS. |
• | Elimination of the negative spread carried on our liquidity portfolio.During the fourth quarter of 2008, we funded a portion of our liquidity portfolio with fixed rate longer-dated discount notes. Subsequent to the issuance of these discount notes, interest rates fell significantly resulting in a negative spread as the cost of the discount notes was greater than the earnings on the liquidity portfolio. This negative spread significantly decreased MVCS at December 31, 2008. As the discount notes matured throughout 2009, the impact of the negative spread was eliminated thereby increasing MVCS. |
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Hedging | Derivative Hedging | Purpose of Hedge | ||||
Hedged Item | Classification | Instrument | Transaction | |||
Advances | ||||||
Fixed rate advances | Fair value | Payment of fixed, receipt of variable interest rate swap | To protect against changes in interest rates by converting the asset’s fixed rate to the same variable rate index as the funding source. | |||
Putable fixed rate advances | Fair value | Payment of fixed, receipt of variable interest rate swap with put option | To protect against changes in interest rates including option risk by converting the asset’s fixed rate to the same variable rate index as the funding source. | |||
Callable fixed rate advances | Fair Value | Payment of fixed, receipt of variable interest rate swap with call option | To protect against changes in interest rates including option risk by converting the asset’s fixed rate to the same variable rate index as the funding source. |
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Hedging | Derivative Hedging | Purpose of Hedge | ||||
Hedged Item | Classification | Instrument | Transaction | |||
Variable rate advances | Economic | Payment of variable (i.e. six-month LIBOR), receipt of variable (i.e. three-month LIBOR) interest rate swap | To protect against repricing risk by converting the asset’s variable rate to the same index variable rate as the funding source. | |||
Mortgage Assets | ||||||
Mortgage delivery commitments | Economic | Forward settlement agreements | To protect against changes in market value resulting from changes in interest rates. | |||
Investments | ||||||
Fixed rate investments | Fair value or economic | Payment of fixed, receipt of variable interest rate swap | To protect against changes in interest rates by converting the asset’s fixed rate to the same variable rate index as the funding source. | |||
Consolidated Obligations | ||||||
Fixed rate consolidated obligations | Fair value or Economic | Payment of variable, receipt of fixed interest rate swap | To protect against changes in interest rates by converting the debt’s fixed rate to the same variable rate index as the asset being funded. | |||
Callable fixed rate consolidated obligations | Fair value or Economic2 | Payment of variable, receipt of fixed interest rate swap with call option | To protect against changes in interest rates including option risk by converting the debt’s fixed rate to the same variable rate index as the asset being funded. | |||
Callable variable rate consolidated obligations1 | Fair value or Economic2 | Payment of variable, receipt of variable interest rate swap with call option | To protect against changes in interest rates including option risk by converting the debt’s variable rate to the same variable rate index as the asset being funded. | |||
Variable rate consolidated obligations | Economic | Payment of variable (i.e. one-month LIBOR or another index), receipt of variable (i.e. three-month LIBOR) interest rate swap | To protect against repricing risk by converting the variable rate funding source to the same variable rate index as the asset being funded. | |||
Balance Sheet | ||||||
Interest rate caps | Economic | N/A | To protect against changes in income of mortgage assets due to changes in interest rates. |
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Hedging | Derivative Hedging | Purpose of Hedge | ||||
Hedged Item | Classification | Instrument | Transaction | |||
Interest rate floors1 | Economic | N/A | To protect against changes in income of mortgage assets due to changes in interest rates. | |||
Interest rate swaps and swaptions1 | Economic | N/A | To protect against changes in income and market value of capital stock due to changes in interest rates. |
1 | This derivative hedging strategy was not outstanding as of December 31, 2009. | |
2 | When the hedged item is a hybrid instrument with an embedded derivative we may (i) bifurcate the derivative or (ii) elect the fair value option on the entire hedged item; in both cases the resulting instrument is classified as an economic hedge. |
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December 31, 2009 | December 31, 2008 | |||||||||||||||||||||||
Discounted | Discounted | |||||||||||||||||||||||
Value of | Percent of | Value of | Percent of | |||||||||||||||||||||
Discount | Collateral | Total Pledged | Discount | Collateral | Total Pledged | |||||||||||||||||||
Collateral Type | Range | Pledged | Collateral | Range | Pledged | Collateral | ||||||||||||||||||
Residential loans | ||||||||||||||||||||||||
1-4 family | 13-62 | % | $ | 38.7 | 45 | % | 9-46 | % | $ | 36.0 | 41 | % | ||||||||||||
Multi-family | 50-62 | 1.3 | 2 | 33-50 | 1.1 | 1 | ||||||||||||||||||
Other real estate | 20-65 | 22.4 | 26 | 11-60 | 23.8 | 28 | ||||||||||||||||||
Securities/insured loans | ||||||||||||||||||||||||
Cash, agency and RMBS | 0-45 | 16.8 | 19 | 0-46 | 19.0 | 22 | ||||||||||||||||||
CMBS | 11-36 | 4.3 | 5 | 5-29 | 4.6 | 5 | ||||||||||||||||||
Government insured loans | 9-38 | 1.0 | 1 | 17-23 | 0.9 | 1 | ||||||||||||||||||
Secured small business loans and agribusiness loans | 50-76 | 1.8 | 2 | 50-75 | 1.8 | 2 | ||||||||||||||||||
Total | $ | 86.3 | 100 | % | $ | 87.2 | 100 | % | ||||||||||||||||
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2009 | 2008 | |||||||||||||||
Product Type | Dollars | Percent | Dollars | Percent | ||||||||||||
Original MPF | $ | 0.5 | 6.5 | % | $ | 0 | .3 2.8 | % | ||||||||
MPF 100 | 0.1 | 1.3 | 0 | .2 1.9 | ||||||||||||
MPF 125 | 2.4 | 31.2 | 2 | .0 18.7 | ||||||||||||
MPF Plus1 | 4.3 | 55.8 | 7.8 | 72.9 | ||||||||||||
Total conventional loans | 7.3 | 94.8 | 10 | .3 96.3 | ||||||||||||
Government-insured loans | 0.4 | 5.2 | 0.4 | 3.7 | ||||||||||||
Total mortgage loans | $ | 7.7 | 100.0 | % | $ | 10.7 | 100.0 | % | ||||||||
1 | During the second quarter of 2009, we sold $2.1 billion of MPF Plus mortgage loans to the FHLBank of Chicago, who immediately resold these loans to Fannie Mae. |
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• | Homeowner Equity. |
• | Primary Mortgage Insurance.PMI is on all loans with homeowner equity of less than 20 percent of the original purchase price or appraised value. |
• | First Loss Account. The first loss account specifies our loss exposure under each master commitment prior to the PFI’s credit enhancement obligation. If we experience losses in a master commitment, these losses will either be (i) recovered through the recapture of performance based credit enhancement fees from the PFI or (ii) absorbed by us. The first loss account balance for all master commitments is a memorandum account and was $116.4 million and $105.9 million at December 31, 2009 and 2008. |
• | Credit Enhancement Obligation of PFI. PFIs have a credit enhancement obligation to absorb losses in excess of the first loss account in order to limit our loss exposure to that of an investor in an MBS that is rated the equivalent of AA by an NRSRO. PFIs are required to either collateralize their credit enhancement obligation with us or to purchase SMI from a highly rated mortgage insurer. All of our SMI providers have had their external ratings for claims-paying ability or insurer financial strength downgraded below AA. Ratings downgrades imply an increased risk that these SMI providers will be unable to fulfill their obligations to reimburse us for claims under insurance policies. On August 7, 2009, the Finance Agency granted a waiver for one year on the AA rating requirement of SMI providers for existing loans and commitments in the MPF program. Currently, we are evaluating the claims-paying ability of our SMI providers. |
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2009 | 2008 | 2007 | ||||||||||
Balance, beginning of year | $ | 500 | $ | 300 | $ | 250 | ||||||
Charge-offs | (88 | ) | (95 | ) | (19 | ) | ||||||
Provision for credit losses | 1,475 | 295 | 69 | |||||||||
Balance, end of year | $ | 1,887 | $ | 500 | $ | 300 | ||||||
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Unpaid Principal Balance | ||||||||||||
Government- | ||||||||||||
Conventional | Insured | Total | ||||||||||
30 days | $ | 89 | $ | 17 | $ | 106 | ||||||
60 days | 34 | 6 | 40 | |||||||||
90 days | 21 | 3 | 24 | |||||||||
Greater than 90 days | 22 | 2 | 24 | |||||||||
Foreclosures and bankruptcies | 64 | 1 | 65 | |||||||||
Total delinquencies | $ | 230 | $ | 29 | $ | 259 | ||||||
Total mortgage loans outstanding | $ | 7,333 | $ | 380 | $ | 7,713 | ||||||
Delinquencies as a percent of total mortgage loans | 3.1 | % | 7.6 | % | 3.4 | % | ||||||
Delinquencies 90 days and greater plus foreclosures and bankruptcies as a percent of total mortgage loans | 1.5 | % | 1.6 | % | 1.5 | % | ||||||
Unpaid Principal Balance | ||||||||||||
Government- | ||||||||||||
Conventional | Insured | Total | ||||||||||
30 days | $ | 101 | $ | 23 | $ | 124 | ||||||
60 days | 27 | 7 | 34 | |||||||||
90 days | 11 | 3 | 14 | |||||||||
Greater than 90 days | 12 | 3 | 15 | |||||||||
Foreclosures and bankruptcies | 47 | 5 | 52 | |||||||||
Total delinquencies | $ | 198 | $ | 41 | $ | 239 | ||||||
Total mortgage loans outstanding | $ | 10,253 | $ | 423 | $ | 10,676 | ||||||
Delinquencies as a percent of total mortgage loans | 1.9 | % | 9.7 | % | 2.2 | % | ||||||
Delinquencies 90 days and greater plus foreclosures and bankruptcies as a percent of total mortgage loans | 0.7 | % | 2.6 | % | 0.8 | % | ||||||
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State Concentrations | ||||
Minnesota | 18.5 | % | ||
Iowa | 16.8 | % | ||
Missouri | 9.4 | % | ||
California | 6.8 | % | ||
Illinois | 4.7 | % | ||
All others1 | 43.8 | % | ||
Total | 100.0 | % | ||
1 | There are no individual states with a concentration greater than 2.9 percent. |
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Credit Rating | 2009 | 2008 | ||||||
AAA | $ | 31 | $ | 45 | ||||
AA | 2 | 2 | ||||||
Total | $ | 33 | $ | 47 | ||||
Unpaid | Gross | |||||||||||||||||||
Principal | Unrealized | Investment | ||||||||||||||||||
Year of Securitization | Balance | Losses | Fair Value | Grade %1 | Watchlist %2 | |||||||||||||||
2003 and earlier | $ | 35 | $ | 7 | $ | 28 | 100 | % | 0 | % | ||||||||||
1 | Investment grade includes securities that are rated BBB or higher by any NRSRO. | |
2 | Includes any securities placed on negative watch by any NRSRO. |
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December 31, | September 30, | June 30, | March 31, | December 31, | ||||||||||||||||
Year of Securitization | 2009 | 2009 | 2009 | 2009 | 2008 | |||||||||||||||
2003 and earlier | 80 | % | 81 | % | 80 | % | 77 | % | 74 | % | ||||||||||
Portfolio Characteristics | 2009 | |||
Weighted average FICO score at origination1 | 725 | |||
Weighted average loan-to-value at origination | 65 | % | ||
Weighted average original credit enhancement | 4 | % | ||
Weighted average credit enhancement | 9 | % | ||
Weighted average delinquency rate2 | 5 | % |
1 | FICO is a widely used credit industry model developed by Fair, Isaac, and Company, Inc. to assess borrower credit quality with scores ranging from a low of 300 to a high of 850. | |
2 | Represents the delinquency rate on underlying loans that are 60 days or more past due. |
State Concentrations | ||||
Florida | 14.1 | % | ||
California | 13.1 | % | ||
Georgia | 11.9 | % | ||
New York | 9.4 | % | ||
New Jersey | 5.1 | % | ||
All other1 | 46.4 | % | ||
Total | 100.0 | % | ||
1 | There are no individual states with a concentration greater than 4.4 percent. |
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December 31, 2009 | December 31, 2008 | |||||||||||||||
Percent | Percent | |||||||||||||||
of Total | of Total | |||||||||||||||
Credit Rating1 | Amount | Investments | Amount | Investments | ||||||||||||
Long-term | ||||||||||||||||
AAA2 | $ | 16,687 | 80.3 | % | $ | 11,477 | 74.7 | % | ||||||||
AA | 503 | 2.4 | 75 | 0.5 | ||||||||||||
A | 5 | * | — | — | ||||||||||||
BBB | 3 | * | 3 | * | ||||||||||||
Total long-term | 17,198 | 82.7 | 11,555 | 75.2 | ||||||||||||
Short-term | ||||||||||||||||
A-1 or higher/P-1 | 3,310 | 15.9 | 3,480 | 22.6 | ||||||||||||
A-2/P-2 | 278 | 1.4 | 330 | 2.2 | ||||||||||||
Total short-term | 3,588 | 17.3 | 3,810 | 24.8 | ||||||||||||
Unrated3 | 4 | * | 4 | * | ||||||||||||
Total | $ | 20,790 | 100.0 | % | $ | 15,369 | 100.0 | % | ||||||||
1 | Credit rating is the lowest of S&P, Moody’s, and Fitch ratings stated in terms of the S&P equivalent. | |
2 | AAA rated investments include TLGP investments. We categorize these investments as AAA because of the U.S. Government guarantee. | |
3 | Unrated securities represent an equity investment in Small Business Investment Company. | |
* | Amount is less than 0.1 percent. |
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2009 | ||||||||||||||||||||
Total | Value | Exposure | ||||||||||||||||||
Active | Notional | Exposure at | of Collateral | Net of | ||||||||||||||||
Credit Rating1 | Counterparties | Amount2 | Fair Value3 | Pledged | Collateral4 | |||||||||||||||
AAA | 1 | $ | 276 | $ | — | $ | — | $ | — | |||||||||||
AA | 7 | 17,419 | 5 | — | 5 | |||||||||||||||
A | 14 | 29,176 | 9 | 3 | 6 | |||||||||||||||
Total | 22 | $ | 46,871 | $ | 14 | $ | 3 | $ | 11 | |||||||||||
2008 | ||||||||||||||||||||
Total | Value | Exposure | ||||||||||||||||||
Active | Notional | Exposure at | of Collateral | Net of | ||||||||||||||||
Credit Rating1 | Counterparties | Amount2 | Fair Value3 | Pledged | Collateral4 | |||||||||||||||
AAA | 1 | $ | 309 | $ | — | $ | — | $ | — | |||||||||||
AA | 10 | 17,338 | * | — | * | |||||||||||||||
A | 12 | 12,093 | — | — | — | |||||||||||||||
Total | 23 | $ | 29,740 | $ | * | $ | — | $ | * | |||||||||||
1 | Credit rating is the lower of the S&P, Moody’s, and Fitch ratings stated in terms of the S&P equivalent. | |
2 | Notional amounts serve as a factor in determining periodic interest amounts to be received and paid and generally do not represent actual amounts to be exchanged or directly reflect our exposure to counterparty credit risk. | |
