þ | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
o | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
Federal (State or other jurisdiction of incorporation or organization) | 13-6400946 (I.R.S. Employer Identification No.) | |
101 Park Avenue, New York, N.Y. (Address of principal executive offices) | 10178 (Zip Code) |
Large accelerated filero | Accelerated filero | Non-accelerated filerþ | Smaller reporting companyo | |||
(Do not check if a smaller reporting company) |
Page | ||||||||
PART I. FINANCIAL INFORMATION | ||||||||
ITEM 1. FINANCIAL STATEMENTS (Unaudited): | ||||||||
3 | ||||||||
4 | ||||||||
5 | ||||||||
6 | ||||||||
174 | ||||||||
182 | ||||||||
Exhibit 10.01 | ||||||||
Exhibit 31.01 | ||||||||
Exhibit 31.02 | ||||||||
Exhibit 32.01 | ||||||||
Exhibit 32.02 |
September 30, 2009 | December 31, 2008 | March 31, 2010 | December 31, 2009 | |||||||||||||
Assets | ||||||||||||||||
Cash and due from banks (Note 2) | $ | 1,189,158 | $ | 18,899 | ||||||||||||
Interest-bearing deposits (Note 3) | — | 12,169,096 | ||||||||||||||
Cash and due from banks (Note 3) | $ | 1,167,824 | $ | 2,189,252 | ||||||||||||
Federal funds sold | 3,900,000 | — | 3,130,000 | 3,450,000 | ||||||||||||
Available-for-sale securities, net of unrealized losses of $16,085 at September 30, 2009 and $64,420 at December 31, 2008 (Note 5) | 2,362,592 | 2,861,869 | ||||||||||||||
Available-for-sale securities, net of unrealized gains (losses) of $11,521 at March 31, 2010 and ($3,409) at December 31, 2009 (Note 5) | 2,654,814 | 2,253,153 | ||||||||||||||
Held-to-maturity securities (Note 4) | ||||||||||||||||
Long-term securities | 10,478,027 | 10,130,543 | 9,776,282 | 10,519,282 | ||||||||||||
Certificates of deposit | 2,000,000 | 1,203,000 | ||||||||||||||
Advances (Note 6) | 95,944,732 | 109,152,876 | 88,858,753 | 94,348,751 | ||||||||||||
Mortgage loans held-for-portfolio, net of allowance for credit losses of $3,358 at September 30, 2009 and $1,406 at December 31, 2008 (Note 7) | 1,336,228 | 1,457,885 | ||||||||||||||
Mortgage loans held-for-portfolio, net of allowance for credit losses of $5,179 at March 31, 2010 and $4,498 at December 31, 2009 (Note 7) | 1,287,770 | 1,317,547 | ||||||||||||||
Accrued interest receivable | 354,934 | 492,856 | 320,730 | 340,510 | ||||||||||||
Premises, software, and equipment | 14,596 | 13,793 | 14,046 | 14,792 | ||||||||||||
Derivative assets (Note 15) | 9,092 | 20,236 | ||||||||||||||
Derivative assets (Note 16) | 9,246 | 8,280 | ||||||||||||||
Other assets | 14,957 | 18,838 | 19,761 | 19,339 | ||||||||||||
Total assets | $ | 117,604,316 | $ | 137,539,891 | $ | 107,239,226 | $ | 114,460,906 | ||||||||
Liabilities and capital | ||||||||||||||||
Liabilities | ||||||||||||||||
Deposits (Note 9) | ||||||||||||||||
Deposits (Note 8) | ||||||||||||||||
Interest-bearing demand | $ | 2,255,403 | $ | 1,333,750 | $ | 7,942,668 | $ | 2,616,812 | ||||||||
Non-interest bearing demand | 4,968 | 828 | 6,254 | 6,499 | ||||||||||||
Term | 15,600 | 117,400 | 28,000 | 7,200 | ||||||||||||
Total deposits | 2,275,971 | 1,451,978 | 7,976,922 | 2,630,511 | ||||||||||||
Consolidated obligations, net (Note 8) | ||||||||||||||||
Bonds (Includes $2,385,968 at September 30, 2009 and $998,942 at December 31, 2008 at fair value under the fair value option) | 69,670,836 | 82,256,705 | ||||||||||||||
Consolidated obligations, net (Note 10) | ||||||||||||||||
Bonds (Includes $6,780,613 at March 31, 2010 and $6,035,741 at December 31, 2009 at fair value under the fair value option) | 72,408,203 | 74,007,978 | ||||||||||||||
Discount notes | 38,385,244 | 46,329,906 | 19,815,956 | 30,827,639 | ||||||||||||
Total consolidated obligations | 108,056,080 | 128,586,611 | 92,224,159 | 104,835,617 | ||||||||||||
Mandatorily redeemable capital stock (Note 11) | 127,882 | 143,121 | 105,192 | 126,294 | ||||||||||||
Accrued interest payable | 337,221 | 426,144 | 330,715 | 277,788 | ||||||||||||
Affordable Housing Program (Note 10) | 144,822 | 122,449 | ||||||||||||||
Payable to REFCORP (Note 10) | 38,692 | 4,780 | ||||||||||||||
Derivative liabilities (Note 15) | 871,744 | 861,660 | ||||||||||||||
Affordable Housing Program (Note 12) | 145,660 | 144,489 | ||||||||||||||
Payable to REFCORP (Note 12) | 13,873 | 24,234 | ||||||||||||||
Derivative liabilities (Note 16) | 850,911 | 746,176 | ||||||||||||||
Other liabilities | 91,115 | 75,753 | 216,168 | 72,506 | ||||||||||||
Total liabilities | 111,943,527 | 131,672,496 | 101,863,600 | 108,857,615 | ||||||||||||
Commitments and Contingencies(Notes 8, 10, 15 and 17) | ||||||||||||||||
Commitments and Contingencies(Notes 10, 12, 16 and 18) | ||||||||||||||||
Capital(Note 11) | ||||||||||||||||
Capital stock ($100 par value), putable, issued and outstanding shares: | ||||||||||||||||
51,422 and 55,857 at September 30, 2009 and December 31, 2008 | 5,142,154 | 5,585,700 | ||||||||||||||
48,276 at March 31, 2010 and 50,590 at December 31, 2009 | 4,827,626 | 5,058,956 | ||||||||||||||
Retained earnings | 666,237 | 382,856 | 671,519 | 688,874 | ||||||||||||
Accumulated other comprehensive income (loss) (Note 12) | ||||||||||||||||
Net unrealized loss on available-for-sale securities | (16,085 | ) | (64,420 | ) | ||||||||||||
Non-credit portion of OTTI on held-to-maturity securities | (103,884 | ) | — | |||||||||||||
Accretion of non-credit portion of impairment losses on held-to-maturity securities | 3,421 | — | ||||||||||||||
Accumulated other comprehensive income (loss) (Note 13) | ||||||||||||||||
Net unrealized gain (loss) on available-for-sale securities | 11,521 | (3,409 | ) | |||||||||||||
Non-credit portion of OTTI on held-to-maturity securities, net of accretion | (106,612 | ) | (110,570 | ) | ||||||||||||
Net unrealized loss on hedging activities | (24,504 | ) | (30,191 | ) | (20,551 | ) | (22,683 | ) | ||||||||
Employee supplemental retirement plans (Note 14) | (6,550 | ) | (6,550 | ) | ||||||||||||
Employee supplemental retirement plans (Note 15) | (7,877 | ) | (7,877 | ) | ||||||||||||
Total capital | 5,660,789 | 5,867,395 | 5,375,626 | 5,603,291 | ||||||||||||
Total liabilities and capital | $ | 117,604,316 | $ | 137,539,891 | $ | 107,239,226 | $ | 114,460,906 | ||||||||
13
Three months ended | Nine months ended | |||||||||||||||||||||||
September 30, | September 30, | March 31, | ||||||||||||||||||||||
2009 | 2008 | 2009 | 2008 | 2010 | 2009 | |||||||||||||||||||
Interest income | ||||||||||||||||||||||||
Advances (Note 6) | $ | 240,573 | $ | 678,896 | $ | 1,094,089 | $ | 2,211,823 | $ | 149,640 | $ | 502,222 | ||||||||||||
Interest-bearing deposits (Note 3) | 1,014 | 3,240 | 19,054 | 17,086 | 830 | 8,918 | ||||||||||||||||||
Federal funds sold | 1,864 | 21,316 | 1,933 | 69,921 | 1,543 | 68 | ||||||||||||||||||
Available-for-sale securities (Note 5) | 6,590 | 24,441 | 22,881 | 57,016 | 5,764 | 8,519 | ||||||||||||||||||
Held-to-maturity securities (Note 4) | ||||||||||||||||||||||||
Long-term securities | 111,232 | 138,412 | 355,916 | 396,660 | 98,634 | 126,820 | ||||||||||||||||||
Certificates of deposit | 851 | 51,287 | 1,392 | 212,525 | — | 508 | ||||||||||||||||||
Mortgage loans held-for-portfolio (Note 7) | 17,405 | 19,316 | 54,679 | 58,348 | 16,741 | 19,104 | ||||||||||||||||||
Loans to other FHLBanks and other | 1 | 30 | 1 | 33 | ||||||||||||||||||||
Total interest income | 379,530 | 936,938 | 1,549,945 | 3,023,412 | 273,152 | 666,159 | ||||||||||||||||||
Interest expense | ||||||||||||||||||||||||
Consolidated obligations-bonds (Note 8) | 191,708 | 628,394 | 783,695 | 1,952,228 | ||||||||||||||||||||
Consolidated obligations-discount notes (Note 8) | 31,647 | 141,309 | 173,228 | 559,153 | ||||||||||||||||||||
Deposits (Note 9) | 516 | 7,370 | 2,002 | 33,235 | ||||||||||||||||||||
Consolidated obligations-bonds (Note 10) | 154,913 | 343,707 | ||||||||||||||||||||||
Consolidated obligations-discount notes (Note 10) | 9,657 | 89,378 | ||||||||||||||||||||||
Deposits (Note 8) | 892 | 777 | ||||||||||||||||||||||
Mandatorily redeemable capital stock (Note 11) | 1,807 | 1,950 | 5,478 | 8,884 | 1,495 | 878 | ||||||||||||||||||
Cash collateral held and other borrowings | — | 242 | 49 | 982 | ||||||||||||||||||||
Cash collateral held and other borrowings (Note 19) | — | 37 | ||||||||||||||||||||||
Total interest expense | 225,678 | 779,265 | 964,452 | 2,554,482 | 166,957 | 434,777 | ||||||||||||||||||
Net interest income before provision for credit losses | 153,852 | 157,673 | 585,493 | 468,930 | 106,195 | 231,382 | ||||||||||||||||||
Provision (recovery) for credit losses on mortgage loans | 598 | (31 | ) | 1,966 | 215 | |||||||||||||||||||
Provision for credit losses on mortgage loans | 709 | 443 | ||||||||||||||||||||||
Net interest income after provision for credit losses | 153,254 | 157,704 | 583,527 | 468,715 | 105,486 | 230,939 | ||||||||||||||||||
Other income (loss) | ||||||||||||||||||||||||
Service fees | 1,101 | 934 | 3,181 | 2,422 | 1,045 | 985 | ||||||||||||||||||
Instruments held at fair value — Unrealized gain (Note 16) | 426 | 3,582 | 8,653 | 3,582 | ||||||||||||||||||||
Instruments held at fair value — Unrealized (loss) gain (Note 17) | (8,419 | ) | 8,313 | |||||||||||||||||||||
Total OTTI losses | (30,169 | ) | — | (118,160 | ) | — | (3,873 | ) | (15,203 | ) | ||||||||||||||
Portion of loss recognized in other comprehensive income | 26,486 | — | 103,884 | — | 473 | 9,938 | ||||||||||||||||||
Net impairment losses recognized in earnings | (3,683 | ) | — | (14,276 | ) | — | (3,400 | ) | (5,265 | ) | ||||||||||||||
Net realized and unrealized gain (loss) on derivatives and hedging activities (Note 15) | 59,639 | (25,515 | ) | 124,613 | (65,196 | ) | ||||||||||||||||||
Net realized gain from sale of available-for-sale and redemption of held-to-maturity securities (Notes 4 and 5) | — | — | 721 | 1,058 | ||||||||||||||||||||
Provision for derivative counterparty credit losses (Notes 15 and 17) | — | (64,523 | ) | — | (64,523 | ) | ||||||||||||||||||
Net realized and unrealized (loss) on derivatives and hedging activities (Note 16) | (363 | ) | (13,666 | ) | ||||||||||||||||||||
Net realized gain from sale of available-for-sale securities (Note 5) | 708 | 440 | ||||||||||||||||||||||
Other | (39 | ) | 92 | 59 | (42 | ) | (227 | ) | 46 | |||||||||||||||
Total other income (loss) | 57,444 | (85,430 | ) | 122,951 | (122,699 | ) | (10,656 | ) | (9,147 | ) | ||||||||||||||
Other expenses | ||||||||||||||||||||||||
Operating | 17,810 | 16,549 | 53,970 | 49,489 | 19,236 | 18,094 | ||||||||||||||||||
Finance Agency and Office of Finance | 1,834 | 1,350 | 5,663 | 4,268 | 2,418 | 1,967 | ||||||||||||||||||
Total other expenses | 19,644 | 17,899 | 59,633 | 53,757 | 21,654 | 20,061 | ||||||||||||||||||
Income before assessments | 191,054 | 54,375 | 646,845 | 292,259 | 73,176 | 201,731 | ||||||||||||||||||
Affordable Housing Program (Note 10) | 15,780 | 4,638 | 53,363 | 24,764 | ||||||||||||||||||||
REFCORP (Note 10) | 35,055 | 9,947 | 118,696 | 53,499 | ||||||||||||||||||||
Affordable Housing Program (Note 12) | 6,126 | 16,557 | ||||||||||||||||||||||
REFCORP (Note 12) | 13,410 | 37,035 | ||||||||||||||||||||||
Total assessments | 50,835 | 14,585 | 172,059 | 78,263 | 19,536 | 53,592 | ||||||||||||||||||
Net income | $ | 140,219 | $ | 39,790 | $ | 474,786 | $ | 213,996 | $ | 53,640 | $ | 148,139 | ||||||||||||
Basic earnings per share (Note 13) | $ | 2.70 | $ | 0.79 | $ | 8.93 | $ | 4.55 | ||||||||||||||||
Basic earnings per share (Note 14) | $ | 1.09 | $ | 2.72 | ||||||||||||||||||||
Cash dividends paid per share | $ | 1.40 | $ | 1.62 | $ | 3.54 | $ | 5.67 | $ | 1.41 | $ | 0.75 | ||||||||||||
24
Accumulated | Accumulated | |||||||||||||||||||||||||||||||||||||||||||||||
Capital Stock1 | Other | Total | Capital Stock1 | Other | Total | |||||||||||||||||||||||||||||||||||||||||||
Class B | Retained | Comprehensive | Total | Comprehensive | Class B | Retained | Comprehensive | Total | Comprehensive | |||||||||||||||||||||||||||||||||||||||
Shares | Par Value | Earnings | Income (Loss) | Capital | Income (Loss) | |||||||||||||||||||||||||||||||||||||||||||
Balance, December 31, 2007 | 43,680 | $ | 4,367,971 | $ | 418,295 | $ | (35,675 | ) | $ | 4,750,591 | ||||||||||||||||||||||||||||||||||||||
Proceeds from sale of capital stock | 36,970 | 3,697,013 | — | — | 3,697,013 | |||||||||||||||||||||||||||||||||||||||||||
Redemption of capital stock | (24,964 | ) | (2,496,361 | ) | — | — | (2,496,361 | ) | ||||||||||||||||||||||||||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock | (648 | ) | (64,759 | ) | — | — | (64,759 | ) | ||||||||||||||||||||||||||||||||||||||||
Cash dividends ($5.67 per share) on capital stock | — | — | (250,104 | ) | — | (250,104 | ) | |||||||||||||||||||||||||||||||||||||||||
Net Income | — | — | 213,996 | — | 213,996 | $ | 213,996 | |||||||||||||||||||||||||||||||||||||||||
Net change in Accumulated other comprehensive income (Loss): | ||||||||||||||||||||||||||||||||||||||||||||||||
Net unrealized loss on available-for-sale securities | — | — | — | (43,952 | ) | (43,952 | ) | (43,952 | ) | |||||||||||||||||||||||||||||||||||||||
Hedging activities | — | — | — | (1,755 | ) | (1,755 | ) | (1,755 | ) | |||||||||||||||||||||||||||||||||||||||
$ | 168,289 | |||||||||||||||||||||||||||||||||||||||||||||||
Balance, September 30, 2008 | 55,038 | $ | 5,503,864 | $ | 382,187 | $ | (81,382 | ) | $ | 5,804,669 | ||||||||||||||||||||||||||||||||||||||
Shares | Par Value | Earnings | Income (Loss) | Capital | Income (Loss) | |||||||||||||||||||||||||||||||||||||||||||
Balance, December 31, 2008 | 55,857 | $ | 5,585,700 | $ | 382,856 | $ | (101,161 | ) | $ | 5,867,395 | 55,857 | $ | 5,585,700 | $ | 382,856 | $ | (101,161 | ) | $ | 5,867,395 | ||||||||||||||||||||||||||||
Proceeds from sale of capital stock | 26,932 | 2,693,233 | — | — | 2,693,233 | 10,418 | 1,041,817 | — | — | 1,041,817 | ||||||||||||||||||||||||||||||||||||||
Redemption of capital stock | (31,363 | ) | (3,136,345 | ) | — | — | (3,136,345 | ) | (12,145 | ) | (1,214,491 | ) | — | — | (1,214,491 | ) | ||||||||||||||||||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock | (4 | ) | (434 | ) | — | — | (434 | ) | — | — | — | — | — | |||||||||||||||||||||||||||||||||||
Cash dividends ($3.54 per share) on capital stock | — | — | (191,405 | ) | — | (191,405 | ) | |||||||||||||||||||||||||||||||||||||||||
Cash dividends ($0.75 per share) on capital stock | — | — | (42,100 | ) | — | (42,100 | ) | |||||||||||||||||||||||||||||||||||||||||
Net Income | — | — | 474,786 | — | 474,786 | $ | 474,786 | — | — | 148,139 | — | 148,139 | $ | 148,139 | ||||||||||||||||||||||||||||||||||
Net change in Accumulated other comprehensive income (Loss): | ||||||||||||||||||||||||||||||||||||||||||||||||
Non-credit portion of OTTI on held-to-maturity securities | — | — | — | (103,884 | ) | (103,884 | ) | (103,884 | ) | |||||||||||||||||||||||||||||||||||||||
Accretion of non-credit portion of impairment losses on held-to-maturity securities | — | — | — | 3,421 | 3,421 | 3,421 | ||||||||||||||||||||||||||||||||||||||||||
Net unrealized gain on available-for-sale securities | — | — | — | 48,335 | 48,335 | 48,335 | ||||||||||||||||||||||||||||||||||||||||||
Non-credit portion of OTTI on held-to-maturity securities, net of accretion | — | — | — | (9,938 | ) | (9,938 | ) | (9,938 | ) | |||||||||||||||||||||||||||||||||||||||
Net unrealized gains on available-for-sale securities | — | — | — | 30,426 | 30,426 | 30,426 | ||||||||||||||||||||||||||||||||||||||||||
Hedging activities | — | — | — | 5,687 | 5,687 | 5,687 | — | — | — | 1,879 | 1,879 | 1,879 | ||||||||||||||||||||||||||||||||||||
$ | 428,345 | $ | 170,506 | |||||||||||||||||||||||||||||||||||||||||||||
Balance, September 30, 2009 | 51,422 | $ | 5,142,154 | $ | 666,237 | $ | (147,602 | ) | $ | 5,660,789 | ||||||||||||||||||||||||||||||||||||||
Balance, March 31, 2009 | 54,130 | $ | 5,413,026 | $ | 488,895 | $ | (78,794 | ) | $ | 5,823,127 | ||||||||||||||||||||||||||||||||||||||
Balance, December 31, 2009 | 50,590 | $ | 5,058,956 | $ | 688,874 | $ | (144,539 | ) | $ | 5,603,291 | ||||||||||||||||||||||||||||||||||||||
Proceeds from sale of capital stock | 3,644 | 364,445 | — | — | 364,445 | |||||||||||||||||||||||||||||||||||||||||||
Redemption of capital stock | (5,944 | ) | (594,365 | ) | — | — | (594,365 | ) | ||||||||||||||||||||||||||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock | (14 | ) | (1,410 | ) | — | — | (1,410 | ) | ||||||||||||||||||||||||||||||||||||||||
Cash dividends ($1.41 per share) on capital stock | — | — | (70,995 | ) | — | (70,995 | ) | |||||||||||||||||||||||||||||||||||||||||
Net Income | — | — | 53,640 | — | 53,640 | $ | 53,640 | |||||||||||||||||||||||||||||||||||||||||
Net change in Accumulated other comprehensive income (Loss): | ||||||||||||||||||||||||||||||||||||||||||||||||
Non-credit portion of OTTI on held-to-maturity securities, net of accretion | — | — | — | 3,958 | 3,958 | 3,958 | ||||||||||||||||||||||||||||||||||||||||||
Net unrealized gains on available-for-sale securities | — | — | — | 14,930 | 14,930 | 14,930 | ||||||||||||||||||||||||||||||||||||||||||
Hedging activities | — | — | — | 2,132 | 2,132 | 2,132 | ||||||||||||||||||||||||||||||||||||||||||
$ | 74,660 | |||||||||||||||||||||||||||||||||||||||||||||||
Balance, March 31, 2010 | 48,276 | $ | 4,827,626 | $ | 671,519 | $ | (123,519 | ) | $ | 5,375,626 | ||||||||||||||||||||||||||||||||||||||
1 | Putable stock |
35
Nine months ended | ||||||||||||||||
September 30, | March 31, | |||||||||||||||
2009 | 2008 | 2010 | 2009 | |||||||||||||
Operating activities | ||||||||||||||||
Net Income | $ | 474,786 | $ | 213,996 | $ | 53,640 | $ | 148,139 | ||||||||
Adjustments to reconcile net income to net cash provided by operating activities: | ||||||||||||||||
Depreciation and amortization: | ||||||||||||||||
Net premiums and discounts on consolidated obligations, investments, mortgage loans and other adjustments | (95,490 | ) | (103,645 | ) | (19,849 | ) | (16,488 | ) | ||||||||
Concessions on consolidated obligations | 4,977 | 6,904 | 2,497 | 1,858 | ||||||||||||
Premises, software, and equipment | 4,020 | 3,575 | 1,365 | 1,323 | ||||||||||||
Provision for derivative counterparty credit losses | — | 64,523 | ||||||||||||||
Provision for credit losses on mortgage loans | 1,966 | 215 | 709 | 443 | ||||||||||||
Net realized (gains) from redemption of held-to-maturity securities | (281 | ) | (1,058 | ) | ||||||||||||
Net realized (gains) from sale of available-for-sale securities | (440 | ) | — | (708 | ) | (440 | ) | |||||||||
Credit impairment losses on held-to-maturity securities | 14,276 | — | 3,400 | 5,265 | ||||||||||||
Change in net fair value adjustments on derivatives and hedging activities | 68,323 | (468,072 | ) | 145,124 | 10,927 | |||||||||||
Change in fair value adjustments on financial instruments held at fair value | (8,653 | ) | (3,582 | ) | 8,419 | (8,313 | ) | |||||||||
Net change in: | ||||||||||||||||
Accrued interest receivable | 137,921 | 110,871 | 19,781 | 81,356 | ||||||||||||
Derivative assets due to accrued interest | 184,842 | 151,442 | (9,558 | ) | 122,496 | |||||||||||
Derivative liabilities due to accrued interest | (250,161 | ) | (91,585 | ) | (27,425 | ) | (184,242 | ) | ||||||||
Other assets | 4,830 | (48,769 | ) | 2,560 | 2,353 | |||||||||||
Affordable Housing Program liability | 22,373 | 3,323 | 1,171 | 5,919 | ||||||||||||
Accrued interest payable | (95,244 | ) | (4,878 | ) | 54,380 | (48,275 | ) | |||||||||
REFCORP liability | 33,912 | (14,093 | ) | (10,361 | ) | 37,035 | ||||||||||
Other liabilities | (5,759 | ) | (20,024 | ) | (32,257 | ) | (2,619 | ) | ||||||||
Total adjustments | 21,412 | (414,853 | ) | 139,248 | 8,598 | |||||||||||
Net cash provided (used) by operating activities | 496,198 | (200,857 | ) | |||||||||||||
Net cash provided by operating activities | 192,888 | 156,737 | ||||||||||||||
Investing activities | ||||||||||||||||
Net change in: | ||||||||||||||||
Interest-bearing deposits | 13,471,204 | (341,090 | ) | 3,874 | 4,328,324 | |||||||||||
Federal funds sold | (3,900,000 | ) | (2,031,000 | ) | 320,000 | (500,000 | ) | |||||||||
Deposits with other FHLBanks | (84 | ) | (127 | ) | 22 | (3 | ) | |||||||||
Premises, software, and equipment | (4,823 | ) | (3,876 | ) | (619 | ) | (1,348 | ) | ||||||||
Held-to-maturity securities: | ||||||||||||||||
Long-term securities | ||||||||||||||||
Purchased | (2,754,476 | ) | (2,142,900 | ) | — | (395,221 | ) | |||||||||
Repayments | 2,283,149 | 1,862,789 | 916,331 | 624,495 | ||||||||||||
In-substance maturities | 38,251 | 94,634 | — | 1,479 | ||||||||||||
Net change in certificates of deposit | (797,000 | ) | 5,284,200 | — | 903,000 | |||||||||||
Available-for-sale securities: | ||||||||||||||||
Purchased | (613 | ) | (3,244,285 | ) | (581,936 | ) | (346 | ) | ||||||||
Proceeds | 420,607 | 251,777 | 164,325 | 120,446 | ||||||||||||
Proceeds from sales | 132,095 | 546 | 32,993 | 131,780 | ||||||||||||
Advances: | ||||||||||||||||
Principal collected | 320,102,436 | 389,788,259 | 66,264,709 | 159,760,816 | ||||||||||||
Made | (308,324,718 | ) | (410,797,243 | ) | (60,622,185 | ) | (155,769,454 | ) | ||||||||
Mortgage loans held-for-portfolio: | ||||||||||||||||
Principal collected | 235,596 | 135,832 | 49,065 | 54,415 | ||||||||||||
Purchased and originated | (117,152 | ) | (105,733 | ) | (20,106 | ) | (28,208 | ) | ||||||||
Loans to other FHLBanks | ||||||||||||||||
Loans made | (400,000 | ) | (661,000 | ) | (27,000 | ) | — | |||||||||
Principal collected | 400,000 | 716,000 | 27,000 | — | ||||||||||||
Net cash provided (used) by investing activities | 20,784,472 | (21,193,217 | ) | |||||||||||||
Net cash provided by investing activities | 6,526,473 | 9,230,175 | ||||||||||||||
46
Nine months ended | ||||||||||||||||
September 30, | March 31, | |||||||||||||||
2009 | 2008 | 2010 | 2009 | |||||||||||||
Financing activities | ||||||||||||||||
Net change in: | ||||||||||||||||
Deposits and other borrowings1 | $ | 531,109 | $ | 1,601,874 | $ | 5,238,715 | $ | 919,256 | ||||||||
Short-term loans from other FHLBanks: | ||||||||||||||||
Proceeds from loans | — | 1,260,000 | ||||||||||||||
Payments for loans | — | (1,260,000 | ) | |||||||||||||
Consolidated obligation bonds: | ||||||||||||||||
Proceeds from issuance | 35,112,667 | 55,509,862 | 14,103,711 | 5,795,744 | ||||||||||||
Payments for maturing and early retirement | (47,224,995 | ) | (30,051,498 | ) | (15,757,412 | ) | (18,272,802 | ) | ||||||||
Consolidated obligation discount notes: | ||||||||||||||||
Proceeds from issuance | 814,559,648 | 536,200,240 | 27,155,228 | 190,143,891 | ||||||||||||
Payments for maturing | (822,438,650 | ) | (542,193,830 | ) | (38,157,604 | ) | (187,741,830 | ) | ||||||||
Capital stock: | ||||||||||||||||
Proceeds from issuance | 2,693,233 | 3,697,013 | 364,445 | 1,041,817 | ||||||||||||
Payments for redemption / repurchase | (3,136,345 | ) | (2,496,361 | ) | (594,365 | ) | (1,214,491 | ) | ||||||||
Redemption of Mandatorily redeemable capital stock | (15,673 | ) | (159,857 | ) | (22,512 | ) | (3,160 | ) | ||||||||
Cash dividends paid2 | (191,405 | ) | (250,104 | ) | (70,995 | ) | (42,100 | ) | ||||||||
Net cash (used) provided by financing activities | (20,110,411 | ) | 21,857,339 | |||||||||||||
Net cash used by financing activities | (7,740,789 | ) | (9,373,675 | ) | ||||||||||||
Net increase in cash and cash equivalents | 1,170,259 | 463,265 | ||||||||||||||
Net (decrease) increase in cash and cash equivalents | (1,021,428 | ) | 13,237 | |||||||||||||
Cash and cash equivalents at beginning of the period | 18,899 | 7,909 | 2,189,252 | 18,899 | ||||||||||||
Cash and cash equivalents at end of the period | $ | 1,189,158 | $ | 471,174 | $ | 1,167,824 | $ | 32,136 | ||||||||
Supplemental disclosures: | ||||||||||||||||
Interest paid | $ | 1,161,678 | $ | 2,096,160 | $ | 136,535 | $ | 583,725 | ||||||||
Affordable Housing Program payments3 | $ | 30,990 | $ | 21,441 | $ | 4,955 | $ | 10,638 | ||||||||
REFCORP payments | $ | 84,784 | $ | 67,593 | $ | 23,771 | $ | — | ||||||||
Transfers of mortgage loans to real estate owned | $ | 1,091 | $ | 356 | $ | 377 | $ | 108 | ||||||||
Portion of non-credit OTTI losses on held-to-maturity securities | $ | 103,884 | $ | — | $ | 473 | $ | 9,938 |
1 | ||
2 | Does not include payments to holders of Mandatorily redeemable capital stock. | |
3 | AHP payments = (beginning accrual - ending accrual) + AHP assessment for the period; payments represent funds released to the Affordable Housing Program. |
57
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(1) | a qualifying1 hedge of the fair value of a recognized asset or liability or an unrecognized firm commitment (a “fair value” hedge); |
(2) | a qualifying1 hedge of a forecasted transaction or the variability of cash flows that are to be received or paid in connection with a recognized asset or liability (a “cash flow” hedge); |
(3) | a non-qualifying1 hedge of an asset or liability (“economic hedge”) for asset-liability management purposes; or |
(4) | a non-qualifying1 hedge of another derivative (an “intermediation” hedge) that is offered as a product to members or used to offset other derivatives with non-member counterparties. |
1 | Note: The terms “qualifying” and “non-qualifying” refer to accounting standards forderivatives and hedging. |
21
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25
March 31, 2010 | ||||||||||||||||||||||||
Amortized | Gross | Gross | ||||||||||||||||||||||
Cost | OTTI | Carrying | Unrecognized | Unrecognized | Fair | |||||||||||||||||||
Issued, guaranteed or insured: | Basis | in OCI | Value | Holding Gains | Holding Losses | Value | ||||||||||||||||||
Pools of Mortgages | ||||||||||||||||||||||||
Fannie Mae | $ | 1,081,039 | $ | — | $ | 1,081,039 | $ | 44,361 | $ | — | $ | 1,125,400 | ||||||||||||
Freddie Mac | 307,168 | — | 307,168 | 14,795 | — | 321,963 | ||||||||||||||||||
Total pools of mortgages | 1,388,207 | — | 1,388,207 | 59,156 | — | 1,447,363 | ||||||||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||||||||||
Fannie Mae | 2,406,059 | — | 2,406,059 | 75,431 | — | 2,481,490 | ||||||||||||||||||
Freddie Mac | 3,854,479 | — | 3,854,479 | 125,672 | (56 | ) | 3,980,095 | |||||||||||||||||
Ginnie Mae | 150,882 | — | 150,882 | 422 | (355 | ) | 150,949 | |||||||||||||||||
Total CMOs/REMICs | 6,411,420 | — | 6,411,420 | 201,525 | (411 | ) | 6,612,534 | |||||||||||||||||
Commercial Mortgage-Backed Securities | ||||||||||||||||||||||||
Freddie Mac | 174,048 | — | 174,048 | — | — | 174,048 | ||||||||||||||||||
Ginnie Mae | 49,342 | — | 49,342 | 674 | — | 50,016 | ||||||||||||||||||
Total commercial mortgage-backed securities | 223,390 | — | 223,390 | 674 | — | 224,064 | ||||||||||||||||||
Non-GSE MBS | ||||||||||||||||||||||||
CMOs/REMICs | 409,839 | (2,287 | ) | 407,552 | 2,771 | (5,397 | ) | 404,926 | ||||||||||||||||
Commercial MBS | — | — | — | — | — | — | ||||||||||||||||||
Total non-federal-agency MBS | 409,839 | (2,287 | ) | 407,552 | 2,771 | (5,397 | ) | 404,926 | ||||||||||||||||
Asset-Backed Securities | ||||||||||||||||||||||||
Manufactured housing (insured) | 195,700 | — | 195,700 | — | (35,830 | ) | 159,870 | |||||||||||||||||
Home equity loans (insured) | 296,280 | (76,935 | ) | 219,345 | 18,484 | (11,316 | ) | 226,513 | ||||||||||||||||
Home equity loans (uninsured) | 208,217 | (27,390 | ) | 180,827 | 10,257 | (29,822 | ) | 161,262 | ||||||||||||||||
Total asset-backed securities | 700,197 | (104,325 | ) | 595,872 | 28,741 | (76,968 | ) | 547,645 | ||||||||||||||||
Total MBS | $ | 9,133,053 | $ | (106,612 | ) | $ | 9,026,441 | $ | 292,867 | $ | (82,776 | ) | $ | 9,236,532 | ||||||||||
Other | ||||||||||||||||||||||||
State and local housing finance agency obligations | $ | 749,841 | $ | — | $ | 749,841 | $ | 3,471 | $ | (55,583 | ) | $ | 697,729 | |||||||||||
Certificates of deposit | — | — | — | — | — | — | ||||||||||||||||||
Total other | $ | 749,841 | $ | — | $ | 749,841 | $ | 3,471 | $ | (55,583 | ) | $ | 697,729 | |||||||||||
Total Held-to-maturity securities | $ | 9,882,894 | $ | (106,612 | ) | $ | 9,776,282 | $ | 296,338 | $ | (138,359 | ) | $ | 9,934,261 | ||||||||||
December 31, 2009 | ||||||||||||||||||||||||
Amortized | Gross | Gross | ||||||||||||||||||||||
Cost | OTTI | Carrying | Unrecognized | Unrecognized | Fair | |||||||||||||||||||
Issued, guaranteed or insured: | Basis | in OCI | Value | Holding Gains | Holding Losses | Value | ||||||||||||||||||
Pools of Mortgages | ||||||||||||||||||||||||
Fannie Mae | $ | 1,137,514 | $ | — | $ | 1,137,514 | $ | 38,378 | $ | — | $ | 1,175,892 | ||||||||||||
Freddie Mac | 335,368 | — | 335,368 | 12,903 | — | 348,271 | ||||||||||||||||||
Total pools of mortgages | 1,472,882 | — | 1,472,882 | 51,281 | — | 1,524,163 | ||||||||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||||||||||
Fannie Mae | 2,609,254 | — | 2,609,254 | 70,222 | (2,192 | ) | 2,677,284 | |||||||||||||||||
Freddie Mac | 4,400,003 | — | 4,400,003 | 128,952 | (3,752 | ) | 4,525,203 | |||||||||||||||||
Ginnie Mae | 171,531 | — | 171,531 | 245 | (1,026 | ) | 170,750 | |||||||||||||||||
Total CMOs/REMICs | 7,180,788 | — | 7,180,788 | 199,419 | (6,970 | ) | 7,373,237 | |||||||||||||||||
Ginnie Mae-CMBS | 49,526 | — | 49,526 | 62 | — | 49,588 | ||||||||||||||||||
Non-GSE MBS | ||||||||||||||||||||||||
CMOs/REMICs | 447,367 | (2,461 | ) | 444,906 | 2,437 | (7,833 | ) | 439,510 | ||||||||||||||||
Commercial MBS | — | — | — | — | — | — | ||||||||||||||||||
Total non-federal-agency MBS | 447,367 | (2,461 | ) | 444,906 | 2,437 | (7,833 | ) | 439,510 | ||||||||||||||||
Asset-Backed Securities | ||||||||||||||||||||||||
Manufactured housing (insured) | 202,278 | — | 202,278 | — | (37,101 | ) | 165,177 | |||||||||||||||||
Home equity loans (insured) | 307,279 | (79,445 | ) | 227,834 | 12,795 | (25,136 | ) | 215,493 | ||||||||||||||||
Home equity loans (uninsured) | 217,981 | (28,664 | ) | 189,317 | 3,436 | (34,804 | ) | 157,949 | ||||||||||||||||
Total asset-backed securities | 727,538 | (108,109 | ) | 619,429 | 16,231 | (97,041 | ) | 538,619 | ||||||||||||||||
Total MBS | $ | 9,878,101 | $ | (110,570 | ) | $ | 9,767,531 | $ | 269,430 | $ | (111,844 | ) | $ | 9,925,117 | ||||||||||
Other | ||||||||||||||||||||||||
State and local housing finance agency obligations | $ | 751,751 | $ | — | $ | 751,751 | $ | 3,430 | $ | (11,046 | ) | $ | 744,135 | |||||||||||
Certificates of deposit | — | — | — | — | — | — | ||||||||||||||||||
Total other | $ | 751,751 | $ | — | $ | 751,751 | $ | 3,430 | $ | (11,046 | ) | $ | 744,135 | |||||||||||
Total Held-to-maturity securities | $ | 10,629,852 | $ | (110,570 | ) | $ | 10,519,282 | $ | 272,860 | $ | (122,890 | ) | $ | 10,669,252 | ||||||||||
1 | Amortized cost basis, as defined under the guidance on recognition and presentation of OTTI, includes adjustments made to the cost of an investment for accretion, amortization, collection of cash, and fair value hedge accounting adjustments. If a held-to-maturity security is determined to be OTTI, the amortized cost basis of the security is adjusted for previous OTTI recognized in earnings. Amortized cost basis of a held-to-maturity OTTI security is further adjusted for impairment related to all other factors (also referred to as the non-credit component of OTTI) recognized in AOCI, and the adjusted amortized cost basis is the carrying value of the OTTI security reported in the Statements of Condition. Carrying value of a held-to-maturity security that is not OTTI is its amortized cost basis. |
26
March 31, 2010 | ||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||
Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | |||||||||||||||||||
Fair Value | Losses | Fair Value | Losses | Fair Value | Losses | |||||||||||||||||||
Non-MBS Investment Securities | ||||||||||||||||||||||||
State and local housing finance agency obligations | $ | 143,016 | $ | (10,889 | ) | $ | 213,571 | $ | (44,694 | ) | $ | 356,587 | $ | (55,583 | ) | |||||||||
Total Non-MBS | 143,016 | (10,889 | ) | 213,571 | (44,694 | ) | 356,587 | (55,583 | ) | |||||||||||||||
MBS Investment Securities | ||||||||||||||||||||||||
MBS — Other US Obligations | ||||||||||||||||||||||||
Ginnie Mae | 110,737 | (355 | ) | — | — | 110,737 | (355 | ) | ||||||||||||||||
MBS-GSE | ||||||||||||||||||||||||
Fannie Mae | — | — | — | — | — | — | ||||||||||||||||||
Freddie Mac | 126,350 | (56 | ) | — | — | 126,350 | (56 | ) | ||||||||||||||||
Total MBS-GSE | 126,350 | (56 | ) | — | — | 126,350 | (56 | ) | ||||||||||||||||
MBS-Private-Label | 97,372 | (502 | ) | 768,161 | (158,064 | ) | 865,533 | (158,566 | ) | |||||||||||||||
Total MBS | 334,459 | (913 | ) | 768,161 | (158,064 | ) | 1,102,620 | (158,977 | ) | |||||||||||||||
Total | $ | 477,475 | $ | (11,802 | ) | $ | 981,732 | $ | (202,758 | ) | $ | 1,459,207 | $ | (214,560 | ) | |||||||||
December 31, 2009 | ||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||
Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | |||||||||||||||||||
Fair Value | Losses | Fair Value | Losses | Fair Value | Losses | |||||||||||||||||||
Non-MBS Investment Securities | ||||||||||||||||||||||||
State and local housing finance agency obligations | $ | 212,112 | $ | (8,611 | ) | $ | 43,955 | $ | (2,435 | ) | $ | 256,067 | $ | (11,046 | ) | |||||||||
Total Non-MBS | 212,112 | (8,611 | ) | 43,955 | (2,435 | ) | 256,067 | (11,046 | ) | |||||||||||||||
MBS Investment Securities | ||||||||||||||||||||||||
MBS — Other US Obligations | ||||||||||||||||||||||||
Ginnie Mae | 122,359 | (1,020 | ) | 2,274 | (6 | ) | 124,633 | (1,026 | ) | |||||||||||||||
MBS-GSE | ||||||||||||||||||||||||
Fannie Mae | 780,645 | (2,192 | ) | — | — | 780,645 | (2,192 | ) | ||||||||||||||||
Freddie Mac | 814,881 | (3,752 | ) | — | — | 814,881 | (3,752 | ) | ||||||||||||||||
Total MBS-GSE | 1,595,526 | (5,944 | ) | — | — | 1,595,526 | (5,944 | ) | ||||||||||||||||
MBS-Private-Label | 113,140 | (1,523 | ) | 765,445 | (196,134 | ) | 878,585 | (197,657 | ) | |||||||||||||||
Total MBS | 1,831,025 | (8,487 | ) | 767,719 | (196,140 | ) | 2,598,744 | (204,627 | ) | |||||||||||||||
Total | $ | 2,043,137 | $ | (17,098 | ) | $ | 811,674 | $ | (198,575 | ) | $ | 2,854,811 | $ | (215,673 | ) | |||||||||
27
28
29
Quarter ended | ||||||||||||||||||||||||||||
At March 31, 2010 | March 31, 2010 | |||||||||||||||||||||||||||
Insurer MBIA | Insurer Ambac | OTTI | ||||||||||||||||||||||||||
Security | Fair | Fair | Credit | Non-credit | ||||||||||||||||||||||||
Classification | Count | UPB | Value | UPB | Value | Loss | Loss | |||||||||||||||||||||
RMBS-Prime* | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
HEL Subprime* | 5 | 21,637 | 9,730 | 45,476 | 26,015 | (3,400 | ) | (473 | ) | |||||||||||||||||||
Total | 5 | $ | 21,637 | $ | 9,730 | $ | 45,476 | $ | 26,015 | $ | (3,400 | ) | $ | (473 | ) | |||||||||||||
* | RMBS-Prime — Private-label MBS supported by prime residential loans; HEL Subprime — MBS supported by home equity loans. |
1 | The total carrying value of the five securities prior to OTTI was $38.2 million. The carrying values and fair values of OTTI securities in a loss position at March 31, 2010 prior to OTTI were $27.0 million and $23.1 million. |
23
At December 31, 2009 | Quarter ended December 31, 2009 | |||||||||||||||||||||||||||||||||||||||||||
Insurer MBIA | Insurer Ambac | Uninsured | OTTI | Gross Unrecognized Losses | ||||||||||||||||||||||||||||||||||||||||
Security | Fair | Fair | Fair | Credit | Non-credit | Less than | More than | |||||||||||||||||||||||||||||||||||||
Classification | Count | UPB | Value | UPB | Value | UPB | Value | Loss | Loss | 12 months | 12 months | |||||||||||||||||||||||||||||||||
RMBS-Prime* | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||||||
HEL Subprime* | 8 | — | — | 89,092 | 53,027 | 20,118 | 12,874 | (6,540 | ) | (16,212 | ) | — | (2,663 | ) | ||||||||||||||||||||||||||||||
Total | 8 | $ | — | $ | — | $ | 89,092 | $ | 53,027 | $ | 20,118 | $ | 12,874 | $ | (6,540 | ) | $ | (16,212 | ) | $ | — | $ | (2,663 | ) | ||||||||||||||||||||
* | RMBS-Prime — Private-label MBS supported by prime residential loans; HEL Subprime — MBS supported by home equity loans. |
2430
At December 31, 2009 | Year ended December 31, 2009 | |||||||||||||||||||||||||||||||||||||||||||
Insurer MBIA | Insurer Ambac | Uninsured | OTTI | Gross Unrecognized Losses | ||||||||||||||||||||||||||||||||||||||||
Security | Fair | Fair | Fair | Credit | Non-credit | Less than | More than | |||||||||||||||||||||||||||||||||||||
Classification | Count | UPB | Value | UPB | Value | UPB | Value | Loss | Loss | 12 months | 12 months | |||||||||||||||||||||||||||||||||
RMBS-Prime* | 1 | $ | — | $ | — | $ | — | $ | — | $ | 54,295 | $ | 51,715 | $ | (438 | ) | $ | (2,766 | ) | $ | (1,187 | ) | $ | — | ||||||||||||||||||||
HEL Subprime* | 16 | 34,425 | 17,161 | 198,532 | 127,470 | 80,774 | 53,783 | (20,378 | ) | (117,330 | ) | — | (13,674 | ) | ||||||||||||||||||||||||||||||
Total | 17 | $ | 34,425 | $ | 17,161 | $ | 198,532 | $ | 127,470 | $ | 135,069 | $ | 105,498 | $ | (20,816 | ) | $ | (120,096 | ) | $ | (1,187 | ) | $ | (13,674 | ) | |||||||||||||||||||
* | RMBS-Prime — Private-label MBS supported by prime residential loans; HEL Subprime — MBS supported by home equity loans. |
September 30, 2009 | At March 31, 2009 | Quarter ended March 31, 2009 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Insurer MBIA | Insurer Ambac | Uninsured | OTTI | Gross OTTI Losses | Insurer MBIA | OTTI | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Security | Fair | Fair | Fair | Credit | Non-credit | Less than | More than | Amortized | Fair | Credit | Non-credit | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Classification | Count | UPB | Value | UPB | Value | UPB | Value | Loss | Loss | 12 months | 12 months | Count | Cost Basis | Value | Loss | Loss | ||||||||||||||||||||||||||||||||||||||||||||||||
RMBS-Prime* | 1 | $ | — | $ | — | $ | — | $ | — | $ | 56,867 | $ | 54,687 | $ | (438 | ) | $ | (2,766 | ) | $ | (3,204 | ) | $ | — | ||||||||||||||||||||||||||||||||||||||||
HEL Subprime* | 14 | 35,616 | 20,653 | 181,995 | 117,651 | 62,461 | 38,392 | (13,838 | ) | (101,118 | ) | — | (114,956 | ) | 2 | $ | 37,011 | $ | 21,808 | $ | (5,265 | ) | $ | (9,938 | ) | |||||||||||||||||||||||||||||||||||||||
Total | 15 | $ | 35,616 | $ | 20,653 | $ | 181,995 | $ | 117,651 | $ | 119,328 | $ | 93,079 | $ | (14,276 | ) | $ | (103,884 | ) | $ | (3,204 | ) | $ | (114,956 | ) | |||||||||||||||||||||||||||||||||||||||
* | RMBS-Prime — Private-label MBS supported by prime residential loans; HEL Subprime — MBS supported by home equity loans. |
Quarter ended March 31 | ||||||||
2010 | 2009 | |||||||
Beginning balance | $ | 20,816 | $ | — | ||||
Additions to the credit component for OTTI loss not previously recognized | — | — | ||||||
Additional credit losses for which an OTTI charge was previously recognized | 3,400 | 5,265 | ||||||
Increases in cash flows expected to be collected, recognized over the remaining life of the securities | — | — | ||||||
Ending balance | $ | 24,216 | $ | 5,265 | ||||
31
Q3 2009 activity | ||||||||||||||||||||||||||||||||||||||||||||
Insurer MBIA | Insurer Ambac | Uninsured | OTTI | Gross OTTI Losses | ||||||||||||||||||||||||||||||||||||||||
Security | Fair | Fair | Fair | Credit | Non-credit | Less than | More than | |||||||||||||||||||||||||||||||||||||
Classification | Count | UPB | Value | UPB | Value | UPB | Value | Loss | Loss | 12 months | 12 months | |||||||||||||||||||||||||||||||||
RMBS-Prime* | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||||||
HEL Subprime* | 10 | 13,304 | 7,680 | 121,435 | 79,700 | 62,460 | 38,392 | (3,683 | ) | (26,486 | ) | — | (30,169 | ) | ||||||||||||||||||||||||||||||
Total | 10 | $ | 13,304 | $ | 7,680 | $ | 121,435 | $ | 79,700 | $ | 62,460 | $ | 38,392 | $ | (3,683 | ) | $ | (26,486 | ) | — | $ | (30,169 | ) | |||||||||||||||||||||
Key Base Assumption - OTTI Securities | ||||||||||||||||||||||||||||
