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SECURITIES AND EXCHANGE COMMISSION
þ | QUARTERLY 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) |
(Registrant’s telephone number, including area code)
Large accelerated filero | Accelerated filero | Non-accelerated filerþ | Smaller reporting companyo | |||
(Do not check if a smaller reporting company) |
FORM 10-Q FOR THE QUARTERLY PERIOD ENDED September 30, 2009
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PART I. FINANCIAL INFORMATION | ||||||||
Item 1. FINANCIAL STATEMENTS (Unaudited): | ||||||||
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Exhibit 31.01 | ||||||||
Exhibit 31.02 | ||||||||
Exhibit 32.01 | ||||||||
Exhibit 32.02 |
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September 30, 2009 | December 31, 2008 | |||||||
Assets | ||||||||
Cash and due from banks (Note 2) | $ | 1,189,158 | $ | 18,899 | ||||
Interest-bearing deposits (Note 3) | — | 12,169,096 | ||||||
Federal funds sold | 3,900,000 | — | ||||||
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 | ||||||
Held-to-maturity securities (Note 4) | ||||||||
Long-term securities | 10,478,027 | 10,130,543 | ||||||
Certificates of deposit | 2,000,000 | 1,203,000 | ||||||
Advances (Note 6) | 95,944,732 | 109,152,876 | ||||||
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 | ||||||
Accrued interest receivable | 354,934 | 492,856 | ||||||
Premises, software, and equipment | 14,596 | 13,793 | ||||||
Derivative assets (Note 15) | 9,092 | 20,236 | ||||||
Other assets | 14,957 | 18,838 | ||||||
Total assets | $ | 117,604,316 | $ | 137,539,891 | ||||
Liabilities and capital | ||||||||
Liabilities | ||||||||
Deposits (Note 9) | ||||||||
Interest-bearing demand | $ | 2,255,403 | $ | 1,333,750 | ||||
Non-interest bearing demand | 4,968 | 828 | ||||||
Term | 15,600 | 117,400 | ||||||
Total deposits | 2,275,971 | 1,451,978 | ||||||
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 | ||||||
Discount notes | 38,385,244 | 46,329,906 | ||||||
Total consolidated obligations | 108,056,080 | 128,586,611 | ||||||
Mandatorily redeemable capital stock (Note 11) | 127,882 | 143,121 | ||||||
Accrued interest payable | 337,221 | 426,144 | ||||||
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 | ||||||
Other liabilities | 91,115 | 75,753 | ||||||
Total liabilities | 111,943,527 | 131,672,496 | ||||||
Commitments and Contingencies(Notes 8, 10, 15 and 17) | ||||||||
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 | ||||||
Retained earnings | 666,237 | 382,856 | ||||||
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 | — | ||||||
Net unrealized loss on hedging activities | (24,504 | ) | (30,191 | ) | ||||
Employee supplemental retirement plans (Note 14) | (6,550 | ) | (6,550 | ) | ||||
Total capital | 5,660,789 | 5,867,395 | ||||||
Total liabilities and capital | $ | 117,604,316 | $ | 137,539,891 | ||||
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Three months ended | Nine months ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Interest income | ||||||||||||||||
Advances (Note 6) | $ | 240,573 | $ | 678,896 | $ | 1,094,089 | $ | 2,211,823 | ||||||||
Interest-bearing deposits (Note 3) | 1,014 | 3,240 | 19,054 | 17,086 | ||||||||||||
Federal funds sold | 1,864 | 21,316 | 1,933 | 69,921 | ||||||||||||
Available-for-sale securities (Note 5) | 6,590 | 24,441 | 22,881 | 57,016 | ||||||||||||
Held-to-maturity securities (Note 4) | ||||||||||||||||
Long-term securities | 111,232 | 138,412 | 355,916 | 396,660 | ||||||||||||
Certificates of deposit | 851 | 51,287 | 1,392 | 212,525 | ||||||||||||
Mortgage loans held-for-portfolio (Note 7) | 17,405 | 19,316 | 54,679 | 58,348 | ||||||||||||
Loans to other FHLBanks and other | 1 | 30 | 1 | 33 | ||||||||||||
Total interest income | 379,530 | 936,938 | 1,549,945 | 3,023,412 | ||||||||||||
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 | ||||||||||||
Mandatorily redeemable capital stock (Note 11) | 1,807 | 1,950 | 5,478 | 8,884 | ||||||||||||
Cash collateral held and other borrowings | — | 242 | 49 | 982 | ||||||||||||
Total interest expense | 225,678 | 779,265 | 964,452 | 2,554,482 | ||||||||||||
Net interest income before provision for credit losses | 153,852 | 157,673 | 585,493 | 468,930 | ||||||||||||
Provision (recovery) for credit losses on mortgage loans | 598 | (31 | ) | 1,966 | 215 | |||||||||||
Net interest income after provision for credit losses | 153,254 | 157,704 | 583,527 | 468,715 | ||||||||||||
Other income (loss) | ||||||||||||||||
Service fees | 1,101 | 934 | 3,181 | 2,422 | ||||||||||||
Instruments held at fair value — Unrealized gain (Note 16) | 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 (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 | ) | ||||||||||
Other | (39 | ) | 92 | 59 | (42 | ) | ||||||||||
Total other income (loss) | 57,444 | (85,430 | ) | 122,951 | (122,699 | ) | ||||||||||
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 | ||||||||||||
Income before assessments | 191,054 | 54,375 | 646,845 | 292,259 | ||||||||||||
Affordable Housing Program (Note 10) | 15,780 | 4,638 | 53,363 | 24,764 | ||||||||||||
REFCORP (Note 10) | 35,055 | 9,947 | 118,696 | 53,499 | ||||||||||||
Total assessments | 50,835 | 14,585 | 172,059 | 78,263 | ||||||||||||
Net income | $ | 140,219 | $ | 39,790 | $ | 474,786 | $ | 213,996 | ||||||||
Basic earnings per share (Note 13) | $ | 2.70 | $ | 0.79 | $ | 8.93 | $ | 4.55 | ||||||||
Cash dividends paid per share | $ | 1.40 | $ | 1.62 | $ | 3.54 | $ | 5.67 | ||||||||
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Accumulated | ||||||||||||||||||||||||
Capital Stock1 | Other | Total | ||||||||||||||||||||||
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 | ||||||||||||||
Balance, December 31, 2008 | 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 | |||||||||||||||||||
Redemption of capital stock | (31,363 | ) | (3,136,345 | ) | — | — | (3,136,345 | ) | ||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock | (4 | ) | (434 | ) | — | — | (434 | ) | ||||||||||||||||
Cash dividends ($3.54 per share) on capital stock | — | — | (191,405 | ) | — | (191,405 | ) | |||||||||||||||||
Net Income | — | — | 474,786 | — | 474,786 | $ | 474,786 | |||||||||||||||||
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 | ||||||||||||||||||
Hedging activities | — | — | — | 5,687 | 5,687 | 5,687 | ||||||||||||||||||
$ | 428,345 | |||||||||||||||||||||||
Balance, September 30, 2009 | 51,422 | $ | 5,142,154 | $ | 666,237 | $ | (147,602 | ) | $ | 5,660,789 | ||||||||||||||
1 | Putable stock |
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Nine months ended | ||||||||
September 30, | ||||||||
2009 | 2008 | |||||||
Operating activities | ||||||||
Net Income | $ | 474,786 | $ | 213,996 | ||||
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 | ) | ||||
Concessions on consolidated obligations | 4,977 | 6,904 | ||||||
Premises, software, and equipment | 4,020 | 3,575 | ||||||
Provision for derivative counterparty credit losses | — | 64,523 | ||||||
Provision for credit losses on mortgage loans | 1,966 | 215 | ||||||
Net realized (gains) from redemption of held-to-maturity securities | (281 | ) | (1,058 | ) | ||||
Net realized (gains) from sale of available-for-sale securities | (440 | ) | — | |||||
Credit impairment losses on held-to-maturity securities | 14,276 | — | ||||||
Change in net fair value adjustments on derivatives and hedging activities | 68,323 | (468,072 | ) | |||||
Change in fair value adjustments on financial instruments held at fair value | (8,653 | ) | (3,582 | ) | ||||
Net change in: | ||||||||
Accrued interest receivable | 137,921 | 110,871 | ||||||
Derivative assets due to accrued interest | 184,842 | 151,442 | ||||||
Derivative liabilities due to accrued interest | (250,161 | ) | (91,585 | ) | ||||
Other assets | 4,830 | (48,769 | ) | |||||
Affordable Housing Program liability | 22,373 | 3,323 | ||||||
Accrued interest payable | (95,244 | ) | (4,878 | ) | ||||
REFCORP liability | 33,912 | (14,093 | ) | |||||
Other liabilities | (5,759 | ) | (20,024 | ) | ||||
Total adjustments | 21,412 | (414,853 | ) | |||||
Net cash provided (used) by operating activities | 496,198 | (200,857 | ) | |||||
Investing activities | ||||||||
Net change in: | ||||||||
Interest-bearing deposits | 13,471,204 | (341,090 | ) | |||||
Federal funds sold | (3,900,000 | ) | (2,031,000 | ) | ||||
Deposits with other FHLBanks | (84 | ) | (127 | ) | ||||
Premises, software, and equipment | (4,823 | ) | (3,876 | ) | ||||
Held-to-maturity securities: | ||||||||
Long-term securities | ||||||||
Purchased | (2,754,476 | ) | (2,142,900 | ) | ||||
Repayments | 2,283,149 | 1,862,789 | ||||||
In-substance maturities | 38,251 | 94,634 | ||||||
Net change in certificates of deposit | (797,000 | ) | 5,284,200 | |||||
Available-for-sale securities: | ||||||||
Purchased | (613 | ) | (3,244,285 | ) | ||||
Proceeds | 420,607 | 251,777 | ||||||
Proceeds from sales | 132,095 | 546 | ||||||
Advances: | ||||||||
Principal collected | 320,102,436 | 389,788,259 | ||||||
Made | (308,324,718 | ) | (410,797,243 | ) | ||||
Mortgage loans held-for-portfolio: | ||||||||
Principal collected | 235,596 | 135,832 | ||||||
Purchased and originated | (117,152 | ) | (105,733 | ) | ||||
Loans to other FHLBanks | ||||||||
Loans made | (400,000 | ) | (661,000 | ) | ||||
Principal collected | 400,000 | 716,000 | ||||||
Net cash provided (used) by investing activities | 20,784,472 | (21,193,217 | ) | |||||
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Statements of Cash Flows — Unaudited (in thousands)
For the nine months ended September 30, 2009 and 2008
Nine months ended | ||||||||
September 30, | ||||||||
2009 | 2008 | |||||||
Financing activities | ||||||||
Net change in: | ||||||||
