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SECURITIES AND EXCHANGE COMMISSION
PURSUANT TO SECTION 12(b) OR (g)
OF THE SECURITIES EXCHANGE ACT OF 1934
Federally chartered corporation | 71-6013989 | |
(State or other jurisdiction of incorporation | (I.R.S. Employer | |
or organization) | Identification Number) | |
8500 Freeport Parkway South, Suite 600 | ||
Irving, TX | 75063-2547 | |
(Address of principal executive offices) | (Zip code) |
(214) 441-8500
None
Class B Capital Stock, $100 par value per share
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F-1 | ||||||||
Organization Certificate | ||||||||
By-Laws | ||||||||
Amended and Revised Capital Plan | ||||||||
Deferred Compensation Plan | ||||||||
Deferred Compensation Plan for Deferrals | ||||||||
Non-Qualified Deferred Compensation Plan | ||||||||
Non-Qualified Deferred Compensation Plan | ||||||||
Form of Special Non-Qualified Deferred Compensation Plan | ||||||||
Computation of Ratio of Earnings to Fixed Charges |
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September 30, | December 31, | |||||||||||||||
2005 | 2004 | 2003 | 2002 | |||||||||||||
Commercial banks | 742 | 742 | 719 | 717 | ||||||||||||
Thrifts | 92 | 96 | 100 | 101 | ||||||||||||
Credit unions | 39 | 37 | 33 | 30 | ||||||||||||
Insurance companies | 15 | 15 | 15 | 12 | ||||||||||||
Total members | 888 | 890 | 867 | 860 | ||||||||||||
Housing associates | 8 | 8 | 8 | 8 | ||||||||||||
Non-member borrowers | 12 | 11 | 14 | 12 | ||||||||||||
Total | 908 | 909 | 889 | 880 | ||||||||||||
Community Financial Institutions | 764 | 769 | 761 | 761 | ||||||||||||
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Nine Months Ended | Year Ended December 31, | |||||||||||||||
September 30, 2005 | 2004 | 2003 | 2002 | |||||||||||||
Advances (including prepayment fees) | 70.6 | % | 67.3 | % | 63.7 | % | 63.4 | % | ||||||||
Investment activities | 27.1 | 28.5 | 29.5 | 29.3 | ||||||||||||
Mortgage loans held for portfolio | 1.6 | 3.6 | 6.2 | 6.9 | ||||||||||||
Other | 0.7 | 0.6 | 0.6 | 0.4 | ||||||||||||
Total | 100.0 | % | 100.0 | % | 100.0 | % | 100.0 | % | ||||||||
Total interest income (in thousands) | $ | 1,636,133 | $ | 1,300,067 | $ | 1,156,485 | $ | 1,332,585 | ||||||||
• | Fixed rate, fixed term advances. The Bank offers fixed rate, fixed term advances with maturities ranging from overnight to 20 years, and with maturities as long as 30 years for Community Investment Program advances. Interest is generally collected monthly and principal repaid at maturity for fixed rate, fixed term advances. | ||
• | Fixed rate, amortizing advances. The Bank offers fixed rate advances with a variety of final maturities and fixed amortization schedules. Standard advances offerings include fully amortizing advances with final maturities of 5, 7, 10, 15 or 20 years, and advances with amortization schedules based on those maturities but with shorter final maturities accompanied by balloon payments of the remaining outstanding principal balance. Borrowers may also request alternative amortization schedules and maturities. Interest is paid monthly and principal is repaid in accordance with the specified amortization schedule. Although these advances have fixed amortization schedules, borrowers may elect to pay a higher interest rate and have an option to prepay the advance without a fee after a specified lockout period (typically five years). Otherwise, early repayments are subject to the Bank’s standard prepayment fees. | ||
• | Floating rate advances. The Bank’s standard advances offerings include term floating rate advances with maturities between one and five years. Floating rate advances are typically indexed to either one-month LIBOR or three-month LIBOR, and are priced at a constant spread to the relevant index. Borrowers may elect to pay a higher interest rate and have an option to prepay the advance on any reset date without an additional fee. In addition to longer term floating rate advances, the Bank offers short term floating rate |
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advances (maturities of 30 days or less) indexed to the daily federal funds rate. Floating rate advances may also include embedded features such as caps, floors, provisions for the conversion of the advances to a fixed rate, or special indices. | |||
• | Putable advances. The Bank also makes advances that include a put feature that allows the Bank to terminate the advance at specified points in time. If the Bank exercises its option to terminate the putable advance, the Bank offers replacement funding to the member for a period selected by the member up to the remaining term to maturity of the putable advance, provided the Bank determines that the member is able to satisfy the normal credit and collateral requirements of the Bank for the replacement funding requested. |
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• | instruments, such as common stock, that represent an ownership interest in an entity, other than stock in small business investment companies, or certain investments targeted to low-income persons or communities; | ||
• | instruments issued by non-United States entities, other than those issued by United States branches and agency offices of foreign commercial banks; | ||
• | non-investment grade debt instruments, other than certain investments targeted to low-income persons or communities and instruments that were downgraded after purchase by the Bank; | ||
• | whole mortgages or other whole loans, other than 1) those acquired by the Bank through a duly authorized AMA program such as the MPF Program; 2) certain investments targeted to low-income persons or communities; 3) certain marketable direct obligations of State, local, or tribal government units or agencies, having at least the second highest credit rating from an NRSRO; 4) MBS or asset-backed securities backed by manufactured housing loans or home equity loans; and 5) certain foreign housing loans authorized under Section 12(b) of the FHLBank Act; | ||
• | non-U.S. dollar denominated securities; |
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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; and | ||
• | fixed rate MBS or floating rate MBS that, on trade date, are at rates equal to their contractual cap and that have average lives that vary by more than 6 years under an assumed instantaneous interest rate change of 300 basis points. |
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The Comptroller General has authority under the FHLB Act to audit or examine the Finance Board and the Bank and to decide the extent to which they fairly and effectively fulfill the purposes of the FHLB Act. Furthermore, the Government Corporation Control Act provides that the Comptroller General may review any audit of the financial statements conducted by an independent public accounting firm. If the Comptroller General conducts such a review, then he or she must report the results and provide his or her recommendations to the Congress, the Office of Management and Budget, and the FHLBank in question. The Comptroller General may also conduct his or her own audit of any financial statements of the Bank.
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(dollars in thousands)
Nine Months Ended | ||||||||||||||||||||||||||||
September 30, | Year Ended December 31, | |||||||||||||||||||||||||||
2005 | 2004 | 2004 | 2003(5) | 2002(5) | 2001(5) | 2000(5) | ||||||||||||||||||||||
(restated)(13) | (restated)(13) | (restated)(13) | (restated)(13) | (restated)(13) | ||||||||||||||||||||||||
Balance sheet(at period end) | ||||||||||||||||||||||||||||
Advances | $ | 49,730,875 | $ | 47,326,047 | $ | 47,112,017 | $ | 40,595,327 | $ | 36,868,743 | $ | 32,490,457 | $ | 30,194,459 | ||||||||||||||
Investments(1) | 18,100,927 | 16,485,322 | 15,808,508 | 16,060,275 | 15,589,454 | 11,535,018 | 11,260,736 | |||||||||||||||||||||
Mortgage loans, net | 577,125 | 753,194 | 706,203 | 971,500 | 1,395,913 | 1,438,472 | 1,382,493 | |||||||||||||||||||||
Total assets | 69,243,488 | 65,566,680 | 64,612,350 | 58,416,909 | 55,166,371 | 46,150,006 | 43,852,357 | |||||||||||||||||||||
Consolidated obligations — discount notes | 14,371,981 | 11,736,013 | 7,085,710 | 11,627,075 | 12,872,681 | 6,586,995 | 7,605,852 | |||||||||||||||||||||
Consolidated obligations — bonds | 48,301,608 | 47,512,076 | 51,452,135 | 40,679,238 | 35,862,458 | 33,897,857 | 31,689,749 | |||||||||||||||||||||
Total consolidated obligations(10) | 62,673,589 | 59,248,089 | 58,537,845 | 52,306,313 | 48,735,139 | 40,484,852 | 39,295,601 | |||||||||||||||||||||
Mandatorily redeemable capital stock(9) | 330,096 | 326,695 | 327,121 | — | — | — | — | |||||||||||||||||||||
Capital stock — putable | 2,608,505 | 2,481,773 | 2,492,789 | 2,661,133 | 2,470,518 | 2,142,596 | 2,126,826 | |||||||||||||||||||||
Retained earnings | 173,957 | 21,820 | 25,920 | 5,214 | (49,057 | ) | 69,867 | 39,178 | ||||||||||||||||||||
Dividends paid(4)(9) | 64,868 | 28,777 | 43,961 | 58,740 | 68,648 | 83,387 | 152,284 | |||||||||||||||||||||
Income statement | ||||||||||||||||||||||||||||
Interest income | $ | 1,636,133 | $ | 900,070 | $ | 1,300,067 | $ | 1,156,485 | $ | 1,332,585 | $ | 2,011,530 | $ | 2,564,056 | ||||||||||||||
Net interest income | 169,180 | 167,104 | 220,776 | 210,246 | 222,136 | 193,044 | 205,059 | |||||||||||||||||||||
Income (loss) before cumulative effect of change in accounting principle(2) | 212,905 | 45,383 | 64,667 | 113,011 | (50,276 | ) | 117,187 | 128,578 | ||||||||||||||||||||
Net income(loss) (2) | 212,905 | 45,383 | 64,667 | 113,011 | (50,276 | ) | 114,076 | 128,578 | ||||||||||||||||||||
Performance ratios(9) | ||||||||||||||||||||||||||||
Net interest margin(3)(11) | 0.34 | % | 0.37 | % | 0.36 | % | 0.37 | % | 0.46 | % | 0.45 | % | 0.52 | % | ||||||||||||||
Return on average assets(2)(11) | 0.43 | 0.10 | 0.10 | 0.20 | (0.10 | ) | 0.26 | 0.32 | ||||||||||||||||||||
Return on average equity(2)(11) | 10.39 | 2.43 | 2.55 | 4.15 | (2.01 | ) | 5.47 | 6.54 | ||||||||||||||||||||
Return on average capital stock(2)(6)(11) | 11.31 | 2.60 | 2.73 | 4.31 | (2.15 | ) | 5.65 | 6.74 | ||||||||||||||||||||
Total average equity to average assets | 4.17 | 4.08 | 4.10 | 4.87 | 5.02 | 4.74 | 4.91 | |||||||||||||||||||||
Weighted average dividend rate(4)(11) | 3.45 | 1.65 | 1.86 | 2.24 | 2.93 | 4.13 | 7.94 | |||||||||||||||||||||
Dividend payout ratio(7) | 30.47 | 63.41 | 67.98 | 51.98 | (136.54 | ) | 73.10 | 118.44 | ||||||||||||||||||||
Ratio of earnings to fixed charges(12) | 1.20 | x | 1.08 | x | 1.08 | x | 1.16 | x | 0.94 | x | 1.09 | x | 1.07 | x | ||||||||||||||
Average federal funds rate(8) | 2.96 | % | 1.15 | % | 1.35 | % | 1.13 | % | 1.67 | % | 3.88 | % | 6.24 | % |
(1) | Investments consist of federal funds sold and securities classified as held-to-maturity, available-for-sale and trading. | |
(2) | The Bank adopted Statement of Financial Accounting Standards No. 133 on January 1, 2001. At transition, the Bank recorded a net unrealized gain of $73.4 million on trading securities and a $76.5 million net loss on derivatives and hedging activities. These factors combined to result in a net loss at transition of $3.1 million. | |
(3) | Net interest margin is net interest income as a percentage of average earning assets. | |
(4) | Weighted average dividend rates are dividends paid in cash and stock divided by average capital stock outstanding excluding mandatorily redeemable capital stock. The weighted average dividend rate for 2000 is calculated including a $30 million special dividend that was paid during that year. If the special dividend had been excluded from the calculation, the weighted average dividend rate for 2000 would have been 6.36 percent. The special dividend is also included in dividends paid for 2000. The Bank paid the special dividend in 2000 in light of uncertainties created by regulatory proposals relating to the FHLBanks’ new capital structure and as a means to ensure that those shareholders that had contributed to the accumulation of retained earnings by accepting lower dividend payments on their capital stock (since the enactment of FIRREA) would benefit from that accumulation. | |
(5) | Certain amounts in 2003, 2002, 2001 and 2000 were reclassified to conform with the 2004 and 2005 presentation. | |
(6) | Return on average capital stock is derived by dividing net income (loss) by average capital stock balances excluding mandatorily redeemable capital stock. | |
(7) | Dividend payout ratio is computed by dividing dividends paid by net income (loss) for the period. The dividend payout ratio for 2000 is calculated including a $30 million special dividend that was paid during that year. If the special dividend had been excluded from the calculation, the dividend payout ratio would have been 95.10 percent. | |
(8) | Rates obtained from the Federal Reserve Statistical Release. | |
(9) | The Bank adopted Statement of Financial Accounting Standards No. 150 (“SFAS 150”) as of January 1, 2004. In accordance with the provisions of that standard, $330.1 million, $327.1 million and $326.7 million of the Bank’s capital stock was classified as a liability (“mandatorily redeemable capital stock”) at September 30, 2005, December 31, 2004 and September 30, 2004, respectively. In addition, $8.4 million, $4.6 million and $6.6 million of dividends paid on mandatorily redeemable capital stock were recorded as interest expense during the nine months ended September 30, 2005 and 2004 and the year ended December 31, 2004, respectively. These amounts are excluded from dividends paid in those periods. Due to the adoption of SFAS 150, the Bank’s performance ratios for the nine months ended September 30, 2005 and 2004 and the year ended December 31, 2004 are not comparable to prior periods. | |
(10) | The Bank is jointly and severally liable with the other FHLBanks for the payment of principal and interest on the consolidated obligations of all of the FHLBanks. At September 30, 2005 and 2004 and at December 31, 2004, 2003, 2002, 2001 and 2000, the outstanding consolidated obligations (at par value) of all 12 FHLBanks totaled approximately $920 billion, $850 billion, $869 billion, $760 billion, $681 billion, $637 billion and $614 billion, respectively. As of those dates, the Bank’s outstanding consolidated obligations (at par value) were $63.1 billion, $59.4 billion, $58.7 billion, $52.3 billion, $48.2 billion, $40.4 billion and $39.4 billion, respectively. | |
(11) | These percentages are annualized for the nine months ended September 30, 2005 and 2004. | |
(12) | The deficit in earnings to fixed charges for the year ended December 31, 2002 totaled $68.4 million. | |
(13) | The amounts and percentages for these periods have been restated except for investments, mortgage loans (net), mandatorily redeemable capital stock, capital stock — putable, dividends paid, and the weighted average dividend rate. See the section entitled “Restatement of Previously Issued Financial Statements.” |
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(dollars in thousands)
Nine Months Ended September 30, | Year ended December 31, | |||||||||||||||||||
2005 | 2004 | 2004 | 2003 | 2002 | ||||||||||||||||
Net decrease in interest income | $ | (92,415 | ) | $ | (244,391 | ) | $ | (303,003 | ) | $ | (320,344 | ) | $ | (257,364 | ) | |||||
Net decrease in interest expense | 53,025 | 427,668 | 494,677 | 677,965 | 785,328 | |||||||||||||||
Net increase (decrease) in net interest income | (39,390 | ) | 183,277 | 191,674 | 357,621 | 527,964 | ||||||||||||||
Net decrease in other income | (119,926 | ) | (77,798 | ) | (93,473 | ) | (15,122 | ) | (269,246 | ) | ||||||||||
Net increase (decrease) in income before assessments | (159,316 | ) | 105,479 | 98,201 | 342,499 | 258,718 | ||||||||||||||
Decrease (increase) in assessments | 42,267 | (27,984 | ) | (26,053 | ) | (90,867 | ) | (68,639 | ) | |||||||||||
Increase (decrease) in net income | (117,049 | ) | 77,495 | 72,148 | 251,632 | 190,079 | ||||||||||||||
Net increase (decrease) in other comprehensive income | 74,409 | (1,136 | ) | 45,154 | 107,609 | (217,352 | ) | |||||||||||||
Net increase (decrease) in capital | $ | (42,640 | ) | $ | 76,359 | $ | 117,302 | $ | 359,241 | $ | (27,273 | ) | ||||||||
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Net Change in Fair Value(6) | ||||||||||||
Total Notional at | Nine Months Ended September 30, | |||||||||||
September 30, 2005 | 2005 | 2004 | ||||||||||
(In millions of dollars) | (In thousands of dollars) | |||||||||||
Advances | ||||||||||||
Short-cut method(1) | $ | 6,777 | $ | — | $ | — | ||||||
Long-haul method(2) | 971 | 884 | 870 | |||||||||
Economic hedges(3) | 6 | 65 | 22 | |||||||||
Total | 7,754 | 949 | 892 | |||||||||
Investments | ||||||||||||
Short-cut method(1) | 55 | — | — | |||||||||
Long-haul method(2) | 958 | 2,462 | (1,880 | ) | ||||||||
Economic hedges(4) | 46 | 165,319 | (11,049 | ) | ||||||||
Total | 1,059 | 165,041 | (12,929 | ) | ||||||||
Consolidated obligations | ||||||||||||
Short-cut method(1) | 7,960 | — | — | |||||||||
Long-haul method(2) | 26,616 | (6,576 | ) | 3,135 | ||||||||
Economic hedges(3) | 105 | (5,439 | ) | (8,191 | ) | |||||||
Total | 34,681 | (12,015 | ) | (5,056 | ) | |||||||
Other economic | ||||||||||||
Caps/floors(5) | 3,915 | (3,000 | ) | (13,809 | ) | |||||||
Basis swaps(7) | — | 48 | (591 | ) | ||||||||
Total | 3,915 | (2,952 | ) | (14,400 | ) | |||||||
Total derivatives | $ | 47,409 | $ | (151,023 | ) | $ | (31,493 | ) | ||||
Total short-cut method | $ | 14,792 | $ | — | $ | — | ||||||
Total long-haul method | 28,545 | (3,230 | ) | 2,125 | ||||||||
Total economic hedges | 4,072 | 157,253 | (33,618 | ) | ||||||||
Total derivatives | $ | 47,409 | $ | 151,023 | $ | (31,493 | ) | |||||
(1) | The short-cut method allows the assumption of no ineffectiveness in the hedging relationship. | |
(2) | The long-haul method requires the hedge and hedged item to be marked to fair value independently. | |
(3) | Interest rate derivatives that are matched to advances or consolidated obligations or that hedge identified portfolio risks, but that do not qualify for hedge accounting under SFAS 133. | |
(4) | Interest rate derivatives that are matched to investment securities designated as trading or available-for-sale, but that do not qualify for hedge accounting under SFAS 133. | |
(5) | Interest rate derivatives that hedge identified portfolio risks, but that do not qualify for hedge accounting under SFAS 133. The Bank’s interest rate caps hedge embedded caps in floating rate CMOs. Prior to their sale, the Bank’s interest rate floors hedged fixed rate mortgage loan prepayment risk. | |
(6) | Represents the difference in realized and unrealized fair value adjustments for the derivatives and their hedged items. In cases involving economic hedges (other than those relating to trading securities), the net change in fair value reflected above represents a one-sided mark, meaning that the change in fair value represents the change in fair value of the derivative only. | |
(7) | In June 2004, the Bank entered into $4.7 billion (notional) of interest rate basis swaps to reduce the Bank’s exposure to widening spreads between one-month and three-month LIBOR. The agreements expired in March 2005. |
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Total Notional at December 31, | Net Change in Fair Value(6) | |||||||||||||||||||
(In millions of dollars) | (In thousands of dollars) | |||||||||||||||||||
2004 | 2003 | 2004 | 2003 | 2002 | ||||||||||||||||
Advances | ||||||||||||||||||||
Short-cut method(1) | $ | 7,815 | $ | 7,467 | $ | — | $ | — | $ | — | ||||||||||
Long-haul method(2) | 1,505 | 1,248 | 822 | 1,780 | (2,186 | ) | ||||||||||||||
Economic hedges(3) | — | — | 27 | 207 | — | |||||||||||||||
Total | 9,320 | 8,715 | 849 | 1,987 | (2,186 | ) | ||||||||||||||
Investments | ||||||||||||||||||||
Short-cut method(1) | 2,641 | 2,660 | — | — | — | |||||||||||||||
Long-haul method(2) | 1,340 | 1,461 | (2,090 | ) | (2,184 | ) | 1,365 | |||||||||||||
Economic hedges(4) | 1,376 | 1,427 | (3,930 | ) | 68,600 | (180,246 | ) | |||||||||||||
Total | 5,357 | 5,548 | (6,020 | ) | 66,416 | (178,881 | ) | |||||||||||||
Consolidated obligations | ||||||||||||||||||||
Short-cut method(1) | 12,405 | 7,925 | — | — | — | |||||||||||||||
Long-haul method(2) | 27,775 | 24,386 | (1,581 | ) | (9,331 | ) | 4,832 | |||||||||||||
Economic hedges(3) | 883 | 5,415 | (12,374 | ) | (16,355 | ) | 12,981 | |||||||||||||
Total | 41,063 | 37,726 | (13,955 | ) | (25,686 | ) | 17,813 | |||||||||||||
Other economic | ||||||||||||||||||||
Caps/floors(5) | 3,915 | 3,165 | (16,560 | ) | (4,745 | ) | (19,489 | ) | ||||||||||||
Basis swaps(7) | 4,710 | — | (48 | ) | — | — | ||||||||||||||
Total | 8,625 | 3,165 | (16,608 | ) | (4,745 | ) | (19,489 | ) | ||||||||||||
Total derivatives | $ | 64,365 | $ | 55,154 | $ | (35,734 | ) | $ | 37,972 | $ | (182,743 | ) | ||||||||
Total short-cut method | $ | 22,861 | $ | 18,052 | $ | — | $ | — | $ | — | ||||||||||
Total long-haul method | 30,620 | 27,095 | (2,849 | ) | (9,735 | ) | 4,011 | |||||||||||||
Total economic hedges | 10,884 | 10,007 | (32,885 | ) | 47,707 | (186,754 | ) | |||||||||||||
Total derivatives | $ | 64,365 | $ | 55,154 | $ | (35,734 | ) | $ | 37,972 | $ | (182,743 | ) | ||||||||
(1) | The short-cut method allows the assumption of no ineffectiveness in the hedging relationship. | |
(2) | The long-haul method requires the hedge and hedged item to be marked to fair value independently. | |
(3) | Interest rate derivatives that are matched to advances or consolidated obligations or that hedge identified portfolio risks, but that do not qualify for hedge accounting under SFAS 133. | |
(4) | Interest rate derivatives that are matched to investment securities designated as trading or available-for-sale, but that do not qualify for hedge accounting under SFAS 133. | |
(5) | Interest rate derivatives that hedge identified portfolio risks, but that do not qualify for hedge accounting under SFAS 133. The Bank’s interest rate caps hedge embedded caps in floating rate CMOs. Prior to their sale, the Bank’s interest rate floors hedged fixed rate mortgage loan prepayment risk. | |
(6) | Represents the difference in realized and unrealized fair value adjustments for the derivatives and their hedged items. In cases involving economic hedges (other than those relating to trading securities), the net change in fair value reflected above represents a one-sided mark, meaning that the net change in fair value represents the change in fair value of the derivative only. | |
(7) | In June 2004, the Bank entered into $4.7 billion (notional) of interest rate basis swaps to reduce the Bank’s exposure to widening spreads between one-month and three-month LIBOR. The agreements expired in March 2005. |
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• | Incorrect application of the short-cut method to 14 hedged available-for-sale securities | ||
In August 2005, the Bank discovered 14 hedged available-for-sale securities for which the short-cut method of hedge accounting was incorrectly applied. With the exception of one transaction that was entered into in October 2001, all of these hedging relationships were established in 1998 and 1999. The par/notional amount of these transactions totaled $1.440 billion. In each case, the available-for-sale security and related interest rate swap were contemporaneously purchased in a package transaction at a par price. When these securities and derivatives were designated in short-cut hedging relationships at the date of adoption of SFAS 133 (January 1, 2001), the Bank failed to recognize that, while the package was acquired at a par price, the components of the transaction (the available-for-sale security and interest rate swap) would not have been priced at par if they had been acquired or executed individually. Because the interest rate swaps were entered into at a fair value other than zero, the hedging relationships failed to qualify for short-cut accounting. Additionally, certain of the subject interest rate swaps contained a written option that was not mirrored in the related available-for-sale security. Due to the presence of this option, the Bank ultimately concluded that these particular hedging relationships would not have qualified for the long-haul method of accounting either. For those hedging relationships that did not contain the referenced option, the provisions of SFAS 133 do not allow the Bank to retroactively apply the long-haul method because such hedges were incorrectly designated as qualifying for short-cut accounting and the Bank did not test the hedging relationships periodically for effectiveness. | |||
To correct these errors, the Bank reversed the periodic changes in fair value of the available-for-sale securities attributable to the hedged risk that had previously been recognized in earnings and recorded such changes in fair value in other comprehensive income. In those years where the change in fair value of the available-for-sale security attributable to the hedged risk was an unrealized gain, the reversal reduced income before assessments and increased other comprehensive income by equal amounts. In years where the change in fair value of the available-for-sale security attributable to the hedged risk was an unrealized loss, the reversal increased income before assessments and reduced other comprehensive income by equal amounts. In addition to the adjustments described above, the Bank also recorded adjustments to establish the premiums associated with the subject available-for-sale securities and the related amortization thereof. These adjustments in turn had an impact on the amounts reported in other comprehensive income. Furthermore, the Bank recorded adjustments to the carrying amounts of the applicable interest rate swaps to reflect changes in the estimated fair value of the written options. Lastly, the Bank revised the amount of the transition adjustments relating to the subject available-for-sale securities as of January 1, 2001 and recorded the subsequent amortization thereof. In the aggregate, these adjustments increased (reduced) income before assessments for the three months ended March 31, 2005 and the years ended December 31, 2004, 2003 and 2002 by $13,903,000, ($3,869,000), $55,747,000 and ($161,508,000), respectively. | |||
Because these hedging relationships did not qualify as SFAS 133 fair value hedges in prior periods, they are accounted for as economic hedges in the Bank’s restated results. As such, the net interest expense associated with the subject interest rate swaps has been reclassified from interest income on available-for-sale securities to net realized and unrealized losses on derivatives and hedging activities in the Bank’s restated statements of income (loss). The reclassifications had no impact on previously reported income before assessments or net income. As a result of these reclassifications, interest income on available-for-sale securities was increased by $10,429,000, $54,296,000, $59,407,000 and $59,030,000 for the three months ended March 31, 2005 and the years ended December 31, 2004, 2003 and 2002, respectively. For these periods, the reclassifications increased by equal amounts the losses reported in net realized and unrealized losses on derivatives and hedging activities. |