CDR | CPR | Loss Severity % | ||||||||||||||||||||||||||
Count | Average | Range | Average | Range | Average | Range | ||||||||||||||||||||||
Prime-RMBS* | 1 | 22.2 | 22.2 | 2.0 | 2.0 | 40.0 | 40.0 | |||||||||||||||||||||
HEL-Subprime* | 14 | 7.3 | 14.62-2 | 6.9 | 15.03-3.21 | 90.0 | 110-70.5 | |||||||||||||||||||||
Total | 15 | |||||||||||||||||||||||||||
Key Base Assumption — OTTI Securities | ||||||||||||||||||||||||
CDR | CPR | Loss Severity % | ||||||||||||||||||||||
Security Classification | Range | Average | Range | Average | Range | Average | ||||||||||||||||||
RMBS-Prime* | — | — | — | — | — | — | ||||||||||||||||||
HEL Subprime* | 6.06-7.80 | 6.7 | 2.00-7.54 | 4.8 | 72.6-100.0 | 91.5 |
* | RMBS-Prime — Private-label MBS supported by prime residential loans; | |
* | HEL Subprime — MBS supported by home equity loans. |
If the present value of cash flows expected to be collected (discounted at the security’s effective yield) is less than the amortized cost basis of the security, an other-than-temporary impairment is considered to have occurred because the entire amortized cost basis of the security will not be recovered. The Bank considers whether or not it will recover the entire amortized cost of the security by comparing the present value of the cash flows expected to be collected from the security (discounted at the security’s effective yield) with the amortized cost basis of the security. 32 Adverse case scenario — March 31, 2010 The FHLBNY evaluated its credit impaired private-label MBS under a base case (or best estimate) scenario, and also performed a cash flow analysis for each of those securities under a more adverse external assumption that forecasted a larger home price decline and a slower rate of housing price recovery. The stress test scenario and associated results do not represent the Bank’s current expectations and therefore should not be construed as a prediction of the Bank’s future results, market conditions or the actual performance of these securities. The results of the adverse case scenario are presented below alongside the FHLBNY’s expected outcome for the credit impaired securities (the base case) (dollars in thousands):
Third-party Bond Insurer (Monoline insurer support) The FHLBNY has identified certain MBS that have been determined to be |
25
33
26
Protection time horizon calculation | ||||||||
Ambac | MBIA | |||||||
Burnout period (months) | 83 | 31 | ||||||
Coverage ignore date | 7/31/2016 | 3/31/2012 | ||||||
Number of OTTI securities | 11 | 2 |
Three months ended | Nine months ended | |||||||||||||||
September 30, | September 30, | September 30, | September 30, | |||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Beginning balance | $ | 10,593 | $ | — | $ | — | $ | — | ||||||||
Additions to the credit component for OTTI loss not previously recognized | 1,459 | — | 14,276 | — | ||||||||||||
Additional credit losses for which an OTTI charge was previously recognized | 2,224 | — | — | — | ||||||||||||
Increases in cash flows expected to be collected, recognized over the remaining life of the securities | — | — | — | — | ||||||||||||
Ending balance | $ | 14,276 | $ | — | $ | 14,276 | $ | — | ||||||||
Burnout Period | ||||||||
Ambac | MBIA | |||||||
March 31, 2010 | ||||||||
Burnout period (months) | — | 15 | ||||||
Coverage ignore date | 3/31/2010 | 6/30/2011 | ||||||
December 31, 2009 | ||||||||
Burnout period (months) | 18 | 18 | ||||||
Coverage ignore date | 6/30/2011 | 6/30/2011 | ||||||
March 31, 2009 | ||||||||
Burnout period (months) | 116 | 50 | ||||||
Coverage ignore date | 11/30/2018 | 5/31/2018 |
27
September 30, 2009 | ||||||||||||||||||||||||
Amortized | Gross | Gross | ||||||||||||||||||||||
Cost | OTTI | Carrying | Unrecognized | Unrecognized | Fair | |||||||||||||||||||
Issued, guaranteed or insured | Basis | in OCI | Value | Holding Gains | Holding Losses | Value | ||||||||||||||||||
Pools of Mortgages | ||||||||||||||||||||||||
Fannie Mae | $ | 1,194,202 | $ | — | $ | 1,194,202 | $ | 47,563 | $ | — | $ | 1,241,765 | ||||||||||||
Freddie Mac | 354,212 | — | 354,212 | 15,657 | — | 369,869 | ||||||||||||||||||
Total pools of mortgages | 1,548,414 | — | 1,548,414 | 63,220 | — | 1,611,634 | ||||||||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||||||||||
Fannie Mae | 2,370,747 | — | 2,370,747 | 70,184 | (4,176 | ) | 2,436,755 | |||||||||||||||||
Freddie Mac | 4,384,624 | — | 4,384,624 | 132,871 | (7,914 | ) | 4,509,581 | |||||||||||||||||
Ginnie Mae | 187,470 | — | 187,470 | 148 | (1,432 | ) | 186,186 | |||||||||||||||||
Total CMOs/REMICs | 6,942,841 | — | 6,942,841 | 203,203 | (13,522 | ) | 7,132,522 | |||||||||||||||||
Ginnie Mae-CMBS | 49,706 | — | 49,706 | 263 | — | 49,969 | ||||||||||||||||||
Non-GSE MBS | ||||||||||||||||||||||||
CMOs/REMICs | 485,419 | (2,545 | ) | 482,874 | 2,533 | (10,732 | ) | 474,675 | ||||||||||||||||
Commercial mortgage-backed securities | — | — | — | — | — | — | ||||||||||||||||||
Total non-federal-agency MBS | 485,419 | (2,545 | ) | 482,874 | 2,533 | (10,732 | ) | 474,675 | ||||||||||||||||
Asset-Backed Securities | ||||||||||||||||||||||||
Manufactured housing (insured) | 208,544 | — | 208,544 | — | (46,536 | ) | 162,008 | |||||||||||||||||
Home equity loans (insured) | 324,833 | (74,915 | ) | 249,918 | 8,515 | (34,559 | ) | 223,874 | ||||||||||||||||
Home equity loans (uninsured) | 227,546 | (23,003 | ) | 204,543 | — | (44,662 | ) | 159,881 | ||||||||||||||||
Total asset-backed securities | 760,923 | (97,918 | ) | 663,005 | 8,515 | (125,757 | ) | 545,763 | ||||||||||||||||
Total mortgage-backed securities | $ | 9,787,303 | $ | (100,463 | ) | $ | 9,686,840 | $ | 277,734 | $ | (150,011 | ) | $ | 9,814,563 | ||||||||||
Other | ||||||||||||||||||||||||
State and local housing finance agency obligations | 791,187 | — | 791,187 | 5,325 | (14,527 | ) | 781,985 | |||||||||||||||||
Certificates of deposit | 2,000,000 | — | 2,000,000 | 3 | — | 2,000,003 | ||||||||||||||||||
Total other | $ | 2,791,187 | $ | — | $ | 2,791,187 | $ | 5,328 | $ | (14,527 | ) | $ | 2,781,988 | |||||||||||
28
December 31, 2008 | ||||||||||||||||
Amortized | Gross | Gross | ||||||||||||||
Cost | Unrealized | Unrealized | Fair | |||||||||||||
Issued, guaranteed or insured | Basis | Holding Gains | Holding Losses | Value | ||||||||||||
Pools of Mortgages | ||||||||||||||||
Fannie Mae | $ | 1,400,058 | $ | 26,789 | $ | — | $ | 1,426,847 | ||||||||
Freddie Mac | 422,088 | 7,860 | — | 429,948 | ||||||||||||
Total pools of mortgages | 1,822,146 | 34,649 | — | 1,856,795 | ||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||
Fannie Mae | 2,032,051 | 51,138 | (125 | ) | 2,083,064 | |||||||||||
Freddie Mac | 3,722,840 | 101,595 | (30 | ) | 3,824,405 | |||||||||||
Ginnie Mae | 6,325 | — | (187 | ) | 6,138 | |||||||||||
Total CMOs/REMICs | 5,761,216 | 152,733 | (342 | ) | 5,913,607 | |||||||||||
Ginnie Mae-CMBS | — | — | — | — | ||||||||||||
Non-GSE MBS | ||||||||||||||||
CMOs/REMICs | 609,907 | — | (42,706 | ) | 567,201 | |||||||||||
Commercial mortgage-backed securities | 266,994 | 149 | (127 | ) | 267,016 | |||||||||||
Total non-federal-agency MBS | 876,901 | 149 | (42,833 | ) | 834,217 | |||||||||||
Asset-Backed Securities | ||||||||||||||||
Manufactured housing (insured) | 229,714 | — | (75,418 | ) | 154,296 | |||||||||||
Home equity loans (insured) | 376,587 | — | (144,957 | ) | 231,630 | |||||||||||
Home equity loans (uninsured) | 259,879 | — | (79,112 | ) | 180,767 | |||||||||||
Total asset-backed securities | 866,180 | — | (299,487 | ) | 566,693 | |||||||||||
Total mortgage-backed securities | $ | 9,326,443 | $ | 187,531 | $ | (342,662 | ) | $ | 9,171,312 | |||||||
Other | ||||||||||||||||
State and local housing finance agency obligations | 804,100 | 6,573 | (47,512 | ) | 763,161 | |||||||||||
Certificates of deposit | 1,203,000 | 328 | — | 1,203,328 | ||||||||||||
Total other | $ | 2,007,100 | $ | 6,901 | $ | (47,512 | ) | $ | 1,996,489 | |||||||
29
September 30, 2009 | ||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||
Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | |||||||||||||||||||
Fair Value | Losses | Fair Value | Losses | Fair Value | Losses | |||||||||||||||||||
Non-MBS Investment Securities | ||||||||||||||||||||||||
State and local housing agency obligations | $ | 254,366 | $ | (14,527 | ) | $ | — | $ | — | $ | 254,366 | $ | (14,527 | ) | ||||||||||
Total Non-MBS | 254,366 | (14,527 | ) | — | — | 254,366 | (14,527 | ) | ||||||||||||||||
MBS Investment Securities | ||||||||||||||||||||||||
MBS — Other US Obligations | ||||||||||||||||||||||||
Ginnie Mae | 136,455 | (1,415 | ) | 2,789 | (17 | ) | 139,244 | (1,432 | ) | |||||||||||||||
MBS-GSE | ||||||||||||||||||||||||
Fannie Mae | 771,784 | (4,171 | ) | 2,869 | (5 | ) | 774,653 | (4,176 | ) | |||||||||||||||
Freddie Mac | 1,384,438 | (7,914 | ) | — | — | 1,384,438 | (7,914 | ) | ||||||||||||||||
Total MBS-GSE | 2,156,222 | (12,085 | ) | 2,869 | (5 | ) | 2,159,091 | (12,090 | ) | |||||||||||||||
MBS-Private-Label | 54,687 | (367 | ) | 932,366 | (225,892 | ) | 987,053 | (226,259 | ) | |||||||||||||||
Total MBS | 2,347,364 | (13,867 | ) | 938,024 | (225,914 | ) | 3,285,388 | (239,781 | ) | |||||||||||||||
Total | $ | 2,601,730 | $ | (28,394 | ) | $ | 938,024 | $ | (225,914 | ) | $ | 3,539,754 | $ | (254,308 | ) | |||||||||
December 31, 2008 | ||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||
Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | |||||||||||||||||||
Fair Value | Losses | Fair Value | Losses | Fair Value | Losses | |||||||||||||||||||
Non-MBS Investment Securities | ||||||||||||||||||||||||
State and local housing agency obligations | $ | 78,261 | $ | (16,065 | ) | $ | 84,108 | $ | (31,447 | ) | $ | 162,369 | $ | (47,512 | ) | |||||||||
Total Non-MBS | 78,261 | (16,065 | ) | 84,108 | (31,447 | ) | 162,369 | (47,512 | ) | |||||||||||||||
MBS Investment Securities | ||||||||||||||||||||||||
MBS — Other US Obligations | ||||||||||||||||||||||||
Ginnie Mae | 6,137 | (187 | ) | — | — | 6,137 | (187 | ) | ||||||||||||||||
MBS-GSE | ||||||||||||||||||||||||
Fannie Mae | 3,452 | (125 | ) | — | — | 3,452 | (125 | ) | ||||||||||||||||
Freddie Mac | 1,102 | (30 | ) | 32 | — | 1,134 | (30 | ) | ||||||||||||||||
Total MBS-GSE | 4,554 | (155 | ) | 32 | — | 4,586 | (155 | ) | ||||||||||||||||
MBS-Private-Label | 509,273 | (115,061 | ) | 718,321 | (227,259 | ) | 1,227,594 | (342,320 | ) | |||||||||||||||
Total MBS | 519,964 | (115,403 | ) | 718,353 | (227,259 | ) | 1,238,317 | (342,662 | ) | |||||||||||||||
Total | $ | 598,225 | $ | (131,468 | ) | $ | 802,461 | $ | (258,706 | ) | $ | 1,400,686 | $ | (390,174 | ) | |||||||||
3034
March 31, 2010 | ||||||||||||||||||||||||
Amortized | Gross | Gross | ||||||||||||||||||||||
Cost | OTTI | Carrying | Unrealized | Unrealized | Fair | |||||||||||||||||||
Basis | in OCI | Value | Gains | Losses | Value | |||||||||||||||||||
Cash equivalents | $ | 1,329 | $ | — | $ | 1,329 | $ | — | $ | — | $ | 1,329 | ||||||||||||
Equity funds | 8,979 | — | 8,979 | 72 | (1,215 | ) | 7,836 | |||||||||||||||||
Fixed income funds | 3,486 | — | 3,486 | 242 | — | 3,728 | ||||||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||||||
CMO-Floating | 2,629,499 | — | 2,629,499 | 14,985 | (2,563 | ) | 2,641,921 | |||||||||||||||||
Total | $ | 2,643,293 | $ | — | $ | 2,643,293 | $ | 15,299 | $ | (3,778 | ) | $ | 2,654,814 | |||||||||||
December 31, 2009 | ||||||||||||||||||||||||
Amortized | Gross | Gross | ||||||||||||||||||||||
Cost | OTTI | Carrying | Unrealized | Unrealized | Fair | |||||||||||||||||||
Basis | in OCI | Value | Gains | Losses | Value | |||||||||||||||||||
Cash equivalents | $ | 1,230 | $ | — | $ | 1,230 | $ | — | $ | — | $ | 1,230 | ||||||||||||
Equity funds | 8,995 | — | 8,995 | 57 | (1,561 | ) | 7,491 | |||||||||||||||||
Fixed income funds | 3,672 | — | 3,672 | 196 | — | 3,868 | ||||||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||||||
CMO-Floating | 2,242,665 | — | 2,242,665 | 6,937 | (9,038 | ) | 2,240,564 | |||||||||||||||||
Total | $ | 2,256,562 | $ | — | $ | 2,256,562 | $ | 7,190 | $ | (10,599 | ) | $ | 2,253,153 | |||||||||||
35
March 31, 2010 | ||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||
Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | |||||||||||||||||||
Fair Value | Losses | Fair Value | Losses | Fair Value | Losses | |||||||||||||||||||
MBS Investment Securities | ||||||||||||||||||||||||
MBS-GSE | ||||||||||||||||||||||||
Fannie Mae | $ | 269,287 | $ | (354 | ) | $ | 362,038 | $ | (1,242 | ) | $ | 631,325 | $ | (1,596 | ) | |||||||||
Freddie Mac | 84,441 | (121 | ) | 225,183 | (846 | ) | 309,624 | (967 | ) | |||||||||||||||
Total MBS-GSE | 353,728 | (475 | ) | 587,221 | (2,088 | ) | 940,949 | (2,563 | ) | |||||||||||||||
Total Temporarily Impaired | $ | 353,728 | $ | (475 | ) | $ | 587,221 | $ | (2,088 | ) | $ | 940,949 | $ | (2,563 | ) | |||||||||
December 31, 2009 | ||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||
Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | |||||||||||||||||||
Fair Value | Losses | Fair Value | Losses | Fair Value | Losses | |||||||||||||||||||
MBS Investment Securities | ||||||||||||||||||||||||
MBS-GSE | ||||||||||||||||||||||||
Fannie Mae | $ | — | $ | — | $ | 1,006,860 | $ | (6,394 | ) | $ | 1,006,860 | $ | (6,394 | ) | ||||||||||
Freddie Mac | — | — | 662,237 | (2,644 | ) | 662,237 | (2,644 | ) | ||||||||||||||||
Total MBS-GSE | — | — | 1,669,097 | (9,038 | ) | 1,669,097 | (9,038 | ) | ||||||||||||||||
Total Temporarily Impaired | $ | — | $ | — | $ | 1,669,097 | $ | (9,038 | ) | $ | 1,669,097 | $ | (9,038 | ) | ||||||||||
September 30, 2009 | ||||||||||||||||
Amortized | Gross | Gross | ||||||||||||||
Cost | Unrealized | Unrealized | Fair | |||||||||||||
Basis | Gains | Losses | Value | |||||||||||||
Cash equivalents | $ | 1,272 | $ | — | $ | — | $ | 1,272 | ||||||||
Equity funds | 9,445 | 43 | (1,984 | ) | 7,504 | |||||||||||
Fixed income funds | 3,253 | 255 | — | 3,508 | ||||||||||||
Mortgage-backed securities | 2,364,707 | 4,329 | (18,728 | ) | 2,350,308 | |||||||||||
Total | $ | 2,378,677 | $ | 4,627 | $ | (20,712 | ) | $ | 2,362,592 | |||||||
December 31, 2008 | ||||||||||||||||
Amortized | Gross | Gross | ||||||||||||||
Cost | Unrealized | Unrealized | Fair | |||||||||||||
Basis | Gains | Losses | Value | |||||||||||||
Cash equivalents | $ | 836 | $ | — | $ | — | $ | 836 | ||||||||
Equity funds | 8,978 | — | (3,516 | ) | 5,462 | |||||||||||
Fixed income funds | 3,833 | 66 | (10 | ) | 3,889 | |||||||||||
Mortgage-backed securities | 2,912,642 | 364 | (61,324 | ) | 2,851,682 | |||||||||||
Total | $ | 2,926,289 | $ | 430 | $ | (64,850 | ) | $ | 2,861,869 | |||||||
31
September 30, 2009 | ||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||
Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | |||||||||||||||||||
Fair Value | Losses | Fair Value | Losses | Fair Value | Losses | |||||||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||||||
MBS-GSE | ||||||||||||||||||||||||
Fannie Mae | $ | 144,044 | $ | (327 | ) | $ | 1,059,185 | $ | (12,230 | ) | $ | 1,203,229 | $ | (12,557 | ) | |||||||||
Freddie Mac | — | — | 689,462 | (6,171 | ) | 689,462 | (6,171 | ) | ||||||||||||||||
Total MBS-GSE | 144,044 | (327 | ) | 1,748,647 | (18,401 | ) | 1,892,691 | (18,728 | ) | |||||||||||||||
Total Temporarily Impaired | $ | 144,044 | $ | (327 | ) | $ | 1,748,647 | $ | (18,401 | ) | $ | 1,892,691 | $ | (18,728 | ) | |||||||||
December 31, 2008 | ||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||
Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | |||||||||||||||||||
Fair Value | Losses | Fair Value | Losses | Fair Value | Losses | |||||||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||||||
MBS-GSE | ||||||||||||||||||||||||
Fannie Mae | $ | 1,662,928 | $ | (35,047 | ) | $ | 142,630 | $ | (3,539 | ) | $ | 1,805,558 | $ | (38,586 | ) | |||||||||
Freddie Mac | 957,617 | (21,744 | ) | 39,077 | (994 | ) | 996,694 | (22,738 | ) | |||||||||||||||
Total MBS-GSE | 2,620,545 | (56,791 | ) | 181,707 | (4,533 | ) | 2,802,252 | (61,324 | ) | |||||||||||||||
Total Temporarily Impaired | $ | 2,620,545 | $ | (56,791 | ) | $ | 181,707 | $ | (4,533 | ) | $ | 2,802,252 | $ | (61,324 | ) | |||||||||
3236
September 30, 2009 | December 31, 2008 | March 31, 2010 | December 31, 2009 | |||||||||||||||||||||||||||||||||||||||||||||
Weighted2 | Weighted2 | Weighted2 | Weighted2 | |||||||||||||||||||||||||||||||||||||||||||||
Average | Percentage | Average | Percentage | Average | Percentage | Average | Percentage | |||||||||||||||||||||||||||||||||||||||||
Amount | Yield | of Total | Amount | Yield | of Total | Amount | Yield | of Total | Amount | Yield | of Total | |||||||||||||||||||||||||||||||||||||
Overdrawn demand deposit accounts | $ | — | — | % | — | % | $ | — | — | % | — | % | $ | — | — | % | — | % | $ | 2,022 | 1.20 | % | — | % | ||||||||||||||||||||||||
Due in one year or less | 20,222,153 | 1.98 | 22.08 | 32,420,095 | 2.52 | 31.36 | 23,308,924 | 2.25 | 27.39 | 24,128,022 | 2.07 | 26.59 | ||||||||||||||||||||||||||||||||||||
Due after one year through two years | 15,572,319 | 3.00 | 17.00 | 16,150,121 | 3.71 | 15.62 | 9,671,408 | 2.72 | 11.37 | 10,819,349 | 2.73 | 11.92 | ||||||||||||||||||||||||||||||||||||
Due after two years through three years | 8,933,691 | 2.99 | 9.75 | 7,634,680 | 3.76 | 7.39 | 8,848,401 | 3.01 | 10.40 | 10,069,555 | 2.91 | 11.10 | ||||||||||||||||||||||||||||||||||||
Due after three years through four years | 6,604,702 | 3.20 | 7.21 | 6,852,514 | 3.74 | 6.63 | 6,287,687 | 3.21 | 7.39 | 5,804,448 | 3.32 | 6.40 | ||||||||||||||||||||||||||||||||||||
Due after four years through five years | 3,565,489 | 3.38 | 3.89 | 3,210,575 | 3.88 | 3.11 | 2,985,545 | 2.86 | 3.51 | 3,364,706 | 3.19 | 3.71 | ||||||||||||||||||||||||||||||||||||
Due after five years through six years | 1,787,448 | 3.77 | 1.95 | 836,689 | 3.74 | 0.81 | 4,777,762 | 4.07 | 5.61 | 2,807,329 | 3.91 | 3.09 | ||||||||||||||||||||||||||||||||||||
Thereafter | 34,916,207 | 3.80 | 38.12 | 36,275,053 | 3.96 | 35.08 | 29,215,449 | 3.85 | 34.33 | 33,742,269 | 3.78 | 37.19 | ||||||||||||||||||||||||||||||||||||
Total par value | 91,602,009 | 3.12 | % | 100.00 | % | 103,379,727 | 3.44 | % | 100.00 | % | 85,095,176 | 3.13 | % | 100.00 | % | 90,737,700 | 3.06 | % | 100.00 | % | ||||||||||||||||||||||||||||
Discount on AHP advances1 | (275 | ) | (330 | ) | (244 | ) | (260 | ) | ||||||||||||||||||||||||||||||||||||||||
Hedging adjustments1 | 4,342,998 | 5,773,479 | ||||||||||||||||||||||||||||||||||||||||||||||
Hedging adjustments | 3,763,821 | 3,611,311 | ||||||||||||||||||||||||||||||||||||||||||||||
Total | $ | 95,944,732 | $ | 109,152,876 | $ | 88,858,753 | $ | 94,348,751 | ||||||||||||||||||||||||||||||||||||||||
1 | Discounts on AHP advances were amortized to interest income using the level-yield method and were not significant for all periods reported. Interest rates on AHP advances ranged from 1.25% to 4.00% at | |
2 | The weighed average yield is the weighted average coupon rates for advances, unadjusted for swaps. For floating-rate advances, the weighted average rate is the rate outstanding at the reporting dates. |
September 30, 2009 | December 31, 2008 | |||||||||||||||
Percentage of | Percentage of | |||||||||||||||
Amount | Total | Amount | Total | |||||||||||||
Overdrawn demand deposit accounts | $ | — | — | % | $ | — | — | % | ||||||||
Due or putable in one year or less | 53,090,265 | 57.96 | 63,251,007 | 61.18 | ||||||||||||
Due or putable after one year through two years | 18,689,569 | 20.40 | 18,975,821 | 18.36 | ||||||||||||
Due or putable after two years through three years | 8,427,941 | 9.20 | 10,867,530 | 10.51 | ||||||||||||
Due or putable after three years through four years | 5,838,402 | 6.37 | 5,293,364 | 5.12 | ||||||||||||
Due or putable after four years through five years | 3,085,989 | 3.37 | 2,728,075 | 2.64 | ||||||||||||
Due or putable after five years through six years | 156,448 | 0.17 | 230,189 | 0.22 | ||||||||||||
Thereafter | 2,313,395 | 2.53 | 2,033,741 | 1.97 | ||||||||||||
Total par value | 91,602,009 | 100.00 | % | 103,379,727 | 100.00 | % | ||||||||||
Discount on AHP advances | (275 | ) | (330 | ) | ||||||||||||
Hedging adjustments | 4,342,998 | 5,773,479 | ||||||||||||||
Total | $ | 95,944,732 | $ | 109,152,876 | ||||||||||||
3337
March 31, 2010 | December 31, 2009 | |||||||||||||||
Percentage of | Percentage of | |||||||||||||||
Amount | Total | Amount | Total | |||||||||||||
Overdrawn demand deposit accounts | $ | — | — | % | $ | 2,022 | — | % | ||||||||
Due or putable in one year or less | 54,692,686 | 64.27 | 56,978,134 | 62.79 | ||||||||||||
Due or putable after one year through two years | 11,552,958 | 13.58 | 14,082,199 | 15.52 | ||||||||||||
Due or putable after two years through three years | 8,047,401 | 9.46 | 8,991,805 | 9.91 | ||||||||||||
Due or putable after three years through four years | 5,739,037 | 6.74 | 5,374,048 | 5.92 | ||||||||||||
Due or putable after four years through five years | 2,433,295 | 2.86 | 2,826,206 | 3.12 | ||||||||||||
Due or putable after five years through six years | 380,762 | 0.45 | 158,329 | 0.18 | ||||||||||||
Thereafter | 2,249,037 | 2.64 | 2,324,957 | 2.56 | ||||||||||||
Total par value | 85,095,176 | 100.00 | % | 90,737,700 | 100.00 | % | ||||||||||
Discount on AHP advances | (244 | ) | (260 | ) | ||||||||||||
Hedging adjustments | 3,763,821 | 3,611,311 | ||||||||||||||
Total | $ | 88,858,753 | $ | 94,348,751 | ||||||||||||
38
September 30, 2009 | December 31, 2008 | March 31, 2010 | December 31, 2009 | |||||||||||||||||||||||||||||
Percentage of | Percentage of | Percentage of | Percentage of | |||||||||||||||||||||||||||||
Amount | Total | Amount | Total | Amount | Total | Amount | Total | |||||||||||||||||||||||||
Real Estate: | ||||||||||||||||||||||||||||||||
Fixed medium-term single-family mortgages | $ | 406,055 | 30.38 | % | $ | 467,845 | 32.15 | % | $ | 370,316 | 28.72 | % | $ | 388,072 | 29.43 | % | ||||||||||||||||
Fixed long-term single-family mortgages | 926,537 | 69.32 | 983,493 | 67.58 | 915,447 | 70.98 | 926,856 | 70.27 | ||||||||||||||||||||||||
Multi-family mortgages | 3,934 | 0.30 | 4,009 | 0.27 | 3,881 | 0.30 | 3,908 | 0.30 | ||||||||||||||||||||||||
Total par value | 1,336,526 | 100.00 | % | 1,455,347 | 100.00 | % | 1,289,644 | 100.00 | % | 1,318,836 | 100.00 | % | ||||||||||||||||||||
Unamortized premiums | 9,257 | 10,662 | 8,853 | 9,095 | ||||||||||||||||||||||||||||
Unamortized discounts | (5,641 | ) | (6,310 | ) | (5,209 | ) | (5,425 | ) | ||||||||||||||||||||||||
Basis adjustment1 | (556 | ) | (408 | ) | (339 | ) | (461 | ) | ||||||||||||||||||||||||
Total mortgage loans held-for-portfolio | 1,339,586 | 1,459,291 | 1,292,949 | 1,322,045 | ||||||||||||||||||||||||||||
Allowance for credit losses | (3,358 | ) | (1,406 | ) | (5,179 | ) | (4,498 | ) | ||||||||||||||||||||||||
Total mortgage loans held-for-portfolio after allowance for credit losses | $ | 1,336,228 | $ | 1,457,885 | $ | 1,287,770 | $ | 1,317,547 | ||||||||||||||||||||||||
1 | Represents fair value basis of open and closed delivery commitments. |
34
Three months ended September 30, | Nine months ended September 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Beginning balance | $ | 2,760 | $ | 879 | $ | 1,406 | $ | 633 | ||||||||
Charge-offs | — | (4 | ) | (14 | ) | (4 | ) | |||||||||
Provision for credit losses on mortgage loans | 598 | (31 | ) | 1,966 | 215 | |||||||||||
Ending balance | $ | 3,358 | $ | 844 | $ | 3,358 | $ | 844 | ||||||||
Three months ended March 31, | ||||||||
2010 | 2009 | |||||||
Beginning balance | $ | 4,498 | $ | 1,405 | ||||
Charge-offs | (33 | ) | — | |||||
Recoveries | 5 | — | ||||||
Provision for credit losses on mortgage loans | 709 | 443 | ||||||
Ending balance | $ | 5,179 | $ | 1,848 | ||||
39
September 30, 2009 | December 31, 2008 | |||||||
Secured by 1-4 family | $ | 698 | $ | 507 | ||||
March 31, 2010 | December 31, 2009 | |||||||
Secured by 1-4 family | $ | 470 | $ | 570 | ||||
March 31, 2010 | December 31, 2009 | |||||||
Due in one year or less | $ | 28,000 | $ | 7,200 | ||||
Total term deposits | $ | 28,000 | $ | 7,200 | ||||
40
35
September 30, 2009 | December 31, 2008 | |||||||
Percentage of unpledged qualifying assets to consolidated obligations | 109 | % | 107 | % | ||||
March 31, 2010 | December 31, 2009 | |||||||
Percentage of unpledged qualifying assets to consolidated obligations | 116 | % | 109 | % | ||||
3641
September 30, 2009 | December 31, 2008 | March 31, 2010 | December 31, 2009 | |||||||||||||
Consolidated obligation bonds-amortized cost | $ | 68,849,386 | $ | 80,978,383 | $ | 71,779,834 | $ | 73,436,939 | ||||||||
Fair value basis adjustments | 817,374 | 1,254,523 | 619,530 | 572,537 | ||||||||||||
Fair value basis on terminated hedges | 3,108 | 7,857 | 3,226 | 2,761 | ||||||||||||
Fair value option valuation adjustments and accrued interest | 968 | 15,942 | 5,613 | (4,259 | ) | |||||||||||
Total Consolidated obligation-bonds | $ | 69,670,836 | $ | 82,256,705 | $ | 72,408,203 | $ | 74,007,978 | ||||||||
Discount notes-amortized cost | $ | 38,385,244 | $ | 46,329,545 | $ | 19,815,956 | $ | 30,827,639 | ||||||||
Fair value basis adjustments | — | 361 | — | — | ||||||||||||
Total Consolidated obligation-discount notes | $ | 38,385,244 | $ | 46,329,906 | $ | 19,815,956 | $ | 30,827,639 | ||||||||
September 30, 2009 | December 31, 2008 | March 31, 2010 | December 31, 2009 | |||||||||||||||||||||||||||||||||||||||||||||
Weighted | Weighted | Weighted | Weighted | |||||||||||||||||||||||||||||||||||||||||||||
Average | Percentage | Average | Percentage | Average | Percentage | Average | Percentage | |||||||||||||||||||||||||||||||||||||||||
Maturity | Amount | Rate1 | of total | Amount | Rate1 | of total | Amount | Rate1 | of total | Amount | Rate1 | of total | ||||||||||||||||||||||||||||||||||||
One year or less | $ | 35,806,100 | 1.36 | % | 52.06 | % | $ | 49,568,550 | 1.93 | % | 61.23 | % | $ | 36,813,050 | 1.28 | % | 51.34 | % | $ | 40,896,550 | 1.34 | % | 55.75 | % | ||||||||||||||||||||||||
Over one year through two years | 19,296,100 | 2.00 | 28.06 | 16,192,550 | 3.20 | 20.00 | 16,390,200 | 1.42 | 22.86 | 15,912,200 | 1.69 | 21.69 | ||||||||||||||||||||||||||||||||||||
Over two years through three years | 5,434,495 | 2.59 | 7.90 | 5,299,700 | 3.73 | 6.55 | 8,771,575 | 2.12 | 12.23 | 7,518,575 | 2.28 | 10.25 | ||||||||||||||||||||||||||||||||||||
Over three years through four years | 2,956,730 | 4.05 | 4.30 | 2,469,575 | 4.75 | 3.05 | 4,409,550 | 3.36 | 6.15 | 3,961,250 | 3.49 | 5.40 | ||||||||||||||||||||||||||||||||||||
Over four years through five years | 1,943,800 | 4.13 | 2.82 | 3,352,450 | 3.99 | 4.14 | 2,441,000 | 4.00 | 3.40 | 2,130,300 | 4.27 | 2.90 | ||||||||||||||||||||||||||||||||||||
Over five years through six years | 1,224,850 | 4.94 | 1.78 | 989,300 | 5.06 | 1.22 | 608,350 | 4.91 | 0.85 | 644,350 | 5.15 | 0.88 | ||||||||||||||||||||||||||||||||||||
Thereafter | 2,110,200 | 5.30 | 3.08 | 3,082,050 | 5.35 | 3.81 | 2,269,700 | 5.07 | 3.17 | 2,294,700 | 5.06 | 3.13 | ||||||||||||||||||||||||||||||||||||
Total par value | 68,772,275 | 2.01 | % | 100.00 | % | 80,954,175 | 2.64 | % | 100.00 | % | 71,703,425 | 1.79 | % | 100.00 | % | 73,357,925 | 1.87 | % | 100.00 | % | ||||||||||||||||||||||||||||
Bond premiums | 112,091 | 63,737 | 108,123 | 112,866 | ||||||||||||||||||||||||||||||||||||||||||||
Bond discounts | (34,980 | ) | (39,529 | ) | (31,714 | ) | (33,852 | ) | ||||||||||||||||||||||||||||||||||||||||
Fair value basis adjustments | 817,374 | 1,254,523 | 619,530 | 572,537 | ||||||||||||||||||||||||||||||||||||||||||||
Fair value basis adjustments on terminated hedges | 3,108 | 7,857 | 3,226 | 2,761 | ||||||||||||||||||||||||||||||||||||||||||||
Fair value option valuation adjustments and accrued interest | 968 | 15,942 | 5,613 | (4,259 | ) | |||||||||||||||||||||||||||||||||||||||||||
Total bonds | $ | 69,670,836 | $ | 82,256,705 | $ | 72,408,203 | $ | 74,007,978 | ||||||||||||||||||||||||||||||||||||||||
1 | Weighted average rate represents the weighted average coupons of bonds, unadjusted for swaps. The weighted average coupon of bonds outstanding at |
3742
September 30, 2009 | December 31, 2008 | March 31, 2010 | December 31, 2009 | |||||||||||||||||||||||||||||
Percentage of | Percentage of | Percentage of | Percentage of | |||||||||||||||||||||||||||||
Amount | total | Amount | total | Amount | total | Amount | total | |||||||||||||||||||||||||
Year of Maturity or next call date | ||||||||||||||||||||||||||||||||
Due or callable in one year or less | $ | 41,328,100 | 60.09 | % | $ | 53,034,550 | 65.51 | % | $ | 46,928,850 | 65.45 | % | $ | 50,481,350 | 68.82 | % | ||||||||||||||||
Due or callable after one year through two years | 16,921,400 | 24.61 | 15,472,350 | 19.11 | 11,914,200 | 16.62 | 11,352,200 | 15.48 | ||||||||||||||||||||||||
Due or callable after two years through three years | 3,389,495 | 4.93 | 4,843,700 | 5.98 | 5,041,575 | 7.03 | 4,073,575 | 5.55 | ||||||||||||||||||||||||
Due or callable after three years through four years | 2,696,730 | 3.92 | 1,445,575 | 1.79 | 3,709,550 | 5.17 | 3,606,250 | 4.91 | ||||||||||||||||||||||||
Due or callable after four years through five years | 1,326,800 | 1.93 | 2,954,450 | 3.65 | 1,596,500 | 2.23 | 1,325,800 | 1.81 | ||||||||||||||||||||||||
Due or callable after five years through six years | 1,114,850 | 1.62 | 684,800 | 0.85 | 523,050 | 0.73 | 529,050 | 0.72 | ||||||||||||||||||||||||
Thereafter | 1,994,900 | 2.90 | 2,518,750 | 3.11 | 1,989,700 | 2.77 | 1,989,700 | 2.71 | ||||||||||||||||||||||||
Total par value | 68,772,275 | 100.00 | % | 80,954,175 | 100.00 | % | 71,703,425 | 100.00 | % | 73,357,925 | 100.00 | % | ||||||||||||||||||||
Bond premiums | 112,091 | 63,737 | 108,123 | 112,866 | ||||||||||||||||||||||||||||
Bond discounts | (34,980 | ) | (39,529 | ) | (31,714 | ) | (33,852 | ) | ||||||||||||||||||||||||
Fair value basis adjustments | 817,374 | 1,254,523 | 619,530 | 572,537 | ||||||||||||||||||||||||||||
Fair value basis adjustments on terminated hedges | 3,108 | 7,857 | 3,226 | 2,761 | ||||||||||||||||||||||||||||
Fair value option valuation adjustments and accrued interest | 968 | 15,942 | 5,613 | (4,259 | ) | |||||||||||||||||||||||||||
Total bonds | $ | 69,670,836 | $ | 82,256,705 | $ | 72,408,203 | $ | 74,007,978 | ||||||||||||||||||||||||
43
September 30, 2009 | December 31, 2008 | March 31, 2010 | December 31, 2009 | |||||||||||||
Par value | $ | 38,406,688 | $ | 46,431,347 | $ | 19,821,867 | $ | 30,838,104 | ||||||||
Amortized cost | $ | 38,385,244 | $ | 46,329,545 | $ | 19,815,956 | $ | 30,827,639 | ||||||||
Fair value basis adjustments | — | 361 | — | — | ||||||||||||
Total | $ | 38,385,244 | $ | 46,329,906 | $ | 19,815,956 | $ | 30,827,639 | ||||||||
Weighted average interest rate | 0.26 | % | 1.00 | % | 0.15 | % | 0.15 | % | ||||||||
September 30, 2009 | December 31, 2008 | |||||||
Due in one year or less | $ | 15,600 | $ | 117,400 | ||||
Total term deposits | $ | 15,600 | $ | 117,400 | ||||
38
Three months ended September 30, | Nine months ended September 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Beginning balance | $ | 140,037 | $ | 124,170 | $ | 122,449 | $ | 119,052 | ||||||||
Additions from current period’s assessments | 15,780 | 4,638 | 53,363 | 24,764 | ||||||||||||
Net disbursements for grants and programs | (10,995 | ) | (6,433 | ) | (30,990 | ) | (21,441 | ) | ||||||||
Ending balance | $ | 144,822 | $ | 122,375 | $ | 144,822 | $ | 122,375 | ||||||||
39
44
On December 12, 2007 the Finance Board (predecessor to the Finance Agency) approved amendments to the FHLBNY’s ’s capital plan. The amendments allow the FHLBNY to recalculate the membership stock purchase requirement any time after 30 days subsequent to a merger. The amendments also permit the FHLBNY to use a zero mortgage asset base in performing the calculation, which recognizes the fact that the corporate entity that was once its member no longer exists. As a result of these amendments, the FHLBNY could determine that all of the membership stock formerly held by the member becomes excess stock, which would give the FHLBNY the discretion, but not the obligation, to repurchase that stock prior to the expiration of the five-year notice period. |
40
March 31, 2010 | December 31, 2009 | |||||||||||||||||||||||||||||||
September 30, 2009 | December 31, 2008 | Required4 | Actual | Required4 | Actual | |||||||||||||||||||||||||||
Required4 | Actual | Required4 | Actual | |||||||||||||||||||||||||||||
Regulatory capital requirements: | ||||||||||||||||||||||||||||||||
Risk-based capital1 | $ | 558,940 | $ | 5,936,273 | $ | 650,333 | $ | 6,111,676 | $ | 529,402 | $ | 5,604,337 | $ | 606,716 | $ | 5,874,125 | ||||||||||||||||
Total capital-to-asset ratio | 4.00 | % | 5.05 | % | 4.00 | % | 4.44 | % | 4.00 | % | 5.23 | % | 4.00 | % | 5.14 | % | ||||||||||||||||
Total capital2 | $ | 4,704,173 | $ | 5,939,631 | $ | 5,501,596 | $ | 6,113,082 | $ | 4,289,569 | $ | 5,609,517 | $ | 4,578,436 | $ | 5,878,623 | ||||||||||||||||
Leverage ratio | 5.00 | % | 7.57 | % | 5.00 | % | 6.67 | % | 5.00 | % | 7.84 | % | 5.00 | % | 7.70 | % | ||||||||||||||||
Leverage capital3 | $ | 5,880,216 | $ | 8,907,767 | $ | 6,876,995 | $ | 9,168,920 | $ | 5,361,961 | $ | 8,411,685 | $ | 5,723,045 | $ | 8,815,685 |
1 | Actual “Risk-based capital” is capital stock and retained earnings plus mandatorily redeemable capital stock. Section 932.2 of the Finance Agency’s regulations also refers to this amount as “Permanent Capital.” | |
2 | Required “ Total capital” is 4% of total assets. Actual “Total capital” is “Actual Risk-based capital” plus allowance for credit losses. Does not include reserves for the Lehman Brothers receivable which is a specific reserve. | |
3 | Actual Leverage capital is “Risk-based capital” times 1.5 plus allowance for loan losses. | |
4 | Required minimum. |
45
41
46
September 30, 2009 | December 31, 2008 | March 31, 2010 | December 31, 2009 | |||||||||||||
Redemption less than one year | $ | 82,076 | $ | 38,328 | $ | 81,360 | $ | 102,453 | ||||||||
Redemption from one year to less than three years | 38,724 | 83,159 | 16,762 | 16,766 | ||||||||||||
Redemption from three years to less than five years | 2,123 | 14,646 | 2,114 | 2,118 | ||||||||||||
Redemption after five years or greater | 4,959 | 6,988 | 4,956 | 4,957 | ||||||||||||
Total | $ | 127,882 | $ | 143,121 | $ | 105,192 | $ | 126,294 | ||||||||
Three months ended March 31, | ||||||||
2010 | 2009 | |||||||
Beginning balance | $ | 144,489 | $ | 122,449 | ||||
Additions from current period’s assessments | 6,126 | 16,557 | ||||||
Net disbursements for grants and programs | (4,955 | ) | (10,638 | ) | ||||
Ending balance | $ | 145,660 | $ | 128,368 | ||||
4247
Three months ended September 30, 2009 | ||||||||||||||||||||||||||||||||
Accretion of | ||||||||||||||||||||||||||||||||
non-credit portion | Accumulated | |||||||||||||||||||||||||||||||
Available- | Non-credit | of impairment | Cash | Supplemental | Other | Total | ||||||||||||||||||||||||||
for-sale | OTTI on HTM | losses on | flow | Retirement | Comprehensive | Net | Comprehensive | |||||||||||||||||||||||||
securities | securities | HTM securities | hedges | Plans | Income (Loss) | Income | Income | |||||||||||||||||||||||||
June 30, 2008 | $ | (29,612 | ) | $ | — | $ | — | $ | (33,698 | ) | $ | (5,087 | ) | $ | (68,397 | ) | ||||||||||||||||
Net change | (14,713 | ) | — | — | 1,728 | — | (12,985 | ) | $ | 39,790 | $ | 26,805 | ||||||||||||||||||||
September 30, 2008 | $ | (44,325 | ) | $ | — | $ | — | $ | (31,970 | ) | $ | (5,087 | ) | $ | (81,382 | ) | ||||||||||||||||
June 30, 2009 | $ | (10,129 | ) | $ | (77,398 | ) | $ | 239 | $ | (26,402 | ) | $ | (6,550 | ) | $ | (120,240 | ) | |||||||||||||||
Net change | (5,956 | ) | (26,486 | ) | 3,182 | 1,898 | — | (27,362 | ) | $ | 140,219 | $ | 112,857 | |||||||||||||||||||
September 30, 2009 | $ | (16,085 | ) | $ | (103,884 | ) | $ | 3,421 | $ | (24,504 | ) | $ | (6,550 | ) | $ | (147,602 | ) | |||||||||||||||
Non-credit | Accumulated | |||||||||||||||||||||||||||
Available- | OTTI on HTM | Cash | Supplemental | Other | Total | |||||||||||||||||||||||
for-sale | securities, | flow | Retirement | Comprehensive | Net | Comprehensive | ||||||||||||||||||||||
securities | net of accretion | hedges | Plans | Income (Loss) | Income | Income | ||||||||||||||||||||||
Balance, December 31, 2008 | $ | (64,420 | ) | $ | — | $ | (30,191 | ) | $ | (6,550 | ) | $ | (101,161 | ) | ||||||||||||||
Net change | 30,426 | (9,938 | ) | 1,879 | — | 22,367 | $ | 148,139 | $ | 170,506 | ||||||||||||||||||
Balance, March 31, 2009 | $ | (33,994 | ) | $ | (9,938 | ) | $ | (28,312 | ) | $ | (6,550 | ) | $ | (78,794 | ) | |||||||||||||
Balance, December 31, 2009 | $ | (3,409 | ) | $ | (110,570 | ) | $ | (22,683 | ) | $ | (7,877 | ) | $ | (144,539 | ) | |||||||||||||
Net change | 14,930 | 3,958 | 2,132 | — | 21,020 | $ | 53,640 | $ | 74,660 | |||||||||||||||||||
Balance, March 31, 2010 | $ | 11,521 | $ | (106,612 | ) | $ | (20,551 | ) | $ | (7,877 | ) | $ | (123,519 | ) | ||||||||||||||
Nine months ended September 30, 2009 | ||||||||||||||||||||||||||||||||
Accretion of | ||||||||||||||||||||||||||||||||
non-credit portion | Accumulated | |||||||||||||||||||||||||||||||
Available- | Non-credit | of impairment | Cash | Supplemental | Other | Total | ||||||||||||||||||||||||||
for-sale | OTTI on HTM | losses on | flow | Retirement | Comprehensive | Net | Comprehensive | |||||||||||||||||||||||||
securities | securities | HTM securities | hedges | Plans | Income (Loss) | Income | Income | |||||||||||||||||||||||||
December 31, 2007 | $ | (373 | ) | $ | — | $ | — | $ | (30,215 | ) | $ | (5,087 | ) | $ | (35,675 | ) | ||||||||||||||||
Net change | (43,952 | ) | — | — | (1,755 | ) | — | (45,707 | ) | $ | 213,996 | $ | 168,289 | |||||||||||||||||||
September 30, 2008 | $ | (44,325 | ) | $ | — | $ | — | $ | (31,970 | ) | $ | (5,087 | ) | $ | (81,382 | ) | ||||||||||||||||
December 31, 2008 | $ | (64,420 | ) | $ | — | $ | — | $ | (30,191 | ) | $ | (6,550 | ) | $ | (101,161 | ) | ||||||||||||||||
Net change | 48,335 | (103,884 | ) | 3,421 | 5,687 | — | (46,441 | ) | $ | 474,786 | $ | 428,345 | ||||||||||||||||||||
September 30, 2009 | $ | (16,085 | ) | $ | (103,884 | ) | $ | 3,421 | $ | (24,504 | ) | $ | (6,550 | ) | $ | (147,602 | ) | |||||||||||||||
43
Three months ended September 30, | Nine months ended September 30, | Three months ended March 31, | ||||||||||||||||||||||
2009 | 2008 | 2009 | 2008 | 2010 | 2009 | |||||||||||||||||||
Net income | $ | 140,219 | $ | 39,790 | $ | 474,786 | $ | 213,996 | $ | 53,640 | $ | 148,139 | ||||||||||||
Net income available to stockholders | $ | 140,219 | $ | 39,790 | $ | 474,786 | $ | 213,996 | $ | 53,640 | $ | 148,139 | ||||||||||||
Weighted average shares of capital | 53,233 | 52,000 | 54,505 | 48,757 | 50,372 | 55,976 | ||||||||||||||||||
Less: Mandatorily redeemable capital stock | (1,280 | ) | (1,538 | ) | (1,351 | ) | (1,742 | ) | (1,084 | ) | (1,430 | ) | ||||||||||||
Average number of shares of capital used to calculate earnings per share | 51,953 | 50,462 | 53,154 | 47,015 | 49,288 | 54,546 | ||||||||||||||||||
Net earnings per share of capital | $ | 2.70 | $ | 0.79 | $ | 8.93 | $ | 4.55 | $ | 1.09 | $ | 2.72 | ||||||||||||
48
44
Three months ended September 30, | Nine months ended September 30, | Three months ended March 31, | ||||||||||||||||||||||
2009 | 2008 | 2009 | 2008 | 2010 | 2009 | |||||||||||||||||||
Defined Benefit Plan | $ | 1,441 | $ | 1,556 | $ | 4,324 | $ | 4,545 | $ | 1,312 | $ | 1,441 | ||||||||||||
Benefit Equalization Plan (defined benefit) | 515 | 469 | 1,544 | 1,408 | 570 | 515 | ||||||||||||||||||
Defined Contribution Plan and BEP Thrift | 582 | 162 | 1,366 | 650 | 235 | 242 | ||||||||||||||||||
Postretirement Health Benefit Plan | 251 | 250 | 753 | 749 | 281 | 251 | ||||||||||||||||||
Total retirement plan expenses | $ | 2,789 | $ | 2,437 | $ | 7,987 | $ | 7,352 | $ | 2,398 | $ | 2,449 | ||||||||||||
