Company Quick10K Filing
Federal Home Loan Bank of Dallas
Price1.00 EPS-165,578,000
Shares-0 P/E-0
MCap-0 P/FCF0
Net Debt-153 EBIT1,357
TEV-153 TEV/EBIT-0
TTM 2019-09-30, in MM, except price, ratios
10-Q 2020-03-31 Filed 2020-05-13
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8-K 2020-06-17
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8-K 2020-01-07
8-K 2020-01-02
8-K 2019-12-26
8-K 2019-12-18
8-K 2019-12-13
8-K 2019-12-10
8-K 2019-12-04
8-K 2019-11-25
8-K 2019-11-12
8-K 2019-11-08
8-K 2019-11-07
8-K 2019-11-05
8-K 2019-10-31
8-K 2019-10-29
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8-K 2019-10-23
8-K 2019-10-21
8-K 2019-10-16
8-K 2019-10-11
8-K 2019-10-09
8-K 2019-10-07
8-K 2019-10-02
8-K 2019-09-27
8-K 2019-09-27
8-K 2019-09-25
8-K 2019-09-19
8-K 2019-09-17
8-K 2019-09-11
8-K 2019-09-10
8-K 2019-09-04
8-K 2019-08-30
8-K 2019-08-28
8-K 2019-08-26
8-K 2019-08-21
8-K 2019-08-20
8-K 2019-08-15
8-K 2019-08-12
8-K 2019-08-07
8-K 2019-08-06
8-K 2019-08-01
8-K 2019-07-29
8-K 2019-07-29
8-K 2019-07-22
8-K 2019-07-17
8-K 2019-07-16
8-K 2019-07-10
8-K 2019-06-25
8-K 2019-06-19
8-K 2019-06-18
8-K 2019-06-14
8-K 2019-06-11
8-K 2019-06-06
8-K 2019-06-03
8-K 2019-05-28
8-K 2019-05-21
8-K 2019-05-17
8-K 2019-05-14
8-K 2019-05-08
8-K 2019-05-07
8-K 2019-05-01
8-K 2019-04-29
8-K 2019-04-29
8-K 2019-04-24
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8-K 2019-04-17
8-K 2019-04-16
8-K 2019-04-10
8-K 2019-04-03
8-K 2019-03-29
8-K 2019-03-20
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8-K 2019-03-13
8-K 2019-03-11
8-K 2019-03-06
8-K 2019-03-05
8-K 2019-02-26
8-K 2019-02-21
8-K 2019-02-20
8-K 2019-02-19
8-K 2019-02-19
8-K 2019-02-13
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8-K 2019-01-28
8-K 2019-01-23
8-K 2019-01-17
8-K 2019-01-14
8-K 2019-01-10
8-K 2019-01-08
8-K 2019-01-02
8-K 2018-12-26
8-K 2018-12-20
8-K 2018-12-20
8-K 2018-12-18
8-K 2018-12-12
8-K 2018-12-11
8-K 2018-12-06
8-K 2018-12-04
8-K 2018-11-28
8-K 2018-11-26
8-K 2018-11-14
8-K 2018-11-13
8-K 2018-11-07
8-K 2018-10-31
8-K 2018-10-29
8-K 2018-10-29
8-K 2018-10-24
8-K 2018-10-22
8-K 2018-10-17
8-K 2018-10-15
8-K 2018-10-10
8-K 2018-10-09
8-K 2018-10-03
8-K 2018-10-02
8-K 2018-09-26
8-K 2018-09-25
8-K 2018-09-19
8-K 2018-09-14
8-K 2018-09-10
8-K 2018-09-05
8-K 2018-09-04
8-K 2018-08-29
8-K 2018-08-27
8-K 2018-08-24
8-K 2018-08-21
8-K 2018-08-15
8-K 2018-08-13
8-K 2018-08-08
8-K 2018-08-06
8-K 2018-07-27
8-K 2018-07-26
8-K 2018-07-24
8-K 2018-07-20
8-K 2018-07-17
8-K 2018-07-12
8-K 2018-07-09
8-K 2018-07-03
8-K 2018-06-26
8-K 2018-06-20
8-K 2018-06-12
8-K 2018-06-07
8-K 2018-06-05
8-K 2018-05-18
8-K 2018-05-09
8-K 2018-05-02
8-K 2018-05-01
8-K 2018-04-26
8-K 2018-04-25
8-K 2018-04-18
8-K 2018-04-16
8-K 2018-04-11
8-K 2018-04-05
8-K 2018-04-03
8-K 2018-03-28
8-K 2018-03-26
8-K 2018-03-21
8-K 2018-03-15
8-K 2018-03-07
8-K 2018-03-05
8-K 2018-02-28
8-K 2018-02-26
8-K 2018-02-21
8-K 2018-02-21
8-K 2018-02-16
8-K 2018-02-13
8-K 2018-02-07
8-K 2018-02-06
8-K 2018-01-31
8-K 2018-01-29
8-K 2018-01-24
8-K 2018-01-22
8-K 2018-01-17
8-K 2018-01-16
8-K 2018-01-10
8-K 2018-01-04
8-K 2018-01-03
8-K 2017-12-28

