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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 | 42-6000149 | |
(State or other jurisdiction of incorporation or organization) | (I.R.S. employer identification number) |
Skywalk Level | ||
801 Walnut Street, Suite 200 | 50309 | |
Des Moines, IA | (Zip code) | |
(Address of principal executive offices) |
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 | |||
(Do not check if a smaller reporting company) |
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Exhibit 3.2 | ||||||||
Exhibit 10.1 | ||||||||
Exhibit 10.2 | ||||||||
Exhibit 10.3 | ||||||||
Exhibit 12.1 | ||||||||
Exhibit 31.1 | ||||||||
Exhibit 31.2 | ||||||||
Exhibit 32.1 | ||||||||
Exhibit 32.2 |
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Institutional Entity | 2008 | 2007 | 2006 | |||||||||
Commercial Banks | 1,072 | 1,077 | 1,086 | |||||||||
Insurance Companies | 36 | 31 | 27 | |||||||||
Savings and Loan Associations | 77 | 77 | 76 | |||||||||
Credit Unions | 60 | 58 | 58 | |||||||||
Total members | 1,245 | 1,243 | 1,247 | |||||||||
Membership Asset Size | 2008 | 2007 | 2006 | |||||||||
Depository Institutions | ||||||||||||
Less than $100 million | 47.4 | % | 50.7 | % | 52.9 | % | ||||||
$100 million to $500 million | 40.2 | 38.5 | 37.2 | |||||||||
Excess of $500 million | 9.5 | 8.3 | 7.8 | |||||||||
Insurance Companies | ||||||||||||
Less than $100 million | 0.3 | 0.3 | 0.1 | |||||||||
$100 million to $500 million | 0.7 | 0.7 | 0.6 | |||||||||
Excess of $500 million | 1.9 | 1.5 | 1.4 | |||||||||
Total | 100.0 | % | 100.0 | % | 100.0 | % | ||||||
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• | Overnight advances used primarily to fund the short-term liquidity needs of our borrowers. These advances are automatically renewed until the borrower pays down the advances. Interest rates are set daily. |
• | Fixed rate advances that 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 that provide a source of short and long-term financing where the interest rate changes in relation to a specified interest rate index such as London Interbank Offered Rate (LIBOR). |
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• | Callable advances that 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 that we may, at our discretion, terminate and require the borrower to repay at predetermined dates prior to the stated maturity dates of the advances. Should an advance be terminated, the Bank intends to offer replacement funding at then current market rates and terms, based on the Bank’s available advance products and subject to the Bank’s 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. The Community Investment Cash Advance Program (CICA) 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 the Bank’s Asset-Liability Committee. The Bank’s Board of Directors annually establishes limits on the total amount of funds available for CICA advances and the total amount of CICA advances 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. |
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• | Noninvestment-grade debt instruments other than certain investments targeted to low income persons or communities and instruments that were downgraded after purchase by the Bank. |
• | 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 that the Bank has determined are permissible investments for fiduciary or trust funds under the laws of the state of Iowa. |
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• | those acquired under the Bank’s 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 that have average lives that vary by more than six years under an assumed instantaneous interest rate change of 300 basis points. |
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• | Cash. | ||
• | Obligations of or fully guaranteed by the U.S. | ||
• | Secured advances. |
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• | Mortgages that have 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 that a fiduciary or trust fund may purchase under the laws of the state of Iowa. |
• | Other securities that are 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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• | The U.S. Government placed Fannie Mae and Freddie Mac into conservatorship. |
• | The U.S. Government enacted the Emergency Economic Stabilization Act of 2008 (EESA) to address disruptions in the financial markets through the Troubled Asset Relief Program (TARP). |
• | The U.S. Treasury initiated a program to purchase equity interests in certain financial institutions. |
• | The FDIC established the TLGP, which guarantees repayment of certain newly issued senior unsecured debt, including promissory notes, commercial paper, interbank funding, and unsecured portions of secured debt, issued on or before October 2009, in the event the issuing institution subsequently fails or its holding company files for bankruptcy. |
• | The FDIC issued a final rule to increase deposit insurance premiums charged to FDIC-insured institutions that have secured debt above defined limits. |
• | The Federal Reserve initiated various funding programs to financial institutions. |
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2008 | 2007 | |||||||||||||||
Annual | Annual | |||||||||||||||
Quarter declared and paid | Amount1 | Rate | Amount1 | Rate | ||||||||||||
First quarter | $ | 25.7 | 4.50 | % | $ | 20.1 | 4.25 | % | ||||||||
Transition (May) | NA | NA | 20.6 | 4.25 | ||||||||||||
Second quarter | 26.6 | 4.00 | NA | — | ||||||||||||
Third quarter | 30.1 | 4.00 | 20.3 | 4.25 | ||||||||||||
Fourth quarter | 24.3 | 3.00 | 23.3 | 4.50 |
1 | This table is based on the period of declaration and payment. The dividend generally applies to the financial performance for the quarter prior to the quarter declared. |
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Statements of Condition | December 31, | |||||||||||||||||||
(Dollars in millions) | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||||
Short-term investments1 | $ | 3,810 | $ | 2,330 | $ | 3,826 | $ | 5,287 | $ | 2,599 | ||||||||||
Mortgage-backed securities | 9,307 | 6,837 | 4,380 | 4,925 | 3,702 | |||||||||||||||
Other investments2 | 2,252 | 77 | 13 | 15 | 164 | |||||||||||||||
Advances | 41,897 | 40,412 | 21,855 | 22,283 | 27,175 | |||||||||||||||
Mortgage loans, net | 10,685 | 10,802 | 11,775 | 13,018 | 15,193 | |||||||||||||||
Total assets | 68,129 | 60,736 | 42,028 | 45,657 | 48,858 | |||||||||||||||
Securities sold under agreements to repurchase | — | 200 | 500 | 500 | 500 | |||||||||||||||
Consolidated obligations3 | 62,784 | 56,065 | 37,751 | 41,197 | 44,493 | |||||||||||||||
Mandatorily redeemable capital stock4 | 11 | 46 | 65 | 85 | 59 | |||||||||||||||
Affordable Housing Program | 40 | 43 | 45 | 47 | 29 | |||||||||||||||
Payable to REFCORP | 1 | 6 | 6 | 51 | 14 | |||||||||||||||
Total liabilities | 65,112 | 57,683 | 39,779 | 43,397 | 46,464 | |||||||||||||||
Capital stock — Class B putable | 2,781 | 2,717 | 1,906 | 1,932 | 2,232 | |||||||||||||||
Retained earnings | 382 | 361 | 344 | 329 | 163 | |||||||||||||||
Capital-to-asset ratio5 | 4.43 | % | 5.03 | % | 5.35 | % | 4.94 | % | 4.88 | % |
Operating Results and Performance Ratios | Years Ended December 31, | |||||||||||||||||||
(Dollars in millions) | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||||
Interest income | $ | 2,368.4 | $ | 2,460.8 | $ | 2,211.4 | $ | 1,878.0 | $ | 1,428.4 | ||||||||||
Interest expense | 2,122.8 | 2,289.7 | 2,057.1 | 1,584.4 | 929.8 | |||||||||||||||
Net interest income | 245.6 | 171.1 | 154.3 | 293.6 | 498.6 | |||||||||||||||
Provision for (reversal of) credit losses on mortgage loans | 0.3 | — | (0.5 | ) | — | (5.0 | ) | |||||||||||||
Net interest income after mortgage loan credit loss provision | 245.3 | 171.1 | 154.8 | 293.6 | 503.6 | |||||||||||||||
Other (loss) income | (27.8 | ) | 10.3 | 8.7 | 46.8 | (336.8 | ) | |||||||||||||
Other expense | 44.1 | 42.4 | 41.5 | 39.0 | 31.1 | |||||||||||||||
Total assessments6 | 46.0 | 37.6 | 32.6 | 80.2 | 36.1 | |||||||||||||||
Cumulative effect of change in accounting principle4 7 | — | — | — | 6.5 | (0.1 | ) | ||||||||||||||
Net income | 127.4 | 101.4 | 89.4 | 227.7 | 99.5 | |||||||||||||||
Return on average assets8 | 0.18 | % | 0.21 | % | 0.20 | % | 0.48 | % | 0.21 | % | ||||||||||
Return on average total capital | 3.88 | 4.25 | 3.91 | 9.57 | 4.30 | |||||||||||||||
Return on average capital stock | 4.27 | 4.97 | 4.61 | 10.68 | 4.59 | |||||||||||||||
Net interest spread | 0.18 | 0.07 | 0.03 | 0.40 | 0.91 | |||||||||||||||
Net interest margin | 0.35 | 0.37 | 0.35 | 0.62 | 1.03 | |||||||||||||||
Operating expenses to average assets8 9 | 0.06 | 0.08 | 0.09 | 0.08 | 0.06 | |||||||||||||||
Annualized dividend rate | 3.87 | 4.31 | 3.83 | 2.82 | 2.13 | |||||||||||||||
Cash dividends paid10 | $ | 106.7 | $ | 84.3 | $ | 74.4 | $ | 61.2 | $ | 46.1 |
1 | Short-term investments include: interest-bearing deposits, certificates of deposit, securities purchased under agreements to resell, Federal funds sold, commercial paper, and GSE obligations. Short-term investments have terms less than one year. | |
2 | Other investments include: TLGP debt obligations, state or local housing agency obligations, SBIC, and municipal bonds. | |
3 | The par amount of the outstanding consolidated obligations for all 12 FHLBanks was $1,251.5 billion, $1,189.6 billion, $951.7 billion, $937.4 billion, and $869.2 billion at December 31, 2008, 2007, 2006, 2005, and 2004, respectively. | |
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4 | The Bank adopted Statement of Financial Accounting Standards (SFAS) 150,Accounting for Certain Financial Instruments with Characteristics of Both Liabilities and Equity,on January 1, 2004, and recorded a $47.2 million reclassification from capital stock to mandatorily redeemable capital stock and a $0.1 million loss related to the fair value adjustment on the stock reclassified to mandatorily redeemable capital stock. | |
5 | Capital-to-asset ratio is capital stock plus retained earnings and accumulated other comprehensive (loss) income as a percentage of total assets at the end of each year. | |
6 | Total assessments include AHP and REFCORP. | |
7 | Effective January 1, 2006, the Bank changed its method of accounting for premiums and discounts related to and received on mortgage loans and MBS under SFAS 91,Accounting for Nonrefundable Fees and Costs Associated with Originating or Acquiring Loans and Initial Direct Costs of Leases. The Bank recorded a $6.5 million gain after assessments to change the amortization period from estimated lives to contractual maturities. | |
8 | Average assets do not reflect the affect of reclassifications due to Financial Accounting Standards Board Interpretation (FIN) No. 39-1,Amendment of FIN No. 39(FIN 39-1). | |
9 | Operating expenses to average assets ratio is compensation and benefits and operating expenses as a percentage of average assets. | |
10 | Cash dividends on mandatorily redeemable capital stock is classified as interest expense in accordance with SFAS 150 and amounted to $1.6 million, $2.6 million, $2.9 million, and $2.0 million for the years ended December 31, 2008, 2007, 2006, and 2005. Cash dividends paid excludes dividends paid on mandatorily redeemable capital stock that is recorded as interest expense. |
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Forward-Looking Information | 42 | |||
Executive Overview | 42 | |||
Conditions in the Financial Markets | 43 | |||
Results of Operations | 47 | |||
Net Income | 47 | |||
Net Interest Income | 47 | |||
Net Interest Income by Segment | 52 | |||
Provision for Credit Losses on Mortgage Loans | 53 | |||
Other Income | 53 | |||
Hedging Activities | 54 | |||
Other Expenses | 57 | |||
Statements of Condition | 57 | |||
Financial Highlights | 57 | |||
Advances | 58 | |||
Mortgage Loans | 61 | |||
Investments | 62 | |||
Consolidated Obligations | 63 | |||
Deposits | 65 | |||
Capital | 66 | |||
Derivatives | 66 | |||
Liquidity and Capital Resources | 69 | |||
Critical Accounting Policies and Estimates | 81 | |||
Legislative and Regulatory Developments | 87 | |||
Off-Balance Sheet Arrangements | 92 | |||
Contractual Obligations | 95 | |||
Risk Management | 96 |
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December 31, | December 31, | |||||||||||||||
2008 | 2007 | December 31, | December 31, | |||||||||||||
12-Month | 12-Month | 2008 | 2007 | |||||||||||||
Average | Average | Ending Rate | Ending Rate | |||||||||||||
Fed effective1 | 1.93 | % | 5.03 | % | 0.14 | % | 3.06 | % | ||||||||
Three-month LIBOR1 | 2.93 | 5.30 | 1.43 | 4.70 | ||||||||||||
2-year U.S. Treasury1 | 1.99 | 4.35 | 0.77 | 3.05 | ||||||||||||
10-year U.S. Treasury1 | 3.64 | 4.63 | 2.21 | 4.03 | ||||||||||||
30-year residential mortgage note2 | 6.05 | 6.34 | 5.14 | 6.17 |
1 | Source is Bloomberg. | |
2 | Average calculated usingThe Mortgage Bankers Association Weekly Application Survey and December 31, 2008 and 2007 ending rates from the respective last weeks in 2008 and 2007. |
Fourth | Fourth | Year-to-date | Year-to-date | |||||||||||||||||||||
Quarter | Quarter | December 31, | December 31, | |||||||||||||||||||||
2008 | 2007 | 2008 | 2007 | December 31, | December 31, | |||||||||||||||||||
3-Month | 3-Month | 12-Month | 12-Month | 2008 | 2007 | |||||||||||||||||||
Average | Average | Average | Average | Ending Rate | Ending Rate | |||||||||||||||||||
FHLB spreads to LIBOR (basis points)1 | ||||||||||||||||||||||||
3-month | (154.5 | ) | (61.3 | ) | (73.0 | ) | (33.3 | ) | (131.5 | ) | (47.8 | ) | ||||||||||||
2-year | 60.7 | (17.1 | ) | 7.9 | (15.5 | ) | 19.4 | (14.5 | ) | |||||||||||||||
5-year | 80.6 | (9.9 | ) | 23.9 | (11.9 | ) | 73.1 | (9.0 | ) | |||||||||||||||
10-year | 124.2 | (0.7 | ) | 47.4 | (6.4 | ) | 109.1 | 2.2 |
1 | Source is Office of Finance. |
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2008 | 2007 | 2006 | ||||||||||||||||||||||||||||||||||
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 deposits2 | $ | 24 | 0.45 | % | $ | 0.1 | $ | 8 | 5.28 | % | $ | 0.4 | $ | 50 | 4.95 | % | $ | 2.5 | ||||||||||||||||||
Securities purchased under agreements to resell | — | — | — | 222 | 5.36 | 11.9 | 305 | 5.07 | 15.5 | |||||||||||||||||||||||||||
Federal funds sold | 4,119 | 1.75 | 72.0 | 3,625 | 5.20 | 188.7 | 2,770 | 5.01 | 138.7 | |||||||||||||||||||||||||||
Short-term investments3 | 467 | 2.41 | 11.2 | 2,255 | 5.27 | 118.8 | 1,102 | 4.95 | 54.5 | |||||||||||||||||||||||||||
Mortgage-backed securities3 | 8,403 | 3.88 | 326.5 | 4,974 | 5.30 | 263.6 | 4,741 | 5.24 | 248.3 | |||||||||||||||||||||||||||
Other investments3 | 145 | 4.28 | 6.2 | 39 | 5.58 | 2.2 | 14 | 4.39 | 0.6 | |||||||||||||||||||||||||||
Advances4 | 45,653 | 3.11 | 1,418.6 | 24,720 | 5.31 | 1,313.6 | 22,216 | 5.12 | 1,136.6 | |||||||||||||||||||||||||||
Mortgage loans5 | 10,647 | 5.01 | 533.7 | 11,248 | 4.99 | 561.6 | 12,392 | 4.96 | 614.7 | |||||||||||||||||||||||||||
Loans to other FHLBanks | 14 | 0.68 | 0.1 | — | — | — | — | — | — | |||||||||||||||||||||||||||
Total interest-earning assets | 69,472 | 3.41 | 2,368.4 | 47,091 | 5.23 | 2,460.8 | 43,590 | 5.07 | 2,211.4 | |||||||||||||||||||||||||||
Noninterest-earning assets | 182 | — | — | 270 | — | — | 251 | — | — | |||||||||||||||||||||||||||
Total assets | $ | 69,654 | 3.40 | % | 2,368.4 | $ | 47,361 | 5.20 | % | $ | 2,460.8 | $ | 43,841 | 5.04 | % | $ | 2,211.4 | |||||||||||||||||||
Interest-bearing liabilities | ||||||||||||||||||||||||||||||||||||
Deposits | $ | 1,354 | 1.64 | % | $ | 22.2 | $ | 1,072 | 4.79 | % | $ | 51.4 | $ | 736 | 4.78 | % | $ | 35.2 | ||||||||||||||||||
Consolidated obligations | ||||||||||||||||||||||||||||||||||||
Discount notes | 26,543 | 2.32 | 616.4 | 8,597 | 4.93 | 424.0 | 5,423 | 4.97 | 269.3 | |||||||||||||||||||||||||||
Bonds | 37,752 | 3.92 | 1,481.2 | 34,233 | 5.22 | 1,786.2 | 34,106 | 5.05 | 1,721.0 | |||||||||||||||||||||||||||
Other interest-bearing liabilities | 68 | 4.43 | 3.0 | 478 | 5.87 | 28.1 | 579 | 5.46 | 31.6 | |||||||||||||||||||||||||||
Total interest-bearing liabilities | 65,717 | 3.23 | 2,122.8 | 44,380 | 5.16 | 2,289.7 | 40,844 | 5.04 | 2,057.1 | |||||||||||||||||||||||||||
Noninterest-bearing liabilities | 656 | — | — | 595 | — | — | 713 | — | — | |||||||||||||||||||||||||||
Total liabilities | 66,373 | 3.20 | 2,122.8 | 44,975 | 5.09 | 2,289.7 | 41,557 | 4.95 | 2,057.1 | |||||||||||||||||||||||||||
Capital | 3,281 | — | — | 2,386 | — | — | 2,284 | — | — | |||||||||||||||||||||||||||
Total liabilities and capital | $ | 69,654 | 3.05 | % | $ | 2,122.8 | $ | 47,361 | 4.83 | % | $ | 2,289.7 | $ | 43,841 | 4.69 | % | $ | 2,057.1 | ||||||||||||||||||
Net interest income and spread | 0.18 | % | $ | 245.6 | 0.07 | % | $ | 171.1 | 0.03 | % | $ | 154.3 | ||||||||||||||||||||||||
Net interest margin | 0.35 | % | 0.37 | % | 0.35 | % | ||||||||||||||||||||||||||||||
Average interest-earning assets to interest-bearing liabilities | 105.71 | % | 106.11 | % | 106.72 | % | ||||||||||||||||||||||||||||||
Composition of net interest income | ||||||||||||||||||||||||||||||||||||
Asset-liability spread | 0.20 | % | $ | 140.7 | 0.11 | % | $ | 49.7 | 0.09 | % | $ | 41.2 | ||||||||||||||||||||||||
Earnings on capital | 3.20 | % | 104.9 | 5.09 | % | 121.4 | 4.95 | % | 113.1 | |||||||||||||||||||||||||||
Net interest income | $ | 245.6 | $ | 171.1 | $ | 154.3 | ||||||||||||||||||||||||||||||
1 | Average balances do not reflect the affect of reclassifications due to FIN 39-1. | |
2 | Certificates of deposit were reclassified from interest-bearing deposits to short-term investments. | |
