10-Q 1 fhlbdallas0331201310q.htm 10-Q FHLB Dallas 03.31.2013 10Q

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
þ
 
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended March 31, 2013
OR
o
 
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
Commission File Number 000-51405
FEDERAL HOME LOAN BANK OF DALLAS
(Exact name of registrant as specified in its charter)
Federally chartered corporation
(State or other jurisdiction of incorporation
or organization)
 
71-6013989
(I.R.S. Employer
Identification Number)
 
 
 
8500 Freeport Parkway South, Suite 600
Irving, TX
(Address of principal executive offices)
 
75063-2547
(Zip code)
(214) 441-8500
(Registrant’s telephone number, including area code)
Indicate by check mark whether the registrant [1] has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and [2] has been subject to such filing requirements for the past 90 days.
Yes þ No o
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (17 C.F.R. §232.405) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).
Yes þ No o
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act:
Large accelerated filer o
 
Accelerated filer o
 
Non-accelerated filer þ
 
Smaller reporting company o
 
 
 
 
(Do not check if a smaller reporting company)
 
 
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).
Yes o No þ
Indicate the number of shares outstanding of each of the issuer’s classes of common stock, as of the latest practicable date:
At April 30, 2013, the registrant had outstanding 10,052,521 shares of its Class B Capital Stock, $100 par value per share.
 



FEDERAL HOME LOAN BANK OF DALLAS
TABLE OF CONTENTS

 
Page
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 EX-31.1
 EX-31.2
 EX-32.1
 EX-101 INSTANCE DOCUMENT
 EX-101 SCHEMA DOCUMENT
 EX-101 CALCULATION LINKBASE DOCUMENT
 EX-101 LABELS LINKBASE DOCUMENT
 EX-101 PRESENTATION LINKBASE DOCUMENT
 EX-101 DEFINITION LINKBASE DOCUMENT




PART I. FINANCIAL INFORMATION
ITEM 1. FINANCIAL STATEMENTS
FEDERAL HOME LOAN BANK OF DALLAS
STATEMENTS OF CONDITION
(Unaudited; in thousands, except share data)
 
March 31,
2013
 
December 31,
2012
ASSETS
 

 
 

Cash and due from banks
$
2,227,364

 
$
920,780

Interest-bearing deposits
323

 
254

Securities purchased under agreements to resell (Note 9)

 
3,000,000

Federal funds sold
2,075,000

 
2,219,000

Trading securities
7,972

 
7,541

Available-for-sale securities (Note 3)
5,739,604

 
5,772,153

Held-to-maturity securities (a) (Note 4)
5,019,692

 
5,199,875

Advances (Notes 5 and 6)
15,722,021

 
18,394,797

Mortgage loans held for portfolio, net of allowance for credit losses of $175 and $183 at March 31, 2013 and December 31, 2012, respectively (Note 6)
113,305

 
121,478

Accrued interest receivable
83,899

 
72,531

Premises and equipment, net
20,000

 
20,202

Derivative assets (Notes 9 and 10)
12,630

 
13,947

Other assets
11,694

 
12,771

TOTAL ASSETS
$
31,033,504

 
$
35,755,329

 
 
 
 
LIABILITIES AND CAPITAL
 
 
 
Deposits
 
 
 
Interest-bearing
$
1,038,993

 
$
1,177,935

Non-interest bearing
33

 
29

Total deposits
1,039,026

 
1,177,964

 
 
 
 
Consolidated obligations (Note 7)
 
 
 
Discount notes
4,557,939

 
6,984,378

Bonds
23,605,673

 
25,697,936

Total consolidated obligations
28,163,612

 
32,682,314

 
 
 
 
Mandatorily redeemable capital stock
4,246

 
4,504

Accrued interest payable
56,396

 
53,940

Affordable Housing Program (Note 8)
29,806

 
29,620

Derivative liabilities (Notes 9 and 10)
13,987

 
11,268

Other liabilities (Notes 13 and 14)
21,861

 
25,085

Total liabilities
29,328,934

 
33,984,695

 
 
 
 
Commitments and contingencies (Notes 6 and 14)


 


 
 
 
 
CAPITAL (Note 11)
 
 
 
Capital stock — Class B putable ($100 par value) issued and outstanding shares: 11,090,031 and 12,169,858 shares at March 31, 2013 and December 31, 2012, respectively
1,109,003

 
1,216,986

Retained earnings
 
 
 
Unrestricted
562,951

 
549,617

Restricted
25,898

 
22,276

Total retained earnings
588,849

 
571,893

Accumulated other comprehensive income (loss) (Note 17)
6,718

 
(18,245
)
Total capital
1,704,570

 
1,770,634

TOTAL LIABILITIES AND CAPITAL
$
31,033,504

 
$
35,755,329

_____________________________
(a)
Fair values: $5,103,372 and $5,283,965 at March 31, 2013 and December 31, 2012, respectively.
The accompanying notes are an integral part of these financial statements.

1


FEDERAL HOME LOAN BANK OF DALLAS
STATEMENTS OF INCOME
(Unaudited, in thousands)

 
 
For the Three Months Ended
 
 
March 31,
 
 
2013
 
2012
INTEREST INCOME
 
 
 
 
Advances
 
$
37,711

 
$
50,429

Prepayment fees on advances, net
 
394

 
1,971

Interest-bearing deposits
 
423

 
153

Securities purchased under agreements to resell
 
730

 
566

Federal funds sold
 
663

 
436

Available-for-sale securities
 
5,954

 
7,602

Held-to-maturity securities
 
14,436

 
17,952

Mortgage loans held for portfolio
 
1,632

 
2,187

Other
 
1

 

Total interest income
 
61,944

 
81,296

INTEREST EXPENSE
 
 
 
 
Consolidated obligations
 
 
 
 
Bonds
 
24,881

 
38,974

Discount notes
 
2,212

 
1,625

Deposits
 
36

 
43

Mandatorily redeemable capital stock
 
4

 
7

Other borrowings
 
2

 
1

Total interest expense
 
27,135

 
40,650

NET INTEREST INCOME
 
34,809

 
40,646

 
 
 
 
 
OTHER INCOME (LOSS)
 
 
 
 
Total other-than-temporary impairment losses on held-to-maturity securities
 

 

Net non-credit impairment losses on held-to-maturity securities recognized in other comprehensive income
 