FHLBD 10Q Quarterly Report

Part I. Financial Information
Item 1. Financial Statements
Note 1 - Basis of Presentation
Note 2 - Recently Adopted Accounting Guidance
Note 3 - Trading Securities
Note 4 - Available - for - Sale Securities
Note 5 - Held - To - Maturity Securities
Note 6 - Advances
Note 7 - Mortgage Loans Held for Portfolio
Note 8 - Accrued Interest Receivable
Note 9 - Allowance for Credit Losses
Note 10 - Consolidated Obligations
Note 11 - Affordable Housing Program ("Ahp")
Note 12 - Assets and Liabilities Subject To Offsetting
Note 13 - Derivatives and Hedging Activities
Note 14 - Capital
Note 15 - Employee Retirement Plans
Note 16 - Estimated Fair Values
Note 17 - Commitments and Contingencies
Note 18 - Transactions with Shareholders
Note 19 - Transactions with Other Fhlbanks
Note 20 - Accumulated Other Comprehensive Income (Loss)
Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations
Item 3. Quantitative and Qualitative Disclosures About Market Risk
Item 4. Controls and Procedures
Part II. Other Information
Item 6. Exhibits
EX-31.1 fhlbdallas-33120xex_311.htm
EX-31.2 fhlbdallas-33120xex_312.htm
EX-32.1 fhlbdallas-33120xex_321.htm

Federal Home Loan Bank of Dallas Earnings 2020-03-31

Balance SheetIncome StatementCash Flow

10-Q 1 a331202010q.htm 10-Q Document

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, 2020
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)
Securities registered pursuant to Section 12(b) of the Act:
Title of each class
Trading symbol(s)
Name of each exchange on which registered
 
 
 
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 every Interactive Data File required to be submitted 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 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, a smaller reporting company or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company” and "emerging growth company" in Rule 12b-2 of the Exchange Act:
Large accelerated
filer o
 
Accelerated
filer o
 
Non-accelerated
filer þ
 
Smaller reporting
company o
 
Emerging growth
company o
 
 
 
 
(Do not check if a smaller reporting company)
 
 
 
 
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.o
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 May 6, 2020, the registrant had outstanding 29,032,853 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,
2020
 
December 31,
2019
ASSETS
 

 
 

Cash and due from banks
$
1,217,250

 
$
20,551

Interest-bearing deposits (Notes 8 and 9)
1,769,990

 
1,670,249

Securities purchased under agreements to resell (Notes 8, 9 and 12)

 
4,310,000

Federal funds sold (Notes 8 and 9)
6,035,000

 
4,505,000

Trading securities (Notes 3 and 8)
4,570,279

 
5,460,136

Available-for-sale securities (a) (Notes 4, 8, 9, 12 and 17) ($888,729 and $842,256 pledged at March 31, 2020 and December 31, 2019, respectively, which could be rehypothecated)
17,509,595

 
16,766,500

Held-to-maturity securities (b) (Notes 5, 8 and 9)
1,150,122

 
1,206,170

Advances (Notes 6, 8 and 9)
46,922,518

 
37,117,455

Mortgage loans held for portfolio, net of allowance for credit losses of $4,339 and $1,149 at March 31, 2020 and December 31, 2019, respectively (Notes 7, 8 and 9)
4,282,180

 
4,075,464

Accrued interest receivable (Note 8)
154,497

 
154,218

Premises and equipment, net
14,997

 
15,103

Derivative assets (Notes 12 and 13)
145,252

 
41,271

Other assets (including $11,735 and $14,222 of securities held at fair value at March 31, 2020 and December 31, 2019, respectively)
35,773

 
39,488

TOTAL ASSETS
$
83,807,453

 
$
75,381,605

 
 
 
 
LIABILITIES AND CAPITAL
 
 
 
Deposits
 
 
 
Interest-bearing
$
1,729,044

 
$
1,286,199

Non-interest bearing
20

 
20

Total deposits
1,729,064

 
1,286,219

Consolidated obligations (Note 10)
 
 
 
Discount notes
43,953,217

 
34,327,886

Bonds
34,186,393

 
35,745,827

Total consolidated obligations
78,139,610

 
70,073,713

 
 
 
 