49
Three months ended September 30, | Nine months ended September 30, | Three months ended March 31, | ||||||||||||||||||||||
2009 | 2008 | 2009 | 2008 | 2010 | 2009 | |||||||||||||||||||
Service cost | $ | 153 | $ | 154 | $ | 458 | $ | 460 | $ | 163 | $ | 153 | ||||||||||||
Interest cost | 263 | 235 | 789 | 708 | 279 | 263 | ||||||||||||||||||
Amortization of unrecognized prior service cost | (36 | ) | (35 | ) | (108 | ) | (107 | ) | (17 | ) | (36 | ) | ||||||||||||
Amortization of unrecognized net loss | 135 | 115 | 405 | 347 | 145 | 135 | ||||||||||||||||||
Net periodic benefit cost | $ | 515 | $ | 469 | $ | 1,544 | $ | 1,408 | $ | 570 | $ | 515 | ||||||||||||
September 30, 2009 | December 31, 2008 | March 31, 2010 | December 31, 2009 | |||||||||||||
Discount rate * | 6.14 | % | 6.14 | % | 5.87 | % | 5.87 | % | ||||||||
Salary increases | 5.50 | % | 5.50 | % | 5.50 | % | 5.50 | % | ||||||||
Amortization period (years) | 8 | 8 | 8 | 8 | ||||||||||||
Benefits paid during the periods | $ | (544 | ) | $ | (392 | ) | ||||||||||
Benefits paid during the year | $ | (739 | )** | $ | (537 | ) |
* | The discount rate was based on the Citigroup Pension Liability Index at December 31, | |
** | Forecast for the year. |
45
Three months ended September 30, | Nine months ended September 30, | Three months ended March 31, | ||||||||||||||||||||||
2009 | 2008 | 2009 | 2008 | 2010 | 2009 | |||||||||||||||||||
Service cost (benefits attributed to service during the period) | $ | 139 | $ | 129 | $ | 417 | $ | 385 | $ | 157 | $ | 139 | ||||||||||||
Interest cost on accumulated postretirement health benefit obligation | 217 | 225 | 651 | 680 | 229 | 217 | ||||||||||||||||||
Amortization of loss | 78 | 78 | 234 | 232 | 78 | 78 | ||||||||||||||||||
Amortization of prior service cost/(credit) | (183 | ) | (182 | ) | (549 | ) | (548 | ) | (183 | ) | (183 | ) | ||||||||||||
Net periodic postretirement health benefit cost | $ | 251 | $ | 250 | $ | 753 | $ | 749 | $ | 281 | $ | 251 | ||||||||||||
50
September 30, 2009 | December 31, 2008 | March 31, 2010 | December 31, 2009 | |||||||||
Weighted average discount rate at the end of the year* | 6.14 | % | 6.14 | % | ||||||||
Weighted average discount rate at the end of the year | 5.87% | 5.87% | ||||||||||
Health care cost trend rates: | ||||||||||||
Assumed for next year | 7.00 | % | 7.00 | % | 10.00% | 10.00% | ||||||
Ultimate rate | 5.00 | % | 5.00 | % | ||||||||
Year that ultimate rate is reached | 2011 | 2011 | ||||||||||
Pre 65 Ultimate rate | 5.00% | 5.00% | ||||||||||
Pre 65 Year that ultimate rate is reached | 2016 | 2016 | ||||||||||
Post 65 Ultimate rate | 6.00% | 6.00% | ||||||||||
Post 65 Year that ultimate rate is reached | 2016 | 2016 | ||||||||||
Alternative amortization methods used to amortize | ||||||||||||
Prior service cost | Straight - line | Straight - line | Straight - line | Straight - line | ||||||||
Unrecognized net (gain) or loss | Straight - line | Straight - line | Straight - line | Straight - line |
46
51
47
52
48
53
4954
55
March 31, 2010 | ||||||||||||
Notional Amount of | Derivative | Derivative | ||||||||||
Derivatives | Assets | Liabilities | ||||||||||
Fair value of derivatives instruments | ||||||||||||
Derivatives designated in hedging relationships | ||||||||||||
Interest rate swaps-fair value hedges | $ | 96,121,663 | $ | 845,852 | $ | (4,039,004 | ) | |||||
Interest rate swaps-cash flow hedges | 150,000 | 324 | — | |||||||||
Total derivatives in hedging relationships | $ | 96,271,663 | $ | 846,176 | $ | (4,039,004 | ) | |||||
Derivatives not designated as hedging instruments | ||||||||||||
Interest rate swaps | $ | 28,103,821 | $ | 79,088 | $ | (1,597 | ) | |||||
Interest rate caps or floors | 2,170,000 | 46,276 | (6,122 | ) | ||||||||
Mortgage delivery commitments | 3,249 | 10 | (1 | ) | ||||||||
Other* | 330,000 | 1,920 | (1,565 | ) | ||||||||
Total derivatives not designated as hedging instruments | $ | 30,607,070 | $ | 127,294 | $ | (9,285 | ) | |||||
Total derivatives before netting and collateral adjustments | $ | 126,878,733 | $ | 973,470 | $ | (4,048,289 | ) | |||||
Netting adjustments | $ | (964,224 | ) | $ | 964,224 | |||||||
Cash collateral and related accrued interest | — | 2,233,154 | ||||||||||
Total collateral and netting adjustments | $ | (964,224 | ) | $ | 3,197,378 | |||||||
Total reported on the Statements of Condition | $ | 9,246 | $ | (850,911 | ) | |||||||
* | Other: Comprised of swaps intermediated for members. |
December 31, 2009 | ||||||||||||
Notional Amount of | Derivative | Derivative | ||||||||||
Derivatives | Assets | Liabilities | ||||||||||
Fair value of derivatives instruments | ||||||||||||
Derivatives designated in hedging relationships | ||||||||||||
Interest rate swaps-fair value hedges | $ | 98,776,447 | $ | 854,699 | $ | (3,974,207 | ) | |||||
Interest rate swaps-cash flow hedges | — | — | — | |||||||||
Total derivatives in hedging relationships | $ | 98,776,447 | $ | 854,699 | $ | (3,974,207 | ) | |||||
Derivatives not designated as hedging instruments | ||||||||||||
Interest rate swaps | $ | 33,144,963 | $ | 147,239 | $ | (73,450 | ) | |||||
Interest rate caps or floors | 2,282,000 | 77,999 | (7,525 | ) | ||||||||
Mortgage delivery commitments | 4,210 | — | (39 | ) | ||||||||
Other* | 320,000 | 1,316 | (956 | ) | ||||||||
Total derivatives not designated as hedging instruments | $ | 35,751,173 | $ | 226,554 | $ | (81,970 | ) | |||||
Total derivatives before netting and collateral adjustments | $ | 134,527,620 | $ | 1,081,253 | $ | (4,056,177 | ) | |||||
Netting adjustments | $ | (1,072,973 | ) | $ | 1,072,973 | |||||||
Cash collateral and related accrued interest | — | 2,237,028 | ||||||||||
Total collateral and netting adjustments | $ | (1,072,973 | ) | $ | 3,310,001 | |||||||
Total reported on the Statements of Condition | $ | 8,280 | $ | (746,176 | ) | |||||||
* | Other: Comprised of swaps intermediated for members. |
56
57
Three months ended March 31, | ||||||||
2010 | 2009 | |||||||
Gain (Loss) | Gain (Loss) | |||||||
Derivatives designated as hedging instruments | ||||||||
Interest rate swaps | ||||||||
Advances | $ | 619 | $ | (10,611 | ) | |||
Consolidated obligations-bonds | 4,004 | 12,882 | ||||||
Net gain related to fair value hedge ineffectiveness | 4,623 | 2,271 | ||||||
Derivatives not designated as hedging instruments | ||||||||
Economic hedges | ||||||||
Interest rate swaps | ||||||||
Advances | (840 | ) | 4,340 | |||||
Consolidated obligations-bonds | (13,309 | ) | 31,482 | |||||
Consolidated obligations-discount notes | (2,332 | ) | (603 | ) | ||||
Member intermediation | (3 | ) | (153 | ) | ||||
Balance sheet-macro hedges swaps | 173 | 2,233 | ||||||
Accrued interest-swaps | 29,469 | (46,222 | ) | |||||
Accrued interest-intermediation | 23 | 25 | ||||||
Caps and floors | ||||||||
Advances | (289 | ) | (429 | ) | ||||
Balance sheet | (30,427 | ) | 1,650 | |||||
Accrued interest-options | (1,989 | ) | (692 | ) | ||||
Mortgage delivery commitments | 149 | 59 | ||||||
Swaps matching instruments designated under FVO | ||||||||
Consolidated obligations-bonds | 6,638 | (7,684 | ) | |||||
Accrued interest on FVO swaps | 7,751 | 57 | ||||||
Net (loss) related to derivatives not designated as hedging instruments | (4,986 | ) | (15,937 | ) | ||||
Net realized and unrealized (loss) on derivatives and hedging activities | $ | (363 | ) | $ | (13,666 | ) | ||
58
March 31, 2010 | ||||||||||||||||
Effect of | ||||||||||||||||
Derivatives on | ||||||||||||||||
Gain (Loss) on | Gain (Loss) on | Earnings | Net Interest | |||||||||||||
Derivative | Hedged Item | Impact | Income1 | |||||||||||||
Derivatives designated as hedging instruments | ||||||||||||||||
Interest rate swaps | ||||||||||||||||
Advances | $ | (152,087 | ) | $ | 152,706 | $ | 619 | $ | (530,377 | ) | ||||||
Consolidated obligations-bonds | 52,236 | (48,232 | ) | 4,004 | 172,777 | |||||||||||
Consolidated obligations-notes | — | — | — | — | ||||||||||||
Fair value hedges — Net impact | (99,851 | ) | 104,474 | 4,623 | (357,600 | ) | ||||||||||
Derivatives not designated as hedging instruments | ||||||||||||||||
Interest rate swaps | ||||||||||||||||
Advances | (840 | ) | — | (840 | ) | — | ||||||||||
Consolidated obligations-bonds | (13,309 | ) | — | (13,309 | ) | — | ||||||||||
Consolidated obligations-notes | (2,332 | ) | — | (2,332 | ) | — | ||||||||||
Member intermediation | (3 | ) | — | (3 | ) | — | ||||||||||
Balance sheet-macro hedges swaps | 173 | — | 173 | — | ||||||||||||
Accrued interest-swaps | 29,469 | — | 29,469 | — | ||||||||||||
Accrued interest-intermediation | 23 | — | 23 | — | ||||||||||||
Caps and floors | ||||||||||||||||
Advances | (289 | ) | — | (289 | ) | — | ||||||||||
Balance sheet | (30,427 | ) | — | (30,427 | ) | — | ||||||||||
Accrued interest-options | (1,989 | ) | — | (1,989 | ) | — | ||||||||||
Mortgage delivery commitments | 149 | — | 149 | — | ||||||||||||
Swaps matching instruments designated under FVO | ||||||||||||||||
Consolidated obligations-bonds | 6,638 | — | 6,638 | — | ||||||||||||
Accrued interest on FVO swaps | 7,751 | — | 7,751 | — | ||||||||||||
Total | $ | (104,837 | ) | $ | 104,474 | $ | (363 | ) | $ | (357,600 | ) | |||||
1 | Represents interest expense and income generated from hedge qualifying interest-rate swaps that were recorded with interest income and expense of the hedged bonds, discount notes, and advances. |
59
March 31, 2009 | ||||||||||||||||
Effect of | ||||||||||||||||
Derivatives on | ||||||||||||||||
Gain (Loss) on | Gain (Loss) on | Earnings | Net Interest | |||||||||||||
Derivative | Hedged Item | Impact | Income1 | |||||||||||||
Derivatives designated as hedging instruments | ||||||||||||||||
Interest rate swaps | ||||||||||||||||
Advances | $ | 683,558 | $ | (694,169 | ) | $ | (10,611 | ) | $ | (332,035 | ) | |||||
Consolidated obligations-bonds | (164,195 | ) | 177,077 | 12,882 | 104,079 | |||||||||||
Consolidated obligations-notes | — | — | — | 443 | ||||||||||||
Fair value hedges — Net impact | 519,363 | (517,092 | ) | 2,271 | (227,513 | ) | ||||||||||
Derivatives not designated as hedging instruments | ||||||||||||||||
Interest rate swaps | ||||||||||||||||
Advances | 4,340 | — | 4,340 | — | ||||||||||||
Consolidated obligations-bonds | 31,482 | — | 31,482 | — | ||||||||||||
Consolidated obligations-notes | (603 | ) | — | (603 | ) | — | ||||||||||
Member intermediation | (153 | ) | — | (153 | ) | — | ||||||||||
Balance sheet-macro hedges swaps | 2,233 | — | 2,233 | — | ||||||||||||
Accrued interest-swaps | (46,222 | ) | — | (46,222 | ) | — | ||||||||||
Accrued interest-intermediation | 25 | — | 25 | — | ||||||||||||
Caps and floors | ||||||||||||||||
Advances | (429 | ) | — | (429 | ) | — | ||||||||||
Balance sheet | 1,650 | — | 1,650 | — | ||||||||||||
Accrued interest-options | (692 | ) | — | (692 | ) | — | ||||||||||
Mortgage delivery commitments | 59 | — | 59 | — | ||||||||||||
Swaps matching instruments designated under FVO | ||||||||||||||||
Consolidated obligations-bonds | (7,684 | ) | — | (7,684 | ) | — | ||||||||||
Accrued interest on FVO swaps | 57 | — | 57 | — | ||||||||||||
Total | $ | 503,426 | $ | (517,092 | ) | $ | (13,666 | ) | $ | (227,513 | ) | |||||
1 | Represents interest expense and income generated from hedge qualifying interest-rate swaps that were recorded with interest income and expense of the hedged bonds, discount notes, and advances. |
60
50
September 30, 2009 | ||||||||||||
Notional Amount of | Derivative | Derivative | ||||||||||
Derivatives | Assets | Liabilities | ||||||||||
Fair value of derivatives instruments | ||||||||||||
Derivatives in fair value hedging relationships | ||||||||||||
Interest rate swaps | $ | 97,418,662 | $ | 1,077,145 | $ | (4,655,105 | ) | |||||
Total derivatives in hedging relationships | $ | 97,418,662 | $ | 1,077,145 | $ | (4,655,105 | ) | |||||
Derivatives not designated as hedging instruments | ||||||||||||
Interest rate swaps | $ | 32,341,126 | $ | 199,206 | $ | (79,515 | ) | |||||
Interest rate caps or floors | 2,282,000 | 66,637 | (8,787 | ) | ||||||||
Mortgage delivery commitments | 11,843 | 35 | — | |||||||||
Other* | 2,665,000 | 4,123 | (652 | ) | ||||||||
Total derivatives not designated as hedging instruments | $ | 37,299,969 | $ | 270,001 | $ | (88,954 | ) | |||||
Total derivatives before netting and collateral adjustments | $ | 134,718,631 | $ | 1,347,146 | $ | (4,744,059 | ) | |||||
Netting adjustments | $ | (1,338,054 | ) | $ | 1,338,054 | |||||||
Cash collateral and related accrued interest | — | 2,534,261 | ||||||||||
Total collateral and netting adjustments | $ | (1,338,054 | ) | $ | 3,872,315 | |||||||
Total reported on the Statements of Condition | $ | 9,092 | $ | (871,744 | ) | |||||||
51
December 31, 2008 | ||||||||||||
Notional Amount of | Derivative | Derivative | ||||||||||
Derivatives | Assets | Liabilities | ||||||||||
Fair value of derivatives instruments | ||||||||||||
Derivatives in fair value hedging relationships | ||||||||||||
Interest rate swaps | $ | 84,582,796 | $ | 1,640,507 | $ | (6,117,173 | ) | |||||
Total derivatives in hedging relationships | $ | 84,582,796 | $ | 1,640,507 | $ | (6,117,173 | ) | |||||
Derivatives not designated as hedging instruments | ||||||||||||
Interest rate swaps | $ | 39,691,142 | $ | 207,243 | $ | (361,836 | ) | |||||
Interest rate caps or floors | 2,357,000 | 16,318 | (8,360 | ) | ||||||||
Mortgage delivery commitments | 10,395 | 2 | (110 | ) | ||||||||
Other* | 1,283,000 | 25,558 | (18,734 | ) | ||||||||
Total derivatives not designated as hedging instruments | $ | 43,341,537 | $ | 249,121 | $ | (389,040 | ) | |||||
Total derivatives before netting and collateral adjustments | $ | 127,924,333 | $ | 1,889,628 | $ | (6,506,213 | ) | |||||
Netting adjustments | $ | (1,808,183 | ) | $ | 1,808,183 | |||||||
Cash collateral and related accrued interest | (61,209 | ) | 3,836,370 | |||||||||
Total collateral and netting adjustments | $ | (1,869,392 | ) | $ | 5,644,553 | |||||||
Total reported on the Statements of Condition | $ | 20,236 | $ | (861,660 | ) | |||||||
52
Three months ended | Nine months ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Gain (Loss) | Gain (Loss) | Gain (Loss) | Gain (Loss) | |||||||||||||
Derivatives designated as hedging instruments | ||||||||||||||||
Interest rate swaps | ||||||||||||||||
Advances | $ | 182 | $ | 5,259 | $ | (5,107 | ) | $ | 3,621 | |||||||
Consolidated obligations-bonds | 167 | 6,604 | 18,187 | 2,619 | ||||||||||||
Net gain (loss) related to fair value hedge ineffectiveness | $ | 349 | $ | 11,863 | $ | 13,080 | $ | 6,240 | ||||||||
Net gain (loss) related to cash flow hedge ineffectiveness | $ | — | $ | — | $ | — | $ | (9 | ) | |||||||
Derivatives not designated as hedging instruments | ||||||||||||||||
Economic hedges | ||||||||||||||||
Interest rate swaps | ||||||||||||||||
Advances | $ | (1,475 | ) | $ | (44 | ) | $ | 3,887 | $ | 1,066 | ||||||
Consolidated obligations-bonds | 28,420 | (23,375 | ) | 101,662 | (41,517 | ) | ||||||||||
Consolidated obligations-discount notes | (5,711 | ) | (2,829 | ) | 409 | (5,723 | ) | |||||||||
Member intermediation | (16 | ) | 68 | (189 | ) | 66 | ||||||||||
Balance sheet — Macro hedges swaps | 210 | 19,983 | 2,617 | 19,983 | ||||||||||||
Accrued interest-swaps | 18,362 | (20,745 | ) | (37,772 | ) | (36,915 | ) | |||||||||
Accrued interest-intermediation | 20 | 2 | 64 | 5 | ||||||||||||
Caps and floors | ||||||||||||||||
Advances | (305 | ) | (578 | ) | (1,056 | ) | (1,531 | ) | ||||||||
Balance sheet | 19,196 | (7,626 | ) | 50,613 | (4,621 | ) | ||||||||||
Accrued interest-options | (1,786 | ) | (19 | ) | (3,731 | ) | 99 | |||||||||
Mortgage delivery commitments | 47 | 141 | (49 | ) | 17 | |||||||||||
Swaps under fair value option | ||||||||||||||||
Consolidated obligations-bonds | 1,549 | (2,356 | ) | (5,825 | ) | (2,356 | ) | |||||||||
Accrued interest on FVO swaps | 779 | — | 903 | — | ||||||||||||
Net gain (loss) related to derivatives not designated as hedging instruments | $ | 59,290 | $ | (37,378 | ) | $ | 111,533 | $ | (71,427 | ) | ||||||
Net gain (loss) on derivatives and hedging activities | $ | 59,639 | $ | (25,515 | ) | $ | 124,613 | $ | (65,196 | ) | ||||||
53
Three months ended September 30, | ||||||||||||||||||||||||||||||||
2009 | 2008 | |||||||||||||||||||||||||||||||
Effect of | Effect of | |||||||||||||||||||||||||||||||
Derivatives on | Derivatives on | |||||||||||||||||||||||||||||||
Gain (Loss) on | Gain (Loss) on | Earnings | Net Interest | Gain (Loss) on | Gain (Loss) on | Earnings | Net Interest | |||||||||||||||||||||||||
Derivative | Hedged Item | Impact | Income | Derivative | Hedged Item | Impact | Income | |||||||||||||||||||||||||
Derivatives designated as hedging instruments | ||||||||||||||||||||||||||||||||
Interest rate swaps | ||||||||||||||||||||||||||||||||
Advances | $ | (582,983 | ) | $ | 583,165 | $ | 182 | $ | (503,185 | ) | $ | (335,331 | ) | $ | 340,590 | $ | 5,259 | $ | (171,690 | ) | ||||||||||||
Consolidated obligations-bonds | 98,668 | (98,501 | ) | 167 | 151,467 | 10,563 | (3,959 | ) | 6,604 | 118,620 | ||||||||||||||||||||||
Consolidated obligations-notes | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Fair value hedges ineffectiveness | $ | (484,315 | ) | $ | 484,664 | $ | 349 | $ | (351,718 | ) | $ | (324,768 | ) | $ | 336,631 | $ | 11,863 | $ | (53,070 | ) | ||||||||||||
Cash flow hedges ineffectiveness | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||
Derivatives not designated as hedging instruments | ||||||||||||||||||||||||||||||||
Interest rate swaps | ||||||||||||||||||||||||||||||||
Advances | $ | (1,475 | ) | $ | — | $ | (1,475 | ) | $ | — | $ | (44 | ) | $ | — | $ | (44 | ) | $ | — | ||||||||||||
Consolidated obligations-bonds | 28,420 | — | 28,420 | — | (23,375 | ) | — | (23,375 | ) | — | ||||||||||||||||||||||
Consolidated obligations-notes | (5,711 | ) | — | (5,711 | ) | — | (2,829 | ) | — | (2,829 | ) | — | ||||||||||||||||||||
Member intermediation | (16 | ) | — | (16 | ) | — | 68 | — | 68 | — | ||||||||||||||||||||||
Balance sheet — Macro hedges swaps | 210 | — | 210 | — | 19,983 | — | 19,983 | — | ||||||||||||||||||||||||
Accrued interest-swaps | 18,362 | — | 18,362 | — | (20,745 | ) | — | (20,745 | ) | — | ||||||||||||||||||||||
Accrued interest-intermediation | 20 | — | 20 | — | 2 | — | 2 | — | ||||||||||||||||||||||||
Caps and floors | ||||||||||||||||||||||||||||||||
Advances | (305 | ) | — | (305 | ) | — | (578 | ) | — | (578 | ) | — | ||||||||||||||||||||
Balance sheet | 19,196 | — | 19,196 | — | (7,626 | ) | — | (7,626 | ) | — | ||||||||||||||||||||||
Accrued interest-options | (1,786 | ) | — | (1,786 | ) | — | (19 | ) | — | (19 | ) | — | ||||||||||||||||||||
Mortgage delivery commitments | 47 | — | 47 | — | 141 | — | 141 | — | ||||||||||||||||||||||||
Total | $ | (427,353 | ) | $ | 484,664 | $ | 57,311 | $ | (351,718 | ) | $ | (359,790 | ) | $ | 336,631 | $ | (23,159 | ) | $ | (53,070 | ) | |||||||||||
54
Nine months ended September 30, | ||||||||||||||||||||||||||||||||
2009 | 2008 | |||||||||||||||||||||||||||||||
Effect of | Effect of | |||||||||||||||||||||||||||||||
Derivatives on | Derivatives on | |||||||||||||||||||||||||||||||
Gain (Loss) on | Gain (Loss) on | Earnings | Net Interest | Gain (Loss) on | Gain (Loss) on | Earnings | Net Interest | |||||||||||||||||||||||||
Derivative | Hedged Item | Impact | Income | Derivative | Hedged Item | Impact | Income | |||||||||||||||||||||||||
Derivatives designated as hedging instruments | ||||||||||||||||||||||||||||||||
Interest rate swaps | ||||||||||||||||||||||||||||||||
Advances | $ | 1,419,019 | $ | (1,424,126 | ) | $ | (5,107 | ) | $ | (1,252,775 | ) | $ | (337,111 | ) | $ | 340,732 | $ | 3,621 | $ | (341,522 | ) | |||||||||||
Consolidated obligations-bonds | (418,734 | ) | 436,921 | 18,187 | 384,150 | (44,921 | ) | 47,540 | 2,619 | 288,228 | ||||||||||||||||||||||
Consolidated obligations-notes | — | — | — | 474 | — | — | — | — | ||||||||||||||||||||||||
Fair value hedges ineffectiveness | $ | 1,000,285 | $ | (987,205 | ) | $ | 13,080 | $ | (868,151 | ) | $ | (382,032 | ) | $ | 388,272 | $ | 6,240 | $ | (53,294 | ) | ||||||||||||
Cash Flow hedges ineffectiveness | $ | — | $ | — | $ | — | $ | — | $ | (9 | ) | $ | — | $ | (9 | ) | $ | — | ||||||||||||||
Derivatives not designated as hedging instruments | ||||||||||||||||||||||||||||||||
Interest rate swaps | ||||||||||||||||||||||||||||||||
Advances | $ | 3,887 | $ | — | $ | 3,887 | $ | — | $ | 1,066 | $ | — | $ | 1,066 | $ | — | ||||||||||||||||
Consolidated obligations-bonds | 101,662 | — | 101,662 | — | (41,517 | ) | — | (41,517 | ) | — | ||||||||||||||||||||||
Consolidated obligations-notes | 409 | — | 409 | — | (5,723 | ) | — | (5,723 | ) | — | ||||||||||||||||||||||
Member intermediation | (189 | ) | — | (189 | ) | — | 66 | — | 66 | — | ||||||||||||||||||||||
Balance sheet — Macro hedges swaps | 2,617 | — | 2,617 | — | 19,983 | — | 19,983 | — | ||||||||||||||||||||||||
Accrued interest-swaps | (37,772 | ) | — | (37,772 | ) | — | (36,915 | ) | — | (36,915 | ) | — | ||||||||||||||||||||
Accrued interest-intermediation | 64 | — | 64 | — | 5 | — | 5 | — | ||||||||||||||||||||||||
Caps and floors | ||||||||||||||||||||||||||||||||
Advances | (1,056 | ) | — | (1,056 | ) | — | (1,531 | ) | — | (1,531 | ) | — | ||||||||||||||||||||
Balance sheet | 50,613 | — | 50,613 | — | (4,621 | ) | — | (4,621 | ) | — | ||||||||||||||||||||||
Accrued interest-options | (3,731 | ) | — | (3,731 | ) | — | 99 | — | 99 | — | ||||||||||||||||||||||
Mortgage delivery commitments | (49 | ) | — | (49 | ) | — | 17 | — | 17 | — | ||||||||||||||||||||||
Total | $ | 1,116,740 | $ | (987,205 | ) | $ | 129,535 | $ | (868,151 | ) | $ | (451,112 | ) | $ | 388,272 | $ | (62,840 | ) | $ | (53,294 | ) | |||||||||||
55
Three months ended September 30, | ||||||||||||||||||||||||||||||||||||||||||||||||
2009 | 2008 | March 31, 2010 | ||||||||||||||||||||||||||||||||||||||||||||||
OCI | OCI | OCI | ||||||||||||||||||||||||||||||||||||||||||||||
Gains/(Losses) | Gains/(Losses) | Gains/(Losses) | ||||||||||||||||||||||||||||||||||||||||||||||
Location: | Amount | Ineffectiveness | Location: | Amount | Ineffectiveness | Location: | Amount | Ineffectiveness | ||||||||||||||||||||||||||||||||||||||||
Recognized in | Reclassified to | Reclassified to | Recognized in | Recognized in | Reclassified to | Reclassified to | Recognized in | Recognized | Reclassified to | Reclassified to | Recognized in | |||||||||||||||||||||||||||||||||||||
OCI1 | Earnings1 | Earnings1 | Earnings | OCI1, 2 | Earnings1 | Earnings1 | Earnings | in OCI 1, 2 | Earnings1 | Earnings1 | Earnings | |||||||||||||||||||||||||||||||||||||
The effect of cash flow hedge related to Interest rate swaps | ||||||||||||||||||||||||||||||||||||||||||||||||
Advances | $ | — | Interest Income | $ | — | $ | — | $ | — | Interest Income | $ | — | $ | — | $ | — | Interest Income | $ | — | $ | — | |||||||||||||||||||||||||||
Consolidated obligations-bonds | — | Interest Expense | 1,898 | 61 | Interest Expense | 1,667 | — | 392 | Interest Expense | 1,740 | — | |||||||||||||||||||||||||||||||||||||
Total | $ | — | $ | 1,898 | $ | — | $ | 61 | $ | 1,667 | $ | — | $ | 392 | $ | 1,740 | $ | — | ||||||||||||||||||||||||||||||
Nine months ended September 30, | ||||||||||||||||||||||||||||||||||||||||||||||||
2009 | 2008 | March 31, 2009 | ||||||||||||||||||||||||||||||||||||||||||||||
OCI | OCI | OCI | ||||||||||||||||||||||||||||||||||||||||||||||
Gains/(Losses) | Gains/(Losses) | Gains/(Losses) | ||||||||||||||||||||||||||||||||||||||||||||||
Location: | Amount | Ineffectiveness | Location: | Amount | Ineffectiveness | Location: | Amount | Ineffectiveness | ||||||||||||||||||||||||||||||||||||||||
Recognized in | Reclassified to | Reclassified to | Recognized in | Recognized in | Reclassified to | Reclassified to | Recognized in | Recognized | Reclassified to | Reclassified to | Recognized in | |||||||||||||||||||||||||||||||||||||
OCI1 | Earnings1 | Earnings1 | Earnings | OCI1, 2 | Earnings1 | Earnings | Earnings | in OCI 1, 2 | Earnings1 | Earnings1 | Earnings | |||||||||||||||||||||||||||||||||||||
The effect of cash flow hedge related to Interest rate swaps | ||||||||||||||||||||||||||||||||||||||||||||||||
Advances | $ | — | Interest Income | $ | — | $ | — | $ | — | Interest Income | $ | — | $ | — | $ | — | Interest Income | $ | — | $ | — | |||||||||||||||||||||||||||
Consolidated obligations-bonds | — | Interest Expense | 5,687 | — | (6,109 | ) | Interest Expense | 4,345 | 9 | — | Interest Expense | 1,879 | — | |||||||||||||||||||||||||||||||||||
Total | $ | — | $ | 5,687 | $ | — | $ | (6,109 | ) | $ | 4,345 | $ | 9 | $ | — | $ | 1,879 | $ | — | |||||||||||||||||||||||||||||
1 | Effective portion | |
2 | Represents effective portion of basis adjustments to |
5661
September 30, 2009 | March 31, 2010 | |||||||||||||||||||||||||||||||||||||||
�� | Netting | Netting | ||||||||||||||||||||||||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | Adjustments | Total | Level 1 | Level 2 | Level 3 | Adjustments | |||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||||||
Available-for-sale securities | $ | 2,362,592 | $ | — | $ | 2,362,592 | $ | — | $ | — | ||||||||||||||||||||||||||||||
Derivative assets | 9,092 | 1,347,146 | (1,338,054 | ) | ||||||||||||||||||||||||||||||||||||
GSE issued MBS | $ | 2,641,921 | $ | — | $ | 2,641,921 | $ | — | $ | — | ||||||||||||||||||||||||||||||
Equity and bond funds | 12,893 | — | 12,893 | — | — | |||||||||||||||||||||||||||||||||||
Derivative assets(a) | ||||||||||||||||||||||||||||||||||||||||
Interest-rate derivatives | 9,236 | — | 973,460 | — | (964,224 | ) | ||||||||||||||||||||||||||||||||||
Mortgage delivery commitments | 10 | — | 10 | — | — | |||||||||||||||||||||||||||||||||||
Total assets at fair value | $ | 2,371,684 | $ | — | $ | 3,709,738 | $ | — | $ | (1,338,054 | ) | $ | 2,664,060 | $ | — | $ | 3,628,284 | $ | — | $ | (964,224 | ) | ||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||||||||||
Consolidated obligations: | ||||||||||||||||||||||||||||||||||||||||
Bonds | $ | (2,385,968 | ) | $ | — | $ | (2,385,968 | ) | $ | — | $ | — | ||||||||||||||||||||||||||||
Derivative liabilities | (871,744 | ) | — | (4,744,059 | ) | — | 3,872,315 | |||||||||||||||||||||||||||||||||
Consolidated obligations-bonds(b) | $ | (6,780,613 | ) | $ | — | $ | (6,780,613 | ) | $ | — | $ | — | ||||||||||||||||||||||||||||
Derivative liabilities(a) | ||||||||||||||||||||||||||||||||||||||||
Interest-rate derivatives | (850,910 | ) | — | (4,048,288 | ) | — | 3,197,378 | |||||||||||||||||||||||||||||||||
Mortgage delivery commitments | (1 | ) | — | (1 | ) | — | — | |||||||||||||||||||||||||||||||||
Total liabilities at fair value | $ | (3,257,712 | ) | $ | — | $ | (7,130,027 | ) | $ | — | $ | 3,872,315 | $ | (7,631,524 | ) | $ | — | $ | (10,828,902 | ) | $ | — | $ | 3,197,378 | ||||||||||||||||
December 31, 2008 | December 31, 2009 | |||||||||||||||||||||||||||||||||||||||
Netting | Netting | |||||||||||||||||||||||||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | Adjustments | Total | Level 1 | Level 2 | Level 3 | Adjustments | |||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||||||
Available-for-sale securities | $ | 2,861,869 | $ | — | $ | 2,861,869 | $ | — | $ | — | ||||||||||||||||||||||||||||||
Derivative assets | 20,236 | — | 1,386,859 | — | (1,366,623 | ) | ||||||||||||||||||||||||||||||||||
GSE issued MBS | $ | 2,240,564 | $ | — | $ | 2,240,564 | $ | — | $ | — | ||||||||||||||||||||||||||||||
Equity and bond funds | 12,589 | — | 12,589 | — | — | |||||||||||||||||||||||||||||||||||
Derivative assets(a) | ||||||||||||||||||||||||||||||||||||||||
Interest-rate derivatives | 8,280 | — | 1,081,253 | — | (1,072,973 | ) | ||||||||||||||||||||||||||||||||||
Mortgage delivery commitments | — | — | — | — | — | |||||||||||||||||||||||||||||||||||
Total assets at fair value | $ | 2,882,105 | $ | — | $ | 4,248,728 | $ | — | $ | (1,366,623 | ) | $ | 2,261,433 | $ | — | $ | 3,334,406 | $ | — | $ | (1,072,973 | ) | ||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||||||||||
Consolidated obligations: | ||||||||||||||||||||||||||||||||||||||||
Bonds | $ | (998,942 | ) | $ | — | $ | (998,942 | ) | $ | — | $ | — | ||||||||||||||||||||||||||||
Derivative liabilities | (861,660 | ) | — | (5,978,026 | ) | — | 5,116,366 | |||||||||||||||||||||||||||||||||
Consolidated obligations-bonds(b) | $ | (6,035,741 | ) | $ | — | $ | (6,035,741 | ) | $ | — | $ | — | ||||||||||||||||||||||||||||
Derivative liabilities(a) | ||||||||||||||||||||||||||||||||||||||||
Interest-rate derivatives | (746,137 | ) | — | (4,056,138 | ) | — | 3,310,001 | |||||||||||||||||||||||||||||||||
Mortgage delivery commitments | (39 | ) | — | (39 | ) | — | — | |||||||||||||||||||||||||||||||||
Total liabilities at fair value | $ | (1,860,602 | ) | $ | — | $ | (6,976,968 | ) | $ | — | $ | 5,116,366 | $ | (6,781,917 | ) | $ | — | $ | (10,091,918 | ) | $ | — | $ | 3,310,001 | ||||||||||||||||
(a) | Derivative assets and liabilities were interest-rate contracts, except for de minimis amount of mortgage delivery contracts. Based on an analysis of the nature of the risk, the presentation of derivatives as a single class is appropriate. | |
(b) | Based on its analysis of the nature of risks of the FHLBNY’s debt measured at fair value, the FHLBNY has determined that presenting the debt as a single class is appropriate. |
5762
Credit Loss * | ||||||||||||||||||||||||||||||||||||||||
September 30, 2009 | ||||||||||||||||||||||||||||||||||||||||
Fair Value | Level 1 | Level 2 | Level 3 | Three months | Nine months | Fair Value | Level 1 | Level 2 | Level 3 | |||||||||||||||||||||||||||||||
Held-to-maturity securities | ||||||||||||||||||||||||||||||||||||||||
Private-label residential MBS | $ | 125,771 | $ | — | $ | — | $ | 125,771 | $ | 3,683 | $ | 14,276 | ||||||||||||||||||||||||||||
Home equity loans | $ | 23,133 | $ | — | $ | — | $ | 23,133 | ||||||||||||||||||||||||||||||||
Total | $ | 125,771 | $ | — | $ | — | $ | 125,771 | $ | 3,683 | $ | 14,276 | $ | 23,133 | $ | — | $ | — | $ | 23,133 | ||||||||||||||||||||
Note: |
Fair Value | Level 1 | Level 2 | Level 3 | |||||||||||||
Held-to-maturity securities | ||||||||||||||||
Home equity loans | $ | 42,922 | $ | — | $ | — | $ | 42,922 | ||||||||
Total | $ | 42,922 | $ | — | $ | — | $ | 42,922 | ||||||||
Note: | Cumulative credit losses of $20.8 million were recorded for the year ended December 31, 2009. The FHLBNY also wrote down certain OTTI MBS to their fair values ($42.9 million) when it was determined that the carrying values of the securities prior to write-down ($59.9 million) were in excess of their fair values at December 31, 2009. |
Fair Value | Level 1 | Level 2 | Level 3 | |||||||||||||
Held-to-maturity securities | ||||||||||||||||
Home equity loans | $ | 21,808 | $ | — | $ | — | $ | 21,808 | ||||||||
Total | $ | 21,808 | $ | — | $ | — | $ | 21,808 | ||||||||
5863
September 30, 2009 | December 31, 2008 | March 31, 2010 | December 31, 2009 | |||||||||||||||||||||||||||||
Carrying | Estimated | Carrying | Estimated | Carrying | Estimated | Carrying | Estimated | |||||||||||||||||||||||||
Financial Instruments | Value | Fair Value | Value | Fair Value | Value | Fair Value | Value | Fair Value | ||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||
Cash and due from banks | $ | 1,189,158 | $ | 1,189,158 | $ | 18,899 | $ | 18,899 | $ | 1,167,824 | $ | 1,167,824 | $ | 2,189,252 | $ | 2,189,252 | ||||||||||||||||
Interest-bearing deposits | — | — | 12,169,096 | 12,170,681 | — | — | — | — | ||||||||||||||||||||||||
Federal funds sold | 3,900,000 | 3,899,997 | — | — | 3,130,000 | 3,129,993 | 3,450,000 | 3,449,997 | ||||||||||||||||||||||||
Available-for-sale securities | 2,362,592 | 2,362,592 | 2,861,869 | 2,861,869 | 2,654,814 | 2,654,814 | 2,253,153 | 2,253,153 | ||||||||||||||||||||||||
Held-to-maturity securities | ||||||||||||||||||||||||||||||||
Long-term securities | 10,478,027 | 10,596,548 | 10,130,543 | 9,934,473 | 9,776,282 | 9,934,261 | 10,519,282 | 10,669,252 | ||||||||||||||||||||||||
Certificates of deposit | 2,000,000 | 2,000,003 | 1,203,000 | 1,203,328 | — | — | — | — | ||||||||||||||||||||||||
Advances | 95,944,732 | 96,375,258 | 109,152,876 | 109,421,358 | 88,858,753 | 89,013,787 | 94,348,751 | 94,624,708 | ||||||||||||||||||||||||
Mortgage loans, net | 1,336,228 | 1,402,028 | 1,457,885 | 1,496,329 | ||||||||||||||||||||||||||||
Mortgage loans held-for-portfolio, net | 1,287,770 | 1,343,457 | 1,317,547 | 1,366,538 | ||||||||||||||||||||||||||||
Accrued interest receivable | 354,934 | 354,934 | 492,856 | 492,856 | 320,730 | 320,730 | 340,510 | 340,510 | ||||||||||||||||||||||||
Derivative assets | 9,092 | 9,092 | 20,236 | 20,236 | 9,246 | 9,246 | 8,280 | 8,280 | ||||||||||||||||||||||||
Other financial assets | 4,224 | 4,224 | 2,713 | 2,713 | 6,445 | 6,445 | 3,412 | 3,412 | ||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||
Deposits | 2,275,971 | 2,275,983 | 1,451,978 | 1,452,648 | 7,976,922 | 7,976,923 | 2,630,511 | 2,630,513 | ||||||||||||||||||||||||
Consolidated obligations: | ||||||||||||||||||||||||||||||||
Bonds | 69,670,836 | 70,032,687 | 82,256,705 | 82,533,048 | 72,408,203 | 72,656,044 | 74,007,978 | 74,279,737 | ||||||||||||||||||||||||
Discount notes | 38,385,244 | 38,396,793 | 46,329,906 | 46,408,907 | 19,815,956 | 19,817,145 | 30,827,639 | 30,831,201 | ||||||||||||||||||||||||
Mandatorily redeemable capital stock | 127,882 | 127,882 | 143,121 | 143,121 | 105,192 | 105,192 | 126,294 | 126,294 | ||||||||||||||||||||||||
Accrued interest payable | 337,221 | 337,221 | 426,144 | 426,144 | 330,715 | 330,715 | 277,788 | 277,788 | ||||||||||||||||||||||||
Derivative liabilities | 871,744 | 871,744 | 861,660 | 861,660 | 850,911 | 850,911 | 746,176 | 746,176 | ||||||||||||||||||||||||
Other financial liabilities | 33,784 | 33,784 | 38,594 | 38,594 | 34,920 | 34,920 | 38,832 | 38,832 |
5964
Three months ended | Nine months ended | |||||||||||||||||||||||||||
September 30, | September 30, | |||||||||||||||||||||||||||
2009 | 2008 | 2009 | 2008 | March 31, 2010 | December 31, 2009 | March 31, 2009 | ||||||||||||||||||||||
Balance, beginning of the period | $ | 550,303 | $ | — | $ | 998,942 | $ | — | $ | (6,035,741 | ) | $ | (998,942 | ) | $ | (998,942 | ) | |||||||||||
New transaction elected for fair value option | 1,835,000 | 589,000 | 2,385,000 | 589,000 | (4,420,000 | ) | (10,100,000 | ) | — | |||||||||||||||||||
Maturities and terminations | — | — | (983,000 | ) | — | 3,685,000 | 5,043,000 | 958,000 | ||||||||||||||||||||
Change in fair value | (426 | ) | (3,582 | ) | (8,653 | ) | (3,582 | ) | (8,419 | ) | 15,523 | 8,313 | ||||||||||||||||
Change in accrued interest* | 1,091 | — | (6,321 | ) | — | |||||||||||||||||||||||
Change in accrued interest | (1,453 | ) | 4,678 | 7,252 | ||||||||||||||||||||||||
Balance, end of the period | $ | 2,385,968 | $ | 585,418 | $ | 2,385,968 | $ | 585,418 | $ | (6,780,613 | ) | $ | (6,035,741 | ) | $ | (25,377 | ) | |||||||||||
Three months ended September 30, | ||||||||||||||||||||||||
2009 | 2008 | |||||||||||||||||||||||
Total change in | Total change in | |||||||||||||||||||||||
Interest expense on | Net gain(loss) due | fair value included | Interest expense on | Net gain(loss) due | fair value included | |||||||||||||||||||
consolidated | to changes in fair | in current period | consolidated | to changes in fair | in current period | |||||||||||||||||||
obligation bonds | value | earnings | obligation bonds | value | earnings | |||||||||||||||||||
Consolidated obligations-bonds | $ | (1,091 | ) | $ | 426 | $ | (665 | ) | $ | — | $ | 3,582 | $ | 3,582 | ||||||||||
Nine months ended September 30, | ||||||||||||||||||||||||
2009 | 2008 | |||||||||||||||||||||||
Total change in | Total change in | |||||||||||||||||||||||
Interest expense on | Net gain(loss) due | fair value included | Interest expense on | Net gain(loss) due | fair value included | |||||||||||||||||||
consolidated | to changes in fair | in current period | consolidated | to changes in fair | in current period | |||||||||||||||||||
obligation bonds | value | earnings | obligation bonds | value | earnings | |||||||||||||||||||
Consolidated obligations-bonds | $ | (2,380 | ) | $ | 8,653 | $ | 6,273 | $ | — | $ | 3,582 | $ | 3,582 | |||||||||||
Three months ended March 31, | ||||||||||||||||||||||||
2010 | 2009 | |||||||||||||||||||||||
Interest expense on | Net gain(loss) due | Total change in fair value | Interest expense on | Net gain(loss) due | Total change in fair value | |||||||||||||||||||
consolidated | to changes in fair | included in current period | consolidated | to changes in fair | included in current period | |||||||||||||||||||
obligation bonds | value | earnings | obligation bonds | value | earnings | |||||||||||||||||||
Consolidated obligations-bonds | $ | (8,522 | ) | $ | (8,419 | ) | $ | (16,941 | ) | $ | (1,074 | ) | $ | 8,313 | $ | 7,239 | ||||||||
September 30, 2009 | ||||||||||||
Fair value | ||||||||||||
Principal Balance | Fair value | over/(under) | ||||||||||
Consolidated obligations-bonds | $ | 2,385,000 | $ | 2,385,968 | $ | 968 | ||||||
Three months ended March 31, | ||||||||||||||||||||||||
2010 | 2009 | |||||||||||||||||||||||
Principal Balance | Fair value | Fair value over/(under) | Principal Balance | Fair value | Fair value over/(under) | |||||||||||||||||||
Consolidated obligations-bonds | $ | 6,775,000 | $ | 6,780,613 | $ | 5,613 | $ | 25,000 | $ | 25,377 | $ | 377 | ||||||||||||
December 31, 2008 | ||||||||||||
Fair value | ||||||||||||
Principal Balance | Fair value | over/(under) | ||||||||||
Consolidated obligations-bonds | $ | 983,000 | $ | 998,942 | $ | 15,942 | ||||||
60
65
66
61
67
62
68
63
69
64
6570
September 30, 2009 | March 31, 2010 | |||||||||||||||||||||||||||||||||||||||
Payments due or expiration terms by period | Payments due or expiration terms by period | |||||||||||||||||||||||||||||||||||||||
Less than | One year | Greater than three | Greater than | Less than | One year | Greater than three | Greater than | |||||||||||||||||||||||||||||||||
one year | to three years | years to five years | five years | Total | one year | to three years | years to five years | five years | Total | |||||||||||||||||||||||||||||||
Contractual Obligations | ||||||||||||||||||||||||||||||||||||||||
Consolidated obligations-bonds at par1 | $ | 35,806,100 | $ | 24,730,595 | $ | 4,900,530 | $ | 3,335,050 | $ | 68,772,275 | $ | 36,813,050 | $ | 25,161,775 | $ | 6,850,550 | $ | 2,878,050 | $ | 71,703,425 | ||||||||||||||||||||
Mandatorily redeemable capital stock1 | 82,076 | 38,724 | 2,123 | 4,959 | 127,882 | 81,360 | 16,762 | 2,114 | 4,956 | 105,192 | ||||||||||||||||||||||||||||||
Premises (lease obligations)2 | 3,060 | 6,120 | 5,635 | 7,011 | 21,826 | 3,060 | 6,202 | 5,191 | 5,843 | 20,296 | ||||||||||||||||||||||||||||||
Total contractual obligations | 35,891,236 | 24,775,439 | 4,908,288 | 3,347,020 | 68,921,983 | 36,897,470 | 25,184,739 | 6,857,855 | 2,888,849 | 71,828,913 | ||||||||||||||||||||||||||||||
Other commitments | ||||||||||||||||||||||||||||||||||||||||
Standby letters of credit | 863,242 | 4,937 | 15,255 | 7,778 | 891,212 | 772,638 | 10,589 | 17,016 | 3,861 | 804,104 | ||||||||||||||||||||||||||||||
Consolidated obligation-bonds/ discount notes traded not settled | 2,302,700 | — | — | — | 2,302,700 | |||||||||||||||||||||||||||||||||||
Investment securities traded not settled | 25,000 | — | — | — | 25,000 | |||||||||||||||||||||||||||||||||||
Consolidated obligations-bonds/ discount notes traded not settled | 2,517,000 | — | — | — | 2,517,000 | |||||||||||||||||||||||||||||||||||
Firm commitment-advances | 160,228 | — | — | — | 160,228 | |||||||||||||||||||||||||||||||||||
MBS purchase | 174,048 | — | — | — | 174,048 | |||||||||||||||||||||||||||||||||||
Open delivery commitments (MPF) | 11,843 | — | — | — | 11,843 | 3,249 | — | — | — | 3,249 | ||||||||||||||||||||||||||||||