3 | For each counterparty, this amount includes derivatives with a net positive market value including the related accrued interest receivable/payable (net). | |
4 | Amount equals total exposure at fair value less value of collateral pledged as determined at the counterparty level. | |
* | Amount is less than one million. |
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Audited Financial Statements | ||||
Report of Independent Auditors dated March 18, 2010 — PricewaterhouseCoopers LLP | ||||
Statements of Condition at December 31, 2009 and 2008 | ||||
Statements of Income for the Years Ended December 31, 2009, 2008, and 2007 | ||||
Statements of Changes in Capital for the Years Ended December 31, 2009, 2008, and 2007 | ||||
Statements of Cash Flows for the Years Ended December 31, 2009, 2008, and 2007 | ||||
Notes to Financial Statements |
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2009 | ||||||||||||||||
December 31, | September 30, | June 30, | March 31, | |||||||||||||
Statements of Condition (Dollars in millions) | ||||||||||||||||
Investments1 | $ | 20,790 | $ | 21,134 | $ | 21,576 | $ | 27,199 | ||||||||
Advances | 35,720 | 36,303 | 37,165 | 37,783 | ||||||||||||
Mortgage loans2 | 7,719 | 7,839 | 8,120 | 10,588 | ||||||||||||
Total assets | 64,657 | 65,426 | 67,032 | 75,931 | ||||||||||||
Consolidated obligations | ||||||||||||||||
Discount notes | 9,417 | 12,874 | 19,967 | 29,095 | ||||||||||||
Bonds | 50,495 | 46,918 | 41,599 | 41,633 | ||||||||||||
Total consolidated obligations3 | 59,912 | 59,792 | 61,566 | 70,728 | ||||||||||||
Mandatorily redeemable capital stock | 8 | 18 | 12 | 11 | ||||||||||||
Capital stock — Class B putable | 2,461 | 2,952 | 2,923 | 2,871 | ||||||||||||
Retained earnings | 484 | 458 | 437 | 368 | ||||||||||||
Accumulated other comprehensive loss | (34 | ) | (24 | ) | (22 | ) | (78 | ) | ||||||||
Total capital | 2,911 | 3,386 | 3,338 | 3,161 |
Three Months Ended | ||||||||||||||||
2009 | ||||||||||||||||
December 31, | September 30, | June 30, | March 31, | |||||||||||||
Statements of Income (Dollars in millions) | ||||||||||||||||
Net interest income4 | $ | 66.9 | $ | 58.1 | $ | 63.1 | $ | 9.3 | ||||||||
Provision for credit losses on mortgage loans | 1.2 | * | 0.3 | — | ||||||||||||
Other income (loss)5 | 6.6 | 1.5 | 51.2 | (3.5 | ) | |||||||||||
Other expense | 17.3 | 11.3 | 12.8 | 11.7 | ||||||||||||
Net income | 40.4 | 35.5 | 75.9 | (5.9 | ) |
1 | Investments include: interest-bearing deposits, securities purchased under agreements to resell, Federal funds sold, trading securities, available-for-sale securities, and held-to-maturity securities. | |
2 | Represents the gross amount of mortgage loans prior to the allowance for credit losses. The allowance for credit losses was $1.9 million, $0.8 million, $0.7 million, and $0.5 million at December 31, 2009, September 30, 2009, June 30, 2009, and March 31, 2009. | |
3 | The par amount of the outstanding consolidated obligations for all 12 FHLBanks was $930.5 billion, $973.6 billion, $1,055.8 billion, and $1,135.4 billion at December 31, 2009, September 30, 2009, June 30, 2009, and March 31, 2009, respectively. | |
4 | Net interest income is before provision for credit losses on mortgage loans. | |
5 | Other income (loss) includes, among other things, net gain (loss) on derivatives and hedging activities, net (loss) gain on extinguishment of debt, net gain on trading securities, and net loss on bonds held at fair value. | |
* | Represents an amount less than $0.1 million. |
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2008 | ||||||||||||||||
December 31, | September 30, | June 30, | March 31, | |||||||||||||
Statements of Condition (Dollars in millions) | ||||||||||||||||
Investments1 | $ | 15,369 | $ | 11,868 | $ | 14,047 | $ | 12,077 | ||||||||
Advances | 41,897 | 63,897 | 46,022 | 47,092 | ||||||||||||
Mortgage loans2 | 10,685 | 10,576 | 10,583 | 10,707 | ||||||||||||
Total assets | 68,129 | 87,069 | 70,838 | 70,082 | ||||||||||||
Consolidated obligations | ||||||||||||||||
Discount notes | 20,061 | 41,753 | 27,714 | 32,365 | ||||||||||||
Bonds | 42,723 | 39,217 | 37,588 | 32,166 | ||||||||||||
Total consolidated obligations3 | 62,784 | 80,970 | 65,302 | 64,531 | ||||||||||||
Mandatorily redeemable capital stock | 11 | 11 | 43 | 43 | ||||||||||||
Capital stock — Class B putable | 2,781 | 3,807 | 3,016 | 3,012 | ||||||||||||
Retained earnings | 382 | 404 | 388 | 367 | ||||||||||||
Accumulated other comprehensive loss | (146 | ) | (106 | ) | (58 | ) | (122 | ) | ||||||||
Total capital | 3,017 | 4,105 | 3,346 | 3,257 |
Three Months Ended | ||||||||||||||||
2008 | ||||||||||||||||
December 31, | September 30, | June 30, | March 31, | |||||||||||||
Statements of Income (Dollars in millions) | ||||||||||||||||
Net interest income4 | $ | 28.2 | $ | 79.7 | $ | 73.0 | $ | 64.7 | ||||||||
Provision for credit losses on mortgage loans | 0.3 | — | — | — | ||||||||||||
Other (loss) income5 | (13.5 | ) | (6.6 | ) | 3.9 | (11.6 | ) | |||||||||
Other expense | 11.3 | 10.8 | 11.6 | 10.4 | ||||||||||||
Net income | 2.3 | 45.8 | 47.9 | 31.4 |
1 | Investments include: interest-bearing deposits, Federal funds sold, trading securities, available-for-sale securities, and held-to-maturity securities. | |
2 | Represents the gross amount of mortgage loans prior to the allowance for credit losses. The allowance for credit losses was $0.5 million at December 31, 2008 and $0.2 million at September 30, 2008, June 30, 2008, and March 31, 2008. | |
3 | The par amount of the outstanding consolidated obligations for all 12 FHLBanks was $1,251.5 billion, $1,327.9 billion, $1,255.5 billion, and $1,220.4 billion at December 31, 2008, September 30, 2008, June 30, 2008, and March 31, 2008, respectively. | |
4 | Net interest income is before provision for credit losses on mortgage loans. | |
5 | Other (loss) income includes net (loss) gain on derivatives and hedging activities. |
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Total | ||||||||
Total | Market | |||||||
Book Value | Value | |||||||
Bank of America Corporation | $ | 758 | $ | 758 | ||||
Bank of the West | 304 | 304 | ||||||
Bank of Nova Scotia | 545 | 545 | ||||||
BBVA | 461 | 461 | ||||||
BNP Paribas | 395 | 395 | ||||||
Citibank, N.A. | 340 | 340 | ||||||
Credit Industriel | 300 | 300 | ||||||
GE Capital Corporation | 1,105 | 1,105 | ||||||
JP Morgan | 656 | 656 | ||||||
Morgan Stanley | 327 | 327 | ||||||
National Bank of Canada | 425 | 425 | ||||||
Nordea Bank | 300 | 300 | ||||||
Northern Trust Company | 550 | 550 | ||||||
Westpac Banking Corporation | 450 | 451 | ||||||
$ | 6,916 | $ | 6,917 | |||||
2009 | 2008 | |||||||
TLGP1 | $ | 3,693 | $ | 2,151 | ||||
Taxable municipal bonds2 | 741 | — | ||||||
Total | $ | 4,434 | $ | 2,151 | ||||
1 | TLGP securities represented corporate debentures of the issuing party that are backed by the full faith and credit of the U.S. Government. | |
2 | Taxable municipal bonds represented investments in U.S. Government subsidized Build America Bonds that provide the bondholder with a higher yield than traditional tax-exempt municipal bonds. |
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Book Value | Yield | |||||||
TLGP | ||||||||
After one but within five years | $ | 3,693 | 0.90 | % | ||||
Taxable municipal bonds | ||||||||
After five but within ten years | 12 | 4.15 | ||||||
After ten years | 729 | 4.98 | ||||||
Total available-for-sale securities | $ | 4,434 | 1.60 | % | ||||
2009 | 2008 | 2007 | ||||||||||
State or local housing agency obligations1 | $ | — | $ | 1 | $ | — | ||||||
TLGP2 | 566 | — | — | |||||||||
Government-sponsored enterprises3 | 7,171 | 3,839 | 3,434 | |||||||||
Total | $ | 7,737 | $ | 3,840 | $ | 3,434 | ||||||
1 | State or local housing agency obligations represented HFA bonds that were purchased by us from housing associates in our district. | |
2 | TLGP securities represented corporate debentures of the issuing party that are backed by the full faith and credit of the U.S. Government. | |
3 | GSE represented Fannie Mae and Freddie Mac MBS and TVA and FFCB bonds. |
Book Value | Yield | |||||||
TLGP | ||||||||
After one but within five years | $ | 566 | 0.62 | % | ||||
Government-sponsored enterprises | ||||||||
After one but within five years | 10 | 3.29 | ||||||
After five but within ten years | 950 | 4.43 | ||||||
After ten years | 6,211 | 0.96 | ||||||
Total available-for-sale securities | $ | 7,737 | 1.36 | % | ||||
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2009 | 2008 | 2007 | ||||||||||
Negotiable certificates of deposit | $ | 450 | $ | — | $ | 100 | ||||||
Government-sponsored enterprises1 | 4,782 | 5,330 | 3,458 | |||||||||
U.S. government agency-guaranteed2 | 43 | 52 | 64 | |||||||||
State or local housing agency obligations3 | 124 | 93 | 74 | |||||||||
TLGP4 | 1 | — | — | |||||||||
Other5 | 75 | 477 | 309 | |||||||||
Total held-to-maturity securities | $ | 5,475 | $ | 5,952 | $ | 4,005 | ||||||
1 | GSE represented Fannie Mae and Freddie Mac MBS and TVA and FFCB bonds. | |
2 | U.S. government agency-guaranteed represented Ginnie Mae securities and SBA Pool Certificates. SBA Pool Certificates represented undivided interests in pools of the guaranteed portions of SBA loans. The SBA’s guarantee of the Pool Certificates is backed by the full faith and credit of the U.S. Government. | |
3 | State or local housing agency obligations represented HFA bonds that were purchased by us from housing associates in our district. | |
4 | TLGP securities represented corporate debentures issued by our members that are backed by the full faith and credit of the U.S. Government. | |
5 | Other represented investments in municipal bonds, Small Business Investment Company, MPF shared funding and private-label MBS. |
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Book Value | Yield | |||||||
Certificates of deposit | ||||||||
Within one year | $ | 450 | 0.70 | % | ||||
Government-sponsored enterprises | ||||||||
After five but within 10 years | 9 | 5.27 | ||||||
After 10 years | 4,773 | 2.93 | ||||||
U.S. government agency-guaranteed | ||||||||
After five but within 10 years | 4 | 1.04 | ||||||
After 10 years | 39 | 0.79 | ||||||
State or local housing agency obligations | ||||||||
After five but within 10 years | 3 | 5.40 | ||||||
After 10 years | 121 | 5.72 | ||||||
TLGP | ||||||||
After one but within five years | 1 | 3.08 | ||||||
Other | ||||||||
Within one year | 3 | 6.58 | ||||||
After five but within 10 years | * | 0.73 | ||||||
After 10 years | 72 | 2.99 | ||||||
Total held-to-maturity securities | $ | 5,475 | 2.80 | % | ||||
* | Amount is less than one million. |
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2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||
Domestic | ||||||||||||||||||||
Advances | $ | 35,720 | $ | 41,897 | $ | 40,412 | $ | 21,855 | $ | 22,283 | ||||||||||
Real estate mortgages | $ | 7,717 | $ | 10,685 | $ | 10,802 | $ | 11,775 | $ | 13,018 | ||||||||||
Nonperforming real estate mortgages1 | $ | 102 | $ | 48 | $ | 27 | $ | 24 | $ | 33 | ||||||||||
Real estate mortgages past due 90 days or more and still accruing interest2 | $ | 5 | $ | 7 | $ | 5 | $ | 6 | $ | 6 | ||||||||||
Nonperforming real estate mortgages | ||||||||||||||||||||
Interest contractually due during the period | $ | 5 | ||||||||||||||||||
Interest actually received during the period | 4 | |||||||||||||||||||
Shortfall | $ | 1 | ||||||||||||||||||
1 | Nonperforming real estate mortgages represent conventional mortgage loans that are 90 days or more past due and have been placed on nonaccrual status. | |
2 | Only government-insured loans continue to accrue after 90 days or more delinquent, because of the i) U.S. government guarantee of the loans and ii) contractual obligation of the loan servicer to repurchase the loan when certain criteria are met. |
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2009 | 2008 | 2007 | 2006 | 2005 | |||||||||||||||||
Balance, beginning of year | $ | 500 | $ | 300 | $ | 250 | $ | 763 | $ | 760 | |||||||||||
Charge-offs | (88 | ) | (95 | ) | (19 | ) | — | — | |||||||||||||
Recoveries | — | — | — | — | 3 | ||||||||||||||||
Net (charge-offs) recoveries | (88 | ) | (95 | ) | (19 | ) | — | 3 | |||||||||||||
Provision for (reversal of) credit losses | 1,475 | 295 | 69 | (513 | ) | — | |||||||||||||||
Balance, end of period | $ | 1,887 | $ | 500 | $ | 300 | $ | 250 | $ | 763 | |||||||||||
Maturity | ||||
Overdrawn demand deposit accounts | $ | * | ||
Within one year | 7,810 | |||
After one but within five years | 16,812 | |||
After five years | 10,410 | |||
Total par value | 35,032 | |||
Hedging fair value adjustments | ||||
Cumulative fair value gain | 590 | |||
Basis adjustments from terminated and ineffective hedges | 98 | |||
Total advances | $ | 35,720 | ||
* | Amount is less than one million. |
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Par amount of advances | ||||
Fixed rate maturity | ||||
Overdrawn demand deposit accounts | $ | * | ||
Within one year | 7,203 | |||
After one year | 17,398 | |||
Variable rate maturity | ||||
Within one year | 607 | |||
After one year | 9,824 | |||
Total | $ | 35,032 | ||
* | Amount is less than one million. |
2009 | 2008 | 2007 | ||||||||||
Discount notes | ||||||||||||
Outstanding at period-end | $ | 9,417 | $ | 20,061 | $ | 21,501 | ||||||
Weighted average rate at period-end | 0.13 | % | 1.83 | % | 4.10 | % | ||||||
Daily average outstanding for the period | $ | 20,736 | $ | 26,543 | $ | 8,597 | ||||||
Weighted average rate for the period | 0.64 | % | 2.32 | % | 4.93 | % | ||||||
Highest outstanding at any month-end | $ | 29,094 | $ | 41,753 | $ | 21,501 |
2009 | 2008 | 2007 | ||||||||||
Return on average assets | 0.21 | % | 0.18 | % | 0.21 | % | ||||||
Return on average equity | 4.46 | % | 3.88 | % | 4.25 | % | ||||||
Average equity to average assets | 4.63 | % | 4.71 | % | 5.04 | % | ||||||
Dividends declared per share in stated period as a percentage of net income per share in stated period | 29.81 | % | 90.77 | % | 86.82 | % |
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Expiration of | ||||||||||||||
Current Term As | ||||||||||||||
Member or | Director as of | Board | ||||||||||||
Director | Age | Independent | Director Since | December 31 | Committees | |||||||||
Michael K. Guttau (chair) | 63 | Member | January 1, 2003 | 2012 | a, c, e, f | |||||||||
Dale E. Oberkfell (vice chair) | 54 | Member | January 1, 2007 | 2013 | a, b, e, g | |||||||||
Johnny A. Danos | 70 | Independent | May 14, 2007 | 2010 | a, b, d, f | |||||||||
Gerald D. Eid | 69 | Independent | January 23, 2004 | 2010 | b, d, f | |||||||||
Michael J. Finley | 54 | Member | January 1, 2005 | 2010 | c, d, g | |||||||||
Van D. Fishback | 63 | Member | January 1, 2009 | 2012 | c, e, f | |||||||||