 
(214
)
Credit component of other-than-temporary impairment losses on held-to-maturity securities
 

 
(214
)
 
 
 
 
 
Net gains on trading securities
 
344

 
182

Net gains on derivatives and hedging activities
 
1,788

 
2,577

Gains on other liabilities carried at fair value under the fair value option
 

 
1,142

Letter of credit fees
 
1,164

 
1,229

Other, net
 
530

 
513

Total other income
 
3,826

 
5,429

OTHER EXPENSE
 
 
 
 
Compensation and benefits
 
10,929

 
11,447

Other operating expenses
 
6,195

 
6,290

Finance Agency
 
720

 
799

Office of Finance
 
668

 
574

Total other expense
 
18,512

 
19,110

INCOME BEFORE ASSESSMENTS
 
20,123

 
26,965

Affordable Housing Program assessment
 
2,013

 
2,697

NET INCOME
 
$
18,110

 
$
24,268

The accompanying notes are an integral part of these financial statements.

2


FEDERAL HOME LOAN BANK OF DALLAS
STATEMENTS OF COMPREHENSIVE INCOME
(Unaudited, in thousands)

 
 
For the Three Months Ended
 
 
March 31,
 
 
2013
 
2012
NET INCOME
 
$
18,110

 
$
24,268

OTHER COMPREHENSIVE INCOME (LOSS)
 
 
 
 
Net unrealized gains on available-for-sale securities, net of unrealized gains and losses relating to hedged interest rate risk included in net income
 
23,130

 
3,084

Reclassification adjustment for non-credit portion of other-than-temporary impairment losses recognized as credit losses in net income
 

 
214

Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities
 
2,054

 
2,757

Postretirement benefit plan
 
 
 
 
Prior service cost
 
(211
)
 

Amortization of prior service credit included in net periodic benefit cost
 
(4
)
 
(9
)
Amortization of net actuarial gain included in net periodic benefit cost
 
(6
)
 
(8
)
Total other comprehensive income
 
24,963

 
6,038

TOTAL COMPREHENSIVE INCOME
 
$
43,073

 
$
30,306


The accompanying notes are an integral part of these financial statements.

3




FEDERAL HOME LOAN BANK OF DALLAS
STATEMENTS OF CAPITAL
FOR THE THREE MONTHS ENDED MARCH 31, 2013 AND 2012
(Unaudited, in thousands)

 
 
 
 
 
 
 
 
 
 
 
Accumulated
 
 
 
Capital Stock
Class B - Putable
 
Retained Earnings
 
Other
Comprehensive
 
Total
 
Shares
 
Par Value
 
Unrestricted
 
Restricted
 
Total
 
Income (Loss)
 
Capital
BALANCE, JANUARY 1, 2013
12,170

 
$
1,216,986

 
$
549,617

 
$
22,276

 
$
571,893

 
$
(18,245
)
 
$
1,770,634

Proceeds from sale of capital stock
1,750

 
175,049

 

 

 

 

 
175,049

Repurchase/redemption of capital stock
(2,844
)
 
(284,388
)
 

 

 

 

 
(284,388
)
Shares reclassified from mandatorily redeemable capital stock
3

 
246

 

 

 

 

 
246

Comprehensive income
 
 
 
 
 
 
 
 
 
 
 
 
 
 Net income

 

 
14,488

 
3,622

 
18,110

 

 
18,110

Other comprehensive income

 

 

 

 

 
24,963

 
24,963

Dividends on capital stock (at 0.375 percent annualized rate)
 
 
 
 
 
 
 
 
 
 
 
 
 
Cash

 

 
(44
)
 

 
(44
)
 

 
(44
)
Stock
11

 
1,110

 
(1,110
)
 

 
(1,110
)
 

 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
BALANCE, MARCH 31, 2013
11,090

 
$
1,109,003

 
$
562,951

 
$
25,898

 
$
588,849

 
$
6,718

 
$
1,704,570

 
 
 
 
 
 
 
 
 
 
 
 
 
 
BALANCE, JANUARY 1, 2012
12,557

 
$
1,255,793

 
$
488,739

 
$
5,918

 
$
494,657

 
$
(45,615
)
 
$
1,704,835

Proceeds from sale of capital stock
1,274

 
127,356

 

 

 

 

 
127,356

Repurchase/redemption of capital stock
(1,383
)
 
(138,262
)
 

 

 

 

 
(138,262
)
Shares reclassified to mandatorily redeemable capital stock
(5
)
 
(590
)
 

 

 

 

 
(590
)
Comprehensive income
 
 
 
 
 
 
 
 
 
 
 
 
 
 Net income

 

 
19,415

 
4,853

 
24,268

 

 
24,268

Other comprehensive income

 

 

 

 

 
6,038

 
6,038

Dividends on capital stock (at 0.375 percent annualized rate)
 
 
 
 
 
 
 
 
 
 
 
 
 
Cash

 

 
(45
)
 

 
(45
)
 

 
(45
)
Mandatorily redeemable capital stock

 

 
(5
)
 

 
(5
)
 

 
(5
)
Stock
11

 
1,112

 
(1,112
)
 

 
(1,112
)
 

 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
BALANCE, MARCH 31, 2012
12,454

 
$
1,245,409

 
$
506,992

 
$
10,771

 
$
517,763

 
$
(39,577
)
 
$
1,723,595


The accompanying notes are an integral part of these financial statements.



4


FEDERAL HOME LOAN BANK OF DALLAS
STATEMENTS OF CASH FLOWS
(Unaudited, in thousands)
 
For the Three Months Ended
 
March 31,
 
2013
 
2012
OPERATING ACTIVITIES
 
 
 
Net income
$
18,110

 
$
24,268

Adjustments to reconcile net income to net cash provided by operating activities
 
 
 
Depreciation and amortization
 
 
 
Net premiums and discounts on advances, consolidated obligations, investments and mortgage loans
8,612

 
14,414

Concessions on consolidated obligation bonds
409

 
1,178

Premises, equipment and computer software costs
1,351

 
1,691

Non-cash interest on mandatorily redeemable capital stock
4

 
10

Credit component of other-than-temporary impairment losses on held-to-maturity securities

 
214

Unrealized gains on other liabilities carried at fair value under the fair value option

 
(1,142
)
Net increase in trading securities
(431
)
 