Mandatorily redeemable capital stock
6,779

 
7,140

Accrued interest payable
122,425

 
115,350

Affordable Housing Program (Note 11)
57,139

 
57,247

Derivative liabilities (Notes 12 and 13)
2,070

 
3,855

Other liabilities
34,111

 
40,113

Total liabilities
80,091,198

 
71,583,637

 
 
 
 
Commitments and contingencies (Notes 9 and 17)


 


 
 
 
 
CAPITAL (Note 14)
 
 
 
Capital stock
 
 
 
Capital stock — Class B-1 putable ($100 par value) issued and outstanding shares: 8,285,392 and 9,794,335 shares at March 31, 2020 and December 31, 2019, respectively
828,539

 
979,434

Capital stock — Class B-2 putable ($100 par value) issued and outstanding shares: 18,716,373 and 14,868,085 shares at March 31, 2020 and December 31, 2019, respectively
1,871,637

 
1,486,808

Total Class B Capital Stock
2,700,176

 
2,466,242

Retained earnings
 
 
 
Unrestricted
1,062,579

 
1,038,533

Restricted
204,460

 
194,144

Total retained earnings
1,267,039

 
1,232,677

Accumulated other comprehensive income (loss) (Note 20)
(250,960
)
 
99,049

Total capital
3,716,255

 
3,797,968

TOTAL LIABILITIES AND CAPITAL
$
83,807,453

 
$
75,381,605

_____________________________
(a) 
Amortized cost: $17,620,510 and $16,621,667 at March 31, 2020 and December 31, 2019, respectively.
(b) 
Fair values: $1,147,002 and $1,215,580 at March 31, 2020 and December 31, 2019, 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,
 
 
 
2020
 
2019
INTEREST INCOME
 
 
 
 
 
Advances
 
 
$
160,913

 
$
237,864

Prepayment fees on advances, net
 
 
1,972

 
124

Interest-bearing deposits
 
 
6,816

 
11,121

Securities purchased under agreements to resell
 
 
7,321

 
25,297

Federal funds sold
 
 
7,067

 
18,504

Trading securities
 
 
29,904

 
18,025

Available-for-sale securities
 
 
64,965

 
119,008

Held-to-maturity securities
 
 
6,473

 
11,053

Mortgage loans held for portfolio
 
 
33,952

 
23,094

Total interest income
 
 
319,383

 
464,090

INTEREST EXPENSE
 
 
 
 
 
Consolidated obligations
 
 
 
 
 
Bonds
 
 
153,944

 
190,768

Discount notes
 
 
114,782

 
196,251

Deposits
 
 
4,036

 
4,922

Mandatorily redeemable capital stock
 
 
30

 
52

Other borrowings
 
 

 
1

Total interest expense
 
 
272,792

 
391,994

NET INTEREST INCOME
 
 
46,591

 
72,096

Provision for mortgage loan losses
 
 
999

 
118

 
 
 
 
 
 
NET INTEREST INCOME AFTER PROVISION FOR MORTGAGE LOAN LOSSES
 
 
45,592

 
71,978

 
 
 
 
 
 
OTHER INCOME (LOSS)
 
 
 
 
 
Net gains on trading securities
 
 
33,099

 
3,227

Net gains (losses) on derivatives and hedging activities
 
 
(717
)
 
8,766

Net gains (losses) on other assets carried at fair value
 
 
(1,633
)
 
913

Realized gains on sales of available-for-sale securities
 
 

 
440

Letter of credit fees
 
 
3,592

 
2,780

Other, net
 
 
1,049

 
851

Total other income
 
 
35,390

 
16,977

OTHER EXPENSE
 
 
 
 
 
Compensation and benefits
 
 
11,560

 
13,566

Other operating expenses
 
 
9,201

 
8,034

Finance Agency
 
 
1,250

 
1,183

Office of Finance
 
 
1,163

 
948

Discretionary grants and donations
 
 
146

 
38

Derivative clearing fees
 
 
348

 
296

Total other expense
 
 
23,668

 
24,065

INCOME BEFORE ASSESSMENTS
 
 
57,314

 
64,890

Affordable Housing Program assessment
 
 
5,734

 
6,494

NET INCOME
 
 
$
51,580

 
$
58,396

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

2


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

 
 
For the Three Months Ended
 
 
March 31,
 
 
2020
 
2019
NET INCOME
 
$
51,580

 
$
58,396

OTHER COMPREHENSIVE INCOME (LOSS)
 
 
 
 
Net unrealized gains (losses) on available-for-sale securities, net of unrealized gains and losses relating to hedged interest rate risk included in net income
 
(255,748
)
 
52,263

Reclassification adjustment for realized gains on sales of available-for-sale securities included in net income
 

 
(440
)
Unrealized losses on cash flow hedges
 
(95,733
)
 