David R. Frauenshuh | 66 | Independent | January 23, 2004 | 2010 | b, e, g | |||||||||
Chris D. Grimm | 51 | Member | January 1, 2010 | 2013 | c, d, g | |||||||||
Eric A. Hardmeyer | 50 | Member | January 1, 2008 | 2010 | a, b, d, g | |||||||||
Labh S. Hira | 61 | Independent | May 14, 2007 | 2013 | a, c, e, f | |||||||||
John F. Kennedy, Sr. | 54 | Independent | May 14, 2007 | 2012 | b, d, g | |||||||||
Clair J. Lensing | 75 | Member | January 1, 2004 | 2013 | b, d, g | |||||||||
Dennis A. Lind | 59 | Member | January 1, 2006 | 2011 | a, c, e, f | |||||||||
Paula R. Meyer | 55 | Independent | May 14, 2007 | 2012 | a, c, e, g | |||||||||
John H. Robinson | 59 | Independent | May 14, 2007 | 2013 | b, d, f | |||||||||
Joseph C. Stewart III | 40 | Member | January 1, 2008 | 2010 | c, e, f |
a) | Executive and Governance Committee | |
b) | Audit Committee | |
c) | Risk Management Committee | |
d) | Mission, Member, and Housing Committee | |
e) | Finance and Planning Committee | |
f) | Human Resource and Compensation Committee (Compensation Committee) | |
g) | Business Operations and Technology Committee |
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Employee of the | ||||||||
Executive Officer | Age | Position Held | Bank Since | |||||
Richard S. Swanson | 60 | President and CEO | June 1, 2006 | |||||
Edward J. McGreen | 42 | Executive Vice President and Chief Capital Markets Officer (CCMO) | November 8, 2004 | |||||
Steven T. Schuler | 58 | Executive Vice President and CFO | September 18, 2006 | |||||
Dusan Stojanovic | 50 | Executive Vice President and Chief Risk Officer (CRO) | August 17, 2008 | |||||
Michael L. Wilson | 53 | Executive Vice President and Chief Business Officer (CBO) | August 21, 2006 |
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• | The President’s total compensation based on Bank-wide performance, individual performance, and the Committee’s recommendations for his base salary and incentive compensation. |
• | Payouts of incentive awards for all eligible employees upon the Compensation Committee’s review of Bank-wide performance relative to performance goals and targets established under the incentive plans. |
• | Approval of recommendations for base salary and incentive compensation submitted by the President for the other Executives (effective February 2010). |
• | Director compensation, including the annual director fee policy. |
• | Employee compensation and policy issues including the Annual Incentive Plan (AIP), the Long-Term Incentive Plan (LTIP), and other benefits including our retirement plans and non-qualified plans. |
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1. | Part I goals for 2009 were weighted in aggregate at 60 percent of the total AIP award opportunity for each Executive and were based on Bank-wide goals of a net income trigger, profitability measures, business with our members measures, and a risk management measure. |
2. | Part II goals for 2009 were weighted in aggregate at 40 percent of the total AIP award opportunity for each Executive. For the President, Part II goals are established annually by the President and the Board of Directors. For each other Executive, Part II goals are established annually by the Executive and the President. In each case, Part II goals are based upon the strategic imperatives for which a particular Executive is responsible under our strategic business plan. Part II goals are qualitative in nature and their achievement is subjectively determined by the Board of Directors for the President and by the President for the other Executives in determining the payment of awards under the AIP. |
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American Home Mortgage | Aviva Investors | |
Aegon USA Realty Advisors | AIG | |
Allstate Investments, LLC | Allstate Investments, LLC | |
American Capital | Ameriprise Financial, Inc. | |
AXA Investment Managers | B.F. Saul Mortgage | |
Bank of America | BMO Financial Group | |
Babson Capital Management LLC | Bloomberg | |
CIBC World Markets | The CIT Group | |
Citigroup | Carval Investors | |
Discover Financial Group | Fannie Mae | |
Fidelity Investments | Fortis Financial Services LLC | |
Freddie Mac | Fiserv | |
The Hartford | HSBC Global Banking and Markets | |
Harvard Management Company, Inc. | ING Mortgage | |
ING | Invesco Ltd. | |
ING Investment Management | JP Morgan | |
Johnson Financial Group, Inc. | JP Morgan Chase | |
Legg Mason & Co., LLC | LPL Financial Services | |
McGladrey Capital Markets | Metropolitan Life Insurance Company | |
Marshall & Ilsley Corporation | The Northern Trust Corporation | |
Northwestern Mutual Life Insurance | Piper Jaffray | |
Prudential Financial | Saxon Mortgage | |
Schroder Investment Management | Charles Schwab & Co., Inc. | |
SVB Financial Group | State Street Bank & Trust Company | |
TD Securities | TIAA-CREF | |
TD Ameritrade | Universal American Mortgage Co, LLC | |
The Vanguard Group, Inc | Wachovia Corporation | |
Wells Fargo Bank | Western Asset Management Company |
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Threshold | Target | Maximum | ||||||||||||
Incentive | percent of | percent of | percent of | |||||||||||
Executive | Plan | base salary | base salary | base salary | ||||||||||
President | AIP | 25 | % | 37.5 | % | 50 | % | |||||||
LTIP | 12.5 | % | 25 | % | 37.5 | % | ||||||||
CBO, CFO, CCMO | AIP | 20 | % | 30 | % | 40 | % | |||||||
LTIP | 10 | % | 20 | % | 30 | % | ||||||||
CRO | AIP | 20 | % | 25 | % | 30 | % | |||||||
LTIP | 7.5 | % | 15 | % | 22.5 | % |
• | Net Income trigger; |
• | Profitability measured by the spread between adjusted return on capital stock and average 3-month LIBOR for 2009; |
• | Business with our Members measured by member borrowing penetration, member product usage index, business with relatively inactive “core” members, and customer satisfaction; and |
• | Risk Management measured by (i) a finding of no material weaknesses or significant deficiencies for 2009 upon analysis of our internal control over financial reporting and (ii) a determination by our Board concerning the overall quality of our risk management. |
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• | Modifying the definition “Adjusted return on Capital Stock” for the Profitability goal so that it better approximates our core earnings. |
• | Increasing the Threshold/Target/Maximum achievement levels for the Profitability goal from zero/50/100 basis points to 50/250/400 basis points. |
• | Reducing the overall weight on the “Business with Members” goal from 50 percent to 40 percent. |
• | Increasing the overall weight on the “Risk Management” goal from 20 percent to 30 percent. |
• | Simplifying the measurement of the Risk Management goal related to internal controls so that it is determined solely by whether or not we had a significant deficiency or material weakness for fiscal year 2009. The weight on this goal increased from 5 percent to 15 percent. |
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Results | ||||||||||
And | ||||||||||
Achievement | ||||||||||
Bankwide Goals | Weight | Threshold | Target | Maximum | Level | |||||
Net Income Trigger | ||||||||||
GAAP Net Income in Millions of Dollars | NA | $30.0 | NA | NA | $145.9 (Trigger met) | |||||
Profitability (30% Total Weight) | ||||||||||
Spread Between Adjusted Return on Capital Stock and Average 3-month LIBOR for the year | 30% | 0.50% | 2.50% | 4.00% | 5.38% (Maximum) | |||||
Business with Members (40% Total Weight) | ||||||||||
Member Borrowing Penetration | 10% | 73.0% | 76.5% | 80% | 75.4% (Threshold) | |||||
Member Product Usage Index (“Touch Points”) | 10% | 1.50 | 1.60 | 1.70 | 1.66 (Target) | |||||
Business with Relatively Inactive “Core” Members | 10% | 2.3% | 2.4% | 2.6% | 2.73% (Maximum) | |||||
Customer Satisfaction | 10% | At least 85% | At lease 88% | 92% or more | 93% or more | |||||
“satisfied” | “satisfied” | “satisfied” | “satisfied” with | |||||||
with 71% or more | 68% or more | |||||||||
“very satisfied” | “very satisfied” | |||||||||
(Target) | ||||||||||
Risk Management (30% Total Weight) | ||||||||||
SOX 404 Status: No Material Weaknesses or Significant Deficiencies for fiscal year 2009 | 15% | If there is no material weakness or significant deficiency, payout on this goal will be at “target”, otherwise there will be no payout on this goal. | Target | |||||||
Overall Quality of Risk Management | 15% | As Determined by the Board of Director’s | Target | |||||||
Risk Management Committee |
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1. | Deliver Member Value | ||
2. | Seek and Sustain Operational Excellence | ||
3. | Manage Risk Prudently in a Dynamic, Volatile Market | ||
4. | Ensure a Sustainable Business Model | ||
5. | Lead Effectively and Communicate Strategically Within the Bank and the FHLBank System |
Percent of Base | ||||||||
Title | AIP Award | Salary | ||||||
President | $ | 255,348 | 43.7 | % | ||||
CBO | $ | 133,275 | 34.2 | % | ||||
CRO | $ | 65,488 | 27.3 | % | ||||
CFO | $ | 99,327 | 33.8 | % | ||||
CCMO | $ | 154,512 | 1 | 52.6 | % |
1 | Includes an additional $50,000 discretionary award described as follows. |
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• | $50 thousand payable as an addition to the regular AIP award for 2009; and |
• | $50 thousand deferred for three years and payable in March 2012 in accordance with the 2009 LTIP Plan Document. |
Percent of Base | ||||||||
Title | LTIP Award | Salary | ||||||
President | $ | 185,256 | 31.7 | % | ||||
CBO | $ | 92,195 | 23.6 | % | ||||
CRO | $ | 35,059 | 14.6 | % | ||||
CFO | $ | 68,740 | 23.4 | % | ||||
CCMO | $ | 122,220 | 1 | 41.6 | % |
1 | Includes the additional $50,000 discretionary award deferred for three years as previously discussed. |
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John H. Robinson, Vice Chair
Johnny A. Danos
Gerald D. Eid
Van D. Fishback
Michael K. Guttau
Labh S. Hira, Ph.D.
Joseph C. Stewart III
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Summary Compensation Table | ||||||||||||||||||||||||||||
Changes in | ||||||||||||||||||||||||||||
Pension Value | ||||||||||||||||||||||||||||
and | ||||||||||||||||||||||||||||
Nonqualified | ||||||||||||||||||||||||||||
Non-Equity | Deferred | |||||||||||||||||||||||||||
Name and Principal | Incentive Plan | Compensation | All Other | |||||||||||||||||||||||||
Position | Year | Salary | Bonus | Compensation1 | Earnings2 | Compensation1 | Total | |||||||||||||||||||||
Richard S. Swanson, | 2009 | $ | 584,100 | — | $ | 440,604 | $ | 234,000 | $ | 46,624 | $ | 1,305,328 | ||||||||||||||||
President and Chief | 2008 | $ | 584,100 | — | $ | 416,172 | $ | 182,000 | $ | 41,627 | $ | 1,223,899 | ||||||||||||||||
Executive Officer | 2007 | $ | 561,600 | — | $ | 278,460 | $ | 69,000 | $ | 227,638 | $ | 1,136,698 | ||||||||||||||||
Steven T. Schuler, | 2009 | $ | 294,100 | 4 | — | $ | 168,067 | $ | 102,000 | $ | 14,763 | $ | 578,930 | |||||||||||||||
Chief Financial | 2008 | $ | 285,933 | — | $ | 167,049 | $ | 68,000 | $ | 11,825 | $ | 532,807 | ||||||||||||||||
Officer | 2007 | $ | 244,250 | — | $ | 97,223 | $ | 10,000 | $ | 3,913 | $ | 355,386 | ||||||||||||||||
Edward J. McGreen, | 2009 | $ | 293,900 | 4 | — | $ | 276,732 | $ | 64,000 | $ | 23,231 | $ | 657,863 | |||||||||||||||
Chief Capital | 2008 | $ | 292,017 | — | $ | 166,935 | $ | 38,000 | $ | 18,008 | $ | 514,960 | ||||||||||||||||
Markets Officer | 2007 | $ | 281,467 | $ | 3,978 | $ | 100,794 | $ | 18,000 | $ | 9,151 | $ | 413,390 | |||||||||||||||
Dusan Stojanovic, | 2009 | $ | 220,667 | — | $ | 100,547 | $ | 26,000 | $ | 35,587 | $ | 382,801 | ||||||||||||||||
Chief Risk Officer3 | ||||||||||||||||||||||||||||
Michael L. Wilson, | 2009 | $ | 390,000 | — | $ | 225,470 | $ | 213,000 | $ | 31,397 | $ | 859,867 | ||||||||||||||||
Chief Business | 2008 | $ | 390,000 | — | $ | 223,080 | $ | 126,000 | $ | 32,105 | $ | 771,185 | ||||||||||||||||
Officer | 2007 | $ | 375,000 | — | $ | 148,750 | $ | 72,000 | $ | 93,870 | $ | 689,620 | ||||||||||||||||
Nicholas J. Spaeth, | 2009 | $ | 171,600 | — | — | $ | 14,000 | $ | 269,298 | $ | 454,898 | |||||||||||||||||
Former General | 2008 | $ | 343,200 | — | $ | 192,878 | $ | 53,000 | $ | 12,591 | $ | 601,669 | ||||||||||||||||
Counsel and Chief | 2007 | $ | 220,000 | $ | 66,000 | $ | 12,467 | — | $ | 12,793 | $ | 311,260 | ||||||||||||||||
Risk Officer |
1 | The components of these columns for 2009 are provided in the tables that follow. | |
2 | Represents change in value of pension benefits only. All returns on non-qualified deferred compensation are at the market rate. | |
3 | Mr. Stojanovic was promoted to the position of Chief Risk Officer on July 1, 2009 with an annual salary of $240,000 as of that date. Previously he served as the Bank’s Financial Risk Officer. | |
4 | While the Executives received no salary increases in 2009, the increase shown in salary from 2008 to 2009 reflects the 2008 merit increase which was effective March 1, 2008 through March 1, 2009. |
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Annual Incentive | Long Term | |||||||
Name | Plan | Incentive Plan | ||||||
Richard Swanson | $ | 255,348 | $ | 185,256 | ||||
Steven Schuler | $ | 99,327 | $ | 68,740 | ||||
Edward McGreen | $ | 154,512 | 1 | $ | 122,220 | 2 | ||
Dusan Stojanovic | $ | 65,488 | $ | 35,059 | ||||
Michael Wilson | $ | 133,275 | $ | 92,195 |
1 | Includes the additional $50,000 discretionary award under the AIP as previously discussed. | |
2 | Includes the additional $50,000 discretionary award deferred for three years as previously discussed. |
Bank Contributions | ||||||||||||||||||||||||
to Vested | ||||||||||||||||||||||||
Defined Contribution Plans | ||||||||||||||||||||||||
Non-qualified | ||||||||||||||||||||||||
Deferred | ||||||||||||||||||||||||
401(k)/Thrift | Compensation | Car | Financial | Relocation | Release | |||||||||||||||||||
Name | Plan | Plan (BEP) | Allowance | Planning | Assistance | Consideration | ||||||||||||||||||
Richard Swanson | $ | 7,593 | $ | 26,531 | $ | 9,000 | $ | 3,500 | $ | — | $ | — | ||||||||||||
Steven Schuler | $ | 8,346 | $ | 6,417 | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Edward McGreen | $ | 11,247 | $ | 11,984 | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Dusan Stojanovic | $ | — | $ | 982 | $ | — | $ | — | $ | 34,605 | $ | — | ||||||||||||
Michael Wilson | $ | 14,309 | $ | 17,088 | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Nicholas Spaeth | $ | 4,839 | $ | 309 | $ | — | $ | 1,750 | $ | — | $ | 262,400 | 1 |
1 | Includes $257,400 in cash and $5,000 in out-placement services. |
2009 Grants of Plan-Based Awards | ||||||||||||||
Estimated Potential Payouts Under | ||||||||||||||