(454
)
Loss due to change in net fair value adjustment on derivative and hedging activities
22,449

 
16,862

Increase in accrued interest receivable
(11,338
)
 
(14,776
)
Decrease in other assets
740

 
1,617

Increase (decrease) in Affordable Housing Program (AHP) liability
186

 
(1,720
)
Increase in accrued interest payable
2,456

 
21,431

Decrease in other liabilities
(3,445
)
 
(9,774
)
Total adjustments
20,993

 
29,551

Net cash provided by operating activities
39,103

 
53,819

 
 
 
 
INVESTING ACTIVITIES
 
 
 
Net decrease (increase) in interest-bearing deposits, including swap collateral pledged
62,359

 
(11,851
)
Net decrease (increase) in securities purchased under agreements to resell
3,000,000

 
(500,000
)
Net decrease in federal funds sold
144,000

 
449,000

Decrease in loan to other FHLBank

 
35,000

Purchases of available-for-sale securities

 
(406,763
)
Proceeds from maturities of long-term held-to-maturity securities
477,481

 
463,885

Purchases of long-term held-to-maturity securities
(289,842
)
 

Principal collected on advances
87,530,721

 
88,328,288

Advances made
(84,902,657
)
 
(87,749,824
)
Principal collected on mortgage loans held for portfolio
8,097

 
10,594

Purchases of premises, equipment and computer software
(702
)
 
(810
)
Net cash provided by investing activities
6,029,457

 
617,519

 
 
 
 
FINANCING ACTIVITIES
 
 
 
Net increase (decrease) in deposits, including swap collateral held
(138,938
)
 
154,954

Net proceeds from (payments on) derivative contracts with financing elements
(37,092
)
 
9,291

Net proceeds from issuance of consolidated obligations
 
 
 
Discount notes
53,353,249

 
76,001,219

Bonds
2,024,081

 
5,551,319

Debt issuance costs
(517
)
 
(707
)
Payments for maturing and retiring consolidated obligations
 
 
 
Discount notes
(55,780,110
)
 
(77,234,806
)
Bonds
(4,073,250
)
 
(4,022,190
)
Proceeds from issuance of capital stock
175,049

 
127,356

Payments for redemption of mandatorily redeemable capital stock
(16
)
 
(10,711
)
Payments for repurchase/redemption of capital stock
(284,388
)
 
(138,262
)
Cash dividends paid
(44
)
 
(45
)
Net cash provided by (used in) financing activities
(4,761,976
)
 
437,418

 
 
 
 
Net increase in cash and cash equivalents
1,306,584

 
1,108,756

Cash and cash equivalents at beginning of the period
920,780

 
1,152,467

Cash and cash equivalents at end of the period
$
2,227,364

 
$
2,261,223

 
 
 
 
Supplemental Disclosures:
 
 
 
Interest paid
$
35,935

 
$
28,691

AHP payments, net
$
1,827

 
$
4,417

Stock dividends issued
$
1,110

 
$
1,112

Dividends paid through issuance of mandatorily redeemable capital stock
$

 
$
5

Capital stock reclassified to (from) mandatorily redeemable capital stock
$
(246
)
 
$
590

The accompanying notes are an integral part of these financial statements.

5


FEDERAL HOME LOAN BANK OF DALLAS
NOTES TO INTERIM UNAUDITED FINANCIAL STATEMENTS

Note 1—Basis of Presentation
The accompanying interim financial statements of the Federal Home Loan Bank of Dallas (the “Bank”) are unaudited and have been prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) for interim financial information and with the instructions provided by Article 10, Rule 10-01 of Regulation S-X promulgated by the Securities and Exchange Commission (“SEC”). Accordingly, they do not include all of the information and disclosures required by generally accepted accounting principles for complete financial statements. The financial statements contain all adjustments that are, in the opinion of management, necessary for a fair statement of the Bank’s financial position, results of operations and cash flows for the interim periods presented. All such adjustments were of a normal recurring nature. The results of operations for the periods presented are not necessarily indicative of the results to be expected for the full fiscal year or any other interim period.
The Bank’s significant accounting policies and certain other disclosures are set forth in the notes to the audited financial statements for the year ended December 31, 2012. The interim financial statements presented herein should be read in conjunction with the Bank’s audited financial statements and notes thereto, which are included in the Bank’s Annual Report on Form 10-K for the year ended December 31, 2012 filed with the SEC on March 25, 2013 (the “2012 10-K”). The notes to the interim financial statements update and/or highlight significant changes to the notes included in the 2012 10-K.
The Bank is one of 12 district Federal Home Loan Banks, each individually a “FHLBank” and collectively the “FHLBanks,” and, together with the Office of Finance, a joint office of the FHLBanks, the “FHLBank System.” The Office of Finance manages the sale and servicing of the FHLBanks’ consolidated obligations. The Federal Housing Finance Agency (“Finance Agency”), an independent agency in the executive branch of the U.S. government, supervises and regulates the FHLBanks and the Office of Finance.
     Use of Estimates. The preparation of financial statements in conformity with U.S. GAAP requires management to make assumptions and estimates. These assumptions and estimates may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expenses. Significant assumptions include those that are used by the Bank in its periodic evaluation of its holdings of non-agency residential mortgage-backed securities for other-than-temporary impairment (“OTTI”). Significant estimates include the valuations of the Bank’s investment securities, as well as its derivative instruments and any associated hedged items. Actual results could differ from these estimates.