Deposits and other borrowings1 | $ | 531,109 | $ | 1,601,874 | ||||
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 | ||||||
Payments for maturing and early retirement | (47,224,995 | ) | (30,051,498 | ) | ||||
Consolidated obligation discount notes: | ||||||||
Proceeds from issuance | 814,559,648 | 536,200,240 | ||||||
Payments for maturing | (822,438,650 | ) | (542,193,830 | ) | ||||
Capital stock: | ||||||||
Proceeds from issuance | 2,693,233 | 3,697,013 | ||||||
Payments for redemption / repurchase | (3,136,345 | ) | (2,496,361 | ) | ||||
Redemption of Mandatorily redeemable capital stock | (15,673 | ) | (159,857 | ) | ||||
Cash dividends paid2 | (191,405 | ) | (250,104 | ) | ||||
Net cash (used) provided by financing activities | (20,110,411 | ) | 21,857,339 | |||||
Net increase in cash and cash equivalents | 1,170,259 | 463,265 | ||||||
Cash and cash equivalents at beginning of the period | 18,899 | 7,909 | ||||||
Cash and cash equivalents at end of the period | $ | 1,189,158 | $ | 471,174 | ||||
Supplemental disclosures: | ||||||||
Interest paid | $ | 1,161,678 | $ | 2,096,160 | ||||
Affordable Housing Program payments3 | $ | 30,990 | $ | 21,441 | ||||
REFCORP payments | $ | 84,784 | $ | 67,593 | ||||
Transfers of mortgage loans to real estate owned | $ | 1,091 | $ | 356 | ||||
Portion of non-credit OTTI losses on held-to-maturity securities | $ | 103,884 | $ | — |
1 | Includes $227,796 of cash out-flows from derivatives for the nine months ended September 30, 2009 and $477,204 cash in-flows for the nine months ended September 30, 2008. | |
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. |
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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 | ) | |||||||||||||||||||
* | 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 | ) | |||||||||||||||||||||
* | RMBS-Prime — Private-label MBS supported by prime residential loans; HEL Subprime — MBS supported by home equity loans. |
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 | |||||||||||||||||||||||||||
* | 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. |
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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 | $ | — | ||||||||
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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 | |||||||||||
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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 | |||||||
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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 | ) | |||||||||
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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 | |||||||
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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 | ) | |||||||||
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September 30, 2009 | December 31, 2008 | |||||||||||||||||||||||
Weighted2 | Weighted2 | |||||||||||||||||||||||
Average | Percentage | Average | Percentage | |||||||||||||||||||||
Amount | Yield | of Total | Amount | Yield | of Total | |||||||||||||||||||
Overdrawn demand deposit accounts | $ | — | — | % | — | % | $ | — | — | % | — | % | ||||||||||||
Due in one year or less | 20,222,153 | 1.98 | 22.08 | 32,420,095 | 2.52 | 31.36 | ||||||||||||||||||
Due after one year through two years | 15,572,319 | 3.00 | 17.00 | 16,150,121 | 3.71 | 15.62 | ||||||||||||||||||
Due after two years through three years | 8,933,691 | 2.99 | 9.75 | 7,634,680 | 3.76 | 7.39 | ||||||||||||||||||
Due after three years through four years | 6,604,702 | 3.20 | 7.21 | 6,852,514 | 3.74 | 6.63 | ||||||||||||||||||
Due after four years through five years | 3,565,489 | 3.38 | 3.89 | 3,210,575 | 3.88 | 3.11 | ||||||||||||||||||
Due after five years through six years | 1,787,448 | 3.77 | 1.95 | 836,689 | 3.74 | 0.81 | ||||||||||||||||||
Thereafter | 34,916,207 | 3.80 | 38.12 | 36,275,053 | 3.96 | 35.08 | ||||||||||||||||||
Total par value | 91,602,009 | 3.12 | % | 100.00 | % | 103,379,727 | 3.44 | % | 100.00 | % | ||||||||||||||
Discount on AHP advances1 | (275 | ) | (330 | ) | ||||||||||||||||||||
Hedging adjustments1 | 4,342,998 | 5,773,479 | ||||||||||||||||||||||
Total | $ | 95,944,732 | $ | 109,152,876 | ||||||||||||||||||||
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 September 30, 2009 and 1.25% to 6.04% at December 31, 2008. | |
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 | ||||||||||||
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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 | ||||||||||||
1 | Represents fair value basis of open and closed delivery commitments. |
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Table of Contents
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 | ||||||||
September 30, 2009 | December 31, 2008 | |||||||
Secured by 1-4 family | $ | 698 | $ | 507 | ||||
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Table of Contents
September 30, 2009 | December 31, 2008 | |||||||
Percentage of unpledged qualifying assets to consolidated obligations | 109 | % | 107 | % | ||||
36
Table of Contents
September 30, 2009 | December 31, 2008 | |||||||
Consolidated obligation bonds-amortized cost | $ | 68,849,386 | $ | 80,978,383 | ||||
Fair value basis adjustments | 817,374 | 1,254,523 | ||||||
Fair value basis on terminated hedges | 3,108 | 7,857 | ||||||
Fair value option valuation adjustments and accrued interest | 968 | 15,942 | ||||||
Total Consolidated obligation-bonds | $ | 69,670,836 | $ | 82,256,705 | ||||
Discount notes-amortized cost | $ | 38,385,244 | $ | 46,329,545 | ||||
Fair value basis adjustments | — | 361 | ||||||
Total Consolidated obligation-discount notes | $ | 38,385,244 | $ | 46,329,906 | ||||
September 30, 2009 | December 31, 2008 | |||||||||||||||||||||||
Weighted | Weighted | |||||||||||||||||||||||
Average | Percentage | Average | Percentage | |||||||||||||||||||||
Maturity | 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 | % | ||||||||||||
Over one year through two years | 19,296,100 | 2.00 | 28.06 | 16,192,550 | 3.20 | 20.00 | ||||||||||||||||||
Over two years through three years | 5,434,495 | 2.59 | 7.90 | 5,299,700 | 3.73 | 6.55 | ||||||||||||||||||
Over three years through four years | 2,956,730 | 4.05 | 4.30 | 2,469,575 | 4.75 | 3.05 | ||||||||||||||||||
Over four years through five years | 1,943,800 | 4.13 | 2.82 | 3,352,450 | 3.99 | 4.14 | ||||||||||||||||||
Over five years through six years | 1,224,850 | 4.94 | 1.78 | 989,300 | 5.06 | 1.22 | ||||||||||||||||||
Thereafter | 2,110,200 | 5.30 | 3.08 | 3,082,050 | 5.35 | 3.81 | ||||||||||||||||||
Total par value | 68,772,275 | 2.01 | % | 100.00 | % | 80,954,175 | 2.64 | % | 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 | ||||||||||||||||||||
1 | Weighted average rate represents the weighted average coupons of bonds, unadjusted for swaps. The weighted average coupon of bonds outstanding at September 30, 2009 and December 31, 2008, represent contractual coupons payable to investors. |
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Table of Contents
September 30, 2009 | December 31, 2008 | |||||||||||||||
Percentage of | Percentage of | |||||||||||||||
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 | % | ||||||||
Due or callable after one year through two years | 16,921,400 | 24.61 | 15,472,350 | 19.11 | ||||||||||||
Due or callable after two years through three years | 3,389,495 | 4.93 | 4,843,700 | 5.98 | ||||||||||||
Due or callable after three years through four years | 2,696,730 | 3.92 | 1,445,575 | 1.79 | ||||||||||||
Due or callable after four years through five years | 1,326,800 | 1.93 | 2,954,450 | 3.65 | ||||||||||||
Due or callable after five years through six years | 1,114,850 | 1.62 | 684,800 | 0.85 | ||||||||||||
Thereafter | 1,994,900 | 2.90 | 2,518,750 | 3.11 | ||||||||||||
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 | ||||||||||||
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 | % | ||||
September 30, 2009 | December 31, 2008 | |||||||
Due in one year or less | $ | 15,600 | $ | 117,400 | ||||
Total term deposits | $ | 15,600 | $ | 117,400 | ||||
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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
Table of Contents
1 | On December 12, 2007 the Finance Board, the predecessor of the Finance Agency, approved amendments to the FHLBNY’s capital plan, which 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 would become 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. |
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Table of Contents
September 30, 2009 | December 31, 2008 | |||||||||||||||
Required4 | Actual | Required4 | Actual | |||||||||||||
Regulatory capital requirements: | ||||||||||||||||
Risk-based capital1 | $ | 558,940 | $ | 5,936,273 | $ | 650,333 | $ | 6,111,676 | ||||||||
Total capital-to-asset ratio | 4.00 | % | 5.05 | % | 4.00 | % | 4.44 | % | ||||||||
Total capital2 | $ | 4,704,173 | $ | 5,939,631 | $ | 5,501,596 | $ | 6,113,082 | ||||||||
Leverage ratio | 5.00 | % | 7.57 | % | 5.00 | % | 6.67 | % | ||||||||
Leverage capital3 | $ | 5,880,216 | $ | 8,907,767 | $ | 6,876,995 | $ | 9,168,920 |
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. |
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September 30, 2009 | December 31, 2008 | |||||||
Redemption less than one year | $ | 82,076 | $ | 38,328 | ||||
Redemption from one year to less than three years | 38,724 | 83,159 | ||||||
Redemption from three years to less than five years | 2,123 | 14,646 | ||||||
Redemption after five years or greater | 4,959 | 6,988 | ||||||
Total | $ | 127,882 | $ | 143,121 | ||||
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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 | ) | |||||||||||||||