3 | The average balances of available-for-sale securities are reflected at amortized cost; therefore the resulting yields do not give effect to changes in fair value. | |
4 | Advance interest income includes advance prepayment fee income of $0.9 million, $1.5 million, and $0.5 million for the years ended December 31, 2008, 2007, and 2006. | |
5 | Nonperforming loans are included in average balances used to determine average rate. |
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Variance — 2008 vs. 2007 | Variance — 2007 vs. 2006 | |||||||||||||||||||||||
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 | $ | (0.6 | ) | $ | (0.3 | ) | $ | (2.3 | ) | $ | 0.2 | $ | (2.1 | ) | ||||||||
Securities purchased under agreements to resell | (11.9 | ) | — | (11.9 | ) | (4.4 | ) | 0.8 | (3.6 | ) | ||||||||||||||
Federal funds sold | 22.7 | (139.4 | ) | (116.7 | ) | 44.5 | 5.5 | 50.0 | ||||||||||||||||
Short-term investments | (63.9 | ) | (43.7 | ) | (107.6 | ) | 60.5 | 3.8 | 64.3 | |||||||||||||||
Mortgage-backed securities | 147.0 | (84.1 | ) | 62.9 | 12.4 | 2.9 | 15.3 | |||||||||||||||||
Other investments | 4.6 | (0.6 | ) | 4.0 | 1.4 | 0.2 | 1.6 | |||||||||||||||||
Advances | 800.9 | (695.9 | ) | 105.0 | 133.2 | 43.8 | 177.0 | |||||||||||||||||
Mortgage loans | (30.1 | ) | 2.2 | (27.9 | ) | (56.8 | ) | 3.7 | (53.1 | ) | ||||||||||||||
Loans to other FHLBanks | 0.1 | — | 0.1 | — | — | — | ||||||||||||||||||
Total interest income | 869.7 | (962.1 | ) | (92.4 | ) | 188.5 | 60.9 | 249.4 | ||||||||||||||||
Interest expense | ||||||||||||||||||||||||
Deposits | 11.0 | (40.2 | ) | (29.2 | ) | 16.1 | 0.1 | 16.2 | ||||||||||||||||
Consolidated obligations | ||||||||||||||||||||||||
Discount notes | 511.4 | (319.0 | ) | 192.4 | 156.9 | (2.2 | ) | 154.7 | ||||||||||||||||
Bonds | 170.9 | (475.9 | ) | (305.0 | ) | 6.5 | 58.7 | 65.2 | ||||||||||||||||
Other interest-bearing liabilities | (19.5 | ) | (5.6 | ) | (25.1 | ) | (5.8 | ) | 2.3 | (3.5 | ) | |||||||||||||
Total interest expense | 673.8 | (840.7 | ) | (166.9 | ) | 173.7 | 58.9 | 232.6 | ||||||||||||||||
Net interest income | $ | 195.9 | $ | (121.4 | ) | $ | 74.5 | $ | 14.8 | $ | 2.0 | $ | 16.8 | |||||||||||
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• | Interest income on our advance portfolio (including advance prepayment fees, net) increased $0.1 billion or approximately eight percent to $1.4 billion for the year ended December 31, 2008 compared with $1.3 billion for 2007. This was primarily due to increased advance volumes during the first three quarters of 2008, partially offset by declining interest rates. During the last quarter of 2008, advance levels declined due to the announcement of several U.S. Government programs which increased funding options for our members. |
• | Interest income from mortgage backed securities increased $62.9 million or approximately 24 percent to $326.5 million for the year ended December 31, 2008 from $263.6 million for 2007. This was primarily due to the Bank purchasing $3.7 billion of agency MBS during 2008 as a result of attractive pricing and the Bank’s desire to increase its leverage position. |
• | Interest income from mortgage loans held for portfolio decreased $27.9 million or approximately five percent to $533.7 million for the year ended December 31, 2008 from $561.6 million for 2007. The decrease was primarily due to paydowns of the existing portfolio exceeding new loan acquisitions during the first nine months of 2008. |
• | Interest expense from bonds decreased $0.3 billion or approximately 17 percent to $1.5 billion for the year ended December 31, 2008 from $1.8 billion for 2007. The decrease was primarily due to the lower interest rate environment throughout 2008. |
• | Interest expense from discount notes increased $192.4 million or approximately 45 percent to $616.4 million for the year ended December 31, 2008 from $424.0 million for 2007. This increase was primarily due to increased volume in response to increased member advance activity during the first nine months of 2008. Additionally, during the last three months of 2008, government interventions and weakening investor confidence adversely impacted the Bank’s long-term cost of funds. The cost of the Bank’s long-term debt increased relative to LIBOR as investors exhibited a desire to purchase debt with short-term maturities. As a result, the Bank began to rely more heavily on the issuance of discount notes to fund both short- and long-term assets. |
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2008 | 2007 | 2006 | ||||||||||
Adjusted net interest income after mortgage loan credit loss provision | ||||||||||||
Member Finance | $ | 117.7 | $ | 139.0 | $ | 114.8 | ||||||
Mortgage Finance | $ | 125.4 | $ | 30.4 | $ | 39.8 | ||||||
Total | $ | 243.1 | $ | 169.4 | $ | 154.6 | ||||||
Reconciliation of the Bank’s operating segment results to net interest income | ||||||||||||
Adjusted net interest income after mortgage loan credit loss provision | $ | 243.1 | $ | 169.4 | $ | 154.6 | ||||||
Adjustments for net interest expense on economic hedges | 2.2 | 1.7 | 0.2 | |||||||||
Net interest income after mortgage loan credit loss provision | $ | 245.3 | $ | 171.1 | $ | 154.8 | ||||||
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2008 | 2007 | 2006 | ||||||||||
Service fees | $ | 2.4 | $ | 2.2 | $ | 2.4 | ||||||
Net gain (loss) on trading securities | 1.5 | — | — | |||||||||
Net realized gain on held-to-maturity securities | 1.8 | 0.5 | — | |||||||||
Net (loss) gain on derivatives and hedging activities | (33.2 | ) | 4.5 | 2.3 | ||||||||
Other, net | (0.3 | ) | 3.1 | 4.0 | ||||||||
Total other (loss) income | $ | (27.8 | ) | $ | 10.3 | $ | 8.7 | |||||
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2008 | ||||||||||||||||||||
Mortgage | Consolidated | Balance | ||||||||||||||||||
Net effect of Hedging Activities | Advances | Assets | Obligations | Sheet | Total | |||||||||||||||
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 | ||||||||||||||||||||
Mortgage | Consolidated | Balance | ||||||||||||||||||
Net effect of Hedging Activities | Advances | Assets | Obligations | Sheet | Total | |||||||||||||||
Amortization/accretion | $ | (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 | ) | ||||||
2006 | ||||||||||||||||||||
Mortgage | Consolidated | Balance | ||||||||||||||||||
Net effect of Hedging Activities | Advances | Assets | Obligations | Sheet | Total | |||||||||||||||
Amortization/accretion | $ | (2.2 | ) | $ | (2.1 | ) | $ | (43.2 | ) | $ | — | $ | (47.5 | ) | ||||||
Net realized and unrealized gains (losses) on derivatives and hedging activities | 3.6 | — | (0.9 | ) | — | 2.7 | ||||||||||||||
(Losses) Gains – Economic Hedges | (0.2 | ) | — | 0.1 | (0.3 | ) | (0.4 | ) | ||||||||||||
Reported in Other Income (Loss) | 3.4 | — | (0.8 | ) | (0.3 | ) | 2.3 | |||||||||||||
Total | $ | 1.2 | $ | (2.1 | ) | $ | (44.0 | ) | $ | (0.3 | ) | $ | (45.2 | ) | ||||||
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• | Market value changes on derivative instruments. The Bank held interest rate caps and swaptions on its balance sheet as economic hedges against adverse changes in interest rates. Due to volatility in the market, the Bank recorded $23.1 million in losses on these derivatives during 2008. |
• | The loss of hedge accounting for certain advance and consolidated obligation hedge relationships as a result of Lehman Brothers declaring bankruptcy during the third quarter of 2008. |
• | In accordance with SFAS 133, the Bank performs a retrospective hedge effectiveness test at least quarterly. If a hedge relationship fails this test, the Bank can no longer receive hedge accounting and the derivative is accounted for as an economic hedge. The low and volatile interest rate environment in 2008 increased hedge relationship failures due to failed retrospective hedge effectiveness testing. |
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2008 | 2007 | 2006 | ||||||||||
Compensation and benefits | $ | 26.3 | $ | 24.8 | $ | 22.6 | ||||||
Occupancy cost | 1.3 | 1.6 | 0.7 | |||||||||
Other operating expenses | 12.8 | 13.0 | 15.7 | |||||||||
Total operating expenses | 14.1 | 14.6 | 16.4 | |||||||||
Finance Agency | 1.9 | 1.5 | 1.5 | |||||||||
Office of Finance | 1.8 | 1.5 | 1.0 | |||||||||
Total other expense | $ | 44.1 | $ | 42.4 | $ | 41.5 | ||||||
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2008 | 2007 | |||||||||||||||
Percent of | Percent of | |||||||||||||||
Amount | Total | Amount | Total | |||||||||||||
Simple fixed rate advances | ||||||||||||||||
Overdrawn demand deposit accounts | $ | 1 | * | % | $ | — | — | % | ||||||||
One month or less | 2,852 | 7.0 | 14,737 | 36.8 | ||||||||||||
Over one month through one year | 5,220 | 12.8 | 3,793 | 9.5 | ||||||||||||
Greater than one year | 10,108 | 24.9 | 7,907 | 19.8 | ||||||||||||
18,181 | 44.7 | 26,437 | 66.1 | |||||||||||||
Simple variable rate advances | ||||||||||||||||
One month or less | 4 | * | 23 | * | ||||||||||||
Over one month through one year | 418 | 1.1 | 126 | 0.3 | ||||||||||||
Greater than one year | 4,560 | 11.2 | 3,433 | 8.6 | ||||||||||||
4,982 | 12.3 | 3,582 | 8.9 | |||||||||||||
Callable advances | ||||||||||||||||
Fixed rate | 262 | 0.6 | 235 | 0.6 | ||||||||||||
Variable rate | 7,527 | 18.5 | 1,033 | 2.6 | ||||||||||||
Putable advances | ||||||||||||||||
Fixed rate | 8,122 | 20.0 | 7,249 | 18.1 | ||||||||||||
Community investment advances | ||||||||||||||||
Fixed rate | 1,000 | 2.5 | 1,021 | 2.5 | ||||||||||||
Variable rate | 104 | 0.3 | 104 | 0.2 | ||||||||||||
Callable – fixed rate | 62 | 0.1 | 61 | 0.2 | ||||||||||||
Putable – fixed rate | 423 | 1.0 | 300 | 0.8 | ||||||||||||
Total par value | 40,663 | 100.0 | % | 40,022 | 100.0 | % | ||||||||||
Hedging fair value adjustments | ||||||||||||||||
Cumulative fair value gain | 1,082 | 383 | ||||||||||||||
Basis adjustments from terminated and ineffective hedges | 152 | 7 | ||||||||||||||
Total advances | $ | 41,897 | $ | 40,412 | ||||||||||||
* | Amount is less than 0.1 percent. |
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Percent of | ||||||||||||||||
2008 | Total | |||||||||||||||
Name | City | State | Advances1 | Advances | ||||||||||||
Transamerica Life Insurance Company2 | Cedar Rapids | IA | $ | 5,450 | 13.4 | % | ||||||||||
Aviva Life and Annuity Company | Des Moines | IA | 3,131 | 7.7 | ||||||||||||
ING USA Annuity and Life Insurance Company | Des Moines | IA | 2,994 | 7.4 | ||||||||||||
TCF National Bank | Wayzata | MN | 2,475 | 6.1 | ||||||||||||
Superior Guaranty Insurance Company3 | 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 | % | ||||||||||||
Percent of | ||||||||||||||||
2007 | Total | |||||||||||||||
Name | City | State | Advances1 | Advances | ||||||||||||
Wells Fargo Bank, N.A. 3 | Sioux Falls | SD | $ | 11,300 | 28.2 | % | ||||||||||
ING USA Annuity and Life Insurance Company | Des Moines | IA | 2,884 | 7.2 | ||||||||||||
TCF National Bank | Wayzata | MN | 2,375 | 5.9 | ||||||||||||
Transamerica Occidental Life Insurance Company2 | Cedar Rapids | IA | 2,225 | 5.6 | ||||||||||||
Aviva Life and Annuity Company | Des Moines | IA | 1,863 | 4.7 | ||||||||||||
20,647 | 51.6 | |||||||||||||||
Housing associates | 3 | * | ||||||||||||||
All others | 19,372 | 48.4 | ||||||||||||||
Total advances (at par value) | $ | 40,022 | 100.0 | % | ||||||||||||
1 | Amounts represent par value before considering unamortized commitment fees, premiums and discounts, and hedging fair value adjustments. | |
2 | Transamerica Occidental Life Insurance Company merged into Transamerica Life Insurance Company on October 1, 2008. | |
3 | Superior Guaranty Insurance Company is an affiliate of Wells Fargo Bank, N.A. | |
* | Amount is less than 0.1 percent. |
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2008 | 2007 | |||||||
Single family mortgages | ||||||||
Fixed rate conventional loans | ||||||||
Contractual maturity less than or equal to 15 years | $ | 2,408 | $ | 2,567 | ||||
Contractual maturity greater than 15 years | 7,845 | 7,762 | ||||||
Subtotal | 10,253 | 10,329 | ||||||
Fixed rate government-insured loans | ||||||||
Contractual maturity less than or equal to 15 years | 2 | 3 | ||||||
Contractual maturity greater than 15 years | 421 | 458 | ||||||
Subtotal | 423 | 461 | ||||||
Total par value | 10,676 | 10,790 | ||||||
Premiums | 86 | 97 | ||||||
Discounts | (81 | ) | (93 | ) | ||||
Basis adjustments from mortgage loan commitments | 4 | 8 | ||||||
Total mortgage loans held for portfolio, net | $ | 10,685 | $ | 10,802 | ||||
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2008 | 2007 | |||||||||||||||
Percent of | Percent of | |||||||||||||||
Amount | Total | Amount | Total | |||||||||||||
Short-term investments | ||||||||||||||||
Certificates of deposit | $ | — | — | % | $ | 100 | 1.0 | % | ||||||||
Federal funds sold | 3,425 | 22.3 | 1,805 | 19.5 | ||||||||||||
Commercial paper | 385 | 2.5 | 200 | 2.2 | ||||||||||||
Government-sponsored enterprise obligations | — | — | 219 | 2.4 | ||||||||||||
Other | — | — | 6 | 0.1 | ||||||||||||
3,810 | 24.8 | 2,330 | 25.2 | |||||||||||||
Mortgage-backed securities | ||||||||||||||||
Government-sponsored enterprises | 9,169 | 59.7 | 6,672 | 72.2 | ||||||||||||
U.S. government agency-guaranteed | 52 | 0.3 | 64 | 0.7 | ||||||||||||
MPF shared funding | 47 | 0.3 | 53 | 0.6 | ||||||||||||
Other | 39 | 0.3 | 48 | 0.5 | ||||||||||||
9,307 | 60.6 | 6,837 | 74.0 | |||||||||||||
State or local housing agency obligations | 93 | 0.6 | 74 | 0.8 | ||||||||||||
Other | 2,159 | 14.0 | 3 | * | ||||||||||||
2,252 | 14.6 | 77 | 0.8 | |||||||||||||
Total investments | $ | 15,369 | 100.0 | % | $ | 9,244 | 100.0 | % | ||||||||
Investments as a percent of total assets | 22.6 | % | 15.2 | % | ||||||||||||
* | Amount is less than 0.1 percent. |
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2008 | 2007 | |||||||
Par value | $ | 20,153 | $ | 21,544 | ||||
Discounts | (92 | ) | (43 | ) | ||||
Total discount notes | $ | 20,061 | $ | 21,501 | ||||
Year of Maturity | 2008 | 2007 | ||||||
2008 | $ | — | $ | 6,438 | ||||
2009 | 15,963 | 5,628 | ||||||
2010 | 6,159 | 4,329 | ||||||
2011 | 4,670 | 2,754 | ||||||
2012 | 2,231 | 2,018 | ||||||
2013 | 2,417 | 1,500 | ||||||
Thereafter | 8,409 | 9,088 | ||||||
Index amortizing notes | 2,420 | 2,667 | ||||||
Total par value | 42,269 | 34,422 | ||||||
Premiums | 51 | 48 | ||||||
Discounts | (41 | ) | (38 | ) | ||||
Hedging fair value adjustments | ||||||||
Cumulative fair value loss | 348 | 226 | ||||||
Basis adjustments from terminated and ineffective hedges | 95 | (94 | ) | |||||
Total bonds | $ | 42,722 | $ | 34,564 | ||||
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2008 | 2007 | |||||||
Par amount of bonds | ||||||||
Noncallable or nonputable | $ | 39,214 | $ | 26,045 | ||||
Callable | 3,055 | 8,377 | ||||||
Total par value | $ | 42,269 | $ | 34,422 | ||||
2008 | 2007 | |||||||||||||||
Percent of | Percent of | |||||||||||||||
Amount | Total | Amount | Total | |||||||||||||
Interest-bearing | ||||||||||||||||
Overnight | $ | 694 | 46.4 | % | $ | 649 | 75.2 | % | ||||||||
Demand | 230 | 15.3 | 153 | 17.7 | ||||||||||||
Term | 465 | 31.1 | 40 | 4.7 | ||||||||||||
Total interest-bearing | 1,389 | 92.8 | 842 | 97.6 | ||||||||||||
Noninterest-bearing | 107 | 7.2 | 21 | 2.4 | ||||||||||||
Total deposits | $ | 1,496 | 100.0 | % | $ | 863 | 100.0 | % | ||||||||
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Over three | Over six | |||||||||||||||
Three | months but | months but | ||||||||||||||
months | within six | within 12 | ||||||||||||||
or less | months | months | Total | |||||||||||||
Time deposits | $ | 143 | $ | 175 | $ | 147 | $ | 465 | ||||||||
2008 | 2007 | |||||||
Notional amount of derivatives | ||||||||
Interest rate swaps | ||||||||
Noncallable | $ | 17,773 | $ | 18,555 | ||||
Callable by counterparty | 9,261 | 14,070 | ||||||
Callable by the Bank | 77 | 10 | ||||||
27,111 | 32,635 | |||||||
Interest rate swaptions | — | 6,500 | ||||||
Interest rate caps | 2,340 | 1,700 | ||||||
Forward settlement agreements | 289 | 23 | ||||||
Mortgage delivery commitments | 288 | 23 | ||||||
Total notional amount | $ | 30,028 | $ | 40,881 | ||||
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2008 | 2007 | |||||||||||||||
Estimated | Estimated | |||||||||||||||
Notional | Fair Value | Notional | Fair Value | |||||||||||||
Advances | ||||||||||||||||
Fair value | $ | 11,501 | $ | (1,109 | ) | $ | 14,611 | $ | (391 | ) | ||||||
Economic | 527 | (5 | ) | 500 | — | |||||||||||
Mortgage assets | ||||||||||||||||
Forward settlement agreements | ||||||||||||||||
Economic | 289 | (2 | ) | 23 | — | |||||||||||
Mortgage delivery commitments | ||||||||||||||||
Economic | 288 | 2 | 23 | — | ||||||||||||
Consolidated obligations | ||||||||||||||||
Bonds | ||||||||||||||||
Fair value | 11,969 | 330 | 17,524 | 206 | ||||||||||||
Economic | 3,030 | 2 | — | — | ||||||||||||
Discount notes | ||||||||||||||||
Economic | 84 | 1 | — | — | ||||||||||||
Balance Sheet | ||||||||||||||||
Economic | 2,340 | 2 | 8,200 | 1 | ||||||||||||
Total notional and fair value | $ | 30,028 | $ | (779 | ) | $ | 40,881 | $ | (184 | ) | ||||||
Total derivatives, excluding accrued interest | (779 | ) | (184 | ) | ||||||||||||
Accrued interest | 79 | 138 | ||||||||||||||
Net cash collateral | 268 | (32 | ) | |||||||||||||
Net derivative balance | $ | (432 | ) | $ | (78 | ) | ||||||||||
Net derivative assets | 3 | 60 | ||||||||||||||
Net derivative liabilities | (435 | ) | (138 | ) | ||||||||||||