Note 2—Recently Issued Accounting Guidance
     Presentation of Comprehensive Income. On February 5, 2013, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") 2013-02 "Reporting of Amounts Reclassified Out of Accumulated Other Comprehensive Income" ("ASU 2013-02"), which requires an entity to report, either on the face of the statement where net income is presented or in the notes, the effect of significant reclassifications out of accumulated other comprehensive income on the respective line items in net income if the amount being reclassified is required under U.S. GAAP to be reclassified in its entirety to net income. For other amounts that are not required under U.S. GAAP to be reclassified in their entirety to net income in the same reporting period, an entity is required to cross-reference other disclosures required under U.S. GAAP that provide additional detail about those amounts. The guidance in ASU 2013-02 is effective prospectively for fiscal years, and interim periods within those years, beginning after December 15, 2012 (January 1, 2013 for the Bank). The adoption of this guidance did not have any impact on the Bank’s results of operations or financial condition. The required disclosures are presented in Note 17.
Disclosures about Offsetting Assets and Liabilities. On December 16, 2011, the FASB issued ASU 2011-11 "Disclosures about Offsetting Assets and Liabilities," which requires enhanced disclosures about financial instruments and derivative instruments that are either offset in the statement of financial position or subject to an enforceable master netting arrangement or similar agreement, irrespective of whether they are offset. This information is intended to enable users of an entity's financial statements to evaluate the effect or potential effect of netting arrangements on an entity's financial position, including the effect or potential effect of rights of setoff associated with certain financial instruments and derivative instruments. The International Accounting Standards Board concurrently issued similar disclosure guidance.
The eligibility criteria for offsetting are different in International Financial Reporting Standards ("IFRSs") and U.S. GAAP. Unlike IFRSs, U.S. GAAP allows entities the option to present net in their balance sheets derivatives that are subject to a legally enforceable netting arrangement with the same party where rights of setoff are only available in the event of default or bankruptcy. The new disclosure requirements allow investors to better compare financial statements prepared in accordance with IFRSs or U.S. GAAP. The common disclosure requirements also improve transparency in the reporting of how entities mitigate credit risk, including disclosure of related collateral pledged or received.

6


The guidance is effective for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods (January 1, 2013 for the Bank), and is to be applied retrospectively to all periods presented. The adoption of this guidance did not have any impact on the Bank’s results of operations or financial condition. The required disclosures are presented in Note 9.
Asset Classification and Charge-offs. On April 9, 2012, the Finance Agency issued Advisory Bulletin 2012-02, "Framework for Adversely Classifying Loans, Other Real Estate Owned, and Other Assets and Listing Assets for Special Mention" ("AB 2012-02"). The guidance establishes a standard and uniform methodology for classifying assets and prescribes the timing of asset charge-offs, excluding investment securities. The guidance in AB 2012-02 is generally consistent with the Uniform Retail Credit Classification and Account Management Policy issued by the federal banking regulators in June 2000. The adoption of the accounting guidance in AB 2012-02, which is effective January 1, 2015, is not expected to have a significant impact on the Bank's results of operations or financial condition.
Joint and Several Liability Arrangements. On February 28, 2013, the FASB issued ASU 2013-04 “Obligations Resulting from Joint and Several Liability Arrangements for Which the Total Amount of the Obligation Is Fixed at the Reporting Date” (“ASU 2013-04”), which provides guidance for the recognition, measurement and disclosure of obligations resulting from joint and several liability arrangements for which the total amount of the obligation within the scope of the guidance is fixed at the reporting date. ASU 2013-04 requires an entity to measure these obligations as the sum of (1) the amount the reporting entity agreed to pay on the basis of its arrangement among its co-obligors and (2) any additional amount the reporting entity expects to pay on behalf of its co-obligors. ASU 2013-04 also requires an entity to disclose the nature and amount of the obligation as well as other information about those obligations. The guidance in ASU 2013-04 is effective for fiscal years, and interim periods within those years, beginning after December 15, 2013 and is to be applied retrospectively to all prior periods presented. This guidance is not expected to have any impact on the Bank's financial condition or results of operations.


Note 3—Available-for-Sale Securities
     Major Security Types. Available-for-sale securities as of March 31, 2013 were as follows (in thousands):
 
Amortized
Cost
 
Gross Unrealized Gains
 
Gross
Unrealized
Losses
 
Estimated
Fair
Value
Debentures
 
 
 
 
 
 
 
U.S. government-guaranteed obligations
$
55,833

 
$
555

 
$

 
$
56,388

Government-sponsored enterprises
5,184,785

 
42,329

 
51

 
5,227,063

Other
453,329

 
2,841

 
17

 
456,153

Total
$
5,693,947

 
$
45,725

 
$
68

 
$
5,739,604


Available-for-sale securities as of December 31, 2012 were as follows (in thousands):
 
Amortized
Cost
 
Gross Unrealized Gains
 
Gross
Unrealized
Losses
 
Estimated
Fair
Value
Debentures
 
 
 
 
 
 
 
U.S. government-guaranteed obligations
$
56,119

 
$
301

 
$
3

 
$
56,417

Government-sponsored enterprises
5,236,358

 
22,280

 
644

 
5,257,994

Other
457,149

 
867

 
274

 
457,742

Total
$
5,749,626

 
$
23,448

 
$
921

 
$
5,772,153


Other debentures are fully secured by U.S. government-guaranteed obligations and the payment of interest on the debentures is guaranteed by an agency of the U.S. government. The amortized cost of the Bank's available-for-sale securities includes hedging adjustments. The following table summarizes (in thousands, except number of positions) the available-for-sale securities with unrealized losses as of March 31, 2013. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous loss position.

7


 
Less than 12 Months
 
12 Months or More
 
Total
 
Number of
Positions
 
Estimated
Fair
Value
 
Gross
Unrealized
Losses
 
Number of
Positions
 
Estimated
Fair
Value
 
Gross
Unrealized
Losses
 
Number of
Positions
 
Estimated
Fair
Value
 
Gross
Unrealized
Losses
Debentures
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Government-sponsored enterprises
1

 
$
35,867

 
$
51

 

 
$

 
$

 
1

 
$
35,867

 
$
51

Other
2

 
13,866

 
9

 
2

 
6,192

 
8

 
4

 
20,058

 
17

Total
3

 
$
49,733

 
$
60

 
2

 
$
6,192

 
$
8

 
5

 
$
55,925

 
$
68


The following table summarizes (in thousands, except number of positions) the available-for-sale securities with unrealized losses as of December 31, 2012. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous loss position.
 