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In August 2005 (following the determination of the required accounting corrections), the Bank sold substantially all of the then remaining available-for-sale securities ($1.170 billion par value) and terminated the associated interest rate swaps. The sale of the investment securities produced an aggregate net gain of $195.5 million during the third quarter of 2005. | |||
• | Incorrect application of long-haul hedge accounting to 4 hedged available-for-sale securities | ||
In September 2005, the Bank sold $2.9 billion (par value) of available-for-sale securities in 18 transactions and terminated the associated interest rate swaps. At the time these transactions were executed, the Bank identified four interest rate swaps with a notional amount totaling $127 million for which long-haul hedge accounting had been incorrectly applied since the adoption of SFAS 133. All four of these hedging relationships were established in 1997. When these particular interest rate swaps were terminated, it was discovered that the agreements contained a written option that was not mirrored in the hedged item. Due to the presence of this option, the Bank concluded that the transactions did not qualify for hedge accounting under SFAS 133. | |||
To correct these errors, the Bank reversed the periodic changes in fair value of the four available-for-sale securities attributable to the hedged risk that had previously been recognized in earnings (that is, the Bank reclassified these periodic changes in fair value from income before assessments to other comprehensive income). In addition, the Bank also recorded adjustments to the carrying amounts of the four interest rate swaps to reflect the changes in the estimated fair value of the written options. Furthermore, the Bank revised the amount of the transition adjustments relating to the four available-for-sale securities as of January 1, 2001 and recorded the subsequent amortization thereof. In the aggregate, these adjustments increased (reduced) income before assessments for the three months ended March 31, 2005 and the years ended December 31, 2004, 2003 and 2002 by $2,320,000, ($1,517,000), $5,277,000 and ($20,235,000). | |||
As these hedging relationships should have been accounted for as economic hedges, the net interest expense associated with the four interest rate swaps has been reclassified from interest income on available-for-sale securities to net realized and unrealized losses on derivatives and hedging activities in the Bank’s restated statements of income (loss). The reclassification had no impact on previously reported income before assessments or net income. As a result of these reclassifications, interest income on available-for-sale securities was increased by $1,317,000, $6,606,000, $6,947,000 and $6,186,000 for the three months ended March 31, 2005 and the years ended December 31, 2004, 2003 and 2002, respectively. For these periods, the reclassifications increased by equal amounts the losses reported in net realized and unrealized losses on derivatives and hedging activities. | |||
• | Changes to benchmark valuation methodology for long-haul hedging relationships | ||
The Bank accounts for certain fair value hedging relationships involving consolidated obligation bonds, advances and available-for-sale securities using the long-haul method of accounting. For each of these relationships, the Bank is hedging fair value risk attributable to changes in LIBOR, the designated benchmark interest rate. The benchmark fair values of the Bank’s consolidated obligation bonds, advances and available-for-sale securities are derived by discounting each item’s remaining contractual cash flows at a fixed/constant spread to the LIBOR curve on an instrument-by-instrument basis. For each hedged item, the spread to the LIBOR curve is equal to the market spread at the time of issuance/purchase. By calculating benchmark fair values using the market spread at inception and holding that spread to LIBOR constant throughout the life of the hedging relationship, the Bank is able to isolate changes in fair value attributable to changes in LIBOR. | |||
Following an evaluation of its previous practices, the Bank concluded that its benchmark valuation methodology was flawed in certain respects. Among other things, the Bank determined in some cases that the periodic basis adjustments included elements unrelated to the risk being hedged. To correct this and other deficiencies in its benchmark valuation methodology, the Bank revised the amount of the periodic changes in the benchmark fair values for the affected consolidated obligation bonds, advances and available-for-sale securities that had previously been reported in earnings. For the three months ended |
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March 31, 2005 and the years ended December 31, 2004, 2003 and 2002, the revisions resulted in adjustments that increased (reduced) income before assessments by ($3,874,000), ($2,335,000), ($9,466,000) and $4,427,000, respectively. | |||
• | Valuation methodology inconsistent with hedge documentation for certain instruments containing complex coupons. | ||
Following an evaluation of its previous practices, the Bank determined with respect to certain long-haul hedging relationships involving available-for-sale securities and consolidated obligation bonds that its valuation methodology was not consistent with its designated benchmark hedging strategy. Substantially all of these hedging relationships were entered into prior to 1999. All of the subject available-for-sale securities and consolidated obligation bonds contained complex coupons and were hedged with mirror-image interest rate swaps. As of January 1, 2001, the par amount of the subject available-for-sale securities and consolidated obligation bonds totaled $129 million and $795 million, respectively; as a result of maturities, these amounts had declined to $7 million and $100 million, respectively, as of September 30, 2005. Because of the inconsistency between its documented hedging strategy and its actual valuation practice, the Bank concluded that these relationships failed to meet the requirements for hedge accounting under SFAS 133. Accordingly, the Bank reversed the periodic changes in fair value of the available-for-sale securities and consolidated obligation bonds purportedly attributable to the hedged risk that had previously been recognized in earnings. In addition, the Bank revised the amount of the transition adjustments relating to the subject available-for-sale securities and consolidated obligations as of January 1, 2001 and recorded the subsequent amortization thereof. In the aggregate, these adjustments increased (reduced) income before assessments for the three months ended March 31, 2005 and the years ended December 31, 2004, 2003 and 2002 by ($5,166,000), ($12,236,000), ($19,169,000) and $11,145,000, respectively. | |||
Because these hedging relationships did not qualify as SFAS 133 fair value hedges in prior periods, they are accounted for as economic hedges in the Bank’s restated results. As such, the net interest expense associated with the interest rate swaps that hedge the available-for-sale securities has been reclassified from interest income on available-for-sale securities to net realized and unrealized losses on derivatives and hedging activities in the Bank’s restated statements of income (loss). Similarly, the net interest income associated with the interest rate swaps that hedge the consolidated obligation bonds has been reclassified from interest expense on consolidated obligation bonds to net realized and unrealized losses on derivatives and hedging activities in the Bank’s restated statements of income (loss). The reclassifications had no impact on previously reported income before assessments or net income. As a result of these reclassifications, interest income on available-for-sale securities was increased by $174,000, $840,000, $2,264,000 and $4,146,000 for the three months ended March 31, 2005 and the years ended December 31, 2004, 2003 and 2002, respectively. For these same periods, interest expense on consolidated obligation bonds was increased by $1,888,000, $9,458,000, $22,003,000 and $21,214,000, respectively. In aggregate, the reclassifications reduced the amount of losses reported in net realized and unrealized losses on derivatives and hedging activities for the three months ended March 31, 2005 and the years ended December 31, 2004, 2003 and 2002 by $1,714,000, $8,618,000, $19,739,000 and $17,068,000, respectively. | |||
• | Other errors relating to the application of SFAS 133 | ||
In the course of its review, the Bank also identified other errors related to the application of SFAS 133. Specifically, these errors related to the incorrect application of the short-cut method of accounting to the Bank’s hedged discount notes, two zero coupon bond (available-for-sale) securities and one consolidated obligation bond. Adjustments to correct the accounting for these items are also included in the Bank’s restated financial statements. Additionally, to comply with the provisions of SFAS 133, the Bank’s restated results reflect trade date accounting for derivatives. Previously, the Bank recorded derivatives on the settlement date of the hedged items consistent with the required settlement date accounting for those items. Furthermore, the Bank revised its previously reported gain on early extinguishment of debt in 2004 to include the cumulative SFAS 133 basis adjustments associated with the extinguished debt; previously, these basis adjustments were written off against net realized and unrealized losses on derivatives and |
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hedging activities. In the aggregate, these other adjustments increased (reduced) income before assessments for the three months ended March 31, 2005 and the years ended December 31, 2004, 2003 and 2002 by $50,000, ($1,572,000), ($1,538,000) and ($281,000), respectively. |
• | Method of hedge accounting for certain consolidated obligation bonds | ||
The Bank changed the manner in which it assesses effectiveness for certain highly effective consolidated obligation hedging relationships. Under its prior approach, the Bank incorrectly assumed no ineffectiveness for these hedging transactions. The interest rate swaps used in these relationships were structured with one settlement amount under the receive side of the swap that differed from all other receive-side settlements by an amount equivalent to the concession cost associated with the hedged consolidated obligation. Since the formula for computing net settlements under the interest rate swap is not the same for each net settlement, the Bank determined that it should change its approach to assess effectiveness and measure hedge ineffectiveness during each reporting period. As previously reported, income before assessments was reduced by $3,374,000 as of January 1, 2004 to reflect the accounting as if the Bank had employed the new approach from the date of adoption of SFAS 133 through December 31, 2003. As part of the Bank’s restatement, previously reported income before assessments for the years ended December 31, 2004, 2003 and 2002 was increased (reduced) by $3,374,000, $1,191,000 and ($4,827,000), respectively. These adjustments are included in net realized and unrealized losses on derivatives and hedging activities in the Bank’s restated statements of income (loss). | |||
• | Postretirement benefits | ||
The Bank corrected its method of accounting for postretirement health and life insurance benefits to comply with the provisions of SFAS No. 106,“Employers’ Accounting for Postretirement Benefits Other Than Pensions.”Previously, the Bank had accounted for these benefits on a pay-as-you-go (cash) basis. As previously reported, salaries and benefits expense for the year ended December 31, 2004 included a $1,624,000 charge for postretirement benefits relating to prior years. As part of the Bank’s restatement, previously reported salaries and benefits expense for the years ended December 31, 2004, 2003 and 2002 was increased (reduced) by ($1,624,000), $583,000 and $536,000, respectively. | |||
• | Amortization and accretion of premiums and discounts on certain available-for-sale securities | ||
The Bank corrected its method of amortizing and accreting premiums and discounts on certain of its available-for-sale securities from the straight-line method to the level-yield method to comply with the provisions of SFAS No. 91,“Accounting for Nonrefundable Fees and Costs Associated with Originating or Acquiring Loans and Initial Direct Costs of Leases.”As previously reported, interest income on available-for-sale securities was increased by $3,532,000 as of January 1, 2004 to reflect the accounting as if the level-yield method had been used in prior years. As part of the Bank’s restatement, previously reported interest income on available-for-sale securities for the years ended December 31, 2004, 2003 and 2002 was increased (reduced) by ($3,532,000), $2,131,000 and $751,000, respectively. |
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• | Amortization and accretion of premiums, discounts and concessions on consolidated obligation bonds | ||
The Bank corrected its method of amortizing and accreting premiums, discounts and concessions on consolidated obligation bonds from the straight-line method to the level-yield method to comply with the provisions of APB Opinion No. 21,“Interest on Receivables and Payables.”As previously reported, interest expense on consolidated obligation bonds was increased by $219,000 as of January 1, 2004 to reflect the accounting as if the level-yield method had been used in prior years. As part of the Bank’s restatement, previously reported interest expense on consolidated obligation bonds for the years ended December 31, 2004, 2003 and 2002 was increased (reduced) by ($219,000), 1,986,000 and $32,000, respectively. |
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For the Three Months Ended March 31, 2005
(In thousands of dollars)
Adjustments | ||||||||||||||||||||||||||||
As Previously | 14 AFS | 4 AFS | Benchmark | Complex Coupon | As | |||||||||||||||||||||||
Reported | Securities(1) | Securities(2) | Valuation(3) | Instruments(4) | Other(5) | Restated | ||||||||||||||||||||||
INTEREST INCOME | ||||||||||||||||||||||||||||
Available-for-sale securities | $ | 35,871 | $ | 10,318 | $ | 1,288 | $ | — | $ | 176 | $ | (39 | ) | $ | 47,614 | |||||||||||||
Other | 423,707 | — | — | — | — | — | 423,707 | |||||||||||||||||||||
Total interest income | 459,578 | 10,318 | 1,288 | — | 176 | (39 | ) | 471,321 | ||||||||||||||||||||
INTEREST EXPENSE | ||||||||||||||||||||||||||||
Consolidated obligations | ||||||||||||||||||||||||||||
Bonds | 382,275 | — | — | — | 2,853 | 152 | 385,280 | |||||||||||||||||||||
Discount notes | 18,239 | — | — | — | — | (592 | ) | 17,647 | ||||||||||||||||||||
Other | 13,666 | — | — | — | — | — | 13,666 | |||||||||||||||||||||
Total interest expense | 414,180 | — | — | — | 2,853 | (440 | ) | 416,593 | ||||||||||||||||||||
NET INTEREST INCOME | 45,398 | 10,318 | 1,288 | — | (2,677 | ) | 401 | 54,728 | ||||||||||||||||||||
Provision (reduction) for credit losses on mortgage loans | (15 | ) | — | — | — | — | — | (15 | ) | |||||||||||||||||||
NET INTEREST INCOME AFTER MORTGAGE LOAN LOSS PROVISION | 45,413 | 10,318 | 1,288 | — | (2,677 | ) | 401 | 54,743 | ||||||||||||||||||||
OTHER INCOME (LOSS) | ||||||||||||||||||||||||||||
Net realized and unrealized losses on derivatives and hedging activities | (8,026 | ) | 3,585 | 1,032 | (3,874 | ) | (2,489 | ) | 513 | (9,259 | ) | |||||||||||||||||
Gain on early extinguishment of debt | 1,088 | — | — | — | — | (864 | ) | 224 | ||||||||||||||||||||
Other, net | (754 | ) | — | — | — | — | — | (754 | ) | |||||||||||||||||||
Total other income (loss) | (7,692 | ) | 3,585 | 1,032 | (3,874 | ) | (2,489 | ) | (351 | ) | (9,789 | ) | ||||||||||||||||
OTHER EXPENSE | ||||||||||||||||||||||||||||
Salaries and benefits | 5,341 | — | — | — | — | — | 5,341 | |||||||||||||||||||||
Other | 5,147 | — | — | — | — | — | 5,147 | |||||||||||||||||||||
Total other expense | 10,488 | — | — | — | — | — | 10,488 | |||||||||||||||||||||
INCOME BEFORE ASSESSMENTS | 27,233 | 13,903 | 2,320 | (3,874 | ) | (5,166 | ) | 50 | 34,466 | |||||||||||||||||||
Affordable Housing Program | 2,465 | 1,135 | 189 | (316 | ) | (422 | ) | 4 | 3,055 | |||||||||||||||||||
REFCORP | 4,954 | 2,554 | 426 | (712 | ) | (949 | ) | 9 | 6,282 | |||||||||||||||||||
Total assessments | 7,419 | 3,689 | 615 | (1,028 | ) | (1,371 | ) | 13 | 9,337 | |||||||||||||||||||
NET INCOME | $ | 19,814 | $ | 10,214 | $ | 1,705 | $ | (2,846 | ) | $ | (3,795 | ) | $ | 37 | $ | 25,129 | ||||||||||||
(1) | Represents the impact of reversing the periodic changes in fair value of the available-for-sale securities attributable to the hedged risk that had previously been recognized in earnings, recording the premiums on the available-for-sale securities and the related amortization thereof, reclassifying the net interest expense on the related interest rate swaps, and recording changes in the estimated fair value of the written options. | |
(2) | Represents the impact of reversing the periodic changes in fair value of the available-for-sale securities attributable to the hedged risk that had previously been recognized in earnings, reclassifying the net interest expense on the related interest rate swaps, and recording changes in the estimated fair value of the written options. | |
(3) | Represents the impact of changes to the Bank’s benchmark valuation methodology for long-haul relationships. | |
(4) | Represents the impact of reversing the periodic changes in fair value of the available-for-sale securities and consolidated obligation bonds purportedly attributable to the hedged risk that had previously been recognized in earnings and reclassifying the net income/interest expense on the related interest rate swaps. | |
(5) | Represents the adjustments to correct the other errors relating to the application of SFAS 133. |
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For the Year Ended December 31, 2004
(In thousands of dollars)
Adjustments | ||||||||||||||||||||||||||||
As Previously | 14 AFS | 4 AFS | Benchmark | Complex Coupon | As | |||||||||||||||||||||||
Reported | Securities(1) | Securities(2) | Valuation(3) | Instruments(4) | Other(5) | Restated | ||||||||||||||||||||||
INTEREST INCOME | ||||||||||||||||||||||||||||
Available-for-sale securities | $ | 97,320 | $ | 53,863 | $ | 6,491 | $ | — | $ | 846 | $ | (3,644 | ) | $ | 154,876 | |||||||||||||
Other | 1,145,191 | — | — | — | — | — | 1,145,191 | |||||||||||||||||||||
Total interest income | 1,242,511 | 53,863 | 6,491 | — | 846 | (3,644 | ) | 1,300,067 | ||||||||||||||||||||
INTEREST EXPENSE | ||||||||||||||||||||||||||||
Consolidated obligations | ||||||||||||||||||||||||||||
Bonds | 911,476 | — | — | — | 12,192 | 516 | 924,184 | |||||||||||||||||||||
Discount notes | 118,030 | — | — | — | — | 1,447 | 119,477 | |||||||||||||||||||||
Other | 35,630 | — | — | — | — | — | 35,630 | |||||||||||||||||||||
Total interest expense | 1,065,136 | — | — | — | 12,192 | 1,963 | 1,079,291 | |||||||||||||||||||||
NET INTEREST INCOME | 177,375 | 53,863 | 6,491 | — | (11,346 | ) | (5,607 | ) | 220,776 | |||||||||||||||||||
Provision (reduction) for credit losses on mortgage loans | (26 | ) | — | — | — | — | — | (26 | ) | |||||||||||||||||||
NET INTEREST INCOME AFTER MORTGAGE LOAN LOSS PROVISION | 177,401 | 53,863 | 6,491 | — | (11,346 | ) | (5,607 | ) | 220,802 | |||||||||||||||||||
OTHER INCOME (LOSS) | ||||||||||||||||||||||||||||
Net realized and unrealized losses on derivatives and hedging activities | (28,604 | ) | (57,732 | ) | (8,008 | ) | (2,335 | ) | (890 | ) | 6,333 | (91,236 | ) | |||||||||||||||
Gain on early extinguishment of debt | 3,651 | — | — | — | — | (2,237 | ) | 1,414 | ||||||||||||||||||||
Other, net | (2,864 | ) | — | — | — | — | — | (2,864 | ) | |||||||||||||||||||
Total other income (loss) | (27,817 | ) | (57,732 | ) | (8,008 | ) | (2,335 | ) | (890 | ) | 4,096 | (92,686 | ) | |||||||||||||||
OTHER EXPENSE | ||||||||||||||||||||||||||||
Salaries and benefits | 20,344 | — | — | — | — | (1,624 | ) | 18,720 | ||||||||||||||||||||
Other | 20,639 | — | — | — | — | — | 20,639 | |||||||||||||||||||||
Total other expense | 40,983 | — | — | — | — | (1,624 | ) | 39,359 | ||||||||||||||||||||
INCOME BEFORE ASSESSMENTS | 108,601 | (3,869 | ) | (1,517 | ) | (2,335 | ) | (12,236 | ) | 113 | 88,757 | |||||||||||||||||
Affordable Housing Program | 9,543 | (316 | ) | (123 | ) | (191 | ) | (999 | ) | 9 | 7,923 | |||||||||||||||||
REFCORP | 19,812 | (711 | ) | (279 | ) | (429 | ) | (2,247 | ) | 21 | 16,167 | |||||||||||||||||
Total assessments | 29,355 | (1,027 | ) | (402 | ) | (620 | ) | (3,246 | ) | 30 | 24,090 | |||||||||||||||||
NET INCOME | $ | 79,246 | $ | (2,842 | ) | $ | (1,115 | ) | $ | (1,715 | ) | $ | (8,990 | ) | $ | 83 | $ | 64,667 | ||||||||||
(1) | Represents the impact of reversing the periodic changes in fair value of the available-for-sale securities attributable to the hedged risk that had previously been recognized in earnings, recording the premiums on the available-for-sale securities and the related amortization thereof, reclassifying the net interest expense on the related interest rate swaps, and recording changes in the estimated fair value of the written options. | |
(2) | Represents the impact of reversing the periodic changes in fair value of the available-for-sale securities attributable to the hedged risk that had previously been recognized in earnings, reclassifying the net interest expense on the related interest rate swaps, and recording changes in the estimated fair value of the written options. | |
(3) | Represents the impact of changes to the Bank’s benchmark valuation methodology for long-haul relationships. | |
(4) | Represents the impact of reversing the periodic changes in fair value of the available-for-sale securities and consolidated obligation bonds purportedly attributable to the hedged risk that had previously been recognized in earnings and reclassifying the net interest income/expense on the related interest rate swaps. | |
(5) | Represents the adjustments to correct the other errors relating to the application of SFAS 133 and the errors identified in 2004. |
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For the Year Ended December 31, 2003
(In thousands of dollars)
Adjustments | ||||||||||||||||||||||||||||
As Previously | 14 AFS | 4 AFS | Benchmark | Complex Coupon | As | |||||||||||||||||||||||
Reported | Securities(1) | Securities(2) | Valuation(3) | Instruments(4) | Other(5) | Restated | ||||||||||||||||||||||
INTEREST INCOME | ||||||||||||||||||||||||||||
Available-for-sale securities | $ | 71,062 | $ | 56,324 | $ | 6,839 | $ | — | $ | 2,410 | $ | 2,025 | $ | 138,660 | ||||||||||||||
Other | 1,017,825 | — | — | — | — | — | 1,017,825 | |||||||||||||||||||||
Total interest income | 1,088,887 | 56,324 | 6,839 | — | 2,410 | 2,025 | 1,156,485 | |||||||||||||||||||||
INTEREST EXPENSE | ||||||||||||||||||||||||||||
Consolidated obligations | ||||||||||||||||||||||||||||
Bonds | 762,938 | — | — | — | 27,391 | 4,300 | 794,629 | |||||||||||||||||||||
Discount notes | 122,388 | — | — | — | — | 300 | 122,688 | |||||||||||||||||||||
Other | 28,922 | — | — | — | — | — | 28,922 | |||||||||||||||||||||
Total interest expense | 914,248 | — | — | — | 27,391 | 4,600 | 946,239 | |||||||||||||||||||||
NET INTEREST INCOME | 174,639 | 56,324 | 6,839 | — | (24,981 | ) | (2,575 | ) | 210,246 | |||||||||||||||||||
Provision (reduction) for credit losses on mortgage loans | (27 | ) | — | — | — | — | — | (27 | ) | |||||||||||||||||||
NET INTEREST INCOME AFTER MORTGAGE LOAN LOSS PROVISION | 174,666 | 56,324 | 6,839 | — | (24,981 | ) | (2,575 | ) | 210,273 | |||||||||||||||||||
OTHER INCOME (LOSS) | ||||||||||||||||||||||||||||
Net realized and unrealized losses on derivatives and hedging activities | (11,702 | ) | (577 | ) | (1,562 | ) | (9,466 | ) | 5,812 | 2,373 | (15,122 | ) | ||||||||||||||||
Other, net | (7,505 | ) | — | — | — | — | — | (7,505 | ) | |||||||||||||||||||
Total other income (loss) | (19,207 | ) | (577 | ) | (1,562 | ) | (9,466 | ) | 5,812 | 2,373 | (22,627 | ) | ||||||||||||||||
OTHER EXPENSE | ||||||||||||||||||||||||||||
Salaries and benefits | 16,191 | — | — | — | — | 583 | 16,774 | |||||||||||||||||||||
Other | 17,051 | — | — | — | — | — | 17,051 | |||||||||||||||||||||
Total other expense | 33,242 | — | — | — | — | 583 | 33,825 | |||||||||||||||||||||
INCOME BEFORE ASSESSMENTS | 122,217 | 55,747 | 5,277 | (9,466 | ) | (19,169 | ) | (785 | ) | 153,821 | ||||||||||||||||||
Affordable Housing Program | 9,977 | 4,551 | 431 | (773 | ) | (1,565 | ) | (64 | ) | 12,557 | ||||||||||||||||||
REFCORP | 22,448 | 10,239 | 969 | (1,739 | ) | (3,521 | ) | (143 | ) | 28,253 | ||||||||||||||||||
Total assessments | 32,425 | 14,790 | 1,400 | (2,512 | ) | (5,086 | ) | (207 | ) | 40,810 | ||||||||||||||||||
NET INCOME | $ | 89,792 | $ | 40,957 | $ | 3,877 | $ | (6,954 | ) | $ | (14,083 | ) | $ | (578 | ) | $ | 113,011 | |||||||||||
(1) | Represents the impact of reversing the periodic changes in fair value of the available-for-sale securities attributable to the hedged risk that had previously been recognized in earnings, recording the premiums on the available-for-sale securities and the related amortization thereof, reclassifying the net interest expense on the related interest rate swaps, and recording changes in the estimated fair value of the written options. | |
(2) | Represents the impact of reversing the periodic changes in fair value of the available-for-sale securities attributable to the hedged risk that had previously been recognized in earnings, reclassifying the net interest expense on the related interest rate swaps, and recording changes in the estimated fair value of the written options. | |
(3) | Represents the impact of changes to the Bank’s benchmark valuation methodology for long-haul relationships. | |
(4) | Represents the impact of reversing the periodic changes in fair value of the available-for-sale securities and consolidated obligation bonds purportedly attributable to the hedged risk that had previously been recognized in earnings and reclassifying the net interest income/expense on the related interest rate swaps. | |
(5) | Represents the adjustments to correct the other errors relating to the application of SFAS 133 and the errors identified in 2004. |
40
Table of Contents
For the Year Ended December 31, 2002
(In thousands of dollars)
Adjustments | ||||||||||||||||||||||||||||
As Previously | 14 AFS | 4 AFS | Benchmark | Complex Coupon | As | |||||||||||||||||||||||
Reported | Securities(1) | Securities(2) | Valuation(3) | Instruments(4) | Other(5) | Restated | ||||||||||||||||||||||
INTEREST INCOME | ||||||||||||||||||||||||||||
Available-for-sale securities | $ | 82,304 | $ | 58,201 | $ | 6,085 | $ | — | $ | 5,021 | $ | 650 | $ | 152,261 | ||||||||||||||
Other | 1,180,324 | — | — | — | — | — | 1,180,324 | |||||||||||||||||||||
Total interest income | 1,262,628 | 58,201 | 6,085 | — | 5,021 | 650 | 1,332,585 | |||||||||||||||||||||
INTEREST EXPENSE | ||||||||||||||||||||||||||||
Consolidated obligations Bonds | 883,442 | — | — | — | 28,129 | 2,171 | 913,742 | |||||||||||||||||||||
Other | 196,707 | — | — | — | — | — | 196,707 | |||||||||||||||||||||
Total interest expense | 1,080,149 | — | — | — | 28,129 | 2,171 | 1,110,449 | |||||||||||||||||||||
NET INTEREST INCOME | 182,479 | 58,201 | 6,085 | — | (23,108 | ) | (1,521 | ) | 222,136 | |||||||||||||||||||