(20,390
)
Reclassification adjustment for losses (gains) on cash flow hedges included in net income
 
1,016

 
(807
)
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities
 
471

 
593

Postretirement benefit plan
 
 
 
 
Amortization of prior service cost included in net periodic benefit credit
 
5

 
5

Amortization of net actuarial gain included in net periodic benefit credit
 
(20
)
 
(23
)
Total other comprehensive income (loss)
 
(350,009
)
 
31,201

TOTAL COMPREHENSIVE INCOME (LOSS)
 
$
(298,429
)
 
$
89,597


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, 2020 AND 2019
(Unaudited, in thousands)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Capital Stock
Class B-1 - Putable
(Membership/Excess)
 
Capital Stock
Class B-2 - Putable
(Activity)
 
 
 
 
 
 
 
Accumulated
 Other
Comprehensive
 Income (Loss)
 
 
 
 
 
Retained Earnings
 
 
Total
 Capital
 
Shares
 
Par Value
 
Shares
 
Par Value
 
Unrestricted
 
Restricted
 
Total
 
 
BALANCE, JANUARY 1, 2020
9,794

 
$
979,434

 
14,868

 
$
1,486,808

 
$
1,038,533

 
$
194,144

 
$
1,232,677

 
$
99,049

 
$
3,797,968

Net transfers of shares between Class B-1 and Class B-2 Stock
1,585

 
158,499

 
(1,585
)
 
(158,499
)
 

 

 

 

 

Proceeds from sale of capital stock
51

 
5,125

 
5,433

 
543,328

 

 

 

 

 
548,453

Repurchase/redemption of capital stock
(3,295
)
 
(329,486
)
 

 

 

 

 

 

 
(329,486
)
Adjustment to initially apply new credit
 loss accounting guidance (Note 2)

 

 

 

 
(2,191
)
 

 
(2,191
)
 

 
(2,191
)
Comprehensive income (loss)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net income

 

 

 

 
41,264

 
10,316

 
51,580

 

 
51,580

Other comprehensive income (loss)

 

 

 

 

 

 

 
(350,009
)
 
(350,009
)
Dividends on capital stock (a)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Cash

 

 

 

 
(60
)
 

 
(60
)
 

 
(60
)
Stock
150

 
14,967

 

 

 
(14,967
)
 

 
(14,967
)
 

 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
BALANCE, MARCH 31, 2020
8,285

 
$
828,539

 
18,716

 
$
1,871,637

 
$
1,062,579

 
$
204,460

 
$
1,267,039

 
$
(250,960
)
 
$
3,716,255

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
BALANCE, JANUARY 1, 2019
9,169

 
$
916,921

 
16,380

 
$
1,637,967

 
$
932,675

 
$
148,692

 
$
1,081,367

 
$
128,001

 
$
3,764,256

Net transfers of shares between Class B-1 and Class B-2 Stock
5,329

 
532,841

 
(5,329
)
 
(532,841
)
 

 

 

 

 

Proceeds from sale of capital stock
3

 
342

 
3,383

 
338,268

 

 

 

 

 
338,610

Repurchase/redemption of capital stock
(4,786
)
 
(478,639
)
 

 

 

 

 

 

 
(478,639
)
Shares reclassified to mandatorily redeemable capital stock
(23
)
 
(2,326
)
 

 

 

 

 

 

 
(2,326
)
Adjustment to initially apply new lease accounting guidance

 

 

 

 
(25
)
 

 
(25
)
 

 
(25
)
Comprehensive income
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 Net income

 

 

 

 
46,716

 
11,680

 
58,396

 

 
58,396

Other comprehensive income

 

 

 

 

 

 

 
31,201

 
31,201

Dividends on capital stock (b)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Cash

 

 

 

 
(66
)
 

 
(66
)
 

 
(66
)
Mandatorily redeemable capital stock

 

 

 

 
(13
)
 

 
(13
)
 

 
(13
)
Stock
190

 
19,044

 

 

 
(19,044
)
 

 
(19,044
)
 

 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
BALANCE, MARCH 31, 2019
9,882

 
$
988,183

 
14,434

 
$
1,443,394

 
$
960,243

 
$
160,372

 
$
1,120,615

 
$
159,202

 
$
3,711,394


(a) Dividends were paid at annualized rates of 1.79 percent and 2.79 percent on Class B-1 Stock and Class B-2 Stock, respectively, in the first quarter of 2020.
(b) Dividends were paid at annualized rates of 2.35 percent and 3.35 percent on Class B-1 Stock and Class B-2 Stock, respectively, in the first quarter of 2019.
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,
 
2020
 
2019
OPERATING ACTIVITIES
 
 
 
Net income
$
51,580

 
$
58,396

Adjustments to reconcile net income to net cash used in operating activities
 
 
 