Net derivative balance | $ | (432 | ) | $ | (78 | ) | ||||||||||
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Average number of | ||||
Month | days to maturity | |||
January | 129 | |||
February | 150 | |||
March | 145 | |||
April | 154 | |||
May | 158 | |||
June | 172 | |||
July | 181 | |||
August | 170 | |||
September | 164 | |||
October | 183 | |||
November | 213 | |||
December | 215 |
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December 31, | September 30, | June 30, | March 31, | December 31, | ||||||||||||||||
2008 | 2008 | 2008 | 2008 | 2007 | ||||||||||||||||
Total available liquidity | $ | 16.6 | $ | 25.0 | $ | 21.1 | $ | 20.5 | $ | 16.5 | ||||||||||
Statutory liquidity requirement | 3.8 | 17.4 | 13.8 | 13.8 | 10.5 | |||||||||||||||
Excess liquidity | $ | 12.8 | $ | 7.6 | $ | 7.3 | $ | 6.7 | $ | 6.0 | ||||||||||
2008 | 2007 | |||||||
Unencumbered marketable assets maturing within one year | $ | 4.8 | $ | 2.2 | ||||
Advances maturing in seven days or less | 1.3 | 7.5 | ||||||
Unencumbered assets available for repurchase agreement borrowings | 10.5 | 6.8 | ||||||
Total | $ | 16.6 | $ | 16.5 | ||||
Liquidity needs for five calendar days | $ | 3.8 | $ | 10.5 | ||||
Total liquidity as a percent of five day requirement | 437 | % | 157 | % | ||||
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2008 | 2007 | |||||||
Advances with maturities not exceeding five years | $ | 28.1 | $ | 31.4 | ||||
Deposits in banks or trust companies | — | — | ||||||
Total | $ | 28.1 | $ | 31.4 | ||||
Deposits1 | $ | 1.5 | $ | 0.9 | ||||
1 | Amount does not reflect the effect of reclassifications due to FIN 39-1. |
2008 | 2007 | |||||||
Total qualifying assets | $ | 68.1 | $ | 60.6 | ||||
Less: pledged assets | 0.3 | 0.2 | ||||||
Total qualifying assets free of lien or pledge | $ | 67.8 | $ | 60.4 | ||||
Consolidated obligations outstanding | $ | 62.8 | $ | 56.1 | ||||
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2008 | 2007 | |||||||
Required liquidity | $ | (3.9 | ) | $ | (3.7 | ) | ||
Available assets | 11.1 | 5.9 | ||||||
Excess contingent liquidity | $ | 7.2 | $ | 2.2 | ||||
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2008 | 2007 | |||||||||||||||
Required | Actual | Required | Actual | |||||||||||||
Regulatory capital requirements: | ||||||||||||||||
Risk based capital | $ | 1,968 | $ | 3,174 | $ | 578 | $ | 3,124 | ||||||||
Total capital-to-asset ratio | 4.00 | % | 4.66 | % | 4.00 | % | 5.14 | % | ||||||||
Total regulatory capital | $ | 2,725 | $ | 3,174 | $ | 2,429 | $ | 3,124 | ||||||||
Leverage ratio | 5.00 | % | 6.99 | % | 5.00 | % | 7.71 | % | ||||||||
Leverage capital | $ | 3,406 | $ | 4,761 | $ | 3,037 | $ | 4,687 |
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Institutional Entity | 2008 | 2007 | ||||||
Commercial Banks | $ | 1,314 | $ | 1,556 | ||||
Insurance Companies | 1,203 | 925 | ||||||
Savings and Loan Associations | 170 | 160 | ||||||
Credit Unions | 94 | 76 | ||||||
Former Members | 11 | 46 | ||||||
Total regulatory and capital stock | $ | 2,792 | $ | 2,763 | ||||
(1) | A specified percentage of its outstanding advances. As of December 31, 2008 the percentage was 4.45 percent. | ||
(2) | A specified percentage of its acquired member assets. As of December 31, 2008, the percentage was 4.45 percent. | ||
(3) | A specified percentage of its standby letters of credit. As of December 31, 2008, the percentage was 0.00 percent. | ||
(4) | A specified percentage of its advance commitments. As of December 31, 2008, the percentage was 0.00 percent. | ||
(5) | A specified percentage of its acquired member assets commitments. As of December 31, 2008, the percentage was 0.00 percent. |
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(1) | Submits a written notice to the Bank to redeem all or part of the member’s capital stock. | ||
(2) | Submits a written notice to the Bank 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 the Bank’s Board of Directors. |
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Year of Redemption | 2008 | 2007 | ||||||
2008 | $ | — | $ | 14 | ||||
2009 | 3 | 16 | ||||||
2010 | 6 | 9 | ||||||
2011 | 1 | 2 | ||||||
2012 | 1 | 4 | ||||||
2013 | * | * | ||||||
Thereafter | * | 1 | ||||||
Total | $ | 11 | $ | 46 | ||||
* | 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. |
• | the use of fair value estimates. | ||
• | allowance for credit losses on advances and mortgage loans. | ||
• | derivative and hedge accounting. | ||
• | other than temporary impairment. |
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• | discounted cash flows, using market estimates of interest rates and volatility; or |
• | dealer prices; or |
• | prices of similar instruments. |
• | 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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• | Not giving the FHLBanks’ debt the same capital treatment given to Fannie Mae and Freddie Mac will have the unintended consequence of harming the pricing of FHLBank debt. Spreads between FHLBank senior debt and comparable bonds issued by Fannie Mae and Freddie Mac have widened since these entities were placed into conservatorship, and this proposal could further widen these spreads. | ||
• | If investors believe that FHLBank obligations are less creditworthy than obligations of Fannie Mae and Freddie Mac, then investors will demand higher yields to purchase FHLBank bonds, resulting in higher advance rates. The proposal will have the unintended effect of increasing the cost of FHLBank advances and raising the cost of funding for thousands of community banks. |
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• | Creates a newly established federal agency regulator, the Finance Agency, to become the new federal regulator of the FHLBanks, Fannie Mae, and Freddie Mac effective on the date of enactment of the Housing Act. The Finance Board, the FHLBanks’ former regulator, will be abolished one year after the date of enactment. Finance Board regulations, policies, and directives immediately transfer to the new Finance Agency and during the one year transition period, the Finance Board will be responsible for winding up its affairs. The Bank will be responsible for its share of the operating expenses for both the Finance Agency and the Finance Board; |
• | Authorizes the U.S. Treasury to purchase obligations issued by the FHLBanks in any amount deemed appropriate by the U.S. Treasury under certain conditions. This temporary authorization expires December 31, 2009 and supplements the existing limit of $4.0 billion; |
• | Provides that the FHLBanks are subject to prompt corrective action enforcement provisions similar to those currently applicable to national banks and federal savings associations; |
• | Provides the Finance Agency Director with broad conservatorship and receivership authority over the FHLBanks; |
• | Provides the Finance Agency Director with certain authority over executive compensation; |
• | Requires the Finance Agency Director to issue regulations to facilitate information sharing among the FHLBanks to, among other things, assess their joint and several liability obligations; |
• | Allows FHLBanks to voluntarily merge with the approval of the Finance Agency Director and the FHLBanks’ respective boards and requires the Finance Agency Director to issue regulations regarding procedures for voluntary merger approvals, including procedures for FHLBank member approval; |
• | Allows the Finance Agency Director to liquidate or reorganize an FHLBank upon notice and hearing; |
• | Allows FHLBank districts to be reduced to less than eight districts as a result of a voluntary merger or as a result of the Finance Agency Director’s action to liquidate an FHLBank; |
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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, 2 | $ | 42,269 | $ | 15,963 | $ | 10,829 | $ | 6,029 | $ | 9,448 | ||||||||||
Operating lease obligations | 17 | 1 | 2 | 2 | 12 | |||||||||||||||
Purchase obligations3 | 4,955 | 2,826 | 1,832 | 30 | 267 | |||||||||||||||
Mandatorily redeemable capital stock4 | 11 | 3 | 6 | 1 | 1 | |||||||||||||||
Total | $ | 47,252 | $ | 18,793 | $ | 12,669 | $ | 6,062 | $ | 9,728 | ||||||||||
2007 | ||||||||||||||||||||
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, 2 | $ | 34,422 | $ | 6,438 | $ | 9,957 | $ | 6,304 | $ | 11,723 | ||||||||||
Operating lease obligations | 18 | 1 | 2 | 2 | 13 | |||||||||||||||
Purchase obligations3 | 1,834 | 1,777 | 20 | 37 | — | |||||||||||||||
Mandatorily redeemable capital stock4 | 46 | 14 | 25 | 6 | 1 | |||||||||||||||
Securities sold under agreements to repurchase | 200 | 200 | — | — | — | |||||||||||||||
Total | $ | 36,520 | $ | 8,430 | $ | 10,004 | $ | 6,349 | $ | 11,737 | ||||||||||
1 | Long-term debt includes bonds. Long-term debt does not include discount notes and is based on contractual maturities. Actual distributions could be impacted by factors affecting early redemptions. | |
2 | 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. | |
3 | Purchase obligations include 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 Note 20 of the financial statements and notes for the years ended December 31, 2008 and 2007). | |
4 | Mandatorily redeemable capital stock payment periods are based on how we anticipate redeeming the capital stock based on our practices. |
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Market Risk: | Mortgage Portfolio Market Value Sensitivity Market Value of Capital Stock Sensitivity GAAP Earnings Per Share Sensitivity | |
Liquidity Risk: | Contingent Liquidity | |
Capital Adequacy: | Economic Capital Ratio Economic Value of Capital Stock |
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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) | ||||
2008 | ||||
December | $ | 80.0 | ||
September | $ | 96.1 | ||
June | $ | 105.1 | ||
March | $ | 105.3 | ||
2007 | ||||
December | $ | 104.2 | ||
September | $ | 107.4 | ||
June | $ | 111.3 | ||
March | $ | 112.2 |
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Market Value of Capital Stock (Dollars per Share) | ||||||||||||||||||||
Down 200 | Down 100 | Base Case | Up 100 | Up 200 | ||||||||||||||||
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 | ||||||||||
2007 | ||||||||||||||||||||
December | $ | 88.1 | $ | 90.8 | $ | 94.4 | $ | 94.4 | $ | 95.2 | ||||||||||
September | $ | 92.5 | $ | 93.4 | $ | 94.3 | $ | 92.8 | $ | 89.7 | ||||||||||
June | $ | 96.0 | $ | 98.1 | $ | 98.4 | $ | 97.5 | $ | 95.3 | ||||||||||
March | $ | 93.0 | $ | 100.7 | $ | 102.5 | $ | 99.5 | $ | 94.8 |
Percent Change from Base Case | ||||||||||||||||||||
Down 200 | Down 100 | Base Case | Up 100 | Up 200 | ||||||||||||||||
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 | )% | ||||||||||
2007 | ||||||||||||||||||||
December | (6.7 | )% | (3.8 | )% | 0.0 | % | 0.0 | % | 0.8 | % | ||||||||||
September | (1.9 | )% | (1.0 | )% | 0.0 | % | (1.6 | )% | (4.9 | )% | ||||||||||
June | (2.4 | )% | (0.3 | )% | 0.0 | % | (0.9 | )% | (3.1 | )% | ||||||||||
March | (9.3 | )% | (1.8 | )% | 0.0 | % | (2.9 | )% | (7.5 | )% |
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• | Current historically wide level of spread between the primary (the rate a homeowner receives on their mortgage) vs. secondary (rates at which mortgage securities are traded in the market place) mortgage rates. Our model uses a long-term moving average of the spread to project prepayments. |
• | Increased credit underwriting standards reducing the number of creditworthy homeowners. |
• | Declining home values. |
• | Decline in the number of mortgage originators available to process applications. |
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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. | |||
Variable rate advances | Economic | Payment of variable (e.g. six-month LIBOR), receipt of variable (e.g. 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 loans and MBS | Economic | Interest rate caps | To manage the extension risk of our fixed rate mortgage-related investments and the interest rate caps embedded in our adjustable rate MBS portfolio. | |||
Variable rate MBS1 | Economic | Payment of variable, receipt of variable interest rate swap | To protect against repricing risk by converting the asset’s variable rate to the same index as the funding source. |
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Hedging | Derivative Hedging | Purpose of Hedge | ||||
Hedged Item | Classification | Instrument | Transaction | |||
Mortgage delivery commitments | Economic | Forward settlement agreements | To protect against changes in market value resulting from changes in interest rates. | |||
Investments | ||||||
Fixed rate investments1 | 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. | |||
Consolidated Obligations | ||||||
Fixed rate consolidated obligations | Fair value or Economic3 | 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 obligations2 | Fair value or Economic4 | 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 obligations1,2 | Fair value or Economic4 | 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 obligations1 | Economic | Payment of variable (e.g. one-month LIBOR or another index), receipt of variable (e.g. 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 swaps, swaptions and caps | 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 executed as of December 31, 2008. | |
2 | When the hedged item has payment features related to interest payments such as step up bonds, range bonds, or caps on variable rate bonds, the receive leg of the interest rate swap has the same features as the hedged item. | |
3 | When the hedged item has a term that is different than the swap. | |
4 | When the hedged item is a hybrid instrument with an embedded derivative that must be bifurcated, the derivative on the hybrid instrument is classified as an economic hedge. |
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December 31, 2008 | December 31, 2007 | |||||||||||||||||||||||
Unpaid | Unpaid | |||||||||||||||||||||||
Principal | Advance | Principal | Advance | |||||||||||||||||||||
Collateral Type | Balance | Equivalent | Discount | Balance | Equivalent | Discount | ||||||||||||||||||
Residential loans | ||||||||||||||||||||||||
1-4 family | $ | 51.5 | $ | 36.0 | 30.1 | % | $ | 39.3 | $ | 28.3 | 28.0 | % | ||||||||||||
Multi-family | 1.9 | 1.1 | 42.1 | 1.4 | 0.8 | 42.9 | ||||||||||||||||||
Other real estate | 42.2 | 23.8 | 43.6 | 31.9 | 17.3 | 45.8 | ||||||||||||||||||
Securities/insured loans | ||||||||||||||||||||||||
Residential MBS | 23.8 | 19.0 | 20.2 | 23.3 | 21.8 | 6.4 | ||||||||||||||||||
CMBS | 7.3 | 4.6 | 37.0 | 3.7 | 3.2 | 13.5 | ||||||||||||||||||
Government insured loans | 1.1 | 0.9 | 18.2 | 0.9 | 0.8 | 11.1 | ||||||||||||||||||
Secured small business loans and agribusiness loans | 5.2 | 1.8 | 65.4 | 2.6 | 1.0 | 61.5 | ||||||||||||||||||
Total collateral | $ | 133.0 | $ | 87.2 | 34.4 | % | $ | 103.1 | $ | 73.2 | 29.0 | % | ||||||||||||
• | using agreements to establish credit risk sharing responsibilities between the Bank and participating members. The credit risk sharing includes payment of monthly credit enhancement fees by the Bank to our members. |
• | monitoring the performance of the mortgage loan portfolio and creditworthiness of participating members. |
• | establishing prudent credit loss reserves to reflect management estimates of probable credit losses inherent in the portfolio as of the balance sheet date. |
• | establishing retained earnings to absorb unexpected losses that are in excess of credit loss reserves resulting from stress conditions. |
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• | Homeowner equity. |
• | Primary Mortgage Insurance (PMI) for all loans with home owner equity of less than 20 percent of the original purchase price or appraised value. |
• | FLA established by the Bank. FLA is a memorandum account for tracking losses. Such losses are either recoverable from future payments of performance based credit enhancement fees to the member or absorbed by the Bank, depending on the MPF product. |
• | Credit enhancements (including supplemental mortgage insurance (SMI)) provided by participating members. The size of the participating member’s credit enhancement is calculated so that any losses in excess of the FLA are limited to those of an investor in a mortgage-backed security that is rated the equivalent of AA by a NRSRO. To cover losses equal to all or a portion of the credit enhancement amount, participating members are required to either collateralize their credit enhancement obligations or to purchase SMI from a highly rated mortgage insurer for the benefit of the Bank (except that losses generally classified as special hazard losses are not covered by SMI). |
• | Losses greater than credit enhancements provided by members are the responsibility of the Bank. The Bank utilizes an allowance for any estimated losses beyond the above layers. |
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(1) | Original MPF. Members sell closed loans to the Bank. The first layer losses are absorbed by the Bank up to an FLA. The second layer losses are provided by the member up to AA rating equivalent. All losses beyond the second layer are absorbed by the Bank. | ||
(2) | MPF 100. Members originate these loans as an agent for the Bank and the loans are funded and owned by the Bank. The first layer losses are absorbed by the Bank up to an FLA and is recoverable from the performance based credit enhancement fee. The second layer losses are provided by the member up to AA rating equivalent. All losses beyond the second layer are absorbed by the Bank. | ||