Less than 12 Months
 
12 Months or More
 
Total
 
Number of
Positions
 
Estimated
Fair
Value
 
Gross
Unrealized
Losses
 
Number of
Positions
 
Estimated
Fair
Value
 
Gross
Unrealized
Losses
 
Number of
Positions
 
Estimated
Fair
Value
 
Gross
Unrealized
Losses
Debentures
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government-guaranteed obligations
1

 
$
11,340

 
$
3

 

 
$

 
$

 
1

 
$
11,340

 
$
3

Government-sponsored enterprises
23

 
448,123

 
629

 
1

 
2,373

 
15

 
24

 
450,496

 
644

Other
18

 
141,151

 
274

 

 

 

 
18

 
141,151

 
274

Total
42

 
$
600,614

 
$
906

 
1

 
$
2,373

 
$
15

 
43

 
$
602,987

 
$
921


At March 31, 2013, the gross unrealized losses on the Bank’s available-for-sale securities were $68,000. All of the Bank's available-for-sale securities are either guaranteed by the U.S. government, issued by government-sponsored enterprises (“GSEs”), or fully secured by collateral that is guaranteed by the U.S government. As of March 31, 2013, the U.S. government and the issuers of the Bank’s holdings of GSE debentures were rated triple-A by Moody’s Investors Service (“Moody’s”) and Fitch Ratings, Ltd. (“Fitch”) and AA+ by Standard and Poor’s (“S&P”). The Bank's holdings of other debentures were rated Aaa by Moody's and AA+ by S&P at that date; the other debentures are not rated by Fitch. Based upon the Bank’s assessment of the creditworthiness of the issuers of the GSE debentures and the credit ratings assigned by each of the nationally recognized statistical rating organizations (“NRSROs”), the Bank expects that its holdings of GSE debentures that were in an unrealized loss position at March 31, 2013 would not be settled at an amount less than the Bank’s amortized cost bases in these investments. Further, based on the creditworthiness of the issuer of the Bank's holdings of other debentures, the U.S. government's guaranty of the payment of principal and interest on the collateral securing those debentures, and the guaranty of the payment of interest on the debentures by an agency of the U.S. government, the Bank expects that its holdings of other debentures that were in an unrealized loss position at March 31, 2013 would not be settled at an amount less than the Bank’s amortized cost bases in these investments. Because the current market value deficits associated with the Bank's available-for-sale securities are not attributable to credit quality, and because the Bank does not intend to sell the investments and it is not more likely than not that the Bank will be required to sell the investments before recovery of their amortized cost bases, the Bank does not consider any of these investments to be other-than-temporarily impaired at March 31, 2013.
Redemption Terms. The amortized cost and estimated fair value of available-for-sale securities by contractual maturity at March 31, 2013 and December 31, 2012 are presented below (in thousands).
 
 
 
March 31, 2013
 
December 31, 2012
 
Maturity
 
Amortized Cost
 
Estimated
Fair Value
 
Amortized Cost
 
Estimated
Fair Value
 
 
Debentures
 
 
 
 
 
 
 
 
 
Due after one year through five years
 
$
3,533,792

 
$
3,549,898

 
$
3,340,880

 
$
3,349,030

 
Due after five years through ten years
 
2,153,490

 
2,182,882

 
2,401,976

 
2,416,299

 
Due after ten years
 
6,665

 
6,824

 
6,770

 
6,824

 
Total
 
$
5,693,947

 
$
5,739,604

 
$
5,749,626

 
$
5,772,153


8


Interest Rate Payment Terms. The following table provides interest rate payment terms for investment securities classified as available-for-sale at March 31, 2013 and December 31, 2012 (in thousands):
 
March 31, 2013
 
December 31, 2012
Amortized cost of available-for-sale securities
 
 
 
Fixed-rate
$
5,618,947

 
$
5,674,626

Variable-rate
75,000

 
75,000

 
 
 
 
Total
$
5,693,947

 
$
5,749,626

At March 31, 2013 and December 31, 2012, all of the Bank's fixed-rate available-for-sale securities were swapped to a variable rate.

 
Note 4—Held-to-Maturity Securities
     Major Security Types. Held-to-maturity securities as of March 31, 2013 were as follows (in thousands):

 
Amortized
Cost
 
OTTI Recorded in
Accumulated Other
Comprehensive
Income (Loss)
 
Carrying
Value
 
Gross
Unrecognized
Holding
Gains
 
Gross
Unrecognized
Holding
Losses
 
Estimated
Fair
Value
Debentures
 
 
 
 
 
 
 
 
 
 
 
U.S. government-guaranteed obligations
$
36,660

 
$

 
$
36,660

 
$
186

 
$
28

 
$
36,818

Mortgage-backed securities
 
 
 
 
 
 
 
 
 
 
 
U.S. government-guaranteed obligations
12,239

 

 
12,239

 
68

 

 
12,307

Government-sponsored enterprises
4,779,284

 

 
4,779,284

 
71,809

 
351

 
4,850,742

Non-agency residential mortgage-backed securities
230,892

 
39,383

 
191,509

 
11,996

 

 
203,505

 
5,022,415

 
39,383

 
4,983,032

 
83,873

 
351

 
5,066,554

Total
$
5,059,075

 
$
39,383

 
$
5,019,692

 
$
84,059

 
$
379

 
$
5,103,372


Held-to-maturity securities as of December 31, 2012 were as follows (in thousands):

 
Amortized
Cost
 
OTTI Recorded in
Accumulated Other
Comprehensive
Income (Loss)
 
Carrying
Value
 
Gross
Unrecognized
Holding
Gains
 
Gross
Unrecognized
Holding
Losses
 
Estimated
Fair
Value
Debentures
 
 
 
 
 
 
 
 
 
 
 
U.S. government-guaranteed obligations
$
38,759

 
$

 
$
38,759

 
$
176

 
$
175

 
$
38,760

Mortgage-backed securities
 
 
 
 
 
 
 
 
 
 
 
U.S. government-guaranteed obligations
12,973

 

 
12,973

 
60

 

 
13,033

Government-sponsored enterprises
4,947,206

 

 
4,947,206

 
78,023

 
271

 
5,024,958

Non-agency residential mortgage-backed securities
242,374

 
41,437

 
200,937

 
6,277

 

 
207,214

 
5,202,553

 
41,437

 
5,161,116

 
84,360

 
271

 
5,245,205

Total
$
5,241,312

 
$
41,437

 
$
5,199,875

 
$
84,536

 
$
446

 
$
5,283,965


9



The following table summarizes (in thousands, except number of positions) the held-to-maturity securities with unrealized losses as of March 31, 2013. The unrealized losses include other-than-temporary impairments recorded in accumulated other comprehensive income (loss) and gross unrecognized holding losses (or, in the case of the Bank's holdings of non-agency residential mortgage-backed securities, gross unrecognized holding gains) and are aggregated by major security type and length of time that individual securities have been in a continuous loss position.