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 | ) | |||||||||||||||
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Three months ended September 30, | Nine months ended September 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Net income | $ | 140,219 | $ | 39,790 | $ | 474,786 | $ | 213,996 | ||||||||
Net income available to stockholders | $ | 140,219 | $ | 39,790 | $ | 474,786 | $ | 213,996 | ||||||||
Weighted average shares of capital | 53,233 | 52,000 | 54,505 | 48,757 | ||||||||||||
Less: Mandatorily redeemable capital stock | (1,280 | ) | (1,538 | ) | (1,351 | ) | (1,742 | ) | ||||||||
Average number of shares of capital used to calculate earnings per share | 51,953 | 50,462 | 53,154 | 47,015 | ||||||||||||
Net earnings per share of capital | $ | 2.70 | $ | 0.79 | $ | 8.93 | $ | 4.55 | ||||||||
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Three months ended September 30, | Nine months ended September 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Defined Benefit Plan | $ | 1,441 | $ | 1,556 | $ | 4,324 | $ | 4,545 | ||||||||
Benefit Equalization Plan (defined benefit) | 515 | 469 | 1,544 | 1,408 | ||||||||||||
Defined Contribution Plan and BEP Thrift | 582 | 162 | 1,366 | 650 | ||||||||||||
Postretirement Health Benefit Plan | 251 | 250 | 753 | 749 | ||||||||||||
Total retirement plan expenses | $ | 2,789 | $ | 2,437 | $ | 7,987 | $ | 7,352 | ||||||||
Three months ended September 30, | Nine months ended September 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Service cost | $ | 153 | $ | 154 | $ | 458 | $ | 460 | ||||||||
Interest cost | 263 | 235 | 789 | 708 | ||||||||||||
Amortization of unrecognized prior service cost | (36 | ) | (35 | ) | (108 | ) | (107 | ) | ||||||||
Amortization of unrecognized net loss | 135 | 115 | 405 | 347 | ||||||||||||
Net periodic benefit cost | $ | 515 | $ | 469 | $ | 1,544 | $ | 1,408 | ||||||||
September 30, 2009 | December 31, 2008 | |||||||
Discount rate * | 6.14 | % | 6.14 | % | ||||
Salary increases | 5.50 | % | 5.50 | % | ||||
Amortization period (years) | 8 | 8 | ||||||
Benefits paid during the periods | $ | (544 | ) | $ | (392 | ) |
* | The discount rate was based on the Citigroup Pension Liability Index at December 31, 2008 and adjusted for durations. |
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Three months ended September 30, | Nine months ended September 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Service cost (benefits attributed to service during the period) | $ | 139 | $ | 129 | $ | 417 | $ | 385 | ||||||||
Interest cost on accumulated postretirement health benefit obligation | 217 | 225 | 651 | 680 | ||||||||||||
Amortization of loss | 78 | 78 | 234 | 232 | ||||||||||||
Amortization of prior service cost/(credit) | (183 | ) | (182 | ) | (549 | ) | (548 | ) | ||||||||
Net periodic postretirement health benefit cost | $ | 251 | $ | 250 | $ | 753 | $ | 749 | ||||||||
September 30, 2009 | December 31, 2008 | |||||||
Weighted average discount rate at the end of the year* | 6.14 | % | 6.14 | % | ||||
Health care cost trend rates: | ||||||||
Assumed for next year | 7.00 | % | 7.00 | % | ||||
Ultimate rate | 5.00 | % | 5.00 | % | ||||
Year that ultimate rate is reached | 2011 | 2011 | ||||||
Alternative amortization methods used to amortize | ||||||||
Prior service cost | Straight - line | Straight - line | ||||||
Unrecognized net (gain) or loss | Straight - line | Straight - line |
* | The discount rate was based on the Citigroup Pension Liability Index at December 31, 2008 and adjusted for durations. |
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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 | ) | |||||||
*Other: | Comprised of $2.4 billion notional of swaps in economic hedges of debt designated under the FVO, and $0.3 billion swaps intermediated for members. |
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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 | ) | |||||||
*Other: | Comprised of $1.0 billion notional of swaps in economic hedges of debt designated under the FVO, and $0.3 billion swaps intermediated for members. |
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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 | ) | ||||||
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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 | ) | |||||||||||
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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 | ) | |||||||||||
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Three months ended September 30, | ||||||||||||||||||||||||||||||||
2009 | 2008 | |||||||||||||||||||||||||||||||
OCI | OCI | |||||||||||||||||||||||||||||||
Gains/(Losses) | Gains/(Losses) | |||||||||||||||||||||||||||||||
Location: | Amount | Ineffectiveness | Location: | Amount | Ineffectiveness | |||||||||||||||||||||||||||
Recognized in | Reclassified to | Reclassified to | Recognized in | Recognized in | Reclassified to | Reclassified to | Recognized in | |||||||||||||||||||||||||
OCI1 | Earnings1 | Earnings1 | Earnings | OCI1, 2 | Earnings1 | Earnings1 | Earnings | |||||||||||||||||||||||||
The effect of cash flow hedge related to Interest rate swaps | ||||||||||||||||||||||||||||||||
Advances | $ | — | Interest Income | $ | — | $ | — | $ | — | Interest Income | $ | — | $ | — | ||||||||||||||||||
Consolidated obligations-bonds | — | Interest Expense | 1,898 | 61 | Interest Expense | 1,667 | — | |||||||||||||||||||||||||
Total | $ | — | $ | 1,898 | $ | — | $ | 61 | $ | 1,667 | $ | — | ||||||||||||||||||||
1 | Effective portion |
Nine months ended September 30, | ||||||||||||||||||||||||||||||||
2009 | 2008 | |||||||||||||||||||||||||||||||
OCI | OCI | |||||||||||||||||||||||||||||||
Gains/(Losses) | Gains/(Losses) | |||||||||||||||||||||||||||||||
Location: | Amount | Ineffectiveness | Location: | Amount | Ineffectiveness | |||||||||||||||||||||||||||
Recognized in | Reclassified to | Reclassified to | Recognized in | Recognized in | Reclassified to | Reclassified to | Recognized in | |||||||||||||||||||||||||
OCI1 | Earnings1 | Earnings1 | Earnings | OCI1, 2 | Earnings1 | Earnings | Earnings | |||||||||||||||||||||||||
The effect of cash flow hedge related to Interest rate swaps | ||||||||||||||||||||||||||||||||
Advances | $ | — | Interest Income | $ | — | $ | — | $ | — | Interest Income | $ | — | $ | — | ||||||||||||||||||
Consolidated obligations-bonds | — | Interest Expense | 5,687 | — | (6,109 | ) | Interest Expense | 4,345 | 9 | |||||||||||||||||||||||
Total | $ | — | $ | 5,687 | $ | — | $ | (6,109 | ) | $ | 4,345 | $ | 9 | |||||||||||||||||||
1 | Effective portion | |
2 | Represents effective portion of basis adjustments to OCI during the period from cash flow hedging transactions. |
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(in thousands):
September 30, 2009 | ||||||||||||||||||||
�� | Netting | |||||||||||||||||||
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 | ) | ||||||||||||||||
Total assets at fair value | $ | 2,371,684 | $ | — | $ | 3,709,738 | $ | — | $ | (1,338,054 | ) | |||||||||
Liabilities | ||||||||||||||||||||
Consolidated obligations: | ||||||||||||||||||||
Bonds | $ | (2,385,968 | ) | $ | — | $ | (2,385,968 | ) | $ | — | $ | — | ||||||||
Derivative liabilities | (871,744 | ) | — | (4,744,059 | ) | — | 3,872,315 | |||||||||||||
Total liabilities at fair value | $ | (3,257,712 | ) | $ | — | $ | (7,130,027 | ) | $ | — | $ | 3,872,315 | ||||||||
December 31, 2008 | ||||||||||||||||||||
Netting | ||||||||||||||||||||
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 | ) | ||||||||||||||
Total assets at fair value | $ | 2,882,105 | $ | — | $ | 4,248,728 | $ | — | $ | (1,366,623 | ) | |||||||||
Liabilities | ||||||||||||||||||||
Consolidated obligations: | ||||||||||||||||||||
Bonds | $ | (998,942 | ) | $ | — | $ | (998,942 | ) | $ | — | $ | — | ||||||||
Derivative liabilities | (861,660 | ) | — | (5,978,026 | ) | — | 5,116,366 | |||||||||||||
Total liabilities at fair value | $ | (1,860,602 | ) | $ | — | $ | (6,976,968 | ) | $ | — | $ | 5,116,366 | ||||||||
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Credit Loss * | ||||||||||||||||||||||||
September 30, 2009 | ||||||||||||||||||||||||
Fair Value | Level 1 | Level 2 | Level 3 | Three months | Nine months | |||||||||||||||||||
Held-to-maturity securities | ||||||||||||||||||||||||
Private-label residential MBS | $ | 125,771 | $ | — | $ | — | $ | 125,771 | $ | 3,683 | $ | 14,276 | ||||||||||||
Total | $ | 125,771 | $ | — | $ | — | $ | 125,771 | $ | 3,683 | $ | 14,276 | ||||||||||||
* | Note: The credit losses recognized in the current year third quarter of $3.7 million were associated with the held-to-maturity (“HTM”) securities determined to be OTTI at September 30, 2009. The credit impaired HTM securities were recorded in the Statements of Condition at their total fair values of $125.8 million at September 30, 2009. Cumulative credit losses of $14.3 million include credit losses on HTM securities that were previously impaired. For HTM securities that were previously credit impaired but no additional credit impairment were deemed necessary in the current quarter, the securities were recorded- consistent with accounting rules-at their carrying values and not re-adjusted to their fair values. |
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September 30, 2009 | December 31, 2008 | |||||||||||||||
Carrying | Estimated | Carrying | Estimated | |||||||||||||
Financial Instruments | Value | Fair Value | Value | Fair Value | ||||||||||||
Assets | ||||||||||||||||
Cash and due from banks | $ | 1,189,158 | $ | 1,189,158 | $ | 18,899 | $ | 18,899 | ||||||||
Interest-bearing deposits | — | — | 12,169,096 | 12,170,681 | ||||||||||||