Provision (reduction) for credit losses on mortgage loans | 126 | — | — | — | — | — | 126 | |||||||||||||||||||||
NET INTEREST INCOME AFTER MORTGAGE LOAN LOSS PROVISION | 182,353 | 58,201 | 6,085 | — | (23,108 | ) | (1,521 | ) | 222,010 | |||||||||||||||||||
OTHER INCOME (LOSS) | ||||||||||||||||||||||||||||
Net realized and unrealized losses on derivatives and hedging activities | (59,029 | ) | (219,709 | ) | (26,320 | ) | 4,427 | 34,253 | (2,868 | ) | (269,246 | ) | ||||||||||||||||
Other, net | 13,026 | — | — | — | — | — | 13,026 | |||||||||||||||||||||
Total other income (loss) | (46,003 | ) | (219,709 | ) | (26,320 | ) | 4,427 | �� | 34,253 | (2,868 | ) | (256,220 | ) | |||||||||||||||
OTHER EXPENSE | ||||||||||||||||||||||||||||
Salaries and benefits | 14,189 | — | — | — | — | 536 | 14,725 | |||||||||||||||||||||
Other | 19,497 | — | — | — | — | — | 19,497 | |||||||||||||||||||||
Total other expense | 33,686 | — | — | — | — | 536 | 34,222 | |||||||||||||||||||||
INCOME (LOSS) BEFORE ASSESSMENTS | 102,664 | (161,508 | ) | (20,235 | ) | 4,427 | 11,145 | (4,925 | ) | (68,432 | ) | |||||||||||||||||
Affordable Housing Program | 8,412 | (13,184 | ) | (1,652 | ) | 361 | 910 | (433 | ) | (5,586 | ) | |||||||||||||||||
REFCORP | 18,927 | (29,665 | ) | (3,716 | ) | 813 | 2,047 | (976 | ) | (12,570 | ) | |||||||||||||||||
Total assessments | 27,339 | (42,849 | ) | (5,368 | ) | 1,174 | 2,957 | (1,409 | ) | (18,156 | ) | |||||||||||||||||
NET INCOME (LOSS) | $ | 75,325 | $ | (118,659 | ) | $ | (14,867 | ) | $ | 3,253 | $ | 8,188 | $ | (3,516 | ) | $ | (50,276 | ) | ||||||||||
(1) | Represents the impact of reversing the periodic changes in fair value of the available-for-sale securities attributable to the hedged risk that had previously been recognized in earnings, recording the premiums on the available-for-sale securities and the related amortization thereof, reclassifying the net interest expense on the related interest rate swaps, and recording changes in the estimated fair value of the written options. | |
(2) | Represents the impact of reversing the periodic changes in fair value of the available-for-sale securities attributable to the hedged risk that had previously been recognized in earnings, reclassifying the net interest expense on the related interest rate swaps, and recording changes in the estimated fair value of the written options. | |
(3) | Represents the impact of changes to the Bank’s benchmark valuation methodology for long-haul relationships. | |
(4) | Represents the impact of reversing the periodic changes in fair value of the available-for-sale securities and consolidated obligation bonds purportedly attributable to the hedged risk that had previously been recognized in earnings and reclassifying the net interest income/expense on the related interest rate swaps. | |
(5) | Represents the adjustments to correct the other errors relating to the application of SFAS 133 and the errors identified in 2004. |
(In thousands of dollars)
Retained earnings as of January 1, 2002, as previously reported | $ | 70,883 | ||
Adjustments to retained earnings as of January 1, 2002: | ||||
Incorrect application of the short-cut method to 14 hedged available-for-sale securities | (33,718 | ) | ||
Incorrect application of hedge accounting to 4 hedged available-for-sale securities | (3,556 | ) | ||
Changes to benchmark valuation methodology for long-haul hedging relationships | 6,916 | |||
Complex coupon instruments | 26,025 | |||
Other errors relating to the application of SFAS 133 | 1,697 | |||
Change in method of hedge accounting for certain consolidated obligation bonds | 192 | |||
Change in method of accounting for postretirement benefits | (371 | ) | ||
Amortization and accretion of premiums and discounts on certain available-for-sale securities | 478 | |||
Amortization and accretion of premiums, discounts and concessions on certain consolidated obligation bonds | 1,321 | |||
Retained earnings as of January 1, 2002, as restated | $ | 69,867 | ||
41
Table of Contents
March 31, 2005
(In thousands of dollars)
Adjustments | ||||||||||||||||||||||||||||
As Previously | 14 AFS | 4 AFS | Benchmark | Complex Coupon | As | |||||||||||||||||||||||
Reported | Securities(1) | Securities(2) | Valuation(3) | Instruments(4) | Other(5) | Restated | ||||||||||||||||||||||
ASSETS | ||||||||||||||||||||||||||||
Advances | $ | 46,161,537 | $ | — | $ | — | $ | 1,099 | $ | — | $ | — | $ | 46,162,636 | ||||||||||||||
Excess REFCORP contributions | — | — | — | — | — | 23,620 | 23,620 | |||||||||||||||||||||
Other | 19,489,592 | — | — | — | — | — | 19,489,592 | |||||||||||||||||||||
TOTAL ASSETS | $ | 65,651,129 | $ | — | $ | — | $ | 1,099 | $ | — | $ | 23,620 | $ | 65,675,848 | ||||||||||||||
LIABILITIES | ||||||||||||||||||||||||||||
Consolidated obligations, net | ||||||||||||||||||||||||||||
Discount notes | $ | 1,598,531 | $ | — | $ | — | $ | — | $ | — | $ | 172 | $ | 1,598,703 | ||||||||||||||
Bonds | 57,880,185 | — | — | 10,095 | (11,331 | ) | 722 | 57,879,671 | ||||||||||||||||||||
Affordable Housing Program | 33,053 | (11,560 | ) | (1,551 | ) | (148 | ) | 815 | (74 | ) | 20,535 | |||||||||||||||||
Payable to REFCORP | 4,546 | (26,011 | ) | (3,489 | ) | (338 | ) | 1,835 | 23,457 | — | ||||||||||||||||||
Derivative liabilities | 661,487 | 566 | 347 | — | — | — | 662,400 | |||||||||||||||||||||
Other | 2,756,290 | — | — | — | — | — | 2,756,290 | |||||||||||||||||||||
Total liabilities | 62,934,092 | (37,005 | ) | (4,693 | ) | 9,609 | (8,681 | ) | 24,277 | 62,917,599 | ||||||||||||||||||
CAPITAL | ||||||||||||||||||||||||||||
Capital stock — Class B putable ($100 par value) | 2,558,693 | — | — | — | — | — | 2,558,693 | |||||||||||||||||||||
Retained earnings | 145,511 | (104,050 | ) | (13,955 | ) | (1,347 | ) | 7,345 | (657 | ) | 32,847 | |||||||||||||||||
Accumulated other comprehensive income | ||||||||||||||||||||||||||||
Net unrealized gain (loss) on available-for-sale securities net of unrealized gains and losses relating to hedged interest rate risk included in net income | 12,833 | 141,055 | 18,648 | (7,163 | ) | 1,336 | — | 166,709 | ||||||||||||||||||||
Total capital | 2,717,037 | 37,005 | 4,693 | (8,510 | ) | 8,681 | (657 | ) | 2,758,249 | |||||||||||||||||||
TOTAL LIABILITIES AND CAPITAL | $ | 65,651,129 | $ | — | $ | — | $ | 1,099 | $ | — | $ | 23,620 | $ | 65,675,848 | ||||||||||||||
(1) | Represents the impact of reversing the periodic changes in fair value of the available-for-sale securities attributable to the hedged risk that had previously been recognized in earnings, recording the premiums on the available-for-sale securities and the related amortization thereof and recording changes in the estimated fair value of the written options. | |
(2) | Represents the impact of reversing the periodic changes in fair value of the available-for-sale securities attributable to the hedged risk that had previously been recognized in earnings and recording changes in the estimated fair value of the written options. | |
(3) | Represents the impact of changes in the Bank’s benchmark valuation methodology for long-haul relationships. | |
(4) | Represents the impact of reversing the periodic changes in fair value of the available-for-sale securities and consolidated obligation bonds purportedly attributable to the hedged risk that had previously been recognized in earnings. | |
(5) | Represents the adjustments to correct the other errors relating to the application of SFAS 133. |
42
Table of Contents
December 31, 2004
(In thousands of dollars)
Adjustments | ||||||||||||||||||||||||||||
As Previously | 14 AFS | 4 AFS | Benchmark | Complex Coupon | As | |||||||||||||||||||||||
Reported | Securities(1) | Securities(2) | Valuation(3) | Instruments(4) | Other(5) | Restated | ||||||||||||||||||||||
ASSETS | ||||||||||||||||||||||||||||
Advances | $ | 47,111,154 | $ | — | $ | — | $ | 863 | $ | — | $ | — | $ | 47,112,017 | ||||||||||||||
Excess REFCORP contributions | — | — | — | — | — | 25,174 | 25,174 | |||||||||||||||||||||
Other | 17,475,159 | — | — | — | — | — | 17,475,159 | |||||||||||||||||||||
TOTAL ASSETS | $ | 64,586,313 | $ | — | $ | — | $ | 863 | $ | — | $ | 25,174 | $ | 64,612,350 | ||||||||||||||
LIABILITIES | ||||||||||||||||||||||||||||
Consolidated obligations, net | ||||||||||||||||||||||||||||
Discount notes | $ | 7,084,765 | $ | — | $ | — | $ | — | $ | — | $ | 945 | $ | 7,085,710 | ||||||||||||||
Bonds | 51,463,738 | — | — | 5,025 | (16,989 | ) | 361 | 51,452,135 | ||||||||||||||||||||
Affordable Housing Program | 33,811 | (12,695 | ) | (1,741 | ) | 168 | 1,238 | (78 | ) | 20,703 | ||||||||||||||||||
Payable to REFCORP | 4,320 | (28,564 | ) | (3,916 | ) | 374 | 2,784 | 25,002 | — | |||||||||||||||||||
Derivative liabilities | 658,790 | 7 | 332 | — | — | (362 | ) | 658,767 | ||||||||||||||||||||
Other | 2,706,925 | — | — | — | — | — | 2,706,925 | |||||||||||||||||||||
Total liabilities | 61,952,349 | (41,252 | ) | (5,325 | ) | 5,567 | (12,967 | ) | 25,868 | 61,924,240 | ||||||||||||||||||
CAPITAL | ||||||||||||||||||||||||||||
Capital stock — Class B putable ($100 par value) | 2,492,789 | — | — | — | — | — | 2,492,789 | |||||||||||||||||||||
Retained earnings | 143,897 | (114,264 | ) | (15,658 | ) | 1,499 | 11,140 | (694 | ) | 25,920 | ||||||||||||||||||
Accumulated other comprehensive income (loss) | — | |||||||||||||||||||||||||||
Net unrealized gain (loss) on available-for-sale securities net of unrealized gains and losses relating to hedged interest rate risk included in net income | (2,722 | ) | 155,516 | 20,983 | (6,203 | ) | 1,827 | — | 169,401 | |||||||||||||||||||
Total capital | 2,633,964 | 41,252 | 5,325 | (4,704 | ) | 12,967 | (694 | ) | 2,688,110 | |||||||||||||||||||
TOTAL LIABILITIES AND CAPITAL | $ | 64,586,313 | $ | — | $ | — | $ | 863 | $ | — | $ | 25,174 | $ | 64,612,350 | ||||||||||||||
(1) | Represents the impact of reversing the periodic changes in fair value of the available-for-sale securities attributable to the hedged risk that had previously been recognized in earnings, recording the premiums on the available-for-sale securities and the related amortization thereof and recording changes in the estimated fair value of the written options. | |
(2) | Represents the impact of reversing the periodic changes in fair value of the available-for-sale securities attributable to the hedged risk that had previously been recognized in earnings and recording changes in the estimated fair value of the written options. | |
(3) | Represents the impact of changes in the Bank’s benchmark valuation methodology for long-haul relationships. | |
(4) | Represents the impact of reversing the periodic changes in fair value of the available-for-sale securities and consolidated obligation bonds purportedly attributable to the hedged risk that had previously been recognized in earnings. | |
(5) | Represents the adjustments to correct the other errors relating to the application of SFAS 133. |
43
Table of Contents
December 31, 2003
(In thousands of dollars)
Adjustments | ||||||||||||||||||||||||||||
As Previously | 14 AFS | 4 AFS | Benchmark | Complex Coupon | As | |||||||||||||||||||||||
Reported | Securities(1) | Securities(2) | Valuation(3) | Instruments(4) | Other(5) | Restated | ||||||||||||||||||||||
ASSETS | ||||||||||||||||||||||||||||
Advances | $ | 40,595,029 | $ | — | $ | — | $ | 298 | $ | — | $ | — | $ | 40,595,327 | ||||||||||||||
Excess REFCORP contributions | — | — | — | — | — | 20,073 | 20,073 | |||||||||||||||||||||
Other | 17,800,972 | — | — | — | — | 537 | 17,801,509 | |||||||||||||||||||||
TOTAL ASSETS | $ | 58,396,001 | $ | — | $ | — | $ | 298 | $ | — | $ | 20,610 | $ | 58,416,909 | ||||||||||||||
LIABILITIES | ||||||||||||||||||||||||||||
Consolidated obligations, net | ||||||||||||||||||||||||||||
Discount notes | $ | 11,627,325 | $ | — | $ | — | $ | — | $ | — | $ | (250 | ) | $ | 11,627,075 | |||||||||||||
Bonds | 40,702,899 | — | — | 2,587 | (30,213 | ) | 3,965 | 40,679,238 | ||||||||||||||||||||
Affordable Housing Program | 34,098 | (12,380 | ) | (1,616 | ) | 358 | 2,237 | (87 | ) | 22,610 | ||||||||||||||||||
Payable to REFCORP | 5,776 | (27,855 | ) | (3,636 | ) | 803 | 5,032 | 19,880 | — | |||||||||||||||||||
Derivative liabilities | 636,053 | — | 123 | — | (141 | ) | 636,035 | |||||||||||||||||||||
Other | 2,648,405 | — | — | — | — | 1,624 | 2,650,029 | |||||||||||||||||||||
Total liabilities | 55,654,556 | (40,235 | ) | (5,129 | ) | 3,748 | (22,944 | ) | 24,991 | 55,614,987 | ||||||||||||||||||
CAPITAL | ||||||||||||||||||||||||||||
Capital stock — Class B putable ($100 par value) | 2,661,133 | — | — | — | — | — | 2,661,133 | |||||||||||||||||||||
Retained earnings | 108,612 | (111,419 | ) | (14,546 | ) | 3,214 | 20,130 | (777 | ) | 5,214 | ||||||||||||||||||
Accumulated other comprehensive income (loss) | ||||||||||||||||||||||||||||
Net unrealized gain (loss) on available-for-sale securities net of unrealized gains and losses relating to hedged interest rate risk included in net income | (28,300 | ) | 151,654 | 19,675 | (6,664 | ) | 2,814 | (3,604 | ) | |||||||||||||||||||
Total capital | 2,741,445 | 40,235 | 5,129 | (3,450 | ) | 22,944 | (4,381 | ) | 2,801,922 | |||||||||||||||||||
TOTAL LIABILITIES AND CAPITAL | $ | 58,396,001 | $ | — | $ | — | $ | 298 | $ | — | $ | 20,610 | $ | 58,416,909 | ||||||||||||||
(1) | Represents the impact of reversing the periodic changes in fair value of the available-for-sale securities attributable to the hedged risk that had previously been recognized in earnings, recording the premiums on the available-for-sale securities and the related amortization thereof and recording changes in the estimated fair value of the written options. | |
(2) | Represents the impact of reversing the periodic changes in fair value of the available-for-sale securities attributable to the hedged risk that had previously been recognized in earnings and recording changes in the estimated fair value of the written options. | |
(3) | Represents the impact of changes in the Bank’s benchmark valuation methodology for long-haul relationships. | |
(4) | Represents the impact of reversing the periodic changes in fair value of the available-for-sale securities and consolidated obligation bonds purportedly attributable to the hedged risk that had previously been recognized in earnings. | |
(5) | Represents the adjustments to correct the other errors relating to the application of SFAS 133 and the errors identified in 2004. |
44
Table of Contents
45
Table of Contents
46
Table of Contents
(dollars in millions)
September 30, | December 31, | |||||||||||||||||||
2005 | 2004 | 2003 | ||||||||||||||||||
Percentage | Percentage | |||||||||||||||||||
Increase | Increase | |||||||||||||||||||
Balance | (Decrease) | Balance | (Decrease) | Balance | ||||||||||||||||
Advances | $ | 49,731 | 5.6 | % | $ | 47,112 | 16.1 | % | $ | 40,595 | ||||||||||
Long-term investments(1) | 8,756 | (33.3 | ) | 13,129 | 0.2 | 13,103 | ||||||||||||||
Mortgage loans, net | 577 | (18.3 | ) | 706 | (27.4 | ) | 972 | |||||||||||||
Total assets | 69,243 | 7.2 | 64,612 | 10.6 | 58,417 | |||||||||||||||
Consolidated obligations — bonds | 48,302 | (6.1 | ) | 51,452 | 26.5 | 40,679 | ||||||||||||||
Consolidated obligations — discount notes | 14,372 | 102.8 | 7,086 | (39.1 | ) | 11,627 | ||||||||||||||
Total consolidated obligations | 62,674 | 7.1 | 58,538 | 11.9 | 52,306 | |||||||||||||||
Mandatorily redeemable capital stock | 330 | 0.9 | 327 | 100.0 | — | |||||||||||||||
Capital stock | 2,609 | 4.6 | 2,493 | (6.3 | ) | 2,661 | ||||||||||||||
Retained earnings | 174 | 569.2 | 26 | 420.0 | 5 | |||||||||||||||
Average total assets | 65,668 | 6.3 | 61,760 | 10.5 | 55,903 | |||||||||||||||
Average capital stock | 2,516 | 6.4 | 2,365 | (9.8 | ) | 2,622 | ||||||||||||||
Average mandatorily redeemable capital stock | 327 | (10.6 | ) | 366 | 100.0 | — |
(1) | Includes securities classified as held-to-maturity, available-for-sale and trading. |
47
Table of Contents
(par value, dollars in millions)
December 31, | ||||||||||||||||||||||||||||||||
September 30, 2005 | 2004 | 2003 | 2002 | |||||||||||||||||||||||||||||
Amount | Percent | Amount | Percent | Amount | Percent | Amount | Percent | |||||||||||||||||||||||||
Commercial banks | $ | 16,678 | 33 | % | $ | 15,593 | 33 | % | $ | 11,832 | 29 | % | $ | 10,465 | 29 | % | ||||||||||||||||
Thrift institutions | �� | 23,806 | 48 | 22,476 | 48 | 19,579 | 49 | 16,752 | 46 | |||||||||||||||||||||||
Credit unions | 1,314 | 3 | 1,032 | 2 | 952 | 2 | 795 | 2 | ||||||||||||||||||||||||
Insurance companies | 221 | 1 | 237 | 1 | 232 | 1 | 286 | 1 | ||||||||||||||||||||||||
Total member advances | 42,019 | 85 | 39,338 | 84 | 32,595 | 81 | 28,298 | 78 | ||||||||||||||||||||||||
Housing associates | 58 | — | 11 | — | 45 | — | 102 | — | ||||||||||||||||||||||||
Non-member borrowers | 7,664 | 15 | 7,668 | 16 | 7,708 | 19 | 8,090 | 22 | ||||||||||||||||||||||||
Total par value of advances | $ | 49,741 | 100 | % | $ | 47,017 | 100 | % | $ | 40,348 | 100 | % | $ | 36,490 | 100 | % | ||||||||||||||||
Total par value of advances outstanding to CFIs | $ | 7,748 | 16 | % | $ | 7,695 | 16 | % | $ | 7,889 | 20 | % | $ | 6,383 | 17 | % | ||||||||||||||||
48
Table of Contents
(Par value, dollars in millions)
Percent of | ||||||||||||
Name | City | State | Advances | Total Advances | ||||||||
World Savings Bank, FSB Texas | Houston | TX | $ | 12,049 | 24.2 | % | ||||||
Washington Mutual Bank | Stockton | CA | 7,472 | 15.0 | ||||||||
Guaranty Bank | Austin | TX | 6,020 | 12.1 | ||||||||
Franklin Bank, SSB | Austin | TX | 1,985 | 4.0 | ||||||||
Hibernia National Bank | New Orleans | LA | 1,589 | 3.2 | ||||||||
International Bank of Commerce | Laredo | TX | 1,580 | 3.2 | ||||||||
Trustmark National Bank | Jackson | MS | 775 | 1.6 | ||||||||
Southside Bank | Tyler | TX | 566 | 1.1 | ||||||||
Charter Bank | Albuquerque | NM | 452 | 0.9 | ||||||||
Sterling Bank | Houston | TX | 439 | 0.9 | ||||||||
$ | 32,927 | 66.2 | % | |||||||||
(Par value, dollars in millions)
Percent of | ||||||||||||
Name | City | State | Advances | Total Advances | ||||||||
World Savings Bank, FSB Texas | Houston | TX | $ | 11,500 | 24.5 | % | ||||||
Washington Mutual Bank | Stockton | CA | 7,472 | 15.9 | ||||||||
Guaranty Bank | Austin | TX | 4,717 | 10.0 | ||||||||
Hibernia National Bank | New Orleans | LA | 1,745 | 3.7 | ||||||||
Franklin Bank, SSB | Austin | TX | 1,653 | 3.5 | ||||||||
International Bank of Commerce | Laredo | TX | 1,375 | 2.9 | ||||||||
Beal Bank | Plano | TX | 845 | 1.8 | ||||||||
Trustmark National Bank | Jackson | MS | 825 | 1.8 | ||||||||
Southwest Bank of Texas, N.A. | Houston | TX | 557 | 1.2 | ||||||||
Southside Bank | Tyler | TX | 530 | 1.1 | ||||||||
$ | 31,219 | 66.4 | % | |||||||||
49
Table of Contents
(Dollars in millions)
September 30, | December 31, | |||||||||||||||||||||||
2005 | 2004 | 2003 | ||||||||||||||||||||||
Percentage | Percentage | Percentage | ||||||||||||||||||||||
Balance | of Total | Balance | of Total | Balance | of Total | |||||||||||||||||||
Fixed rate advances | ||||||||||||||||||||||||
Maturity less than one month | $ | 11,031 | 22.2 | % | $ | 8,049 | 17.1 | % | $ | 5,596 | 13.9 | % | ||||||||||||
Maturity 1 month to 12 months | 4,176 | 8.4 | 3,160 | 6.7 | 2,390 | 5.9 | ||||||||||||||||||
Maturity greater than 1 year | 3,819 | 7.7 | 4,374 | 9.3 | 4,059 | 10.1 | ||||||||||||||||||
Fixed rate, amortizing | 5,989 | 12.0 | 6,516 | 13.9 | 6,943 | 17.2 | ||||||||||||||||||
Fixed rate, putable | 1,435 | 2.9 | 2,256 | 4.8 | 2,507 | 6.2 | ||||||||||||||||||
Total fixed rate advances | 26,450 | 53.2 | 24,355 | 51.8 | 21,495 | 53.3 | ||||||||||||||||||
Floating rate advances | ||||||||||||||||||||||||
Maturity less than one month | 679 | 1.4 | 104 | 0.2 | 302 | 0.7 | ||||||||||||||||||
Maturity 1 month to 12 months | 7,324 | 14.7 | 3,812 | 8.1 | 1,716 | 4.3 | ||||||||||||||||||
Maturity greater than 1 year | 15,288 | 30.7 | 18,746 | 39.9 | 16,835 | 41.7 | ||||||||||||||||||
Total floating rate advances | 23,291 | 46.8 | 22,662 | 48.2 | 18,853 | 46.7 | ||||||||||||||||||
Total par value | $ | 49,741 | 100.0 | % | $ | 47,017 | 100.0 | % | $ | 40,348 | 100.0 | % | ||||||||||||
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(In millions of dollars)
Balance Sheet Classification | ||||||||||||||||||||
Held-to-Maturity | Available-for-Sale | Trading | Total Investments | Held-to-Maturity | ||||||||||||||||
September 30, 2005 | (at amortized cost) | (at fair value) | (at fair value) | (at carrying value) | (at fair value) | |||||||||||||||
U.S. agency debentures | ||||||||||||||||||||
U.S. government guaranteed obligations | $ | 169 | $ | — | $ | — | $ | 169 | $ | 169 | ||||||||||
Government-sponsored enterprises | — | 86 | — | 86 | — | |||||||||||||||
FHLBank consolidated obligations(1) | ||||||||||||||||||||
FHLBank of Boston (primary obligor) | — | 36 | — | 36 | — | |||||||||||||||
FHLBank of San Francisco (primary obligor) | — | 7 | — | 7 | — | |||||||||||||||
Total U.S. agency debentures | 169 | 129 | — | 298 | 169 | |||||||||||||||
MBS portfolio | ||||||||||||||||||||
U.S. government guaranteed obligations | 67 | — | — | 67 | 68 | |||||||||||||||
Government-sponsored enterprises | 4,845 | 705 | 52 | 5,602 | 4,862 | |||||||||||||||
Non-agency residential MBS | 1,733 | — | — | 1,733 | 1,732 | |||||||||||||||
Non-agency commercial MBS | 800 | 247 | — | 1,047 | 847 | |||||||||||||||
Total MBS | 7,445 | 952 | 52 | 8,449 | 7,509 | |||||||||||||||
State or local housing agency debentures | 7 | — | — | 7 | 7 | |||||||||||||||
Other | — | — | 2 | 2 | — | |||||||||||||||
Total long-term investments | $ | 7,621 | $ | 1,081 | $ | 54 | $ | 8,756 | $ | 7,685 | ||||||||||
Balance Sheet Classification | ||||||||||||||||||||
Held-to-Maturity | Available-for-Sale | Trading | Total Investments | Held-to-Maturity | ||||||||||||||||
December 31, 2004 | (at amortized cost) | (at fair value) | (at fair value) | (at carrying value) | (at fair value) | |||||||||||||||
U.S. agency debentures | ||||||||||||||||||||
U.S. government guaranteed obligations | $ | 179 | $ | 81 | $ | — | $ | 260 | $ | 179 | ||||||||||
Government-sponsored enterprises | — | 4,488 | — | 4,488 | — | |||||||||||||||
FHLBank consolidated obligations(1) | ||||||||||||||||||||
FHLBank of Boston (primary obligor) | — | 37 | — | 37 | — | |||||||||||||||
FHLBank of San Francisco (primary obligor) | — | 15 | — | 15 | — | |||||||||||||||
Total U.S. agency debentures | 179 | 4,621 | — | 4,800 | 179 | |||||||||||||||
MBS portfolio | ||||||||||||||||||||
U.S. government guaranteed obligations | 95 | — | — | 95 | 95 | |||||||||||||||
Government-sponsored enterprises | 5,307 | 905 | 77 | 6,289 | 5,321 | |||||||||||||||
Non-agency residential MBS | 872 | — | — | 872 | 873 | |||||||||||||||
Non-agency commercial MBS | 803 | 260 | — | 1,063 | 883 | |||||||||||||||
Total MBS | 7,077 | 1,165 | 77 | 8,319 | 7,172 | |||||||||||||||
State or local housing agency debentures | 8 | — | — | 8 | 8 | |||||||||||||||
Other | — | — | 2 | 2 | — | |||||||||||||||
Total long-term investments | $ | 7,264 | $ | 5,786 | $ | 79 | $ | 13,129 | $ | 7,359 | ||||||||||
Balance Sheet Classification | ||||||||||||||||||||
Held-to-Maturity | Available-for-Sale | Trading | Total Investments | Held-to-Maturity | ||||||||||||||||
December 31, 2003 | (at amortized cost) | (at fair value) | (at fair value) | (at carrying value) | (at fair value) | |||||||||||||||
U.S. agency debentures | ||||||||||||||||||||
U.S. government guaranteed obligations | $ | 228 | $ | 86 | $ | — | $ | 314 | $ | 228 | ||||||||||
Government-sponsored enterprises | — | 4,512 | — | 4,512 | — | |||||||||||||||
FHLBank consolidated obligations(1) | ||||||||||||||||||||
FHLBank of Boston (primary obligor) | — | 38 | — | 38 | — | |||||||||||||||
FHLBank of San Francisco (primary obligor) | — | 16 | — | 16 | — | |||||||||||||||
Total U.S. agency debentures | 228 | 4,652 | — | 4,880 | 228 | |||||||||||||||
MBS portfolio | ||||||||||||||||||||
U.S. government guaranteed obligations | 170 | — | — | 170 | 171 | |||||||||||||||
Government-sponsored enterprises | 4,842 | 1,019 | 117 | 5,978 | 4,847 | |||||||||||||||
Non-agency residential MBS | 956 | — | 1 | 957 | 955 | |||||||||||||||
Non-agency commercial MBS | 805 | 279 | — | 1,084 | 906 | |||||||||||||||
Total MBS | 6,773 | 1,298 | 118 | 8,189 | 6,879 | |||||||||||||||
State or local housing agency debentures | 9 | — | — | 9 | 9 | |||||||||||||||
Other | 0 | — | 24 | 24 | — | |||||||||||||||
Total long-term investments | $ | 7,010 | $ | 5,950 | $ | 142 | $ | 13,102 | $ | 7,116 | ||||||||||
(1) | Represents consolidated obligations acquired in the secondary market for which the named FHLBank is the primary obligor, and for which each of the FHLBanks, including the Bank, is jointly and severally liable. |
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(In millions of dollars)
September 30, 2005 | December 31, 2004 | December 31, 2003 | ||||||||||||||||||||||
Par(1) | Carrying Value | Par(1) | Carrying Value | Par(1) | Carrying Value | |||||||||||||||||||
Floating rate MBS | ||||||||||||||||||||||||
Floating rate CMOs | ||||||||||||||||||||||||
U.S. government guaranteed | $ | 67 | $ | 67 | $ | 95 | $ | 95 | $ | 170 | $ | 170 | ||||||||||||
Government-sponsored enterprises | 4,836 | 4,835 | 5,295 | 5,294 | 4,826 | 4,825 | ||||||||||||||||||
AAA rated non-agency | 1,733 | 1,733 | 872 | 872 | 951 | 951 | ||||||||||||||||||
Total floating rate CMOs | 6,636 | 6,635 | 6,262 | 6,261 | 5,947 | 5,946 | ||||||||||||||||||
Interest rate swapped MBS(2) | ||||||||||||||||||||||||
AAA rated non-agency CMBS | 237 | 247 | 240 | 260 | 250 | 279 | ||||||||||||||||||
Government-sponsored enterprise DUS(3) | 632 | 650 | 782 | 825 | 855 | 930 | ||||||||||||||||||
Government-sponsored enterprise CMOs | 103 | 107 | 146 | 157 | 185 | 206 | ||||||||||||||||||
AAA rated non-agency RMBS | — | — | — | — | 1 | 1 | ||||||||||||||||||
Total swapped MBS | 972 | 1,004 | 1,168 | 1,242 | 1,291 | 1,416 | ||||||||||||||||||
Total floating rate MBS | 7,608 | 7,639 | 7,430 | 7,503 | 7,238 | 7,362 | ||||||||||||||||||
Fixed rate MBS | ||||||||||||||||||||||||
Government-sponsored enterprises | 10 | 10 | 13 | 13 | 17 | 17 | ||||||||||||||||||
AAA rated non-agency RMBS | — | — | — | — | 5 | 5 | ||||||||||||||||||
AAA rated non-agency CMBS(4) | 799 | 800 | 803 | 803 | 805 | 805 | ||||||||||||||||||
Total fixed rate MBS | 809 | 810 | 816 | 816 | 827 | 827 | ||||||||||||||||||
Total MBS | $ | 8,417 | $ | 8,449 | $ | 8,246 | $ | 8,319 | $ | 8,065 | $ | 8,189 | ||||||||||||
(1) | Balances represent the principal amounts of the securities. | |
(2) | In the interest rate swapped MBS transactions, the Bank has entered into balance guaranteed interest rate swaps in which it pays the swap counterparty the coupon payments of the underlying security in exchange for LIBOR indexed coupons. | |
(3) | DUS =Designated Underwriter Servicer. | |
(4) | The Bank match funded these CMBS with 10-year debt securities. |
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(Par value, dollars in millions)
September 30, | December 31, | |||||||||||||||||||||||
2005 | 2004 | 2003 | ||||||||||||||||||||||
Percentage | Percentage | Percentage | ||||||||||||||||||||||
Balance | of Total | Balance | of Total | Balance | of Total | |||||||||||||||||||
Fixed rate, callable | $ | 16,534 | 33.9 | % | $ | 22,091 | 42.8 | % | $ | 14,524 | 35.7 | % | ||||||||||||
Fixed rate, non-callable | 15,050 | 30.9 | 16,604 | 32.1 | 15,665 | 38.6 | ||||||||||||||||||