 
Less than 12 Months
 
12 Months or More
 
Total
 
Number of
Positions
 
Estimated
Fair
Value
 
Gross
Unrealized
Losses
 
Number of
Positions
 
Estimated
Fair
Value
 
Gross
Unrealized
Losses
 
Number of
Positions
 
Estimated
Fair
Value
 
Gross
Unrealized
Losses
Debentures
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government-guaranteed obligations
2

 
$
501

 
$
3

 
2

 
$
17,528

 
$
25

 
4

 
$
18,029

 
$
28

Mortgage-backed securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Government-sponsored enterprises
6

 
172,682

 
100

 
12

 
109,458

 
251

 
18

 
282,140

 
351

Non-agency residential mortgage-backed securities

 

 

 
30

 
203,505

 
27,387

 
30

 
203,505

 
27,387

 
6

 
172,682

 
100

 
42

 
312,963

 
27,638

 
48

 
485,645

 
27,738

Total
8

 
$
173,183

 
$
103

 
44

 
$
330,491

 
$
27,663

 
52

 
$
503,674

 
$
27,766


The following table summarizes (in thousands, except number of positions) the held-to-maturity securities with unrealized losses as of December 31, 2012. The unrealized losses include other-than-temporary impairments recorded in accumulated other comprehensive income (loss) and gross unrecognized holding losses (or, in the case of the Bank's holdings of non-agency residential mortgage-backed securities, gross unrecognized holding gains) and are aggregated by major security type and length of time that individual securities have been in a continuous loss position.

 
Less than 12 Months
 
12 Months or More
 
Total
 
Number of
Positions
 
Estimated
Fair
Value
 
Gross
Unrealized
Losses
 
Number of
Positions
 
Estimated
Fair
Value
 
Gross
Unrealized
Losses
 
Number of
Positions
 
Estimated
Fair
Value
 
Gross
Unrealized
Losses
Debentures
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government-guaranteed obligations

 
$

 
$

 
2

 
$
17,874

 
$
175

 
2

 
$
17,874

 
$
175

Mortgage-backed securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Government-sponsored enterprises
5

 
27,577

 
9

 
13

 
125,534

 
262

 
18

 
153,111

 
271

Non-agency residential mortgage-backed securities

 

 

 
30

 
207,214

 
35,160

 
30

 
207,214

 
35,160

 
5

 
27,577

 
9

 
43

 
332,748

 
35,422

 
48

 
360,325

 
35,431

Total
5

 
$
27,577

 
$
9

 
45

 
$
350,622

 
$
35,597

 
50

 
$
378,199

 
$
35,606


At March 31, 2013, the gross unrealized losses on the Bank’s held-to-maturity securities were $27,766,000, of which $27,387,000 was attributable to its holdings of non-agency (i.e., private-label) residential mortgage-backed securities and $379,000 was attributable to securities that are either guaranteed by the U.S. government or issued and guaranteed by GSEs. As of March 31, 2013, the U.S. government and the issuers of the Bank’s holdings of GSE mortgage-backed securities ("MBS") were rated triple-A by Moody’s and Fitch and AA+ by S&P.
Based upon the Bank’s assessment of the strength of the government guarantees of the debentures held by the Bank, the credit ratings assigned by the NRSROs and the strength of the GSEs’ guarantees of the Bank’s holdings of agency MBS, the Bank expects that its holdings of U.S. government-guaranteed debentures and GSE MBS that were in an unrealized loss position at March 31, 2013 would not be settled at an amount less than the Bank’s amortized cost bases in these investments. Because the current market value deficits associated with these securities are not attributable to credit quality, and because the Bank does not intend to sell the investments and it is not more likely than not that the Bank will be required to sell the investments before recovery of their amortized cost bases, the Bank does not consider any of these investments to be other-than-temporarily impaired at March 31, 2013.

10


The deterioration in the U.S. housing markets that occurred primarily during the period from 2007 through 2011, as reflected during that period by declines in the values of residential real estate and higher levels of delinquencies, defaults and losses on residential mortgages, including the mortgages underlying the Bank’s non-agency residential MBS (“RMBS”), generally increased the risk that the Bank may not ultimately recover the entire cost bases of some of its non-agency RMBS. Based on its analysis of the securities in this portfolio, however, the Bank believes that the unrealized losses as of March 31, 2013 were principally the result of liquidity risk related discounts in the non-agency RMBS market and do not accurately reflect the currently likely future credit performance of the securities.
Because the ultimate receipt of contractual payments on the Bank’s non-agency RMBS will depend upon the credit and prepayment performance of the underlying loans and the credit enhancements for the senior securities owned by the Bank, the Bank closely monitors these investments in an effort to determine whether the credit enhancement associated with each security is sufficient to protect against potential losses of principal and interest on the underlying mortgage loans. The credit enhancement for each of the Bank’s non-agency RMBS is provided by a senior/subordinate structure, and none of the securities owned by the Bank are insured by third-party bond insurers. More specifically, each of the Bank’s non-agency RMBS represents a single security class within a securitization that has multiple classes of securities. Each security class has a distinct claim on the cash flows from the underlying mortgage loans, with the subordinate securities having a junior claim relative to the more senior securities. The Bank’s non-agency RMBS have a senior claim on the cash flows from the underlying mortgage loans.
To assess whether the entire amortized cost bases of its 30 non-agency RMBS holdings are likely to be recovered, the Bank performed a cash flow analysis for each security as of March 31, 2013 using two third-party models. The first model considers borrower characteristics and the particular attributes of the loans underlying the Bank’s securities, in conjunction with assumptions about future changes in home prices and interest rates, to project prepayments, defaults and loss severities. A significant input to the first model is the forecast of future housing price changes for the relevant states and core based statistical areas (“CBSAs”), which are based upon an assessment of the individual housing markets. (The term “CBSA” refers collectively to metropolitan and micropolitan statistical areas as defined by the U.S. Office of Management and Budget; as currently defined, a CBSA must contain at least one urban area of 10,000 or more people.) The Bank’s housing price forecast as of March 31, 2013 assumed changes in home prices ranging from declines of 4 percent to increases of 4 percent over the 12-month period beginning January 1, 2013. For the vast majority of markets, the changes were projected to range from declines of 1 percent to increases of 1 percent. Thereafter, home prices were projected to recover using one of five different recovery paths that vary by housing market. Under those recovery paths, home prices were projected to increase as set forth in the table below.
Months
 