Federal funds sold | 3,900,000 | 3,899,997 | — | — | ||||||||||||
Available-for-sale securities | 2,362,592 | 2,362,592 | 2,861,869 | 2,861,869 | ||||||||||||
Held-to-maturity securities | ||||||||||||||||
Long-term securities | 10,478,027 | 10,596,548 | 10,130,543 | 9,934,473 | ||||||||||||
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 | ||||||||||||
Mortgage loans, net | 1,336,228 | 1,402,028 | 1,457,885 | 1,496,329 | ||||||||||||
Accrued interest receivable | 354,934 | 354,934 | 492,856 | 492,856 | ||||||||||||
Derivative assets | 9,092 | 9,092 | 20,236 | 20,236 | ||||||||||||
Other financial assets | 4,224 | 4,224 | 2,713 | 2,713 | ||||||||||||
Liabilities | ||||||||||||||||
Deposits | 2,275,971 | 2,275,983 | 1,451,978 | 1,452,648 | ||||||||||||
Consolidated obligations: | ||||||||||||||||
Bonds | 69,670,836 | 70,032,687 | 82,256,705 | 82,533,048 | ||||||||||||
Discount notes | 38,385,244 | 38,396,793 | 46,329,906 | 46,408,907 | ||||||||||||
Mandatorily redeemable capital stock | 127,882 | 127,882 | 143,121 | 143,121 | ||||||||||||
Accrued interest payable | 337,221 | 337,221 | 426,144 | 426,144 | ||||||||||||
Derivative liabilities | 871,744 | 871,744 | 861,660 | 861,660 | ||||||||||||
Other financial liabilities | 33,784 | 33,784 | 38,594 | 38,594 |
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Three months ended | Nine months ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Balance, beginning of the period | $ | 550,303 | $ | — | $ | 998,942 | $ | — | ||||||||
New transaction elected for fair value option | 1,835,000 | 589,000 | 2,385,000 | 589,000 | ||||||||||||
Maturities and terminations | — | — | (983,000 | ) | — | |||||||||||
Change in fair value | (426 | ) | (3,582 | ) | (8,653 | ) | (3,582 | ) | ||||||||
Change in accrued interest* | 1,091 | — | (6,321 | ) | — | |||||||||||
Balance, end of the period | $ | 2,385,968 | $ | 585,418 | $ | 2,385,968 | $ | 585,418 | ||||||||
* | De minimis amounts of change in accrued interest in 2008. |
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 | |||||||||||
September 30, 2009 | ||||||||||||
Fair value | ||||||||||||
Principal Balance | Fair value | over/(under) | ||||||||||
Consolidated obligations-bonds | $ | 2,385,000 | $ | 2,385,968 | $ | 968 | ||||||
December 31, 2008 | ||||||||||||
Fair value | ||||||||||||
Principal Balance | Fair value | over/(under) | ||||||||||
Consolidated obligations-bonds | $ | 983,000 | $ | 998,942 | $ | 15,942 | ||||||
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September 30, 2009 | ||||||||||||||||||||
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 | $ | 35,806,100 | $ | 24,730,595 | $ | 4,900,530 | $ | 3,335,050 | $ | 68,772,275 | ||||||||||
Mandatorily redeemable capital stock1 | 82,076 | 38,724 | 2,123 | 4,959 | 127,882 | |||||||||||||||
Premises (lease obligations)2 | 3,060 | 6,120 | 5,635 | 7,011 | 21,826 | |||||||||||||||
Total contractual obligations | 35,891,236 | 24,775,439 | 4,908,288 | 3,347,020 | 68,921,983 | |||||||||||||||
Other commitments | ||||||||||||||||||||
Standby letters of credit | 863,242 | 4,937 | 15,255 | 7,778 | 891,212 | |||||||||||||||
Consolidated obligation-bonds/ discount notes traded not settled | 2,302,700 | — | — | — | 2,302,700 | |||||||||||||||
Investment securities traded not settled | 25,000 | — | — | — | 25,000 | |||||||||||||||
Open delivery commitments (MPF) | 11,843 | — | — | — | 11,843 | |||||||||||||||
Total other commitments | 3,202,785 | 4,937 | 15,255 | 7,778 | 3,230,755 | |||||||||||||||
Total obligations and commitments | $ | 39,094,021 | $ | 24,780,376 | $ | 4,923,543 | $ | 3,354,798 | $ | 72,152,738 | ||||||||||
1 | 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. Callable bonds contain exercise date or a series of exercise dates that may result in a shorter redemption period. | |
2 | Immaterial amount of commitments for equipment leases not included. |
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September 30, 2009 | December 31, 2008 | |||||||||||||||
Related | Unrelated | Related | Unrelated | |||||||||||||
Assets | ||||||||||||||||
Cash and due from banks | $ | — | $ | 1,189,158 | $ | — | $ | 18,899 | ||||||||
Interest-bearing deposits | — | — | — | 12,169,096 | ||||||||||||
Federal funds sold | — | 3,900,000 | — | — | ||||||||||||
Available-for-sale securities | — | 2,362,592 | — | 2,861,869 | ||||||||||||
Held-to-maturity securities | ||||||||||||||||
Long-term securities | — | 10,478,027 | — | 10,130,543 | ||||||||||||
Certificates of deposit | — | 2,000,000 | — | 1,203,000 | ||||||||||||
Advances | 95,944,732 | — | 109,152,876 | — | ||||||||||||
Mortgage loans 1 | — | 1,336,228 | — | 1,457,885 | ||||||||||||
Accrued interest receivable | 308,036 | 46,898 | 433,755 | 59,101 | ||||||||||||
Premises, software, and equipment | — | 14,596 | — | 13,793 | ||||||||||||
Derivative assets2 | — | 9,092 | — | 20,236 | ||||||||||||
Other assets3 | 237 | 14,720 | 153 | 18,685 | ||||||||||||
Total assets | $ | 96,253,005 | $ | 21,351,311 | $ | 109,586,784 | $ | 27,953,107 | ||||||||
Liabilities and capital | ||||||||||||||||
Deposits | $ | 2,275,971 | $ | — | $ | 1,451,978 | $ | — | ||||||||
Consolidated obligations | — | 108,056,080 | — | 128,586,611 | ||||||||||||
Mandatorily redeemable capital stock | 127,882 | — | 143,121 | — | ||||||||||||
Accrued interest payable | 42 | 337,179 | 814 | 425,330 | ||||||||||||
Affordable Housing Program4 | 144,822 | — | 122,449 | — | ||||||||||||
Payable to REFCORP | — | 38,692 | — | 4,780 | ||||||||||||
Derivative liabilities2 | — | 871,744 | — | 861,660 | ||||||||||||
Other liabilities5 | 27,125 | 63,990 | 31,003 | 44,750 | ||||||||||||
Total liabilities | $ | 2,575,842 | $ | 109,367,685 | $ | 1,749,365 | $ | 129,923,131 | ||||||||
Capital | 5,660,789 | — | 5,867,395 | — | ||||||||||||
Total liabilities and capital | $ | 8,236,631 | $ | 109,367,685 | $ | 7,616,760 | $ | 129,923,131 | ||||||||
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. |
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Three months ended | ||||||||||||||||
September 30, 2009 | September 30, 2008 | |||||||||||||||
Related | Unrelated | Related | Unrelated | |||||||||||||
Interest income | ||||||||||||||||
Advances | $ | 240,573 | $ | — | $ | 678,896 | $ | — | ||||||||
Interest-bearing deposits 1 | — | 1,014 | — | 3,240 | ||||||||||||
Federal funds sold | — | 1,864 | — | 21,316 | ||||||||||||
Available-for-sale securities | — | 6,590 | — | 24,441 | ||||||||||||
Held-to-maturity securities | ||||||||||||||||
Long-term securities | — | 111,232 | — | 138,412 | ||||||||||||
Certificates of deposit | — | 851 | — | 51,287 | ||||||||||||
Mortgage loans2 | — | 17,405 | — | 19,316 | ||||||||||||
Loans to other FHLBanks and other | 1 | — | 30 | — | ||||||||||||
Total interest income | $ | 240,574 | $ | 138,956 | $ | 678,926 | $ | 258,012 | ||||||||
Interest expense | ||||||||||||||||
Consolidated obligations | $ | — | $ | 223,355 | $ | — | $ | 769,703 | ||||||||
Deposits | 516 | — | 7,370 | — | ||||||||||||
Mandatorily redeemable capital stock | 1,807 | — | 1,950 | — | ||||||||||||
Cash collateral held and other borrowings | — | — | 2 | 240 | ||||||||||||
Total interest expense | $ | 2,323 | $ | 223,355 | $ | 9,322 | $ | 769,943 | ||||||||
Service fees | $ | 1,101 | $ | — | $ | 934 | $ | — | ||||||||
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 | $ | — | ||||||||
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. |
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September 30, 2009 | ||||||||||||||||||||||
Percentage of | ||||||||||||||||||||||
Par | Total Par Value | Interest Income | ||||||||||||||||||||
City | State | Advances | of Advances | Three months | Nine months | |||||||||||||||||
Hudson City Savings Bank 1 | Paramus | NJ | $ | 17,325,000 | 18.9 | % | $ | 178,896 | $ | 532,100 | ||||||||||||
Metropolitan Life Insurance Company | New York | NY | 14,280,000 | 15.6 | 84,277 | 279,360 | ||||||||||||||||
New York Community Bank 1 | Westbury | NY | 8,148,476 | 8.9 | 78,413 | 233,129 | ||||||||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 5,493,756 | 6.0 | 19,133 | 83,856 | ||||||||||||||||
The Prudential Life Insurance Company of America | Newark | NJ | 3,500,000 | 3.8 | 22,448 | 71,473 | ||||||||||||||||
Total | $ | 48,747,232 | 53.2 | % | $ | 383,167 | $ | 1,199,918 | ||||||||||||||
1 | Officer of member bank also serves on the Board of Directors of the FHLBNY. |
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 | ||||||||||||
1 | As of December 31, 2008 Officer of member bank also served on the Board of Directors of the FHLBNY. |
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 | ||||||||||||||
1 | As of September 30, 2008 Officer of member bank also served on the Board of Directors of the FHLBNY. |
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Number | Percent | |||||||||
September 30, 2009 | of shares | of total | ||||||||
Name of beneficial owner | Principal Executive Office Address | owned | capital stock | |||||||
Hudson City Savings Bank1 | West 80 Century Road Paramus, NJ 07652 | 8,770 | 16.64 | % | ||||||
Metropolitan Life Insurance Company | 200 Park Ave New York, NY 10166 | 7,689 | 14.59 | |||||||
New York Community Bank1 | 615 Merrick Ave Westbury, NY 11590 | 4,140 | 7.85 | |||||||
Manufacturers and Traders Trust Company | One M&T Plaza Buffalo, NY 14203 | 3,174 | 6.02 | |||||||
23,773 | 45.10 | % | ||||||||
1 | 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 | % | ||||||||
* | As of December 31, 2008, officer of member bank served as a member of the Board of Directors of the FHLBNY. |
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The FHLBNY has evaluated subsequent events through November 13, 2009, which is the date its interim financial statements were issued.