Total other commitments | 3,202,785 | 4,937 | 15,255 | 7,778 | 3,230,755 | 3,627,163 | 10,589 | 17,016 | 3,861 | 3,658,629 | ||||||||||||||||||||||||||||||
Total obligations and commitments | $ | 39,094,021 | $ | 24,780,376 | $ | 4,923,543 | $ | 3,354,798 | $ | 72,152,738 | $ | 40,524,633 | $ | 25,195,328 | $ | 6,874,871 | $ | 2,892,710 | $ | 75,487,542 | ||||||||||||||||||||
1 | Callable bonds contain exercise date or a series of exercise dates that may result in a shorter redemption period. Mandatorily redeemable capital stock is categorized by the dates at which the corresponding advances outstanding mature. Excess capital stock is redeemed at that time, and hence, these dates better represent the related commitments than the put dates associated with capital stock, under which stock may not be redeemed until the later of five years from the date the member becomes a nonmember or the related advance matures. | |
2 | Immaterial amount of commitments for equipment leases are not included. |
6671
72
67
September 30, 2009 | December 31, 2008 | March 31, 2010 | December 31, 2009 | |||||||||||||||||||||||||||||
Related | Unrelated | Related | Unrelated | Related | Unrelated | Related | Unrelated | |||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||
Cash and due from banks | $ | — | $ | 1,189,158 | $ | — | $ | 18,899 | $ | — | $ | 1,167,824 | $ | — | $ | 2,189,252 | ||||||||||||||||
Interest-bearing deposits | — | — | — | 12,169,096 | ||||||||||||||||||||||||||||
Federal funds sold | — | 3,900,000 | — | — | — | 3,130,000 | — | 3,450,000 | ||||||||||||||||||||||||
Available-for-sale securities | — | 2,362,592 | — | 2,861,869 | — | 2,654,814 | — | 2,253,153 | ||||||||||||||||||||||||
Held-to-maturity securities | ||||||||||||||||||||||||||||||||
Long-term securities | — | 10,478,027 | — | 10,130,543 | — | 9,776,282 | — | 10,519,282 | ||||||||||||||||||||||||
Certificates of deposit | — | 2,000,000 | — | 1,203,000 | ||||||||||||||||||||||||||||
Advances | 95,944,732 | — | 109,152,876 | — | 88,858,753 | — | 94,348,751 | — | ||||||||||||||||||||||||
Mortgage loans 1 | — | 1,336,228 | — | 1,457,885 | — | 1,287,770 | — | 1,317,547 | ||||||||||||||||||||||||
Accrued interest receivable | 308,036 | 46,898 | 433,755 | 59,101 | 280,241 | 40,489 | 299,684 | 40,826 | ||||||||||||||||||||||||
Premises, software, and equipment | — | 14,596 | — | 13,793 | — | 14,046 | — | 14,792 | ||||||||||||||||||||||||
Derivative assets2 | — | 9,092 | — | 20,236 | — | 9,246 | — | 8,280 | ||||||||||||||||||||||||
Other assets3 | 237 | 14,720 | 153 | 18,685 | 157 | 19,604 | 179 | 19,160 | ||||||||||||||||||||||||
Total assets | $ | 96,253,005 | $ | 21,351,311 | $ | 109,586,784 | $ | 27,953,107 | $ | 89,139,151 | $ | 18,100,075 | $ | 94,648,614 | $ | 19,812,292 | ||||||||||||||||
Liabilities and capital | ||||||||||||||||||||||||||||||||
Deposits | $ | 2,275,971 | $ | — | $ | 1,451,978 | $ | — | $ | 7,976,922 | $ | — | $ | 2,630,511 | $ | — | ||||||||||||||||
Consolidated obligations | — | 108,056,080 | — | 128,586,611 | — | 92,224,159 | — | 104,835,617 | ||||||||||||||||||||||||
Mandatorily redeemable capital stock | 127,882 | — | 143,121 | — | 105,192 | — | 126,294 | — | ||||||||||||||||||||||||
Accrued interest payable | 42 | 337,179 | 814 | 425,330 | 4 | 330,711 | 16 | 277,772 | ||||||||||||||||||||||||
Affordable Housing Program4 | 144,822 | — | 122,449 | — | 145,660 | — | 144,489 | — | ||||||||||||||||||||||||
Payable to REFCORP | — | 38,692 | — | 4,780 | — | 13,873 | — | 24,234 | ||||||||||||||||||||||||
Derivative liabilities2 | — | 871,744 | — | 861,660 | — | 850,911 | — | 746,176 | ||||||||||||||||||||||||
Other liabilities5 | 27,125 | 63,990 | 31,003 | 44,750 | 31,200 | 184,968 | 29,330 | 43,176 | ||||||||||||||||||||||||
Total liabilities | $ | 2,575,842 | $ | 109,367,685 | $ | 1,749,365 | $ | 129,923,131 | $ | 8,258,978 | $ | 93,604,622 | $ | 2,930,640 | $ | 105,926,975 | ||||||||||||||||
Capital | 5,660,789 | — | 5,867,395 | — | 5,375,626 | — | 5,603,291 | — | ||||||||||||||||||||||||
Total liabilities and capital | $ | 8,236,631 | $ | 109,367,685 | $ | 7,616,760 | $ | 129,923,131 | $ | 13,634,604 | $ | 93,604,622 | $ | 8,533,931 | $ | 105,926,975 | ||||||||||||||||
1 | Includes insignificant amounts of mortgage loans purchased from members of another FHLBank. | |
2 | Derivative assets and liabilities include insignificant fair values due to intermediation activities on behalf of members. | |
3 | Includes insignificant amounts of miscellaneous assets that are considered related party. | |
4 | Represents funds not yet disbursed to eligible programs. | |
5 | Related column includes member pass-through reserves at the Federal Reserve Bank. |
6873
Three months ended | Three months ended | |||||||||||||||||||||||||||||||
September 30, 2009 | September 30, 2008 | March 31, 2010 | March 31, 2009 | |||||||||||||||||||||||||||||
Related | Unrelated | Related | Unrelated | Related | Unrelated | Related | Unrelated | |||||||||||||||||||||||||
Interest income | ||||||||||||||||||||||||||||||||
Advances | $ | 240,573 | $ | — | $ | 678,896 | $ | — | $ | 149,640 | $ | — | $ | 502,222 | $ | — | ||||||||||||||||
Interest-bearing deposits 1 | — | 1,014 | — | 3,240 | — | 830 | — | 8,918 | ||||||||||||||||||||||||
Federal funds sold | — | 1,864 | — | 21,316 | — | 1,543 | — | 68 | ||||||||||||||||||||||||
Available-for-sale securities | — | 6,590 | — | 24,441 | — | 5,764 | — | 8,519 | ||||||||||||||||||||||||
Held-to-maturity securities | ||||||||||||||||||||||||||||||||
Long-term securities | — | 111,232 | — | 138,412 | — | 98,634 | — | 126,820 | ||||||||||||||||||||||||
Certificates of deposit | — | 851 | — | 51,287 | — | — | — | 508 | ||||||||||||||||||||||||
Mortgage loans2 | — | 17,405 | — | 19,316 | — | 16,741 | — | 19,104 | ||||||||||||||||||||||||
Loans to other FHLBanks and other | 1 | — | 30 | — | ||||||||||||||||||||||||||||
Total interest income | $ | 240,574 | $ | 138,956 | $ | 678,926 | $ | 258,012 | $ | 149,640 | $ | 123,512 | $ | 502,222 | $ | 163,937 | ||||||||||||||||
Interest expense | ||||||||||||||||||||||||||||||||
Consolidated obligations | $ | — | $ | 223,355 | $ | — | $ | 769,703 | $ | — | $ | 164,570 | $ | — | $ | 433,085 | ||||||||||||||||
Deposits | 516 | — | 7,370 | — | 892 | — | 777 | — | ||||||||||||||||||||||||
Mandatorily redeemable capital stock | 1,807 | — | 1,950 | — | 1,495 | — | 878 | — | ||||||||||||||||||||||||
Cash collateral held and other borrowings | — | — | 2 | 240 | — | — | — | 37 | ||||||||||||||||||||||||
Total interest expense | $ | 2,323 | $ | 223,355 | $ | 9,322 | $ | 769,943 | $ | 2,387 | $ | 164,570 | $ | 1,655 | $ | 433,122 | ||||||||||||||||
Service fees | $ | 1,101 | $ | — | $ | 934 | $ | — | $ | 1,045 | $ | — | $ | 985 | $ | — | ||||||||||||||||
1 | Includes de minimis amounts of interest income from MPF service provider. | |
2 | Includes de minimis amounts of mortgage interest income from loans purchased from members of another FHLBank. |
Nine months ended | ||||||||||||||||
September 30, 2009 | September 30, 2008 | |||||||||||||||
Related | Unrelated | Related | Unrelated | |||||||||||||
Interest income | ||||||||||||||||
Advances | $ | 1,094,089 | $ | — | $ | 2,211,823 | $ | — | ||||||||
Interest-bearing deposits 1 | — | 19,054 | — | 17,086 | ||||||||||||
Federal funds sold | — | 1,933 | — | 69,921 | ||||||||||||
Available-for-sale securities | — | 22,881 | — | 57,016 | ||||||||||||
Held-to-maturity securities | ||||||||||||||||
Long-term securities | — | 355,916 | — | 396,660 | ||||||||||||
Certificates of deposit | — | 1,392 | — | 212,525 | ||||||||||||
Mortgage loans2 | — | 54,679 | — | 58,348 | ||||||||||||
Loans to other FHLBanks and other | 1 | — | 33 | — | ||||||||||||
Total interest income | $ | 1,094,090 | $ | 455,855 | $ | 2,211,856 | $ | 811,556 | ||||||||
Interest expense | ||||||||||||||||
Consolidated obligations | $ | — | $ | 956,923 | $ | — | $ | 2,511,381 | ||||||||
Deposits | 2,002 | — | 33,235 | — | ||||||||||||
Mandatorily redeemable capital stock | 5,478 | — | 8,884 | — | ||||||||||||
Cash collateral held and other borrowings | — | 49 | 162 | 820 | ||||||||||||
Total interest expense | $ | 7,480 | $ | 956,972 | $ | 42,281 | $ | 2,512,201 | ||||||||
Service fees | $ | 3,181 | $ | — | $ | 2,422 | $ | — | ||||||||
69
7074
September 30, 2009 | March 31, 2010 | |||||||||||||||||||||||||||||||||||||
Percentage of | Percentage of | |||||||||||||||||||||||||||||||||||||
Par | Total Par Value | Interest Income | Par | Total Par Value | ||||||||||||||||||||||||||||||||||
City | State | Advances | of Advances | Three months | Nine months | City | State | Advances | of Advances | Interest Income | ||||||||||||||||||||||||||||
Hudson City Savings Bank 1 | Paramus | NJ | $ | 17,325,000 | 18.9 | % | $ | 178,896 | $ | 532,100 | ||||||||||||||||||||||||||||
Hudson City Savings Bank, FSB* | Paramus | NJ | $ | 17,275,000 | 20.3 | % | $ | 174,759 | ||||||||||||||||||||||||||||||
Metropolitan Life Insurance Company | New York | NY | 14,280,000 | 15.6 | 84,277 | 279,360 | New York | NY | 13,555,000 | 15.9 | 72,407 | |||||||||||||||||||||||||||
New York Community Bank 1 | Westbury | NY | 8,148,476 | 8.9 | 78,413 | 233,129 | ||||||||||||||||||||||||||||||||
New York Community Bank* | Westbury | NY | 7,343,172 | 8.6 | 75,913 | |||||||||||||||||||||||||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 5,493,756 | 6.0 | 19,133 | 83,856 | Buffalo | NY | 4,755,523 | 5.6 | 11,754 | |||||||||||||||||||||||||||
The Prudential Life Insurance Company of America | Newark | NJ | 3,500,000 | 3.8 | 22,448 | 71,473 | ||||||||||||||||||||||||||||||||
The Prudential Insurance Company of America | Newark | NJ | 3,500,000 | 4.1 | 21,577 | |||||||||||||||||||||||||||||||||
Astoria Federal Savings and Loan Assn. | Lake Success | NY | 2,984,000 | 3.5 | 28,487 | |||||||||||||||||||||||||||||||||
Valley National Bank | Wayne | NJ | 2,271,500 | 2.7 | 24,716 | |||||||||||||||||||||||||||||||||
Doral Bank | San Juan | PR | 2,119,420 | 2.5 | 19,258 | |||||||||||||||||||||||||||||||||
New York Life Insurance Company | New York | NY | 2,000,000 | 2.4 | 3,075 | |||||||||||||||||||||||||||||||||
MetLife Bank, N.A. | Bridgewater | NJ | 1,894,500 | 2.2 | 11,693 | |||||||||||||||||||||||||||||||||
Total | $ | 48,747,232 | 53.2 | % | $ | 383,167 | $ | 1,199,918 | $ | 57,698,115 | 67.8 | % | $ | 443,639 | ||||||||||||||||||||||||
December 31, 2008 | ||||||||||||||||||
Percentage of | ||||||||||||||||||
Par | Total Par Value | Interest | ||||||||||||||||
City | State | Advances | of Advances | Income | ||||||||||||||
Hudson City Savings Bank 1 | Paramus | NJ | $ | 17,525,000 | 17.0 | % | $ | 671,146 | ||||||||||
Metropolitan Life Insurance Company | New York | NY | 15,105,000 | 14.6 | 260,420 | |||||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 7,999,689 | 7.7 | 257,649 | |||||||||||||
New York Community Bank | Westbury | NY | 7,796,517 | 7.5 | 337,019 | |||||||||||||
Astoria Federal Savings and Loan Assn. | Long Island City | NY | 3,738,000 | 3.6 | 151,066 | |||||||||||||
Total | $ | 52,164,206 | 50.4 | % | $ | 1,677,300 | ||||||||||||
September 30, 2008 | December 31, 2009 | |||||||||||||||||||||||||||||||||||||
Percentage of | Percentage of | |||||||||||||||||||||||||||||||||||||
Par | Total Par Value | Interest Income | Par | Total Par Value | ||||||||||||||||||||||||||||||||||
City | State | Advances | of Advances | Three months | Nine months | City | State | Advances | of Advances | Interest Income | ||||||||||||||||||||||||||||
Hudson City Savings Bank 1 | Paramus | NJ | $ | 16,775,000 | 16.5 | % | $ | 174,289 | $ | 494,241 | ||||||||||||||||||||||||||||
Hudson City Savings Bank, FSB* | Paramus | NJ | $ | 17,275,000 | 19.0 | % | $ | 710,900 | ||||||||||||||||||||||||||||||
Metropolitan Life Insurance Company | New York | NY | 10,230,000 | 10.1 | 52,746 | 151,855 | New York | NY | 13,680,000 | 15.1 | 356,120 | |||||||||||||||||||||||||||
New York Community Bank | Westbury | NY | 8,513,619 | �� | 8.4 | 80,807 | 257,201 | |||||||||||||||||||||||||||||||
New York Community Bank* | Westbury | NY | 7,343,174 | 8.1 | 310,991 | |||||||||||||||||||||||||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 8,204,802 | 8.1 | 63,175 | 192,037 | Buffalo | NY | 5,005,641 | 5.5 | 97,628 | |||||||||||||||||||||||||||
Merrill Lynch Bank & Trust Co., FSB | New York | NY | 6,200,000 | 6.1 | 14,891 | 32,494 | ||||||||||||||||||||||||||||||||
The Prudential Insurance Company of America | Newark | NJ | 3,500,000 | 3.9 | 93,601 | |||||||||||||||||||||||||||||||||
Astoria Federal Savings and Loan Assn. | Lake Success | NY | 3,000,000 | 3.3 | 120,870 | |||||||||||||||||||||||||||||||||
Emigrant Bank | New York | NY | 2,475,000 | 2.7 | 64,131 | |||||||||||||||||||||||||||||||||
Doral Bank | San Juan | PR | 2,473,420 | 2.7 | 86,389 | |||||||||||||||||||||||||||||||||
MetLife Bank, N.A. | Bridgewater | NJ | 2,430,500 | 2.7 | 46,142 | |||||||||||||||||||||||||||||||||
Valley National Bank | Wayne | NJ | 2,322,500 | 2.6 | 103,707 | |||||||||||||||||||||||||||||||||
Total | $ | 49,923,421 | 49.2 | % | $ | 385,908 | $ | 1,127,828 | $ | 59,505,235 | 65.6 | % | $ | 1,990,479 | ||||||||||||||||||||||||
March 31, 2009 | ||||||||||||||||
Percentage of | ||||||||||||||||
Par | Total Par Value | |||||||||||||||
City | State | Advances | of Advances | Interest Income | ||||||||||||
Hudson City Savings Bank, FSB* | Paramus | NJ | $ | 17,575,000 | 17.7 | % | $ | 176,070 | ||||||||
Metropolitan Life Insurance Company | New York | NY | 15,105,000 | 15.2 | 103,306 | |||||||||||
New York Community Bank* | Westbury | NY | 8,143,214 | 8.2 | 77,380 | |||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 7,479,282 | 7.5 | 36,499 | |||||||||||
The Prudential Insurance Company of America | Newark | NJ | 4,500,000 | 4.5 | 24,618 | |||||||||||
MetLife Bank, N.A. | Bridgewater | NJ | 3,812,000 | 3.8 | 10,811 | |||||||||||
Astoria Federal Savings and Loan Assn. | Lake Success | NY | 3,110,000 | 3.1 | 31,667 | |||||||||||
Emigrant Bank | New York | NY | 2,475,000 | 2.5 | 15,925 | |||||||||||
Valley National Bank | Wayne | NJ | 2,445,500 | 2.5 | 27,178 | |||||||||||
Doral Bank | San Juan | PR | 2,334,500 | 2.3 | 22,298 | |||||||||||
Total | $ | 66,979,496 | 67.3 | % | $ | 525,752 | ||||||||||
* | At March 31, 2009, officer of member bank also served on the Board of Directors of the FHLBNY. |
7175
Number | Percent | Number | Percent | |||||||||||||||||
September 30, 2009 | of shares | of total | March 31, 2010 | of shares | of total | |||||||||||||||
Name of beneficial owner | Principal Executive Office Address | owned | capital stock | Principal Executive Office Address | owned | capital stock | ||||||||||||||
Hudson City Savings Bank1 | West 80 Century Road Paramus, NJ 07652 | 8,770 | 16.64 | % | ||||||||||||||||
Hudson City Savings Bank * | West 80 Century Road, Paramus, NJ 07652 | 8,748 | 17.73 | % | ||||||||||||||||
Metropolitan Life Insurance Company | 200 Park Ave New York, NY 10166 | 7,689 | 14.59 | 200 Park Avenue, New York, NY 10166 | 7,363 | 14.93 | ||||||||||||||
New York Community Bank1 | 615 Merrick Ave Westbury, NY 11590 | 4,140 | 7.85 | |||||||||||||||||
New York Community Bank * | 615 Merrick Avenue, Westbury, NY 11590 | 3,777 | 7.66 | |||||||||||||||||
Manufacturers and Traders Trust Company | One M&T Plaza Buffalo, NY 14203 | 3,174 | 6.02 | One M&T Plaza, Buffalo, NY 14203 | 2,837 | 5.75 | ||||||||||||||
23,773 | 45.10 | % | 22,725 | 46.07 | % | |||||||||||||||
Number | Percent | |||||||||
December 31, 2009 | of shares | of total | ||||||||
Name of beneficial owner | Principal Executive Office Address | owned | capital stock | |||||||
Hudson City Savings Bank* | West 80 Century Road, Paramus, NJ 07652 | 8,748 | 16.87 | % | ||||||
Metropolitan Life Insurance Company | 200 Park Avenue, New York, NY 10166 | 7,419 | 14.31 | |||||||
New York Community Bank* | 615 Merrick Avenue, Westbury, NY 11590 | 3,777 | 7.28 | |||||||
Manufacturers and Traders Trust Company | One M&T Plaza, Buffalo, NY 14203 | 2,952 | 5.69 | |||||||
22,896 | 44.15 | % | ||||||||
Officer of member bank also serves on the Board of Directors of the FHLBNY. |
Number | Percent | |||||||||
December 31, 2008 | of shares | of total | ||||||||
Name of beneficial owner | Principal Executive Office Address | owned | capital stock | |||||||
Hudson City Savings Bank* | West 80 Century Road, Paramus, NJ 07652 | 8,656 | 15.11 | % | ||||||
Metropolitan Life Insurance Company | 200 Park Ave., New York, NY 10166 | 8,302 | 14.49 | |||||||
Manufacturers and Traders Trust Company | One M & T Plaza, Buffalo, NY 14203 | 4,327 | 7.55 | |||||||
New York Community Bank | 615 Merrick Avenue, Westbury, NY 11590 | 3,928 | 6.86 | |||||||
25,213 | 44.01 | % | ||||||||
72
Monoline support- Of the 15 securities determined to have OTTI, 11 are insured by Ambac Assurance Corp, and two are insured by MBIA Insurance Corp. The Bank analyzed the bond insurers as going-concerns as well as their financial strength to assess their ability to perform under their contractual obligations for the securities owned by the FHLBNY. All bond insurers are currently performing under the terms of their contractual agreements with respect to the FHLBNY’s insured bonds. However, estimation of an insurer’s financial strength over a long time horizon requires significant judgment and assumptions. The estimation process includes predicting when the insurers may no longer have the ability to perform under their contractual agreements and then comparing the timing and amounts of cash flow shortfalls of securities that are credit impaired to when insurer protection may not be available.
The Bank’s “Bond insurer analysis” is outlined under Significant Accounting Policies and Estimates in Note 1, and in Note 4 Held-to-maturity securities, and the analysis concluded at September 30, 2009 that the projected time horizon for Ambac Assurance Corp to provide full insurance protection with respect to 11 insured bonds was 83 months, or through July 31, 2016. For two bonds insured by MBIA Insurance Corp., full protection was projected to be provided for 31 months, or through March 31, 2012. The Bank refers to these dates as the “guarantee ignore dates”, implying that security cash flow shortfalls after that date would not receive any credit protection from the two bond insurers.
On November 9, 2009, Ambac Financial Group Inc., the parent company of Ambac Assurance Corp., and MBIA Inc., the parent company of MBIA Insurance Corp., issued interim financial statements for the quarter ended September 30, 2009. The FHLBNY’s review of the interim financial statements noted the worsening operating conditions of the parent companies. The Bank’s monoline analysis and methodology relies on the claims paying ability of Ambac Assurance Corp and MBIA Insurance Corp to project the “guarantee ignore dates” described above, and based on publicly available financial information, the Bank’s monoline analysis did not indicate that any significant changes to the “guarantee ignore dates” were warranted.
As a result of the issuance of the interim financial statements of MBIA Inc., and Ambac Financial Group Inc., there have been a series of articles in the financial news media about the worsening financial condition of the two bond insurers. An article purported that Ambac Financial Group Inc., was likely to file for bankruptcy protection. State insurance regulators indicated that the insurance subsidiary (Ambac Assurance Corp.) was not subject to federal bankruptcy proceedings and that state law would govern. The FHLBNY prepared an analysis of its exposure on the basis of a scenario in which one or both bond insurers would cease to cover any cash flow shortfalls on the FHLBNY’s insured MBS. The analysis indicated that under this scenario, the FHLBNY would have recognized additional credit losses of approximately $7.0 million on a pre-assessment basis as of September 30, 2009.
Termination of nonqualified supplemental pension plans —Three nonqualified supplemental pension plans were terminated effective November 10, 2009, and will have no effect on the Bank’s financial results, financial position or cash flows for all reported periods.
7376
Item 2. | Management’s Discussion and Analysis of Financial Condition and Results of Operations. |
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78
Table | Description | Page | ||||
— | Selected Financial Data | 86 | ||||
1 | Interest Income — Principal Sources | 90 | ||||
2 | Impact of Interest Rate Swaps on Interest Income Earned from Advances | 90 | ||||
3 | Interest Expenses — Principal Categories | 92 | ||||
4 | Impact of Interest Rate Swaps on Consolidated Obligation Interest Expense | 93 | ||||
5 | Components of Net Interest Income | 94 | ||||
6 | Net Interest Adjustments from Hedge Qualifying Interest-Rate Swaps | 96 | ||||
7 | GAAP Versus Economic Basis — Contrasting Net Interest Income, Net Income Spread and Return on Earning Assets | 96 | ||||
8 | Spread and Yield Analysis | 97 | ||||
9 | Rate and Volume Analysis | 98 | ||||
10 | Other Income | 100 | ||||
11 | Earnings Impact of Derivatives — By Hedge Type | 102 | ||||
12 | Gains/(Losses) Reclassified from AOCI to Current Period Income from Cash Flow Hedges | 105 | ||||
13 | Other Expenses | 106 | ||||
14 | Operating Expenses | 106 | ||||
15 | Statements of Condition | 107 | ||||
16 | Advances by Product Type | 111 | ||||
17 | Investments by Categories | 117 | ||||
18 | Mortgage-Backed Securities — By Issuer | 117 | ||||
19 | Available-for-Sale Securities Composition | 118 | ||||
20 | External Rating of the Held-to-Maturity Portfolio | 119 | ||||
21 | External Rating of the Available-for-Sale Portfolio | 119 | ||||
22 | Mortgage-Backed Securities Weighted Average Rates by Contractual Maturities | 120 | ||||
23 | Mortgage Loans by Loan Type | 123 | ||||
24 | Consolidated Obligation Bonds by Type | 128 | ||||
25 | Discount Notes Outstanding | 133 | ||||
26 | Roll-Forward Mandatorily Redeemable Capital Stock | 135 | ||||
27 | Derivative Hedging Strategies | 137 | ||||
28 | Derivatives Financial Instruments by Hedge Designation | 138 | ||||
29 | Derivative Financial Instruments by Product | 139 | ||||
30 | Advances and Mortgage Loan Portfolios | 140 | ||||
31 | Collateral Supporting Advances to Members | 143 | ||||
32 | Collateral Supporting Member Obligations Other Than Advances | 143 | ||||
33 | Location of Collateral Held | 144 | ||||
34 | Concentration analysis — Top Ten Advance Holders | 145 | ||||
35 | Period-Over-Period Change in Investments | 146 | ||||
36 | NRSRO Held-to-Maturity Securities | 147 | ||||
37 | NRSRO Available-for-Sale Securities | 149 | ||||
38 | Carrying Value Basis of Held-to-Maturity Mortgage-Backed Securities by Issuer | 151 | ||||
39 | Non-Agency Private Label Mortgage Securities | 152 | ||||
40 | OTTI 2010 First Quarter | 153 | ||||
41 | Monoline Insurance of PLMBS | 153 | ||||
42 | PLMBS by Year of Securitization and External Rating | 154 | ||||
43 | Weighted-Average Market Price of MBS | 156 | ||||
44 | PLMBS Security Types Delinquencies | 157 | ||||
45 | Roll-Forward First Loss Account | 158 | ||||
46 | Mortgage Loans — Past Due | 159 | ||||
47 | Mortgage Loans — Interest Short-Fall | 159 | ||||
48 | Mortgage Loans — Allowance for Credit Losses | 159 | ||||
49 | Top Five Participating Financial Institutions — Concentration | 160 | ||||
50 | Credit Exposure by Counterparty Credit Rating | 162 | ||||
51 | Contractual Obligations and Other Commitments | 166 | ||||
52 | Deposit Liquidity | 168 | ||||
53 | Operational Liquidity | 168 | ||||
54 | Contingency Liquidity | 169 | ||||
55 | Unpledged Asset | 170 | ||||
56 | FHFA MBS Limits | 170 | ||||
57 | FHLBNY Ratings | 171 |
79
80
75
80
81
76
82
77
7883
7984
8085
Statements of Condition | March 31, | December 31, | September 30, | June 30, | March 31, | |||||||||||||||
(dollars in millions) | 2010 | 2009 | 2009 | 2009 | 2009 | |||||||||||||||
Investments (1) | $ | 15,561 | $ | 16,222 | $ | 18,741 | $ | 12,979 | $ | 13,377 | ||||||||||
Interest bearing balance at FRB ** | — | — | — | 13,865 | 8,602 | |||||||||||||||
Advances | 88,859 | 94,349 | 95,945 | 100,458 | 104,464 | |||||||||||||||
Mortgage loans held-for-portfolio, net of allowance for credit losses (2) | 1,288 | 1,318 | 1,336 | 1,381 | 1,431 | |||||||||||||||
Total assets | 107,239 | 114,461 | 117,604 | 129,129 | 128,359 | |||||||||||||||
Deposits and borrowings | 7,977 | 2,631 | 2,276 | 2,278 | 2,372 | |||||||||||||||
Consolidated obligations, net | ||||||||||||||||||||
Bonds | 72,408 | 74,008 | 69,671 | 72,184 | 69,582 | |||||||||||||||
Discount notes | 19,816 | 30,828 | 38,385 | 47,276 | 48,722 | |||||||||||||||
Total consolidated obligations | 92,224 | 104,836 | 108,056 | 119,460 | 118,304 | |||||||||||||||
Mandatorily redeemable capital stock | 105 | 126 | 128 | 128 | 140 | |||||||||||||||
AHP liability | 146 | 144 | 145 | 140 | 128 | |||||||||||||||
REFCORP liability | 14 | 24 | 39 | 46 | 42 | |||||||||||||||
Capital | ||||||||||||||||||||
Capital stock | 4,828 | 5,059 | 5,142 | 5,370 | 5,413 | |||||||||||||||
Retained earnings | 672 | 689 | 666 | 600 | 489 | |||||||||||||||
Accumulated other comprehensive income (loss) | (124 | ) | (145 | ) | (147 | ) | (120 | ) | (79 | ) | ||||||||||
Total capital | 5,376 | 5,603 | 5,661 | 5,850 | 5,823 | |||||||||||||||
Equity to asset ratio (3) | 5.01 | % | 4.90 | % | 4.81 | % | 4.53 | % | 4.54 | % |
86
Statements of Condition | September 30, | December 31, | ||||||||||||||||||||||
(dollars in millions) | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||||
Investments (1) | $ | 18,741 | $ | 14,195 | $ | 25,034 | $ | 20,503 | $ | 20,945 | $ | 17,271 | ||||||||||||
Interest bearing balance at FRB ** | — | 12,169 | — | — | — | — | ||||||||||||||||||
Advances | 95,945 | 109,153 | 82,090 | 59,012 | 61,902 | 68,507 | ||||||||||||||||||
Mortgage loans | 1,336 | 1,458 | 1,492 | 1,483 | 1,467 | 1,178 | ||||||||||||||||||
Total assets | 117,604 | 137,540 | 109,245 | 81,579 | 84,761 | 87,347 | ||||||||||||||||||
Deposits and borrowings | 2,276 | 1,452 | 1,606 | 2,266 | 2,650 | 2,297 | ||||||||||||||||||
Consolidated obligations | 108,056 | 128,587 | 101,117 | 74,234 | 77,279 | 80,157 | ||||||||||||||||||
Mandatorily redeemable capital stock | 128 | 143 | 239 | 110 | 18 | 127 | ||||||||||||||||||
AHP liability | 145 | 122 | 119 | 102 | 91 | 82 | ||||||||||||||||||
REFCORP liability | 39 | 5 | 24 | 17 | 14 | 10 | ||||||||||||||||||
Capital stock | 5,142 | 5,586 | 4,368 | 3,546 | 3,590 | 3,655 | ||||||||||||||||||
Retained earnings | 666 | 383 | 418 | 369 | 291 | 223 | ||||||||||||||||||
Equity to asset ratio (2) | 4.81 | % | 4.27 | % | 4.35 | % | 4.79 | % | 4.58 | % | 4.44 | % |
Three months ended | Nine months ended | Three months ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Statements of Condition | September 30, | September 30, | Years ended December 31, | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Averages (dollars in millions) | 2009 | 2008 | 2009 | 2008 | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||||||||||||||||||||||||||||||||||||
Statements of ConditionAverages | March 31, | December 31, | September 30, | June 30, | March 31, | |||||||||||||||||||||||||||||||||||||||||||||||||||
(dollars in millions) | 2010 | 2009 | 2009 | 2009 | 2009 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Investments (1) | $ | 19,764 | $ | 24,592 | $ | 5,053 | $ | 3,429 | $ | 2,253 | $ | 22,155 | $ | 19,431 | $ | 19,347 | $ | 16,292 | $ | 17,711 | $ | 18,650 | $ | 19,764 | $ | 12,369 | $ | 12,963 | ||||||||||||||||||||||||||||
Interest bearing balance at FRB ** | — | — | 8,062 | — | 1,322 | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||||||
Interest-bearing balance at FRB ** | — | — | — | 12,647 | 11,538 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Advances | 96,704 | 93,246 | 100,574 | 88,040 | 92,617 | 65,454 | 64,658 | 63,446 | 65,289 | 91,415 | 94,193 | 96,704 | 99,769 | 105,344 | ||||||||||||||||||||||||||||||||||||||||||
Mortgage loans | 1,357 | 1,454 | 1,403 | 1,466 | 1,465 | 1,502 | 1,471 | 1,360 | 928 | 1,299 | 1,333 | 1,357 | 1,405 | 1,450 | ||||||||||||||||||||||||||||||||||||||||||
Total assets | 120,754 | 120,599 | 128,215 | 114,537 | 119,710 | 89,961 | 86,319 | 85,254 | 84,344 | 113,116 | 117,289 | 120,754 | 129,133 | 134,915 | ||||||||||||||||||||||||||||||||||||||||||
Interest-bearing deposits and other borrowings | 2,083 | 1,653 | 2,006 | 1,998 | 2,003 | 2,202 | 1,709 | 2,100 | 1,971 | 5,050 | 2,361 | 2,083 | 2,181 | 1,749 | ||||||||||||||||||||||||||||||||||||||||||
Consolidated obligations | 109,125 | 111,452 | 116,171 | 104,937 | 109,691 | 82,233 | 79,314 | 77,629 | 76,105 | |||||||||||||||||||||||||||||||||||||||||||||||
Consolidated obligations, net | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Bonds | 74,297 | 73,264 | 69,604 | 68,091 | 76,543 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Discount notes | 24,555 | 31,741 | 39,521 | 48,747 | 46,155 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Total consolidated obligations | 98,852 | 105,005 | 109,125 | 116,838 | 122,698 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Mandatorily redeemable capital stock | 128 | 154 | 135 | 174 | 166 | 146 | 51 | 56 | 238 | 108 | 143 | 128 | 134 | 143 | ||||||||||||||||||||||||||||||||||||||||||
AHP liability | 139 | 123 | 132 | 122 | 122 | 108 | 95 | 84 | 83 | 144 | 144 | 139 | 132 | 125 | ||||||||||||||||||||||||||||||||||||||||||
REFCORP liability | 23 | 8 | 23 | 10 | 6 | 10 | 9 | 7 | 4 | 9 | 15 | 23 | 22 | 22 | ||||||||||||||||||||||||||||||||||||||||||
Capital | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Capital stock | 5,195 | 5,046 | 5,315 | 4,701 | 4,923 | 3,771 | 3,737 | 3,604 | 3,554 | 4,929 | 5,030 | 5,195 | 5,299 | 5,455 | ||||||||||||||||||||||||||||||||||||||||||
Retained earnings | 611 | 388 | 522 | 391 | 381 | 362 | 314 | 251 | 159 | 658 | 666 | 611 | 522 | 429 | ||||||||||||||||||||||||||||||||||||||||||
Accumulated other comprehensive income (loss) | (141 | ) | (136 | ) | (125 | ) | (69 | ) | (91 | ) | ||||||||||||||||||||||||||||||||||||||||||||||
Total capital | 5,446 | 5,560 | 5,681 | 5,752 | 5,793 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Operating Results and other data | Three months ended | Nine months ended | Three months ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||
(dollars in millions) | September 30, | September 30, | Years ended December 31, | March 31, | December 31, | September 30, | June 30, | March 31, | ||||||||||||||||||||||||||||||||||||||||||||||||
(except earnings and dividends per share) | 2009 | 2008 | 2009 | 2008 | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||||||||||||||||||||||||||||||||||||
(except earnings, headcount, and dividends per share) | 2010 | 2009 | 2009 | 2009 | 2009 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net interest income (3) | $ | 154 | $ | 158 | $ | 585 | $ | 469 | $ | 694 | $ | 499 | $ | 470 | $ | 395 | $ | 268 | ||||||||||||||||||||||||||||||||||||||
Net interest income (4) | $ | 106 | $ | 116 | $ | 154 | $ | 200 | $ | 231 | ||||||||||||||||||||||||||||||||||||||||||||||
Net income | 140 | 40 | 475 | 214 | 259 | 323 | 285 | 230 | 161 | 54 | 97 | 140 | 186 | 148 | ||||||||||||||||||||||||||||||||||||||||||
Dividends paid in cash (6) | 74 | 76 | 191 | 250 | 294 | 273 | 208 | 162 | 66 | |||||||||||||||||||||||||||||||||||||||||||||||
Dividends paid in cash (7) | 71 | 74 | 74 | 75 | 42 | |||||||||||||||||||||||||||||||||||||||||||||||||||
AHP expense | 16 | 5 | 53 | 25 | 30 | 37 | 32 | 26 | 19 | 6 | 10 | 16 | 21 | 17 | ||||||||||||||||||||||||||||||||||||||||||
REFCORP expense | 35 | 10 | 119 | 53 | 65 | 81 | 71 | 58 | 40 | 13 | 24 | 35 | 47 | 37 | ||||||||||||||||||||||||||||||||||||||||||
Return on average equity* (4) | 9.79 | % | 2.95 | % | 11.06 | % | 5.68 | % | 4.95 | % | 7.85 | % | 7.04 | % | 5.97 | % | 4.34 | % | ||||||||||||||||||||||||||||||||||||||
Return on average equity* (5) | 3.99 | % | 6.85 | % | 9.79 | % | 13.00 | % | 10.37 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Return on average assets* | 0.46 | % | 0.13 | % | 0.50 | % | 0.25 | % | 0.22 | % | 0.36 | % | 0.33 | % | 0.27 | % | 0.19 | % | 0.19 | % | 0.32 | % | 0.46 | % | 0.58 | % | 0.45 | % | ||||||||||||||||||||||||||||
Net OTTI impairment losses | $ | (3 | ) | $ | (7 | ) | $ | (4 | ) | $ | (5 | ) | $ | (5 | ) | |||||||||||||||||||||||||||||||||||||||||
Other non-interest income (loss) | (8 | ) | 48 | 61 | 80 | (4 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||
Total other income (loss) | (11 | ) | 41 | 57 | 75 | (9 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||
Operating expenses | $ | 18 | $ | 17 | $ | 54 | $ | 49 | $ | 66 | $ | 67 | $ | 63 | $ | 59 | $ | 51 | 19 | 22 | 18 | 18 | 18 | |||||||||||||||||||||||||||||||||
Operating expenses ratio* (5) | 0.06 | % | 0.05 | % | 0.06 | % | 0.06 | % | 0.06 | % | 0.07 | % | 0.07 | % | 0.07 | % | 0.06 | % | ||||||||||||||||||||||||||||||||||||||
Finance Agency and Office of Finance | 3 | 2 | 2 | 2 | 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Total other expenses | 22 | 24 | 20 | 20 | 20 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Operating expenses ratio* (6) | 0.07 | % | 0.07 | % | 0.06 | % | 0.06 | % | 0.05 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Earnings per share | $ | 2.70 | $ | 0.79 | $ | 8.93 | $ | 4.55 | $ | 5.26 | $ | 8.57 | $ | 7.63 | $ | 6.36 | $ | 4.55 | $ | 1.09 | $ | 1.94 | $ | 2.70 | $ | 3.52 | $ | 2.72 | ||||||||||||||||||||||||||||
Dividend per share | $ | 1.40 | $ | 1.62 | $ | 3.54 | $ | 5.67 | $ | 6.55 | $ | 7.51 | $ | 5.59 | $ | 4.50 | $ | 1.83 | $ | 1.41 | $ | 1.42 | $ | 1.40 | $ | 1.38 | $ | 0.75 | ||||||||||||||||||||||||||||
Headcount (Full/part time) | 259 | 251 | 259 | 251 | 251 | 246 | 232 | 221 | 210 | 266 | 264 | 259 | 264 | 256 |
(1) | Investments include held-to-maturity securities, available for-sale securities, Federal funds, | |
(2) | Allowances for credit losses were $5.2 million, $4.5 million, $3.4 million, $2.8 million, and $1.8 million at the periods ended March 31, 2010, December 31, 2009, September 30, 2009, June 30, 2009, and March 31, 2009. | |
(3) | Equity to asset ratio is capital stock plus retained earnings and | |
Net interest income is net interest income before the provision for credit losses on mortgage loans. | ||
Return on average equity is net income as a percentage of average capital stock plus average retained earnings and average | ||
Operating expenses as a percentage of total average assets. | ||
Excludes dividends | ||
* | Annualized. | |
** | FRB program commenced in October 2008. On July |
8187
8288
8389
Three months ended September 30, | Nine months ended September 30, | |||||||||||||||||||||||
Percentage | Percentage | |||||||||||||||||||||||
2009 | 2008 | Variance | 2009 | 2008 | Variance | |||||||||||||||||||
Interest Income | ||||||||||||||||||||||||
Advances | $ | 240,573 | $ | 678,896 | (64.56 | )% | $ | 1,094,089 | $ | 2,211,823 | (50.53 | )% | ||||||||||||
Interest-bearing deposits | 1,014 | 3,240 | (68.70 | ) | 19,054 | 17,086 | 11.52 | |||||||||||||||||
Federal funds sold | 1,864 | 21,316 | (91.26 | ) | 1,933 | 69,921 | (97.24 | ) | ||||||||||||||||
Available-for-sale securities | 6,590 | 24,441 | (73.04 | ) | 22,881 | 57,016 | (59.87 | ) | ||||||||||||||||
Held-to-maturity securities | ||||||||||||||||||||||||
Long-term securities | 111,232 | 138,412 | (19.64 | ) | 355,916 | 396,660 | (10.27 | ) | ||||||||||||||||
Certificates of deposit | 851 | 51,287 | (98.34 | ) | 1,392 | 212,525 | (99.35 | ) | ||||||||||||||||
Mortgage loans held-for-portfolio | 17,405 | 19,316 | (9.89 | ) | 54,679 | 58,348 | (6.29 | ) | ||||||||||||||||
Loans to other FHLBanks and other | 1 | 30 | (96.67 | ) | 1 | 33 | (96.97 | ) | ||||||||||||||||
Total interest income | $ | 379,530 | $ | 936,938 | (59.49 | )% | $ | 1,549,945 | $ | 3,023,412 | (48.74 | )% | ||||||||||||
Three months ended March 31, | ||||||||||||
Percentage | ||||||||||||
2010 | 2009 | Variance | ||||||||||
Interest Income | ||||||||||||
Advances | $ | 149,640 | $ | 502,222 | (70.20 | )% | ||||||
Interest-bearing deposits | 830 | 8,918 | (90.69 | ) | ||||||||
Federal funds sold | 1,543 | 68 | NM | |||||||||
Available-for-sale securities | 5,764 | 8,519 | (32.34 | ) | ||||||||
Held-to-maturity securities | ||||||||||||
Long-term securities | 98,634 | 126,820 | (22.23 | ) | ||||||||
Certificates of deposit | — | 508 | (100.00 | ) | ||||||||
Mortgage loans held-for-portfolio | 16,741 | 19,104 | (12.37 | ) | ||||||||
Total interest income | $ | 273,152 | $ | 666,159 | (59.00 | )% | ||||||
Three months ended | Nine months ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Advance Interest Income | ||||||||||||||||
Advance interest income before adjustment for interest rate swaps | $ | 743,687 | $ | 850,236 | $ | 2,345,699 | $ | 2,551,947 | ||||||||
Net interest adjustment from interest rate swaps 1 | (503,114 | ) | (171,340 | ) | (1,251,610 | ) | (340,124 | ) | ||||||||
Total Advance interest income reported | $ | 240,573 | $ | 678,896 | $ | 1,094,089 | $ | 2,211,823 | ||||||||
Three months ended March 31, | ||||||||
2010 | 2009 | |||||||
Advance Interest Income | ||||||||
Advance interest income before adjustment for interest rate swaps | $ | 679,921 | $ | 833,388 | ||||
Net interest adjustment from interest rate swaps1 | (530,281 | ) | (331,166 | ) | ||||
Total Advance interest income reported | $ | 149,640 | $ | 502,222 | ||||
1 | Interest portion only |
90
84
91
Three months ended September 30, | Nine months ended September 30, | |||||||||||||||||||||||
Percentage | Percentage | |||||||||||||||||||||||
2009 | 2008 | Variance | 2009 | 2008 | Variance | |||||||||||||||||||
Interest Expense | ||||||||||||||||||||||||
Consolidated obligations-bonds | $ | 191,708 | $ | 628,394 | (69.49 | )% | $ | 783,695 | $ | 1,952,228 | (59.86 | )% | ||||||||||||
Consolidated obligations-discount notes | 31,647 | 141,309 | (77.60 | ) | 173,228 | 559,153 | (69.02 | ) | ||||||||||||||||
Deposits | 516 | 7,370 | (93.00 | ) | 2,002 | 33,235 | (93.98 | ) | ||||||||||||||||
Mandatorily redeemable capital stock | 1,807 | 1,950 | (7.33 | ) | 5,478 | 8,884 | (38.34 | ) | ||||||||||||||||
Cash collateral held and other borrowings | — | 242 | (100.00 | ) | 49 | 982 | (95.01 | ) | ||||||||||||||||
Total interest expense | $ | 225,678 | $ | 779,265 | (71.04 | )% | $ | 964,452 | $ | 2,554,482 | (62.24 | )% | ||||||||||||
Three months ended March 31, | ||||||||||||
Percentage | ||||||||||||
2010 | 2009 | Variance | ||||||||||
Interest Expense | ||||||||||||
Consolidated obligations-bonds | $ | 154,913 | $ | 343,707 | (54.93 | )% | ||||||
Consolidated obligations-discount notes | 9,657 | 89,378 | (89.20 | ) | ||||||||
Deposits | 892 | 777 | 14.80 | |||||||||
Mandatorily redeemable capital stock | 1,495 | 878 | 70.27 | |||||||||
Cash collateral held and other borrowings | — | 37 | (100.00 | ) | ||||||||
Total interest expense | $ | 166,957 | $ | 434,777 | (61.60 | )% | ||||||
85
92
Three months ended | Nine months ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Consolidated bonds and discount notes-Interest expense | ||||||||||||||||
Bonds-Interest expense before adjustment for swaps | $ | 343,175 | $ | 747,014 | $ | 1,167,845 | $ | 2,240,456 | ||||||||
Discount notes-Interest expense before adjustment for swaps | 31,647 | 141,309 | 173,702 | 559,153 | ||||||||||||
Net interest adjustment for interest rate swaps 1 | (151,467 | ) | (118,620 | ) | (384,624 | ) | (288,228 | ) | ||||||||
Total Consolidated bonds and discount notes-interest expense reported | $ | 223,355 | $ | 769,703 | $ | 956,923 | $ | 2,511,381 | ||||||||
Three months ended March 31, | ||||||||
2010 | 2009 | |||||||
Consolidated bonds and discount notes-Interest expense | ||||||||
Bonds-Interest expense before adjustment for swaps | $ | 328,657 | $ | 448,460 | ||||