Range of Annualized Rates
1 - 6
 
0.0
%
-
3.0%
7 - 12
 
1.0
%
-
4.0%
13 - 18
 
2.0
%
-
4.0%
19 - 30
 
2.0
%
-
5.0%
31 - 54
 
2.0
%
-
6.0%
Thereafter
 
2.3
%
-
5.6%
The month-by-month projections of future loan performance derived from the first model, which reflect projected prepayments, defaults and loss severities, are then input into a second model that allocates the projected loan level cash flows and losses to the various security classes in the securitization structure in accordance with its prescribed cash flow and loss allocation rules. In a securitization in which the credit enhancement for the senior securities is derived from the presence of subordinate securities, losses are generally allocated first to the subordinate securities until their principal balance is reduced to zero.
Based on the results of its cash flow analyses, the Bank determined it is likely that it will fully recover the remaining amortized cost bases of all of its non-agency RMBS. Because the Bank does not intend to sell the investments and it is not more likely than not that the Bank will be required to sell the investments before recovery of their remaining amortized cost bases, none of these securities were deemed to be other-than-temporarily impaired as of March 31, 2013.
Prior to July 1, 2012, 14 of the Bank's holdings of non-agency RMBS were determined to be other-than-temporarily impaired. The following table sets forth additional information for each of the securities that were deemed to be other-than-temporarily impaired in a prior period (in thousands). All of the Bank’s non-agency RMBS are rated by Moody’s, S&P and/or Fitch. The credit ratings presented in the table represent the lowest rating assigned to the security by these NRSROs as of March 31, 2013.

11



 
 
 
 
March 31, 2013
 
Cumulative from Period of Initial Impairment Through March 31, 2013
 
March 31, 2013
 
 
Period of
Initial
Impairment
 
Credit
Rating
 
Unpaid
Principal
Balance
 
Amortized
Cost
 
Non-Credit
Component of OTTI
 
Accretion of
Non-Credit
Component
 
Carrying
Value
 
Estimated
Fair
Value
Security #1
 
Q1 2009
 
Triple-C
 
$
13,943

 
$
11,031

 
$
10,271

 
$
7,077

 
$
7,837

 
$
8,977

Security #2
 
Q1 2009
 
Triple-C
 
14,251

 
13,557

 
12,389

 
7,587

 
8,755

 
10,835

Security #3
 
Q2 2009
 
Single-C
 
23,828

 
18,940

 
15,283

 
10,307

 
13,964

 
18,817

Security #4
 
Q2 2009
 
Triple-C
 
10,042

 
9,329

 
7,890

 
5,019

 
6,458

 
8,513

Security #5
 
Q3 2009
 
Triple-C
 
16,971

 
15,256

 
10,047

 
6,424

 
11,633

 
13,256

Security #6
 
Q3 2009
 
Triple-C
 
15,130

 
13,731

 
10,567

 
6,128

 
9,292

 
12,018

Security #7
 
Q3 2009
 
Single-B
 
5,503

 
5,426

 
3,575

 
1,985

 
3,836

 
4,901

Security #8
 
Q1 2010
 
Triple-C
 
8,273

 
8,251

 
4,968

 
2,616

 
5,899

 
6,834

Security #9
 
Q1 2010
 
Triple-C
 
3,521

 
3,483

 
2,208

 
1,149

 
2,424

 
2,874

Security #10
 
Q4 2010
 
Triple-C
 
6,644

 
6,221

 
3,331

 
1,294

 
4,184

 
5,052

Security #11
 
Q4 2010
 
Triple-C
 
8,119

 
8,115

 
4,096

 
1,621

 
5,640

 
6,436

Security #12
 
Q4 2010
 
Triple-C
 
4,361

 
4,278

 
1,820

 
717

 
3,175

 
3,746

Security #13
 
Q4 2010
 
Triple-C
 
5,206

 
5,190

 
2,418

 
1,071

 
3,843

 
4,401

Security #14
 
Q2 2011
 
Triple-C
 
15,343

 
15,114

 
5,942

 
2,427

 
11,599

 
12,758

Totals
 
 
 
 
 
$
151,135

 
$
137,922

 
$
94,805

 
$
55,422

 
$
98,539

 
$
119,418


The following table presents a rollforward for the three months ended March 31, 2013 and 2012 of the amount related to credit losses on the Bank’s non-agency RMBS holdings for which a portion of an other-than-temporary impairment has been recognized in other comprehensive income (loss) (in thousands).
 
Three Months Ended
 
March 31,
 
2013
 
2012
Balance of credit losses, beginning of period
$
13,039

 
$
12,679

Credit losses on securities for which an other-than-temporary impairment was previously recognized

 
214

Balance of credit losses, end of period
$
13,039

 
$
12,893

     Redemption Terms. The amortized cost, carrying value and estimated fair value of held-to-maturity securities by contractual maturity at March 31, 2013 and December 31, 2012 are presented below (in thousands). The expected maturities of some debentures could differ from the contractual maturities presented because issuers may have the right to call such debentures prior to their final stated maturities.

 
 
March 31, 2013
 
December 31, 2012
Maturity
 
Amortized Cost
 
Carrying Value
 
Estimated Fair Value
 
Amortized Cost
 
Carrying Value
 
Estimated Fair Value
Debentures
 
 
 
 
 
 
 
 
 
 
 
 
Due in one year or less
 
$
503

 
$
503

 
$
501

 
$
503

 
$
503

 
$
505

Due after one year through five years
 
9,291

 
9,291

 
9,379

 
10,331

 
10,331

 
10,423

Due after five years through ten years
 
18,294

 
18,294

 
18,387

 
19,355

 
19,355

 
19,364

Due after ten years
 
8,572

 
8,572

 
8,551

 
8,570

 
8,570

 
8,468

 
 
36,660

 
36,660

 
36,818

 
38,759

 
38,759

 
38,760

Mortgage-backed securities
 
5,022,415

 
4,983,032

 
5,066,554

 
5,202,553

 
5,161,116

 
5,245,205

Total
 
$
5,059,075

 
$
5,019,692

 
$
5,103,372

 
$
5,241,312

 
$
5,199,875

 
$
5,283,965


12



The amortized cost of the Bank’s mortgage-backed securities classified as held-to-maturity includes net purchase discounts of $47,304,000 and $52,608,000 at March 31, 2013 and December 31, 2012, respectively.
     Interest Rate Payment Terms. The following table provides interest rate payment terms for investment securities classified as held-to-maturity at March 31, 2013 and December 31, 2012 (in thousands):

 
March 31, 2013
 
December 31, 2012
Amortized cost of variable-rate held-to-maturity securities other than mortgage-backed securities
$
36,660

 
$
38,759

Amortized cost of held-to-maturity mortgage-backed securities
 
 
 
Fixed-rate pass-through securities
434

 
454

Collateralized mortgage obligations
 
 
 
Fixed-rate
989

 
1,050

Variable-rate
5,020,992

 
5,201,049

 
5,022,415

 
5,202,553

Total
$
5,059,075

 
$
5,241,312


All of the Bank’s variable-rate collateralized mortgage obligations classified as held-to-maturity securities have coupon rates that are subject to interest rate caps, none of which were reached during 2012 or the three months ended March 31, 2013.