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.
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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 | |||||||||||||||||||||||||||||||||||
Statements of Condition | September 30, | September 30, | Years ended December 31, | |||||||||||||||||||||||||||||||||
Averages (dollars in millions) | 2009 | 2008 | 2009 | 2008 | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||||||||||||||||
Investments (1) | $ | 19,764 | $ | 24,592 | $ | 5,053 | $ | 3,429 | $ | 2,253 | $ | 22,155 | $ | 19,431 | $ | 19,347 | $ | 16,292 | ||||||||||||||||||
Interest bearing balance at FRB ** | — | — | 8,062 | — | 1,322 | — | — | — | — | |||||||||||||||||||||||||||
Advances | 96,704 | 93,246 | 100,574 | 88,040 | 92,617 | 65,454 | 64,658 | 63,446 | 65,289 | |||||||||||||||||||||||||||
Mortgage loans | 1,357 | 1,454 | 1,403 | 1,466 | 1,465 | 1,502 | 1,471 | 1,360 | 928 | |||||||||||||||||||||||||||
Total assets | 120,754 | 120,599 | 128,215 | 114,537 | 119,710 | 89,961 | 86,319 | 85,254 | 84,344 | |||||||||||||||||||||||||||
Interest-bearing deposits and other borrowings | 2,083 | 1,653 | 2,006 | 1,998 | 2,003 | 2,202 | 1,709 | 2,100 | 1,971 | |||||||||||||||||||||||||||
Consolidated obligations | 109,125 | 111,452 | 116,171 | 104,937 | 109,691 | 82,233 | 79,314 | 77,629 | 76,105 | |||||||||||||||||||||||||||
Mandatorily redeemable capital stock | 128 | 154 | 135 | 174 | 166 | 146 | 51 | 56 | 238 | |||||||||||||||||||||||||||
AHP liability | 139 | 123 | 132 | 122 | 122 | 108 | 95 | 84 | 83 | |||||||||||||||||||||||||||
REFCORP liability | 23 | 8 | 23 | 10 | 6 | 10 | 9 | 7 | 4 | |||||||||||||||||||||||||||
Capital stock | 5,195 | 5,046 | 5,315 | 4,701 | 4,923 | 3,771 | 3,737 | 3,604 | 3,554 | |||||||||||||||||||||||||||
Retained earnings | 611 | 388 | 522 | 391 | 381 | 362 | 314 | 251 | 159 | |||||||||||||||||||||||||||
Operating Results and other data | Three months ended | Nine months ended | ||||||||||||||||||||||||||||||||||
(dollars in millions) | September 30, | September 30, | Years ended December 31, | |||||||||||||||||||||||||||||||||
(except earnings and dividends per share) | 2009 | 2008 | 2009 | 2008 | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||||||||||||||||
Net interest income (3) | $ | 154 | $ | 158 | $ | 585 | $ | 469 | $ | 694 | $ | 499 | $ | 470 | $ | 395 | $ | 268 | ||||||||||||||||||
Net income | 140 | 40 | 475 | 214 | 259 | 323 | 285 | 230 | 161 | |||||||||||||||||||||||||||
Dividends paid in cash (6) | 74 | 76 | 191 | 250 | 294 | 273 | 208 | 162 | 66 | |||||||||||||||||||||||||||
AHP expense | 16 | 5 | 53 | 25 | 30 | 37 | 32 | 26 | 19 | |||||||||||||||||||||||||||
REFCORP expense | 35 | 10 | 119 | 53 | 65 | 81 | 71 | 58 | 40 | |||||||||||||||||||||||||||
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 assets* | 0.46 | % | 0.13 | % | 0.50 | % | 0.25 | % | 0.22 | % | 0.36 | % | 0.33 | % | 0.27 | % | 0.19 | % | ||||||||||||||||||
Operating expenses | $ | 18 | $ | 17 | $ | 54 | $ | 49 | $ | 66 | $ | 67 | $ | 63 | $ | 59 | $ | 51 | ||||||||||||||||||
Operating expenses ratio* (5) | 0.06 | % | 0.05 | % | 0.06 | % | 0.06 | % | 0.06 | % | 0.07 | % | 0.07 | % | 0.07 | % | 0.06 | % | ||||||||||||||||||
Earnings per share | $ | 2.70 | $ | 0.79 | $ | 8.93 | $ | 4.55 | $ | 5.26 | $ | 8.57 | $ | 7.63 | $ | 6.36 | $ | 4.55 | ||||||||||||||||||
Dividend per share | $ | 1.40 | $ | 1.62 | $ | 3.54 | $ | 5.67 | $ | 6.55 | $ | 7.51 | $ | 5.59 | $ | 4.50 | $ | 1.83 | ||||||||||||||||||
Headcount (Full/part time) | 259 | 251 | 259 | 251 | 251 | 246 | 232 | 221 | 210 |
(1) | Investments include held-to-maturity securities, available for-sale securities, Federal funds, and loans to other FHLBanks. | |
(2) | Equity to asset ratio is capital stock plus retained earnings and accumulated other comprehensive income (loss) as a percentage of total assets. | |
(3) | Net interest income is net interest income before the provision for credit losses on mortgage loans. | |
(4) | Return on average equity is net income as a percentage of average capital stock plus average retained earnings and average accumulated other comprehensive income (loss). | |
(5) | Operating expenses as a percentage of total average assets. | |
(6) | Excludes dividends paid to non members classified as interest expense under the accounting standards for certain financial instruments with characteristics of both liabilities and equity. | |
* | Annualized. | |
** | FRB program commenced in October 2008. On July 1, 2009, the Bank was no longer eligible to collect interest on excess balances. The average balance is annualized YTD. |
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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 | 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 | ||||||||
1 | Interest portion only |
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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 | )% | ||||||||||||
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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 | ||||||||
1 | Interest portion only |
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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 | % | ||||||
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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 | ) | ||||
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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 | |||||||||||||||||||||||
Amount | ROA | Net Spread | Amount | ROA | Net Spread | |||||||||||||||||||
GAAP net interest income | $ | 585,493 | 0.61 | % | 0.53 | % | $ | 468,930 | 0.55 | % | 0.37 | % | ||||||||||||
Interest income (expense) | ||||||||||||||||||||||||
Swaps not designated in a hedging relationship | (36,869 | ) | (0.03 | ) | (0.05 | ) | (36,915 | ) | (0.04 | ) | (0.05 | ) | ||||||||||||
Economic net interest income | $ | 548,624 | 0.58 | % | 0.48 | % | $ | 432,015 | 0.51 | % | 0.32 | % | ||||||||||||
1 | Explanation of the use of certain non-GAAP measures of Interest Income and Expense, Net Interest income and margin. The FHLBNY has presented its results of operations in accordance with U.S. generally accepted accounting principles. The FHLBNY has also presented certain information regarding its Interest Income and Expense, Net Interest income and Net Interest spread that combines interest expense on debt with net interest paid on interest rate swaps associated with debt that were hedged on an economic basis. These are non-GAAP financial measures used by management that the FHLBNY believes are useful to investors and members of the FHLBNY in understanding the Bank’s operational performance and business and performance trends. Although the FHLBNY believes these non-GAAP financial measures enhance investor and members’ understanding of the Bank’s business and performance, these non-GAAP financial measures should not be considered an alternative to GAAP. When discussing non-GAAP measures, the Bank has provided GAAP measures in parallel. |
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Three 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 | $ | 96,703,710 | $ | 240,573 | 0.99 | % | $ | 93,245,965 | $ | 678,896 | 2.90 | % | ||||||||||||
Certificates of deposit and others | 4,105,978 | 1,866 | 0.18 | 7,759,515 | 54,527 | 2.80 | ||||||||||||||||||
Federal funds sold and other overnight funds | 5,105,043 | 1,864 | 0.14 | 3,911,620 | 21,316 | 2.17 | ||||||||||||||||||
Investments | 12,907,450 | 117,822 | 3.62 | 13,548,202 | 162,853 | 4.78 | ||||||||||||||||||
Mortgage and other loans | 1,360,907 | 17,405 | 5.07 | 1,464,801 | 19,346 | 5.25 | ||||||||||||||||||
Total interest-earning assets | $ | 120,183,088 | $ | 379,530 | 1.25 | % | $ | 119,930,103 | $ | 936,938 | 3.11 | % | ||||||||||||
Funded By: | ||||||||||||||||||||||||
Consolidated obligations-bonds | $ | 69,604,012 | $ | 191,708 | 1.09 | $ | 86,739,278 | $ | 628,394 | 2.88 | ||||||||||||||
Consolidated obligations-discount notes | 39,520,933 | 31,647 | 0.32 | 24,712,661 | 141,309 | 2.27 | ||||||||||||||||||
Interest-bearing deposits and other borrowings | 2,084,189 | 516 | 0.10 | 1,672,191 | 7,612 | 1.81 | ||||||||||||||||||
Mandatorily redeemable capital stock | 127,964 | 1,807 | 5.60 | 153,827 | 1,950 | 5.04 | ||||||||||||||||||
Total interest-bearing liabilities | 111,337,098 | 225,678 | 0.80 | % | 113,277,957 | 779,265 | 2.74 | % | ||||||||||||||||
Capital and other non-interest- bearing funds | 8,845,990 | — | 6,652,146 | — | ||||||||||||||||||||
Total Funding | $ | 120,183,088 | $ | 225,678 | $ | 119,930,103 | $ | 779,265 | ||||||||||||||||
Net Interest Income/Spread | $ | 153,852 | 0.45 | % | $ | 157,673 | 0.37 | % | ||||||||||||||||
Net Interest Margin | ||||||||||||||||||||||||
(Net interest income/Earning Assets) | 0.51 | % | 0.52 | % | ||||||||||||||||||||
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. |
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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 | % | ||||||||||||||||||||
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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 | ||||||||||||
September 30, 2009 vs. September 30, 2008 | ||||||||||||
Increase (decrease) | ||||||||||||
Volume | Rate | Total | ||||||||||
Interest Income | ||||||||||||
Advances | $ | 314,598 | $ | (1,432,332 | ) | $ | (1,117,734 | ) | ||||
Certificates of deposit and others | (143,533 | ) | (65,664 | ) | (209,197 | ) | ||||||
Federal funds sold and other overnight funds | 123,919 | (191,907 | ) | (67,988 | ) | |||||||
Investments | 17,433 | (92,312 | ) | (74,879 | ) | |||||||
Mortgage loans and other loans | (2,584 | ) | (1,085 | ) | (3,669 | ) | ||||||
Total interest income | 309,833 | (1,783,300 | ) | (1,473,467 | ) | |||||||
Interest Expense | ||||||||||||
Consolidated obligations-bonds | (180,209 | ) | (988,324 | ) | (1,168,533 | ) | ||||||
Consolidated obligations-discount notes | 393,265 | (779,190 | ) | (385,925 | ) | |||||||
Deposits and borrowings | (66 | ) | (32,100 | ) | (32,166 | ) | ||||||
Mandatorily redeemable capital stock | (1,991 | ) | (1,415 | ) | (3,406 | ) | ||||||
Total interest expense | 210,999 | (1,801,029 | ) | (1,590,030 | ) | |||||||
Changes in Net Interest Income | $ | 98,834 | $ | 17,729 | $ | 116,563 | ||||||
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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 | ) | ||||||