Discount notes-Interest expense before adjustment for swaps | 9,657 | 89,618 | ||||||
Net interest adjustment for interest rate swaps1 | (173,744 | ) | (104,993 | ) | ||||
Total Consolidated bonds and discount notes-interest expense reported | $ | 164,570 | $ | 433,085 | ||||
1 | Interest portion only |
86
• | Member demand for advances and investment activity, the yields from advances and investments, and the cost of consolidated obligation debt that is issued by the Bank to fund advances and investments. | ||
• | The execution of interest rate swaps in the derivative market at a constant spread to LIBOR, in effect converting fixed-rate advances and fixed-rate debt to conventional adjustable-rate instruments indexed to LIBOR, results in an important intermediation for the Bank between the capital markets and the swap market. The intermediation has typically permitted the Bank to raise funds at lower costs than would otherwise be available through the issuance of simple fixed- or floating-rate debt in the capital markets. The FHLBNY deploys hedging strategies to protect future net interest income, but may reduce income in the short-run, although the FHLBNY expects them to benefit future periods. | ||
• | Income earned from assets funded by member capital and retained earnings, referred to as “deployed capital”, which are non-interest bearing, is another important contributor for the FHLBNY. |
8793
Three months ended March 31, | ||||||||||||
Percentage | ||||||||||||
2010 | 2009 | Variance | ||||||||||
Interest Income | ||||||||||||
Advances | $ | 149,640 | $ | 502,222 | (70.20 | )% | ||||||
Interest-bearing deposits | 830 | 8,918 | (90.69 | ) | ||||||||
Federal funds sold | 1,543 | 68 | NM | |||||||||
Available-for-sale securities | 5,764 | 8,519 | (32.34 | ) | ||||||||
Held-to-maturity securities | ||||||||||||
Long-term securities | 98,634 | 126,820 | (22.23 | ) | ||||||||
Certificates of deposit | — | 508 | (100.00 | ) | ||||||||
Mortgage loans held-for-portfolio | 16,741 | 19,104 | (12.37 | ) | ||||||||
Total interest income | 273,152 | 666,159 | (59.00 | ) | ||||||||
Interest Expense | ||||||||||||
Consolidated obligations-bonds | 154,913 | 343,707 | (54.93 | ) | ||||||||
Consolidated obligations-discount notes | 9,657 | 89,378 | (89.20 | ) | ||||||||
Deposits | 892 | 777 | 14.80 | |||||||||
Mandatorily redeemable capital stock | 1,495 | 878 | 70.27 | |||||||||
Cash collateral held and other borrowings | — | 37 | (100.00 | ) | ||||||||
Total interest expense | 166,957 | 434,777 | (61.60 | ) | ||||||||
Net interest income before provision for credit losses | $ | 106,195 | $ | 231,382 | (54.10 | )% | ||||||
94
88
Three months ended September 30, | ||||||||||||
Percentage | ||||||||||||
2009 | 2008 | Variance | ||||||||||
Interest Income | ||||||||||||
Advances | $ | 240,573 | $ | 678,896 | (64.56 | )% | ||||||
Interest-bearing deposits | 1,014 | 3,240 | (68.70 | ) | ||||||||
Federal funds sold | 1,864 | 21,316 | (91.26 | ) | ||||||||
Available-for-sale securities | 6,590 | 24,441 | (73.04 | ) | ||||||||
Held-to-maturity securities | ||||||||||||
Long-term securities | 111,232 | 138,412 | (19.64 | ) | ||||||||
Certificates of deposit | 851 | 51,287 | (98.34 | ) | ||||||||
Mortgage loans held-for-portfolio | 17,405 | 19,316 | (9.89 | ) | ||||||||
Loans to other FHLBanks and other | 1 | 30 | (96.67 | ) | ||||||||
Total interest income | 379,530 | 936,938 | (59.49 | ) | ||||||||
Interest Expense | ||||||||||||
Consolidated obligations-bonds | 191,708 | 628,394 | (69.49 | ) | ||||||||
Consolidated obligations-discount notes | 31,647 | 141,309 | (77.60 | ) | ||||||||
Deposits | 516 | 7,370 | (93.00 | ) | ||||||||
Mandatorily redeemable capital stock | 1,807 | 1,950 | (7.33 | ) | ||||||||
Cash collateral held and other borrowings | — | 242 | (100.00 | ) | ||||||||
Total interest expense | 225,678 | 779,265 | (71.04 | ) | ||||||||
Net interest income before provision for credit losses | $ | 153,852 | $ | 157,673 | (2.42 | )% | ||||||
Nine months ended September 30, | ||||||||||||
Percentage | ||||||||||||
2009 | 2008 | Variance | ||||||||||
Interest Income | ||||||||||||
Advances | $ | 1,094,089 | $ | 2,211,823 | (50.53 | )% | ||||||
Interest-bearing deposits | 19,054 | 17,086 | 11.52 | |||||||||
Federal funds sold | 1,933 | 69,921 | (97.24 | ) | ||||||||
Available-for-sale securities | 22,881 | 57,016 | (59.87 | ) | ||||||||
Held-to-maturity securities | ||||||||||||
Long-term securities | 355,916 | 396,660 | (10.27 | ) | ||||||||
Certificates of deposit | 1,392 | 212,525 | (99.35 | ) | ||||||||
Mortgage loans held-for-portfolio | 54,679 | 58,348 | (6.29 | ) | ||||||||
Loans to other FHLBanks and other | 1 | 33 | (96.97 | ) | ||||||||
Total interest income | 1,549,945 | 3,023,412 | (48.74 | ) | ||||||||
Interest Expense | ||||||||||||
Consolidated obligations-bonds | 783,695 | 1,952,228 | (59.86 | ) | ||||||||
Consolidated obligations-discount notes | 173,228 | 559,153 | (69.02 | ) | ||||||||
Deposits | 2,002 | 33,235 | (93.98 | ) | ||||||||
Mandatorily redeemable capital stock | 5,478 | 8,884 | (38.34 | ) | ||||||||
Cash collateral held and other borrowings | 49 | 982 | (95.01 | ) | ||||||||
Total interest expense | 964,452 | 2,554,482 | (62.24 | ) | ||||||||
Net interest income before provision for credit losses | $ | 585,493 | $ | 468,930 | 24.86 | % | ||||||
89
Three months ended | Nine months ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Interest Income | $ | 882,644 | $ | 1,108,278 | $ | 2,801,555 | $ | 3,363,536 | ||||||||
Net interest adjustment from interest rate swaps | (503,114 | ) | (171,340 | ) | (1,251,610 | ) | (340,124 | ) | ||||||||
Reported Interest Income | 379,530 | 936,938 | 1,549,945 | 3,023,412 | ||||||||||||
Interest Expense | 377,145 | 897,885 | 1,349,076 | 2,842,710 | ||||||||||||
Net interest adjustment from interest rate swaps | (151,467 | ) | (118,620 | ) | (384,624 | ) | (288,228 | ) | ||||||||
Reported Interest Expense | 225,678 | 779,265 | 964,452 | 2,554,482 | ||||||||||||
Net Interest income (Margin) | $ | 153,852 | $ | 157,673 | $ | 585,493 | $ | 468,930 | ||||||||
Net interest adjustment — interest rate swaps | $ | (351,647 | ) | $ | (52,720 | ) | $ | (866,986 | ) | $ | (51,896 | ) | ||||
90
95
Three months ended March 31, | ||||||||
2010 | 2009 | |||||||
Interest Income | $ | 803,433 | $ | 997,325 | ||||
Net interest adjustment from interest rate swaps | (530,281 | ) | (331,166 | ) | ||||
Reported interest income | 273,152 | 666,159 | ||||||
Interest Expense | 340,701 | 539,770 | ||||||
Net interest adjustment from interest rate swaps | (173,744 | ) | (104,993 | ) | ||||
Reported interest expense | 166,957 | 434,777 | ||||||
Net interest income (Margin) | $ | 106,195 | $ | 231,382 | ||||
Net interest adjustment — interest rate swaps | $ | (356,537 | ) | $ | (226,173 | ) | ||
1 | Net interest accruals of derivatives designated in a fair value or cash flow hedge qualifying under the derivatives and hedge accounting rules were recorded as adjustments to the interest income or interest expense of the hedged assets or liabilities, and had a significant impact on Net interest income. |
Three months ended September 30, 2009 | Three months ended September 30, 2008 | ||||||||||||||||||||||||||
Amount | ROA | Net Spread | Amount | ROA | Net Spread | ||||||||||||||||||||||
GAAP net interest income | $ | 153,852 | 0.51 | % | 0.45 | % | $ | 157,673 | 0.52 | % | 0.37 | % | |||||||||||||||
Interest income (expense) | |||||||||||||||||||||||||||
Swaps not designated in a hedging relationship | 19,141 | 0.06 | 0.07 | (20,745 | ) | (0.07 | ) | (0.07 | ) | ||||||||||||||||||
Economic net interest income | $ | 172,993 | 0.57 | % | 0.52 | % | $ | 136,928 | 0.45 | % | 0.30 | % | |||||||||||||||
Nine months ended September 30, 2009 | Nine months ended September 30, 2008 | Three months ended March 31, 2010 | Three months ended March 31, 2009 | |||||||||||||||||||||||||||||||||||||||||||||
Amount | ROA | Net Spread | Amount | ROA | Net Spread | Amount | ROA | Net Spread | Amount | ROA | Net Spread | |||||||||||||||||||||||||||||||||||||
GAAP net interest income | $ | 585,493 | 0.61 | % | 0.53 | % | $ | 468,930 | 0.55 | % | 0.37 | % | $ | 106,195 | 0.38 | % | 0.33 | % | $ | 231,382 | 0.70 | % | 0.60 | % | ||||||||||||||||||||||||
Interest income (expense) | ||||||||||||||||||||||||||||||||||||||||||||||||
Swaps not designated in a hedging relationship | (36,869 | ) | (0.03 | ) | (0.05 | ) | (36,915 | ) | (0.04 | ) | (0.05 | ) | 37,220 | 0.14 | 0.15 | (46,165 | ) | (0.14 | ) | (0.15 | ) | |||||||||||||||||||||||||||
Economic net interest income | $ | 548,624 | 0.58 | % | 0.48 | % | $ | 432,015 | 0.51 | % | 0.32 | % | $ | 143,415 | 0.52 | % | 0.48 | % | $ | 185,217 | 0.56 | % | 0.45 | % | ||||||||||||||||||||||||
9196
92
Three months ended | Three months ended March 31, | |||||||||||||||||||||||||||||||||||||||||||||||
September 30, 2009 | September 30, 2008 | 2010 | 2009 | |||||||||||||||||||||||||||||||||||||||||||||
Interest | Interest | Interest | Interest | |||||||||||||||||||||||||||||||||||||||||||||
Average | Income/ | Average | Income/ | Average | Income/ | Average | Income/ | |||||||||||||||||||||||||||||||||||||||||
(dollars in thousands) | Balance | Expense | Rate1 | Balance | Expense | Rate1 | Balance | Expense | Rate1 | Balance | Expense | Rate1 | ||||||||||||||||||||||||||||||||||||
Earning Assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Advances | $ | 96,703,710 | $ | 240,573 | 0.99 | % | $ | 93,245,965 | $ | 678,896 | 2.90 | % | $ | 91,414,698 | $ | 149,640 | 0.66 | % | $ | 105,343,748 | $ | 502,222 | 1.93 | % | ||||||||||||||||||||||||
Certificates of deposit and others | 4,105,978 | 1,866 | 0.18 | 7,759,515 | 54,527 | 2.80 | ||||||||||||||||||||||||||||||||||||||||||
Certificates of deposit and other | 2,261,163 | 830 | 0.15 | 3,193,686 | 2,062 | 0.26 | ||||||||||||||||||||||||||||||||||||||||||
Federal funds sold and other overnight funds | 5,105,043 | 1,864 | 0.14 | 3,911,620 | 21,316 | 2.17 | 5,371,946 | 1,543 | 0.12 | 11,584,490 | 7,432 | 0.26 | ||||||||||||||||||||||||||||||||||||
Investments | 12,907,450 | 117,822 | 3.62 | 13,548,202 | 162,853 | 4.78 | 12,412,612 | 104,398 | 3.41 | 12,721,259 | 135,339 | 4.31 | ||||||||||||||||||||||||||||||||||||
Mortgage and other loans | 1,360,907 | 17,405 | 5.07 | 1,464,801 | 19,346 | 5.25 | 1,299,588 | 16,741 | 5.22 | 1,449,902 | 19,104 | 5.34 | ||||||||||||||||||||||||||||||||||||
Total interest-earning assets | $ | 120,183,088 | $ | 379,530 | 1.25 | % | $ | 119,930,103 | $ | 936,938 | 3.11 | % | $ | 112,760,007 | $ | 273,152 | 0.98 | % | $ | 134,293,085 | $ | 666,159 | 2.01 | % | ||||||||||||||||||||||||
Funded By: | ||||||||||||||||||||||||||||||||||||||||||||||||
Consolidated obligations-bonds | $ | 69,604,012 | $ | 191,708 | 1.09 | $ | 86,739,278 | $ | 628,394 | 2.88 | $ | 74,296,820 | $ | 154,913 | 0.85 | $ | 76,543,358 | $ | 343,707 | 1.82 | ||||||||||||||||||||||||||||
Consolidated obligations-discount notes | 39,520,933 | 31,647 | 0.32 | 24,712,661 | 141,309 | 2.27 | 24,555,640 | 9,657 | 0.16 | 46,154,843 | 89,378 | 0.79 | ||||||||||||||||||||||||||||||||||||
Interest-bearing deposits and other borrowings | 2,084,189 | 516 | 0.10 | 1,672,191 | 7,612 | 1.81 | 5,051,351 | 892 | 0.07 | 1,823,898 | 814 | 0.18 | ||||||||||||||||||||||||||||||||||||
Mandatorily redeemable capital stock | 127,964 | 1,807 | 5.60 | 153,827 | 1,950 | 5.04 | 108,396 | 1,495 | 5.59 | 142,971 | 878 | 2.49 | ||||||||||||||||||||||||||||||||||||
Total interest-bearing liabilities | 111,337,098 | 225,678 | 0.80 | % | 113,277,957 | 779,265 | 2.74 | % | 104,012,207 | 166,957 | 0.65 | % | 124,665,070 | 434,777 | 1.41 | % | ||||||||||||||||||||||||||||||||
Capital and other non-interest- bearing funds | 8,845,990 | — | 6,652,146 | — | ||||||||||||||||||||||||||||||||||||||||||||
Capital and other non-interest-bearing funds | 8,747,800 | — | 9,628,015 | — | ||||||||||||||||||||||||||||||||||||||||||||
Total Funding | $ | 120,183,088 | $ | 225,678 | $ | 119,930,103 | $ | 779,265 | $ | 112,760,007 | $ | 166,957 | $ | 134,293,085 | $ | 434,777 | ||||||||||||||||||||||||||||||||
Net Interest Income/Spread | $ | 153,852 | 0.45 | % | $ | 157,673 | 0.37 | % | $ | 106,195 | 0.33 | % | $ | 231,382 | 0.60 | % | ||||||||||||||||||||||||||||||||
Net Interest Margin | ||||||||||||||||||||||||||||||||||||||||||||||||
(Net interest income/Earning Assets) | 0.51 | % | 0.52 | % | 0.38 | % | 0.70 | % | ||||||||||||||||||||||||||||||||||||||||
1 | Reported yields with respect to advances and debt may not necessarily equal the coupons on the instruments as derivatives are extensively used to change the yield and optionality characteristics of the underlying hedged items. When fixed-rate debt is issued by the Bank and hedged with an interest rate derivative, it effectively converts the debt into a simple floating-rate bond. Similarly, the Bank makes fixed-rate advances to members and hedges the advance with a pay-fixed, receive-variable interest rate derivative that effectively converts the fixed-rate asset to one that floats with prevailing LIBOR rates. Average balance sheet information is presented as it is more representative of activity throughout the periods presented. For most components of the average balances, a daily weighted average balance is calculated for the period. When daily weighted average balance information is not available, a simple monthly average balance is calculated. Average yields are derived by dividing income by the average balances of the related assets and average costs are derived by dividing expenses by the average balances of the related liabilities. Yields and rates are annualized. |
93
Nine months ended | ||||||||||||||||||||||||
September 30, 2009 | September 30, 2008 | |||||||||||||||||||||||
Interest | Interest | |||||||||||||||||||||||
Average | Income/ | Average | Income/ | |||||||||||||||||||||
(dollars in thousands) | Balance | Expense | Rate1 | Balance | Expense | Rate1 | ||||||||||||||||||
Earning Assets: | ||||||||||||||||||||||||
Advances | $ | 100,573,968 | $ | 1,094,089 | 1.45 | % | $ | 88,040,082 | $ | 2,211,823 | 3.36 | % | ||||||||||||
Certificates of deposit and others | 3,244,842 | 20,447 | 0.84 | 8,668,826 | 229,611 | 3.54 | ||||||||||||||||||
Federal funds sold and other overnight funds | 9,640,541 | 1,933 | 0.03 | 3,475,434 | 69,921 | 2.69 | ||||||||||||||||||
Investments | 12,660,109 | 378,797 | 4.00 | 12,191,208 | 453,676 | 4.97 | ||||||||||||||||||
Mortgage and other loans | 1,404,958 | 54,679 | 5.20 | 1,470,088 | 58,381 | 5.30 | ||||||||||||||||||
Total interest-earning assets | $ | 127,524,418 | $ | 1,549,945 | 1.62 | % | $ | 113,845,638 | $ | 3,023,412 | 3.55 | % | ||||||||||||
Funded By: | ||||||||||||||||||||||||
Consolidated obligations-bonds | $ | 71,387,598 | $ | 783,695 | 1.47 | $ | 78,654,860 | $ | 1,952,228 | 3.32 | ||||||||||||||
Consolidated obligations-discount notes | 44,783,185 | 173,228 | 0.52 | 26,281,678 | 559,153 | 2.84 | ||||||||||||||||||
Interest-bearing deposits and other borrowings | 2,040,807 | 2,051 | 0.13 | 2,044,758 | 34,217 | 2.24 | ||||||||||||||||||
Mandatorily redeemable capital stock | 135,084 | 5,478 | 5.42 | 174,156 | 8,884 | 6.81 | ||||||||||||||||||
Total interest-bearing liabilities | 118,346,674 | 964,452 | 1.09 | % | 107,155,452 | 2,554,482 | 3.18 | % | ||||||||||||||||
Capital and other non-interest- bearing funds | 9,177,744 | — | 6,690,186 | — | ||||||||||||||||||||
Total Funding | $ | 127,524,418 | $ | 964,452 | $ | 113,845,638 | $ | 2,554,482 | ||||||||||||||||
Net Interest Income/Spread | $ | 585,493 | 0.53 | % | $ | 468,930 | 0.37 | % | ||||||||||||||||
Net Interest Margin | ||||||||||||||||||||||||
(Net interest income/Earning Assets) | 0.61 | % | 0.55 | % | ||||||||||||||||||||
9497
Three months ended | ||||||||||||
September 30, 2009 vs. September 30, 2008 | ||||||||||||
Increase (decrease) | ||||||||||||
Volume | Rate | Total | ||||||||||
Interest Income | ||||||||||||
Advances | $ | 25,244 | $ | (463,567 | ) | $ | (438,323 | ) | ||||
Certificates of deposit and others | (25,744 | ) | (26,947 | ) | (52,691 | ) | ||||||
Federal funds sold and other overnight funds | 6,522 | (25,974 | ) | (19,452 | ) | |||||||
Investments | (7,724 | ) | (37,307 | ) | (45,031 | ) | ||||||
Mortgage loans and other loans | (1,376 | ) | (535 | ) | (1,911 | ) | ||||||
Total interest income | (3,078 | ) | (554,330 | ) | (557,408 | ) | ||||||
Interest Expense | ||||||||||||
Consolidated obligations-bonds | (124,479 | ) | (312,207 | ) | (436,686 | ) | ||||||
Consolidated obligations-discount notes | 84,907 | (194,569 | ) | (109,662 | ) | |||||||
Deposits and borrowings | 1,881 | (8,977 | ) | (7,096 | ) | |||||||
Mandatorily redeemable capital stock | (329 | ) | 186 | (143 | ) | |||||||
Total interest expense | (38,020 | ) | (515,567 | ) | (553,587 | ) | ||||||
Changes in Net Interest Income | $ | 34,942 | $ | (38,763 | ) | $ | (3,821 | ) | ||||
Nine months ended | For the three months ended | |||||||||||||||||||||||
September 30, 2009 vs. September 30, 2008 | March 31, 2010 vs. March 31, 2009 | |||||||||||||||||||||||
Increase (decrease) | Increase (decrease) | |||||||||||||||||||||||
Volume | Rate | Total | Volume | Rate | Total | |||||||||||||||||||
Interest Income | ||||||||||||||||||||||||
Advances | $ | 314,598 | $ | (1,432,332 | ) | $ | (1,117,734 | ) | $ | (59,098 | ) | $ | (293,484 | ) | $ | (352,582 | ) | |||||||
Certificates of deposit and others | (143,533 | ) | (65,664 | ) | (209,197 | ) | ||||||||||||||||||
Certificates of deposit and other | (497 | ) | (735 | ) | (1,232 | ) | ||||||||||||||||||
Federal funds sold and other overnight funds | 123,919 | (191,907 | ) | (67,988 | ) | (2,902 | ) | (2,987 | ) | (5,889 | ) | |||||||||||||
Investments | 17,433 | (92,312 | ) | (74,879 | ) | (3,212 | ) | (27,729 | ) | (30,941 | ) | |||||||||||||
Mortgage loans and other loans | (2,584 | ) | (1,085 | ) | (3,669 | ) | (1,944 | ) | (419 | ) | (2,363 | ) | ||||||||||||
Total interest income | 309,833 | (1,783,300 | ) | (1,473,467 | ) | (67,653 | ) | (325,354 | ) | (393,007 | ) | |||||||||||||
Interest Expense | ||||||||||||||||||||||||
Consolidated obligations-bonds | (180,209 | ) | (988,324 | ) | (1,168,533 | ) | (9,808 | ) | (178,986 | ) | (188,794 | ) | ||||||||||||
Consolidated obligations-discount notes | 393,265 | (779,190 | ) | (385,925 | ) | (29,495 | ) | (50,226 | ) | (79,721 | ) | |||||||||||||
Deposits and borrowings | (66 | ) | (32,100 | ) | (32,166 | ) | 792 | (714 | ) | 78 | ||||||||||||||
Mandatorily redeemable capital stock | (1,991 | ) | (1,415 | ) | (3,406 | ) | (256 | ) | 873 | 617 | ||||||||||||||
Total interest expense | 210,999 | (1,801,029 | ) | (1,590,030 | ) | (38,767 | ) | (229,053 | ) | (267,820 | ) | |||||||||||||
Changes in Net Interest Income | $ | 98,834 | $ | 17,729 | $ | 116,563 | $ | (28,886 | ) | $ | (96,301 | ) | $ | (125,187 | ) | |||||||||
9598
99
96
Three months ended | Nine months ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Other income (loss): | ||||||||||||||||
Service fees | $ | 1,101 | $ | 934 | $ | 3,181 | $ | 2,422 | ||||||||
Instruments held at fair value — Unrealized gain | 426 | 3,582 | 8,653 | 3,582 | ||||||||||||
Total OTTI losses | (30,169 | ) | — | (118,160 | ) | — | ||||||||||
Portion of loss recognized in other comprehensive income | 26,486 | — | 103,884 | — | ||||||||||||
Net impairment losses recognized in earnings | (3,683 | ) | — | (14,276 | ) | — | ||||||||||
Net realized and unrealized gain (loss) on derivatives and hedging activities | 59,639 | (25,515 | ) | 124,613 | (65,196 | ) | ||||||||||
Net realized gain from sale of available-for-sale and held-to-maturity securities | — | — | 721 | 1,058 | ||||||||||||
Provision for derivative counterparty credit losses | — | (64,523 | ) | — | (64,523 | ) | ||||||||||
Other | (39 | ) | 92 | 59 | (42 | ) | ||||||||||
Total other income (loss) | $ | 57,444 | $ | (85,430 | ) | $ | 122,951 | $ | (122,699 | ) | ||||||
97
Three months ended March 31, | ||||||||
2010 | 2009 | |||||||
Other income (loss): | ||||||||
Service fees | $ | 1,045 | $ | 985 | ||||
Instruments held at fair value-Unrealized (loss) gain | (8,419 | ) | 8,313 | |||||
Total OTTI losses | (3,873 | ) | (15,203 | ) | ||||
Portion of loss recognized in other comprehensive income | 473 | 9,938 | ||||||
Net impairment losses recognized in earnings | (3,400 | ) | (5,265 | ) | ||||
Net realized and unrealized (loss) on derivatives and hedging activities | (363 | ) | (13,666 | ) | ||||
Net realized gain from sale of available-for-sale securities | 708 | 440 | ||||||
Other | (227 | ) | 46 | |||||
Total other income (loss) | $ | (10,656 | ) | $ | (9,147 | ) | ||
September 30, 2009 | ||||||||||||||||||||||||||||||||||||||||||||
Insurer MBIA | Insurer Ambac | Uninsured | OTTI | Gross OTTI Losses | ||||||||||||||||||||||||||||||||||||||||
Security | Fair | Fair | Fair | Credit | Non-credit | Less than | More than | |||||||||||||||||||||||||||||||||||||
Classification | Count | UPB | Value | UPB | Value | UPB | Value | Loss | Loss | 12 months | 12 months | |||||||||||||||||||||||||||||||||
RMBS-Prime* | 1 | $ | — | $ | — | $ | — | $ | — | $ | 56,867 | $ | 54,687 | $ | (438 | ) | $ | (2,766 | ) | $ | (3,204 | ) | $ | — | ||||||||||||||||||||
HEL Subprime* | 14 | 35,616 | 20,653 | 181,995 | 117,651 | 62,461 | 38,392 | (13,838 | ) | (101,118 | ) | — | (114,956 | ) | ||||||||||||||||||||||||||||||
Total | 15 | $ | 35,616 | $ | 20,653 | $ | 181,995 | $ | 117,651 | $ | 119,328 | $ | 93,079 | $ | (14,276 | ) | $ | (103,884 | ) | $ | (3,204 | ) | $ | (114,956 | ) | |||||||||||||||||||
Q3 2009 activity | ||||||||||||||||||||||||||||||||||||||||||||
Insurer MBIA | Insurer Ambac | Uninsured | OTTI | Gross OTTI Losses | ||||||||||||||||||||||||||||||||||||||||
Security | Fair | Fair | Fair | Credit | Non-credit | Less than | More than | |||||||||||||||||||||||||||||||||||||
Classification | Count | UPB | Value | UPB | Value | UPB | Value | Loss | Loss | 12 months | 12 months | |||||||||||||||||||||||||||||||||
RMBS-Prime* | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||||||
HEL Subprime* | 10 | 13,304 | 7,680 | 121,435 | 79,700 | 62,460 | 38,392 | (3,683 | ) | (26,486 | ) | — | (30,169 | ) | ||||||||||||||||||||||||||||||
Total | 10 | $ | 13,304 | $ | 7,680 | $ | 121,435 | $ | 79,700 | $ | 62,460 | $ | 38,392 | $ | (3,683 | ) | $ | (26,486 | ) | $ | — | $ | (30,169 | ) | ||||||||||||||||||||
September 30, 2009 | ||||||||||||||||||||||||||||
Insurer MBIA | Cumulative OTTI Recorded | Additional | ||||||||||||||||||||||||||
No. of | Amortized | Carrying | Fair | Credit | Non-credit | Credit losses if zero | ||||||||||||||||||||||
Ratings | Securities | Cost Basis | Value | Value | Loss | Loss | insurance assumed | |||||||||||||||||||||
Impaired | 2 | $ | 30,242 | $ | 20,600 | 20,653 | $ | (5,370 | ) | $ | (10,075 | ) | $ | (1,036 | ) | |||||||||||||
Unimpaired | 1 | 2,948 | 2,948 | 2,337 | — | — | — | |||||||||||||||||||||
Total | 3 | $ | 33,189 | $ | 23,548 | $ | 22,990 | $ | (5,370 | ) | $ | (10,075 | ) | $ | (1,036 | ) | ||||||||||||
September 30, 2009 | ||||||||||||||||||||||||||||
Insurer Ambac | Cumulative OTTI Recorded | Additional | ||||||||||||||||||||||||||
No. of | Amortized | Carrying | Fair | Credit | Non-credit | Credit losses if zero | ||||||||||||||||||||||
Ratings | Securities | Cost Basis | Value | Value | Loss | Loss | insurance assumed | |||||||||||||||||||||
Impaired | 11 | $ | 174,462 | $ | 109,189 | 117,651 | $ | (7,411 | ) | $ | (68,040 | ) | $ | (5,804 | ) | |||||||||||||
Unimpaired | 2 | 36,400 | 36,400 | 22,853 | — | — | — | |||||||||||||||||||||
Total | 13 | $ | 210,862 | $ | 145,590 | $ | 140,504 | $ | (7,411 | ) | $ | (68,040 | ) | $ | (5,804 | ) | ||||||||||||
98
100
101
Three months ended | Nine months ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Earnings impact of derivatives and hedging activities gain (loss): | ||||||||||||||||
Derivatives designated as hedging instruments | ||||||||||||||||
Cash flow hedges-ineffectiveness | $ | — | $ | — | $ | — | $ | (9 | ) | |||||||
Fair value hedges-ineffectiveness | 349 | 11,863 | 13,080 | 6,240 | ||||||||||||
Derivatives not designated as hedging instruments | ||||||||||||||||
Economic hedges-fair value changes-options | 18,891 | (8,204 | ) | 49,557 | (6,152 | ) | ||||||||||
Net interest income-options | (1,786 | ) | (19 | ) | (3,731 | ) | 99 | |||||||||
Economic hedges-fair value changes-MPF delivery commitments | 47 | 141 | (49 | ) | 17 | |||||||||||
Fair value changes-economic hedges1 | 21,218 | (26,180 | ) | 105,769 | (46,108 | ) | ||||||||||
Net interest expense-economic hedges1 | 18,382 | (20,743 | ) | (37,708 | ) | (36,910 | ) | |||||||||
Balance sheet — Macro hedges swaps | 210 | 19,983 | 2,617 | 19,983 | ||||||||||||
Derivatives designated under fair value option | ||||||||||||||||
Fair value changes-interest rate swaps/Bonds | 2,328 | (2,356 | ) | (4,922 | ) | (2,356 | ) | |||||||||
Net impact on derivatives and hedging activities | $ | 59,639 | $ | (25,515 | ) | $ | 124,613 | $ | (65,196 | ) | ||||||
Three months ended March 31, | ||||||||
2010 | 2009 | |||||||
Earnings impact of derivatives and hedging activities gain (loss): | ||||||||
Derivatives designated as hedging instruments 2 | ||||||||
Cash flow hedges-ineffectiveness | $ | — | $ | — | ||||
Fair value hedges-ineffectiveness | 4,623 | 2,271 | ||||||
Derivatives not designated as hedging instruments | ||||||||
Economic hedges-fair value changes-options | (30,716 | ) | 1,221 | |||||
Net interest income-options | (1,989 | ) | (692 | ) | ||||
Economic hedges-fair value changes-MPF delivery commitments | 149 | 59 | ||||||
Fair value changes-economic hedges1 | (16,484 | ) | 35,065 | |||||
Net interest expense-economic hedges1 | 29,492 | (46,196 | ) | |||||
Balance sheet — Macro hedges swaps | 173 | 2,233 | ||||||
Derivatives matched to bonds designated under FVO | ||||||||
Fair value changes-interest rate swaps/bonds | 14,389 | (7,627 | ) | |||||
Net realized and unrealized (loss) on derivatives and hedging activities | $ | (363 | ) | $ | (13,666 | ) | ||
1 | Includes de minimis amount of net gains on member intermediated swaps. | |
2 | Net interest settlements from interest rate swaps hedging advances and consolidated obligations in a designated accounting relationship are recorded in interest income and interest expense. |
99
• | Hedge ineffectiveness from fair value | ||
• | Fair value changes of interest rate swaps designated in economic hedges of consolidated obligation debt, without the offsetting benefit of fair value changes of the hedged debt. | ||
• | Fair value changes of interest rate caps designated in economic hedges of GSE issued capped floating-rate MBS. Market pricing of the tenor and strikes of caps owned by the FHLBNY has fallen steeply at March 31, 2010, relative to December 31, 2009 primarily because of lower volatilities for such caps. As result, purchased caps are exhibiting fair value losses. The fair values of the caps, which stood at $41.1 million at March 31, 2010, will ultimately decline to zero if the caps are held to their contractual maturities. | ||
• | Swap income or expense, primarily swap interest accruals, associated with swaps designated as economic hedges. |
102
100
• | |||
• | Interest rate swaps hedging balance sheet risk. | ||
• | Interest rate swaps hedging discount |
• | Interest rate |
103
104
Three months ended | Nine months ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
Accumulated other comprehensive income/(loss) from cash flow hedges | 2009 | 2008 | 2009 | 2008 | ||||||||||||
Beginning of period | $ | (26,402 | ) | $ | (33,698 | ) | $ | (30,191 | ) | $ | (30,215 | ) | ||||
Net hedging transactions | — | 61 | — | (6,100 | ) | |||||||||||
Reclassified into earnings | 1,898 | 1,667 | 5,687 | 4,345 | ||||||||||||
End of period | $ | (24,504 | ) | $ | (31,970 | ) | $ | (24,504 | ) | $ | (31,970 | ) | ||||
101
Three months ended March 31, | ||||||||
Accumulated other comprehensive income/(loss) from cash flow hedges | 2010 | 2009 | ||||||
Beginning of period | $ | (22,683 | ) | $ | (30,191 | ) | ||
Net hedging transactions | 392 | — | ||||||
Reclassified into earnings | 1,740 | 1,879 | ||||||
End of period | $ | (20,551 | ) | $ | (28,312 | ) | ||
105
Three months ended September 30, | Nine months ended September 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Other expenses: | ||||||||||||||||
Operating | $ | 17,810 | $ | 16,549 | $ | 53,970 | $ | 49,489 | ||||||||
Finance Agency and Office of Finance | 1,834 | 1,350 | 5,663 | 4,268 | ||||||||||||
Total other expenses | $ | 19,644 | $ | 17,899 | $ | 59,633 | $ | 53,757 | ||||||||
102
Three months ended March 31, | ||||||||
2010 | 2009 | |||||||
Other expenses: | ||||||||
Operating | $ | 19,236 | $ | 18,094 | ||||
Finance Agency and Office of Finance | 2,418 | 1,967 | ||||||
Total other expenses | $ | 21,654 | $ | 20,061 | ||||
Three months ended September 30, | ||||||||||||||||
Percentage of | Percentage of | |||||||||||||||
2009 | total | 2008 | total | |||||||||||||
Salaries and employee benefits | $ | 12,075 | 67.80 | % | $ | 11,134 | 67.28 | % | ||||||||
Temporary workers | 3 | 0.02 | 115 | 0.69 | ||||||||||||
Occupancy | 1,128 | 6.33 | 1,092 | 6.60 | ||||||||||||
Depreciation and leasehold amortization | 1,369 | 7.69 | 1,217 | 7.35 | ||||||||||||
Computer service agreements and contractual services | 1,395 | 7.83 | 945 | 5.71 | ||||||||||||
Professional and legal fees | 356 | 2.00 | 642 | 3.88 | ||||||||||||
Other* | 1,484 | 8.33 | 1,404 | 8.49 | ||||||||||||
Total operating expenses | $ | 17,810 | 100.00 | % | $ | 16,549 | 100.00 | % | ||||||||
Nine months ended September 30, | Three months ended March 31, | |||||||||||||||||||||||||||||||
Percentage of | Percentage of | Percentage of | Percentage of | |||||||||||||||||||||||||||||
2009 | total | 2008 | total | 2010 | total | 2009 | Total | |||||||||||||||||||||||||
Salaries and employee benefits | $ | 36,036 | 66.77 | % | $ | 33,515 | 67.72 | % | $ | 12,894 | 67.03 | % | $ | 12,088 | 66.81 | % | ||||||||||||||||
Temporary workers | 128 | 0.24 | 220 | 0.44 | 39 | 0.20 | 103 | 0.57 | ||||||||||||||||||||||||
Occupancy | 3,273 | 6.06 | 3,097 | 6.26 | 1,062 | 5.52 | 1,056 | 5.83 | ||||||||||||||||||||||||
Depreciation and leasehold amortization | 4,020 | 7.45 | 3,575 | 7.22 | 1,366 | 7.10 | 1,324 | 7.32 | ||||||||||||||||||||||||
Computer service agreements and contractual services | 4,670 | 8.65 | 3,162 | 6.39 | 1,901 | 9.88 | 1,462 | 8.08 | ||||||||||||||||||||||||
Professional and legal fees | 1,144 | 2.12 | 1,604 | 3.24 | 542 | 2.82 | 449 | 2.48 | ||||||||||||||||||||||||
Other* | 4,699 | 8.71 | 4,316 | 8.73 | ||||||||||||||||||||||||||||
Other * | 1,432 | 7.45 | 1,612 | 8.91 | ||||||||||||||||||||||||||||
Total operating expenses | $ | 53,970 | 100.00 | % | $ | 49,489 | 100.00 | % | $ | 19,236 | 100.00 | % | $ | 18,094 | 100.00 | % | ||||||||||||||||
* | Other primarily |
103106
Net change in | Net change in | |||||||||||||||
(Dollars in thousands) | September 30, 2009 | December 31, 2008 | dollar amount | percentage | ||||||||||||
Assets | ||||||||||||||||
Cash and due from banks | $ | 1,189,158 | $ | 18,899 | $ | 1,170,259 | NM | % | ||||||||
Interest-bearing deposits | — | 12,169,096 | (12,169,096 | ) | (100.00 | ) | ||||||||||
Federal funds sold | 3,900,000 | — | 3,900,000 | 100.00 | ||||||||||||
Available-for-sale securities | 2,362,592 | 2,861,869 | (499,277 | ) | (17.45 | ) | ||||||||||
Held-to-maturity securities | ||||||||||||||||
Long-term securities | 10,478,027 | 10,130,543 | 347,484 | 3.43 | ||||||||||||
Certificates of deposit | 2,000,000 | 1,203,000 | 797,000 | 66.25 | ||||||||||||
Advances | 95,944,732 | 109,152,876 | (13,208,144 | ) | (12.10 | ) | ||||||||||
Mortgage loans held-for-portfolio | 1,336,228 | 1,457,885 | (121,657 | ) | (8.34 | ) | ||||||||||
Accrued interest receivable | 354,934 | 492,856 | (137,922 | ) | (27.98 | ) | ||||||||||
Premises, software, and equipment | 14,596 | 13,793 | 803 | 5.82 | ||||||||||||
Derivative assets | 9,092 | 20,236 | (11,144 | ) | (55.07 | ) | ||||||||||
Other assets | 14,957 | 18,838 | (3,881 | ) | (20.60 | ) | ||||||||||
Total assets | $ | 117,604,316 | $ | 137,539,891 | $ | (19,935,575 | ) | (14.49 | )% | |||||||
Liabilities | ||||||||||||||||
Deposits | ||||||||||||||||
Interest-bearing demand | $ | 2,255,403 | $ | 1,333,750 | $ | 921,653 | 69.10 | % | ||||||||
Non-interest bearing demand | 4,968 | 828 | 4,140 | 500.00 | ||||||||||||
Term | 15,600 | 117,400 | (101,800 | ) | (86.71 | ) | ||||||||||
Total deposits | 2,275,971 | 1,451,978 | 823,993 | 56.75 | ||||||||||||
Consolidated obligations | ||||||||||||||||
Bonds | 69,670,836 | 82,256,705 | (12,585,869 | ) | (15.30 | ) | ||||||||||
Discount notes | 38,385,244 | 46,329,906 | (7,944,662 | ) | (17.15 | ) | ||||||||||
Total consolidated obligations | 108,056,080 | 128,586,611 | (20,530,531 | ) | (15.97 | ) | ||||||||||
Mandatorily redeemable capital stock | 127,882 | 143,121 | (15,239 | ) | (10.65 | ) | ||||||||||
Accrued interest payable | 337,221 | 426,144 | (88,923 | ) | (20.87 | ) | ||||||||||
Affordable Housing Program | 144,822 | 122,449 | 22,373 | 18.27 | ||||||||||||
Payable to REFCORP | 38,692 | 4,780 | 33,912 | 709.46 | ||||||||||||
Derivative liabilities | 871,744 | 861,660 | 10,084 | 1.17 | ||||||||||||
Other liabilities | 91,115 | 75,753 | 15,362 | 20.28 | ||||||||||||
Total liabilities | 111,943,527 | 131,672,496 | (19,728,969 | ) | (14.98 | ) | ||||||||||
Capital | 5,660,789 | 5,867,395 | (206,606 | ) | (3.52 | ) | ||||||||||
Total liabilities and capital | $ | 117,604,316 | $ | 137,539,891 | $ | (19,935,575 | ) | (14.49 | )% | |||||||
Net change in | Net change in | |||||||||||||||
(Dollars in thousands) | March 31, 2010 | December 31, 2009 | dollar amount | percentage | ||||||||||||
Assets | ||||||||||||||||
Cash and due from banks | $ | 1,167,824 | $ | 2,189,252 | $ | (1,021,428 | ) | (46.66 | )% | |||||||
Federal funds sold | 3,130,000 | 3,450,000 | (320,000 | ) | (9.28 | ) | ||||||||||
Available-for-sale securities | 2,654,814 | 2,253,153 | 401,661 | 17.83 | ||||||||||||
Held-to-maturity securities | ||||||||||||||||
Long-term securities | 9,776,282 | 10,519,282 | (743,000 | ) | (7.06 | ) | ||||||||||
Advances | 88,858,753 | 94,348,751 | (5,489,998 | ) | (5.82 | ) | ||||||||||
Mortgage loans held-for-portfolio | 1,287,770 | 1,317,547 | (29,777 | ) | (2.26 | ) | ||||||||||
Accrued interest receivable | 320,730 | 340,510 | (19,780 | ) | (5.81 | ) | ||||||||||
Premises, software, and equipment | 14,046 | 14,792 | (746 | ) | (5.04 | ) | ||||||||||
Derivative assets | 9,246 | 8,280 | 966 | 11.67 | ||||||||||||
Other assets | 19,761 | 19,339 | 422 | 2.18 | ||||||||||||
Total assets | $ | 107,239,226 | $ | 114,460,906 | $ | (7,221,680 | ) | (6.31 | )% | |||||||
Liabilities | ||||||||||||||||
Deposits | ||||||||||||||||
Interest-bearing demand | $ | 7,942,668 | $ | 2,616,812 | $ | 5,325,856 | NM | % | ||||||||
Non-interest bearing demand | 6,254 | 6,499 | (245 | ) | (3.77 | ) | ||||||||||
Term | 28,000 | 7,200 | 20,800 | NM | ||||||||||||
Total deposits | 7,976,922 | 2,630,511 | 5,346,411 | NM | ||||||||||||
Consolidated obligations | ||||||||||||||||
Bonds | 72,408,203 | 74,007,978 | (1,599,775 | ) | (2.16 | ) | ||||||||||
Discount notes | 19,815,956 | 30,827,639 | (11,011,683 | ) | (35.72 | ) | ||||||||||
Total consolidated obligations | 92,224,159 | 104,835,617 | (12,611,458 | ) | (12.03 | ) | ||||||||||
Mandatorily redeemable capital stock | 105,192 | 126,294 | (21,102 | ) | (16.71 | ) | ||||||||||
Accrued interest payable | 330,715 | 277,788 | 52,927 | 19.05 | ||||||||||||
Affordable Housing Program | 145,660 | 144,489 | 1,171 | 0.81 | ||||||||||||
Payable to REFCORP | 13,873 | 24,234 | (10,361 | ) | (42.75 | ) | ||||||||||
Derivative liabilities | 850,911 | 746,176 | 104,735 | 14.04 | ||||||||||||
Other liabilities | 216,168 | 72,506 | 143,662 | NM | ||||||||||||
Total liabilities | 101,863,600 | 108,857,615 | (6,994,015 | ) | (6.42 | ) | ||||||||||
Capital | 5,375,626 | 5,603,291 | (227,665 | ) | (4.06 | ) | ||||||||||
Total liabilities and capital | $ | 107,239,226 | $ | 114,460,906 | $ | (7,221,680 | ) | (6.31 | )% | |||||||
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105109
106110
September 30, 2009 | December 31, 2008 | |||||||||||||||
Percentage | Percentage | |||||||||||||||
Amounts | of total | Amounts | of total | |||||||||||||
Adjustable Rate Credit — ARCs | $ | 15,529,850 | 16.95 | % | $ | 20,205,850 | 19.55 | % | ||||||||
Fixed Rate Advances | 72,008,539 | 78.61 | 71,860,685 | 69.51 | ||||||||||||
Short-Term Advances | 1,927,110 | 2.10 | 7,793,500 | 7.54 | ||||||||||||
Mortgage Matched Advances | 600,018 | 0.66 | 693,559 | 0.67 | ||||||||||||
Overnight Line of Credit (OLOC) Advances | 631,095 | 0.69 | 2,039,423 | 1.97 | ||||||||||||
All other categories | 905,397 | 0.99 | 786,710 | 0.76 | ||||||||||||
Total par value | 91,602,009 | 100.00 | % | 103,379,727 | 100.00 | % | ||||||||||
Discount on AHP Advances | (275 | ) | (330 | ) | ||||||||||||
Hedging adjustments | 4,342,998 | 5,773,479 | ||||||||||||||
Total | $ | 95,944,732 | $ | 109,152,876 | ||||||||||||
March 31, 2010 | December 31, 2009 | |||||||||||||||
Percentage | Percentage | |||||||||||||||
Amounts | of total | Amounts | of total | |||||||||||||
Adjustable Rate Credit — ARCs | $ | 12,838,850 | 15.09 | % | $ | 14,100,850 | 15.54 | % | ||||||||
Fixed Rate Advances | 67,956,476 | 79.86 | 71,943,468 | 79.29 | ||||||||||||
Short-Term Advances | 1,979,178 | 2.33 | 2,173,321 | 2.39 | ||||||||||||
Mortgage Matched Advances | 583,597 | 0.68 | 606,883 | 0.67 | ||||||||||||
Overnight Line of Credit (OLOC) Advances | 734,835 | 0.86 | 926,517 | 1.02 | ||||||||||||
All other categories | 1,002,240 | 1.18 | 986,661 | 1.09 | ||||||||||||
Total par value | 85,095,176 | 100.00 | % | 90,737,700 | 100.00 | % | ||||||||||
Discount on AHP Advances | (244 | ) | (260 | ) | ||||||||||||
Hedging adjustments | 3,763,821 | 3,611,311 | ||||||||||||||
Total | $ | 88,858,753 | $ | 94,348,751 | ||||||||||||
Adjustable Rate Advances (“ARC Advances”)— ARC advances have declined steadily through 2009 and that trend has continued into the 2010 first quarter, as demand has remained weak. Generally, the FHLBNY’s larger members have been the more significant borrowers of ARCs. |
ARC advances are medium- and long-term loans that can be linked to a variety of indices, such as 1-month LIBOR, 3-month LIBOR, the Federal funds rate, or Prime. Members use ARC advances to manage interest rate and basis risks by efficiently matching the interest rate index and repricing characteristics of floating-rate assets. The interest rate is set and reset (depending upon the maturity of the advance and the type of index) at a spread to that designated index. Principal is due at maturity and interest payments are due at each reset date, including the final payment date. |
Fixed-rate Advances— |
Member demand for fixed-rate advance was very soft in the 2010 first quarter, and it appears that members are uncertain about locking into long-term advances perhaps because of unfavorable pricing of longer-term advances, or an uncertain outlook over the direction and timing of interest rate changes, or lukewarm demand from members’ customer base for fixed-rate loans. The decline in demand for fixed-rate advances has been |
111
A significant component of Fixed-rate advances is putable |
107
Fixed-rate advances are flexible funding tools that can be used by members to meet short- to long-term liquidity needs. Terms vary from two days to 30 years. |
Member demand for the competitively priced putable advances |
Short-term Advances— Demand for Short-term fixed-rate advances has remained very weak in the |
Overnight Line of Credit (“OLOC Advances”) —Overnight borrowings trend seen in 2009. Member demand for the OLOC Advances may also reflect the seasonal needs of certain member banks for their short-term liquidity requirements. Some large members also use OLOC advances to adjust their balance sheet in line with their own leverage targets. |