(3) | MPF 125. Members sell closed loans to the Bank. The first loss layer is absorbed by the Bank up to an FLA and is recoverable from the performance based credit enhancement fee. The second loss layer is provided by the member up to AA rating equivalent. All losses beyond the second layer are absorbed by the Bank. |
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(4) | MPF Plus. Members sell closed loans to the Bank in bulk. The first layer losses are applied to an FLA equal to a specified percentage of loans in the pool and is recoverable from the performance based credit enhancement fee. The member acquires a SMI policy to cover the second loss layers that exceed the deductible of the policy. Additional losses up to AA rating equivalent are provided by the member’s credit enhancement amount. All losses beyond that are absorbed by the Bank. | ||
(5) | Original MPF Government. Members sell closed loans to the Bank. These loans are guaranteed by the U.S. Government under FHA, VA, RHS Section 502, or HUD section 184 loan programs. |
2008 | 2007 | |||||||||||||||
Product Type | Dollars | Percent | Dollars | Percent | ||||||||||||
Original MPF | $ | 0.3 | 2.8 | % | $ | 0.2 | 1.9 | % | ||||||||
MPF 100 | 0.2 | 1.9 | 0.1 | 0.9 | ||||||||||||
MPF 125 | 2.0 | 18.7 | 1.2 | 11.0 | ||||||||||||
MPF Plus | 7.8 | 72.9 | 8.8 | 80.7 | ||||||||||||
Total conventional loans | 10.3 | 96.3 | 10.3 | 94.5 | ||||||||||||
Original MPF Government | 0.4 | 3.7 | 0.5 | 4.6 | ||||||||||||
Total mortgage loans | 10.7 | 100.0 | 10.8 | 99.1 | ||||||||||||
MPF shared funding recorded in investments | * | * | 0.1 | 0.9 | ||||||||||||
Total MPF related assets | $ | 10.7 | 100.0 | % | $ | 10.9 | 100.0 | % | ||||||||
* | Amount is less than 0.1 billion or 0.1 percent. |
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Credit Rating | 2008 | 2007 | ||||||
AAA | $ | 45 | $ | 51 | ||||
AA | 2 | 2 | ||||||
Total MPF shared funding certificates | $ | 47 | $ | 53 | ||||
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2008 | 2007 | |||||||
Portfolio Characteristics | ||||||||
Regional concentration1 | ||||||||
Midwest | 41.4 | % | 37.0 | % | ||||
West | 17.0 | % | 19.0 | % | ||||
Southwest | 16.7 | % | 16.4 | % | ||||
Southeast | 13.8 | % | 15.3 | % | ||||
Northeast | 11.1 | % | 12.3 | % | ||||
State concentration | ||||||||
Minnesota | 15.7 | % | 14.1 | % | ||||
California | 9.0 | % | 10.0 | % | ||||
Iowa | 9.5 | % | 6.8 | % | ||||
Illinois | 6.0 | % | 5.8 | % | ||||
Missouri | 6.2 | % | 4.7 | % | ||||
Weighted average FICO (register mark) score at origination2 | 737 | 735 | ||||||
Weighted average loan-to-value at origination | 69 | % | 68 | % | ||||
Average loan amount at origination | $ | 157,680 | $ | 158,686 | ||||
Original loan term | ||||||||
Less than or equal to 15 years | 23 | % | 25 | % | ||||
Greater than 15 years | 77 | % | 75 | % |
1 | Midwest includes IA, IL, IN, MI, MN, ND, NE, OH, SD, and WI. West includes AK, CA, Guam, HI, ID, MT, NV, OR, WA, and WY. Southeast includes AL, District of Columbia, FL, GA, KY, MD, MS, NC, SC, TN, VA, and WV. Southwest includes AR, AZ, CO, KS, LA, MO, NM, OK, TX, and UT. Northeast includes CT, DE, MA, ME, NH, NJ, NY, PA, Puerto Rico, RI, U.S. Virgin Islands, and VT. | |
2 | FICO (register mark) 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. |
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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 | % | ||||||
Unpaid Principal Balance | ||||||||||||
Government- | ||||||||||||
Conventional | Insured | Total | ||||||||||
30 days | $ | 83 | $ | 20 | $ | 103 | ||||||
60 days | 20 | 4 | 24 | |||||||||
90 days | 6 | 2 | 8 | |||||||||
Greater than 90 days | 1 | 1 | 2 | |||||||||
Foreclosures and bankruptcies | 41 | 4 | 45 | |||||||||
Total delinquencies | $ | 151 | $ | 31 | $ | 182 | ||||||
Total mortgage loans outstanding | $ | 10,330 | $ | 461 | $ | 10,791 | ||||||
Delinquencies as a percent of total mortgage loans | 1.5 | % | 6.8 | % | 1.7 | % | ||||||
Delinquencies 90 days and greater plus foreclosures and bankruptcies as a percent of total mortgage loans | 0.4 | % | 1.1 | % | 0.4 | % | ||||||
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2008 | 2007 | 2006 | ||||||||||
Balance, beginning of year | $ | 300 | $ | 250 | $ | 763 | ||||||
Charge-offs | (95 | ) | (19 | ) | — | |||||||
Recoveries | — | — | — | |||||||||
Net charge-offs | (95 | ) | (19 | ) | — | |||||||
Provision for (reversal of) credit losses | 295 | 69 | (513 | ) | ||||||||
Balance, end of year | $ | 500 | $ | 300 | $ | 250 | ||||||
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Unpaid | Gross | |||||||||||||||||||
Principal | Unrealized | Investment | ||||||||||||||||||
Balance | Losses | Fair Value | Grade % | Watchlist % | ||||||||||||||||
2003 and earlier | $ | 38 | $ | 10 | $ | 28 | 100 | % | 0 | % | ||||||||||
December 31, | September 30, | June 30, | March 31, | December 31, | ||||||||||||||||
2008 | 2008 | 2008 | 2008 | 2007 | ||||||||||||||||
2003 and earlier | 74 | % | 87 | % | 94 | % | 93 | % | 99 | % | ||||||||||
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Portfolio Characteristics | 2008 | |||
Weighted average FICO (register mark) score at origination1 | 725 | |||
Weighted average loan-to-value at origination | 65 | % | ||
Weighted average subordination rate2 | 9 | % | ||
Weighted average market price | 73.93 | |||
Weighted average original credit enhancement | 4 | % | ||
Weighted average credit enhancement | 9 | % | ||
Weighted average minimum credit enhancement | 0 | % | ||
Weighted average delinquency rate3 | 5 | % |
1 | FICO (register mark) 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 total credit enhancements as a percentage of unpaid principal balance. | |
3 | Represents the delinquency rate on underlying loans that are 60 days or more past due. |
State Concentrations | ||||
Florida | 13.7 | % | ||
California | 13.0 | % | ||
Georgia | 11.7 | % | ||
New York | 9.3 | % | ||
New Jersey | 4.9 | % | ||
All other1 | 47.4 | % | ||
Total | 100.0 | % | ||
1 | There are no individual states with a concentration greater than 4.3 percent. |
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2008 | ||||||||||||||||||||||||
Commercial | Overnight | Term | Other | |||||||||||||||||||||
Credit Rating1 | Deposits2 | Paper | Federal Funds | Federal Funds | Obligations3 | Total | ||||||||||||||||||
AAA | $ | — | $ | 385 | $ | — | $ | 315 | $ | 2,151 | $ | 2,851 | ||||||||||||
AA | — | — | 930 | 1,251 | — | 2,181 | ||||||||||||||||||
A | — | — | 780 | 150 | — | 930 | ||||||||||||||||||
Total | $ | — | $ | 385 | $ | 1,710 | $ | 1,716 | $ | 2,151 | $ | 5,962 | ||||||||||||
2007 | ||||||||||||||||||||||||
Commercial | Overnight | Term | Other | |||||||||||||||||||||
Credit Rating1 | Deposits2 | Paper | Federal Funds | Federal Funds | Obligations3 | Total | ||||||||||||||||||
AAA | $ | — | $ | — | $ | — | $ | — | $ | 219 | $ | 219 | ||||||||||||
AA | — | 200 | — | 780 | — | 980 | ||||||||||||||||||
A | 101 | — | 580 | 453 | — | 1,134 | ||||||||||||||||||
Total | $ | 101 | $ | 200 | $ | 580 | $ | 1,233 | $ | 219 | $ | 2,333 | ||||||||||||
1 | Credit rating is the lowest of S&P, Moody’s, and Fitch ratings stated in terms of the S&P equivalent. | |
2 | Deposits include interest and non-interest bearing deposits as well as certificates of deposit. | |
3 | Other obligations represent obligations in GSEs and TLGP investments that are backed by the full faith and credit of the U.S. Government. Because of the agency rating for GSEs and the U.S. government guarantee of TLGP investments, the Bank categorizes these investments as AAA. |
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• | Transacting with highly rated derivative counterparties according to Board-approved credit standards. |
• | Using master netting and bilateral collateral agreements. |
• | Monitoring counterparty creditworthiness through internal and external analysis. |
• | Managing credit exposures through collateral delivery. |
• | Calculating market values for all derivative contracts at least monthly and verifying reasonableness by checking those values against independent sources. |
• | Establishing retained earnings to absorb unexpected losses resulting from stress conditions. |
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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 | $ | * | $ | — | $ | * | |||||||||||
2007 | ||||||||||||||||||||
Total | Value | Exposure | ||||||||||||||||||
Active | Notional | Exposure at | of Collateral | Net of | ||||||||||||||||
Credit Rating1 | Counterparties | Amount2 | Fair Value3 | Pledged | Collateral4 | |||||||||||||||
AAA | 3 | $ | 1,485 | $ | — | $ | — | $ | — | |||||||||||
AA | 19 | 33,779 | 67 | 23 | 44 | |||||||||||||||
A | 4 | 5,594 | 25 | 8 | 17 | |||||||||||||||
Total | 26 | $ | 40,858 | $ | 92 | $ | 31 | $ | 61 | |||||||||||
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 13, 2009 — PricewaterhouseCoopers LLP | ||||
Statements of Condition at December 31, 2008 and 2007 | ||||
Statements of Income for the Years Ended December 31, 2008, 2007, and 2006 | ||||
Statements of Changes in Capital for the Years Ended December 31, 2008, 2007, and 2006 | ||||
Statements of Cash Flows for the Years Ended December 31, 2008, 2007, and 2006 | ||||
Notes to Financial Statements |
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Statements of Condition | 2008 | |||||||||||||||
(Dollars in millions) | December 31, | September 30, | June 30, | March 31, | ||||||||||||
Short-term investments | $ | 3,810 | $ | 2,060 | $ | 4,825 | $ | 4,300 | ||||||||
Mortgage-backed securities | 9,307 | 9,653 | 9,145 | 7,701 | ||||||||||||
Other investments | 2,252 | 155 | 77 | 76 | ||||||||||||
Advances | 41,897 | 63,897 | 46,022 | 47,092 | ||||||||||||
Mortgage loans, net | 10,685 | 10,576 | 10,583 | 10,707 | ||||||||||||
Total assets | 68,129 | 87,069 | 70,838 | 70,082 | ||||||||||||
Consolidated obligations | 62,784 | 80,970 | 65,302 | 64,531 | ||||||||||||
Mandatorily redeemable capital stock | 11 | 11 | 43 | 43 | ||||||||||||
Affordable Housing Program | 40 | 42 | 43 | 42 | ||||||||||||
Payable to REFCORP | 1 | 11 | 12 | 8 | ||||||||||||
Total liabilities | 65,112 | 82,964 | 67,492 | 66,825 | ||||||||||||
Capital stock — Class B putable | 2,781 | 3,807 | 3,016 | 3,012 | ||||||||||||
Retained earnings | 382 | 404 | 388 | 367 | ||||||||||||
Capital-to-asset ratio | 4.43 | % | 4.71 | % | 4.72 | % | 4.65 | % |
Three Months Ended | ||||||||||||||||
Quarterly Operating Results | 2008 | |||||||||||||||
(Dollars in millions) | December 31, | September 30, | June 30, | March 31, | ||||||||||||
Interest income | $ | 561.2 | $ | 612.5 | $ | 567.9 | $ | 626.8 | ||||||||
Interest expense | 533.0 | 532.8 | 494.9 | 562.1 | ||||||||||||
Net interest income | 28.2 | 79.7 | 73.0 | 64.7 | ||||||||||||
Provision for credit losses on mortgage loans | 0.3 | — | — | — | ||||||||||||
Net interest income after mortgage loan credit loss provision | 27.9 | 79.7 | 73.0 | 64.7 | ||||||||||||
Other (loss) income | (13.5 | ) | (6.6 | ) | 3.9 | (11.6 | ) | |||||||||
Other expense | 11.3 | 10.8 | 11.6 | 10.4 | ||||||||||||
Total assessments | 0.8 | 16.5 | 17.4 | 11.3 | ||||||||||||
Net income | 2.3 | 45.8 | 47.9 | 31.4 | ||||||||||||
Annualized dividend rate | 3.00 | % | 4.00 | % | 4.00 | % | 4.50 | % |
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Statements of Condition | 2007 | |||||||||||||||
(Dollars in millions) | December 31, | September 30, | June 30, | March 31, | ||||||||||||
Short-term investments | $ | 2,330 | $ | 3,997 | $ | 7,910 | $ | 5,548 | ||||||||
Mortgage-backed securities | 6,837 | 5,842 | 4,900 | 4,136 | ||||||||||||
Other investments | 77 | 83 | 13 | 13 | ||||||||||||
Advances | 40,412 | 31,759 | 22,627 | 21,322 | ||||||||||||
Mortgage loans, net | 10,802 | 10,974 | 11,225 | 11,514 | ||||||||||||
Total assets | 60,736 | 52,879 | 46,865 | 42,717 | ||||||||||||
Securities sold under agreements to repurchase | 200 | 200 | 500 | 500 | ||||||||||||
Consolidated obligations | 56,065 | 48,028 | 42,640 | 38,264 | ||||||||||||
Mandatorily redeemable capital stock | 46 | 46 | 69 | 59 | ||||||||||||
Affordable Housing Program | 43 | 43 | 44 | 46 | ||||||||||||
Payable to REFCORP | 6 | 7 | 6 | 5 | ||||||||||||
Total liabilities | 57,683 | 50,189 | 44,578 | 40,489 | ||||||||||||
Capital stock — Class B putable | 2,717 | 2,348 | 1,948 | 1,844 | ||||||||||||
Retained earnings | 361 | 355 | 347 | 344 | ||||||||||||
Capital-to-asset ratio | 5.03 | % | 5.09 | % | 4.88 | % | 5.21 | % |
Three Months Ended | ||||||||||||||||
Quarterly Operating Results | 2007 | |||||||||||||||
(Dollars in millions) | December 31, | September 30, | June 30, | March 31, | ||||||||||||
Interest income | $ | 656.8 | $ | 637.4 | $ | 604.3 | $ | 562.3 | ||||||||
Interest expense | 608.5 | 592.0 | 565.1 | 524.1 | ||||||||||||
Net interest income | 48.3 | 45.4 | 39.2 | 38.2 | ||||||||||||
Provision for credit losses on mortgage loans | — | — | — | — | ||||||||||||
Net interest income after mortgage loan credit loss provision | 48.3 | 45.4 | 39.2 | 38.2 | ||||||||||||
Other income | 3.8 | 3.7 | 2.6 | 0.2 | ||||||||||||
Other expense | 12.3 | 9.8 | 10.3 | 10.0 | ||||||||||||
Total assessments | 10.6 | 10.5 | 8.4 | 8.1 | ||||||||||||
Net income | 29.2 | 28.8 | 23.1 | 20.3 | ||||||||||||
Annualized dividend rate | 4.50 | % | 4.25 | % | 4.25 | % | 4.25 | % |
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Total | ||||||||
Total | Market | |||||||
Book Value | Value | |||||||
Bank of America Corporation | 753 | 753 | ||||||
Bank of the West | 550 | 550 | ||||||
Bank of Nova Scotia | 450 | 450 | ||||||
JP Morgan | 499 | 499 | ||||||
Morgan Stanley | 499 | 499 | ||||||
Societe Generale | 630 | 630 | ||||||
Union Bank of California | 315 | 315 | ||||||
$ | 3,696 | $ | 3,696 | |||||
2008 | 2007 | 2006 | ||||||||||
Non-mortgage backed securities | $ | 2,151 | $ | — | $ | — | ||||||
2008 | 2007 | 2006 | ||||||||||
State or local housing agency obligations | $ | 1 | $ | — | $ | — | ||||||
Government-sponsored enterprises | 3,839 | 3,434 | 562 | |||||||||
Total available-for-sale securities | $ | 3,840 | $ | 3,434 | $ | 562 | ||||||
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Book Value | Yield | |||||||
State or local housing agency obligations | ||||||||
After ten years | $ | 1 | 2.94 | % | ||||
Government-sponsored enterprises | ||||||||
After ten years | 3,983 | 1.46 | ||||||
Total available-for-sale securities | $ | 3,984 | 1.46 | % | ||||
2008 | 2007 | 2006 | ||||||||||
Certificates of deposit | $ | — | $ | 100 | $ | — | ||||||
Government-sponsored enterprises | 5,330 | 3,458 | 4,144 | |||||||||
U.S. government agency-guaranteed | 52 | 64 | 81 | |||||||||
State or local housing agency obligations | 93 | 74 | 5 | |||||||||
Other | 477 | 309 | 1,485 | |||||||||
Total held-to-maturity securities | $ | 5,952 | $ | 4,005 | $ | 5,715 | ||||||
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Book Value | Yield | |||||||
Government-sponsored enterprises | ||||||||
Within one year | $ | * | 1.78 | % | ||||
After five but within 10 years | 11 | 5.27 | ||||||
After 10 years | 5,319 | 3.27 | ||||||
U.S. government agency-guaranteed | ||||||||
After five but within 10 years | 5 | 1.96 | ||||||
After 10 years | 47 | 1.67 | ||||||
State or local housing agency obligations | ||||||||
After five but within 10 years | 3 | 5.44 | ||||||
After 10 years | 90 | 6.03 | ||||||
Other | ||||||||
Within one year | 385 | 0.43 | ||||||
After one but within five years | 3 | 6.58 | ||||||
After five but within 10 years | * | 0.97 | ||||||
After 10 years | 89 | 3.41 | ||||||
Total held-to-maturity securities | $ | 5,952 | 3.12 | % | ||||
* | Amount is less than one million. |
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2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||
Domestic | ||||||||||||||||||||
Advances | $ | 41,897 | $ | 40,412 | $ | 21,855 | $ | 22,283 | $ | 27,175 | ||||||||||
Real estate mortgages | $ | 10,685 | $ | 10,802 | $ | 11,775 | $ | 13,018 | $ | 15,193 | ||||||||||
Nonperforming real estate mortgages1 | $ | 48 | $ | 27 | $ | 24 | $ | 33 | $ | 23 | ||||||||||
Real estate mortgages past due 90 days or more and still accruing interest2 | $ | 7 | $ | 5 | $ | 6 | $ | 6 | $ | 3 | ||||||||||
Nonperforming real estate mortgages | ||||||||||||||||||||
Interest contractually due during the period | $ | 3 | ||||||||||||||||||
Interest actually received during the period | (2 | ) | ||||||||||||||||||
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 (e.g., FHA, VA) continue to accrue after 90 days or more delinquent, because of the (1) U.S. government guarantee of the loans and (2) contractual obligation of the loan servicer to repurchase the loan when certain delinquency criteria are met. |
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Regional Concentration1 | ||||
Midwest | 41.5 | % | ||
West | 16.6 | % | ||
Southeast | 14.0 | % | ||
Southwest | 17.1 | % | ||
Northeast | 10.8 | % | ||
Total | 100.0 | % | ||
1 | Midwest includes IA, IL, IN, MI, MN, ND, NE, OH, SD, and WI. West includes AK, CA, Guam, HI, ID, MT, NV, OR, WA, and WY. Southeast includes AL, District of Columbia, FL, GA, KY, MD, MS, NC, SC, TN, VA, and WV. Southwest includes AR, AZ, CO, KS, LA, MO, NM, OK, TX, and UT. Northeast includes CT, DE, MA, ME, NH, NJ, NY, PA, Puerto Rico, RI, U.S. Virgin Islands, and VT. |
2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||
Balance, beginning of year | $ | 300 | $ | 250 | $ | 763 | $ | 760 | $ | 5,906 | ||||||||||