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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 | ) | |||||||||||||||||||
* | 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 | ) | ||||||||||||||||||||
* | RMBS-Prime — Private-label MBS supported by prime residential loans; HEL Subprime — MBS supported by home equity loans. |
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 | ) | ||||||||||||
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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 | ) | ||||||
1 | Includes de minimis amount of net gains on member intermediated swaps. |
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• | Interest rate swaps— In the current year three quarters, the primary economic hedges were : (1) Interest rate “Basis swaps” that synthetically converted floating-rate funding based on Prime rate, Federal funds rate, and the 1-month LIBOR rate to 3-month LIBOR rate. (2) Interest rate swaps hedging balance sheet risk. (3) Interest rate swaps hedging discount notes. (4) Interest-rate swaps hedging short-term fixed-rate consolidated obligation bonds. Changes in the fair values of interest rate swaps in economic hedges, often referred to as “one-sided marks” resulted in a net favorable fair value gains of $42.1 million in the current year third quarter and $65.8 million year-to-date. As described in the previous paragraph, most of the net fair value gains are reversal of previously recorded fair value losses. Included in the net gain were favorable cash flows (interest accruals) of $19.1 million recorded as income in the current year third quarter associated with the interest rate swaps in economic hedges; in contrast, on a year-to-date basis, included in the net gain the cash flow accrual was a loss of $36.9 million due to unfavorable cash flows associated with interest rate swaps designated in economic hedges. |
• | Interest rate caps— were also designated as economic hedges, and fair value changes of purchased caps resulted also contributed to recorded fair value gains from derivatives and hedging activities in the current year third quarter. The Bank has $1.9 billion (notional amount) in purchased interest rate caps and mitigates certain balance sheet risk metrics. The fair values of the caps were recorded as derivative assets in the Statements of Condition with an offset in the Statements of Income as Net realized and unrealized gain (loss) from derivatives and hedging activities. In a rising interest rate environment at September 30, 2009, relative to December 31, 2008, the fair values of interest rate caps exhibited favorable fair value gains, which will reverse over the contractual life of the caps if held to maturity. |
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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 | ) | ||||
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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 | ||||||||
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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, | ||||||||||||||||
Percentage of | Percentage of | |||||||||||||||
2009 | total | 2008 | total | |||||||||||||
Salaries and employee benefits | $ | 36,036 | 66.77 | % | $ | 33,515 | 67.72 | % | ||||||||
Temporary workers | 128 | 0.24 | 220 | 0.44 | ||||||||||||
Occupancy | 3,273 | 6.06 | 3,097 | 6.26 | ||||||||||||
Depreciation and leasehold amortization | 4,020 | 7.45 | 3,575 | 7.22 | ||||||||||||
Computer service agreements and contractual services | 4,670 | 8.65 | 3,162 | 6.39 | ||||||||||||
Professional and legal fees | 1,144 | 2.12 | 1,604 | 3.24 | ||||||||||||
Other* | 4,699 | 8.71 | 4,316 | 8.73 | ||||||||||||
Total operating expenses | $ | 53,970 | 100.00 | % | $ | 49,489 | 100.00 | % | ||||||||
* | Other primarily represents — audit fees, Director fees and expenses, Insurance and telecommunications |
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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 | )% | |||||||
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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 | ||||||||||||
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• | makes extensive use of the derivatives to restructure interest rates on fixed-rate advances, both putable or convertible and non-putable (“bullet”), to better match the FHLBNY’s cash flows, to enhance yields, and to manage risk from a changing interest rate environment. |
• | converts at the time of issuance, certain simple fixed-rate bullet and putable fixed-rate advances into synthetic floating-rate advances by the simultaneous execution of interest rate swaps that convert the cash flows of the fixed-rate advances to conventional adjustable rate instruments tied to an index, typically 3-month LIBOR. |
• | uses derivatives to manage the risks arising from changing market prices and volatility of a fixed coupon advance by matching the cash flows of the advance to the cash flows of the derivative, and making the FHLBNY indifferent to changes in market conditions. Putable advances are typically hedged by an offsetting derivative with a mirror-image call option with identical terms. |
• | adjusts the reported carrying value of hedged fixed-rate advances for changes in their fair value (“fair value basis” or “fair value”) that are attributable to the risk being hedged in accordance with hedge accounting rules. Amounts reported for advances in the Statements of Condition include fair value hedge basis adjustments. |
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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 | ) | |||||||||||||||||||
* | 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 | ) | ||||||||||||||||||||
* | RMBS-Prime — Private-label MBS supported by prime residential loans; HEL Subprime — MBS supported by home equity loans. |
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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 | % | ||||||||
1 | Classified as held-to-maturity securities, at carrying value. | |
2 | Classified as available-for-sale securities, at fair value and represents investments in registered mutual funds and other fixed-income securities maintained under the grantor trusts. |
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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 | ||||||||||||
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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 | |||||||||||
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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 | |||||||
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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 | ||||||||||||
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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 | ||||||||||||
1 | Represents fair value basis of open and closed delivery commitments. |
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• | In response to market demand for shorter-term debt in the first two quarters of 2009, the Bank had increased its issuance of discount notes, which have maturities from overnight to 365 days. The upward trends in issuance volume of discount notes at that time were illustrative of the tactical adjustments adopted by the FHLBNY to changing conditions earlier in the year. Average outstanding balances of discount notes, a measure of volume, was $24.7 billion in the third quarter of 2008. It increased to $34.5 billion in the fourth quarter of 2008. In the first and second quarters of 2009, volume rose dramatically to $46.2 billion and $48.7 billion. |
• | In the third quarter of 2009, as one month LIBOR reset lower, discount note pricing became relatively unattractive as spreads to LIBOR tightened, and average outstanding balances of discount notes was allowed to decline to $38.8 billion. The utilization rate of discount notes to fund total assets is another useful measurement indicator of the Bank’s funding tactics. At March 31, 2009, discount notes outstanding were $48.7 billion, and funded 38.0% of the total assets at that date; at June 30, 2009, outstanding balance was $47.3 billion and funded 36.6% of total assets. At September 30, 2009, outstanding balance was $38.4 billion and funded 32.6 % of total assets, compared to $46.3 billion at December 31, 2008, which funded 33.7% of total assets. |
• | In the first two quarters of 2009, the FHLBNY had also relied more on overnight and very short-term discount notes to take advantage of lower funding costs of overnight issuance of discount notes. In the third quarter of 2009, the FHLBNY reduced its issuance of overnight discount notes, partly as a result of the Federal Reserve’s action to eliminate interest on excess reserves, partly as a result of tightening of spreads, and partly because the FHLBNY determined that term discount notes would better match its regulatory liquidity profile. At June 30, 2009, overnight discount notes outstanding were $11.3 billion. In contrast, overnight discount notes declined to $1.5 billion at September 30, 2009. |
• | Floating-rate bonds outstanding at September 30, 2009 declined during the third quarter, a trend observed during most of the earlier two quarters. Maturing bonds were not replaced because of unfavorable spreads demanded by investors and compared to other GSE issued LIBOR-indexed floaters. In 2008, the FHLBNY had issued short-term floating-rate bonds, indexed to rates other than 3-month LIBOR and had swapped the coupons back to 3-month LIBOR. |
• | Reacting to investor preference for shorter term debt, the FHLBNY increased the issuance of medium-term non-callable bonds. Investors have been receptive to FHLBanks’ non-callable bonds compared to alternative debt available in the capital markets and execution pricing has been relatively more favorable for the FHLBank bonds. At June 30, 2009, fixed-rate non-callable bonds were $41.5 billion. In the third quarter, the FHLBNY increased issuances of non-callable bonds to replace maturing discount notes and outstanding balances rose to $47.5 billion at September 30, 2009. The outstanding balance was $36.4 billion at December 31, 2008. |