Note 5—Advances
     Redemption Terms. At both March 31, 2013 and December 31, 2012, the Bank had advances outstanding at interest rates ranging from 0.04 percent to 8.61 percent, as summarized below (dollars in thousands).

 
 
March 31, 2013
 
December 31, 2012
Contractual Maturity
 
Amount
 
Weighted Average Interest Rate
 
Amount
 
Weighted Average Interest Rate
Overdrawn demand deposit accounts
 
$
10,303

 
4.04
%
 
$
7,682

 
4.12
%
 
 
 
 
 
 
 
 
 
Due in one year or less
 
6,353,407

 
0.76

 
8,950,062

 
0.70

Due after one year through two years
 
1,978,470

 
1.01

 
1,886,603

 
1.04

Due after two years through three years
 
879,337

 
2.17

 
942,691

 
2.37

Due after three years through four years
 
541,354

 
2.74

 
434,521

 
3.00

Due after four years through five years
 
1,945,997

 
3.34

 
1,865,480

 
3.40

Due after five years
 
1,382,127

 
3.16

 
1,521,679

 
3.13

Amortizing advances
 
2,209,348

 
3.91

 
2,319,538

 
3.94

Total par value
 
15,300,343

 
1.94
%
 
17,928,256

 
1.79
%
 
 
 
 
 
 
 
 
 
Deferred prepayment fees
 
(17,984
)
 
 
 
(19,006
)
 
 
Commitment fees
 
(116
)
 
 
 
(118
)
 
 
Hedging adjustments
 
439,778

 
 
 
485,665

 
 
 
 
 
 
 
 
 
 
 
Total
 
$
15,722,021

 
 
 
$
18,394,797

 
 

The balances of overdrawn demand deposit accounts were fully collateralized at March 31, 2013 and December 31, 2012 and were repaid in early April 2013 and early January 2013, respectively. Amortizing advances require repayment according to predetermined amortization schedules.

13


The Bank offers advances to members that may be prepaid on specified dates without the member incurring prepayment or termination fees (prepayable and callable advances). The prepayment of other advances requires the payment of a fee to the Bank (prepayment fee) if necessary to make the Bank financially indifferent to the prepayment of the advance. At March 31, 2013 and December 31, 2012, the Bank had aggregate prepayable and callable advances totaling $114,918,000 and $121,123,000, respectively.
The following table summarizes advances at March 31, 2013 and December 31, 2012, by the earliest of contractual maturity, next call date, or the first date on which prepayable advances can be repaid without a prepayment fee (in thousands):

Contractual Maturity or Next Call Date
 
March 31, 2013
 
December 31, 2012
Overdrawn demand deposit accounts
 
$
10,303

 
$
7,682

 
 
 
 
 
Due in one year or less
 
6,353,407

 
8,955,062

Due after one year through two years
 
1,978,470

 
1,881,603

Due after two years through three years
 
879,337

 
942,691

Due after three years through four years
 
541,354

 
434,521

Due after four years through five years
 
1,945,997

 
1,865,480

Due after five years
 
1,382,127

 
1,521,679

Amortizing advances
 
2,209,348

 
2,319,538

 
 
 
 
 
Total par value
 
$
15,300,343

 
$
17,928,256


The Bank also offers putable advances. With a putable advance, the Bank purchases a put option from the member that allows the Bank to terminate the fixed-rate advance on specified dates and offer, subject to certain conditions, replacement funding at prevailing market rates. At March 31, 2013 and December 31, 2012, the Bank had putable advances outstanding totaling $2,322,871,000 and $2,572,471,000, respectively.

The following table summarizes advances at March 31, 2013 and December 31, 2012, by the earlier of contractual maturity or next possible put date (in thousands):
Contractual Maturity or Next Put Date
 
March 31, 2013
 
December 31, 2012
Overdrawn demand deposit accounts
 
$
10,303

 
$
7,682

 
 
 
 
 
Due in one year or less
 
8,611,877

 
11,193,533

Due after one year through two years
 
1,901,070

 
1,876,203

Due after two years through three years
 
757,837

 
786,691

Due after three years through four years
 
481,354

 
392,021

Due after four years through five years
 
527,427

 
601,359

Due after five years
 
801,127

 
751,229

Amortizing advances
 
2,209,348

 
2,319,538

 
 
 
 
 
Total par value
 
$
15,300,343

 
$
17,928,256


     

14


Interest Rate Payment Terms. The following table provides interest rate payment terms for advances at March 31, 2013 and December 31, 2012 (in thousands):

 
March 31, 2013
 
December 31, 2012
Fixed-rate
 
 
 
Due in one year or less
$
5,267,032

 
$
7,979,254

Due after one year
7,859,008

 
7,883,320

Total fixed-rate
13,126,040

 
15,862,574

Variable-rate
 
 
 
Due in one year or less
1,130,303

 
1,016,682

Due after one year
1,044,000

 
1,049,000

Total variable-rate
2,174,303

 
2,065,682

Total par value
$
15,300,343

 
$
17,928,256


At March 31, 2013 and December 31, 2012, 48 percent and 42 percent, respectively, of the Bank’s fixed-rate advances were swapped to a variable rate.
     Prepayment Fees. When a member/borrower prepays an advance, the Bank could suffer lower future income if the principal portion of the prepaid advance is reinvested in lower-yielding assets. To protect against this risk, the Bank generally charges a prepayment fee that makes it financially indifferent to a borrower’s decision to prepay an advance. The B