Depreciation and amortization
 
 
 
Net premiums and discounts on advances, consolidated obligations, investments and mortgage loans
2,367

 
26,926

Concessions on consolidated obligations
2,902

 
1,669

Premises, equipment and computer software costs
938

 
1,058

Non-cash interest on mandatorily redeemable capital stock
39

 
50

Provision for mortgage loan losses
999

 
118

Gains on sales of available-for-sale securities

 
(440
)
Net losses (gains) on other assets carried at fair value
1,633

 
(913
)
Net gains on trading securities
(33,099
)
 
(3,227
)
Net gain due to changes in net fair value adjustment on derivative and hedging activities
(1,005,554
)
 
(289,965
)
Increase in accrued interest receivable
(386
)
 
(9,236
)
Decrease in other assets
3,697

 
3,757

Increase (decrease) in Affordable Housing Program (AHP) liability
(108
)
 
1,378

Increase in accrued interest payable
7,084

 
11,160

Decrease in other liabilities
(6,732
)
 
(5,924
)
Total adjustments
(1,026,220
)
 
(263,589
)
Net cash used in operating activities
(974,640
)
 
(205,193
)
 
 
 
 
INVESTING ACTIVITIES
 
 
 
Net decrease (increase) in interest-bearing deposits, including swap collateral pledged
(597,893
)
 
1,281,703

Net decrease in securities purchased under agreements to resell
4,310,000

 
700,000

Net increase in federal funds sold
(1,530,000
)
 
(394,000
)
Purchases of trading securities
(4,259,634
)
 
(10,804,787
)
Proceeds from sales of trading securities
2,949,620

 
8,841,671

Proceeds from maturities of trading securities
2,242,375

 
200,000

Purchases of available-for-sale securities

 
(507,626
)
Proceeds from maturities of available-for-sale securities
74,287

 
180,799

Proceeds from sales of available-for-sale securities

 
411,145

Proceeds from maturities of held-to-maturity securities
56,888

 
46,317

Principal collected on advances
115,255,395

 
149,506,560

Advances made
(124,509,159
)
 
(144,760,729
)
Principal collected on mortgage loans held for portfolio
211,023

 
35,395

Purchases of mortgage loans held for portfolio
(426,891
)
 
(443,923
)
Purchases of premises, equipment and computer software
(1,434
)
 
(663
)
Net cash provided by (used in) investing activities
(6,225,423
)
 
4,291,862

 
 
 
 

5


 
For the Three Months Ended
 
March 31,
 
2020
 
2019
FINANCING ACTIVITIES
 
 
 
Net increase (decrease) in deposit liabilities, including swap collateral held
464,976

 
(171,768
)
Net payments on derivative contracts with financing elements
(213,295
)
 
(73,692
)
Net proceeds from issuance of consolidated obligations
 

 
 
Discount notes
53,660,213

 
65,649,636

Bonds
9,461,366

 
4,442,865

Debt issuance costs
(2,436
)
 
(1,935
)
Payments for maturing and retiring consolidated obligations
 
 
 
Discount notes
(44,033,035
)
 
(64,037,381
)
Bonds
(11,159,535
)
 
(9,740,345
)
Proceeds from issuance of capital stock
548,453

 
338,610

Payments for redemption of mandatorily redeemable capital stock
(399
)
 
(1,614
)
Payments for repurchase/redemption of capital stock
(329,486
)
 
(478,639
)
Cash dividends paid
(60
)
 
(66
)
Net cash provided by (used in) financing activities
8,396,762

 
(4,074,329
)
 
 
 
 
Net increase in cash and cash equivalents
1,196,699

 
12,340

Cash and cash equivalents at beginning of the period
20,551

 
35,157

Cash and cash equivalents at end of the period
$
1,217,250

 
$
47,497

 
 
 
 
Supplemental Disclosures:
 
 
 
Interest paid
$
288,933

 
$
353,761

AHP payments, net
$
5,842

 
$
5,116

Stock dividends issued
$
14,967

 
$
19,044

Dividends paid through issuance of mandatorily redeemable capital stock
$

 
$
13

Net capital stock reclassified to mandatorily redeemable capital stock
$

 
$
2,326

Right-of-use assets acquired by lease
$
714

 
$
2,539


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

6


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, 2019. 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, 2019 filed with the SEC on March 25, 2020 (the “2019 10-K”). The notes to the interim financial statements update and/or highlight significant changes to the notes included in the 2019 10-K.
The Bank is one of 11 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 housing government-sponsored enterprises ("GSEs"), including the FHLBanks and the Office of Finance.
     Use of Estimates and Assumptions. 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 estimates include the valuations of the Bank’s investment securities (including, but not limited to, its investments in mortgage-backed securities ("MBS")), as well as its derivative instruments and any associated hedged items. Actual results could differ from these estimates.