Non-Equity Incentive Plan | ||||||||||||||
Name | Plan | Threshold | Target | Maximum | ||||||||||
Richard S. Swanson | AIP | $ | 146,025 | $ | 219,038 | $ | 292,050 | |||||||
LTIP | $ | 73,013 | $ | 146,025 | $ | 219,038 | ||||||||
Steven T. Schuler | AIP | $ | 58,820 | $ | 88,230 | $ | 117,640 | |||||||
LTIP | $ | 29,410 | $ | 58,820 | $ | 88,230 | ||||||||
Edward J. McGreen | AIP | $ | 58,780 | $ | 88,170 | $ | 117,560 | |||||||
LTIP | $ | 29,390 | $ | 58,780 | $ | 88,170 | ||||||||
Dusan Stojanovic | AIP | $ | 48,000 | $ | 60,000 | $ | 72,000 | |||||||
LTIP | $ | 15,000 | $ | 30,000 | $ | 45,000 | ||||||||
Michael L. Wilson | AIP | $ | 78,000 | $ | 117,000 | $ | 156,000 | |||||||
LTIP | $ | 39,000 | $ | 78,000 | $ | 117,000 |
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2009 Pension Table | ||||||||||
Present Value of | ||||||||||
Number of Years | Accumulated | |||||||||
Name | Plan Name | of Credited Service | Benefit1 | |||||||
Richard S. Swanson | Pentegra DB Plan | 2.58 yrs | $ | 136,000 | ||||||
BEP DB Plan | 2.58 yrs | $ | 349,000 | |||||||
Steven T. Schuler | Pentegra DB | 2.25 yrs | $ | 111,000 | ||||||
BEP DB Plan | 2.25 yrs | $ | 69,000 | |||||||
Edward J. McGreen | Pentegra DB | 4.08 yrs | $ | 82,000 | ||||||
BEP DB Plan | 4.08 yrs | $ | 57,000 | |||||||
Michael L. Wilson | Pentegra DB | 14.92 yrs | 1 | $ | 468,000 | |||||
BEP DB Plan | 3.33 yrs | $ | 150,000 | |||||||
Dusan Stojanovic | Pentegra DB | 0.75 yrs | $ | 24,000 | ||||||
BEP DB Plan | 0.75 yrs | $ | 2,000 | |||||||
Nicholas Spaeth | Pentegra DB | 1.20 yrs | $ | — | ||||||
BEP DB Plan | 1.20 yrs | $ | 67,000 |
1 | Mr. Wilson has 3.33 years of credited service with the Bank and 11.59 years of prior service credit with the FHLBank of Boston under the Pentegra DB Plan. |
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2009 Non-Qualified Deferred Compensation Table | ||||||||||||||||
Executive | Registrant | Aggregate | Aggregate | |||||||||||||
Contributions | Contributions | Earnings | Balance | |||||||||||||
Name | In Last FY1 | In Last FY2 | In Last FY | At Last FY | ||||||||||||
Richard S. Swanson | $ | 170,119 | $ | 23,145 | $ | 783 | $ | 358,743 | ||||||||
Steven T. Schuler | $ | 40,233 | $ | 5,194 | $ | 20,955 | $ | 99,269 | ||||||||
Edward J. McGreen | $ | 71,712 | $ | 7,580 | $ | 93,222 | $ | 392,934 | ||||||||
Dusan Stojanovic | $ | — | $ | — | $ | — | $ | — | ||||||||
Michael L. Wilson | $ | 36,005 | $ | 17,797 | $ | 25,800 | $ | 137,913 | ||||||||
Nicholas Spaeth | $ | 72,415 | $ | 4,036 | $ | 57,318 | $ | 247,469 |
1 | These amounts are included in the Salary column of the “Summary Compensation Table” in this Item 11. | |
2 | These amounts are included in the All Other Compensation column of the “Summary Compensation Table” in this Item 11. |
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• | Base Salary through the date of termination |
• | Accrued but unpaid AIP for any year prior to the year of termination |
• | Accrued vacation through the date of termination |
• | All other vested benefits under the terms of our employee benefit plans, subject to the terms of such plans. |
• | One times the Executive’s target AIP award in effect for the calendar year in which the date of termination occurs. |
• | The AIP award for the calendar year in which the date of termination occurs and prorated for the portion of the calendar year in which the Executive was employed. |
• | The unpaid LTIP award for any Performance Period (as such term is defined under our LTIP) ending prior to the year in which the date of termination occurs. |
• | A pro-rated LTIP award for any LTIP awards for which the Performance Period has not ended as of the date of termination. |
• | COBRA-like benefits, provided that we will continue paying our portion of the medical and/or dental insurance premiums for the Executive for the one year period following the date of termination. |
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2009 | ||||
Chair | $ | 60,000 | ||
Vice Chair | $ | 55,000 | ||
Audit Committee Chair | $ | 55,000 | ||
Committee Chairs | $ | 50,000 | ||
Other Directors | $ | 45,000 |
2010 | ||||
Chairperson | $ | 60,000 | ||
Vice Chairperson | $ | 55,000 | ||
Audit Committee Chair | $ | 55,000 | ||
Committee Chairs | $ | 50,000 | ||
Other Directors | $ | 45,000 |
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2009 Director Compensation | ||||
Fees earned or | ||||
Name | paid in cash | |||
Michael J. Guttau, Chair | $ | 60,000 | ||
Dale E. Oberkfell, Vice Chair | $ | 55,000 | ||
Johnny A. Danos | $ | 45,000 | ||
Gerald D. Eid | $ | 45,000 | ||
Michael J. Finley | $ | 45,000 | ||
Van Dusen Fishback | $ | 45,000 | ||
David R. Frauenshuh | $ | 45,000 | ||
Eric Hardmeyer | $ | 55,000 | ||
Labh S. Hira | $ | 45,000 | ||
John F. Kennedy Sr. | $ | 45,000 | ||
D.R. Landwehr | $ | 45,000 | ||
Clair J. Lensing | $ | 45,000 | ||
Dennis A. Lind | $ | 50,000 | ||
Paula R. Meyer | $ | 50,000 | ||
John H. Robinson | $ | 45,000 | ||
Lynn V. Schneider | $ | 50,000 | ||
Joseph C. Stewart III | $ | 45,000 |
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Shares of | ||||||||||||||
Capital | ||||||||||||||
Stock | Percent of | |||||||||||||
Owned at | Total | |||||||||||||
February | Capital | |||||||||||||
Name | Address | City | State | 28, 2010 | Stock | |||||||||
Transamerica Life Insurance Company1 | 4333 Edgewood Rd NE | Cedar Rapids | IA | 2,525 | 10.6 | % | ||||||||
Superior Guaranty Insurance Company2 | 90 S 7th St. | Minneapolis | MN | 2,357 | 9.9 | |||||||||
Aviva Life and Annuity Company | 699 Walnut St. Ste 1700 | Des Moines | IA | 1,404 | 5.9 | |||||||||
TCF National Bank | 2508 S Louise Ave | Sioux Falls | SD | 1,258 | 5.3 | |||||||||
Wells Fargo Bank, N.A.2 | 101 N Phillips Ave | Sioux Falls | SD | 412 | 1.7 | |||||||||
Monumental Life Insurance Company1 | 4333 Edgewood Rd NE | Cedar Rapids | IA | 278 | 1.1 | |||||||||
8,234 | 34.5 | |||||||||||||
All others | 15,650 | 65.5 | ||||||||||||
Total capital stock | 23,884 | 100.0 | % | |||||||||||
1 | Monumental Life Insurance Company is an affiliate of Transamerica Life Insurance Company. | |
2 | Superior Guaranty Insurance Company is an affiliate of Wells Fargo Bank, N.A. |
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Shares of | ||||||||||||||
Capital | ||||||||||||||
Stock | Percent of | |||||||||||||
Owned at | Total | |||||||||||||
February | Capital | |||||||||||||
Name | Address | City | State | 28, 2010 | Stock | |||||||||
Bank of North Dakota | 1200 Memorial Hwy | Bismarck | ND | 222 | 0.93 | % | ||||||||
Reliance Bank | 11781 Manchester Rd | Des Peres | MO | 62 | 0.26 | |||||||||
First Bank & Trust | 520 6th St. | Brookings | SD | 49 | 0.21 | |||||||||
Treynor State Bank | 15 E Main St. | Treynor | IA | 18 | 0.08 | |||||||||
First Bank & Trust, N.A. | 101 2nd St. NW | Pipestone | MN | 12 | 0.06 | |||||||||
Iowa State Bank | 409 Hwy 615 | Wapello | IA | 12 | 0.06 | |||||||||
Midwest Bank | 613 Hwy 10 E | Detroit Lakes | MN | 11 | 0.05 | |||||||||
First Bank & Trust | 110 N Minnesota Ave | Sioux Falls | SD | 9 | 0.05 | |||||||||
Security State Bank | 933 16th St. SW | Waverly | IA | 5 | 0.02 | |||||||||
First Bank & Trust of Milbank | 215 W 4th Ave | Milbank | SD | 5 | 0.02 | |||||||||
Janesville State Bank | 210 N Main St. | Janesville | MN | 3 | 0.01 | |||||||||
Maynard Savings Bank | 310 Main St. W | Maynard | IA | 2 | 0.01 | |||||||||
Bank Star of the LeadBelt | 365 W Main St. | Park Hills | MO | 2 | 0.01 | |||||||||
Bank Star One | 118 W 5th St. | Fulton | MO | 2 | 0.01 | |||||||||
Citizens Savings Bank | 133 E Main St. | Hawkeye | IA | 2 | 0.01 | |||||||||
First Bank of White | 301 W Main St. | White | SD | 2 | 0.01 | |||||||||
Bank Star of the BootHeel | 100 S Walnut St. | Steele | MO | 1 | * | |||||||||
Bank Star | 1999 W Osage | Pacific | MO | 1 | * | |||||||||
Van Tol Surety Company, Inc. | 520 6th St. | Brookings | SD | 1 | * | |||||||||
421 | 1.80 | |||||||||||||
All others | 23,463 | 98.20 | ||||||||||||
Total capital stock | 23,884 | 100.0 | % | |||||||||||
* | Amount is less than 0.01 percent. |
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2009 | 2008 | |||||||
Audit fees1 | $ | 0.6 | $ | 0.9 | ||||
Audit-related fees2 | 0.1 | 0.1 | ||||||
All other fees | — | — | ||||||
Tax fees3 | — | — | ||||||
Total | $ | 0.7 | $ | 1.0 | ||||
1 | Audit fees consist of fees incurred in connection with the integrated audit of our financial statements, review of quarterly or annual management’s discussion and analysis, and participation and review of financial information filed with the SEC. We paid assessments to the Office of Finance of $60,000 and $29,000 for audit fees on the OF Combined Financial report for the years ended December 31, 2009 and 2008. | |
2 | Audit-related fees consist of fees related to other audit and attest services and technical accounting consultation. | |
3 | The Bank is exempt from all federal, state, and local taxation except for real property taxes. Therefore, no fees were paid to PwC during 2009 or 2008. |
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3.1 | Organization Certificate of the Federal Home Loan Bank of Des Moines dated October 13, 1932.* | |||
3.2 | Bylaws of the Federal Home Loan Bank of Des Moines as amended and restated effective February 26, 2009 incorporated by reference to the exhibit to our Form 8-K filed with the SEC on March 2, 2009. | |||
4.1 | Federal Home Loan Bank of Des Moines Capital Plan, as amended, dated March 21, 2009, approved by the Federal Housing Finance Agency on March 6, 2009, incorporated by reference to the exhibit to our Form 8-K/A filed with the SEC on March 31, 2009. | |||
10.1 | Federal Home Loan Bank of Des Moines Third Amended and Restated Benefit Equalization Plan effective January 1, 2009.** | |||
10.2 | Federal Home Loan Bank of Des Moines Pentegra Defined Benefit Plan for Financial Institutions effective January 1, 2009.** | |||
10.3 | Federal Home Loan Bank of Des Moines Pentegra Defined Contribution Plan for Financial Institutions effective January 1, 2009.** | |||
10.4 | U.S. Department of Treasury Lending Agreement incorporated by reference to the exhibit to our Form 8-K filed with the SEC on September 9, 2008. | |||
10.5 | Director Fee Policy approved by the Board of Directors on February 18, 2010. | |||
10.6 | Federal Home Loan Bank of Des Moines Long-Term Incentive Plan Document effective January 1, 2008, incorporated by reference to the correspondingly numbered exhibit to our Form 10-Q/A filed with the SEC on January 12, 2009. | |||
10.7 | Federal Home Loan Bank Annual Incentive Plan Document effective October 8, 2009. | |||
12.1 | Computation of Ratio of Earnings to Fixed Charges. |
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31.1 | Certification of the president and chief executive officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. | |||
31.2 | Certification of the executive vice president and chief financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. | |||
32.1 | Certification of the president and chief executive officer pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. | |||
32.2 | Certification of the executive vice president and chief financial officer pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. |
* | Incorporated by reference to the correspondingly numbered exhibit to our Registration Statement on Form 10 filed with the SEC on May 12, 2006. | |
** | Incorporated by reference to the exhibits to our annual report on Form 10-K filed with the SEC on March 13, 2009 |
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FEDERAL HOME LOAN BANK OF DES MOINES (Registrant) | ||||
By: | /s/ Richard S. Swanson | |||
Richard S. Swanson | ||||
President and Chief Executive Officer |
Signature | Title | |
Chief Executive Officer: | ||
/s/ Richard S. Swanson | President & Chief Executive Officer | |
Chief Financial Officer: | ||
/s/ Steven T. Schuler | Executive Vice President & Chief Financial Officer | |
Directors: | ||
/s/ Michael K. Guttau | Chairman of the Board of Directors | |
/s/ Dale E. Oberkfell | Vice Chairman of the Board of Directors | |
/s/ Johnny A. Danos | Director | |
/s/ Gerald D. Eid | Director | |
/s/ Michael J. Finley | Director | |
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Signature | Title | |
/s/ Van D. Fishback | Director | |
/s/ David R. Frauenshuh | Director | |
/s/ Chris D. Grimm | Director | |
/s/ Eric A. Hardmeyer | Director | |
/s/ Labh S. Hira | Director | |
/s/ John F. Kennedy, Sr. | Director | |
/s/ Clair J. Lensing | Director | |
/s/ Dennis A. Lind | Director | |
/s/ Paula R. Meyer | Director | |
/s/ John H. Robinson | Director | |
/s/ Joseph C. Stewart III | Director | |
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S-2 | ||||
S-3 | ||||
S-4 | ||||
S-5 | ||||
S-8 | ||||
S-10 |
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Federal Home Loan Bank of Des Moines:
March 18, 2010
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December 31, | ||||||||
2009 | 2008 | |||||||
ASSETS | ||||||||
Cash and due from banks (Note 3) | $ | 298,841 | $ | 44,368 | ||||
Interest-bearing deposits | 10,570 | 152 | ||||||
Federal funds sold | 3,133,000 | 3,425,000 | ||||||
Investments | ||||||||
Trading securities (Note 4) | 4,434,522 | 2,151,485 | ||||||
Available-for-sale securities (Note 5) | 7,737,413 | 3,839,980 | ||||||
Held-to-maturity securities (estimated fair value of $5,535,975 and $5,917,288 at December 31, 2009 and 2008) (Note 6) | 5,474,664 | 5,952,008 | ||||||
Advances (Note 8) | 35,720,398 | 41,897,479 | ||||||
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans of $1,887 and $500 at December 31, 2009 and 2008 (Note 9) | 7,716,549 | 10,684,910 | ||||||
Accrued interest receivable | 81,703 | 92,620 | ||||||
Premises, software, and equipment, net | 9,062 | 8,550 | ||||||
Derivative assets (Note 10) | 11,012 | 2,840 | ||||||
Other assets | 28,939 | 29,915 | ||||||
Total assets | $ | 64,656,673 | $ | 68,129,307 | ||||
LIABILITIES AND CAPITAL | ||||||||
LIABILITIES | ||||||||
Deposits (Note 11) | ||||||||
Interest-bearing | $ | 1,144,225 | $ | 1,389,642 | ||||
Non-interest-bearing demand | 80,966 | 106,828 | ||||||
Total deposits | 1,225,191 | 1,496,470 | ||||||
Consolidated obligations (Note 12) | ||||||||
Discount notes | 9,417,182 | 20,061,271 | ||||||
Bonds (includes $5,997,867 at fair value under the fair value option at December 31, 2009) | 50,494,474 | 42,722,473 | ||||||
Total consolidated obligations | 59,911,656 | 62,783,744 | ||||||
Mandatorily redeemable capital stock (Note 15) | 8,346 | 10,907 | ||||||
Accrued interest payable | 243,693 | 320,271 | ||||||
Affordable Housing Program (AHP) Payable (Note 13) | 40,479 | 39,715 | ||||||
