Bank Directors Seminar, Coeur d'Alene, ID, September 15-17, 2019

FHLB DES MOINES LIBOR TRANSITION

Source: FHLB Des Moines

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FHLB DES MOINES LIBOR TRANSITION

• The FHLBanks have issued more than $73 billion of SOFR debt since July 2018 and make up 61% of the SOFR benchmarked debt issuance. Issuers have included: FNMA, World Bank, Credit Suisse and MetLife

Indice ($millions)

Issuer

Prime

FedFunds

SOFR

3MTsyBill

1MLibor

3MLibor

6MLibor

Total

FederalAgriculturalMortgageCorp (FAMCA)

$ $

241

$ $

1,014 8,075

$

305

$

-

$

3,183

$ $

1,120 7,980

$ $ $ $ $

- - - - -

$

5,863

Federal FarmCreditBank (FFCB) FederalHome LoanBanks (FHLB)

10,875

$

3,354

$ $

9,050 2,550

$

74,125 199,943

$ $

113,459 333,097 35,029 11,275 13,273 511,995

$ $ $ $

- - - -

$ $ $ $

- - - -

$ $ $

73,250 30,404 11,000

$

$ $ $

57,354

FedearlHome LoanMortgageCorp (FreddieMac) FederalNationalMortgageAssociation (FannieMae) InternationalBank forReconstruction&Development (IBRD)

$ $ $

- - -

$

4,305

320 275

$ $ $

$

-

$

1,000

$

1,800

$

9,300

$ $

1,173 1,173

Total

$

11,116

$

9,089

$

119,313

$

11,600

$

283,356

$

76,349

$

Indice (%)

Issuer

Prime

FedFunds

SOFR

3MTsyBill

1MLibor

3MLibor

6MLibor

Total

FederalAgriculturalMortgageCorp (FAMCA)

2%

11% 89%

0% 3%

0%

1%

1%

0% 0% 0% 0% 0%

1%

Federal FarmCreditBank (FFCB) FederalHome LoanBanks (FHLB)

98%

78% 22%

26% 71%

10% 75%

22% 65%

0% 0% 0% 0%

0% 0% 0% 0%

61% 25%

FedearlHome LoanMortgageCorp (FreddieMac) FederalNationalMortgageAssociation (FannieMae) InternationalBank forReconstruction&Development (IBRD)

0% 0% 0%

2% 0% 1%

0% 0%

7% 2% 3%

9% 1%

12%

100% 100%

Total

100%

100%

100%

100%

100%

100%

100%

• While debt markets have begun to incorporate SOFR issuance on a regular basis, consumer products and derivatives still need to grow. LIBOR is currently referenced in more than $200 trillion financial contracts/products. • The development of a more active/liquid derivative market will be a key milestone for SOFR. Liquidity in SOFR-related instruments remains a fraction of LIBOR-based trades

Source: Bloomberg,As of July 18, 2019

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