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• | FHLBank callable-bonds, which have been traditionally considered by investors to be competitively priced, were under price pressure in 2008 and in the first two quarters of 2009, and the Bank’s use of funding with callable debt had declined because of the erosion of their price advantage. In the first two quarters, investor preferences were for short maturity bullet bonds and floaters primarily due to demand from the domestic money funds. In the current year third quarter, short lock-out callables were in demand by investors who saw a yield advantage over similar maturity discount notes; issuance volume increased and outstanding balances grew from $3.3 billion at June 30, 2009 to $4.8 billion at September 30, 2009. The outstanding balance at December 31, 2008 was also $4.8 billion. |
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 | ||||||||||||
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• | Makes extensive use of the derivatives to restructure interest rates on consolidated obligation bonds, both callable and non-callable, to better meet its members’ funding needs, to reduce funding costs, and to manage risk in a changing market environment. |
• | Converts at the time of issuance, certain simple fixed-rate bullet and callable bonds into synthetic floating-rate bonds by the simultaneous execution of interest rate swaps that convert the cash flows of the fixed-rate bonds to conventional adjustable rate instruments tied to an index, typically 3-month LIBOR. |
• | Uses derivatives to manage the risk arising from changing market prices and volatility of a fixed coupon bond by matching the cash flows of the bond to the cash flows of the derivative and making the FHLBNY indifferent to changes in market conditions. Except when issued to fund MBS and MPF loans, callable bonds are typically hedged by an offsetting derivative with a mirror-image call option and identical terms. |
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• | Adjusts the reported carrying value of hedged consolidated bonds for changes in their fair value (“fair value basis adjustments” or “fair value”) that are attributable to the risk being hedged in accordance with hedge accounting rules. Amounts reported for consolidated obligation bonds in the Statements of Condition include fair value basis adjustments. |
• | Lowers its funding cost by the issuance of a callable bond and the execution of an associated interest rate swap with mirrored call options, which results in funding at a lower cost than the FHLBNY would otherwise have achieved. The issuance of callable bonds and the simultaneous swapping with a derivative instrument depends on the price relationships in both the bond and the derivatives markets. |
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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 | % | ||||
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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 | ||||||||
1 | Redemption includes repayment of excess stock. (The annualized rate accrual is at 5.6% for September 30, 2009 and 6.50% for September 30, 2008) |
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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 |
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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 | ) | ||||||||||
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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 | ) | ||||||||||
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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 | ||||||||||||
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September 30, 2009 | ||||||||||||||||||||||||
Percentage of | ||||||||||||||||||||||||
Par | Total Par Value | Interest Income | ||||||||||||||||||||||
City | State | Advances | of Advances | Three months | Nine months | |||||||||||||||||||
Hudson City Savings Bank 1 | Paramus | NJ | $ | 17,325,000 | 18.9 | % | $ | 178,896 | $ | 532,100 | ||||||||||||||
Metropolitan Life Insurance Company | New York | NY | 14,280,000 | 15.6 | 84,277 | 279,360 | ||||||||||||||||||
New York Community Bank 1 | Westbury | NY | 8,148,476 | 8.9 | 78,413 | 233,129 | ||||||||||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 5,493,756 | 6.0 | 19,133 | 83,856 | ||||||||||||||||||
The Prudential Life Insurance Company of America | Newark | NJ | 3,500,000 | 3.8 | 22,448 | 71,473 | ||||||||||||||||||
Total | $ | 48,747,232 | 53.2 | % | $ | 383,167 | $ | 1,199,918 | ||||||||||||||||
1 | Officer of member bank also serves on the Board of Directors of the FHLBNY. |
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 | ||||||||||||||||
1 | As of September 30, 2008, Officer of member bank also served on the Board of Directors of the FHLBNY. |
December 31, 2008 | ||||||||||||||||||||
Percentage of | ||||||||||||||||||||
Par | Total Par Value | Interest | ||||||||||||||||||
City | State | Advances | of Advances | Income | ||||||||||||||||
Hudson City Savings Bank * | 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 | ||||||||||||||
* | At December 31, 2008, officer of member bank also served on the Board of Directors of the FHLBNY. |
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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 | ||||||
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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 | % | ||||||||
1 | Classified as held-to-maturity securities, at carrying value. | |
2 | Classified as available-for-sale securities, at fair value represent investments in registered mutual funds and other fixed-income securities maintained under the grantor trusts. |
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NRSRO Ratings - September 30, 2009 | ||||||||||||||||||||||||
Below | ||||||||||||||||||||||||
Carrying | Investment | |||||||||||||||||||||||
Issued, guaranteed or insured | Value | AAA | AA | A | BBB | Grade | ||||||||||||||||||
Pools of Mortgages | ||||||||||||||||||||||||
Fannie Mae | $ | 1,194,202 | $ | 1,194,202 | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Freddie Mac | 354,212 | 354,212 | — | — | — | — | ||||||||||||||||||
Total pools of mortgages | 1,548,414 | 1,548,414 | — | — | — | — | ||||||||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||||||||||
Fannie Mae | 2,370,747 | 2,370,747 | — | — | — | — | ||||||||||||||||||
Freddie Mac | 4,384,624 | 4,384,624 | — | — | — | — | ||||||||||||||||||
Ginnie Mae | 187,470 | 187,470 | — | — | — | — | ||||||||||||||||||
Total CMOs/REMICs | 6,942,841 | 6,942,841 | — | — | — | — | ||||||||||||||||||
Ginnie Mae-CMBS | 49,706 | 49,706 | — | — | — | — | ||||||||||||||||||
Non-GSE MBS | ||||||||||||||||||||||||
CMOs/REMICs | 482,874 | 347,447 | 13,588 | 42,546 | — | 79,293 | ||||||||||||||||||
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 | — | — | — | ||||||||||||||||||
Home equity loans (insured) | 249,918 | 10,733 | 72,997 | 30,216 | 27,798 | 108,174 | ||||||||||||||||||
Home equity loans (uninsured) | 204,543 | 179,083 | 20,694 | — | 4,766 | — | ||||||||||||||||||
Total asset-backed securities | 663,005 | 189,816 | 302,235 | 30,216 | 32,564 | 108,174 | ||||||||||||||||||
Total mortgage-backed securities | $ | 9,686,840 | $ | 9,078,224 | $ | 315,823 | $ | 72,762 | $ | 32,564 | $ | 187,467 | ||||||||||||
Other | ||||||||||||||||||||||||
State and local housing finance agency obligations | $ | 791,187 | $ | 73,313 | $ | 638,509 | $ | 23,145 | $ | 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 | $ | — | ||||||||||||
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Carrying | NRSRO Ratings - December 31, 2008 | |||||||||||||||||||
Issued, guaranteed or insured | Value | AAA | AA | A | BBB | |||||||||||||||
Pools of Mortgages | ||||||||||||||||||||
Fannie Mae | $ | 1,400,058 | $ | 1,400,058 | $ | — | $ | — | $ | — | ||||||||||
Freddie Mac | 422,088 | 422,088 | — | — | — | |||||||||||||||
Total pools of mortgages | 1,822,146 | 1,822,146 | — | — | — | |||||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||||||
Fannie Mae | 2,032,050 | 2,032,050 | — | — | — | |||||||||||||||
Freddie Mac | 3,722,840 | 3,722,840 | — | — | — | |||||||||||||||
Ginnie Mae | 6,325 | 6,325 | — | — | — | |||||||||||||||
Total CMOs/REMICs | 5,761,215 | 5,761,215 | — | — | — | |||||||||||||||
Non-GSE MBS | ||||||||||||||||||||
CMOs/REMICs | 609,908 | 509,056 | — | 62,401 | 38,451 | |||||||||||||||
Commercial mortgage-backed securities | 266,994 | 266,994 | — | — | — | |||||||||||||||
Total non-federal-agency MBS | 876,902 | 776,050 | — | 62,401 | 38,451 | |||||||||||||||
Asset-Backed Securities | ||||||||||||||||||||
Manufactured housing (insured) | 229,714 | — | 229,714 | — | — | |||||||||||||||
Home equity loans (insured) | 376,587 | 86,662 | — | 130,277 | 159,648 | |||||||||||||||
Home equity loans (uninsured) | 259,879 | 259,879 | — | — | — | |||||||||||||||
Total asset-backed securities | 866,180 | 346,541 | 229,714 | 130,277 | 159,648 | |||||||||||||||
Total mortgage-backed securities | $ | 9,326,443 | $ | 8,705,952 | $ | 229,714 | $ | 192,678 | $ | 198,099 | ||||||||||
Other | ||||||||||||||||||||
State and local housing finance agency obligations | $ | 804,100 | $ | 74,881 | $ | 672,999 | $ | — | $ | 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 | ||||||||||
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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 | $ | — | $ | — | ||||||||
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NRSRO Ratings - December 31, 2008 | ||||||||||||||||
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 | — | — | ||||||||||||
Freddie Mac | 996,694 | 996,694 | — | — | ||||||||||||
Ginnie Mae | — | — | — | — | ||||||||||||
Total CMOs/REMICs | 2,851,682 | 2,851,682 | — | — | ||||||||||||
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 | $ | 2,851,682 | $ | 2,851,682 | $ | — | $ | — | ||||||||
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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 | % | ||||||||
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 | ||||||||||||
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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 | ) | |||||||||||||||||||
* | 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 | ) | ||||||||||||||||||||
* | RMBS-Prime — Private-label MBS supported by prime residential loans; HEL Subprime — MBS supported by home equity loans. |
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 | ) | ||||||||||||