Charge-offs | (95 | ) | (19 | ) | — | — | (111 | ) | ||||||||||||
Recoveries | — | — | — | 3 | 13 | |||||||||||||||
Net charge-offs | (95 | ) | (19 | ) | — | 3 | (98 | ) | ||||||||||||
Provision for (reversal of) credit losses | 295 | 69 | (513 | ) | — | (5,048 | ) | |||||||||||||
Balance, end of period | $ | 500 | $ | 300 | $ | 250 | $ | 763 | $ | 760 | ||||||||||
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Maturity | ||||
Overdrawn demand deposit accounts | $ | 1 | ||
Within one year | 9,332 | |||
After one but within five years | 18,777 | |||
After five years | 12,553 | |||
Total par value | 40,663 | |||
Hedging fair value adjustments | ||||
Cumulative fair value gain | 1,082 | |||
Basis adjustments from terminated hedges and ineffective hedges | 152 | |||
Total advances | $ | 41,897 | ||
Par amount of advances | ||||
Fixed rate maturity | ||||
Overdrawn demand deposit accounts | $ | 1 | ||
Within one year | 8,846 | |||
After one year | 19,203 | |||
Variable rate maturity | ||||
Within one year | 486 | |||
After one year | 12,127 | |||
Total | $ | 40,663 | ||
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2008 | 2007 | 2006 | ||||||||||
Discount notes | ||||||||||||
Outstanding at period-end | $ | 20,061 | $ | 21,501 | $ | 4,685 | ||||||
Weighted average rate at period-end | 1.83 | % | 4.10 | % | 5.02 | % | ||||||
Daily average outstanding for the period | $ | 26,543 | $ | 8,597 | $ | 5,423 | ||||||
Weighted average rate for the period | 2.32 | % | 4.93 | % | 4.97 | % | ||||||
Highest outstanding at any month-end | $ | 41,753 | $ | 21,501 | $ | 6,791 |
2008 | 2007 | 2006 | ||||||||||
Return on average assets | 0.18 | % | 0.21 | % | 0.20 | % | ||||||
Return on average total capital | 3.88 | % | 4.25 | % | 3.91 | % | ||||||
Total average capital to average assets | 4.71 | % | 5.04 | % | 5.21 | % | ||||||
Dividends declared per share as a percentage of net income per share | 90.77 | % | 86.82 | % | 83.09 | % |
Ratio of Earnings to Fixed Charges (Dollars in millions) | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||||
Earnings | ||||||||||||||||||||
Income before assessments | $ | 173.4 | $ | 139.0 | $ | 122.0 | $ | 301.4 | $ | 135.7 | ||||||||||
Fixed charges | 2,123.2 | 2,290.1 | 2,057.4 | 1,584.7 | 930.1 | |||||||||||||||
Total earnings | $ | 2,296.6 | $ | 2,429.1 | $ | 2,179.4 | $ | 1,886.1 | $ | 1,065.8 | ||||||||||
Fixed charges | ||||||||||||||||||||
Interest expense | $ | 2,122.8 | $ | 2,289.7 | $ | 2,057.0 | $ | 1,584.4 | $ | 929.8 | ||||||||||
Estimated interest component of net rental expense1 | 0.4 | 0.4 | 0.4 | 0.3 | 0.3 | |||||||||||||||
Total fixed charges | $ | 2,123.2 | $ | 2,290.1 | $ | 2,057.4 | $ | 1,584.7 | $ | 930.1 | ||||||||||
Ratio of earnings to fixed charges | 1.08 | 1.06 | 1.06 | 1.19 | 1.15 | |||||||||||||||
1 | Represents one-third of rental expense related to the Bank’s operating leases. |
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Member or | Expiration of Current | |||||||||
Director | Age | Independent | Director Since | Term As Director | ||||||
Michael K. Guttau (chair) | 62 | Member | January 1, 2003 | December 31, 2012 | ||||||
Dale E. Oberkfell (vice chair) | 53 | Member | January 1, 2007 | December 31, 2009 | ||||||
Johnny A. Danos | 69 | Independent | May 14, 2007 | December 31, 2010 | ||||||
Gerald D. Eid | 68 | Independent | January 23, 2004 | December 31, 2010 | ||||||
Michael J. Finley | 53 | Member | January 1, 2005 | December 31, 2010 | ||||||
David R. Frauenshuh | 65 | Independent | January 23, 2004 | December 31, 2010 | ||||||
Van D. Fishback | 62 | Member | January 1, 2009 | December 31, 2012 | ||||||
Eric A. Hardmeyer | 49 | Member | January 1, 2008 | December 31, 2010 | ||||||
Labh S. Hira | 60 | Independent | May 14, 2007 | December 31, 2009 | ||||||
John F. Kennedy, Sr. | 53 | Independent | May 14, 2007 | December 31, 2012 | ||||||
D.R. Landwehr | 62 | Member | January 1, 2004 | December 31, 2009 | ||||||
Clair J. Lensing | 74 | Member | January 1, 2004 | December 31, 2009 | ||||||
Dennis A. Lind | 58 | Member | January 1, 2006 | December 31, 2011 | ||||||
Paula R. Meyer | 54 | Independent | May 14, 2007 | December 31, 2012 | ||||||
John H. Robinson | 58 | Independent | May 14, 2007 | December 31, 2009 | ||||||
Lynn V. Schneider | 61 | Member | January 1, 2004 | December 31, 2009 | ||||||
Joseph C. Stewart III | 39 | Member | January 1, 2008 | December 31, 2010 |
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Employee of the | ||||||||
Executive Officer | Age | Position Held | Bank Since | |||||
Richard S. Swanson | 59 | President and CEO | June 1, 2006 | |||||
Edward McGreen | 41 | Executive Vice President and Chief Capital Markets Officer (CCMO) | November 8, 2004 | |||||
Steven T. Schuler | 57 | Executive Vice President and CFO | September 18, 2006 | |||||
Nicholas J. Spaeth | 59 | Executive Vice President and Corporate Secretary — Chief Risk Officer (CRO) and General Counsel | May 1, 2007 | |||||
Michael L. Wilson | 52 | Executive Vice President and Chief Business Officer (CBO) | August 21, 2006 |
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• | Approval of the President’s total compensation based on his performance appraisal and the Committee’s recommendations for base salary and incentive compensation. |
• | Approval of payouts of annual incentive awards for all employees upon the Committee’s review of Bank-wide performance relative to performance goals and targets established under the annual incentive plan (AIP). |
• | Review of total compensation recommendations for base salary and incentive compensation submitted by the President for the other Executives. |
• | Director compensation, including the annual director fee policy. |
• | Employee compensation and policy issues including the Bank’s salary structure, AIP, long-term incentive plan (LTIP), and other benefits including the Bank’s retirement plans and non-qualified plans. |
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1. | Part I goals are weighted at 60 percent for each Executive and for 2008 were based on Bank-wide financial, business maintenance and growth, customer satisfaction, and risk management goals. |
2. | Part II goals for the President are established annually by the President and the Board of Directors and for each other Executive by the Executive and the President based upon the strategic imperatives for which the particular Executive is responsible under the Bank’s strategic business plan. These 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 ultimate awards under the AIP. Aggregate achievement of the Part II goals is weighted at 40 percent of the total award opportunity for each Executive. |
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• | Deferral elections must be made before any fees or compensation are earned. |
• | Election changes must comply with 409A timing rules. |
�� | • | Links between the qualified and nonqualified plans are severed. |
• | If a participant dies or becomes disabled during the installment payout period, the installment payments will cease and all benefits will be paid out in a lump sum. |
• | Earnings on deferred compensation can be tied to internal or external benchmarks. |
• | Terminates the Directors Deferred Compensation Plan and merges the Plan into the BEP. |
• | Directors may elect to defer all of their fees. |
• | Elections must specify the payment terms and the date for payment of the deferred compensation. |
• | Director payment terms must be either lump sum or ten or fewer annual installments. |
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Results at | ||||||||||||||||
Goals | December 31, 2008 | Threshold | Target | Maximum | ||||||||||||
Spread between the earned dividend and average 3-month LIBOR1 (30 percent weight) | 1.51% | (0.60)% | (0.36)% | (0.12)% | ||||||||||||
Ratio of Advances+Letters of Credit to Assets for “Active” Members (G goal)2 (15 percent weight) | 13.92% | 10.90% | 11.50% | 12.00% | ||||||||||||
Ratio of Advances+Letters of Credit) to Assets for “Relatively Inactive” Members (L goal)3 (15 percent weight) | 4.94% | 2.30% | 2.50% | 2.75% | ||||||||||||
Customer satisfaction4 (20 percent weight) | 94% + “very satisfied” up by nine points | 94% | 94% + “very satisfied” up two points | 94% + “very satisfied” up four points | ||||||||||||
Risk profile (20 percent weight) | Target | As rated by the Board of Directors; no material weakness; degree of compliance with FRMP; percentage of exam and audit issues addressed. |
1 | Excludes unrealized gains or losses relating to hedge ineffectiveness and related to certain advance economic hedge relationships that lost hedge accounting during the restatement as these were excluded for the 2008 plan and thus are excluded from the threshold, target and maximum requirements. The calculation does include the cost of economic derivatives used to hedge the mortgage bank. | |
2 | The “G goal” represents those members with a penetration ratio greater than 6 percent. This group is composed of 456 members with assets totaling $118.3 billion. In 2007 this group’s average penetration ratio was 11.54 percent of assets. The objective in 2008 for this group of members is to maintain the high penetration ratio. The G group is highly active and no significant increase in activity levels is expected for this group. The target that has been set represents a maintenance level with expectations being very little increase or decrease in activity. The following borrowers are not included: housing associates, insurance companies, and certain other large members. | |
3 | The “L goal” represents those members with a penetration ratio less than 6 percent. This group is composed of 752 members with assets totaling $154.1 billion. In 2007 this group’s average penetration ratio was 2.38 percent of assets. The objective in 2008 is to increase the penetration ratio for this particular member grouping. This group has the greatest potential to increase their activity levels with the Bank as compared to the G group who are already very active. The L group is considered “relatively” inactive. The target has been set to increase the penetration level by 0.12 percent of assets for this member grouping. The year over year increase is aggressive but achievable. The following borrowers are not included: housing associates, insurance companies, and certain other large members. | |
4 | Survey was conducted and validated by an external, independent organization. |
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• | Deliver Member Value |
• | Leverage Technology to Drive Business Results |
• | Develop a High Performing Organization |
• | Seek and Sustain Operational Excellence |
• | Inspire Confidence |
Percent of Base | ||||||||
Salary for | ||||||||
Title | Actual Award | Parts I and II | ||||||
CBO | $ | 145,080 | 37.2 | % | ||||
CRO | $ | 124,238 | 36.2 | % | ||||
CFO | $ | 108,229 | 36.8 | % | ||||
CCMO | $ | 108,155 | 36.8 | % |
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Percent of Base | ||||||||
Dollar Value of | Salary for | |||||||
Title | Award | Parts I and II | ||||||
CEO | $ | 146,025 | 25 | % | ||||
CBO | $ | 78,000 | 20 | % | ||||
CRO | $ | 68,640 | 20 | % | ||||
CFO | $ | 58,820 | 20 | % | ||||
CCMO | $ | 58,780 | 20 | % |
2009 Human Resources and Compensation Committee | ||||
Dennis A. Lind, Chair | ||||
John H. Robinson, Vice Chair | ||||
Johnny A. Danos | ||||
Gerald D. Eid | ||||
Michael K. Guttau | ||||
Clair J. Lensing | ||||
Paula R. Meyer | ||||
Dale E. Oberkfell | ||||
Lynn V. Schneider |
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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 Swanson, | 2008 | $ | 584,100 | — | $ | 416,172 | $ | 182,000 | $ | 41,627 | $ | 1,223,899 | ||||||||||||||||
President and Chief | 2007 | $ | 561,600 | — | $ | 278,460 | $ | 69,000 | $ | 227,638 | $ | 1,136,698 | ||||||||||||||||
Executive Officer | 2006 | $ | 315,000 | $ | 118,125 | — | — | $ | 35,606 | $ | 468,731 | |||||||||||||||||
Steven T. Schuler, | 2008 | $ | 285,933 | — | $ | 167,049 | $ | 68,000 | $ | 11,825 | $ | 523,807 | ||||||||||||||||
Chief Financial Officer | 2007 | $ | 244,250 | — | $ | 97,223 | $ | 10,000 | $ | 3,913 | $ | 355,386 | ||||||||||||||||
2006 | $ | 70,000 | — | $ | 15,625 | — | — | $ | 85,625 | |||||||||||||||||||
Edward J. McGreen, | 2008 | $ | 292,017 | — | $ | 166,935 | $ | 38,000 | $ | 18,008 | $ | 514,960 | ||||||||||||||||
Chief Capital Markets Officer | 2007 | $ | 281,467 | $ | 3,978 | $ | 100,794 | $ | 18,000 | $ | 9,151 | $ | 413,390 | |||||||||||||||
and Interim Chief Financial Officer | 2006 | $ | 270,500 | $ | 39,378 | $ | 71,821 | $ | 18,000 | $ | 8,115 | $ | 407,814 | |||||||||||||||
Nicholas J. Spaeth, General Counsel and | 2008 | $ | 343,200 | — | $ | 192,878 | $ | 53,000 | $ | 12,591 | $ | 601,670 | ||||||||||||||||
Chief Risk Officer | 2007 | $ | 220,000 | $ | 66,000 | $ | 12,467 | — | $ | 12,793 | $ | 311,260 | ||||||||||||||||
Michael L. Wilson, | 2008 | $ | 390,000 | — | $ | 223,080 | $ | 126,000 | $ | 32,105 | $ | 771,185 | ||||||||||||||||
Chief Business Officer | 2007 | $ | 375,000 | — | $ | 148,750 | $ | 72,000 | $ | 93,870 | $ | 689,620 | ||||||||||||||||
2006 | $ | 131,461 | $ | 98,654 | — | $ | 25,000 | $ | 69,452 | $ | 325,567 |
1 | The components of these columns for 2008 are provided in the tables below. | |
2 | Represents change in value of pension benefits only. All returns on non-qualified deferred compensation are at the market rate. |
Annual Incentive | Long Term | |||||||
Name | Plan | Incentive Plan | ||||||
Richard Swanson | $ | 270,147 | $ | 146,025 | ||||
Steven Schuler | $ | 108,229 | $ | 58,820 | ||||
Edward McGreen | $ | 108,155 | $ | 58,780 | ||||
Nicholas Spaeth | $ | 124,238 | $ | 68,640 | ||||
Michael Wilson | $ | 145,080 | $ | 78,000 |
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Bank Contributions to Vested | ||||||||||||||||
Defined Contribution Plans | ||||||||||||||||
Non-qualified | ||||||||||||||||
Deferred | ||||||||||||||||
401(k)/Thrift | Compensation | Car | Financial | |||||||||||||
Name | Plan | Plan (BEP) | Allowance | Planning | ||||||||||||
Richard Swanson | $ | 6,900 | $ | 18,727 | $ | 9,000 | $ | 7,000 | ||||||||
Steven Schuler | $ | 6,900 | $ | 4,925 | — | — | ||||||||||
Edward McGreen | $ | 7,900 | $ | 10,108 | — | — | ||||||||||
Nicholas Spaeth | $ | 3,674 | $ | 6,917 | — | $ | 2,000 | |||||||||
Michael Wilson | $ | 13,800 | $ | 18,305 | — | — |
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2008 Grants of Plan-Based Awards | ||||||||||||||||
Estimated Future 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 | ||||||||||
Nicholas J. Spaeth | AIP | $ | 68,640 | $ | 102,960 | $ | 137,280 | |||||||||
LTIP | $ | 34,320 | $ | 68,640 | $ | 102,960 | ||||||||||
Michael L. Wilson | AIP | $ | 78,000 | $ | 117,000 | $ | 156,000 | |||||||||
LTIP | $ | 39,000 | $ | 78,000 | $ | 117,000 |
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2008 Pension Table | ||||||||||
Present Value of | ||||||||||
Number of Years | Accumulated | |||||||||
Name | Plan Name | of Credited Service | Benefit1 | |||||||
Richard S. Swanson | Pentegra DB | 1.58 yrs | $ | 62,000 | ||||||
BEP DB Plan/DB Plan | 1.58 yrs | $ | 189,000 | |||||||
Steven T. Schuler | Pentegra DB | 1.25 yrs | $ | 46,000 | ||||||
BEP DB Plan/DB Plan | 1.25 yrs | $ | 32,000 | |||||||
Edward J. McGreen | Pentegra DB | 3.08 yrs | $ | 41,000 | ||||||
BEP DB Plan/DB Plan | 3.08 yrs | $ | 34,000 | |||||||
Michael L. Wilson | Pentegra DB | 13.92 yrs2 | $ | 318,000 | ||||||
BEP DB Plan/DB Plan | 2.33 yrs3 | $ | 87,000 | |||||||
Nicholas J. Spaeth | Pentegra DB | .67 yrs | $ | 26,000 | ||||||
BEP DB Plan/DB Plan | .67 yrs | $ | 27,000 |
1 | See Note 17 of the Notes to Financial Statements for details regarding valuation method and assumptions. | |
2 | For pension plan purposes, prior membership in the Pentegra DB Plan (formerly known as Financial Institution Retirement Fund) is included in the Number of Years of Credited Service. Assets under the prior membership are transferred to the current plan. Mr. Wilson has 2.33 years of credited service with the Bank and 11.59 years of prior service credit. | |
3 | Prior service credit is not included in the Number of Years of Credited Service under the BEP/DB plan. Prior service does allow for immediate enrollment in the plan. |
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2008 Non-Qualified Deferred Compensation Table | ||||||||||||||||
Executive | Registrant | Aggregate | Aggregate | |||||||||||||
Contributions | Contributions | Earnings | Balance | |||||||||||||
Name | During 20081 | During 20082 | During 20083 | During 2008 | ||||||||||||
Richard S. Swanson | $ | 51,754 | $ | 18,977 | $ | 3,223 | $ | 164,696 | ||||||||
Steven T. Schuler | $ | 28,823 | $ | 4,595 | $ | (12,474 | ) | $ | 32,887 | |||||||
Edward J. McGreen | $ | 132,162 | $ | 9,777 | $ | (95,707 | ) | $ | 220,420 | |||||||
Nicholas J. Spaeth | $ | 59,825 | $ | 3,190 | $ | (58,856 | ) | $ | 113,700 | |||||||
Michael L. Wilson | $ | 27,863 | $ | 14,063 | $ | (17,042 | ) | $ | 58,311 |
1 | These amounts are included in the Salary column of the “Summary Compensation Table” at page 154. | |
2 | These amounts are included in All Other Compensation of the “Summary Compensation Table” at page 154. | |
3 | Aggregate earnings are calculated by subtracting the 2007 year end balance from the 2008 year end balance less Executive and Registrant contributions. |
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2008 | ||||
Chair | $ | 31,232 | ||
Vice Chair | $ | 24,986 | ||
Directors | $ | 18,739 |