The OLOC program gives members a short-term, flexible, readily accessible revolving line of credit for immediate liquidity needs. OLOC Advances mature on the
|
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113
109
114
115
116
March 31, | December 31, | Dollar | Percentage | |||||||||||||
2010 | 2009 | Variance | Variance | |||||||||||||
State and local housing finance agency obligations1 | $ | 749,841 | $ | 751,751 | $ | (1,910 | ) | (0.25 | )% | |||||||
Mortgage-backed securities | ||||||||||||||||
Available-for-sale securities, at fair value | 2,641,921 | 2,240,564 | 401,357 | 17.91 | ||||||||||||
Held-to-maturity securities, at carrying value | 9,026,441 | 9,767,531 | (741,090 | ) | (7.59 | ) | ||||||||||
12,418,203 | 12,759,846 | (341,643 | ) | (2.68 | ) | |||||||||||
Grantor trusts2 | 12,893 | 12,589 | 304 | 2.41 | ||||||||||||
Federal funds sold | 3,130,000 | 3,450,000 | (320,000 | ) | (9.28 | ) | ||||||||||
Total investments | $ | 15,561,096 | $ | 16,222,435 | $ | (661,339 | ) | (4.08 | )% | |||||||
110
111
September 30, 2009 | ||||||||||||||||||||||||||||||||||||||||||||
Insurer MBIA | Insurer Ambac | Uninsured | OTTI | Gross OTTI Losses | ||||||||||||||||||||||||||||||||||||||||
Security | Fair | Fair | Fair | Credit | Non-credit | Less than | More than | |||||||||||||||||||||||||||||||||||||
Classification | Count | UPB | Value | UPB | Value | UPB | Value | Loss | Loss | 12 months | 12 months | |||||||||||||||||||||||||||||||||
RMBS-Prime* | 1 | $ | — | $ | — | $ | — | $ | — | $ | 56,867 | $ | 54,687 | $ | (438 | ) | $ | (2,766 | ) | $ | (3,204 | ) | $ | — | ||||||||||||||||||||
HEL Subprime* | 14 | 35,616 | 20,653 | 181,995 | 117,651 | 62,461 | 38,392 | (13,838 | ) | (101,118 | ) | — | (114,956 | ) | ||||||||||||||||||||||||||||||
Total | 15 | $ | 35,616 | $ | 20,653 | $ | 181,995 | $ | 117,651 | $ | 119,328 | $ | 93,079 | $ | (14,276 | ) | $ | (103,884 | ) | $ | (3,204 | ) | $ | (114,956 | ) | |||||||||||||||||||
grantor trusts | ||
Q3 2009 activity | ||||||||||||||||||||||||||||||||||||||||||||
Insurer MBIA | Insurer Ambac | Uninsured | OTTI | Gross OTTI Losses | ||||||||||||||||||||||||||||||||||||||||
Security | Fair | Fair | Fair | Credit | Non-credit | Less than | More than | |||||||||||||||||||||||||||||||||||||
Classification | Count | UPB | Value | UPB | Value | UPB | Value | Loss | Loss | 12 months | 12 months | |||||||||||||||||||||||||||||||||
RMBS-Prime* | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||||||
HEL Subprime* | 10 | 13,304 | 7,680 | 121,435 | 79,700 | 62,460 | 38,392 | (3,683 | ) | (26,486 | ) | — | (30,169 | ) | ||||||||||||||||||||||||||||||
Total | 10 | $ | 13,304 | $ | 7,680 | $ | 121,435 | $ | 79,700 | $ | 62,460 | $ | 38,392 | $ | (3,683 | ) | $ | (26,486 | ) | $ | — | $ | (30,169 | ) | ||||||||||||||||||||
112
September 30, | December 31, | Dollar | Percentage | |||||||||||||
2009 | 2008 | Variance | Variance | |||||||||||||
State and local housing agency obligations1 | $ | 791,187 | $ | 804,100 | $ | (12,913 | ) | (1.61 | )% | |||||||
Mortgage-backed securities | ||||||||||||||||
Available-for-sale securities, at fair value | 2,350,308 | 2,851,682 | (501,374 | ) | (17.58 | ) | ||||||||||
Held-to-maturity securities, at carrying value | 9,686,840 | 9,326,443 | 360,397 | 3.86 | ||||||||||||
12,828,335 | 12,982,225 | (153,890 | ) | (1.19 | ) | |||||||||||
Grantor trusts2 | 12,284 | 10,187 | 2,097 | 20.59 | ||||||||||||
Certificates of deposit1 | 2,000,000 | 1,203,000 | 797,000 | 66.25 | ||||||||||||
Federal funds sold | 3,900,000 | — | 3,900,000 | NA | ||||||||||||
Total investments | $ | 18,740,619 | $ | 14,195,412 | $ | 4,545,207 | 32.02 | % | ||||||||
March 31, | Percentage | December 31, | Percentage | |||||||||||||
2010 | of total | 2009 | of total | |||||||||||||
U.S. government sponsored enterprise residential mortgage-backed securities | $ | 7,648,745 | 84.73 | % | $ | 8,482,139 | 86.84 | % | ||||||||
U.S. agency residential mortgage-backed securities | 150,882 | 1.67 | 171,531 | 1.76 | ||||||||||||
U.S. government sponsored enterprise commercial mortgage-backed securities | 174,048 | 1.93 | — | — | ||||||||||||
U.S. agency commercial mortgage-backed securities | 49,342 | 0.55 | 49,526 | 0.51 | ||||||||||||
Private-label issued securities backed by home equity loans | 400,172 | 4.43 | 417,151 | 4.27 | ||||||||||||
Private-label issued residential mortgage-backed securities | 407,552 | 4.52 | 444,906 | 4.55 | ||||||||||||
Private-label issued securities backed by manufactured housing loans | 195,700 | 2.17 | 202,278 | 2.07 | ||||||||||||
Total Held-to-maturity securities-mortgage-backed securities | $ | 9,026,441 | 100.00 | % | $ | 9,767,531 | 100.00 | % | ||||||||
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March 31, | Percentage | December 31, | Percentage | |||||||||||||
2010 | of total | 2009 | of total | |||||||||||||
Fannie Mae | $ | 1,949,487 | 73.79 | % | $ | 1,544,500 | 68.93 | % | ||||||||
Freddie Mac | 692,434 | 26.21 | 696,064 | 31.07 | ||||||||||||
Total AFS mortgage-backed securities | 2,641,921 | 100.00 | % | 2,240,564 | 100.00 | % | ||||||||||
Grantor Trusts — Mutual funds | 12,893 | 12,589 | ||||||||||||||
Total Available-for-sale portfolio | $ | 2,654,814 | $ | 2,253,153 | ||||||||||||
118
March 31, 2010 | ||||||||||||||||||||||||
Below | ||||||||||||||||||||||||
Investment | ||||||||||||||||||||||||
AAA-rated | AA-rated | A-rated | BBB-rated | Grade | Total | |||||||||||||||||||
Long-term securities | ||||||||||||||||||||||||
Mortgage-backed securities | $ | 8,488,404 | $ | 198,230 | $ | 153,756 | $ | 29,719 | $ | 156,332 | $ | 9,026,441 | ||||||||||||
State and local housing finance agency obligations | 72,172 | 600,019 | 21,430 | 56,220 | — | 749,841 | ||||||||||||||||||
Total Long-term securities | 8,560,576 | 798,249 | 175,186 | 85,939 | 156,332 | 9,776,282 | ||||||||||||||||||
Short-term securities | ||||||||||||||||||||||||
Certificates of deposit | — | — | — | — | — | — | ||||||||||||||||||
Total | $ | 8,560,576 | $ | 798,249 | $ | 175,186 | $ | 85,939 | $ | 156,332 | $ | 9,776,282 | ||||||||||||
December 31, 2009 | ||||||||||||||||||||||||
Below | ||||||||||||||||||||||||
Investment | ||||||||||||||||||||||||
AAA-rated | AA-rated | A-rated | BBB-rated | Grade | Total | |||||||||||||||||||
Long-term securities | �� | |||||||||||||||||||||||
Mortgage-backed securities | $ | 9,205,018 | $ | 299,314 | $ | 65,921 | $ | 31,261 | $ | 166,017 | $ | 9,767,531 | ||||||||||||
State and local housing finance agency obligations | 72,992 | 601,109 | 21,430 | 56,220 | — | 751,751 | ||||||||||||||||||
Total Long-term securities | 9,278,010 | 900,423 | 87,351 | 87,481 | 166,017 | 10,519,282 | ||||||||||||||||||
Short-term securities | ||||||||||||||||||||||||
Certificates of deposit | — | — | — | — | — | — | ||||||||||||||||||
Total | $ | 9,278,010 | $ | 900,423 | $ | 87,351 | $ | 87,481 | $ | 166,017 | $ | 10,519,282 | ||||||||||||
March 31, 2010 | ||||||||||||||||||||||||
AAA-rated | AA-rated | A-rated | BBB-rated | Unrated | Total | |||||||||||||||||||
Available-for-sale securities | ||||||||||||||||||||||||
Mortgage-backed securities | $ | 2,641,921 | $ | — | $ | — | $ | — | $ | — | $ | 2,641,921 | ||||||||||||
Other — Grantor trusts | — | — | — | — | 12,893 | 12,893 | ||||||||||||||||||
Total | $ | 2,641,921 | $ | — | $ | — | $ | — | $ | 12,893 | $ | 2,654,814 | ||||||||||||
December 31, 2009 | ||||||||||||||||||||||||
AAA-rated | AA-rated | A-rated | BBB-rated | Unrated | Total | |||||||||||||||||||
Available-for-sale securities | ||||||||||||||||||||||||
Mortgage-backed securities | $ | 2,240,564 | $ | — | $ | — | $ | — | $ | — | $ | 2,240,564 | ||||||||||||
Other — Grantor trusts | — | — | — | — | 12,589 | 12,589 | ||||||||||||||||||
Total | $ | 2,240,564 | $ | — | $ | — | $ | — | $ | 12,589 | $ | 2,253,153 | ||||||||||||
119
March 31, 2010 | December 31, 2009 | |||||||||||||||
Amortized | Weighted | Amortized | Weighted | |||||||||||||
Cost | Average rate | Cost | Average rate | |||||||||||||
Mortgage-backed securities | ||||||||||||||||
Due in one year or less | $ | — | — | % | — | — | % | |||||||||
Due after one year through five years | 2,380 | 6.25 | 2,663 | 6.25 | ||||||||||||
Due after five years through ten years | 1,236,112 | 4.69 | 1,140,153 | 4.78 | ||||||||||||
Due after ten years | 10,524,060 | 3.08 | 10,977,950 | 3.21 | ||||||||||||
Total mortgage-backed securities | $ | 11,762,552 | 3.25 | % | $ | 12,120,766 | 3.36 | % | ||||||||
120
121
122
March 31, 2010 | December 31, 2009 | |||||||||||||||
Percentage | Percentage | |||||||||||||||
Amount | of Total | Amount | of Total | |||||||||||||
Real Estate: | ||||||||||||||||
Fixed medium-term single-family mortgages | $ | 370,316 | 28.72 | % | $ | 388,072 | 29.43 | % | ||||||||
Fixed long-term single-family mortgages | 915,447 | 70.98 | 926,856 | 70.27 | ||||||||||||
Multi-family mortgages | 3,881 | 0.30 | 3,908 | 0.30 | ||||||||||||
Total par value | 1,289,644 | 100.00 | % | 1,318,836 | 100.00 | % | ||||||||||
Unamortized premiums | 8,853 | 9,095 | ||||||||||||||
Unamortized discounts | (5,209 | ) | (5,425 | ) | ||||||||||||
Basis adjustment1 | (339 | ) | (461 | ) | ||||||||||||
Total mortgage loans held-for-portfolio | 1,292,949 | 1,322,045 | ||||||||||||||
Allowance for credit losses | (5,179 | ) | (4,498 | ) | ||||||||||||
Total mortgage loans held-for-portfolio after allowance for credit losses | $ | 1,287,770 | $ | 1,317,547 | ||||||||||||
1 | ||
113
September 30, | Percentage | December 31, | Percentage | |||||||||||||
2009 | of total | 2008 | of total | |||||||||||||
U.S. government sponsored enterprise residential mortgage-backed securities | $ | 8,303,785 | 85.72 | % | $ | 7,577,036 | 81.24 | % | ||||||||
U.S. agency residential mortgage-backed securities | 187,470 | 1.94 | 6,325 | 0.07 | ||||||||||||
U.S. agency commercial mortgage-backed securities | 49,706 | 0.51 | — | — | ||||||||||||
Private-label issued securities backed by home equity loans | 454,461 | 4.69 | 636,466 | 6.83 | ||||||||||||
Private-label issued residential mortgage-backed securities | 482,874 | 4.99 | 609,908 | 6.54 | ||||||||||||
Private-label issued commercial mortgage-backed securities | — | — | 266,994 | 2.86 | ||||||||||||
Private-label issued securities backed by manufactured housing loans | 208,544 | 2.15 | 229,714 | 2.46 | ||||||||||||
Total Held-to-maturity securities-mortgage-backed securities | $ | 9,686,840 | 100.00 | % | $ | 9,326,443 | 100.00 | % | ||||||||
September 30, | Percentage | December 31, | Percentage | |||||||||||||
2009 | of total | 2008 | of total | |||||||||||||
Fannie Mae | $ | 1,626,069 | 69.19 | % | $ | 1,854,988 | 65.05 | % | ||||||||
Freddie Mac | 724,239 | 30.81 | 996,694 | 34.95 | ||||||||||||
Total AFS mortgage-backed securities | 2,350,308 | 100.00 | % | 2,851,682 | 100.00 | % | ||||||||||
Grantor Trusts — Mutual funds | 12,284 | 10,187 | ||||||||||||||
Total Available-for-sale portfolio | $ | 2,362,592 | $ | 2,861,869 | ||||||||||||
114
September 30, 2009 | ||||||||||||||||||||||||
Amortized | Gross | Gross | ||||||||||||||||||||||
Cost | OTTI | Carrying | Unrecognized | Unrecognized | Fair | |||||||||||||||||||
Issued, guaranteed or insured | Basis | in OCI | Value | Holding Gains | Holding Losses | Value | ||||||||||||||||||
Pools of Mortgages | ||||||||||||||||||||||||
Fannie Mae | $ | 1,194,202 | $ | — | $ | 1,194,202 | $ | 47,563 | $ | — | $ | 1,241,765 | ||||||||||||
Freddie Mac | 354,212 | — | 354,212 | 15,657 | — | 369,869 | ||||||||||||||||||
Total pools of mortgages | 1,548,414 | — | 1,548,414 | 63,220 | — | 1,611,634 | ||||||||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||||||||||
Fannie Mae | 2,370,747 | — | 2,370,747 | 70,184 | (4,176 | ) | 2,436,755 | |||||||||||||||||
Freddie Mac | 4,384,624 | — | 4,384,624 | 132,871 | (7,914 | ) | 4,509,581 | |||||||||||||||||
Ginnie Mae | 187,470 | — | 187,470 | 148 | (1,432 | ) | 186,186 | |||||||||||||||||
Total CMOs/REMICs | 6,942,841 | — | 6,942,841 | 203,203 | (13,522 | ) | 7,132,522 | |||||||||||||||||
Ginnie Mae-CMBS | 49,706 | — | 49,706 | 263 | — | 49,969 | ||||||||||||||||||
Non-GSE MBS | ||||||||||||||||||||||||
CMOs/REMICs | 485,419 | (2,545 | ) | 482,874 | 2,533 | (10,732 | ) | 474,675 | ||||||||||||||||
Commercial mortgage-backed securities | — | — | — | — | — | — | ||||||||||||||||||
Total non-federal-agency MBS | 485,419 | (2,545 | ) | 482,874 | 2,533 | (10,732 | ) | 474,675 | ||||||||||||||||
Asset-Backed Securities | ||||||||||||||||||||||||
Manufactured housing (insured) | 208,544 | — | 208,544 | — | (46,536 | ) | 162,008 | |||||||||||||||||
Home equity loans (insured) | 324,833 | (74,915 | ) | 249,918 | 8,515 | (34,559 | ) | 223,874 | ||||||||||||||||
Home equity loans (uninsured) | 227,546 | (23,003 | ) | 204,543 | — | (44,662 | ) | 159,881 | ||||||||||||||||
Total asset-backed securities | 760,923 | (97,918 | ) | 663,005 | 8,515 | (125,757 | ) | 545,763 | ||||||||||||||||
Total mortgage-backed securities | $ | 9,787,303 | $ | (100,463 | ) | $ | 9,686,840 | $ | 277,734 | $ | (150,011 | ) | $ | 9,814,563 | ||||||||||
Other | ||||||||||||||||||||||||
State and local housing finance agency obligations | 791,187 | — | 791,187 | 5,325 | (14,527 | ) | 781,985 | |||||||||||||||||
Certificates of deposit | 2,000,000 | — | 2,000,000 | 3 | — | 2,000,003 | ||||||||||||||||||
Total other | $ | 2,791,187 | $ | — | $ | 2,791,187 | $ | 5,328 | $ | (14,527 | ) | $ | 2,781,988 | |||||||||||
115
December 31, 2008 | ||||||||||||||||
Amortized | Gross | Gross | ||||||||||||||
Cost | Unrealized | Unrealized | Fair | |||||||||||||
Issued, guaranteed or insured | Basis | Holding Gains | Holding Losses | Value | ||||||||||||
Pools of Mortgages | ||||||||||||||||
Fannie Mae | $ | 1,400,058 | $ | 26,789 | $ | — | $ | 1,426,847 | ||||||||
Freddie Mac | 422,088 | 7,860 | — | 429,948 | ||||||||||||
Total pools of mortgages | 1,822,146 | 34,649 | — | 1,856,795 | ||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||
Fannie Mae | 2,032,051 | 51,138 | (125 | ) | 2,083,064 | |||||||||||
Freddie Mac | 3,722,840 | 101,595 | (30 | ) | 3,824,405 | |||||||||||
Ginnie Mae | 6,325 | — | (187 | ) | 6,138 | |||||||||||
Total CMOs/REMICs | 5,761,216 | 152,733 | (342 | ) | 5,913,607 | |||||||||||
Ginnie Mae-CMBS | — | — | — | — | ||||||||||||
Non-GSE MBS | ||||||||||||||||
CMOs/REMICs | 609,907 | — | (42,706 | ) | 567,201 | |||||||||||
Commercial mortgage-backed securities | 266,994 | 149 | (127 | ) | 267,016 | |||||||||||
Total non-federal-agency MBS | 876,901 | 149 | (42,833 | ) | 834,217 | |||||||||||
Asset-Backed Securities | ||||||||||||||||
Manufactured housing (insured) | 229,714 | — | (75,418 | ) | 154,296 | |||||||||||
Home equity loans (insured) | 376,587 | — | (144,957 | ) | 231,630 | |||||||||||
Home equity loans (uninsured) | 259,879 | — | (79,112 | ) | 180,767 | |||||||||||
Total asset-backed securities | 866,180 | — | (299,487 | ) | 566,693 | |||||||||||
Total mortgage-backed securities | $ | 9,326,443 | $ | 187,531 | $ | (342,662 | ) | $ | 9,171,312 | |||||||
Other | ||||||||||||||||
State and local housing finance agency obligations | 804,100 | 6,573 | (47,512 | ) | 763,161 | |||||||||||
Certificates of deposit | 1,203,000 | 328 | — | 1,203,328 | ||||||||||||
Total other | $ | 2,007,100 | $ | 6,901 | $ | (47,512 | ) | $ | 1,966,489 | |||||||
116
September 30, 2009 | ||||||||||||||||||||||||
Below | ||||||||||||||||||||||||
Investment | ||||||||||||||||||||||||
AAA-rated | AA-rated | A-rated | BBB-rated | Grade | Total | |||||||||||||||||||
Long-term securities | ||||||||||||||||||||||||
Mortgage-backed securities | $ | 9,078,224 | $ | 315,823 | $ | 72,762 | $ | 32,564 | $ | 187,467 | $ | 9,686,840 | ||||||||||||
State and local housing bonds | 73,313 | 638,509 | 23,145 | 56,220 | — | 791,187 | ||||||||||||||||||
Total Long-term securities | 9,151,537 | 954,332 | 95,907 | 88,784 | 187,467 | 10,478,027 | ||||||||||||||||||
Short-term securities | ||||||||||||||||||||||||
Certificates of deposit | — | 1,000,000 | 1,000,000 | — | — | 2,000,000 | ||||||||||||||||||
Total | $ | 9,151,537 | $ | 1,954,332 | $ | 1,095,907 | $ | 88,784 | $ | 187,467 | $ | 12,478,027 | ||||||||||||
December 31, 2008 | ||||||||||||||||||||
AAA-rated | AA-rated | A-rated | BBB-rated | Total | ||||||||||||||||
Long-term securities | ||||||||||||||||||||
Mortgage-backed securities | $ | 8,705,952 | $ | 229,714 | $ | 192,678 | $ | 198,099 | $ | 9,326,443 | ||||||||||
State and local housing bonds | 74,881 | 672,999 | — | 56,220 | 804,100 | |||||||||||||||
Total Long-term securities | 8,780,833 | 902,713 | 192,678 | 254,319 | 10,130,543 | |||||||||||||||
Short-term securities Certificates of deposit | — | 628,000 | 575,000 | — | 1,203,000 | |||||||||||||||
Total | $ | 8,780,833 | $ | 1,530,713 | $ | 767,678 | $ | 254,319 | $ | 11,333,543 | ||||||||||
September 30, 2009 | ||||||||||||||||||||||||
AAA-rated | AA-rated | A-rated | BBB-rated | Unrated | Total | |||||||||||||||||||
Available-for-sale securities | ||||||||||||||||||||||||
Mortgage-backed securities | $ | 2,350,308 | $ | — | $ | — | $ | — | $ | — | $ | 2,350,308 | ||||||||||||
Other — Grantor trusts | — | — | — | — | 12,284 | 12,284 | ||||||||||||||||||
Total | $ | 2,350,308 | $ | — | $ | — | $ | — | $ | 12,284 | $ | 2,362,592 | ||||||||||||
December 31, 2008 | ||||||||||||||||||||||||
AAA-rated | AA-rated | A-rated | BBB-rated | Unrated | Total | |||||||||||||||||||
Available-for-sale securities | ||||||||||||||||||||||||
Mortgage-backed securities | $ | 2,851,682 | $ | — | $ | — | $ | — | $ | — | $ | 2,851,682 | ||||||||||||
Other — Grantor trusts | — | — | — | — | 10,187 | 10,187 | ||||||||||||||||||
Total | $ | 2,851,682 | $ | — | $ | — | $ | — | $ | 10,187 | $ | 2,861,869 | ||||||||||||
117
118
September 30, 2009 | December 31, 2008 | |||||||||||||||
Amortized | Fair | Amortized | Fair | |||||||||||||
Cost Basis | Value | Cost Basis | Value | |||||||||||||
State and local housing agency obligations | ||||||||||||||||
Due in one year or less | $ | — | $ | — | $ | — | $ | — | ||||||||
Due after one year through five years | 14,985 | 15,191 | 17,665 | 18,209 | ||||||||||||
Due after five years through ten years | 62,065 | 63,002 | 60,400 | 55,060 | ||||||||||||
Due after ten years | 714,137 | 703,792 | 726,035 | 689,892 | ||||||||||||
State and local housing agency obligations | 791,187 | 781,985 | 804,100 | 763,161 | ||||||||||||
Mortgage-backed securities | ||||||||||||||||
Due in one year or less | — | — | 257,999 | 258,120 | ||||||||||||
Due after one year through five years | 2,872 | 2,839 | — | — | ||||||||||||
Due after five years through ten years | 1,147,404 | 1,183,248 | 1,142,000 | 1,149,541 | ||||||||||||
Due after ten years | 8,637,027 | 8,628,476 | 7,926,444 | 7,763,651 | ||||||||||||
Mortgage-backed securities | 9,787,303 | 9,814,563 | 9,326,443 | 9,171,312 | ||||||||||||
Certificates of deposit | ||||||||||||||||
Due in one year or less | 2,000,000 | 2,000,003 | 1,203,000 | 1,203,328 | ||||||||||||
Certificates of deposit | 2,000,000 | 2,000,003 | 1,203,000 | 1,203,328 | ||||||||||||
Total held-to-maturity securities | $ | 12,578,490 | $ | 12,596,551 | $ | 11,333,543 | $ | 11,137,801 | ||||||||
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September 30, 2009 | December 31, 2008 | |||||||||||||||
Percentage of | Percentage of | |||||||||||||||
Amount | Total | Amount | Total | |||||||||||||
Real Estate: | ||||||||||||||||
Fixed medium-term single-family mortgages | $ | 406,055 | 30.38 | % | $ | 467,845 | 32.15 | % | ||||||||
Fixed long-term single-family mortgages | 926,537 | 69.32 | 983,493 | 67.58 | ||||||||||||
Multi-family mortgages | 3,934 | 0.30 | 4,009 | 0.27 | ||||||||||||
Total par value | 1,336,526 | 100.00 | % | 1,455,347 | 100.00 | % | ||||||||||
Unamortized premiums | 9,257 | 10,662 | ||||||||||||||
Unamortized discounts | (5,641 | ) | (6,310 | ) | ||||||||||||
Basis adjustment1 | (556 | ) | (408 | ) | ||||||||||||
Total mortgage loans held-for-portfolio | 1,339,586 | 1,459,291 | ||||||||||||||
Allowance for credit losses | (3,358 | ) | (1,406 | ) | ||||||||||||
Total mortgage loans held-for-portfolio after allowance for credit losses | $ | 1,336,228 | $ | 1,457,885 | ||||||||||||
Represents fair value basis of open and closed delivery commitments. |
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September 30, 2009 | December 31, 2008 | |||||||||||||||
Percentage of | Percentage of | |||||||||||||||
Amount | Total | Amount | Total | |||||||||||||
Fixed-rate, non-callable | $ | 47,549,475 | 69.14 | % | $ | 36,367,875 | 44.92 | % | ||||||||
Fixed-rate, callable | 4,839,800 | 7.04 | 4,828,300 | 5.96 | ||||||||||||
Step Up, non-callable | 73,000 | 0.10 | — | — | ||||||||||||
Step Up, callable | 2,192,500 | 3.19 | 73,000 | 0.09 | ||||||||||||
Step Down, callable | — | — | 15,000 | 0.02 | ||||||||||||
Single-index floating rate | 14,117,500 | 20.53 | 39,670,000 | 49.01 | ||||||||||||
Total par value | 68,772,275 | 100.00 | % | 80,954,175 | 100.00 | % | ||||||||||
Bond premiums | 112,091 | 63,737 | ||||||||||||||
Bond discounts | (34,980 | ) | (39,529 | ) | ||||||||||||
Fair value basis adjustments | 817,374 | 1,254,523 | ||||||||||||||
Fair value basis adjustments on terminated hedges | 3,108 | 7,857 | ||||||||||||||
Fair value option valuation adjustments and accrued interest | 968 | 15,942 | ||||||||||||||
Total bonds | $ | 69,670,836 | $ | 82,256,705 | ||||||||||||
March 31, 2010 | December 31, 2009 | |||||||||||||||
Percentage of | Percentage of | |||||||||||||||
Amount | Total | Amount | Total | |||||||||||||
Fixed-rate, non-callable | $ | 46,480,125 | 64.82 | % | $ | 48,647,625 | 66.31 | % | ||||||||
Fixed-rate, callable | 9,959,800 | 13.89 | 8,374,800 | 11.42 | ||||||||||||
Step Up, non-callable | — | — | 53,000 | 0.07 | ||||||||||||
Step Up, callable | 2,871,000 | 4.01 | 3,305,000 | 4.51 | ||||||||||||
Single-index floating rate | 12,392,500 | 17.28 | 12,977,500 | 17.69 | ||||||||||||
Total par value | 71,703,425 | 100.00 | % | 73,357,925 | 100.00 | % | ||||||||||
Bond premiums | 108,123 | 112,866 | ||||||||||||||
Bond discounts | (31,714 | ) | (33,852 | ) | ||||||||||||
Fair value basis adjustments | 619,530 | 572,537 | ||||||||||||||
Fair value basis adjustments on terminated hedges | 3,226 | 2,761 | ||||||||||||||
Fair value option valuation adjustments and accrued interest | 5,613 | (4,259 | ) | |||||||||||||
Total bonds | $ | 72,408,203 | $ | 74,007,978 | ||||||||||||
126128
• | Discount notes— Discount notes outstanding at March 31, 2010 stood at $19.8 billion, averaging $24.6 billion in the 2010 first quarter. In contrast, at December 31, 2009, discount notes totaled $30.8 billion, averaging $41.5 billion in 2009. | ||
The FHLBNY has also stopped it’s issuance of overnight discount notes, in part because of shortage of a ready source of a risk-free overnight asset to fund profitably, in part as a result of worsening pricing of overnight discount note, and in part because the FHLBNY has determined that term discount notes would better match its regulatory liquidity profile. | |||
• | Floating rate bonds— Floating-rate bonds have declined steadily through the four quarters in 2009 and in the 2010 first quarter. Generally, maturing bonds were not replaced because of marketplace perception of a pricing advantage of comparable GSE issued LIBOR-indexed floaters. FHLBank floating-rate bonds outstanding at March 31, 2010 totaled $12.4 billion, consisting primarily of LIBOR-indexed bonds. Outstanding amounts also included $4.6 billion of bonds indexed to the Prime and the Federal funds effective rates. By executing interest rate swaps concurrently with the issuances of the floating-rate bonds and swapping the non 3-month LIBOR indices for 3-month LIBOR, the Bank effectively created variable funding that was indexed to 3-month LIBOR. | ||
• | Non-callable bonds— Non-callable bonds were the primary funding vehicle for the FHLBNY in the 2010 first quarter and in 2009. Issuances of non-callable debt are predicated partly on pricing of such debt and investor demand, and partly on the need to achieve asset/liability management goals. The Bank has made a strong effort to issue fixed-rate longer-term debt and lock-in the relative low rates in the current interest-rate environment. This has been a challenge as investor appetite for term debt has continued to be lukewarm, given investor preference for discount notes, short-term bullets and short lock-out callable debt. | ||
• | Callable-bonds— In the 2010 first quarter, investors were receptive to the FHLBank callable bonds as an alternative to comparable debt available in the capital markets. Execution pricing of short duration callable bonds, relative to 3-month LIBOR, did not fare as poorly as discount notes with equivalent term to maturity. Fixed-rate callable bonds with a one-year maturity and a short lockout call option has been the more popular FHLBank bond structure in the 2010 first quarter. Responding to investor preference, the FHLBNY has issued short lockout callables, with call dates as short as 3 months from issue date. Such debt structures offer an alternative at an attractive pricing to similar maturity discount notes. FHLBank longer-term fixed-rate callable-bonds have not been an attractive investment asset for investors over the last several years, and continued to be under price pressure in the 2010 first quarter. |
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129131
Floating-rate debt— At March 31, 2010 and at December 31, 2009, the FHLBNY had hedged $6.1 billion and $8.0 billion of floating-rate bonds that were indexed to interest rates other than 3-month LIBOR by entering into swap agreements with derivative counterparties that synthetically converted the floating rate debt cash flows to 3-month LIBOR. |
Fixed-rate debt— At March 31, 2010 and December 31, 2009, the FHLBNY had hedged $13.5 billion and $13.1 billion of short-term fixed-rate debt compared. |
FVO economic hedge— At March 31, 2010 and December 31, 2009, the FHLBNY had hedged $6.8 billion and $6.0 billion of short-term bonds designated under the FVO. |
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September 30, 2009 | December 31, 2008 | |||||||
Par value | $ | 38,406,688 | $ | 46,431,347 | ||||
Amortized cost | $ | 38,385,244 | $ | 46,329,545 | ||||
Fair value basis adjustments | — | 361 | ||||||
Total | $ | 38,385,244 | $ | 46,329,906 | ||||
Weighted average interest rate | 0.26 | % | 1.00 | % | ||||
March 31, 2010 | December 31, 2009 | |||||||
Par value | $ | 19,821,867 | $ | 30,838,104 | ||||
Amortized cost | $ | 19,815,956 | $ | 30,827,639 | ||||
Fair value basis adjustments | — | — | ||||||
Total | $ | 19,815,956 | $ | 30,827,639 | ||||
Weighted average interest rate | 0.15 | % | 0.15 | % | ||||
133
131
132134
Three months ended September 30, | Nine months ended September 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Beginning balance | $ | 128,254 | $ | 169,302 | $ | 143,121 | $ | 238,596 | ||||||||
Capital stock subject to mandatory redemption reclassified from equity | 434 | — | 434 | 64,759 | ||||||||||||
Redemption of mandatorily redeemable capital stock 1 | (806 | ) | (25,804 | ) | (15,673 | ) | (159,857 | ) | ||||||||
Ending balance | $ | 127,882 | $ | 143,498 | $ | 127,882 | $ | 143,498 | ||||||||
Accrued interest payable | $ | 1,807 | $ | 2,513 | $ | 1,807 | $ | 2,513 | ||||||||
Three months ended March 31, | ||||||||
2010 | 2009 | |||||||
Beginning balance | $ | 126,294 | $ | 143,121 | ||||
Capital stock subject to mandatory redemption reclassified from equity | 1,410 | — | ||||||
Redemption of mandatorily redeemable capital stock1 | (22,512 | ) | (3,160 | ) | ||||
Ending balance | $ | 105,192 | $ | 139,961 | ||||
Accrued interest payable | $ | 1,495 | $ | 1,058 | ||||
1 | Redemption includes repayment of excess stock. |
133135
134136
September 30, 2009 | December 31, 2008 | |||||||||||
Derivatives/Terms | Hedging Strategy | Accounting Designation | Notional Amount | Notional Amount | ||||||||
Pay fixed, receive floating interest rate swap | To convert fixed rate on a fixed rate advance to a LIBOR floating rate | Economic Hedge of fair value risk | $ | 142 | $ | 618 | ||||||
Pay fixed, receive floating interest rate swap cancelable by counterparty | To convert fixed rate on a fixed rate advance to a LIBOR floating rate putable advance | Fair Value Hedge | $ | 40,590 | $ | 41,824 | ||||||
Pay fixed, receive floating interest rate swap no longer cancelable by counterparty | To convert fixed rate on a fixed rate advance to a LIBOR floating rate no-longer putable | Fair Value Hedge | $ | 2,329 | $ | 1,405 | ||||||
Pay fixed, receive floating interest rate swap non-cancelable | To convert fixed rate on a fixed rate advance to a LIBOR floating rate non-putable | Fair Value Hedge | $ | 23,407 | $ | 18,444 | ||||||
Purchased interest rate cap | To offset the cap embedded in the variable rate advance | Economic Hedge of fair value risk | $ | 390 | $ | 465 | ||||||
Receive fixed, pay floating interest rate swap | To convert fixed rate consolidated obligation bond debt to a LIBOR floating rate | Economic Hedge of fair value risk | $ | 12,948 | $ | 4,515 | ||||||
Receive fixed, pay floating interest rate swap cancelable by counterparty | To convert fixed rate consolidated obligation bond debt to a LIBOR floating rate callable bond | Fair Value Hedge | $ | 5,758 | $ | 2,148 | ||||||
Receive fixed, pay floating interest rate swap no longer cancelable | To convert fixed rate consolidated obligation bond debt to a LIBOR floating rate no-longer callable | Fair Value Hedge | $ | 448 | $ | 373 | ||||||
Receive fixed, pay floating interest rate swap non-cancelable | To convert fixed rate consolidated obligation bond debt to a LIBOR floating rate non-callable | Fair Value Hedge | $ | 24,887 | $ | 19,609 | ||||||
Receive fixed, pay floating interest rate swap (non-callable) | To convert the fixed rate consolidated obligation discount note debt to a LIBOR floating rate. | Fair Value Hedge | $ | — | $ | 779 | ||||||
Receive fixed, pay floating interest rate swap (non-callable) | To convert the fixed rate consolidated obligation discount note debt to a LIBOR floating rate. | Economic Hedge of fair value risk | $ | 7,526 | $ | 7,509 | ||||||
Basis swap | To convert non-LIBOR index to LIBOR to reduce interest rate sensitivity and repricing gaps. | Economic Hedge of cash flows | $ | 3,785 | $ | 14,360 | ||||||
Basis swap | To convert 1M LIBOR index to 3M LIBOR to reduce interest rate sensitivity and repricing gaps. | Economic Hedge of cash flows | $ | 5,840 | $ | 10,590 | ||||||
Receive fixed, pay floating interest rate swap no longer cancelable | Fixed rate callable bond converted to a LIBOR floating rate; matched to callable bond accounted for under fair value option. | Fair Value Option | $ | — | $ | 400 | ||||||
Receive fixed, pay floating interest rate swap with an option to call at the swap counterparty’s option | Fixed rate callable bond converted to a LIBOR floating rate; matched to callable bond accounted for under fair value option. | Fair Value Option | $ | 2,385 | $ | 583 | ||||||
Pay fixed, receive floating interest rate swap | Economic hedge on the Balance Sheet | Economic Hedge | $ | 1,050 | $ | 1,050 | ||||||
Receive fixed, pay floating interest rate swap | Economic hedge on the Balance Sheet | Economic Hedge | $ | 1,050 | $ | 1,050 | ||||||
Purchased interest rate cap | Economic hedge on the Balance Sheet | Economic Hedge | $ | 1,892 | $ | 1,892 | ||||||
Intermediary positions Interest rate swaps and caps | To offset interest rate swaps and caps executed with members by executing offsetting derivatives with counterparties | Economic Hedge of fair value risk | $ | 280 | $ | 300 |
December 31, 2009 | ||||||||||||
March 31, 2010 Notional | Notional Amount | |||||||||||
Derivatives/Terms | Hedging Strategy | Accounting Designation | Amount (in millions) | (in millions) | ||||||||
Pay fixed, receive floating interest rate swap | To convert fixed rate on a fixed rate advance to a LIBOR floating rate | Economic Hedge of fair value risk | $ | 107 | $ | 123 | ||||||
Pay fixed, receive floating interest rate swap cancelable by counterparty | To convert fixed rate on a fixed rate advance to a LIBOR floating rate putable advance | Fair Value Hedge | $ | 37,361 | $ | 40,252 | ||||||
Pay fixed, receive floating interest rate swap no longer cancelable by counterparty | To convert fixed rate on a fixed rate advance to a LIBOR floating rate no-longer putable | Fair Value Hedge | $ | 2,533 | $ | 2,283 | ||||||
Pay fixed, receive floating interest rate swap non-cancelable | To convert fixed rate on a fixed rate advance to a LIBOR floating rate non-putable | Fair Value Hedge | $ | 23,387 | $ | 23,367 | ||||||
Purchased interest rate cap | To offset the cap embedded in the variable rate advance | Economic Hedge of fair value risk | $ | 278 | $ | 390 | ||||||
Receive fixed, pay floating interest rate swap | To convert fixed rate consolidated obligation bond debt to a LIBOR floating rate | Economic Hedge of fair value risk | $ | 13,483 | $ | 13,113 | ||||||
Receive fixed, pay floating interest rate swap cancelable by counterparty | To convert fixed rate consolidated obligation bond debt to a LIBOR floating rate callable bond | Fair Value Hedge | $ | 7,996 | $ | 6,785 | ||||||
Receive fixed, pay floating interest rate swap no longer cancelable | To convert fixed rate consolidated obligation bond debt to a LIBOR floating rate no-longer callable | Fair Value Hedge | $ | 290 | $ | 108 | ||||||
Receive fixed, pay floating interest rate swap non-cancelable | To convert fixed rate consolidated obligation bond debt to a LIBOR floating rate non-callable | Fair Value Hedge | $ | 24,554 | $ | 25,982 | ||||||
Receive fixed, pay floating interest rate swap (non-callable) | To convert the fixed rate consolidated obligation discount note debt to a LIBOR floating rate | Economic Hedge of fair value risk | $ | 1,664 | $ | 3,784 | ||||||
Pay fixed, receive LIBOR interest rate swap | To offset the variability of cash flows associated with interest payments on forecasted issuance of fixed rate consolidated obligation debt | Cash flow hedge | $ | 150 | $ | — | ||||||
Basis swap | To convert non-LIBOR index to LIBOR to reduce interest rate sensitivity and repricing gaps | Economic Hedge of cash flows | $ | 4,625 | $ | 6,035 | ||||||
Basis swap | To convert 1M LIBOR index to 3M LIBOR to reduce interest rate sensitivity and repricing gaps | Economic Hedge of cash flows | $ | 1,450 | $ | 1,950 | ||||||
Receive fixed, pay floating interest rate swap cancelable by counterparty | Fixed rate callable bond converted to a LIBOR floating rate; matched to callable bond accounted for under fair value option | Fair Value Option | $ | 6,425 | $ | 5,690 | ||||||
Receive fixed, pay floating interest rate swap non-cancelable | Fixed rate callable bond converted to a LIBOR floating rate; matched to non-callable bond accounted for under fair value option | Fair Value Option | $ | 350 | $ | 350 | ||||||
Pay fixed, receive floating interest rate swap | Economic hedge on the Balance Sheet | Economic Hedge | $ | — | $ | 1,050 | ||||||
Receive fixed, pay floating interest rate swap | Economic hedge on the Balance Sheet | Economic Hedge | $ | — | $ | 1,050 | ||||||
Purchased interest rate cap | Economic hedge on the Balance Sheet | Economic Hedge | $ | 1,892 | $ | 1,892 | ||||||
Intermediary positions Interest rate swaps and caps | To offset interest rate swaps and caps executed with members by executing offsetting derivatives with counterparties | Economic Hedge of fair value risk | $ | 330 | $ | 320 |
135137
September 30, 2009 | December 31, 2008 | |||||||||||||||
Estimated | Estimated | |||||||||||||||
Notional | Fair Value | Notional | Fair Value | |||||||||||||
Interest rate swaps | ||||||||||||||||
Derivatives in fair value hedging relationships | $ | 97,418,662 | $ | (3,547,978 | ) | $ | 84,582,796 | $ | (4,531,004 | ) | ||||||
Total derivatives designated as hedging instruments | $ | 97,418,662 | $ | (3,547,978 | ) | $ | 84,582,796 | $ | (4,531,004 | ) | ||||||
Derivatives not designated as hedging instruments | 32,341,126 | 50,183 | 39,691,142 | (76,412 | ) | |||||||||||
Derivatives designated under fair value option | 2,385,000 | 1,874 | 983,000 | 7,699 | ||||||||||||
Interest rate caps/floors | ||||||||||||||||
Economic-fair value changes | 2,282,000 | 58,777 | 2,357,000 | 8,174 | ||||||||||||
Mortgage delivery commitments (MPF) | ||||||||||||||||
Economic-fair value changes | 11,843 | 35 | 10,395 | (108 | ) | |||||||||||
Other | ||||||||||||||||
Intermediation | 280,000 | 295 | 300,000 | 484 | ||||||||||||
Total | $ | 134,718,631 | $ | (3,436,814 | ) | $ | 127,924,333 | $ | (4,591,167 | ) | ||||||
Total derivatives, excluding accrued interest | $ | (3,436,814 | ) | $ | (4,591,167 | ) | ||||||||||
Cash collateral pledged to counteparties | 2,534,261 | 3,836,370 | ||||||||||||||
Cash collateral received from counterparties | — | (61,209 | ) | |||||||||||||
Accrued interest | 39,901 | (25,418 | ) | |||||||||||||
Net derivative balance | $ | (862,652 | ) | $ | (841,424 | ) | ||||||||||
Net derivative asset balance | $ | 9,092 | $ | 20,236 | ||||||||||||
Net derivative liability balance | (871,744 | ) | (861,660 | ) | ||||||||||||
Net derivative balance | $ | (862,652 | ) | $ | (841,424 | ) | ||||||||||
March 31, 2010 | December 31, 2009 | |||||||||||||||
Estimated | Estimated | |||||||||||||||
Notional | Fair Value | Notional | Fair Value | |||||||||||||
Interest rate swaps | ||||||||||||||||
Derivatives in fair value hedging relationships | $ | 96,121,663 | $ | (3,159,736 | ) | $ | 98,776,447 | $ | (3,056,718 | ) | ||||||
Derivatives in cash flow hedging relationships | 150,000 | 324 | — | — | ||||||||||||
Derivatives not designated as hedging instruments | 21,328,821 | 21,284 | 27,104,963 | 31,723 | ||||||||||||
Derivatives matching bonds designated under FVO | 6,775,000 | 4,006 | 6,040,000 | (2,632 | ) | |||||||||||
Interest rate caps/floors | ||||||||||||||||
Economic-fair value changes | 2,170,000 | 41,067 | 2,282,000 | 71,494 | ||||||||||||
Mortgage delivery commitments (MPF) | ||||||||||||||||
Economic-fair value changes | 3,249 | 9 | 4,210 | (39 | ) | |||||||||||
Other | ||||||||||||||||
Intermediation | 330,000 | 349 | 320,000 | 352 | ||||||||||||
Total | $ | 126,878,733 | $ | (3,092,697 | ) | $ | 134,527,620 | $ | (2,955,820 | ) | ||||||
Total derivatives, excluding accrued interest | $ | (3,092,697 | ) | $ | (2,955,820 | ) | ||||||||||
Cash collateral pledged to counterparties | 2,233,154 | 2,237,028 | ||||||||||||||
Cash collateral received from counterparties | — | — | ||||||||||||||
Accrued interest | 17,878 | (19,104 | ) | |||||||||||||
Net derivative balance | $ | (841,665 | ) | $ | (737,896 | ) | ||||||||||
Net derivative asset balance | $ | 9,246 | $ | 8,280 | ||||||||||||
Net derivative liability balance | (850,911 | ) | (746,176 | ) | ||||||||||||
Net derivative balance | $ | (841,665 | ) | $ | (737,896 | ) | ||||||||||
136138
September 30, 2009 | December 31, 2008 | |||||||||||||||
Total estimated | Total estimated | |||||||||||||||
fair value | fair value | |||||||||||||||
(excluding | (excluding | |||||||||||||||
Total notional | accrued | Total notional | accrued | |||||||||||||
amount | interest) | amount | interest) | |||||||||||||
Derivatives designated as hedging instruments | ||||||||||||||||
Advances-fair value hedges | $ | 66,325,882 | $ | (4,354,109 | ) | $ | 61,673,607 | $ | (5,758,653 | ) | ||||||
Consolidated obligations-fair value hedges | 31,092,780 | 806,131 | 22,909,189 | 1,227,649 | ||||||||||||
Derivatives not designated as hedging instruments | ||||||||||||||||
Advances-economic hedges | 531,729 | (968 | ) | 1,082,700 | (24,520 | ) | ||||||||||
Consolidated obligations-economic hedges | 30,099,397 | 56,439 | 36,973,442 | (45,884 | ) | |||||||||||