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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 | ) | ||||||||||||||||||
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December 31, 2008 | ||||||||||||||||||||||||||||||||
Unpaid Principal Balance | ||||||||||||||||||||||||||||||||
Gross | ||||||||||||||||||||||||||||||||
Ratings | Amortized | Unrealized | ||||||||||||||||||||||||||||||
Private-label MBS | Subtotal | Triple-A | Double-A | Single-A | Triple-B | Cost | (Losses) | Fair Value | ||||||||||||||||||||||||
RMBS | ||||||||||||||||||||||||||||||||
Prime | ||||||||||||||||||||||||||||||||
2006 | $ | 101,843 | $ | — | $ | — | $ | 62,968 | $ | 38,875 | $ | 100,851 | $ | (20,544 | ) | $ | 80,308 | |||||||||||||||
2005 | 110,334 | 110,334 | — | — | — | 108,254 | (5,415 | ) | 102,839 | |||||||||||||||||||||||
2004 | 168,166 | 168,166 | — | — | — | 168,173 | (8,363 | ) | 159,810 | |||||||||||||||||||||||
2003 and earlier | 220,898 | 220,898 | — | — | — | 219,318 | (6,722 | ) | 212,596 | |||||||||||||||||||||||
Total RMBS Prime | 601,241 | 499,398 | — | 62,968 | 38,875 | 596,596 | (41,044 | ) | 555,553 | |||||||||||||||||||||||
Alt-A | ||||||||||||||||||||||||||||||||
2003 and earlier | 13,306 | 13,306 | — | — | — | 13,310 | (1,662 | ) | 11,648 | |||||||||||||||||||||||
Total RMBS | 614,547 | 512,704 | — | 62,968 | 38,875 | 609,906 | (42,706 | ) | 567,201 | |||||||||||||||||||||||
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 | |||||||||||||||||||||||
Manufactured Housing Loans | ||||||||||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||||||||||
2003 and earlier | 229,738 | — | 229,738 | — | — | 229,714 | (75,418 | ) | 154,296 | |||||||||||||||||||||||
Total PLMBS | $ | 1,747,845 | $ | 1,126,195 | $ | 229,738 | $ | 193,372 | $ | 198,540 | $ | 1,743,080 | $ | (342,320 | ) | $ | 1,400,910 | |||||||||||||||
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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 | % | ||||||||
1 | Represents weighted-average market price based on par equaling $100.00. Combined weighted-average collateral delinquency rates is calculated based on UPB amount. |
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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 | % | ||||||||
1 | Represents weighted-average market price based on par equaling $100.00. Combined weighted-average collateral delinquency rates will be calculated based on UPB amount. |
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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 | % | ||||||||||
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. |
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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 | ||||||||
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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 | ||||||||
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 | ||||||||
1 | The Bank does not recognize interest received as income from uninsured loans past due 90-days or greater. |
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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 | |||||||||
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 1: | Fair values of $9.1 million and $16.6 million comprising of intermediated transactions with members and interest-rate caps sold to members (with capped floating-rate advances) were collateralized at September 30, 2009 and December 31, 2008. | |
Note 2: | The FHLBNY’s loan and collateral agreements with its members give the FHLBNY a security interest in the obligations of members, who are required to pledge collateral to secure advances and derivatives purchased by the FHLBNY as an intermediary on behalf of its members. The FHLBNY has also established collateral maintenance levels that are intended to help ensure that the FHLBNY has sufficient collateral to cover credit extensions and reasonable expenses arising from potential collateral liquidation and other unknown factors. Eligible collateral includes: (1) one-to-four-family and multi-family mortgages; (2) U.S. Treasury and government-agency securities; (3) mortgage-backed securities; and (4) certain other collateral which is real estate-related and has a readily ascertainable value, and in which the FHLBNY can perfect a security interest. | |
As a result of the loan and collateral agreements with its members, the FHLBNY believes that its maximum credit exposure due to the intermediated transactions was $0 at September 30, 2009 and December 31, 2008. | ||
Note 3: | As reported in the Statements of Condition. |
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• | Obligations of the United States; |
• | Deposits in banks or trust companies; or |
• | Advances with a maturity not to exceed five years. |
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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 |
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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 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 |
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 | ||||
1 | At September 30, 2009, the Bank pledged $2.2 million to the FDIC see Note 4- Held-to-maturity securities. The Bank also provided to the U.S. Treasury a listing of $17.8 billion in advances with respect to a lending agreement. See Note 17 — Commitments and Contingencies. |
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September 30, 2009 | December 31, 2008 | |||||||||||||||
Actual | Limits | Actual | Limits | |||||||||||||
Mortgage securities investment authority1 | 207 | % | 300 | % | 207 | % | 300 | % | ||||||||
1 | The measurement date is on a one-month “look-back” basis. |
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 |
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 |
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• | 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 -200bps shock was restricted during the quarter end to -100bps for September 2008. The DOE downshock limits were adjusted in those cases to +/-5.00 years in September. In December 2008, March 2009, June 2009 and September 2009 rates were too low for a constrained downshock and the test was not performed. |
• | 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. |
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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 | |||||||||
June 30, 2009 | -0.83 | N/A | 1.67 | |||||||||
September 30, 2009 | -0.39 | N/A | 3.88 |
One Year Re- | ||||
pricing Gap | ||||
September 30, 2008 | $3.359 Billion | |||
December 31, 2008 | $9.764 Billion | |||
March 31, 2009 | $7.593 Billion | |||
June 30, 2009 | $5.936 Billion | |||
September 30, 2009 | $5.480 Billion |
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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 | % |
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 | % |
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Interest Rate Sensitivity | ||||||||||||||||||||
September 30, 2009 | ||||||||||||||||||||
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 | $ | 10,354 | $ | 174 | $ | 410 | $ | 243 | $ | 540 | ||||||||||
MBS Investments | 6,580 | 1,365 | 2,681 | 891 | 649 | |||||||||||||||
Adjustable-rate loans and advances | 15,530 | — | — | — | — | |||||||||||||||
Net unswapped | 32,464 | 1,539 | 3,091 | 1,134 | 1,190 | |||||||||||||||
Fixed-rate loans and advances | 9,332 | 4,198 | 18,841 | 8,732 | 34,969 | |||||||||||||||
Swaps hedging advances | 63,711 | (3,449 | ) | (16,873 | ) | (8,448 | ) | (34,940 | ) | |||||||||||
Net fixed-rate loans and advances | 73,042 | 749 | 1,968 | 284 | 29 | |||||||||||||||
Loans to other FHLBanks | — | — | — | — | — | |||||||||||||||
Total interest-earning assets | $ | 105,506 | $ | 2,288 | $ | 5,059 | $ | 1,418 | $ | 1,218 | ||||||||||
Interest-bearing liabilities: | ||||||||||||||||||||
Deposits | $ | 2,287 | $ | — | $ | — | $ | — | $ | — | ||||||||||
Discount notes | 36,617 | 1,768 | — | — | — | |||||||||||||||
Swapped discount notes | 1,576 | (1,576 | ) | — | — | — | ||||||||||||||
Net discount notes | 38,193 | 192 | — | — | — | |||||||||||||||
Consolidated Obligation Bonds | ||||||||||||||||||||
FHLB bonds | 19,320 | 18,270 | 23,178 | 4,839 | 3,242 | |||||||||||||||
Swaps hedging bonds | 40,906 | (16,855 | ) | (19,074 | ) | (3,637 | ) | (1,340 | ) | |||||||||||
Net FHLB bonds | 60,227 | 1,415 | 4,104 | 1,202 | 1,902 | |||||||||||||||
Total interest-bearing liabilities | $ | 100,707 | $ | 1,607 | $ | 4,104 | $ | 1,202 | $ | 1,902 | ||||||||||
Post hedge gaps1: | ||||||||||||||||||||
Periodic gap | $ | 4,799 | $ | 681 | $ | 955 | $ | 216 | $ | (684 | ) | |||||||||
Cumulative gaps | $ | 4,799 | $ | 5,480 | $ | 6,436 | $ | 6,652 | $ | 5,968 |
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. |
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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 |
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. |
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(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 September 30, 2009. Based on this evaluation, they concluded that as of September 30, 2009, the Bank’s disclosure controls and procedures were effective, at a reasonable level of assurance, in ensuring that the information required to be disclosed by the Bank in the reports it files or submits under the Act is (i) accumulated and communicated to the Bank’s management (including the President and Chief Executive Officer and Senior Vice President and Chief Financial Officer) in a timely manner, and (ii) recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. | ||
(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. |
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Exhibit No. | Identification of Exhibit | |||
3.01 | Amended Bylaws (incorporated by reference to Exhibit 99.1 to the registrant’s Current Report on Form 8-K filed on September 23, 2009) | |||
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 |
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FEDERAL HOME LOAN BANK OF NEW YORK (Registrant) | ||||
By: | /s/ Patrick A. Morgan | |||
Patrick A. Morgan | ||||
Senior Vice President and Chief Financial Officer Federal Home Loan Bank of New York (on behalf of the Registrant and as Principal Financial Officer) |
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