Note 2—Recently Adopted Accounting Guidance
Credit Losses on Financial Instruments. On June 16, 2016, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") 2016-13, "Measurement of Credit Losses on Financial Instruments" ("ASU 2016-13"), which amends the guidance for the accounting for credit losses on financial instruments by replacing the incurred loss methodology with an expected credit loss methodology. Among other things, ASU 2016-13 requires:
entities to present financial assets, or groups of financial assets, measured at amortized cost at the net amount expected to be collected, which is computed by deducting an allowance for credit losses from the amortized cost basis of the financial asset(s);
the measurement of expected credit losses to be based upon relevant information about past events, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectability of the reported amount;
the statement of income to reflect the measurement of credit losses for newly recognized financial assets, as well as the expected increases or decreases in expected credit losses that have taken place during the period;
entities to determine the allowance for credit losses for purchased financial assets with a more-than-insignificant amount of credit deterioration since origination ("PCD assets") that are measured at amortized cost in a manner similar to other financial assets measured at amortized cost (the initial allowance for credit losses on PCD assets is added to the purchase price rather than being reported as a credit loss expense);
credit losses relating to available-for-sale debt securities to be recorded through an allowance for credit losses, the amount of which is limited to the amount by which fair value is below amortized cost; and
public business entities to further disaggregate the current disclosure of credit quality indicators in relation to the amortized cost of financing receivables by year of origination.

7


For public business entities that file with the SEC, the guidance in ASU 2016-13 is effective for fiscal years beginning after December 15, 2019 (January 1, 2020 for the Bank), and interim periods within those fiscal years. Early adoption was permitted for fiscal years beginning after December 15, 2018, including interim periods within those fiscal years. The guidance is to be applied on a modified retrospective basis through a cumulative-effect adjustment to retained earnings as of the beginning of the period in which the amendments are adopted. However, entities are required to use a prospective transition approach for debt securities for which an other-than-temporary impairment had been recognized before the date of adoption. The Bank adopted ASU 2016-13 effective January 1, 2020. In conjunction with the adoption of this guidance, the Bank recorded (on January 1, 2020) a cumulative effect adjustment to retained earnings of $2,191,000 and a corresponding increase in the allowance for credit losses on mortgage loans held for portfolio.
Fair Value Measurement Disclosures. On August 28, 2018, the FASB issued ASU 2018-13, "Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement" ("ASU 2018-13"), which modifies the disclosure requirements on fair value measurements in an effort to improve disclosure effectiveness. ASU 2018-13 removes or modifies certain existing disclosure requirements regarding fair value measurements, including a clarification that the measurement uncertainty disclosure associated with recurring Level 3 fair value measurements is intended to communicate information about the uncertainty in measurement as of the reporting date. In addition to the limited removals and modifications, the guidance requires public business entities to disclose: (i) the changes in unrealized gains and losses for the period included in other comprehensive income for recurring Level 3 fair value measurements held at the end of the reporting period and (ii) for recurring and nonrecurring fair value measurements categorized within Level 3 of the fair value hierarchy, the range and weighted average of significant unobservable inputs used to develop those fair value measurements (together, the "new disclosure requirements").
The amendments in ASU 2018-13 are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019 (January 1, 2020 for the Bank). The new disclosure requirements and the narrative description of measurement uncertainty are to be applied prospectively for only the most recent interim or annual period presented in the initial fiscal year of adoption. All other amendments are to be applied retrospectively to all periods presented upon their effective date. Early adoption is permitted. In addition, an entity is permitted to early adopt any removed or modified disclosures and delay adoption of the additional disclosures until their effective date. The adoption of ASU 2018-13 on January 1, 2020 did not have any impact on the Bank's results of operations or financial condition, nor did it require any additional disclosures for the three months ended March 31, 2020.
Implementation Costs Associated with Cloud Computing Arrangements. On August 29, 2018, the FASB issued ASU 2018-15, "Customer's Accounting for Implementation Costs Incurred in a Cloud Computing Arrangement That Is a Service Contract" ("ASU 2018-15"), which clarifies the accounting for implementation costs associated with a hosting arrangement that is a service contract. ASU 2018-15 aligns the requirements for capitalizing implementation costs incurred in a hosting arrangement that is a service contract with the requirements for capitalizing implementation costs incurred to develop or obtain internal-use software (and hosting arrangements that include an internal-use software license). ASU 2018-15 also addresses the term over which these capitalized implementation costs should be expensed. ASU 2018-15 does not affect the accounting for the service element of a hosting arrangement that is a service contract.
For public business entities, ASU 2018-15 is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019 (January 1, 2020 for the Bank). Early adoption is permitted, including adoption in any interim period. The guidance is to be applied either retrospectively or prospectively to all implementation costs incurred after the date of adoption. The adoption of this guidance on January 1, 2020 did not have a material impact on the Bank's results of operations or financial condition.
Reference Rate Reform. On March 12, 2020, the FASB issued ASU 2020-04, "Facilitation of the Effects of Reference Rate Reform on Financial Reporting" ("ASU 2020-04"), which provides optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 provides optional expedients and exceptions for applying U.S. GAAP to transactions affected by reference rate reform if certain criteria are met. These transactions include: (i) contract modifications, (ii) hedging relationships, and (iii) sales or transfers of debt securities classified as held-to-maturity.
ASU 2020-04 is effective from March 12, 2020 through December 31, 2022. An entity may elect to adopt the amendments for contract modifications as of any date from the beginning of an interim period that includes or is subsequent to March 12, 2020, or prospectively from a date within an interim period that includes or is subsequent to March 12, 2020, up to the date that the financial statements are available to be issued. An entity may elect to apply the amendments in ASU 2020-04 to eligible hedging relationships existing as of the beginning of the interim period that includes March 12, 2020 and to new eligible hedging relationships entered into after the beginning of the interim period that includes March 12, 2020 through December 31, 2022. The one-time election to sell, transfer, or both sell and transfer debt securities classified as held-to-maturity may be made at any time after March 12, 2020 but no later than December 31, 2022.