Callable step-up | 8,834 | 18.2 | 7,998 | 15.5 | 7,900 | 19.4 | ||||||||||||||||||
Single-index floating rate | 7,573 | 15.5 | 4,397 | 8.5 | 2,376 | 5.9 | ||||||||||||||||||
Conversion | 635 | 1.3 | 390 | 0.8 | — | — | ||||||||||||||||||
Comparative-index | 105 | 0.2 | 175 | 0.3 | 175 | 0.4 | ||||||||||||||||||
Callable step-up/step-down | 15 | — | — | — | — | — | ||||||||||||||||||
Total par value | $ | 48,746 | 100.0 | % | $ | 51,655 | 100.0 | % | $ | 40,640 | 100.0 | % | ||||||||||||
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(dollars in thousands)
September 30, 2005 | December 31, 2004 | January 1, 2004 | ||||||||||||||||||||||
Number of | Number of | Number of | ||||||||||||||||||||||
Capital Stock Status | Institutions | Amount | Institutions | Amount | Institutions | Amount | ||||||||||||||||||
Held by Washington Mutual Bank | 1 | $ | 320,690 | 1 | $ | 319,502 | 1 | $ | 386,382 | |||||||||||||||
Subject to withdrawal notice | 2 | 131 | 2 | 147 | 2 | 168 | ||||||||||||||||||
Held by non-member borrowers | 6 | 8,443 | 4 | 7,295 | 5 | 8,186 | ||||||||||||||||||
Held by non-member acquirers | 1 | 832 | 2 | 177 | — | — | ||||||||||||||||||
Total | 10 | $ | 330,096 | 9 | $ | 327,121 | 8 | $ | 394,736 | |||||||||||||||
(Dollars in thousands)
Percent of | ||||||||||||||||
Capital | Total | |||||||||||||||
Name | City | State | Stock | Capital Stock | ||||||||||||
World Savings Bank, FSB Texas | Houston | TX | $ | 535,608 | 18.2 | % | ||||||||||
Washington Mutual Bank | Stockton | CA | 320,690 | 10.9 | ||||||||||||
Guaranty Bank | Austin | TX | 290,045 | 9.9 | ||||||||||||
Hibernia National Bank | New Orleans | LA | 112,045 | 3.8 | ||||||||||||
Franklin Bank, SSB | Austin | TX | 90,090 | 3.1 | ||||||||||||
International Bank of Commerce | Laredo | TX | 88,235 | 3.0 | ||||||||||||
Trustmark National Bank | Jackson | MS | 45,860 | 1.6 | ||||||||||||
Amegy Bank, N.A. * | Houston | TX | 32,259 | 1.1 | ||||||||||||
Sterling Bank | Houston | TX | 29,620 | 1.0 | ||||||||||||
Southside Bank | Tyler | TX | 28,444 | 1.0 | ||||||||||||
$ | 1,572,896 | 53.6 | % | |||||||||||||
* | Previously known as Southwest Bank of Texas, N.A. |
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(Dollars in thousands)
Percent of | ||||||||||||||||
Capital | Total | |||||||||||||||
Name | City | State | Stock | Capital Stock | ||||||||||||
World Savings Bank, FSB Texas | Houston | TX | $ | 506,506 | 18.0 | % | ||||||||||
Washington Mutual Bank | Stockton | CA | 319,502 | 11.3 | ||||||||||||
Guaranty Bank | Austin | TX | 277,099 | 9.8 | ||||||||||||
Hibernia National Bank | New Orleans | LA | 117,976 | 4.2 | ||||||||||||
Franklin Bank, SSB | Austin | TX | 74,192 | 2.6 | ||||||||||||
International Bank of Commerce | Laredo | TX | 70,696 | 2.5 | ||||||||||||
Trustmark National Bank | Jackson | MS | 49,816 | 1.8 | ||||||||||||
Beal Bank | Plano | TX | 48,368 | 1.7 | ||||||||||||
Southwest Bank of Texas, N.A. | Houston | TX | 32,772 | 1.2 | ||||||||||||
Sterling Bank | Houston | TX | 31,350 | 1.1 | ||||||||||||
$ | 1,528,277 | 54.2 | % | |||||||||||||
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(dollars in thousands)
Date of Repurchase | Shares | Amount of | ||||||
by the Bank | Repurchased | Repurchase | ||||||
October 31, 2003 | 1,550,581 | $ | 155,058 | |||||
January 30, 2004 | 989,662 | 98,966 | ||||||
April 30, 2004 | 1,013,226 | 101,323 | ||||||
July 30, 2004 | 457,943 | 45,794 | ||||||
October 29, 2004 | 762,076 | 76,208 | ||||||
January 31, 2005 | 615,938 | 61,594 | ||||||
April 30, 2005 | 682,754 | 68,275 | ||||||
July 29, 2005 | 576,874 | 57,687 | ||||||
November 30, 2005 | 2,792,806 | 279,281 | ||||||
January 31, 2006 | 1,045,478 | 104,548 |
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(Dollars in millions)
Nine Months Ended September 30, | ||||||||||||||||||||||||
2005 | 2004 | |||||||||||||||||||||||
Interest | �� | Interest | ||||||||||||||||||||||
Average | Income/ | Average | Average | Income/ | Average | |||||||||||||||||||
Balance | Expense | Rate(a) | Balance | Expense | Rate(a) | |||||||||||||||||||
Assets | ||||||||||||||||||||||||
Interest-bearing deposits | $ | 481 | $ | 10 | 3.02 | % | $ | 419 | $ | 4 | 1.32 | % | ||||||||||||
Federal funds sold | 3,441 | 80 | 3.12 | % | 2,357 | 20 | 1.15 | % | ||||||||||||||||
Investments | ||||||||||||||||||||||||
Trading(b) | 66 | 5 | 10.06 | % | 108 | 10 | 11.78 | % | ||||||||||||||||
Available-for-sale(c) | 5,086 | 142 | 3.72 | % | 5,726 | 111 | 2.59 | % | ||||||||||||||||
Held-to-maturity | 7,653 | 216 | 3.75 | % | 7,117 | 119 | 2.22 | % | ||||||||||||||||
Advances(c)(d) | 47,710 | 1,156 | 3.23 | % | 43,944 | 599 | 1.82 | % | ||||||||||||||||
Mortgage loans held for portfolio | 641 | 27 | 5.53 | % | 860 | 37 | 5.68 | % | ||||||||||||||||
Total earning assets | 65,078 | 1,636 | 3.35 | % | 60,531 | 900 | 1.98 | % | ||||||||||||||||
Cash and due from banks | 60 | 155 | ||||||||||||||||||||||
Other assets | 312 | 289 | ||||||||||||||||||||||
Total assets | $ | 65,450 | 1,636 | 3.33 | % | $ | 60,975 | 900 | 1.97 | % | ||||||||||||||
Liabilities and Capital | ||||||||||||||||||||||||
Interest-bearing deposits | $ | 1,746 | 38 | 2.89 | % | $ | 2,237 | 19 | 1.13 | % | ||||||||||||||
Consolidated obligations | ||||||||||||||||||||||||
Bonds(c) | 51,455 | 1,231 | 3.19 | % | 46,403 | 634 | 1.82 | % | ||||||||||||||||
Discount notes(c) | 8,216 | 190 | 3.08 | % | 8,409 | 76 | 1.20 | % | ||||||||||||||||
Mandatorily redeemable capital stock and other borrowings | 331 | 8 | 3.46 | % | 389 | 4 | 1.63 | % | ||||||||||||||||
Total interest-bearing liabilities | 61,748 | 1,467 | 3.17 | % | 57,438 | 733 | 1.70 | % | ||||||||||||||||
Other liabilities | 1,180 | 1,171 | ||||||||||||||||||||||
Total liabilities | 62,928 | 1,467 | 3.11 | % | 58,609 | 733 | 1.67 | % | ||||||||||||||||
Total capital | 2,554 | 2,366 | ||||||||||||||||||||||
Total liabilities and capital | $ | 65,482 | 2.99 | % | $ | 60,975 | 1.60 | % | ||||||||||||||||
Net interest income | $ | 169 | $ | 167 | ||||||||||||||||||||
Net interest margin | 0.34 | % | 0.37 | % | ||||||||||||||||||||
Net interest spread | 0.18 | % | 0.28 | % | ||||||||||||||||||||
Impact of non-interest bearing funds | 0.16 | % | 0.09 | % | ||||||||||||||||||||
(a) | Percentages are annualized figures. Amounts used to calculate average rates are based on numbers in the thousands. Accordingly, recalculations based upon the disclosed amounts (millions) may not produce the same results. | |
(b) | Interest income and average rates exclude the effect of associated interest rate exchange agreements as the net interest expense associated with such agreements is recorded in other income (loss) in the statements of income and therefore excluded from the Yield and Spread Analysis. Net interest expense on derivatives related to trading securities was $3.8 million and $8.7 million during the nine months ended September 30, 2005 and 2004, respectively. | |
(c) | Interest income/expense and average rates include the effect of associated interest rate exchange agreements to the extent such agreements qualify for SFAS 133 fair value hedge accounting. If the agreements do not qualify for hedge accounting, the net interest income/expense associated with such agreements is recorded in other income (loss) in the statements of income and therefore excluded from the Yield and Spread Analysis. Net interest expense on derivatives related to available-for-sale securities that did not qualify for hedge accounting was $26.7 million and $48.2 million for the nine months ended September 30, 2005 and 2004, respectively. For these same periods, net interest income on derivatives related to consolidated obligation bonds that did not qualify for hedge accounting was $3.3 million and $6.8 million, respectively. Net interest income (expense) on derivatives related to consolidated obligation discount notes that did not qualify for hedge accounting was ($0.7 million) and $1.2 million for the nine months ended September 30, 2005 and 2004, respectively. Average balances for available-for-sale securities are calculated based upon amortized cost. | |
(d) | Interest income and average rates include prepayment fees on advances. |
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(In millions of dollars)
Nine Months Ended September 30, | ||||||||||||
2005 vs. 2004 | ||||||||||||
Increase (Decrease) Due To | ||||||||||||
Volume | Rate | Total | ||||||||||
Interest income | ||||||||||||
Interest-bearing deposits | $ | 1 | $ | 5 | $ | 6 | ||||||
Federal funds sold | 13 | 47 | 60 | |||||||||
Investments | ||||||||||||
Trading | (4 | ) | (1 | ) | (5 | ) | ||||||
Available-for-sale | (13 | ) | 44 | 31 | ||||||||
Held-to-maturity | 10 | 87 | 97 | |||||||||
Advances | 55 | 502 | 557 | |||||||||
Mortgage loans held for portfolio | (9 | ) | (1 | ) | (10 | ) | ||||||
Total interest income | 53 | 683 | 736 | |||||||||
Interest expense Interest-bearing deposits | (5 | ) | 24 | 19 | ||||||||
Consolidated obligations | ||||||||||||
Bonds | 76 | 521 | 597 | |||||||||
Discount notes | (2 | ) | 116 | 114 | ||||||||
Mandatorily redeemable capital stock and other borrowings | (1 | ) | 5 | 4 | ||||||||
Total interest expense | 68 | 666 | 734 | |||||||||
Changes in net interest income | $ | (15 | ) | $ | 17 | $ | 2 | |||||
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(In thousands of dollars)
Nine Months Ended September 30, | ||||||||
2005 | 2004 | |||||||
Net loss on trading securities | $ | (3,748 | ) | $ | (5,257 | ) | ||
Gains on economic hedge derivatives related to trading securities | 3,858 | 5,442 | ||||||
Hedge ineffectiveness on trading securities | 110 | 185 | ||||||
Net interest expense associated with economic hedge derivatives related to trading securities | (3,818 | ) | (8,727 | ) | ||||
Net interest expense associated with economic hedge derivatives related to available-for-sale securities | (26,698 | ) | (48,154 | ) | ||||
Net interest income associated with economic hedge derivatives related to consolidated obligations | 2,578 | 8,032 | ||||||
Net interest income (expense) associated with stand-alone economic hedge derivatives (basis swaps) | (223 | ) | 960 | |||||
Net interest expense associated with economic hedge derivatives related to advances | (67 | ) | (22 | ) | ||||
Total net interest expense associated with economic hedge derivatives | (28,228 | ) | (47,911 | ) | ||||
Losses related to stand-alone economic hedge derivatives (caps and floors) | (3,000 | ) | (13,809 | ) | ||||
Gains (losses) related to other stand-alone derivatives (basis swaps) | 48 | (590 | ) | |||||
Gains (losses) related to other economic hedge derivatives (advance / AFS(2)/ CO(1)swaps) | (28,001 | ) | (19,401 | ) | ||||
Total fair value gains (losses) related to economic hedge derivatives | (30,953 | ) | (33,800 | ) | ||||
Gains (losses) related to SFAS 133 fair value hedge ineffectiveness | ||||||||
Net gain on advances and associated hedges | 881 | 865 | ||||||
Net gain (loss) on debt and associated hedges | (9,540 | ) | 1,718 | |||||
Net loss on AFS(2) securities and associated hedges | (3,060 | ) | (1,875 | ) | ||||
Total SFAS 133 fair value hedge ineffectiveness | (11,719 | ) | 708 | |||||
Gains on early extinguishment of debt | 2,964 | 1,414 | ||||||
Net gains on sales of AFS(2) securities | 218,849 | — | ||||||
Service fees | 2,093 | 1,849 | ||||||
Other, net | 2,043 | 1,910 | ||||||
Total other | 225,949 | 5,173 | ||||||
Total other income (loss) | $ | 155,159 | $ | (75,645 | ) | |||
(1) | Consolidated obligations | |
(2) | Available-for-sale |
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YIELD AND SPREAD ANALYSIS | ||
(Dollars in millions) |
2004 | 2003 | 2002 | ||||||||||||||||||||||||||||||||||
Interest | Interest | Interest | ||||||||||||||||||||||||||||||||||
Average | Income/ | Average | Average | Income/ | Average | Average | Income/ | Average | ||||||||||||||||||||||||||||
Balance | Expense | Rate(a) | Balance | Expense | Rate(a) | Balance | Expense | Rate(a) | ||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||
Interest-bearing deposits | $ | 465 | $ | 7 | 1.47 | % | $ | 542 | $ | 6 | 1.16 | % | $ | 279 | $ | 5 | 1.68 | % | ||||||||||||||||||
Federal funds sold | 2,371 | 33 | 1.37 | % | 2,828 | 32 | 1.14 | % | 2,858 | 48 | 1.68 | % | ||||||||||||||||||||||||
Investments | ||||||||||||||||||||||||||||||||||||
Trading(b) | 7,132 | 171 | 2.39 | % | 6,411 | 147 | 2.29 | % | 4,970 | 154 | 3.10 | % | ||||||||||||||||||||||||
Available-for-sale(c) | 5,710 | 155 | 2.71 | % | 5,479 | 139 | 2.53 | % | 4,418 | 152 | 3.45 | % | ||||||||||||||||||||||||
Held-to-maturity | 102 | 12 | 11.69 | % | 242 | 24 | 9.89 | % | 377 | 36 | 9.61 | % | ||||||||||||||||||||||||
Advances(c)(d) | 44,604 | 875 | 1.96 | % | 38,496 | 736 | 1.91 | % | 34,701 | 845 | 2.43 | % | ||||||||||||||||||||||||
Mortgage loans held for portfolio | 827 | 47 | 5.69 | % | 1,225 | 72 | 5.87 | % | 1,394 | 92 | 6.59 | % | ||||||||||||||||||||||||
Total earning assets | 61,211 | 1,300 | 2.12 | % | 55,223 | 1,156 | 2.09 | % | 48,997 | 1,332 | 2.72 | % | ||||||||||||||||||||||||
Cash and due from banks | 134 | 170 | 109 | |||||||||||||||||||||||||||||||||
Other assets | 281 | 379 | 505 | |||||||||||||||||||||||||||||||||
Total assets | $ | 61,626 | 1,300 | 2.11 | % | $ | 55,772 | 1,156 | 2.07 | % | $ | 49,611 | 1,332 | 2.69 | % | |||||||||||||||||||||
Liabilities and Capital | ||||||||||||||||||||||||||||||||||||
Interest-bearing deposits | $ | 2,194 | 29 | 1.31 | % | $ | 2,709 | 29 | 1.07 | % | $ | 2,505 | 40 | 1.62 | % | |||||||||||||||||||||
Consolidated obligations | ||||||||||||||||||||||||||||||||||||
Bonds(c) | 46,931 | 924 | 1.97 | % | 38,901 | 794 | 2.04 | % | 34,844 | 914 | 2.62 | % | ||||||||||||||||||||||||
Discount notes(c) | 8,547 | 119 | 1.40 | % | 10,349 | 123 | 1.19 | % | 9,018 | 156 | 1.73 | % | ||||||||||||||||||||||||
Mandatorily redeemable capital stock and other borrowings | 375 | 7 | 1.81 | % | — | — | — | — | — | — | ||||||||||||||||||||||||||
Total interest-bearing liabilities | 58,047 | 1,079 | 1.86 | % | 51,959 | 946 | 1.82 | % | 46,367 | 1,110 | 2.39 | % | ||||||||||||||||||||||||
Other liabilities | 1,178 | 1,224 | 865 | |||||||||||||||||||||||||||||||||
Total liabilities | 59,225 | 1,079 | 1.82 | % | 53,183 | 946 | 1.78 | % | 47,232 | 1,110 | 2.35 | % | ||||||||||||||||||||||||
Total capital | 2,401 | 2,589 | 2,379 | |||||||||||||||||||||||||||||||||
Total liabilities and capital | $ | 61,626 | 1.75 | % | $ | 55,772 | 1.70 | % | $ | 49,611 | 2.23 | % | ||||||||||||||||||||||||
Net interest income | $ | 221 | $ | 210 | $ | 222 | ||||||||||||||||||||||||||||||
Net interest margin | 0.36 | % | 0.37 | % | 0.46 | % | ||||||||||||||||||||||||||||||
Net interest spread | 0.26 | % | 0.27 | % | 0.33 | % | ||||||||||||||||||||||||||||||
Impact of non-interest bearing funds | 0.10 | % | 0.10 | % | 0.13 | % | ||||||||||||||||||||||||||||||
(a) | Amounts used to calculate average rates are based on numbers in the thousands. Accordingly, recalculations based upon the disclosed amounts(millions) may not produce the same results. | |
(b) | Interest income and average rates exclude the effect of associated interest rate exchange agreements as the net interest expense associated with such agreements is recorded in other income (loss) in the statements of income (loss) and therefore excluded from the Yield and Spread Analysis. Net interest expense on derivatives related to trading securities was $10.8 million, $21.6 million and $30.0 million during the years ended December 31, 2004, 2003 and 2002, respectively. | |
(c) | Interest income/expense and average rates include the effect of associated interest rate exchange agreements to the extent such agreements qualify for SFAS 133 fair value hedge accounting. If the agreements do not qualify for hedge accounting, the net interest income/expense associated with such agreements is recorded in other income (loss) in the statements of income (loss) and therefore excluded from the Yield and Spread Analysis. Net interest expense on derivatives related to available-for-sale securities that did not qualify for hedge accounting was $61.7 million, $68.5 million, and $69.4 million during the years ended December 31, 2004, 2003 and 2002, respectively. For these same periods, net interest income on derivatives related to consolidated obligation bonds that did not qualify for hedge accounting was $8.8 million, $24.4 million and $22.8 million, respectively. Net interest income on derivatives related to consolidated obligation discount notes that did not qualify for hedge accounting was $1.4 million and $0.3 million for the years ended December 31, 2004 and 2003, respectively. The Bank had no consolidated discount note hedging relationships in 2002. Average balances for available-for-sale securities are calculated based upon amortized cost. | |
(d) | Interest income and average rates include prepayment fees on advances. |
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2004 vs. 2003 | 2003 vs. 2002 | |||||||||||||||||||||||
Increase (Decrease) Due To | Increase (Decrease) Due To | |||||||||||||||||||||||
Volume | Rate | Total | Volume | Rate | Total | |||||||||||||||||||
Interest income: | ||||||||||||||||||||||||
Interest-bearing deposits | $ | (1 | ) | $ | 2 | $ | 1 | $ | 3 | $ | (2 | ) | $ | 1 | ||||||||||
Federal funds sold | (5 | ) | 6 | 1 | (1 | ) | (15 | ) | (16 | ) | ||||||||||||||
Investments | ||||||||||||||||||||||||
Held-to-maturity | 17 | 7 | 24 | 39 | (46 | ) | (7 | ) | ||||||||||||||||
Available-for-sale | 6 | 10 | 16 | 33 | (46 | ) | (13 | ) | ||||||||||||||||
Held at fair value | (16 | ) | 4 | (12 | ) | (13 | ) | 1 | (12 | ) | ||||||||||||||
Advances | 119 | 20 | 139 | 85 | (194 | ) | (109 | ) | ||||||||||||||||
Mortgage loans held for portfolio | (23 | ) | (2 | ) | (25 | ) | (11 | ) | (9 | ) | (20 | ) | ||||||||||||
Total interest income | 97 | 47 | 144 | 135 | (311 | ) | (176 | ) | ||||||||||||||||
Interest expense: | ||||||||||||||||||||||||
Interest-bearing deposits | (6 | ) | 6 | (0 | ) | 4 | (15 | ) | (11 | ) | ||||||||||||||
Consolidated obligations: | ||||||||||||||||||||||||
Bonds | 159 | (29 | ) | 130 | 98 | (218 | ) | (120 | ) | |||||||||||||||
Discount notes | (24 | ) | 20 | (4 | ) | 21 | (54 | ) | (33 | ) | ||||||||||||||
Mandatory redeemable capital stock and other borrowings | 7 | — | 7 | — | — | — | ||||||||||||||||||
Total interest expense | 136 | (3 | ) | 133 | 123 | (287 | ) | (164 | ) | |||||||||||||||
Changes in net interest income | $ | (39 | ) | $ | 50 | $ | 11 | $ | 12 | $ | (24 | ) | $ | (12 | ) | |||||||||
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2004 | 2003 | 2002 | ||||||||||
Net gain (loss) on trading securities | $ | (7,860 | ) | $ | (12,727 | ) | $ | 9,945 | ||||
Gains (losses) on economic hedge derivatives related to trading securities | 8,126 | 13,377 | (9,437 | ) | ||||||||
Hedge ineffectiveness on trading securities | 266 | 650 | 508 | |||||||||
Net interest expense associated with economic hedge derivatives related to trading securities | (10,777 | ) | (21,602 | ) | (29,966 | ) | ||||||
Net interest expense associated with economic hedge derivatives related to available-for-sale securities | (61,742 | ) | (68,458 | ) | (69,362 | ) | ||||||
Net interest income associated with economic hedge derivatives related to consolidated obligations | 10,217 | 24,656 | 22,767 | |||||||||
Net interest income associated with stand-alone economic hedge derivatives (basis swaps) | 390 | — | — | |||||||||
Net interest income (expense) associated with economic hedge derivatives related to advances | (37 | ) | (257 | ) | 4 | |||||||
Total net interest expense associated with economic hedge derivatives | (61,949 | ) | (65,661 | ) | (76,557 | ) | ||||||
Losses related to stand-alone economic hedge derivatives (caps and floors) | (16,560 | ) | (4,745 | ) | (19,489 | ) | ||||||
Losses related to other stand-alone derivatives (basis swaps) | (48 | ) | — | — | ||||||||
Gains (losses) related to other economic hedge derivatives (advance / AFS(2)/ CO(1)swaps) | (16,543 | ) | 51,642 | (167,773 | ) | |||||||
Total fair value gains (losses) related to economic hedge derivatives | (33,151 | ) | 46,897 | (187,262 | ) | |||||||
Gains (losses) related to SFAS 133 fair value hedge ineffectiveness | ||||||||||||
Net gain (loss) on advances and associated hedges | 822 | 1,780 | (2,186 | ) | ||||||||
Net gain (loss) on debt and associated hedges | (2,994 | ) | (9,331 | ) | 4,831 | |||||||
Net gain (loss) on AFS(2) securities and associated hedges | (2,090 | ) | (2,184 | ) | 1,365 | |||||||
Total SFAS 133 fair value hedge ineffectiveness | (4,262 | ) | (9,735 | ) | 4,010 | |||||||
Gains on early extinguishment of debt | 1,414 | — | — | |||||||||
Service fees | 2,470 | 2,137 | 2,545 | |||||||||
Other, net | 2,526 | 3,085 | 536 | |||||||||
Total other | 6,410 | 5,222 | 3,081 | |||||||||
Total other income (loss) | $ | (92,686 | ) | $ | (22,627 | ) | $ | (256,220 | ) | |||
(1) | Consolidated obligations | |
(2) | Available-for-sale |
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(In millions of dollars)
Payments due by Period | ||||||||||||||||||||
< 1 Year | 1-3 Years | 3-5 Years | > 5 Years | Total | ||||||||||||||||
Long-term debt | $ | 18,417.3 | $ | 16,586.4 | $ | 9,871.7 | $ | 6,779.4 | $ | 51,654.8 | ||||||||||
Mandatorily redeemable capital stock | — | — | 327.1 | — | 327.1 | |||||||||||||||
Operating leases | 0.4 | 0.6 | 0.5 | 0.2 | 1.7 | |||||||||||||||
Purchase obligations | ||||||||||||||||||||
Advances | 1,059.2 | 16.3 | 2.1 | 7.5 | 1,085.1 | |||||||||||||||
Letters of credit | 1,536.6 | 129.0 | 21.8 | — | 1,687.4 | |||||||||||||||
Total contractual obligations | $ | 21,013.5 | $ | 16,732.3 | $ | 10,223.2 | $ | 6,787.1 | $ | 54,756.1 | ||||||||||
2005 | $ | 2.0 | ||
2006 | 168.2 | |||
2007 | 133.7 | |||
2008 | 16.4 | |||
2009 | 1.4 | |||
Thereafter | 5.4 | |||
Total | $ | 327.1 | ||
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(In millions of dollars, except percentages)
September 30, 2005 | December 31, 2004 | December 31, 2003 | ||||||||||||||||||||||
Required | Actual | Required | Actual | Required | Actual | |||||||||||||||||||
Risk-based capital | $ | 496 | $ | 3,113 | $ | 528 | $ | 2,846 | $ | 547 | $ | 2,666 | ||||||||||||
Total capital | $ | 2,770 | $ | 3,113 | $ | 2,584 | $ | 2,846 | $ | 2,336 | $ | 2,666 | ||||||||||||
Total capital-to-assets ratio | 4.00 | % | 4.49 | % | 4.00 | % | 4.40 | % | 4.00 | % | 4.56 | % | ||||||||||||
Leverage capital | $ | 3,462 | $ | 4,669 | $ | 3,230 | $ | 4,269 | $ | 2,921 | $ | 4,000 | ||||||||||||
Leverage capital-to-assets ratio | 5.00 | % | 6.74 | % | 5.00 | % | 6.61 | % | 5.00 | % | 6.85 | % |
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(at carrying value, in thousands of dollars)
December 31, | ||||||||||||
2004 | 2003 | 2002 | ||||||||||
U.S. government guaranteed obligations | $ | 178,869 | $ | 227,911 | $ | 275,383 | ||||||
State or local housing agency obligations | 7,825 | 8,890 | 9,825 | |||||||||
186,694 | 236,801 | 285,208 | ||||||||||
Mortgage-backed securities | ||||||||||||
U.S. government guaranteed obligations | 94,691 | 170,190 | 372,856 | |||||||||
Government-sponsored enterprises | 5,307,058 | 4,842,233 | 3,546,690 | |||||||||
Other | 1,675,890 | 1,761,301 | 1,848,871 | |||||||||
7,077,639 | 6,773,724 | 5,768,417 | ||||||||||
Total carrying value | $ | 7,264,333 | $ | 7,010,525 | $ | 6,053,625 | ||||||
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MATURITIES AND YIELD
(in thousands of dollars)
Book Value | Yield | |||||||
U.S. government guaranteed obligations | ||||||||
After one year through five years | $ | 60,215 | 2.51 | % | ||||
After five years through ten years | 11,198 | 4.48 | ||||||
After ten years | 107,456 | 2.72 | ||||||
$ | 178,869 | 2.76 | % | |||||
State or local housing agency obligations | ||||||||
After ten years | $ | 7,825 | 2.29 | % | ||||
$ | 7,825 | 2.29 | % | |||||
Mortgage-backed securities | ||||||||
Within one year | $ | 4 | 8.32 | % | ||||
After one year through five years | 469,197 | 6.20 | ||||||
After five years through ten years | 61,741 | 5.37 | ||||||
After ten years | 6,546,697 | 2.97 | ||||||
$ | 7,077,639 | 3.21 | % | |||||
(at carrying value, in thousands of dollars)
September 30, | December 31, | |||||||||||||||
2005 | 2004 | 2003 | 2002 | |||||||||||||
U.S. government guaranteed obligations | $ | — | $ | 81,115 | $ | 85,958 | $ | 90,822 | ||||||||
Government-sponsored enterprises(1) | 85,979 | 4,487,350 | 4,512,271 | 4,075,034 | ||||||||||||
FHLBank consolidated obligations(2) | ||||||||||||||||
FHLBank of Boston (primary obligor) | 36,008 | 37,251 | 38,055 | 38,881 | ||||||||||||
FHLBank of San Francisco (primary obligor) | 6,745 | 15,228 | 16,147 | 46,034 | ||||||||||||
FHLBank of Atlanta (primary obligor) | — | — | — | 10,318 | ||||||||||||
FHLBank of Pittsburgh (primary obligor) | — | — | — | 4,110 | ||||||||||||
FHLBank of Des Moines (primary obligor) | — | — | — | 2,831 | ||||||||||||
128,732 | 4,620,944 | 4,652,431 | 4,268,030 | |||||||||||||
Mortgage-backed securities | ||||||||||||||||
Government-sponsored enterprises | 705,163 | 904,562 | 1,019,345 | 1,207,420 | ||||||||||||
Other | 247,052 | 260,086 | 278,810 | 289,095 | ||||||||||||
952,215 | 1,164,648 | 1,298,155 | 1,496,515 | |||||||||||||
Total carrying value | $ | 1,080,947 | $ | 5,785,592 | $ | 5,950,586 | $ | 5,764,545 | ||||||||
(1) | The reduction from December 31, 2004 to September 30, 2005 was attributable to sales of securities that occurred during the third quarter of 2005. See section above entitled “Financial Condition — Investment Securities.” | |
(2) | Represents consolidated obligations acquired in the secondary market for which the named FHLBank is the primary obligor, and for which each of the FHLBanks, including the Bank, is jointly and severally liable. |
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(in thousands of dollars)
September 30, 2005 | December 31, 2004 | |||||||||||||||
Book Value | Yield | Book Value | Yield | |||||||||||||
U.S. government guaranteed obligations | ||||||||||||||||
Within one year | $ | — | — | % | $ | 51,355 | 8.81 | % | ||||||||
After ten years | — | — | 29,760 | 7.44 | ||||||||||||
$ | — | — | % | $ | 81,115 | 8.31 | % | |||||||||
Government-sponsored enterprises | ||||||||||||||||
Within one year | $ | 21,667 | 7.00 | % | $ | — | — | % | ||||||||
After one year through five years | — | — | 41,170 | 6.15 | ||||||||||||
After five years through ten years | — | — | 2,769,459 | 4.71 | ||||||||||||
After ten years | 64,312 | 14.10 | 1,676,721 | 6.36 | ||||||||||||
$ | 85,979 | 12.31 | % | $ | 4,487,350 | 5.34 | % | |||||||||
Other FHLBanks’ bonds | ||||||||||||||||
Within one year | $ | — | — | % | $ | 8,080 | 11.84 | % | ||||||||
After one year through five years | 42,753 | 6.20 | 44,399 | 6.36 | ||||||||||||
$ | 42,753 | 6.20 | % | $ | 52,479 | 7.20 | % | |||||||||
Mortgage-backed securities | ||||||||||||||||
Within one year | $ | 31,134 | 6.93 | % | $ | 8,150 | 6.60 | % | ||||||||
After one year through five years | 817,781 | 6.37 | 1,049,758 | 6.40 | ||||||||||||
After ten years | 103,300 | 6.75 | 106,740 | 6.75 | ||||||||||||
$ | 952,215 | 6.43 | % | $ | 1,164,648 | 6.43 | % | |||||||||
(at carrying value, in thousands of dollars)
December 31, | ||||||||||||
2004 | 2003 | 2002 | ||||||||||
Government-sponsored enterprises | $ | — | $ | — | $ | 29,703 | ||||||
FHLBank consolidated obligations(1) | ||||||||||||
FHLBank of Topeka (primary obligor) | — | — | 11,023 | |||||||||
Other bonds | — | 24,234 | 23,827 | |||||||||
— | 24,234 | 64,553 | ||||||||||