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2009 | ||||
Chairperson | $ | 60,000 | ||
Vice Chairperson | $ | 55,000 | ||
Audit Committee Chair | $ | 55,000 | ||
Committee Chairs | $ | 50,000 | ||
Other Directors | $ | 45,000 |
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2008 Director Compensation | ||||||||
Fees earned or | ||||||||
Name | paid in cash | Total | ||||||
Michael J. Guttau, Chair | $ | 31,232 | $ | 31,232 | ||||
Dale E. Oberkfell, Vice Chair | $ | 24,986 | $ | 24,986 | ||||
Johnny A. Danos | $ | 18,739 | $ | 18,739 | ||||
Gerald D. Eid | $ | 18,739 | $ | 18,739 | ||||
Michael J. Finley | $ | 18,739 | $ | 18,739 | ||||
David R. Frauenshuh | $ | 18,739 | $ | 18,739 | ||||
Lorna P. Gleason* | $ | 4,685 | $ | 4,685 | ||||
Labh S. Hira | $ | 18,739 | $ | 18,739 | ||||
John F. Kennedy Sr. | $ | 18,739 | $ | 18,739 | ||||
D.R. Landwehr | $ | 18,739 | $ | 18,739 | ||||
Clair J. Lensing | $ | 18,739 | $ | 18,739 | ||||
Dennis A. Lind | $ | 18,739 | $ | 18,739 | ||||
Paula R. Meyer | $ | 18,739 | $ | 18,739 | ||||
Kevin E. Pietrini | $ | 18,739 | $ | 18,739 | ||||
John H. Robinson | $ | 18,739 | $ | 18,739 | ||||
Lynn V. Schneider | $ | 18,739 | $ | 18,739 | ||||
Joseph C. Stewart III | $ | 18,739 | $ | 18,739 | ||||
William L. Trubeck* | $ | 9,370 | $ | 9,370 |
* | Indicates board members that served a partial year in 2008. |
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Shares of | ||||||||||||
Capital Stock | ||||||||||||
Owned at | Percent of | |||||||||||
February | Total | |||||||||||
Name | City | State | 28, 2009 | Capital Stock | ||||||||
Superior Guaranty Insurance Company1 | Minneapolis | MN | 4,499 | 15.7 | % | |||||||
Transamerica Life Insurance Company2 | Cedar Rapids | IA | 2,525 | 8.8 | ||||||||
Aviva Life and Annuity Company | Des Moines | IA | 1,494 | 5.2 | ||||||||
ING USA Annuity and Life Insurance Company | Des Moines | IA | 1,432 | 5.0 | ||||||||
9,950 | 34.7 | |||||||||||
All others | 18,696 | 65.3 | ||||||||||
Total capital stock | 28,646 | 100.0 | % | |||||||||
1 | Superior Guaranty Insurance Company is an affiliate of Wells Fargo Bank, N.A. | |
2 | Transamerica Occidental Life Insurance Company merged into Transamerica Life Insurance Company on October 1, 2008. |
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Shares of | ||||||||||||
Capital Stock | ||||||||||||
Owned at | Percent of | |||||||||||
February 28, | Total Capital | |||||||||||
Name | City | State | 2009 | Stock | ||||||||
Bank of North Dakota | Bismarck | ND | 180 | 0.63 | % | |||||||
Reliance Bank | Des Peres | MO | 82 | 0.28 | ||||||||
First Bank & Trust | Brookings | SD | 66 | 0.23 | ||||||||
Treynor State Bank | Treynor | IA | 17 | 0.06 | ||||||||
American Bank & Trust | Wessington Springs | SD | 14 | 0.05 | ||||||||
Midwest Bank | Detroit Lakes | MN | 12 | 0.04 | ||||||||
Bank Star One | Fulton | MO | 5 | 0.02 | ||||||||
Security State Bank | Waverly | IA | 5 | 0.02 | ||||||||
Bank Star | Pacific | MO | 4 | 0.01 | ||||||||
Community Bank of Missouri | Richmond | MO | 4 | 0.01 | ||||||||
Janesville State Bank | Janesville | MN | 3 | 0.01 | ||||||||
Maynard Savings Bank | Maynard | IA | 2 | 0.01 | ||||||||
Citizens Savings Bank | Hawkeye | IA | 2 | 0.01 | ||||||||
Bank Star of the LeadBelt | Park Hills | MO | 2 | 0.01 | ||||||||
Bank Star of the BootHeel | Steele | MO | 1 | * | ||||||||
Total | 399 | 1.39 | % | |||||||||
* | Amount is less than 0.01 percent. |
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165
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166
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167
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168
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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. | |||
4.1 | Federal Home Loan Bank of Des Moines Capital Plan dated July 8, 2002, approved by the Federal Housing Finance Board July 10, 2002.* | |||
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. | |||
10.17 | U.S. Department of Treasury Lending Agreement incorporated by reference to the correspondingly numbered exhibit to our Form 8-K filed with the SEC on September 9, 2008. |
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10.18 | Federal Home Loan Bank of Des Moines Long-Term Incentive Plan 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. | |||
12.1 | Computation of Ratio of Earnings to Fixed Charges. | |||
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. |
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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 and 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/ Eric A. Hardmeyer | Director | |
/s/ Labh S. Hira | Director | |
/s/ John F. Kennedy, Sr. | Director | |
/s/ D.R. Landwehr | Director | |
/s/ Clair J. Lensing | Director | |
/s/ Dennis A. Lind | Director | |
/s/ Paula R. Meyer | Director | |
/s/ John H. Robinson | Director | |
/s/ Lynn V. Schneider | Director | |
/s/ Joseph C. Stewart III | Director |
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Exhibit | ||||
Number | Description | |||
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. | |||
4.1 | Federal Home Loan Bank of Des Moines Capital Plan dated July 8, 2002, approved by the Federal Housing Finance Board July 10, 2002.* | |||
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. | |||
10.17 | U.S. Department of Treasury Lending Agreement incorporated by reference to the correspondingly numbered exhibit to our Form 8-K filed with the SEC on September 9, 2008. | |||
10.18 | Federal Home Loan Bank of Des Moines Long-Term Incentive Plan 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. | |||
12.1 | Computation of Ratio of Earnings to Fixed Charges. | |||
31.1 | Certification of the president and chief executive officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. |
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Exhibit | ||||
Number | Description | |||
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. |
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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 13, 2009
S-2
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(In thousands, except shares)
December 31, | ||||||||
2008 | 2007 | |||||||
ASSETS | ||||||||
Cash and due from banks (Note 3) | $ | 44,368 | $ | 58,675 | ||||
Interest-bearing deposits | 152 | 136 | ||||||
Federal funds sold | 3,425,000 | 1,805,000 | ||||||
Investments | ||||||||
Trading securities (Note 5) | 2,151,485 | — | ||||||
Available-for-sale securities include $0 and $208,892 pledged as collateral in 2008 and 2007 that may be repledged (Note 6) | 3,839,980 | 3,433,640 | ||||||
Held-to-maturity securities include $0 pledged as collateral in 2008 and 2007 that may be repledged (estimated fair value of $5,917,288 and $4,000,715 in 2008 and 2007) (Note 7) | 5,952,008 | 4,005,017 | ||||||
Advances (Note 8) | 41,897,479 | 40,411,688 | ||||||
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans of $500 and $300 in 2008 and 2007 (Note 9) | 10,684,910 | 10,801,695 | ||||||
Accrued interest receivable | 92,620 | 129,758 | ||||||
Premises and equipment, net | 8,550 | 6,966 | ||||||
Derivative assets (Note 10) | 2,840 | 60,468 | ||||||
Other assets | 29,915 | 22,563 | ||||||
Total assets | $ | 68,129,307 | $ | 60,735,606 | ||||
LIABILITIES AND CAPITAL | ||||||||
LIABILITIES | ||||||||
Deposits (Note 11) | ||||||||
Interest-bearing | $ | 1,389,642 | $ | 841,762 | ||||
Non-interest-bearing demand | 106,828 | 20,751 | ||||||
Total deposits | 1,496,470 | 862,513 | ||||||
Securities sold under agreements to repurchase (Note 12) | — | 200,000 | ||||||
Consolidated obligations, net (Note 13) | ||||||||
Discount notes | 20,061,271 | 21,500,946 | ||||||
Bonds | 42,722,473 | 34,564,226 | ||||||
Total consolidated obligations, net | 62,783,744 | 56,065,172 | ||||||
Mandatorily redeemable capital stock (Note 16) | 10,907 | 46,039 | ||||||
Accrued interest payable | 320,271 | 300,907 | ||||||
Affordable Housing Program (Note 14) | 39,715 | 42,622 | ||||||
Payable to REFCORP (Note 15) | 557 | 6,280 | ||||||
Derivative liabilities (Note 10) | 435,015 | 138,252 | ||||||
Other liabilities | 25,261 | 21,598 | ||||||
Total liabilities | 65,111,940 | 57,683,383 | ||||||
Commitments and contingencies (Note 20) | ||||||||
CAPITAL (Note 16) | ||||||||
Capital stock — Class B putable ($100 par value) issued and outstanding shares: | ||||||||
27,809,271 and 27,172,465 shares in 2008 and 2007 | 2,780,927 | 2,717,247 | ||||||
Retained earnings | 381,973 | 361,347 | ||||||
Accumulated other comprehensive loss: | ||||||||
Net unrealized loss on available-for-sale securities (Note 6) | (144,271 | ) | (25,467 | ) | ||||
Employee retirement plans (Note 17) | (1,262 | ) | (904 | ) | ||||
Total capital | 3,017,367 | 3,052,223 | ||||||
Total liabilities and capital | $ | 68,129,307 | $ | 60,735,606 | ||||
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(In thousands)
For the Years Ended December 31, | ||||||||||||
2008 | 2007 | 2006 | ||||||||||
INTEREST INCOME | ||||||||||||
Advances | $ | 1,417,661 | $ | 1,312,133 | $ | 1,136,091 | ||||||
Prepayment fees on advances, net | 943 | 1,527 | 514 | |||||||||
Interest-bearing deposits | 107 | 401 | 2,456 | |||||||||
Securities purchased under agreements to resell | — | 11,904 | 15,457 | |||||||||
Federal funds sold | 72,044 | 188,668 | 138,716 | |||||||||
Investments | ||||||||||||
Trading securities | 1,052 | — | 311 | |||||||||
Available-for-sale securities | 133,443 | 111,548 | 21,939 | |||||||||
Held-to-maturity securities | 209,407 | 272,996 | 281,177 | |||||||||
Mortgage loans held for portfolio | 533,648 | 561,660 | 614,753 | |||||||||
Loans to other FHLBanks | 93 | — | 7 | |||||||||
Total interest income | 2,368,398 | 2,460,837 | 2,211,421 | |||||||||
INTEREST EXPENSE | ||||||||||||
Consolidated obligations | ||||||||||||
Discount notes | 616,394 | 424,052 | 269,278 | |||||||||
Bonds | 1,481,232 | 1,786,215 | 1,721,022 | |||||||||
Deposits | 22,181 | 51,363 | 35,173 | |||||||||
Borrowings from other FHLBanks | 26 | 119 | 147 | |||||||||
Securities sold under agreements to repurchase | 1,961 | 25,045 | 28,462 | |||||||||
Mandatorily redeemable capital stock | 1,029 | 2,902 | 2,972 | |||||||||
Other borrowings | — | — | 31 | |||||||||
Total interest expense | 2,122,823 | 2,289,696 | 2,057,085 | |||||||||
NET INTEREST INCOME | 245,575 | 171,141 | 154,336 | |||||||||
Provision for (reversal of) credit losses on mortgage loans held for portfolio | 295 | 69 | (513 | ) | ||||||||
NET INTEREST INCOME AFTER PROVISION FOR (REVERSAL OF) CREDIT LOSSES | 245,280 | 171,072 | 154,849 | |||||||||
OTHER INCOME | ||||||||||||
Service fees | 2,341 | 2,217 | 2,423 | |||||||||
Net gain (loss) on trading securities | 1,485 | — | (17 | ) | ||||||||
Net realized gain on held-to-maturity securities | 1,787 | 545 | — | |||||||||
Net (loss) gain on derivatives and hedging activities | (33,175 | ) | 4,491 | 2,278 | ||||||||
Other, net | (277 | ) | 3,080 | 4,003 | ||||||||
Total other (loss) income | (27,839 | ) | 10,333 | 8,687 | ||||||||
OTHER EXPENSE | ||||||||||||
Compensation and benefits | 26,274 | 24,828 | 22,577 | |||||||||
Operating | 14,118 | 14,589 | 16,478 | |||||||||
Federal Housing Finance Agency | 1,852 | 1,561 | 1,530 | |||||||||
Office of Finance | 1,843 | 1,476 | 982 | |||||||||
Total other expense | 44,087 | 42,454 | 41,567 | |||||||||
INCOME BEFORE ASSESSMENTS | 173,354 | 138,951 | 121,969 | |||||||||
Affordable Housing Program | 14,168 | 12,094 | 10,260 | |||||||||
REFCORP | 31,820 | 25,462 | 22,342 | |||||||||
Total assessments | 45,988 | 37,556 | 32,602 | |||||||||
NET INCOME | $ | 127,366 | $ | 101,395 | $ | 89,367 | ||||||
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(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 | ) | |||||||||||||
Employee retirement plans | — | — | — | (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 | ) | |||||||||||||
Employee retirement plans | 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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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, 2005 | 19,321 | $ | 1,932,054 | $ | 329,241 | $ | (827 | ) | $ | 2,260,468 | ||||||||||
Proceeds from issuance of capital stock | 6,802 | 680,213 | — | — | 680,213 | |||||||||||||||
Repurchase/redemption of capital stock | (7,037 | ) | (703,672 | ) | — | — | (703,672 | ) | ||||||||||||
Net shares reclassified to mandatorily redeemable capital stock | (27 | ) | (2,717 | ) | — | — | (2,717 | ) | ||||||||||||
Comprehensive income: | ||||||||||||||||||||
Net income | — | — | 89,367 | — | 89,367 | |||||||||||||||
Other comprehensive income (loss): | ||||||||||||||||||||
Net unrealized gain on available-for-sale securities | — | — | — | 246 | 246 | |||||||||||||||
Employee retirement plans | (657 | ) | (657 | ) | ||||||||||||||||
Total comprehensive income | 88,956 | |||||||||||||||||||
Adjustment to initially apply SFAS 158 | — | — | — | 85 | 85 | |||||||||||||||
Cash dividends on capital stock (3.83% annualized) | — | — | (74,362 | ) | — | (74,362 | ) | |||||||||||||
BALANCE DECEMBER 31, 2006 | 19,059 | $ | 1,905,878 | $ | 344,246 | $ | (1,153 | ) | $ | 2,248,971 | ||||||||||
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(In thousands)
For the Years Ended December 31, | ||||||||||||
2008 | 2007 | 2006 | ||||||||||
OPERATING ACTIVITIES | ||||||||||||
Net income | $ | 127,366 | $ | 101,395 | $ | 89,367 | ||||||
Adjustments to reconcile net income to net cash provided by operating activities | ||||||||||||
Depreciation and amortization | ||||||||||||
Net premiums, discounts, and basis adjustments on investments advances, mortgage loans, and consolidated obligations | 39,905 | 64,147 | 47,470 | |||||||||
Concessions on consolidated obligation bonds | 7,559 | 6,079 | 5,960 | |||||||||
Premises and equipment | 1,026 | 992 | 460 | |||||||||
Other | (103 | ) | (161 | ) | 68 | |||||||
Provision for (reversal of) credit losses on mortgage loans held for portfolio | 295 | 69 | (513 | ) | ||||||||
Gain on extinguishment of debt | (698 | ) | — | — | ||||||||
Net realized gain from sale of held-to-maturity securities | (1,787 | ) | (545 | ) | — | |||||||
Net change in fair value adjustment on trading securities | (1,485 | ) | — | 58 | ||||||||
Net change in fair value adjustment on derivatives and hedging activities | 20,773 | (10,788 | ) | (3,134 | ) | |||||||
Net realized loss on disposal of premises and equipment | 12 | 77 | 20 | |||||||||
Net change in: | ||||||||||||
Accrued interest receivable | 37,117 | (36,826 | ) | 6,800 | ||||||||
Accrued interest on derivatives | 59,498 | (36,046 | ) | (17,805 | ) | |||||||
Other assets | (1,341 | ) | 224 | 391 | ||||||||
Accrued interest payable | 19,231 | 900 | (15,518 | ) | ||||||||
Affordable Housing Program (AHP) liability and discount on AHP advances | (2,963 | ) | (2,124 | ) | (1,972 | ) | ||||||
Payable to REFCORP | (6,132 | ) | 335 | (44,999 | ) | |||||||
Other liabilities | 3,305 | 1,199 | (2,661 | ) | ||||||||
Total adjustments | 174,212 | (12,468 | ) | (25,375 | ) | |||||||
Net cash provided by operating activities | 301,578 | 88,927 | 63,992 | |||||||||
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STATEMENTS OF CASH FLOWS (continued from previous page)
(In thousands)
For the Years Ended December 31, | ||||||||||||
2008 | 2007 | 2006 | ||||||||||
INVESTING ACTIVITIES | ||||||||||||
Net change in: | ||||||||||||
Interest-bearing deposits | (267,916 | ) | 11,256 | 53,633 | ||||||||
Securities purchased under agreements to resell | — | 305,000 | — | |||||||||
Federal funds sold | (1,620,000 | ) | (180,000 | ) | 1,360,000 | |||||||
Trading securities | ||||||||||||
Proceeds from maturities and sales | — | — | 8,635 | |||||||||
Purchases | (2,150,000 | ) | — | — | ||||||||
Available-for-sale securities: | ||||||||||||
Proceeds from maturities and sales | 2,881,611 | 5,734,866 | 875,093 | |||||||||
Purchases | (3,406,551 | ) | (8,630,106 | ) | (1,188,888 | ) | ||||||
Held-to-maturity securities: | ||||||||||||
Net (increase) decrease in short-term | (84,461 | ) | 1,019,679 | 356,806 | ||||||||
Proceeds from maturities | 703,616 | 762,400 | 1,047,376 | |||||||||
Purchases | (2,564,821 | ) | (70,000 | ) | (494,584 | ) | ||||||
Advances to members: | ||||||||||||
Principal collected | 329,770,015 | 93,835,701 | 96,517,717 | |||||||||
Originated | (330,411,026 | ) | (112,007,019 | ) | (96,138,800 | ) | ||||||
Mortgage loans held for portfolio: | ||||||||||||
Principal collected | 1,294,677 | 1,339,811 | 1,596,111 | |||||||||
Originated or purchased | (1,184,389 | ) | (370,977 | ) | (358,595 | ) | ||||||
Additions to premises and equipment | (2,632 | ) | (1,922 | ) | (5,050 | ) | ||||||
Proceeds from sale of premises and equipment | 10 | 131 | 60 | |||||||||
Net cash (used in) provided by investing activities | (7,041,867 | ) | (18,251,180 | ) | 3,629,514 | |||||||
FINANCING ACTIVITIES | ||||||||||||
Net change in: | ||||||||||||
Deposits | 602,657 | (47,635 | ) | 76,741 | ||||||||
Net decrease in securities sold under agreement to repurchase | (200,000 | ) | (300,000 | ) | — | |||||||
Net proceeds on derivative contracts with financing elements | 24,919 | — | — | |||||||||
Net proceeds from issuance of consolidated obligations: | ||||||||||||
Discount notes | 1,143,298,513 | 619,804,146 | 738,751,137 | |||||||||
Bonds | 21,122,613 | 8,681,550 | 5,857,701 | |||||||||
Payments for maturing and retiring consolidated obligations: | ||||||||||||
Discount notes | (1,144,771,902 | ) | (603,019,683 | ) | (738,144,635 | ) | ||||||
Bonds | (13,272,626 | ) | (7,635,893 | ) | (10,125,865 | ) | ||||||