Payable to REFCORP (Note 14) | 10,124 | 557 | ||||||
Derivative liabilities (Note 10) | 280,384 | 435,015 | ||||||
Other liabilities | 26,245 | 25,261 | ||||||
Total liabilities | 61,746,118 | 65,111,940 | ||||||
Commitments and contingencies (Note 19) | ||||||||
CAPITAL (Note 15) | ||||||||
Capital stock — Class B putable ($100 par value) authorized, issued, and outstanding 24,604,186 and 27,809,271 shares at December 31, 2009 and 2008 | 2,460,419 | 2,780,927 | ||||||
Retained earnings | 484,071 | 381,973 | ||||||
Accumulated other comprehensive loss | ||||||||
Net unrealized loss on available-for-sale securities (Note 5) | (32,533 | ) | (144,271 | ) | ||||
Pension and postretirement benefits (Note 16) | (1,402 | ) | (1,262 | ) | ||||
Total capital | 2,910,555 | 3,017,367 | ||||||
Total liabilities and capital | $ | 64,656,673 | $ | 68,129,307 | ||||
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For the Years Ended December 31, | ||||||||||||
2009 | 2008 | 2007 | ||||||||||
INTEREST INCOME | ||||||||||||
Advances | $ | 657,913 | $ | 1,417,661 | $ | 1,312,133 | ||||||
Prepayment fees on advances, net | 10,270 | 943 | 1,527 | |||||||||
Interest-bearing deposits | 422 | 107 | 401 | |||||||||
Securities purchased under agreements to resell | 1,855 | — | 11,904 | |||||||||
Federal funds sold | 17,369 | 72,044 | 188,668 | |||||||||
Investments | ||||||||||||
Trading securities | 66,350 | 1,052 | — | |||||||||
Available-for-sale securities | 61,943 | 133,443 | 111,548 | |||||||||
Held-to-maturity securities | 173,954 | 209,407 | 272,996 | |||||||||
Mortgage loans | 443,581 | 533,648 | 561,660 | |||||||||
Loans to other FHLBanks | — | 93 | — | |||||||||
Total interest income | 1,433,657 | 2,368,398 | 2,460,837 | |||||||||
INTEREST EXPENSE | ||||||||||||
Consolidated obligations | ||||||||||||
Discount notes | 132,171 | 616,394 | 424,052 | |||||||||
Bonds | 1,101,358 | 1,481,232 | 1,786,215 | |||||||||
Deposits | 2,389 | 22,181 | 51,363 | |||||||||
Borrowings from other FHLBanks | 21 | 26 | 119 | |||||||||
Securities sold under agreements to repurchase | — | 1,961 | 25,045 | |||||||||
Mandatorily redeemable capital stock | 283 | 1,029 | 2,902 | |||||||||
Total interest expense | 1,236,222 | 2,122,823 | 2,289,696 | |||||||||
NET INTEREST INCOME | 197,435 | 245,575 | 171,141 | |||||||||
Provision for credit losses on mortgage loans | 1,475 | 295 | 69 | |||||||||
NET INTEREST INCOME AFTER PROVISION FOR CREDIT LOSSES | 195,960 | 245,280 | 171,072 | |||||||||
OTHER INCOME (LOSS) | ||||||||||||
Service fees | 2,081 | 2,341 | 2,217 | |||||||||
Net gain on trading securities | 19,040 | 1,485 | — | |||||||||
Net realized loss on sale of available-for-sale securities | (10,912 | ) | — | — | ||||||||
Net realized gain on sale of held-to-maturity securities | — | 1,787 | 545 | |||||||||
Net loss on bonds held at fair value | (4,394 | ) | — | — | ||||||||
Net gain on loans held for sale | 1,342 | — | — | |||||||||
Net gain (loss) on derivatives and hedging activities | 133,779 | (33,175 | ) | 4,491 | ||||||||
Net (loss) gain on extinguishment of debt | (89,859 | ) | 698 | — | ||||||||
Other, net | 4,708 | (975 | ) | 3,080 | ||||||||
Total other income (loss) | 55,785 | (27,839 | ) | 10,333 | ||||||||
OTHER EXPENSE | ||||||||||||
Compensation and benefits | 31,857 | 26,274 | 24,828 | |||||||||
Operating | 16,586 | 14,118 | 14,589 | |||||||||
Federal Housing Finance Agency | 2,414 | 1,852 | 1,561 | |||||||||
Office of Finance | 2,203 | 1,843 | 1,476 | |||||||||
Total other expense | 53,060 | 44,087 | 42,454 | |||||||||
INCOME BEFORE ASSESSMENTS | 198,685 | 173,354 | 138,951 | |||||||||
AHP | 16,248 | 14,168 | 12,094 | |||||||||
REFCORP | 36,488 | 31,820 | 25,462 | |||||||||
Total assessments | 52,736 | 45,988 | 37,556 | |||||||||
NET INCOME | $ | 145,949 | $ | 127,366 | $ | 101,395 | ||||||
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Accumulated | ||||||||||||||||||||
Capital Stock | Other | |||||||||||||||||||
Class B (putable) | Retained | Comprehensive | Total | |||||||||||||||||
Shares | Par Value | Earnings | Loss | Capital | ||||||||||||||||
BALANCE DECEMBER 31, 2008 | 27,809 | $ | 2,780,927 | $ | 381,973 | $ | (145,533 | ) | $ | 3,017,367 | ||||||||||
Proceeds from issuance of capital stock | 2,687 | 268,708 | — | — | 268,708 | |||||||||||||||
Repurchase/redemption of capital stock | (5,700 | ) | (570,046 | ) | — | — | (570,046 | ) | ||||||||||||
Net shares reclassified to mandatorily redeemable capital stock | (192 | ) | (19,170 | ) | — | — | (19,170 | ) | ||||||||||||
Comprehensive income: | ||||||||||||||||||||
Net income | — | — | 145,949 | — | 145,949 | |||||||||||||||
Other comprehensive income: | ||||||||||||||||||||
Net unrealized gain on available-for-sale securities | — | — | — | 176,698 | 176,698 | |||||||||||||||
Reclassification adjustment for gains included in net income relating to sale of available-for-sale securities | — | — | — | (64,960 | ) | (64,960 | ) | |||||||||||||
Pension and postretirement benefits | — | — | — | (140 | ) | (140 | ) | |||||||||||||
Total comprehensive income | 257,547 | |||||||||||||||||||
Cash dividends on capital stock (1.50% annualized) | — | — | (43,851 | ) | — | (43,851 | ) | |||||||||||||
BALANCE DECEMBER 31, 2009 | 24,604 | $ | 2,460,419 | $ | 484,071 | $ | (33,935 | ) | $ | 2,910,555 | ||||||||||
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STATEMENT OF CHANGES IN CAPITAL
(In thousands)
Accumulated | ||||||||||||||||||||
Capital Stock | Other | |||||||||||||||||||
Class B (putable) | Retained | Comprehensive | Total | |||||||||||||||||
Shares | Par Value | Earnings | Loss | Capital | ||||||||||||||||
BALANCE DECEMBER 31, 2007 | 27,173 | $ | 2,717,247 | $ | 361,347 | $ | (26,371 | ) | $ | 3,052,223 | ||||||||||
Proceeds from issuance of capital stock | 55,797 | 5,579,766 | — | — | 5,579,766 | |||||||||||||||
Repurchase/redemption of capital stock | (55,132 | ) | (5,513,225 | ) | — | — | (5,513,225 | ) | ||||||||||||
Net shares reclassified to mandatorily redeemable capital stock | (29 | ) | (2,861 | ) | — | — | (2,861 | ) | ||||||||||||
Comprehensive income: | ||||||||||||||||||||
Net income | — | — | 127,366 | — | 127,366 | |||||||||||||||
Other comprehensive loss: | ||||||||||||||||||||
Net unrealized loss on available-for-sale securities | — | — | — | (118,804 | ) | (118,804 | ) | |||||||||||||
Pension and postretirement benefits | — | — | — | (358 | ) | (358 | ) | |||||||||||||
Total comprehensive income | 8,204 | |||||||||||||||||||
Cash dividends on capital stock (3.87% annualized) | — | — | (106,740 | ) | — | (106,740 | ) | |||||||||||||
BALANCE DECEMBER 31, 2008 | 27,809 | $ | 2,780,927 | $ | 381,973 | $ | (145,533 | ) | $ | 3,017,367 | ||||||||||
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STATEMENT OF CHANGES IN CAPITAL
(In thousands)
Accumulated | ||||||||||||||||||||
Capital Stock | Other | |||||||||||||||||||
Class B (putable) | Retained | Comprehensive | Total | |||||||||||||||||
Shares | Par Value | Earnings | Loss | Capital | ||||||||||||||||
BALANCE DECEMBER 31, 2006 | 19,059 | $ | 1,905,878 | $ | 344,246 | $ | (1,153 | ) | $ | 2,248,971 | ||||||||||
Proceeds from issuance of capital stock | 20,047 | 2,004,664 | — | — | 2,004,664 | |||||||||||||||
Repurchase/redemption of capital stock | (12,111 | ) | (1,211,081 | ) | — | — | (1,211,081 | ) | ||||||||||||
Net shares reclassified from mandatorily redeemable capital stock | 178 | 17,786 | — | — | 17,786 | |||||||||||||||
Comprehensive income: | ||||||||||||||||||||
Net income | — | — | 101,395 | — | 101,395 | |||||||||||||||
Other comprehensive (loss) income: | ||||||||||||||||||||
Net unrealized loss on available-for-sale securities | — | — | — | (25,655 | ) | (25,655 | ) | |||||||||||||
Pension and postretirement benefits | — | — | — | 437 | 437 | |||||||||||||||
Total comprehensive income | 76,177 | |||||||||||||||||||
Cash dividends on capital stock (4.31% annualized) | — | — | (84,294 | ) | — | (84,294 | ) | |||||||||||||
BALANCE DECEMBER 31, 2007 | 27,173 | $ | 2,717,247 | $ | 361,347 | $ | (26,371 | ) | $ | 3,052,223 | ||||||||||
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For the Years Ended December 31, | ||||||||||||
2009 | 2008 | 2007 | ||||||||||
OPERATING ACTIVITIES | ||||||||||||
Net income | $ | 145,949 | $ | 127,366 | $ | 101,395 | ||||||
Adjustments to reconcile net income to net cash (used) provided by operating activities | ||||||||||||
Depreciation and amortization | ||||||||||||
Net premiums, discounts, and basis adjustments on investments, advances, mortgage loans, and consolidated obligations | (58,636 | ) | 39,905 | 64,147 | ||||||||
Concessions on consolidated obligations | 4,990 | 7,559 | 6,079 | |||||||||
Premises, software and equipment | 1,562 | 1,026 | 992 | |||||||||
Other | 165 | (103 | ) | (161 | ) | |||||||
Provision for credit losses on mortgage loans | 1,475 | 295 | 69 | |||||||||
Net loss (gain) on extinguishment of debt | 89,859 | (698 | ) | — | ||||||||
Net change in fair value on trading securities | (19,040 | ) | (1,485 | ) | — | |||||||
Net realized loss on sale of available-for-sale securities | 10,912 | — | — | |||||||||
Net realized gain on sale of held-to-maturity securities | — | (1,787 | ) | (545 | ) | |||||||
Net gain on loans held for sale | (1,342 | ) | — | — | ||||||||
Net change in fair value on bonds held at fair value | 4,394 | — | — | |||||||||
Net change in fair value on derivatives and hedging activities | (161,679 | ) | 20,773 | (10,788 | ) | |||||||
Net realized loss on disposal of premises and equipment | 4 | 12 | 77 | |||||||||
Net change in: | ||||||||||||
Accrued interest receivable | 10,930 | 37,117 | (36,826 | ) | ||||||||
Accrued interest on derivatives | 27,011 | 59,498 | (36,046 | ) | ||||||||
Other assets | 1,360 | (10,945 | ) | (8,794 | ) | |||||||
Accrued interest payable | (73,104 | ) | 19,231 | 900 | ||||||||
AHP Payable and discount on AHP advances | 744 | (2,963 | ) | (2,124 | ) | |||||||
Payable to REFCORP | 9,977 | (6,132 | ) | 335 | ||||||||
Other liabilities | (1,662 | ) | 1,457 | 255 | ||||||||
Total adjustments | (152,080 | ) | 162,760 | (22,430 | ) | |||||||
Net cash (used) provided by operating activities | (6,131 | ) | 290,126 | 78,965 | ||||||||
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STATEMENTS OF CASH FLOWS (continued from previous page)
(In thousands)
For the Years Ended December 31, | ||||||||||||
2009 | 2008 | 2007 | ||||||||||
INVESTING ACTIVITIES | ||||||||||||
Net change in: | ||||||||||||
Interest-bearing deposits | 201,481 | (267,916 | ) | 11,256 | ||||||||
Securities purchased under agreements to resell | — | — | 305,000 | |||||||||
Federal funds sold | 292,000 | (1,620,000 | ) | (180,000 | ) | |||||||
Trading securities: | ||||||||||||
Proceeds from sales | 2,170,339 | — | — | |||||||||
Purchases | (4,434,336 | ) | (2,150,000 | ) | — | |||||||
Available-for-sale securities: | ||||||||||||
Net decrease (increase) in short-term | — | 218,296 | (69,217 | ) | ||||||||
Proceeds from sales and maturities | 3,568,739 | 520,755 | 1,038,742 | |||||||||
Purchases | (7,367,055 | ) | (1,263,991 | ) | (3,864,765 | ) | ||||||
Held-to-maturity securities: | ||||||||||||
Net decrease (increase) in short-term | 384,935 | (84,461 | ) | 1,019,679 | ||||||||
Proceeds from maturities | 1,352,466 | 703,616 | 762,400 | |||||||||
Purchases | (1,249,912 | ) | (2,564,821 | ) | (70,000 | ) | ||||||
Advances to members: | ||||||||||||
Principal collected | 43,592,197 | 329,770,015 | 93,835,701 | |||||||||
Originated | (37,961,679 | ) | (330,411,026 | ) | (112,007,019 | ) | ||||||
Mortgage loans held for portfolio: | ||||||||||||
Principal collected | 2,265,782 | 1,294,677 | 1,339,811 | |||||||||
Originated or purchased | (1,578,444 | ) | (1,184,389 | ) | (370,977 | ) | ||||||
Mortgage loans held for sale: | ||||||||||||
Principal collected | 128,045 | — | — | |||||||||
Proceeds from sales | 2,123,595 | — | — | |||||||||
Proceeds from sale of foreclosed assets | 16,004 | 11,452 | 9,962 | |||||||||
Additions to premises, software, and equipment | (2,263 | ) | (2,632 | ) | (1,922 | ) | ||||||
Proceeds from sale of premises, software, and equipment | 185 | 10 | 131 | |||||||||
Net cash provided (used) by investing activities | 3,502,079 | (7,030,415 | ) | (18,241,218 | ) | |||||||
FINANCING ACTIVITIES | ||||||||||||
Net change in: | ||||||||||||
Deposits | (268,529 | ) | 602,657 | (47,635 | ) | |||||||
Net decrease in securities sold under agreement to repurchase | — | (200,000 | ) | (300,000 | ) | |||||||
Net proceeds on derivative contracts with financing elements | (11,050 | ) | 24,919 | — | ||||||||
Net proceeds from issuance of consolidated obligations: | ||||||||||||
Discount notes | 719,301,475 | 1,143,298,513 | 619,804,146 | |||||||||
Bonds | 32,407,277 | 21,122,613 | 8,681,550 | |||||||||
Payments for maturing, transferring and retiring consolidated obligations: | ||||||||||||
Discount notes | (729,868,518 | ) | (1,144,771,902 | ) | (603,019,683 | ) | ||||||
Bonds | (24,435,210 | ) | (13,272,626 | ) | (7,635,893 | ) | ||||||
Proceeds from issuance of capital stock | 268,708 | 5,579,766 | 2,004,664 | |||||||||
Net payments for repurchase/issuance of mandatorily redeemable capital stock | (21,731 | ) | (37,993 | ) | (1,027 | ) | ||||||
Payments for repurchase/redemption of capital stock | (570,046 | ) | (5,513,225 | ) | (1,211,081 | ) | ||||||
Cash dividends paid | (43,851 | ) | (106,740 | ) | (84,294 | ) | ||||||
Net cash (used) provided by financing activities | (3,241,475 | ) | 6,725,982 | 18,190,747 | ||||||||
Net increase (decrease) in cash and due from banks | 254,473 | (14,307 | ) | 28,494 | ||||||||
Cash and due from banks at beginning of the year | 44,368 | 58,675 | 30,181 | |||||||||
Cash and due from banks at end of the year | $ | 298,841 | $ | 44,368 | $ | 58,675 | ||||||
Supplemental Disclosures | ||||||||||||
Cash paid during the period for: | ||||||||||||
Interest | $ | 2,061,862 | $ | 2,061,098 | $ | 2,239,561 | ||||||
AHP | 15,586 | 17,075 | 14,186 | |||||||||
REFCORP | 26,511 | 37,952 | 25,127 | |||||||||
Mortgage loans held for portfolio transferred to mortgage loans held for sale | 2,413,843 | — | — | |||||||||
Mortgage loans held for sale transferred to mortgage loans held for portfolio | 162,800 | — | — | |||||||||
Unpaid principal balance transferred from mortgage loans held for portfolio to real estate owned | 19,172 | 12,291 | 9,221 |
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(1) | a hedge of the fair value of a recognized asset or liability or an unrecognized firm commitment (a fair value hedge); |
(2) | a non-qualifying hedge of an asset, liability, or firm commitment (an economic hedge) for asset-liability management purposes. |