Mortgage-backed securities | ||||||||||||
Government-sponsored enterprises | 76,976 | 117,076 | 235,018 | |||||||||
Other mortgage-backed securities | — | 854 | 26,713 | |||||||||
76,976 | 117,930 | 261,731 | ||||||||||
Other | 1,607 | — | — | |||||||||
Total carrying value | $ | 78,583 | $ | 142,164 | $ | 326,284 | ||||||
(1) | Represents consolidated obligations acquired in the secondary market for which the named FHLBank is the primary obligor, and for which each of the FHLBanks, including the Bank, is jointly and severally liable. |
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(in thousands of dollars)
Book Value | Yield | |||||||
Mortgage-backed securities | ||||||||
After one year through five years | $ | 74,413 | 12.26 | % | ||||
After five years through ten years | 2,563 | 19.64 | ||||||
$ | 76,976 | 12.51 | % | |||||
Other | ||||||||
Within one year | $ | 1,607 | 1.53 | % | ||||
$ | 1,607 | 1.53 | % | |||||
(In thousands of dollars)
Year ended December 31, | ||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||
Advances | $ | 47,112,017 | $ | 40,595,327 | $ | 36,868,743 | $ | 32,490,457 | $ | 30,194,459 | ||||||||||
Real estate mortgages | $ | 706,203 | $ | 971,500 | $ | 1,395,913 | $ | 1,438,472 | $ | 1,382,493 | ||||||||||
Nonperforming real estate mortgages | $ | 938 | $ | 1,133 | $ | 796 | $ | 48 | $ | 3 | ||||||||||
Real estate mortgages past due 90 days or more and still accruing interest(1) | $ | 11,510 | $ | 19,975 | $ | 17,020 | $ | 28,840 | $ | 12,991 | ||||||||||
Interest contractually due during the year on nonaccrual loans | $ | 66 | ||||||||||||||||||
Interest actually received during the year on nonaccrual loans | $ | 25 | ||||||||||||||||||
(1) Only government guaranteed loans continue to accrue interest after they become ninety days past due. |
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(In thousands of dollars)
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||
Balance, beginning of year | $ | 387 | $ | 437 | $ | 311 | $ | 17 | $ | 2 | ||||||||||
Chargeoffs | (6 | ) | (23 | ) | — | — | — | |||||||||||||
Provision (reduction) for credit losses | (26 | ) | (27 | ) | 126 | 294 | 15 | |||||||||||||
Balance, end of year | $ | 355 | $ | 387 | $ | 437 | $ | 311 | $ | 17 | ||||||||||
GEOGRAPHIC CONCENTRATION OF MORTGAGE LOANS | ||||
Midwest (IA, IL, IN, MI, MN, ND, NE, OH, SD, and WI) | 12.1 | % | ||
Northeast (CT, DE, MA, ME, NH, NJ, NY, PA, PR, RI, VI, and VT) | 1.6 | |||
Southeast (AL, DC, FL, GA, KY, MD, MS, NC, SC, TN, VA, and WV) | 15.1 | |||
Southwest (AR, AZ, CO, KS, LA, MO, NM, OK, TX, and UT) | 67.9 | |||
West (AK, CA, GU, HI, ID, MT, NV, OR, WA, and WY) | 3.3 | |||
100.0 | % | |||
(In millions of dollars)
December 31, | ||||||||||||
2004 | 2003 | 2002 | ||||||||||
Outstanding at year end | $ | 7,086 | $ | 11,627 | $ | 12,873 | ||||||
Weighted average rate at year end | 2.15 | % | 1.10 | % | 1.43 | % | ||||||
Daily average outstanding for the year | $ | 8,548 | $ | 10,349 | $ | 9,018 | ||||||
Weighted average rate for the year | 1.38 | % | 1.19 | % | 1.73 | % | ||||||
Maximum outstanding at any month end | $ | 12,576 | $ | 14,413 | $ | 12,873 |
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(dollars in billions)
Up 200 Basis Points | Down 200 Basis Points | Up 100 Basis Points | Down 100 Basis Points | |||||||||||||||||||||||||||||||||
Base Case | Estimated | Percentage | Estimated | Percentage | Estimated | Percentage | Estimated | Percentage | ||||||||||||||||||||||||||||
Market | Market | Change | Market | Change | Market | Change | Market | Change | ||||||||||||||||||||||||||||
Value | Value | from | Value | from | Value | from | Value | from | ||||||||||||||||||||||||||||
of Equity | of Equity | Base Case | of Equity | Base Case | of Equity | Base Case | of Equity | Base Case | ||||||||||||||||||||||||||||
December 2003 | $ | 2.880 | $ | 2.651 | -7.95 | % | $ | 3.072 | 6.67 | % | $ | 2.782 | -3.40 | % | $ | 2.928 | 1.67 | % | ||||||||||||||||||
January 2004 | 2.831 | 2.592 | -8.44 | % | 3.030 | 7.03 | % | 2.727 | -3.67 | % | 2.893 | 2.19 | % | |||||||||||||||||||||||
February 2004 | 2.957 | 2.726 | -7.81 | % | 3.117 | 5.41 | % | 2.856 | -3.42 | % | 3.009 | 1.76 | % | |||||||||||||||||||||||
March 2004 | 3.044 | 2.840 | -6.70 | % | 3.216 | 5.65 | % | 2.956 | -2.89 | % | 3.078 | 1.12 | % | |||||||||||||||||||||||
April 2004 | 2.865 | 2.636 | -7.99 | % | 3.031 | 5.79 | % | 2.766 | -3.46 | % | 2.924 | 2.06 | % | |||||||||||||||||||||||
May 2004 | 2.938 | 2.680 | -8.78 | % | 3.111 | 5.89 | % | 2.821 | -3.98 | % | 3.017 | 2.69 | % | |||||||||||||||||||||||
June 2004 | 2.988 | 2.749 | -8.00 | % | 3.142 | 5.15 | % | 2.883 | -3.51 | % | 3.069 | 2.71 | % | |||||||||||||||||||||||
July 2004 | 2.881 | 2.647 | -8.12 | % | 3.021 | 4.86 | % | 2.778 | -3.57 | % | 2.956 | 2.60 | % | |||||||||||||||||||||||
August 2004 | 3.005 | 2.776 | -7.62 | % | 3.154 | 4.96 | % | 2.904 | -3.36 | % | 3.084 | 2.63 | % | |||||||||||||||||||||||
September 2004 | 3.088 | 2.892 | -6.35 | % | 3.205 | 3.79 | % | 3.002 | -2.79 | % | 3.151 | 2.04 | % | |||||||||||||||||||||||
October 2004 | 3.039 | 2.852 | -6.15 | % | 3.147 | 3.55 | % | 2.957 | -2.70 | % | 3.100 | 2.01 | % | |||||||||||||||||||||||
November 2004 | 3.071 | 2.863 | -6.77 | % | 3.185 | 3.71 | % | 2.981 | -2.93 | % | 3.135 | 2.08 | % | |||||||||||||||||||||||
December 2004 | 3.111 | 2.915 | -6.31 | % | 3.209 | 3.16 | % | 3.027 | -2.70 | % | 3.170 | 1.89 | % | |||||||||||||||||||||||
January 2005 | 3.109 | 2.927 | -5.85 | % | 3.190 | 2.61 | % | 3.032 | -2.47 | % | 3.160 | 1.65 | % | |||||||||||||||||||||||
February 2005 | 3.142 | 2.950 | -6.11 | % | 3.224 | 2.61 | % | 3.061 | -2.56 | % | 3.193 | 1.65 | % | |||||||||||||||||||||||
March 2005 | 3.177 | 2.978 | -6.26 | % | 3.256 | 2.49 | % | 3.094 | -2.63 | % | 3.228 | 1.61 | % | |||||||||||||||||||||||
April 2005 | 3.118 | 2.912 | -6.59 | % | 3.205 | 2.82 | % | 3.031 | -2.77 | % | 3.173 | 1.77 | % | |||||||||||||||||||||||
May 2005 | 3.185 | 2.974 | -6.61 | % | 3.286 | 3.17 | % | 3.096 | -2.80 | % | 3.246 | 1.92 | % | |||||||||||||||||||||||
June 2005 | 3.091 | 2.912 | -5.79 | % | 3.163 | 2.30 | % | 3.017 | -2.40 | % | 3.137 | 1.48 | % | |||||||||||||||||||||||
July 2005 | 3.040 | 2.851 | -6.22 | % | 3.115 | 2.47 | % | 2.962 | -2.56 | % | 3.088 | 1.57 | % | |||||||||||||||||||||||
August 2005 | 2.991 | 2.816 | -5.83 | % | 3.061 | 2.36 | % | 2.919 | -2.39 | % | 3.035 | 1.47 | % | |||||||||||||||||||||||
September 2005 | 3.092 | 2.964 | -4.15 | % | 3.093 | 0.02 | % | 3.046 | -1.50 | % | 3.104 | 0.39 | % |
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(Expressed in Years)
Base Case Interest Rates | ||||||||||||||||||||||||||||||||
Asset | Liability | Duration | Duration | Duration of Equity | ||||||||||||||||||||||||||||
Duration | Duration | Gap | of Equity | Up 100 | Up 200 | Down 100 | Down 200 | |||||||||||||||||||||||||
December 2003 | 0.67 | (0.56 | ) | 0.11 | 2.63 | 3.98 | 5.02 | 2.06 | 0.51 | |||||||||||||||||||||||
January 2004 | 0.69 | (0.56 | ) | 0.13 | 2.98 | 4.22 | 5.21 | 1.60 | 0.77 | |||||||||||||||||||||||
February 2004 | 0.65 | (0.53 | ) | 0.12 | 2.83 | 3.99 | 4.97 | 1.20 | 0.10 | |||||||||||||||||||||||
March 2004 | 0.63 | (0.54 | ) | 0.09 | 2.31 | 3.38 | 4.20 | 0.74 | (0.35 | ) | ||||||||||||||||||||||
April 2004 | 0.61 | (0.51 | ) | 0.11 | 2.46 | 4.00 | 4.77 | 1.75 | 0.56 | |||||||||||||||||||||||
May 2004 | 0.63 | (0.49 | ) | 0.14 | 3.30 | 4.45 | 5.20 | 3.39 | 1.46 | |||||||||||||||||||||||
June 2004 | 0.61 | (0.49 | ) | 0.12 | 2.98 | 4.15 | 4.96 | 2.07 | 1.24 | |||||||||||||||||||||||
July 2004 | 0.60 | (0.48 | ) | 0.12 | 2.89 | 4.08 | 4.98 | 2.01 | 1.03 | |||||||||||||||||||||||
August 2004 | 0.58 | (0.46 | ) | 0.12 | 2.89 | 3.86 | 4.82 | 1.93 | 0.75 | |||||||||||||||||||||||
September 2004 | 0.57 | (0.48 | ) | 0.09 | 2.34 | 3.19 | 4.00 | 1.52 | 0.38 | |||||||||||||||||||||||
October 2004 | 0.56 | (0.47 | ) | 0.09 | 2.25 | 3.07 | 3.88 | 1.50 | 0.27 | |||||||||||||||||||||||
November 2004 | 0.53 | (0.44 | ) | 0.09 | 2.45 | 3.43 | 4.40 | 1.71 | 0.73 | |||||||||||||||||||||||
December 2004 | 0.54 | (0.45 | ) | 0.09 | 2.24 | 3.16 | 4.09 | 1.48 | 0.67 | |||||||||||||||||||||||
January 2005 | 0.51 | (0.43 | ) | 0.08 | 2.04 | 3.03 | 4.06 | 1.28 | 0.77 | |||||||||||||||||||||||
February 2005 | 0.50 | (0.42 | ) | 0.08 | 2.08 | 3.14 | 4.24 | 1.27 | 0.84 | |||||||||||||||||||||||
March 2005 | 0.48 | (0.40 | ) | 0.08 | 2.06 | 3.24 | 4.38 | 1.20 | 0.73 | |||||||||||||||||||||||
April 2005 | 0.49 | (0.40 | ) | 0.09 | 2.22 | 3.41 | 4.61 | 1.38 | 0.97 | |||||||||||||||||||||||
May 2005 | 0.48 | (0.38 | ) | 0.10 | 2.29 | 3.40 | 4.62 | 1.55 | 1.27 | |||||||||||||||||||||||
June 2005 | 0.45 | (0.38 | ) | 0.07 | 1.93 | 2.98 | 4.16 | 1.12 | 0.89 | |||||||||||||||||||||||
July 2005 | 0.43 | (0.36 | ) | 0.07 | 1.87 | 3.48 | 4.45 | 1.03 | 0.80 | |||||||||||||||||||||||
August 2005 | 0.42 | (0.36 | ) | 0.07 | 1.75 | 3.26 | 4.08 | 1.01 | 0.84 | |||||||||||||||||||||||
September 2005 | 0.41 | (0.40 | ) | 0.02 | 0.79 | 2.40 | 3.26 | (0.20 | ) | (0.53 | ) |
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(Dollars in millions)
Credit | Number of | Notional | Maximum Credit | Collateral | Collateral | Net Exposure | ||||||||||||||||||
Rating(1) | Counterparties | Principal(2) | Exposure | Held | Due(3) | After Collateral | ||||||||||||||||||
September 30, 2005 | ||||||||||||||||||||||||
Aa(4) | 17 | $ | 42,441.6 | $ | — | $ | — | $ | — | $ | — | |||||||||||||
A | 2 | 4,967.6 | — | — | — | — | ||||||||||||||||||
Total | 19 | $ | 47,409.2 | $ | — | $ | — | $ | — | $ | — | |||||||||||||
December 31, 2004 | ||||||||||||||||||||||||
Aaa | 1 | $ | 3.4 | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Aa | 17 | 59,483.0 | 16.8 | 11.4 | 5.4 | — | ||||||||||||||||||
A | 2 | 4,878.4 | — | — | — | — | ||||||||||||||||||
Total | 20 | $ | 64,364.8 | $ | 16.8 | $ | 11.4 | $ | 5.4 | $ | — | |||||||||||||
December 31, 2003 | ||||||||||||||||||||||||
Aaa | 1 | $ | 6.7 | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Aa | 18 | 48,841.0 | 92.7 | 50.3 | 27.8 | 14.6 | ||||||||||||||||||
A | 2 | 6,308.1 | — | — | — | — | ||||||||||||||||||
Total | 21 | $ | 55,155.8 | $ | 92.7 | $ | 50.3 | $ | 27.8 | $ | 14.6 | |||||||||||||
(1) | Credit ratings provided by Moody’s. | |
(2) | Includes amounts that had not settled as of September 30, 2005 and December 31, 2004 and 2003. | |
(3) | Amount of collateral to which the Bank had contractual rights under counterparty credit agreements based on December 31, 2004 and 2003 credit exposures. Collateral valued at $4.8 million and $21.8 million was delivered under these agreements in January 2005 and January 2004, respectively. | |
(4) | The figures for Aa-rated counterparties as of September 30, 2005 include transactions with one counterparty that became affiliated with a member institution in 2005. Transactions with that counterparty as of September 30, 2005 had an aggregate notional principal of $2.6 billion and represented no credit exposure to the Bank as of that date. |
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Percentage of | ||||||||
Number of Shares | Outstanding Shares | |||||||
Name and Address of Beneficial Owner | Owned | Owned | ||||||
World Savings Bank, FSB Texas 2085 Westheimer Road, Houston, TX 77098 | 5,409,809 | 20.66 | % | |||||
Washington Mutual Bank (non-member) 400 East Main Street, Stockton, CA 95290 | 3,094,858 | 11.82 | % | |||||
Guaranty Bank 8333 Douglas Avenue, Dallas, TX 75225 | 2,996,983 | 11.45 | % |
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Number | Percentage of | |||||||||||
Bank Director Affiliated | of Shares | Outstanding | ||||||||||
Name and Address of Beneficial Owner | with Beneficial Owner | Owned | Shares Owned | |||||||||
Southside Bank 1201 South Beckham, Tyler, TX 75701 | Lee R. Gibson | 287,293 | 1.10 | % | ||||||||
Charter Bank 1881 St. Michael’s Drive, Santa Fe, NM 87501 | Robert Wertheim | 224,394 | * | |||||||||
Colonial Savings, F.A. 2600 West Freeway, Fort Worth, TX 76102 | James E. DuBose | 161,210 | * | |||||||||
State-Investors Bank 1041 Veterans Boulevard, Metairie, LA 70005 | Anthony S. Sciortino | 19,037 | * | |||||||||
Citizens National Bank of Bossier City 2711 East Texas Street, Bossier City, LA 71171 | Will C. Hubbard | 13,955 | * | |||||||||
Omnibank, N.A. 4328 Old Spanish Trail, Houston, TX 77021 | Chesley N. Brooks, Jr. | 12,690 | * | |||||||||
Texas Bank and Trust Company 300 East Whaley, Longview, TX 75601 | Howard R. Hackney | 12,074 | * | |||||||||
Pine Bluff National Bank 912 Poplar Street, Pine Bluff, AR 71601 | Charles G. Morgan, Jr. | 9,937 | * | |||||||||
First National Banker’s Bank 7813 Office Park Boulevard, Baton Rouge, LA 70809 | Will C. Hubbard | 7,848 | * | |||||||||
Planters Bank and Trust Company 212 Catchings Street, Indianola, MS 38751 | James H. Clayton | 7,224 | * | |||||||||
American National Bank 2732 Midwestern Parkway, Wichita Falls, TX 76308 | John B. Stahler | 6,838 | * | |||||||||
First-Lockhart National Bank 111 S. Main Street, Lockhart, TX 78644 | Melvin H. Johnson, Jr. | 2,170 | * | |||||||||
All Directors’ Financial Institutions as a group | 764,670 | 2.92 | % |
* | Indicates less than one percent ownership. |
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Director | Expiration of | Board | ||||||||||||||
Name | Age | Since | Term as Director | Committees | ||||||||||||
Chesley N. Brooks, Jr., Chairman (Elected) | 65 | 1998 | 2006 | (a | )(b)(c)(d)(e)(f) | |||||||||||
Mary E. Ceverha, Vice Chairman (Appointed) | 61 | 2004 | 2006 | (a | )(b)(c)(d)(e)(f) | |||||||||||
Sarah S. Agee (Appointed) | 60 | 2004 | 2006 | (a | )(d) | |||||||||||
Bobby L. Chain (Appointed) | 76 | 2004 | 2006 | (b | )(c) | |||||||||||
James H. Clayton (Elective directorship) | 54 | 2005 | 2007 | (d | )(e) | |||||||||||
James E. DuBose (Elected) | 49 | 2003 | 2006 | (a | )(c) | |||||||||||
Lee R. Gibson (Elected) | 49 | 2002 | 2008 | (b | )(c)(f) | |||||||||||
Howard R. Hackney (Elected) | 65 | 2003 | 2008 | (a | )(b) | |||||||||||
Will C. Hubbard (Elected) | 59 | 2002 | 2008 | (d | )(e)(f) | |||||||||||
Melvin H. Johnson, Jr. (Elected) | 63 | 2006 | 2008 | (d | )(e) | |||||||||||
Charles G. Morgan, Jr. (Elected) | 44 | 2004 | 2006 | (a | )(e) | |||||||||||
Anthony S. Sciortino (Elected) | 58 | 2003 | 2006 | (c | )(d)(f) | |||||||||||
John B. Stahler (Elected) | 57 | 2001 | 2007 | (a | )(b)(f) | |||||||||||
Robert Wertheim (Elected) | 72 | 2002 | 2007 | (c | )(e)(f) |
(a) | Member of Risk Management Committee | |
(b) | Member of Audit Committee | |
(c) | Member of Human Resources Committee | |
(d) | Member of Government Relations Committee | |
(e) | Member of Affordable Housing and Economic Development Committee | |
(f) | Member of Executive Committee |
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Name | Age | Position Held | Officer Since | |||||
Terry Smith | 49 | President and Chief Executive Officer | 1986 | |||||
Robert Brick | 54 | Senior Vice President and Chief Risk Officer | 2004 | |||||
Paul Joiner | 53 | Senior Vice President and Chief Strategy Officer | 1986 | |||||
Karen Krug | 47 | Senior Vice President, Chief Administrative Officer and Corporate Secretary | 2002 | |||||
Tom Lewis | 42 | Senior Vice President and Chief Accounting Officer | 2003 | |||||
Nancy Parker | 52 | Senior Vice President and Chief Information Officer | 1994 | |||||
Michael Sims | 40 | Senior Vice President, Chief Financial Officer and Treasurer | 1998 | |||||
Earl Willey | 57 | Vice President and Director of Internal Audit | 2003 |
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Annual Compensation | ||||||||||||||||
Other Annual | All Other | |||||||||||||||
Name and Principal Position | Salary ($) | Bonus ($) (1) | Compensation ($) | Compensation ($) | ||||||||||||
Terry Smith, President/Chief Executive Officer | 543,375 | — | 8,188 | (3) | 208,987 | (4) | ||||||||||
Nancy Parker, SVP/Chief Information Officer | 228,500 | — | — | 61,980 | (5) | |||||||||||
Michael Sims, SVP/Chief Financial Officer | 222,000 | — | — | 42,753 | (6) | |||||||||||
Tom Lewis, SVP/Chief Accounting Officer | 205,000 | 10,000 | (2) | — | 25,253 | (7) | ||||||||||
Paul Joiner, SVP/Chief Strategy Officer | 207,500 | — | — | 38,579 | (8) |
(1) | Performance bonuses earned by the Bank’s named executive officers for 2005 have not yet been determined by the Human Resources Committee of the Bank’s Board of Directors. | |
(2) | Represents a bonus award for work performed in connection with the Bank’s SEC registration efforts. | |
(3) | Represents amounts reimbursed for the payment of taxes. | |
(4) | Includes $153,260 of Bank contributions to qualified and non-qualified vested and unvested defined contribution plans, $52,727 of payouts for unused vacation and sick leave and $3,000 relating to the termination of an annuity benefit option that was available to the executive officer under the terms of a prior non-qualified defined contribution plan. | |
(5) | Includes $39,489 of Bank contributions to qualified and non-qualified vested and unvested defined contribution plans, and $22,491 of payouts for unused vacation and sick leave. | |
(6) | Includes $21,844 of Bank contributions to qualified and non-qualified vested and unvested defined contribution plans, and $20,909 of payouts for unused vacation and sick leave. | |
(7) | Includes $12,630 of Bank contributions to qualified and non-qualified vested and unvested defined contribution plans, and $12,623 of payouts for unused vacation. | |
(8) | Includes $23,825 of Bank contributions to qualified and non-qualified vested and unvested defined contribution plans, $11,754 of payouts for unused vacation and sick leave and $3,000 relating to the termination of an annuity benefit option that was available to the executive officer under the terms of a prior non-qualified defined contribution plan. |
Years of Service | ||||||||||||||||||||
Officer | 15 | 20 | 25 | 30 | 35 | |||||||||||||||
Terry Smith | $ | 94,500 | $ | 120,750 | $ | 141,750 | $ | 162,750 | $ | 162,750 | ||||||||||
Nancy Parker | 94,500 | 118,650 | 139,650 | 160,650 | 160,650 | |||||||||||||||
Michael Sims | 91,350 | 112,350 | 133,350 | 154,350 | 154,350 | |||||||||||||||
Tom Lewis | 64,050 | 85,050 | 106,050 | 127,050 | 127,050 | |||||||||||||||
Paul Joiner | 94,500 | 124,950 | 145,950 | 166,950 | 166,950 |
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• | The pension plan is a qualified defined benefit plan and is therefore subject to the Internal Revenue Service (“IRS”) maximum compensation limit, which for 2005 was $210,000 per year. The regular form of retirement benefit is a straight-life annuity that includes a lump-sum death benefit. The normal retirement age is 65, but the plan provides for an unreduced retirement benefit beginning at age 60 (if hired prior to July 1, 2003) or age 62 (if hired on or after July 1, 2003). The Bank does not have a supplemental defined benefit plan that covers compensation in excess of the IRS maximum limit; accordingly, the above table reflects the estimated pension benefits payable to the named executive officers based solely on the IRS compensation limit as the compensation of all named executive officers exceeded such limit. | ||
• | Compensation covered by the plan includes taxable compensation as reported on the named executive officer’s W-2 (exclusive of any compensation deferred from a prior year) plus any pre-tax contributions to the Bank’s Section 401(k) plan and/or Section 125 cafeteria plan, subject to the 2005 IRS limitation of $210,000 per year. The benefit is computed as: | ||
Starting July 1, 2003 — 2 percent x years of service x high three-year average compensation (consecutive years) | |||
Prior to July 1, 2003 — 3 percent x years of service x high three-year average compensation (consecutive years) | |||
The estimated annual pension benefits set forth above for each named executive officer were calculated based upon the 2005 IRS compensation limit of $210,000 per year. From time to time, the IRS will increase the maximum compensation limit for qualified plans; future increases, if any, would be expected to increase the estimated annual benefits payable to the named executive officers. For 2006, the maximum compensation limit was increased to $220,000 per year. | |||
• | The pension plan limits the maximum years of benefit service (both prior to July 1, 2003 and after July 1, 2003) to 30 years. | ||
• | As of December 31, 2005, the approximate credited years of service for the named executive officers were as follows: |
Terry Smith | 20 years | |||
Nancy Parker | 19 years | |||
Michael Sims | 16 years | |||
Tom Lewis | 3 years | |||
Paul Joiner | 22 years |
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Terry Smith | $245,000 (of which approximately $125,000 vests in 2010) | |||
Nancy Parker | $ | 59,000 | ||
Michael Sims | $ | 20,000 | ||
Tom Lewis | $ | 14,000 | ||
Paul Joiner | $ | 25,000 |
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(dollars in thousands)
2005 | 2004 | 2003 | ||||||||||||||||||||||
Annualized | Annualized | Annualized | ||||||||||||||||||||||
Amount(1) | Rate(3) | Amount(2) | Rate(3) | Amount | Rate(3) | |||||||||||||||||||
First Quarter | $ | 20,550 | 2.95 | % | $ | 10,012 | 1.50 | % | $ | 15,419 | 2.50 | % | ||||||||||||
Second Quarter | 24,373 | 3.44 | 10,131 | 1.50 | 16,147 | 2.50 | ||||||||||||||||||
Third Quarter | 28,342 | 3.93 | 13,271 | 1.92 | 13,615 | 2.00 | ||||||||||||||||||
Fourth Quarter | 17,190 | 2.44 | 13,559 | 2.00 |
(1) | Amount includes (in thousands) $2,350, $2,813 and $3,234 of dividends paid on mandatorily redeemable capital stock for the first, second and third quarters, respectively. For financial reporting purposes, these dividends were classified as interest expense. | |
(2) | Amounts include (in thousands) $1,481, $1,492, $1,664 and $2,006 of dividends paid on mandatorily redeemable capital stock for the first, second, third and fourth quarters, respectively. For financial reporting purposes, these dividends were classified as interest expense. | |
(3) | Reflects the annualized rate paid on all of the Bank’s average capital stock outstanding regardless of its classification for financial reporting purposes as either capital stock or mandatorily redeemable capital stock. |
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Minimum | Current | Maximum | ||||
Investment Requirement | Amount | Amount | Amount | |||
Membership Investment Requirement | ||||||
Percent of each member’s total assets | 0.05% | 0.14%(1) | 0.30% | |||
Maximum membership investment requirement | $10 million | $25 million | $50 million | |||
Activity-Based Investment Requirement | ||||||
Advances(percent of advances outstanding) | 3.5% | 4.25%(2) | 5.0% | |||
AMA(percent of outstanding principal balance of MPF loans delivered under master commitments executed after conversion to the new capital structure — or delivered under master commitments executed prior to the conversion that stipulate they will be subject to the new AMA investment requirements — and retained by the Bank). Since the conversion to the Bank’s capital plan on September 2, 2003, there have been no MPF loans that have met these criteria. | 0.0% | 4.25%(2) | 5.0% |
(1) Reduced to 0.09 percent effective November 1, 2005 as discussed below. | ||
(2) Reduced to 4.10 percent effective November 1, 2005 as discussed below. |
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(unaudited; in thousands)
Nine Months Ended September 30, 2005 | ||||||||||||||||||||
First Quarter | ||||||||||||||||||||
Previously | As | Second | Third | |||||||||||||||||
Reported | Restated | Quarter | Quarter | Total | ||||||||||||||||
Interest income | $ | 459,578 | $ | 471,321 | $ | 538,119 | $ | 626,693 | $ | 1,636,133 | ||||||||||
Net interest income | 45,398 | 54,728 | 58,518 | 55,934 | 169,180 | |||||||||||||||
Other income (loss) | ||||||||||||||||||||
Net loss on trading securities | (2,096 | ) | (2,096 | ) | (337 | ) | (1,315 | ) | (3,748 | ) | ||||||||||
Net realized and unrealized gains (losses) on derivatives and hedging activities | (8,026 | ) | (9,259 | ) | (139,458 | ) | 81,439 | (67,278 | ) | |||||||||||
Gain on early extinguishment of debt | 1,088 | 224 | 609 | 2,367 | 3,200 | |||||||||||||||
Net gains on sales of available-for-sale securities | — | — | — | 218,849 | 218,849 | |||||||||||||||
Other, net | 1,342 | 1,342 | 1,322 | 1,472 | 4,136 | |||||||||||||||
Other expense | 10,488 | 10,488 | 11,260 | 11,923 | 33,671 | |||||||||||||||
Net income | 19,814 | 25,129 | (66,785 | ) | 254,561 | 212,905 |
Year Ended December 31, 2004 | ||||||||||||||||||||||||||||||||||||||||
First Quarter | Second Quarter | Third Quarter | Fourth Quarter | Total | ||||||||||||||||||||||||||||||||||||
Previously | As | Previously | As | Previously | As | Previously | As | Previously | As | |||||||||||||||||||||||||||||||
Reported | Restated | Reported | Restated | Reported | Restated | Reported | Restated | Reported | Restated | |||||||||||||||||||||||||||||||
Interest income | $ | 266,299 | $ | 279,125 | $ | 265,626 | $ | 282,023 | $ | 324,009 | $ | 338,922 | $ | 386,577 | $ | 399,997 | $ | 1,242,511 | $ | 1,300,067 | ||||||||||||||||||||
Net interest income | 47,016 | 55,446 | 40,688 | 53,428 | 46,165 | 58,230 | 43,506 | 53,672 | 177,375 | 220,776 | ||||||||||||||||||||||||||||||
Other income (loss) | ||||||||||||||||||||||||||||||||||||||||
Net loss on trading securities | (694 | ) | (694 | ) | (3,640 | ) | (3,640 | ) | (923 | ) | (923 | ) | (2,603 | ) | (2,603 | ) | (7,860 | ) | (7,860 | ) | ||||||||||||||||||||
Net realized and unrealized losses on derivatives and hedging activities | (7,135 | ) | (64,194 | ) | (10,801 | ) | 74,670 | (4,812 | ) | (86,037 | ) | (5,856 | ) | (15,675 | ) | (28,604 | ) | (91,236 | ) | |||||||||||||||||||||
Gain on early extinguishment of debt | — | — | 3,651 | 1,414 | — | — | — | 3,651 | 1,414 | |||||||||||||||||||||||||||||||
Other, net | 1,223 | 1,223 | 1,318 | 1,318 | 1,218 | 1,218 | 1,237 | 1,237 | 4,996 | 4,996 | ||||||||||||||||||||||||||||||
Other expense | 11,655 | 10,031 | 9,358 | 9,358 | 9,800 | 9,800 | 10,170 | 10,170 | 40,983 | 39,359 | ||||||||||||||||||||||||||||||
Net income | 21,004 | (13,530 | ) | 15,948 | 86,460 | 23,265 | (27,547 | ) | 19,029 | 19,284 | 79,246 | 64,667 |
Year Ended December 31, 2003 | ||||||||||||||||||||||||||||||||||||||||
First Quarter | Second Quarter | Third Quarter | Fourth Quarter | Total | ||||||||||||||||||||||||||||||||||||
Previously | As | Previously | As | Previously | As | Previously | As | Previously | As | |||||||||||||||||||||||||||||||
Reported | Restated | Reported | Restated | Reported | Restated | Reported | Restated | Reported | Restated | |||||||||||||||||||||||||||||||
Interest income | $ | 287,868 | $ | 303,544 | $ | 275,651 | $ | 293,135 | $ | 265,812 | $ | 283,527 | $ | 259,556 | $ | 276,279 | $ | 1,088,887 | $ | 1,156,485 | ||||||||||||||||||||
Net interest income | 41,062 | 46,665 | 39,691 | 47,728 | 50,830 | 60,492 | 43,056 | 55,361 | 174,639 | 210,246 | ||||||||||||||||||||||||||||||
Other income (loss) | ||||||||||||||||||||||||||||||||||||||||
Net loss on trading securities | (1,828 | ) | (1,828 | ) | (3,889 | ) | (3,889 | ) | (4,794 | ) | (4,794 | ) | (2,216 | ) | (2,216 | ) | (12,727 | ) | (12,727 | ) | ||||||||||||||||||||
Net realized and unrealized gains (losses) on derivatives and hedging activities | (6,522 | ) | (13,921 | ) | (5,853 | ) | (79,649 | ) | 2,122 | 61,276 | (1,449 | ) | 17,172 | (11,702 | ) | (15,122 | ) | |||||||||||||||||||||||
Other, net | 1,178 | 1,178 | 1,420 | 1,420 | 1,585 | 1,585 | 1,039 | 1,039 | 5,222 | 5,222 | ||||||||||||||||||||||||||||||