Proceeds from issuance of capital stock | 5,579,766 | 2,004,664 | 680,213 | |||||||||
Net payments for repurchase/issuance of mandatorily redeemable capital stock | (37,993 | ) | (1,027 | ) | (22,949 | ) | ||||||
Payments for repurchase/redemption of capital stock | (5,513,225 | ) | (1,211,081 | ) | (703,672 | ) | ||||||
Cash dividends paid | (106,740 | ) | (84,294 | ) | (74,362 | ) | ||||||
Net cash provided by (used in) financing activities | 6,725,982 | 18,190,747 | (3,705,691 | ) | ||||||||
Net (decrease) increase in cash and due from banks | (14,307 | ) | 28,494 | (12,185 | ) | |||||||
Cash and due from banks at beginning of the year | 58,675 | 30,181 | 42,366 | |||||||||
Cash and due from banks at end of the year | $ | 44,368 | $ | 58,675 | $ | 30,181 | ||||||
Supplemental Disclosures | ||||||||||||
Cash paid during the period for | ||||||||||||
Interest | $ | 2,061,098 | $ | 2,239,561 | $ | 2,017,236 | ||||||
AHP | 17,075 | 14,186 | 12,200 | |||||||||
REFCORP | 37,952 | 25,127 | 67,341 | |||||||||
Transfers of mortgage loans to real estate owned | 12,291 | 9,221 | 9,988 |
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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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(1) | Submits a written notice to the Bank to redeem all or part of the member’s capital stock. | ||
(2) | Submits a written notice to the Bank of the member’s intent to withdraw from membership, which automatically commences the 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, involuntarily as a result of action by the Bank’s Board of Directors, or a relocation to another FHLBank district. |
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• | A fair value measurement represents the price at which a transaction would occur between market participants at the measurement date. |
• | In determining a financial asset’s fair value, use of a reporting entity’s own assumptions about future cash flows and appropriately risk-adjusted discount rates is acceptable when relevant observable inputs are unavailable. |
• | Broker or pricing service quotes may be an appropriate input when measuring fair value, but they are not necessarily determinative if an active market does not exist for the financial asset. |
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2008 | 2007 | |||||||
Non-mortgage-backed securities | $ | 2,151,485 | $ | — | ||||
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2008 | 2007 | 2006 | ||||||||||
Unrealized holding gain (loss) on trading securities | $ | 1,485 | $ | — | $ | (58 | ) | |||||
Gain on the sale of trading securities | — | — | 41 | |||||||||
Total net gain (loss) on trading securities | $ | 1,485 | $ | — | $ | (17 | ) | |||||
Gross | Gross | |||||||||||||||
Amortized | Unrealized | Unrealized | Estimated Fair | |||||||||||||
Cost | Gains | Losses | Value | |||||||||||||
Non-mortgage-backed securities | ||||||||||||||||
State or local housing agency obligations | $ | 580 | $ | — | $ | — | $ | 580 | ||||||||
Mortgage-backed securities | ||||||||||||||||
Government-sponsored enterprise | 3,983,671 | — | 144,271 | 3,839,400 | ||||||||||||
Total | $ | 3,984,251 | $ | — | $ | 144,271 | $ | 3,839,980 | ||||||||
Gross | Gross | |||||||||||||||
Amortized | Unrealized | Unrealized | Estimated Fair | |||||||||||||
Cost | Gains | Losses | Value | |||||||||||||
Non-mortgage-backed securities | ||||||||||||||||
Government-sponsored enterprise obligations | $ | 219,014 | $ | 62 | $ | — | $ | 219,076 | ||||||||
Mortgage-backed securities | ||||||||||||||||
Government-sponsored enterprise | 3,240,093 | 529 | 26,058 | 3,214,564 | ||||||||||||
Total | $ | 3,459,107 | $ | 591 | $ | 26,058 | $ | 3,433,640 | ||||||||
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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 | ||||||||||||
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 | $ | 2,709,538 | $ | 26,058 | $ | — | $ | — | $ | 2,709,538 | $ | 26,058 | ||||||||||||
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2008 | 2007 | |||||||||||||||
Amortized | Estimated | Amortized | Estimated | |||||||||||||
Year of Maturity | Cost | Fair Value | Cost | Fair Value | ||||||||||||
Due in one year or less | $ | — | $ | — | $ | 219,014 | $ | 219,076 | ||||||||
Due after ten years | 580 | 580 | — | — | ||||||||||||
580 | 580 | 219,014 | 219,076 | |||||||||||||
Mortgage-backed securities | 3,983,671 | 3,839,400 | 3,240,093 | 3,214,564 | ||||||||||||
Total | $ | 3,984,251 | $ | 3,839,980 | $ | 3,459,107 | $ | 3,433,640 | ||||||||
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2008 | 2007 | |||||||
Amortized cost of available-for-sale securities other than mortgage-backed securities | ||||||||
Fixed rate | $ | — | $ | 219,014 | ||||
Variable rate | 580 | — | ||||||
580 | 219,014 | |||||||
Amortized cost of available-for-sale mortgage-backed securities | ||||||||
Collateralized mortgage obligations | ||||||||
Variable rate | 3,983,671 | 3,240,093 | ||||||
Total | $ | 3,984,251 | $ | 3,459,107 | ||||
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 obligations | 92,765 | 1,878 | 80 | 94,563 | ||||||||||||
Other | 6,906 | 166 | — | 7,072 | ||||||||||||
Total non-mortgage-backed securities | 484,428 | 2,190 | 81 | 486,537 | ||||||||||||
Mortgage-backed securities | ||||||||||||||||
Government-sponsored enterprise | 5,329,884 | 64,310 | 87,540 | 5,306,654 | ||||||||||||
U.S. government agency-guaranteed | 52,006 | — | 981 | 51,025 | ||||||||||||
MPF shared funding | 47,156 | — | 2,573 | 44,583 | ||||||||||||
Other | 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 | ||||||||
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Gross | Gross | |||||||||||||||
Amortized | Unrealized | Unrealized | Estimated | |||||||||||||
Cost | Gains | Losses | Fair Value | |||||||||||||
Non-mortgage-backed securities | ||||||||||||||||
Certificates of deposit | $ | 100,000 | $ | — | $ | — | $ | 100,000 | ||||||||
Commercial paper | 199,979 | — | — | 199,979 | ||||||||||||
State or local housing agency obligations | 73,960 | 2,888 | — | 76,848 | ||||||||||||
Other | 8,436 | 190 | — | 8,626 | ||||||||||||
Total non-mortgage-backed securities | 382,375 | 3,078 | — | 385,453 | ||||||||||||
Mortgage-backed securities | ||||||||||||||||
Government-sponsored enterprise | 3,457,801 | 14,393 | 20,302 | 3,451,892 | ||||||||||||
U.S. government agency-guaranteed | 64,099 | 303 | 65 | 64,337 | ||||||||||||
MPF shared funding | 53,142 | — | 1,136 | 52,006 | ||||||||||||
Other | 47,600 | — | 573 | 47,027 | ||||||||||||
Total mortgage-backed securities | 3,622,642 | 14,696 | 22,076 | 3,615,262 | ||||||||||||
Total | $ | 4,005,017 | $ | 17,774 | $ | 22,076 | $ | 4,000,715 | ||||||||
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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 | 61,592 | 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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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 | $ | 942,596 | $ | 6,031 | $ | 939,310 | $ | 14,271 | $ | 1,881,906 | $ | 20,302 | ||||||||||||
U.S. government agency-guaranteed | 4,729 | 5 | 1,852 | 60 | 6,581 | 65 | ||||||||||||||||||
MPF shared funding | — | — | 52,006 | 1,136 | 52,006 | 1,136 | ||||||||||||||||||
Other | 46,551 | 573 | — | — | 46,551 | 573 | ||||||||||||||||||
Total | $ | 993,876 | $ | 6,609 | $ | 993,168 | $ | 15,467 | $ | 1,987,044 | $ | 22,076 | ||||||||||||
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2008 | 2007 | |||||||||||||||
Amortized | Estimated | Amortized | Estimated | |||||||||||||
Year of Maturity | Cost | Fair Value | Cost | Fair Value | ||||||||||||
Due in one year or less | $ | 384,757 | $ | 384,902 | $ | 305,428 | $ | 305,443 | ||||||||
Due after one year through five years | 2,989 | 3,154 | 2,987 | 3,162 | ||||||||||||
Due after five years through ten years | 3,205 | 3,261 | — | — | ||||||||||||
Due after ten years | 93,477 | 95,220 | 73,960 | 76,848 | ||||||||||||
484,428 | 486,537 | 382,375 | 385,453 | |||||||||||||
Mortgage-backed securities | 5,467,580 | 5,430,751 | 3,622,642 | 3,615,262 | ||||||||||||
Total | $ | 5,952,008 | $ | 5,917,288 | $ | 4,005,017 | $ | 4,000,715 | ||||||||
2008 | 2007 | |||||||
Amortized cost of held-to-maturity securities other than mortgage-backed securities | ||||||||
Fixed rate | $ | 484,428 | $ | 382,375 | ||||
Amortized cost of held-to-maturity mortgage-backed securities | ||||||||
Pass-through securities | ||||||||
Fixed rate | 404,078 | 508,236 | ||||||
Variable rate | 8,093 | 9,860 | ||||||
Collateralized mortgage obligations | ||||||||
Fixed rate | 2,318,079 | 2,096,269 | ||||||
Variable rate | 2,737,330 | 1,008,277 | ||||||
5,467,580 | 3,622,642 | |||||||
Total | $ | 5,952,008 | $ | 4,005,017 | ||||
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2008 | 2007 | |||||||||||||||
Weighted | Weighted | |||||||||||||||
Average | Average | |||||||||||||||
Interest | Interest | |||||||||||||||
Year of Contractual Maturity | Amount | Rate % | Amount | Rate % | ||||||||||||
Overdrawn demand deposit accounts | $ | 623 | — | $ | 414 | — | ||||||||||
2008 | — | — | 19,817,080 | 4.50 | ||||||||||||
2009 | 9,332,574 | 2.70 | 3,498,660 | 4.88 | ||||||||||||
2010 | 5,212,502 | 3.97 | 2,907,585 | 5.13 | ||||||||||||
2011 | 3,656,941 | 3.45 | 2,225,344 | 5.04 | ||||||||||||
2012 | 5,014,300 | 2.25 | 2,965,609 | 4.78 | ||||||||||||
2013 | 4,893,217 | 2.37 | 1,375,054 | 4.93 | ||||||||||||
Thereafter | 12,552,790 | 3.32 | 7,232,190 | 4.67 | ||||||||||||
Total par value | 40,662,947 | 3.03 | 40,021,936 | 4.68 | ||||||||||||
Commitment fees | * | (2 | ) | |||||||||||||
Discounts on AHP advances | (34 | ) | (90 | ) | ||||||||||||
Premiums | 380 | 449 | ||||||||||||||
Discounts | (9 | ) | (37 | ) | ||||||||||||
Hedging fair value adjustments | ||||||||||||||||
Cumulative fair value gain | 1,082,129 | 382,899 | ||||||||||||||
Basis adjustments from terminated hedges and ineffective hedges | 152,066 | 6,533 | ||||||||||||||
Total | $ | 41,897,479 | $ | 40,411,688 | ||||||||||||
* | Amount is less than one thousand. |
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Year of Contractual Maturity or Next Call Date | 2008 | 2007 | ||||||
Overdrawn demand deposit accounts | $ | 623 | $ | 414 | ||||
2008 | — | 21,009,660 | ||||||
2009 | 16,934,745 | 3,530,926 | ||||||
2010 | 5,279,406 | 2,929,738 | ||||||
2011 | 3,652,944 | 2,244,741 | ||||||
2012 | 2,290,764 | 1,984,624 | ||||||
2013 | 3,292,310 | 1,375,053 | ||||||
Thereafter | 9,212,155 | 6,946,780 | ||||||
Total par value | $ | 40,662,947 | $ | 40,021,936 | ||||
Year of Contractual Maturity or Next Put Date | 2008 | 2007 | ||||||
Overdrawn demand deposit accounts | $ | 623 | $ | 414 | ||||
2008 | — | 23,679,230 | ||||||
2009 | 14,353,624 | 4,326,960 | ||||||
2010 | 5,754,252 | 2,985,136 | ||||||
2011 | 3,973,741 | 1,809,744 | ||||||
2012 | 4,631,600 | 2,562,909 | ||||||
2013 | 4,566,317 | 1,109,553 | ||||||
Thereafter | 7,382,790 | 3,547,990 | ||||||
Total par value | $ | 40,662,947 | $ | 40,021,936 | ||||
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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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2008 | 2007 | |||||||
Par amount of advances | ||||||||
Fixed rate | $ | 28,050,033 | $ | 35,303,332 | ||||
Variable rate | 12,612,914 | 4,718,604 | ||||||
Total | $ | 40,662,947 | $ | 40,021,936 | ||||
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2008 | 2007 | |||||||
Real Estate: | ||||||||
Fixed rate, medium-term single family mortgages | $ | 2,409,977 | $ | 2,569,808 | ||||
Fixed rate, long-term single family mortgages | 8,266,134 | 8,220,921 | ||||||
Total par value | 10,676,111 | 10,790,729 | ||||||
Premiums | 86,355 | 96,513 | ||||||
Discounts | (81,547 | ) | (93,094 | ) | ||||
Basis adjustments from mortgage loan commitments | 4,491 | 7,847 | ||||||
Allowance for credit losses | (500 | ) | (300 | ) | ||||
Total mortgage loans held for portfolio, net | $ | 10,684,910 | $ | 10,801,695 | ||||
• | Homeowner equity. |
• | Primary Mortgage Insurance for all loans with home owner equity of less than 20 percent of the original purchase price or appraised value. |
• | FLA established by the Bank. FLA is a memorandum account for tracking losses and such losses are either recoverable from future payments of performance based credit enhancement fees to the member or absorbed by the Bank. |
• | Credit enhancements (including supplemental mortgage insurance (SMI)) provided by participating members. The size of the participating member’s credit enhancement is calculated so that any losses in excess of the FLA are limited to those of an investor in a mortgage-backed security that is rated the equivalent of AA by an NRSRO. To cover losses equal to all or a portion of the credit enhancement obligations, participating members are required to either collateralize their credit enhancement obligations or to purchase SMI from a highly rated mortgage insurer for the benefit of the Bank. |
• | Losses greater than credit enhancements provided by members are the responsibility of the Bank. The Bank utilizes an allowance for any estimated losses beyond the above layers. |
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2008 | 2007 | 2006 | ||||||||||
Balance, beginning of year | $ | 300 | $ | 250 | $ | 763 | ||||||
Charge-offs | (95 | ) | (19 | ) | — | |||||||
Recoveries | — | — | — | |||||||||
Net (charge-offs) recoveries | (95 | ) | (19 | ) | — | |||||||
Provision for (reversal of) credit losses | 295 | 69 | (513 | ) | ||||||||
Balance, end of year | $ | 500 | $ | 300 | $ | 250 | ||||||
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(1) | Management determines the derivative is no longer effective in offsetting changes in the fair value of a hedged item (including hedged items such as firm commitments or forecasted transactions). | ||
(2) | The derivative and/or the hedged item expires or is sold, terminated, or exercised. | ||
(3) | A hedged firm commitment no longer meets the definition of a firm commitment. | ||
(4) | Management determines that the hedge designation is no longer appropriate. |
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2008 | 2007 | 2006 | ||||||||||
Net (loss) gain related to fair value hedge ineffectiveness | $ | (4,021 | ) | $ | 3,145 | $ | 2,680 | |||||
Net (loss) gain related to economic hedges and embedded derivatives | (29,154 | ) | 1,346 | (402 | ) | |||||||
Net (loss) gain on derivatives and hedging activities | $ | (33,175 | ) | $ | 4,491 | $ | 2,278 | |||||
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2008 | 2007 | |||||||||||||||
Estimated | Estimated | |||||||||||||||
Notional | Fair Value | Notional | Fair Value | |||||||||||||
Interest rate swaps | ||||||||||||||||
Fair value | $ | 23,470,693 | $ | (779,200 | ) | $ | 31,225,432 | $ | (183,819 | ) | ||||||
Economic | 3,640,595 | (1,840 | ) | 1,410,000 | (2,015 | ) | ||||||||||
Interest rate swaptions | ||||||||||||||||
Economic | — | — | 6,500,000 | 973 | ||||||||||||
Interest rate caps | ||||||||||||||||
Economic | 2,340,000 | 2,481 | 1,700,000 | 679 | ||||||||||||
Forward settlement agreements | ||||||||||||||||
Economic | 289,000 | (2,323 | ) | 22,500 | (28 | ) | ||||||||||
Mortgage delivery commitments | ||||||||||||||||
Economic | 288,175 | 2,017 | 23,425 | 68 | ||||||||||||
Total notional and fair value | $ | 30,028,463 | $ | (778,865 | ) | $ | 40,881,357 | $ | (184,142 | ) | ||||||
Total derivatives, excluding accrued interest | (778,865 | ) | (184,142 | ) | ||||||||||||
Accrued interest | 78,769 | 137,791 | ||||||||||||||
Net cash collateral | 267,921 | (31,433 | ) | |||||||||||||
Net derivative balance | $ | (432,175 | ) | $ | (77,784 | ) | ||||||||||
Net derivative assets | 2,840 | 60,468 | ||||||||||||||
Net derivative liabilities | (435,015 | ) | (138,252 | ) | ||||||||||||
Net derivative balance | $ | (432,175 | ) | $ | (77,784 | ) | ||||||||||
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2008 | 2007 | |||||||
Interest bearing: | ||||||||
Demand and overnight | $ | 924,956 | $ | 802,127 | ||||
Term | 464,686 | 39,635 | ||||||
Non-interest bearing: | ||||||||
Demand | 106,828 | 20,751 | ||||||
Total deposits | $ | 1,496,470 | $ | 862,513 | ||||
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2008 | 2007 | |||||||||||||||
Weighted | Weighted | |||||||||||||||
Average | Average | |||||||||||||||
Interest | Interest | |||||||||||||||
Year of Contractual Maturity | Amount | Rate % | Amount | Rate % | ||||||||||||
2008 | $ | — | — | $ | 6,437,800 | 4.19 | ||||||||||
2009 | 15,962,600 | 3.10 | 5,628,300 | 4.66 | ||||||||||||
2010 | 6,159,050 | 4.01 | 4,328,950 | 4.71 | ||||||||||||
2011 | 4,670,100 | 4.34 | 2,754,300 | 4.99 | ||||||||||||
2012 | 2,231,050 | 4.54 | 2,017,950 | 4.74 | ||||||||||||
2013 | 2,417,500 | 4.35 | 1,500,000 | 4.96 | ||||||||||||
Thereafter | 8,408,700 | 5.13 | 9,087,200 | 5.21 | ||||||||||||
Index amortizing notes | 2,420,099 | 5.12 | 2,667,322 | 5.12 | ||||||||||||
Total par value | 42,269,099 | 4.04 | 34,421,822 | 4.80 | ||||||||||||
Premiums | 50,742 | 48,398 | ||||||||||||||
Discounts | (40,699 | ) | (37,650 | ) | ||||||||||||
Hedging fair value adjustments | ||||||||||||||||
Cumulative fair value loss | 348,214 | 226,071 | ||||||||||||||
Basis adjustments from terminated hedges and ineffective hedges | 95,117 | (94,415 | ) | |||||||||||||
Total | $ | 42,722,473 | $ | 34,564,226 | ||||||||||||
2008 | 2007 | |||||||
Par amount of bonds | ||||||||
Noncallable or nonputable | $ | 39,214,099 | $ | 26,044,522 | ||||
Callable | 3,055,000 | 8,377,300 | ||||||