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2009 | 2008 | |||||||
TLGP1 | $ | 3,692,984 | $ | 2,151,485 | ||||
Taxable municipal bonds2 | 741,538 | — | ||||||
Total | $ | 4,434,522 | $ | 2,151,485 | ||||
1 | Temporary Liquidity Guarantee Program (TLGP) securities represented corporate debentures of the issuing party that are backed by the full faith and credit of the U.S. Government. | |
2 | Taxable municipal bonds represented investments in U.S. Government subsidized Build America Bonds that provide the bondholder with a higher yield than traditional tax-exempt municipal bonds. |
2009 | 2008 | |||||||
Realized gain on sale of trading securities | $ | 14,446 | $ | — | ||||
Unrealized holding gain on trading securities | 4,594 | 1,485 | ||||||
Net gain on trading securities | $ | 19,040 | $ | 1,485 | ||||
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Amounts Recorded in | ||||||||||||||||||||
Accumulated Other | ||||||||||||||||||||
Comprehensive Loss | ||||||||||||||||||||
Gross | Gross | |||||||||||||||||||
Amortized | Hedging | Unrealized | Unrealized | Estimated | ||||||||||||||||
Cost | Adjustments | Gains | Losses | Fair Value | ||||||||||||||||
Non-mortgage-backed securities | ||||||||||||||||||||
TLGP1 | $ | 563,688 | $ | 41 | $ | 2,028 | $ | — | $ | 565,757 | ||||||||||
Government-sponsored enterprise obligations2 | 491,136 | (1,847 | ) | 5,793 | 1,798 | 493,284 | ||||||||||||||
Total non-mortgage-backed securities | 1,054,824 | (1,806 | ) | 7,821 | 1,798 | 1,059,041 | ||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||
Government-sponsored enterprise3 | 6,716,928 | — | 10,514 | 49,070 | 6,678,372 | |||||||||||||||
Total | $ | 7,771,752 | $ | (1,806 | ) | $ | 18,335 | $ | 50,868 | $ | 7,737,413 | |||||||||
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Gross | Gross | |||||||||||||||
Amortized | Unrealized | Unrealized | Estimated Fair | |||||||||||||
Cost | Gains | Losses | Value | |||||||||||||
Non-mortgage-backed securities | ||||||||||||||||
State or local housing agency obligations4 | $ | 580 | $ | — | $ | — | $ | 580 | ||||||||
Mortgage-backed securities | ||||||||||||||||
Government-sponsored enterprise3 | 3,983,671 | — | 144,271 | 3,839,400 | ||||||||||||
Total | $ | 3,984,251 | $ | — | $ | 144,271 | $ | 3,839,980 | ||||||||
1 | TLGP securities represented corporate debentures of the issuing party that are backed by the full faith and credit of the U.S. Government. | |
2 | Government-sponsored enterprise (GSE) obligations represented Tennessee Valley Authority (TVA) and Federal Farm Credit Bank (FFCB) bonds. | |
3 | GSE MBS represented Fannie Mae and Freddie Mac securities. | |
4 | State or local housing agency obligations represented Housing Finance Agency (HFA) bonds that were purchased by the Bank from housing associates in the Bank’s district. |
Less than 12 Months | 12 Months or More | Total | ||||||||||||||||||||||
Fair | Unrealized | Fair | Unrealized | Fair | Unrealized | |||||||||||||||||||
Value | Losses | Value | Losses | Value | Losses | |||||||||||||||||||
Non-mortgage-backed securities | ||||||||||||||||||||||||
Government-sponsored enterprise obligations | $ | 143,278 | $ | 1,798 | $ | — | $ | — | $ | 143,278 | $ | 1,798 | ||||||||||||
Mortgage-backed securities | ||||||||||||||||||||||||
Government-sponsored enterprise | 2,784,687 | 14,134 | 2,932,739 | 34,936 | 5,717,426 | 49,070 | ||||||||||||||||||
Total | $ | 2,927,965 | $ | 15,932 | $ | 2,932,739 | $ | 34,936 | $ | 5,860,704 | $ | 50,868 | ||||||||||||
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Less than 12 Months | 12 Months or More | Total | ||||||||||||||||||||||
Fair | Unrealized | Fair | Unrealized | Fair | Unrealized | |||||||||||||||||||
Value | Losses | Value | Losses | Value | Losses | |||||||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||||||
Government-sponsored enterprise | $ | 1,487,246 | $ | 45,639 | $ | 2,352,154 | $ | 98,632 | $ | 3,839,400 | $ | 144,271 | ||||||||||||
2009 | 2008 | |||||||||||||||
Amortized | Estimated | Amortized | Estimated | |||||||||||||
Year of Maturity | Cost | Fair Value | Cost | Fair Value | ||||||||||||
Due after one year through five years | $ | 573,425 | $ | 575,703 | $ | — | $ | — | ||||||||
Due after five years through ten years | 456,150 | 458,139 | — | — | ||||||||||||
Due after ten years | 25,249 | 25,199 | 580 | 580 | ||||||||||||
1,054,824 | 1,059,041 | 580 | 580 | |||||||||||||
Mortgage-backed securities | 6,716,928 | 6,678,372 | 3,983,671 | 3,839,400 | ||||||||||||
Total | $ | 7,771,752 | $ | 7,737,413 | $ | 3,984,251 | $ | 3,839,980 | ||||||||
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2009 | 2008 | |||||||
Amortized cost of non-mortgage-backed available-for-sale securities | ||||||||
Fixed rate | $ | 554,824 | $ | — | ||||
Variable rate | 500,000 | 580 | ||||||
1,054,824 | 580 | |||||||
Amortized cost of mortgage-backed available-for-sale securities | ||||||||
Pass-through securities | ||||||||
Fixed rate | 595,365 | — | ||||||
Collateralized mortgage obligations | ||||||||
Variable rate | 6,121,563 | 3,983,671 | ||||||
6,716,928 | 3,983,671 | |||||||
Total | $ | 7,771,752 | $ | 3,984,251 | ||||
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Gross | Gross | |||||||||||||||
Amortized | Unrealized | Unrealized | Estimated | |||||||||||||
Cost | Gains | Losses | Fair Value | |||||||||||||
Non-mortgage-backed securities | ||||||||||||||||
Negotiable certificates of deposit | $ | 450,000 | $ | 659 | $ | — | $ | 450,659 | ||||||||
Government-sponsored enterprise obligations1 | 312,962 | 233 | 5,851 | 307,344 | ||||||||||||
State or local housing agency obligations2 | 123,608 | 486 | 424 | 123,670 | ||||||||||||
TLGP3 | 1,250 | 29 | — | 1,279 | ||||||||||||
Other4 | 6,742 | 94 | — | 6,836 | ||||||||||||
Total non-mortgage-backed securities | 894,562 | 1,501 | 6,275 | 889,788 | ||||||||||||
Mortgage-backed securities | ||||||||||||||||
Government-sponsored enterprise5 | 4,468,928 | 88,482 | 14,942 | 4,542,468 | ||||||||||||
U.S. government agency-guaranteed6 | 42,620 | 36 | 142 | 42,514 | ||||||||||||
MPF shared funding | 33,202 | 247 | 405 | 33,044 | ||||||||||||
Other7 | 35,352 | — | 7,191 | 28,161 | ||||||||||||
Total mortgage-backed securities | 4,580,102 | 88,765 | 22,680 | 4,646,187 | ||||||||||||
Total | $ | 5,474,664 | $ | 90,266 | $ | 28,955 | $ | 5,535,975 | ||||||||
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Gross | Gross | |||||||||||||||
Amortized | Unrealized | Unrealized | Estimated | |||||||||||||
Cost | Gains | Losses | Fair Value | |||||||||||||
Non-mortgage-backed securities | ||||||||||||||||
Commercial paper | $ | 384,757 | $ | 146 | $ | 1 | $ | 384,902 | ||||||||
State or local housing agency obligations2 | 92,765 | 1,878 | 80 | 94,563 | ||||||||||||
Other4 | 6,906 | 166 | — | 7,072 | ||||||||||||
Total non-mortgage-backed securities | 484,428 | 2,190 | 81 | 486,537 | ||||||||||||
Mortgage-backed securities | ||||||||||||||||
Government-sponsored enterprise5 | 5,329,884 | 64,310 | 87,540 | 5,306,654 | ||||||||||||
U.S. government agency-guaranteed6 | 52,006 | — | 981 | 51,025 | ||||||||||||
MPF shared funding | 47,156 | — | 2,573 | 44,583 | ||||||||||||
Other7 | 38,534 | — | 10,045 | 28,489 | ||||||||||||
Total mortgage-backed securities | 5,467,580 | 64,310 | 101,139 | 5,430,751 | ||||||||||||
Total | $ | 5,952,008 | $ | 66,500 | $ | 101,220 | $ | 5,917,288 | ||||||||
1 | GSE obligations represented TVA and FFCB bonds. | |
2 | State or local housing agency obligations represented HFA bonds that were purchased by the Bank from housing associates in the Bank’s district. | |
3 | TLGP securities represented corporate debentures issued by the Bank’s members that are backed by the full faith and credit of the U.S. Government. | |
4 | Other non-MBS investments represented investments in municipal bonds and Small Business Investment Company. | |
5 | GSE MBS represented Fannie Mae and Freddie Mac securities. | |
6 | U.S. government agency-guaranteed MBS represented Government National Mortgage Association securities and Small Business Administration (SBA) Pool Certificates. SBA Pool Certificates represent undivided interests in pools of the guaranteed portions of SBA loans. The SBA’s guarantee of the Pool Certificates is backed by the full faith and credit of the U.S. Government. | |
7 | Other MBS investments represented private-label MBS. |
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Less than 12 Months | 12 Months or More | Total | ||||||||||||||||||||||
Fair | Unrealized | Fair | Unrealized | Fair | Unrealized | |||||||||||||||||||
Value | Losses | Value | Losses | Value | Losses | |||||||||||||||||||
Non-mortgage-backed securities | ||||||||||||||||||||||||
Government-sponsored enterprise obligations | $ | 280,715 | $ | 5,851 | $ | — | $ | — | $ | 280,715 | $ | 5,851 | ||||||||||||
State or local housing agency obligations | 33,171 | 424 | — | — | 33,171 | 424 | ||||||||||||||||||
313,886 | 6,275 | — | — | 313,886 | 6,275 | |||||||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||||||
Government-sponsored enterprise | 365,866 | 1,017 | 1,898,140 | 13,925 | 2,264,006 | 14,942 | ||||||||||||||||||
U.S. government agency-guaranteed | — | — | 37,246 | 142 | 37,246 | 142 | ||||||||||||||||||
MPF shared funding | — | — | 1,564 | 405 | 1,564 | 405 | ||||||||||||||||||
Other | — | — | 28,161 | 7,191 | 28,161 | 7,191 | ||||||||||||||||||
365,866 | 1,017 | 1,965,111 | 21,663 | 2,330,977 | 22,680 | |||||||||||||||||||
Total | $ | 679,752 | $ | 7,292 | $ | 1,965,111 | $ | 21,663 | $ | 2,644,863 | $ | 28,955 | ||||||||||||
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Less than 12 Months | 12 Months or More | Total | ||||||||||||||||||||||
Fair | Unrealized | Fair | Unrealized | Fair | Unrealized | |||||||||||||||||||
Value | Losses | Value | Losses | Value | Losses | |||||||||||||||||||
Non-mortgage-backed securities | ||||||||||||||||||||||||
Commercial paper | $ | 99,903 | $ | 1 | $ | — | $ | — | $ | 99,903 | $ | 1 | ||||||||||||
State or local housing agency obligations | 19,920 | 80 | — | — | 19,920 | 80 | ||||||||||||||||||
119,823 | 81 | — | — | 119,823 | 81 | |||||||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||||||
Government-sponsored enterprise | 1,933,043 | 61,049 | 653,825 | 26,491 | 2,586,868 | 87,540 | ||||||||||||||||||
U.S. government agency-guaranteed | 47,939 | 901 | 3,085 | 80 | 51,024 | 981 | ||||||||||||||||||
MPF shared funding | — | — | 44,583 | 2,573 | 44,583 | 2,573 | ||||||||||||||||||
Other | 321 | 2 | 28,168 | 10,043 | 28,489 | 10,045 | ||||||||||||||||||
1,981,303 | 61,952 | 729,661 | 39,187 | 2,710,964 | 101,139 | |||||||||||||||||||
Total | $ | 2,101,126 | $ | 62,033 | $ | 729,661 | $ | 39,187 | $ | 2,830,787 | $ | 101,220 | ||||||||||||
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2009 | 2008 | |||||||||||||||
Amortized | Estimated | Amortized | Estimated | |||||||||||||
Year of Maturity | Cost | Fair Value | Cost | Fair Value | ||||||||||||
Due in one year or less | $ | 452,989 | $ | 453,742 | $ | 384,757 | $ | 384,902 | ||||||||
Due after one year through five years | 1,250 | 1,279 | 2,989 | 3,154 | ||||||||||||
Due after five years through ten years | 2,600 | 2,614 | 3,205 | 3,261 | ||||||||||||
Due after ten years | 437,723 | 432,153 | 93,477 | 95,220 | ||||||||||||
894,562 | 889,788 | 484,428 | 486,537 | |||||||||||||
Mortgage-backed securities | 4,580,102 | 4,646,187 | 5,467,580 | 5,430,751 | ||||||||||||
Total | $ | 5,474,664 | $ | 5,535,975 | $ | 5,952,008 | $ | 5,917,288 | ||||||||
2009 | 2008 | |||||||
Amortized cost of non-mortgage-backed held-to-maturity securities | ||||||||
Fixed rate | $ | 894,562 | $ | 484,428 | ||||
Amortized cost of mortgage-backed held-to-maturity securities | ||||||||
Pass-through securities | ||||||||
Fixed rate | 330,981 | 404,078 | ||||||
Variable rate | 7,243 | 8,093 | ||||||
Collateralized mortgage obligations | ||||||||
Fixed rate | 1,659,530 | 2,318,079 | ||||||
Variable rate | 2,582,348 | 2,737,330 | ||||||
4,580,102 | 5,467,580 | |||||||
Total | $ | 5,474,664 | $ | 5,952,008 | ||||
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2009 | 2008 | |||||||||||||||
Weighted | Weighted | |||||||||||||||
Average | Average | |||||||||||||||
Interest | Interest | |||||||||||||||
Year of Contractual Maturity | Amount | Rate % | Amount | Rate % | ||||||||||||
Overdrawn demand deposit accounts | $ | 90 | — | $ | 623 | — | ||||||||||
2009 | — | — | 9,332,574 | 2.70 | ||||||||||||
2010 | 7,810,541 | 2.56 | 5,212,502 | 3.97 | ||||||||||||
2011 | 4,802,348 | 2.71 | 3,656,941 | 3.45 | ||||||||||||
2012 | 6,080,490 | 1.71 | 5,014,300 | 2.25 | ||||||||||||
2013 | 4,938,047 | 1.86 | 4,893,217 | 2.37 | ||||||||||||
2014 | 990,975 | 3.34 | 671,997 | 3.87 | ||||||||||||
Thereafter | 10,409,938 | 3.45 | 11,880,793 | 3.29 | ||||||||||||
Total par value | 35,032,429 | 2.62 | 40,662,947 | 3.03 | ||||||||||||
Discounts on AHP advances | (14 | ) | (34 | ) | ||||||||||||
Premiums | 308 | 380 | ||||||||||||||
Discounts | (4 | ) | (9 | ) | ||||||||||||
Hedging fair value adjustments | ||||||||||||||||
Cumulative fair value gain | 590,243 | 1,082,129 | ||||||||||||||
Basis adjustments from terminated and ineffective hedges | 97,436 | 152,066 | ||||||||||||||
Total | $ | 35,720,398 | $ | 41,897,479 | ||||||||||||
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Year of Contractual Maturity or Next Call Date | 2009 | 2008 | ||||||
Overdrawn demand deposit accounts | $ | 90 | $ | 623 | ||||
2009 | — | 16,934,745 | ||||||
2010 | 14,153,813 | 5,279,406 | ||||||
2011 | 4,659,405 | 3,652,944 | ||||||
2012 | 3,197,057 | 2,290,764 | ||||||
2013 | 3,338,712 | 3,292,310 | ||||||
2014 | 1,097,691 | 671,997 | ||||||
Thereafter | 8,585,661 | 8,540,158 | ||||||
Total par value | $ | 35,032,429 | $ | 40,662,947 | ||||
Year of Contractual Maturity or Next Put Date | 2009 | 2008 | ||||||
Overdrawn demand deposit accounts | $ | 90 | $ | 623 | ||||
2009 | — | 14,353,624 | ||||||
2010 | 12,545,341 | 5,754,252 | ||||||
2011 | 5,126,148 | 3,973,741 | ||||||
2012 | 5,708,790 | 4,631,600 | ||||||
2013 | 4,611,147 | 4,566,317 | ||||||
2014 | 975,975 | 656,997 | ||||||
Thereafter | 6,064,938 | 6,725,793 | ||||||
Total par value | $ | 35,032,429 | $ | 40,662,947 | ||||
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(1) | Requiring the borrower to execute a written security agreement whereby the borrower retains possession of the collateral assigned to the Bank and agrees to hold such collateral for the benefit of the Bank; or |
(2) | Requiring the borrower specifically to assign or place physical possession of such collateral with the Bank or a third-party custodian approved by the Bank. |
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2009 | 2008 | |||||||