MPF loan-commitments | 11,843 | 35 | 10,395 | (108 | ) | |||||||||||
Balance sheet | 1,892,000 | 58,777 | 1,892,000 | 8,164 | ||||||||||||
Intermediary positions-economic hedges | 280,000 | 295 | 300,000 | 484 | ||||||||||||
Balance sheet — Macro hedges swaps | 2,100,000 | (5,288 | ) | 2,100,000 | (5,998 | ) | ||||||||||
Derivatives designated under fair value option | ||||||||||||||||
Interest rate swaps-consolidated obligations-bonds | 2,385,000 | 1,874 | 983,000 | 7,699 | ||||||||||||
Total notional and fair value | $ | 134,718,631 | $ | (3,436,814 | ) | $ | 127,924,333 | $ | (4,591,167 | ) | ||||||
Total derivatives, excluding accrued interest | $ | (3,436,814 | ) | $ | (4,591,167 | ) | ||||||||||
Cash collateral pledged to counterparties | 2,534,261 | 3,836,370 | ||||||||||||||
Cash collateral received from counterparties | — | (61,209 | ) | |||||||||||||
Accrued interest | 39,901 | (25,418 | ) | |||||||||||||
Net derivative balance | $ | (862,652 | ) | $ | (841,424 | ) | ||||||||||
Net derivative asset balance | $ | 9,092 | $ | 20,236 | ||||||||||||
Net derivative liability balance | (871,744 | ) | (861,660 | ) | ||||||||||||
Net derivative balance | $ | (862,652 | ) | $ | (841,424 | ) | ||||||||||
March 31, 2010 | December 31, 2009 | |||||||||||||||
Total estimated | Total estimated | |||||||||||||||
fair value | fair value | |||||||||||||||
(excluding | (excluding | |||||||||||||||
Total notional | accrued | Total notional | accrued | |||||||||||||
amount | interest) | amount | interest) | |||||||||||||
Derivatives designated as hedging instruments | ||||||||||||||||
Advances-fair value hedges | $ | 63,281,383 | $ | (3,774,203 | ) | $ | 65,901,667 | $ | (3,622,141 | ) | ||||||
Consolidated obligations-fair value hedges | 32,840,280 | 614,467 | 32,874,780 | 565,423 | ||||||||||||
Cash Flow-anticipated transactions | 150,000 | 324 | — | — | ||||||||||||
Derivatives not designated as hedging instruments | ||||||||||||||||
Advances-economic hedges | 385,308 | (960 | ) | 513,089 | (196 | ) | ||||||||||
Consolidated obligations-economic hedges | 21,221,513 | 22,244 | 24,881,874 | 36,954 | ||||||||||||
MPF loan-commitments | 3,249 | 9 | 4,210 | (39 | ) | |||||||||||
Balance sheet | 1,892,000 | 41,067 | 1,892,000 | 71,494 | ||||||||||||
Intermediary positions-economic hedges | 330,000 | 349 | 320,000 | 352 | ||||||||||||
Balance sheet-macro hedges swaps | — | — | 2,100,000 | (5,035 | ) | |||||||||||
Derivatives matching bonds designated under FVO | ||||||||||||||||
Interest rate swaps-consolidated obligations-bonds | 6,775,000 | 4,006 | 6,040,000 | (2,632 | ) | |||||||||||
Total notional and fair value | $ | 126,878,733 | $ | (3,092,697 | ) | $ | 134,527,620 | $ | (2,955,820 | ) | ||||||
Total derivatives, excluding accrued interest | $ | (3,092,697 | ) | $ | (2,955,820 | ) | ||||||||||
Cash collateral pledged to counterparties | 2,233,154 | 2,237,028 | ||||||||||||||
Cash collateral received from counterparties | — | — | ||||||||||||||
Accrued interest | 17,878 | (19,104 | ) | |||||||||||||
Net derivative balance | $ | (841,665 | ) | $ | (737,896 | ) | ||||||||||
Net derivative asset balance | $ | 9,246 | $ | 8,280 | ||||||||||||
Net derivative liability balance | (850,911 | ) | (746,176 | ) | ||||||||||||
Net derivative balance | $ | (841,665 | ) | $ | (737,896 | ) | ||||||||||
137139
September 30, | December 31, | |||||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||||||||
Advances | $ | 95,944,732 | $ | 109,152,876 | $ | 82,089,667 | $ | 59,012,394 | $ | 61,901,534 | $ | 68,507,487 | ||||||||||||
Mortgage loans before allowance for credit losses | $ | 1,339,586 | $ | 1,459,291 | $ | 1,492,261 | $ | 1,484,012 | $ | 1,467,525 | $ | 1,178,590 | ||||||||||||
March 31, | December 31, | |||||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | 2005 | |||||||||||||||||||
Advances | $ | 88,858,753 | $ | 94,348,751 | $ | 109,152,876 | $ | 82,089,667 | $ | 59,012,394 | $ | 61,901,534 | ||||||||||||
Mortgage loans before allowance for credit losses | $ | 1,292,949 | $ | 1,322,045 | $ | 1,459,291 | $ | 1,492,261 | $ | 1,484,012 | $ | 1,467,525 | ||||||||||||
138
140
139
141
140142
Underlying Collateral for Advances | ||||||||||||||||
Securities and | ||||||||||||||||
Advances1 | Mortgage Loans2 | Deposits2 | Total2 | |||||||||||||
March 31, 2010 | $ | 85,095,176 | $ | 113,332,385 | $ | 45,498,603 | $ | 158,830,988 | ||||||||
December 31, 2009 | $ | 90,737,700 | $ | 111,346,235 | $ | 49,564,456 | $ | 160,910,691 |
Note1 | Par value | |
Note2 | Estimate market value |
Underlying Collateral for Other Obligations | ||||||||||||||||
Other | Securities and | |||||||||||||||
Obligations1 | Mortgage Loans2 | Deposits2 | Total 2 | |||||||||||||
March 31, 2010 | $ | 828,455 | $ | 2,356,438 | $ | 228,683 | $ | 2,585,121 | ||||||||
December 31, 2009 | $ | 720,622 | $ | 2,257,204 | $ | 126,970 | $ | 2,384,174 |
Note1 | Standby financial letters of credit, derivatives and members’ credit enhancement guarantee amount (“MPFCE”) | |
Note2 | Estimated market value |
143
Estimated Market Values | ||||||||||||||||
Collateral in | Collateral | |||||||||||||||
Physical | Specifically | Collateral | Total Collateral | |||||||||||||
Possession | Listed | Pledged for AHP | Received | |||||||||||||
March 31, 2010 | $ | 53,776,322 | $ | 107,716,374 | $ | (76,587 | ) | $ | 161,416,109 | |||||||
December 31, 2009 | $ | 57,660,864 | $ | 105,714,763 | $ | (80,762 | ) | $ | 163,294,865 |
144
September 30, 2009 | March 31, 2010 | |||||||||||||||||||||||||||||||||||||||
Percentage of | Percentage of | |||||||||||||||||||||||||||||||||||||||
Par | Total Par Value | Interest Income | Par | Total Par Value | ||||||||||||||||||||||||||||||||||||
City | State | Advances | of Advances | Three months | Nine months | City | State | Advances | of Advances | Interest Income | ||||||||||||||||||||||||||||||
Hudson City Savings Bank 1 | Paramus | NJ | $ | 17,325,000 | 18.9 | % | $ | 178,896 | $ | 532,100 | ||||||||||||||||||||||||||||||
Hudson City Savings Bank, FSB* | Paramus | NJ | $ | 17,275,000 | 20.3 | % | $ | 174,759 | ||||||||||||||||||||||||||||||||
Metropolitan Life Insurance Company | New York | NY | 14,280,000 | 15.6 | 84,277 | 279,360 | New York | NY | 13,555,000 | 15.9 | 72,407 | |||||||||||||||||||||||||||||
New York Community Bank 1 | Westbury | NY | 8,148,476 | 8.9 | 78,413 | 233,129 | ||||||||||||||||||||||||||||||||||
New York Community Bank* | Westbury | NY | 7,343,172 | 8.6 | 75,913 | |||||||||||||||||||||||||||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 5,493,756 | 6.0 | 19,133 | 83,856 | Buffalo | NY | 4,755,523 | 5.6 | 11,754 | |||||||||||||||||||||||||||||
The Prudential Life Insurance Company of America | Newark | NJ | 3,500,000 | 3.8 | 22,448 | 71,473 | ||||||||||||||||||||||||||||||||||
The Prudential Insurance Company of America | Newark | NJ | 3,500,000 | 4.1 | 21,577 | |||||||||||||||||||||||||||||||||||
Astoria Federal Savings and Loan Assn. | Lake Success | NY | 2,984,000 | 3.5 | 28,487 | |||||||||||||||||||||||||||||||||||
Valley National Bank | Wayne | NJ | 2,271,500 | 2.7 | 24,716 | |||||||||||||||||||||||||||||||||||
Doral Bank | San Juan | PR | 2,119,420 | 2.5 | 19,258 | |||||||||||||||||||||||||||||||||||
New York Life Insurance Company | New York | NY | 2,000,000 | 2.4 | 3,075 | |||||||||||||||||||||||||||||||||||
MetLife Bank, N.A. | Bridgewater | NJ | 1,894,500 | 2.2 | 11,693 | |||||||||||||||||||||||||||||||||||
Total | $ | 48,747,232 | 53.2 | % | $ | 383,167 | $ | 1,199,918 | $ | 57,698,115 | 67.8 | % | $ | 443,639 | ||||||||||||||||||||||||||
September 30, 2008 | ||||||||||||||||||||||||
Percentage of | ||||||||||||||||||||||||
Par | Total Par Value | Interest Income | ||||||||||||||||||||||
City | State | Advances | of Advances | Three months | Nine months | |||||||||||||||||||
Hudson City Savings Bank 1 | Paramus | NJ | $ | 16,775,000 | 16.5 | % | $ | 174,289 | $ | 494,241 | ||||||||||||||
Metropolitan Life Insurance Company | New York | NY | 10,230,000 | 10.1 | 52,746 | 151,855 | ||||||||||||||||||
New York Community Bank | Westbury | NY | 8,513,619 | 8.4 | 80,807 | 257,201 | ||||||||||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 8,204,802 | 8.1 | 63,175 | 192,037 | ||||||||||||||||||
Merrill Lynch Bank & Trust Co., FSB | New York | NY | 6,200,000 | 6.1 | 14,891 | 32,494 | ||||||||||||||||||
Total | $ | 49,923,421 | 49.2 | % | $ | 385,908 | $ | 1,127,828 | ||||||||||||||||
December 31, 2008 | December 31, 2009 | |||||||||||||||||||||||||||||||||||
Percentage of | Percentage of | |||||||||||||||||||||||||||||||||||
Par | Total Par Value | Interest | Par | Total Par Value | ||||||||||||||||||||||||||||||||
City | State | Advances | of Advances | Income | City | State | Advances | of Advances | Interest Income | |||||||||||||||||||||||||||
Hudson City Savings Bank * | Paramus | NJ | $ | 17,525,000 | 17.0 | % | $ | 671,146 | ||||||||||||||||||||||||||||
Hudson City Savings Bank, FSB* | Paramus | NJ | $ | 17,275,000 | 19.0 | % | $ | 710,900 | ||||||||||||||||||||||||||||
Metropolitan Life Insurance Company | New York | NY | 15,105,000 | 14.6 | 260,420 | New York | NY | 13,680,000 | 15.1 | 356,120 | ||||||||||||||||||||||||||
New York Community Bank* | Westbury | NY | 7,343,174 | 8.1 | 310,991 | |||||||||||||||||||||||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 7,999,689 | 7.7 | 257,649 | Buffalo | NY | 5,005,641 | 5.5 | 97,628 | ||||||||||||||||||||||||||
New York Community Bank | Westbury | NY | 7,796,517 | 7.5 | 337,019 | |||||||||||||||||||||||||||||||
The Prudential Insurance Company of America | Newark | NJ | 3,500,000 | 3.9 | 93,601 | |||||||||||||||||||||||||||||||
Astoria Federal Savings and Loan Assn. | Long Island City | NY | 3,738,000 | 3.6 | 151,066 | Lake Success | NY | 3,000,000 | 3.3 | 120,870 | ||||||||||||||||||||||||||
Emigrant Bank | New York | NY | 2,475,000 | 2.7 | 64,131 | |||||||||||||||||||||||||||||||
Doral Bank | San Juan | PR | 2,473,420 | 2.7 | 86,389 | |||||||||||||||||||||||||||||||
MetLife Bank, N.A. | Bridgewater | NJ | 2,430,500 | 2.7 | 46,142 | |||||||||||||||||||||||||||||||
Valley National Bank | Wayne | NJ | 2,322,500 | 2.6 | 103,707 | |||||||||||||||||||||||||||||||
Total | $ | 52,164,206 | 50.4 | % | $ | 1,677,300 | $ | 59,505,235 | 65.6 | % | $ | 1,990,479 | ||||||||||||||||||||||||
* | At December 31, |
March 31, 2009 | ||||||||||||||||
Percentage of | ||||||||||||||||
Par | Total Par Value | |||||||||||||||
City | State | Advances | of Advances | Interest Income | ||||||||||||
Hudson City Savings Bank, FSB* | Paramus | NJ | $ | 17,575,000 | 17.7 | % | $ | 176,070 | ||||||||
Metropolitan Life Insurance Company | New York | NY | 15,105,000 | 15.2 | 103,306 | |||||||||||
New York Community Bank* | Westbury | NY | 8,143,214 | 8.2 | 77,380 | |||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 7,479,282 | 7.5 | 36,499 | |||||||||||
The Prudential Insurance Company of America | Newark | NJ | 4,500,000 | 4.5 | 24,618 | |||||||||||
MetLife Bank, N.A. | Bridgewater | NJ | 3,812,000 | 3.8 | 10,811 | |||||||||||
Astoria Federal Savings and Loan Assn. | Lake Success | NY | 3,110,000 | 3.1 | 31,667 | |||||||||||
Emigrant Bank | New York | NY | 2,475,000 | 2.5 | 15,925 | |||||||||||
Valley National Bank | Wayne | NJ | 2,445,500 | 2.5 | 27,178 | |||||||||||
Doral Bank | San Juan | PR | 2,334,500 | 2.3 | 22,298 | |||||||||||
Total | $ | 66,979,496 | 67.3 | % | $ | 525,752 | ||||||||||
* | At March 31, 2009, officer of member bank also served on the Board of Directors of the FHLBNY. |
141
Ultimate | Member of | Advances | ||||||
Former Member | Acquiree Bank | FHLB | as of September 30, 2009 | |||||
Citizens Bank, National Association | RBS Citizens, National Association | Boston | $ | 1,250,000 | ||||
Independence Community Bank | Sovereign Bank | Pittsburgh | 510,000 | |||||
The Yardville National Bank | PNC Bank, N.A. | Pittsburgh | 215,000 | |||||
Summit Bank | Bank of America, N.A. | Atlanta | 201,499 | |||||
Susquehanna Patriot Bank | Susquehanna Bank | Pittsburgh | 100,000 | |||||
Others | Various | Various | 87,514 | |||||
Total | $ | 2,364,013 | ||||||
Ultimate | Member of | Advances | ||||||
Former Member | Acquiree Bank | FHLB | as of December 31, 2008 | |||||
Citizens Bank, National Association | RBS Citizens, National Association | Boston | $ | 1,500,000 | ||||
Independence Community Bank | Sovereign Bank | Pittsburgh | 575,000 | |||||
The Yardville National Bank | PNC Bank, N.A. | Pittsburgh | 223,000 | |||||
Summit Bank | Bank of America, N.A. | Atlanta | 215,516 | |||||
Susquehanna Patriot Bank | Susquehanna Bank | Pittsburgh | 100,000 | |||||
Others | Various | Various | 89,154 | |||||
Total | $ | 2,702,670 | ||||||
142145
September 30, | December 31, | Dollar | Percentage | |||||||||||||
2009 | 2008 | Variance | Variance | |||||||||||||
State and local housing agency obligations1 | $ | 791,187 | $ | 804,100 | $ | (12,913 | ) | (1.61 | )% | |||||||
Mortgage-backed securities | ||||||||||||||||
Available-for-sale securities, at fair value | 2,350,308 | 2,851,682 | (501,374 | ) | (17.58 | ) | ||||||||||
Held-to-maturity securities, at carrying value | 9,686,840 | 9,326,443 | 360,397 | 3.86 | ||||||||||||
12,828,335 | 12,982,225 | (153,890 | ) | (1.19 | ) | |||||||||||
Grantor trusts2 | 12,284 | 10,187 | 2,097 | 20.59 | ||||||||||||
Certificates of deposit1 | 2,000,000 | 1,203,000 | 797,000 | 66.25 | ||||||||||||
Federal funds sold | 3,900,000 | — | 3,900,000 | NA | ||||||||||||
Total investments | $ | 18,740,619 | $ | 14,195,412 | $ | 4,545,207 | 32.02 | % | ||||||||
March 31, | December 31, | Dollar | Percentage | |||||||||||||
2010 | 2009 | Variance | Variance | |||||||||||||
State and local housing finance agency obligations1 | $ | 749,841 | $ | 751,751 | $ | (1,910 | ) | (0.25 | )% | |||||||
Mortgage-backed securities | ||||||||||||||||
Available-for-sale securities, at fair value | 2,641,921 | 2,240,564 | 401,357 | 17.91 | ||||||||||||
Held-to-maturity securities, at carrying value | 9,026,441 | 9,767,531 | (741,090 | ) | (7.59 | ) | ||||||||||
12,418,203 | 12,759,846 | (341,643 | ) | (2.68 | ) | |||||||||||
Grantor trusts2 | 12,893 | 12,589 | 304 | 2.41 | ||||||||||||
Federal funds sold | 3,130,000 | 3,450,000 | (320,000 | ) | (9.28 | ) | ||||||||||
Total investments | $ | 15,561,096 | $ | 16,222,435 | $ | (661,339 | ) | (4.08 | )% | |||||||
1 | Classified as held-to-maturity securities, at carrying | |
2 | Classified as available-for-sale securities, at fair value |
143146
NRSRO Ratings - September 30, 2009 | NRSRO Ratings — March 31, 2010 | |||||||||||||||||||||||||||||||||||||||||||||||
Below | Below | |||||||||||||||||||||||||||||||||||||||||||||||
Carrying | Investment | Carrying | Investment | |||||||||||||||||||||||||||||||||||||||||||||
Issued, guaranteed or insured | Value | AAA | AA | A | BBB | Grade | ||||||||||||||||||||||||||||||||||||||||||
Issued, guaranteed or insured: | Value | AAA | AA | A | BBB | Grade | ||||||||||||||||||||||||||||||||||||||||||
Pools of Mortgages | ||||||||||||||||||||||||||||||||||||||||||||||||
Fannie Mae | $ | 1,194,202 | $ | 1,194,202 | $ | — | $ | — | $ | — | $ | — | $ | 1,081,039 | $ | 1,081,039 | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||||||||
Freddie Mac | 354,212 | 354,212 | — | — | — | — | 307,168 | 307,168 | — | — | — | — | ||||||||||||||||||||||||||||||||||||
Total pools of mortgages | 1,548,414 | 1,548,414 | — | — | — | — | 1,388,207 | 1,388,207 | — | — | — | — | ||||||||||||||||||||||||||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||||||||||||||||||||||||||||||||||
Fannie Mae | 2,370,747 | 2,370,747 | — | — | — | — | 2,406,059 | 2,406,059 | — | — | — | — | ||||||||||||||||||||||||||||||||||||
Freddie Mac | 4,384,624 | 4,384,624 | — | — | — | — | 3,854,479 | 3,854,479 | — | — | — | — | ||||||||||||||||||||||||||||||||||||
Ginnie Mae | 187,470 | 187,470 | — | — | — | — | 150,882 | 150,882 | — | — | — | — | ||||||||||||||||||||||||||||||||||||
Total CMOs/REMICs | 6,942,841 | 6,942,841 | — | — | — | — | 6,411,420 | 6,411,420 | — | — | — | — | ||||||||||||||||||||||||||||||||||||
Commercial Mortgage-Backed Securities | ||||||||||||||||||||||||||||||||||||||||||||||||
Freddie Mac | 174,048 | 174,048 | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
Ginnie Mae | 49,342 | 49,342 | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
Ginnie Mae-CMBS | 49,706 | 49,706 | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
Total commercial mortgage-backed securities | 223,390 | 223,390 | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
Non-GSE MBS | ||||||||||||||||||||||||||||||||||||||||||||||||
CMOs/REMICs | 482,874 | 347,447 | 13,588 | 42,546 | — | 79,293 | 407,552 | 291,168 | 11,664 | 34,219 | — | 70,501 | ||||||||||||||||||||||||||||||||||||
Commercial mortgage-backed securities | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
Total non-federal-agency MBS | 482,874 | 347,447 | 13,588 | 42,546 | — | 79,293 | ||||||||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | ||||||||||||||||||||||||||||||||||||||||||||||||
Manufactured housing (insured) | 208,544 | — | 208,544 | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
Manufactured housing loans (insured) | 195,700 | — | 103,020 | 92,680 | — | — | ||||||||||||||||||||||||||||||||||||||||||
Home equity loans (insured) | 249,918 | 10,733 | 72,997 | 30,216 | 27,798 | 108,174 | 219,345 | 10,297 | 71,014 | 26,857 | 25,346 | 85,831 | ||||||||||||||||||||||||||||||||||||
Home equity loans (uninsured) | 204,543 | 179,083 | 20,694 | — | 4,766 | — | 180,827 | 163,922 | 12,532 | — | 4,373 | — | ||||||||||||||||||||||||||||||||||||
Total asset-backed securities | 663,005 | 189,816 | 302,235 | 30,216 | 32,564 | 108,174 | 595,872 | 174,219 | 186,566 | 119,537 | 29,719 | 85,831 | ||||||||||||||||||||||||||||||||||||
Total mortgage-backed securities | $ | 9,686,840 | $ | 9,078,224 | $ | 315,823 | $ | 72,762 | $ | 32,564 | $ | 187,467 | $ | 9,026,441 | $ | 8,488,404 | $ | 198,230 | $ | 153,756 | $ | 29,719 | $ | 156,332 | ||||||||||||||||||||||||
Other | ||||||||||||||||||||||||||||||||||||||||||||||||
State and local housing finance agency obligations | $ | 791,187 | $ | 73,313 | $ | 638,509 | $ | 23,145 | $ | 56,220 | $ | — | $ | 749,841 | $ | 72,172 | $ | 600,019 | $ | 21,430 | $ | 56,220 | $ | — | ||||||||||||||||||||||||
Certificates of deposit | 2,000,000 | — | 1,000,000 | 1,000,000 | — | — | ||||||||||||||||||||||||||||||||||||||||||
Total other | $ | 2,791,187 | $ | 73,313 | $ | 1,638,509 | $ | 1,023,145 | $ | 56,220 | $ | — | $ | 749,841 | $ | 72,172 | $ | 600,019 | $ | 21,430 | $ | 56,220 | $ | — | ||||||||||||||||||||||||
Total Held-to-maturity securities | $ | 9,776,282 | $ | 8,560,576 | $ | 798,249 | $ | 175,186 | $ | 85,939 | $ | 156,332 | ||||||||||||||||||||||||||||||||||||
144147
Carrying | NRSRO Ratings - December 31, 2008 | NRSRO Ratings — December 31, 2009 | ||||||||||||||||||||||||||||||||||||||||||
Issued, guaranteed or insured | Value | AAA | AA | A | BBB | |||||||||||||||||||||||||||||||||||||||
Below | ||||||||||||||||||||||||||||||||||||||||||||
Carrying | Investment | |||||||||||||||||||||||||||||||||||||||||||
Issued, guaranteed or insured: | Value | AAA | AA | A | BBB | Grade | ||||||||||||||||||||||||||||||||||||||
Pools of Mortgages | ||||||||||||||||||||||||||||||||||||||||||||
Fannie Mae | $ | 1,400,058 | $ | 1,400,058 | $ | — | $ | — | $ | — | $ | 1,137,514 | $ | 1,137,514 | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||||||
Freddie Mac | 422,088 | 422,088 | — | — | — | 335,369 | 335,369 | — | — | — | — | |||||||||||||||||||||||||||||||||
Total pools of mortgages | 1,822,146 | 1,822,146 | — | — | — | 1,472,883 | 1,472,883 | — | — | — | — | |||||||||||||||||||||||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||||||||||||||||||||||||||||||
Fannie Mae | 2,032,050 | 2,032,050 | — | — | — | 2,609,254 | 2,609,254 | — | — | — | — | |||||||||||||||||||||||||||||||||
Freddie Mac | 3,722,840 | 3,722,840 | — | — | — | 4,400,002 | 4,400,002 | — | — | — | — | |||||||||||||||||||||||||||||||||
Ginnie Mae | 6,325 | 6,325 | — | — | — | 171,531 | 171,531 | — | — | — | — | |||||||||||||||||||||||||||||||||
Total CMOs/REMICs | 5,761,215 | 5,761,215 | — | — | — | 7,180,787 | 7,180,787 | — | — | — | — | |||||||||||||||||||||||||||||||||
Ginnie Mae-CMBS | 49,526 | 49,526 | — | — | — | — | ||||||||||||||||||||||||||||||||||||||
Non-GSE MBS | ||||||||||||||||||||||||||||||||||||||||||||
CMOs/REMICs | 609,908 | 509,056 | — | 62,401 | 38,451 | 444,906 | 319,583 | 12,510 | 38,332 | — | 74,481 | |||||||||||||||||||||||||||||||||
Commercial mortgage-backed securities | 266,994 | 266,994 | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||
Total non-federal-agency MBS | 876,902 | 776,050 | — | 62,401 | 38,451 | 444,906 | 319,583 | 12,510 | 38,332 | — | 74,481 | |||||||||||||||||||||||||||||||||
Asset-Backed Securities | ||||||||||||||||||||||||||||||||||||||||||||
Manufactured housing (insured) | 229,714 | — | 229,714 | — | — | |||||||||||||||||||||||||||||||||||||||
Manufactured housing loans (insured) | 202,278 | — | 202,278 | — | — | — | ||||||||||||||||||||||||||||||||||||||
Home equity loans (insured) | 376,587 | 86,662 | — | 130,277 | 159,648 | 227,834 | 10,399 | 71,653 | 27,589 | 26,657 | 91,536 | |||||||||||||||||||||||||||||||||
Home equity loans (uninsured) | 259,879 | 259,879 | — | — | — | 189,317 | 171,840 | 12,873 | — | 4,604 | — | |||||||||||||||||||||||||||||||||
Total asset-backed securities | 866,180 | 346,541 | 229,714 | 130,277 | 159,648 | 619,429 | 182,239 | 286,804 | 27,589 | 31,261 | 91,536 | |||||||||||||||||||||||||||||||||
Total mortgage-backed securities | $ | 9,326,443 | $ | 8,705,952 | $ | 229,714 | $ | 192,678 | $ | 198,099 | $ | 9,767,531 | $ | 9,205,018 | $ | 299,314 | $ | 65,921 | $ | 31,261 | $ | 166,017 | ||||||||||||||||||||||
Other | ||||||||||||||||||||||||||||||||||||||||||||
State and local housing finance agency obligations | $ | 804,100 | $ | 74,881 | $ | 672,999 | $ | — | $ | 56,220 | $ | 751,751 | $ | 72,992 | $ | 601,109 | $ | 21,430 | $ | 56,220 | $ | — | ||||||||||||||||||||||
Certificates of deposit | 1,203,000 | — | 628,000 | 575,000 | — | |||||||||||||||||||||||||||||||||||||||
Total other | $ | 2,007,100 | $ | 74,881 | $ | 1,300,999 | $ | 575,000 | $ | 56,220 | $ | 751,751 | $ | 72,992 | $ | 601,109 | $ | 21,430 | $ | 56,220 | $ | — | ||||||||||||||||||||||
Total Held-to-maturity securities | $ | 10,519,282 | $ | 9,278,010 | $ | 900,423 | $ | 87,351 | $ | 87,481 | $ | 166,017 | ||||||||||||||||||||||||||||||||
145148
NRSRO Ratings - September 30, 2009 | ||||||||||||||||
Issued, guaranteed or insured | Fair Value | AAA | AA | A | ||||||||||||
Pools of Mortgages | ||||||||||||||||
Fannie Mae | $ | — | $ | — | $ | — | $ | — | ||||||||
Freddie Mac | — | — | — | — | ||||||||||||
Total pools of mortgages | — | — | — | — | ||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||
Fannie Mae | 1,626,069 | 1,626,069 | — | — | ||||||||||||
Freddie Mac | 724,239 | 724,239 | — | — | ||||||||||||
Ginnie Mae | — | — | — | — | ||||||||||||
Total CMOs/REMICs | 2,350,308 | 2,350,308 | — | — | ||||||||||||
Non-GSE MBS | ||||||||||||||||
CMOs/REMICs | — | — | — | — | ||||||||||||
Commercial mortgage-backed securities | — | — | — | — | ||||||||||||
Total non-federal-agency MBS | — | — | — | — | ||||||||||||
Asset-Backed Securities | ||||||||||||||||
Manufactured housing (insured) | — | — | — | — | ||||||||||||
Home equity loans (insured) | — | — | — | — | ||||||||||||
Home equity loans (uninsured) | — | — | — | — | ||||||||||||
Total asset-backed securities | — | — | — | — | ||||||||||||
Total mortgage-backed securities | $ | 2,350,308 | $ | 2,350,308 | $ | — | $ | — | ||||||||
NRSRO Ratings — March 31, 2010 | ||||||||||||||||
Issued, guaranteed or insured: | Fair Value | AAA | AA | A | ||||||||||||
Pools of Mortgages | ||||||||||||||||
Fannie Mae | $ | — | $ | — | $ | — | $ | — | ||||||||
Freddie Mac | — | — | — | — | ||||||||||||
Total pools of mortgages | — | — | — | — | ||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||
Fannie Mae | 1,949,487 | 1,949,487 | — | — | ||||||||||||
Freddie Mac | 692,434 | 692,434 | — | — | ||||||||||||
Ginnie Mae | — | — | — | — | ||||||||||||
Total CMOs/REMICs | 2,641,921 | 2,641,921 | — | — | ||||||||||||
Non-GSE MBS | ||||||||||||||||
CMOs/REMICs | — | — | — | — | ||||||||||||
Commercial mortgage-backed securities | — | — | — | — | ||||||||||||
Total non-federal-agency MBS | — | — | — | — | ||||||||||||
Asset-Backed Securities | ||||||||||||||||
Manufactured housing loans (insured) | — | — | — | — | ||||||||||||
Home equity loans (insured) | — | — | — | — | ||||||||||||
Home equity loans (uninsured) | — | — | — | — | ||||||||||||
Total asset-backed securities | — | — | — | — | ||||||||||||
Total AFS mortgage-backed securities | $ | 2,641,921 | $ | 2,641,921 | $ | — | $ | — | ||||||||
Other | ||||||||||||||||
Fixed income funds, equity funds and cash equivalents* | $ | 12,893 | ||||||||||||||
Total Available-for-sale securities | $ | 2,654,814 | ||||||||||||||
* | Unrated |
146149
NRSRO Ratings - December 31, 2008 | NRSRO Ratings — December 31, 2009 | |||||||||||||||||||||||||||||||
Issued, guaranteed or insured | Fair Value | AAA | AA | A | ||||||||||||||||||||||||||||
Issued, guaranteed or insured: | Fair Value | AAA | AA | A | ||||||||||||||||||||||||||||
Pools of Mortgages | ||||||||||||||||||||||||||||||||
Fannie Mae | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||
Freddie Mac | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Total pools of mortgages | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||||||||||||||||||
Fannie Mae | 1,854,988 | 1,854,988 | — | — | 1,544,500 | 1,544,500 | — | — | ||||||||||||||||||||||||
Freddie Mac | 996,694 | 996,694 | — | — | 696,064 | 696,064 | — | — | ||||||||||||||||||||||||
Ginnie Mae | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Total CMOs/REMICs | 2,851,682 | 2,851,682 | — | — | 2,240,564 | 2,240,564 | — | — | ||||||||||||||||||||||||
Non-GSE MBS | ||||||||||||||||||||||||||||||||
CMOs/REMICs | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Commercial mortgage-backed securities | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Total non-federal-agency MBS | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Asset-Backed Securities | ||||||||||||||||||||||||||||||||
Manufactured housing (insured) | — | — | — | — | ||||||||||||||||||||||||||||
Manufactured housing loans (insured) | — | — | — | — | ||||||||||||||||||||||||||||
Home equity loans (insured) | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Home equity loans (uninsured) | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Total asset-backed securities | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Total mortgage-backed securities | $ | 2,851,682 | $ | 2,851,682 | $ | — | $ | — | ||||||||||||||||||||||||
Total AFS mortgage-backed securities | $ | 2,240,564 | $ | 2,240,564 | $ | — | $ | — | ||||||||||||||||||||||||
Other | ||||||||||||||||||||||||||||||||
Fixed income funds, equity funds and cash equivalents* | $ | 12,589 | ||||||||||||||||||||||||||||||
Total Available-for-sale securities | $ | 2,253,153 | ||||||||||||||||||||||||||||||
* | Unrated |
150
147
September 30, | Percentage | December 31, | Percentage | |||||||||||||
2009 | of total | 2008 | of total | |||||||||||||
U.S. government sponsored enterprise residential mortgage-backed securities | ||||||||||||||||
Fannie Mae | $ | 3,564,949 | 36.80 | % | $ | 3,432,108 | 36.80 | % | ||||||||
Freddie Mac | 4,738,836 | 48.92 | 4,144,928 | 44.44 | ||||||||||||
U.S. agency residential mortgage-backed securities | 187,470 | 1.94 | 6,325 | 0.07 | ||||||||||||
U.S. agency commercial mortgage-backed securities | 49,706 | 0.51 | — | — | ||||||||||||
Private-label issued securities | 1,145,879 | 11.83 | 1,743,082 | 18.69 | ||||||||||||
Total Held-to-maturity securities-mortgage-backed securities | $ | 9,686,840 | 100.00 | % | $ | 9,326,443 | 100.00 | % | ||||||||
March 31, | Percentage | December 31, | Percentage | |||||||||||||
2010 | of total | 2009 | of total | |||||||||||||
U.S. government sponsored enterprise residential mortgage-backed securities | ||||||||||||||||
Fannie Mae | $ | 3,487,098 | 38.63 | % | $ | 3,746,768 | 38.36 | % | ||||||||
Freddie Mac | 4,161,647 | 46.10 | 4,735,371 | 48.48 | ||||||||||||
U.S. agency residential mortgage-backed securities | 150,882 | 1.67 | 171,531 | 1.76 | ||||||||||||
U.S. government sponsored enterprise commercial mortgage-backed securities | 174,048 | 1.93 | — | — | ||||||||||||
U.S. agency commercial mortgage-backed securities | 49,342 | 0.55 | 49,526 | 0.51 | ||||||||||||
Private-label issued securities | 1,003,424 | 11.12 | 1,064,335 | 10.89 | ||||||||||||
Total Held-to-maturity securities-mortgage-backed securities | $ | 9,026,441 | 100.00 | % | $ | 9,767,531 | 100.00 | % | ||||||||
151
September 30, 2009 | December 31, 2008 | |||||||||||||||||||||||
Variable | Variable | |||||||||||||||||||||||
Private-label MBS | Fixed Rate | Rate | Total | Fixed Rate | Rate | Total | ||||||||||||||||||
Private-label RMBS | ||||||||||||||||||||||||
Prime | $ | 473,648 | $ | 4,643 | $ | 478,291 | $ | 596,430 | $ | 4,811 | $ | 601,241 | ||||||||||||
Alt-A | 7,471 | 3,838 | 11,309 | 9,129 | 4,177 | 13,306 | ||||||||||||||||||
Total PL RMBS | 481,119 | 8,481 | 489,600 | 605,559 | 8,988 | 614,547 | ||||||||||||||||||
Private-label CMBS | ||||||||||||||||||||||||
Prime | — | — | — | 266,860 | — | 266,860 | ||||||||||||||||||
Total PL CMBS | — | — | — | 266,860 | — | 266,860 | ||||||||||||||||||
Home Equity Loans | ||||||||||||||||||||||||
Subprime | 453,025 | 113,399 | 566,424 | 504,565 | 132,135 | 636,700 | ||||||||||||||||||
Total Home Equity Loans | 453,025 | 113,399 | 566,424 | 504,565 | 132,135 | 636,700 | ||||||||||||||||||
Manufactured Housing Loans | ||||||||||||||||||||||||
Subprime | 208,566 | — | 208,566 | 229,738 | — | 229,738 | ||||||||||||||||||
Total Manufactured Housing Loans | 208,566 | — | 208,566 | 229,738 | — | 229,738 | ||||||||||||||||||
Total UPB of private-label MBS | $ | 1,142,710 | $ | 121,880 | $ | 1,264,590 | $ | 1,606,722 | $ | 141,123 | $ | 1,747,845 | ||||||||||||
March 31, 2010 | December 31, 2009 | |||||||||||||||||||||||
Variable | Variable | |||||||||||||||||||||||
Private-label MBS | Fixed Rate | Rate | Total | Fixed Rate | Rate | Total | ||||||||||||||||||
Private-label RMBS | ||||||||||||||||||||||||
Prime | $ | 398,651 | $ | 4,259 | $ | 402,910 | $ | 435,913 | $ | 4,359 | $ | 440,272 | ||||||||||||
Alt-A | 6,915 | 3,584 | 10,499 | 7,229 | 3,713 | 10,942 | ||||||||||||||||||
Total PL RMBS | 405,566 | 7,843 | 413,409 | 443,142 | 8,072 | 451,214 | ||||||||||||||||||
Private-label CMBS | ||||||||||||||||||||||||
Prime | — | — | — | — | — | — | ||||||||||||||||||
Total PL CMBS | — | — | — | — | — | — | ||||||||||||||||||
Home Equity Loans | ||||||||||||||||||||||||
Subprime | 425,381 | 103,087 | 528,468 | 437,042 | 108,801 | 545,843 | ||||||||||||||||||
Total Home Equity Loans | 425,381 | 103,087 | 528,468 | 437,042 | 108,801 | 545,843 | ||||||||||||||||||
Manufactured Housing Loans | ||||||||||||||||||||||||
Subprime | 195,721 | — | 195,721 | 202,299 | — | 202,299 | ||||||||||||||||||
Total Manufactured Housing Loans | 195,721 | — | 195,721 | 202,299 | — | 202,299 | ||||||||||||||||||
Total UPB of private-label MBS | $ | 1,026,668 | $ | 110,930 | $ | 1,137,598 | $ | 1,082,483 | $ | 116,873 | $ | 1,199,356 | ||||||||||||
148
149152
150
September 30, 2009 | ||||||||||||||||||||||||||||||||||||||||||||
Insurer MBIA | Insurer Ambac | Uninsured | OTTI | Gross OTTI Losses | ||||||||||||||||||||||||||||||||||||||||
Security | Fair | Fair | Fair | Credit | Non-credit | Less than | More than | |||||||||||||||||||||||||||||||||||||
Classification | Count | UPB | Value | UPB | Value | UPB | Value | Loss | Loss | 12 months | 12 months | |||||||||||||||||||||||||||||||||
RMBS-Prime* | 1 | $ | — | $ | — | $ | — | $ | — | $ | 56,867 | $ | 54,687 | $ | (438 | ) | $ | (2,766 | ) | $ | (3,204 | ) | $ | — | ||||||||||||||||||||
HEL Subprime* | 14 | 35,616 | 20,653 | 181,995 | 117,651 | 62,461 | 38,392 | (13,838 | ) | (101,118 | ) | — | (114,956 | ) | ||||||||||||||||||||||||||||||
Total | 15 | $ | 35,616 | $ | 20,653 | $ | 181,995 | $ | 117,651 | $ | 119,328 | $ | 93,079 | $ | (14,276 | ) | $ | (103,884 | ) | $ | (3,204 | ) | $ | (114,956 | ) | |||||||||||||||||||
March 31, 2010 | ||||||||||||||||||||||||||||
Insurer MBIA | Insurer Ambac | OTTI | ||||||||||||||||||||||||||
Security | Fair | Fair | Credit | Non-credit | ||||||||||||||||||||||||
Classification | Count | UPB | Value | UPB | Value | Loss | Loss | |||||||||||||||||||||
RMBS-Prime* | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
HEL Subprime* | 5 | 21,637 | 9,730 | 45,476 | 26,015 | (3,400 | ) | (473 | ) | |||||||||||||||||||
Total | 5 | $ | 21,637 | $ | 9,730 | $ | 45,476 | $ | 26,015 | $ | (3,400 | ) | $ | (473 | ) | |||||||||||||
* | RMBS-Prime — Private-label MBS supported by prime residential loans; HEL Subprime — MBS supported by home equity loans. |
Q3 2009 activity | ||||||||||||||||||||||||||||||||||||||||||||
Insurer MBIA | Insurer Ambac | Uninsured | OTTI | Gross OTTI Losses | ||||||||||||||||||||||||||||||||||||||||
Security | Fair | Fair | Fair | Credit | Non-credit | Less than | More than | |||||||||||||||||||||||||||||||||||||
Classification | Count | UPB | Value | UPB | Value | UPB | Value | Loss | Loss | 12 months | 12 months | |||||||||||||||||||||||||||||||||
RMBS-Prime* | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||||||
HEL Subprime* | 10 | 13,304 | 7,680 | 121,435 | 79,700 | 62,460 | 38,392 | (3,683 | ) | (26,486 | ) | — | (30,169 | ) | ||||||||||||||||||||||||||||||
Total | 10 | $ | 13,304 | $ | 7,680 | $ | 121,435 | $ | 79,700 | $ | 62,460 | $ | 38,392 | $ | (3,683 | ) | $ | (26,486 | ) | $ | — | $ | (30,169 | ) | ||||||||||||||||||||
AMBAC | MBIA | FSA* | ||||||||||||||||||||||
Unrealized | Unrealized | Unrealized | ||||||||||||||||||||||
Private-label MBS | UPB | Losses | UPB | Losses | UPB | Losses | ||||||||||||||||||
HEL | ||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||
2004 and earlier | $ | 203,201 | $ | (51,513 | ) | $ | 36,666 | $ | (10,881 | ) | $ | 78,568 | $ | (7,373 | ) | |||||||||
Manufactured Housing Loans | ||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||
2004 and earlier | — | — | — | — | 195,721 | (35,830 | ) | |||||||||||||||||
Total of all Private-label MBS | $ | 203,201 | $ | (51,513 | ) | $ | 36,666 | $ | (10,881 | ) | $ | 274,289 | $ | (43,203 | ) | |||||||||
* |
September 30, 2009 | ||||||||||||||||||||||||||||
Insurer MBIA | Cumulative OTTI Recorded | Additional | ||||||||||||||||||||||||||
No. of | Amortized | Carrying | Fair | Credit | Non-credit | Credit losses if zero | ||||||||||||||||||||||
Ratings | Securities | Cost Basis | Value | Value | Loss | Loss | insurance assumed | |||||||||||||||||||||
Impaired | 2 | $ | 30,242 | $ | 20,600 | 20,653 | $ | (5,370 | ) | $ | (10,075 | ) | $ | (1,036 | ) | |||||||||||||
Unimpaired | 1 | 2,948 | 2,948 | 2,337 | — | — | — | |||||||||||||||||||||
Total | 3 | $ | 33,189 | $ | 23,548 | $ | 22,990 | $ | (5,370 | ) | $ | (10,075 | ) | $ | (1,036 | ) | ||||||||||||
September 30, 2009 | ||||||||||||||||||||||||||||
Insurer Ambac | Cumulative OTTI Recorded | Additional | ||||||||||||||||||||||||||
No. of | Amortized | Carrying | Fair | Credit | Non-credit | Credit losses if zero | ||||||||||||||||||||||
Ratings | Securities | Cost Basis | Value | Value | Loss | Loss | insurance assumed | |||||||||||||||||||||
Impaired | 11 | $ | 174,462 | $ | 109,189 | 117,651 | $ | (7,411 | ) | $ | (68,040 | ) | $ | (5,804 | ) | |||||||||||||
Unimpaired | 2 | 36,400 | 36,400 | 22,853 | — | — | — | |||||||||||||||||||||
Total | 13 | $ | 210,862 | $ | 145,590 | $ | 140,504 | $ | (7,411 | ) | $ | (68,040 | ) | $ | (5,804 | ) | ||||||||||||
151153
September 30, 2009 | ||||||||||||||||||||||||||||||||||||||||
Unpaid Principal Balance | ||||||||||||||||||||||||||||||||||||||||
Below | Gross | |||||||||||||||||||||||||||||||||||||||
Ratings | Investment | Amortized | Unrealized | Total OTTI | ||||||||||||||||||||||||||||||||||||
Private-label MBS | Subtotal | Triple-A | Double-A | Single-A | Triple-B | Grade | Cost | (Losses) | Fair Value | Losses | ||||||||||||||||||||||||||||||
RMBS | ||||||||||||||||||||||||||||||||||||||||
Prime | ||||||||||||||||||||||||||||||||||||||||
2006 | $ | 70,033 | $ | — | $ | — | $ | 42,949 | $ | — | $ | 27,084 | $ | 69,330 | $ | (4,547 | ) | $ | 64,783 | $ | — | |||||||||||||||||||
2005 | 89,168 | 32,301 | — | — | — | 56,867 | 87,025 | (924 | ) | 86,101 | (3,204 | ) | ||||||||||||||||||||||||||||
2004 and earlier | 319,090 | 305,225 | 13,865 | — | — | — | 317,752 | (4,653 | ) | 313,454 | — | |||||||||||||||||||||||||||||
Total RMBS Prime | 478,291 | 337,526 | 13,865 | 42,949 | — | 83,951 | 474,107 | (10,124 | ) | 464,338 | (3,204 | ) | ||||||||||||||||||||||||||||
Alt-A | ||||||||||||||||||||||||||||||||||||||||
2004 and earlier | 11,309 | 11,309 | — | — | — | — | 11,312 | (975 | ) | 10,337 | — | |||||||||||||||||||||||||||||
Total RMBS | 489,600 | 348,835 | 13,865 | 42,949 | — | 83,951 | 485,419 | (11,099 | ) | 474,675 | (3,204 | ) | ||||||||||||||||||||||||||||
CMBS | ||||||||||||||||||||||||||||||||||||||||
Prime | ||||||||||||||||||||||||||||||||||||||||
2004 and earlier | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
HEL | ||||||||||||||||||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||||||||||||||||||
2004 and earlier | 566,424 | 213,943 | 93,704 | 52,119 | 44,629 | 162,029 | 552,379 | (168,624 | ) | 383,755 | (114,956 | ) | ||||||||||||||||||||||||||||
Manufactured Housing Loans | ||||||||||||||||||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||||||||||||||||||
2004 and earlier | 208,566 | — | 208,566 | — | — | — | 208,544 | (46,536 | ) | 162,008 | — | |||||||||||||||||||||||||||||
Total PLMBS | $ | 1,264,590 | $ | 562,778 | $ | 316,135 | $ | 95,068 | $ | 44,629 | $ | 245,980 | $ | 1,246,342 | $ | (226,259 | ) | $ | 1,020,438 | $ | (118,160 | ) | ||||||||||||||||||
March 31, 2010 | ||||||||||||||||||||||||||||||||||||||||
Unpaid Principal Balance | ||||||||||||||||||||||||||||||||||||||||
Below | Gross | |||||||||||||||||||||||||||||||||||||||
Ratings | Investment | Amortized | Unrealized | Total OTTI | ||||||||||||||||||||||||||||||||||||
Private-label MBS | Subtotal | Triple-A | Double-A | Single-A | Triple-B | Grade | Cost | (Losses) | Fair Value | Losses | ||||||||||||||||||||||||||||||
RMBS | ||||||||||||||||||||||||||||||||||||||||
Prime | ||||||||||||||||||||||||||||||||||||||||
2006 | $ | 58,353 | $ | — | $ | — | $ | 34,537 | $ | — | $ | 23,816 | $ | 57,804 | $ | (2,003 | ) | $ | 55,801 | $ | — | |||||||||||||||||||
2005 | 77,611 | 26,782 | — | — | — | 50,829 | 75,717 | (1,047 | ) | 74,670 | — | |||||||||||||||||||||||||||||
2004 and earlier | 266,946 | 255,046 | 11,900 | — | — | — | 265,817 | (2,126 | ) | 264,790 | — | |||||||||||||||||||||||||||||
Total RMBS Prime | 402,910 | 281,828 | 11,900 | 34,537 | — | 74,645 | 399,338 | (5,176 | ) | 395,261 | — | |||||||||||||||||||||||||||||
Alt-A | ||||||||||||||||||||||||||||||||||||||||
2004 and earlier | 10,499 | 10,499 | — | — | — | — | 10,501 | (838 | ) | 9,665 | — | |||||||||||||||||||||||||||||
Total RMBS | 413,409 | 292,327 | 11,900 | 34,537 | — | 74,645 | 409,839 | (6,014 | ) | 404,926 | — | |||||||||||||||||||||||||||||
HEL | ||||||||||||||||||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||||||||||||||||||
2004 and earlier | 528,468 | 196,435 | 90,545 | 47,357 | 41,153 | 152,978 | 504,497 | (116,722 | ) | 387,775 | (3,873 | ) | ||||||||||||||||||||||||||||
Manufactured Housing Loans | ||||||||||||||||||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||||||||||||||||||
2004 and earlier | 195,721 | — | 103,041 | 92,680 | — | — | 195,700 | (35,830 | ) | 159,870 | — | |||||||||||||||||||||||||||||