Total par value | $ | 42,269,099 | $ | 34,421,822 | ||||
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Year of Contractual Maturity or Next Call Date | 2008 | 2007 | ||||||
2008 | $ | — | $ | 12,806,100 | ||||
2009 | 18,507,600 | 3,888,300 | ||||||
2010 | 6,229,050 | 3,306,950 | ||||||
2011 | 4,060,100 | 2,379,300 | ||||||
2012 | 1,801,050 | 1,697,950 | ||||||
2013 | 1,807,500 | 910,000 | ||||||
Thereafter | 7,443,700 | 6,765,900 | ||||||
Index amortizing notes | 2,420,099 | 2,667,322 | ||||||
Total par value | $ | 42,269,099 | $ | 34,421,822 | ||||
2008 | 2007 | |||||||
Par amount of bonds: | ||||||||
Fixed rate | $ | 37,954,099 | $ | 33,967,822 | ||||
Simple variable rate | 4,315,000 | 265,000 | ||||||
Step-up | — | 50,000 | ||||||
Range bonds | — | 139,000 | ||||||
Total par value | $ | 42,269,099 | $ | 34,421,822 | ||||
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2008 | 2007 | |||||||||||||||
Weighted | Weighted | |||||||||||||||
Average | Average | |||||||||||||||
Interest | Interest | |||||||||||||||
Amount | Rate % | Amount | Rate % | |||||||||||||
Par value | $ | 20,153,370 | 1.83 | $ | 21,544,125 | 4.10 | ||||||||||
Discounts | (92,099 | ) | (43,179 | ) | ||||||||||||
Hedging fair value adjustments | * | — | ||||||||||||||
Total | $ | 20,061,271 | $ | 21,500,946 | ||||||||||||
* | Amount is less than one thousand. |
2008 | 2007 | 2006 | ||||||||||
Balance, beginning of year | $ | 42,622 | $ | 44,714 | $ | 46,654 | ||||||
Assessments | 14,168 | 12,094 | 10,260 | |||||||||
Disbursements | (17,075 | ) | (14,186 | ) | (12,200 | ) | ||||||
Balance, end of year | $ | 39,715 | $ | 42,622 | $ | 44,714 | ||||||
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Interest Rate | ||||||||||||
Used to | Present | |||||||||||
Amount of | Discount the | Value of the | ||||||||||
Benchmark | Future | Benchmark | ||||||||||
Payment | Benchmark | Payment | ||||||||||
Payment Due Date | Reinstated | Payment | Reinstated | |||||||||
April 15, 2013 | $ | 32,459 | 1.15 | % | $ | 30,907 | ||||||
January 15, 2013 | 75,000 | 1.03 | % | 71,980 | ||||||||
October 15, 2012 | 75,000 | 1.06 | % | 72,090 | ||||||||
July 15, 2012 | 48,802 | 1.00 | % | 47,164 | ||||||||
Total | $ | 231,261 | $ | 222,141 | ||||||||
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December 31, 2008 | December 31, 2007 | |||||||||||||||
Required | Actual | Required | Actual | |||||||||||||
Regulatory capital requirements: | ||||||||||||||||
Risk based capital | $ | 1,967,981 | $ | 3,173,807 | $ | 578,319 | $ | 3,124,633 | ||||||||
Total capital-to-asset ratio | 4.00 | % | 4.66 | % | 4.00 | % | 5.14 | % | ||||||||
Total regulatory capital | $ | 2,725,172 | $ | 3,173,807 | $ | 2,429,424 | $ | 3,124,633 | ||||||||
Leverage ratio | 5.00 | % | 6.99 | % | 5.00 | % | 7.71 | % | ||||||||
Leverage capital | $ | 3,406,465 | $ | 4,760,711 | $ | 3,036,780 | $ | 4,686,949 |
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Capital Stock — Class B (putable) | ||||||||||||||||||||
Membership Stock | Activity-based Stock | |||||||||||||||||||
Required | Excess | Required | Excess | Total | ||||||||||||||||
BALANCE DECEMBER 31, 2005 | $ | 355,788 | $ | 27,667 | $ | 1,500,023 | $ | 48,576 | $ | 1,932,054 | ||||||||||
Proceeds from issuance of capital stock | 22,168 | — | 658,045 | — | 680,213 | |||||||||||||||
Repurchase/redemption of capital stock | — | (99 | ) | — | (703,573 | ) | (703,672 | ) | ||||||||||||
Shares reclassified to mandatorily redeemable capital stock | — | (1,357 | ) | (1,310 | ) | (50 | ) | (2,717 | ) | |||||||||||
Net shares transferred to required from excess stock | 576 | (576 | ) | (705,722 | ) | 705,722 | — | |||||||||||||
BALANCE DECEMBER 31, 2006 | 378,532 | 25,635 | 1,451,036 | 50,675 | 1,905,878 | |||||||||||||||
Proceeds from issuance of capital stock | 24,068 | — | 1,980,596 | — | 2,004,664 | |||||||||||||||
Repurchase/redemption of capital stock | (82 | ) | — | — | (1,210,999 | ) | (1,211,081 | ) | ||||||||||||
Shares reclassified to mandatorily redeemable capital stock | — | (3,738 | ) | (2,273 | ) | (315 | ) | (6,326 | ) | |||||||||||
Shares reclassified from mandatorily redeemable capital stock | 10,000 | — | 13,956 | 156 | 24,112 | |||||||||||||||
Net shares transferred from required to excess stock | (1,912 | ) | 1,912 | (1,212,398 | ) | 1,212,398 | — | |||||||||||||
BALANCE DECEMBER 31, 2007 | 410,606 | 23,809 | 2,230,917 | 51,915 | 2,717,247 | |||||||||||||||
Proceeds from issuance of capital stock | 68,966 | — | 5,510,800 | — | 5,579,766 | |||||||||||||||
Repurchase/redemption of capital stock | — | (31,621 | ) | — | (5,481,604 | ) | (5,513,225 | ) | ||||||||||||
Shares reclassified to mandatorily redeemable capital stock | (857 | ) | (1,095 | ) | (825 | ) | (84 | ) | (2,861 | ) | ||||||||||
Net shares transferred from required to excess stock | (8,907 | ) | 8,907 | (5,490,829 | ) | 5,490,829 | — | |||||||||||||
BALANCE DECEMBER 31, 2008 | $ | 469,808 | $ | — | $ | 2,250,063 | $ | 61,056 | $ | 2,780,927 | ||||||||||
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2008 | 2007 | 2006 | ||||||||||||||||||||||
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 | 10 | $ | 10,907 | 32 | $ | 45,616 | 25 | $ | 53,173 | |||||||||||||||
Member withdrawal | — | — | — | — | 1 | 11,256 | ||||||||||||||||||
Member requests for partial redemption of excess stock | — | — | 8 | 423 | 8 | 423 | ||||||||||||||||||
Total | 10 | $ | 10,907 | 40 | $ | 46,039 | 34 | $ | 64,852 | |||||||||||||||
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Year of Redemption or Repurchase | 2008 | 2007 | ||||||
2008 | $ | — | $ | 14,366 | ||||
2009 | 3,487 | 15,890 | ||||||
2010 | 5,924 | 9,278 | ||||||
2011 | 492 | 1,903 | ||||||
2012 | 383 | 3,887 | ||||||
2013 | 305 | 117 | ||||||
Thereafter | 316 | 598 | ||||||
Total | $ | 10,907 | $ | 46,039 | ||||
2008 | 2007 | 2006 | ||||||||||
Balance, beginning of year | $ | 46,039 | $ | 64,852 | $ | 85,084 | ||||||
Mandatorily redeemable stock issued | 49 | 13,468 | 1,187 | |||||||||
Capital stock subject to mandatory redemption reclassified from equity | 2,861 | 6,326 | 2,961 | |||||||||
Capital stock previously subject to mandatory redemption reclassified to equity | — | (24,112 | ) | (244 | ) | |||||||
Redemption of mandatorily redeemable capital stock | (38,042 | ) | (14,495 | ) | (24,136 | ) | ||||||
Balance, end of year | $ | 10,907 | $ | 46,039 | $ | 64,852 | ||||||
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2008 | 2007 | |||||||
Change in benefit obligation | ||||||||
Projected benefit obligation at beginning of year | $ | 4,379 | $ | 4,615 | ||||
Service cost | 157 | 60 | ||||||
Interest cost | 280 | 265 | ||||||
Actuarial gain | 327 | 111 | ||||||
Benefits paid | (358 | ) | (249 | ) | ||||
Change due to increase in discount rate | 143 | (423 | ) | |||||
Projected benefit obligation at end of year | $ | 4,928 | $ | 4,379 | ||||
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2008 | 2007 | |||||||
Accrued benefit liability | $ | 4,928 | $ | 4,379 | ||||
Intangible asset | — | — | ||||||
Accumulated other comprehensive loss | (1,627 | ) | (1,305 | ) | ||||
Net recorded liability | $ | 3,301 | $ | 3,074 | ||||
2008 | 2007 | 2006 | ||||||||||
Net periodic benefit cost | ||||||||||||
Service cost | $ | 157 | $ | 60 | $ | 54 | ||||||
Interest cost | 280 | 265 | 281 | |||||||||
Amortization of unrecognized prior service cost | 54 | 54 | 55 | |||||||||
Amortization of unrecognized net loss | 93 | 101 | 159 | |||||||||
Net periodic benefit cost | $ | 584 | $ | 480 | $ | 549 | ||||||
Prior Service | Net Loss | |||||||||||
Cost | (Gain) | Total | ||||||||||
Balance at beginning of year | $ | 240 | $ | 1,065 | $ | 1,305 | ||||||
Net loss on defined benefit pension plan | — | 469 | 469 | |||||||||
Amortization | (54 | ) | (93 | ) | (147 | ) | ||||||
Balance at end of year | $ | 186 | $ | 1,441 | $ | 1,627 | ||||||
Amortization of unrecognized prior service cost | $ | 54 | ||
Amortization of unrecognized net loss | 119 | |||
Total amortization of amounts in accumulated other comprehensive loss | $ | 173 | ||
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2008 | 2007 | 2006 | ||||||||||
Discount rate — benefit obligations | 6.00 | % | 6.25 | % | 5.75 | % | ||||||
Discount rate — net periodic benefit cost | 6.25 | % | 5.75 | % | 5.50 | % | ||||||
Salary increases | 4.80 | % | 4.80 | % | 5.50 | % | ||||||
Amortization period (years) | 9 | 11 | 11 |
Year | Amount | |||
2009 | $ | 257 | ||
2010 | 261 | |||
2011 | 264 | |||
2012 | 277 | |||
2013 | 287 | |||
2014 through 2018 | 1,857 |
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Member | Mortgage | |||||||||||
Finance | Finance | Total | ||||||||||
2008 | ||||||||||||
Adjusted net interest income | $ | 117,729 | $ | 125,668 | $ | 243,397 | ||||||
Provision for credit losses on mortgage loans | — | 295 | 295 | |||||||||
Adjusted net interest income after mortgage loan credit loss provision | $ | 117,729 | $ | 125,373 | $ | 243,102 | ||||||
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 | $ | 138,963 | $ | 30,482 | $ | 169,445 | ||||||
Provision for credit losses on mortgage loans | — | 69 | 69 | |||||||||
Adjusted net interest income after mortgage loan credit loss provision | $ | 138,963 | $ | 30,413 | $ | 169,376 | ||||||
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 | ||||||
2006 | ||||||||||||
Adjusted net interest income | $ | 114,779 | $ | 39,330 | $ | 154,109 | ||||||
Reversal of provision for credit losses on mortgage loans | — | (513 | ) | (513 | ) | |||||||
Adjusted net interest income after mortgage loan credit loss provision | $ | 114,779 | $ | 39,843 | $ | 154,622 | ||||||
Average assets for the year | $ | 26,702,674 | $ | 17,138,314 | $ | 43,840,988 | ||||||
Total assets at year end | $ | 25,869,011 | $ | 16,159,487 | $ | 42,028,498 |
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2008 | 2007 | 2006 | ||||||||||
Adjusted net interest income after mortgage loan credit loss provision | $ | 243,102 | $ | 169,376 | $ | 154,622 | ||||||
Adjustments for net interest expense on economic hedges | 2,178 | 1,696 | 227 | |||||||||
Net interest income after mortgage loan credit loss provision | 245,280 | 171,072 | 154,849 | |||||||||
Other (loss) income | (27,839 | ) | 10,333 | 8,687 | ||||||||
Other expenses | 44,087 | 42,454 | 41,567 | |||||||||
Income before assessments | $ | 173,354 | $ | 138,951 | $ | 121,969 | ||||||
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Net | ||||||||||||
Carrying | Unrealized | Estimated | ||||||||||
Financial Instruments | Value | Gains (Losses) | Fair Value | |||||||||
Assets | ||||||||||||
Cash and due from banks | $ | 44,368 | $ | — | $ | 44,368 | ||||||
Interest-bearing deposits | 152 | — | 152 | |||||||||
Federal funds sold | 3,425,000 | — | 3,425,000 | |||||||||
Trading securities | 2,151,485 | — | 2,151,485 | |||||||||
Available-for-sale securities | 3,839,980 | — | 3,839,980 | |||||||||
Held-to-maturity securities | 5,952,008 | (34,720 | ) | 5,917,288 | ||||||||
Advances | 41,897,479 | (32,839 | ) | 41,864,640 | ||||||||
Mortgage loans held for portfolio, net | 10,684,910 | 299,758 | 10,984,668 | |||||||||
Accrued interest receivable | 92,620 | — | 92,620 | |||||||||
Derivative assets | 2,840 | — | 2,840 | |||||||||
Liabilities | ||||||||||||
Deposits | (1,496,470 | ) | 605 | (1,495,865 | ) | |||||||
Consolidated obligations | ||||||||||||
Discount notes | (20,061,271 | ) | (80,016 | ) | (20,141,287 | ) | ||||||
Bonds | (42,722,473 | ) | (1,517,362 | ) | (44,239,835 | ) | ||||||
Consolidated obligations, net | (62,783,744 | ) | (1,597,378 | ) | (64,381,122 | ) | ||||||
Mandatorily redeemable capital stock | (10,907 | ) | — | (10,907 | ) | |||||||
Accrued interest payable | (320,271 | ) | — | (320,271 | ) | |||||||
Derivative liabilities | (435,015 | ) | — | (435,015 | ) | |||||||
Other | ||||||||||||
Standby letters of credit | (1,945 | ) | — | (1,945 | ) | |||||||
Commitments to extend credit for mortgage loans | (1,406 | ) | (20 | ) | (1,426 | ) | ||||||
Standby bond purchase agreements | 482 | (219 | ) | 263 |
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Net | ||||||||||||
Carrying | Unrealized | Estimated | ||||||||||
Financial Instruments | Value | Gains (Losses) | Fair Value | |||||||||
Assets | ||||||||||||
Cash and due from banks | $ | 58,675 | $ | — | $ | 58,675 | ||||||
Interest-bearing deposits | 136 | — | 136 | |||||||||
Federal funds sold | 1,805,000 | — | 1,805,000 | |||||||||
Available-for-sale securities | 3,433,640 | — | 3,433,640 | |||||||||
Held-to-maturity securities | 4,005,017 | (4,302 | ) | 4,000,715 | ||||||||
Advances | 40,411,688 | 121,866 | 40,533,554 | |||||||||
Mortgage loans held for portfolio, net | 10,801,695 | (130,595 | ) | 10,671,100 | ||||||||
Accrued interest receivable | 129,758 | — | 129,758 | |||||||||
Derivative assets | 60,468 | — | 60,468 | |||||||||
Liabilities | ||||||||||||
Deposits | (862,513 | ) | 2 | (862,511 | ) | |||||||
Securities sold under agreements to repurchase | (200,000 | ) | (347 | ) | (200,347 | ) | ||||||
Consolidated obligations | ||||||||||||
Discount notes | (21,500,946 | ) | 767 | (21,500,179 | ) | |||||||
Bonds | (34,564,226 | ) | (450,582 | ) | (35,014,808 | ) | ||||||
Consolidated obligations, net | (56,065,172 | ) | (449,815 | ) | (56,514,987 | ) | ||||||
Mandatorily redeemable capital stock | (46,039 | ) | — | (46,039 | ) | |||||||
Accrued interest payable | (300,907 | ) | — | (300,907 | ) | |||||||
Derivative liabilities | (138,252 | ) | — | (138,252 | ) | |||||||
Other | ||||||||||||
Standby letters of credit | (765 | ) | — | (765 | ) |
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Fair Value Measurements at December 31, 2008 Using: | ||||||||||||||||||||
Netting | ||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Adjustment1 | Total | ||||||||||||||||
Assets | ||||||||||||||||||||
Trading investments | $ | — | $ | 2,151 | $ | — | $ | — | $ | 2,151 | ||||||||||
Available-for-sale investments | — | 3,840 | — | — | 3,840 | |||||||||||||||
Derivative assets | — | 404 | — | (401 | ) | 3 | ||||||||||||||
Total assets at fair value | $ | — | $ | 6,395 | $ | — | $ | (401 | ) | $ | 5,994 | |||||||||
Liabilities | ||||||||||||||||||||
Derivative liabilities | $ | (3 | ) | $ | (1,101 | ) | $ | — | $ | 669 | $ | (435 | ) | |||||||
Total liabilities at fair value | $ | (3 | ) | $ | (1,101 | ) | $ | — | $ | 669 | $ | (435 | ) | |||||||
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 $267,921 at December 31, 2008. |
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Year | Amount | |||
2009 | $ | 1,116 | ||
2010 | 946 | |||
2011 | 906 | |||
2012 | 869 | |||
2013 | 869 | |||
Thereafter | 12,167 | |||
Total | $ | 16,873 | ||
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2008 | 2007 | |||||||
Assets: | ||||||||
Deposits | $ | 18,839 | $ | 568 | ||||
Federal funds sold | 1,110,000 | 135,000 | ||||||
Available-for-sale securities1 | 580 | — | ||||||
Held-to-maturity securities1 | 377,619 | 73,960 | ||||||
Advances | 41,897,479 | 40,411,688 | ||||||
Accrued interest receivable | 21,555 | 48,622 | ||||||
Derivative assets | 2,655 | 9,608 | ||||||
Other assets | 615 | 77 | ||||||
Total | $ | 43,429,342 | $ | 40,679,523 | ||||
Liabilities: | ||||||||
Deposits | $ | 1,394,198 | $ | 845,127 | ||||
Mandatorily redeemable capital stock | 10,907 | 46,039 | ||||||
Accrued interest payable | 853 | 779 | ||||||
Derivative liabilities | 57,519 | 27,698 | ||||||
Other liabilities | 1,945 | 765 | ||||||
Total | $ | 1,465,422 | $ | 920,408 | ||||
Notional amount of derivatives | $ | 939,650 | $ | 2,912,091 | ||||
Notional amount of standby letters of credit | 3,400,001 | 1,760,006 | ||||||
Notional amount of standby bond purchase agreements | 259,677 | — |
1 | Available-for-sale securities and held-to-maturity securities consist of state or local housing agency obligations and commercial paper. |
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Shares at | Percent of | |||||||||||||||
December 31, | Total Capital | |||||||||||||||
Name | City | State | 2008 | Stock | ||||||||||||
Superior Guaranty Insurance Company1 | Minneapolis | MN | 4,499 | 16.2 | % | |||||||||||
Shares at | Percent of | |||||||||||||||
December 31, | Total Capital | |||||||||||||||
Name | City | State | 2007 | Stock | ||||||||||||
Wells Fargo Bank, N.A.1 | Sioux Falls | SD | 5,129 | 18.6 | % | |||||||||||
Superior Guaranty Insurance Company1 | Minneapolis | MN | 4,474 | 16.2 | ||||||||||||
9,603 | 34.8 | % | ||||||||||||||
1 | Superior Guaranty Insurance Company is an affiliate of Wells Fargo Bank, N.A. |
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Year | Amount | |||
2009 | $ | 869 | ||
2010 | 869 | |||
2011 | 869 | |||
2012 | 869 | |||
2013 | 869 | |||
Thereafter | 12,167 | |||
Total | $ | 16,512 | ||
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Principal | ||||||||||||||||
Beginning | Payment | Ending | ||||||||||||||
Other FHLBank | Balance | Advance | Received | Balance | ||||||||||||
2008 | ||||||||||||||||
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 | ||||||||||||
2008 | ||||||||||||||||
Chicago | — | 305,000 | (305,000 | ) | — | |||||||||||
Cincinnati | — | 63,000 | (63,000 | ) | — | |||||||||||
Topeka | — | 200,000 | (200,000 | ) | — | |||||||||||
$ | — | $ | 568,000 | $ | (568,000 | ) | $ | — | ||||||||
2007 | ||||||||||||||||
Atlanta | $ | — | $ | 86,700 | $ | (86,700 | ) | $ | — | |||||||
Cincinnati | — | 459,000 | (459,000 | ) | — | |||||||||||
San Francisco | — | 370,000 | (370,000 | ) | — | |||||||||||
$ | — | $ | 915,700 | $ | (915,700 | ) | $ | — | ||||||||
S-82