Par amount of advances | ||||||||
Fixed rate | $ | 24,601,644 | $ | 28,050,033 | ||||
Variable rate | 10,430,785 | 12,612,914 | ||||||
Total | $ | 35,032,429 | $ | 40,662,947 | ||||
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2009 | 2008 | |||||||
Real Estate: | ||||||||
Fixed rate, medium-term single family mortgages | $ | 1,908,191 | $ | 2,409,977 | ||||
Fixed rate, long-term single family mortgages | 5,804,567 | 8,266,134 | ||||||
Total par value | 7,712,758 | 10,676,111 | ||||||
Premiums | 53,007 | 86,355 | ||||||
Discounts | (52,165 | ) | (81,547 | ) | ||||
Basis adjustments from mortgage loan commitments | 4,836 | 4,491 | ||||||
Allowance for credit losses | (1,887 | ) | (500 | ) | ||||
Total mortgage loans held for portfolio, net | $ | 7,716,549 | $ | 10,684,910 | ||||
• | Homeowner Equity. |
• | Primary Mortgage Insurance (PMI).PMI is on all loans with homeowner equity of less than 20 percent of the original purchase price or appraised value. |
• | First Loss Account. The first loss account specifies the Bank’s loss exposure under each master commitment prior to the PFI’s credit enhancement obligation. If the Bank experiences losses in a master commitment, these losses will either be (i) recovered through the recapture of performance based credit enhancement fees from the PFI or (ii) absorbed by the Bank. The first loss account balance for all master commitments is a memorandum account and was $116.4 million and $105.9 million at December 31, 2009 and 2008. |
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• | Credit Enhancement Obligation of PFI. PFIs have a credit enhancement obligation to absorb losses in excess of the first loss account in order to limit the Bank’s loss exposure to that of an investor in an MBS that is rated the equivalent of AA by a nationally recognized statistical rating organization. PFIs are required to either collateralize their credit enhancement obligation with the Bank or to purchase SMI from a highly rated mortgage insurer. All of the Bank’s SMI providers have had their external ratings for claims-paying ability or insurer financial strength downgraded below AA. Ratings downgrades imply an increased risk that these SMI providers will be unable to fulfill their obligations to reimburse the Bank for claims under insurance policies. On August 7, 2009, the Finance Agency granted a waiver for one year on the AA rating requirement of SMI providers for existing loans and commitments in the MPF program. |
2009 | 2008 | 2007 | ||||||||||
Balance, beginning of year | $ | 500 | $ | 300 | $ | 250 | ||||||
Charge-offs | (88 | ) | (95 | ) | (19 | ) | ||||||
Provision for credit losses | 1,475 | 295 | 69 | |||||||||
Balance, end of year | $ | 1,887 | $ | 500 | $ | 300 | ||||||
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• | reduce funding costs by combining a derivative with a consolidated obligation, as the cost of a combined funding structure can be lower than the cost of a comparable consolidated obligation; |
• | reduce the interest rate sensitivity and repricing gaps of assets and liabilities; |
• | preserve a favorable interest rate spread between the yield of an asset (i.e., an advance) and the cost of the related liability (i.e., the consolidated obligation used to fund the advance). Without the use of derivatives, this interest rate spread could be reduced or eliminated when a change in the interest rate on the advance does not match a change in the interest rate on the consolidated obligation; |
• | mitigate the adverse earnings effects of the shortening or extension of certain assets (i.e., advances or mortgage assets) and liabilities; and |
• | manage embedded options in assets and liabilities. |
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• | interest rate swaps; |
• | options; |
• | swaptions; |
• | interest rate caps or floors; and |
• | future/forward contracts. |
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(1) | as a hedge of the fair value of a recognized asset or liability or an unrecognized firm commitment (a fair value hedge); or |
(2) | as a non-qualifying hedge of an asset, liability, or firm commitment (an economic hedge) for asset-liability management purposes. |
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Notional | Derivative | Derivative | ||||||||||
Fair Value of Derivative Instruments | Amount | Assets | Liabilities | |||||||||
Derivatives designated as hedging instruments | ||||||||||||
Interest rate swaps | $ | 34,196,552 | $ | 284,759 | $ | 685,933 | ||||||
Derivatives not designated as hedging instruments (economic hedges) | ||||||||||||
Interest rate swaps | 9,407,539 | 41,976 | 14,783 | |||||||||
Interest rate caps | 3,240,000 | 51,312 | — | |||||||||
Forward settlement agreements (TBAs) | 27,500 | 322 | 1 | |||||||||
Mortgage delivery commitments | 26,712 | 2 | 283 | |||||||||
Total derivatives not designated as hedging instruments | 12,701,751 | 93,612 | 15,067 | |||||||||
Total derivatives and related accrued interest before netting and collateral adjustments | $ | 46,898,303 | 378,371 | 701,000 | ||||||||
Netting adjustments1 | (364,609 | ) | (364,609 | ) | ||||||||
Cash collateral and related accrued interest | (2,750 | ) | (56,007 | ) | ||||||||
Total netting adjustments and cash collateral | (367,359 | ) | (420,616 | ) | ||||||||
Derivative assets and liabilities | $ | 11,012 | $ | 280,384 | ||||||||
1 | Amounts represent the effect of legally enforceable master netting agreements that allow the Bank to settle positive and negative positions by counterparty. |
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2008 | ||||||||
Estimated | ||||||||
Notional | Fair Value | |||||||
Interest rate swaps | ||||||||
Fair value | $ | 23,470,693 | $ | (779,200 | ) | |||
Economic | 3,640,595 | (1,840 | ) | |||||
Interest rate caps | ||||||||
Economic | 2,340,000 | 2,481 | ||||||
Forward settlement agreements | ||||||||
Economic | 289,000 | (2,323 | ) | |||||
Mortgage delivery commitments | ||||||||
Economic | 288,175 | 2,017 | ||||||
Total notional and fair value | $ | 30,028,463 | $ | (778,865 | ) | |||
Total derivatives, excluding accrued interest | (778,865 | ) | ||||||
Accrued interest | 78,769 | |||||||
Net cash collateral | 267,921 | |||||||
Net derivative balance | $ | (432,175 | ) | |||||
Net derivative assets | 2,840 | |||||||
Net derivative liabilities | (435,015 | ) | ||||||
Net derivative balance | $ | (432,175 | ) | |||||
2009 | ||||
Derivatives and hedged items in fair value hedging relationships | ||||
Interest rate swaps | $ | 99,587 | ||
Derivatives not designated as hedging instruments (economic hedges) | ||||
Interest rate swaps | 17,203 | |||
Interest rate caps | 19,249 | |||
Forward settlement agreements (TBAs) | 1,305 | |||
Mortgage delivery commitments | (3,565 | ) | ||
Total net gain related to derivatives not designated as hedging instruments | 34,192 | |||
Net gain on derivatives and hedging activities | $ | 133,779 | ||
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2008 | 2007 | |||||||
Net (loss) gain related to fair value hedge ineffectiveness | $ | (4,021 | ) | $ | 3,145 | |||
Net (loss) gain related to economic hedges | (29,154 | ) | 1,346 | |||||
Net (loss) gain on derivatives and hedging activities | $ | (33,175 | ) | $ | 4,491 | |||
2009 | ||||||||||||||||
Net Fair Value | Effect on | |||||||||||||||
Gain (Loss) on | (Loss) Gain on | Hedge | Net Interest | |||||||||||||
Hedged Item Type | Derivative | Hedged Item | Ineffectiveness | Income1 | ||||||||||||
Advances | $ | 493,983 | $ | (491,376 | ) | $ | 2,607 | $ | (365,664 | ) | ||||||
Investments | 84,655 | (1,806 | ) | 82,849 | (11,534 | ) | ||||||||||
Bonds | (249,413 | ) | 263,544 | 14,131 | 276,998 | |||||||||||
Total | $ | 329,225 | $ | (229,638 | ) | $ | 99,587 | $ | (100,200 | ) | ||||||
1 | The net interest on derivatives in fair value hedge relationships is presented in the interest income/expense line item of the respective hedged item. |
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2009 | 2008 | |||||||
Interest bearing: | ||||||||
Demand and overnight | $ | 660,263 | $ | 924,956 | ||||
Term | 483,962 | 464,686 | ||||||
Non-interest bearing: | ||||||||
Demand | 80,966 | 106,828 | ||||||
Total deposits | $ | 1,225,191 | $ | 1,496,470 | ||||
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2009 | 2008 | |||||||
Par amount of bonds: | ||||||||
Fixed rate | $ | 41,360,598 | $ | 37,954,099 | ||||
Simple variable rate | 7,540,000 | 4,315,000 | ||||||
Step-up | 1,422,000 | — | ||||||
Total par value | $ | 50,322,598 | $ | 42,269,099 | ||||
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2009 | 2008 | |||||||||||||||
Weighted | Weighted | |||||||||||||||
Average | Average | |||||||||||||||
Interest | Interest | |||||||||||||||
Year of Contractual Maturity | Amount | Rate % | Amount | Rate % | ||||||||||||
2009 | $ | — | — | $ | 15,962,600 | 3.10 | ||||||||||
2010 | 23,040,050 | 1.43 | 6,159,050 | 4.01 | ||||||||||||
2011 | 9,089,100 | 2.45 | 4,670,100 | 4.34 | ||||||||||||
2012 | 5,337,250 | 2.79 | 2,231,050 | 4.54 | ||||||||||||
2013 | 2,522,835 | 3.73 | 2,417,500 | 4.35 | ||||||||||||
2014 | 1,421,710 | 3.66 | 500,500 | 5.00 | ||||||||||||
Thereafter | 6,961,565 | 5.04 | 7,908,200 | 5.14 | ||||||||||||
Index amortizing notes | 1,950,088 | 5.12 | 2,420,099 | 5.12 | ||||||||||||
Total par value | 50,322,598 | 2.58 | 42,269,099 | 4.04 | ||||||||||||
Premiums | 49,514 | 50,742 | ||||||||||||||
Discounts | (34,785 | ) | (40,699 | ) | ||||||||||||
Hedging fair value adjustments | ||||||||||||||||
Cumulative fair value loss | 148,954 | 348,214 | ||||||||||||||
Basis adjustments from terminated and ineffective hedges | 326 | 95,117 | ||||||||||||||
Fair value option adjustments | ||||||||||||||||
Net loss on bonds held at fair value | 4,394 | — | ||||||||||||||
Change in accrued interest | 3,473 | — | ||||||||||||||
Total | $ | 50,494,474 | $ | 42,722,473 | ||||||||||||
2009 | 2008 | |||||||
Par amount of bonds | ||||||||
Noncallable or nonputable | $ | 44,380,598 | $ | 39,214,099 | ||||
Callable | 5,942,000 | 3,055,000 | ||||||
Total par value | $ | 50,322,598 | $ | 42,269,099 | ||||
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Year of Contractual Maturity or Next Call Date | 2009 | 2008 | ||||||
2009 | $ | — | $ | 18,507,600 | ||||
2010 | 27,757,050 | 6,229,050 | ||||||
2011 | 7,744,100 | 4,060,100 | ||||||
2012 | 3,430,250 | 1,801,050 | ||||||
2013 | 2,117,835 | 1,807,500 | ||||||
2014 | 626,710 | 435,500 | ||||||
Thereafter | 6,696,565 | 7,008,200 | ||||||
Index amortizing notes | 1,950,088 | 2,420,099 | ||||||
Total par value | $ | 50,322,598 | $ | 42,269,099 | ||||
2009 | 2008 | |||||||||||||||
Weighted | Weighted | |||||||||||||||
Average | Average | |||||||||||||||
Interest | Interest | |||||||||||||||
Amount | Rate % | Amount | Rate % | |||||||||||||
Par value | $ | 9,418,870 | 0.13 | $ | 20,153,370 | 1.83 | ||||||||||
Discounts | (1,688 | ) | (92,099 | ) | ||||||||||||
Total | $ | 9,417,182 | $ | 20,061,271 | ||||||||||||
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2009 | 2008 | 2007 | ||||||||||
Balance, beginning of year | $ | 39,715 | $ | 42,622 | $ | 44,714 | ||||||
Assessments | 16,248 | 14,168 | 12,094 | |||||||||
Disbursements | (15,484 | ) | (17,075 | ) | (14,186 | ) | ||||||
Balance, end of year | $ | 40,479 | $ | 39,715 | $ | 42,622 | ||||||
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2009 | 2008 | |||||||||||||||
Required | Actual | Required | Actual | |||||||||||||
Regulatory capital requirements: | ||||||||||||||||
Risk based capital | $ | 826,709 | $ | 2,952,836 | $ | 1,967,981 | $ | 3,173,807 | ||||||||
Total capital-to-asset ratio | 4.00 | % | 4.57 | % | 4.00 | % | 4.66 | % | ||||||||
Total regulatory capital | $ | 2,586,267 | $ | 2,952,836 | $ | 2,725,172 | $ | 3,173,807 | ||||||||
Leverage ratio | 5.00 | % | 6.85 | % | 5.00 | % | 6.99 | % | ||||||||
Leverage capital | $ | 3,232,834 | $ | 4,429,254 | $ | 3,406,465 | $ | 4,760,711 |
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2009 | 2008 | 2007 | ||||||||||||||||||||||
Number | Number | Number | ||||||||||||||||||||||
of | of | of | ||||||||||||||||||||||
Members | Amount | Members | Amount | Members | Amount | |||||||||||||||||||
Voluntary termination of membership as a result of a merger or consolidation into a member of another FHLBank | 13 | $ | 8,262 | 10 | $ | 10,907 | 32 | $ | 45,616 | |||||||||||||||
Member withdrawal | 1 | 84 | — | — | — | — | ||||||||||||||||||
Member requests for partial redemption of excess stock | — | — | — | — | 8 | 423 | ||||||||||||||||||
Total | 14 | $ | 8,346 | 10 | $ | 10,907 | 40 | $ | 46,039 | |||||||||||||||
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Year of Redemption or Repurchase | 2009 | 2008 | ||||||
2009 | $ | — | $ | 3,487 | ||||
2010 | 6,711 | 5,924 | ||||||
2011 | 733 | 492 | ||||||
2012 | 143 | 383 | ||||||
2013 | 61 | 305 | ||||||
2014 | 87 | — | ||||||
Thereafter | 611 | 316 | ||||||
Total | $ | 8,346 | $ | 10,907 | ||||
2009 | 2008 | 2007 | ||||||||||
Balance, beginning of year | $ | 10,907 | $ | 46,039 | $ | 64,852 | ||||||
Mandatorily redeemable capital stock issued | 7 | 49 | 13,468 | |||||||||
Capital stock subject to mandatory redemption reclassified from capital stock | 19,170 | 2,861 | 6,326 | |||||||||
Capital stock previously subject to mandatory redemption reclassified to capital stock | — | — | (24,112 | ) | ||||||||
Repurchase of mandatorily redeemable capital stock | (21,738 | ) | (38,042 | ) | (14,495 | ) | ||||||
Balance, end of year | $ | 8,346 | $ | 10,907 | $ | 46,039 | ||||||
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2009 | 2008 | |||||||
Change in benefit obligation | ||||||||
Projected benefit obligation at beginning of year | $ | 4,928 | $ | 4,379 | ||||
Service cost | 298 | 157 | ||||||
Interest cost | 297 | 280 | ||||||
Actuarial loss | 152 | 327 | ||||||
Benefits paid | (256 | ) | (358 | ) | ||||
Change due to decrease in discount rate | 171 | 143 | ||||||
Projected benefit obligation at end of year | $ | 5,590 | $ | 4,928 | ||||
2009 | 2008 | |||||||
Accrued benefit liability | $ | 5,590 | $ | 4,928 | ||||
Accumulated other comprehensive loss | (1,760 | ) | (1,627 | ) | ||||
Net amount recognized | $ | 3,830 | $ | 3,301 | ||||
2009 | 2008 | 2007 | ||||||||||
Net periodic benefit cost | ||||||||||||
Service cost | $ | 298 | $ | 157 | $ | 60 | ||||||
Interest cost | 297 | 280 | 265 | |||||||||
Amortization of unrecognized prior service cost | 54 | 54 | 54 | |||||||||
Amortization of unrecognized net loss | 136 | 93 | 101 | |||||||||
Net periodic benefit cost | $ | 785 | $ | 584 | $ | 480 | ||||||
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Prior Service | Net Loss | |||||||||||