Total PLMBS | $ | 1,137,598 | $ | 488,762 | $ | 205,486 | $ | 174,574 | $ | 41,153 | $ | 227,623 | $ | 1,110,036 | $ | (158,566 | ) | $ | 952,571 | $ | (3,873 | ) | ||||||||||||||||||
152154
December 31, 2008 | December 31, 2009 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Unpaid Principal Balance | Unpaid Principal Balance | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Gross | Below | Gross | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratings | Amortized | Unrealized | Ratings | Investment | Amortized | Unrealized | Total OTTI | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Private-label MBS | Subtotal | Triple-A | Double-A | Single-A | Triple-B | Cost | (Losses) | Fair Value | Subtotal | Triple-A | Double-A | Single-A | Triple-B | Grade | Cost | (Losses) | Fair Value | Losses | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
RMBS | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Prime | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2006 | $ | 101,843 | $ | — | $ | — | $ | 62,968 | $ | 38,875 | $ | 100,851 | $ | (20,544 | ) | $ | 80,308 | $ | 63,276 | $ | — | $ | — | $ | 38,689 | $ | — | $ | 24,587 | $ | 62,654 | $ | (2,396 | ) | $ | 60,258 | $ | — | ||||||||||||||||||||||||||||||||||
2005 | 110,334 | 110,334 | — | — | — | 108,254 | (5,415 | ) | 102,839 | 82,982 | 28,687 | — | — | — | 54,295 | 80,996 | (1,708 | ) | 79,288 | (3,204 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||
2004 | 168,166 | 168,166 | — | — | — | 168,173 | (8,363 | ) | 159,810 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2003 and earlier | 220,898 | 220,898 | — | — | — | 219,318 | (6,722 | ) | 212,596 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2004 and earlier | 294,014 | 281,240 | 12,774 | — | — | — | 292,773 | (3,696 | ) | 289,958 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total RMBS Prime | 601,241 | 499,398 | — | 62,968 | 38,875 | 596,596 | (41,044 | ) | 555,553 | 440,272 | 309,927 | 12,774 | 38,689 | — | 78,882 | 436,423 | (7,800 | ) | 429,504 | (3,204 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Alt-A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2003 and earlier | 13,306 | 13,306 | — | — | — | 13,310 | (1,662 | ) | 11,648 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2004 and earlier | 10,942 | 10,942 | — | — | — | — | 10,944 | (938 | ) | 10,006 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total RMBS | 614,547 | 512,704 | — | 62,968 | 38,875 | 609,906 | (42,706 | ) | 567,201 | 451,214 | 320,869 | 12,774 | 38,689 | — | 78,882 | 447,367 | (8,738 | ) | 439,510 | (3,204 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||
CMBS | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Prime | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2003 and earlier | 266,860 | 266,860 | — | — | — | 266,994 | (127 | ) | 267,016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
HEL | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2003 and earlier | 636,700 | 346,631 | — | 130,404 | 159,665 | 636,466 | (224,069 | ) | 412,397 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2004 and earlier | 545,843 | 205,480 | 91,782 | 48,838 | 43,035 | 156,708 | 525,260 | (151,818 | ) | 373,442 | (137,708 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Manufactured Housing Loans | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2003 and earlier | 229,738 | — | 229,738 | — | — | 229,714 | (75,418 | ) | 154,296 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2004 and earlier | 202,299 | — | 202,299 | — | — | — | 202,278 | (37,101 | ) | 165,177 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total PLMBS | $ | 1,747,845 | $ | 1,126,195 | $ | 229,738 | $ | 193,372 | $ | 198,540 | $ | 1,743,080 | $ | (342,320 | ) | $ | 1,400,910 | $ | 1,199,356 | $ | 526,349 | $ | 306,855 | $ | 87,527 | $ | 43,035 | $ | 235,590 | $ | 1,174,905 | $ | (197,657 | ) | $ | 978,129 | $ | (140,912 | ) | |||||||||||||||||||||||||||||||||
153155
September 30, 2009 | ||||||||||||||||
Original | ||||||||||||||||
Weighted- | Weighted- | Weighted- | Weighted-Average | |||||||||||||
Average Market | Average Credit | Average Credit | Collateral | |||||||||||||
Private-label MBS | Price1 | Support % | Support % | Delinquency % | ||||||||||||
RMBS | ||||||||||||||||
Prime | ||||||||||||||||
2006 | $ | 92.50 | 3.73 | % | 5.16 | % | 3.79 | % | ||||||||
2005 | 96.56 | 2.72 | 3.78 | 1.69 | ||||||||||||
2004 and earlier | 98.23 | 1.57 | 2.73 | 0.49 | ||||||||||||
Total RMBS Prime | 97.08 | 2.10 | 3.28 | 1.20 | ||||||||||||
Alt-A | ||||||||||||||||
2004 and earlier | 91.40 | 10.56 | 32.08 | 8.66 | ||||||||||||
Total RMBS | 96.95 | 2.30 | 3.95 | 1.37 | ||||||||||||
CMBS | ||||||||||||||||
Prime | ||||||||||||||||
2004 and earlier | — | — | — | — | ||||||||||||
HEL | ||||||||||||||||
Subprime | ||||||||||||||||
2004 and earlier | 67.75 | 57.97 | 65.32 | 16.35 | ||||||||||||
Manufactured Housing Loans | ||||||||||||||||
Subprime | ||||||||||||||||
2004 and earlier | 77.68 | 58.01 | 55.91 | 3.54 | ||||||||||||
Total Private-label MBS | $ | 80.69 | 36.42 | % | 40.00 | % | 8.44 | % | ||||||||
March 31, 2010 | ||||||||||||
Original | ||||||||||||
Weighted- | Weighted- | Weighted-Average | ||||||||||
Average Credit | Average Credit | Collateral | ||||||||||
Private-label MBS | Support % | Support % | Delinquency % | |||||||||
RMBS | ||||||||||||
Prime | ||||||||||||
2006 | 3.84 | % | 5.41 | % | 6.38 | % | ||||||
2005 | 2.67 | 3.95 | 3.45 | |||||||||
2004 and earlier | 1.56 | 2.93 | 0.82 | |||||||||
Total RMBS Prime | 2.11 | 3.49 | 2.14 | |||||||||
Alt-A | ||||||||||||
2004 and earlier | 10.97 | 32.68 | 12.55 | |||||||||
Total RMBS | 2.33 | 4.23 | 2.40 | |||||||||
HEL | ||||||||||||
Subprime | ||||||||||||
2004 and earlier | 58.06 | 65.44 | 17.76 | |||||||||
Manufactured Housing Loans | ||||||||||||
Subprime | ||||||||||||
2004 and earlier | 100.00 | 100.00 | 3.22 | |||||||||
Total Private-label MBS | 45.02 | % | 49.14 | % | 9.67 | % | ||||||
December 31, 2009 | ||||||||||||
Original | ||||||||||||
Weighted- | Weighted- | Weighted-Average | ||||||||||
Average Credit | Average | Collateral | ||||||||||
Private-label MBS | Support % | Credit Support % | Delinquency % | |||||||||
RMBS | ||||||||||||
Prime | ||||||||||||
2006 | 3.74 | % | 5.16 | % | 5.47 | % | ||||||
2005 | 2.67 | 3.82 | 2.32 | |||||||||
2004 and earlier | 1.58 | 2.82 | 0.79 | |||||||||
Total RMBS Prime | 2.10 | 3.35 | 1.75 | |||||||||
Alt-A | ||||||||||||
2004 and earlier | 10.73 | 32.35 | 11.22 | |||||||||
Total RMBS | 2.30 | 4.05 | 1.98 | |||||||||
HEL | ||||||||||||
Subprime | ||||||||||||
2004 and earlier | 57.86 | 65.34 | 17.40 | |||||||||
Manufactured Housing Loans | ||||||||||||
Subprime | ||||||||||||
2004 and earlier | 57.78 | 55.56 | 3.64 | |||||||||
Total Private-label MBS | 36.95 | % | 40.63 | % | 9.28 | % | ||||||
154
December 31, 2008 | ||||||||||||||||
Original | ||||||||||||||||
Weighted- | Weighted- | Weighted- | Weighted-Average | |||||||||||||
Average Market | Average Credit | Average Credit | Collateral | |||||||||||||
Private-label MBS | Price1 | Support % | Support % | Delinquency % | ||||||||||||
RMBS | ||||||||||||||||
Prime | ||||||||||||||||
2006 | $ | 78.85 | 3.71 | % | 4.56 | % | 0.86 | % | ||||||||
2005 | 93.21 | 2.68 | 3.26 | 1.00 | ||||||||||||
2004 | 95.03 | 2.05 | 2.86 | 0.40 | ||||||||||||
2003 and earlier | 96.24 | 1.21 | 2.17 | 0.27 | ||||||||||||
Total RMBS Prime | 92.40 | 2.14 | 2.97 | 0.54 | ||||||||||||
Alt-A | ||||||||||||||||
2003 and earlier | 87.54 | 10.22 | 31.60 | 10.56 | ||||||||||||
Total RMBS | 92.30 | 2.31 | 3.59 | 0.76 | ||||||||||||
CMBS | ||||||||||||||||
Prime | ||||||||||||||||
2003 and earlier | 100.06 | 26.69 | 38.73 | — | ||||||||||||
HEL | ||||||||||||||||
Subprime | ||||||||||||||||
2003 and earlier | 64.77 | 58.31 | 65.66 | 12.53 | ||||||||||||
Manufactured Housing Loans | ||||||||||||||||
Subprime | ||||||||||||||||
2003 and earlier | 67.16 | 58.26 | 55.99 | 1.88 | ||||||||||||
Total Private-label MBS | $ | 80.15 | 33.79 | % | 38.45 | % | 5.08 | % | ||||||||
155156
September 30, 2009 | December 31, 2008 | |||||||||||||||||||||||
Gross | Weighted-Average | Gross | Weighted-Average | |||||||||||||||||||||
Amortized | Unrealized | Collateral | Amortized | Unrealized | Collateral | |||||||||||||||||||
Private-label MBS | Cost | (Losses) | Delinquency %1 | Cost | (Losses) | Delinquency %1 | ||||||||||||||||||
RMBS | ||||||||||||||||||||||||
Prime | ||||||||||||||||||||||||
Rated Triple A | $ | 336,135 | $ | (5,210 | ) | 0.46 | % | $ | 495,744 | $ | (20,500 | ) | 0.48 | % | ||||||||||
Rated Double A | 13,588 | — | — | — | — | — | ||||||||||||||||||
Rated Single A | 42,546 | (1,801 | ) | 2.64 | 62,401 | (12,027 | ) | 0.76 | ||||||||||||||||
Rated Triple B | — | — | — | 38,451 | (8,517 | ) | 1.01 | |||||||||||||||||
Below Investment Grade | 81,838 | (3,113 | ) | 3.61 | — | — | — | |||||||||||||||||
Total of RMBS Prime | 474,107 | (10,124 | ) | 1.20 | 596,596 | (41,044 | ) | 0.54 | ||||||||||||||||
Alt-A | ||||||||||||||||||||||||
Rated Triple A | 11,312 | (975 | ) | 8.66 | 13,310 | (1,662 | ) | 10.56 | ||||||||||||||||
Total of RMBS | 485,419 | (11,099 | ) | 1.37 | 609,906 | (42,706 | ) | 0.76 | ||||||||||||||||
CMBS | ||||||||||||||||||||||||
Prime | ||||||||||||||||||||||||
Rated Triple A | — | — | — | 266,994 | (127 | ) | — | |||||||||||||||||
HEL | ||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||
Rated Triple A | 212,819 | (62,676 | ) | 16.73 | 346,541 | (105,673 | ) | 13.54 | ||||||||||||||||
Rated Double A | 93,690 | (24,923 | ) | 11.03 | — | — | — | |||||||||||||||||
Rated Single A | 50,073 | (17,953 | ) | 15.58 | 130,277 | (50,977 | ) | 5.68 | ||||||||||||||||
Rated Triple B | 43,496 | (15,848 | ) | 11.71 | 159,648 | (67,419 | ) | 15.96 | ||||||||||||||||
Below Investment Grade | 152,301 | (47,224 | ) | 20.46 | — | — | — | |||||||||||||||||
Total of HEL Subprime | 552,379 | (168,624 | ) | 16.35 | 636,466 | (224,069 | ) | 12.53 | ||||||||||||||||
Manufactured Housing Loans | ||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||
Rated Double A | 208,544 | (46,536 | ) | 3.54 | 229,714 | (75,418 | ) | 1.88 | ||||||||||||||||
Grand Total | $ | 1,246,342 | $ | (226,259 | ) | 8.44 | % | $ | 1,743,080 | $ | (342,320 | ) | 5.08 | % | ||||||||||
March 31, 2010 | December 31, 2009 | |||||||||||||||||||||||
Gross | Weighted-Average | Gross | Weighted-Average | |||||||||||||||||||||
Amortized | Unrealized | Collateral | Amortized | Unrealized | Collateral | |||||||||||||||||||
Private-label MBS | Cost | (Losses) | Delinquency %1 | Cost | (Losses) | Delinquency %1 | ||||||||||||||||||
RMBS | ||||||||||||||||||||||||
Prime | ||||||||||||||||||||||||
Rated Triple A | $ | 280,667 | $ | (2,557 | ) | 0.72 | % | $ | 308,639 | $ | (4,499 | ) | 0.69 | % | ||||||||||
Rated Double A | 11,664 | — | 1.44 | 12,510 | — | 1.38 | ||||||||||||||||||
Rated Single A | 34,219 | (773 | ) | 6.05 | 38,332 | (1,000 | ) | 4.64 | ||||||||||||||||
Below Investment Grade | 72,788 | (1,846 | ) | 5.78 | 76,942 | (2,301 | ) | 4.55 | ||||||||||||||||
Total of RMBS Prime | 399,338 | (5,176 | ) | 2.14 | 436,423 | (7,800 | ) | 1.75 | ||||||||||||||||
Alt-A | ||||||||||||||||||||||||
Rated Triple A | 10,501 | (838 | ) | 12.55 | 10,944 | (938 | ) | 11.22 | ||||||||||||||||
Total of RMBS | 409,839 | (6,014 | ) | 2.40 | 447,367 | (8,738 | ) | 1.98 | ||||||||||||||||
HEL | ||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||
Rated Triple A | 195,317 | (43,068 | ) | 19.21 | 204,356 | (54,224 | ) | 18.26 | ||||||||||||||||
Rated Double A | 89,837 | (11,192 | ) | 6.45 | 91,074 | (22,534 | ) | 10.96 | ||||||||||||||||
Rated Single A | 45,312 | (11,349 | ) | 16.65 | 46,792 | (15,930 | ) | 16.32 | ||||||||||||||||
Rated Triple B | 39,374 | (12,177 | ) | 15.22 | 41,902 | (15,798 | ) | 13.18 | ||||||||||||||||
Below Investment Grade | 134,657 | (38,936 | ) | 21.81 | 141,136 | (43,332 | ) | 21.53 | ||||||||||||||||
Total of HEL Subprime | 504,497 | (116,722 | ) | 17.76 | 525,260 | (151,818 | ) | 17.40 | ||||||||||||||||
Manufactured Housing Loans Subprime | ||||||||||||||||||||||||
Rated Double A | 103,020 | (14,273 | ) | 2.09 | 202,278 | (37,101 | ) | 3.64 | ||||||||||||||||
Rated Single A | 92,680 | (21,557 | ) | 4.48 | — | — | — | |||||||||||||||||
Total of Manufactured Housing Loans Subprime | 195,700 | (35,830 | ) | 3.22 | 202,278 | (37,101 | ) | 3.64 | ||||||||||||||||
Grand Total | $ | 1,110,036 | $ | (158,566 | ) | 9.67 | % | $ | 1,174,905 | $ | (197,657 | ) | 9.28 | % | ||||||||||
1 | Weighted-average collateral delinquency rate is determined based on the underlying loans that are 60 days or more past due. The reported delinquency percentage represents weighted-average based on the dollar amounts of the individual securities in the category and their respective delinquencies. Combined weighted-average collateral delinquency rates are calculated based on UPB amount. |
156157
Three months ended September 30, | Nine months ended September 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Beginning balance | $ | 13,948 | $ | 13,328 | $ | 13,765 | $ | 12,947 | ||||||||
Additions | 19 | 234 | 216 | 615 | ||||||||||||
Charge-offs | — | (20 | ) | (14 | ) | (20 | ) | |||||||||
Ending balance | $ | 13,967 | $ | 13,542 | $ | 13,967 | $ | 13,542 | ||||||||
Three months ended March 31, | ||||||||
2010 | 2009 | |||||||
Beginning balance | $ | 13,934 | $ | 13,765 | ||||
Additions | 27 | 83 | ||||||
Resets* | (161 | ) | — | |||||
Charge-offs | (33 | ) | — | |||||
Recoveries | — | — | ||||||
Ending balance | $ | 13,767 | $ | 13,848 | ||||
* | For the Original MPF, MPF 100, MPF 125 and MPF Plus products, the Credit Enhancement is periodically recalculated. If the recalculated Credit Enhancement would result in a PFI Credit Enhancement obligation lower than the remaining obligation, the PFI’s Credit Enhancement obligation will be reset to the new, lower level. |
157158
Three months ended September 30, | Nine months ended September 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Beginning balance | $ | 2,760 | $ | 879 | $ | 1,406 | $ | 633 | ||||||||
Charge-offs | — | (4 | ) | (14 | ) | (4 | ) | |||||||||
Provision for credit losses on mortgage loans | 598 | (31 | ) | 1,966 | 215 | |||||||||||
Ending balance | $ | 3,358 | $ | 844 | $ | 3,358 | $ | 844 | ||||||||
March 31, 2010 | December 31, 2009 | |||||||
Mortgage loans, net of provisions for credit losses | $ | 1,287,770 | $ | 1,317,547 | ||||
Non-performing mortgage loans held-for-portfolio | $ | 20,706 | $ | 16,007 | ||||
Mortgage loans past due 90 days or more and still accruing interest | $ | 470 | $ | 570 | ||||
September 30, 2009 | December 31, 2008 | |||||||
Mortgage loans, net of provisions for credit losses | $ | 1,336,228 | $ | 1,457,885 | ||||
Non-performing mortgage loans held-for-portfolio | $ | 12,642 | $ | 4,792 | ||||
Mortgage loans past due 90 days or more and still accruing interest | $ | 697 | $ | 507 | ||||
Three months ended September 30, | Nine months ended September 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Interest contractually due1 | $ | 200 | $ | 54 | $ | 505 | $ | 122 | ||||||||
Interest actually received | 179 | 46 | 452 | 102 | ||||||||||||
Shortfall | $ | 21 | $ | 8 | $ | 53 | $ | 20 | ||||||||
Three months ended March 31, | ||||||||
2010 | 2009 | |||||||
Interest contractually due1 | $ | 310 | $ | 112 | ||||
Interest actually received | 279 | 98 | ||||||
Shortfall | $ | 31 | $ | 14 | ||||
1 | The Bank does not recognize interest received as income from uninsured loans past due 90-days or greater. |
Three months ended March 31, | ||||||||
2010 | 2009 | |||||||
Beginning balance | $ | 4,498 | $ | 1,405 | ||||
Charge-offs | (33 | ) | — | |||||
Recoveries | 5 | — | ||||||
Provision for credit losses on mortgage loans | 709 | 443 | ||||||
Ending balance | $ | 5,179 | $ | 1,848 | ||||
158159
March 31, 2010 | ||||||||
Mortgage | Percent of Total | |||||||
Loans | Mortgage Loans | |||||||
Manufacturers and Traders Trust Company | $ | 585,317 | 45.52 | % | ||||
Astoria Federal Savings and Loan Association | 210,457 | 16.37 | ||||||
Elmira Savings and Loan F.A. | 58,782 | 4.57 | ||||||
Ocean First Bank | 50,053 | 3.89 | ||||||
CFCU Community Credit Union | 41,830 | 3.26 | ||||||
All Others | 339,325 | 26.39 | ||||||
Total1 | $ | 1,285,764 | 100.00 | % | ||||
December 31, 2009 | ||||||||
Mortgage | Percent of Total | |||||||
Loans | Mortgage Loans | |||||||
Manufacturers and Traders Trust Company | $ | 607,072 | 46.17 | % | ||||
Astoria Federal Savings and Loan Association | 220,268 | 16.75 | ||||||
Elmira Savings and Loan F.A. | 61,663 | 4.69 | ||||||
Ocean First Bank | 51,277 | 3.90 | ||||||
CFCU Community Credit Union | 42,344 | 3.22 | ||||||
All Others | 332,304 | 25.27 | ||||||
Total1 | $ | 1,314,928 | 100.00 | % | ||||
Note1 | Totals do not include CMA loans. |
160
161
September 30, 2009 | ||||||||||||||||
Total Net | ||||||||||||||||
Number of | Notional | Exposure at | Net Exposure (3) | |||||||||||||
Credit Rating | Counterparties | Balance | Fair Value | after Cash Collateral | ||||||||||||
AAA | 1 | $ | 14,153,165 | $ | — | $ | — | |||||||||
AA | 6 | 29,922,203 | — | — | ||||||||||||
A | 8 | 90,491,420 | — | — | ||||||||||||
Members (Notes 1 and 2) | 2 | 140,000 | 9,092 | 9,092 | ||||||||||||
Delivery Commitments | 11,843 | — | — | |||||||||||||
Total | 17 | $ | 134,718,631 | $ | 9,092 | $ | 9,092 | |||||||||
March 31, 2010 | ||||||||||||||||
Total Net | ||||||||||||||||
Number of | Notional | Exposure at | Net Exposure after | |||||||||||||
Credit Rating | Counterparties | Balance | Fair Value | Cash Collateral3 | ||||||||||||
AAA | — | $ | — | $ | — | $ | — | |||||||||
AA | 8 | 47,643,192 | 2,173 | 2,173 | ||||||||||||
A | 8 | 79,067,292 | — | — | ||||||||||||
Members (Note1 and Note2) | 2 | 165,000 | 7,073 | 7,073 | ||||||||||||
Delivery Commitments | — | 3,249 | — | — | ||||||||||||
Total | 18 | $ | 126,878,733 | $ | 9,246 | $ | 9,246 | |||||||||
December 31, 2009 | ||||||||||||||||
Total Net | ||||||||||||||||
Number of | Notional | Exposure at | Net Exposure after | |||||||||||||
Credit Rating | Counterparties | Balance | Fair Value | Cash Collateral3 | ||||||||||||
AAA | — | $ | — | $ | — | $ | — | |||||||||
AA | 7 | 45,652,167 | 684 | 684 | ||||||||||||
A | 8 | 88,711,243 | — | — | ||||||||||||
Members (Note1 and Note2) | 2 | 160,000 | 7,596 | 7,596 | ||||||||||||
Delivery Commitments | — | 4,210 | — | — | ||||||||||||
Total | 17 | $ | 134,527,620 | $ | 8,280 | $ | 8,280 | |||||||||
December 31, 2008 | ||||||||||||||||
Total Net | ||||||||||||||||
Number of | Notional | Exposure at | Net Exposure (3) | |||||||||||||
Credit Rating | Counterparties | Balance | Fair Value | after Cash Collateral | ||||||||||||
AAA | 1 | $ | 9,167,456 | $ | — | $ | — | |||||||||
AA | 6 | 39,939,946 | — | — | ||||||||||||
A | 7 | 78,656,536 | 64,890 | 3,681 | ||||||||||||
Members (Notes 1 and 2) | 3 | 150,000 | 16,555 | 16,555 | ||||||||||||
Delivery Commitments | — | 10,395 | — | — | ||||||||||||
Total | 17 | $ | 127,924,333 | $ | 81,445 | $ | 20,236 | |||||||||
Note | Fair values of | |
Note | ||
As a result of the | ||
Note | As reported in the Statements of Condition. |
159
162
160
163
164
165
March 31, 2010 | ||||||||||||||||||||
Payments due or expiration terms by period | ||||||||||||||||||||
Less than | One year | Greater than three | Greater than | |||||||||||||||||
one year | to three years | years to five years | five years | Total | ||||||||||||||||
Contractual Obligations | ||||||||||||||||||||
Consolidated obligations-bonds at par1 | $ | 36,813,050 | $ | 25,161,775 | $ | 6,850,550 | $ | 2,878,050 | $ | 71,703,425 | ||||||||||
Mandatorily redeemable capital stock1 | 81,360 | 16,762 | 2,114 | 4,956 | 105,192 | |||||||||||||||
Premises (lease obligations)2 | 3,060 | 6,202 | 5,191 | 5,843 | 20,296 | |||||||||||||||
Total contractual obligations | 36,897,470 | 25,184,739 | 6,857,855 | 2,888,849 | 71,828,913 | |||||||||||||||
Other commitments | ||||||||||||||||||||
Standby letters of credit | 772,638 | 10,589 | 17,016 | 3,861 | 804,104 | |||||||||||||||
Consolidated obligations-bonds/ discount notes traded not settled | 2,517,000 | — | — | — | 2,517,000 | |||||||||||||||
Firm commitment-advances | 160,228 | — | — | — | 160,228 | |||||||||||||||
MBS purchase | 174,048 | — | — | — | 174,048 | |||||||||||||||
Open delivery commitments (MPF) | 3,249 | — | — | — | 3,249 | |||||||||||||||
Total other commitments | 3,627,163 | 10,589 | 17,016 | 3,861 | 3,658,629 | |||||||||||||||
Total obligations and commitments | $ | 40,524,633 | $ | 25,195,328 | $ | 6,874,871 | $ | 2,892,710 | $ | 75,487,542 | ||||||||||
1 | Callable bonds contain exercise date or a series of exercise dates that may result in a shorter redemption period. Mandatorily redeemable capital stock is categorized by the dates at which the corresponding advances outstanding mature. Excess capital stock is redeemed at that time, and hence, these dates better represent the related commitments than the put dates associated with capital stock, under which stock may not be redeemed until the later of five years from the date the member becomes a nonmember or the related advance matures. | |
2 | Immaterial amount of commitments for equipment leases are not included. |
166
• | Obligations of the United States; | |
• | Deposits in banks or trust companies; or | |
• | Advances with a maturity not to exceed five years. |
161167
Average Deposit | Average Actual | |||||||||||
For the quarters ended | Reserve Required | Deposit Liquidity | Excess | |||||||||
September 30, 2009 | $ | 2,189 | $ | 55,890 | $ | 53,701 | ||||||
June 30, 2009 | 2,190 | 57,886 | 55,696 | |||||||||
March 31, 2009 | 1,753 | 63,267 | 61,514 | |||||||||
December 31, 2008 | 2,022 | 66,246 | 64,224 |
Average Deposit | Average Actual | |||||||||||
For the quarters ended | Reserve Required | Deposit Liquidity | Excess | |||||||||
March 31, 2010 | $ | 5,032 | $ | 51,987 | $ | 46,955 | ||||||
December 31, 2009 | 2,364 | 53,089 | 50,725 |
162
Average Balance Sheet | Average Actual | |||||||||||
For the quarters ended | Liquidity Requirement | Operational Liquidity | Excess | |||||||||
September 30, 2009 | $ | 18,348 | $ | 22,205 | $ | 3,857 | ||||||
June 30, 2009 | 11,925 | 25,904 | 13,979 | |||||||||
March 31, 2009 | 9,543 | 20,893 | 11,350 | |||||||||
December 31, 2008 | 8,226 | 14,827 | 6,601 |
Average Balance Sheet | Average Actual | |||||||||||
For the quarters ended | Liquidity Requirement | Operational Liquidity | Excess | |||||||||
March 31, 2010 | $ | 2,283 | $ | 15,796 | $ | 13,513 | ||||||
December 31, 2009 | 6,710 | 16,388 | 9,678 |
168
Average Five Day | Average Actual | |||||||||||
For the quarters ended | Requirement | Contingency Liquidity | Excess | |||||||||
September 30, 2009 | $ | 2,962 | $ | 16,676 | $ | 13,714 | ||||||
June 30, 2009 | 11,877 | 21,030 | 9,153 | |||||||||
March 31, 2009 | 7,443 | 18,709 | 11,266 | |||||||||
December 31, 2008 | 4,727 | 12,930 | 8,203 |
Average Five Day | Average Actual | |||||||||||
For the quarters ended | Requirement | Contingency Liquidity | Excess | |||||||||
March 31, 2010 | $ | 2,424 | $ | 15,463 | $ | 13,039 | ||||||
December 31, 2009 | 2,188 | 15,309 | 13,121 |
• | Cash; | ||
• | Obligations of, or fully guaranteed by, the United States; | ||
• | Secured advances; | ||
• | Mortgages that have any guaranty, insurance, or commitment from the United States or any agency of the United States; | ||
• | Investments described in section 16(a) of the FHLBank Act, including securities that a fiduciary or trust fund may purchase under the laws of the state in which the FHLBank is located; and | ||
• | Other securities that are rated Aaa by Moody’s or AAA by Standard & Poor’s. |
169
March 31, 2010 | December 31, 2009 | |||||||
Consolidated Obligations: | ||||||||
Bonds | $ | 72,408,203 | $ | 74,007,978 | ||||
Discount Notes | 19,815,956 | 30,827,639 | ||||||
Total consolidated obligations | 92,224,159 | 104,835,617 | ||||||
Unpledged assets | ||||||||
Cash | 1,167,824 | 2,189,252 | ||||||
Less: Member pass-through reserves at the FRB | (31,200 | ) | (29,331 | ) | ||||
Secured Advances 2 | 88,858,753 | 94,348,751 | ||||||
Investments1 | 15,561,254 | 16,222,615 | ||||||
Mortgage loans | 1,287,770 | 1,317,547 | ||||||
Accrued interest receivable on advances and investments | 320,730 | 340,510 | ||||||
Less: Pledged Assets | (3,497 | ) | (2,045 | ) | ||||
107,161,634 | 114,387,299 | |||||||
Excess unpledged assets | $ | 14,937,475 | $ | 9,551,682 | ||||
1 | The Bank pledged $3.5 million and $2.0 million at March 31, 2010 and December 31, 2009 to the FDIC. See Note 4- Held-to-maturity securities. | |
2 | The Bank also provided to the U.S. Treasury a listing of $0 and $10.3 billion in advances with respect to a lending agreement at March 31, 2010 and December 31, 2009. See Note 18- Commitments and Contingencies. |
September 30, 2009 | December 31, 2008 | |||||||
Consolidated Obligations: | ||||||||
Bonds | $ | 69,670,836 | $ | 82,256,705 | ||||
Discount Notes | 38,385,244 | 46,329,906 | ||||||
Total consolidated obligations | 108,056,080 | 128,586,611 | ||||||
Unpledged assets | ||||||||
Cash | 1,189,158 | 18,899 | ||||||
Less: Member pass-through reserves at the FRB | (27,125 | ) | (31,003 | ) | ||||
Secured Advances 1 | 95,944,732 | 109,152,876 | ||||||
Investments1 | 18,740,856 | 26,364,661 | ||||||
Mortgage loans | 1,336,228 | 1,457,885 | ||||||
Accrued interest receivable on advances and investments | 354,934 | 492,856 | ||||||
Less: Pledged Assets | (2,178 | ) | (2,669 | ) | ||||
117,536,605 | 137,453,505 | |||||||
Excess unpledged assets | $ | 9,480,525 | $ | 8,866,894 | ||||
163
September 30, 2009 | December 31, 2008 | |||||||||||||||
Actual | Limits | Actual | Limits | |||||||||||||
Mortgage securities investment authority1 | 207 | % | 300 | % | 207 | % | 300 | % | ||||||||
March 31, 2010 | December 31, 2009 | |||||||||||||||
Actual | Limits | Actual | Limits | |||||||||||||
Mortgage securities investment authority1 | 213 | % | 300 | % | 213 | % | 300 | % | ||||||||
1 | The measurement date is on a one-month “look-back” basis. |
170
Moody’s Investors Service | S & P | |||||||||
Year | Outlook | Rating | Short-Term Outlook | Rating | ||||||
2009 | June 19, 2009 - Affirmed | P-1 | July 13, 2009 | Short-Term rating affirmed | A-1+ | |||||
February 2, 2009 - Affirmed | P-1 | |||||||||
2008 | October 29, 2008 - Affirmed | P-1 | June 16, 2008 | Short-Term rating affirmed | A-1+ | |||||
April 17, 2008 - Affirmed | P-1 |
Moody’s Investors Service | S & P | |||||||||||
Year | Outlook | Rating | Long-Term Outlook | Rating | ||||||||
2009 | June 19, 2009 - Affirmed | Aaa/Stable | July 13, 2009 | Long-Term rating affirmed | outlook stable | AAA/Stable | ||||||
February 2, 2009 - Affirmed | Aaa/Stable | |||||||||||
2008 | October 29, 2008 - Affirmed | Aaa/Stable | June 16, 2008 | Long-Term rating affirmed | outlook stable | AAA/Stable | ||||||
April 17, 2008 - Affirmed | Aaa/Stable |
164171
165172
166
167
168173
• | The option-adjusted DOE is limited to a range of +/- four years in the rates unchanged case and to a range of +/- six years in the +/-200bps shock cases. Due to the low interest rate environment beginning in early 2008, the March 2009, June 2009, September 2009, December 2009, and March 2010 rates were too low for a meaningful parallel down-shock measurement. | ||
• | The one-year cumulative re-pricing gap is limited to 10 percent of total assets. | ||
• | The sensitivity of expected net interest income over a one-year period is limited to a -15 percent change under both the +/-200bps shocks compared to the rates unchanged case. | ||
• | The potential decline in the market value of equity is limited to a 10 percent change under the +/-200bps shocks. | ||
• | KRD exposure at any of nine term points (3-month, 1-year, 2-year, 3-year, 5-year, 7-year, 10-year, 15-year, and 30-year) is limited to between +/-12 months. |
169174
Base Case DOE | -200bps DOE | +200bps DOE | Base Case DOE | -200bps DOE | +200bps DOE | |||||||||||||||||||
September 30, 2008 | 0.39 | -2.51 | 1.66 | |||||||||||||||||||||
December 31, 2008 | -2.05 | N/A | 1.44 | |||||||||||||||||||||
March 31, 2009 | -2.24 | N/A | 1.23 | -2.24 | N/A | 1.23 | ||||||||||||||||||
June 30, 2009 | -0.83 | N/A | 1.67 | -0.83 | N/A | 1.67 | ||||||||||||||||||
September 30, 2009 | -0.39 | N/A | 3.88 | -0.39 | N/A | 3.88 | ||||||||||||||||||
December 31, 2009 | 0.42 | N/A | 3.68 | |||||||||||||||||||||
March 31, 2010 | -0.51 | N/A | 3.81 |
One Year Re- | ||||
pricing Gap | ||||
March 31, 2009 | $7.593 Billion | |||
June 30, 2009 | $5.936 Billion | |||
September 30, 2009 | $5.480 Billion | |||
December 31, 2009 | $4.626 Billion | |||
March 31, 2010 | $4.753 Billion |
170175
Sensitivity in | Sensitivity in | |||||||
the -200bps | the +200bps | |||||||
Shock | Shock | |||||||
September 30, 2008 | 3.18 | % | -5.91 | % | ||||
December 31, 2008 | N/A | 24.73 | % | |||||
March 31, 2009 | N/A | 13.11 | % | |||||
June 30, 2009 | N/A | 0.43 | % | |||||
September 30, 2009 | N/A | 9.23 | % |
Sensitivity in | Sensitivity in | |||||||
the -200bps | the +200bps | |||||||
Shock | Shock | |||||||
March 31, 2009 | N/A | 13.11 | % | |||||
June 30, 2009 | N/A | 0.43 | % | |||||
September 30, 2009 | N/A | 9.23 | % | |||||
December 31, 2009 | N/A | 4.53 | % | |||||
March 31, 2010 | N/A | 3.13 | % |
Downshock | +200bps Change in | |||||||
Change in MVE | MVE | |||||||
September 30, 2008 | -0.72 | % | -2.50 | % | ||||
December 31, 2008 | N/A | -0.43 | % | |||||
March 31, 2009 | N/A | 1.01 | % | |||||
June 30, 2009 | N/A | -1.81 | % | |||||
September 30, 2009 | N/A | -4.68 | % |
Down-shock | +200bps Change in | |||||||
Change in MVE | MVE | |||||||
March 31, 2009 | N/A | 1.01 | % | |||||
June 30, 2009 | N/A | -1.81 | % | |||||
September 30, 2009 | N/A | -4.68 | % | |||||
December 31, 2009 | N/A | -5.08 | % | |||||
March 31, 2010 | N/A | -4.53 | % |
171176
Interest Rate Sensitivity | ||||||||||||||||||||
March 31, 2010 | ||||||||||||||||||||
More than | More than | More than | ||||||||||||||||||
Six months | six months to | one year to | three years to | More than | ||||||||||||||||
or less | one year | three years | five years | five years | ||||||||||||||||
Interest-earning assets: | ||||||||||||||||||||
Non-MBS Investments | $ | 7,324 | $ | 182 | $ | 388 | $ | 259 | $ | 447 | ||||||||||
MBS Investments | 6,802 | 869 | 2,242 | 960 | 739 | |||||||||||||||
Adjustable-rate loans and advances | 12,839 | — | — | — | — | |||||||||||||||
Net unswapped | 26,965 | 1,051 | 2,630 | 1,219 | 1,186 | |||||||||||||||
Fixed-rate loans and advances | 9,764 | 7,927 | 14,428 | 7,865 | 32,273 | |||||||||||||||
Swaps hedging advances | 59,911 | (6,708 | ) | (13,635 | ) | (7,319 | ) | (32,250 | ) | |||||||||||
Net fixed-rate loans and advances | 69,675 | 1,219 | 793 | 547 | 23 | |||||||||||||||
Loans to other FHLBanks | — | — | — | — | — | |||||||||||||||
Total interest-earning assets | $ | 96,640 | $ | 2,270 | $ | 3,423 | $ | 1,765 | $ | 1,209 | ||||||||||
Interest-bearing liabilities: | ||||||||||||||||||||
Deposits | $ | 8,010 | $ | — | $ | — | $ | — | $ | — | ||||||||||
Discount notes | 19,565 | 251 | — | — | — | |||||||||||||||
Swapped discount notes | 87 | (87 | ) | — | — | — | ||||||||||||||
Net discount notes | 19,652 | 164 | — | — | — | |||||||||||||||
Consolidated Obligation Bonds | ||||||||||||||||||||
FHLB bonds | 23,450 | 17,060 | 21,654 | 6,793 | 2,823 | |||||||||||||||
Swaps hedging bonds | 41,133 | (15,311 | ) | (18,946 | ) | (5,356 | ) | (1,520 | ) | |||||||||||
Net FHLB bonds | 64,583 | 1,749 | 2,708 | 1,437 | 1,303 | |||||||||||||||
Total interest-bearing liabilities | $ | 92,245 | $ | 1,913 | $ | 2,708 | $ | 1,437 | $ | 1,303 | ||||||||||
Post hedge gaps1: | ||||||||||||||||||||
Periodic gap | $ | 4,395 | $ | 358 | $ | 715 | $ | 328 | $ | (94 | ) | |||||||||
Cumulative gaps | $ | 4,395 | $ | 4,753 | $ | 5,468 | $ | 5,796 | $ | 5,702 |
Note: | Numbers may not add due to rounding. |
1 | Repricing gaps are estimated at the scheduled rate reset dates for floating rate instruments, and at maturity for fixed rate instruments. For callable instruments, the repricing period is estimated by the earlier of the estimated call date under the current interest rate environment or the instrument’s contractual maturity. |
177
Interest Rate Sensitivity | Interest Rate Sensitivity | |||||||||||||||||||||||||||||||||||||||
September 30, 2009 | December 31, 2009 | |||||||||||||||||||||||||||||||||||||||
More than | More than | More than | More than | More than | More than | |||||||||||||||||||||||||||||||||||
Six months | six months to | one year to | three years to | More than | Six months | six months to | one year to | three years to | More than | |||||||||||||||||||||||||||||||
or less | one year | three years | five years | five years | or less | one year | three years | five years | five years | |||||||||||||||||||||||||||||||
Interest-earning assets: | ||||||||||||||||||||||||||||||||||||||||
Non-MBS Investments | $ | 10,354 | $ | 174 | $ | 410 | $ | 243 | $ | 540 | $ | 8,621 | $ | 124 | $ | 371 | $ | 249 | $ | 587 | ||||||||||||||||||||
MBS Investments | 6,580 | 1,365 | 2,681 | 891 | 649 | 6,773 | 903 | 2,420 | 1,167 | 879 | ||||||||||||||||||||||||||||||
Adjustable-rate loans and advances | 15,530 | — | — | — | — | 14,101 | — | — | — | — | ||||||||||||||||||||||||||||||
Net unswapped | 32,464 | 1,539 | 3,091 | 1,134 | 1,190 | 29,495 | 1,027 | 2,791 | 1,416 | 1,466 | ||||||||||||||||||||||||||||||
Fixed-rate loans and advances | 9,332 | 4,198 | 18,841 | 8,732 | 34,969 | 9,588 | 7,853 | 16,124 | 8,254 | 34,814 | ||||||||||||||||||||||||||||||
Swaps hedging advances | 63,711 | (3,449 | ) | (16,873 | ) | (8,448 | ) | (34,940 | ) | 63,852 | (6,722 | ) | (14,389 | ) | (7,950 | ) | (34,791 | ) | ||||||||||||||||||||||
Net fixed-rate loans and advances | 73,042 | 749 | 1,968 | 284 | 29 | 73,441 | 1,131 | 1,735 | 304 | 23 | ||||||||||||||||||||||||||||||
Loans to other FHLBanks | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
Total interest-earning assets | $ | 105,506 | $ | 2,288 | $ | 5,059 | $ | 1,418 | $ | 1,218 | $ | 102,935 | $ | 2,158 | $ | 4,526 | $ | 1,720 | $ | 1,489 | ||||||||||||||||||||
Interest-bearing liabilities: | ||||||||||||||||||||||||||||||||||||||||
Deposits | $ | 2,287 | $ | — | $ | — | $ | — | $ | — | $ | 2,590 | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||||
Discount notes | 36,617 | 1,768 | — | — | — | 28,770 | 2,057 | — | — | — | ||||||||||||||||||||||||||||||
Swapped discount notes | 1,576 | (1,576 | ) | — | — | — | 1,422 | (1,422 | ) | — | — | — | ||||||||||||||||||||||||||||
Net discount notes | 38,193 | 192 | — | — | — | 30,193 | 635 | — | — | — | ||||||||||||||||||||||||||||||
Consolidated Obligation Bonds | ||||||||||||||||||||||||||||||||||||||||
FHLB bonds | 19,320 | 18,270 | 23,178 | 4,839 | 3,242 | 25,717 | 16,014 | 22,829 | 6,033 | 2,844 | ||||||||||||||||||||||||||||||
Swaps hedging bonds | 40,906 | (16,855 | ) | (19,074 | ) | (3,637 | ) | (1,340 | ) | 39,617 | (14,298 | ) | (19,513 | ) | (4,501 | ) | (1,305 | ) | ||||||||||||||||||||||
Net FHLB bonds | 60,227 | 1,415 | 4,104 | 1,202 | 1,902 | 65,334 | 1,716 | 3,316 | 1,532 | 1,539 | ||||||||||||||||||||||||||||||
Total interest-bearing liabilities | $ | 100,707 | $ | 1,607 | $ | 4,104 | $ | 1,202 | $ | 1,902 | $ | 98,117 | $ | 2,351 | $ | 3,316 | $ | 1,532 | $ | 1,539 | ||||||||||||||||||||
Post hedge gaps1: | ||||||||||||||||||||||||||||||||||||||||
Periodic gap | $ | 4,799 | $ | 681 | $ | 955 | $ | 216 | $ | (684 | ) | $ | 4,819 | $ | (193 | ) | $ | 1,210 | $ | 188 | $ | (50 | ) | |||||||||||||||||
Cumulative gaps | $ | 4,799 | $ | 5,480 | $ | 6,436 | $ | 6,652 | $ | 5,968 | $ | 4,819 | $ | 4,626 | $ | 5,837 | $ | 6,024 | $ | 5,974 |
1 | Repricing gaps are estimated at the scheduled rate reset dates for floating rate instruments, and at maturity for fixed rate instruments. For callable instruments, the repricing period is estimated by the earlier of the estimated call date under the current interest rate environment or the instrument’s contractual maturity. |
172178
Interest Rate Sensitivity | ||||||||||||||||||||
December 31, 2008 | ||||||||||||||||||||
More than | More than | More than | ||||||||||||||||||
Six months | six months to | one year to | three years to | More than | ||||||||||||||||
or less | one year | three years | five years | five years | ||||||||||||||||
Interest-earning assets: | ||||||||||||||||||||
Non-MBS Investments | $ | 18,298 | $ | 405 | $ | 404 | $ | 126 | $ | 259 | ||||||||||
MBS Investments | 6,938 | 2,940 | 1,801 | 350 | 209 | |||||||||||||||
Adjustable-rate loans and advances | 20,206 | — | — | — | — | |||||||||||||||
Net unswapped | 45,442 | 3,345 | 2,206 | 475 | 468 | |||||||||||||||
Fixed-rate loans and advances | 21,972 | 3,725 | 14,712 | 7,539 | 35,226 | |||||||||||||||
Swaps hedging advances | 56,677 | (2,842 | ) | (11,801 | ) | (6,864 | ) | (35,170 | ) | |||||||||||
Net fixed-rate loans and advances | 78,649 | 882 | 2,911 | 675 | 56 | |||||||||||||||
Loans to other FHLBanks | — | — | — | — | — | |||||||||||||||
Total interest-earning assets | $ | 124,091 | $ | 4,227 | $ | 5,117 | $ | 1,151 | $ | 524 | ||||||||||
Interest-bearing liabilities: | ||||||||||||||||||||
Deposits | $ | 1,497 | $ | 15 | $ | — | $ | — | $ | — | ||||||||||
Discount notes | 43,981 | 2,348 | — | — | — | |||||||||||||||
Swapped discount notes | 2,031 | (2,031 | ) | — | — | — | ||||||||||||||
Net discount notes | 46,012 | 318 | — | — | — | |||||||||||||||
Consolidated Obligation Bonds | ||||||||||||||||||||
FHLB bonds | 36,367 | 16,153 | 19,613 | 5,405 | 3,441 | |||||||||||||||
Swaps hedging bonds | 32,833 | (14,640 | ) | (13,571 | ) | (3,178 | ) | (1,445 | ) | |||||||||||
Net FHLB bonds | 69,200 | 1,513 | 6,043 | 2,227 | 1,996 | |||||||||||||||
Total interest-bearing liabilities | $ | 116,709 | $ | 1,846 | $ | 6,043 | $ | 2,227 | $ | 1,996 | ||||||||||
Post hedge gaps1: | ||||||||||||||||||||
Periodic gap | $ | 7,382 | $ | 2,382 | $ | (926 | ) | $ | (1,076 | ) | $ | (1,472 | ) | |||||||
Cumulative gaps | $ | 7,382 | $ | 9,764 | $ | 8,837 | $ | 7,761 | $ | 6,289 |
173179
(a) | Evaluation of Disclosure Controls and Procedures: An evaluation of the Bank’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended (the “Act”)) was carried out under the supervision and with the participation of the Bank’s President and Chief Executive Officer, Alfred A. DelliBovi, and Senior Vice President and Chief Financial Officer, Patrick A. Morgan, at | ||
(b) | Changes in Internal Control Over Financial Reporting: There were no changes in the Bank’s internal control over financial reporting (as defined in Rules 13a-15(f) and 15d-15(f) under the Act) during the Bank’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Bank’s internal control over financial reporting. |
174180
175181
Exhibit No. | Identification of Exhibit | |||
Bank 2010 Incentive Compensation Plan*** | ||||
31.01 | Certification Pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934 and Section 302 of the Sarbanes-Oxley Act of 2002 by Chief Executive Officer | |||
31.02 | Certification Pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934 and Section 302 of the Sarbanes-Oxley Act of 2002 by Chief Financial Officer | |||
32.01 | Certification of Chief Executive Officer furnished pursuant to Section 906 of the Sarbanes-Oxley Act 2002, 18 U.S.C. Section 1350 | |||
32.02 | Certification of Chief Financial Officer furnished pursuant to Section 906 of the Sarbanes-Oxley Act 2002, 18 U.S.C. Section 1350 |
* | This exhibit includes a management contract, compensatory plan or arrangement required to be noted herein. | |
** | Portions of the exhibit have been omitted and separately filed with the U.S. Securities and Exchange Commission with a request for confidential treatment. |
176182
(Registrant) | ||||
By: | /s/ Patrick A. Morgan | |||
Patrick A. Morgan | ||||
Senior Vice President and Chief Financial Officer Federal Home Loan (on behalf of the Financial Officer) |
177183