Other expense | 6,650 | 6,796 | 9,359 | 9,505 | 8,249 | 8,395 | 8,984 | 9,129 | 33,242 | 33,825 | ||||||||||||||||||||||||||||||
Net income | 19,992 | 18,565 | 16,169 | (32,251 | ) | 30,529 | 80,980 | 23,102 | 45,717 | 89,792 | 113,011 |
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(a) | Financial Statements | |
Included herein on pages F-1 through F-73. |
(b) | Exhibits |
3.1 | Organization Certificate of the Registrant. | |||||
3.2 | By-Laws of the Registrant. | |||||
4.1 | Amended and Revised Capital Plan of the Registrant, dated June 24, 2004. | |||||
10.1 | Deferred Compensation Plan of the Registrant, effective July 24, 2004 (governs deferrals made prior to January 1, 2005). | |||||
10.2 | Deferred Compensation Plan of the Registrant for Deferrals Effective January 1, 2005. | |||||
10.3 | Non-Qualified Deferred Compensation Plan for the Board of Directors of the Registrant, effective July 24, 2004 (governs deferrals made prior to January 1, 2005). | |||||
10.4 | Non-Qualified Deferred Compensation Plan for the Board of Directors of the Registrant for Deferrals Effective January 1, 2005. | |||||
10.5 | Form of Special Non-Qualified Deferred Compensation Plan of the Registrant, effective as of January 1, 2004. | |||||
12.1 | Computation of Ratio of Earnings to Fixed Charges. |
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Federal Home Loan Bank of Dallas | ||
February 14, 2006 | By /s/ Terry Smith | |
Date | Terry Smith President and Chief Executive Officer |
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Page No. | ||||
Annual Audited Financial Statements (All Periods Restated): | ||||
F-2 | ||||
F-3 | ||||
F-4 | ||||
F-5 | ||||
F-6 | ||||
F-7 | ||||
Interim Unaudited Financial Statements (2004 Restated): | ||||
F-54 | ||||
F-55 | ||||
F-56 | ||||
F-57 | ||||
F-58 |
F-1
Table of Contents
the Federal Home Loan Bank of Dallas
March 15, 2005, except for Note 2, as to which the date is February 14, 2006
F-2
Table of Contents
December 31, | ||||||||
2004 | 2003 | |||||||
(restated) | (restated) | |||||||
ASSETS | ||||||||
Cash and due from banks (Note 4) | $ | 44,231 | $ | 163,609 | ||||
Interest-bearing deposits (Note 17) | 631,398 | 302,582 | ||||||
Federal funds sold (Notes 18 and 19) | 2,680,000 | 2,957,000 | ||||||
Trading securities (Note 5) | 78,583 | 142,164 | ||||||
Available-for-sale securities (a) (Notes 6 and 19) | 5,785,592 | 5,950,586 | ||||||
Held-to-maturity securities (b) (Note 7) | 7,264,333 | 7,010,525 | ||||||
Advances (Notes 8 and 18) | 47,112,017 | 40,595,327 | ||||||
Mortgage loans held for portfolio, net of allowance for credit losses of $355 and $387 in 2004 and 2003, respectively (Notes 10 and 18) | 706,203 | 971,500 | ||||||
Accrued interest receivable | 208,301 | 174,133 | ||||||
Premises and equipment, net | 27,313 | 25,426 | ||||||
Derivative assets (Note 15) | 17,619 | 71,824 | ||||||
Excess REFCORP contributions (Note 1) | 25,174 | 20,073 | ||||||
Other assets | 31,586 | 32,160 | ||||||
TOTAL ASSETS | $ | 64,612,350 | $ | 58,416,909 | ||||
LIABILITIES AND CAPITAL | ||||||||
Deposits (Notes 11 and 18) | ||||||||
Interest-bearing | ||||||||
Demand and overnight | $ | 1,710,101 | $ | 1,964,523 | ||||
Term | 283,090 | 149,807 | ||||||
Other | 11,438 | 48,474 | ||||||
Non-interest bearing | ||||||||
Demand and overnight | 124 | 2,832 | ||||||
Other | 56 | 58 | ||||||
Total deposits | 2,004,809 | 2,165,694 | ||||||
Consolidated obligations, net (Note 12) | ||||||||
Discount notes | 7,085,710 | 11,627,075 | ||||||
Bonds | 51,452,135 | 40,679,238 | ||||||
Total consolidated obligations, net | 58,537,845 | 52,306,313 | ||||||
Mandatorily redeemable capital stock (Notes 3 and 13) | 327,121 | — | ||||||
Accrued interest payable | 331,154 | 331,991 | ||||||
Affordable Housing Program (Note 9) | 20,703 | 22,610 | ||||||
Derivative liabilities (Note 15) | 658,767 | 636,035 | ||||||
Other liabilities | 43,841 | 152,344 | ||||||
Total liabilities | 61,924,240 | 55,614,987 | ||||||
Commitments and contingencies (Notes 8, 9, 12, 14, 15 and 17) | ||||||||
CAPITAL (Notes 13 and 18) | ||||||||
Capital stock — Class B putable ($100 par value) issued and outstanding shares: | ||||||||
24,927,894 and 26,611,331 shares in 2004 and 2003, respectively | 2,492,789 | 2,661,133 | ||||||
Retained earnings | 25,920 | 5,214 | ||||||
Accumulated other comprehensive income | ||||||||
Net unrealized gains on available-for-sale securities, net of unrealized gains relating to hedged interest rate risk included in net income (Notes 6 and 15) | 169,401 | 135,575 | ||||||
Total capital | 2,688,110 | 2,801,922 | ||||||
TOTAL LIABILITIES AND CAPITAL | $ | 64,612,350 | $ | 58,416,909 | ||||
(a) | Amortized cost: $5,616,191 and $5,815,011 at December 31, 2004 and 2003, respectively. | |
(b) | Fair values: $7,358,647 and $7,115,852 at December 31, 2004 and 2003, respectively. |
F-3
Table of Contents
For the Years Ended December 31, | ||||||||||||
2004 | 2003 | 2002 | ||||||||||
(restated) | (restated) | (restated) | ||||||||||
INTEREST INCOME | ||||||||||||
Advances | $ | 868,075 | $ | 725,370 | $ | 840,423 | ||||||
Prepayment fees on advances, net | 7,440 | 10,517 | 4,288 | |||||||||
Interest-bearing deposits | 6,832 | 6,303 | 4,688 | |||||||||
Federal funds sold | 32,546 | 32,240 | 47,947 | |||||||||
Trading securities | 11,918 | 23,920 | 36,231 | |||||||||
Available-for-sale securities | 154,876 | 138,660 | 152,261 | |||||||||
Held-to-maturity securities | 170,746 | 146,885 | 153,989 | |||||||||
Mortgage loans held for portfolio | 47,026 | 71,913 | 91,909 | |||||||||
Other | 608 | 677 | 849 | |||||||||
Total interest income | 1,300,067 | 1,156,485 | 1,332,585 | |||||||||
INTEREST EXPENSE | ||||||||||||
Consolidated obligations | ||||||||||||
Bonds | 924,184 | 794,629 | 913,742 | |||||||||
Discount notes | 119,477 | 122,688 | 156,159 | |||||||||
Deposits | 28,829 | 28,864 | 40,493 | |||||||||
Mandatorily redeemable capital stock | 6,643 | — | — | |||||||||
Other borrowings | 158 | 58 | 55 | |||||||||
Total interest expense | 1,079,291 | 946,239 | 1,110,449 | |||||||||
NET INTEREST INCOME | 220,776 | 210,246 | 222,136 | |||||||||
Provision (reduction) for credit losses on mortgage loans | (26 | ) | (27 | ) | 126 | |||||||
NET INTEREST INCOME AFTER MORTGAGE LOAN LOSS PROVISION | 220,802 | 210,273 | 222,010 | |||||||||
OTHER INCOME (LOSS) | ||||||||||||
Service fees | 2,470 | 2,137 | 2,545 | |||||||||
Net gain (loss) on trading securities | (7,860 | ) | (12,727 | ) | 9,945 | |||||||
Net realized and unrealized losses on derivatives and hedging activities | (91,236 | ) | (15,122 | ) | (269,246 | ) | ||||||
Gain on early extinguishment of debt | 1,414 | — | — | |||||||||
Other, net | 2,526 | 3,085 | 536 | |||||||||
Total other income (loss) | (92,686 | ) | (22,627 | ) | (256,220 | ) | ||||||
OTHER EXPENSE | ||||||||||||
Salaries and benefits | 18,720 | 16,774 | 14,725 | |||||||||
Other operating expenses | 17,367 | 14,152 | 16,655 | |||||||||
Finance Board | 1,862 | 1,579 | 1,423 | |||||||||
Office of Finance | 1,410 | 1,320 | 1,419 | |||||||||
Total other expense | 39,359 | 33,825 | 34,222 | |||||||||
INCOME (LOSS) BEFORE ASSESSMENTS | 88,757 | 153,821 | (68,432 | ) | ||||||||
Affordable Housing Program | 7,923 | 12,557 | (5,586 | ) | ||||||||
REFCORP | 16,167 | 28,253 | (12,570 | ) | ||||||||
Total assessments | 24,090 | 40,810 | (18,156 | ) | ||||||||
NET INCOME (LOSS) | $ | 64,667 | $ | 113,011 | $ | (50,276 | ) | |||||
F-4
Table of Contents
(Restated) | ||||||||||||||||||||||||||||||||||||
Retained | Accumulated | |||||||||||||||||||||||||||||||||||
Capital Stock | Capital Stock - | Total | Earnings | Other | ||||||||||||||||||||||||||||||||
Class B - Putable | Putable | Capital Stock | (Accumulated | Comprehensive | Total | |||||||||||||||||||||||||||||||
Shares | Par Value | Shares | Par Value | Shares Par Value | Deficit) | Income (Loss) | Capital | |||||||||||||||||||||||||||||
BALANCE, JANUARY 1, 2002 | ||||||||||||||||||||||||||||||||||||
As previously reported | — | $ | — | 21,426 | $ | 2,142,596 | 21,426 | $ | 2,142,596 | $ | 70,883 | $ | 2,881 | $ | 2,216,360 | |||||||||||||||||||||
Restatement (Note 2) | — | — | — | — | — | — | (1,016 | ) | 53,119 | 52,103 | ||||||||||||||||||||||||||
BALANCE, JANUARY 1, 2002 (RESTATED) | — | — | 21,426 | 2,142,596 | 21,426 | 2,142,596 | 69,867 | 56,000 | 2,268,463 | |||||||||||||||||||||||||||
Proceeds from sale of capital stock | — | — | 3,918 | 391,793 | 3,918 | 391,793 | — | — | 391,793 | |||||||||||||||||||||||||||
Repurchase/redemption of capital stock | — | — | (1,323 | ) | (132,350 | ) | (1,323 | ) | (132,350 | ) | — | — | (132,350 | ) | ||||||||||||||||||||||
Comprehensive income | ||||||||||||||||||||||||||||||||||||
Net loss | — | — | — | — | — | — | (50,276 | ) | — | (50,276 | ) | |||||||||||||||||||||||||
Other comprehensive income | ||||||||||||||||||||||||||||||||||||
Net unrealized gains on available-for-sale securities | — | — | — | — | — | — | — | 124,047 | 124,047 | |||||||||||||||||||||||||||
Total comprehensive income | — | — | — | — | — | — | — | — | 73,771 | |||||||||||||||||||||||||||
Dividends on capital stock | ||||||||||||||||||||||||||||||||||||
Cash | — | — | — | — | — | — | (169 | ) | — | (169 | ) | |||||||||||||||||||||||||
Stock | — | — | 684 | 68,479 | 684 | 68,479 | (68,479 | ) | — | — | ||||||||||||||||||||||||||
BALANCE, DECEMBER 31, 2002 | — | — | 24,705 | 2,470,518 | 24,705 | 2,470,518 | (49,057 | ) | 180,047 | 2,601,508 | ||||||||||||||||||||||||||
Proceeds from sale of capital stock | 1,874 | 187,448 | 2,690 | 269,016 | 4,564 | 456,464 | — | — | 456,464 | |||||||||||||||||||||||||||
Repurchase/redemption of capital stock | (2,322 | ) | (232,233 | ) | (922 | ) | (92,182 | ) | (3,244 | ) | (324,415 | ) | — | — | (324,415 | ) | ||||||||||||||||||||
Comprehensive income | ||||||||||||||||||||||||||||||||||||
Net income | — | — | — | — | — | — | 113,011 | — | 113,011 | |||||||||||||||||||||||||||
Other comprehensive income (loss) | ||||||||||||||||||||||||||||||||||||
Net unrealized losses on available-for-sale securities | — | — | — | — | — | — | — | (44,472 | ) | (44,472 | ) | |||||||||||||||||||||||||
Total comprehensive income | — | — | — | — | — | — | — | — | 68,539 | |||||||||||||||||||||||||||
Conversion to Class B shares | 26,788 | 2,678,832 | (26,788 | ) | (2,678,832 | ) | — | — | — | — | — | |||||||||||||||||||||||||
Dividends on capital stock | ||||||||||||||||||||||||||||||||||||
Cash | — | — | — | — | — | — | (174 | ) | — | (174 | ) | |||||||||||||||||||||||||
Stock | 271 | 27,086 | 315 | 31,480 | 586 | 58,566 | (58,566 | ) | — | — | ||||||||||||||||||||||||||
BALANCE, DECEMBER 31, 2003 | 26,611 | 2,661,133 | — | — | 26,611 | 2,661,133 | 5,214 | 135,575 | 2,801,922 | |||||||||||||||||||||||||||
Proceeds from sale of capital stock | 8,368 | 836,817 | — | — | 8,368 | 836,817 | — | — | 836,817 | |||||||||||||||||||||||||||
Repurchase/redemption of capital stock | (6,418 | ) | (641,843 | ) | — | — | (6,418 | ) | (641,843 | ) | — | — | (641,843 | ) | ||||||||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock | (4,071 | ) | (407,080 | ) | — | — | (4,071 | ) | (407,080 | ) | — | — | (407,080 | ) | ||||||||||||||||||||||
Comprehensive income | ||||||||||||||||||||||||||||||||||||
Net income | — | — | — | — | — | — | 64,667 | — | 64,667 | |||||||||||||||||||||||||||
Other comprehensive income | ||||||||||||||||||||||||||||||||||||
Net unrealized gains on available-for-sale securities | — | — | — | — | — | — | — | 33,826 | 33,826 | |||||||||||||||||||||||||||
Total comprehensive income | — | — | — | — | — | — | — | — | 98,493 | |||||||||||||||||||||||||||
Dividends on capital stock | ||||||||||||||||||||||||||||||||||||
Cash | — | — | — | — | — | — | (173 | ) | — | (173 | ) | |||||||||||||||||||||||||
Mandatorily redeemable capital stock | — | — | — | — | — | — | (26 | ) | — | (26 | ) | |||||||||||||||||||||||||
Stock | 438 | 43,762 | — | — | 438 | 43,762 | (43,762 | ) | — | — | ||||||||||||||||||||||||||
BALANCE, DECEMBER 31, 2004 | 24,928 | $ | 2,492,789 | — | $ | — | 24,928 | $ | 2,492,789 | $ | 25,920 | $ | 169,401, | $ | 2,688,110 | |||||||||||||||||||||
F-5
Table of Contents
For the Years Ended December 31, | ||||||||||||
2004 | 2003 | 2002 | ||||||||||
(restated) | (restated) | (restated) | ||||||||||
OPERATING ACTIVITIES | ||||||||||||
Net income (loss) | $ | 64,667 | $ | 113,011 | $ | (50,276 | ) | |||||
Adjustments to reconcile net income (loss) to net cash provided by operating activities | ||||||||||||
Depreciation and amortization | ||||||||||||
Net premiums and discounts on consolidated obligations, investments and mortgage loans | 3,648 | 7,173 | 6,874 | |||||||||
Concessions on consolidated obligation bonds | 20,864 | 40,426 | 33,043 | |||||||||
Premises, equipment and computer software costs | 3,204 | 3,165 | 5,640 | |||||||||
Provision (reduction) for credit losses on mortgage loans | (26 | ) | (27 | ) | 126 | |||||||
Non-cash interest on mandatorily redeemable capital stock | 6,639 | — | — | |||||||||
Decrease in trading securities | 63,581 | 184,120 | 107,459 | |||||||||
Loss (gain) due to change in net fair value adjustment on derivative and hedging activities | 15,165 | (90,605 | ) | 166,827 | ||||||||
Gain on extinguishment of debt | (1,414 | ) | — | — | ||||||||
Net realized loss (gain) on disposal of premises and equipment | 103 | (5 | ) | 5 | ||||||||
Decrease (increase) in accrued interest receivable | (34,168 | ) | 7,778 | (24,637 | ) | |||||||
Decrease (increase) in derivative asset-net accrued interest | (15,626 | ) | 63,447 | 82,106 | ||||||||
Increase (decrease) in derivative liability-net accrued interest | 46,115 | 4,082 | (3,139 | ) | ||||||||
Increase in other assets | (1,150 | ) | (745 | ) | (803 | ) | ||||||
Increase (decrease) in Affordable Housing Program (AHP) liability | (1,907 | ) | 4,234 | (21,095 | ) | |||||||
Decrease in accrued interest payable | (837 | ) | (87,784 | ) | (51,158 | ) | ||||||
Decrease (increase) in excess REFCORP contributions | (5,101 | ) | 9,394 | (37,487 | ) | |||||||
Increase (decrease) in other liabilities | (33,504 | ) | 565 | 28,522 | ||||||||
Total adjustments | 65,586 | 145,218 | 292,283 | |||||||||
Net cash provided by operating activities | 130,253 | 258,229 | 242,007 | |||||||||
INVESTING ACTIVITIES | ||||||||||||
Net decrease (increase) in interest-bearing deposits | (328,816 | ) | 218,789 | (347,618 | ) | |||||||
Net decrease (increase) in federal funds sold | 277,000 | 488,000 | (1,264,000 | ) | ||||||||
Net decrease in short-term held-to-maturity securities | — | — | 600,000 | |||||||||
Proceeds from maturities of available-for-sale securities | 140,185 | 463,151 | 286,217 | |||||||||
Purchases of available-for-sale securities | — | (820,615 | ) | (1,909,714 | ) | |||||||
Proceeds from maturities of long-term held-to-maturity securities | 1,895,787 | 3,622,326 | 1,852,298 | |||||||||
Purchases of long-term held-to-maturity securities | (2,224,610 | ) | (4,503,921 | ) | (3,385,583 | ) | ||||||
Principal collected on advances | 561,819,635 | 870,728,348 | 765,151,276 | |||||||||
Advances made | (568,489,161 | ) | (874,586,768 | ) | (769,294,190 | ) | ||||||
Principal collected on mortgage loans held for portfolio | 260,241 | 658,041 | 592,819 | |||||||||
Purchases of mortgage loans held for portfolio | — | (239,066 | ) | (553,162 | ) | |||||||
Purchases of premises and equipment | (4,212 | ) | (1,624 | ) | (1,591 | ) | ||||||
Net cash used in investing activities | (6,653,951 | ) | (3,973,339 | ) | (8,273,248 | ) | ||||||
FINANCING ACTIVITIES | ||||||||||||
Net increase (decrease) in deposits | (160,885 | ) | (475,783 | ) | 34,720 | |||||||
Net proceeds from issuance of consolidated obligations | ||||||||||||
Discount notes | 67,039,196 | 111,224,531 | 179,155,036 | |||||||||
Bonds | 29,559,986 | 47,350,091 | 30,551,031 | |||||||||
Debt issuance costs | (16,765 | ) | (39,600 | ) | (30,934 | ) | ||||||
Proceeds from assumption of debt from other FHLBanks | 371,211 | 5,692,890 | 30,108 | |||||||||
Payments for maturing and retiring consolidated obligations | ||||||||||||
Discount notes | (71,583,269 | ) | (117,312,423 | ) | (172,880,200 | ) | ||||||
Bonds | (18,913,331 | ) | (42,859,225 | ) | (28,968,806 | ) | ||||||
Proceeds from issuance of capital stock | 836,817 | 456,464 | 391,793 | |||||||||
Payments for redemption of mandatorily redeemable capital stock | (86,624 | ) | — | — | ||||||||
Payments for repurchase/redemption of capital stock | (641,843 | ) | (324,415 | ) | (132,350 | ) | ||||||
Cash dividends paid | (173 | ) | (174 | ) | (169 | ) | ||||||
Net cash provided by financing activities | 6,404,320 | 3,712,356 | 8,150,229 | |||||||||
Net increase (decrease) in cash and cash equivalents | (119,378 | ) | (2,754 | ) | 118,988 | |||||||
Cash and cash equivalents at beginning of the year | 163,609 | 166,363 | 47,375 | |||||||||
Cash and cash equivalents at end of the year | $ | 44,231 | $ | 163,609 | $ | 166,363 | ||||||
Supplemental disclosures | ||||||||||||
Interest paid | $ | 1,079,950 | $ | 1,042,492 | $ | 1,153,154 | ||||||
AHP payments | $ | 9,830 | $ | 8,323 | $ | 15,509 | ||||||
REFCORP payments | $ | 21,268 | $ | 18,859 | $ | 24,917 | ||||||
Stock dividends issued | $ | 43,762 | $ | 58,566 | $ | 68,479 | ||||||
Dividends paid through issuance of mandatorily redeemable capital stock | $ | 26 | $ | — | $ | — | ||||||
Capital stock reclassified to mandatorily redeemable capital stock | $ | 407,080 | $ | — | $ | — | ||||||
F-6
Table of Contents
F-7
Table of Contents
F-8
Table of Contents
F-9
Table of Contents
F-10
Table of Contents
F-11
Table of Contents
F-12
Table of Contents
F-13
Table of Contents
F-14
Table of Contents
F-15
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F-16
Table of Contents
F-17
Table of Contents
FOR THE YEAR ENDED DECEMBER 31, 2004
(In thousands)
As previously | ||||||||||||
reported | Adjustments | As restated | ||||||||||
INTEREST INCOME | ||||||||||||
Available-for-sale securities | $ | 97,320 | $ | 57,556 | $ | 154,876 | ||||||
Other | 1,145,191 | — | 1,145,191 | |||||||||
Total interest income | 1,242,511 | 57,556 | 1,300,067 | |||||||||
INTEREST EXPENSE | ||||||||||||
Consolidated obligations | ||||||||||||
Bonds | 911,476 | 12,708 | 924,184 | |||||||||
Discount notes | 118,030 | 1,447 | 119,477 | |||||||||
Other | 35,630 | — | 35,630 | |||||||||
Total interest expense | 1,065,136 | 14,155 | 1,079,291 | |||||||||
NET INTEREST INCOME | 177,375 | 43,401 | 220,776 | |||||||||
Provision (reduction) for credit losses on mortgage loans | (26 | ) | — | (26 | ) | |||||||
NET INTEREST INCOME AFTER MORTGAGE LOAN LOSS PROVISION | 177,401 | 43,401 | 220,802 | |||||||||
OTHER INCOME (LOSS) | ||||||||||||
Net realized and unrealized losses on derivatives and hedging activities | (28,604 | ) | (62,632 | ) | (91,236 | ) | ||||||
Gain on early extinguishment of debt | 3,651 | (2,237 | ) | 1,414 | ||||||||
Other, net | (2,864 | ) | — | (2,864 | ) | |||||||
Total other income (loss) | (27,817 | ) | (64,869 | ) | (92,686 | ) | ||||||
OTHER EXPENSE | ||||||||||||
Salaries and benefits | 20,344 | (1,624 | ) | 18,720 | ||||||||
Other | 20,639 | — | 20,639 | |||||||||
Total other expense | 40,983 | (1,624 | ) | 39,359 | ||||||||
INCOME BEFORE ASSESSMENTS | 108,601 | (19,844 | ) | 88,757 | ||||||||
Affordable Housing Program | 9,543 | (1,620 | ) | 7,923 | ||||||||
REFCORP | 19,812 | (3,645 | ) | 16,167 | ||||||||
Total assessments | 29,355 | (5,265 | ) | 24,090 | ||||||||
NET INCOME | $ | 79,246 | $ | (14,579 | ) | $ | 64,667 | |||||
F-18
Table of Contents
FOR THE YEAR ENDED DECEMBER 31, 2003
(In thousands)
As previously | ||||||||||||
reported | Adjustments | As restated | ||||||||||
INTEREST INCOME | ||||||||||||
Available-for-sale securities | $ | 71,062 | $ | 67,598 | $ | 138,660 | ||||||
Other | 1,017,825 | — | 1,017,825 | |||||||||
Total interest income | 1,088,887 | 67,598 | 1,156,485 | |||||||||
INTEREST EXPENSE | ||||||||||||
Consolidated obligations | ||||||||||||
Bonds | 762,938 | 31,691 | 794,629 | |||||||||
Discount notes | 122,388 | 300 | 122,688 | |||||||||
Other | 28,922 | — | 28,922 | |||||||||
Total interest expense | 914,248 | 31,991 | 946,239 | |||||||||
NET INTEREST INCOME | 174,639 | 35,607 | 210,246 | |||||||||
Provision (reduction) for credit losses on mortgage loans | (27 | ) | — | (27 | ) | |||||||
NET INTEREST INCOME AFTER MORTGAGE LOAN LOSS PROVISION | 174,666 | 35,607 | 210,273 | |||||||||
OTHER INCOME (LOSS) | ||||||||||||
Net realized and unrealized losses on derivatives and hedging activities | (11,702 | ) | (3,420 | ) | (15,122 | ) | ||||||
Other, net | (7,505 | ) | — | (7,505 | ) | |||||||
Total other income (loss) | (19,207 | ) | (3,420 | ) | (22,627 | ) | ||||||
OTHER EXPENSE | ||||||||||||
Salaries and benefits | 16,191 | 583 | 16,774 | |||||||||
Other | 17,051 | — | 17,051 | |||||||||
Total other expense | 33,242 | 583 | 33,825 | |||||||||
INCOME BEFORE ASSESSMENTS | 122,217 | 31,604 | 153,821 | |||||||||
Affordable Housing Program | 9,977 | 2,580 | 12,557 | |||||||||
REFCORP | 22,448 | 5,805 | 28,253 | |||||||||
Total assessments | 32,425 | 8,385 | 40,810 | |||||||||
NET INCOME | $ | 89,792 | $ | 23,219 | $ | 113,011 | ||||||
F-19
Table of Contents
FOR THE YEAR ENDED DECEMBER 31, 2002
(In thousands)
As previously | ||||||||||||
reported | Adjustments | As restated | ||||||||||
INTEREST INCOME | ||||||||||||
Available-for-sale securities | $ | 82,304 | $ | 69,957 | $ | 152,261 | ||||||
Other | 1,180,324 | — | 1,180,324 | |||||||||
Total interest income | 1,262,628 | 69,957 | 1,332,585 | |||||||||
INTEREST EXPENSE | ||||||||||||
Consolidated obligation bonds | 883,442 | 30,300 | 913,742 | |||||||||
Other | 196,707 | — | 196,707 | |||||||||
Total interest expense | 1,080,149 | 30,300 | 1,110,449 | |||||||||
NET INTEREST INCOME | 182,479 | 39,657 | 222,136 | |||||||||
Provision for credit losses on mortgage loans | 126 | — | 126 | |||||||||
NET INTEREST INCOME AFTER MORTGAGE LOAN LOSS PROVISION | 182,353 | 39,657 | 222,010 | |||||||||
OTHER INCOME (LOSS) | ||||||||||||
Net realized and unrealized losses on derivatives and hedging activities | (59,029 | ) | (210,217 | ) | (269,246 | ) | ||||||
Other, net | 13,026 | — | 13,026 | |||||||||
Total other income (loss) | (46,003 | ) | (210,217 | ) | (256,220 | ) | ||||||
OTHER EXPENSE | ||||||||||||
Salaries and benefits | 14,189 | 536 | 14,725 | |||||||||
Other | 19,497 | — | 19,497 | |||||||||
Total other expense | 33,686 | 536 | 34,222 | |||||||||
INCOME (LOSS) BEFORE ASSESSMENTS | 102,664 | (171,096 | ) | (68,432 | ) | |||||||
Affordable Housing Program | 8,412 | (13,998 | ) | (5,586 | ) | |||||||
REFCORP | 18,927 | (31,497 | ) | (12,570 | ) | |||||||
Total assessments | 27,339 | (45,495 | ) | (18,156 | ) | |||||||
NET INCOME (LOSS) | $ | 75,325 | $ | (125,601 | ) | $ | (50,276 | ) | ||||
F-20
Table of Contents
DECEMBER 31, 2004
(In thousands)
As previously | ||||||||||||
reported | Adjustments | As restated | ||||||||||
Advances | $ | 47,111,154 | $ | 863 | $ | 47,112,017 | ||||||
Excess REFCORP contributions | — | 25,174 | 25,174 | |||||||||
Other | 17,475,159 | — | 17,475,159 | |||||||||
TOTAL ASSETS | $ | 64,586,313 | $ | 26,037 | $ | 64,612,350 | ||||||
Consolidated obligations, net | ||||||||||||
Discount notes | $ | 7,084,765 | $ | 945 | $ | 7,085,710 | ||||||
Bonds | 51,463,738 | (11,603 | ) | 51,452,135 | ||||||||
Affordable Housing Program | 33,811 | (13,108 | ) | 20,703 | ||||||||
Payable to REFCORP | 4,320 | (4,320 | ) | — | ||||||||
Derivative liabilities | 658,790 | (23 | ) | 658,767 | ||||||||
Other | 2,706,925 | — | 2,706,925 | |||||||||
Total liabilities | 61,952,349 | (28,109 | ) | 61,924,240 | ||||||||
Capital stock – Class B putable ($100 par value) | 2,492,789 | — | 2,492,789 | |||||||||
Retained earnings | 143,897 | (117,977 | ) | 25,920 | ||||||||
Accumulated other comprehensive income (loss) | ||||||||||||
Net unrealized gain (loss) on available-for-sale securities, net of unrealized gains and losses relating to hedged interest rate risk included in net income | (2,722 | ) | 172,123 | 169,401 | ||||||||
Total capital | 2,633,964 | 54,146 | 2,688,110 | |||||||||
TOTAL LIABILITIES AND CAPITAL | $ | 64,586,313 | $ | 26,037 | $ | 64,612,350 | ||||||
DECEMBER 31, 2003
(In thousands)
As previously | ||||||||||||
reported | Adjustments | As restated | ||||||||||
Advances | $ | 40,595,029 | $ | 298 | $ | 40,595,327 | ||||||
Excess REFCORP contributions | — | 20,073 | 20,073 | |||||||||
Other | 17,800,972 | 537 | 17,801,509 | |||||||||
TOTAL ASSETS | $ | 58,396,001 | $ | 20,908 | $ | 58,416,909 | ||||||
Consolidated obligations, net | ||||||||||||
Discount notes | $ | 11,627,325 | $ | (250 | ) | $ | 11,627,075 | |||||
Bonds | 40,702,899 | (23,661 | ) | 40,679,238 | ||||||||
Affordable Housing Program | 34,098 | (11,488 | ) | 22,610 | ||||||||
Payable to REFCORP | 5,776 | (5,776 | ) | — | ||||||||
Derivative liabilities | 636,053 | (18 | ) | 636,035 | ||||||||
Other | 2,648,405 | 1,624 | 2,650,029 | |||||||||
Total liabilities | 55,654,556 | (39,569 | ) | 55,614,987 | ||||||||
Capital stock – Class B putable ($100 par value) | 2,661,133 | — | 2,661,133 | |||||||||
Retained earnings | 108,612 | (103,398 | ) | 5,214 | ||||||||
Accumulated other comprehensive income (loss) | ||||||||||||
Net unrealized gain (loss) on available-for-sale securities, net of unrealized gains and losses relating to hedged interest rate risk included in net income | (28,300 | ) | 163,875 | 135,575 | ||||||||
Total capital | 2,741,445 | 60,477 | 2,801,922 | |||||||||
TOTAL LIABILITIES AND CAPITAL | $ | 58,396,001 | $ | 20,908 | $ | 58,416,909 | ||||||
F-21
Table of Contents
F-22
Table of Contents
F-23
Table of Contents
2004 | 2003 | |||||||
Mortgage-backed securities | ||||||||
Government-sponsored enterprises | $ | 76,976 | $ | 117,076 | ||||
Other mortgage-backed securities | — | 854 | ||||||
Other | 1,607 | 24,234 | ||||||
Total | $ | 78,583 | $ | 142,164 | ||||
Gross | Gross | Estimated | ||||||||||||||
Amortized | Unrealized | Unrealized | Fair | |||||||||||||
Cost | Gains | Losses | Value | |||||||||||||
U.S. government guaranteed obligations | $ | 76,521 | $ | 4,594 | $ | — | $ | 81,115 | ||||||||
Government-sponsored enterprises | 4,322,920 | 173,911 | 9,481 | 4,487,350 | ||||||||||||
FHLBank consolidated obligations | ||||||||||||||||
FHLBank of Boston (primary obligor) | 37,156 | 95 | — | 37,251 | ||||||||||||
FHLBank of San Francisco (primary obligor) | 13,237 | 1,991 | — | 15,228 | ||||||||||||
4,449,834 | 180,591 | 9,481 | 4,620,944 | |||||||||||||
Mortgage-backed securities | ||||||||||||||||
Government-sponsored enterprises | 905,214 | 822 | 1,474 | 904,562 | ||||||||||||
Other | 261,143 | 185 | 1,242 | 260,086 | ||||||||||||
1,166,357 | 1,007 | 2,716 | 1,164,648 | |||||||||||||
Total | $ | 5,616,191 | $ | 181,598 | $ | 12,197 | $ | 5,785,592 | ||||||||
F-24
Table of Contents
Gross | Gross | Estimated | ||||||||||||||
Amortized | Unrealized | Unrealized | Fair | |||||||||||||
Cost | Gains | Losses | Value | |||||||||||||
U.S. government guaranteed obligations | $ | 79,654 | $ | 6,304 | $ | — | $ | 85,958 | ||||||||
Government-sponsored enterprises | 4,381,986 | 148,586 | 18,301 | 4,512,271 | ||||||||||||
FHLBank consolidated obligations | ||||||||||||||||
FHLBank of Boston (primary obligor) | 38,075 | — | 20 | 38,055 | ||||||||||||
FHLBank of San Francisco (primary obligor) | 13,094 | 3,053 | — | 16,147 | ||||||||||||
4,512,809 | 157,943 | 18,321 | 4,652,431 | |||||||||||||
Mortgage-backed securities | ||||||||||||||||