8


The Bank expects that it will elect to apply some of the expedients and exceptions provided in ASU 2020-04 relating to contract modifications, hedging relationships, and sales or transfers of held-to-maturity securities; however, the Bank has not yet determined the extent to which it will utilize these expedients and exceptions, nor the timing of when the expedients and exceptions will be elected and therefore the impact of the adoption of ASU 2020-04 on the Bank's financial condition and results of operations is not currently determinable.

Note 3—Trading Securities
Trading securities as of March 31, 2020 and December 31, 2019 were as follows (in thousands):
 
March 31, 2020
 
December 31, 2019
U.S. Treasury Notes
$
4,570,279

 
$
4,532,126

U.S. Treasury Bills

 
928,010

Total
$
4,570,279

 
$
5,460,136


Note 4—Available-for-Sale Securities
 Major Security Types. Available-for-sale securities as of March 31, 2020 were as follows (in thousands):
 
Amortized
Cost
 
Gross
 Unrealized
 Gains
 
Gross
Unrealized
Losses
 
Estimated
Fair
Value
Debentures
 
 
 
 
 
 
 
U.S. government-guaranteed obligations
$
463,898

 
$
70

 
$
1,165

 
$
462,803

GSE obligations
5,710,485

 
59,961

 
2,667

 
5,767,779

Other
46,214

 
236

 

 
46,450

 
6,220,597

 
60,267

 
3,832

 
6,277,032

GSE commercial MBS
11,399,913

 
12,711

 
180,061

 
11,232,563

Total
$
17,620,510

 
$
72,978

 
$
183,893

 
$
17,509,595

Available-for-sale securities as of December 31, 2019 were as follows (in thousands):
 
Amortized
Cost
 
Gross
 Unrealized
 Gains
 
Gross
Unrealized
Losses
 
Estimated
Fair
Value
Debentures
 
 
 
 
 
 
 
U.S. government-guaranteed obligations
$
447,072

 
$
6,124

 
$

 
$
453,196

GSE obligations
5,501,456

 
84,911

 
1,986

 
5,584,381

Other
45,217

 
342

 

 
45,559

 
5,993,745

 
91,377

 
1,986

 
6,083,136

GSE commercial MBS
10,627,922

 
79,875

 
24,433

 
10,683,364

Total
$
16,621,667

 
$
171,252

 
$
26,419

 
$
16,766,500

In the tables above, the amortized cost of the Bank's available-for-sale securities includes premiums, discounts and hedging adjustments. Amortized cost excludes accrued interest of $64,682,000 and $66,931,000 at March 31, 2020 and December 31, 2019, respectively.
Other debentures are comprised of securities issued by the Private Export Funding Corporation. These 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.