Cost | (Gain) | Total | ||||||||||
Balance at beginning of year | $ | 186 | $ | 1,441 | $ | 1,627 | ||||||
Net loss on defined benefit plan | — | 323 | 323 | |||||||||
Amortization | (54 | ) | (136 | ) | (190 | ) | ||||||
Balance at end of year | $ | 132 | $ | 1,628 | $ | 1,760 | ||||||
Projected amortization of unrecognized prior service cost | $ | 41 | ||
Projected amortization of unrecognized net loss | 153 | |||
Total projected amortization of amounts in accumulated other comprehensive loss | $ | 194 | ||
2009 | 2008 | 2007 | ||||||||||
Discount rate — benefit obligations | 5.75 | % | 6.00 | % | 6.25 | % | ||||||
Discount rate — net periodic benefit cost | 6.00 | % | 6.25 | % | 5.75 | % | ||||||
Salary increases | 4.80 | % | 4.80 | % | 4.80 | % | ||||||
Amortization period (years) | 8 | 9 | 11 |
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Year | Amount | |||
2010 | $ | 261 | ||
2011 | 265 | |||
2012 | 282 | |||
2013 | 298 | |||
2014 | 322 | |||
2015 through 2019 | 2,309 |
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Member | Mortgage | |||||||||||
Finance | Finance | Total | ||||||||||
2009 | ||||||||||||
Adjusted net interest income | $ | 133,768 | $ | 83,330 | $ | 217,098 | ||||||
Provision for credit losses on mortgage loans | — | 1,475 | 1,475 | |||||||||
Adjusted net interest income after mortgage loan credit loss provision | $ | 133,768 | $ | 81,855 | $ | 215,623 | ||||||
Average assets for the year | $ | 51,866,956 | $ | 18,834,225 | $ | 70,701,181 | ||||||
Total assets at year end | $ | 45,558,042 | $ | 19,098,631 | $ | 64,656,673 | ||||||
2008 | ||||||||||||
Adjusted net interest income | $ | 122,233 | $ | 133,231 | $ | 255,464 | ||||||
Provision for credit losses on mortgage loans | — | 295 | 295 | |||||||||
Adjusted net interest income after mortgage loan credit loss provision | $ | 122,233 | $ | 132,936 | $ | 255,169 | ||||||
Average assets for the year | $ | 50,613,222 | $ | 19,040,595 | $ | 69,653,817 | ||||||
Total assets at year end | $ | 48,064,653 | $ | 20,064,654 | $ | 68,129,307 | ||||||
2007 | ||||||||||||
Adjusted net interest income | $ | 139,032 | $ | 30,246 | $ | 169,278 | ||||||
Provision for credit losses on mortgage loans | — | 69 | 69 | |||||||||
Adjusted net interest income after mortgage loan credit loss provision | $ | 139,032 | $ | 30,177 | $ | 169,209 | ||||||
Average assets for the year | $ | 31,112,454 | $ | 16,248,396 | $ | 47,360,850 | ||||||
Total assets at year end | $ | 43,022,745 | $ | 17,712,861 | $ | 60,735,606 |
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• | Interest income and interest expense associated with economic hedges recorded as a component of “Net gain (loss) on derivatives and hedging activities” in other income (loss) in the Statements of Income; and |
• | Concession expense associated with fair value option bonds recorded in “other expense” in the Statements of Income. |
• | Interest income and interest expense associated with basis adjustment amortization/accretion on called and extinguished debt recorded as a component of “Bond interest expense” in the Statements of Income. |
2009 | 2008 | 2007 | ||||||||||
Adjusted net interest income after mortgage loan credit loss provision | $ | 215,623 | $ | 255,169 | $ | 169,209 | ||||||
Net interest (income) expense on economic hedges | (5,141 | ) | 2,178 | 1,696 | ||||||||
Concession expense on fair value option bonds | 488 | — | — | |||||||||
Interest (expense) income on basis adjustment amortization/accretion of called debt | (17,777 | ) | (12,067 | ) | 167 | |||||||
Interest income on basis adjustment accretion of extinguished debt | 2,767 | — | — | |||||||||
Net interest income after mortgage loan credit loss provision | 195,960 | 245,280 | 171,072 | |||||||||
Other income (loss) | 55,785 | (27,839 | ) | 10,333 | ||||||||
Other expenses | 53,060 | 44,087 | 42,454 | |||||||||
Income before assessments | $ | 198,685 | $ | 173,354 | $ | 138,951 | ||||||
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Netting | ||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Adjustment1 | Total | ||||||||||||||||
Assets | ||||||||||||||||||||
Trading securities | ||||||||||||||||||||
TLGP | $ | — | $ | 3,692,984 | $ | — | $ | — | $ | 3,692,984 | ||||||||||
Taxable municipal bonds | — | 741,538 | — | — | 741,538 | |||||||||||||||
Available-for-sale securities | ||||||||||||||||||||
TLGP | — | 565,757 | — | — | 565,757 | |||||||||||||||
Government-sponsored enterprise | — | 7,171,656 | — | — | 7,171,656 | |||||||||||||||
Derivative assets | 322 | 378,049 | — | (367,359 | ) | 11,012 | ||||||||||||||
Total assets at fair value | $ | 322 | $ | 12,549,984 | $ | — | $ | (367,359 | ) | $ | 12,182,947 | |||||||||
Liabilities | ||||||||||||||||||||
Bonds2 | $ | — | $ | (5,997,867 | ) | $ | — | $ | — | $ | (5,997,867 | ) | ||||||||
Derivative liabilities | (1 | ) | (700,999 | ) | — | 420,616 | (280,384 | ) | ||||||||||||
Total liabilities at fair value | $ | (1 | ) | $ | (6,698,866 | ) | $ | — | $ | 420,616 | $ | (6,278,251 | ) | |||||||
1 | Amounts represent the effect of legally enforceable master netting agreements that allow the Bank to settle positive and negative positions and also cash collateral held or placed with the same counterparties. Net cash collateral plus accrued interest totaled $53.2 million at December 31, 2009. | |
2 | Represents bonds recorded under the fair value option. |
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Netting | ||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Adjustment1 | Total | ||||||||||||||||
Assets | ||||||||||||||||||||
Trading securities | $ | — | $ | 2,151,485 | $ | — | $ | — | $ | 2,151,485 | ||||||||||
Available-for-sale securities | — | 3,839,980 | — | — | 3,839,980 | |||||||||||||||
Derivative assets | 248 | 403,728 | — | (401,136 | ) | 2,840 | ||||||||||||||
Total assets at fair value | $ | 248 | $ | 6,395,193 | $ | — | $ | (401,136 | ) | $ | 5,994,305 | |||||||||
Liabilities | ||||||||||||||||||||
Derivative liabilities | $ | (2,571 | ) | $ | (1,101,501 | ) | $ | — | $ | 669,057 | $ | (435,015 | ) | |||||||
Total liabilities at fair value | $ | (2,571 | ) | $ | (1,101,501 | ) | $ | — | $ | 669,057 | $ | (435,015 | ) | |||||||
1 | Amounts represent the effect of legally enforceable master netting agreements that allow the Bank to settle positive and negative positions and also cash collateral held or placed with the same counterparties. Net cash collateral plus accrued interest totaled $267.9 million at December 31, 2008. |
2009 | ||||
Balance, beginning of the year | $ | — | ||
New bonds elected for fair value option | 5,990,000 | |||
Net loss on bonds held at fair value | 4,394 | |||
Change in accrued interest | 3,473 | |||
Balance, end of the year | $ | 5,997,867 | ||
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2009 | ||||
Interest expense | $ | 20,597 | ||
Net loss on bonds held at fair value | 4,394 | |||
Total change in fair value | $ | 24,991 | ||
2009 | ||||
Principal balance | $ | 5,990,000 | ||
Fair value | 5,997,867 | |||
Fair value over principal balance | $ | 7,867 | ||
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2009 | 2008 | |||||||||||||||
Carrying | Estimated | Carrying | Estimated | |||||||||||||
Financial Instruments | Value | Fair Value | Value | Fair Value | ||||||||||||
Assets | ||||||||||||||||
Cash and due from banks | $ | 298,841 | $ | 298,841 | $ | 44,368 | $ | 44,368 | ||||||||
Interest-bearing deposits | 10,570 | 10,346 | 152 | 152 | ||||||||||||
Federal funds sold | 3,133,000 | 3,133,000 | 3,425,000 | 3,425,000 | ||||||||||||
Trading securities | 4,434,522 | 4,434,522 | 2,151,485 | 2,151,485 | ||||||||||||
Available-for-sale securities | 7,737,413 | 7,737,413 | 3,839,980 | 3,839,980 | ||||||||||||
Held-to-maturity securities | 5,474,664 | 5,535,975 | 5,952,008 | 5,917,288 | ||||||||||||
Advances | 35,720,398 | 35,978,355 | 41,897,479 | 41,864,640 | ||||||||||||
Mortgage loans, net | 7,716,549 | 7,996,456 | 10,684,910 | 10,984,668 | ||||||||||||
Accrued interest receivable | 81,703 | 81,703 | 92,620 | 92,620 | ||||||||||||
Derivative assets | 11,012 | 11,012 | 2,840 | 2,840 | ||||||||||||
Liabilities | ||||||||||||||||
Deposits | (1,225,191 | ) | (1,224,975 | ) | (1,496,470 | ) | (1,495,865 | ) | ||||||||
Consolidated obligations | ||||||||||||||||
Discount notes | (9,417,182 | ) | (9,417,818 | ) | (20,061,271 | ) | (20,141,287 | ) | ||||||||
Bonds (includes $5,997,867 at fair value under the fair value option at December 31, 2009) | (50,494,474 | ) | (51,544,919 | ) | (42,722,473 | ) | (44,239,835 | ) | ||||||||
Consolidated obligations, net | (59,911,656 | ) | (60,962,737 | ) | (62,783,744 | ) | (64,381,122 | ) | ||||||||
Mandatorily redeemable capital stock | (8,346 | ) | (8,346 | ) | (10,907 | ) | (10,907 | ) | ||||||||
Accrued interest payable | (243,693 | ) | (243,693 | ) | (320,271 | ) | (320,271 | ) | ||||||||
Derivative liabilities | (280,384 | ) | (280,384 | ) | (435,015 | ) | (435,015 | ) | ||||||||
Other | ||||||||||||||||
Standby letters of credit | (1,443 | ) | (1,443 | ) | (1,945 | ) | (1,945 | ) | ||||||||
Commitments to extend credit for mortgage loans | — | — | (1,406 | ) | (1,426 | ) | ||||||||||
Standby bond purchase agreements | — | 6,477 | 482 | 263 |
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Year | Amount | |||
2010 | $ | 1,047 | ||
2011 | 936 | |||
2012 | 869 | |||
2013 | 869 | |||
2014 | 869 | |||
Thereafter | 11,298 | |||
Total | $ | 15,888 | ||
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2009 | 2008 | |||||||
Assets: | ||||||||
Cash | $ | 1,470 | $ | 18,839 | ||||
Interest-bearing deposits1 | 10,406 | — | ||||||
Federal funds sold | 340,000 | 1,110,000 | ||||||
Trading securities2 | 130,819 | — | ||||||
Available-for-sale securities2 | — | 580 | ||||||
Held-to-maturity securities2 | 124,858 | 377,619 | ||||||
Advances | 35,720,398 | 41,897,479 | ||||||
Accrued interest receivable | 6,675 | 21,555 | ||||||
Derivative assets | 6,216 | 2,655 | ||||||
Other assets | 389 | 615 | ||||||
Total | $ | 36,341,231 | $ | 43,429,342 | ||||
Liabilities: | ||||||||
Deposits | $ | 1,147,469 | $ | 1,394,198 | ||||
Mandatorily redeemable capital stock | 8,346 | 10,907 | ||||||
Accrued interest payable | 118 | 853 | ||||||
Derivative liabilities | 27,631 | 57,519 | ||||||
Other liabilities | 1,894 | 1,945 | ||||||
Total | $ | 1,185,458 | $ | 1,465,422 | ||||
Capital: | ||||||||
Capital stock — Class B putable | $ | 2,460,419 | $ | 2,780,927 | ||||
Notional amount of derivatives | $ | 5,255,246 | $ | 939,650 | ||||
Notional amount of standby letters of credit | $ | 3,502,477 | $ | 3,400,001 | ||||
Notional amount of standby bond purchase agreements | $ | 711,135 | $ | 259,677 |
1 | Interest-bearing deposits consist of non-negotiable certificates of deposit purchased by the Bank from its members. | |
2 | Trading securities, available-for-sale securities and held-to-maturity securities consist of state or local housing agency obligations, commercial paper, and TLGP debt purchased by the Bank from its members or eligible housing associates. |
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Shares at | Percent of | |||||||||||
December 31, | Total Capital | |||||||||||
Name | City | State | 2009 | Stock | ||||||||
Superior Guaranty Insurance Company1 | Minneapolis | MN | 2,693 | 10.9 | % | |||||||
Transamerica Life Insurance Company2 | Cedar Rapids | IA | 2,525 | 10.2 | ||||||||
Wells Fargo Bank, N.A.1 | Sioux Falls | SD | 412 | 1.7 | ||||||||
Monumental Life Insurance Company2 | Cedar Rapids | IA | 278 | 1.1 | ||||||||
5,908 | 23.9 | % | ||||||||||
Shares at | Percent of | |||||||||||
December 31, | Total Capital | |||||||||||
Name | City | State | 2008 | Stock | ||||||||
Superior Guaranty Insurance Company1 | Minneapolis | MN | 4,499 | 16.2 | % | |||||||
Wells Fargo Bank, N.A.1 | Sioux Falls | SD | 189 | 0.6 | ||||||||
4,688 | 16.8 | % | ||||||||||
1 | Superior Guaranty Insurance Company (Superior) is an affiliate of Wells Fargo Bank, N.A. | |
2 | Monumental Life Insurance Company is an affiliate of Transamerica Life Insurance Company. |
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Stockholder | 2009 | 2008 | ||||||
Superior Guaranty Insurance Company | $ | 1,625,000 | $ | 2,250,000 | ||||
Transamerica Life Insurance Company | 5,450,000 | * | ||||||
Wells Fargo Bank, N.A. | 700,000 | 200,000 | ||||||
Monumental Life Insurance Company | 400,000 | * | ||||||
$ | 8,175,000 | $ | 2,450,000 | |||||
* | Transamerica Life Insurance Company and Monumental Life Insurance Company did not have capital stock outstanding in excess of 10 percent of the Bank’s total capital stock outstanding at December 31, 2008. |
2009 | ||||||||
Advances | Interest | |||||||
Stockholder | Originated | Income | ||||||
Superior Guaranty Insurance Company | $ | 625,000 | $ | 8,443 | ||||
Transamerica Life Insurance Company | — | 38,353 | ||||||
Wells Fargo Bank, N.A. | 500,000 | 17,758 | ||||||
Monumental Life Insurance Company | — | 3,039 | ||||||
$ | 1,125,000 | $ | 67,593 | |||||
2008 | ||||||||
Advances | Interest | |||||||
Stockholder | Originated | Income | ||||||
Superior Guaranty Insurance Company | $ | 1,500,000 | $ | 39,857 | ||||
Wells Fargo Bank, N.A. | 179,146,000 | 275,793 | ||||||
$ | 180,646,000 | $ | 315,650 | |||||
2007 | ||||||||
Advances | Interest | |||||||
Stockholder | Originated | Income | ||||||
Superior Guaranty Insurance Company | $ | 1,000,000 | $ | 35,784 | ||||
Wells Fargo Bank, N.A. | 21,450,000 | 55,286 | ||||||
$ | 22,450,000 | $ | 91,070 | |||||
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Principal | ||||||||||||||||
Beginning | Payment | Ending | ||||||||||||||
Other FHLBank | Balance | Advance | Received | Balance | ||||||||||||
Atlanta | $ | — | $ | 176,000 | $ | (176,000 | ) | $ | — | |||||||
Boston | — | 524,000 | (524,000 | ) | — | |||||||||||
Chicago | — | 250,000 | (250,000 | ) | — | |||||||||||
San Francisco | — | 1,150,000 | (1,150,000 | ) | — | |||||||||||
Topeka | — | 201,000 | (201,000 | ) | — | |||||||||||
$ | — | $ | 2,301,000 | $ | (2,301,000 | ) | $ | — | ||||||||
Beginning | Principal | Ending | ||||||||||||||
Other FHLBank | Balance | Borrowings | Payment | Balance | ||||||||||||
2009 | ||||||||||||||||
Cincinnati | $ | $ | 75,000 | $ | (75,000 | ) | $ | — | ||||||||
San Francisco | — | 6,104,000 | (6,104,000 | ) | — | |||||||||||
$ | — | $ | 6,179,000 | $ | (6,179,000 | ) | $ | — | ||||||||
2008 | ||||||||||||||||
Chicago | $ | — | $ | 305,000 | $ | (305,000 | ) | $ | — | |||||||
Cincinnati | — | 63,000 | (63,000 | ) | — | |||||||||||
Topeka | — | 200,000 | (200,000 | ) | — | |||||||||||
$ | — | $ | 568,000 | $ | (568,000 | ) | $ | — | ||||||||
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