Government-sponsored enterprises | 1,019,453 | 1,543 | 1,651 | 1,019,345 | ||||||||||||
Other | 282,749 | 149 | 4,088 | 278,810 | ||||||||||||
1,302,202 | 1,692 | 5,739 | 1,298,155 | |||||||||||||
Total | $ | 5,815,011 | $ | 159,635 | $ | 24,060 | $ | 5,950,586 | ||||||||
Less Than | 12 Months | |||||||||||||||||||||||
12 Months | Or More | Total | ||||||||||||||||||||||
Fair | Unrealized | Fair | Unrealized | Fair | Unrealized | |||||||||||||||||||
Value | Losses | Value | Losses | Value | Losses | |||||||||||||||||||
Government- sponsored enterprises | — | — | $ | 1,066,236 | $ | 12,197 | $ | 1,066,236 | $ | 12,197 | ||||||||||||||
Less Than | 12 Months | |||||||||||||||||||||||
12 Months | Or More | Total | ||||||||||||||||||||||
Fair | Unrealized | Fair | Unrealized | Fair | Unrealized | |||||||||||||||||||
Value | Losses | Value | Losses | Value | Losses | |||||||||||||||||||
Government-sponsored enterprises | — | — | $ | 1,304,264 | $ | 24,060 | $ | 1,304,264 | $ | 24,060 | ||||||||||||||
F-25
Table of Contents
2004 | 2003 | |||||||||||||||
Estimated | Estimated | |||||||||||||||
Amortized | Fair | Amortized | Fair | |||||||||||||
Year of Maturity | Cost | Value | Cost | Value | ||||||||||||
Due in one year or less | $ | 58,610 | $ | 59,435 | $ | 50,683 | $ | 50,680 | ||||||||
Due after one year through five years | 83,818 | 85,569 | 147,487 | 152,465 | ||||||||||||
Due after five years through ten years | 2,441,669 | 2,769,459 | 2,748,445 | 2,759,767 | ||||||||||||
Due after ten years | 1,565,737 | 1,706,481 | 1,566,194 | 1,689,519 | ||||||||||||
4,449,834 | 4,620,944 | 4,512,809 | 4,652,431 | |||||||||||||
Mortgage-backed securities | 1,166,357 | 1,164,648 | 1,302,202 | 1,298,155 | ||||||||||||
Total | $ | 5,616,191 | $ | 5,785,592 | $ | 5,815,011 | $ | 5,950,586 | ||||||||
2004 | 2003 | |||||||
Amortized cost of available-for-sale securities other than mortgage-backed securities: | ||||||||
Fixed-rate | $ | 4,399,441 | $ | 4,461,640 | ||||
Variable-rate | 50,393 | 51,169 | ||||||
4,449,834 | 4,512,809 | |||||||
Amortized cost of available-for-sale mortgage-backed securities: | ||||||||
Fixed-rate pass-through securities | 1,086,867 | 1,212,062 | ||||||
Fixed-rate collateralized mortgage obligations | 79,490 | 90,140 | ||||||
1,166,357 | 1,302,202 | |||||||
Total | $ | 5,616,191 | $ | 5,815,011 | ||||
F-26
Table of Contents
Gross | Gross | |||||||||||||||
Amortized | Unrealized | Unrealized | Estimated | |||||||||||||
Cost | Gains | Losses | Fair Value | |||||||||||||
U.S. government guaranteed obligations | $ | 178,869 | $ | 587 | $ | 772 | $ | 178,684 | ||||||||
State or local housing agency obligations | 7,825 | 2 | — | 7,827 | ||||||||||||
186,694 | 589 | 772 | 186,511 | |||||||||||||
Mortgage-backed securities | ||||||||||||||||
U.S. government guaranteed obligations | 94,691 | 620 | 2 | 95,309 | ||||||||||||
Government-sponsored enterprises | 5,307,058 | 15,701 | 1,720 | 5,321,039 | ||||||||||||
Other | 1,675,890 | 80,264 | 366 | 1,755,788 | ||||||||||||
7,077,639 | 96,585 | 2,088 | 7,172,136 | |||||||||||||
Total | $ | 7,264,333 | $ | 97,174 | $ | 2,860 | $ | 7,358,647 | ||||||||
Gross | Gross | |||||||||||||||
Amortized | Unrealized | Unrealized | Estimated | |||||||||||||
Cost | Gains | Losses | Fair Value | |||||||||||||
U.S. government guaranteed obligations | $ | 227,911 | $ | 981 | $ | 552 | $ | 228,340 | ||||||||
State or local housing agency obligations | 8,890 | 3 | — | 8,893 | ||||||||||||
236,801 | 984 | 552 | 237,233 | |||||||||||||
Mortgage-backed securities | ||||||||||||||||
U.S. government guaranteed obligations | 170,190 | 637 | 40 | 170,787 | ||||||||||||
Government-sponsored enterprises | 4,842,233 | 11,173 | 6,666 | 4,846,740 | ||||||||||||
Other | 1,761,301 | 101,563 | 1,772 | 1,861,092 | ||||||||||||
6,773,724 | 113,373 | 8,478 | 6,878,619 | |||||||||||||
Total | $ | 7,010,525 | $ | 114,357 | $ | 9,030 | $ | 7,115,852 | ||||||||
F-27
Table of Contents
Less Than | 12 Months | |||||||||||||||||||||||
12 Months | Or More | Total | ||||||||||||||||||||||
Fair | Unrealized | Fair | Unrealized | Fair | Unrealized | |||||||||||||||||||
Value | Losses | Value | Losses | Value | Losses | |||||||||||||||||||
U.S. government guaranteed obligations | $ | 57,431 | $ | 228 | $ | 49,641 | $ | 544 | $ | 107,072 | $ | 772 | ||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||||||
U.S. government guaranteed obligations | 494 | 1 | 1,423 | 1 | 1,917 | 2 | ||||||||||||||||||
Government- sponsored enterprises | 537,775 | 1,705 | 20,119 | 15 | 557,894 | 1,720 | ||||||||||||||||||
Other | 155,624 | 160 | 120,746 | 206 | 276,370 | 366 | ||||||||||||||||||
693,893 | 1,866 | 142,288 | 222 | 836,181 | 2,088 | |||||||||||||||||||
Total temporarily impaired | $ | 751,324 | $ | 2,094 | $ | 191,929 | $ | 766 | $ | 943,253 | $ | 2,860 | ||||||||||||
Less Than | 12 Months | |||||||||||||||||||||||
12 Months | Or More | Total | ||||||||||||||||||||||
Fair | Unrealized | Fair | Unrealized | Fair | Unrealized | |||||||||||||||||||
Value | Losses | Value | Losses | Value | Losses | |||||||||||||||||||
U.S. government guaranteed obligations | $ | 18,474 | $ | 50 | $ | 69,695 | $ | 502 | $ | 88,169 | $ | 552 | ||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||||||
U.S. government guaranteed obligations | 10,021 | 30 | 13,722 | 10 | 23,743 | 40 | ||||||||||||||||||
Government-sponsored enterprises | 2,040,786 | 6,182 | 161,292 | 484 | 2,202,078 | 6,666 | ||||||||||||||||||
Other | 471,562 | 1,722 | 49,673 | 50 | 521,235 | 1,772 | ||||||||||||||||||
2,522,369 | 7,934 | 224,687 | 544 | 2,747,056 | 8,478 | |||||||||||||||||||
Total temporarily impaired | $ | 2,540,843 | $ | 7,984 | $ | 294,382 | $ | 1,046 | $ | 2,835,225 | $ | 9,030 | ||||||||||||
F-28
Table of Contents
2004 | 2003 | |||||||||||||||
Amortized | Estimated | Amortized | Estimated | |||||||||||||
Year of Maturity | Cost | Fair Value | Cost | Fair Value | ||||||||||||
Due after one year through five years | $ | 60,215 | $ | 60,269 | $ | 63,961 | $ | 64,032 | ||||||||
Due after five years through ten years | 11,198 | 11,372 | 15,683 | 16,083 | ||||||||||||
Due after ten years | 115,281 | 114,870 | 157,157 | 157,118 | ||||||||||||
186,694 | 186,511 | 236,801 | 237,233 | |||||||||||||
Mortgage-backed securities | 7,077,639 | 7,172,136 | 6,773,724 | 6,878,619 | ||||||||||||
Total | $ | 7,264,333 | $ | 7,358,647 | $ | 7,010,525 | $ | 7,115,852 | ||||||||
2004 | 2003 | |||||||
Amortized cost of variable-rate held-to-maturity securities other than mortgage-backed securities | $ | 186,694 | $ | 236,801 | ||||
Amortized cost of held-to-maturity mortgage-backed securities: | ||||||||
Fixed-rate pass-through securities | 6,712 | 10,649 | ||||||
Collateralized mortgage obligations: | ||||||||
Fixed-rate | 809,528 | 816,649 | ||||||
Variable-rate | 6,261,399 | 5,946,426 | ||||||
7,077,639 | 6,773,724 | |||||||
Total | $ | 7,264,333 | $ | 7,010,525 | ||||
F-29
Table of Contents
2004 | 2003 | |||||||||||||||
Weighted | Weighted | |||||||||||||||
Average | Average | |||||||||||||||
Year of Maturity | Amount | Interest Rate | Amount | Interest Rate | ||||||||||||
Overdrawn demand deposit accounts | $ | 26 | 5.94 | % | $ | 9 | 4.92 | % | ||||||||
2004 | — | — | 10,225,474 | 1.44 | ||||||||||||
2005 | 15,147,564 | 2.26 | 5,293,693 | 1.75 | ||||||||||||
2006 | 9,927,115 | 2.49 | 7,476,542 | 1.58 | ||||||||||||
2007 | 6,012,451 | 2.53 | 4,527,123 | 1.52 | ||||||||||||
2008 | 5,058,184 | 2.67 | 4,340,425 | 1.83 | ||||||||||||
2009 | 3,067,658 | 2.55 | 318,152 | 4.83 | ||||||||||||
Thereafter | 1,288,294 | 5.11 | 1,223,743 | 5.20 | ||||||||||||
Amortizing advances | 6,516,216 | 4.20 | 6,942,782 | 4.25 | ||||||||||||
Total par value | 47,017,508 | 2.75 | % | 40,347,943 | 2.18 | % | ||||||||||
SFAS 133 hedging adjustments | 94,509 | 247,384 | ||||||||||||||
Total | $ | 47,112,017 | $ | 40,595,327 | ||||||||||||
Year of Maturity or Next Call Date | 2004 | 2003 | ||||||
Overdrawn demand deposit accounts | $ | 26 | $ | 9 | ||||
2004 | — | 10,266,221 | ||||||
2005 | 15,214,589 | 5,332,221 | ||||||
2006 | 9,930,861 | 7,489,673 | ||||||
2007 | 6,021,036 | 4,539,028 | ||||||
2008 | 5,081,322 | 4,367,015 | ||||||
2009 | 3,082,942 | 314,452 | ||||||
Thereafter | 1,170,516 | 1,096,542 | ||||||
Amortizing advances | 6,516,216 | 6,942,782 | ||||||
Total par value | $ | 47,017,508 | $ | 40,347,943 | ||||
F-30
Table of Contents
Year of Maturity or Next Put Date | 2004 | 2003 | ||||||
Overdrawn demand deposit accounts | $ | 26 | $ | 9 | ||||
2004 | — | 12,431,375 | ||||||
2005 | 17,316,264 | 5,281,492 | ||||||
2006 | 9,537,115 | 7,111,542 | ||||||
2007 | 5,662,451 | 4,137,123 | ||||||
2008 | 4,556,084 | 3,828,325 | ||||||
2009 | 2,849,358 | 99,852 | ||||||
Thereafter | 579,994 | 515,443 | ||||||
Amortizing advances | 6,516,216 | 6,942,782 | ||||||
Total par value | $ | 47,017,508 | $ | 40,347,943 | ||||
Table of Contents
2004 | 2003 | |||||||
Fixed-rate | $ | 24,354,663 | $ | 21,495,174 | ||||
Variable-rate | 22,662,845 | 18,852,769 | ||||||
Total par value | $ | 47,017,508 | $ | 40,347,943 | ||||
Table of Contents
2004 | 2003 | 2002 | ||||||||||
Balance, beginning of year | $ | 22,610 | $ | 18,376 | $ | 39,471 | ||||||
AHP assessment (benefit) | 7,923 | 12,557 | (5,586 | ) | ||||||||
Grants funded | (9,830 | ) | (8,323 | ) | (15,509 | ) | ||||||
Balance, end of year | $ | 20,703 | $ | 22,610 | $ | 18,376 | ||||||
2004 | 2003 | |||||||
Fixed medium-term* single-family mortgages | $ | 174,688 | $ | 218,194 | ||||
Fixed long-term single-family mortgages | 526,886 | 746,782 | ||||||
Premiums | 5,865 | 7,903 | ||||||
Discounts | (881 | ) | (992 | ) | ||||
Total mortgage loans held for portfolio | $ | 706,558 | $ | 971,887 | ||||
2004 | 2003 | 2002 | ||||||||||
Balance, beginning of year | $ | 387 | $ | 437 | $ | 311 | ||||||
Chargeoffs | (6 | ) | (23 | ) | — | |||||||
Provision (reduction) for credit losses | (26 | ) | (27 | ) | 126 | |||||||
Balance, end of year | $ | 355 | $ | 387 | $ | 437 | ||||||
Table of Contents
Table of Contents
2004 | 2003 | |||||||
Fixed-rate | $ | 38,695,324 | $ | 30,188,465 | ||||
Step-up | 7,997,505 | 7,900,420 | ||||||
Simple variable-rate | 4,397,000 | 2,376,000 | ||||||
Fixed that converts to variable | 340,000 | — | ||||||
Variable that converts to fixed | 50,000 | — | ||||||
Comparative-index | 175,000 | 175,000 | ||||||
Total par value | $ | 51,654,829 | $ | 40,639,885 | ||||
2004 | 2003 | |||||||||||||||
Weighted | Weighted | |||||||||||||||
Average | Average | |||||||||||||||
Interest | Interest | |||||||||||||||
Year of Maturity | Amount | Rate | Amount | Rate | ||||||||||||
2004 | $ | — | — | % | $ | 7,871,255 | 3.15 | % | ||||||||
2005 | 18,417,325 | 2.02 | 7,557,325 | 3.04 | ||||||||||||
2006 | 10,169,500 | 2.78 | 5,080,000 | 3.32 | ||||||||||||
2007 | 6,416,875 | 3.33 | 4,237,700 | 3.67 | ||||||||||||
2008 | 5,526,370 | 3.50 | 5,881,420 | 3.42 | ||||||||||||
2009 | 4,345,314 | 4.02 | 2,436,200 | 4.74 | ||||||||||||
Thereafter | 6,779,445 | 4.11 | 7,575,985 | 3.99 | ||||||||||||
Total par value | 51,654,829 | 2.94 | 40,639,885 | 3.50 | ||||||||||||
Bond premiums | 31,464 | 47,939 | ||||||||||||||
Bond discounts | (25,358 | ) | (28,644 | ) | ||||||||||||
SFAS 133 hedging adjustments | (191,000 | ) | 37,858 | |||||||||||||
51,469,935 | 40,697,038 | |||||||||||||||
Bonds held in treasury | (17,800 | ) | (17,800 | ) | ||||||||||||
Total | $ | 51,452,135 | $ | 40,679,238 | ||||||||||||
Table of Contents
2004 | 2003 | |||||||
Non-callable or non-putable bonds | $ | 19,746,324 | $ | 15,839,965 | ||||
Callable bonds | 31,908,505 | 24,799,920 | ||||||
Total par value | $ | 51,654,829 | $ | 40,639,885 | ||||
Year of Maturity or Next Call Date | 2004 | 2003 | ||||||
2004 | $ | — | $ | 27,105,175 | ||||
2005 | 36,725,805 | 6,087,325 | ||||||
2006 | 7,719,500 | 2,557,500 | ||||||
2007 | 2,879,700 | 1,559,700 | ||||||
2008 | 1,374,000 | 1,269,000 | ||||||
2009 | 1,657,564 | 976,200 | ||||||
Thereafter | 1,298,260 | 1,084,985 | ||||||
Total par value | $ | 51,654,829 | $ | 40,639,885 | ||||
Weighted | ||||||||||||
Average | ||||||||||||
Book Value | Par Value | Interest Rate | ||||||||||
December 31, 2004 | $ | 7,085,710 | $ | 7,100,000 | 2.15 | % | ||||||
December 31, 2003 | $ | 11,627,075 | $ | 11,650,000 | 1.10 | % | ||||||
Table of Contents
2004 | 2003 | |||||||
Excess stock | ||||||||
Capital stock | $ | 318,645 | $ | 342,106 | ||||
Mandatorily redeemable capital stock | 2,871 | — | ||||||
Total | $ | 321,516 | $ | 342,106 | ||||
Surplus stock | ||||||||
Capital stock | $ | 111,996 | $ | 115,740 | ||||
Mandatorily redeemable capital stock | 422 | — | ||||||
Total | $ | 112,418 | $ | 115,740 | ||||
Surplus stock meeting repurchase criteria | ||||||||
Capital stock | $ | 69,436 | $ | 83,242 | ||||
Mandatorily redeemable capital stock | — | — | ||||||
Total | $ | 69,436 | $ | 83,242 | ||||
Table of Contents
December 31, 2004 | December 31, 2003 | |||||||||||||||
Required | Actual | Required | Actual | |||||||||||||
Regulatory capital requirements: | ||||||||||||||||
Risk-based capital | $ | 527,718 | $ | 2,845,830 | $ | 547,053 | $ | 2,666,347 | ||||||||
Total capital | $ | 2,584,494 | $ | 2,845,830 | $ | 2,336,676 | $ | 2,666,347 | ||||||||
Total capital-to-assets ratio | 4.00 | % | 4.40 | % | 4.00 | % | 4.56 | % | ||||||||
Leverage capital | $ | 3,230,618 | $ | 4,268,745 | $ | 2,920,845 | $ | 3,999,521 | ||||||||
Leverage capital-to-assets ratio | 5.00 | % | 6.61 | % | 5.00 | % | 6.85 | % |
Table of Contents
Earliest | ||||||||
Mandatory | Anticipated | |||||||
Redemption | Repurchase | |||||||
2005 | $ | — | $ | 1,966 | ||||
2006 | — | 168,241 | ||||||
2007 | — | 133,669 | ||||||
2008 | 326,944 | 16,378 | ||||||
2009 | 177 | 1,440 | ||||||
Thereafter | — | 5,427 | ||||||
Total | $ | 327,121 | $ | 327,121 | ||||
Balance, December 31, 2003 | $ | — | ||
Capital stock subject to mandatory redemption reclassified from equity upon adoption of SFAS 150 on January 1, 2004 | 394,736 | |||
Capital stock that became subject to mandatory redemption during the year | 12,344 | |||
Redemption of mandatorily redeemable capital stock | (86,624 | ) | ||
Stock dividends classified as mandatorily redeemable | 6,665 | |||
Balance, December 31, 2004 | $ | 327,121 | ||
• | In no event may the Bank redeem or repurchase capital stock if the Bank is not in compliance with its minimum capital requirements or if the redemption or repurchase would cause the Bank to be out of compliance with its minimum capital requirements, or if the redemption or repurchase would cause the member to be out of compliance with its minimum investment requirement. In addition, the Bank’s Board of Directors may suspend redemption of capital stock if the Bank reasonably believes that continued redemption of capital stock would cause the Bank to fail to meet its minimum capital requirements in the future, would prevent the Bank from maintaining adequate capital against a potential risk that may not be adequately reflected in its minimum capital requirements, or would otherwise prevent the Bank from operating in a safe and sound manner. |
Table of Contents
• | In no event may the Bank redeem or repurchase capital stock without the prior written approval of the Finance Board if the Finance Board or the Bank’s Board of Directors has determined that the Bank has incurred, or is likely to incur, losses that result in, or are likely to result in, charges against the capital of the Bank. Such a determination may be made by the Finance Board or the Board of Directors even if the Bank is in compliance with its minimum capital requirements. | ||
• | The Bank may not repurchase any capital stock without the written consent of the Finance Board during any period in which the Bank has suspended redemptions of capital stock. The Bank is required to notify the Finance Board if it suspends redemptions of capital stock and set forth its plan for addressing the conditions that led to the suspension. The Finance Board may require the Bank to reinstate redemptions of capital stock. | ||
• | In no event may the Bank redeem or repurchase shares of capital stock if the principal and interest due on any consolidated obligations issued through the Office of Finance has not been paid in full or, under certain circumstances, if the Bank becomes a non-complying FHLBank under Finance Board regulations as a result of its inability to comply with regulatory liquidity requirements or to satisfy its current obligations. | ||
• | If at any time the Bank determines that the total amount of capital stock subject to outstanding stock redemption or withdrawal notices with expiration dates within the following 12 months exceeds the amount of capital stock the Bank could redeem and still comply with its minimum capital requirements, the Bank will determine whether to suspend redemption and repurchase activities altogether, to fulfill requests for redemption sequentially in the order in which they were received, to fulfill the requests on a pro rata basis, or to take other action deemed appropriate by the Bank. |
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F-41
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Year Ended December 31, | ||||||||
2004 | 2003 | |||||||
Change in APBO | ||||||||
APBO at beginning of year | $ | 3,650 | $ | 3,036 | ||||
Service cost | 229 | 192 | ||||||
Interest cost | 240 | 215 | ||||||
Actuarial loss | 356 | 286 | ||||||
Participant contributions | 98 | 74 | ||||||
Benefits paid | (173 | ) | (153 | ) | ||||
APBO at end of year | 4,400 | 3,650 | ||||||
Change in plan assets | ||||||||
Fair value of plan assets at beginning of year | — | — | ||||||
Bank contributions | 75 | 79 | ||||||
Participant contributions | 98 | 74 | ||||||
Benefits paid | (173 | ) | (153 | ) | ||||
Fair value of plan assets at end of year | — | — | ||||||
Funded status | (4,400 | ) | (3,650 | ) | ||||
Unrecognized net actuarial loss | 948 | 609 | ||||||
Unrecognized prior service cost | 1,163 | 1,417 | ||||||
Net liability recognized | $ | (2,289 | ) | $ | (1,624 | ) | ||
Year Ended December 31, | ||||||||||||
2004 | 2003 | 2002 | ||||||||||
Service cost | $ | 229 | $ | 192 | $ | 159 | ||||||
Interest cost | 240 | 215 | 192 | |||||||||
Amortization of prior service cost | 254 | 254 | 254 | |||||||||
Amortization of net loss | 16 | 1 | — | |||||||||
Net periodic benefit cost | $ | 739 | $ | 662 | $ | 605 | ||||||
F-42
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Expected Benefit | ||||
Year Ended | Payments, Net of | |||
December 31, | Participant Contributions | |||
2005 | $ | 103 | ||
2006 | 130 | |||
2007 | 160 | |||
2008 | 175 | |||
2009 | 219 | |||
2010-2014 | 1,328 | |||
$ | 2,115 | |||
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2004 | 2003 | 2002 | ||||||||||
Gains (losses) related to fair value hedge ineffectiveness | $ | (4,262 | ) | $ | (9,735 | ) | $ | 4,010 | ||||
Gains (losses) on economic hedge derivatives related to trading securities | 8,126 | 13,377 | (9,437 | ) | ||||||||
Net interest expense associated with economic hedge derivatives related to trading securities | (10,777 | ) | (21,602 | ) | (29,966 | ) | ||||||
Gains (losses) related to other economic hedge derivatives | (33,151 | ) | 46,897 | (187,262 | ) | |||||||
Net interest expense associated with stand alone economic hedge derivatives | (51,172 | ) | (44,059 | ) | (46,591 | ) | ||||||
Net realized and unrealized losses on derivatives and hedging activities | $ | (91,236 | ) | $ | (15,122 | ) | $ | (269,246 | ) | |||
2004 | 2003 | |||||||||||||||
Estimated | Estimated | |||||||||||||||
Notional | Fair Value | Notional | Fair Value | |||||||||||||
Interest rate swaps | ||||||||||||||||
Fair Value | $ | 53,425,679 | $ | (489,990 | ) | $ | 45,141,219 | $ | (446,459 | ) | ||||||
Economic | 6,969,143 | (208,835 | ) | 6,842,575 | (207,635 | ) | ||||||||||
Interest rate Caps/Floors | ||||||||||||||||
Fair Value | 55,000 | 2,033 | 5,000 | 81 | ||||||||||||
Economic | 3,915,000 | 4,936 | 3,165,000 | 8,605 | ||||||||||||
$ | 64,364,822 | $ | (691,856 | ) | $ | 55,153,794 | $ | (645,408 | ) | |||||||
Total derivatives excluding accrued interest | $ | (691,856 | ) | $ | (645,408 | ) | ||||||||||
Accrued interest | 50,708 | 81,197 | ||||||||||||||
Net derivative balances | $ | (641,148 | ) | $ | (564,211 | ) | ||||||||||
Net derivative asset balances | $ | 17,619 | $ | 71,824 | ||||||||||||
Net derivative liability balances | (658,767 | ) | (636,035 | ) | ||||||||||||
Net derivative balances | $ | (641,148 | ) | $ | (564,211 | ) | ||||||||||
F-44
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F-45
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F-46
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F-47
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Carrying | Net Unrealized | Estimated | ||||||||||
Financial Instruments | Value | Gains (Losses) | Fair Value | |||||||||
Assets: | ||||||||||||
Cash and due from banks | $ | 44,231 | $ | — | $ | 44,231 | ||||||
Interest-bearing deposits | 631,398 | — | 631,398 | |||||||||
Federal funds sold | 2,680,000 | — | 2,680,000 | |||||||||
Trading securities | 78,583 | — | 78,583 | |||||||||
Available-for-sale securities | 5,785,592 | — | 5,785,592 | |||||||||
Held-to-maturity securities | 7,264,333 | 94,314 | 7,358,647 | |||||||||
Advances | 47,112,017 | 54,610 | 47,166,627 | |||||||||
Mortgage loans held for portfolio, net | 706,203 | 23,363 | 729,566 | |||||||||
Accrued interest receivable | 208,301 | — | 208,301 | |||||||||
Derivative assets | 17,619 | — | 17,619 | |||||||||
Liabilities: | ||||||||||||
Deposits | 2,004,809 | — | 2,004,809 | |||||||||
Consolidated obligations: | ||||||||||||
Discount notes | 7,085,710 | 2,647 | 7,083,063 | |||||||||
Bonds | 51,452,135 | (106,260 | ) | 51,558,395 | ||||||||
Mandatorily redeemable capital stock | 327,121 | — | 327,121 | |||||||||
Accrued interest payable | 331,154 | — | 331,154 | |||||||||
Derivative liabilities | 658,767 | — | 658,767 |
F-48
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Carrying | Net Unrealized | Estimated | ||||||||||
Financial Instruments | Value | Gains (Losses) | Fair Value | |||||||||
Assets: | ||||||||||||
Cash and due from banks | $ | 163,609 | $ | — | $ | 163,609 | ||||||
Interest-bearing deposits | 302,582 | — | 302,582 | |||||||||
Federal funds sold | 2,957,000 | (14 | ) | 2,956,986 | ||||||||
Trading securities | 142,164 | — | 142,164 | |||||||||
Available-for-sale securities | 5,950,586 | — | 5,950,586 | |||||||||
Held-to-maturity securities | 7,010,525 | 105,327 | 7,115,852 | |||||||||
Advances | 40,595,327 | 238,835 | 40,834,162 | |||||||||
Mortgage loans held for portfolio, net | 971,500 | 35,285 | 1,006,785 | |||||||||
Accrued interest receivable | 174,133 | — | 174,133 | |||||||||
Derivative assets | 71,824 | — | 71,824 | |||||||||
Liabilities: | ||||||||||||
Deposits | 2,165,694 | — | 2,165,694 | |||||||||
Consolidated obligations: | ||||||||||||
Discount notes | 11,627,075 | 1,253 | 11,625,822 | |||||||||
Bonds | 40,679,238 | (398,160 | ) | 41,077,398 | ||||||||
Accrued interest payable | 331,991 | — | 331,991 | |||||||||
Derivative liabilities | 636,035 | — | 636,035 |
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Year | Premises | Equipment | Total | |||||||||
2005 | $ | 224 | $ | 148 | $ | 372 | ||||||
2006 | 224 | 140 | 364 | |||||||||
2007 | 226 | 33 | 259 | |||||||||
2008 | 227 | 7 | 234 | |||||||||
2009 | 227 | — | 227 | |||||||||
Thereafter | 174 | — | 174 | |||||||||
Total | $ | 1,302 | $ | 328 | $ | 1,630 | ||||||
Year | ||||
2005 | $ | 1,555 | ||
2006 | 1,314 | |||
2007 | 859 | |||
2008 | 653 | |||
2009 | 74 | |||
Total | $ | 4,455 | ||
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F-51
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FHLBank of | FHLBank of | FHLBank of | ||||||||||
Boston | Pittsburgh | Atlanta | ||||||||||
Balance, January 1, 2002 | $ | — | $ | — | $ | — | ||||||
Loans made | 94,000 | 6,430,000 | — | |||||||||
Collections | (94,000 | ) | (6,430,000 | ) | — | |||||||
Balance, December 31, 2002 | — | — | — | |||||||||
Loans made | — | 10,680,000 | 150,000 | |||||||||
Collections | — | (10,680,000 | ) | (150,000 | ) | |||||||
Balance, December 31, 2003 | — | — | — | |||||||||
Loans made | — | 4,793,000 | 100,000 | |||||||||
Collections | — | (4,793,000 | ) | (100,000 | ) | |||||||
Balance, December 31, 2004 | $ | — | $ | — | $ | — | ||||||
FHLBank of | ||||
Atlanta | ||||
Balance, January 1, 2002 | $ | — | ||
Borrowings | 75,000 | |||
Repayments | (75,000 | ) | ||
Balance, December 31, 2002 | — | |||
Borrowings | — | |||
Repayments | — | |||
Balance, December 31, 2003 | — | |||
Borrowings | 100,000 | |||
Repayments | (100,000 | ) | ||
Balance, December 31, 2004 | $ | — | ||
F-52
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F-53
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September 30, | December 31, | |||||||
2005 | 2004 | |||||||
(restated) | ||||||||
ASSETS | ||||||||
Cash and due from banks | $ | 126,821 | $ | 44,231 | ||||
Interest-bearing deposits (Note 13) | 470,180 | 631,398 | ||||||
Federal funds sold | 9,345,000 | 2,680,000 | ||||||
Trading securities (Note 4) | 53,812 | 78,583 | ||||||
Available-for-sale securities (a) (Note 5) | 1,080,947 | 5,785,592 | ||||||
Held-to-maturity securities (b) (Note 6) | 7,621,168 | 7,264,333 | ||||||
Advances (Note 7) | 49,730,875 | 47,112,017 | ||||||
Mortgage loans held for portfolio, net of allowance for credit losses of $304 and $355 at September 30, 2005 and December 31, 2004, respectively | 577,125 | 706,203 | ||||||
Accrued interest receivable | 181,716 | 208,301 | ||||||
Premises and equipment, net | 25,784 | 27,313 | ||||||
Derivative assets (Note 12) | — | 17,619 | ||||||
Excess REFCORP contributions | — | 25,174 | ||||||
Other assets | 30,060 | 31,586 | ||||||
TOTAL ASSETS | $ | 69,243,488 | $ | 64,612,350 | ||||
LIABILITIES AND CAPITAL | ||||||||
Deposits | ||||||||
Interest-bearing | ||||||||
Demand and overnight | $ | 2,488,225 | $ | 1,710,101 | ||||
Term | 87,269 | 283,090 | ||||||
Other | — | 11,438 | ||||||
Non-interest bearing | ||||||||
Demand and overnight | 228 | 124 | ||||||
Other | 56 | 56 | ||||||
Total deposits | 2,575,778 | 2,004,809 | ||||||
Consolidated obligations, net (Note 9) | ||||||||
Discount notes | 14,371,981 | 7,085,710 | ||||||
Bonds | 48,301,608 | 51,452,135 | ||||||
Total consolidated obligations, net | 62,673,589 | 58,537,845 | ||||||
Mandatorily redeemable capital stock | 330,096 | 327,121 | ||||||
Accrued interest payable | 357,050 | 331,154 | ||||||
Affordable Housing Program (Note 8) | 37,817 | 20,703 | ||||||
Payable to REFCORP | 10,104 | — | ||||||
Derivative liabilities (Note 12) | 425,595 | 658,767 | ||||||
Other liabilities | 54,684 | 43,841 | ||||||
Total liabilities | 66,464,713 | 61,924,240 | ||||||
Commitments and contingencies (Note 13) | ||||||||
CAPITAL (Note 10) | ||||||||
Capital stock – Class B putable ($100 par value) issued and outstanding shares: | ||||||||
26,085,046 and 24,927,894 shares at September 30, 2005 and December 31, 2004, respectively | 2,608,505 | 2,492,789 | ||||||
Retained earnings | 173,957 | 25,920 | ||||||
Accumulated other comprehensive income (loss) | ||||||||
Net unrealized gain (loss) on available-for-sale securities, net of unrealized gains and losses relating to hedged interest rate risk included in net income | (3,687 | ) | 169,401 | |||||
Total capital | 2,778,775 | 2,688,110 | ||||||
TOTAL LIABILITIES AND CAPITAL | $ | 69,243,488 | $ | 64,612,350 | ||||
(a) | Amortized cost: $1,084,634 and $5,616,191 at September 30, 2005 and December 31, 2004, respectively. | |