9


The following table summarizes (in thousands, except number of positions) the available-for-sale securities with unrealized losses as of March 31, 2020. 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
8

 
$
422,262

 
$
1,165

 

 
$

 
$

 
8

 
$
422,262

 
$
1,165

GSE debentures
5

 
158,742

 
1,371

 
1

 
51,715

 
1,296

 
6

 
210,457

 
2,667

GSE commercial MBS
178

 
6,632,963

 
103,274

 
65

 
2,295,692

 
76,787

 
243

 
8,928,655

 
180,061

Total
191

 
$
7,213,967

 
$
105,810

 
66

 
$
2,347,407

 
$
78,083

 
257

 
$
9,561,374

 
$
183,893


The following table summarizes (in thousands, except number of positions) the available-for-sale securities with unrealized losses as of December 31, 2019. 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
GSE debentures

 
$

 
$

 
3

 
$
128,794

 
$
1,986

 
3

 
$
128,794

 
$
1,986

GSE commercial MBS
34

 
1,031,193

 
3,331

 
67

 
2,222,955

 
21,102

 
101

 
3,254,148

 
24,433

Total
34

 
$
1,031,193

 
$
3,331

 
70

 
$
2,351,749

 
$
23,088

 
104

 
$
3,382,942

 
$
26,419

Redemption Terms. The amortized cost and estimated fair value of available-for-sale securities (excluding accrued interest) by contractual maturity at March 31, 2020 and December 31, 2019 are presented below (in thousands).
 
 
 
March 31, 2020
 
December 31, 2019
 
Maturity
 
Amortized
Cost
 
Estimated
Fair Value
 
Amortized
Cost
 
Estimated
Fair Value
 
 
Debentures
 
 
 
 
 
 
 
 
 
Due in one year or less
 
$
800,769

 
$
804,631

 
$
298,084

 
$
299,005

 
Due after one year through five years
 
3,052,219

 
3,076,963

 
3,465,898

 
3,504,780

 
Due after five years through ten years
 
2,351,041

 
2,378,332

 
2,183,310

 
2,231,183

 
Due after ten years
 
16,568

 
17,106

 
46,453

 
48,168

 
 
 
6,220,597

 
6,277,032

 
5,993,745

 
6,083,136

 
GSE commercial MBS
 
11,399,913

 
11,232,563

 
10,627,922

 
10,683,364

 
Total
 
$
17,620,510

 
$
17,509,595

 
$
16,621,667

 
$
16,766,500

Interest Rate Payment Terms. At March 31, 2020 and December 31, 2019, all of the Bank's available-for-sale securities were fixed rate securities which were swapped to a variable rate.
Sales of Securities. There were no sales of available-for-sale securities during the three months ended March 31, 2020. During the three months ended March 31, 2019, the Bank sold available-for-sale securities with an amortized cost (determined by the specific identification method) of $410,705,000. Proceeds from the sales totaled $411,145,000, resulting in realized gains of $440,000.


10


Note 5—Held-to-Maturity Securities
     Major Security Types. Held-to-maturity securities as of March 31, 2020 were as follows (in thousands):
 
Amortized
Cost
 
Non-credit 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
$
5,365

 
$

 
$
5,365

 
$
10

 
$

 
$
5,375

State housing agency obligations
109,533

 

 
109,533

 
122

 

 
109,655

 
114,898

 

 
114,898

 
132

 

 
115,030

Mortgage-backed securities
 
 
 
 
 
 
 
 
 
 
 
GSE residential MBS
983,301

 

 
983,301

 
1,711

 
8,319

 
976,693

Non-agency residential MBS
60,092

 
8,169

 
51,923

 
6,339

 
2,983

 
55,279

 
1,043,393

 
8,169

 
1,035,224

 
8,050

 
11,302

 
1,031,972

Total
$
1,158,291

 
$
8,169

 
$
1,150,122

 
$
8,182

 
$
11,302

 
$
1,147,002


Held-to-maturity securities as of December 31, 2019 were as follows (in thousands):
 
Amortized
Cost
 
Non-credit 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
$
5,862

 
$

 
$
5,862

 
$
12

 
$

 
$
5,874

State housing agency obligations
109,478

 

 
109,478

 

 
908

 
108,570

 
115,340

 

 
115,340

 
12

 
908

 
114,444

Mortgage-backed securities
 
 
 
 
 
 
 
 
 
 
 
GSE residential MBS
1,036,585

 

 
1,036,585

 
2,581

 
3,435

 
1,035,731

Non-agency residential MBS
62,885

 
8,640

 
54,245

 
11,641

 
481

 
65,405

 
1,099,470

 
8,640

 
1,090,830

 
14,222

 
3,916

 
1,101,136

Total
$
1,214,810

 
$
8,640

 
$
1,206,170

 
$
14,234

 
$
4,824

 
$
1,215,580

In the tables above, amortized cost includes premiums, discounts and the credit portion of other-than-temporary impairments ("OTTI") recorded prior to January 1, 2020. Amortized cost excludes accrued interest of $632,000 and $1,005,000 at March 31, 2020 and December 31, 2019, respectively.

11


Redemption Terms. The amortized cost, carrying value and estimated fair value of held-to-maturity securities by contractual maturity at March 31, 2020 and December 31, 2019 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, 2020
 
December 31, 2019