(b) | Fair values: $7,685,453 and $7,358,647 at September 30, 2005 and December 31, 2004, respectively. |
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For the Nine Months Ended | ||||||||
September 30, | ||||||||
2005 | 2004 | |||||||
(restated) | ||||||||
INTEREST INCOME | ||||||||
Advances | $ | 1,154,646 | $ | 592,316 | ||||
Prepayment fees on advances | 1,082 | 7,060 | ||||||
Interest-bearing deposits | 10,460 | 3,824 | ||||||
Federal funds sold | 80,393 | 20,377 | ||||||
Trading securities | 5,017 | 9,536 | ||||||
Available-for-sale securities | 142,041 | 111,267 | ||||||
Held-to-maturity securities | 215,510 | 118,721 | ||||||
Mortgage loans held for portfolio | 26,590 | 36,650 | ||||||
Other | 394 | 319 | ||||||
Total interest income | 1,636,133 | 900,070 | ||||||
INTEREST EXPENSE | ||||||||
Consolidated obligations | ||||||||
Bonds | 1,230,731 | 633,530 | ||||||
Discount notes | 189,943 | 75,641 | ||||||
Deposits | 37,716 | 19,052 | ||||||
Mandatorily redeemable capital stock | 8,433 | 4,638 | ||||||
Other borrowings | 130 | 105 | ||||||
Total interest expense | 1,466,953 | 732,966 | ||||||
NET INTEREST INCOME | 169,180 | 167,104 | ||||||
Provision (reduction) for credit losses on mortgage loans | (56 | ) | �� | (16 | ) | |||
NET INTEREST INCOME AFTER MORTGAGE LOAN LOSS PROVISION | 169,236 | 167,120 | ||||||
OTHER INCOME (LOSS) | ||||||||
Service fees | 2,093 | 1,849 | ||||||
Net loss on trading securities | (3,748 | ) | (5,257 | ) | ||||
Net realized and unrealized losses on derivatives and hedging activities | (67,278 | ) | (75,561 | ) | ||||
Gains on early extinguishment of debt | 3,200 | 1,414 | ||||||
Net gains on sales of available-for-sale securities | 218,849 | — | ||||||
Other, net | 2,043 | 1,910 | ||||||
Total other income (loss) | 155,159 | (75,645 | ) | |||||
OTHER EXPENSE | ||||||||
Salaries and benefits | 15,789 | 13,626 | ||||||
Other operating expenses | 14,976 | 12,836 | ||||||
Finance Board | 1,828 | 1,680 | ||||||
Office of Finance | 1,078 | 1,047 | ||||||
Total other expense | 33,671 | 29,189 | ||||||
INCOME BEFORE ASSESSMENTS | 290,724 | 62,286 | ||||||
Affordable Housing Program | 24,593 | 5,558 | ||||||
REFCORP | 53,226 | 11,345 | ||||||
Total assessments | 77,819 | 16,903 | ||||||
NET INCOME | $ | 212,905 | $ | 45,383 | ||||
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Accumulated | ||||||||||||||||||||
Capital Stock | Other | |||||||||||||||||||
Class B - Putable | Retained | Comprehensive | Total | |||||||||||||||||
Shares | Par Value | Earnings | Income (Loss) | Capital | ||||||||||||||||
BALANCE, JANUARY 1, 2005 (as previously reported) | 24,928 | $ | 2,492,789 | $ | 143,897 | $ | (2,722 | ) | $ | 2,633,964 | ||||||||||
Restatement (Note 2) | — | — | (117,977 | ) | 172,123 | 54,146 | ||||||||||||||
BALANCE, JANUARY 1, 2005 (restated) | 24,928 | 2,492,789 | 25,920 | 169,401 | 2,688,110 | |||||||||||||||
Proceeds from sale of capital stock | 3,668 | 366,793 | — | — | 366,793 | |||||||||||||||
Repurchase/redemption of capital stock | (3,085 | ) | (308,505 | ) | — | — | (308,505 | ) | ||||||||||||
Shares reclassified to mandatorily redeemable capital stock | (72 | ) | (7,234 | ) | — | — | (7,234 | ) | ||||||||||||
Comprehensive income | ||||||||||||||||||||
Net income | — | — | 212,905 | — | 212,905 | |||||||||||||||
Other comprehensive income (loss) | ||||||||||||||||||||
Net unrealized gains on available-for-sale securities | — | — | — | 46,242 | 46,242 | |||||||||||||||
Reclassification adjustment for net realized gains on sales of available-for-sale securities included in net income | — | — | — | (219,330 | ) | (219,330 | ) | |||||||||||||
Total comprehensive income | — | — | — | — | 39,817 | |||||||||||||||
Dividends on capital stock (at 3.45 percent annualized rate) | ||||||||||||||||||||
Cash | — | — | (133 | ) | — | (133 | ) | |||||||||||||
Mandatorily redeemable capital stock | (73 | ) | (73 | ) | ||||||||||||||||
Stock | 646 | 64,662 | (64,662 | ) | — | — | ||||||||||||||
BALANCE, SEPTEMBER 30, 2005 | 26,085 | $ | 2,608,505 | $ | 173,957 | $ | (3,687 | ) | $ | 2,778,775 | ||||||||||
BALANCE, JANUARY 1, 2004 (as previously reported) | 26,611 | $ | 2,661,133 | $ | 108,612 | $ | (28,300 | ) | $ | 2,741,445 | ||||||||||
Restatement (Note 2) | — | — | (103,398 | ) | 163,875 | 60,477 | ||||||||||||||
BALANCE, JANUARY 1, 2004 (restated) | 26,611 | 2,661,133 | 5,214 | 135,575 | 2,801,922 | |||||||||||||||
Proceeds from sale of capital stock | 7,106 | 710,613 | — | — | 710,613 | |||||||||||||||
Repurchase/redemption of capital stock | (5,118 | ) | (511,789 | ) | — | — | (511,789 | ) | ||||||||||||
Shares reclassified to mandatorily redeemable capital stock | (4,068 | ) | (406,806 | ) | — | — | (406,806 | ) | ||||||||||||
Comprehensive income (restated) | ||||||||||||||||||||
Net income (restated) | — | — | 45,383 | — | 45,383 | |||||||||||||||
Other comprehensive income, restated | ||||||||||||||||||||
Net unrealized gains on available-for-sale securities (restated) | — | — | — | 8,146 | 8,146 | |||||||||||||||
Total comprehensive income (restated) | — | — | — | — | 53,529 | |||||||||||||||
Dividends on capital stock (at 1.65 percent annualized rate) | ||||||||||||||||||||
Cash | — | — | (130 | ) | — | (130 | ) | |||||||||||||
Mandatorily redeemable capital stock | (25 | ) | (25 | ) | ||||||||||||||||
Stock | 286 | 28,622 | (28,622 | ) | — | — | ||||||||||||||
BALANCE, SEPTEMBER 30, 2004 (restated) | 24,817 | $ | 2,481,773 | $ | 21,820 | $ | 143,721 | $ | 2,647,314 | |||||||||||
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For the Nine Months Ended | ||||||||
September 30, | ||||||||
2005 | 2004 | |||||||
(restated) | ||||||||
OPERATING ACTIVITIES | ||||||||
Net income | $ | 212,905 | $ | 45,383 | ||||
Adjustments to reconcile net income to net cash provided by (used in) operating activities | ||||||||
Depreciation and amortization | ||||||||
Net premiums and discounts on consolidated obligations, investments, mortgage loans, and deferred costs and fees received on derivatives | 90 | (10,171 | ) | |||||
Concessions on consolidated obligation bonds | 8,600 | 16,945 | ||||||
Premises, equipment and computer software costs | 2,227 | 1,550 | ||||||
Provision (reduction) for credit losses on mortgage loans | (56 | ) | (16 | ) | ||||
Non-cash interest on mandatorily redeemable capital stock | 8,395 | 4,634 | ||||||
Gains on early extinguishment of debt | (3,200 | ) | (1,414 | ) | ||||
Net gains on sales of available-for-sale securities | (218,849 | ) | — | |||||
Decrease in trading securities | 24,772 | 55,207 | ||||||
Loss (gain) due to change in net fair value adjustment on derivative and hedging activities | (287,320 | ) | 7,127 | |||||
Loss on disposal of bank premises and equipment | — | 103 | ||||||
Decrease (increase) in accrued interest receivable | 26,585 | (1,380 | ) | |||||
Decrease (increase) in derivative asset-net accrued interest | (13,632 | ) | 6,847 | |||||
Increase (decrease) in derivative liability-net accrued interest | (45,738 | ) | 8,048 | |||||
Decrease in other assets | 1,917 | 681 | ||||||
Increase (decrease) in Affordable Housing Program (AHP) liability | 17,114 | (1,253 | ) | |||||
Increase (decrease) in accrued interest payable | 25,895 | (18,863 | ) | |||||
Increase (decrease) in payable to REFCORP | 35,278 | (3,921 | ) | |||||
Increase (decrease) in other liabilities | 10,846 | (33,498 | ) | |||||
Total adjustments | (407,076 | ) | 30,626 | |||||
Net cash provided by (used in) operating activities | (194,171 | ) | 76,009 | |||||
INVESTING ACTIVITIES | ||||||||
Net (increase) decrease in interest-bearing deposits | 161,219 | (318,710 | ) | |||||
Net increase in federal funds sold | (6,665,000 | ) | (487,000 | ) | ||||
Proceeds from maturities of long-term held-to-maturity securities | 1,259,704 | 1,465,078 | ||||||
Purchases of long-term held-to-maturity securities | (1,616,730 | ) | (1,594,478 | ) | ||||
Proceeds from sales of available-for-sale securities | 4,476,514 | — | ||||||
Proceeds from maturities of available-for-sale securities | 233,740 | 110,918 | ||||||
Principal collected on advances | 378,852,818 | 428,106,326 | ||||||
Advances made | (381,576,321 | ) | (434,929,043 | ) | ||||
Principal collected on mortgage loans held for portfolio | 126,734 | 214,041 | ||||||
Purchases of premises and equipment | (698 | ) | (4,378 | ) | ||||
Net cash used in investing activities | (4,748,020 | ) | (7,437,246 | ) | ||||
FINANCING ACTIVITIES | ||||||||
Net decrease in deposits | 570,969 | 43,647 | ||||||
Net proceeds from issuance of consolidated obligations | ||||||||
Discount notes | 275,432,638 | 52,833,326 | ||||||
Bonds | 17,361,265 | 22,439,937 | ||||||
Debt issuance costs | (7,996 | ) | (12,459 | ) | ||||
Proceeds from assumption of debt from other FHLBanks | 426,811 | 371,211 | ||||||
Payments for maturing and retiring consolidated obligations | ||||||||
Discount notes | (268,140,068 | ) | (52,715,056 | ) | ||||
Bonds | (20,664,266 | ) | (15,767,681 | ) | ||||
Proceeds from issuance of capital stock | 366,793 | 710,613 | ||||||
Payments for redemption of mandatorily redeemable capital stock | (12,727 | ) | (84,771 | ) | ||||
Payments for repurchase/redemption of capital stock | (308,505 | ) | (511,789 | ) | ||||
Cash dividends paid | (133 | ) | (130 | ) | ||||
Net cash provided by financing activities | 5,024,781 | 7,306,848 | ||||||
Net increase (decrease) in cash and cash equivalents | 82,590 | (54,389 | ) | |||||
Cash and cash equivalents at beginning of the period | 44,231 | 163,609 | ||||||
Cash and cash equivalents at end of the period | $ | 126,821 | $ | 109,220 | ||||
Supplemental Disclosures: | ||||||||
Interest paid | $ | 1,434,137 | $ | 763,740 | ||||
AHP payments | $ | 7,479 | $ | 6,811 | ||||
REFCORP payments | $ | 17,948 | $ | 15,265 | ||||
Stock dividends issued | $ | 64,662 | $ | 28,622 | ||||
Dividends paid through issuance of mandatorily redeemable capital stock | $ | 73 | $ | 25 | ||||
Capital stock reclassified to mandatorily redeemable capital stock | $ | 7,234 | $ | 406,806 | ||||
F-57
Table of Contents
F-58
Table of Contents
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2004
(In thousands)
As previously | ||||||||||||
reported | Adjustments | As restated | ||||||||||
INTEREST INCOME | ||||||||||||
Available-for-sale securities | $ | 67,131 | $ | 44,136 | $ | 111,267 | ||||||
Other | 788,803 | — | 788,803 | |||||||||
Total interest income | 855,934 | 43,136 | 900,070 | |||||||||
INTEREST EXPENSE | ||||||||||||
Consolidated obligations | ||||||||||||
Bonds | 623,857 | 9,673 | 633,530 | |||||||||
Discount notes | 74,413 | 1,228 | 75,641 | |||||||||
Other | 23,795 | — | 23,795 | |||||||||
Total interest expense | 722,065 | 10,901 | 732,966 | |||||||||
NET INTEREST INCOME | 133,869 | 33,235 | 167,104 | |||||||||
Provision (reduction) for credit losses on mortgage loans | (16 | ) | — | (16 | ) | |||||||
NET INTEREST INCOME AFTER MORTGAGE LOAN LOSS PROVISION | 133,885 | 33,235 | 167,120 | |||||||||
OTHER INCOME (LOSS) | ||||||||||||
Net realized and unrealized losses on derivatives and hedging activities | (22,748 | ) | (52,813 | ) | (75,561 | ) | ||||||
Gains on early extinguishment of debt | 3,651 | (2,237 | ) | 1,414 | ||||||||
Other, net | (1,498 | ) | — | (1,498 | ) | |||||||
Total other income (loss) | (20,595 | ) | (55,050 | ) | (75,645 | ) | ||||||
OTHER EXPENSE | ||||||||||||
Salaries and benefits | 15,250 | (1,624 | ) | 13,626 | ||||||||
Other | 15,563 | — | 15,563 | |||||||||
Total other expense | 30,813 | (1,624 | ) | 29,189 | ||||||||
INCOME BEFORE ASSESSMENTS | 82,477 | (20,191 | ) | 62,286 | ||||||||
Affordable Housing Program | 7,206 | (1,648 | ) | 5,558 | ||||||||
REFCORP | 15,054 | (3,709 | ) | 11,345 | ||||||||
Total assessments | 22,260 | (5,357 | ) | 16,903 | ||||||||
NET INCOME | $ | 60,217 | $ | (14,834 | ) | $ | 45,383 | |||||
F-59
Table of Contents
F-60
Table of Contents
September 30, 2005 | December 31, 2004 | |||||||
Mortgage-backed securities | ||||||||
Government-sponsored enterprises | $ | 51,905 | $ | 76,976 | ||||
Other | 1,907 | 1,607 | ||||||
Total | $ | 53,812 | $ | 78,583 | ||||
Gross | Gross | Estimated | ||||||||||||||
Amortized | Unrealized | Unrealized | Fair | |||||||||||||
Cost | Gains | Losses | Value | |||||||||||||
Government-sponsored enterprises | $ | 89,610 | $ | 3,558 | $ | 7,189 | $ | 85,979 | ||||||||
FHLBank consolidated obligations | ||||||||||||||||
FHLBank of Boston (primary obligor) | 35,943 | 65 | — | 36,008 | ||||||||||||
FHLBank of San Francisco (primary obligor) | 5,884 | 861 | — | 6,745 | ||||||||||||
131,437 | 4,484 | 7,189 | 128,732 | |||||||||||||
Mortgage-backed securities | ||||||||||||||||
Government-sponsored enterprises | 705,467 | 705 | 1,009 | 705,163 | ||||||||||||
Other | 247,730 | 116 | 794 | 247,052 | ||||||||||||
953,197 | 821 | 1,803 | 952,215 | |||||||||||||
Total | $ | 1,084,634 | $ | 5,305 | $ | 8,992 | $ | 1,080,947 | ||||||||
F-61
Table of Contents
Gross | Gross | Estimated | ||||||||||||||
Amortized | Unrealized | Unrealized | Fair | |||||||||||||
Cost | Gains | Losses | Value | |||||||||||||
(restated) | (restated) | (restated) | ||||||||||||||
U.S. government guaranteed obligations | $ | 76,521 | $ | 4,594 | $ | — | $ | 81,115 | ||||||||
Government-sponsored enterprises | 4,322,920 | 173,911 | 9,481 | 4,487,350 | ||||||||||||
FHLBank consolidated obligations | ||||||||||||||||
FHLBank of Boston (primary obligor) | 37,156 | 95 | — | 37,251 | ||||||||||||
FHLBank of San Francisco (primary obligor) | 13,237 | 1,991 | — | 15,228 | ||||||||||||
4,449,834 | 180,591 | 9,481 | 4,620,944 | |||||||||||||
Mortgage-backed securities | ||||||||||||||||
Government-sponsored enterprises | 905,214 | 822 | 1,474 | 904,562 | ||||||||||||
Other | 261,143 | 185 | �� | 1,242 | 260,086 | |||||||||||
1,166,357 | 1,007 | 2,716 | 1,164,648 | |||||||||||||
Total | $ | 5,616,191 | $ | 181,598 | $ | 12,197 | $ | 5,785,592 | ||||||||
September 30, 2005 | December 31, 2004 | |||||||||||||||
Estimated | Estimated | |||||||||||||||
Amortized | Fair | Amortized | Fair | |||||||||||||
Year of Maturity | Cost | Value | Cost | Value | ||||||||||||
(restated) | ||||||||||||||||
Due in one year or less | $ | 21,655 | $ | 21,667 | $ | 58,610 | $ | 59,435 | ||||||||
Due after one year through five years | 41,826 | 42,753 | 83,818 | 85,569 | ||||||||||||
Due after five years through ten years | — | — | 2,441,669 | 2,769,459 | ||||||||||||
Due after ten years | 67,956 | 64,312 | 1,565,737 | 1,706,481 | ||||||||||||
131,437 | 128,732 | 4,449,834 | 4,620,944 | |||||||||||||
Mortgage-backed securities | 953,197 | 952,215 | 1,166,357 | 1,164,648 | ||||||||||||
Total | $ | 1,084,634 | $ | 1,080,947 | $ | 5,616,191 | $ | 5,785,592 | ||||||||
F-62
Table of Contents
September 30, 2005 | December 31, 2004 | |||||||
(restated) | ||||||||
Amortized cost of available-for-sale securities other than mortgage-backed securities: | ||||||||
Fixed-rate | $ | 89,610 | $ | 4,399,441 | ||||
Variable-rate | 41,827 | 50,393 | ||||||
131,437 | 4,449,834 | |||||||
Amortized cost of available-for-sale mortgage-backed securities: | ||||||||
Fixed-rate pass-through securities | 898,225 | 1,086,867 | ||||||
Fixed-rate collateralized mortgage obligations | 54,972 | 79,490 | ||||||
953,197 | 1,166,357 | |||||||
Total | $ | 1,084,634 | $ | 5,616,191 | ||||
Gross | Gross | |||||||||||||||
Amortized | Unrealized | Unrealized | Estimated | |||||||||||||
Cost | Gains | Losses | Fair Value | |||||||||||||
U.S. government guaranteed obligations | $ | 169,668 | $ | 509 | $ | 823 | $ | 169,354 | ||||||||
State or local housing agency obligations | 6,810 | 1 | — | 6,811 | ||||||||||||
176,478 | 510 | 823 | 176,165 | |||||||||||||
Mortgage-backed securities | ||||||||||||||||
U.S. government guaranteed obligations | 67,232 | 427 | — | 67,659 | ||||||||||||
Government-sponsored enterprises | 4,844,878 | 18,836 | 1,817 | 4,861,897 | �� | |||||||||||
Other | 2,532,580 | 49,173 | 2,021 | 2,579,732 | ||||||||||||
7,444,690 | 68,436 | 3,838 | 7,509,288 | |||||||||||||
Total | $ | 7,621,168 | $ | 68,946 | $ | 4,661 | $ | 7,685,453 | ||||||||
Gross | Gross | |||||||||||||||
Amortized | Unrealized | Unrealized | Estimated | |||||||||||||
Cost | Gains | Losses | Fair Value | |||||||||||||
U.S. government guaranteed obligations | $ | 178,869 | $ | 587 | $ | 772 | $ | 178,684 | ||||||||
State or local housing agency obligations | 7,825 | 2 | — | 7,827 | ||||||||||||
186,694 | 589 | 772 | 186,511 | |||||||||||||
Mortgage-backed securities | ||||||||||||||||
U.S. government guaranteed obligations | 94,691 | 620 | 2 | 95,309 | ||||||||||||
Government-sponsored enterprises | 5,307,058 | 15,701 | 1,720 | 5,321,039 | ||||||||||||
Other | 1,675,890 | 80,264 | 366 | 1,755,788 | ||||||||||||
7,077,639 | 96,585 | 2,088 | 7,172,136 | |||||||||||||
Total | $ | 7,264,333 | $ | 97,174 | $ | 2,860 | $ | 7,358,647 | ||||||||
F-63
Table of Contents
September 30, 2005 | December 31, 2004 | |||||||||||||||
Amortized | Estimated | Amortized | Estimated | |||||||||||||
Year of Maturity | Cost | Fair Value | Cost | Fair Value | ||||||||||||
Due in one year or less | $ | 1,272 | $ | 1,261 | $ | — | $ | — | ||||||||
Due after one year through five years | 56,008 | 55,915 | 60,215 | 60,269 | ||||||||||||
Due after five years through ten years | 8,536 | 8,737 | 11,198 | 11,372 | ||||||||||||
Due after ten years | 110,662 | 110,252 | 115,281 | 114,870 | ||||||||||||
176,478 | 176,165 | 186,694 | 186,511 | |||||||||||||
Mortgage-backed securities | 7,444,690 | 7,509,288 | 7,077,639 | 7,172,136 | ||||||||||||
Total | $ | 7,621,168 | $ | 7,685,453 | $ | 7,264,333 | $ | 7,358,647 | ||||||||
September 30, 2005 | December 31, 2004 | |||||||
Amortized cost of variable-rate held-to-maturity securities other than mortgage-backed securities | $ | 176,478 | $ | 186,694 | ||||
Amortized cost of held-to-maturity mortgage-backed securities: | ||||||||
Fixed-rate pass-through securities | 4,788 | 6,712 | ||||||
Collateralized mortgage obligations: | ||||||||
Fixed-rate | 804,643 | 809,528 | ||||||
Variable-rate | 6,635,259 | 6,261,399 | ||||||
7,444,690 | 7,077,639 | |||||||
Total | $ | 7,621,168 | $ | 7,264,333 | ||||
September 30, 2005 | December 31, 2004 | |||||||||||||||
(restated) | ||||||||||||||||
Weighted | Weighted | |||||||||||||||
Average | Average | |||||||||||||||
Interest | Interest | |||||||||||||||
Maturity | Amount | Rate | Amount | Rate | ||||||||||||
Overdrawn demand deposit accounts | $ | 2,497 | 7.88 | % | $ | 26 | 5.94 | % | ||||||||
Due in one year or less | 23,232,984 | 3.65 | 15,147,564 | 2.26 | ||||||||||||
Due after one year through two years | 7,812,419 | 3.69 | 9,927,115 | 2.49 | ||||||||||||
Due after two years through three years | 4,403,766 | 3.92 | 6,012,451 | 2.53 | ||||||||||||
Due after three years through four years | 3,873,082 | 3.79 | 5,058,184 | 2.67 | ||||||||||||
Due after four years through five years | 3,280,224 | 4.06 | 3,067,658 | 2.55 | ||||||||||||
Due after five years | 1,147,450 | 4.80 | 1,288,294 | 5.11 | ||||||||||||
Amortizing advances | 5,988,595 | 4.26 | 6,516,216 | 4.20 | ||||||||||||
Total par value | 49,741,017 | 3.82 | % | 47,017,508 | 2.75 | % | ||||||||||
SFAS 133 hedging adjustments | (10,142 | ) | 94,509 | |||||||||||||
Total | $ | 49,730,875 | $ | 47,112,017 | ||||||||||||
F-64
Table of Contents
Maturity or Next Call Date | September 30, 2005 | December 31, 2004 | ||||||
Overdrawn demand deposit accounts | $ | 2,497 | $ | 26 | ||||
Due in one year or less | 23,266,995 | 15,214,589 | ||||||
Due after one year through two years | 7,817,298 | 9,930,861 | ||||||
Due after two years through three years | 4,428,898 | 6,021,036 | ||||||
Due after three years through four years | 3,889,642 | 5,081,322 | ||||||
Due after four years through five years | 3,307,723 | 3,082,942 | ||||||
Due after five years | 1,039,369 | 1,170,516 | ||||||
Amortizing advances | 5,988,595 | 6,516,216 | ||||||
Total par value | $ | 49,741,017 | $ | 47,017,508 | ||||
Maturity or Next Put Date | September 30, 2005 | December 31, 2004 | ||||||
Overdrawn demand deposit accounts | $ | 2,497 | $ | 26 | ||||
Due in one year or less | 24,612,684 | 17,316,264 | ||||||
Due after one year through two years | 7,842,419 | 9,537,115 | ||||||
Due after two years through three years | 3,921,666 | 5,662,451 | ||||||
Due after three years through four years | 3,714,082 | 4,556,084 | ||||||
Due after four years through five years | 2,941,124 | 2,849,358 | ||||||
Due after five years | 717,950 | 579,994 | ||||||
Amortizing advances | 5,988,595 | 6,516,216 | ||||||
Total par value | $ | 49,741,017 | $ | 47,017,508 | ||||
September 30, 2005 | December 31, 2004 | |||||||
Fixed-rate | $ | 26,450,287 | $ | 24,354,663 | ||||
Variable-rate | 23,290,730 | 22,662,845 | ||||||
Total par value | $ | 49,741,017 | $ | 47,017,508 | ||||
F-65
Table of Contents
2005 | 2004 | |||||||
(restated) | ||||||||
Balance, beginning of period | $ | 20,703 | $ | 22,610 | ||||
AHP assessments | 24,593 | 5,558 | ||||||
Grants funded | (7,479 | ) | (6,811 | ) | ||||
Balance, end of period | $ | 37,817 | $ | 21,357 | ||||
September 30, 2005 | December 31, 2004 | |||||||
Fixed-rate | $ | 31,583,613 | $ | 38,695,324 | ||||
Step-up | 8,833,830 | 7,997,505 | ||||||
Step-up/step-down | 15,000 | — | ||||||
Simple variable-rate | 7,573,325 | 4,397,000 | ||||||
Fixed that converts to variable | 465,000 | 340,000 | ||||||
Variable that converts to fixed | 170,000 | 50,000 | ||||||
Comparative-index | 105,000 | 175,000 | ||||||
Total par value | $ | 48,745,768 | $ | 51,654,829 | ||||
September 30, 2005 | December 31, 2004 | |||||||||||||||
Weighted | Weighted | |||||||||||||||
Average | Average | |||||||||||||||
Interest | Interest | |||||||||||||||
Maturity | Amount | Rate | Amount | Rate | ||||||||||||
(restated) | ||||||||||||||||
Due in one year or less | $ | 15,497,925 | 3.26 | % | $ | 18,417,325 | 2.02 | % | ||||||||
Due after one year through two years | 11,050,615 | 3.54 | 10,169,500 | 2.78 | ||||||||||||
Due after two years through three years | 6,904,105 | 3.70 | 6,416,875 | 3.33 | ||||||||||||
Due after three years through four years | 5,331,208 | 4.05 | 5,526,370 | 3.50 | ||||||||||||
Due after four years through five years | 3,372,735 | 4.21 | 4,345,314 | 4.02 | ||||||||||||
Thereafter | 6,589,180 | 4.66 | 6,779,445 | 4.11 | ||||||||||||
Total par value | 48,745,768 | 3.72 | % | 51,654,829 | 2.94 | % | ||||||||||
Bond premiums | 32,034 | 31,464 | ||||||||||||||
Bond discounts | (23,723 | ) | (25,358 | ) | ||||||||||||
SFAS 133 hedging adjustments | (447,371 | ) | (191,000 | ) | ||||||||||||
48,306,708 | 51,469,935 | |||||||||||||||
Bonds held in treasury | (5,100 | ) | (17,800 | ) | ||||||||||||
Total | $ | 48,301,608 | $ | 51,452,135 | ||||||||||||
F-66
Table of Contents
September 30, 2005 | December 31, 2004 | |||||||
Non-callable or non-putable bonds | $ | 22,375,068 | $ | 19,746,324 | ||||
Callable bonds | 26,370,700 | 31,908,505 | ||||||
Total par value | $ | 48,745,768 | $ | 51,654,829 | ||||
Maturity or Next Call Date | September 30, 2005 | December 31, 2004 | ||||||
Due in one year or less | $ | 34,022,565 | $ | 36,725,805 | ||||
Due after one year through two years | 8,052,415 | 7,719,500 | ||||||
Due after two years through three years | 2,615,260 | 2,879,700 | ||||||
Due after three years through four years | 1,788,018 | 1,374,000 | ||||||
Due after four years through five years | 794,525 | 1,657,564 | ||||||
Thereafter | 1,472,985 | 1,298,260 | ||||||
Total par value | $ | 48,745,768 | $ | 51,654,829 | ||||
Weighted | ||||||||||||
Average | ||||||||||||
Book Value | Par Value | Interest Rate | ||||||||||
September 30, 2005 | $ | 14,371,981 | $ | 14,392,000 | 3.47 | % | ||||||
December 31, 2004 (restated) | $ | 7,085,710 | $ | 7,100,000 | 2.15 | % | ||||||
September 30, 2005 | December 31, 2004 | |||||||||||||||
Required | Actual | Required | Actual | |||||||||||||
(restated) | (restated) | |||||||||||||||
Regulatory capital requirements: | ||||||||||||||||
Risk-based capital | $ | 495,666 | $ | 3,112,558 | $ | 527,718 | $ | 2,845,830 | ||||||||
Total capital | $ | 2,769,740 | $ | 3,112,558 | $ | 2,584,494 | $ | 2,845,830 | ||||||||
Total capital-to-assets ratio | 4.00 | % | 4.49 | % | 4.00 | % | 4.40 | % | ||||||||
Leverage capital | $ | 3,462,174 | $ | 4,668,837 | $ | 3,230,618 | $ | 4,268,745 | ||||||||
Leverage capital-to-assets ratio | 5.00 | % | 6.74 | % | 5.00 | % | 6.61 | % |
F-67
Table of Contents
Nine Months Ended September 30, | ||||||||
2005 | 2004 | |||||||
(restated) | ||||||||
Service cost | $ | 111 | $ | 173 | ||||
Interest cost | 144 | 180 | ||||||
Amortization of prior service cost | 48 | 190 | ||||||
Amortization of net loss | 30 | 12 | ||||||
Net periodic benefit cost | $ | 333 | $ | 555 | ||||
F-68
Table of Contents
September 30, 2005 | December 31, 2004 | |||||||||||||||
(restated) | ||||||||||||||||
Estimated | Estimated | |||||||||||||||
Notional | Fair Value | Notional | Fair Value | |||||||||||||
Interest rate swaps | ||||||||||||||||
Fair Value | $ | 43,047,839 | $ | (528,897 | ) | $ | 53,425,679 | $ | (489,990 | ) | ||||||
Economic | 156,336 | (13,969 | ) | 6,969,143 | (208,835 | ) | ||||||||||
Interest rate caps/floors | ||||||||||||||||
Fair Value | 290,000 | 5,257 | 55,000 | 2,033 | ||||||||||||
Economic | 3,915,000 | 1,936 | 3,915,000 | 4,936 | ||||||||||||
$ | 47,409,175 | $ | (535,673 | ) | $ | 64,364,822 | $ | (691,856 | ) | |||||||
Total derivatives excluding accrued interest | $ | (535,673 | ) | $ | (691,856 | ) | ||||||||||
Accrued interest | 110,078 | 50,708 | ||||||||||||||
Net derivative balances | $ | (425,595 | ) | $ | (641,148 | ) | ||||||||||
Net derivative asset balances | $ | — | $ | 17,619 | ||||||||||||
Net derivative liability balances | (425,595 | ) | (658,767 | ) | ||||||||||||
Net derivative balances | $ | (425,595 | ) | $ | (641,148 | ) | ||||||||||
F-69
Table of Contents
F-70
Table of Contents
F-71
Table of Contents
Nine Months Ended September 30, | ||||||||
2005 | 2004 | |||||||
Balance, January 1 | $ | — | $ | — | ||||
Loans made to FHLBank of Pittsburgh | 3,115,000 | 3,793,000 | ||||||
Collections from FHLBank of Pittsburgh | (3,115,000 | ) | (3,793,000 | ) | ||||
Balance, September 30 | $ | — | $ | — | ||||
Nine Months Ended September 30, | ||||||||
2005 | 2004 | |||||||
Balance, January 1 | $ | — | $ | — | ||||
Borrowings from FHLBank of Atlanta | 125,000 | 100,000 | ||||||
Borrowings from FHLBank of Pittsburgh | 190,000 | — | ||||||
Repayments to FHLBank of Atlanta | (125,000 | ) | (100,000 | ) | ||||
Repayments to FHLBank of Pittsburgh | (190,000 | ) | — | |||||
Balance, September 30 | $ | — | $ | — | ||||
F-72
Table of Contents
F-73
Table of Contents
Exhibit No. | ||||
3.1 | Organization Certificate of the Registrant. | |||
3.2 | By-Laws of the Registrant. | |||
4.1 | Amended and Revised Capital Plan of the Registrant, dated June 24, 2004. | |||
10.1 | Deferred Compensation Plan of the Registrant, effective July 24, 2004 (governs deferrals made prior to January 1, 2005). | |||
10.2 | Deferred Compensation Plan of the Registrant for Deferrals Effective January 1, 2005. | |||
10.3 | Non-Qualified Deferred Compensation Plan for the Board of Directors of the Registrant, effective July 24, 2004 (governs deferrals made prior to January 1, 2005). | |||
10.4 | Non-Qualified Deferred Compensation Plan for the Board of Directors of the Registrant for Deferrals Effective January 1, 2005. | |||
10.5 | Form of Special Non-Qualified Deferred Compensation Plan of the Registrant, effective as of January 1, 2004. | |||
12.1 | Computation of Ratio of Earnings to Fixed Charges. |